<SEC-DOCUMENT>0001193125-23-180741.txt : 20230703
<SEC-HEADER>0001193125-23-180741.hdr.sgml : 20230703
<ACCEPTANCE-DATETIME>20230630201248
ACCESSION NUMBER: 0001193125-23-180741
CONFORMED SUBMISSION TYPE: 497K
PUBLIC DOCUMENT COUNT: 2
FILED AS OF DATE: 20230703
DATE AS OF CHANGE: 20230630
EFFECTIVENESS DATE: 20230703
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: GMO TRUST
CENTRAL INDEX KEY: 0000772129
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: 497K
SEC ACT: 1933 Act
SEC FILE NUMBER: 002-98772
FILM NUMBER: 231063274
BUSINESS ADDRESS:
STREET 1: 53 STATE STREET
STREET 2: FLOOR 33
CITY: BOSTON
STATE: MA
ZIP: 02109
BUSINESS PHONE: 6173467646
MAIL ADDRESS:
STREET 1: 53 STATE STREET
STREET 2: FLOOR 33
CITY: BOSTON
STATE: MA
ZIP: 02109
FORMER COMPANY:
FORMER CONFORMED NAME: GMO CORE TRUST
DATE OF NAME CHANGE: 19900927
<SERIES-AND-CLASSES-CONTRACTS-DATA>
<EXISTING-SERIES-AND-CLASSES-CONTRACTS>
<SERIES>
<OWNER-CIK>0000772129
<SERIES-ID>S000004917
<SERIES-NAME>GMO Multi-Sector Fixed Income Fund
<CLASS-CONTRACT>
<CLASS-CONTRACT-ID>C000213366
<CLASS-CONTRACT-NAME>Class I
</CLASS-CONTRACT>
<CLASS-CONTRACT>
<CLASS-CONTRACT-ID>C000213367
<CLASS-CONTRACT-NAME>Class R6
</CLASS-CONTRACT>
</SERIES>
</EXISTING-SERIES-AND-CLASSES-CONTRACTS>
</SERIES-AND-CLASSES-CONTRACTS-DATA>
</SEC-HEADER>
<DOCUMENT>
<TYPE>497K
<SEQUENCE>1
<FILENAME>d404905d497k.htm
<DESCRIPTION>GMO TRUST
<TEXT>
<HTML><HEAD>
<TITLE>GMO TRUST</TITLE>
</HEAD>
<body style="margin-top:0.0pt;width:595pt;" bgcolor="white">
<div> <div><a name="xx_39754e51-4a39-46e0-abde-2f548a968d0d_1"></A> <div style="page-break-after:always;position:relative;"> <div style="clear:both;">
</div> <div style="float:left;margin-left:18pt;margin-top:18pt;width:420pt;min-height:42pt;">
<div style="line-height:19.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:18pt;font-weight:bold;line-height:19pt;">GMO MULTI-SECTOR FIXED INCOME FUND</font></div> </div>
<div style="float:left;margin-left:19pt;margin-top:18pt;width:120pt;min-height:36pt;"> <div style="line-height:14.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:12pt;font-weight:bold;line-height:14pt;">Summary
Prospectus</font> <br><font style="color:#000000;font-family:Times New Roman;font-size:12pt;font-weight:bold;line-height:14pt;margin-left:0%;">June 30, 2023</font></div> </div> <div style="clear:both;"> </div>
<div style="float:left;margin-left:18pt;width:559pt;min-height:678pt;"> <div style="line-height:0.0pt;text-align:left;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:1pt;font-weight:bold;"> </font></div>
<div style="margin-top:15pt;">
<table style="empty-cells:show;width:269.97pt;" cellpadding="0" cellspacing="0">
<tr style="height:12pt;">
<td style="padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:147pt;"> <div style="line-height:13pt;text-align:left;"> <div style="margin-right:15pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:12pt;margin-left:0.0pt;">Share Class:</font></div> </div> </td>
<td style="padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:73.99pt;"> <div style="line-height:13pt;text-align:left;"> <div style="margin-left:15pt;margin-right:15pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:12pt;">Class R6</font></div> </div> </td>
<td style="padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:48.98pt;"> <div style="line-height:13pt;text-align:left;"> <div style="margin-left:15pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:12pt;">Class I</font></div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="padding-bottom:4.5pt;padding-top:4pt;vertical-align:Top;width:147pt;"> <div style="line-height:13pt;text-align:left;"> <div style="margin-right:15pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:12pt;margin-left:0.0pt;">Ticker:</font></div> </div> </td>
<td style="padding-bottom:4.5pt;padding-top:4pt;vertical-align:Top;width:73.99pt;"> <div style="line-height:13pt;text-align:left;"> <div style="margin-left:15pt;margin-right:15pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:12pt;">—</font></div> </div> </td>
<td style="padding-bottom:4.5pt;padding-top:4pt;vertical-align:Top;width:48.98pt;"> <div style="line-height:13pt;text-align:left;"> <div style="margin-left:15pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:12pt;">—</font></div> </div> </td> </tr> </table> </div> <div style="border:1pt solid #000000;">
<div style="line-height:11.5pt;margin-left:6pt;margin-right:6pt;padding-top:4pt;padding-bottom:4pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.00%;">Before you invest, you may want to
review the Fund’s prospectus, which contains more information about the Fund and its risks. </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">You can find the Fund’s prospectus, statement of additional
information and other information about the Fund online at https://www.gmo.com/north-america/investment-capabilities/mutual-funds/.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> You can also get this information at
no cost by calling </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">1-617-346-7646, by sending an email request to SHS@gmo.com, or by contacting your financial intermediary. The Fund’s </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">prospectus and statement of additional information, each dated June 30, 2023, each as may be revised and/or supplemented from </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">time to time, are incorporated by reference into this summary prospectus.</font></div> </div> <div style="line-height:12.0pt;margin-top:21.5pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Investment objective</font></div> <div style="line-height:11.5pt;margin-top:1pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:21pt;">Total return in excess of that of its benchmark, the Bloomberg U.S. Aggregate Index.</font></div> <div style="line-height:12.0pt;margin-top:10pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Fees and expenses</font></div> <div style="line-height:11.5pt;margin-top:1pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">The table below describes the fees and expenses that you may bear for each class of shares if you buy, hold, and sell shares of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Fund. You may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">table and example below.</font></div> <div style="line-height:12.0pt;margin-top:10pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Annual Fund operating expenses</font> <br><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0%;">(expenses that you bear each year as
a percentage of the value of your investment)</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;"> </font></div> <div style="line-height:0.0pt;text-align:left;"> </div> <div style="margin-top:0.0pt;">
<table style="empty-cells:show;width:559pt;" cellpadding="0" cellspacing="0">
<tr style="height:13.75pt;">
<td style="border-bottom:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:450.07pt;"> <div style="line-height:0.5pt;text-align:left;">
<div style="margin-left:6pt;margin-right:6pt;text-align:Center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;"> </font></div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:50.32pt;"> <div style="line-height:12.0pt;text-align:left;">
<div style="margin-left:4pt;margin-right:4pt;text-align:Center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Class R6</font></div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:58.61pt;"> <div style="line-height:12.0pt;text-align:left;">
<div style="margin-left:4pt;margin-right:10pt;text-align:Center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Class I</font></div> </div> </td> </tr>
<tr style="height:13.25pt;">
<td style="padding-bottom:2.5pt;padding-top:1.25pt;vertical-align:Bottom;width:450.07pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:6pt;margin-right:6pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Management fee</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:50.32pt;"> <div style="line-height:11pt;margin-left:6pt;margin-right:6pt;text-align:right;width:38.32pt;">
<div style="display:flex;margin:auto;width:37.74pt;"> <div style="display:flex;white-space:nowrap;width:37.74pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.33pt;">0.40%</font><font
style="color:#000000;font-family:Times New Roman;font-size:6.5pt;position:relative;top:-2.75pt;">1</font> <div style="clear:right;"> </div> </div> </div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:58.61pt;"> <div style="line-height:11pt;margin-left:6pt;margin-right:6pt;text-align:right;width:40.61pt;">
<div style="display:flex;margin:auto;width:42.61pt;"> <div style="display:flex;white-space:nowrap;width:42.61pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.33pt;">0.40%</font><font
style="color:#000000;font-family:Times New Roman;font-size:6.5pt;position:relative;top:-2.75pt;">1</font> <div style="clear:right;"> </div> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:450.07pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:6pt;margin-right:6pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Other expenses</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:50.32pt;"> <div style="line-height:11pt;margin-left:6pt;margin-right:6pt;text-align:right;width:38.32pt;">
<div style="display:flex;margin:auto;width:37.74pt;"> <div style="display:flex;white-space:nowrap;width:37.74pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.33pt;">0.22%</font></div> </div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:58.61pt;"> <div style="line-height:11pt;margin-left:6pt;margin-right:6pt;text-align:right;width:40.61pt;">
<div style="display:flex;margin:auto;width:42.61pt;"> <div style="display:flex;white-space:nowrap;width:42.61pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.33pt;">0.32%</font><font
style="color:#000000;font-family:Times New Roman;font-size:6.5pt;position:relative;top:-2.75pt;">2</font> <div style="clear:right;"> </div> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:450.07pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:6pt;margin-right:6pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Acquired fund fees and expenses (underlying fund expenses)</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:50.32pt;"> <div style="line-height:11pt;margin-left:6pt;margin-right:6pt;text-align:right;width:38.32pt;">
<div style="display:flex;margin:auto;width:37.74pt;"> <div style="display:flex;white-space:nowrap;width:37.74pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.33pt;">0.12%</font><font
style="color:#000000;font-family:Times New Roman;font-size:6.5pt;position:relative;top:-2.75pt;">3</font> <div style="clear:right;"> </div> </div> </div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:58.61pt;"> <div style="line-height:11pt;margin-left:6pt;margin-right:6pt;text-align:right;width:40.61pt;">
<div style="display:flex;margin:auto;width:42.61pt;"> <div style="display:flex;white-space:nowrap;width:42.61pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.33pt;">0.12%</font><font
style="color:#000000;font-family:Times New Roman;font-size:6.5pt;position:relative;top:-2.75pt;">3</font> <div style="clear:right;"> </div> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:450.07pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:6pt;margin-right:6pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Total annual fund operating expenses</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:50.32pt;"> <div style="line-height:11pt;margin-left:6pt;margin-right:6pt;text-align:right;width:38.32pt;">
<div style="display:flex;margin:auto;width:37.74pt;"> <div style="display:flex;white-space:nowrap;width:37.74pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.33pt;">0.74%</font></div> </div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:58.61pt;"> <div style="line-height:11pt;margin-left:6pt;margin-right:6pt;text-align:right;width:40.61pt;">
<div style="display:flex;margin:auto;width:42.61pt;"> <div style="display:flex;white-space:nowrap;width:42.61pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.33pt;">0.84%</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:450.07pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:6pt;margin-right:6pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:15pt;">Expense reimbursement/waiver</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:50.32pt;"> <div style="line-height:11pt;margin-left:6pt;margin-right:6pt;text-align:right;width:38.32pt;">
<div style="display:flex;margin:auto;width:37.74pt;"> <div style="display:flex;white-space:nowrap;width:37.74pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">(0.32%)</font><font
style="color:#000000;font-family:Times New Roman;font-size:6.5pt;position:relative;top:-2.75pt;">1</font> <div style="clear:right;"> </div> </div> </div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:58.61pt;"> <div style="line-height:11pt;margin-left:6pt;margin-right:6pt;text-align:right;width:40.61pt;">
<div style="display:flex;margin:auto;width:42.61pt;"> <div style="display:flex;white-space:nowrap;width:42.61pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">(0.32%)</font><font
style="color:#000000;font-family:Times New Roman;font-size:6.5pt;position:relative;top:-2.75pt;">1,</font><font style="color:#000000;font-family:Times New Roman;font-size:6.5pt;position:relative;top:-2.75pt;">2</font> <div style="clear:right;">
</div> </div> </div> </div> </td> </tr>
<tr style="height:20.5pt;">
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;width:450.07pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:6pt;margin-right:6pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Total annual fund operating expenses after expense reimbursement/waiver (Fund and underlying fund </font></div>
<div style="margin-left:6pt;margin-right:6pt;text-align:Left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:10pt;">expenses)</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:50.32pt;"> <div style="line-height:11pt;margin-left:6pt;margin-right:6pt;text-align:right;width:38.32pt;">
<div style="display:flex;margin:auto;width:37.74pt;"> <div style="display:flex;white-space:nowrap;width:37.74pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.33pt;">0.42%</font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:58.61pt;"> <div style="line-height:11pt;margin-left:6pt;margin-right:6pt;text-align:right;width:40.61pt;">
<div style="display:flex;margin:auto;width:42.61pt;"> <div style="display:flex;white-space:nowrap;width:42.61pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.33pt;">0.52%</font></div> </div> </div> </td> </tr>
</table> </div> <div style="line-height:9.0pt;margin-top:9pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:5pt;font-style:italic;margin-left:0%;position:relative;top:-2pt;">1</font><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;line-height:9pt;"> </font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">Includes both management fee of 0.25% and
class-specific shareholder service fee, if any, for each class of shares. For additional information about the shareholder </font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">service fee applicable to each
class of shares of the Fund, please see the table included in the section of the Prospectus entitled “Multiple Classes and Eligibility.”
</font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) has contractually agreed to reimburse the Fund for the portion of its “Specified
Operating Expenses” (as defined </font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">below) that exceeds 0.02% of the Fund’s average daily net assets. “Specified Operating Expenses”
means only the following expenses: audit expenses, fund accounting </font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">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 </font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">for sub-transfer agency, recordkeeping and other administrative
services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment</font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;"> related legal services provided to the
Fund by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal </font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">registration fees and custody expenses.
GMO also has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent </font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">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 </font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">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 </font><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">zero. These reimbursements and waivers will continue through at least June 30, 2024 and may not be terminated prior to this date without the action or consent of the
</font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">Trust’s Board of Trustees.</font></div> <div style="line-height:9.0pt;margin-top:4pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:5pt;font-style:italic;margin-left:0%;position:relative;top:-2pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;line-height:9pt;">
</font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">Includes estimate of payments for sub-transfer agency, recordkeeping and other administrative services for Class I’s initial fiscal year. GMO has
contractually agreed to </font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">waive its fees with respect to and/or reimburse Class I shares to the extent that amounts paid by the Fund out of the net assets
attributable to Class I shares for sub-transfer</font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;"> agency, recordkeeping and other administrative services provided by financial intermediaries for the
benefit of Class I shareholders exceed 0.10% of the average </font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">daily net assets attributable to Class I shares. This reimbursement will continue through at
least June 30, 2024 and may not be terminated prior to this date without the </font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">action or consent of the Trust’s Board of Trustees.</font></div>
<div style="line-height:9.0pt;margin-top:4pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:5pt;font-style:italic;position:relative;top:-2pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;line-height:9pt;"> </font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-style:italic;">Consists of approximately 0.12% in underlying
fund fees and expenses and less than 0.01% in interest expense incurred by underlying funds.</font></div> <div style="line-height:12.0pt;margin-top:10pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Example</font></div> <div style="line-height:11.5pt;margin-top:1pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund’s </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">operating expenses remain the same as those shown in the table. The one year amounts shown reflect the expense reimbursement and </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">waiver noted in the expense table. Although your actual costs may be higher or lower, based on these assumptions your costs would be:</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;"> </font></div> <div style="line-height:0.0pt;text-align:left;"> </div> <div style="margin-top:0.0pt;">
<table style="empty-cells:show;margin-left:127.12pt;width:304.75pt;" cellpadding="0" cellspacing="0">
<tr style="height:10.5pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:151.5pt;"> <div style="line-height:0.5pt;text-align:left;"> <div style="margin-left:3pt;margin-right:4.5pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;"> </font></div> </div> </td>
<td style="padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:35.36pt;"> <div style="line-height:10.0pt;text-align:left;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.5pt;margin-right:2.5pt;padding-bottom:1pt;">
<div style="text-align:Center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;line-height:9pt;"> </font><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;">1 Year</font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:38.47pt;"> <div style="line-height:10.0pt;text-align:left;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.5pt;margin-right:2.5pt;padding-bottom:1pt;">
<div style="text-align:Center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;line-height:9pt;"> </font><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;">3 Years</font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:38.47pt;"> <div style="line-height:10.0pt;text-align:left;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.5pt;margin-right:2.5pt;padding-bottom:1pt;">
<div style="text-align:Center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;line-height:9pt;"> </font><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;">5 Years</font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:40.97pt;"> <div style="line-height:10.0pt;text-align:left;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.5pt;margin-right:1pt;padding-bottom:1pt;">
<div style="text-align:Center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;line-height:9pt;"> </font><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;">10 Years</font><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:151.5pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:3pt;margin-right:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Class R6</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:35.36pt;"> <div style="line-height:11pt;margin-left:4.5pt;margin-right:4.5pt;text-align:right;width:26.36pt;">
<div style="display:flex;margin:auto;width:17.0pt;"> <div style="display:flex;white-space:nowrap;width:17.0pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;width:auto;">$</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;width:17.0pt;">43</font></div> </div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:38.47pt;"> <div style="line-height:11pt;margin-left:4.5pt;margin-right:4.5pt;text-align:right;width:29.47pt;">
<div style="display:flex;margin:auto;width:22.0pt;"> <div style="display:flex;white-space:nowrap;width:22.0pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;width:auto;">$</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;width:22.0pt;">204</font></div> </div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:38.47pt;"> <div style="line-height:11pt;margin-left:4.5pt;margin-right:4.5pt;text-align:right;width:29.47pt;">
<div style="display:flex;margin:auto;width:22.0pt;"> <div style="display:flex;white-space:nowrap;width:22.0pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;width:auto;">$</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;width:22.0pt;">380</font></div> </div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:40.97pt;"> <div style="line-height:11pt;margin-left:4.5pt;margin-right:1.5pt;text-align:right;width:33.47pt;">
<div style="display:flex;margin:auto;width:29.5pt;"> <div style="display:flex;white-space:nowrap;width:29.5pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;width:auto;">$</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;width:29.5pt;">888</font></div> </div> </div> </td> </tr>
<tr style="height:9.5pt;">
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;width:151.5pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:3pt;margin-right:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Class I</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:35.36pt;"> <div style="line-height:11pt;margin-left:4.5pt;margin-right:4.5pt;text-align:right;width:26.36pt;">
<div style="display:flex;margin:auto;width:17.0pt;"> <div style="display:flex;white-space:nowrap;width:17.0pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;width:auto;">$</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;width:17.0pt;">53</font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:38.47pt;"> <div style="line-height:11pt;margin-left:4.5pt;margin-right:4.5pt;text-align:right;width:29.47pt;">
<div style="display:flex;margin:auto;width:22.0pt;"> <div style="display:flex;white-space:nowrap;width:22.0pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;width:auto;">$</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;width:22.0pt;">236</font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:38.47pt;"> <div style="line-height:11pt;margin-left:4.5pt;margin-right:4.5pt;text-align:right;width:29.47pt;">
<div style="display:flex;margin:auto;width:22.0pt;"> <div style="display:flex;white-space:nowrap;width:22.0pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;width:auto;">$</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;width:22.0pt;">435</font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;white-space:nowrap;width:40.97pt;"> <div style="line-height:11pt;margin-left:4.5pt;margin-right:1.5pt;text-align:right;width:33.47pt;">
<div style="display:flex;margin:auto;width:29.5pt;"> <div style="display:flex;white-space:nowrap;width:29.5pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;width:auto;">$</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;width:29.5pt;">1,008</font></div> </div> </div> </td> </tr> </table> </div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin-bottom:0.25pt;margin-left:0.25pt;margin-right:0.25pt;margin-top:40.0pt;"> </div> <div> <div><a name="xx_39754e51-4a39-46e0-abde-2f548a968d0d_2"></A> <div style="page-break-after:always;position:relative;">
<div style="clear:both;"> </div> <div style="float:left;margin-left:18pt;margin-top:18pt;width:559pt;min-height:18pt;"> <div style="line-height:14.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:12pt;font-weight:bold;line-height:14pt;">GMO MULTI-SECTOR FIXED INCOME FUND</font></div> </div> <div style="clear:both;"> </div>
<div style="float:left;margin-left:18pt;margin-top:12pt;width:559pt;min-height:690pt;"> <div style="line-height:12.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Portfolio
turnover</font></div> <div style="line-height:11.5pt;margin-top:1.25pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">The Fund pays transaction costs, such as commissions, when it buys
and sells securities. A higher portfolio turnover rate may </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">result in higher transaction costs and, for holders of Fund shares subject to U.S. taxes, higher income taxes.
These transaction costs, </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund’s performance.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> During its fiscal year </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">ended February 28, 2023, the Fund’s portfolio turnover rate (excluding
short-term investments) was </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">329%</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> of the average value of its </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">portfolio securities.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> That portfolio turnover rate includes investments in U.S. Treasury Fund, which the
Fund uses as a short-term </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 28, 2023, excluding
</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">transactions in U.S. Treasury Fund and other short-term investments, was 326% of the average value of its portfolio securities.</font></div>
<div style="line-height:12.0pt;margin-top:9.75pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Principal investment strategies</font></div>
<div style="line-height:11.5pt;margin-top:1.25pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">The Fund’s investment program has two principal components. One component seeks to
achieve a return commensurate with that </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">of the Fund’s benchmark. The second component seeks to add value relative to the Fund’s benchmark by making
investments that often </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">will not track its benchmark. These investments principally include global interest rate and currency derivatives and indirect (through </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">other GMO Funds) and direct investments in asset-backed, corporate, government and emerging country debt securities. This second </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">component can cause the Fund’s performance to differ significantly from that of its benchmark.</font></div>
<div style="line-height:11.5pt;margin-top:6.50pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">In deciding what investments to make in global interest rate and currency markets and the
size of those investments, GMO uses a </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">quantitative approach that considers macroeconomic factors (e.g., inflation) as well as price-based factors (e.g., interest and
exchange </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">rates). GMO evaluates the relative attractiveness of particular markets and instruments using various fixed income risk premium </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">measures, which typically include, for example, term structure, foreign exchange, volatility, credit and liquidity. GMO also may consider </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">the relative attractiveness of yield curve and duration positions in these markets. In addition, GMO seeks to identify opportunities </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">arising from unusual market conditions not otherwise identified by its quantitative models and uses various portfolio construction </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">techniques to manage risk.</font></div> <div style="line-height:11.5pt;margin-top:6.50pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">In making decisions regarding credit investments, GMO seeks to take advantage of its proprietary investment models to allocate </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">the Fund’s assets opportunistically among credit sectors (e.g., investment grade and high yield) and to systematically identify </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">investments within those credit sectors with the most attractive risk/return profiles. In selecting credit investments, the models used by </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">GMO take into account value criteria, quality factors (including ESG (environmental, social, and governance) criteria in some cases), </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">momentum, and liquidity.</font></div> <div style="line-height:11.5pt;margin-top:6.50pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">The factors GMO considers and investment methods GMO uses can change over time. In pursuing its investment program, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Fund may make or maintain investments in: (i) bonds denominated in various currencies, including non-U.S. and U.S. government </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">bonds, agency bonds, and corporate bonds, asset-backed securities, and emerging country debt securities; (ii) shares of Opportunistic </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Income Fund (to provide exposure to credit (particularly, asset-backed) markets); (iii) shares of Emerging Country Debt Fund (“ECDF”) </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">(to provide exposure to emerging country debt securities); and (iv) the types of investments typically held by money market funds. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Fund may also engage in short sales and invest in derivatives, including without limitation, to-be-announced transactions (“TBAs”), </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">futures contracts, currency and interest rate options, currency forwards, repurchase agreements and reverse repurchase agreements, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">swap contracts, such as swaps on securities and securities indices, total return swaps, interest rate swaps, and currency swaps, and other </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">types of derivatives.</font></div> <div style="line-height:11.5pt;margin-top:6.50pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">The Fund has and expects to continue to have material exposure to U.S. and non-U.S. bonds, U.S. asset-backed securities, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">emerging country debt securities that are below investment grade (below investment grade debt investments are commonly referred to as </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">“high yield” or “junk bonds,” although these terms are not generally used to refer to emerging country debt securities or asset-backed </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">securities).</font></div>
<div style="line-height:11.5pt;margin-top:6.50pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">GMO normally seeks to maintain an annualized tracking error (standard deviation) relative
to the Fund’s benchmark of 1-3% over </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">a complete market cycle and an estimated interest rate duration within 2 years of the benchmark’s duration (approximately
6.3 years as </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">of May 31, 2023). For an additional discussion of duration, see “Additional Information About the Funds’ Investment Strategies, Risks </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">and Expenses — Bond Funds — Duration.”</font></div> <div style="line-height:11.5pt;margin-top:6.50pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds or derivatives) at least 80% </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">of its assets in bonds (see “Name Policies”). The term “bond” includes (i) obligations of an issuer to make payments on future dates of </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">principal, interest (whether fixed or variable) or both and (ii) synthetic debt instruments created by GMO by investing in derivatives </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">(e.g., a futures contract, swap contract, currency forward, or option).</font></div> <div style="line-height:11.5pt;margin-top:6.50pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">The Fund may invest in securities of companies of any market capitalization. In addition, the Fund may lend its portfolio </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">securities. The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. Leverage is not a </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">principal component of the Fund’s investment strategy. However, because of its derivative positions, the Fund may at times have gross </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">investment exposure in excess of its net assets (i.e., the Fund may be leveraged) and therefore may be subject to higher risk of loss </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">during those times than when the Fund is not leveraged. The Fund’s performance can depend substantially on the performance of assets </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">or indices underlying its derivatives even though it does not own those assets or indices.</font></div> </div> <div style="clear:both;"> </div>
<div style="float:left;margin-left:18pt;margin-top:8pt;width:559pt;min-height:12pt;"> <div style="line-height:12.0pt;margin-top:5pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:12pt;margin-left:0%;">2</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin-bottom:0.25pt;margin-left:0.25pt;margin-right:0.25pt;margin-top:40.0pt;"> </div> <div> <div><a name="xx_39754e51-4a39-46e0-abde-2f548a968d0d_3"></A> <div style="page-break-after:always;position:relative;">
<div style="clear:both;"> </div> <div style="float:left;margin-left:18pt;margin-top:18pt;width:559pt;min-height:18pt;"> <div style="line-height:14.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:12pt;font-weight:bold;line-height:14pt;">GMO MULTI-SECTOR FIXED INCOME FUND</font></div> </div> <div style="clear:both;"> </div>
<div style="float:left;margin-left:18pt;margin-top:12pt;width:559pt;min-height:690pt;"> <div style="line-height:12.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Principal risks of
investing in the Fund</font></div> <div style="line-height:11.5pt;margin-top:1.25pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">The value of the Fund’s shares changes with the
value of the Fund’s investments. </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">Many factors can affect this value, and you may </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">lose
money by investing in the Fund.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> The Fund is a non-diversified investment company under the Investment Company Act of 1940, as </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">amended, and therefore a decline in the market price of a particular security held by the Fund may affect the Fund’s performance more </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">than if the Fund were a diversified investment company. The principal risks of investing in the Fund are summarized below. For a more </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">complete discussion of these risks, see “Additional Information about the Funds’ Investment Strategies, Risks, and Expenses” and </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">“Description of Principal Risks.”</font></div> <div> <div style="clear:both;margin-top:6.5pt;position:relative;width:100%;">
<div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div>
<div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Market Risk – Fixed Income</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – The market price of a fixed income investment can decline due to market-related factors, including </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">rising interest or inflation rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">value of a fixed income investment (or class of fixed income investments).</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11.5pt;">
</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6.5pt;position:relative;width:100%;"> <div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div> <div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Credit Risk</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – The Fund runs the risk that the issuer or guarantor of a fixed
income investment (including a sovereign or quasi-</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">sovereign debt issuer) or the obligors of obligations underlying an asset-backed security will be unable or unwilling to
satisfy their </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">obligations to pay principal and interest or otherwise to honor their obligations in a timely manner or at all. The market price of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">obligations or in anticipation of such a failure. Below investment grade investments have speculative characteristics, and negative </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">principal and interest payments than issuers of investment grade investments.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">In addition, investments in
emerging country sovereign </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">or quasi-sovereign debt are subject to a heightened risk that the issuer responsible for repayment of the debt may be unable or </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">unwilling to pay interest and repay principal when due, and the Fund may lack recourse against the issuer in the event of a default. </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Investments in quasi-sovereign debt also are subject to the risk that the issuer will default independently of its sovereign.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11.5pt;"> </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">Investments in distressed or defaulted or other low quality debt investments
generally are considered speculative and are subject to </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">substantial risks not normally associated with investments in higher quality securities, including adverse
business, financial or </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">economic conditions that lead to their issuers’ payment defaults and insolvency proceedings. In particular, distressed or defaulted </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings during which the issuer might not make </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">any interest or other payments, and the Fund may incur additional expenses in its effort to be repaid. If GMO’s assessment of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">eventual recovery value of a distressed or defaulted debt investment proves incorrect, the Fund may lose a substantial portion or all </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">of its original investment or may be required to accept cash or instruments worth less than its original investment.</font></div> </div> <div style="clear:both;position:relative;">
</div> </div> <div> <div style="clear:both;margin-top:6.5pt;position:relative;width:100%;">
<div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div>
<div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Management and Operational Risk</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – The Fund runs the risk that GMO’s investment techniques will fail to produce intended
</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">results.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">GMO uses quantitative models as part of its investment process. GMO’s models
may not accurately predict future market </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies,
staleness) </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">that could adversely affect their predictive value.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">The Fund also runs the risk
that GMO’s assessment of an investment (including a </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another
service provider’s internal systems </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">or controls will cause losses for the Fund or impair Fund operations.</font></div> </div>
<div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6.5pt;position:relative;width:100%;"> <div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div> <div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Derivatives and Short Sales Risk</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – The use of derivatives involves the risk that
their value may not change as expected relative to </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present
other risks, </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">including market risk, illiquidity risk, currency risk, credit risk, leveraging risk, commodities risk and counterparty risk. The market </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">rates; and changes in the actual or perceived volatility of the relevant index or underlying securities. The Fund typically creates short </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">investment exposure by selling securities short or by taking a derivative position in which the value of the derivative moves in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. Specifically, the net asset value of </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">the Fund’s shares will be adversely affected if the equities or other assets that are the subject of the Fund’s short exposures </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">appreciate in value. The risk of loss associated with derivatives that provide short investment exposure and short sales of securities </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">is theoretically unlimited. The purchaser of TBA securities generally is subject to higher market risk and interest rate risk, because </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">the delivered securities may be less favorable than anticipated by the purchaser.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div>
<div style="clear:both;margin-top:6.5pt;position:relative;width:100%;"> <div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div>
<div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Currency Risk</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – Fluctuations in exchange rates can adversely affect the market value of the Fund’s foreign currency holdings and </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">investments denominated in foreign currencies.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div>
<div style="clear:both;margin-top:6.5pt;position:relative;width:100%;"> <div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div>
<div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Market Risk – Asset-Backed Securities</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – The market price of asset-backed securities, like that of other fixed income investments </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">with
complex structures, can decline for a variety of reasons, including investor uncertainty about their credit quality and the </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">reliability of their payment streams. Payment
streams associated with asset-backed securities held by the Fund depend on many </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">factors (e.g., the cash flow generated by the assets backing the securities, deal
structure, and creditworthiness of any credit-support </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">provider), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected the Fund
to receive </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">when the Fund purchased the asset-backed security. The liquidity of asset-backed securities (particularly below investment grade </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">asset-backed securities) may change over time. During periods of deteriorating economic conditions, such as recessions, or periods </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, for asset-backed securities whose </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">underlying assets consist of loans, sales contracts, receivables and other
obligations.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11.5pt;"> </font></div> </div> <div style="clear:both;position:relative;"> </div> </div> </div> <div style="clear:both;"> </div>
<div style="float:left;margin-left:18pt;margin-top:8pt;width:559pt;min-height:12pt;"> <div style="line-height:12.0pt;margin-top:5pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:12pt;margin-left:0%;">3</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin-bottom:0.25pt;margin-left:0.25pt;margin-right:0.25pt;margin-top:40.0pt;"> </div> <div> <div><a name="xx_39754e51-4a39-46e0-abde-2f548a968d0d_4"></A> <div style="page-break-after:always;position:relative;">
<div style="clear:both;"> </div> <div style="float:left;margin-left:18pt;margin-top:18pt;width:559pt;min-height:18pt;"> <div style="line-height:14.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:12pt;font-weight:bold;line-height:14pt;">GMO MULTI-SECTOR FIXED INCOME FUND</font></div> </div> <div style="clear:both;"> </div>
<div style="float:left;margin-left:18pt;margin-top:12pt;width:559pt;min-height:690pt;"> <div> <div style="clear:both;position:relative;width:100%;"> <div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div> <div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Illiquidity Risk</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – Low trading volume, lack of a market maker, large position
size, or legal restrictions increase the risk that the Fund </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">or an underlying fund is limited or prevented from selling particular securities or closing derivative
positions at desirable prices.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6.5pt;position:relative;width:100%;">
<div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div>
<div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Futures Contracts Risk</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – The loss to the Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">highly volatile, and the use of futures contracts increases the volatility of the Fund’s net asset value. A liquid secondary market may </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">not exist for any particular futures contract at any particular time, and the Fund may be unable when it wishes to effect closing </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">transactions to terminate its exposure under that contract. When the Fund uses futures contracts for hedging purposes, it runs the risk </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">the contracts or movements in the prices of the Fund’s investments that are subject to the hedge. In addition, the Fund may be </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.</font></div> </div> <div style="clear:both;position:relative;">
</div> </div> <div> <div style="clear:both;margin-top:6.5pt;position:relative;width:100%;">
<div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div>
<div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Non-U.S. Investment Risk</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">U.S. securities markets are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">those markets often is higher than in U.S. securities markets. In addition, non-U.S. securities issuers often are not subject to as much </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">subject often are not as rigorous as U.S. standards. In addition, the Fund is subject to taxation by countries other than the </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">United States, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">generated from the sale or other disposition of those investments.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">Also, the Fund needs a license to
invest directly in securities traded </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">in many non-U.S. securities markets, and the Fund is subject to the risk that its license is terminated or suspended. In some
non-U.S. </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">securities markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">expose the Fund to credit and other risks. Further, adverse changes in investment regulations, capital requirements or exchange </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">controls could adversely affect the value of the Fund’s investments. The risks above (such as substantial price fluctuations and </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">market instability, illiquidity and lack of regulation) and other risks (e.g., nationalization, expropriation or other confiscation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">economies of developed countries.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div>
<div style="clear:both;margin-top:6.5pt;position:relative;width:100%;"> <div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div>
<div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Counterparty Risk</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">payments, return the Fund’s collateral or otherwise honor its obligations.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div>
<div style="clear:both;margin-top:6.5pt;position:relative;width:100%;"> <div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div>
<div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Focused Investment Risk</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – Investments focused in countries, regions, asset classes, sectors, industries, currencies, or issuers that are </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">subject to the same or similar risk factors and investments whose market prices are closely correlated, such as the Fund’s </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">investments in non-U.S. government bonds and asset-backed securities secured by different types of consumer debt (e.g., credit-card </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">receivables, automobile loans, and home equity loans), are subject to higher overall risk than investments that are more diversified </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">or whose market prices are not as closely correlated.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div>
<div style="clear:both;margin-top:6.5pt;position:relative;width:100%;"> <div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div>
<div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Leveraging Risk</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – The use of derivatives, short sales and securities lending can create leverage. Leverage increases the Fund’s losses </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">when the value of its investments (including derivatives) declines. In addition, the Fund’s portfolio will be leveraged if it exercises </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">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 </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">redemption request is deemed to be received by the Fund and the time the Fund liquidates assets to meet that request.</font></div> </div> <div style="clear:both;position:relative;">
</div> </div> <div> <div style="clear:both;margin-top:6.5pt;position:relative;width:100%;">
<div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div>
<div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Large Shareholder Risk</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an
</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">allocation accounts), the Fund is subject to the risk that a redemption by that shareholder or group will require the Fund to sell </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.</font></div> </div> <div style="clear:both;position:relative;">
</div> </div> <div> <div style="clear:both;margin-top:6.5pt;position:relative;width:100%;">
<div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div>
<div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Market Disruption and Geopolitical Risk</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) often disrupt
</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">securities markets and adversely affect the general economy or particular economies and markets. Those events, as well as other </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Fund’s investments.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6.5pt;position:relative;width:100%;">
<div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div>
<div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Fund of Funds Risk</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – The Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests, </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">including the risk that those underlying funds will not perform as expected.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11.5pt;">
</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6.5pt;position:relative;width:100%;"> <div style="float:left;line-height:9.5pt;text-align:left;width:3.68pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;">•</font></div> <div style="float:left;line-height:11.5pt;margin-left:11.32pt;text-align:justify;width:539.00pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Smaller Company Risk</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> – Smaller companies may have limited product lines,
markets, or financial resources, lack the competitive </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">strength of larger companies, have less experienced managers or depend on a few key employees. The securities of
companies with </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">smaller market capitalizations often are less widely held and trade less frequently and in lesser quantities, and their market prices </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">often fluctuate more, than the securities of companies with larger market capitalizations.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> </div>
<div style="clear:both;"> </div> <div style="float:left;margin-left:18pt;margin-top:8pt;width:559pt;min-height:12pt;"> <div style="line-height:12.0pt;margin-top:5pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:12pt;margin-left:0%;">4</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin-bottom:0.25pt;margin-left:0.25pt;margin-right:0.25pt;margin-top:40.0pt;"> </div> <div> <div><a name="xx_39754e51-4a39-46e0-abde-2f548a968d0d_5"></A> <div style="page-break-after:always;position:relative;">
<div style="clear:both;"> </div> <div style="float:left;margin-left:18pt;margin-top:18pt;width:559pt;min-height:18pt;"> <div style="line-height:14.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:12pt;font-weight:bold;line-height:14pt;">GMO MULTI-SECTOR FIXED INCOME FUND</font></div> </div> <div style="clear:both;"> </div>
<div style="float:left;margin-left:18pt;margin-top:12pt;width:559pt;min-height:135pt;">
<div style="line-height:12.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Performance</font></div> <div style="line-height:11.5pt;margin-top:1.25pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund’s </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">annual total returns from year to year for the periods indicated and by comparing the Fund’s average annual total returns for different </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">calendar periods with those of the Fund’s benchmark, a broad-based index.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> Share classes not shown
would have substantially similar </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">annual returns to those below because all share classes invest in the same portfolio of securities. Annual returns vary among share
</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">classes to the extent that they bear different expenses. Share classes that bear higher expenses than the share classes shown below would </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">have lower returns. </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">After-tax returns are calculated using the historical highest individual federal
marginal income tax rates and do not </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">reflect the impact of state and local taxes.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> Actual
after-tax returns depend on your tax situation and may differ from those shown. After-tax</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> returns shown are not relevant if you are tax-exempt or if you hold your Fund
shares through tax-advantaged arrangements (such as </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">a 401(k) plan or individual retirement account). </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">After-tax returns are shown for Class III shares only; after-tax returns for other classes </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">will
vary.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> Updated performance information for the Fund is available at </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">www.gmo.com</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">. </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">Past performance (before and after taxes) is not </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">an indication of future performance.</font></div> </div> <div style="clear:both;"> </div> <div style="float:left;margin-left:18pt;margin-top:12pt;width:267.5pt;min-height:198pt;">
<div style="line-height:12.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;margin-left:0%;">Annual Total Returns/Class III Shares</font> <br><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Years Ending December 31</font></div> <div style="margin-top:4.5pt;text-align:left;">
<img src="g123733bar_msfif.jpg" alt=" " style="height:119pt;width:259pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11pt;"> </font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;margin-left:0%;"> </font></div> <div style="margin-top:0.0pt;">
<table style="empty-cells:show;margin-left:34.97pt;width:197.57pt;" cellpadding="0" cellspacing="0">
<tr style="height:9.5pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:72.25pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-right:4.5pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Highest Quarter:</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:54pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:4.5pt;margin-right:4.5pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">4.47%</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:71.32pt;" colspan="2"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:4.5pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">2Q 2020</font></div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:72.25pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-right:4.5pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Lowest Quarter:</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:54pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:4.5pt;margin-right:4.5pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">-6.88%</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:71.32pt;" colspan="2"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:4.5pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">1Q 2022</font></div> </div> </td> </tr>
<tr style="height:9.5pt;">
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;width:72.25pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-right:4.5pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Year-to-Date:</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;width:54pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:4.5pt;margin-right:4.5pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">2.92%</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;width:29.01pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:4.5pt;margin-right:1.75pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">As of</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;width:42.31pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:1.75pt;text-align:Center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">3/31/2023</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;text-align:left;"> </div> </div>
<div style="float:left;margin-left:24.0pt;margin-top:12pt;width:267.5pt;min-height:198pt;">
<div style="line-height:12.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;margin-left:0%;">Average Annual Total Returns</font> <br><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Periods Ending December 31, 2022</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;"> </font></div> <div style="line-height:0.0pt;text-align:left;">
</div> <div style="margin-top:0.0pt;">
<table style="border-bottom:0.5pt solid #000000;border-left:0.5pt solid #000000;border-right:0.5pt solid #000000;border-top:0.5pt solid #000000;empty-cells:show;width:267.5pt;" cellpadding="0" cellspacing="0">
<tr style="height:10.75pt;">
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:123.15pt;"> <div style="line-height:0.5pt;text-align:left;">
<div style="margin-left:3pt;margin-right:2.75pt;text-align:Left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;margin-left:0.0pt;"> </font></div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:32.98pt;"> <div style="line-height:9.0pt;text-align:left;">
<div style="margin-left:0.75pt;margin-right:0.75pt;text-align:Center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;">1 Year</font></div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:31.15pt;"> <div style="line-height:9.0pt;text-align:left;">
<div style="margin-left:0.75pt;margin-right:0.75pt;text-align:Center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;">5 Years</font></div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:35.1pt;"> <div style="line-height:9.0pt;text-align:left;">
<div style="margin-left:0.75pt;margin-right:0.75pt;text-align:Center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;">10 Years</font></div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:45.11pt;"> <div style="line-height:9.0pt;text-align:left;">
<div style="margin-left:0.75pt;margin-right:1pt;text-align:Center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;">Incept.</font></div> </div> </td> </tr>
<tr style="height:9.5pt;">
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:123.15pt;"> <div style="line-height:9.0pt;text-align:left;">
<div style="margin-left:3pt;margin-right:2.75pt;text-align:Left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;margin-left:0.0pt;">Class III</font></div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:32.98pt;">
<div style="line-height:0.5pt;margin-left:3pt;margin-right:3pt;text-align:right;width:26.98pt;"> <div style="display:flex;margin:auto;width:28.98pt;"> <div style="display:flex;white-space:nowrap;width:28.98pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;"> </font></div> </div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:31.15pt;">
<div style="line-height:0.5pt;margin-left:3pt;margin-right:3pt;text-align:right;width:25.15pt;"> <div style="display:flex;margin:auto;width:25.03pt;"> <div style="display:flex;white-space:nowrap;width:25.03pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;"> </font></div> </div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:35.1pt;">
<div style="line-height:0.5pt;margin-left:3pt;margin-right:3pt;text-align:right;width:29.1pt;"> <div style="display:flex;margin:auto;width:25.03pt;"> <div style="display:flex;white-space:nowrap;width:25.03pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;"> </font></div> </div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:45.11pt;"> <div style="line-height:9.0pt;margin-left:3pt;margin-right:1.5pt;text-align:right;width:38.61pt;">
<div style="display:flex;margin:auto;width:40.61pt;"> <div style="display:flex;white-space:nowrap;width:40.61pt;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;">4/30/1997</font></div> </div> </div> </td>
</tr>
<tr style="height:9.5pt;">
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:123.15pt;"> <div style="line-height:9.0pt;text-align:left;">
<div style="margin-left:3pt;margin-right:2.75pt;text-align:Left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;margin-left:0.0pt;">Return Before Taxes</font></div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:32.98pt;">
<div style="line-height:9.0pt;margin-left:3pt;margin-right:3pt;text-align:right;width:26.98pt;"> <div style="display:flex;margin:auto;width:28.98pt;"> <div style="display:flex;white-space:nowrap;width:28.98pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;">-14.52%</font></div> </div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:31.15pt;">
<div style="line-height:9.0pt;margin-left:3pt;margin-right:3pt;text-align:right;width:25.15pt;"> <div style="display:flex;margin:auto;width:25.03pt;"> <div style="display:flex;white-space:nowrap;width:25.03pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;">-0.01%</font></div> </div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:35.1pt;">
<div style="line-height:9.0pt;margin-left:3pt;margin-right:3pt;text-align:right;width:29.1pt;"> <div style="display:flex;margin:auto;width:25.03pt;"> <div style="display:flex;white-space:nowrap;width:25.03pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;margin-left:2.63pt;">1.38%</font></div> </div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:45.11pt;"> <div style="line-height:9.0pt;margin-left:3pt;margin-right:1.5pt;text-align:right;width:38.61pt;">
<div style="display:flex;margin:auto;width:40.61pt;"> <div style="display:flex;white-space:nowrap;width:40.61pt;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;margin-left:18.21pt;">4.23%</font></div> </div> </div> </td>
</tr>
<tr style="height:17.5pt;">
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:123.15pt;"> <div style="line-height:9.0pt;text-align:left;">
<div style="margin-left:3pt;margin-right:2.75pt;text-align:Left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;margin-left:0.0pt;">Return After Taxes on </font></div>
<div style="margin-left:3pt;margin-right:2.75pt;text-align:Left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;margin-left:7.9pt;">Distributions</font></div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:32.98pt;">
<div style="line-height:9.0pt;margin-left:3pt;margin-right:3pt;text-align:right;width:26.98pt;"> <div style="display:flex;margin:auto;width:28.98pt;"> <div style="display:flex;white-space:nowrap;width:28.98pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;">-15.17%</font></div> </div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:31.15pt;">
<div style="line-height:9.0pt;margin-left:3pt;margin-right:3pt;text-align:right;width:25.15pt;"> <div style="display:flex;margin:auto;width:25.03pt;"> <div style="display:flex;white-space:nowrap;width:25.03pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;">-1.77%</font></div> </div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:35.1pt;">
<div style="line-height:9.0pt;margin-left:3pt;margin-right:3pt;text-align:right;width:29.1pt;"> <div style="display:flex;margin:auto;width:25.03pt;"> <div style="display:flex;white-space:nowrap;width:25.03pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;">-0.25%</font></div> </div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:45.11pt;"> <div style="line-height:9.0pt;margin-left:3pt;margin-right:1.5pt;text-align:right;width:38.61pt;">
<div style="display:flex;margin:auto;width:40.61pt;"> <div style="display:flex;white-space:nowrap;width:40.61pt;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;margin-left:18.21pt;">1.85%</font></div> </div> </div> </td>
</tr>
<tr style="height:25.5pt;">
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:123.15pt;"> <div style="line-height:9.0pt;text-align:left;">
<div style="margin-left:3pt;margin-right:2.75pt;text-align:Left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;margin-left:0.0pt;">Return After Taxes on </font></div>
<div style="margin-left:3pt;margin-right:2.75pt;text-align:Left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;margin-left:7.9pt;">Distributions and Sale of Fund </font></div>
<div style="margin-left:3pt;margin-right:2.75pt;text-align:Left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;margin-left:7.9pt;">Shares</font></div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:32.98pt;">
<div style="line-height:9.0pt;margin-left:3pt;margin-right:3pt;text-align:right;width:26.98pt;"> <div style="display:flex;margin:auto;width:28.98pt;"> <div style="display:flex;white-space:nowrap;width:28.98pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;margin-left:3.95pt;">-8.59%</font></div> </div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:31.15pt;">
<div style="line-height:9.0pt;margin-left:3pt;margin-right:3pt;text-align:right;width:25.15pt;"> <div style="display:flex;margin:auto;width:25.03pt;"> <div style="display:flex;white-space:nowrap;width:25.03pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;">-0.47%</font></div> </div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:35.1pt;">
<div style="line-height:9.0pt;margin-left:3pt;margin-right:3pt;text-align:right;width:29.1pt;"> <div style="display:flex;margin:auto;width:25.03pt;"> <div style="display:flex;white-space:nowrap;width:25.03pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;margin-left:2.63pt;">0.49%</font></div> </div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:45.11pt;"> <div style="line-height:9.0pt;margin-left:3pt;margin-right:1.5pt;text-align:right;width:38.61pt;">
<div style="display:flex;margin:auto;width:40.61pt;"> <div style="display:flex;white-space:nowrap;width:40.61pt;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;margin-left:18.21pt;">2.35%</font></div> </div> </div> </td>
</tr>
<tr style="height:31.75pt;">
<td style="border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:123.15pt;"> <div style="line-height:9.0pt;text-align:left;">
<div style="margin-left:3pt;margin-right:2.75pt;text-align:Left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;margin-left:0.0pt;">Bloomberg U.S. Aggregate </font></div>
<div style="margin-left:3pt;margin-right:2.75pt;text-align:Left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;font-weight:bold;margin-left:7.9pt;">Index</font><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;margin-left:0.0pt;"> (Fund benchmark) </font></div> <div style="margin-left:3pt;margin-right:2.75pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;margin-left:7.9pt;">(reflects no deduction for fees, </font></div> <div style="margin-left:3pt;margin-right:2.75pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7.9pt;margin-left:7.9pt;">expenses, or taxes)</font></div> </div> </td>
<td style="border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:32.98pt;"> <div style="line-height:9.0pt;margin-left:3pt;margin-right:3pt;text-align:right;width:26.98pt;">
<div style="display:flex;margin:auto;width:28.98pt;"> <div style="display:flex;white-space:nowrap;width:28.98pt;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;">-13.01%</font></div> </div> </div> </td>
<td style="border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:31.15pt;"> <div style="line-height:9.0pt;margin-left:3pt;margin-right:3pt;text-align:right;width:25.15pt;">
<div style="display:flex;margin:auto;width:25.03pt;"> <div style="display:flex;white-space:nowrap;width:25.03pt;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;margin-left:2.63pt;">0.02%</font></div> </div> </div> </td>
<td style="border-right:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:35.1pt;"> <div style="line-height:9.0pt;margin-left:3pt;margin-right:3pt;text-align:right;width:29.1pt;">
<div style="display:flex;margin:auto;width:25.03pt;"> <div style="display:flex;white-space:nowrap;width:25.03pt;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;margin-left:2.63pt;">1.06%</font></div> </div> </div> </td>
<td style="padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;white-space:nowrap;width:45.11pt;"> <div style="line-height:9.0pt;margin-left:3pt;margin-right:1.5pt;text-align:right;width:38.61pt;">
<div style="display:flex;margin:auto;width:40.61pt;"> <div style="display:flex;white-space:nowrap;width:40.61pt;"><font style="color:#000000;font-family:Times New Roman;font-size:7.9pt;margin-left:18.21pt;">4.20%</font></div> </div> </div> </td>
</tr> </table> </div> </div> <div style="clear:both;"> </div> <div style="float:left;margin-left:18pt;margin-top:12pt;width:559pt;min-height:333pt;"> <div style="line-height:12.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Management of the Fund</font></div> <div style="line-height:11.5pt;margin-left:21pt;margin-top:1.25pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Investment Adviser: Grantham, Mayo, Van Otterloo & Co. LLC</font> <br><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">Investment Team and Senior Members of
GMO primarily responsible for portfolio management of the Fund:</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;"> </font></div> <div style="line-height:0.0pt;text-align:left;"> </div> <div style="margin-top:0.0pt;">
<table style="empty-cells:show;width:559pt;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="border-bottom:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:88.5pt;"> <div style="line-height:10.0pt;text-align:left;"> <div style="margin-right:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;margin-left:0.0pt;">Investment Team</font></div> </div> </td>
<td style="border-bottom:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:237.5pt;"> <div style="line-height:10.0pt;text-align:left;">
<div style="margin-left:4.5pt;margin-right:4.5pt;text-align:Left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;margin-left:0.0pt;">Senior Member (Length of Service with Fund)</font></div>
</div> </td>
<td style="border-bottom:0.5pt solid #000000;padding-bottom:1.25pt;padding-top:1.25pt;vertical-align:Bottom;width:233pt;"> <div style="line-height:10.0pt;text-align:left;"> <div style="margin-left:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:8pt;font-weight:bold;margin-left:0.0pt;">Title</font></div> </div> </td> </tr>
<tr style="height:24pt;">
<td style="padding-bottom:3pt;padding-top:1.25pt;vertical-align:Top;width:88.5pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-right:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Developed Rates </font></div> <div style="margin-right:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">and FX</font></div> </div> </td>
<td style="padding-bottom:3pt;padding-top:1.25pt;vertical-align:Top;width:237.5pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:4.5pt;margin-right:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Jason Hotra (since 2016)</font></div> </div> </td>
<td style="padding-bottom:3pt;padding-top:1.25pt;vertical-align:Top;width:233pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Head, Developed Rates and FX Team and Portfolio</font></div> <div style="margin-left:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Manager, Multi-Sector Fixed Income Strategy, GMO.</font></div> </div> </td> </tr>
<tr style="height:21pt;">
<td style="padding-bottom:1.5pt;padding-top:3pt;vertical-align:Top;width:88.5pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-right:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Developed Rates </font></div> <div style="margin-right:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">and FX</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:3pt;vertical-align:Top;width:237.5pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:4.5pt;margin-right:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Riti Samanta (since June 2020)</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:3pt;vertical-align:Top;width:233pt;"> <div style="line-height:11pt;text-align:left;"> <div style="margin-left:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Portfolio Manager, Systematic Credit and Multi-Sector</font></div> <div style="margin-left:4.5pt;text-align:Left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:0.0pt;">Fixed Income Strategies, GMO.</font></div> </div> </td> </tr> </table> </div> <div style="line-height:12.0pt;margin-top:10pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Purchase and sale of Fund shares</font></div> <div style="line-height:11.5pt;margin-top:1.25pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">Under ordinary circumstances, you may purchase the Fund’s shares on days when both (i) the New York Stock Exchange </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">(“NYSE”) is open for business and (ii) the U.S. bond markets are also open for business. Purchase orders should be submitted directly </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">to GMO Trust (the “Trust”) or through a broker or agent authorized to accept purchase and redemption orders on the Funds’ behalf. </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Investors who have entered into agreements with the Trust may purchase shares of the Fund through the National Securities Clearing </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Corporation (“NSCC”).</font></div> <div style="line-height:11.5pt;margin-top:6.50pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">Class R6 shares and Class I shares are available for purchase by (i) eligible retirement plans (e.g., 401(k) plans, 457 plans, </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">employer-sponsored 403(b) plans, profit-sharing and money purchase pension plans, defined benefit plans and non-qualified deferred </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">compensation plans), (ii) section 529 plans, and (iii) other investors whose accounts are maintained by the Fund through third-party </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">platforms or intermediaries. Purchases of Class R6 shares or Class I shares are not subject to any minimum dollar amount.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11.5pt;"> </font></div> <div style="line-height:11.5pt;margin-top:6.50pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">Fund shares are redeemable. Under ordinary circumstances, you may redeem the Fund’s shares on days when both (i) the NYSE is </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">open for business and (ii) the U.S. bond markets are also open for business. Redemption orders should be submitted directly to the Trust </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">unless the Fund shares to be redeemed were purchased through a broker or agent, in which case the redemption order should be </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">submitted to that broker or agent. Investors who have entered into agreements with the Trust may redeem shares of the Fund through </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">the NSCC. For instructions on redeeming shares directly, call the Trust at 1-617-346-7646 or send an email to SHS@GMO.com.</font></div> </div> <div style="clear:both;"> </div>
<div style="float:left;margin-left:18pt;margin-top:8pt;width:559pt;min-height:12pt;"> <div style="line-height:12.0pt;margin-top:5pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:12pt;margin-left:0%;">5</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin-bottom:0.25pt;margin-left:0.25pt;margin-right:0.25pt;margin-top:40.0pt;"> </div> <div> <div><a name="xx_39754e51-4a39-46e0-abde-2f548a968d0d_6"></A> <div style="page-break-after:always;position:relative;">
<div style="clear:both;"> </div> <div style="float:left;margin-left:18pt;margin-top:18pt;width:559pt;min-height:18pt;"> <div style="line-height:14.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:12pt;font-weight:bold;line-height:14pt;">GMO MULTI-SECTOR FIXED INCOME FUND</font></div> </div> <div style="clear:both;"> </div>
<div style="float:left;margin-left:18pt;margin-top:12pt;width:559pt;min-height:690pt;"> <div style="line-height:12.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">U.S. tax
information</font></div> <div style="line-height:11.5pt;margin-top:1.25pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">The Fund has elected to be treated, and intends to qualify and
be treated each year, as a regulated investment company (a “RIC”) </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”)
for U.S. federal income tax purposes and to </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">distribute net investment income and net realized capital gains, if any, to shareholders. These distributions are taxable as
ordinary </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">income or capital gain to U.S. shareholders that are not exempt from U.S. income tax or that are not investing through a tax-advantaged </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">account. U.S. shareholders who are investing through a tax-advantaged account may be taxed upon withdrawals from that account.</font></div>
<div style="line-height:12.0pt;margin-top:9.75pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Financial intermediary compensation</font></div>
<div style="line-height:11.5pt;margin-top:1.25pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:3.76%;">The Fund makes payments out of the net assets attributable to Class I shares for
sub-transfer agency, recordkeeping and other </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">administrative services provided by financial intermediaries for the benefit of Class I shareholders. In addition, GMO pays
brokers, </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">agents, or other financial intermediaries for transfer agency and related services. These payments create a conflict of interest by creating </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">a financial incentive for the broker, agent or other financial intermediary and salesperson to recommend the purchase of Fund shares </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">over another investment. GMO also makes payments to financial intermediaries for the purchase of Fund shares, which creates a similar </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">conflict of interest. Ask your salesperson or consult your financial intermediary’s website for more information.</font></div> </div> <div style="clear:both;"> </div>
<div style="float:left;margin-left:18pt;margin-top:8pt;width:559pt;min-height:12pt;"> <div style="line-height:12.0pt;margin-top:5pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:12pt;margin-left:0%;">6</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin-bottom:0.25pt;margin-left:0.25pt;margin-right:0.25pt;margin-top:40.0pt;"> </div> </BODY></HTML>
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</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>