N-CSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04347

GMO Trust

(Exact name of the registrant as specified in charter)

53 State Street, 33^rd Floor, Boston, MA 02109

(Address of principal executive offices) (Zip Code)

Tara Pari, Chief Executive Officer, 53 State Street, 33rd Floor, Boston, MA 02109

(Name and address of agent for services)

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

Date of fiscal year end: 02/28/23

Date of reporting period: 02/28/23

Item 1. Reports to Stockholders.

The annual reports for each series of the registrant for the period ended February 28, 2023 are filed herewith.

GMO Trust

Annual Report

February 28, 2023

Climate Change Fund

Emerging Markets ex-China Fund

Emerging Markets Fund

Emerging Markets Select Equity Fund

    (formerly Emerging Domestic Opportunities Fund)

International Equity Fund

Japan Value Creation Fund

Quality Cyclicals Fund

Quality Fund

Resource Transition Fund

Resources Fund

Small Cap Quality Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Opportunistic Value Fund

U.S. Small Cap Value Fund

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

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

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

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

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

TABLE OF CONTENTS

Climate Change Fund
Management Discussion and Analysis of Fund Performance	3
Performance Graph	4
Investment Concentration Summary	5
Schedule of Investments	6
Emerging Markets ex-China Fund
Management Discussion and Analysis of Fund Performance	9
Performance Graph	10
Investment Concentration Summary	11
Schedule of Investments	12
Emerging Markets Fund
Management Discussion and Analysis of Fund Performance	17
Performance Graph	18
Investment Concentration Summary	19
Schedule of Investments	20
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
Management Discussion and Analysis of Fund Performance	27
Performance Graph	28
Investment Concentration Summary	29
Schedule of Investments	30
International Equity Fund
Management Discussion and Analysis of Fund Performance	33
Performance Graph	34
Investment Concentration Summary	35
Schedule of Investments	36
Japan Value Creation Fund
Management Discussion and Analysis of Fund Performance	41
Performance Graph	42
Investment Concentration Summary	43
Schedule of Investments	44
Quality Cyclicals Fund
Management Discussion and Analysis of Fund Performance	47
Performance Graph	48
Investment Concentration Summary	49
Schedule of Investments	50
Quality Fund
Management Discussion and Analysis of Fund Performance	53
Performance Graph	54
Investment Concentration Summary	55
Schedule of Investments	56
Resource Transition Fund
Management Discussion and Analysis of Fund Performance	59
Performance Graph	60
Investment Concentration Summary	61
Schedule of Investments	62
Resources Fund
Management Discussion and Analysis of Fund Performance	65
Performance Graph	66
Investment Concentration Summary	67
Schedule of Investments	68

Small Cap Quality Fund
Management Discussion and Analysis of Fund Performance	71
Performance Graph	72
Investment Concentration Summary	73
Schedule of Investments	74
Tax-Managed International Equities Fund
Management Discussion and Analysis of Fund Performance	77
Performance Graph	78
Investment Concentration Summary	79
Schedule of Investments	80
U.S. Equity Fund
Management Discussion and Analysis of Fund Performance	85
Performance Graph	86
Investment Concentration Summary	87
Schedule of Investments	88
U.S. Opportunistic Value Fund
Management Discussion and Analysis of Fund Performance	93
Performance Graph	94
Investment Concentration Summary	95
Schedule of Investments	96
U.S. Small Cap Value Fund
Management Discussion and Analysis of Fund Performance	99
Performance Graph	100
Investment Concentration Summary	101
Schedule of Investments	102
Portfolio, Counterparty and Currency Abbreviations	106
Fund Financial Statements:
Statements of Assets and Liabilities	107
Statements of Operations	113
Statements of Changes in Net Assets	116
Financial Highlights	124
Notes to Financial Statements	169
Report of Independent Registered Public Accounting Firm	216
Board Review of Investment Management Agreements	218
Fund Expenses	221
Tax Information	224
Trustees and Officers	226

This page has been left blank intentionally.

GMO Climate Change Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Climate Change Fund returned -1.92% (net) for the fiscal year ended February 28, 2023, as compared with -8.26% for the MSCI ACWI.

The Fund’s clean energy holdings, approximately half of the portfolio by weight, returned -1.9% for the year. This helped drive strong relative performance versus both broad global equities and the broader clean energy sector. Solar companies and lithium producers were the standouts within clean energy, while wind and biofuel companies fell more than broader global markets. Canadian Solar and SolarEdge Technologies were the top contributing individual positions.

The Fund’s electric grid and water allocations, significantly smaller positions than clean energy, also added to absolute returns by finishing the year well above broad global equities.

The Fund’s agriculture holdings faced the most headwinds, returning around -5%. PhosAgro and Ros Agro were two of the biggest individual detractors.

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

3

GMO Climate Change Fund

(A Series of GMO Trust)

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

GMO Climate Change Fund Class III Shares and the MSCI ACWI

As of February 28, 2023

	Average Annual Total Returns
	1 Year		5 Year		Since Inception
Class III		-1.92%		10.62%		4/5/17  12.86%
Class R6		-1.90%		n/a		1/16/20  14.01%
Class I		-2.03%		n/a		2/25/20  16.35%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, R6 and I the gross expense ratio of 0.81%, 0.81% and 0.91%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.77%, 0.77% and 0.87% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

4

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.5	%
Mutual Funds		2.9
Short-Term Investments		0.2
Other		(0.6	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		47.8	%
Canada		11.1
France		6.3
South Korea		5.7
Japan		5.0
Germany		3.2
Brazil		3.2
Denmark		2.8
China		2.7
Mexico		2.7
Other Developed		2.6	‡
Spain		1.9
Finland		1.3
United Kingdom		1.3
Chile		1.3
Other Emerging		1.1	†
		100.0	%
Industry Group Summary	% of Equity Investments#
Clean Energy		48.5	%
Energy Efficiency		20.3
Agriculture		12.6
Copper		8.3
Water		6.1
Electric Grid		3.8
Cash/Other		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).

¤ 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.

5

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 97.5%
		Argentina — 0.9%
	991,915	Adecoagro SA (a)		8,054,350
		Australia — 0.3%
	320,055	Clean TeQ Water Ltd * (a)		80,793
	352,923	Sandfire Resources Ltd		1,389,660
	1,399,037	Sunrise Energy Metals Ltd * (a)		1,504,678
		Total Australia		2,975,131
		Belgium — 0.6%
	173,060	Umicore SA		5,767,848
		Brazil — 3.2%
	2,293,670	Dexco SA		2,856,436
	1,948,167	Sao Martinho SA		10,121,411
	723,320	SLC Agricola SA		6,807,051
	1,124,400	Suzano SA		10,252,960
		Total Brazil		30,037,858
		Canada — 11.1%
	476,293	Anaergia Inc * (a)		1,532,375
	837,710	Canadian Solar Inc *		33,298,973
	708,464	First Quantum Minerals Ltd		15,477,693
	1,925,700	Greenlane Renewables Inc * (a)		606,853
	3,171,457	Ivanhoe Mines Ltd – Class A *		26,496,599
	1,008,392	Largo Inc * (a)		6,451,640
	1,333,508	Li-Cycle Holdings Corp * (a)		8,081,058
	194,500	Northland Power Inc		4,725,302
	90,860	Nutrien Ltd		7,079,689
		Total Canada		103,750,182
		Chile — 1.3%
	131,658	Sociedad Quimica y Minera de Chile SA Sponsored ADR		11,684,648
		China — 2.8%
	1,031,000	Canvest Environmental Protection Group Co Ltd		508,135
	8,528,114	China High Speed Transmission Equipment Group Co Ltd *		3,525,470
	3,654,494	China Water Affairs Group Ltd		3,251,454
	225,792	Hollysys Automation Technologies Ltd		4,152,315
	742,500	Ming Yang Smart Energy Group Ltd – Class A		2,716,186
	1,737,600	Tianjin Capital Environmental Protection Group Co Ltd – Class A		1,612,854
	2,606,006	Tianneng Power International Ltd (a)		3,343,196
	5,342,352	Xinjiang Goldwind Science & Technology Co Ltd – Class H (a)		4,819,047
	1,226,576	Yutong Bus Co Ltd – Class A		1,765,673
		Total China		25,694,330

Shares		Description	Value ($)
		Denmark — 2.8%
	915,363	Vestas Wind Systems A/S		26,119,829
		Finland — 1.3%
	429,093	Kemira Oyj		8,218,626
	62,677	Neste Oyj		3,022,989
	44,979	Uponor Oyj		837,078
		Total Finland		12,078,693
		France — 6.3%
	141,314	Nexans SA		13,624,450
	194,164	STMicroelectronics NV		9,301,452
	644,103	Valeo		13,381,072
	631,256	Veolia Environnement SA		18,839,396
	2,944	Vilmorin & Cie SA		150,122
	114,522	Waga Energy SA *		3,282,990
		Total France		58,579,482
		Germany — 3.2%
	359,049	E.ON SE		3,917,533
	244,304	Infineon Technologies AG		8,642,591
	97,550	Knorr-Bremse AG		6,629,976
	72,789	Siemens AG (Registered)		11,092,446
		Total Germany		30,282,546
		Israel — 0.2%
	317,225	ICL Group Ltd		2,302,217
		Japan — 5.1%
	263,700	Ebara Corp		11,206,503
	240,700	GS Yuasa Corp		4,337,798
	23,000	Kurita Water Industries Ltd		1,039,144
	9,900	METAWATER Co Ltd		121,195
	151,600	Organo Corp		3,782,536
	815,300	Panasonic Holdings Corp (a)		7,119,219
	995,100	Renesas Electronics Corp *		12,854,190
	454,700	Yokogawa Electric Corp		6,791,068
		Total Japan		47,251,653
		Mexico — 2.7%
	4,295,205	Grupo Mexico SAB de CV – Series B		19,318,035
	2,754,600	Orbia Advance Corp SAB de CV		5,722,534
		Total Mexico		25,040,569
		Netherlands — 0.4%
	86,187	Arcadis NV		3,563,965
		Norway — 0.7%
	778,202	Austevoll Seafood ASA		6,649,499
		Russia — 0.0%
	72,215	MMC Norilsk Nickel PJSC (b)		139,426
	3	MMC Norilsk Nickel PJSC ADR * (b)		1
	120,856	PhosAgro PJSC (b)		108,472

See accompanying notes to the financial statements. 6

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Russia — continued
	2,335	PhosAgro PJSC GDR * (b) (c)		699
	169,638	Ros Agro Plc GDR (Registered) * (b)		17,770
		Total Russia		266,368
		South Korea — 5.8%
	102,300	LG Chem Ltd		52,514,945
	2,346	Samsung SDI Co Ltd		1,232,532
		Total South Korea		53,747,477
		Spain — 1.9%
	23,995	Acciona SA		4,520,781
	239,948	Endesa SA		4,705,384
	414,526	Iberdrola SA		4,751,885
	221,863	Red Electrica Corp SA		3,680,395
		Total Spain		17,658,445
		Sweden — 0.2%
	244,125	Munters Group AB		2,355,205
		Switzerland — 0.1%
	6,625	Gurit Holding AG (a)		689,199
		Thailand — 0.1%
	2,418,500	SPCG Pcl		999,237
		Ukraine — 0.1%
	219,994	Kernel Holding SA *		995,844
		United Kingdom — 1.3%
	181,900	Atlantica Sustainable Infrastructure Plc		5,020,440
	303,072	National Grid Plc		3,803,465
	366,690	Renewi Plc *		3,030,201
		Total United Kingdom		11,854,106
		United States — 45.1%
	342,762	Aemetis, Inc. * (a)		1,223,660
	107,492	AGCO Corp.		15,135,949
	281,700	Alcoa Corp.		13,786,398
	730,460	Ameresco, Inc. – Class A *		32,103,717
	351,561	BorgWarner, Inc.		17,676,487
	2,927,838	Clean Energy Fuels Corp. *		16,395,893
	42,163	Consolidated Edison, Inc.		3,767,264
	55,938	Constellation Energy Corp.		4,189,197
	205,424	Corteva, Inc.		12,795,861
	501,350	Darling Ingredients, Inc. *		31,720,414
	17,622	Deere & Co.		7,387,847
	56,866	Edison International		3,765,098
	52,691	EnerSys		4,778,547
	90,128	Exelon Corp.		3,640,270
	307,122	Freeport-McMoRan, Inc.		12,582,788
	1,171,395	Gevo, Inc. * (a)		2,167,081
	5,292,084	GrafTech International Ltd.		29,900,275
	725,731	Green Plains, Inc. *		25,161,094

Shares		Description	Value ($)
		United States — continued
	859,990	Livent Corp. *		20,166,765
	299,118	Mosaic Co. (The)		15,910,086
	211,748	Mueller Water Products, Inc. – Class A		2,936,945
	20,787	MYR Group, Inc. *		2,507,120
	26,300	NextEra Energy Partners LP		1,742,638
	78,265	ON Semiconductor Corp. *		6,058,494
	47,209	Owens Corning		4,616,568
	29,572	Pentair Plc		1,654,258
	162,881	PotlatchDeltic Corp. (REIT)		7,518,587
	142,123	Sensata Technologies Holding Plc		7,188,581
	126,437	SolarEdge Technologies, Inc. *		40,196,851
	2,240,487	Sunrun, Inc. *		53,861,307
	72,253	TE Connectivity Ltd.		9,199,252
	5,357	Valmont Industries, Inc.		1,699,937
	68,658	Westinghouse Air Brake Technologies Corp.		7,163,089
		Total United States		420,598,318
		TOTAL COMMON STOCKS (COST $899,870,247)		908,996,999
		MUTUAL FUNDS — 2.9%
		United States — 2.9%
		Affiliated Issuers — 2.9%
	5,441,764	GMO U.S. Treasury Fund (d)		27,154,401
		Total United States		27,154,401
		TOTAL MUTUAL FUNDS (COST $27,142,335)		27,154,401

7 See accompanying notes to the financial statements.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	2,242,517	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (e)		2,242,517
		TOTAL SHORT-TERM INVESTMENTS (COST $2,242,517)		2,242,517
		TOTAL INVESTMENTS — 100.6% (Cost $929,255,099)		938,393,917
		Other Assets and Liabilities (net) — (0.6)%		(5,534,744	)
		TOTAL NET ASSETS — 100.0%		$932,859,173

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 February 28, 2023
PhosAgro PJSC GDR		08/09/19	$	36,037		0.0	%	$	699

Notes to Schedule of Investments:

* Non-income producing security.

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

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

(c) The security is restricted as to resale.

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

(e) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

See accompanying notes to the financial statements. 8

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of fund Performance

Class VI shares of GMO Emerging Markets ex-China Fund returned -15.97% (net) for the fiscal year ended February 28, 2023, as compared with -14.92% for the MSCI Emerging Markets ex-China Index.

Country-sector allocation detracted from the Fund’s relative returns for the fiscal year. In particular, the Fund’s overweight positions in Russian Materials and Russian Energy hurt relative performance.

Stock selection detracted from the Fund’s relative returns for the period. The Fund’s stock selection in Russian Materials, Russian Energy, and Taiwanese Industrials hurt relative performance.

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

9

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

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

GMO Emerging Markets ex-China Fund Class VI Shares and the MSCI Emerging Markets

ex-China Index

As of February 28, 2023

	Average Annual Total Returns
	1 Year			Since Inception
Class III		-16.04	%		11/17/21 -24.00	%
Class VI		-15.97	%		10/18/21 -22.65	%
Class I		-16.19	%		12/1/21 -22.71	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, VI and I the gross expense ratio of 0.97%, 0.88% and 1.14%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.81%, 0.68% and 0.96% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

10

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.4	%
Preferred Stocks		6.2
Mutual Funds		0.1
Short-Term Investments		0.0	^
Other		(2.7	)
		100.0	%
Country/Region Summary¤	% of Investments
Taiwan		32.7	%
South Korea		19.9
Brazil		10.4
Mexico		8.0
India		6.7
South Africa		6.4
Indonesia		4.4
Vietnam		2.4
Poland		2.0
Hungary		1.6
Chile		1.5
Thailand		0.8
United Kingdom		0.7	*
Qatar		0.6
Egypt		0.5
Russia		0.5
Turkey		0.3
Philippines		0.2
Czech Republic		0.2
United States		0.1	*
Malaysia		0.1
Greece		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Technology Hardware & Equipment		18.0	%
Banks		14.6
Materials		14.1
Energy		11.4
Semiconductors & Semiconductor Equipment		8.7
Transportation		7.8
Food, Beverage & Tobacco		6.8
Diversified Financials		3.7
Insurance		3.7
Automobiles & Components		1.6
Utilities		1.3
Food & Staples Retailing		1.3
Telecommunication Services		1.2
Capital Goods		1.0
Software & Services		1.0
Household & Personal Products		0.8
Health Care Equipment & Services		0.7
Media & Entertainment		0.5
Retailing		0.5
Pharmaceuticals, Biotechnology & Life Sciences		0.4
Consumer Durables & Apparel		0.3
Consumer Services		0.3
Real Estate		0.2
Commercial & Professional Services		0.1
		100.0	%

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

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

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

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

^ Rounds to 0.0%.

11

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 96.4%
		Brazil — 4.6%
	962,100	Ambev SA		2,460,633
	19,200	Banco do Brasil SA		147,793
	300	Banco Santander Brasil SA ADR		1,638
	186,300	BB Seguridade Participacoes SA		1,217,340
	7,200	Cia Brasileira de Aluminio		14,330
	139,500	CPFL Energia SA		807,085
	27,800	EDP—Energias do Brasil SA		104,234
	159,527	Enauta Participacoes SA		419,884
	12,400	Engie Brasil Energia SA		93,033
	3,100	Fleury SA		8,402
	65,303	Localiza Rent a Car SA		692,140
	168,400	Transmissora Alianca de Energia Eletrica SA		1,141,548
	35,000	Ultrapar Participacoes SA		88,111
	11,600	Vale SA		189,041
	259,002	Vale SA Sponsored ADR – Class B		4,232,093
		Total Brazil		11,617,305
		Chile — 1.6%
	6	Banco de Chile		0
	35,530	CAP SA		295,371
	9,835	Cencosud SA		18,590
	44,531	Cencosud Shopping SA		63,445
	19,200	Cia Cervecerias Unidas SA Sponsored ADR		291,456
	3,353,198	Colbun SA		384,476
	92,049	Inversiones La Construccion SA		401,402
	28,500	Sociedad Quimica y Minera de Chile SA
		Sponsored ADR		2,529,375
		Total Chile		3,984,115
		Czech Republic — 0.2%
	705	Philip Morris CR AS		546,098
		Egypt — 0.5%
	32,022	Abou Kir Fertilizers & Chemical Industries		43,625
	414,704	Commercial International Bank Egypt SAE		718,950
	937,132	Eastern Co SAE		566,482
		Total Egypt		1,329,057
		Greece — 0.0%
	2,715	Jumbo SA		54,213
		Hungary — 1.6%
	96,339	MOL Hungarian Oil & Gas Plc		731,567
	98,163	OTP Bank Nyrt		2,973,639
	19,080	Richter Gedeon Nyrt		399,949
		Total Hungary		4,105,155
		India — 6.9%
	27,073	Aurobindo Pharma Ltd		150,872
	20,000	Axis Bank Ltd GDR (Registered)		1,012,638

Shares		Description	Value ($)
		India — continued
	34,200	Azure Power Global Ltd *		113,544
	59,181	Castrol India Ltd		82,234
	9,038	City Union Bank Ltd		15,129
	1,866,066	Coal India Ltd		4,845,398
	28,954	Cochin Shipyard Ltd		158,600
	7,909	Colgate-Palmolive India Ltd		141,333
	15,065	Coromandel International Ltd		164,688
	5,143	Deepak Fertilisers & Petrochemicals Corp Ltd		38,840
	9,436	EID Parry India Ltd		56,944
	48,991	Engineers India Ltd		42,553
	31,711	Exide Industries Ltd		67,444
	16,065	GHCL Ltd		100,372
	9,524	Godawari Power and Ispat Ltd		39,238
	12,975	Great Eastern Shipping Co Ltd (The)		86,161
	49,593	Gujarat Mineral Development Corp Ltd		79,990
	12,390	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		78,893
	122,392	Gujarat State Fertilizers & Chemicals Ltd		185,250
	14,039	HDFC Bank Ltd ADR		949,598
	80,000	ICICI Bank Ltd Sponsored ADR		1,654,400
	131	Indus Towers Ltd		273
	70,010	Infosys Ltd Sponsored ADR		1,255,979
	483,091	ITC Ltd		2,199,162
	38,128	L&T Finance Holdings Ltd		40,496
	7,108	Mahanagar Gas Ltd		76,796
	12,400	MakeMyTrip Ltd *		321,408
	159,172	Manappuram Finance Ltd		198,132
	334,008	National Aluminium Co Ltd		316,258
	121,694	NBCC India Ltd		48,823
	37,102	NCC Ltd		40,108
	749,082	Oil & Natural Gas Corp Ltd		1,374,000
	51,199	Oil India Ltd		152,338
	4,087	Oracle Financial Services Software Ltd		155,923
	138,148	Petronet LNG Ltd		370,645
	13,840	Redington Ltd		28,505
	13,907	RITES Ltd		54,780
	44,092	Sun TV Network Ltd		229,409
	28,656	Welspun Corp Ltd		63,736
	6,400	WNS Holdings Ltd ADR *		556,288
	12,551	Zensar Technologies Ltd		43,976
		Total India		17,591,154
		Indonesia — 4.5%
	16,037,800	Adaro Energy Indonesia Tbk PT		3,142,168
	858,000	AKR Corporindo Tbk PT		77,873
	5,745,200	Bank Central Asia Tbk PT		3,295,094
	1,496,100	Bank Mandiri Persero Tbk PT		980,769
	859,100	Bank Negara Indonesia Persero Tbk PT		494,091
	3,008,900	Bank Rakyat Indonesia Persero Tbk PT		920,920
	3,085,800	Bukit Asam Tbk PT		780,830
	1,348,300	Indika Energy Tbk PT		203,269
	313,500	Indo Tambangraya Megah Tbk PT		764,178

See accompanying notes to the financial statements. 12

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Indonesia — continued
	452,700	United Tractors Tbk PT		828,011
		Total Indonesia		11,487,203
		Malaysia — 0.1%
	184,300	Hartalega Holdings Bhd		60,362
	127,700	Hibiscus Petroleum Bhd		30,260
	284,300	Kossan Rubber Industries Bhd		69,039
	41,800	Petronas Chemicals Group Bhd		66,679
	800	RHB Bank Bhd		1,013
		Total Malaysia		227,353
		Mexico — 8.2%
	726,778	America Movil SAB de CV – Series L		746,381
	36,377	America Movil SAB de CV – Class L Sponsored ADR		748,639
	130,900	Arca Continental SAB de CV		1,108,713
	200,700	Banco del Bajio SA		766,864
	7,300	Coca-Cola Femsa SAB de CV Sponsored ADR		525,673
	539,400	Credito Real SAB de CV SOFOM ER * (a)		—
	5,000	Fomento Economico Mexicano SAB de CV Sponsored ADR		459,600
	600	Grupo Aeroportuario del Centro Norte SAB de CV ADR		46,794
	19,900	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		190,272
	3,700	Grupo Aeroportuario del Pacifico SAB de CV – Class B		70,190
	33,395	Grupo Aeroportuario del Sureste SAB de CV – Class B		956,156
	240	Grupo Aeroportuario del Sureste SAB de CV ADR		68,683
	1,215,867	Grupo Financiero Banorte SAB de CV – Class O		10,292,323
	225,000	Grupo Mexico SAB de CV – Series B		1,011,956
	107,100	Qualitas Controladora SAB de CV		666,196
	77,300	Regional SAB de CV		641,332
	631,037	Wal-Mart de Mexico SAB de CV		2,486,692
		Total Mexico		20,786,464
		Philippines — 0.2%
	35,350	GT Capital Holdings Inc		331,265
	420,300	Puregold Price Club Inc		239,222
		Total Philippines		570,487
		Poland — 2.1%
	35,576	Bank Polska Kasa Opieki SA		715,902
	10,768	Jastrzebska Spolka Weglowa SA *		132,304
	193,748	Polski Koncern Naftowy ORLEN SA		2,893,736
	183,005	Powszechny Zaklad Ubezpieczen SA		1,504,660
		Total Poland		5,246,602
		Qatar — 0.6%
	324,184	Qatar National Bank QPSC		1,500,132

Shares		Description	Value ($)
		Russia — 0.5%
	4,036,000	Alrosa PJSC * (a) (b)		32,541
	434,347	Etalon Group Plc GDR (Registered) * (a)		3,107
	131,280	Evraz Plc (a)		3,232
	236,860,000	Federal Grid Co Unified Energy System PJSC * (a)		2,796
	102,255	Gazprom Neft PJSC (a)		5,802
	897,812	Gazprom PJSC (a)		18,868
	6,151,400	Inter RAO UES PJSC (a)		2,797
	122,088	LUKOIL PJSC (a)		64,501
	4,327,340	Magnitogorsk Iron & Steel Works PJSC * (a) (b)		22,597
	7,832	MMC Norilsk Nickel PJSC (a)		15,121
	5	MMC Norilsk Nickel PJSC ADR * (a)		1
	172,200	Mobile TeleSystems PJSC ADR* (a)		11,931
	88,090	Moscow Exchange MICEX-RTS PJSC * (a)		1,356
	93,370	Novatek PJSC (a)		13,287
	1,403,510	Novolipetsk Steel PJSC * (a)		23,391
	4,917	PhosAgro PJSC (a)		4,413
	95	PhosAgro PJSC GDR * (a) (b)		28
	276,810	Polymetal International Plc *		815,037
	11,902	Polyus PJSC * (a)		13,922
	1	Polyus PJSC GDR (Registered) * (a)		1
	4,917	Ros Agro Plc GDR (Registered) * (a)		515
	50,074,400	RusHydro PJSC (a)		5,264
	3,446,432	Sberbank of Russia PJSC * (a) (b)		78,021
	140,607	Severstal PJSC GDR (Registered) * (a) (b)		19,873
	2,387,800	Surgutneftegas PJSC (a)		7,267
	657,084	Tatneft PJSC (a)		28,709
	9,408	TCS Group Holding Plc GDR (Registered) * (a)		3,229
		Total Russia		1,197,607
		South Africa — 6.6%
	1	Absa Group Ltd		11
	50,985	Anglo American Platinum Ltd		2,819,289
	2,190	Aspen Pharmacare Holdings Ltd		16,911
	61,129	AVI Ltd		253,086
	6,221	Capitec Bank Holdings Ltd		593,510
	2,833	Clicks Group Ltd		41,271
	11,088	Exxaro Resources Ltd		121,362
	915,141	FirstRand Ltd		3,264,090
	72,127	Foschini Group Ltd (The)		398,389
	145,618	Impala Platinum Holdings Ltd		1,359,619
	15,943	Investec Ltd		102,003
	59,968	Kumba Iron Ore Ltd		1,563,838
	14,313	Motus Holdings Ltd		86,339
	62,346	Mr Price Group Ltd		517,041
	53,310	MTN Group Ltd		420,053
	104,250	Ninety One Ltd		261,409
	808,940	Old Mutual Ltd		524,714
	15,057	Omnia Holdings Ltd		48,980
	152	Reinet Investments SCA		3,009
	74,593	Sanlam Ltd		242,754
	240,447	Sibanye Stillwater Ltd		485,479

13 See accompanying notes to the financial statements.

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		South Africa — continued
	109,300	Sibanye Stillwater Ltd ADR		885,330
	35,811	Thungela Resources Ltd (c)		413,333
	42,885	Thungela Resources Ltd (c)		498,636
	44,728	Tiger Brands Ltd		540,630
	97,283	Truworths International Ltd		313,294
	156,823	Vodacom Group Ltd		1,080,771
		Total South Africa		16,855,151
		South Korea — 20.4%
	2,327	BGF retail Co Ltd		318,273
	13,337	BH Co Ltd		238,042
	459	Caregen Co Ltd		61,167
	23,514	Cheil Worldwide Inc		355,514
	6	CJ CheilJedang Corp		1,456
	3,515	Coway Co Ltd		141,816
	6,472	Daeduck Electronics Co Ltd		102,462
	20,419	Daou Data Corp		748,448
	8,396	DB HiTek Co Ltd		286,834
	5,155	DB Insurance Co Ltd		299,990
	135,863	Dongwon Development Co Ltd		330,781
	36	GOLFZON Co Ltd *		3,899
	1,487	GS Holdings Corp		45,703
	3,235	HAESUNG DS Co Ltd		98,078
	22,097	Hana Financial Group Inc		757,866
	1,507	Handsome Co Ltd		29,277
	9,802	Hankook Tire & Technology Co Ltd		275,726
	26,261	HMM Co Ltd *		446,781
	7,286	Huchems Fine Chemical Corp		111,183
	48,482	Humasis Co Ltd *		542,048
	3,466	Hyundai Glovis Co Ltd		415,095
	15,950	Hyundai Marine & Fire Insurance Co Ltd		424,416
	10,145	Hyundai Mobis Co Ltd		1,629,529
	1,098	Industrial Bank of Korea		8,610
	7,380	INTOPS Co Ltd		156,290
	1,775	JB Financial Group Co Ltd		12,394
	36,734	KB Financial Group Inc		1,422,674
	4,016	KCC Glass Corp		123,366
	273	KEPCO Plant Service & Engineering Co Ltd *		6,679
	39,898	Kia Corp		2,267,408
	91,299	Korea Real Estate Investment & Trust Co Ltd		89,785
	4,076	Korea Zinc Co Ltd		1,799,738
	65,921	KT Skylife Co Ltd		399,269
	101,135	KT&G Corp		6,786,562
	10,983	Kumho Petrochemical Co Ltd *		1,305,939
	6,054	LOTTE Fine Chemical Co Ltd		265,491
	9,491	LX Semicon Co Ltd		662,134
	2,570	MegaStudyEdu Co Ltd		134,195
	59,200	Meritz Securities Co Ltd		314,146
	9,703	Mirae Asset Securities Co Ltd		52,391
	1,094	NCSoft Corp		358,955
	16,618	NH Investment & Securities Co Ltd *		119,282
	491	NongShim Co Ltd		135,871

Shares		Description	Value ($)
		South Korea — continued
	6,312	Orion Corp		596,637
	6,963	POSCO Holdings Inc		1,678,245
	14,500	POSCO Holdings Inc Sponsored ADR		884,355
	4,464	PSK Inc		59,735
	2,482	S-1 Corp		105,818
	365,132	Samsung Electronics Co Ltd		16,706,574
	1,411	Samsung Fire & Marine Insurance Co Ltd		228,845
	4,743	Samsung SDS Co Ltd		448,570
	8,008	Samsung Securities Co Ltd		202,664
	1,206	Samyang Foods Co Ltd		108,621
	46,746	SD Biosensor Inc		811,704
	28,240	Seegene Inc		519,684
	1,992	SFA Engineering Corp		54,055
	52,120	Shinhan Financial Group Co Ltd		1,530,505
	287	SK Chemicals Co Ltd		16,972
	656	Soulbrain Co Ltd		115,755
	13,389	Spigen Korea Co Ltd		344,799
	458	Unid Co Ltd		28,298
	370,597	Woori Financial Group Inc		3,416,525
	122	Young Poong Corp *		57,492
	1,025	Youngone Corp *		33,003
		Total South Korea		52,034,419
		Taiwan — 33.6%
	447,000	Acer Inc		370,669
	8,000	Advanced Ceramic X Corp		60,859
	28,000	Advantech Co Ltd		324,801
	1,011,850	AmTRAN Technology Co Ltd		353,952
	126,000	Asia Cement Corp		184,734
	155,000	Asustek Computer Inc		1,403,890
	86,000	Aten International Co Ltd		229,781
	20,000	Aurora Corp		52,750
	954,000	Catcher Technology Co Ltd		5,765,055
	1,383,319	Cathay Financial Holding Co Ltd		1,961,671
	39,900	Chailease Holding Co Ltd		292,455
	177,000	Chicony Electronics Co Ltd		531,659
	161,176	China Development Financial Holding Corp		69,398
	469,000	China General Plastics Corp		439,722
	689,000	China Steel Corp		708,795
	266,000	Chipbond Technology Corp		585,048
	119,000	ChipMOS Technologies Inc		141,628
	20,000	Chroma ATE Inc		120,432
	34,000	Chunghwa Telecom Co Ltd		128,549
	33,000	Elan Microelectronics Corp		116,822
	1,109,600	Evergreen Marine Corp Taiwan Ltd		5,670,317
	68,000	Everlight Electronics Co Ltd		85,595
	91,000	Far Eastern New Century Corp		96,740
	40,000	Feng Hsin Steel Co Ltd		93,665
	269,000	First Financial Holding Co Ltd		235,733
	21,000	FLEXium Interconnect Inc *		67,557
	110,000	Formosa Advanced Technologies Co Ltd		154,837
	49,000	Formosa Chemicals & Fibre Corp		113,712
	19,000	Formosa International Hotels Corp		194,612

See accompanying notes to the financial statements. 14

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Taiwan — continued
	1,000,000	Formosa Plastics Corp		2,968,568
	430,897	Foxconn Technology Co Ltd		783,586
	1,506,500	Fubon Financial Holding Co Ltd		2,945,831
	34,000	Getac Technology Corp		54,668
	132,000	Gigabyte Technology Co Ltd		511,141
	24,000	Global Mixed Mode Technology Inc		136,915
	449,000	Grand Pacific Petrochemical		291,904
	85,000	Greatek Electronics Inc		148,246
	1,384,000	HannStar Display Corp *		578,047
	41,000	Holtek Semiconductor Inc		99,131
	1,416,000	Hon Hai Precision Industry Co Ltd		4,684,130
	2,000	International Games System Co Ltd		32,952
	169,000	Inventec Corp		146,812
	8,000	King Slide Works Co Ltd		109,103
	391,000	King’s Town Bank Co Ltd		436,207
	104,000	Kung Long Batteries Industrial Co Ltd		477,221
	93,000	Largan Precision Co Ltd		6,685,774
	843,000	Lite-On Technology Corp		1,918,271
	18,000	Makalot Industrial Co Ltd		125,977
	542,000	Micro-Star International Co Ltd		2,417,903
	260,000	Mitac Holdings Corp		268,621
	542,000	Nan Ya Plastics Corp		1,333,552
	216,528	Nantex Industry Co Ltd		307,550
	201,000	Nanya Technology Corp		382,606
	8,000	Nien Made Enterprise Co Ltd		85,177
	244,000	Novatek Microelectronics Corp		3,224,607
	72,000	Phison Electronics Corp		819,850
	32,000	Powertech Technology Inc		92,530
	209,000	Primax Electronics Ltd		406,297
	275,000	Radiant Opto-Electronics Corp		949,356
	22,000	Raydium Semiconductor Corp		294,874
	136,744	Shanghai Commercial & Savings Bank Ltd (The)		212,275
	63,000	Simplo Technology Co Ltd		608,596
	9,000	Sinbon Electronics Co Ltd		87,619
	28,000	Sonix Technology Co Ltd		50,196
	12,000	Sporton International Inc		104,331
	69,000	Synnex Technology International Corp		140,788
	55,000	T3EX Global Holdings Corp		124,520
	50,000	TaiDoc Technology Corp		310,475
	109,200	Taita Chemical Co Ltd		82,601
	273,000	Taiwan Glass Industry Corp		208,722
	30,000	Taiwan Hon Chuan Enterprise Co Ltd		94,760
	283,000	Taiwan PCB Techvest Co Ltd		358,842
	311,000	Taiwan Semiconductor Manufacturing Co Ltd		5,145,150
	105,980	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		9,227,679
	155,000	Taiwan Union Technology Corp		297,521
	30,000	TCI Co Ltd		207,762
	88,000	Tripod Technology Corp		301,381
	45,000	Tung Ho Steel Enterprise Corp		87,710
	23,000	TXC Corp		64,795
	115,000	United Integrated Services Co Ltd		847,823

Shares		Description	Value ($)
		Taiwan — continued
	97,000	Universal Inc		76,351
	505,000	USI Corp		415,164
	27,000	Walsin Technology Corp		88,078
	1,164,250	Wan Hai Lines Ltd		3,013,105
	60,000	WPG Holdings Ltd		96,985
	3,996,000	Yang Ming Marine Transport Corp		8,410,657
	824,580	Yuanta Financial Holding Co Ltd		613,117
		Total Taiwan		85,549,848
		Thailand — 0.8%
	116,300	CP ALL Pcl NVDR		203,977
	28,200	Kasikornbank Pcl NVDR		109,289
	377,000	PTT Exploration & Production Pcl NVDR		1,595,631
	151,200	Regional Container Lines Pcl NVDR		133,632
	365,900	Sri Trang Gloves Thailand Pcl NVDR		114,875
		Total Thailand		2,157,404
		Turkey — 0.2%
	2	Turkiye Is Bankasi AS – Class C		1
	1,239,542	Yapi ve Kredi Bankasi AS		656,894
		Total Turkey		656,895
		United Kingdom — 0.7%
	35,882	Unilever Plc		1,786,474
		Vietnam — 2.5%
	524,500	Duc Giang Chemicals JSC		1,105,613
	123,800	IDICO Corp JSC		200,094
	96,900	PetroVietnam Ca Mau Fertilizer JSC		95,809
	87,200	PetroVietnam Fertilizer & Chemicals JSC		128,413
	115,600	PetroVietnam Technical Services Corp		125,953
	755,400	SSI Securities Corp		580,253
	389,100	Vietnam Dairy Products JSC		1,236,623
	709,200	Vietnam Joint Stock Commercial Bank for Industry and Trade *		817,709
	3,555,900	VNDirect Securities Corp		2,012,991
		Total Vietnam		6,303,458
		TOTAL COMMON STOCKS (COST $339,867,613)		245,586,594
		PREFERRED STOCKS (d) — 6.2%
		Brazil — 6.2%
	26,600	Banco do Estado do Rio Grande do Sul SA – Class B		50,757
	241,819	Cia Energetica de Minas Gerais		484,058
	52,760	Cia Energetica de Minas Gerais Sponsored ADR		102,882
	4,300	Cia Ferro Ligas da Bahia		47,185
	533,200	Gerdau SA		2,915,798
	87,300	Gerdau SA Sponsored ADR		477,531
	512,500	Itausa SA		805,638
	273,100	Metalurgica Gerdau SA		656,218

15 See accompanying notes to the financial statements.

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Brazil — continued
	1,865,669	Petroleo Brasileiro SA		8,994,353
	97,717	Petroleo Brasileiro SA Sponsored ADR		953,718
	13,700	Unipar Carbocloro SA – Class B		207,484
		Total Brazil		15,695,622
		Chile — 0.0%
	14,812	Embotelladora Andina SA – Class B		36,423
		Russia — 0.0%
	3,948,700	Surgutneftegas PJSC (a)		14,643
	315	Transneft PJSC (a)		3,840
		Total Russia		18,483
		Taiwan — 0.0%
	224,635	China Development Financial Holding Corp		59,877
		TOTAL PREFERRED STOCKS (COST $20,057,749)		15,810,405
		MUTUAL FUNDS — 0.1%
		United States — 0.1%
		Affiliated Issuers — 0.1%
	63,933	GMO U.S. Treasury Fund		319,023
		Total United States		319,023
		TOTAL MUTUAL FUNDS (COST $319,023)		319,023
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	25,328	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (e)		25,328
		TOTAL SHORT-TERM INVESTMENTS (COST $25,328)		25,328
		TOTAL INVESTMENTS — 102.7% (Cost $360,269,713)		261,741,350
		Other Assets and Liabilities (net) — (2.7)%		(6,947,223	)
		TOTAL NET ASSETS — 100.0%		$254,794,127

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 February 28, 2023
Alrosa PJSC		10/18/21	$	7,054,956		0.0	%	$	32,541

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets			Value as of February 28, 2023
Magnitogorsk Iron & Steel Works PJSC		10/18/21	$	4,011,995		0.0	%	$	22,597
PhosAgro PJSC GDR		10/18/21		2,465		0.0	%		28
Sberbank of Russia PJSC		10/18/21		16,614,391		0.0	%		78,021
Severstal PJSC GDR (Registered)		10/18/21		3,190,235		0.0	%		19,873
								$	153,060

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) The security is restricted as to resale.

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

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

(e) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

See accompanying notes to the financial statements. 16

GMO Emerging Markets Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class II shares of GMO Emerging Markets Fund returned -20.78% (net) for the fiscal year ended February 28, 2023, as compared with -15.28% for the MSCI Emerging Markets Index.

Country-sector allocation detracted from the Fund’s relative returns for the fiscal year. In particular, the Fund’s overweight positions in Russian Materials and Russian Energy hurt relative performance.

Stock selection detracted from the Fund’s relative returns for the fiscal year. The Fund’s stock selection in Russian Materials, Russian Energy, and Taiwanese Industrials hurt relative performance.

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

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

17

GMO Emerging Markets Fund

(A Series of GMO Trust)

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

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

the S&P/IFCI Composite

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year			Since Inception
Class II		-20.78	%		-5.32	%		-1.02	%	n/a
Class III		-20.73	%		-5.27	%		-0.97	%	n/a
Class VI		-20.62	%		-5.15	%		-0.84	%	n/a
Class R6		-20.76	%		n/a			n/a		3/31/20 -0.57%
Class I		-20.80	%		n/a			n/a		1/14/20 -9.79%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

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

For Class II, III, VI, R6 and I the gross expense ratio of 0.96%, 0.89%, 0.80%, 0.96% and 1.09%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.93%, 0.88%, 0.75%, 0.93% and 0.99% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

18

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		91.2	%
Preferred Stocks		6.8
Mutual Funds		1.8
Short-Term Investments		0.4
Debt Obligations		0.3
Futures Contracts		(0.1	)
Other		(0.4	)
		100.0	%
Country/Region Summary¤	% of Investments
China		25.7	%
Taiwan		20.1
South Korea		14.5
United States		8.6	*
Brazil		6.7
Mexico		5.1
India		4.7
South Africa		4.1
Vietnam		2.8
Indonesia		1.6
United Kingdom		1.2	*
Hungary		1.1
Poland		0.8
Russia		0.5
Qatar		0.5
Thailand		0.4
Chile		0.4
Czech Republic		0.2
Malaysia		0.2
Egypt		0.2
Philippines		0.2
Greece		0.1
Kuwait		0.1
Pakistan		0.1
Turkey		0.1
Sri Lanka		0.0	^
Panama		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Technology Hardware & Equipment		14.1	%
Materials		11.8
Banks		10.5
Energy		10.5
Food, Beverage & Tobacco		8.7
Transportation		8.5
Media & Entertainment		6.7
Semiconductors & Semiconductor Equipment		5.7
Insurance		4.1
Diversified Financials		3.3
Retailing		2.9
Automobiles & Components		2.1
Consumer Durables & Apparel		1.7
Household & Personal Products		1.7
Capital Goods		1.6
Health Care Equipment & Services		1.2
Software & Services		1.0
Real Estate		0.9
Pharmaceuticals, Biotechnology & Life Sciences		0.8
Food & Staples Retailing		0.8
Telecommunication Services		0.5
Utilities		0.4
Consumer Services		0.4
Commercial & Professional Services		0.1
		100.0	%

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

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

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

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

^ Rounds to 0.0%.

19

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 91.2%
		Brazil — 2.9%
	74,300	Alupar Investimento SA		385,305
	768,800	Ambev SA		1,966,255
	140,500	BB Seguridade Participacoes SA		918,069
	423,800	Cia Brasileira de Aluminio		843,480
	129,300	CPFL Energia SA		748,073
	359,900	EDP—Energias do Brasil SA		1,349,423
	520,986	Enauta Participacoes SA		1,371,265
	291,000	Fleury SA		788,717
	559,788	Localiza Rent a Car SA		5,933,136
	106,400	M Dias Branco SA		682,243
	238,400	Petroreconcavo SA		1,288,661
	421,100	Qualicorp Consultoria e Corretora de Seguros SA		375,619
	367,500	Santos Brasil Participacoes SA		562,258
	119,200	Sao Martinho SA		619,286
	432,643	Vale SA Sponsored ADR – Class B		7,069,387
		Total Brazil		24,901,177
		Chile — 0.4%
	35,198	CAP SA		292,611
	8,542,519	Colbun SA		979,480
	25,900	Sociedad Quimica y Minera de Chile SA Sponsored ADR		2,298,625
		Total Chile		3,570,716
		China — 27.6%
	2,476,000	361 Degrees International Ltd *		1,187,523
	585,500	3SBio Inc		580,605
	10,118,200	Agricultural Bank of China Ltd – Class A		4,271,785
	36,705	Alibaba Group Holding Ltd Sponsored ADR*		3,222,332
	248,600	Anhui Expressway Co Ltd – Class A		299,857
	354,000	Anhui Expressway Co Ltd – Class H		330,845
	134,200	ANTA Sports Products Ltd		1,772,142
	284,800	Autohome Inc – Class A (a)		2,178,723
	97,094	Autohome Inc ADR		2,961,367
	2,662,600	Bank of China Ltd – Class A		1,239,394
	646,000	Bosideng International Holdings Ltd		358,351
	1,008,000	China BlueChemical Ltd – Class H		227,520
	6,940,141	China Coal Energy Co Ltd – Class A		8,771,717
	4,827,878	China Communications Services Corp Ltd – Class H		1,877,055
	12,309,148	China Construction Bank Corp – Class H		7,524,304
	947,000	China Education Group Holdings Ltd		1,087,632
	19,367,000	China Feihe Ltd		15,522,798
	1,259,000	China Hongqiao Group Ltd		1,346,630
	1,216,000	China Lesso Group Holdings Ltd		1,282,618
	917,000	China Medical System Holdings Ltd		1,380,500
	639,800	China Merchants Bank Co Ltd – Class A		3,441,661
	1,802,000	China Oriental Group Co Ltd		365,589
	10,408,532	China Petroleum & Chemical Corp – Class A		6,983,389

Shares		Description	Value ($)
		China — continued
	1,322,000	China Petroleum & Chemical Corp – Class H		674,454
	3,845,631	China Shenhua Energy Co Ltd – Class A		15,519,556
	177,481	China Tourism Group Duty Free Corp Ltd – Class A		5,055,973
	732,000	China Yuhua Education Corp Ltd – Class L *		122,501
	2,585,500	COSCO Shipping Holdings Co Ltd – Class A		4,015,589
	1,065,000	COSCO Shipping Holdings Co Ltd – Class H		1,104,643
	158,000	CSPC Pharmaceutical Group Ltd		169,739
	1,209,000	Dongyue Group Ltd		1,369,176
	177,122	Hangzhou Robam Appliances Co Ltd – Class A		784,951
	250,000	Hansoh Pharmaceutical Group Co Ltd		449,434
	253,900	Hello Group Inc Sponsored ADR		2,236,859
	10,248,000	Hua Han Health Industry Holdings Ltd (b)		1
	250,800	Huayu Automotive Systems Co Ltd – Class A		683,353
	5,349,900	Industrial & Commercial Bank of China Ltd – Class A		3,314,701
	5,250,824	Inner Mongolia Eerduosi Resources Co Ltd – Class A		12,667,171
	1,098,200	Inner Mongolia Yitai Coal Co Ltd – Class H		1,397,115
	293,800	JOYY Inc ADR		9,225,320
	354,500	Kingboard Laminates Holdings Ltd		442,085
	25,749	Kweichow Moutai Co Ltd – Class A		6,736,362
	1,785,000	Lonking Holdings Ltd		323,139
	57,016	Meituan – Class B *		989,508
	128,800	Midea Group Co Ltd – Class A		972,332
	361,900	NetEase Inc		5,624,088
	901,000	Orient Overseas International Ltd		14,472,967
	8,593,000	PICC Property & Casualty Co Ltd – Class H		7,547,668
	1,509,009	Ping An Insurance Group Co of China Ltd – Class A		10,488,932
	349,500	Ping An Insurance Group Co of China Ltd – Class H		2,385,874
	812,100	Postal Savings Bank of China Co Ltd – Class A		529,035
	4,274,400	Qingling Motors Co Ltd – Class H		555,095
	462,400	Shandong Weigao Group Medical Polymer Co Ltd – Class H		746,390
	1,201,681	Shenzhen YUTO Packaging Technology Co Ltd – Class A		5,307,110
	2,058,500	Sinopec Engineering Group Co Ltd – Class H		1,031,313
	467,100	Sinotrans Ltd – Class A		264,592
	711,500	Sinotruk Hong Kong Ltd		1,121,410
	1,489,000	Sunac China Holdings Ltd * (c)		868,808
	261,800	Sunny Optical Technology Group Co Ltd		2,977,144
	445,165	Tencent Holdings Ltd		19,555,383
	155,300	Tencent Holdings Ltd ADR		6,826,988
	252,000	Tianneng Power International Ltd (a)		323,286
	417,000	Topsports International Holdings Ltd		364,736

See accompanying notes to the financial statements. 20

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		China — continued
	590,262	Vipshop Holdings Ltd ADR *		8,789,001
	204,400	Xinhua Winshare Publishing and Media Co Ltd – Class A		309,189
	58,000	Yadea Group Holdings Ltd		124,479
	1,163,515	Yankuang Energy Group Co Ltd – Class A		5,981,777
	1,252,000	Zhejiang Expressway Co Ltd – Class H		1,009,763
	37,507	Zhejiang Supor Co Ltd – Class A		307,326
		Total China		233,980,653
		Czech Republic — 0.3%
	415,292	Moneta Money Bank AS		1,582,037
	770	Philip Morris CR AS		596,448
		Total Czech Republic		2,178,485
		Egypt — 0.2%
	1,016,366	Commercial International Bank Egypt SAE		1,762,018
		Greece — 0.1%
	19,893	Jumbo SA		397,222
	27,371	Motor Oil Hellas Corinth Refineries SA		724,722
		Total Greece		1,121,944
		Hungary — 1.2%
	282,369	MOL Hungarian Oil & Gas Plc		2,144,219
	217,827	OTP Bank Nyrt		6,598,605
	54,615	Richter Gedeon Nyrt		1,144,821
		Total Hungary		9,887,645
		India — 5.1%
	126,719	Asian Paints Ltd		4,337,565
	434,720	Axis Bank Ltd		4,438,384
	976	Clean Science & Technology Ltd		16,215
	94,679	Cochin Shipyard Ltd		518,619
	29,266	Colgate-Palmolive India Ltd		522,981
	46,178	Coromandel International Ltd		504,811
	34,425	Deepak Fertilisers & Petrochemicals Corp Ltd		259,981
	52,156	GHCL Ltd		325,863
	49,752	Great Eastern Shipping Co Ltd (The)		330,379
	349,170	Gujarat State Fertilizers & Chemicals Ltd		528,496
	111,870	HDFC Bank Ltd		2,168,209
	158,429	Hindustan Zinc Ltd		582,890
	124,091	Housing Development Finance Corp Ltd		3,912,705
	658,997	ICICI Bank Ltd		6,811,027
	375,898	Infosys Ltd Sponsored ADR		6,743,610
	423,027	L&T Finance Holdings Ltd		449,298
	748,702	Manappuram Finance Ltd		931,961
	506,884	NCC Ltd		547,947
	138,040	Oil India Ltd		410,725
	10,474	Oracle Financial Services Software Ltd		399,594
	752,652	Petronet LNG Ltd		2,019,335
	16,173	PI Industries Ltd		605,008
	247,087	Redington Ltd		508,895

Shares		Description	Value ($)
		India — continued
	151,715	Sun TV Network Ltd		789,367
	153,710	Titan Co Ltd		4,403,421
		Total India		43,067,286
		Indonesia — 1.7%
	24,855,000	Adaro Energy Indonesia Tbk PT		4,869,657
	825,400	Bank Mandiri Persero Tbk PT		541,091
	3,763,500	Bank Negara Indonesia Persero Tbk PT		2,164,487
	10,572,800	Bank Pembangunan Daerah Jawa Timur Tbk PT		512,979
	7,987,800	Bukit Asam Tbk PT		2,021,230
	914,291	Indo Tambangraya Megah Tbk PT		2,228,649
	20,933,300	Panin Financial Tbk PT		546,313
	907,700	United Tractors Tbk PT		1,660,230
		Total Indonesia		14,544,636
		Kuwait — 0.1%
	64,358	Humansoft Holding Co KSC		771,498
		Malaysia — 0.2%
	1,590,900	Hartalega Holdings Bhd		521,056
	1,909,600	Hibiscus Petroleum Bhd		452,498
	1,505,800	Kossan Rubber Industries Bhd		365,666
	377,900	RHB Bank Bhd		478,301
		Total Malaysia		1,817,521
		Mexico — 5.4%
	2,027,700	America Movil SAB de CV – Series L		2,082,392
	97,800	America Movil SAB de CV – Class L Sponsored ADR		2,012,724
	201,500	Arca Continental SAB de CV		1,706,690
	473,900	Banco del Bajio SA		1,810,748
	26,800	Coca-Cola Femsa SAB de CV Sponsored ADR		1,929,868
	315,700	Credito Real SAB de CV SOFOM ER * (a) (b)		—
	50,900	Fomento Economico Mexicano SAB de CV Sponsored ADR		4,678,728
	5,500	Grupo Aeroportuario del Centro Norte SAB de CV ADR		428,945
	63,200	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		604,280
	3,700	Grupo Aeroportuario del Pacifico SAB de CV ADR		703,296
	59,300	Grupo Aeroportuario del Pacifico SAB de CV – Class B		1,124,938
	42,365	Grupo Aeroportuario del Sureste SAB de CV – Class B		1,212,982
	6,900	Grupo Aeroportuario del Sureste SAB de CV ADR		1,974,642
	139,100	Grupo Bimbo SAB de CV – Series A		663,170
	1,887,857	Grupo Financiero Banorte SAB de CV – Class O		15,980,723
	697,600	Grupo Mexico SAB de CV – Series B		3,137,513
	160,900	Grupo Televisa SAB Sponsored ADR		798,064

21 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Mexico — continued
	205,400	Regional SAB de CV		1,704,136
	834,900	Wal-Mart de Mexico SAB de CV		3,290,044
		Total Mexico		45,843,883
		Pakistan — 0.1%
	1,789,759	Pakistan Petroleum Ltd		428,674
		Panama — 0.0%
	1,591,142	BAC Holding International Corp *		64,701
		Philippines — 0.2%
	54,680	GT Capital Holdings Inc		512,406
	16,607,800	Megaworld Corp		605,746
	887,200	Puregold Price Club Inc		504,968
		Total Philippines		1,623,120
		Poland — 0.8%
	4	Bank Polska Kasa Opieki SA		80
	26,443	Budimex SA		1,672,769
	67,976	Pepco Group NV *		673,336
	288,647	Polski Koncern Naftowy ORLEN SA		4,311,107
	5,549	Santander Bank Polska SA		372,364
		Total Poland		7,029,656
		Qatar — 0.6%
	905,604	Qatar National Bank QPSC		4,190,601
	527,916	Qatar National Cement Co QSC		612,612
		Total Qatar		4,803,213
		Russia — 0.5%
	31,701,260	Alrosa PJSC * (b) (d)		255,595
	380,350	Detsky Mir PJSC * (b)		3,522
	39,977	Evraz Plc (b)		984
	1,432,600,000	Federal Grid Co Unified Energy System PJSC * (b)		16,913
	653,911	Fix Price Group Plc GDR* (b)		18,747
	219,070	Gazprom Neft PJSC (b)		12,431
	1,250,860	Gazprom PJSC (b)		26,287
	575,658	Globaltrans Investment Plc Sponsored GDR (Registered) * (b)		24,787
	78,536,400	Inter RAO UES PJSC (b)		35,716
	239,440	LSR Group PJSC – Class A * (b)		15,365
	3	LSR Group PJSC GDR (Registered) (b)		—
	285,469	LUKOIL PJSC (b)		150,817
	17,490,987	Magnitogorsk Iron & Steel Works PJSC * (b) (d)		91,335
	474,800	Mechel PJSC * (b)		8,019
	37,212	MMC Norilsk Nickel PJSC (b)		71,846
	5	MMC Norilsk Nickel PJSC ADR * (b)		1
	249,660	Mobile TeleSystems PJSC (b)		8,647
	35,508	Mobile TeleSystems PJSC ADR* (b)		2,460
	4,133,417	Moscow Exchange MICEX-RTS PJSC * (b)		63,612
	10,015,560	Novolipetsk Steel PJSC * (b)		166,922

Shares		Description	Value ($)
		Russia — continued
	11,924	PhosAgro PJSC (b)		10,702
	230	PhosAgro PJSC GDR * (b) (d)		69
	916,204	Polymetal International Plc *		2,697,664
	80,094	Polyus PJSC * (b)		93,685
	24,938,000	RusHydro PJSC (b)		2,621
	13,125,612	Sberbank of Russia PJSC * (b) (d)		297,141
	706,464	Severstal PJSC GDR (Registered) * (b) (d)		99,850
	68,353	SFI PJSC * (b)		4,537
	63,500,900	Surgutneftegas PJSC (b)		193,253
	2,860,038	Tatneft PJSC (b)		124,958
	8,118,000	Unipro PJSC * (b)		1,731
	556,430	United Co Rusal International PJSC (b)		2,948
	46,698	X5 Retail Group NV GDR (Registered) * (b)		6,215
		Total Russia		4,509,380
		South Africa — 4.4%
	26,521	African Rainbow Minerals Ltd		367,074
	166,605	Anglo American Platinum Ltd		9,212,664
	163,864	AVI Ltd		678,429
	21,519	Capitec Bank Holdings Ltd		2,053,004
	129,850	Exxaro Resources Ltd		1,421,248
	286,591	FirstRand Ltd		1,022,202
	198,098	Foschini Group Ltd (The)		1,094,183
	299,598	Impala Platinum Holdings Ltd		2,797,313
	230,191	Investec Ltd		1,472,755
	342,992	Kumba Iron Ore Ltd		8,944,501
	413,419	Lewis Group Ltd		938,362
	46,942	Motus Holdings Ltd		283,165
	84,272	Mr Price Group Ltd		698,875
	368,345	Ninety One Ltd		923,632
	674,681	Pepkor Holdings Ltd		689,127
	98,900	Sibanye Stillwater Ltd ADR (a)		801,090
	131,868	SPAR Group Ltd (The) (a)		1,034,081
	15,943	Thungela Resources Ltd		185,374
	142,839	Tiger Brands Ltd		1,726,504
	244,704	Truworths International Ltd		788,055
		Total South Africa		37,131,638
		South Korea — 13.1%
	22,842	AMOREPACIFIC Group		690,872
	5,910	BGF retail Co Ltd		808,334
	66,262	BH Co Ltd		1,182,662
	106,233	BNK Financial Group Inc		537,644
	3,553	Caregen Co Ltd		473,479
	56,234	Cheil Worldwide Inc		850,215
	11,916	Coway Co Ltd		480,761
	35,014	Daou Data Corp (a)		1,283,420
	33,526	DB Insurance Co Ltd		1,951,011
	8,276	Dentium Co Ltd *		755,857
	492,446	Dongwon Development Co Ltd		1,198,940
	15,690	Fila Holdings Corp		462,250
	15,455	HAESUNG DS Co Ltd		468,563

See accompanying notes to the financial statements. 22

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		South Korea — continued
	28,258	Hankook Tire & Technology Co Ltd		794,885
	13,006	HD Hyundai Co Ltd		584,118
	111,481	HDC Hyundai Development Co-Engineering & Construction * (a)		872,125
	237,663	Humasis Co Ltd *		2,657,167
	47,351	Hyundai Marine & Fire Insurance Co Ltd		1,259,969
	52,241	Hyundai Mobis Co Ltd		8,391,149
	79,319	Industrial Bank of Korea		621,989
	39,287	INTOPS Co Ltd		832,001
	137,248	JB Financial Group Co Ltd		958,360
	102,134	Kia Corp		5,804,287
	4,621	KIWOOM Securities Co Ltd *		360,113
	390,080	KT&G Corp (a)		26,175,924
	63,425	Kumho Petrochemical Co Ltd *		7,541,580
	10,179	LOTTE Fine Chemical Co Ltd (a)		446,388
	8,432	LX Semicon Co Ltd		588,253
	23,324	Meritz Financial Group Inc		792,917
	156,225	Meritz Securities Co Ltd		829,011
	11,883	NCSoft Corp		3,898,966
	21,937	Neowiz *		775,595
	58,047	NH Investment & Securities Co Ltd *		416,654
	2,203	NongShim Co Ltd		609,621
	17,305	Orion Corp		1,635,741
	449,983	Samsung Electronics Co Ltd		20,588,922
	8,628	Samsung SDS Co Ltd		815,995
	34,333	Samsung Securities Co Ltd		868,889
	5,036	Samyang Foods Co Ltd		453,580
	147,090	SD Biosensor Inc		2,554,091
	89,823	Seegene Inc		1,652,959
	4,240	Unid Co Ltd		261,970
	440,568	Woori Financial Group Inc		4,061,586
	393,848	Woori Technology Investment Co Ltd *		1,412,683
	13,586	Yuhan Corp		541,085
		Total South Korea		111,202,581
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (c) (e)		258,636
		Taiwan — 21.5%
	64,000	Advantech Co Ltd		742,402
	60,000	Allied Supreme Corp		686,773
	231,000	Asia Cement Corp		338,678
	176,000	ASROCK Inc		910,986
	323,689	Asustek Computer Inc		2,931,766
	350,000	Aten International Co Ltd		935,156
	100,200	Aurora Corp		264,280
	2,134,000	Catcher Technology Co Ltd		12,895,835
	78,948	Chailease Holding Co Ltd		578,665
	236,000	Chicony Electronics Co Ltd		708,879
	244,000	Chipbond Technology Corp		536,661
	328,000	ChipMOS Technologies Inc		390,368
	39,000	Chlitina Holding Ltd		272,841
	462,000	Chong Hong Construction Co Ltd		1,153,137
	102,000	Chroma ATE Inc		614,206

Shares		Description	Value ($)
		Taiwan — continued
	941,400	Coretronic Corp		1,983,579
	868,000	Co-Tech Development Corp		1,774,784
	136,000	Elan Microelectronics Corp		481,448
	2,076,200	Evergreen Marine Corp Taiwan Ltd		10,609,871
	234,000	Far Eastern New Century Corp		248,761
	769,000	Farglory Land Development Co Ltd		1,486,000
	65,000	Feng TAY Enterprise Co Ltd		391,560
	653,000	First Financial Holding Co Ltd		572,244
	206,000	FLEXium Interconnect Inc *		662,700
	78,000	Formosa International Hotels Corp		798,932
	716,778	Foxconn Technology Co Ltd		1,303,460
	4,285,489	Fubon Financial Holding Co Ltd		8,379,904
	86,000	Gourmet Master Co Ltd		443,784
	1,608,000	Grand Pacific Petrochemical		1,045,394
	55,000	Grape King Bio Ltd		326,700
	146,000	Holtek Semiconductor Inc		353,004
	204,532	Hon Hai Precision Industry Co Ltd		676,592
	480,000	Huaku Development Co Ltd		1,450,264
	596,000	Inventec Corp		517,752
	37,000	King Slide Works Co Ltd		504,601
	208,000	Kung Long Batteries Industrial Co Ltd		954,443
	229,000	Largan Precision Co Ltd		16,462,819
	1,752,000	Lite-On Technology Corp		3,986,727
	45,000	Makalot Industrial Co Ltd		314,943
	2,596,000	Micro-Star International Co Ltd		11,580,952
	565,000	Mitac Holdings Corp		583,733
	392,000	Nantex Industry Co Ltd		556,785
	1,101,000	Nanya Technology Corp		2,095,770
	27,000	Nien Made Enterprise Co Ltd		287,473
	556,810	Novatek Microelectronics Corp		7,358,579
	715,000	Phison Electronics Corp		8,141,563
	427,000	Pou Chen Corp		467,883
	82,000	Powertech Technology Inc		237,109
	715,000	Primax Electronics Ltd		1,389,963
	670,936	Radiant Opto-Electronics Corp		2,316,207
	84,000	Raydium Semiconductor Corp		1,125,884
	320,488	Shanghai Commercial & Savings Bank Ltd (The)		497,510
	406,000	Shinkong Insurance Co Ltd		671,198
	210,468	Simplo Technology Co Ltd		2,033,176
	33,000	Sinbon Electronics Co Ltd		321,269
	40,000	Sporton International Inc		347,771
	685,250	Syncmold Enterprise Corp		1,381,593
	120,000	Synnex Technology International Corp		244,848
	192,000	T3EX Global Holdings Corp		434,688
	88,024	Tah Hsin Industrial Corp		207,193
	108,000	TaiDoc Technology Corp		670,625
	110,000	Taiwan Hon Chuan Enterprise Co Ltd		347,454
	1,125,000	Taiwan Semiconductor Manufacturing Co Ltd		18,611,879
	56,730	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		4,939,481
	558,000	Taiwan Union Technology Corp		1,071,076
	116,000	TCI Co Ltd		803,348

23 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Taiwan — continued
	69,000	Topkey Corp		498,268
	636,000	Transcend Information Inc		1,461,592
	424,160	Tripod Technology Corp		1,452,657
	115,000	TTY Biopharm Co Ltd		295,256
	115,000	TXC Corp		323,974
	335,224	United Integrated Services Co Ltd		2,471,396
	585,000	Universal Inc		460,466
	98,000	Walsin Technology Corp		319,690
	2,735,750	Wan Hai Lines Ltd		7,080,182
	261,000	Wistron Corp		282,788
	8,302,000	Yang Ming Marine Transport Corp		17,473,793
	78,000	Yulon Nissan Motor Co Ltd		520,777
	234,725	Zeng Hsing Industrial Co Ltd		939,828
		Total Taiwan		181,996,576
		Thailand — 0.5%
	345,700	CP ALL Pcl (Foreign Registered)		606,320
	185,900	Kasikornbank Pcl (Foreign Registered)		720,454
	2,630,100	Pruksa Holding Pcl (Foreign Registered)		1,004,545
	546,200	Regional Container Lines Pcl		482,736
	1,387,200	Sri Trang Gloves Thailand Pcl (Foreign Registered)		435,514
	259,300	Tisco Financial Group Pcl		755,583
		Total Thailand		4,005,152
		Turkey — 0.0%
	79,882	Is Yatirim Menkul Degerler AS		211,277
	14,453	Mavi Giyim Sanayi Ve Ticaret AS – Class B		80,037
	137,201	Vestel Beyaz Esya Sanayi ve Ticaret AS		89,625
		Total Turkey		380,939
		United Kingdom — 1.3%
	226,263	Unilever Plc		11,265,064
		Vietnam — 3.0%
	2,406,500	Duc Giang Chemicals JSC		5,072,749
	205,500	PetroVietnam Fertilizer & Chemicals JSC		302,624
	753,900	PetroVietnam Technical Services Corp		821,415
	173,000	Pha Lai Thermal Power JSC		107,785
	2,813,800	SSI Securities Corp		2,161,392
	1,780,300	Vietnam Dairy Products JSC		5,658,082
	1,898,900	Vietnam Joint Stock Commercial Bank for Industry and Trade *		2,189,437
	15,882,100	VNDirect Securities Corp		8,990,840
		Total Vietnam		25,304,324
		TOTAL COMMON STOCKS (COST $1,269,183,912)		773,451,116

Shares / Par Value†		Description	Value ($)
		PREFERRED STOCKS (f) — 6.8%
		Brazil — 4.2%
	274,500	Banco do Estado do Rio Grande do Sul SA – Class B		523,786
	1,099,200	Gerdau SA		6,010,963
	781,200	Gerdau SA Sponsored ADR		4,273,164
	1,238,400	Itausa SA		1,946,735
	964,600	Metalurgica Gerdau SA		2,317,789
	4,074,643	Petroleo Brasileiro SA		19,643,772
	52,800	Unipar Carbocloro SA – Class B		799,647
		Total Brazil		35,515,856
		Russia — 0.1%
	194,570	Nizhnekamskneftekhim PJSC (b)		2,216
	79,676,700	Surgutneftegas PJSC (b)		295,456
	869	Transneft PJSC (b)		10,595
		Total Russia		308,267
		South Korea — 2.4%
	508,242	Samsung Electronics Co Ltd		20,494,366
		Taiwan — 0.1%
	256,798	Chailease Holding Co Ltd		838,900
		TOTAL PREFERRED STOCKS (COST $105,453,783)		57,157,389
		DEBT OBLIGATIONS — 0.3%
		United States — 0.3%
	2,800,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 4.84%, due 04/30/23 (g)		2,800,624
		TOTAL DEBT OBLIGATIONS (COST $2,800,953)		2,800,624
		MUTUAL FUNDS — 1.8%
		United States — 1.8%
		Affiliated Issuers — 1.8%
	3,075,349	GMO U.S. Treasury Fund		15,345,992
		Total United States		15,345,992
		TOTAL MUTUAL FUNDS (COST $15,345,992)		15,345,992

See accompanying notes to the financial statements. 24

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	3,659,489	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (h)		3,659,489
		TOTAL SHORT-TERM INVESTMENTS (COST $3,659,489)		3,659,489
		TOTAL INVESTMENTS — 100.5% (Cost $1,396,444,129)		852,414,610
		Other Assets and Liabilities (net) — (0.5)%		(4,607,809	)
		TOTAL NET ASSETS — 100.0%	$	847,806,801

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 February 28, 2023
Alrosa PJSC		09/14/17	$	46,779,239		0.0	%	$	255,595

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets			Value as of February 28, 2023
Magnitogorsk Iron & Steel Works PJSC		03/26/18	$	14,388,116		0.0	%	$	91,335
PhosAgro PJSC GDR		02/09/22		5,151		0.0	%		69
Sberbank of Russia PJSC		11/10/17		51,393,929		0.0	%		297,141
Severstal PJSC GDR (Registered)		10/12/17		13,249,420		0.0	%		99,850
								$	743,990

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1,253	Mini MSCI Emerging Markets		March 2023	$	60,325,685	$	(1,021,894	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2023, 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) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

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

(d) The security is restricted as to resale.

(e) Affiliated company (Note 10).

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

(g) 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).

(h) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

25 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class II shares of GMO Emerging Markets Select Equity Fund returned -15.97% (net) for the fiscal year ended February 28, 2023, as compared with -15.28% for the MSCI Emerging Markets Index.

Country-sector allocation contributed to the Fund’s relative returns for the fiscal year. The Fund’s overweight position in Mexico Financials and overweight position in Taiwan Information Technology helped relative performance.

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

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

27

GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)

(A Series of GMO Trust)

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

GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)

Class II Shares and the MSCI Emerging Markets Index

As of February 28, 2023

	Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception
Class II	-15.97%	-3.82%	0.89%	n/a
Class V*	-15.90%	-3.70%	1.01%	n/a
Class I	-16.04%	n/a	n/a	1/22/21-16.15%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

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

For Class II, V and I the gross expense ratio of 0.94%, 0.80% and 1.04%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent supplement to the prospectus dated October 26, 2022. For the Classes listed above, the corresponding net expense ratio of 0.81%, 0.70% and 0.91% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least October 26, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

28

GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		94.2	%
Short-Term Investments		1.0
Mutual Funds		0.6
Preferred Stocks		0.4
Investment Funds		0.0	^
Other		3.8
		100.0	%

Country/Region Summary¤	% of Investments
China		30.7	%
Taiwan		17.7
India		17.0
South Korea		6.3
Indonesia		6.2
Mexico		6.0
Thailand		2.6
Vietnam		2.5
Brazil		2.4
United States		2.3
United Kingdom		1.6
Switzerland		1.1
Hong Kong		1.0
France		1.0
Japan		0.7
South Africa		0.5
Philippines		0.3
Russia		0.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		15.2	%
Semiconductors & Semiconductor Equipment		13.1
Technology Hardware & Equipment		11.9
Food, Beverage & Tobacco		9.5
Retailing		8.1
Household & Personal Products		5.1
Capital Goods		5.1
Media & Entertainment		4.0
Consumer Services		3.8
Consumer Durables & Apparel		3.7
Automobiles & Components		2.8
Food & Staples Retailing		2.6
Transportation		2.5
Software & Services		2.5
Insurance		2.4
Telecommunication Services		2.0
Diversified Financials		1.8
Pharmaceuticals, Biotechnology & Life Sciences		1.5
Materials		1.4
Real Estate		0.7
Utilities		0.3
		100.0	%

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

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

# 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%.

29

GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 94.2%
		Brazil — 1.9%
	122,100	Ambev SA		312,279
	157,000	B3 SA - Brasil Bolsa Balcao		316,372
	126	Localiza Rent a Car SA * (a)		1,335
	28,912	Localiza Rent a Car SA (a)		306,435
	561	MercadoLibre Inc *		684,420
	80,600	Raia Drogasil SA		349,160
	54,700	WEG SA		409,144
		Total Brazil		2,379,145
		China — 29.2%
	451,888	Alibaba Group Holding Ltd *		4,966,901
	34,450	Baidu Inc – Class A *		592,310
	19,000	BYD Co Ltd – Class H		510,800
	13,100	Changzhou Xingyu Automotive Lighting Systems Co Ltd – Class A		284,811
	712,000	China International Capital Corp Ltd – Class H		1,532,989
	159,000	China Mengniu Dairy Co Ltd *		699,866
	290,502	China Merchants Bank Co Ltd – Class H		1,576,409
	188,000	China Resources Land Ltd		835,334
	114,000	China Yangtze Power Co Ltd – Class A		347,744
	10,400	Contemporary Amperex Technology Co Ltd – Class A		603,467
	20,115	H World Group Ltd ADR		952,848
	358,855	Haier Smart Home Co Ltd – Class A		1,361,178
	97,176	Jiangsu Hengli Hydraulic Co Ltd – Class A		965,061
	58,900	Kuaishou Technology *		394,716
	12,886	Kweichow Moutai Co Ltd – Class A		3,371,190
	61,658	Meituan – Class B *		1,070,070
	69,598	Montage Technology Co Ltd – Class A		578,996
	184,285	NARI Technology Co Ltd – Class A		697,258
	85,500	Ping An Insurance Group Co of China Ltd – Class H		583,669
	62,172	Proya Cosmetics Co Ltd – Class A		1,635,037
	114,900	SF Holding Co Ltd – Class A		891,122
	42,458	Shanghai Baosight Software Co Ltd – Class A		302,764
	102,372	Shenzhen Inovance Technology Co Ltd – Class A		1,080,088
	22,800	Sunny Optical Technology Group Co Ltd		259,278
	78,184	Tencent Holdings Ltd		3,434,497
	24,248	Trip.com Group Ltd ADR*		862,016
	156,000	Tsingtao Brewery Co Ltd – Class H		1,539,685
	87,585	Wuliangye Yibin Co Ltd – Class A		2,574,106
	71,000	Wuxi Lead Intelligent Equipment Co Ltd – Class A		443,709
	32,030	Yum China Holdings Inc		1,881,122
		Total China		36,829,041
		France — 1.0%
	3,148	L’Oreal SA * (b)		1,244,319

Shares		Description	Value ($)
		Hong Kong — 1.0%
	118,800	AIA Group Ltd		1,262,608
		India — 16.2%
	28,202	Asian Paints Ltd		965,349
	57,159	Axis Bank Ltd		583,579
	23,116	Bajaj Auto Ltd		1,019,578
	158,703	Campus Activewear Ltd *		776,988
	52,030	Cipla Ltd		569,670
	31,730	Cyient Ltd		362,460
	114,593	Dabur India Ltd		738,910
	124,386	Godrej Consumer Products Ltd *		1,389,870
	101,672	HDFC Bank Ltd		1,970,557
	178,092	ICICI Bank Ltd		1,840,660
	227,741	Indian Hotels Co Ltd		853,763
	129,484	Infosys Ltd		2,329,735
	26,987	JB Chemicals & Pharmaceuticals Ltd		636,240
	39,469	Kajaria Ceramics Ltd		510,448
	85,598	LA Opala RG Ltd		373,616
	64,673	Laxmi Organic Industries Ltd		204,734
	6,681	Maruti Suzuki India Ltd		698,662
	94,753	Metro Brands Ltd		937,727
	30,790	SBI Cards & Payment Services Ltd		279,477
	77,283	SBI Life Insurance Co Ltd		1,042,613
	20,429	SRF Ltd		534,952
	47,632	Sun Pharmaceutical Industries Ltd		551,893
	66,186	Sundram Fasteners Ltd		785,010
	15,138	Titan Co Ltd		433,667
		Total India		20,390,158
		Indonesia — 5.9%
	3,359,300	Bank Central Asia Tbk PT		1,926,688
	3,058,000	Bank Mandiri Persero Tbk PT		2,004,672
	2,217,100	Cisarua Mountain Dairy Tbk PT		646,995
	13,421,100	Mitra Adiperkasa Tbk PT *		1,328,916
	5,944,400	Telkom Indonesia Persero Tbk PT		1,514,252
		Total Indonesia		7,421,523
		Japan — 0.6%
	4,700	Daikin Industries Ltd		803,675
		Mexico — 5.7%
	402,623	Banco del Bajio SA		1,538,402
	64,638	Grupo Aeroportuario del Pacifico SAB de CV – Class B		1,226,202
	204,498	Regional SAB de CV		1,696,652
	703,711	Wal-Mart de Mexico SAB de CV		2,773,075
		Total Mexico		7,234,331
		Philippines — 0.3%
	174,820	Bank of the Philippine Islands		346,651
		Russia — 0.1%
	34,988	Magnit PJSC * (c)		21,342
	546,960	Mobile TeleSystems PJSC (c)		18,945

See accompanying notes to the financial statements. 30

GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Russia — continued
	530,016	Sberbank of Russia PJSC * (c) (d)		11,999
	46,548	TCS Group Holding Plc GDR (Registered) * (c)		18,477
	69,200	Yandex NV – Class A * (c)		13,107
		Total Russia		83,870
		South Africa — 0.5%
	56,996	Absa Group Ltd		615,363
		South Korea — 6.0%
	1,321	LG Energy Solution Ltd *		521,812
	2,037	NAVER Corp		320,220
	142,811	Samsung Electronics Co Ltd		6,534,301
	2,977	SK Hynix Inc		201,200
		Total South Korea		7,577,533
		Switzerland — 1.0%
	11,612	Nestle SA (Registered)		1,308,331
		Taiwan — 16.9%
	271,000	Delta Electronics Inc		2,535,400
	321,000	E Ink Holdings Inc		2,031,261
	31,000	eMemory Technology Inc		1,863,075
	58,000	MediaTek Inc		1,361,783
	189,000	Sinbon Electronics Co Ltd		1,839,992
	705,800	Taiwan Semiconductor Manufacturing Co Ltd		11,676,679
		Total Taiwan		21,308,190
		Thailand — 2.4%
	144,200	Advanced Info Service Pcl (Foreign Registered)		823,999
	298,600	Airports of Thailand Pcl (Foreign Registered) *		614,512
	201,700	Bangkok Bank Pcl (Foreign Registered)		932,938
	568,600	Central Retail Corp Pcl (Foreign Registered)		719,451
		Total Thailand		3,090,900
		United Kingdom — 1.6%
	20,907	Diageo Plc		887,218
	22,066	Unilever Plc		1,098,611
		Total United Kingdom		1,985,829
		United States — 1.6%
	6,438	Apple, Inc.		949,026
	376,200	Samsonite International SA *		1,055,777
		Total United States		2,004,803
		Vietnam — 2.3%
	644,300	Bank for Foreign Trade of Vietnam JSC *		2,535,156

Shares		Description	Value ($)
		Vietnam — continued
	134,133	Phu Nhuan Jewelry JSC		433,968
		Total Vietnam		2,969,124
		TOTAL COMMON STOCKS (COST $148,385,220)		118,855,394
		PREFERRED STOCKS (e) — 0.4%
		Brazil — 0.4%
	108,900	Itau Unibanco Holding SA		528,957
		TOTAL PREFERRED STOCKS (COST $524,415)		528,957
		INVESTMENT FUNDS — 0.0%
		Russia — 0.0%
	61,600	VanEck Russia ETF (c)		9,610
		TOTAL INVESTMENT FUNDS (COST $1,563,306)		9,610
		MUTUAL FUNDS — 0.6%
		United States — 0.6%
		Affiliated Issuers — 0.6%
	142,775	GMO U.S. Treasury Fund		712,446
		Total United States		712,446
		TOTAL MUTUAL FUNDS (COST $712,446)		712,446

31 See accompanying notes to the financial statements.

GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.0%
		Money Market Funds — 1.0%
	1,241,862	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (f)		1,241,862
		TOTAL SHORT-TERM INVESTMENTS (COST $1,241,862)		1,241,862
		TOTAL INVESTMENTS — 96.2% (Cost $152,427,249)		121,348,269
		Other Assets and Liabilities (net) — 3.8%		4,839,858
		TOTAL NET ASSETS — 100.0%	$	126,188,127

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 February 28, 2023
Sberbank of Russia PJSC		03/03/21	$	2,059,161		0.0	%	$	11,999

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

(d) The security is restricted as to resale.

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

(f) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

See accompanying notes to the financial statements. 32

GMO International Equity Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class II shares of GMO International Equity Fund returned -1.93% (net) for the fiscal year ended February 28, 2023, as compared with -3.14% for the MSCI EAFE Index.

Stock selection drove outperformance for the period with notable contributions from Japan, Singapore, Consumer Staples, Industrials, and Spanish Financials.

Decisions which detracted from performance included stock selection in the United Kingdom, Health Care, and Consumer Discretionary. Aggregate country and sector allocation decisions were also modest detractors.

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

33

GMO International Equity Fund

(A Series of GMO Trust)

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

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

As of February 28, 2023

	Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception
Class II	-1.93%	2.38%	4.54%	n/a
Class III	-1.87%	2.45%	4.61%	n/a
Class IV	-1.82%	2.52%	4.68%	n/a
Class I	-2.03%	n/a	n/a	5/24/21 -4.71%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class II, III, IV and I the gross expense ratio of 0.77%, 0.70%, 0.64% and 0.92%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.75%, 0.68%, 0.62% and 0.90% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

34

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.1	%
Mutual Funds		5.6
Preferred Stocks		0.9
Debt Obligations		0.3
Short-Term Investments		0.0	^
Futures Contracts		(0.0	)^
Other		(3.9	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		22.8	%
United Kingdom		14.5
France		14.3
Netherlands		7.0
United States		7.0
Spain		6.3
Switzerland		5.5
Germany		4.4
Singapore		4.4
Australia		3.8
Other Developed		2.7	‡
Norway		2.3
Finland		1.8
Hong Kong		1.7
Italy		1.5
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		15.0	%
Banks		10.3
Pharmaceuticals, Biotechnology & Life Sciences		9.7
Food, Beverage & Tobacco		9.2
Energy		7.9
Consumer Durables & Apparel		6.8
Materials		6.3
Diversified Financials		4.9
Technology Hardware & Equipment		4.8
Telecommunication Services		4.3
Commercial & Professional Services		3.6
Food & Staples Retailing		3.4
Semiconductors & Semiconductor Equipment		3.1
Automobiles & Components		2.9
Retailing		2.5
Media & Entertainment		1.7
Insurance		1.6
Household & Personal Products		0.6
Real Estate		0.6
Utilities		0.4
Transportation		0.2
Health Care Equipment & Services		0.1
Consumer Services		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).

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

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

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

^ Rounds to 0.0%.

35

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 97.1%
		Australia — 4.0%
	102,604	BHP Group Ltd		3,105,314
	359,836	BlueScope Steel Ltd		4,603,991
	329,961	Brambles Ltd		2,851,092
	182,571	Fortescue Metals Group Ltd		2,616,227
	441,709	GrainCorp Ltd – Class A		2,329,206
	80,670	JB Hi-Fi Ltd		2,264,271
	89,611	Pact Group Holdings Ltd		76,444
	426,099	Rio Tinto Ltd		33,301,379
	69,396	Sims Ltd		741,219
	35,889	Super Retail Group Ltd		312,151
		Total Australia		52,201,294
		Belgium — 0.2%
	91,042	AGFA-Gevaert NV *		269,079
	46,282	Bekaert SA		2,042,106
	8,002	Melexis NV		865,540
		Total Belgium		3,176,725
		Denmark — 0.1%
	9,627	Per Aarsleff Holding A/S		417,384
	6,605	Schouw & Co A/S		525,158
		Total Denmark		942,542
		Finland — 1.8%
	3,632,148	Nokia Oyj		16,804,309
	195,835	UPM-Kymmene Oyj		7,096,363
		Total Finland		23,900,672
		France — 15.0%
	4,049	Alten SA		631,913
	465	Christian Dior SE		386,133
	571,522	Cie de Saint-Gobain		33,961,341
	158,037	Coface SA *		2,329,200
	191,402	Derichebourg SA		1,230,829
	71,765	Ipsen SA *		8,199,765
	48,472	IPSOS *		2,973,523
	399	Kering SA		233,942
	59,766	Metropole Television SA		892,045
	169,927	Publicis Groupe SA *		13,490,019
	49,316	Renault SA *		2,207,229
	360,248	Sanofi		33,682,555
	36,013	Societe BIC SA		2,329,561
	630,747	Societe Generale SA		18,177,843
	692,600	STMicroelectronics NV		33,355,616
	188,405	Television Francaise 1		1,501,378
	14,666	TotalEnergies SE (a)		906,786
	616,046	TotalEnergies SE (a)		38,012,593
		Total France		194,502,271
		Germany — 3.8%
	34,331	Bayer AG (Registered)		2,038,616

Shares		Description	Value ($)
		Germany — continued
	36,494	Bayerische Motoren Werke AG		3,764,917
	8,708	Hannover Rueck SE		1,691,081
	42,521	Henkel AG & Co KGaA		2,940,110
	9,437	Hornbach Holding AG & Co KGaA		783,751
	6,128	HUGO BOSS AG		419,120
	5,326	Indus Holding AG		129,061
	195,123	Kloeckner & Co SE		2,111,964
	3,557	Krones AG		433,181
	74,142	Mercedes-Benz Group AG		5,682,443
	135,930	Merck KGaA		25,757,781
	23,043	RTL Group SA		1,110,793
	38,944	Salzgitter AG		1,634,166
	5,745	Volkswagen AG		1,020,657
		Total Germany		49,517,641
		Hong Kong — 1.8%
	404,500	ASMPT Ltd		3,451,351
	149,500	BOC Hong Kong Holdings Ltd		505,960
	553,487	Champion (REIT)		248,108
	915,000	CK Asset Holdings Ltd		5,738,909
	354,500	CK Hutchison Holdings Ltd		2,116,807
	202,800	Dah Sing Banking Group Ltd		164,605
	120,869	Dah Sing Financial Holdings Ltd		326,562
	1,107,707	Esprit Holdings Ltd *		104,508
	1,617,585	IGG Inc *		592,753
	286,401	Johnson Electric Holdings Ltd		328,534
	281,140	Kerry Logistics Network Ltd		464,635
	164,326	Luk Fook Holdings International Ltd		524,600
	1,132,331	Pacific Textiles Holdings Ltd		379,480
	1,161,023	Shun Tak Holdings Ltd *		235,198
	289,526	SmarTone Telecommunications Holdings Ltd		193,415
	192,500	Swire Pacific Ltd – Class A		1,570,936
	313,588	Television Broadcasts Ltd *		148,189
	832,000	VSTECS Holdings Ltd		480,303
	81,800	VTech Holdings Ltd		449,388
	8,889,015	WH Group Ltd		5,172,775
		Total Hong Kong		23,197,016
		Ireland — 0.9%
	832,780	Bank of Ireland Group Plc		9,174,831
	44,742	Kingspan Group Plc		2,904,116
		Total Ireland		12,078,947
		Italy — 1.6%
	241,297	Anima Holding SPA		1,042,391
	74,458	Banca IFIS SPA		1,222,227
	96,935	Banco BPM SPA		422,555
	207,810	BPER Banca		590,281
	832,410	Eni SPA		11,756,978
	74,493	Esprinet SPA		568,527
	1,265,259	MFE-MediaForEurope NV – Class A		555,895
	2,362	Sesa SPA		304,649

See accompanying notes to the financial statements. 36

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Italy — continued
	155,065	Snam SPA		761,830
	33,183	Unieuro SPA		393,522
	490,558	Unipol Gruppo SPA *		2,594,997
		Total Italy		20,213,852
		Japan — 24.0%
	400	Advantest Corp		31,708
	63,520	AOKI Holdings Inc		382,824
	122,600	Bandai Namco Holdings Inc		7,575,596
	329,196	Brother Industries Ltd		4,842,124
	1,153,600	Canon Inc		24,828,061
	5,300	Canon Inc Sponsored ADR		113,791
	13,800	Canon Marketing Japan Inc		304,967
	169,000	Citizen Watch Co Ltd		1,022,970
	89,990	Daiwabo Holdings Co Ltd		1,390,672
	5,474	Dexerials Corp		107,251
	53,448	Doutor Nichires Holdings Co Ltd		732,858
	20,506	Fuyo General Lease Co Ltd		1,412,558
	58,936	Geo Holdings Corp		700,212
	17,453	Gunze Ltd		571,716
	88,200	Haseko Corp		1,012,116
	972,254	ITOCHU Corp		29,061,329
	1,509,004	Japan Tobacco Inc		30,686,197
	112,244	Kanematsu Corp		1,344,955
	866,096	KDDI Corp		25,340,119
	41,693	Komeri Co Ltd		811,353
	2,208,900	Marubeni Corp		28,198,944
	58,357	MCJ Co Ltd		411,288
	1,239,700	Mitsubishi Motors Corp *		4,888,798
	1,002,538	Mitsui & Co Ltd		28,137,097
	39,684	Modec Inc *		438,954
	406,500	NGK Spark Plug Co Ltd		8,174,371
	53,926	Nichias Corp		1,063,386
	47,731	Nippon Signal Company Ltd		362,769
	734,595	Nippon Telegraph & Telephone Corp		21,286,224
	66,466	Okinawa Electric Power Co (The)		502,652
	67,700	Ono Pharmaceutical Co Ltd		1,378,911
	82,324	Press Kogyo Co Ltd		290,134
	37,219	Prima Meat Packers Ltd		585,156
	5,983	San-A Co Ltd		184,407
	318,000	Seiko Epson Corp		4,384,485
	64,995	Seiko Group Corp		1,376,992
	389,512	Sekisui Chemical Co Ltd		5,221,876
	941,200	Sekisui House Ltd		17,819,959
	29,600	Shimamura Co Ltd		2,765,206
	526,381	Sojitz Corp		10,105,319
	1,699,641	Sumitomo Chemical Co Ltd		5,955,532
	72,900	Sumitomo Corp		1,242,418
	417,700	Sumitomo Forestry Co Ltd		8,015,262
	20,638	T-Gaia Corp		248,548
	30,200	Tokyo Gas Co Ltd		582,481
	14,177	Tokyo Seimitsu Co Ltd		517,579
	101,975	Tokyu Construction Co Ltd		517,915

Shares		Description	Value ($)
		Japan — continued
	12,428	Towa Pharmaceutical Co Ltd		174,670
	363,455	Toyota Tsusho Corp		14,822,968
	24,269	TPR Co Ltd		248,488
	44,669	Valor Holdings Co Ltd		643,509
	20,256	Warabeya Nichiyo Holdings Co Ltd		276,385
	39,800	Yakult Honsha Co Ltd		2,713,011
	199,200	Yamaha Motor Co Ltd		5,096,573
	18,900	Yokogawa Electric Corp		282,277
		Total Japan		311,187,921
		Netherlands — 7.4%
	512,984	ABN AMRO Bank NV CVA		9,052,202
	82,037	ASR Nederland NV		3,733,573
	134,049	EXOR NV *		11,060,964
	946,547	Koninklijke Ahold Delhaize NV		30,054,637
	86,425	NN Group NV		3,498,186
	409,608	Randstad NV		25,133,617
	16,416	Signify NV		568,815
	110,770	Wolters Kluwer NV		12,823,570
		Total Netherlands		95,925,564
		Norway — 2.4%
	351,958	Elkem ASA *		1,324,991
	923,574	Equinor ASA		28,273,687
	183,405	Europris ASA		1,292,990
		Total Norway		30,891,668
		Portugal — 0.9%
	252,518	CTT - Correios de Portugal SA		1,002,047
	241,180	Jeronimo Martins SGPS SA		4,950,447
	614,791	Navigator Co SA (The) *		2,162,237
	336,099	REN - Redes Energeticas Nacionais SGPS
		SA		903,654
	2,020,716	Sonae SGPS SA		2,214,004
		Total Portugal		11,232,389
		Singapore — 4.6%
	1,014,225	DBS Group Holdings Ltd		25,732,024
	841,100	First Resources Ltd		958,996
	182,387	Jardine Cycle & Carriage Ltd		4,020,753
	1,426,700	Keppel Corp Ltd		5,793,561
	27,228,617	Sembcorp Marine Ltd *		2,562,412
	428,300	Sheng Siong Group Ltd		517,873
	222,800	Venture Corp Ltd		2,837,272
	1,693,139	Wilmar International Ltd		4,946,766
	5,034,522	Yangzijiang Financial Holding Ltd *		1,306,250
	11,050,422	Yangzijiang Shipbuilding Holdings Ltd *		10,573,036
		Total Singapore		59,248,943
		Spain — 6.7%
	544,478	Acerinox SA		5,978,795
	4,683,692	Banco Bilbao Vizcaya Argentaria SA		36,406,465

37 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Spain — continued
	22,694,144	Banco de Sabadell SA *		29,642,991
	21,873	Cia de Distribucion Integral Logista Holdings SA		528,045
	26,651	Ebro Foods SA		457,560
	88,803	Ence Energia y Celulosa SA		338,896
	12,628	Grupo Catalana Occidente SA *		412,332
	301,612	Industria de Diseno Textil SA *		9,291,678
	201,732	Repsol SA *		3,190,359
		Total Spain		86,247,121
		Sweden — 0.8%
	73,546	Investor AB – A Shares		1,507,609
	48,402	New Wave Group AB – B Shares		849,096
	1,067,441	SSAB AB – A Shares		7,760,174
		Total Sweden		10,116,879
		Switzerland — 5.8%
	40,548	Ascom Holding AG (Registered)		387,869
	16,945	Cie Financiere Richemont SA – Class A
		(Registered)		2,560,327
	14,677	DKSH Holding AG		1,194,300
	209	Forbo Holding AG (Registered)		274,056
	50,911	Novartis AG (Registered)		4,284,676
	146,841	Roche Holding AG – Genusschein		42,339,967
	4,535	Swatch Group AG (The)		1,578,156
	4,590	Swatch Group AG (The) (Registered)		292,390
	10,851	u-blox Holding AG *		1,164,644
	675,798	UBS Group AG (Registered)		14,688,627
	3,995	Zehnder Group AG – Class RG		309,853
	11,918	Zurich Insurance Group AG		5,653,342
		Total Switzerland		74,728,207
		United Kingdom — 15.2%
	1,043,111	3i Group Plc		20,407,674
	858,041	BAE Systems Plc		9,267,012
	2,872,071	Barratt Developments Plc		16,148,147
	190,125	Bellway Plc		5,068,779
	442,500	BP Plc Sponsored ADR		17,523,000
	844,068	British American Tobacco Plc		31,944,399
	4,840,664	BT Group Plc		8,115,156
	285,653	Burberry Group Plc		8,482,337
	1,790,825	Centrica Plc		2,259,905
	460,642	Coca-Cola HBC AG *		11,796,768
	83,864	Crest Nicholson Holdings Plc		246,453
	4,626	Ferguson Plc		665,963
	600,747	Ferrexpo Plc		1,064,524
	57,044	Galliford Try Holdings Plc		120,540
	343,770	GSK Plc		5,889,095
	103,137	Halfords Group Plc		260,858
	313,831	IG Group Holdings Plc		3,029,629
	1,092,360	Imperial Brands Plc		26,316,329
	592,466	Investec Plc		3,773,446
	321,026	Kingfisher Plc		1,110,223

Shares / Par Value†		Description	Value ($)
		United Kingdom — continued
	120,309	Next Plc		9,896,843
	251,694	Persimmon Plc		4,389,208
	155,235	Plus500 Ltd		3,348,686
	588,452	Redrow Plc		3,616,224
	277,447	Spirent Communications Plc		709,805
	248,506	Vesuvius Plc		1,233,004
	13,161	WPP Plc		161,869
		Total United Kingdom		196,845,876
		United States — 0.1%
	79,531	ADTRAN Holdings, Inc.		1,387,816
	164,100	Samsonite International SA *		460,534
		Total United States		1,848,350
		TOTAL COMMON STOCKS (COST $1,289,809,935)		1,258,003,878
		PREFERRED STOCKS (b) — 0.9%
		Germany — 0.9%
	60,669	Bayerische Motoren Werke AG		5,746,319
	4,226	Draegerwerk AG & Co KGaA		184,292
	69,322	Henkel AG & Co KGaA		5,043,058
		Total Germany		10,973,669
		TOTAL PREFERRED STOCKS (COST $9,831,263)		10,973,669
		DEBT OBLIGATIONS — 0.3%
		United States — 0.3%
	4,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 07/31/24 (c)		3,998,630
		TOTAL DEBT OBLIGATIONS (COST $3,997,437)		3,998,630
		MUTUAL FUNDS — 5.6%
		United States — 5.6%
		Affiliated Issuers — 5.6%
	14,551,191	GMO U.S. Treasury Fund		72,610,442
		Total United States		72,610,442
		TOTAL MUTUAL FUNDS (COST $72,590,181)		72,610,442

See accompanying notes to the financial statements. 38

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	169,848	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (d)		169,848
		TOTAL SHORT-TERM INVESTMENTS (COST $169,848)		169,848
		TOTAL INVESTMENTS — 103.9% (Cost $1,376,398,664)		1,345,756,467
		Other Assets and Liabilities (net) — (3.9)%		(50,212,917	)
		TOTAL NET ASSETS — 100.0%	$	1,295,543,550

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type		Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
164		MSCI EAFE		March 2023	$	16,782,120	$	(352,111	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2023, 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) Preferred dividend rates are disclosed to the extent that a stated rate exists.

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

(d) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

39 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO-Usonian Japan Value Creation Fund (the “Fund”) returned -9.11% (net) for the fiscal year ended February 28, 2023, as compared with -8.62% for TOPIX.

Persistent inflation pressures in 2022 forced most central banks (Japan being a notable laggard) to raise interest rates, which in turn led to significant equity market declines. Japan’s 2.9% (JPY) decline in 2022, as measured by the TOPIX, compared favorably to other developed markets as measured by the MSCI World ex-Japan Index, which was down 16.7% in local currency terms.

Relative to TOPIX, sector allocation contributed to returns this period. An overweight in Financials and underweight in Consumer Discretionary contributed to the returns, while security selection in Consumer Staples and Health Care detracted.

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

41

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

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

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

As of February 28, 2023

	Average Annual Total Returns
	1 Year			Since Inception
Class III		-9.21	%	12/30/21 -8.37%
Class VI		-9.11	%	9/14/20 2.57%
Class I		-9.32	%	6/7/21 -9.63%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

For Class III, VI and I the gross expense ratio of 0.74%, 0.65% and 0.89%, respectively. is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.67%, 0.58%, 0.78% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

42

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.5	%
Short-Term Investments		4.3
Other		(2.8	)
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		21.4	%
Food, Beverage & Tobacco		9.9
Materials		9.8
Semiconductors & Semiconductor Equipment		7.9
Technology Hardware & Equipment		7.6
Banks		7.0
Insurance		6.4
Commercial & Professional Services		6.1
Diversified Financials		4.0
Automobiles & Components		3.6
Transportation		3.3
Software & Services		3.1
Health Care Equipment & Services		2.8
Telecommunication Services		2.5
Retailing		2.0
Consumer Durables & Apparel		2.0
Pharmaceuticals, Biotechnology & Life Sciences		0.6
		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).

# 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.

43

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 98.5%
		Automobiles & Components — 3.5%
	181,300	Stanley Electric Co Ltd		3,780,708
		Banks — 6.9%
	99,400	Sumitomo Mitsui Financial Group Inc		4,341,178
	81,700	Sumitomo Mitsui Trust Holdings Inc		3,026,987
		Total Banks		7,368,165
		Capital Goods — 21.0%
	198,200	EXEO Group Inc		3,477,757
	178,600	Fuji Corp		2,704,911
	128,100	Kyudenko Corp		3,235,540
	213,500	Mitsubishi Electric Corp		2,399,145
	502,000	Penta-Ocean Construction Co Ltd		2,392,387
	213,500	Takuma Co Ltd		2,149,767
	120,500	THK Co Ltd		2,698,684
	60,600	Toyota Industries Corp		3,555,411
		Total Capital Goods		22,613,602
		Commercial & Professional Services — 6.0%
	46,400	Secom Co Ltd		2,698,366
	206,000	Toppan Inc		3,725,396
		Total Commercial & Professional Services		6,423,762
		Consumer Durables & Apparel — 2.0%
	185,900	Haseko Corp		2,133,246
		Diversified Financials — 4.0%
	157,800	Credit Saison Co Ltd		2,150,706
	55,900	Zenkoku Hosho Co Ltd		2,129,704
		Total Diversified Financials		4,280,410
		Food, Beverage & Tobacco — 9.7%
	85,200	Ezaki Glico Co Ltd		2,139,140
	217,300	Kirin Holdings Co Ltd		3,252,651
	74,400	Morinaga & Co Ltd		2,145,935
	105,400	NH Foods Ltd		2,910,330
		Total Food, Beverage & Tobacco		10,448,056
		Health Care Equipment & Services — 2.8%
	150,100	H.U. Group Holdings Inc		2,953,901
		Insurance — 6.3%
	81,600	MS&AD Insurance Group Holdings Inc		2,670,288
	269,300	T&D Holdings Inc		4,078,333
		Total Insurance		6,748,621
		Materials — 9.7%
	126,500	Denka Co Ltd		2,671,361
	98,800	Maruichi Steel Tube Ltd		2,146,626
	227,400	Teijin Ltd		2,362,819

Shares		Description	Value ($)
		Materials — continued
	329,000	Tokai Carbon Co Ltd		3,212,439
		Total Materials		10,393,245
		Pharmaceuticals, Biotechnology & Life Sciences — 0.6%
	13,300	Sawai Group Holdings Co Ltd		368,238
	15,200	Tsumura & Co		289,041
		Total Pharmaceuticals, Biotechnology & Life Sciences		657,279
		Retailing — 2.0%
	248,800	K’s Holdings Corp		2,143,693
		Semiconductors & Semiconductor Equipment — 7.7%
	34,900	Rohm Co Ltd		2,687,742
	215,700	SUMCO Corp		2,976,319
	72,800	Tokyo Seimitsu Co Ltd		2,657,806
		Total Semiconductors & Semiconductor Equipment		8,321,867
		Software & Services — 3.1%
	92,100	NEC Corp		3,296,100
		Technology Hardware & Equipment — 7.5%
	131,800	Amano Corp		2,437,406
	174,400	Daiwabo Holdings Co Ltd		2,695,112
	63,300	FUJIFILM Holdings Corp		2,953,063
		Total Technology Hardware & Equipment		8,085,581
		Telecommunication Services — 2.5%
	91,700	KDDI Corp		2,682,946
		Transportation — 3.2%
	94,800	Sankyu Inc		3,487,745
		TOTAL COMMON STOCKS (COST $122,632,182)		105,818,927

See accompanying notes to the financial statements. 44

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.3%
		Money Market Funds — 4.3%
	4,654,152	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (a)		4,654,152
		TOTAL SHORT-TERM INVESTMENTS (COST $4,654,152)		4,654,152
		TOTAL INVESTMENTS — 102.8% (Cost $127,286,334)		110,473,079
		Other Assets and Liabilities (net) — (2.8)%		(2,967,305	)
		TOTAL NET ASSETS — 100.0%		$107,505,774

Notes to Schedule of Investments:

(a)   The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

45 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO Quality Cyclicals Fund returned -3.67% (net) for the fiscal year ended February 28, 2023, as compared with -8.26% for the MSCI ACWI.

Relative to the MSCI ACWI, sector allocation added value this period. The Energy (overweight) and Communication Services (underweight) allocations helped returns while Consumer Discretionary (overweight) and Health Care (underweight) reduced returns. Security selection within sector added value. Selection results in Consumer Discretionary and Consumer Staples helped returns. Industrials and Financials detracted from returns. Sector allocation had a comparable effect to stock selection within sector.

The U.S./non-U.S. regional allocation contributed to returns.

Las Vegas Sands, FEMSA and BorgWarner made the largest positive impact while Lyft, Persimmon and V.F. Corporation detracted.

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

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

47

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

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

GMO Quality Cyclicals Fund Class VI Shares and the MSCI ACWI

As of February 28, 2023

	Average Annual Total Returns
	1 Year			Since Inception
Class VI		-3.67	%		5/12/20  19.09	%
Class I		-3.84	%		7/16/21  -1.53	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class VI and I the gross expense ratio of 0.48% and 0.67%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.41% and 0.60% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

48

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.2	%
Preferred Stocks		2.0
Mutual Funds		1.0
Short-Term Investments		0.2
Other		(0.4	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		49.4	%
United Kingdom		10.4
France		9.3
Mexico		6.6
Canada		5.3
Spain		5.1
China		3.3
Ireland		2.7
Germany		2.2
Brazil		2.2
Finland		2.0
Hong Kong		1.5
Other Emerging		0.0	†^
		100.0	%

Industry Group Summary	% of Equity Investments#
Consumer Services		14.4	%
Energy		11.2
Capital Goods		8.9
Diversified Financials		8.6
Consumer Durables & Apparel		8.4
Materials		7.9
Food, Beverage & Tobacco		6.6
Banks		5.8
Retailing		5.2
Media & Entertainment		4.9
Semiconductors & Semiconductor Equipment		3.2
Automobiles & Components		3.1
Software & Services		2.8
Transportation		2.7
Insurance		2.6
Household & Personal Products		2.3
Technology Hardware & Equipment		1.4
		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).

¤ 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.

# 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%.

49

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 97.2%
		Brazil — 0.2%
	9,602	Vale SA		156,480
		Canada — 5.3%
	9,933	Brookfield Asset Management Ltd – Class A		333,947
	41,367	Brookfield Corp – Class A		1,375,453
	25,173	Nutrien Ltd		1,957,956
		Total Canada		3,667,356
		China — 3.3%
	138,407	Alibaba Group Holding Ltd *		1,521,293
	2,762	Meituan – Class B *		47,934
	17,023	Tencent Holdings Ltd		747,793
		Total China		2,317,020
		Finland — 2.0%
	28,731	Neste Oyj		1,385,732
		France — 9.4%
	2,200	Kering SA		1,289,905
	2,957	LVMH Moet Hennessy Louis Vuitton SE		2,458,232
	19,589	Safran SA		2,765,993
		Total France		6,514,130
		Germany — 2.2%
	13,059	Beiersdorf AG		1,558,534
		Hong Kong — 1.5%
	156,502	Galaxy Entertainment Group Ltd		1,041,934
		Ireland — 2.7%
	88,793	Ryanair Holdings Plc *		1,382,755
	5,482	Ryanair Holdings Plc Sponsored ADR *		508,565
		Total Ireland		1,891,320
		Mexico — 6.6%
	289,770	Fomento Economico Mexicano SAB de CV		2,668,611
	433,845	Grupo Mexico SAB de CV – Series B		1,951,253
		Total Mexico		4,619,864
		Russia — 0.0%
	33,541	LUKOIL PJSC (a)		17,720
	72,920	Novatek PJSC (a)		10,377
		Total Russia		28,097
		Spain — 5.1%
	30,477	Amadeus IT Group SA *		1,916,480
	52,333	Industria de Diseno Textil SA		1,612,209
		Total Spain		3,528,689

Shares		Description	Value ($)
		United Kingdom — 10.4%
	24,526	Berkeley Group Holdings Plc (The)		1,234,605
	126,321	Compass Group Plc		2,918,240
	48,923	Persimmon Plc		853,152
	139,110	S4 Capital Plc *		342,903
	62,728	Shell Plc		1,899,929
		Total United Kingdom		7,248,829
		United States — 48.5%
	13,909	Alphabet, Inc. – Class A *		1,252,645
	12,363	American Express Co.		2,151,038
	953	Booking Holdings, Inc. *		2,405,372
	42,893	BorgWarner, Inc.		2,156,660
	6,212	CarMax, Inc. *		428,876
	10,239	Chevron Corp.		1,646,124
	29,604	Darling Ingredients, Inc. *		1,873,045
	18,271	EOG Resources, Inc.		2,064,988
	21,337	Green Plains, Inc. *		739,754
	12,219	Hilton Worldwide Holdings, Inc.		1,765,768
	20,110	Intercontinental Exchange, Inc.		2,047,198
	2,262	Lam Research Corp.		1,099,355
	31,684	Las Vegas Sands Corp. *		1,820,880
	1,357	Markel Corp. *		1,804,620
	6,059	Meta Platforms, Inc. – Class A *		1,059,961
	19,791	Micron Technology, Inc.		1,144,316
	13,296	Otis Worldwide Corp.		1,125,108
	23,003	Raytheon Technologies Corp.		2,256,364
	18,545	Sensata Technologies Holding Plc		938,006
	39,236	US Bancorp		1,872,734
	45,764	Wells Fargo & Co.		2,140,382
		Total United States		33,793,194
		TOTAL COMMON STOCKS (COST $54,960,839)		67,751,179
		PREFERRED STOCKS (b) — 2.0%
		Brazil — 2.0%
	261,075	Bradespar SA		1,379,315
		TOTAL PREFERRED STOCKS (COST $1,172,269)		1,379,315
		MUTUAL FUNDS — 1.0%
		United States — 1.0%
		Affiliated Issuers — 1.0%
	136,445	GMO U.S. Treasury Fund		680,863
		Total United States		680,863
		TOTAL MUTUAL FUNDS (COST $680,863)		680,863

See accompanying notes to the financial statements. 50

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	149,116	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (c)		149,116
		TOTAL SHORT-TERM INVESTMENTS (COST $149,116)		149,116
		TOTAL INVESTMENTS — 100.4% (Cost $56,963,087)		69,960,473
		Other Assets and Liabilities (net) — (0.4)%		(286,414	)
		TOTAL NET ASSETS — 100.0%	$	69,674,059

Notes to Schedule of Investments:

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

51 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Quality Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Quality Fund returned -5.30% (net) for the fiscal year ended February 28, 2023, as compared with -7.69% for the S&P 500 Index.

Relative to the S&P 500, sector allocation generated incremental returns this period. The Health Care (overweight) and Communication Services (underweight) allocations made a positive contribution while Energy (underweight) and Industrials (underweight) had a negative impact. Security selection within sector generated incremental returns. Selection results in IT, Consumer Discretionary and Health Care made a positive contribution. Financials and Industrials detracted. Stock selection within sector had a larger impact than sector allocation.

The allocation to non-U.S. stocks helped.

Merck, Safran and TJX added to returns while Exxon (underweight), Lyft and Taiwan Semi detracted from returns.

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

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

53

GMO Quality Fund

(A Series of GMO Trust)

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

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

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year	10 Year	Since Inception
Class III		-5.30	%	10.94%	12.64%	n/a
Class IV		-5.23	%	11.00%	12.69%	n/a
Class VI		-5.24	%	11.04%	12.74%	n/a
Class R6		-5.29	%	n/a	n/a	11/12/19 10.10%
Class I		-5.40	%	n/a	n/a	9/26/19 11.23%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, IV, VI, R6 and I the gross expense ratio of 0.50%, 0.46%, 0.41%, 0.50% and 0.62%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.49%, 0.45%, 0.40%, 0.48% and 0.58% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

54

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.2	%
Mutual Funds		1.7
Short-Term Investments		0.1
Other		0.0	^
		100.0	%

Country/Region Summary¤	% of Investments
United States		78.6	%
France		4.9
United Kingdom		4.9
Germany		3.6
Taiwan		3.0
Switzerland		3.0
China		1.2
Other Developed		0.8	‡
		100.0	%

Industry Group Summary	% of Equity Investments#
Software & Services		22.8	%
Health Care Equipment & Services		13.8
Semiconductors & Semiconductor Equipment		10.8
Pharmaceuticals, Biotechnology & Life Sciences		9.8
Retailing		7.8
Capital Goods		6.3
Media & Entertainment		6.2
Banks		5.8
Food, Beverage & Tobacco		5.2
Technology Hardware & Equipment		3.7
Consumer Services		2.7
Household & Personal Products		2.3
Consumer Durables & Apparel		1.5
Diversified Financials		1.3
		100.0	%

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

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

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

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

^ Rounds to 0.0%.

55

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 98.2%
		Banks — 5.6%
	4,531,787	US Bancorp		216,302,194
	3,561,717	Wells Fargo & Co.		166,581,504
		Total Banks		382,883,698
		Capital Goods — 6.2%
	480,068	Knorr-Bremse AG		32,627,772
	1,823,758	Otis Worldwide Corp.		154,326,402
	1,665,821	Safran SA		235,216,126
		Total Capital Goods		422,170,300
		Consumer Durables & Apparel — 1.5%
	120,331	LVMH Moet Hennessy Louis Vuitton SE		100,034,322
		Consumer Services — 2.7%
	7,878,697	Compass Group Plc		182,011,946
		Diversified Financials — 1.3%
	495,377	American Express Co.		86,190,644
		Food, Beverage & Tobacco — 5.1%
	2,926,465	Coca-Cola Co. (The)		174,153,932
	383,637	Constellation Brands, Inc. – Class A		85,819,597
	754,097	Nestle SA (Registered)		84,964,578
		Total Food, Beverage & Tobacco		344,938,107
		Health Care Equipment & Services — 13.6%
	906,275	Abbott Laboratories		92,186,293
	228,877	Cigna Group (The)		66,854,972
	369,173	Elevance Health, Inc.		173,389,483
	335,018	Intuitive Surgical, Inc.*		76,849,779
	1,441,951	Medtronic Plc		119,393,543
	831,699	Quest Diagnostics, Inc.		115,073,873
	584,385	UnitedHealth Group, Inc.		278,132,197
		Total Health Care Equipment & Services		921,880,140
		Household & Personal Products — 2.2%
	3,045,538	Unilever Plc		151,629,656
		Media & Entertainment — 6.0%
	2,310,850	Alphabet, Inc. – Class A*		208,115,151
	1,155,495	Meta Platforms, Inc. – Class A*		202,142,295
		Total Media & Entertainment		410,257,446
		Pharmaceuticals, Biotechnology & Life Sciences — 9.7%
	442,096	Eli Lilly & Co.		137,589,117
	1,572,089	Johnson & Johnson		240,938,360
	1,511,540	Merck & Co., Inc.		160,586,010
	403,768	Roche Holding AG – Genusschein		116,422,006
		Total Pharmaceuticals, Biotechnology & Life Sciences		655,535,493

Shares		Description	Value ($)
		Retailing — 7.6%
	7,678,765	Alibaba Group Holding Ltd*		84,400,699
	2,476,206	Amazon.com, Inc.*		233,332,892
	2,604,667	TJX Cos, Inc. (The)		199,517,492
		Total Retailing		517,251,083
		Semiconductors & Semiconductor Equipment — 10.6%
	288,314	KLA Corp.		109,380,565
	426,262	Lam Research Corp.		207,167,595
	12,285,790	Taiwan Semiconductor Manufacturing Co Ltd		203,254,787
	1,175,016	Texas Instruments, Inc.		201,456,493
		Total Semiconductors & Semiconductor Equipment		721,259,440
		Software & Services — 22.4%
	698,948	Accenture Plc – Class A		185,605,641
	394,286	Adobe, Inc.*		127,728,950
	817,054	Amadeus IT Group SA*		51,378,671
	1,835,584	Microsoft Corp.		457,831,361
	2,431,421	Oracle Corp.		212,506,195
	809,873	salesforce.com, Inc.*		132,503,322
	1,835,197	SAP SE		208,498,284
	641,249	Visa, Inc. – Class A		141,036,305
		Total Software & Services		1,517,088,729
		Technology Hardware & Equipment — 3.7%
	1,692,441	Apple, Inc.		249,482,728
		TOTAL COMMON STOCKS (COST $4,246,389,689)		6,662,613,732
		MUTUAL FUNDS — 1.7%
		Affiliated Issuers — 1.7%
	23,294,255	GMO U.S. Treasury Fund		116,238,335
		TOTAL MUTUAL FUNDS (COST $116,151,685)		116,238,335

See accompanying notes to the financial statements. 56

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	3,826,774	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (a)		3,826,774
		TOTAL SHORT-TERM INVESTMENTS (COST $3,826,774)		3,826,774
		TOTAL INVESTMENTS — 100.0% (Cost $4,366,368,148)		6,782,678,841
		Other Assets and Liabilities (net) — 0.0%		2,725,342
		TOTAL NET ASSETS — 100.0%	$	6,785,404,183

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

57 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Resource Transition Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI All Country World Index (“ACWI”) Commodity Producers ex-Energy is included for comparative purposes.

Class VI shares of GMO Resource Transition Fund returned -5.10% (net) for the period from the Fund’s inception on February 15, 2023 until the end of the fiscal year ended February 28, 2023, as compared with -3.68% for the MSCI ACWI Commodity Producers ex-Energy.

The Fund’s industrial metals portfolio, the largest segment by weight, performed in line with the benchmark. Copper producers were the strongest performer in the metals portfolio for the period.

The Fund’s energy portfolio, which is primarily an off-benchmark position, detracted as the clean energy portfolio was down about 9% for the period.

The Fund agriculture portfolio delivered strong returns for the period; agricultural productivity and precision agriculture companies had positive returns in an otherwise down market.

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

59

GMO Resource Transition Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $350,000,000 Investment in

GMO Resource Transition Fund Class VI Shares and the MSCI ACWI Commodity Producers ex-Energy

As of February 28, 2023

	Average Annual Total Returns
	Since Inception
Class VI	2/15/23 -5.10%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited.

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

For Class VI the gross expense ratio of 0.93% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated February 11, 2023. For the Class listed above, the net expense ratio of 0.86% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance

60

GMO Resource Transition Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		94.4	%
Preferred Stocks		4.7
Mutual Funds		0.8
Short-Term Investments		0.1
Other		0.0	^
		100.0	%

Country/Region Summary¤	% of Investments
United States		33.2	%
Canada		17.7
Brazil		12.7
United Kingdom		12.2
France		4.2
South Africa		4.0
Mexico		3.6
Chile		2.5
Japan		1.7
Denmark		1.7
Australia		1.6
Argentina		1.5
Norway		1.3
China		1.2
Other Developed		0.9	‡
		100.0	%

Industry Group Summary	% of Equity Investments#
Industrial Metals		54.8	%
Energy		25.9
Agriculture		15.0
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.

# 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%.

61

GMO Resource Transition Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 94.4%
		Argentina — 1.5%
	859,100	Adecoagro SA		6,975,892
		Australia — 1.5%
	253,522	Fortescue Metals Group Ltd		3,632,949
	1,992,788	Jupiter Mines Ltd		315,018
	2,149,903	Perenti Ltd *		1,532,143
	270,056	Sandfire Resources Ltd		1,063,365
	578,245	Sunrise Energy Metals Ltd *		621,909
		Total Australia		7,165,384
		Brazil — 8.0%
	958,900	Dexco SA		1,194,172
	880,600	Sao Martinho SA		4,575,026
	431,700	SLC Agricola SA		4,062,661
	871,000	Suzano SA		7,942,305
	1,185,600	Vale SA		19,321,241
		Total Brazil		37,095,405
		Canada — 17.7%
	273,200	Anaergia Inc *		878,965
	260,200	Canadian Solar Inc *		10,342,950
	240,200	Enerflex Ltd		1,593,118
	768,100	First Quantum Minerals Ltd		16,780,550
	520,000	Greenlane Renewables Inc *		163,870
	3,649,800	Ivanhoe Mines Ltd – Class A *		30,493,016
	531,300	Largo Inc *		3,399,230
	725,900	Li-Cycle Holdings Corp *		4,398,954
	73,500	Nutrien Ltd		5,716,830
	95,000	Teck Resources Ltd – Class B (a)		3,792,400
	96,200	Teck Resources Ltd – Class B (a)		3,840,245
		Total Canada		81,400,128
		Chile — 2.5%
	129,800	Sociedad Quimica y Minera de Chile SA Sponsored ADR		11,519,750
		China — 1.2%
	3,340,000	China High Speed Transmission Equipment Group Co Ltd *		1,380,736
	1,858,000	China Water Affairs Group Ltd		1,653,088
	2,752,000	Xinjiang Goldwind Science & Technology Co Ltd – Class H		2,482,431
		Total China		5,516,255
		Denmark — 1.7%
	269,614	Vestas Wind Systems A/S		7,693,419
		Finland — 0.9%
	123,342	Kemira Oyj		2,362,429
	40,894	Neste Oyj		1,972,368
		Total Finland		4,334,797

Shares		Description	Value ($)
		France — 4.2%
	28,022	Eramet SA		3,007,071
	241,114	Technip Energies NV		4,668,050
	388,439	Veolia Environnement SA		11,592,691
		Total France		19,267,812
		Japan — 1.7%
	91,800	Ebara Corp		3,901,240
	246,700	Mitsubishi Materials Corp		3,840,387
		Total Japan		7,741,627
		Mexico — 3.6%
	3,651,600	Grupo Mexico SAB de CV – Series B		16,423,369
		Norway — 1.3%
	446,020	Austevoll Seafood ASA		3,811,105
	114,992	TGS ASA		2,069,932
		Total Norway		5,881,037
		South Africa — 4.0%
	290,598	African Rainbow Minerals Ltd		4,022,128
	19,348	Anglo American Platinum Ltd		1,069,876
	684,736	Impala Platinum Holdings Ltd		6,393,302
	3,486,218	Sibanye Stillwater Ltd		7,038,907
		Total South Africa		18,524,213
		United Kingdom — 12.2%
	610,009	Anglo American Plc		21,078,685
	1,420,802	Ferrexpo Plc		2,517,662
	5,444,126	Glencore Plc		32,457,124
		Total United Kingdom		56,053,471
		United States — 32.4%
	319,200	Aemetis, Inc. *		1,139,544
	82,400	AGCO Corp.		11,602,744
	63,000	Alcoa Corp.		3,083,220
	313,600	Ameresco, Inc. – Class A *		13,782,720
	1,200,800	Clean Energy Fuels Corp. *		6,724,480
	251,600	Darling Ingredients, Inc. *		15,918,732
	13,100	Deere & Co.		5,492,044
	273,300	Freeport-McMoRan, Inc.		11,197,101
	1,056,700	GrafTech International Ltd.		5,970,355
	355,400	Green Plains, Inc. *		12,321,718
	672,100	Livent Corp. *		15,760,745
	263,300	Mosaic Co. (The)		14,004,927
	64,300	PotlatchDeltic Corp. (REIT)		2,968,088
	24,200	SolarEdge Technologies, Inc. *		7,693,664
	885,400	Sunrun, Inc. *		21,285,016
		Total United States		148,945,098
		TOTAL COMMON STOCKS (COST $458,303,414)		434,537,657

See accompanying notes to the financial statements. 62

GMO Resource Transition Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		PREFERRED STOCKS (b) — 4.7%
		Brazil — 4.7%
	4,063,200	Bradespar SA		21,466,753
		TOTAL PREFERRED STOCKS (COST $22,675,279)		21,466,753
		MUTUAL FUNDS — 0.8%
		United States — 0.8%
		Affiliated Issuers — 0.8%
	703,815	GMO U.S. Treasury Fund		3,512,040
		Total United States		3,512,040
		TOTAL MUTUAL FUNDS (COST $3,512,040)		3,512,040
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	466,627	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (c)		466,627
		TOTAL SHORT-TERM INVESTMENTS (COST $466,627)		466,627
		TOTAL INVESTMENTS — 100.0% (Cost $484,957,360)		459,983,077
		Other Assets and Liabilities (net) — 0.0%		225,676
		TOTAL NET ASSETS — 100.0%	$	460,208,753

Notes to Schedule of Investments:

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

63 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Resources Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Resources Fund returned -1.47% (net) for the fiscal year ended February 28, 2023, as compared with 5.35% for the MSCI ACWI Commodity Producers Index.

The Fund’s energy portfolio delivered strong absolute returns but the underweight to fossil fuel producers and off-benchmark position in clean energy led to underperformance versus the benchmark. Fossil fuel producers delivered close to 20% for the year; two of the top five individual contributors, Kosmos Energy and Galp Energia, were from this segment.

The Fund’s industrial metals portfolio, the second largest segment by weight, underperformed. Lithium producers delivered positive returns, although this was balanced out by drawdowns across copper and platinum group metals producers. Norilsk Nickel was one of the largest individual detractors for the year.

The Fund’s agriculture segment, at roughly twice the weight of that in the benchmark, detracted relative value as the segment was down 4.4% in the Fund. Precision agriculture companies went against that trend, delivering a 21% return.

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

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

65

GMO Resources Fund

(A Series of GMO Trust)

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

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

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year			Since Inception
Class III		-1.47	%		10.54	%		7.88	%		n/a
Class IV		-1.40	%		10.59	%		n/a			3/20/13 8.07	%
Class VI		-1.39	%		n/a			n/a			2/8/22 -3.93	%
Class R6		-1.43	%		n/a			n/a			1/22/21 6.06	%
Class I		-1.55	%		n/a			n/a			1/22/21 5.97	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, IV, VI, R6 and I the gross expense ratio of 0.71%, 0.65%, 0.61%, 0.74% and 0.83%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.71%, 0.65%, 0.61%, 0.74% and 0.81% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

66

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		90.4	%
Preferred Stocks		8.2
Mutual Funds		2.2
Short-Term Investments		0.2
Rights/Warrants		0.0	^
Other		(1.0	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		32.7	%
United Kingdom		14.6
Brazil		11.6
Canada		11.0
Portugal		3.5
South Africa		2.7
Norway		2.7
France		2.6
Other Emerging		2.5	†
Mexico		2.2
Spain		2.0
China		1.8
Australia		1.7
Chile		1.5
Austria		1.4
India		1.4
Italy		1.2
Japan		1.0
Denmark		1.0
Other Developed		0.9	‡
		100.0	%

Industry Group Summary	% of Equity Investments#
Energy		53.6	%
Industrial Metals		34.2
Agriculture		9.5
Water		2.7
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%.

67

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 90.4%
		Argentina — 0.9%
	2,059,375	Adecoagro SA (a)		16,722,125
		Australia — 1.7%
	13,006,288	Beach Energy Ltd		12,266,452
	735,000	Clean TeQ Water Ltd *		185,540
	607,823	Fortescue Metals Group Ltd		8,710,053
	4,776,947	Jupiter Mines Ltd (a)		755,135
	5,153,570	Perenti Ltd *		3,672,727
	647,464	Sandfire Resources Ltd (a)		2,549,437
	1,938,657	Sunrise Energy Metals Ltd *		2,085,045
		Total Australia		30,224,389
		Austria — 1.4%
	504,933	OMV AG (a)		24,594,008
		Brazil — 3.5%
	2,298,590	Dexco SA		2,862,563
	1,411,600	Enauta Participacoes SA		3,715,411
	2,110,878	Sao Martinho SA		10,966,752
	1,034,820	SLC Agricola SA		9,738,529
	2,082,000	Suzano SA		18,984,936
	1,025,968	Vale SA		16,719,783
		Total Brazil		62,987,974
		Canada — 11.1%
	654,900	Anaergia Inc * (a)		2,107,007
	545,800	Birchcliff Energy Ltd (a)		3,356,000
	623,860	Canadian Solar Inc * (a)		24,798,435
	798,100	Crescent Point Energy Corp		5,451,023
	575,852	Enerflex Ltd		3,819,319
	1,841,500	First Quantum Minerals Ltd		40,230,938
	1,246,100	Greenlane Renewables Inc * (a)		392,688
	6,348,000	Ivanhoe Mines Ltd – Class A * (a)		53,035,691
	1,273,509	Largo Inc *		8,147,844
	1,740,100	Li-Cycle Holdings Corp * (a)		10,545,006
	176,300	Nutrien Ltd		13,712,614
	851,600	Tamarack Valley Energy Ltd (a)		2,708,643
	227,800	Teck Resources Ltd – Class B (b)		9,093,776
	230,700	Teck Resources Ltd – Class B (a) (b)		9,209,402
	609,000	Vermilion Energy Inc (a)		8,160,600
	420,000	Whitecap Resources Inc (a)		3,219,641
		Total Canada		197,988,627
		Chile — 1.6%
	311,295	Sociedad Quimica y Minera de Chile SA
		Sponsored ADR		27,627,431
		China — 1.8%
	8,006,000	China High Speed Transmission Equipment
		Group Co Ltd * (a)		3,309,631
	4,454,000	China Water Affairs Group Ltd		3,962,785

Shares		Description	Value ($)
		China — continued
	2,516,300	Henan Shenhuo Coal & Power Co Ltd – Class A		6,770,864
	1,829,284	Inner Mongolia Eerduosi Resources Co Ltd – Class A		4,412,994
	4,999,845	Western Mining Co Ltd – Class A		8,275,520
	6,597,000	Xinjiang Goldwind Science & Technology Co Ltd – Class H		5,950,798
		Total China		32,682,592
		Denmark — 1.0%
	646,403	Vestas Wind Systems A/S		18,445,071
		Finland — 0.6%
	295,665	Kemira Oyj		5,663,015
	98,029	Neste Oyj		4,728,060
		Total Finland		10,391,075
		France — 2.6%
	67,171	Eramet SA		7,208,192
	577,978	Technip Energies NV		11,189,853
	931,289	Veolia Environnement SA		27,793,671
	10,058	Vilmorin & Cie SA		512,882
		Total France		46,704,598
		Hungary — 0.9%
	2,087,807	MOL Hungarian Oil & Gas Plc		15,854,133
		India — 1.4%
	2,021,714	Oil India Ltd		6,015,416
	5,717,817	Vedanta Ltd		18,541,595
		Total India		24,557,011
		Israel — 0.3%
	63,210	Delek Group Ltd *		5,908,700
		Italy — 1.2%
	1,499,266	Eni SPA		21,175,667
		Japan — 1.1%
	220,100	Ebara Corp		9,353,626
	591,300	Mitsubishi Materials Corp		9,204,787
		Total Japan		18,558,413
		Mexico — 2.2%
	8,754,740	Grupo Mexico SAB de CV – Series B		39,375,157
		Norway — 2.7%
	1,069,161	Austevoll Seafood ASA		9,135,655
	3,149,846	DNO ASA		3,609,194
	1,001,352	Equinor ASA		30,654,731
	275,650	TGS ASA		4,961,882
		Total Norway		48,361,462

See accompanying notes to the financial statements. 68

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Pakistan — 0.1%
	459,459	Pakistan Oilfields Ltd		752,015
		Portugal — 3.5%
	5,154,089	Galp Energia SGPS SA		62,877,418
		Russia — 0.1%
	3,574,704	Gazprom Neft PJSC (c)		202,836
	14,145,410	Gazprom PJSC (c)		297,270
	248,399	LUKOIL PJSC (c)		131,233
	232,917	MMC Norilsk Nickel PJSC (c)		449,696
	338,098	PhosAgro PJSC (c)		303,455
	6,533	PhosAgro PJSC GDR * (c) (d)		1,955
	2	PhosAgro PJSC GDR (Registered) * (c)		—
	601,778	Ros Agro Plc GDR (Registered) * (c)		63,037
	3,476,399	Tatneft PJSC (c)		151,887
		Total Russia		1,601,369
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd * (a) (c)		—
		South Africa — 2.7%
	696,598	African Rainbow Minerals Ltd		9,641,520
	46,379	Anglo American Platinum Ltd		2,564,594
	1,641,392	Impala Platinum Holdings Ltd		15,325,491
	291,076	Sasol Ltd		4,268,175
	8,356,871	Sibanye Stillwater Ltd		16,873,081
		Total South Africa		48,672,861
		South Korea — 0.1%
	1,872	Young Poong Corp *		882,178
		Spain — 2.0%
	2,282,140	Repsol SA		36,091,675
		Switzerland — 0.0%
	6,630	Gurit Holding AG (a)		689,719
		Turkey — 0.3%
	2,231,200	Koza Anadolu Metal Madencilik
		Isletmeleri AS *		5,381,727
		Ukraine — 0.1%
	501,341	Kernel Holding SA *		2,269,414
		United Kingdom — 14.7%
	1,139,322	Anglo American Plc		39,368,942
	11,208,541	BP Plc		73,657,242
	3,520,763	Ferrexpo Plc		6,238,796
	11,210,476	Glencore Plc		66,835,302
	845,161	Harbour Energy Plc		2,948,880
	760,605	Serica Energy Plc		2,369,001
	2,357,728	Shell Plc		71,411,749
		Total United Kingdom		262,829,912

Shares		Description	Value ($)
		United States — 30.8%
	765,224	Aemetis, Inc. *		2,731,850
	197,600	AGCO Corp.		27,824,056
	151,100	Alcoa Corp.		7,394,834
	751,801	Ameresco, Inc. – Class A *		33,041,654
	159,100	California Resources Corp.		6,714,020
	2,878,466	Clean Energy Fuels Corp. *		16,119,410
	603,300	Darling Ingredients, Inc. *		38,170,791
	31,500	Deere & Co.		13,206,060
	655,182	Freeport-McMoRan, Inc.		26,842,806
	2,533,082	GrafTech International Ltd.		14,311,913
	851,993	Green Plains, Inc. *		29,538,597
	485,300	Hess Corp.		65,369,910
	13,951,301	Kosmos Energy Ltd. *		109,796,739
	1,611,246	Livent Corp. *		37,783,719
	286,500	Marathon Oil Corp.		7,205,475
	631,221	Mosaic Co. (The)		33,574,645
	154,100	PotlatchDeltic Corp. (REIT)		7,113,256
	114,500	Sitio Royalties Corp. – Class A		2,691,895
	58,024	SolarEdge Technologies, Inc. *		18,446,990
	2,122,866	Sunrun, Inc. *		51,033,699
		Total United States		548,912,319
		TOTAL COMMON STOCKS (COST $1,608,673,321)		1,613,119,040
		PREFERRED STOCKS (e) — 8.2%
		Brazil — 8.2%
	15,176,026	Bradespar SA		80,178,185
	13,576,981	Petroleo Brasileiro SA		65,454,354
		Total Brazil		145,632,539
		Russia — 0.0%
	20,237,584	Surgutneftegas PJSC (c)		75,045
	7,494,797	Tatneft PJSC (c)		332,947
		Total Russia		407,992
		TOTAL PREFERRED STOCKS (COST $199,442,442)		146,040,531
		MUTUAL FUNDS — 2.2%
		United States — 2.2%
		Affiliated Issuers — 2.2%
	7,868,642	GMO U.S. Treasury Fund		39,264,526
		Total United States		39,264,526
		TOTAL MUTUAL FUNDS (COST $39,249,466)		39,264,526

69 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, expires 04/16/23* (a) (c)		2
		Total Singapore		2
		TOTAL RIGHTS/WARRANTS (COST $0)		2
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	3,375,156	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (f)		3,375,156
		TOTAL SHORT-TERM INVESTMENTS (COST $3,375,156)		3,375,156
		TOTAL INVESTMENTS — 101.0% (Cost $1,850,740,385)		1,801,799,255
		Other Assets and Liabilities (net) — (1.0)%		(17,522,059	)
		TOTAL NET ASSETS — 100.0%	$	1,784,277,196

Additional information on each restricted security is as follows:

					Value as a
					Percentage			Value as of
Issuer	Acquisition		Acquisition		of Fund’s			February 28,
Description	Date		Cost		Net Assets			2023
PhosAgro PJSC GDR		08/26/16	$	93,496		0.0	%	$	1,955

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

(d) The security is restricted as to resale.

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

(f) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

See accompanying notes to the financial statements. 70

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of the Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to S&P 600 Index is included for comparative purposes.

Class VI shares of GMO Small Cap Quality Fund returned 20.10% (net) for the period from the Fund’s inception on September 20, 2022 until the end of fiscal year ended February 28, 2023, as compared with 10.20% for the S&P 600 Index.

Relative to the S&P 600, sector allocation added value during the period. The Industrials (overweight) and Financials (underweight) allocations helped returns while Energy (underweight) reduced returns. Security selection with sector added value. Selection results in IT and Financials helped returns. Consumer Staples and Materials detracted from returns. Sector allocation had a comparable effect to stock selection within sector.

Axcelis, SAIA and TopBuild made the largest positive impact while Ollie’s Bargain Outlet, Globus Medical and Booz Allen Hamilton detracted.

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

71

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $350,000,000 Investment in

GMO Small Cap Quality Fund Class VI Shares and the S&P 600 Index

As of February 28, 2023

	Average Annual Total Returns
	Since Inception
Class III	11/15/22   4.57%
Class VI	9/20/22 20.10%
Class I	11/15/22   4.51%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, VI and I the gross expense ratio of 0.91%, 0.82% and 1.01%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated September 20, 2022. For the Classes listed above, the net expense ratio of 0.75%, 0.66% and 0.75% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least October 1, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

72

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.0	%
Mutual Funds		0.9
Short-Term Investments		0.4
Other		0.7
		100.0	%
Industry Group Summary	% of Equity Investments#
Capital Goods		23.7	%
Semiconductors & Semiconductor Equipment		8.1
Consumer Durables & Apparel		7.6
Food, Beverage & Tobacco		7.1
Automobiles & Components		6.7
Transportation		6.7
Technology Hardware & Equipment		5.8
Commercial & Professional Services		5.6
Materials		5.3
Diversified Financials		4.8
Software & Services		4.5
Media & Entertainment		3.3
Banks		3.0
Retailing		2.9
Health Care Equipment & Services		2.9
Pharmaceuticals, Biotechnology & Life Sciences		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.

73

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 98.0%
		Automobiles & Components — 6.6%
	18,427	Fox Factory Holding Corp.*		2,165,172
	74,805	Gentex Corp.		2,135,683
		Total Automobiles & Components		4,300,855
		Banks — 2.9%
	43,836	Essent Group Ltd.		1,882,756
		Capital Goods — 23.2%
	20,381	A O Smith Corp.		1,337,605
	14,839	AAON, Inc.		1,349,755
	12,614	Allegion PLC		1,421,724
	12,091	Curtiss-Wright Corp.		2,113,386
	20,334	Graco, Inc.		1,414,026
	5,610	Kadant, Inc.		1,204,243
	9,139	RBC Bearings, Inc.*		2,100,234
	39,676	Trex Co., Inc.*		2,028,634
	21,267	Woodward, Inc.		2,105,433
		Total Capital Goods		15,075,040
		Commercial & Professional Services — 5.5%
	14,939	Booz Allen Hamilton Holding Corp.		1,415,171
	11,577	FTI Consulting, Inc.*		2,126,811
		Total Commercial & Professional Services		3,541,982
		Consumer Durables & Apparel — 7.5%
	35,905	Acushnet Holdings Corp.		1,732,775
	17,016	Malibu Boats, Inc. – Class A*		1,016,876
	10,211	TopBuild Corp.*		2,119,702
		Total Consumer Durables & Apparel		4,869,353
		Diversified Financials — 4.7%
	12,532	Cohen & Steers, Inc.		906,815
	22,514	Houlihan Lokey, Inc.		2,154,590
		Total Diversified Financials		3,061,405
		Food, Beverage & Tobacco — 7.0%
	4,649	Boston Beer Co., Inc. (The) – Class A*		1,505,346
	7,294	J & J Snack Foods Corp.		1,029,986
	10,519	Lancaster Colony Corp.		2,019,438
		Total Food, Beverage & Tobacco		4,554,770
		Health Care Equipment & Services — 2.8%
	31,168	Globus Medical, Inc. – Class A*		1,818,341
		Materials — 5.2%
	18,270	AptarGroup, Inc.		2,132,474
	9,651	Balchem Corp.		1,254,630
		Total Materials		3,387,104

Shares		Description	Value ($)
		Media & Entertainment — 3.3%
	55,044	New York Times Co. (The) – Class A		2,119,194
		Pharmaceuticals, Biotechnology & Life Sciences — 1.9%
	18,227	Bruker Corp.		1,256,205
		Retailing — 2.8%
	26,367	Ollie’s Bargain Outlet Holdings, Inc.*		1,517,157
	1,116	Winmark Corp.		325,872
		Total Retailing		1,843,029
		Semiconductors & Semiconductor Equipment — 7.9%
	17,031	Axcelis Technologies, Inc.*		2,189,165
	23,944	Power Integrations, Inc.		1,969,394
	7,144	Universal Display Corp.		970,512
		Total Semiconductors & Semiconductor Equipment		5,129,071
		Software & Services — 4.4%
	17,312	Dolby Laboratories, Inc. – Class A		1,424,432
	29,733	Genpact Ltd.		1,419,156
		Total Software & Services		2,843,588
		Technology Hardware & Equipment — 5.7%
	35,101	Ciena Corp.*		1,692,570
	16,703	Fabrinet*		2,035,595
		Total Technology Hardware & Equipment		3,728,165
		Transportation — 6.6%
	11,735	Landstar System, Inc.		2,121,571
	7,883	Saia, Inc.*		2,135,267
		Total Transportation		4,256,838
		TOTAL COMMON STOCKS (COST $52,997,114)		63,667,696
		MUTUAL FUNDS — 0.9%
		Affiliated Issuers — 0.9%
	122,595	GMO U.S. Treasury Fund		611,750
		TOTAL MUTUAL FUNDS (COST $611,333)		611,750

See accompanying notes to the financial statements. 74

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	254,109	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (a)		254,109
		TOTAL SHORT-TERM INVESTMENTS (COST $254,109)		254,109
		TOTAL INVESTMENTS — 99.3% (Cost $53,862,556)		64,533,555
		Other Assets and Liabilities (net) — 0.7%		444,380
		TOTAL NET ASSETS — 100.0%	$	64,977,935

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

75 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Tax-Managed International Equities Fund returned -2.42% (net) for the fiscal year ended February 28, 2023, as compared with -3.14% for the MSCI EAFE Index.

Stock selection drove outperformance for the period with notable contributions from Japan, Emerging Markets, Singapore, Consumer Staples, Industrials, and Spanish Financials.

Decisions which detracted from performance included stock selection in the United Kingdom, Health Care, and Consumer Discretionary. Aggregate country and sector allocation decisions were also detractors.

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

77

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

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

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

the MSCI EAFE Index (After Tax) As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Class III		-2.42	%		1.75	%		4.19	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited.

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

For Class III the gross expense ratio of 1.44% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Class listed above, the net expense ratio of 0.85% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

78

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.8	%
Mutual Funds		3.8
Preferred Stocks		1.8
Short-Term Investments		0.1
Futures Contracts		0.0	^
Other		(1.5	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		21.8	%
France		13.9
United Kingdom		13.2
Netherlands		7.0
Spain		6.5
Switzerland		5.7
Germany		4.4
Australia		4.1
United States		4.1
Singapore		3.7
Turkey		2.0
Norway		2.0
Brazil		1.9
Other Developed		1.8	‡
South Korea		1.7
Thailand		1.7
Finland		1.4
Other Emerging		1.1	†
Hong Kong		1.0
Italy		1.0
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		14.4	%
Banks		11.7
Pharmaceuticals, Biotechnology & Life Sciences		10.1
Food, Beverage & Tobacco		9.6
Energy		7.9
Consumer Durables & Apparel		6.3
Materials		5.7
Diversified Financials		4.9
Telecommunication Services		4.7
Technology Hardware & Equipment		4.1
Commercial & Professional Services		3.5
Food & Staples Retailing		3.1
Semiconductors & Semiconductor Equipment		3.1
Automobiles & Components		2.8
Retailing		2.4
Insurance		1.6
Media & Entertainment		1.1
Household & Personal Products		0.7
Real Estate		0.7
Utilities		0.5
Health Care Equipment & Services		0.5
Software & Services		0.4
Transportation		0.2
		100.0	%

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

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

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

† “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.

^ Rounds to 0.0%.

79

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 95.8%
		Australia — 4.2%
	3,324	BHP Group Ltd		100,601
	7,015	BlueScope Steel Ltd		89,755
	7,666	Brambles Ltd		66,239
	4,574	Fortescue Metals Group Ltd		65,545
	9,989	GrainCorp Ltd – Class A		52,673
	2,367	JB Hi-Fi Ltd		66,438
	10,142	Rio Tinto Ltd		792,639
	4,330	Sims Ltd		46,249
		Total Australia		1,280,139
		Belgium — 0.1%
	605	Bekaert SA		26,694
		Brazil — 1.2%
	600	Arezzo Industria e Comercio SA		8,549
	4,400	Banco do Brasil SA		33,869
	10,200	BB Seguridade Participacoes SA		66,650
	71,500	Cielo SA		65,553
	12,100	JBS SA		44,351
	5,100	Petroleo Brasileiro SA Sponsored ADR		56,559
	27,700	TIM SA		64,866
	5,200	Vibra Energia SA		14,690
		Total Brazil		355,087
		Finland — 1.4%
	68,365	Nokia Oyj		316,294
	3,563	UPM-Kymmene Oyj		129,110
		Total Finland		445,404
		France — 14.1%
	338	Alten SA		52,750
	12,683	Cie de Saint-Gobain		753,657
	1,448	Coface SA		21,341
	1,551	Ipsen SA		177,215
	1,111	IPSOS		68,155
	125	Kering SA		73,290
	27	LVMH Moet Hennessy Louis Vuitton SE		22,446
	3,231	Publicis Groupe SA		256,500
	805	Renault SA *		36,029
	8,720	Sanofi		815,305
	390	Societe BIC SA		25,228
	10,871	Societe Generale SA		313,297
	16,700	STMicroelectronics NV		804,272
	14,783	TotalEnergies SE		912,172
		Total France		4,331,657
		Germany — 3.5%
	1,871	Bayer AG (Registered)		111,102
	1,208	Bayerische Motoren Werke AG		124,624
	253	Hannover Rueck SE		49,132
	207	Henkel AG & Co KGaA		14,313

Shares		Description	Value ($)
		Germany — continued
	84	Hornbach Holding AG & Co KGaA		6,976
	3,298	Kloeckner & Co SE		35,697
	1,644	Mercedes-Benz Group AG		126,001
	2,923	Merck KGaA		553,888
	117	RTL Group SA		5,640
	268	Volkswagen AG		47,613
		Total Germany		1,074,986
		Hong Kong — 1.1%
	9,100	ASMPT Ltd		77,645
	20,500	CK Asset Holdings Ltd		128,577
	4,000	Johnson Electric Holdings Ltd		4,588
	1,800	VTech Holdings Ltd		9,889
	181,500	WH Group Ltd		105,620
		Total Hong Kong		326,319
		India — 1.0%
	3,359	Cipla Ltd		36,777
	39,788	GAIL India Ltd		49,463
	34	Hero MotoCorp Ltd		997
	644	Hindustan Aeronautics Ltd		20,058
	16,760	ITC Ltd		76,296
	1,169	Rajesh Exports Ltd		9,179
	67,001	REC Ltd		92,742
	742	Sun Pharmaceutical Industries Ltd		8,597
		Total India		294,109
		Ireland — 0.6%
	10,544	Bank of Ireland Group Plc		116,164
	908	Kingspan Group Plc		58,937
		Total Ireland		175,101
		Italy — 1.0%
	675	Banca IFIS SPA		11,080
	15,234	Eni SPA		215,166
	1,005	Esprinet SPA		7,670
	128	Sesa SPA		16,509
	13,409	Unipol Gruppo SPA		70,932
		Total Italy		321,357
		Japan — 22.2%
	500	Advantest Corp		39,634
	2,300	Asahi Kasei Corp		16,020
	2,800	Bandai Namco Holdings Inc		173,015
	7,500	Brother Industries Ltd		110,317
	28,500	Canon Inc		613,384
	1,600	Daiwabo Holdings Co Ltd		24,726
	400	FUJIFILM Holdings Corp		18,661
	3,100	Haseko Corp		35,573
	23,100	ITOCHU Corp		690,475
	35,500	Japan Tobacco Inc		721,907
	22,300	KDDI Corp		652,450

See accompanying notes to the financial statements. 80

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Japan — continued
	51,600	Marubeni Corp		658,729
	17,300	Mitsubishi Motors Corp *		68,223
	23,200	Mitsui & Co Ltd		651,128
	8,900	NGK Spark Plug Co Ltd		178,971
	1,000	Nichias Corp		19,719
	18,700	Nippon Telegraph & Telephone Corp		541,866
	2,600	Ono Pharmaceutical Co Ltd		52,957
	6,500	Seiko Epson Corp		89,620
	6,900	Sekisui Chemical Co Ltd		92,503
	19,300	Sekisui House Ltd		365,411
	600	Shimamura Co Ltd		56,051
	12,120	Sojitz Corp		232,676
	23,500	Sumitomo Chemical Co Ltd		82,344
	2,000	Sumitomo Corp		34,086
	8,000	Sumitomo Forestry Co Ltd		153,512
	7,000	Toyota Tsusho Corp		285,485
	900	Yakult Honsha Co Ltd		61,350
	3,400	Yamaha Motor Co Ltd		86,990
		Total Japan		6,807,783
		Netherlands — 7.1%
	9,795	ABN AMRO Bank NV CVA		172,844
	1,130	ASR Nederland NV		51,427
	2,955	EXOR NV *		243,830
	22,005	Koninklijke Ahold Delhaize NV		698,700
	1,838	NN Group NV		74,396
	8,239	Randstad NV		505,547
	1,309	Signify NV		45,357
	3,480	Wolters Kluwer NV		402,871
		Total Netherlands		2,194,972
		Norway — 2.0%
	20,091	Equinor ASA		615,053
		Poland — 0.1%
	233	Asseco Poland SA		4,178
	1,259	Polski Koncern Naftowy ORLEN SA		18,804
		Total Poland		22,982
		Portugal — 0.7%
	7,022	Jeronimo Martins SGPS SA		144,133
	8,084	Navigator Co SA (The)		28,432
	34,225	Sonae SGPS SA		37,499
		Total Portugal		210,064
		Russia — 0.0%
	9,800	Surgutneftegas PJSC (a)		30
		Singapore — 3.7%
	24,099	DBS Group Holdings Ltd		611,419
	3,900	Jardine Cycle & Carriage Ltd		85,976
	26,900	Keppel Corp Ltd		109,236
	513,387	Sembcorp Marine Ltd *		48,313

Shares		Description	Value ($)
		Singapore — continued
	25,700	Wilmar International Ltd		75,086
	221,300	Yangzijiang Shipbuilding Holdings Ltd		211,740
		Total Singapore		1,141,770
		South Africa — 0.1%
	2,596	Aspen Pharmacare Holdings Ltd		20,046
	11,423	Netcare Ltd		9,467
	2,988	Truworths International Ltd		9,623
		Total South Africa		39,136
		South Korea — 1.7%
	9,988	BNK Financial Group Inc		50,549
	4,624	DGB Financial Group Inc		27,604
	885	GS Holdings Corp		27,201
	6,606	Hanwha Life Insurance Co Ltd *		14,844
	611	Hyundai Glovis Co Ltd		73,175
	396	Hyundai Mobis Co Ltd		63,607
	2,832	KT&G Corp		190,038
	5	LG Electronics Inc		419
	656	LOTTE Fine Chemical Co Ltd		28,768
	464	LX International Corp		10,977
	494	SL Corp *		10,179
	1,041	Youngone Corp *		33,518
		Total South Korea		530,879
		Spain — 6.6%
	11,908	Acerinox SA		130,759
	110,934	Banco Bilbao Vizcaya Argentaria SA		862,293
	500,668	Banco de Sabadell SA		653,971
	7,967	Industria de Diseno Textil SA		245,437
	7,652	Repsol SA		121,015
		Total Spain		2,013,475
		Sweden — 0.4%
	1,395	Investor AB – A Shares		28,596
	554	Investor AB – B Shares		10,701
	4,822	SSAB AB – A Shares		35,055
	9,319	SSAB AB – B Shares		63,746
		Total Sweden		138,098
		Switzerland — 5.8%
	403	Cie Financiere Richemont SA – Class A (Registered)		60,892
	446	DKSH Holding AG		36,292
	1,484	Novartis AG (Registered)		124,894
	100	Novartis AG Sponsored ADR		8,412
	3,239	Roche Holding AG – Genusschein		933,929
	95	Swatch Group AG (The)		33,059
	1,700	UBS Group AG (Registered) (b)		37,026
	19,697	UBS Group AG (Registered) (b)		428,119
	263	Zurich Insurance Group AG		124,755
		Total Switzerland		1,787,378

81 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Thailand — 1.7%
	93,200	AP Thailand Pcl NVDR		32,687
	164,500	Bangkok Dusit Medical Services Pcl NVDR		130,299
	529,900	Krung Thai Bank Pcl NVDR		259,363
	92,900	PTT Oil & Retail Business Pcl NVDR		57,567
	649,600	Sansiri Pcl NVDR		35,097
		Total Thailand		515,013
		Turkey — 2.1%
	330,568	Akbank TAS		305,668
	11,564	Arcelik AS		72,997
	15,186	Aselsan Elektronik Sanayi Ve Ticaret AS		44,330
	3,483	Dogus Otomotiv Servis ve Ticaret AS		31,157
	12,020	KOC Holding AS		49,234
	58,101	Turkiye Garanti Bankasi AS		71,504
	50,705	Turkiye Is Bankasi AS – Class C		30,430
	104,432	Turkiye Sinai Kalkinma Bankasi AS *		21,903
	2,975	Vestel Elektronik Sanayi ve Ticaret AS *		8,811
		Total Turkey		636,034
		United Kingdom — 13.4%
	21,176	3i Group Plc		414,292
	19,339	BAE Systems Plc		208,865
	49,520	Barratt Developments Plc		278,425
	4,024	Bellway Plc		107,281
	9,500	BP Plc Sponsored ADR		376,200
	3,830	British American Tobacco Plc		144,949
	16,100	British American Tobacco Plc Sponsored ADR		612,766
	82,656	BT Group Plc		138,569
	5,664	Burberry Group Plc		168,190
	8,393	Coca-Cola HBC AG *		214,940
	152	Ferguson Plc		21,882
	5,490	GSK Plc Sponsored ADR		188,142
	7,596	IG Group Holdings Plc		73,330
	26,017	Imperial Brands Plc		626,782
	4,134	Investec Plc		26,330
	8,500	Kingfisher Plc		29,396
	2,568	Next Plc		211,248
	5,740	Persimmon Plc		100,098
	3,503	Plus500 Ltd		75,566
	13,515	Redrow Plc		83,054
	6,565	Spirent Communications Plc		16,796
		Total United Kingdom		4,117,101
		TOTAL COMMON STOCKS (COST $25,690,239)		29,400,621
		PREFERRED STOCKS (c) — 1.8%
		Brazil — 0.8%
	8,700	Cia Energetica de Minas Gerais		17,415
	70,200	Cia Paranaense de Energia – Class B		94,531
	13,000	Gerdau SA Sponsored ADR		71,110

Shares		Description	Value ($)
		Brazil — continued
	4,500	Petroleo Brasileiro SA Sponsored ADR		43,920
		Total Brazil		226,976
		Germany — 1.0%
	1,061	Bayerische Motoren Werke AG		100,494
	186	Draegerwerk AG & Co KGaA		8,111
	2,718	Henkel AG & Co KGaA		197,730
		Total Germany		306,335
		South Korea — 0.0%
	302	LG Electronics Inc		10,828
		TOTAL PREFERRED STOCKS (COST $506,167)		544,139
		MUTUAL FUNDS — 3.8%
		United States — 3.8%
		Affiliated Issuers — 3.8%
	232,525	GMO U.S. Treasury Fund		1,160,296
		Total United States		1,160,296
		TOTAL MUTUAL FUNDS (COST $1,158,722)		1,160,296
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	43,531	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (d)		43,531
		TOTAL SHORT-TERM INVESTMENTS (COST $43,531)		43,531
		TOTAL INVESTMENTS — 101.5% (Cost $27,398,659)		31,148,587
		Other Assets and Liabilities (net) — (1.5)%		(462,391	)
		TOTAL NET ASSETS — 100.0%		$30,686,196

See accompanying notes to the financial statements. 82

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type		Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1		MSCI EAFE		March 2023	$	102,330	$	2,645

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

(d) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

83 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO U.S. Equity Fund returned -1.63% (net) for the fiscal year ended February 28, 2023, as compared with -7.19% for the S&P Composite 1500 Index.

Stock selection drove outperformance for the period with notable contributions from Consumer Discretionary, Health Care, and Financials. Top contributors included overweight positioning in Merck (Health Care) and Genuine Parts Company (Consumer Discretionary). Underweight positioning toward Amazon and Tesla in Consumer Discretionary also contributed to performance.

Top detractors included stock selection in Real Estate and an underweight toward Financials.

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

85

GMO U.S. Equity Fund

(A Series of GMO Trust)

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

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

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Class III		-1.63	%		9.75	%		11.05	%
Class VI		-1.47	%		9.86	%		11.16	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III and VI the gross expense ratio of 0.50% and 0.41%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding Net Expense Ratio of 0.47% and 0.38% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

86

GMO U.S. Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.0	%
Mutual Funds		1.2
Short-Term Investments		0.3
Futures Contracts		0.0	^
Other		0.5
		100.0	%
Industry Group Summary	% of Equity Investments#
Technology Hardware & Equipment		11.7	%
Retailing		9.3
Capital Goods		8.7
Software & Services		8.7
Energy		7.2
Semiconductors & Semiconductor Equipment		7.2
Diversified Financials		6.5
Pharmaceuticals, Biotechnology & Life Sciences		6.0
Consumer Durables & Apparel		5.2
Health Care Equipment & Services		4.7
Materials		4.7
Media & Entertainment		4.6
Banks		4.4
Food, Beverage & Tobacco		4.1
Food & Staples Retailing		3.4
Commercial & Professional Services		1.2
Insurance		1.2
Consumer Services		0.6
Transportation		0.4
Automobiles & Components		0.1
Real Estate		0.1
		100.0	%

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

^#  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%.

87

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 98.0%
		Automobiles & Components — 0.1%
	9,300	Modine Manufacturing Co.*		227,013
	2,400	Standard Motor Products, Inc.		93,528
		Total Automobiles & Components		320,541
		Banks — 4.3%
	1,800	1st Source Corp.		89,676
	3,400	Amalgamated Financial Corp.		80,070
	28,392	Associated Banc-Corp.		657,275
	4,100	Atlantic Union Bankshares Corp.		153,586
	900	Banner Corp.		56,682
	1,900	Capital City Bank Group, Inc.		67,773
	5,800	Citizens Financial Group, Inc.		242,208
	2,000	Community Trust Bancorp, Inc.		85,500
	1,800	Enterprise Financial Services Corp.		98,028
	9,000	Farmers National Banc Corp.		128,250
	12,800	Fifth Third Bancorp		464,640
	6,200	First BanCorp		89,962
	9,400	First Financial Bancorp		231,616
	1,500	First Financial Corp.		65,925
	8,900	Hanmi Financial Corp.		210,218
	6,400	Huntington Bancshares, Inc.		98,048
	4,100	Independent Bank Corp.		90,405
	38,800	MGIC Investment Corp.		533,888
	5,000	PNC Financial Services Group, Inc.		789,600
	31,600	Radian Group, Inc.		674,660
	105,300	Regions Financial Corp.		2,455,596
	300	Synovus Financial Corp.		12,543
	17,900	Truist Financial Corp.		840,405
	7,000	Trustmark Corp.		205,800
	43,200	US Bancorp		2,061,936
	3,300	Washington Federal, Inc.		115,731
		Total Banks		10,600,021
		Capital Goods — 8.6%
	2,000	Apogee Enterprises, Inc.		91,520
	116,253	Carrier Global Corp.		5,234,873
	1,800	Cummins, Inc.		437,544
	1,800	Eaton Corp. Plc		314,874
	11,000	Fortune Brands Innovations, Inc.		681,450
	5,800	Griffon Corp.		211,526
	3,400	Moog, Inc. – Class A		335,308
	45,400	MRC Global, Inc.*		508,480
	8,683	Mueller Industries, Inc.		642,281
	65,250	PACCAR, Inc.		4,711,050
	5,300	Timken Co. (The)		452,885
	27,448	Trane Technologies Plc		5,077,057
	3,315	WW Grainger, Inc.		2,215,845
		Total Capital Goods		20,914,693
		Commercial & Professional Services — 1.2%
	95,700	ACCO Brands Corp.		542,619

Shares		Description	Value ($)
		Commercial & Professional Services — continued
	600	Barrett Business Services, Inc.		57,588
	2,400	Brady Corp. – Class A		132,384
	7,400	CBIZ, Inc.*		370,666
	9,600	Deluxe Corp.		177,024
	2,700	Heidrick & Struggles International, Inc.		92,691
	7,900	ICF International, Inc.		785,971
	3,400	Kforce, Inc.		212,466
	9,200	Kimball International, Inc. – Class B		63,572
	1,200	Republic Services, Inc. – Class A		154,716
	12,800	Resources Connection, Inc.		231,168
	3,000	TrueBlue, Inc.*		56,100
		Total Commercial & Professional Services		2,876,965
		Consumer Durables & Apparel — 5.1%
	11,300	Acushnet Holdings Corp.		545,338
	800	Carter’s, Inc.		60,312
	22,200	Ethan Allen Interiors, Inc.		656,010
	43,741	Garmin Ltd.		4,292,304
	38,981	La-Z-Boy, Inc.		1,262,205
	1,700	Lululemon Athletica, Inc.*		525,640
	1,400	M/I Homes, Inc.*		80,976
	6,200	MasterCraft Boat Holdings, Inc.*		209,374
	6,500	Meritage Homes Corp.*		709,995
	5,300	Movado Group, Inc.		183,486
	5,700	Oxford Industries, Inc.		670,377
	10,400	PVH Corp.		834,496
	31,800	Taylor Morrison Home Corp. – Class A*		1,139,394
	58,052	TRI Pointe Homes, Inc.*		1,383,960
		Total Consumer Durables & Apparel		12,553,867
		Consumer Services — 0.6%
	6,300	Adtalem Global Education, Inc.*		246,456
	1,300	Graham Holdings Co. – Class B		814,658
	31,275	Perdoceo Education Corp.*		431,126
		Total Consumer Services		1,492,240
		Diversified Financials — 6.4%
	29,100	American Express Co.		5,063,109
	7,000	Ameriprise Financial, Inc.		2,400,090
	45,400	Bank of New York Mellon Corp. (The)		2,309,952
	3,800	Berkshire Hathaway, Inc. – Class B*		1,159,684
	6,500	Discover Financial Services		728,000
	10,100	Donnelley Financial Solutions, Inc.*		427,331
	25,043	Enova International, Inc.*		1,220,846
	3,100	Jackson Financial, Inc. – Class A		140,678
	53,000	Janus Henderson Group Plc		1,455,380
	2,100	Nelnet, Inc. – Class A		197,127
	2,200	Oppenheimer Holdings, Inc. – Class A		96,998
	3,247	PROG Holdings, Inc.*		80,266
	3,223	State Street Corp.		285,816
		Total Diversified Financials		15,565,277

See accompanying notes to the financial statements. 88

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Energy — 7.1%
	41,200	Chevron Corp.		6,623,724
	2,100	Dril-Quip, Inc.*		71,925
	12,200	EOG Resources, Inc.		1,378,844
	70,200	Exxon Mobil Corp.		7,715,682
	4,300	Marathon Petroleum Corp.		531,480
	7,700	Phillips 66		789,712
	6,400	World Fuel Services Corp.		175,680
		Total Energy		17,287,047
		Food & Staples Retailing — 3.3%
	6,800	Costco Wholesale Corp.		3,292,424
	111,945	Kroger Co. (The)		4,829,307
		Total Food & Staples Retailing		8,121,731
		Food, Beverage & Tobacco — 4.0%
	39,800	General Mills, Inc.		3,164,498
	5,200	Hershey Co. (The)		1,239,264
	22,800	PepsiCo, Inc.		3,956,484
	4,200	Philip Morris International, Inc.		408,660
	22,065	Universal Corp.		1,116,268
		Total Food, Beverage & Tobacco		9,885,174
		Health Care Equipment & Services — 4.7%
	1,841	AmerisourceBergen Corp.		286,386
	10,900	Cigna Group (The)		3,183,890
	4,700	Elevance Health, Inc.		2,207,449
	4,700	Humana, Inc.		2,326,594
	4,300	UnitedHealth Group, Inc.		2,046,542
	10,700	Zimmer Biomet Holdings, Inc.		1,325,409
		Total Health Care Equipment & Services		11,376,270
		Insurance — 1.1%
	15,300	Progressive Corp. (The)		2,195,856
	13,063	Stewart Information Services Corp.		555,047
		Total Insurance		2,750,903
		Materials — 4.6%
	10,900	AdvanSix, Inc.		448,535
	1,900	Air Products & Chemicals, Inc.		543,362
	55,100	Corteva, Inc.		3,432,179
	8,900	Ecolab, Inc.		1,418,393
	8,800	Huntsman Corp.		258,192
	3,100	Ingevity Corp.*		255,936
	500	Martin Marietta Materials, Inc.		179,935
	9,600	Mercer International, Inc.		103,488
	2,973	NewMarket Corp.		1,021,225
	3,200	Newmont Corp.		139,552
	10,100	O-I Glass, Inc.*		224,422
	3,596	Reliance Steel & Aluminum Co.		891,233
	9,700	Ryerson Holding Corp.		348,521
	12,874	Stepan Co.		1,340,055
	1,700	Sylvamo Corp.		83,861

Shares		Description	Value ($)
		Materials — continued
	10,500	Valvoline, Inc.		369,600
	6,400	Warrior Met Coal, Inc.		244,928
		Total Materials		11,303,417
		Media & Entertainment — 4.5%
	18,260	Alphabet, Inc. – Class C*		1,648,878
	17,500	Alphabet, Inc. – Class A*		1,576,050
	12,300	AMC Networks, Inc. – Class A*		275,028
	103,533	Comcast Corp. – Class A		3,848,322
	27,742	Electronic Arts, Inc.		3,077,697
	6,600	Fox Corp. – Class B		212,850
	1,300	News Corp. – Class B		22,438
	2,400	Scholastic Corp.		109,464
	17,018	TEGNA, Inc.		296,113
		Total Media & Entertainment		11,066,840
		Pharmaceuticals, Biotechnology & Life Sciences — 5.9%
	6,900	Agilent Technologies, Inc.		979,593
	2,200	Biogen, Inc.*		593,692
	35,441	Bristol-Myers Squibb Co.		2,444,011
	17,900	Johnson & Johnson		2,743,354
	67,150	Merck & Co., Inc.		7,134,016
	7,595	Prestige Consumer Healthcare, Inc.*		457,599
		Total Pharmaceuticals, Biotechnology & Life Sciences		14,352,265
		Real Estate — 0.1%
	3,400	CBRE Group, Inc. – Class A*		289,476
		Retailing — 9.1%
	4,900	1-800-Flowers.com, Inc. – Class A*		48,510
	8,400	Aaron’s Co., Inc. (The)		120,540
	20,680	Amazon.com, Inc.*		1,948,676
	14,300	Best Buy Co., Inc.		1,188,473
	11,400	Caleres, Inc.		297,654
	14,000	Chico’s FAS, Inc.*		80,500
	16,000	Container Store Group , Inc. (The)*		69,600
	4,700	Designer Brands, Inc. – Class A		46,013
	9,000	Dollar General Corp.		1,946,700
	91,500	eBay, Inc.		4,199,850
	2,600	Foot Locker, Inc.		113,672
	32,500	Gap, Inc. (The)		422,825
	200	Genesco, Inc.*		8,994
	8,054	Group 1 Automotive, Inc.		1,780,498
	8,700	Haverty Furniture Cos., Inc.		328,338
	11,700	Home Depot, Inc. (The)		3,469,518
	8,300	ODP Corp. (The)*		375,824
	8,100	Shoe Carnival, Inc.		213,435
	17,400	Signet Jewelers Ltd.		1,246,188
	9,800	Tractor Supply Co.		2,285,948
	3,900	Ulta Beauty, Inc.*		2,023,320
		Total Retailing		22,215,076

89 See accompanying notes to the financial statements.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — 7.0%
	5,492	Cirrus Logic, Inc.*		564,303
	174,943	Intel Corp.		4,361,329
	22,900	Kulicke & Soffa Industries, Inc.		1,220,570
	23,300	Microchip Technology, Inc.		1,887,999
	20,100	NXP Semiconductors NV		3,587,448
	45,400	QUALCOMM, Inc.		5,608,262
		Total Semiconductors & Semiconductor Equipment		17,229,911
		Software & Services — 8.5%
	6,800	Automatic Data Processing, Inc.		1,494,776
	25,222	Cadence Design Systems, Inc.*		4,866,333
	7,900	CSG Systems International, Inc.		443,980
	1,900	International Business Machines Corp.		245,670
	29,519	Microsoft Corp.		7,362,629
	100	Oracle Corp.		8,740
	2,800	Roper Technologies, Inc.		1,204,560
	14,174	Synopsys, Inc.*		5,155,934
		Total Software & Services		20,782,622
		Technology Hardware & Equipment — 11.4%
	81,924	Apple, Inc.		12,076,417
	8,900	Arista Networks, Inc.*		1,234,430
	1,037	Arrow Electronics, Inc.*		122,356
	3,522	Avnet, Inc.		157,468
	4,700	Bel Fuse, Inc. – Class B		166,944
	3,700	Belden, Inc.		312,206
	17,500	Dell Technologies, Inc. – Class C		711,200
	214,000	Hewlett Packard Enterprise Co.		3,340,540
	126,844	HP, Inc.		3,744,435
	2,800	Juniper Networks, Inc.		86,184
	18,400	Keysight Technologies, Inc.*		2,943,264
	4,300	Motorola Solutions, Inc.		1,130,083
	6,700	Sanmina Corp.*		405,082

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	9,500	Super Micro Computer, Inc.*		930,715
	200	TTM Technologies, Inc.*		2,658
	10,700	Vontier Corp.		280,019
	19,995	Xerox Holdings Corp.		329,717
		Total Technology Hardware & Equipment		27,973,718
		Transportation — 0.4%
	7,500	Hub Group, Inc. – Class A*		687,975
	10,400	Schneider National, Inc. – Class B		291,824
		Total Transportation		979,799
		TOTAL COMMON STOCKS (COST $235,225,833)		239,937,853
		MUTUAL FUNDS — 1.2%
		Affiliated Issuers — 1.2%
	612,832	GMO U.S. Treasury Fund		3,058,032
		TOTAL MUTUAL FUNDS (COST $3,058,032)		3,058,032
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	717,880	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (a)		717,880
		TOTAL SHORT-TERM INVESTMENTS (COST $717,880)		717,880
		TOTAL INVESTMENTS — 99.5% (Cost $239,001,745)		243,713,765
		Other Assets and Liabilities (net) — 0.5%		1,246,620
		TOTAL NET ASSETS — 100.0%	$	244,960,385

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
8	S&P 500 E-Mini		March 2023	$	1,590,200	$	49,914

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2023, 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. 90

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

91 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO U.S. Opportunistic Value Fund returned 1.10% (net) for the period from the Fund’s inception on December 13, 2022, until the end of the fiscal year on February 28, 2023, as compared with -0.46% for the S&P Composite 1500 Index.

Stock selection was the largest contributor to outperformance for the period with notable contributions from Communications Services and Financials. Sector allocation also contributed, including overweight positioning toward Financials and not holding Utilities.

Top detractors included stock selection in Health Care and Information Technology.

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

93

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $350,000,000 Investment in

GMO U.S. Opportunistic Value Fund Class VI Shares and the S&P Composite 1500 Index

As of February 28, 2023

	Average Annual Total Returns
	Since Inception
Class III	2/15/23 -4.13%
Class IV	2/15/23 -4.13%
Class VI	12/13/22 1.10%
Class I	2/15/23 -4.13%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, IV, VI and I the gross expense ratio of 0.54%, 0.49%, 0.45% and 0.64%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated February 11, 2023. For the Classes listed above, the net expense ratio of 0.47%, 0.42%, 0.38% and 0.57% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

94

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.2	%
Mutual Funds		2.1
Short-Term Investments		0.1
Other		(0.4	)
		100.0	%
Industry Group Summary	% of Equity Investments#
Banks		12.8	%
Pharmaceuticals, Biotechnology & Life Sciences		11.7
Media & Entertainment		8.6
Diversified Financials		8.3
Energy		7.6
Health Care Equipment & Services		6.5
Semiconductors & Semiconductor Equipment		6.4
Technology Hardware & Equipment		5.8
Telecommunication Services		4.7
Consumer Durables & Apparel		4.2
Insurance		4.1
Capital Goods		3.9
Retailing		3.6
Software & Services		2.9
Automobiles & Components		2.9
Food, Beverage & Tobacco		1.7
Food & Staples Retailing		1.1
Materials		1.0
Real Estate		0.8
Consumer Services		0.6
Commercial & Professional Services		0.6
Transportation		0.2
Household & Personal Products		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%.

95

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 98.2%
		Automobiles & Components — 2.8%
	32,632	BorgWarner, Inc.		1,640,737
	237,916	Ford Motor Co.		2,871,646
	69,752	General Motors Co.		2,702,192
	11,900	Goodyear Tire & Rubber Co.*		135,184
	1,700	Harley-Davidson, Inc.		80,835
	3,444	Lear Corp.		480,955
		Total Automobiles & Components		7,911,549
		Banks — 12.5%
	221,146	Bank of America Corp.		7,585,308
	78,258	Citigroup, Inc.		3,966,898
	21,958	Citizens Financial Group, Inc.		916,966
	139,772	Huntington Bancshares, Inc.		2,141,307
	64,390	JPMorgan Chase & Co.		9,230,306
	20,514	KeyCorp.		375,201
	5,200	M&T Bank Corp.		807,508
	13,628	PNC Financial Services Group, Inc.		2,152,134
	50,538	Radian Group, Inc.		1,078,986
	92,126	Regions Financial Corp.		2,148,378
	34,778	Truist Financial Corp.		1,632,827
	16,060	US Bancorp		766,544
	33,528	Wells Fargo & Co.		1,568,105
	10,140	Zions Bancorp NA		513,287
		Total Banks		34,883,755
		Capital Goods — 3.9%
	36,434	3M Co.		3,925,399
	2,700	AGCO Corp.		380,187
	1,666	Allison Transmission Holdings, Inc.		79,135
	5,194	Atkore, Inc.*		758,428
	5,352	Cummins, Inc.		1,300,964
	4,428	Encore Wire Corp.		854,648
	12,300	Ferguson Plc		1,772,430
	17,370	Owens Corning		1,698,613
		Total Capital Goods		10,769,804
		Commercial & Professional Services — 0.6%
	2,156	HNI Corp.		67,375
	17,740	ManpowerGroup, Inc.		1,505,771
		Total Commercial & Professional Services		1,573,146
		Consumer Durables & Apparel — 4.1%
	7,760	Brunswick Corp.		678,379
	4,866	Carter’s, Inc.		366,848
	9,538	DR Horton, Inc.		882,074
	10,512	Garmin Ltd.		1,031,543
	161,752	Hanesbrands, Inc.		918,751
	21,150	Hasbro, Inc.		1,163,462
	8,526	La-Z-Boy, Inc.		276,072
	10,202	Lennar Corp. – Class A		986,941
	4,482	PulteGroup, Inc.		245,031

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	23,928	PVH Corp.		1,919,983
	284	Ralph Lauren Corp.		33,566
	5,816	Tapestry, Inc.		253,054
	21,946	Taylor Morrison Home Corp. – Class A*		786,325
	4,410	TRI Pointe Homes, Inc.*		105,134
	7,200	VF Corp.		178,704
	11,806	Whirlpool Corp.		1,628,992
	5,400	Wolverine World Wide, Inc.		90,450
		Total Consumer Durables & Apparel		11,545,309
		Consumer Services — 0.6%
	4,974	Adtalem Global Education, Inc.*		194,583
	490	Graham Holdings Co. – Class B		307,063
	32,390	H&R Block, Inc.		1,191,952
		Total Consumer Services		1,693,598
		Diversified Financials — 8.1%
	2,940	Alliance Data Systems Corp.		120,746
	38,136	Ally Financial, Inc.		1,145,987
	60,092	Bank of New York Mellon Corp. (The)		3,057,481
	11,900	Capital One Financial Corp.		1,298,052
	20,436	Discover Financial Services		2,288,832
	5,100	Franklin Resources, Inc.		150,297
	15,416	Goldman Sachs Group, Inc. (The)		5,421,036
	49,544	Invesco Ltd.		874,947
	62,624	Janus Henderson Group Plc		1,719,655
	5,300	Jefferies Financial Group, Inc.		200,287
	16,758	Northern Trust Corp.		1,596,535
	30,242	State Street Corp.		2,681,860
	57,184	Synchrony Financial		2,042,041
		Total Diversified Financials		22,597,756
		Energy — 7.5%
	24,200	Cabot Oil & Gas Corp.		604,274
	23,220	Chevron Corp.		3,733,079
	31,850	ConocoPhillips		3,291,698
	21,904	EOG Resources, Inc.		2,475,590
	89,864	Exxon Mobil Corp.		9,876,952
	4,300	Ovintiv, Inc.		183,911
	6,300	Phillips 66		646,128
		Total Energy		20,811,632
		Food & Staples Retailing — 1.1%
	25,356	Kroger Co. (The)		1,093,858
	55,026	Walgreens Boots Alliance, Inc.		1,955,074
		Total Food & Staples Retailing		3,048,932
		Food, Beverage & Tobacco — 1.6%
	14,800	Archer-Daniels-Midland Co.		1,178,080
	21,700	Kraft Heinz Co. (The)		844,998
	6,978	Molson Coors Brewing Co. – Class B		371,160
	34,068	Tyson Foods, Inc. – Class A		2,018,188

See accompanying notes to the financial statements. 96

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Food, Beverage & Tobacco — continued
	3,074	Universal Corp.		155,514
		Total Food, Beverage & Tobacco		4,567,940
		Health Care Equipment & Services — 6.4%
	26,502	Centene Corp.*		1,812,737
	15,174	Cigna Group (The)		4,432,325
	60,088	CVS Health Corp.		5,019,752
	5,778	Elevance Health, Inc.		2,713,753
	18,484	Henry Schein, Inc.*		1,447,482
	2,164	Laboratory Corp. of America Holdings		517,975
	23,236	Medtronic Plc		1,923,941
		Total Health Care Equipment & Services		17,867,965
		Household & Personal Products — 0.0%
	784	USANA Health Sciences, Inc.*		47,652
		Insurance — 4.1%
	42,790	Fidelity National Financial, Inc.		1,705,609
	6,916	Hartford Financial Services Group, Inc. (The)		541,385
	45,416	MetLife, Inc.		3,257,690
	18,452	Principal Financial Group, Inc.		1,652,561
	31,992	Prudential Financial, Inc.		3,199,200
	600	Reinsurance Group of America, Inc.		86,682
	8,592	Stewart Information Services Corp.		365,074
	11,948	Unum Group		532,283
		Total Insurance		11,340,484
		Materials — 1.0%
	15,196	Huntsman Corp.		445,851
	1,428	Nucor Corp.		239,104
	7,670	Reliance Steel & Aluminum Co.		1,900,933
	1,700	Schnitzer Steel Industries, Inc. – Class A		55,573
		Total Materials		2,641,461
		Media & Entertainment — 8.4%
	27,300	Alphabet, Inc. – Class A*		2,458,638
	112,654	Comcast Corp. – Class A		4,187,349
	16,800	Fox Corp. – Class A		588,336
	4,500	Fox Corp. – Class B		145,125
	71,762	Meta Platforms, Inc. – Class A*		12,554,044
	56,326	Paramount Global – Class B		1,206,503
	149,098	Warner Bros Discovery, Inc.*		2,328,911
		Total Media & Entertainment		23,468,906
		Pharmaceuticals, Biotechnology & Life Sciences — 11.5%
	9,502	Biogen, Inc.*		2,564,210
	71,100	Bristol-Myers Squibb Co.		4,903,056
	57,184	Gilead Sciences, Inc.		4,605,027
	25,692	Johnson & Johnson		3,937,556
	39,520	Merck & Co., Inc.		4,198,605
	176,530	Pfizer, Inc.		7,161,822

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	3,742	Regeneron Pharmaceuticals, Inc.*		2,845,492
	160,394	Viatris, Inc.		1,828,491
		Total Pharmaceuticals, Biotechnology & Life Sciences		32,044,259
		Real Estate — 0.8%
	26,038	CBRE Group, Inc. – Class A*		2,216,875
	2,548	Marcus & Millichap, Inc.		87,575
		Total Real Estate		2,304,450
		Retailing — 3.6%
	3,400	Academy Sports & Outdoors, Inc.		201,110
	2,992	AutoNation, Inc.*		408,438
	26,388	Best Buy Co., Inc.		2,193,107
	57,070	eBay, Inc.		2,619,513
	24,296	Foot Locker, Inc.		1,062,221
	31,380	Gap, Inc. (The)		408,254
	2,084	Group 1 Automotive, Inc.		460,710
	38,228	Kohl’s Corp.		1,071,913
	1,372	Lithia Motors, Inc.		350,107
	50,376	Macy’s, Inc.		1,030,693
	4,912	Nordstrom, Inc.		95,686
	58	Williams-Sonoma, Inc.		7,245
		Total Retailing		9,908,997
		Semiconductors & Semiconductor Equipment — 6.3%
	18,674	Applied Materials, Inc.		2,168,985
	221,860	Intel Corp.		5,530,970
	19,310	Kulicke & Soffa Industries, Inc.		1,029,223
	48,838	Micron Technology, Inc.		2,823,813
	47,364	QUALCOMM, Inc.		5,850,875
		Total Semiconductors & Semiconductor Equipment		17,403,866
		Software & Services — 2.8%
	27,218	Cognizant Technology Solutions Corp. – Class A		1,704,663
	17,100	DXC Technology Co.*		474,354
	39,094	International Business Machines Corp.		5,054,854
	52,538	Western Union Co. (The)		680,893
		Total Software & Services		7,914,764
		Technology Hardware & Equipment — 5.7%
	12,760	Arrow Electronics, Inc.*		1,505,553
	8,444	Avnet, Inc.		377,531
	119,552	Cisco Systems, Inc.		5,788,708
	42,554	Dell Technologies, Inc. – Class C		1,729,395
	60,528	Flex Ltd.*		1,377,617
	128,566	Hewlett Packard Enterprise Co.		2,006,915
	102,154	HP, Inc.		3,015,586

97 See accompanying notes to the financial statements.

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	10,290	Xerox Holdings Corp.		169,682
		Total Technology Hardware & Equipment		15,970,987
		Telecommunication Services — 4.6%
	309,250	AT&T, Inc.		5,847,917
	180,032	Verizon Communications, Inc.		6,987,042
		Total Telecommunication Services		12,834,959
		Transportation — 0.2%
	2,868	Matson, Inc.		190,751
	10,406	Schneider National, Inc. – Class B		291,992
		Total Transportation		482,743
		TOTAL COMMON STOCKS (COST $274,425,438)		273,634,914
		MUTUAL FUNDS — 2.1%
		Affiliated Issuers — 2.1%
	1,166,679	GMO U.S. Treasury Fund		5,821,730
		TOTAL MUTUAL FUNDS (COST $5,821,730)		5,821,730
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	225,815	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (a)		225,815
		TOTAL SHORT-TERM INVESTMENTS (COST $225,815)		225,815
		TOTAL INVESTMENTS — 100.4% (Cost $280,472,983)		279,682,459
		Other Assets and Liabilities (net) — (0.4)%		(1,215,744	)
		TOTAL NET ASSETS — 100.0%	$	278,466,715

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

See accompanying notes to the financial statements. 98

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO U.S. Small Cap Value Fund returned -2.86% (net) for the fiscal year ended February 28, 2023, as compared with +0.02% for the S&P SmallCap 600 Value Index.

Stock selection drove underperformance for the period, with notable challenges in Real Estate, Industrials, Financials, and Energy.

In contrast sector allocation added value. The portfolio benefited from underweight positioning toward Real Estate and Health Care, and overweight positioning toward Materials.

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

99

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

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

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

As of February 28, 2023

	Average Annual Total Returns
	1 Year			Since Inception
Class VI		-2.86	%		7/2/19   9.81	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited.

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

For Class VI the gross expense ratio of 0.42% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Class listed above, the net expense ratio of 0.42% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

100

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.8	%
Mutual Funds		1.2
Short-Term Investments		0.3
Rights/Warrants		0.1
Futures Contracts		0.0	^
Other		(0.4	)
		100.0	%
Industry Group Summary	% of Equity Investments#
Capital Goods		10.8	%
Retailing		10.4
Consumer Durables & Apparel		10.0
Materials		9.2
Technology Hardware & Equipment		7.8
Real Estate		7.7
Banks		7.2
Commercial & Professional Services		5.4
Diversified Financials		5.3
Media & Entertainment		4.1
Energy		3.6
Semiconductors & Semiconductor Equipment		3.6
Insurance		3.4
Health Care Equipment & Services		2.5
Pharmaceuticals, Biotechnology & Life Sciences		2.3
Transportation		1.9
Food, Beverage & Tobacco		1.7
Consumer Services		1.5
Food & Staples Retailing		0.7
Automobiles & Components		0.5
Telecommunication 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%.

101

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 98.8%
		Automobiles & Components — 0.4%
	5,400	Modine Manufacturing Co.*		131,814
		Banks — 7.2%
	2,706	1st Source Corp.		134,813
	7,025	Amalgamated Financial Corp.		165,439
	1,327	Arrow Financial Corp.		40,447
	11,699	Associated Banc-Corp.		270,832
	600	Capital City Bank Group, Inc.		21,402
	900	Central Valley Community Bancorp		22,959
	470	Civista Bancshares, Inc.		10,025
	2,696	Community Trust Bancorp, Inc.		115,254
	1,004	Financial Institutions, Inc.		25,060
	1,605	First Community Bankshares, Inc.		50,108
	698	First Financial Bancorp		17,199
	2,400	First Financial Corp.		105,480
	400	Great Southern Bancorp, Inc.		23,276
	8,589	Hanmi Financial Corp.		202,872
	4,391	Independent Bank Corp.		96,821
	3,400	Midland States Bancorp, Inc.		88,536
	1,200	MidWestOne Financial Group, Inc.		36,048
	19,900	Radian Group, Inc.		424,865
	613	Republic Bancorp, Inc. – Class A		27,278
	6,196	Towne Bank		187,925
	2,367	Waterstone Financial, Inc.		38,109
		Total Banks		2,104,748
		Capital Goods — 10.7%
	6,700	Allison Transmission Holdings, Inc.		318,250
	5,100	Apogee Enterprises, Inc.		233,376
	12,700	Griffon Corp.		463,169
	2,570	Hyster-Yale Materials Handling, Inc.		99,999
	1,468	Miller Industries, Inc.		40,825
	5,519	Moog, Inc. – Class A		544,284
	33,300	MRC Global, Inc.*		372,960
	7,855	Mueller Industries, Inc.		581,034
	12,000	NOW, Inc.*		154,200
	1,152	Park-Ohio Holdings Corp.		15,333
	596	Preformed Line Products Co.		53,142
	1,200	Quanex Building Products Corp.		31,140
	3,135	Resideo Technologies, Inc.*		57,496
	200	Rush Enterprises, Inc. – Class B		11,996
	600	Tennant Co.		42,492
	2,948	V2X, Inc.*		136,699
		Total Capital Goods		3,156,395
		Commercial & Professional Services — 5.4%
	36,749	ACCO Brands Corp.		208,367
	800	Barrett Business Services, Inc.		76,784
	3,400	CBIZ, Inc.*		170,306
	12,679	Deluxe Corp.		233,801
	4,971	Heidrick & Struggles International, Inc.		170,655
	2,500	ICF International, Inc.		248,725

Shares		Description	Value ($)
		Commercial & Professional Services — continued
	9,100	Kelly Services, Inc. – Class A		152,243
	7,273	Kimball International, Inc. – Class B		50,256
	10,690	Resources Connection, Inc.		193,061
	9,593	Steelcase, Inc. – Class A		75,497
		Total Commercial & Professional Services		1,579,695
		Consumer Durables & Apparel — 9.8%
	3,000	Acushnet Holdings Corp.		144,780
	2,100	Bassett Furniture Industries, Inc.		38,955
	2,652	Clarus Corp.		26,255
	13,277	Ethan Allen Interiors, Inc.		392,335
	10,500	G-III Apparel Group Ltd.*		174,457
	2,546	Hooker Furniture Corp.		55,974
	1,622	Johnson Outdoors, Inc. – Class A		105,203
	14,891	La-Z-Boy, Inc.		482,171
	100	Malibu Boats, Inc. – Class A*		5,976
	3,200	MasterCraft Boat Holdings, Inc.*		108,064
	7,335	Movado Group, Inc.		253,938
	3,000	Oxford Industries, Inc.		352,830
	9,800	Taylor Morrison Home Corp. – Class A*		351,134
	11,892	TRI Pointe Homes, Inc.*		283,505
	3,569	Universal Electronics, Inc.*		45,398
	11,651	Vera Bradley, Inc.*		61,750
	1,300	VOXX International Corp.*		14,859
		Total Consumer Durables & Apparel		2,897,584
		Consumer Services — 1.4%
	252	Graham Holdings Co. – Class B		157,918
	19,500	Perdoceo Education Corp.*		268,808
		Total Consumer Services		426,726
		Diversified Financials — 5.2%
	6,600	A-Mark Precious Metals, Inc.		193,446
	8,971	Curo Group Holdings Corp.		26,195
	308	Diamond Hill Investment Group, Inc.		53,777
	11,004	Donnelley Financial Solutions, Inc.*		465,579
	9,509	Enova International, Inc.*		463,564
	1,200	LendingTree, Inc.*		39,516
	800	Nelnet, Inc. – Class A		75,096
	3,400	Oppenheimer Holdings, Inc. – Class A		149,906
	1,900	Regional Management Corp.		59,888
	914	Westwood Holdings Group, Inc.		11,745
		Total Diversified Financials		1,538,712
		Energy — 3.6%
	100	Dril-Quip, Inc.*		3,425
	7,260	Evolution Petroleum Corp.		47,262
	2,400	Gulfport Energy Corp.*		158,688
	26,100	Oil States International, Inc.*		238,293
	22,197	World Fuel Services Corp.		609,308
		Total Energy		1,056,976

See accompanying notes to the financial statements. 102

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Food & Staples Retailing — 0.7%
	4,309	SpartanNash Co.		115,309
	1,500	Village Super Market, Inc. – Class A		33,495
	600	Weis Markets, Inc.		45,864
		Total Food & Staples Retailing		194,668
		Food, Beverage & Tobacco — 1.7%
	2,444	Seneca Foods Corp. – Class A*		135,886
	7,159	Universal Corp.		362,174
		Total Food, Beverage & Tobacco		498,060
		Health Care Equipment & Services — 2.5%
	735	Eargo, Inc.*		4,447
	4,900	HealthStream, Inc.*		125,685
	20,700	Patterson Cos., Inc.		548,964
	100	Tactile Systems Technology, Inc.*		1,445
	4,000	Zimvie, Inc.*		45,520
		Total Health Care Equipment & Services		726,061
		Insurance — 3.4%
	18,300	CNO Financial Group, Inc.		468,846
	2,080	GoHealth, Inc. – Class A*		33,717
	10,690	Stewart Information Services Corp.		454,218
	2,000	Universal Insurance Holdings, Inc.		38,660
		Total Insurance		995,441
		Materials — 9.1%
	5,348	AdvanSix, Inc.		220,070
	1,808	American Vanguard Corp.		37,733
	300	Innospec, Inc.		32,838
	3,519	Koppers Holdings, Inc.		126,297
	11,113	Mativ Holdings, Inc.		287,938
	4,480	Mercer International, Inc.		48,294
	1,200	NewMarket Corp.		412,200
	9,800	Pactiv Evergreen, Inc.		105,938
	9,300	Ryerson Holding Corp.		334,149
	3,700	Stepan Co.		385,133
	1,200	Sylvamo Corp.		59,196
	16,800	Warrior Met Coal, Inc.		642,936
		Total Materials		2,692,722
		Media & Entertainment — 4.1%
	16,400	AMC Networks, Inc. – Class A*		366,704
	400	EverQuote, Inc. – Class A*		5,460
	700	Lee Enterprises, Inc.*		13,160
	8,300	Scholastic Corp.		378,563
	6,890	TEGNA, Inc.		119,886
	10,400	Yelp, Inc.*		312,208
		Total Media & Entertainment		1,195,981
		Pharmaceuticals, Biotechnology & Life Sciences — 2.1%
	1,200	NGM Biopharmaceuticals, Inc.*		5,688

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	900	Pliant Therapeutics, Inc.*		28,674
	9,920	Prestige Consumer Healthcare, Inc.*		597,680
		Total Pharmaceuticals, Biotechnology & Life Sciences		632,042
		Real Estate — 7.6%
	66,382	Anywhere Real Estate, Inc.*		384,352
	8,200	Apple Hospitality REIT, Inc.		135,382
	138,800	Diversified Healthcare Trust (REIT)		136,024
	6,600	Douglas Elliman, Inc.		27,852
	6,881	Five Point Holdings LLC – Class A*		15,069
	3,170	Forestar Group, Inc.*		45,236
	7,600	Hersha Hospitality Trust (REIT)		63,536
	16,300	Industrial Logistics Properties Trust (REIT)		66,830
	600	Lamar Advertising Co. (REIT) – Class A		62,736
	7,400	Marcus & Millichap, Inc.		254,338
	27,400	Piedmont Office Realty Trust, Inc. – Class A (REIT)		250,710
	8,000	PotlatchDeltic Corp. (REIT)		369,280
	500	RE/MAX Holdings, Inc. – Class A		9,245
	3,200	RMR Group, Inc. (The) – Class A		90,048
	4,000	RPT Realty (REIT)		42,880
	23,300	Service Properties Trust (REIT)		255,834
	800	Urstadt Biddle Properties, Inc. – Class A (REIT)		13,840
	1,900	Whitestone REIT		17,955
	700	Xenia Hotels & Resorts, Inc. (REIT)		9,828
		Total Real Estate		2,250,975
		Retailing — 10.3%
	12,500	Aaron’s Co., Inc. (The)		179,375
	2,100	Caleres, Inc.		54,831
	3,820	Cato Corp. (The) – Class A		35,335
	45,000	Chico’s FAS, Inc.*		258,750
	900	Children’s Place, Inc. (The)*		37,683
	100	Citi Trends, Inc.*		2,804
	19,400	Container Store Group , Inc. (The)*		84,390
	24,800	Designer Brands, Inc. – Class A		242,792
	7,587	Genesco, Inc.*		341,187
	3,594	Group 1 Automotive, Inc.		794,526
	6,194	Haverty Furniture Cos., Inc.		233,761
	7,800	Lands’ End, Inc.*		59,280
	10,396	Shoe Carnival, Inc.		273,935
	5,700	Signet Jewelers Ltd.		408,234
	494	Weyco Group, Inc.		13,091
		Total Retailing		3,019,974
		Semiconductors & Semiconductor Equipment — 3.6%
	16,900	Amkor Technology, Inc.		435,344
	600	Cirrus Logic, Inc.*		61,650

103 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — continued
	10,300	Kulicke & Soffa Industries, Inc.		548,990
		Total Semiconductors & Semiconductor Equipment		1,045,984
		Technology Hardware & Equipment — 7.7%
	12,513	Avnet, Inc.		559,456
	2,900	Bel Fuse, Inc. – Class B		103,008
	8,619	Benchmark Electronics, Inc.		205,046
	3,161	CTS Corp.		136,903
	9,700	Daktronics, Inc.*		39,382
	2,978	Kimball Electronics, Inc.*		74,480
	700	PC Connection, Inc.		30,660
	9,745	Sanmina Corp.*		589,183
	3,353	ScanSource, Inc.*		104,546
	244	Super Micro Computer, Inc.*		23,904
	100	Vishay Precision Group Inc.*		4,360
	23,922	Xerox Holdings Corp.		394,474
		Total Technology Hardware & Equipment		2,265,402
		Telecommunication Services — 0.4%
	600	ATN International, Inc.		25,230
	7,821	Spok Holdings, Inc.		78,132
		Total Telecommunication Services		103,362
		Transportation — 1.9%
	3,100	Hub Group, Inc. – Class A*		284,363
	10,000	Schneider National, Inc. – Class B		280,600
		Total Transportation		564,963
		TOTAL COMMON STOCKS (COST $28,891,909)		29,078,285

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.2%
		Affiliated Issuers — 1.2%
	69,122	GMO U.S. Treasury Fund		344,916
		TOTAL MUTUAL FUNDS (COST $344,916)		344,916
		RIGHTS/WARRANTS — 0.1%
		Pharmaceuticals, Biotechnology & Life Sciences — 0.1%
	72,700	Achillion Pharmaceuticals, Inc. CVR* (a)		36,350
		TOTAL RIGHTS/WARRANTS (COST $33,442)		36,350
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	90,522	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (b)		90,522
		TOTAL SHORT-TERM INVESTMENTS (COST $90,522)		90,522
		TOTAL INVESTMENTS — 100.4% (Cost $29,360,789)		29,550,073
		Other Assets and Liabilities (net) — (0.4)%		(122,558	)
		TOTAL NET ASSETS — 100.0%	$29,427,515

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Futures Contracts

						Value/Net
						Unrealized
Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Appreciation (Depreciation) ($)
Buys
2	E-mini Russell 2000 Index		March 2023	$	189,910	$	14,011

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2023, 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. 104

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 106.

105 See accompanying notes to the financial statements.

GMO Trust Funds

February 28, 2023

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

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

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

The rates shown on variable rate notes are the current interest rates at February 28, 2023, which are subject to change based on the terms of the security.

See accompanying notes to the financial statements. 106

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023

							Emerging
							Markets
							Select
							Equity
							Fund
							(formerly
			Emerging				Emerging
			Markets				Domestic
	Climate		ex-China		Emerging		Opportunities		International
	Change Fund		Fund		Markets Fund		Fund)		Equity Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	27,154,401	$	319,023	$	15,604,628	$	712,446	$	72,610,442
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		911,239,516		261,422,327		836,809,982		120,635,823		1,273,146,025
Foreign currency, at value (Note 2)(d)		6,831		3,621,902		3,491,212		71,738		25,800
Cash		7		267		3,714		—		—
Receivable for investments sold		44,412		45,118,803		48,823,591		—		162,991,208
Receivable for Fund shares sold		310,547		156,000		272,954		—		201,592
Dividends and interest receivable		1,539,744		1,761,224		5,954,759		360,661		4,282,692
Dividend withholding tax receivable		20,941		7,584		28,889		76,824		1,490,258
Foreign capital gains tax refund receivable (Note 2)		—		—		3,679,284		5,190,179		—
EU tax reclaims receivable (Note 2)		—		—		—		—		1,792,749
Due from broker (Note 2)		—		—		139,972		11,025		4,371
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		123,519		69,055		75,410		28,919		49,070
Total assets		940,439,918		312,476,185		914,884,395		127,087,615		1,516,594,207
Liabilities:
Payable for cash collateral from securities loaned (Note 2)		5,704,463		—		—		—		—
Payable for investments purchased		930,228		4,478,145		1,835,654		275,442		—
Payable for Fund shares repurchased		150,437		52,795,000		61,355,542		—		166,797,552
Accrued foreign capital gains tax payable (Note 2)		—		759		1,585,801		384,323		—
Payable for IRS closing agreement fees (Note 2)		—		—		—		—		53,077,926
Payable to affiliate for (Note 5):
Management fee		432,852		133,769		505,620		54,150		567,342
Shareholder service fee		108,213		15,551		81,238		20,209		118,345
Payable for variation margin on open futures contracts (Note 4)		—		—		413,490		—		132,020
Payable to Trustees and related expenses		2,568		847		5,796		2,673		5,330
Miscellaneous payable		—		—		794,750		—		—
Accrued expenses		251,984		257,987		499,703		162,691		352,142
Total liabilities		7,580,745		57,682,058		67,077,594		899,488		221,050,657
Net assets	$	932,859,173	$	254,794,127	$	847,806,801	$	126,188,127	$	1,295,543,550
(a)  Cost of investments – affiliated issuers:	$	27,142,335	$	319,023	$	21,319,238	$	712,446	$	72,590,181
(b)  Cost of investments – unaffiliated issuers:	$	902,112,764	$	359,950,690	$	1,375,124,891	$	151,714,803	$	1,303,808,483
(c)  Includes securities on loan at value (Note 2):	$	15,478,407	$	—	$	3,789,662	$	—	$	—
(d)  Cost of foreign currency:	$	6,885	$	3,634,817	$	3,486,618	$	72,076	$	25,947

107 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

										Emerging
										Markets
										Select
										Equity
										Fund
										(formerly
				Emerging						Emerging
				Markets						Domestic
	Climate			ex-China			Emerging			Opportunities			International
	Change Fund			Fund			Markets Fund			Fund)			Equity Fund
Net assets consist of:
Paid-in capital	$	952,024,456		$	374,927,207		$	2,722,691,955		$	306,110,430		$	2,296,531,707
Distributable earnings (accumulated loss)		(19,165,283	)		(120,133,080	)		(1,874,885,154	)		(179,922,303	)		(1,000,988,157	)
	$	932,859,173		$	254,794,127		$	847,806,801		$	126,188,127		$	1,295,543,550
Net assets attributable to:
Class II	$	—		$	—		$	151,666,217		$	113,488,066		$	4,623,307
Class III	$	330,217,908		$	28,548,471		$	72,071		$	—		$	366,630,413
Class IV	$	—		$	—		$	—		$	—		$	921,486,246
Class V	$	—		$	—		$	—		$	6,830,235		$	—
Class VI	$	—		$	226,245,293		$	598,337,065		$	—		$	—
Class R6	$	183,089,429		$	—		$	11,042,024		$	—		$	—
Class I	$	419,551,836		$	363		$	86,689,424		$	5,869,826		$	2,803,584
Shares outstanding:
Class II		—			—			6,935,257			6,323,595			216,579
Class III		11,422,048			2,142,444			3,283			—			16,939,034
Class IV		—			—			—			—			42,655,385
Class V		—			—			—			381,752			—
Class VI		—			16,966,080			27,614,301			—			—
Class R6		6,346,682			—			504,765			—			—
Class I		14,552,070			27			3,971,743			327,366			129,087
Net asset value per share:
Class II	$	—		$	—		$	21.87		$	17.95		$	21.35
Class III	$	28.91		$	13.33		$	21.96		$	—		$	21.64
Class IV	$	—		$	—		$	—		$	—		$	21.60
Class V	$	—		$	—		$	—		$	17.89		$	—
Class VI	$	—		$	13.34		$	21.67		$	—		$	—
Class R6	$	28.85		$	—		$	21.88		$	—		$	—
Class I	$	28.83		$	13.34		$	21.83		$	17.93		$	21.72

See accompanying notes to the financial statements. 108

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

			Quality
	Japan Value		Cyclicals		Quality		Resource		Resources
	Creation Fund		Fund		Fund		Transition Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—	$	680,863	$	116,238,335	$	3,512,040	$	39,264,526
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		110,473,079		69,279,610		6,666,440,506		456,471,037		1,762,534,729
Foreign currency, at value (Note 2)(d)		3,194		553		72		5,487		79,895
Cash		—		—		—		1,826		14
Receivable for investments sold		19,516,928		26,504,133		40,968,528		—		83,511
Receivable for Fund shares sold		25,000		—		9,091,726		—		135,583,546
Dividends and interest receivable		248,340		274,281		10,594,438		373,435		4,481,632
Dividend withholding tax receivable		5,949		—		2,363,539		—		380,690
Foreign capital gains tax refund receivable (Note 2)		—		—		—		—		1,012
EU tax reclaims receivable (Note 2)		—		—		254,969		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		29,069		31,056		278,035		121,391		—
Total assets		130,301,559		96,770,496		6,846,230,148		460,485,216		1,942,409,555
Liabilities:
Payable for investments purchased		76,796		36,446		—		12,040		228,988
Payable for Fund shares repurchased		22,545,000		26,935,000		57,830,514		—		156,284,955
Accrued foreign capital gains tax payable (Note 2)		—		—		—		—		34,726
Payable to affiliate for (Note 5):
Management fee		50,159		25,184		1,791,159		133,612		824,350
Shareholder service fee		7,499		4,202		612,702		9,186		192,785
Payable to Trustees and related expenses		441		371		25,195		434		7,585
Accrued expenses		115,890		95,234		566,395		121,191		558,970
Total liabilities		22,795,785		27,096,437		60,825,965		276,463		158,132,359
Net assets	$	107,505,774	$	69,674,059	$	6,785,404,183	$	460,208,753	$	1,784,277,196
(a)  Cost of investments – affiliated issuers:	$	—	$	680,863	$	116,151,685	$	3,512,040	$	39,249,466
(b)  Cost of investments – unaffiliated issuers:	$	127,286,334	$	56,282,224	$	4,250,216,463	$	481,445,320	$	1,811,490,919
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	—	$	—	$	44,042,029
(d)  Cost of foreign currency:	$	3,192	$	561	$	76	$	5,487	$	80,455

109 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

				Quality
	Japan Value			Cyclicals		Quality		Resource			Resources
	Creation Fund			Fund		Fund		Transition Fund			Fund
Net assets consist of:
Paid-in capital	$	130,026,471		$	53,729,684	$	4,423,490,799	$	485,000,000		$	1,809,552,573
Distributable earnings (accumulated loss)		(22,520,697	)		15,944,375		2,361,913,384		(24,791,247	)		(25,275,377	)
	$	107,505,774		$	69,674,059	$	6,785,404,183	$	460,208,753		$	1,784,277,196
Net assets attributable to:
Class III	$	24,808,432		$	—	$	2,885,806,701	$	—		$	322,034,544
Class IV	$	—		$	—	$	418,403,151	$	—		$	343,999,910
Class VI	$	81,148,197		$	69,604,514	$	2,224,690,677	$	460,208,753		$	65,869,098
Class R6	$	—		$	—	$	769,960,029	$	—		$	315,904,004
Class I	$	1,549,145		$	69,545	$	486,543,625	$	—		$	736,469,640
Shares outstanding:
Class III		1,471,010			—		121,443,948		—			12,848,578
Class IV		—			—		17,552,618		—			13,771,977
Class VI		4,811,272			3,164,759		93,613,681		24,250,000			2,639,401
Class R6		—			—		32,447,370		—			12,616,061
Class I		91,928			3,162		20,527,065		—			29,389,205
Net asset value per share:
Class III	$	16.86		$	—	$	23.76	$	—		$	25.06
Class IV	$	—		$	—	$	23.84	$	—		$	24.98
Class VI	$	16.87		$	21.99	$	23.76	$	18.98		$	24.96
Class R6	$	—		$	—	$	23.73	$	—		$	25.04
Class I	$	16.85		$	21.99	$	23.70	$	—		$	25.06

See accompanying notes to the financial statements. 110

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

			Tax-Managed				U.S.
	Small Cap		International				Opportunistic		U.S. Small
	Quality		Equities		U.S. Equity		Value		Cap Value
	Fund		Fund		Fund		Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	611,750	$	1,160,296	$	3,058,032	$	5,821,730	$	344,916
Investments in unaffiliated issuers, at value (Note 2)(b)		63,921,805		29,988,291		240,655,733		273,860,729		29,205,157
Foreign currency, at value (Note 2)(c)		—		20,090		—		—		—
Receivable for investments sold		25,987,633		—		27,561,341		60,715,714		16,392,009
Dividends and interest receivable		33,820		112,204		444,932		891,435		76,563
Dividend withholding tax receivable		—		25,553		—		—		—
Foreign capital gains tax refund receivable (Note 2)		—		2,032		—		—		—
Due from broker (Note 2)		—		24,131		102,954		—		13,010
Receivable for variation margin on open futures contracts (Note 4)		—		—		—		—		20
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		81,456		25,492		33,407		73,855		—
Total assets		90,636,464		31,358,089		271,856,399		341,363,463		46,031,675
Liabilities:
Payable for investments purchased		1,557		—		—		16,263		—
Payable for Fund shares repurchased		25,500,000		1,000		26,700,000		62,675,000		16,500,000
Accrued foreign capital gains tax payable (Note 2)		—		5,383		—		—		—
Payable for IRS closing agreement fees (Note 2)		—		508,467		—		—		—
Payable to affiliate for (Note 5):
Management fee		42,666		11,888		67,175		75,060		11,310
Shareholder service fee		4,246		3,566		15,994		14,342		2,006
Payable for variation margin on open futures contracts (Note 4)		—		805		5,000		—		—
Payable to Trustees and related expenses		274		146		1,588		854		1,036
Accrued expenses		109,786		140,638		106,257		115,229		89,808
Total liabilities		25,658,529		671,893		26,896,014		62,896,748		16,604,160
Net assets	$	64,977,935	$	30,686,196	$	244,960,385	$	278,466,715	$	29,427,515
(a)  Cost of investments – affiliated issuers:	$	611,333	$	1,158,722	$	3,058,032	$	5,821,730	$	344,916
(b)  Cost of investments – unaffiliated issuers:	$	53,251,223	$	26,239,937	$	235,943,713	$	274,651,253	$	29,015,873
(c)  Cost of foreign currency:	$	—	$	20,302	$	—	$	—	$	—

111 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

			Tax-Managed				U.S.
	Small Cap		International				Opportunistic		U.S. Small
	Quality		Equities		U.S. Equity		Value		Cap Value
	Fund		Fund		Fund		Fund		Fund
Net assets consist of:
Paid-in capital	$	52,233,302	$	30,520,055	$	226,665,808	$	276,034,854	$	34,600,206
Distributable earnings (accumulated loss)		12,744,633		166,141		18,294,577		2,431,861		(5,172,691	)
	$	64,977,935	$	30,686,196	$	244,960,385	$	278,466,715	$	29,427,515
Net assets attributable to:
Class III	$	13,391,406	$	30,686,196	$	50,114,234	$	9,585	$	—
Class IV	$	—	$	—	$	—	$	62,784,375	$	—
Class VI	$	51,565,627	$	—	$	194,846,151	$	215,667,963	$	29,427,515
Class I	$	20,902	$	—	$	—	$	4,792	$	—
Shares outstanding:
Class III		605,451		2,330,380		3,995,720		475		—
Class IV		—		—		—		3,108,685		—
Class VI		2,330,557		—		15,744,850		10,679,452		1,711,511
Class I		945		—		—		237		—
Net asset value per share:
Class III	$	22.12	$	13.17	$	12.54	$	20.20	$	—
Class IV	$	—	$	—	$	—	$	20.20	$	—
Class VI	$	22.13	$	—	$	12.38	$	20.19	$	17.19
Class I	$	22.11	$	—	$	—	$	20.20	$	—

See accompanying notes to the financial statements. 112

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2023

										Emerging
										Markets
										Select
										Equity
										Fund
										(formerly
				Emerging						Emerging
				Markets						Domestic
	Climate			ex-China			Emerging			Opportunities			International
	Change Fund			Fund			Markets Fund			Fund)			Equity Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	11,933,819		$	17,136,947		$	77,451,748		$	9,404,810		$	75,703,713
Dividends from affiliated issuers (Note 10)		347,948			112,318			154,052			49,028			701,608
Interest		546			21,584			453,104			89,573			1,106,943
Securities lending income from affiliated issuers (net)		889,085			—			—			—			—
Securities lending income (net)		487,278			—			636,864			—			—
Other income (Note 2)		2,042			345			—			—			2,434,726
Less: IRS closing agreement fees (Note 2)		—			—			—			—			(2,463,808	)
Total investment income		13,660,718			17,271,194			78,695,768			9,543,411			77,483,182
Expenses:
Management fee (Note 5)		4,904,430			1,565,603			9,225,954			2,529,540			7,736,927
Shareholder service fee – Class II (Note 5)		—			—			411,941			334,201			10,765
Shareholder service fee – Class III (Note 5)		458,180			23,759			261,179			—			481,799
Shareholder service fee – Class IV (Note 5)		—			—			—			—			1,096,795
Shareholder service fee – Class V (Note 5)		—			—			—			160,629			—
Shareholder service fee – Class VI (Note 5)		—			147,848			505,718			—			—
Shareholder service fee – Class R6 (Note 5)		202,311			—			68,440			—			—
Shareholder service fee – Class I (Note 5)		565,617			1			236,316			19,169			5,791
Audit and tax fees		110,115			82,272			135,064			149,594			121,526
Custodian, fund accounting agent and transfer agent fees		679,958			386,552			1,530,859			453,440			432,497
Legal fees		31,784			7,137			52,911			13,217			54,768
Registration fees		70,688			4,288			62,948			34,277			44,610
Trustees’ fees and related expenses (Note 5)		38,299			10,273			74,926			19,855			74,379
Miscellaneous		24,343			36,156			57,658			24,037			28,187
Total expenses		7,085,725			2,263,889			12,623,914			3,737,959			10,088,044
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(376,330	)		(325,594	)		(832,105	)		(344,754	)		(555,459	)
Net expenses		6,709,395			1,938,295			11,791,809			3,393,205			9,532,585
Net investment income (loss)		6,951,323			15,332,899			66,903,959			6,150,206			67,950,597
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(19,652,317	)		(21,897,543	)		(156,355,224	)		(88,345,323	)		(93,134,028	)
Investments in affiliated issuers		(478,069	)		10,103			(6,104,262	)		(20,588	)		90,181
Futures contracts		—			—			(34,669,130	)		(1,774,049	)		(2,353,493	)
Foreign currency and foreign currency related transactions		(165,813	)		(1,326,487	)		(4,203,924	)		(1,429,802	)		(2,053,697	)
Net realized gain (loss)		(20,296,199	)		(23,213,927	)		(201,332,540	)		(91,569,762	)		(97,451,037	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(4,939,364	)		(38,600,089	)		(272,938,720	)		(38,614,606	)		(12,806,489	)
Investments in affiliated issuers		57,275			17			3,167,062			9,304			20,261
Futures contracts		—			—			4,470,024			—			(352,111	)
Foreign currency and foreign currency related transactions		(29,020	)		(70,376	)		(448,661	)		(452,064	)		(60,192	)
Net change in unrealized appreciation (depreciation)		(4,911,109	)		(38,670,448	)		(265,750,295	)		(39,057,366	)		(13,198,531	)
Net realized and unrealized gain (loss)		(25,207,308	)		(61,884,375	)		(467,082,835	)		(130,627,128	)		(110,649,568	)
Net increase (decrease) in net assets resulting from operations	$	(18,255,985	)	$	(46,551,476	)	$	(400,178,876	)	$	(124,476,922	)	$	(42,698,971	)
(a)  Withholding tax:	$	884,502		$	2,519,869		$	9,867,551		$	1,444,881		$	6,269,460
(b)  Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	74,909		$	775,373		$	36,786		$	—
(c)  Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	759		$	(1,765,497	)	$	(820,484	)	$	—

113 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2023 — (Continued)

				Quality
	Japan Value			Cyclicals			Quality			Resource			Resources
	Creation Fund			Fund			Fund			Transition Fund*			Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	3,935,950		$	2,485,100		$	114,337,971		$	368,452		$	109,320,383
Dividends from affiliated issuers (Note 10)		—			19,551			1,904,895			4,867			235,030
Interest		—			25			1,463,785			1,826			331,123
Securities lending income (net)		—			—			—			—			869,760
Other income		—			—			—			—			7,863
Total investment income		3,935,950			2,504,676			117,706,651			375,145			110,764,159
Expenses:
Management fee (Note 5)		645,023			359,464			23,767,302			133,612			11,270,463
Shareholder service fee – Class III (Note 5)		33,272			—			3,920,245			—			368,880
Shareholder service fee – Class IV (Note 5)		—			—			888,438			—			402,094
Shareholder service fee – Class VI (Note 5)		57,421			59,872			1,485,699			9,186			394,306
Shareholder service fee – Class R6 (Note 5)		—			—			838,809			—			239,640
Shareholder service fee – Class I (Note 5)		3,632			106			723,163			—			1,094,099
Organizational expenses		—			—			—			51,125			—
Audit and tax fees		81,928			82,126			133,883			62,901			137,812
Custodian, fund accounting agent and transfer agent fees		76,500			52,202			1,867,157			4,580			1,975,203
Legal fees		6,415			6,376			244,035			458			85,154
Registration fees		22,355			21,913			123,538			1,864			89,291
Trustees’ fees and related expenses (Note 5)		6,146			5,275			342,242			434			107,950
Miscellaneous		13,303			8,760			45,508			462			44,913
Total expenses		945,995			596,094			34,380,019			264,622			16,209,805
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(184,095	)		(160,399	)		(1,525,611	)		(121,391	)		(201,274	)
Net expenses		761,900			435,695			32,854,408			143,231			16,008,531
Net investment income (loss)		3,174,050			2,068,981			84,852,243			231,914			94,755,628
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(5,314,875	)		10,494,333			474,478,789			—			206,365,455
Investments in affiliated issuers		—			(7,909	)		(124,273	)		—			33,266
Foreign currency and foreign currency related transactions		(215,933	)		(9,681	)		(562,508	)		(48,994	)		(2,537,429	)
Net realized gain (loss)		(5,530,808	)		10,476,743			473,792,008	**		(48,994	)		203,861,292	**
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(11,578,281	)		(17,678,866	)		(1,004,989,139	)		(24,974,283	)		(297,193,808	)
Investments in affiliated issuers		—			1,737			75,060			—			15,060
Foreign currency and foreign currency related transactions		(76,085	)		(5,694	)		(216,376	)		116			15,039
Net change in unrealized appreciation (depreciation)		(11,654,366	)		(17,682,823	)		(1,005,130,455	)		(24,974,167	)		(297,163,709	)
Net realized and unrealized gain (loss)		(17,185,174	)		(7,206,080	)		(531,338,447	)		(25,023,161	)		(93,302,417	)
Net increase (decrease) in net assets resulting from operations	$	(14,011,124	)	$	(5,137,099	)	$	(446,486,204	)	$	(24,791,247	)	$	1,453,211
(a)  Withholding tax:	$	424,775		$	94,829		$	3,075,651		$	24,020		$	4,967,871
(b)  Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	—		$	—		$	—		$	377,694
(c)  Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	—		$	—		$	—		$	(1,261,402	)

* Period from February 15, 2023 (commencement of operations) through February 28, 2023.

** For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

See accompanying notes to the financial statements. 114

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2023 — (Continued)

				Tax-Managed						U.S.
	Small Cap			International						Opportunistic			U.S. Small
	Quality			Equities			U.S. Equity			Value			Cap Value
	Fund*			Fund			Fund			Fund**			Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	378,827		$	1,665,412		$	7,005,768		$	1,787,045		$	3,262,804
Dividends from affiliated issuers (Note 10)		10,447			21,911			110,095			61,571			46,154
Interest		15			491			3,759			5,365			3,570
Other income		—			76			—			—			—
Less: IRS closing agreement fees (Note 2)		—			(22,602	)		—			—			—
Total investment income		389,289			1,665,288			7,119,622			1,853,981			3,312,528
Expenses:
Management fee (Note 5)		257,252			175,683			1,194,424			183,083			475,487
Shareholder service fee – Class III (Note 5)		1,419	***		52,705			108,255			1	****		—
Shareholder service fee – Class IV (Note 5)		—			—			—			2,277	****		—
Shareholder service fee – Class VI (Note 5)		23,058			—			172,220			31,230			84,360
Shareholder service fee – Class I (Note 5)		9	***		—			—			—	****		—
Organizational expenses		58,375			—			—			51,125			—
Audit and tax fees		46,222			101,311			81,789			56,221			77,121
Custodian, fund accounting agent and transfer agent fees		15,907			116,534			89,276			11,194			28,000
Legal fees		4,097			3,564			14,934			1,118			7,102
Registration fees		41,612			2,306			17,881			54,274			736
Trustees’ fees and related expenses (Note 5)		1,445			1,735			19,274			1,688			8,420
Miscellaneous		4,151			30,904	*****		8,444			1,266			6,722
Total expenses		453,547			484,742			1,706,497			393,477			687,948
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(170,358	)		(244,695	)		(184,333	)		(169,229	)		—
Net expenses		283,189			240,047			1,522,164			224,248			687,948
Net investment income (loss)		106,100			1,425,241			5,597,458			1,629,733			2,624,580
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		9,117,118			(2,704,516	)		14,679,322			1,883,873			(4,107,889	)
Investments in affiliated issuers		1,002			(5,875	)		(58,281	)		8,993			(17,237	)
Futures contracts		—			(79,891	)		(655,705	)		—			(552,891	)
Foreign currency and foreign currency related transactions		—			(20,813	)		—			—			—
Net realized gain (loss)		9,118,120			(2,811,095	)		13,965,336			1,892,866			(4,678,017	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		10,670,582			(658,420	)		(28,578,720	)		(790,524	)		(23,600,482	)
Investments in affiliated issuers		417			4,538			26,176			—			3,629
Futures contracts		—			16,918			376,842			—			14,011
Foreign currency and foreign currency related transactions		—			(13,571	)		—			—			—
Net change in unrealized appreciation (depreciation)		10,670,999			(650,535	)		(28,175,702	)		(790,524	)		(23,582,842	)
Net realized and unrealized gain (loss)		19,789,119			(3,461,630	)		(14,210,366	)		1,102,342			(28,260,859	)
Net increase (decrease) in net assets resulting from operations	$	19,895,219		$	(2,036,389	)	$	(8,612,908	)	$	2,732,075		$	(25,636,279	)
(a)  Withholding tax:	$	—		$	236,869		$	6,334		$	—		$	2,110
(b)  Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	3,266		$	—		$	—		$	—
(c)  Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	5,274		$	—		$	—		$	—

* Period from September 20, 2022 (commencement of operations) through February 28, 2023.

** Period from December 13, 2022 (commencement of operations) through February 28, 2023.

*** Period from November 15, 2022 (commencement of operations) through February 28, 2023.

**** Period from February 15, 2023 (commencement of operations) through February 28, 2023.

***** Includes $24,043 of pricing related fees.

115 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

							Emerging
							Markets
	Climate						ex-China
	Change Fund						Fund
										Period from
										October 18, 2021
										(commencement
										of operations)
	Year Ended						Year Ended			through
	February 28,						February 28,			February 28,
	2023			2022			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	6,951,323		$	4,209,151		$	15,332,899		$	2,920,797
Net realized gain (loss)		(20,296,199	)		63,585,403			(23,213,927	)		227,472
Change in net unrealized appreciation (depreciation)		(4,911,109	)		(58,326,785	)		(38,670,448	)		(59,947,593	)
Net increase (decrease) in net assets from operations		(18,255,985	)		9,467,769			(46,551,476	)		(56,799,324	)
Distributions to shareholders:
Class III		(6,826,624	)		(39,431,752	)		(759,928	)		(23,270	)*
Class VI		—			—			(13,701,355	)		(2,297,709	)
Class R6		(3,035,164	)		(13,530,453	)		—			—
Class I		(8,159,916	)		(30,161,491	)		(15	)		(3	)**
Total distributions		(18,021,704	)		(83,123,696	)		(14,461,298	)		(2,320,982	)
Net share transactions (Note 9):
Class III		34,383,090			165,751,876			17,239,928			16,365,827	*
Class VI		—			—			1,469,698			339,851,236
Class R6		71,379,478			50,189,598			—			—
Class I		133,221,424			235,985,857			15			503	**
Increase (decrease) in net assets resulting from net share transactions		238,983,992			451,927,331			18,709,641			356,217,566
Total increase (decrease) in net assets		202,706,303			378,271,404			(42,303,133	)		297,097,260
Net assets:
Beginning of period		730,152,870			351,881,466			297,097,260			—
End of period	$	932,859,173		$	730,152,870		$	254,794,127		$	297,097,260

* Period from November 17, 2021 (commencement of operations) through February 28, 2022.

** Period from December 1, 2021 (commencement of operations) through February 28, 2022.

See accompanying notes to the financial statements. 116

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

							Emerging
							Markets
							Select
							Equity
							Fund
							(formerly
							Emerging
							Domestic
	Emerging						Opportunities
	Markets Fund						Fund)
	Year Ended						Year Ended
	February 28,						February 28,
	2023			2022			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	66,903,959		$	94,644,152		$	6,150,206		$	5,959,918
Net realized gain (loss)		(201,332,540	)		134,355,921			(91,569,762	)		6,464,490
Change in net unrealized appreciation (depreciation)		(265,750,295	)		(572,946,926	)		(39,057,366	)		(140,829,482	)
Net increase (decrease) in net assets from operations		(400,178,876	)		(343,946,853	)		(124,476,922	)		(128,405,074	)
Distributions to shareholders:
Class II		(13,357,178	)		(10,877,340	)		(3,229,489	)		(19,585,057	)
Class III		(10,406,493	)		(15,036,779	)		—			—
Class V		—			—	*		(3,512,029	)		(40,195,516	)
Class VI		(59,450,292	)		(65,952,879	)		—			—
Class R6		(1,501,438	)		(1,932,217	)		—			—
Class I		(7,549,670	)		(6,142,292	)		(181,455	)		(1,037,354	)
Total distributions		(92,265,071	)		(99,941,507	)		(6,922,973	)		(60,817,927	)
Net share transactions (Note 9):
Class II		(47,692,845	)		24,140,732			(85,145,643	)		(10,423,150	)
Class III		(200,996,603	)		(166,371,558	)		—			—
Class V		—			(315,869,299	)*		(414,461,166	)		(62,497,493	)
Class VI		(325,897,850	)		(249,450,634	)		—			—
Class R6		(18,867,256	)		5,685,636			—			—
Class I		(1,027,086	)		67,945,520			(3,325,970	)		(3,642,128	)
Increase (decrease) in net assets resulting from net share transactions		(594,481,640	)		(633,919,603	)		(502,932,779	)		(76,562,771	)
Total increase (decrease) in net assets		(1,086,925,587	)		(1,077,807,963	)		(634,332,674	)		(265,785,772	)
Net assets:
Beginning of period		1,934,732,388			3,012,540,351			760,520,801			1,026,306,573
End of period	$	847,806,801		$	1,934,732,388		$	126,188,127		$	760,520,801

* Class V liquidated on April 29, 2021.

117 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International						Japan Value
	Equity Fund						Creation Fund
	Year Ended						Year Ended
	February 28,						February 28,
	2023			2022			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	67,950,597		$	84,376,014		$	3,174,050		$	3,126,596
Net realized gain (loss)		(97,451,037	)		211,671,131			(5,530,808	)		20,528,456
Change in net unrealized appreciation (depreciation)		(13,198,531	)		(177,873,927	)		(11,654,366	)		(25,642,038	)
Net increase (decrease) in net assets from operations		(42,698,971	)		118,173,218			(14,011,124	)		(1,986,986	)
Distributions to shareholders:
Class II		(187,750	)		(366,324	)		—			—
Class III		(13,506,456	)		(24,543,676	)		(1,377,552	)		—	**
Class IV		(51,620,967	)		(103,725,040	)		—			—
Class VI		—			—			(6,098,598	)		(24,444,217	)
Class I		(105,835	)		(143,501	)*		(140,999	)		(312,047	)***
Total distributions		(65,421,008	)		(128,778,541	)		(7,617,149	)		(24,756,264	)
Net share transactions (Note 9):
Class II		(636,611	)		154,410			—			—
Class III		29,494,140			(64,863,064	)		4,240,268			23,595,006	**
Class IV		(526,895,189	)		(220,799,835	)		—			—
Class VI		—			—			(33,856,529	)		(4,444,830	)
Class I		(49,180	)		3,300,506	*		(1,063,960	)		3,535,322	***
Increase (decrease) in net assets resulting from net share transactions		(498,086,840	)		(282,207,983	)		(30,680,221	)		22,685,498
Total increase (decrease) in net assets		(606,206,819	)		(292,813,306	)		(52,308,494	)		(4,057,752	)
Net assets:
Beginning of period		1,901,750,369			2,194,563,675			159,814,268			163,872,020
End of period	$	1,295,543,550		$	1,901,750,369		$	107,505,774		$	159,814,268

* Period from May 24, 2021 (commencement of operations) through February 28, 2022.

** Period from December 30, 2021 (commencement of operations) through February 28, 2022.

*** Period from June 7, 2021 (commencement of operations) through February 28, 2022.

See accompanying notes to the financial statements. 118

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Quality
	Cyclicals						Quality
	Fund						Fund
	Year Ended						Year Ended
	February 28,						February 28,
	2023			2022			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,068,981		$	3,195,501		$	84,852,243		$	97,006,929
Net realized gain (loss)		10,476,743			16,586,147			473,792,008			511,445,075
Change in net unrealized appreciation (depreciation)		(17,682,823	)		(5,437,374	)		(1,005,130,455	)		497,845,399
Net increase (decrease) in net assets from operations		(5,137,099	)		14,344,274			(446,486,204	)		1,106,297,403
Distributions to shareholders:
Class III		—			—			(273,729,638	)		(208,459,284	)
Class IV		—			—			(87,058,631	)		(50,525,221	)
Class VI		(12,448,036	)		(29,159,128	)		(283,709,474	)		(211,183,341	)
Class R6		—			—			(61,977,061	)		(30,631,216	)
Class I		(8,044	)		(9,434	)*		(52,650,146	)		(28,062,487	)
Total distributions		(12,456,080	)		(29,168,562	)		(759,124,950	)		(528,861,549	)
Net share transactions (Note 9):**
Class III		—			—			320,666,228			(857,439,954	)
Class IV		—			—			(353,772,936	)		111,734,620
Class VI		(54,278,965	)		14,291,719			(765,638,839	)		839,898,152
Class R6		—			—			346,761,814			157,998,340
Class I		—			89,975	*		83,829,487			160,637,473
Increase (decrease) in net assets resulting from net share transactions		(54,278,965	)		14,381,694			(368,154,246	)		412,828,631
Total increase (decrease) in net assets		(71,872,144	)		(442,594	)		(1,573,765,400	)		990,264,485
Net assets:
Beginning of period		141,546,203			141,988,797			8,359,169,583			7,368,905,098
End of period	$	69,674,059		$	141,546,203		$	6,785,404,183		$	8,359,169,583

* Period from July 16, 2021 (commencement of operations) through February 28, 2022.

** For details related to in-kind share transactions please refer to Note 6, as applicable.

119 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Resource			Resources
	Transition Fund			Fund
	Period from
	February 15, 2023
	(commencement
	of operations)
	through			Year Ended
	February 28,			February 28,
	2023			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	231,914		$	94,755,628		$	69,825,573
Net realized gain (loss)		(48,994	)		203,861,292			135,596,926
Change in net unrealized appreciation (depreciation)		(24,974,167	)		(297,163,709	)		(17,199,595	)
Net increase (decrease) in net assets from operations		(24,791,247	)		1,453,211			188,222,904
Distributions to shareholders:
Class III		—			(24,568,037	)		(29,937,354	)
Class IV		—			(39,706,418	)		(94,223,444	)
Class VI		—			(78,893,459	)		—	*
Class R6		—			(17,754,677	)		(3,478,525	)
Class I		—			(75,407,234	)		(55,077,833	)
Total distributions		—			(236,329,825	)		(182,717,156	)
Net share transactions (Note 9):**
Class III		—			110,861,393			138,203,591
Class IV		—			13,307,997			(167,410,013	)
Class VI		485,000,000			(733,868,214	)		866,735,067	*
Class R6		—			229,450,639			103,708,055
Class I		—			195,850,083			257,993,206
Increase (decrease) in net assets resulting from net share transactions		485,000,000			(184,398,102	)		1,199,229,906
Total increase (decrease) in net assets		460,208,753			(419,274,716	)		1,204,735,654
Net assets:
Beginning of period		—			2,203,551,912			998,816,258
End of period	$	460,208,753		$	1,784,277,196		$	2,203,551,912

* Period from February 8, 2022 (commencement of operations) through February 28, 2022.

** For details related to in-kind share transactions please refer to Note 6, as applicable.

See accompanying notes to the financial statements. 120

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

				Tax-Managed
	Small Cap			International
	Quality			Equities
	Fund			Fund
	Period from
	September 20, 2022
	(commencement
	of operations)
	through			Year Ended
	February 28,			February 28,
	2023			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	106,100		$	1,425,241		$	1,475,736
Net realized gain (loss)		9,118,120			(2,811,095	)		6,723,726
Change in net unrealized appreciation (depreciation)		10,670,999			(650,535	)		(6,159,271	)
Net increase (decrease) in net assets from operations		19,895,219			(2,036,389	)		2,040,191
Distributions to shareholders:
Class III		(1,078,895	)*		(2,115,226	)		(5,390,526	)
Class VI		(6,070,048	)		—			—
Class I		(1,643	)*		—			—
Total distributions		(7,150,586	)		(2,115,226	)		(5,390,526	)
Net share transactions (Note 9):
Class III		14,292,658	*		3,056,537			(3,827,951	)
Class VI		37,919,001			—			—
Class I		21,643	*		—			—
Increase (decrease) in net assets resulting from net share transactions		52,233,302			3,056,537			(3,827,951	)
Total increase (decrease) in net assets		64,977,935			(1,095,078	)		(7,178,286	)
Net assets:
Beginning of period		—			31,781,274			38,959,560
End of period	$	64,977,935		$	30,686,196		$	31,781,274

* Period from November 15, 2022 (commencement of operations) through February 28, 2023.

121 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

							U.S.
							Opportunistic
	U.S. Equity						Value
	Fund						Fund
							Period from
							December 13, 2022
							(commencement
							of operations)
	Year Ended						through
	February 28,						February 28,
	2023			2022			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,597,458		$	5,844,954		$	1,629,733
Net realized gain (loss)		13,965,336			79,406,685			1,892,866
Change in net unrealized appreciation (depreciation)		(28,175,702	)		(33,300,126	)		(790,524	)
Net increase (decrease) in net assets from operations		(8,612,908	)		51,951,513			2,732,075
Distributions to shareholders:
Class III		(5,157,645	)		(17,687,300	)		—
Class VI		(23,167,342	)		(66,498,945	)		(300,214	)
Total distributions		(28,324,987	)		(84,186,245	)		(300,214	)
Net share transactions (Note 9):
Class III		(24,293,425	)		(24,924,349	)		10,000	*
Class IV		—			—			65,500,000	*
Class VI		(159,286,298	)		171,434,661			210,519,854
Class I		—			—			5,000	*
Increase (decrease) in net assets resulting from net share transactions		(183,579,723	)		146,510,312			276,034,854
Total increase (decrease) in net assets		(220,517,618	)		114,275,580			278,466,715
Net assets:
Beginning of period		465,478,003			351,202,423			—
End of period	$	244,960,385		$	465,478,003		$	278,466,715

* Period from February 15, 2023 (commencement of operations) through February 28, 2023.

See accompanying notes to the financial statements. 122

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Small
	Cap Value
	Fund
	Year Ended
	February 28,
	2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,624,580		$	3,936,416
Net realized gain (loss)		(4,678,017	)		76,979,623
Change in net unrealized appreciation (depreciation)		(23,582,842	)		(31,906,411	)
Net increase (decrease) in net assets from operations		(25,636,279	)		49,009,628
Distributions to shareholders:
Class VI		(18,256,190	)		(83,549,717	)
Total distributions		(18,256,190	)		(83,549,717	)
Net share transactions (Note 9):
Class VI		(180,490,250	)		(84,147,317	)
Increase (decrease) in net assets resulting from net share transactions		(180,490,250	)		(84,147,317	)
Total increase (decrease) in net assets		(224,382,719	)		(118,687,406	)
Net assets:
Beginning of period		253,810,234			372,497,640
End of period	$	29,427,515		$	253,810,234

123 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
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	30.23		$	34.39		$	22.36		$	22.04		$	23.81
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.25			0.28			0.35			0.41			0.36
Net realized and unrealized gain (loss)		(0.93	)		0.72			13.43			0.87			(1.61	)
Total from investment operations		(0.68	)		1.00			13.78			1.28			(1.25	)
Less distributions to shareholders:
From net investment income		(0.16	)		(0.57	)		(0.30	)		(0.45	)		(0.26	)
From net realized gains		(0.48	)		(4.59	)		(1.45	)		(0.51	)		(0.26	)
Total distributions		(0.64	)		(5.16	)		(1.75	)		(0.96	)		(0.52	)
Net asset value, end of period	$	28.91		$	30.23		$	34.39		$	22.36		$	22.04
Total Return(b)		(1.92	)%		2.91	%		63.84	%		5.66	%		(5.22	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	330,218		$	306,996		$	178,223		$	121,062		$	113,000
Net expenses to average daily net assets(c)		0.77	%		0.77	%		0.77	%		0.77	%		0.75	%
Net investment income (loss) to average daily net assets(a)		0.90	%		0.84	%		1.39	%		1.84	%		1.61	%
Portfolio turnover rate(d)		57	%		63	%		84	%		62	%		29	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		0.04	%(e)		0.13	%(e)		0.16	%(e)		0.26	%

^(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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019
Portfolio turnover rate including transactions in USTF		124	%		140	%		145	%		173	%		121	%

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 124

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND (continued)

	Class R6 Shares
	Year Ended February 28,									Period from January 16, 2020 (commencement of operations) through February 29,
	2023			2022			2021			2020
Net asset value, beginning of period	$	30.17		$	34.33		$	22.36		$	24.55
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.25			0.28			0.31			0.01
Net realized and unrealized gain (loss)		(0.92	)		0.72			13.43			(2.20	)
Total from investment operations		(0.67	)		1.00			13.74			(2.19	)
Less distributions to shareholders:
From net investment income		(0.17	)		(0.57	)		(0.32	)		—
From net realized gains		(0.48	)		(4.59	)		(1.45	)		—
Total distributions		(0.65	)		(5.16	)		(1.77	)		—
Net asset value, end of period	$	28.85		$	30.17		$	34.33		$	22.36
Total Return(b)		(1.90	)%		2.90	%		63.71	%		(8.92	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	183,089		$	115,014		$	74,961		$	1,129
Net expenses to average daily net assets(c)		0.77	%		0.77	%		0.77	%		0.77	%*
Net investment income (loss) to average daily net assets(a)		0.90	%		0.84	%		1.04	%		0.40	%*
Portfolio turnover rate(d)		57	%		63	%		84	%		62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		124	%		140	%		145	%		173	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

125 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND (continued)

	Class I Shares
	Year Ended February 28,									Period from February 25, 2020 (commencement of operations) through February 29,
	2023			2022			2021			2020
Net asset value, beginning of period	$	30.16		$	34.33		$	22.36		$	23.37
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.22			0.24			0.21			0.01
Net realized and unrealized gain (loss)		(0.93	)		0.73			13.53			(1.02	)
Total from investment operations		(0.71	)		0.97			13.74			(1.01	)
Less distributions to shareholders:
From net investment income		(0.14	)		(0.55	)		(0.32	)		—
From net realized gains		(0.48	)		(4.59	)		(1.45	)		—
Total distributions		(0.62	)		(5.14	)		(1.77	)		—
Net asset value, end of period	$	28.83		$	30.16		$	34.33		$	22.36
Total Return(b)		(2.03	)%		2.81	%		63.67	%		(4.32	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	419,552		$	308,143		$	98,697		$	962
Net expenses to average daily net assets(c)		0.87	%		0.87	%		0.87	%		0.87	%*
Net investment income (loss) to average daily net assets(a)		0.79	%		0.72	%		0.66	%		1.93	%*
Portfolio turnover rate(d)		57	%		63	%		84	%		62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		124	%		140	%		145	%		173	%

^(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. 126

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS EX-CHINA FUND

	Class III Shares
	Year Ended February 28,			Period from November 17, 2021 (commencement of operations) through February 28,
	2023			2022
Net asset value, beginning of period	$	16.65		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.72			0.15
Net realized and unrealized gain (loss)		(3.42	)		(3.37	)
Total from investment operations		(2.70	)		(3.22	)
Less distributions to shareholders:
From net investment income		(0.56	)		(0.13	)
From net realized gains		(0.06	)		—
Total distributions		(0.62	)		(0.13	)
Net asset value, end of period	$	13.33		$	16.65
Total Return(b)		(16.04	)%		(16.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	28,548		$	14,810
Net expenses to average daily net assets(c)		0.80	%		0.80	%*
Net investment income (loss) to average daily net assets(a)		5.26	%		2.52	%*
Portfolio turnover rate(d)		126	%		43	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.08	%		0.16	%*

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,
	2023			2022
Portfolio turnover rate including transactions in USTF		140	%		43	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

127 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS EX-CHINA FUND (continued)

	Class VI Shares
	Year Ended February 28,			Period from October 18, 2021 (commencement of operations) through February 28,
	2023			2022
Net asset value, beginning of period	$	16.66		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.74			0.17
Net realized and unrealized gain (loss)		(3.43	)		(3.38	)
Total from investment operations		(2.69	)		(3.21	)
Less distributions to shareholders:
From net investment income		(0.57	)		(0.13	)
From net realized gains		(0.06	)		—
Total distributions		(0.63	)		(0.13	)
Net asset value, end of period	$	13.34		$	16.66
Total Return(b)		(15.97	)%		(16.15	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	226,245		$	282,287
Net expenses to average daily net assets(c)		0.67	%		0.67	%*
Net investment income (loss) to average daily net assets(a)		5.39	%		2.36	%*
Portfolio turnover rate(d)		126	%		43	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.12	%		0.20	%*

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,
	2023			2022
Portfolio turnover rate including transactions in USTF		140	%		43	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 128

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS EX-CHINA FUND (continued)

	Class I Shares
	Year Ended February 28,			Period from December 1, 2021 (commencement of operations) through February 28,
	2023			2022
Net asset value, beginning of period	$	16.64		$	19.34
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.70			0.12
Net realized and unrealized gain (loss)		(3.42	)		(2.69	)
Total from investment operations		(2.72	)		(2.57	)
Less distributions to shareholders:
From net investment income		(0.52	)		(0.13	)
From net realized gains		(0.06	)		—
Total distributions		(0.58	)		(0.13	)
Net asset value, end of period	$	13.34		$	16.64
Total Return(b)		(16.19	)%		(13.38	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	0	(c)	$	0	(c)
Net expenses to average daily net assets(d)		0.95	%		0.93	%*
Net investment income (loss) to average daily net assets(a)		5.13	%		2.54	%*
Portfolio turnover rate(e)		126	%		43	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.10	%		0.19	%*

^(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).

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,
	2023			2022
Portfolio turnover rate including transactions in USTF		140	%		43	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

129 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND

	Class II Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	29.81		$	36.70		$	30.75		$	32.23		$	36.42
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.04			1.21			0.86			1.13			1.01
Net realized and unrealized gain (loss)		(7.23	)		(6.58	)		6.36			(1.02	)		(4.22	)
Total from investment operations		(6.19	)		(5.37	)		7.22			0.11			(3.21	)
Less distributions to shareholders:
From net investment income		(1.75	)		(1.52	)		(1.27	)		(1.59	)		(0.98	)
Total distributions		(1.75	)		(1.52	)		(1.27	)		(1.59	)		(0.98	)
Net asset value, end of period	$	21.87		$	29.81		$	36.70		$	30.75		$	32.23
Total Return(b)		(20.78	)%		(15.13	)%		23.89	%		(0.11	)%		(8.57	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	151,666		$	262,449		$	291,833		$	397,798		$	451,720
Net expenses to average daily net assets(c)		0.95	%		0.92	%		0.93	%		0.93	%		0.93	%
Net investment income (loss) to average daily net assets(a)		4.32	%		3.34	%		2.73	%		3.44	%		3.09	%
Portfolio turnover rate		128	%(d)		102	%		102	%		100	%(d)		98	%(d)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		0.03	%		0.07	%(e)		0.13	%(e)		0.13	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	0.02		$	0.08

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,		February 28,		February 29,			February 28,
	2023			2022		2021		2020			2019
Portfolio turnover rate including transactions in USTF		138	%		N/A		N/A		123	%		128	%

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 130

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	29.91		$	36.81		$	30.84		$	32.32		$	36.51
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.22			1.27			0.76			1.21			1.01
Net realized and unrealized gain (loss)		(7.42	)		(6.64	)		6.51			(1.09	)		(4.21	)
Total from investment operations		(6.20	)		(5.37	)		7.27			0.12			(3.20	)
Less distributions to shareholders:
From net investment income		(1.75	)		(1.53	)		(1.30	)		(1.60	)		(0.99	)
Total distributions		(1.75	)		(1.53	)		(1.30	)		(1.60	)		(0.99	)
Net asset value, end of period	$	21.96		$	29.91		$	36.81		$	30.84		$	32.32
Total Return(b)		(20.73	)%		(15.08	)%		23.99	%		(0.08	)%		(8.51	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	72		$	267,177		$	501,907		$	333,779		$	277,824
Net expenses to average daily net assets(c)		0.90	%		0.87	%		0.88	%		0.88	%		0.88	%
Net investment income (loss) to average daily net assets(a)		5.01	%		3.47	%		2.36	%		3.68	%		3.08	%
Portfolio turnover rate		128	%(d)		102	%		102	%		100	%(d)		98	%(d)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.02	%		0.01	%		0.04	%(e)		0.11	%(e)		0.11	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	0.02		$	0.08

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,		February 28,		February 29,			February 28,
	2023			2022		2021		2020			2019
Portfolio turnover rate including transactions in USTF		138	%		N/A		N/A		123	%		128	%

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

† Calculated using average shares outstanding throughout the period.

131 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class VI Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	29.56		$	36.41		$	30.52		$	32.00		$	36.16
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.14			1.33			0.87			1.23			1.06
Net realized and unrealized gain (loss)		(7.24	)		(6.59	)		6.36			(1.07	)		(4.19	)
Total from investment operations		(6.10	)		(5.26	)		7.23			0.16			(3.13	)
Less distributions to shareholders:
From net investment income		(1.79	)		(1.59	)		(1.34	)		(1.64	)		(1.03	)
Total distributions		(1.79	)		(1.59	)		(1.34	)		(1.64	)		(1.03	)
Net asset value, end of period	$	21.67		$	29.56		$	36.41		$	30.52		$	32.00
Total Return(b)		(20.62	)%		(14.98	)%		24.11	%		0.05	%		(8.39	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	598,337		$	1,244,914		$	1,787,607		$	2,182,893		$	2,685,798
Net expenses to average daily net assets(c)		0.77	%		0.74	%		0.75	%		0.75	%		0.75	%
Net investment income (loss) to average daily net assets(a)		4.77	%		3.69	%		2.75	%		3.76	%		3.25	%
Portfolio turnover rate		128	%(d)		102	%		102	%		100	%(d)		98	%(d)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.06	%		0.05	%		0.08	%(e)		0.15	%(e)		0.14	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	0.02		$	0.08

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,		February 28,		February 29,			February 28,
	2023			2022		2021		2020			2019
Portfolio turnover rate including transactions in USTF		138	%		N/A		N/A		123	%		128	%

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 132

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class R6 Shares
	Year Ended February 28,						Period from March 31, 2020 (commencement of operations) through February 28,
	2023			2022			2021
Net asset value, beginning of period	$	29.78		$	36.67		$	26.05
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.14			1.15			0.72
Net realized and unrealized gain (loss)		(7.32	)		(6.51	)		11.20
Total from investment operations		(6.18	)		(5.36	)		11.92
Less distributions to shareholders:
From net investment income		(1.72	)		(1.53	)		(1.30	)
Total distributions		(1.72	)		(1.53	)		(1.30	)
Net asset value, end of period	$	21.88		$	29.78		$	36.67
Total Return(b)		(20.76	)%		(15.13	)%		46.24	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	11,042		$	40,197		$	43,664
Net expenses to average daily net assets(c)		0.95	%		0.93	%		0.93	%*
Net investment income (loss) to average daily net assets(a)		4.74	%		3.18	%		2.39	%*
Portfolio turnover rate		128	%(d)		102	%		102	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%		0.03	%		0.05	%(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,		February 28,
	2023			2022		2021
Portfolio turnover rate including transactions in USTF		138	%		N/A		N/A

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

133 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class I Shares
	Year Ended February 28,									Period from January 14, 2020 (commencement of operations) through February 29,
	2023			2022			2021			2020
Net asset value, beginning of period	$	29.75		$	36.66		$	30.75		$	35.29
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.06			1.13			0.52			0.00	(b)
Net realized and unrealized gain (loss)		(7.24	)		(6.52	)		6.68			(4.54	)
Total from investment operations		(6.18	)		(5.39	)		7.20			(4.54	)
Less distributions to shareholders:
From net investment income		(1.74	)		(1.52	)		(1.29	)		—
Total distributions		(1.74	)		(1.52	)		(1.29	)		—
Net asset value, end of period	$	21.83		$	29.75		$	36.66		$	30.75
Total Return(c)		(20.80	)%		(15.20	)%		23.83	%		(12.86	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	86,689		$	119,995		$	79,824		$	16,158
Net expenses to average daily net assets(d)		1.00	%		0.98	%		0.98	%		0.94	%*
Net investment income (loss) to average daily net assets(a)		4.42	%		3.14	%		1.55	%		(0.05	)%*
Portfolio turnover rate		128	%(e)		102	%		102	%		100	%(e)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.12	%		0.10	%		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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,		February 28,		February 29,
	2023			2022		2021		2020
Portfolio turnover rate including transactions in USTF		138	%		N/A		N/A		123	%

^(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. 134

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS SELECT EQUITY FUND (FORMERLY EMERGING DOMESTIC OPPORTUNITIES FUND)

	Class II Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	21.96		$	27.68		$	21.14		$	21.61		$	28.86
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.22			0.15			0.17			0.40			0.24
Net realized and unrealized gain (loss)		(3.74	)		(3.95	)		6.53			0.18			(4.58	)
Total from investment operations		(3.52	)		(3.80	)		6.70			0.58			(4.34	)
Less distributions to shareholders:
From net investment income		(0.49	)		(0.06	)		(0.16	)		(1.05	)		(0.17	)
From net realized gains		—			(1.86	)		—			—			(2.74	)
Total distributions		(0.49	)		(1.92	)		(0.16	)		(1.05	)		(2.91	)
Net asset value, end of period	$	17.95		$	21.96		$	27.68		$	21.14		$	21.61
Total Return(b)		(15.97	)%		(14.13	)%		31.76	%		2.39	%		(15.48	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	113,488		$	238,702		$	309,966		$	292,418		$	467,336
Net expenses to average daily net assets(c)		1.00	%		1.06	%		1.03	%		1.03	%		1.04	%
Net investment income (loss) to average daily net assets(a)		1.18	%		0.56	%		0.73	%		1.81	%		1.00	%
Portfolio turnover rate(d)		131	%		190	%		216	%		186	%		238	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.13	%		0.02	%(e)		0.02	%(e)		0.02	%(e)		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	0.05		$	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)  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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		143	%		215	%		236	%		235	%		254	%

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

† Calculated using average shares outstanding throughout the period.

135 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS SELECT EQUITY FUND (FORMERLY EMERGING DOMESTIC OPPORTUNITIES FUND) (continued)

	Class V Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	21.97		$	27.66		$	21.12		$	21.60		$	28.85
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.45			0.18			0.20			0.43			0.28
Net realized and unrealized gain (loss)		(3.96	)		(3.93	)		6.53			0.17			(4.60	)
Total from investment operations		(3.51	)		(3.75	)		6.73			0.60			(4.32	)
Less distributions to shareholders:
From net investment income		(0.57	)		(0.08	)		(0.19	)		(1.08	)		(0.19	)
From net realized gains		—			(1.86	)		—			—			(2.74	)
Total distributions		(0.57	)		(1.94	)		(0.19	)		(1.08	)		(2.93	)
Net asset value, end of period	$	17.89		$	21.97		$	27.66		$	21.12		$	21.60
Total Return(b)		(15.90	)%		(13.98	)%		31.95	%		2.50	%		(15.37	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	6,830		$	510,307		$	697,864		$	565,384		$	755,613
Net expenses to average daily net assets(c)		0.94	%		0.92	%		0.90	%		0.89	%		0.90	%
Net investment income (loss) to average daily net assets(a)		2.25	%		0.70	%		0.87	%		1.94	%		1.19	%
Portfolio turnover rate(d)		131	%		190	%		216	%		186	%		238	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.07	%		0.02	%(e)		0.02	%(e)		0.02	%(e)		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	0.04		$	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)  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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		143	%		215	%		236	%		235	%		254	%

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 136

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS SELECT EQUITY FUND (FORMERLY EMERGING DOMESTIC OPPORTUNITIES FUND) (continued)

	Class I Shares
	Year Ended February 28,						Period from January 22, 2021 (commencement of operations) through February 28,
	2023			2022			2021
Net asset value, beginning of period	$	21.95		$	27.67		$	28.88
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.22			0.15			0.02
Net realized and unrealized gain (loss)		(3.75	)		(3.94	)		(1.23	)
Total from investment operations		(3.53	)		(3.79	)		(1.21	)
Less distributions to shareholders:
From net investment income		(0.49	)		(0.07	)		—
From net realized gains		—			(1.86	)		—
Total distributions		(0.49	)		(1.93	)		—
Net asset value, end of period	$	17.93		$	21.95		$	27.67
Total Return(b)		(16.04	)%		(14.12	)%		(4.19	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	5,870		$	11,512		$	18,476
Net expenses to average daily net assets(c)		1.06	%		1.09	%		1.04	%*
Net investment income (loss) to average daily net assets(a)		1.19	%		0.57	%		0.82	%*
Portfolio turnover rate(d)		131	%		190	%		216	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.17	%		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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,
	2023			2022			2021
Portfolio turnover rate including transactions in USTF		143	%		215	%		236	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

137 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND

	Class II Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	22.70		$	23.04		$	19.83		$	20.08		$	23.63
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.88			0.91	(b)		0.75	(b)		0.72			0.57
Net realized and unrealized gain (loss)		(1.36	)		0.26			3.46			(0.22	)		(3.45	)
Total from investment operations		(0.48	)		1.17			4.21			0.50			(2.88	)
Less distributions to shareholders:
From net investment income		(0.87	)		(1.51	)		(1.00	)		(0.75	)		(0.67	)
Total distributions		(0.87	)		(1.51	)		(1.00	)		(0.75	)		(0.67	)
Net asset value, end of period	$	21.35		$	22.70		$	23.04		$	19.83		$	20.08
Total Return(c)		(1.93	)%		5.00	%(d)		21.58	%(e)		2.19	%		(12.07	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	4,623		$	5,615		$	5,546		$	10,802		$	18,202
Net expenses to average daily net assets(f)		0.73	%		0.74	%		0.73	%		0.73	%		0.73	%
Net investment income (loss) to average daily net assets(a)		4.30	%		3.69	%(b)		3.82	%(b)		3.52	%		2.64	%
Portfolio turnover rate(g)		51	%		64	%		48	%		46	%		41	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%		0.03	%		0.03	%		0.03	%(h)		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)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2022	February 28, 2021
$12,515	$	69,807
3.48%		2.62	%

^(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 and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.21%

^(e)  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 (Note 2).

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

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,		February 28,		February 29,			February 28,
	2023			2022		2021		2020			2019
Portfolio turnover rate including transactions in USTF		60	%		N/A		N/A		65	%		54	%

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 138

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	23.00		$	23.32		$	20.09		$	20.33		$	23.92
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.89			0.96	(b)		0.75	(b)		0.70			0.57
Net realized and unrealized gain (loss)		(1.36	)		0.25			3.51			(0.17	)		(3.47	)
Total from investment operations		(0.47	)		1.21			4.26			0.53			(2.90	)
Less distributions to shareholders:
From net investment income		(0.89	)		(1.53	)		(1.03	)		(0.77	)		(0.69	)
Total distributions		(0.89	)		(1.53	)		(1.03	)		(0.77	)		(0.69	)
Net asset value, end of period	$	21.64		$	23.00		$	23.32		$	20.09		$	20.33
Total Return(c)		(1.87	)%		5.08	%(d)		21.60	%(e)		2.29	%		(12.02	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	366,630		$	358,775		$	423,332		$	452,165		$	507,195
Net expenses to average daily net assets(f)		0.66	%		0.67	%		0.66	%		0.66	%		0.66	%
Net investment income (loss) to average daily net assets(a)		4.28	%		3.84	%(b)		3.70	%(b)		3.36	%		2.64	%
Portfolio turnover rate(g)		51	%		64	%		48	%		46	%		41	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%		0.03	%		0.03	%		0.03	%(h)		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)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2022	February 28, 2021
$861,919	$	6,194,610
3.63%		2.30	%

^(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 and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.21%

^(e)  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 (Note 2).

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

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,		February 28,		February 29,			February 28,
	2023			2022		2021		2020			2019
Portfolio turnover rate including transactions in USTF		60	%		N/A		N/A		65	%		54	%

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

† Calculated using average shares outstanding throughout the period.

139 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class IV Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	22.96		$	23.28		$	20.05		$	20.29		$	23.87
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.92			0.96	(b)		0.77	(b)		0.74			0.63
Net realized and unrealized gain (loss)		(1.38	)		0.26			3.50			(0.20	)		(3.51	)
Total from investment operations		(0.46	)		1.22			4.27			0.54			(2.88	)
Less distributions to shareholders:
From net investment income		(0.90	)		(1.54	)		(1.04	)		(0.78	)		(0.70	)
Total distributions		(0.90	)		(1.54	)		(1.04	)		(0.78	)		(0.70	)
Net asset value, end of period	$	21.60		$	22.96		$	23.28		$	20.05		$	20.29
Total Return(c)		(1.82	)%		5.16	%(d)		21.71	%(e)		2.34	%		(11.95	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	921,486		$	1,534,339		$	1,765,686		$	2,584,648		$	3,156,760
Net expenses to average daily net assets(f)		0.60	%		0.61	%		0.60	%		0.60	%		0.60	%
Net investment income (loss) to average daily net assets(a)		4.42	%		3.88	%(b)		3.81	%(b)		3.53	%		2.89	%
Portfolio turnover rate(g)		51	%		64	%		48	%		46	%		41	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%		0.03	%		0.03	%		0.03	%(h)		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)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2022	February 28, 2021
$3,699,861	$	27,980,578
3.67%		2.49	%

^(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 and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.21%

^(e)  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 (Note 2).

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

^(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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022		February 28, 2021		February 29, 2020			February 28, 2019
Portfolio turnover rate including transactions in USTF		60	%		N/A		N/A		65	%		54	%

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 140

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class I Shares
	Year Ended February 28,			Period from May 24, 2021 (commencement of operations) through February 28,
	2023			2022
Net asset value, beginning of period	$	23.08		$	25.79
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.85			0.44	(b)
Net realized and unrealized gain (loss)		(1.36	)		(2.05	)
Total from investment operations		(0.51	)		(1.61	)
Less distributions to shareholders:
From net investment income		(0.85	)		(1.10	)
Total distributions		(0.85	)		(1.10	)
Net asset value, end of period	$	21.72		$	23.08
Total Return(c)		(2.03	)%		(6.27	)%(d)**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	2,804		$	3,021
Net expenses to average daily net assets(e)		0.83	%		0.89	%*
Net investment income (loss) to average daily net assets(a)		4.08	%		2.35	%(b)*
Portfolio turnover rate(f)		51	%		64	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		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)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28,

2022

$2,264

      1.63%

^(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 period, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding 0.16% to Class I’s total return (Note 2). Class I commenced operations on May 24, 2021.

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,
	2023			2022
Portfolio turnover rate including transactions in USTF		60	%		N/A

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

141 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND

	Class III Shares
	Year Ended February 28,			Period from December 30, 2021 (commencement of operations) through February 28,
	2023			2022
Net asset value, beginning of period	$	19.71		$	19.81
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.39			(0.03	)
Net realized and unrealized gain (loss)		(2.27	)		(0.07	)
Total from investment operations		(1.88	)		(0.10	)
Less distributions to shareholders:
From net investment income		(0.16	)		—
From net realized gains		(0.81	)		—
Total distributions		(0.97	)		—
Net asset value, end of period	$	16.86		$	19.71
Total Return(b)		(9.21	)%		(0.50	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	24,808		$	23,673
Net expenses to average daily net assets(c)		0.67	%		0.66	%*
Net investment income (loss) to average daily net assets(a)		2.37	%		(0.55	)%*
Portfolio turnover rate		39	%		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.15	%		0.15	%*

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

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 142

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND (continued)

	Class VI Shares
	Year Ended February 28,						Period from September 14, 2020 (commencement of operations) through February 28,
	2023			2022			2021
Net asset value, beginning of period	$	19.71		$	23.47		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.41			0.43			0.17
Net realized and unrealized gain (loss)		(2.27	)		(0.71	)		3.59
Total from investment operations		(1.86	)		(0.28	)		3.76
Less distributions to shareholders:
From net investment income		(0.17	)		(1.50	)		(0.28	)
From net realized gains		(0.81	)		(1.98	)		(0.01	)
Total distributions		(0.98	)		(3.48	)		(0.29	)
Net asset value, end of period	$	16.87		$	19.71		$	23.47
Total Return(b)		(9.11	)%		(1.45	)%		18.82	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	81,148		$	133,035		$	163,872
Net expenses to average daily net assets(c)		0.57	%		0.57	%		0.56	%*
Net investment income (loss) to average daily net assets(a)		2.48	%		1.90	%		1.68	%*
Portfolio turnover rate		39	%		47	%		28	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.14	%		0.08	%		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).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

143 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND (continued)

	Class I Shares
				Period from
				June 7, 2021
				(commencement
				of operations)
	Year Ended			through
	February 28,			February 28,
	2023			2022
Net asset value, beginning of period	$	19.69		$	24.95
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.42			0.12
Net realized and unrealized gain (loss)		(2.32	)		(1.91	)(b)
Total from investment operations		(1.90	)		(1.79	)
Less distributions to shareholders:
From net investment income		(0.13	)		(1.49	)
From net realized gains		(0.81	)		(1.98	)
Total distributions		(0.94	)		(3.47	)
Net asset value, end of period	$	16.85		$	19.69
Total Return(c)		(9.32	)%		(7.43	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,549		$	3,107
Net expenses to average daily net assets(d)		0.77	%		0.77	%*
Net investment income (loss) to average daily net assets(a)		2.54	%		0.79	%*
Portfolio turnover rate		39	%		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.19	%		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 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).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 144

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY CYCLICALS FUND

	Class VI Shares
							Period from
							May 12, 2020
							(commencement
							of operations)
	Year Ended February 28,						through February 28,
	2023			2022			2021
Net asset value, beginning of period	$	25.77		$	29.06		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.42			0.64			0.38
Net realized and unrealized gain (loss)		(1.61	)		2.24			10.23
Total from investment operations		(1.19	)		2.88			10.61
Less distributions to shareholders:
From net investment income		(0.59	)		(0.84	)		(0.60	)
From net realized gains		(2.00	)		(5.33	)		(0.95	)
Total distributions		(2.59	)		(6.17	)		(1.55	)
Net asset value, end of period	$	21.99		$	25.77		$	29.06
Total Return(b)		(3.67	)%		10.22	%		53.56	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	69,605		$	141,465		$	141,989
Net expenses to average daily net assets(c)		0.40	%		0.40	%		0.40	%*
Net investment income (loss) to average daily net assets(a)		1.90	%		2.20	%		1.92	%*
Portfolio turnover rate(d)		17	%		22	%		65	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.15	%		0.08	%		0.20	%*

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,
	2023			2022			2021
Portfolio turnover rate including transactions in USTF		29	%		27	%		70	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

145 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY CYCLICALS FUND (continued)

	Class I Shares
				Period from
				July 16, 2021
				(commencement
				of operations)
	Year Ended			through
	February 28,			February 28,
	2023			2022
Net asset value, beginning of period	$	25.76		$	28.45
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.38			0.34
Net realized and unrealized gain (loss)		(1.60	)		(0.05	)(b)
Total from investment operations		(1.22	)		0.29
Less distributions to shareholders:
From net investment income		(0.55	)		(0.47	)
From net realized gains		(2.00	)		(2.51	)
Total distributions		(2.55	)		(2.98	)
Net asset value, end of period	$	21.99		$	25.76
Total Return(c)		(3.84	)%		1.42	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	70		$	81
Net expenses to average daily net assets(d)		0.60	%		0.59	%*
Net investment income (loss) to average daily net assets(a)		1.70	%		1.92	%*
Portfolio turnover rate(e)		17	%		22	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.15	%		0.08	%*

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,
	2023			2022
Portfolio turnover rate including transactions in USTF		29	%		27	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 146

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	28.05		$	25.98		$	22.77		$	22.28		$	25.13
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.29			0.33	(b)		0.32			0.35			0.35
Net realized and unrealized gain (loss)		(1.80	)		3.56			6.37			2.15			1.21
Total from investment operations		(1.51	)		3.89			6.69			2.50			1.56
Less distributions to shareholders:
From net investment income		(0.30	)		(0.32	)		(0.35	)		(0.36	)		(0.39	)
From net realized gains		(2.48	)		(1.50	)		(3.13	)		(1.65	)		(4.02	)
Total distributions		(2.78	)		(1.82	)		(3.48	)		(2.01	)		(4.41	)
Net asset value, end of period	$	23.76		$	28.05		$	25.98		$	22.77		$	22.28
Total Return(c)		(5.30	)%		14.71	%(d)		30.83	%		10.64	%		6.86	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	2,885,807		$	2,996,330		$	3,519,473		$	3,195,240		$	3,065,461
Net expenses to average daily net assets(e)		0.49	%		0.48	%		0.48	%		0.48	%		0.48	%
Net investment income (loss) to average daily net assets(a)		1.14	%		1.12	%(b)		1.33	%		1.44	%		1.42	%
Portfolio turnover rate(f)		15	%		18	%		28	%		17	%		18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.02	%		0.02	%(g)		0.02	%(g)		0.02	%(g)		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)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28,

2022

$6,233,641

              0.94%

^(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 and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		24	%		18	%		28	%		17	%		20	%

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

† Calculated using average shares outstanding throughout the period.

147 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class IV Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	28.13		$	26.04		$	22.82		$	22.32		$	25.17
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.30			0.32	(b)		0.34			0.37			0.36
Net realized and unrealized gain (loss)		(1.80	)		3.60			6.37			2.14			1.22
Total from investment operations		(1.50	)		3.92			6.71			2.51			1.58
Less distributions to shareholders:
From net investment income		(0.31	)		(0.33	)		(0.36	)		(0.36	)		(0.41	)
From net realized gains		(2.48	)		(1.50	)		(3.13	)		(1.65	)		(4.02	)
Total distributions		(2.79	)		(1.83	)		(3.49	)		(2.01	)		(4.43	)
Net asset value, end of period	$	23.84		$	28.13		$	26.04		$	22.82		$	22.32
Total Return(c)		(5.23	)%		14.79	%(d)		30.86	%		10.70	%		6.91	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	418,403		$	912,163		$	750,632		$	852,866		$	1,139,024
Net expenses to average daily net assets(e)		0.45	%		0.44	%		0.44	%		0.44	%		0.44	%
Net investment income (loss) to average daily net assets(a)		1.19	%		1.08	%(b)		1.37	%		1.52	%		1.46	%
Portfolio turnover rate(f)		15	%		18	%		28	%		17	%		18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.02	%		0.02	%(g)		0.02	%(g)		0.02	%(g)		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)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28,

2022

$1,577,219

               0.91%

^(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 and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		24	%		18	%		28	%		17	%		20	%

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 148

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class VI Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	28.06		$	25.98		$	22.77		$	22.28		$	25.13
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.32			0.34	(b)		0.35			0.37			0.38
Net realized and unrealized gain (loss)		(1.82	)		3.60			6.37			2.15			1.21
Total from investment operations		(1.50	)		3.94			6.72			2.52			1.59
Less distributions to shareholders:
From net investment income		(0.32	)		(0.36	)		(0.38	)		(0.38	)		(0.42	)
From net realized gains		(2.48	)		(1.50	)		(3.13	)		(1.65	)		(4.02	)
Total distributions		(2.80	)		(1.86	)		(3.51	)		(2.03	)		(4.44	)
Net asset value, end of period	$	23.76		$	28.06		$	25.98		$	22.77		$	22.28
Total Return(c)		(5.24	)%		14.86	%(d)		30.95	%		10.73	%		6.96	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	2,224,691		$	3,461,580		$	2,465,066		$	2,077,277		$	2,227,287
Net expenses to average daily net assets(e)		0.40	%		0.39	%		0.39	%		0.39	%		0.39	%
Net investment income (loss) to average daily net assets(a)		1.24	%		1.16	%(b)		1.41	%		1.55	%		1.54	%
Portfolio turnover rate(f)		15	%		18	%		28	%		17	%		18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.02	%		0.02	%(g)		0.02	%(g)		0.02	%(g)		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)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28,

2022

$5,862,655

               0.99%

^(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 and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		24	%		18	%		28	%		17	%		20	%

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

† Calculated using average shares outstanding throughout the period.

149 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class R6 Shares
										Period from
										November 12, 2019
										(commencement
										of operations)
	Year Ended									through
	February 28,									February 29,
	2023			2022			2021			2020
Net asset value, beginning of period	$	28.02		$	25.96		$	22.76		$	25.21
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.28			0.32	(b)		0.30			0.10
Net realized and unrealized gain (loss)		(1.79	)		3.57			6.39			(0.83	)
Total from investment operations		(1.51	)		3.89			6.69			(0.73	)
Less distributions to shareholders:
From net investment income		(0.30	)		(0.33	)		(0.36	)		(0.32	)
From net realized gains		(2.48	)		(1.50	)		(3.13	)		(1.40	)
Total distributions		(2.78	)		(1.83	)		(3.49	)		(1.72	)
Net asset value, end of period	$	23.73		$	28.02		$	25.96		$	22.76
Total Return(c)		(5.29	)%		14.71	%(d)		30.81	%		(3.39	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	769,960		$	507,232		$	330,287		$	77,375
Net expenses to average daily net assets(e)		0.48	%		0.48	%		0.48	%		0.49	%*
Net investment income (loss) to average daily net assets(a)		1.12	%		1.07	%(b)		1.22	%		1.31	%*
Portfolio turnover rate(f)		15	%		18	%		28	%		17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%		0.02	%(g)		0.02	%(g)		0.02	%(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)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28,

2022

$822,832

           0.89%

^(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 and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,
	2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		24	%		18	%		28	%		17	%

^(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. 150

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class I Shares
										Period from
										September 26, 2019
										(commencement
										of operations)
	Year Ended									through
	February 28,									February 29,
	2023			2022			2021			2020
Net asset value, beginning of period	$	27.99		$	25.93		$	22.75		$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.26			0.28	(b)		0.28			0.12
Net realized and unrealized gain (loss)		(1.80	)		3.58			6.37			0.39
Total from investment operations		(1.54	)		3.86			6.65			0.51
Less distributions to shareholders:
From net investment income		(0.27	)		(0.30	)		(0.34	)		(0.31	)
From net realized gains		(2.48	)		(1.50	)		(3.13	)		(1.40	)
Total distributions		(2.75	)		(1.80	)		(3.47	)		(1.71	)
Net asset value, end of period	$	23.70		$	27.99		$	25.93		$	22.75
Total Return(c)		(5.40	)%		14.62	%(d)		30.66	%		1.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	486,544		$	481,865		$	303,447		$	80,110
Net expenses to average daily net assets(e)		0.58	%		0.58	%		0.58	%		0.57	%*
Net investment income (loss) to average daily net assets(a)		1.04	%		0.96	%(b)		1.12	%		1.13	%*
Portfolio turnover rate(f)		15	%		18	%		28	%		17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%		0.04	%(g)		0.02	%(g)		0.02	%(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)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28,

2022

$779,657

           0.79%

^(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 and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,
	2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		24	%		18	%		28	%		17	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

151 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

RESOURCE TRANSITION FUND

	Class VI Shares
	Period from
	February 15, 2023
	(commencement
	of operations)
	through
	February 28,
	2023
Net asset value, beginning of period	$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.01
Net realized and unrealized gain (loss)		(1.03	)
Total from investment operations		(1.02	)
Net asset value, end of period	$	18.98
Total Return(b)		(5.10	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	460,209
Net expenses to average daily net assets(c)		0.86	%*
Net investment income (loss) to average daily net assets(a)		1.39	%*
Portfolio turnover rate(d)		0	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		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 including transactions in USTF during the period and/or year ended:

	February 28, 2023
Portfolio turnover rate including transactions in USTF		2	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 152

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	28.39		$	27.81		$	18.11		$	20.31		$	20.88
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.13			1.54			0.48			0.65			0.54
Net realized and unrealized gain (loss)		(1.74	)		2.00			10.13			(2.22	)		(0.37	)
Total from investment operations		(0.61	)		3.54			10.61			(1.57	)		0.17
Less distributions to shareholders:
From net investment income		(1.10	)		(1.35	)		(0.47	)		(0.63	)		(0.74	)
From net realized gains		(1.62	)		(1.61	)		(0.44	)		—			—
Total distributions		(2.72	)		(2.96	)		(0.91	)		(0.63	)		(0.74	)
Net asset value, end of period	$	25.06		$	28.39		$	27.81		$	18.11		$	20.31
Total Return(b)		(1.47	)%		13.29	%		59.36	%		(8.14	)%		0.99	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	322,035		$	239,225		$	96,091		$	201,320		$	169,523
Net expenses to average daily net assets(c)		0.72	%		0.71	%		0.72	%		0.73	%		0.74	%(d)
Net investment income (loss) to average daily net assets(a)		4.26	%		5.32	%		2.44	%		3.24	%		2.68	%
Portfolio turnover rate(e)		65	%		60	%		86	%		37	%		35	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		—			—			0.00	%(f)(g)		0.00	%(f)(g)		—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	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) Includes recoupment of past reimbursed and/or waived fees (Note 5).

^(e) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		72	%		60	%		89	%		101	%		69	%

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

^(g)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

153 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class IV Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	28.30		$	27.73		$	18.06		$	20.24		$	20.81
Income (loss) from investment operations:
Net investment income (loss)(a) †		1.13			1.79			0.47			0.68			0.62
Net realized and unrealized gain (loss)		(1.72	)		1.76			10.12			(2.22	)		(0.46	)
Total from investment operations		(0.59	)		3.55			10.59			(1.54	)		0.16
Less distributions to shareholders:
From net investment income		(1.11	)		(1.37	)		(0.48	)		(0.64	)		(0.73	)
From net realized gains		(1.62	)		(1.61	)		(0.44	)		—			—
Total distributions		(2.73	)		(2.98	)		(0.92	)		(0.64	)		(0.73	)
Net asset value, end of period	$	24.98		$	28.30		$	27.73		$	18.06		$	20.24
Total Return(b)		(1.40	)%		13.34	%		59.42	%		(8.03	)%		0.98	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	344,000		$	383,353		$	531,006		$	311,515		$	336,954
Net expenses to average daily net assets(c)		0.67	%		0.65	%		0.67	%		0.68	%		0.70	%(d)
Net investment income (loss) to average daily net assets(a)		4.32	%		6.21	%		2.33	%		3.40	%		3.06	%
Portfolio turnover rate(e)		65	%		60	%		86	%		37	%		35	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		—			—			0.00	%(f)(g)		0.00	%(f)(g)		—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	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) Includes recoupment of past reimbursed and/or waived fees (Note 5).

^(e) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		72	%		60	%		89	%		101	%		69	%

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

^(g)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 154

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class VI Shares
				Period from
				February 8, 2022
				(commencement
				of operations)
	Year Ended			through
	February 28,			February 28,
	2023			2022
Net asset value, beginning of period	$	28.30		$	29.11
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.10			(0.57	)
Net realized and unrealized gain (loss)		(1.69	)		(0.24	)(b)
Total from investment operations		(0.59	)		(0.81	)
Less distributions to shareholders:
From net investment income		(1.13	)		—
From net realized gains		(1.62	)		—
Total distributions		(2.75	)		—
Net asset value, end of period	$	24.96		$	28.30
Total Return(c)		(1.39	)%		(2.78	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	65,869		$	842,698
Net expenses to average daily net assets(d)		0.62	%		0.74	%*
Net investment income (loss) to average daily net assets(a)		4.21	%		(35.65	)%*
Portfolio turnover rate(e)		65	%		60	%**

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,
	2023			2022
Portfolio turnover rate including transactions in USTF		72	%		60	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

155 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class R6 Shares
							Period from
							January 22, 2021
							(commencement
							of operations)
	Year Ended						through
	February 28,						February 28,
	2023			2022			2021
Net asset value, beginning of period	$	28.37		$	27.82		$	27.44
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.10			(0.06	)		0.03
Net realized and unrealized gain (loss)		(1.71	)		3.59			0.35
Total from investment operations		(0.61	)		3.53			0.38
Less distributions to shareholders:
From net investment income		(1.10	)		(1.37	)		—
From net realized gains		(1.62	)		(1.61	)		—
Total distributions		(2.72	)		(2.98	)		—
Net asset value, end of period	$	25.04		$	28.37		$	27.82
Total Return(b)		(1.43	)%		13.25	%		1.38	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	315,904		$	105,086		$	2,617
Net expenses to average daily net assets(c)		0.72	%		0.74	%		0.71	%*
Net investment income (loss) to average daily net assets(a)		4.21	%		(0.20	)%		0.98	%*
Portfolio turnover rate(d)		65	%		60	%		86	%**

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,
	2023			2022			2021
Portfolio turnover rate including transactions in USTF		72	%		60	%		89	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 156

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class I Shares
							Period from
							January 22, 2021
							(commencement
							of operations)
	Year Ended						through
	February 28,						February 28,
	2023			2022			2021
Net asset value, beginning of period	$	28.39		$	27.81		$	27.44
Income (loss) from investment operations:
Net investment income (loss)(a) †		1.08			1.25			0.02
Net realized and unrealized gain (loss)		(1.72	)		2.27			0.35
Total from investment operations		(0.64	)		3.52			0.37
Less distributions to shareholders:
From net investment income		(1.07	)		(1.33	)		—
From net realized gains		(1.62	)		(1.61	)		—
Total distributions		(2.69	)		(2.94	)		—
Net asset value, end of period	$	25.06		$	28.39		$	27.81
Total Return(b)		(1.55	)%		13.19	%		1.35	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	736,470		$	633,189		$	369,102
Net expenses to average daily net assets(c)		0.82	%		0.81	%		0.81	%*
Net investment income (loss) to average daily net assets(a)		4.11	%		4.32	%		0.74	%*
Portfolio turnover rate(d)		65	%		60	%		86	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,
	2023			2022			2021
Portfolio turnover rate including transactions in USTF		72	%		60	%		89	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

157 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

SMALL CAP QUALITY FUND

	Class III Shares
	Period from
	November 15, 2022
	(commencement
	of operations)
	through
	February 28,
	2023
Net asset value, beginning of period	$	22.96
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.01
Net realized and unrealized gain (loss)		1.03
Total from investment operations		1.04
Less distributions to shareholders:
From net investment income		(0.01	)
From net realized gains		(1.87	)
Total distributions		(1.88	)
Net asset value, end of period	$	22.12
Total Return(b)		4.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	13,391
Net expenses to average daily net assets(c)		0.75	%*
Net investment income (loss) to average daily net assets(a)		0.19	%*
Portfolio turnover rate(d)		77	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.85	%*

^(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 including transactions in USTF during the period and/or year ended:

	February 28, 2023
Portfolio turnover rate including transactions in USTF		78	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 158

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

SMALL CAP QUALITY FUND (continued)

	Class VI Shares
	Period from
	September 20, 2022
	(commencement
	of operations)
	through
	February 28,
	2023
Net asset value, beginning of period	$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.02
Net realized and unrealized gain (loss)		4.00
Total from investment operations		4.02
Less distributions to shareholders:
From net investment income		(0.02	)
From net realized gains		(1.87	)
Total distributions		(1.89	)
Net asset value, end of period	$	22.13
Total Return(b)		20.10	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	51,566
Net expenses to average daily net assets(c)		0.66	%*
Net investment income (loss) to average daily net assets(a)		0.25	%*
Portfolio turnover rate(d)		77	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.39	%*

^(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 including transactions in USTF during the period and/or year ended:

	February 28,
	2023
Portfolio turnover rate including transactions in USTF		78	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

159 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

SMALL CAP QUALITY FUND (continued)

	Class I Shares
	Period from
	November 15, 2022
	(commencement
	of operations)
	through
	February 28,
	2023
Net asset value, beginning of period	$	22.96
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.01
Net realized and unrealized gain (loss)		1.02
Total from investment operations		1.03
Less distributions to shareholders:
From net investment income		(0.01	)
From net realized gains		(1.87	)
Total distributions		(1.88	)
Net asset value, end of period	$	22.11
Total Return(b)		4.51	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	21
Net expenses to average daily net assets(c)		0.75	%*
Net investment income (loss) to average daily net assets(a)		0.09	%*
Portfolio turnover rate(d)		77	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.61	%*

^(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 including transactions in USTF during the period and/or year ended:

	February 28,
	2023
Portfolio turnover rate including transactions in USTF		78	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 160

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

TAX-MANAGED INTERNATIONAL EQUITIES FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	14.30		$	15.98		$	13.57		$	13.82		$	17.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.52			0.63	(b)		0.34			0.46			0.37
Net realized and unrealized gain (loss)		(0.93	)		0.14			2.42			(0.10	)		(2.63	)
Total from investment operations		(0.41	)		0.77			2.76			0.36			(2.26	)
Less distributions to shareholders:
From net investment income		(0.48	)		(0.76	)		(0.35	)		(0.61	)		(0.39	)
From net realized gains		(0.24	)		(1.69	)		—			—			(0.53	)
Total distributions		(0.72	)		(2.45	)		(0.35	)		(0.61	)		(0.92	)
Net asset value, end of period	$	13.17		$	14.30		$	15.98		$	13.57		$	13.82
Total Return(c)		(2.42	)%		4.77	%(d)		20.53	%		2.31	%		(13.50	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	30,686		$	31,781		$	38,960		$	36,228		$	48,739
Net expenses to average daily net assets(e)		0.68	%		0.84	%(f)		0.73	%		0.80	%		0.79	%
Net investment income (loss) to average daily net assets(a)		4.06	%		3.78	%(b)		2.47	%		3.28	%		2.47	%
Portfolio turnover rate(g)		93	%		86	%		75	%		52	%		63	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.70	%		0.60	%(h)		0.54	%(h)		0.54	%(h)		0.54	%

^(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 income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28,

2022

$61,519

         3.62%

^(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 and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.14%

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

^(f) Net expenses include non-recurring contingent legal fees attributed to EU tax reclaims. The net expense ratio excluding these legal fees is 0.73% (Note 2).

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		134	%		107	%		77	%		65	%		117	%

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

† Calculated using average shares outstanding throughout the period.

161 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. EQUITY FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	13.69		$	14.39		$	11.89		$	13.07		$	15.41
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.17			0.21			0.18			0.22			0.23
Net realized and unrealized gain (loss)		(0.45	)		2.13			3.56			0.21			(0.04	)(b)
Total from investment operations		(0.28	)		2.34			3.74			0.43			0.19
Less distributions to shareholders:
From net investment income		(0.17	)		(0.19	)		(0.21	)		(0.32	)		(0.26	)
From net realized gains		(0.70	)		(2.85	)		(1.03	)		(1.29	)		(2.27	)
Total distributions		(0.87	)		(3.04	)		(1.24	)		(1.61	)		(2.53	)
Net asset value, end of period	$	12.54		$	13.69		$	14.39		$	11.89		$	13.07
Total Return(c)		(1.63	)%		15.80	%		33.74	%		2.51	%		1.94	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	50,114		$	80,646		$	105,656		$	83,738		$	131,198
Net expenses to average daily net assets(d)		0.47	%		0.46	%		0.47	%		0.46	%		0.46	%
Net investment income (loss) to average daily net assets(a)		1.38	%		1.34	%		1.47	%		1.64	%		1.62	%
Portfolio turnover rate(e)		81	%		94	%		66	%		72	%		89	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		0.04	%(f)		0.04	%(f)		0.03	%(f)		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 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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		91	%		115	%		81	%		88	%		105	%

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 162

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. EQUITY FUND (continued)

	Class VI Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	13.52		$	14.25		$	11.78		$	12.97		$	15.31
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.18			0.22			0.19			0.23			0.24
Net realized and unrealized gain (loss)		(0.44	)		2.11			3.53			0.20			(0.04	)(b)
Total from investment operations		(0.26	)		2.33			3.72			0.43			0.20
Less distributions to shareholders:
From net investment income		(0.18	)		(0.21	)		(0.22	)		(0.33	)		(0.27	)
From net realized gains		(0.70	)		(2.85	)		(1.03	)		(1.29	)		(2.27	)
Total distributions		(0.88	)		(3.06	)		(1.25	)		(1.62	)		(2.54	)
Net asset value, end of period	$	12.38		$	13.52		$	14.25		$	11.78		$	12.97
Total Return(c)		(1.47	)%		15.89	%		33.92	%		2.53	%		2.05	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	194,846		$	384,832		$	245,547		$	365,693		$	758,714
Net expenses to average daily net assets(d)		0.38	%		0.37	%		0.37	%		0.37	%		0.37	%
Net investment income (loss) to average daily net assets(a)		1.47	%		1.42	%		1.56	%		1.75	%		1.68	%
Portfolio turnover rate(e)		81	%		94	%		66	%		72	%		89	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		0.04	%(f)		0.04	%(f)		0.03	%(f)		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 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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		91	%		115	%		81	%		88	%		105	%

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

† Calculated using average shares outstanding throughout the period.

163 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

U.S. OPPORTUNISTIC VALUE FUND

	Class III Shares
	Period from February 15, 2023 (commencement of operations) through February 28, 2023
Net asset value, beginning of period	$	21.07
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.02
Net realized and unrealized gain (loss)		(0.89	)(b)
Total from investment operations		(0.87	)
Net asset value, end of period	$	20.20
Total Return(c)		(4.13	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	10
Net expenses to average daily net assets(d)		0.47	%*
Net investment income (loss) to average daily net assets(a)		2.30	%*
Portfolio turnover rate(e)		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.48	%*

^(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 including transactions in USTF during the period and/or year ended:

	February 28, 2023
Portfolio turnover rate including transactions in USTF		77	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 164

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

U.S. OPPORTUNISTIC VALUE FUND (continued)

	Class IV Shares
	Period from February 15, 2023 (commencement of operations) through February 28, 2023
Net asset value, beginning of period	$	21.07
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.01
Net realized and unrealized gain (loss)		(0.88	)(b)
Total from investment operations		(0.87	)
Net asset value, end of period	$	20.20
Total Return(c)		(4.13	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	62,784
Net expenses to average daily net assets(d)		0.42	%*
Net investment income (loss) to average daily net assets(a)		1.94	%*
Portfolio turnover rate(e)		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.49	%*

^(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 including transactions in USTF during the period and/or year ended:

	February 28, 2023
Portfolio turnover rate including transactions in USTF		77	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

165 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

U.S. OPPORTUNISTIC VALUE FUND (continued)

	Class VI Shares
	Period from December 13, 2022 (commencement of operations) through February 28, 2023
Net asset value, beginning of period	$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.12
Net realized and unrealized gain (loss)		0.10
Total from investment operations		0.22
Less distributions to shareholders:
From net investment income		(0.03	)
Total distributions		(0.03	)
Net asset value, end of period	$	20.19
Total Return(b)		1.10	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	215,668
Net expenses to average daily net assets(c)		0.38	%*
Net investment income (loss) to average daily net assets(a)		2.79	%*
Portfolio turnover rate(d)		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.28	%*

^(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 including transactions in USTF during the period and/or year ended:

	February 28, 2023
Portfolio turnover rate including transactions in USTF		77	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 166

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

U.S. OPPORTUNISTIC VALUE FUND (continued)

	Class I Shares
	Period from February 15, 2023 (commencement of operations) through February 28, 2023
Net asset value, beginning of period	$	21.07
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.01
Net realized and unrealized gain (loss)		(0.88	)(b)
Total from investment operations		(0.87	)
Net asset value, end of period	$	20.20
Total Return(c)		(4.13	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	5
Net expenses to average daily net assets(d)		0.57	%*
Net investment income (loss) to average daily net assets(a)		1.73	%*
Portfolio turnover rate(e)		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.47	%*

^(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 including transactions in USTF during the period and/or year ended:

	February 28, 2023
Portfolio turnover rate including transactions in USTF		77	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

167 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. SMALL CAP VALUE FUND

	Class VI Shares
	Year Ended February 28,									Period from July 2, 2019 (commencement of operations) through February 29,
	2023			2022			2021			2020
Net asset value, beginning of period	$	19.74		$	24.99		$	18.06		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.30			0.33			0.30			0.23
Net realized and unrealized gain (loss)		(1.08	)		2.89			6.96			(1.99	)
Total from investment operations		(0.78	)		3.22			7.26			(1.76	)
Less distributions to shareholders:
From net investment income		(0.45	)		(0.39	)		(0.33	)		(0.18	)
From net realized gains		(1.32	)		(8.08	)		—			—
Total distributions		(1.77	)		(8.47	)		(0.33	)		(0.18	)
Net asset value, end of period	$	17.19		$	19.74		$	24.99		$	18.06
Total Return(b)		(2.86	)%		13.21	%		40.64	%		(8.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	29,428		$	253,810		$	372,498		$	415,508
Net expenses to average daily net assets(c)		0.45	%		0.42	%		0.41	%		0.44	%*
Net investment income (loss) to average daily net assets(a)		1.71	%		1.32	%		1.67	%		1.69	%*
Portfolio turnover rate(d)		60	%		62	%		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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		69	%		71	%		98	%		69	%

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

^(f)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 168

GMO Trust Funds

Notes to Financial Statements

February 28, 2023

1. Organization

Each of Climate Change Fund, Emerging Markets ex-China Fund, Emerging Markets Fund, Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund), International Equity Fund, Japan Value Creation Fund, Quality Cyclicals Fund, Quality Fund, Resource Transition Fund (commenced operations on February 15, 2023), Resources Fund, Small Cap Quality Fund (commenced operations on September 20, 2022), Tax-Managed International Equities Fund, U.S. Equity Fund, U.S. Opportunistic Value Fund (commenced operations on December 13, 2022) 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 Markets ex-China Fund	MSCI Emerging Markets ex-China Index	Total return in excess of benchmark
Emerging Markets Fund	MSCI Emerging Markets Index	Total return in excess of benchmark
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities 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	Not Applicable	Total return
Quality Fund	Not Applicable	Total return
Resource Transition Fund	Not Applicable	Total return
Resources Fund	Not Applicable	Total return
Small Cap Quality 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. Opportunistic Value Fund	Not Applicable	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.

169

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Portfolio valuation

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

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

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 28, 2023, 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.

170

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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

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

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

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

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

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 28, 2023:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	8,054,350	$	—	$	—	$	8,054,350
Australia		—		2,975,131		—		2,975,131
Belgium		—		5,767,848		—		5,767,848
Brazil		—		30,037,858		—		30,037,858
Canada		103,750,182		—		—		103,750,182
Chile		11,684,648		—		—		11,684,648
China		4,152,315		21,542,015		—		25,694,330
Denmark		—		26,119,829		—		26,119,829
Finland		—		12,078,693		—		12,078,693
France		—		58,579,482		—		58,579,482
Germany		—		30,282,546		—		30,282,546
Israel		—		2,302,217		—		2,302,217
Japan		—		47,251,653		—		47,251,653
Mexico		25,040,569		—		—		25,040,569
Netherlands		—		3,563,965		—		3,563,965
Norway		—		6,649,499		—		6,649,499
Russia		—		—		266,368		266,368
South Korea		—		53,747,477		—		53,747,477
Spain		—		17,658,445		—		17,658,445
Sweden		—		2,355,205		—		2,355,205
Switzerland		—		689,199		—		689,199
Thailand		—		999,237		—		999,237
Ukraine		—		995,844		—		995,844
United Kingdom		5,020,440		6,833,666		—		11,854,106

171

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
United States	$	420,598,318	$	—	$	—	$	420,598,318
TOTAL COMMON STOCKS		578,300,822		330,429,809		266,368		908,996,999
Mutual Funds
United States		27,154,401		—		—		27,154,401
TOTAL MUTUAL FUNDS		27,154,401		—		—		27,154,401
Short-Term Investments		2,242,517		—		—		2,242,517
Total Investments		607,697,740		330,429,809		266,368		938,393,917
Total	$	607,697,740	$	330,429,809	$	266,368	$	938,393,917
Emerging Markets ex-China Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	4,233,731	$	7,383,574	$	—	$	11,617,305
Chile		2,820,831		1,163,284		—		3,984,115
Czech Republic		—		546,098		—		546,098
Egypt		—		1,329,057		—		1,329,057
Greece		—		54,213		—		54,213
Hungary		—		4,105,155		—		4,105,155
India		4,851,217		12,739,937		—		17,591,154
Indonesia		—		11,487,203		—		11,487,203
Malaysia		—		227,353		—		227,353
Mexico		20,786,464		—		0§		20,786,464
Philippines		—		570,487		—		570,487
Poland		—		5,246,602		—		5,246,602
Qatar		—		1,500,132		—		1,500,132
Russia		—		815,037		382,570		1,197,607
South Africa		885,330		15,969,821		—		16,855,151
South Korea		884,355		51,150,064		—		52,034,419
Taiwan		9,227,679		76,322,169		—		85,549,848
Thailand		—		2,157,404		—		2,157,404
Turkey		—		656,895		—		656,895
United Kingdom		—		1,786,474		—		1,786,474
Vietnam		—		6,303,458		—		6,303,458
TOTAL COMMON STOCKS		43,689,607		201,514,417		382,570		245,586,594
Preferred Stocks
Brazil		1,534,131		14,161,491		—		15,695,622
Chile		—		36,423		—		36,423
Russia		—		—		18,483		18,483
Taiwan		—		59,877		—		59,877
TOTAL PREFERRED STOCKS		1,534,131		14,257,791		18,483		15,810,405
Mutual Funds
United States		319,023		—		—		319,023
TOTAL MUTUAL FUNDS		319,023		—		—		319,023

172

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1		Level 2		Level 3		Total
Emerging Markets ex-China Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	25,328	$	—	$	—	$	25,328
Total Investments		45,568,089		215,772,208		401,053		261,741,350
Total	$	45,568,089	$	215,772,208	$	401,053	$	261,741,350
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	7,069,387	$	17,831,790	$	—	$	24,901,177
Chile		2,298,625		1,272,091		—		3,570,716
China		33,261,867		199,849,977		868,809		233,980,653
Czech Republic		—		2,178,485		—		2,178,485
Egypt		—		1,762,018		—		1,762,018
Greece		—		1,121,944		—		1,121,944
Hungary		—		9,887,645		—		9,887,645
India		6,743,610		36,323,676		—		43,067,286
Indonesia		—		14,544,636		—		14,544,636
Kuwait		—		771,498		—		771,498
Malaysia		—		1,817,521		—		1,817,521
Mexico		45,843,883		—		0§		45,843,883
Pakistan		—		428,674		—		428,674
Panama		64,701		—		—		64,701
Philippines		—		1,623,120		—		1,623,120
Poland		—		7,029,656		—		7,029,656
Qatar		—		4,803,213		—		4,803,213
Russia		—		2,697,664		1,811,716		4,509,380
South Africa		801,090		36,330,548		—		37,131,638
South Korea		—		111,202,581		—		111,202,581
Sri Lanka		—		—		258,636		258,636
Taiwan		4,939,481		177,057,095		—		181,996,576
Thailand		—		4,005,152		—		4,005,152
Turkey		—		380,939		—		380,939
United Kingdom		—		11,265,064		—		11,265,064
Vietnam		—		25,304,324		—		25,304,324
TOTAL COMMON STOCKS		101,022,644		669,489,311		2,939,161		773,451,116
Preferred Stocks
Brazil		4,273,164		31,242,692		—		35,515,856
Russia		—		—		308,267		308,267
South Korea		—		20,494,366		—		20,494,366
Taiwan		—		838,900		—		838,900
TOTAL PREFERRED STOCKS		4,273,164		52,575,958		308,267		57,157,389
Debt Obligations
United States		2,800,624		—		—		2,800,624
TOTAL DEBT OBLIGATIONS		2,800,624		—		—		2,800,624

173

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Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1			Level 2		Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	15,345,992		$	—	$	—	$	15,345,992
TOTAL MUTUAL FUNDS		15,345,992			—		—		15,345,992
Short-Term Investments		3,659,489			—		—		3,659,489
Total Investments		127,101,913			722,065,269		3,247,428		852,414,610
Total	$	127,101,913		$	722,065,269	$	3,247,428	$	852,414,610
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(1,021,894	)	$	—	$	—	$	(1,021,894	)
Total	$	(1,021,894	)	$	—	$	—	$	(1,021,894	)
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
Asset Valuation Inputs
Common Stocks
Brazil	$	685,755		$	1,693,390	$	—	$	2,379,145
China		3,695,986			33,133,055		—		36,829,041
France		—			—		1,244,319		1,244,319
Hong Kong		—			1,262,608		—		1,262,608
India		—			20,390,158		—		20,390,158
Indonesia		—			7,421,523		—		7,421,523
Japan		—			803,675		—		803,675
Mexico		7,234,331			—		—		7,234,331
Philippines		—			346,651		—		346,651
Russia		—			—		83,870		83,870
South Africa		—			615,363		—		615,363
South Korea		—			7,577,533		—		7,577,533
Switzerland		—			1,308,331		—		1,308,331
Taiwan		—			21,308,190		—		21,308,190
Thailand		—			3,090,900		—		3,090,900
United Kingdom		—			1,985,829		—		1,985,829
United States		949,026			1,055,777		—		2,004,803
Vietnam		—			2,969,124		—		2,969,124
TOTAL COMMON STOCKS		12,565,098			104,962,107		1,328,189		118,855,394
Preferred Stocks
Brazil		—			528,957		—		528,957
TOTAL PREFERRED STOCKS		—			528,957		—		528,957
Investment Funds
Russia		—			—		9,610		9,610
TOTAL INVESTMENT FUNDS		—			—		9,610		9,610
Mutual Funds
United States		712,446			—		—		712,446
TOTAL MUTUAL FUNDS		712,446			—		—		712,446

174

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Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1		Level 2		Level 3		Total
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund) (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	1,241,862	$	—	$	—	$	1,241,862
Total Investments		14,519,406		105,491,064		1,337,799		121,348,269
Total	$	14,519,406	$	105,491,064	$	1,337,799	$	121,348,269
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	52,201,294	$	—	$	52,201,294
Belgium		—		3,176,725		—		3,176,725
Denmark		—		942,542		—		942,542
Finland		—		23,900,672		—		23,900,672
France		33,355,616		161,146,655		—		194,502,271
Germany		—		49,517,641		—		49,517,641
Hong Kong		—		23,197,016		—		23,197,016
Ireland		—		12,078,947		—		12,078,947
Italy		—		20,213,852		—		20,213,852
Japan		113,791		311,074,130		—		311,187,921
Netherlands		—		95,925,564		—		95,925,564
Norway		—		30,891,668		—		30,891,668
Portugal		—		11,232,389		—		11,232,389
Singapore		—		59,248,943		—		59,248,943
Spain		—		86,247,121		—		86,247,121
Sweden		—		10,116,879		—		10,116,879
Switzerland		—		74,728,207		—		74,728,207
United Kingdom		17,523,000		179,322,876		—		196,845,876
United States		1,387,816		460,534		—		1,848,350
TOTAL COMMON STOCKS		52,380,223		1,205,623,655		—		1,258,003,878
Preferred Stocks
Germany		—		10,973,669		—		10,973,669
TOTAL PREFERRED STOCKS		—		10,973,669		—		10,973,669
Debt Obligations
United States		3,998,630		—		—		3,998,630
TOTAL DEBT OBLIGATIONS		3,998,630		—		—		3,998,630
Mutual Funds
United States		72,610,442		—		—		72,610,442
TOTAL MUTUAL FUNDS		72,610,442		—		—		72,610,442
Short-Term Investments		169,848		—		—		169,848
Total Investments		129,159,143		1,216,597,324		—		1,345,756,467
Total	$	129,159,143	$	1,216,597,324	$	—	$	1,345,756,467

175

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1			Level 2		Level 3		Total
International Equity Fund (continued)
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(352,111	)	$	—	$	—	$	(352,111	)
Total	$	(352,111	)	$	—	$	—	$	(352,111	)
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—		$	105,818,927	$	—	$	105,818,927
Short-Term Investments		4,654,152			—		—		4,654,152
Total Investments		4,654,152			105,818,927		—		110,473,079
Total	$	4,654,152		$	105,818,927	$	—	$	110,473,079
Quality Cyclicals Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—		$	156,480	$	—	$	156,480
Canada		3,667,356			—		—		3,667,356
China		—			2,317,020		—		2,317,020
Finland		—			1,385,732		—		1,385,732
France		—			6,514,130		—		6,514,130
Germany		—			1,558,534		—		1,558,534
Hong Kong		—			1,041,934		—		1,041,934
Ireland		508,565			1,382,755		—		1,891,320
Mexico		4,619,864			—		—		4,619,864
Russia		—			—		28,097		28,097
Spain		—			3,528,689		—		3,528,689
United Kingdom		—			7,248,829		—		7,248,829
United States		33,793,194			—		—		33,793,194
TOTAL COMMON STOCKS		42,588,979			25,134,103		28,097		67,751,179
Preferred Stocks
Brazil		—			1,379,315		—		1,379,315
TOTAL PREFERRED STOCKS		—			1,379,315		—		1,379,315
Mutual Funds
United States		680,863			—		—		680,863
TOTAL MUTUAL FUNDS		680,863			—		—		680,863
Short-Term Investments		149,116			—		—		149,116
Total Investments		43,418,958			26,513,418		28,097		69,960,473
Total	$	43,418,958		$	26,513,418	$	28,097	$	69,960,473
Quality Fund
Asset Valuation Inputs
Common Stocks
China	$	—		$	84,400,699	$	—	$	84,400,699
France		—			335,250,448		—		335,250,448

176

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Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1		Level 2		Level 3		Total
Quality Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Germany	$	—	$	241,126,056	$	—	$	241,126,056
Spain		—		51,378,671		—		51,378,671
Switzerland		—		201,386,584		—		201,386,584
Taiwan		—		203,254,787		—		203,254,787
United Kingdom		—		333,641,602		—		333,641,602
United States		5,212,174,885		—		—		5,212,174,885
TOTAL COMMON STOCKS		5,212,174,885		1,450,438,847		—		6,662,613,732
Mutual Funds
United States		116,238,335		—		—		116,238,335
TOTAL MUTUAL FUNDS		116,238,335		—		—		116,238,335
Short-Term Investments		3,826,774		—		—		3,826,774
Total Investments		5,332,239,994		1,450,438,847		—		6,782,678,841
Total	$	5,332,239,994	$	1,450,438,847	$	—	$	6,782,678,841
Resource Transition Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	6,975,892	$	—	$	—	$	6,975,892
Australia		—		7,165,384		—		7,165,384
Brazil		—		37,095,405		—		37,095,405
Canada		81,400,128		—		—		81,400,128
Chile		11,519,750		—		—		11,519,750
China		—		5,516,255		—		5,516,255
Denmark		—		7,693,419		—		7,693,419
Finland		—		4,334,797		—		4,334,797
France		—		19,267,812		—		19,267,812
Japan		—		7,741,627		—		7,741,627
Mexico		16,423,369		—		—		16,423,369
Norway		—		5,881,037		—		5,881,037
South Africa		—		18,524,213		—		18,524,213
United Kingdom		—		56,053,471		—		56,053,471
United States		148,945,098		—		—		148,945,098
TOTAL COMMON STOCKS		265,264,237		169,273,420		—		434,537,657
Preferred Stocks
Brazil		—		21,466,753		—		21,466,753
TOTAL PREFERRED STOCKS		—		21,466,753		—		21,466,753
Mutual Funds
United States		3,512,040		—		—		3,512,040
TOTAL MUTUAL FUNDS		3,512,040		—		—		3,512,040
Short-Term Investments		466,627		—		—		466,627
Total Investments		269,242,904		190,740,173		—		459,983,077
Total	$	269,242,904	$	190,740,173	$	—	$	459,983,077

177

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Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1		Level 2		Level 3		Total
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	16,722,125	$	—	$	—	$	16,722,125
Australia		—		30,224,389		—		30,224,389
Austria		—		24,594,008		—		24,594,008
Brazil		—		62,987,974		—		62,987,974
Canada		197,988,627		—		—		197,988,627
Chile		27,627,431		—		—		27,627,431
China		—		32,682,592		—		32,682,592
Denmark		—		18,445,071		—		18,445,071
Finland		—		10,391,075		—		10,391,075
France		—		46,704,598		—		46,704,598
Hungary		—		15,854,133		—		15,854,133
India		—		24,557,011		—		24,557,011
Israel		—		5,908,700		—		5,908,700
Italy		—		21,175,667		—		21,175,667
Japan		—		18,558,413		—		18,558,413
Mexico		39,375,157		—		—		39,375,157
Norway		—		48,361,462		—		48,361,462
Pakistan		—		752,015		—		752,015
Portugal		—		62,877,418		—		62,877,418
Russia		—		—		1,601,369		1,601,369
Singapore		—		—		0§		0§
South Africa		—		48,672,861		—		48,672,861
South Korea		—		882,178		—		882,178
Spain		—		36,091,675		—		36,091,675
Switzerland		—		689,719		—		689,719
Turkey		—		5,381,727		—		5,381,727
Ukraine		—		2,269,414		—		2,269,414
United Kingdom		—		262,829,912		—		262,829,912
United States		548,912,319		—		—		548,912,319
TOTAL COMMON STOCKS		830,625,659		780,892,012		1,601,369		1,613,119,040
Preferred Stocks
Brazil		—		145,632,539		—		145,632,539
Russia		—		—		407,992		407,992
TOTAL PREFERRED STOCKS		—		145,632,539		407,992		146,040,531
Rights/Warrants
Singapore		—		—		2		2
TOTAL RIGHTS/WARRANTS		—		—		2		2
Mutual Funds
United States		39,264,526		—		—		39,264,526
TOTAL MUTUAL FUNDS		39,264,526		—		—		39,264,526
Short-Term Investments		3,375,156		—		—		3,375,156
Total Investments		873,265,341		926,524,551		2,009,363		1,801,799,255
Total	$	873,265,341	$	926,524,551	$	2,009,363	$	1,801,799,255

178

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Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1		Level 2		Level 3		Total
Small Cap Quality Fund
Asset Valuation Inputs
Common Stocks	$	63,667,696	$	—	$	—	$	63,667,696
Mutual Funds		611,750		—		—		611,750
Short-Term Investments		254,109		—		—		254,109
Total Investments		64,533,555		—		—		64,533,555
Total	$	64,533,555	$	—	$	—	$	64,533,555
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,280,139	$	—	$	1,280,139
Belgium		—		26,694		—		26,694
Brazil		56,559		298,528		—		355,087
Finland		—		445,404		—		445,404
France		804,272		3,527,385		—		4,331,657
Germany		—		1,074,986		—		1,074,986
Hong Kong		—		326,319		—		326,319
India		—		294,109		—		294,109
Ireland		—		175,101		—		175,101
Italy		—		321,357		—		321,357
Japan		—		6,807,783		—		6,807,783
Netherlands		—		2,194,972		—		2,194,972
Norway		—		615,053		—		615,053
Poland		—		22,982		—		22,982
Portugal		—		210,064		—		210,064
Russia		—		—		30		30
Singapore		—		1,141,770		—		1,141,770
South Africa		—		39,136		—		39,136
South Korea		—		530,879		—		530,879
Spain		—		2,013,475		—		2,013,475
Sweden		—		138,098		—		138,098
Switzerland		45,438		1,741,940		—		1,787,378
Thailand		—		515,013		—		515,013
Turkey		—		636,034		—		636,034
United Kingdom		1,177,108		2,939,993		—		4,117,101
TOTAL COMMON STOCKS		2,083,377		27,317,214		30		29,400,621
Preferred Stocks
Brazil		115,030		111,946		—		226,976
Germany		—		306,335		—		306,335
South Korea		—		10,828		—		10,828
TOTAL PREFERRED STOCKS		115,030		429,109		—		544,139
Mutual Funds
United States		1,160,296		—		—		1,160,296
TOTAL MUTUAL FUNDS		1,160,296		—		—		1,160,296
Short-Term Investments		43,531		—		—		43,531
Total Investments		3,402,234		27,746,323		30		31,148,587

179

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Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1		Level 2		Level 3		Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Futures Contracts
Equity Risk	$	2,645	$	—	$	—	$	2,645
Total	$	3,404,879	$	27,746,323	$	30	$	31,151,232
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	239,937,853	$	—	$	—	$	239,937,853
Mutual Funds		3,058,032		—		—		3,058,032
Short-Term Investments		717,880		—		—		717,880
Total Investments		243,713,765		—		—		243,713,765
Derivatives^
Futures Contracts
Equity Risk		49,914		—		—		49,914
Total	$	243,763,679	$	—	$	—	$	243,763,679
U.S. Opportunistic Value Fund
Asset Valuation Inputs
Common Stocks	$	273,634,914	$	—	$	—	$	273,634,914
Mutual Funds		5,821,730		—		—		5,821,730
Short-Term Investments		225,815		—		—		225,815
Total Investments		279,682,459		—		—		279,682,459
Total	$	279,682,459	$	—	$	—	$	279,682,459
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	29,078,285	$	—	$	—	$	29,078,285
Mutual Funds		344,916		—		—		344,916
Rights/Warrants		—		—		36,350		36,350
Short-Term Investments		90,522		—		—		90,522
Total Investments		29,513,723		—		36,350		29,550,073
Derivatives^
Futures Contracts
Equity Risk		14,011		—		—		14,011
Total	$	29,527,734	$	—	$	36,350	$	29,564,084

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

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at February 28, 2023.

180

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). The below Funds held classes of investments or derivatives with direct material Level 3 holdings at February 28, 2023:

Investment Type	Number of Investments		Valuation Methodology
Emerging Markets ex-China Fund
Common and/or Preferred Stock		11	Valued off the last traded price with a 99% discount
Emerging Markets Fund
Common and/or Preferred Stock		11	Valued off the last traded price with a 99% discount
Common and/or Preferred Stock		2	Valued at the last price prior to trading being suspended
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
Common and/or Preferred Stock		3	Valued off the last traded price with a 99% discount
Common and/or Preferred Stock		1	Valued off the parent security
Resources Fund
Common and/or Preferred Stock		4	Valued off the last traded price with a 99% discount

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, 2022		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of February 28, 2023		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2023
Emerging Markets ex-China Fund
Common Stocks
Russia	$	949,755	$	—	$	(184,500	)	$	—	$	(445,565	)	$	(307,759	)	$	370,639	‡	$	—	$	382,570	$	(646,790	)
Preferred Stocks
Russia		—		—		—			—		—			—			18,483	‡		—		18,483		—
Total Investments	$	949,755	$	—	$	(184,500	)	$	—	$	(445,565	)	$	(307,759	)	$	389,122		$	—	$	401,053	$	(646,790	)
Emerging Markets Fund
Common Stocks
China	$	358,312	$	—	$	(124,467	)	$	—	$	(219,172	)	$	(14,672	)	$	868,808	‡	$	—	$	868,809	$	—
Russia		2,870,861		—		(1,248,787	)		—		(5,573,985	)		3,973,118			1,790,509	‡		—		1,811,716		(508,280	)

181

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Balances as of February 28, 2022		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3			Balances as of February 28, 2023		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2023
Emerging Markets Fund (continued)
Common Stocks (continued)
Sri Lanka	$	—	$	—	$	—		$	—	$	—		$	—		$	258,636	‡	$	—		$	258,636	$	—
Preferred Stocks
Russia		—		—		—			—		—			—			308,267	‡		—			308,267		—
Total Investments	$	3,229,173	$	—	$	(1,373,254	)	$	—	$	(5,793,157	)	$	3,958,446		$	3,226,220		$	—		$	3,247,428	$	(508,280	)
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
Common Stocks
France	$	—	$	1,135,998	$	—		$	—	$	—		$	108,321		$	—		$	—		$	1,244,319	$	108,321
India		5,986,759		—		(3,882,186	)		—		2,071,788			(3,971,627	)		—			(204,734	)‡		—		—
Russia		911,572		—		—			—		—			(898,465	)		70,763	‡		—			83,870		(898,465	)
Investment Funds
Russia		—		—		—			—		—			—			9,610	‡		—			9,610		—
Total Investments	$	6,898,331	$	1,135,998	$	(3,882,186	)	$	—	$	2,071,788		$	(4,761,771	)	$	80,373		$	(204,734	)	$	1,337,799	$	(790,144	)
Resources Fund
Common Stocks
Russia	$	—	$	—	$	—		$	—	$	—		$	—			1,601,369	‡	$	—		$	1,601,369	$	—
United States		4,539,029		—		(4,410,991	)		—		—			(128,038	)		—			—			—		—
Preferred Stocks
Russia		—		—		—			—		—			—			407,992	‡		—			407,992		—
Rights/Warrants
Singapore		2		—		—			—		—			—			—			—			2		—
Total Investments	$	4,539,031	$	—	$	(4,410,991	)	$	—	$	—		$	(128,038	)	$	2,009,361		$	—		$	2,009,363	$	—
U.S. Small Cap Value Fund
Rights/Warrants
United States	$	36,350	$	—	$	—		$	—	$	—		$	—		$	—		$	—		$	36,350	$	—
Total Investments	$	36,350	$	—	$	—		$	—	$	—		$	—		$	—		$	—		$	36,350	$	—

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs as well as the impact of the Russian invasion of Ukraine on local and global markets, as applicable.

182

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended February 28, 2023 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 Markets ex-China Fund
Common Stock		343,885	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock (American Depositary Receipt)		11,932	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (Global Depositary Receipt)		26,753	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Preferred Stock		18,483	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Emerging Markets Fund
Common Stock		1,659,587	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock		1	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock (American Depositary Receipt)		2,461	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (Global Depositary Receipt)		149,668	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Preferred Stock		308,267	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
Common Stock		65,393	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (Global Depositary Receipt)		18,477	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Investment Fund		9,610	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Resources Fund
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		1,536,377	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (Global Depositary Receipt)		64,992	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Preferred Stock		407,992	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Warrant		2	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
U.S. Small Cap Value Fund		—	N/A	N/A	N/A

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of February 28, 2023, the value of these securities and/or derivatives for Emerging Markets Fund, Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund) and U.S. Small Cap Value Fund was $1,127,444, $1,244,319 and $36,350, 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.

183

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Foreign currency translation

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

Rights and warrants

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

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities 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.

A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, the inability to invest proceeds from the sales of such securities and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline and bears the risk of total loss with respect to the investment of collateral.

At February 28, 2023, 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		15,478,407		5,704,463		10,803,402		16,507,865
Emerging Markets Fund		3,789,662		—		4,044,292		4,044,292
Resources Fund		44,042,029		—		46,549,072		46,549,072

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

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

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.

184

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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 Equities Fund will enter into a closing agreement with the IRS. Accordingly, estimated charges related to International Equity Fund and Tax-Managed International Equities Fund’s closing agreement liabilities are presented as a reduction of Investment 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 year ended February 28, 2023, 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.

185

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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

Differences related to:

Climate Change Fund

Emerging Markets ex-China Fund

Emerging Markets Fund

Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)

International Equity Fund

Japan Value Creation Fund

Quality Cyclicals Fund

Quality Fund

Resource Transition Fund

Resources Fund

Small Cap Quality Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Opportunistic Value Fund

U.S. Small Cap Value Fund

Capital loss carryforwards

X

X

X

X

X

X

X

X

Derivative contract transactions

X

Dividend income and withholding tax reclaim reserves

X

X

X

X

X

X

X

Dividends received from underlying investments

X

X

X

X

X

EU tax reclaims, associated interest entitlements and IRS closing agreement matters

X

Foreign capital gains taxes

X

X

Foreign currency transactions

X

X

X

X

X

X

X

Losses on wash sale transactions

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Passive foreign investment company transactions

X

X

X

X

X

X

X

X

X

Post-October capital losses

X

X

X

X

X

X

Real estate investment trust transactions

X

Redemption in-kind transactions

X

X

U.S. federal tax equalization utilized

X

There are no significant differences

X

186

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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

	Tax year ended February 28, 2023						Tax year ended February 28, 2022
Fund Name	Ordinary Income (including any net short-term capital gain)  ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Climate Change Fund		12,075,146		5,946,558		18,021,704		58,947,090		24,176,606		83,123,696
Emerging Markets ex-China Fund		14,461,298		—		14,461,298		2,320,982		—		2,320,982
Emerging Markets Fund		92,265,071		—		92,265,071		99,941,507		—		99,941,507
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)		6,922,973		—		6,922,973		2,585,729		58,232,198		60,817,927
International Equity Fund		65,421,008		—		65,421,008		128,778,541		—		128,778,541
Japan Value Creation Fund		1,700,312		5,916,837		7,617,149		23,620,607		1,135,657		24,756,264
Quality Cyclicals Fund		3,135,963		9,320,117		12,456,080		23,763,294		5,405,268		29,168,562
Quality Fund		92,208,707		666,916,243		759,124,950		216,653,021		312,208,528		528,861,549
Resource Transition Fund		—		—		—		N/A		N/A		N/A
Resources Fund		185,045,976		51,283,849		236,329,825		155,301,803		27,415,353		182,717,156
Small Cap Quality Fund		7,150,586		—		7,150,586		N/A		N/A		N/A
Tax-Managed International Equities Fund		1,390,528		724,698		2,115,226		1,685,418		3,705,108		5,390,526
U.S. Equity Fund		11,550,123		16,774,864		28,324,987		26,259,224		57,927,021		84,186,245
U.S. Opportunistic Value Fund		300,214		—		300,214		N/A		N/A		N/A
U.S. Small Cap Value Fund		9,957,158		8,299,032		18,256,190		55,774,484		27,775,233		83,549,717

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, 2023, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)			Post-October Capital Losses Deferral ($)
Climate Change Fund		—		—		—		(2,818,070	)		—
Emerging Markets ex-China Fund		2,707,865		—		—		(13,036,850	)		(1,600,297	)
Emerging Markets Fund		7,265,505		—		—		(1,297,849,423	)		(16,286,704	)
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)		139,941		—		—		(124,573,395	)		(16,310,162	)
International Equity Fund		19,202,753		—		—		(898,889,462	)		(12,365,740	)
Japan Value Creation Fund		1,250,986		—		—		(3,679,991	)		(1,723,625	)
Quality Cyclicals Fund		601,342		3,186,255		—		—			—
Quality Fund		10,440,160		—		—		—			(43,083,480	)
Resource Transition Fund		182,920		—		—		—			—
Resources Fund		36,189,962		15,124,241		—		—			—

187

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)			Post-October Capital Losses Deferral ($)
Small Cap Quality Fund		2,203,813		—		—		—			—
Tax-Managed International Equities Fund		385,111		—		—		(2,758,138	)		—
U.S. Equity Fund		565,905		14,050,030		—		—			—
U.S. Opportunistic Value Fund		6,709,161		1,117		—		—			—
U.S. Small Cap Value Fund		95,452		—		—		(5,302,487	)		—

As of February 28, 2023, 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, 2023, 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		(503,543	)		(2,314,527	)
Emerging Markets ex-China Fund		(13,036,850	)		—
Emerging Markets Fund		(185,574,143	)		(1,112,275,280	)
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)		(97,432,541	)		(27,140,854	)
International Equity Fund		(800,218,525	)		(98,670,937	)
Japan Value Creation Fund		(51,479	)		(3,628,512	)
Quality Cyclicals Fund		—			—
Quality Fund		—			—
Resource Transition Fund		—			—
Resources Fund		—			—
Small Cap Quality Fund		—			—
Tax-Managed International Equities Fund		(2,758,138	)		—
U.S. Equity Fund		—			—
U.S. Opportunistic Value Fund		—			—
U.S. Small Cap Value Fund		(5,302,487	)		—

188

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

As of February 28, 2023, 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		954,064,966		75,007,788		(90,678,838	)		(15,671,050	)		—
Emerging Markets ex-China Fund		369,833,240		8,530,777		(116,622,667	)		(108,091,890	)		—
Emerging Markets Fund		1,415,064,934		28,272,824		(590,923,148	)		(562,650,324	)		—
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)		158,940,086		4,253,808		(41,845,625	)		(37,591,817	)		—
International Equity Fund		1,397,143,369		93,277,696		(144,664,598	)		(51,386,902	)		—
Japan Value Creation Fund		128,764,846		2,881,288		(21,173,055	)		(18,291,767	)		—
Quality Cyclicals Fund		57,695,279		17,016,531		(4,751,337	)		12,265,194			—
Quality Fund		4,386,694,055		2,583,731,558		(187,746,772	)		2,395,984,786			—
Resource Transition Fund		484,957,360		3,383,868		(28,358,151	)		(24,974,283	)		—
Resources Fund		1,876,676,731		326,637,610		(401,515,086	)		(74,877,476	)		—
Small Cap Quality Fund		53,992,737		10,561,186		(20,367	)		10,540,819			—
Tax-Managed International Equities Fund		28,290,294		3,660,428		(802,135	)		2,858,293			—
U.S. Equity Fund		240,035,123		17,184,416		(13,505,774	)		3,678,642			—
U.S. Opportunistic Value Fund		283,960,875		8,941,879		(13,220,295	)		(4,278,416	)		—
U.S. Small Cap Value Fund		29,515,730		3,952,929		(3,918,585	)		34,344			—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of February 28, 2023, 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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February 28, 2023

During the year ended February 28, 2023, the Funds did not recognize dividends or foreign withholding on local Russian shares, if any, due to restrictions imposed by the Russian government on dividend payments received by foreign shareholders like the Funds. At this time, no assurance can be given regarding the future payment of outstanding dividends by Russian issuers, the time period during which such Russia’s restrictions will remain in place or on the future ability of foreign shareholders to claim or otherwise gain control over or access to dividends paid.

Expenses and class allocations

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

Custodian, Fund Accounting Agent and Transfer Agent

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

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund directly or indirectly (e.g., through investments in underlying funds) as a result of an investor’s purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and redemption fee or 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 February 28, 2023, 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.

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February 28, 2023

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.
Emerging Markets Select Equity Fund (formerly 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.
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 0.37% of the Fund’s total net assets as of February 28, 2023, though in recognition of the potential liability, a portion of that amount is included as a Miscellaneous payable within the Statements of Assets and Liabilities. The effect of this claim on the value of the restricted assets, and all matters relating to EMF’s response to these allegations, are subject to the supervision and control of GMO Trust’s Board of Trustees. Any costs in respect of this matter will be borne by EMF.

Recently-issued accounting guidance

In June 2022, the Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update 2022-03, “Fair Value Measurement (Topic 820) – Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions” (“ASU 2022-03”). The amendments in ASU 2022-03 apply to all entities that have investments in equity securities measured at fair value that are subject to a contractual sale restriction. The amendments in ASU 2022-03 clarify guidance for fair value measurement of an equity security subject to a contractual sale restriction and establish new disclosure requirements for such equity securities. The amendments in ASU 2022-03 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023 with early adoption permitted. GMO is currently evaluating the impact, if any, of the new disclosure requirements on the financial statements.

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February 28, 2023

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 Markets ex-China Fund

Emerging Markets Fund

Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)

International Equity Fund

Japan Value Creation Fund

Quality Cyclicals Fund

Quality Fund

Resource Transition Fund

Resources Fund

Small Cap Quality Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Opportunistic Value Fund

U.S. Small Cap Value Fund

Market Risk – Equities

X

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Commodities Risk

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

X

X

Illiquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Smaller Company Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Derivatives and Short Sales Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Fund of Funds Risk

X

X

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Event-Driven Risk

X

X

X

X

X

X

Credit Risk

X

Non-Diversified Funds

X

X

X

X

X

X

X

192

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Notes to Financial Statements — (Continued)

February 28, 2023

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 possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds or other investment companies (collectively, “Underlying Funds”) are 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 and indirectly by the Fund.

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.

• MARKET RISK — EQUITIES. The market price of an equity may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. 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. Cyclical equities may include investments in companies in any industry, including industries generally thought of as cyclical (e.g., consumer discretionary, financials, energy, real estate, materials and industrials) and industries not typically viewed as cyclical (e.g., healthcare, technology). If a Fund purchases an equity for 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. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results. For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may 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. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Funds or impair Fund operations.

• FOCUSED INVESTMENT RISK. Investments focused in countries, regions, asset classes, sectors, industries, currencies or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated. A Fund that invests in the securities of a limited number of issuers has greater exposure to a decline in the market price of a particular security held by the Fund than if the Fund invested in the securities of a larger number of issuers.

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

193

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

to companies that own fossil fuel reserves or that focus on oil and gas exploration and production may have an adverse effect on Fund performance relative to a fund that invested more broadly across the natural resources sector. Because the Fund invests primarily in the resource transition sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner.

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities (particularly of companies tied economically to emerging countries) fluctuate more than those of U.S. securities. Many non-U.S. securities markets (particularly emerging markets) are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in 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. In addition, a Fund may be subject to non-U.S. taxes, 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. Also, the Funds need a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, 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. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of a Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities, and often are more volatile than the economies of developed countries.

• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size or legal restrictions may limit or prevent a Fund or an underlying fund from selling particular securities or closing derivative positions at desirable prices.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations 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 DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) may disrupt securities markets and adversely affect particular economies and markets as well as global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Funds’ investments.

Russia’s invasion of Ukraine beginning in February 2022 has had, and could continue to have, severe adverse effects on regional and global economic markets for securities and commodities. For example, in response to Russia’s actions, various governments, including the United States, issued a series of broad-ranging economic sanctions against Russia that, among other things (i) prohibit doing business with certain Russian companies, financial institutions and individuals (e.g., officials); (ii) the removal of Russian banks from the Society for Worldwide Interbank Financial Telecommunications (commonly referred to as “SWIFT”), the electronic banking network that connects banks globally; and (iii) restrict the Russian Central Bank from undermining the impact of the sanctions. In retaliation for the sanctions and other actions by the U.S. and other countries, Russia has imposed strict capital controls limiting the ability of foreigners to trade on the Moscow Stock Exchange and to sell, receive or deliver assets held in the custody of local Russian banks (such as equities of Russian companies and Rubles). These actions by the United States and other countries have adversely affected (and similar actions in the future could adversely affect) the Russian economy and the value and liquidity of Russian securities. In particular, where a Fund holds securities of a Russian issuer that is subject to blocking sanctions imposed by the U.S. Department of the Treasury’s Office of Foreign Assets Control, those securities will be frozen and consequently unable to be sold

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February 28, 2023

or transferred. Moreover, the Russia/Ukraine conflict and related actions (such as those described above) have, and could continue to have, an adverse effect on global markets and liquidity, thereby negatively affecting the value of a Fund’s investments beyond any direct exposure to Russian issuers.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. 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 index or underlying securities. A Fund may create short investment exposure by selling securities short or 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. The risks of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s margin or collateral or otherwise honor its obligations.

• LEVERAGING RISK. The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, a Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by a Fund and the time the Fund liquidates assets to meet that request.

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests (including ETFs), including the risk that those underlying funds will not perform as expected. Because a Fund bears the fees and expenses of the underlying funds in which it invests, an increase in fees and expenses of an underlying fund or a reallocation of the Fund’s investments to underlying funds with higher fees or expenses will increase the Fund’s total expenses.

• LARGE SHAREHOLDER RISK. To the extent that 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 that shareholder or group of all or a large portion of their Fund shares will require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• EVENT-DRIVEN RISK. If a Fund purchases securities in anticipation of a proposed merger, acquisition, exchange offer, tender offer, or other similar transaction and that transaction 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) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. Event-driven strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated.

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such failure. In addition, investments in emerging country sovereign or quasi-sovereign debt involve a heightened risk that the issuer responsible for repayment of the debt may be unable or unwilling to pay interest and repay principal when due, and a Fund may lack recourse against the issuer in the event of default. Investments in quasi-sovereign debt also are subject to the risk that the issuer will default independently of its sovereign. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments.

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February 28, 2023

• NON-DIVERSIFIED FUNDS. The following Funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market price of a particular security held by the Funds may affect the Funds’ performance more than if the Funds were a diversified investment company.

• Emerging Markets ex-China Fund

• Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)

• Japan Value Creation Fund

• Quality Cyclicals Fund

• Quality Fund

• Resource Transition Fund

• Small Cap Quality Fund

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 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.

196

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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

For Funds that held derivatives during the year ended February 28, 2023, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Emerging Markets Fund

Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities 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

Futures contracts

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

****

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.

197

GMO Trust Funds

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February 28, 2023

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2023 and the Statements of Operations for the year ended February 28, 2023^:

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 Markets Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(1,021,894	)
Total	$	(1,021,894	)
Net Realized Gain (Loss) on
Futures Contracts	$	(34,669,130	)
Total	$	(34,669,130	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	4,470,024
Total	$	4,470,024
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
Net Realized Gain (Loss) on
Futures Contracts	$	(1,774,049	)
Total	$	(1,774,049	)
International Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(352,111	)
Total	$	(352,111	)
Net Realized Gain (Loss) on
Futures Contracts	$	(2,353,493	)
Total	$	(2,353,493	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(352,111	)
Total	$	(352,111	)
Tax-Managed International Equities Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	2,645
Total	$	2,645
Net Realized Gain (Loss) on
Futures Contracts	$	(79,891	)
Total	$	(79,891	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	16,918
Total	$	16,918

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February 28, 2023

	Equity
	Contracts
U.S. Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	49,914
Total	$	49,914
Net Realized Gain (Loss) on
Futures Contracts	$	(655,705	)
Total	$	(655,705	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	376,842
Total	$	376,842
U.S. Small Cap Value Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	14,011
Total	$	14,011
Net Realized Gain (Loss) on
Futures Contracts	$	(552,891	)
Total	$	(552,891	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	14,011
Total	$	14,011

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

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

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities. 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. 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. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at February 28, 2023, if any.

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February 28, 2023

The average derivative activity of notional amounts (futures contracts), based on absolute values, at each month-end, was as follows for the year ended February 28, 2023:

Fund Name	Futures Contracts ($)
Emerging Markets Fund		121,253,994
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)		2,067,420
International Equity Fund		13,864,240
Tax-Managed International Equities Fund		377,475
U.S. Equity Fund		4,839,358
U.S. Small Cap Value Fund		2,041,687

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 Markets ex-China Fund			Emerging Markets Fund			Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)			International Equity Fund			Japan Value Creation Fund			Quality Cyclicals Fund			Quality Fund			Resource Transition Fund			Resources Fund			Small Cap Quality Fund			Tax-Managed International Equities Fund			U.S. Equity Fund			U.S. Opportunistic Value Fund			U.S. Small Cap Value Fund
Management Fee		0.60	%(a)		0.55	%		0.65	%(b)		0.55	%(c)		0.50	%		0.50	%		0.33	%		0.33	%		0.80	%		0.50	%		0.60	%		0.50	%		0.31	%		0.31	%		0.31	%

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

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

^(c)  Prior to October 26, 2022, Emerging Markets Select Equity Fund’s (formerly Emerging Domestic Opportunities Fund) management fee was 0.75%.

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GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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 Markets ex-China 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	%
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities 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					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	%
Resource Transition Fund					0.15	%*		0.10	%*		0.085	%*		0.055	%		0.15	%*		0.15	%*
Resources Fund					0.15	%		0.10	%		0.085	%*		0.055	%		0.15	%		0.15	%
Small Cap Quality 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. Opportunistic Value Fund					0.15	%		0.10	%		0.085	%*		0.055	%		0.15	%*		0.15	%
U.S. Small Cap Value Fund					0.15	%*		0.10	%*		0.085	%*		0.055	%		0.15	%*		0.15	%*

* Class is offered but has no shareholders as of February 28, 2023.

Prior to June 30, 2022, GMO contractually agreed to reimburse Emerging Markets Fund, Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund), International Equity Fund, Japan Value Creation Fund, Quality Cyclicals Fund, Tax-Managed International Equities Fund, and U.S. Equity Fund for “Specified Operating Expenses” (as defined below). For U.S. Opportunistic Value Fund and for the period starting June 30, 2022 for International Equity Fund, Japan Value Creation Fund, Quality Cyclicals Fund, Tax-Managed International Equities Fund, and U.S. Equity Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.01% of the Fund’s average daily net assets. 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 Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund) (for the period prior to October 26, 2022), “Specified Operating Expenses” only includes custody expenses to the extent that they exceed 0.10% of the Fund’s average daily net assets.

For Climate Change Fund (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 above) that exceeds 0.10% of the Fund’s average daily net assets. 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 annualized rate of 0.10% per year or any lower expense limit in effect when GMO seeks to

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February 28, 2023

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. Any such recovery will not cause a Fund to exceed the annual limitation rate set forth above or any lower expense limit in effect when GMO seeks to recover the expenses.

With respect to Climate Change Fund (for the period starting September 25, 2018), Emerging Markets ex-China Fund, Quality Fund (for the period starting June 30, 2022), Emerging Markets Select Equity (for the period starting October 26, 2022), Resource Transition Fund and Small Cap Quality Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse each 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 (each, an “Expense Cap”). The Expense Cap for Climate Change Fund is 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. The Expense Cap for Emerging Markets ex-China Fund is 0.85% for Class II shares; 0.80% for Class III shares; 0.75%for Class IV shares; 0.70% for Class V shares; 0.67% for Class VI shares; 0.85% for Class R6 shares; and 0.85% for Class I shares. The Expense Cap for Quality Fund is 0.49% for Class III shares; 0.445% for Class IV shares; 0.425% for Class V shares; 0.395% for Class VI shares; 0.48% for Class R6 shares; and 0.48% for Class I shares. The Expense Cap for Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund) is 0.75% for Class II shares; 0.70% for Class III shares; 0.65% for Class IV shares; 0.635% for Class V shares; 0.605% for Class VI shares; 0.75% for Class R6 shares; and 0.75% for Class I shares. The Expense Cap for Resource Transition Fund is 0.95% for Class III shares; 0.90% for Class IV shares; 0.885% for Class V shares; 0.855% for Class VI shares; 0.95% for Class R6 shares; and 0.95% for Class I shares. The Expense Cap for Small Cap Quality Fund is 0.75% for Class III shares; 0.70% for Class IV shares; 0.685% for Class V shares; 0.655% for Class VI shares; 0.75% for Class R6 shares; and 0.75% for Class I shares. Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (“Excluded Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from Emerging Markets ex-China Fund, Climate Change Fund (for the period starting September 25, 2018), and Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund) (for the period starting October 26, 2022), on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap or any 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. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses.

For the year ended February 28, 2023, GMO did not recoup any previously recorded waivers and/or reimbursements.

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February 28, 2023

On February 28, 2023, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 29, 2024		Expiring the year ending February 28, 2025			Expiring the year ending February 28, 2026
Climate Change Fund, Class III	$	168,599	$	105,427		$	138,441
Climate Change Fund, Class R6	$	31,954	$	37,789		$	65,464
Climate Change Fund, Class I	$	23,165	$	84,286		$	172,425
Emerging Markets ex-China Fund, Class III		—	$	1,152		$	12,927
Emerging Markets ex-China Fund, Class VI		—	$	240,690		$	312,667
Emerging Markets ex-China Fund, Class I		—	$	0	*	$	0	*
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund), Class II		—		—		$	107,572
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund), Class V		—		—		$	5,863
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund), Class I		—		—		$	5,659

* Amount is less than $1.

For each Fund that pays GMO a management fee and shareholder service fee, 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 fees and shareholder service fees 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.

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% for 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, 2023 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) except Small Cap Quality Fund, Emerging Markets Fund (for the period prior to January 27, 2020) and Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund) (for the period prior to January 27, 2020) 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 Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund) (for the period prior to October 26, 2022) 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.

For Small Cap Quality Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares for the amounts paid by the Fund out of the net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to Class I shareholders. This reimbursement will continue through at least October 1, 2023 and may not be terminated prior to this date without the action or consent of the Trust’s Board of Trustees.

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February 28, 2023

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.

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2023 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)
Climate Change Fund		38,299
Emerging Markets ex-China Fund		10,273
Emerging Markets Fund		74,926
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)		19,855
International Equity Fund		74,379
Japan Value Creation Fund		6,146
Quality Cyclicals Fund		5,275
Quality Fund		342,242
Resource Transition Fund		434
Resources Fund		107,950
Small Cap Quality Fund		1,445
Tax-Managed International Equities Fund		1,735
U.S. Equity Fund		19,274
U.S. Opportunistic Value Fund		1,688
U.S. Small Cap Value Fund		8,420

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2023, 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 other GMO Trust 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 or to another GMO Trust fund complies with rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2023, Japan Value Creation Fund engaged in cross trade purchases in the amount of $8,936,387.

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February 28, 2023

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2023 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		—		1,248,348,793		—		1,073,578,109
Emerging Markets ex-China Fund		—		418,104,183		—		388,488,242
Emerging Markets Fund		—		1,928,789,103		5,363,442		2,532,915,074
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)		—		473,265,013		—		940,001,216
International Equity Fund		44,957,551		875,620,053		40,943,511		1,322,330,149
Japan Value Creation Fund		—		48,232,418		—		78,790,604
Quality Cyclicals Fund		—		30,770,739		—		94,348,969
Quality Fund		39,998,092		1,702,527,450		39,959,902		2,669,092,629
Resource Transition Fund		—		494,925,156		—		10,500,000
Resources Fund		—		1,590,035,503		—		1,855,761,340
Small Cap Quality Fund		—		110,503,998		—		66,013,669
Tax-Managed International Equities Fund		—		50,806,541		—		48,377,150
U.S. Equity Fund		—		346,140,485		—		554,279,139
U.S. Opportunistic Value Fund		—		482,935,948		—		204,581,647
U.S. Small Cap Value Fund		—		103,445,379		—		300,199,369

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the year ended February 28, 2023. In-kind purchases and sales of securities, including short-term investments, if any, and net realized gains/(losses) attributed to redemption in-kind transactions, if any, are noted in the table below:

Fund Name	In-Kind Purchases ($)			In-Kind Sales ($)			Net realized gains/(losses) attributed to redemption in-kind transactions ($)
Quality Fund		—			97,279,466	**		42,108,472
Resource Transition Fund		262,495,845	*		—			—
Resources Fund		—			262,495,845	**		91,712,369

* The purchase in-kind was made by an affiliate.

** The redemption in-kind was redeemed by an affiliate.

7. Guarantees

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

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February 28, 2023

8. Principal shareholders as of February 28, 2023

				Percentage of
				outstanding shares of
	Number of			the Fund held by those
	shareholders that held			shareholders owning
	more than 10% of the			greater than 10% of the
	outstanding shares of			outstanding shares of
Fund Name	the Fund			the Fund
Climate Change Fund		2			27.34	%
Emerging Markets ex-China Fund*		3	#		61.64	%
Emerging Markets Fund*		2	‡		42.48	%
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)*		4			72.14	%
International Equity Fund		4	§		76.01	%
Japan Value Creation Fund		4	§		65.98	%
Quality Cyclicals Fund		3	#		79.58	%
Quality Fund		—			—
Resource Transition Fund		1			100.00	%
Resources Fund		1			22.24	%
Small Cap Quality Fund		4	§		84.23	%
Tax-Managed International Equities Fund		1			88.05	%
U.S. Equity Fund		3	‡		78.64	%
U.S. Opportunistic Value Fund		3	‡		66.90	%
U.S. Small Cap Value Fund		3	#		93.17	%

* The Fund’s outstanding shares were owned by 10 or more shareholders as of February 28, 2023.

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

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

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

9. Share transactions

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

	Year Ended						Year Ended
	February 28, 2023						February 28, 2022
	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:
Shares sold		2,293,579		$	63,698,181			4,396,243		$	149,142,682
Shares issued to shareholders in reinvestment of distributions		270,003			6,770,829			1,249,982			39,118,226
Shares repurchased		(1,296,895	)		(36,085,920	)		(672,638	)		(22,509,032	)
Net increase (decrease)		1,266,687		$	34,383,090			4,973,587		$	165,751,876
Class R6:
Shares sold		2,750,968		$	77,763,896			1,285,070		$	39,436,952
Shares issued to shareholders in reinvestment of distributions		119,945			3,035,164			432,217			13,530,454
Shares repurchased		(335,884	)		(9,419,582	)		(88,861	)		(2,777,808	)
Net increase (decrease)		2,535,029		$	71,379,478			1,628,426		$	50,189,598

206

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Year Ended						Year Ended
	February 28, 2023						February 28, 2022
	Shares			Amount			Shares			Amount
Climate Change Fund (continued)
Class I:
Shares sold		8,677,070		$	250,563,272			7,873,871		$	255,196,026
Shares issued to shareholders in reinvestment of distributions		306,421			7,654,596			906,464			28,189,754
Shares repurchased		(4,649,309	)		(124,996,444	)		(1,437,226	)		(47,399,923	)
Net increase (decrease)		4,334,182		$	133,221,424			7,343,109		$	235,985,857
Emerging Markets ex-China Fund
Class III:(a)
Shares sold		1,226,028		$	16,900,000			897,980		$	16,532,557
Shares issued to shareholders in reinvestment of distributions		58,596			759,928			1,172			23,270
Shares repurchased		(31,508	)		(420,000	)		(9,824	)		(190,000	)
Net increase (decrease)		1,253,116		$	17,239,928			889,328		$	16,365,827
Class VI:(b)
Shares sold		7,082,596		$	99,117,301			17,827,432		$	355,913,395
Shares issued to shareholders in reinvestment of distributions		1,038,893			13,467,979			115,695			2,297,709
Shares repurchased		(8,104,086	)		(111,115,582	)		(994,450	)		(18,359,868	)
Net increase (decrease)		17,403		$	1,469,698			16,948,677		$	339,851,236
Class I:(c)
Shares sold		—		$	—			26		$	500
Shares issued to shareholders in reinvestment of distributions		1			15			—			3
Net increase (decrease)		1		$	15			26		$	503
Emerging Markets Fund
Class II:
Shares sold		1,277,650		$	30,440,000			2,606,322		$	88,755,053
Shares issued to shareholders in reinvestment of distributions		291,417			6,477,785			206,838			7,025,529
Shares repurchased		(3,438,032	)		(84,610,630	)		(1,960,353	)		(71,639,850	)
Net increase (decrease)		(1,868,965	)	$	(47,692,845	)		852,807		$	24,140,732
Class III:
Shares sold		390,168		$	10,000,000			90,991		$	3,125,000
Shares issued to shareholders in reinvestment of distributions		162,785			3,655,845			200,077			6,847,588
Shares repurchased		(9,483,449	)		(214,652,448	)		(4,992,075	)		(176,344,146	)
Net increase (decrease)		(8,930,496	)	$	(200,996,603	)		(4,701,007	)	$	(166,371,558	)
Class V:(d)
Shares repurchased		—		$	—			(8,449,876	)	$	(315,869,299	)
Net increase (decrease)		—		$	—			(8,449,876	)	$	(315,869,299	)
Class VI:
Shares sold		5,482,286		$	139,068,333			13,464,812		$	499,344,486
Shares issued to shareholders in reinvestment of distributions		2,643,339			58,261,285			1,923,723			64,976,185
Shares repurchased		(22,625,062	)		(523,227,468	)		(22,366,927	)		(813,771,305	)
Net increase (decrease)		(14,499,437	)	$	(325,897,850	)		(6,978,392	)	$	(249,450,634	)

207

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Year Ended						Year Ended
	February 28, 2023						February 28, 2022
	Shares			Amount			Shares			Amount
Emerging Markets Fund (continued)
Class R6:
Shares sold		330,449		$	8,182,854			253,043		$	9,226,510
Shares issued to shareholders in reinvestment of distributions		67,172			1,501,438			57,004			1,932,218
Shares repurchased		(1,242,779	)		(28,551,548	)		(150,830	)		(5,473,092	)
Net increase (decrease)		(845,158	)	$	(18,867,256	)		159,217		$	5,685,636
Class I:
Shares sold		4,488,230		$	101,205,649			2,589,594		$	93,382,590
Shares issued to shareholders in reinvestment of distributions		305,559			6,768,479			158,470			5,361,706
Shares repurchased		(4,854,907	)		(109,001,214	)		(892,702	)		(30,798,776	)
Net increase (decrease)		(61,118	)	$	(1,027,086	)		1,855,362		$	67,945,520
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
Class II:
Shares sold		70,922		$	1,500,000			407,827		$	10,609,510
Shares issued to shareholders in reinvestment of distributions		160,512			2,821,893			833,460			19,536,789
Shares repurchased		(4,777,771	)		(89,467,536	)		(1,571,408	)		(40,569,449	)
Net increase (decrease)		(4,546,337	)	$	(85,145,643	)		(330,121	)	$	(10,423,150	)
Class V:
Shares sold		1,879,699		$	40,000,000			1,027,838		$	24,000,001
Shares issued to shareholders in reinvestment of distributions		193,914			3,512,029			1,710,648			40,195,448
Shares repurchased		(24,921,887	)		(457,973,195	)		(4,735,609	)		(126,692,942	)
Net increase (decrease)		(22,848,274	)	$	(414,461,166	)		(1,997,123	)	$	(62,497,493	)
Class I:
Shares sold		50,310		$	943,106			205,682		$	5,688,566
Shares issued to shareholders in reinvestment of distributions		10,306			181,455			44,186			1,037,354
Shares repurchased		(257,747	)		(4,450,531	)		(393,002	)		(10,368,048	)
Net increase (decrease)		(197,131	)	$	(3,325,970	)		(143,134	)	$	(3,642,128	)
International Equity Fund
Class II:
Shares sold		—		$	—			67		$	1,543
Shares issued to shareholders in reinvestment of distributions		3,425			69,812			6,894			160,857
Shares repurchased		(34,224	)		(706,423	)		(328	)		(7,990	)
Net increase (decrease)		(30,799	)	$	(636,611	)		6,633		$	154,410
Class III:
Shares sold		2,704,405		$	57,352,993			902,391		$	22,300,898
Shares issued to shareholders in reinvestment of distributions		652,563			13,506,456			1,036,029			24,543,676
Shares repurchased		(2,014,765	)		(41,365,309	)		(4,491,351	)		(111,707,638	)
Net increase (decrease)		1,342,203		$	29,494,140			(2,552,931	)	$	(64,863,064	)

208

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Year Ended						Year Ended
	February 28, 2023						February 28, 2022
	Shares			Amount			Shares			Amount
International Equity Fund (continued)
Class IV:
Shares sold		2,432,877		$	47,902,468			6,293,011		$	158,848,803
Shares issued to shareholders in reinvestment of distributions		2,465,511			50,894,941			4,392,308			103,725,041
Shares repurchased		(29,069,183	)		(625,692,598	)		(19,692,831	)		(483,373,679	)
Net increase (decrease)		(24,170,795	)	$	(526,895,189	)		(9,007,512	)	$	(220,799,835	)
Class I:(e)
Shares sold		—		$	—			130,919		$	3,300,485
Shares issued to shareholders in reinvestment of distributions		5,087			105,835			6,199			143,501
Shares repurchased		(6,920	)		(155,015	)		(6,198	)		(143,480	)
Net increase (decrease)		(1,833	)	$	(49,180	)		130,920		$	3,300,506
Japan Value Creation Fund
Class III:(f)
Shares sold		619,507		$	11,000,000			1,201,005		$	23,595,006
Shares issued to shareholders in reinvestment of distributions		86,864			1,377,552			—			—
Shares repurchased		(436,366	)		(8,137,284	)		—			—
Net increase (decrease)		270,005		$	4,240,268			1,201,005		$	23,595,006
Class VI:
Shares sold		959,693		$	15,667,481			711,481	(g)	$	16,519,323	(g)
Shares issued to shareholders in reinvestment of distributions		384,538			6,098,598			1,165,547			24,281,578
Shares repurchased		(3,282,287	)		(55,622,608	)		(2,110,286	)		(45,245,731	)
Net increase (decrease)		(1,938,056	)	$	(33,856,529	)		(233,258	)	$	(4,444,830	)
Class I:(h)
Shares sold		50,299		$	859,951			150,076		$	3,372,125
Shares issued to shareholders in reinvestment of distributions		7,979			126,318			14,815			306,209
Shares repurchased		(124,158	)		(2,050,229	)		(7,083	)		(143,012	)
Net increase (decrease)		(65,880	)	$	(1,063,960	)		157,808		$	3,535,322
Quality Cyclicals Fund
Class VI:
Shares sold		67,181		$	1,423,995			4,504		$	133,246
Shares issued to shareholders in reinvestment of distributions		603,708			12,448,036			1,088,936			29,159,128
Shares repurchased		(2,996,166	)		(68,150,996	)		(489,406	)		(15,000,655	)
Net increase (decrease)		(2,325,277	)	$	(54,278,965	)		604,034		$	14,291,719
Class I:(i)
Shares sold		—		$	—			3,162		$	89,975
Shares issued to shareholders in reinvestment of distributions		390			8,044			380			9,434
Shares repurchased		(390	)		(8,044	)		(380	)		(9,434	)
Net increase (decrease)		—		$	—			3,162		$	89,975

209

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Year Ended						Year Ended
	February 28, 2023						February 28, 2022
	Shares			Amount			Shares			Amount
Quality Fund
Class III:
Shares sold		29,027,931		$	707,656,996			10,762,535		$	311,185,638
Shares issued to shareholders in reinvestment of distributions		10,035,515			241,386,991			6,211,089			184,230,822
Shares repurchased		(24,430,061	)		(628,377,759	)		(45,655,713	)		(1,352,856,414	)
Net increase (decrease)		14,633,385		$	320,666,228			(28,682,089	)	$	(857,439,954	)
Class IV:
Shares sold		8,731,142		$	219,481,613			24,890,734		$	743,002,525
Shares issued to shareholders in reinvestment of distributions		3,610,473			87,058,631			1,698,410			50,525,221
Shares repurchased		(27,218,142	)		(660,313,180	)		(22,990,583	)		(681,793,126	)
Net increase (decrease)		(14,876,527	)	$	(353,772,936	)		3,598,561		$	111,734,620
Class VI:
Shares sold		16,844,643		$	424,865,852			33,411,262		$	985,954,280
Shares issued to shareholders in reinvestment of distributions		11,765,228			282,951,395			7,098,478			210,592,163
Shares repurchased		(58,380,318	)(j)		(1,473,456,086	)(j)		(12,013,379	)		(356,648,291	)
Net increase (decrease)		(29,770,447	)	$	(765,638,839	)		28,496,361		$	839,898,152
Class R6:
Shares sold		17,754,787		$	434,999,443			6,146,062		$	180,898,983
Shares issued to shareholders in reinvestment of distributions		2,148,260			51,549,418			827,128			24,514,251
Shares repurchased		(5,557,361	)		(139,787,047	)		(1,596,874	)		(47,414,894	)
Net increase (decrease)		14,345,686		$	346,761,814			5,376,316		$	157,998,340
Class I:
Shares sold		7,697,744		$	194,255,441			7,086,571		$	206,735,852
Shares issued to shareholders in reinvestment of distributions		1,845,669			44,276,266			803,359			23,785,537
Shares repurchased		(6,232,234	)		(154,702,220	)		(2,376,575	)		(69,883,916	)
Net increase (decrease)		3,311,179		$	83,829,487			5,513,355		$	160,637,473
Resource Transition Fund
Class VI:(k)
Shares sold		24,250,000	(l)	$	485,000,000	(l)
Net increase (decrease)		24,250,000		$	485,000,000
Resources Fund
Class III:
Shares sold		5,838,113		$	150,228,136			8,981,611		$	257,064,425
Shares issued to shareholders in reinvestment of distributions		977,612			23,410,659			1,052,726			29,016,330
Shares repurchased		(2,393,374	)		(62,777,402	)		(5,062,843	)		(147,877,164	)
Net increase (decrease)		4,422,351		$	110,861,393			4,971,494		$	138,203,591

210

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Year Ended						Year Ended
	February 28, 2023						February 28, 2022
	Shares			Amount			Shares			Amount
Resources Fund (continued)
Class IV:
Shares sold		4,970,697		$	138,669,163			20,735,965		$	604,670,278
Shares issued to shareholders in reinvestment of distributions		1,402,172			33,474,027			3,423,141			94,223,444
Shares repurchased		(6,146,566	)		(158,835,193	)		(29,760,042	)		(866,303,735	)
Net increase (decrease)		226,303		$	13,307,997			(5,600,936	)	$	(167,410,013	)
Class VI:(m)
Shares sold		5,144,338		$	137,190,816			29,775,768		$	866,735,067
Shares issued to shareholders in reinvestment of distributions		3,298,787			78,893,459			—			—
Shares repurchased		(35,579,492	)(n)		(949,952,489	)(n)		—			—
Net increase (decrease)		(27,136,367	)	$	(733,868,214	)		29,775,768		$	866,735,067
Class R6:
Shares sold		10,952,827		$	284,224,101			3,927,986		$	112,964,982
Shares issued to shareholders in reinvestment of distributions		525,919			12,572,025			121,620			3,313,878
Shares repurchased		(2,566,399	)		(67,345,487	)		(439,984	)		(12,570,805	)
Net increase (decrease)		8,912,347		$	229,450,639			3,609,622		$	103,708,055
Class I:
Shares sold		14,656,338		$	394,486,306			12,802,341		$	367,878,139
Shares issued to shareholders in reinvestment of distributions		1,436,534			34,315,888			942,416			25,987,421
Shares repurchased		(9,009,983	)		(232,952,111	)		(4,708,721	)		(135,872,354	)
Net increase (decrease)		7,082,889		$	195,850,083			9,036,036		$	257,993,206
Small Cap Quality Fund
Class III:(o)
Shares sold		579,284		$	13,713,763
Shares issued to shareholders in reinvestment of distributions		48,771			1,078,895
Shares repurchased		(22,604	)		(500,000	)
Net increase (decrease)		605,451		$	14,292,658
Class VI:(p)
Shares sold		4,834,315		$	95,350,175
Shares issued to shareholders in reinvestment of distributions		274,277			6,070,048
Shares repurchased		(2,778,035	)		(63,501,222	)
Net increase (decrease)		2,330,557		$	37,919,001
Class I:(o)
Shares sold		871		$	20,000
Shares issued to shareholders in reinvestment of distributions		74			1,643
Net increase (decrease)		945		$	21,643

211

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Year Ended						Year Ended
	February 28, 2023						February 28, 2022
	Shares			Amount			Shares			Amount
Tax-Managed International Equities Fund
Class III:
Shares sold		1,278,438		$	17,610,421			18,656		$	275,619
Shares issued to shareholders in reinvestment of distributions		19,213			234,924			63,193			910,792
Shares repurchased		(1,189,473	)		(14,788,808	)		(297,762	)		(5,014,362	)
Net increase (decrease)		108,178		$	3,056,537			(215,913	)	$	(3,827,951	)
U.S. Equity Fund
Class III:
Shares sold		780,199		$	9,542,163			—		$	—
Shares issued to shareholders in reinvestment of distributions		434,605			5,152,616			1,201,808			17,671,434
Shares repurchased		(3,111,887	)		(38,988,204	)		(2,649,751	)		(42,595,783	)
Net increase (decrease)		(1,897,083	)	$	(24,293,425	)		(1,447,943	)	$	(24,924,349	)
Class VI:
Shares sold		3,361,946		$	42,023,521			11,888,253		$	185,874,969
Shares issued to shareholders in reinvestment of distributions		1,952,253			22,833,817			4,617,810			66,354,537
Shares repurchased		(18,043,098	)		(224,143,636	)		(5,260,335	)		(80,794,845	)
Net increase (decrease)		(12,728,899	)	$	(159,286,298	)		11,245,728		$	171,434,661
U.S. Opportunistic Value Fund
Class III:(q)
Shares sold		475		$	10,000
Net increase (decrease)		475		$	10,000
Class IV:(q)
Shares sold		3,108,685		$	65,500,000
Net increase (decrease)		3,108,685		$	65,500,000
Class VI:(r)
Shares sold		15,518,520		$	308,964,640
Shares issued to shareholders in reinvestment of distributions		15,792			300,214
Shares repurchased		(4,854,860	)		(98,745,000	)
Net increase (decrease)		10,679,452		$	210,519,854
Class I:(q)
Shares sold		237		$	5,000
Net increase (decrease)		237		$	5,000

212

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Year Ended						Year Ended
	February 28, 2023						February 28, 2022
	Shares			Amount			Shares			Amount
U.S. Small Cap Value Fund
Class VI:
Shares sold		434,736		$	7,112,560			119,271		$	3,183,172
Shares issued to shareholders in reinvestment of distributions		1,174,542			18,256,190			4,036,257			83,549,717
Shares repurchased		(12,753,368	)		(205,859,000	)		(6,207,447	)		(170,880,206	)
Net increase (decrease)		(11,144,090	)	$	(180,490,250	)		(2,051,919	)	$	(84,147,317	)

^(a)  The period under the heading “Year Ended February 28, 2022” represents the period from November 17, 2021 (commencement of operations) through February 28, 2022.

^(b)  The period under the heading “Year Ended February 28, 2022” represents the period from October 18, 2021 (commencement of operations) through February 28, 2022.

^(c)  The period under the heading “Year Ended February 28, 2022” represents the period from December 1, 2021 (commencement of operations) through February 28, 2022.

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

^(e)  The period under the heading “Year Ended February 28, 2022” represents the period from May 24, 2021 (commencement of operations) through February 28, 2022.

^(f)  The period under the heading “Year Ended February 28, 2022” represents the period from December 30, 2021 (commencement of operations) through February 28, 2022.

^(g)  343,975 shares and $5,174,438 were purchased in-kind.

^(h)  The period under the heading “Year Ended February 28, 2022” represents the period from June 7, 2021 (commencement of operations) through February 28, 2022.

⁽ⁱ⁾  The period under the heading “Year Ended February 28, 2022” represents the period from July 16, 2021 (commencement of operations) through February 28, 2022.

^(j)  4,031,474 shares and $97,279,466 were redeemed in-kind by an affiliate.

^(k)  The period under the heading “Year Ended February 28, 2023” represents the period from February 15, 2023 (commencement of operations) through February 28, 2023.

^(l)  13,124,792 shares and $262,495,845 were purchased in-kind by an affiliate.

^(m)  The period under the heading “Year Ended February 28, 2022” represents the period from February 8, 2022 (commencement of operations) through February 28, 2022.

⁽ⁿ⁾  9,969,459 shares and $262,495,845 were redeemed in-kind by an affiliate.

^(o)  The period under the heading “Year Ended February 28, 2023” represents the period from November 15, 2022 (commencement of operations) through February 28, 2023.

^(p)  The period under the heading “Year Ended February 28, 2023” represents the period from September 20, 2022 (commencement of operations) through February 28, 2023.

^(q)  The period under the heading “Year Ended February 28, 2023” represents the period from February 15, 2023 (commencement of operations) through February 28, 2023.

^(r)  The period under the heading “Year Ended February 28, 2023” represents the period from December 13, 2022 (commencement of operations) through February 28, 2023.

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 28, 2023 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	$	58,977,551	$	583,764,531	$	615,166,887	$	347,948	*	$	—	$	(478,069	)	$	57,275	$	27,154,401

213

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Emerging Markets ex-China Fund
GMO U.S. Treasury Fund	$	4,374	$	42,708,903	$	42,404,374	$	112,318	$	—	$	10,103		$	17		$	319,023
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	712,685	$	—	$	—	$	—	$	—	$	—		$	(454,049	)	$	258,636
Gayatri Projects Ltd		3,763,980		—		1,255,563		—		—		(6,129,528	)		3,621,111			—	#
GMO U.S. Treasury Fund		—		147,160,726		131,840,000		154,052		—		25,266			—			15,345,992
Totals	$	4,476,665	$	147,160,726	$	133,095,563	$	154,052	$	—	$	(6,104,262	)	$	3,167,062		$	15,604,628
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
GMO U.S. Treasury Fund	$	2,331,522	$	40,369,604	$	41,977,396	$	49,028	$	—	$	(20,588	)	$	9,304		$	712,446
International Equity Fund
GMO U.S. Treasury Fund	$	—	$	143,000,000	$	70,500,000	$	701,608	$	—	$	90,181		$	20,261		$	72,610,442
Quality Cyclicals Fund
GMO U.S. Treasury Fund	$	434,957	$	12,357,078	$	12,105,000	$	19,551	$	—	$	(7,909	)	$	1,737		$	680,863
Quality Fund
GMO U.S. Treasury Fund	$	5,788,348	$	706,499,200	$	596,000,000		1,904,895	$	—	$	(124,273	)	$	75,060		$	116,238,335
Resource Transition Fund
GMO U.S. Treasury Fund	$	—	$	14,012,040	$	10,500,000	$	4,867	$	—	$	—		$	—		$	3,512,040
Resources Fund
GMO U.S. Treasury Fund	$	—	$	154,450,000	$	115,233,800	$	235,030	$	—	$	33,266		$	15,060		$	39,264,526
Small Cap Quality Fund
GMO U.S. Treasury Fund	$	—	$	2,410,331	$	1,800,000	$	10,447	$	—	$	1,002		$	417		$	611,750
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	999,833	$	16,770,000	$	16,608,200	$	21,911	$	—	$	(5,875	)	$	4,538		$	1,160,296
U.S. Equity Fund
GMO U.S. Treasury Fund	$	10,402,263	$	41,460,000	$	48,772,126	$	110,095	$	—	$	(58,281	)	$	26,176		$	3,058,032
U.S. Opportunistic Value Fund
GMO U.S. Treasury Fund	$	—	$	91,312,737	$	85,500,000	$	61,571	$	—	$	8,993		$	—		$	5,821,730

214

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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. Small Cap Value Fund
GMO U.S. Treasury Fund	$	1,158,524	$	15,100,000	$	15,900,000	$	46,154	$	—	$	(17,237	)	$	3,629	$	344,916

* 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 $889,085 in Climate Change Fund during the year.

# Security is no longer an affiliate at year end.

11. Subsequent events

Subsequent to February 28, 2023, GMO Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund) received redemption requests in the amount of $79,324,769.

215

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of GMO Climate Change Fund, GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund), GMO Emerging Markets ex-China Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO-Usonian Japan Value Creation Fund, GMO Quality Cyclicals Fund, GMO Quality Fund, GMO Resource Transition Fund, GMO Resources Fund, GMO Small Cap Quality Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund, GMO U.S. Opportunistic Value Fund and GMO U.S. Small Cap Value Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Climate Change Fund, GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund), GMO Emerging Markets ex-China Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO-Usonian Japan Value Creation Fund, GMO Quality Cyclicals Fund, GMO Quality Fund, GMO Resource Transition Fund, GMO Resources Fund, GMO Small Cap Quality Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund, GMO U.S. Opportunistic Value Fund and GMO U.S. Small Cap Value Fund (fifteen of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2023, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2023, the results of each of their operations and the changes in each of their net assets for each of the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

GMO Climate Change Fund, GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund), GMO Emerging Markets Fund, GMO International Equity Fund, GMO Quality Fund, GMO Resources Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund, GMO U.S. Small Cap Value Fund, GMO Quality Cyclicals Fund, GMO-Usonian Japan Value Creation Fund	Statements of operations for the year ended February 28, 2023 and the statements of changes in net assets for each of the two years in the period ended February 28, 2023
GMO Emerging Markets ex-China Fund	Statement of operations for the year ended February 28, 2023 and statements of changes in net assets for the year ended February 28, 2023 and for the period October 18, 2021 (commencement of operations) through February 28, 2022
GMO Small Cap Quality Fund	Statements of operations and changes in net assets for the period September 20, 2022 (commencement of operations) through February 28, 2023
GMO U.S. Opportunistic Value Fund	Statements of operations and changes in net assets for the period December 13, 2022 (commencement of operations) through February 28, 2023
GMO Resource Transition Fund	Statements of operations and changes in net assets for the period February 15, 2023 (commencement of operations) through February 28, 2023

Basis for Opinions

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

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

216

Report of Independent Registered Public Accounting Firm - (Continued)

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, MA

April 27, 2023

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

217

GMO Trust Funds

Board Review of Investment Management Agreements

February 28, 2023 (Unaudited)

GMO Resource Transition Fund

Approval of initial management agreement for GMO Resource Transition Fund (the “Fund”). At a meeting on November 16, 2022, the Trustees of GMO Trust (the “Trust”) approved for an initial two-year term commencing November 22, 2022 the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund. In approving the initial management agreement, the Trustees considered information they believed to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

At a meeting on November 16, 2022, the Trustees considered a proposal by GMO that they establish the Fund as a new series of the Trust, that they approve a management agreement between the Trust, on behalf of the Fund, and GMO, and that they approve arrangements for GMO’s provision of shareholder servicing and supplemental support to classes of the Fund. During that meeting, the Trustees met with representatives from GMO’s Focused Equity Team, GMO’s Product Development Team, and GMO’s Legal Group and asked questions relating to the Fund and the materials GMO provided the Trustees in advance of the meeting.

Since the Fund had not yet commenced operations, the Trustees were unable to consider its investment performance. The Trustees, therefore, considered the performance of the other GMO funds whose investments were managed by GMO’s Focused Equity Team, the GMO division that would be managing the Fund’s investments, and in particular GMO Resources Fund.

The Trustees considered the Fund’s estimated expenses and 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 other funds in peer groups determined by GMO to have similar investment characteristics. In considering the Fund’s estimated expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees to be paid to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information provided by GMO comparing the management fee to be paid by the Fund to the management fee of GMO Resources Fund, whose investments are managed by GMO’s Focused Equity Team, as well as funds managed by other managers determined by GMO to have similar investment characteristics. The Trustees also considered the shareholder servicing fees to be charged by GMO to different share classes of the Fund in light of the services to be provided to each class by GMO.

The Trustees considered that the non-investment management services to be provided by GMO to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services, were the same as the services provided by GMO under its current management agreements with other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel, and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO would employ in managing the Fund, GMO’s organization, its reputation, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of the services GMO would be providing the Fund.

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

In the Trustees’ deliberations, each Trustee gave specific factors the weight that Trustee thought appropriate. Following their deliberations, the Trustees who are not “interested persons” of the Trust voting separately, and then all Trustees voting together, approved the Fund’s initial management agreement.

218

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

February 28, 2023 (Unaudited)

GMO Small Cap Quality Fund

Approval of initial management agreement for GMO Small Cap Quality Fund (the “Fund”). At a meeting on August 30, 2022, the Trustees of GMO Trust (the “Trust”) approved for an initial two-year term commencing September 20, 2022 the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund. In approving the initial management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

At a meeting on August 30, 2022, the Trustees discussed materials provided by GMO for purposes of considering GMO’s proposal to establish the Fund as a new series of the Trust and a proposed management agreement between the Trust, on behalf of the Fund, and GMO. During this meeting, the Trustees met with a representative from GMO’s Legal Group.

Since the Fund had not yet commenced operations, the Trustees were unable to consider its investment performance. The Trustees therefore considered the performance of the other GMO funds whose investments were managed by the investment division of GMO that would be managing the Fund’s investments.

The Trustees considered the Fund’s estimated expenses and estimated 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 other funds in peer groups determined by GMO to have similar investment characteristics. In considering the Fund’s estimated expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees to be paid to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information provided by GMO comparing the management fee to be paid by the Fund to the management fee of two GMO funds, each with an investment strategy similar to that of the Fund, including one whose investments were managed by the investment division of GMO that would manage the Fund’s investments, as well as funds managed by other managers determined by GMO to have similar investment characteristics. The Trustees also considered the shareholder servicing fees to be charged by GMO to different share classes of the Fund in light of the services to be provided to each class by GMO.

The Trustees also considered that the non-investment management services to be provided by GMO to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services, were the same as the services provided by GMO under its current management agreements with other GMO funds. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel, and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO would employ in managing the Fund, GMO’s organization, its reputation, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to be provided to the Fund.

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

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Trustees who are not “interested persons” of the Trust voting separately, and then all Trustees voting together, approved the Fund’s initial management agreement.

219

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

February 28, 2023 (Unaudited)

GMO U.S. Opportunistic Value Fund

Approval of initial management agreement for GMO U.S. Opportunistic Value Fund (the “Fund”). At a meeting on November 16, 2022, the Trustees of GMO Trust (the “Trust”) approved for an initial two-year term commencing November 22, 2022 the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund. In approving the initial management agreement, the Trustees considered information they believed to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

At a meeting on November 16, 2022, the Trustees considered a proposal by GMO that they establish the Fund as a new series of the Trust, that they approve a management agreement between the Trust, on behalf of the Fund, and GMO, and that they approve arrangements for GMO’s provision of shareholder servicing and supplemental support to classes of the Fund. During that meeting, the Trustees met with representatives from GMO’s Asset Allocation and Systematic Equity Teams and GMO’s Legal Group and asked questions relating to the Fund and the materials GMO provided the Trustees in advance of the meeting.

Since the Fund had not yet commenced operations, the Trustees were unable to consider its investment performance. The Trustees therefore considered the performance of the other GMO funds whose investments were managed by GMO’s Systematic Equity Team, the GMO division that would be primarily responsible for managing the Fund’s investments.

The Trustees considered the Fund’s estimated expenses and 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 other funds in peer groups determined by GMO to have similar investment characteristics. In considering the Fund’s estimated expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees to be paid to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information provided by GMO comparing the management fee to be paid by the Fund to the management fee of GMO U.S. Equity Fund, whose investments are managed by GMO’s Systematic Equity Team, as well as funds managed by other managers determined by GMO to have similar investment characteristics. The Trustees also considered the shareholder servicing fees to be charged by GMO to different share classes of the Fund in light of the services to be provided to each class by GMO.

The Trustees considered that the non-investment management services to be provided by GMO to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services, were the same as the services provided by GMO under its current management agreements with other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel, and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO would employ in managing the Fund, GMO’s organization, its reputation, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of the services GMO would be providing the Fund.

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

In the Trustees’ deliberations, each Trustee gave specific factors the weight that Trustee thought appropriate. Following their deliberations, the Trustees who are not “interested persons” of the Trust voting separately, and then all Trustees voting together, approved the Fund’s initial management agreement.

220

GMO Trust Funds

Fund Expenses

February 28, 2023 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2023.

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, September 1, 2022 through February 28, 2023.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value September 1, 2022		Ending Account Value February 28, 2023		Expenses Paid During the Period*		Beginning Account Value September 1, 2022		Ending Account Value February 28, 2023		Expenses Paid During the Period*		Annualized Expense Ratio
Climate Change Fund
Class III	$	1,000.00	$	1,023.40	$	3.91	$	1,000.00	$	1,020.93	$	3.91		0.78	%
Class R6	$	1,000.00	$	1,023.30	$	3.91	$	1,000.00	$	1,020.93	$	3.91		0.78	%
Class I	$	1,000.00	$	1,022.60	$	4.36	$	1,000.00	$	1,020.48	$	4.36		0.87	%
Emerging Markets ex-China Fund
Class III	$	1,000.00	$	1,046.50	$	4.06	$	1,000.00	$	1,020.83	$	4.01		0.80	%
Class VI	$	1,000.00	$	1,046.90	$	3.40	$	1,000.00	$	1,021.47	$	3.36		0.67	%
Class I	$	1,000.00	$	1,044.50	$	4.77	$	1,000.00	$	1,020.13	$	4.71		0.94	%
Emerging Markets Fund
Class II	$	1,000.00	$	981.70	$	4.42	$	1,000.00	$	1,020.33	$	4.51		0.90	%
Class III	$	1,000.00	$	982.10	$	4.18	$	1,000.00	$	1,020.58	$	4.26		0.85	%
Class VI	$	1,000.00	$	982.60	$	3.54	$	1,000.00	$	1,021.22	$	3.61		0.72	%
Class R6	$	1,000.00	$	981.70	$	4.42	$	1,000.00	$	1,020.33	$	4.51		0.90	%
Class I	$	1,000.00	$	981.30	$	4.67	$	1,000.00	$	1,020.08	$	4.76		0.95	%
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
Class II	$	1,000.00	$	1,001.50	$	4.32	$	1,000.00	$	1,020.48	$	4.36		0.87	%
Class V	$	1,000.00	$	1,001.90	$	3.72	$	1,000.00	$	1,021.08	$	3.76		0.75	%
Class I	$	1,000.00	$	1,000.90	$	4.81	$	1,000.00	$	1,019.98	$	4.86		0.97	%

221

GMO Trust Funds

Fund Expenses — (Continued)

February 28, 2023 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value September 1, 2022		Ending Account Value February 28, 2023		Expenses Paid During the Period*		Beginning Account Value September 1, 2022		Ending Account Value February 28, 2023		Expenses Paid During the Period*		Annualized Expense Ratio
International Equity Fund
Class II	$	1,000.00	$	1,150.30	$	3.89	$	1,000.00	$	1,021.18	$	3.66		0.73	%
Class III	$	1,000.00	$	1,150.40	$	3.52	$	1,000.00	$	1,021.52	$	3.31		0.66	%
Class IV	$	1,000.00	$	1,151.10	$	3.25	$	1,000.00	$	1,021.77	$	3.06		0.61	%
Class I	$	1,000.00	$	1,149.40	$	4.48	$	1,000.00	$	1,020.63	$	4.21		0.84	%
Japan Value Creation Fund
Class III	$	1,000.00	$	1,071.20	$	3.44	$	1,000.00	$	1,021.47	$	3.36		0.67	%
Class VI	$	1,000.00	$	1,072.40	$	2.93	$	1,000.00	$	1,021.97	$	2.86		0.57	%
Class I	$	1,000.00	$	1,071.10	$	3.95	$	1,000.00	$	1,020.98	$	3.86		0.77	%
Quality Cyclicals Fund
Class VI	$	1,000.00	$	1,125.20	$	2.11	$	1,000.00	$	1,022.81	$	2.01		0.40	%
Class I	$	1,000.00	$	1,124.50	$	3.16	$	1,000.00	$	1,021.82	$	3.01		0.60	%
Quality Fund
Class III	$	1,000.00	$	1,039.10	$	2.53	$	1,000.00	$	1,022.32	$	2.51		0.50	%
Class IV	$	1,000.00	$	1,039.60	$	2.28	$	1,000.00	$	1,022.56	$	2.26		0.45	%
Class VI	$	1,000.00	$	1,039.60	$	2.02	$	1,000.00	$	1,022.81	$	2.01		0.40	%
Class R6	$	1,000.00	$	1,039.20	$	2.48	$	1,000.00	$	1,022.37	$	2.46		0.49	%
Class I	$	1,000.00	$	1,038.60	$	2.98	$	1,000.00	$	1,021.87	$	2.96		0.59	%
Resource Transition Fund
Class VI(a)	$	1,000.00	$	949.00	$	0.30	$	1,000.00	$	1,020.53	$	4.31		0.86	%
Resources Fund
Class III	$	1,000.00	$	1,035.10	$	3.73	$	1,000.00	$	1,021.13	$	3.71		0.74	%
Class IV	$	1,000.00	$	1,035.50	$	3.48	$	1,000.00	$	1,021.37	$	3.46		0.69	%
Class VI	$	1,000.00	$	1,035.50	$	3.23	$	1,000.00	$	1,021.62	$	3.21		0.64	%
Class R6	$	1,000.00	$	1,035.20	$	3.73	$	1,000.00	$	1,021.13	$	3.71		0.74	%
Class I	$	1,000.00	$	1,034.90	$	4.24	$	1,000.00	$	1,020.63	$	4.21		0.84	%
Small Cap Quality Fund
Class III(b)	$	1,000.00	$	1,045.70	$	2.21	$	1,000.00	$	1,021.08	$	3.76		0.75	%
Class VI(c)	$	1,000.00	$	1,201.00	$	3.20	$	1,000.00	$	1,021.52	$	3.31		0.66	%
Class I(b)	$	1,000.00	$	1,045.10	$	2.21	$	1,000.00	$	1,021.08	$	3.76		0.75	%
Tax-Managed International Equities Fund
Class III	$	1,000.00	$	1,145.00	$	3.62	$	1,000.00	$	1,021.42	$	3.41		0.68	%
U.S. Equity Fund
Class III	$	1,000.00	$	1,050.20	$	2.44	$	1,000.00	$	1,022.41	$	2.41		0.48	%
Class VI	$	1,000.00	$	1,051.50	$	1.93	$	1,000.00	$	1,022.91	$	1.91		0.38	%
U.S. Opportunistic Value Fund
Class III(d)	$	1,000.00	$	958.70	$	0.16	$	1,000.00	$	1,022.46	$	2.36		0.47	%
Class IV(d)	$	1,000.00	$	958.70	$	0.15	$	1,000.00	$	1,022.71	$	2.11		0.42	%
Class VI(e)	$	1,000.00	$	1,011.00	$	0.81	$	1,000.00	$	1,022.91	$	1.91		0.38	%
Class I(d)	$	1,000.00	$	958.70	$	0.20	$	1,000.00	$	1,021.97	$	2.86		0.57	%
U.S. Small Cap Value Fund
Class VI	$	1,000.00	$	1,075.70	$	2.62	$	1,000.00	$	1,022.27	$	2.56		0.51	%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2023, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

^(a)  For the period February 15, 2023 (commencement of operations) through February 28, 2023, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2023, multiplied by the average account value over the period, multiplied by 13 days in the period, divided by 365 days in the year.

^(b)  For the period November 15, 2022 (commencement of operations) through February 28, 2023, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2023, multiplied by the average account value over the period, multiplied by 105 days in the period, divided by 365 days in the year.

222

GMO Trust Funds

Fund Expenses — (Continued)

February 28, 2023 (Unaudited)

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2023, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

^(c)  For the period September 20, 2022 (commencement of operations) through February 28, 2023, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2023, multiplied by the average account value over the period, multiplied by 161 days in the period, divided by 365 days in the year.

^(d)  For the period February 15, 2023 (commencement of operations) through February 28, 2023, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2023, multiplied by the average account value over the period, multiplied by 13 days in the period, divided by 365 days in the year.

^(e)  For the period December 13, 2022 (commencement of operations) through February 28, 2023, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2023, multiplied by the average account value over the period, multiplied by 77 days in the period, divided by 365 days in the year.

223

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2023 (Unaudited)

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

With respect to distributions paid, the Fund designates the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year ended February 28, 2023:

Fund Name	Dividend Received Deduction (corporate shareholders)(1)			Qualified Dividend Income (non-corporate shareholders)(1)			U.S. Government Obligation Income(1)(2)		Interest- Related Dividend Income ($)(3)		Short-Term Capital Gain Dividends ($)(3)		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid ($)(4)		Foreign Source Income ($)(4)		Section 199A Dividend Income (non-corporate shareholders) ($)(5)
Climate Change Fund		19.22	%		73.39	%		—		—		7,373,420		5,946,557		—		—		—
Emerging Markets ex-China Fund		—			69.32	%		—		—		1,227,646		—		2,256,811		15,943,458		—
Emerging Markets Fund		—			45.83	%		—		—		—		—		9,526,303		99,350,032		—
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)		2.50	%		85.89	%		—		—		—		—		1,383,054		7,062,914		—
International Equity Fund		—			100.00	%		—		—		—		—		3,370,011		84,623,761		—
Japan Value Creation Fund		—			100.00	%		—		—		393,360		5,916,837		421,015		2,558,374		—
Quality Cyclicals Fund		32.00	%		70.22	%		—		—		274,150		9,320,117		—		—		—
Quality Fund		88.58	%		100.00	%		—		—		8,841,744		680,905,238		—		—		—
Resource Transition Fund		—			—			—		—		—		—		—		—		—
Resources Fund		2.21	%		25.35	%		—		—		89,614,667		51,283,849		5,007,236		110,868,573		—
Small Cap Quality Fund		100.00	%		100.00	%		—		—		80,175		—		—		—		—
Tax-Managed International Equities Fund		—			100.00	%		—		—		—		724,698		191,161		1,775,639		—
U.S. Equity Fund		61.27	%		64.36	%		—		—		5,755,100		16,774,864		—		—		—
U.S. Opportunistic Value Fund		71.40	%		78.49	%		—		—		—		—		—		—		—
U.S. Small Cap Value Fund		35.31	%		35.80	%		—		—		7,120,083		8,299,032		—		—		10,473

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

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

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

⁽⁴⁾  The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders. All amounts presented above are based upon net investment income earned.

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

224

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2023 (Unaudited) — (Continued)

In early 2024, the Funds will notify applicable shareholders of amounts for use in preparing 2023 U.S. federal income tax forms.

225

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 28, 2023. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 53 State Street, Suite 3300, Boston, MA 02109. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Ms. Santoro, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex1 Overseen	Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.	33	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Professor of Finance (Since July 1, 2011) and Peter Moores Dean and Professor of Finance (July 1, 2011 – June 30, 2022) University of Oxford, Said Business School; Baker Foundation Professor, Harvard Business School (Since July 1, 2022).	33	None.
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired	33	Trustee HIMCO Variable Insurance Trust (27 Portfolios) April 2014 – April 2019).

226

Interested Trustee and Officer
Dina Santoro2 YOB: 1973	Trustee; President of the Trust	Trustee and President of the Trust since February 2023.	Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); President, Chief Executive Officer, and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (September 2022 – December 2022); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018 –December 2022); Chief Operating Officer, Voya Investment Management (January 2022 –December 2022); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017-December 2022). Formerly, President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018-September 2022); Director, Voya Funds Services, LLC (March 2018-September 2022).	33	Voya Separate Portfolios Trust (July 2018 – December 2022).

¹  The Fund Complex includes series of each of GMO Trust.

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

Officers

Name and Year of Birth	Position(s) Held with Trust	Length of Time Served	Principal Occupation(s) During Past Five Years*
Dina Santoro YOB: 1973	Trustee; President of the Trust	Trustee and President since February 2023.	Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); President, Chief Executive Officer, and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (September 2022 – February 2023); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018 –February 2023); Chief Operating Officer, Voya Investment Management (January 2022 –February 2023); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017-February 2023); Formerly, President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018-September 2022); Director, Voya Funds Services, LLC (March 2018-September 2022).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020.	Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 to present).
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).

227

Name and Year of Birth	Position(s) Held with Trust	Length of Time Served	Principal Occupation(s) During Past Five Years*
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Head of Tax, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 - present); Head of Fund Tax, Grantham, Mayo, Van Otterloo & Co. LLC (2018 - 2020).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present); Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

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

228

AR-022823-EQ

GMO Trust

Annual Report

February 28, 2023

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
Management Discussion and Analysis of Fund Performance	1
Performance Graph	2
Investment Concentration Summary	3
Schedule of Investments	4
Emerging Country Debt Fund
Management Discussion and Analysis of Fund Performance	7
Performance Graph	8
Investment Concentration Summary	9
Schedule of Investments	10
High Yield Fund
Management Discussion and Analysis of Fund Performance	23
Performance Graph	24
Investment Concentration Summary	25
Schedule of Investments	26
Multi-Sector Fixed Income Fund
Management Discussion and Analysis of Fund Performance	31
Performance Graph	32
Investment Concentration Summary	33
Schedule of Investments	34
Opportunistic Income Fund
Management Discussion and Analysis of Fund Performance	43
Performance Graph	44
Investment Concentration Summary	46
Schedule of Investments	47
U.S. Treasury Fund
Management Discussion and Analysis of Fund Performance	59
Performance Graph	60
Investment Concentration Summary	61
Schedule of Investments	62
Portfolio, Counterparty and Currency Abbreviations	63
Fund Financial Statements:
Statements of Assets and Liabilities	64
Statements of Operations	68
Statements of Changes in Net Assets	70
Statement of Cash Flow	73
Financial Highlights	74
Notes to Financial Statements	87
Report of Independent Registered Public Accounting Firm	124
Fund Expenses	125
Tax Information	127
Trustees and Officers	128

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Asset Allocation Bond Fund returned -12.86% (net) for the fiscal year ended February 28, 2023, as compared with a +2.22% return for the FTSE 3-Month Treasury Bill Index.

For most of the period, the Fund was invested in U.S. nominal government bonds. At the start of the period the 10-year nominal yield was 1.83%, but this has climbed all the way to 3.92% by the end of February 2023. Against this challenging backdrop for bonds, the Fund did better than, for example, the FTSE 10-Year Treasury Benchmark On-the-Run Index, which returned -13.98%.

In order to increase exposure to the significantly improved yields, the duration of the Fund was materially increased toward the very end of the period. This was implemented by selling the physical bonds that were held and instead entering a series of futures contracts. This was done to maintain an interest rate exposure that was not dissimilar in shape to the Bloomberg U.S. Aggregate Index while increasing the overall exposure to bonds. (We did not want to simply increase duration by taking a position in longer dated bonds given the inverted slope of the yield curve).

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

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

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

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

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Class III		-12.86	%		1.03	%		0.68	%
Class VI		-12.81	%		1.12	%		0.76	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

For Class III and VI the gross expense ratio of 0.57% and 0.48%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.42% and 0.32% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

2

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		75.4	%
Debt Obligations		24.9
Forward Currency Contracts		0.0	^
Futures Contracts		(0.1	)
Other		(0.2	)
		100.0	%

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

^ Rounds to 0.0%.

3

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 24.9%
		U.S. Government — 24.9%
	5,000,000	U.S. Treasury Note, Variable Rate, SOFR + 0.20%, 5.01%, due 01/31/25 (a)		5,005,241
		TOTAL DEBT OBLIGATIONS (COST $5,002,173)		5,005,241
		SHORT-TERM INVESTMENTS — 75.4%
		Sovereign and Sovereign Agency Issuers — 9.8%
JPY	270,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/05/23		1,983,756
		U.S. Government Agency — 14.9%
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 4.58%, due 06/07/23		2,999,995
		Repurchase Agreements — 49.6%
	9,999,814	Nomura Securities International, Inc. Repurchase Agreement, dated, 02/28/23 maturing on 03/01/23 with a maturity value of $10,001,067 and an effective yield of 4.51%, collateralized by a U.S. Treasury Note with maturity date 12/31/29 and a market value of $10,203,893.		9,999,814

Shares	Description	Value ($)
	Money Market Funds — 1.1%
216,301	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (b)		216,301
	TOTAL SHORT-TERM INVESTMENTS (COST $15,196,426)		15,199,866
	TOTAL INVESTMENTS — 100.3% (Cost $20,198,599)		20,205,107
	Other Assets and Liabilities (net) — (0.3)%		(54,675	)
	TOTAL NET ASSETS — 100.0%	$	20,150,432

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty		Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)($)
06/05/2023		CITI		JPY 270,000,000		USD 2,018,072	$	7,690

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
43	U.S. Long Bond (CBT)		June 2023		5,384,406		(5,066	)
45	U.S. Treasury Note 10 Yr. (CBT)		June 2023		5,024,531		2,050
33	U.S. Treasury Note 2 Yr. (CBT)		June 2023		6,722,977		(17,279	)
91	U.S. Treasury Note 5 Yr. (CBT)		June 2023		9,741,977		(17,176	)
33	U.S. Treasury Ultra 10 Yr. (CBT)		June 2023		3,867,187		9,238
28	U.S. Ultra Bond (CBT)		June 2023		3,781,750		13,084
				$	34,522,828	$	(15,149	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 4

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

As of February 28, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 63.

5 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Emerging Country Debt Fund returned -5.52% (net) for the fiscal year ended February 28, 2023, as compared with -8.64% for the J.P. Morgan EMBI Global Diversified + (EMBIGD).

EMBIGD’s spread over U.S. Treasuries tightened by 23 basis points to 447 basis points during the fiscal year, and the yield on the 10-year U.S. Treasury bond rose by 210 basis points to 3.92%.

The Fund had a small negative alpha from country selection during the fiscal year, as losses from overweights in Ecuador, Ukraine, Sri Lanka, and Zambia were mostly offset by the Fund’s overweights in Oman, Tunisia, Jordan, and Argentina, and underweight in Pakistan.

In terms of security selection, positive alpha was driven by the holding of bonds in off-benchmark countries. The most notable countries in this category were Russia and Venezuela, followed by Belarus, Republic of Congo, and the Bahamas. Security selection in on-benchmark countries such as Ukraine, Ghana, and South Africa also contributed positive alpha during the fiscal year, though negative alpha from security selection in Tunisia, Brazil, and Mexico partly offset these gains. Within quasi-sovereign security selection, the portfolio had positive alpha from Brazil and India, while Mexico and China were notable detractors.

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

7

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

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

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

and the J.P. Morgan EMBI Global

As of February 28, 2023

	Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception
Class III	-6.93%	-0.63%	2.49%	n/a
Class IV	-6.89%	-0.58%	2.54%	n/a
Class VI	-6.90%	n/a	n/a	7/29/21 -11.59%

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

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

* The J.P. Morgan Emerging Markets Bond Index Global Diversified + (composite index) reflects the performance of the J.P. Morgan Emerging Markets Bond Index Global through 2/29/2020 and the J.P. Morgan EMBI Global Diversified thereafter.

For Class III, IV, and VI the gross expense ratio of 0.53%, 0.48%, and 0.43%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.53%, 0.48% and 0.43% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

8

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		90.2	%
Short-Term Investments		3.9
Loan Assignments		1.2
Swap Contracts		1.0
Loan Participations		0.8
Rights/Warrants		0.3
Investment Funds		0.3
Forward Currency Contracts		0.1
Written Options/Credit Linked Options		0.0	^
Bond Forward Contracts		(0.0	)^
Other		2.2
		100.0	%

Country/Region Summary¤	% of Investments
Turkey		8.0	%
Mexico		6.4
Saudi Arabia		6.2
Oman		5.6
Bahrain		5.4
Dominican Republic		5.2
Indonesia		4.6
Colombia		4.5
South Africa		4.1
Argentina		3.8
Egypt		3.5
Tunisia		3.5
Jordan		3.2
Peru		3.0
United Arab Emirates		2.9
Panama		2.7
Kenya		2.5
Chile		2.4
Ecuador		2.4
Romania		2.3
Philippines		2.1
Kazakhstan		2.0
Vietnam		1.8
Nigeria		1.7
Other Emerging		1.6	†
India		1.5
Ghana		1.4
Israel		1.4
Brazil		1.1
Costa Rica		1.1
Sri Lanka		1.1
Uruguay		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.

^ Rounds to 0.0%.

9

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 90.2%
		Albania — 1.5%
		Sovereign and Sovereign Agency Issuers — 1.5%
	40,349,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		34,834,893
EUR	7,400,000	Republic of Albania Par Bond, Reg S, 3.50%, due 11/23/31		6,375,562
		Total Albania		41,210,455
		Angola — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	20,600,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		17,613,000
		Argentina — 3.2%
		Sovereign and Sovereign Agency Issuers — 3.2%
	23,590,713	Republic of Argentina, 1.00%, due 07/09/29		7,296,680
	28,633,493	Republic of Argentina, Step Up, 0.50%, due 07/09/30		9,277,251
JPY	330,767,207	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c)		609,765
	45,947,942	Republic of Argentina, Step Up, 1.50%, due 07/09/35		13,072,190
EUR	25,230,000	Republic of Argentina, Step Up, 3.00%, due 01/09/38		7,285,213
	56,798,994	Republic of Argentina, Step Up, 3.88%, due 01/09/38		19,435,656
JPY	271,173,000	Republic of Argentina, 0.67%, due 12/31/38 (c)		343,559
EUR	6,660,000	Republic of Argentina, Step Up, 2.75%, due 07/09/41		1,754,026
	56,601,240	Republic of Argentina, Step Up, 3.50%, due 07/09/41		17,772,789
	46,247,000	Republic of Argentina, Step Up, 1.50%, due 07/09/46		13,348,040
		Total Argentina		90,195,169
		Armenia — 0.0%
		Corporate Debt
	1,150,000	Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25		1,085,658
		Azerbaijan — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	14,400,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		13,700,700
		Bahamas — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	8,840,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		7,204,600
	4,400,000	Bahamas Government International Bond, 144A, 9.00%, due 06/16/29		3,985,575
	14,800,000	Bahamas Government International Bond, Reg S, 8.95%, due 10/15/32		13,040,650

Par Value†		Description	Value ($)
		Bahamas — continued
		Sovereign and Sovereign Agency Issuers — continued
	4,300,000	Bahamas Government International Bond, Reg S, 7.13%, due 04/02/38		3,310,462
		Total Bahamas		27,541,287
		Bahrain — 2.3%
		Sovereign and Sovereign Agency Issuers — 2.3%
	68,390,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		63,602,700
		Barbados — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	17,520,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		16,116,210
		Belarus — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 (c) (d)		2,906,400
	20,300,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30 (c) (d)		6,394,500
		Total Belarus		9,300,900
		Bermuda — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	5,690,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		5,531,036
		Bolivia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,500,000	Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28		5,287,500
		Brazil — 1.7%
		Corporate Debt — 0.8%
	23,331,060	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		20,936,710
		Sovereign and Sovereign Agency Issuers — 0.9%
	4,000,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		3,326,500
	14,400,000	Republic of Brazil, 4.75%, due 01/14/50		10,325,700
BRL	61,000,000	Rio Smart Lighting Sarl, Reg S, 12.25%, due 09/20/32 (e)		11,531,184
				25,183,384
		Total Brazil		46,120,094
		Bulgaria — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
EUR	2,800,000	Bulgarian Energy Holding EAD, Reg S, 2.45%, due 07/22/28		2,422,555

See accompanying notes to the financial statements. 10

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Cameroon — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
EUR	6,100,000	Republic of Cameroon International Bond, Reg S, 5.95%, due 07/07/32		4,820,023
		Chile — 2.2%
		Corporate Debt — 0.9%
	16,611,000	Enel Generacion Chile SA, 8.13%, due 02/01/97 (a)		15,471,486
	23,601,659	Inversiones Latin America Power Ltda, Reg S, 5.13%, due 06/15/33		10,396,531
				25,868,017
		Sovereign and Sovereign Agency Issuers — 1.3%
	6,100,000	Chile Government International Bond, 3.10%, due 05/07/41		4,427,456
	3,000,000	Chile Government International Bond, 4.00%, due 01/31/52		2,325,563
	6,600,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		6,246,487
	4,300,000	Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31		3,533,525
	24,950,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		18,974,475
				35,507,506
		Total Chile		61,375,523
		China — 0.2%
		Corporate Debt
	11,200,000	China Evergrande Group, Reg S, 11.50%, due 01/22/23 (d)		971,600
	14,300,000	China Evergrande Group, Reg S, 12.00%, due 01/22/24 (d)		1,161,875
	7,500,000	China Evergrande Group, Reg S, 10.50%, due 04/11/24 (d)		628,125
	2,900,000	Huarong Finance Co., Ltd., Reg S, 4.75%, due 04/27/27		2,502,700
	6,100,000	Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 (d)		335,500
	2,100,000	Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 (d)		115,500
	3,600,000	Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 (d)		198,000
	4,100,000	Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 (d)		225,500
		Total China		6,138,800
		Colombia — 4.0%
		Corporate Debt — 0.1%
COP	21,060,796,766	PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36		3,142,154
		Sovereign and Sovereign Agency Issuers — 3.9%
	1,092,000	Colombia Government International Bond, 8.38%, due 02/15/27 (a)		1,088,401
	3,100,000	Colombia Government International Bond, 11.85%, due 03/09/28 (a)		3,507,344

Par Value†		Description	Value ($)
		Colombia — continued
		Sovereign and Sovereign Agency Issuers — continued
	10,300,000	Colombia Government International Bond, 8.00%, due 04/20/33		10,169,963
	3,500,000	Colombia Government International Bond, 7.50%, due 02/02/34		3,312,750
	77,700,000	Colombia Government International Bond, 5.63%, due 02/26/44		55,749,750
	14,000,000	Colombia Government International Bond, 5.20%, due 05/15/49		9,255,750
	5,300,000	Ecopetrol SA, 8.88%, due 01/13/33		5,180,750
	20,900,000	Ecopetrol SA, 5.88%, due 11/02/51		13,297,625
COP	41,560,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		6,449,077
				108,011,410
		Total Colombia		111,153,564
		Congo Republic (Brazzaville) — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	40,766,789	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		34,723,113
		Costa Rica — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	17,031,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		16,459,397
	8,298,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		6,578,758
		Total Costa Rica		23,038,155
		Czech Republic — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	4,458,000	CEZ AS, Reg S, 5.63%, due 04/03/42		4,111,038
		Dominican Republic — 3.0%
		Sovereign and Sovereign Agency Issuers — 3.0%
	9,100,000	Dominican Republic International Bond, 144A, 6.00%, due 02/22/33		8,231,519
	7,600,000	Dominican Republic International Bond, Reg S, 6.50%, due 02/15/48		6,425,800
	90,829,000	Dominican Republic International Bond, Reg S, 5.88%, due 01/30/60		67,769,787
		Total Dominican Republic		82,427,106
		Ecuador — 2.1%
		Sovereign and Sovereign Agency Issuers — 2.1%
	1,300,000	Ecuador Government International Bond, 5.00%, due 02/28/25 (c)		1,196,000
	6,646,892	Ecuador Government International Bond, Reg S, Zero Coupon, due 07/31/30		2,053,474
	15,076,250	Ecuador Government International Bond, Reg S, Step Up, 5.50%, due 07/31/30		7,295,963
	96,987,125	Ecuador Government International Bond, Reg S, Step Up, 2.50%, due 07/31/35		33,963,679

11 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Ecuador — continued
		Sovereign and Sovereign Agency Issuers — continued
	29,703,750	Ecuador Government International Bond, Reg S, Step Up, 1.50%, due 07/31/40		9,232,297
	7,597,817	Ecuador Social Bond Sarl, Reg S, Zero Coupon, due 01/30/35		5,741,100
		Total Ecuador		59,482,513
		Egypt — 2.2%
		Sovereign and Sovereign Agency Issuers — 2.2%
	24,500,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		15,649,375
	48,700,000	Egypt Government International Bond, Reg S, 8.88%, due 05/29/50		31,168,000
	22,764,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		13,886,040
		Total Egypt		60,703,415
		El Salvador — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	6,200,000	El Salvador Government International Bond, Reg S, 8.25%, due 04/10/32		3,079,850
	6,275,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		2,891,598
	26,700,000	El Salvador Government International Bond, Reg S, 7.12%, due 01/20/50		11,861,475
		Total El Salvador		17,832,923
		Ethiopia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	3,290,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		2,234,733
		Gabon — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	5,600,000	Gabon Government International Bond, Reg S, 6.63%, due 02/06/31		4,533,550
	10,600,000	Gabon Government International Bond, Reg S, 7.00%, due 11/24/31		8,586,000
		Total Gabon		13,119,550
		Ghana — 1.3%
		Sovereign and Sovereign Agency Issuers — 1.3%
	5,800,000	Republic of Ghana, Reg S, 8.13%, due 03/26/32 (d)		2,138,750
	9,000,000	Republic of Ghana, Reg S, 8.88%, due 05/07/42 (d)		3,296,250
	14,800,000	Republic of Ghana, Reg S, 8.63%, due 06/16/49 (d)		5,383,500
	32,500,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51 (d)		11,903,125
	27,800,000	Republic of Ghana, Reg S, 8.75%, due 03/11/61 (d)		10,112,250

Par Value†		Description	Value ($)
		Ghana — continued
		Sovereign and Sovereign Agency Issuers — continued
	7,121,144	Saderea DAC, Reg S, 12.50%, due 11/30/26		3,119,951
		Total Ghana		35,953,826
		Grenada — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,005,938	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		5,814,928
		Guatemala — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	3,915,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		4,354,948
	5,100,000	Republic of Guatemala, Reg S, 4.65%, due 10/07/41		4,111,237
	16,700,000	Republic of Guatemala, Reg S, 6.13%, due 06/01/50		15,815,944
		Total Guatemala		24,282,129
		Honduras — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,150,000	Honduras Government International Bond, Reg S, 5.63%, due 06/24/30		5,696,763
		Hungary — 1.7%
		Sovereign and Sovereign Agency Issuers — 1.7%
	10,200,000	Hungary Government International Bond, 144A, 6.25%, due 09/22/32		10,314,750
	23,900,000	Hungary Government International Bond, 144A, 5.50%, due 06/16/34		22,854,375
	16,400,000	Hungary Government International Bond, Reg S, 3.13%, due 09/21/51		9,963,000
	4,600,000	Hungary Government International Bond, 144A, 6.75%, due 09/25/52		4,715,000
		Total Hungary		47,847,125
		India — 1.7%
		Corporate Debt
	24,100,000	Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29		22,191,581
	800,000	GMR Hyderabad International Airport Ltd., Reg S, 4.75%, due 02/02/26		745,650
	17,140,000	GMR Hyderabad International Airport Ltd., Reg S, 4.25%, due 10/27/27		14,904,301
	11,150,000	India Airport Infra, Reg S, 6.25%, due 10/25/25		10,564,625
		Total India		48,406,157
		Indonesia — 3.9%
		Sovereign and Sovereign Agency Issuers — 3.9%
	3,750,000	Freeport Indonesia PT, Reg S, 6.20%, due 04/14/52		3,298,359

See accompanying notes to the financial statements. 12

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Indonesia — continued
		Sovereign and Sovereign Agency Issuers — continued
	7,500,000	Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30		6,690,469
	17,000,000	Indonesia Asahan Aluminium Persero PT, Reg S, 5.80%, due 05/15/50		14,867,563
	3,100,000	Indonesia Government International Bond, 4.85%, due 01/11/33		3,038,341
	10,191,000	Indonesia Government International Bond, 5.45%, due 09/20/52		10,090,211
	1,500,000	Indonesia Government International Bond, 5.65%, due 01/11/53		1,518,915
	16,600,000	Minejesa Capital BV, Reg S, 5.63%, due 08/10/37		13,237,255
	9,200,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		9,305,225
	6,700,000	Pertamina Persero PT, Reg S, 4.15%, due 02/25/60		4,769,060
	14,800,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		14,226,500
	7,200,000	Perusahaan Penerbit SBSN Indonesia III, 144A, 4.70%, due 06/06/32		7,065,792
	20,849,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		19,910,795
		Total Indonesia		108,018,485
		Israel — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	15,783,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		17,601,675
		Ivory Coast — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
EUR	1,500,000	Ivory Coast Government International Bond, Reg S, 6.88%, due 10/17/40		1,166,114
EUR	27,800,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		20,362,304
		Total Ivory Coast		21,528,418
		Jamaica — 0.8%
		Corporate Debt — 0.2%
	7,401,452	TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36		6,202,417
		Sovereign and Sovereign Agency Issuers — 0.6%
	4,375,000	Jamaica Government International Bond, 7.88%, due 07/28/45		5,097,695
	9,300,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		9,579,000
				14,676,695
		Total Jamaica		20,879,112
		Jordan — 1.4%
		Sovereign and Sovereign Agency Issuers — 1.4%
	44,195,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		38,678,912

Par Value†		Description	Value ($)
		Kazakhstan — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	1,600,000	KazMunayGas National Co. JSC, Reg S, 5.75%, due 04/19/47		1,276,800
	26,000,000	KazMunayGas National Co. JSC, Reg S, 6.38%, due 10/24/48		21,775,000
		Total Kazakhstan		23,051,800
		Kenya — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	40,694,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		31,029,175
		Kuwait — 0.1%
		Corporate Debt
	3,300,000	Equate Petrochemical BV, Reg S, 2.63%, due 04/28/28		2,878,838
		Lebanon — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	20,400,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (d)		1,377,000
	5,547,000	Lebanon Government International Bond, Reg S, 7.00%, due 03/20/28 (d)		368,529
	60,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d)		4,140,079
	21,000,000	Lebanon Government International Bond, 8.20%, due 05/17/33 (d)		1,414,875
	56,914,000	Lebanon Government International Bond, 8.25%, due 05/17/34 (d)		3,905,723
		Total Lebanon		11,206,206
		Malaysia — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	18,300,000	1MDB Global Investments Ltd., Reg S, 4.40%, due 03/09/23		18,157,260
	4,900,000	Dua Capital Ltd., Reg S, 2.78%, due 05/11/31		4,000,164
	6,800,000	Petronas Capital Ltd., Reg S, 4.80%, due 04/21/60		6,282,775
		Total Malaysia		28,440,199
		Mexico — 5.9%
		Sovereign and Sovereign Agency Issuers — 5.9%
	5,940,000	Comision Federal de Electricidad, Reg S, 5.00%, due 07/30/49		4,633,200
	152,000,000	Petroleos Mexicanos, 7.69%, due 01/23/50		106,567,200
	5,200,000	Petroleos Mexicanos, Reg S, 6.63%, due 12/28/2170		3,250,000
GBP	53,506,000	United Mexican States, 5.63%, due 03/19/2114		49,295,493
		Total Mexico		163,745,893

13 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Mongolia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	3,000,000	Mongolia Government International Bond, Reg S, 4.45%, due 07/07/31		2,400,330
		Montenegro — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
EUR	6,600,000	Montenegro Government International Bond, Reg S, 2.88%, due 12/16/27		5,507,429
		Morocco — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	5,400,000	OCP SA, Reg S, 5.13%, due 06/23/51		3,888,000
	9,200,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		8,360,500
		Total Morocco		12,248,500
		Mozambique — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,576,000	Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31		5,744,976
		Nigeria — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	43,050,000	Nigeria Government International Bond, Reg S, 8.25%, due 09/28/51		29,704,500
		Oman — 2.9%
		Sovereign and Sovereign Agency Issuers — 2.9%
	11,500,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		10,862,469
	67,000,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		64,236,250
	5,900,000	Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31		5,707,512
		Total Oman		80,806,231
		Pakistan — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	14,700,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		6,107,850
	4,826,000	Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31		1,496,591
		Total Pakistan		7,604,441
		Panama — 1.9%
		Sovereign and Sovereign Agency Issuers — 1.9%
	16,061,000	Aeropuerto Internacional de Tocumen SA, Reg S, 5.13%, due 08/11/61		12,595,839
	2,900,000	AES Panama Generation Holdings SRL, Reg S, 4.38%, due 05/31/30		2,534,600
	9,837,000	Panama Government International Bond, 8.13%, due 04/28/34		11,540,031
	25,100,000	Panama Government International Bond, 4.50%, due 04/01/56		18,304,175

Par Value†		Description	Value ($)
		Panama — continued
		Sovereign and Sovereign Agency Issuers — continued
	12,000,000	Panama Government International Bond, 4.50%, due 01/19/63		8,541,000
		Total Panama		53,515,645
		Papua New Guinea — 0.0%
		Sovereign and Sovereign Agency Issuers — 0.0%
	1,100,000	Papua New Guinea Government International Bond, Reg S, 8.38%, due 10/04/28		989,863
		Peru — 2.1%
		Sovereign and Sovereign Agency Issuers — 2.1%
PEN	42,800,000	Peru Government Bond, 6.15%, due 08/12/32		9,919,357
	29,100,000	Peruvian Government International Bond, 3.60%, due 01/15/72		18,802,238
	45,195,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		30,149,584
		Total Peru		58,871,179
		Philippines — 2.1%
		Sovereign and Sovereign Agency Issuers — 2.1%
	3,800,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		5,130,000
	3,200,000	Philippine Government International Bond, 3.20%, due 07/06/46		2,288,352
	8,700,000	Philippine Government International Bond, 5.95%, due 10/13/47		9,288,207
	3,500,000	Philippine Government International Bond, 5.50%, due 01/17/48		3,544,135
	32,512,000	Power Sector Assets & Liabilities Management Corp., 9.63%, due 05/15/28		37,571,680
		Total Philippines		57,822,374
		Poland — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	11,400,000	Republic of Poland Government International Bond, 5.75%, due 11/16/32		11,929,872
		Qatar — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	10,878,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		10,869,841
		Republic of North Macedonia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
EUR	7,800,000	North Macedonia Government International Bond, Reg S, 1.63%, due 03/10/28		6,359,247
		Romania — 1.8%
		Sovereign and Sovereign Agency Issuers — 1.8%
EUR	16,200,000	Romanian Government International Bond, 144A, 6.63%, due 09/27/29		17,327,500

See accompanying notes to the financial statements. 14

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Romania — continued
		Sovereign and Sovereign Agency Issuers — continued
	10,900,000	Romanian Government International Bond, Reg S, 6.00%, due 05/25/34		10,573,000
EUR	7,300,000	Romanian Government International Bond, Reg S, 2.88%, due 04/13/42		4,439,694
EUR	5,600,000	Romanian Government International Bond, Reg S, 4.63%, due 04/03/49		4,316,472
EUR	14,900,000	Romanian Government International Bond, Reg S, 3.38%, due 01/28/50		9,219,439
	4,000,000	Romanian Government International Bond, 144A, 7.63%, due 01/17/53		4,317,500
		Total Romania		50,193,605
		Russia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	6,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (c) (d) (f)		343,500
	5,200,000	GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (c) (d) (f)		260,000
	6,800,000	GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (c) (d) (f)		340,000
	6,400,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35 (c) (d)		320,000
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35 (c) (d)		1,700,000
		Total Russia		2,963,500
		Rwanda — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	4,500,000	Rwanda International Government Bond, Reg S, 5.50%, due 08/09/31		3,382,875
		Saudi Arabia — 3.5%
		Corporate Debt — 1.3%
	29,989,900	ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39		27,671,306
	11,900,000	EIG Pearl Holdings Sarl, 144A, 4.39%, due 11/30/46		9,046,975
				36,718,281
		Sovereign and Sovereign Agency Issuers — 2.2%
	9,000,000	Saudi Government International Bond, 144A, 5.00%, due 01/18/53		8,212,500
	75,500,000	Saudi Government International Bond, Reg S, 3.45%, due 02/02/61		51,944,000
				60,156,500
		Total Saudi Arabia		96,874,781
		Senegal — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,100,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		4,978,875

Par Value†		Description	Value ($)
		Serbia — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	9,700,000	Serbia International Bond, 144A, 6.50%, due 09/26/33		9,433,250
EUR	13,600,000	Serbia International Bond, Reg S, 2.05%, due 09/23/36		8,377,298
		Total Serbia		17,810,548
		South Africa — 4.0%
		Sovereign and Sovereign Agency Issuers — 4.0%
	9,520,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		9,349,592
	19,700,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		19,281,375
ZAR	165,550,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,904,749
ZAR	441,200,000	Republic of South Africa Government International Bond, 6.50%, due 02/28/41		15,119,130
	54,400,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		39,508,000
	23,100,000	Republic of South Africa Government International Bond, 7.30%, due 04/20/52		19,866,000
	5,700,000	Transnet SOC, Ltd., 144A, 8.25%, due 02/06/28		5,714,250
ZAR	22,200,000	Transnet SOC, Ltd., 13.50%, due 04/18/28		1,333,136
		Total South Africa		112,076,232
		Sri Lanka — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	5,880,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26 (d)		2,200,590
	9,444,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27 (d)		3,380,952
	28,000,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28 (d)		10,153,080
	7,100,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29 (d)		2,574,531
	24,400,000	Sri Lanka Government International Bond, Reg S, 7.55%, due 03/28/30 (d)		8,796,200
		Total Sri Lanka		27,105,353
		SupraNational — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
TRY	213,500,000	International Finance Corp., Reg S, Zero Coupon, due 02/15/29		3,551,663
		Suriname — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	13,600,000	Republic of Suriname, Reg S, 12.88%, due 12/30/23 (d)		10,756,750
	14,259,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d)		9,596,307
		Total Suriname		20,353,057

15 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Tajikistan — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	9,274,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		7,139,821
		Trinidad And Tobago — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	21,100,000	Heritage Petroleum Co., Ltd., 144A, 9.00%, due 08/12/29		22,102,250
	9,900,000	Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29		8,712,000
		Total Trinidad And Tobago		30,814,250
		Tunisia — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
JPY	5,960,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		18,384,929
JPY	2,030,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		5,963,791
JPY	730,000,000	Banque Centrale de Tunisie SA, 3.50%, due 02/03/33		2,090,999
		Total Tunisia		26,439,719
		Turkey — 3.9%
		Sovereign and Sovereign Agency Issuers — 3.9%
	13,709,000	Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25		12,156,456
	18,702,000	Republic of Turkey, 6.00%, due 01/14/41		13,301,797
	123,313,000	Republic of Turkey, 5.75%, due 05/11/47		82,465,569
		Total Turkey		107,923,822
		Ukraine — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	5,500,000	NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 (c) (d)		922,281
	13,900,000	State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/30 (c) (d)		2,396,013
	7,919,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/28 (c) (d)		1,478,873
	4,769,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/29 (c) (d)		892,101
	19,400,000	Ukraine Government International Bond, Reg S, 9.75%, due 11/01/30 (c) (d)		3,598,700
	30,500,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/34 (c) (d)		5,230,750
	24,300,000	Ukraine Government International Bond, Reg S, 7.25%, due 03/15/35 (c) (d)		4,127,962
	200,000	Ukraine Railways Via Rail Capital Markets Plc, Reg S, 7.88%, due 07/15/28 (c) (d)		38,163
		Total Ukraine		18,684,843
		United Arab Emirates — 1.7%
		Sovereign and Sovereign Agency Issuers — 1.7%
	3,700,000	Abu Dhabi Crude Oil Pipeline LLC, Reg S, 4.60%, due 11/02/47		3,361,913

Par Value†		Description	Value ($)
		United Arab Emirates — continued
		Sovereign and Sovereign Agency Issuers — continued
	6,700,000	Abu Dhabi Government International Bond, Reg S, 3.13%, due 09/30/49		4,824,000
	7,400,000	Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70		4,440,000
	6,200,000	DAE Funding LLC, Reg S, 3.38%, due 03/20/28		5,518,000
	15,900,000	Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50		10,074,637
	23,000,000	Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51		15,525,000
	2,700,000	MDGH GMTN (RSC) Ltd., 144A, 5.50%, due 04/28/33		2,796,390
		Total United Arab Emirates		46,539,940
		United States — 1.0%
		Asset-Backed Securities — 0.2%
	779,899	CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 4.83%, due 12/15/35		747,624
	250,470	CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 4.83%, due 12/15/35		246,258
	565,949	CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 4.79%, due 05/15/36		535,306
	6,596,745	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 4.77%, due 11/25/36		2,205,021
	6,650,816	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 4.84%, due 11/25/36		2,223,281
	3,436,411	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 4.98%, due 04/25/37		1,312,952
				7,270,442
		U.S. Government — 0.8%
	9,100,000	U.S. Treasury Note, 3.88%, due 11/30/27		8,970,254
	14,000,000	U.S. Treasury Note, 3.38%, due 08/15/42 (g)		12,604,375
				21,574,629
		Total United States		28,845,071
		Uruguay — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	17,018,000	Uruguay Government International Bond, 5.10%, due 06/18/50		16,660,622

See accompanying notes to the financial statements. 16

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Uzbekistan — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	6,200,000	Republic of Uzbekistan International Bond, Reg S, 3.70%, due 11/25/30		4,968,912
	1,037,000	Uzbek Industrial & Construction Bank ATB, Reg S, 5.75%, due 12/02/24		971,151
	8,100,000	Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28		6,662,250
		Total Uzbekistan		12,602,313
		Venezuela — 1.6%
		Sovereign and Sovereign Agency Issuers — 1.6%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (d)		835,988
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d)		7,920,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d)		2,788,515
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d)		1,855,230
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d)		3,568,500
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d)		2,315,625
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d)		16,847,317
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d)		6,698,250
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d)		682,500
		Total Venezuela		43,511,925
		Vietnam — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	18,358,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		15,573,321
	8,018,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 6.08%, due 03/13/28 (c)		7,376,560
		Total Vietnam		22,949,881
		Zambia — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	2,900,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 (d)		1,230,325
	26,072,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (d)		11,602,040
		Total Zambia		12,832,365
		TOTAL DEBT OBLIGATIONS (COST $3,648,682,706)		2,514,556,850

Par Value†		Description	Value ($)
		LOAN ASSIGNMENTS — 1.2%
		Chad — 0.4%
	2,460,117	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 6.97%, due 09/30/25 (c)		2,017,295
	13,122,676	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 7.22%, due 12/31/27 (c)		8,857,807
		Total Chad		10,875,102
		Kenya — 0.1%
	2,458,335	Republic of Kenya Loan Agreement, 6 mo. LIBOR + 6.70%, 11.96%, due 04/10/25 (a)		2,286,718
		Turkey — 0.7%
	20,192,857	Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, 8.85%, due 06/23/28 (a)		19,649,339
		TOTAL LOAN ASSIGNMENTS (COST $37,052,058)		32,811,159
		LOAN PARTICIPATIONS — 0.8%
		Angola — 0.4%
	194,000	Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 9.76%, due 12/07/23 (c)		194,000
	7,771,429	Republic of Angola Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c)		7,421,714
	5,133,333	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		4,928,000
		Total Angola		12,543,714
		Egypt — 0.0%
CHF	237	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a)		218
		Iraq — 0.3%
EUR	559,895	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c)		467,838
JPY	891,873,600	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		5,142,087
JPY	189,322,071	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,091,534
JPY	80,472,432	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		463,963
		Total Iraq		7,165,422

17 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value† / Shares		Description	Value ($)
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d)		2
		Sudan — 0.1%
CHF	11,833,578	Republic of Sudan Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (c) (d)		1,256,419
CHF	5,155,077	Republic of Sudan Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (d)		547,335
		Total Sudan		1,803,754
		TOTAL LOAN PARTICIPATIONS (COST $42,059,370)		21,513,110
		INVESTMENT FUNDS — 0.3%
		Colombia — 0.3%
	6,371,845	Bona Fide Investments Feeder LLC (a) (h)		7,035,403
		TOTAL INVESTMENT FUNDS (COST $6,371,845)		7,035,403
		MUTUAL FUNDS — 2.4%
		United States — 2.4%
		Affiliated Issuers — 2.4%
	13,532,923	GMO U.S. Treasury Fund		67,529,288
		TOTAL MUTUAL FUNDS (COST $67,761,027)		67,529,288
		RIGHTS/WARRANTS — 0.3%
		Argentina — 0.2%
EUR	271,989,676	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (i)		5,088,400

Shares		Description	Value ($)
		Argentina — continued
JPY	600,789,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (a) (i)		39,023
		Total Argentina		5,127,423
		Ukraine — 0.1%
	11,746,000	Government of Ukraine GDP Linked, Variable Rate, Reg S, Expires 08/01/41 (c) (d) (i)		3,177,293
		TOTAL RIGHTS/WARRANTS (COST $44,800,544)		8,304,716
		SHORT-TERM INVESTMENTS — 1.5%
		Money Market Funds — 0.2%
	5,308,770	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (j)		5,308,770
		Repurchase Agreements — 1.3%
	35,999,722	Nomura Securities International, Inc. Repurchase Agreement, dated, 02/28/23 maturing on 3/01/23 with a maturity value of $36,004,232 and an effective yield of 4.51%, collateralized by a U.S. Treasury Note with maturity date 12/31/29 and a market value of $36,734,410.		35,999,722
		TOTAL SHORT-TERM INVESTMENTS (COST $41,308,492)		41,308,492
		TOTAL INVESTMENTS — 96.7% (Cost $3,888,036,042)		2,693,059,018
		Other Assets and Liabilities (net) — 3.3%		93,302,321
		TOTAL NET ASSETS — 100.0%	$	2,786,361,339

Additional information on each restricted security is as follows:

					Value as a
					Percentage			Value as of
Issuer	Acquisition		Acquisition		of Fund’s			February 28,
Description	Date		Cost		Net Assets			2023
Bona Fide Investments Feeder LLC		12/31/21	$	6,371,845		0.3	%	$	7,035,403
GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27		04/30/20		6,683,240		0.0	%		343,500
GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28		03/12/21		5,331,091		0.0	%		260,000
GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29		01/26/22		5,890,814		0.0	%		340,000
								$	7,978,903

See accompanying notes to the financial statements. 18

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Bond Forward Contracts

Reference Entity	Counterparty		Notional Amount			Expiration Date		Net Unrealized Appreciation/ (Depreciation)($)
Colombian TES		CITI		COP	101,950,000,000		03/16/23		(779,711	)
Colombian TES		CITI		COP	59,980,000,000		03/21/23		50,594
Colombian TES		CITI		COP	78,000,000,000		03/23/23		(131,990	)
								$	(861,107	)

Forward Currency Contracts

Settlement Date

Counterparty

Currency Sold

Currency Purchased

Net Unrealized Appreciation (Depreciation)($)

Settlement Date

Counterparty

Currency Sold

Currency Purchased

Net Unrealized Appreciation (Depreciation)($)

05/03/2023

SSB

BRL

28,700,000

USD

5,525,287

102,823

04/11/2023

JPM

COP 67,220,000,000

USD

13,515,633

(207,948

)

03/21/2023

MSCI

EUR

120,100,000

USD

128,662,890

1,488,341

05/10/2023

MSCI

PEN 36,200,000

USD

9,322,208

(171,070

)

03/21/2023

SSB

GBP

45,900,000

USD

55,282,832

53,268

$

2,217,237

03/17/2023

MSCI

JPY

4,861,900,000

USD

36,506,095

723,580

05/31/2023

MSCI

ZAR

289,300,000

USD

15,863,656

228,243

Reverse Repurchase Agreements

Average balance outstanding	$	(4,305,840	)
Average interest rate (net)		1.04	%
Maximum balance outstanding	$	(12,778,500	)

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

Credit Linked Options

Principal / Notional Amount	Expiration Date		Description	Premiums Paid/ (Received) ($)			Value ($)
Put Sold USD 7,946,000		01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (a)		(157,475	)		19,539
Put Sold USD 41,197,000		04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (a)		(1,450,009	)		135,667
Put Sold USD 81,200,000		04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) (a)		(4,508,450	)		146,469
				$	(6,115,934	)	$	301,675

19 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

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.EM.38.V1		USD	116,100,000		1.00	%		2.41	%		N/A		12/20/2027		Quarterly	$	11,377,800	$	6,636,276	$	(4,741,524	)

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^:
Republic of Nigeria		JPM		USD	9,100,000		5.00	%		4.94	%		N/A		12/20/2023		Quarterly		182,831			(3,898	)		(186,729	)
Petrobras Global Finance BV		CITI		USD	40,600,000		1.00	%		1.31	%		N/A		12/20/2024		Quarterly		644,565			218,504			(426,061	)
Republic of Brazil		CITI		USD	14,000,000		1.00	%		1.00	%		N/A		12/20/2024		Quarterly		128,035			(813	)		(128,848	)
Republic of Colombia		CITI		USD	45,000,000		1.00	%		1.47	%		N/A		12/20/2024		Quarterly		667,284			361,752			(305,532	)
Republic of South Africa		BCLY		USD	37,800,000		1.00	%		1.36	%		N/A		12/20/2024		Quarterly		718,543			233,187			(485,356	)
Republic of Turkey		BCLY		USD	14,000,000		1.00	%		4.80	%		N/A		12/20/2024		Quarterly		1,744,254			881,158			(863,096	)
Republic of Turkey		CITI		USD	19,700,000		1.00	%		4.80	%		N/A		12/20/2024		Quarterly		1,335,735			1,239,915			(95,820	)
Commonwealth of Bahamas		DB		EUR	23,501,331		1.00	%		5.04	%		N/A		06/20/2025		Quarterly		2,918,259			1,149,429			(1,768,830	)
Kingdom of Bahrain		MORD		USD	6,000,000		1.00	%		2.39	%		N/A		12/20/2027		Quarterly		546,195			342,886			(203,309	)
Republic of Colombia		CITI		USD	4,900,000		1.00	%		2.83	%		N/A		12/20/2027		Quarterly		395,462			367,073			(28,389	)
Republic of Egypt		CITI		USD	2,500,000		1.00	%		10.45	%		N/A		12/20/2027		Quarterly		712,500			757,945			45,445
Republic of Egypt		JPM		USD	2,800,000		1.00	%		10.45	%		N/A		12/20/2027		Quarterly		772,800			848,899			76,099
Republic of Egypt		JPM		USD	2,800,000		1.00	%		10.45	%		N/A		12/20/2027		Quarterly		812,000			848,899			36,899
Republic of South Africa		GS		USD	41,600,000		1.00	%		2.55	%		N/A		12/20/2027		Quarterly		3,589,670			2,657,729			(931,941	)
Republic of Turkey		MORD		USD	10,400,000		1.00	%		5.58	%		N/A		12/20/2027		Quarterly		2,530,009			1,780,230			(749,779	)
United States of Mexico		MORD		USD	16,200,000		1.00	%		1.16	%		N/A		12/20/2027		Quarterly		497,689			108,575			(389,114	)
United States of Mexico		GS		USD	16,200,000		1.00	%		1.51	%		N/A		06/20/2029		Quarterly		1,287,609			445,806			(841,803	)
United States of Mexico		GS		USD	16,200,000		1.00	%		1.82	%		N/A		09/20/2031		Quarterly		2,138,931			905,656			(1,233,275	)
Sell Protection^:
Commonwealth of Bahamas		DB		USD	2,787,000		1.00	%		5.50	%		2,787,000 USD		06/20/2023		Quarterly		(508,122	)		(25,419	)		482,703
Commonwealth of Bahamas		DB		USD	5,675,000		1.00	%		5.50	%		5,675,000 USD		06/20/2023		Quarterly		(1,017,200	)		(51,760	)		965,440

See accompanying notes to the financial statements. 20

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

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) ($)
Commonwealth of Bahamas		DB		USD	31,567,771		1.00	%		5.04	%		31,567,771 USD		06/20/2025		Quarterly		(3,380,251	)		(1,429,578	)		1,950,673
																		$	16,716,798		$	11,636,175		$	(5,080,623	)

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

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

⁽¹⁾ As of February 28, 2023, 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) ($)
BRL-CDI		12.70%		BRL	1,780,364,487		01/02/2025		At Maturity		—			19,902			19,902
0.30%		JPY-TONA-OIS-COMPOUND		JPY	9,270,000,000		12/21/2027		Annually		(67,598	)		433,714			501,312
USD - SOFR - COMPOUND		4.01%		USD	50,400,000		12/21/2027		Annually		643,722			(22,276	)		(665,998	)
0.58%		JPY-TONA-OIS-COMPOUND		JPY	4,710,000,000		12/21/2032		Annually		(108,339	)		832,645			940,984
2.80%		6 Month EURIBOR		EUR	22,600,000		03/16/2033		Semi-Annually		86,566			884,703			798,137
2.85%		GBP - SONIA - COMPOUND		GBP	24,900,000		03/15/2053		Annually		298,148			3,637,299			3,339,151
2.30%		6 Month EURIBOR		EUR	30,200,000		03/19/2053		Semi-Annually		(91,667	)		2,632,278			2,723,945
										$	760,832		$	8,418,265		$	7,657,433

21 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

As of February 28, 2023, 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) Security is backed by the United States International Development Finance Corporation.

(f) The security is restricted as to resale.

(g) 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).

(h) Private placement security; restricted as to resale. Represents investment in a pool of constitutional obligations of the Colombian government owed to individuals.

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

(j) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 63.

See accompanying notes to the financial statements. 22

GMO High Yield Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO High Yield Fund returned -2.90% (net) for the fiscal year ended February 28, 2023, as compared with -5.36% for the Markit iBoxx USD Liquid High Yield Index.

The Fund was invested in a mix of index portfolio products as well as cash high yield bonds. During the fiscal year, the Fund moved exposures between different products based on changes in the model’s alpha signals as well as other factors.

The Fund’s allocation to portfolio products, including standardized total return swaps and credit default swap indices, contributed positively towards outperformance over the benchmark, as did the short volatility overlay, while the high-quality BB bonds in the Fund underperformed the benchmark.

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

23

GMO High Yield Fund

(A Series of GMO Trust)

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

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

As of February 28, 2023

	Average Annual Total Returns
	1 Year	Since Inception
Class VI	-2.90%	6/25/18 3.59%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited.

For Class VI the gross expense ratio of 0.55% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Class listed above, the net expense ratio of 0.46% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

24

GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		52.1	%
Debt Obligations		46.8
Swap Contracts		1.4
Futures Contracts		(0.0	)^
Written Options		(0.0	)^
Other		(0.3	)
		100.0	%
Industry Group Summary¤	% of Investments
Consumer Cyclical		21.7	%
Communications		15.4
Consumer Non-Cyclical		11.4
Energy		10.9
Communications		8.8
Technology		5.9
Basic Industry		5.0
Transportation		4.9
Electric		4.0
Finance Companies		3.0
REITS		2.4
Other Financial		2.1
Insurance		1.8
Banking		1.0
Cash/Cash Equivalents		0.8
Brokerage/Asset Managers/Exchanges		0.5
Other Industrial		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).

¤ 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%.

25

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 46.8%
		Corporate Debt — 19.5%
		Australia — 1.6%
	2,625,000	FMG Resources August 2006 Pty. Ltd., 144A, 4.38%, due 04/01/31		2,214,715
	1,950,000	Mineral Resources Ltd, 144A, 8.00%, due 11/01/27		1,940,250
		Total Australia		4,154,965
		Canada — 0.5%
	190,000	Air Canada, 144A, 3.88%, due 08/15/26		171,158
	1,200,000	Methanex Corp, 5.25%, due 12/15/29		1,099,500
		Total Canada		1,270,658
		Cayman Islands — 1.2%
	950,000	Melco Resorts Finance Ltd, 144A, 5.75%, due 07/21/28		816,402
	1,500,000	Melco Resorts Finance Ltd, 144A, 5.38%, due 12/04/29		1,239,765
	981,000	Sands China Ltd, 5.90%, due 08/08/28		928,993
		Total Cayman Islands		2,985,160
		United Kingdom — 0.7%
	1,020,000	Virgin Media Secured Finance Plc, 144A, 5.50%, due 05/15/29		924,283
	1,000,000	Virgin Media Secured Finance Plc, 144A, 4.50%, due 08/15/30		823,233
		Total United Kingdom		1,747,516
		United States — 15.5%
	650,000	American Airlines, Inc. / AAdvantage Loyalty IP Ltd., 144A, 5.50%, due 04/20/26		632,611
	1,950,000	American Airlines, Inc. / AAdvantage Loyalty IP Ltd., 144A, 5.75%, due 04/20/29		1,854,675
	325,000	Apache Corp., 5.35%, due 07/01/49		257,429
	125,000	Bath & Body Works, Inc., 6.88%, due 11/01/35		110,324
	3,750,000	CCO Holdings LLC / CCO Holdings Capital Corp., 144A, 4.75%, due 03/01/30		3,153,637
	250,000	Cogent Communications Group, Inc., 144A, 3.50%, due 05/01/26		227,065
	748,000	CoreCivic, Inc., 8.25%, due 04/15/26		757,253
	1,500,000	Crown Americas LLC, 5.25%, due 04/01/30		1,395,557
	500,000	Delta Air Lines, Inc., 7.38%, due 01/15/26		514,500
	400,000	Enact Holdings, Inc., 144A, 6.50%, due 08/15/25		393,100
	1,125,000	FirstEnergy Corp., 4.15%, due 07/15/27		1,049,400
	125,000	Fluor Corp., 4.25%, due 09/15/28		112,787
	1,000,000	Gap, Inc. (The), 144A, 3.88%, due 10/01/31		717,460
	1,100,000	Howard Hughes Corp. (The), 144A, 5.38%, due 08/01/28		996,875

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	1,050,000	Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.25%, due 05/15/27		971,300
	1,625,000	Icahn Enterprises LP / Icahn Enterprises Finance Corp., 4.38%, due 02/01/29		1,403,517
	1,975,000	Iron Mountain Information Management Services, Inc., 144A, 5.00%, due 07/15/32		1,628,861
	500,000	KB Home, 4.80%, due 11/15/29		436,250
	2,650,000	Kohl’s Corp., 3.63%, due 05/01/31		1,863,215
	625,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, 4.25%, due 02/01/27		531,290
	1,500,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, 4.75%, due 06/15/29		1,219,760
	700,000	Las Vegas Sands Corp., 3.50%, due 08/18/26		640,434
	1,800,000	Las Vegas Sands Corp., 3.90%, due 08/08/29		1,569,464
	1,625,000	Mattel, Inc., 144A, 3.38%, due 04/01/26		1,490,937
	750,000	Molina Healthcare, Inc., 144A, 3.88%, due 05/15/32		615,757
	625,000	Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31		505,694
	262,000	New Fortress Energy, Inc., 144A, 6.75%, due 09/15/25		245,667
	1,500,000	New Fortress Energy, Inc., 144A, 6.50%, due 09/30/26		1,372,500
	1,125,000	Newell Brands, Inc., 5.63%, due 04/01/36		952,814
	316,000	NextEra Energy Operating Partners LP, 144A, 4.50%, due 09/15/27		289,930
	812,000	Occidental Petroleum Corp., 8.50%, due 07/15/27		871,187
	850,000	OneMain Finance Corp., 6.13%, due 03/15/24		838,084
	250,000	OneMain Finance Corp., 6.88%, due 03/15/25		244,058
	875,000	OneMain Finance Corp., 7.13%, due 03/15/26		850,596
	375,000	OneMain Finance Corp., 6.63%, due 01/15/28		349,203
	1,750,000	PDC Energy, Inc., 5.75%, due 05/15/26		1,671,226
	836,000	PG&E Corp., 5.00%, due 07/01/28		763,310
	750,000	PG&E Corp., 5.25%, due 07/01/30		669,375
	375,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26		362,344
	800,000	Spirit AeroSystems, Inc., 3.85%, due 06/15/26		743,998
	171,875	Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 144A, 8.00%, due 09/20/25		172,519
	378,125	Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 144A, 8.00%, due 09/20/25		379,543
	400,000	Topaz Solar Farms LLC, 144A, 5.75%, due 09/30/39		370,628
	1,350,000	United Airlines, Inc., 144A, 4.38%, due 04/15/26		1,270,592

See accompanying notes to the financial statements. 26

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value† / Shares		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	748,000	United Airlines, Inc., 144A, 4.63%, due 04/15/29		663,129
	565,000	Western Midstream Operating LP, 3.35%, due 02/01/25		535,487
	1,375,000	Western Midstream Operating LP, 3.95%, due 06/01/25		1,306,250
		Total United States		39,971,592
		Total Corporate Debt		50,129,891
		U.S. Government — 27.3%
	3,480,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 4.84%, due 07/31/23 (a)		3,479,128
	54,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.73%, due 04/30/24 (a)		53,918,206
	6,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 07/31/24 (a)		5,997,945
	6,700,000	U.S. Treasury Note, Variable Rate, SOFR + 0.20%, 5.01%, due 01/31/25 (a)		6,707,023
		Total U.S. Government		70,102,302
		TOTAL DEBT OBLIGATIONS (COST $122,744,232)		120,232,193
		SHORT-TERM INVESTMENTS — 52.1%
		Repurchase Agreements — 41.2%
	105,999,397	Nomura Securities International, Inc. Repurchase Ageement, dated 02/28/23, maturing on 03/01/23 with a maturity value of $106,012,676 and an effective yield of 4.51%, collateralized by a U.S. Treasury Note with maturity date 12/31/29 and a market value of $108,162,650.		105,999,397
		U.S. Government Agency — 9.7%
	25,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 4.62%, due 04/06/23		25,000,732
		Money Market Funds — 1.2%
	3,093,108	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (b)		3,093,108
		TOTAL SHORT-TERM INVESTMENTS (COST $134,092,505)		134,093,237
		TOTAL INVESTMENTS — 98.9% (Cost $256,836,737)		254,325,430
		Other Assets and Liabilities (net) — 1.1%		2,889,641
		TOTAL NET ASSETS — 100.0%	$	257,215,071

27 See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
68	U.S. Treasury Note 10 Yr. (CBT)	June 2023		7,592,625		11,751
55	U.S. Treasury Note 2 Yr. (CBT)	June 2023		11,204,961		(7,164	)
163	U.S. Treasury Note 5 Yr. (CBT)	June 2023		17,449,914		(6,497	)
			$	36,247,500	$	(1,910	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
4	U.S. Long Bond (CBT)	June 2023		500,875		119
1	U.S. Ultra Bond (CBT)	June 2023		135,062		22
			$	635,937	$	141

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps – Puts

CDX.NA.HYS.39

DB

99.00%

03/15/23

USD (50,188,000)

Fixed Spread

Pay

(64,112

)

TOTAL WRITTEN OPTIONS

(Premiums $612,795)

$

(64,112

)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Sell Protection^:
CDX.NA.HYS.39.V1		USD 42,408,000		5.00	%		4.63	%		42,408,000 USD		12/20/2027		Quarterly	$	840,336	$	587,139	$	(253,197	)

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

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

⁽¹⁾  As of February 28, 2023, 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. 28

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount	Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iBoxx USD Liquid High Yield Index	BCLY	USD 29,740,000	03/20/2023	Quarterly		628			858,739			858,111
SOFR	Total Return on iBoxx USD Liquid High Yield Index	MSCI	USD 73,200,000	03/20/2023	Quarterly		(2,739	)		2,386,902			2,389,641
SOFR	Total Return on iBoxx USD Liquid High Yield Index	MSCI	USD 24,730,000	03/20/2023	Quarterly		(654	)		172,227			172,881
SOFR	Total Return on iBoxx USD Liquid High Yield Index	JPM	USD 22,440,000	03/20/2023	Quarterly		(593	)		177,318			177,911
Total Return on iShares iBoxx High Yield Corporate Bond ETF	SOFR	MORD	USD 29,510,000	03/20/2023	At Maturity		(593,691	)		(852,098	)		(258,407	)
1 Month Federal Funds Rate minus 1.85%	Total Return on iShares iBoxx High Yield Corporate Bond ETF	GS	USD 30,004,039	03/22/2023	Monthly		—			239,416			239,416
						$	(597,049	)	$	2,982,504		$	3,579,553

As of February 28, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 63.

29 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Multi-Sector Fixed Income Fund returned –10.54% (net) for the fiscal year ended February 28, 2023, as compared with -9.72% for the Bloomberg U.S. Aggregate Index.

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

The Fund’s overweight positioning to off-benchmark securitized products and emerging country debt added relative returns, while security selection from investment grade corporate bonds also provided support. Active rates and currencies strategies drew down during the period.

Developed markets interest rate performance was near flat, as gains from active duration positions in Switzerland and the U.S. washed with losses from European and UK exposure. Slope positioning (2-year vs. 10-year) added value, namely from trading European and Canadian interest rate curves.

Developed market currency positioning hurt the portfolio, most notably because of U.S. dollar strength, but market selection also contributed to the drawdown. Currency selection was negative in Japanese yen and Norwegian krone, but positive in Canadian dollar. Exposure to emerging currencies outperformed, as cross-market selection was strong in LatAm and Asia.

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

31

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

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

GMO Multi-Sector Fixed Income Fund Class III Shares and the

Bloomberg U.S. Aggregate Index

As of February 28, 2023

	Average Annual Total Returns
	1 Year	5 Year	10 Year
Class III	-10.54%	0.42%	1.31%
Class IV	-10.56%	0.45%	1.36%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

For Class III and IV the gross expense ratio of 0.68% and 0.64%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.45% and 0.40% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

32

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		76.0	%
Short-Term Investments		37.2
Swap Contracts		0.5
Forward Currency Contracts		0.4
Loan Assignments		0.1
Loan Participations		0.0^
Rights/Warrants		0.0^
Investment Funds		0.0^
Purchased Options		0.0^
Bond Forward Contracts		(0.0	)^
Written Options/Credit Linked Options		(0.0	)^
Futures Contracts		(0.0	)^
Other		(14.2	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		95.3	%
Australia		11.2
Switzerland		5.9
Other Developed		0.6	‡
New Zealand		(1.7	)
Sweden		(3.9	)
Euro Region		(7.4	)§
		100.0	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. 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. 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.

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

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

^ Rounds to 0.0%.

33

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 54.1%
		Canada — 0.5%
		Corporate Debt
	150,000	Fairfax Financial Holdings Ltd, 144A, 5.63%, due 08/16/32		142,593
	150,000	Rogers Communications Inc, 5.00%, due 03/15/44		130,227
	150,000	Rogers Communications Inc, 144A, 4.50%, due 03/15/42		122,970
	150,000	Rogers Communications Inc, 144A, 4.55%, due 03/15/52		119,632
		Total Canada		515,422
		Germany — 0.7%
		Corporate Debt
	400,000	Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25		383,681
	200,000	Deutsche Bank AG, Variable Rate, 6.72%, due 01/18/29		202,118
	200,000	Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31		166,916
		Total Germany		752,715
		Ireland — 0.4%
		Corporate Debt
	250,000	AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.65%, due 07/21/27		226,423
	200,000	AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.30%, due 01/30/32		160,048
		Total Ireland		386,471
		Japan — 1.7%
		Corporate Debt
	300,000	Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.08%, due 04/19/28		284,745
	200,000	Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.32%, due 04/19/33		181,858
	200,000	Mizuho Financial Group Inc, 5.75%, due 05/27/34		199,011
	200,000	Mizuho Financial Group, Inc., 4.02%, due 03/05/28		188,288
	250,000	Mizuho Financial Group, Inc., 4.25%, due 09/11/29		233,219
	200,000	Sumitomo Mitsui Financial Group Inc, 5.46%, due 01/13/26		199,561
	200,000	Sumitomo Mitsui Financial Group Inc, 5.77%, due 01/13/33		201,626
	250,000	Takeda Pharmaceutical Co. Ltd., 5.00%, due 11/26/28		246,836
		Total Japan		1,735,144

Par Value†		Description	Value ($)
		Netherlands — 0.4%
		Corporate Debt
	200,000	ING Groep NV, Variable Rate, 4.02%, due 03/28/28		187,822
	350,000	ING Groep NV, Variable Rate, 2.73%, due 04/01/32		282,344
		Total Netherlands		470,166
		Spain — 0.6%
		Corporate Debt
	200,000	Banco Bilbao Vizcaya Argentaria SA, 1.13%, due 09/18/25		179,095
	200,000	Banco Bilbao Vizcaya Argentaria SA, Variable Rate, 5.86%, due 09/14/26		198,557
	200,000	Banco Bilbao Vizcaya Argentaria SA, Variable Rate, 6.14%, due 09/14/28		202,618
		Total Spain		580,270
		United Kingdom — 3.7%
		Corporate Debt
	200,000	Barclays Plc, Variable Rate, 5.50%, due 08/09/28		195,988
	200,000	Barclays Plc, Variable Rate, 4.97%, due 05/16/29		190,458
	300,000	Barclays Plc, Variable Rate, 2.89%, due 11/24/32		232,929
	300,000	BAT Capital Corp., 4.39%, due 08/15/37		232,865
	200,000	HSBC Holdings Plc, Variable Rate, 2.25%, due 11/22/27		175,928
	200,000	HSBC Holdings Plc, Variable Rate, 4.58%, due 06/19/29		187,927
	500,000	HSBC Holdings Plc, Variable Rate, 3.97%, due 05/22/30		447,997
	250,000	Lloyds Banking Group Plc, Variable Rate, 3.75%, due 03/18/28		231,346
	200,000	Lloyds Banking Group Plc, 4.55%, due 08/16/28		189,443
	250,000	Mead Johnson Nutrition Co., 4.13%, due 11/15/25		242,810
	250,000	Natwest Group Plc, Variable Rate, 3.07%, due 05/22/28		225,562
	200,000	Natwest Group Plc, Variable Rate, 4.89%, due 05/18/29		191,176
	200,000	NatWest Group Plc, Variable Rate, 4.52%, due 06/25/24		198,921
	250,000	Prudential Plc, 3.13%, due 04/14/30		220,029
	150,000	RELX Capital Inc, 4.00%, due 03/18/29		138,872
	300,000	Reynolds American, Inc., 5.70%, due 08/15/35		272,781
	250,000	Reynolds American, Inc., 6.15%, due 09/15/43		229,166
		Total United Kingdom		3,804,198
		United States — 46.1%
		Asset-Backed Securities — 3.2%
	3,380,000	Citigroup Commercial Mortgage Trust, 144A, 3.90%, due 05/10/36		3,338,035

See accompanying notes to the financial statements. 34

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — 16.8%
	300,000	AbbVie, Inc., 4.50%, due 05/14/35		278,459
	250,000	AES Corp. (The), 1.38%, due 01/15/26		221,241
	150,000	AES Corp. (The), 2.45%, due 01/15/31		119,150
	250,000	Aircastle Ltd., 4.13%, due 05/01/24		244,160
	200,000	Aircastle Ltd., 4.25%, due 06/15/26		189,840
	250,000	Altria Group, Inc., 5.80%, due 02/14/39		230,395
	150,000	Altria Group, Inc., 5.95%, due 02/14/49		134,312
	350,000	Altria Group, Inc., 4.00%, due 02/04/61		231,370
	150,000	Amcor Finance USA, Inc., 3.63%, due 04/28/26		141,577
	200,000	American Financial Group, Inc., 4.50%, due 06/15/47		165,202
	250,000	Amgen, Inc., 4.40%, due 02/22/62		200,173
	150,000	Arch Capital Group US, Inc., 5.14%, due 11/01/43		136,355
	250,000	Athene Holding Ltd., 4.13%, due 01/12/28		233,754
	200,000	Athene Holding Ltd., 6.15%, due 04/03/30		201,907
	150,000	AutoZone, Inc., 4.00%, due 04/15/30		137,843
	100,000	Baxalta, Inc., 5.25%, due 06/23/45		94,720
	200,000	Biogen, Inc., 4.05%, due 09/15/25		193,629
	150,000	Biogen, Inc., 2.25%, due 05/01/30		121,442
	200,000	Boeing Co. (The), 5.71%, due 05/01/40		190,404
	200,000	Boeing Co. (The), 5.81%, due 05/01/50		190,245
	250,000	Boeing Co. (The), 5.93%, due 05/01/60		233,455
	150,000	Booking Holdings, Inc., 3.60%, due 06/01/26		142,982
	300,000	Broadcom, Inc., 144A, 3.42%, due 04/15/33		241,529
	150,000	Broadcom, Inc., 144A, 4.93%, due 05/15/37		130,474
	200,000	Cardinal Health, Inc., 3.08%, due 06/15/24		193,673
	300,000	Cardinal Health, Inc., 4.37%, due 06/15/47		239,530
	400,000	Carrier Global Corp., 2.72%, due 02/15/30		337,543
	150,000	CDW LLC / CDW Finance Corp., 4.25%, due 04/01/28		136,456
	200,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 5.38%, due 04/01/38		167,320
	100,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 6.83%, due 10/23/55		94,051
	400,000	Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27		394,642
	200,000	Cheniere Energy Partners LP, 5.38%, due 07/15/25		197,533
	250,000	Cheniere Energy Partners LP, 4.50%, due 10/01/29		226,877
	200,000	Cheniere Energy Partners LP, 4.00%, due 03/01/31		172,330
	250,000	Cigna Group (The), 3.88%, due 10/15/47		191,045
	150,000	Cigna Group (The), 4.90%, due 12/15/48		134,910
	150,000	Continental Resources, Inc., 4.90%, due 06/01/44		112,251
	350,000	Corning, Inc., 5.45%, due 11/15/79		310,127
	200,000	DCP Midstream Operating LP, 5.63%, due 07/15/27		197,993

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	200,000	Dick’s Sporting Goods, Inc., 3.15%, due 01/15/32		157,967
	200,000	Dick’s Sporting Goods, Inc., 4.10%, due 01/15/52		132,782
	500,000	Elevance Health, Inc., 2.38%, due 01/15/25		473,342
	100,000	Eli Lilly & Co., 3.38%, due 03/15/29		92,826
	150,000	Eli Lilly & Co., 4.15%, due 03/15/59		131,284
	200,000	F&G Annuities & Life, Inc., 7.40%, due 01/13/28		200,078
	150,000	Gilead Sciences, Inc., 4.00%, due 09/01/36		132,078
	250,000	GLP Capital LP / GLP Financing II, Inc., 5.38%, due 04/15/26		243,807
	150,000	GLP Capital LP / GLP Financing II, Inc., 5.75%, due 06/01/28		146,696
	250,000	GLP Capital LP / GLP Financing II, Inc., 4.00%, due 01/15/31		214,375
	200,000	HCA, Inc., 5.25%, due 06/15/49		172,500
	150,000	Host Hotels & Resorts LP, 3.50%, due 09/15/30		124,688
	150,000	International Business Machines Corp., 4.15%, due 05/15/39		127,199
	150,000	International Business Machines Corp., 3.43%, due 02/09/52		105,158
	150,000	Interpublic Group of Cos., Inc. (The), 4.75%, due 03/30/30		143,050
	150,000	Kirby Corp., 4.20%, due 03/01/28		140,031
	300,000	Kyndryl Holdings, Inc., 3.15%, due 10/15/31		223,976
	350,000	Las Vegas Sands Corp., 3.50%, due 08/18/26		320,217
	250,000	Lowe’s Cos., Inc., 5.80%, due 09/15/62		241,519
	100,000	Marathon Oil Corp., 5.20%, due 06/01/45		84,252
	150,000	McDonald’s Corp., (MTN), 4.70%, due 12/09/35		141,982
	150,000	McDonald’s Corp., (MTN), 4.45%, due 03/01/47		129,523
	150,000	Morgan Stanley, Variable Rate, 3.62%, due 04/01/31		132,821
	150,000	Motorola Solutions, Inc., 2.30%, due 11/15/30		117,332
	150,000	Motorola Solutions, Inc., 2.75%, due 05/24/31		119,223
	150,000	Motorola Solutions, Inc., 5.60%, due 06/01/32		146,831
	300,000	Mylan, Inc., 5.20%, due 04/15/48		229,119
	150,000	Northrop Grumman Corp., 5.15%, due 05/01/40		145,478
	200,000	NVIDIA Corp., 3.50%, due 04/01/50		155,097
	200,000	Omega Healthcare Investors, Inc., 3.38%, due 02/01/31		157,603
	150,000	Omega Healthcare Investors, Inc., 3.25%, due 04/15/33		107,221
	250,000	O’Reilly Automotive, Inc., 4.20%, due 04/01/30		234,369
	200,000	O’Reilly Automotive, Inc., 4.70%, due 06/15/32		190,568

35 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)

February 28, 2023

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	200,000	Otis Worldwide Corp., 2.06%, due 04/05/25		186,572
	250,000	Pacific Gas & Electric Co., 3.75%, due 07/01/28		224,659
	250,000	Pacific Gas & Electric Co., 5.90%, due 06/15/32		241,606
	150,000	Pacific Gas & Electric Co., 4.75%, due 02/15/44		117,464
	200,000	Philip Morris International, Inc., 4.13%, due 03/04/43		157,941
	250,000	Philip Morris International, Inc., 4.88%, due 11/15/43		217,671
	150,000	Philip Morris International, Inc., 4.25%, due 11/10/44		119,655
	150,000	Reinsurance Group of America, Inc., 3.90%, due 05/15/29		137,333
	250,000	Reinsurance Group of America, Inc., 3.15%, due 06/15/30		213,751
	200,000	Ross Stores, Inc., 4.60%, due 04/15/25		196,912
	200,000	Southern Copper Corp, 5.88%, due 04/23/45		201,163
	150,000	State Street Corp., Variable Rate, 4.82%, due 01/26/34		144,611
	150,000	Synchrony Financial, 4.25%, due 08/15/24		146,377
	150,000	T-Mobile USA, Inc., 2.05%, due 02/15/28		128,738
	250,000	T-Mobile USA, Inc., 5.80%, due 09/15/62		245,125
	150,000	Trane Technologies Luxembourg Finance SA, 3.80%, due 03/21/29		138,125
	350,000	Union Pacific Corp., 4.10%, due 09/15/67		274,502
	350,000	Union Pacific Corp., 3.80%, due 04/06/71		255,973
	50,000	UnitedHealth Group, Inc., 4.95%, due 05/15/62		47,059
	300,000	Utah Acquisition Sub, Inc., 5.25%, due 06/15/46		233,430
	150,000	VeriSign, Inc., 2.70%, due 06/15/31		121,112
	350,000	Viatris, Inc., 4.00%, due 06/22/50		225,756
	200,000	Williams Cos, Inc. (The), 5.10%, due 09/15/45		175,803
	150,000	Willis North America, Inc., 4.50%, due 09/15/28		142,241
				17,419,470
		U.S. Government — 11.1%
	11,500,000	U.S. Treasury Bonds, 1.13%, due 08/15/40 (a)		7,242,754
	3,900,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.73%, due 04/30/24 (a)		3,894,093
	450,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 07/31/24		449,846
				11,586,693
		U.S. Government Agency — 15.0%
	400,000	Federal National Mortgage Association, TBA, 2.00%, due 03/13/53		325,742

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government Agency — continued
	6,200,000	Federal National Mortgage Association, TBA, 2.50%, due 03/16/38		5,653,625
	5,800,000	Federal National Mortgage Association, TBA, 3.00%, due 03/13/53		5,100,941
	2,100,000	Federal National Mortgage Association, TBA, 2.50%, due 03/13/53		1,778,684
	3,000,000	Federal National Mortgage Association, TBA, 3.00%, due 03/21/53		2,677,793
				15,536,785
		Total United States		47,880,983
		TOTAL DEBT OBLIGATIONS (COST $59,468,788)		56,125,369
		MUTUAL FUNDS — 26.8%
		United States — 26.8%
		Affiliated Issuers
	247,731	GMO Emerging Country Debt Fund, Class VI		4,374,928
	974,867	GMO Opportunistic Income Fund, Class VI		23,494,304
		TOTAL MUTUAL FUNDS (COST $32,367,720)		27,869,232
		SHORT-TERM INVESTMENTS — 33.2%
		Repurchase Agreements — 3.4%
	3,499,595	Nomura Securities International, Inc. Repurchase Agreement, dated, 02/28/23 maturing on 03/01/23 with a maturity value of $3,500,033 and an effective yield of 4.51%, collateralized by a U.S. Treasury Note with maturity date 12/31/29 and a market value of $3,571,015.		3,499,595
		Money Market Funds — 0.3%
	282,880	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (b)		282,880
		Sovereign and Sovereign Agency Issuers — 19.9%
JPY	1,920,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/27/23		14,103,003
JPY	902,200,000	Japan Treasury Discount Bill, Zero Coupon, due 05/15/23		6,628,210
		Total Sovereign and Sovereign Agency Issuers		20,731,213

See accompanying notes to the financial statements. 36

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		U.S. Government Agency — 9.6%
	10,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 4.59%, due 06/05/23		9,999,941
		TOTAL SHORT-TERM INVESTMENTS (COST $34,680,315)		34,513,629
		TOTAL INVESTMENTS — 114.1% (Cost $126,516,823)		118,508,230
		Other Assets and Liabilities (net) —(14.1%)		(14,638,919	)
		TOTAL NET ASSETS — 100.0%	$	103,869,311

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
05/09/2023	BOA		AUD	670,000		USD	452,174		260
05/09/2023	BCLY		AUD	2,350,000		USD	1,624,574		39,504
05/09/2023	MSCI		AUD	540,000		USD	374,178		9,949
05/03/2023	GS		BRL	350,000		USD	67,080		952
05/03/2023	JPM		BRL	400,000		USD	75,912		338
04/03/2023	BCLY		CAD	570,000		USD	425,659		7,805
04/03/2023	GS		CAD	810,000		USD	600,457		6,664
04/03/2023	SSB		CAD	600,000		USD	446,956		7,110
05/16/2023	BCLY		CHF	5,293,976		USD	5,825,911		159,980
04/11/2023	MSCI		COP	960,000,000		USD	199,456		3,464
03/21/2023	SSB		GBP	1,260,000		USD	1,517,568		1,462
05/16/2023	MSCI		HUF	35,000,000		USD	96,238		664
05/08/2023	GS		IDR	2,200,000,000		USD	145,541		1,468
03/31/2023	DB		ILS	1,536,203		USD	432,941		12,081
05/31/2023	MSCI		ILS	350,000		USD	96,951		806
03/27/2023	BOA		JPY	1,920,000,000		USD	14,231,587		80,744
05/15/2023	CITI		JPY	902,200,000		USD	7,121,934		425,355
05/08/2023	CITI		KRW	140,000,000		USD	106,427		138
05/08/2023	GS		KRW	160,000,000		USD	122,063		589
05/31/2023	MSCI		NZD	1,820,000		USD	1,130,484		5,212
05/31/2023	SSB		NZD	950,000		USD	592,159		4,792
04/28/2023	CITI		PHP	15,500,000		USD	282,375		3,425
05/22/2023	GS		PLN	1,050,000		USD	235,165		412
04/27/2023	BCLY		RON	2,981,041		USD	642,855		4,174
05/22/2023	MSCI		SGD	870,686		USD	652,757		5,625
05/22/2023	BCLY		THB	16,222,300		USD	473,920		11,229
03/08/2023	MSCI		TWD	23,445,600		USD	785,468		21,322
05/03/2023	GS		USD	112,910		BRL	600,000		452
04/10/2023	JPM		USD	144,014		CLP	120,000,000		236
04/10/2023	MSCI		USD	304,841		CLP	260,271,500		8,029
04/11/2023	JPM		USD	605,943		COP	3,013,658,000		9,323
05/22/2023	BCLY		USD	197,069		INR	16,420,556		512

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
04/20/2023	MSCI		USD	824,806		MXN	15,619,101		20,962
05/10/2023	MSCI		USD	72,105		PEN	280,000		1,323
05/31/2023	MSCI		ZAR	1,400,000		USD	76,536		872
04/11/2023	MSCI		COP	1,280,000,000		USD	258,354		(2,969	)
04/17/2023	MSCI		CZK	15,642,868		USD	702,022		(289	)
05/10/2023	MSCI		PEN	280,000		USD	72,558		(871	)
05/22/2023	MSCI		PLN	300,000		USD	66,637		(435	)
05/08/2023	BCLY		SEK	12,397,350		USD	1,177,459		(11,061	)
05/03/2023	CITI		USD	96,641		BRL	500,000		(2,173	)
05/03/2023	GS		USD	87,521		BRL	450,000		(2,500	)
05/03/2023	SSB		USD	455,050		BRL	2,363,667		(8,468	)
04/03/2023	BCLY		USD	3,865,345		CAD	5,187,182		(62,741	)
04/10/2023	MSCI		USD	341,139		CLP	280,000,000		(4,553	)
04/17/2023	CITI		USD	226,654		CZK	5,000,000		(2,171	)
04/17/2023	GS		USD	108,325		CZK	2,400,000		(573	)
04/17/2023	MSCI		USD	71,878		CZK	1,600,000		(44	)
03/31/2023	GS		USD	1,081,259		EUR	1,010,000		(11,127	)
03/31/2023	JPM		USD	4,773,781		EUR	4,470,000		(37,651	)
05/16/2023	JPM		USD	602,605		HUF	219,769,900		(2,485	)
05/08/2023	JPM		USD	179,939		IDR	2,694,041,000		(3,511	)
03/17/2023	MSCI		USD	5,037,540		JPY	670,902,084		(99,848	)
05/08/2023	BCLY		USD	12,886		KRW	15,778,325		(907	)
05/08/2023	GS		USD	64,944		KRW	80,000,000		(4,207	)
04/17/2023	BOA		USD	416,095		NOK	4,100,000		(20,352	)
04/17/2023	MSCI		USD	3,662,886		NOK	36,385,429		(150,863	)
05/31/2023	SSB		USD	329,211		NZD	530,000		(1,522	)
04/28/2023	JPM		USD	136,225		PHP	7,500,000		(1,250	)
05/08/2023	BCLY		USD	760,343		SEK	7,900,000		(2,979	)
05/22/2023	BCLY		USD	131,261		THB	4,500,000		(2,912	)
05/31/2023	MSCI		USD	274,173		ZAR	5,000,000		(3,945	)
								$	414,826

37 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

Futures Contracts

Number of Contracts +		Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
	Buys
	24	U.S. Long Bond (CBT)		June 2023		3,005,250		(1,533	)
	57	U.S. Treasury Note 10 Yr. (CBT)		June 2023		6,364,406		6,216
	28	U.S. Treasury Note 2 Yr. (CBT)		June 2023		5,704,344		(11,384	)
	133	U.S. Treasury Note 5 Yr. (CBT)		June 2023		14,238,273		(14,704	)
	36	U.S. Treasury Ultra 10 Yr. (CBT)		June 2023		4,218,750		(10,097	)
					$	33,531,023	$	(31,502	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.56%	3 Month AUD BBSW		AUD	3,000,000		03/15/2025		Quarterly		—			24,204			24,204
3.66%	3 Month AUD BBSW		AUD	4,500,000		03/15/2025		Quarterly		—			30,598			30,598
3.70%	3 Month AUD BBSW		AUD	14,859,000		03/15/2025		Quarterly		2,836			93,284			90,448
3 Month AUD BBSW	3.63%		AUD	3,500,000		03/15/2025		Quarterly		—			(25,308	)		(25,308	)
3 Month AUD BBSW	3.73%		AUD	3,000,000		03/15/2025		Quarterly		—			(17,636	)		(17,636	)
3 Month AUD BBSW	3.85%		AUD	5,000,000		03/15/2025		Quarterly		—			(21,988	)		(21,988	)
3 Month AUD BBSW	3.92%		AUD	4,000,000		03/15/2025		Quarterly		—			(13,882	)		(13,882	)
3.99%	3 Month CAD CDOR		CAD	12,828,000		03/15/2025		Semi-Annually		5,996			123,947			117,951
3.83%	3 Month CAD CDOR		CAD	5,000,000		03/15/2025		Semi-Annually		—			59,628			59,628
3 Month CAD CDOR	4.00%		CAD	2,500,000		03/15/2025		Semi-Annually		—			(23,801	)		(23,801	)
3 Month CAD CDOR	4.75%		CAD	1,500,000		03/15/2025		Semi-Annually		—			1,371			1,371
CHF - SARON - OIS - COMPOUND	1.36%		CHF	2,500,000		03/15/2025		Annually		—			(24,231	)		(24,231	)
CHF - SARON - OIS - COMPOUND	1.57%		CHF	1,500,000		03/15/2025		Annually		—			(7,930	)		(7,930	)
1.18%	CHF - SARON - OIS - COMPOUND		CHF	7,988,000		03/15/2025		Annually		907			106,584			105,677
EUR - EuroSTR - COMPOUND	2.93%		EUR	1,500,000		03/15/2025		Annually		—			(19,755	)		(19,755	)
EUR - EuroSTR - COMPOUND	2.97%		EUR	5,500,000		03/15/2025		Annually		—			(68,791	)		(68,791	)
3.19%	EUR - EuroSTR - COMPOUND		EUR	2,500,000		03/15/2025		Annually		—			19,773			19,773
GBP - SONIA - COMPOUND	4.27%		GBP	5,436,000		03/15/2025		Annually		(2,696	)		(37,863	)		(35,167	)
4.45%	GBP - SONIA - COMPOUND		GBP	2,000,000		03/15/2025		Annually		—			6,141			6,141
4.17%	GBP - SONIA - COMPOUND		GBP	3,000,000		03/15/2025		Annually		—			27,874			27,874
4.05%	GBP - SONIA - COMPOUND		GBP	2,000,000		03/15/2025		Annually		—			24,059			24,059
4.87%	3 Month NZD Bank Bill Rate		NZD	2,500,000		03/15/2025		Quarterly		2,008			14,649			12,641
3.20%	3 Month SEK STIBOR		SEK	20,000,000		03/15/2025		Quarterly		—			24,992			24,992
2.97%	3 Month SEK STIBOR		SEK	25,000,000		03/15/2025		Quarterly		—			41,480			41,480
3 Month SEK STIBOR	3.10%		SEK	163,396,000		03/15/2025		Quarterly		1,677			(231,720	)		(233,397	)
3 Month SEK STIBOR	3.13%		SEK	20,000,000		03/15/2025		Quarterly		—			(27,330	)		(27,330	)
USD - SOFR - COMPOUND	4.19%		USD	2,000,000		03/15/2025		Annually		—			(26,196	)		(26,196	)
USD - SOFR - COMPOUND	4.54%		USD	3,000,000		03/15/2025		Annually		—			(19,690	)		(19,690	)
4.14%	USD - SOFR - COMPOUND		USD	4,958,000		03/15/2025		Annually		3,653			70,166			66,513

See accompanying notes to the financial statements. 38

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

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) ($)
4.24%	3 Month AUD BBSW	AUD	5,000,000	06/21/2025		Quarterly		—			(1,300	)		(1,300	)
EUR - EuroSTR - COMPOUND	3.61%	EUR	1,500,000	06/21/2025		Annually		—			747			747
6 Month AUD BBSW	3.99%	AUD	3,406,000	03/15/2033		Semi-Annually		(1,080	)		(89,210	)		(88,130	)
6 Month AUD BBSW	4.03%	AUD	1,200,000	03/15/2033		Semi-Annually		—			(28,866	)		(28,866	)
6 Month AUD BBSW	4.03%	AUD	1,000,000	03/15/2033		Semi-Annually		—			(24,109	)		(24,109	)
6 Month AUD BBSW	4.04%	AUD	2,600,000	03/15/2033		Semi-Annually		—			(60,924	)		(60,924	)
6 Month AUD BBSW	4.07%	AUD	700,000	03/15/2033		Semi-Annually		—			(15,607	)		(15,607	)
6 Month AUD BBSW	4.19%	AUD	1,100,000	03/15/2033		Semi-Annually		—			(16,937	)		(16,937	)
6 Month AUD BBSW	4.24%	AUD	1,600,000	03/15/2033		Semi-Annually		—			(20,782	)		(20,782	)
6 Month AUD BBSW	4.45%	AUD	12,158,000	03/15/2033		Semi-Annually		(4,115	)		(21,015	)		(16,900	)
4.22%	6 Month AUD BBSW	AUD	1,200,000	03/15/2033		Semi-Annually		—			16,398			16,398
4.35%	6 Month AUD BBSW	AUD	1,700,000	03/15/2033		Semi-Annually		—			11,503			11,503
4.32%	6 Month AUD BBSW	AUD	900,000	03/15/2033		Semi-Annually		—			7,624			7,624
4.17%	6 Month AUD BBSW	AUD	700,000	03/15/2033		Semi-Annually		—			11,535			11,535
4.05%	6 Month AUD BBSW	AUD	800,000	03/15/2033		Semi-Annually		—			18,573			18,573
3.24%	3 Month CAD CDOR	CAD	1,128,000	03/15/2033		Semi-Annually		(2,241	)		35,635			37,876
3.17%	3 Month CAD CDOR	CAD	1,700,000	03/15/2033		Semi-Annually		—			60,701			60,701
3.23%	3 Month CAD CDOR	CAD	600,000	03/15/2033		Semi-Annually		—			19,400			19,400
3.42%	3 Month CAD CDOR	CAD	800,000	03/15/2033		Semi-Annually		—			16,275			16,275
3.62%	3 Month CAD CDOR	CAD	800,000	03/15/2033		Semi-Annually		—			6,684			6,684
3.82%	3 Month CAD CDOR	CAD	300,000	03/15/2033		Semi-Annually		—			(1,256	)		(1,256	)
3 Month CAD CDOR	3.18%	CAD	2,844,000	03/15/2033		Semi-Annually		(5,696	)		(100,993	)		(95,297	)
3 Month CAD CDOR	3.28%	CAD	1,100,000	03/15/2033		Semi-Annually		—			(32,093	)		(32,093	)
3 Month CAD CDOR	3.30%	CAD	1,100,000	03/15/2033		Semi-Annually		—			(30,373	)		(30,373	)
3 Month CAD CDOR	3.32%	CAD	1,700,000	03/15/2033		Semi-Annually		—			(45,063	)		(45,063	)
3 Month CAD CDOR	3.44%	CAD	800,000	03/15/2033		Semi-Annually		—			(15,417	)		(15,417	)
3 Month CAD CDOR	3.45%	CAD	700,000	03/15/2033		Semi-Annually		—			(12,867	)		(12,867	)
3 Month CAD CDOR	3.56%	CAD	800,000	03/15/2033		Semi-Annually		—			(9,775	)		(9,775	)
CHF - SARON - OIS - COMPOUND	1.50%	CHF	1,707,000	03/15/2033		Annually		(1,218	)		(74,552	)		(73,334	)
CHF - SARON - OIS - COMPOUND	1.55%	CHF	900,000	03/15/2033		Annually		—			(35,014	)		(35,014	)
CHF - SARON - OIS - COMPOUND	1.60%	CHF	6,479,000	03/15/2033		Annually		—			(221,216	)		(221,216	)
CHF - SARON - OIS - COMPOUND	1.73%	CHF	1,000,000	03/15/2033		Annually		—			(21,951	)		(21,951	)
1.99%	CHF - SARON - OIS - COMPOUND	CHF	500,000	03/15/2033		Annually		—			(1,727	)		(1,727	)
1.58%	CHF - SARON - OIS - COMPOUND	CHF	500,000	03/15/2033		Annually		—			18,213			18,213
1.91%	CHF - SARON - OIS - COMPOUND	CHF	1,000,000	03/15/2033		Annually		—			3,734			3,734
1.81%	CHF - SARON - OIS - COMPOUND	CHF	400,000	03/15/2033		Annually		—			5,574			5,574
1.97%	CHF - SARON - OIS - COMPOUND	CHF	1,200,000	03/15/2033		Annually		—			(2,047	)		(2,047	)
EUR - EuroSTR - COMPOUND	2.68%	EUR	600,000	03/15/2033		Annually		—			(17,386	)		(17,386	)
2.59%	EUR - EuroSTR - COMPOUND	EUR	2,000,000	03/15/2033		Annually		—			74,395			74,395
2.59%	EUR - EuroSTR - COMPOUND	EUR	1,200,000	03/15/2033		Annually		—			44,800			44,800
2.45%	EUR - EuroSTR - COMPOUND	EUR	400,000	03/15/2033		Annually		—			20,184			20,184
2.69%	EUR - EuroSTR - COMPOUND	EUR	700,000	03/15/2033		Annually		—			19,680			19,680
2.88%	EUR - EuroSTR - COMPOUND	EUR	1,400,000	03/15/2033		Annually		—			15,197			15,197

39 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

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) ($)
2.82%	EUR - EuroSTR - COMPOUND	EUR	900,000	03/15/2033		Annually		—			15,002			15,002
2.87%	EUR - EuroSTR - COMPOUND	EUR	1,100,000	03/15/2033		Annually		—			13,489			13,489
2.90%	EUR - EuroSTR - COMPOUND	EUR	900,000	03/15/2033		Annually		—			8,788			8,788
GBP - SONIA - COMPOUND	3.34%	GBP	1,100,000	03/15/2033		Annually		—			(43,753	)		(43,753	)
GBP - SONIA - COMPOUND	3.39%	GBP	500,000	03/15/2033		Annually		—			(17,564	)		(17,564	)
GBP - SONIA - COMPOUND	3.41%	GBP	700,000	03/15/2033		Annually		—			(23,049	)		(23,049	)
GBP - SONIA - COMPOUND	3.44%	GBP	700,000	03/15/2033		Annually		—			(20,857	)		(20,857	)
GBP - SONIA - COMPOUND	3.48%	GBP	1,600,000	03/15/2033		Annually		—			(41,099	)		(41,099	)
GBP - SONIA - COMPOUND	3.56%	GBP	500,000	03/15/2033		Annually		—			(8,930	)		(8,930	)
3.22%	GBP - SONIA - COMPOUND	GBP	1,214,000	03/15/2033		Annually		2,933			61,922			58,989
3.77%	GBP - SONIA - COMPOUND	GBP	700,000	03/15/2033		Annually		—			(1,709	)		(1,709	)
3.36%	GBP - SONIA - COMPOUND	GBP	900,000	03/15/2033		Annually		—			33,729			33,729
3.16%	GBP - SONIA - COMPOUND	GBP	600,000	03/15/2033		Annually		—			34,080			34,080
3.48%	GBP - SONIA - COMPOUND	GBP	700,000	03/15/2033		Annually		—			18,426			18,426
3.54%	GBP - SONIA - COMPOUND	GBP	600,000	03/15/2033		Annually		—			11,978			11,978
4.22%	3 Month NZD Bank Bill Rate	NZD	1,900,000	03/15/2033		Quarterly		3,125			44,700			41,575
4.27%	3 Month NZD Bank Bill Rate	NZD	1,000,000	03/15/2033		Quarterly		—			20,836			20,836
4.14%	3 Month NZD Bank Bill Rate	NZD	1,700,000	03/15/2033		Quarterly		—			46,690			46,690
4.47%	3 Month NZD Bank Bill Rate	NZD	1,400,000	03/15/2033		Quarterly		—			15,249			15,249
3 Month NZD Bank Bill Rate	4.22%	NZD	600,000	03/15/2033		Quarterly		(378	)		(13,974	)		(13,596	)
3 Month NZD Bank Bill Rate	4.26%	NZD	1,100,000	03/15/2033		Quarterly		(227	)		(23,281	)		(23,054	)
3 Month NZD Bank Bill Rate	4.59%	NZD	2,200,000	03/15/2033		Quarterly		—			(11,540	)		(11,540	)
3 Month SEK STIBOR	2.47%	SEK	7,000,000	03/15/2033		Quarterly		—			(45,706	)		(45,706	)
3 Month SEK STIBOR	2.54%	SEK	11,000,000	03/15/2033		Quarterly		—			(65,735	)		(65,735	)
3 Month SEK STIBOR	2.59%	SEK	6,000,000	03/15/2033		Quarterly		—			(33,521	)		(33,521	)
3 Month SEK STIBOR	2.63%	SEK	5,000,000	03/15/2033		Quarterly		—			(26,350	)		(26,350	)
3 Month SEK STIBOR	2.81%	SEK	8,000,000	03/15/2033		Quarterly		—			(30,416	)		(30,416	)
2.51%	3 Month SEK STIBOR	SEK	35,729,000	03/15/2033		Quarterly		2,229			221,138			218,909
2.62%	3 Month SEK STIBOR	SEK	4,000,000	03/15/2033		Quarterly		—			21,305			21,305
3.00%	3 Month SEK STIBOR	SEK	91,793,000	03/15/2033		Quarterly		(706	)		209,828			210,534
3 Month SEK STIBOR	3.22%	SEK	9,000,000	03/15/2033		Quarterly		—			(4,870	)		(4,870	)
3 Month SEK STIBOR	3.28%	SEK	14,000,000	03/15/2033		Quarterly		—			(51	)		(51	)
USD - SOFR - COMPOUND	3.05%	USD	1,230,000	03/15/2033		Annually		—			(59,836	)		(59,836	)
USD - SOFR - COMPOUND	3.07%	USD	1,900,000	03/15/2033		Annually		—			(89,139	)		(89,139	)
USD - SOFR - COMPOUND	3.13%	USD	1,109,000	03/15/2033		Annually		(5,044	)		(46,927	)		(41,883	)
USD - SOFR - COMPOUND	3.16%	USD	1,100,000	03/15/2033		Annually		—			(43,805	)		(43,805	)
USD - SOFR - COMPOUND	3.19%	USD	800,000	03/15/2033		Annually		—			(29,681	)		(29,681	)
3.16%	USD - SOFR - COMPOUND	USD	1,304,000	03/15/2033		Annually		2,395			51,692			49,297
3.23%	USD - SOFR - COMPOUND	USD	700,000	03/15/2033		Annually		—			23,720			23,720
3.29%	USD - SOFR - COMPOUND	USD	1,000,000	03/15/2033		Annually		—			29,349			29,349
3.33%	USD - SOFR - COMPOUND	USD	700,000	03/15/2033		Annually		—			18,178			18,178
3.47%	USD - SOFR - COMPOUND	USD	600,000	03/15/2033		Annually		—			8,629			8,629
3.30%	USD - SOFR - COMPOUND	USD	1,100,000	03/15/2033		Annually		—			30,697			30,697
3.22%	USD - SOFR - COMPOUND	USD	1,200,000	03/15/2033		Annually		—			41,602			41,602
3.22%	USD - SOFR - COMPOUND	USD	500,000	03/15/2033		Annually		—			17,375			17,375
3.40%	USD - SOFR - COMPOUND	USD	900,000	03/15/2033		Annually		—			18,324			18,324
3.44%	USD - SOFR - COMPOUND	USD	600,000	03/15/2033		Annually		—			10,138			10,138
3.46%	USD - SOFR - COMPOUND	USD	700,000	03/15/2033		Annually		—			10,442			10,442
3.59%	USD - SOFR - COMPOUND	USD	2,000,000	03/15/2033		Annually		—			8,392			8,392
3.63%	USD - SOFR - COMPOUND	USD	600,000	03/15/2033		Annually		—			489			489
6 Month AUD BBSW	4.51%	AUD	1,100,000	06/21/2033		Semi- Annually		—			338			338

See accompanying notes to the financial statements. 40

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.04%	EUR - EuroSTR - COMPOUND		EUR	300,000		06/21/2033		Annually		—		(992	)		(992	)
3.61%	USD - SOFR - COMPOUND		USD	800,000		06/21/2033		Annually		—		(1,481	)		(1,481	)
									$	4,358	$	(28,740	)	$	(33,098	)

As of February 28, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 63.

41 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO Opportunistic Income Fund returned -0.58% (net) for the fiscal year ended February 28, 2023, as compared with -8.94% for the Bloomberg U.S. Securitized + Index.

Absolute performance was driven by losses from the portfolio’s Duration Management positions. Partly offsetting losses, gains from the portfolio’s Collateralized Loan Obligation (CLO), Commercial Mortgage-Backed Securities (CMBS), and Student Loan sectors contributed positively. The Fund’s Credit Relative Value positions also posted gains during the fiscal year, while the portfolio’s Residential Mortgage-Backed Securities (RMBS) sector posted losses.

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

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

43

GMO Opportunistic Income Fund

(A Series of GMO Trust)

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

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

and the Bloomberg U.S. Securitized Index

As of February 28, 2023

	Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception ***
Class III*	-0.66%	n/a	n/a	7/21/21 -0.58%
Class VI	-0.58%	2.46%	3.40%	n/a
Class R6	-0.68%	n/a	n/a	5/19/21 -0.03%
Class I	-0.73%	n/a	n/a	11/5/19 1.39%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

* For the period December 28, 2021 to February 1, 2022, no Class III shares were outstanding. Performance for that period is that of Class I shares, which have higher expenses. Therefore, the performance shown is lower than it would have been if Class III expenses had been applied throughout.

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

44

GMO Opportunistic Income Fund

(A Series of GMO Trust)

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

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

For Class III, VI, R6 and I the gross expense ratio of 0.62%, 0.52%, 0.63% and 0.72%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.59%, 0.48%, 0.59%, and 0.68% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

45

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		80.3	%
Short-Term Investments		15.8
Swap Contracts		2.3
Mutual Funds		1.0
Purchased Options		0.0	^
Forward Currency Contracts		0.0	^
Written Options		(0.0	)^
Futures Contracts		(0.0	)^
Other		0.6
		100.0	%

Industry Sector Summary	% of Debt Obligations
Commercial Mortgage-Backed Securities		27.5	%
Collateralized Loan Obligations		21.3
Student Loans - Private		14.0
Residential Mortgage-Backed Securities — Other		7.3
Small Balance Commercial Mortgages		6.3
U.S. Government		5.5
Student Loans - Federal Family Education Loan Program		4.9
Residential Mortgage-Backed Securities — Alt-A		3.9
Residential Mortgage-Backed Securities — Prime		3.8
Residential Mortgage-Backed Securities — Subprime		2.0
Residential Mortgage-Backed Securities — Performing Loans		1.5
U.S. Government Agency		1.4
Corporate Debt		0.4
CMBS Collateralized Debt Obligations		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).

^ Rounds to 0.0%.

46

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 80.3%
		Asset-Backed Securities — 74.5%
		CMBS Collateralized Debt Obligations — 0.2%
	8,586,000	ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		1,502,550
	543,333	GS Mortgage Securities Corp. Trust, Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		408,858
		Total CMBS Collateralized Debt Obligations		1,911,408
		Collateralized Loan Obligations — 17.1%
	4,000,000	AMMC CLO 24 Ltd., Series 21-24A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 6.00%, due 01/20/35		3,918,196
	10,000,000	Ballyrock CLO 15 Ltd., Series 21-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 5.85%, due 04/15/34		9,786,810
	6,593,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 5.93%, due 01/20/30		6,517,088
	4,075,000	Crown City CLO III, Series 21-1A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 5.98%, due 07/20/34		3,982,155
	4,550,000	Fort Washington CLO Ltd., Series 21-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 6.03%, due 10/20/34		4,467,322
	4,921,494	Gallatin CLO IX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 5.87%, due 01/21/28		4,909,958
	613,851	Halcyon Loan Advisors Funding CLO Ltd., Series 14-2A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 3.50%, 8.30%, due 04/28/25		598,600
	5,718,682	JFIN CLO Ltd., Series 15-2A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.20%, 7.99%, due 10/17/26		5,629,734
	4,320,000	JFIN CLO Ltd., Series 12-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 7.16%, due 07/20/28		4,231,872
	3,000,000	JFIN CLO Ltd., Series 16-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.40%, 8.21%, due 10/27/28		2,945,211
	924,441	JMP Credit Advisors CLO IV Ltd., Series 17-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.28%, 6.07%, due 07/17/29		919,174
	14,000,000	Man GLG US CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 5.95%, due 04/22/30		13,825,924
	4,000,000	Mountain View CLO Ltd., Series 13-1A, Class BRR , 144A, Variable Rate, 3 mo. LIBOR + 1.67%, 6.48%, due 10/12/30		3,886,020
	6,086,000	Northwoods Capital CLO XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 5.88%, due 04/22/31		6,012,408
	7,000,000	OFSI BSL CLO VIII Ltd., Series 17-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 6.29%, due 08/16/29		6,844,894

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	1,083,456	OZLM CLO VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26		15,126
	7,260,552	OZLM CLO VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.01%, 5.80%, due 07/17/29		7,212,487
	13,830,000	OZLM CLO XVIII Ltd, Series 18-18A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.02%, 5.85%, due 04/15/31		13,610,573
	2,190,000	OZLM CLO XXII Ltd, Series 18-22A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 6.29%, due 01/17/31		2,105,346
	1,797,044	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 6.35%, due 06/22/30		1,791,338
	4,000,000	Shackleton CLO Ltd, Series 14-5RA, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 5.93%, due 05/07/31		3,949,664
	1,262,000	Signal Peak CLO 2 LLC, Series 15-1A, Class BR2, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 6.31%, due 04/20/29		1,251,127
	3,417,000	SOUND POINT CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 5.79%, due 04/15/31		3,366,910
	1,439,500	Sounds Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 5.94%, due 04/18/31		1,418,912
	8,688,000	Steele Creek CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 5.89%, due 06/15/31		8,573,935
	1,672,347	Telos CLO Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 7.39%, due 07/17/26		1,669,528
	7,737,500	Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.48%, 6.27%, due 04/17/28		7,676,877
	4,335,500	Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 6.94%, due 04/17/28		4,195,238
	7,000,000	THL Credit Wind River CLO Ltd., Series 17-1A, Class ARR, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 5.85%, due 04/18/36		6,802,236
	4,993,200	Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 5.89%, due 07/18/31		4,914,148
	5,431,200	Venture 34 CLO Ltd., Series 18-34A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.23%, 6.02%, due 10/15/31		5,344,866
	2,999,335	Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 6.01%, due 10/15/29		2,977,653
	9,000,000	Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 6.31%, due 10/20/28		8,838,423
	9,916,063	Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 5.87%, due 10/20/29		9,832,798
	1,360,000	Whitebox CLO II Ltd., Series 20-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 6.04%, due 10/24/34		1,338,343

47 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	302,756	WhiteHorse CLO VIII Ltd., Series 14-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.45%, 8.26%, due 05/01/26		301,275
	3,897,573	WhiteHorse CLO X Ltd., Series 15-10A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 7.79%, due 04/17/27		3,844,742
	4,453,900	Whitehorse CLO XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 6.04%, due 10/15/31		4,397,295
	4,141,884	Zais CLO 7 Ltd., Series 17-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.29%, 6.08%, due 04/15/30		4,099,715
	719,614	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 5.74%, due 04/15/29		714,830
	4,470,500	Zais CLO 8 Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.45%, 6.24%, due 04/15/29		4,377,129
		Total Collateralized Loan Obligations		193,095,880
		Commercial Mortgage-Backed Securities — 22.1%
	10,000,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32		9,126,753
	11,857,600	Barclays Commercial Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.72%, 5.31%, due 03/15/37		11,045,371
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38		5,408,845
	9,180,000	BBCMS Mortgage Trust, Series 18-C2, Class A5, 4.31%, due 12/15/51		8,770,749
	6,060,427	Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.42%, 5.04%, due 07/25/36		5,313,769
	6,240,722	Benchmark Mortgage Trust, Series 19-B11, Class A5, 3.54%, due 05/15/52		5,669,999
	7,000,000	Benchmark Mortgage Trust, Series 19-B12, Class A5, 3.12%, due 08/15/52		6,195,431
	1,000,000	Benchmark Mortgage Trust, Series 18-B7, Class A4, Variable Rate, 4.51%, due 05/15/53		963,183
	19,000,000	Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72		16,447,945
	6,550,000	BX Commercial Mortgage Trust, Series 21-VINO, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.65%, 5.24%, due 05/15/38		6,410,453
	6,400,000	BX Commercial Mortgage Trust, Series 21-ACNT, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 5.44%, due 11/15/38		6,291,818
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		6,703,246
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.55%, due 03/11/44		6,373,270

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	8,000,000	BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41		6,892,674
	4,895,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		4,163,853
	9,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 3.94%, due 12/09/41		7,182,121
	4,446,000	Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class B, Variable Rate, 4.18%, due 07/10/47		4,249,170
	3,031,837	Commercial Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.29%, due 07/10/50		2,844,944
	13,183,852	Commercial Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51		12,445,352
	93,511	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 4.85%, due 04/15/37		93,509
	74,802	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		74,675
	5,570,000	ELP Commercial Mortgage Trust, Series 21-ELP, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 5.29%, due 11/15/38		5,423,444
	2,000,000	Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40		1,551,660
	7,000,000	GS Mortgage Securities Corp. Trust, Series 22-SHIP, Class A, 144A, Variable Rate, SOFR + 0.73%, 5.29%, due 08/15/36		6,944,992
	10,000,000	GS Mortgage Securities Trust, Series 21-GSA3, Class A5, 2.62%, due 12/15/54		8,184,983
	5,500,000	ILPT Commercial Mortgage Trust, Series 22-LPFX, Class A, 144A, 3.38%, due 03/15/32		4,655,731
	4,108,246	MHC Commercial Mortgage Trust, Series 21-MHC, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.80%, 5.39%, due 04/15/38		4,053,407
	10,000,000	MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40		7,833,334
	2,971,000	Morgan Stanley Capital I Trust, Series 19-H6, Class A4, 3.42%, due 06/15/52		2,654,280
	11,545,000	SMRT Commercial Mortgage Trust, Series 2022-MINI, Class A, 144A, Variable Rate, SOFR + 1.00%, 5.56%, due 01/15/39		11,306,446
	7,130,000	Taubman Centers Commercial Mortgage Trust, Series 22-DPM, Class A, 144A, Variable Rate, SOFR + 2.19%, 6.75%, due 05/15/37		7,034,817
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		4,968,232
	7,933,000	UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51		7,484,545
	1,821,935	Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52		1,676,315

See accompanying notes to the financial statements. 48

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	4,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 2.98%, due 11/23/43		4,485,158
	1,583,453	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 3.78%, due 03/23/45		1,576,009
	11,594,960	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 3.78%, due 03/23/45		9,817,119
	3,162,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class A, 144A, 3.54%, due 04/16/35		3,094,615
	4,317,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.55%, due 04/16/35		4,173,582
	8,733,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.55%, due 04/16/35		8,373,876
	2,704,000	Wells Fargo Commercial Mortgage Trust, Series 19-C50, Class C, 4.35%, due 05/15/52		2,208,870
	2,030,000	Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52		1,809,744
	7,000,000	Wells Fargo Commercial Mortgage Trust, Series 21-C59, Class A5, 2.63%, due 04/15/54		5,794,604
	1,395,022	Wells Fargo Commercial Mortgage Trust, Series 18-C47, Class A4, 4.44%, due 09/15/61		1,337,048
		Total Commercial Mortgage-Backed Securities		249,109,941
		Residential Mortgage-Backed Securities — Other —5.9%
	800,117	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 4.90%, due 02/25/36		109,448
	17,663,707	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 4.98%, due 02/25/36		361,235
	6,000,000	AMSR Trust, Series 20-SFR5, Class A, 144A, 1.38%, due 11/17/37		5,382,073
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		3,577,072
	4,753,124	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,410,954
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		1,202,549
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		431,267
	151,577	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 4.94%, due 02/25/37		148,987

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	2,747,771	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		2,548,946
	2,057,377	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		1,912,594
	5,516,593	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		4,865,466
	1,030,571	Corevest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53		907,045
	8,487,631	FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38		7,556,597
	618,069	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 5.12%, due 10/25/34		588,947
	2,236,237	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		1,950,088
	4,332,782	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.60%, due 09/25/35		267,534
	28,540,347	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 4.88%, due 06/25/36		607,384
	8,799,444	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36		3,104,906
	9,222,661	Home Loan Trust, Series 07-HI1, Class A4, Step Up, 0.00, due 03/25/37		1,697,012
	3,644,115	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 4.94%, due 03/25/36		289,396
	211,675	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo.LIBOR + 0.25%, 4.87%, due 02/26/34		187,242
	1,195,925	New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. LIBOR + 0.98%, 5.59%, due 10/25/33		1,144,770
	13,629,963	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 4.82%, due 03/25/36		410,321
	7,774,810	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 4.96%, due 03/25/36		234,025
	20,728,500	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 5.02%, due 03/25/36		623,903
	52,544	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 5.52%, due 08/25/35		325,538
	880,997	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		824,473
	1,069,233	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		1,011,769

49 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	3,466,623	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		2,178,658
	11,780,230	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		2,863,603
	905,486	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		517,609
	485,200	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		464,000
	1,348,758	Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40		1,154,244
	4,597,258	Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38		4,235,730
	3,411,098	Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39		2,885,342
	5,720,134	Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67		5,242,237
		Total Residential Mortgage-Backed Securities — Other		66,222,964
		Residential Mortgage-Backed Securities — Performing Loans — 1.2%
	2,813,092	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		2,453,679
	7,033,286	CSMC Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66		6,023,738
	5,656,817	Verus Securitization Trust, Series 21-8, Class A, 144A, Variable Rate, 1.82%, due 11/25/66		4,818,872
		Total Residential Mortgage-Backed Securities — Performing Loans		13,296,289
		Residential Mortgage-Backed Securities — Prime —3.1%
	7,230,107	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 4.83%, due 10/25/46		3,877,297
	497,719	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 5.23%, due 10/25/35		461,439
	3,862,942	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		2,258,705
	1,271,711	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.69%, due 12/25/36		1,068,680
	875,752	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.27%, due 03/25/37		715,593

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	7,511,198	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 5.06%, due 04/25/46		6,206,811
	1,614,875	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		808,886
	31,756	Residential Funding Mtg Sec I Trust, Series 05-SA4, Class 2A2, Variable Rate, 4.20%, due 09/25/35		30,665
	4,638,537	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 4.19%, due 05/25/35		3,540,974
	746,597	WaMu Mortgage Pass-Through Certificates Trust, Series 05-AR10, Class 1A3, Variable Rate, 3.85%, due 09/25/35		660,662
	898,376	WaMu Mortgage Pass-Through Certificates Trust, Series 06-AR19, Class 2A, Variable Rate, 12 MTA + 1.25%, 4.04%, due 01/25/47		794,266
	2,175,015	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 5.07%, due 06/25/35		1,830,239
	2,236,284	Washington Mutual Mortgage Pass-Through Certificates, Series 05-10, Class 4CB3, Variable Rate, 1 mo. LIBOR + 0.60%, 5.22%, due 12/25/35		1,948,204
	4,205,432	Washington Mutual Mortgage Pass-Through Certificates, Series 06-8, Class A5, Variable Rate, 4.18%, due 10/25/36		1,727,610
	8,961,945	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		8,821,895
		Total Residential Mortgage-Backed Securities — Prime		34,751,926
		Residential Mortgage-Backed Securities — Subprime — 1.6%
	1,178,565	Asset Backed Funding Certificates Trust, Series 05-AQ1, Class A5, Step Up, 4.35%, due 06/25/35		1,109,852
	1,285,764	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 2.67%, due 05/26/37		1,238,214
	9,477,803	Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.60%, 5.22%, due 07/25/36		8,065,923
	580,786	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + 0.14%, 4.76%, due 12/25/36		551,685
	1,014,442	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 3.90%, due 11/20/34		931,956
	2,694,703	First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 4.72%, due 09/25/36		2,425,163

See accompanying notes to the financial statements. 50

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Subprime — continued
	856,919	Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.50%, 5.12%, due 08/25/37		769,118
	3,214,734	Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. LIBOR + 0.80%, 5.82%, due 01/25/35		2,917,037
		Total Residential Mortgage-Backed Securities — Subprime		18,008,948
		Residential Mortgage-Backed Securities — Alt-A —3.2%
	304,707	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		292,679
	2,464,185	Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35		2,314,708
	1,577,285	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 5.32%, due 05/25/36		729,374
	1,615,988	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 5.32%, due 10/25/36		665,146
	1,222,308	Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. LIBOR + 0.90%, 5.52%, due 11/25/34		1,193,134
	2,132,183	Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.32%, 4.94%, due 01/25/47		1,674,199
	1,916,789	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		1,778,659
	3,870,170	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.57%, due 07/25/36		2,237,030
	4,750,000	Fieldstone Mortgage Investment Trust, Series 04-4, Class M4, Variable Rate, 1 mo. LIBOR + 2.55%, 7.17%, due 10/25/35		3,032,356
	11,049,573	GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. LIBOR + 0.32%, 4.94%, due 06/25/36		2,430,688
	12,458,326	GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 2.98%, due 06/25/47		7,822,104
	6,875,262	HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.44%, 4.81%, due 07/19/47		6,291,494
	156,587	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		152,352
	1,504,982	Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-H1, Class 2A1, Variable Rate, 1 mo. LIBOR + 3.00%, 7.62%, due 10/25/37		1,412,540
	8,288,795	Terwin Mortgage Trust, Series 06-7, Class 2A3, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 5.16%, due 08/25/37		3,566,444
		Total Residential Mortgage-Backed Securities — Alt-A		35,592,907

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — 5.0%
	2,947,980	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 5.08%, due 08/25/35		2,725,048
	1,563,660	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 5.20%, due 01/25/36		1,436,215
	2,000,188	Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 5.16%, due 04/25/36		1,813,566
	804,031	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 5.19%, due 04/25/36		722,551
	1,132,850	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 4.96%, due 07/25/36		1,036,929
	2,317,259	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 5.04%, due 07/25/36		2,126,909
	2,784,200	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 4.99%, due 10/25/36		2,606,922
	8,716,000	Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 5.04%, due 01/25/37		7,981,127
	1,733,431	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.33%, 4.95%, due 03/25/37		1,567,620
	2,571,059	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 4.86%, due 07/25/37		2,297,998
	5,497,735	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 4.89%, due 07/25/37		4,897,636
	1,827,194	Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. LIBOR + 1.50%, 6.12%, due 01/25/38		1,770,234
	88,189,882	FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.18%, due 05/25/30		3,555,816
	20,431,378	FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 1.12%, due 03/25/40		734,913
	70,360,881	FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.89%, due 06/25/40		2,308,899
	1,572,535	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 5.62%, due 04/25/31		1,555,925
	3,568,448	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 5.02%, due 06/25/37		3,429,434
	5,488,658	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 4.84%, due 10/25/37		5,200,292
	6,563,503	Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51		5,566,385

51 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	1,736,334	Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51		1,338,243
	2,311,475	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 4.03%, due 12/27/49		2,248,622
		Total Small Balance Commercial Mortgages		56,921,284
		Student Loans - Federal Family Education Loan Program — 3.9%
	4,934,252	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 5.52%, due 01/25/43		4,543,982
	2,701,926	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 5.04%, due 03/28/35		2,423,758
	7,095,739	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 5.67%, due 06/15/21		6,914,885
	15,378,425	SLM Student Loan Trust, Series 08-9, Class A, Variable Rate, 3 mo. LIBOR + 1.50%, 6.32%, due 04/25/23		15,326,837
	6,559,495	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 6.52%, due 07/25/23		6,521,573
	8,250,621	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 6.47%, due 07/25/25		8,213,473
		Total Student Loans - Federal Family Education Loan Program		43,944,508
		Student Loans - Private — 11.2%
	1,642,275	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 5.62%, due 07/25/34		1,593,273
	6,931,133	KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. LIBOR + 1.30%, 6.02%, due 12/27/38		6,375,324
	2,944,935	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 5.20%, due 12/27/41		2,927,422
	309,291	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 5.61%, due 04/28/42		309,022
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 6.06%, due 07/28/42		5,248,187
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuct + 0.00%, 3.60%, due 03/31/38 (a)		2,500,875
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, 5.28%, due 03/25/38 (a)		900,625

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans - Private — continued
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, 8.07%, due 03/25/38 (a)		2,096,875
	4,601,971	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 4.93%, due 05/25/32		4,346,877
	3,025,423	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 4.91%, due 01/25/33		2,781,126
	10,245,076	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 4.97%, due 03/25/33		9,557,318
	4,001,711	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 4.99%, due 06/25/33		3,763,781
	14,255,544	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 4.92%, due 10/25/33		13,277,554
	4,621,034	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 5.16%, due 12/26/33		4,428,023
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 8.07%, due 03/25/38 (b)		59,250
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 8.09%, due 03/25/38 (b)		19,750
	3,877,008	Navient Student Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70		3,401,759
	3,199,397	Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62		2,864,221
	3,546,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 7.91%, due 06/15/32 (a)		3,528,270
	5,400,349	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 6.37%, due 09/15/32		1,553,398
	1,750,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 8.07%, due 09/15/32 (a)		1,741,250
	5,263,195	SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.40%, 5.17%, due 06/15/33		5,119,700
	9,440,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 5.20%, due 09/15/33		9,072,608
	7,130,759	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 5.06%, due 06/15/39		6,714,657
	10,629,838	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 5.10%, due 06/15/39		10,156,492
	1,804,858	SLM Private Credit Student Loan Trust, Series 06-BW, Class A5, Variable Rate, 3 mo. LIBOR + 0.20%, 4.97%, due 12/15/39		1,687,561
	10,147,708	SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. LIBOR + 0.27%, 5.04%, due 12/15/39		9,510,911

See accompanying notes to the financial statements. 52

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans - Private — continued
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 5.16%, due 12/15/39		2,426,643
	2,236,827	SLM Private Credit Student Loan Trust, Series 07-A, Class A4A, Variable Rate, 3 mo. LIBOR + 0.24%, 5.01%, due 12/16/41		2,139,655
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 5.56%, due 01/25/46		6,728,071
		Total Student Loans - Private		126,830,478
		Total Asset-Backed Securities		839,686,533
		Corporate Debt — 0.3%
		Airlines — 0.3%
	2,485,000	American Airlines Class AA Pass-Through Certificates, 3.65%, due 02/15/29		2,244,723
	1,406,997	American Airlines Class AA Pass-Through Certificates, 3.35%, due 04/15/31		1,254,737
		Total Airlines		3,499,460
		Total Corporate Debt		3,499,460
		U.S. Government — 4.4%
	1,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 10/31/23		999,715
	1,900,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.73%, due 04/30/24		1,897,122
	47,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 07/31/24 (c)		46,983,905
		Total U.S. Government		49,880,742
		U.S. Government Agency — 1.1%
	352,500	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 5.19%, due 07/01/23 (a)		351,366
	1,975,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - 0.02%, 5.23%, due 02/01/25 (a)		1,955,250
	3,000,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 5.41%, due 10/29/26 (a)		2,956,417

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — continued
	7,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 4.65%, due 09/04/24		7,500,000
		Total U.S. Government Agency		12,763,033
		TOTAL DEBT OBLIGATIONS (COST $1,005,734,152)		905,829,768
		MUTUAL FUNDS — 1.0%
		United States — 1.0%
		Affiliated Issuers — 1.0%
	2,183,242	GMO U.S. Treasury Fund		10,894,378
		TOTAL MUTUAL FUNDS (COST $11,003,541)		10,894,378
		SHORT-TERM INVESTMENTS — 15.8%
		U.S. Government Agency — 3.6%
	10,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 4.62%, due 04/06/23		10,000,293
	30,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 4.59%, due 06/05/23		29,999,824
		Total U.S. Government Agency		40,000,117
		Repurchase Agreements — 11.9%
	134,028,353	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 02/28/23 maturing on 03/01/23 with a maturity value of $134,045,181 and an effective yield of 4.52%, collateralized by a U.S. Treasury Note with maturity date 4/30/29 and a market value of $136,763,625.		134,028,353
		Money Market Funds — 0.3%
	3,695,283	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (d)		3,695,283
		TOTAL SHORT-TERM INVESTMENTS (COST $177,723,635)		177,723,753

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Options on Credit Default Swaps - Puts — 0.0%

CDX.NA.HY.39

BCLY

103.00

%

04/19/23

USD 14,747,000

Fixed Spread

Pay

359,673

TOTAL PURCHASED OPTIONS (COST $213,463)

359,673

TOTAL INVESTMENTS — 97.1% (Cost $1,194,674,791)

1,094,807,572

Other Assets and Liabilities (net) — 2.9%

32,348,932

TOTAL NET ASSETS — 100.0%

$

1,127,156,504

53 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty		Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)($)
04/17/2023		BOA		EUR 5,459,200		USD 5,931,551		141,678
04/17/2023		SSB		EUR    291,000		USD    309,207		581
04/17/2023		MSCI		USD    222,399		EUR    207,000		(2,861	)
							$	139,398

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
19	U.S. Long Bond (CBT)		June 2023		2,379,156		(1,214	)
1,083	U.S. Treasury Note 2 Yr. (CBT)		June 2023		220,635,867		(432,863	)
840	U.S. Treasury Note 5 Yr. (CBT)		June 2023		89,925,938		(10,343	)
74	U.S. Treasury Ultra 10 Yr. (CBT)		June 2023		8,671,875		(20,754	)
17	U.S. Ultra Bond (CBT)		June 2023		2,296,062		(15,102	)
				$	323,908,898	$	(480,276	)

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
45	U.S. Treasury Note 10 Yr. (CBT)		June 2023	$	5,024,531	$	(6,049	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps - Puts

CDX.NA.IGS.39

MSCI

77.50

%

03/15/23

USD (110,139,000)

Fixed Spread

Pay

(126,132

)

CDX.NA.IGS.39

MSCI

85.00

%

04/19/23

USD   (49,879,000)

Fixed Spread

Pay

(77,127

)

CDX.NA.HY.39

BCLY

99.50

%

04/19/23

USD   (22,120,000)

Fixed Spread

Pay

(170,774

)

CDX.NA.IG.39

BCLY

95.00

%

05/17/23

USD   (49,890,000)

Fixed Spread

Pay

(73,840

)

Total Written Options On Credit Default Swaps — Puts

(447,873

)

TOTAL WRITTEN OPTIONS

(Premiums $546,765)

$

(447,873

)

See accompanying notes to the financial statements. 54

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

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.HY.S37.V2		USD   13,355,100		5.00	%		3.95	%		N/A		12/20/2026		Quarterly		(741,208	)		(446,661	)		294,547
ITRAXX.XO.36.V1		EUR   16,780,000		5.00	%		3.56	%		N/A		12/20/2026		Quarterly		(597,455	)		(825,930	)		(228,475	)
CDX.NA.IG.S39		USD 173,195,000		1.00	%		0.76	%		N/A		12/20/2027		Quarterly		(1,259,898	)		(1,738,531	)		(478,633	)
ITRAXX.XO.38.V1		EUR   14,400,000		5.00	%		4.13	%		N/A		12/20/2027		Quarterly		(294,353	)		(511,666	)		(217,313	)
															$	(2,892,914	)	$	(3,522,788	)	$	(629,874	)

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount			Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.31	CITI		USD	3,941,000		5.00	%		0.89	%		N/A		12/20/2023		Quarterly		(15,370	)		(128,770	)		(113,400	)
CDX.NA.HYS.31	CITI		USD	4,025,000		5.00	%		0.89	%		N/A		12/20/2023		Quarterly		41,458			(131,513	)		(172,971	)
CDX.NA.HYS.31	CITI		USD	7,055,000		5.00	%		0.89	%		N/A		12/20/2023		Quarterly		44,878			(230,516	)		(275,394	)
ITRAXX.EUR.38 12	JPM		EUR	91,775,000		1.00	%		0.34	%		N/A		12/20/2027		Quarterly		(2,972,877	)		(2,814,602	)		158,275
CMBX.NA.A.7	CGMI		USD	1,420,000		2.00	%		12.92	%		N/A		01/17/2047		Monthly		89,177			88,991			(186	)
CMBX.NA.A.7	CGMI		USD	10,000,000		2.00	%		12.92	%		N/A		01/17/2047		Monthly		593,750			626,699			32,949
CMBX.NA.A.7	GS		USD	2,840,000		2.00	%		12.92	%		N/A		01/17/2047		Monthly		156,358			177,982			21,624
CMBX.NA.AS.7	BOA		USD	4,505,000		1.00	%		1.53	%		N/A		01/17/2047		Monthly		47,352			13,641			(33,711	)
CMBX.NA.AS.7	DB		USD	7,608,000		1.00	%		1.53	%		N/A		01/17/2047		Monthly		(119,899	)		23,037			142,936
CMBX.NA.AS.7	DB		USD	16,677,794		1.00	%		1.53	%		N/A		01/17/2047		Monthly		197,705			50,499			(147,206	)
CMBX.NA.AS.7	GS		USD	4,400,000		1.00	%		1.53	%		N/A		01/17/2047		Monthly		112,812			13,323			(99,489	)
CMBX.NA.AS.7	MORD		USD	13,270,000		1.00	%		1.53	%		N/A		01/17/2047		Monthly		205,782			40,181			(165,601	)
CMBX.NA.AA.11	CGMI		USD	4,000,000		1.50	%		2.1	%		N/A		11/18/2054		Monthly		(6,041	)		95,132			101,173
CMBX.NA.AA.11	CGMI		USD	4,626,000		1.50	%		2.10	%		N/A		11/18/2054		Monthly		(63,740	)		110,020			173,760
CMBX.NA.AA.11	MORD		USD	4,624,500		1.50	%		2.10	%		N/A		11/18/2054		Monthly		(67,279	)		109,984			177,263
CMBX.NA.AA.11	MORD		USD	4,624,500		1.50	%		2.10	%		N/A		11/18/2054		Monthly		(61,371	)		109,984			171,355
CMBX.NA.A.8	GS		USD	8,892,000		2.00	%		3.51	%		N/A		10/17/2057		Monthly		150,185			199,357			49,172
CMBX.NA.AS.8	CGMI		USD	8,892,000		1.00	%		1.05	%		N/A		10/17/2057		Monthly		73,095			5,977			(67,118	)
CMBX.NA.AS.8	MORD		USD	3,384,000		1.00	%		1.05	%		N/A		10/17/2057		Monthly		140,432			2,274			(138,158	)
CMBX.NA.BBB-.8	GS		USD	1,444,000		3.00	%		15.18	%		N/A		10/17/2057		Monthly		216,864			239,596			22,732
CMBX.NA.BBB-.8	GS		USD	4,224,000		3.00	%		15.18	%		N/A		10/17/2057		Monthly		400,908			700,867			299,959
CMBX.NA.BBB-.9	DB		USD	2,936,200		3.00	%		11.84	%		N/A		09/17/2058		Monthly		356,201			545,950			189,749
CMBX.NA.BBB-.9	MORD		USD	5,116,800		3.00	%		11.84	%		N/A		09/17/2058		Monthly		584,727			951,405			366,678
CMBX.NA.BBB-.10	GS		USD	1,752,000		3.00	%		10.36	%		N/A		11/17/2059		Monthly		326,310			360,207			33,897
CMBX.NA.BBB-.10	GS		USD	4,000,000		3.00	%		10.36	%		N/A		11/17/2059		Monthly		745,000			822,390			77,390
CMBX.NA.AA.12	GS		USD	6,974,000		1.50	%		2.24	%		N/A		08/17/2061		Monthly		(61,732	)		237,664			299,396
CMBX.NA.AA.6	GS		USD	4,703,648		1.50	%		34.7	%		N/A		05/11/2063		Monthly		34,885			305,983			271,098
CMBX.NA.BBB-.6	CGMI		USD	4,274,000		3.00	%		76.09	%		N/A		05/11/2063		Monthly		1,357,351			477,969			(879,382	)

55 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

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.BB.14	GS		USD	1,360,000		5.00	%		11.75	%		N/A	12/16/2072	Monthly		75,915			396,916			321,001
CMBX.NA.BB.14	GS		USD	3,140,000		5.00	%		11.75	%		N/A	12/16/2072	Monthly		175,274			916,410			741,136
CMBX.NA.BB.14	MSCI		USD	4,235,000		5.00	%		11.75	%		N/A	12/16/2072	Monthly		427,602			1,235,985			808,383
CMBX.NA.BBB-.13	CGMI		USD	2,000,000		3.00	%		8.17	%		N/A	12/16/2072	Monthly		286,083			465,375			179,292
CMBX.NA.BBB-.13	GS		USD	273,500		3.00	%		8.17	%		N/A	12/16/2072	Monthly		16,840			63,640			46,800
CMBX.NA.BBB-.13	GS		USD	1,800,000		3.00	%		8.17	%		N/A	12/16/2072	Monthly		66,662			418,837			352,175
CMBX.NA.BBB-.13	GS		USD	1,860,000		3.00	%		8.17	%		N/A	12/16/2072	Monthly		360,375			432,798			72,423
Sell Protection^:
CDX.NA.HYS.31.V14-5Y	CITI		USD	2,866,000		5.00	%		0.28	%		2,866,000 USD	12/20/2023	Quarterly		293,765			107,635			(186,130	)
CDX.NA.HYS.31.V14-5Y	CITI		USD	4,657,000		5.00	%		0.28	%		4,657,000 USD	12/20/2023	Quarterly		492,478			174,897			(317,581	)
CDX.NA.HYS.31.V14-5Y	CITI		USD	8,050,000		5.00	%		0.28	%		8,050,000 USD	12/20/2023	Quarterly		539,350			302,324			(237,026	)
CDX.NA.HYS.33.V12-5Y	CITI		USD	10,598,036		5.00	%		0.22	%		10,598,036 USD	12/20/2024	Quarterly		1,827,631			869,785			(957,846	)
CDX.NA.HYS.33.V12-5Y	JPM		USD	10,394,872		5.00	%		0.22	%		10,394,872 USD	12/20/2024	Quarterly		1,704,759			853,112			(851,647	)
CDX.NA.HYS.33.V12-5Y	MORD		USD	2,800,896		5.00	%		0.22	%		2,800,896 USD	12/20/2024	Quarterly		482,034			229,871			(252,163	)
CDX.NA.HYS.33.V1-5Y	GS		USD	25,937,869		5.00	%		0.22	%		25,937,869 USD	12/20/2024	Quarterly		5,736,853			2,128,732			(3,608,121	)
CDX.NA.HYS.33.V3-5Y	CITI		USD	4,201,343		5.00	%		0.22	%		4,201,343 USD	12/20/2024	Quarterly		444,572			344,806			(99,766	)
CDX.NA.HYS.37	GS		USD	33,720,000		5.00	%		0.47	%		33,720,000 USD	12/20/2026	Quarterly		6,308,637			5,148,080			(1,160,557	)
ITRAXX.XO.36 35	MSCI		EUR	33,560,000		5.00	%		0.56	%		33,560,000 EUR	12/20/2026	Quarterly		5,830,388			5,327,133			(503,255	)
CDX.NA.IG.39 15	MSCI		USD	91,775,000		1.00	%		0.25	%		91,775,000 USD	12/20/2027	Quarterly		3,115,557			2,972,523			(143,034	)
ITRAXX.XO.38 35	JPM		EUR	25,920,000		5.00	%		0.98	%		25,920,000 EUR	12/20/2027	Quarterly		4,389,263			4,480,739			91,476
CMBX.NA.AA.7	CGMI		USD	5,000,000		1.50	%		7.93	%		5,000,000 USD	01/17/2047	Monthly		(125,000	)		(185,695	)		(60,695	)
CMBX.NA.A.9	CGMI		USD	2,500,000		2.00	%		4.51	%		2,500,000 USD	09/17/2058	Monthly		(74,374	)		(144,785	)		(70,411	)
CMBX.NA.A.9	GS		USD	4,158,800		2.00	%		4.51	%		4,158,800 USD	09/17/2058	Monthly		54,550			(240,852	)		(295,402	)
CMBX.NA.AAA.10	GS		USD	7,540,000		0.50	%		0.63	%		7,540,000 USD	11/17/2059	Monthly		68,960			(32,049	)		(101,009	)
CMBX.NA.15.AAA	GS		USD	2,825,000		0.50	%		0.91	%		2,825,000 USD	11/18/2064	Monthly		(43,465	)		(78,268	)		(34,803	)
															$	34,961,630		$	29,191,660		$	(5,769,970	)

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

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

⁽¹⁾  As of February 28, 2023, 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. 56

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Total Return on iBoxx USD Liquid Investment Grade Index

SOFR

MSCI

USD 12,478,000

03/20/2023

Quarterly

$

2,992

$

94,565

$

91,573

As of February 28, 2023, 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)   Investment valued using significant unobservable inputs (Note 2). (c)   All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). (d)   The rate disclosed is the 7 day net yield as of February 28, 2023. 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 63.

57 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

GMO U.S. Treasury Fund returned +2.00% (net) for the fiscal year ended February 28, 2023, as compared with +2.22% for the FTSE 3-Month Treasury Bill Index.

Security selection in U.S. Treasury Notes drove underperformance during the year, partly offset by gains from Floating Rate U.S. Treasury Notes.

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

59

GMO U.S. Treasury Fund

(A Series of GMO Trust)

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

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

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Core Class		2.00	%		1.37	%		0.87	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited.

The gross expense ratio of 0.12% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. The corresponding net expense ratio of 0.09% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

60

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		101.0	%
Other		(1.0	)
		100.0	%

61

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 101.0%
		U.S. Government — 67.3%
	47,000,000	U.S. Treasury Note, 0.25%, due 06/15/23		46,366,602
	50,000,000	U.S. Treasury Note, 0.13%, due 08/15/23		48,884,765
	40,000,000	U.S. Treasury Note, 0.38%, due 10/31/23		38,771,875
	55,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.73%, due 04/30/24		54,916,691
	26,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 07/31/24		25,991,097
	60,000,000	U.S. Treasury Note, Variable Rate, SOFR + 0.20%, 5.01%, due 01/31/25		60,062,889
		Total U.S. Government		274,993,919
		U.S. Government Agency — 19.4%
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.02%, 4.57%, due 03/15/23		5,000,031
	10,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 4.62%, due 04/06/23		10,000,293
	20,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 4.62%, due 05/08/23		20,000,870
	10,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 4.59%, due 06/05/23		9,999,941
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 4.58%, due 06/07/23		4,999,811
	15,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.06%, 4.61%, due 09/19/23		14,999,738
	10,000,000	Federal Home Loan Banks, 5.23%, due 03/22/24		10,004,527
	4,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 4.65%, due 09/04/24		4,000,000
		Total U.S. Government Agency		79,005,211
		Repurchase Agreements — 14.2%
	28,029,225	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 02/28/23 maturing on 03/01/23 with a maturity value of $28,032,690 and an effective yield of 4.45%, collateralized by a U.S. Treasury Note with maturity date 07/31/23 and a market value of $28,601,250.		28,029,225
	30,071,055	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 02/28/23 maturing on 03/01/23 with a maturity value of $30,074,831 and an effective yield of 4.52%, collateralized by a U.S. Treasury Note with maturity date 04/30/29 and a market value of $30,684,750.		30,071,055
		Total Repurchase Agreements		58,100,280

Shares		Description	Value ($)
		Money Market Funds — 0.1%
	394,675	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 4.47% (a)		394,675
		TOTAL SHORT-TERM INVESTMENTS (COST $413,185,830)		412,494,085
		TOTAL INVESTMENTS — 101.0% (Cost $413,185,830)		412,494,085
		Other Assets and Liabilities (net) — (1.0)%		(4,036,971	)
		TOTAL NET ASSETS — 100.0%	$	408,457,114

Notes to Schedule of Investments:

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

(a) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 63.

See accompanying notes to the financial statements. 62

GMO Trust Funds

February 28, 2023

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.

CDI - Certificado de Deposito Interbancario

CDOR - Canadian Dollar Offering Rate

CJSC - Closed Joint-Stock Company

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

EuroSTR - Euro Short-Term 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.

GDP - Gross Domestic Product

GMTN - Global Medium Term Note

IO - Interest Only

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

MTA - Monthly Treasury Average Index

MTN - Medium Term Note

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

OIS - Overnight Indexed Swaps

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.

SARON - Swiss Average Rate Overnight

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

TONA - Tokyo Overnight Average Rate

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

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

The rates shown on variable rate notes are the current interest rates at February 28, 2023, which are subject to change based on the terms of the security.

Counterparty Abbreviations:
BCLY - Barclays Bank PLC	MORD - Morgan Stanley Capital Services LLC
BOA - Bank of America, N.A.
CGMI - Citigroup Global Markets Inc.	MSCI - Morgan Stanley & Co. International PLC
CITI - Citibank N.A.
DB - Deutsche Bank AG	SSB - State Street Bank and Trust Company
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
Currency Abbreviations:
AUD - Australian Dollar	MXN - Mexican Peso
BRL - Brazilian Real	NOK - Norwegian Krone
CAD - Canadian Dollar	NZD - New Zealand Dollar
CHF - Swiss Franc	PEN - Peruvian Sol
CLP - Chilean Peso	PHP - Philippines Peso
COP - Colombian Peso	PLN - Polish Zloty
CZK - Czech Republic Koruna	RON - Romanian New Leu
EUR - Euro	SEK - Swedish Krona
GBP - British Pound	SGD - Singapore Dollar
HUF - Hungarian Forint	THB - Thai Baht
IDR - Indonesian Rupiah	TRY - Turkish Lira
ILS - Israeli Shekel	TWD - Taiwan New Dollar
INR - Indian Rupee	USD - United States Dollar
JPY - Japanese Yen	ZAR - South African Rand
KRW - South Korean Won

63 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023

	Asset Allocation Bond Fund			Emerging Country Debt Fund		High Yield Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—		$	67,529,288	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		10,205,293			2,589,530,008		148,326,033
Repurchase agreements, at value (Note 2)(c)		9,999,814			35,999,722		105,999,397
Foreign currency, at value (Note 2)(d)		—			790,094		—
Cash		406			—		12,653
Receivable for investments sold		—			13,306,929		—
Dividends and interest receivable		21,797			48,044,086		1,281,946
Unrealized appreciation on open forward currency contracts (Note 4)		7,690			2,596,255		—
Due from broker (Note 2)		—			31,304,982		4,249,420
Receivable for variation margin on open futures contracts (Note 4)		—			—		14,400
Unrealized appreciation on open bond forward contracts (Note 4)		—			50,594		—
Receivable for open OTC swap contracts (Note 4)		—			13,147,643		3,834,602
Interest receivable for open OTC swap contracts (Note 4)		—			180,788		256,186
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		27,955			—		19,624
Receivable for options (Note 4)(e)		—			301,675		—
Miscellaneous receivable		—			1,974		—
Total assets		20,262,955			2,802,784,038		263,994,261
Liabilities:
Due to custodian		—			38,848		—
Payable for investments purchased		—			10,392,424		—
Payable for Fund shares repurchased		—			28,478		—
Payable to affiliate for (Note 5):
Management fee		3,932			755,625		69,612
Shareholder service fee		866			227,093		10,939
Payable for variation margin on open futures contracts (Note 4)		2,938			—		—
Payable for variation margin on open cleared swap contracts (Note 4)		—			326,119		3,729,643
Payable for closed swap contracts (Note 4)		—			806,556		639,357
Unrealized depreciation on open forward currency contracts (Note 4)		—			379,018		—
Interest payable for open OTC swap contracts (Note 4)		—			712,739		1,313,140
Unrealized depreciation on open bond forward contracts (Note 4)		—			911,701		—
Payable for open OTC swap contracts (Note 4)		—			1,511,468		852,098
Payable to Trustees and related expenses		107			11,699		880
Written options outstanding, at value (Note 4)		—			—		64,112
Accrued expenses		104,680	*		320,931		99,409
Total liabilities		112,523			16,422,699		6,779,190
Net assets	$	20,150,432		$	2,786,361,339	$	257,215,071
(a)  Cost of investments – affiliated issuers:	$	—		$	67,761,027	$	—
(b)  Cost of investments – unaffiliated issuers:	$	10,198,785		$	3,784,275,293	$	150,837,340
(c)  Cost of investments – repurchase agreements:	$	9,999,814		$	35,999,722	$	105,999,397
(d)  Cost of foreign currency:	$	—		$	792,605	$	—
(e)  Premiums on options:	$	—		$	6,115,934	$	612,795

* Includes audit and tax fees payable of $78,135.

See accompanying notes to the financial statements. 64

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Net assets consist of:
Paid-in capital	$	71,149,112		$	4,522,442,966		$	273,945,215
Distributable earnings (accumulated loss)		(50,998,680	)		(1,736,081,627	)		(16,730,144	)
	$	20,150,432		$	2,786,361,339		$	257,215,071
Net assets attributable to:
Class III	$	19,159		$	1,222,989,082		$	—
Class IV	$	—		$	1,170,559,249		$	—
Class VI	$	20,131,273		$	392,813,008		$	257,215,071
Shares outstanding:
Class III		937			69,059,027			—
Class IV		—			66,229,041			—
Class VI		988,344			22,237,873			15,378,484
Net asset value per share:
Class III	$	20.46		$	17.71		$	—
Class IV	$	—		$	17.67		$	—
Class VI	$	20.37		$	17.66		$	16.73

65 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

	Multi-Sector		Opportunistic
	Fixed Income		Income		U.S. Treasury
	Fund		Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	27,869,232	$	10,894,378	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		87,139,403		949,884,841		354,393,805
Repurchase agreements, at value (Note 2)(c)		3,499,595		134,028,353		58,100,280
Foreign currency, at value (Note 2)		—		651		—
Cash		632		690,468		8
Receivable for investments sold		1,670,491		56,667,921		—
Receivable for Fund shares sold		—		304,278		75,000
Dividends and interest receivable		463,869		5,097,387		1,020,628
Unrealized appreciation on open forward currency contracts (Note 4)		857,233		142,259		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		94,968		—
Due from broker (Note 2)		928,999		5,378,242		—
Receivable for variation margin on open futures contracts (Note 4)		2,102		—		—
Receivable for open OTC swap contracts (Note 4)		—		33,273,275		—
Interest receivable for open OTC swap contracts (Note 4)		—		1,934,003		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		35,655		104,491		34,833
Total assets		122,467,211		1,198,495,515		413,624,554
Liabilities:
Foreign currency due to custodian		60		—		—
Payable for investments purchased		17,983,027		65,600,803		4,000,000
Payable for Fund shares repurchased		—		262,411		27,762
Payable to affiliate for (Note 5):
Management fee		20,161		343,237		660
Shareholder service fee		8,410		98,850		—
Payable for variation margin on open futures contracts (Note 4)		—		30,493		—
Payable for variation margin on open cleared swap contracts (Note 4)		18,474		—		—
Dividends payable		—		—		1,069,138
Unrealized depreciation on open forward currency contracts (Note 4)		442,407		2,861		—
Interest payable for open OTC swap contracts (Note 4)		—		374,058		—
Payable for open OTC swap contracts (Note 4)		—		3,987,050		—
Payable to Trustees and related expenses		385		3,154		802
Written options outstanding, at value (Note 4)(d)		—		447,873		—
Accrued expenses		124,976		188,221		69,078
Total liabilities		18,597,900		71,339,011		5,167,440
Net assets	$	103,869,311	$	1,127,156,504	$	408,457,114
(a) Cost of investments – affiliated issuers:	$	32,367,720	$	11,003,541	$	—
(b) Cost of investments – unaffiliated issuers:	$	90,649,508	$	1,049,642,897	$	355,085,550
(c) Cost of investments – repurchase agreements:	$	3,499,595	$	134,028,353	$	58,100,280
(d) Premiums on written options:	$	—	$	546,765	$	—

See accompanying notes to the financial statements. 66

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

	Multi-Sector Fixed Income Fund			Opportunistic Income Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	152,818,280		$	1,288,540,705		$	410,943,868
Distributable earnings (accumulated loss)		(48,948,969	)		(161,384,201	)		(2,486,754	)
	$	103,869,311		$	1,127,156,504		$	408,457,114
Net assets attributable to:
Core Class	$	—		$	—		$	408,457,114
Class III	$	14,756,717		$	48,100,799		$	—
Class IV	$	89,112,594		$	—		$	—
Class VI	$	—		$	389,294,729		$	—
Class R6	$	—		$	186,229,637		$	—
Class I	$	—		$	503,531,339		$	—
Shares outstanding:
Core Class		—			—			81,858,201
Class III		892,436			1,995,391			—
Class IV		5,363,472			—			—
Class VI		—			16,151,804			—
Class R6		—			7,753,521			—
Class I		—			20,932,460			—
Net asset value per share:
Core Class	$	—		$	—		$	4.99
Class III	$	16.54		$	24.11		$	—
Class IV	$	16.61		$	—		$	—
Class VI	$	—		$	24.10		$	—
Class R6	$	—		$	24.02		$	—
Class I	$	—		$	24.06		$	—

67 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations —Year Ended February 28, 2023

	Asset			Emerging
	Allocation			Country			High Yield
	Bond Fund			Debt Fund			Fund
Investment Income:
Interest	$	512,951		$	223,507,504		$	5,869,465
Dividends from unaffiliated issuers		2,984			185,363			76,976
Dividends from affiliated issuers (Note 10)		460			1,693,152			—
Total investment income		516,395			225,386,019			5,946,441
Expenses:
Management fee (Note 5)		58,603			10,909,853			895,814
Shareholder service fee – Class III (Note 5)		30			1,217,685			—
Shareholder service fee – Class IV (Note 5)		—			1,369,059			—
Shareholder service fee – Class VI (Note 5)		12,882			514,938			140,771
Audit and tax fees		102,316			159,700			88,368
Custodian, fund accounting agent and transfer agent fees		30,128			565,739			65,247
Legal fees		1,731			217,657			10,490
Registration fees		5,472			6,624			460
Trustees’ fees and related expenses (Note 5)		828			151,093			12,432
Interest expense (Note 2)		—			10,009			30
Miscellaneous		6,941			57,255			9,380
Total expenses		218,931			15,179,612			1,222,992
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(143,701	)		—			(33,421	)
Net expenses		75,230			15,179,612			1,189,571
Net investment income (loss)		441,165			210,206,407			4,756,870
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(4,980,801	)		(301,854,204	)		(8,672,358	)
Investments in affiliated issuers		(93	)		(35,403	)		—
Bond forward contracts		—			(3,321,127	)		—
Futures contracts		—			—			(3,490,787	)
Options		—			(582,636	)		(813,785	)
Swap contracts		—			20,775,483			(855,932	)
Forward currency contracts		—			45,389,317			8,623,955
Foreign currency and foreign currency related transactions		(10,611	)		(999,738	)		851,136
Net realized gain (loss)		(4,991,505	)		(240,628,308	)*		(4,357,771	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		638,673			(249,693,545	)		(1,904,604	)
Investments in affiliated issuers		47			(274,412	)		—
Bond forward contracts		—			(861,107	)		—
Futures contracts		(15,149	)		—			(170,929	)
Options		—			558,200			466,086
Swap contracts		—			(1,188,018	)		5,318,510
Forward currency contracts		7,690			(2,024,259	)		(218,399	)
Foreign currency and foreign currency related transactions		—			202,605			—
Net change in unrealized appreciation (depreciation)		631,261			(253,280,536	)		3,490,664
Net realized and unrealized gain (loss)		(4,360,244	)		(493,908,844	)		(867,107	)
Net increase (decrease) in net assets resulting from operations	$	(3,919,079	)	$	(283,702,437	)	$	3,889,763

* For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

See accompanying notes to the financial statements. 68

GMO Trust Funds

Statements of Operations —Year Ended February 28, 2023 — (Continued)

	Multi-Sector			Opportunistic
	Fixed Income			Income			U.S. Treasury
	Fund			Fund			Fund
Investment Income:
Interest	$	1,722,130		$	48,862,553		$	8,737,083
Dividends from affiliated issuers (Note 10)		1,500,541			259,013			—
Dividends from unaffiliated issuers		21,951			94,940			14,570
Total investment income		3,244,622			49,216,506			8,751,653
Expenses:
Management fee (Note 5)		274,890			3,946,095			268,590
Shareholder service fee – Class III (Note 5)		12,183			13,604			—
Shareholder service fee – Class IV (Note 5)		101,834			—			—
Shareholder service fee – Class VI (Note 5)		—			198,332			—
Shareholder service fee – Class R6 (Note 5)		—			281,085			—
Shareholder service fee – Class I (Note 5)		—			644,191			—
Audit and tax fees		102,051			135,862			55,617
Custodian, fund accounting agent and transfer agent fees		114,822			710,204			51,785
Legal fees		3,278			50,895			15,705
Registration fees		5,690			76,323			2,282
Trustees’ fees and related expenses (Note 5)		4,275			45,941			14,721
Interest expense (Note 2)		200			479			—
Miscellaneous		14,163			46,489			7,204
Total expenses		633,386			6,149,500			415,904
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(231,455	)		(506,623	)		(396,707	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(112,898	)		—			—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(15,850	)		—			—
Net expenses		273,183			5,642,877			19,197
Net investment income (loss)		2,971,439			43,573,629			8,732,456
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(10,109,652	)		(6,939,209	)		(1,062,384	)
Investments in affiliated issuers		(454,191	)		—			—
Investments in securities sold short		—			467,445			—
Realized gain distributions from affiliated issuers (Note 10)		357,581			—			—
Futures contracts		(5,844,922	)		(2,378,481	)		—
Written options		—			2,660,303			—
Swap contracts		(41,891	)		3,389,890			—
Forward currency contracts		3,010,113			415,402			—
Foreign currency and foreign currency related transactions		(387,862	)		42,494			—
Net realized gain (loss)		(13,470,824	)		(2,342,156	)		(1,062,384	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,197,311	)		(46,521,961	)		(298,759	)
Investments in affiliated issuers		(1,892,716	)		(43,665	)		—
Futures contracts		(440,253	)		(204,141	)		—
Written options		—			132,109			—
Swap contracts		265,954			(706,166	)		—
Forward currency contracts		948,216			65,902			—
Foreign currency and foreign currency related transactions		(1,400	)		28,453			—
Net change in unrealized appreciation (depreciation)		(2,317,510	)		(47,249,469	)		(298,759	)
Net realized and unrealized gain (loss)		(15,788,334	)		(49,591,625	)		(1,361,143	)
Net increase (decrease) in net assets resulting from operations	$	(12,816,895	)	$	(6,017,996	)	$	7,371,313

69 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Asset						Emerging
	Allocation						Country
	Bond Fund						Debt Fund
	Year Ended						Year Ended
	February 28,						February 28,
	2023			2022			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	441,165		$	1,103,782		$	210,206,407		$	238,557,153
Net realized gain (loss)		(4,991,505	)		9,714,027			(240,628,308	)		42,391,923
Change in net unrealized appreciation (depreciation)		631,261			(10,233,591	)		(253,280,536	)		(598,650,728	)
Net increase (decrease) in net assets from operations		(3,919,079	)		584,218			(283,702,437	)		(317,701,652	)
Distributions to shareholders:
Class III		—			(300,707	)		(99,791,566	)		(100,344,029	)
Class IV		—			—			(167,952,272	)		(220,289,705	)
Class VI		(157,978	)		(699,355	)		(94,556,130	)		(98,169,031	)*
Total distributions		(157,978	)		(1,000,062	)		(362,299,968	)		(418,802,765	)
Net share transactions (Note 9):**
Class III		—			(62,140,074	)		433,276,064			113,189,447
Class IV		—			—			(104,836,068	)		(1,395,160,087	)
Class VI		(13,791,287	)		(19,881,378	)		(628,940,069	)		1,516,676,054	*
Increase (decrease) in net assets resulting from net share transactions		(13,791,287	)		(82,021,452	)		(300,500,073	)		234,705,414
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			1,008,898			678,088
Class IV		—			—			1,719,233			1,511,015
Class VI		—			—			919,077			605,125	*
Increase (decrease) in net assets resulting from purchase premiums and redemption fees		—			—			3,647,208			2,794,228
Total increase (decrease) in net assets resulting from net share transactions,purchase premiums and redemption fees		(13,791,287	)		(82,021,452	)		(296,852,865	)		237,499,642
Total increase (decrease) in net assets		(17,868,344	)		(82,437,296	)		(942,855,270	)		(499,004,775	)
Net assets:
Beginning of period		38,018,776			120,456,072			3,729,216,609			4,228,221,384
End of period	$	20,150,432		$	38,018,776		$	2,786,361,339		$	3,729,216,609

* Period from July 29, 2021 (commencement of operations) through February 28, 2022.

** For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

See accompanying notes to the financial statements. 70

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

							Multi-Sector
	High Yield						Fixed Income
	Fund						Fund
	Year Ended						Year Ended
	February 28,						February 28,
	2023			2022			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,756,870		$	986,956		$	2,971,439		$	2,405,102
Net realized gain (loss)		(4,357,771	)		4,454,786			(13,470,824	)		(1,528,423	)
Change in net unrealized appreciation (depreciation)		3,490,664			(3,881,686	)		(2,317,510	)		(5,325,792	)
Net increase (decrease) in net assets from operations		3,889,763			1,560,056			(12,816,895	)		(4,449,113	)
Distributions to shareholders:
Class III		—			—			(149,319	)		(771,747	)
Class IV		—			—			(1,851,259	)		(4,376,860	)
Class VI		(18,971,313	)		(11,979,726	)		—			—
Total distributions		(18,971,313	)		(11,979,726	)		(2,000,578	)		(5,148,607	)
Net share transactions (Note 9):
Class III		—			—			7,014,922			(22,088,583	)
Class IV		—			—			(13,308,297	)		(8,797,990	)
Class VI		187,710,400			460,560			—			—
Increase (decrease) in net assets resulting from net share transactions		187,710,400			460,560			(6,293,375	)		(30,886,573	)
Total increase (decrease) in net assets		172,628,850			(9,959,110	)		(21,110,848	)		(40,484,293	)
Net assets:
Beginning of period		84,586,221			94,545,331			124,980,159			165,464,452
End of period	$	257,215,071		$	84,586,221		$	103,869,311		$	124,980,159

71 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Opportunistic
	Income						U.S. Treasury
	Fund						Fund
	Year Ended						Year Ended
	February 28,						February 28,
	2023			2022			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	43,573,629		$	30,121,595		$	8,732,456		$	400,559
Net realized gain (loss)		(2,342,156	)		7,063,562			(1,062,384	)		(591,117	)
Change in net unrealized appreciation (depreciation)		(47,249,469	)		(28,564,681	)		(298,759	)		(560,101	)
Net increase (decrease) in net assets from operations		(6,017,996	)		8,620,476			7,371,313			(750,659	)
Distributions to shareholders:
Core Class		—			—			(8,732,859	)		(700,751	)
Class III		(353,815	)		(224,578	)*		—			—
Class VI		(19,571,131	)		(8,572,000	)		—			—
Class R6		(9,882,307	)		(2,592,002	)**		—			—
Class I		(20,733,424	)		(8,435,870	)		—			—
Total distributions		(50,540,677	)		(19,824,450	)		(8,732,859	)		(700,751	)
Net share transactions (Note 9):
Core Class		—			—			152,052,342			(123,236,970	)
Class III		36,408,292			12,503,177	*		—			—
Class VI		35,260,297			(98,588,215	)		—			—
Class R6		44,469,462			155,415,258	**		—			—
Class I		83,699,966			31,143,682			—			—
Increase (decrease) in net assets resulting from net share transactions		199,838,017			100,473,902			152,052,342			(123,236,970	)
Total increase (decrease) in net assets		143,279,344			89,269,928			150,690,796			(124,688,380	)
Net assets:
Beginning of period		983,877,160			894,607,232			257,766,318			382,454,698
End of period	$	1,127,156,504		$	983,877,160		$	408,457,114		$	257,766,318

* Period from July 21, 2021 (commencement of operations) through December 28, 2021, when all outstanding shares of the class were redeemed, and February 1, 2022, when the class recommenced operations, to February 28, 2022.

** Period from May 19, 2021 (commencement of operations) through February 28, 2022.

See accompanying notes to the financial statements. 72

GMO Trust Funds

Statement of Cash Flows —Year Ended February 28, 2023

	Emerging
	Country
	Debt Fund
Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	(283,702,437	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Net change in unrealized (appreciation) depreciation		253,280,536
Net realized (gain) loss		240,628,308
Cost of purchase of investments held long		(1,038,838,432	)
Proceeds from sale of investments held long		926,328,233
Net accretion of discount and amortization of premium		(28,730,783	)
Short-term investments, net		22,541,575
Cash flows related to derivative transactions:
Option contracts		(10,054	)
Bond forward contracts		(3,321,127	)
Swap contracts		11,722,630
Forward currency contracts		45,389,317
Foreign currency and foreign currency related transactions		(797,133	)
Change in assets and liabilities:
(Increase) decrease in due from broker		7,885,334
(Increase) decrease in dividends and interest receivable		16,191,136
(Increase) decrease in interest receivable for open OTC swap contracts		(60,424	)
(Increase) decrease in miscellaneous receivable		165,193
Increase (decrease) in payable to affiliate for:
Management fee		(312,673	)
Shareholder service fee		(69,786	)
Increase (decrease) in due to custodian		38,848
Increase (decrease) in payable for closed swap contracts		806,556
Increase (decrease) in payable to Trustees and related expenses		(3,126	)
Increase (decrease) in interest payable for OTC swap contracts		(38,516	)
Increase (decrease) in accrued expenses		(257,531	)
Net cash provided by (used in) operating activities		168,835,644
Cash flows from financing activities:
Proceeds from shares sold		967,995,763
Shares repurchased		(1,094,133,971	)
Cash distributions paid		(42,306,220	)
Purchase premiums and redemption fees		3,647,208
Increase (decrease) in payable for reverse repurchase agreements		(6,346,002	)
Net cash provided by (used in) financing activities		(171,143,222	)
Net increase (decrease) in cash		(2,307,578	)
Cash, beginning of period		3,097,672
Cash, end of period	$	790,094
Supplemental information (non-cash financing activities):
Redemptions in-kind	$	515,977,959

73 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	23.48		$	23.82		$	22.66		$	21.61		$	21.95
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.39			0.41			0.26			0.55			0.54
Net realized and unrealized gain (loss)		(3.41	)		(0.36	)		1.18			1.52			0.18
Total from investment operations		(3.02	)		0.05			1.44			2.07			0.72
Less distributions to shareholders:
From net investment income		—			(0.39	)		(0.28	)		(1.02	)		(1.06	)
Total distributions		—			(0.39	)		(0.28	)		(1.02	)		(1.06	)
Net asset value, end of period	$	20.46		$	23.48		$	23.82		$	22.66		$	21.61
Total Return(b)		(12.86	)%		0.16	%		6.33	%		9.74	%		3.37	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	19		$	22		$	61,836		$	41,124		$	82,801
Net operating expenses to average daily net assets		0.41	%(c)		0.41	%(c)		0.41	%(c)		0.40	%(c)		0.41	%(c)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		—			—			—			0.00	%(e)		0.00	%(e)
Total net expenses to average daily net assets		0.41	%(c)		0.41	%(c)		0.41	%(c)		0.40	%(c)		0.41	%(c)
Net investment income (loss) to average daily net assets(a)		1.82	%		1.68	%		1.11	%		2.49	%		2.48	%
Portfolio turnover rate(f)		95	%		209	%		30	%		16	%		59	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.64	%		0.16	%(g)		0.08	%(g)		0.06	%(g)		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 and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		96	%		206	%		39	%		37	%		88	%

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 74

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND (continued)

	Class VI Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	23.52		$	23.88		$	22.72		$	21.67		$	22.02
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.40			0.39			0.27			0.56			0.57
Net realized and unrealized gain (loss)		(3.40	)		(0.31	)		1.18			1.53			0.18
Total from investment operations		(3.00	)		0.08			1.45			2.09			0.75
Less distributions to shareholders:
From net investment income		(0.15	)		(0.44	)		(0.29	)		(1.04	)		(1.10	)
Total distributions		(0.15	)		(0.44	)		(0.29	)		(1.04	)		(1.10	)
Net asset value, end of period	$	20.37		$	23.52		$	23.88		$	22.72		$	21.67
Total Return(b)		(12.81	)%		0.26	%		6.39	%		9.83	%		3.48	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	20,131		$	37,997		$	58,621		$	192,410		$	305,842
Net operating expenses to average daily net assets		0.32	%(c)		0.31	%(c)		0.31	%(c)		0.31	%(c)		0.31	%(c)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		—			—			—			0.00	%(e)		0.00	%(e)
Total net expenses to average daily net assets		0.32	%(c)		0.31	%(c)		0.31	%(c)		0.31	%(c)		0.31	%(c)
Net investment income (loss) to average daily net assets(a)		1.88	%		1.60	%		1.15	%		2.49	%		2.57	%
Portfolio turnover rate(f)		95	%		209	%		30	%		16	%		59	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.61	%		0.17	%(g)		0.08	%(g)		0.06	%(g)		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 and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		96	%		206	%		39	%		37	%		88	%

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

† Calculated using average shares outstanding throughout the period.

75 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	21.34		$	25.54		$	27.38		$	26.82		$	28.62
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.28			1.42			1.56			1.44			1.36
Net realized and unrealized gain (loss)		(2.52	)		(3.16	)		(0.85	)		0.91			(1.19	)
Total from investment operations		(1.24	)		(1.74	)		0.71			2.35			0.17
Less distributions to shareholders:
From net investment income		(2.39	)		(1.82	)		(1.93	)		(1.79	)		(1.97	)
From net realized gains		—			(0.64	)		(0.62	)		—			—
Total distributions		(2.39	)		(2.46	)		(2.55	)		(1.79	)		(1.97	)
Net asset value, end of period	$	17.71		$	21.34		$	25.54		$	27.38		$	26.82
Total Return(b)		(5.52	)%		(7.83	)%		2.67	%		8.97	%		0.97	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,222,989		$	942,565		$	1,010,106		$	1,133,945		$	1,294,577
Net operating expenses to average daily net assets(c)		0.54	%		0.53	%		0.54	%		0.53	%		0.52	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.00	%(e)		—			0.00	%(e)		0.01	%		0.02	%
Total net expenses to average daily net assets(c)		0.54	%		0.53	%		0.54	%		0.54	%		0.54	%
Net investment income (loss) to average daily net assets(a)		6.75	%		5.62	%		6.02	%		5.23	%		4.99	%
Portfolio turnover rate(f)		32	%		34	%		56	%		41	%		15	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		—			0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.02		$	0.02		$	0.03		$	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)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		32	%		33	%		55	%		40	%		15	%

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 76

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND (continued)

	Class IV Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	21.30		$	25.50		$	27.34		$	26.77		$	28.57
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.28			1.41			1.39			1.43			1.37
Net realized and unrealized gain (loss)		(2.51	)		(3.14	)		(0.66	)		0.94			(1.19	)
Total from investment operations		(1.23	)		(1.73	)		0.73			2.37			0.18
Less distributions to shareholders:
From net investment income		(2.40	)		(1.83	)		(1.95	)		(1.80	)		(1.98	)
From net realized gains		—			(0.64	)		(0.62	)		—			—
Total distributions		(2.40	)		(2.47	)		(2.57	)		(1.80	)		(1.98	)
Net asset value, end of period	$	17.67		$	21.30		$	25.50		$	27.34		$	26.77
Total Return(b)		(5.48	)%		(7.82	)%		2.73	%		9.08	%		1.02	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,170,559		$	1,531,528		$	3,218,116		$	3,219,098		$	2,849,316
Net operating expenses to average daily net assets(c)		0.49	%		0.48	%		0.49	%		0.48	%		0.47	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.00	%(e)		—			0.00	%(e)		0.01	%		0.02	%
Total net expenses to average daily net assets(c)		0.49	%		0.48	%		0.49	%		0.49	%		0.49	%
Net investment income (loss) to average daily net assets(a)		6.78	%		5.56	%		5.38	%		5.22	%		5.04	%
Portfolio turnover rate(f)		32	%		34	%		56	%		41	%		15	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		—			0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.02		$	0.02		$	0.03		$	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)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		32	%		33	%		55	%		40	%		15	%

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

† Calculated using average shares outstanding throughout the period.

77 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND (continued)

	Class VI Shares
				Period from
				July 29, 2021
				(commencement
				of operations)
	Year Ended			through
	February 28,			February 28,
	2023			2022
Net asset value, beginning of period	$	21.30		$	25.89
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.27			0.77
Net realized and unrealized gain (loss)		(2.51	)		(3.60	)
Total from investment operations		(1.24	)		(2.83	)
Less distributions to shareholders:
From net investment income		(2.40	)		(1.55	)
From net realized gains		—			(0.21	)
Total distributions		(2.40	)		(1.76	)
Net asset value, end of period	$	17.66		$	21.30
Total Return(b)		(5.49	)%		(11.63	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	392,813		$	1,255,123
Net operating expenses to average daily net assets(c)		0.44	%		0.43	%*
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)		0.44	%		0.43	%*
Net investment income (loss) to average daily net assets(a)		6.68	%		5.35	%*
Portfolio turnover rate(f)		32	%		34	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		—			0.00	%(e)(g)*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	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)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,
	2023			2022
Portfolio turnover rate including transactions in USTF		32	%		33	%

^(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. 78

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

HIGH YIELD FUND

	Class VI Shares
													Period from June 25, 2018 (commencement of operations) through
	Year Ended February 28/29,												February 28,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	18.61		$	20.90		$	19.94		$	20.21		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.32			0.21			0.64			0.48			0.27
Net realized and unrealized gain (loss)		(0.87	)		0.13			0.77			0.82			0.71
Total from investment operations		(0.55	)		0.34			1.41			1.30			0.98
Less distributions to shareholders:
From net investment income		(1.30	)		(0.68	)		(0.40	)		(1.57	)		(0.61	)
From net realized gains		(0.03	)		(1.95	)		(0.05	)		—			(0.16	)
Total distributions		(1.33	)		(2.63	)		(0.45	)		(1.57	)		(0.77	)
Net asset value, end of period	$	16.73		$	18.61		$	20.90		$	19.94		$	20.21
Total Return(b)		(2.90	)%		1.35	%		7.21	%		6.40	%		5.07	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	257,215		$	84,586		$	94,545		$	161,449		$	212,762
Net operating expenses to average daily net assets(c)		0.46	%		0.51	%		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)		0.00	%(f)		0.03	%		0.04	%*
Total net expenses to average daily net assets(c)		0.46	%		0.51	%		0.52	%(d)		0.55	%(d)		0.55	%(d)*
Net investment income (loss) to average daily net assets(a)		1.86	%		1.05	%		3.23	%		2.34	%		2.00	%*
Portfolio turnover rate(g)		31	%		98	%		288	%		105	%		81	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.01	%		0.03	%		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 including transactions in USTF during the period and/or year ended:

	February 28, 2023		February 28, 2022		February 28, 2021			February 29, 2020			February 28, 2019
Portfolio turnover rate including transactions in USTF		N/A		N/A		317	%		214	%		159	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

79 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

MULTI-SECTOR FIXED INCOME FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	18.84		$	20.13		$	22.19		$	20.88		$	20.93
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.47			0.27			0.43			0.53			0.51
Net realized and unrealized gain (loss)		(2.45	)		(0.99	)		(0.24	)(b)		2.01			0.49
Total from investment operations		(1.98	)		(0.72	)		0.19			2.54			1.00
Less distributions to shareholders:
From net investment income		(0.32	)		—			(0.93	)		(0.64	)		(1.05	)
From net realized gains		—			(0.57	)		(1.32	)		(0.59	)		—
Total distributions		(0.32	)		(0.57	)		(2.25	)		(1.23	)		(1.05	)
Net asset value, end of period	$	16.54		$	18.84		$	20.13		$	22.19		$	20.88
Total Return(c)		(10.54	)%		(3.74	)%		0.59	%		12.38	%		4.88	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	14,757		$	8,803		$	31,602		$	80,639		$	84,163
Net operating expenses to average daily net assets(d)		0.29	%		0.31	%		0.30	%		0.29	%		0.29	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)
Total net expenses to average daily net assets(d)		0.29	%		0.31	%		0.30	%		0.29	%		0.29	%
Net investment income (loss) to average daily net assets(a)		2.70	%		1.33	%		1.98	%		2.43	%		2.41	%
Portfolio turnover rate(g)		326	%		256	%		262	%		215	%		201	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)		0.33	%		0.24	%		0.19	%		0.16	%		0.16	%

^(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)  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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019
Portfolio turnover rate including transactions in USTF		329	%		263	%		335	%		285	%		250	%

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 80

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

MULTI-SECTOR FIXED INCOME FUND (continued)

	Class IV Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	18.93		$	20.20		$	22.26		$	20.94		$	20.98
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.47			0.28			0.35			0.54			0.48
Net realized and unrealized gain (loss)		(2.46	)		(0.98	)		(0.16	)(b)		2.02			0.53
Total from investment operations		(1.99	)		(0.70	)		0.19			2.56			1.01
Less distributions to shareholders:
From net investment income		(0.33	)		—			(0.93	)		(0.65	)		(1.05	)
From net realized gains		—			(0.57	)		(1.32	)		(0.59	)		—
Total distributions		(0.33	)		(0.57	)		(2.25	)		(1.24	)		(1.05	)
Net asset value, end of period	$	16.61		$	18.93		$	20.20		$	22.26		$	20.94
Total Return(c)		(10.56	)%		(3.63	)%		0.59	%		12.44	%		4.93	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	89,113		$	116,178		$	133,862		$	449,655		$	580,456
Net operating expenses to average daily net assets(d)		0.24	%		0.25	%		0.24	%		0.24	%		0.24	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)
Total net expenses to average daily net assets(d)		0.24	%		0.25	%		0.24	%		0.24	%		0.24	%
Net investment income (loss) to average daily net assets(a)		2.70	%		1.39	%		1.57	%		2.47	%		2.29	%
Portfolio turnover rate(g)		326	%		256	%		262	%		215	%		201	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)		0.33	%		0.25	%		0.19	%		0.16	%		0.15	%

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

^(b)  The 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)  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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019
Portfolio turnover rate including transactions in USTF		329	%		263	%		335	%		285	%		250	%

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

† Calculated using average shares outstanding throughout the period.

81 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND

	Class III Shares
	Year Ended February 28			Period from February 1, 2022 (commencement of operations) through February 28,			Period from July 21, 2021 (commencement of operations) through December 28,
	2023			2022			2021
Net asset value, beginning of period	$	25.56		$	25.66		$	25.88
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.05			0.07			0.44
Net realized and unrealized gain (loss)		(1.23	)		(0.17	)		(0.33	)
Total from investment operations		(0.18	)		(0.10	)		0.11
Less distributions to shareholders:
From net investment income		(0.90	)		—			(0.42	)
From net realized gains		(0.37	)		—			—
Total distributions		(1.27	)		—			(0.42	)
Net asset value, end of period	$	24.11		$	25.56		$	25.57
Total Return(b)		(0.66	)%		(0.39	)%**		0.43	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	48,101		$	12,281		$	13,847
Net operating expenses to average daily net assets(c)		0.56	%		0.70	%*		0.56	%*
Interest and/or dividend expenses to average daily net assets(d)		0.00	%(e)		0.00	%(e)*		0.00	%(e)*
Total net expenses to average daily net assets(c)		0.56	%		0.70	%*		0.56	%*
Net investment income (loss) to average daily net assets(a)		4.19	%		3.92	%*		3.84	%*
Portfolio turnover rate(f)		73	%		95	%**		95	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.06	%		0.08	%*		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 and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021
Portfolio turnover rate including transactions in USTF		72	%		94	%		45	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 82

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class VI Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	25.56		$	25.84		$	26.15		$	26.21		$	26.41
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.11			0.81			1.06			1.46			1.32
Net realized and unrealized gain (loss)		(1.27	)		(0.55	)		(0.31	)		(0.06	)		(0.38	)
Total from investment operations		(0.16	)		0.26			0.75			1.40			0.94
Less distributions to shareholders:
From net investment income		(0.93	)		(0.54	)		(1.06	)		(1.46	)		(1.14	)
From net realized gains		(0.37	)		—			—			—			—
Total distributions		(1.30	)		(0.54	)		(1.06	)		(1.46	)		(1.14	)
Net asset value, end of period	$	24.10		$	25.56		$	25.84		$	26.15		$	26.21
Total Return(b)		(0.58	)%		1.00	%		2.95	%		5.45	%		3.58	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	389,295		$	375,117		$	477,457		$	825,876		$	1,001,146
Net operating expenses to average daily net assets(c)		0.47	%		0.47	%		0.47	%		0.47	%		0.49	%
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)
Total net expenses to average daily net assets(c)		0.47	%		0.47	%		0.47	%		0.47	%		0.49	%
Net investment income (loss) to average daily net assets(a)		4.52	%		3.13	%		4.12	%		5.50	%		4.99	%
Portfolio turnover rate(f)		73	%		95	%		43	%		47	%		75	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		0.05	%(g)		0.05	%(g)		0.04	%(g)		0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	0.01		$	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 and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019
Portfolio turnover rate including transactions in USTF		72	%		94	%		45	%		48	%		83	%

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

† Calculated using average shares outstanding throughout the period.

83 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class R6 Shares
	Year Ended February 28, 2023			Period from May 19, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period	$	25.48		$	25.86
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.08			0.67
Net realized and unrealized gain (loss)		(1.27	)		(0.51	)
Total from investment operations		(0.19	)		0.16
Less distributions to shareholders:
From net investment income		(0.90	)		(0.54	)
From net realized gains		(0.37	)		—
Total distributions		(1.27	)		(0.54	)
Net asset value, end of period	$	24.02		$	25.48
Total Return(b)		(0.68	)%		0.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	186,230		$	152,877
Net operating expenses to average daily net assets(c)		0.56	%		0.58	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.00	%(e)		0.00	%(e)*
Total net expenses to average daily net assets(c)		0.56	%		0.58	%*
Net investment income (loss) to average daily net assets(a)		4.42	%		3.29	%*
Portfolio turnover rate(f)		73	%		95	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		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 and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022
Portfolio turnover rate including transactions in USTF		72	%		94	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 84

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class I Shares
	Year Ended February 28,									Period from November 5, 2019 (commencement of operations) through February 29,
	2023			2022			2021			2020
Net asset value, beginning of period	$	25.51		$	25.80		$	26.12		$	26.85
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.06			0.77			0.89			0.54
Net realized and unrealized gain (loss)		(1.26	)		(0.57	)		(0.18	)		(0.08	)
Total from investment operations		(0.20	)		0.20			0.71			0.46
Less distributions to shareholders:
From net investment income		(0.88	)		(0.49	)		(1.03	)		(1.19	)
From net realized gains		(0.37	)		—			—			—
Total distributions		(1.25	)		(0.49	)		(1.03	)		(1.19	)
Net asset value, end of period	$	24.06		$	25.51		$	25.80		$	26.12
Total Return(b)		(0.73	)%		0.77	%		2.79	%		1.80	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	503,531		$	443,602		$	417,150		$	22,684
Net operating expenses to average daily net assets(c)		0.66	%		0.67	%		0.68	%		0.66	%*
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)*
Total net expenses to average daily net assets(c)		0.66	%		0.67	%		0.68	%		0.66	%*
Net investment income (loss) to average daily net assets(a)		4.33	%		2.97	%		3.47	%		6.55	%*
Portfolio turnover rate(f)		73	%		95	%		43	%		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		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)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		72	%		94	%		45	%		48	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

85 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. TREASURY FUND

	Core Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019(a)
Net asset value, beginning of period	$	5.01		$	5.04		$	5.02		$	5.00		$	5.00
Income (loss) from investment operations:
Net investment income (loss)†		0.13			0.01			0.01			0.10			0.10
Net realized and unrealized gain (loss)		(0.03	)		(0.04	)		0.02			0.02			0.01
Total from investment operations		0.10			(0.03	)		0.03			0.12			0.11
Less distributions to shareholders:
From net investment income		(0.12	)		(0.00	)(b)		(0.01	)		(0.10	)		(0.11	)
From net realized gains		—			(0.00	)(b)		(0.00	)(b)		—			—
Total distributions		(0.12	)		(0.00	)(b)		(0.01	)		(0.10	)		(0.11	)
Net asset value, end of period	$	4.99		$	5.01		$	5.04		$	5.02		$	5.00
Total Return(c)		2.00	%		(0.37	)%		0.63	%		2.47	%		2.16	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	408,457		$	257,766		$	382,455		$	222,762		$	635,777
Net expenses to average daily net assets		0.01	%		0.02	%		0.08	%		0.06	%		0.00	%(d)
Net investment income (loss) to average daily net assets		2.60	%		0.13	%		0.20	%		2.03	%		1.97	%
Portfolio turnover rate(e)		0	%		0	%		0	%		0	%		0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.12	%		0.10	%		0.03	%		0.05	%		0.10	%

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

^(b)  Rounds to less than $0.01.

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

^(d)  Rounds to less than 0.01%.

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 86

GMO Trust Funds

Notes to Financial Statements

February 28, 2023

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 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 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

87

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 28, 2023, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

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

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

The three levels are defined as follows:

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

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

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

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

88

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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; certain investment funds whose valuations are based on monthly net asset value statements; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and potential litigation recoveries and interests related to bankruptcy proceedings.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 28, 2023:

Description	Level 1			Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	5,005,241		$	—	$	—	$	5,005,241
TOTAL DEBT OBLIGATIONS		5,005,241			—		—		5,005,241
Short-Term Investments		3,216,296			11,983,570		—		15,199,866
Total Investments		8,221,537			11,983,570		—		20,205,107
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			7,690		—		7,690
Futures Contracts
Interest Rate Risk		24,372			—		—		24,372
Total	$	8,245,909		$	11,991,260	$	—	$	20,237,169
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(39,521	)	$	—	$	—	$	(39,521	)
Total	$	(39,521	)	$	—	$	—	$	(39,521	)
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	7,270,442	$	—	$	7,270,442
Corporate Debt		—			135,905,546		15,471,486		151,377,032
Sovereign and Sovereign Agency Issuers		—			2,137,136,224		197,198,523		2,334,334,747
U.S. Government		21,574,629			—		—		21,574,629
TOTAL DEBT OBLIGATIONS		21,574,629			2,280,312,212		212,670,009		2,514,556,850

89

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1		Level 2			Level 3		Total
Emerging Country Debt Fund (continued)
Asset Valuation Inputs (continued)
Loan Assignments	$	—	$	—		$	32,811,159	$	32,811,159
Loan Participations		—		—			21,513,110		21,513,110
Investment Funds		—		—			7,035,403		7,035,403
Mutual Funds		67,529,288		—			—		67,529,288
Rights/Warrants		—		5,088,400			3,216,316		8,304,716
Short-Term Investments		5,308,770		35,999,722			—		41,308,492
Total Investments		94,412,687		2,321,400,334			277,245,997		2,693,059,018
Derivatives^
Bond Forward Contracts
Interest Rate Risk		—		50,594			—		50,594
Forward Currency Contracts
Foreign Currency Risk		—		2,596,255			—		2,596,255
Options
Credit Risk		—		—			301,675		301,675
Swap Contracts
Credit Risk		—		19,783,919			—		19,783,919
Interest Rate Risk		—		8,440,541			—		8,440,541
Total	$	94,412,687	$	2,352,271,643		$	277,547,672	$	2,724,232,002
Liability Valuation Inputs
Derivatives^
Bond Forward Contracts
Interest Rate Risk	$	—	$	(911,701	)	$	—	$	(911,701	)
Forward Currency Contracts
Foreign Currency Risk		—		(379,018	)		—		(379,018	)
Swap Contracts
Credit Risk		—		(1,511,468	)		—		(1,511,468	)
Interest Rate Risk		—		(22,276	)		—		(22,276	)
Total	$	—	$	(2,824,463	)	$	—	$	(2,824,463	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	50,129,891		$	—	$	50,129,891
U.S. Government		70,102,302		—			—		70,102,302
TOTAL DEBT OBLIGATIONS		70,102,302		50,129,891			—		120,232,193
Short-Term Investments		28,093,840		105,999,397			—		134,093,237
Total Investments		98,196,142		156,129,288			—		254,325,430
Derivatives^
Futures Contracts
Interest Rate Risk		11,892		—			—		11,892
Swap Contracts
Credit Risk		—		587,139			—		587,139
Interest Rate Risk		—		3,834,602			—		3,834,602
Total	$	98,208,034	$	160,551,029		$	—	$	258,759,063

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February 28, 2023

Description	Level 1			Level 2			Level 3		Total
High Yield Fund (continued)
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(13,661	)	$	—		$	—	$	(13,661	)
Written Options
Credit Risk		—			(64,112	)		—		(64,112	)
Swap Contracts
Interest Rate Risk		(852,098	)		—			—		(852,098	)
Total	$	(865,759	)	$	(64,112	)	$	—	$	(929,871	)
Multi-Sector Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	3,338,035		$	—	$	3,338,035
Corporate Debt		—			25,663,856			—		25,663,856
U.S. Government		11,586,693			—			—		11,586,693
U.S. Government Agency		—			15,536,785			—		15,536,785
TOTAL DEBT OBLIGATIONS		11,586,693			44,538,676			—		56,125,369
Mutual Funds		27,869,232			—			—		27,869,232
Short-Term Investments		10,282,821			24,230,808			—		34,513,629
Total Investments		49,738,746			68,769,484			—		118,508,230
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			857,233			—		857,233
Futures Contracts
Interest Rate Risk		6,216			—			—		6,216
Swap Contracts
Interest Rate Risk		—			2,122,127			—		2,122,127
Total	$	49,744,962		$	71,748,844		$	—	$	121,493,806
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(442,407	)	$	—	$	(442,407	)
Futures Contracts
Interest Rate Risk		(37,718	)		—			—		(37,718	)
Swap Contracts
Interest Rate Risk		—			(2,150,867	)		—		(2,150,867	)
Total	$	(37,718	)	$	(2,593,274	)	$	—	$	(2,630,992	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	828,839,638		$	10,846,895	$	839,686,533
Corporate Debt		—			3,499,460			—		3,499,460
U.S. Government		49,880,742			—			—		49,880,742

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February 28, 2023

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations (continued)
U.S. Government Agency	$	—		$	7,500,000		$	5,263,033	$	12,763,033
TOTAL DEBT OBLIGATIONS		49,880,742			839,839,098			16,109,928		905,829,768
Mutual Funds		10,894,378			—			—		10,894,378
Short-Term Investments		43,695,400			134,028,353			—		177,723,753
Purchased Options		—			359,673			—		359,673
Total Investments		104,470,520			974,227,124			16,109,928		1,094,807,572
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			142,259			—		142,259
Swap Contracts
Credit Risk		—			33,178,710			—		33,178,710
Interest Rate Risk		—			94,565			—		94,565
Total	$	104,470,520		$	1,007,642,658		$	16,109,928	$	1,128,223,106
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(2,861	)	$	—	$	(2,861	)
Futures Contracts
Interest Rate Risk		(486,325	)		—			—		(486,325	)
Written Options
Credit Risk		—			(447,873	)		—		(447,873	)
Swap Contracts
Credit Risk		—			(7,509,838	)		—		(7,509,838	)
Total	$	(486,325	)	$	(7,960,572	)	$	—	$	(8,446,897	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	350,393,805		$	62,100,280		$	—	$	412,494,085
Total Investments		350,393,805			62,100,280			—		412,494,085
Total	$	350,393,805		$	62,100,280		$	—	$	412,494,085

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 bond forward contracts and forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

Emerging Country Debt Fund has committed an additional $6,231,337 to its investment in Bona Fide Investments Feeder LLC, a private investment in a pool of constitutional obligations of the Colombian government owed to individuals.

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February 28, 2023

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, one Colombia Government International Bond, due 2/15/27 which is valued by applying a 150 basis point spread to the yield of the Colombia Government International Bond, due 4/25/27, one Colombia Government International Bond, due 3/09/28 which is valued by applying a 160 basis point spread to the yield of the Colombia Government International Bond, due 4/25/27, 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, Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, due 6/23/28, which is valued based on a more liquid loan participation’s price discounted by 2 points, a Republic of Kenya loan agreement, which is valued by applying 500 basis point yield spread to a comparable bond and an investment fund valued based on a monthly net asset value statement. 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, three asset-backed securities that were valued in line with general movement of spreads, interest rates or a comparable bond and two asset-backed securities priced based on market trades. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at February 28, 2023.

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, 2022		Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3		Balances as of February 28, 2023		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2023
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	20,629,398	$	—	$	(2,912,700	)	$	(1,754	)	$	(1,455,716	)	$	(787,742	)	$	—	$	—	$	15,471,486	$	(787,742	)
Sovereign and Sovereign Agency Issuers		272,728,861		7,661,450		(68,955,225	)		5,996,693			(69,022,235	)		48,788,979			—		—		197,198,523		2,861,768
Investment Funds		7,850,000		—		(1,506,392	)		—			28,237			663,558			—		—		7,035,403		663,558
Loan Assignments		53,869,474		—		(19,536,810	)		2,133,803			(1,912,414	)		(1,742,894	)		—		—		32,811,159		(1,742,894	)
Loan Participation		43,258,898		—		(20,205,025	)		1,523,604			531,225			(3,595,592	)		—		—		21,513,110		(2,576,088	)
Rights/Warrants		2,194,666		—		(726,254	)		—			(508,860	)		2,256,764			—		—		3,216,316		2,256,764
Total Investments		400,531,297		7,661,450		(113,842,406	)		9,652,346			(72,339,763	)		45,583,073			—		—		277,245,997		675,366
Derivatives
Options		326,111		—		—			—			(582,636	)		558,200			—		—		301,675		558,200
Total	$	400,857,408	$	7,661,450	$	(113,842,406	)#	$	9,652,346		$	(72,922,399	)	$	46,141,273		$	—	$	—	$	277,547,672	$	1,233,566
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	12,356,438	$	—	$	(1,417,000	)	$	275,077		$	—		$	(367,620	)	$	—	$	—	$	10,846,895	$	(367,620	)

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February 28, 2023

	Balances as of February 28, 2022		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3		Balances as of February 28, 2023		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2023
Opportunistic Income Fund (continued)
Debt Obligations (continued)
U.S. Government Agency	$	7,640,437	$	—	$	(2,439,179	)	$	32,745	$	—	$	29,030		$	—	$	—	$	5,263,033	$	29,030
Total	$	19,996,875	$	—	$	(3,856,179	)##	$	307,822	$	—	$	(338,590	)	$	—	$	—	$	16,109,928	$	(338,590	)

# Includes $26,121,271 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $2,439,179 of proceeds received from partial calls and/or principal paydowns as applicable.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended February 28, 2023 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
Sovereign and Sovereign Agency Issuers		39,430,638		Fair Value	Discount for lack of liquidity/marketability	1.40% - 1.60%(1.42%)
Corporate Debt		15,471,486		Fair Value	Discount for lack of liquidity/marketability	2.00% (N/A)
Loan Assignments and Participations		2,286,936		Fair Value	Discount for lack of liquidity/marketability	5.00%-6.00%(5.00%)
Loan Assignments and Participations		19,649,339		Fair Value	Discount for lack of liquidity/marketability	$2.00 (N/A)
Warrants		39,023		Fair Value	Discount for lack of liquidity/marketability	50% (N/A)
Options		301,675		Fair Value	Probability of CDS threshold event	<5% (N/A)
Investment Funds		7,035,403		Fair Value	Net asset value statement	(N/A)
Opportunistic Income Fund
Asset-Backed Securities		10,767,895		Fair Value	Broker mark of comparable bond	N/A
Government Agency		5,263,033		Fair Value	Discount for lack of liquidity/marketability	1.25% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of February 28, 2023, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $193,333,172 and $79,000, 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

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February 28, 2023

on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Indexed investments

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

Loan assignments and participations

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

Rights and warrants

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

Repurchase agreements

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

As of February 28, 2023, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at year end. Repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

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February 28, 2023

Fund Name	Counterparty	Value ($)		Value (with associated collateral) ($)		Weighted Average Maturity (days)
Asset Allocation Bond Fund	Nomura Securities International, Inc.		9,999,814		10,203,893		1.0
Emerging Country Debt Fund	Nomura Securities International, Inc.		35,999,722		36,734,410		1.0
High Yield Fund	Nomura Securities International, Inc.		105,999,397		108,162,650		1.0
Multi-Sector Fixed Income Fund	Nomura Securities International, Inc.		3,499,595		3,571,015		1.0
Opportunistic Income Fund	Daiwa Capital Markets America, Inc.		134,028,353		136,763,625		1.0
U.S. Treasury Fund	Daiwa Capital Markets America, Inc.		58,100,280		59,286,000		1.0

Reverse repurchase agreements

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

Inflation-indexed bonds

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

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

Delayed delivery commitments and when-issued securities

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

Short sales

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

96

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February 28, 2023

Taxes and distributions

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

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2023, 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.

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

Differences related to:	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi- Sector Fixed Income Fund	Opportunistic Income Fund	U.S. Treasury Fund
Capital loss carryforwards	X	X	X	X	X	X
Defaulted bonds		X
Derivative contract transactions	X	X	X	X	X
Foreign currency transactions	X	X	X	X	X
Interest, accretion, and amortization		X			X
Late year ordinary losses			X	X

97

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February 28, 2023

Differences related to:	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi- Sector Fixed Income Fund	Opportunistic Income Fund	U.S. Treasury Fund
Losses on wash sale transactions		X	X	X
Losses related to debt obligations					X
Mutual fund distributions received				X
Paydown gain/losses					X
Post-October capital losses	X	X		X		X
Redemption in-kind transactions		X
Straddle loss deferrals				X

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

	Tax year ended February 28, 2023						Tax year ended February 28, 2022
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long- Term Capital Gain ($)		Total Distributions ($)
Asset Allocation Bond Fund		157,978		—		157,978		1,000,062		—		1,000,062
Emerging Country Debt Fund		362,299,968		—		362,299,968		344,849,612		73,953,153		418,802,765
High Yield Fund		18,803,003		168,310		18,971,313		11,531,519		448,207		11,979,726
Multi-Sector Fixed Income Fund		2,000,578		—		2,000,578		—		5,148,607		5,148,607
Opportunistic Income Fund		40,558,234		9,982,443		50,540,677		19,824,450		—		19,824,450
U.S. Treasury Fund		8,732,859		—		8,732,859		564,398		136,353		700,751

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, 2023, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net  short-term capital gain) ($)		Late-Year Ordinary Loss Deferral ($)			Capital Loss Carryforwards ($)			Post-October Capital Losses Deferral ($)
Asset Allocation Bond Fund		428,198		—			(48,013,799	)		(3,419,578	)
Emerging Country Debt Fund		15,086,827		—			(88,337,038	)		(29,465,764	)
High Yield Fund		—		(1,676,312	)		(9,017,045	)		—
Multi-Sector Fixed Income Fund		—		(3,435,086	)		(35,362,111	)		(873,980	)
Opportunistic Income Fund		12,632,243		—			(55,222,241	)		—
U.S. Treasury Fund		—		—			(1,588,005	)		(207,004	)

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As of February 28, 2023, 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, 2023, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

Fund Name	Short-Term ($)			Long-Term ($)
Asset Allocation Bond Fund		(27,614,560	)		(20,399,239	)
Emerging Country Debt Fund		(14,075,236	)		(74,261,802	)
High Yield Fund		(6,436,296	)		(2,580,749	)
Multi-Sector Fixed Income Fund		(5,818,749	)		(29,543,362	)
Opportunistic Income Fund		—			(55,222,241	)
U.S. Treasury Fund		(1,588,005	)		—

As of February 28, 2023, 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		20,198,599		6,514		(6	)		6,508			—
Emerging Country Debt Fund		4,118,949,611		21,874,718		(1,447,765,311	)		(1,425,890,593	)		(1,334,238	)
High Yield Fund		260,862,521		24,047		(6,561,138	)		(6,537,091	)		500,304
Multi-Sector Fixed Income Fund		127,753,688		230,203		(9,475,661	)		(9,245,458	)		(41,175	)
Opportunistic Income Fund		1,202,026,420		9,576,744		(116,795,592	)		(107,218,848	)		(6,368,213	)
U.S. Treasury Fund		413,185,830		33,274		(725,019	)		(691,745	)		—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of February 28, 2023, 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

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funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/deflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses and class allocations

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

Custodian, Fund Accounting Agent and Transfer Agent

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

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund directly or indirectly (e.g., through investments in underlying funds) as a result of an investor’s purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and redemption fee or 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).

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As of February 28, 2023, 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.

Recently-issued accounting guidance

In June 2022, the Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update 2022-03, “Fair Value Measurement (Topic 820) – Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions” (“ASU 2022-03”). The amendments in ASU 2022-03 apply to all entities that have investments in equity securities measured at fair value that are subject to a contractual sale restriction. The amendments in ASU 2022-03 clarify guidance for fair value measurement of an equity security subject to a contractual sale restriction and establish new disclosure requirements for such equity securities. The amendments in ASU 2022-03 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023 with early adoption permitted. GMO is currently evaluating the impact, if any, of the new disclosure requirements on the financial statements.

3. Investment and other risks

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

	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund	Opportunistic Income Fund	U.S. Treasury Fund
Credit Risk	X	X	X	X	X	X
Market Risk – Fixed Income	X	X	X	X	X	X
Illiquidity Risk	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X
Market Risk – Asset-Backed Securities	X			X	X
Counterparty Risk	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X
Currency Risk	X	X	X	X	X

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	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund	Opportunistic Income Fund	U.S. Treasury Fund
Futures Contracts Risk			X	X	X
Fund of Funds Risk	X		X	X
Non-U.S. Investment Risk	X	X	X	X	X
Commodities Risk	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X
Market Risk – Equities	X				X
Smaller Company Risk	X			X	X
Non-Diversified Funds			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 possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds or other investment companies (collectively, “Underlying Funds”) are 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 and indirectly by the Fund.

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.

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such failure. In addition, investments in emerging country sovereign or quasi-sovereign debt involve a heightened risk that the issuer responsible for repayment of the debt may be unable or unwilling to pay interest and repay principal when due, and the Fund may lack recourse against the issuer in the event of default. Investments in quasi-sovereign debt also are subject to the risk that the issuer will default independently of its sovereign. Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a U.S. credit default would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to their issuers’ payment defaults and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the

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issuer might not make any interest or other payments, and the Fund may incur additional expenses to seek recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, the Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment.

• MARKET RISK — FIXED INCOME. 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 prices of emerging country sovereign and quasi-sovereign debt investments can decline due to uncertainty about their credit quality and the reliability of their payment streams.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent a Fund or an underlying fund from selling particular securities or closing derivative positions at desirable prices.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. 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 index or underlying securities. A Fund may create short investment exposure by selling securities short or 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. The risks of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• MARKET RISK— ASSET BACKED SECURITIES. 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 streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure, creditworthiness of any credit-support provider, and reliability of various other service providers with access to the payment stream), and 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. The liquidity of asset-backed securities (particularly below investment grade asset-backed securities) may change over time. 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, have resulted, and may continue to result, in delinquencies and losses and have other, potentially unanticipated, adverse effects on such investments and the markets for those investments.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s collateral or otherwise honor its obligations.

• MANAGEMENT AND OPERATIONAL RISK. A Fund runs the risk that GMO’s investment techniques will fail to produce desired results. For many funds, GMO uses quantitative models as part of its investment process. GMO’s models may 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. A Fund also runs the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• FOCUSED INVESTMENT RISK. Investments focused in countries, regions, asset classes, sectors, industries, currencies, or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated.

• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

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• FUTURES CONTRACTS RISK. The loss to a Fund resulting from its use of futures contracts 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 liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that contract. When 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. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment in the underlying funds (including underlying GMO Funds and ETFs) in which it invests, including the risk that those underlying funds will not perform as expected. Because a Fund bears the fees and expenses of the underlying funds in which it invests, an increase in fees and expenses of an underlying fund or a reallocation of the Fund’s investments to underlying funds with higher fees or expenses will increase the Fund’s total expenses.

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities (particularly of companies tied economically to emerging countries) fluctuate more than those of U.S. securities. Many non-U.S. securities markets (particularly emerging markets) are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in 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. In addition, a Fund may be subject to non-U.S. taxes, 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. Also, the Fund needs a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, 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. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and other geopolitical risks) tend to be higher for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities, and often are more volatile than the economies of developed countries.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) may disrupt securities markets and adversely affect particular economies and markets as well as global economies and markets. Those events, as well as other changes in non U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Funds’ investments.

Russia’s invasion of Ukraine beginning in February 2022 has had, and could continue to have, severe adverse effects on regional and global economic markets for securities and commodities. For example, in response to Russia’s actions, various governments, including the United States, issued a series of broad-ranging economic sanctions against Russia that, among other things (i) prohibit doing business with certain Russian companies, financial institutions and individuals (e.g., officials); (ii) the removal of Russian banks from the Society for Worldwide Interbank Financial Telecommunications (commonly referred to as “SWIFT”), the electronic banking network that connects banks globally; and (iii) restrict the Russian Central Bank from undermining the impact of the sanctions. In retaliation for the sanctions and other actions by the U.S. and other countries, Russia has imposed strict capital controls limiting the ability of foreigners to trade on the Moscow Stock Exchange and to sell, receive or deliver assets held in the custody of local Russian banks (such as equities of Russian companies and Rubles). These actions by the United States and other countries have adversely affected (and similar actions in the future could adversely affect) the Russian economy and the value and liquidity of Russian securities. In particular, where a Fund holds securities of a Russian issuer that is subject to blocking sanctions imposed by the U.S. Department of the Treasury’s Office of Foreign Assets Control, those securities will be frozen and consequently unable to be sold

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or transferred. Moreover, the Russia/Ukraine conflict and related actions (such as those described above) have, and could continue to have, an adverse effect on global markets and liquidity, thereby negatively affecting the value of a Fund’s investments beyond any direct exposure to Russian issuers.

• LARGE SHAREHOLDER RISK. To the extent that 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 require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• LEVERAGING RISK. The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, a Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by a Fund and the time the Fund liquidates assets to meet that request.

• MARKET RISK—EQUITIES. The market price of an equity may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for 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. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations 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.

• NON-DIVERSIFIED FUNDS. High Yield Fund and Multi-Sector Fixed Income Fund are non-diversified investment companies under the 1940 Act and therefore a decline in the market price of a particular security held by the Funds may affect the Funds’ performance more than if the Funds were a diversified investment company.

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.

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Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, a Fund may have gross investment exposures in excess of its net assets (i.e., the Fund may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than U.S. Treasury Fund) performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

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

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

For Funds that held derivatives during the year ended February 28, 2023, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund	Opportunistic Income Fund
Bond forward contracts
Substitute for direct investment in securities		X
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	X
Maintain the diversity and liquidity of the portfolio			X	X	X
Options (Purchased)
Achieve exposure to a reference entity’s credit					X
Adjust exposure to foreign currencies		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			X
Adjust interest rate exposure		X		X	X
Adjust portfolio beta		X

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February 28, 2023

Type of Derivative and Objective for Use (continued)	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund	Opportunistic Income Fund
Generate long risk exposure to an index			X
Provide a measure of protection against default loss		X	X		X
Provide exposure to the Fund’s benchmark			X	X

Bond forward contracts

The Funds may enter into bond forward contracts. A bond forward may be a contractual agreement between the Fund and another party to cash settle the difference between the final price of an underlying asset and the forward price, calculated at inception of the contract. In a bond forward transaction, no cash premium is paid when the parties enter into the bond forward. If the transaction is collateralized, an exchange of margin collateral will take place according to an agreed-upon schedule. Otherwise, no asset of any kind changes hands until the bond forward matures (typically in 30 days) or is rolled over for another agreed upon period. Generally, the value of the bond forward will change based on changes in the value of the underlying asset. Bond forwards are subject to market risk (the risk that the market value of the underlying bond may change), non-correlation risk (the risk that the market value of the bond forward might move independently of the market value of the underlying bond) and counterparty credit risk (the risk that a counterparty will be unable to meet its obligation under the contract). If there is no cash exchanged at the time the Fund enters into the bond forward, counterparty risk may be limited to the loss of any marked-to market profit on the contract and any delays or limitations on the Fund’s ability to sell or otherwise use the investments posted as collateral for the bond forward. Bond forward contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Forward currency contracts

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

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

Futures contracts

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

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February 28, 2023

Options

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

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

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

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

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap 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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February 28, 2023

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.

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

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

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February 28, 2023

****

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2023 and the Statements of Operations for the year ended February 28, 2023^:

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
Asset Allocation Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	7,690	$	—		$	7,690
Unrealized Appreciation on Futures Contracts¤		—		—		24,372			24,372
Total	$	—	$	7,690	$	24,372		$	32,062
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	—	$	(39,521	)	$	(39,521	)
Total	$	—	$	—	$	(39,521	)	$	(39,521	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	—	$	(15,149	)	$	(15,149	)
Forward Currency Contracts		—		7,690		—			7,690
Total	$	—	$	7,690	$	(15,149	)	$	(7,459	)

110

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February 28, 2023

				Foreign			Interest
	Credit			Currency			Rate
	Contracts			Contracts			Contracts			Total
Emerging Country Debt Fund
Asset Derivatives
Unrealized Appreciation on Bond Forward Contracts	$	—		$	—		$	50,594		$	50,594
Unrealized Appreciation on Forward Currency Contracts		—			2,596,255			—			2,596,255
Options, at value		301,675			—			—			301,675
Swap Contracts, at value¤		19,783,919			—			8,440,541			28,224,460
Total	$	20,085,594		$	2,596,255		$	8,491,135		$	31,172,984
Liability Derivatives
Unrealized Depreciation on Bond Forwards Contracts	$	—		$	—		$	(911,701	)	$	(911,701	)
Unrealized Depreciation on Forward Currency Contracts		—			(379,018	)		—			(379,018	)
Swap Contracts, at value¤		(1,511,468	)		—			(22,276	)		(1,533,744	)
Total	$	(1,511,468	)	$	(379,018	)	$	(933,977	)	$	(2,824,463	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	(377,508	)	$	—		$	(377,508	)
Bond forward contracts		—			—			(3,321,127	)		(3,321,127	)
Options		(582,636	)		—			—			(582,636	)
Swap Contracts		14,267,458			—			6,508,025			20,775,483
Forward Currency Contracts		—			45,389,317			—			45,389,317
Total	$	13,684,822		$	45,011,809		$	3,186,898		$	61,883,529
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	1,064,064		$	—		$	1,064,064
Bond forward contracts		—			—			(861,107	)		(861,107	)
Options		558,200			—			—			558,200
Swap Contracts		(12,322,098	)		—			11,134,080			(1,188,018	)
Forward Currency Contracts		—			(2,024,259	)		—			(2,024,259	)
Total	$	(11,763,898	)	$	(960,195	)	$	10,272,973		$	(2,451,120	)
High Yield Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—		$	—		$	11,892		$	11,892
Swap Contracts, at value¤		587,139			—			3,834,602			4,421,741
Total	$	587,139		$	—		$	3,846,494		$	4,433,633
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—		$	—		$	(13,661	)	$	(13,661	)
Written Options, at value		(64,112	)		—			—			(64,112	)
Swap Contracts, at value¤		—			—			(852,098	)		(852,098	)
Total	$	(64,112	)	$	—		$	(865,759	)	$	(929,871	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	(3,490,787	)	$	(3,490,787	)
Written Options		(813,785	)		—			—			(813,785	)
Swap Contracts		(78,052	)		—			(777,880	)		(855,932	)
Forward Currency Contracts		—			8,623,955			—			8,623,955
Total	$	(891,837	)	$	8,623,955		$	(4,268,667	)	$	3,463,451
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	(170,929	)	$	(170,929	)
Written Options		466,086			—			—			466,086
Swap Contracts		924,075			—			4,394,435			5,318,510
Forward Currency Contracts		—			(218,399	)		—			(218,399	)
Total	$	1,390,161		$	(218,399	)	$	4,223,506		$	5,395,268

111

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February 28, 2023

			Foreign			Interest
	Credit		Currency			Rate
	Contracts		Contracts			Contracts			Total
Multi-Sector Fixed Income Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	857,233		$	—		$	857,233
Unrealized Appreciation on Futures Contracts¤		—		—			6,216			6,216
Swap Contracts, at value¤		—		—			2,122,127			2,122,127
Total	$	—	$	857,233		$	2,128,343		$	2,985,576
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	(442,407	)	$	—		$	(442,407	)
Unrealized Depreciation on Futures Contracts¤		—		—			(37,718	)		(37,718	)
Swap Contracts, at value¤		—		—			(2,150,867	)		(2,150,867	)
Total	$	—	$	(442,407	)	$	(2,188,585	)	$	(2,630,992	)
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	—		$	(5,844,922	)	$	(5,844,922	)
Swap Contracts		—		—			(41,891	)		(41,891	)
Forward Currency Contracts		—		3,010,113			—			3,010,113
Total	$	—	$	3,010,113		$	(5,886,813	)	$	(2,876,700	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	—		$	(440,253	)	$	(440,253	)
Swap Contracts		—		—			265,954			265,954
Forward Currency Contracts		—		948,216			—			948,216
Total	$	—	$	948,216		$	(174,299	)	$	773,917

112

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February 28, 2023

				Foreign			Interest
	Credit			Currency			Rate
	Contracts			Contracts			Contracts			Total
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	359,673		$	—		$	—		$	359,673
Unrealized Appreciation on Forward Currency Contracts		—			142,259			—			142,259
Swap Contracts, at value¤		33,178,710			—			94,565			33,273,275
Total	$	33,538,383		$	142,259		$	94,565		$	33,775,207
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(2,861	)	$	—		$	(2,861	)
Unrealized Depreciation on Futures Contracts¤		—			—			(486,325	)		(486,325	)
Written Options, at value		(447,873	)		—			—			(447,873	)
Swap Contracts, at value¤		(7,509,838	)		—			—			(7,509,838	)
Total	$	(7,957,711	)	$	(2,861	)	$	(486,325	)	$	(8,446,897	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	(722,628	)	$	—		$	—		$	(722,628	)
Futures Contracts		—			—			(2,378,481	)		(2,378,481	)
Written Options		2,660,303			—			—			2,660,303
Swap Contracts		2,844,742			—			545,148			3,389,890
Forward Currency Contracts		—			415,402			—			415,402
Total	$	4,782,417		$	415,402		$	(1,833,333	)	$	3,364,486
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	76,361		$	—		$	—		$	76,361
Futures Contracts		—			—			(204,141	)		(204,141	)
Written Options		132,109			—			—			132,109
Swap Contracts		(662,155	)		—			(44,011	)		(706,166	)
Forward Currency Contracts		—			65,902			—			65,902
Total	$	(453,685	)	$	65,902		$	(248,152	)	$	(635,935	)

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

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

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

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February 28, 2023

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at February 28, 2023, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 28, 2023:

Asset Allocation Bond Fund

	Gross Derivative				Derivative		Net Amount
	Assets Subject to		Collateral		Assets/Liabilities		of Derivative
Counterparty	Master Agreements		Received		Available for Offset		Assets
Citibank N.A.	$	7,690	$	—	$	—	$	7,690
Total	$	7,690	$	—	$	—	$	7,690

Emerging Country Debt Fund

	Gross Derivative						Derivative			Net Amount
	Assets Subject to			Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreements			Received			Available for Offset			Assets
Barclays Bank PLC	$	1,114,345		$	(972,317	)	$	—		$	142,028
Citibank N.A.		2,995,783			(1,880,000	)		(912,514	)		203,269
Deutsche Bank AG		1,451,104			—			(1,451,104	)		—
Goldman Sachs International		4,009,191			(3,839,231	)		—			169,960
JPMorgan Chase Bank, N.A.		1,697,798			—			(211,846	)		1,485,952
Morgan Stanley & Co. International PLC		2,440,164			(2,269,094	)		(171,070	)		—	*
Morgan Stanley Capital Services LLC		2,231,691			(2,231,691	)		—			—	*
State Street Bank and Trust Company		156,091			(156,091	)		—			—	*
Total	$	16,096,167		$	(11,348,424	)	$	(2,746,534	)	$	2,001,209
	Gross Derivative						Derivative			Net Amount
	Liabilities Subject to			Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreement			Pledged			Available for Offset			Liabilities
Citibank N.A.	$	(912,514	)	$	—		$	912,514		$	—
Deutsche Bank AG		(1,506,757	)		55,653			1,451,104			—	*
JPMorgan Chase Bank, N.A.		(211,846	)		—			211,846			—
Morgan Stanley & Co. International PLC		(171,070	)		—			171,070			—
Total	$	(2,802,187	)	$	55,653		$	2,746,534		$	—

114

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

High Yield Fund

	Gross Derivative						Derivative		Net Amount
	Assets Subject to			Collateral			Assets/Liabilities		of Derivative
Counterparty	Master Agreements			Received			Available for Offset		Assets
Barclays Bank PLC	$	858,739		$	(260,761	)	$	—	$	597,978
Goldman Sachs International		239,416			(239,416	)		—		—	*
JPMorgan Chase Bank, N.A.		177,318			—			—		177,318
Morgan Stanley & Co. International PLC		2,559,129			(1,990,000	)		—		569,129
Total	$	3,834,602		$	(2,490,177	)	$	—	$	1,344,425
	Gross Derivative						Derivative		Net Amount
	Liabilities Subject to			Collateral			Assets/Liabilities		of Derivative
Counterparty	Master Agreement			Pledged			Available for Offset		Liabilities
Deutsche Bank AG	$	(64,112	)	$	64,112		$	—	$	—	*
Morgan Stanley & Co. LLC		(852,098	)		—			—		(852,098	)
Total	$	(916,210	)	$	64,112		$	—	$	(852,098	)

Multi-Sector Fixed Income Fund

	Gross Derivative						Derivative			Net Amount
	Assets Subject to			Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreements			Received			Available for Offset			Assets
Bank of America, N.A.	$	81,004		$	—		$	(20,352	)	$	60,652
Barclays Bank PLC		223,204			—			(80,600	)		142,604
Citibank N.A.		428,918			(250,000	)		(4,344	)		174,574
Deutsche Bank AG		12,081			—			—			12,081
Goldman Sachs		10,537			—			(10,537	)		—
JPMorgan Chase Bank, N.A.		9,897			—			(9,897	)		—
Morgan Stanley & Co. International PLC		78,228			—			(78,228	)		—
State Street Bank and Trust Company		13,364			—			(9,990	)		3,374
Total	$	857,233		$	(250,000	)	$	(213,948	)	$	393,285
	Gross Derivative						Derivative			Net Amount
	Liabilities Subject to			Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreement			Pledged			Available for Offset			Liabilities
Bank of America, N.A.	$	(20,352	)	$	—		$	20,352		$	—
Barclays Bank PLC		(80,600	)		—			80,600			—
Citibank N.A.		(4,344	)		—			4,344			—
Goldman Sachs		(18,407	)		—			10,537			(7,870	)
JPMorgan Chase Bank, N.A.		(44,897	)		—			9,897			(35,000	)
Morgan Stanley & Co. International PLC		(263,817	)		172,863			78,228			(12,726	)
State Street Bank and Trust Company		(9,990	)		—			9,990			—
Total	$	(442,407	)	$	172,863		$	213,948		$	(55,596	)

115

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Opportunistic Income Fund

	Gross Derivative						Derivative			Net Amount
	Assets Subject to			Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreements			Received			Available for Offset			Assets
Bank of America, N.A.	$	155,319		$	(104,063	)	$	—		$	51,256
Barclays Bank PLC		359,673			—			(244,614	)		115,059
Citibank N.A.		1,799,447			(1,308,648	)		(490,799	)		—	*
Citigroup Global Markets Inc.		1,870,163			(1,539,683	)		(330,480	)		—	*
Deutsche Bank AG		619,486			(619,486	)		—			—	*
Goldman Sachs International		12,562,782			(12,182,600	)		(351,169	)		29,013
JPMorgan Chase Bank, N.A.		5,333,851			(2,519,249	)		(2,814,602	)		—	*
Morgan Stanley & Co. International PLC		9,630,206			(9,424,086	)		(206,120	)		—	*
Morgan Stanley Capital Services LLC		1,443,699			(1,443,699	)		—			—	*
State Street Bank and Trust Company		581			—			—			581
Total	$	33,775,207		$	(29,141,514	)	$	(4,437,784	)	$	195,909
	Gross Derivative						Derivative			Net Amount
	Liabilities Subject to			Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreement			Pledged			Available for Offset			Liabilities
Barclays Bank PLC	$	(244,614	)	$	—		$	244,614		$	—
Citibank N.A.		(490,799	)		—			490,799			—
Citigroup Global Markets Inc.		(330,480	)		—			330,480			—
Goldman Sachs International		(351,169	)		—			351,169			—
JPMorgan Chase Bank, N.A.		(2,814,602	)		—			2,814,602			—
Morgan Stanley & Co. International PLC		(206,120	)		—			206,120			—
Total	$	(4,437,784	)	$	—		$	4,437,784		$	—

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

The average derivative activity of notional amounts (bond forward contracts, forward currency contracts, futures contracts and swap contracts) and principal amounts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 28, 2023:

Fund Name	Bond Forward Contracts ($)		Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Swap Contracts ($)
Asset Allocation Bond Fund		—		167,532		2,876,902		—		—
Emerging Country Debt Fund		62,582,418		355,576,096		—		147,959,667		1,180,833,365
High Yield Fund		—		62,782,591		47,942,061		15,730,000		223,682,065
Multi-Sector Fixed Income Fund		—		91,548,726		42,343,335		—		316,468,574
Opportunistic Income Fund		—		6,742,982		604,169,387		191,170,167		615,320,632

116

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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	%		0.08	%(a)

^(a)  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 February 28, 2023.

For each Fund (prior to June 30, 2022), other than Emerging Country Debt Fund and High Yield Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For the period starting June 30, 2022, Asset Allocation Bond Fund, Multi-Sector Fixed Income Fund and Opportunistic Income Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.01% of the Fund’s average daily net assets. Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

“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, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

With respect to High Yield Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.55% for Class III shares; 0.50% for Class IV shares; 0.485% for Class V shares; 0.455% for Class VI shares; 0.55% for Class R6 shares; and 0.55% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency,

117

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (“Excluded Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap or any 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. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits in effect at the time GMO seeks to recover expenses.

For the year ended February 28, 2023, GMO did not recoup any previously recorded waivers and/or reimbursements.

On February 28, 2023, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 29, 2024		Expiring the year ending February 28, 2025		Expiring the year ending February 28, 2026
High Yield Fund, Class VI		—		—	$	30,232

GMO has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees 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, 2023 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 each Fund, other than High Yield Fund, GMO has contractually agreed to reimburse Class I shares 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.

For High Yield Fund prior to June 30, 2022, GMO has contractually agreed to reimburse Class I assets to the extent payments for sub-transfer agency, recordkeeping and other administrative services from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets. For the period starting June 30, 2022, GMO has contractually agreed to reimburse Class I assets to the extent payments for sub-transfer agency, recordkeeping and other administrative services from Class I assets exceed 0.04% 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.

118

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2023 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)
Asset Allocation Bond Fund		828
Emerging Country Debt Fund		151,093
High Yield Fund		12,432
Multi-Sector Fixed Income Fund		4,275
Opportunistic Income Fund		45,941
U.S. Treasury Fund		14,721

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the Year ended February 28, 2023, the Funds below had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

Fund Name	Total Indirect Expense
Multi-Sector Fixed Income Fund		0.121	%

The Funds are permitted to purchase or sell securities from or to other GMO Trust 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 or to another GMO Trust fund complies with rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2023, the funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2023 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		21,472,245		165,056		50,087,828		176,635
Emerging Country Debt Fund		221,257,491		723,294,480		302,125,171		1,044,602,778
High Yield Fund		68,696,356		53,053,697		2,147,192		23,644,937
Multi-Sector Fixed Income Fund		260,169,580		32,627,031		248,619,393		40,053,254
Opportunistic Income Fund		308,812,644		408,390,773		425,038,810		226,474,353
U.S. Treasury Fund		—		—		—		—

119

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the year ended February 28, 2023. 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 ($)
Emerging Country Debt Fund		—		515,977,959	*		(168,375,123	)

* The redemption in-kind was redeemed by an affiliate.

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 February 28, 2023

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		1	‡		99.81	%
Emerging Country Debt Fund		—			—
High Yield Fund		3	#		94.37	%
Multi-Sector Fixed Income Fund		4	#		85.58	%
Opportunistic Income Fund		3	‡		61.28	%
U.S. Treasury Fund		3	§		62.77	%

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

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

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

120

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

9. Share transactions

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

	Year Ended February 28, 2023						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		—		$	—			231,090		$	5,615,500
Shares issued to shareholders in reinvestment of distributions		—			—			15			359
Shares repurchased		—			—			(2,826,353	)		(67,755,933	)
Net increase (decrease)		—		$	—			(2,595,248	)	$	(62,140,074	)
Class VI:
Shares sold		155,762		$	3,316,859			685,291		$	16,677,005
Shares issued to shareholders in reinvestment of distributions		7,321			157,978			28,792			699,355
Shares repurchased		(790,590	)		(17,266,124	)		(1,552,611	)		(37,257,738	)
Net increase (decrease)		(627,507	)	$	(13,791,287	)		(838,528	)	$	(19,881,378	)
Emerging Country Debt Fund
Class III:
Shares sold		27,396,992		$	489,332,221			7,338,675		$	177,081,443
Shares issued to shareholders in reinvestment of distributions		5,278,003			92,976,565			3,749,384			91,061,066
Shares repurchased		(7,788,631	)		(149,032,722	)		(6,465,058	)		(154,953,062	)
Purchase premiums		—			197,867			—			262,799
Redemption fees		—			811,031			—			415,289
Net increase (decrease)		24,886,364		$	434,284,962			4,623,001		$	113,867,535
Class IV:
Shares sold		18,090,621		$	327,661,582			19,770,838		$	511,809,366
Shares issued to shareholders in reinvestment of distributions		7,663,996			134,759,630			7,567,539			186,159,290
Shares repurchased		(31,422,672	)		(567,257,280	)		(81,664,417	)		(2,093,128,743	)
Purchase premiums		—			329,215			—			676,346
Redemption fees		—			1,390,018			—			834,669
Net increase (decrease)		(5,668,055	)	$	(103,116,835	)		(54,326,040	)	$	(1,393,649,072	)
Class VI:(a)
Shares sold		7,804,106		$	150,598,679			57,276,130		$	1,479,762,322
Shares issued to shareholders in reinvestment of distributions		5,224,631			92,257,553			4,061,385			96,336,051
Shares repurchased		(49,730,237	)(b)		(871,796,301	)(b)		(2,398,142	)		(59,422,319	)
Purchase premiums		—			145,763			—			151,434
Redemption fees		—			773,314			—			453,691
Net increase (decrease)		(36,701,500	)	$	(628,020,992	)		58,939,373		$	1,517,281,179

121

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Year Ended February 28, 2023						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
High Yield Fund
Class VI:
Shares sold		15,284,882		$	267,516,111			—		$	—
Shares issued to shareholders in reinvestment of distributions		1,134,916			18,886,074			607,965			11,960,560
Shares repurchased		(5,586,053	)		(98,691,785	)		(585,873	)		(11,500,000	)
Net increase (decrease)		10,833,745		$	187,710,400			22,092		$	460,560
Multi-Sector Fixed Income Fund
Class III:
Shares sold		416,640		$	6,870,403			198,808		$	4,000,000
Shares issued to shareholders in reinvestment of distributions		8,883			149,319			38,703			771,747
Shares repurchased		(280	)		(4,800	)		(1,340,616	)		(26,860,330	)
Net increase (decrease)		425,243		$	7,014,922			(1,103,105	)	$	(22,088,583	)
Class IV:
Shares sold		1,483,036		$	26,065,009			2,988,268		$	60,053,854
Shares issued to shareholders in reinvestment of distributions		92,314			1,559,194			193,216			3,868,186
Shares repurchased		(2,350,022	)		(40,932,500	)		(3,669,201	)		(72,720,030	)
Net increase (decrease)		(774,672	)	$	(13,308,297	)		(487,717	)	$	(8,797,990	)
Opportunistic Income Fund
Class III:(c)
Shares sold		1,794,231		$	43,302,785			1,013,442		$	26,129,885
Shares issued to shareholders in reinvestment of distributions		14,595			353,815			8,790			224,578
Shares repurchased		(293,945	)		(7,248,308	)		(541,722	)		(13,851,286	)
Net increase (decrease)		1,514,881		$	36,408,292			480,510		$	12,503,177
Class VI:
Shares sold		5,356,095		$	131,084,685			1,201,167		$	30,987,689
Shares issued to shareholders in reinvestment of distributions		621,773			15,001,411			294,328			7,561,416
Shares repurchased		(4,501,883	)		(110,825,799	)		(5,293,597	)		(137,137,320	)
Net increase (decrease)		1,475,985		$	35,260,297			(3,798,102	)	$	(98,588,215	)
Class R6:(d)
Shares sold		3,049,542		$	76,297,993			6,348,670		$	164,336,615
Shares issued to shareholders in reinvestment of distributions		171,371			4,129,997			26,344			673,318
Shares repurchased		(1,468,340	)		(35,958,528	)		(374,066	)		(9,594,675	)
Net increase (decrease)		1,752,573		$	44,469,462			6,000,948		$	155,415,258
Class I:
Shares sold		8,137,722		$	196,826,521			5,654,035		$	146,238,616
Shares issued to shareholders in reinvestment of distributions		628,046			15,108,991			234,350			6,009,933
Shares repurchased		(5,221,139	)		(128,235,546	)		(4,671,231	)		(121,104,867	)
Net increase (decrease)		3,544,629		$	83,699,966			1,217,154		$	31,143,682

122

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Year Ended February 28, 2023						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
U.S. Treasury Fund
Core Class:
Shares sold		498,976,199		$	2,489,337,437			304,783,797		$	1,534,292,585
Shares issued to shareholders in reinvestment of distributions		426,512			2,126,219			63,726			320,558
Shares repurchased		(468,958,957	)		(2,339,411,314	)		(329,360,932	)		(1,657,850,113	)
Net increase (decrease)		30,443,754		$	152,052,342			(24,513,409	)	$	(123,236,970	)

^(a)  The period under the heading “Year Ended February 28, 2022” represents the period from July 29, 2021 (commencement of operations) through February 28, 2022.

^(b)  29,602,866 shares and $515,977,959 were redeemed in-kind by an affiliate.

^(c)  The period under the heading “Year Ended February 28, 2022” represents the period from July 21, 2021 (commencement of operations) through December 28, 2021 and the period under the heading “Year Ended February 28, 2022” represents the period from February 1, 2022 (commencement of operations) through February 28, 2022.

^(d)  The period under the heading “Year Ended February 28, 2022” represents the period from May 19, 2021 (commencement of operations) through February 28, 2022.

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 28, 2023 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	$	11,626	$	165,055	$	176,635	$	460	$	—	$	(93	)	$	47		$	—
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,339,103	$	—	$	6,500,000	$	1,693,152	$	—	$	(35,403	)	$	(274,412	)	$	67,529,288
Multi-Sector Fixed Income Fund
GMO Emerging Country Debt Fund, Class VI	$	6,291,438	$	—	$	1,000,001	$	595,595	$	—	$	(409,719	)	$	(506,790	)	$	4,374,928
GMO Opportunistic Income Fund, Class VI		25,924,702		—		1,000,000		904,092		357,581		(34,894	)		(1,395,504	)		23,494,304
GMO U.S. Treasury Fund		2,399,326		—		2,399,326		854		—		(9,578	)		9,578			—
Totals	$	34,615,466	$	—	$	4,399,327	$	1,500,541	$	357,581	$	(454,191	)	$	(1,892,716	)	$	27,869,232
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	10,938,043	$	—	$	—	$	259,013	$	—	$	—		$	(43,665	)	$	10,894,378

11. Subsequent events

Subsequent to February 28, 2023, GMO High Yield Fund received redemption requests in the amount of $84,500,000.

123

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

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

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Asset Allocation Bond Fund, GMO Emerging Country Debt Fund, GMO High Yield Fund, GMO Multi-Sector Fixed Income Fund, GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund (six of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2023, the related statements of operations for the year ended February 28, 2023, the statements of changes in net assets for each of the two years in the period ended February 28, 2023, the statement of cash flows for GMO Emerging Country Debt Fund for the year ended February 28, 2023, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 28, 2023, the statement of cash flows of GMO Emerging Country Debt Fund for the year ended February 28, 2023 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, MA

April 27, 2023

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

124

GMO Trust Funds

Fund Expenses

February 28, 2023 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2023.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2022 through February 28, 2023.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value September 1, 2022		Ending Account Value February 28, 2023		Expenses Paid During the Period*		Beginning Account Value September 1, 2022		Ending Account Value February 28, 2023		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III	$	1,000.00	$	959.20	$	1.94	$	1,000.00	$	1,022.81	$	2.01		0.40	%
Class VI	$	1,000.00	$	959.00	$	1.55	$	1,000.00	$	1,023.21	$	1.61		0.32	%
Emerging Country Debt Fund
Class III	$	1,000.00	$	1,055.10	$	2.75	$	1,000.00	$	1,022.12	$	2.71		0.54	%
Class IV	$	1,000.00	$	1,055.50	$	2.50	$	1,000.00	$	1,022.37	$	2.46		0.49	%
Class VI	$	1,000.00	$	1,055.10	$	2.24	$	1,000.00	$	1,022.61	$	2.21		0.44	%
High Yield Fund
Class VI	$	1,000.00	$	1,041.90	$	2.38	$	1,000.00	$	1,022.46	$	2.36		0.47	%
Multi-Sector Fixed Income Fund
Class III	$	1,000.00	$	978.80	$	2.06	$	1,000.00	$	1,022.71	$	2.11		0.42	%
Class IV	$	1,000.00	$	978.10	$	1.81	$	1,000.00	$	1,022.96	$	1.86		0.37	%
Opportunistic Income Fund
Class III	$	1,000.00	$	1,010.60	$	2.84	$	1,000.00	$	1,021.97	$	2.86		0.57	%
Class VI	$	1,000.00	$	1,010.50	$	2.34	$	1,000.00	$	1,022.46	$	2.36		0.47	%
Class R6	$	1,000.00	$	1,010.40	$	2.84	$	1,000.00	$	1,021.97	$	2.86		0.57	%
Class I	$	1,000.00	$	1,009.80	$	3.39	$	1,000.00	$	1,021.42	$	3.41		0.68	%

125

GMO Trust Funds

Fund Expenses — (Continued)

February 28, 2023 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value September 1, 2022		Ending Account Value February 28, 2023		Expenses Paid During the Period*		Beginning Account Value September 1, 2022		Ending Account Value February 28, 2023		Expenses Paid During the Period*		Annualized Expense Ratio
U.S. Treasury Fund
Core Class	$	1,000.00	$	1,017.20	$	0.05	$	1,000.00	$	1,024.75	$	0.05		0.01	%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2023, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

126

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2023 (Unaudited)

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

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 28, 2023:

Fund Name	U.S. Government Obligation Income(1)(2)			Interest- Related Dividend Income ($)(3)		Short-Term Capital Gain Dividends ($)(3)		Long-Term Capital Gain Distributions ($)		Code Section 163(j) Interest-Related Dividend Income ($)(4)
Asset Allocation Bond Fund		100.00	%		140,605		—		—		—
Emerging Country Debt Fund		—			—		—		—		—
High Yield Fund		12.35	%		3,211,933		451,107		168,925		—
Multi-Sector Fixed Income Fund		20.30	%		1,314,494		—		—		—
Opportunistic Income Fund		5.86	%		26,718,186		4,491,689		9,982,443		—
U.S. Treasury Fund		75.80	%		8,732,859		—		—		8,732,859

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

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

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

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

In early 2024, the Funds will notify applicable shareholders of amounts for use in preparing 2023 U.S. federal income tax forms.

127

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 28, 2023. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 53 State Street, Suite 3300, Boston, MA 02109. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Ms. Santoro, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex1 Overseen	Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.	33	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Professor of Finance (Since July 1, 2011) and Peter Moores Dean and Professor of Finance (July 1, 2011 – June 30, 2022) University of Oxford, Said Business School; Baker Foundation Professor, Harvard Business School (Since July 1, 2022).	33	None.
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired	33	Trustee HIMCO Variable Insurance Trust (27 Portfolios) April 2014 – April 2019).

128

Interested Trustee and Officer
Dina Santoro2 YOB: 1973	Trustee; President of the Trust	Trustee and President of the Trust since February 2023.	Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); President, Chief Executive Officer, and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (September 2022 – December 2022); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018 –December 2022); Chief Operating Officer, Voya Investment Management (January 2022 –December 2022); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017-December 2022). Formerly, President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018-September 2022); Director, Voya Funds Services, LLC (March 2018-September 2022).	33	Voya Separate Portfolios Trust (July 2018 – December 2022).

¹ The Fund Complex includes series of each of GMO Trust.

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

Officers

Name and Year of Birth	Position(s) Held with Trust	Length of Time Served	Principal Occupation(s) During Past Five Years*
Dina Santoro YOB: 1973	Trustee; President of the Trust	Trustee and President since February 2023.	Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); President, Chief Executive Officer, and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (September 2022 – February 2023); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018 –February 2023); Chief Operating Officer, Voya Investment Management (January 2022 –February 2023); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017-February 2023); Formerly, President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018-September 2022); Director, Voya Funds Services, LLC (March 2018-September 2022).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020.	Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 to present).
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).

129

Name and Year of Birth	Position(s) Held with Trust	Length of Time Served	Principal Occupation(s) During Past Five Years*
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
John L. Nasrah YOB: 1977		Since March 2007.	Head of Tax, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 - present); Head of Fund Tax, Grantham, Mayo, Van Otterloo & Co. LLC (2018 - 2020).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present); Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

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

130

AR-022823-FI

GMO Trust

Annual Report

February 28, 2023

Alternative Allocation Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Strategic Opportunities Allocation Fund

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

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

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

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

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

TABLE OF CONTENTS

Alternative Allocation Fund
Management Discussion and Analysis of Fund Performance	3
Performance Graph	4
Investment Concentration Summary	5
Schedule of Investments	6
Benchmark-Free Allocation Fund
Management Discussion and Analysis of Fund Performance	23
Performance Graph	24
Investment Concentration Summary	25
Schedule of Investments	26
Benchmark-Free Fund
Management Discussion and Analysis of Fund Performance	27
Performance Graph	28
Investment Concentration Summary	29
Schedule of Investments	30
Global Asset Allocation Fund
Management Discussion and Analysis of Fund Performance	53
Performance Graph	54
Investment Concentration Summary	55
Schedule of Investments	56
Global Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	57
Performance Graph	58
Investment Concentration Summary	59
Schedule of Investments	60
Global Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	61
Performance Graph	62
Investment Concentration Summary	63
Schedule of Investments	64
Implementation Fund
Management Discussion and Analysis of Fund Performance	65
Performance Graph	66
Investment Concentration Summary	67
Schedule of Investments	68
International Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	97
Performance Graph	98
Investment Concentration Summary	99
Schedule of Investments	100
International Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	101
Performance Graph	102
Investment Concentration Summary	103
Schedule of Investments	104
SGM Major Markets Fund
Management Discussion and Analysis of Fund Performance	105
Performance Graph	106
Investment Concentration Summary	107
Schedule of Investments	108

Strategic Opportunities Allocation Fund
Management Discussion and Analysis of Fund Performance	111
Performance Graph	112
Investment Concentration Summary	113
Schedule of Investments	114
Portfolio, Counterparty and Currency Abbreviations	125
Fund Financial Statements:
Statements of Assets and Liabilities	126
Statements of Operations	132
Statements of Changes in Net Assets	135
Statements of Cash Flow	141
Financial Highlights	142
Notes to Financial Statements	168
Report of Independent Registered Public Accounting Firm	224
Fund Expenses	226
Tax Information	228
Trustees and Officers	229

This page has been left blank intentionally.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO Alternative Allocation Fund returned +3.25% (net) for the fiscal year ended February 28, 2023, as compared with +2.22% for the FTSE-3 Month Treasury Bill Index.

Equity Dislocation, which is long cheap Value stocks and short expensive Growth stocks, had a very strong year and, as a sizeable allocation, was the biggest contributor to total Fund returns with a 2.52% contribution. Other strategies that had a meaningful positive impact included Event-Driven, Systematic Global Macro, and the Credit strategies. Unfortunately, one of the larger exposures, Fixed Income Absolute Return, had a disappointing 12 months and detracted -1.84%. The Asset Allocation Long/Short strategy and Put Selling also modestly detracted.

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

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

3

GMO Alternative Allocation Fund

(A Series of GMO Trust)

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

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

As of February 28, 2023

	Average Annual Total Returns
	1 Year			Since Inception
Class VI		3.25	%		5/1/19	0.52	%
Class R6		3.17	%		7/31/20	1.19	%
Class I		2.98	%		9/4/19	0.06	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

For Class VI, R6 and I the gross expense ratio of 1.51%, 1.71% and 1.79%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 1.34%, 1.58% and 1.60% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

4

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		63.3	%
Short-Term Investments		33.9
Debt Obligations		32.6
Swap Contracts		3.1
Investment Funds		1.2
Preferred Stocks		0.5
Forward Currency Contracts		0.2
Rights/Warrants		0.2
Purchased Options		0.1
Futures Contracts		0.0^
Written Options		(0.6	)
Securities Sold Short		(36.4	)
Other		1.9
		100.0	%

	Debt Obligations as a %
Country/Region Summary¤	of Total Net Assets
Australia		4.1	%
Switzerland		2.7
Canada		(1.6	)
Germany		(1.8	)
Other Developed		(1.8	)‡
Sweden		(1.8	)
Euro Region		(3.2	)§
		(3.4	)%

	Equity Investments as a %
Country/Region Summary¤	of Total Net Assets
United States		15.9	%
Japan		5.1
Other Emerging		3.2	†
Taiwan		2.6
South Korea		1.0
Other Developed		0.4	‡
		28.2	%

(a) GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of GMO Alternative Allocation Fund. As such, the holdings of GMO Alternative Allocation SPC Ltd. have been included with GMO Alternative Allocation Fund.

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

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

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

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

^ Rounds to 0.0%.

5

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 60.5%
		Australia — 0.8%
	38,052	Aurizon Holdings Ltd (a)		84,557
	26,238	BlueScope Steel Ltd (a)		335,707
	32,748	Brambles Ltd (a)		282,965
	13,595	Fortescue Metals Group Ltd (a)		194,815
	47,960	GPT Group (The) (REIT) (a)		151,396
	128,580	Mirvac Group (REIT) (a)		195,773
	71,129	Scentre Group (REIT) (a)		142,063
	75,217	Stockland (REIT) (a)		193,755
		Total Australia		1,581,031
		Belgium — 0.5%
	7,337	Ageas SA/NV (a)		331,112
	730	Sofina SA (a)		181,861
	4,348	UCB SA		373,790
		Total Belgium		886,763
		Brazil — 0.2%
	9,500	Banco do Brasil SA		73,126
	15,700	Petroleo Brasileiro SA Sponsored ADR (a)		174,113
	11,200	Telefonica Brasil SA ADR (a)		83,440
		Total Brazil		330,679
		Canada — 1.8%
	3,200	Alimentation Couche-Tard Inc (a)		150,115
	135,793	Canaccord Genuity Group Inc (a)		1,147,448
	1,000	Canadian Apartment Properties (REIT) (a)		36,218
	2,700	Canadian Tire Corp Ltd – Class A (a)		336,565
	800	iA Financial Corp Inc (a)		53,705
	3,700	Magna International Inc (a)		206,218
	12,100	Manulife Financial Corp (a) (b)		239,096
	10,600	Manulife Financial Corp (a) (b)		209,592
	3,200	Onex Corp (a)		171,104
	9,800	Quebecor Inc – Class B (a)		231,839
	7,900	Teck Resources Ltd – Class B (a) (b)		315,363
	3,000	Teck Resources Ltd – Class B (a) (b)		119,760
	3,900	West Fraser Timber Co Ltd (a) (b)		292,965
	900	West Fraser Timber Co Ltd (a) (b)		67,554
		Total Canada		3,577,542
		China — 0.6%
	111,000	Bank of Communications Co Ltd – Class H		65,630
	21,500	Beijing Enterprises Holdings Ltd		70,427
	22,500	China Conch Venture Holdings Ltd		45,281
	43,500	China Overseas Land & Investment Ltd		107,988
	212,000	China Railway Group Ltd – Class H		110,492
	308,000	China Zhongwang Holdings Ltd * (c)		65,922
	146,000	CITIC Ltd		161,090
	80,000	Dongfeng Motor Group Co Ltd – Class H		40,869
	13,000	Kingboard Holdings Ltd		46,412
	8,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		14,990

Shares		Description	Value ($)
		China — continued
	239,500	Shimao Group Holdings Ltd * (c)		134,862
	6,000	Sinopharm Group Co Ltd – Class H		16,069
	374,000	Sunac China Holdings Ltd * (c)		218,223
	400	Vipshop Holdings Ltd ADR * (a)		5,956
		Total China		1,104,211
		Denmark — 0.6%
	84	AP Moller – Maersk A/S – Class A (a)		191,998
	90	AP Moller – Maersk A/S – Class B (a)		209,641
	17,918	Danske Bank A/S (a)		416,114
	4,547	Pandora A/S (a)		430,709
	72	Rockwool A/S – B Shares (a)		16,347
		Total Denmark		1,264,809
		Finland — 0.2%
	71,627	Nokia Oyj (a)		331,386
		France — 0.7%
	13,281	ArcelorMittal SA		398,555
	4,396	BNP Paribas SA (a)		307,329
	496	Cie de Saint-Gobain (a)		29,474
	2,770	Publicis Groupe SA (a)		219,902
	11,937	Societe Generale SA		344,019
		Total France		1,299,279
		Germany — 0.5%
	2,582	Bayerische Motoren Werke AG (a)		266,373
	3,106	Fresenius SE & Co KGaA (a)		85,469
	1,654	HeidelbergCement AG (a)		113,551
	5,466	Mercedes-Benz Group AG (a)		418,929
		Total Germany		884,322
		India — 0.5%
	98,843	GAIL India Ltd		122,879
	5,934	Hindalco Industries Ltd		28,643
	30,419	Hindustan Petroleum Corp Ltd		79,324
	56,680	Indian Oil Corp Ltd		52,113
	76,693	NTPC Ltd		157,722
	189,372	Oil & Natural Gas Corp Ltd		347,355
	212,038	Tata Steel Ltd		267,058
		Total India		1,055,094
		Israel — 1.1%
	36,500	Teva Pharmaceutical Industries Ltd Sponsored ADR * (a)		361,715
	38,086	Tower Semiconductor Ltd *		1,544,768
	11,100	ZIM Integrated Shipping Services Ltd		262,626
		Total Israel		2,169,109
		Italy — 0.4%
	23,538	Stellantis NV (a)		411,780

See accompanying notes to the financial statements. 6

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Italy — continued
	1,101,972	Telecom Italia SPA * (a)		359,819
		Total Italy		771,599
		Japan — 7.6%
	1,700	AGC Inc (a)		62,894
	1,700	Aisin Corp		46,586
	12,200	Amano Corp		225,617
	29,600	Asahi Kasei Corp (a)		206,164
	15,000	Credit Saison Co Ltd (a)		204,440
	16,200	Daiwabo Holdings Co Ltd		250,349
	11,900	Denka Co Ltd (a)		251,298
	18,400	EXEO Group Inc		322,859
	7,200	Ezaki Glico Co Ltd (a)		180,772
	16,000	Fuji Corp		242,321
	6,100	FUJIFILM Holdings Corp (a)		284,576
	13,000	H.U. Group Holdings Inc (a)		255,834
	17,500	Haseko Corp (a)		200,817
	15,100	Honda Motor Co Ltd (a)		392,648
	2,100	Honda Motor Co Ltd Sponsored ADR (a)		54,537
	5,200	Idemitsu Kosan Co Ltd (a)		115,084
	34,800	Inpex Corp (a)		364,857
	12,300	ITOCHU Corp (a)		367,655
	8,400	KDDI Corp (a)		245,766
	18,500	Kirin Holdings Co Ltd (a)		276,917
	22,600	K’s Holdings Corp (a)		194,725
	11,200	Kyudenko Corp		282,889
	9,300	Maruichi Steel Tube Ltd (a)		202,061
	8,600	Mitsubishi Corp (a)		292,151
	22,300	Mitsubishi Electric Corp (a)		250,590
	14,000	Mitsui OSK Lines Ltd (a)		365,681
	7,100	Morinaga & Co Ltd (a)		204,787
	7,600	MS&AD Insurance Group Holdings Inc (a)		248,703
	8,300	NEC Corp (a)		297,043
	9,700	NH Foods Ltd (a)		267,839
	6,500	Nippon Telegraph & Telephone Corp (a)		188,349
	15,200	Nippon Yusen KK (a)		395,093
	42,200	Obayashi Corp (a)		312,154
	46,000	Penta-Ocean Construction Co Ltd (a)		219,223
	3,900	Renesas Electronics Corp * (a)		50,378
	3,100	Rohm Co Ltd (a)		238,739
	8,600	Sankyu Inc (a)		316,399
	1,500	Sawai Group Holdings Co Ltd		41,531
	4,300	Secom Co Ltd (a)		250,064
	21,100	Sekisui House Ltd (a)		399,491
	33,900	Shimizu Corp (a)		182,988
	16,700	Stanley Electric Co Ltd		348,251
	8,000	Subaru Corp		128,170
	17,600	SUMCO Corp (a)		242,852
	60,300	Sumitomo Chemical Co Ltd (a)		211,291
	20,600	Sumitomo Corp (a)		351,081
	9,100	Sumitomo Mitsui Financial Group Inc (a)		397,432
	7,300	Sumitomo Mitsui Trust Holdings Inc (a)		270,465
	24,300	T&D Holdings Inc (a)		368,004

Shares		Description	Value ($)
		Japan — continued
	9,500	Taisei Corp (a)		309,730
	18,400	Takuma Co Ltd		185,273
	22,800	Teijin Ltd (a)		236,905
	12,500	THK Co Ltd (a)		279,947
	30,000	Tokai Carbon Co Ltd (a)		292,928
	7,400	Tokyo Seimitsu Co Ltd (a)		270,162
	17,700	Toppan Inc (a)		320,095
	14,600	Tosoh Corp (a)		198,694
	5,600	Toyota Industries Corp (a)		328,553
	2,100	Tsumura & Co		39,933
	6,200	Yamaha Motor Co Ltd		158,628
	5,300	Zenkoku Hosho Co Ltd (a)		201,922
		Total Japan		14,893,185
		Mexico — 0.0%
	3,300	Grupo Televisa SAB Sponsored ADR		16,368
		Netherlands — 1.1%
	72,184	Aegon NV (a)		375,590
	3,938	EXOR NV * (a)		324,942
	9,170	JDE Peet’s NV (a)		269,938
	12,074	Koninklijke Ahold Delhaize NV (a)		383,372
	22,377	Koninklijke Philips NV (a)		365,344
	8,649	NN Group NV (a)		350,082
		Total Netherlands		2,069,268
		New Zealand — 0.1%
	15,249	Auckland International Airport Ltd * (a)		82,398
	19,591	Meridian Energy Ltd (a)		64,304
		Total New Zealand		146,702
		Poland — 0.0%
	6,301	Polski Koncern Naftowy ORLEN SA		94,109
		Portugal — 0.1%
	38,712	EDP – Energias de Portugal SA		194,943
		South Africa — 0.1%
	12,999	Bidvest Group Ltd (The)		165,761
		South Korea — 0.4%
	313	E-MART Inc		26,476
	4,407	Kia Corp		250,450
	1,343	LG Corp		83,559
	766	LG Electronics Inc		64,249
	162	POSCO Holdings Inc		39,046
	3,900	POSCO Holdings Inc Sponsored ADR (a)		237,861
	4,827	SK Square Co Ltd *		139,765
		Total South Korea		841,406
		Spain — 0.5%
	60,712	Banco Bilbao Vizcaya Argentaria SA (a)		471,916

7 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Spain — continued
	125,048	Banco Santander SA (a)		492,365
		Total Spain		964,281
		Sweden — 0.4%
	30,792	Fastighets AB Balder – B Shares* (a)		152,324
	1,251	Industrivarden AB – A Shares (a)		34,387
	6,997	Industrivarden AB – C Shares (a)		191,834
	7,324	Investor AB – A Shares (a)		150,134
	11,059	Kinnevik AB – Class B* (a)		164,468
	5,073	Skanska AB – B Shares (a)		92,197
	3,739	Svenska Cellulosa AB SCA – Class B (a)		52,179
		Total Sweden		837,523
		Switzerland — 0.5%
	9,748	Adecco Group AG (Registered) (a)		347,577
	6,071	Logitech International SA (Registered) (a)		331,601
	1,316	Roche Holding AG – Genusschein (a)		379,454
		Total Switzerland		1,058,632
		Taiwan — 1.7%
	49,343	Silicon Motion Technology Corp ADR (a)		3,316,836
		Thailand — 0.2%
	28,500	Kasikornbank Pcl NVDR		110,451
	359,400	Krung Thai Bank Pcl NVDR		175,911
	7,600	Thai Oil Pcl NVDR		10,838
		Total Thailand		297,200
		Turkey — 0.3%
	140,271	Haci Omer Sabanci Holding AS		323,645
	620,190	Yapi ve Kredi Bankasi AS		328,669
		Total Turkey		652,314
		United Kingdom — 0.8%
	1,686	3i Group Plc (a)		32,985
	6,320	Berkeley Group Holdings Plc (The)		318,140
	174,016	BT Group Plc (a)		291,730
	4,965	Coca-Cola HBC AG * (a)		127,151
	10,700	Haleon Plc ADR * (a)		84,316
	77,864	Kingfisher Plc (a)		269,282
	95,202	Taylor Wimpey Plc (a)		140,826
	32,400	Vodafone Group Plc Sponsored ADR (a)		387,828
		Total United Kingdom		1,652,258
		United States — 38.8%
	1,300	3M Co. (a)		140,062
	62,605	Activision Blizzard, Inc. (a)		4,773,631
	39,425	Aerojet Rocketdyne Holdings, Inc. * (a)		2,221,204
	147,903	Albertsons Cos., Inc. – Class A (a)		2,940,312
	11,100	Ally Financial, Inc. (a)		333,555
	3,000	Arrow Electronics, Inc. * (a)		353,970
	200	Aspen Technology, Inc. * (a)		42,402

Shares		Description	Value ($)
		United States — continued
	5,000	AT&T, Inc. (a)		94,550
	2,900	Best Buy Co., Inc. (a)		241,019
	900	Biogen, Inc. * (a)		242,874
	700	Bio-Rad Laboratories, Inc. – Class A*		334,488
	33,900	Black Knight, Inc. * (a)		2,020,440
	7,600	BorgWarner, Inc.		382,128
	3,600	Capital One Financial Corp. (a)		392,688
	9,200	Carrier Global Corp. (a)		414,276
	2,900	CBRE Group, Inc. – Class A* (a)		246,906
	5,400	Centene Corp. * (a)		369,360
	8,300	Citigroup, Inc. (a)		420,727
	20,200	Cleveland-Cliffs, Inc. * (a)		430,866
	5,100	Cognizant Technology Solutions Corp. – Class A (a)		319,413
	10,200	Comcast Corp. – Class A (a)		379,134
	8,182	Coupa Software, Inc. * (a)		662,497
	2,300	Crowdstrike Holdings, Inc. – Class A* (a)		277,587
	42,928	CSX Corp. (a)		1,308,875
	3,400	CVS Health Corp. (a)		284,036
	6,700	Dell Technologies, Inc. – Class C (a)		272,288
	1,400	Discover Financial Services (a)		156,800
	24,400	DISH Network Corp. – Class A* (a)		278,404
	4,300	DR Horton, Inc. (a)		397,664
	8,100	eBay, Inc. (a)		371,790
	44,496	Evoqua Water Technologies Corp. * (a)		2,160,726
	1,500	FedEx Corp. (a)		304,830
	8,900	Fidelity National Financial, Inc. (a)		354,754
	61,863	First Horizon Corp. (a)		1,532,347
	32,700	Ford Motor Co. (a)		394,689
	5,200	Fortune Brands Innovations, Inc. (a)		322,140
	38,865	Fox Corp. – Class B (a)		1,253,396
	10,600	Franklin Resources, Inc. (a)		312,382
	600	Generac Holdings, Inc. * (a)		72,006
	11,300	General Motors Co. (a)		437,762
	60,845	Globus Medical, Inc. – Class A* (a)		3,549,697
	7,008	HEICO Corp. – Class A (a)		912,091
	26,118	Horizon Therapeutics Plc * (a)		2,859,660
	13,100	HP, Inc. (a)		386,712
	62,843	IAA, Inc. * (a)		2,570,907
	4,700	Incyte Corp. * (a)		361,806
	15,700	Intel Corp. (a)		391,401
	3,000	International Business Machines Corp. (a)		387,900
	8,500	Invesco Ltd. (a)		150,110
	2,500	Jazz Pharmaceuticals Plc *		351,000
	22,000	Kinder Morgan, Inc. (a)		375,320
	3,600	Knight-Swift Transportation Holdings, Inc. (a)		204,624
	9,200	Kraft Heinz Co. (The) (a)		358,248
	1,600	Laboratory Corp. of America Holdings (a)		382,976
	4,200	Lennar Corp. – Class A (a)		406,308
	43,138	Liberty Broadband Corp. – Class C* (a)		3,738,770
	130,155	Liberty Global Plc – Class A* (a)		2,666,876
	3,200	Liberty Global Plc – Class C*		68,000

See accompanying notes to the financial statements. 8

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		United States — continued
	7,919	Liberty Media Corp.-Liberty Formula One – Class A* (a)		481,158
	7,800	Lincoln National Corp.		247,416
	91,000	Lumen Technologies, Inc. (a)		309,400
	3,800	LyondellBasell Industries NV – Class A (a)		364,762
	1,300	Match Group, Inc. * (a)		53,846
	2,546	Meta Platforms, Inc. – Class A* (a)		445,397
	6,600	Micron Technology, Inc. (a)		381,612
	2,800	Mohawk Industries, Inc. *		287,980
	6,800	Molson Coors Brewing Co. – Class B (a)		361,692
	7,100	Mosaic Co. (The) (a)		377,649
	90,440	New York Community Bancorp, Inc.		803,107
	9,300	NRG Energy, Inc. (a)		304,947
	2,100	Nucor Corp. (a)		351,624
	10	NVR, Inc. * (a)		51,736
	6,600	Occidental Petroleum Corp. (a)		386,496
	600	Oracle Corp. (a)		52,440
	4,700	Ovintiv, Inc. (a)		201,019
	16,500	Paramount Global – Class B (a)		353,430
	5,100	PayPal Holdings, Inc. * (a)		375,360
	153,945	Pershing Square Tontine Holdings Ltd. * (c)		15,395
	79,655	PNM Resources, Inc. (a)		3,903,095
	3,900	Prudential Financial, Inc. (a)		390,000
	7,400	PulteGroup, Inc. (a)		404,558
	500	Regeneron Pharmaceuticals, Inc. * (a)		380,210
	176,256	Resolute Forest Products, Inc. *		3,863,532
	1,900	Skyworks Solutions, Inc. (a)		211,983
	24,198	Sportsman’s Warehouse Holdings, Inc. *		217,540
	1,200	SS&C Technologies Holdings, Inc. (a)		70,440
	3,500	Steel Dynamics, Inc. (a)		441,385
	10,400	Synchrony Financial (a)		371,384
	122,810	TEGNA, Inc. (a)		2,136,894
	2,900	Textron, Inc. (a)		210,337
	5,700	Tyson Foods, Inc. – Class A (a)		337,668
	79,438	Umpqua Holdings Corp.		1,402,875
	6,692	Union Pacific Corp. (a)		1,387,118
	2,300	Universal Health Services, Inc. – Class B (a)		307,211
	10,400	Verizon Communications, Inc. (a)		403,624
	1,100	Vertex Pharmaceuticals, Inc. * (a)		319,319
	31,800	Viatris, Inc. (a)		362,520
	20,077	VMware, Inc. – Class A* (a)		2,211,080
	6,600	Walgreens Boots Alliance, Inc. (a)		234,498
	3,943	Warner Bros Discovery, Inc. * (a)		61,590
	25,800	Western Union Co. (The) (a)		334,368
	7,800	Western Digital Corp. * (a)		300,144
	2,600	Westlake Corp. (a)		309,764
	2,200	Whirlpool Corp. (a)		303,556
	5,400	Zoom Video Communications, Inc. – Class A* (a)		402,786
		Total United States		75,857,329
		TOTAL COMMON STOCKS (COST $123,971,258)		118,313,939

Shares / Par Value†		Description	Value ($)
		PREFERRED STOCKS (d) —0.3%
		Brazil — 0.1%
	19,700	Petroleo Brasileiro SA Sponsored ADR (a)		192,272
		Germany — 0.2%
	2,200	Bayerische Motoren Werke AG (a)		208,375
	1,817	Volkswagen AG (a)		247,340
		Total Germany		455,715
		TOTAL PREFERRED STOCKS (COST $624,154)		647,987
		RIGHTS/WARRANTS — 0.2%
		United States — 0.2%
	195,149	Bristol-Myers Squibb Co. CVR * (c)		361,026
	13,635	Contra Abiomed, Inc. * (c)		23,861
		TOTAL RIGHTS/WARRANTS (COST $298,336)		384,887
		INVESTMENT FUNDS — 1.2%
		United States — 1.2%
	1,000,824	Altaba, Inc. (c)		2,331,920
		TOTAL INVESTMENT FUNDS (COST $1,660,089)		2,331,920
		DEBT OBLIGATIONS — 32.6%
		United States — 32.6%
		Asset-Backed Securities — 2.7%
	5,418,616	OZLM VI Ltd, Series 14-6A, Class A1S, 144A, Variable Rate, 3 mo. LIBOR + 1.08%, 5.87%, due 04/17/31		5,344,575
		U.S. Government — 18.1%
	6,025,000	U.S. Treasury Note, 0.13%, due 04/30/23 (a)		5,978,066
	5,050,000	U.S. Treasury Note, 0.13%, due 06/30/23 (a)		4,969,910
	400,000	U.S. Treasury Note, 0.13%, due 07/31/23		391,953
	3,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 10/31/23		3,499,001
	10,650,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 07/31/24 (a)		10,646,353
	10,000,000	U.S. Treasury Note, Variable Rate, SOFR + 0.20%, 5.01%, due 01/31/25		10,010,482
		Total U.S. Government		35,495,765
		U.S. Government Agency — 11.8%
	13,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 4.58%, due 03/02/23		12,999,990
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 4.62%, due 12/14/23		4,999,439

9 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government Agency — continued
	5,000,000	Federal Home Loan Banks, 5.23%, due 03/22/24		5,002,263
		Total U.S. Government Agency		23,001,692
		Total United States		63,842,032
		TOTAL DEBT OBLIGATIONS (COST $63,905,305)		63,842,032
		MUTUAL FUNDS — 2.9%
		United States — 2.9%
		Affiliated Issuers — 2.9%
	431,379	GMO Emerging Markets ex-China Fund, Class VI		5,754,599
		TOTAL MUTUAL FUNDS (COST $6,060,878)		5,754,599

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 33.9%
		Sovereign and Sovereign Agency Issuers — 7.5%
JPY	2,000,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/10/23		14,691,527
		Money Market Funds — 0.3%
	640,891	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (e)		640,891
		Repurchase Agreements — 26.1%
	51,010,102	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 02/28/23, maturing on 03/01/23 with a maturity value of $51,016,507 and an effective yield of 4.52%, collateralized by a U.S. Treasury Note with maturity date 04/30/29 and a market value of $52,051,125.		51,010,102
		TOTAL SHORT-TERM INVESTMENTS (COST $66,744,760)		66,342,520

PURCHASED OPTIONS — 0.1%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Options on Credit Default Swaps - Puts — 0.1%

CDX.NA.HY.39

BCLY

103.00

%

04/19/23

USD 4,446,000

Fixed Spread

Pay

108,436

TOTAL PURCHASED OPTIONS (COST $64,356)

108,436

TOTAL INVESTMENTS — 131.7% (Cost $263,329,136)

257,726,320

Shares		Description	Value ($)
		SECURITIES SOLD SHORT — (36.4)%
		Common Stocks — (36.2)%
		Australia — (0.7)%
	(5,304)	ASX Ltd		(242,267	)
	(1,304)	Cochlear Ltd		(194,459	)
	(7,891)	IDP Education Ltd		(151,753	)
	(216)	Macquarie Group Ltd		(27,428	)
	(116,925)	Pilbara Minerals Ltd*		(325,819	)
	(36,705)	Qantas Airways Ltd*		(157,868	)
	(3,704)	Ramsay Health Care Ltd		(167,928	)
	(610)	WiseTech Global Ltd		(25,778	)
		Total Australia		(1,293,300	)
		Austria — (0.2)%
	(3,788)	Verbund AG		(327,595	)
		Belgium — (0.2)%
	(6,382)	Anheuser-Busch InBev SA/NV		(387,123	)

Shares		Description	Value ($)
		Canada — (2.4)%
	(5,600)	Agnico Eagle Mines Ltd		(257,768	)
	(8,700)	Algonquin Power & Utilities Corp		(66,381	)
	(15,200)	AltaGas Ltd		(260,890	)
	(8,200)	Brookfield Renewable Corp – Class A		(228,370	)
	(10,800)	Enbridge Inc		(405,216	)
	(2,900)	Franco-Nevada Corp		(369,953	)
	(22,200)	Pan American Silver Corp		(329,892	)
	(10,800)	Pembina Pipeline Corp		(354,672	)
	(5,600)	Restaurant Brands International Inc		(361,144	)
	(34,306)	Ritchie Bros Auctioneers Inc		(2,098,498	)
		Total Canada		(4,732,784	)
		Denmark — (0.1)%
	(323)	Coloplast A/S – Class B		(37,321	)
	(7,832)	Tryg A/S		(173,506	)
		Total Denmark		(210,827	)
		Finland — (0.1)%
	(1,954)	Elisa Oyj		(110,964	)

See accompanying notes to the financial statements. 10

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		France — (0.8)%
	(10,681)	Accor SA*		(354,495	)
	(1,851)	Aeroports de Paris*		(268,194	)
	(52)	Euronext NV		(3,793	)
	(20,306)	Getlink SE		(341,036	)
	(242)	Hermes International		(438,052	)
	(248)	Sartorius Stedim Biotech		(80,773	)
	(1,409)	Ubisoft Entertainment SA*		(30,892	)
		Total France		(1,517,235	)
		Germany — (1.0)%
	(8,208)	Delivery Hero SE*		(329,844	)
	(1,586)	Deutsche Boerse AG		(276,557	)
	(1,385)	MTU Aero Engines AG		(334,232	)
	(2,473)	Puma SE		(157,417	)
	(257)	QIAGEN NV*		(11,830	)
	(274)	Rational AG		(181,742	)
	(3,502)	Symrise AG – Class A		(357,797	)
	(98,860)	Telefonica Deutschland Holding AG		(299,886	)
	(1,871)	Zalando SE*		(74,129	)
		Total Germany		(2,023,434	)
		Ireland — (0.0)%
	(594)	Flutter Entertainment Plc*		(94,928	)
		Israel — (0.2)%
	(2,500)	CyberArk Software Ltd*		(361,925	)
	(1,200)	Wix.com Ltd*		(108,636	)
		Total Israel		(470,561	)
		Italy — (0.7)%
	(9,432)	Amplifon SPA		(272,727	)
	(1,278)	Ferrari NV (b)		(331,572	)
	(400)	Ferrari NV (b)		(104,148	)
	(22,728)	FinecoBank Banca Fineco SPA		(392,751	)
	(26,970)	Infrastrutture Wireless Italiane SPA		(296,834	)
		Total Italy		(1,398,032	)
		Japan — (2.5)%
	(8,000)	Aeon Co Ltd		(149,215	)
	(15,700)	ANA Holdings Inc*		(318,530	)
	(11,000)	Asahi Intecc Co Ltd		(187,286	)
	(3,500)	GMO Payment Gateway Inc		(287,475	)
	(17,200)	Japan Airlines Co Ltd*		(323,875	)
	(9,600)	Japan Exchange Group Inc		(143,180	)
	(4,900)	Keio Corp		(170,727	)
	(2,700)	Keisei Electric Railway Co Ltd		(78,047	)
	(2,200)	Lasertec Corp		(357,710	)
	(11,800)	M3 Inc		(281,397	)
	(20,300)	MonotaRO Co Ltd		(276,108	)
	(1,000)	Nidec Corp		(50,749	)
	(15,600)	Nihon M&A Center Holdings Inc		(130,067	)
	(22,700)	Nippon Paint Holdings Co Ltd		(198,364	)
	(14,100)	Odakyu Electric Railway Co Ltd		(170,932	)

Shares		Description	Value ($)
		Japan — continued
	(2,700)	Oriental Land Co Ltd		(431,149	)
	(66,000)	Rakuten Group Inc		(325,326	)
	(4,600)	Shiseido Co Ltd		(211,957	)
	(32,400)	SoftBank Corp		(365,503	)
	(5,000)	Tobu Railway Co Ltd		(111,630	)
	(13,700)	Tokyu Corp		(165,044	)
	(5,300)	West Japan Railway Co		(205,709	)
		Total Japan		(4,939,980	)
		Netherlands — (0.6)%
	(269)	Adyen NV*		(381,289	)
	(1,822)	IMCD NV		(288,406	)
	(8,366)	Just Eat Takeaway.com NV*		(181,963	)
	(97)	OCI NV		(3,222	)
	(15,547)	Universal Music Group NV		(366,308	)
		Total Netherlands		(1,221,188	)
		New Zealand — (0.1)%
	(5,433)	Xero Ltd*		(282,971	)
		Norway — (0.2)%
	(12,916)	Aker BP ASA		(346,674	)
		Peru — (0.2)%
	(4,900)	Southern Copper Corp		(361,081	)
		Singapore — (0.2)%
	(55,738)	Grab Holdings Ltd – Class A*		(178,919	)
	(28,300)	Singapore Exchange Ltd		(182,771	)
		Total Singapore		(361,690	)
		Spain — (0.4)%
	(10,930)	Cellnex Telecom SA		(410,080	)
	(13,863)	Ferrovial SA		(384,779	)
		Total Spain		(794,859	)
		Sweden — (0.2)%
	(2,989)	Evolution AB		(360,673	)
		Switzerland — (0.4)%
	(6)	Chocoladefabriken Lindt & Spruengli AG		(65,734	)
	(260)	Partners Group Holding AG		(246,203	)
	(421)	Sika AG (Registered)		(118,059	)
	(2,239)	Straumann Holding AG (Registered)		(296,837	)
		Total Switzerland		(726,833	)
		United Kingdom — (1.3)%
	(2,364)	Admiral Group Plc		(62,556	)
	(36,828)	Auto Trader Group Plc		(263,397	)
	(3,047)	Halma Plc		(79,303	)
	(18,955)	Hargreaves Lansdown Plc		(188,867	)
	(49,816)	Informa Plc		(400,174	)

11 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		United Kingdom — continued
	(5,268)	InterContinental Hotels Group Plc		(355,122	)
	(4,395)	London Stock Exchange Group Plc		(392,130	)
	(3,061)	M&G Plc		(7,884	)
	(33,185)	Ocado Group Plc*		(219,287	)
	(1,284)	Prudential Plc		(19,623	)
	(283,133)	Rolls-Royce Holdings Plc*		(493,302	)
	(793)	Spirax-Sarco Engineering Plc		(111,370	)
		Total United Kingdom		(2,593,015	)
		United States — (23.7)%
	(13,800)	AES Corp. (The)		(340,584	)
	(2,000)	Alnylam Pharmaceuticals, Inc.*		(382,900	)
	(8,500)	Altria Group, Inc.		(394,655	)
	(1,000)	American Tower Corp. (REIT)		(198,010	)
	(700)	Aon Plc – Class A		(212,835	)
	(3,500)	Aramark		(128,800	)
	(4,500)	Ares Management Corp. – Class A		(362,835	)
	(2,100)	Arthur J Gallagher & Co.		(393,435	)
	(100)	Autodesk, Inc.*		(19,869	)
	(4,000)	Bills Holdings, Inc.*		(338,520	)
	(3,400)	Bio-Techne Corp.		(246,976	)
	(2,100)	Boeing Co. (The)*		(423,255	)
	(2,326)	Broadcom, Inc.		(1,382,319	)
	(1,900)	Burlington Stores, Inc.*		(407,075	)
	(7,700)	Caesars Entertainment, Inc.*		(390,852	)
	(5,500)	Ceridian HCM Holding, Inc.*		(401,115	)
	(10,309)	Charter Communications, Inc. – Class A*		(3,789,691	)
	(300)	Chipotle Mexican Grill, Inc. – Class A*		(447,324	)
	(15,747)	Clarivate Plc*		(159,517	)
	(6,700)	Cloudflare, Inc. – Class A*		(402,067	)
	(47,332)	Columbia Banking System, Inc.		(1,407,180	)
	(800)	Crown Castle, Inc. (REIT)		(104,600	)
	(9,800)	Delta Air Lines, Inc.*		(375,732	)
	(3,300)	Dexcom, Inc.*		(366,333	)
	(2,900)	Diamondback Energy, Inc.		(407,682	)
	(2,500)	Equity LifeStyle Properties, Inc. (REIT)		(171,275	)
	(100)	Erie Indemnity Co. – Class A		(23,539	)
	(2,500)	Essential Utilities, Inc.		(106,950	)
	(5,600)	Exact Sciences Corp.*		(349,048	)
	(4,400)	Fastenal Co.		(226,864	)
	(6,300)	Fortinet, Inc.*		(374,472	)
	(23,972)	Fox Corp. – Class A		(839,499	)
	(1,100)	Gartner, Inc.*		(360,591	)
	(5,649)	HEICO Corp.		(935,305	)
	(1,800)	Hess Corp.		(242,460	)
	(1,100)	HubSpot, Inc.*		(425,546	)
	(900)	IDEXX Laboratories, Inc.*		(425,916	)
	(100)	Illumina, Inc.*		(19,920	)
	(4,000)	Ingersoll Rand, Inc.		(232,280	)
	(1,300)	Insulet Corp.*		(359,268	)
	(1,900)	IQVIA Holdings, Inc.*		(396,093	)
	(3,700)	Iron Mountain, Inc. (REIT)		(195,175	)
	(2,400)	Lamb Weston Holdings, Inc.		(241,536	)

Shares		Description	Value ($)
		United States — continued
	(120,416)	Liberty Global Plc – Class C*		(2,558,840	)
	(13,379)	Liberty Media Corp.-Liberty Formula One – Class C*		(908,033	)
	(1,200)	Linde Plc		(418,044	)
	(5,000)	Live Nation Entertainment, Inc.*		(360,300	)
	(1,200)	MarketAxess Holdings, Inc.		(409,740	)
	(100)	Marriott International, Inc. – Class A		(16,924	)
	(10,099)	MaxLinear, Inc.*		(345,487	)
	(1,800)	MongoDB, Inc. – Class A*		(377,136	)
	(500)	Monolithic Power Systems, Inc.		(242,145	)
	(600)	Moody’s Corp.		(174,090	)
	(100)	Motorola Solutions, Inc.		(26,281	)
	(800)	MSCI, Inc. – Class A		(417,720	)
	(90,436)	New York Community Bancorp, Inc.		(803,072	)
	(7,100)	Newmont Corp.		(309,631	)
	(13,100)	NiSource, Inc.		(359,333	)
	(11,675)	Norfolk Southern Corp.		(2,624,773	)
	(4,134)	Novocure Ltd.*		(318,194	)
	(60,194)	NuVasive, Inc.*		(2,602,187	)
	(5,200)	Okta, Inc.*		(370,708	)
	(5,900)	ONEOK, Inc.		(386,155	)
	(29,400)	Palantir Technologies, Inc. – Class A*		(230,496	)
	(3,100)	Paychex, Inc.		(342,240	)
	(3,900)	Philip Morris International, Inc.		(379,470	)
	(400)	PTC, Inc.*		(50,132	)
	(100)	Public Storage (REIT)		(29,895	)
	(10,600)	ROBLOX Corp. – Class A*		(388,384	)
	(4,700)	Roku, Inc.*		(304,043	)
	(9,800)	Rollins, Inc.		(344,960	)
	(6,200)	Royal Caribbean Cruises Ltd.*		(437,968	)
	(2,200)	Seagen, Inc.*		(395,318	)
	(900)	ServiceNow, Inc.*		(388,953	)
	(1,400)	Sherwin-Williams Co. (The)		(309,890	)
	(75,999)	Signify Health, Inc. – Class A*		(2,188,011	)
	(1,600)	Simon Property Group, Inc. (REIT)		(195,344	)
	(1,700)	Snowflake, Inc. – Class A*		(262,446	)
	(3,700)	Starbucks Corp.		(377,733	)
	(1,300)	Sysco Corp.		(96,941	)
	(2,314)	Tesla, Inc.*		(476,013	)
	(9,800)	Toast, Inc. – Class A*		(185,416	)
	(5,800)	Trade Desk, Inc. (The) – Class A*		(324,568	)
	(500)	TransDigm Group, Inc.		(371,935	)
	(5,800)	Twilio, Inc. – Class A*		(389,818	)
	(12,962)	Uber Technologies, Inc.*		(431,116	)
	(4,200)	UDR, Inc. (REIT)		(179,928	)
	(1,300)	Vail Resorts, Inc.		(303,537	)
	(300)	Vulcan Materials Co.		(54,273	)
	(12,000)	Williams Cos., Inc. (The)		(361,200	)
	(4,900)	Wolfspeed, Inc.*		(362,502	)
	(21,360)	Xylem, Inc.		(2,192,604	)
	(2,888)	Zillow Group, Inc. – Class C*		(121,296	)

See accompanying notes to the financial statements. 12

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		United States — continued
	(3,100)	Zscaler, Inc.*		(406,565	)
		Total United States		(46,321,686	)
		TOTAL COMMON STOCKS (PROCEEDS $75,349,695)		(70,877,433	)
		PREFERRED STOCKS (d) — (0.2)%
		Germany — (0.2)%
	(761)	Sartorius AG		(323,248	)
		TOTAL PREFERRED STOCKS (PROCEEDS $351,736)		(323,248	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $75,701,431)		(71,200,681	)
		Other Assets and Liabilities (net) — 4.7%		9,146,371
		TOTAL NET ASSETS — 100.0%	$	195,672,010

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
05/09/2023	BOA		AUD	620,000		USD	418,429		241
03/24/2023	BCLY		AUD	58,463		USD	40,378		1,007
05/09/2023	BCLY		AUD	2,000,000		USD	1,382,616		33,621
03/24/2023	DB		AUD	1,092,009		USD	756,036		20,630
03/24/2023	MSCI		AUD	2,012,799		USD	1,425,978		70,472
05/09/2023	MSCI		AUD	460,000		USD	318,744		8,475
03/24/2023	SSB		AUD	831,466		USD	581,447		21,501
05/03/2023	GS		BRL	250,000		USD	47,914		680
05/03/2023	JPM		BRL	350,000		USD	66,423		296
05/08/2023	BOA		CAD	3,745,085		USD	2,789,762		43,032
04/03/2023	BCLY		CAD	580,000		USD	433,127		7,942
04/03/2023	GS		CAD	700,000		USD	518,913		5,759
05/08/2023	MSCI		CAD	481,259		USD	355,974		3,007
04/03/2023	SSB		CAD	470,000		USD	350,116		5,570
05/16/2023	BCLY		CHF	4,577,275		USD	5,037,196		138,322
03/31/2023	JPM		CHF	6,541,545		USD	7,139,476		171,874
04/11/2023	MSCI		COP	920,000,000		USD	191,177		3,351
04/17/2023	BOA		EUR	1,927,800		USD	2,094,601		50,031
04/17/2023	SSB		EUR	104,000		USD	110,507		208
03/21/2023	SSB		GBP	1,070,000		USD	1,288,728		1,242
05/16/2023	MSCI		HUF	30,000,000		USD	82,490		569
05/08/2023	GS		IDR	1,800,000,000		USD	119,079		1,201
03/31/2023	DB		ILS	1,317,605		USD	371,334		10,362
05/31/2023	MSCI		ILS	300,000		USD	83,101		691
04/13/2023	BCLY		JPY	56,610,620		USD	427,893		9,648
04/13/2023	GS		JPY	48,074,805		USD	358,721		3,540
04/13/2023	MSCI		JPY	240,086,965		USD	1,830,586		56,802

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
04/10/2023	SSB		JPY	2,000,000,000		USD	15,264,548		494,689
04/13/2023	SSB		JPY	78,470,078		USD	602,185		22,441
05/08/2023	CITI		KRW	120,000,000		USD	91,224		118
05/08/2023	GS		KRW	140,000,000		USD	106,805		515
03/27/2023	MSCI		NZD	828,856		USD	530,645		18,148
05/31/2023	MSCI		NZD	1,560,000		USD	968,986		4,467
05/31/2023	SSB		NZD	810,000		USD	504,893		4,086
04/28/2023	CITI		PHP	13,500,000		USD	245,932		2,976
05/22/2023	GS		PLN	900,000		USD	201,548		331
04/27/2023	BCLY		RON	2,491,896		USD	537,372		3,489
05/22/2023	MSCI		SGD	755,848		USD	566,662		4,884
05/22/2023	BCLY		THB	13,552,251		USD	395,917		9,381
03/08/2023	MSCI		TWD	21,043,349		USD	704,989		19,137
05/03/2023	GS		USD	94,091		BRL	500,000		377
04/10/2023	JPM		USD	120,012		CLP	100,000,000		197
04/10/2023	MSCI		USD	262,480		CLP	224,096,500		6,904
04/11/2023	JPM		USD	533,850		COP	2,655,101,500		8,214
05/22/2023	BCLY		USD	156,894		INR	13,073,064		407
04/20/2023	MSCI		USD	719,171		MXN	13,618,725		18,277
05/10/2023	MSCI		USD	61,805		PEN	240,000		1,134
05/31/2023	MSCI		ZAR	1,000,000		USD	54,669		623
05/08/2023	BOA		CAD	393,274		USD	288,405		(31	)
04/11/2023	MSCI		COP	1,080,000,000		USD	217,934		(2,558	)
04/17/2023	MSCI		CZK	13,570,976		USD	609,039		(250	)
05/10/2023	MSCI		PEN	240,000		USD	62,192		(747	)
05/22/2023	MSCI		PLN	250,000		USD	55,531		(363	)
05/08/2023	BCLY		SEK	10,444,479		USD	991,982		(9,319	)

13 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
03/24/2023	BCLY		USD	141,146		AUD	204,095		(3,700	)
05/03/2023	CITI		USD	67,649		BRL	350,000		(1,521	)
05/03/2023	GS		USD	77,796		BRL	400,000		(2,222	)
05/03/2023	SSB		USD	402,195		BRL	2,089,119		(7,485	)
05/08/2023	BOA		USD	1,104,044		CAD	1,482,257		(16,923	)
04/03/2023	BCLY		USD	3,369,560		CAD	4,522,285		(54,377	)
03/17/2023	DB		USD	2,101,795		CAD	2,806,254		(44,927	)
03/17/2023	GS		USD	299,618		CAD	400,362		(6,169	)
05/08/2023	MSCI		USD	1,179,552		CAD	1,572,903		(25,949	)
03/31/2023	BCLY		USD	8,326		CHF	7,574		(259	)
03/31/2023	DB		USD	172,181		CHF	157,843		(4,058	)
03/31/2023	GS		USD	218,338		CHF	200,419		(4,866	)
03/31/2023	MSCI		USD	168,979		CHF	154,489		(4,428	)
04/10/2023	MSCI		USD	304,534		CLP	250,000,000		(4,011	)
04/17/2023	CITI		USD	199,453		CZK	4,400,000		(1,909	)
04/17/2023	GS		USD	81,244		CZK	1,800,000		(430	)
04/17/2023	MSCI		USD	71,878		CZK	1,600,000		(44	)
03/31/2023	BCLY		USD	689,622		EUR	639,784		(11,747	)
03/31/2023	DB		USD	152,244		EUR	142,577		(1,178	)
03/31/2023	GS		USD	1,238,775		EUR	1,156,967		(12,925	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
03/31/2023	JPM		USD	4,735,354		EUR	4,421,079		(51,057	)
03/31/2023	MSCI		USD	8,980,006		EUR	8,227,227		(262,954	)
04/17/2023	MSCI		USD	79,505		EUR	74,000		(1,023	)
03/24/2023	BCLY		USD	355,308		GBP	291,383		(4,680	)
03/24/2023	MSCI		USD	212,354		GBP	176,038		(524	)
03/24/2023	SSB		USD	834,104		GBP	675,341		(21,449	)
05/16/2023	JPM		USD	519,661		HUF	189,520,539		(2,143	)
05/08/2023	JPM		USD	147,886		IDR	2,214,143,000		(2,886	)
03/17/2023	MSCI		USD	4,354,355		JPY	579,915,155		(86,307	)
05/08/2023	BCLY		USD	7,212		KRW	8,830,175		(508	)
05/08/2023	GS		USD	56,826		KRW	70,000,000		(3,681	)
04/17/2023	BOA		USD	334,906		NOK	3,300,000		(16,381	)
04/17/2023	MSCI		USD	3,203,964		NOK	31,827,768		(131,860	)
05/31/2023	SSB		USD	279,519		NZD	450,000		(1,292	)
04/28/2023	JPM		USD	127,143		PHP	7,000,000		(1,166	)
05/08/2023	BCLY		USD	635,223		SEK	6,600,000		(2,488	)
05/22/2023	BCLY		USD	105,009		THB	3,600,000		(2,330	)
05/31/2023	MSCI		USD	230,305		ZAR	4,200,000		(3,314	)
								$	472,430

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
34	CAC40 10 Euro		March 2023		2,609,369		4,747
26	Corn(f)		May 2023		819,325		(57,571	)
7	DAX Index		March 2023		2,845,999		129,114
89	FTSE 100 Index		March 2023		8,404,223		243,154
335	Mini MSCI Emerging Markets		March 2023		16,128,575		(345,517	)
123	MSCI Singapore		March 2023		2,678,959		(53,650	)
22	Soybean(f)		May 2023		1,626,900		(42,645	)
9	SPI 200 Futures		March 2023		1,086,518		(41,272	)
6	U.S. Long Bond (CBT)		June 2023		751,312		(383	)
5	U.S. Treasury Note 5 Yr. (CBT)		June 2023		535,273		(39	)
5	U.S. Ultra Bond (CBT)		June 2023		675,313		(2,089	)
				$	38,161,766	$	(166,151	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
12	Australian Government Bond 10 Yr.	March 2023		950,083		22,418
46	Canadian Government Bond 10 Yr.	June 2023		4,095,332		(10,888	)
5	E-mini Russell 2000 Index	March 2023		474,775		(5,082	)
19	Euro Bund	March 2023		2,670,998		112,654
8	Euro Bund	June 2023		1,116,508		(2,660	)
11	FTSE Taiwan Index	March 2023		589,857		9,389
3	Gold 100 OZ(f)	April 2023		551,010		28,933
3	Hang Seng Index	March 2023		377,677		11,993
94	S&P 500 E-Mini	March 2023		18,684,850		(10,297	)
12	S&P/TSX 60	March 2023		2,139,861		(1,461	)
23	Silver(f)	May 2023		2,423,165		136,601
34	TOPIX Index	March 2023		4,974,485		(100,395	)
86	U.S. Treasury Note 10 Yr. (CBT)	June 2023		9,602,438		7,954
4	UK Gilt Long Bond	June 2023		480,947		3,702
1	WTI Crude(f)	March 2023		77,050		(2,893	)
			$	49,209,036	$	199,968

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 14

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Written Options

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
Black Knight, Inc.		60.00		04/21/23		(339	)		USD	(2,020,440	)		(237,300	)
Albertsons Cos., Inc.(g)		21.00		07/21/23		(1,272	)		USD	(2,528,736	)		(69,960	)
Globus Medical, Inc.		62.50		09/15/23		(142	)		USD	(828,428	)		(88,040	)
Globus Medical, Inc.		60.00		09/15/23		(15	)		USD	(87,510	)		(7,845	)
Activision Blizzard, Inc.		77.50		01/19/24		(222	)		USD	(1,692,750	)		(187,590	)
Activision Blizzard, Inc.		80.00		01/19/24		(104	)		USD	(793,000	)		(76,440	)
VMware, Inc.		120.00		01/19/24		(68	)		USD	(748,884	)		(61,200	)
						Total Equity Options –Calls							(728,375	)
Index Options – Puts
S&P 500 Index		4,135.00		03/03/23		(8	)		USD	(3,176,120	)		(139,360	)
S&P 500 Index		4,090.00		03/10/23		(9	)		USD	(3,573,135	)		(119,970	)
S&P 500 Index		4,080.00		03/17/23		(9	)		USD	(3,573,135	)		(120,150	)
S&P 500 Index		3,970.00		03/24/23		(9	)		USD	(3,573,135	)		(72,459	)
						Total Index Options –Puts							(451,939	)

Description	Counterparty		Exercise Rate			Expiration Date		Principal/ Notional Amount				Floating Rate Index		Pay/Receive Floating Rate		Value ($)
Written Options on Credit Default Swaps - Puts
CDX.NA.IGS.39		MSCI		85.00	%		04/19/23		USD	(12,890,000	)		Fixed Spread		Pay		(19,931	)
CDX.NA.HY.39		BCLY		99.50	%		04/19/23		USD	(6,669,000	)		Fixed Spread		Pay		(51,487	)
CDX.NA.IG.39		BCLY		95.00	%		05/17/23		USD	(13,340,000	)		Fixed Spread		Pay		(19,744	)
							Total Written Options On Credit Default Swaps —Puts										(91,162	)
										TOTAL WRITTEN OPTIONS
										(Premiums $1,226,737)						$	(1,271,476	)

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.HY.S37.V2	USD	4,405,500		5.00	%		3.95	%		N/A		12/20/2026		Quarterly		(244,505	)		(147,342	)		97,163
ITRAXX.XO.36.V1	EUR	6,675,000		5.00	%		3.56	%		N/A		12/20/2026		Quarterly		(237,664	)		(328,551	)		(90,887	)
CDX.NA.IG.S39	USD	26,230,000		1.00	%		0.76	%		N/A		12/20/2027		Quarterly		(104,595	)		(263,297	)		(158,702	)
ITRAXX.XO.38.V1	EUR	4,455,000		5.00	%		4.13	%		N/A		12/20/2027		Quarterly		(91,065	)		(158,294	)		(67,229	)
															$	(677,829	)	$	(897,484	)	$	(219,655	)

15 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

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		CITI		USD	1,631,000		5.00	%		0.89	%	N/A		12/20/2023		Quarterly		(6,361	)		(53,291	)		(46,930	)
CDX.NA.HYS.31		CITI		USD	1,780,000		5.00	%		0.89	%	N/A		12/20/2023		Quarterly		18,334			(58,160	)		(76,494	)
ITRAXX.EUR.38 12		JPM		EUR	33,337,000		1.00	%		0.34	%	N/A		12/20/2027		Quarterly		(1,079,889	)		(1,022,396	)		57,493
CMBX.NA.BBB-.9		MLCS		USD	2,640,000		3.00	%		11.84	%	N/A		09/17/2058		Monthly		212,244			490,875			278,631
CMBX.NA.BBB-.10		GS		USD	1,886,000		3.00	%		10.36	%	N/A		11/17/2059		Monthly		351,268			387,757			36,489
CMBX.NA.BBB-.13		GS		USD	576,500		3.00	%		8.17	%	N/A		12/16/2072		Monthly		35,496			134,144			98,648
Sell Protection^:
CDX.NA.HYS.31.V14-5Y		CITI		USD	1,187,000		5.00	%		0.28	%	1,187,000 USD		12/20/2023		Quarterly		121,668			44,579			(77,089	)
CDX.NA.HYS.31.V14-5Y		CITI		USD	1,928,000		5.00	%		0.28	%	1,928,000 USD		12/20/2023		Quarterly		203,886			72,407			(131,479	)
CDX.NA.HYS.31.V14-5Y		CITI		USD	3,560,000		5.00	%		0.28	%	3,560,000 USD		12/20/2023		Quarterly		238,520			133,698			(104,822	)
CDX.NA.HYS.33.V12-5Y		CITI		USD	4,388,727		5.00	%		0.22	%	4,388,727 USD		12/20/2024		Quarterly		756,836			360,185			(396,651	)
CDX.NA.HYS.37		GS		USD	11,125,000		5.00	%		0.47	%	11,125,000 USD		12/20/2026		Quarterly		2,081,364			1,698,470			(382,894	)
ITRAXX.XO.36 35		MSCI		EUR	13,350,000		5.00	%		0.56	%	13,350,000 EUR		12/20/2026		Quarterly		2,319,299			2,119,107			(200,192	)
CDX.NA.IG.39 15		MSCI		USD	33,337,000		1.00	%		0.25	%	33,337,000 USD		12/20/2027		Quarterly		1,131,717			1,079,760			(51,957	)
ITRAXX.XO.38 35		JPM		EUR	8,019,000		5.00	%		0.98	%	8,019,000 EUR		12/20/2027		Quarterly		1,357,928			1,386,229			28,301
CMBX.NA.A.9		CGMI		USD	1,112,500		2.00	%		4.51	%	1,112,500 USD		09/17/2058		Monthly		(33,096	)		(64,429	)		(31,333	)
CMBX.NA.A.9		CGMI		USD	1,780,000		2.00	%		4.51	%	1,780,000 USD		09/17/2058		Monthly		(44,602	)		(103,087	)		(58,485	)
CMBX.NA.A.9		MLCS		USD	4,750,000		2.00	%		4.51	%	4,750,000 USD		09/17/2058		Monthly		9,294			(275,091	)		(284,385	)
CMBX.NA.AAA.10		GS		USD	4,610,000		0.50	%		0.63	%	4,610,000 USD		11/17/2059		Monthly		42,163			(19,595	)		(61,758	)
CMBX.NA.15.AAA		GS		USD	1,730,000		0.50	%		0.91	%	1,730,000 USD		11/18/2064		Monthly		(26,617	)		(47,931	)		(21,314	)
																	$	7,689,452		$	6,263,231		$	(1,426,221	)

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

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

⁽¹⁾  As of February 28, 2023, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
3.56%	3 Month AUD BBSW		AUD	2,500,000	03/15/2025		Quarterly		—		20,170		20,170
3.66%	3 Month AUD BBSW		AUD	3,500,000	03/15/2025		Quarterly		—		23,798		23,798
3.70%	3 Month AUD BBSW		AUD	12,818,000	03/15/2025		Quarterly		2,446		80,470		78,024

See accompanying notes to the financial statements. 16

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month AUD BBSW	3.63%		AUD	3,000,000	03/15/2025		Quarterly		—			(21,693	)		(21,693	)
3 Month AUD BBSW	3.73%		AUD	2,500,000	03/15/2025		Quarterly		—			(14,697	)		(14,697	)
3 Month AUD BBSW	3.85%		AUD	4,500,000	03/15/2025		Quarterly		—			(19,789	)		(19,789	)
3 Month AUD BBSW	3.92%		AUD	3,500,000	03/15/2025		Quarterly		—			(12,146	)		(12,146	)
3.99%	3 Month CAD CDOR		CAD	11,066,000	03/15/2025		Semi-Annually		5,172			106,922			101,750
3.83%	3 Month CAD CDOR		CAD	4,500,000	03/15/2025		Semi-Annually		—			53,665			53,665
3 Month CAD CDOR	4.00%		CAD	2,500,000	03/15/2025		Semi-Annually		—			(23,801	)		(23,801	)
3 Month CAD CDOR	4.75%		CAD	1,500,000	03/15/2025		Semi-Annually		—			1,371			1,371
CHF - SARON - OIS - COMPOUND	1.36%		CHF	2,000,000	03/15/2025		Annually		—			(19,385	)		(19,385	)
CHF - SARON - OIS - COMPOUND	1.57%		CHF	1,500,000	03/15/2025		Annually		—			(7,930	)		(7,930	)
1.18%	CHF - SARON - OIS - COMPOUND		CHF	6,891,000	03/15/2025		Annually		783			91,947			91,164
EUR - EuroSTR - COMPOUND	2.93%		EUR	1,500,000	03/15/2025		Annually		—			(19,755	)		(19,755	)
EUR - EuroSTR - COMPOUND	2.97%		EUR	4,500,000	03/15/2025		Annually		—			(56,284	)		(56,284	)
3.19%	EUR -EuroSTR - COMPOUND		EUR	2,000,000	03/15/2025		Annually		—			15,819			15,819
GBP - SONIA - COMPOUND	4.27%		GBP	4,689,000	03/15/2025		Annually		(2,325	)		(32,660	)		(30,335	)
4.45%	GBP - SONIA - COMPOUND		GBP	2,000,000	03/15/2025		Annually		—			6,141			6,141
4.17%	GBP - SONIA - COMPOUND		GBP	2,500,000	03/15/2025		Annually		—			23,228			23,228
4.05%	GBP - SONIA - COMPOUND		GBP	2,000,000	03/15/2025		Annually		—			24,059			24,059
4.87%	3 Month NZD Bank Bill Rate		NZD	2,500,000	03/15/2025		Quarterly		2,008			14,649			12,641
3.20%	3 Month SEK STIBOR		SEK	20,000,000	03/15/2025		Quarterly		—			24,992			24,992
2.97%	3 Month SEK STIBOR		SEK	30,000,000	03/15/2025		Quarterly		—			49,775			49,775
3 Month SEK STIBOR	3.10%		SEK	140,956,000	03/15/2025		Quarterly		1,446			(199,896	)		(201,342	)
3 Month SEK STIBOR	3.13%		SEK	15,000,000	03/15/2025		Quarterly		—			(20,497	)		(20,497	)
USD - SOFR - COMPOUND	4.19%		USD	2,000,000	03/15/2025		Annually		—			(26,196	)		(26,196	)
USD - SOFR - COMPOUND	4.54%		USD	2,500,000	03/15/2025		Annually		—			(16,408	)		(16,408	)
4.14%	USD - SOFR - COMPOUND		USD	4,298,000	03/15/2025		Annually		3,167			60,826			57,659
4.24%	3 Month AUD BBSW		AUD	4,000,000	06/21/2025		Quarterly		—			(1,040	)		(1,040	)
EUR - EuroSTR - COMPOUND	3.61%		EUR	1,000,000	06/21/2025		Annually		—			498			498
6 Month AUD BBSW	3.99%		AUD	2,939,000	03/15/2033		Semi-Annually		(933	)		(76,978	)		(76,045	)
6 Month AUD BBSW	4.03%		AUD	1,000,000	03/15/2033		Semi-Annually		—			(24,055	)		(24,055	)
6 Month AUD BBSW	4.03%		AUD	900,000	03/15/2033		Semi-Annually		—			(21,698	)		(21,698	)
6 Month AUD BBSW	4.04%		AUD	2,200,000	03/15/2033		Semi-Annually		—			(51,551	)		(51,551	)
6 Month AUD BBSW	4.07%		AUD	600,000	03/15/2033		Semi-Annually		—			(13,378	)		(13,378	)
6 Month AUD BBSW	4.19%		AUD	700,000	03/15/2033		Semi-Annually		—			(10,778	)		(10,778	)
6 Month AUD BBSW	4.24%		AUD	1,200,000	03/15/2033		Semi-Annually		—			(15,587	)		(15,587	)
6 Month AUD BBSW	4.45%		AUD	10,602,000	03/15/2033		Semi-Annually		(3,588	)		(18,325	)		(14,737	)
4.22%	6 Month AUD BBSW		AUD	1,000,000	03/15/2033		Semi-Annually		—			13,665			13,665
4.35%	6 Month AUD BBSW		AUD	1,300,000	03/15/2033		Semi-Annually		—			8,796			8,796
4.32%	6 Month AUD BBSW		AUD	800,000	03/15/2033		Semi-Annually		—			6,777			6,777
4.17%	6 Month AUD BBSW		AUD	600,000	03/15/2033		Semi-Annually		—			9,887			9,887
4.05%	6 Month AUD BBSW		AUD	700,000	03/15/2033		Semi-Annually		—			16,251			16,251
3.24%	3 Month CAD CDOR		CAD	964,000	03/15/2033		Semi-Annually		(1,915	)		30,454			32,369
3.17%	3 Month CAD CDOR		CAD	1,500,000	03/15/2033		Semi-Annually		—			53,560			53,560
3.23%	3 Month CAD CDOR		CAD	500,000	03/15/2033		Semi-Annually		—			16,167			16,167
3.42%	3 Month CAD CDOR		CAD	800,000	03/15/2033		Semi-Annually		—			16,275			16,275
3.62%	3 Month CAD CDOR		CAD	600,000	03/15/2033		Semi-Annually		—			5,013			5,013
3.82%	3 Month CAD CDOR		CAD	300,000	03/15/2033		Semi-Annually		—			(1,256	)		(1,256	)
3 Month CAD CDOR	3.18%		CAD	2,454,000	03/15/2033		Semi-Annually		(4,915	)		(87,143	)		(82,228	)

17 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month CAD CDOR	3.28%		CAD	1,000,000	03/15/2033		Semi-Annually		—			(29,175	)		(29,175	)
3 Month CAD CDOR	3.30%		CAD	1,000,000	03/15/2033		Semi-Annually		—			(27,612	)		(27,612	)
3 Month CAD CDOR	3.32%		CAD	1,400,000	03/15/2033		Semi-Annually		—			(37,111	)		(37,111	)
3 Month CAD CDOR	3.44%		CAD	700,000	03/15/2033		Semi-Annually		—			(13,490	)		(13,490	)
3 Month CAD CDOR	3.45%		CAD	600,000	03/15/2033		Semi-Annually		—			(11,029	)		(11,029	)
3 Month CAD CDOR	3.56%		CAD	800,000	03/15/2033		Semi-Annually		—			(9,775	)		(9,775	)
CHF - SARON - OIS - COMPOUND	1.50%		CHF	1,472,000	03/15/2033		Annually		(1,051	)		(64,289	)		(63,238	)
CHF - SARON - OIS - COMPOUND	1.55%		CHF	600,000	03/15/2033		Annually		—			(23,342	)		(23,342	)
CHF - SARON - OIS - COMPOUND	1.60%		CHF	5,988,000	03/15/2033		Annually		—			(204,452	)		(204,452	)
CHF - SARON - OIS - COMPOUND	1.73%		CHF	800,000	03/15/2033		Annually		—			(17,561	)		(17,561	)
1.99%	CHF - SARON - OIS - COMPOUND		CHF	700,000	03/15/2033		Annually		—			(2,418	)		(2,418	)
1.58%	CHF - SARON - OIS - COMPOUND		CHF	400,000	03/15/2033		Annually		—			14,571			14,571
1.91%	CHF - SARON - OIS - COMPOUND		CHF	900,000	03/15/2033		Annually		—			3,361			3,361
1.81%	CHF - SARON - OIS - COMPOUND		CHF	400,000	03/15/2033		Annually		—			5,574			5,574
1.97%	CHF - SARON - OIS - COMPOUND		CHF	800,000	03/15/2033		Annually		—			(1,365	)		(1,365	)
EUR - EuroSTR - COMPOUND	2.68%		EUR	500,000	03/15/2033		Annually		—			(14,488	)		(14,488	)
2.59%	EUR - EuroSTR - COMPOUND		EUR	1,700,000	03/15/2033		Annually		—			63,235			63,235
2.59%	EUR - EuroSTR - COMPOUND		EUR	1,000,000	03/15/2033		Annually		—			37,334			37,334
2.45%	EUR - EuroSTR - COMPOUND		EUR	400,000	03/15/2033		Annually		—			20,184			20,184
2.69%	EUR - EuroSTR - COMPOUND		EUR	600,000	03/15/2033		Annually		—			16,868			16,868
2.88%	EUR - EuroSTR - COMPOUND		EUR	1,300,000	03/15/2033		Annually		—			14,111			14,111
2.82%	EUR - EuroSTR - COMPOUND		EUR	600,000	03/15/2033		Annually		—			10,001			10,001
2.87%	EUR -EuroSTR - COMPOUND		EUR	1,000,000	03/15/2033		Annually		—			12,263			12,263
2.90%	EUR - EuroSTR - COMPOUND		EUR	800,000	03/15/2033		Annually		—			7,812			7,812
GBP - SONIA - COMPOUND	3.34%		GBP	1,000,000	03/15/2033		Annually		—			(39,775	)		(39,775	)
GBP - SONIA - COMPOUND	3.39%		GBP	400,000	03/15/2033		Annually		—			(14,051	)		(14,051	)
GBP - SONIA - COMPOUND	3.41%		GBP	600,000	03/15/2033		Annually		—			(19,756	)		(19,756	)
GBP - SONIA - COMPOUND	3.44%		GBP	600,000	03/15/2033		Annually		—			(17,878	)		(17,878	)
GBP - SONIA - COMPOUND	3.48%		GBP	1,300,000	03/15/2033		Annually		—			(33,393	)		(33,393	)
GBP - SONIA - COMPOUND	3.56%		GBP	400,000	03/15/2033		Annually		—			(7,144	)		(7,144	)
3.22%	GBP - SONIA - COMPOUND		GBP	1,047,000	03/15/2033		Annually		2,529			53,405			50,876
3.77%	GBP - SONIA - COMPOUND		GBP	500,000	03/15/2033		Annually		—			(1,221	)		(1,221	)
3.36%	GBP - SONIA - COMPOUND		GBP	900,000	03/15/2033		Annually		—			33,729			33,729
3.16%	GBP - SONIA - COMPOUND		GBP	500,000	03/15/2033		Annually		—			28,400			28,400
3.48%	GBP - SONIA - COMPOUND		GBP	600,000	03/15/2033		Annually		—			15,794			15,794
3.54%	GBP - SONIA - COMPOUND		GBP	500,000	03/15/2033		Annually		—			9,982			9,982
4.22%	3 Month NZD Bank Bill Rate		NZD	1,700,000	03/15/2033		Quarterly		2,796			39,995			37,199
4.27%	3 Month NZD Bank Bill Rate		NZD	870,000	03/15/2033		Quarterly		—			18,127			18,127
4.14%	3 Month NZD Bank Bill Rate		NZD	1,400,000	03/15/2033		Quarterly		—			38,450			38,450
4.47%	3 Month NZD Bank Bill Rate		NZD	1,300,000	03/15/2033		Quarterly		—			14,160			14,160
3 Month NZD Bank Bill Rate	4.22%		NZD	500,000	03/15/2033		Quarterly		(315	)		(11,645	)		(11,330	)
3 Month NZD Bank Bill Rate	4.26%		NZD	1,000,000	03/15/2033		Quarterly		(206	)		(21,165	)		(20,959	)
3 Month NZD Bank Bill Rate	4.59%		NZD	1,900,000	03/15/2033		Quarterly		—			(9,966	)		(9,966	)

See accompanying notes to the financial statements. 18

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month SEK STIBOR	2.47%		SEK	7,000,000		03/15/2033		Quarterly		—			(45,706	)		(45,706	)
3 Month SEK STIBOR	2.54%		SEK	9,000,000		03/15/2033		Quarterly		—			(53,784	)		(53,784	)
3 Month SEK STIBOR	2.59%		SEK	6,000,000		03/15/2033		Quarterly		—			(33,521	)		(33,521	)
3 Month SEK STIBOR	2.63%		SEK	4,000,000		03/15/2033		Quarterly		—			(21,080	)		(21,080	)
3 Month SEK STIBOR	2.81%		SEK	9,000,000		03/15/2033		Quarterly		—			(34,218	)		(34,218	)
2.51%	3 Month SEK STIBOR		SEK	30,822,000		03/15/2033		Quarterly		1,923			190,767			188,844
2.62%	3 Month SEK STIBOR		SEK	4,000,000		03/15/2033		Quarterly		—			21,305			21,305
3.00%	3 Month SEK STIBOR		SEK	80,731,000		03/15/2033		Quarterly		(621	)		184,541			185,162
3 Month SEK STIBOR	3.22%		SEK	7,000,000		03/15/2033		Quarterly		—			(3,788	)		(3,788	)
3 Month SEK STIBOR	3.28%		SEK	11,000,000		03/15/2033		Quarterly		—			(40	)		(40	)
USD - SOFR - COMPOUND	3.05%		USD	1,050,000		03/15/2033		Annually		—			(51,079	)		(51,079	)
USD - SOFR - COMPOUND	3.07%		USD	1,700,000		03/15/2033		Annually		—			(79,756	)		(79,756	)
USD - SOFR - COMPOUND	3.13%		USD	962,000		03/15/2033		Annually		(4,376	)		(40,705	)		(36,329	)
USD - SOFR - COMPOUND	3.16%		USD	1,100,000		03/15/2033		Annually		—			(43,805	)		(43,805	)
USD - SOFR - COMPOUND	3.19%		USD	700,000		03/15/2033		Annually		—			(25,971	)		(25,971	)
3.16%	USD - SOFR - COMPOUND		USD	1,131,000		03/15/2033		Annually		2,078			44,834			42,756
3.23%	USD - SOFR - COMPOUND		USD	600,000		03/15/2033		Annually		—			20,331			20,331
3.29%	USD - SOFR - COMPOUND		USD	900,000		03/15/2033		Annually		—			26,414			26,414
3.33%	USD - SOFR - COMPOUND		USD	600,000		03/15/2033		Annually		—			15,581			15,581
3.47%	USD - SOFR - COMPOUND		USD	500,000		03/15/2033		Annually		—			7,190			7,190
3.30%	USD - SOFR - COMPOUND		USD	1,100,000		03/15/2033		Annually		—			30,697			30,697
3.22%	USD - SOFR - COMPOUND		USD	1,100,000		03/15/2033		Annually		—			38,135			38,135
3.22%	USD - SOFR - COMPOUND		USD	400,000		03/15/2033		Annually		—			13,900			13,900
3.40%	USD - SOFR - COMPOUND		USD	700,000		03/15/2033		Annually		—			14,252			14,252
3.44%	USD - SOFR - COMPOUND		USD	600,000		03/15/2033		Annually		—			10,138			10,138
3.46%	USD - SOFR - COMPOUND		USD	600,000		03/15/2033		Annually		—			8,950			8,950
3.59%	USD - SOFR - COMPOUND		USD	1,700,000		03/15/2033		Annually		—			7,133			7,133
3.63%	USD - SOFR - COMPOUND		USD	600,000		03/15/2033		Annually		—			489			489
6 Month AUD BBSW	4.51%		AUD	900,000		06/21/2033		Semi-Annually		—			276			276
3.04%	EUR - EuroSTR - COMPOUND		EUR	200,000		06/21/2033		Annually		—			(662	)		(662	)
3.61%	USD - SOFR - COMPOUND		USD	700,000		06/21/2033		Annually		—			(1,296	)		(1,296	)
									$	4,103		$	(12,974	)	$	(17,077	)

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

SOFR

Total Return on iShares iBoxx High Yield Corporate Bond ETF

MSCI

USD

5,000,000

03/20/2023

Quarterly

(187

)

170,173

170,360

SOFR

Total Return on iShares iBoxx High Yield Corporate Bond ETF

MSCI

USD

10,000,000

03/20/2023

Quarterly

(368

)

260,537

260,905

Total Return on iBoxx USD Liquid Investment Grade Index

SOFR

MSCI

USD

3,560,000

03/20/2023

Quarterly

853

26,980

26,127

19 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

OTC Total Return Swaps — continued

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Value Index	GS	USD	3,351,714		05/09/2023	Monthly		—		(59,844	)		(59,844	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS	USD	2,993,560		05/09/2023	Monthly		—		106,694			106,694
Total Return on MSCI World Daily Total Return Net Value Index	1 Month Federal Funds Rate minus 0.08%	GS	USD	305,465		05/09/2023	Monthly		—		10,887			10,887
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	3,877,483		05/12/2023	Monthly		—		(42,610	)		(42,610	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA	USD	3,887,988		05/12/2023	Monthly		—		105,141			105,141
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	1,036,058		05/22/2023	Monthly		—		(2,576	)		(2,576	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.06%	UBSA	USD	842,717		05/22/2023	Monthly		—		9,565			9,565
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	504,333		08/09/2023	Monthly		—		(9,005	)		(9,005	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.01%	UBSA	USD	274,919		08/09/2023	Monthly		—		9,798			9,798
1 Month Federal Funds Rate minus 0.02%	Total Return on MSCI World Daily Total Return Net Value Index	JPM	USD	1,289,576		12/15/2023	Monthly		—		(9,978	)		(9,978	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.07%	JPM	USD	1,513,731		12/15/2023	Monthly		—		36,632			36,632
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.40%	GS	USD	1,135,015		06/24/2024	Monthly		—		13,227			13,227
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	2,576,661		06/18/2024	Monthly		—		115,102			115,102
								$	298	$	740,723		$	740,425

As of February 28, 2023, 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. 20

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

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

(e) The rate disclosed is the 7 day net yield as of February 28, 2023.

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

(h) 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 long and/or short positions within the custom equity basket swap as of February 28, 2023:

Shares		Description	% of Equity Basket			Value ($)
	(164,000)	Air China Ltd – Class H		6.1	%		(151,213	)
	(46,000)	Alibaba Health Information Technology Ltd		1.3	%		(32,937	)
	(132,000)	China Molybdenum Co Ltd – Class H		3.0	%		(74,329	)
	(48,000)	Genscript Biotech Corp		5.4	%		(131,385	)
	(190,300)	Gulf Energy Development Pcl NVDR		11.5	%		(282,802	)
	(376)	Hanmi Pharm Co Ltd		3.0	%		(73,578	)
	(3,653)	Hotel Shilla Co Ltd		9.0	%		(221,201	)
	(2,341)	Kakao Corp		4.5	%		(110,196	)
	(124,000)	Kingdee International Software Group Co Ltd		9.4	%		(231,690	)
	(12,100)	Klabin SA		1.8	%		(44,975	)
	(7,405)	Korea Aerospace Industries Ltd		10.2	%		(252,136	)
	(343)	LG Energy Solution		5.5	%		(135,489	)
	(336)	POSCO Chemical Co Ltd		2.3	%		(56,061	)
	(571)	Samsung Biologics Co Ltd		13.6	%		(333,600	)
	(40,355)	Samsung Heavy Industries Co Ltd		6.8	%		(167,571	)
	(426)	Yuhan Corp		0.7	%		(16,966	)
	(96,000)	Zijin Mining Group Co Ltd – Class H		5.9	%		(145,283	)
		TOTAL COMMON STOCKS				$	(2,461,412	)

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 125.

21 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Benchmark-Free Allocation Fund returned +0.50% (net) for the fiscal year ended February 28, 2023, as compared with +6.15% for the CPI.

This was a fairly lackluster 12 months for absolute performance, but it was very solid in relation to the majority of risk assets. Over the same period, global equities, as measured by the MSCI All Country World Index (“ACWI”), were down -8.26%, while bonds, as measured by the Bloomberg U.S. Aggregate index, were down -9.72%.

The Fund had an average equity exposure of about 35%, and this had a moderately worse return than MSCI ACWI. We had a significant investment in emerging markets as we believed that they were trading at very preferential valuations, but China’s pursuit of a zero-COVID policy until very late in 2022 really hampered their economy and weighed heavily on emerging market equity performance. There was a broadly 49% average exposure to equity long/short positions and alternatives and these delivered a welcome positive return, ensuring that the Fund was not down in absolute terms for the period. The best performer, up some 8.07%, was the Equity Dislocation Strategy, which is long cheap Value stocks and short expensive Growth stocks. Fixed income assets accounted for an average 15% of the Fund, and these were down -1.60% for the 12 months. Our decision to emphasize credit over duration was a key driver of the outperformance over the Bloomberg U.S. Aggregate index, although each of the underlying components of the fixed income exposure also beat their respective reference benchmark index. There was an average 1% exposure to cash/cash plus and this had little impact on returns.

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

23

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

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

GMO Benchmark-Free Allocation Fund Class III Shares, the Consumer Price Index and the Bloomberg

U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 28, 2023

	Average Annual Total Returns
	1 Year		5 Year		10 Year		Since Inception
Class III		0.50%		1.08%		2.66%		n/a
Class IV		0.55%		1.13%		2.71%		n/a
Class MF		0.54%		1.13%		2.72%		n/a
Class R6		0.51%		n/a		n/a		5/1/20  4.77%
Class I		0.38%		n/a		n/a		8/8/19  1.97%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

For Class III, IV, MF, R6 and I the gross expense ratio of 1.17%, 1.12%, 1.12%, 1.17% and 1.28%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 1.11%, 1.06%, 1.06%, 1.11% and 1.21% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

24

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		67.9	%
Debt Obligations		38.5
Short-Term Investments		9.3
Preferred Stocks		1.6
Swap Contracts		0.3
Investment Funds		0.3
Loan Assignments		0.1
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		0.0	^
Purchased Options		0.0	^
Forward Currency Contracts		(0.0	)^
Written Options/Credit Linked Options		(0.1	)
Securities Sold Short		(20.6	)
Other		2.7
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Emerging		4.2	%†
Australia		2.0
Switzerland		1.2
Other Developed		(1.5	)‡
Euro Region		(1.6	)§
		4.3	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		10.0	%
Japan		9.2
Other Emerging		4.7	†
Other Developed		4.5	‡
China		3.0
Taiwan		3.0
South Korea		2.7
United Kingdom		2.4
Brazil		2.0
India		2.0
France		1.7
Canada		1.1
Netherlands		1.1
Spain		1.1
		48.5	%

& 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 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.

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

^ Rounds to 0.0%.

25

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	12,765,527	GMO Emerging Country Debt Fund, Class VI		225,439,211
	5,419,607	GMO High Yield Fund, Class VI		90,670,017
	304,108,537	GMO Implementation Fund		3,734,452,836
	10,931,076	GMO Opportunistic Income Fund, Class VI		263,438,935
	3,119,257	GMO SGM Major Markets Fund, Class VI		88,586,880
		TOTAL MUTUAL FUNDS (COST $4,711,541,495)		4,402,587,879
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	2,836,801	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (a)		2,836,801
		TOTAL SHORT-TERM INVESTMENTS (COST $2,836,801)		2,836,801
		TOTAL INVESTMENTS — 100.0% (Cost $4,714,378,296)		4,405,424,680
		Other Assets and Liabilities (net) — (0.0%)		(1,758,737	)
		TOTAL NET ASSETS — 100.0%	$	4,403,665,943

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 125.

See accompanying notes to the financial statements. 26

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Benchmark-Free Fund returned -0.40% (net) for the fiscal year ended February 28, 2023, as compared with +6.15% for the CPI.

This was a fairly lackluster 12 months for absolute performance, but it was very solid in relation to the majority of risk assets. Over the same period, global equities as measured by the MSCI All Country World Index (“ACWI”) were down -8.26%, while bonds as measured by the Bloomberg U.S. Aggregate Index were down -9.72%.

The Fund had an average equity exposure of about 44%, and this had a moderately worse return than MSCI ACWI. We had a significant investment in emerging markets as we believed that they were trading at very preferential valuations, but China’s pursuit of a zero-COVID policy until very late in 2022 really hampered their economy and weighed heavily on emerging market equity performance. There was a broadly 38% average exposure to equity long/short positions and alternatives and these delivered a welcome positive return. The best performer, up some 8.03%, was the Equity Dislocation Strategy, which is long cheap Value stocks and short expensive Growth stocks. Fixed income assets accounted for an average 14% of the Fund over the period, and these were very slightly down for the 12 months. The decision to emphasize credit over duration was a key driver of the outperformance over the Bloomberg U.S. Aggregate Index. There was an average 3% exposure to cash/cash plus and this had little impact on returns.

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

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

27

GMO Benchmark-Free Fund

(A Series of GMO Trust)

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

GMO Benchmark-Free Fund Class III Shares, the Consumer Price Index and the

Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Class III		-0.40	%		0.96	%		3.51	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited.

For Class III the gross expense ratio of 0.46% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Class listed above, the net expense ratio of 0.39% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

28

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		74.0	%
Debt Obligations		37.0
Short-Term Investments		12.6
Preferred Stocks		1.9
Swap Contracts		0.3
Loan Assignments		0.1
Loan Participations		0.1
Rights/Warrants		0.0	^
Investment Funds		0.0	^
Purchased Options		0.0	^
Futures Contracts		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.0	)^
Securities Sold Short		(20.3	)
Other		(5.7	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Emerging		5.8	%†
United States		3.0
Australia		1.1
Other Developed		(0.3	)‡
Euro Region		(1.0	)§
		8.6	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
Japan		11.1	%
United States		8.2
Other Developed		5.4	‡
Taiwan		3.8
China		3.6
Other Emerging		3.4	†
South Korea		3.2
United Kingdom		2.9
Brazil		2.5
India		2.4
France		2.1
Canada		1.5
Spain		1.4
Netherlands		1.3
Mexico		1.2
South Africa		1.2
		55.2	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater 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 Investments.

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

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

^ Rounds to 0.0%.

29

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 70.8%
		Australia — 1.2%
	13,589	Accent Group Ltd		20,230
	25,394	AMP Ltd *		17,627
	132,841	Aurizon Holdings Ltd (a)		295,192
	33,572	Austal Ltd		40,811
	332,873	Beach Energy Ltd		313,938
	875	BHP Group Ltd (a)		26,482
	175,708	BlueScope Steel Ltd		2,248,130
	157,077	Brambles Ltd (a)		1,357,254
	8,890	Challenger Ltd		44,606
	98,647	Fortescue Metals Group Ltd (a)		1,413,603
	271,875	GPT Group (The) (REIT) (a)		858,229
	122,820	GrainCorp Ltd – Class A		647,650
	151,638	Grange Resources Ltd		96,557
	92,272	Helia Group Ltd		213,641
	43,009	HomeCo Daily Needs (REIT)		37,912
	9,926	JB Hi-Fi Ltd		278,606
	8,334	McMillan Shakespeare Ltd		80,163
	61,540	Metcash Ltd (b)		168,242
	601,068	Mirvac Group (REIT) (a)		915,173
	5,860	Monadelphous Group Ltd		47,180
	49,803	Nufarm Ltd		193,913
	24,122	Perenti Ltd *		17,191
	33,896	Rio Tinto Ltd (a)		2,649,111
	304,181	Scentre Group (REIT) (a)		607,527
	24,820	Southern Cross Media Group Ltd		17,665
	304,567	Stockland (REIT) (a)		784,549
	9,332	Super Retail Group Ltd		81,167
	8,117	Viva Energy Group Ltd		16,349
		Total Australia		13,488,698
		Austria — 0.0%
	6,452	Raiffeisen Bank International AG *		107,719
	737	Strabag SE		29,193
	1,513	Vienna Insurance Group AG Wiener
		Versicherung Gruppe		42,298
		Total Austria		179,210
		Belgium — 0.5%
	38,335	Ageas SA/NV		1,730,023
	9,220	Bekaert SA		406,815
	1,235	Cie d’Entreprises CFE *		12,436
	963	Orange Belgium SA *		16,276
	3,076	Sofina SA		766,306
	7,150	Solvay SA (a)		816,729
	8,208	Telenet Group Holding NV		126,872
	21,009	UCB SA		1,806,107
		Total Belgium		5,681,564
		Brazil — 1.0%
	1,800	Alupar Investimento SA		9,334
	291,400	Ambev SA		745,274

Shares		Description	Value ($)
		Brazil — continued
	15,900	B3 SA - Brasil Bolsa Balcao		32,040
	103,100	Banco do Brasil SA		793,615
	57,400	BB Seguridade Participacoes SA		375,069
	6,700	Cia Brasileira de Aluminio		13,335
	7,700	Companhia Energetica de Minas Gerais		22,796
	37,600	CPFL Energia SA		217,537
	9,800	EDP - Energias do Brasil SA		36,744
	70,027	Enauta Participacoes SA		184,315
	2,400	Engie Brasil Energia SA		18,006
	7,100	Fleury SA		19,244
	41,800	Itau Unibanco Holding SA		173,413
	116,100	JBS SA		425,553
	67,014	Localiza Rent a Car SA		710,275
	79,900	Marfrig Global Foods SA		97,215
	1,500	Odontoprev SA		3,306
	225,900	Petroleo Brasileiro SA Sponsored ADR		2,505,231
	47,300	Ser Educacional SA *		33,789
	44,300	Telefonica Brasil SA ADR (a)		330,035
	753,600	TIM SA		1,764,726
	8,800	TIM SA ADR		103,224
	49,800	Transmissora Alianca de Energia Eletrica SA		337,584
	4,300	Ultrapar Participacoes SA		10,825
	7,852	Vale SA		127,961
	145,600	Vale SA Sponsored ADR – Class B (a)		2,379,104
	169,540	Vibra Energia SA		478,946
		Total Brazil		11,948,496
		Canada — 2.2%
	600	ADENTRA Inc		14,291
	9,100	Algoma Steel Group Inc (b)		73,093
	31,500	Alimentation Couche-Tard Inc (a)		1,477,695
	3,000	Atco Ltd – Class I (a)		93,023
	8,126	Brookfield Asset Management Ltd – Class A (a)		273,196
	33,733	Brookfield Corp – Class A (a)		1,121,622
	6,700	Canaccord Genuity Group Inc		56,615
	3,409	Canadian Apartment Properties (REIT) (a)		123,469
	1,700	Canadian Solar Inc *		67,575
	13,500	Canadian Tire Corp Ltd – Class A (a)		1,682,825
	25,100	Canfor Corp *		428,236
	42,900	Celestica Inc * (b) (c)		554,289
	16,200	Celestica Inc * (c)		209,790
	4,003	Cogeco Inc		177,487
	2,900	DREAM UnLtd Corp – Class A (b)		56,682
	4,400	Element Fleet Management Corp		62,848
	100	Fairfax Financial Holdings Ltd (a)		69,914
	14,800	Finning International Inc		375,396
	22,700	Hydro One Ltd (a)		589,085
	4,600	iA Financial Corp Inc		308,802
	20,100	Imperial Oil Ltd (c)		992,136
	1,100	Imperial Oil Ltd (a) (c)		54,408
	36,600	Interfor Corp *		616,125
	12,838	International Petroleum Corp *		129,026

See accompanying notes to the financial statements. 30

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Canada — continued
	4,300	Loblaw Cos Ltd (a)		367,477
	17,400	Magna International Inc		969,784
	62,800	Manulife Financial Corp (a) (c)		1,240,928
	51,900	Manulife Financial Corp (a) (c)		1,026,209
	4,900	Martinrea International Inc		50,203
	10,600	Mullen Group Ltd (a)		110,622
	1,000	National Bank of Canada		73,448
	20,489	Nutrien Ltd (a)		1,593,634
	14,400	OceanaGold Corp *		29,338
	16,800	Onex Corp		898,298
	8,300	Parex Resources Inc		135,282
	49,400	Quebecor Inc – Class B		1,168,657
	4,600	Rogers Sugar Inc		20,935
	14,200	Russel Metals Inc		370,168
	7,300	Sleep Country Canada Holdings Inc		139,099
	2,600	Spin Master Corp		70,464
	2,800	Stella-Jones Inc		101,329
	2,100	Suncor Energy Inc (a)		70,580
	70,900	Teck Resources Ltd – Class B (c)		2,830,284
	45,800	Teck Resources Ltd – Class B (a) (c)		1,828,336
	16,100	Uni-Select Inc *		559,046
	1,500	Wajax Corp		26,713
	19,600	West Fraser Timber Co Ltd (c)		1,472,334
	5,000	West Fraser Timber Co Ltd (c)		375,300
		Total Canada		25,136,096
		Chile — 0.1%
	281,457	Cencosud SA		532,009
	37,376	Cencosud Shopping SA		53,251
	3,200	Cia Cervecerias Unidas SA Sponsored ADR		48,576
	1,696,576	Colbun SA		194,528
	31,876	Empresas CMPC SA		52,955
	302,270	Falabella SA		665,181
	28,643	Inversiones La Construccion SA		124,905
		Total Chile		1,671,405
		China — 3.6%
	116,000	361 Degrees International Ltd *		55,634
	441,000	3SBio Inc		437,313
	6,762,000	Agricultural Bank of China Ltd – Class H		2,344,367
	112,769	Alibaba Group Holding Ltd *		1,239,494
	449,000	BAIC Motor Corp Ltd – Class H		121,985
	3,938,000	Bank of China Ltd – Class H		1,444,268
	1,273,091	Bank of Communications Co Ltd – Class H		752,725
	103,500	Beijing Enterprises Holdings Ltd		339,032
	214,000	China BlueChemical Ltd – Class H		48,303
	2,998,000	China Cinda Asset Management Co Ltd – Class H		389,660
	628,000	China Communications Services Corp Ltd – Class H		244,163
	116,500	China Conch Venture Holdings Ltd		234,454
	3,828,000	China Construction Bank Corp – Class H		2,339,970
	683,000	China Dongxiang Group Co Ltd		30,044

Shares		Description	Value ($)
		China — continued
	1,376,000	China Energy Engineering Corp Ltd – Class H (b)		161,336
	888,000	China Everbright Environment Group Ltd		360,143
	1,058,000	China Greenfresh Group Co Ltd (d)		—
	1,149,500	China Hongqiao Group Ltd		1,229,508
	235,000	China Lesso Group Holdings Ltd		247,874
	52,000	China Lilang Ltd		26,498
	252,645	China Medical System Holdings Ltd		380,345
	255,000	China Overseas Grand Oceans Group Ltd		99,202
	938,000	China Overseas Land & Investment Ltd		2,328,573
	5,730,000	China Petroleum & Chemical Corp – Class H		2,923,313
	2,289,042	China Railway Group Ltd – Class H		1,193,018
	693,000	China Reinsurance Group Corp – Class H		49,483
	805,000	China Resources Pharmaceutical Group Ltd		662,092
	56,000	China Shineway Pharmaceutical Group Ltd		48,932
	336,000	China South City Holdings Ltd * (b)		22,274
	552,000	China State Construction International Holdings Ltd		628,655
	762,000	China Traditional Chinese Medicine Holdings Co Ltd		395,369
	1,776,400	China Zhongwang Holdings Ltd * (e)		380,201
	1,389,000	CITIC Ltd		1,532,566
	1,892,000	CSPC Pharmaceutical Group Ltd		2,032,572
	980,000	Dongfeng Motor Group Co Ltd – Class H		500,650
	195,000	Fufeng Group Ltd		125,048
	52,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		153,125
	309,600	Haier Smart Home Co Ltd – Class H		1,095,697
	22,500	Hengan International Group Co Ltd		103,484
	60,000	Hisense Home Appliances Group Co Ltd – Class H		90,165
	132,750	Kingboard Holdings Ltd		473,935
	120,200	Legend Holdings Corp – Class H		132,846
	2,330,000	Lenovo Group Ltd		2,096,771
	30,281	Livzon Pharmaceutical Group Inc – Class H		105,249
	249,000	Lonking Holdings Ltd		45,077
	3,912	Meituan – Class B*		67,893
	610,000	Metallurgical Corp of China Ltd – Class H		132,998
	23,500	NetDragon Websoft Holdings Ltd		53,487
	232,000	Nexteer Automotive Group Ltd		147,385
	3,098,000	PetroChina Co Ltd – Class H		1,580,408
	2,502,000	PICC Property & Casualty Co Ltd – Class H		2,197,634
	245,000	Poly Property Group Co Ltd		58,776
	12,000	Road King Infrastructure Ltd		5,941
	287,800	Shanghai Pharmaceuticals Holding Co Ltd – Class H		507,531
	1,294,500	Shimao Group Holdings Ltd * (e)		728,933
	242,000	Shougang Fushan Resources Group Ltd		77,739
	616,000	Sino-Ocean Group Holding Ltd		77,831
	265,500	Sinopec Engineering Group Co Ltd – Class H		133,016
	409,200	Sinopharm Group Co Ltd – Class H		1,095,965

31 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		China — continued
	324,000	Sinotruk Hong Kong Ltd		510,663
	606,000	Skyworth Group Ltd		332,461
	58,000	SSY Group Ltd		34,778
	1,768,000	Sunac China Holdings Ltd * (b) (e)		1,031,601
	253,000	TCL Electronics Holdings Ltd *		109,341
	39,720	Tencent Holdings Ltd		1,744,836
	100,000	Tianjin Port Development Holdings Ltd		7,650
	250,000	Tianneng Power International Ltd (b)		320,720
	208,000	Yadea Group Holdings Ltd		446,408
	500	Zhongsheng Group Holdings Ltd		2,498
	7,800	ZTE Corp – Class H		23,175
		Total China		41,075,081
		Czech Republic — 0.0%
	55,773	Moneta Money Bank AS		212,465
	212	Philip Morris CR AS		164,217
		Total Czech Republic		376,682
		Denmark — 0.5%
	465	AP Moller – Maersk A/S – Class A (a)		1,062,846
	371	AP Moller – Maersk A/S – Class B (a)		864,188
	91,530	Danske Bank A/S		2,125,624
	3,288	Matas A/S		38,234
	21,953	Pandora A/S		2,079,468
	432	Rockwool A/S – B Shares		98,081
	2,359	Scandinavian Tobacco Group A/S		40,958
		Total Denmark		6,309,399
		Egypt — 0.0%
	19,325	Abou Kir Fertilizers & Chemical Industries		26,328
	99,520	Commercial International Bank Egypt SAE		172,533
	249,818	Eastern Co SAE		151,011
	24,934	Misr Fertilizers Production Co SAE		116,230
		Total Egypt		466,102
		Finland — 0.5%
	1,849	Kemira Oyj		35,415
	24,014	Metsa Board Oyj – Class B		210,091
	23,410	Neste Oyj		1,129,093
	532,952	Nokia Oyj (a)		2,465,728
	74,371	Outokumpu Oyj		445,259
	53,980	UPM-Kymmene Oyj (a)		1,956,043
		Total Finland		6,241,629
		France — 2.7%
	16,165	ALD SA (a)		214,131
	608	APERAM SA		23,644
	64,637	ArcelorMittal SA		1,939,717
	10,682	Arkema SA		1,082,931
	470	Axway Software SA (a)		11,178
	20,115	BNP Paribas SA		1,406,262
	599	Boiron SA		26,747

Shares		Description	Value ($)
		France — continued
	43,937	Cie de Saint-Gobain (a)		2,610,852
	44,207	Coface SA		651,537
	16,197	Derichebourg SA		104,156
	691	Eiffage SA (a)		75,837
	50	Eramet SA		5,366
	389	HEXAOM		7,813
	14,297	Ipsen SA		1,633,555
	11,848	IPSOS		726,818
	1,792	Kering SA (a)		1,050,687
	2,409	LVMH Moet Hennessy Louis Vuitton SE (a)		2,002,665
	948	Mersen SA		44,725
	4,330	Metropole Television SA		64,628
	34,242	Publicis Groupe SA (a)		2,718,374
	9,401	Quadient SA		163,166
	3,372	Rexel SA		83,820
	1,465	Rothschild & Co		73,359
	15,961	Safran SA (a)		2,253,714
	23,103	Sanofi (a)		2,160,090
	3,971	SMCP SA *		30,997
	5,738	Societe BIC SA		371,172
	119,741	Societe Generale SA		3,450,881
	42,100	STMicroelectronics NV		2,027,536
	577	Synergie SE		20,529
	23,077	Technip Energies NV		446,779
	50,241	Television Francaise 1		400,365
	54,022	TotalEnergies SE (a)		3,333,381
		Total France		31,217,412
		Germany — 1.0%
	4,034	1&1 AG		48,335
	188	Amadeus Fire AG		24,423
	2,658	Aurubis AG		259,975
	14,358	Bayer AG (Registered) (a)		852,595
	13,938	Bayerische Motoren Werke AG (a)		1,437,919
	10,640	Beiersdorf AG (a)		1,269,837
	20,037	Commerzbank AG *		244,161
	425	Deutsche Boerse AG		74,109
	307	Draegerwerk AG & Co KGaA (a)		11,937
	1,126	Elmos Semiconductor SE		91,371
	15,772	Fresenius SE & Co KGaA (a)		434,001
	2,270	Hamburger Hafen und Logistik AG (a)		30,030
	707	Hannover Rueck SE (a)		137,298
	6,088	HeidelbergCement AG (a)		417,956
	2,255	Hornbach Holding AG & Co KGaA		187,280
	1,282	HUGO BOSS AG		87,682
	55,620	Kloeckner & Co SE		602,018
	1,367	Krones AG		166,477
	29,462	Mercedes-Benz Group AG (a)		2,258,047
	9,492	Merck KGaA (a)		1,798,667
	2,121	RTL Group SA		102,243
	7,564	Salzgitter AG		317,400
	1,370	Siltronic AG		99,762
	610	Talanx AG (a)		29,132

See accompanying notes to the financial statements. 32

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Germany — continued
	2,038	Volkswagen AG (a)		362,071
		Total Germany		11,344,726
		Greece — 0.1%
	12,055	FF Group * (d)		—
	12,411	Jumbo SA		247,822
	12,571	Mytilineos SA		339,169
		Total Greece		586,991
		Hong Kong — 0.6%
	107,300	ASMPT Ltd		915,525
	45,400	Bank of East Asia Ltd (The)		64,131
	86,000	BOC Hong Kong Holdings Ltd		291,054
	71,400	Champion (REIT)		32,006
	29,000	Chow Sang Sang Holdings International Ltd		37,347
	272,000	CITIC Telecom International Holdings Ltd		99,112
	65,500	CK Asset Holdings Ltd (a)		410,818
	49,500	CK Hutchison Holdings Ltd (a)		295,577
	550,000	CSI Properties Ltd		10,387
	65,300	Dah Sing Banking Group Ltd		53,001
	22,400	Dah Sing Financial Holdings Ltd		60,520
	108,000	E-Commodities Holdings Ltd		18,864
	272,000	First Pacific Co Ltd		91,206
	127,573	Galaxy Entertainment Group Ltd		849,335
	104,000	Giordano International Ltd		25,329
	34,500	Health & Happiness H&H International Holdings Ltd		58,233
	190,000	HKT Trust & HKT Ltd – Class SS		247,019
	298,000	IGG Inc *		109,200
	70,500	Johnson Electric Holdings Ltd		80,871
	69,000	K Wah International Holdings Ltd		23,837
	29,500	Kerry Logistics Network Ltd		48,754
	68,500	Kerry Properties Ltd (a)		171,519
	41,800	Luk Fook Holdings International Ltd		133,444
	64,000	NWS Holdings Ltd		56,353
	4,000	Orient Overseas International Ltd (a)		64,253
	172,000	Pacific Textiles Holdings Ltd		57,643
	48,500	Power Assets Holdings Ltd (a)		259,416
	234,000	Shun Tak Holdings Ltd *		47,403
	149,000	SITC International Holdings Co Ltd		311,700
	50,000	SmarTone Telecommunications Holdings Ltd		33,402
	93,000	Sun Hung Kai & Co Ltd		37,701
	72,500	Swire Pacific Ltd – Class A (a)		591,651
	56,500	Texhong International Group Ltd		48,464
	46,000	Texwinca Holdings Ltd		7,738
	200,000	VSTECS Holdings Ltd		115,457
	29,800	VTech Holdings Ltd		163,713
	1,756,000	WH Group Ltd		1,021,867
	71,000	Yue Yuen Industrial Holdings Ltd		105,044
		Total Hong Kong		7,048,894

Shares		Description	Value ($)
		Hungary — 0.2%
	30,443	MOL Hungarian Oil & Gas Plc		231,174
	55,727	OTP Bank Nyrt		1,688,131
	12,280	Richter Gedeon Nyrt		257,409
		Total Hungary		2,176,714
		India — 2.4%
	3	ACC Ltd		63
	42,762	Arvind Ltd *		42,773
	19,526	Asian Paints Ltd		668,371
	15,616	Aurobindo Pharma Ltd		87,025
	60,206	Axis Bank Ltd		614,688
	21,023	Cipla Ltd		230,178
	857,350	Coal India Ltd		2,226,182
	22,546	Cochin Shipyard Ltd		123,499
	2,218	Colgate-Palmolive India Ltd		39,635
	10,094	Coromandel International Ltd		110,346
	191	Cummins India Ltd		3,619
	2,077	Deepak Fertilisers & Petrochemicals Corp Ltd		15,686
	23,833	Dhampur Bio Organics Ltd *		42,406
	25,437	Engineers India Ltd		22,094
	92,023	Exide Industries Ltd		195,718
	1,687,041	GAIL India Ltd		2,097,281
	4,013	GHCL Ltd		25,073
	32,270	Glenmark Pharmaceuticals Ltd		167,640
	4,212	Great Eastern Shipping Co Ltd (The)		27,970
	718	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		4,572
	176,367	Gujarat State Fertilizers & Chemicals Ltd		266,945
	22,249	HDFC Bank Ltd		431,219
	93,260	Hindalco Industries Ltd		450,166
	11,770	Hindustan Aeronautics Ltd		366,581
	76,634	Hindustan Petroleum Corp Ltd		199,841
	1,793	Hindustan Unilever Ltd		53,273
	17,007	Hindustan Zinc Ltd		62,572
	18,492	Housing Development Finance Corp Ltd		583,070
	96,682	ICICI Bank Ltd		999,251
	8,355	Indiabulls Housing Finance Ltd *		10,175
	202,318	Indian Oil Corp Ltd		186,017
	75	Indus Towers Ltd		156
	13,117	Infosys Ltd		236,007
	28,200	Infosys Ltd Sponsored ADR (a)		505,908
	754,959	ITC Ltd		3,436,779
	83,713	Karnataka Bank Ltd (The)		146,901
	4,676	L&T Finance Holdings Ltd		4,966
	48,296	Mahindra & Mahindra Ltd		744,364
	41,809	Manappuram Finance Ltd		52,043
	67,371	National Aluminium Co Ltd		63,791
	61,090	NBCC India Ltd		24,509
	26,883	NCC Ltd		29,061
	420,940	NMDC Ltd		564,155
	457,826	NMDC Steel Ltd *		185,251
	324,679	NTPC Ltd		667,713
	2,220,940	Oil & Natural Gas Corp Ltd		4,073,748

33 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		India — continued
	15,851	Oil India Ltd		47,163
	869	Oracle Financial Services Software Ltd		33,153
	87,442	Petronet LNG Ltd		234,603
	499,412	Power Finance Corp Ltd		874,098
	15,658	Rajesh Exports Ltd		122,949
	24,064	Rashtriya Chemicals & Fertilizers Ltd		28,331
	667,446	REC Ltd		923,865
	87,830	Redington Ltd		180,893
	6,490	RITES Ltd		25,564
	145,188	Sun Pharmaceutical Industries Ltd		1,682,236
	21,574	Sun TV Network Ltd		112,249
	1,138,191	Tata Steel Ltd		1,433,531
	24,037	Titan Co Ltd		688,602
	25,850	Vardhman Textiles Ltd *		96,793
		Total India		27,573,311
		Indonesia — 0.5%
	4,123,400	Adaro Energy Indonesia Tbk PT		807,867
	1,312,400	Astra International Tbk PT		524,970
	2,650,100	Bank Central Asia Tbk PT		1,519,935
	626,196	Bank Mandiri Persero Tbk PT		410,503
	235,400	Bank Negara Indonesia Persero Tbk PT		135,385
	2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		125,591
	1,609,600	Bank Rakyat Indonesia Persero Tbk PT		492,643
	975,100	Bukit Asam Tbk PT		246,739
	1,134,100	Global Mediacom Tbk PT *		21,265
	99,100	Indo Tambangraya Megah Tbk PT		241,563
	572,600	Indofood Sukses Makmur Tbk PT		243,102
	2,681,400	Kalbe Farma Tbk PT		370,933
	2,116,700	Media Nusantara Citra Tbk PT *		90,189
	1,562,700	Perusahaan Gas Negara Tbk PT		160,302
	133,148	United Tractors Tbk PT		243,534
		Total Indonesia		5,634,521
		Ireland — 0.5%
	9,210	AIB Group Plc		39,339
	203,821	Bank of Ireland Group Plc		2,245,519
	12,774	Glanbia Plc		157,742
	3,477	Kingspan Group Plc		225,685
	15,644	Origin Enterprises Plc		70,006
	9,611	Permanent TSB Group Holdings Plc *		26,447
	10,319	Ryanair Holdings Plc *		160,696
	14,919	Ryanair Holdings Plc Sponsored ADR * (a)		1,384,035
	28,383	Smurfit Kappa Group Plc		1,058,877
		Total Ireland		5,368,346
		Israel — 0.3%
	220,793	Oil Refineries Ltd		66,620
	174,200	Teva Pharmaceutical Industries Ltd Sponsored ADR *		1,726,322
	53,700	ZIM Integrated Shipping Services Ltd		1,270,542
		Total Israel		3,063,484

Shares		Description	Value ($)
		Italy — 0.7%
	13,898	Anima Holding SPA		60,039
	19,133	Banca IFIS SPA		314,068
	18,249	Banco BPM SPA		79,550
	17,609	BPER Banca		50,018
	15,729	CIR SpA-Compagnie Industriali *		7,241
	22,116	Credito Emiliano SPA		190,040
	58,014	Eni SPA (a)		819,391
	900	Eni SPA Sponsored ADR		25,524
	6,234	Esprinet SPA		47,578
	59,732	Italgas SPA (a)		339,310
	107,971	Leonardo SPA		1,211,360
	72,418	MFE-MediaForEurope NV – Class A		31,817
	115,097	Stellantis NV (a)		2,013,539
	5,364,637	Telecom Italia SPA * (b)		1,751,674
	6,681	UniCredit SPA		136,683
	2,778	Unieuro SPA (b)		32,945
	168,846	Unipol Gruppo SPA		893,176
		Total Italy		8,003,953
		Japan — 13.3%
	5,600	AGC Inc		207,181
	5,100	Aichi Corp		29,540
	4,900	Aisin Corp		134,277
	83,900	Amano Corp		1,551,581
	3,400	AOKI Holdings Inc		20,491
	35,400	Arcs Co Ltd (b)		563,472
	146,600	Asahi Kasei Corp		1,021,071
	5,700	Bandai Namco Holdings Inc (a)		352,210
	3,600	Bando Chemical Industries Ltd		27,711
	43,100	Brother Industries Ltd		633,955
	90,700	Canon Inc (a)		1,952,068
	6,500	Canon Marketing Japan Inc		143,644
	5,400	Central Glass Co Ltd		132,702
	1,600	Chiyoda Integre Co Ltd		26,567
	106,000	Chugoku Marine Paints Ltd		872,532
	80,600	Citizen Watch Co Ltd (b)		487,878
	132,200	Credit Saison Co Ltd (b)		1,801,795
	24,600	Dai Nippon Printing Co Ltd		659,520
	1,100	Dai Nippon Toryo Co Ltd		6,866
	34,000	Daicel Corp		236,064
	1,500	Dai-Dan Co Ltd		26,227
	1,400	Daiichi Jitsugyo Co Ltd		54,494
	173,300	Daiwabo Holdings Co Ltd		2,678,113
	96,400	Denka Co Ltd		2,035,725
	18,400	Dentsu Group Inc (a)		590,061
	3,700	DTS Corp (a)		85,987
	2,400	Ehime Bank Ltd (The)		17,284
	141,000	EXEO Group Inc		2,474,085
	64,600	Ezaki Glico Co Ltd		1,621,930
	133,600	Fuji Corp		2,023,383
	8,400	Fuji Electric Co Ltd		324,323
	52,300	FUJIFILM Holdings Corp		2,439,892
	3,400	Fukuoka Financial Group Inc		75,900

See accompanying notes to the financial statements. 34

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Japan — continued
	2,100	Furuno Electric Co Ltd		14,976
	2,100	G-7 Holdings Inc		22,151
	101,300	H.U. Group Holdings Inc (a)		1,993,539
	5,600	Hachijuni Bank Ltd (The)		25,342
	6,900	Hanwa Co Ltd		200,754
	206,200	Haseko Corp		2,366,194
	2,500	Heiwado Co Ltd		39,134
	52,100	Hogy Medical Co Ltd		1,231,016
	80,300	Honda Motor Co Ltd (a)		2,088,055
	3,400	Honda Motor Co Ltd Sponsored ADR (a)		88,298
	13,000	Hosiden Corp		159,130
	30,400	Idemitsu Kosan Co Ltd		672,798
	12,300	Inabata & Co Ltd		242,451
	193,200	Inpex Corp		2,025,583
	126,700	ITOCHU Corp (a)		3,787,149
	500	Itochu-Shokuhin Co Ltd		18,247
	17,600	Itoham Yonekyu Holdings Inc		92,279
	8,000	Itoki Corp		46,292
	5,800	Jaccs Co Ltd		188,883
	7,800	Japan Aviation Electronics Industry Ltd		129,486
	4,500	Japan Petroleum Exploration Co Ltd		162,138
	107,600	Japan Tobacco Inc (a)		2,188,089
	5,100	Kaga Electronics Co Ltd		182,938
	45,300	Kajima Corp		541,381
	3,500	Kamei Corp		39,138
	7,600	Kandenko Co Ltd		49,867
	2,500	Kaneka Corp		62,819
	106,300	Kanematsu Corp		1,273,731
	114,200	KDDI Corp (a)		3,341,248
	149,900	Kirin Holdings Co Ltd		2,243,775
	1,897	Kohnan Shoji Co Ltd (b)		44,133
	10,901	Komeri Co Ltd		212,135
	61,000	Konoike Transport Co Ltd (a)		670,320
	155,800	K’s Holdings Corp		1,342,393
	3,000	Kyokuto Kaihatsu Kogyo Co Ltd		32,230
	83,900	Kyudenko Corp		2,119,139
	8,700	Macnica Holdings Inc		240,684
	88,900	Macromill Inc		663,006
	100	Makino Milling Machine Co Ltd		3,621
	98,800	Mandom Corp		1,041,987
	141,300	Marubeni Corp (a)		1,803,844
	88,900	Maruichi Steel Tube Ltd		1,931,529
	1,000	Maruzen Showa Unyu Co Ltd		22,909
	1,300	Matsuda Sangyo Co Ltd		21,913
	95,200	Maxell Ltd		1,015,471
	31,900	Mazda Motor Corp		285,411
	5,800	MCJ Co Ltd		40,877
	94,800	Mebuki Financial Group Inc		254,840
	1,100	Melco Holdings Inc		27,257
	30,200	Mirarth Holdings Inc		84,021
	42,100	Mitsubishi Corp (a)		1,430,181
	173,800	Mitsubishi Electric Corp		1,953,028
	207,900	Mitsubishi Motors Corp *		819,861
	2,200	Mitsubishi Research Institute Inc (a)		83,720

Shares		Description	Value ($)
		Japan — continued
	219,000	Mitsubishi UFJ Financial Group Inc (a)		1,552,599
	44,900	Mitsui & Co Ltd (a)		1,260,157
	3,100	Mitsui DM Sugar Holdings Co Ltd		47,392
	71,600	Mitsui OSK Lines Ltd (a)		1,870,200
	4,300	Mitsui-Soko Holdings Co Ltd (a)		124,506
	4,100	MIXI Inc		80,575
	57,000	Morinaga & Co Ltd		1,644,063
	52,700	MS&AD Insurance Group Holdings Inc (a)		1,724,561
	2,900	Nagase & Co Ltd		43,083
	63,100	NEC Corp (a)		2,258,240
	78,000	NGK Spark Plug Co Ltd		1,568,514
	79,200	NH Foods Ltd		2,186,890
	8,600	Nichias Corp		169,586
	4,400	Nichiha Corp		84,991
	5,200	Nichireki Co Ltd		56,557
	47,800	Nikon Corp		473,443
	4,100	Nippn Corp		48,746
	2,000	Nippon Densetsu Kogyo Co Ltd		22,365
	6,100	Nippon Soda Co Ltd		206,919
	1,500	Nippon Steel Trading Corp		102,077
	90,300	Nippon Telegraph & Telephone Corp (a)		2,616,606
	18,900	Nippon Television Holdings Inc		155,580
	75,200	Nippon Yusen KK (a)		1,954,672
	1,500	Nissin Corp		23,271
	1,100	Nitto Kogyo Corp		21,402
	11,600	Nojima Corp		115,461
	1,600	Noritake Co Ltd		53,216
	197,600	Obayashi Corp		1,461,651
	500	Ono Pharmaceutical Co Ltd		10,184
	5,200	Osaka Soda Co Ltd		164,353
	104,400	Pacific Industrial Co Ltd		891,423
	7,200	PAL GROUP Holdings Co Ltd		147,071
	328,800	Penta-Ocean Construction Co Ltd		1,566,966
	2,500	Prima Meat Packers Ltd		39,305
	5,700	Proto Corp		51,065
	18,500	Renesas Electronics Corp * (a)		238,973
	500	Restar Holdings Corp		8,517
	23,200	Rohm Co Ltd		1,786,694
	2,100	Roland DG Corp		48,955
	1,800	Ryobi Ltd		20,035
	15,600	San-A Co Ltd (b)		480,822
	8,800	Sanki Engineering Co Ltd		98,732
	69,600	Sankyu Inc (a)		2,560,623
	19,900	Sanwa Holdings Corp		209,769
	500	Sanyo Denki Co Ltd		20,767
	13,900	Sawai Group Holdings Co Ltd		384,851
	34,600	Secom Co Ltd (a)		2,012,143
	69,500	Seiko Epson Corp		958,244
	4,800	Seiko Group Corp		101,693
	14,500	Sekisui Chemical Co Ltd		194,390
	146,100	Sekisui House Ltd		2,766,145
	2,900	Sekisui Jushi Corp		42,075
	10,900	Shimamura Co Ltd		1,018,268
	163,700	Shimizu Corp		883,633

35 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Japan — continued
	2,900	Shinmaywa Industries Ltd		23,933
	4,800	Shizuoka Gas Co Ltd (a)		39,781
	800	Sinanen Holdings Co Ltd		20,473
	1,500	Sinko Industries Ltd		17,362
	21,500	SKY Perfect JSAT Holdings Inc		81,599
	113,260	Sojitz Corp		2,174,335
	147,600	Stanley Electric Co Ltd		3,077,951
	5,700	Star Micronics Co Ltd		72,302
	47,400	Subaru Corp		759,406
	145,100	SUMCO Corp		2,002,151
	460,600	Sumitomo Chemical Co Ltd		1,613,940
	107,900	Sumitomo Corp (a)		1,838,915
	63,200	Sumitomo Forestry Co Ltd		1,212,747
	75,200	Sumitomo Mitsui Financial Group Inc		3,284,272
	67,700	Sumitomo Mitsui Trust Holdings Inc		2,508,287
	1,500	Sumitomo Seika Chemicals Co Ltd		48,248
	210,900	T&D Holdings Inc		3,193,912
	17,000	Tachi-S Co Ltd		155,497
	46,000	Taisei Corp		1,499,746
	2,000	Takeuchi Manufacturing Co Ltd (b)		42,722
	146,500	Takuma Co Ltd		1,475,133
	3,000	Tamron Co Ltd		71,455
	174,500	Teijin Ltd		1,813,157
	2,900	T-Gaia Corp (b)		34,925
	90,700	THK Co Ltd		2,031,292
	64,600	Toho Holdings Co Ltd		1,044,569
	233,100	Tokai Carbon Co Ltd		2,276,047
	79,100	Tokyo Gas Co Ltd (a)		1,525,637
	55,300	Tokyo Seimitsu Co Ltd		2,018,910
	155,400	Toppan Inc		2,810,323
	92,200	Tosei Corp		997,829
	61,900	Tosoh Corp		842,409
	3,000	Towa Pharmaceutical Co Ltd		42,164
	13,800	Toyo Construction Co Ltd		89,836
	43,400	Toyota Industries Corp		2,546,284
	15,900	Toyota Tsusho Corp (a)		648,458
	3,000	TPR Co Ltd		30,717
	6,600	Tsumura & Co		125,505
	1,900	TV Asahi Holdings Corp		20,269
	5,500	Wacoal Holdings Corp		98,963
	13,100	YAMABIKO Corp		121,479
	39,000	Yamaha Motor Co Ltd		997,823
	5,300	Yamazen Corp		40,746
	4,400	Yellow Hat Ltd		57,462
	39,900	Yokogawa Bridge Holdings Corp		601,663
	5,100	Yokogawa Electric Corp		76,170
	3,200	Yuasa Trading Co Ltd		85,960
	43,700	Zenkoku Hosho Co Ltd		1,664,903
		Total Japan		153,460,606
		Kuwait — 0.0%
	12,211	Humansoft Holding Co KSC		146,381

Shares		Description	Value ($)
		Malaysia — 0.1%
	41,100	AMMB Holdings Bhd		36,717
	40,100	Hartalega Holdings Bhd		13,134
	39,400	IOI Corp Bhd		33,627
	116,300	Kossan Rubber Industries Bhd		28,242
	4,000	Kuala Lumpur Kepong Bhd		18,534
	304,500	Petronas Chemicals Group Bhd		485,738
	22,500	PPB Group Bhd		87,728
	181,700	Telekom Malaysia Bhd		203,663
		Total Malaysia		907,383
		Mexico — 1.1%
	18,800	Alpek SAB de CV		22,944
	439,337	America Movil SAB de CV – Series L		451,187
	9,539	America Movil SAB de CV – Class L Sponsored ADR		196,313
	87,512	Arca Continental SAB de CV		741,220
	63,400	Banco del Bajio SA		242,248
	1,676	Coca-Cola Femsa SAB de CV Sponsored ADR		120,689
	495,200	Credito Real SAB de CV SOFOM ER * (d)		—
	33,792	El Puerto de Liverpool SAB de CV – Class C1		205,339
	236,088	Fomento Economico Mexicano SAB de CV		2,174,232
	1,313	Fomento Economico Mexicano SAB de CV Sponsored ADR		120,691
	71,600	Gentera SAB de CV		77,601
	400	Grupo Aeroportuario del Centro Norte SAB de CV ADR		31,196
	2,739	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		26,189
	1,655	Grupo Aeroportuario del Pacifico SAB de CV – Class B		31,396
	13,291	Grupo Aeroportuario del Sureste SAB de CV – Class B		380,544
	124	Grupo Aeroportuario del Sureste SAB de CV ADR		35,486
	473,725	Grupo Financiero Banorte SAB de CV – Class O		4,010,085
	425,128	Grupo Mexico SAB de CV – Series B		1,912,048
	18,900	Grupo Televisa SAB Sponsored ADR		93,744
	7,156	Kimberly-Clark de Mexico SAB de CV – Class A		14,315
	36,600	Qualitas Controladora SAB de CV		227,663
	19,300	Regional SAB de CV		160,126
	8,151	Unifin Financiera SAB de CV SOFOM
		ENR * (d)		—
	377,368	Wal-Mart de Mexico SAB de CV		1,487,073
		Total Mexico		12,762,329
		Netherlands — 1.8%
	100,351	ABN AMRO Bank NV CVA		1,770,810
	359,241	Aegon NV		1,869,216
	39,074	ASR Nederland NV		1,778,291
	50,825	EXOR NV *		4,193,791
	9,049	ForFarmers NV (b)		31,456

See accompanying notes to the financial statements. 36

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Netherlands — continued
	48,043	JDE Peet’s NV		1,414,244
	135,398	Koninklijke Ahold Delhaize NV (a)		4,299,140
	105,584	Koninklijke Philips NV (a)		1,723,847
	40,194	NN Group NV		1,626,915
	34,169	Randstad NV (a)		2,096,616
		Total Netherlands		20,804,326
		New Zealand — 0.1%
	59,921	Auckland International Airport Ltd * (c)		323,782
	74	Auckland International Airport Ltd * (a) (c)		399
	128,894	Meridian Energy Ltd (a)		423,075
	18,409	Spark New Zealand Ltd		56,839
		Total New Zealand		804,095
		Norway — 0.3%
	7,086	BW LPG Ltd		61,987
	7,513	DNO ASA		8,609
	113,879	Elkem ASA		428,712
	71,147	Equinor ASA (a)		2,178,047
	47,115	Europris ASA		332,157
	12,773	Hoegh Autoliners ASA (a)		83,737
	21,557	Norske Skog ASA *		138,969
	3,159	Selvaag Bolig ASA		10,498
	4,756	SpareBank 1 Nord Norge		47,189
	3,527	Stolt-Nielsen Ltd (a)		109,031
	4,008	Subsea 7 SA		52,061
	30,841	Wallenius Wilhelmsen ASA (a)		269,622
		Total Norway		3,720,619
		Pakistan — 0.0%
	48,525	Oil & Gas Development Co Ltd		15,227
	108,203	Pakistan Petroleum Ltd		25,916
		Total Pakistan		41,143
		Panama — 0.0%
	297,879	BAC Holding International Corp *		12,113
		Philippines — 0.0%
	10,800	GT Capital Holdings Inc		101,207
	233,080	Megaworld Corp		8,501
	33,900	Puregold Price Club Inc		19,295
		Total Philippines		129,003
		Poland — 0.3%
	5,274	Asseco Poland SA		94,580
	59,399	Bank Polska Kasa Opieki SA		1,195,296
	3,461	Budimex SA		218,941
	32,437	Cyfrowy Polsat SA		125,648
	3,970	Jastrzebska Spolka Weglowa SA *		48,778
	22	LPP SA		46,469
	104,881	Polski Koncern Naftowy ORLEN SA		1,566,457

Shares		Description	Value ($)
		Poland — continued
	49,735	Powszechny Zaklad Ubezpieczen SA		408,919
		Total Poland		3,705,088
		Portugal — 0.2%
	195,500	EDP – Energias de Portugal SA		984,483
	53,872	Galp Energia SGPS SA		657,213
	1,688	Jeronimo Martins SGPS SA		34,648
	112,720	Navigator Co SA (The)		396,439
	34,941	NOS SGPS SA		154,395
	518,655	Sonae SGPS SA		568,266
		Total Portugal		2,795,444
		Qatar — 0.1%
	76,290	Ooredoo QPSC		192,791
	3,634	Qatar Gas Transport Co Ltd		3,641
	147,319	Qatar National Bank QPSC		681,705
	14,520	Qatar National Cement Co QSC		16,850
		Total Qatar		894,987
		Russia — 0.1%
	3,038,020	Alrosa PJSC * (d) (f)		24,494
	10,190	Detsky Mir PJSC * (d)		94
	148,200,000	Federal Grid Co Unified Energy System PJSC * (d)		1,750
	68,395	Fix Price Group Plc GDR* (d)		1,961
	180,610	Gazprom Neft PJSC (d)		10,248
	2,050,858	Gazprom PJSC (d)		43,100
	7,736	Globaltrans Investment Plc Sponsored GDR (Registered) * (d)		333
	6,310,100	Inter RAO UES PJSC (d)		2,870
	19,776	LSR Group PJSC – Class A* (d)		1,269
	1	LSR Group PJSC GDR (Registered) * (d)		—
	74,944	LUKOIL PJSC (d)		39,594
	1,561	Magnit PJSC * (d)		952
	1,863,335	Magnitogorsk Iron & Steel Works PJSC * (d) (f)		9,730
	25,400	Mechel PJSC * (d)		429
	4,554	MMC Norilsk Nickel PJSC (d)		8,793
	1	MMC Norilsk Nickel PJSC ADR * (d)		—
	16,770	Mobile TeleSystems PJSC (d)		581
	20,400	Mobile TeleSystems PJSC ADR* (d)		1,413
	361,420	Moscow Exchange MICEX-RTS PJSC * (d)		5,562
	3,294,000	Mosenergo PJSC (d)		881
	75,720	Novatek PJSC (d)		10,775
	1,212,010	Novolipetsk Steel PJSC * (d)		20,200
	3,466	PhosAgro PJSC (d)		3,111
	67	PhosAgro PJSC GDR * (d) (f)		20
	130,264	Polymetal International Plc *		383,548
	10,215	Polyus PJSC * (d)		11,948
	1	Polyus PJSC GDR (Registered) * (d)		1
	5,248	Ros Agro Plc GDR (Registered) * (d)		490
	12,592,062	ROSSETI PJSC * (d)		140
	24,471,200	RusHydro PJSC (d)		2,572

37 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Russia — continued
	3,677,652	Sberbank of Russia PJSC * (d) (f)		83,256
	425	Severstal PAO * (d) (f)		60
	91,185	Severstal PJSC GDR (Registered) * (d) (f)		12,888
	11,580	SFI PJSC * (d)		769
	5,940,620	Surgutneftegas PJSC (d)		18,079
	332,388	Tatneft PJSC (d)		14,522
	1,300,440	Unipro PJSC * (d)		277
	50,950	United Co Rusal International PJSC (d)		270
	8,456	X5 Retail Group NV GDR (Registered) * (d)		1,125
		Total Russia		718,105
		Saudi Arabia — 0.2%
	15,086	Almarai Co JSC		210,807
	90,067	Saudi Arabian Oil Co		760,867
	33,130	Saudi Basic Industries Corp		780,717
	57,564	Saudi Telecom Co		538,670
		Total Saudi Arabia		2,291,061
		Singapore — 0.7%
	51,300	AIMS APAC (REIT)		52,517
	39,000	Bumitama Agri Ltd		18,640
	1,500	City Developments Ltd		8,581
	156,200	ComfortDelGro Corp Ltd		140,259
	87,435	DBS Group Holdings Ltd		2,218,324
	35,500	First Real Estate Investment Trust (b)		6,852
	84,500	First Resources Ltd		96,344
	1,318,100	Golden Agri-Resources Ltd		249,426
	159,400	Japfa Ltd		35,492
	42,716	Jardine Cycle & Carriage Ltd		941,682
	253,400	Keppel Corp Ltd		1,029,010
	12,900	Oversea-Chinese Banking Corp Ltd		121,241
	40,900	Sasseur Real Estate Investment Trust		23,064
	5,063,259	Sembcorp Marine Ltd *		476,490
	37,700	Sheng Siong Group Ltd		45,584
	122,500	Silverlake Axis Ltd		30,456
	114,700	StarHub Ltd		90,208
	300	United Overseas Bank Ltd		6,650
	15,200	Venture Corp Ltd		193,566
	29,300	Wilmar International Ltd		85,604
	785,699	Yangzijiang Financial Holding Ltd * (b)		203,856
	2,097,399	Yangzijiang Shipbuilding Holdings Ltd		2,006,790
	134,400	Yanlord Land Group Ltd		108,782
		Total Singapore		8,189,418
		South Africa — 1.1%
	213,899	Absa Group Ltd		2,309,382
	9,865	African Rainbow Minerals Ltd		136,540
	20,826	Anglo American Platinum Ltd		1,151,604
	2,455	Aspen Pharmacare Holdings Ltd		18,957
	10,455	Astral Foods Ltd		93,042
	11,974	AVI Ltd		49,575
	28,451	Barloworld Ltd		141,794

Shares		Description	Value ($)
		South Africa — continued
	56,237	Bidvest Group Ltd (The)		717,126
	77,272	Blue Label Telecoms Ltd *		19,096
	3,237	Capitec Bank Holdings Ltd		308,824
	653	Clicks Group Ltd		9,513
	329,955	FirstRand Ltd		1,176,871
	37,663	Foschini Group Ltd (The)		208,029
	57,219	Impala Platinum Holdings Ltd		534,247
	27,974	Investec Ltd		178,977
	52,940	Kumba Iron Ore Ltd		1,380,562
	17,129	Lewis Group Ltd		38,879
	15,058	Metair Investments Ltd		19,686
	25,008	Motus Holdings Ltd		150,854
	32,824	Mr Price Group Ltd		272,212
	65,823	MTN Group Ltd		518,649
	566	Naspers Ltd		99,527
	14,456	Ninety One Ltd		36,249
	222,976	Old Mutual Ltd		144,632
	366,428	Pepkor Holdings Ltd		374,274
	8,062	Raubex Group Ltd		12,489
	75	Reinet Investments SCA		1,485
	20,426	Reunert Ltd		65,979
	257,788	RMB Holdings Ltd		7,303
	19,233	Sanlam Ltd		62,591
	70,941	Sappi Ltd		188,759
	86,672	Sibanye Stillwater Ltd		174,996
	29,700	Sibanye Stillwater Ltd ADR		240,570
	8,741	Telkom SA SOC Ltd *		18,237
	11,682	Thungela Resources Ltd (c)		135,830
	10,735	Thungela Resources Ltd (c)		123,904
	19,261	Tiger Brands Ltd		232,809
	170,369	Truworths International Ltd		548,664
	45,534	Vodacom Group Ltd		313,805
	149,069	Woolworths Holdings Ltd		625,054
	37,545	Zeda Ltd *		24,655
		Total South Africa		12,866,231
		South Korea — 3.0%
	407	BGF retail Co Ltd		55,667
	4,153	BH Co Ltd		74,124
	92,333	BNK Financial Group Inc		467,296
	2,778	Cheil Worldwide Inc		42,001
	2,887	Coway Co Ltd		116,478
	889	Daihan Pharmaceutical Co Ltd		19,771
	6,452	Daou Data Corp		236,495
	2,378	DB HiTek Co Ltd		81,240
	3,404	DB Insurance Co Ltd		198,092
	4,220	DGB Financial Group Inc		25,192
	49,509	Dongwon Development Co Ltd		120,538
	4,705	E-MART Inc		397,995
	13,118	GS Holdings Corp		403,185
	1,832	GS Retail Co Ltd		39,923
	35,576	Hana Financial Group Inc		1,220,159
	1,994	Handsome Co Ltd		38,738

See accompanying notes to the financial statements. 38

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		South Korea — continued
	25,658	Hankook Tire & Technology Co Ltd		721,748
	25,723	HDC Hyundai Development Co-Engineering & Construction *		201,233
	5,348	HMM Co Ltd *		90,986
	13,286	Humasis Co Ltd *		148,543
	3,444	Hyundai Department Store Co Ltd		141,261
	7,747	Hyundai Engineering & Construction Co Ltd		212,893
	5,226	Hyundai Glovis Co Ltd		625,877
	1,022	Hyundai Home Shopping Network Corp		39,790
	10,517	Hyundai Mobis Co Ltd		1,689,281
	1,388	INTOPS Co Ltd		29,394
	16,762	JB Financial Group Co Ltd		117,044
	9,622	KB Financial Group Inc		372,651
	1,500	KB Financial Group Inc ADR		57,795
	3,100	KC Co Ltd		47,251
	75	KCC Corp		13,885
	1,095	KCC Glass Corp		33,637
	87,604	Kia Corp		4,978,546
	564	KIWOOM Securities Co Ltd *		43,952
	187	Korea Investment Holdings Co Ltd *		8,754
	955	Korea Zinc Co Ltd		421,675
	20,967	KT Skylife Co Ltd		126,992
	75,898	KT&G Corp		5,093,058
	5,061	Kumho Petrochemical Co Ltd *		601,781
	2,360	LF Corp		30,935
	7,870	LG Corp		489,657
	28,830	LG Electronics Inc		2,418,138
	7,063	LOTTE Fine Chemical Co Ltd		309,739
	12,827	LX International Corp		303,467
	2,374	LX Semicon Co Ltd		165,621
	289	NCSoft Corp		94,825
	687	NH Investment & Securities Co Ltd *		4,931
	80	NongShim Co Ltd		22,138
	1,396	Orion Corp		131,956
	3,385	POSCO Holdings Inc		815,864
	33,746	POSCO Holdings Inc Sponsored ADR		2,058,169
	2,741	PSK Inc		36,679
	84,701	Samsung Electronics Co Ltd		3,875,485
	1,151	Samsung Electronics Co Ltd GDR (Registered) (a)		1,317,223
	21	Samsung Fire & Marine Insurance Co Ltd		3,406
	1,213	Samsung SDS Co Ltd		114,720
	49	Samyang Foods Co Ltd		4,413
	12,731	SD Biosensor Inc		221,063
	123	Sebang Global Battery Co Ltd		4,818
	5,394	Seegene Inc		99,263
	23,286	Shinhan Financial Group Co Ltd		683,794
	25,209	SK Square Co Ltd *		729,921
	4,311	SL Corp *		88,831
	127,275	Woori Financial Group Inc		1,173,345
	12,429	Woori Technology Investment Co Ltd *		44,581
	7,522	Youngone Corp *		242,192
		Total South Korea		34,840,095

Shares		Description	Value ($)
		Spain — 1.7%
	165,630	Acerinox SA		1,818,747
	3,445	ACS Actividades de Construccion y Servicios SA		104,437
	24,836	Amadeus IT Group SA * (a)		1,561,758
	685,638	Banco Bilbao Vizcaya Argentaria SA		5,329,483
	2,512,627	Banco de Sabadell SA		3,281,982
	613,555	Banco Santander SA		2,415,814
	69,863	Bankinter SA		491,436
	22,565	CaixaBank SA		96,891
	20,409	Cia de Distribucion Integral Logista Holdings SA (a)		492,703
	50,669	Ence Energia y Celulosa SA		193,367
	2,938	Faes Farma SA		10,731
	1,233	Grupo Catalana Occidente SA		40,260
	44,686	Industria de Diseno Textil SA (a)		1,376,629
	3,881	Mediaset Espana Comunicacion SA *		13,520
	118,951	Repsol SA		1,881,191
	7,215	Unicaja Banco SA		9,243
		Total Spain		19,118,192
		Sweden — 0.6%
	14,856	Betsson AB – Class B* (a)		133,410
	147,567	Fastighets AB Balder – B Shares*		729,994
	5,356	Industrivarden AB – A Shares (a)		147,223
	31,008	Industrivarden AB – C Shares (a)		850,136
	40,752	Investor AB – A Shares		835,369
	3,643	Investor AB – B Shares (a)		70,370
	8,047	Inwido AB		89,248
	65,231	Kinnevik AB – Class B*		970,107
	14,504	New Wave Group AB – B Shares		254,438
	25,714	Skanska AB – B Shares		467,326
	212,730	SSAB AB – A Shares		1,546,523
	31,417	SSAB AB – B Shares		214,905
	19,790	Svenska Cellulosa AB SCA – Class B		276,177
		Total Sweden		6,585,226
		Switzerland — 0.8%
	48,472	Adecco Group AG (Registered)		1,728,331
	393	Bobst Group SA (Registered)		28,791
	243	Cie Financiere Richemont SA – Class A (Registered) (a)		36,716
	956	DKSH Holding AG		77,792
	30,350	Logitech International SA (Registered)		1,657,731
	2,157	Mobilezone Holding AG (Registered)		39,796
	574	Roche Holding AG (a)		177,814
	8,204	Roche Holding AG – Genusschein (a)		2,365,532
	28	Swatch Group AG (The) (a)		9,744
	1,980	u-blox Holding AG *		212,515
	103,745	UBS Group AG (Registered) (a)		2,254,922
	1,841	Zurich Insurance Group AG (a)		873,284
		Total Switzerland		9,462,968

39 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Taiwan — 3.9%
	54,560	Acer Inc		45,243
	14,414	Acter Group Corp Ltd		56,590
	3,000	Advantech Co Ltd		34,800
	5,000	Allied Supreme Corp		57,231
	328,650	AmTRAN Technology Co Ltd		114,964
	95,100	ASE Technology Holding Co Ltd ADR (a)		681,867
	11,000	ASROCK Inc		56,937
	268,035	Asustek Computer Inc		2,427,688
	19,000	Aten International Co Ltd		50,766
	8,400	Aurora Corp		22,155
	411,000	Catcher Technology Co Ltd		2,483,687
	546,972	Cathay Financial Holding Co Ltd		775,656
	25,367	Chailease Holding Co Ltd		185,932
	205,000	Chicony Electronics Co Ltd		615,763
	170,000	Chipbond Technology Corp		373,903
	24,000	ChipMOS Technologies Inc		28,564
	4,000	Chlitina Holding Ltd		27,984
	9,280	Chong Hong Construction Co Ltd		23,163
	6,000	Chroma ATE Inc		36,130
	427,000	Compal Electronics Inc		337,693
	63,440	Coretronic Corp		133,671
	50,000	Co-Tech Development Corp		102,234
	3,000	Delta Electronics Inc		28,067
	24,640	Elan Microelectronics Corp		87,227
	397,200	Evergreen Marine Corp Taiwan Ltd		2,029,786
	183,000	Far EasTone Telecommunications Co Ltd		412,930
	91,000	Farglory Land Development Co Ltd		175,847
	6,000	Feng TAY Enterprise Co Ltd		36,144
	22,600	First Financial Holding Co Ltd		19,805
	50,701	FLEXium Interconnect Inc *		163,105
	7,000	Formosa International Hotels Corp		71,699
	176,000	Formosa Plastics Corp		522,468
	147,821	Foxconn Technology Co Ltd		268,812
	828,765	Fubon Financial Holding Co Ltd		1,620,579
	13,080	Fusheng Precision Co Ltd		106,368
	11,560	Getac Technology Corp		18,587
	12,000	Gigabyte Technology Co Ltd		46,467
	4,000	Global Mixed Mode Technology Inc		22,819
	7,000	Gourmet Master Co Ltd		36,122
	265,000	Grand Pacific Petrochemical		172,282
	5,000	Grape King Bio Ltd		29,700
	17,000	Holtek Semiconductor Inc		41,103
	1,640,318	Hon Hai Precision Industry Co Ltd		5,426,174
	69,000	Huaku Development Co Ltd		208,475
	33,687	Innodisk Corp		247,367
	16,109	International Games System Co Ltd		265,415
	34,000	Inventec Corp		29,536
	2,000	King Slide Works Co Ltd		27,276
	63,000	King’s Town Bank Co Ltd		70,284
	31,000	Kung Long Batteries Industrial Co Ltd		142,249
	22,000	Largan Precision Co Ltd		1,581,581
	410,000	Lite-On Technology Corp		932,967
	4,807	Makalot Industrial Co Ltd		33,643
	86,000	MediaTek Inc		2,019,196

Shares		Description	Value ($)
		Taiwan — continued
	5,408	Merry Electronics Co Ltd		15,052
	217,000	Micro-Star International Co Ltd		968,053
	113,000	Mitac Holdings Corp		116,747
	132,280	Nan Ya Plastics Corp		325,465
	77,903	Nantex Industry Co Ltd		110,651
	76,000	Nanya Technology Corp		144,667
	26,000	Nichidenbo Corp		47,893
	6,800	Nien Made Enterprise Co Ltd		72,401
	105,000	Novatek Microelectronics Corp		1,387,638
	45,000	Phison Electronics Corp		512,406
	664,000	Pou Chen Corp		727,575
	14,000	Powertech Technology Inc		40,482
	2,000	Poya International Co Ltd		38,674
	82,000	Primax Electronics Ltd		159,408
	21,000	Quanta Computer Inc		54,967
	207,472	Radiant Opto-Electronics Corp		716,235
	7,000	Raydium Semiconductor Corp		93,824
	235,400	Ruentex Industries Ltd		519,518
	31,760	Shin Zu Shing Co Ltd		92,563
	68,000	Shinkong Insurance Co Ltd		112,417
	31,900	Simplo Technology Co Ltd		308,162
	6,945	Sinmag Equipment Corp		21,906
	28,080	Syncmold Enterprise Corp		56,615
	11,000	T3EX Global Holdings Corp		24,904
	19,000	TaiDoc Technology Corp		117,980
	205,000	Taiwan Semiconductor Manufacturing Co Ltd		3,391,498
	23,742	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		2,067,216
	31,000	Taiwan Union Technology Corp		59,504
	10,000	TCI Co Ltd		69,254
	22,400	Teco Electric and Machinery Co Ltd		22,475
	7,360	Test Research Inc		15,288
	4,000	Thinking Electronic Industrial Co Ltd		18,509
	36,681	TOPBI International Holdings Ltd *		19,606
	4,000	Topkey Corp		28,885
	40,000	Transcend Information Inc		91,924
	59,000	Tripod Technology Corp		202,062
	12,000	TTY Biopharm Co Ltd		30,809
	20,000	Tung Ho Steel Enterprise Corp		38,982
	43,624	United Integrated Services Co Ltd		321,612
	148,000	Universal Inc		116,494
	345,850	Wan Hai Lines Ltd		895,068
	130,000	Winbond Electronics Corp		97,324
	635,000	Wistron Corp		688,008
	116,000	WPG Holdings Ltd		187,504
	1,186,000	Yang Ming Marine Transport Corp		2,496,256
	1,416,000	Yuanta Financial Holding Co Ltd		1,052,869
	6,000	Yulon Nissan Motor Co Ltd		40,060
	9,669	Zeng Hsing Industrial Co Ltd		38,714
	79,000	Zhen Ding Technology Holding Ltd		289,195
		Total Taiwan		44,632,020

See accompanying notes to the financial statements. 40

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Thailand — 0.8%
	2,229,700	AP Thailand Pcl NVDR		782,002
	432,400	Bangkok Bank Pcl NVDR		2,000,012
	105,200	Bangkok Dusit Medical Services Pcl NVDR		83,328
	81,300	Central Retail Corp Pcl NVDR		102,869
	32,300	CP ALL Pcl (Foreign Registered)		56,651
	34,600	CP ALL Pcl NVDR		60,685
	69,100	GFPT Pcl NVDR		23,854
	10,300	Kasikornbank Pcl (Foreign Registered)		39,918
	317,700	Kasikornbank Pcl NVDR		1,231,243
	6,513,600	Krung Thai Bank Pcl NVDR		3,188,125
	53,632	Pruksa Holding Pcl NVDR		20,484
	73,000	PTG Energy Pcl NVDR		28,911
	167,100	PTT Exploration & Production Pcl NVDR		707,241
	36,600	Regional Container Lines Pcl NVDR		32,347
	3,163,500	Sansiri Pcl NVDR		170,918
	141,300	Somboon Advance Technology Pcl NVDR		82,351
	154,700	Sri Trang Gloves Thailand Pcl NVDR		48,568
	23,760	Supalai Pcl (Foreign Registered)		15,325
	91,100	Thai Oil Pcl NVDR		129,914
	88,000	Thai Vegetable Oil Pcl NVDR		69,722
		Total Thailand		8,874,468
		Turkey — 0.7%
	2,366,101	Akbank TAS		2,187,876
	7,422	Arcelik AS		46,851
	234,134	Aselsan Elektronik Sanayi Ve Ticaret AS		683,462
	15,360	Dogus Otomotiv Servis ve Ticaret AS		137,402
	11,131	Enerjisa Enerji AS		18,951
	629,490	Haci Omer Sabanci Holding AS		1,452,412
	158,444	KOC Holding AS		648,992
	88,740	Turkcell Iletisim Hizmetleri AS		149,593
	291,727	Turkiye Garanti Bankasi AS		359,025
	83,462	Turkiye Is Bankasi AS – Class C		50,089
	249,998	Turkiye Sinai Kalkinma Bankasi AS *		52,432
	213,634	Vestel Beyaz Esya Sanayi ve Ticaret AS		139,553
	3,628,983	Yapi ve Kredi Bankasi AS		1,923,176
		Total Turkey		7,849,814
		United Arab Emirates — 0.0%
	481,607	Abu Dhabi National Oil Co for Distribution PJSC		565,875
		United Kingdom — 3.5%
	143,519	3i Group Plc (a)		2,807,840
	3,173	AG Barr Plc		21,219
	26,016	BAE Systems Plc (a)		280,978
	91,851	Balfour Beatty Plc		403,236
	4,859	Bank of Georgia Group Plc		163,620
	42,912	Barclays Plc		90,055
	416,276	Barratt Developments Plc		2,340,501
	33,313	Bellway Plc		888,133
	51,469	Berkeley Group Holdings Plc (The)		2,590,879
	66,900	BP Plc Sponsored ADR (a)		2,649,240

Shares		Description	Value ($)
		United Kingdom — continued
	46,744	British American Tobacco Plc (a)		1,769,062
	23,400	British American Tobacco Plc Sponsored ADR (a)		890,604
	1,572,312	BT Group Plc (a)		2,635,910
	10,720	Bunzl Plc		381,963
	11,572	Burberry Group Plc		343,625
	550,572	Centrica Plc (a)		694,786
	394	Clarkson Plc (a)		15,647
	8,058	Coats Group Plc		7,098
	75,906	Coca-Cola HBC AG *		1,943,908
	102,927	Compass Group Plc (a)		2,377,797
	26,649	Crest Nicholson Holdings Plc		78,314
	829	EMIS Group Plc (a)		18,662
	23,265	Evraz Plc (d)		573
	182,942	Ferrexpo Plc		324,173
	1,720	Galliford Try Holdings Plc		3,635
	47,800	Haleon Plc ADR * (a)		376,664
	26,552	Halfords Group Plc		67,156
	3,700	HSBC Holdings Plc Sponsored ADR (a)		141,747
	87,165	IG Group Holdings Plc		841,464
	79,804	Imperial Brands Plc (a)		1,922,579
	20,749	International Personal Finance Plc		24,076
	99,947	Investec Plc		636,568
	4,789	Keller Group Plc		46,556
	381,188	Kingfisher Plc		1,318,284
	118,259	Legal & General Group Plc (a)		364,013
	72,896	Lloyds Banking Group Plc		46,036
	167,481	M&G Plc		431,359
	13,089	Morgan Advanced Materials Plc		48,720
	6,762	Morgan Sindall Group Plc		145,985
	81,997	OSB Group Plc		550,181
	9,042	Paragon Banking Group Plc		64,836
	51,109	Persimmon Plc		891,273
	53,747	Plus500 Ltd		1,159,415
	35,451	Redde Northgate Plc (a)		172,466
	84,758	Redrow Plc		520,865
	113,387	S4 Capital Plc *		279,496
	35,708	Serica Energy Plc		111,217
	51,111	Shell Plc (a)		1,548,069
	36,063	Spirent Communications Plc		92,262
	18,260	Standard Chartered Plc		172,780
	470,165	Taylor Wimpey Plc		695,486
	3,340	TBC Bank Group Plc		99,660
	19,589	Unilever Plc (a)		975,287
	11,263	Vesuvius Plc		55,883
	146,247	Vodafone Group Plc Sponsored ADR (a)		1,750,577
	63,748	WPP Plc (a)		784,048
		Total United Kingdom		40,056,466
		United States — 17.6%
	12,800	3M Co. (a)		1,379,072
	600	Adtalem Global Education, Inc. * (a)		23,472
	6,669	ADTRAN Holdings, Inc.		116,374
	500	AGCO Corp. (a)		70,405

41 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		United States — continued
	700	Alliance Data Systems Corp.		28,749
	200	Allison Transmission Holdings, Inc.		9,500
	60,800	Ally Financial, Inc.		1,827,040
	14,483	Alphabet, Inc. – Class A* (a)		1,304,339
	2,600	Alphabet, Inc. – Class C* (a)		234,780
	10,042	American Express Co. (a)		1,747,208
	4,000	Applied Materials, Inc. (a)		464,600
	18,700	Arrow Electronics, Inc. *		2,206,413
	900	Aspen Technology, Inc. * (a)		190,809
	92,100	AT&T, Inc. (a)		1,741,611
	1,100	Atkore, Inc. *		160,622
	400	AutoNation, Inc. *		54,604
	1,800	Avnet, Inc.		80,478
	45,500	Bank of America Corp. (a)		1,560,650
	11,800	Bank of New York Mellon Corp. (The) (a)		600,384
	19,300	Best Buy Co., Inc. (a)		1,604,023
	5,800	Biogen, Inc. *		1,565,188
	3,700	Bio-Rad Laboratories, Inc. – Class A*		1,768,008
	738	Booking Holdings, Inc. * (a)		1,862,712
	80,723	BorgWarner, Inc.		4,058,752
	14,200	Bristol-Myers Squibb Co. (a)		979,232
	1,800	Brunswick Corp.		157,356
	6,100	Cabot Oil & Gas Corp.		152,317
	19,600	Capital One Financial Corp. (a)		2,137,968
	5,110	CarMax, Inc. * (a)		352,794
	44,000	Carrier Global Corp. (a)		1,981,320
	1,500	Carter’s, Inc.		113,085
	19,300	CBRE Group, Inc. – Class A* (a)		1,643,202
	30,700	Centene Corp. * (a)		2,099,880
	13,188	Chevron Corp. (a)		2,120,235
	3,000	Cigna Group (The) (a)		876,300
	24,100	Cisco Systems, Inc. (a)		1,166,922
	54,900	Citigroup, Inc. (a)		2,782,881
	4,900	Citizens Financial Group, Inc.		204,624
	96,500	Cleveland-Cliffs, Inc. * (a)		2,058,345
	28,400	Cognizant Technology Solutions Corp. – Class A (a)		1,778,692
	71,700	Comcast Corp. – Class A (a)		2,665,089
	6,800	ConocoPhillips (a)		702,780
	11,500	Crowdstrike Holdings, Inc. – Class A* (a)		1,387,935
	600	Cummins, Inc. (a)		145,848
	26,800	CVS Health Corp. (a)		2,238,872
	24,104	Darling Ingredients, Inc. *		1,525,060
	38,000	Dell Technologies, Inc. – Class C (a)		1,544,320
	10,300	Discover Financial Services (a)		1,153,600
	123,300	DISH Network Corp. – Class A*		1,406,853
	24,700	DR Horton, Inc. (a)		2,284,256
	2,300	DXC Technology Co. * (a)		63,802
	50,600	eBay, Inc. (a)		2,322,540
	1,200	Elevance Health, Inc. (a)		563,604
	900	Encore Wire Corp.		173,709
	19,349	EOG Resources, Inc.		2,186,824
	18,600	Exxon Mobil Corp. (a)		2,044,326
	7,200	FedEx Corp. (a)		1,463,184

Shares		Description	Value ($)
		United States — continued
	2,400	Ferguson Plc (a)		345,840
	54,300	Fidelity National Financial, Inc.		2,164,398
	13,900	Flex Ltd. *		316,364
	5,300	Foot Locker, Inc.		231,716
	210,300	Ford Motor Co. (a)		2,538,321
	26,194	Fortune Brands Innovations, Inc.		1,622,718
	5,900	Fox Corp. – Class A (a)		206,618
	59,000	Fox Corp. – Class B (a)		1,902,750
	55,000	Franklin Resources, Inc. (a)		1,620,850
	7,600	Gap, Inc. (The)		98,876
	2,300	Garmin Ltd.		225,699
	3,041	Generac Holdings, Inc. *		364,950
	67,700	General Motors Co.		2,622,698
	11,400	Gilead Sciences, Inc. (a)		918,042
	3,000	Goldman Sachs Group, Inc. (The) (a)		1,054,950
	100	Graham Holdings Co. – Class B (a)		62,666
	17,379	Green Plains, Inc. *		602,530
	200	Group 1 Automotive, Inc.		44,214
	6,800	H&R Block, Inc. (a)		250,240
	28,600	Hanesbrands, Inc.		162,448
	1,700	Hartford Financial Services Group, Inc. (The) (a)		133,076
	2,100	Hasbro, Inc.		115,521
	1,200	Henry Schein, Inc. * (a)		93,972
	26,800	Hewlett Packard Enterprise Co.		418,348
	9,949	Hilton Worldwide Holdings, Inc. (a)		1,437,730
	700	HNI Corp.		21,875
	82,700	HP, Inc.		2,441,304
	28,400	Huntington Bancshares, Inc.		435,088
	4,200	Huntsman Corp.		123,228
	22,300	Incyte Corp. *		1,716,654
	123,800	Intel Corp. (a)		3,086,334
	16,392	Intercontinental Exchange, Inc. (a)		1,668,706
	22,500	International Business Machines Corp. (a)		2,909,250
	45,500	Invesco Ltd.		803,530
	12,700	Janus Henderson Group Plc		348,742
	11,800	Jazz Pharmaceuticals Plc *		1,656,720
	1,300	Jefferies Financial Group, Inc.		49,127
	5,600	Johnson & Johnson (a)		858,256
	13,200	JPMorgan Chase & Co. (a)		1,892,220
	4,400	KeyCorp.		80,476
	105,600	Kinder Morgan, Inc. (a)		1,801,536
	18,500	Knight-Swift Transportation Holdings, Inc. (a)		1,051,540
	8,900	Kohl’s Corp.		249,556
	50,900	Kraft Heinz Co. (The) (a)		1,982,046
	4,800	Kroger Co. (The) (a)		207,072
	4,400	Kulicke & Soffa Industries, Inc.		234,520
	8,800	Laboratory Corp. of America Holdings (a)		2,106,368
	1,870	Lam Research Corp. (a)		908,839
	25,773	Las Vegas Sands Corp. * (a)		1,481,174
	2,700	La-Z-Boy, Inc.		87,426
	900	Lear Corp.		125,685
	22,300	Lennar Corp. – Class A (a)		2,157,302

See accompanying notes to the financial statements. 42

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		United States — continued
	2,300	Liberty Global Plc – Class A*		47,127
	14,300	Liberty Global Plc – Class C*		303,875
	33,700	Lincoln National Corp.		1,068,964
	400	Lithia Motors, Inc.		102,072
	442,028	Lumen Technologies, Inc.		1,502,895
	19,100	LyondellBasell Industries NV – Class A (a)		1,833,409
	11,100	Macy’s, Inc.		227,106
	3,600	ManpowerGroup, Inc.		305,568
	800	Marcus & Millichap, Inc.		27,496
	1,100	Markel Corp. * (a)		1,462,846
	5,700	Match Group, Inc. * (a)		236,094
	500	Matson, Inc. (a)		33,255
	6,300	Medtronic Plc (a)		521,640
	8,500	Merck & Co., Inc. (a)		903,040
	32,367	Meta Platforms, Inc. – Class A* (a)		5,662,283
	8,900	MetLife, Inc. (a)		638,397
	60,793	Micron Technology, Inc. (a)		3,515,051
	14,100	Mohawk Industries, Inc. *		1,450,185
	36,700	Molson Coors Brewing Co. – Class B (a)		1,952,073
	32,517	Mosaic Co. (The) (a)		1,729,579
	1,400	Nordstrom, Inc.		27,272
	3,600	Northern Trust Corp. (a)		342,972
	42,100	NRG Energy, Inc. (a)		1,380,459
	10,900	Nucor Corp. (a)		1,825,096
	34,100	Occidental Petroleum Corp.		1,996,896
	3,300	Oracle Corp. (a)		288,420
	10,795	Otis Worldwide Corp. (a)		913,473
	20,386	Ovintiv, Inc.		871,909
	3,700	Owens Corning		361,823
	98,400	Paramount Global – Class B (a)		2,107,728
	25,200	PayPal Holdings, Inc. * (a)		1,854,720
	35,400	Pfizer, Inc. (a)		1,436,178
	1,600	Phillips 66		164,096
	3,000	PNC Financial Services Group, Inc.		473,760
	3,700	Principal Financial Group, Inc. (a)		331,372
	25,200	Prudential Financial, Inc. (a)		2,520,000
	37,000	PulteGroup, Inc. (a)		2,022,790
	4,800	PVH Corp.		385,152
	9,700	QUALCOMM, Inc. (a)		1,198,241
	11,100	Radian Group, Inc.		236,985
	200	Ralph Lauren Corp.		23,638
	18,787	Raytheon Technologies Corp. (a)		1,842,817
	3,500	Regeneron Pharmaceuticals, Inc. * (a)		2,661,470
	18,600	Regions Financial Corp.		433,752
	1,500	Reliance Steel & Aluminum Co. (a)		371,760
	7,900	Resolute Forest Products, Inc. *		173,285
	14,100	Samsonite International SA *		39,571
	2,200	Schneider National, Inc. – Class B (a)		61,732
	15,105	Sensata Technologies Holding Plc		764,011
	7,900	Skyworks Solutions, Inc.		881,403
	6,000	SS&C Technologies Holdings, Inc. (a)		352,200
	700	Stanley Black & Decker, Inc.		59,927
	6,000	State Street Corp. (a)		532,080
	17,000	Steel Dynamics, Inc. (a)		2,143,870

Shares		Description	Value ($)
		United States — continued
	1,700	Stewart Information Services Corp.		72,233
	62,400	Synchrony Financial (a)		2,228,304
	2,000	Tapestry, Inc.		87,020
	4,500	Taylor Morrison Home Corp. – Class A*		161,235
	13,400	Textron, Inc. (a)		971,902
	1,400	TRI Pointe Homes, Inc. *		33,376
	7,400	Truist Financial Corp.		347,430
	35,900	Tyson Foods, Inc. – Class A (a)		2,126,716
	400	Universal Corp.		20,236
	12,100	Universal Health Services, Inc. – Class B (a)		1,616,197
	2,400	Unum Group		106,920
	35,423	US Bancorp		1,690,740
	200	USANA Health Sciences, Inc. *		12,156
	89,200	Verizon Communications, Inc. (a)		3,461,852
	4,800	Vertex Pharmaceuticals, Inc. * (a)		1,393,392
	2,100	VF Corp.		52,122
	189,900	Viatris, Inc.		2,164,860
	45,100	Walgreens Boots Alliance, Inc. (a)		1,602,403
	48,048	Warner Bros Discovery, Inc. * (a)		750,510
	44,200	Wells Fargo & Co. (a)		2,067,234
	141,200	Western Union Co. (The) (a)		1,829,952
	35,300	Western Digital Corp. *		1,358,344
	13,100	Westlake Corp.		1,560,734
	11,700	Whirlpool Corp.		1,614,366
	200	Williams-Sonoma, Inc.		24,984
	3,200	Xerox Holdings Corp.		52,768
	2,700	Zions Bancorp NA		136,674
	26,100	Zoom Video Communications, Inc. – Class A* (a)		1,946,799
		Total United States		203,272,929
		Vietnam — 0.2%
	229,000	Duc Giang Chemicals JSC		482,718
	21,900	IDICO Corp JSC		35,396
	237,500	SSI Securities Corp		182,433
	172,600	Vietnam Dairy Products JSC		548,551
	368,700	Vietnam Joint Stock Commercial Bank for Industry and Trade *		425,112
	1,233,600	VNDirect Securities Corp		698,340
		Total Vietnam		2,372,550
		TOTAL COMMON STOCKS (COST $905,796,269)		816,471,649
		PREFERRED STOCKS (g) — 1.6%
		Brazil — 1.1%
	100	Banco do Estado do Rio Grande do Sul SA – Class B		191
	212,717	Bradespar SA		1,123,829
	266,099	Cia Energetica de Minas Gerais		532,661
	52,100	Cia Energetica de Minas Gerais Sponsored ADR (a)		101,595
	2,200	Cia Ferro Ligas da Bahia		24,141
	569,300	Cia Paranaense de Energia – Class B		766,613

43 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares / Par Value†		Description	Value ($)
		Brazil — continued
	229,000	Gerdau SA		1,252,284
	261,667	Gerdau SA Sponsored ADR		1,431,318
	164,700	Itau Unibanco Holding SA Sponsored ADR		792,207
	156,300	Itausa SA		245,700
	93,200	Metalurgica Gerdau SA		223,946
	524,500	Petroleo Brasileiro SA		2,528,604
	291,100	Petroleo Brasileiro SA Sponsored ADR		2,841,136
	4,000	Unipar Carbocloro SA – Class B		60,579
		Total Brazil		11,924,804
		Chile — 0.1%
	11,600	Sociedad Quimica y Minera de Chile SA
		Sponsored ADR		1,029,500
		Colombia — 0.0%
	297,879	Grupo Aval Acciones y Valores SA		33,101
		Germany — 0.2%
	13,833	Bayerische Motoren Werke AG		1,310,205
	2,245	Draegerwerk AG & Co KGaA (a)		97,903
	512	Villeroy & Boch AG		10,747
	8,751	Volkswagen AG (a)		1,191,235
		Total Germany		2,610,090
		Russia — 0.0%
	12,924	Bashneft PJSC (d)		1,390
	56,000	Nizhnekamskneftekhim PJSC (d)		637
	20,810	Sberbank of Russia PJSC * (d) (f)		464
	9,254,300	Surgutneftegas PJSC (d)		34,317
	161	Transneft PJSC (d)		1,963
		Total Russia		38,771
		South Korea — 0.2%
	2,160	Hyundai Motor Co GDR (Registered)		75,608
	2,725	LG Electronics Inc		97,705
	55,756	Samsung Electronics Co Ltd		2,248,307
	89	Samsung Electronics Co Ltd GDR (Registered)		90,331
		Total South Korea		2,511,951
		Taiwan — 0.0%
	10,589	Chailease Holding Co Ltd		34,592
		TOTAL PREFERRED STOCKS (COST $24,093,609)		18,182,809
		DEBT OBLIGATIONS — 20.6%
		United States — 20.6%
		U.S. Government — 17.7%
	77,400,000	U.S. Treasury Note, 0.13%, due 04/30/23		76,797,065
	7,000,000	U.S. Treasury Note, 0.13%, due 05/31/23		6,917,159
	13,700,000	U.S. Treasury Note, 0.13%, due 06/30/23		13,482,726

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	1,000,000	U.S. Treasury Note, 0.13%, due 07/31/23		979,883
	43,725,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 10/31/23		43,712,517
	32,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.73%, due 04/30/24		31,951,530
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 07/31/24 (a)		29,989,727
		Total U.S. Government		203,830,607
		U.S. Government Agency — 2.9%
	16,000,000	Federal Home Loan Banks, 5.23%, due 03/22/24		16,007,243
	9,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 4.65%, due 09/04/24		9,500,000
	8,000,000	Federal Home Loan Banks, SOFR + 0.03%, 4.58%, due 06/07/23		7,999,986
		Total U.S. Government Agency		33,507,229
		Total United States		237,337,836
		TOTAL DEBT OBLIGATIONS (COST $238,084,846)		237,337,836
		MUTUAL FUNDS — 24.9%
		United States — 24.9%
		Affiliated Issuers — 24.9%
	4,706,698	GMO Emerging Country Debt Fund, Class VI		83,120,284
	3,809,610	GMO High Yield Fund, Class VI		63,734,779
	2,847,952	GMO Opportunistic Income Fund, Class VI		68,635,629
	1,645,883	GMO Resources Fund		41,081,249
	1,023,784	GMO SGM Major Markets Fund, Class VI		29,075,472
	246,586	GMO U.S. Treasury Fund (h)		1,230,461
		Total Affiliated Issuers		286,877,874
		TOTAL MUTUAL FUNDS (COST $325,645,034)		286,877,874
		SHORT-TERM INVESTMENTS — 8.2%
		Money Market Funds — 0.2%
	2,997,967	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (i)		2,997,967

See accompanying notes to the financial statements. 44

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Repurchase Agreements — 8.0%
	91,999,073	Nomura Securities International, Inc. Repurchase Agreement, dated 02/28/23, maturing on 03/01/23 with a maturity value of $92,010,598 and an effective yield of 4.51%, collateralized by a U.S. Treasury Note with maturity date 12/31/29 and a market value of $93,876,605.		91,999,073
		TOTAL SHORT-TERM INVESTMENTS (COST $94,997,040)		94,997,040
		TOTAL INVESTMENTS — 126.1% (Cost $1,588,616,798)		1,453,867,208
		SECURITIES SOLD SHORT — (20.3)%
		Common Stocks — (20.2)%
		Australia — (0.5)%
	(29,801)	ASX Ltd		(1,361,199	)
	(6,255)	Cochlear Ltd		(932,775	)
	(36,815)	IDP Education Ltd		(707,996	)
	(590,364)	Pilbara Minerals Ltd*		(1,645,089	)
	(166,314)	Qantas Airways Ltd*		(715,317	)
	(18,702)	Ramsay Health Care Ltd		(847,890	)
		Total Australia		(6,210,266	)
		Austria — (0.1)%
	(18,499)	Verbund AG		(1,599,838	)
		Belgium — (0.2)%
	(33,223)	Anheuser-Busch InBev SA/NV		(2,015,259	)
		Canada — (1.2)%
	(25,742)	Agnico Eagle Mines Ltd		(1,184,904	)
	(19,500)	Algonquin Power & Utilities Corp		(148,785	)
	(83,200)	AltaGas Ltd		(1,428,028	)
	(43,400)	Brookfield Renewable Corp – Class A		(1,208,690	)
	(50,034)	Enbridge Inc		(1,877,276	)
	(14,602)	Franco-Nevada Corp		(1,862,777	)
	(104,930)	Pan American Silver Corp		(1,559,260	)
	(57,400)	Pembina Pipeline Corp		(1,885,016	)
	(28,600)	Restaurant Brands International Inc		(1,844,414	)
	(7,200)	Ritchie Bros Auctioneers Inc		(440,424	)
		Total Canada		(13,439,574	)
		Denmark — (0.1)%
	(1,368)	Coloplast A/S – Class B		(158,067	)
	(38,136)	Tryg A/S		(844,844	)
		Total Denmark		(1,002,911	)
		Finland — (0.0)%
	(9,105)	Elisa Oyj		(517,056	)

Shares		Description	Value ($)
		France — (0.7)%
	(54,333)	Accor SA*		(1,803,274	)
	(10,110)	Aeroports de Paris*		(1,464,853	)
	(291)	Euronext NV		(21,226	)
	(101,611)	Getlink SE		(1,706,540	)
	(1,217)	Hermes International		(2,202,931	)
	(1,109)	Sartorius Stedim Biotech		(361,198	)
	(2,638)	Ubisoft Entertainment SA*		(57,838	)
		Total France		(7,617,860	)
		Germany — (0.9)%
	(42,487)	Delivery Hero SE*		(1,707,367	)
	(7,713)	Deutsche Boerse AG		(1,344,946	)
	(6,440)	MTU Aero Engines AG		(1,554,120	)
	(11,244)	Puma SE		(715,731	)
	(1,440)	Rational AG		(955,141	)
	(16,386)	Symrise AG – Class A		(1,674,146	)
	(483,048)	Telefonica Deutschland Holding AG		(1,465,295	)
	(8,430)	Zalando SE*		(333,997	)
		Total Germany		(9,750,743	)
		Ireland — (0.0)%
	(2,893)	Flutter Entertainment Plc*		(462,335	)
		Israel — (0.2)%
	(12,800)	CyberArk Software Ltd*		(1,853,056	)
	(4,400)	Wix.com Ltd*		(398,332	)
		Total Israel		(2,251,388	)
		Italy — (0.6)%
	(46,681)	Amplifon SPA		(1,349,784	)
	(6,763)	Ferrari NV (c)		(1,754,635	)
	(1,800)	Ferrari NV (c)		(468,666	)
	(118,456)	FinecoBank Banca Fineco SPA		(2,046,975	)
	(148,767)	Infrastrutture Wireless Italiane SPA		(1,637,341	)
		Total Italy		(7,257,401	)
		Japan — (2.1)%
	(43,500)	Aeon Co Ltd		(811,356	)
	(78,900)	ANA Holdings Inc*		(1,600,768	)
	(57,400)	Asahi Intecc Co Ltd		(977,295	)
	(16,800)	GMO Payment Gateway Inc		(1,379,880	)
	(77,300)	Japan Airlines Co Ltd*		(1,455,552	)
	(46,900)	Japan Exchange Group Inc		(699,495	)
	(25,400)	Keio Corp		(884,992	)
	(17,800)	Keisei Electric Railway Co Ltd		(514,530	)
	(10,600)	Lasertec Corp		(1,723,511	)
	(7,500)	LIXIL Corp		(119,567	)
	(58,500)	M3 Inc		(1,395,062	)
	(105,600)	MonotaRO Co Ltd		(1,436,303	)
	(2,100)	Nidec Corp		(106,574	)
	(73,200)	Nihon M&A Center Holdings Inc		(610,314	)
	(100,700)	Nippon Paint Holdings Co Ltd		(879,968	)
	(78,100)	Odakyu Electric Railway Co Ltd		(946,792	)

45 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Japan — continued
	(13,100)	Oriental Land Co Ltd		(2,091,873	)
	(323,600)	Rakuten Group Inc		(1,595,083	)
	(22,400)	Shiseido Co Ltd		(1,032,137	)
	(167,500)	SoftBank Corp		(1,889,561	)
	(27,100)	Tobu Railway Co Ltd		(605,035	)
	(71,800)	Tokyu Corp		(864,973	)
	(21,600)	West Japan Railway Co		(838,362	)
		Total Japan		(24,458,983	)
		Netherlands — (0.5)%
	(1,302)	Adyen NV*		(1,845,493	)
	(8,869)	IMCD NV		(1,403,883	)
	(48,387)	Just Eat Takeaway.com NV*		(1,052,432	)
	(544)	OCI NV		(18,070	)
	(80,195)	Universal Music Group NV		(1,889,502	)
		Total Netherlands		(6,209,380	)
		New Zealand — (0.1)%
	(30,206)	Xero Ltd*		(1,573,242	)
		Norway — (0.2)%
	(63,486)	Aker BP ASA		(1,704,004	)
		Peru — (0.2)%
	(25,120)	Southern Copper Corp		(1,851,093	)
		Russia — (0.0)%
	(1,138)	Magnit PJSC* (d)		(694	)
		Singapore — (0.2)%
	(281,196)	Grab Holdings Ltd – Class A*		(902,639	)
	(161,700)	Singapore Exchange Ltd		(1,044,316	)
		Total Singapore		(1,946,955	)
		Spain — (0.3)%
	(53,528)	Cellnex Telecom SA		(2,008,303	)
	(69,506)	Ferrovial SA		(1,929,199	)
		Total Spain		(3,937,502	)
		Sweden — (0.2)%
	(14,159)	Evolution AB		(1,708,519	)
		Switzerland — (0.3)%
	(8)	Chocoladefabriken Lindt & Spruengli AG		(87,645	)
	(2)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(221,544	)
	(1,248)	Partners Group Holding AG		(1,181,773	)
	(2,048)	Sika AG (Registered)		(574,310	)
	(10,413)	Straumann Holding AG (Registered)		(1,380,511	)
		Total Switzerland		(3,445,783	)
		United Kingdom — (1.1)%
	(10,994)	Admiral Group Plc		(290,923	)

Shares		Description	Value ($)
		United Kingdom — continued
	(177,676)	Auto Trader Group Plc		(1,270,753	)
	(13,939)	Halma Plc		(362,783	)
	(104,068)	Hargreaves Lansdown Plc		(1,036,930	)
	(258,928)	Informa Plc		(2,079,980	)
	(25,638)	InterContinental Hotels Group Plc		(1,728,290	)
	(21,401)	London Stock Exchange Group Plc		(1,909,434	)
	(180,555)	Ocado Group Plc*		(1,193,110	)
	(4,042)	Prudential Plc		(61,774	)
	(1,292,469)	Rolls-Royce Holdings Plc*		(2,251,866	)
	(3,857)	Spirax-Sarco Engineering Plc		(541,681	)
		Total United Kingdom		(12,727,524	)
		United States — (10.5)%
	(75,100)	AES Corp. (The)		(1,853,468	)
	(10,200)	Alnylam Pharmaceuticals, Inc.*		(1,952,790	)
	(41,900)	Altria Group, Inc.		(1,945,417	)
	(5,400)	American Tower Corp. (REIT)		(1,069,254	)
	(3,300)	Aon Plc – Class A		(1,003,365	)
	(14,300)	Aramark		(526,240	)
	(22,776)	Ares Management Corp. – Class A		(1,836,429	)
	(10,700)	Arthur J Gallagher & Co.		(2,004,645	)
	(300)	Autodesk, Inc.*		(59,607	)
	(18,196)	Bills Holdings, Inc.*		(1,539,927	)
	(16,000)	Bio-Techne Corp.		(1,162,240	)
	(10,600)	Boeing Co. (The)*		(2,136,430	)
	(3,000)	Broadcom, Inc.		(1,782,870	)
	(9,000)	Burlington Stores, Inc.*		(1,928,250	)
	(41,300)	Caesars Entertainment, Inc.*		(2,096,388	)
	(27,900)	Ceridian HCM Holding, Inc.*		(2,034,747	)
	(1,300)	Chipotle Mexican Grill, Inc. – Class A*		(1,938,404	)
	(96,150)	Clarivate Plc*		(974,000	)
	(33,400)	Cloudflare, Inc. – Class A*		(2,004,334	)
	(2,900)	Crown Castle, Inc. (REIT)		(379,175	)
	(48,200)	Delta Air Lines, Inc.*		(1,847,988	)
	(16,600)	Dexcom, Inc.*		(1,842,766	)
	(14,000)	Diamondback Energy, Inc.		(1,968,120	)
	(13,000)	Equity LifeStyle Properties, Inc. (REIT)		(890,630	)
	(500)	Erie Indemnity Co. – Class A		(117,695	)
	(11,000)	Essential Utilities, Inc.		(470,580	)
	(30,400)	Exact Sciences Corp.*		(1,894,832	)
	(21,200)	Fastenal Co.		(1,093,072	)
	(30,900)	Fortinet, Inc.*		(1,836,696	)
	(5,200)	Gartner, Inc.*		(1,704,612	)
	(8,900)	Hess Corp.		(1,198,830	)
	(5,500)	HubSpot, Inc.*		(2,127,730	)
	(4,200)	IDEXX Laboratories, Inc.*		(1,987,608	)
	(19,200)	Ingersoll Rand, Inc.		(1,114,944	)
	(6,900)	Insulet Corp.*		(1,906,884	)
	(8,700)	IQVIA Holdings, Inc.*		(1,813,689	)
	(20,500)	Iron Mountain, Inc. (REIT)		(1,081,375	)
	(11,405)	Lamb Weston Holdings, Inc.		(1,147,799	)
	(30,400)	Liberty Media Corp.-Liberty Formula One – Class C*		(2,063,248	)
	(6,100)	Linde Plc		(2,125,057	)

See accompanying notes to the financial statements. 46

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		United States — continued
	(27,800)	Live Nation Entertainment, Inc.*		(2,003,268	)
	(5,700)	MarketAxess Holdings, Inc.		(1,946,265	)
	(9,600)	MongoDB, Inc. – Class A*		(2,011,392	)
	(2,200)	Monolithic Power Systems, Inc.		(1,065,438	)
	(2,800)	Moody’s Corp.		(812,420	)
	(3,800)	MSCI, Inc. – Class A		(1,984,170	)
	(34,826)	Newmont Corp.		(1,518,762	)
	(61,100)	NiSource, Inc.		(1,675,973	)
	(21,535)	Novocure Ltd.*		(1,657,549	)
	(28,600)	Okta, Inc.*		(2,038,894	)
	(26,700)	ONEOK, Inc.		(1,747,515	)
	(144,900)	Palantir Technologies, Inc. – Class A*		(1,136,016	)
	(13,300)	Paychex, Inc.		(1,468,320	)
	(600)	Paylocity Holding Corp.*		(115,566	)
	(19,300)	Philip Morris International, Inc.		(1,877,890	)
	(1,500)	PTC, Inc.*		(187,995	)
	(100)	Repligen Corp.*		(17,437	)
	(54,800)	ROBLOX Corp. – Class A*		(2,007,872	)
	(24,300)	Roku, Inc.*		(1,571,967	)
	(48,279)	Rollins, Inc.		(1,699,421	)
	(30,200)	Royal Caribbean Cruises Ltd.*		(2,133,328	)
	(10,100)	Seagen, Inc.*		(1,814,869	)
	(4,300)	ServiceNow, Inc.*		(1,858,331	)
	(6,300)	Sherwin-Williams Co. (The)		(1,394,505	)
	(8,200)	Simon Property Group, Inc. (REIT)		(1,001,138	)
	(8,400)	Snowflake, Inc. – Class A*		(1,296,792	)
	(18,300)	Starbucks Corp.		(1,868,247	)
	(5,400)	Sysco Corp.		(402,678	)
	(11,449)	Tesla, Inc.*		(2,355,174	)
	(39,303)	Toast, Inc. – Class A*		(743,613	)
	(29,000)	Trade Desk, Inc. (The) – Class A*		(1,622,840	)
	(2,700)	TransDigm Group, Inc.		(2,008,449	)
	(29,500)	Twilio, Inc. – Class A*		(1,982,695	)
	(61,644)	Uber Technologies, Inc.*		(2,050,279	)
	(19,800)	UDR, Inc. (REIT)		(848,232	)
	(6,700)	Vail Resorts, Inc.		(1,564,383	)
	(1,900)	Vulcan Materials Co.		(343,729	)
	(64,800)	Williams Cos., Inc. (The)		(1,950,480	)
	(27,400)	Wolfspeed, Inc.*		(2,027,052	)
	(14,956)	Zillow Group, Inc. – Class C*		(628,152	)
	(15,800)	Zscaler, Inc.*		(2,072,170	)
		Total United States		(120,973,401	)
		TOTAL COMMON STOCKS (PROCEEDS $238,775,577)		(232,661,711	)

Shares		Description	Value ($)
		PREFERRED STOCKS (g) — (0.1)%
		Germany — (0.1)%
	(3,871)	Sartorius AG		(1,644,276	)
		TOTAL PREFERRED STOCKS (PROCEEDS $1,577,400)		(1,644,276	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $240,352,977)		(234,305,987	)
		Other Assets and Liabilities (net) — (5.8%)		(66,848,620	)
		TOTAL NET ASSETS — 100.0%	$	1,152,712,601

Additional information on each restricted security is as follows:

					Value as a
					Percentage			Value as of
Issuer	Acquisition		Acquisition		of Fund’s			February 28,
Description	Date		Cost		Net Assets			2023
Alrosa PJSC		12/06/17	$	4,239,436		0.0	%	$	24,494
Magnitogorsk Iron & Steel Works PJSC		09/08/17		1,550,653		0.0	%		9,730
PhosAgro PJSC GDR		12/03/20		1,365		0.0	%		20
Sberbank of Russia PJSC		09/09/20		12,774,954		0.0	%		83,256
Sberbank of Russia PJSC		01/10/22		77,024		0.0	%		464
Severstal PAO		02/02/21		7,249		0.0	%		60
Severstal PJSC GDR (Registered)		03/16/20		1,679,360		0.0	%		12,888
								$	130,912

47 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
05/09/2023	BOA		AUD	920,000		USD	620,895		357
05/09/2023	BCLY		AUD	2,960,000		USD	2,046,253		49,740
05/09/2023	MSCI		AUD	670,000		USD	464,258		12,345
05/03/2023	GS		BRL	400,000		USD	76,662		1,088
05/03/2023	JPM		BRL	500,000		USD	94,890		422
04/03/2023	BCLY		CAD	860,000		USD	642,223		11,777
04/03/2023	GS		CAD	1,020,000		USD	756,131		8,392
04/03/2023	SSB		CAD	700,000		USD	521,449		8,295
05/16/2023	BCLY		CHF	6,752,004		USD	7,430,440		204,040
04/11/2023	MSCI		COP	1,320,000,000		USD	274,317		4,827
03/21/2023	SSB		GBP	1,570,000		USD	1,890,938		1,822
05/16/2023	MSCI		HUF	45,000,000		USD	123,735		854
05/08/2023	GS		IDR	2,800,000,000		USD	185,234		1,868
03/31/2023	DB		ILS	1,933,563		USD	544,927		15,206
05/31/2023	MSCI		ILS	450,000		USD	124,651		1,037
05/08/2023	CITI		KRW	180,000,000		USD	136,835		177
05/08/2023	GS		KRW	200,000,000		USD	152,579		736
05/31/2023	MSCI		NZD	2,290,000		USD	1,422,422		6,558
05/31/2023	SSB		NZD	1,200,000		USD	747,990		6,053
04/28/2023	CITI		PHP	19,500,000		USD	355,260		4,324
05/22/2023	GS		PLN	1,300,000		USD	291,141		495
04/27/2023	BCLY		RON	3,684,153		USD	794,480		5,158
05/22/2023	MSCI		SGD	1,111,598		USD	833,369		7,182
05/22/2023	BCLY		THB	20,039,025		USD	585,423		13,871
03/08/2023	MSCI		TWD	31,326,001		USD	1,049,475		28,488
05/03/2023	GS		USD	141,137		BRL	750,000		565
04/10/2023	JPM		USD	180,018		CLP	150,000,000		296
04/10/2023	MSCI		USD	391,384		CLP	334,112,500		10,249
04/11/2023	JPM		USD	784,549		COP	3,901,955,400		12,071
05/22/2023	BCLY		USD	239,434		INR	19,950,616		622
04/20/2023	MSCI		USD	1,054,576		MXN	19,970,191		26,802
05/10/2023	MSCI		USD	92,707		PEN	360,000		1,701
05/31/2023	MSCI		ZAR	1,800,000		USD	98,404		1,122
04/11/2023	MSCI		COP	1,600,000,000		USD	322,906		(3,751	)
04/17/2023	MSCI		CZK	20,105,948		USD	902,316		(371	)
05/10/2023	MSCI		PEN	360,000		USD	93,289		(1,120	)
05/22/2023	MSCI		PLN	400,000		USD	88,850		(580	)
05/08/2023	BCLY		SEK	15,493,154		USD	1,471,488		(13,823	)
05/03/2023	CITI		USD	106,305		BRL	550,000		(2,390	)
05/03/2023	GS		USD	106,970		BRL	550,000		(3,055	)
05/03/2023	SSB		USD	591,655		BRL	3,073,234		(11,011	)
04/03/2023	BCLY		USD	4,969,290		CAD	6,669,172		(80,273	)
04/10/2023	MSCI		USD	438,451		CLP	360,000,000		(5,698	)
04/17/2023	CITI		USD	308,247		CZK	6,800,000		(2,950	)
04/17/2023	GS		USD	135,406		CZK	3,000,000		(717	)
04/17/2023	MSCI		USD	89,848		CZK	2,000,000		(55	)
03/31/2023	GS		USD	1,423,836		EUR	1,330,000		(14,652	)
03/31/2023	JPM		USD	5,959,217		EUR	5,580,000		(47,000	)
05/16/2023	JPM		USD	765,361		HUF	279,127,316		(3,156	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
05/08/2023	JPM		USD	217,696		IDR	3,259,337,000		(4,248	)
03/17/2023	MSCI		USD	6,420,994		JPY	855,151,183		(127,269	)
05/08/2023	BCLY		USD	18,780		KRW	22,994,101		(1,323	)
05/08/2023	GS		USD	73,062		KRW	90,000,000		(4,733	)
04/17/2023	BOA		USD	487,136		NOK	4,800,000		(23,826	)
04/17/2023	MSCI		USD	4,730,581		NOK	46,990,448		(194,933	)
05/31/2023	SSB		USD	409,961		NZD	660,000		(1,895	)
04/28/2023	JPM		USD	172,552		PHP	9,500,000		(1,583	)
05/08/2023	BCLY		USD	943,210		SEK	9,800,000		(3,695	)
05/22/2023	BCLY		USD	157,513		THB	5,400,000		(3,495	)
05/31/2023	MSCI		USD	350,942		ZAR	6,400,000		(5,049	)
								$	(114,111	)

See accompanying notes to the financial statements. 48

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.56%	3 Month AUD BBSW		AUD	4,000,000		03/15/2025		Quarterly		—			32,272			32,272
3.66%	3 Month AUD BBSW		AUD	5,000,000		03/15/2025		Quarterly		—			33,998			33,998
3.70%	3 Month AUD BBSW		AUD	18,933,000		03/15/2025		Quarterly		3,614			118,860			115,246
3 Month AUD BBSW	3.63%		AUD	4,500,000		03/15/2025		Quarterly		—			(32,539	)		(32,539	)
3 Month AUD BBSW	3.73%		AUD	4,000,000		03/15/2025		Quarterly		—			(23,515	)		(23,515	)
3 Month AUD BBSW	3.85%		AUD	6,500,000		03/15/2025		Quarterly		—			(28,585	)		(28,585	)
3 Month AUD BBSW	3.92%		AUD	5,000,000		03/15/2025		Quarterly		—			(17,352	)		(17,352	)
3.99%	3 Month CAD CDOR		CAD	16,345,000		03/15/2025		Semi-Annually		7,639			157,929			150,290
3.83%	3 Month CAD CDOR		CAD	6,500,000		03/15/2025		Semi-Annually		—			77,515			77,515
3 Month CAD CDOR	4.00%		CAD	3,000,000		03/15/2025		Semi-Annually		—			(28,561	)		(28,561	)
3 Month CAD CDOR	4.75%		CAD	2,000,000		03/15/2025		Semi-Annually		—			1,827			1,827
CHF - SARON - OIS -
COMPOUND	1.36%		CHF	3,000,000		03/15/2025		Annually		—			(29,077	)		(29,077	)
CHF - SARON - OIS -
COMPOUND	1.57%		CHF	2,500,000		03/15/2025		Annually		—			(13,217	)		(13,217	)
	CHF -SARON -OIS -
1.18%	COMPOUND		CHF	10,178,000		03/15/2025		Annually		1,156			135,805			134,649
EUR - EuroSTR - COMPOUND	2.93%		EUR	2,500,000		03/15/2025		Annually		—			(32,926	)		(32,926	)
EUR - EuroSTR - COMPOUND	2.97%		EUR	7,000,000		03/15/2025		Annually		—			(87,553	)		(87,553	)
3.19%	EUR - EuroSTR - COMPOUND EUR			3,500,000		03/15/2025		Annually		—			27,682			27,682
GBP - SONIA - COMPOUND	4.27%		GBP	6,926,000		03/15/2025		Annually		(3,434	)		(48,241	)		(44,807	)
4.45%	GBP - SONIA - COMPOUND		GBP	3,000,000		03/15/2025		Annually		—			9,212			9,212
4.17%	GBP - SONIA - COMPOUND		GBP	4,000,000		03/15/2025		Annually		—			37,165			37,165
4.05%	GBP - SONIA - COMPOUND		GBP	2,500,000		03/15/2025		Annually		—			30,074			30,074
4.87%	3 Month NZD Bank Bill Rate		NZD	3,500,000		03/15/2025		Quarterly		2,811			20,509			17,698
3.20%	3 Month SEK STIBOR		SEK	25,000,000		03/15/2025		Quarterly		—			31,240			31,240
2.97%	3 Month SEK STIBOR		SEK	40,000,000		03/15/2025		Quarterly		—			66,367			66,367
3 Month SEK STIBOR	3.10%		SEK	208,193,000		03/15/2025		Quarterly		2,136			(295,248	)		(297,384	)
3 Month SEK STIBOR	3.13%		SEK	25,000,000		03/15/2025		Quarterly		—			(34,162	)		(34,162	)
USD - SOFR - COMPOUND	4.19%		USD	3,000,000		03/15/2025		Annually		—			(39,294	)		(39,294	)
USD - SOFR - COMPOUND	4.54%		USD	3,500,000		03/15/2025		Annually		—			(22,972	)		(22,972	)
4.14%	USD -SOFR -COMPOUND		USD	6,348,000		03/15/2025		Annually		4,678			89,837			85,159
4.24%	3 Month AUD BBSW		AUD	6,000,000		06/21/2025		Quarterly		—			(1,559	)		(1,559	)
EUR - EuroSTR - COMPOUND	3.61%		EUR	1,500,000		06/21/2025		Annually		—			747			747
6 Month AUD BBSW	3.99%		AUD	4,340,000		03/15/2033		Semi-Annually		(1,377	)		(113,673	)		(112,296	)
6 Month AUD BBSW	4.03%		AUD	1,500,000		03/15/2033		Semi-Annually		—			(36,082	)		(36,082	)
6 Month AUD BBSW	4.03%		AUD	1,200,000		03/15/2033		Semi-Annually		—			(28,930	)		(28,930	)
6 Month AUD BBSW	4.04%		AUD	3,100,000		03/15/2033		Semi-Annually		—			(72,640	)		(72,640	)
6 Month AUD BBSW	4.07%		AUD	900,000		03/15/2033		Semi-Annually		—			(20,066	)		(20,066	)
6 Month AUD BBSW	4.19%		AUD	1,000,000		03/15/2033		Semi-Annually		—			(15,397	)		(15,397	)
6 Month AUD BBSW	4.24%		AUD	1,900,000		03/15/2033		Semi-Annually		—			(24,679	)		(24,679	)
6 Month AUD BBSW	4.45%		AUD	15,670,000		03/15/2033		Semi-Annually		(5,303	)		(27,085	)		(21,782	)
4.22%	6 Month AUD BBSW		AUD	1,500,000		03/15/2033		Semi-Annually		—			20,498			20,498
4.35%	6 Month AUD BBSW		AUD	2,000,000		03/15/2033		Semi-Annually		—			13,532			13,532
4.32%	6 Month AUD BBSW		AUD	1,100,000		03/15/2033		Semi-Annually		—			9,318			9,318
4.17%	6 Month AUD BBSW		AUD	900,000		03/15/2033		Semi-Annually		—			14,831			14,831
4.05%	6 Month AUD BBSW		AUD	1,000,000		03/15/2033		Semi-Annually		—			23,216			23,216
3.24%	3 Month CAD CDOR		CAD	1,378,000		03/15/2033		Semi-Annually		(2,737	)		43,533			46,270
3.17%	3 Month CAD CDOR		CAD	2,200,000		03/15/2033		Semi-Annually		—			78,555			78,555

49 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments —  (Continued)

February 28, 2023

Swap Contracts —  continued

Centrally Cleared Interest Rate Swaps —  continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.23%	3 Month CAD CDOR		CAD	700,000		03/15/2033		Semi-Annually		—			22,634			22,634
3.42%	3 Month CAD CDOR		CAD	1,100,000		03/15/2033		Semi-Annually		—			22,379			22,379
3.62%	3 Month CAD CDOR		CAD	900,000		03/15/2033		Semi-Annually		—			7,519			7,519
3.82%	3 Month CAD CDOR		CAD	500,000		03/15/2033		Semi-Annually		—			(2,093	)		(2,093	)
3 Month CAD CDOR	3.18%		CAD	3,624,000		03/15/2033		Semi-Annually		(7,258	)		(128,690	)		(121,432	)
3 Month CAD CDOR	3.28%		CAD	1,400,000		03/15/2033		Semi-Annually		—			(40,846	)		(40,846	)
3 Month CAD CDOR	3.30%		CAD	1,400,000		03/15/2033		Semi-Annually		—			(38,656	)		(38,656	)
3 Month CAD CDOR	3.32%		CAD	2,200,000		03/15/2033		Semi-Annually		—			(58,317	)		(58,317	)
3 Month CAD CDOR	3.44%		CAD	1,000,000		03/15/2033		Semi-Annually		—			(19,271	)		(19,271	)
3 Month CAD CDOR	3.45%		CAD	800,000		03/15/2033		Semi-Annually		—			(14,705	)		(14,705	)
3 Month CAD CDOR	3.56%		CAD	1,100,000		03/15/2033		Semi-Annually		—			(13,440	)		(13,440	)
CHF - SARON - OIS -
COMPOUND	1.50%		CHF	2,174,000		03/15/2033		Annually		(1,552	)		(94,949	)		(93,397	)
CHF - SARON - OIS -
COMPOUND	1.55%		CHF	900,000		03/15/2033		Annually		—			(35,014	)		(35,014	)
CHF - SARON - OIS -
COMPOUND	1.60%		CHF	8,816,000		03/15/2033		Annually		—			(301,010	)		(301,010	)
CHF - SARON - OIS -
COMPOUND	1.73%		CHF	1,200,000		03/15/2033		Annually		—			(26,341	)		(26,341	)
	CHF -SARON -OIS -
1.99%	COMPOUND		CHF	1,100,000		03/15/2033		Annually		—			(3,800	)		(3,800	)
	CHF - SARON - OIS -
1.58%	COMPOUND		CHF	600,000		03/15/2033		Annually		—			21,856			21,856
	CHF - SARON - OIS -
1.91%	COMPOUND		CHF	1,300,000		03/15/2033		Annually		—			4,855			4,855
	CHF - SARON - OIS -
1.81%	COMPOUND		CHF	500,000		03/15/2033		Annually		—			6,968			6,968
	CHF - SARON - OIS -
1.97%	COMPOUND		CHF	1,200,000		03/15/2033		Annually		—			(2,047	)		(2,047	)
EUR - EuroSTR - COMPOUND	2.68%		EUR	700,000		03/15/2033		Annually		—			(20,284	)		(20,284	)
2.59%	EUR -EuroSTR -COMPOUND		EUR	2,600,000		03/15/2033		Annually		—			96,713			96,713
2.59%	EUR - EuroSTR - COMPOUND		EUR	1,500,000		03/15/2033		Annually		—			56,000			56,000
2.45%	EUR - EuroSTR - COMPOUND		EUR	500,000		03/15/2033		Annually		—			25,230			25,230
2.69%	EUR - EuroSTR - COMPOUND		EUR	800,000		03/15/2033		Annually		—			22,491			22,491
2.88%	EUR - EuroSTR - COMPOUND		EUR	2,000,000		03/15/2033		Annually		—			21,710			21,710
2.82%	EUR - EuroSTR - COMPOUND		EUR	900,000		03/15/2033		Annually		—			15,002			15,002
2.87%	EUR - EuroSTR - COMPOUND		EUR	1,400,000		03/15/2033		Annually		—			17,168			17,168
2.90%	EUR - EuroSTR - COMPOUND		EUR	1,200,000		03/15/2033		Annually		—			11,718			11,718
GBP - SONIA - COMPOUND	3.34%		GBP	1,400,000		03/15/2033		Annually		—			(55,686	)		(55,686	)
GBP - SONIA - COMPOUND	3.39%		GBP	600,000		03/15/2033		Annually		—			(21,077	)		(21,077	)
GBP - SONIA - COMPOUND	3.41%		GBP	900,000		03/15/2033		Annually		—			(29,634	)		(29,634	)
GBP - SONIA - COMPOUND	3.44%		GBP	1,000,000		03/15/2033		Annually		—			(29,796	)		(29,796	)
GBP - SONIA - COMPOUND	3.48%		GBP	2,000,000		03/15/2033		Annually		—			(51,373	)		(51,373	)
GBP - SONIA - COMPOUND	3.56%		GBP	600,000		03/15/2033		Annually		—			(10,717	)		(10,717	)
3.22%	GBP - SONIA - COMPOUND		GBP	1,547,000		03/15/2033		Annually		3,737			78,908			75,171
3.77%	GBP - SONIA - COMPOUND		GBP	900,000		03/15/2033		Annually		—			(2,198	)		(2,198	)
3.36%	GBP - SONIA - COMPOUND		GBP	1,200,000		03/15/2033		Annually		—			44,971			44,971
3.16%	GBP - SONIA - COMPOUND		GBP	800,000		03/15/2033		Annually		—			45,440			45,440
3.48%	GBP - SONIA - COMPOUND		GBP	900,000		03/15/2033		Annually		—			23,690			23,690
3.54%	GBP - SONIA - COMPOUND		GBP	700,000		03/15/2033		Annually		—			13,974			13,974
4.22%	3 Month NZD Bank Bill Rate		NZD	2,600,000		03/15/2033		Quarterly		4,277			61,169			56,892
4.27%	3 Month NZD Bank Bill Rate		NZD	1,280,000		03/15/2033		Quarterly		—			26,670			26,670

See accompanying notes to the financial statements. 50

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments —  (Continued)

February 28, 2023

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) ($)
4.14%	3 Month NZD Bank Bill Rate		NZD	2,000,000		03/15/2033		Quarterly		—			54,929			54,929
4.47%	3 Month NZD Bank Bill Rate		NZD	1,900,000		03/15/2033		Quarterly		—			20,695			20,695
3 Month NZD Bank Bill Rate	4.22%		NZD	800,000		03/15/2033		Quarterly		(505	)		(18,633	)		(18,128	)
3 Month NZD Bank Bill Rate	4.26%		NZD	1,500,000		03/15/2033		Quarterly		(310	)		(31,747	)		(31,437	)
3 Month NZD Bank Bill Rate	4.59%		NZD	2,800,000		03/15/2033		Quarterly		—			(14,687	)		(14,687	)
3 Month SEK STIBOR	2.47%		SEK	11,000,000		03/15/2033		Quarterly		—			(71,824	)		(71,824	)
3 Month SEK STIBOR	2.54%		SEK	13,000,000		03/15/2033		Quarterly		—			(77,687	)		(77,687	)
3 Month SEK STIBOR	2.59%		SEK	8,000,000		03/15/2033		Quarterly		—			(44,695	)		(44,695	)
3 Month SEK STIBOR	2.63%		SEK	6,000,000		03/15/2033		Quarterly		—			(31,620	)		(31,620	)
3 Month SEK STIBOR	2.81%		SEK	13,000,000		03/15/2033		Quarterly		—			(49,426	)		(49,426	)
2.51%	3 Month SEK STIBOR		SEK	45,525,000		03/15/2033		Quarterly		2,840			281,769			278,929
2.62%	3 Month SEK STIBOR		SEK	5,000,000		03/15/2033		Quarterly		—			26,631			26,631
3.00%	3 Month SEK STIBOR		SEK	119,168,000		03/15/2033		Quarterly		(916	)		272,404			273,320
3 Month SEK STIBOR	3.22%		SEK	10,000,000		03/15/2033		Quarterly		—			(5,411	)		(5,411	)
3 Month SEK STIBOR	3.28%		SEK	17,000,000		03/15/2033		Quarterly		—			(62	)		(62	)
USD - SOFR - COMPOUND	3.05%		USD	1,540,000		03/15/2033		Annually		—			(74,916	)		(74,916	)
USD - SOFR - COMPOUND	3.07%		USD	2,600,000		03/15/2033		Annually		—			(121,980	)		(121,980	)
USD - SOFR - COMPOUND	3.13%		USD	1,420,000		03/15/2033		Annually		(6,459	)		(60,085	)		(53,626	)
USD - SOFR - COMPOUND	3.16%		USD	1,500,000		03/15/2033		Annually		—			(59,734	)		(59,734	)
USD - SOFR - COMPOUND	3.19%		USD	1,000,000		03/15/2033		Annually		—			(37,101	)		(37,101	)
3.16%	USD -SOFR - COMPOUND		USD	1,670,000		03/15/2033		Annually		3,068			66,201			63,133
3.23%	USD - SOFR -COMPOUND		USD	800,000		03/15/2033		Annually		—			27,108			27,108
3.29%	USD - SOFR - COMPOUND		USD	1,300,000		03/15/2033		Annually		—			38,154			38,154
3.33%	USD - SOFR - COMPOUND		USD	1,000,000		03/15/2033		Annually		—			25,968			25,968
3.47%	USD - SOFR - COMPOUND		USD	800,000		03/15/2033		Annually		—			11,505			11,505
3.30%	USD - SOFR - COMPOUND		USD	1,500,000		03/15/2033		Annually		—			41,859			41,859
3.22%	USD - SOFR - COMPOUND		USD	1,600,000		03/15/2033		Annually		—			55,470			55,470
3.22%	USD - SOFR - COMPOUND		USD	600,000		03/15/2033		Annually		—			20,851			20,851
3.40%	USD - SOFR - COMPOUND		USD	1,100,000		03/15/2033		Annually		—			22,396			22,396
3.44%	USD - SOFR - COMPOUND		USD	800,000		03/15/2033		Annually		—			13,517			13,517
3.46%	USD - SOFR - COMPOUND		USD	900,000		03/15/2033		Annually		—			13,425			13,425
3.59%	USD - SOFR - COMPOUND		USD	2,500,000		03/15/2033		Annually		—			10,490			10,490
3.63%	USD - SOFR - COMPOUND		USD	800,000		03/15/2033		Annually		—			652			652
6 Month AUD BBSW	4.51%		AUD	1,400,000		06/21/2033		Semi-Annually		—			430			430
3.04%	EUR - EuroSTR - COMPOUND		EUR	400,000		06/21/2033		Annually		—			(1,323	)		(1,323	)
3.61%	USD - SOFR - COMPOUND		USD	1,100,000		06/21/2033		Annually		—			(2,037	)		(2,037	)
									$	6,105		$	(50,224	)	$	(56,329	)

51 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

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 (j)		1 Month Federal Funds Rate minus 0.40%		GS		USD	5,366,507		06/24/2024		Monthly		—		61,707		61,707
Total Return on Equity Basket (k)		1 Month Federal Funds Rate minus 0.40%		MORD		USD	13,571,872		06/18/2024		Monthly		—		668,582		668,582
												$	—	$	730,289	$	730,289

As of February 28, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitmentsor collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

(f) The security is restricted as to resale.

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

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

(i) The rate disclosed is the 7 day net yield as of February 28, 2023.

(j) 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.

(k) The following table represents the individual long and/or short positions within the custom equity basket swap as of February 28, 2023:

Shares		Description	% of Equity Basket			Value ($)
	(786,000)	Air China Ltd – Class H		5.6	%		(724,718	)
	(146,000)	Alibaba Health Information Technology Ltd		0.8	%		(104,540	)
	(560)	BGF Retail Co Ltd		0.6	%		(76,593	)
	(504,000)	China Molybdenum Co Ltd – Class H		2.2	%		(283,801	)
	(1,692)	Elisa Oyj		0.7	%		(96,085	)
	(258,000)	Genscript Biotech Corp		5.5	%		(706,197	)
	(1,002,700)	Gulf Energy Development Pcl NVDR		11.5	%		(1,490,095	)
	(2,386)	Hanmi Pharm Co Ltd		3.6	%		(466,908	)
	(1,800)	Hapvida Participacoes e Investimentos SA		0.0	%		(1,544	)
	(19,103)	Hotel Shilla Co Ltd		8.9	%		(1,156,746	)
	(9,536)	Kakao Corp		3.5	%		(448,881	)
	(650,000)	Kingdee International Software Group Co Ltd		9.5	%		(1,214,501	)
	(75,000)	Klabin SA		2.1	%		(278,772	)
	(38,839)	Korea Aerospace Industries Ltd		10.2	%		(1,322,448	)
	(1,249)	LG Energy Solution		3.8	%		(493,371	)
	(400)	Lojas Renner SA		0.0	%		(1,425	)
	(83,100)	Microport Scientific Corp		1.8	%		(235,758	)
	4,262	Nokia Oyj		(0.2	%)		19,718
	(1,695)	POSCO Chemical Co Ltd		2.2	%		(282,806	)
	(2,924)	Samsung Biologics Co Ltd		13.2	%		(1,708,313	)
	(212,948)	Samsung Heavy Industries Co Ltd		6.8	%		(884,247	)
	(8,918)	Yuhan Corp		2.7	%		(355,174	)
	(432,000)	Zijin Mining Group Co Ltd – Class H		5.0	%		(653,772	)
		TOTAL COMMON STOCKS				$	(12,966,977	)

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 125.

See accompanying notes to the financial statements. 52

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Asset Allocation Fund returned -5.48% (net) for the fiscal year ended February 28, 2023, as compared with -8.52% for the Fund’s benchmark, the GMO Global Asset Allocation Index (65% MSCI All Country World Index (“ACWI”) and 35% Bloomberg U.S. Aggregate Index).

The Fund’s circa 16% off-benchmark position in alternatives had the most significant beneficial impact on relative performance, as it delivered a decent positive return while both equities and bonds struggled. The Fund held an average 59% in equities over the period, and the return of -6.90% beat the MSCI ACWI return of -8.26%. The regional bias of being underweight to the U.S. market and overweight to developed ex-U.S. and emerging markets had only modest impact on performance relative to the benchmark. In particular, the benefits gained from being overweight developed ex-U.S. equities compensated for the detriment caused by being overweight emerging market equities. Security selection in developed markets was strong, helped by outperformance of the Value style. The Fund held an average of 25% in fixed income, and the emphasis on credit over duration, coupled with good relative performance within the credit exposures, ensured outperformance of the benchmark. The Fund’s fixed income exposures posted -8.20%, nicely ahead of the -9.72% return from the Bloomberg U.S. Aggregate Index.

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

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

53

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

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

GMO Global Asset Allocation Fund Class III Shares, the GMO Global Asset Allocation Index*,

the MSCI ACWI and the Bloomberg U.S. Aggregate Index

As of February 28, 2023

	Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception
Class III	-5.48%	2.15%	3.83%	n/a
Class R6	-5.48%	n/a	n/a	9/30/19 2.59%
Class I	-5.60%	n/a	n/a	1/6/21 -2.46%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

* The GMO Global Asset Allocation Index is comprised of 65% MSCI ACWI (All Country World Index) and 35% Bloomberg U.S. Aggregate Index.

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

For Class III, R6 and I the gross expense ratio of 0.73%, 0.72% and 0.83%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.70%, 0.70% and 0.80% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

54

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		66.5	%
Debt Obligations		21.5
Short-Term Investments		17.4
Preferred Stocks		1.2
Swap Contracts		0.6
Investment Funds		0.2
Forward Currency Contracts		0.1
Loan Assignments		0.1
Rights/Warrants		0.0	^
Loan Participations		0.0	^
Purchased Options		0.0	^
Futures Contracts		(0.0	)^
Written Options/Credit Linked Options		(0.1	)
Securities Sold Short		(5.2	)
Other		(2.3	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		16.3	%
Other Emerging		2.7	†
Australia		1.8
Switzerland		1.1
Other Developed		(0.9	)‡
Euro Region		(1.4	)§
		19.6	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		22.1	%
Japan		9.0
Taiwan		4.2
Other Developed		4.0	‡
Other Emerging		3.5	†
United Kingdom		3.3
France		3.2
South Korea		2.7
China		2.2
Netherlands		1.5
Brazil		1.4
Spain		1.4
Mexico		1.2
Switzerland		1.2
Germany		1.0
		61.9	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. 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.

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

^ Rounds to 0.0%.

55

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.7%
		Affiliated Issuers — 99.7%
	2,618,254	GMO Alternative Allocation Fund, Class VI		48,411,511
	987,416	GMO Asset Allocation Bond Fund, Class VI		20,113,672
	592,803	GMO Emerging Country Debt Fund, Class VI		10,468,900
	1,750,681	GMO Emerging Markets ex-China Fund, Class VI		23,354,081
	1,199,709	GMO Emerging Markets Fund, Class VI		25,997,689
	410,552	GMO High Yield Fund, Class VI		6,868,538
	2,859,015	GMO International Equity Fund, Class IV		61,754,726
	817,727	GMO-Usonian Japan Value Creation Fund, Class VI		13,795,046
	2,447,916	GMO Multi-Sector Fixed Income Fund, Class IV		40,659,884
	431,680	GMO Opportunistic Income Fund, Class VI		10,403,498
	471,523	GMO Quality Cyclicals Fund, Class VI		10,368,785
	402,976	GMO Quality Fund, Class VI		9,574,699
	481,464	GMO Small Cap Quality Fund, Class VI		10,654,800
	1,346,622	GMO U.S. Equity Fund, Class VI		16,671,178
	1,139,577	GMO U.S. Opportunistic Value Fund, Class VI		23,008,064
	410,809	GMO U.S. Small Cap Value Fund, Class VI		7,061,808
	1,610	GMO U.S. Treasury Fund		8,036
		TOTAL MUTUAL FUNDS (COST $392,022,548)		339,174,915
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	559,158	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (a)		559,158
		TOTAL SHORT-TERM INVESTMENTS (COST $559,158)		559,158
		TOTAL INVESTMENTS — 99.9% (Cost $392,581,706)		339,734,073
		Other Assets and Liabilities (net) — 0.1%		385,464
		TOTAL NET ASSETS — 100.0%	$	340,119,537

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 125.

See accompanying notes to the financial statements. 56

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Developed Equity Allocation Fund returned -3.94% (net) for the fiscal year ended February 28, 2023, as compared with -7.33% for the Fund’s benchmark, the MSCI World Index.

The Fund’s underweight to the U.S. market and overweight to developed ex-U.S. added to performance relative to the benchmark. We also believed that emerging markets were trading at very preferential valuations, and therefore held an “off-benchmark” position here. Unfortunately, pursuit of a zero-COVID policy until near the very end of 2022 really hampered the Chinese economy and weighed heavily on emerging market performance. Security selection in developed markets was strong, helped by strong outperformance of the Value style.

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

57

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

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

GMO Global Developed Equity Allocation Fund Class III Shares and the MSCI World Index

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Class III		-3.94	%		5.28	%		7.18	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited.

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

For Class III the gross expense ratio of 0.58% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Class listed above, the net expense ratio of 0.53% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

58

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.6	%
Short-Term Investments		3.3
Preferred Stocks		0.9
Debt Obligations		0.1
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Other		(1.9	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		43.4	%
Japan		13.5
United Kingdom		7.5
France		7.3
Other Developed		3.9	‡
Other Emerging		3.2	†
Netherlands		3.0
Spain		3.0
Taiwan		3.0
Switzerland		2.7
Germany		2.5
Singapore		1.8
Australia		1.6
South Korea		1.6
Brazil		1.0
Mexico		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 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.

^ Rounds to 0.0%.

59

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	390,430	GMO Emerging Markets ex-China Fund, Class VI		5,208,340
	1,205,807	GMO International Equity Fund, Class IV		26,045,425
	157,276	GMO-Usonian Japan Value Creation Fund, Class VI		2,653,243
	175,205	GMO Quality Cyclicals Fund, Class VI		3,852,762
	398,516	GMO Quality Fund, Class VI		9,468,743
	173,366	GMO Small Cap Quality Fund, Class VI		3,836,577
	328,549	GMO U.S. Equity Fund, Class VI		4,067,439
	497,317	GMO U.S. Opportunistic Value Fund, Class VI		10,040,826
	105,382	GMO U.S. Small Cap Value Fund, Class VI		1,811,524
		TOTAL MUTUAL FUNDS (COST $68,566,962)		66,984,879
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	30,817	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (a)		30,817
		TOTAL SHORT-TERM INVESTMENTS (COST $30,817)		30,817
		TOTAL INVESTMENTS — 100.0% (Cost $68,597,779)		67,015,696
		Other Assets and Liabilities (net) — (0.0%)		(23,242	)
		TOTAL NET ASSETS — 100.0%	$	66,992,454

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 125.

See accompanying notes to the financial statements. 60

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC. Specific security selection is primarily handled by other GMO investment teams in collaboration with the Asset Allocation team.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Equity Allocation Fund returned -6.66% (net) for the fiscal year ended February 28, 2023, as compared with -8.26% for the Fund’s benchmark, the MSCI All Country World Index (“ACWI”).

The Fund’s regional bias of being underweight to the U.S. market and overweight to developed ex-U.S. and emerging markets had only a modest impact on performance relative to the benchmark. In particular, the benefits gained from being overweight developed ex-U.S. equities compensated for the detriment caused by being overweight emerging market equities. For the period, the MSCI World ex-U.S. Index performed relatively strongly and was down just -3.75%, while the MSCI Emerging Markets Index fell -15.28%. The MSCI USA Index sat right in the middle with a -8.95% return. We had believed that emerging markets were trading at very preferential valuations, but pursuit of a zero-COVID policy until near the very end of 2022 really hampered the Chinese economy and weighed heavily on emerging market performance. Most of the outperformance relative to the benchmark was, therefore, down to stock selection. The Fund enjoyed strong relative results in the U.S., and indeed in developed markets generally, while the emerging market exposure modestly lagged the reference benchmark.

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

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

61

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

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

GMO Global Equity Allocation Fund Class III Shares and the MSCI ACWI

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year			Since Inception
Class III		-6.66	%		3.38	%		5.94	%		n/a
Class R6		-6.69	%		n/a			n/a			7/15/20	6.45	%
Class I		-6.74	%		n/a			n/a			8/17/20	5.04	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, R6 and I the gross expense ratio of 0.60%, 0.60% and 0.70%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.59%, 0.59% and 0.69% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

62

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.2	%
Short-Term Investments		3.1
Preferred Stocks		1.7
Debt Obligations		0.1
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Other		(0.1	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		36.5	%
Japan		11.9
United Kingdom		6.4
Taiwan		6.2
France		6.1
South Korea		3.9
Other Emerging		3.6	†
China		3.5
Other Developed		3.5	‡
Netherlands		2.5
Spain		2.5
Switzerland		2.3
Germany		2.1
Brazil		2.0
Mexico		1.7
Singapore		1.5
Australia		1.3
India		1.3
South Africa		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%.

63

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		MUTUAL FUNDS — 98.3%
		Affiliated Issuers — 98.3%
	4,315,772	GMO Emerging Markets ex-China Fund, Class VI		57,572,405
	3,085,568	GMO Emerging Markets Fund, Class VI		66,864,262
	8,968,521	GMO International Equity Fund, Class IV		193,720,044
	1,395,668	GMO-Usonian Japan Value Creation Fund, Class VI		23,544,917
	1,308,330	GMO Quality Cyclicals Fund, Class VI		28,770,184
	3,010,838	GMO Quality Fund, Class VI		71,537,500
	1,344,374	GMO Small Cap Quality Fund, Class VI		29,750,989
	2,398,986	GMO U.S. Equity Fund, Class VI		29,699,442
	3,507,749	GMO U.S. Opportunistic Value Fund, Class VI		70,821,461
	994,923	GMO U.S. Small Cap Value Fund, Class VI		17,102,735
		TOTAL MUTUAL FUNDS (COST $701,748,053)		589,383,939
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	582,993	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (a)		582,993
		TOTAL SHORT-TERM INVESTMENTS (COST $582,993)		582,993
		TOTAL INVESTMENTS — 98.4% (Cost $702,331,046)		589,966,932
		Other Assets and Liabilities (net) — 1.6%		9,601,604
		TOTAL NET ASSETS — 100.0%	$	599,568,536

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 125.

See accompanying notes to the financial statements. 64

GMO Implementation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC. Allocations among asset classes are made by the Asset Allocation team and specific security selection is primarily handled by other GMO investment teams in collaboration with the Asset Allocation team.

Management Discussion and Analysis of Fund Performance

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

GMO Implementation Fund returned +1.52% (net) for the fiscal year ended February 28, 2023, as compared with +6.15% for the CPI.

This was a fairly lackluster 12 months for absolute performance, but it was very solid in relation to the majority of risk assets. Over the same period, global equities as measured by the MSCI All Country World Index (“ACWI”) were down -8.26%, while bonds as measured by the Bloomberg U.S. Aggregate Index were down -9.72%.

The Fund had an average equity exposure of about 40%, and this had a moderately worse return than MSCI ACWI. We had a significant investment in emerging markets as we believed that they were trading at very preferential valuations, but China’s pursuit of a zero-COVID policy until very late in 2022 really hampered their economy and weighed heavily on emerging market equity performance. There was a broadly 53% average exposure to equity long/short positions and alternatives and these delivered a welcome positive return, ensuring that the Fund was not down in absolute terms for the period. The best performer, up some 8.03%, was the Equity Dislocation Strategy, which is long cheap Value stocks and short expensive Growth stocks. Fixed income assets accounted for an average of 7% of the Fund, and these were down -3.01% for the 12 months, as the decision to emphasize credit over duration was a key driver of the outperformance over the Bloomberg U.S. Aggregate Index.

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

65

GMO Implementation Fund

(A Series of GMO Trust)

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

GMO Implementation Fund, the Consumer Price Index and the Bloomberg U.S. Treasury

Inflation Notes: 1-10 Year Index

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Core Class		1.52	%		0.76	%		3.13	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited.

The gross expense ratio of 0.38% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. The net expense ratio of 0.33% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

66

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		80.1	%
Debt Obligations		30.8
Short-Term Investments		8.1
Preferred Stocks		1.9
Investment Funds		0.3
Swap Contracts		0.1
Mutual Funds		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		0.0	^
Forward Currency Contracts		(0.0	)^
Written Options		(0.1	)
Securities Sold Short		(24.3	)
Other		3.1
		100.0	%

	Debt Obligations as a %
Country/Region Summary¤	of Total Net Assets
Australia		2.4	%
Switzerland		1.5
Sweden		(1.0	)
Other Developed		(1.2	)‡
Euro Region		(1.7	)§
United States		(1.7	)
		(1.7	)%

	Equity Investments as a %
Country/Region Summary¤	of Total Net Assets
United States		11.8	%
Japan		10.5
Other Developed		5.4	‡
China		3.6
Taiwan		3.5
Other Emerging		3.3	†
South Korea		3.1
United Kingdom		2.8
Brazil		2.4
India		2.3
France		2.1
Spain		1.4
Canada		1.3
Netherlands		1.3
Mexico		1.1
South Africa		1.1
		57.0	%

Industry Group Summary	% of Equity Investments#
Banks		13.6	%
Materials		12.8
Capital Goods		9.4
Energy		9.2
Technology Hardware & Equipment		8.1
Consumer Durables & Apparel		5.7
Automobiles & Components		5.5
Food, Beverage & Tobacco		5.4
Pharmaceuticals, Biotechnology & Life Sciences		4.8
Diversified Financials		4.6
Semiconductors & Semiconductor Equipment		4.5
Insurance		4.1
Media & Entertainment		3.1
Telecommunication Services		2.7
Food & Staples Retailing		2.4
Retailing		2.2
Commercial & Professional Services		1.4
Utilities		1.3
Real Estate		1.3
Transportation		1.0
Household & Personal Products		0.4
Health Care Equipment & Services		0.3
Software & Services		(1.7	)
Consumer Services		(2.1	)
		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 tables may not total to 100%.

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

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

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

# 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%.

67

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 80.1%
		Argentina — 0.0%
	154,985	Adecoagro SA		1,258,478
		Australia — 1.3%
	49,016	Accent Group Ltd		72,970
	102,333	AMP Ltd *		71,035
	591,817	Aurizon Holdings Ltd (a)		1,315,102
	96,471	Austal Ltd		117,272
	2,003,099	Beach Energy Ltd		1,889,157
	2,005	BHP Group Ltd (a)		60,681
	580,618	BlueScope Steel Ltd		7,428,829
	558,921	Brambles Ltd (a)		4,829,465
	10,360	Challenger Ltd		51,981
	403,443	Fortescue Metals Group Ltd (a)		5,781,304
	969,024	GPT Group (The) (REIT) (a)		3,058,921
	339,577	GrainCorp Ltd – Class A		1,790,646
	391,714	Grange Resources Ltd		249,429
	307,463	Helia Group Ltd		711,883
	66,858	HomeCo Daily Needs (REIT)		58,934
	35,190	JB Hi-Fi Ltd (b)		987,724
	449,614	Jupiter Mines Ltd		71,075
	22,644	McMillan Shakespeare Ltd		217,808
	220,360	Metcash Ltd (b)		602,434
	1,984,009	Mirvac Group (REIT) (a)		3,020,809
	9,087	Monadelphous Group Ltd		73,161
	96,512	Mount Gibson Iron Ltd * (b)		36,634
	26,347	NRW Holdings Ltd		44,722
	142,179	Nufarm Ltd		553,588
	556,495	Perenti Ltd *		396,590
	38,247	Regis Resources Ltd		44,689
	106,226	Rio Tinto Ltd (a)		8,301,996
	54,450	Sandfire Resources Ltd		214,401
	1,133,073	Scentre Group (REIT) (a)		2,263,035
	79,010	Southern Cross Media Group Ltd		56,233
	1,131,646	Stockland (REIT) (a)		2,915,062
	154,510	Sunrise Energy Metals Ltd *		166,177
	21,255	Super Retail Group Ltd		184,869
	58,090	Viva Energy Group Ltd		117,007
		Total Australia		47,755,623
		Austria — 0.1%
	38,015	OMV AG		1,851,614
	13,375	Raiffeisen Bank International AG *		223,302
	3,216	Strabag SE		127,385
		Total Austria		2,202,301
		Belgium — 0.5%
	133,639	Ageas SA/NV		6,031,003
	20,043	AGFA-Gevaert NV *		59,238
	32,991	Bekaert SA		1,455,666
	3,217	Cie d’Entreprises CFE *		32,395
	11,958	Econocom Group SA (a)		38,718
	1,544	Orange Belgium SA *		26,097

Shares		Description	Value ($)
		Belgium — continued
	10,949	Sofina SA (b)		2,727,659
	22,702	Solvay SA (a)		2,593,200
	19,121	Telenet Group Holding NV		295,554
	74,769	UCB SA		6,427,761
		Total Belgium		19,687,291
		Brazil — 1.1%
	775,100	Ambev SA		1,982,368
	358,100	Banco do Brasil SA		2,756,483
	145,800	BB Seguridade Participacoes SA		952,701
	128,000	CPFL Energia SA		740,551
	176,340	Dexco SA		219,606
	14,400	EDP - Energias do Brasil SA		53,992
	298,335	Enauta Participacoes SA		785,235
	6,000	Engie Brasil Energia SA		45,016
	111,200	Itau Unibanco Holding SA		461,329
	312,100	JBS SA		1,143,970
	178,624	Localiza Rent a Car SA		1,893,218
	169,900	Marfrig Global Foods SA		206,718
	865,200	Petroleo Brasileiro SA Sponsored ADR		9,595,068
	170,526	Sao Martinho SA		885,942
	134,800	Ser Educacional SA *		96,296
	79,400	SLC Agricola SA		747,221
	159,900	Suzano SA		1,458,065
	157,800	Telefonica Brasil SA ADR (a)		1,175,610
	2,396,100	TIM SA		5,611,014
	29,600	TIM SA ADR		347,208
	158,800	Transmissora Alianca de Energia Eletrica SA		1,076,471
	15,400	Ultrapar Participacoes SA		38,769
	104,344	Vale SA		1,700,452
	375,800	Vale SA Sponsored ADR – Class B (a)		6,140,572
	588,600	Vibra Energia SA		1,662,779
		Total Brazil		41,776,654
		Canada — 2.7%
	4,900	ADENTRA Inc (b)		116,709
	26,400	Algoma Steel Group Inc (b)		212,051
	102,200	Alimentation Couche-Tard Inc (a)		4,794,300
	58,000	Anaergia Inc *		186,603
	6,500	Atco Ltd – Class I (a)		201,550
	41,900	Birchcliff Energy Ltd		257,634
	24,407	Brookfield Asset Management Ltd – Class A (a)		820,563
	104,873	Brookfield Corp – Class A (a)		3,487,027
	511,741	Canaccord Genuity Group Inc (b)		4,324,202
	10,574	Canadian Apartment Properties (REIT) (a)		382,973
	52,020	Canadian Solar Inc *		2,067,795
	48,100	Canadian Tire Corp Ltd – Class A (a)		5,995,844
	74,100	Canfor Corp *		1,264,235
	124,200	Celestica Inc * (b) (c)		1,604,724
	43,900	Celestica Inc * (c)		568,505
	10,500	Cogeco Inc		465,555

See accompanying notes to the financial statements. 68

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Canada — continued
	60,100	Crescent Point Energy Corp		410,483
	1,500	Dollarama Inc (a)		86,647
	12,000	DREAM UnLtd Corp – Class A (b)		234,547
	9,200	Element Fleet Management Corp		131,409
	43,366	Enerflex Ltd		287,624
	600	Fairfax Financial Holdings Ltd (a)		419,481
	46,300	Finning International Inc		1,174,381
	141,300	First Quantum Minerals Ltd		3,086,957
	68,100	Hydro One Ltd (a)		1,767,256
	12,100	iA Financial Corp Inc		812,283
	51,600	Imperial Oil Ltd (c)		2,546,976
	13,900	Imperial Oil Ltd (c)		687,513
	117,800	Interfor Corp *		1,983,046
	40,595	International Petroleum Corp *		407,992
	486,900	Ivanhoe Mines Ltd – Class A*		4,067,908
	110,972	Largo Inc * (b)		709,993
	133,500	Li-Cycle Holdings Corp *		809,010
	14,500	Loblaw Cos Ltd (a)		1,239,168
	61,900	Magna International Inc (b)		3,449,978
	311,700	Manulife Financial Corp (a) (c)		6,163,185
	106,600	Manulife Financial Corp (a) (c)		2,106,416
	13,700	Martinrea International Inc		140,364
	46,300	Mullen Group Ltd (a)		483,190
	1,500	National Bank of Canada		110,172
	77,242	Nutrien Ltd (a)		6,007,883
	26,500	OceanaGold Corp *		53,991
	61,800	Onex Corp		3,304,454
	16,800	Parex Resources Inc		273,823
	169,900	Quebecor Inc – Class B		4,019,327
	11,200	Rogers Sugar Inc		50,973
	41,500	Russel Metals Inc		1,081,829
	24,600	Sleep Country Canada Holdings Inc		468,743
	9,800	Spin Master Corp		265,595
	7,500	Stella-Jones Inc		271,418
	2,800	Suncor Energy Inc		94,106
	72,000	Tamarack Valley Energy Ltd (b)		229,007
	261,000	Teck Resources Ltd – Class B (c)		10,418,959
	173,100	Teck Resources Ltd – Class B (c)		6,910,152
	45,100	Uni-Select Inc *		1,566,023
	46,700	Vermilion Energy Inc		625,780
	4,000	Wajax Corp		71,235
	69,200	West Fraser Timber Co Ltd (c)		5,198,241
	16,500	West Fraser Timber Co Ltd (c)		1,238,490
	32,200	Whitecap Resources Inc		246,839
		Total Canada		102,463,117
		Chile — 0.2%
	17,924	CAP SA		149,007
	827,785	Cencosud SA		1,564,678
	100,764	Cencosud Shopping SA		143,562
	19,400	Cia Cervecerias Unidas SA Sponsored ADR		294,492
	5,951,896	Colbun SA		682,441
	86,442	Empresas CMPC SA		143,603

Shares		Description	Value ($)
		Chile — continued
	3,849,027	Enel Chile SA		173,276
	945,241	Falabella SA		2,080,115
	62,938	Inversiones La Construccion SA		274,456
		Total Chile		5,505,630
		China — 3.6%
	282,000	361 Degrees International Ltd *		135,251
	1,436,000	3SBio Inc		1,423,995
	21,392,000	Agricultural Bank of China Ltd – Class H		7,416,547
	350,681	Alibaba Group Holding Ltd *		3,854,490
	69,500	Anhui Conch Cement Co Ltd – Class H		255,156
	93,040	AustAsia Group Ltd *		48,361
	2,446,000	BAIC Motor Corp Ltd – Class H		664,531
	13,065,000	Bank of China Ltd – Class H		4,791,611
	4,235,871	Bank of Communications Co Ltd – Class H		2,504,492
	338,000	Beijing Enterprises Holdings Ltd		1,107,177
	684,000	China BlueChemical Ltd – Class H		154,388
	9,392,000	China Cinda Asset Management Co Ltd – Class H		1,220,710
	1,764,000	China Communications Services Corp Ltd – Class H		685,835
	404,500	China Conch Venture Holdings Ltd		814,047
	12,591,000	China Construction Bank Corp – Class H		7,696,594
	1,741,000	China Dongxiang Group Co Ltd		76,584
	3,862,000	China Energy Engineering Corp Ltd – Class H (b)		452,818
	2,717,000	China Everbright Environment Group Ltd		1,101,925
	3,659,000	China Greenfresh Group Co Ltd (d)		—
	835,000	China High Speed Transmission Equipment Group Co Ltd *		345,184
	3,691,500	China Hongqiao Group Ltd		3,948,438
	759,000	China Lesso Group Holdings Ltd		800,582
	207,000	China Lilang Ltd		105,482
	825,925	China Medical System Holdings Ltd		1,243,391
	715,000	China Overseas Grand Oceans Group Ltd		278,155
	3,130,500	China Overseas Land & Investment Ltd		7,771,427
	18,792,000	China Petroleum & Chemical Corp – Class H		9,587,243
	7,450,000	China Railway Group Ltd – Class H		3,882,840
	629,000	China Railway Signal & Communication Corp Ltd – Class H		229,247
	2,139,000	China Reinsurance Group Corp – Class H		152,733
	3,229,500	China Resources Pharmaceutical Group Ltd		2,656,180
	138,000	China Shineway Pharmaceutical Group Ltd		120,581
	2,324,000	China South City Holdings Ltd * (b)		154,063
	1,488,000	China State Construction International Holdings Ltd		1,694,634
	2,642,000	China Traditional Chinese Medicine Holdings Co Ltd		1,370,820
	336,000	China Water Affairs Group Ltd		298,944
	4,237,600	China Zhongwang Holdings Ltd * (b) (e)		906,970
	5,139,158	CITIC Ltd		5,670,339
	6,040,000	CSPC Pharmaceutical Group Ltd		6,488,761
	3,266,313	Dongfeng Motor Group Co Ltd – Class H		1,668,652
	32,000	Far East Horizon Ltd		28,306

69 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		China — continued
	512,000	Fufeng Group Ltd		328,330
	168,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		494,714
	974,600	Haier Smart Home Co Ltd – Class H		3,449,182
	193,000	Henan Shenhuo Coal & Power Co Ltd – Class A		519,325
	96,000	Hengan International Group Co Ltd		441,531
	114,000	Hisense Home Appliances Group Co Ltd – Class H		171,314
	137,600	Inner Mongolia Eerduosi Resources Co Ltd – Class A		331,948
	376,788	Kingboard Holdings Ltd		1,345,184
	370,400	Legend Holdings Corp – Class H		409,369
	7,388,000	Lenovo Group Ltd		6,648,474
	110,900	Livzon Pharmaceutical Group Inc – Class H		385,461
	760,000	Lonking Holdings Ltd		137,583
	10,546	Meituan – Class B*		183,025
	1,784,000	Metallurgical Corp of China Ltd – Class H		388,964
	184,000	MMG Ltd *		51,897
	55,000	NetDragon Websoft Holdings Ltd		125,182
	743,000	Nexteer Automotive Group Ltd		472,014
	11,544,000	PetroChina Co Ltd – Class H		5,889,033
	7,148,000	PICC Property & Casualty Co Ltd – Class H		6,278,451
	712,000	Poly Property Group Co Ltd		170,810
	98,000	Road King Infrastructure Ltd		48,518
	851,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		1,502,314
	3,118,000	Shimao Group Holdings Ltd * (e)		1,755,747
	314,000	Shougang Fushan Resources Group Ltd		100,868
	1,787,500	Sino-Ocean Group Holding Ltd		225,849
	720,000	Sinopec Engineering Group Co Ltd – Class H		360,722
	1,215,600	Sinopharm Group Co Ltd – Class H		3,255,756
	959,000	Sinotruk Hong Kong Ltd		1,511,500
	1,768,000	Skyworth Group Ltd		969,953
	166,000	SSY Group Ltd		99,537
	5,905,000	Sunac China Holdings Ltd * (b) (e)		3,445,474
	684,000	TCL Electronics Holdings Ltd *		295,610
	124,460	Tencent Holdings Ltd		5,467,328
	844,000	Tianjin Port Development Holdings Ltd		64,561
	674,000	Tianneng Power International Ltd (b)		864,662
	1,500	Vipshop Holdings Ltd ADR *		22,335
	382,800	Western Mining Co Ltd – Class A		633,593
	497,200	Xinjiang Goldwind Science & Technology Co Ltd – Class H		448,497
	714,000	Yadea Group Holdings Ltd		1,532,381
	22,500	Zhongsheng Group Holdings Ltd		112,393
	50,800	ZTE Corp – Class H		150,932
		Total China		134,897,805
		Czech Republic — 0.0%
	176,806	Moneta Money Bank AS		673,535

Shares		Description	Value ($)
		Czech Republic — continued
	627	Philip Morris CR AS		485,679
		Total Czech Republic		1,159,214
		Denmark — 0.6%
	1,484	AP Moller – Maersk A/S – Class A (a)		3,391,965
	1,486	AP Moller – Maersk A/S – Class B (a)		3,461,410
	325,748	Danske Bank A/S		7,564,928
	9,656	Matas A/S		112,284
	78,130	Pandora A/S		7,400,759
	1,341	Rockwool A/S – B Shares		304,459
	53,305	Vestas Wind Systems A/S (a)		1,521,055
		Total Denmark		23,756,860
		Egypt — 0.0%
	551,207	Commercial International Bank Egypt SAE		955,597
	713,067	Eastern Co SAE		431,038
	34,352	Misr Fertilizers Production Co SAE		160,133
		Total Egypt		1,546,768
		Finland — 0.6%
	26,260	Kemira Oyj		502,971
	72,610	Metsa Board Oyj – Class B		635,241
	80,200	Neste Oyj		3,868,145
	1,784,682	Nokia Oyj (a)		8,256,918
	226,312	Outokumpu Oyj		1,354,929
	2,910	Sanoma Oyj		27,064
	166,464	UPM-Kymmene Oyj (a)		6,032,062
		Total Finland		20,677,330
		France — 2.8%
	46,601	ALD SA (a)		617,305
	3,646	APERAM SA		141,786
	230,041	ArcelorMittal SA		6,903,391
	33,470	Arkema SA		3,393,157
	1,542	Axway Software SA (a)		36,674
	75,573	BNP Paribas SA		5,283,394
	1,626	Boiron SA		72,606
	764	Caisse Regionale de Credit Agricole Mutuel Nord de France		12,972
	138,208	Cie de Saint-Gobain (a)		8,212,683
	126,880	Coface SA		1,869,998
	67,952	Derichebourg SA		436,972
	1,170	Eiffage SA (a)		128,406
	6,203	Eramet SA		665,651
	989	HEXAOM		19,863
	45,941	Ipsen SA		5,249,152
	34,929	IPSOS		2,142,726
	5,574	Kering SA (a)		3,268,151
	7,494	LVMH Moet Hennessy Louis Vuitton SE (a)		6,229,959
	4,919	Mersen SA		232,068
	12,291	Metropole Television SA		183,451
	115,771	Publicis Groupe SA (a)		9,190,729

See accompanying notes to the financial statements. 70

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		France — continued
	26,267	Quadient SA		455,897
	5,563	Rexel SA		138,283
	2,607	Rothschild & Co		130,544
	49,644	Safran SA (a)		7,009,798
	75,904	Sanofi (a)		7,096,891
	1,354	SMCP SA *		10,569
	17,570	Societe BIC SA		1,136,545
	390,917	Societe Generale SA		11,266,051
	131,500	STMicroelectronics NV		6,333,040
	1,570	Synergie SE		55,858
	113,753	Technip Energies NV		2,202,297
	134,947	Television Francaise 1		1,075,378
	170,220	TotalEnergies SE (a) (c)		10,503,280
	2,651	TotalEnergies SE (c)		163,909
	70,565	Veolia Environnement SA (a)		2,105,963
		Total France		103,975,397
		Germany — 1.0%
	11,635	1&1 AG		139,410
	369	Amadeus Fire AG		47,937
	5,444	Aurubis AG		532,470
	43,999	Bayer AG (Registered) (a)		2,612,714
	44,384	Bayerische Motoren Werke AG (a)		4,578,892
	33,094	Beiersdorf AG (a)		3,949,622
	69,524	Commerzbank AG *		847,184
	1,247	Deutsche Boerse AG		217,444
	1,359	Deutsche Telekom AG (a)		30,500
	561	Draegerwerk AG & Co KGaA		21,814
	4,253	Elmos Semiconductor SE		345,115
	56,131	Fresenius SE & Co KGaA (a)		1,544,567
	5,683	Hamburger Hafen und Logistik AG (a)		75,180
	2,725	Hannover Rueck SE (a)		529,191
	25,638	HeidelbergCement AG (a)		1,760,111
	5,330	Hornbach Holding AG & Co KGaA		442,661
	1,945	HUGO BOSS AG		133,027
	159,245	Kloeckner & Co SE		1,723,630
	3,813	Krones AG		464,357
	108,310	Mercedes-Benz Group AG (a)		8,301,171
	29,591	Merck KGaA (a)		5,607,287
	5,222	RTL Group SA		251,728
	27,171	Salzgitter AG		1,140,148
	3,459	Siltronic AG		251,880
	1,907	Talanx AG (a)		91,073
	4,711	Traton SE		76,945
	7,646	Volkswagen AG		1,358,389
	1,076	Wuestenrot & Wuerttembergische AG		19,545
		Total Germany		37,093,992
		Greece — 0.1%
	2,291	Hellenic Telecommunications Organization SA		35,144
	35,752	Jumbo SA		713,894

Shares		Description	Value ($)
		Greece — continued
	40,970	Mytilineos SA		1,105,382
		Total Greece		1,854,420
		Hong Kong — 0.6%
	335,300	ASMPT Ltd		2,860,910
	197,000	Bank of East Asia Ltd (The)		278,275
	238,000	BOC Hong Kong Holdings Ltd		805,474
	71,000	Chow Sang Sang Holdings International Ltd		91,437
	904,000	CITIC Telecom International Holdings Ltd		329,401
	219,500	CK Asset Holdings Ltd (a)		1,376,711
	173,000	CK Hutchison Holdings Ltd (a)		1,033,026
	1,170,000	CSI Properties Ltd		22,095
	220,400	Dah Sing Banking Group Ltd		178,890
	59,200	Dah Sing Financial Holdings Ltd		159,946
	500,000	E-Commodities Holdings Ltd		87,332
	944,000	First Pacific Co Ltd		316,537
	398,827	Galaxy Entertainment Group Ltd		2,655,246
	254,000	Giordano International Ltd		61,862
	30,000	Hang Lung Group Ltd		54,509
	93,000	Health & Happiness H&H International Holdings Ltd		156,977
	631,000	HKT Trust & HKT Ltd – Class SS		820,362
	907,000	IGG Inc *		332,364
	211,500	Johnson Electric Holdings Ltd		242,614
	290,000	K Wah International Holdings Ltd		100,182
	98,000	Kerry Logistics Network Ltd		161,963
	240,000	Kerry Properties Ltd (a)		600,943
	65,000	Luk Fook Holdings International Ltd		207,508
	221,000	NWS Holdings Ltd		194,594
	4,500	Orient Overseas International Ltd (a)		72,285
	518,000	Pacific Textiles Holdings Ltd		173,598
	264,000	PAX Global Technology Ltd		230,875
	103,000	PCCW Ltd		51,201
	166,500	Power Assets Holdings Ltd (a)		890,571
	636,000	Shun Tak Holdings Ltd *		128,840
	460,000	Singamas Container Holdings Ltd		39,846
	508,000	SITC International Holdings Co Ltd		1,062,709
	108,500	SmarTone Telecommunications Holdings Ltd		72,483
	217,000	Sun Hung Kai & Co Ltd		87,969
	221,000	Swire Pacific Ltd – Class A (a)		1,803,516
	40,000	TAI Cheung Holdings Ltd		21,513
	137,500	Texhong International Group Ltd		117,943
	414,000	VPower Group International Holdings Ltd – Class H* (b)		22,445
	568,000	VSTECS Holdings Ltd		327,899
	103,600	VTech Holdings Ltd		569,151
	5,522,000	WH Group Ltd		3,213,412
	237,500	Yue Yuen Industrial Holdings Ltd		351,378
		Total Hong Kong		22,366,792
		Hungary — 0.2%
	278,008	MOL Hungarian Oil & Gas Plc		2,111,103

71 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Hungary — continued
	158,172	OTP Bank Nyrt		4,791,484
	40,842	Richter Gedeon Nyrt		856,116
		Total Hungary		7,758,703
		India — 2.4%
	64,791	Arvind Ltd *		64,808
	45,479	Asian Paints Ltd		1,556,737
	55,851	Aurobindo Pharma Ltd		311,246
	156,814	Axis Bank Ltd		1,601,032
	15,336	Bajaj Consumer Care Ltd		30,234
	53,522	Castrol India Ltd		74,370
	68,022	Cipla Ltd		744,764
	39,687	City Union Bank Ltd		66,432
	2,294,935	Coal India Ltd		5,958,993
	67,849	Cochin Shipyard Ltd		371,653
	8,616	Colgate-Palmolive India Ltd		153,967
	37,217	Coromandel International Ltd		406,851
	7,819	Deepak Fertilisers & Petrochemicals Corp Ltd		59,050
	65,110	Dhampur Bio Organics Ltd *		115,851
	17,305	Dhampur Sugar Mills Ltd		43,509
	3,200	Dr Reddy’s Laboratories Ltd ADR		167,200
	6,542	EID Parry India Ltd		39,480
	66,384	Engineers India Ltd		57,660
	331,612	Exide Industries Ltd		705,286
	1,840	Finolex Cables Ltd		15,658
	5,577,768	GAIL India Ltd		6,934,122
	16,487	GHCL Ltd		103,008
	93,684	Glenmark Pharmaceuticals Ltd		486,680
	7,222	Godawari Power and Ispat Ltd		29,754
	726	Godfrey Phillips India Ltd		15,600
	14,756	Great Eastern Shipping Co Ltd (The)		97,988
	38,845	Gujarat Mineral Development Corp Ltd		62,654
	12,142	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		77,314
	22,374	Gujarat Pipavav Port Ltd		28,606
	535,930	Gujarat State Fertilizers & Chemicals Ltd		811,171
	66,314	HDFC Bank Ltd		1,285,265
	1,145	Hero MotoCorp Ltd		33,566
	478,026	Hindalco Industries Ltd		2,307,430
	27,950	Hindustan Aeronautics Ltd		870,513
	346,207	Hindustan Petroleum Corp Ltd		902,814
	7,830	Hindustan Unilever Ltd		232,642
	58,692	Hindustan Zinc Ltd		215,939
	44,011	Housing Development Finance Corp Ltd		1,387,708
	207,147	ICICI Bank Ltd		2,140,956
	9,886	Indiabulls Housing Finance Ltd *		12,039
	742,129	Indian Oil Corp Ltd		682,334
	21,755	Indus Towers Ltd		45,357
	12,186	Infosys Ltd		219,256
	100,253	Infosys Ltd Sponsored ADR (a)		1,798,539
	2,552,543	ITC Ltd		11,619,869
	228,690	Karnataka Bank Ltd (The)		401,311
	3,237	KRBL Ltd		13,269

Shares		Description	Value ($)
		India — continued
	27,845	L&T Finance Holdings Ltd		29,574
	9,992	Mahanagar Gas Ltd		107,955
	149,640	Mahindra & Mahindra Ltd		2,306,331
	92,059	Manappuram Finance Ltd		114,592
	250,629	National Aluminium Co Ltd		237,310
	88,089	NBCC India Ltd		35,341
	90,708	NCC Ltd		98,056
	1,349,056	NMDC Ltd		1,808,040
	1,429,048	NMDC Steel Ltd *		578,240
	1,183,130	NTPC Ltd		2,433,147
	7,269,934	Oil & Natural Gas Corp Ltd		13,334,842
	195,691	Oil India Ltd		582,260
	3,389	Oracle Financial Services Software Ltd		129,294
	275,162	Petronet LNG Ltd		738,248
	3,861	PI Industries Ltd		144,434
	1,364,896	Power Finance Corp Ltd		2,388,916
	97,251	PTC India Ltd		104,004
	7,227	Rain Industries Ltd		13,387
	45,714	Rajesh Exports Ltd		358,952
	18,556	Rashtriya Chemicals & Fertilizers Ltd		21,847
	1,825,764	REC Ltd		2,527,184
	266,653	Redington Ltd		549,193
	11,036	RITES Ltd		43,472
	461,623	Sun Pharmaceutical Industries Ltd		5,348,642
	53,227	Sun TV Network Ltd		276,938
	487	Tata Chemicals Ltd		5,750
	4,099,245	Tata Steel Ltd		5,162,925
	60,302	Titan Co Ltd		1,727,507
	76,800	Vardhman Textiles Ltd *		287,571
	438,784	Vedanta Ltd		1,422,878
	61,767	Welspun Corp Ltd		137,381
	1,830	West Coast Paper Mills Ltd		10,570
	18,250	Zensar Technologies Ltd		63,944
	20,268	Zydus Lifesciences Ltd		113,673
		Total India		88,602,883
		Indonesia — 0.5%
	12,198,900	Adaro Energy Indonesia Tbk PT		2,390,041
	594,100	Aneka Tambang Tbk		77,526
	3,422,800	Astra International Tbk PT		1,369,146
	7,792,100	Bank Central Asia Tbk PT		4,469,071
	2,522,192	Bank Mandiri Persero Tbk PT		1,653,423
	981,500	Bank Negara Indonesia Persero Tbk PT		564,486
	3,007,300	Bank Pembangunan Daerah Jawa Timur Tbk PT		145,910
	5,468,200	Bank Rakyat Indonesia Persero Tbk PT		1,673,627
	3,614,400	Bukit Asam Tbk PT		914,586
	3,326,300	Global Mediacom Tbk PT *		62,371
	847,100	Indika Energy Tbk PT		127,708
	361,500	Indo Tambangraya Megah Tbk PT		881,182
	1,641,700	Indofood Sukses Makmur Tbk PT		696,998
	7,260,800	Kalbe Farma Tbk PT		1,004,426
	5,089,000	Media Nusantara Citra Tbk PT *		216,835
	15,752,600	Panin Financial Tbk PT		411,108

See accompanying notes to the financial statements. 72

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Indonesia — continued
	3,986,400	Perusahaan Gas Negara Tbk PT		408,924
	477,600	United Tractors Tbk PT		873,555
		Total Indonesia		17,940,923
		Ireland — 0.5%
	49,187	AIB Group Plc		210,093
	634,169	Bank of Ireland Group Plc		6,986,711
	43,417	Glanbia Plc		536,142
	8,927	Kingspan Group Plc		579,434
	38,104	Origin Enterprises Plc		170,514
	24,839	Permanent TSB Group Holdings Plc *		68,351
	52,951	Ryanair Holdings Plc Sponsored ADR * (a)		4,912,264
	88,883	Smurfit Kappa Group Plc		3,315,933
		Total Ireland		16,779,442
		Israel — 0.5%
	4,764	Delek Group Ltd *		445,326
	541,530	Oil Refineries Ltd		163,395
	620,500	Teva Pharmaceutical Industries Ltd Sponsored ADR *		6,149,155
	143,446	Tower Semiconductor Ltd *		5,818,170
	195,900	ZIM Integrated Shipping Services Ltd		4,634,994
		Total Israel		17,211,040
		Italy — 0.8%
	58,641	Anima Holding SPA		253,326
	24,111	Arnoldo Mondadori Editore SPA		46,664
	54,052	Banca IFIS SPA		887,263
	79,933	Banco BPM SPA		348,441
	33,385	BPER Banca		94,830
	60,809	Credito Emiliano SPA		522,525
	297,689	Eni SPA		4,204,566
	20,711	Esprinet SPA		158,065
	133,568	IMMSI SPA		73,963
	185,740	Italgas SPA (a)		1,055,103
	350,908	Leonardo SPA		3,936,945
	246,850	MFE-MediaForEurope NV – Class A		108,454
	1,452	Prima Industrie SPA		38,365
	2,198	Sabaf SPA		39,480
	409,629	Stellantis NV (a)		7,166,163
	18,494,345	Telecom Italia SPA *		6,038,819
	26,013	UniCredit SPA		532,187
	6,329	Unieuro SPA (b)		75,056
	533,274	Unipol Gruppo SPA		2,820,960
		Total Italy		28,401,175
		Japan — 13.0%
	27,234	AGC Inc		1,007,568
	13,100	Aichi Corp		75,879
	27,100	Aisin Corp		742,635
	266,800	Amano Corp		4,933,990
	5,900	AOKI Holdings Inc		35,558
	100,300	Arcs Co Ltd (b)		1,596,503

Shares		Description	Value ($)
		Japan — continued
	560,900	Asahi Kasei Corp		3,906,675
	14,800	Bandai Namco Holdings Inc		914,509
	9,100	Bando Chemical Industries Ltd		70,048
	138,600	Brother Industries Ltd		2,038,659
	5,600	Canon Electronics Inc		72,655
	288,000	Canon Inc (a)		6,198,406
	100	Canon Inc Sponsored ADR (a)		2,147
	23,600	Canon Marketing Japan Inc		521,538
	16,600	Central Glass Co Ltd		407,936
	4,000	Chiyoda Integre Co Ltd		66,416
	276,100	Chugoku Marine Paints Ltd		2,272,699
	242,000	Citizen Watch Co Ltd (b)		1,464,845
	416,500	Credit Saison Co Ltd		5,676,610
	76,100	Dai Nippon Printing Co Ltd (a)		2,040,224
	13,700	Dai Nippon Toryo Co Ltd		85,514
	92,000	Daicel Corp		638,760
	4,000	Dai-Dan Co Ltd		69,939
	4,800	Daiichi Jitsugyo Co Ltd		186,837
	4,100	Daiken Corp		66,657
	3,000	Daito Pharmaceutical Co Ltd		54,213
	562,700	Daiwabo Holdings Co Ltd		8,695,755
	305,200	Denka Co Ltd		6,445,054
	56,800	Dentsu Group Inc		1,821,494
	16,600	Ebara Corp		705,453
	450,600	EXEO Group Inc		7,906,545
	194,400	Ezaki Glico Co Ltd		4,880,855
	2,400	FJ Next Co Ltd (b)		17,803
	415,800	Fuji Corp		6,297,324
	28,500	Fuji Electric Co Ltd		1,100,380
	5,000	Fuji Pharma Co Ltd		38,911
	159,400	FUJIFILM Holdings Corp		7,436,307
	13,700	Fukuoka Financial Group Inc		305,830
	9,000	Furuno Electric Co Ltd		64,182
	1,600	Furyu Corp		14,108
	3,400	G-7 Holdings Inc		35,863
	306,200	H.U. Group Holdings Inc		6,025,879
	26,400	Hachijuni Bank Ltd (The)		119,468
	19,000	Hanwa Co Ltd		552,801
	649,994	Haseko Corp		7,458,835
	7,800	Heiwado Co Ltd		122,097
	3,200	Hochiki Corp		34,667
	123,500	Hogy Medical Co Ltd		2,918,052
	269,800	Honda Motor Co Ltd (a)		7,015,658
	29,500	Honda Motor Co Ltd Sponsored ADR (a)		766,115
	36,200	Hosiden Corp		443,116
	4,000	Hosokawa Micron Corp		80,960
	2,300	Hyakujushi Bank Ltd (The)		33,879
	99,400	Idemitsu Kosan Co Ltd		2,199,871
	39,600	Inabata & Co Ltd		780,574
	702,000	Inpex Corp		7,360,039
	441,100	ITOCHU Corp (a)		13,184,777
	1,300	Itochu-Shokuhin Co Ltd		47,442
	44,600	Itoham Yonekyu Holdings Inc		233,844
	25,000	Itoki Corp		144,663

73 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Japan — continued
	15,500	Jaccs Co Ltd		504,774
	29,000	Japan Aviation Electronics Industry Ltd		481,421
	12,700	Japan Petroleum Exploration Co Ltd		457,589
	338,600	Japan Tobacco Inc (a)		6,885,566
	13,900	Kaga Electronics Co Ltd		498,595
	146,900	Kajima Corp		1,755,604
	14,900	Kamei Corp		166,618
	22,500	Kandenko Co Ltd		147,632
	9,400	Kaneka Corp		236,201
	290,500	Kanematsu Corp		3,480,893
	362,700	KDDI Corp (a)		10,611,827
	459,700	Kirin Holdings Co Ltd (a)		6,881,011
	18,300	Kitz Corp		118,949
	5,179	Kohnan Shoji Co Ltd (b)		120,487
	32,200	Komeri Co Ltd		626,618
	193,800	Konoike Transport Co Ltd		2,129,639
	400	Krosaki Harima Corp		18,551
	474,800	K’s Holdings Corp		4,090,938
	8,000	Kyosan Electric Manufacturing Co Ltd		24,375
	274,300	Kyudenko Corp		6,928,247
	28,400	Macnica Holdings Inc		785,680
	251,300	Macromill Inc		1,874,168
	2,300	Makino Milling Machine Co Ltd		83,282
	271,500	Mandom Corp		2,863,354
	440,800	Marubeni Corp (a)		5,627,278
	275,600	Maruichi Steel Tube Ltd		5,987,957
	5,400	Maruzen Showa Unyu Co Ltd		123,709
	6,100	Matsuda Sangyo Co Ltd		102,823
	256,100	Maxell Ltd		2,731,746
	94,500	Mazda Motor Corp		845,496
	22,400	MCJ Co Ltd		157,871
	327,700	Mebuki Financial Group Inc		880,918
	1,600	Melco Holdings Inc		39,646
	75,800	Mirarth Holdings Inc		210,887
	157,600	Mitsubishi Corp (a)		5,353,839
	518,600	Mitsubishi Electric Corp		5,827,620
	3,500	Mitsubishi Gas Chemical Co Inc		49,583
	44,500	Mitsubishi Materials Corp		692,733
	604,500	Mitsubishi Motors Corp *		2,383,866
	3,500	Mitsubishi Research Institute Inc (a)		133,191
	900	Mitsubishi Shokuhin Co Ltd		21,423
	707,700	Mitsubishi UFJ Financial Group Inc (a)		5,017,234
	137,400	Mitsui & Co Ltd (a)		3,856,250
	2,800	Mitsui Chemicals Inc		67,550
	10,600	Mitsui DM Sugar Holdings Co Ltd		162,049
	256,500	Mitsui OSK Lines Ltd (a)		6,699,807
	11,200	Mitsui-Soko Holdings Co Ltd (a)		324,295
	7,500	MIXI Inc		147,392
	16,500	Modec Inc *		182,511
	177,100	Morinaga & Co Ltd		5,108,132
	169,600	MS&AD Insurance Group Holdings Inc		5,550,011
	18,200	MTI Ltd		72,487
	3,700	Nagase & Co Ltd		54,968
	189,400	NEC Corp (a)		6,778,299

Shares		Description	Value ($)
		Japan — continued
	247,800	NGK Spark Plug Co Ltd (b)		4,983,048
	241,800	NH Foods Ltd		6,676,641
	34,700	Nichias Corp		684,261
	12,900	Nichiha Corp		249,178
	8,400	Nichireki Co Ltd		91,362
	159,700	Nikon Corp		1,581,776
	7,000	Nippn Corp		83,225
	4,200	Nippon Densetsu Kogyo Co Ltd		46,966
	10,400	Nippon Soda Co Ltd		352,780
	3,100	Nippon Steel Trading Corp		210,960
	300,900	Nippon Telegraph & Telephone Corp (a)		8,719,124
	68,300	Nippon Television Holdings Inc		562,228
	269,100	Nippon Yusen KK (a) (b)		6,994,712
	8,300	Nisshin Oillio Group Ltd (The)		202,957
	3,800	Nissin Corp		58,954
	4,300	Nitto Kogyo Corp		83,661
	41,000	Nojima Corp		408,095
	680,800	Obayashi Corp		5,035,890
	6,000	Ono Pharmaceutical Co Ltd		122,208
	14,300	Osaka Soda Co Ltd		451,971
	10,200	Osaki Electric Co Ltd		40,072
	274,100	Pacific Industrial Co Ltd		2,340,412
	21,000	PAL GROUP Holdings Co Ltd		428,958
	1,036,300	Penta-Ocean Construction Co Ltd		4,938,706
	10,800	Prima Meat Packers Ltd		169,797
	8,000	Proto Corp		71,670
	66,000	Renesas Electronics Corp *		852,554
	72,900	Rohm Co Ltd		5,614,223
	43,000	San-A Co Ltd (b)		1,325,342
	21,600	Sanki Engineering Co Ltd		242,343
	210,900	Sankyu Inc (a)		7,759,129
	53,500	Sanwa Holdings Corp		563,952
	1,000	Sanyo Denki Co Ltd		41,534
	56,200	Sawai Group Holdings Co Ltd		1,556,015
	107,200	Secom Co Ltd (a)		6,234,155
	202,600	Seiko Epson Corp		2,793,386
	39,000	Sekisui Chemical Co Ltd		522,842
	504,100	Sekisui House Ltd		9,544,243
	7,500	Sekisui Jushi Corp		108,815
	35,400	Shimamura Co Ltd		3,307,036
	543,300	Shimizu Corp		2,932,669
	9,100	Shin-Etsu Polymer Co Ltd		90,386
	10,500	Shinmaywa Industries Ltd		86,653
	6,200	Shinnihon Corp		42,014
	2,000	Sinanen Holdings Co Ltd		51,183
	9,300	Sinko Industries Ltd		107,646
	84,900	SKY Perfect JSAT Holdings Inc		322,220
	346,020	Sojitz Corp		6,642,798
	458,200	Stanley Electric Co Ltd		9,554,993
	21,500	Star Micronics Co Ltd		272,718
	166,900	Subaru Corp		2,673,943
	431,500	SUMCO Corp		5,954,018
	1,564,400	Sumitomo Chemical Co Ltd		5,481,649
	368,900	Sumitomo Corp (a)		6,287,079

See accompanying notes to the financial statements. 74

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Japan — continued
	182,100	Sumitomo Forestry Co Ltd		3,494,324
	236,800	Sumitomo Mitsui Financial Group Inc		10,341,962
	208,600	Sumitomo Mitsui Trust Holdings Inc		7,728,635
	1,500	Sumitomo Seika Chemicals Co Ltd		48,248
	2,600	Sumitomo Warehouse Co Ltd (The) (a)		40,650
	646,900	T&D Holdings Inc		9,796,782
	39,300	Tachi-S Co Ltd		359,472
	168,500	Taisei Corp		5,493,635
	5,500	Takeuchi Manufacturing Co Ltd (b)		117,484
	423,500	Takuma Co Ltd		4,264,291
	10,000	Tamron Co Ltd		238,185
	563,200	Teijin Ltd		5,851,976
	300,400	THK Co Ltd		6,727,674
	182,500	Toho Holdings Co Ltd		2,950,989
	766,200	Tokai Carbon Co Ltd (b)		7,481,371
	1,500	Token Corp		85,179
	253,600	Tokyo Gas Co Ltd (a)		4,891,295
	181,000	Tokyo Seimitsu Co Ltd		6,608,007
	471,400	Toppan Inc		8,525,009
	255,800	Tosei Corp		2,768,381
	224,700	Tosoh Corp		3,057,985
	7,000	Towa Pharmaceutical Co Ltd		98,382
	48,300	Toyo Construction Co Ltd		314,427
	3,300	Toyo Ink SC Holdings Co Ltd		46,869
	133,900	Toyota Industries Corp		7,855,933
	48,100	Toyota Tsusho Corp (a)		1,961,686
	35,700	Tsumura & Co		678,865
	6,500	TV Asahi Holdings Corp		69,341
	14,000	Unipres Corp		82,864
	11,700	Wacoal Holdings Corp		210,522
	4,600	Warabeya Nichiyo Holdings Co Ltd (b)		62,765
	23,800	YAMABIKO Corp		220,703
	117,200	Yamaha Motor Co Ltd		2,998,586
	400	Yamato Kogyo Co Ltd		16,034
	23,300	Yamazen Corp		179,131
	16,800	Yellow Hat Ltd		219,400
	106,000	Yokogawa Bridge Holdings Corp		1,598,403
	8,800	Yokogawa Electric Corp		131,430
	7,200	Yuasa Trading Co Ltd		193,411
	136,900	Zenkoku Hosho Co Ltd		5,215,679
		Total Japan		486,980,726
		Kuwait — 0.0%
	13,649	Humansoft Holding Co KSC		163,619
		Malaysia — 0.1%
	144,700	AMMB Holdings Bhd		129,269
	330,500	Hartalega Holdings Bhd		108,246
	293,600	Hibiscus Petroleum Bhd		69,571
	208,300	IOI Corp Bhd		177,778
	369,700	Kossan Rubber Industries Bhd		89,777
	12,300	Kuala Lumpur Kepong Bhd		56,994
	1,036,700	Petronas Chemicals Group Bhd		1,653,744

Shares		Description	Value ($)
		Malaysia — continued
	11,100	Petronas Gas Bhd		41,203
	62,400	PPB Group Bhd		243,298
	53,900	RHB Bank Bhd		68,220
	486,000	Telekom Malaysia Bhd		544,745
	38,200	TIME dotCom Bhd		45,538
		Total Malaysia		3,228,383
		Mexico — 1.1%
	56,500	Alpek SAB de CV		68,956
	1,357,510	America Movil SAB de CV – Series L		1,394,125
	40,709	America Movil SAB de CV – Class L Sponsored ADR		837,791
	239,215	Arca Continental SAB de CV		2,026,133
	240,702	Banco del Bajio SA		919,710
	2,296	Coca-Cola Femsa SAB de CV Sponsored ADR		165,335
	1,136,700	Credito Real SAB de CV SOFOM ER * (d)		—
	91,100	El Puerto de Liverpool SAB de CV – Class C1		553,576
	734,310	Fomento Economico Mexicano SAB de CV		6,762,563
	3,954	Fomento Economico Mexicano SAB de CV Sponsored ADR		363,452
	178,200	Gentera SAB de CV		193,136
	19,660	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		187,977
	19,340	Grupo Aeroportuario del Pacifico SAB de CV – Class B		366,885
	40,007	Grupo Aeroportuario del Sureste SAB de CV – Class B		1,145,469
	288	Grupo Aeroportuario del Sureste SAB de CV ADR		82,420
	1,418,669	Grupo Financiero Banorte SAB de CV – Class O		12,009,043
	29,255	Grupo Herdez SAB de CV – Series *		69,394
	1,968,840	Grupo Mexico SAB de CV – Series B		8,855,018
	60,500	Grupo Televisa SAB Sponsored ADR		300,080
	81,551	Qualitas Controladora SAB de CV		507,273
	105,700	Regional SAB de CV		876,958
	196,849	Unifin Financiera SAB de CV SOFOM ENR * (d)		—
	994,472	Wal-Mart de Mexico SAB de CV		3,918,860
		Total Mexico		41,604,154
		Netherlands — 1.9%
	321,383	ABN AMRO Bank NV CVA		5,671,178
	1,225,748	Aegon NV		6,377,856
	123,888	ASR Nederland NV		5,638,247
	9,661	Brunel International NV		119,443
	16,510	Evander Gold Mines Ltd (e)		175
	163,209	EXOR NV *		13,467,082
	64,477	ForFarmers NV (b)		224,137
	173,045	JDE Peet’s NV		5,093,935
	455,573	Koninklijke Ahold Delhaize NV (a)		14,465,295
	375,771	Koninklijke Philips NV (a)		6,135,132
	153,766	NN Group NV		6,223,918

75 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Netherlands — continued
	107,562	Randstad NV		6,600,022
	974	Signify NV		33,749
		Total Netherlands		70,050,169
		New Zealand — 0.1%
	208,690	Auckland International Airport Ltd * (a)		1,127,651
	403,006	Meridian Energy Ltd (a)		1,322,805
	67,374	Spark New Zealand Ltd		208,022
		Total New Zealand		2,658,478
		Norway — 0.4%
	80,560	Austevoll Seafood ASA		688,361
	6,391	BW LPG Ltd		55,907
	319,811	DNO ASA		366,450
	366,766	Elkem ASA		1,380,738
	301,631	Equinor ASA (a)		9,233,933
	139,926	Europris ASA		986,466
	31,285	Hoegh Autoliners ASA (a)		205,098
	52,913	Norske Skog ASA *		341,108
	10,799	SpareBank 1 Nord Norge		107,146
	9,566	Stolt-Nielsen Ltd (a)		295,717
	5,268	Subsea 7 SA		68,428
	20,920	TGS ASA		376,574
	109,148	Wallenius Wilhelmsen ASA (a)		954,206
		Total Norway		15,060,132
		Pakistan — 0.0%
	100,507	Oil & Gas Development Co Ltd		31,539
	43,862	Pakistan Oilfields Ltd		71,791
	169,206	Pakistan Petroleum Ltd		40,527
		Total Pakistan		143,857
		Panama — 0.0%
	494,873	BAC Holding International Corp *		20,123
		Philippines — 0.0%
	30,470	GT Capital Holdings Inc		285,534
	63,200	Manila Electric Co		362,816
	5,097,024	Megaworld Corp		185,907
	199,300	Puregold Price Club Inc		113,436
		Total Philippines		947,693
		Poland — 0.3%
	17,571	Asseco Poland SA		315,104
	194,129	Bank Polska Kasa Opieki SA		3,906,491
	13,963	Budimex SA		883,291
	75,238	Cyfrowy Polsat SA		291,441
	7,021	Jastrzebska Spolka Weglowa SA *		86,265
	60,313	Orange Polska SA		91,074
	309,662	Polski Koncern Naftowy ORLEN SA		4,624,978
	165,854	Powszechny Zaklad Ubezpieczen SA		1,363,645

Shares		Description	Value ($)
		Poland — continued
	1,397	Santander Bank Polska SA		93,745
		Total Poland		11,656,034
		Portugal — 0.4%
	695,781	EDP – Energias de Portugal SA		3,503,759
	573,086	Galp Energia SGPS SA		6,991,375
	8,810	Jeronimo Martins SGPS SA		180,834
	317,312	Navigator Co SA (The)		1,115,995
	106,341	NOS SGPS SA		469,892
	23,211	REN - Redes Energeticas Nacionais SGPS SA		62,406
	1,533,704	Sonae SGPS SA		1,680,407
		Total Portugal		14,004,668
		Qatar — 0.1%
	209,477	Ooredoo QPSC		529,365
	356,559	Qatar National Bank QPSC		1,649,945
	160,925	Qatar National Cement Co QSC		186,743
		Total Qatar		2,366,053
		Russia — 0.0%
	10,221,010	Alrosa PJSC * (d) (f)		82,408
	376,870,000	Federal Grid Co Unified Energy System PJSC * (d)		4,449
	214,678	Fix Price Group Plc GDR* (d)		6,155
	415,363	Gazprom Neft PJSC (d)		23,569
	4,924,596	Gazprom PJSC (d)		103,492
	75,924	Globaltrans Investment Plc Sponsored GDR (Registered) * (d)		3,269
	18,204,300	Inter RAO UES PJSC (d)		8,279
	88,304	LSR Group PJSC – Class A* (d)		5,666
	4	LSR Group PJSC GDR (Registered) * (d)		—
	192,855	LUKOIL PJSC (d)		101,888
	5,760,219	Magnitogorsk Iron & Steel Works PJSC * (d) (f)		30,079
	71,800	Mechel PJSC * (d)		1,213
	12,797	MMC Norilsk Nickel PJSC (d)		24,707
	8	MMC Norilsk Nickel PJSC ADR * (d)		2
	23,942	Mobile TeleSystems PJSC (d)		829
	37,065	Mobile TeleSystems PJSC ADR* (d)		2,568
	1,472,470	Moscow Exchange MICEX-RTS PJSC * (d)		22,661
	7,545,000	Mosenergo PJSC (d)		2,018
	191,960	Novatek PJSC (d)		27,317
	3,493,400	Novolipetsk Steel PJSC * (d)		58,222
	6,115	PhosAgro PJSC (d)		5,488
	118	PhosAgro PJSC GDR * (d) (f)		35
	254,956	Polymetal International Plc *		750,690
	25,552	Polyus PJSC * (d)		29,888
	1	Polyus PJSC GDR (Registered) * (d)		1
	1,493	Ros Agro Plc GDR (Registered) * (c) (d)		139
	1,208	Ros Agro Plc GDR (Registered) * (c) (d)		127
	49,974,140	RusHydro PJSC (d)		5,253
	8,073,970	Sberbank of Russia PJSC * (d) (f)		182,780
	7,395	Severstal PAO * (d) (f)		1,045

See accompanying notes to the financial statements. 76

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Russia — continued
	261,549	Severstal PJSC GDR (Registered) * (d) (f)		36,967
	29,090	SFI PJSC * (d)		1,931
	27,770,670	Surgutneftegas PJSC (d)		84,515
	986,916	Tatneft PJSC (d)		43,119
	725,480	Unipro PJSC * (d)		155
	55,470	United Co Rusal International PJSC (d)		294
	752,312,000	VTB Bank PJSC * (d) (f)		1,654
		Total Russia		1,652,872
		Saudi Arabia — 0.2%
	40,577	Almarai Co JSC		567,012
	279,140	Saudi Arabian Oil Co		2,358,117
	102,973	Saudi Basic Industries Corp		2,426,584
	165,801	Saudi Telecom Co		1,551,524
		Total Saudi Arabia		6,903,237
		Singapore — 0.7%
	4,700	AIMS APAC (REIT)		4,812
	621,000	Asian Pay Television Trust		52,071
	102,600	Bumitama Agri Ltd		49,036
	16,300	City Developments Ltd		93,242
	494,100	ComfortDelGro Corp Ltd		443,676
	285,024	DBS Group Holdings Ltd		7,231,378
	122,400	First Real Estate Investment Trust (b)		23,626
	291,200	First Resources Ltd		332,017
	3,955,300	Golden Agri-Resources Ltd		748,467
	465,199	Japfa Ltd		103,582
	134,100	Jardine Cycle & Carriage Ltd		2,956,258
	747,600	Keppel Corp Ltd		3,035,863
	41,100	Oversea-Chinese Banking Corp Ltd		386,278
	242,500	Sasseur Real Estate Investment Trust		136,747
	14,267,971	Sembcorp Marine Ltd *		1,342,720
	76,000	Sheng Siong Group Ltd		91,894
	241,100	Silverlake Axis Ltd		59,943
	1,500	Singapore Exchange Ltd		9,687
	279,000	StarHub Ltd		219,425
	1,600	United Overseas Bank Ltd		35,465
	50,400	Venture Corp Ltd		641,825
	130,000	Wilmar International Ltd		379,815
	3,538,977	Yangzijiang Financial Holding Ltd *		918,218
	6,663,077	Yangzijiang Shipbuilding Holdings Ltd		6,375,227
	463,600	Yanlord Land Group Ltd		375,234
		Total Singapore		26,046,506
		South Africa — 1.1%
	699,139	Absa Group Ltd		7,548,323
	39,872	AECI Ltd		202,507
	86,854	African Rainbow Minerals Ltd		1,202,135
	58,694	Anglo American Platinum Ltd		3,245,569
	3,954	Aspen Pharmacare Holdings Ltd		30,532
	25,568	Astral Foods Ltd		227,536
	38,186	AVI Ltd		158,098
	79,908	Barloworld Ltd		398,245

Shares		Description	Value ($)
		South Africa — continued
	200,108	Bidvest Group Ltd (The)		2,551,748
	270,454	Blue Label Telecoms Ltd *		66,838
	8,098	Capitec Bank Holdings Ltd		772,584
	3,737	Clicks Group Ltd		54,441
	1,800	Drdgold Ltd ADR Sponsored ADR		13,176
	4,274	Exxaro Resources Ltd		46,780
	845,143	FirstRand Ltd		3,014,424
	79,173	Foschini Group Ltd (The)		437,307
	263,953	Impala Platinum Holdings Ltd		2,464,499
	24,044	Investec Ltd		153,833
	161,073	Kumba Iron Ore Ltd		4,200,441
	120,662	Lewis Group Ltd		273,874
	74,229	Motus Holdings Ltd		447,766
	115,175	Mr Price Group Ltd		955,157
	197,199	MTN Group Ltd		1,553,819
	1,908	Naspers Ltd		335,510
	78,892	Ninety One Ltd		197,823
	714,975	Old Mutual Ltd		463,764
	10,559	Omnia Holdings Ltd		34,348
	1,081,361	Pepkor Holdings Ltd		1,104,515
	65,074	Reunert Ltd		210,198
	91,876	Sanlam Ltd		298,999
	3,420	Santam Ltd		55,046
	246,480	Sappi Ltd		655,830
	21,903	Sasol Ltd		321,173
	2,402	Shoprite Holdings Ltd		29,086
	862,723	Sibanye Stillwater Ltd		1,741,895
	89,800	Sibanye Stillwater Ltd ADR		727,380
	21,584	Telkom SA SOC Ltd *		45,033
	32,468	Thungela Resources Ltd (c)		377,514
	22,802	Thungela Resources Ltd (c)		263,183
	51,308	Tiger Brands Ltd		620,163
	478,516	Truworths International Ltd		1,541,033
	80,115	Tsogo Sun Gaming Ltd		51,951
	131,583	Vodacom Group Ltd		906,826
	457,819	Woolworths Holdings Ltd		1,919,659
	101,898	Zeda Ltd *		66,915
		Total South Africa		41,987,476
		South Korea — 2.9%
	1,902	BGF retail Co Ltd		260,144
	23,701	BH Co Ltd		423,022
	269,005	BNK Financial Group Inc		1,361,431
	483	Caregen Co Ltd		64,365
	27,528	Cheil Worldwide Inc		416,202
	15,424	Coway Co Ltd		622,294
	4,096	Daeduck Electronics Co Ltd		64,846
	2,765	Daihan Pharmaceutical Co Ltd		61,493
	6,562	Daou Data Corp		240,527
	5,655	DB HiTek Co Ltd		193,192
	6,618	DB Insurance Co Ltd		385,128
	483	Dentium Co Ltd *		44,113
	26,994	DGB Financial Group Inc		161,145

77 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		South Korea — continued
	274,760	Dongwon Development Co Ltd		668,948
	12,170	E-MART Inc		1,029,459
	4,584	Fila Holdings Corp		135,051
	41,751	GS Holdings Corp		1,283,228
	1,646	HAESUNG DS Co Ltd		49,903
	121,451	Hana Financial Group Inc		4,165,435
	11,389	Handsome Co Ltd		221,258
	80,851	Hankook Tire & Technology Co Ltd		2,274,303
	69,615	HDC Hyundai Development Co-Engineering & Construction *		544,604
	10,446	HMM Co Ltd *		177,719
	7,232	Huchems Fine Chemical Corp		110,359
	26,812	Humasis Co Ltd *		299,769
	9,236	Hyundai Department Store Co Ltd		378,828
	22,554	Hyundai Engineering & Construction Co Ltd		619,801
	16,950	Hyundai Glovis Co Ltd		2,029,967
	2,982	Hyundai Home Shopping Network Corp		116,099
	17,812	Hyundai Marine & Fire Insurance Co Ltd		473,962
	32,764	Hyundai Mobis Co Ltd		5,262,679
	5,444	Industrial Bank of Korea		42,690
	1,070	Innox Advanced Materials Co Ltd		31,461
	14,726	INTOPS Co Ltd		311,860
	64,794	JB Financial Group Co Ltd		452,436
	19,162	KB Financial Group Inc		742,126
	13,500	KB Financial Group Inc ADR		520,155
	8,906	KC Co Ltd		135,747
	3,229	KC Tech Co Ltd		43,340
	2,072	KCC Glass Corp		63,649
	286,240	Kia Corp		16,267,053
	1,243	KIWOOM Securities Co Ltd *		96,866
	3,450	Korea Petrochemical Ind Co Ltd *		453,098
	3,065	Korea Zinc Co Ltd		1,353,336
	54,413	KT Skylife Co Ltd		329,568
	209,520	KT&G Corp		14,059,628
	17,465	Kumho Petrochemical Co Ltd *		2,076,684
	23,897	LG Corp		1,486,826
	96,594	LG Electronics Inc		8,101,896
	26,313	LOTTE Fine Chemical Co Ltd		1,153,925
	5,172	LOTTE Himart Co Ltd		51,877
	34,592	LX International Corp		818,393
	11,323	LX Semicon Co Ltd		789,942
	2,694	MegaStudyEdu Co Ltd		140,670
	43,615	Meritz Securities Co Ltd		231,444
	400	NCSoft Corp		131,245
	6,196	NH Investment & Securities Co Ltd *		44,474
	373	NongShim Co Ltd		103,218
	5,544	Orion Corp		524,042
	11,034	POSCO Holdings Inc		2,659,450
	114,100	POSCO Holdings Inc Sponsored ADR		6,958,959
	5,021	PSK Inc		67,188
	971	S-1 Corp		41,398
	189,052	Samsung Electronics Co Ltd		8,650,053

Shares		Description	Value ($)
		South Korea — continued
	3,408	Samsung Electronics Co Ltd GDR (Registered)		3,900,170
	310	Samsung Fire & Marine Insurance Co Ltd		50,278
	6,155	Samsung SDS Co Ltd		582,110
	6,658	Samsung Securities Co Ltd		168,499
	562	Samyang Foods Co Ltd		50,618
	38,626	SD Biosensor Inc		670,707
	21,431	Seegene Inc		394,382
	2,649	SFA Engineering Corp		71,883
	100,683	Shinhan Financial Group Co Ltd		2,956,558
	583	Shinsegae Inc		89,839
	81,274	SK Square Co Ltd *		2,353,271
	11,728	SL Corp *		241,664
	1,507	SNT Motiv Co Ltd		54,932
	548	Soulbrain Co Ltd		96,698
	162	Taekwang Industrial Co Ltd *		95,727
	664	Unid Btplus Co Ltd *		4,802
	1,120	Unid Co Ltd		69,200
	370,368	Woori Financial Group Inc		3,414,414
	122,515	Woori Technology Investment Co Ltd *		439,446
	193	Young Poong Corp *		90,951
	24,451	Youngone Corp *		787,267
		Total South Korea		109,657,387
		Spain — 1.7%
	515,004	Acerinox SA		5,655,147
	7,068	ACS Actividades de Construccion y Servicios SA		214,270
	77,248	Amadeus IT Group SA * (a)		4,857,573
	3,111	Atresmedia Corp de Medios de Comunicacion SA		11,326
	2,313,705	Banco Bilbao Vizcaya Argentaria SA		17,984,492
	8,108,420	Banco de Sabadell SA		10,591,182
	2,176,685	Banco Santander SA		8,570,489
	207,700	Bankinter SA		1,461,021
	39,573	CaixaBank SA		169,921
	63,435	Cia de Distribucion Integral Logista Holdings SA (a)		1,531,412
	163,425	Ence Energia y Celulosa SA		623,674
	17,207	Faes Farma SA		62,849
	2,936	Grupo Catalana Occidente SA		95,867
	8,503	Iberdrola SA (a)		97,473
	141,572	Industria de Diseno Textil SA (a)		4,361,370
	16,471	Mediaset Espana Comunicacion SA *		57,381
	552,904	Repsol SA		8,744,087
	98,304	Unicaja Banco SA		125,933
		Total Spain		65,215,467
		Sweden — 0.6%
	40,186	Betsson AB – Class B* (a)		360,877
	526,235	Fastighets AB Balder – B Shares*		2,603,213
	26,971	Industrivarden AB – A Shares (a)		741,366
	112,639	Industrivarden AB – C Shares		3,088,184
	139,259	Investor AB – A Shares		2,854,651

See accompanying notes to the financial statements. 78

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Sweden — continued
	16,636	Investor AB – B Shares (a)		321,347
	25,683	Inwido AB		284,847
	211,613	Kinnevik AB – Class B*		3,147,081
	39,072	New Wave Group AB – B Shares		685,424
	91,699	Skanska AB – B Shares		1,666,538
	698,932	SSAB AB – A Shares		5,081,156
	75,229	SSAB AB – B Shares		514,597
	72,473	Svenska Cellulosa AB SCA – Class B		1,011,390
		Total Sweden		22,360,671
		Switzerland — 0.9%
	172,810	Adecco Group AG (Registered)		6,161,761
	1,396	Cie Financiere Richemont SA – Class A (Registered) (a)		210,930
	1,926	DKSH Holding AG		156,723
	483	Gurit Holding AG		50,246
	108,204	Logitech International SA (Registered)		5,910,151
	6,653	Mobilezone Holding AG (Registered)		122,747
	30,661	Roche Holding AG – Genusschein (a)		8,840,758
	363	Swatch Group AG (The)		126,322
	7,554	u-blox Holding AG *		810,775
	328,044	UBS Group AG (Registered) (a)		7,130,113
	2,982	Zehnder Group AG – Class RG		231,285
	5,189	Zurich Insurance Group AG (a)		2,461,419
		Total Switzerland		32,213,230
		Taiwan — 3.6%
	30,000	Acer Inc		24,877
	3,774	Acter Group Corp Ltd		14,817
	7,000	Advantech Co Ltd		81,200
	748,235	AmTRAN Technology Co Ltd		261,737
	293,100	ASE Technology Holding Co Ltd ADR		2,101,527
	71,000	Asia Cement Corp		104,096
	698,672	Asustek Computer Inc		6,328,121
	58,000	Aten International Co Ltd		154,969
	1,119,000	Catcher Technology Co Ltd		6,762,155
	1,080,019	Cathay Financial Holding Co Ltd		1,531,564
	106,673	Chailease Holding Co Ltd		781,880
	502,490	Chicony Electronics Co Ltd		1,509,341
	502,000	Chipbond Technology Corp		1,104,114
	134,000	ChipMOS Technologies Inc		159,480
	113,540	Chong Hong Construction Co Ltd		283,392
	5,000	Chroma ATE Inc		30,108
	1,015,000	Compal Electronics Inc		802,712
	145,080	Coretronic Corp		305,691
	12,000	Delta Electronics Inc		112,269
	13,000	Elan Microelectronics Corp		46,021
	1,057,000	Evergreen Marine Corp Taiwan Ltd		5,401,519
	535,000	Far EasTone Telecommunications Co Ltd		1,207,200
	271,000	Farglory Land Development Co Ltd		523,675
	170,340	First Financial Holding Co Ltd		149,274
	100,709	FLEXium Interconnect Inc *		323,980
	35,000	Formosa Advanced Technologies Co Ltd		49,266

Shares		Description	Value ($)
		Taiwan — continued
	6,000	Formosa International Hotels Corp		61,456
	615,000	Formosa Plastics Corp		1,825,669
	356,000	Foxconn Technology Co Ltd		647,386
	1,868,148	Fubon Financial Holding Co Ltd		3,653,002
	12,000	Fusheng Precision Co Ltd		97,585
	26,000	Getac Technology Corp		41,805
	792,000	Grand Pacific Petrochemical		514,896
	700,160	HannStar Display Corp *		292,431
	16,000	Holtek Semiconductor Inc		38,685
	4,439,406	Hon Hai Precision Industry Co Ltd		14,685,562
	207,000	Huaku Development Co Ltd		625,426
	26,941	International Games System Co Ltd		443,886
	3,000	King Slide Works Co Ltd		40,914
	217,000	King’s Town Bank Co Ltd		242,089
	148,000	Kung Long Batteries Industrial Co Ltd		679,123
	63,000	Largan Precision Co Ltd		4,529,073
	1,084,000	Lite-On Technology Corp		2,466,674
	11,000	Makalot Industrial Co Ltd		76,986
	237,000	MediaTek Inc		5,564,528
	58,039	Mercuries Life Insurance Co Ltd *		10,220
	559,000	Micro-Star International Co Ltd		2,493,741
	489,000	Mitac Holdings Corp		505,214
	322,000	Nan Ya Plastics Corp		792,257
	276,502	Nantex Industry Co Ltd		392,735
	330,000	Nanya Technology Corp		628,160
	6,000	Nien Made Enterprise Co Ltd		63,883
	236,000	Novatek Microelectronics Corp		3,118,882
	81,000	Phison Electronics Corp		922,331
	1,709,566	Pou Chen Corp		1,873,249
	32,000	Powertech Technology Inc		92,530
	321,000	Primax Electronics Ltd		624,025
	4,880	Quanta Computer Inc		12,773
	595,263	Radiant Opto-Electronics Corp		2,054,968
	15,000	Raydium Semiconductor Corp		201,051
	11,000	Realtek Semiconductor Corp		135,608
	635,000	Ruentex Industries Ltd		1,401,419
	19,031	Shanghai Commercial & Savings Bank Ltd (The)		29,543
	132,280	Shin Zu Shing Co Ltd		385,524
	128,000	Shinkong Insurance Co Ltd		211,609
	211,133	Silicon Motion Technology Corp ADR		14,192,360
	99,000	Simplo Technology Co Ltd		956,366
	10,000	Soft-World International Corp		26,357
	292,000	Syncmold Enterprise Corp		588,727
	43,000	Synnex Technology International Corp		87,737
	13,000	T3EX Global Holdings Corp		29,432
	24,311	Tah Hsin Industrial Corp		57,224
	49,000	TaiDoc Technology Corp		304,265
	10,000	Taiwan Hon Chuan Enterprise Co Ltd		31,587
	187,000	Taiwan Semiconductor Manufacturing Co Ltd		3,093,708
	151,125	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		13,158,454
	96,000	Taiwan Union Technology Corp		184,271

79 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Taiwan — continued
	5,000	Thinking Electronic Industrial Co Ltd		23,136
	122,699	TOPBI International Holdings Ltd *		65,583
	289,000	Transcend Information Inc		664,151
	223,000	Tripod Technology Corp		763,727
	16,000	Tung Ho Steel Enterprise Corp		31,186
	121,681	United Integrated Services Co Ltd		897,078
	304,000	Universal Inc		239,285
	840,400	Wan Hai Lines Ltd		2,174,974
	445,000	Winbond Electronics Corp		333,146
	1,669,000	Wistron Corp		1,808,324
	389,000	WPG Holdings Ltd		628,786
	14,000	WT Microelectronics Co Ltd		29,738
	3,232,000	Yang Ming Marine Transport Corp		6,802,614
	239,000	Youngtek Electronics Corp		495,272
	4,082,290	Yuanta Financial Holding Co Ltd		3,035,392
	194,000	Zhen Ding Technology Holding Ltd		710,174
		Total Taiwan		134,044,937
		Thailand — 0.8%
	5,829,700	AP Thailand Pcl NVDR		2,044,596
	1,424,900	Bangkok Bank Pcl NVDR		6,590,695
	159,400	Bangkok Dusit Medical Services Pcl NVDR		126,260
	275,400	Central Retail Corp Pcl NVDR		348,464
	131,900	CP ALL Pcl (Foreign Registered)		231,338
	42,300	CP ALL Pcl NVDR		74,190
	226,000	GFPT Pcl NVDR		78,016
	46,700	Kasikornbank Pcl (Foreign Registered)		180,985
	1,491,400	Kasikornbank Pcl NVDR		5,779,905
	20,727,800	Krung Thai Bank Pcl NVDR		10,145,360
	159,808	Pruksa Holding Pcl (Foreign Registered)		61,037
	565,380	Pruksa Holding Pcl NVDR		215,942
	236,200	PTG Energy Pcl NVDR		93,545
	390,700	PTT Exploration & Production Pcl NVDR		1,653,616
	122,800	Regional Container Lines Pcl NVDR		108,532
	8,706,500	Sansiri Pcl NVDR		470,397
	849,700	SC Asset Corp Pcl (Foreign Registered)		111,532
	207,800	Somboon Advance Technology Pcl NVDR		121,107
	811,300	Sri Trang Gloves Thailand Pcl NVDR		254,709
	272,400	Thai Oil Pcl NVDR		388,459
	208,230	Thai Vegetable Oil Pcl NVDR		164,980
		Total Thailand		29,243,665
		Turkey — 0.7%
	8,381,194	Akbank TAS		7,749,885
	41,621	Arcelik AS		262,730
	720,844	Aselsan Elektronik Sanayi Ve Ticaret AS		2,104,219
	44,546	Dogus Otomotiv Servis ve Ticaret AS		398,483
	63,456	Enerjisa Enerji AS		108,036
	2,366,456	Haci Omer Sabanci Holding AS		5,460,087
	430,205	KOC Holding AS		1,762,135
	181,208	Koza Anadolu Metal Madencilik Isletmeleri AS *		437,080

Shares		Description	Value ($)
		Turkey — continued
	15,811	Mavi Giyim Sanayi Ve Ticaret AS – Class B		87,558
	309,451	Turkcell Iletisim Hizmetleri AS		521,656
	1,331,180	Turkiye Garanti Bankasi AS		1,638,267
	518,983	Turkiye Is Bankasi AS – Class C		311,461
	345,703	Turkiye Sinai Kalkinma Bankasi AS *		72,505
	810,760	Vestel Beyaz Esya Sanayi ve Ticaret AS		529,617
	11,791,916	Yapi ve Kredi Bankasi AS		6,249,115
		Total Turkey		27,692,834
		Ukraine — 0.0%
	36,516	Kernel Holding SA *		165,297
		United Arab Emirates — 0.0%
	1,468,209	Abu Dhabi National Oil Co for Distribution PJSC		1,725,105
	21,065	Emaar Development PJSC *		27,104
		Total United Arab Emirates		1,752,209
		United Kingdom — 4.0%
	438,869	3i Group Plc		8,586,138
	8,019	AG Barr Plc		53,627
	87,261	Anglo American Plc		3,015,279
	74,042	BAE Systems Plc (a)		799,668
	278,407	Balfour Beatty Plc		1,222,238
	16,420	Bank of Georgia Group Plc		552,920
	118,531	Barclays Plc		248,748
	15,600	Barclays Plc Sponsored ADR		131,976
	1,307,597	Barratt Developments Plc		7,351,931
	112,297	Bellway Plc		2,993,866
	181,035	Berkeley Group Holdings Plc (The)		9,113,055
	858,496	BP Plc (a)		5,641,631
	217,500	BP Plc Sponsored ADR (a)		8,613,000
	77,094	British American Tobacco Plc (a)		2,917,681
	145,600	British American Tobacco Plc Sponsored ADR (a)		5,541,536
	5,230,676	BT Group Plc		8,768,993
	34,762	Bunzl Plc (a)		1,238,601
	33,473	Burberry Group Plc		993,966
	1,772,005	Centrica Plc (a)		2,236,155
	1,567	Clarkson Plc (a)		62,231
	254,637	Coca-Cola HBC AG *		6,521,102
	320,119	Compass Group Plc (a)		7,395,320
	77,759	Crest Nicholson Holdings Plc		228,512
	6,596	EMIS Group Plc		148,484
	30,601	Evraz Plc (d)		753
	833,847	Ferrexpo Plc		1,477,578
	858,538	Glencore Plc (a)		5,118,484
	170,300	Haleon Plc ADR * (a)		1,341,964
	107,355	Halfords Group Plc		271,527
	64,838	Harbour Energy Plc		226,228
	12,700	HSBC Holdings Plc Sponsored ADR (a)		486,537
	243,050	IG Group Holdings Plc		2,346,331
	249,209	Imperial Brands Plc (a)		6,003,759

See accompanying notes to the financial statements. 80

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		United Kingdom — continued
	915	Indivior Plc *		16,764
	27,836	International Personal Finance Plc		32,299
	322,374	Investec Plc		2,053,216
	11,440	Keller Group Plc		111,214
	1,377,808	Kingfisher Plc		4,764,952
	405,455	Legal & General Group Plc (a)		1,248,030
	382,150	Lloyds Banking Group Plc		241,339
	561,363	M&G Plc		1,445,831
	29,999	Morgan Sindall Group Plc		647,650
	28,652	NatWest Group Plc		100,653
	265,891	OSB Group Plc		1,784,067
	12,499	Paragon Banking Group Plc		89,624
	154,226	Persimmon Plc		2,689,496
	163,212	Plus500 Ltd		3,520,764
	102,635	Redde Northgate Plc (a)		499,310
	291,855	Redrow Plc		1,793,542
	340,816	S4 Capital Plc *		840,103
	169,799	Serica Energy Plc		528,860
	339,545	Shell Plc (a)		10,284,266
	104,869	Spirent Communications Plc		268,291
	61,535	Standard Chartered Plc		582,256
	1,496,695	Taylor Wimpey Plc		2,213,967
	10,766	TBC Bank Group Plc		321,241
	54,111	Unilever Plc (a)		2,694,050
	53,102	Vesuvius Plc		263,474
	543,900	Vodafone Group Plc Sponsored ADR (a)		6,510,483
	26,057	Wincanton Plc		98,033
	205,906	WPP Plc (a)		2,532,474
		Total United Kingdom		149,826,068
		United States — 25.2%
	44,900	3M Co. (a)		4,837,526
	252,059	Activision Blizzard, Inc. (a)		19,219,499
	2,500	Adtalem Global Education, Inc. * (a)		97,800
	17,805	ADTRAN Holdings, Inc.		310,697
	61,232	Aemetis, Inc. *		218,598
	148,490	Aerojet Rocketdyne Holdings, Inc. *		8,365,927
	16,600	AGCO Corp. (a)		2,337,446
	561,275	Albertsons Cos., Inc. – Class A		11,158,147
	14,100	Alcoa Corp.		690,054
	2,500	Alliance Data Systems Corp.		102,675
	201,600	Ally Financial, Inc.		6,058,080
	43,719	Alphabet, Inc. – Class A* (a)		3,937,333
	11,200	Alphabet, Inc. – Class C* (a)		1,011,360
	57,600	Ameresco, Inc. – Class A*		2,531,520
	31,427	American Express Co. (a)		5,467,984
	1,888,723	Anchor Hocking Holdings, Inc. (d)		1,548,753
	4,600	Apollo Commercial Real Estate Finance, Inc. (REIT)		52,854
	19,700	Applied Materials, Inc. (a)		2,288,155
	63,400	Arrow Electronics, Inc. *		7,480,566
	2,000	Aspen Technology, Inc. * (a)		424,020
	304,600	AT&T, Inc. (a)		5,759,986
	3,100	Atkore, Inc. *		452,662

Shares		Description	Value ($)
		United States — continued
	1,000	AutoNation, Inc. *		136,510
	4,800	Avnet, Inc.		214,608
	155,100	Bank of America Corp. (a)		5,319,930
	37,800	Bank of New York Mellon Corp. (The) (a)		1,923,264
	69,800	Best Buy Co., Inc. (a)		5,801,078
	20,500	Biogen, Inc. * (a)		5,532,130
	12,700	Bio-Rad Laboratories, Inc. – Class A*		6,068,568
	136,400	Black Knight, Inc. * (a)		8,129,440
	2,178	Booking Holdings, Inc. * (a)		5,497,272
	274,745	BorgWarner, Inc.		13,814,179
	45,700	Bristol-Myers Squibb Co. (a)		3,151,472
	99,576	Bruin Blocker LLC (e)		57,226
	5,900	Brunswick Corp.		515,778
	15,600	Cabot Oil & Gas Corp.		389,532
	12,200	California Resources Corp.		514,840
	66,000	Capital One Financial Corp. (a)		7,199,280
	15,233	CarMax, Inc. * (a)		1,051,686
	150,700	Carrier Global Corp. (a)		6,786,021
	3,800	Carter’s, Inc.		286,482
	66,900	CBRE Group, Inc. – Class A* (a)		5,695,866
	105,000	Centene Corp. * (a)		7,182,000
	40,097	Chevron Corp. (a)		6,446,395
	9,600	Cigna Group (The) (a)		2,804,160
	77,000	Cisco Systems, Inc. (a)		3,728,340
	192,400	Citigroup, Inc. (a)		9,752,756
	15,100	Citizens Financial Group, Inc.		630,576
	216,800	Clean Energy Fuels Corp. *		1,214,080
	330,100	Cleveland-Cliffs, Inc. * (a)		7,041,033
	100,600	Cognizant Technology Solutions Corp. – Class A (a)		6,300,578
	241,600	Comcast Corp. – Class A (a)		8,980,272
	24,500	ConocoPhillips (a)		2,532,075
	31,209	Coupa Software, Inc. * (a)		2,526,993
	39,200	Crowdstrike Holdings, Inc. – Class A* (a)		4,731,048
	161,682	CSX Corp. (a)		4,929,684
	1,600	Cummins, Inc. (a)		388,928
	94,100	CVS Health Corp. (a)		7,861,114
	121,170	Darling Ingredients, Inc. *		7,666,426
	2,400	Deere & Co. (a)		1,006,176
	139,700	Dell Technologies, Inc. – Class C (a)		5,677,408
	38,100	Discover Financial Services (a)		4,267,200
	405,100	DISH Network Corp. – Class A*		4,622,191
	85,800	DR Horton, Inc. (a)		7,934,784
	6,100	DXC Technology Co. * (a)		169,214
	170,000	eBay, Inc. (a)		7,803,000
	3,800	Elevance Health, Inc. (a)		1,784,746
	2,400	Encore Wire Corp.		463,224
	60,449	EOG Resources, Inc.		6,831,946
	167,587	Evoqua Water Technologies Corp. *		8,138,025
	59,500	Exxon Mobil Corp. (a)		6,539,645
	26,800	FedEx Corp. (a)		5,446,296
	7,900	Ferguson Plc (a)		1,138,390
	182,400	Fidelity National Financial, Inc. (a)		7,270,464
	235,960	First Horizon Corp.		5,844,729

81 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		United States — continued
	37,300	Flex Ltd. *		848,948
	16,900	Foot Locker, Inc.		738,868
	706,400	Ford Motor Co. (a)		8,526,248
	90,100	Fortune Brands Innovations, Inc.		5,581,695
	54,300	Fox Corp. – Class A (a)		1,901,586
	279,894	Fox Corp. – Class B		9,026,581
	211,500	Franklin Resources, Inc. (a)		6,232,905
	50,400	Freeport-McMoRan, Inc. (a)		2,064,888
	24,900	Gap, Inc. (The)		323,949
	6,500	Garmin Ltd.		637,845
	8,800	Generac Holdings, Inc. *		1,056,088
	229,600	General Motors Co.		8,894,704
	33,500	Gilead Sciences, Inc. (a)		2,697,755
	229,518	Globus Medical, Inc. – Class A* (a)		13,390,080
	9,800	Goldman Sachs Group, Inc. (The) (a)		3,446,170
	194,344	GrafTech International Ltd.		1,098,044
	400	Graham Holdings Co. – Class B (a)		250,664
	118,065	Green Plains, Inc. *		4,093,313
	700	Group 1 Automotive, Inc.		154,749
	18,200	H&R Block, Inc. (a)		669,760
	76,000	Hanesbrands, Inc.		431,680
	4,500	Hartford Financial Services Group, Inc. (The) (a)		352,260
	5,600	Hasbro, Inc.		308,056
	36,178	HEICO Corp. – Class A		4,708,567
	3,600	Henry Schein, Inc. * (a)		281,916
	37,200	Hess Corp.		5,010,840
	85,300	Hewlett Packard Enterprise Co.		1,331,533
	30,972	Hilton Worldwide Holdings, Inc. (a)		4,475,764
	1,800	HNI Corp.		56,250
	98,370	Horizon Therapeutics Plc *		10,770,531
	291,300	HP, Inc.		8,599,176
	76,200	Huntington Bancshares, Inc.		1,167,384
	11,200	Huntsman Corp.		328,608
	240,135	IAA, Inc. *		9,823,923
	79,500	Incyte Corp. *		6,119,910
	412,200	Intel Corp. (a)		10,276,146
	50,932	Intercontinental Exchange, Inc. (a)		5,184,878
	78,300	International Business Machines Corp. (a)		10,124,190
	167,900	Invesco Ltd.		2,965,114
	40,700	Janus Henderson Group Plc		1,117,622
	44,000	Jazz Pharmaceuticals Plc *		6,177,600
	4,000	Jefferies Financial Group, Inc.		151,160
	17,700	Johnson & Johnson (a)		2,712,702
	43,300	JPMorgan Chase & Co. (a)		6,207,055
	11,700	KeyCorp.		213,993
	376,100	Kinder Morgan, Inc.		6,416,266
	61,100	Knight-Swift Transportation Holdings, Inc. (a)		3,472,924
	25,600	Kohl’s Corp.		717,824
	800	Korn Ferry		44,712
	1,070,100	Kosmos Energy Ltd. *		8,421,687
	183,200	Kraft Heinz Co. (The) (a)		7,133,808
	12,600	Kroger Co. (The) (a)		543,564

Shares		Description	Value ($)
		United States — continued
	13,700	Kulicke & Soffa Industries, Inc.		730,210
	31,600	Laboratory Corp. of America Holdings (a)		7,563,776
	5,767	Lam Research Corp. (a)		2,802,820
	80,171	Las Vegas Sands Corp. * (a)		4,607,427
	7,200	La-Z-Boy, Inc.		233,136
	3,100	Lear Corp.		432,915
	76,300	Lennar Corp. – Class A (a)		7,381,262
	173,815	Liberty Broadband Corp. – Class C*		15,064,546
	511,537	Liberty Global Plc – Class A*		10,481,393
	71,800	Liberty Global Plc – Class C*		1,525,750
	41,543	Liberty Media Corp.-Liberty Formula One – Class A*		2,524,153
	120,000	Lincoln National Corp.		3,806,400
	1,100	Lithia Motors, Inc.		280,698
	125,209	Livent Corp. *		2,936,151
	1,531,800	Lumen Technologies, Inc.		5,208,120
	70,700	LyondellBasell Industries NV – Class A (a)		6,786,493
	38,500	Macy’s, Inc.		787,710
	11,300	ManpowerGroup, Inc.		959,144
	22,000	Marathon Oil Corp.		553,300
	2,100	Marcus & Millichap, Inc.		72,177
	3,438	Markel Corp. * (a)		4,572,059
	22,600	Match Group, Inc. * (a)		936,092
	1,400	Matson, Inc. (a)		93,114
	17,100	Medtronic Plc (a)		1,415,880
	30,500	Merck & Co., Inc. (a)		3,240,320
	105,998	Meta Platforms, Inc. – Class A* (a)		18,543,290
	28,500	MetLife, Inc. (a)		2,044,305
	205,957	Micron Technology, Inc. (a)		11,908,434
	48,100	Mohawk Industries, Inc. *		4,947,085
	126,500	Molson Coors Brewing Co. – Class B (a)		6,728,535
	165,100	Mosaic Co. (The) (a)		8,781,669
	1,288,200	NII Holdings, Inc. (e)		450,870
	3,600	Nordstrom, Inc.		70,128
	10,500	Northern Trust Corp. (a)		1,000,335
	150,100	NRG Energy, Inc. (a)		4,921,779
	41,200	Nucor Corp. (a)		6,898,528
	100	NVR, Inc. *		517,362
	117,000	Occidental Petroleum Corp.		6,851,520
	14,700	Oracle Corp. (a)		1,284,780
	33,615	Otis Worldwide Corp. (a)		2,844,501
	81,000	Ovintiv, Inc.		3,464,370
	11,800	Owens Corning		1,153,922
	335,000	Paramount Global – Class B (a)		7,175,700
	91,900	PayPal Holdings, Inc. * (a)		6,763,840
	755,227	Pershing Square Tontine Holdings Ltd. * (e)		75,523
	113,100	Pfizer, Inc. (a)		4,588,467
	4,500	Phillips 66		461,520
	8,100	PNC Financial Services Group, Inc.		1,279,152
	305,744	PNM Resources, Inc. (a)		14,981,456
	12,400	PotlatchDeltic Corp. (REIT) (a)		572,384
	13,000	Principal Financial Group, Inc. (a)		1,164,280
	90,200	Prudential Financial, Inc. (a)		9,020,000
	129,600	PulteGroup, Inc.		7,085,232

See accompanying notes to the financial statements. 82

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		United States — continued
	15,500	PVH Corp.		1,243,720
	30,800	QUALCOMM, Inc. (a)		3,804,724
	35,300	Radian Group, Inc.		753,655
	2,300	Ralph Lauren Corp.		271,837
	58,280	Raytheon Technologies Corp. (a)		5,716,685
	11,800	Regeneron Pharmaceuticals, Inc. * (a)		8,972,956
	59,200	Regions Financial Corp.		1,380,544
	5,000	Reliance Steel & Aluminum Co. (a)		1,239,200
	704,283	Resolute Forest Products, Inc. * (c)		15,437,883
	20,500	Resolute Forest Products, Inc. * (c)		449,663
	500	Robert Half International, Inc. (a)		40,310
	33,000	Samsonite International SA *		92,612
	5,800	Schneider National, Inc. – Class B (a)		162,748
	46,937	Sensata Technologies Holding Plc		2,374,073
	8,800	Sitio Royalties Corp. – Class A		206,888
	30,600	Skyworks Solutions, Inc.		3,414,042
	5,500	SolarEdge Technologies, Inc. *		1,748,560
	298,457	Southeastern Grocers, Inc. * (d)		6,640,668
	116,593	Sportsman’s Warehouse Holdings, Inc. *		1,048,171
	25,700	SS&C Technologies Holdings, Inc. (a)		1,508,590
	4,400	Stanley Black & Decker, Inc.		376,684
	19,100	State Street Corp. (a)		1,693,788
	62,800	Steel Dynamics, Inc. (a)		7,919,708
	4,500	Stewart Information Services Corp.		191,205
	162,852	Sunrun, Inc. *		3,914,962
	210,500	Synchrony Financial (a)		7,516,955
	13,500	Tapestry, Inc.		587,385
	12,300	Taylor Morrison Home Corp. – Class A*		440,709
	460,393	TEGNA, Inc.		8,010,838
	51,400	Textron, Inc. (a)		3,728,042
	3,700	TRI Pointe Homes, Inc. *		88,208
	5,869	TRU TAJ Liquidation Unit Trust/TRU TAJ Finance, Inc. (d)		59
	160,204	TRU TAJ LLC/TRU TAJ Finance, Inc. (d)		780,994
	26,300	Truist Financial Corp.		1,234,785
	126,200	Tyson Foods, Inc. – Class A (a)		7,476,088
	320,078	Umpqua Holdings Corp.		5,652,577
	25,208	Union Pacific Corp. (a)		5,225,114
	1,100	Universal Corp.		55,649
	43,300	Universal Health Services, Inc. – Class B (a)		5,783,581
	6,600	Unum Group		294,030
	108,653	US Bancorp		5,186,008
	700	USANA Health Sciences, Inc. *		42,546
	297,200	Verizon Communications, Inc. (a)		11,534,332
	18,100	Vertex Pharmaceuticals, Inc. * (a)		5,254,249
	9,500	VF Corp.		235,790
	641,200	Viatris, Inc.		7,309,680
	79,989	VMware, Inc. – Class A* (a)		8,809,189
	163,400	Walgreens Boots Alliance, Inc. (a)		5,805,602
	193,377	Warner Bros Discovery, Inc. * (a)		3,020,549
	134,607	Wells Fargo & Co. (a)		6,295,569
	473,600	Western Union Co. (The) (a)		6,137,856
	126,300	Western Digital Corp. *		4,860,024
	44,300	Westlake Corp.		5,277,902

Shares		Description	Value ($)
		United States — continued
	107,060	Westmoreland Mining Holdings (e)		321,180
	42,100	Whirlpool Corp.		5,808,958
	2,200	Williams-Sonoma, Inc.		274,824
	8,700	Xerox Holdings Corp.		143,463
	7,200	Zions Bancorp NA		364,464
	88,200	Zoom Video Communications, Inc. – Class A* (a)		6,578,838
		Total United States		940,687,109
		Vietnam — 0.2%
	562,800	Duc Giang Chemicals JSC		1,186,347
	143,300	IDICO Corp JSC		231,611
	41,500	PetroVietnam Ca Mau Fertilizer JSC		41,033
	42,900	PetroVietnam Fertilizer & Chemicals JSC		63,176
	111,100	PetroVietnam Technical Services Corp		121,049
	35,000	Pha Lai Thermal Power JSC		21,806
	1,038,200	SSI Securities Corp		797,483
	385,200	Vietnam Dairy Products JSC		1,224,228
	1,238,400	Vietnam Joint Stock Commercial Bank for Industry and Trade *		1,427,878
	3,669,600	VNDirect Securities Corp		2,077,357
		Total Vietnam		7,191,968
		TOTAL COMMON STOCKS (COST $3,400,429,416)		2,990,196,860
		PREFERRED STOCKS (g) — 1.9%
		Brazil — 1.3%
	1,828,478	Bradespar SA		9,660,240
	785,419	Cia Energetica de Minas Gerais		1,572,203
	49,150	Cia Energetica de Minas Gerais Sponsored ADR (a)		95,842
	2,300	Cia Ferro Ligas da Bahia		25,239
	1,797,700	Cia Paranaense de Energia – Class B		2,420,763
	551,000	Gerdau SA		3,013,137
	863,804	Gerdau SA Sponsored ADR		4,725,008
	21,600	Itau Unibanco Holding SA		104,917
	653,900	Itau Unibanco Holding SA Sponsored ADR		3,145,259
	300,800	Itausa SA		472,850
	237,200	Metalurgica Gerdau SA		569,956
	2,726,200	Petroleo Brasileiro SA		13,142,956
	920,480	Petroleo Brasileiro SA Sponsored ADR		8,983,885
	9,900	Unipar Carbocloro SA – Class B		149,934
		Total Brazil		48,082,189
		Chile — 0.1%
	34,984	Embotelladora Andina SA – Class B		86,026
	45,100	Sociedad Quimica y Minera de Chile SA Sponsored ADR		4,002,625
		Total Chile		4,088,651

83 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Germany — 0.2%
	48,969	Bayerische Motoren Werke AG		4,638,143
	4,088	Draegerwerk AG & Co KGaA		178,274
	3,461	Villeroy & Boch AG		72,649
	29,854	Volkswagen AG (a)		4,063,893
		Total Germany		8,952,959
		Russia — 0.0%
	15,222	Bashneft PJSC (d)		1,637
	79,750	Nizhnekamskneftekhim PJSC (d)		908
	49,530	Sberbank of Russia PJSC * (d) (f)		1,105
	20,862,000	Surgutneftegas PJSC (d)		77,360
	12,313	Tatneft PJSC (d)		547
	337	Transneft PJSC (d)		4,109
		Total Russia		85,666
		South Korea — 0.3%
	5,895	Hyundai Motor Co GDR (Registered)		206,348
	6,750	LG Electronics Inc		242,021
	216,689	Samsung Electronics Co Ltd		8,737,774
	1,358	Samsung Electronics Co Ltd GDR (Registered)		1,378,304
		Total South Korea		10,564,447
		Taiwan — 0.0%
	68,864	Chailease Holding Co Ltd		224,963
		United States — 0.0%
	39	Gulfport Energy Corp. (e)		183,300
		TOTAL PREFERRED STOCKS (COST $90,596,661)		72,182,175
		RIGHTS/WARRANTS — 0.0%
		Canada — 0.0%
	222,285	Clementia Pharmaceuticals Inc * (e)		222
		United States — 0.0%
	408,963	Bristol-Myers Squibb Co. CVR * (e)		756,582
	50,914	Contra Abiomed, Inc. * (e)		89,099
		Total United States		845,681
		TOTAL RIGHTS/WARRANTS (COST $1,235,833)		845,903
		INVESTMENT FUNDS — 0.3%
		United States — 0.3%
	4,418,828	Altaba, Inc. (e)		10,295,869
		TOTAL INVESTMENT FUNDS (COST $5,265,822)		10,295,869

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 30.8%
		Austria — 0.1%
		Corporate Debt — 0.1%
	EUR 1,600,000	ams-OSRAM AG, Reg S, 2.13%, due 11/03/27		1,220,162
		China — 0.0%
		Corporate Debt — 0.0%
	6,630,000	Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 (h)		364,650
	2,130,000	Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 (h)		117,150
		Total China		481,800
		Israel — 0.1%
		Corporate Debt — 0.1%
	3,452,000	Teva Pharmaceutical Finance Co LLC, 6.15%, due 02/01/36		3,087,383
		Netherlands — 0.0%
		Corporate Debt — 0.0%
	EUR   539,716	Evander Gold Mines Ltd, Variable Rate, 10.00%, due 04/19/26 (d) (h)		57
		United States — 30.6%
		Bank Loans — 0.5%
	255,202	American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, Variable Rate, 3 mo. LIBOR plus 13.00%, 17.82%, due 09/16/25 (e)		255,202
	640,205	Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 1 mo. LIBOR plus 3.75%, 7.82%, due 10/10/25 (e)		153,649
	839,688	Envision Healthcare Corp., 2022 Third Out Term Loan, Variable Rate, 3 mo. SOFR plus 3.75%, 8.33%, due 03/31/27 (e)		156,745
	343,221	Envision Healthcare Corp., 2022 Second Out Term Loan, Variable Rate, 3 mo. SOFR plus 4.25%, 8.83%, due 03/31/27 (e)		129,851
	13,889,232	Gibson Brands, Inc., 2021 Term Loan, Variable Rate, 3 mo. LIBOR plus 5.00%, 9.92%, due 08/11/28 (e)		11,082,982
	6,484,971	Peloton Interactive, Inc, Term Loan, Variable Rate, 3 mo. SOFR plus 6.50%, 11.37%, due 05/25/27 (e)		6,493,077
	2,872,049	TGP Holdings III LLC, 2021 Term Loan, Variable Rate, 3 mo. LIBOR plus 3.25%, 8.08%, due 06/29/28 (e)		2,290,459
		Total Bank Loans		20,561,965
		Corporate Debt — 0.5%
	15,121	Alaska Airlines Pass-Through Trust – Class B, 144A, 8.00%, due 02/15/27		15,448
	4,755,168	American Airlines Pass-Through Trust – Class B, 4.95%, due 08/15/26		4,612,733
	1,759,876	American Airlines Pass-Through Trust – Class B, 3.70%, due 04/15/27		1,646,153

See accompanying notes to the financial statements. 84

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value† / Shares		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	2,499,205	American Airlines Pass-Through Trust – Class B, 3.75%, due 04/15/27		2,339,557
	2,293,797	American Airlines Pass-Through Trust – Class B, 3.85%, due 08/15/29		2,060,877
	1,603,100	American Airlines Pass-Through Trust – Class B, 144A, 4.38%, due 12/15/25		1,549,032
	1,400,000	Esc Cb Gulfport Energy, 6.38%, due 01/15/26 (e)		140
	1,877,000	GPS Hospitality Holding Co. LLC / GPS Finco, Inc., 144A, 7.00%, due 08/15/28		1,182,510
	432,458	JetBlue Pass-Through Trust, Series 1B – Class B, 7.75%, due 05/15/30		424,536
	3,291,000	Royal Caribbean Cruises Ltd., 7.50%, due 10/15/27		3,089,788
		Total Corporate Debt		16,920,774
		U.S. Government — 26.0%
	100,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, USBM + 0.14%, 4.95%, due 10/31/24		100,074,659
	247,000,000	U.S. Treasury Note, 0.13%, due 04/30/23 (i)		245,075,905
	205,000,000	U.S. Treasury Note, 0.13%, due 06/30/23 (a)		201,748,827
	100,000,000	U.S. Treasury Note, 0.13%, due 07/31/23		97,988,281
	50,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 10/31/23		49,985,726
	175,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.73%, due 04/30/24		174,734,927
	52,105,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 07/31/24 (a)		52,087,157
	50,000,000	U.S. Treasury Note, Variable Rate, SOFR + 0.20%, 5.01%, due 01/31/25		50,052,408
		Total U.S. Government		971,747,890
		U.S. Government Agency — 3.6%
	62,500,000	Federal Home Loan Banks, 5.23%, due 03/22/24		62,528,292
	40,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 4.65%, due 09/04/24		40,500,000
	32,000,000	Federal Home Loan Banks, SOFR + 0.03%, 4.58%, due 06/07/23		31,999,943
		Total U.S. Government Agency		135,028,235
		Total United States		1,144,258,864
		TOTAL DEBT OBLIGATIONS (COST $1,160,290,349)		1,149,048,266
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers — 0.0%
	224,382	GMO U.S. Treasury Fund		1,119,668
		TOTAL MUTUAL FUNDS (COST $1,122,183)		1,119,668

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 8.1%
		Money Market Funds — 0.2%
	8,274,886	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (j)		8,274,886
	237,554	State Street U.S. Treasury Liquidity Fund – Class D Shares, 4.48% (i)		237,554
		Total Money Market Funds		8,512,440
		Repurchase Agreements — 7.5%
	280,048,230	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 02/28/23, maturing on 03/01/23 with a maturity value of $280,083,392 and an effective yield of 4.52%, collateralized by a U.S. Treasury Note with maturity date 04/30/29 and a market value of $285,763,500.		280,048,230
		U.S. Government — 0.4%
	15,880,000	U.S. Treasury Bill, 4.72%, due 05/18/23 (i) (k)		15,719,579
		TOTAL SHORT-TERM INVESTMENTS (COST $304,346,667)		304,280,249
		TOTAL INVESTMENTS — 121.2% (Cost $4,963,286,931)		4,527,968,990
		SECURITIES SOLD SHORT — (24.3)%
		Common Stocks — (24.1)%
		Australia — (0.6)%
	(103,960)	ASX Ltd		(4,748,507	)
	(22,371)	Cochlear Ltd		(3,336,068	)
	(128,427)	IDP Education Ltd		(2,469,804	)
	(1,973,097)	Pilbara Minerals Ltd*		(5,498,167	)
	(643,700)	Qantas Airways Ltd*		(2,768,557	)
	(63,409)	Ramsay Health Care Ltd		(2,874,764	)
		Total Australia		(21,695,867	)
		Austria — (0.1)%
	(66,290)	Verbund AG		(5,732,919	)
		Belgium — (0.2)%
	(115,920)	Anheuser-Busch InBev SA/NV		(7,031,538	)
		Canada — (1.4)%
	(92,900)	Agnico Eagle Mines Ltd		(4,276,187	)
	(135,300)	Algonquin Power & Utilities Corp		(1,032,339	)
	(274,700)	AltaGas Ltd		(4,714,895	)
	(140,500)	Brookfield Renewable Corp – Class A		(3,912,925	)
	(181,800)	Enbridge Inc		(6,821,136	)
	(49,600)	Franco-Nevada Corp		(6,327,472	)
	(375,300)	Pan American Silver Corp		(5,576,958	)
	(192,300)	Pembina Pipeline Corp		(6,315,132	)
	(99,900)	Restaurant Brands International Inc		(6,442,551	)
	(148,419)	Ritchie Bros Auctioneers Inc		(9,078,790	)
		Total Canada		(54,498,385	)

85 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Denmark — (0.1)%
	(5,502)	Coloplast A/S – Class B		(635,735	)
	(133,060)	Tryg A/S		(2,947,738	)
		Total Denmark		(3,583,473	)
		Finland — (0.0)%
	(33,193)	Elisa Oyj		(1,884,969	)
		France — (0.7)%
	(189,578)	Accor SA*		(6,291,962	)
	(34,991)	Aeroports de Paris*		(5,069,897	)
	(900)	Euronext NV		(65,646	)
	(356,931)	Getlink SE		(5,994,597	)
	(4,247)	Hermes International		(7,687,633	)
	(3,869)	Sartorius Stedim Biotech		(1,260,120	)
	(9,204)	Ubisoft Entertainment SA*		(201,798	)
		Total France		(26,571,653	)
		Germany — (0.9)%
	(140,515)	Delivery Hero SE*		(5,646,686	)
	(28,189)	Deutsche Boerse AG		(4,915,424	)
	(23,292)	MTU Aero Engines AG		(5,620,897	)
	(41,571)	Puma SE		(2,646,178	)
	(4,703)	Rational AG		(3,119,463	)
	(59,767)	Symrise AG – Class A		(6,106,352	)
	(1,685,441)	Telefonica Deutschland Holding AG		(5,112,677	)
	(37,021)	Zalando SE*		(1,466,774	)
		Total Germany		(34,634,451	)
		Ireland — (0.0)%
	(10,097)	Flutter Entertainment Plc*		(1,613,618	)
		Israel — (0.2)%
	(42,900)	CyberArk Software Ltd*		(6,210,633	)
	(18,400)	Wix.com Ltd*		(1,665,752	)
		Total Israel		(7,876,385	)
		Italy — (0.7)%
	(162,877)	Amplifon SPA		(4,709,600	)
	(22,944)	Ferrari NV (c)		(5,952,734	)
	(6,900)	Ferrari NV (c)		(1,796,553	)
	(397,526)	FinecoBank Banca Fineco SPA		(6,869,436	)
	(500,561)	Infrastrutture Wireless Italiane SPA		(5,509,212	)
		Total Italy		(24,837,535	)
		Japan — (2.3)%
	(151,900)	Aeon Co Ltd		(2,833,219	)
	(266,600)	ANA Holdings Inc*		(5,408,930	)
	(185,100)	Asahi Intecc Co Ltd		(3,151,521	)

Shares		Description	Value ($)
		Japan — continued
	(58,000)	GMO Payment Gateway Inc		(4,763,870	)
	(282,600)	Japan Airlines Co Ltd*		(5,321,334	)
	(163,800)	Japan Exchange Group Inc		(2,443,012	)
	(80,900)	Keio Corp		(2,818,735	)
	(52,700)	Keisei Electric Railway Co Ltd		(1,523,357	)
	(37,100)	Lasertec Corp		(6,032,288	)
	(212,300)	M3 Inc		(5,062,763	)
	(368,500)	MonotaRO Co Ltd		(5,012,100	)
	(12,400)	Nidec Corp		(629,293	)
	(255,600)	Nihon M&A Center Holdings Inc		(2,131,097	)
	(368,400)	Nippon Paint Holdings Co Ltd		(3,219,267	)
	(251,600)	Odakyu Electric Railway Co Ltd		(3,050,101	)
	(44,000)	Oriental Land Co Ltd		(7,026,138	)
	(1,130,100)	Rakuten Group Inc		(5,570,466	)
	(78,300)	Shiseido Co Ltd		(3,607,873	)
	(584,900)	SoftBank Corp		(6,598,235	)
	(106,600)	Tobu Railway Co Ltd		(2,379,951	)
	(252,300)	Tokyu Corp		(3,039,452	)
	(82,400)	West Japan Railway Co		(3,198,196	)
		Total Japan		(84,821,198	)
		Netherlands — (0.6)%
	(4,543)	Adyen NV*		(6,439,381	)
	(30,947)	IMCD NV		(4,898,633	)
	(163,292)	Just Eat Takeaway.com NV*		(3,551,649	)
	(1,684)	OCI NV		(55,939	)
	(279,814)	Universal Music Group NV		(6,592,793	)
		Total Netherlands		(21,538,395	)
		New Zealand — (0.1)%
	(100,332)	Xero Ltd*		(5,225,668	)
		Norway — (0.2)%
	(221,109)	Aker BP ASA		(5,934,704	)
		Peru — (0.2)%
	(87,655)	Southern Copper Corp		(6,459,297	)
		Singapore — (0.2)%
	(935,154)	Grab Holdings Ltd – Class A*		(3,001,844	)
	(554,600)	Singapore Exchange Ltd		(3,581,805	)
		Total Singapore		(6,583,649	)
		Spain — (0.4)%
	(179,816)	Cellnex Telecom SA		(6,746,471	)
	(242,518)	Ferrovial SA		(6,731,296	)
		Total Spain		(13,477,767	)
		Sweden — (0.2)%
	(51,164)	Evolution AB		(6,173,788	)

See accompanying notes to the financial statements. 86

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Switzerland — (0.3)%
	(9)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(996,945	)
	(4,363)	Partners Group Holding AG		(4,131,470	)
	(7,159)	Sika AG (Registered)		(2,007,562	)
	(36,397)	Straumann Holding AG (Registered)		(4,825,360	)
		Total Switzerland		(11,961,337	)
		United Kingdom — (1.2)%
	(48,413)	Admiral Group Plc		(1,281,106	)
	(657,099)	Auto Trader Group Plc		(4,699,623	)
	(53,442)	Halma Plc		(1,390,908	)
	(359,518)	Hargreaves Lansdown Plc		(3,582,224	)
	(870,715)	Informa Plc		(6,994,493	)
	(89,486)	InterContinental Hotels Group Plc		(6,032,364	)
	(73,682)	London Stock Exchange Group Plc		(6,574,036	)
	(588,926)	Ocado Group Plc*		(3,891,630	)
	(4,777,542)	Rolls-Royce Holdings Plc*		(8,323,901	)
	(14,404)	Spirax-Sarco Engineering Plc		(2,022,914	)
		Total United Kingdom		(44,793,199	)
		United States — (13.5)%
	(251,700)	AES Corp. (The)		(6,211,956	)
	(33,300)	Alnylam Pharmaceuticals, Inc.*		(6,375,285	)
	(140,600)	Altria Group, Inc.		(6,528,058	)
	(17,600)	American Tower Corp. (REIT)		(3,484,976	)
	(12,300)	Aon Plc – Class A		(3,739,815	)
	(57,000)	Aramark		(2,097,600	)
	(76,200)	Ares Management Corp. – Class A		(6,144,006	)
	(36,500)	Arthur J Gallagher & Co.		(6,838,275	)
	(2,300)	Autodesk, Inc.*		(456,987	)
	(65,400)	Bills Holdings, Inc.*		(5,534,802	)
	(59,600)	Bio-Techne Corp.		(4,329,344	)
	(35,600)	Boeing Co. (The)*		(7,175,180	)
	(18,406)	Broadcom, Inc.		(10,938,502	)
	(31,500)	Burlington Stores, Inc.*		(6,748,875	)
	(131,400)	Caesars Entertainment, Inc.*		(6,669,864	)
	(93,700)	Ceridian HCM Holding, Inc.*		(6,833,541	)
	(41,814)	Charter Communications, Inc. – Class A*		(15,371,244	)
	(4,500)	Chipotle Mexican Grill, Inc. – Class A*		(6,709,860	)
	(249,330)	Clarivate Plc*		(2,525,713	)
	(112,100)	Cloudflare, Inc. – Class A*		(6,727,121	)
	(190,705)	Columbia Banking System, Inc.		(5,669,660	)
	(12,000)	Crown Castle, Inc. (REIT)		(1,569,000	)
	(161,200)	Delta Air Lines, Inc.*		(6,180,408	)
	(60,300)	Dexcom, Inc.*		(6,693,903	)
	(47,100)	Diamondback Energy, Inc.		(6,621,318	)
	(43,800)	Equity LifeStyle Properties, Inc. (REIT)		(3,000,738	)
	(1,200)	Erie Indemnity Co. – Class A		(282,468	)
	(44,300)	Essential Utilities, Inc.		(1,895,154	)
	(101,600)	Exact Sciences Corp.*		(6,332,728	)
	(79,000)	Fastenal Co.		(4,073,240	)
	(112,200)	Fortinet, Inc.*		(6,669,168	)
	(90,286)	Fox Corp. – Class A		(3,161,816	)

Shares		Description	Value ($)
		United States — continued
	(19,100)	Gartner, Inc.*		(6,261,171	)
	(29,158)	HEICO Corp.		(4,827,690	)
	(33,100)	Hess Corp.		(4,458,570	)
	(19,000)	HubSpot, Inc.*		(7,350,340	)
	(15,100)	IDEXX Laboratories, Inc.*		(7,145,924	)
	(71,600)	Ingersoll Rand, Inc.		(4,157,812	)
	(22,000)	Insulet Corp.*		(6,079,920	)
	(31,800)	IQVIA Holdings, Inc.*		(6,629,346	)
	(63,300)	Iron Mountain, Inc. (REIT)		(3,339,075	)
	(42,300)	Lamb Weston Holdings, Inc.		(4,257,072	)
	(482,275)	Liberty Global Plc – Class C*		(10,248,344	)
	(142,233)	Liberty Media Corp.-Liberty Formula One – Class C*		(9,653,354	)
	(20,400)	Linde Plc		(7,106,748	)
	(82,800)	Live Nation Entertainment, Inc.*		(5,966,568	)
	(19,600)	MarketAxess Holdings, Inc.		(6,692,420	)
	(43,398)	MaxLinear, Inc.*		(1,484,645	)
	(30,600)	MongoDB, Inc. – Class A*		(6,411,312	)
	(8,300)	Monolithic Power Systems, Inc.		(4,019,607	)
	(10,600)	Moody’s Corp.		(3,075,590	)
	(500)	Motorola Solutions, Inc.		(131,405	)
	(13,500)	MSCI, Inc. – Class A		(7,049,025	)
	(3)	New York Community Bancorp, Inc.		(26	)
	(119,600)	Newmont Corp.		(5,215,756	)
	(213,300)	NiSource, Inc.		(5,850,819	)
	(43,968)	Norfolk Southern Corp.		(9,884,886	)
	(71,510)	Novocure Ltd.*		(5,504,125	)
	(226,692)	NuVasive, Inc.*		(9,799,895	)
	(90,700)	Okta, Inc.*		(6,466,003	)
	(97,200)	ONEOK, Inc.		(6,361,740	)
	(536,400)	Palantir Technologies, Inc. – Class A*		(4,205,376	)
	(48,900)	Paychex, Inc.		(5,398,560	)
	(68,900)	Philip Morris International, Inc.		(6,703,970	)
	(7,400)	PTC, Inc.*		(927,442	)
	(184,200)	ROBLOX Corp. – Class A*		(6,749,088	)
	(89,200)	Roku, Inc.*		(5,770,348	)
	(168,750)	Rollins, Inc.		(5,940,000	)
	(108,300)	Royal Caribbean Cruises Ltd.*		(7,647,877	)
	(36,800)	Seagen, Inc.*		(6,612,592	)
	(15,600)	ServiceNow, Inc.*		(6,741,852	)
	(23,100)	Sherwin-Williams Co. (The)		(5,113,185	)
	(289,239)	Signify Health, Inc. – Class A*		(8,327,191	)
	(27,800)	Simon Property Group, Inc. (REIT)		(3,394,102	)
	(31,100)	Snowflake, Inc. – Class A*		(4,801,218	)
	(66,500)	Starbucks Corp.		(6,788,985	)
	(22,300)	Sysco Corp.		(1,662,911	)
	(39,806)	Tesla, Inc.*		(8,188,492	)
	(150,900)	Toast, Inc. – Class A*		(2,855,028	)
	(106,400)	Trade Desk, Inc. (The) – Class A*		(5,954,144	)
	(9,100)	TransDigm Group, Inc.		(6,769,217	)
	(107,200)	Twilio, Inc. – Class A*		(7,204,912	)
	(222,996)	Uber Technologies, Inc.*		(7,416,847	)
	(71,400)	UDR, Inc. (REIT)		(3,058,776	)
	(23,800)	Vail Resorts, Inc.		(5,557,062	)

87 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		United States — continued
	(7,300)	Vulcan Materials Co.		(1,320,643	)
	(217,800)	Williams Cos., Inc. (The)		(6,555,780	)
	(81,600)	Wolfspeed, Inc.*		(6,036,768	)
	(80,443)	Xylem, Inc.		(8,257,474	)
	(67,749)	Zillow Group, Inc. – Class C*		(2,845,458	)
	(51,600)	Zscaler, Inc.*		(6,767,340	)
		Total United States		(504,592,431	)
		TOTAL COMMON STOCKS (PROCEEDS $952,424,360)		(901,522,226	)
		PREFERRED STOCKS (g) — (0.2)%
		Germany — (0.2)%
	(13,508)	Sartorius AG		(5,737,764	)
		TOTAL PREFERRED STOCKS (PROCEEDS $5,481,633)		(5,737,764	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $957,905,993)		(907,259,990	)
		Other Assets and Liabilities (net) — 3.1%		115,174,192
		TOTAL NET ASSETS — 100.0%	$	3,735,883,192

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 February 28, 2023
Alrosa PJSC		12/06/17	$	15,372,968		0.0	%	$	82,408
Magnitogorsk Iron & Steel Works PJSC		06/16/21		4,815,566		0.0	%		30,079
PhosAgro PJSC GDR		10/15/21		2,792		0.0	%		35
Sberbank of Russia PJSC		09/09/20		29,636,901		0.0	%		182,780
Sberbank of Russia PJSC		01/10/22		183,324		0.0	%		1,105
Severstal PAO		02/02/21		126,125		0.0	%		1,045
Severstal PJSC GDR (Registered)		10/23/17		5,003,828		0.0	%		36,967
VTB Bank PJSC		01/09/20		587,690		0.0	%		1,654
								$	336,073

See accompanying notes to the financial statements. 88

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)		Settlement Date		Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
05/09/2023	BOA		AUD	6,610,000		USD	4,460,996		2,567		05/31/2023	MSCI		ZAR	12,200,000		USD	666,959		7,602
03/24/2023	BCLY		AUD	280,374		USD	193,645		4,829		05/08/2023	BOA		CAD	1,446,150		USD	1,060,524		(115	)
05/09/2023	BCLY		AUD	21,440,000		USD	14,821,477		360,247		04/11/2023	MSCI		COP	11,400,000,000		USD	2,300,450		(26,965	)
03/24/2023	DB		AUD	5,249,873		USD	3,634,671		99,177		04/17/2023	MSCI		CZK	145,511,617		USD	6,530,280		(2,685	)
03/24/2023	MSCI		AUD	8,962,824		USD	6,350,593		314,636		05/10/2023	MSCI		PEN	2,640,000		USD	684,115		(8,212	)
05/09/2023	MSCI		AUD	4,870,000		USD	3,374,532		89,728		05/22/2023	MSCI		PLN	2,700,000		USD	599,734		(3,917	)
03/24/2023	SSB		AUD	3,995,288		USD	2,793,916		103,315		05/08/2023	BCLY		SEK	111,872,704		USD	10,625,298		(99,815	)
05/03/2023	GS		BRL	3,050,000		USD	584,551		8,296		03/24/2023	BCLY		USD	649,944		AUD	939,806		(17,038	)
05/03/2023	JPM		BRL	3,400,000		USD	645,254		2,872		05/03/2023	CITI		USD	792,456		BRL	4,100,000		(17,818	)
05/08/2023	BOA		CAD	14,540,426		USD	10,831,736		167,461		05/03/2023	GS		USD	777,963		BRL	4,000,000		(22,219	)
04/03/2023	BCLY		CAD	6,180,000		USD	4,615,043		84,627		05/03/2023	SSB		USD	4,269,441		BRL	22,176,756		(79,453	)
04/03/2023	GS		CAD	7,390,000		USD	5,478,240		60,801		05/08/2023	BOA		USD	4,306,803		CAD	5,782,207		(66,003	)
05/08/2023	MSCI		CAD	1,827,973		USD	1,352,097		11,420		04/03/2023	BCLY		USD	35,996,106		CAD	48,310,042		(581,121	)
04/03/2023	SSB		CAD	5,100,000		USD	3,799,130		60,437		03/17/2023	DB		USD	10,110,589		CAD	13,499,356		(216,118	)
05/16/2023	BCLY		CHF	48,892,875		USD	53,805,595		1,477,504		03/17/2023	GS		USD	998,638		CAD	1,334,420		(20,563	)
03/31/2023	JPM		CHF	31,436,297		USD	34,309,737		825,963		05/08/2023	MSCI		USD	4,601,953		CAD	6,136,722		(101,143	)
04/11/2023	MSCI		COP	9,840,000,000		USD	2,044,989		36,063		03/31/2023	BCLY		USD	1,288,109		CHF	1,171,748		(40,044	)
04/17/2023	BOA		EUR	1,104,900		USD	1,200,500		28,675		03/31/2023	DB		USD	822,471		CHF	753,980		(19,384	)
04/17/2023	MSCI		EUR	95,000		USD	103,612		2,858		03/31/2023	GS		USD	1,003,799		CHF	921,416		(22,369	)
03/21/2023	SSB		GBP	11,400,000		USD	13,730,377		13,230		03/31/2023	MSCI		USD	782,195		CHF	715,120		(20,498	)
05/16/2023	MSCI		HUF	335,000,000		USD	921,135		6,359		04/10/2023	MSCI		USD	3,153,587		CLP	2,590,000,000		(40,172	)
05/08/2023	GS		IDR	20,200,000,000		USD	1,336,332		13,476		04/17/2023	CITI		USD	2,203,057		CZK	48,600,000		(21,086	)
03/31/2023	DB		ILS	13,887,392		USD	3,913,816		109,215		04/17/2023	GS		USD	956,869		CZK	21,200,000		(5,063	)
05/31/2023	MSCI		ILS	3,350,000		USD	927,959		7,719		04/17/2023	MSCI		USD	673,857		CZK	15,000,000		(410	)
04/13/2023	BCLY		JPY	261,864,766		USD	1,979,311		44,630		03/31/2023	BCLY		USD	3,246,696		EUR	3,011,405		(56,001	)
04/13/2023	GS		JPY	222,158,077		USD	1,657,682		16,358		03/31/2023	DB		USD	711,053		EUR	665,907		(5,500	)
04/13/2023	MSCI		JPY	1,111,992,814		USD	8,478,484		262,979		03/31/2023	GS		USD	11,607,131		EUR	10,841,385		(120,282	)
04/13/2023	SSB		JPY	363,302,981		USD	2,788,014		103,898		03/31/2023	JPM		USD	44,680,043		EUR	41,813,324		(377,278	)
05/08/2023	CITI		KRW	1,310,000,000		USD	995,857		1,288		03/31/2023	MSCI		USD	43,161,236		EUR	39,543,102		(1,263,856	)
05/08/2023	GS		KRW	1,470,000,000		USD	1,121,453		5,410		03/24/2023	BCLY		USD	1,503,695		GBP	1,231,420		(21,895	)
03/27/2023	MSCI		NZD	3,997,131		USD	2,559,019		87,520		03/24/2023	MSCI		USD	983,156		GBP	815,017		(2,425	)
05/31/2023	MSCI		NZD	16,610,000		USD	10,317,218		47,564		03/24/2023	SSB		USD	4,007,856		GBP	3,245,002		(103,062	)
05/31/2023	SSB		NZD	8,650,000		USD	5,391,764		43,630		05/16/2023	JPM		USD	5,564,440		HUF	2,029,351,113		(22,946	)
04/28/2023	CITI		PHP	141,500,000		USD	2,577,911		31,375		05/08/2023	JPM		USD	1,611,476		IDR	24,127,015,400		(31,447	)
05/22/2023	GS		PLN	9,550,000		USD	2,138,723		3,587		03/17/2023	MSCI		USD	46,517,395		JPY	6,195,209,971		(922,011	)
04/27/2023	BCLY		RON	26,723,094		USD	5,762,779		37,417		05/08/2023	BCLY		USD	122,167		KRW	149,581,441		(8,603	)
05/22/2023	MSCI		SGD	8,056,457		USD	6,039,957		52,053		05/08/2023	GS		USD	568,263		KRW	700,000,000		(36,814	)
05/22/2023	BCLY		THB	145,198,956		USD	4,241,863		100,506		04/17/2023	BOA		USD	3,552,029		NOK	35,000,000		(173,733	)
03/08/2023	MSCI		TWD	226,515,523		USD	7,588,663		205,996		04/17/2023	MSCI		USD	34,241,225		NOK	340,122,042		(1,411,705	)
05/03/2023	GS		USD	987,960		BRL	5,250,000		3,954		05/31/2023	SSB		USD	2,981,533		NZD	4,800,000		(13,783	)
04/10/2023	JPM		USD	1,320,132		CLP	1,100,000,000		2,168		04/28/2023	JPM		USD	1,271,433		PHP	70,000,000		(11,662	)
04/10/2023	MSCI		USD	2,799,148		CLP	2,389,726,000		73,520		05/08/2023	BCLY		USD	6,794,963		SEK	70,600,000		(26,618	)
04/11/2023	JPM		USD	5,702,529		COP	28,361,529,900		87,737		05/22/2023	BCLY		USD	1,128,846		THB	38,700,000		(25,047	)
05/22/2023	BCLY		USD	1,725,872		INR	143,806,560		4,481		05/31/2023	MSCI		USD	2,500,459		ZAR	45,600,000		(35,976	)
04/20/2023	MSCI		USD	7,645,536		MXN	144,781,232		194,308										$	(780,923	)
05/10/2023	MSCI		USD	679,852		PEN	2,640,000		12,476

89 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Futures Contracts

Number of Contracts +		Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
	Buys
	158	CAC40 10 Euro		March 2023		12,125,892		22,059
	121	Corn(i)		May 2023		3,813,012		(267,909	)
	31	DAX Index		March 2023		12,603,708		596,730
	410	FTSE 100 Index		March 2023		38,716,083		1,155,073
	1,553	Mini MSCI Emerging Markets		March 2023		74,769,185		(1,447,971	)
	572	MSCI Singapore		March 2023		12,458,249		(249,108	)
	104	Soybean(i)		May 2023		7,690,800		(198,933	)
	41	SPI 200 Futures		March 2023		4,949,692		(181,849	)
					$	167,126,621	$	(571,908	)

Number of Contracts +		Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
	Sales
	55	Australian Government Bond 10 Yr.		March 2023		4,354,546		114,250
	215	Canadian Government Bond 10 Yr.		June 2023		19,141,224		(49,072	)
	23	E-mini Russell 2000 Index		March 2023		2,183,965		(29,071	)
	88	Euro Bund		March 2023		12,370,939		493,560
	38	Euro Bund		June 2023		5,303,412		(13,151	)
	52	FTSE Taiwan Index		March 2023		2,788,415		44,384
	14	Gold 100 OZ(i)		April 2023		2,571,380		130,390
	12	Hang Seng Index		March 2023		1,510,709		47,983
	300	S&P 500 E-Mini		March 2023		59,632,500		(68,289	)
	54	S&P/TSX 60		March 2023		9,629,373		(21,193	)
	107	Silver(i)		May 2023		11,272,985		631,892
	159	TOPIX Index		March 2023		23,263,035		(488,406	)
	456	U.S. Treasury Note 10 Yr. (CBT)		June 2023		50,915,250		30,061
	17	UK Gilt Long Bond		June 2023		2,044,027		15,755
	4	WTI Crude(i)		March 2023		308,200		(11,574	)
					$	207,289,960	$	827,519

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount	Value ($)
Equity Options – Calls
Black Knight, Inc.		60.00		04/21/23		(1,364	)	USD (8,129,440)		(954,800	)
Albertsons Cos., Inc.(d)		21.00		07/21/23		(4,835	)	USD (9,611,980)		(265,925	)
Globus Medical, Inc.		62.50		09/15/23		(541	)	USD (3,156,194)		(335,420	)
Globus Medical, Inc.		60.00		09/15/23		(54	)	USD    (315,036)		(28,242	)
Activision Blizzard, Inc.		77.50		01/19/24		(840	)	USD (6,405,000)		(709,800	)
Activision Blizzard, Inc.		80.00		01/19/24		(420	)	USD (3,202,500)		(308,700	)
VMware, Inc.		120.00		01/19/24		(262	)	USD (2,885,406)		(235,800	)
				Total Equity Options – Calls						(2,838,687	)
		TOTAL WRITTEN OPTIONS (Premiums $3,378,358)							$	(2,838,687	)

See accompanying notes to the financial statements. 90

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

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^:
United Rentals North America, Inc.		USD 2,280,000		5.00	%		0.59	%		N/A		12/20/2024		Quarterly	$	5,700	$	(173,770	)	$	(179,470	)

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^:
Halliburton Co.		BOA	USD	1,140,000		1.00	%		0.38	%		N/A		12/20/2024		Quarterly		96,638			(12,257	)		(108,895	)
HCA, Inc.		BCLY	USD	1,140,000		5.00	%		0.54	%		N/A		12/20/2024		Quarterly		(139,584	)		(88,051	)		51,533
Tenet Healthcare Corp.		JPM	USD	570,000		5.00	%		1.23	%		N/A		12/20/2024		Quarterly		14,842			(36,918	)		(51,760	)
Tenet Healthcare Corp.		JPM	USD	1,140,000		5.00	%		1.23	%		N/A		12/20/2024		Quarterly		142,500			(73,836	)		(216,336	)
American Airlines Group, Inc.		BCLY	USD	2,970,000		5.00	%		6.89	%		N/A		06/20/2026		Quarterly		564,300			148,682			(415,618	)
Sell Protection^:
American Airlines Group, Inc.		BCLY	USD	2,970,000		5.00	%		4.82	%		2,970,000 USD		06/20/2024		Quarterly		(222,750	)		6,638			229,388
																	$	455,946		$	(55,742	)	$	(511,688	)

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

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

⁽¹⁾  As of February 28, 2023, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity.

The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.56%3	Month AUD BBSW		AUD	28,000,000		03/15/2025	Quarterly		—		225,906			225,906
3.66%3	Month AUD BBSW		AUD	38,500,000		03/15/2025	Quarterly		—		261,781			261,781
3.70%3	Month AUD BBSW		AUD	137,122,000		03/15/2025	Quarterly		26,171		860,842			834,671
3 Month AUD BBSW	3.63%		AUD	32,500,000		03/15/2025	Quarterly		—		(235,006	)		(235,006	)

91 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month AUD BBSW	3.73%		AUD	27,000,000		03/15/2025		Quarterly		—			(158,725	)		(158,725	)
3 Month AUD BBSW	3.85%		AUD	48,000,000		03/15/2025		Quarterly		—			(211,087	)		(211,087	)
3 Month AUD BBSW	3.92%		AUD	34,500,000		03/15/2025		Quarterly		—			(119,728	)		(119,728	)
3.99%	3 Month CAD CDOR		CAD	118,382,000		03/15/2025		Semi-Annually		55,329			1,143,832			1,088,503
3.83%	3 Month CAD CDOR		CAD	47,000,000		03/15/2025		Semi-Annually		—			560,503			560,503
3 Month CAD CDOR	4.00%		CAD	24,000,000		03/15/2025		Semi-Annually		—			(228,490	)		(228,490	)
3 Month CAD CDOR	4.75%		CAD	15,000,000		03/15/2025		Semi-Annually		—			13,706			13,706
CHF - SARON - OIS - COMPOUND	1.36%		CHF	21,000,000		03/15/2025		Annually		—			(203,540	)		(203,540	)
CHF - SARON - OIS - COMPOUND	1.57%		CHF	16,500,000		03/15/2025		Annually		—			(87,233	)		(87,233	)
1.18%	CHF - SARON - OIS - COMPOUND		CHF	73,714,000		03/15/2025		Annually		8,372			983,565			975,193
EUR - EuroSTR - COMPOUND	2.93%		EUR	16,000,000		03/15/2025		Annually		—			(210,724	)		(210,724	)
EUR - EuroSTR - COMPOUND	2.97%		EUR	50,500,000		03/15/2025		Annually		—			(631,630	)		(631,630	)
3.19%	EUR - EuroSTR - COMPOUND		EUR	24,500,000		03/15/2025		Annually		—			193,777			193,777
GBP - SONIA - COMPOUND	4.27%		GBP	50,162,000		03/15/2025		Annually		(24,875	)		(349,389	)		(324,514	)
4.45%	GBP - SONIA - COMPOUND		GBP	20,500,000		03/15/2025		Annually		—			62,947			62,947
4.17%	GBP - SONIA - COMPOUND		GBP	27,500,000		03/15/2025		Annually		—			255,507			255,507
4.05%	GBP - SONIA - COMPOUND		GBP	19,000,000		03/15/2025		Annually		—			228,562			228,562
4.87%	3 Month NZD Bank Bill Rate		NZD	25,000,000		03/15/2025		Quarterly		20,078			146,492			126,414
3.20%	3 Month SEK STIBOR		SEK	190,000,000		03/15/2025		Quarterly		—			237,424			237,424
2.97%	3 Month SEK STIBOR		SEK	290,000,000		03/15/2025		Quarterly		—			481,162			481,162
3 Month SEK STIBOR	3.10%		SEK	1,507,855,000		03/15/2025		Quarterly		15,472			(2,138,358	)		(2,153,830	)
3 Month SEK STIBOR	3.13%		SEK	165,000,000		03/15/2025		Quarterly		—			(225,472	)		(225,472	)
USD - SOFR - COMPOUND	4.19%		USD	20,000,000		03/15/2025		Annually		—			(261,958	)		(261,958	)
USD - SOFR - COMPOUND	4.54%		USD	26,000,000		03/15/2025		Annually		—			(170,647	)		(170,647	)
4.14%	USD - SOFR - COMPOUND		USD	45,975,000		03/15/2025		Annually		33,878			650,644			616,766
4.24%	3 Month AUD BBSW		AUD	44,500,000		06/21/2025		Quarterly		—			(11,566	)		(11,566	)
EUR - EuroSTR - COMPOUND	3.61%		EUR	12,500,000		06/21/2025		Annually		—			6,228			6,228
6 Month AUD BBSW	3.99%		AUD	31,435,000		03/15/2033		Semi-Annually		(9,977	)		(823,344	)		(813,367	)
6 Month AUD BBSW	4.03%		AUD	11,000,000		03/15/2033		Semi-Annually		—			(264,600	)		(264,600	)
6 Month AUD BBSW	4.03%		AUD	8,900,000		03/15/2033		Semi-Annually		—			(214,567	)		(214,567	)
6 Month AUD BBSW	4.04%		AUD	22,800,000		03/15/2033		Semi-Annually		—			(534,257	)		(534,257	)
6 Month AUD BBSW	4.07%		AUD	6,400,000		03/15/2033		Semi-Annually		—			(142,694	)		(142,694	)
6 Month AUD BBSW	4.19%		AUD	7,200,000		03/15/2033		Semi-Annually		—			(110,857	)		(110,857	)
6 Month AUD BBSW	4.24%		AUD	13,300,000		03/15/2033		Semi-Annually		—			(172,753	)		(172,753	)
6 Month AUD BBSW	4.45%		AUD	113,330,000		03/15/2033		Semi-Annually		(38,353	)		(195,886	)		(157,533	)
4.22%	6 Month AUD BBSW		AUD	11,100,000		03/15/2033		Semi-Annually		—			151,685			151,685
4.35%	6 Month AUD BBSW		AUD	14,100,000		03/15/2033		Semi-Annually		—			95,403			95,403
4.32%	6 Month AUD BBSW		AUD	8,000,000		03/15/2033		Semi-Annually		—			67,765			67,765
4.17%	6 Month AUD BBSW		AUD	6,300,000		03/15/2033		Semi-Annually		—			103,818			103,818
4.05%	6 Month AUD BBSW		AUD	7,500,000		03/15/2033		Semi-Annually		—			174,119			174,119
3.24%	3 Month CAD CDOR		CAD	10,217,000		03/15/2033		Semi-Annually		(20,295	)		322,772			343,067
3.17%	3 Month CAD CDOR		CAD	15,900,000		03/15/2033		Semi-Annually		—			567,737			567,737
3.23%	3 Month CAD CDOR		CAD	5,300,000		03/15/2033		Semi-Annually		—			171,369			171,369
3.42%	3 Month CAD CDOR		CAD	7,800,000		03/15/2033		Semi-Annually		—			158,685			158,685
3.62%	3 Month CAD CDOR		CAD	6,700,000		03/15/2033		Semi-Annually		—			55,977			55,977
3.82%	3 Month CAD CDOR		CAD	3,400,000		03/15/2033		Semi-Annually		—			(14,234	)		(14,234	)
3 Month CAD CDOR	3.18%		CAD	26,248,000		03/15/2033		Semi-Annually		(52,569	)		(932,079	)		(879,510	)
3 Month CAD CDOR	3.28%		CAD	10,400,000		03/15/2033		Semi-Annually		—			(303,424	)		(303,424	)

See accompanying notes to the financial statements. 92

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month CAD CDOR	3.30%		CAD	10,200,000		03/15/2033		Semi-Annually		—			(281,638	)		(281,638	)
3 Month CAD CDOR	3.32%		CAD	15,800,000		03/15/2033		Semi-Annually		—			(418,821	)		(418,821	)
3 Month CAD CDOR	3.44%		CAD	7,200,000		03/15/2033		Semi-Annually		—			(138,752	)		(138,752	)
3 Month CAD CDOR	3.45%		CAD	6,000,000		03/15/2033		Semi-Annually		—			(110,291	)		(110,291	)
3 Month CAD CDOR	3.56%		CAD	7,800,000		03/15/2033		Semi-Annually		—			(95,304	)		(95,304	)
CHF - SARON - OIS - COMPOUND	1.50%		CHF	15,748,000		03/15/2033		Annually		(11,239	)		(687,784	)		(676,545	)
CHF - SARON - OIS - COMPOUND	1.55%		CHF	6,700,000		03/15/2033		Annually		—			(260,658	)		(260,658	)
CHF - SARON - OIS - COMPOUND	1.60%		CHF	63,650,000		03/15/2033		Annually		—			(2,173,239	)		(2,173,239	)
CHF - SARON - OIS - COMPOUND	1.73%		CHF	8,600,000		03/15/2033		Annually		—			(188,777	)		(188,777	)
1.99%	CHF - SARON -  OIS - COMPOUND		CHF	7,500,000		03/15/2033		Annually		—			(25,912	)		(25,912	)
1.58%	CHF - SARON - OIS - COMPOUND		CHF	4,500,000		03/15/2033		Annually		—			163,920			163,920
1.91%	CHF - SARON - OIS - COMPOUND		CHF	9,500,000		03/15/2033		Annually		—			35,477			35,477
1.81%	CHF - SARON - OIS - COMPOUND		CHF	3,600,000		03/15/2033		Annually		—			50,168			50,168
1.97%	CHF - SARON - OIS - COMPOUND		CHF	9,000,000		03/15/2033		Annually		—			(15,355	)		(15,355	)
EUR - EuroSTR - COMPOUND	2.68%		EUR	5,300,000		03/15/2033		Annually		—			(153,576	)		(153,576	)
2.59%	EUR - EuroSTR - COMPOUND		EUR	18,600,000		03/15/2033		Annually		—			691,870			691,870
2.59%	EUR - EuroSTR - COMPOUND		EUR	11,100,000		03/15/2033		Annually		—			414,402			414,402
2.45%	EUR - EuroSTR - COMPOUND		EUR	3,500,000		03/15/2033		Annually		—			176,608			176,608
2.69%	EUR - EuroSTR - COMPOUND		EUR	6,200,000		03/15/2033		Annually		—			174,305			174,305
2.88%	EUR - EuroSTR - COMPOUND		EUR	14,100,000		03/15/2033		Annually		—			153,055			153,055
2.82%	EUR - EuroSTR - COMPOUND		EUR	6,400,000		03/15/2033		Annually		—			106,678			106,678
2.87%	EUR - EuroSTR - COMPOUND		EUR	10,700,000		03/15/2033		Annually		—			131,213			131,213
2.90%	EUR - EuroSTR - COMPOUND		EUR	8,400,000		03/15/2033		Annually		—			82,025			82,025
GBP - SONIA - COMPOUND	3.34%		GBP	9,900,000		03/15/2033		Annually		—			(393,776	)		(393,776	)
GBP - SONIA - COMPOUND	3.39%		GBP	4,400,000		03/15/2033		Annually		—			(154,563	)		(154,563	)
GBP - SONIA - COMPOUND	3.41%		GBP	6,200,000		03/15/2033		Annually		—			(204,145	)		(204,145	)
GBP - SONIA - COMPOUND	3.44%		GBP	6,900,000		03/15/2033		Annually		—			(205,591	)		(205,591	)
GBP - SONIA - COMPOUND	3.48%		GBP	14,200,000		03/15/2033		Annually		—			(364,749	)		(364,749	)
GBP - SONIA - COMPOUND	3.56%		GBP	4,700,000		03/15/2033		Annually		—			(83,939	)		(83,939	)
3.22%	GBP - SONIA - COMPOUND		GBP	11,203,000		03/15/2033		Annually		27,063			571,435			544,372
3.77%	GBP - SONIA - COMPOUND		GBP	5,900,000		03/15/2033		Annually		—			(14,409	)		(14,409	)
3.36%	GBP - SONIA - COMPOUND		GBP	8,500,000		03/15/2033		Annually		—			318,548			318,548
3.16%	GBP - SONIA - COMPOUND		GBP	6,000,000		03/15/2033		Annually		—			340,796			340,796
3.48%	GBP - SONIA - COMPOUND		GBP	5,900,000		03/15/2033		Annually		—			155,303			155,303
3.54%	GBP - SONIA - COMPOUND		GBP	5,600,000		03/15/2033		Annually		—			111,793			111,793
4.22% 3 Month NZD Bank Bill Rate			NZD	18,400,000		03/15/2033		Quarterly		30,267			432,887			402,620
4.27% 3 Month NZD Bank Bill Rate			NZD	9,250,000		03/15/2033		Quarterly		—			192,729			192,729
4.14% 3 Month NZD Bank Bill Rate			NZD	14,700,000		03/15/2033		Quarterly		—			403,728			403,728
4.47% 3 Month NZD Bank Bill Rate			NZD	13,600,000		03/15/2033		Quarterly		—			148,135			148,135
3 Month NZD Bank Bill Rate	4.22%		NZD	5,900,000		03/15/2033		Quarterly		(3,721	)		(137,415	)		(133,694	)
3 Month NZD Bank Bill Rate	4.26%		NZD	10,600,000		03/15/2033		Quarterly		(2,188	)		(224,345	)		(222,157	)
3 Month NZD Bank Bill Rate	4.59%		NZD	20,300,000		03/15/2033		Quarterly		—			(106,482	)		(106,482	)
3 Month SEK STIBOR	2.47%		SEK	80,000,000		03/15/2033		Quarterly		—			(522,356	)		(522,356	)

93 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives		Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month SEK STIBOR		2.54%		SEK	100,000,000		03/15/2033		Quarterly		—			(597,594	)		(597,594	)
3 Month SEK STIBOR		2.59%		SEK	63,000,000		03/15/2033		Quarterly		—			(351,974	)		(351,974	)
3 Month SEK STIBOR		2.63%		SEK	42,000,000		03/15/2033		Quarterly		—			(221,341	)		(221,341	)
3 Month SEK STIBOR		2.81%		SEK	94,000,000		03/15/2033		Quarterly		—			(357,389	)		(357,389	)
2.51% 3 Month SEK STIBOR				SEK	329,715,000		03/15/2033		Quarterly		20,571			2,040,713			2,020,142
2.62% 3 Month SEK STIBOR				SEK	37,000,000		03/15/2033		Quarterly		—			197,068			197,068
3.00% 3 Month SEK STIBOR				SEK	866,375,000		03/15/2033		Quarterly		(6,659	)		1,980,429			1,987,088
3 Month SEK STIBOR		3.22%		SEK	68,000,000		03/15/2033		Quarterly		—			(36,796	)		(36,796	)
3 Month SEK STIBOR		3.28%		SEK	125,000,000		03/15/2033		Quarterly		—			(457	)		(457	)
USD - SOFR - COMPOUND		3.05%		USD	11,180,000		03/15/2033		Annually		—			(543,874	)		(543,874	)
USD - SOFR - COMPOUND		3.07%		USD	18,500,000		03/15/2033		Annually		—			(867,931	)		(867,931	)
USD - SOFR - COMPOUND		3.13%		USD	10,286,000		03/15/2033		Annually		(46,786	)		(435,236	)		(388,450	)
USD - SOFR - COMPOUND		3.16%		USD	11,100,000		03/15/2033		Annually		—			(442,033	)		(442,033	)
USD - SOFR - COMPOUND		3.19%		USD	7,300,000		03/15/2033		Annually		—			(270,840	)		(270,840	)
3.16%		USD - SOFR - COMPOUND		USD	12,094,000		03/15/2033		Annually		22,217			479,423			457,206
3.23%		USD - SOFR - COMPOUND		USD	6,100,000		03/15/2033		Annually		—			206,698			206,698
3.29%		USD - SOFR - COMPOUND		USD	9,400,000		03/15/2033		Annually		—			275,882			275,882
3.33%		USD - SOFR - COMPOUND		USD	6,900,000		03/15/2033		Annually		—			179,179			179,179
3.47%		USD - SOFR - COMPOUND		USD	5,800,000		03/15/2033		Annually		—			83,409			83,409
3.30%		USD - SOFR - COMPOUND		USD	11,100,000		03/15/2033		Annually		—			309,756			309,756
3.22%		USD - SOFR - COMPOUND		USD	11,100,000		03/15/2033		Annually		—			384,820			384,820
3.22%		USD - SOFR - COMPOUND		USD	4,500,000		03/15/2033		Annually		—			156,379			156,379
3.40%		USD - SOFR - COMPOUND		USD	8,000,000		03/15/2033		Annually		—			162,880			162,880
3.44%		USD - SOFR - COMPOUND		USD	5,700,000		03/15/2033		Annually		—			96,309			96,309
3.46%		USD - SOFR - COMPOUND		USD	6,800,000		03/15/2033		Annually		—			101,435			101,435
3.59%		USD - SOFR - COMPOUND		USD	18,100,000		03/15/2033		Annually		—			75,946			75,946
3.63%		USD - SOFR - COMPOUND		USD	6,100,000		03/15/2033		Annually		—			4,970			4,970
6 Month AUD BBSW		4.51%		AUD	10,400,000		06/21/2033		Semi-Annually		—			3,193			3,193
3.04%		EUR - EuroSTR - COMPOUND		EUR	2,800,000		06/21/2033		Annually		—			(9,262	)		(9,262	)
3.61%		USD - SOFR - COMPOUND		USD	7,300,000		06/21/2033		Annually		—			(13,517	)		(13,517	)
										$	42,756		$	(286,597	)	$	(329,353	)

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 Federal Funds Rate plus 0.09%

Total Return on MSCI World Daily Total Return Net Value Index

GS

USD

10,612,010

05/09/2023

Monthly

—

(189,476

)

(189,476

)

Total Return on MSCI World Daily Total Return Net Growth Index

1 Month Federal Funds Rate minus 0.08%

GS

USD

9,473,788

05/09/2023

Monthly

—

337,655

337,655

Total Return on MSCI World Daily Total Return Net Value Index

1 Month Federal Funds Rate minus 0.08%

GS

USD

968,761

05/09/2023

Monthly

—

34,528

34,528

See accompanying notes to the financial statements. 94

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts — continued

OTC Total Return Swaps — continued

Fund Pays	Fund Receives	Counterparty		Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Value Index		UBSA		USD	12,286,765		05/12/2023		Monthly		—		(135,020	)		(135,020	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%		UBSA		USD	12,320,101		05/12/2023		Monthly		—		333,167			333,167
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index		UBSA		USD	11,379,256		05/22/2023		Monthly		—		(28,291	)		(28,291	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.06%		UBSA		USD	11,398,126		05/22/2023		Monthly		—		129,374			129,374
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Value Index		UBSA		USD	11,704,731		08/09/2023		Monthly		—		(208,986	)		(208,986	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.01%		UBSA		USD	9,329,783		08/09/2023		Monthly		—		332,523			332,523
1 Month Federal Funds Rate minus 0.02%	Total Return on MSCI World Daily Total Return Net Value Index		JPM		USD	2,308,758		12/15/2023		Monthly		—		(17,864	)		(17,864	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.07%		JPM		USD	3,601,041		12/15/2023		Monthly		—		87,144			87,144
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.40%		GS		USD	15,872,352		06/24/2024		Monthly		—		133,869			133,869
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.40%		MORD		USD	48,500,566		06/18/2024		Monthly		—		2,125,796			2,125,796
											$	—	$	2,934,419		$	2,934,419

95 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

As of February 28, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

(f) The security is restricted as to resale.

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

(h) Security is in default.

(i) All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

(j) The rate disclosed is the 7 day net yield as of February 28, 2023.

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

(l) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(m) The following table represents the individual long and/or short positions within the custom equity basket swap as of February 28, 2023:

Shares		Description	%of Equity Basket			Value ($)
	(2,744,000)	Air China Ltd – Class H		5.5	%		(2,530,058	)
	(754,000)	Alibaba Health Information Technology Ltd		1.2	%		(539,885	)
	(1,761,000)	China Molybdenum Co Ltd – Class H		2.1	%		(991,615	)
	(900,000)	Genscript Biotech Corp		5.3	%		(2,463,477	)
	(3,421,600)	Gulf Energy Development Pcl NVDR		11.0	%		(5,084,779	)
	(6,832)	Hanmi Pharm Co Ltd		2.9	%		(1,336,929	)
	(6,000)	Hapvida Participacoes e Investimentos SA		0.0	%		(5,146	)
	(64,874)	Hotel Shilla Co Ltd		8.5	%		(3,928,324	)
	(38,852)	Kakao Corp		3.9	%		(1,828,851	)
	(2,271,000)	Kingdee International Software Group Co Ltd		9.1	%		(4,243,280	)
	(232,300)	Klabin SA		1.9	%		(863,452	)
	(147,262)	Korea Aerospace Industries Ltd		10.8	%		(5,014,195	)
	(6,386)	LG Energy Solution		5.4	%		(2,522,550	)
	(900)	Lojas Renner SA		0.0	%		(3,206	)
	(327,700)	Microport Scientific Corp		2.0	%		(929,697	)
	7,652	Nokia Oyj		(0.1	%)		35,402
	(6,539)	POSCO Chemical Co Ltd		2.4	%		(1,091,014	)
	(9,769)	Samsung Biologics Co Ltd		12.3	%		(5,707,425	)
	(767,926)	Samsung Heavy Industries Co Ltd		6.9	%		(3,188,743	)
	(39,720)	Yuhan Corp		3.4	%		(1,581,913	)
	(1,680,000)	Zijin Mining Group Co Ltd – Class H		5.5	%		(2,542,447	)
		TOTAL COMMON STOCKS				$	(46,361,584	)

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 125.

See accompanying notes to the financial statements. 96

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO International Developed Equity Allocation Fund returned -3.23% (net) for the fiscal year ended February 28, 2023, as compared with -3.14% for the Fund’s benchmark, the MSCI EAFE Index.

The Fund’s decision to hold a broadly 8% average off-benchmark position in emerging markets, managed ex-China, detracted from performance relative to the benchmark as the MSCI Emerging Markets ex-China Index stumbled to a -14.92% return. We believed that emerging markets were trading at very preferential valuations but, unfortunately, pursuit of a zero-COVID policy until near the very end of 2022 really hampered the Chinese economy and weighed heavily on all emerging market performance. Selection in developed markets was strong. Outperformance of the Value style undoubtedly provided a decent tailwind, although this was partly offset by being overweight to Japan, which lagged the MSCI EAFE Index. The performance challenge from being overweight emerging markets was exacerbated by security selection within emerging markets, where we lagged the reference benchmark.

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

97

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

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

GMO International Developed Equity Allocation Fund Class III Shares and the MSCI EAFE Index

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year			Since Inception
Class III		-3.23	%		1.87	%		4.37	%		n/a
Class R6		-3.23	%		n/a			n/a			1/22/21 -0.58	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III and R6 the gross expense ratio of 0.68% and 0.68%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.63% and 0.63% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

98

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.1	%
Short-Term Investments		5.2
Preferred Stocks		1.2
Debt Obligations		0.3
Futures Contracts		(0.0	)^
Other		(3.8	)
		100.0	%

Country/Region Summary¤	% of Investments
Japan		25.8	%
United Kingdom		13.8
France		13.5
Netherlands		6.7
Spain		6.0
Switzerland		5.3
Germany		4.2
Singapore		4.0
Australia		3.6
Other Emerging		3.5	†
Taiwan		2.7
Other Developed		2.6	‡
Norway		2.1
Finland		1.6
Hong Kong		1.6
South Korea		1.6
Italy		1.4
		100.0	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

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

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

^ Rounds to 0.0%.

99

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,350,537	GMO Emerging Markets ex-China Fund, Class VI		18,016,158
	9,256,575	GMO International Equity Fund, Class IV		199,942,022
	543,730	GMO-Usonian Japan Value Creation Fund, Class VI		9,172,729
		TOTAL MUTUAL FUNDS (COST $245,440,120)		227,130,909
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	100,556	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (a)		100,556
		TOTAL SHORT-TERM INVESTMENTS (COST $100,556)		100,556
		TOTAL INVESTMENTS — 100.0%
		(Cost $245,540,676)		227,231,465
		Other Assets and Liabilities (net) — (0.0%)		(31,622	)
		TOTAL NET ASSETS — 100.0%	$	227,199,843

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 125.

See accompanying notes to the financial statements. 100

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO International Equity Allocation Fund returned -9.05% (net) for the fiscal year ended February 28, 2023, compared to -7.19% for the MSCI All Country World Index (“ACWI”) ex USA.

The Fund’s overweight to emerging markets detracted from performance relative to the benchmark as the MSCI Emerging Markets Index stumbled to a -15.28% return. We believed that emerging markets were trading at very preferential valuations but, unfortunately, pursuit of a zero-COVID policy until near the very end of 2022 really hampered the Chinese economy and weighed heavily on emerging market performance. Security selection in developed markets was strong, with outperformance of the Value style undoubtedly providing a decent tailwind. The performance challenge from being overweight emerging markets was exacerbated by security selection within emerging markets, where we lagged the reference benchmark.

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

101

GMO International Equity Allocation Fund

(A Series of GMO Trust)

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

GMO International Equity Allocation Fund Class III Shares and the MSCI ACWI ex USA

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year			Since Inception
Class III		-9.05	%		-0.43	%		2.85	%		n/a
Class R6		-9.05	%		n/a			n/a			8/30/19 3.62	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III and R6 the gross expense ratio of 0.69% and 0.69%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 0.67% and 0.67% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

102

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		95.4	%
Short-Term Investments		4.3
Preferred Stocks		2.9
Debt Obligations		0.3
Futures Contracts		(0.1	)
Other		(2.8	)
		100.0	%

Country/Region Summary¤	% of Investments
Japan		18.0	%
United Kingdom		9.4
Taiwan		9.0
France		8.8
China		8.0
South Korea		6.2
Netherlands		4.3
Other Emerging		4.1	†
Spain		4.0
Switzerland		3.5
Brazil		3.0
Germany		2.8
Singapore		2.7
Australia		2.5
India		2.3
Mexico		2.3
Other Developed		2.0	‡
South Africa		1.9
Hong Kong		1.6
Norway		1.4
Finland		1.1
Viet Nam		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.

103

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	2,969,187	GMO Emerging Markets ex-China Fund, Class VI		39,608,956
	6,502,864	GMO Emerging Markets Fund, Class VI		140,917,055
	13,499,667	GMO International Equity Fund, Class IV		291,592,810
	1,167,135	GMO-Usonian Japan Value Creation Fund, Class VI		19,689,572
		TOTAL MUTUAL FUNDS (COST $579,205,507)		491,808,393
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	365,390	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (a)		365,390
		TOTAL SHORT-TERM INVESTMENTS (COST $365,390)		365,390
		TOTAL INVESTMENTS — 100.0%
		(Cost $579,570,897)		492,173,783
		Other Assets and Liabilities (net) — (0.0%)		(31,591	)
		TOTAL NET ASSETS — 100.0%	$	492,142,192

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 125.

See accompanying notes to the financial statements. 104

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO SGM Major Markets Fund returned +3.86% (net) for the fiscal year ended February 28, 2023, as compared with +2.22% for the FTSE 3-Month Treasury Bill Index.

The Fund added value from equity, fixed income, and commodity positions while currencies detracted value over the period. It was a difficult year for most assets as inflation soared throughout most major global economies which forced central banks around the world to lift interest rates dramatically, which in turn resulted in dramatic sell-offs in both equities and bonds. Throughout this turmoil, the Fund was able to take positions in some key assets where prices had become strongly dislocated to fundamental values.

Within equities, the portfolio generated returns by taking positions where there were significant relative valuation differentials. This was generally around the theme of being short the U.S. while being long cheaper European markets. This positioning was particularly well rewarded in the later part of the year, as concerns in Europe over the impact of energy prices from the war in Ukraine dissipated.

As inflation concerns accelerated throughout the year, combined with central bank rate rises, bond markets sold off globally. Within fixed income, the portfolio held bonds net short, mainly through short U.S. bond positions. Within commodities, a variety of contracts across agriculture, energy, and precious metals contributed to the positive returns. Currencies detracted over the period. The main contributor to the underperformance was long Japanese yen positions. While our models viewed the yen as being fundamentally cheap, markets heavily rewarded the carry trade. Our positions in the yen were eventually reduced as the direction of yen turned more favorable.

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

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

105

GMO SGM Major Markets Fund

(A Series of GMO Trust)

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

GMO SGM Major Markets Fund Class III Shares, the FTSE 3-Month Treasury Bill +++ Index* and the

FTSE 3-Month Treasury Bill Index

As of February 28, 2023

	Average Annual Total Returns
	1 Year		5 Year		10 Year	Since Inception
Class III		3.86%		1.34%	2.20%	n/a
Class VI		3.96%		1.44%	n/a	12/1/15  1.99%
Class I		3.76%		n/a	n/a	9/23/20  1.16%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited. Performance for classes may vary due to different fees.

* The FTSE 3-Month Treasury Bill +++ Index is a composite benchmark computed by GMO and comprised of 50% Bloomberg Commodity Total Return Index and 50% J.P. Morgan U.S. 3 Month Cash Index through October 3, 2011 and the FTSE 3-Month Treasury Bill Index thereafter.

For Class III, VI and I the gross expense ratio of 1.10%, 1.00% and 1.25%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Classes listed above, the corresponding net expense ratio of 1.01%, 0.92% and 1.11% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

106

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		99.9	%
Short-Term Investments		0.6
Swap Contracts		0.3
Futures Contracts		0.1	#
Forward Currency Contracts		0.0	^
Other		(0.9	)
		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 13.4% of net assets.

# Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments.

^ Rounds to 0.0%.

107

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 99.9%
		United States — 99.9%
		U.S. Government — 89.8%
	20,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, USBM + 0.14%, 4.95%, due 10/31/24 (a) (b)		20,014,932
	47,030,000	U.S. Treasury Note, 0.13%, due 06/30/23		46,284,134
	8,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 10/31/23 (b)		7,997,716
	35,600,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.73%, due 04/30/24 (a) (b)		35,546,077
	6,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.84%, due 07/31/24 (a)		5,997,945
		Total U.S. Government		115,840,804
		U.S. Government Agency — 10.1%
	7,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 4.58%, due 03/02/23		6,999,994
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.05%, 4.60%, due 07/06/23		2,999,968
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 4.62%, due 12/14/23		2,999,663
		Total U.S. Government Agency		12,999,625
		Total United States		128,840,429
		TOTAL DEBT OBLIGATIONS (COST $129,297,616)		128,840,429
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	349,412	State Street Global Advisors Liquidity Plc - U.S. Treasury Liquidity Fund, 4.48% (a)		349,412
	455,267	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (c)		455,267
		TOTAL SHORT-TERM INVESTMENTS (COST $804,679)		804,679
		TOTAL INVESTMENTS — 100.5% (Cost $130,102,295)		129,645,108
		Other Assets and Liabilities (net) — (0.5%)		(700,891	)
		TOTAL NET ASSETS — 100.0%	$	128,944,217

See accompanying notes to the financial statements. 108

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
03/24/2023	BCLY	AUD	104,706	USD	72,317		1,803
03/24/2023	DB	AUD	2,305,947	USD	1,596,488		43,562
03/24/2023	MSCI	AUD	3,840,695	USD	2,721,292		134,800
03/24/2023	SSB	AUD	1,744,541	USD	1,219,963		45,112
03/31/2023	JPM	CHF	13,718,585	USD	14,972,535		360,444
04/13/2023	BCLY	JPY	104,540,041	USD	790,168		17,817
04/13/2023	GS	JPY	94,793,316	USD	707,322		6,980
04/13/2023	MSCI	JPY	480,902,472	USD	3,666,729		113,778
04/13/2023	SSB	JPY	157,109,735	USD	1,205,672		44,931
03/27/2023	MSCI	NZD	1,741,294	USD	1,114,801		38,127
03/24/2023	BCLY	USD	345,311	AUD	499,313		(9,052	)
03/17/2023	DB	USD	4,408,029	CAD	5,885,469		(94,224	)
03/17/2023	GS	USD	399,707	CAD	534,104		(8,230	)
03/31/2023	BCLY	USD	561,910	CHF	511,150		(17,468	)

Settlement Date	Counter- party		Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
03/31/2023		DB	USD	484,751	CHF	444,383		(11,425	)
03/31/2023		GS	USD	426,041	CHF	391,076		(9,494	)
03/31/2023		MSCI	USD	340,457	CHF	311,262		(8,922	)
03/31/2023		BCLY	USD	1,017,632	EUR	944,557		(16,838	)
03/31/2023		DB	USD	268,444	EUR	251,400		(2,076	)
03/31/2023		GS	USD	572,081	EUR	534,030		(6,256	)
03/31/2023		JPM	USD	666,934	EUR	614,402		(15,951	)
03/31/2023		MSCI	USD	18,832,482	EUR	17,253,786		(551,457	)
03/24/2023		BCLY	USD	620,837	GBP	508,450		(9,005	)
03/24/2023		MSCI	USD	407,375	GBP	337,706		(1,005	)
03/24/2023		SSB	USD	1,748,090	GBP	1,415,359		(44,952	)
							$	999

Futures Contracts

					Value/Net
					Unrealized
Number of		Expiration	Notional		Appreciation
Contracts +	Type	Date	Amount ($)		(Depreciation) ($)
Buys
68	CAC40 10 Euro	March 2023		5,218,739		9,494
52	Corn(a)	May 2023		1,638,650		(115,142	)
13	DAX Index	March 2023		5,285,426		263,879
175	FTSE 100 Index	March 2023		16,525,157		495,908
663	Mini MSCI Emerging Markets	March 2023		31,920,135		(589,166	)
249	MSCI Singapore	March 2023		5,423,259		(108,485	)
45	Soybean(a)	May 2023		3,327,750		(86,348	)
17	SPI 200 Futures	March 2023		2,052,311		(75,136	)
			$	71,391,427	$	(204,996	)

							Value/Net
							Unrealized
Number of			Expiration		Notional		Appreciation
Contracts +		Type	Date		Amount ($)		(Depreciation) ($)
	Sales
	24	Australian Government Bond 10 Yr.		March 2023		1,900,166		52,182
	92	Canadian Government Bond 10 Yr.		June 2023		8,190,663		(20,962	)
	10	E-mini Russell 2000 Index		March 2023		949,550		(11,674	)
	38	Euro Bund		March 2023		5,341,997		222,822
	16	Euro Bund		June 2023		2,233,015		(5,733	)
	22	FTSE Taiwan Index		March 2023		1,179,714		18,778
	6	Gold 100 OZ(a)		April 2023		1,102,020		55,550
	5	Hang Seng Index		March 2023		629,462		19,992
	128	S&P 500 E-Mini		March 2023		25,443,200		(35,601	)
	23	S&P/TSX 60		March 2023		4,101,400		(13,490	)
	46	Silver(a)		May 2023		4,846,330		274,251
	68	TOPIX Index		March 2023		9,948,971		(208,805	)
	195	U.S. Treasury Note 10 Yr. (CBT)		June 2023		21,772,969		13,055
	7	UK Gilt Long Bond		June 2023		841,658		6,454
	2	WTI Crude(a)		March 2023		154,100		(5,787	)
					$	88,635,215	$	361,032

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

109 See accompanying notes to the financial statements.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2023

Swap Contracts

OTC Total Return Swaps

								Periodic		Premiums					Net Unrealized
				Notional		Expiration		Payment		Paid/					Appreciation/
Fund Pays	Fund Receives	Counterparty		Amount		Date		Frequency		(Received) ($)		Value ($)			(Depreciation) ($)
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Value Index		GS	USD	8,983,434		05/09/2023		Monthly		—		(160,398	)		(160,398	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%		GS	USD	8,011,918		05/09/2023		Monthly		—		285,553			285,553
Total Return on MSCI World Daily Total Return Net Value Index	1 Month Federal Funds Rate minus 0.08%		GS	USD	820,393		05/09/2023		Monthly		—		29,240			29,240
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Value Index		UBSA	USD	10,396,542		05/12/2023		Monthly		—		(114,248	)		(114,248	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%		UBSA	USD	10,424,614		05/12/2023		Monthly		—		281,908			281,908
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index		UBSA	USD	7,798,830		05/22/2023		Monthly		—		(19,390	)		(19,390	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.06%		UBSA	USD	7,577,808		05/22/2023		Monthly		—		86,011			86,011
										$	—	$	388,676		$	388,676

As of February 28, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

(a) All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

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

(c) The rate disclosed is the 7 day net yield as of February 28, 2023.

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 125.

See accompanying notes to the financial statements. 110

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Strategic Opportunities Allocation Fund returned -4.08% (net) for the fiscal year ended February 28, 2023, as compared with -7.70% for the GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series) and 25% Bloomberg U.S. Aggregate Index).

The Fund’s circa 20% off-benchmark position in alternatives had the most significant beneficial impact on relative performance. It is invested in the Equity Dislocation Strategy, which is long cheap Value stocks and short expensive Growth stocks, and enjoyed an excellent year, up some 7.87%. The Fund held an average 71% in equities over the period, and the return of -7.33% was in line with the MSCI World Index return. In terms of regional biases, the benefits gained from being overweight developed ex-U.S. equities largely compensated for the detriment caused by being overweight emerging market equities. Security selection in developed markets was strong, helped by outperformance of the Value style. The Fund held an average of 9% in fixed income, with an increased emphasis on credit due to a sizeable allocation to Emerging Market Debt. The Fund’s fixed income exposures posted -7.38%, nicely ahead of the -9.72% return from the Bloomberg U.S. Aggregate Index, with the outperformance largely driven by an excellent return from the Emerging Debt exposure, which was well ahead of its reference benchmark.

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

111

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

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

GMO Strategic Opportunities Allocation Fund Class III Shares, the

GMO Strategic Opportunities Allocation Index*, the MSCI World Index and the Bloomberg

U.S. Aggregate Index

As of February 28, 2023

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Class III		-4.08	%		3.15	%		5.35	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2023. All information is unaudited.

* The GMO Strategic Opportunities Allocation Index is a composite benchmark computed by GMO and comprised of 75% MSCI World Index and 25% Bloomberg U.S. Aggregate Index.

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

For Class III the gross expense ratio of 0.76% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2022. For the Class listed above, the net expense ratio of 0.62% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2023. Elimination of this reimbursement will result in higher fees and lower performance.

112

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		88.8	%
Short-Term Investments		17.0
Debt Obligations		11.7
Preferred Stocks		1.6
Swap Contracts		0.1
Loan Assignments		0.0	^
Loan Participations		0.0	^
Forward Currency Contracts		0.0	^
Rights/Warrants		0.0	^
Investment Funds		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Futures Contracts		(0.0	)^
Securities Sold Short		(18.1	)
Other		(1.1	)
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		3.5	%
Other Emerging		2.8	†
Other Developed		0.8	‡
Euro Region		(0.5	)§
		6.6	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		22.2	%
Japan		10.9
Other Developed		5.5	‡
Taiwan		4.9
United Kingdom		3.9
South Korea		3.4
France		3.3
China		2.8
Other Emerging		2.4	†
Netherlands		1.9
Brazil		1.8
Spain		1.7
India		1.5
Mexico		1.5
Australia		1.0
Singapore		1.0
Switzerland		1.0
South Africa		1.0
Euro Region		0.0	§^
		71.7	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. 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.

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

^ Rounds to 0.0%.

113

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		COMMON STOCKS — 32.9%
		Australia — 0.9%
	13,796	AMP Ltd *		9,577
	28,066	Aurizon Holdings Ltd (a)		62,367
	3,376	Austal Ltd		4,104
	81,259	Beach Energy Ltd		76,637
	21,106	BlueScope Steel Ltd		270,045
	21,839	Brambles Ltd (a)		188,704
	19,437	Fortescue Metals Group Ltd (a)		278,531
	44,850	GPT Group (The) (REIT) (a)		141,578
	16,654	GrainCorp Ltd – Class A		87,819
	13,508	Grange Resources Ltd		8,601
	22,136	Helia Group Ltd		51,252
	1,598	JB Hi-Fi Ltd (a)		44,853
	3,518	McMillan Shakespeare Ltd		33,839
	20,607	Metcash Ltd (a)		56,337
	98,347	Mirvac Group (REIT) (a)		149,741
	1,296	Monadelphous Group Ltd		10,434
	13,540	Nufarm Ltd		52,719
	6,326	Perenti Ltd *		4,508
	6,946	Regis Resources Ltd		8,116
	44,089	Scentre Group (REIT) (a)		88,057
	42,562	Stockland (REIT) (a)		109,638
	2,346	Super Retail Group Ltd (a)		20,405
	2,143	Viva Energy Group Ltd (a)		4,316
		Total Australia		1,762,178
		Austria — 0.0%
	3,792	Raiffeisen Bank International AG *		63,309
		Belgium — 0.5%
	5,649	Ageas SA/NV (a)		254,934
	1,493	Bekaert SA		65,876
	569	Sofina SA (a)		141,752
	1,670	Solvay SA (a)		190,760
	2,247	Telenet Group Holding NV (a)		34,732
	3,202	UCB SA (a)		275,270
		Total Belgium		963,324
		Brazil — 0.1%
	7,200	Banco do Brasil SA		55,422
	7,400	Petroleo Brasileiro SA Sponsored ADR (a)		82,066
	8,200	Telefonica Brasil SA ADR (a)		61,090
	1,107	Vale SA		18,041
		Total Brazil		216,619
		Canada — 1.6%
	300	ADENTRA Inc		7,146
	900	Algoma Steel Group Inc		7,229
	2,200	Alimentation Couche-Tard Inc (a)		103,204
	1,167	Brookfield Asset Management Ltd – Class A (a)		39,235
	5,065	Brookfield Corp – Class A (a)		168,411

Shares		Description	Value ($)
		Canada — continued
	733	Canadian Apartment Properties (REIT) (a)		26,548
	2,000	Canadian Tire Corp Ltd – Class A (a)		249,307
	3,900	Canfor Corp *		66,539
	8,358	Celestica Inc *		107,989
	700	Cogeco Inc		31,037
	600	DREAM UnLtd Corp – Class A		11,727
	3,200	Finning International Inc (a)		81,167
	700	iA Financial Corp Inc		46,992
	5,200	Interfor Corp *		87,537
	2,700	Magna International Inc		150,484
	9,200	Manulife Financial Corp (a) (b)		181,910
	7,400	Manulife Financial Corp (a) (b)		146,224
	1,200	Martinrea International Inc		12,295
	3,300	Mullen Group Ltd (a)		34,439
	3,067	Nutrien Ltd (a)		238,551
	5,000	OceanaGold Corp *		10,187
	2,300	Onex Corp		122,981
	7,300	Quebecor Inc – Class B (a)		172,696
	2,600	Russel Metals Inc		67,777
	1,900	Sleep Country Canada Holdings Inc		36,204
	7,800	Teck Resources Ltd – Class B (a) (b)		311,371
	2,000	Teck Resources Ltd – Class B (a) (b)		79,840
	1,800	Uni-Select Inc * (a)		62,502
	3,200	West Fraser Timber Co Ltd (b)		240,381
	400	West Fraser Timber Co Ltd (b)		30,024
		Total Canada		2,931,934
		China — 0.6%
	16,893	Alibaba Group Holding Ltd *		185,678
	110,000	Bank of Communications Co Ltd – Class H		65,038
	15,000	Beijing Enterprises Holdings Ltd		49,135
	12,500	China Conch Venture Holdings Ltd		25,156
	33,000	China Overseas Land & Investment Ltd		81,922
	152,000	China Railway Group Ltd – Class H		79,220
	286,000	China Zhongwang Holdings Ltd * (c)		61,212
	110,000	CITIC Ltd		121,370
	60,000	Dongfeng Motor Group Co Ltd – Class H		30,652
	9,000	Kingboard Holdings Ltd		32,131
	209	Meituan – Class B*		3,627
	9,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		17,459
	154,000	Shimao Group Holdings Ltd * (c)		86,718
	15,600	Sinopharm Group Co Ltd – Class H		41,782
	271,000	Sunac China Holdings Ltd * (c)		158,124
	2,099	Tencent Holdings Ltd		92,206
		Total China		1,131,430
		Denmark — 0.5%
	62	AP Moller – Maersk A/S – Class A (a)		141,713
	66	AP Moller – Maersk A/S – Class B (a)		153,737
	13,427	Danske Bank A/S		311,818
	3,304	Pandora A/S		312,967

See accompanying notes to the financial statements. 114

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Denmark — continued
	54	Rockwool A/S – B Shares (a)		12,260
		Total Denmark		932,495
		Finland — 0.5%
	640	Kemira Oyj		12,258
	5,138	Metsa Board Oyj – Class B		44,951
	3,575	Neste Oyj (a)		172,426
	50,896	Nokia Oyj (a)		235,473
	18,831	Outokumpu Oyj		112,741
	8,953	UPM-Kymmene Oyj (a)		324,425
		Total Finland		902,274
		France — 1.7%
	3,743	ALD SA (a)		49,582
	260	APERAM SA		10,111
	9,781	ArcelorMittal SA		293,522
	2,368	Arkema SA		240,066
	3,193	BNP Paribas SA (a)		223,226
	580	Cie de Saint-Gobain (a)		34,465
	7,301	Coface SA		107,604
	3,297	Derichebourg SA (a)		21,202
	96	Eiffage SA (a)		10,536
	2,369	Ipsen SA (a)		270,678
	1,905	IPSOS (a)		116,863
	272	Kering SA (a)		159,479
	368	LVMH Moet Hennessy Louis Vuitton SE (a)		305,928
	122	Mersen SA		5,756
	6,865	Publicis Groupe SA (a)		544,993
	1,773	Quadient SA		30,773
	1,094	Rexel SA (a)		27,194
	2,438	Safran SA (a)		344,249
	989	Societe BIC SA (a)		63,975
	9,024	Societe Generale SA		260,068
	6,023	Technip Energies NV (a)		116,607
	8,502	Television Francaise 1		67,751
		Total France		3,304,628
		Germany — 0.6%
	502	1&1 AG (a)		6,015
	497	Aurubis AG		48,611
	1,847	Bayerische Motoren Werke AG (a)		190,546
	1,625	Beiersdorf AG (a)		193,937
	44	Draegerwerk AG & Co KGaA (a)		1,711
	2,702	Fresenius SE & Co KGaA (a)		74,351
	1,233	HeidelbergCement AG (a)		84,648
	368	Hornbach Holding AG & Co KGaA (a)		30,563
	9,298	Kloeckner & Co SE		100,639
	399	Krones AG		48,591
	4,143	Mercedes-Benz Group AG (a)		317,531
	355	Siltronic AG (a)		25,851
		Total Germany		1,122,994

Shares		Description	Value ($)
		Hong Kong — 0.6%
	15,300	ASMPT Ltd (a)		130,545
	13,200	Bank of East Asia Ltd (The)		18,646
	7,000	Chow Sang Sang Holdings International Ltd		9,015
	69,000	CITIC Telecom International Holdings Ltd		25,142
	4,800	Dah Sing Financial Holdings Ltd		12,969
	86,000	First Pacific Co Ltd		28,837
	19,230	Galaxy Entertainment Group Ltd		128,026
	54,000	HKT Trust & HKT Ltd – Class SS (a)		70,205
	31,000	IGG Inc *		11,360
	18,500	Johnson Electric Holdings Ltd		21,221
	23,000	K Wah International Holdings Ltd (a)		7,945
	20,000	Kerry Properties Ltd (a)		50,079
	9,000	NWS Holdings Ltd (a)		7,925
	41,000	Pacific Textiles Holdings Ltd		13,740
	35,000	PCCW Ltd (a)		17,399
	15,000	Power Assets Holdings Ltd (a)		80,232
	60,000	Shun Tak Holdings Ltd *		12,155
	37,000	SITC International Holdings Co Ltd		77,402
	17,000	Sun Hung Kai & Co Ltd		6,892
	14,000	Swire Pacific Ltd – Class A (a)		114,250
	44,000	VSTECS Holdings Ltd		25,401
	6,800	VTech Holdings Ltd		37,357
	289,500	WH Group Ltd (a)		168,468
	18,000	Yue Yuen Industrial Holdings Ltd		26,631
		Total Hong Kong		1,101,842
		India — 0.4%
	75,186	GAIL India Ltd		93,469
	5,777	Hindalco Industries Ltd		27,886
	17,130	Hindustan Petroleum Corp Ltd		44,670
	25,377	Indian Oil Corp Ltd		23,332
	55,721	NTPC Ltd		114,592
	148,376	Oil & Natural Gas Corp Ltd		272,158
	161,092	Tata Steel Ltd		202,893
		Total India		779,000
		Ireland — 0.5%
	30,142	Bank of Ireland Group Plc		332,078
	3,918	Glanbia Plc		48,382
	4,209	Origin Enterprises Plc		18,835
	12,511	Ryanair Holdings Plc *		194,831
	412	Ryanair Holdings Plc Sponsored ADR * (a)		38,221
	7,081	Smurfit Kappa Group Plc		264,169
		Total Ireland		896,516
		Israel — 0.2%
	2,836	Isracard Ltd		10,050
	26,900	Teva Pharmaceutical Industries Ltd Sponsored ADR * (a)		266,579
	7,600	ZIM Integrated Shipping Services Ltd		179,816
		Total Israel		456,445

115 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Italy — 0.6%
	2,745	Ascopiave SPA (a)		7,845
	2,511	Banca IFIS SPA		41,218
	3,249	Credito Emiliano SPA		27,918
	13,603	Italgas SPA (a)		77,272
	23,592	Leonardo SPA (a)		264,686
	27,999	MFE-MediaForEurope NV – Class A (a)		12,301
	13,773	Stellantis NV (a)		240,949
	826,069	Telecom Italia SPA * (a)		269,730
	27,203	Unipol Gruppo SPA		143,901
		Total Italy		1,085,820
		Japan — 4.5%
	1,621	AGC Inc (a)		59,972
	600	Aisin Corp		16,442
	400	Arata Corp		11,862
	500	Arcs Co Ltd		7,959
	22,000	Asahi Kasei Corp		153,230
	6,100	Brother Industries Ltd		89,725
	1,900	Canon Marketing Japan Inc		41,988
	600	Central Glass Co Ltd		14,745
	16,300	Citizen Watch Co Ltd		98,665
	5,300	Dai Nippon Printing Co Ltd (a)		142,092
	200	Dai Nippon Toryo Co Ltd		1,248
	7,400	Daicel Corp		51,379
	300	Daiichi Jitsugyo Co Ltd		11,677
	5,700	Daiwabo Holdings Co Ltd		88,086
	5,000	Dentsu Group Inc (a)		160,343
	200	Eizo Corp		5,600
	700	ESPEC Corp		10,434
	2,600	Fuji Electric Co Ltd (a)		100,386
	500	FUJIFILM Holdings Corp (a)		23,326
	1,400	Fukuoka Financial Group Inc		31,253
	3,300	Hachijuni Bank Ltd (The)		14,934
	1,700	Hanwa Co Ltd		49,461
	7,900	Haseko Corp		90,654
	8,600	Hogy Medical Co Ltd (a)		203,200
	12,200	Honda Motor Co Ltd (a)		317,239
	2,800	Hosiden Corp		34,274
	2,900	Idemitsu Kosan Co Ltd (a)		64,181
	1,800	Inabata & Co Ltd		35,481
	33,300	Inpex Corp (a)		349,130
	8,800	ITOCHU Corp (a)		263,038
	2,100	Itochu Enex Co Ltd		17,135
	5,300	Itoham Yonekyu Holdings Inc (a)		27,789
	1,500	Jaccs Co Ltd		48,849
	1,100	Japan Aviation Electronics Industry Ltd		18,261
	1,300	Japan Petroleum Exploration Co Ltd (a)		46,840
	1,300	Juroku Financial Group Inc		30,695
	1,100	Kaga Electronics Co Ltd		39,457
	12,900	Kajima Corp (a)		154,168
	2,400	Kandenko Co Ltd		15,747
	800	Kaneka Corp		20,102
	2,900	Kanematsu Corp		34,749

Shares		Description	Value ($)
		Japan — continued
	500	Kanematsu Electronics Ltd (a)		22,721
	300	Kissei Pharmaceutical Co Ltd		5,395
	800	Kohnan Shoji Co Ltd		18,612
	2,200	Komeri Co Ltd (a)		42,812
	1,700	Macnica Holdings Inc		47,030
	300	Makino Milling Machine Co Ltd		10,863
	1,400	Maruichi Steel Tube Ltd		30,418
	400	Maruzen Showa Unyu Co Ltd		9,164
	8,800	Mazda Motor Corp		78,734
	27,900	Mebuki Financial Group Inc		75,000
	5,700	Mirarth Holdings Inc		15,858
	5,500	Mitsubishi Corp (a)		186,841
	3,400	Mitsubishi Electric Corp (a)		38,207
	600	Mitsubishi Gas Chemical Co Inc		8,500
	34,000	Mitsubishi Motors Corp *		134,080
	200	Mitsubishi Shokuhin Co Ltd (a)		4,761
	700	Mitsui DM Sugar Holdings Co Ltd		10,701
	10,900	Mitsui OSK Lines Ltd (a)		284,709
	800	Mitsui-Soko Holdings Co Ltd (a)		23,164
	600	MIXI Inc (a)		11,791
	500	Nagase & Co Ltd		7,428
	13,500	NGK Spark Plug Co Ltd		271,474
	1,200	Nichias Corp		23,663
	800	Nichiha Corp		15,453
	9,400	Nikon Corp		93,104
	1,100	Nippon Soda Co Ltd		37,313
	200	Nippon Steel Trading Corp		13,610
	4,200	Nippon Telegraph & Telephone Corp (a)		121,703
	7,600	Nippon Television Holdings Inc (a)		62,561
	11,800	Nippon Yusen KK (a)		306,717
	200	Nisshin Oillio Group Ltd (The)		4,891
	800	Nitto Kogyo Corp		15,565
	3,800	Nojima Corp (a)		37,823
	27,700	Obayashi Corp		204,897
	1,300	Okamura Corp (a)		13,090
	1,000	Osaka Soda Co Ltd		31,606
	1,800	PAL GROUP Holdings Co Ltd		36,768
	1,400	Proto Corp		12,542
	1,200	Raiznext Corp		12,145
	2,600	Renesas Electronics Corp * (a)		33,585
	1,000	San-Ai Oil Co Ltd		10,252
	2,500	Sanki Engineering Co Ltd		28,049
	4,600	Sanwa Holdings Corp		48,489
	13,200	Seiko Epson Corp		181,998
	14,700	Sekisui House Ltd (a)		278,319
	400	Sekisui Jushi Corp		5,803
	2,300	Shimamura Co Ltd (a)		214,864
	24,400	Shimizu Corp		131,708
	1,100	Shizuoka Gas Co Ltd (a)		9,116
	500	Sinko Industries Ltd		5,787
	4,200	SKY Perfect JSAT Holdings Inc (a)		15,940
	15,740	Sojitz Corp		302,172
	1,100	Star Micronics Co Ltd		13,953
	7,600	Subaru Corp		121,761

See accompanying notes to the financial statements. 116

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Japan — continued
	71,500	Sumitomo Chemical Co Ltd		250,536
	15,400	Sumitomo Corp (a)		262,459
	10,800	Sumitomo Forestry Co Ltd		207,242
	400	Sumitomo Seika Chemicals Co Ltd		12,866
	1,100	Sumitomo Warehouse Co Ltd (The) (a)		17,198
	6,100	Taisei Corp (a)		198,879
	400	Takeuchi Manufacturing Co Ltd		8,544
	1,000	Tamron Co Ltd		23,819
	1,400	Toho Holdings Co Ltd (a)		22,638
	14,900	Tokyo Gas Co Ltd (a)		287,383
	3,900	Tokyu Construction Co Ltd		19,808
	10,700	Tosoh Corp		145,618
	600	Totetsu Kogyo Co Ltd		12,083
	3,300	Toyo Construction Co Ltd		21,483
	1,500	TV Asahi Holdings Corp (a)		16,002
	2,000	YAMABIKO Corp		18,546
	4,900	Yamaha Motor Co Ltd		125,368
	1,200	Yamazen Corp		9,226
	2,200	Yellow Hat Ltd		28,731
	600	Yuasa Trading Co Ltd		16,118
		Total Japan		8,483,853
		Mexico — 0.3%
	36,102	Fomento Economico Mexicano SAB de CV		332,478
	52,975	Grupo Mexico SAB de CV – Series B		238,260
		Total Mexico		570,738
		Netherlands — 1.3%
	14,935	ABN AMRO Bank NV CVA		263,545
	52,055	Aegon NV (a)		270,854
	5,652	ASR Nederland NV		257,227
	7,939	EXOR NV * (a)		655,081
	7,104	JDE Peet’s NV (a)		209,121
	8,892	Koninklijke Ahold Delhaize NV (a)		282,338
	16,481	Koninklijke Philips NV (a)		269,082
	5,953	NN Group NV (a)		240,957
	1,135	Randstad NV (a)		69,644
		Total Netherlands		2,517,849
		New Zealand — 0.1%
	7,740	Auckland International Airport Ltd * (a)		41,823
	20,533	Meridian Energy Ltd (a)		67,397
	8,374	Spark New Zealand Ltd (a)		25,855
		Total New Zealand		135,075
		Norway — 0.2%
	11,769	DNO ASA		13,485
	15,845	Elkem ASA		59,650
	10,372	Europris ASA (a)		73,122
	1,204	Hoegh Autoliners ASA (a)		7,893
	5,347	Norske Skog ASA *		34,470
	1,637	SpareBank 1 Nord Norge		16,242
	765	Stolt-Nielsen Ltd (a)		23,649

Shares		Description	Value ($)
		Norway — continued
	1,330	Subsea 7 SA (a)		17,276
	7,121	Wallenius Wilhelmsen ASA (a)		62,254
		Total Norway		308,041
		Poland — 0.0%
	3,946	Polski Koncern Naftowy ORLEN SA		58,936
		Portugal — 0.2%
	5,839	CTT - Correios de Portugal SA		23,170
	28,679	EDP – Energias de Portugal SA		144,419
	14,937	Navigator Co SA (The)		52,534
	11,973	NOS SGPS SA		52,906
	98,476	Sonae SGPS SA		107,896
		Total Portugal		380,925
		Russia — 0.0%
	2,505	LUKOIL PJSC (d)		1,323
	5,410	Novatek PJSC (d)		770
		Total Russia		2,093
		Singapore — 0.5%
	4,700	City Developments Ltd		26,886
	33,600	ComfortDelGro Corp Ltd		30,171
	19,000	First Resources Ltd		21,663
	222,800	Golden Agri-Resources Ltd		42,161
	27,900	Japfa Ltd		6,212
	8,100	Jardine Cycle & Carriage Ltd		178,566
	33,900	Keppel Corp Ltd		137,662
	646,982	Sembcorp Marine Ltd *		60,886
	26,800	StarHub Ltd		21,077
	2,100	Venture Corp Ltd		26,743
	184,300	Yangzijiang Financial Holding Ltd *		47,818
	348,200	Yangzijiang Shipbuilding Holdings Ltd		333,157
	24,600	Yanlord Land Group Ltd		19,911
		Total Singapore		952,913
		South Africa — 0.1%
	7,025	Bidvest Group Ltd (The)		89,582
		South Korea — 0.3%
	331	E-MART Inc		27,999
	2,677	Kia Corp		152,134
	1,223	LG Corp		76,093
	606	LG Electronics Inc		50,829
	137	POSCO Holdings Inc		33,020
	2,400	POSCO Holdings Inc Sponsored ADR (a)		146,376
	2,735	SK Square Co Ltd *		79,191
		Total South Korea		565,642
		Spain — 1.1%
	21,374	Acerinox SA		234,703
	370	ACS Actividades de Construccion y Servicios SA (a)		11,217

117 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		Spain — continued
	3,721	Amadeus IT Group SA * (a)		233,987
	46,898	Banco Bilbao Vizcaya Argentaria SA (a)		364,539
	189,043	Banco de Sabadell SA		246,927
	85,453	Banco Santander SA (a)		336,463
	4,037	Cia de Distribucion Integral Logista Holdings SA (a)		97,459
	9,308	Ence Energia y Celulosa SA		35,522
	2,413	Faes Farma SA		8,814
	6,390	Industria de Diseno Textil SA (a)		196,855
	21,520	Repsol SA (a)		340,335
		Total Spain		2,106,821
		Sweden — 0.5%
	3,624	Betsson AB – Class B* (a)		32,544
	21,811	Fastighets AB Balder – B Shares* (a)		107,896
	1,822	Industrivarden AB – A Shares (a)		50,082
	4,611	Industrivarden AB – C Shares (a)		126,418
	4,424	Investor AB – A Shares (a)		90,687
	3,356	Inwido AB		37,221
	8,673	Kinnevik AB – Class B*		128,984
	1,919	New Wave Group AB – B Shares		33,664
	3,780	Skanska AB – B Shares (a)		68,698
	37,851	SSAB AB – A Shares		275,173
	2,358	SSAB AB – B Shares (a)		16,130
	2,725	Svenska Cellulosa AB SCA – Class B		38,028
		Total Sweden		1,005,525
		Switzerland — 0.4%
	6,670	Adecco Group AG (Registered) (a)		237,827
	500	Logitech International SA (a)		27,275
	3,677	Logitech International SA (Registered) (a)		200,840
	53	Roche Holding AG (a)		16,418
	942	Roche Holding AG – Genusschein (a)		271,615
	27	Schindler Holding AG (Registered) (a)		5,819
	315	u-blox Holding AG *		33,809
		Total Switzerland		793,603
		Thailand — 0.1%
	21,200	Kasikornbank Pcl NVDR		82,160
	263,800	Krung Thai Bank Pcl NVDR		129,119
		Total Thailand		211,279
		Turkey — 0.2%
	99,302	Haci Omer Sabanci Holding AS		229,118
	420,212	Yapi ve Kredi Bankasi AS		222,691
		Total Turkey		451,809
		United Kingdom — 2.5%
	18,728	3i Group Plc (a)		366,399
	23,675	Balfour Beatty Plc		103,936
	1,088	Bank of Georgia Group Plc		36,637
	53,965	Barratt Developments Plc		303,417

Shares		Description	Value ($)
		United Kingdom — continued
	5,914	Bellway Plc		157,669
	7,761	Berkeley Group Holdings Plc (The)		390,678
	129,122	BT Group Plc (a)		216,467
	1,426	Bunzl Plc (a)		50,810
	101,227	Centrica Plc (a)		127,742
	200	Clarkson Plc (a)		7,943
	14,928	Coca-Cola HBC AG * (a)		382,297
	15,721	Compass Group Plc (a)		363,183
	9,585	Crest Nicholson Holdings Plc		28,168
	34,999	Ferrexpo Plc		62,018
	9,400	Haleon Plc ADR * (a)		74,072
	9,848	Halfords Group Plc		24,908
	12,590	IG Group Holdings Plc		121,540
	323	Indivior Plc *		5,918
	14,144	Investec Plc		90,084
	52,595	Kingfisher Plc (a)		181,892
	31,230	M&G Plc		80,435
	1,972	Morgan Sindall Group Plc		42,574
	18,562	OSB Group Plc		124,547
	1,901	Paragon Banking Group Plc		13,631
	6,089	Persimmon Plc		106,184
	10,466	Plus500 Ltd		225,770
	19,590	Premier Foods Plc (a)		26,817
	9,276	Redde Northgate Plc (a)		45,127
	14,847	Redrow Plc		91,239
	16,236	S4 Capital Plc * (a)		40,021
	12,021	Serica Energy Plc		37,441
	7,807	Shell Plc (a)		236,461
	72,474	Taylor Wimpey Plc		107,206
	850	TBC Bank Group Plc		25,363
	22,729	Vodafone Group Plc Sponsored ADR (a)		272,066
	13,798	WPP Plc (a)		169,704
		Total United Kingdom		4,740,364
		United States — 11.3%
	1,000	3M Co. (a)		107,740
	1,183	ADTRAN Holdings, Inc.		20,643
	8,100	Ally Financial, Inc. (a)		243,405
	1,717	Alphabet, Inc. – Class A* (a)		154,633
	1,533	American Express Co. (a)		266,727
	2,400	Arrow Electronics, Inc. * (a)		283,176
	200	Aspen Technology, Inc. * (a)		42,402
	3,800	AT&T, Inc. (a)		71,858
	2,200	Best Buy Co., Inc. (a)		182,842
	500	Biogen, Inc. * (a)		134,930
	500	Bio-Rad Laboratories, Inc. – Class A* (a)		238,920
	105	Booking Holdings, Inc. * (a)		265,020
	9,913	BorgWarner, Inc.		498,426
	2,700	Capital One Financial Corp. (a)		294,516
	724	CarMax, Inc. * (a)		49,985
	6,300	Carrier Global Corp. (a)		283,689
	1,700	CBRE Group, Inc. – Class A* (a)		144,738
	4,100	Centene Corp. * (a)		280,440

See accompanying notes to the financial statements. 118

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		United States — continued
	1,265	Chevron Corp. (a)		203,374
	4,600	Citigroup, Inc. (a)		233,174
	14,000	Cleveland-Cliffs, Inc. * (a)		298,620
	3,500	Cognizant Technology Solutions Corp. – Class A (a)		219,205
	5,800	Comcast Corp. – Class A (a)		215,586
	1,564	Crowdstrike Holdings, Inc. – Class A* (a)		188,759
	1,700	CVS Health Corp. (a)		142,018
	3,615	Darling Ingredients, Inc. * (a)		228,721
	4,300	Dell Technologies, Inc. – Class C (a)		174,752
	900	Discover Financial Services (a)		100,800
	18,500	DISH Network Corp. – Class A* (a)		211,085
	3,200	DR Horton, Inc. (a)		295,936
	5,300	eBay, Inc. (a)		243,270
	2,257	EOG Resources, Inc. (a)		255,086
	1,100	FedEx Corp. (a)		223,542
	6,700	Fidelity National Financial, Inc. (a)		267,062
	24,100	Ford Motor Co. (a)		290,887
	3,600	Fortune Brands Innovations, Inc. (a)		223,020
	200	Fox Corp. – Class A (a)		7,004
	7,200	Fox Corp. – Class B (a)		232,200
	8,400	Franklin Resources, Inc. (a)		247,548
	314	Generac Holdings, Inc. * (a)		37,683
	8,300	General Motors Co. (a)		321,542
	2,572	Green Plains, Inc. * (a)		89,171
	1,496	Hilton Worldwide Holdings, Inc. (a)		216,187
	9,000	HP, Inc. (a)		265,680
	3,600	Incyte Corp. * (a)		277,128
	11,900	Intel Corp. (a)		296,667
	2,492	Intercontinental Exchange, Inc. (a)		253,686
	2,100	International Business Machines Corp. (a)		271,530
	5,100	Invesco Ltd. (a)		90,066
	1,800	Jazz Pharmaceuticals Plc * (a)		252,720
	12,900	Kinder Morgan, Inc. (a)		220,074
	2,700	Knight-Swift Transportation Holdings, Inc. (a)		153,468
	7,000	Kraft Heinz Co. (The) (a)		272,580
	1,100	Laboratory Corp. of America Holdings (a)		263,296
	288	Lam Research Corp. (a)		139,971
	3,912	Las Vegas Sands Corp. * (a)		224,823
	2,900	Lennar Corp. – Class A (a)		280,546
	1,288	Liberty Global Plc – Class A* (a)		26,391
	2,099	Liberty Global Plc – Class C* (a)		44,604
	5,400	Lincoln National Corp.		171,288
	54,410	Lumen Technologies, Inc. (a)		184,994
	3,000	LyondellBasell Industries NV – Class A (a)		287,970
	166	Markel Corp. * (a)		220,757
	900	Match Group, Inc. * (a)		37,278
	2,616	Meta Platforms, Inc. – Class A* (a)		457,643
	7,429	Micron Technology, Inc. (a)		429,545
	2,100	Mohawk Industries, Inc. *		215,985
	5,000	Molson Coors Brewing Co. – Class B (a)		265,950
	4,485	Mosaic Co. (The) (a)		238,557
	5,000	NRG Energy, Inc. (a)		163,950

Shares		Description	Value ($)
		United States — continued
	1,600	Nucor Corp. (a)		267,904
	5,000	Occidental Petroleum Corp. (a)		292,800
	500	Oracle Corp. (a)		43,700
	1,620	Otis Worldwide Corp. (a)		137,084
	2,396	Ovintiv, Inc. (a)		102,477
	12,300	Paramount Global – Class B (a)		263,466
	3,700	PayPal Holdings, Inc. * (a)		272,320
	2,200	Prudential Financial, Inc. (a)		220,000
	5,000	PulteGroup, Inc. (a)		273,350
	2,906	Raytheon Technologies Corp. (a)		285,049
	400	Regeneron Pharmaceuticals, Inc. * (a)		304,168
	2,255	Sensata Technologies Holding Plc (a)		114,058
	1,000	Skyworks Solutions, Inc. (a)		111,570
	1,200	SS&C Technologies Holdings, Inc. (a)		70,440
	2,700	Steel Dynamics, Inc. (a)		340,497
	7,600	Synchrony Financial (a)		271,396
	2,200	Textron, Inc. (a)		159,566
	4,200	Tyson Foods, Inc. – Class A (a)		248,808
	1,900	Universal Health Services, Inc. – Class B (a)		253,783
	4,853	US Bancorp (a)		231,634
	7,900	Verizon Communications, Inc. (a)		306,599
	600	Vertex Pharmaceuticals, Inc. * (a)		174,174
	24,200	Viatris, Inc. (a)		275,880
	5,000	Walgreens Boots Alliance, Inc. (a)		177,650
	3,023	Warner Bros Discovery, Inc. * (a)		47,219
	5,598	Wells Fargo & Co. (a)		261,818
	19,600	Western Union Co. (The) (a)		254,016
	4,500	Western Digital Corp. * (a)		173,160
	1,800	Westlake Corp. (a)		214,452
	1,300	Whirlpool Corp.		179,374
	4,000	Zoom Video Communications, Inc. – Class A* (a)		298,360
		Total United States		21,364,241
		TOTAL COMMON STOCKS (COST $61,203,780)		62,390,097
		PREFERRED STOCKS (e) —0.3%
		Brazil — 0.2%
	31,790	Bradespar SA		167,953
	4,000	Petroleo Brasileiro SA		19,284
	14,400	Petroleo Brasileiro SA Sponsored ADR (a)		140,544
		Total Brazil		327,781
		Germany — 0.1%
	1,572	Bayerische Motoren Werke AG (a)		148,893
	507	Draegerwerk AG & Co KGaA (a)		22,110
	1,142	Volkswagen AG (a)		155,456
		Total Germany		326,459
		TOTAL PREFERRED STOCKS (COST $631,951)		654,240

119 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 4.3%
		United States — 4.3%
		U.S. Government — 2.7%
	51,000	U.S. Treasury Note, 0.13%, due 04/30/23 (a)		50,603
	5,000,000	U.S. Treasury Note, Variable Rate, SOFR + 0.20%, 5.01%, due 01/31/25 (a)		5,005,241
		Total U.S. Government		5,055,844
		U.S. Government Agency — 1.6%
	1,500,000	Federal Home Loan Banks, 5.23%, due 03/22/24		1,500,679
	1,500,000	Federal Home Loan Banks, SOFR + 0.03%, 4.58%, due 06/07/23		1,499,997
		Total U.S. Government Agency		3,000,676
		Total United States		8,056,520
		TOTAL DEBT OBLIGATIONS (COST $8,054,406)		8,056,520
		MUTUAL FUNDS — 69.0%
		United States — 69.0%
		Affiliated Issuers — 69.0%
	361,645	GMO Emerging Country Debt Fund, Class VI		6,386,651
	1,264,729	GMO Emerging Markets ex-China Fund, Class VI		16,871,485
	769,179	GMO Emerging Markets Fund, Class VI		16,668,100
	1,138,493	GMO International Equity Fund, Class IV		24,591,450
	597,246	GMO-Usonian Japan Value Creation Fund, Class VI		10,075,534
	648,113	GMO Multi-Sector Fixed Income Fund, Class IV		10,765,156
	311,817	GMO Quality Fund, Class VI		7,408,770
	331,353	GMO Small Cap Quality Fund, Class VI		7,332,851
	789,237	GMO U.S. Equity Fund, Class VI		9,770,751
	832,133	GMO U.S. Opportunistic Value Fund, Class VI		16,800,764
	820,696	GMO U.S. Treasury Fund		4,095,276
		Total Affiliated Issuers		130,766,788
		TOTAL MUTUAL FUNDS (COST $143,983,532)		130,766,788
		SHORT-TERM INVESTMENTS — 11.0%
		Money Market Funds — 0.4%
	782,924	State Street Institutional Treasury Money Market Fund – Premier Class, 4.42% (f)		782,924

Shares		Description	Value ($)
		Repurchase Agreements — 10.6%
	19,999,629	Nomura Securities International, Inc. Repurchase Agreement, dated 02/28/23, maturing on 03/01/23 with a maturity value of $20,002,135 and an effective yield of 4.51%, collateralized by a U.S. Treasury Note with maturity date 12/31/29 and a market value of $20,407,785.		19,999,629
		TOTAL SHORT-TERM INVESTMENTS (COST $20,782,553)		20,782,553
		TOTAL INVESTMENTS — 117.5%
		(Cost $234,656,222)		222,650,198
		SECURITIES SOLD SHORT — (18.1)%
		Common Stocks — (18.0)%
		Australia — (0.5)%
	(4,131)	ASX Ltd		(188,689	)
	(876)	Cochlear Ltd		(130,633	)
	(4,940)	IDP Education Ltd		(95,002	)
	(199)	Macquarie Group Ltd		(25,269	)
	(78,626)	Pilbara Minerals Ltd*		(219,097	)
	(27,002)	Qantas Airways Ltd*		(116,136	)
	(2,517)	Ramsay Health Care Ltd		(114,113	)
		Total Australia		(888,939	)
		Austria — (0.1)%
	(2,362)	Verbund AG		(204,271	)
		Belgium — (0.2)%
	(4,837)	Anheuser-Busch InBev SA/NV		(293,405	)
		Canada — (1.0)%
	(3,700)	Agnico Eagle Mines Ltd		(170,311	)
	(5,200)	Algonquin Power & Utilities Corp		(39,676	)
	(12,100)	AltaGas Ltd		(207,682	)
	(5,700)	Brookfield Renewable Corp – Class A		(158,745	)
	(7,373)	Enbridge Inc		(276,635	)
	(1,984)	Franco-Nevada Corp		(253,099	)
	(13,582)	Pan American Silver Corp		(201,828	)
	(8,100)	Pembina Pipeline Corp		(266,004	)
	(4,000)	Restaurant Brands International Inc		(257,960	)
	(900)	Ritchie Bros Auctioneers Inc		(55,053	)
		Total Canada		(1,886,993	)
		Denmark — (0.1)%
	(232)	Coloplast A/S – Class B		(26,807	)
	(5,884)	Tryg A/S		(130,351	)
		Total Denmark		(157,158	)
		Finland — (0.0)%
	(1,468)	Elisa Oyj		(83,365	)

See accompanying notes to the financial statements. 120

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		France — (0.6)%
	(7,842)	Accor SA*		(260,271	)
	(1,525)	Aeroports de Paris*		(220,959	)
	(38)	Euronext NV		(2,772	)
	(13,476)	Getlink SE		(226,327	)
	(179)	Hermes International		(324,014	)
	(185)	Sartorius Stedim Biotech		(60,254	)
	(904)	Ubisoft Entertainment SA*		(19,820	)
		Total France		(1,114,417	)
		Germany — (0.8)%
	(6,166)	Delivery Hero SE*		(247,785	)
	(1,023)	Deutsche Boerse AG		(178,385	)
	(1,001)	MTU Aero Engines AG		(241,564	)
	(1,773)	Puma SE		(112,859	)
	(189)	Rational AG		(125,362	)
	(2,657)	Symrise AG – Class A		(271,464	)
	(70,965)	Telefonica Deutschland Holding AG		(215,268	)
	(1,286)	Zalando SE*		(50,951	)
		Total Germany		(1,443,638	)
		Ireland — (0.0)%
	(447)	Flutter Entertainment Plc*		(71,436	)
		Israel — (0.2)%
	(1,800)	CyberArk Software Ltd*		(260,586	)
	(800)	Wix.com Ltd*		(72,424	)
		Total Israel		(333,010	)
		Italy — (0.6)%
	(6,384)	Amplifon SPA		(184,594	)
	(986)	Ferrari NV (b)		(255,814	)
	(300)	Ferrari NV (b)		(78,111	)
	(15,620)	FinecoBank Banca Fineco SPA		(269,921	)
	(22,515)	Infrastrutture Wireless Italiane SPA		(247,802	)
		Total Italy		(1,036,242	)
		Japan — (1.9)%
	(5,900)	Aeon Co Ltd		(110,046	)
	(11,300)	ANA Holdings Inc*		(229,261	)
	(9,500)	Asahi Intecc Co Ltd		(161,747	)
	(2,400)	GMO Payment Gateway Inc		(197,126	)
	(12,900)	Japan Airlines Co Ltd*		(242,906	)
	(5,900)	Japan Exchange Group Inc		(87,996	)
	(3,700)	Keio Corp		(128,916	)
	(1,800)	Keisei Electric Railway Co Ltd		(52,031	)
	(700)	Kintetsu Group Holdings Co Ltd		(21,206	)
	(1,600)	Lasertec Corp		(260,153	)
	(8,000)	M3 Inc		(190,778	)
	(15,200)	MonotaRO Co Ltd		(206,741	)
	(700)	Nidec Corp		(35,525	)
	(10,600)	Nihon M&A Center Holdings Inc		(88,379	)
	(16,700)	Nippon Paint Holdings Co Ltd		(145,933	)
	(10,700)	Odakyu Electric Railway Co Ltd		(129,714	)

Shares		Description	Value ($)
		Japan — continued
	(2,000)	Oriental Land Co Ltd		(319,370	)
	(49,600)	Rakuten Group Inc		(244,487	)
	(3,500)	Shiseido Co Ltd		(161,271	)
	(23,900)	SoftBank Corp		(269,615	)
	(3,400)	Tobu Railway Co Ltd		(75,908	)
	(10,200)	Tokyu Corp		(122,879	)
	(4,000)	West Japan Railway Co		(155,252	)
		Total Japan		(3,637,240	)
		Netherlands — (0.5)%
	(187)	Adyen NV*		(265,059	)
	(1,223)	IMCD NV		(193,590	)
	(6,105)	Just Eat Takeaway.com NV*		(132,786	)
	(71)	OCI NV		(2,358	)
	(10,847)	Universal Music Group NV		(255,570	)
		Total Netherlands		(849,363	)
		New Zealand — (0.1)%
	(4,074)	Xero Ltd*		(212,189	)
		Norway — (0.1)%
	(9,016)	Aker BP ASA		(241,995	)
		Peru — (0.1)%
	(3,500)	Southern Copper Corp		(257,915	)
		Singapore — (0.1)%
	(35,028)	Grab Holdings Ltd – Class A*		(112,440	)
	(22,100)	Singapore Exchange Ltd		(142,730	)
		Total Singapore		(255,170	)
		Spain — (0.3)%
	(8,306)	Cellnex Telecom SA		(311,631	)
	(10,986)	Ferrovial SA		(304,926	)
		Total Spain		(616,557	)
		Sweden — (0.1)%
	(2,043)	Evolution AB		(246,522	)
		Switzerland — (0.3)%
	(5)	Chocoladefabriken Lindt & Spruengli AG		(54,778	)
	(186)	Partners Group Holding AG		(176,130	)
	(26)	Schindler Holding AG		(5,848	)
	(252)	Sika AG (Registered)		(70,667	)
	(1,550)	Straumann Holding AG (Registered)		(205,492	)
		Total Switzerland		(512,915	)
		United Kingdom — (1.0)%
	(2,205)	Admiral Group Plc		(58,349	)
	(25,277)	Auto Trader Group Plc		(180,783	)
	(2,894)	Halma Plc		(75,321	)
	(14,090)	Hargreaves Lansdown Plc		(140,392	)

121 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		United Kingdom — continued
	(37,618)	Informa Plc		(302,187	)
	(3,957)	InterContinental Hotels Group Plc		(266,746	)
	(2,983)	London Stock Exchange Group Plc		(266,148	)
	(9,993)	M&G Plc		(25,738	)
	(25,187)	Ocado Group Plc*		(166,436	)
	(797)	Prudential Plc		(12,180	)
	(181,389)	Rolls-Royce Holdings Plc*		(316,034	)
	(605)	Spirax-Sarco Engineering Plc		(84,967	)
		Total United Kingdom		(1,895,281	)
		United States — (9.4)%
	(11,200)	AES Corp. (The)		(276,416	)
	(1,500)	Alnylam Pharmaceuticals, Inc.*		(287,175	)
	(5,900)	Altria Group, Inc.		(273,937	)
	(700)	American Tower Corp. (REIT)		(138,607	)
	(500)	Aon Plc – Class A		(152,025	)
	(2,200)	Aramark		(80,960	)
	(3,144)	Ares Management Corp. – Class A		(253,501	)
	(1,500)	Arthur J Gallagher & Co.		(281,025	)
	(100)	Autodesk, Inc.*		(19,869	)
	(2,604)	Bills Holdings, Inc.*		(220,376	)
	(2,400)	Bio-Techne Corp.		(174,336	)
	(1,500)	Boeing Co. (The)*		(302,325	)
	(500)	Broadcom, Inc.		(297,145	)
	(1,200)	Burlington Stores, Inc.*		(257,100	)
	(5,400)	Caesars Entertainment, Inc.*		(274,104	)
	(4,200)	Ceridian HCM Holding, Inc.*		(306,306	)
	(200)	Chipotle Mexican Grill, Inc. – Class A*		(298,216	)
	(14,540)	Clarivate Plc*		(147,290	)
	(4,500)	Cloudflare, Inc. – Class A*		(270,045	)
	(600)	Crown Castle, Inc. (REIT)		(78,450	)
	(7,400)	Delta Air Lines, Inc.*		(283,716	)
	(2,700)	Dexcom, Inc.*		(299,727	)
	(2,000)	Diamondback Energy, Inc.		(281,160	)
	(1,800)	Equity LifeStyle Properties, Inc. (REIT)		(123,318	)
	(100)	Erie Indemnity Co. – Class A		(23,539	)
	(2,000)	Essential Utilities, Inc.		(85,560	)
	(4,000)	Exact Sciences Corp.*		(249,320	)
	(100)	Fair Isaac Corp.*		(67,739	)
	(3,300)	Fastenal Co.		(170,148	)
	(4,300)	Fortinet, Inc.*		(255,592	)
	(800)	Gartner, Inc.*		(262,248	)
	(1,200)	Hess Corp.		(161,640	)
	(800)	HubSpot, Inc.*		(309,488	)
	(600)	IDEXX Laboratories, Inc.*		(283,944	)
	(3,200)	Ingersoll Rand, Inc.		(185,824	)
	(900)	Insulet Corp.*		(248,724	)
	(1,300)	IQVIA Holdings, Inc.*		(271,011	)
	(2,700)	Iron Mountain, Inc. (REIT)		(142,425	)
	(1,551)	Lamb Weston Holdings, Inc.		(156,093	)
	(4,100)	Liberty Media Corp.-Liberty Formula One – Class C*		(278,267	)
	(900)	Linde Plc		(313,533	)
	(3,800)	Live Nation Entertainment, Inc.*		(273,828	)

Shares		Description	Value ($)
		United States — continued
	(900)	MarketAxess Holdings, Inc.		(307,305	)
	(1,300)	MongoDB, Inc. – Class A*		(272,376	)
	(300)	Monolithic Power Systems, Inc.		(145,287	)
	(400)	Moody’s Corp.		(116,060	)
	(600)	MSCI, Inc. – Class A		(313,290	)
	(4,511)	Newmont Corp.		(196,725	)
	(8,600)	NiSource, Inc.		(235,898	)
	(2,878)	Novocure Ltd.*		(221,520	)
	(4,100)	Okta, Inc.*		(292,289	)
	(4,500)	ONEOK, Inc.		(294,525	)
	(22,500)	Palantir Technologies, Inc. – Class A*		(176,400	)
	(1,900)	Paychex, Inc.		(209,760	)
	(200)	Paylocity Holding Corp.*		(38,522	)
	(2,900)	Philip Morris International, Inc.		(282,170	)
	(200)	PTC, Inc.*		(25,066	)
	(200)	Repligen Corp.*		(34,874	)
	(7,800)	ROBLOX Corp. – Class A*		(285,792	)
	(4,000)	Roku, Inc.*		(258,760	)
	(6,604)	Rollins, Inc.		(232,461	)
	(4,600)	Royal Caribbean Cruises Ltd.*		(324,944	)
	(1,500)	Seagen, Inc.*		(269,535	)
	(700)	ServiceNow, Inc.*		(302,519	)
	(900)	Sherwin-Williams Co. (The)		(199,215	)
	(1,200)	Simon Property Group, Inc. (REIT)		(146,508	)
	(1,200)	Snowflake, Inc. – Class A*		(185,256	)
	(2,800)	Starbucks Corp.		(285,852	)
	(100)	STERIS Plc		(18,803	)
	(800)	Sysco Corp.		(59,656	)
	(200)	Teladoc Health, Inc.*		(5,298	)
	(1,713)	Tesla, Inc.*		(352,381	)
	(5,493)	Toast, Inc. – Class A*		(103,927	)
	(4,400)	Trade Desk, Inc. (The) – Class A*		(246,224	)
	(400)	TransDigm Group, Inc.		(297,548	)
	(4,300)	Twilio, Inc. – Class A*		(289,003	)
	(9,594)	Uber Technologies, Inc.*		(319,096	)
	(3,200)	UDR, Inc. (REIT)		(137,088	)
	(1,000)	Vail Resorts, Inc.		(233,490	)
	(300)	Vulcan Materials Co.		(54,273	)
	(9,700)	Williams Cos., Inc. (The)		(291,970	)
	(3,800)	Wolfspeed, Inc.*		(281,124	)
	(2,242)	Zillow Group, Inc. – Class C*		(94,164	)
	(2,200)	Zscaler, Inc.*		(288,530	)
		Total United States		(17,841,536	)
		TOTAL COMMON STOCKS (PROCEEDS $37,548,033)		(34,079,557	)

See accompanying notes to the financial statements. 122

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2023

Shares		Description	Value ($)
		PREFERRED STOCKS (e) — (0.1)%
		Germany — (0.1)%
	(561)	Sartorius AG		(238,295	)
		TOTAL PREFERRED STOCKS (PROCEEDS $236,085)		(238,295	)
		TOTAL SECURITIES SOLD SHORT
		(PROCEEDS $37,784,118)		(34,317,852	)
		Other Assets and Liabilities (net) — 0.6%		1,171,231
		TOTAL NET ASSETS — 100.0%	$	189,503,577

A summary of outstanding financial instruments at February 28, 2023 is as follows:

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives		Counterparty		Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 0.40%		GS	USD	758,113		06/24/2024		Monthly		—		9,259		9,259
Total Return on Equity Basket (h)		1 Month Federal Funds Rate minus 0.40%		MORD	USD	1,950,966		06/18/2024		Monthly		—		90,004		90,004
											$	—	$	99,263	$	99,263

As of February 28, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

^(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) The rate disclosed is the 7 day net yield as of February 28, 2023.

^(g) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

123 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2023

(h) The following table represents the individual long and/or short positions within the custom equity basket swap as of February 28, 2023:

Shares		Description	% of Equity Basket			Value ($)
	(100,000)	Air China Ltd – Class H		5.0	%		(92,203	)
	(40,000)	Alibaba Health Information Technology Ltd		1.5	%		(28,641	)
	(108,000)	China Molybdenum Co Ltd – Class H		3.3	%		(60,814	)
	(36,000)	Genscript Biotech Corp		5.3	%		(98,539	)
	(163,300)	Gulf Energy Development Pcl NVDR		13.0	%		(242,677	)
	(353)	Hanmi Pharm Co Ltd		3.7	%		(69,077	)
	(2,364)	Hotel Shilla Co Ltd		7.7	%		(143,148	)
	(1,795)	Kakao Corp		4.5	%		(84,495	)
	(88,000)	Kingdee International Software Group Co Ltd		8.8	%		(164,425	)
	(9,400)	Klabin SA		1.9	%		(34,940	)
	(5,080)	Korea Aerospace Industries Ltd		9.3	%		(172,971	)
	(229)	LG Energy Solution		4.9	%		(90,458	)
	(17,600)	Microport Scientific Corp		2.7	%		(49,932	)
	(281)	POSCO Chemical Co Ltd		2.5	%		(46,884	)
	(429)	Samsung Biologics Co Ltd		13.5	%		(250,638	)
	(27,568)	Samsung Heavy Industries Co Ltd		6.1	%		(114,474	)
	(513)	Yuhan Corp		1.1	%		(20,431	)
	(64,000)	Zijin Mining Group Co Ltd – Class H		5.2	%		(96,855	)
		TOTAL COMMON STOCKS				$	(1,861,602	)

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 125.

See accompanying notes to the financial statements. 124

GMO Trust Funds

February 28, 2023

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.

CDOR - Canadian Dollar Offering Rate

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

EuroSTR - Euro Short-Term Rate

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

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

OIS - Overnight Indexed Swaps

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

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

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

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

The rates shown on variable rate notes are the current interest rates at February 28, 2023, which are subject to change based on the terms of the security.

Counterparty Abbreviations:
BCLY - Barclays Bank PLC BOA - Bank of America, N.A.	MORD - Morgan Stanley Capital Services LLC
CGMI - Citigroup Global Markets Inc. CITI - Citibank N.A.	MSCI - Morgan Stanley & Co. International PLC
DB - Deutsche Bank AG	SSB - State Street Bank and Trust Company
GS - Goldman Sachs International	UBSA - UBS AG
JPM - JPMorgan Chase Bank, N.A.
MLCS - Merrill Lynch Capital Services, Inc.

Currency Abbreviations:
AUD - Australian Dollar	KRW - South Korean Won
BRL - Brazilian Real	MXN - Mexican Peso
CAD - Canadian Dollar	NOK - Norwegian Krone
CHF - Swiss Franc	NZD - New Zealand Dollar
CLP - Chilean Peso	PEN - Peruvian Sol
COP - Colombian Peso	PHP - Philippines Peso
CZK - Czech Republic Koruna	PLN - Polish Zloty
EUR - Euro	RON - Romanian New Leu
GBP - British Pound	SEK - Swedish Krona
HUF - Hungarian Forint	SGD - Singapore Dollar
IDR - Indonesian Rupiah	THB - Thai Baht
ILS - Israeli Shekel	TWD - Taiwan New Dollar
INR - Indian Rupee	USD - United States Dollar
JPY - Japanese Yen	ZAR - South African Rand

125 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023

	Consolidated		Benchmark-				Global
	Alternative		Free		Benchmark-		Asset
	Allocation		Allocation		Free		Allocation
	Fund		Fund		Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	5,754,599	$	4,402,587,879	$	286,877,874	$	339,174,915
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		200,961,619		2,836,801		1,074,990,261		559,158
Repurchase agreements, at value (Note 2)(d)		51,010,102		—		91,999,073		—
Foreign currency, at value (Note 2)(e)		165,086		—		485,910		—
Cash		3,067,105		—		163,505		36
Receivable for investments sold		52,708,181		3,445,000		143,519,300		233,000
Receivable for Fund shares sold		116,115		1,197,517		—		351,866
Receivable for closed swap contracts (Note 4)		470		—		2,960		—
Dividends and interest receivable		940,264		10,200		3,597,651		826,355
Dividend withholding tax receivable		26,725		—		225,078		—
Foreign capital gains tax refund receivable (Note 2)		—		—		102,764		—
Unrealized appreciation on open forward currency contracts (Note 4)		1,290,869		—		448,540		—
Receivable from liquidated underlying funds (Note 2)		420,641		—		—		274,174
Receivable for variation margin on open cleared swap contracts (Note 4)		6,082		—		—		—
Due from broker (Note 2)		455,741		—		1,191,181		—
Receivable for open OTC swap contracts (Note 4)		8,771,947		—		730,289		—
Interest receivable for open OTC swap contracts (Note 4)		773,424		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		101,965		395,918		79,229		32,884
Total assets		326,570,935		4,410,473,315		1,604,413,615		341,452,388
Liabilities:
Investments sold short, at value (Note 2)(f)		71,200,681		—		234,305,987		—
Payable for cash collateral from securities loaned (Note 2)		—		—		1,333,256		—
Payable for investments purchased		54,291,724		—		41,432,475		824,222
Payable for Fund shares repurchased		426,399		3,926,964		172,870,000		426,861
Accrued foreign capital gains tax payable (Note 2)		7,492		—		425,394		—
Payable to affiliate for (Note 5):
Management fee		109,593		2,216,243		—		—
Supplemental support fee – Class MF		—		84,108		—		—
Shareholder service fee		26,753		336,889		—		—
Payable for variation margin on open futures contracts (Note 4)		219,364		—		—		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		23,971		—
Payable for closed swap contracts (Note 4)		—		—		1,785		—
Unrealized depreciation on open forward currency contracts (Note 4)		818,439		—		562,651		—
Interest payable for open OTC swap contracts (Note 4)		467,492		—		—		—
Payable for open OTC swap contracts (Note 4)		1,767,993		—		—		—
Payable to Trustees and related expenses		735		16,622		4,752		1,564
Interest and dividend payable for short sales		73,297		—		238,449		—
Written options outstanding, at value (Note 4)(g)		1,271,475		—		—		—
Accrued expenses		217,488		226,546		502,294		80,204
Total liabilities		130,898,925		6,807,372		451,701,014		1,332,851
Net assets	$	195,672,010	$	4,403,665,943	$	1,152,712,601	$	340,119,537
(a)  Cost of investments – affiliated issuers:	$	6,060,878	$	4,711,541,495	$	325,645,034	$	392,022,548
(b)  Cost of investments – unaffiliated issuers:	$	206,258,156	$	2,836,801	$	1,170,972,691	$	559,158
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	4,361,144	$	—
(d)  Cost of investments – repurchase agreements:	$	51,010,102	$	—	$	91,999,073	$	—
(e)  Cost of foreign currency:	$	157,710	$	—	$	496,430	$	—
(f)   Proceeds from securities sold short:	$	75,701,431	$	—	$	240,352,977	$	—
(g)  Premiums on written options:	$	1,226,737	$	—	$	—	$	—

See accompanying notes to the financial statements. 126

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

	Consolidated			Benchmark-						Global
	Alternative			Free			Benchmark-			Asset
	Allocation			Allocation			Free			Allocation
	Fund			Fund			Fund			Fund
Net assets consist of:
Paid-in capital	$	208,506,109		$	4,988,977,141		$	1,536,831,053		$	612,053,314
Distributable earnings (accumulated loss)		(12,834,099	)		(585,311,198	)		(384,118,452	)		(271,933,777	)
	$	195,672,010		$	4,403,665,943		$	1,152,712,601		$	340,119,537
Net assets attributable to:
Class III	$	—		$	1,546,716,654		$	1,152,712,601		$	306,276,116
Class IV	$	—		$	1,182,069,452		$	—		$	—
Class VI	$	49,257,361		$	—		$	—		$	—
Class MF	$	—		$	1,079,756,452		$	—		$	—
Class R6	$	4,493		$	281,801,868		$	—		$	20,440,106
Class I	$	146,410,156		$	313,321,517		$	—		$	13,403,315
Shares outstanding:
Class III		—			62,146,426			64,803,516			10,237,503
Class IV		—			47,494,203			—			—
Class VI		2,664,127			—			—			—
Class MF		—			43,342,502			—			—
Class R6		242			11,332,161			—			683,658
Class I		7,970,223			12,602,122			—			448,022
Net asset value per share:
Class III	$	—		$	24.89		$	17.79		$	29.92
Class IV	$	—		$	24.89		$	—		$	—
Class VI	$	18.49		$	—		$	—		$	—
Class MF	$	—		$	24.91		$	—		$	—
Class R6	$	18.58		$	24.87		$	—		$	29.90
Class I	$	18.37		$	24.86		$	—		$	29.92

127 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

	Global						International
	Developed		Global				Developed
	Equity		Equity		Consolidated		Equity
	Allocation		Allocation		Implementation		Allocation
	Fund		Fund		Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	66,984,879	$	589,383,939	$	1,119,668	$	227,130,909
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		30,817		582,993		4,246,801,092		100,556
Repurchase agreements, at value (Note 2)(d)		—		—		280,048,230		—
Foreign currency, at value (Note 2)(e)		—		—		2,177,014		—
Receivable for investments sold		—		505,850,000		70,855,661		—
Receivable for Fund shares sold		—		19,950		—		167,398
Receivable for closed swap contracts (Note 4)		—		—		9,181		—
Dividends and interest receivable		296,869		4,237,302		16,465,032		377
Dividend withholding tax receivable		—		—		612,868		—
Foreign capital gains tax refund receivable (Note 2)		—		—		3,952		—
EU tax reclaims receivable (Note 2)		—		—		1,428,922		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		5,321,932		—
Due from broker (Note 2)		—		—		101,500,659		—
Receivable for open OTC swap contracts (Note 4)		—		—		3,669,376		—
Interest receivable for open OTC swap contracts (Note 4)		—		—		128,011		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		21,918		46,766		247,809		32,714
Total assets		67,334,483		1,100,120,950		4,730,389,407		227,431,954
Liabilities:
Investments sold short, at value (Note 2)(f)		—		—		907,259,990		—
Due to custodian		—		—		844,333		—
Due to broker (Note 2)		—		—		285		—
Payable for cash collateral from securities loaned (Note 2)		—		—		1,324,193		—
Payable for investments purchased		296,740		4,235,589		67,287,579		156,000
Payable for Fund shares repurchased		—		496,191,231		3,445,000		1,199
Accrued foreign capital gains tax payable (Note 2)		—		—		1,158,030		—
Payable for variation margin on open futures contracts (Note 4)		—		—		1,104,268		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		166,088		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		6,102,855		—
Interest payable for open OTC swap contracts (Note 4)		—		—		162,387		—
Payable for open OTC swap contracts (Note 4)		—		—		790,699		—
Payable to Trustees and related expenses		280		4,452		14,960		674
Interest and dividend payable for short sales		—		—		931,218		—
Written options outstanding, at value (Note 4)(g)		—		—		2,838,687		—
Accrued expenses		45,009		121,142		1,075,643		74,238
Total liabilities		342,029		500,552,414		994,506,215		232,111
Net assets	$	66,992,454	$	599,568,536	$	3,735,883,192	$	227,199,843
(a)  Cost of investments – affiliated issuers:	$	68,566,962	$	701,748,053	$	1,122,183	$	245,440,120
(b)  Cost of investments – unaffiliated issuers:	$	30,817	$	582,993	$	4,682,116,518	$	100,556
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	18,231,045	$	—
(d)  Cost of investments – repurchase agreements:	$	—	$	—	$	280,048,230	$	—
(e)  Cost of foreign currency:	$	—	$	—	$	2,226,331	$	—
(f)   Proceeds from securities sold short:	$	—	$	—	$	957,905,993	$	—
(g)  Premiums on written options:	$	—	$	—	$	3,378,358	$	—

See accompanying notes to the financial statements. 128

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

	Global									International
	Developed			Global						Developed
	Equity			Equity			Consolidated			Equity
	Allocation			Allocation			Implementation			Allocation
	Fund			Fund			Fund			Fund
Net assets consist of:
Paid-in capital	$	141,983,627		$	838,573,587		$	4,919,900,615		$	411,244,205
Distributable earnings (accumulated loss)		(74,991,173	)		(239,005,051	)		(1,184,017,423	)		(184,044,362	)
	$	66,992,454		$	599,568,536		$	3,735,883,192		$	227,199,843
Net assets attributable to:
Core Class	$	—		$	—		$	3,735,883,192		$	—
Class III	$	66,992,454		$	560,287,173		$	—		$	219,167,238
Class R6	$	—		$	34,288,955		$	—		$	8,032,605
Class I	$	—		$	4,992,408		$	—		$	—
Shares outstanding:
Core Class		—			—			304,108,537			—
Class III		3,073,404			22,799,831			—			14,477,055
Class R6		—			1,395,537			—			530,660
Class I		—			203,303			—			—
Net asset value per share:
Core Class	$	—		$	—		$	12.28		$	—
Class III	$	21.80		$	24.57		$	—		$	15.14
Class R6	$	—		$	24.57		$	—		$	15.14
Class I	$	—		$	24.56		$	—		$	—

129 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

			Consolidated
	International		SGM		Strategic
	Equity		Major		Opportunities
	Allocation		Markets		Allocation
	Fund		Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	491,808,393	$	—	$	130,766,788
Investments in unaffiliated issuers, at value (Note 2)(b)		365,390		129,645,108		71,883,781
Repurchase agreements, at value (Note 2)(c)		—		—		19,999,629
Foreign currency, at value (Note 2)(d)		—		38		33,405
Cash		—		3,225,183		29,693
Receivable for investments sold		—		500,987		8,907,919
Receivable for Fund shares sold		79		—		—
Receivable for closed swap contracts (Note 4)		—		—		395
Dividends and interest receivable		1,182		418,315		783,847
Dividend withholding tax receivable		—		—		27,033
Foreign capital gains tax refund receivable (Note 2)		—		—		2,409
Unrealized appreciation on open forward currency contracts (Note 4)		—		807,354		—
Due from broker (Note 2)		—		1,043,101		—
Receivable for open OTC swap contracts (Note 4)		—		682,712		99,263
Interest receivable for open OTC swap contracts (Note 4)		—		42,547		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		39,565		36,218		40,791
Total assets		492,214,609		136,401,563		232,574,953
Liabilities:
Investments sold short, at value (Note 2)(e)		—		—		34,317,852
Due to broker (Note 2)		—		60		—
Payable for investments purchased		—		—		1,318,932
Payable for Fund shares repurchased		1,442		5,576,070		7,265,000
Accrued foreign capital gains tax payable (Note 2)		—		—		14,382
Payable to affiliate for (Note 5):
Management fee		—		88,074		—
Shareholder service fee		—		6,294		—
Payable for variation margin on open futures contracts (Note 4)		—		474,385		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		806,355		—
Interest payable for open OTC swap contracts (Note 4)		—		43,562		—
Payable for open OTC swap contracts (Note 4)		—		294,036		—
Payable to Trustees and related expenses		1,800		946		738
Interest and dividend payable for short sales		—		—		31,898
Accrued expenses		69,175		167,564		122,574
Total liabilities		72,417		7,457,346		43,071,376
Net assets	$	492,142,192	$	128,944,217	$	189,503,577
(a)  Cost of investments – affiliated issuers:	$	579,205,507	$	—	$	143,983,532
(b)  Cost of investments – unaffiliated issuers:	$	365,390	$	130,102,295	$	70,673,061
(c)  Cost of investments – repurchase agreements:	$	—	$	—	$	19,999,629
(d)  Cost of foreign currency:	$	—	$	38	$	33,675
(e)  Proceeds from securities sold short:	$	—	$	—	$	37,784,118

See accompanying notes to the financial statements. 130

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2023 — (Continued)

				Consolidated
	International			SGM			Strategic
	Equity			Major			Opportunities
	Allocation			Markets			Allocation
	Fund			Fund			Fund
Net assets consist of:
Paid-in capital	$	723,115,984		$	211,160,501		$	206,599,534
Distributable earnings (accumulated loss)		(230,973,792	)		(82,216,284	)		(17,095,957	)
	$	492,142,192		$	128,944,217		$	189,503,577
Net assets attributable to:
Class III	$	286,725,268		$	3,366,098		$	189,503,577
Class VI	$	—		$	120,827,221		$	—
Class R6	$	205,416,924		$	—		$	—
Class I	$	—		$	4,750,898		$	—
Shares outstanding:
Class III		11,254,252			117,994			12,170,396
Class VI		—			4,254,842			—
Class R6		8,065,679			—			—
Class I		—			166,825			—
Net asset value per share:
Class III	$	25.48		$	28.53		$	15.57
Class VI	$	—		$	28.40		$	—
Class R6	$	25.47		$	—		$	—
Class I	$	—		$	28.48		$	—

131 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2023

	Consolidated			Benchmark-						Global
	Alternative			Free			Benchmark-			Asset
	Allocation			Allocation			Free			Allocation
	Fund			Fund			Fund			Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	3,608,779		$	62,039		$	43,120,760		$	39,190
Dividends from affiliated issuers (Note 10)		338,155			175,422,512			20,142,592			10,843,641
Interest		2,032,900			—			7,160,831			—
Securities lending income from affiliated issuers (net)		—			—			225,412			—
Other income (Note 2)		23,073			—			466,152			15,039
Total investment income		6,002,907			175,484,551			71,115,747			10,897,870
Expenses:
Management fee (Note 5)		1,486,103			29,995,667			—			—
Shareholder service fee – Class III (Note 5)		—			2,339,359			—			—
Shareholder service fee – Class IV (Note 5)		—			1,253,219			—			—
Shareholder service fee – Class VI (Note 5)		35,289			—			—			—
Shareholder service fee – Class R6 (Note 5)		27			411,912			—			—
Shareholder service fee – Class I (Note 5)		306,682			505,624			—			—
Supplemental support fee – Class MF (Note 5)		—			1,190,235			—			—
Audit and tax fees		160,010			45,206			161,017			52,140
Custodian, fund accounting agent and transfer agent fees		646,145			559,145			1,227,909			103,822
Dividend expense on short sales		993,621			—			3,773,854			—
Legal fees		12,196			171,355			47,880			11,438
Registration fees		50,209			91,945			1,619			44,859
Trustees’ fees and related expenses (Note 5)		9,524			221,637			64,683			17,230
Interest expense and borrowing costs for investments sold short (Note 2)		242,476			—			991,863			—
Miscellaneous		56,277			37,207			121,017			10,659
Total expenses		3,998,559			36,822,511			6,389,842			240,148
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(704,003	)		(552,357	)		(832,961	)		(207,778	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(39,527	)		(2,699,800	)		—			—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(1,760	)		(314,282	)		—			—
Net expenses		3,253,269			33,256,072			5,556,881			32,370
Net investment income (loss)		2,749,638			142,228,479			65,558,866			10,865,500
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(8,238,417	)		—			(56,900,399	)		—
Investments in affiliated issuers		(3,146,257	)		(79,603,818	)		(17,200,274	)		(50,287,550	)
Investments in securities sold short		15,405,392			—			61,647,517			—
Realized gain distributions from affiliated issuers (Note 10)		—			8,712,522			7,223,264			8,578,145
Futures contracts		2,387,595			—			46,020,438			—
Written options		344,166			—			—			—
Swap contracts		544,588			—			2,003,063			—
Forward currency contracts		(5,993,187	)		—			715,353			—
Foreign currency and foreign currency related transactions		49,420			—			(635,371	)		—
Net realized gain (loss)		1,353,300			(70,891,296	)		42,873,591			(41,709,405	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(1,934,610	)		—			(67,780,782	)		—
Investments in affiliated issuers		1,173,984			(86,441,325	)		(14,483,090	)		(3,797,081	)
Investments in securities sold short		(1,647,529	)		—			(20,197,766	)		—
Futures contracts		427,164			—			(20,222,689	)		—
Written options		(135,411	)		—			—			—
Swap contracts		620,892			—			467,020			—
Forward currency contracts		1,904,162			—			434,285			—
Foreign currency and foreign currency related transactions		(48,124	)		—			(96,607	)		—
Net change in unrealized appreciation (depreciation)		360,528			(86,441,325	)		(121,879,629	)		(3,797,081	)
Net realized and unrealized gain (loss)		1,713,828			(157,332,621	)		(79,006,038	)		(45,506,486	)
Net increase (decrease) in net assets resulting from operations	$	4,463,466		$	(15,104,142	)	$	(13,447,172	)	$	(34,640,986	)
(a)  Withholding tax:	$	229,262		$	—		$	3,983,406		$	—
(b)  Foreign capital gains tax (benefit) on net realized gain (loss):	$	8,577		$	—		$	72,131		$	—
(c)  Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	(8,502	)	$	—		$	124,387		$	—

See accompanying notes to the financial statements. 132

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2023 — (Continued)

	Global									International
	Developed			Global						Developed
	Equity			Equity			Consolidated			Equity
	Allocation			Allocation			Implementation			Allocation
	Fund			Fund			Fund			Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	2,306,198		$	47,322,078		$	—		$	8,558,973
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)		862			8,292			132,654,853			1,845
Interest		21			—			34,493,537			—
Securities lending income from affiliated issuers (net)		—			—			548,886			—
Other income (Note 2)		—			—			15,327,185			—
Total investment income		2,307,081			47,330,370			183,024,461			8,560,818
Expenses:
Audit and tax fees		46,698			43,220			291,486			47,618
Custodian, fund accounting agent and transfer agent fees		18,448			96,753			2,153,948			54,719
Dividend expense on short sales		—			—			13,142,206			—
Legal fees		2,755			46,826			168,827			7,296
Registration fees		3,428			58,540			—			51,471
Trustees’ fees and related expenses (Note 5)		3,747			65,284			194,127			9,752
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			1,566,994			—
Miscellaneous		6,446			13,321			163,798			7,730
Total expenses		81,522			323,944			17,681,386			178,586
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(77,534	)		(250,431	)		(2,326,202	)		(168,594	)
Net expenses		3,988			73,513			15,355,184			9,992
Net investment income (loss)		2,303,093			47,256,857			167,669,277			8,550,826
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			—			(145,544,552	)		—
Investments in affiliated issuers		(3,345,279	)		(130,216,105	)		(218,844	)		(1,664,657	)
Investments in securities sold short		—			—			174,616,325			—
Realized gain distributions from affiliated issuers (Note 10)		3,172,905			48,371,491			—			467,684
Futures contracts		—			—			140,890,139			—
Written options		—			—			1,061,715			—
Swap contracts		—			—			3,138,245			—
Forward currency contracts		—			—			(20,013,196	)		—
Foreign currency and foreign currency related transactions		—			—			1,813,814			—
Net realized gain (loss)		(172,374	)		(81,844,614	)		155,743,646			(1,196,973	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			—			(252,001,598	)		—
Investments in affiliated issuers		(6,335,293	)		(72,183,025	)		60,867			(13,717,635	)
Investments in securities sold short		—			—			(17,401,964	)		—
Futures contracts		—			—			(47,219,444	)		—
Written options		—			—			278,514			—
Swap contracts		—			—			5,453,594			—
Forward currency contracts		—			—			5,235,136			—
Foreign currency and foreign currency related transactions		—			—			(563,342	)		—
Net change in unrealized appreciation (depreciation)		(6,335,293	)		(72,183,025	)		(306,158,237	)		(13,717,635	)
Net realized and unrealized gain (loss)		(6,507,667	)		(154,027,639	)		(150,414,591	)		(14,914,608	)
Net increase (decrease) in net assets resulting from operations	$	(4,204,574	)	$	(106,770,782	)	$	17,254,686		$	(6,363,782	)
(a)  Withholding tax:	$	—		$	—		$	11,804,931		$	—
(b)  Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	—		$	698,515		$	—
(c)  Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	—		$	2,362		$	—

133 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2023 — (Continued)

				Consolidated
	International			SGM			Strategic
	Equity			Major			Opportunities
	Allocation			Markets			Allocation
	Fund			Fund			Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	24,980,178		$	—		$	5,183,375
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)		6,855			56,589			2,997,552
Interest		—			3,660,432			442,959
Total investment income		24,987,033			3,717,021			8,623,886
Expenses:
Management fee (Note 5)		—			1,753,568			—
Shareholder service fee – Class III (Note 5)		—			31,546			—
Shareholder service fee – Class VI (Note 5)		—			95,199			—
Shareholder service fee – Class I (Note 5)		—			18,272			—
Audit and tax fees		45,455			113,576			87,130
Custodian, fund accounting agent and transfer agent fees		78,863			153,224			197,487
Dividend expense on short sales		—			—			517,881
Legal fees		18,426			9,759			6,181
Registration fees		19,345			49,698			3,704
Trustees’ fees and related expenses (Note 5)		24,303			10,321			7,499
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			134,807
Miscellaneous		9,386			12,743			53,564
Total expenses		195,778			2,247,906			1,008,253
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(169,477	)		(311,647	)		(312,831	)
Net expenses		26,301			1,936,259			695,422
Net investment income (loss)		24,960,732			1,780,762			7,928,464
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			(1,415,607	)		(3,687,950	)
Investments in affiliated issuers		(13,617,510	)		—			(7,401,998	)
Investments in securities sold short		—			—			8,087,779
Realized gain distributions from affiliated issuers (Note 10)		1,154,154			—			3,584,990
Futures contracts		—			4,202,158			—
Swap contracts		—			827,298			582,171
Forward currency contracts		—			(6,858,168	)		—
Foreign currency and foreign currency related transactions		—			97,810			(58,613	)
Net realized gain (loss)		(12,463,356	)		(3,146,509	)		1,106,379
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			719,957			(4,238,092	)
Investments in affiliated issuers		(69,591,970	)		—			(13,489,006	)
Investments in securities sold short		—			—			(1,821,363	)
Futures contracts		—			1,801,657			—
Swap contracts		—			1,120,017			(46,249	)
Forward currency contracts		—			300,089			—
Foreign currency and foreign currency related transactions		—			(15,478	)		242
Net change in unrealized appreciation (depreciation)		(69,591,970	)		3,926,242			(19,594,468	)
Net realized and unrealized gain (loss)		(82,055,326	)		779,733			(18,488,089	)
Net increase (decrease) in net assets resulting from operations	$	(57,094,594	)	$	2,560,495		$	(10,559,625	)
(a)  Withholding tax:	$	—		$	—		$	256,244
(b)  Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	—		$	366
(c)  Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	—		$	(118	)

See accompanying notes to the financial statements. 134

GMO Trust Funds

Statements of Changes in Net Assets

	Consolidated						Benchmark-
	Alternative						Free
	Allocation						Allocation
	Fund						Fund
	Year Ended						Year Ended
	February 28,						February 28,
	2023			2022			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,749,638		$	604,065		$	142,228,479		$	125,445,340
Net realized gain (loss)		1,353,300			1,862,748			(70,891,296	)		(51,783,321	)
Change in net unrealized appreciation (depreciation)		360,528			(3,368,084	)		(86,441,325	)		(9,001,883	)
Net increase (decrease) in net assets from operations		4,463,466			(901,271	)		(15,104,142	)		64,660,136
Distributions to shareholders:
Class III		—			—			(44,436,242	)		(40,126,356	)
Class IV		—			—			(39,436,017	)		(36,148,761	)
Class VI		(566,438	)		(6,442,811	)		—			—
Class MF		—			—			(34,154,940	)		(34,695,369	)
Class R6		(239	)		(15,298	)		(8,404,776	)		(5,897,575	)
Class I		(1,316,125	)		(6,161,945	)		(8,571,449	)		(8,143,311	)
Total distributions		(1,882,802	)		(12,620,054	)		(135,003,424	)		(125,011,372	)
Net share transactions (Note 9):
Class III		—			—			(129,056,156	)		(488,898,874	)
Class IV		—			—			(169,185,506	)		(553,716,829	)
Class VI		(81,621,079	)		(91,476,207	)		—			—
Class MF		—			—			(248,623,598	)		(330,119,921	)
Class R6		(17,370	)		(445,328	)		16,445,267			(35,040,180	)
Class I		(4,435,177	)		(114,729,175	)		(39,451,537	)		46,774,244
Increase (decrease) in net assets resulting from net share transactions		(86,073,626	)		(206,650,710	)		(569,871,530	)		(1,361,001,560	)
Total increase (decrease) in net assets		(83,492,962	)		(220,172,035	)		(719,979,096	)		(1,421,352,796	)
Net assets:
Beginning of period		279,164,972			499,337,007			5,123,645,039			6,544,997,835
End of period	$	195,672,010		$	279,164,972		$	4,403,665,943		$	5,123,645,039

135 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

							Global
	Benchmark-						Asset
	Free						Allocation
	Fund						Fund
	Year Ended						Year Ended
	February 28,						February 28,
	2023			2022			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	65,558,866		$	65,016,102		$	10,865,500		$	17,733,383
Net realized gain (loss)		42,873,591			147,007,130			(41,709,405	)		68,360,369
Change in net unrealized appreciation (depreciation)		(121,879,629	)		(190,582,429	)		(3,797,081	)		(76,899,817	)
Net increase (decrease) in net assets from operations		(13,447,172	)		21,440,803			(34,640,986	)		9,193,935
Distributions to shareholders:
Class III		(68,892,922	)		(78,012,250	)		(11,238,011	)		(36,020,211	)
Class R6		—			—			(752,848	)		(1,757,031	)
Class I		—			—			(538,596	)		(758,336	)
Total distributions		(68,892,922	)		(78,012,250	)		(12,529,455	)		(38,535,578	)
Net share transactions (Note 9):
Class III		(378,801,075	)		(488,070,825	)		(234,701,495	)		(73,648,726	)
Class R6		—			—			(3,363,652	)		(161,766,780	)
Class I		—			—			1,374,379			(7,391,714	)
Increase (decrease) in net assets resulting from net share transactions		(378,801,075	)		(488,070,825	)		(236,690,768	)		(242,807,220	)
Total increase (decrease) in net assets		(461,141,169	)		(544,642,272	)		(283,861,209	)		(272,148,863	)
Net assets:
Beginning of period		1,613,853,770			2,158,496,042			623,980,746			896,129,609
End of period	$	1,152,712,601		$	1,613,853,770		$	340,119,537		$	623,980,746

See accompanying notes to the financial statements. 136

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Developed						Global
	Equity						Equity
	Allocation						Allocation
	Fund						Fund
	Year Ended						Year Ended
	February 28,						February 28,
	2023			2022			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,303,093		$	3,386,302		$	47,256,857		$	62,828,244
Net realized gain (loss)		(172,374	)		12,253,128			(81,844,614	)		174,474,499
Change in net unrealized appreciation (depreciation)		(6,335,293	)		(9,298,594	)		(72,183,025	)		(190,742,470	)
Net increase (decrease) in net assets from operations		(4,204,574	)		6,340,836			(106,770,782	)		46,560,273
Distributions to shareholders:
Class III		(5,431,769	)		(10,659,337	)		(97,936,959	)		(122,025,655	)
Class R6		—			—			(441,589	)		(541,431	)
Class I		—			—			(388,226	)		(191,269	)
Total distributions		(5,431,769	)		(10,659,337	)		(98,766,774	)		(122,758,355	)
Net share transactions (Note 9):
Class III		(10,181,077	)		2,974,852			(807,493,688	)		7,964,576
Class R6		—			—			28,794,936			649,789
Class I		—			—			2,971,667			535,784
Increase (decrease) in net assets resulting from net share transactions		(10,181,077	)		2,974,852			(775,727,085	)		9,150,149
Total increase (decrease) in net assets		(19,817,420	)		(1,343,649	)		(981,264,641	)		(67,047,933	)
Net assets:
Beginning of period		86,809,874			88,153,523			1,580,833,177			1,647,881,110
End of period	$	66,992,454		$	86,809,874		$	599,568,536		$	1,580,833,177

137 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

							International Developed
	Consolidated						Equity
	Implementation						Allocation
	Fund						Fund
	Year Ended						Year Ended
	February 28,						February 28,
	2023			2022			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	167,669,277		$	161,653,705		$	8,550,826		$	14,383,762
Net realized gain (loss)		155,743,646			208,144,198			(1,196,973	)		3,380,347
Change in net unrealized appreciation (depreciation)		(306,158,237	)		(253,804,818	)		(13,717,635	)		(10,962,253	)
Net increase (decrease) in net assets from operations		17,254,686			115,993,085			(6,363,782	)		6,801,856
Distributions to shareholders:
Core Class		(132,069,652	)		(150,035,453	)		—			—
Class III		—			—			(8,863,788	)		(15,331,043	)
Class R6		—			—			(323,823	)		(544,452	)
Total distributions		(132,069,652	)		(150,035,453	)		(9,187,611	)		(15,875,495	)
Net share transactions (Note 9):
Core Class		(830,527,741	)		(1,255,098,954	)		—			—
Class III		—			—			11,806,790			13,953,404
Class R6		—			—			368,329			313,408
Increase (decrease) in net assets resulting from net share transactions		(830,527,741	)		(1,255,098,954	)		12,175,119			14,266,812
Total increase (decrease) in net assets		(945,342,707	)		(1,289,141,322	)		(3,376,274	)		5,193,173
Net assets:
Beginning of period		4,681,225,899			5,970,367,221			230,576,117			225,382,944
End of period	$	3,735,883,192		$	4,681,225,899		$	227,199,843		$	230,576,117

See accompanying notes to the financial statements. 138

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International						Consolidated SGM
	Equity						Major
	Allocation						Markets
	Fund						Fund
	Year Ended						Year Ended
	February 28,						February 28,
	2023			2022			2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	24,960,732		$	41,077,456		$	1,780,762		$	(2,449,340	)
Net realized gain (loss)		(12,463,356	)		19,415,944			(3,146,509	)		(6,698,606	)
Change in net unrealized appreciation (depreciation)		(69,591,970	)		(81,975,337	)		3,926,242			1,094,883
Net increase (decrease) in net assets from operations		(57,094,594	)		(21,481,937	)		2,560,495			(8,053,063	)
Distributions to shareholders:
Class III		(13,246,154	)		(29,164,941	)		(1,493,076	)		(2,188,743	)
Class VI		—			—			(12,535,348	)		(23,082,080	)
Class R6		(10,107,910	)		(15,335,754	)		—			—
Class I		—			—			(1,088,498	)		(1,575,727	)
Total distributions		(23,354,064	)		(44,500,695	)		(15,116,922	)		(26,846,550	)
Net share transactions (Note 9):
Class III		(103,571,918	)		(119,007,367	)		(27,325,604	)		5,866,671
Class VI		—			—			(77,087,194	)		(77,631,000	)
Class R6		(3,154,572	)		2,753,167			—			—
Class I		—			—			(14,477,458	)		8,999,513
Increase (decrease) in net assets resulting from net share transactions		(106,726,490	)		(116,254,200	)		(118,890,256	)		(62,764,816	)
Total increase (decrease) in net assets		(187,175,148	)		(182,236,832	)		(131,446,683	)		(97,664,429	)
Net assets:
Beginning of period		679,317,340			861,554,172			260,390,900			358,055,329
End of period	$	492,142,192		$	679,317,340		$	128,944,217		$	260,390,900

139 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Strategic
	Opportunities
	Allocation
	Fund
	Year Ended
	February 28,
	2023			2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	7,928,464		$	10,033,100
Net realized gain (loss)		1,106,379			64,829,890
Change in net unrealized appreciation (depreciation)		(19,594,468	)		(48,805,216	)
Net increase (decrease) in net assets from operations		(10,559,625	)		26,057,774
Distributions to shareholders:
Class III		(18,348,413	)		(67,555,650	)
Total distributions		(18,348,413	)		(67,555,650	)
Net share transactions (Note 9):
Class III		(18,040,407	)		(301,846,406	)
Increase (decrease) in net assets resulting from net share transactions		(18,040,407	)		(301,846,406	)
Total increase (decrease) in net assets		(46,948,445	)		(343,344,282	)
Net assets:
Beginning of period		236,452,022			579,796,304
End of period	$	189,503,577		$	236,452,022

See accompanying notes to the financial statements. 140

GMO Trust Funds

Statements of Cash Flows — Year Ended February 28, 2023

	Consolidated									Strategic
	Alternative			Benchmark-			Consolidated			Opportunities
	Allocation			Free			Implementation			Allocation
	Fund			Fund			Fund			Fund
Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	4,463,466		$	(13,447,172	)	$	17,254,686		$	(10,559,625	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Net change in unrealized (appreciation) depreciation		(360,528	)		121,879,629			306,158,237			19,594,468
Net realized (gain) loss		(1,353,300	)		(42,873,591	)		(155,743,646	)		(1,106,379	)
Cost of purchase of investments held long		(363,276,150	)		(1,236,549,803	)		(3,850,288,882	)		(111,243,252	)
Cost of purchase of investments held short		(153,546,125	)		(273,084,221	)		(831,826,943	)		(29,795,539	)
Proceeds from sale of investments held long		441,555,005			1,452,028,608			4,269,076,763			151,007,919
Proceeds of sales to securities sold short		136,105,994			216,646,442			820,915,668			25,032,389
Net accretion of discount and amortization of premium		(77,197	)		(585,836	)		(6,763,892	)		91,959
Short-term investments, net		24,684,381			145,777,954			238,814,680			2,437,822
Realized gain distributions from affiliated issuers		—			7,223,264			—			3,584,990
Cash flows related to derivative transactions:
Futures contracts		2,577,492			27,827,801			98,590,155			—
Written option contracts		164,176			—			3,484,850			—
Swap contracts		(1,433,068	)		2,434,192			5,144,118			582,171
Forward currency contracts		(5,993,187	)		715,353			(20,013,196	)		—
Foreign currency and foreign currency related transactions		1,296			(731,978	)		1,250,472			(58,371	)
Change in assets and liabilities:
(Increase) decrease in due from broker		4,563,035			2,993,900			77,666,222			85
(Increase) decrease in dividends and interest receivable		(726,793	)		(30,992	)		(4,039,365	)		(590,575	)
(Increase) decrease in dividend tax withholding		(12,204	)		113,252			267,883			12,660
(Increase) decrease in receivable for expenses reimbursed and/or waived by GMO		60,354			(66,041	)		(226,221	)		(34,778	)
(Increase) decrease in interest receivable for open OTC swap contracts		(470,952	)		—			(128,011	)		—
(Increase) decrease in receivable for closed swap contracts		7,224			40,063			94,156			4,362
(Increase) decrease in foreign capital gains tax refund receivable		—			18,053			3,143			(1,157	)
(Increase) decrease in receivable from liquidated underlying funds		(23,073	)		—			—			—
(Increase) decrease in EU tax reclaims receivable		—			—			(1,428,922	)		—
Increase (decrease) in payable to affiliate for:
Management fee		(51,311	)		—			—			—
Shareholder service fee		(4,736	)		—			—			—
Increase (decrease) in due to custodian		—			—			688,162			(844	)
Increase (decrease) in due to broker		—			(649	)		9			—
Increase (decrease) in dividends and interest payable		6,174			69,940			327,488			8,942
Increase (decrease) in payable for closed swap contracts		(18,691	)		(114,304	)		(235,003	)		(10,843	)
Increase (decrease) in payable to Trustees and related expenses		(532	)		(1,847	)		(3,085	)		(2,524	)
Increase (decrease) in interest payable for OTC swap contracts^		448,440			—			109,551			—
Increase (decrease) in accrued expenses		(26,566	)		(642,859	)		(1,036,393	)		(133,572	)
Increase (decrease) in accrued foreign capital gains tax payable		—			85,795			(104,584	)		—
Increase (decrease) in payable for cash collateral from securities loaned		—			(8,776,785	)		(11,231,443	)		—
Net cash provided by (used in) operating activities		87,262,624			400,948,168			956,776,657			48,820,308
Cash flows from financing activities:
Proceeds from shares sold		52,061,627			24,689,894			333,116,017			16,819,874
Shares repurchased		(139,007,645	)		(424,614,200	)		(1,289,752,003	)		(59,538,159	)
Cash distributions paid		(611,373	)		(1,515,872	)		—			(6,085,535	)
Net cash provided by (used in) financing activities		(87,557,391	)		(401,440,178	)		(956,635,986	)		(48,803,820	)
Net increase (decrease) in cash		(294,767	)		(492,010	)		140,671			16,488
Cash, beginning of period		3,526,958			1,141,425			2,036,343			46,610
Cash, end of period	$	3,232,191		$	649,415		$	2,177,014		$	63,098
Cash paid during the period for:
^ Interest on swap contracts	$	540,703		$	—		$	—		$	—

141 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
										Period from
										May 1, 2019
										(commencement
										of operations)
	Year Ended									through
	February 28,									February 29,
	2023			2022			2021			2020
Net asset value, beginning of period	$	18.08		$	18.99		$	19.45		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.26			0.05			(0.02	)		0.15
Net realized and unrealized gain (loss)		0.32			(0.23	)		0.03	(b)		(0.18	)
Total from investment operations		0.58			(0.18	)		0.01			(0.03	)
Less distributions to shareholders:
From net investment income		—			—			(0.47	)		(0.06	)
From net realized gains		(0.17	)		(0.73	)		—			(0.46	)
Total distributions		(0.17	)		(0.73	)		(0.47	)		(0.52	)
Net asset value, end of period	$	18.49		$	18.08		$	18.99		$	19.45
Total Return(c)		3.25	%		(0.99	)%		0.01	%		(0.21	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	49,257		$	130,896		$	230,386		$	200,812
Net operating expenses to average daily net assets(d)		0.81	%		0.80	%		0.76	%		0.77	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)		0.61	%		0.51	%		0.49	%		0.29	%*
Total net expenses to average daily net assets(d)		1.42	%		1.31	%		1.25	%		1.05	%*
Net investment income (loss) to average daily net assets(a)		1.44	%		0.29	%		(0.10	)%		0.88	%*
Portfolio turnover rate(f)		337	%		572	%		410	%		243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)		0.35	%		0.17	%		0.15	%		0.27	%*

^(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)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28,		February 28,			February 28,			February 29,
	2023		2022			2021			2020
Portfolio turnover rate including transactions in USTF		N/A		572	%		411	%		250	%

^(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. 142

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED ALTERNATIVE ALLOCATION FUND (continued)

	Class R6 Shares
							Period from
							July 31, 2020
							(commencement
							of operations)
	Year Ended						through
	February 28,						February 28,
	2023			2022			2021
Net asset value, beginning of period	$	18.18		$	18.95		$	19.33
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.23			(0.00	)(b)		(0.03	)
Net realized and unrealized gain (loss)		0.34			(0.04	)		0.07	(c)
Total from investment operations		0.57			(0.04	)		0.04
Less distributions to shareholders:
From net investment income		—			—			(0.42	)
From net realized gains		(0.17	)		(0.73	)		—
Total distributions		(0.17	)		(0.73	)		(0.42	)
Net asset value, end of period	$	18.58		$	18.18		$	18.95
Total Return(d)		3.17	%		(0.23	)%		0.16	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	4		$	22		$	478
Net operating expenses to average daily net assets(e)		0.98	%		0.97	%		0.93	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)		0.61	%		0.58	%		0.53	%*
Total net expenses to average daily net assets(e)		1.59	%		1.55	%		1.46	%*
Net investment income (loss) to average daily net assets(a)		1.27	%		0.01	%		(0.26	)%*
Portfolio turnover rate(g)		337	%		572	%		410	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)		0.35	%		0.13	%		0.16	%*

^(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 cash collateral on derivatives, 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)  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 including transactions in USTF during the period and/or year ended:

	February 28,		February 28,			February 28,
	2023		2022			2021
Portfolio turnover rate including transactions in USTF		N/A		572	%		411	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

143 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED ALTERNATIVE ALLOCATION FUND (continued)

	Class I Shares
										Period from
										September 4, 2019
										(commencement
										of operations)
	Year Ended									through
	February 28,									February 29,
	2023			2022			2021			2020
Net asset value, beginning of period	$	18.01		$	18.96		$	19.44		$	20.18
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.23			0.01			(0.09	)		0.10
Net realized and unrealized gain (loss)		0.30			(0.23	)		0.04	(b)		(0.33	)
Total from investment operations		0.53			(0.22	)		(0.05	)		(0.23	)
Less distributions to shareholders:
From net investment income		—			—			(0.43	)		(0.05	)
From net realized gains		(0.17	)		(0.73	)		—			(0.46	)
Total distributions		(0.17	)		(0.73	)		(0.43	)		(0.51	)
Net asset value, end of period	$	18.37		$	18.01		$	18.96		$	19.44
Total Return(c)		2.98	%		(1.21	)%		(0.30	)%		(1.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	146,410		$	148,247		$	268,473		$	34,229
Net operating expenses to average daily net assets(d)		1.08	%		1.07	%		1.02	%		1.02	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)		0.60	%		0.50	%		0.51	%		0.23	%*
Total net expenses to average daily net assets(d)		1.68	%		1.57	%		1.53	%		1.25	%*
Net investment income (loss) to average daily net assets(a)		1.31	%		0.06	%		(0.44	)%		0.98	%*
Portfolio turnover rate(f)		337	%		572	%		410	%		243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)		0.37	%		0.19	%		0.15	%		0.24	%*

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

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

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

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

^(e)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28,		February 28,			February 28,			February 29,
	2023		2022			2021			2020
Portfolio turnover rate including transactions in USTF		N/A		572	%		411	%		250	%

^(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. 144

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	25.56		$	25.97		$	25.53		$	26.36		$	27.76
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.73			0.57			0.40			0.83			0.82
Net realized and unrealized gain (loss)		(0.63	)		(0.35	)		0.98			(0.75	)		(1.30	)
Total from investment operations		0.10			0.22			1.38			0.08			(0.48	)
Less distributions to shareholders:
From net investment income		(0.77	)		(0.63	)		(0.78	)		(0.90	)		(0.90	)
From net realized gains		—			—			(0.16	)		(0.01	)		(0.02	)
Total distributions		(0.77	)		(0.63	)		(0.94	)		(0.91	)		(0.92	)
Net asset value, end of period	$	24.89		$	25.56		$	25.97		$	25.53		$	26.36
Total Return(b)		0.50	%		0.86	%		5.60	%		0.11	%		(1.55	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,546,717		$	1,726,440		$	2,227,712		$	3,785,568		$	4,642,211
Net expenses to average daily net assets(c)		0.74	%		0.75	%		0.70	%		0.66	%		0.65	%
Net investment income (loss) to average daily net assets(a)		3.00	%		2.15	%		1.59	%		3.12	%		3.07	%
Portfolio turnover rate		19	%		7	%		20	%		10	%		18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.08	%		0.06	%		0.11	%		0.15	%		0.15	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(e)

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

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

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

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

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

145 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class IV Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	25.56		$	25.96		$	25.53		$	26.35		$	27.75
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.80			0.49			0.43			0.83			0.88
Net realized and unrealized gain (loss)		(0.68	)		(0.25	)		0.96			(0.73	)		(1.35	)
Total from investment operations		0.12			0.24			1.39			0.10			(0.47	)
Less distributions to shareholders:
From net investment income		(0.79	)		(0.64	)		(0.80	)		(0.91	)		(0.91	)
From net realized gains		—			—			(0.16	)		(0.01	)		(0.02	)
Total distributions		(0.79	)		(0.64	)		(0.96	)		(0.92	)		(0.93	)
Net asset value, end of period	$	24.89		$	25.56		$	25.96		$	25.53		$	26.35
Total Return(b)		0.55	%		0.93	%		5.61	%		0.21	%		(1.50	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,182,069		$	1,388,080		$	1,965,528		$	2,085,324		$	2,737,619
Net expenses to average daily net assets(c)		0.69	%		0.70	%		0.66	%		0.61	%		0.60	%
Net investment income (loss) to average daily net assets(a)		3.26	%		1.85	%		1.73	%		3.12	%		3.29	%
Portfolio turnover rate		19	%		7	%		20	%		10	%		18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.08	%		0.06	%		0.10	%		0.15	%		0.15	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(e)

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

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

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

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

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 146

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class MF Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	25.58		$	25.99		$	25.55		$	26.38		$	27.77
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.75			0.60			0.38			0.83			0.77
Net realized and unrealized gain (loss)		(0.64	)		(0.37	)		1.01			(0.74	)		(1.23	)
Total from investment operations		0.11			0.23			1.39			0.09			(0.46	)
Less distributions to shareholders:
From net investment income		(0.78	)		(0.64	)		(0.79	)		(0.91	)		(0.91	)
From net realized gains		—			—			(0.16	)		(0.01	)		(0.02	)
Total distributions		(0.78	)		(0.64	)		(0.95	)		(0.92	)		(0.93	)
Net asset value, end of period	$	24.91		$	25.58		$	25.99		$	25.55		$	26.38
Total Return(b)		0.54	%		0.91	%		5.64	%		0.16	%		(1.47	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,079,756		$	1,370,527		$	1,716,252		$	2,827,442		$	3,926,518
Net expenses to average daily net assets(c)		0.69	%		0.70	%		0.65	%		0.61	%		0.60	%
Net investment income (loss) to average daily net assets(a)		3.05	%		2.25	%		1.54	%		3.12	%		2.88	%
Portfolio turnover rate		19	%		7	%		20	%		10	%		18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.08	%		0.06	%		0.11	%		0.15	%		0.15	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(e)

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

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

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

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

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

147 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class R6 Shares
							Period from
							May 1, 2020
							(commencement
							of operations)
	Year Ended						through
	February 28,						February 28,
	2023			2022			2021
Net asset value, beginning of period	$	25.54		$	25.95		$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.77			0.55			0.24
Net realized and unrealized gain (loss)		(0.66	)		(0.33	)		2.72
Total from investment operations		0.11			0.22			2.96
Less distributions to shareholders:
From net investment income		(0.78	)		(0.63	)		(0.80	)
From net realized gains		—			—			(0.16	)
Total distributions		(0.78	)		(0.63	)		(0.96	)
Net asset value, end of period	$	24.87		$	25.54		$	25.95
Total Return(b)		0.51	%		0.86	%		12.55	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	281,802		$	273,491		$	310,687
Net expenses to average daily net assets(c)		0.74	%		0.75	%		0.74	%*
Net investment income (loss) to average daily net assets(a)		3.16	%		2.06	%		1.16	%*
Portfolio turnover rate		19	%		7	%		20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.08	%		0.06	%		0.08	%*

^(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.

See accompanying notes to the financial statements. 148

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class I Shares
										Period from
										August 8, 2019
										(commencement
										of operations)
	Year Ended									through
	February 28,									February 29,
	2023			2022			2021			2020
Net asset value, beginning of period	$	25.53		$	25.95		$	25.52		$	26.24
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.70			0.63			0.33			1.10
Net realized and unrealized gain (loss)		(0.62	)		(0.44	)		1.02			(0.93	)
Total from investment operations		0.08			0.19			1.35			0.17
Less distributions to shareholders:
From net investment income		(0.75	)		(0.61	)		(0.76	)		(0.89	)
From net realized gains		—			—			(0.16	)		—
Total distributions		(0.75	)		(0.61	)		(0.92	)		(0.89	)
Net asset value, end of period	$	24.86		$	25.53		$	25.95		$	25.52
Total Return(b)		0.38	%		0.77	%		5.47	%		0.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	313,322		$	365,107		$	324,819		$	98,453
Net expenses to average daily net assets(c)		0.84	%		0.85	%		0.81	%		0.74	%*
Net investment income (loss) to average daily net assets(a)		2.85	%		2.38	%		1.30	%		7.22	%*
Portfolio turnover rate		19	%		7	%		20	%		10	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.09	%		0.07	%		0.10	%		0.15	%*

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

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

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

149 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	18.85		$	19.48		$	18.88		$	19.56		$	20.91
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.86			0.63			0.52			0.72			0.58
Net realized and unrealized gain (loss)		(0.98	)		(0.39	)		0.71			(0.59	)		(1.21	)
Total from investment operations		(0.12	)		0.24			1.23			0.13			(0.63	)
Less distributions to shareholders:
From net investment income		(0.94	)		(0.87	)		(0.63	)		(0.81	)		(0.72	)
Total distributions		(0.94	)		(0.87	)		(0.63	)		(0.81	)		(0.72	)
Net asset value, end of period	$	17.79		$	18.85		$	19.48		$	18.88		$	19.56
Total Return(b)		(0.40	)%		1.21	%		6.64	%		0.41	%		(2.80	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,152,713		$	1,613,854		$	2,158,496		$	2,583,930		$	3,165,731
Net operating expenses to average daily net assets(c)		0.06	%		0.03	%		0.04	%		0.02	%		0.02	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.35	%		0.26	%		0.08	%		0.03	%		0.04	%
Total net expenses to average daily net assets(c)		0.41	%		0.29	%		0.12	%		0.05	%		0.06	%
Net investment income (loss) to average daily net assets(a)		4.85	%		3.19	%		2.86	%		3.64	%		2.92	%
Portfolio turnover rate(e)		107	%		138	%		145	%		50	%		59	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.06	%		0.07	%		0.05	%		0.04	%		0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(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)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		114	%		145	%		151	%		52	%		59	%

^(f)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 150

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	32.86		$	34.92		$	31.50		$	31.47		$	33.31
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.82			0.96			0.88			1.08			1.02
Net realized and unrealized gain (loss)		(2.67	)		(0.90	)		3.91			0.29			(1.74	)
Total from investment operations		(1.85	)		0.06			4.79			1.37			(0.72	)
Less distributions to shareholders:
From net investment income		(1.09	)		(2.12	)		(1.37	)		(1.34	)		(1.12	)
Total distributions		(1.09	)		(2.12	)		(1.37	)		(1.34	)		(1.12	)
Net asset value, end of period	$	29.92		$	32.86		$	34.92		$	31.50		$	31.47
Total Return(b)		(5.48	)%		(0.10	)%		15.39	%		4.12	%		(1.96	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	306,276		$	585,212		$	692,580		$	1,539,522		$	1,909,728
Net expenses to average daily net assets(c)		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)		2.72	%		2.68	%		2.78	%		3.32	%		3.17	%
Portfolio turnover rate(e)		31	%		27	%		30	%		27	%		21	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		0.03	%		0.01	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(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)  Rounds to less than 0.01%.

^(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 including transactions in USTF during the period and/or year ended:

	February 28,			February 28,			February 28,			February 29,			February 28,
	2023			2022			2021			2020			2019
Portfolio turnover rate including transactions in USTF		32	%		31	%		41	%		28	%		24	%

^(f)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

151 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND (continued)

	Class R6 Shares
	Year Ended February 28,									Period from September 30, 2019 (commencement of operations) through February 29,
	2023			2022			2021			2020
Net asset value, beginning of period	$	32.84		$	34.93		$	31.50		$	32.56
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.84			0.51			0.93			0.86
Net realized and unrealized gain (loss)		(2.69	)		(0.48	)		3.87			(0.71	)
Total from investment operations		(1.85	)		0.03			4.80			0.15
Less distributions to shareholders:
From net investment income		(1.09	)		(2.12	)		(1.37	)		(1.21	)
Total distributions		(1.09	)		(2.12	)		(1.37	)		(1.21	)
Net asset value, end of period	$	29.90		$	32.84		$	34.93		$	31.50
Total Return(b)		(5.48	)%		(0.19	)%		15.42	%		0.22	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	20,440		$	26,148		$	183,052		$	17,888
Net expenses to average daily net assets(c)		0.00	%(d)		0.00	%(d)		0.01	%		0.00	%(d)
Net investment income (loss) to average daily net assets(a)		2.80	%		1.44	%		2.78	%		6.23	%*
Portfolio turnover rate(e)		31	%		27	%		30	%		27	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		0.02	%		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)  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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		32	%		31	%		41	%		28	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 152

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND (continued)

	Class I Shares
	Year Ended February 28,						Period from January 6, 2021 (commencement of operations) through February 28,
	2023			2022			2021
Net asset value, beginning of period	$	32.87		$	34.92		$	34.71
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.07			0.87			(0.01	)
Net realized and unrealized gain (loss)		(2.96	)		(0.84	)		0.22
Total from investment operations		(1.89	)		0.03			0.21
Less distributions to shareholders:
From net investment income		(1.06	)		(2.08	)		—
Total distributions		(1.06	)		(2.08	)		—
Net asset value, end of period	$	29.92		$	32.87		$	34.92
Total Return(b)		(5.60	)%		(0.18	)%		0.61	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	13,403		$	12,621		$	20,497
Net expenses to average daily net assets(c)		0.10	%		0.10	%		0.11	%
Net investment income (loss) to average daily net assets(a)		3.59	%		2.41	%		(0.10	)%*
Portfolio turnover rate(d)		31	%		27	%		30	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.08	%		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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021
Portfolio turnover rate including transactions in USTF		32	%		31	%		41	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

153 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	24.43		$	25.79		$	20.87		$	21.20		$	22.88
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.65			1.00			0.75			0.25			0.57
Net realized and unrealized gain (loss)		(1.78	)		0.94			5.12			0.42			(1.67	)
Total from investment operations		(1.13	)		1.94			5.87			0.67			(1.10	)
Less distributions to shareholders:
From net investment income		(0.66	)		(2.08	)		(0.95	)		(0.74	)		(0.58	)
From net realized gains		(0.84	)		(1.22	)		—			(0.26	)		—
Total distributions		(1.50	)		(3.30	)		(0.95	)		(1.00	)		(0.58	)
Net asset value, end of period	$	21.80		$	24.43		$	25.79		$	20.87		$	21.20
Total Return(b)		(3.94	)%		6.80	%		28.41	%		2.87	%		(4.58	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	66,992		$	86,810		$	88,154		$	73,383		$	447,874
Net expenses to average daily net assets(c)		0.01	%		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)		3.00	%		3.61	%		3.39	%		1.16	%		2.62	%
Portfolio turnover rate		37	%		19	%		25	%		21	%		6	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.10	%		0.05	%		0.06	%		0.03	%		0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(e)

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

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

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

See accompanying notes to the financial statements. 154

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	28.45		$	29.91		$	24.37		$	24.63		$	26.86
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.87			1.18			0.88			0.83			0.65
Net realized and unrealized gain (loss)		(2.92	)		(0.28	)		5.75			(0.16	)		(2.18	)
Total from investment operations		(2.05	)		0.90			6.63			0.67			(1.53	)
Less distributions to shareholders:
From net investment income		(1.01	)		(2.35	)		(1.09	)		(0.93	)		(0.70	)
From net realized gains		(0.82	)		(0.01	)		—			—			—
Total distributions		(1.83	)		(2.36	)		(1.09	)		(0.93	)		(0.70	)
Net asset value, end of period	$	24.57		$	28.45		$	29.91		$	24.37		$	24.63
Total Return(b)		(6.66	)%		2.49	%		27.51	%		2.36	%		(5.43	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	560,287		$	1,571,153		$	1,638,868		$	1,456,064		$	1,637,744
Net expenses to average daily net assets(c)		0.01	%		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)		3.51	%		3.69	%		3.44	%		3.26	%		2.56	%
Portfolio turnover rate		35	%		20	%		20	%		20	%		11	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.02	%		0.01	%		0.01	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(e)

^(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.

155 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND (continued)

	Class R6 Shares
	Year Ended February 28,						Period from July 15, 2020 (commencement of operations) through February 28,
	2023			2022			2021
Net asset value, beginning of period	$	28.46		$	29.91		$	25.19
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.69			1.19			0.81
Net realized and unrealized gain (loss)		(2.75	)		(0.28	)		4.96
Total from investment operations		(2.06	)		0.91			5.77
Less distributions to shareholders:
From net investment income		(1.01	)		(2.35	)		(1.05	)
From net realized gains		(0.82	)		(0.01	)		—
Total distributions		(1.83	)		(2.36	)		(1.05	)
Net asset value, end of period	$	24.57		$	28.46		$	29.91
Total Return(b)		(6.69	)%		2.52	%		23.14	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	34,289		$	7,065		$	6,781
Net expenses to average daily net assets(c)		0.01	%		0.00	%(d)		0.00	%(d)*
Net investment income (loss) to average daily net assets(a)		2.77	%		3.74	%		4.70	%*
Portfolio turnover rate		35	%		20	%		20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%		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)  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%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 156

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND (continued)

	Class I Shares
	Year Ended February 28,						Period from August 17, 2020 (commencement of operations) through February 28,
	2023			2022			2021
Net asset value, beginning of period	$	28.44		$	29.91		$	26.14
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.90			1.17			0.90
Net realized and unrealized gain (loss)		(2.97	)		(0.31	)		3.91
Total from investment operations		(2.07	)		0.86			4.81
Less distributions to shareholders:
From net investment income		(0.99	)		(2.32	)		(1.04	)
From net realized gains		(0.82	)		(0.01	)		—
Total distributions		(1.81	)		(2.33	)		(1.04	)
Net asset value, end of period	$	24.56		$	28.44		$	29.91
Total Return(b)		(6.74	)%		2.37	%		18.64	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	4,992		$	2,615		$	2,233
Net expenses to average daily net assets(c)		0.11	%		0.10	%		0.10	%*
Net investment income (loss) to average daily net assets(a)		3.66	%		3.67	%		5.95	%*
Portfolio turnover rate		35	%		20	%		20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.02	%		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)  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.

157 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND

	Core Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	12.54		$	12.70		$	12.74		$	13.22		$	14.09
Income (loss) from investment operations:
Net investment income (loss)†		0.50	(a)(b)		0.38	(b)		0.35	(b)		0.49	(b)		0.40
Net realized and unrealized gain (loss)		(0.33	)		(0.13	)		(0.11	)		(0.43	)		(0.69	)
Total from investment operations		0.17			0.25			0.24			0.06			(0.29	)
Less distributions to shareholders:
From net investment income		(0.43	)		(0.41	)		(0.28	)		(0.54	)		(0.58	)
Total distributions		(0.43	)		(0.41	)		(0.28	)		(0.54	)		(0.58	)
Net asset value, end of period	$	12.28		$	12.54		$	12.70		$	12.74		$	13.22
Total Return(c)		1.52	%(d)		2.02	%		1.95	%		0.25	%		(1.88	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	3,735,883		$	4,681,226		$	5,970,367		$	7,114,306		$	8,965,578
Net operating expenses to average daily net assets		0.02	%(e)		0.00	%(e)(f)		0.01	%(e)		0.00	%(e)(f)		0.00	%(f)
Interest and/or dividend expenses to average daily net assets(g)		0.36	%		0.32	%		0.15	%		0.06	%		0.10	%
Total net expenses to average daily net assets		0.38	%(e)		0.32	%(e)		0.16	%(e)		0.06	%(e)		0.10	%
Net investment income (loss) to average daily net assets		4.15	%(b)		2.95	%(b)		2.89	%(b)		3.65	%(b)		2.95	%
Portfolio turnover rate		118	%(h)		194	%(h)		189	%(h)		97	%(h)		112	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.06	%		0.06	%(i)		0.06	%(i)		0.05	%(i)		0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts: (Note 2)†	$	—		$	—		$	—		$	—		$	0.00	(j)

^(a)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2023
$	15,309,005
	3.77	%

^(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)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding the below to the class’s total return (Note 2):

February 28, 2023
	0.39	%

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

^(f)  Rounds to less than 0.01%.

^(g)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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.

^(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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019
Portfolio turnover rate including transactions in USTF		125	%		200	%		196	%		100	%		N/A

See accompanying notes to the financial statements. 158

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND (continued)

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

^(j)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

159 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	16.35		$	16.95		$	14.52		$	14.75		$	17.32
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.61			1.05			0.61			0.49			0.51
Net realized and unrealized gain (loss)		(1.18	)		(0.51	)		2.56			(0.12	)		(2.56	)
Total from investment operations		(0.57	)		0.54			3.17			0.37			(2.05	)
Less distributions to shareholders:
From net investment income		(0.60	)		(1.09	)		(0.74	)		(0.60	)		(0.52	)
From net realized gains		(0.04	)		(0.05	)		0.00			0.00			0.00
Total distributions		(0.64	)		(1.14	)		(0.74	)		(0.60	)		(0.52	)
Net asset value, end of period	$	15.14		$	16.35		$	16.95		$	14.52		$	14.75
Total Return(b)		(3.23	)%		2.88	%		22.02	%		2.14	%		(11.57	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	219,167		$	222,308		$	217,129		$	297,463		$	572,830
Net expenses to average daily net assets(c)		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)		4.14	%		5.82	%		4.20	%		3.25	%		3.25	%
Portfolio turnover rate		9	%		18	%		17	%		11	%		8	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.08	%		0.05	%		0.03	%		0.02	%		0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(e)

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

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

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

See accompanying notes to the financial statements. 160

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND (continued)

	Class R6 Shares
	Year Ended February 28,						Period from January 22, 2021 (commencement of operations) through February 28,
	2023			2022			2021
Net asset value, beginning of period	$	16.35		$	16.95		$	17.08
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.61			1.02			(0.00	)(b)
Net realized and unrealized gain (loss)		(1.18	)		(0.48	)		(0.13	)
Total from investment operations		(0.57	)		0.54			(0.13	)
Less distributions to shareholders:
From net investment income		(0.60	)		(1.09	)		—
From net realized gains		(0.04	)		(0.05	)		—
Total distributions		(0.64	)		(1.14	)		—
Net asset value, end of period	$	15.14		$	16.35		$	16.95
Total Return(c)		(3.23	)%		2.88	%		(0.76	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	8,033		$	8,268		$	8,254
Net expenses to average daily net assets(d)		0.00	%(e)		0.00	%(e)		0.01	%*
Net investment income (loss) to average daily net assets(a)		4.13	%		5.66	%		(0.01	)%*
Portfolio turnover rate		9	%		18	%		17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.08	%		0.05	%		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)  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)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

161 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	29.43		$	32.31		$	27.45		$	28.09		$	32.62
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.24			1.64			1.24			1.02			0.91
Net realized and unrealized gain (loss)		(3.96	)		(2.59	)		4.91			(0.46	)		(4.47	)
Total from investment operations		(2.72	)		(0.95	)		6.15			0.56			(3.56	)
Less distributions to shareholders:
From net investment income		(1.23	)		(1.93	)		(1.29	)		(1.20	)		(0.97	)
Total distributions		(1.23	)		(1.93	)		(1.29	)		(1.20	)		(0.97	)
Net asset value, end of period	$	25.48		$	29.43		$	32.31		$	27.45		$	28.09
Total Return(b)		(9.05	)%		(3.37	)%		22.67	%		1.62	%		(10.69	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	286,725		$	437,139		$	598,701		$	646,622		$	929,967
Net expenses to average daily net assets(c)		0.01	%		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)		4.81	%		4.90	%		4.40	%		3.55	%		3.09	%
Portfolio turnover rate		11	%		18	%		16	%		7	%		8	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%		0.02	%		0.02	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(e)

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

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

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

See accompanying notes to the financial statements. 162

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND (continued)

	Class R6 Shares
										Period from August 30, 2019 (commencement of operations) through February 29, 2020
	Year Ended February 28,
	2023			2022			2021
Net asset value, beginning of period	$	29.42		$	32.30		$	27.44		$	27.07
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.30			1.74			1.29			1.14
Net realized and unrealized gain (loss)		(4.02	)		(2.69	)		4.86			0.33
Total from investment operations		(2.72	)		(0.95	)		6.15			1.47
Less distributions to shareholders:
From net investment income		(1.23	)		(1.93	)		(1.29	)		(1.10	)
Total distributions		(1.23	)		(1.93	)		(1.29	)		(1.10	)
Net asset value, end of period	$	25.47		$	29.42		$	32.30		$	27.44
Total Return(b)		(9.05	)%		(3.37	)%		22.68	%		5.04	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	205,417		$	242,178		$	262,853		$	210,223
Net expenses to average daily net assets(c)		0.01	%		0.00	%(d)		0.00	%(d)		0.00	%(d)*
Net investment income (loss) to average daily net assets(a)		5.08	%		5.20	%		4.56	%		7.83	%*
Portfolio turnover rate		11	%		18	%		16	%		7	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%		0.02	%		0.02	%		0.02	%*

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

^(b)  The 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%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

163 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	29.30		$	32.07		$	31.13		$	32.17		$	31.87
Income (loss) from investment operations:
Net investment income (loss)(a)†		(0.18	)		(0.24	)		(0.09	)		0.27			0.31
Net realized and unrealized gain (loss)		1.16			(0.39	)		1.81			(0.83	)		0.11	(b)
Total from investment operations		0.98			(0.63	)		1.72			(0.56	)		0.42
Less distributions to shareholders:
From net investment income		(0.49	)		(0.71	)		(0.03	)		(0.48	)		(0.12	)
From net realized gains		(1.26	)		(1.43	)		(0.75	)		—			—
Total distributions		(1.75	)		(2.14	)		(0.78	)		(0.48	)		(0.12	)
Net asset value, end of period	$	28.53		$	29.30		$	32.07		$	31.13		$	32.17
Total Return(c)		3.86	%		(2.00	)%		5.48	%		(1.74	)%		1.32	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	3,366		$	32,796		$	30,126		$	18,527		$	45,409
Net expenses to average daily net assets(d)		1.01	%		1.00	%		1.01	%		1.01	%		1.00	%
Net investment income (loss) to average daily net assets(a)		(0.67	)%		(0.81	)%		(0.27	)%		0.85	%		0.97	%
Portfolio turnover rate		69	%		81	%		76	%		46	%		49	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.13	%		0.10	%		0.07	%		0.05	%		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 including transactions in USTF during the period and/or year ended:

	February 28, 2023		February 28, 2022		February 28, 2021		February 29, 2020		February 28, 2019
Portfolio turnover rate including transactions in USTF		N/A		N/A		N/A		N/A		75	%

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 164

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND (continued)

	Class VI Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	29.27		$	32.03		$	31.07		$	32.11		$	31.78
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.31			(0.22	)		(0.06	)		0.25			0.33
Net realized and unrealized gain (loss)		0.69			(0.38	)		1.80			(0.77	)		0.13	(b)
Total from investment operations		1.00			(0.60	)		1.74			(0.52	)		0.46
Less distributions to shareholders:
From net investment income		(0.61	)		(0.73	)		(0.03	)		(0.52	)		(0.13	)
From net realized gains		(1.26	)		(1.43	)		(0.75	)		—			—
Total distributions		(1.87	)		(2.16	)		(0.78	)		(0.52	)		(0.13	)
Net asset value, end of period	$	28.40		$	29.27		$	32.03		$	31.07		$	32.11
Total Return(c)		3.96	%		(1.92	)%		5.56	%		(1.65	)%		1.47	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	120,827		$	206,841		$	314,087		$	831,870		$	1,161,238
Net expenses to average daily net assets(d)		0.92	%		0.91	%		0.91	%		0.91	%		0.91	%
Net investment income (loss) to average daily net assets(a)		1.13	%		(0.71	)%		(0.17	)%		0.79	%		1.04	%
Portfolio turnover rate		69	%		81	%		76	%		46	%		49	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.15	%		0.09	%		0.07	%		0.04	%		0.04	%

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

^(b)  The 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 including transactions in USTF during the period and/or year ended:

	February 28, 2023		February 28, 2022		February 28, 2021		February 29, 2020		February 28, 2019
Portfolio turnover rate including transactions in USTF		N/A		N/A		N/A		N/A		75	%

† Calculated using average shares outstanding throughout the period.

165 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND (continued)

	Class I Shares
	Year Ended February 28,						Period from September 23, 2020 (commencement of operations) through February 28,
	2023			2022			2021
Net asset value, beginning of period	$	29.23		$	32.06		$	32.37
Income (loss) from investment operations:
Net investment income (loss)(a)†		(0.07	)		(0.28	)		(0.04	)
Net realized and unrealized gain (loss)		1.02			(0.40	)		0.48
Total from investment operations		0.95			(0.68	)		0.44
Less distributions to shareholders:
From net investment income		(0.44	)		(0.72	)		—
From net realized gains		(1.26	)		(1.43	)		(0.75	)
Total distributions		(1.70	)		(2.15	)		(0.75	)
Net asset value, end of period	$	28.48		$	29.23		$	32.06
Total Return(b)		3.76	%		(2.16	)%		1.30	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	4,751		$	20,753		$	13,842
Net expenses to average daily net assets(c)		1.11	%		1.10	%		1.11	%*
Net investment income (loss) to average daily net assets(a)		(0.25	)%		(0.93	)%		(0.28	)%*
Portfolio turnover rate		69	%		81	%		76	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.19	%		0.15	%		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.

See accompanying notes to the financial statements. 166

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2023			2022			2021			2020			2019
Net asset value, beginning of period	$	17.91		$	21.56		$	18.98		$	19.48		$	22.08
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.63			0.59			0.54			0.67			0.62
Net realized and unrealized gain (loss)		(1.46	)		0.32			2.93			(0.11	)		(1.45	)
Total from investment operations		(0.83	)		0.91			3.47			0.56			(0.83	)
Less distributions to shareholders:
From net investment income		(0.85	)		(1.22	)		(0.71	)		(0.77	)		(0.67	)
From net realized gains		(0.66	)		(3.34	)		(0.18	)		(0.29	)		(1.10	)
Total distributions		(1.51	)		(4.56	)		(0.89	)		(1.06	)		(1.77	)
Net asset value, end of period	$	15.57		$	17.91		$	21.56		$	18.98		$	19.48
Total Return(b)		(4.08	)%		3.57	%		18.66	%		2.57	%		(3.45	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	189,504		$	236,452		$	579,796		$	773,438		$	915,148
Net operating expenses to average daily net assets(c)		0.02	%		0.01	%		0.01	%		0.01	%		0.01	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.32	%		0.26	%		0.07	%		0.03	%		0.03	%
Total net expenses to average daily net assets(c)		0.34	%		0.27	%		0.08	%		0.04	%		0.04	%
Net investment income (loss) to average daily net assets(a)		3.91	%		2.71	%		2.85	%		3.35	%		3.01	%
Portfolio turnover rate(e)		74	%		95	%		61	%		36	%		35	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.15	%		0.14	%		0.07	%		0.03	%		0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(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)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, 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 including transactions in USTF during the period and/or year ended:

	February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019
Portfolio turnover rate including transactions in USTF		72	%		122	%		80	%		41	%		38	%

^(f)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

167 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

February 28, 2023

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 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 U.S. Aggregate Index)	Total return greater than benchmark

Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation Fund currently limit subscriptions.

2. Significant accounting policies

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

168

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Basis of presentation and principles of consolidation: Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund

Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include all of the assets and liabilities of each wholly-owned subsidiary. All interfund accounts and transactions have been eliminated in consolidation.

Portfolio valuation

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

Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price.

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

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 28, 2023, 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.

169

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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 that are 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 February 28, 2023:

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,581,031	$	—	$	1,581,031
Belgium		—		886,763		—		886,763
Brazil		257,553		73,126		—		330,679
Canada		3,577,542		—		—		3,577,542
China		5,956		679,248		419,007		1,104,211
Denmark		—		1,264,809		—		1,264,809
Finland		—		331,386		—		331,386
France		—		1,299,279		—		1,299,279

170

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Germany	$	—	$	884,322	$	—	$	884,322
India		—		1,055,094		—		1,055,094
Israel		2,169,109		—		—		2,169,109
Italy		—		771,599		—		771,599
Japan		54,537		14,838,648		—		14,893,185
Mexico		16,368		—		—		16,368
Netherlands		—		2,069,268		—		2,069,268
New Zealand		—		146,702		—		146,702
Poland		—		94,109		—		94,109
Portugal		—		194,943		—		194,943
South Africa		—		165,761		—		165,761
South Korea		237,861		603,545		—		841,406
Spain		—		964,281		—		964,281
Sweden		—		837,523		—		837,523
Switzerland		—		1,058,632		—		1,058,632
Taiwan		3,316,836		—		—		3,316,836
Thailand		—		297,200		—		297,200
Turkey		—		652,314		—		652,314
United Kingdom		472,144		1,180,114		—		1,652,258
United States		75,841,934		—		15,395		75,857,329
TOTAL COMMON STOCKS		85,949,840		31,929,697		434,402		118,313,939
Preferred Stocks
Brazil		192,272		—		—		192,272
Germany		—		455,715		—		455,715
TOTAL PREFERRED STOCKS		192,272		455,715		—		647,987
Rights/Warrants
United States		—		—		384,887		384,887
TOTAL RIGHTS/WARRANTS		—		—		384,887		384,887
Investment Funds
United States		—		—		2,331,920		2,331,920
TOTAL INVESTMENT FUNDS		—		—		2,331,920		2,331,920
Debt Obligations
United States		58,497,457		5,344,575		—		63,842,032
TOTAL DEBT OBLIGATIONS		58,497,457		5,344,575		—		63,842,032
Mutual Funds
United States		5,754,599		—		—		5,754,599
TOTAL MUTUAL FUNDS		5,754,599		—		—		5,754,599
Short-Term Investments		640,891		65,701,629		—		66,342,520
Purchased Options		—		108,436		—		108,436
Total Investments		151,035,059		103,540,052		3,151,209		257,726,320

171

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	1,290,869		$	—	$	1,290,869
Futures Contracts
Equity Risk		—			398,397			—		398,397
Interest Rate Risk		146,728			—			—		146,728
Physical Commodity Contract Risk		165,534			—			—		165,534
Swap Contracts
Credit Risk		—			7,907,211			—		7,907,211
Equity Risk		—			407,046			—		407,046
Interest Rate Risk		—			2,325,154			—		2,325,154
Total	$	151,347,321		$	115,868,729		$	3,151,209	$	270,367,259
Liability Valuation Inputs
Common Stocks
Australia	$	(25,778	)	$	(1,267,522	)	$	—	$	(1,293,300	)
Austria		—			(327,595	)		—		(327,595	)
Belgium		—			(387,123	)		—		(387,123	)
Canada		(4,732,784	)		—			—		(4,732,784	)
Denmark		—			(210,827	)		—		(210,827	)
Finland		—			(110,964	)		—		(110,964	)
France		—			(1,517,235	)		—		(1,517,235	)
Germany		—			(2,023,434	)		—		(2,023,434	)
Ireland		—			(94,928	)		—		(94,928	)
Israel		(470,561	)		—			—		(470,561	)
Italy		(104,148	)		(1,293,884	)		—		(1,398,032	)
Japan		—			(4,939,980	)		—		(4,939,980	)
Netherlands		—			(1,221,188	)		—		(1,221,188	)
New Zealand		—			(282,971	)		—		(282,971	)
Norway		—			(346,674	)		—		(346,674	)
Peru		(361,081	)		—			—		(361,081	)
Singapore		(178,919	)		(182,771	)		—		(361,690	)
Spain		—			(794,859	)		—		(794,859	)
Sweden		—			(360,673	)		—		(360,673	)
Switzerland		—			(726,833	)		—		(726,833	)
United Kingdom		—			(2,593,015	)		—		(2,593,015	)
United States		(46,321,686	)		—			—		(46,321,686	)
TOTAL COMMON STOCKS		(52,194,957	)		(18,682,476	)		—		(70,877,433	)
Preferred Stocks
Germany		—			(323,248	)		—		(323,248	)
TOTAL PREFERRED STOCKS		—			(323,248	)		—		(323,248	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(818,439	)		—		(818,439	)
Futures Contracts
Equity Risk		(362,357	)		(195,317	)		—		(557,674	)
Interest Rate Risk		(16,059	)		—			—		(16,059	)
Physical Commodity Contract Risk		(103,109	)		—			—		(103,109	)

172

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1			Level 2			Level 3			Total
Consolidated Alternative Allocation Fund (continued)
Liability Valuation Inputs (continued)
Derivatives^ (continued)
Written Options
Credit Risk	$	—		$	(91,162	)	$	—		$	(91,162	)
Equity Risk		(1,110,354	)		—			(69,960	)		(1,180,314	)
Swap Contacts
Credit Risk		—			(2,541,464	)		—			(2,541,464	)
Equity Risk		—			(124,013	)		—			(124,013	)
Interest Rate Risk		—			(1,880,438	)		—			(1,880,438	)
Total	$	(53,786,836	)	$	(24,656,557	)	$	(69,960	)	$	(78,513,353	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	4,402,587,879		$	—		$	—		$	4,402,587,879
Short-Term Investments		2,836,801			—			—			2,836,801
Total Investments		4,405,424,680			—			—			4,405,424,680
Total	$	4,405,424,680		$	—		$	—		$	4,405,424,680
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	13,488,698		$	—		$	13,488,698
Austria		—			179,210			—			179,210
Belgium		—			5,681,564			—			5,681,564
Brazil		5,320,900			6,627,596			—			11,948,496
Canada		25,007,070			129,026			—			25,136,096
Chile		48,576			1,622,829			—			1,671,405
China		—			38,934,346			2,140,735			41,075,081
Czech Republic		—			376,682			—			376,682
Denmark		—			6,309,399			—			6,309,399
Egypt		—			466,102			—			466,102
Finland		—			6,241,629			—			6,241,629
France		2,027,536			29,189,876			—			31,217,412
Germany		—			11,344,726			—			11,344,726
Greece		—			586,991			—			586,991
Hong Kong		—			7,048,894			—			7,048,894
Hungary		—			2,176,714			—			2,176,714
India		505,908			27,067,403			—			27,573,311
Indonesia		—			5,634,521			—			5,634,521
Ireland		1,384,035			3,984,311			—			5,368,346
Israel		2,996,864			66,620			—			3,063,484
Italy		25,524			7,978,429			—			8,003,953
Japan		88,298			153,372,308			—			153,460,606
Kuwait		—			146,381			—			146,381
Malaysia		—			907,383			—			907,383
Mexico		12,762,329			—			—			12,762,329
Netherlands		—			20,804,326			—			20,804,326
New Zealand		399			803,696			—			804,095

173

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Norway	$	—	$	3,720,619	$	—	$	3,720,619
Pakistan		—		41,143		—		41,143
Panama		12,113		—		—		12,113
Philippines		—		129,003		—		129,003
Poland		—		3,705,088		—		3,705,088
Portugal		—		2,795,444		—		2,795,444
Qatar		—		894,987		—		894,987
Russia		—		383,548		334,557		718,105
Saudi Arabia		—		2,291,061		—		2,291,061
Singapore		—		8,189,418		—		8,189,418
South Africa		240,570		12,625,661		—		12,866,231
South Korea		2,115,964		32,724,131		—		34,840,095
Spain		—		19,118,192		—		19,118,192
Sweden		—		6,585,226		—		6,585,226
Switzerland		—		9,462,968		—		9,462,968
Taiwan		2,787,757		41,844,263		—		44,632,020
Thailand		—		8,874,468		—		8,874,468
Turkey		—		7,849,814		—		7,849,814
United Arab Emirates		—		565,875		—		565,875
United Kingdom		5,808,832		34,247,061		573		40,056,466
United States		203,233,358		39,571		—		203,272,929
Vietnam		—		2,372,550		—		2,372,550
TOTAL COMMON STOCKS		264,366,033		549,629,751		2,475,865		816,471,649
Preferred Stocks
Brazil		5,166,256		6,758,548		—		11,924,804
Chile		1,029,500		—		—		1,029,500
Colombia		33,101		—		—		33,101
Germany		—		2,610,090		—		2,610,090
Russia		—		—		38,771		38,771
South Korea		—		2,511,951		—		2,511,951
Taiwan		—		34,592		—		34,592
TOTAL PREFERRED STOCKS		6,228,857		11,915,181		38,771		18,182,809
Debt Obligations
United States		227,837,836		9,500,000		—		237,337,836
TOTAL DEBT OBLIGATIONS		227,837,836		9,500,000		—		237,337,836
Mutual Funds
United States		286,877,874		—		—		286,877,874
TOTAL MUTUAL FUNDS		286,877,874		—		—		286,877,874
Short-Term Investments		2,997,967		91,999,073		—		94,997,040
Total Investments		788,308,567		663,044,005		2,514,636		1,453,867,208

174

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1			Level 2			Level 3			Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	448,540		$	—		$	448,540
Swap Contracts
Equity Risk		—			730,289			—			730,289
Interest Rate Risk		—			2,726,041			—			2,726,041
Total	$	788,308,567		$	666,948,875		$	2,514,636		$	1,457,772,078
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(6,210,266	)	$	—		$	(6,210,266	)
Austria		—			(1,599,838	)		—			(1,599,838	)
Belgium		—			(2,015,259	)		—			(2,015,259	)
Canada		(13,439,574	)		—			—			(13,439,574	)
Denmark		—			(1,002,911	)		—			(1,002,911	)
Finland		—			(517,056	)		—			(517,056	)
France		—			(7,617,860	)		—			(7,617,860	)
Germany		—			(9,750,743	)		—			(9,750,743	)
Ireland		—			(462,335	)		—			(462,335	)
Israel		(2,251,388	)		—			—			(2,251,388	)
Italy		(468,666	)		(6,788,735	)		—			(7,257,401	)
Japan		—			(24,458,983	)		—			(24,458,983	)
Netherlands		—			(6,209,380	)		—			(6,209,380	)
New Zealand		—			(1,573,242	)		—			(1,573,242	)
Norway		—			(1,704,004	)		—			(1,704,004	)
Peru		(1,851,093	)		—			—			(1,851,093	)
Russia		—			—			(694	)		(694	)
Singapore		(902,639	)		(1,044,316	)		—			(1,946,955	)
Spain		—			(3,937,502	)		—			(3,937,502	)
Sweden		—			(1,708,519	)		—			(1,708,519	)
Switzerland		—			(3,445,783	)		—			(3,445,783	)
United Kingdom		—			(12,727,524	)		—			(12,727,524	)
United States		(120,973,401	)		—			—			(120,973,401	)
TOTAL COMMON STOCKS		(139,886,761	)		(92,774,256	)		(694	)		(232,661,711	)
Preferred Stocks
Germany		—			(1,644,276	)		—			(1,644,276	)
TOTAL PREFERRED STOCKS		—			(1,644,276	)		—			(1,644,276	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(562,651	)		—			(562,651	)
Swap Contacts
Interest Rate Risk		—			(2,776,265	)		—			(2,776,265	)
Total	$	(139,886,761	)	$	(97,757,448	)	$	(694	)	$	(237,644,903	)

175

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1		Level 2		Level 3		Total
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	339,174,915	$	—	$	—	$	339,174,915
Short-Term Investments		559,158		—		—		559,158
Total Investments		339,734,073		—		—		339,734,073
Total	$	339,734,073	$	—	$	—	$	339,734,073
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	66,984,879	$	—	$	—	$	66,984,879
Short-Term Investments		30,817		—		—		30,817
Total Investments		67,015,696		—		—		67,015,696
Total	$	67,015,696	$	—	$	—	$	67,015,696
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	589,383,939	$	—	$	—	$	589,383,939
Short-Term Investments		582,993		—		—		582,993
Total Investments		589,966,932		—		—		589,966,932
Total	$	589,966,932	$	—	$	—	$	589,966,932
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,258,478	$	—	$	—	$	1,258,478
Australia		—		47,755,623		—		47,755,623
Austria		—		2,202,301		—		2,202,301
Belgium		—		19,687,291		—		19,687,291
Brazil		17,258,458		24,518,196		—		41,776,654
Canada		102,055,125		407,992		—		102,463,117
Chile		294,492		5,211,138		—		5,505,630
China		22,335		128,767,279		6,108,191		134,897,805
Czech Republic		—		1,159,214		—		1,159,214
Denmark		—		23,756,860		—		23,756,860
Egypt		—		1,546,768		—		1,546,768
Finland		—		20,677,330		—		20,677,330
France		6,333,040		97,642,357		—		103,975,397
Germany		—		37,093,992		—		37,093,992
Greece		—		1,854,420		—		1,854,420
Hong Kong		—		22,366,792		—		22,366,792
Hungary		—		7,758,703		—		7,758,703
India		1,965,739		86,637,144		—		88,602,883
Indonesia		—		17,940,923		—		17,940,923
Ireland		4,912,264		11,867,178		—		16,779,442
Israel		16,602,319		608,721		—		17,211,040
Italy		—		28,401,175		—		28,401,175
Japan		768,262		486,212,464		—		486,980,726

176

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Kuwait	$	—	$	163,619	$	—	$	163,619
Malaysia		—		3,228,383		—		3,228,383
Mexico		41,604,154		—		0§		41,604,154
Netherlands		—		70,049,994		175		70,050,169
New Zealand		—		2,658,478		—		2,658,478
Norway		—		15,060,132		—		15,060,132
Pakistan		—		143,857		—		143,857
Panama		20,123		—		—		20,123
Philippines		—		947,693		—		947,693
Poland		—		11,656,034		—		11,656,034
Portugal		—		14,004,668		—		14,004,668
Qatar		—		2,366,053		—		2,366,053
Russia		—		750,690		902,182		1,652,872
Saudi Arabia		—		6,903,237		—		6,903,237
Singapore		—		26,046,506		—		26,046,506
South Africa		740,556		41,246,920		—		41,987,476
South Korea		7,479,114		102,178,273		—		109,657,387
Spain		—		65,215,467		—		65,215,467
Sweden		—		22,360,671		—		22,360,671
Switzerland		—		32,213,230		—		32,213,230
Taiwan		29,452,341		104,592,596		—		134,044,937
Thailand		—		29,243,665		—		29,243,665
Turkey		—		27,692,834		—		27,692,834
Ukraine		—		165,297		—		165,297
United Arab Emirates		—		1,752,209		—		1,752,209
United Kingdom		22,625,496		127,199,819		753		149,826,068
United States		930,719,224		92,612		9,875,273		940,687,109
Vietnam		—		7,191,968		—		7,191,968
TOTAL COMMON STOCKS		1,184,111,520		1,789,198,766		16,886,574		2,990,196,860
Preferred Stocks
Brazil		16,949,994		31,132,195		—		48,082,189
Chile		4,002,625		86,026		—		4,088,651
Germany		—		8,952,959		—		8,952,959
Russia		—		—		85,666		85,666
South Korea		—		10,564,447		—		10,564,447
Taiwan		—		224,963		—		224,963
United States		—		—		183,300		183,300
TOTAL PREFERRED STOCKS		20,952,619		50,960,590		268,966		72,182,175
Rights/Warrants
Canada		—		—		222		222
United States		—		—		845,681		845,681
TOTAL RIGHTS/WARRANTS		—		—		845,903		845,903
Investment Funds
United States		—		—		10,295,869		10,295,869
TOTAL INVESTMENT FUNDS		—		—		10,295,869		10,295,869

177

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
Austria	$	—		$	1,220,162		$	—	$	1,220,162
China		—			481,800			—		481,800
Israel		—			3,087,383			—		3,087,383
Netherlands		—			—			57		57
United States		1,066,276,125			57,420,634			20,562,105		1,144,258,864
TOTAL DEBT OBLIGATIONS		1,066,276,125			62,209,979			20,562,162		1,149,048,266
Mutual Funds
United States		1,119,668			—			—		1,119,668
TOTAL MUTUAL FUNDS		1,119,668			—			—		1,119,668
Short-Term Investments		23,994,465			280,285,784			—		304,280,249
Total Investments		2,296,454,397			2,182,655,119			48,859,474		4,527,968,990
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			5,321,932			—		5,321,932
Futures Contracts
Equity Risk		—			1,866,229			—		1,866,229
Interest Rate Risk		653,626			—			—		653,626
Physical Commodity Contract Risk		762,282			—			—		762,282
Swap Contracts
Credit Risk		—			155,320			—		155,320
Equity Risk		—			3,514,056			—		3,514,056
Interest Rate Risk		—			19,775,772			—		19,775,772
Total	$	2,297,870,305		$	2,213,288,428		$	48,859,474	$	4,560,018,207
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(21,695,867	)	$	—	$	(21,695,867	)
Austria		—			(5,732,919	)		—		(5,732,919	)
Belgium		—			(7,031,538	)		—		(7,031,538	)
Canada		(54,498,385	)		—			—		(54,498,385	)
Denmark		—			(3,583,473	)		—		(3,583,473	)
Finland		—			(1,884,969	)		—		(1,884,969	)
France		—			(26,571,653	)		—		(26,571,653	)
Germany		—			(34,634,451	)		—		(34,634,451	)
Ireland		—			(1,613,618	)		—		(1,613,618	)
Israel		(7,876,385	)		—			—		(7,876,385	)
Italy		(1,796,553	)		(23,040,982	)		—		(24,837,535	)
Japan		—			(84,821,198	)		—		(84,821,198	)
Netherlands		—			(21,538,395	)		—		(21,538,395	)
New Zealand		—			(5,225,668	)		—		(5,225,668	)
Norway		—			(5,934,704	)		—		(5,934,704	)
Peru		(6,459,297	)		—			—		(6,459,297	)
Singapore		(3,001,844	)		(3,581,805	)		—		(6,583,649	)
Spain		—			(13,477,767	)		—		(13,477,767	)
Sweden		—			(6,173,788	)		—		(6,173,788	)
Switzerland		—			(11,961,337	)		—		(11,961,337	)

178

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Description	Level 1			Level 2			Level 3			Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
United Kingdom	$	—		$	(44,793,199	)	$	—		$	(44,793,199	)
United States		(504,592,431	)		—			—			(504,592,431	)
TOTAL COMMON STOCKS		(578,224,895	)		(323,297,331	)		—			(901,522,226	)
Preferred Stocks
Germany		—			(5,737,764	)		—			(5,737,764	)
TOTAL PREFERRED STOCKS		—			(5,737,764	)		—			(5,737,764	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(6,102,855	)		—			(6,102,855	)
Futures Contracts
Equity Risk		(1,566,524	)		(919,363	)		—			(2,485,887	)
Interest Rate Risk		(62,223	)		—			—			(62,223	)
Physical Commodity Contract Risk		(478,416	)		—			—			(478,416	)
Written Options
Equity Risk		(2,572,762	)		—			(265,925	)		(2,838,687	)
Swap Contacts
Credit Risk		—			(384,832	)		—			(384,832	)
Equity Risk		—			(579,637	)		—			(579,637	)
Interest Rate Risk		—			(20,062,369	)		—			(20,062,369	)
Total	$	(582,904,820	)	$	(357,084,151	)	$	(265,925	)	$	(940,254,896	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	227,130,909		$	—		$	—		$	227,130,909
Short-Term Investments		100,556			—			—			100,556
Total Investments		227,231,465			—			—			227,231,465
Total	$	227,231,465		$	—		$	—		$	227,231,465
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	491,808,393		$	—		$	—		$	491,808,393
Short-Term Investments		365,390			—			—			365,390
Total Investments		492,173,783			—			—			492,173,783
Total	$	492,173,783		$	—		$	—		$	492,173,783
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
United States	$	128,840,429		$	—		$	—		$	128,840,429
TOTAL DEBT OBLIGATIONS		128,840,429			—			—			128,840,429
Short-Term Investments		455,267			349,412			—			804,679
Total Investments		129,295,696			349,412			—			129,645,108

179

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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	$	—		$	807,354		$	—	$	807,354
Futures Contracts
Equity Risk		—			808,051			—		808,051
Interest Rate Risk		294,513			—			—		294,513
Physical Commodity Contract Risk		329,801			—			—		329,801
Swap Contracts
Equity Risk		—			682,712			—		682,712
Total	$	129,920,010		$	2,647,529		$	—	$	132,567,539
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(806,355	)	$	—	$	(806,355	)
Futures Contracts
Equity Risk		(649,931	)		(392,426	)		—		(1,042,357	)
Interest Rate Risk		(26,695	)		—			—		(26,695	)
Physical Commodity Contract Risk		(207,277	)		—			—		(207,277	)
Swap Contacts
Equity Risk		—			(294,036	)		—		(294,036	)
Total	$	(883,903	)	$	(1,492,817	)	$	—	$	(2,376,720	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,762,178		$	—	$	1,762,178
Austria		—			63,309			—		63,309
Belgium		—			963,324			—		963,324
Brazil		143,156			73,463			—		216,619
Canada		2,931,934			—			—		2,931,934
China		—			825,376			306,054		1,131,430
Denmark		—			932,495			—		932,495
Finland		—			902,274			—		902,274
France		—			3,304,628			—		3,304,628
Germany		—			1,122,994			—		1,122,994
Hong Kong		—			1,101,842			—		1,101,842
India		—			779,000			—		779,000
Ireland		38,221			858,295			—		896,516
Israel		446,395			10,050			—		456,445
Italy		—			1,085,820			—		1,085,820
Japan		—			8,483,853			—		8,483,853
Mexico		570,738			—			—		570,738
Netherlands		—			2,517,849			—		2,517,849
New Zealand		—			135,075			—		135,075
Norway		—			308,041			—		308,041
Poland		—			58,936			—		58,936
Portugal		—			380,925			—		380,925

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February 28, 2023

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Russia	$	—		$	—		$	2,093	$	2,093
Singapore		—			952,913			—		952,913
South Africa		—			89,582			—		89,582
South Korea		146,376			419,266			—		565,642
Spain		—			2,106,821			—		2,106,821
Sweden		—			1,005,525			—		1,005,525
Switzerland		27,275			766,328			—		793,603
Thailand		—			211,279			—		211,279
Turkey		—			451,809			—		451,809
United Kingdom		346,138			4,394,226			—		4,740,364
United States		21,364,241			—			—		21,364,241
TOTAL COMMON STOCKS		26,014,474			36,067,476			308,147		62,390,097
Preferred Stocks
Brazil		140,544			187,237			—		327,781
Germany		—			326,459			—		326,459
TOTAL PREFERRED STOCKS		140,544			513,696			—		654,240
Debt Obligations
United States		8,056,520			—			—		8,056,520
TOTAL DEBT OBLIGATIONS		8,056,520			—			—		8,056,520
Mutual Funds
United States		130,766,788			—			—		130,766,788
TOTAL MUTUAL FUNDS		130,766,788			—			—		130,766,788
Short-Term Investments		782,924			19,999,629			—		20,782,553
Total Investments		165,761,250			56,580,801			308,147		222,650,198
Derivatives^
Swap Contracts
Equity Risk		—			99,263			—		99,263
Total	$	165,761,250		$	56,680,064		$	308,147	$	222,749,461
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(888,939	)	$	—	$	(888,939	)
Austria		—			(204,271	)		—		(204,271	)
Belgium		—			(293,405	)		—		(293,405	)
Canada		(1,886,993	)		—			—		(1,886,993	)
Denmark		—			(157,158	)		—		(157,158	)
Finland		—			(83,365	)		—		(83,365	)
France		—			(1,114,417	)		—		(1,114,417	)
Germany		—			(1,443,638	)		—		(1,443,638	)
Ireland		—			(71,436	)		—		(71,436	)
Israel		(333,010	)		—			—		(333,010	)
Italy		(78,111	)		(958,131	)		—		(1,036,242	)
Japan		—			(3,637,240	)		—		(3,637,240	)
Netherlands		—			(849,363	)		—		(849,363	)
New Zealand		—			(212,189	)		—		(212,189	)

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February 28, 2023

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Norway	$	—		$	(241,995	)	$	—	$	(241,995	)
Peru		(257,915	)		—			—		(257,915	)
Singapore		(112,440	)		(142,730	)		—		(255,170	)
Spain		—			(616,557	)		—		(616,557	)
Sweden		—			(246,522	)		—		(246,522	)
Switzerland		—			(512,915	)		—		(512,915	)
United Kingdom		—			(1,895,281	)		—		(1,895,281	)
United States		(17,841,536	)		—			—		(17,841,536	)
TOTAL COMMON STOCKS		(20,510,005	)		(13,569,552	)		—		(34,079,557	)
Preferred Stocks
Germany		—			(238,295	)		—		(238,295	)
TOTAL PREFERRED STOCKS		—			(238,295	)		—		(238,295	)
Total	$	(20,510,005	)	$	(13,807,847	)	$	—	$	(34,317,852	)

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

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at February 28, 2023.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation Fund’s Level 3 holdings each include three common stocks valued at their last price prior to trading being suspended. Implementation Fund’s Level 3 holdings also include a common stock that is priced at the average of broker bids and a common stock priced with a 20% discount to a comparable stock and an additional 10% discount for liquidity considerations. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at February 28, 2023.

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February 28, 2023

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, 2022		Purchases/ Closing of Options		Sales/ Writing of Options			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of February 28, 2023			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2023
Consolidated Alternative Allocation Fund
Common Stocks
China	$	66,215	$	—	$	—		$	—	$	—		$	(294	)	$	353,086	‡	$	—	$	419,007		$	(294	)
United States		—		—		—			—		—			15,395			—			—		15,395			—
Rights/Warrants
United States		263,451		13,908		—			—		—			107,528			—			—		384,887			107,528
Investment Funds
United States		5,607,602		301,290		(4,063,345	)		—		—			486,373			—			—		2,331,920			486,373
Total Investments		5,937,268		315,198		(4,063,345	)		—		—			609,002			353,086			—		3,151,209			593,607
Derivatives
Written Options		—		—		(159,497	)		—		—			89,537			—			—		(69,960	)		89,537
Total	$	5,937,268	$	315,198	$	(4,222,842	)	$	—	$	—		$	698,539		$	353,086		$	—	$	3,081,249		$	683,144
Benchmark-Free Fund
Common Stocks
China	$	381,895	$	251,324	$	(251,324	)	$	—	$	—		$	(1,693	)	$	1,760,533	‡	$	—	$	2,140,735		$	(253,017	)
Russia		965,229		—		(162,079	)		—		(474,978	)		(324,797	)		331,182	‡		—		334,557			(115,837	)
United Kingdom		—		—		—			—		—			—			573	‡		—		573			—
Preferred Stocks
Russia		—		—		—			—		—			—			38,771	‡		—		38,771			—
Securities Sold Short
Russia		—		—		(78,267	)		—		—			77,573			—			—		(694	)		77,573
Total Investments	$	1,347,124	$	251,324	$	(491,670	)	$	—	$	(474,978	)	$	(248,917	)	$	2,131,059		$	—	$	2,513,942		$	(291,281	)
Consolidated Implementation Fund
Common Stocks
China	$	965,024	$	879,828	$	(898,220	)	$	—	$	(33,595	)	$	(6,066	)	$	5,201,220	‡	$	—	$	6,108,191		$	(883,866	)
Netherlands		185		—		—			—		—			(10	)		—			—		175			(10	)
Russia		1,248,215		—		(479,875	)		—		(1,653,109	)		893,492			893,459	‡		—		902,182			(262,303	)
United Kingdom		—		—		—			—		—			—			753	‡		—		753			—
United States		8,961,199		1,460,086		(95,454	)		—		4,718			(455,276	)		—			—		9,875,273			(272,696	)
Preferred Stocks
Russia		—		—		—			—		—			—			85,666	‡		—		85,666			—
United States		875,250		—		(1,341,586	)		—		1,317,575			(667,939	)		—			—		183,300			2,831
Rights/Warrants
Canada		300,085		—		—			—		—			(299,863	)		—			—		222			(299,863	)
United States		682,940		51,933		(277,922	)		—		277,922			110,808			—			—		845,681			241,649

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February 28, 2023

	Balances as of February 28, 2022		Purchases/ Closing of Options		Sales/ Writing of Options			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of February 28, 2023			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2023
Consolidated Implementation Fund (continued)
Investment Funds
United States	$	22,156,919	$	2,904,671		(16,751,806	)	$	—	$	—		$	1,986,085		$	—		$	—	$	10,295,869		$	1,986,085
Debt Obligations
Bank Loans
Luxembourg		2,436,433		—		(2,429,250	)		695		(21,290	)		13,412			—			—		—			—
United States		18,428,534		23,316,579		(18,648,208	)		604,874		(1,880,423	)		(1,259,391	)		—			—		20,561,965			(1,354,975	)
Corporate Debt
Netherlands		55		—		—			—		—			2			—			—		57			2
United States		140		—		—			—		—			—			—			—		140			—
Total Investments		56,054,979		28,613,097		(40,922,321	)#		605,569		(1,988,202	)		315,254			6,181,098			—		48,859,474			(843,146	)
Derivatives
Written Options		—		—		(605,123	)		—		—			339,198			—			—		(265,925	)		339,198
Total	$	56,054,979	$	28,613,097	$	(41,527,444	)	$	605,569	$	(1,988,202	)	$	654,452		$	6,181,098		$	—	$	48,593,549		$	(503,948	)
Strategic Opportunities Allocation Fund
Common Stocks
China	$	61,485	$	—	$	—		$	—	$	—		$	(273	)	$	244,842	‡	$	—	$	306,054		$	(273	)
Russia		—		—		—			—		—			—			2,093	‡		—		2,093			—
Total Investments	$	61,485	$	—	$	—		$	—	$	—		$	(273	)	$	246,935		$	—	$	308,147		$	(273	)

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs as well as the impact of the Russian invasion of Ukraine on local and global markets, as applicable.

# Includes $1,994,673 of proceeds received from partial calls and/or principal paydowns as applicable.

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February 28, 2023

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended February 28, 2023 for Funds with material Level 3 investments.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)			Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Consolidated Alternative Allocation Fund
Options		(69,960	)	Fair Value	N/A**		N/A
Benchmark-Free Fund
Common Stock		—		Fair Value	Discount for lack of liquidity/marketability		$0 (N/A)
Common Stock		316,899		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)
Common Stock (American Depositary Receipt)		1,413		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)
Common Stock (Global Depositary Receipt)		16,818		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)
Preferred Stock		38,771		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)
Consolidated Implementation Fund
Common Stock		7,421,662		Fair Value	Average of broker quotes		N/A
Common Stock		59		Fair Value	Discount for lack of liquidity/marketability		$0 (N/A)
Corporate Debt		57		Fair Value	Discount for lack of liquidity/marketability		$0 (N/A)
Common Stock		853,672		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)
Common Stock (American Depositary Receipt)		2,570		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)
Common Stock (Global Depositary Receipt)		46,693		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)
Preferred Stock		85,666		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)
Options		(265,925	)	Fair Value	N/A**		N/A
Strategic Opportunities Allocation Fund
Common Stock		2,093		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of February 28, 2023, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund, Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund was $3,151,209, $2,140,041, $40,449,095 and $306,054, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

** Fair valued using the last traded price provided it is within the closing bid/ask; otherwise, the mid-price is used.

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

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February 28, 2023

on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Loan assignments and participations

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

Rights and warrants

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

Repurchase agreements

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

				Value (with		Weighted Average
Fund Name	Counterparty	Value ($)		associated collateral) ($)		Maturity (days)
Consolidated Alternative Allocation Fund	Daiwa Capital Markets America, Inc.		51,010,102		52,051,125		1.0
Benchmark-Free Fund	Nomura Securities International, Inc.		91,999,073		93,876,605		1.0
Consolidated Implementation Fund	Daiwa Capital Markets America, Inc.		280,048,230		285,763,500		1.0
Strategic Opportunities Allocation Fund	Nomura Securities International, Inc.		19,999,629		20,407,785		1.0

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for

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February 28, 2023

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

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities 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.

A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, the inability to invest proceeds from the sales of such securities and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline and bears the risk of total loss with respect to the investment of collateral.

At February 28, 2023, securities on loan at value and collateral from securities on loan are listed below:

	Value of securities		Cash		Non-cash		Total
Fund Name	on loan ($)		collateral ($)		collateral ($)*		collateral ($)
Benchmark-Free Fund		4,361,144		1,333,256		3,267,358		4,600,614
Consolidated Implementation Fund		18,231,045		1,324,193		18,062,828		19,387,021

* 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.

187

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February 28, 2023

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the dividend and/or interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Some Funds may also loan their portfolio securities through an enhanced custody program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales (see Securities lending above). Short sales outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Municipal obligations

Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Trade claims

Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

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

Alternative Allocation SPC Ltd., Alternative Asset SPC Ltd. and Implementation SPC Ltd. are wholly-owned subsidiaries of Alternative Allocation Fund, SGM Major Markets Fund and Implementation Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

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

188

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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.

As a result of court cases involving several countries across the European Union, certain Funds and/or underlying 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. Receivables resulting from EU tax reclaims pursued by liquidated underlying funds, if any, are reflected as Receivable from liquidated underlying funds 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. Doing so will enable a Fund to quantify and remit its tax liability related to any recoveries (on behalf of its shareholders).

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2023, 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.

189

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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

Differences related to:	Consolidated Alternative Allocation Fund	Benchmark- Free Allocation Fund	Benchmark- Free Fund	Global Asset Allocation Fund	Global Developed Equity Allocation Fund	Global Equity Allocation Fund	Consolidated Implementation Fund	International Developed Equity Allocation Fund	International Equity Allocation Fund	Consolidated SGM Major Markets Fund	Strategic Opportunities Allocation Fund
Capital loss carryforwards		X	X	X	X	X	X	X	X
Constructive sale gains	X						X
Controlled foreign corporation transactions	X						X			X
Defaulted bonds			X				X
Derivative contract transactions	X		X				X			X	X
Dividend income and withholding tax reclaim reserves			X				X				X
Dividends received from underlying investments			X				X				X
EU tax reclaims, associated interest entitlements and IRS closing agreement matters	X			X
Foreign currency transactions	X		X				X			X
Interest, accretion, and amortization							X
Late year ordinary losses		X
Losses on wash sale transactions	X	X	X	X	X	X	X	X	X	X	X
Mutual fund distributions received			X	X	X	X					X
Net operating losses	X
Passive foreign investment company transactions			X				X				X
Post-October capital losses	X	X	X	X	X	X			X		X
Real estate investment trust transactions	X
Securities sold short	X		X
Straddle loss deferrals	X
U.S. federal tax equalization utilized										X

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

	Tax year ended February 28, 2023						Tax year ended February 28, 2022
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Consolidated Alternative Allocation Fund		—		1,882,802		1,882,802		10,917,959		1,702,095		12,620,054
Benchmark-Free Allocation Fund		135,003,424		—		135,003,424		125,011,372		—		125,011,372
Benchmark-Free Fund		68,892,922		—		68,892,922		78,012,250		—		78,012,250
Global Asset Allocation Fund		12,529,455		—		12,529,455		38,535,578		—		38,535,578

190

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Notes to Financial Statements — (Continued)

February 28, 2023

	Tax year ended February 28, 2023						Tax year ended February 28, 2022
	Ordinary						Ordinary
	Income						Income
	(including						(including
	any net		Net Long-Term				any net		Net Long-Term
	short-term		Capital		Total		short-term		Capital		Total
Fund Name	capital gain) ($)		Gain ($)		Distributions ($)		capital gain) ($)		Gain ($)		Distributions ($)
Global Developed Equity Allocation Fund		2,450,037		2,981,732		5,431,769		6,882,171		3,777,166		10,659,337
Global Equity Allocation Fund		54,826,953		43,939,821		98,766,774		122,244,648		513,707		122,758,355
Consolidated Implementation Fund		132,069,652		—		132,069,652		150,035,453		—		150,035,453
International Developed Equity Allocation Fund		8,665,535		522,076		9,187,611		15,376,326		499,169		15,875,495
International Equity Allocation Fund		23,354,064		—		23,354,064		44,500,695		—		44,500,695
Consolidated SGM Major Markets Fund		4,727,778		10,389,144		15,116,922		9,313,520		17,533,030		26,846,550
Strategic Opportunities Allocation Fund		11,870,561		6,477,852		18,348,413		37,102,686		30,452,964		67,555,650

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, 2023, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)			Capital Loss Carryforwards ($)			Post-October Capital Losses Deferral ($)
Consolidated Alternative Allocation Fund		—		—		—			—			(1,148,688	)
Benchmark-Free Allocation Fund		10,509,520		—		(5,083,479	)		(134,493,219	)		(35,232,984	)
Benchmark-Free Fund		7,669,669		—		—			(214,979,398	)		(14,766,029	)
Global Asset Allocation Fund		2,184,376		—		—			(193,303,061	)		(14,650,740	)
Global Developed Equity Allocation Fund		1,092,876		—		—			(68,273,826	)		(3,432,919	)
Global Equity Allocation Fund		5,442,493		—		—			(16,072,032	)		(93,686,841	)
Consolidated Implementation Fund		27,685,258		—		—			(735,922,019	)		—
International Developed Equity Allocation Fund		57,058		—		(1,435	)		(134,339,489	)		—
International Equity Allocation Fund		2,947,922		—		(2,780	)		(119,884,822	)		(1,680,583	)
Consolidated SGM Major Markets Fund		6,482,229		14,836,779		—			—			—
Strategic Opportunities Allocation Fund		949,316		—		—			—			(6,082,865	)

As of February 28, 2023, 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, 2023, 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:

191

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Notes to Financial Statements — (Continued)

February 28, 2023

Fund Name	Short-Term ($)			Long-Term ($)
Consolidated Alternative Allocation Fund		—			—
Benchmark-Free Allocation Fund		(1,503,482	)		(132,989,737	)
Benchmark-Free Fund		(86,270,326	)		(128,709,072	)
Global Asset Allocation Fund		(2,005,315	)		(191,297,746	)
Global Developed Equity Allocation Fund		—			(68,273,826	)
Global Equity Allocation Fund		(1,252,771	)		(14,819,261	)
Consolidated Implementation Fund		(427,965,003	)		(307,957,016	)
International Developed Equity Allocation Fund		—			(134,339,489	)
International Equity Allocation Fund		(1,541,558	)		(118,343,264	)
Consolidated SGM Major Markets Fund		—			—
Strategic Opportunities Allocation Fund		—			—

As of February 28, 2023, 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		196,939,742		12,566,021		(22,980,123	)		(10,414,102	)		(1,715,319	)
Benchmark-Free Allocation Fund		4,826,435,714		—		(421,011,034	)		(421,011,034	)		—
Benchmark-Free Fund		1,379,015,327		77,561,445		(237,015,551	)		(159,454,106	)		(65,657	)
Global Asset Allocation Fund		406,090,197		1,355,283		(67,711,407	)		(66,356,124	)		—
Global Developed Equity Allocation Fund		71,393,002		1,418,193		(5,795,499	)		(4,377,306	)		—
Global Equity Allocation Fund		724,655,604		3,088,525		(137,777,197	)		(134,688,672	)		—
Consolidated Implementation Fund		4,080,796,294		289,213,474		(749,300,768	)		(460,087,294	)		(1,119,561	)
International Developed Equity Allocation Fund		276,991,962		—		(49,760,497	)		(49,760,497	)		—
International Equity Allocation Fund		604,527,311		—		(112,353,528	)		(112,353,528	)		—
Consolidated SGM Major Markets Fund*		232,825,333		40,549		(103,220,774	)		(103,180,225	)		(482,201	)
Strategic Opportunities Allocation Fund		200,156,897		15,155,145		(26,979,695	)		(11,824,550	)		—

* $124,058,622, ($101,900,670) and ($101,900,670) of the Fund’s Aggregate Cost ($), Gross Unrealized (Depreciation) ($) and Net Unrealized Appreciation (Depreciation) ($), respectively, relate to the Fund’s wholly-owned subsidiary.

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

192

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of February 28, 2023, 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.

During the year ended February 28, 2023, the Funds did not recognize dividends or foreign withholding taxes on local Russian shares, if any, due to restrictions imposed by the Russian government on dividend payments received by foreign shareholders like the Funds. At this time, no assurance can be given regarding the future payment of outstanding dividends by Russian issuers, the time period during which such Russia’s restrictions will remain in place or on the future ability of foreign shareholders to claim or otherwise gain control over or access to dividends paid.

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.

193

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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 February 28, 2023, 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 period from June 30, 2016 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.
Benchmark-Free Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.25% of the amount invested or redeemed.
Global Asset Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.15% of the amount invested or redeemed.
Global Developed Equity Allocation Fund	For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed.
Global Equity Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.18% of the amount invested or redeemed.
Implementation Fund	For the period from June 30, 2015 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed.
International Developed Equity Allocation Fund	For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed.
International Equity Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.25% of the amount invested or redeemed.
Strategic Opportunities Allocation Fund	For the period from June 30, 2016 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.

Recently-issued accounting guidance

In June 2022, the Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update 2022-03, “Fair Value Measurement (Topic 820) – Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions”(“ASU 2022-03”). The amendments in ASU 2022-03 apply to all entities that have investments in equity securities measured at fair value that are subject to a contractual sale restriction. The amendments in ASU 2022-03 clarify guidance for fair value measurement of an equity security subject to a contractual sale restriction and establish new disclosure requirements for such equity securities. The amendments in ASU 2022-03 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023 with early adoption permitted. GMO is currently evaluating the impact, if any, of the new disclosure requirements on the financial statements.

194

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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
Market Risk – Equities	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
Non-U.S. Investment 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
Futures Contracts Risk	X	X	X	X						X	X
Currency Risk	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
Fund of Funds 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
Commodities Risk	X	X	X	X				X		X	X
Smaller Company Risk	X	X	X	X	X	X	X	X	X		X
Credit Risk	X	X	X	X	X	X	X	X	X	X	X
Counterparty Risk	X	X	X	X	X	X	X	X	X	X	X
Event-Driven Risk	X	X						X			X
Illiquidity 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
Focused Investment Risk	X	X	X	X	X	X	X	X	X	X	X
Market Risk – Asset-Backed Securities		X	X	X				X		X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X	X	X
Non-Diversified Funds	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 possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds, other investment companies or in a wholly-owned subsidiary (collectively, “Underlying Funds”) are 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 and indirectly by the Fund.

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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.

• MARKET RISK — EQUITIES. The market price of an equity may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If the Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, a Fund runs the risk that the market price of the equity will not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• MANAGEMENT AND OPERATIONAL RISK. A Fund runs the risk that GMO’s investment techniques will fail to produce desired results. GMO uses quantitative models as part of its investment process. GMO’s models may 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. A Fund also runs the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities (particularly of companies tied economically to emerging countries) fluctuate more than those of U.S. securities. Many non-U.S. securities markets (particularly emerging markets) are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in 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. In addition, a Fund may be subject to non-U.S. taxes, 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. Also, the Funds need a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, 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. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. 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 index or underlying securities. A Fund may create short investment exposure selling securities short or 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. The risks of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• FUTURES CONTRACTS RISK. The loss to a Fund resulting from its use of futures contracts 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 liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that contract. When 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. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

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• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

• MARKET RISK – FIXED INCOME. 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).

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment (if any) in its wholly-owned subsidiary and the underlying funds (including underlying GMO Funds and ETFs) in which it invests, including the risk that its wholly-owned subsidiary (if any) and those underlying funds will not perform as expected. Because a Fund bears the fees and expenses of the underlying funds in which it invests, an increase in fees and expenses of an underlying fund or a reallocation of the Fund’s investments to underlying funds with higher fees or expenses will increase the Fund’s total expenses.

• LEVERAGING RISK. The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, the Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by the Fund and the time the Fund liquidates assets to meet that request.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations 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.

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such failure. In addition, investments in emerging country sovereign or quasi-sovereign debt are subject to the risk that a Fund may lack recourse against the issuer in the event of default. Investments in quasi-sovereign debt also are subject to the risk that the issuer will default independently of its sovereign. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to their issuers’ payment defaults and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and the Fund may incur additional expenses to seek recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, the Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s margin or collateral or otherwise honor its obligations.

• EVENT-DRIVEN RISK. If a Fund purchases securities in anticipation of a proposed merger, acquisition, exchange offer, tender offer, or other similar transaction and that transaction 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) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. Event-driven strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated.

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• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size or legal restrictions may limit or prevent a Fund or an underlying fund from selling particular securities or closing derivative positions at desirable prices.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) may disrupt securities markets and adversely affect particular economies and markets as well as global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Fund’s investments.

Russia’s invasion of Ukraine beginning in February 2022 has had, and could continue to have, severe adverse effects on regional and global economic markets for securities and commodities. For example, in response to Russia’s actions, various governments, including the United States, issued a series of broad-ranging economic sanctions against Russia that, among other things (i) prohibit doing business with certain Russian companies, financial institutions and individuals (e.g., officials); (ii) the removal of Russian banks from the Society for Worldwide Interbank Financial Telecommunications (commonly referred to as “SWIFT”), the electronic banking network that connects banks globally; and (iii) restrict the Russian Central Bank from undermining the impact of the sanctions. In retaliation for the sanctions and other actions by the U.S. and other countries, Russia has imposed strict capital controls limiting the ability of foreigners to trade on the Moscow Stock Exchange and to sell, receive or deliver assets held in the custody of local Russian banks (such as equities of Russian companies and Rubles). These actions by the United States and other countries have adversely affected (and similar actions in the future could adversely affect) the Russian economy and the value and liquidity of Russian securities. In particular, where a Fund holds securities of a Russian issuer that is subject to blocking sanctions imposed by the U.S. Department of the Treasury’s Office of Foreign Assets Control, those securities will be frozen and consequently unable to be sold or transferred. Moreover, the Russia/Ukraine conflict and related actions (such as those described above) have, and could continue to have, an adverse effect on global markets and liquidity, thereby negatively affecting the value of a Fund’s investments beyond any direct exposure to Russian issuers.

• FOCUSED INVESTMENT RISK. Investments focused in countries, regions, asset classes, sectors, industries, currencies, or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated.

• MARKET RISK — ASSET BACKED SECURITIES. 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 streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure, creditworthiness of any credit-support provider, and reliability of various other service providers with access to the payment stream), and 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.

• LARGE SHAREHOLDER RISK. To the extent that 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 that shareholder or group of all or a large portion of their Fund shares will require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• NON-DIVERSIFIED FUNDS. Alternative Allocation Fund and SGM Major Markets Fund are non-diversified investment companies under the 1940 Act and therefore a decline in the market price of a particular security held by the Funds may affect the Funds’ performance more than if the Funds were a diversified investment company.

4. Derivative financial instruments

During the year ended February 28, 2023, only Consolidated Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, Consolidated 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).

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

Consolidated Alternative Allocation Fund may use derivatives in some or all of the ways described below.

Use of Derivatives by 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.

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

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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.

For Funds that held derivatives during the year ended February 28, 2023, 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
Adjust interest rate exposure	X			X
Maintain the diversity and liquidity of the portfolio	X	X	X	X
Substitute for direct investment				X

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				Consolidated
	Consolidated			SGM	Strategic
	Alternative	Benchmark-	Consolidated	Major	Opportunities
	Allocation	Free	Implementation	Markets	Allocation
Type of Derivative and Objective for Use (continued)	Fund	Fund	Fund	Fund	Fund
Options (Purchased)
Substitute for direct equity investment	X		X
Options (Written)
Substitute for direct equity investment	X		X
Swap contracts
Achieve exposure to a reference entity’s credit	X		X
Adjust exposure to certain markets				X
Adjust interest rate exposure	X	X	X	X
Substitute for direct investment in securities	X	X	X		X

Forward currency contracts

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

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

Futures contracts

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

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased

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option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

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

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

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

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap 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.

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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.

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.

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

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disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

* * *

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2023 and the Statements of Operations for the year ended February 28, 2023^:

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.

										Foreign			Interest
	Credit			Commodity			Equity			Currency			Rate
	Contracts			Contracts			Contracts			Contracts			Contracts			Total
Consolidated Alternative Allocation Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	1,290,869		$	—		$	1,290,869
Unrealized Appreciation on Futures Contracts¤		—			165,534			398,397			—			146,728			710,659
Swap Contracts, at value¤		7,907,211			—			407,046			—			2,325,154			10,639,411
Total	$	7,907,211		$	165,534		$	805,443		$	1,290,869		$	2,471,882		$	12,640,939
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(818,439	)	$	—		$	(818,439	)
Unrealized Depreciation on Futures Contracts¤		—			(103,109	)		(557,674	)		—			(16,059	)		(676,842	)
Written Options, at value		(91,162	)		—			(1,180,314	)		—			—			(1,271,476	)
Swap Contracts, at value¤		(2,541,464	)		—			(124,013	)		—			(1,880,438	)		(4,545,915	)
Total	$	(2,632,626	)	$	(103,109	)	$	(1,862,001	)	$	(818,439	)	$	(1,896,497	)	$	(7,312,672	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	(2,151	)	$	—		$	(229,929	)	$	(232,080	)
Futures Contracts		—			406,003			234,609			—			1,746,983			2,387,595
Written Options		—			—			(405,572	)		—			749,738			344,166
Swap Contracts		2,302,270			(288,322	)		1,119,535			—			(2,588,895	)		544,588
Forward Currency Contracts		—			—			—			(5,993,187	)		—			(5,993,187	)
Total	$	2,302,270		$	117,681		$	946,421		$	(5,993,187	)	$	(322,103	)	$	(2,948,918	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	—		$	—		$	(19,359	)	$	(19,359	)
Futures Contracts		—			62,425			459,161			—			(94,422	)		427,164
Written Options		37,396			—			(172,807	)		—			—			(135,411	)
Swap Contracts		(1,240,676	)		—			496,498			—			1,365,070			620,892
Forward Currency Contracts		—			—			—			1,904,162			—			1,904,162
Total	$	(1,203,280	)	$	62,425		$	782,852		$	1,904,162		$	1,251,289		$	2,797,448

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										Foreign			Interest
	Credit			Commodity			Equity			Currency			Rate
	Contracts			Contracts			Contracts			Contracts			Contracts			Total
Benchmark-Free Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	448,540		$	—		$	448,540
Swap Contracts, at value¤		—			—			730,289			—			2,726,041			3,456,330
Total	$	—		$	—		$	730,289		$	448,540		$	2,726,041		$	3,904,870
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(562,651	)	$	—		$	(562,651	)
Swap Contracts, at value¤		—			—			—			—			(2,776,265	)		(2,776,265	)
Total	$	—		$	—		$	—		$	(562,651	)	$	(2,776,265	)	$	(3,338,916	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	46,020,438		$	—		$	—		$	46,020,438
Swap Contracts		—			—			14,948,225			—			(12,945,162	)		2,003,063
Forward Currency Contracts		—			—			—			715,353			—			715,353
Total	$	—		$	—		$	60,968,663		$	715,353		$	(12,945,162	)	$	48,738,854
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	(20,222,689	)	$	—		$	—		$	(20,222,689	)
Swap Contracts		—			—			(312,653	)		—			779,673			467,020
Forward Currency Contracts		—			—			—			434,285			—			434,285
Total	$	—		$	—		$	(20,535,342	)	$	434,285		$	779,673		$	(19,321,384	)
Consolidated Implementation Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	5,321,932		$	—		$	5,321,932
Unrealized Appreciation on Futures Contracts¤		—			762,282			1,866,229			—			653,626			3,282,137
Swap Contracts, at value¤		155,320			—			3,514,056			—			19,775,772			23,445,148
Total	$	155,320		$	762,282		$	5,380,285		$	5,321,932		$	20,429,398		$	32,049,217
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(6,102,855	)	$	—		$	(6,102,855	)
Unrealized Depreciation on Futures Contracts¤		—			(478,416	)		(2,485,887	)		—			(62,223	)		(3,026,526	)
Written Options, at value		—			—			(2,838,687	)		—			—			(2,838,687	)
Swap Contracts, at value¤		(384,832	)		—			(579,637	)		—			(20,062,369	)		(21,026,838	)
Total	$	(384,832	)	$	(478,416	)	$	(5,904,211	)	$	(6,102,855	)	$	(20,124,592	)	$	(32,994,906	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	15,525		$	—		$	—		$	15,525
Futures Contracts		—			5,110,169			127,682,784			—			8,097,186			140,890,139
Written Options		—			—			1,061,715			—			—			1,061,715
Swap Contracts		(149,626	)		—			15,397,879			—			(12,110,008	)		3,138,245
Forward Currency Contracts		—			—			—			(20,013,196	)		—			(20,013,196	)
Total	$	(149,626	)	$	5,110,169		$	144,157,903		$	(20,013,196	)	$	(4,012,822	)	$	125,092,428
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	62,806		$	—		$	—		$	62,806
Futures Contracts		—			(946,758	)		(46,072,671	)		—			(200,015	)		(47,219,444	)
Written Options		—			—			278,514			—			—			278,514
Swap Contracts		(183,867	)		—			898,193			—			4,739,268			5,453,594
Forward Currency Contracts		—			—			—			5,235,136			—			5,235,136
Total	$	(183,867	)	$	(946,758	)	$	(44,833,158	)	$	5,235,136		$	4,539,253		$	(36,189,394	)

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									Foreign			Interest
	Credit		Commodity			Equity			Currency			Rate
	Contracts		Contracts			Contracts			Contracts			Contracts			Total
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	807,354		$	—		$	807,354
Unrealized Appreciation on Futures Contracts¤		—		329,801			808,051			—			294,513			1,432,365
Swap Contracts, at value¤		—		—			682,712			—			—			682,712
Total	$	—	$	329,801		$	1,490,763		$	807,354		$	294,513		$	2,922,431
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(806,355	)	$	—		$	(806,355	)
Unrealized Depreciation on Futures Contracts¤		—		(207,277	)		(1,042,357	)		—			(26,695	)		(1,276,329	)
Swap Contracts, at value¤		—		—			(294,036	)		—			—			(294,036	)
Total	$	—	$	(207,277	)	$	(1,336,393	)	$	(806,355	)	$	(26,695	)	$	(2,376,720	)
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	3,296,703		$	(3,589,398	)	$	—		$	4,494,853		$	4,202,158
Swap Contracts		—		—			827,298			—			—			827,298
Forward Currency Contracts		—		—			—			(6,858,168	)		—			(6,858,168	)
Total	$	—	$	3,296,703		$	(2,762,100	)	$	(6,858,168	)	$	4,494,853		$	(1,828,712	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(727,856	)	$	2,858,735		$	—		$	(329,222	)	$	1,801,657
Swap Contracts		—		—			1,120,017			—			—			1,120,017
Forward Currency Contracts		—		—			—			300,089			—			300,089
Total	$	—	$	(727,856	)	$	3,978,752		$	300,089		$	(329,222	)	$	3,221,763
Strategic Opportunities Allocation Fund
Asset Derivatives
Swap Contracts, at value¤	$	—	$	—		$	99,263		$	—		$	—		$	99,263
Total	$	—	$	—		$	99,263		$	—		$	—		$	99,263
Net Realized Gain (Loss) on
Swap Contracts	$	—	$	—		$	582,171		$	—		$	—		$	582,171
Total	$	—	$	—		$	582,171		$	—		$	—		$	582,171
Change in Net Appreciation (Depreciation) on
Swap Contracts	$	—	$	—		$	(46,249	)	$	—		$	—		$	(46,249	)
Total	$	—	$	—		$	(46,249	)	$	—		$	—		$	(46,249	)

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

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

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a

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decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at February 28, 2023, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 28, 2023:

Consolidated Alternative Allocation Fund

	Gross Derivative					Derivative			Net Amount
	Assets Subject to		Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreements		Received			Available for Offset			Assets
Bank of America, N.A.	$	93,304	$	(15,106	)	$	(33,335	)	$	44,863
Barclays Bank PLC		312,253		(89,357	)		(160,639	)		62,257
Citibank N.A.		613,963		(499,082	)		(114,881	)		—	*
Deutsche Bank AG		30,992		—			(30,992	)		—
Goldman Sachs International		2,363,582		(2,205,919	)		(157,663	)		—	*
JPMorgan Chase Bank, N.A.		1,603,442		(152,616	)		(1,089,626	)		361,200
Merrill Lynch Capital Services, Inc.		490,875		—			(275,091	)		215,784
Morgan Stanley & Co. International PLC		3,873,498		(3,240,000	)		(524,332	)		109,166
Morgan Stanley Capital Services LLC		115,102		(10,000	)		—			105,102
State Street Bank and Trust Company		549,737		(335,819	)		(30,226	)		183,692
UBS AG		124,504		—			(54,191	)		70,313
Total	$	10,171,252	$	(6,547,899	)	$	(2,470,976	)	$	1,152,377

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Consolidated Alternative Allocation Fund (Continued)

	Gross Derivative					Derivative		Net Amount
	Liabilities Subject to			Collateral		Assets/Liabilities		of Derivative
Counterparty	Master Agreement			Pledged		Available for Offset		Liabilities
Bank of America, N.A.	$	(33,335	)	$	—	$	33,335	$	—
Barclays Bank PLC		(160,639	)		—		160,639		—
Citibank N.A.		(114,881	)		—		114,881		—
Citigroup Global Markets Inc.		(167,516	)		—		—		(167,516	)
Deutsche Bank AG		(50,163	)		19,171		30,992		—	*
Goldman Sachs International		(157,663	)		—		157,663		—
JPMorgan Chase Bank, N.A.		(1,089,626	)		—		1,089,626		—
Merrill Lynch Capital Services, Inc.		(275,091	)		—		275,091		—
Morgan Stanley & Co. International PLC		(524,332	)		—		524,332		—
Morgan Stanley & Co. LLC		(1,200,245	)		1,200,245		—		—	*
State Street Bank and Trust Company		(30,226	)		—		30,226		—
UBS AG		(54,191	)		—		54,191		—
Total	$	(3,857,908	)	$	1,219,416	$	2,470,976	$	(167,516	)

Benchmark-Free Fund

	Gross Derivative						Derivative			Net Amount
	Assets Subject to			Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreements			Received			Available for Offset			Assets
Bank of America, N.A.	$	357		$	—		$	(357	)	$	—
Barclays Bank PLC		285,208			—			(102,609	)		182,599
Citibank N.A.		4,501			—			(4,501	)		—
Deutsche Bank AG		15,206			—			—			15,206
Goldman Sachs International		74,851			—			(23,157	)		51,694
JPMorgan Chase Bank, N.A.		12,789			—			(12,789	)		—
Morgan Stanley & Co. International PLC		101,165			—			(101,165	)		—
Morgan Stanley Capital Services LLC		668,582			(379,000	)		—			289,582
State Street Bank and Trust Company		16,170			—			(12,906	)		3,264
Total	$	1,178,829		$	(379,000	)	$	(257,484	)	$	542,345
	Gross Derivative						Derivative			Net Amount
	Liabilities Subject to			Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreement			Pledged			Available for Offset			Liabilities
Bank of America, N.A.	$	(23,826	)	$	—		$	357		$	(23,469	)
Barclays Bank PLC		(102,609	)		—			102,609			—
Citibank N.A.		(5,340	)		—			4,501			(839	)
Goldman Sachs International		(23,157	)		—			23,157			—
JPMorgan Chase Bank, N.A.		(55,987	)		36,987			12,789			(6,211	)
Morgan Stanley & Co. International PLC		(338,826	)		90,969			101,165			(146,692	)
State Street Bank and Trust Company		(12,906	)		—			12,906			—
Total	$	(562,651	)	$	127,956		$	257,484		$	(177,211	)

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Consolidated Implementation Fund

	Gross Derivative						Derivative			Net Amount
	Assets Subject to			Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreements			Received			Available for Offset			Assets
Bank of America, N.A.	$	198,703		$	—		$	(198,703	)	$	—
Barclays Bank PLC		2,269,561			(840,000	)		(964,233	)		465,328
Citibank N.A.		32,663			—			(32,663	)		—
Deutsche Bank AG		208,392			—			(208,392	)		—
Goldman Sachs International		617,934			(201,148	)		(416,786	)		—	*
JPMorgan Chase Bank, N.A.		1,005,884			—			(571,951	)		433,933
Morgan Stanley & Co. International PLC		1,412,801			—			(1,412,801	)		—
Morgan Stanley Capital Services LLC		2,125,796			(1,620,000	)		—			505,796
State Street Bank and Trust Company		324,510			(128,212	)		(196,298	)		—	*
UBS AG		795,064			(398,226	)		(372,297	)		24,541
Total	$	8,991,308		$	(3,187,586	)	$	(4,374,124	)	$	1,429,598
	Gross Derivative						Derivative			Net Amount
	Liabilities Subject to			Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreement			Pledged			Available for Offset			Liabilities
Bank of America, N.A.	$	(252,108	)	$	12,793		$	198,703		$	(40,612	)
Barclays Bank PLC		(964,233	)		—			964,233			—
Citibank N.A.		(38,904	)		—			32,663			(6,241	)
Deutsche Bank AG		(241,002	)		32,610			208,392			—	*
Goldman Sachs International		(416,786	)		—			416,786			—
JPMorgan Chase Bank, N.A.		(571,951	)		—			571,951			—
Morgan Stanley & Co. International PLC		(3,839,975	)		2,427,174			1,412,801			—	*
Morgan Stanley & Co. LLC		(2,838,687	)		2,838,687			—			—	*
State Street Bank and Trust Company		(196,298	)		—			196,298			—
UBS AG		(372,297	)		—			372,297			—
Total	$	(9,732,241	)	$	5,311,264		$	4,374,124		$	(46,853	)

Consolidated SGM Major Markets Fund

	Gross Derivative					Derivative			Net Amount
	Assets Subject to		Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreements		Received			Available for Offset			Assets
Barclays Bank PLC	$	19,620	$	—		$	(19,620	)	$	—
Deutsche Bank AG		43,562		—			(43,562	)		—
Goldman Sachs International		321,773		—			(184,378	)		137,395
JPMorgan Chase Bank, N.A.		360,444		(107,000	)		(15,951	)		237,493
Morgan Stanley & Co. International PLC		286,705		—			(286,705	)		—
State Street Bank and Trust Company		90,043		(4,831	)		(44,952	)		40,260
UBS AG		367,919		—			(133,638	)		234,281
Total	$	1,490,066	$	(111,831	)	$	(728,806	)	$	649,429

209

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February 28, 2023

Consolidated SGM Major Markets Fund (Continued)

	Gross Derivative					Derivative		Net Amount
	Liabilities Subject to			Collateral		Assets/Liabilities		of Derivative
Counterparty	Master Agreement			Pledged		Available for Offset		Liabilities
Barclays Bank PLC	$	(52,363	)	$	—	$	19,620	$	(32,743	)
Deutsche Bank AG		(107,725	)		45,929		43,562		(18,234	)
Goldman Sachs International		(184,378	)		—		184,378		—
JPMorgan Chase Bank, N.A.		(15,951	)		—		15,951		—
Morgan Stanley & Co. International PLC		(561,384	)		—		286,705		(274,679	)
State Street Bank and Trust Company		(44,952	)		—		44,952		—
UBS AG		(133,638	)		—		133,638		—
Total	$	(1,100,391	)	$	45,929	$	728,806	$	(325,656	)

Strategic Opportunities Allocation Fund

	Gross Derivative				Derivative		Net Amount
	Assets Subject to		Collateral		Assets/Liabilities		of Derivative
Counterparty	Master Agreements		Received		Available for Offset		Assets
Goldman Sachs International	$	9,259	$	—	$	—	$	9,259
Morgan Stanley Capital Services LLC		90,004		—		—		90,004
Total	$	99,263	$	—	$	—	$	99,263

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

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 28, 2023:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Options (Contracts)		Swap Contracts ($)
Consolidated Alternative Allocation Fund		183,920,953		89,765,808		46,748,417		913		713,474,652
Benchmark-Free Fund		152,641,647		115,160,263		—		—		679,374,114
Consolidated Implementation Fund		1,146,238,409		713,601,994		—		3,612		4,384,207,260
Consolidated SGM Major Markets Fund		131,355,356		231,230,498		—		—		49,844,487
Strategic Opportunities Allocation Fund		—		—		—		—		3,983,555

210

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Notes to Financial Statements — (Continued)

February 28, 2023

5. Fees and other transactions with affiliates

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

	Alternative Allocation Fund			Benchmark- Free Allocation Fund			Benchmark- Free Fund		Global Asset Allocation Fund		Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Implementation Fund		International Developed Equity Allocation Fund		International Equity Allocation Fund		SGM Major Markets Fund			Strategic Opportunities Allocation Fund
Management Fee		0.73	%		0.65	%		—		—		—		—		—		—		—		0.85	%		—

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service or supplemental support fee. Shareholder service fees are paid to GMO for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class MF shares of Benchmark-Free Allocation Fund are subject to a supplemental support fee payable to GMO for providing supplemental support services to Class MF shareholders and their investment advisers. Those supplemental support services include, without limitation, (i) providing and presenting (a) educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser; (b) similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests; (c) information for inclusion in the quarterly or other periodic reports of the investor; (ii) responding to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation; (iii) providing access to and setting up meetings with GMO’s Chief Investment Strategist and Head of GMO’s Asset Allocation Team and other investment professionals of GMO; (iv) assisting with inquiries from an investor’s investment adviser; and (v) providing such other assistance as may be requested from time to time by an investor or its agent, so long as that assistance is not primarily intended to result in the sale of Fund shares.

Shareholder service and/or supplemental support fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class II			Class III			Class IV			Class V			Class VI			Class MF			Class R6			Class I
Alternative Allocation Fund		0.22	%*		0.15	%*		0.105	%*		0.085	%*		0.055	%					0.22	%		0.22	%
Benchmark-Free Allocation Fund					0.15	%		0.10	%								0.10	%		0.15	%		0.15	%
SGM Major Markets Fund					0.15	%		0.10	%*					0.055	%					0.15	%*		0.15	%

* Class is offered but has no shareholders as of February 28, 2023.

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.

211

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

For each Fund (prior to June 30, 2022), other than Alternative Allocation Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For the period starting June 30, 2022, for Implementation Fund and SGM Major Markets Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceed 0.01% of the Funds’ average daily net assets.

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 with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.99% for Class II shares; 0.92% for Class III shares; 0.875% for Class IV shares; 0.855% for Class V shares; 0.825% for Class VI shares; 0.99% for Class R6 shares; and 0.99% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (collectively, “Excluded Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap set forth above or any 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. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses. GMO also has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees 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. The reimbursement and waiver arrangements described above, including the Expense Cap, will remain in effect through at least June 30, 2023 and may not be terminated prior to this date without the action or consent of the Trust’s Board of Trustees.

For the year ended February 28, 2023, GMO did not recoup any previously recorded waivers and/or reimbursements.

On February 28, 2023, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 29, 2024		Expiring the year ending February 28, 2025		Expiring the year ending February 28, 2026
Alternative Allocation Fund, Class VI	$	136,191	$	245,810	$	214,691
Alternative Allocation Fund, Class R6	$	235	$	185	$	41
Alternative Allocation Fund, Class I	$	145,615	$	264,576	$	466,588

For each Fund, other than Benchmark-Free Allocation Fund, that pays GMO a management fee and shareholder service fee, GMO has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees 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.

212

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

These contractual waivers and reimbursements will continue through at least June 30, 2023 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, GMO has contractually agreed to waive or reduce the Fund’s management, shareholder service, and supplemental support fees to the extent necessary to offset the management fees and shareholder service fees 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. In addition, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares 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, 2023, 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 year ended February 28, 2023 is shown in the table below and is included in the Statements of Operations.

213

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Fund Name	Independent Trustees and their legal counsel ($)
Consolidated Alternative Allocation Fund	9,524
Benchmark-Free Allocation Fund	221,637
Benchmark-Free Fund	64,683
Global Asset Allocation Fund	17,230
Global Developed Equity Allocation Fund	3,747
Global Equity Allocation Fund	65,284
Consolidated Implementation Fund	194,127
International Developed Equity Allocation Fund	9,752
International Equity Allocation Fund	24,303
Consolidated SGM Major Markets Fund	10,321
Strategic Opportunities Allocation Fund	7,499

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2023, 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	0.023%
Benchmark-Free Allocation Fund	0.400%*
Benchmark-Free Fund	0.117%
Global Asset Allocation Fund	0.662%*
Global Developed Equity Allocation Fund	0.516%
Global Equity Allocation Fund	0.557%
International Developed Equity Allocation Fund	0.605%
International Equity Allocation Fund	0.654%
Strategic Opportunities Allocation Fund	0.342%

* 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 other GMO Trust 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 or to another GMO Trust fund complies with rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2023, Strategic Opportunities Allocation Fund engaged in cross trade sales in the amount of $8,936,387 with net realized losses of $1,366,724.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2023 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		159,402,253		321,312,409		212,063,776		330,751,860
Benchmark-Free Allocation Fund		—		893,829,335		—		1,447,357,988
Benchmark-Free Fund		144,608,964		1,249,509,042		193,345,041		1,454,374,591
Global Asset Allocation Fund		—		129,478,223		—		359,250,179
Global Developed Equity Allocation Fund		—		28,359,121		—		38,471,458

214

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
	U.S. Government		Investments (Non-U.S.		U.S. Government		Investments (Non-U.S.
Fund Name	Securities		Government Securities)		Securities		Government Securities)
Global Equity Allocation Fund		—		454,098,569		—		1,242,592,453
Consolidated Implementation Fund		545,532,858		3,924,238,070		580,916,074		4,267,631,827
International Developed Equity Allocation Fund		—		31,781,791		—		19,760,084
International Equity Allocation Fund		—		56,354,928		—		160,312,181
Consolidated SGM Major Markets Fund		114,765,278		—		232,992,078		—
Strategic Opportunities Allocation Fund		10,919,557		126,324,506		29,219,543		141,741,579

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 February 28, 2023

				Percentage of
				outstanding shares of
	Number of			the Fund held by those
	shareholders that held			shareholders owning
	more than 10% of the			greater than 10% of the
	outstanding shares of			outstanding shares of
Fund Name	the Fund			the Fund
Alternative Allocation Fund		3	‡		86.14	%
Benchmark-Free Allocation Fund		1			24.50	%
Benchmark-Free Fund		3			40.15	%
Global Asset Allocation Fund		1			21.27	%
Global Developed Equity Allocation Fund		2			99.80	%
Global Equity Allocation Fund		3			61.50	%
Implementation Fund		1	‡		100.00	%
International Developed Equity Allocation Fund		2			95.46	%
International Equity Allocation Fund		4			89.58	%
SGM Major Markets Fund		2	#		91.26	%
Strategic Opportunities Allocation Fund		3			84.45	%

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

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

215

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

9. Share transactions

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

	Year Ended						Year Ended
	February 28, 2023						February 28, 2022
	Shares			Amount			Shares			Amount
Consolidated Alternative Allocation Fund
Class VI:
Shares sold		248,004		$	4,519,995			451,346		$	8,431,840
Shares issued to shareholders in reinvestment of distributions		32,535			566,438			350,410			6,442,811
Shares repurchased		(4,855,485	)		(86,707,512	)		(5,696,131	)		(106,350,858	)
Net increase (decrease)		(4,574,946	)	$	(81,621,079	)		(4,894,375	)	$	(91,476,207	)
Class R6:
Shares sold		296		$	5,338			2,173		$	39,785
Shares issued to shareholders in reinvestment of distributions		14			239			831			15,298
Shares repurchased		(1,299	)		(22,947	)		(27,006	)		(500,411	)
Net increase (decrease)		(989	)	$	(17,370	)		(24,002	)	$	(445,328	)
Class I:
Shares sold		2,656,932		$	47,445,755			6,111,527		$	113,826,130
Shares issued to shareholders in reinvestment of distributions		40,690			704,752			190,953			3,500,091
Shares repurchased		(2,957,606	)		(52,585,684	)		(12,228,627	)		(232,055,396	)
Net increase (decrease)		(259,984	)	$	(4,435,177	)		(5,926,147	)	$	(114,729,175	)
Benchmark-Free Allocation Fund
Class III:
Shares sold		6,170,726		$	153,112,114			6,218,317		$	163,296,953
Shares issued to shareholders in reinvestment of distributions		1,700,038			41,055,923			1,502,582			38,090,456
Shares repurchased		(13,268,957	)		(323,224,193	)		(25,965,137	)		(690,286,283	)
Net increase (decrease)		(5,398,193	)	$	(129,056,156	)		(18,244,238	)	$	(488,898,874	)
Class IV:
Shares sold		6,932,185		$	170,895,298			9,376,363		$	249,787,539
Shares issued to shareholders in reinvestment of distributions		1,108,221			26,763,533			1,019,586			25,846,502
Shares repurchased		(14,851,062	)		(366,844,337	)		(31,796,804	)		(829,350,870	)
Net increase (decrease)		(6,810,656	)	$	(169,185,506	)		(21,400,855	)	$	(553,716,829	)
Class MF:
Shares sold		2,625,655		$	65,056,569			1,764,590		$	46,575,757
Shares issued to shareholders in reinvestment of distributions		1,413,113			34,154,940			1,367,575			34,695,369
Shares repurchased		(14,268,897	)		(347,835,107	)		(15,595,646	)		(411,391,047	)
Net increase (decrease)		(10,230,129	)	$	(248,623,598	)		(12,463,481	)	$	(330,119,921	)
Class R6:
Shares sold		3,970,400		$	97,481,607			3,354,486		$	88,104,972
Shares issued to shareholders in reinvestment of distributions		348,177			8,401,511			231,232			5,857,098
Shares repurchased		(3,693,731	)		(89,437,851	)		(4,851,336	)		(129,002,250	)
Net increase (decrease)		624,846		$	16,445,267			(1,265,618	)	$	(35,040,180	)

216

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Year Ended						Year Ended
	February 28, 2023						February 28, 2022
	Shares			Amount			Shares			Amount
Benchmark-Free Allocation Fund (continued)
Class I:
Shares sold		4,738,564		$	116,465,587			4,397,334		$	116,032,792
Shares issued to shareholders in reinvestment of distributions		304,924			7,357,817			286,161			7,248,470
Shares repurchased		(6,742,198	)		(163,274,941	)		(2,900,373	)		(76,507,018	)
Net increase (decrease)		(1,698,710	)	$	(39,451,537	)		1,783,122		$	46,774,244
Benchmark-Free Fund
Class III:
Shares sold		1,484,656		$	24,689,894			—		$	—
Shares issued to shareholders in reinvestment of distributions		3,920,225			67,377,050			4,034,320			76,313,230
Shares repurchased		(26,235,497	)		(470,868,019	)		(29,222,706	)		(564,384,055	)
Net increase (decrease)		(20,830,616	)	$	(378,801,075	)		(25,188,386	)	$	(488,070,825	)
Global Asset Allocation Fund
Class III:
Shares sold		473,497		$	14,575,090			1,002,856		$	36,431,590
Shares issued to shareholders in reinvestment of distributions		357,538			10,298,498			920,717			31,925,106
Shares repurchased		(8,400,721	)		(259,575,083	)		(3,947,615	)		(142,005,422	)
Net increase (decrease)		(7,569,686	)	$	(234,701,495	)		(2,024,042	)	$	(73,648,726	)
Class R6:
Shares sold		64,764		$	1,982,932			106,284		$	3,777,306
Shares issued to shareholders in reinvestment of distributions		11,108			319,734			19,569			679,038
Shares repurchased		(188,328	)		(5,666,318	)		(4,570,426	)		(166,223,124	)
Net increase (decrease)		(112,456	)	$	(3,363,652	)		(4,444,573	)	$	(161,766,780	)
Class I:
Shares sold		466,367		$	13,525,172			50,466		$	1,828,908
Shares issued to shareholders in reinvestment of distributions		18,361			528,965			21,862			758,336
Shares repurchased		(420,725	)		(12,679,758	)		(275,252	)		(9,978,958	)
Net increase (decrease)		64,003		$	1,374,379			(202,924	)	$	(7,391,714	)
Global Developed Equity Allocation Fund
Class III:
Shares issued to shareholders in reinvestment of distributions		259,677		$	5,190,290			380,228		$	9,954,295
Shares repurchased		(739,254	)		(15,371,367	)		(245,335	)		(6,979,443	)
Net increase (decrease)		(479,577	)	$	(10,181,077	)		134,893		$	2,974,852
Global Equity Allocation Fund
Class III:
Shares sold		1,532,903		$	37,757,925			1,623		$	50,000
Shares issued to shareholders in reinvestment of distributions		3,990,115			92,127,935			3,748,182			114,586,982
Shares repurchased		(37,940,588	)		(937,379,548	)		(3,319,307	)		(106,672,406	)
Net increase (decrease)		(32,417,570	)	$	(807,493,688	)		430,498		$	7,964,576

217

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Year Ended						Year Ended
	February 28, 2023						February 28, 2022
	Shares			Amount			Shares			Amount
Global Equity Allocation Fund (continued)
Class R6:
Shares sold		1,173,061		$	29,466,929			29,814		$	945,665
Shares issued to shareholders in reinvestment of distributions		19,127			441,589			17,711			541,431
Shares repurchased		(44,928	)		(1,113,582	)		(25,923	)		(837,307	)
Net increase (decrease)		1,147,260		$	28,794,936			21,602		$	649,789
Class I:
Shares sold		170,599		$	4,396,674			16,756		$	528,647
Shares issued to shareholders in reinvestment of distributions		16,381			377,718			6,260			191,269
Shares repurchased		(75,618	)		(1,802,725	)		(5,730	)		(184,132	)
Net increase (decrease)		111,362		$	2,971,667			17,286		$	535,784
Consolidated Implementation Fund
Core Class:
Shares sold		27,254,347		$	330,599,610			17,972,770		$	234,356,377
Shares issued to shareholders in reinvestment of distributions		11,299,681			132,069,652			12,158,465			150,035,453
Shares repurchased		(107,765,470	)		(1,293,197,003	)		(126,745,748	)		(1,639,490,784	)
Net increase (decrease)		(69,211,442	)	$	(830,527,741	)		(96,614,513	)	$	(1,255,098,954	)
International Developed Equity Allocation Fund
Class III:
Shares sold		2,054,507		$	30,234,734			1,325,004		$	23,754,550
Shares issued to shareholders in reinvestment of distributions		368,396			5,246,314			509,965			8,777,681
Shares repurchased		(1,541,811	)		(23,674,258	)		(1,049,987	)		(18,578,827	)
Net increase (decrease)		881,092		$	11,806,790			784,982		$	13,953,404
Class R6:
Shares sold		28,805		$	427,463			40,654		$	734,355
Shares issued to shareholders in reinvestment of distributions		22,740			323,823			31,628			544,452
Shares repurchased		(26,596	)		(382,957	)		(53,617	)		(965,399	)
Net increase (decrease)		24,949		$	368,329			18,665		$	313,408
International Equity Allocation Fund
Class III:
Shares sold		1,109,511		$	28,343,983			221,915		$	7,458,093
Shares issued to shareholders in reinvestment of distributions		513,528			12,524,610			913,296			29,091,830
Shares repurchased		(5,222,926	)		(144,440,511	)		(4,811,910	)		(155,557,290	)
Net increase (decrease)		(3,599,887	)	$	(103,571,918	)		(3,676,699	)	$	(119,007,367	)
Class R6:
Shares sold		318,017		$	8,752,419			168,085		$	5,589,401
Shares issued to shareholders in reinvestment of distributions		414,604			10,107,910			481,805			15,335,754
Shares repurchased		(898,761	)		(22,014,901	)		(556,099	)		(18,171,988	)
Net increase (decrease)		(166,140	)	$	(3,154,572	)		93,791		$	2,753,167

218

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

	Year Ended						Year Ended
	February 28, 2023						February 28, 2022
	Shares			Amount			Shares			Amount
Consolidated SGM Major Markets Fund
Class III:
Shares sold		207,587		$	5,795,420			665,260		$	20,088,895
Shares issued to shareholders in reinvestment of distributions		1,124			29,625			1,205			35,766
Shares repurchased		(1,210,226	)		(33,150,649	)		(486,422	)		(14,257,990	)
Net increase (decrease)		(1,001,515	)	$	(27,325,604	)		180,043		$	5,866,671
Class VI:
Shares sold		597		$	16,927			1,958,773		$	61,237,349
Shares issued to shareholders in reinvestment of distributions		475,727			12,534,788			723,031			21,457,199
Shares repurchased		(3,289,239	)		(89,638,909	)		(5,419,611	)		(160,325,548	)
Net increase (decrease)		(2,812,915	)	$	(77,087,194	)		(2,737,807	)	$	(77,631,000	)
Class I:
Shares sold		101,479		$	2,869,440			884,435		$	26,693,141
Shares issued to shareholders in reinvestment of distributions		39,730			1,043,505			40,852			1,208,514
Shares repurchased		(684,304	)		(18,390,403	)		(647,184	)		(18,902,142	)
Net increase (decrease)		(543,095	)	$	(14,477,458	)		278,103		$	8,999,513
Strategic Opportunities Allocation Fund
Class III:
Shares sold		1,043,303		$	16,819,874			407,969		$	8,475,000
Shares issued to shareholders in reinvestment of distributions		819,400			12,262,878			2,573,255			51,157,762
Shares repurchased		(2,895,646	)		(47,123,159	)		(16,664,409	)		(361,479,168	)
Net increase (decrease)		(1,032,943	)	$	(18,040,407	)		(13,683,185	)	$	(301,846,406	)

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 28, 2023 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 ex-China Fund, Class VI	$	—	$	6,060,878	$	—	$	233,376	$	—	$	—		$	(306,279	)	$	5,754,599
GMO Emerging Markets Fund, Class VI		9,811,873		—		8,145,879		104,779		—		(3,146,257	)		1,480,263			—
Totals	$	9,811,873	$	6,060,878	$	8,145,879	$	338,155	$	—	$	(3,146,257	)	$	1,173,984		$	5,754,599
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	115,273,843	$	140,209,129	$	—	$	25,609,130	$	—	$	—		$	(30,043,761	)	$	225,439,211

219

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income			Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Benchmark-Free Allocation Fund (continued)
GMO High Yield Fund, Class VI	$	—	$	150,791,758	$	57,480,000	$	6,525,802		$	265,956	$	1,087,784		$	(3,729,525	)	$	90,670,017
GMO Implementation Fund		4,681,432,538		462,663,953		1,293,197,002		132,069,652			—		(67,259,706	)		(49,186,947	)		3,734,452,836
GMO Opportunistic Income Fund, Class VI		183,719,672		131,711,558		40,813,277		8,463,024			2,748,534		(3,036,145	)		(8,142,873	)		263,438,935
GMO SGM Major Markets Fund, Class VI		141,735,622		8,452,937		55,867,709		2,754,904			5,698,032		(10,395,751	)		4,661,781			88,586,880
Totals	$	5,122,161,675	$	893,829,335	$	1,447,357,988	$	175,422,512		$	8,712,522	$	(79,603,818	)	$	(86,441,325	)	$	4,402,587,879
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class VI	$	48,097,631	$	46,433,342	$	—	$	9,433,342		$	—	$	—		$	(11,410,689	)	$	83,120,284
GMO Emerging Markets Fund, Class VI		34,016,640		—		30,376,060		—			—		(8,199,771	)		4,559,191			—
GMO High Yield Fund, Class VI		—		77,221,091		11,000,000		4,587,190			133,901		190,438			(2,676,750	)		63,734,779
GMO Opportunistic Income Fund, Class VI		91,945,071		1,998,978		20,500,000		2,782,728			1,319,462		(198,526	)		(4,609,894	)		68,635,629
GMO Resources Fund		—		63,505,821		16,220,000		2,111,386			3,154,435		(3,903,419	)		(2,301,153	)		41,081,249
GMO SGM Major Markets Fund, Class VI		60,781,806		3,843,412		32,500,000		1,227,946			2,615,466		(4,964,150	)		1,914,404			29,075,472
GMO U.S. Treasury Fund		10,090,292		105,425,734		114,202,520		—	*		—		(124,846	)		41,801			1,230,461
Totals	$	244,931,440	$	298,428,378	$	224,798,580	$	20,142,592		$	7,223,264	$	(17,200,274	)	$	(14,483,090	)	$	286,877,874
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	130,004,197	$	5,078,340	$	86,650,030	$	—		$	558,341	$	(9,371,807	)	$	9,350,811		$	48,411,511
GMO Asset Allocation Bond Fund, Class VI		37,983,141		3,474,703		17,266,124		157,843			—		(712,199	)		(3,365,849	)		20,113,672
GMO Emerging Country Debt Fund, Class VI		18,116,964		1,358,606		6,400,000		1,358,606			—		(2,571,105	)		(35,565	)		10,468,900
GMO Emerging Markets ex-China Fund, Class VI		27,671,845		11,907,038		11,376,422		1,004,120			90,494		(3,265,336	)		(1,583,044	)		23,354,081
GMO Emerging Markets Fund, Class VI		68,376,141		11,131,024		37,565,470		2,436,131			—		(13,622,831	)		(2,321,175	)		25,997,689
GMO High Yield Fund, Class VI		—		9,284,625		2,136,785		498,926			15,699		(2,924	)		(276,378	)		6,868,538
GMO International Equity Fund, Class IV		107,093,353		8,728,933		48,383,157		2,738,896			—		(3,582,243	)		(2,102,160	)		61,754,726
GMO-Usonian Japan Value Creation Fund, Class VI		24,981,389		1,191,147		9,227,123		156,750			804,397		(1,287,814	)		(1,862,553	)		13,795,046
GMO Multi-Sector Fixed Income Fund, Class IV		56,164,303		19,194,688		28,517,096		779,679			—		(5,320,500	)		(861,511	)		40,659,884
GMO Opportunistic Income Fund, Class VI		19,591,715		1,654,325		10,100,726		403,538			170,787		(533,972	)		(207,844	)		10,403,498
GMO Quality Cyclicals Fund, Class VI		20,219,676		1,766,248		9,571,627		316,381			1,044,382		1,569,790			(3,615,302	)		10,368,785
GMO Quality Fund, Class VI		12,268,439		4,548,667		5,848,561		119,580			899,637		923,586			(2,317,432	)		9,574,699

220

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Asset Allocation Fund (continued)
GMO Small Cap Quality Fund, Class VI	$	—	$	11,844,426	$	2,427,458	$	7,082	$	832,169	$	81,671		$	1,156,161		$	10,654,800
GMO U.S. Equity Fund, Class VI		61,434,084		5,193,304		46,608,629		516,130		2,276,653		(6,787,882	)		3,440,301			16,671,178
GMO U.S. Opportunistic Value Fund, Class VI		—		25,103,805		2,315,000		33,805		—		20,140			199,119			23,008,064
GMO U.S. Small Cap Value Fund, Class VI		39,124,376		2,723,764		29,568,549		311,448		1,885,586		(5,823,113	)		605,330			7,061,808
GMO U.S. Treasury Fund		1,879		5,294,580		5,287,422		4,726		—		(1,011	)		10			8,036
Totals	$	623,031,502	$	129,478,223	$	359,250,179	$	10,843,641	$	8,578,145	$	(50,287,550	)	$	(3,797,081	)	$	339,174,915
Global Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	5,198,953	$	2,516,161	$	1,320,000	$	268,165	$	23,977	$	(718,946	)	$	(467,828	)	$	5,208,340
GMO Emerging Markets Fund, Class VI		2,322,106		562,145		2,324,018		32,146		—		(991,127	)		430,894			—
GMO International Equity Fund, Class IV		35,410,730		1,390,251		8,326,440		1,390,251		—		444,029			(2,873,145	)		26,045,425
GMO-Usonian Japan Value Creation Fund, Class VI		3,551,214		176,878		555,000		31,478		145,400		(127,919	)		(391,930	)		2,653,243
GMO Quality Cyclicals Fund, Class VI		4,855,891		447,349		800,000		101,788		345,561		101,613			(752,091	)		3,852,762
GMO Quality Fund, Class VI		10,955,561		4,544,140		4,135,000		129,062		989,079		425,057			(2,321,015	)		9,468,743
GMO Small Cap Quality Fund, Class VI		—		3,802,457		400,000		2,671		299,785		32,353			401,767			3,836,577
GMO U.S. Equity Fund, Class VI		15,406,078		2,222,608		12,326,000		220,187		802,421		(972,425	)		(262,822	)		4,067,439
GMO U.S. Opportunistic Value Fund, Class VI		—		12,016,920		2,000,000		16,920		—		(71,465	)		95,371			10,040,826
GMO U.S. Small Cap Value Fund, Class VI		9,077,255		680,212		6,285,000		113,530		566,682		(1,466,449	)		(194,494	)		1,811,524
Totals	$	86,777,788	$	28,359,121	$	38,471,458	$	2,306,198	$	3,172,905	$	(3,345,279	)	$	(6,335,293	)	$	66,984,879
Global Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	109,848,838	$	56,326,707	$	85,820,000	$	5,486,155	$	495,551		(16,056,512	)	$	(6,726,628	)	$	57,572,405
GMO Emerging Markets Fund, Class VI		234,294,075		53,555,581		157,395,000		13,340,582		—		(53,265,042	)		(10,325,352	)		66,864,262
GMO International Equity Fund, Class IV		558,402,561		30,040,035		360,423,227		19,740,035		—		(24,716,488	)		(9,582,837	)		193,720,044
GMO-Usonian Japan Value Creation Fund, Class VI		64,071,354		5,765,903		37,086,524		555,558		2,640,345		(5,654,370	)		(3,551,446	)		23,544,917
GMO Quality Cyclicals Fund, Class VI		88,997,330		7,690,898		56,835,000		1,770,896		5,920,002		6,470,978			(17,554,022	)		28,770,184
GMO Quality Fund, Class VI		217,951,740		21,269,342		136,240,318		2,309,151		17,875,190		4,706,369			(36,149,633	)		71,537,500
GMO Small Cap Quality Fund, Class VI		—		67,481,819		46,960,000		47,304		4,289,516		6,807,117			2,422,053			29,750,989

221

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income			Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Equity Allocation Fund (continued)
GMO U.S. Equity Fund, Class VI	$	142,993,024	$	33,172,484	$	134,532,384	$	1,981,180		$	6,891,303		(18,586,181	)	$	6,652,499		$	29,699,442
GMO U.S. Opportunistic Value Fund, Class VI		—		160,225,600		91,755,000		225,600			—		1,684,389			666,472			70,821,461
GMO U.S. Small Cap Value Fund, Class VI		163,718,031		18,570,200		135,545,000		1,865,617			10,259,584		(31,606,365	)		1,965,869			17,102,735
Totals	$	1,580,276,953	$	454,098,569	$	1,242,592,453	$	47,322,078		$	48,371,491	$	(130,216,105	)	$	(72,183,025	)	$	589,383,939
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	12,509,088	$	259,258,208	$	270,489,651	$	—	*	$	—	$	(218,844	)	$	60,867		$	1,119,668
International Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	16,722,440	$	5,540,527	$	664,160	$	703,820		$	74,309	$	(349,240	)	$	(3,233,409	)	$	18,016,158
GMO International Equity Fund, Class IV		204,248,674		24,203,258		17,989,552		7,768,743			—		(1,085,812	)		(9,434,546	)		199,942,022
GMO-Usonian Japan Value Creation Fund, Class VI		9,520,380		2,038,006		1,106,372		86,410			393,375		(229,605	)		(1,049,680	)		9,172,729
Totals	$	230,491,494	$	31,781,791	$	19,760,084	$	8,558,973		$	467,684	$	(1,664,657	)	$	(13,717,635	)	$	227,130,909
International Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	51,415,947	$	6,736,482	$	8,810,000	$	1,642,550		$	181,351	$	(2,886,231	)	$	(6,847,242	)	$	39,608,956
GMO Emerging Markets Fund, Class VI		195,154,856		28,209,322		33,520,000		10,901,507			—		(8,126,214	)		(40,800,909	)		140,917,055
GMO International Equity Fund, Class IV		404,162,685		19,185,527		110,852,181		12,232,611			—		(1,492,366	)		(19,410,855	)		291,592,810
GMO-Usonian Japan Value Creation Fund, Class VI		28,241,638		2,223,597		7,130,000		203,510			972,803		(1,112,699	)		(2,532,964	)		19,689,572
Totals	$	678,975,126	$	56,354,928	$	160,312,181	$	24,980,178		$	1,154,154	$	(13,617,510	)	$	(69,591,970	)	$	491,808,393
Strategic Opportunities Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	8,106,380	$	935,169	$	1,255,000	$	935,169		$	—	$	(676,063	)	$	(723,835	)	$	6,386,651
GMO Emerging Markets ex-China Fund, Class VI		14,945,997		6,301,557		1,375,000		741,543			60,014		(686,469	)		(2,314,600	)		16,871,485
GMO Emerging Markets Fund, Class VI		30,720,697		4,434,048		10,225,000		1,534,048			—		(4,125,405	)		(4,136,240	)		16,668,100
GMO International Equity Fund, Class IV		31,835,141		1,773,348		7,265,000		1,073,348			—		435,000			(2,187,039	)		24,591,450
GMO-Usonian Japan Value Creation Fund, Class VI		—		9,936,387		—		—			—		—			139,147			10,075,534
GMO Multi-Sector Fixed Income Fund, Class IV		6,442,772		7,857,471		2,420,000		207,471			—		(278,876	)		(836,211	)		10,765,156
GMO Quality Fund, Class VI		12,951,749		1,136,516		4,855,000		129,315			1,007,201		181,608			(2,006,103	)		7,408,770
GMO Small Cap Quality Fund, Class VI		—		6,576,959		—		4,579			572,380		—			755,892			7,332,851

222

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2023

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 (continued)
GMO U.S. Equity Fund, Class VI	$	19,532,079	$	3,179,662	$	11,380,000	$	249,304	$	930,358	$	128,100		$	(1,689,090	)	$	9,770,751
GMO U.S. Opportunistic Value Fund, Class VI		—		17,966,531		1,375,000		23,889		—		13,614			195,619			16,800,764
GMO U.S. Small Cap Value Fund, Class VI		16,286,703		1,197,062		14,422,642		182,025		1,015,037		(2,389,507	)		(671,616	)		—
GMO U.S. Treasury Fund		4,509,502		102,704		498,000		102,684		—		(4,000	)		(14,930	)		4,095,276
Totals	$	145,331,020	$	61,397,414	$	55,070,642	$	5,183,375	$	3,584,990	$	(7,401,998	)	$	(13,489,006	)	$	130,766,788

* 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 $86,240 and $186,068 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the year.

11. Subsequent events

Subsequent to February 28, 2023, GMO International Equity Allocation Fund received redemption requests in the amount of $140,420,774.

223

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of GMO Alternative Allocation Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, and GMO Strategic Opportunities Allocation Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (eleven of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2023, the related statements of operations, of changes in net assets and of cash flows for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2023, and the results of each of their operations, the changes in each of their net assets and of each of their cash flows for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.

GMO Benchmark-Free Allocation Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund	Statement of assets and liabilities, including the schedule of investments, as of February 28, 2023, the related statement of operations for the year ended February 28, 2023, the statement of changes in net assets for each of the two years in the period ended February 28, 2023, and the financial highlights for each of the periods indicated therein.
GMO Benchmark-Free Fund, GMO Strategic Opportunities Allocation Fund	Statement of asset and liabilities, including the schedule of investments, as of February 28, 2023, the related statement of operations and of cash flows for the year ended February 28, 2023, the statement of changes in net assets for each of the two years in the period ended February 28, 2023, and the financial highlights for each of the periods indicated therein.
GMO Alternative Allocation Fund, GMO Implementation Fund	Consolidated statement of asset and liabilities, including the consolidated schedule of investments, as of February 28, 2023, the related consolidated statement of operations and of cash flows for the year ended February 28, 2023, the consolidated statement of changes in net assets for each of the two years in the period ended February 28, 2023, and the consolidated financial highlights for each of the periods indicated therein.
GMO SGM Major Markets Fund	Consolidated statement of asset and liabilities, including the consolidated schedule of investments, as of February 28, 2023, the related consolidated statement of operations for the year ended February 28, 2023, the consolidated statement of changes in net assets for each of the two years in the period ended February 28, 2023, and the consolidated financial highlights for each of the periods indicated therein.

Basis for Opinions

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.

224

Report of Independent Registered Public Accounting Firm - (Continued)

Our procedures included confirmation of securities owned as of February 28, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, MA

April 27, 2023

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

225

GMO Trust Funds

Fund Expenses

February 28, 2023 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2023.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2022 through February 28, 2023.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value September 1, 2022		Ending Account Value February 28, 2023		Expenses Paid During the Period*		Beginning Account Value September 1, 2022		Ending Account Value February 28, 2023		Expenses Paid During the Period*		Annualized Expense Ratio
Alternative Allocation Fund
Class VI	$	1,000.00	$	1,047.60	$	6.96	$	1,000.00	$	1,018.00	$	6.85		1.37	%
Class R6	$	1,000.00	$	1,046.20	$	8.22	$	1,000.00	$	1,016.76	$	8.10		1.62	%
Class I	$	1,000.00	$	1,046.10	$	8.22	$	1,000.00	$	1,016.76	$	8.10		1.62	%
Benchmark-Free Allocation Fund
Class III	$	1,000.00	$	1,065.90	$	4.87	$	1,000.00	$	1,020.08	$	4.76		0.95	%
Class IV	$	1,000.00	$	1,066.00	$	4.61	$	1,000.00	$	1,020.33	$	4.51		0.90	%
Class MF	$	1,000.00	$	1,065.80	$	4.61	$	1,000.00	$	1,020.33	$	4.51		0.90	%
Class R6	$	1,000.00	$	1,066.00	$	4.87	$	1,000.00	$	1,020.08	$	4.76		0.95	%
Class I	$	1,000.00	$	1,065.20	$	5.38	$	1,000.00	$	1,019.59	$	5.26		1.05	%
Benchmark-Free Fund
Class III	$	1,000.00	$	1,066.10	$	2.61	$	1,000.00	$	1,022.27	$	2.56		0.51	%
Global Asset Allocation Fund
Class III	$	1,000.00	$	1,051.20	$	3.05	$	1,000.00	$	1,021.82	$	3.01		0.60	%
Class R6	$	1,000.00	$	1,050.90	$	3.05	$	1,000.00	$	1,021.82	$	3.01		0.60	%
Class I	$	1,000.00	$	1,050.60	$	3.56	$	1,000.00	$	1,021.32	$	3.51		0.70	%
Global Developed Equity Allocation Fund
Class III	$	1,000.00	$	1,096.60	$	2.81	$	1,000.00	$	1,022.12	$	2.71		0.54	%
Global Equity Allocation Fund
Class III	$	1,000.00	$	1,080.70	$	2.94	$	1,000.00	$	1,021.97	$	2.86		0.57	%
Class R6	$	1,000.00	$	1,080.20	$	2.94	$	1,000.00	$	1,021.97	$	2.86		0.57	%
Class I	$	1,000.00	$	1,080.00	$	3.46	$	1,000.00	$	1,021.47	$	3.36		0.67	%

226

GMO Trust Funds

Fund Expenses — (Continued)

February 28, 2023 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value September 1, 2022		Ending Account Value February 28, 2023		Expenses Paid During the Period*		Beginning Account Value September 1, 2022		Ending Account Value February 28, 2023		Expenses Paid During the Period*		Annualized Expense Ratio
Implementation Fund
Core Class	$	1,000.00	$	1,074.30	$	1.65	$	1,000.00	$	1,023.21	$	1.61		0.32	%
International Developed Equity Allocation Fund
Class III	$	1,000.00	$	1,139.70	$	3.29	$	1,000.00	$	1,021.72	$	3.11		0.62	%
Class R6	$	1,000.00	$	1,139.70	$	3.29	$	1,000.00	$	1,021.72	$	3.11		0.62	%
International Equity Allocation Fund
Class III	$	1,000.00	$	1,087.60	$	3.42	$	1,000.00	$	1,021.52	$	3.31		0.66	%
Class R6	$	1,000.00	$	1,087.60	$	3.42	$	1,000.00	$	1,021.52	$	3.31		0.66	%
SGM Major Markets Fund
Class III	$	1,000.00	$	1,085.30	$	5.27	$	1,000.00	$	1,019.74	$	5.11		1.02	%
Class VI	$	1,000.00	$	1,085.60	$	4.76	$	1,000.00	$	1,020.23	$	4.61		0.92	%
Class I	$	1,000.00	$	1,084.50	$	5.79	$	1,000.00	$	1,019.24	$	5.61		1.12	%
Strategic Opportunities Allocation Fund
Class III	$	1,000.00	$	1,067.30	$	3.38	$	1,000.00	$	1,021.52	$	3.31		0.66	%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2023, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

227

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2023 (Unaudited)

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

With respect to distributions paid, the Fund designates the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year ended February 28, 2023:

Fund Name	Dividend Received Deduction (corporate shareholders)(1)			Qualified Dividend Income (non-corporate shareholders)(1)			U.S. Government Obligation Income (1)(2)			Interest- Related Dividend Income ($)(3)		Short-Term Capital Gain Dividends ($)(3)		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid ($)(4)		Foreign Source Income ($)(4)		Section 199A Dividend Income (non-corporate shareholders) ($)(5)
Alternative Allocation Fund		—			—			—			—		—		1,882,802		—		—		—
Benchmark-Free Allocation Fund		11.35	%		73.43	%		11.85	%		20,003,547		—		—		—		—		262,843
Benchmark-Free Fund		6.02	%		49.10	%		7.75	%		7,182,866		—		—		—		—		1,304
Global Asset Allocation Fund		10.84	%		52.28	%		3.26	%		988,552		—		—		584,592		6,673,195		1,150
Global Developed Equity Allocation Fund		23.24	%		96.66	%		—			—		—		2,981,732		121,394		1,871,029		419
Global Equity Allocation Fund		14.15	%		74.40	%		—			1,123,312		—		43,939,821		3,317,489		40,980,736		6,888
Implementation Fund		11.61	%		75.07	%		10.10	%		18,156,269		—		—		—		—		262,843
International Developed Equity Allocation Fund		—			100.00	%		—			—		—		522,076		508,721		8,664,304		—
International Equity Allocation Fund		—			83.08	%		—			—		—		—		2,003,357		23,354,064		—
SGM Major Markets Fund		—			—			46.85	%		1,341,896		—		14,738,104		—		—		—
Strategic Opportunities Allocation Fund		9.93	%		49.98	%		2.11	%		1,255,044		1,675,475		6,478,493		543,980		6,127,709		672

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

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

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

⁽⁴⁾  The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders. All amounts presented above are based upon net investment income earned.

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

In early 2024, the Funds will notify applicable shareholders of amounts for use in preparing 2023 U.S. federal income tax forms.

228

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 28, 2023. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 53 State Street, Suite 3300, Boston, MA 02109. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Ms. Santoro, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex1 Overseen	Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.	33	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Professor of Finance (Since July 1, 2011) and Peter Moores Dean and Professor of Finance (July 1, 2011 – June 30, 2022) University of Oxford, Said Business School; Baker Foundation Professor, Harvard Business School (Since July 1, 2022).	33	None.
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired	33	Trustee HIMCO Variable Insurance Trust (27 Portfolios) April 2014 – April 2019).

229

\Interested Trustee and Officer
Dina Santoro2 YOB: 1973	Trustee; President of the Trust	Trustee and President of the Trust since February 2023.	Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); President, Chief Executive Officer, and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (September 2022 – December 2022); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018 –December 2022); Chief Operating Officer, Voya Investment Management (January 2022 –December 2022); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017-December 2022). Formerly, President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018-September 2022); Director, Voya Funds Services, LLC (March 2018-September 2022).	33	Voya Separate Portfolios Trust (July 2018 – December 2022).

1 The Fund Complex includes series of each of GMO Trust.

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

Officers

Name and Year of Birth	Position(s) Held with Trust	Length of Time Served	Principal Occupation(s) During Past Five Years*
Dina Santoro YOB: 1973	Trustee; President of the Trust	Trustee and President since February 2023.	Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); President, Chief Executive Officer, and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (September 2022 – February 2023); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018 –February 2023); Chief Operating Officer, Voya Investment Management (January 2022 –February 2023); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017-February 2023); Formerly, President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018-September 2022); Director, Voya Funds Services, LLC (March 2018-September 2022).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020.	Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 to present).
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).

230

Name and Year of Birth	Position(s) Held with Trust	Length of Time Served	Principal Occupation(s) During Past Five Years*
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
John L. Nasrah YOB: 1977		Since March 2007.	Head of Tax, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 - present); Head of Fund Tax, Grantham, Mayo, Van Otterloo & Co. LLC (2018 - 2020).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present); Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

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

231

AR-022823-AA

Item 2. Code of Ethics.

As of February 28, 2023, the registrant has adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002 (the “Code of Ethics”). During the year ended February 28, 2023 there were no substantive amendments to a provision of the Code of Ethics nor were there any waivers granted from a provision of the Code of Ethics. A copy of the Code of Ethics is filed with this Form N-CSR under item 12 (a).

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that the registrant does not have an “audit committee financial expert” (as such term has been defined in Form N-CSR) serving on its audit committee. The registrant’s Board believes that, although none of its members individually meets all required elements of the definition of an “audit committee financial expert”, the members of the registrant’s audit committee collectively possess the knowledge and experience necessary to execute all of the audit committee’s functions, duties and powers.

Item 4. Principal Accountant Fees and Services. *

(a) AUDIT FEES: The aggregate fees billed to the registrant for professional services rendered by its independent auditors, PricewaterhouseCoopers LLP for the audit of the registrant’s annual financial statements for 2023 and 2022 were $1,632,394 and $1,438,194, respectively.

(b) AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2023 and 2022 for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $28,518 and $31,227, respectively. The aggregate fees billed in 2023 and 2022 to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provides ongoing services to the Funds (each, a “Service Affiliate”) for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $423,269 and $336,225, respectively.

(c) TAX FEES: The aggregate fees billed to the registrant in 2023 and 2022 for professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice, and tax planning, including the preparation of Form 1120 RIC, Form 8613 and review of excise tax distribution calculations, were $741,910 and $544,982, respectively. The aggregate fees billed in 2023 and 2022 to the registrant’s Service Affiliates for engagements for tax services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $0 and $0, respectively.

(d) ALL OTHER FEES: No such fees were billed by PricewaterhouseCoopers LLP to the registrant or to the registrant’s Service Affiliates that related directly to the operations and financial reporting of the Funds in 2023 or 2022.

(e) (1) The Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services to be performed by the independent auditor are to be preapproved. Under the Policy, the Audit Committee pre-approves, on an annual basis, the following services: (1) the engagement, scope and terms of the annual audit; (2) certain audit-related services; (3) certain tax services that the Committee believes would not impair, and are consistent with the SEC’s rules on auditor independence; and (4) certain permissible non-audit services that the Committee believes are routine and recurring services and that would not impair, and are consistent with the SEC’s rules on auditor independence, subject to certain limitations on the projected fees associated with each service. All other types of services not included on the schedule to the policy, or for which the projected fees exceed those provided in the schedule, require the specific pre-approval by the Audit Committee or the Chairperson of the Committee (if timing necessitates that preapproval is required before the Committee’s next regularly scheduled meeting) if they are to be provided by the independent auditor.

(e) (2) None.

(f) Not applicable.

(g) NON-AUDIT FEES: The aggregate fees billed by PricewaterhouseCoopers LLP in 2023 and 2022 for non-audit services rendered to the registrant and the registrant’s Service Affiliates were $1,228,697 and $947,435, respectively. For the fiscal year ended February 28, 2023, this amount reflects the amounts disclosed above in Item 4(b), (c), (d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds. For the fiscal year ended February 28, 2022, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

(h) The registrant’s Audit Committee has considered whether the provision of non-audit services by the registrant’s independent registered public accounting firm to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm.

* Includes information regarding all series of GMO Trust.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item  13. Exhibits.

(a)(1) Code of Ethics described in Item 2 is attached hereto as EX-99.CODEETH.

(a)(2) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.

(a)(3) Not applicable to this registrant.

(b) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Tara Pari
	Tara Pari, Chief Executive Officer
	Date: May 3, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):	/s/ Tara Pari
	Tara Pari, Principal Executive Officer
	Date: May 3, 2023
By (Signature and Title):	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer
	Date: May 3, 2023

EX-99.CODE ETH

Code of Ethics for Principal Executive	GMO Trust
Officer and Principal Accounting Officer
Adoption: November 30, 2003
Last Revision: April 12, 2022

I. Covered Officers/Purpose of the Code

This code of ethics (the “Code”) for GMO Trust (the “Trust”) and each series thereof constituting a separate investment portfolio (the “Funds”) applies to the Trust’s Principal Executive Officer and Principal Accounting Officer (the “Covered Officers”). The Code is intended to promote:

• honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

• full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the SEC and in other public communications made by the Trust;

• compliance with applicable laws and governmental rules and regulations;

• the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

• accountability for adherence to the Code.

Each Covered Officer should adhere to high standards of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.¹

II. Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest

Overview. A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or that Officer’s service to, the Trust. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of that Officer’s position in the Trust.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Trust and Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”), the Trust’s investment adviser, of which the Covered Officers are also members, officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Trust or GMO, or for both), be involved in establishing policies and implementing decisions which will have different effects on GMO and the Trust. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Trust and GMO and is consistent with the performance by the Covered Officers of their duties as officers of the Trust. In addition, it is recognized by the trustees of the Trust (the “Trustees”) that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other Codes. These types of conflicts are addressed by the Investment Company Act, the Investment Advisers Act and other policies and procedures of the Trust.

¹  Pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 (15 U.S.C. § 7264).

Not for external distribution unless otherwise approved in advance by GMO’s Compliance Department.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. In reading the following examples of conflicts of interest under the Code, Covered Officers should keep in mind that such a list cannot ever be exhaustive by covering every possible scenario. It follows that the overarching principle – that the personal interest of a Covered Officer should not be placed improperly before the interest of the Trust – should be the guiding principle in all circumstances. Each Covered Officer must:

• not use personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Trust whereby the Covered Officer would benefit personally to the detriment of the Trust;

• not cause the Trust to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than for the benefit of the Trust;

• not use material non-public knowledge of portfolio transactions made or contemplated for the Trust to profit personally or cause others to profit, by the market effect of such transactions;

• not retaliate against any employee or Covered Officer for reports of potential violations of law that are made in good faith.

There are some conflict of interest situations that should always be discussed with the Trust’s Chief Legal Officer if material. Examples of these include:

• any outside business activity other than with GMO and its affiliates that detracts from an individual’s ability to devote appropriate time and attention to his responsibilities with the Trust;

• service as a director on the board (or equivalent position) of any company;

• the receipt of any non-nominal gifts in excess of the amount stated in GMO’s Gift Policy;

• the receipt of any entertainment from any company with which the Trust has current or prospective business dealings unless such entertainment is business - related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety;

• any ownership interest in, or any consulting or employment relationship with, any of the Trust’s service providers, other than GMO and its affiliates;

• a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Trust for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership.

III. Disclosure

• Each Covered Officer must be familiar with the disclosure requirements applicable to the Trust and the Funds’ disclosure controls and procedures;

• Each Covered Officer must not knowingly misrepresent, or cause others to misrepresent, facts about the Trust to others, whether within or outside the Trust, including to the Trustees and auditors, and to governmental regulators and self-regulatory organizations; and

• It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable, laws, rules and regulations.

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IV. Reporting and Accountability

Each Covered Officer must:

• upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Trust that the Covered Officer has received, read, and understands the Code (Exhibit A).

• annually thereafter affirm to the Trust that the Covered Officer has complied with the requirements of the Code by completing the Annual Report within GMO’s online Code of Ethics system.

• report at least annually affiliations and potential conflicts by completing the Quarterly Reports within GMO’s online Code of Ethics system.

• notify the Trust’s Chief Legal Officer and the Chairman of the Trust’s Audit Committee promptly if Covered Officer knows of any violation of this Code. Failure to do so is itself a violation of this Code.

The Trust’s Chief Legal Officer is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. However, any approvals or waivers sought by any Covered Officer must be considered by the Trust’s Audit Committee.

The Trust will follow these procedures in investigating and enforcing this Code:

• the Trust’s Chief Legal Officer will take all appropriate action to investigate any violations and potential violations reported to him;

• if, after such investigation, the Trust’s Chief Legal Officer believes that no violation has occurred, the Chief Legal Officer is not required to take any further action; any matter the Trust’s Chief Legal Officer believes is or may be a violation will be reported to the Trust’s Audit Committee; and

• if the Audit Committee determines that a violation has occurred, it will inform and make a recommendation to the Trustees, which will consider appropriate action which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of GMO or its board; or a recommendation to dismiss the Covered Officer as an officer of the Trust.

V. Other Policies and Procedures

The Trust’s Code of Ethics pursuant to Rule 17j-1 under the Investment Company Act, GMO’s Code of Ethics pursuant to Rule 204A-1 under the Investment Advisers Act, and GMO’s more detailed policies and procedures are separate requirements applying to the Covered Officers and others and are not part of this Code. This Code does not, and is not intended to, repeat or replace these programs and procedures.

VI. Amendments and Waivers

This Code may not be materially amended except in written form, which is specifically approved or ratified by a majority vote of the Trustees, including a majority of independent Trustees. Any amendments to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules².

²  The Trust discloses amendments to and waivers of this Code on Form N-CSR. See SEC Release Nos. 34-74262.

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VII.Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code or in response to a request from a regulatory agency or self-regulatory organization, such matters shall not be disclosed to anyone other than the Audit Committee, the Trustees, their respective counsel, and GMO and its counsel.

VIII. Internal Use

The Code is intended solely for the internal use by the Trust and does not constitute an admission, by or on behalf of any Trust, as to any fact, circumstance, or legal conclusion and does not create any rights of third parties.

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EXHIBIT A³

Principal Officers Code Acknowledgement

Section IV of the Code of Ethics for Principal Executive Officer and Principal Financial Officer (the “Code”) requires that each Covered Officer, upon adoption of the Code, affirm in writing to the Trust that the Covered Officer has received, read, and understands the Code. By executing this, the undersigned makes such affirmation.

³ As of December 21, 2017.

EX-99.CERT

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:

I, Tara Pari, Principal Executive Officer of the registrant, certify that:

1. I have reviewed this report on Form N-CSR of the Series of GMO Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 3, 2023	/s/ Tara Pari
	Tara Pari, Principal Executive Officer

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:

I, Betty Maganzini, Principal Financial Officer of the registrant, certify that:

1. I have reviewed this report on Form N-CSR of the Series of GMO Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 3, 2023	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer

EX-99.906 CERT

EX-99.906 CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(b) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

Tara Pari, Principal Executive Officer of GMO Trust (the “Registrant”), certifies to the best of her knowledge that:

1. The Registrant’s periodic report on Form N-CSR for the period ended February 28, 2023 (the “Form N-CSR”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

/s/ Tara Pari
Tara Pari
Principal Executive Officer
Date:	May 3, 2023

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.

EX-99.906 CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(b) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

Betty Maganzini, Principal Financial Officer of GMO Trust (the “Registrant”), certifies to the best of her knowledge that:

1. The Registrant’s periodic report on Form N-CSR for the period ended February 28, 2023 (the “Form N-CSR”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

/s/ Betty Maganzini

Betty Maganzini
Principal Financial Officer
Date:	May 3, 2023

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.