UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04347

GMO Trust

(Exact name of the registrant as specified in charter)

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

(Address of principal executive offices) (Zip Code)

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

(Name and address of agent for services)

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

Date of fiscal year end: 02/29/24

Date of reporting period: 02/29/24

Item 1. Reports to Stockholders.

The annual reports for each series of the registrant for the period ended February 29, 2024 are filed herewith.

GMO Trust

Annual Report

February 29, 2024

Climate Change Fund

Emerging Markets ex-China Fund

Emerging Markets Fund

International Equity Fund

International Opportunistic Value Fund

(formerly Tax-Managed International Equities Fund)

Japan Value Creation Fund

Quality Cyclicals Fund

Quality Fund

Resource Transition Fund

Resources Fund

Small Cap Quality Fund

U.S. Equity Fund

U.S. Opportunistic Value Fund

U.S. Small Cap Value Fund

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

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

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

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

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

TABLE OF CONTENTS

Climate Change Fund
Management Discussion and Analysis of Fund Performance	3
Performance Graph	4
Investment Concentration Summary	5
Schedule of Investments	6
Emerging Markets ex-China Fund
Management Discussion and Analysis of Fund Performance	9
Performance Graph	10
Investment Concentration Summary	11
Schedule of Investments	12
Emerging Markets Fund
Management Discussion and Analysis of Fund Performance	17
Performance Graph	18
Investment Concentration Summary	20
Schedule of Investments	21
International Equity Fund
Management Discussion and Analysis of Fund Performance	27
Performance Graph	28
Investment Concentration Summary	29
Schedule of Investments	30
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Management Discussion and Analysis of Fund Performance	35
Performance Graph	36
Investment Concentration Summary	37
Schedule of Investments	38
Japan Value Creation Fund
Management Discussion and Analysis of Fund Performance	41
Performance Graph	42
Investment Concentration Summary	43
Schedule of Investments	44
Quality Cyclicals Fund
Management Discussion and Analysis of Fund Performance	45
Performance Graph	46
Investment Concentration Summary	47
Schedule of Investments	48
Quality Fund
Management Discussion and Analysis of Fund Performance	51
Performance Graph	52
Investment Concentration Summary	53
Schedule of Investments	54
Resource Transition Fund
Management Discussion and Analysis of Fund Performance	57
Performance Graph	58
Investment Concentration Summary	59
Schedule of Investments	60
Resources Fund
Management Discussion and Analysis of Fund Performance	63
Performance Graph	64
Investment Concentration Summary	65
Schedule of Investments	66

Small Cap Quality Fund
Management Discussion and Analysis of Fund Performance	69
Performance Graph	70
Investment Concentration Summary	71
Schedule of Investments	72
U.S. Equity Fund
Management Discussion and Analysis of Fund Performance	75
Performance Graph	76
Investment Concentration Summary	77
Schedule of Investments	78
U.S. Opportunistic Value Fund
Management Discussion and Analysis of Fund Performance	81
Performance Graph	82
Investment Concentration Summary	83
Schedule of Investments	84
U.S. Small Cap Value Fund
Management Discussion and Analysis of Fund Performance	87
Performance Graph	88
Investment Concentration Summary	89
Schedule of Investments	90
Portfolio, Counterparty and Currency Abbreviations	95
Fund Financial Statements:
Statements of Assets and Liabilities	96
Statements of Operations	102
Statements of Changes in Net Assets	106
Financial Highlights	113
Notes to Financial Statements	156
Report of Independent Registered Public Accounting Firm	196
Fund Expenses	198
Tax Information	200
Trustees and Officers	201

This page has been left blank intentionally.

GMO Climate Change Fund

(A Series of GMO Trust)

 

   

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Climate Change Fund returned -23.16% (net) for the fiscal year ended February 29, 2024, as compared with +23.15% for the MSCI ACWI.

The Fund’s clean energy holdings, approximately half of the portfolio by weight, returned -41.8% for the year. This accounted for almost all the absolute drawdown in performance. Solar, biofuel, and battery companies fell significantly more than broader global markets. SolarEdge and Sunrun, two solar companies, were the two biggest individual detractors.

The Fund’s energy efficiency and agriculture holdings also fell in absolute terms, while electric grid and water allocations added to absolute returns but trailed broad global equities.

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

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

3

GMO Climate Change Fund

(A Series of GMO Trust)

 

 

Comparison of Change in Value of a $1,000,000 Investment in

GMO Climate Change Fund Class III Shares and the MSCI ACWI

As of February 29, 2024

	Average Annual Total Returns
	1 Year	5 Year	Since Inception
Class III	-23.16%	6.07%	4/5/17 6.74%
Class R6	-23.18%	n/a	1/16/20 3.59%
Class I	-23.25%	n/a	2/25/20 4.88%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, R6 and I the gross expense ratio of 0.82%, 0.82% and 0.92%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.77%, 0.77% and 0.87% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

4

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.1	%
Mutual Funds		3.0
Preferred Stocks		1.9
Short-Term Investments		0.1
Other		(2.1	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		45.8	%
France		12.2
Canada		8.6
South Korea		6.6
Japan		4.9
Germany		4.0
Denmark		3.5
Other Developed		2.1	‡
Mexico		2.0
Other Emerging		2.0	†
Chile		1.8
Spain		1.5
Finland		1.4
Jersey		1.2
Norway		1.2
Italy		1.2
		100.0	%
Industry Group Summary	% of Equity Investments#
Clean Energy		47.5	%
Energy Efficiency		21.3
Electric Grid		9.3
Copper		8.3
Water		6.9
Agriculture		5.1
Timber		1.6
		100.0	%

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

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

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

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

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

5

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 97.1%
		Argentina — 0.5%
	403,072	Adecoagro SA (a)		4,046,843
		Australia — 0.1%
	320,055	Clean TeQ Water Ltd. * (a)		81,279
	1,399,037	Sunrise Energy Metals Ltd. * (a)		332,594
		Total Australia		413,873
		Brazil — 0.9%
	782,104	SLC Agricola SA		3,093,111
	347,800	Suzano SA		3,942,494
		Total Brazil		7,035,605
		Canada — 8.7%
	476,293	Anaergia, Inc. * (a)		100,021
	866,625	Canadian Solar, Inc. * (a)		18,277,121
	431,300	Capstone Copper Corp. *		2,262,724
	47,200	ERO Copper Corp. * (a)		804,085
	609,438	First Quantum Minerals Ltd.		5,770,385
	1,925,700	Greenlane Renewables, Inc. * (a)		177,366
	2,988,987	Ivanhoe Mines Ltd. – Class A*		31,780,631
	1,008,392	Largo, Inc. * (a)		1,812,973
	1,333,508	Li-Cycle Holdings Corp. * (a)		480,063
	201,100	Northland Power, Inc. (a)		3,408,098
		Total Canada		64,873,467
		China — 0.5%
	1,438,276	Yutong Bus Co. Ltd. – Class A		3,729,262
		Denmark — 3.6%
	13,893	ROCKWOOL AS – B Shares		4,446,463
	789,097	Vestas Wind Systems AS *		21,990,574
		Total Denmark		26,437,037
		Finland — 1.5%
	249,946	Kemira OYJ		4,502,952
	228,677	Neste OYJ		6,268,516
		Total Finland		10,771,468
		France — 12.4%
	29,268	Legrand SA		2,964,299
	382,954	Nexans SA		39,468,876
	18,890	Schneider Electric SE		4,293,547
	249,552	STMicroelectronics NV		11,334,801
	1,217,788	Valeo SE		14,053,329
	579,377	Veolia Environnement SA		17,959,711
	114,522	Waga Energy SA *		2,106,192
		Total France		92,180,755
		Germany — 4.0%
	177,301	E.ON SE		2,264,009

Shares		Description	Value ($)
		Germany — continued
	420,634	Infineon Technologies AG		15,103,097
	99,910	Knorr-Bremse AG		6,994,698
	28,682	Siemens AG (Registered)		5,678,141
		Total Germany		30,039,945
		Ireland — 0.5%
	39,014	Kingspan Group PLC		3,527,992
		Italy — 1.2%
	122,103	CNH Industrial NV		1,435,338
	146,901	Prysmian SpA		7,331,204
		Total Italy		8,766,542
		Japan — 5.0%
	135,300	Ebara Corp.		11,434,485
	209,900	GS Yuasa Corp.		3,953,558
	101,600	Organo Corp.		5,221,881
	783,400	Renesas Electronics Corp. *		12,944,182
	180,200	Yokogawa Electric Corp.		3,814,437
		Total Japan		37,368,543
		Jersey — 1.3%
	1,726,261	Arcadium Lithium PLC (a)		9,477,173
		Mexico — 2.1%
	2,158,469	Grupo Mexico SAB de CV – Series B		10,524,978
	2,548,226	Orbia Advance Corp. SAB de CV		4,707,959
		Total Mexico		15,232,937
		Netherlands — 0.7%
	87,028	Arcadis NV		5,079,584
		Norway — 1.2%
	646,966	Austevoll Seafood ASA		4,910,551
	104,314	Mowi ASA		2,014,618
	33,929	Salmar ASA		2,154,814
		Total Norway		9,079,983
		Russia — 0.0%
	72,215	MMC Norilsk Nickel PJSC (b)		115,323
	3	MMC Norilsk Nickel PJSC ADR (b)		—
	120,856	PhosAgro PJSC (b)		88,998
	2,335	PhosAgro PJSC GDR (b) (c)		576
	169,638	Ros Agro PLC GDR (Registered) * (b)		14,637
		Total Russia		219,534
		South Korea — 6.7%
	108,922	LG Chem Ltd.		37,202,972
	43,995	Samsung SDI Co. Ltd.		12,498,589
		Total South Korea		49,701,561

  See accompanying notes to the financial statements. 6

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Spain — 1.5%
	19,873	Acciona SA		2,226,267
	174,796	Endesa SA		3,148,096
	318,585	Iberdrola SA		3,658,996
	145,558	Redeia Corp. SA		2,315,878
		Total Spain		11,349,237
		Switzerland — 0.3%
	25,328	Landis & Gyr Group AG		1,976,437
		Ukraine — 0.1%
	219,994	Kernel Holding SA *		716,135
		United Kingdom — 0.6%
	460,000	Lifezone Holdings Ltd.		2,336,800
	180,911	National Grid PLC		2,367,221
		Total United Kingdom		4,704,021
		United States — 43.7%
	23,600	Advanced Drainage Systems, Inc.		3,852,464
	342,762	Aemetis, Inc. * (a)		1,244,226
	60,732	AGCO Corp.		6,662,301
	28,700	Albemarle Corp.		3,956,295
	136,073	Alcoa Corp.		3,702,546
	1,004,370	Ameresco, Inc. – Class A*		21,051,595
	790,000	Array Technologies, Inc. *		10,775,600
	490,391	BorgWarner, Inc.		15,265,872
	67,700	Carrier Global Corp.		3,762,766
	4,188,389	Clean Energy Fuels Corp. *		12,355,748
	188,039	Corteva, Inc.		10,063,847
	907,010	Darling Ingredients, Inc. *		38,375,593
	6,722	Deere & Co.		2,453,866
	34,967	Edison International		2,378,455
	43,403	EnerSys		3,987,868
	92,622	Enphase Energy, Inc. *		11,763,920
	69,739	Exelon Corp.		2,499,446
	78,095	First Solar, Inc. *		12,018,040
	259,356	Freeport-McMoRan, Inc.		9,806,250
	1,171,395	Gevo, Inc. *		1,044,416
	5,761,291	GrafTech International Ltd.		10,139,872
	973,321	Green Plains, Inc. *		20,731,737
	4,200	Hubbell, Inc.		1,598,814
	21,500	MasTec, Inc. *		1,622,390
	54,748	Mueller Water Products, Inc. – Class A		851,331
	14,987	MYR Group, Inc. *		2,434,788
	78,348	ON Semiconductor Corp. *		6,183,224
	28,209	Owens Corning		4,225,144
	59,772	Pentair PLC		4,649,664
	166,950	PotlatchDeltic Corp. – (REIT)		7,547,810
	61,400	Primoris Services Corp.		2,425,914
	196,696	Sensata Technologies Holding PLC		6,770,276
	543,176	SolarEdge Technologies, Inc. *		36,485,132
	2,642,998	Sunrun, Inc. *		31,821,696
	55,995	TE Connectivity Ltd.		8,038,642

Shares		Description	Value ($)
		United States — continued
	22,600	Veralto Corp.		1,953,092
		Total United States		324,500,640
		TOTAL COMMON STOCKS (COST $913,333,749)		721,228,574
		PREFERRED STOCKS (d) — 1.9%
		Chile — 1.9%
	276,504	Sociedad Quimica y Minera de Chile SA
		Sponsored ADR (a)		13,747,779
		TOTAL PREFERRED STOCKS (COST $15,186,529)		13,747,779
		MUTUAL FUNDS — 3.0%
		United States — 3.0%
		Affiliated Issuers — 3.0%
	4,478,154	GMO U.S. Treasury Fund (e)		22,390,770
		Total United States		22,390,770
		TOTAL MUTUAL FUNDS (COST $22,390,770)		22,390,770
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	1,093,187	State Street Institutional Treasury Money
		Market Fund – Premier Class, 5.25% (f)		1,093,187
		TOTAL SHORT-TERM INVESTMENTS (COST $1,093,187)		1,093,187
		TOTAL INVESTMENTS — 102.1% (Cost $952,004,235)		758,460,310
		Other Assets and Liabilities (net) — (2.1)%		(15,699,711	)
		TOTAL NET ASSETS — 100.0%	$	742,760,599

7 See accompanying notes to the financial statements.  

GMO Climate Change Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

February 29, 2024

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets			Value as of February 29, 2024
PhosAgro PJSC GDR		08/09/19	$	36,037		0.0	%	$	576

Notes to Schedule of Investments:

* Non-income producing security.

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

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

(c) The security is restricted as to resale.

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

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

(f) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

See accompanying notes to the financial statements. 8

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

 

   

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO Emerging Markets ex-China Fund returned +24.22% (net) for the fiscal year ended February 29, 2024, as compared with +19.71% for the MSCI Emerging Markets ex-China Index.

Stock selection drove outperformance for the period. Areas of strong stock selection included Taiwan, Vietnam, Mexico, Brazilian Energy, and Hungarian Financials.

Decisions which detracted from performance included overweight positioning toward South African Materials and underweight positioning toward India and Saudi Arabia.

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

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

9

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

 

   

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

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

MSCI Emerging Markets ex-China Index

As of February 29, 2024

	Average Annual Total Returns
	1 Year	Since Inception
Class III	24.10%	11/17/21  -5.77%
Class VI	24.22%	10/18/21 -5.48%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III and VI the gross expense ratio of 0.88% and 0.79%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.80% and 0.67% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

10

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		91.7	%
Preferred Stocks		6.6
Mutual Funds		2.0
Other		(0.3	)
		100.0	%
Country/Region Summary¤	% of Investments
Taiwan		26.6	%
India		15.8
Brazil		11.4
South Africa		9.4
South Korea		8.1
Mexico		6.9
Indonesia		6.0
Hungary		3.7
Poland		2.8
Vietnam		2.6
United States		2.0	*
Thailand		1.1
Colombia		0.7
Egypt		0.6
Pakistan		0.6
Turkey		0.6
Qatar		0.3
Malaysia		0.2
Russia		0.2
Czech Republic		0.2
Chile		0.1
Greece		0.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		18.0	%
Energy		15.6
Technology Hardware & Equipment		11.7
Semiconductors & Semiconductor Equipment		10.7
Materials		8.3
Food, Beverage & Tobacco		8.3
Financial Services		6.1
Transportation		5.8
Utilities		4.0
Software & Services		2.2
Consumer Discretionary Distribution & Retail		1.7
Consumer Staples Distribution & Retail		1.5
Pharmaceuticals, Biotechnology & Life Sciences		1.4
Capital Goods		1.2
Insurance		1.1
Media & Entertainment		0.8
Consumer Durables & Apparel		0.4
Commercial & Professional Services		0.3
Automobiles & Components		0.2
Telecommunication Services		0.2
Health Care Equipment & Services		0.2
Household & Personal Products		0.1
Real Estate Management & Development		0.1
Consumer Services		0.1
		100.0	%

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

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

* Includes companies that are economically tied to emerging markets.

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

11    

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 91.7%
		Brazil — 5.6%
	6,500	Alupar Investimento SA		38,939
	37,500	Ambev SA ADR		93,375
	505,800	Ambev SA		1,279,991
	4,600	Auren Energia SA		11,872
	210,600	Banco do Brasil SA		2,451,231
	64,600	BB Seguridade Participacoes SA		433,257
	2,600	BrasilAgro - Co. Brasileira de Propriedades Agricolas		12,406
	17,700	Cia de Saneamento de Minas Gerais Copasa MG		73,597
	9,900	Cia De Sanena Do Parana		51,441
	183,200	CPFL Energia SA		1,304,228
	117,627	Enauta Participacoes SA		602,912
	136,600	Engie Brasil Energia SA		1,154,660
	10,000	Mahle Metal Leve SA		72,197
	4,500	Odontoprev SA		10,908
	121,800	Petroleo Brasileiro SA		1,009,957
	76,400	Petroleo Brasileiro SA Sponsored ADR		1,262,128
	2,800	Sao Martinho SA		15,940
	20,500	Transmissora Alianca de Energia Eletrica SA		145,984
	489,700	Ultrapar Participacoes SA		2,892,236
	28,100	Vale SA		378,673
		Total Brazil		13,295,932
		Chile — 0.1%
	2,306,662	Colbun SA		317,063
		Colombia — 0.0%
	6,104	Interconexion Electrica SA ESP		26,002
		Czech Republic — 0.2%
	2,937	Moneta Money Bank AS		12,892
	705	Philip Morris CR AS		466,794
		Total Czech Republic		479,686
		Egypt — 0.6%
	80,922	Abou Kir Fertilizers & Chemical Industries		175,765
	238,179	Commercial International Bank—Egypt (CIB)		563,939
	569,836	Eastern Co. SAE		668,536
		Total Egypt		1,408,240
		Greece — 0.1%
	1,635	JUMBO SA		47,800
	6,773	OPAP SA		123,466
		Total Greece		171,266
		Hungary — 3.8%
	27,227	Magyar Telekom Telecommunications PLC		61,810
	84,610	MOL Hungarian Oil & Gas PLC		672,967
	155,498	OTP Bank Nyrt		7,461,738

Shares		Description	Value ($)
		Hungary — continued
	26,388	Richter Gedeon Nyrt		702,112
		Total Hungary		8,898,627
		India — 15.8%
	5,950	Ashoka Buildcon Ltd. *		13,416
	2,176	Avanti Feeds Ltd.		13,351
	391,946	Bharat Petroleum Corp. Ltd.		2,865,163
	167,620	Brightcom Group Ltd. *		34,682
	85,404	Castrol India Ltd.		214,836
	63,704	Chambal Fertilisers & Chemicals Ltd.		272,516
	33,205	Chennai Petroleum Corp. Ltd.		355,240
	4,827	Colgate-Palmolive India Ltd.		147,091
	17,881	Coromandel International Ltd.		230,926
	4,800	Dr Reddy’s Laboratories Ltd. ADR		368,544
	26,029	Dr Reddy’s Laboratories Ltd.		2,013,495
	1,684	EID Parry India Ltd.		12,751
	69,273	Engineers India Ltd.		175,193
	5,643	Firstsource Solutions Ltd.		13,927
	31,146	GHCL Ltd.		192,627
	19,736	Godawari Power & Ispat Ltd.		177,109
	33,442	Great Eastern Shipping Co. Ltd.		403,369
	30,663	Gujarat Narmada Valley Fertilizers &
		Chemicals Ltd.		236,943
	26,843	Gujarat Pipavav Port Ltd.		68,912
	189,654	Gujarat State Fertilizers & Chemicals Ltd.		499,657
	9,293	Gujarat State Petronet Ltd.		41,659
	73,612	HCL Technologies Ltd.		1,483,309
	2,520	ICICI Securities Ltd.		24,820
	2,243	IIFL Finance Ltd.		16,007
	694,917	Indiabulls Housing Finance Ltd.		1,595,335
	679,567	Indian Oil Corp. Ltd.		1,367,461
	22,546	Infosys Ltd.		453,754
	77,800	Infosys Ltd. Sponsored ADR		1,552,888
	1,034,026	ITC Ltd.		5,068,047
	65,918	JM Financial Ltd.		77,222
	3,233	Kaveri Seed Co. Ltd.		25,858
	3,732	KNR Constructions Ltd.		12,098
	3,105	KRBL Ltd.		12,023
	10,816	LT Foods Ltd.		23,430
	12,956	Mahanagar Gas Ltd.		231,634
	662,798	Manappuram Finance Ltd.		1,417,145
	1,645	Motilal Oswal Financial Services Ltd.		31,959
	19,247	Muthoot Finance Ltd.		300,462
	59,524	NCC Ltd.		177,316
	5,963	Nippon Life India Asset Management Ltd.		37,056
	2,316,252	Oil & Natural Gas Corp. Ltd.		7,396,737
	212,509	Petronet LNG Ltd.		700,329
	917,089	Power Grid Corp. of India Ltd.		3,143,182
	53,179	PTC India Ltd.		129,656
	38,484	Rashtriya Chemicals & Fertilizers Ltd.		65,751
	20,029	Reliance Industries Ltd.		707,133
	35,822	RITES Ltd.		344,963
	331	Sanofi India Ltd.		34,329
	40,792	Shipping Corp. of India Ltd.		117,434

  See accompanying notes to the financial statements. 12

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		India — continued
	12,978	Shriram Finance Ltd.		381,130
	83,845	Sun TV Network Ltd.		626,624
	17,116	Tata Consultancy Services Ltd.		848,042
	5,413	Triveni Engineering & Industries Ltd.		21,540
	53,666	Ujjivan Small Finance Bank Ltd.		34,580
	5,636	West Coast Paper Mills Ltd.		42,269
	102,130	Wipro Ltd.		640,120
	12,135	Zensar Technologies Ltd.		80,277
		Total India		37,573,327
		Indonesia — 6.0%
	2,690,200	AKR Corporindo Tbk. PT		291,112
	515,800	Aneka Tambang Tbk. PT		47,905
	749,100	Astra International Tbk. PT		249,374
	7,818,600	Bank Central Asia Tbk. PT		4,919,978
	4,631,600	Bank Mandiri Persero Tbk. PT		2,068,813
	6,528,700	Bank Negara Indonesia Persero Tbk. PT		2,495,166
	9,920,200	Bank Rakyat Indonesia Persero Tbk. PT		3,865,740
	67,800	Indah Kiat Pulp & Paper Tbk. PT		37,682
	22,800	Indofood CBP Sukses Makmur Tbk. PT		16,810
	35,300	Indofood Sukses Makmur Tbk. PT		14,888
	1,674,500	Medco Energi Internasional Tbk. PT		139,239
	250,100	Perusahaan Gas Negara Tbk. PT		17,351
		Total Indonesia		14,164,058
		Malaysia — 0.2%
	980,800	Dialog Group Bhd		434,028
	193,000	Kossan Rubber Industries Bhd		76,453
	4,800	United Plantations Bhd		22,399
		Total Malaysia		532,880
		Mexico — 6.9%
	213,800	Arca Continental SAB de CV		2,304,802
	180,900	Banco del Bajio SA		669,609
	8,800	Bolsa Mexicana de Valores SAB de CV		19,052
	13,800	Coca-Cola Femsa SAB de CV Sponsored ADR		1,339,290
	539,400	Credito Real SAB de CV SOFOM ER * (a)		—
	7,200	Fomento Economico Mexicano SAB de CV Sponsored ADR		894,528
	1,300	GCC SAB de CV		13,634
	13,800	Gentera SAB de CV		20,743
	600	Grupo Aeroportuario del Centro Norte SAB de CV ADR		41,748
	26,500	Grupo Aeroportuario del Centro Norte SAB de CV		229,672
	400	Grupo Aeroportuario del Sureste SAB de CV ADR		117,748
	4,655	Grupo Aeroportuario del Sureste SAB de CV – Class B		136,559
	748,167	Grupo Financiero Banorte SAB de CV – Class O		7,738,788
	92,600	Grupo Mexico SAB de CV – Series B		451,530

Shares		Description	Value ($)
		Mexico — continued
	59,800	Kimberly-Clark de Mexico SAB de CV – Class A		132,938
	7,200	Orbia Advance Corp. SAB de CV		13,302
	57,400	Qualitas Controladora SAB de CV		644,915
	32,900	Regional SAB de CV		306,913
	344,337	Wal-Mart de Mexico SAB de CV		1,375,388
		Total Mexico		16,451,159
		Pakistan — 0.6%
	133,184	Attock Refinery Ltd.		163,327
	233,778	Engro Fertilizers Ltd.		123,138
	393,000	Fauji Fertilizer Bin Qasim Ltd.		37,623
	143,955	Fauji Fertilizer Co. Ltd.		61,515
	58,308	Habib Bank Ltd.		24,182
	117,568	Hub Power Co. Ltd.		48,114
	7,468	Lucky Cement Ltd.		20,045
	6,303	Mari Petroleum Co. Ltd.		52,968
	764,795	Oil & Gas Development Co. Ltd.		342,853
	13,919	Pakistan Oilfields Ltd.		21,288
	801,357	Pakistan Petroleum Ltd.		327,146
	276,762	SUI Northern Gas Pipeline		67,700
	62,565	United Bank Ltd.		43,058
		Total Pakistan		1,332,957
		Poland — 2.8%
	14,130	Bank Polska Kasa Opieki SA		612,866
	777	Budimex SA		142,028
	63,667	Cyfrowy Polsat SA *		186,977
	352	Grupa Kety SA		62,166
	312,256	ORLEN SA		4,850,373
	57,245	Powszechny Zaklad Ubezpieczen SA		704,413
	8,900	XTB SA		107,525
		Total Poland		6,666,348
		Qatar — 0.3%
	182,128	Industries Qatar QSC		645,842
	3,163	Qatar Islamic Bank SAQ		17,514
	27,557	Qatar National Bank QPSC		115,315
		Total Qatar		778,671
		Russia — 0.2%
	4,036,000	Alrosa PJSC (a) (b)		31,485
	434,347	Etalon Group PLC GDR (Registered) * (a)		4,628
	131,280	Evraz PLC * (a)		3,392
	236,860,000	Federal Grid Co.-Rosseti PJSC * (a)		3,104
	102,255	Gazprom Neft PJSC (a)		8,960
	897,812	Gazprom PJSC * (a)		15,857
	6,151,400	Inter RAO UES PJSC (a)		2,724
	122,088	LUKOIL PJSC (a)		98,698
	4,327,340	Magnitogorsk Iron & Steel Works
		PJSC * (a) (b)		25,865
	7,832	MMC Norilsk Nickel PJSC (a)		12,507
	5	MMC Norilsk Nickel PJSC ADR (a)		1

13 See accompanying notes to the financial statements.  

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Russia — continued
	88,090	Moscow Exchange MICEX-Rates PJSC (a)		1,919
	93,370	Novatek PJSC (a)		13,766
	1,403,510	Novolipetsk Steel PJSC * (a)		30,555
	4,917	PhosAgro PJSC (a)		3,621
	95	PhosAgro PJSC GDR (a) (b)		23
	11,902	Polyus PJSC * (a) (b)		14,331
	1	Polyus PJSC GDR (Registered) (a) (b)		1
	50,074,400	RusHydro PJSC (a)		4,131
	3,446,432	Sberbank of Russia PJSC (a) (b)		110,361
	140,607	Severstal PAO GDR (Registered) (a) (b)		25,504
	2,387,800	Surgutneftegas PJSC (a)		7,672
	657,084	Tatneft PJSC (a)		51,777
		Total Russia		470,882
		South Africa — 9.4%
	9,628	Absa Group Ltd.		82,192
	118,896	Anglo American Platinum Ltd.		4,573,770
	18,133	Aspen Pharmacare Holdings Ltd.		185,249
	136,627	AVI Ltd.		637,626
	610	Bid Corp. Ltd.		14,259
	262	Capitec Bank Holdings Ltd.		27,604
	51,064	Clicks Group Ltd.		797,351
	16,765	Coronation Fund Managers Ltd.		27,302
	3,700	DRDGOLD Ltd. Sponsored ADR		24,975
	1,505,799	FirstRand Ltd.		5,094,259
	139,900	Foschini Group Ltd.		764,044
	649,498	Impala Platinum Holdings Ltd.		2,204,121
	36,501	Investec Ltd.		229,789
	33,165	Kumba Iron Ore Ltd.		928,587
	141,842	Mr Price Group Ltd.		1,257,862
	19,771	MTN Group Ltd.		86,176
	48,832	Nedbank Group Ltd.		558,653
	168,504	Ninety One Ltd.		343,674
	32,694	Omnia Holdings Ltd.		106,472
	103,194	Sanlam Ltd.		395,620
	56,393	Shoprite Holdings Ltd.		759,750
	511,902	Sibanye Stillwater Ltd.		527,613
	296,600	Sibanye Stillwater Ltd. ADR		1,221,992
	51,361	Tiger Brands Ltd.		533,361
	100,522	Truworths International Ltd.		377,070
	61,640	Vodacom Group Ltd.		302,662
	64,078	Woolworths Holdings Ltd.		214,338
		Total South Africa		22,276,371
		South Korea — 8.1%
	1,750	BGF retail Co. Ltd. *		173,643
	19,860	Cheil Worldwide, Inc.		275,905
	35,641	Daou Data Corp. *		369,300
	3,718	DB Insurance Co. Ltd. *		275,892
	98,673	Dongwon Development Co. Ltd. *		222,519
	6,693	F&F Co. Ltd.		363,903
	14,102	Hotel Shilla Co. Ltd.		636,475

Shares		Description	Value ($)
		South Korea — continued
	5,051	Hyundai Marine & Fire Insurance Co. Ltd. *		119,465
	9,677	Hyundai Mipo Dockyard Co. Ltd. *		457,107
	145	Hyundai Mobis Co. Ltd.		26,448
	3,205	INTOPS Co. Ltd.		69,934
	5,441	JB Financial Group Co. Ltd.		53,776
	11,052	JYP Entertainment Corp. *		611,694
	4,016	KCC Glass Corp.		123,846
	4,113	Kia Corp. *		385,174
	62,979	KT&G Corp.		4,398,750
	6,458	LOTTE Fine Chemical Co. Ltd. *		230,571
	4,107	Mirae Asset Securities Co. Ltd. *		27,871
	16,949	NH Investment & Securities Co. Ltd. *		149,654
	113	NongShim Co. Ltd.		29,511
	6,645	Orion Corp.		463,465
	9,985	Pearl Abyss Corp. *		227,579
	4,028	S-1 Corp.		175,558
	109,531	Samsung Electronics Co. Ltd.		6,045,331
	8,517	Samsung Securities Co. Ltd.		266,182
	683	Soulbrain Co. Ltd. *		140,007
	8,842	TKG Huchems Co. Ltd. *		133,196
	254,116	Woori Financial Group, Inc.		2,847,335
	75	Young Poong Corp. *		28,433
		Total South Korea		19,328,524
		Taiwan — 26.7%
	116,000	Acer, Inc.		165,900
	5,000	Acter Group Corp. Ltd.		30,858
	13,897	Advantech Co. Ltd.		171,516
	114,000	Asia Cement Corp.		145,927
	24,000	Capital Securities Corp.		12,729
	850,000	Catcher Technology Co. Ltd.		5,296,022
	166,000	Chicony Electronics Co. Ltd.		985,427
	83,000	China General Plastics Corp.		53,446
	298,000	Chipbond Technology Corp.		669,453
	46,000	ChipMOS Technologies, Inc.		64,210
	9,000	Darfon Electronics Corp.		15,162
	25,000	Dynapack International Technology Corp.		64,301
	121,000	Elitegroup Computer Systems Co. Ltd.		122,701
	1,308,600	Evergreen Marine Corp. Taiwan Ltd.		6,855,376
	108,000	Everlight Electronics Co. Ltd.		170,853
	40,000	Feng Hsin Steel Co. Ltd.		86,287
	44,000	First Financial Holding Co. Ltd.		37,738
	36,000	FLEXium Interconnect, Inc.		98,374
	110,000	Formosa Advanced Technologies Co. Ltd.		127,076
	406,897	Foxconn Technology Co. Ltd.		640,093
	6,000	Fusheng Precision Co. Ltd.		42,756
	52,000	Giant Manufacturing Co. Ltd.		336,051
	33,000	Global Brands Manufacture Ltd.		68,189
	23,000	Global Mixed Mode Technology, Inc.		189,008
	83,000	Grand Pacific Petrochemical		37,168
	6,000	Grape King Bio Ltd.		29,445
	79,000	Greatek Electronics, Inc.		149,548
	30,000	Hannstar Board Corp.		53,753

  See accompanying notes to the financial statements. 14

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Taiwan — continued
	1,030,000	Hon Hai Precision Industry Co. Ltd.		3,358,290
	17,239	Innodisk Corp.		166,712
	344,000	King’s Town Bank Co. Ltd.		486,072
	104,000	Kung Long Batteries Industrial Co. Ltd.		435,927
	49,000	Largan Precision Co. Ltd.		4,021,400
	28,000	MediaTek, Inc.		1,010,417
	474,000	Micro-Star International Co. Ltd.		2,868,447
	364,000	Mitac Holdings Corp.		487,436
	45,000	momo.com, Inc.		632,800
	233,528	Nantex Industry Co. Ltd.		261,229
	7,000	Nien Made Enterprise Co. Ltd.		81,944
	186,000	Novatek Microelectronics Corp.		3,540,203
	11,000	Powertech Technology, Inc.		54,356
	324,000	Primax Electronics Ltd.		746,534
	154,000	Radiant Opto-Electronics Corp.		719,153
	7,000	Raydium Semiconductor Corp.		99,138
	53,744	Shanghai Commercial & Savings Bank Ltd.		76,520
	25,000	Shin Zu Shing Co. Ltd.		133,720
	53,000	Simplo Technology Co. Ltd.		715,481
	19,750	Sporton International, Inc.		147,081
	116,000	T3EX Global Holdings Corp.		338,155
	63,000	TaiDoc Technology Corp.		316,752
	25,000	Taiwan Fertilizer Co. Ltd.		52,698
	45,000	Taiwan Hon Chuan Enterprise Co. Ltd.		207,083
	68,180	Taiwan Semiconductor Manufacturing Co.
		Ltd. Sponsored ADR		8,772,721
	401,000	Taiwan Semiconductor Manufacturing Co.
		Ltd.		8,787,721
	54,000	Taiwan Surface Mounting Technology
		Corp.		167,778
	2,000	TCI Co. Ltd.		10,175
	6,000	Test Research, Inc.		13,855
	11,000	Topkey Corp.		65,154
	9,000	Transcend Information, Inc.		22,788
	139,000	Tripod Technology Corp.		916,437
	63,000	Tung Ho Steel Enterprise Corp.		154,016
	33,000	TXC Corp.		104,297
	16,000	United Integrated Services Co. Ltd.		148,521
	24,200	United Microelectronics Corp. Sponsored
		ADR		185,856
	269,000	United Microelectronics Corp.		414,752
	396,000	USI Corp.		228,266
	641,250	Wan Hai Lines Ltd.		1,021,522
	2,920,000	Yang Ming Marine Transport Corp.		4,606,841
		Total Taiwan		63,297,615
		Thailand — 1.1%
	408,900	Berli Jucker PCL NVDR		275,906
	406,800	Osotspa PCL NVDR		230,253
	503,700	PTT Exploration & Production PCL NVDR		2,115,208
	126,700	Regional Container Lines PCL NVDR		78,671
		Total Thailand		2,700,038

Shares		Description	Value ($)
		Turkey — 0.6%
	1,007,710	Hektas Ticaret TAS *		616,277
	34,840	Is Yatirim Menkul Degerler AS		41,402
	875,117	Koza Altin Isletmeleri AS		641,666
		Total Turkey		1,299,345
		Vietnam — 2.6%
	169,765	Duc Giang Chemicals JSC		771,836
	14,300	IDICO Corp. JSC		34,176
	159,100	PetroVietNam Ca Mau Fertilizer JSC		218,247
	51,500	Petrovietnam Fertilizer & Chemicals JSC		72,785
	105,700	PetroVietnam Technical Services Corp.		157,654
	216,800	Sai Gon-Ha Noi Securities JSC *		155,773
	56,598	Saigon—Hanoi Commercial JSB *		27,141
	175,100	Saigon Thuong Tin Commercial JSB *		224,485
	826,300	SSI Securities Corp.		1,243,600
	250,100	Vietnam Dairy Products JSC		731,062
	105,819	Vietnam Joint Stock Commercial Bank for
		Industry & Trade *		152,944
	19,800	Vinhomes JSC *		34,913
	258,500	VIX Securities JSC *		192,786
	2,226,700	VNDirect Securities Corp. *		2,053,748
		Total Vietnam		6,071,150
		TOTAL COMMON STOCKS (COST $266,843,602)		217,540,141
		PREFERRED STOCKS (c) — 6.6%
		Brazil — 5.9%
	442,000	Bradespar SA		1,884,975
	34,400	Cia de Ferro Ligas da Bahia FERBASA		66,778
	1,017,000	Cia Energetica de Minas Gerais		2,448,852
	1,028,970	Itausa SA		2,132,001
	724,169	Petroleo Brasileiro SA		5,847,427
	74,717	Petroleo Brasileiro SA ADR		1,208,174
	23,900	Unipar Carbocloro SA – Class B		318,132
		Total Brazil		13,906,339
		Colombia — 0.7%
	53,500	Bancolombia SA Sponsored ADR		1,739,820
		Russia — 0.0%
	3,948,700	Surgutneftegas PJSC (a)		26,858
	31,500	Transneft PJSC (a)		5,546
		Total Russia		32,404
		TOTAL PREFERRED STOCKS (COST $15,827,156)		15,678,563

15 See accompanying notes to the financial statements.  

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		MUTUAL FUNDS — 2.0%
		United States — 2.0%
		Affiliated Issuers — 2.0%
	936,242	GMO U.S. Treasury Fund		4,681,209
		Total United States		4,681,209
		TOTAL MUTUAL FUNDS (COST $4,681,209)		4,681,209
		TOTAL INVESTMENTS — 100.3% (Cost $287,351,967)		237,899,913
		Other Assets and Liabilities (net) — (0.3)%		(608,667	)
		TOTAL NET ASSETS — 100.0%	$	237,291,246

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets			Value as of February 29, 2024
Alrosa PJSC		10/18/21	$	7,054,956		0.0	%	$	31,485
Magnitogorsk Iron & Steel Works PJSC		10/18/21		4,011,995		0.0	%		25,865
PhosAgro PJSC GDR		10/18/21		2,465		0.0	%		23
Polyus PJSC		10/18/21		2,285,367		0.0	%		14,331
Polyus PJSC GDR (Registered)		10/22/21		4		0.0	%		1
Sberbank of Russia PJSC		10/18/21		16,614,391		0.0	%		110,361
Severstal PAO GDR (Registered)		10/18/21		3,190,235		0.0	%		25,504
								$	207,570

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) The security is restricted as to resale.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

  See accompanying notes to the financial statements. 16

GMO Emerging Markets Fund

(A Series of GMO Trust)

 

   

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class II shares of GMO Emerging Markets Fund returned +17.55% (net) for the fiscal year ended February 29, 2024, as compared with +8.73% for the MSCI Emerging Markets Index.

A mix of stock selection and allocation decisions contributed to outperformance for the period. China was a top contributor from a mix of underweight allocation and stock selection decisions. Taiwan, Vietnam, Hungary, and Brazilian Energy also added value from a mix of overweight positioning and stock selection.

Decisions which detracted from performance included overweight positioning toward South African Materials and underweight positioning toward India and Saudi Arabia.

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

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

17

GMO Emerging Markets Fund

(A Series of GMO Trust)

 

   

Comparison of Change in Value of a $1,000,000 Investment in

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

the S&P/IFCI Composite

As of February 29, 2024

		Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception
Class II	17.55%	-0.44%	1.76%	n/a
Class III	17.63%	-0.38%	1.82%	n/a
Class VI	17.77%	-0.26%	1.94%	n/a
Class R6	17.54%	n/a	n/a	3/31/20 3.77%
Class I	17.48%	n/a	n/a	1/14/20  -3.82%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

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

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

18

GMO Emerging Markets Fund

(A Series of GMO Trust)

 

   

For Class II, III, VI, R6 and I the gross expense ratio of 1.00%, 0.92%, 0.83%, 0.99% and 1.12%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.95%, 0.90%, 0.77%, 0.95% and 1.00% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

19

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		91.6	%
Preferred Stocks		6.9
Short-Term Investments		0.2
Mutual Funds		0.2
Futures Contracts		0.2
Debt Obligations		0.1
Other		0.8
		100.0	%
Country/Region Summary¤	% of Investments
China		21.1	%
Taiwan		20.7
India		9.9
Brazil		8.4
South Africa		8.1
United States		6.0	*
Mexico		5.3
South Korea		4.2
Hungary		3.5
Indonesia		3.3
Vietnam		2.3
Poland		1.8
Thailand		1.2
Colombia		1.0
Pakistan		0.7
Russia		0.6
Czech Republic		0.4
Saudi Arabia		0.3
Qatar		0.3
Egypt		0.2
Turkey		0.1
Malaysia		0.1
Kuwait		0.1
Greece		0.1
Sri Lanka		0.1
Philippines		0.1
Chile		0.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		19.4	%
Energy		14.4
Technology Hardware & Equipment		11.8
Semiconductors & Semiconductor Equipment		8.4
Materials		8.1
Food, Beverage & Tobacco		6.7
Transportation		6.2
Financial Services		6.1
Consumer Discretionary Distribution & Retail		4.2
Utilities		3.2
Capital Goods		2.4
Software & Services		1.5
Real Estate Management & Development		1.3
Insurance		1.3
Pharmaceuticals, Biotechnology & Life Sciences		1.2
Media & Entertainment		1.0
Consumer Staples Distribution & Retail		0.9
Consumer Durables & Apparel		0.6
Automobiles & Components		0.4
Health Care Equipment & Services		0.3
Consumer Services		0.2
Household & Personal Products		0.2
Commercial & Professional Services		0.1
Telecommunication Services		0.1
		100.0	%

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

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

* Includes companies that are economically tied to emerging markets.

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

    20

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 91.6%
		Brazil — 4.7%
	11,500	Alupar Investimento SA		68,892
	170,300	Ambev SA		430,966
	3,000	BrasilAgro—Co. Brasileira de Propriedades
		Agricolas		14,315
	34,200	Cia de Saneamento de Minas Gerais
		Copasa MG		142,205
	14,600	Cia De Sanena Do Parana		75,862
	266,700	CPFL Energia SA		1,898,677
	125,886	Enauta Participacoes SA		645,244
	289,400	Engie Brasil Energia SA		2,446,257
	19,500	Mahle Metal Leve SA		140,785
	534,200	Petroleo Brasileiro SA		4,429,547
	339,900	Petroleo Brasileiro SA Sponsored ADR		5,615,148
	9,300	Sao Martinho SA		52,944
	6,500	Transmissora Alianca de Energia Eletrica SA		46,287
	869,700	Ultrapar Participacoes SA		5,136,568
	18,300	Vale SA		246,609
		Total Brazil		21,390,306
		Chile — 0.1%
	2,054,952	Colbun SA		282,464
		China — 22.0%
	1,505,000	361 Degrees International Ltd.		803,588
	557,500	3SBio, Inc.		368,130
	3,302,200	Agricultural Bank of China Ltd. – Class A		1,921,719
	11,710,000	Agricultural Bank of China Ltd. – Class H		4,803,975
	1,428,500	Anhui Conch Cement Co. Ltd. – Class H		3,108,393
	52,400	ANTA Sports Products Ltd.		510,850
	12,600	Autohome, Inc. ADR		327,474
	14,878,000	Bank of China Ltd. – Class H		5,836,659
	128,000	Bosideng International Holdings Ltd.		64,381
	694,000	China BlueChemical Ltd. – Class H		208,291
	2,883,878	China Communications Services Corp. Ltd. – Class H		1,225,011
	15,584,148	China Construction Bank Corp. – Class H		9,664,604
	1,002,000	China Everbright Environment Group Ltd.		372,415
	19,143,000	China Feihe Ltd.		9,521,551
	1,936,000	China Lesso Group Holdings Ltd.		920,752
	270,000	China Medical System Holdings Ltd.		443,846
	639,800	China Merchants Bank Co. Ltd. – Class A		2,838,428
	612,000	China Oriental Group Co. Ltd.		92,081
	908,232	China Petroleum & Chemical Corp. – Class A		787,370
	1,322,000	China Petroleum & Chemical Corp. – Class H		728,360
	1,233,249	China Railway Signal & Communication Corp. Ltd. – Class A		836,171
	988,000	China Southern Airlines Co. Ltd. – Class H*		367,211
	686,000	China Traditional Chinese Medicine Holdings Co. Ltd.		378,507

Shares		Description	Value ($)
		China — continued
	590,000	Chinasoft International Ltd.		384,316
	3,291,430	COSCO Shipping Holdings Co. Ltd. – Class A		4,803,680
	3,242,000	CSPC Pharmaceutical Group Ltd.		2,525,031
	19,871	Daqo New Energy Corp. ADR *		422,855
	54,100	ENN Energy Holdings Ltd.		439,283
	55,000	Fufeng Group Ltd.		33,719
	5,300	Fuyao Glass Industry Group Co. Ltd. – Class A		31,883
	446,600	GDS Holdings Ltd. – Class A*		379,321
	460,500	Greentown China Holdings Ltd.		369,953
	976,000	Greentown Service Group Co. Ltd.		350,670
	169,700	Hello Group, Inc. Sponsored ADR		1,118,323
	10,248,000	Hua Han Health Industry Holdings Ltd. (a)		1
	550,500	Industrial & Commercial Bank of China Ltd. – Class A		407,559
	14,807,000	Industrial & Commercial Bank of China Ltd. – Class H		7,590,256
	114,650	JD.com, Inc. – Class A		1,293,926
	11,817	JOYY, Inc. ADR		372,236
	392,000	Kingboard Laminates Holdings Ltd.		243,326
	22,000	Kunlun Energy Co. Ltd.		18,755
	3,612,000	Lenovo Group Ltd.		3,990,282
	150,500	Li Ning Co. Ltd.		372,354
	63,800	Livzon Pharmaceutical Group, Inc. – Class A		340,736
	557,000	Lonking Holdings Ltd.		93,589
	132,542	Lufax Holding Ltd. ADR		413,531
	395,400	Microport Scientific Corp. *		387,850
	236,000	Minth Group Ltd.		401,497
	801,000	Nine Dragons Paper Holdings Ltd. *		371,369
	328,500	Orient Overseas International Ltd.		5,086,932
	462,000	PetroChina Co. Ltd. – Class H		362,352
	1,359,000	PICC Property & Casualty Co. Ltd. –
		Class H		1,857,914
	239,200	Ping An Healthcare & Technology Co. Ltd. *		370,891
	268,909	Ping An Insurance Group Co. of China Ltd. – Class A		1,597,893
	44,500	SciClone Pharmaceuticals Holdings Ltd.		74,128
	1,613,000	Sinopec Engineering Group Co. Ltd. – Class H		884,384
	129,500	Sinotruk Hong Kong Ltd.		342,593
	85,000	Smoore International Holdings Ltd. (b)		59,089
	6,000	Tencent Holdings Ltd.		210,184
	627,000	Uni-President China Holdings Ltd.		376,384
	555,585	Vipshop Holdings Ltd. ADR *		10,695,011
	45,000	Want Want China Holdings Ltd.		24,841
	41,067	Weibo Corp. Sponsored ADR		374,531
	247,400	Weichai Power Co. Ltd. – Class A		580,727
	653,000	Weichai Power Co. Ltd. – Class H		1,285,340
	4,400	WuXi AppTec Co. Ltd. – Class H		27,124
	1,496,200	Xiaomi Corp. – Class B*		2,514,249
	88,200	Xinhua Winshare Publishing & Media Co. Ltd. – Class A		166,740

21 See accompanying notes to the financial statements.  

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		China — continued
	699,500	Xtep International Holdings Ltd.		386,849
	62,000	Yadea Group Holdings Ltd.		97,406
	572,000	Zhejiang Expressway Co. Ltd. – Class H		436,219
		Total China		101,097,849
		Colombia — 0.0%
	11,421	Interconexion Electrica SA ESP		48,652
		Czech Republic — 0.4%
	307,073	Moneta Money Bank AS		1,347,945
	677	Philip Morris CR AS		448,255
		Total Czech Republic		1,796,200
		Egypt — 0.2%
	457,148	Commercial International Bank - Egypt (CIB)		1,082,393
		Greece — 0.1%
	2,645	JUMBO SA		77,327
	13,260	OPAP SA		241,719
		Total Greece		319,046
		Hungary — 3.7%
	72,782	Magyar Telekom Telecommunications PLC		165,228
	162,396	MOL Hungarian Oil & Gas PLC		1,291,657
	291,191	OTP Bank Nyrt		13,973,112
	50,648	Richter Gedeon Nyrt		1,347,604
		Total Hungary		16,777,601
		India — 10.4%
	759,607	Bharat Petroleum Corp. Ltd.		5,552,799
	365,251	Brightcom Group Ltd. *		75,574
	20,428	Castrol India Ltd.		51,387
	137,672	Chambal Fertilisers & Chemicals Ltd.		588,939
	33,808	Chennai Petroleum Corp. Ltd.		361,691
	4,901	Colgate-Palmolive India Ltd.		149,346
	15,607	Coromandel International Ltd.		201,558
	94,677	GHCL Ltd.		585,545
	3,164	Glenmark Life Sciences Ltd.		33,035
	8,815	Godawari Power & Ispat Ltd.		79,105
	97,152	Great Eastern Shipping Co. Ltd.		1,171,823
	54,520	Gujarat Narmada Valley Fertilizers &
		Chemicals Ltd.		421,293
	35,957	Gujarat Pipavav Port Ltd.		92,309
	364,045	Gujarat State Fertilizers & Chemicals Ltd.		959,103
	12,168	Gujarat State Petronet Ltd.		54,547
	138,578	HCL Technologies Ltd.		2,792,398
	5,108	ICICI Securities Ltd.		50,309
	4,063	IIFL Finance Ltd.		28,996
	1,543,742	Indiabulls Housing Finance Ltd.		3,544,001
	1,051,727	Indian Oil Corp. Ltd.		2,116,342
	79,800	Infosys Ltd. Sponsored ADR		1,592,808
	302,831	ITC Ltd.		1,484,258

Shares		Description	Value ($)
		India — continued
	146,111	JM Financial Ltd.		171,166
	6,826	Kaveri Seed Co. Ltd.		54,596
	8,010	KRBL Ltd.		31,015
	20,642	LT Foods Ltd.		44,716
	24,665	Mahanagar Gas Ltd.		440,973
	403	Maharashtra Scooters Ltd.		36,505
	1,913,044	Manappuram Finance Ltd.		4,090,328
	4,873	Marico Ltd.		30,667
	5,673	Motilal Oswal Financial Services Ltd.		110,216
	41,538	Muthoot Finance Ltd.		648,444
	71,662	NCC Ltd.		213,474
	11,075	Nippon Life India Asset Management Ltd.		68,823
	3,559,371	Oil & Natural Gas Corp. Ltd.		11,366,523
	407,869	Petronet LNG Ltd.		1,344,144
	854,366	Power Grid Corp. of India Ltd.		2,928,208
	158,762	PTC India Ltd.		387,079
	35,554	Rashtriya Chemicals & Fertilizers Ltd.		60,745
	92,968	Redington Ltd.		234,052
	14	Reliance Industries Ltd.		494
	12,829	RITES Ltd.		123,542
	712	Sanofi India Ltd.		73,844
	1,286	Share India Securities Ltd.		29,057
	52,903	Shipping Corp. of India Ltd.		152,300
	165,873	Sun TV Network Ltd.		1,239,669
	31,426	Tata Consultancy Services Ltd.		1,557,056
	10,068	Triveni Engineering & Industries Ltd.		40,063
	89,928	Ujjivan Small Finance Bank Ltd.		57,946
	1,068	UTI Asset Management Co. Ltd.		11,535
	16,155	West Coast Paper Mills Ltd.		121,159
	17,589	Zensar Technologies Ltd.		116,357
		Total India		47,771,862
		Indonesia — 3.4%
	1,521,500	AKR Corporindo Tbk. PT		164,645
	1,002,500	Aneka Tambang Tbk. PT		93,108
	1,964,500	Astra International Tbk. PT		653,978
	7,419,000	Bank Central Asia Tbk. PT		4,668,524
	2,493,600	Bank Mandiri Persero Tbk. PT		1,113,825
	9,641,500	Bank Negara Indonesia Persero Tbk. PT		3,684,829
	10,295,100	Bank Pembangunan Daerah Jawa Timur Tbk. PT		396,012
	12,098,900	Bank Rakyat Indonesia Persero Tbk. PT		4,714,744
	103,100	Indah Kiat Pulp & Paper Tbk. PT		57,300
	54,800	Indofood CBP Sukses Makmur Tbk. PT		40,403
	90,200	Indofood Sukses Makmur Tbk. PT		38,043
	10,982,500	Panin Financial Tbk. PT *		181,841
	609,000	Perusahaan Gas Negara Tbk. PT		42,249
		Total Indonesia		15,849,501
		Kuwait — 0.1%
	39,175	Humansoft Holding Co. KSC		428,871

  See accompanying notes to the financial statements. 22

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Malaysia — 0.2%
	580,000	Dialog Group Bhd		256,664
	308,960	Hibiscus Petroleum Bhd		164,619
	658,300	Kossan Rubber Industries Bhd		260,772
	12,100	United Plantations Bhd		56,465
		Total Malaysia		738,520
		Mexico — 5.5%
	399,900	Arca Continental SAB de CV		4,310,992
	148,900	Banco del Bajio SA		551,160
	22,000	Bolsa Mexicana de Valores SAB de CV		47,629
	29,300	Coca-Cola Femsa SAB de CV Sponsored ADR		2,843,565
	315,700	Credito Real SAB de CV SOFOM
		ER * (a) (b)		—
	4,200	GCC SAB de CV		44,050
	37,300	Gentera SAB de CV		56,067
	39,100	Grupo Aeroportuario del Centro Norte SAB de CV		338,874
	5,500	Grupo Aeroportuario del Centro Norte SAB de CV ADR		382,690
	3,000	Grupo Aeroportuario del Sureste SAB de CV ADR		883,110
	3,075	Grupo Aeroportuario del Sureste SAB de CV – Class B		90,208
	1,374,335	Grupo Financiero Banorte SAB de CV – Class O		14,215,660
	180,500	Grupo Mexico SAB de CV – Series B		880,142
	22,700	Orbia Advance Corp. SAB de CV		41,939
	182,000	Wal-Mart de Mexico SAB de CV		726,964
		Total Mexico		25,413,050
		Pakistan — 0.7%
	147,848	Attock Refinery Ltd.		181,310
	62,624	Bank Alfalah Ltd.		12,876
	500,033	Engro Fertilizers Ltd.		263,382
	824,000	Fauji Fertilizer Bin Qasim Ltd.		78,885
	308,405	Fauji Fertilizer Co. Ltd.		131,788
	168,181	Habib Bank Ltd.		69,751
	222,873	Hub Power Co. Ltd.		91,209
	122,628	International Steels Ltd.		28,845
	276,907	Kot Addu Power Co. Ltd.		31,221
	24,956	Lucky Cement Ltd.		66,986
	12,319	Mari Petroleum Co. Ltd.		103,523
	47,418	MCB Bank Ltd.		33,813
	1,468,701	Oil & Gas Development Co. Ltd.		658,410
	40,906	Pakistan Oilfields Ltd.		62,563
	3,225,409	Pakistan Petroleum Ltd.		1,316,742
	571,557	SUI Northern Gas Pipeline		139,810
	129,410	United Bank Ltd.		89,061
		Total Pakistan		3,360,175
		Philippines — 0.1%
	8,665,800	Megaworld Corp.		297,755

Shares		Description	Value ($)
		Poland — 1.9%
	7,922	Budimex SA		1,448,065
	37,648	Cyfrowy Polsat SA *		110,564
	531	Grupa Kety SA		93,779
	459,143	ORLEN SA		7,132,017
		Total Poland		8,784,425
		Qatar — 0.3%
	428,929	Industries Qatar QSC		1,521,019
	10,713	Qatar Islamic Bank SAQ		59,321
		Total Qatar		1,580,340
		Russia — 0.5%
	31,701,260	Alrosa PJSC (a) (c)		247,304
	39,977	Evraz PLC * (a)		1,033
	1,432,600,000	Federal Grid Co.-Rosseti PJSC * (a)		18,773
	653,911	Fix Price Group PLC GDR (a)		15,442
	219,070	Gazprom Neft PJSC (a)		19,196
	1,250,860	Gazprom PJSC * (a)		22,092
	78,536,400	Inter RAO UES PJSC (a)		34,779
	3	LSR Group PJSC GDR (a)		—
	239,440	LSR Group PJSC (a)		25,734
	285,469	LUKOIL PJSC (a)		230,777
	17,490,987	Magnitogorsk Iron & Steel Works
		PJSC * (a) (c)		104,544
	474,800	Mechel PJSC * (a) (c)		14,278
	37,212	MMC Norilsk Nickel PJSC (a)		59,425
	5	MMC Norilsk Nickel PJSC ADR (a)		1
	249,660	Mobile TeleSystems PJSC (a)		7,940
	4,133,417	Moscow Exchange MICEX-Rates PJSC (a)		90,059
	10,015,560	Novolipetsk Steel PJSC * (a)		218,044
	11,924	PhosAgro PJSC (a)		8,781
	230	PhosAgro PJSC GDR (a) (c)		57
	80,094	Polyus PJSC * (a) (c)		96,437
	24,938,000	RusHydro PJSC (a)		2,057
	13,125,612	Sberbank of Russia PJSC (a) (c)		420,306
	706,464	Severstal PAO GDR (Registered) (a) (c)		128,143
	68,353	SFI PJSC (a)		11,537
	63,500,900	Surgutneftegas PJSC (a)		204,036
	2,860,038	Tatneft PJSC (a)		225,365
	8,118,000	Unipro PJSC * (a)		1,928
	556,430	United Co. Rusal International PJSC * (a)		2,110
		Total Russia		2,210,178
		Saudi Arabia — 0.3%
	110,375	National Industrialization Co. *		387,900
	162,123	Rabigh Refining & Petrochemical Co. *		357,507
	105,592	Saudi Arabian Oil Co.		892,767
		Total Saudi Arabia		1,638,174
		South Africa — 8.5%
	8,710	Absa Group Ltd.		74,355
	252,770	Anglo American Platinum Ltd.		9,723,724
	261,335	AVI Ltd.		1,219,626

23 See accompanying notes to the financial statements.  

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		South Africa — continued
	92,368	Clicks Group Ltd.		1,442,302
	6,858	Coronation Fund Managers Ltd.		11,168
	2,229,761	FirstRand Ltd.		7,543,490
	380,186	Foschini Group Ltd.		2,076,332
	1,055,637	Impala Platinum Holdings Ltd.		3,582,385
	188,400	Investec Ltd.		1,186,058
	37,090	Kumba Iron Ore Ltd.		1,038,483
	394,655	Mr Price Group Ltd.		3,499,821
	52,017	MTN Group Ltd.		226,726
	16,949	Nedbank Group Ltd.		193,902
	506,282	Ninety One Ltd.		1,032,594
	184,457	Sanlam Ltd.		707,162
	95,998	Shoprite Holdings Ltd.		1,293,325
	547,972	Sibanye Stillwater Ltd.		564,790
	519,400	Sibanye Stillwater Ltd. ADR (b)		2,139,928
	81,805	Tiger Brands Ltd.		849,509
	126,764	Woolworths Holdings Ltd.		424,020
		Total South Africa		38,829,700
		South Korea — 2.8%
	5,993	Cheil Worldwide, Inc.		83,258
	51,421	Daou Data Corp. *		532,807
	6,518	DB Insurance Co. Ltd. *		483,665
	315,330	Dongwon Development Co. Ltd. *		711,105
	3,958	F&F Co. Ltd.		215,199
	10,598	HDC Hyundai Development
		Co-Engineering & Construction *		158,259
	8,339	Hotel Shilla Co. Ltd.		376,370
	5,722	Hyundai Mipo Dockyard Co. Ltd. *		270,287
	199	Hyundai Mobis Co. Ltd.		36,297
	80,469	JB Financial Group Co. Ltd.		795,317
	6,535	JYP Entertainment Corp. *		361,692
	10,706	Kia Corp. *		1,002,595
	92,216	KT&G Corp.		6,440,799
	1,462	Kumho Petrochemical Co. Ltd. *		162,365
	2,155	LOTTE Fine Chemical Co. Ltd. *		76,940
	6,079	NH Investment & Securities Co. Ltd. *		53,676
	4,433	Orion Corp.		309,186
	5,904	Pearl Abyss Corp. *		134,565
	20,232	Samsung Securities Co. Ltd.		632,310
		Total South Korea		12,836,692
		Sri Lanka — 0.1%
	103,983,101	Anilana Hotels & Properties Ltd. * (d) (e)		303,354
		Taiwan — 21.7%
	27,000	Allied Supreme Corp.		346,695
	40,000	Asia Cement Corp.		51,202
	67,000	Capital Securities Corp.		35,534
	1,688,000	Catcher Technology Co. Ltd.		10,517,277
	350,000	Chicony Electronics Co. Ltd.		2,077,707
	284,000	Chipbond Technology Corp.		638,003
	11,000	Chlitina Holding Ltd.		66,353

Shares		Description	Value ($)
		Taiwan — continued
	321,000	Chong Hong Construction Co. Ltd.		793,195
	498,400	Coretronic Corp.		1,121,068
	27,000	Darfon Electronics Corp.		45,485
	50,000	Dynapack International Technology Corp.		128,601
	203,000	Elitegroup Computer Systems Co. Ltd.		205,853
	1,773,200	Evergreen Marine Corp. Taiwan Ltd.		9,289,281
	56,000	Everlight Electronics Co. Ltd.		88,590
	613,000	Farglory Land Development Co. Ltd.		1,089,926
	112,000	First Financial Holding Co. Ltd.		96,060
	56,000	FLEXium Interconnect, Inc.		153,027
	611,778	Foxconn Technology Co. Ltd.		962,393
	5,000	Fusheng Precision Co. Ltd.		35,630
	63,000	Giant Manufacturing Co. Ltd.		407,138
	75,000	Global Brands Manufacture Ltd.		154,976
	6,000	Global Mixed Mode Technology, Inc.		49,307
	449,000	Grand Pacific Petrochemical		201,067
	25,000	Grape King Bio Ltd.		122,688
	64,000	Hannstar Board Corp.		114,674
	1,714,000	Hon Hai Precision Industry Co. Ltd.		5,588,455
	362,000	Huaku Development Co. Ltd.		1,131,638
	196,000	Kung Long Batteries Industrial Co. Ltd.		821,556
	51,000	Largan Precision Co. Ltd.		4,185,539
	17,000	MediaTek, Inc.		613,467
	1,051,000	Micro-Star International Co. Ltd.		6,360,205
	675,000	Mitac Holdings Corp.		903,900
	27,000	momo.com, Inc.		379,680
	4,000	Nan Pao Resins Chemical Co. Ltd.		38,104
	412,000	Nantex Industry Co. Ltd.		460,871
	410,810	Novatek Microelectronics Corp.		7,819,090
	10,000	Pixart Imaging, Inc.		54,171
	623,000	Primax Electronics Ltd.		1,435,466
	295,936	Radiant Opto-Electronics Corp.		1,381,970
	43,000	Shin Zu Shing Co. Ltd.		229,999
	377,000	Shinkong Insurance Co. Ltd.		828,052
	24,000	Sigurd Microelectronics Corp.		53,466
	101,468	Simplo Technology Co. Ltd.		1,369,782
	221,000	T3EX Global Holdings Corp.		644,244
	122,000	TaiDoc Technology Corp.		613,393
	52,000	Taiwan Fertilizer Co. Ltd.		109,612
	19,200	Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR		2,470,464
	1,115,000	Taiwan Semiconductor Manufacturing Co. Ltd.		24,434,684
	97,000	Taiwan Surface Mounting Technology
		Corp.		301,378
	71,000	TCI Co. Ltd.		361,202
	7,000	Test Research, Inc.		16,165
	502,000	Transcend Information, Inc.		1,271,042
	169,160	Tripod Technology Corp.		1,115,284
	12,000	TTY Biopharm Co. Ltd.		30,771
	28,000	TXC Corp.		88,495
	3,435,000	Yang Ming Marine Transport Corp.		5,419,349
		Total Taiwan		99,323,224

  See accompanying notes to the financial statements. 24

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Thailand — 1.3%
	241,800	Berli Jucker PCL NVDR		163,155
	240,600	Osotspa PCL NVDR		136,182
	2,444,000	Pruksa Holding PCL (Foreign Registered)		839,486
	821,100	PTT Exploration & Production PCL		3,448,079
	1,252,700	PTT PCL		1,195,676
		Total Thailand		5,782,578
		Turkey — 0.2%
	595,888	Hektas Ticaret TAS *		364,423
	517,482	Koza Altin Isletmeleri AS		379,435
		Total Turkey		743,858
		Vietnam — 2.4%
	308,000	Duc Giang Chemicals JSC		1,400,321
	65,000	PetroVietNam Ca Mau Fertilizer JSC		89,164
	10,800	PetroVietnam Gas JSC		33,959
	322,300	PetroVietnam Technical Services Corp.		480,718
	149,700	Pha Lai Thermal Power JSC		83,322
	229,600	Sai Gon-Ha Noi Securities JSC *		164,970
	927,700	SSI Securities Corp.		1,396,209
	480,000	Vietnam Dairy Products JSC		1,403,079
	76,700	Vinhomes JSC *		135,244
	458,400	VIX Securities JSC *		341,869
	5,830,000	VNDirect Securities Corp. *		5,377,174
		Total Vietnam		10,906,029
		TOTAL COMMON STOCKS (COST $789,800,460)		419,592,797
		PREFERRED STOCKS (f) —6.9%
		Brazil — 4.2%
	1,200,400	Bradespar SA		5,119,285
	1,954,100	Cia Energetica de Minas Gerais		4,705,312
	1,170,370	Itausa SA		2,424,979
	789,947	Petroleo Brasileiro SA		6,378,563
	37,800	Unipar Carbocloro SA – Class B		503,153
		Total Brazil		19,131,292
		Colombia — 1.0%
	141,300	Bancolombia SA Sponsored ADR		4,595,076
		Russia — 0.1%
	194,570	Nizhnekamskneftekhim PJSC (a)		1,665
	79,676,700	Surgutneftegas PJSC (a)		541,932
	86,900	Transneft PJSC (a)		15,300
		Total Russia		558,897
		South Korea — 1.6%
	150,442	Samsung Electronics Co. Ltd.		7,204,164
		TOTAL PREFERRED STOCKS (COST $77,115,790)		31,489,429

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 0.1%
		United States — 0.1%
	500,000	U.S. Treasury Floating Rate Notes,
		Variable Rate, 3 mo. Treasury money
		market yield + 0.20%, 5.53%, due
		01/31/25 (g)		500,579
		TOTAL DEBT OBLIGATIONS (COST $500,221)		500,579
		MUTUAL FUNDS — 0.2%
		United States — 0.2%
		Affiliated Issuers — 0.2%
	200,933	GMO U.S. Treasury Fund		1,004,664
		Total United States		1,004,664
		TOTAL MUTUAL FUNDS (COST $1,004,664)		1,004,664
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	1,013,701	State Street Institutional Treasury Money
		Market Fund – Premier Class, 5.25% (h)		1,013,701
		TOTAL SHORT-TERM INVESTMENTS (COST $1,013,701)		1,013,701
		TOTAL INVESTMENTS — 99.0% (Cost $869,434,836)		453,601,170
		Other Assets and Liabilities (net) — 1.0%		4,692,512
		TOTAL NET ASSETS — 100.0%	$	458,293,682

25 See accompanying notes to the financial statements.  

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets			Value as of February 29, 2024
Alrosa PJSC		09/14/17	$	46,779,239		0.1	%	$	247,304
Magnitogorsk Iron & Steel Works PJSC		02/13/18		14,388,116		0.0	%		104,544
Mechel PJSC		11/12/21		883,911		0.0	%		14,278
PhosAgro PJSC GDR		02/09/22		5,151		0.0	%		57
Polyus PJSC		07/23/20		17,665,998		0.0	%		96,437
Sberbank of Russia PJSC		11/10/17		51,393,929		0.1	%		420,306
Severstal PAO GDR (Registered)		10/12/17		13,249,420		0.0	%		128,143
								$	1,011,069

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
535	Mini MSCI Emerging Markets		March 2024	$	27,199,400	$	836,785

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated. * Non-income producing security.

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

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

(c) The security is restricted as to resale.

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

(e) Affiliated company (Note 10).

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

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

(h) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

  See accompanying notes to the financial statements. 26

GMO International Equity Fund

(A Series of GMO Trust)

 

   

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO International Equity Fund returned +16.98% (net) for the fiscal year ended February 29, 2024, as compared with +14.41% for the MSCI EAFE Index.

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

Decisions which detracted from performance included stock selection in the Netherlands and Information Technology. Danish Health Care was also a top detractor due to underweight positioning in Novo Nordisk.

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

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

27

GMO International Equity Fund

(A Series of GMO Trust)

 

   

Comparison of Change in Value of a $1,000,000 Investment in

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

As of February 29, 2024

		Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception
Class III	16.98%	8.45%	3.71%	n/a
Class IV	17.10%	8.53%	3.78%	n/a
Class I	16.78%	n/a	n/a	5/24/21 2.55%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, IV and I the gross expense ratio of 0.70%, 0.64% and 0.87%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.67%, 0.61% and 0.84% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

28

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.4	%
Mutual Funds		7.6
Preferred Stocks		0.4
Debt Obligations		0.1
Futures Contracts		0.0	^
Short-Term Investments		0.0	^
Other		(5.5	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		24.7	%
France		13.6
United Kingdom		10.9
United States		8.9
Netherlands		6.7
Italy		6.2
Spain		5.9
Switzerland		5.3
Germany		4.5
Australia		3.0
Sweden		2.2
Norway		2.0
Singapore		1.9
Other Developed		1.8	‡
Belgium		1.3
Hong Kong		1.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		13.1	%
Banks		10.8
Pharmaceuticals, Biotechnology & Life
Sciences		8.1
Energy		6.9
Automobiles & Components		6.4
Financial Services		6.3
Consumer Durables & Apparel		6.1
Food, Beverage & Tobacco		5.5
Technology Hardware & Equipment		4.9
Commercial & Professional Services		4.4
Semiconductors & Semiconductor
Equipment		4.3
Software & Services		4.2
Consumer Discretionary Distribution &
Retail		3.7
Materials		3.5
Consumer Staples Distribution & Retail		3.5
Insurance		2.4
Media & Entertainment		2.3
Telecommunication Services		1.1
Transportation		1.1
Health Care Equipment & Services		0.7
Utilities		0.3
Real Estate Management & Development		0.3
Consumer Services		0.1
Household & Personal Products		0.0	^
		100.0	%

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

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

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

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

^ Rounds to 0.0%.

29

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 97.4%
		Australia — 3.2%
	76,104	BlueScope Steel Ltd.		1,131,703
	1,011,005	Brambles Ltd.		9,927,044
	351,582	Fortescue Ltd.		5,934,003
	173,489	GrainCorp Ltd. – Class A		878,989
	133,200	Rio Tinto Ltd.		10,726,450
	154,801	Super Retail Group Ltd.		1,647,682
		Total Australia		30,245,871
		Austria — 0.4%
	68,811	Erste Group Bank AG		2,751,281
	30,966	OMV AG		1,364,546
		Total Austria		4,115,827
		Belgium — 1.4%
	117,420	Ageas SA		4,990,299
	28,823	Bekaert SA		1,429,304
	23,408	Groupe Bruxelles Lambert NV		1,760,466
	7,270	KBC Group NV		512,119
	18,036	Melexis NV		1,518,481
	29,381	Proximus SADP		245,947
	30,543	Syensqo SA *		2,727,027
	277	UCB SA		31,960
		Total Belgium		13,215,603
		Denmark — 0.1%
	7,470	Per Aarsleff Holding AS		355,816
	1,474	Schouw & Co. AS		126,317
		Total Denmark		482,133
		Finland — 0.4%
	561,899	Nokia OYJ		1,980,746
	132,316	Stora Enso OYJ – R Shares		1,672,951
		Total Finland		3,653,697
		France — 14.6%
	9,822	Amundi SA		647,183
	195,302	AXA SA		6,953,122
	2,816	Capgemini SE		684,974
	320,926	Cie de Saint-Gobain SA		24,740,375
	232,125	Cie Generale des Etablissements Michelin
		SCA		8,590,122
	105,579	Coface SA		1,515,750
	256,874	Credit Agricole SA		3,483,944
	100,483	Derichebourg SA		456,826
	6,463	Eurazeo SE		546,773
	25,473	Ipsen SA		2,798,288
	25,959	IPSOS SA		1,811,052
	34,139	Metropole Television SA		465,094
	143,245	Publicis Groupe SA		15,156,107
	212,558	Sanofi SA		20,259,866
	14,681	Societe BIC SA		1,060,710

Shares		Description	Value ($)
		France — continued
	4,099	Sopra Steria Group		1,051,042
	439,253	STMicroelectronics NV—NY Shares		20,038,722
	111,203	Television Francaise 1 SA		1,018,473
	14,666	TotalEnergies SE (a)		935,605
	401,685	TotalEnergies SE (a)		25,603,059
		Total France		137,817,087
		Germany — 4.5%
	7,481	Bayerische Motoren Werke AG		884,913
	8,368	Heidelberg Materials AG		812,523
	5,877	Henkel AG & Co. KGaA		396,502
	2,953	Hornbach Holding AG & Co. KGaA		220,278
	5,326	Indus Holding AG		130,784
	74,087	Infineon Technologies AG		2,660,135
	40,876	Kloeckner & Co. SE		286,756
	120,151	ProSiebenSat.1 Media SE		788,378
	15,233	RTL Group SA		562,437
	33,105	Salzgitter AG		849,469
	127,133	SAP SE		23,823,870
	30,037	Siemens AG (Registered)		5,946,389
	67,130	Talanx AG		4,791,791
		Total Germany		42,154,225
		Hong Kong — 1.2%
	282,500	ASMPT Ltd.		3,464,729
	165,000	CK Hutchison Holdings Ltd.		833,428
	202,800	Dah Sing Banking Group Ltd.		128,192
	26,869	Dah Sing Financial Holdings Ltd.		56,111
	1,107,707	Esprit Holdings Ltd. *		35,319
	286,000	HKT Trust & HKT Ltd. – Class SS		348,706
	1,045,585	IGG, Inc. *		487,906
	122,901	Johnson Electric Holdings Ltd.		167,166
	215,640	Kerry Logistics Network Ltd.		242,022
	144,326	Luk Fook Holdings International Ltd.		385,911
	1,009,331	Pacific Textiles Holdings Ltd.		159,931
	383,023	Shun Tak Holdings Ltd. *		40,576
	258,026	SmarTone Telecommunications Holdings
		Ltd.		133,411
	287,500	Swire Pacific Ltd. – Class A		2,381,630
	277,488	Television Broadcasts Ltd. *		114,304
	730,000	VSTECS Holdings Ltd.		381,353
	72,700	VTech Holdings Ltd.		419,956
	2,685,015	WH Group Ltd.		1,613,575
		Total Hong Kong		11,394,226
		Ireland — 0.8%
	237,716	Bank of Ireland Group PLC		2,075,969
	8,310	CRH PLC		700,616
	47,492	Kingspan Group PLC		4,294,648
		Total Ireland		7,071,233
		Italy — 6.7%
	67,555	Anima Holding SpA		304,286

  See accompanying notes to the financial statements. 30

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Italy — continued
	55,598	Banca IFIS SpA		1,010,796
	725,075	Banco BPM SpA		4,221,255
	307,486	BPER Banca		1,234,507
	988,161	Eni SpA		15,216,128
	66,604	Esprinet SpA		369,342
	280,912	Intesa Sanpaolo SpA		894,538
	253,051	MFE-MediaForEurope NV – Class A		577,306
	2,362	Sesa SpA		292,751
	844,485	Stellantis NV		22,091,385
	382,130	UniCredit SpA		12,799,293
	22,254	Unieuro SpA		218,378
	508,265	Unipol Gruppo SpA		4,087,959
		Total Italy		63,317,924
		Japan — 26.5%
	63,520	AOKI Holdings, Inc.		474,378
	70,900	Bandai Namco Holdings, Inc.		1,365,270
	28,300	Bridgestone Corp.		1,215,273
	207,996	Brother Industries Ltd.		3,489,801
	13,800	Canon Marketing Japan, Inc.		411,012
	182,800	Canon, Inc.		5,345,954
	33,200	Credit Saison Co. Ltd.		645,844
	102,000	Daido Steel Co. Ltd.		1,207,272
	66,290	Daiwabo Holdings Co. Ltd.		1,162,214
	312,300	ENEOS Holdings, Inc.		1,347,445
	111,200	FUJIFILM Holdings Corp.		7,083,072
	9,706	Fuyo General Lease Co. Ltd.		887,429
	17,453	Gunze Ltd.		654,796
	15,800	Hitachi Ltd.		1,338,584
	239,427	Honda Motor Co. Ltd. Sponsored ADR		8,521,207
	33,600	Horiba Ltd.		3,284,526
	148,200	Inpex Corp.		1,975,315
	471,354	ITOCHU Corp.		20,476,055
	839,304	Japan Tobacco, Inc.		21,802,184
	26,000	Kaga Electronics Co. Ltd.		1,155,497
	62,044	Kanematsu Corp.		989,993
	200,196	KDDI Corp.		6,052,278
	29,293	Komeri Co. Ltd.		682,035
	219,700	Marubeni Corp.		3,640,868
	53,557	MCJ Co. Ltd.		487,746
	240,100	Mitsubishi Corp.		5,150,033
	40,000	Mitsubishi Electric Corp.		637,119
	2,094,100	Mitsubishi UFJ Financial Group, Inc.		21,512,278
	263,638	Mitsui & Co. Ltd.		11,579,651
	31,400	Mitsui OSK Lines Ltd.		1,075,323
	39,684	Modec, Inc.		808,858
	197,600	NEC Corp.		13,337,447
	50,126	Nichias Corp.		1,317,723
	193,200	Nippon Yusen KK		6,152,734
	72,700	ORIX Corp.		1,527,466
	82,100	Otsuka Holdings Co. Ltd.		3,331,330
	16,800	PAL GROUP Holdings Co. Ltd.		255,454
	857,600	Panasonic Holdings Corp.		8,107,433

Shares		Description	Value ($)
		Japan — continued
	82,324	Press Kogyo Co. Ltd.		370,257
	37,219	Prima Meat Packers Ltd.		562,694
	5,983	San-A Co. Ltd.		183,954
	64,400	Sanwa Holdings Corp.		1,143,086
	21,600	SCREEN Holdings Co. Ltd.		2,712,393
	374,500	Seiko Epson Corp.		6,062,254
	50,795	Seiko Group Corp.		1,181,677
	257,412	Sekisui Chemical Co. Ltd.		3,629,371
	625,900	Sekisui House Ltd.		13,942,345
	87,081	Sojitz Corp.		2,211,543
	403,700	Sumitomo Forestry Co. Ltd.		11,521,681
	20,638	T-Gaia Corp.		293,013
	15,500	Tokyo Electron Ltd.		3,845,688
	96,600	Tokyo Gas Co. Ltd.		2,114,398
	101,975	Tokyu Construction Co. Ltd.		566,066
	12,428	Towa Pharmaceutical Co. Ltd.		231,268
	231,055	Toyota Tsusho Corp.		14,968,545
	24,269	TPR Co. Ltd.		350,405
	27,369	Valor Holdings Co. Ltd.		442,675
	20,256	Warabeya Nichiyo Holdings Co. Ltd.		369,940
	1,488,300	Yamaha Motor Co. Ltd.		13,343,102
		Total Japan		250,535,252
		Netherlands — 7.2%
	879	ASM International NV		536,847
	4,199	ASML Holding NV		3,984,857
	99,907	EXOR NV		10,791,564
	335,133	ING Groep NV		4,612,047
	651,074	Koninklijke Ahold Delhaize NV		19,390,189
	271,887	Koninklijke Philips NV		5,477,775
	213,233	Randstad NV		11,760,661
	73,894	Wolters Kluwer NV		11,669,323
		Total Netherlands		68,223,263
		Norway — 2.1%
	55,189	DNB Bank ASA		1,105,089
	466,370	Elkem ASA		926,513
	673,768	Equinor ASA		16,600,816
	35,331	Europris ASA		243,655
	102,693	Hoegh Autoliners ASA		1,002,215
	38,577	Wallenius Wilhelmsen ASA		370,081
		Total Norway		20,248,369
		Portugal — 0.2%
	30,571	CTT-Correios de Portugal SA		120,286
	253,973	Navigator Co. SA		1,032,918
	156,820	REN—Redes Energeticas Nacionais SGPS
		SA		371,471
	757,857	Sonae SGPS SA		697,319
		Total Portugal		2,221,994
		Singapore — 2.1%
	730,000	ComfortDelGro Corp. Ltd.		733,432

31 See accompanying notes to the financial statements.  

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Singapore — continued
	483,500	First Resources Ltd.		511,006
	932,000	Keppel Ltd.		5,025,859
	370,900	Oversea-Chinese Banking Corp. Ltd.		3,582,490
	428,300	Sheng Siong Group Ltd.		493,746
	87,700	Venture Corp. Ltd.		914,041
	87,739	Wilmar International Ltd.		216,680
	882,722	Yangzijiang Financial Holding Ltd.		226,738
	6,092,722	Yangzijiang Shipbuilding Holdings Ltd.		7,939,353
		Total Singapore		19,643,345
		Spain — 6.3%
	2,439,871	Banco Bilbao Vizcaya Argentaria SA		24,335,957
	10,898,970	Banco de Sabadell SA		14,174,959
	558,276	Banco Santander SA		2,326,607
	8,236	Ebro Foods SA		129,732
	415,685	Industria de Diseno Textil SA		18,493,024
		Total Spain		59,460,279
		Sweden — 2.3%
	134,654	Betsson AB – Class B		1,331,417
	121,429	Investor AB – A Shares		3,013,071
	344,005	Investor AB – B Shares		8,654,910
	399,112	SSAB AB – A Shares		3,121,247
	12,582	Volvo AB – A Shares		351,080
	204,831	Volvo AB – B Shares		5,643,816
		Total Sweden		22,115,541
		Switzerland — 5.7%
	29,579	ABB Ltd. (Registered)		1,364,844
	79,648	Adecco Group AG (Registered)		3,192,888
	36,168	Ascom Holding AG (Registered)		302,245
	209	Forbo Holding AG (Registered)		240,094
	31,657	Logitech International SA (Registered) (a)		2,780,118
	105,750	Logitech International SA (Registered) (a)		9,357,435
	127,838	Novartis AG Sponsored ADR		12,907,803
	59,509	Roche Holding AG – Genusschein		15,559,285
	57,953	Sandoz Group AG ADR *		1,800,600
	227	Swisscom AG (Registered)		129,748
	10,851	u-blox Holding AG		1,033,977
	86,179	UBS Group AG (Registered) (a)		2,460,565
	85,108	UBS Group AG (Registered) (a)		2,421,322
	3,995	Zehnder Group AG – Class RG		243,700
		Total Switzerland		53,794,624
		United Kingdom — 11.7%
	727,505	3i Group PLC		22,729,479
	1,517,686	Barratt Developments PLC		8,954,505
	121,982	Bellway PLC		4,160,570
	442,583	British American Tobacco PLC		13,149,758
	542,745	BT Group PLC		716,408
	226,692	Coca-Cola HBC AG		7,066,733
	83,864	Crest Nicholson Holdings PLC		224,467
	549,133	Ferrexpo PLC *		500,185

Shares / Par Value†		Description	Value ($)
		United Kingdom — continued
	50,364	Galliford Try Holdings PLC		153,451
	345,636	GSK PLC		7,230,166
	249,808	GSK PLC Sponsored ADR		10,466,955
	103,137	Halfords Group PLC		197,904
	257,012	Imperial Brands PLC		5,536,628
	76,115	Investec PLC		476,399
	1,313,429	J Sainsbury PLC		4,146,265
	71,714	Moneysupermarket.com Group PLC		221,834
	101,385	Next PLC		10,659,444
	59,045	Persimmon PLC		1,017,548
	209,285	Redrow PLC		1,688,816
	48,384	RELX PLC		2,118,654
	1,559,997	Tesco PLC		5,502,160
	109,244	Vesuvius PLC		668,111
	308,863	Vodafone Group PLC Sponsored ADR		2,761,235
		Total United Kingdom		110,347,675
		TOTAL COMMON STOCKS (COST $864,642,855)		920,058,168
		PREFERRED STOCKS (b) — 0.4%
		Germany — 0.4%
	30,362	Bayerische Motoren Werke AG		3,328,697
	4,226	Draegerwerk AG & Co. KGaA		220,038
		Total Germany		3,548,735
		TOTAL PREFERRED STOCKS (COST $2,986,668)		3,548,735
		DEBT OBLIGATIONS — 0.1%
		United States — 0.1%
	1,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.36%, due
		07/31/24 (c)		999,953
		TOTAL DEBT OBLIGATIONS (COST $999,809)		999,953
		MUTUAL FUNDS — 7.6%
		United States — 7.6%
		Affiliated Issuers — 7.6%
	14,369,347	GMO U.S. Treasury Fund		71,846,735
		Total United States		71,846,735
		TOTAL MUTUAL FUNDS (COST $71,846,735)		71,846,735

  See accompanying notes to the financial statements. 32

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	157,299	State Street Institutional Treasury Money
		Market Fund – Premier Class, 5.25% (d)		157,299
		TOTAL SHORT-TERM INVESTMENTS (COST $157,299)		157,299
		TOTAL INVESTMENTS — 105.5% (Cost $940,633,366)		996,610,890
		Other Assets and Liabilities (net) — (5.5)%		(51,559,292	)
		TOTAL NET ASSETS — 100.0%	$	945,051,598

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Futures Contracts

Number of Contracts +	Type		Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
153		MSCI EAFE		March 2024	$	17,502,435	$	349,013

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated. * Non-income producing security.

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

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

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

(d) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

33 See accompanying notes to the financial statements.  

This page has been left blank intentionally.

GMO International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO International Opportunistic Value Fund returned +12.08% (net) for the fiscal year ended February 29, 2024, as compared with +14.01% for the MSCI World ex USA Index. As of May 22, 2023, the Fund’s strategy was changed from Tax-Managed International Equities to International Opportunistic Value. At that time the benchmark was also changed from the MSCI EAFE Index to the MSCI World ex USA Index, which GMO believes to be better aligned with the Fund’s new strategy.

Stock selection drove underperformance for the period with notable challenges in the Netherlands, France, Germany, Health Care, and Information Technology.

Decisions which added to performance included stock selection in Japan, Italy, Industrials, Financials, and Consumer Discretionary.

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

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

35

GMO International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund)

Class III Shares and the MSCI World ex USA Index

As of February 29, 2024

	Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception
Class III	12.08%	7.15%	2.87%	n/a
Class IV	n/a	n/a	n/a	9/25/23 5.85%
Class I	n/a	n/a	n/a	8/14/23 5.72%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, IV, and I the gross expense ratio of 1.38%, 1.33%, and 1.48%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent supplement to the prospectus dated August 25, 2023. For the Classes listed above, the corresponding net expense ratio of 0.69%, 0.64%, and 0.79% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

36

GMO International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.6	%
Mutual Funds		2.0
Preferred Stocks		0.2
Short-Term Investments		0.2
Other		0.0^
		100.0	%
Country/Region Summary¤	% of Investments
Japan		21.1	%
France		12.7
Canada		12.1
United Kingdom		10.9
Switzerland		6.0
Netherlands		5.7
Italy		5.1
Spain		5.0
Germany		3.7
Australia		3.4
Hong Kong		2.9
Finland		2.2
Sweden		2.0
United States		2.0
Belgium		1.7
Other Developed		1.4	‡
Denmark		1.1
Norway		1.0
Other Emerging		0.0	†^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		20.1	%
Pharmaceuticals, Biotechnology & Life Sciences		11.8
Capital Goods		10.2
Energy		9.3
Automobiles & Components		8.5
Insurance		7.3
Materials		7.1
Food, Beverage & Tobacco		3.9
Telecommunication Services		3.3
Financial Services		3.3
Real Estate Management & Development		2.7
Transportation		2.2
Consumer Staples Distribution & Retail		2.0
Technology Hardware & Equipment		2.0
Consumer Durables & Apparel		1.9
Health Care Equipment & Services		1.3
Media & Entertainment		0.9
Commercial & Professional Services		0.8
Consumer Discretionary Distribution & Retail		0.5
Household & Personal Products		0.4
Semiconductors & Semiconductor Equipment		0.3
Software & Services		0.1
Equity Real Estate Investment Trusts (REITs)		0.1
		100.0	%

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

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

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

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

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

^ Rounds to 0.0%.

37

GMO International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 97.6%
		Australia — 3.4%
	315,429	BHP Group Ltd.		9,042,186
	157,112	BlueScope Steel Ltd.		2,336,330
	49,765	Dexus – (REIT)		238,316
	5,984	Fortescue Ltd.		100,998
	7,445	Rio Tinto Ltd.		599,538
		Total Australia		12,317,368
		Austria — 1.0%
	5,345	Erste Group Bank AG		213,710
	61,506	OMV AG		2,710,320
	25,947	Raiffeisen Bank International AG		540,497
		Total Austria		3,464,527
		Belgium — 1.7%
	52,746	Ageas SA		2,241,682
	4,352	Groupe Bruxelles Lambert NV		327,305
	15,023	KBC Group NV		1,058,263
	8,249	Proximus SADP		69,052
	2,411	Syensqo SA *		215,266
	20,534	UCB SA		2,369,201
		Total Belgium		6,280,769
		Canada — 12.1%
	4,700	Alimentation Couche-Tard, Inc.		291,492
	140,300	B2Gold Corp. (a)		338,047
	249,771	B2Gold Corp. (a)		599,450
	571	Bank of Montreal		51,676
	31,700	Bank of Nova Scotia (a)		1,537,175
	97,901	Bank of Nova Scotia (a)		4,745,262
	9,700	Canadian Imperial Bank of Commerce (a)		459,002
	98,486	Canadian Imperial Bank of Commerce (a)		4,660,358
	7,200	Canadian Tire Corp. Ltd. – Class A		732,653
	20,600	Canadian Western Bank		440,036
	9,600	CI Financial Corp.		119,686
	13,700	Enerplus Corp.		242,777
	69,200	Great-West Lifeco, Inc.		2,131,349
	27,700	iA Financial Corp., Inc.		1,717,741
	4,700	Imperial Oil Ltd.		294,090
	8,970	Magna International, Inc. (a)		494,426
	17,600	Magna International, Inc. (a)		969,773
	81,174	Manulife Financial Corp. (a)		1,927,071
	148,600	Manulife Financial Corp. (a)		3,526,807
	5,900	National Bank of Canada		460,514
	4,993	Nutrien Ltd. (a)		260,834
	50,800	Nutrien Ltd. (a)		2,651,639
	85,600	Parex Resources, Inc.		1,381,306
	111,500	Power Corp. of Canada		3,221,394
	9,700	Russel Metals, Inc.		317,842
	8,600	Sun Life Financial, Inc. (a)		456,757
	67,772	Sun Life Financial, Inc. (a)		3,600,049
	81,800	Toronto-Dominion Bank		4,911,677

Shares		Description	Value ($)
		Canada — continued
	18,700	West Fraser Timber Co. Ltd.		1,504,929
		Total Canada		44,045,812
		Denmark — 1.1%
	625	AP Moller - Maersk AS – Class A		848,983
	898	AP Moller - Maersk AS – Class B		1,274,390
	1,760	Carlsberg AS – Class B		245,842
	51,720	H Lundbeck AS		250,397
	8,043	Pandora AS		1,300,715
		Total Denmark		3,920,327
		Finland — 2.1%
	935,847	Nokia OYJ		3,298,947
	216,668	Outokumpu OYJ		959,733
	183,749	Stora Enso OYJ – R Shares		2,323,250
	12,348	TietoEVRY OYJ		288,238
	36,531	Valmet OYJ		957,573
		Total Finland		7,827,741
		France — 12.7%
	30,047	APERAM SA		918,828
	4,235	ArcelorMittal SA		110,472
	4,936	Arkema SA		511,626
	7,923	AXA SA		282,074
	104,649	BNP Paribas SA		6,281,032
	31,467	Carrefour SA		528,688
	71,684	Cie de Saint-Gobain SA		5,526,162
	5,193	Ipsen SA		570,467
	282,259	Orange SA		3,235,523
	98,412	Sanofi SA		9,380,094
	119,187	Societe Generale SA		2,894,531
	21,335	STMicroelectronics NV—NY Shares		973,303
	197,360	TotalEnergies SE		12,579,558
	27,190	Valeo SE		313,774
	184,657	Vivendi SE		2,063,476
		Total France		46,169,608
		Germany — 3.5%
	13,809	Bayerische Motoren Werke AG		1,633,440
	41,682	Daimler Truck Holding AG		1,702,894
	71,192	Fresenius SE & Co. KGaA		1,993,743
	5,141	Henkel AG & Co. KGaA		346,846
	81,247	Mercedes-Benz Group AG		6,474,150
	74,475	ProSiebenSat.1 Media SE		488,672
		Total Germany		12,639,745
		Hong Kong — 2.9%
	232,000	BOC Hong Kong Holdings Ltd.		609,512
	416,000	CK Asset Holdings Ltd.		1,913,608
	460,500	CK Hutchison Holdings Ltd.		2,326,022
	66,000	Kerry Properties Ltd.		108,455
	316,500	Sun Hung Kai Properties Ltd.		3,184,709

  See accompanying notes to the financial statements. 38

GMO International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Hong Kong — continued
	109,500	Swire Pacific Ltd. – Class A		907,091
	125,200	Swire Properties Ltd.		257,532
	1,800	VTech Holdings Ltd.		10,398
	1,968,000	WH Group Ltd.		1,182,681
		Total Hong Kong		10,500,008
		Italy — 5.1%
	182,287	Banco BPM SpA		1,061,242
	161,421	BPER Banca		648,079
	208,210	Eni SpA		3,206,107
	143,801	Intesa Sanpaolo SpA		457,921
	109,436	Leonardo SpA		2,339,757
	40,968	Poste Italiane SpA		480,528
	271,594	Stellantis NV		7,104,789
	47,195	Tenaris SA ADR		1,661,264
	208,321	Unipol Gruppo SpA		1,675,519
		Total Italy		18,635,206
		Japan — 21.1%
	80,300	Bridgestone Corp.		3,448,284
	37,200	Brother Industries Ltd.		624,150
	18,800	Credit Saison Co. Ltd.		365,719
	111,000	Daiwa House Industry Co. Ltd.		3,205,064
	46,100	ENEOS Holdings, Inc.		198,902
	170,424	Honda Motor Co. Ltd. Sponsored ADR		6,065,390
	170,500	Idemitsu Kosan Co. Ltd.		1,078,163
	227,100	Inpex Corp.		3,026,950
	77,300	Isuzu Motors Ltd.		1,102,988
	110,300	ITOCHU Corp.		4,791,534
	141,500	Japan Tobacco, Inc.		3,675,675
	41,400	KDDI Corp.		1,251,595
	83,900	Kirin Holdings Co. Ltd.		1,166,389
	119,200	Komatsu Ltd.		3,460,146
	800	Marubeni Corp.		13,258
	5,600	Mazda Motor Corp.		65,030
	87,100	Mitsubishi Corp.		1,868,255
	88,400	Mitsubishi Electric Corp.		1,408,034
	6,000	Mitsubishi Gas Chemical Co., Inc.		97,795
	428,500	Mitsubishi UFJ Financial Group, Inc.		4,401,896
	121,200	Mitsui & Co. Ltd.		5,323,412
	62,000	Mitsui OSK Lines Ltd.		2,123,250
	19,400	Mizuho Financial Group, Inc.		362,432
	108,800	Nippon Yusen KK		3,464,894
	1,200	Nitto Denko Corp.		110,333
	131,700	Ono Pharmaceutical Co. Ltd.		2,180,900
	155,100	ORIX Corp.		3,258,734
	79,100	Otsuka Holdings Co. Ltd.		3,209,601
	372,900	Panasonic Holdings Corp.		3,525,259
	22,400	Seiko Epson Corp.		362,602
	12,200	Sekisui House Ltd.		271,763
	59,800	Shionogi & Co. Ltd.		2,977,255
	29,800	Sojitz Corp.		756,812
	4,600	Sompo Holdings, Inc.		269,679

Shares		Description	Value ($)
		Japan — continued
	50,700	Sumitomo Forestry Co. Ltd.		1,446,988
	7,100	Sumitomo Heavy Industries Ltd.		211,587
	41,700	Tosoh Corp.		568,233
	42,000	Toyota Tsusho Corp.		2,720,906
	248,100	Yamaha Motor Co. Ltd.		2,224,299
		Total Japan		76,684,156
		Netherlands — 5.7%
	77,422	Aegon Ltd.		465,322
	46,224	ASR Nederland NV		2,133,457
	16,244	EXOR NV		1,754,613
	377,296	ING Groep NV		5,192,287
	131,577	Koninklijke Ahold Delhaize NV		3,918,607
	129,128	Koninklijke Philips NV		2,601,574
	42,679	NN Group NV		1,904,665
	18,093	Randstad NV		997,902
	63,982	Signify NV		1,719,411
		Total Netherlands		20,687,838
		Norway — 1.0%
	8,358	DNB Bank ASA		167,358
	142,774	Equinor ASA		3,517,776
		Total Norway		3,685,134
		Portugal — 0.0%
	4,483	Sonae SGPS SA		4,125
		Russia — 0.0%
	9,800	Surgutneftegas PJSC (b)		31
		Singapore — 0.5%
	183,800	Oversea-Chinese Banking Corp. Ltd.		1,775,308
		Spain — 5.0%
	68,124	Acerinox SA		748,024
	628,938	Banco Bilbao Vizcaya Argentaria SA		6,273,204
	1,701,823	Banco de Sabadell SA		2,213,353
	1,304,805	Banco Santander SA		5,437,755
	212,858	Repsol SA		3,381,262
		Total Spain		18,053,598
		Sweden — 2.0%
	68,733	Investor AB – B Shares		1,729,271
	490,248	Telefonaktiebolaget LM Ericsson – B
		Shares		2,662,049
	5,033	Volvo AB – A Shares		140,438
	105,870	Volvo AB – B Shares		2,917,091
		Total Sweden		7,448,849
		Switzerland — 5.9%
	49,018	Adecco Group AG (Registered)		1,965,008
	14,543	Holcim AG		1,186,993
	44,318	Novartis AG Sponsored ADR		4,474,789

39 See accompanying notes to the financial statements.  

GMO International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Switzerland — continued
	3,267	Roche Holding AG		903,140
	41,828	Roche Holding AG – Genusschein		10,936,392
	13,024	Sandoz Group AG ADR *		404,656
	694	Swatch Group AG		163,843
	2,825	Swisscom AG (Registered)		1,614,704
		Total Switzerland		21,649,525
		United Kingdom — 10.8%
	126,252	3i Group PLC		3,944,498
	114,595	abrdn PLC		228,204
	3,830	British American Tobacco PLC		113,795
	214,372	British American Tobacco PLC Sponsored
		ADR		6,407,579
	1,756,870	BT Group PLC		2,319,018
	35,409	Coca-Cola HBC AG		1,103,815
	108,457	GSK PLC Sponsored ADR		4,544,348
	260,756	HSBC Holdings PLC Sponsored ADR		10,216,420
	1,093,396	ITV PLC		773,680
	381,882	Kingfisher PLC		1,132,507
	3,701,297	Lloyds Banking Group PLC		2,188,480
	696,992	NatWest Group PLC		2,107,424
	31,937	Standard Chartered PLC		270,026
	17,292	Unilever PLC Sponsored ADR		846,789
	365,208	Vodafone Group PLC Sponsored ADR		3,264,960
		Total United Kingdom		39,461,543
		TOTAL COMMON STOCKS
		(COST $338,356,809)		355,251,218
		PREFERRED STOCKS (c) — 0.2%
		Germany — 0.2%
	4,681	Bayerische Motoren Werke AG		513,195
	5,463	Henkel AG & Co. KGaA		411,002
		Total Germany		924,197
		TOTAL PREFERRED STOCKS
		(COST $881,228)		924,197
		MUTUAL FUNDS — 2.0%
		United States — 2.0%
		Affiliated Issuers — 2.0%
	1,426,000	GMO U.S. Treasury Fund		7,130,000
		Total United States		7,130,000
		TOTAL MUTUAL FUNDS
		(COST $7,130,000)		7,130,000

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	585,732	State Street Institutional Treasury Money
		Market Fund – Premier Class, 5.25% (d)		585,732
		TOTAL SHORT-TERM INVESTMENTS
		(COST $585,732)		585,732
		TOTAL INVESTMENTS — 100.0%
		(Cost $346,953,769)		363,891,147
		Other Assets and Liabilities (net) — (0.0)%		(65,029	)
		TOTAL NET ASSETS — 100.0%	$	363,826,118

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

(d) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

  See accompanying notes to the financial statements. 40

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO-Usonian Japan Value Creation Fund returned +22.21% (net) for the fiscal year ended February 29, 2024, as compared with +24.79% for TOPIX.

Japanese equities rallied in 2023, posting a total return of +27.77% as measured by the TOPIX for the full year in local terms. Japanese equities were buoyed by expectations of better corporate management due, in part, to the continued pressure on company management and boards from regulators and investors to increase returns. Further, macro factors such as a weaker yen and increasingly sustainable inflation supported equity returns. Inflation is seen as increasingly sustainable due to higher confidence that wages will increase substantially again in 2024, leading to a positive wage-price spiral.

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

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

41

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

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

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

As of February 29, 2024

	Average Annual Total Returns
	1 Year	Since Inception
Class III	22.17%	12/30/21 4.66%
Class VI	22.21%	9/14/20 7.90%
Class I	22.03%	6/7/21 0.89%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

For Class III, VI and I the gross expense ratio of 0.82%, 0.71% and 0.96% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.68%, 0.58%, 0.78% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

42

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.9	%
Short-Term Investments		4.1
Other		0.0^
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		28.3	%
Food, Beverage & Tobacco		8.8
Technology Hardware & Equipment		8.7
Semiconductors & Semiconductor Equipment		8.0
Materials		7.7
Banks		7.3
Insurance		7.1
Automobiles & Components		6.4
Financial Services		5.5
Health Care Equipment & Services		4.0
Software & Services		3.8
Transportation		2.5
Consumer Durables & Apparel		1.9
		100.0	%

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

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

^ Rounds to 0.0%.

43

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 95.9%
		Automobiles & Components — 6.2%
	264,400	Isuzu Motors Ltd.		3,772,705
	203,600	Stanley Electric Co. Ltd.		3,490,387
		Total Automobiles & Components		7,263,092
		Banks — 7.0%
	84,300	Sumitomo Mitsui Financial Group, Inc.		4,696,733
	174,600	Sumitomo Mitsui Trust Holdings, Inc.		3,537,960
		Total Banks		8,234,693
		Capital Goods — 27.2%
	86,800	EXEO Group, Inc.		1,824,806
	201,800	Fuji Corp.		3,475,944
	284,000	Fujikura Ltd.		3,475,309
	280,000	Kanematsu Corp.		4,467,767
	74,800	Kyudenko Corp.		2,909,751
	353,600	Mitsubishi Electric Corp.		5,632,134
	516,900	Penta-Ocean Construction Co. Ltd.		2,677,978
	205,600	THK Co. Ltd.		4,531,055
	30,700	Toyota Industries Corp.		3,059,038
		Total Capital Goods		32,053,782
		Consumer Durables & Apparel — 1.8%
	99,900	Yamaha Corp.		2,184,707
		Financial Services — 5.3%
	183,900	Credit Saison Co. Ltd.		3,577,432
	71,400	Zenkoku Hosho Co. Ltd.		2,620,544
		Total Financial Services		6,197,976
		Food, Beverage & Tobacco — 8.4%
	216,000	Kirin Holdings Co. Ltd.		3,002,861
	127,600	Morinaga & Co. Ltd.		2,287,416
	133,600	NH Foods Ltd.		4,669,419
		Total Food, Beverage & Tobacco		9,959,696
		Health Care Equipment & Services — 3.8%
	262,800	H.U. Group Holdings, Inc.		4,501,186
		Insurance — 6.8%
	55,800	MS&AD Insurance Group Holdings, Inc.		2,788,450
	297,800	T&D Holdings, Inc.		5,183,036
		Total Insurance		7,971,486
		Materials — 7.4%
	211,900	Denka Co. Ltd.		3,475,686
	102,000	Maruichi Steel Tube Ltd.		2,670,084
	394,900	Tokai Carbon Co. Ltd.		2,605,138
		Total Materials		8,750,908

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — 7.7%
	232,300	Rohm Co. Ltd.		3,957,626
	325,800	SUMCO Corp.		5,113,053
		Total Semiconductors & Semiconductor Equipment		9,070,679
		Software & Services — 3.6%
	63,300	NEC Corp.		4,272,573
		Technology Hardware & Equipment — 8.3%
	121,900	Amano Corp.		2,986,384
	147,900	Daiwabo Holdings Co. Ltd.		2,593,022
	66,300	FUJIFILM Holdings Corp.		4,223,090
		Total Technology Hardware & Equipment		9,802,496
		Transportation — 2.4%
	80,500	Sankyu, Inc.		2,846,507
		TOTAL COMMON STOCKS (COST $108,067,351)		113,109,781
		SHORT-TERM INVESTMENTS — 4.1%
		Money Market Funds — 4.1%
	4,835,574	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (a)		4,835,574
		TOTAL SHORT-TERM INVESTMENTS (COST $4,835,574)		4,835,574
		TOTAL INVESTMENTS — 100.0% (Cost $112,902,925)		117,945,355
		Other Assets and Liabilities (net) — 0.0%		26,452
		TOTAL NET ASSETS — 100.0%	$	117,971,807

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

  See accompanying notes to the financial statements. 44

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO Quality Cyclicals Fund returned +14.05% (net) for the fiscal year ended February 29, 2024, as compared with +23.15% for the MSCI ACWI.

Relative to MSCI ACWI, sector allocation detracted from relative returns this period. The Health Care (underweight) and Utilities (underweight) allocations made the largest positive impact while Information Technology (underweight) and Energy (overweight) detracted. Security selection within sector detracted from relative returns. Selection results in Communication Services and Industrials made the largest positive impact. Consumer Discretionary and Energy reduced returns. Stock selection within sector was somewhat more material than sector allocation.

The U.S./non-U.S. regional allocation made a negative contribution.

Meta Platforms, Lam Research, and Safran made a positive contribution while NVIDIA (underweight), Darling Ingredients, and BorgWarner had a negative impact.

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

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

45

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

 

 

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

GMO Quality Cyclicals Fund Class VI Shares and the MSCI ACWI

As of February 29, 2024

	Average Annual Total Returns
	1 Year	Since Inception
Class VI	14.05%	5/12/20 17.73%
Class I	13.80%	7/16/21 4.06%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class VI and I the gross expense ratio of 0.55% and 0.75%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.41% and 0.61% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

46

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.9	%
Preferred Stocks		1.4
Short-Term Investments		1.0
Mutual Funds		0.6
Other		0.1
		100.0	%

Country/Region Summary¤	% of Investments
United States		55.7	%
United Kingdom		9.6
Mexico		6.6
France		6.5
Spain		5.8
Canada		5.1
Ireland		3.6
Germany		2.4
Brazil		1.5
Hong Kong		1.3
Finland		1.3
Other Emerging		0.6	†
		100.0	%

Industry Group Summary	% of Equity Investments#
Consumer Services		16.6	%
Financial Services		11.0
Semiconductors & Semiconductor Equipment		9.4
Energy		9.4
Capital Goods		7.0
Media & Entertainment		6.5
Consumer Durables & Apparel		6.2
Materials		6.2
Food, Beverage & Tobacco		5.9
Banks		5.7
Consumer Discretionary Distribution & Retail		5.4
Transportation		3.6
Insurance		2.7
Household & Personal Products		2.5
Automobiles & Components		1.9
		100.0	%

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

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

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

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

            

47

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 96.9%
		Brazil — 0.2%
	9,896	Vale SA		133,357
		Canada — 5.1%
	10,341	Brookfield Asset Management Ltd. –
		Class A		421,396
	53,452	Brookfield Corp. – Class A		2,205,964
	27,951	Nutrien Ltd.		1,460,160
		Total Canada		4,087,520
		China — 0.4%
	10,017	Tencent Holdings Ltd.		350,902
		Finland — 1.3%
	37,759	Neste OYJ		1,035,053
		France — 6.4%
	2,264	LVMH Moet Hennessy Louis Vuitton SE		2,066,432
	14,845	Safran SA		3,112,855
		Total France		5,179,287
		Germany — 2.4%
	13,512	Beiersdorf AG		1,936,823
		Hong Kong — 1.3%
	191,484	Galaxy Entertainment Group Ltd.		1,042,585
		Ireland — 3.6%
	20,818	Ryanair Holdings PLC Sponsored ADR		2,878,089
		Mexico — 6.5%
	246,925	Fomento Economico Mexicano SAB de CV		3,074,493
	449,295	Grupo Mexico SAB de CV – Series B		2,190,821
		Total Mexico		5,265,314
		Russia — 0.0%
	33,541	LUKOIL PJSC (a)		27,115
	72,920	Novatek PJSC (a)		10,751
		Total Russia		37,866
		Spain — 5.8%
	32,321	Amadeus IT Group SA		1,912,073
	61,571	Industria de Diseno Textil SA		2,739,175
		Total Spain		4,651,248
		United Kingdom — 9.5%
	28,637	Berkeley Group Holdings PLC		1,682,513
	100,789	Compass Group PLC		2,765,509
	67,815	Persimmon PLC		1,168,685
	66,064	Shell PLC		2,043,347
		Total United Kingdom		7,660,054

Shares		Description	Value ($)
		United States — 54.4%
	14,391	Alphabet, Inc. – Class A*		1,992,578
	13,731	American Express Co.		3,012,856
	822	Booking Holdings, Inc. *		2,851,378
	48,325	BorgWarner, Inc.		1,504,357
	19,681	CarMax, Inc. *		1,554,799
	10,594	Chevron Corp.		1,610,394
	38,526	Darling Ingredients, Inc. *		1,630,035
	19,226	EOG Resources, Inc.		2,200,608
	7,133	General Electric Co.		1,119,096
	22,076	Green Plains, Inc. *		470,219
	10,765	Hilton Worldwide Holdings, Inc.		2,199,505
	22,152	Intercontinental Exchange, Inc.		3,066,280
	2,548	Lam Research Corp.		2,390,661
	44,106	Las Vegas Sands Corp.		2,404,659
	1,453	Markel Group, Inc. *		2,168,574
	5,741	Meta Platforms, Inc. – Class A		2,813,836
	27,490	Micron Technology, Inc.		2,490,869
	13,756	Otis Worldwide Corp.		1,310,947
	11,841	SolarEdge Technologies, Inc. *		795,360
	10,546	Texas Instruments, Inc.		1,764,662
	40,842	U.S. Bancorp		1,713,730
	49,890	Wells Fargo & Co.		2,773,385
		Total United States		43,838,788
		TOTAL COMMON STOCKS
		(COST $58,311,203)		78,096,886
		PREFERRED STOCKS (b) — 1.4%
		Brazil — 1.4%
	253,571	Bradespar SA		1,081,391
		TOTAL PREFERRED STOCKS
		(COST $1,131,427)		1,081,391
		MUTUAL FUNDS — 0.6%
		United States — 0.6%
		Affiliated Issuers — 0.6%
	100,206	GMO U.S. Treasury Fund		501,028
		Total United States		501,028
		TOTAL MUTUAL FUNDS
		(COST $501,028)		501,028

  See accompanying notes to the financial statements. 48

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.0%
		Money Market Funds — 1.0%
	780,113	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (c)		780,113
		TOTAL SHORT-TERM INVESTMENTS (COST $780,113)		780,113
		TOTAL INVESTMENTS — 99.9% (Cost $60,723,771)		80,459,418
		Other Assets and Liabilities (net) — 0.1%		103,043
		TOTAL NET ASSETS — 100.0%	$	80,562,461

Notes to Schedule of Investments:

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

49 See accompanying notes to the financial statements.  

This page has been left blank intentionally.

GMO Quality Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Quality Fund returned +36.15% (net) for the fiscal year ended February 29, 2024, as compared with +30.45% for the S&P 500 Index.

Relative to the S&P 500, sector allocation added value this period. The Information Technology (overweight) and Energy (underweight) allocations helped returns while Health Care (overweight), Consumer Staples (overweight), and Communication Services (underweight) reduced returns. Security selection within sector added value. Selection results in Communication Services and Health Care helped returns. Information Technology and Consumer Staples detracted from returns. Sector allocation mattered a little more than stock selection within sector.

The allocation to non-U.S. stocks detracted from relative returns.

Meta Platforms, Lam Research, and Eli Lilly made the largest positive impact while NVIDIA (underweight), UnitedHealth, and U.S. Bancorp detracted.

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

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

51

GMO Quality Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

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

As of February 29, 2024

	Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception
Class III	36.15%	16.44%	14.22%	n/a
Class IV	36.17%	16.49%	14.27%	n/a
Class VI	36.32%	16.55%	14.33%	n/a
Class R6	36.14%	n/a	n/a	11/12/19 15.67%
Class I	36.02%	n/a	n/a	9/26/19 16.40%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, IV, VI, R6 and I the gross expense ratio of 0.51%, 0.47%, 0.42%, 0.51% and 0.62%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.50%, 0.46%, 0.41%, 0.49% and 0.59% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

52

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Country/Region Summary¤	% of Investments
United States		79.1	%
United Kingdom		6.3
France		5.0
Germany		3.5
Switzerland		2.8
Taiwan		2.8
Other Developed		0.5	‡
		100.0	%

Industry Group Summary	% of Investments
Software & Services		18.1	%
Health Care Equipment & Services		14.3
Semiconductors & Semiconductor Equipment		10.4
Pharmaceuticals, Biotechnology & Life Sciences		9.8
Media & Entertainment		7.7
Food, Beverage & Tobacco		7.2
Capital Goods		6.6
Consumer Discretionary Distribution & Retail		5.5
Banks		4.2
Technology Hardware & Equipment		3.1
Financial Services		3.0
Consumer Services		2.9
Household & Personal Products		2.7
Consumer Durables & Apparel		1.5
Short-Term InvestmentsW		3.0
		100.0	%

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

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

W Includes GMO U.S. Treasury Fund which is used as a short-term vehicle for cash management.

53

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 96.9%
		Banks — 4.2%
	4,633,534	U.S. Bancorp		194,423,087
	3,644,860	Wells Fargo & Co.		202,617,767
		Total Banks		397,040,854
		Capital Goods — 6.5%
	543,215	General Electric Co.		85,225,002
	480,068	Knorr-Bremse AG		33,609,556
	1,892,810	Otis Worldwide Corp.		180,384,793
	1,543,406	Safran SA		323,637,464
		Total Capital Goods		622,856,815
		Consumer Discretionary Distribution & Retail — 5.5%
	1,766,731	Amazon.com, Inc.*		312,287,371
	2,173,484	TJX Cos., Inc.		215,479,204
		Total Consumer Discretionary Distribution  & Retail		527,766,575
		Consumer Durables & Apparel — 1.5%
	160,750	LVMH Moet Hennessy Louis Vuitton SE		146,722,166
		Consumer Services — 2.9%
	872,691	Amadeus IT Group SA		51,627,392
	8,055,112	Compass Group PLC		221,021,015
		Total Consumer Services		272,648,407
		Financial Services — 3.0%
	434,683	American Express Co.		95,378,144
	689,184	Visa, Inc. – Class A		194,790,966
		Total Financial Services		290,169,110
		Food, Beverage & Tobacco — 7.2%
	4,671,919	Coca-Cola Co.		280,408,578
	558,254	Constellation Brands, Inc. – Class A		138,737,284
	3,323,000	Diageo PLC		124,497,146
	1,321,898	Nestle SA, (Registered)		137,103,530
		Total Food, Beverage & Tobacco		680,746,538
		Health Care Equipment & Services — 14.3%
	2,281,398	Abbott Laboratories		270,665,058
	324,870	Cigna Group		109,201,802
	453,688	Elevance Health, Inc.		227,411,110
	574,963	Intuitive Surgical, Inc.*		221,705,733
	853,909	Quest Diagnostics, Inc.		106,644,695
	856,952	UnitedHealth Group, Inc.		422,991,507
		Total Health Care Equipment & Services		1,358,619,905
		Household & Personal Products — 2.7%
	13,372,562	Haleon PLC		56,100,970

Shares		Description	Value ($)
		Household & Personal Products — continued
	4,094,142	Unilever PLC		199,934,313
		Total Household & Personal Products		256,035,283
		Media & Entertainment — 7.7%
	2,483,473	Alphabet, Inc. – Class A*		343,861,672
	788,878	Meta Platforms, Inc. – Class A		386,652,774
		Total Media & Entertainment		730,514,446
		Pharmaceuticals, Biotechnology & Life Sciences — 9.8%
	346,638	Eli Lilly & Co.		261,254,128
	1,891,060	Johnson & Johnson		305,179,263
	1,872,600	Merck & Co., Inc.		238,101,090
	489,924	Roche Holding AG – Genusschein		128,096,037
		Total Pharmaceuticals, Biotechnology &  Life Sciences		932,630,518
		Semiconductors & Semiconductor Equipment — 10.4%
	269,100	KLA Corp.		183,606,930
	299,112	Lam Research Corp.		280,641,834
	11,930,790	Taiwan Semiconductor Manufacturing Co.  Ltd.		261,457,480
	1,587,001	Texas Instruments, Inc.		265,552,877
		Total Semiconductors & Semiconductor  Equipment		991,259,121
		Software & Services — 18.1%
	775,480	Accenture PLC – Class A		290,634,394
	1,502,991	Microsoft Corp.		621,697,197
	2,252,464	Oracle Corp.		251,555,179
	827,091	Salesforce, Inc.*		255,422,243
	1,610,616	SAP SE		301,818,614
		Total Software & Services		1,721,127,627
		Technology Hardware & Equipment — 3.1%
	1,621,962	Apple, Inc.		293,169,631
		TOTAL COMMON STOCKS (COST $4,763,674,020)		9,221,306,996
		MUTUAL FUNDS — 2.9%
		Affiliated Issuers — 2.9%
	55,733,810	GMO U.S. Treasury Fund		278,669,053
		TOTAL MUTUAL FUNDS (COST $278,619,235)		278,669,053

  See accompanying notes to the financial statements. 54

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	4,467,729	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (a)		4,467,729
		TOTAL SHORT-TERM INVESTMENTS (COST $4,467,729)		4,467,729
		TOTAL INVESTMENTS — 99.8% (Cost $5,046,760,984)		9,504,443,778
		Other Assets and Liabilities (net) — 0.2%		16,935,358
		TOTAL NET ASSETS — 100.0%		$9,521,379,136

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

55 See accompanying notes to the financial statements.  

This page has been left blank intentionally.

GMO Resource Transition Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO Resource Transition Fund returned -25.58% (net) for the fiscal year ended February 29, 2024, as compared with the -7.28% for the MSCI ACWI Commodity Producers ex-Energy.

The Fund’s industrial metals portfolio, the largest segment by weight, fell in absolute terms and also underperformed the benchmark. Within the metals portfolio, larger than the benchmark positions in lithium and platinum group metals detracted from returns while stock selection in the copper portfolio added. Ivanhoe was the strongest relative contributor.

The Fund’s energy portfolio, which is primarily an off-benchmark position in clean energy, detracted as the clean energy sector went through a significant correction. SolarEdge and Sunrun, two solar companies, were the biggest detractors.

The Fund’s agriculture and water portfolio delivered diversifying stronger performance and added the most relative return.

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

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

57

GMO Resource Transition Fund

(A Series of GMO Trust)

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

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

As of February 29, 2024

	Average Annual Total Returns
	1 Year	Since Inception
Class VI	-25.58%	2/15/23  -28.48%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited.

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

For Class VI the gross expense ratio of 1.59% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Class listed above, the net expense ratio of 0.86% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

58

GMO Resource Transition Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		89.0	%
Preferred Stocks		9.3
Mutual Funds		1.7
Short-Term Investments		0.1
Other		(0.1	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		37.0	%
Canada		13.7
Brazil		10.7
United Kingdom		8.5
South Africa		3.6
Chile		3.5
France		3.5
Mexico		3.3
Jersey		3.2
Sweden		3.1
China		2.1
Australia		1.7
Denmark		1.6
Other Developed		1.3	‡
Japan		1.2
Finland		1.2
Other Emerging		0.8	†
		100.0	%

Industry Group Summary	% of Equity Investments#
Industrial Metals		49.5	%
Energy		37.7
Agriculture		8.6
Water		4.2
		100.0	%

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

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

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

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

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

59

GMO Resource Transition Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 89.0%
		Argentina — 0.8%
	94,220	Adecoagro SA		945,969
		Australia — 1.7%
	64,495	BHP Group Ltd.		1,848,833
	578,245	Sunrise Energy Metals Ltd. *		137,467
		Total Australia		1,986,300
		Brazil — 5.0%
	238,000	Sao Martinho SA		1,354,911
	77,960	SLC Agricola SA		308,321
	73,000	Suzano SA		827,493
	253,200	Vale SA		3,412,096
		Total Brazil		5,902,821
		Canada — 13.7%
	273,200	Anaergia, Inc. *		57,372
	90,900	Canadian Solar, Inc. *		1,917,081
	163,300	First Quantum Minerals Ltd.		1,546,185
	520,000	Greenlane Renewables, Inc. *		47,894
	800,800	Ivanhoe Mines Ltd. – Class A*		8,514,567
	531,300	Largo, Inc. *		955,216
	171,500	Li-Cycle Holdings Corp. *		61,740
	155,400	NexGen Energy Ltd. *		1,095,810
	26,800	Teck Resources Ltd. – Class B (a)		1,029,656
	26,900	Teck Resources Ltd. – Class B (a)		1,033,662
		Total Canada		16,259,183
		China — 2.1%
	305,700	Henan Shenhuo Coal & Power Co. Ltd. –
		Class A		781,685
	707,269	Western Mining Co. Ltd. – Class A		1,633,539
		Total China		2,415,224
		Denmark — 1.6%
	69,422	Vestas Wind Systems AS *		1,934,654
		Finland — 1.2%
	14,253	Kemira OYJ		256,778
	41,781	Neste OYJ		1,145,305
		Total Finland		1,402,083
		France — 3.5%
	13,554	Eramet SA		916,750
	24,371	Technip Energies NV		530,002
	87,155	Veolia Environnement SA		2,701,658
		Total France		4,148,410
		Italy — 0.5%
	33,916	Tenaris SA		602,398

Shares		Description	Value ($)
		Japan — 1.2%
	12,500	Ebara Corp.		1,056,401
	4,600	Kurita Water Industries Ltd.		187,474
	3,900	Organo Corp.		200,446
		Total Japan		1,444,321
		Jersey — 3.2%
	681,174	Arcadium Lithium PLC *		3,739,645
		Mexico — 3.3%
	809,200	Grupo Mexico SAB de CV – Series B		3,945,765
		Norway — 0.8%
	109,225	Austevoll Seafood ASA		829,031
	15,580	TGS ASA		153,457
		Total Norway		982,488
		South Africa — 3.6%
	83,907	African Rainbow Minerals Ltd.		738,104
	699,447	Impala Platinum Holdings Ltd.		2,373,627
	1,109,977	Sibanye Stillwater Ltd.		1,144,043
		Total South Africa		4,255,774
		Sweden — 3.1%
	141,917	Boliden AB		3,596,801
		United Kingdom — 8.5%
	1,727,321	Glencore PLC		8,211,903
	28,976	Rio Tinto PLC		1,858,820
		Total United Kingdom		10,070,723
		United States — 35.2%
	1,200	Advanced Drainage Systems, Inc.		195,888
	67,919	Aemetis, Inc. *		246,546
	11,500	AGCO Corp.		1,261,550
	162,890	Ameresco, Inc. – Class A*		3,414,174
	133,900	Array Technologies, Inc. *		1,826,396
	399,020	Clean Energy Fuels Corp. *		1,177,109
	44,000	Corteva, Inc.		2,354,880
	210,500	Darling Ingredients, Inc. *		8,906,255
	1,700	Deere & Co.		620,585
	12,800	Enphase Energy, Inc. *		1,625,728
	13,100	First Solar, Inc. *		2,015,959
	75,200	Freeport-McMoRan, Inc.		2,843,312
	484,566	GrafTech International Ltd.		852,836
	174,900	Green Plains, Inc. *		3,725,370
	17,800	Liberty Energy, Inc.		380,564
	32,100	PotlatchDeltic Corp. – (REIT)		1,451,241
	29,400	ProPetro Holding Corp. *		217,560
	64,900	SolarEdge Technologies, Inc. *		4,359,333
	325,646	Sunrun, Inc. *		3,920,778
	700	Valmont Industries, Inc.		148,351

  See accompanying notes to the financial statements. 60

GMO Resource Transition Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		United States — continued
	2,100	Veralto Corp.		181,482
		Total United States		41,725,897
		TOTAL COMMON STOCKS (COST $161,317,370)		105,358,456
		PREFERRED STOCKS (b) — 9.3%
		Brazil — 5.7%
	1,589,765	Bradespar SA		6,779,790
		Chile — 3.6%
	84,100	Sociedad Quimica y Minera de Chile SA  Sponsored ADR		4,181,452
		TOTAL PREFERRED STOCKS (COST $16,416,747)		10,961,242
		MUTUAL FUNDS — 1.7%
		United States — 1.7%
		Affiliated Issuers — 1.7%
	409,902	GMO U.S. Treasury Fund		2,049,511
		Total United States		2,049,511
		TOTAL MUTUAL FUNDS (COST $2,049,511)		2,049,511
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	132,146	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (c)		132,146
		TOTAL SHORT-TERM INVESTMENTS (COST $132,146)		132,146
		TOTAL INVESTMENTS — 100.1% (Cost $179,915,774)		118,501,355
		Other Assets and Liabilities (net) — (0.1)%		(84,853	)
		TOTAL NET ASSETS — 100.0%	$	118,416,502

Notes to Schedule of Investments:

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

61 See accompanying notes to the financial statements.  

This page has been left blank intentionally.

GMO Resources Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Resources Fund returned -12.67% (net) for the fiscal year ended February 29, 2024, as compared with +0.91% for the MSCI ACWI Commodity Producers Index.

The Fund’s energy portfolio delivered negative absolute returns and the underweight to fossil fuel producers and off-benchmark position in clean energy also led to underperformance versus the benchmark, particularly as the clean energy sector went through a significant correction. SolarEdge and Sunrun, two solar companies, were the two biggest relative detractors. Balancing this, stock selection within the fossil fuel portfolio was strong, with Petrobras and Galp the two biggest contributors to relative performance.

The Fund’s agriculture and water portfolio delivered diversifying stronger performance and added the most relative return.

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

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

63

GMO Resources Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

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

As of February 29, 2024

	Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception
Class III	-12.67%	7.37%	5.96%	n/a
Class IV	-12.64%	7.43%	6.00%	n/a
Class VI	-12.57%	n/a	n/a	2/8/22 -8.23%
Class R6	-12.67%	n/a	n/a	1/22/21  -0.38%
Class I	-12.73%	n/a	n/a	1/22/21 -0.47%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, IV, VI, R6 and I the gross expense ratio of 0.72%, 0.67%, 0.62%, 0.72% and 0.85%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.72%, 0.67%, 0.62%, 0.72% and 0.82% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

64

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		87.9	%
Preferred Stocks		9.0
Mutual Funds		2.8
Short-Term Investments		0.0	^
Other		0.3
		100.0	%

Country/Region Summary¤	% of Investments
United States		35.1	%
United Kingdom		13.1
Canada		10.4
Brazil		10.4
Portugal		3.6
Norway		2.6
Italy		2.2
South Africa		2.1
France		2.1
Spain		2.1
Chile		2.0
Mexico		1.9
Jersey		1.8
Sweden		1.8
Australia		1.7
Other Developed		1.7	‡
Austria		1.3
China		1.2
Argentina		1.0
Denmark		1.0
Other Emerging		0.9	†
		100.0	%

Industry Group Summary	% of Equity Investments#
Energy		61.0	%
Industrial Metals		31.2
Agriculture		4.0
Water		2.7
Timber		1.1
		100.0	%

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

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

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

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

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

^ Rounds to 0.0%.

65

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 87.9%
		Argentina — 1.0%
	951,869	Adecoagro SA		9,556,765
	615,400	YPF SA Sponsored ADR *		10,646,420
		Total Argentina		20,203,185
		Australia — 1.7%
	7,220,969	Beach Energy Ltd. (a)		7,517,869
	630,528	BHP Group Ltd.		18,074,911
	735,000	Clean TeQ Water Ltd. *		186,656
	1,632,228	Santos Ltd.		7,515,650
	1,938,657	Sunrise Energy Metals Ltd. *		460,879
		Total Australia		33,755,965
		Austria — 1.3%
	600,080	OMV AG		26,443,089
		Brazil — 3.4%
	1,229,400	Enauta Participacoes SA		6,301,445
	356,500	PRIO SA		3,134,641
	2,330,928	Sao Martinho SA		13,269,752
	734,682	SLC Agricola SA		2,905,564
	715,000	Suzano SA		8,104,896
	2,566,468	Vale SA		34,585,442
		Total Brazil		68,301,740
		Canada — 10.4%
	654,900	Anaergia, Inc. *		137,528
	804,600	ARC Resources Ltd. (a)		13,712,853
	383,400	Birchcliff Energy Ltd. (a)		1,525,521
	961,640	Canadian Solar, Inc. * (a)		20,280,988
	1,342,500	Crescent Point Energy Corp.		9,800,250
	413,300	Enerplus Corp.		7,327,809
	1,603,300	First Quantum Minerals Ltd.		15,180,640
	1,246,100	Greenlane Renewables, Inc. * (a)		114,772
	7,842,900	Ivanhoe Mines Ltd. – Class A* (a)		83,390,227
	1,273,509	Largo, Inc. *		2,289,623
	1,740,100	Li-Cycle Holdings Corp. * (a)		626,436
	409,165	Logan Energy Corp. *		250,235
	1,485,400	NexGen Energy Ltd. * (a)		10,474,360
	263,200	Teck Resources Ltd. – Class B (b)		10,112,144
	263,400	Teck Resources Ltd. – Class B (a) (b)		10,121,438
	1,167,100	Vermilion Energy, Inc. (a)		12,943,139
	1,379,000	Whitecap Resources, Inc. (a)		9,571,661
		Total Canada		207,859,624
		China — 1.2%
	3,112,700	Henan Shenhuo Coal & Power Co. Ltd. – Class A		7,959,280
	6,914,445	Western Mining Co. Ltd. – Class A		15,969,896
		Total China		23,929,176

Shares		Description	Value ($)
		Denmark — 1.0%
	714,064	Vestas Wind Systems AS *		19,899,552
		Finland — 0.7%
	147,303	Kemira OYJ		2,653,767
	437,116	Neste OYJ		11,982,265
		Total Finland		14,636,032
		France — 2.1%
	133,066	Eramet SA (a)		9,000,166
	263,999	Technip Energies NV		5,741,246
	845,154	Veolia Environnement SA		26,198,351
		Total France		40,939,763
		Hong Kong — 0.2%
	69,044,000	United Energy Group Ltd. (a)		4,224,219
		Hungary — 0.7%
	1,714,212	MOL Hungarian Oil & Gas PLC		13,634,416
		Italy — 2.2%
	2,426,636	Eni SpA		37,366,385
	343,942	Tenaris SA		6,108,917
		Total Italy		43,475,302
		Japan — 0.8%
	139,300	Ebara Corp.		11,772,533
	53,100	Kurita Water Industries Ltd.		2,164,097
	45,400	Organo Corp.		2,333,400
		Total Japan		16,270,030
		Jersey — 1.8%
	6,604,821	Arcadium Lithium PLC * (a)		36,260,467
		Mexico — 1.9%
	7,924,940	Grupo Mexico SAB de CV – Series B		38,643,048
		Norway — 2.6%
	319,367	Aker BP ASA		7,752,204
	1,069,161	Austevoll Seafood ASA		8,115,063
	1,394,707	Equinor ASA		34,363,867
	157,732	TGS ASA		1,553,596
		Total Norway		51,784,730
		Portugal — 3.5%
	4,494,529	Galp Energia SGPS SA		70,724,444
		Russia — 0.1%
	3,574,704	Gazprom Neft PJSC (c)		313,226
	14,145,410	Gazprom PJSC * (c)		249,825
	248,399	LUKOIL PJSC (c)		200,810
	232,917	MMC Norilsk Nickel PJSC (c)		371,954
	9	MMC Norilsk Nickel PJSC ADR * (c)		1
	338,098	PhosAgro PJSC (c)		248,973

  See accompanying notes to the financial statements. 66

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Russia — continued
	6,533	PhosAgro PJSC GDR * (c) (d)		1,611
	2	PhosAgro PJSC GDR (Registered) * (c)		—
	601,778	Ros Agro PLC GDR (Registered) * (c)		51,925
	3,476,399	Tatneft PJSC (c)		273,933
		Total Russia		1,712,258
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd. * (a) (c)		—
		South Africa — 2.1%
	797,962	African Rainbow Minerals Ltd.		7,019,429
	7,032,200	Impala Platinum Holdings Ltd.		23,864,312
	11,414,513	Sibanye Stillwater Ltd.		11,764,830
		Total South Africa		42,648,571
		Spain — 2.1%
	2,576,339	Repsol SA		40,925,297
		Sweden — 1.8%
	1,387,392	Boliden AB		35,162,612
		Ukraine — 0.1%
	501,341	Kernel Holding SA *		1,631,989
		United Kingdom — 13.0%
	12,950,579	BP PLC		75,243,681
	17,479,086	Glencore PLC		83,097,791
	4,192,985	Harbour Energy PLC		13,394,740
	1,221,000	Lifezone Holdings Ltd. *		6,202,680
	283,225	Rio Tinto PLC		18,168,980
	2,060,849	Shell PLC		63,741,670
		Total United Kingdom		259,849,542
		United States — 32.2%
	14,300	Advanced Drainage Systems, Inc.		2,334,332
	687,620	Aemetis, Inc. * (a)		2,496,061
	112,600	AGCO Corp.		12,352,220
	1,080,185	Ameresco, Inc. – Class A*		22,640,678
	1,393,300	Array Technologies, Inc. *		19,004,612
	578,300	California Resources Corp.		30,169,911
	3,917,513	Clean Energy Fuels Corp. *		11,556,663
	570,400	ConocoPhillips		64,192,816
	430,800	Corteva, Inc.		23,056,416
	2,101,300	Darling Ingredients, Inc. *		88,906,003
	16,800	Deere & Co.		6,132,840
	125,100	Enphase Energy, Inc. *		15,888,951
	135,700	First Solar, Inc. *		20,882,873
	728,682	Freeport-McMoRan, Inc.		27,551,466
	4,836,257	GrafTech International Ltd.		8,511,812
	1,744,893	Green Plains, Inc. *		37,166,221
	63,300	Gulfport Energy Corp. *		8,987,967
	18,629,055	Kosmos Energy Ltd. *		114,382,419
	207,400	Liberty Energy, Inc.		4,434,212

Shares		Description	Value ($)
		United States — continued
	313,200	Marathon Oil Corp.		7,595,100
	117,100	Northern Oil & Gas, Inc.		4,183,983
	314,900	PotlatchDeltic Corp. – (REIT)		14,236,629
	342,400	ProPetro Holding Corp. *		2,533,760
	647,924	SolarEdge Technologies, Inc. *		43,521,055
	3,223,917	Sunrun, Inc. * (a)		38,815,961
	401,100	Talos Energy, Inc. *		5,290,509
	8,400	Valmont Industries, Inc.		1,780,212
	24,300	Veralto Corp.		2,100,006
	99,300	Vitesse Energy, Inc.		2,257,089
		Total United States		642,962,777
		TOTAL COMMON STOCKS (COST $2,010,803,885)		1,755,877,828
		PREFERRED STOCKS (e) —9.0%
		Brazil — 6.9%
	15,570,126	Bradespar SA		66,401,133
	8,837,581	Petroleo Brasileiro SA		71,360,564
		Total Brazil		137,761,697
		Chile — 2.0%
	815,595	Sociedad Quimica y Minera de Chile SA Sponsored ADR		40,551,384
		Russia — 0.1%
	20,237,584	Surgutneftegas PJSC (c)		137,649
	7,494,797	Tatneft PJSC (c)		584,512
		Total Russia		722,161
		TOTAL PREFERRED STOCKS (COST $217,529,135)		179,035,242
		MUTUAL FUNDS — 2.8%
		United States — 2.8%
		Affiliated Issuers — 2.8%
	11,246,358	GMO U.S. Treasury Fund		56,231,789
		Total United States		56,231,789
		TOTAL MUTUAL FUNDS (COST $56,225,907)		56,231,789

67 See accompanying notes to the financial statements.  

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	818,410	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (f)		818,410
		TOTAL SHORT-TERM INVESTMENTS (COST $818,410)		818,410
		TOTAL INVESTMENTS — 99.7% (Cost $2,285,377,337)		1,991,963,269
		Other Assets and Liabilities (net) — 0.3%		5,295,565
		TOTAL NET ASSETS — 100.0%	$	1,997,258,834

 

Additional information on each restricted security is as follows:

					Value as a
					Percentage			Value as of
Issuer	Acquisition		Acquisition		of Fund’s			February 29,
Description	Date		Cost		Net Assets			2024
PhosAgro PJSC GDR		08/26/16	$	93,496		0.0	%	$	1,611

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

(d) The security is restricted as to resale.

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

(f) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

  See accompanying notes to the financial statements. 68

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO Small Cap Quality Fund returned +25.06% (net) for the fiscal year ended February 29, 2024, as compared with +6.50% for the S&P 600 Index.

Relative to the S&P 600, sector allocation added value during the period. The Industrials (overweight) and Financials (underweight) allocations helped returns while Information Technology reduced returns. Security selection within sector added value. Selection within Industrials, Financials, Health Care, Materials, Information Technology, and Communications Services added value, while selection within Consumer Discretionary detracted from returns. Stock selection within sector had a larger impact than sector allocation.

TopBuild, SAIA, and Medpace made the largest positive impact while Fox Factory, Malibu Boats, and Power Integrations detracted.

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

69

GMO Small Cap Quality Fund

(A Series of GMO Trust)

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

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

As of February 29, 2024

		Average Annual Total Returns
	1 Year	Since Inception
Class III	24.95%	11/15/22	23.04%
Class VI	25.06%	9/20/22	32.57%
Class I	24.93%	11/15/22	22.97%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, VI and I the gross expense ratio of 1.60%, 1.05% and 1.36%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.75%, 0.66% and 0.75% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

70

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.1	%
Mutual Funds		3.7
Short-Term Investments		0.9
Other		(1.7	)
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		20.1	%
Financial Services		10.9
Semiconductors & Semiconductor Equipment		8.9
Consumer Durables & Apparel		8.5
Technology Hardware & Equipment		6.6
Food, Beverage & Tobacco		6.2
Transportation		5.7
Materials		5.5
Pharmaceuticals, Biotechnology & Life Sciences		5.1
Health Care Equipment & Services		5.0
Commercial & Professional Services		4.2
Automobiles & Components		4.0
Consumer Discretionary Distribution & Retail		3.6
Media & Entertainment		3.1
Consumer Staples Distribution & Retail		1.5
Software & Services		1.1
		100.0	%

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

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

71

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 97.1%
		Automobiles & Components — 3.9%
	188,513	Gentex Corp.		6,886,380
	18,560	XPEL, Inc.*		975,885
		Total Automobiles & Components		7,862,265
		Capital Goods — 19.5%
	85,438	AAON, Inc.		7,175,083
	27,281	Allegion PLC		3,488,421
	18,771	Atkore, Inc.		3,179,807
	17,761	Curtiss-Wright Corp.		4,196,391
	18,213	Kadant, Inc.		6,143,245
	27,532	RBC Bearings, Inc.*		7,511,556
	44,622	Trex Co., Inc.*		4,094,515
	28,246	Woodward, Inc.		3,996,527
		Total Capital Goods		39,785,545
		Commercial & Professional Services — 4.1%
	50,300	ASGN, Inc.*		4,995,796
	16,482	FTI Consulting, Inc.*		3,409,796
		Total Commercial & Professional Services		8,405,592
		Consumer Discretionary Distribution & Retail — 3.5%
	88,782	Ollie’s Bargain Outlet Holdings, Inc.*		7,117,653
		Consumer Durables & Apparel — 8.3%
	109,522	Acushnet Holdings Corp.		7,055,407
	80,444	Malibu Boats, Inc. – Class A*		3,510,576
	15,755	TopBuild Corp.*		6,339,497
		Total Consumer Durables & Apparel		16,905,480
		Consumer Staples Distribution & Retail — 1.4%
	34,151	PriceSmart, Inc.		2,873,465
		Financial Services — 10.6%
	44,078	Cohen & Steers, Inc.		3,241,937
	123,202	Essent Group Ltd.		6,599,931
	49,836	Houlihan Lokey, Inc.		6,411,900
	152,853	StepStone Group, Inc. – Class A		5,308,585
		Total Financial Services		21,562,353
		Food, Beverage & Tobacco — 6.0%
	29,592	J & J Snack Foods Corp.		4,293,207
	4,583	John B Sanfilippo & Son, Inc.		469,162
	35,998	Lancaster Colony Corp.		7,448,706
		Total Food, Beverage & Tobacco		12,211,075
		Health Care Equipment & Services — 4.8%
	127,063	Globus Medical, Inc. – Class A*		6,860,131
	172,194	Neogen Corp.*		2,960,015
		Total Health Care Equipment & Services		9,820,146

Shares		Description	Value ($)
		Materials — 5.4%
	42,464	AptarGroup, Inc.		5,964,493
	31,682	Balchem Corp.		4,980,094
		Total Materials		10,944,587
		Media & Entertainment — 3.0%
	140,434	New York Times Co. – Class A		6,218,418
		Pharmaceuticals, Biotechnology & Life Sciences — 5.0%
	69,213	Bruker Corp.		5,989,693
	10,506	Medpace Holdings, Inc.*		4,176,345
		Total Pharmaceuticals, Biotechnology & Life Sciences		10,166,038
		Semiconductors & Semiconductor Equipment — 8.6%
	48,275	Axcelis Technologies, Inc.*		5,439,144
	57,712	Cirrus Logic, Inc.*		5,299,116
	67,122	Power Integrations, Inc.		4,796,538
	11,796	Universal Display Corp.		2,057,459
		Total Semiconductors & Semiconductor Equipment		17,592,257
		Software & Services — 1.1%
	28,105	Dolby Laboratories, Inc. – Class A		2,276,505
		Technology Hardware & Equipment — 6.4%
	126,063	Ciena Corp.*		7,183,070
	27,408	Fabrinet*		5,908,342
		Total Technology Hardware & Equipment		13,091,412
		Transportation — 5.5%
	28,614	ArcBest Corp.		4,087,796
	37,636	Landstar System, Inc.		7,158,367
		Total Transportation		11,246,163
		TOTAL COMMON STOCKS (COST $174,558,824)		198,078,954
		MUTUAL FUNDS — 3.7%
		Affiliated Issuers — 3.7%
	1,478,488	GMO U.S. Treasury Fund		7,392,442
		TOTAL MUTUAL FUNDS (COST $7,392,442)		7,392,442

  See accompanying notes to the financial statements. 72

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares	Description	Value ($)
	SHORT-TERM INVESTMENTS — 0.9%
	Money Market Funds — 0.9%
1,890,036	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (a)		1,890,036
	TOTAL SHORT-TERM INVESTMENTS (COST $1,890,036)		1,890,036
	TOTAL INVESTMENTS — 101.7% (Cost $183,841,302)		207,361,432
	Other Assets and Liabilities (net) — (1.7)%		(3,406,270	)
	TOTAL NET ASSETS — 100.0%	$	203,955,162

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

73 See accompanying notes to the financial statements.  

This page has been left blank intentionally.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO U.S. Equity Fund returned +24.56% (net) for the fiscal year ended February 29, 2024, as compared with +28.75% for the S&P Composite 1500 Index.

Stock selection drove underperformance for the period with notable challenges in Information Technology and Health Care. Top detractors included underweight positioning toward Nvidia and Microsoft in Information Technology. Favoring Bristol-Myers Squibb over Eli Lilly also negatively impacted performance in Health Care.

Top contributors included stock selection in Industrials and Communication Services. Sector allocation also added value, including underweight positioning in Utilities and Real Estate.

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

75

GMO U.S. Equity Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

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

As of February 29, 2024

	Average Annual Total Returns
	1 Year	5 Year	10 Year
Class III	24.56%	14.23%	11.36%
Class VI	24.59%	14.32%	11.47%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III and VI the gross expense ratio of 0.52% and 0.43%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding Net Expense Ratio of 0.48% and 0.39% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

76

GMO U.S. Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.9	%
Mutual Funds		1.5
Debt Obligations		0.3
Short-Term Investments		0.2
Futures Contracts		0.0^
Other		0.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Software & Services		12.4	%
Financial Services		11.1
Semiconductors & Semiconductor Equipment		11.0
Media & Entertainment		9.2
Technology Hardware & Equipment		8.7
Consumer Discretionary Distribution & Retail		8.1
Capital Goods		5.9
Pharmaceuticals, Biotechnology & Life Sciences		5.7
Consumer Durables & Apparel		5.4
Energy		4.8
Banks		3.5
Insurance		2.9
Commercial & Professional Services		2.9
Consumer Staples Distribution & Retail		1.9
Health Care Equipment & Services		1.7
Consumer Services		1.7
Materials		1.6
Automobiles & Components		0.9
Telecommunication Services		0.5
Food, Beverage & Tobacco		0.1
		100.0	%

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

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

^ Rounds to 0.0%.

  

77

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 97.9%
		Automobiles & Components — 0.9%
	4,003	BorgWarner, Inc.		124,614
	47,902	Ford Motor Co.		595,901
	11,133	General Motors Co.		456,230
		Total Automobiles & Components		1,176,745
		Banks — 3.4%
	1,800	1st Source Corp.		89,604
	4,433	Bank of America Corp.		153,027
	1,900	Capital City Bank Group, Inc.		53,865
	21,649	Citigroup, Inc.		1,201,303
	2,000	Community Trust Bancorp, Inc.		79,520
	5,400	Farmers National Banc Corp.		72,792
	1,500	First Financial Corp.		55,845
	5,515	Hanmi Financial Corp.		83,332
	4,100	Independent Bank Corp.		100,245
	14,490	JPMorgan Chase & Co.		2,696,009
		Total Banks		4,585,542
		Capital Goods — 5.8%
	2,955	3M Co.		272,215
	8,524	Builders FirstSource, Inc.*		1,663,714
	1,714	Core & Main, Inc. – Class A*		81,809
	5,021	Cummins, Inc.		1,348,691
	4,624	Ferguson PLC		977,745
	4,897	Trane Technologies PLC		1,380,807
	342	UFP Industries, Inc.		39,203
	2,135	WW Grainger, Inc.		2,078,337
		Total Capital Goods		7,842,521
		Commercial & Professional Services — 2.8%
	52,694	ACCO Brands Corp.		294,032
	2,589	ASGN, Inc.*		257,139
	600	Barrett Business Services, Inc.		73,194
	763	Booz Allen Hamilton Holding Corp.		112,703
	287	Brady Corp. – Class A		16,726
	347	CACI International, Inc. – Class A*		130,073
	1,470	Cimpress PLC*		144,075
	4,603	CSG Systems International, Inc.		251,140
	9,600	Deluxe Corp.		186,336
	2,700	Heidrick & Struggles International, Inc.		91,800
	1,967	HNI Corp.		88,141
	3,227	ICF International, Inc.		499,701
	3,928	Leidos Holdings, Inc.		502,234
	1,449	ManpowerGroup, Inc.		104,560
	12,800	Resources Connection, Inc.		177,024
	2,312	Robert Half, Inc.		185,885
	5,013	Steelcase, Inc. – Class A		68,879
	3,900	TriNet Group, Inc.*		499,239
	3,000	TrueBlue, Inc.*		35,250
	4,852	Upwork, Inc.*		63,561
		Total Commercial & Professional Services		3,781,692

Shares	Description	Value ($)
	Consumer Discretionary Distribution & Retail — 7.9%
4,900	1-800-Flowers.com, Inc. – Class A*		51,058
3,182	Academy Sports & Outdoors, Inc.		237,759
36,411	Amazon.com, Inc.*		6,436,008
8,962	Best Buy Co., Inc.		724,847
30,101	eBay, Inc.		1,423,175
5,728	Gap, Inc.		108,488
3,532	Group 1 Automotive, Inc.		955,936
6,539	Haverty Furniture Cos., Inc.		224,288
1,284	Ross Stores, Inc.		191,265
4,703	Shoe Carnival, Inc.		154,117
892	Signet Jewelers Ltd.		90,770
3,385	Urban Outfitters, Inc.*		140,647
	Total Consumer Discretionary Distribution & Retail		10,738,358
	Consumer Durables & Apparel — 5.3%
662	Deckers Outdoor Corp.*		592,880
4,134	DR Horton, Inc.		617,785
6,083	Ethan Allen Interiors, Inc.		203,355
18,776	Garmin Ltd.		2,578,884
965	Johnson Outdoors, Inc. – Class A		44,351
5,961	La-Z-Boy, Inc.		226,458
3,458	Lennar Corp. – Class A		548,128
1,407	M/I Homes, Inc.*		178,675
6,406	MasterCraft Boat Holdings, Inc.*		140,484
1,171	Meritage Homes Corp.		184,620
2,219	Movado Group, Inc.		63,707
748	PulteGroup, Inc.		81,068
12,989	Taylor Morrison Home Corp.*		735,307
25,553	Tri Pointe Homes, Inc.*		904,065
8,356	Vera Bradley, Inc.*		65,177
	Total Consumer Durables & Apparel		7,164,944
	Consumer Services — 1.7%
5,626	Adtalem Global Education, Inc.*		278,487
949	Graham Holdings Co. – Class B		666,511
1,220	Grand Canyon Education, Inc.*		164,456
6,222	H&R Block, Inc.		304,567
26,375	Perdoceo Education Corp.		469,739
6,792	Stride, Inc.*		405,822
	Total Consumer Services		2,289,582
	Consumer Staples Distribution & Retail — 1.8%
31,029	Kroger Co.		1,539,349
15,777	Walmart, Inc.		924,690
	Total Consumer Staples Distribution & Retail		2,464,039
	Energy — 4.7%
14,306	Chevron Corp.		2,174,655
1,273	EOG Resources, Inc.		145,708
5,356	Exxon Mobil Corp.		559,809

  See accompanying notes to the financial statements. 78

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares	Description	Value ($)
	Energy — continued
5,039	Kinder Morgan, Inc.		87,628
4,343	Marathon Petroleum Corp.		734,966
10,003	Phillips 66		1,425,528
8,433	Valero Energy Corp.		1,192,932
	Total Energy		6,321,226
	Financial Services — 10.8%
7,866	American Express Co.		1,725,958
12,442	Bank of New York Mellon Corp.		697,872
3,067	Berkshire Hathaway, Inc. – Class B*		1,255,630
6,937	Capital One Financial Corp.		954,601
2,760	Discover Financial Services		333,132
3,402	Donnelley Financial Solutions, Inc.*		219,633
10,647	Enova International, Inc.*		673,423
2,307	Essent Group Ltd.		123,586
4,832	Goldman Sachs Group, Inc.		1,879,890
2,308	Intercontinental Exchange, Inc.		319,473
4,682	Jackson Financial, Inc. – Class A		257,744
22,712	Janus Henderson Group PLC		707,706
2,605	LendingTree, Inc.*		103,080
60,798	MGIC Investment Corp.		1,209,272
1,275	Mr Cooper Group, Inc.*		90,882
12,206	Nasdaq, Inc.		685,977
4,060	NMI Holdings, Inc. – Class A*		122,125
2,089	PayPal Holdings, Inc.*		126,050
6,185	PROG Holdings, Inc.*		190,931
40,225	Radian Group, Inc.		1,172,156
2,162	Raymond James Financial, Inc.		260,132
5,330	State Street Corp.		392,981
7,244	Synchrony Financial		299,177
7,549	T Rowe Price Group, Inc.		855,679
	Total Financial Services		14,657,090
	Food, Beverage & Tobacco — 0.1%
2,831	Universal Corp.		135,916
	Health Care Equipment & Services — 1.7%
4,312	Cigna Group		1,449,436
2,286	Humana, Inc.		800,831
742	Medtronic PLC		61,853
	Total Health Care Equipment & Services		2,312,120
	Insurance — 2.8%
12,097	Arch Capital Group Ltd.*		1,059,576
367	Assurant, Inc.		66,592
2,604	Brown & Brown, Inc.		219,283
306	Chubb Ltd.		77,011
12,305	Fidelity National Financial, Inc.		622,387
13,403	Hartford Financial Services Group, Inc.		1,284,544
4,162	Stewart Information Services Corp.		262,123
1,071	Travelers Cos., Inc.		236,648
91	Unum Group		4,500
	Total Insurance		3,832,664

Shares	Description	Value ($)
	Materials — 1.6%
1,183	NewMarket Corp.		759,096
1,625	Nucor Corp.		312,487
4,393	PPG Industries, Inc.		622,049
2,200	Radius Recycling, Inc.		43,472
5,006	Ryerson Holding Corp.		158,089
3,629	Warrior Met Coal, Inc.		206,744
	Total Materials		2,101,937
	Media & Entertainment — 9.1%
23,034	Alphabet, Inc. – Class A*		3,189,288
26,550	Alphabet, Inc. – Class C*		3,711,159
2,758	Cargurus, Inc.*		61,062
4,423	Comcast Corp. – Class A		189,525
10,407	Meta Platforms, Inc. – Class A		5,100,783
	Total Media & Entertainment		12,251,817
	Pharmaceuticals, Biotechnology & Life Sciences — 5.6%
28,347	Bristol-Myers Squibb Co.		1,438,610
6,660	Johnson & Johnson		1,074,791
21,765	Merck & Co., Inc.		2,767,420
79,680	Pfizer, Inc.		2,116,301
146	Regeneron Pharmaceuticals, Inc.*		141,049
	Total Pharmaceuticals, Biotechnology & Life Sciences		7,538,171
	Semiconductors & Semiconductor Equipment — 10.8%
9,837	Applied Materials, Inc.		1,983,336
78,328	Intel Corp.		3,372,020
2,779	KLA Corp.		1,896,112
3,988	NVIDIA Corp.		3,154,987
2,663	NXP Semiconductors NV		665,031
19,223	QUALCOMM, Inc.		3,033,197
5,106	Skyworks Solutions, Inc.		535,721
	Total Semiconductors & Semiconductor Equipment		14,640,404
	Software & Services — 12.1%
3,030	Accenture PLC – Class A		1,135,583
4,443	Akamai Technologies, Inc.*		492,818
3,213	Amdocs Ltd.		293,026
32,153	Cognizant Technology Solutions Corp. – Class A		2,540,730
16,586	International Business Machines Corp.		3,068,908
15,957	Microsoft Corp.		6,600,453
9,348	Oracle Corp.		1,043,985
1,672	Synopsys, Inc.*		959,276
4,234	Zoom Video Communications, Inc. – Class A*		299,471
	Total Software & Services		16,434,250

79 See accompanying notes to the financial statements.  

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares / Par Value†	Description	Value ($)
	Technology Hardware & Equipment — 8.5%
38,993	Apple, Inc.		7,047,985
24,127	Cisco Systems, Inc.		1,167,023
10,192	Dell Technologies, Inc. – Class C		964,774
64,656	Hewlett Packard Enterprise Co.		984,711
46,334	HP, Inc.		1,312,642
906	NetApp, Inc.		80,743
	Total Technology Hardware & Equipment		11,557,878
	Telecommunication Services — 0.5%
17,520	Verizon Communications, Inc.		701,150
	TOTAL COMMON STOCKS (COST $112,666,034)		132,528,046
	DEBT OBLIGATIONS — 0.3%
	U.S. Government — 0.3%
350,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a)		350,405
	TOTAL DEBT OBLIGATIONS (COST $350,025)		350,405

Shares	Description	Value ($)
	MUTUAL FUNDS — 1.5%
	Affiliated Issuers — 1.5%
398,872	GMO U.S. Treasury Fund		1,994,361
	TOTAL MUTUAL FUNDS (COST $1,994,361)		1,994,361
	SHORT-TERM INVESTMENTS — 0.2%
	Money Market Funds — 0.2%
277,687	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (b)		277,687
	TOTAL SHORT-TERM INVESTMENTS (COST $277,687)		277,687
	TOTAL INVESTMENTS — 99.9% (Cost $115,288,107)		135,150,499
	Other Assets and Liabilities (net) — 0.1%		175,881
	TOTAL NET ASSETS — 100.0%	$	135,326,380

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
3	S&P 500 E-Mini	March 2024	$	765,563	$	15,957

+ Buys—Fund is long the futures contract.

Sales—Fund is short the futures contract.

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(b) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

  See accompanying notes to the financial statements. 80

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO U.S. Opportunistic Value Fund returned +15.39% (net) for the fiscal year ended February 29, 2024, as compared with +28.75% for the S&P Composite 1500 Index.

Stock selection was the largest detractor for the period with notable challenges in Health Care, Information Technology, Consumer Discretionary, Consumer Staples, and Financials. Sector allocation also detracted, including underweight positioning toward Information Technology and overweight positioning toward Financials and Energy.

Positive contributors for the period included underweight positioning in Utilities and Real Estate, as well as overweight positioning toward Communication Services.

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

81

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

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

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

As of February 29, 2024

	Average Annual Total Returns
	1 Year	Since Inception
Class III	15.20%	2/15/23	10.04%
Class IV	15.26%	2/15/23	10.10%
Class VI	15.39%	12/13/22	13.55%
Class R6	n/a	8/28/23	12.85%
Class I	15.14%	2/15/23	9.99%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, IV, VI, R6, and I the gross expense ratio of 0.95%, 0.91%, 0.66%, 0.95%, and 1.04%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.48%, 0.43%, 0.39%, 0.48%, and 0.58% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

82

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.9	%
Mutual Funds		1.8
Short-Term Investments		0.0^
Other		0.3
		100.0	%

Industry Group Summary	% of Equity Investments#
Financial Services		13.5	%
Media & Entertainment		11.0
Pharmaceuticals, Biotechnology & Life Sciences		10.3
Energy		10.2
Banks		9.8
Health Care Equipment & Services		8.6
Technology Hardware & Equipment		4.8
Semiconductors & Semiconductor Equipment		4.3
Capital Goods		4.0
Software & Services		3.5
Consumer Discretionary Distribution & Retail		3.1
Materials		2.8
Automobiles & Components		2.8
Food, Beverage & Tobacco		2.7
Consumer Durables & Apparel		2.6
Telecommunication Services		2.2
Consumer Staples Distribution & Retail		1.5
Insurance		1.4
Consumer Services		0.6
Commercial & Professional Services		0.3
Transportation		0.0	^
		100.0	%

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

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

^ Rounds to 0.0%.

 

83

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 97.9%
		Automobiles & Components — 2.7%
	94,066	BorgWarner, Inc.		2,928,275
	416,762	Ford Motor Co.		5,184,519
	94,479	General Motors Co.		3,871,749
	5,492	Harley-Davidson, Inc.		199,195
	17,520	Lear Corp.		2,406,372
	1,400	Winnebago Industries, Inc.		100,422
		Total Automobiles & Components		14,690,532
		Banks — 9.6%
	486,811	Bank of America Corp.		16,804,716
	164,113	Citigroup, Inc.		9,106,630
	1,605	First Horizon Corp.		22,631
	118,138	JPMorgan Chase & Co.		21,980,756
	28,921	M&T Bank Corp.		4,041,421
		Total Banks		51,956,154
		Capital Goods — 3.9%
	56,372	3M Co.		5,192,989
	24,518	AGCO Corp.		2,689,625
	5,421	Allison Transmission Holdings, Inc.		408,364
	5,667	Atkore, Inc.		959,990
	5,291	Builders FirstSource, Inc.*		1,032,697
	19,187	Cummins, Inc.		5,153,820
	4,309	Encore Wire Corp.		1,038,469
	11,589	Owens Corning		1,735,800
	16,235	PACCAR, Inc.		1,800,299
	4,790	Timken Co.		402,312
	7,013	UFP Industries, Inc.		803,900
		Total Capital Goods		21,218,265
		Commercial & Professional Services — 0.3%
	2,156	HNI Corp.		96,610
	21,490	ManpowerGroup, Inc.		1,550,719
		Total Commercial & Professional Services		1,647,329
		Consumer Discretionary Distribution & Retail — 3.0%
	21,219	Academy Sports & Outdoors, Inc.		1,585,484
	10,731	Advance Auto Parts, Inc.		724,772
	5,910	AutoNation, Inc.*		885,318
	41,593	Best Buy Co., Inc.		3,364,042
	90,826	eBay, Inc.		4,294,253
	19,751	Foot Locker, Inc.		680,027
	4,049	Group 1 Automotive, Inc.		1,095,862
	35,793	Kohl’s Corp.		997,551
	109,331	Macy’s, Inc.		1,906,733
	5,399	Signet Jewelers Ltd.		549,402
	1,752	Williams-Sonoma, Inc.		412,648
		Total Consumer Discretionary Distribution & Retail		16,496,092

Shares		Description	Value ($)
		Consumer Durables & Apparel — 2.6%
	13,604	Brunswick Corp.		1,188,989
	8,423	Carter’s, Inc.		681,842
	11,821	Crocs, Inc.*		1,445,117
	7,717	Garmin Ltd.		1,059,930
	8,526	La-Z-Boy, Inc.		323,903
	2,986	Polaris, Inc.		276,832
	7,094	PulteGroup, Inc.		768,848
	12,792	PVH Corp.		1,748,283
	76,597	Tapestry, Inc.		3,640,655
	113,199	VF Corp.		1,849,672
	8,241	Whirlpool Corp.		885,001
		Total Consumer Durables & Apparel		13,869,072
		Consumer Services — 0.6%
	4,417	Adtalem Global Education, Inc.*		218,641
	490	Graham Holdings Co. – Class B		344,142
	50,140	H&R Block, Inc.		2,454,353
		Total Consumer Services		3,017,136
		Consumer Staples Distribution & Retail — 1.5%
	94,963	Kroger Co.		4,711,114
	158,038	Walgreens Boots Alliance, Inc.		3,359,888
		Total Consumer Staples Distribution & Retail		8,071,002
		Energy — 9.9%
	6,201	Chesapeake Energy Corp.		513,319
	107,811	Chevron Corp.		16,388,350
	47,363	EOG Resources, Inc.		5,421,169
	185,597	Exxon Mobil Corp.		19,398,598
	8,042	Kinder Morgan, Inc.		139,850
	26,353	Marathon Petroleum Corp.		4,459,718
	25,278	Ovintiv, Inc.		1,248,986
	6,837	Phillips 66		974,341
	37,510	Valero Energy Corp.		5,306,165
		Total Energy		53,850,496
		Financial Services — 13.2%
	11,117	Affiliated Managers Group, Inc.		1,737,698
	63,739	Ally Financial, Inc.		2,357,706
	44,916	American Express Co.		9,855,469
	93,020	Bank of New York Mellon Corp.		5,217,492
	41,732	Capital One Financial Corp.		5,742,741
	38,240	Discover Financial Services		4,615,568
	7,249	Federated Hermes, Inc.		255,382
	27,266	Franklin Resources, Inc.		748,452
	26,065	Goldman Sachs Group, Inc.		10,140,588
	147,018	Invesco Ltd.		2,265,547
	24,304	Jackson Financial, Inc. – Class A		1,337,935
	64,653	Janus Henderson Group PLC		2,014,587
	153,164	MGIC Investment Corp.		3,046,432
	3,277	OneMain Holdings, Inc.		154,773
	93,534	PayPal Holdings, Inc.*		5,643,842

  See accompanying notes to the financial statements. 84

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Financial Services — continued
	88,522	Radian Group, Inc.		2,579,531
	19,314	SLM Corp.		402,311
	53,376	State Street Corp.		3,935,412
	86,785	Synchrony Financial		3,584,220
	36,891	T Rowe Price Group, Inc.		4,181,595
	148,498	Western Union Co.		1,991,358
		Total Financial Services		71,808,639
		Food, Beverage & Tobacco — 2.6%
	78,637	Archer-Daniels-Midland Co.		4,176,411
	4,249	Bunge Global SA		400,978
	57,936	General Mills, Inc.		3,718,332
	119,728	Kraft Heinz Co.		4,224,004
	25,678	Tyson Foods, Inc. – Class A		1,392,775
	4,474	Universal Corp.		214,797
		Total Food, Beverage & Tobacco		14,127,297
		Health Care Equipment & Services — 8.4%
	64,560	Centene Corp.*		5,063,441
	25,920	Cigna Group		8,712,749
	107,632	CVS Health Corp.		8,004,592
	15,521	Elevance Health, Inc.		7,779,901
	36,907	GE HealthCare Technologies, Inc.		3,368,871
	3,936	Henry Schein, Inc.*		300,986
	11,990	Humana, Inc.		4,200,337
	67,156	Medtronic PLC		5,598,124
	31,928	Premier, Inc. – Class A		666,018
	4,190	UnitedHealth Group, Inc.		2,068,184
		Total Health Care Equipment & Services		45,763,203
		Insurance — 1.4%
	4,709	Fidelity National Financial, Inc.		238,181
	46,401	Hartford Financial Services Group, Inc.		4,447,072
	8,592	Stewart Information Services Corp.		541,124
	43,449	Unum Group		2,148,553
		Total Insurance		7,374,930
		Materials — 2.8%
	23,967	Commercial Metals Co.		1,294,218
	20,450	FMC Corp.		1,153,175
	17,416	Huntsman Corp.		445,850
	42,228	LyondellBasell Industries NV – Class A		4,234,624
	19,176	Nucor Corp.		3,687,545
	469	Reliance, Inc.		150,652
	30,171	Steel Dynamics, Inc.		4,037,483
		Total Materials		15,003,547
		Media & Entertainment — 10.8%
	139,965	Alphabet, Inc. – Class A*		19,379,554
	53,527	Alphabet, Inc. – Class C*		7,482,004
	301,084	Comcast Corp. – Class A		12,901,449

Shares		Description	Value ($)
		Media & Entertainment — continued
	38,212	Meta Platforms, Inc. – Class A		18,728,848
		Total Media & Entertainment		58,491,855
		Pharmaceuticals, Biotechnology & Life Sciences —10.0%
	172,942	Bristol-Myers Squibb Co.		8,776,806
	88,840	Johnson & Johnson		14,336,999
	76,326	Merck & Co., Inc.		9,704,851
	419,957	Pfizer, Inc.		11,154,058
	7,109	Regeneron Pharmaceuticals, Inc.*		6,867,934
	282,037	Viatris, Inc.		3,488,798
		Total Pharmaceuticals, Biotechnology & Life Sciences		54,329,446
		Semiconductors & Semiconductor Equipment — 4.2%
	2,597	Applied Materials, Inc.		523,607
	236,430	Intel Corp.		10,178,312
	73,409	QUALCOMM, Inc.		11,583,206
	2,264	Skyworks Solutions, Inc.		237,539
		Total Semiconductors & Semiconductor Equipment		22,522,664
		Software & Services — 3.5%
	50,963	Cognizant Technology Solutions Corp. – Class A		4,027,096
	66,604	International Business Machines Corp.		12,323,738
	21,311	Oracle Corp.		2,380,013
		Total Software & Services		18,730,847
		Technology Hardware & Equipment — 4.7%
	24,803	Arrow Electronics, Inc.*		2,914,353
	14,306	Avnet, Inc.		666,517
	272,754	Cisco Systems, Inc.		13,193,111
	5,147	Dell Technologies, Inc. – Class C		487,215
	239,414	Hewlett Packard Enterprise Co.		3,646,275
	158,104	HP, Inc.		4,479,086
		Total Technology Hardware & Equipment		25,386,557
		Telecommunication Services — 2.2%
	294,260	Verizon Communications, Inc.		11,776,285
		Transportation — 0.0%
	1,868	Matson, Inc.		207,441
		TOTAL COMMON STOCKS (COST $492,484,725)		530,338,789

85 See accompanying notes to the financial statements.  

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.8%
		Affiliated Issuers — 1.8%
	1,980,441	GMO U.S. Treasury Fund		9,902,208
		TOTAL MUTUAL FUNDS (COST $9,902,208)		9,902,208
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	99,541	State Street Institutional Treasury Money
		Market Fund – Premier Class, 5.25% (a)		99,541
		TOTAL SHORT-TERM INVESTMENTS (COST $99,541)		99,541
		TOTAL INVESTMENTS — 99.7% (Cost $502,486,474)		540,340,538
		Other Assets and Liabilities (net) — 0.3%		1,420,729
		TOTAL NET ASSETS — 100.0%	$	541,761,267

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

 

  See accompanying notes to the financial statements. 86

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

 

 

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO U.S. Small Cap Value Fund returned +13.27% (net) for the fiscal year ended February 29, 2024, as compared with +1.08% for the S&P SmallCap 600 Value Index.

Stock selection drove outperformance for the period, with notable contributions from Financials, Industrials, Real Estate, Health Care, and Information Technology.

While sector allocation was modestly positive in aggregate, overweight positioning toward Energy did detract over the period.

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

87

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

 

 

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

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

As of February 29, 2024

		Average Annual Total Returns
	1 Year	Since Inception
Class VI	13.27%	7/2/19	10.54%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited.

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

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

88

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.7	%
Mutual Funds		1.7
Short-Term Investments		0.4
Rights/Warrants		0.1
Futures Contracts		0.1
Other		0.0^
		100.0	%

Industry Group Summary	% of Equity Investments#
Financial Services		12.6	%
Capital Goods		11.0
Banks		9.8
Consumer Durables & Apparel		8.5
Commercial & Professional Services		8.0
Insurance		7.1
Consumer Discretionary Distribution & Retail		7.0
Materials		6.4
Technology Hardware & Equipment		5.9
Equity Real Estate Investment Trusts (REITs)		5.1
Energy		3.7
Semiconductors & Semiconductor Equipment		3.1
Health Care Equipment & Services		2.5
Pharmaceuticals, Biotechnology & Life Sciences		2.3
Consumer Services		2.2
Media & Entertainment		1.8
Food, Beverage & Tobacco		1.1
Automobiles & Components		0.8
Consumer Staples Distribution & Retail		0.3
Telecommunication Services		0.3
Real Estate Management & Development		0.3
Software & Services		0.1
Transportation		0.1
		100.0	%

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

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

^ Rounds to 0.0%.

                  

89

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 97.7%
		Automobiles & Components — 0.8%
	900	Dana, Inc.		11,250
	1,316	Patrick Industries, Inc.		157,841
	1,429	Winnebago Industries, Inc.		102,502
		Total Automobiles & Components		271,593
		Banks — 9.6%
	2,706	1st Source Corp.		134,705
	4,458	Amalgamated Financial Corp.		102,891
	1,366	Arrow Financial Corp.		32,757
	15,525	Associated Banc-Corp.		323,541
	3,899	Banc of California, Inc.		57,042
	1,515	BankUnited, Inc.		40,632
	1,219	Banner Corp.		53,441
	1,196	Berkshire Hills Bancorp, Inc.		25,702
	600	Capital City Bank Group, Inc.		17,010
	1,181	Central Pacific Financial Corp.		22,037
	900	Central Valley Community Bancorp		16,821
	371	City Holding Co.		37,278
	470	Civista Bancshares, Inc.		7,059
	2,452	Community Trust Bancorp, Inc.		97,492
	909	ConnectOne Bancorp, Inc.		17,989
	1,348	Customers Bancorp, Inc.*		73,210
	1,318	CVB Financial Corp.		22,432
	1,249	Eagle Bancorp, Inc.		29,751
	4,135	East West Bancorp, Inc.		301,276
	1,228	Enterprise Financial Services Corp.		49,022
	915	FB Financial Corp.		32,611
	1,004	Financial Institutions, Inc.		18,433
	9,304	First BanCorp		157,982
	984	First Busey Corp.		22,691
	306	First Commonwealth Financial Corp.		3,987
	1,441	First Community Bankshares, Inc.		47,755
	691	First Financial Bancorp		14,995
	2,252	First Financial Corp.		83,842
	1,097	First Merchants Corp.		36,420
	1,256	FNB Corp.		16,755
	818	Fulton Financial Corp.		12,597
	400	Great Southern Bancorp, Inc.		20,856
	8,589	Hanmi Financial Corp.		129,780
	956	Heritage Financial Corp.		17,543
	5,053	Hope Bancorp, Inc.		55,431
	3,074	Independent Bank Corp. (a)		75,159
	377	Independent Bank Corp. (a)		19,668
	1,903	International Bancshares Corp.		98,747
	1,117	Live Oak Bancshares, Inc.		44,367
	2,896	Midland States Bancorp, Inc.		70,518
	1,200	MidWestOne Financial Group, Inc.		27,504
	1,135	National Bank Holdings Corp. – Class A		38,408
	902	NBT Bancorp, Inc.		31,020
	2,032	OceanFirst Financial Corp.		30,886
	3,001	OFG Bancorp		108,696
	621	Origin Bancorp, Inc.		18,531

Shares		Description	Value ($)
		Banks — continued
	1,273	Pacific Premier Bancorp, Inc.		29,101
	693	Peoples Bancorp, Inc.		19,453
	363	Pinnacle Financial Partners, Inc.		30,027
	2,060	Popular, Inc.		172,381
	468	Preferred Bank		33,626
	882	Premier Financial Corp.		17,093
	2,172	Provident Financial Services, Inc.		32,754
	407	QCR Holdings, Inc.		23,199
	1,354	Renasant Corp.		42,800
	613	Republic Bancorp, Inc. – Class A		30,196
	1,096	Sandy Spring Bancorp, Inc.		24,090
	1,715	Simmons First National Corp. – Class A		32,928
	738	Southside Bancshares, Inc.		21,151
	1,450	Towne Bank		39,309
	1,431	Trustmark Corp.		38,437
	1,839	Veritex Holdings, Inc.		36,100
	421	Westamerica BanCorp		19,244
		Total Banks		3,339,159
		Capital Goods — 10.8%
	2,533	AGCO Corp.		277,870
	8,833	Allison Transmission Holdings, Inc.		665,390
	1,202	American Woodmark Corp.*		120,489
	5,100	Apogee Enterprises, Inc.		291,771
	720	AZZ, Inc.		52,416
	985	BlueLinx Holdings, Inc.*		124,947
	1,898	Boise Cascade Co.		257,957
	350	Columbus McKinnon Corp.		14,620
	618	Core & Main, Inc. – Class A*		29,497
	234	Esab Corp.		23,194
	2,197	Gates Industrial Corp. PLC*		32,340
	1,582	Gibraltar Industries, Inc.*		122,526
	360	Global Industrial Co.		15,786
	757	GMS, Inc.*		67,608
	1,941	Griffon Corp.		138,587
	1,415	Hyster-Yale Materials Handling, Inc.		83,315
	6,527	JELD-WEN Holding, Inc.*		118,791
	1,202	Kennametal, Inc.		30,338
	9,843	Masterbrand, Inc.*		170,382
	1,340	Miller Industries, Inc.		60,313
	303	Moog, Inc. – Class A		45,435
	22,675	MRC Global, Inc.*		261,443
	283	Oshkosh Corp.		31,373
	1,152	Park-Ohio Holdings Corp.		30,943
	539	Preformed Line Products Co.		74,102
	1,472	Primoris Services Corp.		58,159
	762	Quanex Building Products Corp.		26,350
	300	Rush Enterprises, Inc. – Class B		15,129
	1,582	Tennant Co.		179,067
	1,884	Terex Corp.		108,047
	2,326	Timken Co.		195,361
	224	UFP Industries, Inc.		25,677
		Total Capital Goods		3,749,223

  See accompanying notes to the financial statements. 90

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Commercial & Professional Services — 7.8%
	33,149	ACCO Brands Corp.		184,971
	1,463	ASGN, Inc.*		145,305
	800	Barrett Business Services, Inc.		97,592
	5,716	Brady Corp. – Class A		333,129
	809	Cimpress PLC*		79,290
	4,915	CSG Systems International, Inc.		268,162
	10,995	Deluxe Corp.		213,413
	5,994	GEO Group, Inc.*		73,546
	4,971	Heidrick & Struggles International, Inc.		169,014
	3,420	HNI Corp.		153,250
	1,603	Interface, Inc.		25,199
	7,365	Kelly Services, Inc. – Class A		180,664
	1,122	Korn Ferry		71,427
	4,240	ManpowerGroup, Inc.		305,958
	1,997	MillerKnoll, Inc.		61,008
	4,979	Pitney Bowes, Inc.		20,065
	10,690	Resources Connection, Inc.		147,843
	10,947	Steelcase, Inc. – Class A		150,412
	3,106	TrueBlue, Inc.*		36,496
		Total Commercial & Professional Services		2,716,744
		Consumer Discretionary Distribution & Retail — 6.9%
	1,801	1-800-Flowers.com, Inc. – Class A*		18,766
	6,558	Aaron’s Co., Inc.		50,824
	386	Academy Sports & Outdoors, Inc.		28,842
	2,034	Caleres, Inc.		78,533
	3,090	Cato Corp. – Class A		20,425
	12,886	Container Store Group, Inc.*		17,783
	9,938	Gap, Inc.		188,226
	6,487	Genesco, Inc.*		207,065
	2,218	Group 1 Automotive, Inc.		600,302
	4,807	Haverty Furniture Cos., Inc.		164,880
	1,692	Lands’ End, Inc.*		16,463
	4,636	Macy’s, Inc.		80,852
	9,410	Sally Beauty Holdings, Inc.*		118,848
	9,848	Shoe Carnival, Inc.		322,719
	685	Signet Jewelers Ltd.		69,706
	1,748	Sleep Number Corp.*		28,877
	8,872	Urban Outfitters, Inc.*		368,632
	494	Weyco Group, Inc.		15,926
		Total Consumer Discretionary Distribution & Retail		2,397,669
		Consumer Durables & Apparel — 8.3%
	1,136	Bassett Furniture Industries, Inc.		17,608
	1,107	Beazer Homes USA, Inc.*		34,682
	8,672	Ethan Allen Interiors, Inc.		289,905
	7,832	G-III Apparel Group Ltd.*		260,571
	1,368	Hooker Furnishings Corp.		33,530
	1,124	Johnson Outdoors, Inc. – Class A		51,659
	584	KB Home		38,795
	12,123	La-Z-Boy, Inc.		460,553

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	1,495	M/I Homes, Inc.*		189,850
	176	Malibu Boats, Inc. – Class A*		7,681
	583	MDC Holdings, Inc.		36,554
	451	Meritage Homes Corp.		71,105
	4,561	Movado Group, Inc.		130,946
	2,605	Oxford Industries, Inc.		264,121
	374	PVH Corp.		51,114
	7,937	Taylor Morrison Home Corp.*		449,313
	10,258	Tri Pointe Homes, Inc.*		362,928
	2,991	Universal Electronics, Inc.*		26,291
	11,651	Vera Bradley, Inc.*		90,878
	1,300	VOXX International Corp.*		11,050
		Total Consumer Durables & Apparel		2,879,134
		Consumer Services — 2.2%
	5,850	Adtalem Global Education, Inc.*		289,575
	54	Graham Holdings Co. – Class B		37,926
	16,861	Perdoceo Education Corp.		300,294
	2,069	Stride, Inc.*		123,623
		Total Consumer Services		751,418
		Consumer Staples Distribution & Retail — 0.3%
	3,859	SpartanNash Co.		81,309
	1,140	Village Super Market, Inc. – Class A		31,179
		Total Consumer Staples Distribution &
		Retail		112,488
		Energy — 3.6%
	2,690	Dorian LPG Ltd.		97,243
	593	Gulfport Energy Corp.*		84,200
	15,028	Oil States International, Inc.*		81,001
	45	Overseas Shipholding Group, Inc. – Class A		274
	9,976	PBF Energy, Inc. – Class A		465,879
	1,785	Vitesse Energy, Inc.		40,573
	20,232	World Kinect Corp.		492,852
		Total Energy		1,262,022
		Equity Real Estate Investment Trusts (REITs) — 5.0%
	2,428	Acadia Realty Trust – (REIT)		39,795
	948	American Assets Trust, Inc. – (REIT)		20,448
	9,377	Anywhere Real Estate, Inc.*		58,794
	9,051	Apple Hospitality REIT, Inc.		145,631
	4,632	Armada Hoffler Properties, Inc. – (REIT)		47,154
	5,273	Brandywine Realty Trust – (REIT)		22,674
	449	Brixmor Property Group, Inc. – (REIT)		10,152
	2,307	Chatham Lodging Trust – (REIT)		23,531
	56,524	Diversified Healthcare Trust – (REIT)		185,399
	13,711	Empire State Realty Trust, Inc. – (REIT)		136,699
	13,716	Industrial Logistics Properties Trust – (REIT)		52,532
	3,752	Kilroy Realty Corp. – (REIT)		142,163

91 See accompanying notes to the financial statements.  

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Equity Real Estate Investment Trusts (REITs) — continued
	22,017	Park Hotels & Resorts, Inc. – (REIT)		365,482
	27,400	Piedmont Office Realty Trust, Inc. – Class A , (REIT)		171,798
	1,909	PotlatchDeltic Corp. – (REIT)		86,306
	23,300	Service Properties Trust – (REIT)		158,440
	1,043	Summit Hotel Properties, Inc. – (REIT)		6,696
	1,799	Urban Edge Properties – (REIT)		30,601
	4,000	Whitestone REIT – (REIT)		49,280
		Total Equity Real Estate Investment Trusts (REITs)		1,753,575
		Financial Services — 12.3%
	2,151	A-Mark Precious Metals, Inc.		55,259
	626	Bread Financial Holdings, Inc.		23,963
	1,220	Brightsphere Investment Group, Inc.		27,645
	2,305	Curo Group Holdings Corp.*		507
	308	Diamond Hill Investment Group, Inc.		44,561
	3,888	Donnelley Financial Solutions, Inc.*		251,009
	1,249	Enact Holdings, Inc.		34,622
	1,441	Encore Capital Group, Inc.*		69,168
	9,509	Enova International, Inc.*		601,444
	2,459	Essent Group Ltd.		131,729
	1,008	Green Dot Corp. – Class A*		8,276
	4,410	Invesco Ltd.		67,958
	5,903	Jackson Financial, Inc. – Class A		324,960
	9,361	Janus Henderson Group PLC		291,689
	5,411	LendingTree, Inc.*		214,113
	1,114	Merchants Bancorp		47,746
	25,867	MGIC Investment Corp.		514,495
	5,457	NMI Holdings, Inc. – Class A*		164,147
	2,242	Oppenheimer Holdings, Inc. – Class A		85,869
	1,168	PennyMac Financial Services, Inc.		99,198
	6,962	PROG Holdings, Inc.*		214,917
	22,460	Radian Group, Inc.		654,484
	1,499	Regional Management Corp.		35,077
	6,137	SLM Corp.		127,834
	4,227	Victory Capital Holdings, Inc. – Class A		162,444
	2,367	Waterstone Financial, Inc.		29,942
	914	Westwood Holdings Group, Inc.		11,078
		Total Financial Services		4,294,134
		Food, Beverage & Tobacco — 1.0%
	1,811	Seneca Foods Corp. – Class A*		91,745
	450	Turning Point Brands, Inc.		11,385
	5,353	Universal Corp.		256,998
		Total Food, Beverage & Tobacco		360,128
		Health Care Equipment & Services — 2.4%
	814	AMN Healthcare Services, Inc.*		45,804
	2,550	HealthStream, Inc.		69,564
	193	Integer Holdings Corp.*		21,286
	535	National HealthCare Corp.		52,783

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	2,077	Owens & Minor, Inc.*		50,533
	11,646	Patterson Cos., Inc.		315,490
	5,558	Premier, Inc. – Class A		115,940
	3,415	Varex Imaging Corp.*		58,738
	7,159	Zimvie, Inc.*		121,345
		Total Health Care Equipment & Services		851,483
		Insurance — 6.9%
	566	AMERISAFE, Inc.		29,862
	12,875	CNO Financial Group, Inc.		343,634
	2,008	Employers Holdings, Inc.		91,786
	2,091	First American Financial Corp.		122,135
	10,024	Genworth Financial, Inc. – Class A*		61,648
	251	GoHealth, Inc. – Class A*		3,378
	868	Horace Mann Educators Corp.		31,413
	18,279	Old Republic International Corp.		529,360
	486	Reinsurance Group of America, Inc.		85,949
	3,324	SiriusPoint Ltd.*		40,786
	8,054	Stewart Information Services Corp.		507,241
	2,723	Universal Insurance Holdings, Inc.		54,977
	10,520	Unum Group		520,214
		Total Insurance		2,422,383
		Materials — 6.2%
	1,514	AdvanSix, Inc.		42,362
	770	Clearwater Paper Corp.*		30,253
	8,159	Commercial Metals Co.		440,586
	410	Hawkins, Inc.		28,802
	3,519	Koppers Holdings, Inc.		199,246
	1,102	Minerals Technologies, Inc.		79,741
	616	NewMarket Corp.		395,269
	1,643	O-I Glass, Inc.*		27,800
	1,081	Olympic Steel, Inc.		73,530
	2,981	Radius Recycling, Inc.		58,904
	9,300	Ryerson Holding Corp.		293,694
	2,124	Sylvamo Corp.		128,311
	943	TriMas Corp.		22,160
	6,127	Warrior Met Coal, Inc.		349,055
		Total Materials		2,169,713
		Media & Entertainment — 1.8%
	11,295	AMC Networks, Inc. – Class A*		146,157
	1,018	Cargurus, Inc.*		22,538
	1,364	Cars.com, Inc.*		25,016
	240	Lee Enterprises, Inc.*		2,340
	2,249	Scholastic Corp.		88,701
	3,897	Shutterstock, Inc.		190,018
	5,610	Taboola.com Ltd.*		24,460
	2,955	Yelp, Inc.*		113,590
		Total Media & Entertainment		612,820

  See accompanying notes to the financial statements. 92

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences —2.1%
	5,706	Amneal Pharmaceuticals, Inc.*		31,497
	1,653	Exelixis, Inc.*		36,200
	838	Longboard Pharmaceuticals, Inc.*		18,587
	26,724	Organon & Co.		465,265
	700	Phibro Animal Health Corp. – Class A		9,051
	2,434	Prestige Consumer Healthcare, Inc.*		169,358
	686	Supernus Pharmaceuticals, Inc.*		20,374
		Total Pharmaceuticals, Biotechnology & Life Sciences		750,332
		Real Estate Management & Development — 0.3%
	12,743	Douglas Elliman, Inc.		23,447
	1,122	Forestar Group, Inc.*		37,834
	232	Marcus & Millichap, Inc.		8,512
	1,785	Newmark Group, Inc. – Class A		19,260
		Total Real Estate Management & Development		89,053
		Semiconductors & Semiconductor Equipment — 3.1%
	5,242	Amkor Technology, Inc.		162,607
	2,436	Cirrus Logic, Inc.*		223,673
	3,683	Cohu, Inc.*		118,335
	550	Diodes, Inc.*		37,389
	3,198	Kulicke & Soffa Industries, Inc.		152,289
	6,560	Photronics, Inc.*		188,862
	2,548	SMART Global Holdings, Inc.*		54,196
	3,718	Veeco Instruments, Inc.*		134,629
		Total Semiconductors & Semiconductor Equipment		1,071,980
		Software & Services — 0.1%
	1,780	SolarWinds Corp.*		21,253
	2,572	Unisys Corp.*		13,349
		Total Software & Services		34,602
		Technology Hardware & Equipment — 5.8%
	407	Arrow Electronics, Inc.*		47,822
	12,313	Avnet, Inc.		573,663
	2,626	Belden, Inc.		223,683
	5,241	Benchmark Electronics, Inc.		160,951
	1,523	ePlus, Inc.*		125,480
	910	Insight Enterprises, Inc.*		171,080
	2,139	Kimball Electronics, Inc.*		48,149
	894	Sanmina Corp.*		56,501
	2,413	ScanSource, Inc.*		104,314
	2,451	Vishay Intertechnology, Inc.		53,309
	24,400	Xerox Holdings Corp.		455,060
		Total Technology Hardware & Equipment		2,020,012
		Telecommunication Services — 0.3%
	5,621	Spok Holdings, Inc.		101,009

Shares		Description	Value ($)
		Transportation — 0.1%
	230	Matson, Inc.		25,542
		TOTAL COMMON STOCKS (COST $31,300,071)		34,036,216
		MUTUAL FUNDS — 1.7%
		Affiliated Issuers — 1.7%
	114,765	GMO U.S. Treasury Fund		573,827
		TOTAL MUTUAL FUNDS (COST $573,827)		573,827
		RIGHTS/WARRANTS — 0.1%
		Pharmaceuticals, Biotechnology & Life Sciences —0.1%
	72,700	Achillion Pharmaceuticals, Inc. CVR* (b)		36,350
		TOTAL RIGHTS/WARRANTS (COST $33,442)		36,350
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	144,714	State Street Institutional Treasury Money
		Market Fund – Premier Class, 5.25% (c)		144,714
		TOTAL SHORT-TERM INVESTMENTS (COST $144,714)		144,714
		TOTAL INVESTMENTS — 99.9% (Cost $32,052,054)		34,791,107
		Other Assets and Liabilities (net) — 0.1%		51,268
		TOTAL NET ASSETS — 100.0%	$	34,842,375

93 See accompanying notes to the financial statements.  

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
6	E-mini Russell 2000 Index	March 2024	$	617,190	$	27,739

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

       

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

  See accompanying notes to the financial statements. 94

GMO Trust Funds

 

 

February 29, 2024

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVR - Contingent Value Right

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

GDR - Global Depositary Receipt

GDS - Global Depository Share

JSB - Joint Stock Bank

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

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

The rates shown on variable rate notes are the current interest rates at February 29, 2024, which are subject to change based on the terms of the security.

 

95 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Assets and Liabilities — February 29, 2024

	Climate Change Fund		Emerging Markets ex-China Fund		Emerging Markets Fund		International Equity Fund		International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	22,390,770	$	4,681,209	$	1,308,018	$	71,846,735	$	7,130,000
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		736,069,540		233,218,704		452,293,152		924,764,155		356,761,147
Foreign currency, at value (Note 2)(d)		120,987		1,171,021		5,217,187		489,530		128,224
Cash		3		—		30		2		6
Receivable for investments sold		—		4,538,708		9,041,135		531		111
Receivable for Fund shares sold		192,642		41,092		21,480		36,318		—
Dividends and interest receivable		923,364		884,077		1,493,024		2,405,566		576,574
Dividend withholding tax receivable		47,349		23,260		24,984		1,233,889		39,932
Foreign capital gains tax refund receivable (Note 2)		—		80,357		2,502,099		—		24
EU tax reclaims receivable (Note 2)		—		—		—		245,415		—
Due from broker (Note 2)		—		—		459,969		4,373		1,146
Receivable for variation margin on open futures contracts (Note 4)		—		—		5,350		34,402		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		52,098		13,686		77,008		22,348		59,707
Total assets		759,796,753		244,652,114		472,443,436		1,001,083,264		364,696,871
Liabilities:
Due to custodian		—		415,596		—		—		—
Payable for cash collateral from securities loaned (Note 2)		15,738,457		—		—		—		—
Payable for investments purchased		61,973		5,337,281		10,656,133		—		—
Payable for Fund shares repurchased		514,376		—		34,307		25,861		16,876
Accrued foreign capital gains tax payable (Note 2)		—		1,239,636		1,901,331		—		—
Payable for IRS closing agreement fees (Note 2)		—		—		—		55,290,749		560,043
Payable to affiliate for (Note 5):
Management fee		352,765		102,154		233,651		368,944		141,942
Shareholder service fee		88,191		13,093		46,708		83,869		30,542
Payable to Trustees and related expenses		5,826		1,621		5,446		7,249		1,509
Miscellaneous payable		—		—		792,365		—		—
Accrued expenses		274,566		251,487		479,813		254,994		119,841
Total liabilities		17,036,154		7,360,868		14,149,754		56,031,666		870,753
Net assets	$	742,760,599	$	237,291,246	$	458,293,682	$	945,051,598	$	363,826,118
(a)   Cost of investments – affiliated issuers:	$	22,390,770	$	4,681,209	$	6,977,910	$	71,846,735	$	7,130,000
(b)   Cost of investments – unaffiliated issuers:	$	929,613,465	$	282,670,758	$	862,456,926	$	868,786,631	$	339,823,769
(c)   Includes securities on loan at value (Note 2):	$	26,058,174	$	—	$	2,196,856	$	—	$	—
(d)   Cost of foreign currency:	$	121,291	$	1,171,053	$	5,213,580	$	493,358	$	132,241

  See accompanying notes to the financial statements. 96

GMO Trust Funds

 

 

Statements of Assets and Liabilities — February 29, 2024 — (Continued)

	Climate Change Fund			Emerging Markets ex-China Fund			Emerging Markets Fund			International Equity Fund			International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Net assets consist of:
Paid-in capital	$	1,002,115,771		$	322,888,472		$	2,296,439,752		$	1,856,273,518		$	347,502,803
Distributable earnings (accumulated loss)		(259,355,172	)		(85,597,226	)		(1,838,146,070	)		(911,221,920	)		16,323,315
	$	742,760,599		$	237,291,246		$	458,293,682		$	945,051,598		$	363,826,118
Net assets attributable to:
Class II	$	—		$	—		$	129,496,873		$	—		$	—
Class III	$	308,162,797		$	41,481,035		$	39,922		$	362,473,412		$	54,986,228
Class IV	$	—		$	—		$	—		$	577,803,978		$	308,786,242
Class VI	$	—		$	195,810,211		$	250,902,988		$	—		$	—
Class R6	$	182,234,770		$	—		$	12,316,942		$	—		$	—
Class I	$	252,363,032		$	—		$	65,536,957		$	4,774,208		$	53,648
Shares outstanding:
Class II		—			—			5,439,423			—			—
Class III		14,020,175			2,682,126			1,649			15,440,923			3,834,136
Class IV		—			—			—			24,654,733			21,585,361
Class VI		—			12,649,471			10,646,594			—			—
Class R6		8,307,992			—			517,354			—			—
Class I		11,500,115			—			2,758,620			202,723			3,748
Net asset value per share:
Class II	$	—		$	—		$	23.81		$	—		$	—
Class III	$	21.98		$	15.47		$	24.21		$	23.47		$	14.34
Class IV	$	—		$	—		$	—		$	23.44		$	14.31
Class VI	$	—		$	15.48		$	23.57		$	—		$	—
Class R6	$	21.93		$	—		$	23.81		$	—		$	—
Class I	$	21.94		$	—		$	23.76		$	23.55		$	14.31

97 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Assets and Liabilities — February 29, 2024 — (Continued)

	Japan Value Creation Fund		Quality Cyclicals Fund		Quality Fund		Resource Transition Fund		Resources Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—	$	501,028	$	278,669,053	$	2,049,511	$	56,231,789
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		117,945,355		79,958,390		9,225,774,725		116,451,844		1,935,731,480
Foreign currency, at value (Note 2)(d)		—		45,474		2,794,918		11,862		946,630
Cash		6		—		44		—		38
Receivable for investments sold		—		50,225		2,372,820		—		1,081
Receivable for Fund shares sold		80		—		6,529,256		—		1,828,208
Dividends and interest receivable		154,937		119,823		12,034,732		74,898		4,920,522
Dividend withholding tax receivable		2,674		600		2,525,095		53,943		197,330
Foreign capital gains tax refund receivable (Note 2)		—		—		—		—		205,231
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		27,417		24,579		79,799		23,942		23,483
Miscellaneous receivable		—		—		—		—		105
Total assets		118,130,469		80,700,119		9,530,780,442		118,666,000		2,000,085,897
Liabilities:
Payable for investments purchased		—		46,565		2,204,198		7,598		—
Payable for Fund shares repurchased		3,941		—		3,011,533		—		967,529
Payable to affiliate for (Note 5):
Management fee		46,018		20,929		2,440,346		75,883		784,167
Shareholder service fee		7,675		3,513		856,883		5,217		208,897
Payable to Trustees and related expenses		739		505		60,448		2,666		12,786
Accrued expenses		100,289		66,146		827,898		158,134		853,684
Total liabilities		158,662		137,658		9,401,306		249,498		2,827,063
Net assets	$	117,971,807	$	80,562,461	$	9,521,379,136	$	118,416,502	$	1,997,258,834
(a)   Cost of investments – affiliated issuers:	$	—	$	501,028	$	278,619,235	$	2,049,511	$	56,225,907
(b)   Cost of investments – unaffiliated issuers:	$	112,902,925	$	60,222,743	$	4,768,141,749	$	177,866,263	$	2,229,151,430
(c)   Includes securities on loan at value (Note 2):	$	—	$	—	$	—	$	—	$	139,767,815
(d)   Cost of foreign currency:	$	—	$	45,652	$	2,803,223	$	11,939	$	954,019

  See accompanying notes to the financial statements. 98

GMO Trust Funds

 

 

Statements of Assets and Liabilities — February 29, 2024 — (Continued)

	Japan Value Creation Fund			Quality Cyclicals Fund		Quality Fund		Resource Transition Fund			Resources Fund
Net assets consist of:
Paid-in capital	$	123,622,939		$	61,466,880	$	5,078,987,011	$	249,659,179		$	2,398,115,233
Distributable earnings (accumulated loss)		(5,651,132	)		19,095,581		4,442,392,125		(131,242,677	)		(400,856,399	)
	$	117,971,807		$	80,562,461	$	9,521,379,136	$	118,416,502		$	1,997,258,834
Net assets attributable to:
Class III	$	29,048,708		$	—	$	3,211,662,736	$	—		$	223,994,779
Class IV	$	—		$	—	$	1,028,172,751	$	—		$	403,196,514
Class VI	$	82,520,832		$	80,234,986	$	2,875,207,087	$	118,416,502		$	109,235,451
Class R6	$	—		$	—	$	1,142,543,399	$	—		$	497,523,219
Class I	$	6,402,267		$	327,475	$	1,263,793,163	$	—		$	763,308,871
Shares outstanding:
Class III		1,476,769			—		103,597,902		—			10,834,117
Class IV		—			—		33,055,207		—			19,577,590
Class VI		4,194,442			3,511,293		92,733,387		8,819,161			5,303,904
Class R6		—			—		36,911,424		—			24,100,028
Class I		326,002			14,350		40,896,449		—			36,935,722
Net asset value per share:
Class III	$	19.67		$	—	$	31.00	$	—		$	20.67
Class IV	$	—		$	—	$	31.10	$	—		$	20.59
Class VI	$	19.67		$	22.85	$	31.01	$	13.43		$	20.60
Class R6	$	—		$	—	$	30.95	$	—		$	20.64
Class I	$	19.64		$	22.82	$	30.90	$	—		$	20.67

99 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Assets and Liabilities — February 29, 2024 —(Continued)

	Small Cap Quality Fund		U.S. Equity Fund		U.S. Opportunistic Value Fund		U.S. Small Cap Value Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	7,392,442	$	1,994,361	$	9,902,208	$	573,827
Investments in unaffiliated issuers, at value (Note 2)(b)		199,968,990		133,156,138		530,438,330		34,217,280
Cash		—		1		—		—
Receivable for investments sold		1,994,128		—		—		—
Receivable for Fund shares sold		446,163		—		89,381		—
Dividends and interest receivable		126,616		270,315		1,653,573		55,962
Dividend withholding tax receivable		—		—		563		—
Due from broker (Note 2)		—		—		—		43,010
Receivable for variation margin on open futures contracts (Note 4)		—		3,413		—		4,170
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		40,180		15,971		15,779		9,890
Total assets		209,968,519		135,440,199		542,099,834		34,904,139
Liabilities:
Due to broker (Note 2)		—		46		—		—
Payable for investments purchased		5,711,099		—		37,986		—
Payable for Fund shares repurchased		65,209		—		15,401		—
Payable to affiliate for (Note 5):
Management fee		92,278		32,561		127,305		8,404
Shareholder service fee		18,331		10,256		33,928		1,491
Payable to Trustees and related expenses		798		1,588		2,634		1,336
Accrued expenses		125,642		69,368		121,313		50,533
Total liabilities		6,013,357		113,819		338,567		61,764
Net assets	$	203,955,162	$	135,326,380	$	541,761,267	$	34,842,375
(a)   Cost of investments – affiliated issuers:	$	7,392,442	$	1,994,361	$	9,902,208	$	573,827
(b)   Cost of investments – unaffiliated issuers:	$	176,448,860	$	113,293,746	$	492,584,266	$	31,478,227

  See accompanying notes to the financial statements. 100

GMO Trust Funds

 

 

Statements of Assets and Liabilities — February 29, 2024 — (Continued)

	Small Cap Quality Fund		U.S. Equity Fund		U.S. Opportunistic Value Fund		U.S. Small Cap Value Fund
Net assets consist of:
Paid-in capital	$	177,889,149	$	106,645,846	$	496,755,178	$	36,394,306
Distributable earnings (accumulated loss)		26,066,013		28,680,534		45,006,089		(1,551,931	)
	$	203,955,162	$	135,326,380	$	541,761,267	$	34,842,375
Net assets attributable to:
Class III	$	17,314,540	$	60,656,567	$	36,988,873	$	—
Class IV	$	—	$	—	$	285,242,328	$	—
Class VI	$	64,312,270	$	74,669,813	$	143,697,299	$	34,842,375
Class R6	$	—	$	—	$	1,732,871	$	—
Class I	$	122,328,352	$	—	$	74,099,896	$	—
Shares outstanding:
Class III		709,960		4,383,048		1,673,655		—
Class IV		—		—		12,934,996		—
Class VI		2,635,032		5,478,047		6,513,958		1,825,456
Class R6		—		—		78,672		—
Class I		5,018,036		—		3,363,921		—
Net asset value per share:
Class III	$	24.39	$	13.84	$	22.10	$	—
Class IV	$	—	$	—	$	22.05	$	—
Class VI	$	24.41	$	13.63	$	22.06	$	19.09
Class R6	$	—	$	—	$	22.03	$	—
Class I	$	24.38	$	—	$	22.03	$	—

101 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Operations —Year Ended February 29, 2024

	Climate Change Fund			Emerging Markets ex- China Fund			Emerging Markets Fund			International Equity Fund			International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	11,519,003		$	14,377,923		$	43,476,206		$	44,627,591		$	7,274,624
Dividends from affiliated issuers (Note 10)		802,643			236,971			502,256			3,485,168			202,762
Interest		4,905			—			421,136			98,083			18,518
Securities lending income from affiliated issuers (net)		479,375			—			—			—			—
Securities lending income (net)		291,844			—			265,019			—			—
Other income (Note 2)		1,867			60			2,293,478			2,606			549
Less: IRS closing agreement fees (Note 2)		—			—			—			(2,212,823	)		(51,576	)
Total investment income		13,099,637			14,614,954			46,958,095			46,000,625			7,444,877
Expenses:
Management fee (Note 5)		5,256,810			1,318,410			4,340,456			5,317,659			1,179,661
Shareholder service fee – Class II (Note 5)		—			—			292,731			2,593	*		—
Shareholder service fee – Class III (Note 5)		509,683			47,216			92			522,945			180,146
Shareholder service fee – Class IV (Note 5)		—			—			—			639,112			115,807	**
Shareholder service fee – Class VI (Note 5)		—			114,528			246,672			—			—
Shareholder service fee – Class R6 (Note 5)		271,818			—			24,964			—			—
Shareholder service fee – Class I (Note 5)		532,702			—	***		164,561			7,919			42	****
Audit and tax fees		151,285			140,447			434,021			137,781			146,462
Custodian, fund accounting agent and transfer agent fees		628,211			312,710			727,396			297,177			115,445
Legal fees		26,539			4,658			18,662			28,903			9,155
Registration fees		41,623			9,553			58,798			29,909			30,530
Trustees’ fees and related expenses (Note 5)		52,094			14,210			40,301			62,906			11,393
Miscellaneous		42,525			44,478			60,216			61,481			27,620
Total expenses		7,513,290			2,006,210			6,408,870			7,108,385			1,816,261
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(359,774	)		(345,016	)		(693,877	)		(345,219	)		(261,139	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(29,929	)		(2,668	)		(50,728	)		(45,200	)		(2,771	)
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		—			—			(7,424	)		—			—
Net expenses		7,123,587			1,658,526			5,656,841			6,717,966			1,552,351
Net investment income (loss)		5,976,050			12,956,428			41,301,254			39,282,659			5,892,526
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(36,198,136	)		(10,402,690	)		(82,997,073	)		32,924,586			6,558,709
Investments in affiliated issuers		89,038			12,533			(862,405	)		156,555			3,699
Realized gain distributions from affiliated issuers (Note 10)		—			—			732,840			—			—
Futures contracts		—			—			(2,041,780	)		115,115			15,210
Foreign currency and foreign currency related transactions		(215,148	)		(305,758	)		(1,745,685	)		(856,628	)		(76,167	)
Net realized gain (loss)		(36,324,246	)		(10,695,915	)		(86,914,103	)		32,339,628			6,501,451
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(202,670,677	)		47,836,669			127,403,655			86,639,982			13,194,298
Investments in affiliated issuers		(12,066	)		—			44,718			(20,261	)		(1,574	)
Futures contracts		—			—			1,858,679			701,124			(2,645	)
Foreign currency and foreign currency related transactions		4,054			79,398			501,116			530,087			(14,670	)
Net change in unrealized appreciation (depreciation)		(202,678,689	)		47,916,067			129,808,168			87,850,932			13,175,409
Net realized and unrealized gain (loss)		(239,002,935	)		37,220,152			42,894,065			120,190,560			19,676,860
Net increase (decrease) in net assets resulting from operations	$	(233,026,885	)	$	50,176,580		$	84,195,319		$	159,473,219		$	25,569,386
(a)   Withholding tax:	$	895,610		$	2,581,402		$	5,525,429		$	4,122,875		$	889,416
(b)   Foreig’n capital gains tax (benefit) on net realized gain (loss):	$	—		$	293,319		$	2,139,295		$	—		$	8,897

  See accompanying notes to the financial statements. 102

GMO Trust Funds

 

 

Statements of Operations —Year Ended February 29, 2024 — (Continued)

	Climate Change Fund		Emerging Markets ex- China Fund		Emerging Markets Fund		International Equity Fund		International Opportunistic Value Fund (formerly Tax- Managed International Equities Fund)
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—	$	1,239,640	$	747,480	$	—	$	(5,274	)

* Class II liquidated on August 28, 2023.

** Period from September 25, 2023 (commencement of operations) through February 29, 2024.

*** Class I liquidated on August 28, 2023.

**** Period from August 14, 2023 (commencement of operations) through February 29, 2024.

103 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Operations —Year Ended February 29, 2024 — (Continued)

	Japan Value Creation Fund			Quality Cyclicals Fund			Quality Fund			Resource Transition Fund			Resources Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	3,063,117		$	1,424,347		$	113,822,519		$	12,103,022		$	82,273,326
Dividends from affiliated issuers (Note 10)		—			28,456			8,225,130			230,468			2,308,735
Interest		111			186			26,846			—			24,532
Securities lending income (net)		—			—			—			—			1,096,031
Other income (Note 2)		—			29			12,357			353			67,403
Total investment income		3,063,228			1,453,018			122,086,852			12,333,843			85,770,027
Expenses:
Management fee (Note 5)		548,415			241,281			25,812,394			2,768,617			9,601,540
Shareholder service fee – Class III (Note 5)		40,312			—			4,324,756			—			359,272
Shareholder service fee – Class IV (Note 5)		—			—			731,658			—			428,665
Shareholder service fee – Class VI (Note 5)		43,447			40,134			1,379,692			190,343			45,265
Shareholder service fee – Class R6 (Note 5)		—			—			1,379,881			—			594,532
Shareholder service fee – Class I (Note 5)		5,721			217			1,220,247			—			1,160,210
Audit and tax fees		76,605			67,721			108,684			91,770			157,483
Custodian, fund accounting agent and transfer agent fees		82,148			41,170			2,142,449			129,164			1,886,132
Legal fees		2,519			4,347			222,667			18,483			52,087
Registration fees		26,726			22,821			122,004			11,387			57,839
Trustees’ fees and related expenses (Note 5)		6,272			4,172			441,910			22,908			108,156
Miscellaneous		10,494			7,093			112,271			11,148			69,943
Total expenses		842,659			428,956			37,998,613			3,243,820			14,521,124
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(174,662	)		(126,336	)		(742,269	)		(261,910	)		(232,042	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(368	)		(117,598	)		(2,940	)		(32,349	)
Net expenses		667,997			302,252			37,138,746			2,978,970			14,256,733
Net investment income (loss)		2,395,231			1,150,766			84,948,106			9,354,873			71,513,294
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(2,319,670	)		1,962,948			307,640,847			(74,291,826	)		(90,525,333	)
Investments in affiliated issuers		—			1,164			157,550			7,861			31,440
Foreign currency and foreign currency related transactions		(136,246	)		(1,696	)		93,517			(89,230	)		(180,837	)
Net realized gain (loss)		(2,455,916	)		1,962,416			307,891,914			(74,373,195	)*		(90,674,730	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		21,855,685			6,738,261			2,041,408,933			(36,440,136	)		(244,224,643	)
Investments in affiliated issuers		—			—			(36,832	)		—			(9,178	)
Foreign currency and foreign currency related transactions		66,394			4,534			354,018			(3,253	)		(3,090	)
Net change in unrealized appreciation (depreciation)		21,922,079			6,742,795			2,041,726,119			(36,443,389	)		(244,236,911	)
Net realized and unrealized gain (loss)		19,466,163			8,705,211			2,349,618,033			(110,816,584	)		(334,911,641	)
Net increase (decrease) in net assets resulting from operations	$	21,861,394		$	9,855,977		$	2,434,566,139		$	(101,461,711	)	$	(263,398,347	)
(a)   Withholding tax:	$	324,624		$	73,291		$	2,757,041		$	949,370		$	5,490,607
(b)   Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	—		$	—		$	—		$	585,539
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	—		$	—		$	—		$	(239,117	)

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

  See accompanying notes to the financial statements. 104

GMO Trust Funds

 

 

Statements of Operations —Year Ended February 29, 2024 — (Continued)

							U.S.
	Small Cap						Opportunistic			U.S. Small
	Quality			U.S. Equity			Value			Cap Value
	Fund			Fund			Fund			Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	696,860		$	4,228,354		$	11,788,246		$	728,536
Dividends from affiliated issuers (Note 10)		107,311			153,626			362,229			21,772
Interest		30,723			19,880			12,814			953
Total investment income		834,894			4,401,860			12,163,289			751,261
Expenses:
Management fee (Note 5)		494,425			703,497			1,230,899			95,615
Shareholder service fee – Class III (Note 5)		21,034			80,319			165			—
Shareholder service fee – Class IV (Note 5)		—			—			132,382			—
Shareholder service fee – Class VI (Note 5)		31,141			95,364			123,427			16,964
Shareholder service fee – Class R6 (Note 5)		—			—			1,056	*		—
Shareholder service fee – Class I (Note 5)		17,643			—			59,183			—
Audit and tax fees		68,449			59,270			52,775			56,791
Custodian, fund accounting agent and transfer agent fees		73,064			55,823			143,053			18,318
Legal fees		6,434			9,471			19,493			3,618
Registration fees		27,346			20,255			32,097			1,969
Trustees’ fees and related expenses (Note 5)		4,415			13,334			21,509			2,181
Miscellaneous		5,917			7,415			14,402			5,056
Total expenses		749,868			1,044,748			1,830,441			200,512
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(181,210	)		(112,335	)		(147,586	)		(52,412	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(1,432	)		(1,953	)		(5,015	)		(281	)
Net expenses		567,226			930,460			1,677,840			147,819
Net investment income (loss)		267,668			3,471,400			10,485,449			603,442
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		8,882,617			23,170,550			15,319,647			1,039,777
Investments in affiliated issuers		3,759			6,329			9,094			911
Futures contracts		—			366,473			—			43,230
Net realized gain (loss)		8,886,376			23,543,352			15,328,741			1,083,918
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		12,849,548			15,150,372			38,644,588			2,549,769
Investments in affiliated issuers		(417	)		—			—			—
Futures contracts		—			(33,957	)		—			13,728
Net change in unrealized appreciation (depreciation)		12,849,131			15,116,415			38,644,588			2,563,497
Net realized and unrealized gain (loss)		21,735,507			38,659,767			53,973,329			3,647,415
Net increase (decrease) in net assets resulting from operations	$	22,003,175		$	42,131,167		$	64,458,778		$	4,250,857
(a)   Withholding tax:	$	—		$	4,892		$	422		$	175

* Period from August 28, 2023 (commencement of operations) through February 29, 2024.

105 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Changes in Net Assets

							Emerging
							Markets
	Climate						ex-China
	Change Fund						Fund
	Year Ended						Year Ended
	February 28/29,						February 28/29,
	2024			2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,976,050		$	6,951,323		$	12,956,428		$	15,332,899
Net realized gain (loss)		(36,324,246	)		(20,296,199	)		(10,695,915	)		(23,213,927	)
Change in net unrealized appreciation (depreciation)		(202,678,689	)		(4,911,109	)		47,916,067			(38,670,448	)
Net increase (decrease) in net assets from operations		(233,026,885	)		(18,255,985	)		50,176,580			(46,551,476	)
Distributions to shareholders:
Class III		(3,466,269	)		(6,826,624	)		(2,184,380	)		(759,928	)
Class VI		—			—			(13,456,339	)		(13,701,355	)
Class R6		(1,695,501	)		(3,035,164	)		—			—
Class I		(2,139,324	)		(8,159,916	)		(5	)*		(15	)
Total distributions		(7,301,094	)		(18,021,704	)		(15,640,724	)		(14,461,298	)
Net share transactions (Note 9):
Class III		66,165,312			34,383,090			8,160,595			17,239,928
Class VI		—			—			(60,198,947	)		1,469,698
Class R6		47,784,723			71,379,478			—			—
Class I		(63,720,630	)		133,221,424			(385	)*		15
Increase (decrease) in net assets resulting from net share transactions		50,229,405			238,983,992			(52,038,737	)		18,709,641
Total increase (decrease) in net assets		(190,098,574	)		202,706,303			(17,502,881	)		(42,303,133	)
Net assets:
Beginning of period		932,859,173			730,152,870			254,794,127			297,097,260
End of period	$	742,760,599		$	932,859,173		$	237,291,246		$	254,794,127

* Class I liquidated on August 28, 2023.

  See accompanying notes to the financial statements. 106

GMO Trust Funds

 

 

Statements of Changes in Net Assets — (Continued)

	Emerging						International
	Markets Fund						Equity Fund
	Year Ended						Year Ended
	February 28/29,						February 28/29,
	2024			2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	41,301,254		$	66,903,959		$	39,282,659		$	67,950,597
Net realized gain (loss)		(86,914,103	)		(201,332,540	)		32,339,628			(97,451,037	)
Change in net unrealized appreciation (depreciation)		129,808,168			(265,750,295	)		87,850,932			(13,198,531	)
Net increase (decrease) in net assets from operations		84,195,319			(400,178,876	)		159,473,219			(42,698,971	)
Distributions to shareholders:
Class II		(9,445,273	)		(13,357,178	)		(4,872	)*		(187,750	)
Class III		(3,096	)		(10,406,493	)		(25,954,707	)		(13,506,456	)
Class IV		—			—			(43,445,461	)		(51,620,967	)
Class VI		(32,006,640	)		(59,450,292	)		—			—
Class R6		(839,644	)		(1,501,438	)		—			—
Class I		(5,161,582	)		(7,549,670	)		(301,943	)		(105,835	)
Total distributions		(47,456,235	)		(92,265,071	)		(69,706,983	)		(65,421,008	)
Net share transactions (Note 9):
Class II		(33,876,936	)		(47,692,845	)		(4,847,751	)*		(636,611	)
Class III		(37,613	)		(200,996,603	)		(33,502,760	)		29,494,140
Class IV		—			—			(403,569,831	)		(526,895,189	)
Class VI		(364,583,946	)		(325,897,850	)		—			—
Class R6		240,779			(18,867,256	)		—			—
Class I		(27,994,487	)		(1,027,086	)		1,662,154			(49,180	)
Increase (decrease) in net assets resulting from net share transactions		(426,252,203	)		(594,481,640	)		(440,258,188	)		(498,086,840	)
Total increase (decrease) in net assets		(389,513,119	)		(1,086,925,587	)		(350,491,952	)		(606,206,819	)
Net assets:
Beginning of period		847,806,801			1,934,732,388			1,295,543,550			1,901,750,369
End of period	$	458,293,682		$	847,806,801		$	945,051,598		$	1,295,543,550

* Class II liquidated on August 28, 2023.

107 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Changes in Net Assets — (Continued)

	International Opportunistic Value Fund (formerly Tax-Managed International
	Equities						Japan Value
	Fund)						Creation Fund
	Year Ended						Year Ended
	February 28/29,						February 28/29,
	2024			2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,892,526		$	1,425,241		$	2,395,231		$	3,174,050
Net realized gain (loss)		6,501,451			(2,811,095	)		(2,455,916	)		(5,530,808	)
Change in net unrealized appreciation (depreciation)		13,175,409			(650,535	)		21,922,079			(11,654,366	)
Net increase (decrease) in net assets from operations		25,569,386			(2,036,389	)		21,861,394			(14,011,124	)
Distributions to shareholders:
Class III		(1,907,667	)		(2,115,226	)		(1,239,649	)		(1,377,552	)
Class IV		(7,503,114	)*		—			—			—
Class VI		—			—			(3,547,260	)		(6,098,598	)
Class I		(1,431	)**		—			(204,920	)		(140,999	)
Total distributions		(9,412,212	)		(2,115,226	)		(4,991,829	)		(7,617,149	)
Net share transactions (Note 9):
Class III		15,565,296			3,056,537			70,609			4,240,268
Class IV		301,365,286	*		—			—			—
Class VI		—			—			(10,799,492	)		(33,856,529	)
Class I		52,166	**		—			4,325,351			(1,063,960	)
Increase (decrease) in net assets resulting from net share transactions		316,982,748			3,056,537			(6,403,532	)		(30,680,221	)
Total increase (decrease) in net assets		333,139,922			(1,095,078	)		10,466,033			(52,308,494	)
Net assets:
Beginning of period		30,686,196			31,781,274			107,505,774			159,814,268
End of period	$	363,826,118		$	30,686,196		$	117,971,807		$	107,505,774

* Period from September 25, 2023 (commencement of operations) through February 29, 2024.

** Period from August 14, 2023 (commencement of operations) through February 29, 2024.

  See accompanying notes to the financial statements. 108

GMO Trust Funds

 

 

Statements of Changes in Net Assets — (Continued)

	Quality
	Cyclicals						Quality
	Fund						Fund
	Year Ended						Year Ended
	February 28/29,						February 28/29,
	2024			2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,150,766		$	2,068,981		$	84,948,106		$	84,852,243
Net realized gain (loss)		1,962,416			10,476,743			307,891,914			473,792,008
Change in net unrealized appreciation (depreciation)		6,742,795			(17,682,823	)		2,041,726,119			(1,005,130,455	)
Net increase (decrease) in net assets from operations		9,855,977			(5,137,099	)		2,434,566,139			(446,486,204	)
Distributions to shareholders:
Class III		—			—			(121,035,238	)		(273,729,638	)
Class IV		—			—			(31,178,712	)		(87,058,631	)
Class VI		(6,689,237	)		(12,448,036	)		(110,540,713	)		(283,709,474	)
Class R6		—			—			(41,976,135	)		(61,977,061	)
Class I		(15,534	)		(8,044	)		(41,573,820	)		(52,650,146	)
Total distributions		(6,704,771	)		(12,456,080	)		(346,304,618	)		(759,124,950	)
Net share transactions (Note 9):
Class III		—			—			(460,144,405	)		320,666,228
Class IV		—			—			435,590,139			(353,772,936	)
Class VI		7,503,226			(54,278,965	)		(18,698,316	)		(765,638,839	)
Class R6		—			—			126,971,013			346,761,814
Class I		233,970			—			563,995,001			83,829,487
Increase (decrease) in net assets resulting from net share transactions		7,737,196			(54,278,965	)		647,713,432			(368,154,246	)
Total increase (decrease) in net assets		10,888,402			(71,872,144	)		2,735,974,953			(1,573,765,400	)
Net assets:
Beginning of period		69,674,059			141,546,203			6,785,404,183			8,359,169,583
End of period	$	80,562,461		$	69,674,059		$	9,521,379,136		$	6,785,404,183

109 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Changes in Net Assets — (Continued)

	Resource Transition Fund						Resources Fund
							Year Ended February 28/29,
	Year Ended February 29, 2024			Period from February 15, 2023 (commencement of operations) through February 28, 2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	9,354,873		$	231,914		$	71,513,294		$	94,755,628
Net realized gain (loss)		(74,373,195	)		(48,994	)		(90,674,730	)		203,861,292
Change in net unrealized appreciation (depreciation)		(36,443,389	)		(24,974,167	)		(244,236,911	)		(297,163,709	)
Net increase (decrease) in net assets from operations		(101,461,711	)		(24,791,247	)		(263,398,347	)		1,453,211
Distributions to shareholders:
Class III		—			—			(13,289,228	)		(24,568,037	)
Class IV		—			—			(25,982,061	)		(39,706,418	)
Class VI		(9,795,717	)		—			(5,158,496	)		(78,893,459	)
Class R6		—			—			(23,782,202	)		(17,754,677	)
Class I		—			—			(43,970,688	)		(75,407,234	)
Total distributions		(9,795,717	)		—			(112,182,675	)		(236,329,825	)
Net share transactions (Note 9):
Class III		—			—			(54,212,744	)		110,861,393
Class IV		—			—			136,763,947			13,307,997
Class VI		(230,534,823	)		485,000,000			61,502,242			(733,868,214	)
Class R6		—			—			264,931,713			229,450,639
Class I		—			—			179,577,502			195,850,083
Increase (decrease) in net assets resulting from net share transactions		(230,534,823	)		485,000,000			588,562,660			(184,398,102	)
Total increase (decrease) in net assets		(341,792,251	)		460,208,753			212,981,638			(419,274,716	)
Net assets:
Beginning of period		460,208,753			—			1,784,277,196			2,203,551,912
End of period	$	118,416,502		$	460,208,753		$	1,997,258,834		$	1,784,277,196

  See accompanying notes to the financial statements. 110

GMO Trust Funds

 

 

Statements of Changes in Net Assets — (Continued)

	Small Cap
	Quality						U.S. Equity
	Fund						Fund
							Year Ended
							February 28/29,
	Year Ended February 29, 2024			Period from September 20, 2022 (commencement of operations) through February 28, 2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	267,668		$	106,100		$	3,471,400		$	5,597,458
Net realized gain (loss)		8,886,376			9,118,120			23,543,352			13,965,336
Change in net unrealized appreciation (depreciation)		12,849,131			10,670,999			15,116,415			(28,175,702	)
Net increase (decrease) in net assets from operations		22,003,175			19,895,219			42,131,167			(8,612,908	)
Distributions to shareholders:
Class III		(1,859,199	)		(1,078,895	)*		(6,363,834	)		(5,157,645	)
Class VI		(6,819,766	)		(6,070,048	)		(25,381,376	)		(23,167,342	)
Class I		(2,833	)		(1,643	)*		—			—
Total distributions		(8,681,798	)		(7,150,586	)		(31,745,210	)		(28,324,987	)
Net share transactions (Note 9):
Class III		2,238,287			14,292,658	*		4,824,102			(24,293,425	)
Class VI		6,675,881			37,919,001			(124,844,064	)		(159,286,298	)
Class I		116,741,682			21,643	*		—			—
Increase (decrease) in net assets resulting from net share transactions		125,655,850			52,233,302			(120,019,962	)		(183,579,723	)
Total increase (decrease) in net assets		138,977,227			64,977,935			(109,634,005	)		(220,517,618	)
Net assets:
Beginning of period		64,977,935			—			244,960,385			465,478,003
End of period	$	203,955,162		$	64,977,935		$	135,326,380		$	244,960,385

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

111 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Changes in Net Assets —  (Continued)

	U.S.
	Opportunistic						U.S. Small
	Value						Cap Value
	Fund						Fund
							Year Ended
							February 28/29,
	Year Ended February 29, 2024			Period from December 13, 2022 (commencement of operations) through February 28, 2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	10,485,449		$	1,629,733		$	603,442		$	2,624,580
Net realized gain (loss)		15,328,741			1,892,866			1,083,918			(4,678,017	)
Change in net unrealized appreciation (depreciation)		38,644,588			(790,524	)		2,563,497			(23,582,842	)
Net increase (decrease) in net assets from operations		64,458,778			2,732,075			4,250,857			(25,636,279	)
Distributions to shareholders:
Class III		(510	)		—			—			—
Class IV		(7,535,647	)		—			—			—
Class VI		(11,806,155	)		(300,214	)		(630,097	)		(18,256,190	)
Class R6		(58,420)*			—			—			—
Class I		(2,483,818	)		—			—			—
Total distributions		(21,884,550	)		(300,214	)		(630,097	)		(18,256,190	)
Net share transactions (Note 9):
Class III		36,826,651			10,000	**		—			—
Class IV		205,945,057			65,500,000	**		—			—
Class VI		(93,252,374	)		210,519,854			1,794,100			(180,490,250	)
Class R6		1,564,101	*		—			—			—
Class I		69,636,889			5,000	**		—			—
Increase (decrease) in net assets resulting from net share transactions		220,720,324			276,034,854			1,794,100			(180,490,250	)
Total increase (decrease) in net assets		263,294,552			278,466,715			5,414,860			(224,382,719	)
Net assets:
Beginning of period		278,466,715			—			29,427,515			253,810,234
End of period	$	541,761,267		$	278,466,715		$	34,842,375		$	29,427,515

* Period from August 28, 2023 (commencement of operations) through February 29, 2024.

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

  See accompanying notes to the financial statements. 112

GMO Trust Funds

 

 

Financial Highlights

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	28.91		$	30.23		$	34.39		$	22.36		$	22.04
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.17			0.25			0.28			0.35			0.41
Net realized and unrealized gain (loss)		(6.86	)		(0.93	)		0.72			13.43			0.87
Total from investment operations		(6.69	)		(0.68	)		1.00			13.78			1.28
Less distributions to shareholders:
From net investment income		(0.24	)		(0.16	)		(0.57	)		(0.30	)		(0.45	)
From net realized gains		—			(0.48	)		(4.59	)		(1.45	)		(0.51	)
Total distributions		(0.24	)		(0.64	)		(5.16	)		(1.75	)		(0.96	)
Net asset value, end of period	$	21.98		$	28.91		$	30.23		$	34.39		$	22.36
Total Return(b)		(23.16	)%		(1.92	)%		2.91	%		63.84	%		5.66	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	308,163		$	330,218		$	306,996		$	178,223		$	121,062
Net expenses to average daily net assets(c)		0.77	%		0.77	%		0.77	%		0.77	%		0.77	%
Net investment income (loss) to average daily net assets(a)		0.69	%		0.90	%		0.84	%		1.39	%		1.84	%
Portfolio turnover rate(d)		57	%		57	%		63	%		84	%		62	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%(e)		0.05	%		0.04	%(e)		0.13	%(e)		0.16	%(e)

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

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

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

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

	February 29, 2024			February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		119	%		124	%		140	%		145	%		173	%

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

† Calculated using average shares outstanding throughout the period.

113 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND (continued)

	Class R6 Shares
	Year Ended February 28/29,												Period from January 16, 2020 (commencement of operations) through February 29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	28.85		$	30.17		$	34.33		$	22.36		$	24.55
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.18			0.25			0.28			0.31			0.01
Net realized and unrealized gain (loss)		(6.87	)		(0.92	)		0.72			13.43			(2.20	)
Total from investment operations		(6.69	)		(0.67	)		1.00			13.74			(2.19	)
Less distributions to shareholders:
From net investment income		(0.23	)		(0.17	)		(0.57	)		(0.32	)		—
From net realized gains		—			(0.48	)		(4.59	)		(1.45	)		—
Total distributions		(0.23	)		(0.65	)		(5.16	)		(1.77	)		—
Net asset value, end of period	$	21.93		$	28.85		$	30.17		$	34.33		$	22.36
Total Return(b)		(23.18	)%		(1.90	)%		2.90	%		63.71	%		(8.92	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	182,235		$	183,089		$	115,014		$	74,961		$	1,129
Net expenses to average daily net assets(c)		0.77	%		0.77	%		0.77	%		0.77	%		0.77	%*
Net investment income (loss) to average daily net assets(a)		0.73	%		0.90	%		0.84	%		1.04	%		0.40	%*
Portfolio turnover rate(d)		57	%		57	%		63	%		84	%		62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%(e)		0.05	%		0.04	%(e)		0.11	%(e)		0.23	%(e)*

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

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

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

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

	February 29, 2024			February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		119	%		124	%		140	%		145	%		173	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 114

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND (continued)

	Class I Shares
	Year Ended February 28/29,												Period from February 25, 2020 (commencement of operations) through February 29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	28.83		$	30.16		$	34.33		$	22.36		$	23.37
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.17			0.22			0.24			0.21			0.01
Net realized and unrealized gain (loss)		(6.87	)		(0.93	)		0.73			13.53			(1.02	)
Total from investment operations		(6.70	)		(0.71	)		0.97			13.74			(1.01	)
Less distributions to shareholders:
From net investment income		(0.19	)		(0.14	)		(0.55	)		(0.32	)		—
From net realized gains		—			(0.48	)		(4.59	)		(1.45	)		—
Total distributions		(0.19	)		(0.62	)		(5.14	)		(1.77	)		—
Net asset value, end of period	$	21.94		$	28.83		$	30.16		$	34.33		$	22.36
Total Return(b)		(23.25	)%		(2.03	)%		2.81	%		63.67	%		(4.32	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	252,363		$	419,552		$	308,143		$	98,697		$	962
Net expenses to average daily net assets(c)		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%*
Net investment income (loss) to average daily net assets(a)		0.65	%		0.79	%		0.72	%		0.66	%		1.93	%*
Portfolio turnover rate(d)		57	%		57	%		63	%		84	%		62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(e)		0.05	%		0.04	%(e)		0.11	%(e)		0.43	%(e)*

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

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

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

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

	February 29, 2024			February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		119	%		124	%		140	%		145	%		173	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

115 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS EX-CHINA FUND

	Class III Shares
	Year Ended February 28/29,						Period from November 17, 2021 (commencement of operations) through February 28,
	2024			2023			2022
Net asset value, beginning of period	$	13.33		$	16.65		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.72			0.72			0.15
Net realized and unrealized gain (loss)		2.44			(3.42	)		(3.37	)
Total from investment operations		3.16			(2.70	)		(3.22	)
Less distributions to shareholders:
From net investment income		(1.02	)		(0.56	)		(0.13	)
From net realized gains		—			(0.06	)		—
Total distributions		(1.02	)		(0.62	)		(0.13	)
Net asset value, end of period	$	15.47		$	13.33		$	16.65
Total Return(b)		24.10	%		(16.04	)%		(16.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	41,481		$	28,548		$	14,810
Net expenses to average daily net assets(c)		0.80	%		0.80	%		0.80	%*
Net investment income (loss) to average daily net assets(a)		5.02	%		5.26	%		2.52	%*
Portfolio turnover rate(d)		84	%		126	%		43	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.11	%(e)		0.08	%		0.16	%*

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

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

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

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

	February 29, 2024			February 28, 2023			February 28, 2022
Portfolio turnover rate including transactions in USTF		123	%		140	%		43	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 116

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS EX-CHINA FUND (continued)

	Class VI Shares
	Year Ended February 28/29,						Period from October 18, 2021 (commencement of operations) through February 28,
	2024			2023			2022
Net asset value, beginning of period	$	13.34		$	16.66		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.78			0.74			0.17
Net realized and unrealized gain (loss)		2.39			(3.43	)		(3.38	)
Total from investment operations		3.17			(2.69	)		(3.21	)
Less distributions to shareholders:
From net investment income		(1.03	)		(0.57	)		(0.13	)
From net realized gains		—			(0.06	)		—
Total distributions		(1.03	)		(0.63	)		(0.13	)
Net asset value, end of period	$	15.48		$	13.34		$	16.66
Total Return(b)		24.22	%		(15.97	)%		(16.15	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	195,810		$	226,245		$	282,287
Net expenses to average daily net assets(c)		0.67	%		0.67	%		0.67	%*
Net investment income (loss) to average daily net assets(a)		5.46	%		5.39	%		2.36	%*
Portfolio turnover rate(d)		84	%		126	%		43	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.15	%(e)		0.12	%		0.20	%*

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

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

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

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

	February 29, 2024			February 28, 2023			February 28, 2022
Portfolio turnover rate including transactions in USTF		123	%		140	%		43	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

117 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND

	Class II Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	21.87		$	29.81		$	36.70		$	30.75		$	32.23
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.31	(b)		1.04			1.21			0.86			1.13
Net realized and unrealized gain (loss)		2.31			(7.23	)		(6.58	)		6.36			(1.02	)
Total from investment operations		3.62			(6.19	)		(5.37	)		7.22			0.11
Less distributions to shareholders:
From net investment income		(1.68	)		(1.75	)		(1.52	)		(1.27	)		(1.59	)
Total distributions		(1.68	)		(1.75	)		(1.52	)		(1.27	)		(1.59	)
Net asset value, end of period	$	23.81		$	21.87		$	29.81		$	36.70		$	30.75
Total Return(c)		17.55	%(d)		(20.78	)%		(15.13	)%		23.89	%		(0.11	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	129,497		$	151,666		$	262,449		$	291,833		$	397,798
Net expenses to average daily net assets(e)		0.96	%		0.95	%		0.92	%		0.93	%		0.93	%
Net investment income (loss) to average daily net assets(a)		5.82	%(b)		4.32	%		3.34	%		2.73	%		3.44	%
Portfolio turnover rate		109	%(f)		128	%(f)		102	%		102	%		100	%(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.10	%(g)		0.05	%		0.03	%		0.07	%(g)		0.13	%(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.02

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

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

February 29,

2024

$456,929

    5.47%

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

(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 29,

2024

0.67%

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

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

	February 29, 2024			February 28, 2023			February 28, 2022		February 28, 2021		February 29, 2020
Portfolio turnover rate including transactions in USTF		138	%		138	%		N/A		N/A		123	%

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

† Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 118

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	21.96		$	29.91		$	36.81		$	30.84		$	32.32
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.45	(b)		1.22			1.27			0.76			1.21
Net realized and unrealized gain (loss)		2.23			(7.42	)		(6.64	)		6.51			(1.09	)
Total from investment operations		3.68			(6.20	)		(5.37	)		7.27			0.12
Less distributions to shareholders:
From net investment income		(1.43	)		(1.75	)		(1.53	)		(1.30	)		(1.60	)
Total distributions		(1.43	)		(1.75	)		(1.53	)		(1.30	)		(1.60	)
Net asset value, end of period	$	24.21		$	21.96		$	29.91		$	36.81		$	30.84
Total Return(c)		17.63	%(d)		(20.73	)%		(15.08	)%		23.99	%		(0.08	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	40		$	72		$	267,177		$	501,907		$	333,779
Net expenses to average daily net assets(e)		0.91	%		0.90	%		0.87	%		0.88	%		0.88	%
Net investment income (loss) to average daily net assets(a)		6.40	%(b)		5.01	%		3.47	%		2.36	%		3.68	%
Portfolio turnover rate		109	%(f)		128	%(f)		102	%		102	%		100	%(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.07	%(g)		0.02	%		0.01	%		0.04	%(g)		0.11	%(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.02

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

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

February 29,

2024

$210

 6.05%

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

(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 29,

2024

0.67%

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

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

	February 29, 2024			February 28, 2023			February 28, 2022		February 28, 2021		February 29, 2020
Portfolio turnover rate including transactions in USTF		138	%		138	%		N/A		N/A		123	%

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

† Calculated using average shares outstanding throughout the period.

119 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class VI Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	21.67		$	29.56		$	36.41		$	30.52		$	32.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.41	(b)		1.14			1.33			0.87			1.23
Net realized and unrealized gain (loss)		2.22			(7.24	)		(6.59	)		6.36			(1.07	)
Total from investment operations		3.63			(6.10	)		(5.26	)		7.23			0.16
Less distributions to shareholders:
From net investment income		(1.73	)		(1.79	)		(1.59	)		(1.34	)		(1.64	)
Total distributions		(1.73	)		(1.79	)		(1.59	)		(1.34	)		(1.64	)
Net asset value, end of period	$	23.57		$	21.67		$	29.56		$	36.41		$	30.52
Total Return(c)		17.77	%(d)		(20.62	)%		(14.98	)%		24.11	%		0.05	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	250,903		$	598,337		$	1,244,914		$	1,787,607		$	2,182,893
Net expenses to average daily net assets(e)		0.78	%		0.77	%		0.74	%		0.75	%		0.75	%
Net investment income (loss) to average daily net assets(a)		6.33	%(b)		4.77	%		3.69	%		2.75	%		3.76	%
Portfolio turnover rate		109	%(f)		128	%(f)		102	%		102	%		100	%(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.11	%(g)		0.06	%		0.05	%		0.08	%(g)		0.15	%(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.02

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

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

February 29,

2024

$1,540,135

    5.99%

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

(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 29,

2024

0.67%

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

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

	February 29, 2024			February 28, 2023			February 28, 2022		February 28, 2021		February 29, 2020
Portfolio turnover rate including transactions in USTF		138	%		138	%		N/A		N/A		123	%

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

† Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 120

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class R6 Shares
	Year Ended February 28/29,									Period from March 31, 2020 (commencement of operations) through February 28,
	2024			2023			2022			2021
Net asset value, beginning of period	$	21.88		$	29.78		$	36.67		$	26.05
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.31	(b)		1.14			1.15			0.72
Net realized and unrealized gain (loss)		2.31			(7.32	)		(6.51	)		11.20
Total from investment operations		3.62			(6.18	)		(5.36	)		11.92
Less distributions to shareholders:
From net investment income		(1.69	)		(1.72	)		(1.53	)		(1.30	)
Total distributions		(1.69	)		(1.72	)		(1.53	)		(1.30	)
Net asset value, end of period	$	23.81		$	21.88		$	29.78		$	36.67
Total Return(c)		17.54	%(d)		(20.76	)%		(15.13	)%		46.24	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	12,317		$	11,042		$	40,197		$	43,664
Net expenses to average daily net assets(e)		0.96	%		0.95	%		0.93	%		0.93	%*
Net investment income (loss) to average daily net assets(a)		5.80	%(b)		4.74	%		3.18	%		2.39	%*
Portfolio turnover rate		109	%(f)		128	%(f)		102	%		102	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.11	%(g)		0.04	%		0.03	%		0.05	%(g)*

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

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

February 29,

2024

$38,968

   5.45%

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

(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 29,

2024

0.67%

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

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

	February 29, 2024			February 28, 2023			February 28, 2022		February 28, 2021
Portfolio turnover rate including transactions in USTF		138	%		138	%		N/A		N/A

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

121 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class I Shares
	Year Ended February 28/29,												Period from January 14, 2020 (commencement of operations) through February 29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	21.83		$	29.75		$	36.66		$	30.75		$	35.29
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.35	(b)		1.06			1.13			0.52			0.00	(c)
Net realized and unrealized gain (loss)		2.25			(7.24	)		(6.52	)		6.68			(4.54	)
Total from investment operations		3.60			(6.18	)		(5.39	)		7.20			(4.54	)
Less distributions to shareholders:
From net investment income		(1.67	)		(1.74	)		(1.52	)		(1.29	)		—
Total distributions		(1.67	)		(1.74	)		(1.52	)		(1.29	)		—
Net asset value, end of period	$	23.76		$	21.83		$	29.75		$	36.66		$	30.75
Total Return(d)		17.48	%(e)		(20.80	)%		(15.20	)%		23.83	%		(12.86	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	65,537		$	86,689		$	119,995		$	79,824		$	16,158
Net expenses to average daily net assets(f)		1.03	%		1.00	%		0.98	%		0.98	%		0.94	%*
Net investment income (loss) to average daily net assets(a)		6.02	%(b)		4.42	%		3.14	%		1.55	%		(0.05	)%*
Portfolio turnover rate		109	%(g)		128	%(g)		102	%		102	%		100	%(g)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.17	%(h)		0.12	%		0.10	%		0.10	%(h)		0.19	%(h)*

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

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

February 29,

2024

$256,866

   5.68%

(c) Rounds to less than $0.01.

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

(e) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 29,

2024

0.67%

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

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

	February 29, 2024			February 28, 2023			February 28, 2022		February 28, 2021		February 29, 2020
Portfolio turnover rate including transactions in USTF		138	%		138	%		N/A		N/A		123	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 122

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	21.64		$	23.00		$	23.32		$	20.09		$	20.33
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.78			0.89			0.96	(b)		0.75	(b)		0.70
Net realized and unrealized gain (loss)		2.78			(1.36	)		0.25			3.51			(0.17	)
Total from investment operations		3.56			(0.47	)		1.21			4.26			0.53
Less distributions to shareholders:
From net investment income		(1.73	)		(0.89	)		(1.53	)		(1.03	)		(0.77	)
Total distributions		(1.73	)		(0.89	)		(1.53	)		(1.03	)		(0.77	)
Net asset value, end of period	$	23.47		$	21.64		$	23.00		$	23.32		$	20.09
Total Return(c)		16.98	%		(1.87	)%		5.08	%(d)		21.60	%(e)		2.29	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	362,473		$	366,630		$	358,775		$	423,332		$	452,165
Net expenses to average daily net assets(f)		0.67	%		0.66	%		0.67	%		0.66	%		0.66	%
Net investment income (loss) to average daily net assets(a)		3.47	%		4.28	%		3.84	%(b)		3.70	%(b)		3.36	%
Portfolio turnover rate(g)		63	%		51	%		64	%		48	%		46	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(h)		0.04	%		0.03	%		0.03	%		0.03	%(h)

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

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

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

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

(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.21%

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

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

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

	February 29,			February 28,			February 28,		February 28,		February 29,
	2024			2023			2022		2021		2020
Portfolio turnover rate including transactions in USTF		83	%		60	%		N/A		N/A		65	%

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

^†  Calculated using average shares outstanding throughout the period.

123 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class IV Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	21.60		$	22.96		$	23.28		$	20.05		$	20.29
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.85			0.92			0.96	(b)		0.77	(b)		0.74
Net realized and unrealized gain (loss)		2.72			(1.38	)		0.26			3.50			(0.20	)
Total from investment operations		3.57			(0.46	)		1.22			4.27			0.54
Less distributions to shareholders:
From net investment income		(1.73	)		(0.90	)		(1.54	)		(1.04	)		(0.78	)
Total distributions		(1.73	)		(0.90	)		(1.54	)		(1.04	)		(0.78	)
Net asset value, end of period	$	23.44		$	21.60		$	22.96		$	23.28		$	20.05
Total Return(c)		17.10	%		(1.82	)%		5.16	%(d)		21.71	%(e)		2.34	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	577,804		$	921,486		$	1,534,339		$	1,765,686		$	2,584,648
Net expenses to average daily net assets(f)		0.61	%		0.60	%		0.61	%		0.60	%		0.60	%
Net investment income (loss) to average daily net assets(a)		3.80	%		4.42	%		3.88	%(b)		3.81	%(b)		3.53	%
Portfolio turnover rate(g)		63	%		51	%		64	%		48	%		46	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(h)		0.04	%		0.03	%		0.03	%		0.03	%(h)

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

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

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

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

(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.21%

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

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

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

	February 29, 2024			February 28, 2023			February 28, 2022		February 28, 2021		February 29, 2020
Portfolio turnover rate including transactions in USTF		83	%		60	%		N/A		N/A		65	%

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

^†  Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 124

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class I Shares
	Year Ended February 28/29,						Period from May 24, 2021 (commencement of operations) through February 28,
	2024			2023			2022
Net asset value, beginning of period	$	21.72		$	23.08		$	25.79
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.68			0.85			0.44	(b)
Net realized and unrealized gain (loss)		2.85			(1.36	)		(2.05	)
Total from investment operations		3.53			(0.51	)		(1.61	)
Less distributions to shareholders:
From net investment income		(1.70	)		(0.85	)		(1.10	)
Total distributions		(1.70	)		(0.85	)		(1.10	)
Net asset value, end of period	$	23.55		$	21.72		$	23.08
Total Return(c)		16.78	%		(2.03	)%		(6.27	)%(d)**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	4,774		$	2,804		$	3,021
Net expenses to average daily net assets(e)		0.84	%		0.83	%		0.89	%*
Net investment income (loss) to average daily net assets(a)		3.01	%		4.08	%		2.35	%(b)*
Portfolio turnover rate(f)		63	%		51	%		64	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(g)		0.04	%		0.03	%*

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

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

February 28,

2022

$2,264

  1.63%

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

(d) EU tax reclaim payments and related interest received during the period, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding 0.16% to Class I’s total return (Note 2). Class I commenced operations on May 24, 2021.

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

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

	February 29,			February 28,			February 28,
	2024			2023			2022
Portfolio turnover rate including transactions in USTF		83	%		60	%		N/A

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

125 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL OPPORTUNISTIC VALUE FUND (FORMERLY TAX-MANAGED INTERNATIONAL EQUITIES FUND)

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	13.17		$	14.30		$	15.98		$	13.57		$	13.82
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.40			0.52			0.63	(b)		0.34			0.46
Net realized and unrealized gain (loss)		1.18			(0.93	)		0.14			2.42			(0.10	)
Total from investment operations		1.58			(0.41	)		0.77			2.76			0.36
Less distributions to shareholders:
From net investment income		(0.28	)		(0.48	)		(0.76	)		(0.35	)		(0.61	)
From net realized gains		(0.13	)		(0.24	)		(1.69	)		—			—
Total distributions		(0.41	)		(0.72	)		(2.45	)		(0.35	)		(0.61	)
Net asset value, end of period	$	14.34		$	13.17		$	14.30		$	15.98		$	13.57
Total Return(c)		12.08	%		(2.42	)%		4.77	%(d)		20.53	%		2.31	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	54,986		$	30,686		$	31,781		$	38,960		$	36,228
Net expenses to average daily net assets(e)		0.68	%		0.68	%		0.84	%(f)		0.73	%		0.80	%
Net investment income (loss) to average daily net assets(a)		2.86	%		4.06	%		3.78	%(b)		2.47	%		3.28	%
Portfolio turnover rate(g)		57	%		93	%		86	%		75	%		52	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.12	%(h)		0.70	%		0.60	%(h)		0.54	%(h)		0.54	%(h)

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

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

February 28,

2022

$61,519

    3.62%

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

(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.14%

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

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

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

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		91	%		134	%		107	%		77	%		65	%

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

† Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 126

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

INTERNATIONAL OPPORTUNISTIC VALUE FUND (FORMERLY TAX-MANAGED INTERNATIONAL EQUITIES FUND) (continued)

	Class IV Shares
	Period from September 25, 2023 (commencement of operations) through February 29,
	2024
Net asset value, beginning of period	$	13.92
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.13
Net realized and unrealized gain (loss)		0.68
Total from investment operations		0.81
Less distributions to shareholders:
From net investment income		(0.29	)
From net realized gains		(0.13	)
Total distributions		(0.42	)
Net asset value, end of period	$	14.31
Total Return(b)		5.85	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	308,786
Net expenses to average daily net assets(c)		0.64	%*
Net investment income (loss) to average daily net assets(a)		2.12	%*
Portfolio turnover rate(d)		57	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.10	%(e)*

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

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

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

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

	February 29, 2024
Portfolio turnover rate including transactions in USTF		91	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

127 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

INTERNATIONAL OPPORTUNISTIC VALUE FUND (FORMERLY TAX-MANAGED INTERNATIONAL EQUITIES FUND) (continued)

	Class I Shares
	Period from August 14, 2023 (commencement of operations) through February 29,
	2024
Net asset value, beginning of period	$	13.92
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.15
Net realized and unrealized gain (loss)		0.64
Total from investment operations		0.79
Less distributions to shareholders:
From net investment income		(0.27	)
From net realized gains		(0.13	)
Total distributions		(0.40	)
Net asset value, end of period	$	14.31
Total Return(b)		5.72	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	54
Net expenses to average daily net assets(c)		0.78	%*
Net investment income (loss) to average daily net assets(a)		2.02	%*
Portfolio turnover rate(d)		57	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.10	%(e)*

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

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

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

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

	February 29,
	2024
Portfolio turnover rate including transactions in USTF		91	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

^** Not annualized.

  See accompanying notes to the financial statements. 128

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND

	Class III Shares
							Period from
							December 30, 2021
							(commencement
							of operations)
	Year Ended February 28/29,						through February 28,
	2024			2023			2022
Net asset value, beginning of period	$	16.86		$	19.71		$	19.81
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.37			0.39			(0.03	)
Net realized and unrealized gain (loss)		3.30			(2.27	)		(0.07	)
Total from investment operations		3.67			(1.88	)		(0.10	)
Less distributions to shareholders:
From net investment income		(0.86	)		(0.16	)		—
From net realized gains		—			(0.81	)		—
Total distributions		(0.86	)		(0.97	)		—
Net asset value, end of period	$	19.67		$	16.86		$	19.71
Total Return(b)		22.17	%		(9.21	)%		(0.50	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	29,049		$	24,808		$	23,673
Net expenses to average daily net assets(c)		0.67	%		0.67	%		0.66	%*
Net investment income (loss) to average daily net assets(a)		2.03	%		2.37	%		(0.55	)%*
Portfolio turnover rate		33	%		39	%		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.16	%		0.15	%		0.15	%*

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

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

129 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND (continued)

	Class VI Shares
										Period from
										September 14, 2020
										(commencement
										of operations)
	Year Ended February 28/29,									through
										February 28,
	2024			2023			2022			2021
Net asset value, beginning of period	$	16.87		$	19.71		$	23.47		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.42			0.41			0.43			0.17
Net realized and unrealized gain (loss)		3.26			(2.27	)		(0.71	)		3.59
Total from investment operations		3.68			(1.86	)		(0.28	)		3.76
Less distributions to shareholders:
From net investment income		(0.88	)		(0.17	)		(1.50	)		(0.28	)
From net realized gains		—			(0.81	)		(1.98	)		(0.01	)
Total distributions		(0.88	)		(0.98	)		(3.48	)		(0.29	)
Net asset value, end of period	$	19.67		$	16.87		$	19.71		$	23.47
Total Return(b)		22.21	%		(9.11	)%		(1.45	)%		18.82	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	82,521		$	81,148		$	133,035		$	163,872
Net expenses to average daily net assets(c)		0.58	%		0.57	%		0.57	%		0.56	%*
Net investment income (loss) to average daily net assets(a)		2.28	%		2.48	%		1.90	%		1.68	%*
Portfolio turnover rate		33	%		39	%		47	%		28	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.16	%		0.14	%		0.08	%		0.23	%*

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

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 130

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND (continued)

	Class I Shares
							Period from
							June 7, 2021
							(commencement
							of operations)
	Year Ended February 28/29,						through February 28,
	2024			2023			2022
Net asset value, beginning of period	$	16.85		$	19.69		$	24.95
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.24			0.42			0.12
Net realized and unrealized gain (loss)		3.41			(2.32	)		(1.91	)(b)
Total from investment operations		3.65			(1.90	)		(1.79	)
Less distributions to shareholders:
From net investment income		(0.86	)		(0.13	)		(1.49	)
From net realized gains		—			(0.81	)		(1.98	)
Total distributions		(0.86	)		(0.94	)		(3.47	)
Net asset value, end of period	$	19.64		$	16.85		$	19.69
Total Return(c)		22.03	%		(9.32	)%		(7.43	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	6,402		$	1,549		$	3,107
Net expenses to average daily net assets(d)		0.78	%		0.77	%		0.77	%*
Net investment income (loss) to average daily net assets(a)		1.33	%		2.54	%		0.79	%*
Portfolio turnover rate		33	%		39	%		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.18	%		0.19	%		0.12	%*

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

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

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

131 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY CYCLICALS FUND

	Class VI Shares
										Period from
										May 12, 2020
										(commencement
										of operations)
	Year Ended February 28/29,									through
										February 28,
	2024			2023			2022			2021
Net asset value, beginning of period	$	21.99		$	25.77		$	29.06		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.35			0.42			0.64			0.38
Net realized and unrealized gain (loss)		2.59			(1.61	)		2.24			10.23
Total from investment operations		2.94			(1.19	)		2.88			10.61
Less distributions to shareholders:
From net investment income		(0.41	)		(0.59	)		(0.84	)		(0.60	)
From net realized gains		(1.67	)		(2.00	)		(5.33	)		(0.95	)
Total distributions		(2.08	)		(2.59	)		(6.17	)		(1.55	)
Net asset value, end of period	$	22.85		$	21.99		$	25.77		$	29.06
Total Return(b)		14.05	%		(3.67	)%		10.22	%		53.56	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	80,235		$	69,605		$	141,465		$	141,989
Net expenses to average daily net assets(c)		0.41	%		0.40	%		0.40	%		0.40	%*
Net investment income (loss) to average daily net assets(a)		1.57	%		1.90	%		2.20	%		1.92	%*
Portfolio turnover rate(d)		19	%		17	%		22	%		65	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.17	%(e)		0.15	%		0.08	%		0.20	%*

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

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

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

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

	February 29, 2024			February 28, 2023			February 28, 2022			February 28, 2021
Portfolio turnover rate including transactions in USTF		33	%		29	%		27	%		70	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 132

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY CYCLICALS FUND (continued)

	Class I Shares
							Period from
							July 16, 2021
							(commencement
							of operations)
	Year Ended February 28/29,						through
							February 28,
	2024			2023			2022
Net asset value, beginning of period	$	21.99		$	25.76		$	28.45
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.32			0.38			0.34
Net realized and unrealized gain (loss)		2.57			(1.60	)		(0.05	)(b)
Total from investment operations		2.89			(1.22	)		0.29
Less distributions to shareholders:
From net investment income		(0.39	)		(0.55	)		(0.47	)
From net realized gains		(1.67	)		(2.00	)		(2.51	)
Total distributions		(2.06	)		(2.55	)		(2.98	)
Net asset value, end of period	$	22.82		$	21.99		$	25.76
Total Return(c)		13.80	%		(3.84	)%		1.42	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	327		$	70		$	81
Net expenses to average daily net assets(d)		0.61	%		0.60	%		0.59	%*
Net investment income (loss) to average daily net assets(a)		1.44	%		1.70	%		1.92	%*
Portfolio turnover rate(e)		19	%		17	%		22	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.18	%(f)		0.15	%		0.08	%*

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

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

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

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

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

	February 29,			February 28,			February 28,
	2024			2023			2022
Portfolio turnover rate including transactions in USTF		33	%		29	%		27	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

133 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	23.76		$	28.05		$	25.98		$	22.77		$	22.28
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.29			0.29			0.33	(b)		0.32			0.35
Net realized and unrealized gain (loss)		8.17			(1.80	)		3.56			6.37			2.15
Total from investment operations		8.46			(1.51	)		3.89			6.69			2.50
Less distributions to shareholders:
From net investment income		(0.28	)		(0.30	)		(0.32	)		(0.35	)		(0.36	)
From net realized gains		(0.94	)		(2.48	)		(1.50	)		(3.13	)		(1.65	)
Total distributions		(1.22	)		(2.78	)		(1.82	)		(3.48	)		(2.01	)
Net asset value, end of period	$	31.00		$	23.76		$	28.05		$	25.98		$	22.77
Total Return(c)		36.15	%		(5.30	)%		14.71	%(d)		30.83	%		10.64	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	3,211,663		$	2,885,807		$	2,996,330		$	3,519,473		$	3,195,240
Net expenses to average daily net assets(e)		0.50	%		0.49	%		0.48	%		0.48	%		0.48	%
Net investment income (loss) to average daily net assets(a)		1.06	%		1.14	%		1.12	%(b)		1.33	%		1.44	%
Portfolio turnover rate(f)		19	%		15	%		18	%		28	%		17	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.01	%(g)		0.02	%		0.02	%(g)		0.02	%(g)		0.02	%(g)

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

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

February 28, 2022

$6,233,641

    0.94%

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

(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

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

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

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		31	%		24	%		18	%		28	%		17	%

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

† Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 134

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class IV Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	23.84		$	28.13		$	26.04		$	22.82		$	22.32
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.31			0.30			0.32	(b)		0.34			0.37
Net realized and unrealized gain (loss)		8.18			(1.80	)		3.60			6.37			2.14
Total from investment operations		8.49			(1.50	)		3.92			6.71			2.51
Less distributions to shareholders:
From net investment income		(0.29	)		(0.31	)		(0.33	)		(0.36	)		(0.36	)
From net realized gains		(0.94	)		(2.48	)		(1.50	)		(3.13	)		(1.65	)
Total distributions		(1.23	)		(2.79	)		(1.83	)		(3.49	)		(2.01	)
Net asset value, end of period	$	31.10		$	23.84		$	28.13		$	26.04		$	22.82
Total Return(c)		36.17	%		(5.23	)%		14.79	%(d)		30.86	%		10.70	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,028,173		$	418,403		$	912,163		$	750,632		$	852,866
Net expenses to average daily net assets(e)		0.46	%		0.45	%		0.44	%		0.44	%		0.44	%
Net investment income (loss) to average daily net assets(a)		1.10	%		1.19	%		1.08	%(b)		1.37	%		1.52	%
Portfolio turnover rate(f)		19	%		15	%		18	%		28	%		17	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.01	%(g)		0.02	%		0.02	%(g)		0.02	%(g)		0.02	%(g)

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

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

February 28,

2022

$1,577,219

    0.91%

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

(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

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

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

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		31	%		24	%		18	%		28	%		17	%

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

† Calculated using average shares outstanding throughout the period.

135 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class VI Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	23.76		$	28.06		$	25.98		$	22.77		$	22.28
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.32			0.32			0.34	(b)		0.35			0.37
Net realized and unrealized gain (loss)		8.18			(1.82	)		3.60			6.37			2.15
Total from investment operations		8.50			(1.50	)		3.94			6.72			2.52
Less distributions to shareholders:
From net investment income		(0.31	)		(0.32	)		(0.36	)		(0.38	)		(0.38	)
From net realized gains		(0.94	)		(2.48	)		(1.50	)		(3.13	)		(1.65	)
Total distributions		(1.25	)		(2.80	)		(1.86	)		(3.51	)		(2.03	)
Net asset value, end of period	$	31.01		$	23.76		$	28.06		$	25.98		$	22.77
Total Return(c)		36.32	%		(5.24	)%		14.86	%(d)		30.95	%		10.73	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	2,875,207		$	2,224,691		$	3,461,580		$	2,465,066		$	2,077,277
Net expenses to average daily net assets(e)		0.41	%		0.40	%		0.39	%		0.39	%		0.39	%
Net investment income (loss) to average daily net assets(a)		1.16	%		1.24	%		1.16	%(b)		1.41	%		1.55	%
Portfolio turnover rate(f)		19	%		15	%		18	%		28	%		17	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.01	%(g)		0.02	%		0.02	%(g)		0.02	%(g)		0.02	%(g)

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

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

February 28,

2022

$5,862,655

    0.99%

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

(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

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

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

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		31	%		24	%		18	%		28	%		17	%

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

^† Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 136

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class R6 Shares
													Period from
													November 12, 2019
													(commencement
													of operations)
													through
	Year Ended February 28/29,												February 29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	23.73		$	28.02		$	25.96		$	22.76		$	25.21
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.29			0.28			0.32	(b)		0.30			0.10
Net realized and unrealized gain (loss)		8.16			(1.79	)		3.57			6.39			(0.83	)
Total from investment operations		8.45			(1.51	)		3.89			6.69			(0.73	)
Less distributions to shareholders:
From net investment income		(0.29	)		(0.30	)		(0.33	)		(0.36	)		(0.32	)
From net realized gains		(0.94	)		(2.48	)		(1.50	)		(3.13	)		(1.40	)
Total distributions		(1.23	)		(2.78	)		(1.83	)		(3.49	)		(1.72	)
Net asset value, end of period	$	30.95		$	23.73		$	28.02		$	25.96		$	22.76
Total Return(c)		36.14	%		(5.29	)%		14.71	%(d)		30.81	%		(3.39	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,142,543		$	769,960		$	507,232		$	330,287		$	77,375
Net expenses to average daily net assets(e)		0.49	%		0.48	%		0.48	%		0.48	%		0.49	%*
Net investment income (loss) to average daily net assets(a)		1.07	%		1.12	%		1.07	%(b)		1.22	%		1.31	%*
Portfolio turnover rate(f)		19	%		15	%		18	%		28	%		17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.02	%(g)		0.03	%		0.02	%(g)		0.02	%(g)		0.02	%(g)*

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

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

February 28,

2022

$822,832

    0.89%

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

(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

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

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

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		31	%		24	%		18	%		28	%		17	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

137 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class I Shares
													Period from
													September 26, 2019
													(commencement
													of operations)
	Year Ended February 28/29,												through
													February 29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	23.70		$	27.99		$	25.93		$	22.75		$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.27			0.26			0.28	(b)		0.28			0.12
Net realized and unrealized gain (loss)		8.14			(1.80	)		3.58			6.37			0.39
Total from investment operations		8.41			(1.54	)		3.86			6.65			0.51
Less distributions to shareholders:
From net investment income		(0.27	)		(0.27	)		(0.30	)		(0.34	)		(0.31	)
From net realized gains		(0.94	)		(2.48	)		(1.50	)		(3.13	)		(1.40	)
Total distributions		(1.21	)		(2.75	)		(1.80	)		(3.47	)		(1.71	)
Net asset value, end of period	$	30.90		$	23.70		$	27.99		$	25.93		$	22.75
Total Return(c)		36.02	%		(5.40	)%		14.62	%(d)		30.66	%		1.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,263,793		$	486,544		$	481,865		$	303,447		$	80,110
Net expenses to average daily net assets(e)		0.59	%		0.58	%		0.58	%		0.58	%		0.57	%*
Net investment income (loss) to average daily net assets(a)		0.96	%		1.04	%		0.96	%(b)		1.12	%		1.13	%*
Portfolio turnover rate(f)		19	%		15	%		18	%		28	%		17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(g)		0.04	%		0.04	%(g)		0.02	%(g)		0.02	%(g)*

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

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

February 28,

2022

$779,657

    0.79%

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

(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

  0.20%

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

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

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		31	%		24	%		18	%		28	%		17	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 138

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCE TRANSITION FUND

	Class VI Shares
				Period from
				February 15, 2023
				(commencement
				of operations)
	Year Ended			through
	February 29,			February 28,
	2024			2023
Net asset value, beginning of period	$	18.98		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.45			0.01
Net realized and unrealized gain (loss)		(5.21	)		(1.03	)
Total from investment operations		(4.76	)		(1.02	)
Less distributions to shareholders:
From net investment income		(0.79	)		—
Total distributions		(0.79	)		—
Net asset value, end of period	$	13.43		$	18.98
Total Return(b)		(25.58	)%		(5.10	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	118,417		$	460,209
Net expenses to average daily net assets(c)		0.86	%		0.86	%*
Net investment income (loss) to average daily net assets(a)		2.70	%		1.39	%*
Portfolio turnover rate(d)		84	%		0	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.08	%(e)		0.73	%*

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

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

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

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

	February 29,			February 28,
	2024			2023
Portfolio turnover rate including transactions in USTF		98	%		2	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

139 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	25.06		$	28.39		$	27.81		$	18.11		$	20.31
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.91			1.13			1.54			0.48			0.65
Net realized and unrealized gain (loss)		(3.95	)		(1.74	)		2.00			10.13			(2.22	)
Total from investment operations		(3.04	)		(0.61	)		3.54			10.61			(1.57	)
Less distributions to shareholders:
From net investment income		(0.87	)		(1.10	)		(1.35	)		(0.47	)		(0.63	)
From net realized gains		(0.48	)		(1.62	)		(1.61	)		(0.44	)		—
Total distributions		(1.35	)		(2.72	)		(2.96	)		(0.91	)		(0.63	)
Net asset value, end of period	$	20.67		$	25.06		$	28.39		$	27.81		$	18.11
Total Return(b)		(12.67	)%		(1.47	)%		13.29	%		59.36	%		(8.14	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	223,995		$	322,035		$	239,225		$	96,091		$	201,320
Net expenses to average daily net assets(c)		0.72	%		0.72	%		0.71	%		0.72	%		0.73	%
Net investment income (loss) to average daily net assets(a)		3.94	%		4.26	%		5.32	%		2.44	%		3.24	%
Portfolio turnover rate(d)		60	%		65	%		60	%		86	%		37	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.00	%(e)(f)		—			—			0.00	%(e)(f)		0.00	%(e)(f)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.01

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

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

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

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

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		105	%		72	%		60	%		89	%		101	%

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

(f) Rounds to less than 0.01%.

^†  Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 140

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class IV Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	24.98		$	28.30		$	27.73		$	18.06		$	20.24
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.87			1.13			1.79			0.47			0.68
Net realized and unrealized gain (loss)		(3.89	)		(1.72	)		1.76			10.12			(2.22	)
Total from investment operations		(3.02	)		(0.59	)		3.55			10.59			(1.54	)
Less distributions to shareholders:
From net investment income		(0.89	)		(1.11	)		(1.37	)		(0.48	)		(0.64	)
From net realized gains		(0.48	)		(1.62	)		(1.61	)		(0.44	)		—
Total distributions		(1.37	)		(2.73	)		(2.98	)		(0.92	)		(0.64	)
Net asset value, end of period	$	20.59		$	24.98		$	28.30		$	27.73		$	18.06
Total Return(b)		(12.64	)%		(1.40	)%		13.34	%		59.42	%		(8.03	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	403,197		$	344,000		$	383,353		$	531,006		$	311,515
Net expenses to average daily net assets(c)		0.67	%		0.67	%		0.65	%		0.67	%		0.68	%
Net investment income (loss) to average daily net assets(a)		3.81	%		4.32	%		6.21	%		2.33	%		3.40	%
Portfolio turnover rate(d)		60	%		65	%		60	%		86	%		37	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.00	%(e)(f)		—			—			0.00	%(e)(f)		0.00	%(e)(f)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.01

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

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

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

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

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		105	%		72	%		60	%		89	%		101	%

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

(f) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

141 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class VI Shares
							Period from
							February 8, 2022
							(commencement
							of operations)
							through
	Year Ended February 28/29,						February 28,
	2024			2023			2022
Net asset value, beginning of period	$	24.96		$	28.30		$	29.11
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.78			1.10			(0.57	)
Net realized and unrealized gain (loss)		(3.78	)		(1.69	)		(0.24	)(b)
Total from investment operations		(3.00	)		(0.59	)		(0.81	)
Less distributions to shareholders:
From net investment income		(0.88	)		(1.13	)		—
From net realized gains		(0.48	)		(1.62	)		—
Total distributions		(1.36	)		(2.75	)		—
Net asset value, end of period	$	20.60		$	24.96		$	28.30
Total Return(c)		(12.57	)%		(1.39	)%		(2.78	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	109,235		$	65,869		$	842,698
Net expenses to average daily net assets(d)		0.62	%		0.62	%		0.74	%*
Net investment income (loss) to average daily net assets(a)		3.46	%		4.21	%		(35.65	)%*
Portfolio turnover rate(e)		60	%		65	%		60	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.00	%(f)(g)		—			—

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

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

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

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

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

	February 29,			February 28,			February 28,
	2024			2023			2022
Portfolio turnover rate including transactions in USTF		105	%		72	%		60	%

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

(g) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 142

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class R6 Shares
										Period from
										January 22, 2021
										(commencement
										of operations)
										through
	Year Ended February 28/29,									February 28,
	2024			2023			2022			2021
Net asset value, beginning of period	$	25.04		$	28.37		$	27.82		$	27.44
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.79			1.10			(0.06	)		0.03
Net realized and unrealized gain (loss)		(3.82	)		(1.71	)		3.59			0.35
Total from investment operations		(3.03	)		(0.61	)		3.53			0.38
Less distributions to shareholders:
From net investment income		(0.89	)		(1.10	)		(1.37	)		—
From net realized gains		(0.48	)		(1.62	)		(1.61	)		—
Total distributions		(1.37	)		(2.72	)		(2.98	)		—
Net asset value, end of period	$	20.64		$	25.04		$	28.37		$	27.82
Total Return(b)		(12.67	)%		(1.43	)%		13.25	%		1.38	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	497,523		$	315,904		$	105,086		$	2,617
Net expenses to average daily net assets(c)		0.72	%		0.72	%		0.74	%		0.71	%*
Net investment income (loss) to average daily net assets(a)		3.47	%		4.21	%		(0.20	)%		0.98	%*
Portfolio turnover rate(d)		60	%		65	%		60	%		86	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.00	%(e)(f)		—			—			—

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

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

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

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

	February 29,			February 28,			February 28,			February 28,
	2024			2023			2022			2021
Portfolio turnover rate including transactions in USTF		105	%		72	%		60	%		89	%

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

(f) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

143 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class I Shares
										Period from
										January 22, 2021
										(commencement
										of operations)
										through
	Year Ended February 28/29,									February 28,
	2024			2023			2022			2021
Net asset value, beginning of period	$	25.06		$	28.39		$	27.81		$	27.44
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.86			1.08			1.25			0.02
Net realized and unrealized gain (loss)		(3.91	)		(1.72	)		2.27			0.35
Total from investment operations		(3.05	)		(0.64	)		3.52			0.37
Less distributions to shareholders:
From net investment income		(0.86	)		(1.07	)		(1.33	)		—
From net realized gains		(0.48	)		(1.62	)		(1.61	)		—
Total distributions		(1.34	)		(2.69	)		(2.94	)		—
Net asset value, end of period	$	20.67		$	25.06		$	28.39		$	27.81
Total Return(b)		(12.73	)%		(1.55	)%		13.19	%		1.35	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	763,309		$	736,470		$	633,189		$	369,102
Net expenses to average daily net assets(c)		0.82	%		0.82	%		0.81	%		0.81	%*
Net investment income (loss) to average daily net assets(a)		3.76	%		4.11	%		4.32	%		0.74	%*
Portfolio turnover rate(d)		60	%		65	%		60	%		86	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%(e)		0.03	%		—			—

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

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

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

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

	February 29,			February 28,			February 28,			February 28,
	2024			2023			2022			2021
Portfolio turnover rate including transactions in USTF		105	%		72	%		60	%		89	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 144

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

SMALL CAP QUALITY FUND

	Class III Shares
				Period from
				November 15, 2022
				(commencement
				of operations)
	Year Ended			through
	February 29,			February 28,
	2024			2023
Net asset value, beginning of period	$	22.12		$	22.96
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.06			0.01
Net realized and unrealized gain (loss)		5.14			1.03
Total from investment operations		5.20			1.04
Less distributions to shareholders:
From net investment income		(0.06	)		(0.01	)
From net realized gains		(2.87	)		(1.87	)
Total distributions		(2.93	)		(1.88	)
Net asset value, end of period	$	24.39		$	22.12
Total Return(b)		24.95	%		4.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	17,315		$	13,391
Net expenses to average daily net assets(c)		0.75	%		0.75	%*
Net investment income (loss) to average daily net assets(a)		0.25	%		0.19	%*
Portfolio turnover rate(d)		37	%		77	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.21	%(e)		0.85	%*

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

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

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

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

	February 29,			February 28,
	2024			2023
Portfolio turnover rate including transactions in USTF		61	%		78	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

145 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

SMALL CAP QUALITY FUND (continued)

	Class VI Shares
				Period from
				September 20, 2022
				(commencement
				of operations)
	Year Ended			through
	February 29,			February 28,
	2024			2023
Net asset value, beginning of period	$	22.13		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.08			0.02
Net realized and unrealized gain (loss)		5.15			4.00
Total from investment operations		5.23			4.02
Less distributions to shareholders:
From net investment income		(0.07	)		(0.02	)
From net realized gains		(2.88	)		(1.87	)
Total distributions		(2.95	)		(1.89	)
Net asset value, end of period	$	24.41		$	22.13
Total Return(b)		25.06	%		20.10	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	64,312		$	51,566
Net expenses to average daily net assets(c)		0.66	%		0.66	%*
Net investment income (loss) to average daily net assets(a)		0.34	%		0.25	%*
Portfolio turnover rate(d)		37	%		77	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.21	%(e)		0.39	%*

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

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

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

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

	February 29,			February 28,
	2024			2023
Portfolio turnover rate including transactions in USTF		61	%		78	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 146

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

SMALL CAP QUALITY FUND (continued)

	Class I Shares
				Period from
				November 15, 2022
				(commencement
				of operations)
	Year Ended			through
	February 29,			February 28,
	2024			2023
Net asset value, beginning of period	$	22.11		$	22.96
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.08			0.01
Net realized and unrealized gain (loss)		5.12			1.02
Total from investment operations		5.20			1.03
Less distributions to shareholders:
From net investment income		(0.05	)		(0.01	)
From net realized gains		(2.88	)		(1.87	)
Total distributions		(2.93	)		(1.88	)
Net asset value, end of period	$	24.38		$	22.11
Total Return(b)		24.93	%		4.51	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	122,328		$	21
Net expenses to average daily net assets(c)		0.75	%		0.75	%*
Net investment income (loss) to average daily net assets(a)		0.35	%		0.09	%*
Portfolio turnover rate(d)		37	%		77	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.31	%(e)		0.61	%*

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

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

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

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

	February 29,			February 28,
	2024			2023
Portfolio turnover rate including transactions in USTF		61	%		78	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

147 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. EQUITY FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	12.54		$	13.69		$	14.39		$	11.89		$	13.07
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.18			0.17			0.21			0.18			0.22
Net realized and unrealized gain (loss)		2.69			(0.45	)		2.13			3.56			0.21
Total from investment operations		2.87			(0.28	)		2.34			3.74			0.43
Less distributions to shareholders:
From net investment income		(0.17	)		(0.17	)		(0.19	)		(0.21	)		(0.32	)
From net realized gains		(1.40	)		(0.70	)		(2.85	)		(1.03	)		(1.29	)
Total distributions		(1.57	)		(0.87	)		(3.04	)		(1.24	)		(1.61	)
Net asset value, end of period	$	13.84		$	12.54		$	13.69		$	14.39		$	11.89
Total Return(b)		24.56	%		(1.63	)%		15.80	%		33.74	%		2.51	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	60,657		$	50,114		$	80,646		$	105,656		$	83,738
Net expenses to average daily net assets(c)		0.48	%		0.47	%		0.46	%		0.47	%		0.46	%
Net investment income (loss) to average daily net assets(a)		1.44	%		1.38	%		1.34	%		1.47	%		1.64	%
Portfolio turnover rate(d)		88	%		81	%		94	%		66	%		72	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%(e)		0.05	%		0.04	%(e)		0.04	%(e)		0.03	%(e)

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

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

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

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

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		91	%		91	%		115	%		81	%		88	%

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

† Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 148

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. EQUITY FUND (continued)

	Class VI Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	12.38		$	13.52		$	14.25		$	11.78		$	12.97
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.20			0.18			0.22			0.19			0.23
Net realized and unrealized gain (loss)		2.63			(0.44	)		2.11			3.53			0.20
Total from investment operations		2.83			(0.26	)		2.33			3.72			0.43
Less distributions to shareholders:
From net investment income		(0.18	)		(0.18	)		(0.21	)		(0.22	)		(0.33	)
From net realized gains		(1.40	)		(0.70	)		(2.85	)		(1.03	)		(1.29	)
Total distributions		(1.58	)		(0.88	)		(3.06	)		(1.25	)		(1.62	)
Net asset value, end of period	$	13.63		$	12.38		$	13.52		$	14.25		$	11.78
Total Return(b)		24.59	%		(1.47	)%		15.89	%		33.92	%		2.53	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	74,670		$	194,846		$	384,832		$	245,547		$	365,693
Net expenses to average daily net assets(c)		0.39	%		0.38	%		0.37	%		0.37	%		0.37	%
Net investment income (loss) to average daily net assets(a)		1.56	%		1.47	%		1.42	%		1.56	%		1.75	%
Portfolio turnover rate(d)		88	%		81	%		94	%		66	%		72	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%(e)		0.05	%		0.04	%(e)		0.04	%(e)		0.03	%(e)

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

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

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

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

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		91	%		91	%		115	%		81	%		88	%

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

† Calculated using average shares outstanding throughout the period.

149 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. OPPORTUNISTIC VALUE FUND

	Class III Shares
				Period from
				February 15, 2023
				(commencement
				of operations)
	Year Ended			through
	February 29,			February 28,
	2024			2023
Net asset value, beginning of period	$	20.20		$	21.07
Income (loss) from investment operations:
Net investment income (loss)(a)†		2.38			0.02
Net realized and unrealized gain (loss)		0.58			(0.89	)(b)
Total from investment operations		2.96			(0.87	)
Less distributions to shareholders:
From net investment income		(0.41	)		—
From net realized gains		(0.65	)		—
Total distributions		(1.06	)		—
Net asset value, end of period	$	22.10		$	20.20
Total Return(c)		15.20	%		(4.13	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	36,989		$	10
Net expenses to average daily net assets(d)		0.49	%		0.47	%*
Net investment income (loss) to average daily net assets(a)		10.90	%		2.30	%*
Portfolio turnover rate(e)		71	%		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(f)		0.48	%*

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

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

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

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

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

	February 29,			February 28,
	2024			2023
Portfolio turnover rate including transactions in USTF		100	%		77	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 150

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. OPPORTUNISTIC VALUE FUND (continued)

	Class IV Shares
				Period from
				February 15, 2023
				(commencement
				of operations)
	Year Ended			through
	February 29,			February 28,
	2024			2023
Net asset value, beginning of period	$	20.20		$	21.07
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.54			0.01
Net realized and unrealized gain (loss)		2.43			(0.88	)(b)
Total from investment operations		2.97			(0.87	)
Less distributions to shareholders:
From net investment income		(0.47	)		—
From net realized gains		(0.65	)		—
Total distributions		(1.12	)		—
Net asset value, end of period	$	22.05		$	20.20
Total Return(c)		15.26	%		(4.13	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	285,242		$	62,784
Net expenses to average daily net assets(d)		0.43	%		0.42	%*
Net investment income (loss) to average daily net assets(a)		2.63	%		1.94	%*
Portfolio turnover rate(e)		71	%		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(f)		0.49	%*

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

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

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

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

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

	February 29,			February 28,
	2024			2023
Portfolio turnover rate including transactions in USTF		100	%		77	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

151 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. OPPORTUNISTIC VALUE FUND (continued)

	Class VI Shares
				Period from
				December 13, 2022
				(commencement
				of operations)
	Year Ended			through
	February 29,			February 28,
	2024			2023
Net asset value, beginning of period	$	20.19		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.54			0.12
Net realized and unrealized gain (loss)		2.46			0.10
Total from investment operations		3.00			0.22
Less distributions to shareholders:
From net investment income		(0.48	)		(0.03	)
From net realized gains		(0.65	)		—
Total distributions		(1.13	)		(0.03	)
Net asset value, end of period	$	22.06		$	20.19
Total Return(b)		15.39	%		1.10	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	143,697		$	215,668
Net expenses to average daily net assets(c)		0.39	%		0.38	%*
Net investment income (loss) to average daily net assets(a)		2.67	%		2.79	%*
Portfolio turnover rate(d)		71	%		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(e)		0.28	%*

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

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

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

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

	February 29,			February 28,
	2024			2023
Portfolio turnover rate including transactions in USTF		100	%		77	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 152

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

U.S. OPPORTUNISTIC VALUE FUND (continued)

	Class R6 Shares
	Period from
	August 28, 2023
	(commencement
	of operations)
	through
	February 29,
	2024
Net asset value, beginning of period	$	20.22
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.28
Net realized and unrealized gain (loss)		2.25
Total from investment operations		2.53
Less distributions to shareholders:
From net investment income		(0.39	)
From net realized gains		(0.33	)
Total distributions		(0.72	)
Net asset value, end of period	$	22.03
Total Return(b)		12.85	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,733
Net expenses to average daily net assets(c)		0.48	%*
Net investment income (loss) to average daily net assets(a)		2.66	%*
Portfolio turnover rate(d)		71	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(e)*

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

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

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

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

	February 29, 2024
Portfolio turnover rate including transactions in USTF		100	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

153 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. OPPORTUNISTIC VALUE FUND (continued)

	Class I Shares
				Period from
				February 15, 2023
				(commencement
				of operations)
	Year Ended			through
	February 29,			February 28,
	2024			2023
Net asset value, beginning of period	$	20.20		$	21.07
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.51			0.01
Net realized and unrealized gain (loss)		2.44			(0.88	)(b)
Total from investment operations		2.95			(0.87	)
Less distributions to shareholders:
From net investment income		(0.47	)		—
From net realized gains		(0.65	)		—
Total distributions		(1.12	)		—
Net asset value, end of period	$	22.03		$	20.20
Total Return(c)		15.14	%		(4.13	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	74,100		$	5
Net expenses to average daily net assets(d)		0.59	%		0.57	%*
Net investment income (loss) to average daily net assets(a)		2.50	%		1.73	%*
Portfolio turnover rate(e)		71	%		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%(f)		0.47	%*

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

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

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

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

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

	February 29,			February 28,
	2024			2023
Portfolio turnover rate including transactions in USTF		100	%		77	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 154

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. SMALL CAP VALUE FUND

	Class VI Shares
	Year Ended February 28/29,												Period from July 2, 2019 (commencement of operations) through February 29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	17.19		$	19.74		$	24.99		$	18.06		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.34			0.30			0.33			0.30			0.23
Net realized and unrealized gain (loss)		1.91			(1.08	)		2.89			6.96			(1.99	)
Total from investment operations		2.25			(0.78	)		3.22			7.26			(1.76	)
Less distributions to shareholders:
From net investment income		(0.35	)		(0.45	)		(0.39	)		(0.33	)		(0.18	)
From net realized gains		—			(1.32	)		(8.08	)		—			—
Total distributions		(0.35	)		(1.77	)		(8.47	)		(0.33	)		(0.18	)
Net asset value, end of period	$	19.09		$	17.19		$	19.74		$	24.99		$	18.06
Total Return(b)		13.27	%		(2.86	)%		13.21	%		40.64	%		(8.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	34,842		$	29,428		$	253,810		$	372,498		$	415,508
Net expenses to average daily net assets(c)		0.48	%		0.45	%		0.42	%		0.41	%		0.44	%*
Net investment income (loss) to average daily net assets(a)		1.96	%		1.71	%		1.32	%		1.67	%		1.69	%*
Portfolio turnover rate(d)		81	%		60	%		62	%		86	%		56	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.17	%(e)		—			0.00	%(e) (f)		0.00	%(e) (f)		0.00	%(e) (f)*

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

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

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

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

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		89	%		69	%		71	%		98	%		69	%

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

(f) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

155 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Notes to Financial Statements

February 29, 2024

1. Organization

Each of Climate Change Fund, Emerging Markets ex-China Fund, Emerging Markets Fund, International Equity Fund, International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund), Japan Value Creation Fund, Quality Cyclicals Fund, Quality Fund, Resource Transition Fund, Resources Fund, Small Cap Quality Fund, U.S. Equity Fund, U.S. Opportunistic Value Fund and U.S. Small Cap Value Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO. The Funds may also invest in other GMO Funds (“underlying funds”). The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Climate Change Fund	Not Applicable	High total return
Emerging Markets ex-China Fund	MSCI Emerging Markets ex-China Index	Total return in excess of its benchmark
Emerging Markets Fund	MSCI Emerging Markets Index	Total return in excess of its benchmark
International Equity Fund	Not Applicable	High total return
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)	Not Applicable	Total return
Japan Value Creation Fund	Not Applicable	Total return
Quality Cyclicals Fund	Not Applicable	Total return
Quality Fund	Not Applicable	Total return
Resource Transition Fund	Not Applicable	Total return
Resources Fund	Not Applicable	Total return
Small Cap Quality Fund	Not Applicable	Total return
U.S. Equity Fund	Not Applicable	High total return
U.S. Opportunistic Value Fund	Not Applicable	Total return
U.S. Small Cap Value Fund	S&P SmallCap 600 Value Index	Total return in excess of its benchmark

International Equity Fund currently limits subscriptions.

2. Significant accounting policies

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

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable

156

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

February 29, 2024

indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the closing price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.

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

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 29, 2024, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

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

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

157

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February 29, 2024

The three levels are defined as follows:

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

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

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

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

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

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

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 29, 2024:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	4,046,843	$	—	$	—	$	4,046,843
Australia		—		413,873		—		413,873
Brazil		—		7,035,605		—		7,035,605
Canada		64,873,467		—		—		64,873,467
China		—		3,729,262		—		3,729,262
Denmark		—		26,437,037		—		26,437,037
Finland		—		10,771,468		—		10,771,468
France		—		92,180,755		—		92,180,755
Germany		—		30,039,945		—		30,039,945
Ireland		—		3,527,992		—		3,527,992
Italy		—		8,766,542		—		8,766,542
Japan		—		37,368,543		—		37,368,543
Jersey		9,477,173		—		—		9,477,173
Mexico		15,232,937		—		—		15,232,937
Netherlands		—		5,079,584		—		5,079,584
Norway		—		9,079,983		—		9,079,983
Russia		—		—		219,534		219,534
South Korea		—		49,701,561		—		49,701,561
Spain		—		11,349,237		—		11,349,237
Switzerland		—		1,976,437		—		1,976,437
Ukraine		—		716,135		—		716,135
United Kingdom		2,336,800		2,367,221		—		4,704,021

158

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Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1		Level 2		Level 3			Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
United States	$	324,500,640	$	—	$	—		$	324,500,640
TOTAL COMMON STOCKS		420,467,860		300,541,180		219,534			721,228,574
Preferred Stocks
Chile		13,747,779		—		—			13,747,779
TOTAL PREFERRED STOCKS		13,747,779		—		—			13,747,779
Mutual Funds
United States		22,390,770		—		—			22,390,770
TOTAL MUTUAL FUNDS		22,390,770		—		—			22,390,770
Short-Term Investments		1,093,187		—		—			1,093,187
Total Investments		457,699,596		300,541,180		219,534			758,460,310
Total	$	457,699,596	$	300,541,180	$	219,534		$	758,460,310
Emerging Markets ex-China Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	1,355,503	$	11,940,429	$	—		$	13,295,932
Chile		—		317,063		—			317,063
Colombia		26,002		—		—			26,002
Czech Republic		—		479,686		—			479,686
Egypt		—		1,408,240		—			1,408,240
Greece		—		171,266		—			171,266
Hungary		—		8,898,627		—			8,898,627
India		1,921,432		35,651,895		—			37,573,327
Indonesia		—		14,164,058		—			14,164,058
Malaysia		—		532,880		—			532,880
Mexico		16,451,159		—		0	§		16,451,159
Pakistan		—		1,332,957		—			1,332,957
Poland		—		6,666,348		—			6,666,348
Qatar		—		778,671		—			778,671
Russia		—		—		470,882			470,882
South Africa		1,246,967		21,029,404		—			22,276,371
South Korea		—		19,328,524		—			19,328,524
Taiwan		8,958,577		54,339,038		—			63,297,615
Thailand		—		2,700,038		—			2,700,038
Turkey		—		1,299,345		—			1,299,345
Vietnam		—		6,071,150		—			6,071,150
TOTAL COMMON STOCKS		29,959,640		187,109,619		470,882			217,540,141
Preferred Stocks
Brazil		1,208,174		12,698,165		—			13,906,339
Colombia		1,739,820		—		—			1,739,820
Russia		—		—		32,404			32,404
TOTAL PREFERRED STOCKS		2,947,994		12,698,165		32,404			15,678,563

159

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Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1		Level 2		Level 3			Total
Emerging Markets ex-China Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	4,681,209	$	—	$	—		$	4,681,209
TOTAL MUTUAL FUNDS		4,681,209		—		—			4,681,209
Total Investments		37,588,843		199,807,784		503,286			237,899,913
Total	$	37,588,843	$	199,807,784	$	503,286		$	237,899,913
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	5,615,148	$	15,775,158	$	—		$	21,390,306
Chile		—		282,464		—			282,464
China		13,723,961		87,373,887		1			101,097,849
Colombia		48,652		—		—			48,652
Czech Republic		—		1,796,200		—			1,796,200
Egypt		—		1,082,393		—			1,082,393
Greece		—		319,046		—			319,046
Hungary		—		16,777,601		—			16,777,601
India		1,592,808		46,179,054		—			47,771,862
Indonesia		—		15,849,501		—			15,849,501
Kuwait		—		428,871		—			428,871
Malaysia		—		738,520		—			738,520
Mexico		25,413,050		—		0	§		25,413,050
Pakistan		—		3,360,175		—			3,360,175
Philippines		—		297,755		—			297,755
Poland		—		8,784,425		—			8,784,425
Qatar		—		1,580,340		—			1,580,340
Russia		—		—		2,210,178			2,210,178
Saudi Arabia		—		1,638,174		—			1,638,174
South Africa		2,139,928		36,689,772		—			38,829,700
South Korea		—		12,836,692		—			12,836,692
Sri Lanka		—		—		303,354			303,354
Taiwan		2,470,464		96,852,760		—			99,323,224
Thailand		—		5,782,578		—			5,782,578
Turkey		—		743,858		—			743,858
Vietnam		—		10,906,029		—			10,906,029
TOTAL COMMON STOCKS		51,004,011		366,075,253		2,513,533			419,592,797
Preferred Stocks
Brazil		—		19,131,292		—			19,131,292
Colombia		4,595,076		—		—			4,595,076
Russia		—		—		558,897			558,897
South Korea		—		7,204,164		—			7,204,164
TOTAL PREFERRED STOCKS		4,595,076		26,335,456		558,897			31,489,429
Debt Obligations
United States		500,579		—		—			500,579
TOTAL DEBT OBLIGATIONS		500,579		—		—			500,579

160

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Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1		Level 2		Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	1,004,664	$	—	$	—	$	1,004,664
TOTAL MUTUAL FUNDS		1,004,664		—		—		1,004,664
Short-Term Investments		1,013,701		—		—		1,013,701
Total Investments		58,118,031		392,410,709		3,072,430		453,601,170
Derivatives^
Futures Contracts
Equity Risk		836,785		—		—		836,785
Total	$	58,954,816	$	392,410,709	$	3,072,430	$	454,437,955
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	30,245,871	$	—	$	30,245,871
Austria		—		4,115,827		—		4,115,827
Belgium		—		13,215,603		—		13,215,603
Denmark		—		482,133		—		482,133
Finland		—		3,653,697		—		3,653,697
France		20,038,722		117,778,365		—		137,817,087
Germany		—		42,154,225		—		42,154,225
Hong Kong		—		11,394,226		—		11,394,226
Ireland		700,616		6,370,617		—		7,071,233
Italy		—		63,317,924		—		63,317,924
Japan		8,521,207		242,014,045		—		250,535,252
Netherlands		—		68,223,263		—		68,223,263
Norway		—		20,248,369		—		20,248,369
Portugal		—		2,221,994		—		2,221,994
Singapore		—		19,643,345		—		19,643,345
Spain		—		59,460,279		—		59,460,279
Sweden		—		22,115,541		—		22,115,541
Switzerland		19,909,843		33,884,781		—		53,794,624
United Kingdom		13,228,190		97,119,485		—		110,347,675
TOTAL COMMON STOCKS		62,398,578		857,659,590		—		920,058,168
Preferred Stocks
Germany		—		3,548,735		—		3,548,735
TOTAL PREFERRED STOCKS		—		3,548,735		—		3,548,735
Debt Obligations
United States		999,953		—		—		999,953
TOTAL DEBT OBLIGATIONS		999,953		—		—		999,953
Mutual Funds
United States		71,846,735		—		—		71,846,735
TOTAL MUTUAL FUNDS		71,846,735		—		—		71,846,735
Short-Term Investments		157,299		—		—		157,299
Total Investments		135,402,565		861,208,325		—		996,610,890

161

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Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1		Level 2		Level 3		Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Futures Contracts
Equity Risk	$	349,013	$	—	$	—	$	349,013
Total	$	135,751,578	$	861,208,325	$	—	$	996,959,903
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	12,317,368	$	—	$	12,317,368
Austria		—		3,464,527		—		3,464,527
Belgium		—		6,280,769		—		6,280,769
Canada		44,045,812		—		—		44,045,812
Denmark		—		3,920,327		—		3,920,327
Finland		—		7,827,741		—		7,827,741
France		973,303		45,196,305		—		46,169,608
Germany		—		12,639,745		—		12,639,745
Hong Kong		—		10,500,008		—		10,500,008
Italy		1,661,264		16,973,942		—		18,635,206
Japan		6,065,390		70,618,766		—		76,684,156
Netherlands		—		20,687,838		—		20,687,838
Norway		—		3,685,134		—		3,685,134
Portugal		—		4,125		—		4,125
Russia		—		—		31		31
Singapore		—		1,775,308		—		1,775,308
Spain		—		18,053,598		—		18,053,598
Sweden		—		7,448,849		—		7,448,849
Switzerland		4,879,445		16,770,080		—		21,649,525
United Kingdom		25,280,096		14,181,447		—		39,461,543
TOTAL COMMON STOCKS		82,905,310		272,345,877		31		355,251,218
Preferred Stocks
Germany		—		924,197		—		924,197
TOTAL PREFERRED STOCKS		—		924,197		—		924,197
Mutual Funds
United States		7,130,000		—		—		7,130,000
TOTAL MUTUAL FUNDS		7,130,000		—		—		7,130,000
Short-Term Investments		585,732		—		—		585,732
Total Investments		90,621,042		273,270,074		31		363,891,147
Total	$	90,621,042	$	273,270,074	$	31	$	363,891,147

162

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Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1		Level 2		Level 3		Total
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—	$	113,109,781	$	—	$	113,109,781
Short-Term Investments		4,835,574		—		—		4,835,574
Total Investments		4,835,574		113,109,781		—		117,945,355
Total	$	4,835,574	$	113,109,781	$	—	$	117,945,355
Quality Cyclicals Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	133,357	$	—	$	133,357
Canada		4,087,520		—		—		4,087,520
China		—		350,902		—		350,902
Finland		—		1,035,053		—		1,035,053
France		—		5,179,287		—		5,179,287
Germany		—		1,936,823		—		1,936,823
Hong Kong		—		1,042,585		—		1,042,585
Ireland		2,878,089		—		—		2,878,089
Mexico		5,265,314		—		—		5,265,314
Russia		—		—		37,866		37,866
Spain		—		4,651,248		—		4,651,248
United Kingdom		—		7,660,054		—		7,660,054
United States		43,838,788		—		—		43,838,788
TOTAL COMMON STOCKS		56,069,711		21,989,309		37,866		78,096,886
Preferred Stocks
Brazil		—		1,081,391		—		1,081,391
TOTAL PREFERRED STOCKS		—		1,081,391		—		1,081,391
Mutual Funds
United States		501,028		—		—		501,028
TOTAL MUTUAL FUNDS		501,028		—		—		501,028
Short-Term Investments		780,113		—		—		780,113
Total Investments		57,350,852		23,070,700		37,866		80,459,418
Total	$	57,350,852	$	23,070,700	$	37,866	$	80,459,418
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	470,359,630	$	—	$	470,359,630
Germany		—		335,428,170		—		335,428,170
Spain		—		51,627,392		—		51,627,392
Switzerland		—		265,199,567		—		265,199,567
Taiwan		—		261,457,480		—		261,457,480
United Kingdom		—		601,553,444		—		601,553,444
United States		7,235,681,313		—		—		7,235,681,313
TOTAL COMMON STOCKS		7,235,681,313		1,985,625,683		—		9,221,306,996

163

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Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1		Level 2		Level 3		Total
Quality Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	278,669,053	$	—	$	—	$	278,669,053
TOTAL MUTUAL FUNDS		278,669,053		—		—		278,669,053
Short-Term Investments		4,467,729		—		—		4,467,729
Total Investments		7,518,818,095		1,985,625,683		—		9,504,443,778
Total	$	7,518,818,095	$	1,985,625,683	$	—	$	9,504,443,778
Resource Transition Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	945,969	$	—	$	—	$	945,969
Australia		—		1,986,300		—		1,986,300
Brazil		—		5,902,821		—		5,902,821
Canada		16,259,183		—		—		16,259,183
China		—		2,415,224		—		2,415,224
Denmark		—		1,934,654		—		1,934,654
Finland		—		1,402,083		—		1,402,083
France		—		4,148,410		—		4,148,410
Italy		—		602,398		—		602,398
Japan		—		1,444,321		—		1,444,321
Jersey		3,739,645		—		—		3,739,645
Mexico		3,945,765		—		—		3,945,765
Norway		—		982,488		—		982,488
South Africa		—		4,255,774		—		4,255,774
Sweden		—		3,596,801		—		3,596,801
United Kingdom		—		10,070,723		—		10,070,723
United States		41,725,897		—		—		41,725,897
TOTAL COMMON STOCKS		66,616,459		38,741,997		—		105,358,456
Preferred Stocks
Brazil		—		6,779,790		—		6,779,790
Chile		4,181,452		—		—		4,181,452
TOTAL PREFERRED STOCKS		4,181,452		6,779,790		—		10,961,242
Mutual Funds
United States		2,049,511		—		—		2,049,511
TOTAL MUTUAL FUNDS		2,049,511		—		—		2,049,511
Short-Term Investments		132,146		—		—		132,146
Total Investments		72,979,568		45,521,787		—		118,501,355
Total	$	72,979,568	$	45,521,787	$	—	$	118,501,355
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	20,203,185	$	—	$	—	$	20,203,185
Australia		—		33,755,965		—		33,755,965

164

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Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1		Level 2		Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Austria	$	—	$	26,443,089	$	—		$	26,443,089
Brazil		—		68,301,740		—			68,301,740
Canada		207,859,624		—		—			207,859,624
China		—		23,929,176		—			23,929,176
Denmark		—		19,899,552		—			19,899,552
Finland		—		14,636,032		—			14,636,032
France		—		40,939,763		—			40,939,763
Hong Kong		—		4,224,219		—			4,224,219
Hungary		—		13,634,416		—			13,634,416
Italy		—		43,475,302		—			43,475,302
Japan		—		16,270,030		—			16,270,030
Jersey		36,260,467		—		—			36,260,467
Mexico		38,643,048		—		—			38,643,048
Norway		—		51,784,730		—			51,784,730
Portugal		—		70,724,444		—			70,724,444
Russia		—		—		1,712,258			1,712,258
Singapore		—		—		0	§		—
South Africa		—		42,648,571		—			42,648,571
Spain		—		40,925,297		—			40,925,297
Sweden		—		35,162,612		—			35,162,612
Ukraine		—		1,631,989		—			1,631,989
United Kingdom		6,202,680		253,646,862		—			259,849,542
United States		642,962,777		—		—			642,962,777
TOTAL COMMON STOCKS		952,131,781		802,033,789		1,712,258			1,755,877,828
Preferred Stocks
Brazil		—		137,761,697		—			137,761,697
Chile		40,551,384		—		—			40,551,384
Russia		—		—		722,161			722,161
TOTAL PREFERRED STOCKS		40,551,384		137,761,697		722,161			179,035,242
Mutual Funds
United States		56,231,789		—		—			56,231,789
TOTAL MUTUAL FUNDS		56,231,789		—		—			56,231,789
Short-Term Investments		818,410		—		—			818,410
Total Investments		1,049,733,364		939,795,486		2,434,419			1,991,963,269
Total	$	1,049,733,364	$	939,795,486	$	2,434,419		$	1,991,963,269
Small Cap Quality Fund
Asset Valuation Inputs
Common Stocks	$	198,078,954	$	—	$	—		$	198,078,954
Mutual Funds		7,392,442		—		—			7,392,442
Short-Term Investments		1,890,036		—		—			1,890,036
Total Investments		207,361,432		—		—			207,361,432
Total	$	207,361,432	$	—	$	—		$	207,361,432

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February 29, 2024

Description	Level 1		Level 2		Level 3		Total
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	132,528,046	$	—	$	—	$	132,528,046
Mutual Funds		1,994,361		—		—		1,994,361
Debt Obligations		350,405		—		—		350,405
Short-Term Investments		277,687		—		—		277,687
Total Investments		135,150,499		—		—		135,150,499
Derivatives^
Futures Contracts
Equity Risk		15,957		—		—		15,957
Total	$	135,166,456	$	—	$	—	$	135,166,456
U.S. Opportunistic Value Fund
Asset Valuation Inputs
Common Stocks	$	530,338,789	$	—	$	—	$	530,338,789
Mutual Funds		9,902,208		—		—		9,902,208
Short-Term Investments		99,541		—		—		99,541
Total Investments		540,340,538		—		—		540,340,538
Total	$	540,340,538	$	—	$	—	$	540,340,538
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	34,036,216	$	—	$	—	$	34,036,216
Mutual Funds		573,827		—		—		573,827
Rights/Warrants		—		—		36,350		36,350
Short-Term Investments		144,714		—		—		144,714
Total Investments		34,754,757		—		36,350		34,791,107
Derivatives^
Futures Contracts
Equity Risk		27,739		—		—		27,739
Total	$	34,782,496	$	—	$	36,350	$	34,818,846

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

§ Represents the interest in securities that were determined to have a value of zero at February 29, 2024.

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

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

Cash

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

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February 29, 2024

Due to/from broker

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

Foreign currency translation

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

Rights and warrants

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

Securities lending

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

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

At February 29, 2024, securities on loan at value and collateral from securities on loan are listed below:

Fund Name	Value of securities on loan ($)		Cash collateral ($)		Non-cash collateral ($)*		Total collateral ($)
Climate Change Fund		26,058,174		15,738,457		12,717,610		28,456,067
Emerging Markets Fund		2,196,856		—		2,269,253		2,269,253
Resources Fund		139,767,815		—		148,263,835		148,263,835

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

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

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February 29, 2024

Taxes and distributions

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

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

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

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

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 29, 2024, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

168

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Notes to Financial Statements — (Continued)

February 29, 2024

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

Differences related to:

Climate Change Fund

Emerging Markets ex-China Fund

Emerging Markets Fund

International Equity Fund

International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)

Japan Value Creation Fund

Quality Cyclicals Fund

Quality Fund

Resource Transition Fund

Resources Fund

Small Cap Quality Fund

U.S. Equity Fund

U.S. Opportunistic Value Fund

U.S. Small Cap Value Fund

Capital loss carryforwards

X

X

X

X

X

X

X

X

Derivative contract transactions

X

X

Dividend income and withholding tax reclaim reserves

X

X

X

X

X

X

X

Dividends received from underlying investments

X

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

X

Foreign capital gains taxes

X

X

Foreign currency transactions

X

X

X

X

X

Gain/losses on underlying fund shares

X

Late year ordinary losses

X

Losses on wash sale transactions

X

X

X

X

X

X

X

X

X

X

X

X

Passive foreign investment company transactions

X

X

X

X

X

X

X

X

X

Post-October capital losses

X

X

X

X

X

X

X

Real estate investment trust transactions

X

X

Redemption in-kind transactions

X

U.S. federal tax equalization utilized

X

There are no significant differences

X

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Notes to Financial Statements — (Continued)

February 29, 2024

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

	Tax year ended February 29, 2024						Tax year ended February 28, 2023
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Climate Change Fund		7,301,094		—		7,301,094		12,075,146		5,946,558		18,021,704
Emerging Markets ex-China Fund		15,640,724		—		15,640,724		14,461,298		—		14,461,298
Emerging Markets Fund		47,456,235		—		47,456,235		92,265,071		—		92,265,071
International Equity Fund		69,706,983		—		69,706,983		65,421,008		—		65,421,008
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		7,069,130		2,343,082		9,412,212		1,390,528		724,698		2,115,226
Japan Value Creation Fund		4,991,829		—		4,991,829		1,700,312		5,916,837		7,617,149
Quality Cyclicals Fund		1,438,724		5,266,047		6,704,771		3,135,963		9,320,117		12,456,080
Quality Fund		136,704,960		209,599,658		346,304,618		92,208,707		666,916,243		759,124,950
Resource Transition Fund		9,795,717		—		9,795,717		—		—		—
Resources Fund		97,058,434		15,124,241		112,182,675		185,045,976		51,283,849		236,329,825
Small Cap Quality Fund		7,999,554		682,244		8,681,798		7,150,586		—		7,150,586
U.S. Equity Fund		8,694,050		23,051,160		31,745,210		11,550,123		16,774,864		28,324,987
U.S. Opportunistic Value Fund		21,882,825		1,725		21,884,550		300,214		—		300,214
U.S. Small Cap Value Fund		630,097		—		630,097		9,957,158		8,299,032		18,256,190

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

As of February 29, 2024, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)			Capital Loss Carryforwards ($)			Post-October Capital Losses Deferral ($)
Climate Change Fund		—		—		(1,315,996	)		(15,067,974	)		(8,386,846	)
Emerging Markets ex-China Fund		3,278,624		—		—			(26,317,731	)		(530,821	)
Emerging Markets Fund		5,872,409		—		—			(1,408,706,029	)		(3,593,388	)
International Equity Fund		13,435,283		—		—			(900,237,788	)		—
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		4,405,567		181,673		—			—			—
Japan Value Creation Fund		1,865,594		—		—			(9,389,421	)		(370,609	)
Quality Cyclicals Fund		125,215		—		—			—			(80,282	)
Quality Fund		17,131,278		—		—			—			—
Resource Transition Fund		741,983		—		—			(19,214,166	)		(46,989,062	)
Resources Fund		5,090,755		—		—			(17,412,369	)		(30,558,001	)
Small Cap Quality Fund		1,096,348		1,518,714		—			—			—

170

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Notes to Financial Statements — (Continued)

February 29, 2024

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)			Post-October Capital Losses Deferral ($)
U.S. Equity Fund		3,333,416		6,101,033		—		—			—
U.S. Opportunistic Value Fund		8,741,666		3,076,010		—		—			—
U.S. Small Cap Value Fund		446		—		—		(4,268,361	)		—

As of February 29, 2024, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2024, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

Fund Name	Short-Term ($)			Long-Term ($)
Climate Change Fund		(2,098,685	)		(12,969,289	)
Emerging Markets ex-China Fund		(4,576,324	)		(21,741,407	)
Emerging Markets Fund		(192,050,195	)		(1,216,655,834	)
International Equity Fund		(769,150,241	)		(131,087,547	)
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		—			—
Japan Value Creation Fund		—			(9,389,421	)
Quality Cyclicals Fund		—			—
Quality Fund		—			—
Resource Transition Fund		(19,214,166	)		—
Resources Fund		(13,426,968	)		(3,985,401	)
Small Cap Quality Fund		—			—
U.S. Equity Fund		—			—
U.S. Opportunistic Value Fund		—			—
U.S. Small Cap Value Fund		(4,268,361	)		—

171

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Notes to Financial Statements — (Continued)

February 29, 2024

As of February 29, 2024, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments, for U.S. federal income tax purposes were as follows:

Fund Name	Total Investments										Outstanding Financial Instruments
	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)			Net Unrealized Appreciation (Depreciation) ($)			Net Unrealized Appreciation (Depreciation) ($)
Climate Change Fund		991,979,496		75,122,970		(308,642,156	)		(233,519,186	)		—
Emerging Markets ex-China Fund		298,590,958		33,820,486		(94,511,531	)		(60,691,045	)		—
Emerging Markets Fund		878,757,959		39,623,999		(464,780,788	)		(425,156,789	)		—
International Equity Fund		960,848,043		106,836,835		(71,073,988	)		35,762,847			—
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		351,553,417		25,055,935		(12,718,205	)		12,337,730			—
Japan Value Creation Fund		115,689,612		11,525,312		(9,269,569	)		2,255,743			—
Quality Cyclicals Fund		61,266,727		24,911,133		(5,718,442	)		19,192,691			—
Quality Fund		5,076,484,264		4,452,707,578		(24,748,064	)		4,427,959,514			—
Resource Transition Fund		184,169,290		2,732,876		(68,400,811	)		(65,667,935	)		—
Resources Fund		2,347,834,545		273,774,086		(629,645,362	)		(355,871,276	)		—
Small Cap Quality Fund		183,910,483		24,800,636		(1,349,687	)		23,450,949			—
U.S. Equity Fund		115,904,414		22,217,144		(2,971,059	)		19,246,085			—
U.S. Opportunistic Value Fund		507,152,123		52,922,130		(19,733,715	)		33,188,415			—
U.S. Small Cap Value Fund		32,075,454		5,400,290		(2,684,637	)		2,715,653			—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of February 29, 2024, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

Security transactions and related investment income

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

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Notes to Financial Statements — (Continued)

February 29, 2024

During the year ended February 29, 2024, the Funds did not recognize dividends or foreign withholding on local Russian shares, if any, due to restrictions imposed by the Russian government on dividend payments received by foreign shareholders like the Funds. At this time, no assurance can be given regarding the future payment of outstanding dividends by Russian issuers, the time period during which such Russia’s restrictions will remain in place or on the future ability of foreign shareholders to claim or otherwise gain control over or access to dividends paid.

Expenses and class allocations

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

Custodian, Fund Accounting Agent and Transfer Agent

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

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund directly or indirectly (e.g., through investments in underlying funds) as a result of an investor’s purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Purchase premiums and redemption fees are paid to and retained by a Fund for the benefit of non-transacting shareholders. Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and redemption fee or modify existing purchase premium and redemption fees at any time.

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion.

As of February 29, 2024, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below.

Emerging Markets Fund	For the period from December 1, 2018 to November 22, 2019, the premium on cash purchases and the fee on cash redemptions were each 0.40% of the amount invested or redeemed.
Resources Fund	Prior to March 9, 2020, the premium on cash purchases and the fee on cash redemptions were each 0.30% of the amount invested or redeemed.

Other matters — Emerging Markets Fund (“EMF”)

Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets was INR 262,800,000 (equivalent to $3,169,463) as of February 29, 2024 and is included in Foreign

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currency within the Statements of Assets and Liabilities. In recognition of the potential liability and based on management’s estimate of that liability having consulted with counsel, a portion of that amount (INR 65,700,000, equivalent to $792,365) is included as a Miscellaneous payable within the Statements of Assets and Liabilities. Any costs in respect of this matter will be borne by EMF.

Recently-issued accounting guidance

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

3. Investment and other risks

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

Climate Change Fund

Emerging Markets ex-China Fund

Emerging Markets Fund

International Equity Fund

International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)

Japan Value Creation Fund

Quality Cyclicals Fund

Quality Fund

Resource Transition Fund

Resources Fund

Small Cap Quality Fund

U.S. Equity Fund

U.S. Opportunistic Value Fund

U.S. Small Cap Value Fund

Market Risk –Equities

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

Illiquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

X

Smaller Company Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

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February 29, 2024

Climate  Change Fund

Emerging  Markets ex-China Fund

Emerging  Markets Fund

International  Equity Fund

International  Opportunistic  Value Fund (formerly Tax-Managed International Equities Fund)

Japan Value  Creation  Fund

Quality  Cyclicals  Fund

Quality  Fund

Resource  Transition  Fund

Resources  Fund

Small Cap  Quality  Fund

U.S.  Equity  Fund

U.S.  Opportunistic  Value Fund

U.S.  Small  Cap Value Fund

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Derivatives and Short Sales Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Commodities Risk

X

X

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Fund of Funds Risk

X

X

Event-Driven Risk

X

X

X

X

X

X

Non-Diversified Funds

X

X

X

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

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

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

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• MARKET RISK — EQUITIES. The market price of an equity in a Fund’s portfolio may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations and interest rates than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund runs the risk that GMO’s investment techniques will fail to produce intended results. For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Funds or impair Fund operations.

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

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. securities markets are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, non-U.S. securities issuers often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund is subject to taxation by countries other than the United States, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, the Funds need a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of a Fund’s investments. The risks above (such as substantial price fluctuations and market instability, illiquidity and lack of regulation) and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities, and often are more volatile than the economies of developed countries.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size or legal restrictions increase the risk that a Fund or an underlying fund is limited or prevented from selling particular securities or closing derivative positions at desirable prices.

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

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) often disrupt securities markets and adversely affect the general economy or particular economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Funds’ investments.

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February 29, 2024

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, leveraging risk, commodities risk and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant index or underlying securities. A Fund typically creates short investment exposure by selling securities short or by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. Specifically, the net asset value of a Fund’s shares will be adversely affected if the equities or other assets that are the subject of a Fund’s short exposures appreciate in value. The risk of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

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

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

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

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by that shareholder or group will require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests, including the risk that those underlying funds will not perform as expected.

• EVENT-DRIVEN RISK. If a Fund purchases securities in anticipation of a proposed merger, acquisition, exchange offer, tender offer, or other similar transaction and that transaction later appears likely to be delayed or unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of event-driven strategies (such as merger arbitrage) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. Event-driven strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated.

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

• Emerging Markets ex-China Fund

• Japan Value Creation Fund

• Resource Transition Fund

4. Derivative financial instruments

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

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

A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

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

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

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

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

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

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

For Funds that held derivatives during the year ended February 29, 2024, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Emerging   Markets Fund	International   Equity Fund	International   Opportunistic   Value Fund  (formerly  Tax-Managed  International  Equities  Fund)	U.S. Equity   Fund	U.S. Small   Cap Value  Fund
Futures contracts
Adjust exposure to certain securities markets	X	X	X	X	X
Maintain the diversity and liquidity of the portfolio		X	X	X	X

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February 29, 2024

Futures contracts

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

****

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 29, 2024 and the Statements of Operations for the year ended February 29, 2024^:

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

	Equity Contracts
Emerging Markets Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	836,785
Total	$	836,785
Net Realized Gain (Loss) on
Futures Contracts	$	(2,041,780	)
Total	$	(2,041,780	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	1,858,679
Total	$	1,858,679

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February 29, 2024

	Equity Contracts
International Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	349,013
Total	$	349,013
Net Realized Gain (Loss) on
Futures Contracts	$	115,115
Total	$	115,115
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	701,124
Total	$	701,124
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Net Realized Gain (Loss) on
Futures Contracts	$	15,210
Total	$	15,210
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(2,645	)
Total	$	(2,645	)
U.S. Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	15,957
Total	$	15,957
Net Realized Gain (Loss) on
Futures Contracts	$	366,473
Total	$	366,473
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(33,957	)
Total	$	(33,957	)
U.S. Small Cap Value Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	27,739
Total	$	27,739
Net Realized Gain (Loss) on
Futures Contracts	$	43,230
Total	$	43,230
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	13,728
Total	$	13,728

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

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

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

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at February 29, 2024, if any.

The average derivative activity of notional amounts (futures contracts), based on absolute values, at each month-end, was as follows for the year ended February 29, 2024:

Fund Name	Futures Contracts ($)
Emerging Markets Fund		30,482,800
International Equity Fund		8,273,865
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		35,384
U.S. Equity Fund		2,222,797
U.S. Small Cap Value Fund		144,442

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5. Fees and other transactions with affiliates

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

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

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

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

Fund Name	Class II			Class III			Class IV			Class V			Class VI			Class R6			Class I
Climate Change Fund					0.15	%		0.10	%*		0.085	%*		0.055	%*		0.15	%		0.15	%
Emerging Markets ex-China Fund		0.22	%*		0.15	%		0.105	%*		0.085	%*		0.055	%		0.22	%*		0.22	%*
Emerging Markets Fund		0.22	%		0.15	%		0.105	%*		0.085	%*		0.055	%		0.22	%		0.22	%
International Equity Fund		0.22	%*		0.15	%		0.09	%								0.22	%*		0.22	%
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)					0.15	%		0.10	%								0.15	%*		0.15	%
Japan Value Creation Fund					0.15	%		0.10	%*		0.085	%*		0.055	%		0.15	%*		0.15	%
Quality Cyclicals Fund					0.15	%*		0.105	%*		0.085	%*		0.055	%		0.15	%*		0.15	%

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Notes to Financial Statements — (Continued)

February 29, 2024

Fund Name	Class II	Class III			Class IV			Class V			Class VI			Class R6			Class I
Quality Fund			0.15	%		0.105	%		0.085	%*		0.055	%		0.15	%		0.15	%
Resource Transition Fund			0.15	%*		0.10	%*		0.085	%*		0.055	%		0.15	%*		0.15	%*
Resources Fund			0.15	%		0.10	%		0.085	%*		0.055	%		0.15	%		0.15	%
Small Cap Quality Fund			0.15	%		0.10	%*		0.085	%*		0.055	%		0.15	%*		0.15	%
U.S. Equity Fund			0.15	%		0.10	%*		0.085	%*		0.055	%		0.15	%*		0.15	%*
U.S. Opportunistic Value Fund			0.15	%		0.10	%		0.085	%*		0.055	%		0.15	%		0.15	%
U.S. Small Cap Value Fund			0.15	%*		0.10	%*		0.085	%*		0.055	%		0.15	%*		0.15	%*

* Class is offered but has no shareholders as of February 29, 2024.

GMO has contractually agreed to reimburse Emerging Markets Fund for “Specified Operating Expenses” (as defined below). For U.S. Opportunistic Value Fund, International Equity Fund, International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund), Japan Value Creation Fund, Quality Cyclicals Fund, and U.S. Equity Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceed 0.02% of the Fund’s average daily net assets. For Resources Fund and U.S. Small Cap Value Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceed 0.10% of the Fund’s average daily net assets. Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses.

With respect to Climate Change Fund, Emerging Markets ex-China Fund, Quality Fund, Resource Transition Fund and Small Cap Quality Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse each Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares (each, an “Expense Cap”). The Expense Cap for Climate Change Fund is 0.77% for Class III shares; 0.72% for Class IV shares; 0.705% for Class V shares; 0.675% for Class VI shares; 0.77% for Class R6 shares; and 0.77% for Class I shares. The Expense Cap for Emerging Markets ex-China Fund is 0.85% for Class II shares; 0.80% for Class III shares; 0.75%for Class IV shares; 0.70% for Class V shares; 0.67% for Class VI shares; 0.85% for Class R6 shares; and 0.85% for Class I shares. The Expense Cap for Quality Fund is 0.50% for Class III shares; 0.455% for Class IV shares; 0.435% for Class V shares; 0.405% for Class VI shares; 0.49% for Class R6 shares; and 0.49% for Class I shares. The Expense Cap for Resource Transition Fund is 0.95% for Class III shares; 0.90% for Class IV shares; 0.885% for Class V shares; 0.855% for Class VI shares; 0.95% for Class R6 shares; and 0.95% for Class I shares. The Expense Cap for Small Cap Quality Fund is 0.75% for Class III shares; 0.70% for Class IV shares; 0.685% for Class V shares; 0.655% for Class VI shares; 0.75% for Class R6 shares; and 0.75% for Class I shares. Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (“Excluded Expenses”), are excluded from the Expense Cap.

GMO is permitted to recover from Climate Change Fund, Emerging Markets ex-China Fund, Resources Fund and U.S. Small Cap Value Fund on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses.

For the year ended February 29, 2024, GMO did not recoup any previously recorded waivers and/or reimbursements.

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February 29, 2024

On February 29, 2024, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 28, 2025		Expiring the year ending February 28, 2026		Expiring the year ending February 28, 2027
Climate Change Fund, Class III	$	105,427	$	138,441	$	143,124
Climate Change Fund, Class R6	$	37,789	$	65,464	$	76,390
Climate Change Fund, Class I	$	84,286	$	172,425	$	140,261
Emerging Markets ex-China Fund, Class III	$	1,152	$	12,927	$	34,737
Emerging Markets ex-China Fund, Class VI	$	240,690	$	312,667	$	310,278
U.S. Small Cap Value Fund, Class VI		—		—	$	52,412

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

In addition, for Emerging Markets Fund, GMO has contractually agreed to waive the shareholder service fees charged to each class of shares of the Fund to the extent necessary to prevent the shareholder service fees paid by the class from exceeding the following amounts of the class’s average daily net assets: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% for Class IV shares, 0.05% for Class V shares, 0.02% for Class VI shares, 0.20% for Class R6 shares and 0.20% for Class I shares.

GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares of each Fund, except Small Cap Quality Fund and Emerging Markets Fund, to the extent that amounts paid by the Fund out of the net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I shares.

For Emerging Markets Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I assets to the extent that amounts paid by the Fund out of the net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.05% of the average daily net assets attributable to Class I shares.

For Small Cap Quality Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares for the amounts paid by the Fund out of the net assets attributable to Class I shares to financial intermediaries for sub-transfer agency, recordkeeping and other administrative services provided with respect to Class I shareholders.

These contractual waivers and reimbursements will continue through at least June 30, 2024 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

Sub-Transfer Agent/Recordkeeping Payments

Class II, III, IV, V, VI and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an

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February 29, 2024

investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 29, 2024 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)
Climate Change Fund		52,094
Emerging Markets ex-China Fund		14,210
Emerging Markets Fund		40,301
International Equity Fund		62,906
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		11,393
Japan Value Creation Fund		6,272
Quality Cyclicals Fund		4,172
Quality Fund		441,910
Resource Transition Fund		22,908
Resources Fund		108,156
Small Cap Quality Fund		4,415
U.S. Equity Fund		13,334
U.S. Opportunistic Value Fund		21,509
U.S. Small Cap Value Fund		2,181

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2024, the Funds below had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

Fund Name	Total Indirect Expenses
Emerging Markets Fund		0.012	%
International Equity Fund		0.005	%

The Funds are permitted to purchase or sell securities from or to other GMO Trust funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another GMO Trust fund complies with rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 29, 2024, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 29, 2024 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Climate Change Fund		—		1,131,280,316		—		1,071,399,074
Emerging Markets ex-China Fund		—		292,377,111		—		355,001,331
Emerging Markets Fund		2,001,684		897,526,695		4,301,423		1,337,600,450
International Equity Fund		—		921,494,750		2,997,771		1,386,404,608

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February 29, 2024

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		—		529,896,554		—		217,455,354
Japan Value Creation Fund		—		35,278,546		—		47,523,707
Quality Cyclicals Fund		—		24,912,753		—		24,476,695
Quality Fund		—		2,786,313,397		—		2,414,357,342
Resource Transition Fund		—		327,055,630		—		557,525,700
Resources Fund		—		2,535,603,380		—		2,008,290,958
Small Cap Quality Fund		—		173,575,537		—		54,119,281
U.S. Equity Fund		350,050		206,646,179		—		353,329,633
U.S. Opportunistic Value Fund		—		605,990,330		—		399,179,305
U.S. Small Cap Value Fund		—		29,072,245		—		27,391,683

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the year ended February 29, 2024. In-kind purchases and sales of securities, including short-term investments, if any, and net realized gains/(losses) attributed to redemption in-kind transactions, if any, are noted in the table below:

Fund Name	In-Kind Purchases ($)		In-Kind Sales ($)			Net realized gains/(losses) attributed to redemption in-kind transactions ($)
Resource Transition Fund		—		7,253,856	*		(4,516,128	)

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

7. Guarantees

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

8. Principal shareholders as of February 29, 2024

	Number of shareholders that held  more than 10% of the  outstanding shares of			Percentage of outstanding shares of the Fund held by those shareholders owning  greater than 10% of the  outstanding shares of
Fund Name	the Fund			the Fund
Climate Change Fund		1			15.68	%
Emerging Markets ex-China Fund*		4	§		63.76	%
Emerging Markets Fund		2	#		37.47	%
International Equity Fund		4	§		82.86	%
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		3	#		56.01	%
Japan Value Creation Fund		5	§		71.05	%

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February 29, 2024

				Percentage of
				outstanding shares of
	Number of			the Fund held by those
	shareholders that held			shareholders owning
	more than 10% of the			greater than 10% of the
	outstanding shares of			outstanding shares of
Fund Name	the Fund			the Fund
Quality Cyclicals Fund		3	#		82.20	%
Quality Fund		—			—
Resource Transition Fund		1			99.91	%
Resources Fund		2			31.39	%
Small Cap Quality Fund		2	‡		68.32	%
U.S. Equity Fund		4	#		81.32	%
U.S. Opportunistic Value Fund		4	‡		74.22	%
U.S. Small Cap Value Fund		3	#		93.48	%

* The Fund’s outstanding shares were owned by 10 or more shareholders as of February 29, 2024.

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

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

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

9. Share transactions

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

	Year Ended						Year Ended
	February 29, 2024						February 28, 2023
	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:
Shares sold		4,928,747		$	121,543,060			2,293,579		$	63,698,181
Shares issued to shareholders in reinvestment of distributions		152,767			3,386,848			270,003			6,770,829
Shares repurchased		(2,483,387	)		(58,764,596	)		(1,296,895	)		(36,085,920	)
Net increase (decrease)		2,598,127		$	66,165,312			1,266,687		$	34,383,090
Class R6:
Shares sold		2,161,637		$	52,446,031			2,750,968		$	77,763,896
Shares issued to shareholders in reinvestment of distributions		68,895			1,523,947			119,945			3,035,164
Shares repurchased		(269,222	)		(6,185,255	)		(335,884	)		(9,419,582	)
Net increase (decrease)		1,961,310		$	47,784,723			2,535,029		$	71,379,478
Class I:
Shares sold		5,176,736		$	131,330,450			8,677,070		$	250,563,272
Shares issued to shareholders in reinvestment of distributions		86,033			1,904,763			306,421			7,654,596
Shares repurchased		(8,314,724	)		(196,955,843	)		(4,649,309	)		(124,996,444	)
Net increase (decrease)		(3,051,955	)	$	(63,720,630	)		4,334,182		$	133,221,424

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February 29, 2024

	Year Ended						Year Ended
	February 29, 2024						February 28, 2023
	Shares			Amount			Shares			Amount
Emerging Markets ex-China Fund
Class III:
Shares sold		587,184		$	8,835,870			1,226,028		$	16,900,000
Shares issued to shareholders in reinvestment of distributions		92,339			1,366,725			58,596			759,928
Shares repurchased		(139,841	)		(2,042,000	)		(31,508	)		(420,000	)
Net increase (decrease)		539,682		$	8,160,595			1,253,116		$	17,239,928
Class VI:
Shares sold		865,927		$	12,573,776			7,082,596		$	99,117,301
Shares issued to shareholders in reinvestment of distributions		904,080			13,372,652			1,038,893			13,467,979
Shares repurchased		(6,086,616	)		(86,145,375	)		(8,104,086	)		(111,115,582	)
Net increase (decrease)		(4,316,609	)	$	(60,198,947	)		17,403		$	1,469,698
Class I:(a)
Shares issued to shareholders in reinvestment of distributions		—		$	5			1		$	15
Shares repurchased		(27	)		(390	)		—			—
Net increase (decrease)		(27	)	$	(385	)		1		$	15
Emerging Markets Fund
Class II:
Shares sold		6,109		$	140,609			1,277,650		$	30,440,000
Shares issued to shareholders in reinvestment of distributions		281,533			6,070,178			291,417			6,477,785
Shares repurchased		(1,783,476	)		(40,087,723	)		(3,438,032	)		(84,610,630	)
Net increase (decrease)		(1,495,834	)	$	(33,876,936	)		(1,868,965	)	$	(47,692,845	)
Class III:
Shares sold		—		$	—			390,168		$	10,000,000
Shares issued to shareholders in reinvestment of distributions		144			3,096			162,785			3,655,845
Shares repurchased		(1,778	)		(40,709	)		(9,483,449	)		(214,652,448	)
Net increase (decrease)		(1,634	)	$	(37,613	)		(8,930,496	)	$	(200,996,603	)
Class VI:
Shares sold		959,991		$	21,254,880			5,482,286		$	139,068,333
Shares issued to shareholders in reinvestment of distributions		1,499,285			31,703,898			2,643,339			58,261,285
Shares repurchased		(19,426,983	)		(417,542,724	)		(22,625,062	)		(523,227,468	)
Net increase (decrease)		(16,967,707	)	$	(364,583,946	)		(14,499,437	)	$	(325,897,850	)
Class R6:
Shares sold		61,033		$	1,375,055			330,449		$	8,182,854
Shares issued to shareholders in reinvestment of distributions		38,926			839,644			67,172			1,501,438
Shares repurchased		(87,370	)		(1,973,920	)		(1,242,779	)		(28,551,548	)
Net increase (decrease)		12,589		$	240,779			(845,158	)	$	(18,867,256	)
Class I:
Shares sold		538,017		$	11,907,329			4,488,230		$	101,205,649
Shares issued to shareholders in reinvestment of distributions		211,434			4,545,344			305,559			6,768,479
Shares repurchased		(1,962,574	)		(44,447,160	)		(4,854,907	)		(109,001,214	)
Net increase (decrease)		(1,213,123	)	$	(27,994,487	)		(61,118	)	$	(1,027,086	)

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February 29, 2024

	Year Ended						Year Ended
	February 29, 2024						February 28, 2023
	Shares			Amount			Shares			Amount
International Equity Fund
Class II:(b)
Shares issued to shareholders in reinvestment of distributions		218		$	4,872			3,425		$	69,812
Shares repurchased		(216,797	)		(4,852,623	)		(34,224	)		(706,423	)
Net increase (decrease)		(216,579	)	$	(4,847,751	)		(30,799	)	$	(636,611	)
Class III:
Shares sold		866,111		$	19,500,748			2,704,405		$	57,352,993
Shares issued to shareholders in reinvestment of distributions		1,165,380			25,954,707			652,563			13,506,456
Shares repurchased		(3,529,602	)		(78,958,215	)		(2,014,765	)		(41,365,309	)
Net increase (decrease)		(1,498,111	)	$	(33,502,760	)		1,342,203		$	29,494,140
Class IV:
Shares sold		1,571,111		$	35,047,057			2,432,877		$	47,902,468
Shares issued to shareholders in reinvestment of distributions		1,952,153			43,445,461			2,465,511			50,894,941
Shares repurchased		(21,523,916	)		(482,062,349	)		(29,069,183	)		(625,692,598	)
Net increase (decrease)		(18,000,652	)	$	(403,569,831	)		(24,170,795	)	$	(526,895,189	)
Class I:
Shares sold		85,383		$	1,931,989			—		$	—
Shares issued to shareholders in reinvestment of distributions		13,526			301,943			5,087			105,835
Shares repurchased		(25,273	)		(571,778	)		(6,920	)		(155,015	)
Net increase (decrease)		73,636		$	1,662,154			(1,833	)	$	(49,180	)
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Class III:
Shares sold		21,447,944		$	293,160,311			1,278,438		$	17,610,421
Shares issued to shareholders in reinvestment of distributions		82,398			1,138,934			19,213			234,924
Shares repurchased		(20,026,586	)		(278,733,949	)		(1,189,473	)		(14,788,808	)
Net increase (decrease)		1,503,756		$	15,565,296			108,178		$	3,056,537
Class IV:(c)
Shares sold		22,336,222		$	311,414,817			—		$	—
Shares issued to shareholders in reinvestment of distributions		542,391			7,501,263			—			—
Shares repurchased		(1,293,252	)		(17,550,794	)		—			—
Net increase (decrease)		21,585,361		$	301,365,286			—		$	—
Class I:(d)
Shares sold		3,645		$	50,735			—		$	—
Shares issued to shareholders in reinvestment of distributions		103			1,431			—			—
Net increase (decrease)		3,748		$	52,166			—		$	—

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February 29, 2024

	Year Ended						Year Ended
	February 29, 2024						February 28, 2023
	Shares			Amount			Shares			Amount
Japan Value Creation Fund
Class III:
Shares sold		34,390		$	620,960			619,507		$	11,000,000
Shares issued to shareholders in reinvestment of distributions		67,263			1,239,649			86,864			1,377,552
Shares repurchased		(95,894	)		(1,790,000	)		(436,366	)		(8,137,284	)
Net increase (decrease)		5,759		$	70,609			270,005		$	4,240,268
Class VI:
Shares sold		282,438		$	5,127,909			959,693		$	15,667,481
Shares issued to shareholders in reinvestment of distributions		192,450			3,547,260			384,538			6,098,598
Shares repurchased		(1,091,718	)		(19,474,661	)		(3,282,287	)		(55,622,608	)
Net increase (decrease)		(616,830	)	$	(10,799,492	)		(1,938,056	)	$	(33,856,529	)
Class I:
Shares sold		242,633		$	4,488,208			50,299		$	859,951
Shares issued to shareholders in reinvestment of distributions		10,457			192,447			7,979			126,318
Shares repurchased		(19,016	)		(355,304	)		(124,158	)		(2,050,229	)
Net increase (decrease)		234,074		$	4,325,351			(65,880	)	$	(1,063,960	)
Quality Cyclicals Fund
Class VI:
Shares sold		219,272		$	4,653,769			67,181		$	1,423,995
Shares issued to shareholders in reinvestment of distributions		307,469			6,689,237			603,708			12,448,036
Shares repurchased		(180,207	)		(3,839,780	)		(2,996,166	)		(68,150,996	)
Net increase (decrease)		346,534		$	7,503,226			(2,325,277	)	$	(54,278,965	)
Class I:
Shares sold		11,778		$	248,000			—		$	—
Shares issued to shareholders in reinvestment of distributions		722			15,534			390			8,044
Shares repurchased		(1,312	)		(29,564	)		(390	)		(8,044	)
Net increase (decrease)		11,188		$	233,970			—		$	—
Quality Fund
Class III:
Shares sold		14,719,815		$	423,470,102			29,027,931		$	707,656,996
Shares issued to shareholders in reinvestment of distributions		3,780,780			106,276,461			10,035,515			241,386,991
Shares repurchased		(36,346,641	)		(989,890,968	)		(24,430,061	)		(628,377,759	)
Net increase (decrease)		(17,846,046	)	$	(460,144,405	)		14,633,385		$	320,666,228
Class IV:
Shares sold		21,299,235		$	611,270,284			8,731,142		$	219,481,613
Shares issued to shareholders in reinvestment of distributions		1,049,139			29,589,721			3,610,473			87,058,631
Shares repurchased		(6,845,785	)		(205,269,866	)		(27,218,142	)		(660,313,180	)
Net increase (decrease)		15,502,589		$	435,590,139			(14,876,527	)	$	(353,772,936	)

190

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

February 29, 2024

	Year Ended						Year Ended
	February 29, 2024						February 28, 2023
	Shares			Amount			Shares			Amount
Quality Fund (continued)
Class VI:
Shares sold		5,298,130		$	150,320,151			16,844,643		$	424,865,852
Shares issued to shareholders in reinvestment of distributions		3,906,723			109,799,017			11,765,228			282,951,395
Shares repurchased		(10,085,147	)		(278,817,484	)		(58,380,318	)(e)		(1,473,456,086	)(e)
Net increase (decrease)		(880,294	)	$	(18,698,316	)		(29,770,447	)	$	(765,638,839	)
Class R6:
Shares sold		8,185,141		$	230,079,093			17,754,787		$	434,999,443
Shares issued to shareholders in reinvestment of distributions		1,294,825			36,344,537			2,148,260			51,549,418
Shares repurchased		(5,015,912	)		(139,452,617	)		(5,557,361	)		(139,787,047	)
Net increase (decrease)		4,464,054		$	126,971,013			14,345,686		$	346,761,814
Class I:
Shares sold		27,500,309		$	758,644,673			7,697,744		$	194,255,441
Shares issued to shareholders in reinvestment of distributions		1,302,713			36,521,713			1,845,669			44,276,266
Shares repurchased		(8,433,638	)		(231,171,385	)		(6,232,234	)		(154,702,220	)
Net increase (decrease)		20,369,384		$	563,995,001			3,311,179		$	83,829,487
Resource Transition Fund
Class VI:(f)
Shares sold		7,887		$	129,068			24,250,000	(g)	$	485,000,000	(g)
Shares issued to shareholders in reinvestment of distributions		639,273			9,795,717			—			—
Shares repurchased		(16,077,999	)(h)		(240,459,608	)(h)		—			—
Net increase (decrease)		(15,430,839	)	$	(230,534,823	)		24,250,000		$	485,000,000
Resources Fund
Class III:
Shares sold		4,818,676		$	103,940,279			5,838,113		$	150,228,136
Shares issued to shareholders in reinvestment of distributions		529,601			12,403,894			977,612			23,410,659
Shares repurchased		(7,362,738	)		(170,556,917	)		(2,393,374	)		(62,777,402	)
Net increase (decrease)		(2,014,461	)	$	(54,212,744	)		4,422,351		$	110,861,393
Class IV:
Shares sold		10,664,153		$	239,255,430			4,970,697		$	138,669,163
Shares issued to shareholders in reinvestment of distributions		1,021,544			23,754,680			1,402,172			33,474,027
Shares repurchased		(5,880,084	)		(126,246,163	)		(6,146,566	)		(158,835,193	)
Net increase (decrease)		5,805,613		$	136,763,947			226,303		$	13,307,997
Class VI:
Shares sold		2,814,026		$	65,108,363			5,144,338		$	137,190,816
Shares issued to shareholders in reinvestment of distributions		208,671			4,817,342			3,298,787			78,893,459
Shares repurchased		(358,194	)		(8,423,463	)		(35,579,492	)(i)		(949,952,489	)(i)
Net increase (decrease)		2,664,503		$	61,502,242			(27,136,367	)	$	(733,868,214	)

191

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

February 29, 2024

	Year Ended						Year Ended
	February 29, 2024						February 28, 2023
	Shares			Amount			Shares			Amount
Resources Fund (continued)
Class R6:
Shares sold		14,939,917		$	342,705,980			10,952,827		$	284,224,101
Shares issued to shareholders in reinvestment of distributions		881,802			20,453,490			525,919			12,572,025
Shares repurchased		(4,337,752	)		(98,227,757	)		(2,566,399	)		(67,345,487	)
Net increase (decrease)		11,483,967		$	264,931,713			8,912,347		$	229,450,639
Class I:
Shares sold		18,920,331		$	438,082,704			14,656,338		$	394,486,306
Shares issued to shareholders in reinvestment of distributions		1,027,433			23,916,236			1,436,534			34,315,888
Shares repurchased		(12,401,247	)		(282,421,438	)		(9,009,983	)		(232,952,111	)
Net increase (decrease)		7,546,517		$	179,577,502			7,082,889		$	195,850,083
Small Cap Quality Fund
Class III:(j)
Shares sold		213,038		$	5,000,000			579,284		$	13,713,763
Shares issued to shareholders in reinvestment of distributions		82,508			1,859,199			48,771			1,078,895
Shares repurchased		(191,037	)		(4,620,912	)		(22,604	)		(500,000	)
Net increase (decrease)		104,509		$	2,238,287			605,451		$	14,292,658
Class VI:(k)
Shares sold		381,583		$	8,793,934			4,834,315		$	95,350,175
Shares issued to shareholders in reinvestment of distributions		302,218			6,819,766			274,277			6,070,048
Shares repurchased		(379,326	)		(8,937,819	)		(2,778,035	)		(63,501,222	)
Net increase (decrease)		304,475		$	6,675,881			2,330,557		$	37,919,001
Class I:(j)
Shares sold		5,032,828		$	117,117,246			871		$	20,000
Shares issued to shareholders in reinvestment of distributions		126			2,833			74			1,643
Shares repurchased		(15,863	)		(378,397	)		—			—
Net increase (decrease)		5,017,091		$	116,741,682			945		$	21,643
U.S. Equity Fund
Class III:
Shares sold		14,017		$	179,674			780,199		$	9,542,163
Shares issued to shareholders in reinvestment of distributions		505,116			6,356,609			434,605			5,152,616
Shares repurchased		(131,805	)		(1,712,181	)		(3,111,887	)		(38,988,204	)
Net increase (decrease)		387,328		$	4,824,102			(1,897,083	)	$	(24,293,425	)
Class VI:
Shares sold		320,778		$	3,950,000			3,361,946		$	42,023,521
Shares issued to shareholders in reinvestment of distributions		2,041,169			25,307,596			1,952,253			22,833,817
Shares repurchased		(12,628,750	)		(154,101,660	)		(18,043,098	)		(224,143,636	)
Net increase (decrease)		(10,266,803	)	$	(124,844,064	)		(12,728,899	)	$	(159,286,298	)

192

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

February 29, 2024

	Year Ended						Year Ended
	February 29, 2024						February 28, 2023
	Shares			Amount			Shares			Amount
U.S. Opportunistic Value Fund
Class III:(l)
Shares sold		1,673,155		$	36,826,141			475		$	10,000
Shares issued to shareholders in reinvestment of distributions		25			510			—			—
Net increase (decrease)		1,673,180		$	36,826,651			475		$	10,000
Class IV:(l)
Shares sold		9,454,666		$	198,409,410			3,108,685		$	65,500,000
Shares issued to shareholders in reinvestment of distributions		371,645			7,535,647			—			—
Net increase (decrease)		9,826,311		$	205,945,057			3,108,685		$	65,500,000
Class VI:(m)
Shares sold		3,934,118		$	83,781,517			15,518,520		$	308,964,640
Shares issued to shareholders in reinvestment of distributions		582,256			11,806,155			15,792			300,214
Shares repurchased		(8,681,868	)		(188,840,046	)		(4,854,860	)		(98,745,000	)
Net increase (decrease)		(4,165,494	)	$	(93,252,374	)		10,679,452		$	210,519,854
Class R6:(n)
Shares sold		84,308		$	1,686,425			—		$	—
Shares issued to shareholders in reinvestment of distributions		2,884			58,420			—			—
Shares repurchased		(8,520	)		(180,744	)		—			—
Net increase (decrease)		78,672		$	1,564,101			—		$	—
Class I:(l)
Shares sold		3,517,514		$	72,826,870			237		$	5,000
Shares issued to shareholders in reinvestment of distributions		122,353			2,478,799			—			—
Shares repurchased		(276,183	)		(5,668,780	)		—			—
Net increase (decrease)		3,363,684		$	69,636,889			237		$	5,000
U.S. Small Cap Value Fund
Class VI:
Shares sold		223,401		$	3,820,818			434,736		$	7,112,560
Shares issued to shareholders in reinvestment of distributions		35,623			630,097			1,174,542			18,256,190
Shares repurchased		(145,079	)		(2,656,815	)		(12,753,368	)		(205,859,000	)
Net increase (decrease)		113,945		$	1,794,100			(11,144,090	)	$	(180,490,250	)

^(a) Class I liquidated on August 28, 2023.

^(b) Class II liquidated on August 28, 2023.

^(c) The period under the heading “Year Ended February 29, 2024” represents the period from September 25, 2023 (commencement of operations) through February 29, 2024.

^(d) The period under the heading “Year Ended February 29, 2024” represents the period from August 14, 2023 (commencement of operations) through February 29, 2024.

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

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

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

^(h) 476,600 shares and $7,253,856 were redeemed in-kind by an affiliate.

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

193

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

February 29, 2024

^(a) Class I liquidated on August 28, 2023.

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

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

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

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

⁽ⁿ⁾ The period under the heading “Year Ended February 29, 2024” represents the period from August 28, 2023 (commencement of operations) through February 29, 2024.

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 29, 2024 is set forth below:

															Net Increase/
															Decrease in
	Value,									Distributions		Net			Unrealized
	beginning of				Sales		Dividend			of Realized		Realized			Appreciation/			Value, end of
Affiliate	period		Purchases		Proceeds		Income			Gains		Gain (Loss)			Depreciation			period
Climate Change Fund
GMO U.S. Treasury Fund	$	27,154,401	$	580,947,975	$	585,788,578	$	802,643	*	$	—	$	89,038		$	(12,066	)	$	22,390,770
Emerging Markets ex-China Fund
GMO U.S. Treasury Fund	$	319,023	$	95,790,653	$	91,441,000	$	236,971		$	—	$	12,533		$	—		$	4,681,209
Emerging Markets Fund
Anilana Hotels & Properties Ltd.	$	258,636	$	—	$	—	$	—		$	—	$	—		$	44,718		$	303,354
GMO Emerging Markets Select Equity Fund, Class V		—		18,914,024		18,051,487		181,179			732,840		(862,537	)		—			—
GMO U.S. Treasury Fund		15,345,992		203,314,386		217,655,846		321,077			—		132			—			1,004,664
Totals	$	15,604,628	$	222,228,410	$	235,707,333	$	502,256		$	732,840	$	(862,405	)	$	44,718		$	1,308,018
International Equity Fund
GMO U.S. Treasury Fund	$	72,610,442	$	265,799,999	$	266,700,000	$	3,485,168		$	—	$	156,555		$	(20,261	)	$	71,846,735
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
GMO U.S. Treasury Fund	$	1,160,296	$	90,694,999	$	84,727,420	$	202,762		$	—	$	3,699		$	(1,574	)	$	7,130,000
Quality Cyclicals Fund
GMO U.S. Treasury Fund	$	680,863	$	10,870,001	$	11,051,000	$	28,456		$	—	$	1,164		$	—		$	501,028
Quality Fund
GMO U.S. Treasury Fund	$	116,238,335	$	1,104,660,000	$	942,350,000	$	8,225,130		$	—	$	157,550		$	(36,832	)	$	278,669,053
Resource Transition Fund
GMO U.S. Treasury Fund	$	3,512,040	$	49,360,466	$	50,830,856	$	230,468		$	—	$	7,861		$	—		$	2,049,511

194

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

February 29, 2024

													Net Increase/
													Decrease in
	Value,								Distributions		Net		Unrealized
	beginning of				Sales		Dividend		of Realized		Realized		Appreciation/			Value, end of
Affiliate	period		Purchases		Proceeds		Income		Gains		Gain (Loss)		Depreciation			period
Resources Fund
GMO U.S. Treasury Fund	$	39,264,526	$	908,250,000	$	891,304,999	$	2,308,735	$	—	$	31,440	$	(9,178	)	$	56,231,789
Small Cap Quality Fund
GMO U.S. Treasury Fund	$	611,750	$	29,057,350	$	22,280,000	$	107,311	$	—	$	3,759	$	(417	)	$	7,392,442
U.S. Equity Fund
GMO U.S. Treasury Fund	$	3,058,032	$	11,015,000	$	12,085,000	$	153,626	$	—	$	6,329	$	—		$	1,994,361
U.S. Opportunistic Value Fund
GMO U.S. Treasury Fund	$	5,821,730	$	128,226,384	$	124,155,000	$	362,229	$	—	$	9,094	$	—		$	9,902,208
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	344,916	$	3,070,000	$	2,842,000	$	21,772	$	—	$	911	$	—		$	573,827

* Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $479,375 in Climate Change Fund during the year.

11. Subsequent events

Subsequent to February 29, 2024, GMO Emerging Markets ex-China Fund received redemption requests in the amount of $64,733,060.

195

Report of Independent Registered Public Accounting Firm

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

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Climate Change Fund, GMO Emerging Markets ex-China Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), GMO-Usonian Japan Value Creation Fund, GMO Quality Cyclicals Fund, GMO Quality Fund, GMO Resource Transition Fund, GMO Resources Fund, GMO Small Cap Quality Fund, GMO U.S. Equity Fund, GMO U.S. Opportunistic Value Fund and GMO U.S. Small Cap Value Fund (fourteen of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 29, 2024, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 29, 2024, the results of each of their operations and the changes in each of their net assets for each of the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

GMO Climate Change Fund, GMO Emerging Markets ex-China Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), GMO-Usonian Japan Value Creation Fund, GMO Quality Cyclicals Fund, GMO Quality Fund, GMO Resources Fund, GMO U.S. Equity Fund, GMO U.S. Small Cap Value Fund	Statements of operations for the year ended February 29, 2024, and the statements of changes in net assets for each of the two years in the period ended February 29, 2024
GMO Small Cap Quality Fund	Statement of operations for the year ended February 29, 2024, and statements of changes in net assets for the year ended February 29, 2024, and for the period September 20, 2022 (commencement of operations) through February 28, 2023
GMO U.S. Opportunistic Value Fund	Statement of operations for the year ended February 29, 2024, and statements of changes in net assets for the year ended February 29, 2024, and for the period December 13, 2022 (commencement of operations) through February 28, 2023
GMO Resource Transition Fund	Statement of operations for the year ended February 29, 2024, and statements of changes in net assets for the year ended February 29, 2024, and for the period February 15, 2023 (commencement of operations) through February 28, 2023

Basis for Opinions

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

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

196

Report of Independent Registered Public Accounting Firm - (Continued)

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 29, 2024 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, MA

April 25, 2024

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

197

GMO Trust Funds

 

 

Fund Expenses

February 29, 2024 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2024.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2023 through February 29, 2024.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning		Ending				Beginning		Ending
	Account Value		Account Value		Expenses Paid		Account Value		Account Value		Expenses Paid		Annualized
	September 1, 2023		February 29, 2024		During the Period*		September 1, 2023		February 29, 2024		During the Period*		Expense Ratio
Climate Change Fund
Class III	$	1,000.00	$	846.30	$	3.53	$	1,000.00	$	1,021.03	$	3.87		0.77	%
Class R6	$	1,000.00	$	846.20	$	3.53	$	1,000.00	$	1,021.03	$	3.87		0.77	%
Class I	$	1,000.00	$	845.80	$	3.99	$	1,000.00	$	1,020.54	$	4.37		0.87	%
Emerging Markets ex-China Fund
Class III	$	1,000.00	$	1,164.40	$	4.31	$	1,000.00	$	1,020.89	$	4.02		0.80	%
Class VI	$	1,000.00	$	1,164.30	$	3.61	$	1,000.00	$	1,021.53	$	3.37		0.67	%
Emerging Markets Fund
Class II	$	1,000.00	$	1,141.70	$	5.22	$	1,000.00	$	1,019.99	$	4.92		0.98	%
Class III	$	1,000.00	$	1,142.50	$	4.90	$	1,000.00	$	1,020.29	$	4.62		0.92	%
Class VI	$	1,000.00	$	1,143.10	$	4.21	$	1,000.00	$	1,020.94	$	3.97		0.79	%
Class R6	$	1,000.00	$	1,141.80	$	5.27	$	1,000.00	$	1,019.94	$	4.97		0.99	%
Class I	$	1,000.00	$	1,141.50	$	5.64	$	1,000.00	$	1,019.59	$	5.32		1.06	%
International Equity Fund
Class III	$	1,000.00	$	1,094.30	$	3.54	$	1,000.00	$	1,021.48	$	3.42		0.68	%
Class IV	$	1,000.00	$	1,095.10	$	3.23	$	1,000.00	$	1,021.78	$	3.12		0.62	%
Class I	$	1,000.00	$	1,093.70	$	4.42	$	1,000.00	$	1,020.64	$	4.27		0.85	%
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Class III	$	1,000.00	$	1,059.40	$	3.48	$	1,000.00	$	1,021.48	$	3.42		0.68	%
Class IV(a)	$	1,000.00	$	1,058.50	$	2.83	$	1,000.00	$	1,021.68	$	3.22		0.64	%
Class I	$	1,000.00	$	1,058.70	$	4.20	$	1,000.00	$	1,020.79	$	4.12		0.82	%

198

GMO Trust Funds

 

 

Fund Expenses — (Continued)

February 29, 2024 (Unaudited)

	Actual						Hypothetical
	Beginning		Ending				Beginning		Ending
	Account Value		Account Value		Expenses Paid		Account Value		Account Value		Expenses Paid		Annualized
	September 1, 2023		February 29, 2024		During the Period*		September 1, 2023		February 29, 2024		During the Period*		Expense Ratio
Japan Value Creation Fund
Class III	$	1,000.00	$	1,104.30	$	3.56	$	1,000.00	$	1,021.48	$	3.42		0.68	%
Class VI	$	1,000.00	$	1,104.40	$	3.03	$	1,000.00	$	1,021.98	$	2.92		0.58	%
Class I	$	1,000.00	$	1,104.10	$	4.08	$	1,000.00	$	1,020.99	$	3.92		0.78	%
Quality Cyclicals Fund
Class VI	$	1,000.00	$	1,078.00	$	2.17	$	1,000.00	$	1,022.78	$	2.11		0.42	%
Class I	$	1,000.00	$	1,076.80	$	3.15	$	1,000.00	$	1,021.83	$	3.07		0.61	%
Quality Fund
Class III	$	1,000.00	$	1,146.40	$	2.67	$	1,000.00	$	1,022.38	$	2.51		0.50	%
Class IV	$	1,000.00	$	1,146.70	$	2.46	$	1,000.00	$	1,022.58	$	2.31		0.46	%
Class VI	$	1,000.00	$	1,147.10	$	2.19	$	1,000.00	$	1,022.83	$	2.06		0.41	%
Class R6	$	1,000.00	$	1,146.40	$	2.61	$	1,000.00	$	1,022.43	$	2.46		0.49	%
Class I	$	1,000.00	$	1,145.80	$	3.15	$	1,000.00	$	1,021.93	$	2.97		0.59	%
Resource Transition Fund
Class VI	$	1,000.00	$	836.60	$	3.93	$	1,000.00	$	1,020.59	$	4.32		0.86	%
Resources Fund
Class III	$	1,000.00	$	901.10	$	3.40	$	1,000.00	$	1,021.28	$	3.62		0.72	%
Class IV	$	1,000.00	$	901.10	$	3.21	$	1,000.00	$	1,021.48	$	3.42		0.68	%
Class VI	$	1,000.00	$	901.90	$	2.98	$	1,000.00	$	1,021.73	$	3.17		0.63	%
Class R6	$	1,000.00	$	901.20	$	3.45	$	1,000.00	$	1,021.23	$	3.67		0.73	%
Class I	$	1,000.00	$	901.00	$	3.88	$	1,000.00	$	1,020.79	$	4.12		0.82	%
Small Cap Quality Fund
Class III	$	1,000.00	$	1,082.20	$	3.88	$	1,000.00	$	1,021.13	$	3.77		0.75	%
Class VI	$	1,000.00	$	1,082.70	$	3.42	$	1,000.00	$	1,021.58	$	3.32		0.66	%
Class I	$	1,000.00	$	1,081.70	$	3.88	$	1,000.00	$	1,021.13	$	3.77		0.75	%
U.S. Equity Fund
Class III	$	1,000.00	$	1,146.30	$	2.61	$	1,000.00	$	1,022.43	$	2.46		0.49	%
Class VI	$	1,000.00	$	1,146.70	$	2.08	$	1,000.00	$	1,022.92	$	1.96		0.39	%
U.S. Opportunistic Value Fund
Class III	$	1,000.00	$	1,116.70	$	2.58	$	1,000.00	$	1,022.43	$	2.46		0.49	%
Class IV	$	1,000.00	$	1,117.10	$	2.32	$	1,000.00	$	1,022.68	$	2.21		0.44	%
Class VI	$	1,000.00	$	1,117.90	$	2.05	$	1,000.00	$	1,022.92	$	1.96		0.39	%
Class R6	$	1,000.00	$	1,117.50	$	2.58	$	1,000.00	$	1,022.43	$	2.46		0.49	%
Class I	$	1,000.00	$	1,116.80	$	3.11	$	1,000.00	$	1,021.93	$	2.97		0.59	%
U.S. Small Cap Value Fund
Class VI	$	1,000.00	$	1,106.60	$	2.51	$	1,000.00	$	1,022.48	$	2.41		0.48	%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2024, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

(a) For the period September 25, 2023 (commencement of operations) through February 29, 2024, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 29, 2024, multiplied by the average account value over the period, multiplied by 157 days in the period, divided by 366 days in the year.

199

GMO Trust Funds

Tax Information for the Tax Year Ended February 29, 2024 (Unaudited)

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

With respect to distributions paid, the Fund designates the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year ended February 29, 2024:

	Dividend			Qualified						Interest-										Section 199A
																				Dividend
	Received			Dividend			U.S.			Related		Short-Term		Long-Term		Foreign		Foreign		Income
	Deduction			Income			Government			Dividend		Capital Gain		Capital Gain		Taxes		Source		(non-corporate
	(corporate			(non-corporate			Obligation			Income		Dividends		Distributions		Paid		Income		shareholders)
Fund Name	shareholders)(1)			shareholders)(1)			Income(1)(2)			($)(3)		($)(3)		($)		($)(4)		($)(4)		($)(5)
Climate Change Fund		33.05	%		100.00	%		6.65	%		513,687		—		—		694,031		7,331,803		—
Emerging Markets ex-China Fund		—			48.55	%		—			143,646		—		—		2,736,914		16,950,263		—
Emerging Markets Fund		—			39.75	%		—			436,609		—		—		3,810,277		48,786,678		—
International Equity Fund		—			65.56	%		—			1,508,680		—		—		3,339,319		49,137,815		—
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		—			93.62	%		—			20,292		427,021		2,343,083		597,719		8,101,453		—
Japan Value Creation Fund		—			56.56	%		—			—		—		—		324,366		3,243,657		—
Quality Cyclicals Fund		38.91	%		92.20	%		—			20,025		118,573		5,266,796		—		—		—
Quality Fund		55.68	%		78.68	%		—			5,970,080		54,743,029		217,382,439		—		—		—
Resource Transition Fund		8.01	%		65.11	%		—			—		—		—		821,552		11,176,332		—
Resources Fund		4.03	%		40.25	%		—			721,455		20,756,861		15,129,146		6,374,339		72,333,567		—
Small Cap Quality Fund		3.64	%		4.16	%		—			79,964		14,798,501		682,243		—		—		—
U.S. Equity Fund		47.66	%		51.17	%		—			94,247		5,000,593		23,051,160		—		—		—
U.S. Opportunistic Value Fund		46.34	%		47.36	%		—			59,398		12,343,243		1,725		—		—		—
U.S. Small Cap Value Fund		96.02	%		97.51	%		—			41,879		—		—		—		—		33,579

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

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

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

⁽⁴⁾ The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders. All amounts presented above are based upon net investment income earned.

⁽⁵⁾ The Funds hereby designate the above qualified business income under Section 199A of the Code.

In early 2025, the Funds will notify applicable shareholders of amounts for use in preparing 2024 U.S. federal income tax forms.

200

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 29, 2024. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 53 State Street, Suite 3300, Boston, MA 02109. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Ms. Santoro, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.	31	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Professor of Finance (July 1, 2011 – June 30, 2022) and Peter Moores Dean and Professor of Finance (July 1, 2011 – June 30, 2021) University of Oxford, Said Business School; Baker Foundation Professor, Harvard Business School (since July 1, 2022).	31	None
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired	31	Trustee of HIMCO Variable Insurance Trust (27 Portfolios) (April 2014 – April 2019).

201

Interested Trustee and Officer

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held in the Past Five Years
Dina Santoro1 YOB: 1973	Trustee; President of the Trust	Trustee and President since February 2023.	Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); President, Chief Executive Officer, and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (September 2022 – December 2022); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018 –December 2022); Chief Operating Officer, Voya Investment Management (January 2022 –December 2022); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017-December 2022). Formerly, President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018-September 2022); Director, Voya Funds Services, LLC (March 2018-September 2022).	31	Voya Separate Portfolios Trust (July 2018 – December 2022).

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

Officers

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Dina Santoro YOB: 1973	Trustee; President of the Trust	Trustee and President since February 2023.	Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); President, Chief Executive Officer, and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (September 2022 – December 2022);
			Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018 – December 2022); Chief Operating Officer, Voya Investment Management (January 2022 – December 2022); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017 - December 2022). Formerly, President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018 - September 2022); Director, Voya Funds Services, LLC (March 2018 - September 2022).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020.	Head of Fund Reporting, Risk and Controls and Proxy Voting (October 2021 – present), Grantham, Mayo, Van Otterloo & Co. LLC; Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 – present).

202

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Head of Tax, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 - present); Head of Fund Tax, Grantham, Mayo, Van Otterloo & Co. LLC (2018 - 2020).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Treasury and Payables Manager, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 – present); Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – November 2020).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President-Law and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present); Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

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

203

AR-022924-EQ

GMO Trust

Annual Report

February 29, 2024

Asset Allocation Bond Fund

Emerging Country Debt Fund

High Yield Fund

Multi-Sector Fixed Income Fund

Opportunistic Income Fund

U.S. Treasury Fund

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

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

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

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

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

TABLE OF CONTENTS

Asset Allocation Bond Fund
Management Discussion and Analysis of Fund Performance	1
Performance Graph	2
Investment Concentration Summary	3
Schedule of Investments	4
Emerging Country Debt Fund
Management Discussion and Analysis of Fund Performance	7
Performance Graph	8
Investment Concentration Summary	9
Schedule of Investments	10
High Yield Fund
Management Discussion and Analysis of Fund Performance	23
Performance Graph	24
Investment Concentration Summary	25
Schedule of Investments	26
Multi-Sector Fixed Income Fund
Management Discussion and Analysis of Fund Performance	31
Performance Graph	32
Investment Concentration Summary	33
Schedule of Investments	34
Opportunistic Income Fund
Management Discussion and Analysis of Fund Performance	41
Performance Graph	42
Investment Concentration Summary	44
Schedule of Investments	45
U.S. Treasury Fund
Management Discussion and Analysis of Fund Performance	57
Performance Graph	58
Investment Concentration Summary	59
Schedule of Investments	60
Portfolio, Counterparty and Currency Abbreviations	61
Fund Financial Statements:
Statements of Assets and Liabilities	62
Statements of Operations	66
Statements of Changes in Net Assets	68
Statement of Cash Flow	71
Financial Highlights	72
Notes to Financial Statements	85
Report of Independent Registered Public Accounting Firm	120
Fund Expenses	121
Tax Information	123
Trustees and Officers	124

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO Asset Allocation Bond Fund returned +0.88% (net) for the fiscal year ended February 29, 2024, as compared with a +5.45% return for the FTSE 3-Month Treasury Bill Index.

For the period, the Fund predominantly had exposure to U.S. nominal government bonds, implemented largely through futures contracts. At the start of the fiscal year, the 10-year nominal yield was 3.92%, but this had climbed to 4.25% by the end of February 2024. This meaningful, but modest, increase masks considerable intra-period volatility as the 10-year nominal yield was hovering near 5% in mid-October 2023. Against this moderate backdrop for bonds, the Fund performed similarly to, for example, the FTSE 10-Year Treasury Benchmark On-the-Run Index, which returned 0.80%.

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

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

 

 

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

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

As of February 29, 2024

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Class VI		0.88	%		0.60	%		0.77	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited.

For Class VI the gross expense ratio of 0.93% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Class listed above, the corresponding net expense ratio of 0.33% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

2

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		87.0	%
Debt Obligations		12.5
Futures Contracts		0.7
Forward Currency Contracts		0.1
Other		(0.3	)
		100.0	%

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

3

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 12.5%
		U.S. Government — 12.5%
	5,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a)		5,005,786
		TOTAL DEBT OBLIGATIONS (COST $5,001,063)		5,005,786
		SHORT-TERM INVESTMENTS — 87.0%
		Sovereign and Sovereign Agency Issuers — 4.5%
JPY	270,000,000	Japan Treasury Discount Bills, Zero Coupon, due 03/11/24		1,801,010
		Repurchase Agreements — 82.0%
	32,999,662	Nomura Securities International, Inc. Repurchase Agreement, dated, 02/29/24 maturing on 03/01/24 with a maturity value of $33,004,520 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 12/31/28 and a market value of $33,578,847.		32,999,662

Shares		Description	Value ($)
		Money Market Funds — 0.5%
	212,181	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (b)		212,181
		TOTAL SHORT-TERM INVESTMENTS (COST $35,050,347)		35,012,853
		TOTAL INVESTMENTS — 99.5% (Cost $40,051,410)		40,018,639
		Other Assets and Liabilities (net) — 0.5%		207,880
		TOTAL NET ASSETS — 100.0%	$	40,226,519

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty		Currency Sold	Currency Purchased		Net Unrealized Appreciation (Depreciation)($)
03/11/2024		DB	JPY 270,000,000		USD 1,851,446	$	48,543

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
127	U.S. Long Bond (CBT)		June 2024		15,144,750		112,942
120	U.S. Treasury Note 10 Yr. (CBT)		June 2024		13,252,500		10,898
100	U.S. Treasury Note 2 Yr. (CBT)		June 2024		20,475,000		9,964
278	U.S. Treasury Note 5 Yr. (CBT)		June 2024		29,719,938		56,081
268	U.S. Treasury Ultra 10 Yr. (CBT)		June 2024		30,598,062		35,188
66	U.S. Ultra Bond (CBT)		June 2024		8,439,750		70,842
				$	117,630,000	$	295,915

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

  See accompanying notes to the financial statements. 4

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 61.

5 See accompanying notes to the financial statements.  

This page has been left blank intentionally.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

 

 

Portfolio Management

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

& Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Emerging Country Debt Fund returned +18.14% (net) for the fiscal year ended February 29, 2024, as compared with +10.05% for the J.P. Morgan EMBI Global Diversified + (“EMBIGD”).

EMBIGD’s spread over U.S. Treasuries tightened by 79 basis points to 368 basis points during the fiscal year, and the yield on the 10-year U.S. Treasury bond rose by 33 basis points to 4.25%.

The Fund had positive alpha from country selection during the fiscal year, driven by overweights in Argentina, Ecuador, Tunisia, and Suriname as well as underweights in Qatar, Malaysia, Uruguay, and the United Arab Emirates. In terms of security selection, positive alpha was driven by the holding of bonds in off-benchmark countries. The most notable countries in this category were Russia and Venezuela, followed by Chad, the Bahamas, and Albania. Security selection in on-benchmark countries such as Brazil, Colombia, Argentina, Indonesia, and India also contributed positive alpha during the fiscal year, though negative alpha from security selection in Tunisia, Turkey, Pakistan, and El Salvador partly offset these gains. Within quasi-sovereign security selection, the portfolio had positive alpha from Venezuela, Chile, and Indonesia, while China and Gabon detracted.

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

7

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

 

 

Comparison of Change in Value of a $1,000,000 Investment in

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

and the J.P. Morgan EMBI Global

As of February 29, 2024

	Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception
Class III	16.38%	2.54%	4.19%	n/a
Class IV	16.45%	2.60%	4.23%	n/a
Class VI	16.50%	n/a	n/a	7/29/21 -1.05%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of 0.75% on the purchase and 0.75% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

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

* The J.P. Morgan Emerging Markets Bond Index Global Diversified + (composite index) reflects the performance of the J.P. Morgan Emerging Markets Bond Index Global through 2/29/2020 and the J.P. Morgan EMBI Global Diversified thereafter.

For Class III, IV, and VI the gross expense ratio of 0.54%, 0.49%, and 0.44%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.54%, 0.49% and 0.44% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

8

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		93.3	%
Short-Term Investments		1.2
Loan Assignments		1.0
Rights/Warrants		0.9
Investment Funds		0.6
Loan Participations		0.4
Forward Currency Contracts		0.1
Written Options/Credit Linked Options		0.0	^
Swap Contracts		(0.1	)
Reverse Repurchase Agreements		(0.7	)
Other		3.3
		100.0	%

Country/Region Summary¤	% of Investments
Other Emerging		28.7	%†
Mexico		6.0
Turkey		5.4
Bahrain		4.3
Argentina		3.8
Egypt		3.8
Dominican Republic		3.7
Saudi Arabia		3.7
Colombia		3.6
Oman		3.6
Romania		3.2
South Africa		2.8
Venezuela		2.7
Indonesia		2.6
Panama		2.6
Hungary		2.5
Jordan		2.4
Ecuador		2.3
Peru		2.2
Vietnam		2.1
Chile		1.8
Kazakhstan		1.6
Other Developed		1.6	‡
Kenya		1.5
United Arab Emirates		1.5
		100.0	%

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

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

† “Other Emerging” is comprised of emerging countries that each represent between (1.5)% and 1.5% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.5)% and 1.5% of Investments.

^ Rounds to 0.0%.

9

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 93.3%
		Albania — 1.8%
		Sovereign and Sovereign Agency Issuers — 1.8%
	36,649,849	Albania Government International Bonds, Zero Coupon, due 08/31/25 (a) (b)		33,570,113
EUR	8,400,000	Albania Government International Bonds, Reg S, 3.50%, due 11/23/31		8,194,176
		Total Albania		41,764,289
		Angola — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	17,200,000	Angola Government International Bonds, Reg S, 9.38%, due 05/08/48		14,083,360
		Argentina — 3.5%
		Sovereign and Sovereign Agency Issuers — 3.5%
	19,790,713	Argentina Republic Government International Bonds, 1.00%, due 07/09/29		9,109,016
	23,933,493	Argentina Republic Government International Bonds, Step Up, 0.75%, due 07/09/30		11,076,899
JPY	300,295,076	Argentina Republic Government International Bonds, Variable Rate, 4.33%, due 12/31/33 (c)		455,691
	21,347,942	Argentina Republic Government International Bonds, Step Up, 3.63%, due 07/09/35		7,898,739
EUR	22,930,000	Argentina Republic Government International Bonds, Step Up, 3.75%, due 01/09/38		8,930,210
	38,298,994	Argentina Republic Government International Bonds, Step Up, 4.25%, due 01/09/38		15,577,630
JPY	246,273,000	Argentina Republic Government International Bonds, 0.67%, due 12/31/38 (c)		279,258
EUR	6,060,000	Argentina Republic Government International Bonds, Step Up, 3.00%, due 07/09/41		1,951,467
	26,801,240	Argentina Republic Government International Bonds, Step Up, 3.50%, due 07/09/41		9,568,043
	38,547,000	Argentina Republic Government International Bonds, Step Up, 3.63%, due 07/09/46		14,917,689
		Total Argentina		79,764,642
		Armenia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	2,400,000	Republic of Armenia International Bonds, Reg S, 3.60%, due 02/02/31		1,941,912
		Bahamas — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	8,040,000	Bahamas Government International Bonds,
		Reg S, 6.00%, due 11/21/28		7,094,014
	4,000,000	Bahamas Government International Bonds,
		Reg S, 9.00%, due 06/16/29		3,836,240

Par Value†		Description	Value ($)
		Bahamas — continued
		Sovereign and Sovereign Agency Issuers — continued
	13,840,000	Bahamas Government International Bonds, Reg S, 8.95%, due 10/15/32		13,043,508
		Total Bahamas		23,973,762
		Bahrain — 2.6%
		Sovereign and Sovereign Agency Issuers — 2.6%
	5,800,000	Bahrain Government International Bonds, 144A, 7.50%, due 02/12/36		5,885,724
	3,400,000	Bahrain Government International Bonds, Reg S, 6.00%, due 09/19/44		2,743,460
	54,190,000	Bahrain Government International Bonds, Reg S, 7.50%, due 09/20/47		50,964,069
	450,000	Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51		363,938
		Total Bahrain		59,957,191
		Barbados — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	15,020,000	Barbados Government International Bonds, Reg S, 6.50%, due 10/01/29		14,263,593
		Belarus — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	7,504,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 (c) (d)		2,326,240
	18,400,000	Republic of Belarus International Bonds, Reg S, 6.20%, due 02/28/30 (c) (d)		6,716,000
		Total Belarus		9,042,240
		Benin — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
EUR	3,350,000	Benin Government International Bonds, Reg S, 6.88%, due 01/19/52		2,905,341
		Bolivia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	6,300,000	Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28		3,678,696
		Brazil — 1.6%
		Corporate Debt — 0.8%
	19,384,894	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		18,166,554
		Sovereign and Sovereign Agency Issuers — 0.8%
	10,500,000	Brazil Government International Bonds, 4.75%, due 01/14/50		7,767,795
BRL	47,313,782	Rio Smart Lighting SARL, Reg S, 12.25%, due 09/20/32 (e)		9,912,756
				17,680,551
		Total Brazil		35,847,105

  See accompanying notes to the financial statements. 10

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Bulgaria — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
EUR	2,500,000	Bulgarian Energy Holding EAD, Reg S, 2.45%, due 07/22/28		2,370,159
		Cameroon — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
EUR	9,200,000	Republic of Cameroon International Bonds, Reg S, 5.95%, due 07/07/32		7,321,292
		Chile — 2.3%
		Corporate Debt — 1.2%
	15,951,000	Enel Generacion Chile SA, 8.13%, due 02/01/97 (a)		13,875,775
	9,061,825	ILAP Holdings Ltd., 144A, 5.00%, due 06/15/33 (c)		928,837
	13,591,746	Inversiones Latin America Power SpA, 144A, 11.00%, due 06/15/33		11,901,476
	974,428	Inversiones Latin America Power SpA, 144A, 12.00%, due 06/15/33 (c)		964,684
				27,670,772
		Sovereign and Sovereign Agency Issuers — 1.1%
	4,000,000	Chile Electricity Lux MPC SARL, 144A, 6.01%, due 01/20/33		4,067,360
	4,200,000	Chile Government International Bonds, 3.10%, due 05/07/41		3,082,758
	700,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		677,061
	3,500,000	Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31		2,942,415
	18,750,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		13,781,438
				24,551,032
		Total Chile		52,221,804
		China — 0.0%
		Corporate Debt — 0.0%
	10,200,000	China Evergrande Group, Reg S, 11.50%, due 01/22/23 (d)		89,250
	13,000,000	China Evergrande Group, Reg S, 12.00%, due 01/22/24 (d)		113,750
	6,800,000	China Evergrande Group, Reg S, 10.50%, due 04/11/24 (d)		59,500
	5,500,000	Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 (d)		55,000
	1,900,000	Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 (d)		19,000
	3,300,000	Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 (d)		33,000
	3,700,000	Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 (d)		37,000
		Total China		406,500

Par Value†		Description	Value ($)
		Colombia — 4.2%
		Corporate Debt — 0.2%
COP	25,193,328,310	PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36		5,091,299
		Sovereign and Sovereign Agency Issuers — 4.0%
	6,740,000	AI Candelaria Spain SA, Reg S, 5.75%, due 06/15/33		5,311,120
	992,000	Colombia Government International Bonds, 8.38%, due 02/15/27 (a)		1,015,508
	2,800,000	Colombia Government International Bonds, 11.85%, due 03/09/28 (a)		3,209,028
	74,600,000	Colombia Government International Bonds, 5.63%, due 02/26/44		58,451,338
	6,700,000	Colombia Government International Bonds, 5.20%, due 05/15/49		4,857,902
	11,720,000	Ecopetrol SA, 5.88%, due 11/02/51		8,334,561
COP	37,736,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		8,439,981
				89,619,438
		Total Colombia		94,710,737
		Congo Republic (Brazzaville) — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	32,290,719	Congolese International Bonds, Reg S, Step Up, 6.00%, due 06/30/29 (c)		26,167,752
		Costa Rica — 1.3%
		Sovereign and Sovereign Agency Issuers — 1.3%
	7,000,000	Costa Rica Government International Bonds, 144A, 6.55%, due 04/03/34		7,218,610
	19,331,000	Costa Rica Government International Bonds, Reg S, 7.16%, due 03/12/45		19,988,254
	3,463,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		3,010,767
		Total Costa Rica		30,217,631
		Cote D’Ivoire — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
EUR	1,400,000	Ivory Coast Government International Bonds, Reg S, 6.88%, due 10/17/40		1,253,998
EUR	22,500,000	Ivory Coast Government International Bonds, Reg S, 6.63%, due 03/22/48		18,968,031
		Total Cote D’Ivoire		20,222,029
		Czech Republic — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	4,058,000	CEZ AS, Reg S, 5.63%, due 04/03/42		3,631,835
		Dominican Republic — 2.5%
		Sovereign and Sovereign Agency Issuers — 2.5%
	6,410,000	Dominican Republic International Bonds, Reg S, 6.40%, due 06/05/49		5,982,132
	59,929,000	Dominican Republic International Bonds, Reg S, 5.88%, due 01/30/60		50,538,725
		Total Dominican Republic		56,520,857

11 See accompanying notes to the financial statements.  

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Ecuador — 2.7%
		Sovereign and Sovereign Agency Issuers — 2.7%
	1,200,000	Ecuador Government International Bonds, 5.00%, due 02/28/25 (c)		1,104,000
	5,546,892	Ecuador Government International Bonds, Reg S, Zero Coupon, due 07/31/30		2,238,171
	28,276,250	Ecuador Government International Bonds, Reg S, Step Up, 6.00%, due 07/31/30		17,135,408
	58,587,125	Ecuador Government International Bonds, Reg S, Step Up, 3.50%, due 07/31/35		27,770,297
	24,803,750	Ecuador Government International Bonds, Reg S, Step Up, 2.50%, due 07/31/40		10,789,631
	3,744,250	Ecuador Social Bonds SARL, Reg S, Zero Coupon, due 01/30/35		2,539,388
		Total Ecuador		61,576,895
		Egypt — 2.8%
		Sovereign and Sovereign Agency Issuers — 2.8%
	21,800,000	Egypt Government International Bonds, Reg S, 8.70%, due 03/01/49		17,185,158
	42,500,000	Egypt Government International Bonds, Reg S, 8.88%, due 05/29/50		33,986,719
	17,764,000	Egypt Government International Bonds, Reg S, 8.15%, due 11/20/59		13,390,148
		Total Egypt		64,562,025
		El Salvador — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	2,175,000	El Salvador Government International Bonds, Reg S, 7.65%, due 06/15/35 (f)		1,631,685
	22,200,000	El Salvador Government International Bonds, Reg S, 7.12%, due 01/20/50 (f)		15,146,616
		Total El Salvador		16,778,301
		Ethiopia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	2,690,000	Ethiopia International Bonds, Reg S, 6.63%, due 12/11/24 (d)		1,859,758
		Gabon — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	7,400,000	Gabon Blue Bond Master Trust, 144A, 6.10%, due 08/01/38		7,325,276
	3,700,000	Gabon Government International Bonds, Reg S, 6.63%, due 02/06/31		3,008,581
	9,600,000	Gabon Government International Bonds, Reg S, 7.00%, due 11/24/31		7,824,000
		Total Gabon		18,157,857
		Ghana — 1.6%
		Sovereign and Sovereign Agency Issuers — 1.6%
	8,200,000	Ghana Government International Bonds, Reg S, 8.88%, due 05/07/42 (d)		3,481,474
	11,700,000	Ghana Government International Bonds, Reg S, 8.63%, due 06/16/49 (d)		4,870,125

Par Value†		Description	Value ($)
		Ghana — continued
		Sovereign and Sovereign Agency Issuers — continued
	25,900,000	Ghana Government International Bonds, Reg S, 8.95%, due 03/26/51 (d)		11,043,760
	33,200,000	Ghana Government International Bonds, Reg S, 8.75%, due 03/11/61 (d)		14,080,784
	6,469,920	Saderea DAC, Reg S, 12.50%, due 11/30/26 (d)		2,915,799
		Total Ghana		36,391,942
		Grenada — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	3,679,813	Grenada Government International Bonds, Reg S, 7.00%, due 05/12/30		3,422,226
		Guatemala — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	3,515,000	Guatemala Government Bonds, Reg S, 8.13%, due 10/06/34		3,860,314
	4,600,000	Guatemala Government Bonds, Reg S, 4.65%, due 10/07/41		3,655,298
	13,300,000	Guatemala Government Bonds, Reg S, 6.13%, due 06/01/50		12,108,187
		Total Guatemala		19,623,799
		Honduras — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	2,450,000	Honduras Government International Bonds, Reg S, 5.63%, due 06/24/30 (f)		2,142,378
		Hungary — 2.2%
		Sovereign and Sovereign Agency Issuers — 2.2%
	8,500,000	Hungary Government International Bonds, Reg S, 6.25%, due 09/22/32		8,768,515
	19,900,000	Hungary Government International Bonds, 144A, 5.50%, due 06/16/34		19,358,322
	2,100,000	Hungary Government International Bonds, 144A, 5.50%, due 03/26/36		2,022,132
	13,700,000	Hungary Government International Bonds, Reg S, 3.13%, due 09/21/51		8,529,483
	7,700,000	Hungary Government International Bonds, Reg S, 6.75%, due 09/25/52		8,170,778
	3,500,000	MVM Energetika Zrt, Reg S, 7.50%, due 06/09/28		3,622,500
		Total Hungary		50,471,730
		India — 0.9%
		Corporate Debt — 0.9%
	8,850,125	Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt Ltd./Wardha Solar Maharash, Reg S, 4.63%, due 10/15/39		7,403,926
	12,700,000	Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29		12,504,801
		Total India		19,908,727

  See accompanying notes to the financial statements. 12

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Indonesia — 2.8%
		Sovereign and Sovereign Agency Issuers — 2.8%
	14,200,000	Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT, Reg S, 5.80%, due 05/15/50		13,120,090
	2,800,000	Indonesia Government International Bonds, 4.85%, due 01/11/33		2,749,068
	3,391,000	Indonesia Government International Bonds, 5.45%, due 09/20/52		3,377,640
	2,012,920	LLPL Capital Pte. Ltd., Reg S, 6.88%, due 02/04/39		1,951,526
	26,200,000	Minejesa Capital BV, Reg S, 5.63%, due 08/10/37		22,859,500
	4,900,000	Perusahaan Penerbit SBSN Indonesia III, Reg S, 4.70%, due 06/06/32		4,793,915
	10,700,000	Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Reg S, 6.25%, due 01/25/49		10,553,196
	4,195,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		4,155,315
		Total Indonesia		63,560,250
		Israel — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	14,283,000	Israel Electric Corp. Ltd., Reg S, 8.10%, due 12/15/96		16,299,017
		Jamaica — 0.6%
		Corporate Debt — 0.3%
	5,920,810	TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36		5,197,050
		Sovereign and Sovereign Agency Issuers — 0.3%
	2,675,000	Jamaica Government International Bonds, 7.88%, due 07/28/45		3,100,967
	4,200,000	National Road Operating & Constructing Co. Ltd., Reg S, 9.38%, due 11/10/24		4,244,310
				7,345,277
		Total Jamaica		12,542,327
		Jordan — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	30,495,000	Jordan Government International Bonds, Reg S, 7.38%, due 10/10/47		26,263,819
		Kazakhstan — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	18,980,000	KazMunayGas National Co. JSC, Reg S, 6.38%, due 10/24/48		17,319,440
		Kenya — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	1,400,000	Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48		1,141,000

Par Value†		Description	Value ($)
		Kenya — continued
		Sovereign and Sovereign Agency Issuers — continued
	24,294,000	Republic of Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48		19,799,610
		Total Kenya		20,940,610
		Lebanon — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	6,200,000	Lebanon Government International Bonds, Reg S, 6.85%, due 03/23/27 (d)		356,500
	5,047,000	Lebanon Government International Bonds, Reg S, 7.00%, due 03/20/28 (d)		290,203
	55,005,000	Lebanon Government International Bonds, Reg S, 7.15%, due 11/20/31 (d)		3,162,787
	19,100,000	Lebanon Government International Bonds, 8.20%, due 05/17/33 (d)		1,098,250
	51,714,000	Lebanon Government International Bonds, 8.25%, due 05/17/34 (d)		2,973,555
		Total Lebanon		7,881,295
		Malaysia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	4,400,000	Dua Capital Ltd., Reg S, 2.78%, due 05/11/31		3,750,076
		Mexico — 6.5%
		Sovereign and Sovereign Agency Issuers — 6.5%
	5,200,000	Comision Federal de Electricidad, Reg S, 5.00%, due 07/30/49		4,316,000
GBP	56,606,000	Mexico Government International Bonds, 5.63%, due 03/19/2114		54,150,493
	125,900,000	Petroleos Mexicanos, 7.69%, due 01/23/50		86,726,215
	4,700,000	Petroleos Mexicanos, Reg S, 6.63%, due 12/28/2170		2,739,442
		Total Mexico		147,932,150
		Montenegro — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
EUR	3,100,000	Montenegro Government International Bonds, Reg S, 2.88%, due 12/16/27		2,978,140
		Morocco — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	8,300,000	Morocco Government International Bonds, 144A, 6.50%, due 09/08/33		8,516,381
	8,400,000	OCP SA, Reg S, 6.88%, due 04/25/44		7,875,000
	1,500,000	OCP SA, Reg S, 5.13%, due 06/23/51		1,108,890
		Total Morocco		17,500,271
		Mozambique — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	6,876,000	Mozambique International Bonds, Reg S, Step Up, 9.00%, due 09/15/31		5,766,351

13 See accompanying notes to the financial statements.  

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Nigeria — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	26,450,000	Nigeria Government International Bonds, Reg S, 8.25%, due 09/28/51		21,493,799
		Oman — 2.1%
		Sovereign and Sovereign Agency Issuers — 2.1%
	2,500,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		2,430,225
	45,100,000	Oman Government International Bonds, Reg S, 6.75%, due 01/17/48		45,358,874
	1,100,000	Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31		1,089,957
		Total Oman		48,879,056
		Pakistan — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	13,300,000	Pakistan Government International Bonds, Reg S, 7.88%, due 03/31/36		9,211,713
	4,426,000	Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31		2,648,209
		Total Pakistan		11,859,922
		Panama — 2.8%
		Sovereign and Sovereign Agency Issuers — 2.8%
	1,964,190	AES Panama Generation Holdings SRL, Reg S, 4.38%, due 05/31/30		1,642,063
	20,700,000	Panama Bonos del Tesoro, Reg S, 6.38%, due 07/25/33		18,899,721
	8,937,000	Panama Government International Bonds, 8.13%, due 04/28/34		9,364,532
	7,600,000	Panama Government International Bonds, 6.40%, due 02/14/35		7,003,400
	7,200,000	Panama Government International Bonds, 8.00%, due 03/01/38		7,369,200
	23,800,000	Panama Government International Bonds, 4.50%, due 04/01/56		15,012,564
	8,200,000	Panama Government International Bonds, 4.50%, due 01/19/63		5,075,800
		Total Panama		64,367,280
		Papua New Guinea — 0.0%
		Sovereign and Sovereign Agency Issuers — 0.0%
	1,100,000	Papua New Guinea Government International Bonds, Reg S, 8.38%, due 10/04/28		1,029,600
		Peru — 1.9%
		Sovereign and Sovereign Agency Issuers — 1.9%
	18,500,000	Peru Government International Bonds, 3.60%, due 01/15/72 (f)		12,127,860
	44,845,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		30,600,883
		Total Peru		42,728,743

Par Value†		Description	Value ($)
		Philippines — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	3,500,000	Bangko Sentral ng Pilipinas International Bonds, 8.60%, due 06/15/97 (c)		4,646,250
	7,900,000	Philippines Government International Bonds, 5.95%, due 10/13/47		8,417,608
	10,112,000	Power Sector Assets & Liabilities Management Corp., 9.63%, due 05/15/28		11,681,483
		Total Philippines		24,745,341
		Poland — 1.3%
		Sovereign and Sovereign Agency Issuers — 1.3%
	4,200,000	Bank Gospodarstwa Krajowego, 144A, 5.38%, due 05/22/33		4,151,437
	9,500,000	Republic of Poland Government International Bonds, 5.75%, due 11/16/32		9,904,035
	10,200,000	Republic of Poland Government International Bonds, 4.88%, due 10/04/33		10,005,690
	5,200,000	Republic of Poland Government International Bonds, 5.50%, due 04/04/53		5,195,580
		Total Poland		29,256,742
		Republic of North Macedonia — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
EUR	10,700,000	North Macedonia Government International Bonds, Reg S, 1.63%, due 03/10/28		10,010,972
		Romania — 3.0%
		Sovereign and Sovereign Agency Issuers — 3.0%
EUR	18,600,000	Romania Government International Bonds, 144A, 6.38%, due 09/18/33		21,172,946
	13,200,000	Romania Government International Bonds, 144A, 6.38%, due 01/30/34		13,136,244
EUR	15,600,000	Romania Government International Bonds, 144A, 5.63%, due 02/22/36		16,562,379
EUR	4,500,000	Romania Government International Bonds, Reg S, 2.88%, due 04/13/42		3,235,752
EUR	9,500,000	Romania Government International Bonds, Reg S, 3.38%, due 01/28/50		6,958,760
	5,700,000	Romania Government International Bonds, Reg S, 7.63%, due 01/17/53		6,215,109
		Total Romania		67,281,190
		Russia — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	6,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (a) (d) (g)		3,435
	5,200,000	GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (a) (d) (g)		2,600
	6,800,000	GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (a) (d) (g)		3,400
	6,400,000	Russia Foreign Bonds - Eurobond, Reg S, 5.10%, due 03/28/35 (c) (d)		3,520,000
	27,000,000	Russia Foreign Bonds - Eurobond, 144A, 5.10%, due 03/28/35 (c) (d)		14,850,000
		Total Russia		18,379,435

  See accompanying notes to the financial statements. 14

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Rwanda — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	4,100,000	Rwanda International Government Bonds, Reg S, 5.50%, due 08/09/31		3,319,237
		Saudi Arabia — 2.8%
		Corporate Debt — 0.9%
	21,651,165	ACWA Power Management & Investments One Ltd., Reg S, 5.95%, due 12/15/39		20,958,328
		Sovereign and Sovereign Agency Issuers — 1.9%
	10,900,000	Saudi Government International Bonds, Reg S, 4.63%, due 10/04/47		9,237,750
	11,200,000	Saudi Government International Bonds, Reg S, 5.00%, due 01/18/53		9,878,288
	35,600,000	Saudi Government International Bonds, Reg S, 3.45%, due 02/02/61		23,309,812
				42,425,850
		Total Saudi Arabia		63,384,178
		Senegal — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
EUR	4,000,000	Senegal Government International Bonds, Reg S, 5.38%, due 06/08/37		3,053,258
	7,200,000	Senegal Government International Bonds, Reg S, 6.75%, due 03/13/48		5,211,000
		Total Senegal		8,264,258
		Serbia — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	6,100,000	Serbia International Bonds, Reg S, 6.50%, due 09/26/33		6,203,700
EUR	11,300,000	Serbia International Bonds, Reg S, 2.05%, due 09/23/36		8,424,062
		Total Serbia		14,627,762
		South Africa — 3.8%
		Sovereign and Sovereign Agency Issuers — 3.8%
	16,900,000	Eskom Holdings SOC Ltd., Reg S, 8.45%, due 08/10/28		16,790,150
ZAR	150,350,000	Eskom Holdings SOC Ltd., Zero Coupon, due 12/31/32		1,653,615
ZAR	933,900,000	Republic of South Africa Government International Bonds, 6.50%, due 02/28/41		28,819,190
	41,300,000	Republic of South Africa Government International Bonds, 5.75%, due 09/30/49		30,071,562
	8,300,000	Transnet SOC Ltd., Reg S, 8.25%, due 02/06/28		8,253,312
ZAR	20,200,000	Transnet SOC Ltd., Reg S, 13.50%, due 04/18/28		1,100,911
		Total South Africa		86,688,740
		Sri Lanka — 1.6%
		Sovereign and Sovereign Agency Issuers — 1.6%
	4,880,000	Sri Lanka Government International Bonds, Reg S, 6.83%, due 07/18/26 (d)		2,701,226

Par Value†		Description	Value ($)
		Sri Lanka — continued
		Sovereign and Sovereign Agency Issuers — continued
	8,544,000	Sri Lanka Government International Bonds, Reg S, 6.20%, due 05/11/27 (d) (f)		4,594,536
	22,600,000	Sri Lanka Government International Bonds, Reg S, 6.75%, due 04/18/28 (d)		12,176,202
	7,700,000	Sri Lanka Government International Bonds, Reg S, 7.85%, due 03/14/29 (d)		4,105,717
	23,800,000	Sri Lanka Government International Bonds, Reg S, 7.55%, due 03/28/30 (d)		12,698,014
		Total Sri Lanka		36,275,695
		Suriname — 1.3%
		Sovereign and Sovereign Agency Issuers — 1.3%
	24,224,446	Suriname Government International Bonds, 144A, 7.95%, due 07/15/33		21,293,288
	12,095,000	Suriname Government International Bonds, 144A, Variable Rate, 9.00%, due 12/31/50		8,526,975
		Total Suriname		29,820,263
		Tajikistan — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	5,774,000	Republic of Tajikistan International Bonds, Reg S, 7.13%, due 09/14/27		5,215,077
		Trinidad And Tobago — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	18,400,000	Heritage Petroleum Co. Ltd., Reg S, 9.00%, due 08/12/29		19,323,312
	9,300,000	Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29		8,809,518
		Total Trinidad And Tobago		28,132,830
		Tunisia — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
JPY	5,411,700,000	Tunisian Republic, 4.30%, due 08/02/30 (c)		19,131,544
JPY	1,780,000,000	Tunisian Republic, 4.20%, due 03/17/31 (c)		6,173,959
JPY	730,000,000	Tunisian Republic, 3.50%, due 02/03/33		2,239,861
		Total Tunisia		27,545,364
		Turkey — 3.3%
		Sovereign and Sovereign Agency Issuers — 3.3%
	10,544,000	Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25		10,295,900
	10,000,000	Turkiye Government International Bonds, 7.63%, due 05/15/34		9,962,500
	10,800,000	Turkiye Government International Bonds, 4.88%, due 04/16/43		7,491,852
	63,813,000	Turkiye Government International Bonds, 5.75%, due 05/11/47		47,836,777
		Total Turkey		75,587,029

15 See accompanying notes to the financial statements.  

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Ukraine — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	5,000,000	NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 (c) (d)		1,625,000
	12,600,000	State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/30 (c) (d)		3,325,266
	6,619,000	Ukraine Government International Bonds, Reg S, 7.75%, due 09/01/28 (c) (d)		1,889,261
	3,969,000	Ukraine Government International Bonds, Reg S, 7.75%, due 09/01/29 (c) (d)		1,121,401
	16,200,000	Ukraine Government International Bonds, Reg S, 9.75%, due 11/01/30 (c) (d)		4,810,752
	25,400,000	Ukraine Government International Bonds, Reg S, 7.38%, due 09/25/34 (c) (d)		6,632,194
	20,200,000	Ukraine Government International Bonds, Reg S, 7.25%, due 03/15/35 (c) (d)		5,293,612
	180,000	Ukraine Railways Via Rail Capital Markets PLC, Reg S, 7.88%, due 07/15/28 (c) (d)		93,600
		Total Ukraine		24,791,086
		United Arab Emirates — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	5,600,000	Abu Dhabi Government International Bonds, Reg S, 3.13%, due 09/30/49		3,887,744
	13,300,000	Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50		8,431,668
	16,400,000	Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51		11,154,132
		Total United Arab Emirates		23,473,544
		United States — 0.6%
		Asset-Backed Securities — 0.3%
	584,929	CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 5.67%, due 12/15/35		567,358
	137,223	CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 5.67%, due 12/15/35		136,409
	439,643	CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 5.63%, due 05/15/36		416,428
	5,880,550	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.26%, 5.59%, due 11/25/36		1,942,399
	5,933,528	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.33%, 5.66%, due 11/25/36		1,959,863
	3,055,622	WaMu Asset-Backed Certificates WaMu Trust, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.80%, due 04/25/37		1,141,013
				6,163,470

Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — 0.3%
	8,300,000	U.S. Treasury Notes, 3.88%, due 11/30/27 (h)		8,162,207
		Total United States		14,325,677
		Uruguay — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
UYU	379,600,000	Uruguay Government International Bonds, 9.75%, due 07/20/33		10,113,099
	2,218,000	Uruguay Government International Bonds, 5.10%, due 06/18/50		2,131,564
		Total Uruguay		12,244,663
		Uzbekistan — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	5,200,000	Republic of Uzbekistan International Bonds, Reg S, 3.70%, due 11/25/30		4,318,392
	9,850,000	Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28		8,317,340
		Total Uzbekistan		12,635,732
		Venezuela — 3.2%
		Sovereign and Sovereign Agency Issuers — 3.2%
	101,165,000	C.A. La Electricidad de Caracas, Reg S, 8.50%, due 04/10/18 (c) (d)		5,652,089
	159,800,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (d)		15,740,300
	49,667,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (d)		4,941,866
	6,600,000	Petroleos de Venezuela SA, Reg S, 9.75%, due 05/17/35 (d)		792,000
	17,228,000	Venezuela Government International Bonds, Reg S, 7.75%, due 10/13/19 (d)		2,411,920
	33,200,000	Venezuela Government International Bonds, Reg S, 6.00%, due 12/09/20 (d)		4,515,200
	21,550,000	Venezuela Government International Bonds, Reg S, 12.75%, due 08/23/22 (d)		3,555,750
	151,993,000	Venezuela Government International Bonds, Reg S, 9.00%, due 05/07/23 (d)		22,798,950
	62,400,000	Venezuela Government International Bonds, Reg S, 11.95%, due 08/05/31 (d)		11,169,600
	4,400,000	Venezuela Government International Bonds, 9.38%, due 01/13/34 (d)		776,600
		Total Venezuela		72,354,275
		Vietnam — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	5,858,000	Viet Nam Debt & Asset Trading Corp., Reg S, 1.00%, due 10/10/25		5,218,131
	7,318,000	Vietnam Government International Bonds, Variable Rate, U.S. (Fed) Prime Rate + 0.81%, 6.71%, due 03/13/28 (c)		6,688,652
		Total Vietnam		11,906,783

  See accompanying notes to the financial statements. 16

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Zambia — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	2,600,000	Zambia Government International Bonds, Reg S, 5.38%, due 09/20/22 (d)		1,585,610
	22,272,000	Zambia Government International Bonds, Reg S, 8.97%, due 07/30/27 (d)		15,033,600
		Total Zambia		16,619,210
		TOTAL DEBT OBLIGATIONS (COST $2,829,198,185)		2,125,885,594
		LOAN ASSIGNMENTS — 1.0%
		Chad — 0.3%
	277,243	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 7.60%, due 09/30/25 (c)		224,290
	9,610,455	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 7.85%, due 12/31/27 (c)		6,390,952
		Total Chad		6,615,242
		Kenya — 0.1%
	1,475,000	Kenya Government International Bonds, Variable Rate, 6 mo. LIBOR + 6.70%, 12.09%, due 04/10/25 (a)		1,441,913
		Turkey — 0.6%
	13,307,143	Meridiam Eastern Europe Investment S.à.r.l Loan Agreement, 8.85%, due 06/23/28 (a)		14,094,706
		TOTAL LOAN ASSIGNMENTS (COST $24,450,101)		22,151,861
		LOAN PARTICIPATIONS — 0.4%
		Angola — 0.3%
	5,271,428	Angola Government International Bonds Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c)		4,945,760
	2,566,667	Angola Government International Bonds Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		2,489,666
		Total Angola		7,435,426
		Iraq — 0.0%
EUR	448,068	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c)		410,662
		Russia — 0.0%
EUR	76,893,501	Russian Foreign Trade Obligations, (Participation with GML International Ltd.) (c) (d)		3

Par Value† / Shares		Description	Value ($)
		Sudan — 0.1%
CHF	11,833,578	Republic of Sudan, Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (c) (d)		602,150
CHF	5,155,077	Republic of Sudan, Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (d)		262,315
		Total Sudan		864,465
		TOTAL LOAN PARTICIPATIONS (COST $28,518,148)		8,710,556
		INVESTMENT FUNDS — 0.6%
		Colombia — 0.6%
	9,300,000	Bona Fide Investment Holdings II LLC (a) (i) (j)		12,461,563
	690,075	Bona Fide Investments Feeder LLC (a) (i) (j)		908,969
		Total Colombia		13,370,532
		TOTAL INVESTMENT FUNDS (COST $9,990,075)		13,370,532
		RIGHTS/WARRANTS — 0.9%
		Argentina — 0.7%
EUR	246,989,676	Argentina Republic Government International Bonds GDP Linked, Variable Rate, Expires 12/15/35 (k)		15,005,052
JPY	1,723,445,000	Argentina Republic Government International Bonds GDP Linked, Expires 12/15/35 (a) (k)		323,089
		Total Argentina		15,328,141
		Ukraine — 0.2%
	10,646,000	Ukraine Government International Bonds GDP Linked, Variable Rate, Reg S, Expires 08/01/41 (c) (k)		4,881,191
		TOTAL RIGHTS/WARRANTS (COST $42,051,371)		20,209,332
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 0.2%
	5,449,509	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (l)		5,449,509

17 See accompanying notes to the financial statements.  

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Repurchase Agreements — 1.0%
	21,999,134	Nomura Securities International, Inc. Repurchase Agreement, dated, 02/29/24 maturing on 03/01/24 with a maturity value of $22,002,373 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 12/31/28 and a market value of $22,385,246.		21,999,134
		TOTAL SHORT-TERM INVESTMENTS (COST $27,448,643)		27,448,643
		TOTAL INVESTMENTS — 97.4% (Cost $2,961,656,523)		2,217,776,518
		Other Assets and Liabilities (net) — 2.6%		59,771,108
		TOTAL NET ASSETS — 100.0%	$	2,277,547,626

Additional information on each restricted security is as follows:

					Value as a
					Percentage			Value as of
Issuer	Acquisition		Acquisition		of Fund’s			February 29,
Description	Date		Cost		Net Assets			2024
Bona Fide Investment Holdings II LLC		06/07/23	$	9,300,000		0.6	%	$	12,461,563
Bona Fide Investments Feeder LLC		12/31/21		690,075		0.0	%		908,969
GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27		04/30/20		6,725,653		0.0	%		3,435
GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28		03/12/21		5,306,910		0.0	%		2,600
GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29		01/26/22		6,017,589		0.0	%		3,400
								$	13,379,967

  See accompanying notes to the financial statements. 18

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty		Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)		Settlement Date		Counterparty		Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
04/02/2024		BCLY		BRL	63,000,000		USD	12,702,125		66,904		03/28/2024		DB	USD	1,959,732		ZAR	37,700,000		1,910
04/24/2024		MSCI		EUR	142,200,000		USD	155,150,282		1,140,937		03/28/2024		GS	USD	4,010,277		ZAR	77,200,000		6,667
04/24/2024		SSB		EUR	4,500,000		USD	4,888,496		14,782		03/28/2024		MSCI	ZAR	725,300,000		USD	37,784,504		45,003
04/18/2024		BCLY		GBP	3,400,000		USD	4,296,473		3,512		04/26/2024		MSCI	COP	112,820,000,000		USD	28,134,313		(363,489	)
04/18/2024		MSCI		GBP	44,300,000		USD	56,102,517		167,751		04/24/2024		DB	EUR	2,800,000		USD	3,023,621		(8,912	)
04/10/2024		MSCI		HKD	723,800,000		USD	92,859,516		313,197		04/24/2024		CITI	USD	869,677		EUR	800,000		(3,239	)
04/10/2024		SSB		HKD	14,700,000		USD	1,886,048		6,481		04/24/2024		MSCI	USD	5,103,517		EUR	4,700,000		(13,194	)
03/21/2024		MSCI		JPY	3,695,100,000		USD	24,748,233		35,544		04/10/2024		BCLY	USD	4,740,835		HKD	37,000,000		(9,951	)
04/02/2024		MSCI		USD	1,382,849		BRL	6,900,000		1,009		04/18/2024		BCLY	USD	22,579,661		TRY	739,800,000		(50,774	)
04/02/2024		SSB		USD	1,599,421		BRL	8,000,000		5,052										$	1,361,552
04/26/2024		JPM		USD	1,050,960		COP	4,170,000,000		2,362

Reverse Repurchase Agreements^(m)

Face Value			Description	Value ($)
USD	(10,338,501	)	Barclays Bank PLC, 4.50%, dated 07/26/23, (collateral: Peru Government International Bonds, 3.60%, due 01/15/72), to be repurchased on demand at face value plus accrued interest.		(10,338,501	)
USD	(1,918,004	)	Barclays Bank PLC, 4.55%, dated 01/31/24, (collateral: Honduras Government International Bonds, Reg S, 5.63%, due 06/24/30), to be repurchased on demand at face value plus accrued interest.		(1,918,004	)
USD	(1,626,501	)	Nomura International PLC, 4.75%, dated 02/09/24, (collateral: El Salvador Government International Bonds, Reg S, 7.65%, due 06/15/35), to be repurchased on demand at face value plus accrued interest.		(1,626,501	)
USD	(216,678	)	J.P. Morgan Securities PLC, 4.50%, dated 02/12/24, (collateral: Sri Lanka Government International Bonds, Reg S, 6.20%, due 05/11/27), to be repurchased on demand at face value plus accrued interest.		(216,678	)
USD	(330,455	)	Nomura International PLC, 4.50%, dated 02/21/24, (collateral: El Salvador Government International Bonds, Reg S, 7.12%, due 01/20/50), to be repurchased on demand at face value plus accrued interest.		(330,455	)
USD	(726,654	)	Nomura International PLC, 4.70%, dated 02/23/24, (collateral: El Salvador Government International Bonds, Reg S, 7.12%, due 01/20/50), to be repurchased on demand at face value plus accrued interest.		(726,654	)
				$	(15,156,793	)
Average balance outstanding				$	(27,912,965	)
Average interest rate (net)					(4.57	)%
Maximum balance outstanding				$	(47,263,141	)

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

19 See accompanying notes to the financial statements.  

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

Credit Linked Options

Principal / Notional Amount	Expiration Date		Description	Premiums Paid/ (Received) ($)			Value ($)
Put Sold USD 41,197,000		04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (a)		(1,574,973	)		70,275
Put Sold USD 81,200,000		04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) (a)		(4,869,699	)		46,744
				$	(6,444,672	)	$	117,019

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount			Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.EM.40.V1		USD	94,100,000		1.00	%		1.66	%		N/A		12/20/2028		Quarterly	$	2,766,540	$	2,582,763	$	(183,777	)

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount			Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Petrobras Global Finance BV	CITI		USD	36,900,000		1.00	%		0.18	%	N/A		12/20/2024	Quarterly		585,824			(240,393	)		(826,217	)
Republic of Turkey	BCLY		USD	12,700,000		1.00	%		0.75	%	N/A		12/20/2024	Quarterly		1,582,287			(25,294	)		(1,607,581	)
Republic of Turkey	CITI		USD	17,900,000		1.00	%		0.75	%	N/A		12/20/2024	Quarterly		1,213,688			(35,650	)		(1,249,338	)
Commonwealth of Bahamas	DB		EUR	13,236,906		1.00	%		5.19	%	N/A		06/20/2025	Quarterly		1,604,211			459,938			(1,144,273	)
Republic of Brazil	GS		USD	12,700,000		1.00	%		0.48	%	N/A		12/20/2025	Quarterly		(72,847	)		(113,893	)		(41,046	)
Republic of Colombia	MORD		USD	45,300,000		1.00	%		0.52	%	N/A		12/20/2025	Quarterly		151,692			(373,479	)		(525,171	)
Republic of South Africa Government International Bonds	MORD		USD	34,300,000		1.00	%		1.02	%	N/A		12/20/2025	Quarterly		360,718			14,160			(346,558	)
Republic of Egypt	CITI		USD	2,300,000		1.00	%		5.47	%	N/A		12/20/2027	Quarterly		655,500			326,053			(329,447	)
Republic of Egypt	JPM		USD	2,500,000		1.00	%		5.47	%	N/A		12/20/2027	Quarterly		690,000			354,406			(335,594	)
Republic of Egypt	JPM		USD	2,500,000		1.00	%		5.47	%	N/A		12/20/2027	Quarterly		725,000			354,406			(370,594	)
Kingdom of Bahrain	MORD		USD	5,400,000		1.00	%		1.91	%	N/A		06/20/2028	Quarterly		401,901			186,201			(215,700	)
Republic of Turkey	MORD		USD	1,600,000		1.00	%		2.70	%	N/A		06/20/2028	Quarterly		350,661			101,889			(248,772	)
Republic of South Africa Government International Bonds	MORD		USD	30,500,000		1.00	%		2.30	%	N/A		12/20/2028	Quarterly		2,200,074			1,645,143			(554,931	)
United States of Mexico	MORD		USD	14,700,000		1.00	%		0.85	%	N/A		12/20/2028	Quarterly		140,630			(97,590	)		(238,220	)
United States of Mexico	GS		USD	14,700,000		1.00	%		0.97	%	N/A		06/20/2029	Quarterly		1,168,386			(21,467	)		(1,189,853	)
United States of Mexico	GS		USD	14,700,000		1.00	%		1.33	%	N/A		09/20/2031	Quarterly		1,940,881			308,550			(1,632,331	)

  See accompanying notes to the financial statements. 20

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counterparty		Notional Amount			Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Sell Protection^:
Commonwealth of Bahamas		DB		USD	17,626,321		1.00	%		5.19	%		17,626,321 USD		06/20/2025		Quarterly		(1,850,317	)		(560,587	)		1,289,730
																		$	11,848,289		$	2,282,393		$	(9,565,896	)

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

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

⁽¹⁾  As of February 29, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity.

The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.30%	JPY-TONA-OIS-COMPOUND	JPY	8,570,000,000		12/21/2027		Annually		(62,494	)		280,246			342,740
USD-SOFR-COMPOUND	4.01%	USD	162,500,000		12/21/2027		Annually		155,081			(731,226	)		(886,307	)
BRL-CDI	10.05%	BRL	234,791,359		01/02/2029		At Maturity		(22,492	)		(552,087	)		(529,595	)
0.58%	JPY-TONA-OIS-COMPOUND	JPY	4,360,000,000		12/21/2032		Annually		(100,289	)		565,394			665,683
USD-SOFR-COMPOUND	3.45%	USD	54,000,000		09/20/2033		Annually		(1,200	)		(1,839,053	)		(1,837,853	)
5.56%	CL-CLICP-Bloomberg	CLP	25,400,000,000		12/20/2033		Semi-Annually		217,080			(862,166	)		(1,079,246	)
3.20%	EURIBOR	EUR	34,000,000		12/20/2033		Semi-Annually		173,932			(1,487,135	)		(1,661,067	)
2.80%	THB-THOR	THB	930,000,000		03/20/2034		Quarterly		(86,159	)		(561,592	)		(475,433	)
ZAR-JIBAR-SAFEX	10.04%	ZAR	208,000,000		03/20/2039		Quarterly		(34,841	)		(16,895	)		17,946
2.90%	EURIBOR	EUR	25,500,000		12/20/2053		Semi-Annually		255,170			(2,622,787	)		(2,877,957	)
3.70%	GBP-SONIA-COMPOUND	GBP	25,000,000		03/20/2054		Annually		(741,386	)		666,726			1,408,112
								$	(247,598	)	$	(7,160,575	)	$	(6,912,977	)

21 See accompanying notes to the financial statements.  

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

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

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

(d) Security is in default.

(e) Security is backed by the United States International Development Finance Corporation.

(f) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2).

(g) The security is restricted as to resale.

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

(i) Affiliated company (Note 10).

(j) Private placement security; restricted as to resale. Represents investment in a pool of constitutional obligations of the Colombian government owed to individuals.

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

(l) The rate disclosed is the 7 day net yield as of February 29, 2024.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 61.

  See accompanying notes to the financial statements. 22

GMO High Yield Fund

(A Series of GMO Trust)

 

 

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO High Yield Fund returned +11.03% (net) for the fiscal year ended February 29, 2024, as compared with +10.40% for the Markit iBoxx USD Liquid High Yield Index.

The Fund was invested in a mix of index portfolio products as well as cash high yield bonds. During the fiscal year, the Fund moved exposures between different products based on changes in the model’s alpha signals as well as other factors.

The Fund’s allocation to portfolio products, including standardized total return swaps and credit default swap indices, contributed positively towards outperformance over the benchmark, as did the carry allocation and the high-quality BB bonds in the Fund.

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

23

GMO High Yield Fund

(A Series of GMO Trust)

 

 

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

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

As of February 29, 2024

	Average Annual Total Returns
	1 Year	5 Year	Since Inception
Class VI	11.03%	4.50%	6/25/18 4.86%
Class I	n/a	n/a	4/13/23 8.20%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

For Class VI and I the gross expense ratio of 0.47% and 0.66%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.46% and 0.59% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

24

GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		58.6	%
Debt Obligations		38.8
Swap Contracts		2.6
Forward Currency Contracts		1.0
Futures Contracts		0.0	^
Written Options		(0.1	)
Other		(0.9	)
		100.0	%

Industry Group Summary¤	% of Investments
Consumer Cyclical		19.9	%
Communications		14.0
Energy		11.5
Consumer Non-Cyclical		11.4
Capital Goods		11.1
Technology		7.7
Finance Companies		4.0
Basic Industry		3.7
Electric		3.0
REITS		2.7
Insurance		2.6
Transportation		2.5
Other Industrial		1.8
Other Financial		1.0
Brokerage/Asset Managers/Exchanges		0.9
Cash/Cash Equivalents		0.9
Government Owned No Guarantee		0.7
Banking		0.6
		100.0	%

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

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

^ Rounds to 0.0%.

25

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 38.8%
		Corporate Debt — 15.3%
		Australia — 0.2%
	300,000	FMG Resources August 2006 Pty. Ltd., 144A, 5.88%, due 04/15/30		293,605
		Canada — 0.5%
	300,000	goeasy Ltd., 144A, 9.25%, due 12/01/28		318,322
	350,000	Parkland Corp., 144A, 4.63%, due 05/01/30		319,711
	250,000	Videotron Ltd., 144A, 3.63%, due 06/15/29		224,580
		Total Canada		862,613
		United Kingdom — 0.3%
	200,000	Jaguar Land Rover Automotive PLC, 144A, 5.50%, due 07/15/29		192,289
	300,000	Rolls-Royce PLC, 144A, 3.63%, due 10/14/25		288,861
		Total United Kingdom		481,150
		United States — 14.3%
	350,000	Adtalem Global Education, Inc., 144A, 5.50%, due 03/01/28		333,140
	300,000	AECOM, 5.13%, due 03/15/27		293,867
	100,000	Antero Midstream Partners LP/Antero Midstream Finance Corp., 144A, 5.75%, due 03/01/27		97,844
	150,000	APX Group, Inc., 144A, 6.75%, due 02/15/27		150,206
	300,000	Arcosa, Inc., 144A, 4.38%, due 04/15/29		276,899
	350,000	ASGN, Inc., 144A, 4.63%, due 05/15/28		326,411
	250,000	Avantor Funding, Inc., 144A, 3.88%, due 11/01/29		224,075
	300,000	Ball Corp., 6.00%, due 06/15/29		301,454
	300,000	Bath & Body Works, Inc., 6.88%, due 11/01/35		300,151
	200,000	Black Knight InfoServ LLC, 144A, 3.63%, due 09/01/28		188,412
	350,000	Boise Cascade Co., 144A, 4.88%, due 07/01/30		322,955
	350,000	Brink’s Co., 144A, 4.63%, due 10/15/27		330,747
	200,000	Builders FirstSource, Inc., 144A, 6.38%, due 06/15/32		199,968
	350,000	BWX Technologies, Inc., 144A, 4.13%, due 06/30/28		325,539
	250,000	Carnival Corp., 144A, 4.00%, due 08/01/28		230,590
	250,000	Central Garden & Pet Co., 4.13%, due 10/15/30		222,092
	200,000	Cleveland-Cliffs, Inc., 144A, 6.75%, due 04/15/30		198,536
	300,000	CNX Resources Corp., 144A, 6.00%, due 01/15/29		288,343
	350,000	Crowdstrike Holdings, Inc., 3.00%, due 02/15/29		308,856
	250,000	CTR Partnership LP/CareTrust Capital Corp., 144A, REIT, 3.88%, due 06/30/28		226,097

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	350,000	Directv Financing LLC/Directv Financing Co.-Obligor, Inc., 144A, 5.88%, due 08/15/27		330,354
	250,000	DT Midstream, Inc., 144A, 4.13%, due 06/15/29		228,436
	300,000	EnLink Midstream LLC, 144A, 5.63%, due 01/15/28		295,593
	200,000	EQM Midstream Partners LP, 144A, 7.50%, due 06/01/30		212,571
	300,000	Fair Isaac Corp., 144A, 5.25%, due 05/15/26		296,819
	200,000	FirstCash, Inc., 144A, 5.63%, due 01/01/30		189,457
	350,000	Fluor Corp., 4.25%, due 09/15/28		330,855
	300,000	Fortrea Holdings, Inc., 144A, 7.50%, due 07/01/30		306,750
	350,000	Fortress Transportation & Infrastructure Investors LLC, 144A, 5.50%, due 05/01/28		335,111
	250,000	Gartner, Inc., 144A, 3.63%, due 06/15/29		223,999
	350,000	Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 144A, 3.75%, due 12/15/27		295,748
	350,000	Hess Midstream Operations LP, 144A, 4.25%, due 02/15/30		318,707
	250,000	Hilton Domestic Operating Co., Inc., 144A, 3.75%, due 05/01/29		227,082
	350,000	Howard Hughes Corp., 144A, 4.13%, due 02/01/29		310,692
	350,000	Howmet Aerospace, Inc., 3.00%, due 01/15/29		313,906
	100,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, due 05/15/26		97,444
	375,000	Iron Mountain Information Management Services, Inc., 144A, 5.00%, due 07/15/32		335,263
	300,000	James Hardie International Finance DAC, 144A, 5.00%, due 01/15/28		289,302
	350,000	Jefferies Finance LLC/JFIN Co.-Issuer Corp., 144A, 5.00%, due 08/15/28		314,792
	250,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 144A, 4.75%, due 06/15/29		224,361
	250,000	Lamar Media Corp., 4.00%, due 02/15/30		223,125
	350,000	Levi Strauss & Co., 144A, 3.50%, due 03/01/31		303,300
	300,000	M/I Homes, Inc., 4.95%, due 02/01/28		285,588
	350,000	Moog, Inc., 144A, 4.25%, due 12/15/27		327,548
	225,000	Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31		191,992
	300,000	New Fortress Energy, Inc., 144A, 6.75%, due 09/15/25		298,452
	300,000	Newmark Group, Inc., 144A, 7.50%, due 01/12/29		305,046
	350,000	News Corp., 144A, 3.88%, due 05/15/29		316,335
	200,000	NMI Holdings, Inc., 144A, 7.38%, due 06/01/25		201,620
	250,000	Novelis Corp., 144A, 4.75%, due 01/30/30		228,302
	350,000	NRG Energy, Inc., 144A, 3.63%, due 02/15/31		294,291

  See accompanying notes to the financial statements. 26

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	300,000	NuStar Logistics LP, 6.38%, due 10/01/30		300,849
	250,000	OneMain Finance Corp., 3.50%, due 01/15/27		230,118
	300,000	PennyMac Financial Services, Inc., 144A, 5.38%, due 10/15/25		295,236
	300,000	Permian Resources Operating LLC, 144A, 7.00%, due 01/15/32		308,033
	350,000	RLJ Lodging Trust LP, 144A, 4.00%, due 09/15/29		305,501
	350,000	ROBLOX Corp., 144A, 3.88%, due 05/01/30		306,541
	300,000	Royal Caribbean Cruises Ltd., 144A, 9.25%, due 01/15/29		322,708
	350,000	Sagicor Financial Co. Ltd., 144A, 5.30%, due 05/13/28		335,300
	250,000	Seagate HDD Cayman, 5.75%, due 12/01/34		240,300
	300,000	Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 144A, 4.63%, due 11/01/26		287,864
	250,000	Sirius XM Radio, Inc., 144A, 4.00%, due 07/15/28		225,229
	350,000	Sonic Automotive, Inc., 144A, 4.88%, due 11/15/31		300,727
	250,000	Starwood Property Trust, Inc., 144A, 4.38%, due 01/15/27		234,375
	350,000	Steelcase, Inc., 5.13%, due 01/18/29		329,470
	250,000	Stericycle, Inc., 144A, 3.88%, due 01/15/29		224,980
	250,000	Sunoco LP/Sunoco Finance Corp., 4.50%, due 05/15/29		230,937
	100,000	Talen Energy Supply LLC, 144A, 8.63%, due 06/01/30		105,504
	300,000	Taylor Morrison Communities, Inc., 144A, 5.75%, due 01/15/28		293,945
	350,000	Tempur Sealy International, Inc., 144A, 4.00%, due 04/15/29		313,720
	350,000	TopBuild Corp., 144A, 4.13%, due 02/15/32		306,540
	350,000	TriNet Group, Inc., 144A, 3.50%, due 03/01/29		309,904
	350,000	Twilio, Inc., 3.88%, due 03/15/31		304,522
	225,000	U.S. Cellular Corp., 6.70%, due 12/15/33		221,380
	350,000	Under Armour, Inc., 3.25%, due 06/15/26		329,576
	350,000	United Rentals North America, Inc., 3.75%, due 01/15/32		302,871
	300,000	Viper Energy, Inc., 144A, 7.38%, due 11/01/31		308,898
	300,000	Vistra Operations Co. LLC, 144A, 7.75%, due 10/15/31		310,319
	300,000	Vornado Realty LP, REIT, 3.50%, due 01/15/25		291,421
	300,000	Western Digital Corp., 4.75%, due 02/15/26		293,194
	350,000	Wyndham Hotels & Resorts, Inc., 144A, 4.38%, due 08/15/28		325,414
	200,000	XPO, Inc., 144A, 7.13%, due 06/01/31		204,259

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	200,000	Yum! Brands, Inc., 144A, 4.75%, due 01/15/30		189,732
	350,000	Ziff Davis, Inc., 144A, 4.63%, due 10/15/30		313,880
		Total United States		22,802,270
		Total Corporate Debt		24,439,638
		U.S. Government — 23.5%
	8,369,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield - 0.08%, 5.25%, due 04/30/24 (a)		8,367,326
	5,100,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.36%, due 07/31/24		5,099,759
	7,175,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a)		7,183,303
	16,830,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.13%, 5.45%, due 07/31/25 (a)		16,823,808
		Total U.S. Government		37,474,196
		TOTAL DEBT OBLIGATIONS (COST $61,429,072)		61,913,834
		SHORT-TERM INVESTMENTS — 58.6%
		Repurchase Agreements — 35.1%
	55,999,543	Nomura Securities International, Inc. Repurchase Agreement, dated 02/29/24, maturing on 03/01/24 with a maturity value of $56,007,787 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 12/31/28 and a market value of $56,982,404.		55,999,543
		Sovereign and Sovereign Agency Issuers — 22.3%
JPY	1,530,000,000	Japan Treasury Discount Bills, Zero Coupon, due 03/18/24		10,206,007
JPY	1,769,000,000	Japan Treasury Discount Bills, Zero Coupon, due 04/08/24		11,801,389
JPY	2,029,000,000	Japan Treasury Discount Bills, Zero Coupon, due 04/15/24		13,536,192
		Total Sovereign and Sovereign Agency Issuers		35,543,588

27 See accompanying notes to the financial statements.  

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Money Market Funds — 1.2%
	1,835,572	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (b)		1,835,572
		TOTAL SHORT-TERM INVESTMENTS (COST $94,636,843)		93,378,703
		TOTAL INVESTMENTS — 97.4% (Cost $156,065,915)		155,292,537
		Other Assets and Liabilities (net) — 2.6%		4,212,339
		TOTAL NET ASSETS — 100.0%	$	159,504,876

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/08/2024	BCLY		JPY	1,769,000,000		USD	12,449,304		584,806
04/15/2024	MSCI		JPY	2,029,000,000		USD	14,171,282		548,359
03/18/2024	SSB		JPY	1,530,000,000		USD	10,764,488		536,751
								$	1,669,916

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
27	U.S. Treasury Note 10 Yr. (CBT)		June 2024		2,981,813		1,719
15	U.S. Treasury Note 2 Yr. (CBT)		June 2024		3,071,250		1,512
52	U.S. Treasury Note 5 Yr. (CBT)		June 2024		5,559,125		10,549
				$	11,612,188	$	13,780

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description	Counterparty		Exercise Rate			Expiration Date		Principal/ Notional Amount				Floating Rate Index		Pay/Receive Floating Rate		Value ($)
Written Options on Credit Default Swaps – Puts
CDX.NA.HYS.41		CITI		104.50	%		04/17/24		USD	(19,116,000	)		Fixed Spread		Pay		(57,907	)
CDX.NA.HYS.41		JPM		105.50	%		03/20/24		USD	(12,744,000	)		Fixed Spread		Pay		(27,169	)
									Total Written Options On Credit Default Swaps — Puts								(85,076	)
													TOTAL WRITTEN OPTIONS
													(Premiums $212,968)			$	(85,076	)

  See accompanying notes to the financial statements. 28

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount			Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Sell Protection^:
CDX.NA.HYS.41.V2		USD	10,636,560		5.00	%		3.39	%		10,636,560 USD		12/20/2028		Quarterly	$	651,012	$	672,901	$	21,889

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

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

⁽¹⁾  As of February 29, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty		Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iBoxx USD Liquid High Yield Index		BCLY	USD	14,079,000		03/20/2024		Quarterly		12			791,958		791,946
SOFR	Total Return on iBoxx USD Liquid High Yield Index		MSCI	USD	6,000,000		03/20/2024		Quarterly		(25	)		193,095		193,120
SOFR	Total Return on iBoxx USD Liquid High Yield Index		JPM	USD	29,170,000		03/20/2024		Quarterly		(123	)		868,464		868,587
SOFR	Total Return on iBoxx USD Liquid High Yield Index		BCLY	USD	6,331,000		03/20/2024		Quarterly		(27	)		180,088		180,115
SOFR	Total Return on iBoxx USD Liquid High Yield Index		MSCI	USD	43,317,000		06/20/2024		Quarterly		(183	)		1,291,799		1,291,982
SOFR	Total Return on iBoxx USD Liquid High Yield Index		MSCI	USD	9,157,000		06/20/2024		Quarterly		(24	)		112,489		112,513
										$	(370	)	$	3,437,893	$	3,438,263

29 See accompanying notes to the financial statements.  

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 61.

  See accompanying notes to the financial statements. 30

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

 

 

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Multi-Sector Fixed Income Fund returned +3.81% (net) for the fiscal year ended February 29, 2024, as compared with +3.33% for the Bloomberg U.S. Aggregate Index.

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

The Fund’s overweight positioning to off-benchmark securitized products and emerging debt produced positive relative performance, and security selection within investment grade corporate bonds was strong. Active interest rate strategies were helpful, though currency positioning pulled on returns.

Developed markets interest rate performance benefited from active duration positions in Switzerland and New Zealand, while positioning in Sweden drew down. Curve slope (2-year vs. 10-year) added value, aided by small wins in each of the investible markets except Australia and Sweden.

Currency positioning hurt the portfolio overall, but losses were isolated to G10 markets while emerging currencies were slightly additive. Market selection underperformed, with Japanese yen and Swiss franc positioning struggling. In emerging markets, LatAm outperformed in cross section, where Mexican peso was most effective.

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

31

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

 

 

Comparison of Change in Value of a $1,000,000 Investment in

GMO Multi-Sector Fixed Income Fund Class III Shares and the

Bloomberg U.S. Aggregate Index

As of February 29, 2024

	Average Annual Total Returns
	1 Year	5 Year	10 Year
Class III	3.81%	0.21%	1.48%
Class IV	3.91%	0.26%	1.53%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

For Class III and IV the gross expense ratio of 0.74% and 0.69%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.42% and 0.37% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

32

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		67.5	%
Short-Term Investments		36.7
Common Stocks		15.1
Forward Currency Contracts		1.0
Futures Contracts		0.1
Loan Assignments		0.1
Rights/Warrants		0.1
Investment Funds		0.0	^
Loan Participations		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Swap Contracts		(0.5	)
Securities Sold Short		(0.7	)
Other		(19.4	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		97.2	%
Australia		5.2
United Kingdom		1.1
Canada		1.0
Other Developed		0.3	‡
Euro Region		(1.3	)§
Sweden		(3.5	)
		100.0	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using a reference security and applying the same methodology to that security. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund.

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

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

^ Rounds to 0.0%.

33

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 47.9%
		Germany — 0.2%
		Corporate Debt — 0.2%
	150,000	Deutsche Bank AG, Variable Rate, 6.72%, due 01/18/29		154,108
		Japan — 1.2%
		Corporate Debt — 1.2%
	250,000	Mitsubishi UFJ Financial Group, Inc., 3.85%, due 03/01/26		243,761
	200,000	Mitsubishi UFJ Financial Group, Inc., Variable Rate, 5.48%, due 02/22/31		201,492
	250,000	Mizuho Financial Group, Inc., Variable Rate, 4.25%, due 09/11/29		239,508
	200,000	Mizuho Financial Group, Inc., Variable Rate, 5.75%, due 05/27/34		204,212
		Total Japan		888,973
		Mexico — 0.2%
		Corporate Debt — 0.2%
	150,000	Southern Copper Corp., 5.88%, due 04/23/45		149,250
		United Kingdom — 0.8%
		Corporate Debt — 0.8%
	200,000	HSBC Holdings PLC, Variable Rate, 4.58%, due 06/19/29		192,411
	500,000	HSBC Holdings PLC, Variable Rate, 3.97%, due 05/22/30		463,613
		Total United Kingdom		656,024
		United States — 45.5%
		Corporate Debt — 19.8%
	150,000	Allstate Corp., 5.25%, due 03/30/33		149,430
	200,000	Allstate Corp., 4.20%, due 12/15/46		163,322
	150,000	Ally Financial, Inc., Variable Rate, 6.85%, due 01/03/30		153,304
	200,000	Amazon.com, Inc., 1.00%, due 05/12/26		184,095
	200,000	Amazon.com, Inc., 3.30%, due 04/13/27		191,742
	150,000	Amgen, Inc., 5.60%, due 03/02/43		150,164
	150,000	Amgen, Inc., 5.75%, due 03/02/63		150,014
	250,000	Athene Holding Ltd., 4.13%, due 01/12/28		239,471
	200,000	Athene Holding Ltd., 6.15%, due 04/03/30		205,782
	150,000	Bank of New York Mellon Corp., Variable Rate, 3.44%, due 02/07/28		143,397
	150,000	Bank of New York Mellon Corp., Variable Rate, 6.47%, due 10/25/34		162,713
	150,000	Berry Global, Inc., 144A, 5.50%, due 04/15/28		149,039
	200,000	Block Financial LLC, 3.88%, due 08/15/30		180,319
	150,000	Booking Holdings, Inc., 3.60%, due 06/01/26		145,369
	200,000	Booking Holdings, Inc., 4.63%, due 04/13/30		196,483
	200,000	Brighthouse Financial, Inc., 4.70%, due 06/22/47		154,958

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	150,000	Broadcom, Inc., 144A, 3.42%, due 04/15/33		128,114
	300,000	Broadcom, Inc., 144A, 3.19%, due 11/15/36		235,187
	150,000	Broadcom, Inc., 144A, 4.93%, due 05/15/37		139,752
	300,000	Cardinal Health, Inc., 4.37%, due 06/15/47		246,621
	150,000	Carlisle Cos., Inc., 3.75%, due 12/01/27		142,598
	150,000	CDW LLC/CDW Finance Corp., 4.25%, due 04/01/28		142,659
	150,000	CDW LLC/CDW Finance Corp., 3.25%, due 02/15/29		133,747
	250,000	Cencora, Inc., 3.25%, due 03/01/25		244,595
	200,000	Cheniere Energy Partners LP, 4.50%, due 10/01/29		187,333
	200,000	Cheniere Energy Partners LP, 4.00%, due 03/01/31		178,371
	200,000	Cheniere Energy Partners LP, 5.95%, due 06/30/33		201,313
	63,000	Cigna Group, 1.25%, due 03/15/26		58,199
	150,000	Cigna Group, 4.80%, due 07/15/46		134,047
	200,000	Cigna Group, 3.88%, due 10/15/47		153,733
	150,000	Columbia Pipeline Group, Inc., 5.80%, due 06/01/45		145,196
	150,000	Comerica, Inc., 4.00%, due 02/01/29		134,855
	150,000	Corebridge Financial, Inc., 144A, 6.05%, due 09/15/33		153,139
	100,000	Dick’s Sporting Goods, Inc., 3.15%, due 01/15/32		83,800
	100,000	Dick’s Sporting Goods, Inc., 4.10%, due 01/15/52		70,691
	150,000	Eli Lilly & Co., 4.15%, due 03/15/59		126,748
	200,000	Enstar Group Ltd., 4.95%, due 06/01/29		194,544
	150,000	Fortune Brands Innovations, Inc., 4.00%, due 06/15/25		147,138
	100,000	Fortune Brands Innovations, Inc., 3.25%, due 09/15/29		90,471
	200,000	Fortune Brands Innovations, Inc., 5.88%, due 06/01/33		203,061
	150,000	FS KKR Capital Corp., 3.40%, due 01/15/26		141,814
	300,000	FS KKR Capital Corp., 3.13%, due 10/12/28		259,133
	250,000	GE Capital International Funding Co. Unlimited Co., 4.42%, due 11/15/35		234,278
	150,000	Howmet Aerospace, Inc., 3.00%, due 01/15/29		134,531
	150,000	Intel Corp., 4.10%, due 05/19/46		124,476
	150,000	Intel Corp., 5.90%, due 02/10/63		156,258
	150,000	Jacobs Engineering Group, Inc., 6.35%, due 08/18/28		154,819
	150,000	JPMorgan Chase & Co., Variable Rate, 4.91%, due 07/25/33		145,510
	150,000	KeyCorp, 2.25%, due 04/06/27		133,984
	150,000	KeyCorp, 4.10%, due 04/30/28		140,478
	150,000	KeyCorp, Variable Rate, 4.79%, due 06/01/33		135,687

  See accompanying notes to the financial statements. 34

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	300,000	Kyndryl Holdings, Inc., 3.15%, due 10/15/31		247,403
	150,000	Lennox International, Inc., 5.50%, due 09/15/28		151,376
	200,000	Marriott International, Inc., 2.75%, due 10/15/33		161,068
	150,000	Meta Platforms, Inc., 3.85%, due 08/15/32		138,943
	250,000	Meta Platforms, Inc., 4.65%, due 08/15/62		221,510
	100,000	Micron Technology, Inc., 5.88%, due 09/15/33		101,957
	150,000	MPLX LP, 5.20%, due 03/01/47		134,598
	250,000	MPLX LP, 5.50%, due 02/15/49		234,127
	100,000	Mylan, Inc., 5.20%, due 04/15/48		82,205
	200,000	NVIDIA Corp., 3.50%, due 04/01/50		156,832
	250,000	Omega Healthcare Investors, Inc., REIT, 5.25%, due 01/15/26		247,767
	200,000	Omega Healthcare Investors, Inc., REIT, 3.38%, due 02/01/31		168,385
	150,000	Omega Healthcare Investors, Inc., REIT, 3.25%, due 04/15/33		119,397
	150,000	ONEOK, Inc., 6.63%, due 09/01/53		161,194
	150,000	Pacific Gas & Electric Co., 3.75%, due 07/01/28		139,639
	150,000	Pacific Gas & Electric Co., 4.75%, due 02/15/44		125,234
	150,000	PacifiCorp, 5.35%, due 12/01/53		138,550
	150,000	PacifiCorp, 5.80%, due 01/15/55		144,853
	150,000	Piedmont Operating Partnership LP, 9.25%, due 07/20/28		158,473
	150,000	Pilgrim’s Pride Corp., 6.25%, due 07/01/33		151,606
	200,000	Pilgrim’s Pride Corp., 6.88%, due 05/15/34		210,625
	150,000	Plains All American Pipeline LP/PAA Finance Corp., 4.70%, due 06/15/44		124,252
	150,000	Plains All American Pipeline LP/PAA Finance Corp., 4.90%, due 02/15/45		126,323
	150,000	PNC Financial Services Group, Inc., Variable Rate, 6.88%, due 10/20/34		162,493
	150,000	Progressive Corp., 4.13%, due 04/15/47		125,933
	150,000	Sabra Health Care LP, REIT, 5.13%, due 08/15/26		147,281
	250,000	Sabra Health Care LP, REIT, 3.20%, due 12/01/31		202,697
	100,000	Simon Property Group LP, REIT, 6.25%, due 01/15/34		105,375
	150,000	Simon Property Group LP, REIT, 5.85%, due 03/08/53		151,857
	100,000	TC PipeLines LP, 3.90%, due 05/25/27		95,388
	350,000	Union Pacific Corp., 3.80%, due 04/06/71		256,475
	150,000	Utah Acquisition Sub, Inc., 5.25%, due 06/15/46		122,559
	200,000	Verisk Analytics, Inc., 4.00%, due 06/15/25		196,460
	150,000	Verisk Analytics, Inc., 4.13%, due 03/15/29		144,001
	150,000	Verisk Analytics, Inc., 5.75%, due 04/01/33		154,888
	100,000	VMware LLC, 1.40%, due 08/15/26		90,903
	150,000	VMware LLC, 4.65%, due 05/15/27		146,826
	150,000	VMware LLC, 3.90%, due 08/21/27		142,986

Par Value† / Shares		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	300,000	Vontier Corp., 2.95%, due 04/01/31		246,821
	150,000	Vulcan Materials Co., 3.50%, due 06/01/30		136,621
	100,000	Walt Disney Co., 6.40%, due 12/15/35		110,281
	150,000	Walt Disney Co., 4.75%, due 09/15/44		137,844
	100,000	Willis North America, Inc., 4.50%, due 09/15/28		96,526
	100,000	WRKCo, Inc., 4.65%, due 03/15/26		98,703
	150,000	WRKCo, Inc., 4.00%, due 03/15/28		143,186
				15,018,903
		U.S. Government — 5.7%
	3,880,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield - 0.08%, 5.25%, due 04/30/24 (a)		3,879,224
	450,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.36%, due 07/31/24 (a)		449,979
				4,329,203
		U.S. Government Agency — 20.0%
	2,000,000	Government National Mortgage Association, TBA, 3.00%, due 03/20/54		1,753,246
	200,000	Uniform Mortgage-Backed Security, TBA, 2.00%, due 03/01/54		157,133
	2,300,000	Uniform Mortgage-Backed Security, TBA, 2.50%, due 03/01/39		2,085,039
	5,700,000	Uniform Mortgage-Backed Security, TBA, 3.00%, due 03/01/54		4,874,737
	700,000	Uniform Mortgage-Backed Security, TBA, 2.50%, due 03/01/54		575,057
	2,900,000	Uniform Mortgage-Backed Security, TBA, 6.00%, due 03/01/54		2,912,095
	2,900,000	Uniform Mortgage-Backed Security, TBA, 5.50%, due 03/01/54		2,868,601
				15,225,908
		Total United States		34,574,014
		TOTAL DEBT OBLIGATIONS (COST $36,694,142)		36,422,369
		MUTUAL FUNDS — 23.9%
		United States — 23.9%
		Affiliated Issuers — 23.9%
	196,141	GMO Emerging Country Debt Fund, Class VI		3,697,253
	602,517	GMO Opportunistic Income Fund, Class VI		14,460,403
		TOTAL MUTUAL FUNDS (COST $21,061,149)		18,157,656

35 See accompanying notes to the financial statements.  

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares / Par Value†		Description	Value ($)
		COMMON STOCKS — 15.1%
		United States — 15.1%
	65,000	Amazon.com, Inc.*		11,489,400
		TOTAL COMMON STOCKS (COST $10,097,100)		11,489,400
		SHORT-TERM INVESTMENTS — 31.8%
		Repurchase Agreements — 18.4%
	13,999,885	Nomura Securities International, Inc. Repurchase Agreement, dated, 02/29/24 maturing on 03/01/24 with a maturity value of $14,001,947 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date12/31/28 and a market value of $14,245,601.		13,999,885

Shares / Par Value† /		Description	Value ($)
		Money Market Funds — 0.6%
	496,067	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (b)		496,067
		Sovereign and Sovereign Agency Issuers — 12.8%
JPY	1,455,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/25/24		9,706,050
		TOTAL SHORT-TERM INVESTMENTS (COST $24,726,397)		24,202,002
		TOTAL INVESTMENTS — 118.7% (Cost $92,578,788)		90,271,427
		Other Assets and Liabilities (net) — (18.7%)		(14,252,316	)
		TOTAL NET ASSETS — 100.0%	$	76,019,111

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)		Settlement Date		Counterparty		Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
05/08/2024	CITI		AUD	250,000		USD	164,846		2,022		04/26/2024		JPM		USD	280		CLP	271,500		1
05/08/2024	GS		AUD	500,000		USD	326,741		1,093		04/26/2024		GS		USD	60,410		COP	240,000,000		213
05/08/2024	SSB		AUD	460,000		USD	302,592		2,996		04/26/2024		MSCI		USD	221,359		COP	880,000,000		925
04/30/2024	BBH		CAD	330,000		USD	245,097		1,724		04/30/2024		SSB		USD	63,376		IDR	1,000,000,000		186
04/30/2024	CITI		CAD	160,000		USD	118,499		500		05/09/2024		CITI		USD	28,017		ILS	100,000		38
04/30/2024	DB		CAD	420,000		USD	310,855		1,106		05/09/2024		DB		USD	124,686		ILS	450,000		1,563
04/30/2024	SSB		CAD	610,000		USD	453,052		3,179		05/09/2024		GS		USD	68,147		ILS	250,000		1,991
04/12/2024	SSB		CHF	4,363,976		USD	5,167,894		212,425		05/09/2024		SSB		USD	109,104		ILS	400,000		3,117
04/16/2024	CITI		CZK	2,400,000		USD	104,611		2,286		05/08/2024		CITI		USD	160,972		INR	13,420,556		516
04/16/2024	MSCI		CZK	6,042,868		USD	266,821		9,181		05/28/2024		SSB		USD	37,557		KRW	50,000,000		56
04/30/2024	DB		EUR	1,610,000		USD	1,746,312		2,179		04/18/2024		MSCI		USD	598,979		MXN	10,419,101		7,967
04/18/2024	SSB		GBP	880,000		USD	1,119,183		8,064		05/20/2024		MSCI		USD	37,065		PLN	150,000		466
05/14/2024	DB		HUF	10,000,000		USD	27,471		79		04/25/2024		CITI		USD	119,423		RON	550,000		81
05/14/2024	MSCI		HUF	50,230,100		USD	138,941		1,350		04/10/2024		BBH		USD	202,622		SEK	2,100,000		268
04/30/2024	MSCI		IDR	1,105,959,000		USD	70,356		60		04/10/2024		CITI		USD	152,905		SEK	1,600,000		1,677
03/25/2024	DB		JPY	1,455,000,000		USD	10,430,194		693,058		04/10/2024		DB		USD	258,603		SEK	2,700,000		2,255
04/16/2024	CITI		NOK	16,800,000		USD	1,610,764		27,376		04/10/2024		MSCI		USD	221,656		SEK	2,300,000		557
05/31/2024	MSCI		NZD	250,000		USD	154,082		1,869		03/28/2024		MSCI		ZAR	1,400,000		USD	72,933		87
03/27/2024	BCLY		PEN	120,000		USD	31,784		66		05/08/2024		SSB		AUD	300,000		USD	194,502		(887	)
04/30/2024	MSCI		PHP	1,500,000		USD	26,705		9		04/02/2024		GS		BRL	100,000		USD	20,015		(40	)
04/25/2024	BCLY		RON	150,000		USD	32,726		134		04/26/2024		MSCI		COP	946,342,000		USD	235,993		(3,049	)
04/25/2024	GS		RON	1,231,041		USD	269,091		1,610		04/16/2024		CITI		CZK	400,000		USD	16,875		(179	)
04/10/2024	DB		SEK	2,200,000		USD	212,808		257		04/30/2024		MSCI		EUR	200,000		USD	215,554		(1,108	)
04/10/2024	MSCI		SEK	10,597,350		USD	1,039,051		15,197		04/18/2024		SSB		GBP	200,000		USD	252,022		(505	)
04/24/2024	SSB		SGD	40,000		USD	29,803		9		05/09/2024		CITI		ILS	586,203		USD	161,574		(2,887	)
04/25/2024	JPM		TWD	6,045,600		USD	194,982		3,445		04/18/2024		SSB		MXN	5,000,000		USD	287,719		(3,547	)
04/25/2024	SSB		TWD	2,400,000		USD	77,487		1,450		03/27/2024		MSCI		PEN	160,000		USD	42,109		(182	)
05/08/2024	SSB		USD	983,328		AUD	1,510,000		129		05/20/2024		SSB		PLN	150,000		USD	37,529		(2	)
04/02/2024	GS		USD	20,055		BRL	100,000		1		04/25/2024		CITI		RON	200,000		USD	43,053		(403	)

See accompanying notes to the financial statements. 36 

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

Forward Currency Contracts — continued

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)			Settlement Date		Counterparty		Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
05/20/2024	CITI		THB	10,222,300		USD	284,164		(2,652	)		04/16/2024		CITI		USD	57,006		NOK	600,000		(456	)
04/02/2024	BCLY		USD	214,458		BRL	1,063,667		(1,130	)		04/16/2024		JPM		USD	3,321,422		NOK	34,085,429		(108,894	)
04/30/2024	GS		USD	395,656		CAD	530,000		(4,784	)		04/10/2024		CITI		USD	489,344		SEK	5,000,000		(6,274	)
04/30/2024	SSB		USD	258,410		CAD	347,182		(2,365	)		04/24/2024		SSB		USD	14,424		SGD	19,314		(38	)
04/12/2024	SSB		USD	2,523,273		CHF	2,160,000		(70,508	)		04/25/2024		CITI		USD	87,422		TWD	2,700,000		(1,881	)
04/16/2024	CITI		USD	148,029		CZK	3,400,000		(3,069	)		03/28/2024		CITI		ZAR	600,000		USD	31,014		(206	)
04/18/2024	BCLY		USD	1,544,270		GBP	1,220,000		(3,854	)											$	792,520
03/21/2024	MSCI		USD	2,356,893		JPY	351,902,084		(3,385	)
05/28/2024	CITI		USD	4,360		KRW	5,778,325		(13	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
45	U.S. Long Bond (CBT)		June 2024		5,366,250		38,948
42	U.S. Treasury Note 10 Yr. (CBT)		June 2024		4,638,375		2,675
30	U.S. Treasury Note 2 Yr. (CBT)		June 2024		6,142,500		3,024
74	U.S. Treasury Note 5 Yr. (CBT)		June 2024		7,911,062		15,012
18	U.S. Treasury Ultra 10 Yr. (CBT)		June 2024		2,055,094		1,759
27	U.S. Ultra Bond (CBT)		June 2024		3,452,625		29,020
				$	29,565,906	$	90,438

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
4.20%	3 Month AUD BBSW	AUD	12,100,000		03/20/2026		Quarterly		(12,168	)		(29,336	)		(17,168	)
3.95%	3 Month AUD BBSW	AUD	1,000,000		03/20/2026		Quarterly		(49	)		625			674
4.09%	3 Month AUD BBSW	AUD	2,000,000		03/20/2026		Quarterly		—			(2,129	)		(2,129	)
3 Month AUD BBSW	3.95%	AUD	6,500,000		03/20/2026		Quarterly		—			(4,516	)		(4,516	)
3 Month AUD BBSW	4.07%	AUD	3,500,000		03/20/2026		Quarterly		—			2,988			2,988
CAD-CORRA-OIS-COMPOUND	4.01%	CAD	6,000,000		03/20/2026		Annually		—			(15,403	)		(15,403	)
CAD-CORRA-OIS-COMPOUND	4.19%	CAD	5,500,000		03/20/2026		Annually		13,521			(527	)		(14,048	)
3.99%	CAD-CORRA-OIS-COMPOUND	CAD	6,500,000		03/20/2026		Annually		—			18,768			18,768
CHF-SARON-OIS-COMPOUND	1.08%	CHF	11,080,000		03/20/2026		Annually		(3,404	)		(6,748	)		(3,344	)
CHF-SARON-OIS-COMPOUND	1.10%	CHF	2,500,000		03/20/2026		Annually		58			(431	)		(489	)
CHF-SARON-OIS-COMPOUND	1.21%	CHF	4,500,000		03/20/2026		Annually		—			11,230			11,230
1.03%	CHF-SARON-OIS-COMPOUND	CHF	8,000,000		03/20/2026		Annually		3,560			13,085			9,525
EUR-EuroSTR-COMPOUND	2.43%	EUR	2,027,000		03/20/2026		Annually		26			(23,080	)		(23,106	)
EUR-EuroSTR-COMPOUND	2.52%	EUR	2,000,000		03/20/2026		Annually		—			(19,191	)		(19,191	)
EUR-EuroSTR-COMPOUND	2.64%	EUR	1,000,000		03/20/2026		Annually		—			(6,955	)		(6,955	)
2.83%	EUR-EuroSTR-COMPOUND	EUR	12,190,000		03/20/2026		Annually		(51,052	)		38,050			89,102

37 See accompanying notes to the financial statements.  

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
GBP-SONIA-COMPOUND	4.12%	GBP	2,000,000		03/20/2026		Annually		—			(20,783	)		(20,783	)
GBP-SONIA-COMPOUND	4.62%	GBP	6,500,000		03/20/2026		Annually		16,996			9,717			(7,279	)
4.08%	GBP-SONIA-COMPOUND	GBP	2,000,000		03/20/2026		Annually		—			22,687			22,687
3.75%	GBP-SONIA-COMPOUND	GBP	2,500,000		03/20/2026		Annually		857			47,525			46,668
4.04%	GBP-SONIA-COMPOUND	GBP	2,500,000		03/20/2026		Annually		1,387			30,299			28,912
5.19%	3 Month NZD Bank Bill Rate	NZD	4,500,000		03/20/2026		Quarterly		(9,905	)		(12,639	)		(2,734	)
4.64%	3 Month NZD Bank Bill Rate	NZD	5,500,000		03/20/2026		Quarterly		—			19,617			19,617
3 Month NZD Bank Bill Rate	5.09%	NZD	7,000,000		03/20/2026		Quarterly		—			11,073			11,073
3 Month SEK STIBOR	2.92%	SEK	32,060,000		03/20/2026		Quarterly		(985	)		(22,836	)		(21,851	)
4.33%	USD-SOFR-COMPOUND	USD	1,500,000		06/20/2026		Annually		—			(1,230	)		(1,230	)
6 Month AUD BBSW	4.37%	AUD	12,750,000		03/20/2034		Semi-annual		(26,855	)		(2,631	)		24,224
6 Month AUD BBSW	4.41%	AUD	400,000		03/20/2034		Semi-annual		184			915			731
6 Month AUD BBSW	4.48%	AUD	1,300,000		03/20/2034		Semi-annual		—			7,747			7,747
6 Month AUD BBSW	4.51%	AUD	400,000		03/20/2034		Semi-annual		—			2,994			2,994
6 Month AUD BBSW	4.60%	AUD	2,700,000		03/20/2034		Semi-annual		5,655			32,552			26,897
4.56%	6 Month AUD BBSW	AUD	800,000		03/20/2034		Semi-annual		—			(7,819	)		(7,819	)
4.42%	6 Month AUD BBSW	AUD	7,700,000		03/20/2034		Semi-annual		—			(18,138	)		(18,138	)
4.42%	6 Month AUD BBSW	AUD	1,500,000		03/20/2034		Semi-annual		—			(4,125	)		(4,125	)
CAD-CORRA-OIS-COMPOUND	3.43%	CAD	1,400,000		03/20/2034		Annually		—			(5,923	)		(5,923	)
CAD-CORRA-OIS-COMPOUND	3.46%	CAD	700,000		03/20/2034		Annually		—			(1,781	)		(1,781	)
CAD-CORRA-OIS-COMPOUND	3.49%	CAD	500,000		03/20/2034		Annually		—			(413	)		(413	)
CAD-CORRA-OIS-COMPOUND	3.49%	CAD	1,500,000		03/20/2034		Annually		—			(687	)		(687	)
CAD-CORRA-OIS-COMPOUND	3.61%	CAD	300,000		03/20/2034		Annually		—			1,951			1,951
3.15%	CAD-CORRA-OIS-COMPOUND	CAD	1,400,000		03/20/2034		Annually		—			30,312			30,312
3.41%	CAD-CORRA-OIS-COMPOUND	CAD	1,300,000		03/20/2034		Annually		—			7,493			7,493
3.45%	CAD-CORRA-OIS-COMPOUND	CAD	1,400,000		03/20/2034		Annually		(4,358	)		4,291			8,649
3.45%	CAD-CORRA-OIS-COMPOUND	CAD	400,000		03/20/2034		Annually		—			1,238			1,238
CHF-SARON-OIS-COMPOUND	1.26%	CHF	1,700,000		03/20/2034		Annually		2,564			9,810			7,246
1.21%	CHF-SARON-OIS-COMPOUND	CHF	500,000		03/20/2034		Annually		(1,621	)		(410	)		1,211
1.19%	CHF-SARON-OIS-COMPOUND	CHF	2,540,000		03/20/2034		Annually		(5,938	)		5,020			10,958
1.35%	CHF-SARON-OIS-COMPOUND	CHF	700,000		03/20/2034		Annually		—			(11,119	)		(11,119	)
EUR-EuroSTR-COMPOUND	2.19%	EUR	1,000,000		03/20/2034		Annually		—			(34,877	)		(34,877	)
EUR-EuroSTR-COMPOUND	2.21%	EUR	400,000		03/20/2034		Annually		—			(13,304	)		(13,304	)
EUR-EuroSTR-COMPOUND	2.42%	EUR	900,000		03/20/2034		Annually		—			(11,440	)		(11,440	)
EUR-EuroSTR-COMPOUND	2.50%	EUR	200,000		03/20/2034		Annually		—			(1,068	)		(1,068	)
EUR-EuroSTR-COMPOUND	2.54%	EUR	2,800,000		03/20/2034		Annually		7,809			(3,894	)		(11,703	)
EUR-EuroSTR-COMPOUND	2.61%	EUR	400,000		03/20/2034		Annually		—			2,088			2,088
2.27%	EUR-EuroSTR-COMPOUND	EUR	509,000		03/20/2034		Annually		(835	)		13,695			14,530
2.52%	EUR-EuroSTR-COMPOUND	EUR	1,050,000		03/20/2034		Annually		(1,339	)		3,029			4,368
2.45%	EUR-EuroSTR-COMPOUND	EUR	300,000		03/20/2034		Annually		—			2,900			2,900
2.42%	EUR-EuroSTR-COMPOUND	EUR	500,000		03/20/2034		Annually		—			6,284			6,284
2.42%	EUR-EuroSTR-COMPOUND	EUR	500,000		03/20/2034		Annually		—			6,641			6,641
2.41%	EUR-EuroSTR-COMPOUND	EUR	500,000		03/20/2034		Annually		—			6,855			6,855
2.52%	EUR-EuroSTR-COMPOUND	EUR	300,000		03/20/2034		Annually		—			1,031			1,031
2.54%	EUR-EuroSTR-COMPOUND	EUR	500,000		03/20/2034		Annually		—			909			909
2.55%	EUR-EuroSTR-COMPOUND	EUR	400,000		03/20/2034		Annually		—			100			100
2.55%	EUR-EuroSTR-COMPOUND	EUR	400,000		03/20/2034		Annually		—			157			157
GBP-SONIA-COMPOUND	3.15%	GBP	600,000		03/20/2034		Annually		(617	)		(41,816	)		(41,199	)
GBP-SONIA-COMPOUND	3.41%	GBP	500,000		03/20/2034		Annually		—			(21,427	)		(21,427	)
GBP-SONIA-COMPOUND	3.51%	GBP	500,000		03/20/2034		Annually		(1,939	)		(16,358	)		(14,419	)
GBP-SONIA-COMPOUND	3.51%	GBP	800,000		03/20/2034		Annually		—			(26,090	)		(26,090	)

  See accompanying notes to the financial statements. 38

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
GBP-SONIA-COMPOUND	3.54%	GBP	600,000		03/20/2034		Annually		(604	)		(17,940	)		(17,336	)
GBP-SONIA-COMPOUND	3.70%	GBP	400,000		03/20/2034		Annually		—			(5,262	)		(5,262	)
GBP-SONIA-COMPOUND	3.84%	GBP	300,000		03/20/2034		Annually		—			262			262
GBP-SONIA-COMPOUND	3.85%	GBP	1,010,000		03/20/2034		Annually		269			2,093			1,824
3.89%	GBP-SONIA-COMPOUND	GBP	1,500,000		03/20/2034		Annually		(5,616	)		(8,914	)		(3,298	)
3.24%	GBP-SONIA-COMPOUND	GBP	300,000		03/20/2034		Annually		—			18,202			18,202
3.36%	GBP-SONIA-COMPOUND	GBP	500,000		03/20/2034		Annually		—			24,217			24,217
3.65%	GBP-SONIA-COMPOUND	GBP	400,000		03/20/2034		Annually		—			7,310			7,310
3.63%	GBP-SONIA-COMPOUND	GBP	1,000,000		03/20/2034		Annually		—			21,092			21,092
3.74%	GBP-SONIA-COMPOUND	GBP	300,000		03/20/2034		Annually		—			2,749			2,749
3.90%	GBP-SONIA-COMPOUND	GBP	400,000		03/20/2034		Annually		—			(2,766	)		(2,766	)
4.30%	3 Month NZD Bank Bill Rate	NZD	2,000,000		03/20/2034		Quarterly		—			23,408			23,408
4.69%	3 Month NZD Bank Bill Rate	NZD	1,700,000		03/20/2034		Quarterly		—			(13,001	)		(13,001	)
3 Month NZD Bank Bill Rate	4.48%	NZD	1,300,000		03/20/2034		Quarterly		—			(3,283	)		(3,283	)
3 Month NZD Bank Bill Rate	4.75%	NZD	1,100,000		03/20/2034		Quarterly		2,788			11,491			8,703
3 Month NZD Bank Bill Rate	4.77%	NZD	2,200,000		03/20/2034		Quarterly		7,783			25,214			17,431
3 Month SEK STIBOR	2.20%	SEK	13,000,000		03/20/2034		Quarterly		—			(63,778	)		(63,778	)
3 Month SEK STIBOR	2.24%	SEK	9,000,000		03/20/2034		Quarterly		—			(41,272	)		(41,272	)
3 Month SEK STIBOR	2.47%	SEK	4,000,000		03/20/2034		Quarterly		—			(10,490	)		(10,490	)
3 Month SEK STIBOR	2.60%	SEK	31,000,000		03/20/2034		Quarterly		(480	)		(48,544	)		(48,064	)
3 Month SEK STIBOR	2.63%	SEK	3,000,000		03/20/2034		Quarterly		—			(3,887	)		(3,887	)
3 Month SEK STIBOR	2.76%	SEK	3,000,000		03/20/2034		Quarterly		—			(705	)		(705	)
3 Month SEK STIBOR	2.84%	SEK	3,000,000		03/20/2034		Quarterly		1			1,193			1,192
2.47%	3 Month SEK STIBOR	SEK	7,150,000		03/20/2034		Quarterly		563			19,096			18,533
2.49%	3 Month SEK STIBOR	SEK	73,210,000		03/20/2034		Quarterly		(8,062	)		181,637			189,699
2.28%	3 Month SEK STIBOR	SEK	11,000,000		03/20/2034		Quarterly		—			46,142			46,142
2.63%	3 Month SEK STIBOR	SEK	10,000,000		03/20/2034		Quarterly		—			13,372			13,372
USD-SOFR-COMPOUND	3.88%	USD	300,000		06/20/2034		Annually		—			1,452			1,452
								$	(71,806	)	$	163,640		$	235,446

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Amazon.com, Inc.

1 Month Federal Funds Rate plus 0.35%

GS

USD 10,860,200

03/21/2024

At Maturity

$

—

$

(629,200

)

$

(629,200

)

39 See accompanying notes to the financial statements.  

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(b) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 61.

  See accompanying notes to the financial statements. 40

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO Opportunistic Income Fund returned +6.56% (net) for the fiscal year ended February 29, 2024, as compared with +2.46% for the Bloomberg U.S. Securitized + Index.

Absolute performance was driven by gains from the portfolio’s Commercial Mortgage-Backed Securities (CMBS), Collateralized Loan Obligations (CLO), and Student Loan sectors contributing positively. The portfolio’s Residential Mortgage-Backed Securities (RMBS) also posted gains during the fiscal year, while losses from Duration Management positions contributed negatively.

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

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

41

GMO Opportunistic Income Fund

(A Series of GMO Trust)

 

 

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

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

and the Bloomberg U.S. Securitized Index

As of February 29, 2024

	Average Annual Total Returns
	1 Year			5 Year			10 Year***			Since Inception
Class III*		6.44	%		n/a			n/a		7/21/21 5.78%
Class VI		6.56	%		3.04	%		3.62	%	n/a
Class R6		6.43	%		n/a			n/a		5/19/21 2.24%
Class I		6.33	%		n/a			n/a		11/5/19 2.51%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

* For the period December 28, 2021 to February 1, 2022, no Class III shares were outstanding. Performance for that period is that of Class I shares, which have higher expenses. Therefore, the performance shown is lower than it would have been if Class III expenses had been applied throughout.

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

42

GMO Opportunistic Income Fund

(A Series of GMO Trust)

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

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

For Class III, VI, R6 and I the gross expense ratio of 0.62%, 0.52%, 0.61% and 0.71%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.57%, 0.48%, 0.57%, and 0.67% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

43

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		79.1	%
Short-Term Investments		24.7
Mutual Funds		0.8
Swap Contracts		0.5
Futures Contracts		0.0^
Purchased Options		0.0^
Written Options		(0.0	)^
Securities Sold Short		(3.9	)
Other		(1.2	)
		100.0	%
Industry Sector Summary	% of Debt Obligations
Commercial Mortgage-Backed Securities		26.3	%
Collateralized Loan Obligations		14.1
Student Loans - Private		13.7
Residential Mortgage-Backed Securities - Other		10.2
U.S. Government Agency		7.6
U.S. Government		5.5
Small Balance Commercial Mortgages		5.0
Student Loans - Federal Family Education Loan Program		4.6
Auto Retail Subprime		3.6
Residential Mortgage-Backed Securities - Alt-A		3.3
Residential Mortgage-Backed Securities - Prime		2.7
Residential Mortgage-Backed Securities - Subprime		1.8
Residential Mortgage-Backed Securities - Performing Loans		1.1
Residential Mortgage-Backed Securities - Agency		0.4
CMBS CDO		0.1
		100.0	%

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

^ Rounds to 0.0%.

  

44

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 79.1%
		Asset-Backed Securities — 68.8%
		Auto Retail Subprime — 2.8%
	5,000,000	Bank of America Auto Trust, Series 23-1A, Class A3, 144A, 5.53%, due 02/15/28		5,031,721
	5,000,000	Bank of America Auto Trust, Series 2023-2A, Class A3, 144A, 5.74%, due 06/15/28		5,058,329
	7,500,000	GM Financial Consumer Automobile Receivables Trust, Series 21-3, Class A4, 0.73%, due 08/16/27		7,047,556
	6,000,000	GM Financial Consumer Automobile Receivables Trust, Series 2024-1, Class A3, 4.85%, due 12/18/28		5,979,291
	14,800,000	Nissan Auto Receivables Owner Trust, Series 2023-B, Class A3, 5.93%, due 03/15/28		15,022,672
	2,500,000	World Omni Auto Receivables Trust, Series 2023-D, Class A3, 5.79%, due 02/15/29		2,539,918
		Total Auto Retail Subprime		40,679,487
		CMBS CDO — 0.1%
	8,586,000	ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		654,253
	192,975	GS Mortgage Securities Corp. Trust, Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		140,872
		Total CMBS CDO		795,125
		Collateralized Loan Obligations — 11.2%
	4,558,375	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.70%, due 01/20/30		4,558,872
	33,056	Halcyon Loan Advisors Funding Ltd., Series 14-2A, Class C, 144A, Variable Rate, 3 mo. USD Term SOFR + 3.76%, 9.08%, due 04/28/25		33,059
	8,752,876	Hayfin U.S. XII Ltd., Series 18-8A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.70%, due 04/20/31		8,753,961
	11,518,600	Man GLG U.S. CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.40%, 6.72%, due 04/22/30		11,513,221
	4,000,000	Mountain View CLO Ltd., Series 13-1A, Class BRR , 144A, Variable Rate, 3 mo. USD Term SOFR + 1.93%, 7.26%, due 10/12/30		3,999,868
	5,510,167	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 6.64%, due 04/22/31		5,512,800
	10,000,000	Ocean Trails CLO 8, Series 20-8A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.48%, 6.80%, due 07/15/34		10,005,440

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	9,800,000	OFSI BSL VIII Ltd., Series 17-1A, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.08%, due 08/16/29		9,800,010
	1,083,456	OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26		65,296
	10,708,861	OZLM XVIII Ltd., Series 18-18A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 6.60%, due 04/15/31		10,720,074
	2,190,000	OZLM XXII Ltd., Series 18-22A, Class A2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.08%, due 01/17/31		2,191,408
	1,130,113	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, U.S. (Fed) Prime Rate + 1.60%, 7.23%, due 06/22/30		1,130,415
	3,512,839	Shackleton CLO Ltd., Series 14-5RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 6.68%, due 05/07/31		3,516,819
	1,262,000	Signal Peak CLO 2 LLC, Series 15-1A, Class BR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.08%, due 04/20/29		1,263,816
	8,577,797	Signal Peak CLO 5 Ltd., Series 18-5A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.37%, 6.70%, due 04/25/31		8,582,429
	2,843,444	Sound Point CLO XIX Ltd.,Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.26%, 6.58%, due 04/15/31		2,842,045
	3,595,000	Sound Point CLO XXVIII Ltd., Series 20-3A, Class A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.54%, 6.87%, due 01/25/32		3,597,599
	1,398,883	Sounds Point CLO IV- R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.41%, 6.71%, due 04/18/31		1,398,844
	8,034,397	Steele Creek CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.77%, due 06/15/31		8,034,421
	1,850,677	Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.74%, 7.06%, due 04/17/28		1,848,517
	4,335,500	Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. USD Term SOFR + 2.41%, 7.73%, due 04/17/28		4,306,348
	4,941,982	Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 6.66%, due 07/18/31		4,919,027
	5,815,889	Venture 34 CLO Ltd., Series 18-34A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.49%, 6.81%, due 10/15/31		5,823,147
	693,960	Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.48%, 6.80%, due 10/15/29		694,321
	9,000,000	Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.08%, due 10/20/28		8,946,189

45 See accompanying notes to the financial statements.  

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	3,349,436	Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 6.64%, due 10/20/29		3,352,464
	1,360,000	Whitebox CLO II Ltd., Series 20- 2A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.48%, 6.80%, due 10/24/34		1,360,095
	6,822,567	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 6.83%, due 10/15/31		6,824,443
	7,200,000	Zais CLO 15 Ltd., Series 20- 15A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.61%, 6.93%, due 07/28/32		7,201,555
	10,000,000	Zais CLO 18 Ltd., Series 22-18A, Class A1A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.52%, 6.84%, due 01/25/35		9,991,790
	2,336,869	Zais CLO 7 Ltd., Series 17- 2A, Class A,
		144A, Variable Rate, 3 mo. USD Term
		SOFR + 1.55%, 6.87%, due 04/15/30		2,337,421
	4,621,562	Zais CLO 8 Ltd., Series 18- 1A, Class B, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.71%, 7.03%, due 04/15/29		4,613,576
		Total Collateralized Loan Obligations		159,739,290
		Commercial Mortgage-Backed Securities — 20.8%
	5,600,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32		5,173,846
	11,857,600	BBCMS Mortgage Trust, Series 18- TALL, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.92%, 6.24%, due 03/15/37		11,283,712
	11,037,000	BBCMS Mortgage Trust, Series 18- CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38		7,784,435
	5,548,454	Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.86%, due 07/25/36		4,846,562
	4,848,114	Benchmark Mortgage Trust, Series 18-B2, Class A5, Variable Rate, 3.88%, due 02/15/51		4,525,038
	7,760,120	Benchmark Mortgage Trust, Series 18-B8, Class A5, 4.23%, due 01/15/52		7,260,464
	16,000,000	Benchmark Mortgage Trust, Series 19-B9, Class A5, 4.02%, due 03/15/52		14,874,413
	6,240,722	Benchmark Mortgage Trust, Series 19-B11, Class A5, 3.54%, due 05/15/52		5,602,138
	3,244,000	Benchmark Mortgage Trust, Series 18-B7, Class A4, Variable Rate, 4.51%, due 05/15/53		3,108,305
	8,623,000	Benchmark Mortgage Trust, Series 20-B19, Class A5, 1.85%, due 09/15/53		6,917,389
	13,880,000	Benchmark Mortgage Trust, Series 22-B32, Class A5, Variable Rate, 3.00%, due 01/15/55		11,524,656

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	14,500,000	Benchmark Mortgage Trust, Series 22-B34, Class A5, Variable Rate, 3.79%, due 04/15/55		12,722,014
	19,000,000	Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72		16,369,739
	6,114,652	BX Commercial Mortgage Trust, Series 21-VINO, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.77%, 6.08%, due 05/01/38		6,053,744
	6,303,619	BX Commercial Mortgage Trust, Series 21-ACNT, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.96%, 6.28%, due 11/15/38		6,262,252
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		6,872,353
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.55%, due 03/11/44		6,710,245
	8,000,000	BX Trust, Series 19- OC11, Class A, 144A, 3.20%, due 12/09/41		7,071,837
	4,895,000	BX Trust, Series 19- OC11, Class C, 144A, 3.86%, due 12/09/41		4,297,844
	9,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 3.94%, due 12/09/41		7,619,124
	4,446,000	Citigroup Commercial Mortgage Trust, Series 14-GC23, Class B, Variable Rate, 4.18%, due 07/10/47		4,327,329
	9,352,535	Citigroup Commercial Mortgage Trust, Series 14-GC23, Class C, Variable Rate, 4.42%, due 07/10/47		8,851,482
	2,000,000	Citigroup Commercial Mortgage Trust, Series 20-GC46, Class A5, 2.72%, due 02/15/53		1,738,492
	3,031,837	COMM Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.28%, due 07/10/50		2,852,407
	15,270,667	COMM Mortgage Trust, Series 18- COR3, Class A3, 4.23%, due 05/10/51		14,338,779
	41,634	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		41,542
	52,048	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. USD Term SOFR + 0.36%, 5.69%, due 04/15/37		52,029
	5,563,524	ELP Commercial Mortgage Trust, Series 21-ELP, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.82%, 6.13%, due 11/15/38		5,507,889
	2,000,000	Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40		1,608,071
	5,000,000	GS Mortgage Securities Corp. II, Series 23-SHIP, Class A, 144A, Variable Rate, 4.32%, due 09/10/38		4,840,930
	5,500,000	ILPT Commercial Mortgage Trust, Series 22-LPFX, Class A, 144A, 3.38%, due 03/15/32		4,632,148

  See accompanying notes to the financial statements. 46

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	3,446,312	MHC Commercial Mortgage Trust, Series 21-MHC, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.92%, 6.23%, due 04/15/38		3,423,695
	4,889,023	MHC Trust, Series 21-MHC2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.96%, 6.28%, due 05/15/38		4,858,467
	14,600,000	MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40		11,716,992
	3,000,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 2.94%, due 02/12/40		1,625,009
	15,700,000	SMRT Commercial Mortgage Trust, Series 22-MINI, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.00%, 6.32%, due 01/15/39		15,543,000
	7,130,000	Taubman Centers Commercial Mortgage Trust, Series 22-DPM, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 2.19%, 7.50%, due 05/15/37		7,147,825
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		4,915,399
	7,933,000	UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51		7,583,347
	1,665,732	Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52		1,450,663
	4,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 5.01%, due 11/23/43		4,498,855
	11,594,960	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 5.84%, due 03/23/45		10,013,664
	7,599,384	Wells Fargo Commercial Mortgage Trust, Series 18-C46, Class A4, 4.15%, due 08/15/51		7,177,101
	2,030,000	Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52		1,822,530
	11,105,000	WFRBS Commercial Mortgage Trust, Series 14-C21, Class AS, 3.89%, due 08/15/47		10,660,877
		Total Commercial Mortgage-Backed Securities		298,108,632
		Residential Mortgage-Backed Securities — Agency — 0.3%
	5,070,250	Federal National Mortgage Association REMICS, Series 20-5, Class PC, 2.50%, due 01/25/50		4,265,142
		Residential Mortgage-Backed Securities — Other —8.1%
	783,623	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.39%, 5.72%, due 02/25/36		91,932

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	17,663,707	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.80%, due 02/25/36		391,205
	6,000,000	AMSR Trust, Series 20-SFR5, Class A, 144A, 1.38%, due 11/17/37		5,606,749
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		2,585,455
	3,735,467	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		3,475,690
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		928,306
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		343,635
	111,139	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.76%, due 02/25/37		121,777
	2,030,096	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		1,994,472
	1,608,054	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		1,531,595
	5,636,248	Conseco Finance Securitizations Corp., Series 02-2, Class M2, Variable Rate, 9.16%, due 03/01/33		5,372,832
	5,640,421	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,328,123
	5,163,802	Conseco Finance Securitizations Corp., Series 02-1, Class M2, Variable Rate, 9.55%, due 12/01/33		4,959,591
	827,918	CoreVest American Finance Ltd., Series 21-1, Class A, 144A, 1.57%, due 04/15/53		762,692
	6,496,562	FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38		5,966,603
	488,653	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.94%, due 10/25/34		470,801
	1,834,367	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		1,620,245
	4,328,989	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.53%, due 09/25/35		83,655
	28,444,242	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.37%, 5.70%, due 06/25/36		521,511
	8,412,791	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36		2,503,287
	8,950,534	Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37		1,442,975
	3,571,116	Lehman ABS Manufactured Housing Contract Trust, Series 01-B, Class M2, Variable Rate, 7.17%, due 04/15/40		3,076,553

47 See accompanying notes to the financial statements.  

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	3,567,796	MASTR Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.76%, due 03/25/36		239,327
	145,451	Mellon Re- REMICS Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.36%, 5.69%, due 02/26/34		130,272
	1,028,082	New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.09%, 6.41%, due 10/25/33		999,099
	13,559,149	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 5.64%, due 03/25/36		369,982
	7,734,417	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.45%, 5.78%, due 03/25/36		210,955
	20,620,806	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 5.84%, due 03/25/36		562,325
	10,725	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 6.35%, due 08/25/35 (a)		287,282
	1,957,165	Oakwood Mortgage Investors, Inc., Series 01-E, Class A2, 5.05%, due 11/15/19		1,748,782
	1,177,775	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,132,339
	3,709,163	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		3,567,932
	6,809,063	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		3,688,829
	11,752,084	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		2,336,710
	5,200,512	Oakwood Mortgage Investors, Inc., Series 2001-B, Class M1, 144A, Variable Rate, 7.92%, due 03/15/31		4,983,892
	2,819,480	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		1,417,837
	404,227	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		368,781
	2,705,277	Oakwood Mortgage Investors, Inc.,Series 02-C, Class M1, Variable Rate, 6.89%, due 11/15/32		2,526,223
	1,522,196	Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40		1,339,156
	1,405,716	Towd Point Mortgage Trust, Series 17-5, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 5.91%, due 02/25/57		1,427,349

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	6,972,000	Towd Point Mortgage Trust, Series 17-5, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 5.91%, due 02/25/57		7,048,384
	9,341,234	Tricon American Homes, Series 20-SFR1, Class A, 144A, 1.50%, due 07/17/38		8,554,266
	11,170,306	Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38		10,573,049
	5,800,633	Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39		5,092,739
	2,779,338	UCFC Manufactured Housing Contract, Series 1998-2, Class M1, 6.73%, due 10/15/29		2,548,251
	5,295,888	Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67		4,904,142
		Total Residential Mortgage-Backed Securities — Other		115,237,587
		Residential Mortgage-Backed Securities — Performing Loans — 0.9%
	2,460,254	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		2,143,216
	6,545,977	CSMC Trust, Series 22- NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66		5,657,383
	5,119,762	Verus Securitization Trust, Series 21-8, Class A1, 144A, Variable Rate, 1.82%, due 11/25/66		4,368,689
		Total Residential Mortgage-Backed Securities — Performing Loans		12,169,288
		Residential Mortgage-Backed Securities — Prime — 2.1%
	6,961,458	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. USD Term SOFR + 0.32%, 5.65%, due 10/25/46		3,639,121
	447,953	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, 1 yr. CMT + 2.30%, 7.67%, due 10/25/35		411,566
	3,686,107	CSMC Mortgage- Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		2,012,871
	1,178,906	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 4.26%, due 12/25/36		905,838
	814,800	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.72%, due 03/25/37		589,336
	6,991,052	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 5.88%, due 04/25/46		5,669,422
	1,608,140	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		715,946

  See accompanying notes to the financial statements. 48

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	4,427,080	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 1 yr. MTA + 1.40%, 6.48%, due 05/25/35		3,626,817
	663,062	WaMu Mortgage Pass-Through Certificates Trust, Series 05-AR10, Class 1A3, Variable Rate, 4.72%, due 09/25/35		588,887
	882,802	WaMu Mortgage Pass-Through Certificates Trust, Series 06-AR19, Class 2A, Variable Rate, 1 yr. MTA + 1.25%, 6.33%, due 01/25/47		767,239
	1,916,847	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-4, Class CB3, Variable Rate, 1 mo. USD Term SOFR + 0.56%, 5.50%, due 06/25/35		1,593,702
	1,986,052	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-10, Class 4CB3, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 5.75%, due 12/25/35		1,603,733
	4,071,593	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 06-8, Class A5, Step Up, 4.15%, due 10/25/36		1,377,204
	8,360,700	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 07-5, Class A6, 6.00%, due 06/25/37		7,227,759
		Total Residential Mortgage-Backed Securities — Prime		30,729,441
		Residential Mortgage-Backed Securities — Subprime — 1.4%
	996,373	ABFC Trust, Series 05- AQ1, Class A5, Step Up, 4.27%, due 06/25/35		946,933
	904,929	BCAP LLC Trust, Series 14- RR2,Class 11A3, 144A, Variable Rate, 2.71%, due 05/26/37		868,859
	11,205,844	Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 6.04%, due 07/25/36		9,770,011
	476,665	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.25%, 5.58%, due 12/25/36		458,829
	916,869	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 5.28%, due 11/20/34		848,831
	2,307,978	First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.22%, 5.54%, due 09/25/36		2,124,332
	2,222,644	Home Equity Asset Trust, Series 06-2, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 6.01%, due 05/25/36		2,175,682
	706,535	Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.94%, due 08/25/37		644,699

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Subprime — continued
	2,785,104	Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. USD Term SOFR + 0.91%, 6.64%, due 01/25/35		2,590,687
		Total Residential Mortgage-Backed Securities — Subprime		20,428,863
		Residential Mortgage-Backed Securities — Alt-A — 2.6%
	858,322	Bear Stearns ALT- A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 6.34%, due 11/25/34		837,010
	1,869,143	Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.76%, due 01/25/47		1,490,725
	1,660,474	Bear Stearns Asset-Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		1,519,505
	3,627,661	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 4.46%, due 07/25/36		2,018,719
	241,345	Countrywide Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		231,672
	2,287,647	Countrywide Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35		2,129,525
	1,523,943	Countrywide Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 6.00%, due 05/25/36		645,981
	1,559,823	Countrywide Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 6.14%, due 10/25/36		637,860
	4,417,396	Fieldstone Mortgage Investment Trust, Series 04-4, Class M4, Variable Rate, 1 mo. USD Term SOFR + 2.66%, 7.99%, due 10/25/35		2,763,531
	10,694,713	GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.76%, due 06/25/36		2,110,743
	11,373,554	GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 3.48%, due 06/25/47		6,646,442
	6,219,125	HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 5.65%, due 07/19/47		5,651,023
	120,820	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 5.83%, due 02/26/37		100,725
	1,218,186	Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-H1, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 3.11%, 8.44%, due 10/25/37		1,150,120
	2,659,129	Residential Asset Securitization Trust, Series 25-A8CB, Class A6, 5.00%, due 07/25/35		1,519,777
	15,289,342	Residential Asset Securitization Trust, Series 06-A7CB, Class 3A1, 6.50%, due 07/25/36		4,120,959

49 See accompanying notes to the financial statements.  

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Alt-A — continued
	8,004,269	Terwin Mortgage Trust, Series 06-7, Class 2A3, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 5.98%, due 08/25/37		3,392,488
		Total Residential Mortgage-Backed Securities — Alt-A		36,966,805
		Small Balance Commercial Mortgages — 4.0%
	2,567,042	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.58%, 5.90%, due 08/25/35		2,387,859
	1,309,124	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.70%, 6.02%, due 01/25/36		1,218,241
	1,777,799	Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 5.98%, due 04/25/36		1,625,991
	714,636	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 6.01%, due 04/25/36		650,513
	979,961	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 5.78%, due 07/25/36		914,068
	2,004,523	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.86%, due 07/25/36		1,875,279
	3,110,835	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.49%, 5.81%, due 10/25/36		2,941,083
	7,496,045	Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.86%, due 01/25/37		6,974,373
	1,354,386	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.44%, 5.77%, due 03/25/37		1,250,605
	2,210,753	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.80%, due 07/25/37		1,986,603
	4,722,904	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.38%, 5.84%, due 07/25/37		4,289,273
	1,421,649	Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 6.94%, due 01/25/38		1,365,211
	108,129,534	FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.17%, due 05/25/30		3,540,118

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	49,056,238	FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 1.10%, due 03/25/40		1,557,545
	68,703,464	FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.88%, due 06/25/40		1,799,694
	3,500,000	Harvest Commercial Capital Loan Trust, Series 19-1, Class M5, 144A, Variable Rate, 5.73%, due 09/25/46		3,068,134
	60,507	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.11%, 6.44%, due 04/25/31		60,453
	2,801,474	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.94%, due 03/25/37		2,587,072
	1,796,485	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 5.84%, due 06/25/37		1,772,936
	7,993,432	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 5.08%, due 10/25/37		7,805,169
	5,666,082	Velocity Commercial Capital Loan Trust,
		Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51		4,743,959
	1,593,193	Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51		1,220,702
	1,249,738	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 6.20%, due 12/27/49		1,230,613
		Total Small Balance Commercial Mortgages		56,865,494
		Student Loans - Federal Family Education Loan Program — 3.7%
	11,807,041	AccessLex Institute, Class A4, Variable Rate, 90 day USD SOFR Average + 0.60%, 5.96%, due 04/26/32		11,306,007
	4,255,893	AccessLex Institute, Series 04-2, Class B, Variable Rate, 90 day USD SOFR Average + 0.96%, 6.32%, due 01/25/43		3,847,950
	2,701,926	Collegiate Funding Services Education
		Loan Trust, Series 05-B, Class B, Variable
		Rate, 90 day USD SOFR Average + 0.58%, 5.93%, due 03/28/35		2,320,668
	5,755,806	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 90 day USD SOFR Average + 1.16%, 6.51%, due 06/15/21		5,681,886
	7,092,870	SLM Student Loan Trust, Series 07-7, Class A4, Variable Rate, 90 day USD SOFR Average + 0.59%, 5.95%, due 01/25/22		6,938,161

  See accompanying notes to the financial statements. 50

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans - Federal Family Education Loan Program — continued
	13,641,650	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 90 day USD SOFR Average + 1.91%, 7.27%, due 07/25/22		13,652,529
	4,009,813	SLM Student Loan Trust, Series 08-6, Class A4, Variable Rate, 90 day USD SOFR Average + 1.36%, 6.72%, due 07/25/23		3,975,602
	4,945,456	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 90 day USD SOFR Average + 1.96%, 7.32%, due 07/25/23		4,952,860
		Total Student Loans - Federal Family Education Loan Program		52,675,663
		Student Loans - Private — 10.8%
	1,099,258	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. USD Term SOFR + 1.06%, 6.39%, due 07/25/34		1,073,875
	7,837,446	KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. USD Term SOFR + 1.56%, 6.91%, due 12/27/38		7,477,486
	221,101	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. USD Term SOFR + 0.74%, 6.09%, due 12/27/41		220,911
	4,743,659	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, U.S. (Fed) Prime Rate + 1.25%, 6.83%, due 07/28/42		4,416,277
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuct + 0.00%, 8.64%, due 03/31/38 (a)		1,974,375
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28 day ARS + 0.00%, 8.07%, due 03/25/38 (a)		1,715,625
	3,007,423	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 5.75%, due 05/25/32		2,914,550
	5,160,071	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.40%, 5.73%, due 01/25/33		4,898,537
	7,179,264	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 5.79%, due 03/25/33		6,909,559
	2,616,280	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. USD Term SOFR + 0.48%, 5.81%, due 06/25/33		2,532,393
	15,278,335	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 5.74%, due 10/25/33		14,599,120
	2,421,566	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 5.98%, due 12/26/33		2,361,230

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans - Private — continued
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 8.93%, due 03/25/38 (b)		57,000
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 8.94%, due 03/25/38 (b)		19,000
	3,549,335	Navient Private Education Refi Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70		3,112,176
	2,268,448	Navient Student Loan Trust, Series 2023-BA, Class A1B, 144A, Variable Rate, 30 day USD SOFR Average + 1.70%, 7.02%, due 03/15/72		2,288,370
	2,507,572	Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62		2,270,525
	2,763,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 8.30%, due 06/15/32 (a)		2,749,185
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 7.25%, due 09/15/32		1,552,081
	1,350,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 8.07%, due 09/15/32 (a)		1,343,250
	3,582,199	SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. USD Term SOFR + 0.66%, 6.05%, due 06/15/33		3,559,715
	8,413,197	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.69%, 6.08%, due 09/15/33		8,304,055
	14,421,279	SLM Private Credit Student Loan Trust, Series 05-A, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.57%, 5.96%, due 12/15/38		14,195,948
	17,352,885	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.55%, 5.94%, due 06/15/39		16,839,394
	10,616,045	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.59%, 5.98%, due 06/15/39		10,394,243
	1,864,894	SLM Private Credit Student Loan Trust, Series 06-BW, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.46%, 5.85%, due 12/15/39		1,798,924
	8,263,674	SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.53%, 5.92%, due 12/15/39		8,051,618
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 0.65%, 6.04%, due 12/15/39		2,470,880
	14,471,027	SLM Private Credit Student Loan Trust, Series 07-A, Class A4A, Variable Rate, 3 mo. USD Term SOFR + 0.50%, 5.89%, due 12/16/41		14,260,346

51 See accompanying notes to the financial statements.  

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans - Private — continued
	1,000	SMB Private Education Loan Trust, Series 23-B, Class R, 144A, 0.00, due 10/16/56 (b)		888,188
	1,225,039	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 6.94%, due 01/25/36		1,225,947
	8,300,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.16%, 6.49%, due 01/25/46		8,247,380
		Total Student Loans - Private		154,722,163
		Total Asset-Backed Securities		983,382,980
		U.S. Government — 4.3%
	47,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.36%, due 07/31/24 (c)		46,997,777
	10,300,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.50%, due 10/31/25 (c)		10,298,635
	5,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26		5,004,430
		Total U.S. Government		62,300,842
		U.S. Government Agency — 6.0%
	7,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.41%, due 09/04/24		7,502,898
	4,180,821	Federal National Mortgage Association, 4.00%, due 05/01/52		3,850,406
	380,000	Government National Mortgage Association, TBA, 3.00%, due 03/20/54		333,117
	600,000	Government National Mortgage Association, TBA, 3.50%, due 03/20/54		542,643
	400,000	Government National Mortgage Association, TBA, 4.00%, due 03/20/54		372,240
	760,000	Government National Mortgage Association, TBA, 4.50%, due 03/20/54		725,714
	720,000	Government National Mortgage Association, TBA, 5.00%, due 03/20/54		703,227
	610,000	Government National Mortgage Association, TBA, 5.50%, due 03/20/54		605,925
	987,500	Morocco Government AID Bonds, Variable Rate, U.S. (Fed) Prime Rate + 0.02%, 5.69%, due 02/01/25 (a)		980,043

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — continued
	2,250,000	Morocco Government AID Bonds, Variable Rate, U.S. (Fed) Prime Rate + 0.15%, 5.85%, due 10/29/26 (a)		2,219,987
	1,910,000	Uniform Mortgage-Backed Security, TBA, 5.00%, due 03/01/54		1,852,104
	39,620,000	Uniform Mortgage-Backed Security, TBA, 5.50%, due 03/01/54		39,191,026
	27,020,000	Uniform Mortgage-Backed Security, TBA, 6.00%, due 03/01/54		27,132,695
		Total U.S. Government Agency		86,012,025
		TOTAL DEBT OBLIGATIONS (COST $1,222,288,997)		1,131,695,847
		MUTUAL FUNDS — 0.8%
		United States — 0.8%
		Affiliated Issuers — 0.8%
	2,323,242	GMO U.S. Treasury Fund		11,616,211
		TOTAL MUTUAL FUNDS (COST $11,703,541)		11,616,211
		SHORT-TERM INVESTMENTS — 24.7%
		U.S. Government — 2.8%
	40,000,000	U.S. Treasury Bills, 5.28%, due 04/09/24 (d)		39,770,550
		Repurchase Agreements — 21.7%
	309,951,950	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 02/29/24 maturing on 03/01/24 with a maturity value of $309,997,582 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 02/28/27 and a market value of $316,810,313.		309,951,950
		Money Market Funds — 0.2%
	2,791,795	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (e)		2,791,795
		TOTAL SHORT-TERM INVESTMENTS (COST $352,517,285)		352,514,295

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Options on Credit Default Swaps - Puts — 0.0%

CDX.NA.HY.S41

GS

105.75

%

03/20/24

USD

9,852,000

Fixed Spread

Pay

27,818

CDX.NA.HY.S41

JPM

105.75

%

03/20/24

USD

9,828,000

Fixed Spread

Pay

27,750

CDX.NA.HY.S41

DB

106.00

%

04/17/24

USD

10,060,000

Fixed Spread

Pay

76,985

  See accompanying notes to the financial statements. 52

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

PURCHASED OPTIONS — continued

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

CDX.NA.IG.S41

MSCI

55.00%

04/17/24

USD 81,900,000

Fixed Spread

Pay

86,455

Total Options on Credit Default Swaps - Puts

219,008

TOTAL PURCHASED OPTIONS (COST $426,948)

219,008

TOTAL INVESTMENTS — 104.6% (Cost $1,586,936,771)

1,496,045,361

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (3.9)%
			DEBT OBLIGATIONS — (3.9)%
			U.S. Government Agency — (3.9)%
	(40,000,000	)	Uniform Mortgage-Backed Security, TBA, 2.50%, due 03/01/39		(36,286,546	)
	(20,000,000	)	Uniform Mortgage-Backed Security, TBA, 5.00%, due 03/01/39		(19,829,364	)
			Total U.S. Government Agency		(56,115,910	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $56,436,719)		(56,115,910	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $56,436,719)		(56,115,910	)
			Other Assets and Liabilities (net) — (0.7)%		(9,740,434	)
			TOTAL NET ASSETS — 100.0%	$	1,430,189,017

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
35	U.S. Long Bond (CBT)		June 2024		4,173,750		30,244
513	U.S. Treasury Note 10 Yr. (CBT)		June 2024		56,654,438		32,668
1,329	U.S. Treasury Note 2 Yr. (CBT)		June 2024		272,112,750		169,027
1,149	U.S. Treasury Note 5 Yr. (CBT)		June 2024		122,835,281		233,084
168	U.S. Treasury Ultra 10 Yr. (CBT)		June 2024		19,180,875		50,090
5	U.S. Ultra Bond (CBT)		June 2024		639,375		5,367
				$	475,596,469	$	520,480

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

53  See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

Written Options

Description	Counterparty		Exercise Rate			Expiration Date		Principal/ Notional Amount		Floating Rate Index	Pay/Receive Floating Rate		Value ($)
Written Options on Credit Default Swaps — Puts
CDX.NA.HY.S41		GS		101.00	%		03/20/24	USD	(9,852,000)	Fixed Spread		Pay		(1,659	)
CDX.NA.HY.S41		JPM		101.00	%		03/20/24	USD	(9,828,000)	Fixed Spread		Pay		(1,655	)
CDX.NA.IG.S41		MSCI		75.00	%		04/17/24	USD	(122,850,000)	Fixed Spread		Pay		(22,350	)
CDX.NA.HY.S41		DB		102.00	%		04/17/24	USD	(10,060,000)	Fixed Spread		Pay		(8,797	)
									Total Written Options On Credit Default Swaps — Puts					(34,461	)
										TOTAL WRITTEN OPTIONS
										(Premiums $80,020)			$	(34,461	)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S39	USD	3,920,000		5.00	%		3.01	%		N/A		12/20/2027		Quarterly		(78,499	)		(254,967	)		(176,468	)
CDX.NA.IG.S41	USD	126,451,000		1.00	%		0.52	%		N/A		12/20/2028		Quarterly		(2,079,564	)		(2,601,603	)		(522,039	)
															$	(2,158,063	)	$	(2,856,570	)	$	(698,507	)

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount			Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S33	CITI		USD	8,140,000		5.00	%		0.62	%		N/A		12/20/2024		Quarterly		(196,490	)		(283,267	)		(86,777	)
CDX.NA.HY.S33	GS		USD	5,355,000		5.00	%		0.62	%		N/A		12/20/2024		Quarterly		121,559			(186,351	)		(307,910	)
CMBX.NA.A.7	CGMI		USD	1,420,000		2.00	%		115.90	%		N/A		01/17/2047		Monthly		89,177			68,898			(20,279	)
CMBX.NA.A.7	CGMI		USD	10,000,000		2.00	%		115.90	%		N/A		01/17/2047		Monthly		593,750			485,195			(108,555	)
CMBX.NA.A.7	GS		USD	2,840,000		2.00	%		115.90	%		N/A		01/17/2047		Monthly		156,358			137,795			(18,563	)
CMBX.NA.AS.7	BOA		USD	4,505,000		1.00	%		3.49	%		N/A		01/17/2047		Monthly		47,352			824			(46,528	)
CMBX.NA.AS.7	DB		USD	7,608,000		1.00	%		3.49	%		N/A		01/17/2047		Monthly		(119,899	)		1,392			121,291
CMBX.NA.AS.7	DB		USD	16,677,794		1.00	%		3.49	%		N/A		01/17/2047		Monthly		197,705			3,051			(194,654	)
CMBX.NA.AS.7	GS		USD	4,400,000		1.00	%		3.49	%		N/A		01/17/2047		Monthly		112,812			805			(112,007	)
CMBX.NA.AS.7	MORD		USD	13,270,000		1.00	%		3.49	%		N/A		01/17/2047		Monthly		205,782			2,427			(203,355	)
CMBX.NA.AA.11	CGMI		USD	4,000,000		1.50	%		2.00	%		N/A		11/18/2054		Monthly		(6,041	)		64,147			70,188
CMBX.NA.AA.11	CGMI		USD	4,626,000		1.50	%		2.00	%		N/A		11/18/2054		Monthly		(63,740	)		74,186			137,926
CMBX.NA.AA.11	MORD		USD	4,624,500		1.50	%		2.00	%		N/A		11/18/2054		Monthly		(67,279	)		74,162			141,441
CMBX.NA.AA.11	MORD		USD	4,624,500		1.50	%		2.00	%		N/A		11/18/2054		Monthly		(61,371	)		74,162			135,533

  See accompanying notes to the financial statements. 54

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counterparty	Notional Amount			Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.BBB-.11	CGMI		USD	5,752,000		3.00	%		7.67	%		N/A		11/18/2054	Monthly		1,213,312			783,638			(429,674	)
CMBX.NA.A.8	CGMI		USD	5,000,000		2.00	%		5.82	%		N/A		10/17/2057	Monthly		262,500			105,342			(157,158	)
CMBX.NA.A.8	GS		USD	8,892,000		2.00	%		5.82	%		N/A		10/17/2057	Monthly		150,185			187,341			37,156
CMBX.NA.A.8	MORD		USD	2,000,000		2.00	%		5.82	%		N/A		10/17/2057	Monthly		107,500			42,137			(65,363	)
CMBX.NA.BBB-.8	GS		USD	1,444,000		3.00	%		23.55	%		N/A		10/17/2057	Monthly		216,864			157,035			(59,829	)
CMBX.NA.BBB-.8	GS		USD	4,224,000		3.00	%		23.55	%		N/A		10/17/2057	Monthly		400,908			459,360			58,452
CMBX.NA.BBB-.8	MSCI		USD	2,366,000		3.00	%		23.55	%		N/A		10/17/2057	Monthly		458,412			257,302			(201,110	)
CMBX.NA.BBB-.8	MSCI		USD	3,153,000		3.00	%		23.55	%		N/A		10/17/2057	Monthly		665,756			342,889			(322,867	)
CMBX.NA.BBB-.9	DB		USD	1,184,200		3.00	%		13.71	%		N/A		09/17/2058	Monthly		143,660			175,410			31,750
CMBX.NA.BBB-.9	GS		USD	1,752,000		3.00	%		13.71	%		N/A		09/17/2058	Monthly		402,960			259,515			(143,445	)
CMBX.NA.BBB-.9	MORD		USD	5,116,800		3.00	%		13.71	%		N/A		09/17/2058	Monthly		584,727			757,926			173,199
CMBX.NA.BBB-.9	MORD		USD	6,000,000		3.00	%		13.71	%		N/A		09/17/2058	Monthly		1,110,000			888,750			(221,250	)
CMBX.NA.AA.12	GS		USD	6,974,000		1.50	%		2.08	%		N/A		08/17/2061	Monthly		(61,732	)		157,121			218,853
CMBX.NA.A.6	CGMI		USD	15,000,000		2.00	%		44.21	%		N/A		05/11/2063	Monthly		750,470			739,024			(11,446	)
CMBX.NA.AA.6	GS		USD	4,703,649		1.50	%		33.12	%		N/A		05/11/2063	Monthly		34,885			74,251			39,366
CMBX.NA.BBB-.6	CGMI		USD	4,274,000		3.00	%		24.50	%		N/A		05/11/2063	Monthly		1,357,351			248,565			(1,108,786	)
CMBX.NA.A.15	CGMI		USD	5,000,000		2.00	%		3.26	%		N/A		11/18/2064	Monthly		600,000			355,447			(244,553	)
CMBX.NA.A.15	MORD		USD	3,000,000		2.00	%		3.26	%		N/A		11/18/2064	Monthly		287,104			213,268			(73,836	)
CMBX.NA.BBB-.15	GS		USD	5,000,000		3.00	%		6.05	%		N/A		11/18/2064	Monthly		787,500			784,942			(2,558	)
CMBX.NA.A.14	GS		USD	2,682,000		2.00	%		3.37	%		N/A		12/16/2072	Monthly		349,769			185,499			(164,270	)
CMBX.NA.AA.13	CGMI		USD	2,000,000		1.50	%		2.20	%		N/A		12/16/2072	Monthly		147,237			65,233			(82,004	)
CMBX.NA.AA.13	CGMI		USD	3,000,000		1.50	%		2.20	%		N/A		12/16/2072	Monthly		138,948			97,850			(41,098	)
CMBX.NA.BBB-.14	CGMI		USD	3,933,500		3.00	%		6.96	%		N/A		12/16/2072	Monthly		1,111,214			708,457			(402,757	)
CMBX.NA.BBB-.14	GS		USD	1,360,000		3.00	%		6.96	%		N/A		12/16/2072	Monthly		340,000			244,947			(95,053	)
Sell Protection:
CDX.NA.HY.S33	CITI		USD	4,201,343		5.00	%		0.05	%		4,201,343 USD		12/20/2024	Quarterly		444,572			165,154			(279,418	)
CDX.NA.HY.S33	CITI		USD	10,598,036		5.00	%		0.05	%		10,598,036 USD		12/20/2024	Quarterly		1,827,631			416,606			(1,411,025	)
CDX.NA.HY.S33	GS		USD	25,937,869		5.00	%		0.05	%		25,937,869 USD		12/20/2024	Quarterly		5,736,853			1,019,611			(4,717,242	)
CDX.NA.HY.S33	JPM		USD	10,394,872		5.00	%		0.05	%		10,394,872 USD		12/20/2024	Quarterly		1,704,759			408,620			(1,296,139	)
CDX.NA.HY.S33	MORD		USD	2,769,437		5.00	%		0.05	%		2,769,437 USD		12/20/2024	Quarterly		476,620			108,866			(367,754	)
CMBX.NA.AA.7	CGMI		USD	5,000,000		1.50	%		88.73	%		5,000,000 USD		01/17/2047	Monthly		(125,000	)		(120,462	)		4,538
CMBX.NA.A.9	CGMI		USD	2,500,000		2.00	%		6.07	%		2,500,000 USD		09/17/2058	Monthly		(74,374	)		(147,814	)		(73,440	)
CMBX.NA.A.9	GS		USD	4,158,800		2.00	%		6.07	%		4,158,800 USD		09/17/2058	Monthly		54,550			(245,890	)		(300,440	)
CMBX.NA.A.9	MORD		USD	10,000,000		2.00	%		6.07	%		10,000,000 USD		09/17/2058	Monthly		(918,750	)		(591,253	)		327,497
CMBX.NA.AAA.10	GS		USD	7,540,000		0.50	%		0.59	%		7,540,000 USD		11/17/2059	Monthly		68,960			(15,782	)		(84,742	)
CMBX.NA.AAA.15	CGMI		USD	10,000,000		0.50	%		0.75	%		10,000,000 USD		11/18/2064	Monthly		(373,108	)		(153,120	)		219,988
CMBX.NA.AAA.15	GS		USD	2,825,000		0.50	%		0.75	%		2,825,000 USD		11/18/2064	Monthly		(43,465	)		(43,257	)		208
																$	21,348,453		$	9,609,954		$	(11,738,499	)

55 See accompanying notes to the financial statements.  

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

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

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

⁽¹⁾ As of February 29, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Total Return on Markit iBoxx USD Liquid Investment Grade Index

SOFR

MSCI

USD 22,883,000

03/20/2024

Quarterly

$

71,436

$

264,952

$

193,516

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

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

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

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

(e) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 61.

  See accompanying notes to the financial statements. 56

GMO U.S. Treasury Fund

(A Series of GMO Trust)

 

 

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

GMO U.S. Treasury Fund returned +5.54% (net) for the fiscal year ended February 29, 2024, as compared with +5.45% for the FTSE 3-Month Treasury Bill Index.

Security selection in Floating Rate U.S. Treasury Notes drove performance during the year, followed by gains from Repurchase Agreements and U.S. Treasury Bills/Notes.

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

57

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

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

As of February 29, 2024

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Core Class		5.54	%		2.03	%		1.40	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited.

The gross expense ratio of 0.12% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. The corresponding net expense ratio of 0.08% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

58

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		99.2	%
Other		0.8
		100.0	%

59

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 99.2%
		U.S. Government — 87.6%
	68,162,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25		68,240,881
	26,150,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.49%, due 04/30/25		26,163,476
	91,897,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.13%, 5.45%, due 07/31/25		91,863,189
	58,940,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.50%, due 10/31/25		58,932,189
	107,490,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26		107,585,245
	38,057,401	U.S. Treasury Inflation-Indexed Notes, 0.50%, due 04/15/24		38,126,168
	20,386,182	U.S. Treasury Inflation-Indexed Notes, 0.13%, due 07/15/24		20,396,208
	32,357,000	U.S. Treasury Notes, 1.50%, due 09/30/24		31,668,150
	6,610,000	U.S. Treasury Notes, 4.63%, due 06/30/25		6,589,086
	6,790,000	U.S. Treasury Notes, 3.13%, due 08/15/25		6,629,533
	6,540,000	U.S. Treasury Notes, 4.88%, due 11/30/25		6,555,839
	6,640,000	U.S. Treasury Notes, 4.25%, due 12/31/25		6,588,125
	12,000,000	U.S. Treasury Notes, 4.25%, due 01/31/26		11,910,469
		Total U.S. Government		481,248,558
		U.S. Government Agency — 2.6%
	10,000,000	Federal Home Loan Banks, 5.23%, due 03/22/24		9,998,302
	4,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.41%, due 09/04/24		4,001,545
		Total U.S. Government Agency		13,999,847
		Repurchase Agreements — 9.0%
	49,546,703	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 02/29/24 maturing on 03/01/24 with a maturity value of $49,553,997 and an effective yield of 5.30%, collateralized by U.S. Treasury Notes with maturity dates 09/30/26 - 09/30/2028 and a market value of $50,247,595		49,546,703

Shares		Description	Value ($)
		Money Market Funds — 0.0%
	215,603	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 5.25% (a)		215,603
		TOTAL SHORT-TERM INVESTMENTS (COST $544,544,717)		545,010,711
		TOTAL INVESTMENTS — 99.2% (Cost $544,544,717)		545,010,711
		Other Assets and Liabilities (net) — 0.8%		4,438,356
		TOTAL NET ASSETS — 100.0%	$	549,449,067

Notes to Schedule of Investments:

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

(a) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 61.

  See accompanying notes to the financial statements. 60

GMO Trust Funds

 

 

February 29, 2024

Portfolio Abbreviations:

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

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

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

CDI - Certificado de Deposito Interbancario

CDO - Collateralized Debt Obligation

CLICP - Chilean Average Chamber Index

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

CORRA - Canadian Overnight Repo Rate Average

EURIBOR - Euro Interbank Offered Rate

EuroSTR - Euro Short-Term Rate

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

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

GDP - Gross Domestic Product

IO - Interest Only

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

MTA - Monthly Treasury Average Index

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OIS - Overnight Indexed Swaps

OTC - Over-the-Counter

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

STEP - Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at February 29, 2024.

TBA - To Be Announced - Delayed Delivery Security

THOR - Thai Overnight Repurchase Rate

TONA - Tokyo Overnight Average Rate

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

ZAR JIBAR - Johannesburg Interbank Agreed Rate denominated in South African Rand.

The rates shown on variable rate notes are the current interest rates at February 29, 2024, which are subject to change based on the terms of the security.

Counterparty Abbreviations:
BBH - Brown Brothers Harriman & Co	JPM - JPMorgan Chase Bank, N.A.
BCLY - Barclays Bank PLC BOA - Bank of America, N.A. CGMI - Citigroup Global Markets Inc. CITI - Citibank N.A. DB - Deutsche Bank AG GS - Goldman Sachs International	MORD - Morgan Stanley Capital Services LLC MSCI - Morgan Stanley & Co. International PLC SSB - State Street Bank and Trust Company
Currency Abbreviations:
AUD - Australian Dollar	MXN - Mexican Peso
BRL - Brazilian Real	NOK - Norwegian Krone
CAD - Canadian Dollar	NZD - New Zealand Dollar
CHF - Swiss Franc	PEN - Peruvian Sol
CLP - Chilean Peso	PHP - Philippines Peso
COP - Colombian Peso	PLN - Polish Zloty
CZK - Czech Republic Koruna	RON - Romanian New Leu
EUR - Euro	SEK - Swedish Krona
GBP - British Pound	SGD - Singapore Dollar
HKD - Hong Kong Dollar	THB - Thai Baht
HUF - Hungarian Forint	TRY - Turkish Lira
IDR - Indonesian Rupiah	TWD - Taiwan New Dollar
ILS - Israeli Shekel	USD - United States Dollar
INR - Indian Rupee	UYU - Uruguay Peso
JPY - Japanese Yen	ZAR - South African Rand
KRW - South Korean Won

61 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Assets and Liabilities — February 29, 2024

	Asset Allocation Bond Fund		Emerging Country Debt Fund		High Yield Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—	$	13,370,532	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		7,018,977		2,182,406,852		99,292,994
Repurchase agreements, at value (Note 2)(c)		32,999,662		21,999,134		55,999,543
Foreign currency, at value (Note 2)(d)		—		2,074,724		—
Cash		32		12,206,108		527
Receivable for investments sold		—		15,789,100		—
Receivable for closed swap contracts (Note 4)		—		34,841		—
Dividends and interest receivable		30,060		37,878,570		495,918
Unrealized appreciation on open forward currency contracts (Note 4)		48,543		1,811,111		1,669,916
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		16,224
Due from broker (Note 2)		—		23,815,075		—
Receivable for variation margin on open futures contracts (Note 4)		184,313		—		3,226
Receivable for open OTC swap contracts (Note 4)		—		3,750,746		3,437,893
Interest receivable for open OTC swap contracts (Note 4)		—		35,449		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		16,556		—		28,092
Receivable for options (Note 4)(e)		—		117,019		—
Miscellaneous receivable		—		3,291		—
Total assets		40,298,143		2,315,292,552		160,944,333
Liabilities:
Due to broker (Note 2)		1		—		68,741
Payable for investments purchased		—		17,906,017		—
Payable to affiliate for (Note 5):
Management fee		8,013		623,030		44,160
Shareholder service fee		1,763		210,033		6,946
Payable for variation margin on open cleared swap contracts (Note 4)		—		933,786		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		449,559		—
Interest payable for open OTC swap contracts (Note 4)		—		526,209		1,155,919
Payable for open OTC swap contracts (Note 4)		—		1,468,353		—
Payable for reverse repurchase agreements (Note 2)		—		15,156,793		—
Payable to Trustees and related expenses		174		15,723		1,169
Written options outstanding, at value (Note 4)(e)		—		—		85,076
Accrued expenses		61,673		455,423		77,446
Total liabilities		71,624		37,744,926		1,439,457
Net assets	$	40,226,519	$	2,277,547,626	$	159,504,876
(a)  Cost of investments – affiliated issuers:	$	—	$	9,990,075	$	—
(b)  Cost of investments – unaffiliated issuers:	$	7,051,748	$	2,929,667,314	$	100,066,372
(c)  Cost of investments – repurchase agreements:	$	32,999,662	$	21,999,134	$	55,999,543
(d)  Cost of foreign currency:	$	—	$	2,067,899	$	—
(e)  Premiums on options:	$	—	$	6,444,672	$	212,968

  See accompanying notes to the financial statements. 62

GMO Trust Funds

 

 

Statements of Assets and Liabilities — February 29, 2024 — (Continued)

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Net assets consist of:
Paid-in capital	$	90,619,629		$	3,777,593,650		$	164,376,951
Distributable earnings (accumulated loss)		(50,393,110	)		(1,500,046,024	)		(4,872,075	)
	$	40,226,519		$	2,277,547,626		$	159,504,876
Net assets attributable to:
Class III	$	—		$	1,085,552,438		$	—
Class IV	$	—		$	955,908,497		$	—
Class VI	$	40,226,519		$	236,086,691		$	159,412,524
Class I	$	—		$	—		$	92,352
Shares outstanding:
Class III		—			57,441,750			—
Class IV		—			50,677,418			—
Class VI		2,061,151			12,525,917			8,958,545
Class I		—			—			5,195
Net asset value per share:
Class III	$	—		$	18.90		$	—
Class IV	$	—		$	18.86		$	—
Class VI	$	19.52		$	18.85		$	17.79
Class I	$	—		$	—		$	17.78

63 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Assets and Liabilities — February 29, 2024 — (Continued)

	Multi-Sector		Opportunistic
	Fixed Income		Income		U.S. Treasury
	Fund		Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	18,157,656	$	11,616,211	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		58,113,886		1,174,477,200		495,464,008
Repurchase agreements, at value (Note 2)(c)		13,999,885		309,951,950		49,546,703
Foreign currency, at value (Note 2)(d)		9,436		79,144		—
Cash		—		46,197		—
Receivable for investments sold		1,699,827		92,830,189		—
Receivable for Fund shares sold		—		598,655		4,393,359
Receivable for closed swap contracts (Note 4)		89,274		362,167		—
Dividends and interest receivable		296,111		6,377,387		2,197,742
Unrealized appreciation on open forward currency contracts (Note 4)		1,014,818		—		—
Receivable for variation margin on open cleared swap contracts (Note 4)		2,230		—		—
Due from broker (Note 2)		849,912		5,296,734		—
Receivable for variation margin on open futures contracts (Note 4)		52,109		111,194		—
Receivable for open OTC swap contracts (Note 4)		—		11,662,102		—
Interest receivable for open OTC swap contracts (Note 4)		13,714		718,891		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		32,590		60,097		25,757
Total assets		94,331,448		1,614,188,118		551,627,569
Liabilities:
Investments sold short, at value (Note 2)(e)		—		56,115,910		—
Due to custodian		109,738		—		—
Payable for investments purchased		17,215,137		118,030,242		—
Payable for Fund shares repurchased		—		5,810,946		—
Payable to affiliate for (Note 5):
Management fee		15,059		453,346		39,190
Shareholder service fee		6,508		151,171		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		54,487		—
Payable for closed swap contracts (Note 4)		24,589		—		—
Dividends payable		—		1,166,799		2,080,818
Unrealized depreciation on open forward currency contracts (Note 4)		222,298		—		—
Interest payable for open OTC swap contracts (Note 4)		—		183,094		—
Payable for open OTC swap contracts (Note 4)		629,200		1,787,196		—
Payable to Trustees and related expenses		710		8,591		3,283
Written options outstanding, at value (Note 4)(f)		—		34,461		—
Accrued expenses		89,098		202,858		55,211
Total liabilities		18,312,337		183,999,101		2,178,502
Net assets	$	76,019,111	$	1,430,189,017	$	549,449,067
(a) Cost of investments – affiliated issuers:	$	21,061,149	$	11,703,541	$	—
(b) Cost of investments – unaffiliated issuers:	$	57,517,754	$	1,265,281,280	$	494,998,014
(c) Cost of investments – repurchase agreements:	$	13,999,885	$	309,951,950	$	49,546,703
(d) Cost of foreign currency:	$	10,568	$	85,485	$	—
(e) Proceeds from securities sold short:	$	—	$	56,436,719	$	—
(f) Premiums on written options:	$	—	$	80,020	$	—

  See accompanying notes to the financial statements. 64

GMO Trust Funds

 

 

Statements of Assets and Liabilities — February 29, 2024 — (Continued)

	Multi-Sector Fixed Income Fund			Opportunistic Income Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	121,953,653		$	1,595,393,308		$	551,059,071
Distributable earnings (accumulated loss)		(45,934,542	)		(165,204,291	)		(1,610,004	)
	$	76,019,111		$	1,430,189,017		$	549,449,067
Net assets attributable to:
Core Class	$	—		$	—		$	549,449,067
Class III	$	12,166,233		$	69,589,338		$	—
Class IV	$	63,852,878		$	—		$	—
Class VI	$	—		$	246,186,790		$	—
Class R6	$	—		$	178,391,042		$	—
Class I	$	—		$	936,021,847		$	—
Shares outstanding:
Core Class		—			—			109,839,233
Class III		708,489			2,899,507			—
Class IV		3,698,870			—			—
Class VI		—			10,257,909			—
Class R6		—			7,459,993			—
Class I		—			39,081,388			—
Net asset value per share:
Core Class	$	—		$	—		$	5.00
Class III	$	17.17		$	24.00		$	—
Class IV	$	17.26		$	—		$	—
Class VI	$	—		$	24.00		$	—
Class R6	$	—		$	23.91		$	—
Class I	$	—		$	23.95		$	—

65 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Operations — Year Ended February 29, 2024

	Asset			Emerging
	Allocation			Country			High Yield
	Bond Fund			Debt Fund			Fund
Investment Income:
Dividends from unaffiliated issuers	$	1,103,714		$	161,652		$	111,862
Dividends from affiliated issuers (Note 10)		—			1,101,569			—
Interest		312,425			190,732,742			7,325,895
Other income		—			41,314			—
Total investment income		1,416,139			192,037,277			7,437,757
Expenses:
Management fee (Note 5)		71,480			8,909,841			626,075
Shareholder service fee – Class III (Note 5)		15	*		1,863,509			—
Shareholder service fee – Class IV (Note 5)		—			1,011,837			—
Shareholder service fee – Class VI (Note 5)		15,720			160,321			98,372
Shareholder service fee – Class I (Note 5)		—			—			30	**
Audit and tax fees		88,669			168,547			92,959
Custodian, fund accounting agent and transfer agent fees		19,449			461,848			60,593
Legal fees		5,917			160,991			9,199
Registration fees		4,108			7,126			22,602
Trustees’ fees and related expenses (Note 5)		1,413			145,421			10,517
Interest expense (Note 2)		—			1,025,235			—
Miscellaneous		5,001			64,971			6,526
Total expenses		211,772			13,979,647			926,873
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(112,326	)		—			(102,431	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(10,224	)		—
Net expenses		99,446			13,969,423			824,442
Net investment income (loss)		1,316,693			178,067,854			6,613,315
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(143,296	)		(200,593,202	)		(6,424,399	)
Investments in affiliated issuers		—			1,162,267			—
Bond forward contracts		—			4,269,578			—
Futures contracts		555,744			—			179,539
Options		—			(328,738	)		886,551
Swap contracts		—			(2,330,591	)		9,556,226
Forward currency contracts		264,229			(2,709,944	)		4,707,802
Foreign currency and foreign currency related transactions		(12,211	)		(669,816	)		402,806
Net realized gain (loss)		664,466			(201,200,446	)***		9,308,525
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(39,279	)		447,484,823			1,737,929
Investments in affiliated issuers		—			3,612,196			—
Bond forward contracts		—			861,107			—
Futures contracts		311,064			—			15,549
Options		—			144,082			(420,791	)
Swap contracts		—			(14,497,936	)		133,796
Forward currency contracts		40,853			(855,685	)		1,669,916
Foreign currency and foreign currency related transactions		—			16,565			—
Net change in unrealized appreciation (depreciation)		312,638			436,765,152			3,136,399
Net realized and unrealized gain (loss)		977,104			235,564,706			12,444,924
Net increase (decrease) in net assets resulting from operations	$	2,293,797		$	413,632,560		$	19,058,239

* Class III liquidated on August 28, 2023.

** Period from April 13, 2023 (commencement of operations) through February 29, 2024.

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

  See accompanying notes to the financial statements. 66

GMO Trust Funds

 

 

Statements of Operations — Year Ended February 29, 2024 — (Continued)

	Multi-Sector			Opportunistic
	Fixed Income			Income			U.S. Treasury
	Fund			Fund			Fund
Investment Income:
Interest	$	3,005,152		$	86,607,174		$	24,362,030
Dividends from affiliated issuers (Note 10)		1,474,723			574,261			—
Dividends from unaffiliated issuers		39,400			563,508			28,020
Total investment income		4,519,275			87,744,943			24,390,050
Expenses:
Management fee (Note 5)		256,560			5,203,644			368,293
Shareholder service fee – Class III (Note 5)		23,834			89,065			—
Shareholder service fee – Class IV (Note 5)		86,735			—			—
Shareholder service fee – Class VI (Note 5)		—			175,071			—
Shareholder service fee – Class R6 (Note 5)		—			274,927			—
Shareholder service fee – Class I (Note 5)		—			1,109,908			—
Audit and tax fees		94,207			136,260			47,863
Custodian, fund accounting agent and transfer agent fees		103,331			1,049,363			67,813
Legal fees		5,419			44,296			17,496
Registration fees		6,004			89,268			3,161
Trustees’ fees and related expenses (Note 5)		6,122			72,818			25,755
Interest expense (Note 2)		—			22,153			—
Miscellaneous		4,688			54,229			5,626
Total expenses		586,900			8,321,002			536,007
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(194,248	)		(452,295	)		(186,400	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(98,553	)		(7,373	)		—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(13,845	)		—			—
Net expenses		280,254			7,861,334			349,607
Net investment income (loss)		4,239,021			79,883,609			24,040,443
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(4,368,407	)		(4,575,218	)		(280,989	)
Investments in affiliated issuers		(1,106,571	)		—			—
Investments in securities sold short		—			330,664			—
Futures contracts		(2,543,802	)		510,879			—
Written options		—			1,303,214			—
Swap contracts		(701,064	)		186,392			—
Forward currency contracts		1,424,852			(28,406	)		—
Foreign currency and foreign currency related transactions		204,995			68,592			—
Net realized gain (loss)		(7,089,997	)		(2,203,883	)		(280,989	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		4,106,237			8,953,976			1,157,739
Investments in affiliated issuers		1,594,995			21,833			—
Investments in securities sold short		—			320,809			—
Futures contracts		121,940			1,006,805			—
Written options		—			(53,333	)		—
Swap contracts		(360,656	)		(5,935,219	)		—
Forward currency contracts		377,694			(139,398	)		—
Foreign currency and foreign currency related transactions		23,643			(31,564	)		—
Net change in unrealized appreciation (depreciation)		5,863,853			4,143,909			1,157,739
Net realized and unrealized gain (loss)		(1,226,144	)		1,940,026			876,750
Net increase (decrease) in net assets resulting from operations	$	3,012,877		$	81,823,635		$	24,917,193

67 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Statements of Changes in Net Assets

	Asset						Emerging
	Allocation						Country
	Bond Fund						Debt Fund
	Year Ended						Year Ended
	February 28/29,						February 28/29,
	2024			2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,316,693		$	441,165		$	178,067,854		$	210,206,407
Net realized gain (loss)		664,466			(4,991,505	)		(201,200,446	)		(240,628,308	)
Change in net unrealized appreciation (depreciation)		312,638			631,261			436,765,152			(253,280,536	)
Net increase (decrease) in net assets from operations		2,293,797			(3,919,079	)		413,632,560			(283,702,437	)
Distributions to shareholders:
Class III		(409	)*		—			(128,801,963	)		(99,791,566	)
Class IV		—			—			(98,805,105	)		(167,952,272	)
Class VI		(1,687,818	)		(157,978	)		(25,492,175	)		(94,556,130	)
Total distributions		(1,688,227	)		(157,978	)		(253,099,243	)		(362,299,968	)
Net share transactions (Note 9):
Class III		(18,436	)*		—			(216,705,807	)		433,276,064
Class IV		—			—			(282,607,487	)		(104,836,068	)
Class VI		19,488,953			(13,791,287	)		(175,067,798	)		(628,940,069	)
Increase (decrease) in net assets resulting from net share transactions		19,470,517			(13,791,287	)		(674,381,092	)		(300,500,073	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			2,537,837			1,008,898
Class IV		—			—			1,925,340			1,719,233
Class VI		—			—			570,885			919,077
Increase (decrease) in net assets resulting from purchase premiums and redemption fees		—			—			5,034,062			3,647,208
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		19,470,517			(13,791,287	)		(669,347,030	)		(296,852,865	)
Total increase (decrease) in net assets		20,076,087			(17,868,344	)		(508,813,713	)		(942,855,270	)
Net assets:
Beginning of period		20,150,432			38,018,776			2,786,361,339			3,729,216,609
End of period	$	40,226,519		$	20,150,432		$	2,277,547,626		$	2,786,361,339

* Class III liquidated on August 28, 2023.

  See accompanying notes to the financial statements. 68

GMO Trust Funds

 

 

Statements of Changes in Net Assets — (Continued)

	High Yield Fund						Multi-Sector Fixed Income Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2024			2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	6,613,315		$	4,756,870		$	4,239,021		$	2,971,439
Net realized gain (loss)		9,308,525			(4,357,771	)		(7,089,997	)		(13,470,824	)
Change in net unrealized appreciation (depreciation)		3,136,399			3,490,664			5,863,853			(2,317,510	)
Net increase (decrease) in net assets from operations		19,058,239			3,889,763			3,012,877			(12,816,895	)
Distributions to shareholders:
Class III		—			—			—			(149,319	)
Class IV		—			—			—			(1,851,259	)
Class VI		(7,199,889	)		(18,971,313	)		—			—
Class I		(281	)*		—			—			—
Total distributions		(7,200,170	)		(18,971,313	)		—			(2,000,578	)
Net share transactions (Note 9):
Class III		—			—			(2,877,718	)		7,014,922
Class IV		—			—			(27,985,359	)		(13,308,297	)
Class VI		(109,659,827	)		187,710,400			—			—
Class I		91,563	*		—			—			—
Increase (decrease) in net assets resulting from net share transactions		(109,568,264	)		187,710,400			(30,863,077	)		(6,293,375	)
Total increase (decrease) in net assets		(97,710,195	)		172,628,850			(27,850,200	)		(21,110,848	)
Net assets:
Beginning of period		257,215,071			84,586,221			103,869,311			124,980,159
End of period	$	159,504,876		$	257,215,071		$	76,019,111		$	103,869,311

* Period from April 13, 2023 (commencement of operations) through February 29, 2024.

69 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Statements of Changes in Net Assets — (Continued)

	Opportunistic Income Fund						U.S. Treasury Fund
	Year Ended						Year Ended
	February 28/29,						February 28/29,
	2024			2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	79,883,609		$	43,573,629		$	24,040,443		$	8,732,456
Net realized gain (loss)		(2,203,883	)		(2,342,156	)		(280,989	)		(1,062,384	)
Change in net unrealized appreciation (depreciation)		4,143,909			(47,249,469	)		1,157,739			(298,759	)
Net increase (decrease) in net assets from operations		81,823,635			(6,017,996	)		24,917,193			7,371,313
Distributions to shareholders:
Core Class		—			—			(24,040,453	)		(8,732,859	)
Class III		(4,242,957	)		(353,815	)		—			—
Class VI		(18,647,963	)		(19,571,131	)		—			—
Class R6		(11,825,892	)		(9,882,307	)		—			—
Class I		(50,926,913	)		(20,733,424	)		—			—
Total distributions		(85,643,725	)		(50,540,677	)		(24,040,453	)		(8,732,859	)
Net share transactions (Note 9):
Core Class		—			—			140,115,213			152,052,342
Class III		21,964,569			36,408,292			—			—
Class VI		(144,019,338	)		35,260,297			—			—
Class R6		(7,398,523	)		44,469,462			—			—
Class I		436,305,895			83,699,966			—			—
Increase (decrease) in net assets resulting from net share transactions		306,852,603			199,838,017			140,115,213			152,052,342
Total increase (decrease) in net assets		303,032,513			143,279,344			140,991,953			150,690,796
Net assets:
Beginning of period		1,127,156,504			983,877,160			408,457,114			257,766,318
End of period	$	1,430,189,017		$	1,127,156,504		$	549,449,067		$	408,457,114

  See accompanying notes to the financial statements. 70

GMO Trust Funds

 

 

Statement of Cash Flows — Year Ended February 29, 2024

	Emerging Country Debt Fund
Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	413,632,560
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Net change in unrealized (appreciation) depreciation		(436,765,152	)
Net realized (gain) loss		201,200,446
Cost of purchase of investments held long		(863,163,235	)
Proceeds from sale of investments held long		1,361,459,816
Net accretion of discount and amortization of premium		(10,901,990	)
Short-term investments, net		13,859,849
Cash flows related to derivative transactions:
Bond forward contracts		4,269,578
Swap contracts		(7,108,614	)
Forward currency contracts		(2,709,944	)
Foreign currency and foreign currency related transactions		(653,251	)
Change in assets and liabilities:
(Increase) decrease in due from broker		7,489,907
(Increase) decrease in dividends and interest receivable		10,165,516
(Increase) decrease in interest receivable for open OTC swap contracts		145,339
(Increase) decrease in receivable for closed swap contracts		(34,841	)
(Increase) decrease in miscellaneous receivable		(1,317	)
Increase (decrease) in payable to affiliate for:
Management fee		(132,595	)
Shareholder service fee		(17,060	)
Increase (decrease) in due to custodian		(38,848	)
Increase (decrease) in payable for closed swap contracts		(806,556	)
Increase (decrease) in payable to Trustees and related expenses		4,024
Increase (decrease) in interest payable for OTC swap contracts^		(186,530	)
Increase (decrease) in accrued expenses		134,492
Net cash provided by (used in) operating activities		689,841,594
Cash flows from financing activities:
Proceeds from shares sold		402,038,401
Shares repurchased		(1,054,204,598	)
Cash distributions paid		(44,375,514	)
Purchase premiums and redemption fees		5,034,062
Increase (decrease) in payable for reverse repurchase agreements^^		15,156,793
Net cash provided by (used in) financing activities		(676,350,856	)
Net increase (decrease) in cash		13,490,738
Cash, beginning of period		790,094
Cash, end of period	$	14,280,832
Supplemental disclosure of cash flow information:
Cash paid during the period for:
^ Interest on swap contracts	$	7,082,976
^^ Interest on reverse repurchase agreements	$	738,317
Supplemental information (non-cash financing activities):
Redemptions in-kind	$	230,967,102

71 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND

	Class VI Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	20.37		$	23.52		$	23.88		$	22.72		$	21.67
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.92			0.40			0.39			0.27			0.56
Net realized and unrealized gain (loss)		(0.71	)		(3.40	)		(0.31	)		1.18			1.53
Total from investment operations		0.21			(3.00	)		0.08			1.45			2.09
Less distributions to shareholders:
From net investment income		(1.06	)		(0.15	)		(0.44	)		(0.29	)		(1.04	)
Total distributions		(1.06	)		(0.15	)		(0.44	)		(0.29	)		(1.04	)
Net asset value, end of period	$	19.52		$	20.37		$	23.52		$	23.88		$	22.72
Total Return(b)		0.88	%		(12.81	)%		0.26	%		6.39	%		9.83	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	40,227		$	20,131		$	37,997		$	58,621		$	192,410
Net operating expenses to average daily net assets		0.35	%(c)		0.32	%(c)		0.31	%(c)		0.31	%(c)		0.31	%(c)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		—			—			—			—			0.00	%(e)
Total net expenses to average daily net assets		0.35	%(c)		0.32	%(c)		0.31	%(c)		0.31	%(c)		0.31	%(c)
Net investment income (loss) to average daily net assets(a)		4.61	%		1.88	%		1.60	%		1.15	%		2.49	%
Portfolio turnover rate(f)		0	%		95	%		209	%		30	%		16	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.39	%		0.61	%		0.17	%(g)		0.08	%(g)		0.06	%(g)

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

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

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

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

^(e)  Rounds to less than 0.01%.

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

	February 29, 2024		February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		N/A		96	%		206	%		39	%		37	%

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

† Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 72

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	17.71		$	21.34		$	25.54		$	27.38		$	26.82
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.27			1.28			1.42			1.56			1.44
Net realized and unrealized gain (loss)		1.82			(2.52	)		(3.16	)		(0.85	)		0.91
Total from investment operations		3.09			(1.24	)		(1.74	)		0.71			2.35
Less distributions to shareholders:
From net investment income		(1.90	)		(2.39	)		(1.82	)		(1.93	)		(1.79	)
From net realized gains		—			—			(0.64	)		(0.62	)		—
Total distributions		(1.90	)		(2.39	)		(2.46	)		(2.55	)		(1.79	)
Net asset value, end of period	$	18.90		$	17.71		$	21.34		$	25.54		$	27.38
Total Return(b)		18.14	%		(5.52	)%		(7.83	)%		2.67	%		8.97	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,085,552		$	1,222,989		$	942,565		$	1,010,106		$	1,133,945
Net operating expenses to average daily net assets(c)		0.54	%		0.54	%		0.53	%		0.54	%		0.53	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.04	%		0.00	%(e)		—			0.00	%(e)		0.01	%
Total net expenses to average daily net assets(c)		0.58	%		0.54	%		0.53	%		0.54	%		0.54	%
Net investment income (loss) to average daily net assets(a)		6.96	%		6.75	%		5.62	%		6.02	%		5.23	%
Portfolio turnover rate(f)		20	%		32	%		34	%		56	%		41	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.00	%(e)(g)		—			0.00	%(e)(g)		0.00	%(e)(g)		0.00	%(e)(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.04		$	0.02		$	0.02		$	0.03		$	0.03

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

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

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

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

^(e)  Rounds to less than 0.01%.

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

	February 29, 2024			February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		20	%		32	%		33	%		55	%		40	%

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

† Calculated using average shares outstanding throughout the period.

73 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND (continued)

	Class IV Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	17.67		$	21.30		$	25.50		$	27.34		$	26.77
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.27			1.28			1.41			1.39			1.43
Net realized and unrealized gain (loss)		1.82			(2.51	)		(3.14	)		(0.66	)		0.94
Total from investment operations		3.09			(1.23	)		(1.73	)		0.73			2.37
Less distributions to shareholders:
From net investment income		(1.90	)		(2.40	)		(1.83	)		(1.95	)		(1.80	)
From net realized gains		—			—			(0.64	)		(0.62	)		—
Total distributions		(1.90	)		(2.40	)		(2.47	)		(2.57	)		(1.80	)
Net asset value, end of period	$	18.86		$	17.67		$	21.30		$	25.50		$	27.34
Total Return(b)		18.22	%		(5.48	)%		(7.82	)%		2.73	%		9.08	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	955,908		$	1,170,559		$	1,531,528		$	3,218,116		$	3,219,098
Net operating expenses to average daily net assets(c)		0.49	%		0.49	%		0.48	%		0.49	%		0.48	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.04	%		0.00	%(e)		—			0.00	%(e)		0.01	%
Total net expenses to average daily net assets(c)		0.53	%		0.49	%		0.48	%		0.49	%		0.49	%
Net investment income (loss) to average daily net assets(a)		7.02	%		6.78	%		5.56	%		5.38	%		5.22	%
Portfolio turnover rate(f)		20	%		32	%		34	%		56	%		41	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.00	%(e)(g)		—			0.00	%(e)(g)		0.00	%(e)(g)		0.00	%(e)(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.03		$	0.02		$	0.02		$	0.03		$	0.03

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

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

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

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

^(e)  Rounds to less than 0.01%.

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

	February 29, 2024			February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		20	%		32	%		33	%		55	%		40	%

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

† Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 74

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND (continued)

	Class VI Shares
	Year Ended February 28/29,						Period from July 29, 2021 (commencement of operations) through February 28, 2022
	2024			2023
Net asset value, beginning of period	$	17.66		$	21.30		$	25.89
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.28			1.27			0.77
Net realized and unrealized gain (loss)		1.82			(2.51	)		(3.60	)
Total from investment operations		3.10			(1.24	)		(2.83	)
Less distributions to shareholders:
From net investment income		(1.91	)		(2.40	)		(1.55	)
From net realized gains		—			—			(0.21	)
Total distributions		(1.91	)		(2.40	)		(1.76	)
Net asset value, end of period	$	18.85		$	17.66		$	21.30
Total Return(b)		18.27	%		(5.49	)%		(11.63	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	236,087		$	392,813		$	1,255,123
Net operating expenses to average daily net assets(c)		0.44	%		0.44	%		0.43	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.04	%		0.00	%(e)		—
Total net expenses to average daily net assets(c)		0.48	%		0.44	%		0.43	%*
Net investment income (loss) to average daily net assets(a)		7.06	%		6.68	%		5.35	%*
Portfolio turnover rate(f)		20	%		32	%		34	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.00	%(e)(g)		—			0.00	%(e)(g)*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.04		$	0.02		$	0.01

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

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

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

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

^(e)  Rounds to less than 0.01%.

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

	February 29, 2024			February 28, 2023			February 28, 2022
Portfolio turnover rate including transactions in USTF		20	%		32	%		33	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

75 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

HIGH YIELD FUND

	Class VI Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	16.73		$	18.61		$	20.90		$	19.94		$	20.21
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.64			0.32			0.21			0.64			0.48
Net realized and unrealized gain (loss)		1.20			(0.87	)		0.13			0.77			0.82
Total from investment operations		1.84			(0.55	)		0.34			1.41			1.30
Less distributions to shareholders:
From net investment income		(0.78	)		(1.30	)		(0.68	)		(0.40	)		(1.57	)
From net realized gains		—			(0.03	)		(1.95	)		(0.05	)		—
Total distributions		(0.78	)		(1.33	)		(2.63	)		(0.45	)		(1.57	)
Net asset value, end of period	$	17.79		$	16.73		$	18.61		$	20.90		$	19.94
Total Return(b)		11.03	%		(2.90	)%		1.35	%		7.21	%		6.40	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	159,413		$	257,215		$	84,586		$	94,545		$	161,449
Net operating expenses to average daily net assets(c)		0.46	%		0.46	%		0.51	%		0.52	%(d)		0.52	%(d)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)		—			0.00	%(f)		0.00	%(f)		0.00	%(f)		0.03	%
Total net expenses to average daily net assets(c)		0.46	%		0.46	%		0.51	%		0.52	%(d)		0.55	%(d)
Net investment income (loss) to average daily net assets(a)		3.70	%		1.86	%		1.05	%		3.23	%		2.34	%
Portfolio turnover rate(g)		94	%		31	%		98	%		288	%		105	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.06	%		0.01	%		0.03	%		0.00	%(f)(h)		0.00	%(f)(h)

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

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

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5). (d) Includes recoupment of past reimbursed and/or waived fees (Note 5).

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

^(f)  Rounds to less than 0.01%.

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

February 29, 2024

February 28, 2023

February 28, 2022

February 28, 2021

February 29, 2020

Portfolio turnover rate including transactions in USTF

N/A

N/A

N/A

317

%

214

%

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

† Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 76

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

HIGH YIELD FUND (continued)

	Class I Shares
	Period from April 13, 2023 (commencement of operations) through February 29, 2024
Net asset value, beginning of period	$	17.15
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.54
Net realized and unrealized gain (loss)		0.86
Total from investment operations		1.40
Less distributions to shareholders:
From net investment income		(0.77	)
Total distributions		(0.77	)
Net asset value, end of period	$	17.78
Total Return(b)		8.20	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	92
Net expenses to average daily net assets(c)		0.60	%*
Net investment income (loss) to average daily net assets(a)		3.47	%*
Portfolio turnover rate		94	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.47	%*

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

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

77 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

MULTI-SECTOR FIXED INCOME FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	16.54		$	18.84		$	20.13		$	22.19		$	20.88
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.69			0.47			0.27			0.43			0.53
Net realized and unrealized gain (loss)		(0.06	)		(2.45	)		(0.99	)		(0.24	)(b)		2.01
Total from investment operations		0.63			(1.98	)		(0.72	)		0.19			2.54
Less distributions to shareholders:
From net investment income		—			(0.32	)		—			(0.93	)		(0.64	)
From net realized gains		—			—			(0.57	)		(1.32	)		(0.59	)
Total distributions		—			(0.32	)		(0.57	)		(2.25	)		(1.23	)
Net asset value, end of period	$	17.17		$	16.54		$	18.84		$	20.13		$	22.19
Total Return(c)		3.81	%		(10.54	)%		(3.74	)%		0.59	%		12.38	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	12,166		$	14,757		$	8,803		$	31,602		$	80,639
Net operating expenses to average daily net assets(d)		0.32	%		0.29	%		0.31	%		0.30	%		0.29	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)		—			0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)
Total net expenses to average daily net assets(d)		0.32	%		0.29	%		0.31	%		0.30	%		0.29	%
Net investment income (loss) to average daily net assets(a)		4.12	%		2.70	%		1.33	%		1.98	%		2.43	%
Portfolio turnover rate(g)		419	%		326	%		256	%		262	%		215	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)		0.30	%		0.33	%		0.24	%		0.19	%		0.16	%

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

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

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

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

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

^(f)  Rounds to less than 0.01%.

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

	February 29, 2024		February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		N/A		329	%		263	%		335	%		285	%

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

† Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 78

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

MULTI-SECTOR FIXED INCOME FUND (continued)

	Class IV Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	16.61		$	18.93		$	20.20		$	22.26		$	20.94
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.70			0.47			0.28			0.35			0.54
Net realized and unrealized gain (loss)		(0.05	)		(2.46	)		(0.98	)		(0.16	)(b)		2.02
Total from investment operations		0.65			(1.99	)		(0.70	)		0.19			2.56
Less distributions to shareholders:
From net investment income		—			(0.33	)		—			(0.93	)		(0.65	)
From net realized gains		—			—			(0.57	)		(1.32	)		(0.59	)
Total distributions		—			(0.33	)		(0.57	)		(2.25	)		(1.24	)
Net asset value, end of period	$	17.26		$	16.61		$	18.93		$	20.20		$	22.26
Total Return(c)		3.91	%		(10.56	)%		(3.63	)%		0.59	%		12.44	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	63,853		$	89,113		$	116,178		$	133,862		$	449,655
Net operating expenses to average daily net assets(d)		0.27	%		0.24	%		0.25	%		0.24	%		0.24	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)		—			0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)
Total net expenses to average daily net assets(d)		0.27	%		0.24	%		0.25	%		0.24	%		0.24	%
Net investment income (loss) to average daily net assets(a)		4.13	%		2.70	%		1.39	%		1.57	%		2.47	%
Portfolio turnover rate(g)		419	%		326	%		256	%		262	%		215	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)		0.30	%		0.33	%		0.25	%		0.19	%		0.16	%

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

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

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

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

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

^(f) Rounds to less than 0.01%.

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

	February 29, 2024		February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		N/A		329	%		263	%		335	%		285	%

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

† Calculated using average shares outstanding throughout the period.

79 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND

	Class III Shares
	Year Ended February 28/29,						Period from February 1, 2022 (commencement of operations through February 28,			Period from July 21, 2021 (commencement of operations) through December 28,
	2024			2023			2022			2021
Net asset value, beginning of period	$	24.11		$	25.56		$	25.66		$	25.88
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.51			1.05			0.07			0.44
Net realized and unrealized gain (loss)		0.01			(1.23	)		(0.17	)		(0.33	)
Total from investment operations		1.52			(0.18	)		(0.10	)		0.11
Less distributions to shareholders:
From net investment income		(1.63	)		(0.90	)		—			(0.42	)
From net realized gains		—			(0.37	)		—			—
Total distributions		(1.63	)		(1.27	)		—			(0.42	)
Net asset value, end of period	$	24.00		$	24.11		$	25.56		$	25.57
Total Return(b)		6.44	%		(0.66	)%		(0.39	)%**		0.43	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	69,589		$	48,101		$	12,281		$	13,847
Net operating expenses to average daily net assets(c)		0.57	%		0.56	%		0.70	%*		0.56	%*
Interest and/or dividend expenses to average daily net assets(d)		0.00	%(e)		0.00	%(e)		0.00	%(e)*		0.00	%(e)*
Total net expenses to average daily net assets(c)		0.57	%		0.56	%		0.70	%*		0.56	%*
Net investment income (loss) to average daily net assets(a)		6.19	%		4.19	%		3.92	%*		3.84	%*
Portfolio turnover rate(f)		160	%		73	%		95	%**		95	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(g)		0.06	%		0.08	%*		0.04	%*

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

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

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

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

^(e) Rounds to less than 0.01%.

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

	February 29, 2024			February 28, 2023			February 28, 2022			February 28, 2021
Portfolio turnover rate including transactions in USTF		159	%		72	%		94	%		45	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 80

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class VI Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	24.10		$	25.56		$	25.84		$	26.15		$	26.21
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.52			1.11			0.81			1.06			1.46
Net realized and unrealized gain (loss)		0.03			(1.27	)		(0.55	)		(0.31	)		(0.06	)
Total from investment operations		1.55			(0.16	)		0.26			0.75			1.40
Less distributions to shareholders:
From net investment income		(1.65	)		(0.93	)		(0.54	)		(1.06	)		(1.46	)
From net realized gains		—			(0.37	)		—			—			—
Total distributions		(1.65	)		(1.30	)		(0.54	)		(1.06	)		(1.46	)
Net asset value, end of period	$	24.00		$	24.10		$	25.56		$	25.84		$	26.15
Total Return(b)		6.56	%		(0.58	)%		1.00	%		2.95	%		5.45	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	246,187		$	389,295		$	375,117		$	477,457		$	825,876
Net operating expenses to average daily net assets(c)		0.48	%		0.47	%		0.47	%		0.47	%		0.47	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)
Total net expenses to average daily net assets(c)		0.48	%		0.47	%		0.47	%		0.47	%		0.47	%
Net investment income (loss) to average daily net assets(a)		6.24	%		4.52	%		3.13	%		4.12	%		5.50	%
Portfolio turnover rate(f)		160	%		73	%		95	%		43	%		47	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%(g)		0.05	%		0.05	%(g)		0.05	%(g)		0.04	%(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.01

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

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

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

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

^(e) Rounds to less than 0.01%.

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

	February 29, 2024			February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		159	%		72	%		94	%		45	%		48	%

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

† Calculated using average shares outstanding throughout the period.

81 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class R6 Shares
	Year Ended February 28/29,						Period from May 19, 2021 (commencement of operations) through February 28,
	2024			2023			2022
Net asset value, beginning of period	$	24.02		$	25.48		$	25.86
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.50			1.08			0.67
Net realized and unrealized gain (loss)		0.01			(1.27	)		(0.51	)
Total from investment operations		1.51			(0.19	)		0.16
Less distributions to shareholders:
From net investment income		(1.62	)		(0.90	)		(0.54	)
From net realized gains		—			(0.37	)		—
Total distributions		(1.62	)		(1.27	)		(0.54	)
Net asset value, end of period	$	23.91		$	24.02		$	25.48
Total Return(b)		6.43	%		(0.68	)%		0.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	178,391		$	186,230		$	152,877
Net operating expenses to average daily net assets(c)		0.57	%		0.56	%		0.58	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.00	%(e)		0.00	%(e)		0.00	%(e)*
Total net expenses to average daily net assets(c)		0.57	%		0.56	%		0.58	%*
Net investment income (loss) to average daily net assets(a)		6.16	%		4.42	%		3.29	%*
Portfolio turnover rate(f)		160	%		73	%		95	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(g)		0.05	%		0.05	%*

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

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

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

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

^(e) Rounds to less than 0.01%.

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

	February 29, 2024			February 28, 2023			February 28, 2022
Portfolio turnover rate including transactions in USTF		159	%		72	%		94	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

  See accompanying notes to the financial statements. 82

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class I Shares
	Year Ended February 28/29,												Period from November 5, 2019 (commencement of operations) through February 29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	24.06		$	25.51		$	25.80		$	26.12		$	26.85
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.48			1.06			0.77			0.89			0.54
Net realized and unrealized gain (loss)		0.01			(1.26	)		(0.57	)		(0.18	)		(0.08	)
Total from investment operations		1.49			(0.20	)		0.20			0.71			0.46
Less distributions to shareholders:
From net investment income		(1.60	)		(0.88	)		(0.49	)		(1.03	)		(1.19	)
From net realized gains		—			(0.37	)		—			—			—
Total distributions		(1.60	)		(1.25	)		(0.49	)		(1.03	)		(1.19	)
Net asset value, end of period	$	23.95		$	24.06		$	25.51		$	25.80		$	26.12
Total Return(b)		6.33	%		(0.73	)%		0.77	%		2.79	%		1.80	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	936,022		$	503,531		$	443,602		$	417,150		$	22,684
Net operating expenses to average daily net assets(c)		0.67	%		0.66	%		0.67	%		0.68	%		0.66	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)*
Total net expenses to average daily net assets(c)		0.67	%		0.66	%		0.67	%		0.68	%		0.66	%*
Net investment income (loss) to average daily net assets(a)		6.09	%		4.33	%		2.97	%		3.47	%		6.55	%*
Portfolio turnover rate(f)		160	%		73	%		95	%		43	%		47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(g)		0.05	%		0.05	%(g)		0.07	%(g)		0.07	%(g)*

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

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

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

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

^(e) Rounds to less than 0.01%.

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

	February 29, 2024			February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		159	%		72	%		94	%		45	%		48	%

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

83 See accompanying notes to the financial statements.  

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. TREASURY FUND

	Core Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	4.99		$	5.01		$	5.04		$	5.02		$	5.00
Income (loss) from investment operations:
Net investment income (loss)†		0.26			0.13			0.01			0.01			0.10
Net realized and unrealized gain (loss)		0.01			(0.03	)		(0.04	)		0.02			0.02
Total from investment operations		0.27			0.10			(0.03	)		0.03			0.12
Less distributions to shareholders:
From net investment income		(0.26	)		(0.12	)		(0.00	)(a)		(0.01	)		(0.10	)
From net realized gains		—			—			(0.00	)(a)		(0.00	)(a)		—
Total distributions		(0.26	)		(0.12	)		(0.00	)(a)		(0.01	)		(0.10	)
Net asset value, end of period	$	5.00		$	4.99		$	5.01		$	5.04		$	5.02
Total Return(b)		5.54	%		2.00	%		(0.37	)%		0.63	%		2.47	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	549,449		$	408,457		$	257,766		$	382,455		$	222,762
Net expenses to average daily net assets		0.08	%		0.01	%		0.02	%		0.08	%		0.06	%
Net investment income (loss) to average daily net assets		5.22	%		2.60	%		0.13	%		0.20	%		2.03	%
Portfolio turnover rate(c)		0	%		0	%		0	%		0	%		0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%		0.12	%		0.10	%		0.03	%		0.05	%

^(a) Rounds to less than $0.01.

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

^(c) Portfolio turnover rate calculation excludes short-term investments.

† Calculated using average shares outstanding throughout the period.

  See accompanying notes to the financial statements. 84

GMO Trust Funds

 

 

Notes to Financial Statements

February 29, 2024

1. Organization

Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund, Opportunistic Income Fund and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest without limitation in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), some of the Funds may invest in Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Asset Allocation Bond Fund	FTSE 3-Month Treasury Bill Index	Total return in excess of its benchmark
Emerging Country Debt Fund	J.P. Morgan EMBI Global Diversified	Total return in excess of its benchmark
High Yield Fund	Markit iBoxx USD Liquid High Yield Index	Total return in excess of its benchmark
Multi-Sector Fixed Income Fund	Bloomberg U.S. Aggregate Index	Total return in excess of its benchmark
Opportunistic Income Fund	Not Applicable	Capital appreciation and current income
U.S. Treasury Fund	Not Applicable	Liquidity and safety of principal with current income as a secondary objective

Asset Allocation Bond Fund currently limits subscriptions.

2. Significant accounting policies

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

Portfolio valuation

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

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

85

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

February 29, 2024

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

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 29, 2024, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

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

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

The three levels are defined as follows:

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

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

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

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

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securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

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

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 29, 2024:

Description	Level 1		Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	5,005,786	$	—	$	—	$	5,005,786
TOTAL DEBT OBLIGATIONS		5,005,786		—		—		5,005,786
Short-Term Investments		212,181		34,800,672		—		35,012,853
Total Investments		5,217,967		34,800,672		—		40,018,639
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		48,543		—		48,543
Futures Contracts
Interest Rate Risk		295,915		—		—		295,915
Total	$	5,513,882	$	34,849,215	$	—	$	40,363,097
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	6,163,470	$	—	$	6,163,470
Corporate Debt		—		81,629,934		15,769,296		97,399,230
Sovereign and Sovereign Agency Issuers		—		1,853,854,082		160,306,605		2,014,160,687
U.S. Government		8,162,207		—		—		8,162,207
TOTAL DEBT OBLIGATIONS		8,162,207		1,941,647,486		176,075,901		2,125,885,594
Loan Assignments		—		—		22,151,861		22,151,861
Loan Participations		—		—		8,710,556		8,710,556
Investment Funds		—		—		13,370,532		13,370,532
Rights/Warrants		—		15,005,052		5,204,280		20,209,332
Short-Term Investments		5,449,509		21,999,134		—		27,448,643
Total Investments		13,611,716		1,978,651,672		225,513,130		2,217,776,518

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Description	Level 1		Level 2			Level 3		Total
Emerging Country Debt Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	1,811,111		$	—	$	1,811,111
Options
Credit Risk		—		—			117,019		117,019
Swap Contracts
Credit Risk		—		6,333,509			—		6,333,509
Interest Rate Risk		—		1,512,366			—		1,512,366
Total	$	13,611,716	$	1,988,308,658		$	225,630,149	$	2,227,550,523
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(449,559	)	$	—	$	(449,559	)
Swap Contracts
Credit Risk		—		(1,468,353	)		—		(1,468,353	)
Interest Rate Risk		—		(8,672,941	)		—		(8,672,941	)
Total	$	—	$	(10,590,853	)	$	—	$	(10,590,853	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	24,439,638		$	—	$	24,439,638
U.S. Government		37,474,196		—			—		37,474,196
TOTAL DEBT OBLIGATIONS		37,474,196		24,439,638			—		61,913,834
Short-Term Investments		1,835,572		91,543,131			—		93,378,703
Total Investments		39,309,768		115,982,769			—		155,292,537
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,669,916			—		1,669,916
Futures Contracts
Interest Rate Risk		13,780		—			—		13,780
Swap Contracts
Credit Risk		—		672,901			—		672,901
Interest Rate Risk		—		3,437,893			—		3,437,893
Total	$	39,323,548	$	121,763,479		$	—	$	161,087,027
Liability Valuation Inputs
Derivatives^
Written Options
Credit Risk	$	—	$	(85,076	)	$	—	$	(85,076	)
Total	$	—	$	(85,076	)	$	—	$	(85,076	)

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February 29, 2024

Description	Level 1		Level 2			Level 3		Total
Multi-Sector Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	16,867,258		$	—	$	16,867,258
U.S. Government		4,329,203		—			—		4,329,203
U.S. Government Agency		—		15,225,908			—		15,225,908
TOTAL DEBT OBLIGATIONS		4,329,203		32,093,166			—		36,422,369
Common Stocks		11,489,400		—			—		11,489,400
Mutual Funds		18,157,656		—			—		18,157,656
Short-Term Investments		496,067		23,705,935			—		24,202,002
Total Investments		34,472,326		55,799,101			—		90,271,427
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,014,818			—		1,014,818
Futures Contracts
Interest Rate Risk		90,438		—			—		90,438
Swap Contracts
Interest Rate Risk		—		772,606			—		772,606
Total	$	34,562,764	$	57,586,525		$	—	$	92,149,289
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(222,298	)	$	—	$	(222,298	)
Swap Contracts
Interest Rate Risk		—		(1,238,166	)		—		(1,238,166	)
Total	$	—	$	(1,460,464	)	$	—	$	(1,460,464	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	974,349,075		$	9,033,905	$	983,382,980
U.S. Government		62,300,842		—			—		62,300,842
U.S. Government Agency		7,502,898		75,309,097			3,200,030		86,012,025
TOTAL DEBT OBLIGATIONS		69,803,740		1,049,658,172			12,233,935		1,131,695,847
Mutual Funds		11,616,211		—			—		11,616,211
Short-Term Investments		42,562,345		309,951,950			—		352,514,295
Purchased Options		—		219,008			—		219,008
Total Investments		123,982,296		1,359,829,130			12,233,935		1,496,045,361
Derivatives^
Futures Contracts
Interest Rate Risk		520,480		—			—		520,480
Swap Contracts
Credit Risk		—		11,397,150			—		11,397,150
Interest Rate Risk		—		264,952			—		264,952
Total	$	124,502,776	$	1,371,491,232		$	12,233,935	$	1,508,227,943

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February 29, 2024

Description	Level 1		Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Liability Valuation Inputs
Debt Obligations
U.S. Government Agency	$	—	$	(56,115,910	)	$	—	$	(56,115,910	)
TOTAL DEBT OBLIGATIONS		—		(56,115,910	)		—		(56,115,910	)
Derivatives^
Written Options
Credit Risk		—		(34,461	)		—		(34,461	)
Swap Contracts
Credit Risk		—		(4,643,766	)		—		(4,643,766	)
Total	$	—	$	(60,794,137	)	$	—	$	(60,794,137	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	436,941,632	$	108,069,079		$	—	$	545,010,711
Total Investments		436,941,632		108,069,079			—		545,010,711
Total	$	436,941,632	$	108,069,079		$	—	$	545,010,711

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

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

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

As of February 29, 2024, under U.S. GAAP the following Funds require additional disclosures about fair value measurements for Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on the average of a selection of comparable bonds and applying a 270 basis point discount for liquidity considerations and Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, due 6/23/28, which is valued based on a more liquid loan participation’s price.

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The following is a reconciliation of securities and derivatives, if any, for Funds in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2023		Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3			Balances as of February 29, 2024		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 29, 2024
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	15,471,486	$	2,435,747	$	(1,408,200	)	$	2,146		$	(316,063	)	$	(415,820	)	$	—	$	—		$	15,769,296	$	(415,820	)
Sovereign and Sovereign Agency Issuers		197,198,523		844,728		(39,243,562	)		35,242,225			(71,344,872	)		107,764,060			—		(70,154,497	)‡		160,306,605		62,849,217
Investment Funds		7,035,403		9,300,000		(7,020,607	)		—			1,338,837			2,716,899			—		—			13,370,532		2,716,899
Loan Assignments		32,811,159		—		(13,649,476	)		772,191			275,327			1,942,660			—		—			22,151,861		1,942,660
Loan Participations		21,513,110		3,374,918		(12,333,574	)		(3,138,488	)		(1,444,077	)		738,667			—		—			8,710,556		(1,073,408	)
Rights/Warrants		3,216,316		50,928		(525,608	)		2,378			(28,124	)		2,488,390			—		—			5,204,280		2,488,390
Total Investments		277,245,997		16,006,321		(74,181,027	)		32,880,452			(71,518,972	)		115,234,856			—		(70,154,497	)		225,513,130		68,507,938
Derivatives
Options		301,675		—		—			—			(328,738	)		144,082			—		—			117,019		144,082
Total	$	277,547,672	$	16,006,321	$	(74,181,027	)#	$	32,880,452		$	(71,847,710	)	$	115,378,938		$	—	$	(70,154,497	)	$	225,630,149	$	68,652,020

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

# Includes $29,691,674 of proceeds received from partial calls and/or principal paydowns as applicable.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended February 29, 2024.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology		Unobservable Inputs	Range (Weighted Average)
Emerging Country Debt Fund
Sovereign and Sovereign Agency Issuers		37,794,649		Fair Value	Discount for lack of liquidity/marketability	1.40% - 1.60% (1.42%)
Sovereign and Sovereign Agency Issuers		9,435		Fair Value	Discount for lack of liquidity/marketability	99% (N/A)
Corporate Debt		13,875,775		Fair Value	Discount for lack of liquidity/marketability	2.70% (N/A)
Loan Assignments		1,441,913		Fair Value	Discount for lack of liquidity/marketability	5.00% (N/A)
Loan Participations		14,094,706		Fair Value	Vendor price of comparable loan	N/A
Warrants		323,089		Fair Value	Discount for lack of liquidity/marketability	50% (N/A)
Options		117,019		Fair Value	Probability of CDS threshold event	<5% (N/A)
Investment Funds		13,370,532		Fair Value	Net asset value statement	N/A

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of February 29, 2024, the value of these securities and/or derivatives for Emerging Country Debt Fund was $144,603,031. The inputs for these investments are not readily available or cannot be reasonably estimated.

Cash

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

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Due to/from broker

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

Foreign currency translation

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

Indexed investments

Each Fund may invest in various transactions and instruments that are designed to track the performance of an index (including, but not limited to, securities indices and credit default indices). Indexed securities are securities the redemption values and/or coupons of which are indexed to a specific instrument, group of instruments, index, or other statistic. Indexed securities typically, but not always, are debt securities or deposits whose value at maturity or coupon rate is determined by reference to other securities, securities or inflation indices, currencies, precious metals or other commodities, or other financial indicators. For example, the maturity value of gold-indexed securities depends on the price of gold and, therefore, their price tends to rise and fall with gold prices.

Loan assignments and participations

The Funds (except U.S. Treasury Fund) may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

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

Repurchase agreements

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

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As of February 29, 2024, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at year end. Repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Fund Name	Counterparty	Value ($)		Value (with associated collateral) ($)		Weighted Average Maturity (days)
Asset Allocation Bond Fund	Nomura Securities International, Inc.		32,999,662		33,578,847	1.0
Emerging Country Debt Fund	Nomura Securities International, Inc.		21,999,134		22,385,246	1.0
High Yield Fund	Nomura Securities International, Inc.		55,999,543		56,982,404	1.0
Multi-Sector Fixed Income Fund	Nomura Securities International, Inc.		13,999,885		14,245,601	1.0
Opportunistic Income Fund	Daiwa Capital Markets America, Inc.		309,951,950		316,810,313	1.0
U.S. Treasury Fund	Daiwa Capital Markets America, Inc.		49,546,703		50,247,595	1.0

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of February 29, 2024, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
Emerging Country Debt Fund		15,156,793		14,940,307

As of February 29, 2024, Emerging Country Debt Fund had investments in reverse repurchase agreements with Barclays Bank PLC, J.P. Morgan Securities PLC and Nomura International PLC with a gross value of $15,156,793. The value of related collateral on reverse repurchase agreements exceeded the value at year end. As of February 29, 2024, the reverse repurchase agreements held by Emerging Country Debt Fund had open maturity dates.

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

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

	February 29, 2024
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		On Demand		Total
Emerging Country Debt Fund
Reverse Repurchase Agreements
Sovereign and Sovereign Agency Issuers	$	—	$	—	$	—	$	—	$	15,156,793	$	15,156,793
Total borrowings	$	—	$	—	$	—	$	—	$	15,156,793	$	15,156,793

Inflation-indexed bonds

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

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

Delayed delivery commitments and when-issued securities

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

Short sales

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

Taxes and distributions

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

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 29, 2024, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

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Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

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

Differences related to:	Asset Allocation  Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi- Sector Fixed Income Fund	Opportunistic Income Fund	U.S. Treasury Fund
Capital loss carryforwards	X	X	X	X	X	X
Constructive sale gains					X
Defaulted bonds		X
Derivative contract transactions	X	X	X	X	X
Foreign currency transactions	X	X	X	X
Interest, accretion, and amortization		X	X	X	X
Losses on wash sale transactions	X	X	X	X
Losses related to debt obligations					X
Paydown gain/losses					X
Redemption in-kind transactions		X
Straddle loss deferrals				X

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

	Tax year ended February 29, 2024				Tax year ended February 28, 2023
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Asset Allocation Bond Fund		1,688,227		1,688,227		157,978		—		157,978
Emerging Country Debt Fund		253,099,243		253,099,243		362,299,968		—		362,299,968
High Yield Fund		7,200,170		7,200,170		18,803,003		168,310		18,971,313
Multi-Sector Fixed Income Fund		—		—		2,000,578		—		2,000,578
Opportunistic Income Fund		85,643,725		85,643,725		40,558,234		9,982,443		50,540,677
U.S. Treasury Fund		24,040,453		24,040,453		8,732,859		—		8,732,859

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

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As of February 29, 2024, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short- term capital gain) ($)		Capital Loss Carryforwards ($)			Post-October Capital Losses Deferral ($)
Asset Allocation Bond Fund		352,815		(50,569,124	)		—
Emerging Country Debt Fund		8,216,426		(285,717,489	)		—
High Yield Fund		8,696,175		(9,786,827	)		—
Multi-Sector Fixed Income Fund		215,354		(42,471,233	)		(29,228	)
Opportunistic Income Fund		372,072		(49,019,086	)		—
U.S. Treasury Fund		—		(2,075,998	)		—

As of February 29, 2024, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2024, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

Fund Name	Short-Term ($)			Long-Term ($)
Asset Allocation Bond Fund		(27,698,734	)		(22,870,390	)
Emerging Country Debt Fund		(16,085,310	)		(269,632,179	)
High Yield Fund		(5,912,087	)		(3,874,740	)
Multi-Sector Fixed Income Fund		(8,432,648	)		(34,038,585	)
Opportunistic Income Fund		—			(49,019,086	)
U.S. Treasury Fund		(2,075,998	)		—

As of February 29, 2024, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments, for U.S. federal income tax purposes were as follows:

	Total Investments										Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)			Net Unrealized Appreciation (Depreciation) ($)			Net Unrealized Appreciation (Depreciation) ($)
Asset Allocation Bond Fund		40,194,707		4,724		(180,792	)		(176,068	)		—
Emerging Country Debt Fund		3,202,213,094		39,230,210		(1,023,666,786	)		(984,436,576	)		(14,600,712	)
High Yield Fund		159,223,741		548,001		(4,479,205	)		(3,931,204	)		149,781
Multi-Sector Fixed Income Fund		92,788,492		1,684,972		(4,202,037	)		(2,517,065	)		(1,164,855	)
Opportunistic Income Fund		1,543,217,067		15,405,989		(118,693,605	)		(103,287,616	)		(13,263,323	)
U.S. Treasury Fund		544,544,717		550,602		(84,608	)		465,994			—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the

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prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of February 29, 2024, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

Security transactions and related investment income

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

Expenses and class allocations

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

Custodian, Fund Accounting Agent and Transfer Agent

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

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund directly or indirectly (e.g., through investments in underlying funds) as a result of an investor’s purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Purchase premiums and redemption fees are paid to and retained by a Fund for the benefit of non-transacting shareholders. Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and redemption fee or modify existing purchase premium and redemption fees at any time.

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion.

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

As of February 29, 2024, the premium on cash purchases and the fee on cash redemptions were as follows:

	Asset Allocation Bond Fund		Emerging Country Debt Fund(1)			High Yield Fund		Multi-Sector Fixed Income Fund		Opportunistic Income Fund(2)		U.S. Treasury Fund
Purchase Premium		—		0.75	%		—		—		—		—
Redemption Fee		—		0.75	%		—		—		—		—

⁽¹⁾  For the periods from July 31, 2020 to May 18, 2021, May 8, 2020 to July 31, 2020, March 25, 2020 to May 8, 2020, March 16, 2020 to March 25, 2020, February 1, 2016 to March 16, 2020 the premiums on purchases and the fee on redemptions were each 1.00%, 1.50%, 2.00%, 1.15% and 0.75%, respectively, of the amount invested or redeemed.

⁽²⁾  Prior to June 30, 2019, the premiums on purchases and the fee on redemptions were each 0.40% of the amount invested or redeemed.

Recently-issued accounting guidance

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

3. Investment and other risks

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

	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund	Opportunistic Income Fund	U.S. Treasury Fund
Credit Risk	X	X	X	X	X	X
Market Risk – Fixed Income	X	X	X	X	X	X
Illiquidity Risk	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X

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February 29, 2024

	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund	Opportunistic Income Fund	U.S. Treasury Fund
Management and Operational Risk	X	X	X	X	X	X
Counterparty Risk	X	X	X	X	X	X
Market Risk – Asset-Backed Securities	X			X	X
Focused Investment Risk	X	X	X	X	X
Currency Risk	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X
Leveraging Risk	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X
Futures Contracts Risk			X	X	X
Fund of Funds Risk	X		X	X
Commodities Risk	X
Smaller Company Risk	X			X	X
Market Risk – Equities	X
Non-Diversified Funds			X	X

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

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

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

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor their obligations in a timely manner or at all. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such a failure. Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a U.S. credit default would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and are subject to substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to their issuers’ payment defaults and insolvency proceedings. In particular,

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distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and the Fund may incur additional expenses in its effort to be repaid. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, the Fund may lose a substantial portion or all of its original investment or may be required to accept cash or instruments worth less than its original investment.

• MARKET RISK —  FIXED INCOME. The market price of a fixed income investment can decline due to market-related factors, including rising interest or inflation rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market prices of emerging country sovereign and quasi-sovereign debt investments can decline due to uncertainty about their credit quality and the reliability of their payment streams.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size, or legal restrictions increase the risk that a Fund or an underlying fund is limited or prevented from selling particular securities or closing derivative positions at desirable prices.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, leveraging risk, commodities risk and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant index or underlying securities. A Fund typically creates short investment exposure by selling securities short or taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. Specifically, the net asset value of a Fund’s shares will be adversely affected if the equities or other assets that are the subject of a Fund’s short exposures appreciate in value. The risk of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• MANAGEMENT AND OPERATIONAL RISK. A Fund runs the risk that GMO’s investment techniques will fail to produce intended results. For many funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. A Fund also runs the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

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

• MARKET RISK—  ASSET BACKED SECURITIES. The market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including investor uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure and creditworthiness of any credit-support provider), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. The liquidity of asset-backed securities (particularly below investment grade asset-backed securities) may change over time. During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, for asset-backed securities whose underlying assets consist of loans, sales contracts, receivables and other obligations.

• FOCUSED INVESTMENT RISK. Investments focused in countries, regions, asset classes, sectors, industries, currencies, or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated.

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

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• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. securities markets are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, non-U.S. securities issuers often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund is subject to taxation by countries other than the United States, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, the Fund needs a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of a Fund’s investments. The risks above (such as substantial price fluctuations and market instability, illiquidity and lack of regulation) and other risks (e.g. nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

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

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) often disrupt securities markets and adversely affect the general economy or particular economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Funds’ investments.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by that shareholder group will require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• FUTURES CONTRACTS RISK. The loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts increases the volatility of the Fund’s net asset value. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that contract. When a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are subject to the hedge. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests, including the risk that those underlying funds will not perform as expected.

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

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.

• MARKET RISK—EQUITIES. The market price of an equity in a Fund’s portfolio may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will

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not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations and interest rates than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

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

4. Derivative financial instruments

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

The Funds may use derivatives to gain long investment exposure to securities or other assets. In particular, the Funds may use swaps, options, or other derivatives on an index, an ETF, a single security, or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, ETFs, and currencies without actually having to sell existing investments or make new direct investments. For instance, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, a Fund may have gross investment exposures in excess of its net assets (i.e., the Fund may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than U.S. Treasury Fund) performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

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

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

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For Funds that held derivatives during the year ended February 29, 2024, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Asset  Allocation  Bond Fund	Emerging  Country  Debt Fund	High Yield  Fund	Multi-Sector  Fixed Income  Fund	Opportunistic  Income Fund
Bond forward contracts
Substitute for direct investment in securities		X
Forward currency contracts
Adjust currency exchange rate risk		X	X	X	X
Adjust exposure to foreign currencies	X	X		X
Futures contracts
Adjust interest rate exposure	X		X	X	X
Maintain the diversity and liquidity of the portfolio			X	X	X
Options (Purchased)
Achieve exposure to a reference entity’s credit			X		X
Adjust exposure to foreign currencies				X
Provide a measure of protection against default loss					X
Options (Written)
Achieve exposure to a reference entity’s credit			X		X
Provide a measure of protection against default loss					X
Adjust exposure to foreign currencies				X
Options (Credit linked)
Achieve exposure to a reference entity’s credit		X
Swap contracts
Achieve exposure to a reference entity’s credit		X	X		X
Adjust exposure to certain markets		X			X
Adjust interest rate exposure		X		X
Adjust portfolio beta		X
Generate long risk exposure to an index			X
Hedge non-core equity exposure				X
Provide a measure of protection against default loss		X	X		X
Provide exposure to the Fund’s benchmark			X	X

Bond forward contracts

The Funds may enter into bond forward contracts. A bond forward may be a contractual agreement between the Fund and another party to cash settle the difference between the final price of an underlying asset and the forward price, calculated at inception of the contract. In a bond forward transaction, no cash premium is paid when the parties enter into the bond forward. If the transaction is collateralized, an exchange of margin collateral will take place according to an agreed-upon schedule. Otherwise, no asset of any kind changes hands until the bond forward matures (typically in 30 days) or is rolled over for another agreed upon period. Generally, the value of the bond forward will change based on changes in the value of the underlying asset. Bond forwards are subject to market risk (the risk that the market value of the underlying bond may change), non-correlation risk (the risk that the market value of the bond forward might move independently of the market value of the underlying bond) and counterparty credit risk (the risk that a counterparty will be unable to meet its obligation under the contract). If there is no cash exchanged at the time the Fund enters into the bond forward, counterparty risk may be limited to the loss of any marked-to market profit on the contract and any delays or limitations on the Fund’s ability to sell or otherwise use the investments posted as collateral for the bond forward. Bond forward contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

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Forward currency contracts

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

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

Futures contracts

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

Options

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

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

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February 29, 2024

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

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

Swap contracts

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

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

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

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

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

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

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

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

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

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

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

****

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 29, 2024 and the Statements of Operations for the year ended February 29, 2024^:

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

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February 29, 2024

	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Asset Allocation Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	48,543		$	—		$	48,543
Unrealized Appreciation on Futures Contracts¤		—			—			295,915			295,915
Total	$	—		$	48,543		$	295,915		$	344,458
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	555,744		$	555,744
Forward Currency Contracts		—			264,229			—			264,229
Total	$	—		$	264,229		$	555,744		$	819,973
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	311,064		$	311,064
Forward Currency Contracts		—			40,853			—			40,853
Total	$	—		$	40,853		$	311,064		$	351,917
Emerging Country Debt Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	1,811,111		$	—		$	1,811,111
Options, at value		117,019			—			—			117,019
Swap Contracts, at value¤		6,333,509			—			1,512,366			7,845,875
Total	$	6,450,528		$	1,811,111		$	1,512,366		$	9,774,005
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(449,559	)	$	—		$	(449,559	)
Swap Contracts, at value¤		(1,468,353	)		—			(8,672,941	)		(10,141,294	)
Total	$	(1,468,353	)	$	(449,559	)	$	(8,672,941	)	$	(10,590,853	)
Net Realized Gain (Loss) on
Bond forward contracts	$	—		$	—		$	4,269,578		$	4,269,578
Options		(328,738	)		—			—			(328,738	)
Swap Contracts		(18,629,224	)		—			16,298,633			(2,330,591	)
Forward Currency Contracts		—			(2,709,944	)		—			(2,709,944	)
Total	$	(18,957,962	)	$	(2,709,944	)	$	20,568,211		$	(1,099,695	)
Change in Net Appreciation (Depreciation) on
Bond forward contracts	$	—		$	—		$	861,107		$	861,107
Options		144,082			—			—			144,082
Swap Contracts		72,474			—			(14,570,410	)		(14,497,936	)
Forward Currency Contracts		—			(855,685	)		—			(855,685	)
Total	$	216,556		$	(855,685	)	$	(13,709,303	)	$	(14,348,432	)

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February 29, 2024

	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
High Yield Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	1,669,916		$	—		$	1,669,916
Unrealized Appreciation on Futures Contracts¤		—			—			13,780			13,780
Swap Contracts, at value¤		672,901			—			3,437,893			4,110,794
Total	$	672,901		$	1,669,916		$	3,451,673		$	5,794,490
Liability Derivatives
Written Options, at value	$	85,076		$	—		$	—		$	85,076
Total	$	85,076		$	—		$	—		$	85,076
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	179,539		$	179,539
Written Options		886,551			—			—			886,551
Swap Contracts		2,562,241			—			6,993,985			9,556,226
Forward Currency Contracts		—			4,707,802			—			4,707,802
Total	$	3,448,792		$	4,707,802		$	7,173,524		$	15,330,118
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	15,549		$	15,549
Written Options		(420,791	)		—			—			(420,791	)
Swap Contracts		275,086			—			(141,290	)		133,796
Forward Currency Contracts		—			1,669,916			—			1,669,916
Total	$	(145,705	)	$	1,669,916		$	(125,741	)	$	1,398,470
Multi-Sector Fixed Income Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	1,014,818		$	—		$	1,014,818
Unrealized Appreciation on Futures Contracts¤		—			—			90,438			90,438
Swap Contracts, at value¤		—			—			772,606			772,606
Total	$	—		$	1,014,818		$	863,044		$	1,877,862
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(222,298	)	$	—		$	(222,298	)
Swap Contracts, at value¤		—			—			(1,238,166	)		(1,238,166	)
Total	$	—		$	(222,298	)	$	(1,238,166	)	$	(1,460,464	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	(2,543,802	)	$	(2,543,802	)
Swap Contracts		—			—			(701,064	)		(701,064	)
Forward Currency Contracts		—			1,424,852			—			1,424,852
Total	$	—		$	1,424,852		$	(3,244,866	)	$	(1,820,014	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	121,940		$	121,940
Swap Contracts		—			—			(360,656	)		(360,656	)
Forward Currency Contracts		—			377,694			—			377,694
Total	$	—		$	377,694		$	(238,716	)	$	138,978

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February 29, 2024

	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	219,008		$	—		$	—		$	219,008
Unrealized Appreciation on Futures Contracts¤		—			—			520,480			520,480
Swap Contracts, at value¤		11,397,150			—			264,952			11,662,102
Total	$	11,616,158		$	—		$	785,432		$	12,401,590
Liability Derivatives
Written Options, at value	$	(34,461	)	$	—		$	—		$	(34,461	)
Swap Contracts, at value¤		(4,643,766	)		—			—			(4,643,766	)
Total	$	(4,678,227	)	$	—		$	—		$	(4,678,227	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	(657,049	)	$	—		$	—		$	(657,049	)
Futures Contracts		—			—			510,879			510,879
Written Options		1,303,214			—			—			1,303,214
Swap Contracts		301,509			—			(115,117	)		186,392
Forward Currency Contracts		—			(28,406	)		—			(28,406	)
Total	$	947,674		$	(28,406	)	$	395,762		$	1,315,030
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	(354,150	)	$	—		$	—		$	(354,150	)
Futures Contracts		—			—			1,006,805			1,006,805
Written Options		(53,333	)		—			—			(53,333	)
Swap Contracts		(6,037,162	)		—			101,943			(5,935,219	)
Forward Currency Contracts		—			(139,398	)		—			(139,398	)
Total	$	(6,444,645	)	$	(139,398	)	$	1,108,748		$	(5,475,295	)

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

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

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

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential

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February 29, 2024

effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at February 29, 2024, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 29, 2024:

Asset Allocation Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/Liabilities Available for Offset		Net Amount of Derivative Assets
Deutsche Bank AG	$	48,543	$	—	$	—	$	48,543
Total	$	48,543	$	—	$	—	$	48,543

Emerging Country Debt Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements			Collateral Received			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	70,416		$	—		$	(70,416	)	$	—
Citibank N.A.		326,053			(1,000	)		(279,282	)		45,771
Deutsche Bank AG		578,867			—			(569,499	)		9,368
Goldman Sachs International		315,217			(119,231	)		(135,360	)		60,626
JPMorgan Chase Bank, N.A.		711,174			(711,174	)		—			—	*
Morgan Stanley & Co. International PLC		1,703,441			(1,326,758	)		(376,683	)		—	*
Morgan Stanley Capital Services LLC		1,947,393			(220,000	)		(471,069	)		1,256,324
State Street Bank and Trust Company		26,315			—			—			26,315
Total	$	5,678,876		$	(2,378,163	)	$	(1,902,309	)	$	1,398,404
Counterparty	Gross Derivative Liabilities Subject to Master Agreement			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	(86,019	)	$	15,603		$	70,416		$	—	*
Citibank N.A.		(279,282	)		—			279,282			—
Deutsche Bank AG		(569,499	)		—			569,499			—
Goldman Sachs International		(135,360	)		—			135,360			—
Morgan Stanley & Co. International PLC		(376,683	)		—			376,683			—
Morgan Stanley Capital Services LLC		(471,069	)		—			471,069			—
Total	$	(1,917,912	)	$	15,603		$	1,902,309		$	—

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February 29, 2024

High Yield Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements			Collateral Received			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	1,556,852		$	(1,380,000	)	$	—		$	176,852
JPMorgan Chase Bank, N.A.		868,464			(343,975	)		(27,169	)		497,320
Morgan Stanley & Co. International PLC		2,145,742			(1,350,000	)		—			795,742
State Street Bank and Trust Company		536,751			(536,751	)		—			—	*
Total	$	5,107,809		$	(3,610,726	)	$	(27,169	)	$	1,469,914
Counterparty	Gross Derivative Liabilities Subject to Master Agreement			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Citibank N.A.	$	(57,907	)	$	—		$	—		$	(57,907	)
JPMorgan Chase Bank, N.A.		(27,169	)		—			27,169			—
Total	$	(85,076	)	$	—		$	27,169		$	(57,907	)

Multi-Sector Fixed Income Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements			Collateral Received			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	200		$	—		$	(200	)	$	—
Brown Brothers Harriman & Co.		1,992			—			—			1,992
Citibank N.A.		34,496			—			(18,020	)		16,476
Deutsche Bank AG		700,497			(560,000	)		—			140,497
Goldman Sachs International		4,908			—			(4,908	)		—
JPMorgan Chase Bank, N.A.		3,446			—			(3,446	)		—
Morgan Stanley & Co. International PLC		37,668			—			(7,724	)		29,944
State Street Bank and Trust Company		231,611			—			(77,852	)		153,759
Total	$	1,014,818		$	(560,000	)	$	(112,150	)	$	342,668
Counterparty	Gross Derivative Liabilities Subject to Master Agreement			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	(4,984	)	$	4,784		$	200		$	—	*
Citibank N.A.		(18,020	)		—			18,020			—
Goldman Sachs International		(634,024	)		493,886			4,908			(135,230	)
JPMorgan Chase Bank, N.A.		(108,894	)		14,998			3,446			(90,450	)
Morgan Stanley & Co. International PLC		(7,724	)		—			7,724			—
State Street Bank and Trust Company		(77,852	)		—			77,852			—
Total	$	(851,498	)	$	513,668		$	112,150		$	(225,680	)

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February 29, 2024

Opportunistic Income Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements			Collateral Received			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	824		$	(824	)	$	—		$	—	*
Citibank N.A.		581,760			(298,493	)		(283,267	)		—	*
Citigroup Global Markets Inc.		3,795,982			(3,374,586	)		(421,396	)		—	*
Deutsche Bank AG		256,838			(248,041	)		(8,797	)		—	*
Goldman Sachs International		3,696,040			(3,203,101	)		(492,939	)		—	*
JPMorgan Chase Bank, N.A.		436,370			(434,715	)		(1,655	)		—	*
Morgan Stanley & Co. International PLC		951,598			(929,248	)		(22,350	)		—	*
Morgan Stanley Capital Services LLC		2,161,698			(1,490,000	)		(591,253	)		80,445
Total	$	11,881,110		$	(9,979,008	)	$	(1,821,657	)	$	80,445
Counterparty	Gross Derivative Liabilities Subject to Master Agreement			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Citibank N.A.	$	(283,267	)	$	—		$	283,267		$	—
Citigroup Global Markets Inc.		(421,396	)		—			421,396			—
Deutsche Bank AG		(8,797	)		—			8,797			—
Goldman Sachs International		(492,939	)		—			492,939			—
JPMorgan Chase Bank, N.A.		(1,655	)		—			1,655			—
Morgan Stanley & Co. International PLC		(22,350	)		—			22,350			—
Morgan Stanley Capital Services LLC		(591,253	)		—			591,253			—
Total	$	(1,821,657	)	$	—		$	1,821,657		$	—

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

The average derivative activity of notional amounts (bond forward contracts, forward currency contracts, futures contracts and swap contracts) and principal amounts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 29, 2024:

Fund Name	Bond Forward Contracts ($)		Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Swap Contracts ($)
Asset Allocation Bond Fund		—		1,887,871		68,724,221		—		—
Emerging Country Debt Fund		8,972,313		453,886,399		—		129,018,667		917,515,231
High Yield Fund		—		45,874,648		25,918,533		23,061,667		138,618,775
Multi-Sector Fixed Income Fund		—		76,512,915		41,287,897		1,816,667		221,541,401
Opportunistic Income Fund		—		5,781,084		918,835,513		342,413,134		519,567,219

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February 29, 2024

5. Fees and other transactions with affiliates

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

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund			Multi- Sector Fixed Income Fund			Opportunistic Income Fund			U.S. Treasury Fund
Management Fee		0.25	%		0.35	%		0.35	%		0.25	%		0.40	%		0.08	%(a)

^(a) From April 9, 2021 to May 1, 2023 and prior to June 30, 2019, GMO voluntarily waived the Fund’s entire management fee.

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

Fund Name	Class III			Class IV			Class V			Class VI			Class R6			Class I
Asset Allocation Bond Fund		0.15	%*								0.055	%
Emerging Country Debt Fund		0.15	%		0.10	%					0.055	%
High Yield Fund		0.15	%*		0.10	%*		0.085	%*		0.055	%		0.15	%*		0.15	%
Multi-Sector Fixed Income Fund		0.15	%		0.10	%								0.15	%*		0.15	%*
Opportunistic Income Fund		0.15	%								0.055	%		0.15	%		0.15	%

* Class is offered but has no shareholders as of February 29, 2024.

For Asset Allocation Bond Fund, Multi-Sector Fixed Income Fund and Opportunistic Income Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.02% of the Fund’s average daily net assets. Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

With respect to High Yield Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.55% for Class III shares; 0.50% for Class IV shares; 0.485% for Class V shares; 0.455% for Class VI shares; 0.55% for Class R6 shares; and 0.55% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (“Excluded

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February 29, 2024

Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits in effect at the time GMO seeks to recover expenses.

For the year ended February 29, 2024, GMO did not recoup any previously recorded waivers and/or reimbursements.

On February 29, 2024, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 28, 2025		Expiring the year ending February 28, 2026		Expiring the year ending February 28, 2027
High Yield Fund, Class VI		—	$	30,232	$	102,338
High Yield Fund, Class I		—		—	$	21

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

For Opportunistic Income Fund and Multi-Sector Fixed Income Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares to the extent that amounts paid by the Fund out of net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.10% of the Fund’s average daily net assets attributable to Class I shares.

For High Yield Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares to the extent amounts paid out of net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.04% of the Fund’s average daily net assets attributable to Class I shares.

These contractual waivers and reimbursements will continue through at least June 30, 2024 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

Sub-Transfer Agent/Recordkeeping Payments

Class III, IV, V, VI, and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class III, IV, V, VI, or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

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February 29, 2024

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 29, 2024 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)
Asset Allocation Bond Fund		1,413
Emerging Country Debt Fund		145,421
High Yield Fund		10,517
Multi-Sector Fixed Income Fund		6,122
Opportunistic Income Fund		72,818
U.S. Treasury Fund		25,755

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2024, the Funds below had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

Fund Name	Total Indirect Expense
Multi-Sector Fixed Income Fund		0.117	%

The Funds are permitted to purchase or sell securities from or to other GMO Trust funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another GMO Trust fund complies with rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 29, 2024, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 29, 2024 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
	U.S. Government		Investments (Non-U.S.		U.S. Government		Investments (Non-U.S.
Fund Name	Securities		Government Securities)		Securities		Government Securities)
Asset Allocation Bond Fund		—		—		—		—
Emerging Country Debt Fund		—		488,616,061		14,010,891		1,201,526,223
High Yield Fund		19,654,111		57,470,190		52,321,889		83,208,266
Multi-Sector Fixed Income Fund		331,542,002		63,849,167		338,596,219		76,930,301
Opportunistic Income Fund		1,351,479,540		473,175,415		1,315,897,630		353,705,479
U.S. Treasury Fund		—		—		—		—

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the year ended February 29, 2024. In-kind purchases and sales of securities, including short-term investments, if any, and net realized gains/(losses) attributed to redemption in-kind transactions, if any, are noted in the table below:

Fund Name	In-Kind Purchases ($)		In-Kind Sales ($)			Net realized gains/(losses) attributed to redemption in-kind transactions ($)
Emerging Country Debt Fund		—		230,967,102	*		(62,558,050	)

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

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February 29, 2024

7. Guarantees

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

8. Principal shareholders as of February 29, 2024

			Percentage of
			outstanding shares of
	Number of		the Fund held by those
	shareholders that held		shareholders owning
	more than 10% of the		greater than 10% of the
	outstanding shares of		outstanding shares of
Fund Name	the Fund		the Fund
Asset Allocation Bond Fund	3#			99.91	%
Emerging Country Debt Fund	1			10.20	%
High Yield Fund	2‡			83.36	%
Multi-Sector Fixed Income Fund	2‡			75.03	%
Opportunistic Income Fund	2			52.40	%
U.S. Treasury Fund	3§			74.06	%

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

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

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

9. Share transactions

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

	Year Ended February 29, 2024						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:(a)
Shares issued to shareholders in reinvestment of distributions		20		$	408			—		$	—
Shares repurchased		(957	)		(18,844	)		—			—
Net increase (decrease)		(937	)	$	(18,436	)		—		$	—
Class VI:
Shares sold		1,144,359		$	20,987,190			155,762		$	3,316,859
Shares issued to shareholders in reinvestment of distributions		82,688			1,687,818			7,321			157,978
Shares repurchased		(154,240	)		(3,186,055	)		(790,590	)		(17,266,124	)
Net increase (decrease)		1,072,807		$	19,488,953			(627,507	)	$	(13,791,287	)

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February 29, 2024

	Year Ended February 29, 2024						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Emerging Country Debt Fund
Class III:
Shares sold		6,402,853		$	120,449,845			27,396,992		$	489,332,221
Shares issued to shareholders in reinvestment of distributions		5,822,525			104,027,506			5,278,003			92,976,565
Shares repurchased		(23,842,655	)		(441,183,158	)		(7,788,631	)		(149,032,722	)
Purchase premiums		—			19,080			—			197,867
Redemption fees		—			2,518,757			—			811,031
Net increase (decrease)		(11,617,277	)	$	(214,167,970	)		24,886,364		$	434,284,962
Class IV:
Shares sold		14,812,246		$	273,898,320			18,090,621		$	327,661,582
Shares issued to shareholders in reinvestment of distributions		4,567,929			81,427,664			7,663,996			134,759,630
Shares repurchased		(34,931,798	)(b)		(637,933,471	)(b)		(31,422,672	)		(567,257,280	)
Purchase premiums		—			17,928			—			329,215
Redemption fees		—			1,907,412			—			1,390,018
Net increase (decrease)		(15,551,623	)	$	(280,682,147	)		(5,668,055	)	$	(103,116,835	)
Class VI:
Shares sold		419,495		$	7,690,236			7,804,106		$	150,598,679
Shares issued to shareholders in reinvestment of distributions		1,305,429			23,268,559			5,224,631			92,257,553
Shares repurchased		(11,436,880	)		(206,026,593	)		(49,730,237	)(c)		(871,796,301	)(c)
Purchase premiums		—			4,992			—			145,763
Redemption fees		—			565,893			—			773,314
Net increase (decrease)		(9,711,956	)	$	(174,496,913	)		(36,701,500	)	$	(628,020,992	)
High Yield Fund
Class VI:
Shares sold		553,395		$	9,505,515			15,284,882		$	267,516,111
Shares issued to shareholders in reinvestment of distributions		381,368			6,700,641			1,134,916			18,886,074
Shares repurchased		(7,354,702	)		(125,865,983	)		(5,586,053	)		(98,691,785	)
Net increase (decrease)		(6,419,939	)	$	(109,659,827	)		10,833,745		$	187,710,400
Class I:(d)
Shares sold		5,267		$	92,781			—		$	—
Shares issued to shareholders in reinvestment of distributions		16			281			—			—
Shares repurchased		(88	)		(1,499	)		—			—
Net increase (decrease)		5,195		$	91,563			—		$	—
Multi-Sector Fixed Income Fund
Class III:
Shares sold		295,483		$	5,000,000			416,640		$	6,870,403
Shares issued to shareholders in reinvestment of distributions		—			—			8,883			149,319
Shares repurchased		(479,430	)		(7,877,718	)		(280	)		(4,800	)
Net increase (decrease)		(183,947	)	$	(2,877,718	)		425,243		$	7,014,922

117

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

February 29, 2024

	Year Ended February 29, 2024						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Multi-Sector Fixed Income Fund (continued)
Class IV:
Shares sold		484,459		$	8,215,674			1,483,036		$	26,065,009
Shares issued to shareholders in reinvestment of distributions		—			—			92,314			1,559,194
Shares repurchased		(2,149,061	)		(36,201,033	)		(2,350,022	)		(40,932,500	)
Net increase (decrease)		(1,664,602	)	$	(27,985,359	)		(774,672	)	$	(13,308,297	)
Opportunistic Income Fund
Class III:
Shares sold		977,147		$	23,800,000			1,794,231		$	43,302,785
Shares issued to shareholders in reinvestment of distributions		120,585			2,873,308			14,595			353,815
Shares repurchased		(193,616	)		(4,708,739	)		(293,945	)		(7,248,308	)
Net increase (decrease)		904,116		$	21,964,569			1,514,881		$	36,408,292
Class VI:
Shares sold		566,577		$	13,802,646			5,356,095		$	131,084,685
Shares issued to shareholders in reinvestment of distributions		503,545			12,016,839			621,773			15,001,411
Shares repurchased		(6,964,017	)		(169,838,823	)		(4,501,883	)		(110,825,799	)
Net increase (decrease)		(5,893,895	)	$	(144,019,338	)		1,475,985		$	35,260,297
Class R6:
Shares sold		1,086,570		$	26,250,816			3,049,542		$	76,297,993
Shares issued to shareholders in reinvestment of distributions		191,058			4,539,110			171,371			4,129,997
Shares repurchased		(1,571,156	)		(38,188,449	)		(1,468,340	)		(35,958,528	)
Net increase (decrease)		(293,528	)	$	(7,398,523	)		1,752,573		$	44,469,462
Class I:
Shares sold		27,127,888		$	653,930,917			8,137,722		$	196,826,521
Shares issued to shareholders in reinvestment of distributions		1,791,444			42,616,852			628,046			15,108,991
Shares repurchased		(10,770,404	)		(260,241,874	)		(5,221,139	)		(128,235,546	)
Net increase (decrease)		18,148,928		$	436,305,895			3,544,629		$	83,699,966
U.S. Treasury Fund
Core Class:
Shares sold		803,911,414		$	4,018,078,460			498,976,199		$	2,489,337,437
Shares issued to shareholders in reinvestment of distributions		1,040,739			5,202,810			426,512			2,126,219
Shares repurchased		(776,971,121	)		(3,883,166,057	)		(468,958,957	)		(2,339,411,314	)
Net increase (decrease)		27,981,032		$	140,115,213			30,443,754		$	152,052,342

^(a)  Class III liquidated on August 28, 2023.

^(b)  12,711,453 shares and $230,967,102 were redeemed in-kind by an affiliate.

^(c)  29,602,866 shares and $515,977,959 were redeemed in-kind by an affiliate.

^(d)  The period under the heading “Year Ended February 29, 2024” represents the period from April 13, 2023 (commencement of operations) through February 29, 2024.

118

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

February 29, 2024

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 29, 2024 is set forth below:

Affiliate	Value, beginning of period			Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
Emerging Country Debt Fund
Bona Fide Investment Holdings II LLC	$	—		$	9,300,000	$	—	$	—	$	—	$	—		$	3,161,563	$	12,461,563
Bona Fide Investments Feeder LLC		—	#		—		7,020,607		—		—		1,338,837			218,894		908,969
GMO U.S. Treasury Fund		67,529,288			—		67,584,457		1,101,569		—		(176,570	)		231,739		—
Totals	$	67,529,288		$	9,300,000	$	74,605,064	$	1,101,569	$	—	$	1,162,267		$	3,612,196	$	13,370,532
Multi-Sector Fixed Income Fund
GMO Emerging Country Debt Fund, Class VI	$	4,374,928		$	—	$	1,000,000	$	382,985	$	—	$	(526,554	)	$	848,879	$	3,697,253
GMO Opportunistic Income Fund, Class VI		23,494,304			—		9,200,000		1,091,738		—		(580,017	)		746,116		14,460,403
Totals	$	27,869,232		$	—	$	10,200,000	$	1,474,723	$	—	$	(1,106,571	)	$	1,594,995	$	18,157,656
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	10,894,378		$	700,000	$	—	$	574,261	$	—	$	—		$	21,833	$	11,616,211

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

119

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of GMO Asset Allocation Bond Fund, GMO Emerging Country Debt Fund, GMO High Yield Fund, GMO Multi-Sector Fixed Income Fund, GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Asset Allocation Bond Fund, GMO Emerging Country Debt Fund, GMO High Yield Fund, GMO Multi-Sector Fixed Income Fund, GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund (six of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 29, 2024, the related statements of operations for the year ended February 29, 2024, the statements of changes in net assets for each of the two years in the period ended February 29, 2024, the statement of cash flows for GMO Emerging Country Debt Fund for the year ended February 29, 2024, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 29, 2024, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 29, 2024, the statement of cash flows of GMO Emerging Country Debt Fund for the year ended February 29, 2024 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 29, 2024 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, MA

April 25, 2024

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

120

GMO Trust Funds

 

 

Fund Expenses

February 29, 2024 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2024.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2023 through February 29, 2024.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value September 1, 2023		Ending Account Value February 29, 2024		Expenses Paid During the Period*		Beginning Account Value September 1, 2023		Ending Account Value February 29, 2024		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class VI	$	1,000.00	$	1,005.60	$	1.80	$	1,000.00	$	1,023.07	$	1.81		0.36	%
Emerging Country Debt Fund
Class III	$	1,000.00	$	1,115.90	$	3.21	$	1,000.00	$	1,021.83	$	3.07		0.61	%
Class IV	$	1,000.00	$	1,115.90	$	2.89	$	1,000.00	$	1,022.13	$	2.77		0.55	%
Class VI	$	1,000.00	$	1,116.30	$	2.68	$	1,000.00	$	1,022.33	$	2.56		0.51	%
High Yield Fund
Class VI	$	1,000.00	$	1,063.30	$	2.36	$	1,000.00	$	1,022.58	$	2.31		0.46	%
Class I	$	1,000.00	$	1,062.80	$	3.08	$	1,000.00	$	1,021.88	$	3.02		0.60	%
Multi-Sector Fixed Income Fund
Class III	$	1,000.00	$	1,022.00	$	2.21	$	1,000.00	$	1,022.68	$	2.21		0.44	%
Class IV	$	1,000.00	$	1,022.50	$	1.96	$	1,000.00	$	1,022.92	$	1.96		0.39	%
Opportunistic Income Fund
Class III	$	1,000.00	$	1,034.80	$	2.93	$	1,000.00	$	1,021.98	$	2.92		0.58	%
Class VI	$	1,000.00	$	1,035.40	$	2.43	$	1,000.00	$	1,022.48	$	2.41		0.48	%
Class R6	$	1,000.00	$	1,034.80	$	2.93	$	1,000.00	$	1,021.98	$	2.92		0.58	%
Class I	$	1,000.00	$	1,034.50	$	3.39	$	1,000.00	$	1,021.53	$	3.37		0.67	%

121

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Fund Expenses — (Continued)

February 29, 2024 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value September 1, 2023		Ending Account Value February 29, 2024		Expenses Paid During the Period*		Beginning Account Value September 1, 2023		Ending Account Value February 29, 2024		Expenses Paid During the Period*		Annualized Expense Ratio
U.S. Treasury Fund
Core Class	$	1,000.00	$	1,026.70	$	0.45	$	1,000.00	$	1,024.42	$	0.45		0.09	%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2024, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

122

GMO Trust Funds

 

 

Tax Information for the Tax Year Ended February 29, 2024 (Unaudited)

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

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 29, 2024:

Fund Name	U.S. Government Obligation Income(1)(2)			Interest- Related Dividend Income ($)(3)		Short-Term Capital Gain Dividends ($)(3)		Long-Term Capital Gain Distributions ($)		Code Section 163(j) Interest-Related Dividend Income ($)(4)
Asset Allocation Bond Fund		20.28	%		1,224,541		—		—		—
Emerging Country Debt Fund		—			4,360,529		—		—		—
High Yield Fund		43.38	%		4,582,264		—		—		—
Multi-Sector Fixed Income Fund		—			—		—		—		—
Opportunistic Income Fund		5.57	%		68,542,240		—		—		—
U.S. Treasury Fund		72.65	%		24,040,453		—		—		24,040,453

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

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

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

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

In early 2025, the Funds will notify applicable shareholders of amounts for use in preparing 2024 U.S. federal income tax forms.

123

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 29, 2024. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 53 State Street, Suite 3300, Boston, MA 02109. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Ms. Santoro, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.	31	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Professor of Finance (July 1, 2011 - June 30, 2022) and Peter Moores Dean and Professor of Finance (July 1, 2011 – June 30, 2021) University of Oxford, Said Business School; Baker Foundation Professor, Harvard Business School (since July 1, 2022).	31	None
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired	31	Trustee of HIMCO Variable Insurance Trust (27 Portfolios) (April 2014 – April 2019).

124

Interested Trustee and Officer

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held in the Past Five Years
Dina Santoro1 YOB: 1973	Trustee; President of the Trust	Trustee and President since February 2023.	Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); President, Chief Executive Officer, and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (September 2022 – December 2022); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018 –December 2022); Chief Operating Officer, Voya Investment Management (January 2022 – December 2022); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017-December 2022). Formerly, President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018-September 2022); Director, Voya Funds Services, LLC (March 2018-September 2022).	31	Voya Separate Portfolios Trust (July 2018 – December 2022).

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

Officers

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Dina Santoro YOB: 1973	Trustee; President of the Trust	Trustee and President since February 2023.	Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); President, Chief Executive Officer, and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (September 2022 – December 2022); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018 – December 2022); Chief Operating Officer, Voya Investment Management (January 2022 – December 2022); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017 - December 2022). Formerly, President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018 - September 2022); Director, Voya Funds Services, LLC (March 2018 - September 2022).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020.	Head of Fund Reporting, Risk and Controls and Proxy Voting (October 2021 - present), Grantham, Mayo, Van Otterloo & Co. LLC; Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 – present).

125

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Head of Tax, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 - present); Head of Fund Tax, Grantham, Mayo, Van Otterloo & Co. LLC (2018 - 2020).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Treasury and Payables Manager, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 – present); Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – November 2020).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President-Law and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present); Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

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

126

AR-022924-FI

GMO Trust

Annual Report

February 29, 2024

Alternative Allocation Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

Strategic Opportunities Allocation Fund

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

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

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

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

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

TABLE OF CONTENTS

Alternative Allocation Fund
Management Discussion and Analysis of Fund Performance	3
Performance Graph	4
Investment Concentration Summary	5
Schedule of Investments	6
Benchmark-Free Allocation Fund
Management Discussion and Analysis of Fund Performance	23
Performance Graph	24
Investment Concentration Summary	25
Schedule of Investments	26
Benchmark-Free Fund
Management Discussion and Analysis of Fund Performance	27
Performance Graph	28
Investment Concentration Summary	29
Schedule of Investments	30
Global Asset Allocation Fund
Management Discussion and Analysis of Fund Performance	49
Performance Graph	50
Investment Concentration Summary	52
Schedule of Investments	53
Global Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	55
Performance Graph	56
Investment Concentration Summary	57
Schedule of Investments	58
Global Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	59
Performance Graph	60
Investment Concentration Summary	61
Schedule of Investments	62
Implementation Fund
Management Discussion and Analysis of Fund Performance	63
Performance Graph	64
Investment Concentration Summary	65
Schedule of Investments	66
International Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	93
Performance Graph	94
Investment Concentration Summary	95
Schedule of Investments	96
International Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	97
Performance Graph	98
Investment Concentration Summary	99
Schedule of Investments	100
Strategic Opportunities Allocation Fund
Management Discussion and Analysis of Fund Performance	101
Performance Graph	102
Investment Concentration Summary	104
Schedule of Investments	105

Portfolio, Counterparty and Currency Abbreviations	113
Fund Financial Statements:
Statements of Assets and Liabilities	114
Statements of Operations	120
Statements of Changes in Net Assets	124
Statements of Cash Flow	129
Financial Highlights	131
Notes to Financial Statements	156
Report of Independent Registered Public Accounting Firm	207
Fund Expenses	209
Tax Information	211
Trustees and Officers	212

This page has been left blank intentionally.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the FTSE 3-Month Treasury Bill Index is included for comparative purposes only.

Class VI shares of GMO Alternative Allocation Fund returned +4.68% (net) for the fiscal year ended February 29, 2024, as compared with +5.45% for the FTSE 3-Month Treasury Bill Index.

The three largest exposures in the Fund had mixed results. Event-Driven had a very solid year and was the biggest contributor to total Fund returns. Equity Dislocation, which is broadly 100% long cheap global Value and 100% short expensive global Growth, had an essentially flat year, which was a reasonable result in a challenging environment for Value. Systematic Global Macro had a tougher year and was the biggest detractor from total Fund returns. Despite being smaller positions, strong performance from Put Selling and the Asset Allocation Long/Short strategy allowed them to contribute nicely to total returns, while the Fixed Income Absolute Return strategy and the combined credit strategies had modest impact.

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

3

GMO Alternative Allocation Fund

(A Series of GMO Trust)

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

GMO Alternative Allocation Fund Class VI Shares and the FTSE 3-Month Treasury Bill Index

As of February 29, 2024

	Average Annual Total Returns
	1 Year			Since Inception
Class VI		4.68	%		5/1/19	1.37	%
Class R6		4.60	%		7/31/20	2.13	%
Class I		4.38	%		9/4/19	1.01	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

For Class VI, R6 and I the gross expense ratio of 1.79%, 1.96% and 2.07%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 1.44%, 1.61% and 1.70% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

4

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		66.6	%
Debt Obligations		45.1
Short-Term Investments		36.9
Investment Funds		1.3
Preferred Stocks		0.7
Forward Currency Contracts		0.6
Rights/Warrants		0.2
Purchased Options		0.0	^
Written Options		(0.2	)
Swap Contracts		(0.5	)
Futures Contracts		(0.6	)
Securities Sold Short		(51.9	)
Other		1.8
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Australia		6.7	%
United Kingdom		2.7
Other Developed		0.2	‡
Euro Region		(1.4	)§
Sweden		(4.8	)
		3.4	%

	Equity Investments as a %
Country/Region Summary¤	of Total Net Assets
United States		19.4	%
Japan		8.8
Other Emerging		3.6	†
Other Developed		1.1	‡
Ireland		(1.6	)
		31.3	%

(a) GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of GMO Alternative Allocation Fund. As such, the holdings of GMO Alternative Allocation SPC Ltd. have been included with GMO Alternative Allocation Fund.

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

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

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

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

^ Rounds to 0.0%.

5

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 65.1%
		Australia — 1.1%
	18,432	Altium Ltd. (a)		778,714
	22,701	BlueScope Steel Ltd.		337,575
	29,925	Brambles Ltd. (a)		293,833
	47,960	GPT Group – (REIT) (a)		135,641
	114,291	Mirvac Group – (REIT) (a)		162,105
	71,129	Scentre Group – (REIT) (a)		143,955
	54,718	Stockland – (REIT) (a)		159,876
		Total Australia		2,011,699
		Belgium — 0.5%
	8,168	Ageas SA (a)		347,137
	488	Sofina SA (a)		111,693
	4,348	UCB SA		501,670
		Total Belgium		960,500
		Canada — 1.4%
	4,300	Alimentation Couche-Tard, Inc. (a)		266,685
	3,100	Canadian Tire Corp. Ltd. – Class A (a)		315,448
	600	CGI, Inc. * (a)		68,889
	1,400	iA Financial Corp., Inc. (a)		86,817
	1,600	Magna International, Inc. (a)		88,161
	12,100	Manulife Financial Corp. (a) (b)		287,254
	8,800	Manulife Financial Corp. (a) (b)		208,855
	3,200	Onex Corp. (a)		238,311
	9,800	Quebecor, Inc. – Class B (a)		229,195
	176,256	Resolute Forest Products, Inc. * (c)		352,512
	3,900	West Fraser Timber Co. Ltd. (b)		313,862
	1,214	West Fraser Timber Co. Ltd. (b)		97,727
		Total Canada		2,553,716
		China — 0.9%
	111,000	Bank of Communications Co. Ltd. – Class H		72,721
	17,500	Beijing Enterprises Holdings Ltd.		65,832
	399,000	China Construction Bank Corp. – Class H		247,442
	41,000	China Overseas Land & Investment Ltd.		60,549
	212,000	China Railway Group Ltd. – Class H		103,263
	308,000	China Zhongwang Holdings Ltd. * (d)		—
	146,000	CITIC Ltd.		146,872
	46,500	COSCO Shipping Holdings Co. Ltd. – Class H		50,059
	80,000	Dongfeng Motor Group Co. Ltd. – Class H		34,221
	13,000	Kingboard Holdings Ltd.		25,499
	8,500	Shanghai Pharmaceuticals Holding Co. Ltd. – Class H		13,669
	6,000	Sinopharm Group Co. Ltd. – Class H		16,791
	266,762	Vinda International Holdings Ltd. (a)		790,029
		Total China		1,626,947
		Denmark — 0.6%
	68	AP Moller - Maersk AS – Class A (a)		92,369

Shares		Description	Value ($)
		Denmark — continued
	162	AP Moller - Maersk AS – Class B (a)		229,901
	15,621	Danske Bank AS		459,572
	348	Genmab AS *		96,682
	573	Pandora AS (a)		92,666
	655	ROCKWOOL AS – B Shares		209,633
		Total Denmark		1,180,823
		Finland — 0.3%
	111,334	Nokia OYJ (a)		392,463
	8,951	Stora Enso OYJ – R Shares		113,173
		Total Finland		505,636
		France — 0.8%
	14,786	ArcelorMittal SA		385,698
	1,614	BNP Paribas SA (a)		96,872
	496	Cie de Saint-Gobain SA (a)		38,237
	955	Publicis Groupe SA (a)		101,044
	8,878	Renault SA (a)		370,688
	13,520	Societe Generale SA (a)		328,342
	2,132	STMicroelectronics NV - NY Shares		97,262
	11,885	Vivendi SE (a)		132,811
		Total France		1,550,954
		Germany — 0.2%
	1,772	Continental AG (a)		142,141
	2,017	Fresenius SE & Co. KGaA (a)		56,486
	3,326	Mercedes-Benz Group AG (a)		265,032
		Total Germany		463,659
		Hong Kong — 0.1%
	9,500	Orient Overseas International Ltd. (a)		147,111
		India — 0.5%
	5,219	Bharat Petroleum Corp. Ltd.		38,152
	84,682	GAIL India Ltd.		186,488
	8,461	Hindalco Industries Ltd.		51,594
	27,760	Hindustan Petroleum Corp. Ltd.		172,535
	113,623	Indian Oil Corp. Ltd.		228,638
	88,455	Oil & Natural Gas Corp. Ltd.		282,473
		Total India		959,880
		Israel — 0.3%
	420	Check Point Software Technologies Ltd. * (e)		67,376
	34,267	Teva Pharmaceutical Industries Ltd. Sponsored ADR*		450,611
	4,074	Teva Pharmaceutical Industries Ltd. *		53,545
		Total Israel		571,532
		Italy — 0.4%
	3,967	Leonardo SpA		84,815
	19,900	Stellantis NV (a)		520,576

  See accompanying notes to the financial statements. 6

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Italy — continued
	646,847	Telecom Italia SpA * (a)		194,473
		Total Italy		799,864
		Japan — 11.1%
	10,500	Amano Corp. (a)		257,236
	4,000	Chubu Electric Power Co., Inc. (a)		49,785
	17,500	Credit Saison Co. Ltd. (a)		340,430
	14,100	Daiwabo Holdings Co. Ltd. (a)		247,205
	20,300	Denka Co. Ltd.		332,970
	8,300	EXEO Group, Inc.		174,492
	19,300	Fuji Corp.		332,437
	7,100	FUJIFILM Holdings Corp. (a)		452,246
	26,900	Fujikura Ltd.		329,175
	200	Fujitsu Ltd. (a)		31,254
	25,200	H.U. Group Holdings, Inc. (a)		431,621
	39,900	Honda Motor Co. Ltd. (a)		474,114
	29,600	Inpex Corp. (a)		394,530
	24,900	Isuzu Motors Ltd. (a)		355,296
	10,800	ITOCHU Corp. (a)		469,162
	102,724	JSR Corp.		2,759,952
	25,800	Kanematsu Corp.		411,673
	3,400	Kansai Electric Power Co., Inc. (a)		43,482
	5,300	Kawasaki Kisen Kaisha Ltd. (a)		252,974
	21,500	Kirin Holdings Co. Ltd. (a)		298,896
	7,100	Kyudenko Corp.		276,193
	9,500	Maruichi Steel Tube Ltd.		248,684
	30,600	Mitsubishi Electric Corp. (a)		487,396
	12,600	Mitsui OSK Lines Ltd. (a)		431,499
	12,200	Morinaga & Co. Ltd. (a)		218,703
	5,300	MS&AD Insurance Group Holdings, Inc. (a)		264,853
	7,800	NEC Corp. (a)		526,478
	12,900	NH Foods Ltd. (a)		450,865
	13,200	Nippon Yusen KK (a)		420,373
	5,200	Nissan Motor Co. Ltd. (a)		20,486
	7,800	Panasonic Holdings Corp. (a)		73,738
	48,700	Penta-Ocean Construction Co. Ltd.		252,307
	8,500	Renesas Electronics Corp. (a)		140,446
	21,900	Rohm Co. Ltd. (a)		373,104
	7,300	Sankyu, Inc. (a)		258,130
	17,300	Sekisui House Ltd. (a)		385,369
	63,095	Shinko Electric Industries Co. Ltd. (a)		2,290,731
	3,600	Shionogi & Co. Ltd.		179,233
	19,000	Stanley Electric Co. Ltd.		325,724
	10,800	Subaru Corp. (a)		244,359
	31,200	SUMCO Corp. (a)		489,648
	20,600	Sumitomo Corp.		483,604
	8,200	Sumitomo Mitsui Financial Group, Inc. (a)		456,859
	16,600	Sumitomo Mitsui Trust Holdings, Inc.		336,370
	28,000	T&D Holdings, Inc. (a)		487,324
	3,900	TDK Corp. (a)		203,334
	19,500	THK Co. Ltd.		429,745
	36,000	Tokai Carbon Co. Ltd.		237,490

Shares		Description	Value ($)
		Japan — continued
	71,600	Tokyo Electric Power Co. Holdings, Inc. * (a)		387,341
	6,500	Tosoh Corp.		88,573
	3,100	Toyota Industries Corp. (a)		308,893
	800	Toyota Tsusho Corp.		51,827
	9,400	Yamaha Corp. (a)		205,568
	21,300	Yamaha Motor Co. Ltd.		190,962
	6,500	Zenkoku Hosho Co. Ltd. (a)		238,565
		Total Japan		20,903,704
		Netherlands — 1.1%
	19,140	Aegon Ltd. (a)		115,035
	4,845	AerCap Holdings NV * (e)		373,937
	3,938	EXOR NV (a)		425,367
	25,398	ING Groep NV (a)		349,523
	991	JDE Peet’s NV (a)		22,630
	10,440	Koninklijke Ahold Delhaize NV (a)		310,923
	17,812	Koninklijke Philips NV (a)		358,863
	1,225	Prosus NV		35,780
		Total Netherlands		1,992,058
		New Zealand — 0.0%
	16,693	Meridian Energy Ltd. (a)		60,784
		Norway — 0.2%
	12,522	Equinor ASA (a)		308,527
		Poland — 0.2%
	20,840	ORLEN SA		323,714
		Portugal — 0.0%
	6,129	EDP - Energias de Portugal SA		24,408
		South Africa — 0.1%
	10,709	Bidvest Group Ltd.		130,690
		South Korea — 0.8%
	1,471	GS Holdings Corp.		53,098
	120	Hyundai Mobis Co. Ltd.		21,888
	664	Hyundai Motor Co.		125,010
	5,200	Kia Corp. *		486,969
	1,661	LG Corp.		116,916
	3,933	LG Electronics, Inc.		281,161
	59	POSCO Holdings, Inc.		19,175
	3,305	POSCO Holdings, Inc. Sponsored ADR (a) (e)		267,143
	4,022	SK Square Co. Ltd. *		211,045
		Total South Korea		1,582,405
		Spain — 0.5%
	45,390	Banco Bilbao Vizcaya Argentaria SA (a)		452,732
	108,576	Banco Santander SA (a)		452,489
		Total Spain		905,221

7 See accompanying notes to the financial statements.  

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Sweden — 0.5%
	44,077	Fastighets AB Balder – B Shares* (a)		274,133
	19,223	Investor AB – B Shares (a)		483,636
	2,403	Securitas AB – B Shares (a)		25,848
	6,376	Skanska AB – B Shares		117,672
	5,685	Volvo Car AB – Class B* (a)		20,788
		Total Sweden		922,077
		Switzerland — 0.4%
	8,467	Adecco Group AG (Registered) (a)		339,421
	1,448	Roche Holding AG – Genusschein		378,595
		Total Switzerland		718,016
		Taiwan — 0.6%
	15,800	Silicon Motion Technology Corp. ADR (a) (f)		1,118,482
		Thailand — 0.2%
	63,800	Kasikornbank PCL NVDR		218,937
	512,800	Krung Thai Bank PCL NVDR		230,148
	7,600	Thai Oil PCL NVDR		11,866
		Total Thailand		460,951
		Turkey — 0.1%
	17,699	KOC Holding AS		95,252
	254,095	Yapi ve Kredi Bankasi AS		187,519
		Total Turkey		282,771
		United Kingdom — 2.5%
	14,248	3i Group PLC (a)		445,151
	4,033	Berkeley Group Holdings PLC (a)		236,951
	239,284	BT Group PLC (a)		315,848
	5,056	Coca-Cola HBC AG (a)		157,612
	77,864	Kingfisher PLC (a)		230,913
	143,582	Liberty Global Ltd. – Class A* (a)		2,512,685
	2,157	Shell PLC ADR (a)		135,525
	95,202	Taylor Wimpey PLC (a)		165,913
	3,667	Unilever PLC Sponsored ADR (a)		179,573
	42,514	Vodafone Group PLC Sponsored ADR (a)		380,075
		Total United Kingdom		4,760,246
		United States — 39.7%
	4,333	3M Co. (a) (e)		399,156
	6,500	AAON, Inc. (e)		545,870
	8,342	Acushnet Holdings Corp. (e)		537,392
	344	Akamai Technologies, Inc. * (e)		38,156
	221,952	Albertsons Cos., Inc. – Class A (a)		4,501,187
	2,056	Allegion PLC (e)		262,901
	11,548	Ally Financial, Inc. (a)		427,161
	1,117	Alphabet, Inc. – Class A* (a)		154,660
	1,456	Alphabet, Inc. – Class C* (e)		203,520
	3,200	AptarGroup, Inc.		449,472
	2,156	ArcBest Corp. (e)		308,006
	527	Archer-Daniels-Midland Co. (e)		27,989

Shares		Description	Value ($)
		United States — continued
	3,790	ASGN, Inc. * (a)		376,423
	685	Aspen Technology, Inc. * (e)		132,815
	1,414	Atkore, Inc. (e)		239,532
	3,638	Axcelis Technologies, Inc. * (a)		409,893
	23,225	Axonics, Inc. * (a)		1,577,906
	2,387	Balchem Corp. (e)		375,213
	1,255	Best Buy Co., Inc. (e)		101,504
	1,133	Bio-Rad Laboratories, Inc. – Class A* (e)		369,222
	9,356	BorgWarner, Inc. (e)		291,252
	5,215	Bruker Corp.		451,306
	2,561	Builders FirstSource, Inc. * (e)		499,856
	3,376	Capital One Financial Corp. (a) (e)		464,571
	1,165	CBRE Group, Inc. – Class A* (a)		107,052
	3,608	Centene Corp. * (e)		282,975
	4,218	Chesapeake Energy Corp.		349,166
	9,597	Ciena Corp. * (e)		546,837
	4,349	Cirrus Logic, Inc. * (a) (e)		399,325
	6,244	Cisco Systems, Inc. (a) (e)		302,022
	8,592	Citigroup, Inc. (a)		476,770
	19,112	Cleveland-Cliffs, Inc. *		397,530
	5,882	Cognizant Technology Solutions Corp. – Class A (a)		464,796
	3,321	Cohen & Steers, Inc. (a) (e)		244,260
	10,200	Comcast Corp. – Class A (a)		437,070
	1,338	Curtiss-Wright Corp.		316,129
	5,267	CVS Health Corp. (e)		391,707
	918	Dick’s Sporting Goods, Inc. (e)		163,303
	4,126	Discover Financial Services (a)		498,008
	2,118	Dolby Laboratories, Inc. – Class A (a)		171,558
	1,622	DR Horton, Inc. (e)		242,392
	1,443	Dropbox, Inc. – Class A* (e)		34,560
	8,861	eBay, Inc. (e)		418,948
	9,283	Essent Group Ltd. (a) (e)		497,290
	4,519	Etsy, Inc. * (e)		323,967
	2,784	Expedia Group, Inc. * (a)		380,907
	1,090	F5, Inc. * (e)		204,070
	2,065	Fabrinet * (e)		445,152
	6,498	Fidelity National Financial, Inc. (e)		328,669
	36,202	Ford Motor Co. (e)		450,353
	12,900	Fox Corp. – Class B (a) (e)		353,202
	13,683	Franklin Resources, Inc. (e)		375,598
	1,242	FTI Consulting, Inc. * (a)		256,945
	95,635	GCI Liberty, Inc. * (c) (e)		—
	12,335	General Motors Co. (a) (e)		505,488
	14,205	Gentex Corp. (e)		518,909
	9,574	Globus Medical, Inc. – Class A* (a) (e)		516,900
	5,262	Hess Corp. (a)		766,937
	21,841	Hewlett Packard Enterprise Co. (e)		332,638
	3,755	Houlihan Lokey, Inc. (a) (e)		483,118
	14,081	HP, Inc. (e)		398,915
	2,277	Illumina, Inc. * (e)		318,393
	6,002	Incyte Corp. * (e)		350,277
	10,068	Intel Corp. (e)		433,427
	2,511	International Business Machines Corp. (e)		464,610

  See accompanying notes to the financial statements. 8

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		United States — continued
	2,230	J & J Snack Foods Corp. (a) (e)		323,528
	2,310	Jazz Pharmaceuticals PLC * (e)		274,659
	352	John B Sanfilippo & Son, Inc. (a)		36,034
	1,372	Kadant, Inc. (e)		462,776
	7,034	Karuna Therapeutics, Inc. *		2,208,465
	1,483	Keysight Technologies, Inc. * (e)		228,827
	22,239	Kinder Morgan, Inc. (a)		386,736
	11,365	Kraft Heinz Co. (a) (e)		400,957
	2,835	Kroger Co. (e)		140,644
	276	Laboratory Corp. of America Holdings (e)		59,569
	2,737	Lancaster Colony Corp. (e)		566,340
	2,836	Landstar System, Inc. (a) (e)		539,407
	1,639	Lennar Corp. – Class A (e)		259,798
	41,231	Liberty Broadband Corp. – Class C* (e)		2,481,282
	7,919	Liberty Media Corp.-Liberty Formula One – Class A* (a)		519,090
	6,061	Malibu Boats, Inc. – Class A* (a) (e)		264,502
	11,670	Match Group, Inc. * (e)		420,587
	19,058	McGrath RentCorp (e)		2,372,340
	792	Medpace Holdings, Inc. * (e)		314,836
	798	Meta Platforms, Inc. – Class A (a)		391,124
	3,838	Moderna, Inc. * (e)		354,017
	1,276	Molson Coors Beverage Co. – Class B (e)		79,648
	3,149	Mosaic Co.		98,123
	12,975	Neogen Corp. * (e)		223,040
	10,582	New York Times Co. – Class A (e)		468,571
	2,600	Nucor Corp. (e)		499,980
	6,690	Ollie’s Bargain Outlet Holdings, Inc. * (a) (e)		536,337
	4,904	ON Semiconductor Corp. * (e)		387,024
	8,314	Ovintiv, Inc. (a)		410,795
	4,133	PACCAR, Inc. (a) (e)		458,308
	25,383	Paramount Global – Class B (e)		280,228
	6,918	PayPal Holdings, Inc. * (a)		417,432
	153,945	Pershing Square Tontine Holdings Ltd. * (d)		—
	13,171	Pfizer, Inc. (a)		349,822
	25,858	Physicians Realty Trust REIT (a)		290,385
	30,555	Pioneer Natural Resources Co. (a)		7,186,231
	5,058	Power Integrations, Inc. (a)		361,445
	2,620	PriceSmart, Inc. (a)		220,447
	2,367	PulteGroup, Inc. (e)		256,535
	3,108	QUALCOMM, Inc. (e)		490,411
	2,097	RBC Bearings, Inc. * (e)		572,125
	491	Regeneron Pharmaceuticals, Inc. * (a)		474,350
	3,854	Skyworks Solutions, Inc. (a) (e)		404,362
	296,991	Southwestern Energy Co. * (a)		2,070,027
	35,294	Sovos Brands, Inc. * (a)		804,350
	30,317	SP Plus Corp. * (a)		1,558,597
	15,269	Splunk, Inc. * (a) (e)		2,385,323
	3,500	Steel Dynamics, Inc. (e)		468,370
	11,518	StepStone Group, Inc. – Class A (a)		400,020
	10,841	Synchrony Financial (e)		447,733
	1,169	TE Connectivity Ltd. (a)		167,822
	31,792	Textainer Group Holdings Ltd.		1,586,421
	1,040	Textron, Inc. (e)		92,633

Shares		Description	Value ($)
		United States — continued
	1,187	TopBuild Corp. * (a) (e)		477,625
	3,362	Trex Co., Inc. *		308,497
	7,383	Tyson Foods, Inc. – Class A (a) (e)		400,454
	60,261	U.S. Steel Corp. (e)		2,852,756
	905	Universal Display Corp. (a)		157,850
	269	Universal Health Services, Inc. – Class B (a)		44,939
	11,463	Verizon Communications, Inc. (e)		458,749
	12,684	VF Corp. (e)		207,257
	36,500	Viatris, Inc. (e)		451,505
	16,420	Walgreens Boots Alliance, Inc. (e)		349,089
	1,538	Westlake Corp. (e)		213,336
	60,669	Westrock Co. (e)		2,747,699
	2,128	Woodward, Inc. (e)		301,091
	1,424	XPEL, Inc. * (e)		74,874
	5,400	Zoom Video Communications, Inc. – Class A* (a) (e)		381,942
		Total United States		74,975,212
		TOTAL COMMON STOCKS (COST $118,018,186)		122,801,587
		PREFERRED STOCKS (g) — 0.5%
		Brazil — 0.0%
	3,202	Petroleo Brasileiro SA ADR (a)		51,777
		Germany — 0.5%
	1,763	Bayerische Motoren Werke AG (a)		193,284
	6,734	Porsche Automobil Holding SE (a)		359,997
	3,079	Volkswagen AG (a)		418,130
		Total Germany		971,411
		TOTAL PREFERRED STOCKS (COST $914,315)		1,023,188
		RIGHTS/WARRANTS — 0.2%
		United States — 0.2%
	195,149	Bristol-Myers Squibb Co. * (c)		390,298
	13,635	Contra Abiomed, Inc. * (c)		23,861
	38,486	Pershing Square Holdings Ltd. * (c)		11,546
		TOTAL RIGHTS/WARRANTS (COST $298,336)		425,705
		INVESTMENT FUNDS — 1.2%
		United States — 1.2%
	1,000,824	Altaba, Inc.* (c)		2,351,936
		TOTAL INVESTMENT FUNDS (COST $1,660,089)		2,351,936

9 See accompanying notes to the financial statements.  

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 45.1%
		United States — 45.1%
		Asset-Backed Securities — 2.2%
	4,129,042	OZLM VI Ltd., Series 14-6A, Class A1S, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.34%, 6.66%, due 04/17/31 (h)		4,132,118
		U.S. Government — 22.7%
	6,750,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.36%, due 07/31/24 (a)		6,749,681
	25,675,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a) (i)		25,704,713
	5,200,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.49%, due 04/30/25 (a) (i)		5,202,680
	5,300,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.50%, due 10/31/25 (a) (i)		5,299,297
		Total U.S. Government		42,956,371
		U.S. Government Agency — 20.2%
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.43%, due 03/06/24		3,000,043
	5,000,000	Federal Home Loan Banks, 5.23%, due 03/22/24		4,999,151
	2,500,000	Uniform Mortgage-Backed Security, TBA, 5.50%, due 03/01/54		2,472,932
	27,500,000	Uniform Mortgage-Backed Security, TBA, 6.00%, due 03/01/54		27,614,697
		Total U.S. Government Agency		38,086,823
		Total United States		85,175,312
		TOTAL DEBT OBLIGATIONS (COST $85,130,390)		85,175,312

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 1.8%
		United States — 1.8%
		Affiliated Issuers — 1.8%
	160,655	GMO Resources Fund, Class VI		3,309,494
		TOTAL MUTUAL FUNDS (COST $3,875,000)		3,309,494
		SHORT-TERM INVESTMENTS — 36.9%
		Sovereign and Sovereign Agency Issuers — 7.1%
JPY	931,000,000	Japan Treasury Discount Bills, Zero Coupon, due 04/08/24		6,210,906
JPY	1,069,000,000	Japan Treasury Discount Bills, Zero Coupon, due 04/15/24		7,131,685
		Total Sovereign and Sovereign Agency Issuers		13,342,591
		Money Market Funds — 0.9%
	1,671,562	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (j)		1,671,562
		Repurchase Agreements — 21.7%
	41,035,173	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 02/29/24, maturing on 03/01/24 with a maturity value of $41,041,214 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 09/30/26 and a market value of $41,736,953.		41,035,173
		U.S. Government — 7.2%
	13,700,000	U.S. Treasury Bills, 5.30%, due 04/30/24 (k)		13,580,022
		TOTAL SHORT-TERM INVESTMENTS (COST $70,110,665)		69,629,348

PURCHASED OPTIONS — 0.0%

	Exercise		Expiration		Number of		Notional		Value
Description	Price		Date		Contracts		Amount		($)
Equity Options – Puts — 0.0%
Silicon Motion Technology Corp. (f)		60.00		03/15/24		158		USD 1,118,482		790
TOTAL PURCHASED OPTIONS (COST $27,385)										790
TOTAL INVESTMENTS — 150.8% (Cost $280,034,366)										284,717,360

  See accompanying notes to the financial statements. 10

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		SECURITIES SOLD SHORT — (51.9)%
		Common Stocks — (37.3)%
		Australia — (0.7)%
	(5,304)	ASX Ltd.		(227,260	)
	(1,220)	Cochlear Ltd.		(278,103	)
	(14,402)	IDP Education Ltd.		(178,897	)
	(38,954)	Lottery Corp. Ltd.		(128,889	)
	(5,514)	Ramsay Health Care Ltd.		(196,711	)
	(4,877)	WiseTech Global Ltd.		(300,829	)
		Total Australia		(1,310,689)
		Austria — (0.1)%
	(3,070)	Verbund AG		(222,237	)
		Belgium — (0.3)%
	(6,860)	Anheuser-Busch InBev SA		(414,622	)
	(7)	Lotus Bakeries NV		(65,871	)
		Total Belgium		(480,493	)
		Canada — (1.6)%
	(3,080)	Agnico Eagle Mines Ltd.		(148,025	)
	(3,333)	Algonquin Power & Utilities Corp.		(19,498	)
	(18,300)	AltaGas Ltd.		(392,254	)
	(713)	Brookfield Renewable Corp. – Class A		(16,912	)
	(9,055)	Cameco Corp.		(366,999	)
	(11,641)	Enbridge, Inc.		(400,683	)
	(3,115)	Franco-Nevada Corp.		(326,639	)
	(11,445)	GFL Environmental, Inc.		(412,936	)
	(11,896)	Pembina Pipeline Corp.		(414,100	)
	(5,600)	Restaurant Brands International, Inc.		(434,840	)
		Total Canada		(2,932,886	)
		China — (0.0)%
	(565)	Yum China Holdings, Inc.		(24,233	)
		Denmark — (0.1)%
	(1,883)	Coloplast AS – Class B		(250,125	)
		Finland — (0.0)%
	(1,979)	Elisa OYJ		(89,130	)
		France — (0.8)%
	(8,070)	Accor SA		(350,543	)
	(1,851)	Aeroports de Paris SA		(251,980	)
	(20,306)	Getlink SE		(346,694	)
	(207)	Hermes International SCA		(517,984	)
	(163)	Sartorius Stedim Biotech		(44,866	)
		Total France		(1,512,067	)
		Germany — (1.0)%
	(1,935)	adidas AG		(391,412	)
	(540)	Covestro AG* (h)		(29,391	)

Shares		Description	Value ($)
		Germany — continued
	(11,515)	Delivery Hero SE* (h)		(266,354	)
	(182)	Deutsche Boerse AG		(38,101	)
	(1,536)	MTU Aero Engines AG		(369,483	)
	(345)	Puma SE		(15,868	)
	(265)	Rational AG		(218,063	)
	(90)	Rheinmetall AG		(41,297	)
	(5,674)	Siemens Energy AG*		(87,133	)
	(3,669)	Symrise AG		(375,458	)
	(2,716)	Zalando SE* (h)		(57,479	)
		Total Germany		(1,890,039	)
		Ireland — (1.6)%
	(1,766)	Flutter Entertainment PLC*		(382,400	)
	(60,669)	Smurfit Kappa Group PLC		(2,592,961	)
		Total Ireland		(2,975,361	)
		Israel — (0.3)%
	(1,730)	CyberArk Software Ltd.*		(456,305	)
	(138)	Monday.com Ltd.*		(30,775	)
		Total Israel		(487,080	)
		Italy — (0.8)%
	(9,432)	Amplifon SpA		(314,958	)
	(1,278)	Ferrari NV		(539,397	)
	(25,221)	FinecoBank Banca Fineco SpA		(349,400	)
	(26,970)	Infrastrutture Wireless Italiane SpA (h)		(298,729	)
		Total Italy		(1,502,484	)
		Japan — (2.3)%
	(16,900)	Aeon Co. Ltd.		(403,520	)
	(800)	ANA Holdings, Inc.*		(17,442	)
	(7,700)	Asahi Intecc Co. Ltd.		(160,264	)
	(200)	Disco Corp.		(65,177	)
	(300)	East Japan Railway Co.		(17,748	)
	(100)	Fast Retailing Co. Ltd.		(28,965	)
	(600)	GMO Payment Gateway, Inc.		(40,497	)
	(400)	Ibiden Co. Ltd.		(18,515	)
	(600)	Japan Airlines Co. Ltd.		(11,206	)
	(11,800)	Japan Exchange Group, Inc.		(308,943	)
	(3,700)	Keisei Electric Railway Co. Ltd.		(172,868	)
	(5,300)	Kintetsu Group Holdings Co. Ltd.		(163,000	)
	(7,100)	Kobe Bussan Co. Ltd.		(191,156	)
	(1,600)	Lasertec Corp.		(429,309	)
	(100)	M3, Inc.		(1,438	)
	(500)	McDonald’s Holdings Co. Japan Ltd.		(23,255	)
	(17,500)	MonotaRO Co. Ltd.		(167,386	)
	(5,400)	Nippon Paint Holdings Co. Ltd.		(40,116	)
	(3,500)	Odakyu Electric Railway Co. Ltd.		(49,209	)
	(11,500)	Oriental Land Co. Ltd.		(412,162	)
	(81,900)	Rakuten Group, Inc.*		(448,892	)
	(3,600)	Shiseido Co. Ltd.		(97,873	)
	(32,400)	SoftBank Corp.		(426,172	)
	(2,200)	SoftBank Group Corp.		(130,312	)

11 See accompanying notes to the financial statements.  

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Japan — continued
	(5,000)	Tobu Railway Co. Ltd.		(127,820	)
	(17,500)	Tokyu Corp.		(217,749	)
	(1,900)	West Japan Railway Co.		(79,005	)
	(1,700)	Zensho Holdings Co. Ltd.		(74,445	)
		Total Japan		(4,324,444	)
		Netherlands — (0.8)%
	(336)	Adyen NV* (h)		(531,632	)
	(58)	ASML Holding NV		(55,042	)
	(2,389)	BE Semiconductor Industries NV		(432,690	)
	(15,015)	Universal Music Group NV		(453,309	)
		Total Netherlands		(1,472,673	)
		New Zealand — (0.2)%
	(4,977)	Xero Ltd.*		(413,930	)
		Peru — (0.2)%
	(4,569)	Southern Copper Corp.		(369,449	)
		Singapore — (0.3)%
	(98,397)	Grab Holdings Ltd. – Class A*		(302,079	)
	(3,229,100)	Seatrium Ltd.*		(216,518	)
	(5,100)	Singapore Airlines Ltd.		(24,548	)
	(15,100)	Singapore Technologies Engineering Ltd.		(44,706	)
		Total Singapore		(587,851	)
		Spain — (0.4)%
	(10,930)	Cellnex Telecom SA* (h)		(395,169	)
	(11,968)	Ferrovial SE		(449,396	)
		Total Spain		(844,565	)
		Sweden — (0.4)%
	(12,129)	Beijer Ref AB		(170,796	)
	(11,355)	EQT AB		(332,664	)
	(630)	Evolution AB (h)		(81,613	)
	(8,494)	H & M Hennes & Mauritz AB – Class B		(115,340	)
		Total Sweden		(700,413	)
		Switzerland — (0.1)%
	(135)	Partners Group Holding AG		(194,112	)
	(1,190)	SIG Group AG		(23,575	)
	(46)	VAT Group AG (h)		(23,089	)
		Total Switzerland		(240,776	)
		United Kingdom — (2.9)%
	(3,108)	Admiral Group PLC		(104,868	)
	(32,505)	Auto Trader Group PLC (h)		(304,371	)
	(18,955)	Hargreaves Lansdown PLC		(174,693	)
	(44,111)	Informa PLC		(452,267	)
	(4,626)	InterContinental Hotels Group PLC		(491,250	)
	(136,383)	Liberty Global Ltd. – Class C*		(2,529,905	)
	(3,914)	London Stock Exchange Group PLC		(439,594	)

Shares		Description	Value ($)
		United Kingdom — continued
	(62,833)	M&G PLC		(178,637	)
	(13,444)	Phoenix Group Holdings PLC		(84,671	)
	(1,284)	Prudential PLC		(12,651	)
	(60,915)	Rolls-Royce Holdings PLC*		(284,308	)
	(4,811)	Severn Trent PLC		(151,820	)
	(793)	Spirax-Sarco Engineering PLC		(103,466	)
	(21,848)	Wise PLC – Class A*		(253,814	)
		Total United Kingdom		(5,566,315	)
		United States — (22.4)%
	(178)	AbbVie, Inc.		(31,337	)
	(253)	AECOM		(22,474	)
	(21,374)	AES Corp.		(324,885	)
	(2,199)	Alnylam Pharmaceuticals, Inc.*		(332,247	)
	(8,564)	Altria Group, Inc.		(350,353	)
	(8,289)	Amedisys, Inc.*		(771,043	)
	(1,078)	American Tower Corp. – (REIT)		(214,371	)
	(1,152)	Amgen, Inc.		(315,452	)
	(3,627)	ARES Management Corp. – Class A		(481,049	)
	(1,876)	Arthur J Gallagher & Co.		(457,613	)
	(1,654)	Axon Enterprise, Inc.*		(508,390	)
	(2,540)	Bill Holdings, Inc.*		(160,858	)
	(354)	BioMarin Pharmaceutical, Inc.*		(30,543	)
	(577)	Bio-Techne Corp.		(42,450	)
	(1,832)	Boeing Co.*		(373,215	)
	(395)	Broadcom, Inc.		(513,694	)
	(2,302)	Burlington Stores, Inc.*		(472,140	)
	(7,700)	Caesars Entertainment, Inc.*		(334,719	)
	(18,479)	Cerevel Therapeutics Holdings, Inc.*		(757,639	)
	(409)	Charles Schwab Corp.		(27,313	)
	(8,676)	Charter Communications, Inc. – Class A*		(2,550,137	)
	(25,750)	Chesapeake Energy Corp.		(2,131,585	)
	(5,398)	Chevron Corp.		(820,550	)
	(184)	Chipotle Mexican Grill, Inc.*		(494,734	)
	(5,030)	Cloudflare, Inc. – Class A*		(495,656	)
	(17)	CME Group, Inc.		(3,746	)
	(5,500)	Dayforce, Inc.*		(383,680	)
	(3,753)	Dexcom, Inc.*		(431,858	)
	(9,951)	DraftKings, Inc. – Class A*		(431,077	)
	(264)	Ecolab, Inc.		(59,358	)
	(2,500)	Equity LifeStyle Properties, Inc. – (REIT)		(168,300	)
	(518)	Erie Indemnity Co. – Class A		(210,764	)
	(101)	Essential Utilities, Inc.		(3,513	)
	(5,514)	Exact Sciences Corp.*		(317,220	)
	(70,996)	Exxon Mobil Corp.		(7,420,502	)
	(353)	Fair Isaac Corp.*		(448,278	)
	(379)	Fastenal Co.		(27,671	)
	(6,963)	Fidelity National Information Services, Inc.		(481,770	)
	(229)	Fiserv, Inc.*		(34,183	)
	(1,013)	Gartner, Inc.*		(471,612	)
	(17,428)	Healthpeak Properties, Inc. – (REIT)		(291,919	)
	(763)	HubSpot, Inc.*		(472,152	)
	(260)	Hyatt Hotels Corp. – Class A		(39,933	)

  See accompanying notes to the financial statements. 12

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		United States — continued
	(38)	IDEXX Laboratories, Inc.*		(21,859	)
	(1,946)	Insulet Corp.*		(319,144	)
	(1,900)	IQVIA Holdings, Inc.*		(469,604	)
	(3,172)	Iron Mountain, Inc. – (REIT)		(249,446	)
	(42,179)	Juniper Networks, Inc.		(1,561,888	)
	(504)	Lamb Weston Holdings, Inc.		(51,514	)
	(3,661)	Lattice Semiconductor Corp.*		(280,469	)
	(12,840)	Liberty Media Corp.-Liberty Formula One – Class C*		(934,238	)
	(1,064)	Linde PLC		(477,545	)
	(4,544)	Live Nation Entertainment, Inc.*		(440,677	)
	(893)	Manhattan Associates, Inc.*		(226,224	)
	(1,102)	MarketAxess Holdings, Inc.		(235,178	)
	(26)	Marsh & McLennan Cos., Inc.		(5,259	)
	(1,035)	Mastercard, Inc. – Class A		(491,377	)
	(118)	McDonald’s Corp.		(34,489	)
	(786)	McKesson Corp.		(409,828	)
	(279)	MercadoLibre, Inc.*		(445,089	)
	(990)	MongoDB, Inc.*		(443,104	)
	(1,058)	Moody’s Corp.		(401,426	)
	(83)	Motorola Solutions, Inc.		(27,422	)
	(800)	MSCI, Inc.		(448,776	)
	(10,724)	Newmont Corp.		(335,125	)
	(10,095)	NiSource, Inc.		(263,076	)
	(4,788)	Okta, Inc.*		(513,752	)
	(5,900)	ONEOK, Inc.		(443,208	)
	(20,812)	Palantir Technologies, Inc. – Class A*		(521,965	)
	(3,157)	Paychex, Inc.		(387,111	)
	(4,168)	Philip Morris International, Inc.		(374,953	)
	(32)	Pool Corp.		(12,740	)
	(877)	PTC, Inc.*		(160,500	)
	(1)	Realty Income Corp. – (REIT)		(52	)
	(2,076)	Repligen Corp.*		(402,723	)
	(11,777)	Rivian Automotive, Inc. – Class A*		(133,316	)
	(9,497)	ROBLOX Corp. – Class A*		(378,930	)
	(3,874)	Roku, Inc.*		(244,759	)
	(9,211)	Rollins, Inc.		(405,929	)
	(292)	Royal Caribbean Cruises Ltd.*		(36,018	)
	(277)	Seagate Technology Holdings PLC		(25,775	)
	(293)	Sherwin-Williams Co.		(97,285	)
	(929)	Simon Property Group, Inc. – (REIT)		(137,622	)
	(1,794)	Snap, Inc. – Class A*		(19,770	)
	(2,264)	Snowflake, Inc. – Class A*		(426,266	)

Shares / Par Value†		Description	Value ($)
		United States — continued
	(261)	Starbucks Corp.		(24,769	)
	(1,999)	Tesla, Inc.*		(403,558	)
	(24)	Texas Pacific Land Corp.		(37,810	)
	(20,126)	Toast, Inc. – Class A*		(462,898	)
	(473)	Trade Desk, Inc. – Class A*		(40,408	)
	(399)	TransDigm Group, Inc.		(469,918	)
	(1,976)	Unity Software, Inc.*		(57,936	)
	(1,500)	Vail Resorts, Inc.		(345,465	)
	(950)	Watsco, Inc.		(374,414	)
	(12,104)	Williams Cos., Inc.		(435,018	)
	(21,506)	WillScot Mobile Mini Holdings Corp.*		(1,026,912	)
	(1,225)	Wolfspeed, Inc.*		(31,875	)
	(918)	Zillow Group, Inc. – Class C*		(51,546	)
	(1,902)	Zscaler, Inc.*		(460,227	)
		Total United States		(42,230,168	)
		TOTAL COMMON STOCKS (PROCEEDS $65,393,217)		(70,427,408	)
		PREFERRED STOCKS (g) — (0.2)%
		Germany — (0.2)%
	(1,064)	Sartorius AG		(402,969	)
		TOTAL PREFERRED STOCKS (PROCEEDS $421,041)		(402,969	)
		DEBT OBLIGATIONS — (14.4)%
		United States — (14.4)%
		U.S. Government Agency — (14.4)%
	(30,000,000)	Uniform Mortgage-Backed Security, TBA, 2.50%, due 03/01/39		(27,214,910	)
		TOTAL DEBT OBLIGATIONS (PROCEEDS $27,150,000)		(27,214,910	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $92,964,258)		(98,045,287	)
		Other Assets and Liabilities (net) — 1.1%		2,077,935
		TOTAL NET ASSETS — 100.0%	$	188,750,008

13 See accompanying notes to the financial statements.  

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
03/25/2024	BCLY		AUD	532,278		USD	351,868		5,660
05/08/2024	CITI		AUD	730,000		USD	481,349		5,903
03/27/2024	CITI		AUD	1,180,461		USD	774,153		6,300
03/25/2024	DB		AUD	4,746,719		USD	3,129,281		41,888
05/08/2024	GS		AUD	1,480,000		USD	967,155		3,237
03/27/2024	MSCI		AUD	82,132		USD	54,047		622
05/08/2024	SSB		AUD	1,380,000		USD	907,776		8,987
04/02/2024	DB		BRL	636,371		USD	128,576		946
04/30/2024	BBH		CAD	990,000		USD	735,292		5,171
04/30/2024	CITI		CAD	500,000		USD	370,310		1,562
04/30/2024	DB		CAD	1,240,000		USD	917,762		3,267
03/12/2024	JPM		CAD	622,635		USD	460,880		2,025
04/30/2024	SSB		CAD	1,800,000		USD	1,336,887		9,394
03/28/2024	BCLY		CHF	12,585,428		USD	14,674,380		406,373
04/12/2024	SSB		CHF	6,577,275		USD	7,788,919		320,162
03/28/2024	SSB		CHF	15,159		USD	17,312		127
04/16/2024	CITI		CZK	6,000,000		USD	261,129		5,318
04/16/2024	MSCI		CZK	8,770,976		USD	387,176		13,224
04/30/2024	DB		EUR	4,740,000		USD	5,141,317		6,414
03/28/2024	DB		EUR	4,549,772		USD	4,945,565		23,389
03/25/2024	GS		GBP	85,293		USD	107,977		297
03/25/2024	JPM		GBP	1,039,757		USD	1,319,948		7,300
04/18/2024	SSB		GBP	790,000		USD	1,008,935		11,452
03/25/2024	SSB		GBP	293,744		USD	370,944		105
05/16/2024	BCLY		HKD	6,268,907		USD	803,734		1,375
05/14/2024	DB		HUF	30,000,000		USD	82,414		238
05/14/2024	MSCI		HUF	145,479,461		USD	402,409		3,910
04/30/2024	MSCI		IDR	1,585,857,000		USD	100,885		86
04/08/2024	BCLY		JPY	931,000,000		USD	6,551,895		307,775
04/15/2024	MSCI		JPY	1,069,000,000		USD	7,466,289		288,909
03/25/2024	MSCI		JPY	107,905,574		USD	724,109		1,985
05/13/2024	SSB		JPY	820,371,800		USD	5,573,491		41,709
03/25/2024	UBSA		JPY	1,591,619,992		USD	10,805,016		153,595
03/25/2024	DB		NOK	5,511,101		USD	527,802		8,657
03/28/2024	MSCI		NZD	2,848,587		USD	1,737,200		2,811
05/31/2024	MSCI		NZD	740,000		USD	456,083		5,532
03/28/2024	UBSA		NZD	1,000,863		USD	613,981		4,597
03/27/2024	BCLY		PEN	280,000		USD	74,163		155
04/30/2024	MSCI		PHP	2,000,000		USD	35,607		12
04/25/2024	BCLY		RON	650,000		USD	141,547		315
04/25/2024	GS		RON	1,841,896		USD	402,616		2,408
04/10/2024	DB		SEK	6,500,000		USD	628,750		758
04/10/2024	MSCI		SEK	15,544,479		USD	1,524,108		22,292
04/24/2024	SSB		SGD	90,000		USD	67,057		20
04/25/2024	JPM		TWD	9,043,349		USD	291,664		5,153
04/25/2024	SSB		TWD	8,400,000		USD	271,623		5,495
05/08/2024	SSB		USD	2,871,839		AUD	4,410,000		377
04/02/2024	GS		USD	80,221		BRL	400,000		2
04/02/2024	MSCI		USD	1,432,406		BRL	7,147,565		1,102

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
04/26/2024	JPM		USD	14,530		CLP	14,096,500		30
04/26/2024	GS		USD	171,198		COP	680,000,000		567
04/26/2024	MSCI		USD	301,762		COP	1,200,000,000		1,352
03/28/2024	JPM		USD	1,283,516		EUR	1,191,195		5,181
04/30/2024	SSB		USD	76,051		IDR	1,200,000,000		223
05/09/2024	CITI		USD	98,059		ILS	350,000		134
05/09/2024	DB		USD	291,759		ILS	1,050,000		2,821
05/09/2024	GS		USD	177,183		ILS	650,000		5,177
05/09/2024	SSB		USD	136,380		ILS	500,000		3,896
05/08/2024	CITI		USD	240,765		INR	20,073,064		771
05/28/2024	SSB		USD	90,136		KRW	120,000,000		133
04/02/2024	BCLY		USD	2,432,001		MXN	42,316,817		39,302
04/02/2024	JPM		USD	70,973		MXN	1,219,949		272
04/18/2024	MSCI		USD	897,898		MXN	15,618,725		11,943
04/02/2024	MSCI		USD	2,438,799		MXN	42,316,818		32,505
05/20/2024	MSCI		USD	98,839		PLN	400,000		1,243
04/10/2024	BBH		USD	607,865		SEK	6,300,000		804
04/10/2024	DB		USD	756,654		SEK	7,900,000		6,597
04/10/2024	MSCI		USD	318,028		SEK	3,300,000		798
03/28/2024	MSCI		ZAR	4,000,000		USD	208,380		248
05/08/2024	SSB		AUD	810,000		USD	525,156		(2,394	)
04/02/2024	GS		BRL	250,000		USD	50,039		(101	)
04/02/2024	MSCI		BRL	1,395,911		USD	279,193		(770	)
04/26/2024	MSCI		COP	1,384,898,500		USD	345,357		(4,462	)
04/16/2024	CITI		CZK	1,200,000		USD	50,626		(536	)
04/30/2024	MSCI		EUR	660,000		USD	711,104		(3,882	)
04/18/2024	SSB		GBP	610,000		USD	768,668		(1,540	)
05/09/2024	CITI		ILS	717,605		USD	197,792		(3,534	)
03/25/2024	BCLY		JPY	356,094,961		USD	2,379,530		(3,524	)
03/25/2024	JPM		JPY	29,281,585		USD	195,838		(120	)
03/25/2024	MSCI		JPY	114,243,580		USD	762,375		(2,165	)
03/25/2024	JPM		NOK	359,040		USD	33,692		(130	)
03/27/2024	MSCI		PEN	480,000		USD	126,326		(545	)
05/20/2024	SSB		PLN	450,000		USD	112,586		(6	)
04/25/2024	CITI		RON	550,000		USD	118,385		(1,119	)
05/20/2024	CITI		THB	30,652,251		USD	852,086		(7,953	)
04/02/2024	BCLY		USD	2,043,769		BRL	10,136,683		(10,765	)
03/12/2024	BCLY		USD	148,959		CAD	201,885		(179	)
03/12/2024	GS		USD	563,669		CAD	760,571		(3,160	)
04/30/2024	GS		USD	1,194,331		CAD	1,600,000		(14,337	)
03/12/2024	JPM		USD	315,531		CAD	426,440		(1,262	)
03/12/2024	SSB		USD	4,990,262		CAD	6,675,149		(70,963	)
04/30/2024	SSB		USD	753,451		CAD	1,012,285		(6,895	)
03/28/2024	BCLY		USD	148,160		CHF	130,157		(603	)
03/28/2024	JPM		USD	476,862		CHF	418,190		(2,763	)
03/28/2024	BCLY		USD	311,523		EUR	287,528		(460	)
03/28/2024	JPM		USD	3,500,961		EUR	3,227,138		(9,677	)
04/18/2024	BCLY		USD	2,278,431		GBP	1,800,000		(5,687	)
03/25/2024	BCLY		USD	222,172		GBP	175,514		(593	)

  See accompanying notes to the financial statements. 14

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

Forward Currency Contracts — continued

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
03/25/2024	DB		USD	4,253,838		GBP	3,347,190		(28,157	)
03/25/2024	JPM		USD	647,763		GBP	511,699		(1,765	)
03/25/2024	BCLY		USD	979,618		JPY	142,757,558		(24,257	)
03/21/2024	MSCI		USD	7,025,195		JPY	1,048,915,155		(10,090	)
05/28/2024	CITI		USD	21,753		KRW	28,830,175		(66	)
03/25/2024	BCLY		USD	551,231		NOK	5,772,852		(7,430	)
04/16/2024	CITI		USD	313,531		NOK	3,300,000		(2,508	)
03/25/2024	DB		USD	443,358		NOK	4,680,187		(2,485	)
04/16/2024	JPM		USD	4,874,908		NOK	50,027,768		(159,826	)

Settlement Date	Counterparty		Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
04/26/2024		JPM		USD	21,065		NOK	221,685		(166	)
04/26/2024		MSCI		USD	5,206,401		NOK	54,196,509		(97,246	)
03/25/2024		SSB		USD	11,065,898		NOK	116,140,031		(125,532	)
04/10/2024		CITI		USD	714,443		SEK	7,300,000		(9,160	)
04/24/2024		SSB		USD	25,505		SGD	34,152		(67	)
03/28/2024		BCLY		USD	844,380		ZAR	15,954,543		(14,218	)
03/28/2024		CITI		ZAR	2,000,000		USD	103,379		(687	)
									$	1,218,603

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
3	Australia Government Bond 10 Yr.		March 2024		224,282		(294	)
13	CBOE Volatility Index(i)		March 2024		182,114		(7,839	)
79	Corn(i)		May 2024		1,696,525		(57,635	)
22	Cotton(i)		May 2024		1,095,270		86,202
4	DAX Index		March 2024		1,920,616		93,234
75	FTSE 100 Index		March 2024		7,230,684		15,549
23	FTSE MIB Index		March 2024		4,062,081		235,318
27	Hang Seng Index		March 2024		2,824,811		(60,715	)
56	Iron Ore(i)		April 2024		644,448		(37,152	)
135	MSCI Singapore		March 2024		2,827,567		(25,113	)
11	NYMEX Platinum Futures(i)		April 2024		486,200		(22,771	)
42	S&P 500 E-Mini		March 2024		10,717,875		289,202
170	Soybean(i)		May 2024		9,696,375		(485,507	)
128	Soybean Meal(i)		May 2024		4,213,760		(210,502	)
15	Soybean Oil(i)		May 2024		406,890		(10,285	)
58	Sugar(i)		April 2024		1,408,982		(81,461	)
7	U.S. Long Bond (CBT)		June 2024		834,750		6,049
11	U.S. Treasury Note 2 Yr. (CBT)		June 2024		2,252,250		1,109
68	U.S. Treasury Note 5 Yr. (CBT)		June 2024		7,269,625		13,794
28	U.S. Treasury Ultra 10 Yr. (CBT)		June 2024		3,196,813		8,602
17	UK Gilt Long Bond		June 2024		2,104,922		9,945
23	WCE Canola Futures(i)		May 2024		201,232		(3,519	)
				$	65,498,072	$	(243,789	)

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
16	CAC40 10 Euro		March 2024		1,375,360		(23,960	)
16	Canadian Government Bond 10 Yr.		June 2024		1,413,197		(3,746	)
57	Cocoa(i)		May 2024		3,447,930		(288,502	)
36	Coffee(i)		May 2024		2,488,725		39,729
40	Copper(i)		May 2024		3,847,000		(93,998	)
125	E-mini Russell 2000 Index		March 2024		12,858,125		(370,560	)
5	Euro Bund		March 2024		716,840		6,546
3	Euro Bund		June 2024		428,840		(1,385	)
18	FTSE Taiwan Index		March 2024		1,165,684		(5,527	)
38	Gold (i)		April 2024		7,807,860		(1,326	)
60	IFSC NIFTY 50 Index		March 2024		2,663,040		13,798
48	KOSPI 200 Index		March 2024		3,211,840		(113,581	)
5	Live Cattle Futures(i)		April 2024		370,700		4,157
71	Natural Gas(i)		March 2024		1,320,600		64,565
27	NY Harbor ULSD Futures(i)		March 2024		3,004,987		119,130
43	OMX Stockholm 30 Index		March 2024		1,020,975		(27,762	)
14	RBOB Gasoline(i)		March 2024		1,517,628		(66,314	)
11	S&P/TSX 60		March 2024		2,092,119		(46,264	)
21	Silver(i)		May 2024		2,402,925		(644	)
33	SPI 200 Futures		March 2024		4,117,173		(89,284	)
41	Swiss Market New Index Futures		March 2024		5,268,621		(84,883	)
16	TOPIX Index		March 2024		2,865,315		(104,076	)
7	U.S. Treasury Note 10 Yr. (CBT)		June 2024		773,062		(2,764	)
2	U.S. Ultra Bond (CBT)		June 2024		255,750		(3,987	)
233	Wheat(i)		May 2024		6,713,312		242,676
35	WTI Crude(i)		March 2024		2,739,100		(74,845	)
				$	75,886,708	$	(912,807	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

15 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

Written Options

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
Silicon Motion Technology Corp.(f)		60.00		03/15/24		(158	)		USD	(1,118,482	)		(165,900	)
Index Options – Puts
S&P 500 Index		4,960.00		03/01/24		(8	)		USD	(4,077,016	)		(160	)
S&P 500 Index		5,025.00		03/08/24		(8	)		USD	(4,077,016	)		(8,184	)
S&P 500 Index		5,005.00		03/15/24		(8	)		USD	(4,077,016	)		(12,640	)
S&P 500 Index		5,095.00		03/22/24		(7	)		USD	(3,567,389	)		(35,980	)
						Total Index Options – Puts							(56,964	)

Description	Counterparty	Exercise Rate			Expiration Date		Principal/ Notional Amount				Floating Rate Index		Pay/Receive Floating Rate		Value ($)
Written Options on Credit Default Swaps – Puts
CDX.NA.HYS.41	CITI		105.00	%		04/17/24		USD	(22,416,000	)		Fixed Spread		Pay		(67,903	)
CDX.NA.HYS.41	JPM		106.00	%		03/20/24		USD	(14,944,000	)		Fixed Spread		Pay		(31,860	)
								Total Written Options On Credit Default Swaps — Puts								(99,763	)
									TOTAL WRITTEN OPTIONS
												(Premiums $508,387)			$	(322,627	)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.IG.S41		USD 72,750,000		1.00	%		0.52	%		N/A		12/20/2028		Quarterly		(959,986	)		(1,496,759	)		(536,773	)
CDX.NA.HY.S41		USD 20,158,380		5.00	%		3.39	%		N/A		12/20/2028		Quarterly		(1,178,188	)		(1,275,280	)		(97,092	)
															$	(2,138,174	)	$	(2,772,039	)	$	(633,865	)

OTC Credit Default Swaps

Reference Entity	Counterparty		Notional Amount			Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S33		CITI		USD	2,222,000		5.00	%		0.62	%	N/A		12/20/2024		Quarterly		(53,637	)		(77,325	)		(23,688	)
CMBX.NA.BBB-.11		CGMI		USD	1,886,000		3.00	%		7.67	%	N/A		11/18/2054		Monthly		397,828			256,944			(140,884	)
CMBX.NA.BBB-.9		MLCS		USD	2,640,000		3.00	%		13.71	%	N/A		09/17/2058		Monthly		212,244			391,050			178,806
CMBX.NA.BBB-.9		MORD		USD	1,333,000		3.00	%		13.71	%	N/A		09/17/2058		Monthly		246,605			197,451			(49,154	)

  See accompanying notes to the financial statements. 16

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counterparty		Notional Amount			Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.A.15		CGMI		USD	2,222,000		2.00	%		3.26	%	N/A		11/18/2064		Monthly		266,640			157,961			(108,679	)
CMBX.NA.BBB-.14		CGMI		USD	576,500		3.00	%		6.96	%	N/A		12/16/2072		Monthly		162,861			103,832			(59,029	)
Sell Protection^:
CDX.NA.HY.S33		CITI		USD	4,388,727		5.00	%		0.05	%	4,388,727 USD		12/20/2024		Quarterly		756,836			172,520			(584,316	)
CDX.NA.HY.S41		GS		USD	3,556,000		5.00	%		2.06	%	3,556,000 USD		12/20/2028		Quarterly		245,858			445,510			199,652
CDX.NA.HY.S41		JPM		USD	5,334,000		5.00	%		2.06	%	5,334,000 USD		12/20/2028		Quarterly		357,319			668,265			310,946
CMBX.NA.A.9		CGMI		USD	1,112,500		2.00	%		6.07	%	1,112,500 USD		09/17/2058		Monthly		(33,096	)		(65,777	)		(32,681	)
CMBX.NA.A.9		CGMI		USD	1,780,000		2.00	%		6.07	%	1,780,000 USD		09/17/2058		Monthly		(44,602	)		(105,243	)		(60,641	)
CMBX.NA.A.9		MLCS		USD	4,750,000		2.00	%		6.07	%	4,750,000 USD		09/17/2058		Monthly		9,294			(280,846	)		(290,140	)
CMBX.NA.A.9		MORD		USD	2,222,000		2.00	%		6.07	%	2,222,000 USD		09/17/2058		Monthly		(204,146	)		(131,376	)		72,770
CMBX.NA.AAA.10		GS		USD	4,610,000		0.50	%		0.59	%	4,610,000 USD		11/17/2059		Monthly		42,162			(9,650	)		(51,812	)
CMBX.NA.AAA.15		CGMI		USD	4,445,000		0.50	%		0.75	%	4,445,000 USD		11/18/2064		Monthly		(165,845	)		(68,061	)		97,784
CMBX.NA.AAA.15		GS		USD	1,730,000		0.50	%		0.75	%	1,730,000 USD		11/18/2064		Monthly		(26,617	)		(26,490	)		127
CMBX.NA.AAA.14		CGMI		USD	11,125,000		0.50	%		0.73	%	11,125,000 USD		12/16/2072		Monthly		(218,513	)		(134,559	)		83,954
																	$	1,951,191		$	1,494,206		$	(456,985	)

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

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

⁽¹⁾  As of February 29, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity.

  The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
4.20%	3 Month AUD BBSW		AUD	18,400,000	03/20/2026		Quarterly		(18,503	)		(44,611	)		(26,108	)
3.95%	3 Month AUD BBSW		AUD	5,000,000	03/20/2026		Quarterly		(243	)		3,127			3,370
4.09%	3 Month AUD BBSW		AUD	6,000,000	03/20/2026		Quarterly		—			(6,386	)		(6,386	)
3 Month AUD BBSW	3.95%		AUD	7,000,000	03/20/2026		Quarterly		—			(4,864	)		(4,864	)
3 Month AUD BBSW	4.07%		AUD	6,500,000	03/20/2026		Quarterly		—			5,549			5,549
CAD-CORRA-OIS-COMPOUND	4.01%		CAD	8,500,000	03/20/2026		Annually		—			(21,821	)		(21,821	)
CAD-CORRA-OIS-COMPOUND	4.19%		CAD	9,500,000	03/20/2026		Annually		23,355			(909	)		(24,264	)
3.99%	CAD-CORRA-OIS-COMPOUND		CAD	1,500,000	03/20/2026		Annually		—			4,331			4,331
CHF-SARON-OIS-COMPOUND	1.03%		CHF	2,500,000	03/20/2026		Annually		(1,215	)		(4,146	)		(2,931	)
CHF-SARON-OIS-COMPOUND	1.08%		CHF	16,620,000	03/20/2026		Annually		(5,106	)		(10,123	)		(5,017	)
CHF-SARON-OIS-COMPOUND	1.10%		CHF	3,000,000	03/20/2026		Annually		70			(517	)		(587	)

17 See accompanying notes to the financial statements.  

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CHF-SARON-OIS-COMPOUND	1.21%		CHF	7,000,000	03/20/2026		Annually		—			17,469			17,469
EUR-EuroSTR-COMPOUND	2.43%		EUR	1,521,000	03/20/2026		Annually		20			(17,318	)		(17,338	)
EUR-EuroSTR-COMPOUND	2.52%		EUR	3,000,000	03/20/2026		Annually		—			(28,786	)		(28,786	)
EUR-EuroSTR-COMPOUND	2.64%		EUR	2,000,000	03/20/2026		Annually		—			(13,911	)		(13,911	)
2.83%	EUR-EuroSTR-COMPOUND		EUR	16,240,000	03/20/2026		Annually		(68,013	)		50,692			118,705
2.51%	EUR-EuroSTR-COMPOUND		EUR	3,500,000	03/20/2026		Annually		—			33,694			33,694
GBP-SONIA-COMPOUND	4.12%		GBP	3,000,000	03/20/2026		Annually		—			(31,175	)		(31,175	)
GBP-SONIA-COMPOUND	4.16%		GBP	2,000,000	03/20/2026		Annually		—			(18,691	)		(18,691	)
GBP-SONIA-COMPOUND	4.62%		GBP	9,500,000	03/20/2026		Annually		24,840			14,202			(10,638	)
4.08%	GBP-SONIA-COMPOUND		GBP	3,500,000	03/20/2026		Annually		—			39,703			39,703
3.75%	GBP-SONIA-COMPOUND		GBP	3,000,000	03/20/2026		Annually		1,028			57,030			56,002
4.04%	GBP-SONIA-COMPOUND		GBP	3,500,000	03/20/2026		Annually		1,942			42,418			40,476
5.19%	3 Month NZD Bank Bill Rate		NZD	7,000,000	03/20/2026		Quarterly		(15,408	)		(19,661	)		(4,253	)
4.64%	3 Month NZD Bank Bill Rate		NZD	7,500,000	03/20/2026		Quarterly		—			26,751			26,751
3 Month NZD Bank Bill Rate	5.09%		NZD	6,000,000	03/20/2026		Quarterly		—			9,491			9,491
3 Month SEK STIBOR	2.92%		SEK	43,220,000	03/20/2026		Quarterly		(1,327	)		(30,785	)		(29,458	)
4.33%	USD-SOFR-COMPOUND		USD	4,000,000	06/20/2026		Annually		—			(3,281	)		(3,281	)
6 Month AUD BBSW	4.37%		AUD	18,670,000	03/20/2034		Semi-annual		(39,325	)		(3,852	)		35,473
6 Month AUD BBSW	4.41%		AUD	1,200,000	03/20/2034		Semi-annual		552			2,745			2,193
6 Month AUD BBSW	4.48%		AUD	2,000,000	03/20/2034		Semi-annual		—			11,918			11,918
6 Month AUD BBSW	4.51%		AUD	1,400,000	03/20/2034		Semi-annual		—			10,479			10,479
6 Month AUD BBSW	4.60%		AUD	4,300,000	03/20/2034		Semi-annual		9,006			51,842			42,836
4.56%	6 Month AUD BBSW		AUD	1,600,000	03/20/2034		Semi-annual		—			(15,637	)		(15,637	)
4.42%	6 Month AUD BBSW		AUD	2,200,000	03/20/2034		Semi-annual		—			(5,182	)		(5,182	)
4.42%	6 Month AUD BBSW		AUD	1,600,000	03/20/2034		Semi-annual		—			(4,400	)		(4,400	)
CAD-CORRA-OIS-COMPOUND	3.43%		CAD	2,100,000	03/20/2034		Annually		—			(8,884	)		(8,884	)
CAD-CORRA-OIS-COMPOUND	3.46%		CAD	1,100,000	03/20/2034		Annually		—			(2,798	)		(2,798	)
CAD-CORRA-OIS-COMPOUND	3.49%		CAD	2,500,000	03/20/2034		Annually		—			(2,066	)		(2,066	)
CAD-CORRA-OIS-COMPOUND	3.49%		CAD	400,000	03/20/2034		Annually		—			(183	)		(183	)
CAD-CORRA-OIS-COMPOUND	3.61%		CAD	1,100,000	03/20/2034		Annually		—			7,154			7,154
3.15%	CAD-CORRA-OIS-COMPOUND		CAD	2,100,000	03/20/2034		Annually		—			45,468			45,468
3.41%	CAD-CORRA-OIS-COMPOUND		CAD	1,900,000	03/20/2034		Annually		—			10,952			10,952
3.45%	CAD-CORRA-OIS-COMPOUND		CAD	2,100,000	03/20/2034		Annually		(6,537	)		6,437			12,974
3.45%	CAD-CORRA-OIS-COMPOUND		CAD	1,200,000	03/20/2034		Annually		—			3,715			3,715
1.21%	CHF-SARON-OIS-COMPOUND		CHF	700,000	03/20/2034		Annually		(2,269	)		(575	)		1,694
1.19%	CHF-SARON-OIS-COMPOUND		CHF	3,770,000	03/20/2034		Annually		(8,814	)		7,453			16,267
1.35%	CHF-SARON-OIS-COMPOUND		CHF	1,100,000	03/20/2034		Annually		—			(17,473	)		(17,473	)
1.26%	CHF-SARON-OIS-COMPOUND		CHF	500,000	03/20/2034		Annually		(742	)		(2,832	)		(2,090	)
EUR-EuroSTR-COMPOUND	2.19%		EUR	1,500,000	03/20/2034		Annually		—			(52,316	)		(52,316	)
EUR-EuroSTR-COMPOUND	2.21%		EUR	500,000	03/20/2034		Annually		—			(16,630	)		(16,630	)
EUR-EuroSTR-COMPOUND	2.42%		EUR	1,300,000	03/20/2034		Annually		—			(16,525	)		(16,525	)
EUR-EuroSTR-COMPOUND	2.43%		EUR	800,000	03/20/2034		Annually		—			(9,865	)		(9,865	)
EUR-EuroSTR-COMPOUND	2.50%		EUR	500,000	03/20/2034		Annually		—			(2,669	)		(2,669	)
EUR-EuroSTR-COMPOUND	2.54%		EUR	3,720,000	03/20/2034		Annually		10,375			(5,173	)		(15,548	)
EUR-EuroSTR-COMPOUND	2.61%		EUR	1,000,000	03/20/2034		Annually		—			5,221			5,221
2.27%	EUR-EuroSTR-COMPOUND		EUR	305,000	03/20/2034		Annually		(500	)		8,206			8,706
2.52%	EUR-EuroSTR-COMPOUND		EUR	1,570,000	03/20/2034		Annually		(2,003	)		4,528			6,531
2.45%	EUR-EuroSTR-COMPOUND		EUR	400,000	03/20/2034		Annually		—			3,867			3,867
2.42%	EUR-EuroSTR-COMPOUND		EUR	700,000	03/20/2034		Annually		—			8,798			8,798
2.42%	EUR-EuroSTR-COMPOUND		EUR	700,000	03/20/2034		Annually		—			9,298			9,298
2.41%	EUR-EuroSTR-COMPOUND		EUR	700,000	03/20/2034		Annually		—			9,597			9,597

See accompanying notes to the financial statements. 18

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
2.52%	EUR-EuroSTR-COMPOUND		EUR	400,000	03/20/2034		Annually		—			1,374			1,374
2.54%	EUR-EuroSTR-COMPOUND		EUR	1,500,000	03/20/2034		Annually		—			2,728			2,728
2.55%	EUR-EuroSTR-COMPOUND		EUR	1,100,000	03/20/2034		Annually		—			274			274
2.55%	EUR-EuroSTR-COMPOUND		EUR	1,200,000	03/20/2034		Annually		—			470			470
GBP-SONIA-COMPOUND	3.15%		GBP	900,000	03/20/2034		Annually		(926	)		(62,725	)		(61,799	)
GBP-SONIA-COMPOUND	3.41%		GBP	800,000	03/20/2034		Annually		—			(34,283	)		(34,283	)
GBP-SONIA-COMPOUND	3.51%		GBP	800,000	03/20/2034		Annually		(3,103	)		(26,173	)		(23,070	)
GBP-SONIA-COMPOUND	3.51%		GBP	1,200,000	03/20/2034		Annually		—			(39,136	)		(39,136	)
GBP-SONIA-COMPOUND	3.54%		GBP	900,000	03/20/2034		Annually		(905	)		(26,909	)		(26,004	)
GBP-SONIA-COMPOUND	3.70%		GBP	600,000	03/20/2034		Annually		—			(7,893	)		(7,893	)
GBP-SONIA-COMPOUND	3.84%		GBP	800,000	03/20/2034		Annually		—			699			699
GBP-SONIA-COMPOUND	3.85%		GBP	1,520,000	03/20/2034		Annually		404			3,149			2,745
3.89%	GBP-SONIA-COMPOUND		GBP	2,300,000	03/20/2034		Annually		(8,612	)		(13,669	)		(5,057	)
3.24%	GBP-SONIA-COMPOUND		GBP	500,000	03/20/2034		Annually		—			30,336			30,336
3.36%	GBP-SONIA-COMPOUND		GBP	800,000	03/20/2034		Annually		—			38,748			38,748
3.65%	GBP-SONIA-COMPOUND		GBP	700,000	03/20/2034		Annually		—			12,793			12,793
3.68%	GBP-SONIA-COMPOUND		GBP	500,000	03/20/2034		Annually		—			7,832			7,832
3.74%	GBP-SONIA-COMPOUND		GBP	800,000	03/20/2034		Annually		—			7,330			7,330
3.90%	GBP-SONIA-COMPOUND		GBP	1,000,000	03/20/2034		Annually		—			(6,916	)		(6,916	)
4.30%	3 Month NZD Bank Bill Rate		NZD	3,000,000	03/20/2034		Quarterly		—			35,112			35,112
4.69%	3 Month NZD Bank Bill Rate		NZD	1,400,000	03/20/2034		Quarterly		—			(10,706	)		(10,706	)
3 Month NZD Bank Bill Rate	4.48%		NZD	1,800,000	03/20/2034		Quarterly		—			(4,546	)		(4,546	)
3 Month NZD Bank Bill Rate	4.75%		NZD	1,700,000	03/20/2034		Quarterly		4,309			17,760			13,451
3 Month NZD Bank Bill Rate	4.77%		NZD	3,300,000	03/20/2034		Quarterly		11,675			37,822			26,147
3 Month SEK STIBOR	2.20%		SEK	18,000,000	03/20/2034		Quarterly		—			(88,308	)		(88,308	)
3 Month SEK STIBOR	2.24%		SEK	14,000,000	03/20/2034		Quarterly		—			(64,200	)		(64,200	)
3 Month SEK STIBOR	2.47%		SEK	11,000,000	03/20/2034		Quarterly		—			(28,847	)		(28,847	)
3 Month SEK STIBOR	2.63%		SEK	8,000,000	03/20/2034		Quarterly		—			(10,365	)		(10,365	)
3 Month SEK STIBOR	2.76%		SEK	9,000,000	03/20/2034		Quarterly		—			(2,115	)		(2,115	)
3 Month SEK STIBOR	2.84%		SEK	9,000,000	03/20/2034		Quarterly		—			3,576			3,576
2.47%	3 Month SEK STIBOR		SEK	10,670,000	03/20/2034		Quarterly		840			28,497			27,657
2.49%	3 Month SEK STIBOR		SEK	111,390,000	03/20/2034		Quarterly		(12,266	)		276,364			288,630
2.28%	3 Month SEK STIBOR		SEK	12,000,000	03/20/2034		Quarterly		—			50,337			50,337
2.63%	3 Month SEK STIBOR		SEK	16,000,000	03/20/2034		Quarterly		—			21,395			21,395
2.60%	3 Month SEK STIBOR		SEK	13,000,000	03/20/2034		Quarterly		655			20,715			20,060
USD-SOFR-COMPOUND	3.88%		USD	1,000,000	06/20/2034		Annually		—			4,841			4,841
								$	(106,746	)	$	263,451		$	370,197

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Total Return on Markit iBoxx USD Liquid Investment Grade Index

SOFR

MSCI

USD 4,497,000

03/20/2024

Quarterly

14,039

52,069

38,030

1 Month Federal Funds Rate plus 0.03%

Total Return on MSCI World Daily Total Return Net Value Index

GS

USD 3,690,983

04/30/2024

Monthly

—

—

—

19 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

Swap Contracts — continued

OTC Total Return Swaps — continued

Fund Pays	Fund Receives		Counterparty		Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on MSCI World Daily Total Return Net Growth Index		1 Month Federal Funds Rate minus 0.02%		GS		USD	3,710,297		04/30/2024		Monthly		—		—			—
1 Month Federal Funds Rate minus 0.06%		Total Return on MSCI World Daily Total Return Net Value Index		UBSA		USD	1,539,640		05/13/2024		Monthly		—		45,515			45,515
Total Return on MSCI World Daily Total Return Net Growth Index		1 Month Federal Funds Rate plus 0.02%		UBSA		USD	1,523,958		05/13/2024		Monthly		—		(56,353	)		(56,353	)
1 Month Federal Funds Rate plus 0.06%		Total Return on MSCI World Daily Total Return Net Value Index		JPM		USD	1,414,778		12/16/2024		Monthly		—		19,962			19,962
Total Return on MSCI World Daily Total Return Net Growth Index		1 Month Federal Funds Rate minus 0.17%		JPM		USD	1,700,132		12/16/2024		Monthly		—		(22,506	)		(22,506	)
Total Return on Equity Basket (l)		1 Month Federal Funds Rate minus 0.40%		MORD		USD	2,404,558		06/18/2024		Monthly		—		(41,413	)		(41,413	)
Total Return on Equity Basket (l)		1 Month Federal Funds Rate minus 0.40%		GS		USD	2,014,744		06/24/2024		Monthly		—		36,684			36,684
												$	14,039	$	33,958		$	19,919

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

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

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

(f) All or a portion of this investment is held in connection with one or more holdings within the Fund.

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

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

(i) All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund.

(j) The rate disclosed is the 7 day net yield as of February 29, 2024.

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

  See accompanying notes to the financial statements. 20

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

(l) The following table represents the individual long and/or short positions within the custom equity basket swap as of February 29, 2024.    

Shares		Description	% of Equity Basket			Value ($)
		Custom equity basket swap with GS as the counterparty:
	(21,670)	Allegro EU SA		8.9	%		(175,124	)
	(18,400)	B3 SA – Brasil Bolsa Balcao		2.4	%		(47,489	)
	(1,361)	Bid Corp. Ltd.		1.6	%		(31,813	)
	(136)	Budimex		1.3	%		(24,859	)
	(397)	Capitec Bank Holdings Ltd.		2.1	%		(41,827	)
	(1,012)	CD Projekt SA		1.4	%		(27,814	)
	(58,000)	China Southern Airlines Co. Ltd. – Class H		1.1	%		(21,526	)
	(8,618)	Clicks Group Ltd.		6.8	%		(134,568	)
	(71,616)	Cosan SA		12.4	%		(244,910	)
	(1,947)	Dino Polska SA		11.4	%		(226,556	)
	(10,569)	Doosan Enerbility Co. Ltd.		6.5	%		(129,000	)
	(27,000)	Gulf Energy Development PCL NVDR		1.6	%		(32,416	)
	(147)	Hanmi Pharm Co. Ltd.		1.9	%		(36,894	)
	(26,600)	Hapvida Participacoes e Investimentos SA		1.0	%		(19,638	)
	(652)	HYBE Co. Ltd.		4.9	%		(97,651	)
	(683)	Kakao Corp.		1.4	%		(27,414	)
	(14,000)	Kingdee International Software Group Co. Ltd.		0.8	%		(15,054	)
	(888)	Korea Aerospace Industries Ltd.		1.7	%		(34,263	)
	(28)	LG Energy Solution Ltd.		0.4	%		(8,462	)
	(12)	LPP SA		2.7	%		(53,980	)
	(24,208)	Microport Scientific Corp.		1.2	%		(23,691	)
	(903)	POSCO Chemical Co. Ltd.		10.9	%		(215,841	)
	(24,000)	Rede D’Or Sao Luiz SA		6.2	%		(122,243	)
	(60)	Samsung Biologics Co. Ltd.		1.8	%		(34,912	)
	(12,352)	Samsung Heavy Industries Co. Ltd.		3.7	%		(73,433	)
	(333)	SK IE Technology Co. Ltd.		0.9	%		(18,367	)
	(1,156)	Yuhan Corp.		3.0	%		(58,635	)
		TOTAL COMMON STOCKS				$	(1,978,380	)

Shares		Description	% of Equity Basket			Value ($)
		Custom equity basket swap with MORD as the counterparty:
	(130,000)	Air China Ltd. – Class H		2.9	%		(69,613	)
	(110,700)	Airports Of Thailand PC NVDR		8.0	%		(196,177	)
	(46,000)	Alibaba Health Information Technology Ltd.		0.8	%		(20,100	)
	(78,000)	China Molybdenum Co. Ltd. – Class H		2.0	%		(48,119	)
	(36,000)	China Southern Airlines Co. Ltd. – Class H		0.5	%		(13,361	)
	(122,000)	Genscript Biotech Corp.		10.1	%		(246,640	)
	(206,700)	Gulf Energy Development PCL NVDR		10.2	%		(248,163	)
	(383)	Hanmi Pharm Co. Ltd.		3.9	%		(96,125	)
	(949)	Hotel Shilla Co. Ltd.		1.8	%		(42,900	)
	(16,250)	Innovent Biologics, Inc.		1.1	%		(25,676	)
	(12,000)	Innovent Biologics, Inc.		2.6	%		(64,712	)
	(2,341)	Kakao Corp.		3.9	%		(93,963	)
	(185,000)	Kingdee International Software Group Co. Ltd.		8.1	%		(198,928	)
	(7,405)	Korea Aerospace Industries Ltd.		11.7	%		(285,719	)
	(34,200)	Nongfu Spring Co. Ltd. – Class H		7.9	%		(193,394	)
	(33)	POSCO Chemical Co. Ltd.		0.3	%		(7,888	)
	(571)	Samsung Biologics Co. Ltd.		13.6	%		(332,247	)
	(40,355)	Samsung Heavy Industries Co. Ltd.		9.8	%		(239,913	)
	(350)	SK IE Technology Co. Ltd.		0.8	%		(19,305	)
		TOTAL COMMON STOCKS				$	(2,442,943	)

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 113.

21 See accompanying notes to the financial statements.  

This page has been left blank intentionally.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

Class III shares of GMO Benchmark-Free Allocation Fund returned +10.46% (net) for the fiscal year ended February 29, 2024, as compared with +3.12% for the CPI.

This was a strong 12 months for absolute performance, but it was more nuanced in relation to traditional risk assets. Over the same period, developed equities, as measured by the MSCI World Index, were up 25.0%. Emerging equities, as measured by the MSCI Emerging Markets Index, were up 8.7%, while bonds, as measured by the Bloomberg U.S. Aggregate Index, were up 3.3%.

The Fund had an average equity exposure of about 52%, and this had a worse return than MSCI All Country World Index (“ACWI”). Within developed markets, we were leaning away from the U.S. as we believed that it was trading at an unfavorable valuation, but it went on to have a very strong year relative to other markets. We also had a significant investment in emerging markets as we believed that they were trading at very preferential valuations and, despite the asset class performing poorly, extremely strong security selection ensured that this added to performance relative to MSCI ACWI. There was a broadly 36% average exposure to alternatives and these delivered a solid positive return, although they could not keep pace with the resurgent equity markets. Fixed income assets accounted for an average 13% of the Fund, and these were up 7.5% for the 12 months. Our decision to emphasize credit over duration was a key driver of the outperformance over the Bloomberg U.S. Aggregate Index. The highlight was an exposure to emerging debt, with the J.P. Morgan EMBIG Diversified Index returning 10.1%, and our portfolio was comfortably ahead of this with an 18.4% return.

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

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

23

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

GMO Benchmark-Free Allocation Fund Class III Shares, the Consumer Price Index and the Bloomberg

U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 29, 2024

	Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception
Class III	10.46%	3.43%	2.89%	n/a
Class IV	10.57%	3.50%	2.94%	n/a
Class MF	10.56%	3.48%	2.95%	n/a
Class R6	10.50%	n/a	n/a	5/1/20 6.24%
Class I	10.43%	n/a	n/a	8/8/19 3.77%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

For Class III, IV, MF, R6 and I the gross expense ratio of 1.24%, 1.19%, 1.19%, 1.24% and 1.35%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 1.16%, 1.11%, 1.11%, 1.16% and 1.26% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

24

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		76.9	%
Debt Obligations		35.7
Short-Term Investments		4.2
Preferred Stocks		1.9
Investment Funds		0.3
Forward Currency Contracts		0.1
Rights/Warrants		0.1
Swap Contracts		0.0	^
Loan Assignments		0.0	^
Loan Participations		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.1	)
Securities Sold Short		(21.3	)
Other		2.2
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		15.4	%
Other Emerging		2.6	†
Australia		1.1
Euro Region		(0.3	)§
Other Developed		(0.3	)‡
		18.5	%

	Equity Investments as a %
Country/Region Summary¤	of Total Net Assets
Japan		11.4	%
United States		10.6
Other Developed		5.0	‡
Other Emerging		4.1	†
Taiwan		3.2
United Kingdom		2.9
India		2.7
South Korea		2.6
France		2.5
China		2.3
Canada		2.2
Brazil		2.0
Netherlands		1.4
Spain		1.4
Italy		1.0
South Africa		1.0
Switzerland		1.0
		57.3	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

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

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

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

^ Rounds to 0.0%.

25

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	5,616,063	GMO Emerging Country Debt Fund, Class VI		105,862,796
	1,955,524	GMO High Yield Fund, Class VI		34,788,771
	243,141,779	GMO Implementation Fund		3,136,528,946
	5,770,123	GMO Opportunistic Income Fund, Class VI		138,482,959
		TOTAL MUTUAL FUNDS (COST $3,422,809,251)		3,415,663,472
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	4,420,774	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (a)		4,420,774
		TOTAL SHORT-TERM INVESTMENTS (COST $4,420,774)		4,420,774
		TOTAL INVESTMENTS — 100.1% (Cost $3,427,230,025)		3,420,084,246
		Other Assets and Liabilities (net) — (0.1%)		(2,928,530	)
		TOTAL NET ASSETS — 100.0%	$	3,417,155,716

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 113.

  See accompanying notes to the financial statements. 26

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

Class III shares of GMO Benchmark-Free Fund returned +12.54% (net) for the fiscal year ended February 29, 2024, as compared with +3.12% for the CPI.

This was a strong 12 months for absolute performance, but it was more nuanced in relation to traditional risk assets. Over the same period, developed equities, as measured by the MSCI World Index, were up 25.0%. Emerging equities, as measured by the MSCI Emerging Markets Index, were up 8.7%, while bonds, as measured by the Bloomberg U.S. Aggregate Index, were up 3.3%.

The Fund had an average equity exposure of about 62%, and this had a worse return than the MSCI All Country World Index (“ACWI”). Within developed markets, we were leaning away from the U.S. as we believed that it was trading at an unfavorable valuation, but it went on to have a very strong year relative to other markets. We also had a significant investment in emerging markets as we believed that they were trading at very preferential valuations and, despite the asset class performing poorly, extremely strong security selection ensured that this added to performance relative to MSCI ACWI. There was a broadly 22% average exposure to alternatives and these delivered a solid positive return, largely driven by the improved environment for the collateral holdings, although they could not keep pace with the resurgent equity markets. Fixed income assets accounted for an average 16% of the Fund, and these were up 7.9% for the 12 months. Our decision to emphasize credit over duration was a key driver of the outperformance over the Bloomberg U.S. Aggregate Index. The highlight was an exposure to emerging debt, with the J.P. Morgan EMBIG Diversified Index returning 10.1%, and our portfolio was comfortably ahead of this with an 18.4% return.

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

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

27

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

GMO Benchmark-Free Fund Class III Shares, the Consumer Price Index and the

Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 29, 2024

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Class III		12.54	%		3.97	%		3.78	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited.

For Class III the gross expense ratio of 0.61% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Class listed above, the net expense ratio of 0.55% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

28

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		82.3	%
Debt Obligations		26.9
Short-Term Investments		7.4
Preferred Stocks		2.3
Loan Assignments		0.1
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Investment Funds		0.0	^
Forward Currency Contracts		0.0	^
Loan Participations		0.0	^
Futures Contracts		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Securities Sold Short		(19.1	)
Other		0.1
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		17.9	%
Other Emerging		3.3	†
Other Developed		0.0	^‡
		21.2	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
Japan		13.3	%
United States		10.0
Other Developed		6.0	‡
Other Emerging		3.9	†
Taiwan		3.9
United Kingdom		3.4
India		3.3
France		3.0
South Korea		2.9
China		2.7
Canada		2.5
Brazil		2.4
Spain		1.7
Netherlands		1.6
Italy		1.3
South Africa		1.2
Switzerland		1.2
Mexico		1.0
		65.3	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

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

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

^ Rounds to 0.0%.

29

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 78.6%
		Australia — 1.3%
	61,183	Accent Group Ltd.		80,527
	4,849	Ampol Ltd.		124,303
	103,761	BHP Group Ltd. (a)		2,974,445
	194,617	BlueScope Steel Ltd.		2,894,047
	170,494	Brambles Ltd. (a)		1,674,078
	10,355	Champion Iron Ltd.		52,139
	61,824	CSR Ltd.		355,216
	23,740	Dexus – (REIT) (a)		113,687
	51,631	Fortescue Ltd. (a)		871,428
	233,592	GPT Group – (REIT) (a)		660,649
	52,683	GrainCorp Ltd. – Class A		266,921
	95,164	Grange Resources Ltd.		26,670
	92,272	Helia Group Ltd.		248,066
	43,009	HomeCo Daily Needs – (REIT) (a)		34,840
	8,409	JB Hi-Fi Ltd.		336,997
	8,334	McMillan Shakespeare Ltd.		118,661
	484,019	Mirvac Group – (REIT) (a)		686,510
	59,370	Perenti Ltd. *		35,163
	10,938	Rio Tinto Ltd. (a)		880,825
	304,181	Scentre Group – (REIT) (a)		615,620
	5,834	SmartGroup Corp. Ltd.		41,655
	24,820	Southern Cross Media Group Ltd.		14,838
	214,596	Stockland – (REIT) (a)		627,011
	32,339	Super Retail Group Ltd.		344,212
		Total Australia		14,078,508
		Austria — 0.4%
	37,350	Erste Group Bank AG		1,493,371
	1,254	EVN AG (a)		32,534
	44,191	OMV AG		1,947,318
	15,838	Raiffeisen Bank International AG		329,919
	737	Strabag SE		34,767
		Total Austria		3,837,909
		Belgium — 0.9%
	75,691	Ageas SA		3,216,835
	7,140	Bekaert SA		354,065
	670	Cie d’Entreprises CFE		5,393
	2,251	Colruyt Group NV		108,128
	9,573	Groupe Bruxelles Lambert NV		719,965
	7,522	KBC Group NV		529,871
	452	Melexis NV		38,055
	635	Orange Belgium SA *		9,016
	91,355	Proximus SADP		764,727
	1,957	Sofina SA		447,917
	9,432	Syensqo SA *		842,135
	24,702	UCB SA		2,850,103
		Total Belgium		9,886,210
		Brazil — 0.9%
	1,872	Alupar Investimento SA		11,214

Shares		Description	Value ($)
		Brazil — continued
	250,300	Ambev SA		633,416
	228,983	Banco do Brasil SA		2,665,196
	26,387	BB Seguridade Participacoes SA		176,971
	7,700	Cia Energetica de Minas Gerais		23,265
	66,617	CPFL Energia SA		474,256
	46,627	Enauta Participacoes SA		238,993
	57,100	Engie Brasil Energia SA		482,658
	25,202	Itau Unibanco Holding SA		148,593
	81,590	Petroleo Brasileiro SA Sponsored ADR		1,347,867
	16,700	Petroleo Brasileiro SA		138,475
	43,100	Ser Educacional SA *		54,622
	327,933	TIM SA		1,198,637
	9,384	TIM SA ADR		173,510
	6,438	Transmissora Alianca de Energia Eletrica SA		45,846
	221,490	Ultrapar Participacoes SA		1,308,150
	36,852	Vale SA		496,614
	58,900	Vibra Energia SA		306,402
		Total Brazil		9,924,685
		Canada — 3.3%
	25,700	Alimentation Couche-Tard, Inc. (a)		1,593,906
	86,224	B2Gold Corp. (b)		206,938
	51,800	B2Gold Corp. (b)		124,810
	25,176	Bank of Nova Scotia (b)		1,220,281
	19,900	Bank of Nova Scotia (b)		964,977
	6,855	Brookfield Asset Management Ltd. – Class A		279,341
	1,400	Brookfield Corp. (a) (c)		57,768
	35,433	Brookfield Corp. – Class A (a) (c)		1,462,320
	1,100	BRP, Inc.		72,607
	18,970	Canadian Imperial Bank of Commerce (b)		897,660
	17,600	Canadian Imperial Bank of Commerce (b)		832,828
	16,100	Canadian Tire Corp. Ltd. – Class A (c)		1,638,293
	6,700	Canfor Corp. *		81,606
	3,100	Cascades, Inc.		24,030
	37,700	Celestica, Inc. * (b)		1,602,281
	22,492	Celestica, Inc. * (b)		956,585
	2,000	CGI, Inc. * (a) (b)		229,628
	308	CGI, Inc. * (a) (b)		35,374
	15,700	China Gold International Resources Corp. Ltd.		73,420
	14,700	CI Financial Corp.		183,269
	2,903	Cogeco, Inc.		122,845
	2,900	DREAM Unlimited Corp. – Class A (c)		43,976
	5,200	Enerplus Corp.		92,149
	600	EQB, Inc.		38,100
	600	Fairfax Financial Holdings Ltd. (a)		640,426
	14,700	Finning International, Inc.		385,386
	23,600	Great-West Lifeco, Inc. (a)		726,876
	16,200	iA Financial Corp., Inc.		1,004,599
	3,505	Imperial Oil Ltd. (b)		219,063
	2,400	Imperial Oil Ltd. (b)		150,174
	6,200	Interfor Corp. *		92,693

  See accompanying notes to the financial statements. 30

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Canada — continued
	6,585	International Petroleum Corp. *		69,160
	1,100	Linamar Corp.		53,835
	13,700	Magna International, Inc. (b)		754,880
	1,495	Magna International, Inc. (b)		82,404
	133,000	Manulife Financial Corp. (a) (b)		3,156,563
	92,987	Manulife Financial Corp. (a) (b)		2,207,511
	2,600	Martinrea International, Inc.		26,629
	1,500	National Bank of Canada		117,080
	18,600	Nutrien Ltd. (a) (b)		970,876
	18,528	Nutrien Ltd. (a) (b)		967,903
	12,100	Onex Corp.		901,114
	4,046	Open Text Corp. (a)		155,731
	52,400	Parex Resources, Inc.		845,566
	42,400	Power Corp. of Canada		1,224,996
	38,200	Quebecor, Inc. – Class B		893,393
	7,900	Resolute Forest Products, Inc. * (d)		15,800
	4,600	Rogers Sugar, Inc.		17,591
	15,000	Russel Metals, Inc.		491,508
	5,900	Sleep Country Canada Holdings, Inc.		124,551
	2,300	Spin Master Corp.		54,757
	10,800	Stella-Jones, Inc.		607,184
	20,400	Sun Life Financial, Inc. (a) (b)		1,083,471
	10,799	Sun Life Financial, Inc. (a) (b)		573,643
	1,292	Teekay Tankers Ltd. – Class A		70,827
	21,500	Toronto-Dominion Bank (a) (b)		1,290,966
	5,044	Toronto-Dominion Bank (a) (b)		302,640
	1,200	Wajax Corp.		30,143
	25,300	West Fraser Timber Co. Ltd. (b) (c)		2,036,080
	4,227	West Fraser Timber Co. Ltd. (b) (c)		340,274
		Total Canada		35,521,285
		Chile — 0.1%
	178,131	Cencosud SA		319,792
	1,696,576	Colbun SA		233,203
	28,340	Empresas CMPC SA		50,310
	20,391	Enel Chile SA ADR		61,173
		Total Chile		664,478
		China — 2.7%
	116,000	361 Degrees International Ltd.		61,938
	444,500	3SBio, Inc.		293,274
	5,738,000	Agricultural Bank of China Ltd. – Class H		2,353,989
	22,981	Alibaba Group Holding Ltd. Sponsored ADR (a)		1,701,283
	449,000	BAIC Motor Corp. Ltd. – Class H		134,074
	3,599	Baidu, Inc. ADR * (a)		364,687
	426,091	Bank of Communications Co. Ltd. – Class H		279,152
	71,000	Beijing Enterprises Holdings Ltd.		267,089
	1,716,000	China Cinda Asset Management Co. Ltd. – Class H		164,311
	254,000	China Communications Services Corp. Ltd. – Class H		107,894
	6,752,000	China Construction Bank Corp. – Class H		4,187,294

Shares		Description	Value ($)
		China — continued
	116,000	China Dongxiang Group Co. Ltd.		5,611
	780,000	China Energy Engineering Corp. Ltd. – Class H		71,652
	519,000	China Everbright Environment Group Ltd.		192,784
	1,058,000	China Greenfresh Group Co. Ltd. * (e)		—
	378,000	China Lesso Group Holdings Ltd.		179,775
	168,645	China Medical System Holdings Ltd.		277,231
	204,000	China Overseas Grand Oceans Group Ltd.		52,213
	227,000	China Overseas Land & Investment Ltd.		335,238
	3,682,000	China Petroleum & Chemical Corp. – Class H		2,028,610
	1,912,042	China Railway Group Ltd. – Class H		931,333
	356,000	China Reinsurance Group Corp. – Class H		21,093
	387,500	China Resources Pharmaceutical Group Ltd.		262,081
	19,000	China Shineway Pharmaceutical Group Ltd.		21,387
	224,000	China State Construction International Holdings Ltd.		249,606
	1,776,400	China Zhongwang Holdings Ltd. * (e)		—
	849,000	CITIC Ltd.		854,070
	1,251,500	COSCO Shipping Holdings Co. Ltd. – Class H		1,347,290
	671,000	CRRC Corp. Ltd. – Class H		345,466
	794,000	CSPC Pharmaceutical Group Ltd.		618,407
	604,000	Dongfeng Motor Group Co. Ltd. – Class H		258,366
	35,000	Fosun International Ltd.		20,193
	219,000	Fufeng Group Ltd.		134,265
	38,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. – Class H		99,001
	264,600	Haier Smart Home Co. Ltd. – Class H		801,378
	211,000	Industrial & Commercial Bank of China Ltd. – Class H		108,161
	99,750	Kingboard Holdings Ltd.		195,656
	74,800	Legend Holdings Corp. – Class H		62,352
	1,764,000	Lenovo Group Ltd.		1,948,742
	30,281	Livzon Pharmaceutical Group, Inc. – Class H		106,024
	249,000	Lonking Holdings Ltd.		41,838
	593,000	Metallurgical Corp. of China Ltd. – Class H		119,522
	23,500	NetDragon Websoft Holdings Ltd.		33,763
	2,690	NetEase, Inc. ADR		290,305
	1,526,000	PetroChina Co. Ltd. – Class H		1,196,859
	1,556,000	PICC Property & Casualty Co. Ltd. – Class H		2,127,237
	216,000	Poly Property Group Co. Ltd.		39,686
	177,700	Shanghai Pharmaceuticals Holding Co. Ltd. – Class H		285,760
	147,500	Sinopec Engineering Group Co. Ltd. – Class H		80,872
	386,000	Sinopharm Group Co. Ltd. – Class H		1,080,195
	206,000	Sinotruk Hong Kong Ltd.		544,973
	332,000	Skyworth Group Ltd.		116,718
	58,000	SSY Group Ltd.		32,488
	151,000	TCL Electronics Holdings Ltd.		55,190
	49,172	Tencent Holdings Ltd.		1,722,525

31 See accompanying notes to the financial statements.  

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		China — continued
	28,000	Tianjin Port Development Holdings Ltd.		1,821
	14,000	Tianneng Power International Ltd. (c)		12,621
	54,000	Yadea Group Holdings Ltd.		84,838
		Total China		29,310,181
		Colombia — 0.0%
	13,512	Ecopetrol SA Sponsored ADR		158,090
		Czech Republic — 0.0%
	55,773	Moneta Money Bank AS		244,825
	212	Philip Morris CR AS		140,369
		Total Czech Republic		385,194
		Denmark — 0.6%
	536	AP Moller - Maersk AS – Class A (a)		728,088
	992	AP Moller - Maersk AS – Class B (a)		1,407,790
	66,076	Danske Bank AS		1,943,966
	1,614	Genmab AS *		448,402
	39,688	H Lundbeck AS		192,145
	857	Matas AS		14,696
	6,508	Pandora AS		1,052,475
	2,749	ROCKWOOL AS – B Shares		879,819
	2,359	Scandinavian Tobacco Group AS		43,344
		Total Denmark		6,710,725
		Egypt — 0.1%
	19,325	Abou Kir Fertilizers & Chemical Industries		41,975
	99,104	Commercial International Bank - Egypt (CIB)		234,649
	230,116	Eastern Co. SAE		269,974
	100,947	Misr Fertilizers Production Co. SAE		205,870
		Total Egypt		752,468
		Finland — 0.5%
	7,978	Kemira OYJ		143,729
	25,027	Neste OYJ		686,043
	659,459	Nokia OYJ		2,324,654
	83,157	Outokumpu OYJ		368,345
	70,393	Stora Enso OYJ – R Shares		890,021
	12,327	TietoEVRY OYJ (a)		287,748
	13,769	Valmet OYJ		360,921
		Total Finland		5,061,461
		France — 3.5%
	7,396	ALD SA		45,353
	1,542	Amundi SA		101,604
	13,183	APERAM SA		403,132
	64,225	ArcelorMittal SA		1,675,334
	6,059	Arkema SA		628,027
	5,967	AXA SA (a)		212,437
	261	Axway Software SA (a)		7,333
	40,212	BNP Paribas SA		2,413,524
	8,328	Carrefour SA		139,922

Shares		Description	Value ($)
		France — continued
	47,314	Cie de Saint-Gobain SA (a)		3,647,464
	9,877	Cie Generale des Etablissements Michelin SCA		365,513
	31,605	Coface SA		453,739
	26,728	Credit Agricole SA		362,508
	8,028	Derichebourg SA		36,498
	3,269	Etablissements Maurel et Prom SA		17,713
	3,145	Eurazeo SE		266,068
	5,949	Ipsen SA		653,516
	2,608	IPSOS SA		181,949
	1,501	LVMH Moet Hennessy Louis Vuitton SE (a)		1,370,015
	3,149	Metropole Television SA		42,901
	85,774	Orange SA (a)		983,224
	19,231	Publicis Groupe SA (a)		2,034,745
	6,843	Quadient SA		144,300
	37,041	Renault SA		1,546,592
	31,576	Rexel SA		810,592
	10,564	Rubis SCA (a)		277,827
	9,862	Safran SA (a)		2,067,967
	43,360	Sanofi SA		4,132,838
	741	SEB SA		87,814
	2,418	Societe BIC SA		174,702
	102,815	Societe Generale SA		2,496,927
	45,296	STMicroelectronics NV - NY Shares		2,066,404
	640	Technip Energies NV		13,918
	26,513	Television Francaise 1 SA		242,824
	97,570	TotalEnergies SE		6,219,029
	7,812	Valeo SE		90,151
	129,944	Vivendi SE		1,452,077
		Total France		37,866,481
		Germany — 1.1%
	4,034	1&1 AG		74,605
	109	Amadeus Fire AG		12,842
	9,400	Bayerische Motoren Werke AG		1,111,908
	8,956	Beiersdorf AG (a)		1,283,761
	7,879	Continental AG		632,015
	14,638	Daimler Truck Holding AG (a)		598,027
	7,930	Deutsche Pfandbriefbank AG (c)		33,036
	20,198	Deutz AG		125,674
	141	Draegerwerk AG & Co. KGaA		6,293
	32,113	Fresenius SE & Co. KGaA (a)		899,330
	3,707	Heidelberg Materials AG		359,945
	3,468	Henkel AG & Co. KGaA (a)		233,975
	427	Hornbach Holding AG & Co. KGaA		31,852
	1,991	Infineon Technologies AG		71,488
	23,116	Kloeckner & Co. SE		162,165
	274	Krones AG		33,877
	42,296	Mercedes-Benz Group AG (a)		3,370,348
	45,615	ProSiebenSat.1 Media SE		299,305
	969	RTL Group SA		35,778
	3,875	SAF-Holland SE		73,484
	2,496	Salzgitter AG		64,047

  See accompanying notes to the financial statements. 32

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Germany — continued
	5,193	SAP SE (a)		973,133
	1,783	Siemens AG (Registered) (a)		352,978
	16,178	Talanx AG		1,154,798
	1,356	Volkswagen AG		213,411
		Total Germany		12,208,075
		Greece — 0.1%
	37,106	Eurobank Ergasias Services & Holdings SA – Class A*		76,744
	12,055	FF Group * (e)		—
	13,691	JUMBO SA		400,258
	12,308	Mytilineos SA		479,307
	14,160	National Bank of Greece SA *		111,184
	1,600	OPAP SA		29,167
		Total Greece		1,096,660
		Hong Kong — 0.8%
	100,200	ASMPT Ltd.		1,228,906
	26,600	Bank of East Asia Ltd.		33,223
	46,000	BOC Hong Kong Holdings Ltd.		120,852
	29,000	Chow Sang Sang Holdings International Ltd.		35,599
	234,000	CITIC Telecom International Holdings Ltd.		89,055
	126,000	CK Asset Holdings Ltd.		579,602
	186,500	CK Hutchison Holdings Ltd.		942,027
	22,400	Dah Sing Financial Holdings Ltd.		46,778
	108,000	E-Commodities Holdings Ltd.		23,120
	164,000	First Pacific Co. Ltd.		66,071
	137,693	Galaxy Entertainment Group Ltd.		749,706
	104,000	Giordano International Ltd.		26,832
	34,500	Health & Happiness H&H International Holdings Ltd.		51,534
	93,000	HKT Trust & HKT Ltd. – Class SS		113,391
	206,000	IGG, Inc. *		96,127
	62,500	Johnson Electric Holdings Ltd.		85,010
	50,000	K Wah International Holdings Ltd.		13,265
	9,500	Kerry Logistics Network Ltd.		10,662
	68,500	Kerry Properties Ltd.		112,563
	29,800	Luk Fook Holdings International Ltd.		79,682
	52,500	Orient Overseas International Ltd.		812,980
	140,000	Pacific Basin Shipping Ltd.		40,797
	133,000	Pacific Textiles Holdings Ltd.		21,074
	58,000	Shun Tak Holdings Ltd. *		6,144
	32,500	SmarTone Telecommunications Holdings Ltd.		16,804
	102,000	Sun Hung Kai Properties Ltd. (a)		1,026,352
	97,000	Swire Pacific Ltd. – Class A		803,541
	13,800	Swire Properties Ltd.		28,386
	39,000	Texhong International Group Ltd. *		19,005
	46,000	Texwinca Holdings Ltd.		4,756
	190,000	VSTECS Holdings Ltd.		99,256
	29,000	VTech Holdings Ltd.		167,520
	1,742,500	WH Group Ltd.		1,047,165
	36,000	Xinyi Glass Holdings Ltd.		36,593

Shares		Description	Value ($)
		Hong Kong — continued
	71,000	Yue Yuen Industrial Holdings Ltd.		74,006
		Total Hong Kong		8,708,384
		Hungary — 0.4%
	35,594	MOL Hungarian Oil & Gas PLC		283,106
	62,872	OTP Bank Nyrt		3,016,980
	21,024	Richter Gedeon Nyrt		559,391
		Total Hungary		3,859,477
		India — 3.3%
	42,762	Arvind Ltd.		144,872
	67,170	Aurobindo Pharma Ltd.		831,177
	1,608	Bajaj Auto Ltd.		153,588
	156,421	Bharat Petroleum Corp. Ltd.		1,143,452
	9,008	Castrol India Ltd.		22,660
	29,334	Chambal Fertilisers & Chemicals Ltd.		125,486
	23,945	Chennai Petroleum Corp. Ltd.		256,173
	5,787	Cipla Ltd.		102,964
	2,218	Colgate-Palmolive India Ltd.		67,588
	3,518	Coromandel International Ltd.		45,433
	2,077	Deepak Fertilisers & Petrochemicals Corp. Ltd.		12,685
	9,928	Dhampur Bio Organics Ltd.		16,338
	22,264	Dr Reddy’s Laboratories Ltd. ADR		1,709,430
	9,141	Dr Reddy’s Laboratories Ltd.		707,110
	25,437	Engineers India Ltd.		64,331
	53,261	Exide Industries Ltd.		205,403
	753,180	GAIL India Ltd.		1,658,667
	4,013	GHCL Ltd.		24,819
	19,344	Glenmark Pharmaceuticals Ltd.		216,069
	8,607	Great Eastern Shipping Co. Ltd.		103,815
	11,067	Gujarat Narmada Valley Fertilizers & Chemicals Ltd.		85,518
	124,249	Gujarat State Fertilizers & Chemicals Ltd.		327,343
	54,157	HCL Technologies Ltd.		1,091,284
	7,355	Hero MotoCorp Ltd.		390,699
	178,351	Hindalco Industries Ltd.		1,087,554
	113,506	Hindustan Petroleum Corp. Ltd.		705,466
	265,006	Indiabulls Housing Finance Ltd.		608,380
	871,409	Indian Oil Corp. Ltd.		1,753,496
	21,300	Infosys Ltd. Sponsored ADR (c)		425,148
	13,665	Infosys Ltd.		275,018
	890,684	ITC Ltd.		4,365,488
	19,863	JM Financial Ltd.		23,269
	59,717	Karnataka Bank Ltd.		164,044
	19,940	LIC Housing Finance Ltd.		156,089
	3,705	Mahanagar Gas Ltd.		66,240
	298,398	Manappuram Finance Ltd.		638,012
	7,578	Muthoot Finance Ltd.		118,299
	26,883	NCC Ltd.		80,082
	289,638	NMDC Ltd.		787,952
	98,308	NMDC Steel Ltd. *		72,910
	2,041,249	Oil & Natural Gas Corp. Ltd.		6,518,541

33 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		India — continued
	85,817	Petronet LNG Ltd.		282,812
	478,575	Power Finance Corp. Ltd.		2,314,049
	420,983	Power Grid Corp. of India Ltd.		1,442,855
	37,580	PTC India Ltd.		91,624
	37,306	Rashtriya Chemicals & Fertilizers Ltd.		63,739
	391,144	REC Ltd.		2,091,057
	15,914	Redington Ltd.		40,064
	266	Reliance Industries Ltd.		9,391
	6,490	RITES Ltd.		62,498
	11,839	Shipping Corp. of India Ltd.		34,083
	7,672	Shriram Finance Ltd.		225,307
	34,902	Sun TV Network Ltd.		260,844
	7,700	Tata Consultancy Services Ltd.		381,510
	16,956	Vardhman Textiles Ltd.		87,282
	8,866	Welspun Corp. Ltd.		54,889
	41,144	Wipro Ltd.		257,878
	4,504	Zensar Technologies Ltd.		29,795
	63,575	Zydus Lifesciences Ltd.		724,795
		Total India		35,807,364
		Indonesia — 0.6%
	1,214,400	AKR Corporindo Tbk. PT		131,413
	845,600	Aneka Tambang Tbk. PT		78,536
	242,200	Astra International Tbk. PT		80,628
	3,464,500	Bank Central Asia Tbk. PT		2,180,092
	1,806,292	Bank Mandiri Persero Tbk. PT		806,823
	2,606,700	Bank Negara Indonesia Persero Tbk. PT		996,239
	2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk. PT		99,569
	4,314,600	Bank Rakyat Indonesia Persero Tbk. PT		1,681,329
	530,200	Indofood Sukses Makmur Tbk. PT		223,617
	2,482,700	Kalbe Farma Tbk. PT		235,035
	296,100	Medco Energi Internasional Tbk. PT		24,621
	2,116,700	Media Nusantara Citra Tbk. PT		43,953
		Total Indonesia		6,581,855
		Ireland — 0.3%
	9,210	AIB Group PLC		42,758
	74,583	Bank of Ireland Group PLC		651,332
	1,187	Kingspan Group PLC		107,339
	15,644	Origin Enterprises PLC		53,550
	9,611	Permanent TSB Group Holdings PLC *		16,294
	13,800	Ryanair Holdings PLC Sponsored ADR (a)		1,907,850
		Total Ireland		2,779,123
		Israel — 0.2%
	1,809	Check Point Software Technologies Ltd. * (c)		290,200
	14,349	Israel Discount Bank Ltd. – Class A		74,864
	189,590	Oil Refineries Ltd.		78,066
	147,421	Teva Pharmaceutical Industries Ltd. Sponsored ADR*		1,938,586

Shares		Description	Value ($)
		Israel — continued
	14,260	Teva Pharmaceutical Industries Ltd. *		187,420
		Total Israel		2,569,136
		Italy — 1.8%
	38,827	Anima Holding SpA		174,887
	16,819	Banca IFIS SpA		305,777
	306,793	Banco BPM SpA		1,786,093
	184,711	BPER Banca		741,585
	1,962	Buzzi SpA		66,297
	17,700	Credito Emiliano SpA		169,314
	156,451	Eni SpA		2,409,100
	900	Eni SpA Sponsored ADR		27,675
	6,234	Esprinet SpA		34,570
	17,946	Hera SpA (a)		62,028
	59,081	Intesa Sanpaolo SpA		188,138
	128,537	Leonardo SpA		2,748,140
	14,483	MFE-MediaForEurope NV – Class A		33,041
	19,593	Pirelli & C SpA		115,598
	17,235	Poste Italiane SpA		202,155
	215,881	Stellantis NV (a)		5,647,359
	2,918,907	Telecom Italia SpA *		877,561
	16,700	Tenaris SA ADR		587,840
	34,935	UniCredit SpA		1,170,134
	1,495	Unieuro SpA (c)		14,670
	239,512	Unipol Gruppo SpA		1,926,387
		Total Italy		19,288,349
		Japan — 15.1%
	5,100	Aichi Corp.		37,002
	55,300	Amano Corp.		1,354,775
	2,800	AOKI Holdings, Inc.		20,911
	3,600	Bando Chemical Industries Ltd.		41,127
	3,400	Bell System24 Holdings, Inc.		38,583
	27,400	Bridgestone Corp.		1,176,625
	39,600	Brother Industries Ltd.		664,417
	4,400	Canon Marketing Japan, Inc.		131,047
	19,200	Canon, Inc. (a)		561,501
	2,900	Central Glass Co. Ltd.		55,503
	1,300	Chiyoda Integre Co. Ltd.		22,719
	21,200	Chubu Electric Power Co., Inc. (a)		263,861
	144,400	Credit Saison Co. Ltd.		2,809,033
	2,200	Dai Nippon Printing Co. Ltd. (a)		64,260
	1,100	Dai Nippon Toryo Co. Ltd.		8,455
	27,800	Daicel Corp.		262,929
	3,000	Dai-Dan Co. Ltd.		37,217
	27,000	Daido Steel Co. Ltd.		319,572
	3,600	Daiichi Jitsugyo Co. Ltd.		47,799
	34,900	Daiwa House Industry Co. Ltd.		1,007,718
	122,300	Daiwabo Holdings Co. Ltd.		2,144,196
	4,900	DCM Holdings Co. Ltd. (c)		47,163
	141,800	Denka Co. Ltd.		2,325,872
	1,600	DTS Corp. (a)		43,077
	3,700	EDION Corp.		37,966

  See accompanying notes to the financial statements. 34

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Japan — continued
	133,400	ENEOS Holdings, Inc.		575,566
	58,200	EXEO Group, Inc.		1,223,545
	142,600	Fuji Corp.		2,456,242
	44,600	FUJIFILM Holdings Corp.		2,840,872
	212,900	Fujikura Ltd.		2,605,258
	900	Fujitsu Ltd. (a)		140,645
	900	Fuyo General Lease Co. Ltd.		82,288
	177,800	H.U. Group Holdings, Inc.		3,045,323
	4,200	Hanwa Co. Ltd.		159,796
	12,600	Haseko Corp.		155,895
	14,400	Hazama Ando Corp. (c)		118,828
	52,100	Hogy Medical Co. Ltd.		1,256,550
	162,900	Honda Motor Co. Ltd.		1,935,669
	61,073	Honda Motor Co. Ltd. Sponsored ADR		2,173,588
	5,900	Horiba Ltd.		576,747
	9,000	Hosiden Corp.		116,915
	76,500	Idemitsu Kosan Co. Ltd.		483,751
	12,300	Inabata & Co. Ltd.		262,608
	271,200	Inpex Corp.		3,614,746
	231,900	Isuzu Motors Ltd.		3,308,964
	104,800	ITOCHU Corp. (a)		4,552,609
	2,000	Itochu Enex Co. Ltd.		20,423
	500	Itochu-Shokuhin Co. Ltd.		25,250
	5,000	Itoki Corp.		54,903
	1,900	Jaccs Co. Ltd.		69,390
	13,200	Japan Petroleum Exploration Co. Ltd. (c)		536,056
	104,300	Japan Tobacco, Inc. (a)		2,709,349
	6,300	Kaga Electronics Co. Ltd.		279,986
	29,100	Kajima Corp.		540,256
	3,500	Kamei Corp.		44,314
	10,500	Kandenko Co. Ltd.		119,848
	230,000	Kanematsu Corp.		3,669,952
	10,200	Kansai Electric Power Co., Inc. (a)		130,447
	25,000	Kawasaki Kisen Kaisha Ltd. (a)		1,193,275
	17,300	KDDI Corp. (a)		523,009
	145,900	Kirin Holdings Co. Ltd.		2,028,322
	3,000	Kohnan Shoji Co. Ltd.		84,253
	3,800	Kokuyo Co. Ltd.		60,109
	38,100	Komatsu Ltd. (a)		1,105,970
	1,600	Komeri Co. Ltd.		37,253
	23,000	Konoike Transport Co. Ltd.		285,375
	3,000	Kyokuto Kaihatsu Kogyo Co. Ltd.		49,942
	33,800	Kyudenko Corp.		1,314,834
	2,500	Life Corp.		64,296
	356,400	Macromill, Inc.		1,811,195
	31,200	Marubeni Corp. (a)		517,046
	80,500	Maruichi Steel Tube Ltd.		2,107,272
	1,000	Maruzen Showa Unyu Co. Ltd.		29,727
	1,300	Matsuda Sangyo Co. Ltd.		20,326
	139,200	Maxell Ltd.		1,447,156
	104,700	Mazda Motor Corp.		1,215,830
	900	Melco Holdings, Inc.		19,621
	25,400	Mirarth Holdings, Inc.		82,781
	47,700	Mitsubishi Corp. (a)		1,023,143

Shares		Description	Value ($)
		Japan — continued
	250,500	Mitsubishi Electric Corp. (a)		3,989,959
	2,000	Mitsubishi Gas Chemical Co., Inc.		32,598
	7,700	Mitsubishi HC Capital, Inc.		53,206
	1,800	Mitsubishi Research Institute, Inc. (a)		60,609
	352,600	Mitsubishi UFJ Financial Group, Inc.		3,622,191
	50,900	Mitsui & Co. Ltd. (a)		2,235,657
	3,100	Mitsui DM Sugar Holdings Co. Ltd.		66,837
	77,300	Mitsui OSK Lines Ltd. (a)		2,647,213
	2,500	Mitsui-Soko Holdings Co. Ltd.		78,602
	8,300	Mizuho Financial Group, Inc.		155,061
	3,000	Mizuho Leasing Co. Ltd.		110,257
	87,400	Morinaga & Co. Ltd.		1,566,772
	26,600	MS&AD Insurance Group Holdings, Inc. (a)		1,329,261
	55,300	NEC Corp. (a)		3,732,595
	87,100	NH Foods Ltd.		3,044,209
	6,900	Nichias Corp.		181,389
	2,200	Nichiha Corp.		51,069
	5,200	Nichireki Co. Ltd.		83,151
	2,000	Nippon Densetsu Kogyo Co. Ltd.		27,020
	3,100	Nippon Soda Co. Ltd.		127,127
	19,400	Nippon Television Holdings, Inc.		274,730
	146,400	Nippon Yusen KK		4,662,320
	29,100	Nissan Motor Co. Ltd.		114,644
	1,500	Nissin Corp.		28,405
	600	Nittetsu Mining Co. Ltd.		20,071
	800	Nitto Denko Corp.		73,555
	9,100	Nojima Corp.		102,364
	1,600	Noritake Co. Ltd.		89,330
	3,800	Okamura Corp.		55,520
	41,900	Ono Pharmaceutical Co. Ltd.		693,847
	54,700	ORIX Corp. (a)		1,149,276
	1,700	Otsuka Corp. (a)		74,752
	25,400	Otsuka Holdings Co. Ltd.		1,030,643
	182,600	Pacific Industrial Co. Ltd.		1,844,298
	14,400	PAL GROUP Holdings Co. Ltd. (c)		218,961
	209,700	Panasonic Holdings Corp.		1,982,426
	339,800	Penta-Ocean Construction Co. Ltd.		1,760,451
	2,200	Prima Meat Packers Ltd.		33,261
	1,400	Recruit Holdings Co. Ltd. (a)		56,470
	37,000	Renesas Electronics Corp.		611,354
	500	Restar Holdings Corp.		10,169
	148,200	Rohm Co. Ltd.		2,524,839
	800	Roland DG Corp.		26,789
	29,600	San-A Co. Ltd. (c)		910,085
	8,800	Sanki Engineering Co. Ltd.		117,181
	63,300	Sankyu, Inc.		2,238,310
	21,000	Sanwa Holdings Corp.		372,745
	14,800	Seiko Epson Corp.		239,576
	14,900	Sekisui Chemical Co. Ltd.		210,082
	127,300	Sekisui House Ltd.		2,835,693
	2,900	Sekisui Jushi Corp.		49,636
	11,600	Shimamura Co. Ltd.		617,614
	36,300	Shionogi & Co. Ltd.		1,807,263

35 See accompanying notes to the financial statements.  

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Japan — continued
	800	Sinanen Holdings Co. Ltd.		22,762
	1,500	Sinko Industries Ltd.		33,576
	13,800	SKY Perfect JSAT Holdings, Inc.		81,920
	77,560	Sojitz Corp.		1,969,744
	3,300	Sompo Holdings, Inc.		193,465
	136,800	Stanley Electric Co. Ltd.		2,345,211
	80,000	Subaru Corp.		1,810,063
	192,800	SUMCO Corp.		3,025,772
	81,400	Sumitomo Corp.		1,910,940
	87,000	Sumitomo Forestry Co. Ltd.		2,482,998
	4,100	Sumitomo Heavy Industries Ltd.		122,184
	52,400	Sumitomo Mitsui Financial Group, Inc.		2,919,440
	114,000	Sumitomo Mitsui Trust Holdings, Inc.		2,310,008
	181,800	T&D Holdings, Inc.		3,164,124
	200	Takasago Thermal Engineering Co. Ltd.		5,832
	2,700	Tamron Co. Ltd.		117,322
	15,500	TDK Corp.		808,121
	142,100	THK Co. Ltd.		3,131,629
	202,700	Tokai Carbon Co. Ltd.		1,337,203
	306,000	Tokyo Electric Power Co. Holdings, Inc. * (a)		1,655,398
	78,100	Tokyo Gas Co. Ltd. (a)		1,709,467
	3,600	TOPPAN Holdings, Inc. (a)		85,801
	145,200	Tosei Corp.		1,982,920
	52,400	Tosoh Corp.		714,038
	2,300	Toyo Construction Co. Ltd. (c)		21,928
	15,600	Toyota Industries Corp. (a)		1,554,430
	36,700	Toyota Tsusho Corp.		2,377,553
	3,600	Wacoal Holdings Corp.		87,685
	7,100	YAMABIKO Corp.		87,655
	43,800	Yamaha Corp.		957,860
	412,100	Yamaha Motor Co. Ltd.		3,694,613
	2,600	Yamato Kogyo Co. Ltd.		145,109
	5,300	Yamazen Corp.		44,912
	200	Yellow Hat Ltd.		2,611
	95,200	Yokogawa Bridge Holdings Corp.		1,812,901
	2,900	Yuasa Trading Co. Ltd.		97,237
	48,100	Zenkoku Hosho Co. Ltd.		1,765,380
		Total Japan		165,051,897
		Kuwait — 0.0%
	12,821	Humansoft Holding Co. KSC		140,359
		Malaysia — 0.1%
	74,400	AMMB Holdings Bhd		68,105
	398,800	CIMB Group Holdings Bhd		543,077
	323,000	Dialog Group Bhd		142,935
	39,400	IOI Corp. Bhd		33,036
	116,300	Kossan Rubber Industries Bhd		46,070
	93,700	KPJ Healthcare Bhd		32,566
	90,900	Malayan Banking Bhd		182,628
	73,200	MISC Bhd		117,355
	94,700	Petronas Chemicals Group Bhd		139,775
	28,800	PPB Group Bhd		94,692

Shares		Description	Value ($)
		Malaysia — continued
	81,700	Telekom Malaysia Bhd		104,213
		Total Malaysia		1,504,452
		Mexico — 1.0%
	77,933	Arca Continental SAB de CV		840,131
	63,400	Banco del Bajio SA		234,678
	5,713	Coca-Cola Femsa SAB de CV Sponsored ADR		554,447
	495,200	Credito Real SAB de CV SOFOM ER * (e)		—
	28,310	El Puerto de Liverpool SAB de CV – Class C1		207,422
	163,707	Fomento Economico Mexicano SAB de CV		2,038,336
	2,761	Fomento Economico Mexicano SAB de CV Sponsored ADR		343,027
	8,539	Grupo Aeroportuario del Centro Norte SAB de CV		74,006
	400	Grupo Aeroportuario del Centro Norte SAB de CV ADR		27,832
	224	Grupo Aeroportuario del Sureste SAB de CV ADR		65,939
	7,178	Grupo Aeroportuario del Sureste SAB de CV – Class B		210,574
	302,536	Grupo Financiero Banorte SAB de CV – Class O		3,129,331
	315,250	Grupo Mexico SAB de CV – Series B		1,537,200
	59,400	Kimberly-Clark de Mexico SAB de CV – Class A		132,048
	25,800	Qualitas Controladora SAB de CV		289,875
	10,400	Regional SAB de CV		97,018
	8,151	Unifin Financiera SAB de CV * (e)		—
	149,835	Wal-Mart de Mexico SAB de CV		598,487
		Total Mexico		10,380,351
		Netherlands — 2.2%
	12,074	ABN AMRO Bank NV GDR		194,380
	139,079	Aegon Ltd.		835,894
	20,547	AerCap Holdings NV *		1,585,817
	14,519	ASR Nederland NV		670,121
	44,589	EXOR NV (a)		4,816,330
	9,049	ForFarmers NV		23,746
	260,660	ING Groep NV		3,587,161
	5,100	JDE Peet’s NV		116,462
	131,959	Koninklijke Ahold Delhaize NV (a)		3,929,983
	41,033	Koninklijke KPN NV (a)		149,994
	139,660	Koninklijke Philips NV (a)		2,813,765
	26,547	NN Group NV		1,184,731
	5,270	Prosus NV		153,926
	38,821	Randstad NV (a)		2,141,135
	38,551	Signify NV		1,035,995
	1,766	Van Lanschot Kempen NV		60,152
	2,570	Wolters Kluwer NV (a)		405,854
		Total Netherlands		23,705,446

  See accompanying notes to the financial statements. 36

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		New Zealand — 0.0%
	83,962	Meridian Energy Ltd. (a)		305,731
		Norway — 0.6%
	35,701	BW LPG Ltd.		411,117
	14,566	DNB Bank ASA		291,666
	133,671	DNO ASA		113,523
	152,332	Elkem ASA		302,630
	154,200	Equinor ASA		3,799,299
	34,425	Europris ASA		237,407
	85,635	Hafnia Ltd.		630,192
	23,601	Hoegh Autoliners ASA		230,330
	18,539	Odfjell Drilling Ltd.		78,100
	12,822	Orkla ASA		91,918
	3,159	Selvaag Bolig ASA		9,813
	4,613	Stolt-Nielsen Ltd.		172,973
	4,487	Storebrand ASA		40,111
	24,753	Wallenius Wilhelmsen ASA		237,463
		Total Norway		6,646,542
		Pakistan — 0.0%
	26,387	Attock Refinery Ltd.		32,359
	47,530	Engro Fertilizers Ltd.		25,035
	352,625	Oil & Gas Development Co. Ltd.		158,080
	388,715	Pakistan Petroleum Ltd.		158,689
		Total Pakistan		374,163
		Philippines — 0.0%
	233,080	Megaworld Corp.		8,009
		Poland — 0.6%
	5,274	Asseco Poland SA		99,043
	29,434	Bank Polska Kasa Opieki SA		1,276,652
	1,667	Budimex SA		304,712
	43,363	Cyfrowy Polsat SA *		127,348
	149	Grupa Kety SA		26,315
	30,573	Orange Polska SA		62,572
	196,071	ORLEN SA		3,045,634
	62,187	Powszechny Zaklad Ubezpieczen SA		765,225
	2,513	Santander Bank Polska SA		346,562
		Total Poland		6,054,063
		Portugal — 0.0%
	26,375	EDP - Energias de Portugal SA		105,036
	37,937	Navigator Co. SA		154,291
	300,364	Sonae SGPS SA		276,371
		Total Portugal		535,698
		Qatar — 0.0%
	76,454	Industries Qatar QSC		271,112
	70,560	Ooredoo QPSC		220,448
	6,038	Qatar National Bank QPSC		25,267
		Total Qatar		516,827

Shares		Description	Value ($)
		Russia — 0.0%
	3,038,020	Alrosa PJSC (e) (f)		23,700
	160,792,062	Federal Grid Co.-Rosseti PJSC * (e)		2,107
	68,395	Fix Price Group PLC GDR (e)		1,615
	180,610	Gazprom Neft PJSC (e)		15,826
	2,050,858	Gazprom PJSC * (e)		36,221
	6,310,100	Inter RAO UES PJSC (e)		2,794
	19,776	LSR Group PJSC (e)		2,125
	1	LSR Group PJSC GDR* (e)		—
	74,944	LUKOIL PJSC (e)		60,586
	1,863,335	Magnitogorsk Iron & Steel Works PJSC * (e) (f)		11,137
	25,400	Mechel PJSC * (e) (f)		764
	4,554	MMC Norilsk Nickel PJSC (e)		7,272
	1	MMC Norilsk Nickel PJSC ADR * (e)		—
	16,770	Mobile TeleSystems PJSC (e)		533
	361,420	Moscow Exchange MICEX-Rates PJSC (e)		7,875
	3,294,000	Mosenergo PJSC (e)		1,228
	75,720	Novatek PJSC (e)		11,164
	1,212,010	Novolipetsk Steel PJSC * (e)		26,386
	3,466	PhosAgro PJSC (e)		2,552
	67	PhosAgro PJSC GDR * (e) (f)		16
	10,215	Polyus PJSC * (e) (f)		12,299
	1	Polyus PJSC GDR (Registered) * (e) (f)		1
	5,248	Ros Agro PLC GDR* (e)		813
	24,471,200	RusHydro PJSC (e)		2,019
	3,677,652	Sberbank of Russia PJSC (e) (f)		117,765
	425	Severstal PAO * (e) (f)		77
	91,185	Severstal PAO GDR (Registered) * (e) (f)		16,540
	11,580	SFI PJSC (e)		1,955
	5,940,620	Surgutneftegas PJSC (e)		19,088
	332,388	Tatneft PJSC (e)		26,191
	1,300,440	Unipro PJSC * (e)		309
	50,950	United Co. Rusal International PJSC * (e)		193
		Total Russia		411,151
		Saudi Arabia — 0.2%
	27,122	Almarai Co. JSC		425,811
	61,478	National Industrialization Co. *		216,057
	90,301	Rabigh Refining & Petrochemical Co. *		199,128
	75,470	Saudi Arabian Oil Co.		638,089
	14,748	Saudi National Bank		166,671
	25,245	Saudi Telecom Co.		285,763
		Total Saudi Arabia		1,931,519
		Singapore — 0.5%
	39,000	Bumitama Agri Ltd.		18,577
	265,400	ComfortDelGro Corp. Ltd.		266,648
	10,835	DBS Group Holdings Ltd.		268,657
	35,500	First Real Estate Investment Trust – (REIT) (c)		6,582
	84,500	First Resources Ltd.		89,307
	926,100	Golden Agri-Resources Ltd.		182,355
	208,400	Keppel Ltd.		1,123,808

37 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Singapore — continued
	126,300	Oversea-Chinese Banking Corp. Ltd.		1,219,921
	40,900	Sasseur Real Estate Investment Trust – (REIT)		20,676
	11,900	Sembcorp Industries Ltd.		45,193
	37,700	Sheng Siong Group Ltd.		43,461
	74,700	StarHub Ltd.		63,323
	13,700	United Overseas Bank Ltd.		285,078
	13,000	UOL Group Ltd.		56,952
	23,500	Venture Corp. Ltd.		244,925
	90,299	Yangzijiang Financial Holding Ltd.		23,194
	1,325,299	Yangzijiang Shipbuilding Holdings Ltd.		1,726,981
	134,400	Yanlord Land Group Ltd. *		47,033
		Total Singapore		5,732,671
		South Africa — 1.2%
	81,617	Absa Group Ltd.		696,746
	48,773	Anglo American Platinum Ltd.		1,876,232
	8,390	Aspen Pharmacare Holdings Ltd.		85,713
	54,176	AVI Ltd.		252,834
	12,901	Barloworld Ltd.		45,248
	43,165	Bidvest Group Ltd.		526,776
	23,248	Clicks Group Ltd.		363,011
	4,600	DRDGOLD Ltd. Sponsored ADR		31,050
	796,298	FirstRand Ltd.		2,693,950
	46,299	Foschini Group Ltd.		252,855
	252,470	Impala Platinum Holdings Ltd.		856,776
	37,005	Investec Ltd.		232,962
	26,151	Kumba Iron Ore Ltd.		732,202
	3,943	Metair Investments Ltd. *		2,560
	30,375	Motus Holdings Ltd.		146,751
	53,683	Mr Price Group Ltd.		476,064
	4,687	MTN Group Ltd.		20,429
	40,220	Nedbank Group Ltd.		460,129
	14,456	Ninety One Ltd.		29,484
	13,317	Reunert Ltd.		45,263
	43,492	Sanlam Ltd.		166,737
	131,690	Sappi Ltd.		316,697
	25,464	Shoprite Holdings Ltd.		343,062
	331,717	Sibanye Stillwater Ltd.		341,898
	88,600	Sibanye Stillwater Ltd. ADR		365,032
	8,311	SPAR Group Ltd. *		42,274
	19,344	Standard Bank Group Ltd.		203,731
	24,120	Tiger Brands Ltd.		250,476
	175,421	Truworths International Ltd.		658,026
	10,469	Vodacom Group Ltd.		51,405
	33,445	Woolworths Holdings Ltd.		111,872
		Total South Africa		12,678,245
		South Korea — 2.6%
	9,779	ABOV Semiconductor Co. Ltd.		125,911
	59,439	BNK Financial Group, Inc.		335,149
	9,196	Cheil Worldwide, Inc.		127,755
	11,217	Coway Co. Ltd.		456,557

Shares		Description	Value ($)
		South Korea — continued
	10,450	Daou Data Corp.		108,279
	2,507	DB Insurance Co. Ltd. *		186,031
	35,952	Dongwon Development Co. Ltd.		81,076
	2,205	F&F Co. Ltd.		119,887
	2,329	Fila Holdings Corp.		67,125
	15,213	GS Holdings Corp.		549,140
	19,629	Hana Financial Group, Inc.		835,173
	1,994	Handsome Co. Ltd.		28,608
	14,454	Hankook Tire & Technology Co. Ltd.		588,860
	21,275	HDC Hyundai Development Co-Engineering & Construction		317,698
	4,645	Hotel Shilla Co. Ltd.		209,646
	4,566	Hyundai Glovis Co. Ltd. *		653,690
	874	Hyundai Home Shopping Network Corp.		30,749
	3,187	Hyundai Mipo Dockyard Co. Ltd.		150,542
	10,359	Hyundai Mobis Co. Ltd.		1,889,457
	2,893	Hyundai Motor Co.		544,658
	353	INTOPS Co. Ltd.		7,703
	25,673	JB Financial Group Co. Ltd.		253,740
	3,640	JYP Entertainment Corp. *		201,463
	7,506	KB Financial Group, Inc. ADR		355,409
	647	KC Co. Ltd.		10,628
	1,095	KCC Glass Corp.		33,768
	58,781	Kia Corp. *		5,504,718
	46,501	KT&G Corp.		3,247,849
	8,069	LG Corp.		567,969
	44,768	LG Electronics, Inc.		3,200,362
	4,681	LOTTE Fine Chemical Co. Ltd.		167,126
	13,909	Mirae Asset Securities Co. Ltd. *		94,389
	1,635	Orion Corp.		114,035
	3,288	Pearl Abyss Corp. *		74,941
	817	POSCO Holdings, Inc.		265,520
	24,224	POSCO Holdings, Inc. Sponsored ADR (a) (c)		1,958,026
	1,044	PSK, Inc.		19,960
	45,213	Samsung Electronics Co. Ltd.		2,495,435
	261	Samsung Electronics Co. Ltd. GDR (a)		355,413
	22,841	SK Networks Co. Ltd. *		112,488
	16,781	SK Square Co. Ltd. *		880,544
	79,954	Woori Financial Group, Inc.		895,874
	5,850	Youngone Corp. *		193,180
		Total South Korea		28,416,531
		Spain — 1.9%
	74,875	Acerinox SA		822,152
	1,531	ACS Actividades de Construccion y Servicios SA		62,959
	21,478	Amadeus IT Group SA (a)		1,270,614
	17,671	Atresmedia Corp. de Medios de Comunicacion SA		72,396
	602,590	Banco Bilbao Vizcaya Argentaria SA		6,010,402
	2,163,951	Banco de Sabadell SA		2,814,387
	938,833	Banco Santander SA		3,912,572

  See accompanying notes to the financial statements. 38

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Spain — continued
	7,929	Cia de Distribucion Integral Logista Holdings SA		213,157
	596	Grupo Catalana Occidente SA		21,757
	69,555	Industria de Diseno Textil SA (a)		3,094,368
	141,788	Mapfre SA		301,003
	13,089	Prosegur Compania de Seguridad SA		25,071
	161,640	Repsol SA		2,567,661
		Total Spain		21,188,499
		Sweden — 0.7%
	14,699	Alleima AB		96,664
	4,628	Betsson AB – Class B (a)		45,760
	18,343	Fabege AB		150,053
	166,156	Fastighets AB Balder – B Shares*		1,033,394
	5,671	Investor AB – A Shares (a)		140,717
	125,969	Investor AB – B Shares (a)		3,169,286
	4,113	NCC AB – Class B		55,693
	9,284	Securitas AB – B Shares		99,863
	30,410	Skanska AB – B Shares		561,230
	78,092	SSAB AB – A Shares		610,717
	160,765	Telefonaktiebolaget LM Ericsson – B Shares		872,955
	4,640	Volvo AB – A Shares (a)		129,472
	40,267	Volvo AB – B Shares (a)		1,109,498
	24,175	Volvo Car AB – Class B*		88,399
		Total Sweden		8,163,701
		Switzerland — 1.3%
	73,946	Adecco Group AG (Registered) (a)		2,964,309
	393	Bobst Group SA		29,774
	5,815	Holcim AG (a)		474,618
	5,172	Logitech International SA (Registered) (b)		457,651
	558	Logitech International SA (Registered) (b)		49,004
	2,157	Mobilezone Holding AG		33,419
	8,313	Novartis AG (Registered)		838,761
	18,967	Novartis AG Sponsored ADR		1,915,098
	1,009	Roche Holding AG		278,931
	20,673	Roche Holding AG – Genusschein		5,405,184
	6,499	Sandoz Group AG ADR*		201,924
	2,647	Sandoz Group AG *		81,880
	338	Swatch Group AG		79,797
	514	Swisscom AG (Registered) (a)		293,790
	602	u-blox Holding AG		57,364
	8,056	UBS Group AG (Registered) (a) (b)		230,013
	13,495	UBS Group AG (Registered) (a) (b)		383,933
		Total Switzerland		13,775,450
		Taiwan — 3.9%
	3,414	Acter Group Corp. Ltd.		21,070
	231,072	ASE Technology Holding Co. Ltd. ADR		2,250,641
	65,000	Asustek Computer, Inc.		936,563
	352,000	Catcher Technology Co. Ltd.		2,193,176
	51,000	Chicony Electronics Co. Ltd.		302,752

Shares		Description	Value ($)
		Taiwan — continued
	150,000	Chipbond Technology Corp.		336,973
	25,000	ChipMOS Technologies, Inc.		34,897
	1,000	Chlitina Holding Ltd.		6,032
	9,280	Chong Hong Construction Co. Ltd.		22,931
	890,000	Compal Electronics, Inc.		1,027,742
	41,440	Coretronic Corp.		93,212
	47,000	Elitegroup Computer Systems Co. Ltd.		47,661
	799,200	Evergreen Marine Corp. Taiwan Ltd.		4,186,777
	91,000	Farglory Land Development Co. Ltd.		161,800
	42,701	FLEXium Interconnect, Inc.		116,686
	150,821	Foxconn Technology Co. Ltd.		237,258
	5,053	Fubon Financial Holding Co. Ltd.		10,879
	12,080	Fusheng Precision Co. Ltd.		86,082
	25,000	Giant Manufacturing Co. Ltd.		161,563
	23,000	Global Brands Manufacture Ltd.		47,526
	237,000	Grand Pacific Petrochemical		106,131
	2,000	Grape King Bio Ltd.		9,815
	1,266,318	Hon Hai Precision Industry Co. Ltd.		4,128,799
	69,000	Huaku Development Co. Ltd.		215,699
	28,279	Innodisk Corp.		273,475
	47,000	King’s Town Bank Co. Ltd.		66,411
	31,000	Kung Long Batteries Industrial Co. Ltd.		129,940
	20,000	Largan Precision Co. Ltd.		1,641,388
	97,000	Lite-On Technology Corp. ADR		336,557
	97,000	MediaTek, Inc.		3,500,372
	217,000	Micro-Star International Co. Ltd.		1,313,192
	323,000	Mitac Holdings Corp.		432,533
	15,000	momo.com, Inc.		210,933
	77,903	Nantex Industry Co. Ltd.		87,144
	5,800	Nien Made Enterprise Co. Ltd.		67,896
	133,000	Novatek Microelectronics Corp.		2,531,435
	53,000	Pegatron Corp.		143,511
	355,000	Pou Chen Corp.		342,958
	102,000	Primax Electronics Ltd.		235,020
	221,472	Radiant Opto-Electronics Corp.		1,034,236
	18,000	Realtek Semiconductor Corp.		324,415
	60,400	Ruentex Industries Ltd.		113,217
	28,760	Shin Zu Shing Co. Ltd.		153,832
	47,000	Shinkong Insurance Co. Ltd.		103,232
	38,900	Simplo Technology Co. Ltd.		525,136
	5,945	Sinmag Equipment Corp.		28,807
	20,000	T3EX Global Holdings Corp.		58,303
	19,000	TaiDoc Technology Corp.		95,528
	255,000	Taiwan Semiconductor Manufacturing Co. Ltd.		5,588,201
	24,541	Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR		3,157,690
	13,000	Taiwan Surface Mounting Technology Corp.		40,391
	7,360	Test Research, Inc.		16,996
	40,000	Transcend Information, Inc.		101,278
	41,000	Tripod Technology Corp.		270,316
	12,000	TTY Biopharm Co. Ltd.		30,771
	20,000	Tung Ho Steel Enterprise Corp.		48,894

39 See accompanying notes to the financial statements.  

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Taiwan — continued
	11,000	TXC Corp.		34,766
	3,000	United Integrated Services Co. Ltd.		27,848
	9,000	United Microelectronics Corp.		13,876
	229,850	Wan Hai Lines Ltd.		366,155
	73,000	WPG Holdings Ltd.		214,336
	1,231,000	Yang Ming Marine Transport Corp.		1,942,130
	879,895	Yuanta Financial Holding Co. Ltd.		764,648
		Total Taiwan		43,110,432
		Thailand — 0.7%
	1,493,400	AP Thailand PCL NVDR		437,566
	358,600	Bangkok Bank PCL NVDR		1,429,901
	134,700	Berli Jucker PCL NVDR		90,889
	69,100	GFPT PCL NVDR		22,910
	254,100	Kasikornbank PCL NVDR		871,974
	5,183,300	Krung Thai Bank PCL NVDR		2,326,300
	134,000	Osotspa PCL NVDR		75,845
	53,632	Pruksa Holding PCL NVDR		18,422
	218,100	PTT Exploration & Production PCL NVDR		915,876
	110,200	PTT PCL NVDR		105,183
	36,600	Regional Container Lines PCL NVDR		22,726
	1,191,200	Sansiri PCL NVDR		61,165
	103,700	SCB X PCL NVDR		325,714
	91,100	Somboon Advance Technology PCL NVDR		47,297
	269,300	Sri Trang Agro-Industry PCL NVDR		144,920
	154,700	Sri Trang Gloves Thailand PCL NVDR		37,039
	162,800	Supalai PCL NVDR		95,321
	91,100	Thai Oil PCL NVDR		142,231
	88,000	Thai Vegetable Oil PCL NVDR		51,608
		Total Thailand		7,222,887
		Turkey — 0.6%
	7,510	AG Anadolu Grubu Holding AS		61,364
	881,420	Akbank TAS		1,171,408
	712,701	Aselsan Elektronik Sanayi Ve Ticaret AS		1,367,685
	184,643	Dogan Sirketler Grubu Holding AS		80,010
	37,522	Dogus Otomotiv Servis ve Ticaret AS		321,120
	331,904	Hektas Ticaret TAS *		202,980
	237,259	KOC Holding AS		1,276,877
	288,232	Koza Altin Isletmeleri AS		211,342
	54,485	Mavi Giyim Sanayi Ve Ticaret AS – Class B		247,617
	44,442	Tekfen Holding AS		66,809
	15,783	Turk Hava Yollari AO *		142,269
	214,377	Turkiye Sise ve Cam Fabrikalari AS		350,914
	194,625	Vestel Beyaz Esya Sanayi ve Ticaret AS		135,781
	1,127,215	Yapi ve Kredi Bankasi AS		831,868
		Total Turkey		6,468,044
		United Arab Emirates — 0.1%
	149,124	Emirates NBD Bank PJSC		742,423

Shares		Description	Value ($)
		United Kingdom — 4.0%
	193,047	3i Group PLC (a)		6,031,378
	54,388	abrdn PLC		108,308
	3,173	AG Barr PLC		20,892
	52,405	Balfour Beatty PLC		225,052
	4,859	Bank of Georgia Group PLC		288,954
	268,823	Barratt Developments PLC		1,586,084
	25,802	Bellway PLC		880,056
	35,527	Berkeley Group Holdings PLC		2,087,321
	65,084	British American Tobacco PLC (a)		1,933,736
	39,779	British American Tobacco PLC Sponsored ADR (a)		1,188,994
	2,200,654	BT Group PLC (a)		2,904,800
	100,106	Centamin PLC		114,177
	60,346	Coca-Cola HBC AG		1,881,183
	66,815	Compass Group PLC (a)		1,833,310
	7,309	Crest Nicholson Holdings PLC		19,563
	4,668	Dunelm Group PLC		68,048
	23,265	Evraz PLC * (e)		601
	116,800	Ferrexpo PLC *		106,389
	1,720	Galliford Try Holdings PLC		5,241
	19,945	GSK PLC		417,218
	40,067	GSK PLC Sponsored ADR		1,678,807
	28,297	Hays PLC		33,794
	313,059	HSBC Holdings PLC		2,436,779
	34,370	HSBC Holdings PLC Sponsored ADR		1,346,617
	65,717	IG Group Holdings PLC		580,077
	31,557	Imperial Brands PLC		679,810
	17,373	International Personal Finance PLC		24,658
	29,933	Investec PLC		187,349
	414,107	ITV PLC		293,019
	302,309	J Sainsbury PLC		954,336
	4,789	Keller Group PLC		52,389
	522,233	Kingfisher PLC		1,548,731
	1,289,901	Lloyds Banking Group PLC		762,685
	62,388	Moneysupermarket.com Group PLC		192,986
	7,241	Morgan Advanced Materials PLC		24,167
	5,953	Morgan Sindall Group PLC		176,998
	218,847	NatWest Group PLC		661,706
	67,523	OSB Group PLC		355,885
	20,286	Paragon Banking Group PLC		164,754
	44,955	Persimmon PLC		774,729
	20,638	Plus500 Ltd.		443,305
	32,369	Premier Foods PLC		56,413
	35,451	Redde Northgate PLC		154,797
	70,303	Redrow PLC		567,307
	3,463	RELX PLC (a)		151,639
	2,887	Rio Tinto PLC (a)		185,202
	4,400	Sage Group PLC (a)		69,311
	16,889	Serica Energy PLC		37,027
	43,795	Shell PLC (a)		1,354,571
	9,280	Shell PLC ADR (a)		583,062
	15,165	Spirent Communications PLC		20,155
	16,171	Standard Chartered PLC		136,725
	443,444	Taylor Wimpey PLC		772,810

  See accompanying notes to the financial statements. 40

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		United Kingdom — continued
	3,340	TBC Bank Group PLC		124,802
	70,148	Tesco PLC		247,414
	22,159	Unilever PLC Sponsored ADR (a)		1,085,126
	21,288	Vesuvius PLC		130,193
	940,967	Vodafone Group PLC		826,553
	242,591	Vodafone Group PLC Sponsored ADR		2,168,764
		Total United Kingdom		43,746,757
		United States — 18.2%
	24,231	3M Co. (c)		2,232,160
	3,154	Academy Sports & Outdoors, Inc.		235,667
	972	Adtalem Global Education, Inc. * (c)		48,114
	920	Advance Auto Parts, Inc. (c)		62,137
	1,791	Affiliated Managers Group, Inc.		279,951
	2,740	AGCO Corp. (c)		300,578
	1,627	Akamai Technologies, Inc. * (c)		180,467
	1,117	Allison Transmission Holdings, Inc.		84,144
	59,413	Ally Financial, Inc.		2,197,687
	29,878	Alphabet, Inc. – Class A* (a)		4,136,908
	13,416	Alphabet, Inc. – Class C* (a)		1,875,288
	15,005	American Express Co. (c)		3,292,397
	12,425	Archer-Daniels-Midland Co. (a) (c)		659,892
	3,274	Arrow Electronics, Inc. * (c)		384,695
	2,456	Aspen Technology, Inc. * (c)		476,194
	814	Atkore, Inc.		137,892
	1,057	AutoNation, Inc. * (c)		158,339
	2,561	Avnet, Inc. (c)		119,317
	58,844	Bank of America Corp. (a)		2,031,295
	11,787	Bank of New York Mellon Corp. (a) (c)		661,133
	9,958	Best Buy Co., Inc. (c)		805,403
	4,726	Bio-Rad Laboratories, Inc. – Class A* (c)		1,540,109
	545	Booking Holdings, Inc. * (c)		1,890,512
	85,623	BorgWarner, Inc.		2,665,444
	20,408	Bristol-Myers Squibb Co. (a)		1,035,706
	2,046	Brunswick Corp. (c)		178,820
	11,003	Builders FirstSource, Inc. *		2,147,566
	565	Bunge Global SA (c)		53,319
	20,085	Capital One Financial Corp. (a)		2,763,897
	13,046	CarMax, Inc. * (c)		1,030,634
	1,200	Carter’s, Inc. (c)		97,140
	5,609	CBRE Group, Inc. – Class A* (a)		515,411
	23,849	Centene Corp. * (c)		1,870,477
	19,186	Chesapeake Energy Corp.		1,588,217
	20,090	Chevron Corp. (c)		3,053,881
	3,195	Cigna Group (a)		1,073,967
	59,641	Cisco Systems, Inc. (a) (c)		2,884,835
	55,847	Citigroup, Inc. (a)		3,098,950
	83,835	Cleveland-Cliffs, Inc. *		1,743,768
	31,217	Cognizant Technology Solutions Corp. – Class A (a)		2,466,767
	78,868	Comcast Corp. – Class A (a)		3,379,494
	2,458	Commercial Metals Co.		132,732
	1,234	Crocs, Inc. *		150,857
	2,220	Cummins, Inc. (a)		596,314

Shares		Description	Value ($)
		United States — continued
	36,035	CVS Health Corp. (c)		2,679,923
	25,538	Darling Ingredients, Inc. * (c)		1,080,513
	4,661	Dick’s Sporting Goods, Inc. (c)		829,145
	22,031	Discover Financial Services		2,659,142
	7,113	DR Horton, Inc. (c)		1,062,967
	5,343	Dropbox, Inc. – Class A* (c)		127,965
	49,803	eBay, Inc.		2,354,686
	2,101	Elevance Health, Inc. (a)		1,053,126
	691	Encore Wire Corp. (c)		166,531
	17,786	EOG Resources, Inc. (c)		2,035,786
	19,445	Etsy, Inc. * (c)		1,394,012
	12,214	Expedia Group, Inc. * (a)		1,671,119
	21,957	Exxon Mobil Corp. (c)		2,294,946
	4,534	F5, Inc. * (c)		848,855
	1,394	Federated Hermes, Inc.		49,111
	30,532	Fidelity National Financial, Inc. (c)		1,544,309
	3,365	FMC Corp. (c)		189,752
	1,969	Foot Locker, Inc.		67,793
	201,227	Ford Motor Co. (c)		2,503,264
	3,802	Fox Corp. – Class A (c)		113,262
	54,062	Fox Corp. – Class B		1,480,218
	61,869	Franklin Resources, Inc.		1,698,304
	872	Garmin Ltd. (c)		119,769
	4,692	GE HealthCare Technologies, Inc. (c)		428,286
	4,728	General Electric Co. (a)		741,776
	6,894	General Mills, Inc. (c)		442,457
	63,005	General Motors Co. (a)		2,581,945
	3,215	Goldman Sachs Group, Inc. (a)		1,250,796
	100	Graham Holdings Co. – Class B (c)		70,233
	14,634	Green Plains, Inc. * (c)		311,704
	640	Group 1 Automotive, Inc.		173,216
	7,829	H&R Block, Inc. (c)		383,230
	655	Harley-Davidson, Inc.		23,757
	5,490	Hartford Financial Services Group, Inc. (a)		526,162
	867	Henry Schein, Inc. * (c)		66,299
	124,617	Hewlett Packard Enterprise Co.		1,897,917
	7,136	Hilton Worldwide Holdings, Inc. (a)		1,458,028
	700	HNI Corp. (c)		31,367
	79,862	HP, Inc. (a)		2,262,490
	1,466	Humana, Inc. (a)		513,569
	2,839	Huntsman Corp.		72,678
	10,871	Illumina, Inc. * (c)		1,520,092
	25,833	Incyte Corp. * (c)		1,507,614
	70,985	Intel Corp. (a)		3,055,904
	14,684	Intercontinental Exchange, Inc. (a) (c)		2,032,559
	19,101	International Business Machines Corp. (c)		3,534,258
	18,654	Invesco Ltd.		287,458
	3,159	Jackson Financial, Inc. – Class A		173,903
	9,267	Janus Henderson Group PLC		288,760
	11,399	Jazz Pharmaceuticals PLC * (c)		1,355,341
	10,750	Johnson & Johnson		1,734,835
	15,270	JPMorgan Chase & Co. (a)		2,841,136
	6,051	Keysight Technologies, Inc. * (c)		933,669
	93,543	Kinder Morgan, Inc.		1,626,713

41 See accompanying notes to the financial statements.  

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		United States — continued
	6,081	Kohl’s Corp. (c)		169,477
	63,190	Kraft Heinz Co. (a)		2,229,343
	26,242	Kroger Co. (c)		1,301,866
	974	Laboratory Corp. of America Holdings (c)		210,218
	1,689	Lam Research Corp.		1,584,704
	29,237	Las Vegas Sands Corp. (a)		1,594,001
	1,773	La-Z-Boy, Inc. (c)		67,356
	2,469	Lear Corp.		339,117
	7,189	Lennar Corp. – Class A (c)		1,139,528
	5,404	LyondellBasell Industries NV – Class A (a)		541,913
	3,735	M&T Bank Corp. (c)		521,929
	16,632	Macy’s, Inc. (c)		290,062
	3,349	ManpowerGroup, Inc.		241,664
	3,402	Marathon Petroleum Corp.		575,720
	963	Markel Group, Inc. * (c)		1,437,258
	48,688	Match Group, Inc. * (c)		1,754,716
	177	Matson, Inc. (c)		19,656
	8,126	Medtronic PLC (a)		677,383
	9,286	Merck & Co., Inc. (a)		1,180,715
	11,968	Meta Platforms, Inc. – Class A (a)		5,865,876
	17,941	MGIC Investment Corp.		356,846
	18,223	Micron Technology, Inc. (c)		1,651,186
	16,580	Moderna, Inc. * (c)		1,529,339
	5,460	Molson Coors Beverage Co. – Class B (c)		340,813
	21,314	Mosaic Co.		664,144
	13,512	Nucor Corp. (c)		2,598,358
	21,274	ON Semiconductor Corp. * (c)		1,678,944
	971	OneMain Holdings, Inc. (c)		45,860
	1,459	Oracle Corp. (a)		162,941
	9,119	Otis Worldwide Corp. (c)		869,041
	37,719	Ovintiv, Inc. (c)		1,863,696
	1,673	Owens Corning		250,582
	20,367	PACCAR, Inc. (a)		2,258,497
	110,108	Paramount Global – Class B (c)		1,215,592
	39,900	PayPal Holdings, Inc. * (a)		2,407,566
	109,262	Pfizer, Inc.		2,901,999
	1,492	Phillips 66 (c)		212,625
	5,159	Premier, Inc. – Class A		107,617
	11,417	PulteGroup, Inc. (c)		1,237,374
	2,068	PVH Corp.		282,634
	22,822	QUALCOMM, Inc.		3,601,083
	12,493	Radian Group, Inc.		364,046
	2,949	Regeneron Pharmaceuticals, Inc. *		2,848,999
	444	Signet Jewelers Ltd. (c)		45,181
	17,255	Skyworks Solutions, Inc. (c)		1,810,395
	2,250	SLM Corp.		46,868
	7,849	SolarEdge Technologies, Inc. * (c)		527,217
	7,039	State Street Corp.		518,985
	18,817	Steel Dynamics, Inc. (c)		2,518,091
	994	Stewart Information Services Corp.		62,602
	59,571	Synchrony Financial (c)		2,460,282
	4,462	T Rowe Price Group, Inc. (a)		505,768
	10,433	Tapestry, Inc.		495,880
	4,704	TE Connectivity Ltd. (a)		675,306

Shares		Description	Value ($)
		United States — continued
	6,991	Texas Instruments, Inc. (c)		1,169,804
	4,507	Textron, Inc.		401,438
	877	Timken Co. (c)		73,659
	33,598	Tyson Foods, Inc. – Class A		1,822,356
	27,074	U.S. Bancorp (c)		1,136,025
	1,047	UFP Industries, Inc.		120,018
	335	UnitedHealth Group, Inc. (c)		165,356
	1,067	Universal Corp. (c)		51,227
	935	Universal Health Services, Inc. – Class B (a)		156,201
	4,812	Unum Group		237,953
	4,610	Valero Energy Corp.		652,131
	83,976	Verizon Communications, Inc. (a)		3,360,720
	72,788	VF Corp. (c)		1,189,356
	189,927	Viatris, Inc. (c)		2,349,397
	91,394	Walgreens Boots Alliance, Inc. (c)		1,943,036
	34,119	Wells Fargo & Co. (c)		1,896,675
	15,843	Western Union Co. (c)		212,455
	6,955	Westlake Corp. (c)		964,728
	1,178	Whirlpool Corp. (c)		126,505
	273	Williams-Sonoma, Inc.		64,300
	25,231	Zoom Video Communications, Inc. – Class A* (a)		1,784,589
		Total United States		199,207,913
		Vietnam — 0.2%
	65,936	Duc Giang Chemicals JSC		299,778
	11,300	IDICO Corp. JSC		27,006
	38,500	PetroVietNam Ca Mau Fertilizer JSC		52,813
	30,300	PetroVietnam Technical Services Corp.		45,193
	21,000	Petrovietnam Transportation Corp.		22,867
	112,100	Sai Gon-Ha Noi Securities JSC *		80,545
	67,464	Saigon - Hanoi Commercial JSB *		32,351
	30,300	Saigon Thuong Tin Commercial JSB *		38,846
	409,100	SSI Securities Corp.		615,704
	101,900	Vietnam Dairy Products JSC		297,862
	171,746	Vietnam Joint Stock Commercial Bank for Industry & Trade *		248,231
	172,800	VIX Securities JSC		128,872
	764,100	VNDirect Securities Corp. *		704,751
		Total Vietnam		2,594,819
		TOTAL COMMON STOCKS (COST $862,526,882)		857,670,678
		PREFERRED STOCKS (g) —1.9%
		Brazil — 1.1%
	337,859	Bradespar SA		1,440,850
	8,800	Cia de Ferro Ligas da Bahia FERBASA		17,083
	519,495	Cia Energetica de Minas Gerais		1,250,901
	32,900	Gerdau SA		142,292
	445,780	Gerdau SA Sponsored ADR		1,921,312
	405,102	Itausa SA		839,362
	369,613	Petroleo Brasileiro SA		2,984,504

  See accompanying notes to the financial statements. 42

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares / Par Value†		Description	Value ($)
		Brazil — continued
	201,178	Petroleo Brasileiro SA ADR		3,253,048
	4,000	Unipar Carbocloro SA – Class B		53,244
		Total Brazil		11,902,596
		Colombia — 0.1%
	21,900	Bancolombia SA Sponsored ADR		712,188
		Germany — 0.4%
	11,417	Bayerische Motoren Werke AG		1,251,688
	1,147	Draegerwerk AG & Co. KGaA		59,721
	1,460	Henkel AG & Co. KGaA (a)		109,841
	28,562	Porsche Automobil Holding SE		1,526,913
	512	Villeroy & Boch AG		9,964
	13,538	Volkswagen AG		1,838,469
		Total Germany		4,796,596
		Russia — 0.0%
	12,924	Bashneft PJSC (e)		2,910
	56,000	Nizhnekamskneftekhim PJSC (e)		479
	20,810	Sberbank of Russia PJSC (e) (f)		666
	9,254,300	Surgutneftegas PJSC (e)		62,944
	16,100	Transneft PJSC (e)		2,834
		Total Russia		69,833
		South Korea — 0.3%
	538	Hyundai Motor Co. (b)		65,075
	778	Hyundai Motor Co. (b)		93,339
	2,160	Hyundai Motor Co. GDR		126,466
	2,082	LG Electronics, Inc.		68,753
	65,353	Samsung Electronics Co. Ltd.		3,129,537
	89	Samsung Electronics Co. Ltd. GDR		103,668
		Total South Korea		3,586,838
		TOTAL PREFERRED STOCKS (COST $23,887,913)		21,068,051
		DEBT OBLIGATIONS — 19.0%
		United States — 19.0%
		U.S. Government — 16.4%
	10,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield - 0.08%, 5.25%, due 04/30/24		9,998,000
	30,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.36%, due 07/31/24 (a)		29,998,581
	10,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26		10,008,861
	83,883,822	U.S. Treasury Inflation-Indexed Notes, 1.38%, due 07/15/33 (a)		80,298,171

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	48,998,854	U.S. Treasury Inflation-Indexed Notes, 1.75%, due 01/15/34 (a)		48,278,337
		Total U.S. Government		178,581,950
		U.S. Government Agency — 2.6%
	3,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.43%, due 03/06/24		3,500,051
	16,000,000	Federal Home Loan Banks, 5.23%, due 03/22/24		15,997,283
	9,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.41%, due 09/04/24		9,503,671
		Total U.S. Government Agency		29,001,005
		Total United States		207,582,955
		TOTAL DEBT OBLIGATIONS (COST $203,970,291)		207,582,955
		MUTUAL FUNDS — 14.2%
		United States — 14.2%
		Affiliated Issuers — 14.2%
	2,272,385	GMO Emerging Country Debt Fund, Class VI		42,834,449
	770,852	GMO High Yield Fund, Class VI		13,713,467
	2,112,958	GMO Opportunistic Income Fund, Class VI		50,710,981
	2,262,028	GMO Resources Fund, Class VI		46,597,781
	260,878	GMO U.S. Treasury Fund (h)		1,304,389
		Total Affiliated Issuers		155,161,067
		TOTAL MUTUAL FUNDS (COST $176,589,938)		155,161,067
		SHORT-TERM INVESTMENTS — 5.2%
		Money Market Funds — 0.5%
	4,969,797	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (i)		4,969,797
		Repurchase Agreements — 4.7%
	50,999,652	Nomura Securities International, Inc. Repurchase Agreement, dated 02/29/24, maturing on 03/01/24 with a maturity value of $51,007,161 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 12/31/28 and a market value of $51,894,759.		50,999,652
		U.S. Government — 0.0%
	490,000	U.S. Treasury Bills, 4.59%, due 03/07/24 (j)		489,570
		TOTAL SHORT-TERM INVESTMENTS (COST $56,459,016)		56,459,019
		TOTAL INVESTMENTS — 118.9% (Cost $1,323,434,040)		1,297,941,770

43 See accompanying notes to the financial statements.  

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		SECURITIES SOLD SHORT — (18.9)%
		Common Stocks — (18.8)%
		Australia — (0.5)%
	(23,744)	ASX Ltd.		(1,017,356	)
	(5,918)	Cochlear Ltd.		(1,349,027	)
	(61,515)	IDP Education Ltd.		(764,120	)
	(169,536)	Lottery Corp. Ltd.		(560,951	)
	(22,745)	Ramsay Health Care Ltd.		(811,425	)
	(22,098)	WiseTech Global Ltd.		(1,363,076	)
		Total Australia		(5,865,955	)
		Austria — (0.1)%
	(12,588)	Verbund AG		(911,244	)
		Belgium — (0.2)%
	(27,293)	Anheuser-Busch InBev SA		(1,649,603	)
	(53)	Lotus Bakeries NV		(498,738	)
		Total Belgium		(2,148,341	)
		Canada — (1.1)%
	(14,341)	Agnico Eagle Mines Ltd.		(689,228	)
	(12,752)	Algonquin Power & Utilities Corp.		(74,599	)
	(73,900)	AltaGas Ltd.		(1,584,019	)
	(8,067)	Brookfield Renewable Corp. – Class A		(191,349	)
	(38,730)	Cameco Corp.		(1,569,727	)
	(50,150)	Enbridge, Inc.		(1,726,163	)
	(13,544)	Franco-Nevada Corp.		(1,420,224	)
	(47,600)	GFL Environmental, Inc.		(1,717,408	)
	(49,101)	Pembina Pipeline Corp.		(1,709,206	)
	(24,210)	Restaurant Brands International, Inc.		(1,879,907	)
		Total Canada		(12,561,830	)
		China — (0.0)%
	(4,494)	Yum China Holdings, Inc.		(192,748	)
		Denmark — (0.1)%
	(8,525)	Coloplast AS – Class B		(1,132,403	)
	(626)	Novo Nordisk AS – Class B		(74,723	)
		Total Denmark		(1,207,126	)
		Finland — (0.0)%
	(5,476)	Elisa OYJ		(246,629	)
	(1,678)	Kone OYJ – Class B		(82,157	)
		Total Finland		(328,786	)
		France — (0.6)%
	(33,499)	Accor SA		(1,455,123	)
	(7,048)	Aeroports de Paris SA		(959,457	)
	(433)	Airbus SE		(71,644	)
	(85,857)	Getlink SE		(1,465,878	)
	(852)	Hermes International SCA		(2,131,993	)

Shares		Description	Value ($)
		France — continued
	(709)	Sartorius Stedim Biotech		(195,151	)
		Total France		(6,279,246	)
		Germany — (0.8)%
	(8,437)	adidas AG		(1,706,637	)
	(3,491)	Covestro AG*		(190,007	)
	(49,327)	Delivery Hero SE*		(1,140,984	)
	(793)	Deutsche Boerse AG		(166,012	)
	(1,363)	GEA Group AG		(54,979	)
	(6,714)	MTU Aero Engines AG		(1,615,046	)
	(1,331)	Puma SE		(61,217	)
	(1,091)	Rational AG		(897,763	)
	(278)	Rheinmetall AG		(127,562	)
	(26,103)	Siemens Energy AG*		(400,850	)
	(1,159)	Siemens Healthineers AG*		(69,559	)
	(14,961)	Symrise AG		(1,530,997	)
	(2,478)	Vonovia SE		(69,159	)
	(836)	Wacker Chemie AG		(91,441	)
	(8,677)	Zalando SE*		(183,634	)
		Total Germany		(8,305,847	)
		Ireland — (0.2)%
	(7,695)	Flutter Entertainment PLC*		(1,666,236	)
		Israel — (0.2)%
	(7,536)	CyberArk Software Ltd.*		(1,987,695	)
	(302)	Monday.com Ltd.*		(67,349	)
		Total Israel		(2,055,044	)
		Italy — (0.6)%
	(38,910)	Amplifon SpA		(1,299,305	)
	(1,002)	DiaSorin SpA		(101,129	)
	(5,176)	Ferrari NV		(2,184,599	)
	(103,891)	FinecoBank Banca Fineco SpA		(1,439,257	)
	(112,566)	Infrastrutture Wireless Italiane SpA		(1,246,819	)
		Total Italy		(6,271,109	)
		Japan — (1.8)%
	(75,200)	Aeon Co. Ltd.		(1,795,547	)
	(3,800)	ANA Holdings, Inc.*		(82,849	)
	(32,300)	Asahi Intecc Co. Ltd.		(672,277	)
	(2,200)	Daiichi Sankyo Co. Ltd.		(72,455	)
	(900)	Disco Corp.		(293,299	)
	(3,600)	East Japan Railway Co.		(212,981	)
	(700)	Fast Retailing Co. Ltd.		(202,755	)
	(2,600)	GMO Payment Gateway, Inc.		(175,485	)
	(9,800)	Japan Airlines Co. Ltd.		(183,027	)
	(53,500)	Japan Exchange Group, Inc.		(1,400,715	)
	(18,600)	Keisei Electric Railway Co. Ltd.		(869,011	)
	(22,800)	Kintetsu Group Holdings Co. Ltd.		(701,206	)
	(30,400)	Kobe Bussan Co. Ltd.		(818,470	)
	(7,000)	Lasertec Corp.		(1,878,225	)
	(78,800)	MonotaRO Co. Ltd.		(753,714	)

  See accompanying notes to the financial statements. 44

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Japan — continued
	(17,200)	Nippon Paint Holdings Co. Ltd.		(127,778	)
	(13,600)	Odakyu Electric Railway Co. Ltd.		(191,211	)
	(50,100)	Oriental Land Co. Ltd.		(1,795,594	)
	(351,000)	Rakuten Group, Inc.*		(1,923,821	)
	(20,800)	Sharp Corp.*		(113,359	)
	(14,800)	Shiseido Co. Ltd.		(402,368	)
	(148,400)	SoftBank Corp.		(1,951,974	)
	(7,600)	SoftBank Group Corp.		(450,169	)
	(20,800)	Tobu Railway Co. Ltd.		(531,732	)
	(63,100)	Tokyu Corp.		(785,142	)
	(7,100)	West Japan Railway Co.		(295,230	)
	(2,300)	Yaskawa Electric Corp.		(94,273	)
	(8,200)	Zensho Holdings Co. Ltd.		(359,086	)
		Total Japan		(19,133,753	)
		Netherlands — (0.6)%
	(1,415)	Adyen NV*		(2,238,866	)
	(245)	ASML Holding NV		(232,505	)
	(10,362)	BE Semiconductor Industries NV		(1,876,742	)
	(788)	Heineken Holding NV		(60,868	)
	(65,344)	Universal Music Group NV		(1,972,760	)
		Total Netherlands		(6,381,741	)
		New Zealand — (0.2)%
	(20,719)	Xero Ltd.*		(1,723,169	)
		Peru — (0.1)%
	(19,231)	Southern Copper Corp.		(1,555,019	)
		Portugal — (0.0)%
	(3,461)	EDP Renovaveis SA		(47,211	)
		Singapore — (0.2)%
	(436,868)	Grab Holdings Ltd. – Class A*		(1,341,185	)
	(13,911,000)	Seatrium Ltd.*		(932,762	)
	(20,100)	Singapore Airlines Ltd.		(96,746	)
	(78,900)	Singapore Technologies Engineering Ltd.		(233,597	)
		Total Singapore		(2,604,290	)
		Spain — (0.3)%
	(48,210)	Cellnex Telecom SA*		(1,743,010	)
	(49,317)	Ferrovial SE		(1,851,844	)
		Total Spain		(3,594,854	)
		Sweden — (0.3)%
	(53,464)	Beijer Ref AB		(752,858	)
	(46,468)	EQT AB		(1,361,361	)
	(2,748)	Evolution AB		(355,987	)
	(35,726)	H & M Hennes & Mauritz AB – Class B		(485,125	)
		Total Sweden		(2,955,331	)

Shares		Description	Value ($)
		Switzerland — (0.1)%
	(1)	Chocoladefabriken Lindt & Spruengli AG		(120,212	)
	(560)	Partners Group Holding AG		(805,205	)
	(5,679)	SIG Group AG		(112,505	)
	(196)	VAT Group AG		(98,382	)
		Total Switzerland		(1,136,304	)
		United Kingdom — (1.2)%
	(11,109)	Admiral Group PLC		(374,832	)
	(136,830)	Auto Trader Group PLC		(1,281,251	)
	(80,984)	Hargreaves Lansdown PLC		(746,364	)
	(182,971)	Informa PLC		(1,875,988	)
	(19,454)	InterContinental Hotels Group PLC		(2,065,885	)
	(16,612)	London Stock Exchange Group PLC		(1,865,746	)
	(269,305)	M&G PLC		(765,644	)
	(62,356)	Phoenix Group Holdings PLC		(392,720	)
	(265,436)	Rolls-Royce Holdings PLC*		(1,238,870	)
	(20,608)	Severn Trent PLC		(650,324	)
	(3,763)	Spirax-Sarco Engineering PLC		(490,975	)
	(87,899)	Wise PLC – Class A*		(1,021,148	)
		Total United Kingdom		(12,769,747	)
		United States — (9.6)%
	(1,400)	AbbVie, Inc.		(246,470	)
	(93,022)	AES Corp.		(1,413,934	)
	(9,068)	Alnylam Pharmaceuticals, Inc.*		(1,370,084	)
	(37,309)	Altria Group, Inc.		(1,526,311	)
	(4,675)	American Tower Corp. – (REIT)		(929,670	)
	(5,019)	Amgen, Inc.		(1,374,353	)
	(14,883)	ARES Management Corp. – Class A		(1,973,932	)
	(7,802)	Arthur J Gallagher & Co.		(1,903,142	)
	(247)	Automatic Data Processing, Inc.		(62,029	)
	(7,197)	Axon Enterprise, Inc.*		(2,212,142	)
	(10,487)	Bill Holdings, Inc.*		(664,142	)
	(1,011)	BioMarin Pharmaceutical, Inc.*		(87,229	)
	(2,815)	Bio-Techne Corp.		(207,100	)
	(7,981)	Boeing Co.*		(1,625,889	)
	(1,634)	Broadcom, Inc.		(2,125,001	)
	(9,611)	Burlington Stores, Inc.*		(1,971,216	)
	(33,690)	Caesars Entertainment, Inc.*		(1,464,504	)
	(1,606)	Charles Schwab Corp.		(107,249	)
	(803)	Chipotle Mexican Grill, Inc.*		(2,159,082	)
	(21,893)	Cloudflare, Inc. – Class A*		(2,157,336	)
	(1,217)	CoStar Group, Inc.*		(105,916	)
	(22,438)	Dayforce, Inc.*		(1,565,275	)
	(15,820)	Dexcom, Inc.*		(1,820,407	)
	(44,721)	DraftKings, Inc. – Class A*		(1,937,314	)
	(1,130)	Ecolab, Inc.		(254,069	)
	(10,527)	Equity LifeStyle Properties, Inc. – (REIT)		(708,678	)
	(2,378)	Erie Indemnity Co. – Class A		(967,561	)
	(23,207)	Exact Sciences Corp.*		(1,335,099	)
	(1,537)	Fair Isaac Corp.*		(1,951,852	)
	(1,649)	Fastenal Co.		(120,393	)
	(29,553)	Fidelity National Information Services, Inc.		(2,044,772	)

45 See accompanying notes to the financial statements.  

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		United States — continued
	(350)	Fiserv, Inc.*		(52,244	)
	(1,332)	Fortinet, Inc.*		(92,055	)
	(4,249)	Gartner, Inc.*		(1,978,164	)
	(3,175)	HubSpot, Inc.*		(1,964,722	)
	(801)	Hyatt Hotels Corp. – Class A		(123,026	)
	(399)	IDEXX Laboratories, Inc.*		(229,517	)
	(915)	Ingersoll Rand, Inc.		(83,567	)
	(8,470)	Insulet Corp.*		(1,389,080	)
	(7,800)	IQVIA Holdings, Inc.*		(1,927,848	)
	(13,508)	Iron Mountain, Inc. – (REIT)		(1,062,269	)
	(2,196)	Lamb Weston Holdings, Inc.		(224,453	)
	(15,164)	Lattice Semiconductor Corp.*		(1,161,714	)
	(24,254)	Liberty Media Corp.-Liberty Formula One – Class C*		(1,764,721	)
	(4,583)	Linde PLC		(2,056,942	)
	(18,843)	Live Nation Entertainment, Inc.*		(1,827,394	)
	(124)	Lululemon Athletica, Inc.*		(57,919	)
	(3,973)	Manhattan Associates, Inc.*		(1,006,480	)
	(4,489)	MarketAxess Holdings, Inc.		(957,997	)
	(307)	Marsh & McLennan Cos., Inc.		(62,097	)
	(4,338)	Mastercard, Inc. – Class A		(2,059,509	)
	(3,212)	McKesson Corp.		(1,674,769	)
	(1,164)	MercadoLibre, Inc.*		(1,856,929	)
	(4,295)	MongoDB, Inc.*		(1,922,356	)
	(4,581)	Moody’s Corp.		(1,738,123	)
	(359)	Motorola Solutions, Inc.		(118,610	)
	(3,330)	MSCI, Inc.		(1,868,030	)
	(46,721)	Newmont Corp.		(1,460,031	)
	(44,108)	NiSource, Inc.		(1,149,454	)
	(20,836)	Okta, Inc.*		(2,235,703	)
	(25,000)	ONEOK, Inc.		(1,878,000	)
	(85,872)	Palantir Technologies, Inc. – Class A*		(2,153,670	)
	(13,753)	Paychex, Inc.		(1,686,393	)
	(17,867)	Philip Morris International, Inc.		(1,607,315	)
	(238)	Pool Corp.		(94,753	)
	(3,170)	PTC, Inc.*		(580,142	)
	(9,043)	Repligen Corp.*		(1,754,252	)
	(47,719)	Rivian Automotive, Inc. – Class A*		(540,179	)
	(41,331)	ROBLOX Corp. – Class A*		(1,649,107	)
	(16,804)	Roku, Inc.*		(1,061,677	)
	(39,165)	Rollins, Inc.		(1,726,002	)
	(1,130)	Royal Caribbean Cruises Ltd.*		(139,385	)
	(827)	RPM International, Inc.		(95,394	)
	(1,445)	Seagate Technology Holdings PLC		(134,457	)
	(1,253)	Sherwin-Williams Co.		(416,034	)
	(3,768)	Simon Property Group, Inc. – (REIT)		(558,192	)
	(12,719)	Snap, Inc. – Class A*		(140,163	)
	(9,348)	Snowflake, Inc. – Class A*		(1,760,041	)
	(1,138)	Starbucks Corp.		(107,996	)
	(1,194)	Sysco Corp.		(96,678	)
	(8,448)	Tesla, Inc.*		(1,705,482	)
	(127)	Texas Pacific Land Corp.		(200,078	)
	(91,122)	Toast, Inc. – Class A*		(2,095,806	)
	(2,732)	Trade Desk, Inc. – Class A*		(233,395	)

Shares		Description	Value ($)
		United States — continued
	(1,740)	TransDigm Group, Inc.		(2,049,268	)
	(8,930)	Unity Software, Inc.*		(261,828	)
	(7,070)	Vail Resorts, Inc.		(1,628,292	)
	(583)	Verisk Analytics, Inc.		(141,028	)
	(734)	Vulcan Materials Co.		(195,134	)
	(4,094)	Watsco, Inc.		(1,613,527	)
	(334)	West Pharmaceutical Services, Inc.		(119,692	)
	(52,123)	Williams Cos., Inc.		(1,873,301	)
	(5,403)	Wolfspeed, Inc.*		(140,586	)
	(2,987)	Zillow Group, Inc. – Class C*		(167,720	)
	(884)	Zoetis, Inc.		(175,324	)
	(8,051)	Zscaler, Inc.*		(1,948,100	)
		Total United States		(105,226,265	)
		TOTAL COMMON STOCKS
		(PROCEEDS $169,773,105)		(204,921,196	)
		PREFERRED STOCKS (g) — (0.1)%
		Germany — (0.1)%
	(4,629)	Sartorius AG		(1,753,140	)
	(1,420)	Dr Ing hc F Porsche AG		(132,772	)
		TOTAL PREFERRED STOCKS
		(PROCEEDS $1,842,132)		(1,885,912	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $171,615,237)		(206,807,108	)
		Other Assets and Liabilities (net) — 0.0%		387,279
		TOTAL NET ASSETS — 100.0%	$	1,091,521,941

  See accompanying notes to the financial statements. 46

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

Additional information on each restricted security is as follows:

					Value as a
					Percentage			Value as of
Issuer	Acquisition		Acquisition		of Fund’s			February 29,
Description	Date		Cost		Net Assets			2024
Alrosa PJSC		12/06/17	$	4,239,436		0.0	%	$	23,700
Magnitogorsk Iron & Steel Works PJSC		09/08/17		1,550,653		0.0	%		11,137
Mechel PJSC		11/15/21		47,412		0.0	%		764
PhosAgro PJSC GDR		12/03/20		1,365		0.0	%		16
Polyus PJSC		07/22/20		2,148,976		0.0	%		12,299
Polyus PJSC GDR (Registered)		02/24/23		0		0.0	%		1
Sberbank of Russia PJSC		09/09/20		12,774,954		0.0	%		117,765
Sberbank of Russia PJSC		01/10/22		77,024		0.0	%		666
Severstal PAO		02/02/21		7,249		0.0	%		77
Severstal PAO GDR (Registered)		03/16/20		1,679,360		0.0	%		16,540
								$	182,965

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
179	U.S. Treasury Note 10 Yr. (CBT)		June 2024		19,768,313		11,399
256	U.S. Treasury Note 5 Yr. (CBT)		June 2024		27,368,000		51,932
				$	47,136,313	$	63,331

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty		Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.40%		GS		USD	7,804,534		06/24/2024		Monthly		—		166,059			166,059
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.40%		MORD		USD	10,224,316		06/18/2024		Monthly		—		(210,769	)		(210,769	)
											$	—	$	(44,710	)	$	(44,710	)

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

47 See accompanying notes to the financial statements.  

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2024

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

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

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

(f) The security is restricted as to resale.

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

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

(i) The rate disclosed is the 7 day net yield as of February 29, 2024.

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

(k) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 113.

  See accompanying notes to the financial statements. 48

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Asset Allocation Fund returned +13.44% (net) for the fiscal year ended February 29, 2024, as compared with +15.96% for the Fund’s benchmark, the GMO Global Asset Allocation Index (65% MSCI All Country World Index (“ACWI”) and 35% Bloomberg U.S. Aggregate Index).

The Fund’s circa 13% off-benchmark position in alternatives had a detrimental impact on relative performance as, although it delivered a decent positive return, it lagged the Fund benchmark as equity assets rebounded. The Fund held an average 62% in equities over the period, and the return of 19.0% lagged the MSCI ACWI return of 23.1%. In terms of regional biases, the decision to lean away from the U.S. in favor of being overweight developed ex-U.S. equities and overweight emerging market equities was a substantial headwind as the U.S. outperformed. Security selection in emerging and developed ex-U.S. markets was strong, but could not offset the allocation positioning. The Fund held an average of 25% in fixed income, and the emphasis on credit over duration, coupled with good relative performance within the credit exposures, ensured outperformance of the benchmark. The Fund’s fixed income exposures posted 4.8%, nicely ahead of the 3.3% return from the Bloomberg U.S. Aggregate Index.

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

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

49  

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

GMO Global Asset Allocation Fund Class III Shares, the GMO Global Asset Allocation Index*,

the MSCI ACWI and the Bloomberg U.S. Aggregate Index

As of February 29, 2024

	Average Annual Total Returns
	1 Year	5 Year	10 Year	Since Inception
Class III	13.44%	5.17%	4.06%	n/a
Class R6	13.44%	n/a	n/a	9/30/19 4.95%
Class I	13.32%	n/a	n/a	1/6/21 2.30%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

* The GMO Global Asset Allocation Index is comprised of 65% MSCI ACWI (All Country World Index) and 35% Bloomberg U.S. Aggregate Index.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

50

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

For Class III, R6 and I the gross expense ratio of 0.73%, 0.73% and 0.86%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.68%, 0.68% and 0.78% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

51

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		71.2	%
Debt Obligations		19.5
Short-Term Investments		16.9
Preferred Stocks		1.3
Forward Currency Contracts		0.2
Investment Funds		0.2
Rights/Warrants		0.1
Loan Assignments		0.0	^
Loan Participations		0.0	^
Purchased Options		0.0	^
Futures Contracts		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.1	)
Swap Contracts		(0.1	)
Securities Sold Short		(6.7	)
Other		(2.5	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		23.8	%
Other Emerging		2.9	†
Australia		1.5
Other Developed		0.9	‡
Euro Region		(0.4	)§
Sweden		(1.1	)
		27.6	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		25.7	%
Japan		10.1
Other Developed		4.5	‡
Taiwan		3.4
France		3.2
United Kingdom		3.0
Other Emerging		2.5	†
India		1.9
Brazil		1.7
China		1.7
Netherlands		1.4
Spain		1.4
Switzerland		1.3
South Africa		1.3
Italy		1.2
Mexico		1.1
Germany		1.0
South Korea		1.0
		67.4	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

52

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	2,423,887	GMO Alternative Allocation Fund, Class VI		44,599,515
	1,025,182	GMO Asset Allocation Bond Fund, Class VI		20,011,560
	575,147	GMO Emerging Country Debt Fund, Class VI		10,841,518
	1,619,883	GMO Emerging Markets ex-China Fund, Class VI		25,075,781
	1,071,957	GMO Emerging Markets Fund, Class VI		25,266,027
	1,995,537	GMO International Equity Fund, Class IV		46,775,391
	1,707,570	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV		24,435,325
	745,870	GMO-Usonian Japan Value Creation Fund, Class VI		14,671,268
	2,411,802	GMO Multi-Sector Fixed Income Fund, Class IV		41,627,708
	434,481	GMO Opportunistic Income Fund, Class VI		10,427,550
	475,035	GMO Quality Cyclicals Fund, Class VI		10,854,557
	359,654	GMO Quality Fund, Class VI		11,152,873
	310,175	GMO Resources Fund, Class VI		6,389,597
	450,297	GMO Small Cap Quality Fund, Class VI		10,991,749
	1,356,767	GMO U.S. Equity Fund, Class VI		18,492,732
	1,152,276	GMO U.S. Opportunistic Value Fund, Class VI		25,419,205
	377,084	GMO U.S. Small Cap Value Fund, Class VI		7,198,539
	120,463	GMO U.S. Treasury Fund		602,314
		TOTAL MUTUAL FUNDS (COST $376,508,226)		354,833,209
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	83,866	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (a)		83,866
		TOTAL SHORT-TERM INVESTMENTS (COST $83,866)		83,866
		TOTAL INVESTMENTS — 99.9% (Cost $376,592,092)		354,917,075
		Other Assets and Liabilities (net) — 0.1%		478,531
		TOTAL NET ASSETS — 100.0%	$	355,395,606

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 113.

53 See accompanying notes to the financial statements.  

This page has been left blank intentionally.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo  & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Developed Equity Allocation Fund returned +19.71% (net) for the fiscal year ended February 29, 2024, as compared with +24.96% for the Fund’s benchmark, the MSCI World Index.

The Fund’s underweight to the U.S. market and overweight to developed ex-U.S. detracted from performance relative to the benchmark. We also believed that emerging markets were trading at preferential valuations, and therefore held an “off-benchmark” position here. Our choice to have emerging markets ex-China exposure proved very beneficial as China continued to struggle, although the asset class still did not keep pace with the MSCI World Index as the U.S. roared ahead. Security selection in emerging and developed ex-U.S. markets was strong, but this was largely offset by difficult performance in the U.S. where the Growth style dominated.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

55

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

GMO Global Developed Equity Allocation Fund Class III Shares and the MSCI World Index

As of February 29, 2024

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Class III		19.71	%		10.16	%		7.01	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III the gross expense ratio of 0.63% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Class listed above, the net expense ratio of 0.53% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

56

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.7	%
Short-Term Investments		3.9
Preferred Stocks		0.9
Debt Obligations		0.0	^
Futures Contracts		0.0	^
Rights/Warrants		0.0	^
Other		(1.5	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		45.4	%
Japan		13.3
France		6.4
United Kingdom		6.1
Other Developed		4.7	‡
Other Emerging		4.0	†
Spain		2.7
Switzerland		2.7
Netherlands		2.6
Germany		2.3
Taiwan		2.3
Italy		2.3
Canada		1.7
Australia		1.3
Brazil		1.1
India		1.1
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

57  

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	325,267	GMO Emerging Markets ex-China Fund, Class VI		5,035,139
	801,356	GMO International Equity Fund, Class IV		18,783,784
	469,012	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV		6,711,566
	140,975	GMO-Usonian Japan Value Creation Fund, Class VI		2,772,982
	156,201	GMO Quality Cyclicals Fund, Class VI		3,569,199
	354,172	GMO Quality Fund, Class VI		10,982,867
	86,253	GMO Resources Fund, Class VI		1,776,813
	147,220	GMO Small Cap Quality Fund, Class VI		3,593,635
	326,075	GMO U.S. Equity Fund, Class VI		4,444,399
	489,839	GMO U.S. Opportunistic Value Fund, Class VI		10,805,838
	113,215	GMO U.S. Small Cap Value Fund, Class VI		2,161,270
		TOTAL MUTUAL FUNDS (COST $65,441,128)		70,637,492
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	42,798	State Street Institutional Treasury Money
		Market Fund – Premier Class, 5.25% (a)		42,798
		TOTAL SHORT-TERM INVESTMENTS (COST $42,798)		42,798
		TOTAL INVESTMENTS — 100.0% (Cost $65,483,926)		70,680,290
		Other Assets and Liabilities (net) — (0.0%)		(25,167	)
		TOTAL NET ASSETS — 100.0%	$	70,655,123

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 113.

  See accompanying notes to the financial statements. 58

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Equity Allocation Fund returned +19.52% (net) for the fiscal year ended February 29, 2024, as compared with +23.15% for the Fund’s benchmark, the MSCI All Country World Index (“ACWI”).

The Fund’s regional bias of being underweight to the U.S. market and overweight to developed ex-U.S. and emerging markets had a significant detrimental impact on performance relative to the benchmark. For the period, the MSCI USA Index performed incredibly strongly and returned 30.1%, while the MSCI World ex USA Index trailed with a 14.0% return, leaving the MSCI Emerging Markets Index as the laggard with an 8.7% return. We believed that emerging markets were trading at preferential valuations, but a struggling China (MSCI China Index was down -14.1%) weighed heavily on the region. On the flipside, stock selection proved nicely beneficial. In emerging markets, where a Value style performed well, we outpaced the reference benchmark by an excellent 13.8%. In developed ex-U.S. where a Value style was a modest headwind, we still beat the reference benchmark by some 2.8%, but our U.S. exposures lagged the market as a Growth style completely dominated.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

59

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

GMO Global Equity Allocation Fund Class III Shares and the MSCI ACWI

As of February 29, 2024

	Average Annual Total Returns
	1 Year			5 Year			10 Year			Since Inception
Class III		19.52	%		8.33	%		6.11	%		n/a
Class R6		19.48	%		n/a			n/a			7/15/20 9.89%
Class I		19.37	%		n/a			n/a			8/17/20 8.91%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III, R6 and I the gross expense ratio of 0.59%, 0.60% and 0.69%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.57%, 0.57% and 0.67% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

60

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.8	%
Short-Term Investments		3.3
Preferred Stocks		1.8
Debt Obligations		0.1
Futures Contracts		0.0	^
Rights/Warrants		0.0	^
Other		(1.0	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		38.3	%
Japan		11.6
Taiwan		5.6
France		5.3
United Kingdom		5.1
Other Domestic		4.3	‡
Other Emerging		3.2	†
India		2.8
Brazil		2.5
China		2.5
Spain		2.2
Switzerland		2.1
Netherlands		2.0
Germany		1.9
South Africa		1.9
Italy		1.9
Mexico		1.7
Canada		1.7
South Korea		1.4
Australia		1.0
Indonesia		1.0
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

61

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	4,732,845	GMO Emerging Markets ex-China Fund, Class VI		73,264,436
	3,439,877	GMO Emerging Markets Fund, Class VI		81,077,912
	6,254,899	GMO International Equity Fund, Class IV		146,614,835
	5,023,538	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV		71,886,834
	1,495,816	GMO-Usonian Japan Value Creation Fund, Class VI		29,422,703
	1,609,370	GMO Quality Cyclicals Fund, Class VI		36,774,104
	2,901,496	GMO Quality Fund, Class VI		89,975,382
	977,581	GMO Resources Fund, Class VI		20,138,162
	1,529,496	GMO Small Cap Quality Fund, Class VI		37,334,995
	2,759,366	GMO U.S. Equity Fund, Class VI		37,610,164
	4,030,429	GMO U.S. Opportunistic Value Fund, Class VI		88,911,262
	1,133,526	GMO U.S. Small Cap Value Fund, Class VI		21,639,012
		TOTAL MUTUAL FUNDS (COST $752,741,166)		734,649,801
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	715,646	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (a)		715,646
		TOTAL SHORT-TERM INVESTMENTS (COST $715,646)		715,646
		TOTAL INVESTMENTS — 100.0% (Cost $753,456,812)		735,365,447
		Other Assets and Liabilities (net) — (0.0%)		(50,537	)
		TOTAL NET ASSETS — 100.0%	$	735,314,910

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 113.

  See accompanying notes to the financial statements. 62

GMO Implementation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

GMO Implementation Fund returned +11.44% (net) for the fiscal year ended February 29, 2024, as compared with +3.12% for the CPI.

This was a strong 12 months for absolute performance, but it was more nuanced in relation to traditional risk assets. Over the same period, developed equities, as measured by the MSCI World Index, were up 25.0%. Emerging equities, as measured by the MSCI Emerging Markets Index, were up 8.7%, while bonds, as measured by the Bloomberg U.S. Aggregate Index, were up 3.3%.

The Fund had an average equity exposure of about 57%, and this had a worse return than MSCI All Country World Index (“ACWI”). Within developed markets, we were leaning away from the U.S. as we believed that it was trading at an unfavorable valuation, but it went on to have a very strong year relative to other markets. We also had a significant investment in emerging markets as we believed that they were trading at very preferential valuations and, despite the asset class performing poorly, extremely strong security selection ensured that this added to performance relative to MSCI ACWI. There was a broadly 40% average exposure to alternatives and these delivered a solid positive return, although they could not keep pace with the resurgent equity markets. Fixed income assets accounted for a modest average of 3% of the Fund, and had little impact on performance for the period.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

63

GMO Implementation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

GMO Implementation Fund, the Consumer Price Index and the Bloomberg Barclays U.S. Treasury

Inflation Notes: 1-10 Year Index

As of February 29, 2024

	Average Annual Total Returns
	1 Year			5 Year			10 Year
Core Class		11.44	%		3.36	%		3.03	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited.

The gross expense ratio of 0.44% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. The net expense ratio of 0.38% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

64

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		83.7	%
Debt Obligations		31.9
Short-Term Investments		2.5
Preferred Stocks		2.1
Investment Funds		0.3
Mutual Funds		0.1
Forward Currency Contracts		0.1
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Purchased Options		0.0	^
Written Options		(0.0	)^
Futures Contracts		(0.1	)
Securities Sold Short		(23.1	)
Other		2.5
		100.0	%

	Debt Obligations as a %
Country/Region Summary¤	of Total Net Assets
United States		14.9	%
Australia		1.3
Euro Region		(0.3	)§
Other Developed		(0.4	)‡
		15.5	%

	Equity Investments as a %
Country/Region Summary¤	of Total Net Assets
Japan		12.5	%
United States		11.4
Other Developed		5.5	‡
Other Emerging		4.5	†
Taiwan		3.4
United Kingdom		3.1
India		2.9
France		2.8
South Korea		2.8
China		2.6
Canada		2.4
Brazil		2.1
Netherlands		1.5
Spain		1.5
Switzerland		1.2
South Africa		1.1
Italy		1.1
		62.4	%

Industry Group Summary	% of Equity Investments#
Banks		14.0	%
Energy		11.6
Capital Goods		10.2
Materials		9.4
Automobiles & Components		7.5
Technology Hardware & Equipment		6.7
Pharmaceuticals, Biotechnology & Life Sciences		6.0
Semiconductors & Semiconductor Equipment		5.5
Financial Services		5.2
Food, Beverage & Tobacco		4.8
Insurance		4.0
Consumer Durables & Apparel		3.7
Transportation		2.4
Media & Entertainment		2.4
Consumer Discretionary Distribution & Retail		2.2
Consumer Staples Distribution & Retail		2.1
Telecommunication Services		1.5
Real Estate Management & Development		1.3
Health Care Equipment & Services		1.0
Utilities		0.6
Household & Personal Products		0.5
Commercial & Professional Services		0.4
Equity Real Estate Investment Trusts (REITs)		(0.1	)
Consumer Services		(1.3	)
Software & Services		(1.6	)
		100.0	%

(a) GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund.

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

65

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 83.7%
		Argentina — 0.0%
	67,748	Adecoagro SA		680,190
	44,400	YPF SA Sponsored ADR*		768,120
		Total Argentina		1,448,310
		Australia — 1.5%
	202,507	Accent Group Ltd.		266,532
	49,296	Altium Ltd. (a)		2,082,654
	10,904	Ampol Ltd.		279,522
	526,229	Beach Energy Ltd.		547,866
	330,258	BHP Group Ltd.		9,467,278
	641,044	BlueScope Steel Ltd.		9,532,630
	545,300	Brambles Ltd. (a)		5,354,293
	208,709	CSR Ltd.		1,199,157
	74,995	Dexus – (REIT) (a)		359,138
	145,498	Fortescue Ltd.		2,455,716
	750,716	GPT Group – (REIT) (a)		2,123,188
	109,191	GrainCorp Ltd. – Class A		553,221
	391,714	Grange Resources Ltd.		109,781
	254,742	Helia Group Ltd.		684,853
	66,858	HomeCo Daily Needs – (REIT) (a)		54,159
	24,003	JB Hi-Fi Ltd.		961,938
	22,644	McMillan Shakespeare Ltd. (a)		322,409
	1,530,838	Mirvac Group – (REIT) (a)		2,171,270
	30,348	Rio Tinto Ltd.		2,443,891
	118,676	Santos Ltd.		546,448
	989,537	Scentre Group – (REIT) (a)		2,002,685
	15,816	SmartGroup Corp. Ltd. (a)		112,927
	79,010	Southern Cross Media Group Ltd.		47,235
	636,577	Stockland – (REIT) (a)		1,859,963
	154,510	Sunrise Energy Metals Ltd. *		36,732
	134,832	Super Retail Group Ltd.		1,435,134
		Total Australia		47,010,620
		Austria — 0.4%
	97,992	Erste Group Bank AG		3,918,030
	3,649	EVN AG (a)		94,670
	169,750	OMV AG		7,480,193
	37,040	Raiffeisen Bank International AG		771,574
	1,869	Strabag SE		88,168
		Total Austria		12,352,635
		Belgium — 1.0%
	244,247	Ageas SA		10,380,392
	17,618	Bekaert SA		873,659
	2,302	Cie d’Entreprises CFE		18,528
	4,518	Colruyt Group NV		217,025
	11,958	Econocom Group SA		26,463
	24,691	Groupe Bruxelles Lambert NV		1,856,957
	21,234	KBC Group NV		1,495,783
	2,021	Melexis NV		170,151
	1,544	Orange Belgium SA *		21,923

Shares		Description	Value ($)
		Belgium — continued
	294,016	Proximus SADP		2,461,190
	6,942	Sofina SA		1,588,883
	27,497	Syensqo SA *		2,455,066
	81,087	UCB SA		9,355,773
		Total Belgium		30,921,793
		Brazil — 1.0%
	4,800	Alupar Investimento SA		28,755
	417,600	Ambev SA		1,056,790
	12,200	Auren Energia SA		31,487
	481,600	Banco do Brasil SA		5,605,475
	65,000	BB Seguridade Participacoes SA		435,940
	3,400	BrasilAgro - Co. Brasileira de Propriedades Agricolas		16,223
	11,400	Cia de Saneamento de Minas Gerais Copasa MG		47,402
	8,200	Cia De Sanena Do Parana		42,607
	176,000	CPFL Energia SA		1,252,970
	198,135	Enauta Participacoes SA		1,015,566
	146,600	Engie Brasil Energia SA		1,239,189
	8,700	Grendene SA		11,288
	36,400	Itau Unibanco Holding SA		214,617
	8,400	Mahle Metal Leve SA		60,646
	6,400	Odontoprev SA		15,514
	506,737	Petroleo Brasileiro SA Sponsored ADR		8,371,295
	38,400	Petroleo Brasileiro SA		318,410
	30,400	PRIO SA		267,302
	176,126	Sao Martinho SA		1,002,669
	90,500	Ser Educacional SA *		114,693
	53,920	SLC Agricola SA		213,246
	52,500	Suzano SA		595,115
	869,600	TIM SA		3,178,498
	17,950	TIM SA ADR		331,895
	22,100	Transmissora Alianca de Energia Eletrica SA		157,378
	614,957	Ultrapar Participacoes SA		3,632,020
	215,402	Vale SA		2,902,734
	136,800	Vibra Energia SA		711,643
		Total Brazil		32,871,367
		Canada — 3.7%
	8,800	Algoma Steel Group, Inc. (b)		71,326
	75,100	Alimentation Couche-Tard, Inc. (a)		4,657,677
	58,000	Anaergia, Inc. *		12,180
	58,600	ARC Resources Ltd.		998,724
	234,208	B2Gold Corp. (c)		562,099
	152,100	B2Gold Corp. (c)		366,479
	66,371	Bank of Nova Scotia (c)		3,217,002
	52,200	Bank of Nova Scotia (c)		2,531,247
	37,600	Birchcliff Energy Ltd.		149,608
	18,711	Brookfield Asset Management Ltd. – Class A		762,473
	5,100	Brookfield Corp. (a)		210,441
	96,717	Brookfield Corp. – Class A (a)		3,991,511

  See accompanying notes to the financial statements. 66

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Canada — continued
	3,900	BRP, Inc.		257,423
	53,323	Canadian Imperial Bank of Commerce (c)		2,523,244
	46,400	Canadian Imperial Bank of Commerce (c)		2,195,636
	65,320	Canadian Solar, Inc. * (b)		1,377,599
	54,500	Canadian Tire Corp. Ltd. – Class A (b)		5,545,776
	20,900	Canfor Corp. *		254,561
	114,200	Celestica, Inc. * (c)		4,853,595
	55,681	Celestica, Inc. * (c)		2,368,113
	7,200	CGI, Inc. * (a) (c)		826,662
	504	CGI, Inc. * (a) (c)		57,884
	65,000	China Gold International Resources Corp. Ltd.		303,967
	34,900	CI Financial Corp.		435,109
	9,800	Cogeco, Inc.		414,703
	97,600	Crescent Point Energy Corp.		712,480
	29,600	Dundee Precious Metals, Inc.		200,220
	9,000	Empire Co. Ltd. – Class A		228,059
	30,100	Enerplus Corp. (c)		533,673
	14,300	Enerplus Corp. (c)		253,410
	1,900	EQB, Inc.		120,651
	1,600	Fairfax Financial Holdings Ltd. (a)		1,707,802
	29,200	Finning International, Inc.		765,528
	117,600	First Quantum Minerals Ltd.		1,113,480
	64,700	Great-West Lifeco, Inc. (a)		1,992,750
	44,700	iA Financial Corp., Inc.		2,771,950
	8,806	Imperial Oil Ltd. (c)		550,375
	6,400	Imperial Oil Ltd. (b) (c)		400,463
	14,900	Interfor Corp. *		222,762
	17,212	International Petroleum Corp. *		180,773
	575,400	Ivanhoe Mines Ltd. – Class A* (b)		6,117,984
	110,972	Largo, Inc. * (b)		199,515
	143,500	Li-Cycle Holdings Corp. *		51,660
	3,500	Linamar Corp.		171,293
	28,061	Logan Energy Corp. *		17,161
	47,500	Magna International, Inc. (b)		2,617,286
	461,800	Manulife Financial Corp. (a) (c)		10,960,158
	205,440	Manulife Financial Corp. (a) (c)		4,877,146
	4,100	National Bank of Canada		320,018
	109,000	NexGen Energy Ltd. *		768,618
	55,068	Nutrien Ltd. (c)		2,876,752
	47,900	Nutrien Ltd. (c)		2,500,266
	45,700	Onex Corp.		3,403,381
	10,091	Open Text Corp. (a) (b)		388,403
	138,600	Parex Resources, Inc.		2,236,555
	116,200	Power Corp. of Canada		3,357,184
	141,900	Quebecor, Inc. – Class B		3,318,650
	724,783	Resolute Forest Products, Inc. * (d)		1,449,566
	49,800	Russel Metals, Inc.		1,631,806
	19,200	Sleep Country Canada Holdings, Inc.		405,320
	31,200	Stella-Jones, Inc.		1,754,088
	53,300	Sun Life Financial, Inc. (a) (c)		2,830,832
	34,622	Sun Life Financial, Inc. (a) (c)		1,839,121
	20,500	Teck Resources Ltd. – Class B (c)		787,735
	20,200	Teck Resources Ltd. – Class B (c)		776,084

Shares		Description	Value ($)
		Canada — continued
	57,400	Toronto-Dominion Bank (a) (c)		3,446,580
	15,278	Toronto-Dominion Bank (a) (c)		916,680
	85,000	Vermilion Energy, Inc. (b)		942,650
	4,000	Wajax Corp.		100,475
	80,300	West Fraser Timber Co. Ltd. (c)		6,462,341
	13,038	West Fraser Timber Co. Ltd. (b) (c)		1,049,559
	100,400	Whitecap Resources, Inc. (b)		696,878
		Total Canada		119,971,160
		Chile — 0.1%
	547,744	Cencosud SA		983,344
	4,529,779	Colbun SA		622,642
	2,067,697	Enel Chile SA		124,183
	38,297	Enel Chile SA ADR		114,891
		Total Chile		1,845,060
		China — 2.6%
	282,000	361 Degrees International Ltd.		150,573
	1,229,500	3SBio, Inc.		811,206
	15,320,000	Agricultural Bank of China Ltd. – Class H		6,284,961
	59,053	Alibaba Group Holding Ltd. Sponsored ADR (a) (b)		4,371,694
	1,471,000	BAIC Motor Corp. Ltd. – Class H		439,249
	8,639	Baidu, Inc. ADR * (a)		875,390
	1,979,871	Bank of Communications Co. Ltd. – Class H		1,297,104
	257,000	Beijing Enterprises Holdings Ltd.		966,787
	5,752,000	China Cinda Asset Management Co. Ltd. – Class H		550,766
	1,206,000	China Communications Services Corp. Ltd. – Class H		512,283
	18,061,000	China Construction Bank Corp. – Class H		11,200,639
	2,158,000	China Energy Engineering Corp. Ltd. – Class H		198,238
	1,160,000	China Everbright Environment Group Ltd.		430,886
	3,659,000	China Greenfresh Group Co. Ltd. * (e)		—
	231,000	China High Speed Transmission Equipment Group Co. Ltd. *		42,699
	1,150,000	China Lesso Group Holdings Ltd.		546,934
	435,925	China Medical System Holdings Ltd.		716,606
	581,000	China Overseas Grand Oceans Group Ltd.		148,705
	647,500	China Overseas Land & Investment Ltd.		956,239
	9,482,000	China Petroleum & Chemical Corp. – Class H		5,224,138
	5,854,000	China Railway Group Ltd. – Class H		2,851,415
	468,000	China Railway Signal & Communication Corp. Ltd. – Class H		169,278
	1,039,000	China Reinsurance Group Corp. – Class H		61,562
	1,263,500	China Resources Pharmaceutical Group Ltd.		854,552
	604,000	China State Construction International Holdings Ltd.		673,045
	4,237,600	China Zhongwang Holdings Ltd. * (b) (e)		—
	2,825,158	CITIC Ltd.		2,842,029

67 See accompanying notes to the financial statements.  

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		China — continued
	3,014,500	COSCO Shipping Holdings Co. Ltd. – Class H		3,245,231
	1,745,000	CRRC Corp. Ltd. – Class H		898,417
	1,972,000	CSPC Pharmaceutical Group Ltd.		1,535,892
	1,862,313	Dongfeng Motor Group Co. Ltd. – Class H		796,619
	559,000	Fufeng Group Ltd.		342,712
	76,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. – Class H		198,001
	665,400	Haier Smart Home Co. Ltd. – Class H		2,015,258
	226,900	Henan Shenhuo Coal & Power Co. Ltd. – Class A		580,191
	439,000	Industrial & Commercial Bank of China Ltd. – Class H		225,037
	292,788	Kingboard Holdings Ltd.		574,294
	205,000	Legend Holdings Corp. – Class H		170,884
	4,540,000	Lenovo Group Ltd.		5,015,471
	90,400	Livzon Pharmaceutical Group, Inc. – Class H		316,521
	678,000	Lonking Holdings Ltd.		113,919
	1,000,000	Metallurgical Corp. of China Ltd. – Class H		201,555
	55,000	NetDragon Websoft Holdings Ltd.		79,019
	6,266	NetEase, Inc. ADR (a)		676,227
	3,878,000	PetroChina Co. Ltd. – Class H		3,041,560
	4,004,000	PICC Property & Casualty Co. Ltd. – Class H		5,473,943
	400,000	Poly Property Group Co. Ltd.		73,493
	554,300	Shanghai Pharmaceuticals Holding Co. Ltd. – Class H		891,370
	462,500	Sinopec Engineering Group Co. Ltd. – Class H		253,582
	1,016,400	Sinopharm Group Co. Ltd. – Class H		2,844,328
	554,000	Sinotruk Hong Kong Ltd.		1,465,608
	1,052,000	Skyworth Group Ltd.		369,840
	490,000	TCL Electronics Holdings Ltd.		179,092
	123,732	Tencent Holdings Ltd.		4,334,408
	138,000	Tianneng Power International Ltd. (b)		124,412
	792,276	Vinda International Holdings Ltd. (b)		2,346,365
	508,200	Western Mining Co. Ltd. – Class A		1,173,760
	38,000	Yadea Group Holdings Ltd.		59,701
		Total China		82,793,688
		Colombia — 0.0%
	16,740	Ecopetrol SA Sponsored ADR		195,858
	3,972	Interconexion Electrica SA ESP		16,920
		Total Colombia		212,778
		Czech Republic — 0.0%
	159,737	Moneta Money Bank AS		701,191
	627	Philip Morris CR AS		415,148
		Total Czech Republic		1,116,339
		Denmark — 0.7%
	1,657	AP Moller - Maersk AS – Class A		2,250,824
	3,001	AP Moller - Maersk AS – Class B (a)		4,258,847

Shares		Description	Value ($)
		Denmark — continued
	219,029	Danske Bank AS		6,443,867
	4,893	Genmab AS *		1,359,374
	110,722	H Lundbeck AS		536,049
	5,433	Matas AS		93,169
	16,650	Pandora AS		2,692,640
	10,199	ROCKWOOL AS – B Shares		3,264,196
	49,881	Vestas Wind Systems AS * (a)		1,390,085
		Total Denmark		22,289,051
		Egypt — 0.1%
	50,854	Abou Kir Fertilizers & Chemical Industries		110,457
	279,284	Commercial International Bank - Egypt (CIB)		661,263
	668,180	Eastern Co. SAE		783,914
	293,117	Misr Fertilizers Production Co. SAE		597,778
		Total Egypt		2,153,412
		Finland — 0.5%
	29,229	Kemira OYJ		526,581
	100,097	Neste OYJ		2,743,869
	2,080,204	Nokia OYJ		7,332,911
	223,937	Outokumpu OYJ		991,931
	2,910	Sanoma OYJ		20,921
	172,635	Stora Enso OYJ – R Shares		2,182,729
	28,827	TietoEVRY OYJ (a)		672,905
	38,020	Valmet OYJ		996,603
		Total Finland		15,468,450
		France — 3.4%
	494	ALD SA		3,029
	3,473	Amundi SA		228,840
	32,968	APERAM SA		1,008,152
	217,487	ArcelorMittal SA		5,673,232
	15,521	Arkema SA		1,608,782
	16,928	AXA SA (a)		602,669
	108,353	BNP Paribas SA		6,503,346
	764	Caisse Regionale de Credit Agricole Mutuel Nord de France		10,348
	22,791	Carrefour SA		382,920
	132,164	Cie de Saint-Gobain SA		10,188,601
	29,177	Cie Generale des Etablissements Michelin SCA		1,079,737
	105,312	Coface SA		1,511,917
	70,998	Credit Agricole SA		962,936
	31,920	Derichebourg SA (a)		145,118
	10,213	Eramet SA		690,775
	7,946	Eurazeo SE		672,235
	15,829	Ipsen SA		1,738,865
	3,735	IPSOS SA		260,575
	4,096	LVMH Moet Hennessy Louis Vuitton SE (a)		3,738,563
	2,242	Mersen SA		85,140
	6,379	Metropole Television SA		86,905
	237,933	Orange SA (a)		2,727,416

  See accompanying notes to the financial statements. 68

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		France — continued
	53,126	Publicis Groupe SA (a)		5,621,022
	21,749	Quadient SA		458,625
	131,970	Renault SA		5,510,212
	87,637	Rexel SA		2,249,742
	33,124	Rubis SCA (a)		871,143
	26,989	Safran SA (a)		5,659,335
	118,989	Sanofi SA		11,341,381
	1,712	SEB SA		202,886
	7,344	Societe BIC SA (a)		530,608
	329,805	Societe Generale SA		8,009,522
	136,191	STMicroelectronics NV - NY Shares		6,213,033
	371	Synergie SE (a)		12,834
	17,511	Technip Energies NV		380,816
	97,970	Television Francaise 1 SA		897,276
	259,626	TotalEnergies SE (c)		16,548,340
	2,651	TotalEnergies SE (c)		169,118
	25,562	Valeo SE		294,987
	62,005	Veolia Environnement SA (a)		1,922,051
	398,634	Vivendi SE		4,454,591
		Total France		111,257,623
		Germany — 1.1%
	19,265	1&1 AG		356,285
	369	Amadeus Fire AG (a)		43,473
	23,850	Bayerische Motoren Werke AG		2,821,171
	24,445	Beiersdorf AG (a)		3,503,969
	25,635	Continental AG		2,056,316
	39,060	Daimler Truck Holding AG (a)		1,595,773
	8,440	Deutsche Pfandbriefbank AG (b)		35,160
	47,042	Deutz AG		292,700
	561	Draegerwerk AG & Co. KGaA		25,037
	88,631	Fresenius SE & Co. KGaA (a)		2,482,125
	9,842	Heidelberg Materials AG		955,647
	11,712	Henkel AG & Co. KGaA (a)		790,170
	682	Hornbach Holding AG & Co. KGaA		50,873
	3,497	Infineon Technologies AG		125,562
	55,314	Kloeckner & Co. SE		388,043
	114,025	Mercedes-Benz Group AG (a)		9,086,058
	119,838	ProSiebenSat.1 Media SE		786,324
	3,215	RTL Group SA		118,705
	7,602	SAF-Holland SE		144,161
	8,614	Salzgitter AG		221,034
	14,993	SAP SE (a)		2,809,587
	5,102	Siemens AG (Registered) (a)		1,010,037
	45,987	Talanx AG		3,282,588
	2,102	Traton SE		55,679
	4,370	Volkswagen AG		687,763
	4,154	Wacker Neuson SE		74,789
	1,076	Wuestenrot & Wuerttembergische AG		15,620
		Total Germany		33,814,649

Shares		Description	Value ($)
		Greece — 0.1%
	95,421	Eurobank Ergasias Services & Holdings SA – Class A*		197,353
	43,282	JUMBO SA		1,265,356
	33,116	Mytilineos SA		1,289,628
	11,255	National Bank of Greece SA *		88,374
	3,708	OPAP SA		67,594
		Total Greece		2,908,305
		Hong Kong — 0.8%
	309,900	ASMPT Ltd.		3,800,778
	83,000	Bank of East Asia Ltd.		103,665
	125,000	BOC Hong Kong Holdings Ltd.		328,401
	65,000	Chow Sang Sang Holdings International Ltd.		79,791
	833,000	CITIC Telecom International Holdings Ltd.		317,020
	377,500	CK Asset Holdings Ltd.		1,736,507
	513,500	CK Hutchison Holdings Ltd.		2,593,730
	131,200	Dah Sing Banking Group Ltd.		82,933
	57,200	Dah Sing Financial Holdings Ltd.		119,451
	500,000	E-Commodities Holdings Ltd.		107,038
	284,000	First Pacific Co. Ltd.		114,415
	381,025	Galaxy Entertainment Group Ltd.		2,074,592
	254,000	Giordano International Ltd.		65,532
	145,000	Health & Happiness H&H International Holdings Ltd.		216,593
	92,000	HKT Trust & HKT Ltd. – Class SS		112,171
	701,000	IGG, Inc. *		327,111
	175,500	Johnson Electric Holdings Ltd.		238,709
	154,000	K Wah International Holdings Ltd.		40,856
	40,500	Kerry Logistics Network Ltd.		45,455
	132,500	Kerry Properties Ltd.		217,731
	65,000	Luk Fook Holdings International Ltd.		173,802
	190,500	Orient Overseas International Ltd.		2,949,956
	443,000	Pacific Basin Shipping Ltd.		129,093
	518,000	Pacific Textiles Holdings Ltd.		82,078
	49,000	PAX Global Technology Ltd.		37,919
	354,000	Shun Tak Holdings Ltd. *		37,501
	84,000	SITC International Holdings Co. Ltd.		138,315
	108,500	SmarTone Telecommunications Holdings Ltd.		56,099
	286,500	Sun Hung Kai Properties Ltd. (a)		2,882,841
	276,000	Swire Pacific Ltd. – Class A		2,286,365
	43,800	Swire Properties Ltd.		90,095
	119,000	Texhong International Group Ltd. *		57,990
	5,022,000	United Energy Group Ltd. (b)		307,254
	568,000	VSTECS Holdings Ltd.		296,724
	78,500	VTech Holdings Ltd.		453,460
	5,097,000	WH Group Ltd.		3,063,071
	114,000	Xinyi Glass Holdings Ltd.		115,878
	222,000	Yue Yuen Industrial Holdings Ltd.		231,400
		Total Hong Kong		26,112,320
		Hungary — 0.3%
	42,386	Magyar Telekom Telecommunications PLC		96,224

69 See accompanying notes to the financial statements.  

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Hungary — continued
	224,975	MOL Hungarian Oil & Gas PLC		1,789,395
	157,282	OTP Bank Nyrt		7,547,345
	62,140	Richter Gedeon Nyrt		1,653,374
		Total Hungary		11,086,338
		India — 3.0%
	64,791	Arvind Ltd.		219,503
	8,501	Ashoka Buildcon Ltd. *		19,168
	164,518	Aurobindo Pharma Ltd.		2,035,782
	2,903	Avanti Feeds Ltd.		17,812
	3,043	Bajaj Auto Ltd.		290,652
	372,591	Bharat Petroleum Corp. Ltd.		2,723,676
	197,278	Brightcom Group Ltd. *		40,819
	29,979	Castrol India Ltd.		75,413
	9,298	CESC Ltd.		14,254
	74,174	Chambal Fertilisers & Chemicals Ltd.		317,305
	44,023	Chennai Petroleum Corp. Ltd.		470,975
	1,005	Cholamandalam Financial Holdings Ltd.		12,891
	10,256	Cipla Ltd.		182,477
	7,196	Colgate-Palmolive India Ltd.		219,280
	22,733	Coromandel International Ltd.		293,588
	22,656	Dhampur Bio Organics Ltd.		37,283
	57,586	Dr Reddy’s Laboratories Ltd. ADR		4,421,453
	24,993	Dr Reddy’s Laboratories Ltd.		1,933,355
	2,056	EID Parry India Ltd.		15,567
	81,416	Exide Industries Ltd.		313,984
	2,174,768	GAIL India Ltd.		4,789,314
	39,532	GHCL Ltd.		244,492
	41,900	Glenmark Pharmaceuticals Ltd.		468,016
	15,017	Godawari Power & Ispat Ltd.		134,761
	42,245	Great Eastern Shipping Co. Ltd.		509,549
	47,249	Gujarat Narmada Valley Fertilizers & Chemicals Ltd.		365,108
	18,500	Gujarat Pipavav Port Ltd.		47,493
	317,870	Gujarat State Fertilizers & Chemicals Ltd.		837,452
	5,975	Gujarat State Petronet Ltd.		26,785
	149,802	HCL Technologies Ltd.		3,018,566
	17,820	Hero MotoCorp Ltd.		946,601
	471,723	Hindalco Industries Ltd.		2,876,486
	378,592	Hindustan Petroleum Corp. Ltd.		2,353,038
	3,976	ICICI Securities Ltd.		39,160
	3,147	IIFL Finance Ltd.		22,459
	770,652	Indiabulls Housing Finance Ltd.		1,769,202
	2,604,433	Indian Oil Corp. Ltd.		5,240,780
	80,200	Infosys Ltd. Sponsored ADR (b)		1,600,792
	2,252,707	ITC Ltd.		11,041,139
	92,083	JM Financial Ltd.		107,874
	128,884	Karnataka Bank Ltd.		354,047
	4,271	Kaveri Seed Co. Ltd.		34,160
	4,709	KNR Constructions Ltd.		15,265
	4,642	KRBL Ltd.		17,974
	41,306	LIC Housing Finance Ltd.		323,341
	7,209	LT Foods Ltd.		15,617
	21,090	Mahanagar Gas Ltd.		377,058

Shares		Description	Value ($)
		India — continued
	244	Maharashtra Scooters Ltd.		22,102
	743,698	Manappuram Finance Ltd.		1,590,120
	2,153	Motilal Oswal Financial Services Ltd.		41,829
	27,742	Muthoot Finance Ltd.		433,077
	56,623	NCC Ltd.		168,674
	4,282	Nippon Life India Asset Management Ltd.		26,609
	694,299	NMDC Ltd.		1,888,821
	5,531,132	Oil & Natural Gas Corp. Ltd.		17,663,160
	249,237	Petronet LNG Ltd.		821,367
	1,215,872	Power Finance Corp. Ltd.		5,879,094
	968,366	Power Grid Corp. of India Ltd.		3,318,926
	61,176	PTC India Ltd.		149,154
	33,478	Rashtriya Chemicals & Fertilizers Ltd.		57,198
	1,010,142	REC Ltd.		5,400,222
	61,528	Redington Ltd.		154,900
	7,200	Reliance Industries Ltd.		254,199
	31,921	RITES Ltd.		307,396
	448	Sanofi India Ltd.		46,464
	30,754	Shipping Corp. of India Ltd.		88,536
	13,607	Shriram Finance Ltd.		399,602
	101,350	Sun TV Network Ltd.		757,450
	20,269	Tata Consultancy Services Ltd.		1,004,263
	5,170	Triveni Engineering & Industries Ltd.		20,573
	28,414	Ujjivan Small Finance Bank Ltd.		18,309
	2,497	UTI Asset Management Co. Ltd.		26,968
	55,698	Vardhman Textiles Ltd.		286,710
	24,916	Welspun Corp. Ltd.		154,255
	12,540	West Coast Paper Mills Ltd.		94,047
	122,967	Wipro Ltd.		770,720
	13,120	Zensar Technologies Ltd.		86,793
	191,304	Zydus Lifesciences Ltd.		2,180,985
		Total India		95,344,289
		Indonesia — 0.6%
	3,782,100	AKR Corporindo Tbk. PT		409,269
	2,741,800	Aneka Tambang Tbk. PT		254,646
	101,000	Astra International Tbk. PT		33,623
	9,696,600	Bank Central Asia Tbk. PT		6,101,740
	5,865,484	Bank Mandiri Persero Tbk. PT		2,619,956
	6,352,600	Bank Negara Indonesia Persero Tbk. PT		2,427,863
	3,007,300	Bank Pembangunan Daerah Jawa Timur Tbk. PT		115,679
	12,079,800	Bank Rakyat Indonesia Persero Tbk. PT		4,707,301
	60,000	Indah Kiat Pulp & Paper Tbk. PT		33,347
	1,422,700	Indofood Sukses Makmur Tbk. PT		600,036
	7,260,800	Kalbe Farma Tbk. PT		687,374
	566,500	Medco Energi Internasional Tbk. PT		47,106
	5,089,000	Media Nusantara Citra Tbk. PT		105,673
	15,106,900	Panin Financial Tbk. PT *		250,130
		Total Indonesia		18,393,743
		Ireland — 0.2%
	49,187	AIB Group PLC		228,354

  See accompanying notes to the financial statements. 70

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Ireland — continued
	195,834	Bank of Ireland Group PLC		1,710,214
	4,137	Kingspan Group PLC		374,104
	38,104	Origin Enterprises PLC		130,431
	24,839	Permanent TSB Group Holdings PLC *		42,111
	37,668	Ryanair Holdings PLC Sponsored ADR (a)		5,207,601
		Total Ireland		7,692,815
		Israel — 0.3%
	4,583	Check Point Software Technologies Ltd. * (b)		735,205
	53,255	Israel Discount Bank Ltd. – Class A		277,853
	796,938	Oil Refineries Ltd.		328,149
	476,117	Teva Pharmaceutical Industries Ltd. Sponsored ADR*		6,260,938
	55,169	Teva Pharmaceutical Industries Ltd. *		725,088
		Total Israel		8,327,233
		Italy — 1.8%
	91,194	Anima Holding SpA		410,763
	18,496	Arnoldo Mondadori Editore SpA		42,777
	50,895	Banca IFIS SpA		925,293
	776,466	Banco BPM SpA		4,520,444
	426,870	BPER Banca		1,713,815
	4,634	Buzzi SpA		156,584
	60,809	Credito Emiliano SpA		581,683
	597,950	Eni SpA		9,207,491
	18,080	Esprinet SpA		100,260
	30,895	Hera SpA (a)		106,785
	124,092	Intesa Sanpaolo SpA		395,159
	361,079	Leonardo SpA		7,719,922
	44,057	MFE-MediaForEurope NV – Class A		100,511
	23,898	MFE-MediaForEurope NV – Class B (b)		75,452
	33,536	OVS SpA		79,891
	43,430	Pirelli & C SpA		256,235
	40,486	Poste Italiane SpA		474,874
	647,426	Stellantis NV (a)		16,936,401
	9,212,035	Telecom Italia SpA *		2,769,571
	40,856	Tenaris SA ADR		1,438,131
	26,398	Tenaris SA		468,867
	99,533	UniCredit SpA		3,333,819
	4,871	Unieuro SpA (b)		47,799
	671,781	Unipol Gruppo SpA		5,403,113
		Total Italy		57,265,640
		Japan — 14.5%
	13,100	Aichi Corp.		95,045
	135,500	Amano Corp.		3,319,566
	5,900	AOKI Holdings, Inc.		44,062
	3,300	Artience Co. Ltd.		62,663
	9,100	Bando Chemical Industries Ltd.		103,960
	8,000	Bell System24 Holdings, Inc. (a)		90,783
	75,200	Bridgestone Corp.		3,229,277
	89,900	Brother Industries Ltd.		1,508,361

Shares		Description	Value ($)
		Japan — continued
	5,600	Canon Electronics, Inc.		84,384
	16,400	Canon Marketing Japan, Inc.		488,449
	51,700	Canon, Inc. (a)		1,511,957
	6,300	Central Glass Co. Ltd.		120,576
	4,000	Chiyoda Integre Co. Ltd.		69,905
	56,300	Chubu Electric Power Co., Inc. (a)		700,724
	380,100	Credit Saison Co. Ltd.		7,394,138
	3,900	Dai Nippon Printing Co. Ltd. (a)		113,915
	12,900	Dai Nippon Toryo Co. Ltd.		99,152
	73,300	Daicel Corp.		693,262
	8,000	Dai-Dan Co. Ltd.		99,245
	82,500	Daido Steel Co. Ltd.		976,470
	12,300	Daiichi Jitsugyo Co. Ltd.		163,313
	96,000	Daiwa House Industry Co. Ltd.		2,771,947
	328,100	Daiwabo Holdings Co. Ltd.		5,752,337
	400,300	Denka Co. Ltd.		6,565,914
	9,000	Ebara Corp.		760,609
	322,200	ENEOS Holdings, Inc.		1,390,160
	150,300	EXEO Group, Inc.		3,159,773
	2,400	FJ Next Holdings Co. Ltd.		19,069
	352,600	Fuji Corp.		6,073,428
	110,200	FUJIFILM Holdings Corp.		7,019,375
	609,400	Fujikura Ltd.		7,457,230
	1,800	Fujitsu Ltd. (a)		281,291
	2,500	Fuyo General Lease Co. Ltd.		228,577
	3,400	G-7 Holdings, Inc.		31,623
	458,800	H.U. Group Holdings, Inc.		7,858,236
	11,800	Hanwa Co. Ltd.		448,951
	30,000	Haseko Corp.		371,178
	23,800	Hazama Ando Corp.		196,397
	134,100	Hogy Medical Co. Ltd.		3,234,229
	565,200	Honda Motor Co. Ltd.		6,716,023
	173,421	Honda Motor Co. Ltd. Sponsored ADR		6,172,053
	16,000	Horiba Ltd.		1,564,060
	11,100	Hosiden Corp.		144,195
	188,400	Idemitsu Kosan Co. Ltd.		1,191,354
	27,400	Inabata & Co. Ltd.		584,996
	837,100	Inpex Corp.		11,157,463
	591,200	Isuzu Motors Ltd.		8,435,790
	313,800	ITOCHU Corp.		13,631,763
	11,700	Itochu Enex Co. Ltd.		119,474
	1,300	Itochu-Shokuhin Co. Ltd.		65,651
	17,600	Itoki Corp. (a)		193,260
	3,600	Jaccs Co. Ltd.		131,475
	36,200	Japan Petroleum Exploration Co. Ltd. (b)		1,470,094
	287,100	Japan Tobacco, Inc. (a)		7,457,854
	317,632	JSR Corp.		8,534,023
	19,800	Kaga Electronics Co. Ltd.		879,956
	78,700	Kajima Corp.		1,461,104
	8,800	Kamei Corp.		111,418
	37,100	Kandenko Co. Ltd.		423,462
	575,000	Kanematsu Corp.		9,174,879
	27,900	Kansai Electric Power Co., Inc. (a)		356,810
	74,200	Kawasaki Kisen Kaisha Ltd. (a)		3,541,641

71 See accompanying notes to the financial statements.  

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Japan — continued
	43,000	KDDI Corp. (a)		1,299,966
	390,300	Kirin Holdings Co. Ltd.		5,426,004
	18,100	Kitz Corp.		152,102
	10,300	Kokuyo Co. Ltd. (a)		162,927
	102,000	Komatsu Ltd. (a)		2,960,864
	8,245	Komeri Co. Ltd.		191,970
	67,000	Konoike Transport Co. Ltd.		831,309
	400	Krosaki Harima Corp.		38,828
	3,800	Kurita Water Industries Ltd.		154,869
	86,700	Kyudenko Corp.		3,372,666
	9,600	Life Corp.		246,898
	995,300	Macromill, Inc.		5,058,032
	85,100	Marubeni Corp. (a)		1,410,277
	218,000	Maruichi Steel Tube Ltd.		5,706,650
	5,400	Maruzen Showa Unyu Co. Ltd.		160,524
	364,800	Maxell Ltd.		3,792,546
	261,600	Mazda Motor Corp.		3,037,832
	2,200	MCJ Co. Ltd.		20,036
	1,600	Melco Holdings, Inc.		34,881
	58,400	Mirarth Holdings, Inc.		190,331
	125,000	Mitsubishi Corp. (a)		2,681,192
	686,500	Mitsubishi Electric Corp.		10,934,559
	15,400	Mitsubishi Gas Chemical Co., Inc.		251,008
	25,700	Mitsubishi HC Capital, Inc. (a)		177,582
	3,500	Mitsubishi Research Institute, Inc. (a)		117,851
	976,800	Mitsubishi UFJ Financial Group, Inc.		10,034,475
	140,100	Mitsui & Co. Ltd. (a)		6,153,548
	242,600	Mitsui OSK Lines Ltd. (a)		8,308,072
	9,900	Mitsui-Soko Holdings Co. Ltd.		311,264
	22,700	Mizuho Financial Group, Inc.		424,083
	7,000	Mizuho Leasing Co. Ltd.		257,265
	7,200	Modec, Inc.		146,754
	234,500	Morinaga & Co. Ltd.		4,203,753
	67,900	MS&AD Insurance Group Holdings, Inc. (a)		3,393,114
	149,600	NEC Corp. (a)		10,097,581
	220,900	NH Foods Ltd.		7,720,619
	25,000	Nichias Corp.		657,205
	6,600	Nichiha Corp.		153,206
	8,400	Nichireki Co. Ltd.		134,320
	7,000	Nippn Corp.		111,070
	2,400	Nippon Soda Co. Ltd.		98,421
	49,800	Nippon Television Holdings, Inc.		705,234
	433,600	Nippon Yusen KK (a)		13,808,620
	87,400	Nissan Motor Co. Ltd.		344,327
	4,600	Nisshin Oillio Group Ltd.		160,070
	3,800	Nissin Corp.		71,960
	4,200	Nittetsu Mining Co. Ltd.		140,499
	300	Nitto Denko Corp.		27,583
	41,000	Nojima Corp.		461,202
	3,100	Noritake Co. Ltd.		173,078
	15,900	Okamura Corp. (a)		232,305
	119,600	Ono Pharmaceutical Co. Ltd.		1,980,529
	3,300	Organo Corp.		169,608

Shares		Description	Value ($)
		Japan — continued
	145,200	ORIX Corp. (a)		3,050,730
	1,100	Otsuka Corp. (a)		48,369
	72,900	Otsuka Holdings Co. Ltd.		2,958,027
	449,100	Pacific Industrial Co. Ltd.		4,536,004
	42,400	PAL GROUP Holdings Co. Ltd. (b)		644,717
	559,100	Panasonic Holdings Corp.		5,285,525
	876,800	Penta-Ocean Construction Co. Ltd.		4,542,564
	8,000	Proto Corp.		71,138
	2,600	Recruit Holdings Co. Ltd. (a)		104,873
	122,100	Renesas Electronics Corp.		2,017,468
	382,400	Rohm Co. Ltd.		6,514,834
	39,200	San-A Co. Ltd. (b)		1,205,248
	9,900	San-Ai Obbli Co. Ltd.		129,890
	167,800	Sankyu, Inc.		5,933,465
	69,200	Sanwa Holdings Corp.		1,228,284
	40,600	Seiko Epson Corp.		657,216
	33,500	Sekisui Chemical Co. Ltd.		472,332
	388,700	Sekisui House Ltd.		8,658,555
	5,000	Sekisui Jushi Corp.		85,579
	56,400	Shimamura Co. Ltd.		3,002,881
	9,100	Shin-Etsu Polymer Co. Ltd.		96,234
	183,857	Shinko Electric Industries Co. Ltd.		6,675,123
	5,600	Shinnihon Corp.		47,506
	105,100	Shionogi & Co. Ltd.		5,232,600
	2,000	Sinanen Holdings Co. Ltd.		56,905
	9,300	Sinko Industries Ltd.		208,169
	34,400	SKY Perfect JSAT Holdings, Inc.		204,205
	208,120	Sojitz Corp.		5,285,496
	8,100	Sompo Holdings, Inc.		474,869
	371,400	Stanley Electric Co. Ltd.		6,367,042
	2,800	Starts Corp., Inc.		56,620
	232,600	Subaru Corp.		5,262,759
	504,600	SUMCO Corp.		7,919,112
	272,900	Sumitomo Corp.		6,406,578
	235,600	Sumitomo Forestry Co. Ltd.		6,724,072
	8,700	Sumitomo Heavy Industries Ltd.		259,269
	140,800	Sumitomo Mitsui Financial Group, Inc.		7,844,603
	312,700	Sumitomo Mitsui Trust Holdings, Inc.		6,336,312
	1,500	Sumitomo Seika Chemicals Co. Ltd.		49,607
	469,100	T&D Holdings, Inc.		8,164,413
	4,600	Takasago Thermal Engineering Co. Ltd.		134,124
	10,000	Tamron Co. Ltd.		434,524
	52,200	TDK Corp.		2,721,544
	357,100	THK Co. Ltd.		7,869,843
	558,600	Tokai Carbon Co. Ltd.		3,685,060
	1,500	Token Corp.		95,217
	1,063,900	Tokyo Electric Power Co. Holdings, Inc. * (a)		5,755,483
	225,900	Tokyo Gas Co. Ltd. (a)		4,944,539
	7,700	TOPPAN Holdings, Inc. (a)		183,518
	409,100	Tosei Corp.		5,586,862
	127,100	Tosoh Corp.		1,731,952
	6,200	Towa Pharmaceutical Co. Ltd.		115,373
	8,600	Toyo Construction Co. Ltd. (b)		81,991

  See accompanying notes to the financial statements. 72

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Japan — continued
	41,600	Toyota Industries Corp.		4,145,146
	104,400	Toyota Tsusho Corp.		6,763,394
	8,400	Unipres Corp.		61,503
	5,600	Wacoal Holdings Corp.		136,399
	4,100	Warabeya Nichiyo Holdings Co. Ltd. (b)		74,879
	23,800	YAMABIKO Corp.		293,831
	113,000	Yamaha Corp.		2,471,191
	1,167,700	Yamaha Motor Co. Ltd.		10,468,817
	4,700	Yamato Kogyo Co. Ltd.		262,313
	23,300	Yamazen Corp.		197,445
	7,900	Yellow Hat Ltd.		103,133
	237,100	Yokogawa Bridge Holdings Corp.		4,515,113
	7,200	Yuasa Trading Co. Ltd.		241,417
	121,100	Zenkoku Hosho Co. Ltd.		4,444,647
		Total Japan		469,338,249
		Jersey — 0.1%
	484,598	Arcadium Lithium PLC * (b)		2,660,443
		Kuwait — 0.0%
	11,326	Humansoft Holding Co. KSC		123,992
		Malaysia — 0.1%
	144,700	AMMB Holdings Bhd		132,456
	994,200	CIMB Group Holdings Bhd		1,353,880
	988,500	Dialog Group Bhd		437,435
	67,740	Hibiscus Petroleum Bhd		36,093
	208,300	IOI Corp. Bhd		174,656
	73,500	Kossan Rubber Industries Bhd		29,116
	294,000	KPJ Healthcare Bhd		102,180
	195,400	Malayan Banking Bhd		392,580
	225,000	MISC Bhd		360,723
	215,800	Petronas Chemicals Group Bhd		318,516
	88,300	PPB Group Bhd		290,323
		Total Malaysia		3,627,958
		Mexico — 0.9%
	237,015	Arca Continental SAB de CV		2,555,063
	187,902	Banco del Bajio SA		695,527
	13,000	Bolsa Mexicana de Valores SAB de CV		28,144
	12,596	Coca-Cola Femsa SAB de CV Sponsored ADR		1,222,442
	1,136,700	Credito Real SAB de CV SOFOM ER * (e)		—
	88,900	El Puerto de Liverpool SAB de CV – Class C1		651,354
	446,859	Fomento Economico Mexicano SAB de CV		5,563,895
	5,554	Fomento Economico Mexicano SAB de CV Sponsored ADR		690,029
	10,200	Gentera SAB de CV		15,332
	51,060	Grupo Aeroportuario del Centro Norte SAB de CV		442,529
	19,397	Grupo Aeroportuario del Sureste SAB de CV – Class B		569,030

Shares		Description	Value ($)
		Mexico — continued
	756,812	Grupo Financiero Banorte SAB de CV – Class O		7,828,209
	1,442,910	Grupo Mexico SAB de CV – Series B		7,035,819
	16,100	Kimberly-Clark de Mexico SAB de CV – Class A		35,791
	13,151	Qualitas Controladora SAB de CV		147,758
	37,900	Regional SAB de CV		353,556
	196,849	Unifin Financiera SAB de CV * (e)		—
	322,672	Wal-Mart de Mexico SAB de CV		1,288,852
		Total Mexico		29,123,330
		Netherlands — 2.1%
	28,673	ABN AMRO Bank NV GDR		461,609
	382,347	Aegon Ltd.		2,297,985
	67,227	AerCap Holdings NV *		5,188,580
	39,714	ASR Nederland NV		1,832,990
	9,661	Brunel International NV (a)		107,226
	133,973	EXOR NV (a)		14,471,240
	16,510	HEMA Bondco I B.V. * (d)		178
	768,269	ING Groep NV		10,572,795
	6,066	JDE Peet’s NV		138,521
	389,997	Koninklijke Ahold Delhaize NV (a)		11,614,833
	95,729	Koninklijke KPN NV (a)		349,934
	424,548	Koninklijke Philips NV (a)		8,553,474
	72,521	NN Group NV		3,236,444
	17,226	Prosus NV		503,137
	106,475	Randstad NV (a)		5,872,526
	93,209	Signify NV		2,504,838
	2,719	Van Lanschot Kempen NV		92,612
	7,088	Wolters Kluwer NV (a)		1,119,335
		Total Netherlands		68,918,257
		New Zealand — 0.0%
	246,814	Meridian Energy Ltd. (a)		898,725
		Norway — 0.7%
	23,228	Aker BP ASA		563,828
	78,439	Austevoll Seafood ASA		595,362
	83,891	BW LPG Ltd.		966,052
	42,506	DNB Bank ASA		851,128
	310,341	DNO ASA		263,564
	319,969	Elkem ASA		635,665
	550,306	Equinor ASA		13,558,864
	99,214	Europris ASA		684,215
	228,997	Hafnia Ltd.		1,685,199
	96,457	Hoegh Autoliners ASA		941,356
	56,862	Odfjell Drilling Ltd.		239,545
	27,759	Orkla ASA		198,999
	15,675	Stolt-Nielsen Ltd.		587,764
	13,006	TGS ASA		128,104
	109,148	Wallenius Wilhelmsen ASA		1,047,091
		Total Norway		22,946,736

73 See accompanying notes to the financial statements.  

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Pakistan — 0.1%
	152,384	Attock Refinery Ltd.		186,873
	245,117	Engro Fertilizers Ltd.		129,110
	176,500	Fauji Fertilizer Bin Qasim Ltd. *		16,897
	108,932	Fauji Fertilizer Co. Ltd.		46,549
	104,355	Habib Bank Ltd.		43,280
	121,637	Hub Power Co. Ltd.		49,779
	10,569	Lucky Cement Ltd.		28,369
	4,628	Mari Petroleum Co. Ltd.		38,892
	35,828	Nishat Mills Ltd.		8,878
	1,184,416	Oil & Gas Development Co. Ltd.		530,966
	28,096	Pakistan Oilfields Ltd.		42,971
	1,237,674	Pakistan Petroleum Ltd.		505,268
	299,312	SUI Northern Gas Pipeline		73,215
	78,171	United Bank Ltd.		53,798
		Total Pakistan		1,754,845
		Philippines — 0.0%
	19,470	Manila Electric Co.		135,178
	3,393,024	Megaworld Corp.		116,583
		Total Philippines		251,761
		Poland — 0.6%
	15,769	Asseco Poland SA		296,132
	74,395	Bank Polska Kasa Opieki SA		3,226,763
	4,840	Budimex SA		884,705
	116,414	Cyfrowy Polsat SA *		341,884
	76	Grupa Kety SA		13,422
	136,038	Orange Polska SA		278,423
	604,677	ORLEN SA		9,392,643
	172,781	Powszechny Zaklad Ubezpieczen SA		2,126,109
	7,258	Santander Bank Polska SA		1,000,935
	9,379	XTB SA		113,312
		Total Poland		17,674,328
		Portugal — 0.2%
	35,155	EDP - Energias de Portugal SA		140,002
	329,741	Galp Energia SGPS SA		5,188,697
	152,165	Navigator Co. SA		618,861
	23,211	REN - Redes Energeticas Nacionais SGPS SA		54,982
	804,092	Sonae SGPS SA		739,860
		Total Portugal		6,742,402
		Qatar — 0.0%
	167,402	Industries Qatar QSC		593,622
	212,279	Ooredoo QPSC		663,216
		Total Qatar		1,256,838
		Russia — 0.0%
	10,221,010	Alrosa PJSC (e) (f)		79,735
	376,870,000	Federal Grid Co.-Rosseti PJSC * (e)		4,939
	214,678	Fix Price Group PLC GDR (e)		5,070

Shares		Description	Value ($)
		Russia — continued
	415,363	Gazprom Neft PJSC (e)		36,395
	4,924,596	Gazprom PJSC * (e)		86,974
	18,204,300	Inter RAO UES PJSC (e)		8,062
	88,304	LSR Group PJSC (e)		9,491
	4	LSR Group PJSC GDR* (e)		—
	192,855	LUKOIL PJSC (e)		155,907
	5,760,219	Magnitogorsk Iron & Steel Works PJSC * (e) (f)		34,429
	71,800	Mechel PJSC * (e) (f)		2,159
	12,797	MMC Norilsk Nickel PJSC (e)		20,436
	8	MMC Norilsk Nickel PJSC ADR * (e)		1
	23,942	Mobile TeleSystems PJSC (e)		761
	1,472,470	Moscow Exchange MICEX-Rates PJSC (e)		32,082
	7,545,000	Mosenergo PJSC (e)		2,812
	191,960	Novatek PJSC (e)		28,301
	3,493,400	Novolipetsk Steel PJSC * (e)		76,053
	6,115	PhosAgro PJSC (e)		4,503
	118	PhosAgro PJSC GDR * (e) (f)		29
	25,552	Polyus PJSC * (e) (f)		30,766
	1	Polyus PJSC GDR (Registered) * (e) (f)		1
	1,493	Ros Agro PLC GDR* (e)		231
	49,974,140	RusHydro PJSC (e)		4,123
	8,073,970	Sberbank of Russia PJSC (e) (f)		258,544
	7,395	Severstal PAO * (e) (f)		1,336
	261,549	Severstal PAO GDR (Registered) * (e) (f)		47,441
	29,090	SFI PJSC (e)		4,910
	27,770,670	Surgutneftegas PJSC (e)		89,230
	986,916	Tatneft PJSC (e)		77,767
	725,480	Unipro PJSC * (e)		172
	55,470	United Co. Rusal International PJSC * (e)		210
	752,312,000	VTB Bank PJSC * (e) (f)		1,924
		Total Russia		1,104,794
		Saudi Arabia — 0.1%
	72,398	Almarai Co. JSC		1,136,638
	188,119	National Industrialization Co. *		661,123
	276,319	Rabigh Refining & Petrochemical Co. *		609,327
	126,505	Saudi Arabian Oil Co.		1,069,583
	1,260	Saudi Basic Industries Corp.		26,471
	35,759	Saudi National Bank		404,120
	61,597	Saudi Telecom Co.		697,253
		Total Saudi Arabia		4,604,515
		Singapore — 0.5%
	72,800	Asian Pay Television Trust		4,653
	102,600	Bumitama Agri Ltd.		48,873
	937,600	ComfortDelGro Corp. Ltd.		942,008
	28,324	DBS Group Holdings Ltd.		702,301
	122,400	First Real Estate Investment Trust – (REIT)		22,695
	331,900	First Resources Ltd.		350,782
	2,421,600	Golden Agri-Resources Ltd.		476,828
	116,300	Japfa Ltd.		18,150
	474,600	Keppel Ltd.		2,559,305

  See accompanying notes to the financial statements. 74

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Singapore — continued
	354,700	Oversea-Chinese Banking Corp. Ltd.		3,426,016
	182,200	Sasseur Real Estate Investment Trust – (REIT)		92,106
	900	Sembcorp Industries Ltd.		3,418
	76,000	Sheng Siong Group Ltd.		87,613
	37,800	Silverlake Axis Ltd.		6,466
	230,000	StarHub Ltd.		194,970
	36,000	United Overseas Bank Ltd.		749,110
	23,300	UOL Group Ltd.		102,075
	40,000	Venture Corp. Ltd.		416,894
	315,300	Yangzijiang Financial Holding Ltd.		80,989
	4,214,577	Yangzijiang Shipbuilding Holdings Ltd.		5,491,965
	434,500	Yanlord Land Group Ltd. *		152,053
		Total Singapore		15,929,270
		South Africa — 1.1%
	219,756	Absa Group Ltd.		1,876,007
	41,916	AECI Ltd.		212,437
	58,543	African Rainbow Minerals Ltd.		514,985
	137,901	Anglo American Platinum Ltd.		5,304,867
	11,186	Aspen Pharmacare Holdings Ltd.		114,278
	1,821	Astral Foods Ltd. *		13,909
	126,795	AVI Ltd.		591,741
	38,824	Barloworld Ltd.		136,170
	166,149	Bidvest Group Ltd.		2,027,643
	48,700	Clicks Group Ltd.		760,438
	41,333	Coronation Fund Managers Ltd.		67,311
	4,800	DRDGOLD Ltd. Sponsored ADR		32,400
	1,861,366	FirstRand Ltd.		6,297,175
	134,165	Foschini Group Ltd.		732,723
	1,181,025	Impala Platinum Holdings Ltd.		4,007,899
	56,609	Investec Ltd.		356,378
	76,817	Kumba Iron Ore Ltd.		2,150,799
	31,465	Momentum Metropolitan Holdings		34,185
	79,452	Motus Holdings Ltd.		383,858
	175,462	Mr Price Group Ltd.		1,556,006
	134,840	Nedbank Group Ltd.		1,542,610
	156,131	Ninety One Ltd.		318,439
	26,901	Omnia Holdings Ltd.		87,606
	43,682	Reunert Ltd.		148,471
	120,430	Sanlam Ltd.		461,699
	3,420	Santam Ltd.		53,972
	401,164	Sappi Ltd.		964,745
	58,863	Shoprite Holdings Ltd.		793,027
	1,041,334	Sibanye Stillwater Ltd.		1,073,293
	162,200	Sibanye Stillwater Ltd. ADR		668,264
	4,013	SPAR Group Ltd. *		20,412
	37,316	Standard Bank Group Ltd.		393,012
	61,653	Tiger Brands Ltd.		640,239
	508,446	Truworths International Ltd.		1,907,244
	21,065	Vodacom Group Ltd.		103,433
	94,448	Woolworths Holdings Ltd.		315,924
		Total South Africa		36,663,599

Shares		Description	Value ($)
		South Korea — 2.5%
	21,066	ABOV Semiconductor Co. Ltd.		271,238
	128,884	BNK Financial Group, Inc.		726,718
	20,292	Cheil Worldwide, Inc.		281,906
	35,333	Coway Co. Ltd.		1,438,133
	20,847	Daou Data Corp.		216,010
	4,151	DB Insurance Co. Ltd. *		308,023
	196,382	Dongwon Development Co. Ltd.		442,864
	6,746	F&F Co. Ltd.		366,785
	55,133	GS Holdings Corp.		1,990,122
	51,340	Hana Financial Group, Inc.		2,184,409
	11,389	Handsome Co. Ltd.		163,400
	38,238	Hankook Tire & Technology Co. Ltd.		1,557,827
	29,634	HDC Hyundai Development Co-Engineering & Construction		442,522
	14,213	Hotel Shilla Co. Ltd.		641,485
	11,984	Hyundai Glovis Co. Ltd. *		1,715,686
	2,982	Hyundai Home Shopping Network Corp.		104,913
	2,459	Hyundai Marine & Fire Insurance Co. Ltd. *		58,160
	9,753	Hyundai Mipo Dockyard Co. Ltd.		460,697
	31,129	Hyundai Mobis Co. Ltd.		5,677,857
	9,466	Hyundai Motor Co.		1,782,139
	6,980	INTOPS Co. Ltd.		152,305
	77,237	JB Financial Group Co. Ltd.		763,373
	11,138	JYP Entertainment Corp. *		616,454
	20,520	KB Financial Group, Inc. ADR		971,622
	1,036	KCC Glass Corp.		31,948
	166,722	Kia Corp. *		15,613,168
	129,547	KT&G Corp.		9,048,172
	23,897	LG Corp.		1,682,086
	126,332	LG Electronics, Inc.		9,031,187
	21,475	LOTTE Fine Chemical Co. Ltd.		766,725
	58,796	Mirae Asset Securities Co. Ltd. *		398,998
	2,147	NH Investment & Securities Co. Ltd. *		18,957
	5,519	Orion Corp.		384,930
	10,064	Pearl Abyss Corp. *		229,380
	81,964	POSCO Holdings, Inc. Sponsored ADR		6,625,150
	539	S-1 Corp.		23,492
	83,084	Samsung Electronics Co. Ltd.		4,585,645
	789	Samsung Electronics Co. Ltd. GDR (a)		1,074,409
	6,109	Samsung Securities Co. Ltd.		190,925
	51,344	SK Networks Co. Ltd. *		252,861
	54,287	SK Square Co. Ltd. *		2,848,583
	481	SNT Motiv Co. Ltd.		16,068
	6,596	TKG Huchems Co. Ltd.		99,362
	250,205	Woori Financial Group, Inc.		2,803,513
	16,763	Youngone Corp. *		553,552
		Total South Korea		79,613,759
		Spain — 1.9%
	236,182	Acerinox SA		2,593,355
	2,769	ACS Actividades de Construccion y Servicios SA		113,870
	57,046	Amadeus IT Group SA (a)		3,374,775

75 See accompanying notes to the financial statements.  

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Spain — continued
	5,951	Applus Services SA (a)		73,313
	53,381	Atresmedia Corp. de Medios de Comunicacion SA		218,696
	1,713,114	Banco Bilbao Vizcaya Argentaria SA		17,087,079
	5,923,981	Banco de Sabadell SA		7,704,599
	2,875,421	Banco Santander SA		11,983,274
	5,871	Cia de Distribucion Integral Logista Holdings SA		157,832
	1,514	Faes Farma SA		4,909
	8,882	Iberdrola SA (a)		102,011
	193,432	Industria de Diseno Textil SA (a)		8,605,417
	277,549	Mapfre SA		589,211
	84,757	Prosegur Compania de Seguridad SA (a)		162,348
	615,027	Repsol SA		9,769,740
		Total Spain		62,540,429
		Sweden — 0.9%
	19,525	AcadeMedia AB		89,279
	39,848	Alleima AB		262,050
	29,509	Betsson AB – Class B (a)		291,776
	101,786	Boliden AB		2,579,705
	72,474	Fabege AB		592,865
	616,587	Fastighets AB Balder – B Shares*		3,834,816
	16,298	Investor AB – A Shares (a)		404,409
	394,936	Investor AB – B Shares (a)		9,936,296
	12,473	NCC AB – Class B		168,895
	21,700	Peab AB – Class B		119,707
	34,455	Securitas AB – B Shares (a)		370,613
	92,394	Skanska AB – B Shares		1,705,172
	189,379	SSAB AB – A Shares		1,481,035
	428,168	Telefonaktiebolaget LM Ericsson – B Shares		2,324,954
	21,293	Volvo AB – A Shares		594,146
	94,718	Volvo AB – B Shares (a)		2,609,815
	90,707	Volvo Car AB – Class B*		331,682
		Total Sweden		27,697,215
		Switzerland — 1.2%
	225,941	Adecco Group AG (Registered) (a)		9,057,406
	14,374	Holcim AG		1,173,199
	13,684	Logitech International SA (Registered) (c)		1,210,848
	2,299	Logitech International SA (Registered) (c)		201,898
	6,653	Mobilezone Holding AG		103,078
	25,698	Novartis AG (Registered)		2,592,864
	47,490	Novartis AG Sponsored ADR		4,795,065
	1,655	Roche Holding AG		457,514
	62,349	Roche Holding AG – Genusschein		16,301,834
	19,469	Sandoz Group AG ADR*		604,902
	8,338	Sandoz Group AG *		257,919
	1,007	Swatch Group AG *		237,738
	1,406	Swisscom AG (Registered) (a)		803,637
	2,308	u-blox Holding AG		219,926
	18,116	UBS Group AG (Registered) (a) (c)		517,244

Shares		Description	Value ($)
		Switzerland — continued
	39,480	UBS Group AG (Registered) (a) (c)		1,123,206
		Total Switzerland		39,658,278
		Taiwan — 3.5%
	1,898	Advantech Co. Ltd.		23,425
	607,788	ASE Technology Holding Co. Ltd. ADR		5,919,855
	30,000	Asia Cement Corp.		38,402
	173,799	Asustek Computer, Inc.		2,504,210
	969,000	Catcher Technology Co. Ltd.		6,037,466
	139,490	Chicony Electronics Co. Ltd.		828,055
	355,000	Chipbond Technology Corp.		797,503
	146,000	ChipMOS Technologies, Inc.		203,796
	82,540	Chong Hong Construction Co. Ltd.		203,957
	2,378,000	Compal Electronics, Inc.		2,746,033
	137,080	Coretronic Corp.		308,339
	11,000	Dynapack International Technology Corp.		28,292
	141,000	Elitegroup Computer Systems Co. Ltd.		142,982
	1,915,000	Evergreen Marine Corp. Taiwan Ltd.		10,032,130
	33,000	Everlight Electronics Co. Ltd.		52,205
	255,000	Farglory Land Development Co. Ltd.		453,395
	14,000	First Financial Holding Co. Ltd.		12,008
	118,709	FLEXium Interconnect, Inc.		324,387
	35,000	Formosa Advanced Technologies Co. Ltd.		40,433
	497,000	Foxconn Technology Co. Ltd.		781,835
	8,000	Fusheng Precision Co. Ltd.		57,008
	69,000	Giant Manufacturing Co. Ltd.		445,913
	34,000	Global Brands Manufacture Ltd.		70,256
	4,000	Global Mixed Mode Technology, Inc.		32,871
	337,000	Grand Pacific Petrochemical		150,912
	6,000	Greatek Electronics, Inc.		11,358
	34,000	Hannstar Board Corp.		60,920
	3,703,406	Hon Hai Precision Industry Co. Ltd.		12,074,865
	191,000	Huaku Development Co. Ltd.		597,080
	22,279	Innodisk Corp.		215,452
	161,000	King’s Town Bank Co. Ltd.		227,493
	148,000	Kung Long Batteries Industrial Co. Ltd.		620,358
	28,000	Largan Precision Co. Ltd.		2,297,943
	230,000	Lite-On Technology Corp. ADR		798,021
	304,000	MediaTek, Inc.		10,970,239
	510,000	Micro-Star International Co. Ltd.		3,086,303
	570,000	Mitac Holdings Corp.		763,293
	46,000	momo.com, Inc.		646,863
	295,502	Nantex Industry Co. Ltd.		330,554
	4,000	Nien Made Enterprise Co. Ltd.		46,825
	382,000	Novatek Microelectronics Corp.		7,270,739
	159,000	Pegatron Corp.		430,534
	5,000	Pixart Imaging, Inc.		27,085
	900,566	Pou Chen Corp.		870,019
	363,000	Primax Electronics Ltd.		836,395
	587,263	Radiant Opto-Electronics Corp.		2,742,417
	5,000	Raydium Semiconductor Corp.		70,813
	41,000	Realtek Semiconductor Corp.		738,945
	165,000	Ruentex Industries Ltd.		309,284

  See accompanying notes to the financial statements. 76

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Taiwan — continued
	141,280	Shin Zu Shing Co. Ltd.		755,681
	128,000	Shinkong Insurance Co. Ltd.		281,142
	5,000	Sigurd Microelectronics Corp.		11,139
	13,800	Silicon Motion Technology Corp. ADR (g)		976,902
	106,000	Simplo Technology Co. Ltd.		1,430,963
	5,300	Sporton International, Inc.		39,470
	55,000	T3EX Global Holdings Corp.		160,332
	66,000	TaiDoc Technology Corp.		331,836
	25,000	Taiwan Fertilizer Co. Ltd.		52,698
	14,000	Taiwan Hon Chuan Enterprise Co. Ltd.		64,426
	286,000	Taiwan Semiconductor Manufacturing Co. Ltd.		6,267,551
	113,252	Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (b)		14,572,135
	38,000	Taiwan Surface Mounting Technology Corp.		118,066
	8,000	Test Research, Inc.		18,474
	8,000	Topkey Corp.		47,385
	311,000	Transcend Information, Inc.		787,438
	141,000	Tripod Technology Corp.		929,623
	23,000	Tung Ho Steel Enterprise Corp.		56,228
	34,000	TXC Corp.		107,458
	2,000	United Integrated Services Co. Ltd.		18,565
	465,400	Wan Hai Lines Ltd.		741,390
	161,000	WPG Holdings Ltd.		472,713
	3,242,000	Yang Ming Marine Transport Corp.		5,114,855
	2,325,365	Yuanta Financial Holding Co. Ltd.		2,020,793
		Total Taiwan		113,656,729
		Thailand — 0.6%
	4,126,200	AP Thailand PCL NVDR		1,208,977
	957,000	Bangkok Bank PCL NVDR		3,815,993
	412,100	Berli Jucker PCL NVDR		278,065
	226,000	GFPT PCL NVDR		74,929
	751,100	Kasikornbank PCL NVDR		2,577,487
	15,491,400	Krung Thai Bank PCL NVDR		6,952,647
	410,000	Osotspa PCL NVDR		232,065
	565,380	Pruksa Holding PCL NVDR		194,201
	159,808	Pruksa Holding PCL (Foreign Registered)		54,892
	575,300	PTT Exploration & Production PCL NVDR		2,415,881
	231,400	PTT PCL NVDR		220,866
	5,559,900	Sansiri PCL NVDR		285,486
	263,900	SCB X PCL NVDR		828,890
	207,800	Somboon Advance Technology PCL NVDR		107,884
	785,800	Sri Trang Agro-Industry PCL NVDR		422,867
	620,600	Supalai PCL NVDR		363,366
	272,400	Thai Oil PCL NVDR		425,287
	208,230	Thai Vegetable Oil PCL NVDR		122,117
		Total Thailand		20,581,900
		Turkey — 0.6%
	19,312	AG Anadolu Grubu Holding AS		157,798
	2,371,854	Akbank TAS		3,152,196

Shares		Description	Value ($)
		Turkey — continued
	1,819,781	Aselsan Elektronik Sanayi Ve Ticaret AS		3,492,189
	291,649	Dogan Sirketler Grubu Holding AS		126,378
	101,695	Dogus Otomotiv Servis ve Ticaret AS		870,324
	1,015,614	Hektas Ticaret TAS *		621,111
	711,708	KOC Holding AS		3,830,260
	881,980	Koza Altin Isletmeleri AS		646,698
	144,795	Mavi Giyim Sanayi Ve Ticaret AS – Class B		658,048
	196,956	Tekfen Holding AS		296,081
	50,499	Turk Hava Yollari AO *		455,201
	534,220	Turkiye Sise ve Cam Fabrikalari AS		874,465
	541,435	Vestel Beyaz Esya Sanayi ve Ticaret AS		377,735
	3,838,959	Yapi ve Kredi Bankasi AS		2,833,096
		Total Turkey		18,391,580
		Ukraine — 0.0%
	36,516	Kernel Holding SA *		118,869
		United Arab Emirates — 0.1%
	462,467	Emirates NBD Bank PJSC		2,302,422
		United Kingdom — 4.7%
	578,165	3i Group PLC		18,063,641
	171,813	abrdn PLC		342,147
	77,435	Balfour Beatty PLC		332,543
	16,420	Bank of Georgia Group PLC		976,461
	767,337	Barratt Developments PLC		4,527,368
	70,031	Bellway PLC		2,388,622
	106,950	Berkeley Group Holdings PLC		6,283,644
	950,120	BP PLC		5,520,257
	155,222	British American Tobacco PLC (a)		4,611,862
	133,168	British American Tobacco PLC Sponsored ADR (a)		3,980,392
	6,733,690	BT Group PLC		8,888,279
	268,499	Centamin PLC		306,239
	166,231	Coca-Cola HBC AG		5,181,965
	182,376	Compass Group PLC (a)		5,004,143
	14,742	Crest Nicholson Holdings PLC		39,458
	8,711	Dunelm Group PLC		126,985
	30,601	Evraz PLC * (e)		791
	354,960	Ferrexpo PLC *		323,320
	1,274,014	Glencore PLC		6,056,824
	52,094	GSK PLC		1,089,725
	110,686	GSK PLC Sponsored ADR		4,637,743
	16,686	Halfords Group PLC		32,018
	305,684	Harbour Energy PLC		976,526
	948,217	HSBC Holdings PLC		7,380,702
	75,993	HSBC Holdings PLC Sponsored ADR		2,977,406
	165,803	IG Group Holdings PLC		1,463,526
	85,132	Imperial Brands PLC		1,833,939
	27,836	International Personal Finance PLC		39,508
	64,947	Investec PLC		406,499
	1,264,906	ITV PLC		895,039
	749,480	J Sainsbury PLC		2,365,977

77 See accompanying notes to the financial statements.  

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		United Kingdom — continued
	11,440	Keller Group PLC		125,147
	1,577,959	Kingfisher PLC		4,679,587
	428,347	Liberty Global Ltd. – Class A*		7,496,072
	68,000	Lifezone Holdings Ltd. *		345,440
	3,529,945	Lloyds Banking Group PLC		2,087,164
	192,029	Moneysupermarket.com Group PLC		594,007
	24,570	Morgan Sindall Group PLC		730,530
	598,863	NatWest Group PLC		1,810,721
	228,099	OSB Group PLC		1,202,214
	45,981	Paragon Banking Group PLC		373,438
	122,710	Persimmon PLC		2,114,714
	76,599	Plus500 Ltd.		1,645,348
	91,595	Premier Foods PLC		159,632
	48,441	Reach PLC		36,176
	129,085	Redde Northgate PLC		563,651
	209,526	Redrow PLC		1,690,761
	9,560	RELX PLC (a)		418,616
	28,364	Rio Tinto PLC		1,819,560
	15,247	Sage Group PLC (a)		240,180
	31,093	Serica Energy PLC		68,167
	270,736	Shell PLC		8,373,813
	30,469	Shell PLC ADR		1,914,367
	54,292	Standard Chartered PLC		459,037
	1,515,480	Taylor Wimpey PLC		2,641,095
	10,766	TBC Bank Group PLC		402,282
	207,293	Tesco PLC		731,129
	73,243	Unilever PLC Sponsored ADR (a)		3,586,710
	63,851	Vesuvius PLC		390,498
	2,347,544	Vodafone Group PLC (a)		2,062,101
	750,684	Vodafone Group PLC Sponsored ADR (a)		6,711,115
		Total United Kingdom		152,526,821
		United States — 23.3%
	76,864	3M Co. (a) (b)		7,080,712
	7,537	Academy Sports & Outdoors, Inc. (b)		563,165
	3,210	Adtalem Global Education, Inc. * (b)		158,895
	3,174	Advance Auto Parts, Inc. (b)		214,372
	1,000	Advanced Drainage Systems, Inc. (b)		163,240
	45,998	Aemetis, Inc. * (b)		166,973
	4,559	Affiliated Managers Group, Inc.		712,617
	16,850	AGCO Corp. (b)		1,848,445
	5,124	Akamai Technologies, Inc. * (b)		568,354
	599,579	Albertsons Cos., Inc. – Class A		12,159,462
	3,480	Allison Transmission Holdings, Inc.		262,148
	191,825	Ally Financial, Inc.		7,095,607
	83,389	Alphabet, Inc. – Class A* (a)		11,546,041
	39,729	Alphabet, Inc. – Class C* (a) (b)		5,553,320
	81,993	Ameresco, Inc. – Class A* (b)		1,718,573
	41,703	American Express Co. (a) (b)		9,150,472
	34,627	Archer-Daniels-Midland Co. (b)		1,839,040
	101,400	Array Technologies, Inc. * (b)		1,383,096
	7,876	Arrow Electronics, Inc. * (b)		925,430
	4,837	Aspen Technology, Inc. * (b)		937,846

Shares		Description	Value ($)
		United States — continued
	2,579	Atkore, Inc. (b)		436,883
	2,897	AutoNation, Inc. * (b)		433,971
	7,660	Avnet, Inc. (b)		356,879
	62,474	Axonics, Inc. * (a)		4,244,484
	165,151	Bank of America Corp. (a) (b)		5,701,013
	33,377	Bank of New York Mellon Corp. (a) (b)		1,872,116
	25,784	Best Buy Co., Inc. (b)		2,085,410
	17,481	Bio-Rad Laboratories, Inc. – Class A* (b)		5,696,708
	1,487	Booking Holdings, Inc. * (b)		5,158,150
	251,573	BorgWarner, Inc.		7,831,468
	56,382	Bristol-Myers Squibb Co.		2,861,387
	5,806	Brunswick Corp. (b)		507,444
	35,662	Builders FirstSource, Inc. *		6,960,509
	1,757	Bunge Global SA (a) (b)		165,808
	42,400	California Resources Corp.		2,212,008
	63,748	Capital One Financial Corp. (a) (b)		8,772,362
	35,611	CarMax, Inc. * (b)		2,813,269
	3,800	Carter’s, Inc. (b)		307,610
	10,396	CBRE Group, Inc. – Class A* (a)		955,288
	74,417	Centene Corp. * (a) (b)		5,836,525
	70,630	Chesapeake Energy Corp.		5,846,751
	56,254	Chevron Corp. (b)		8,551,171
	8,764	Cigna Group (a)		2,945,931
	182,439	Cisco Systems, Inc. (a) (b)		8,824,574
	174,827	Citigroup, Inc. (a)		9,701,150
	287,441	Clean Energy Fuels Corp. * (b)		847,951
	283,447	Cleveland-Cliffs, Inc. *		5,895,698
	99,217	Cognizant Technology Solutions Corp. – Class A (a) (b)		7,840,127
	245,838	Comcast Corp. – Class A (a)		10,534,158
	5,668	Commercial Metals Co.		306,072
	41,800	ConocoPhillips (b)		4,704,172
	31,600	Corteva, Inc. (b)		1,691,232
	3,760	Crocs, Inc. *		459,660
	6,434	Cummins, Inc. (a)		1,728,237
	110,600	CVS Health Corp. (b)		8,225,322
	223,009	Darling Ingredients, Inc. * (b)		9,435,511
	1,300	Deere & Co. (a) (b)		474,565
	12,906	Dick’s Sporting Goods, Inc. (b)		2,295,848
	68,953	Discover Financial Services (a)		8,322,627
	24,213	DR Horton, Inc. (b)		3,618,391
	19,450	Dropbox, Inc. – Class A* (b)		465,828
	167,391	eBay, Inc. (a) (b)		7,914,247
	5,973	Elevance Health, Inc. (a)		2,993,966
	1,583	Encore Wire Corp. (b)		381,503
	9,200	Enphase Energy, Inc. * (b)		1,168,492
	50,074	EOG Resources, Inc. (b)		5,731,470
	63,558	Etsy, Inc. * (b)		4,556,473
	39,654	Expedia Group, Inc. * (a)		5,425,460
	62,315	Exxon Mobil Corp. (b)		6,513,164
	14,604	F5, Inc. * (b)		2,734,161
	3,670	Federated Hermes, Inc.		129,294
	94,969	Fidelity National Financial, Inc. (b)		4,803,532
	582	First Horizon Corp.		8,206

  See accompanying notes to the financial statements. 78

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		United States — continued
	9,900	First Solar, Inc. * (b)		1,523,511
	8,610	FMC Corp. (b)		485,518
	8,677	Foot Locker, Inc.		298,749
	669,804	Ford Motor Co. (a) (b)		8,332,362
	182,100	Fox Corp. – Class B (a)		4,985,898
	205,303	Franklin Resources, Inc. (b)		5,635,567
	53,500	Freeport-McMoRan, Inc. (b)		2,022,835
	2,474	Garmin Ltd. (b)		339,804
	201,500	GCI Liberty, Inc. * (b) (d)		—
	13,315	GE HealthCare Technologies, Inc. (b)		1,215,393
	12,907	General Electric Co. (a)		2,024,979
	19,299	General Mills, Inc. (b)		1,238,610
	204,253	General Motors Co. (a)		8,370,288
	9,028	Goldman Sachs Group, Inc. (a)		3,512,343
	408,136	GrafTech International Ltd. (b)		718,319
	285	Graham Holdings Co. – Class B (b)		200,164
	167,259	Green Plains, Inc. * (b)		3,562,617
	1,720	Group 1 Automotive, Inc. (b)		465,518
	4,600	Gulfport Energy Corp. *		653,154
	20,087	H&R Block, Inc. (b)		983,259
	542	Harley-Davidson, Inc.		19,658
	16,601	Hartford Financial Services Group, Inc. (a)		1,591,040
	2,217	Henry Schein, Inc. * (b)		169,534
	14,123	Hess Corp.		2,058,427
	378,814	Hewlett Packard Enterprise Co. (b)		5,769,337
	19,478	Hilton Worldwide Holdings, Inc. (a)		3,979,745
	1,800	HNI Corp. (a) (b)		80,658
	266,363	HP, Inc. (a) (b)		7,546,064
	4,160	Humana, Inc. (a)		1,457,331
	8,878	Huntsman Corp.		227,277
	26,762	Illumina, Inc. * (b)		3,742,130
	92,993	Incyte Corp. * (b)		5,427,072
	222,975	Intel Corp. (b)		9,599,074
	40,082	Intercontinental Exchange, Inc. (a)		5,548,150
	58,351	International Business Machines Corp. (b)		10,796,686
	56,601	Invesco Ltd.		872,221
	8,083	Jackson Financial, Inc. – Class A (b)		444,969
	26,360	Janus Henderson Group PLC		821,378
	32,570	Jazz Pharmaceuticals PLC * (b)		3,872,573
	30,818	Johnson & Johnson (a) (b)		4,973,409
	43,336	JPMorgan Chase & Co. (a)		8,063,096
	18,879	Karuna Therapeutics, Inc. *		5,927,440
	17,997	Keysight Technologies, Inc. * (b)		2,776,937
	307,952	Kinder Morgan, Inc.		5,355,285
	15,558	Kohl’s Corp. (b)		433,601
	1,359,351	Kosmos Energy Ltd. * (b)		8,346,415
	205,780	Kraft Heinz Co. (a)		7,259,918
	75,567	Kroger Co. (a) (b)		3,748,879
	2,186	Laboratory Corp. of America Holdings (b)		471,804
	4,610	Lam Research Corp. (b)		4,325,333
	79,806	Las Vegas Sands Corp. (a)		4,351,023
	2,129	La-Z-Boy, Inc. (b)		80,881
	7,013	Lear Corp.		963,236
	22,466	Lennar Corp. – Class A (b)		3,561,086

Shares		Description	Value ($)
		United States — continued
	125,594	Liberty Broadband Corp. – Class C* (b)		7,558,247
	15,000	Liberty Energy, Inc. (b)		320,700
	41,543	Liberty Media Corp.-Liberty Formula One – Class A*		2,723,144
	14,089	LyondellBasell Industries NV – Class A		1,412,845
	10,300	M&T Bank Corp. (b)		1,439,322
	47,437	Macy’s, Inc. (b)		827,301
	9,205	ManpowerGroup, Inc. (a)		664,233
	22,800	Marathon Oil Corp.		552,900
	10,305	Marathon Petroleum Corp.		1,743,915
	2,629	Markel Group, Inc. * (b)		3,923,730
	159,986	Match Group, Inc. * (b)		5,765,895
	511	Matson, Inc. (b)		56,747
	51,148	McGrath RentCorp (b)		6,366,903
	23,111	Medtronic PLC (a) (b)		1,926,533
	26,354	Merck & Co., Inc.		3,350,911
	34,294	Meta Platforms, Inc. – Class A (a)		16,808,518
	53,590	MGIC Investment Corp.		1,065,905
	49,741	Micron Technology, Inc. (b)		4,507,032
	51,321	Moderna, Inc. * (b)		4,733,849
	10,217	Molson Coors Beverage Co. – Class B (b)		637,745
	51,665	Mosaic Co.		1,609,881
	8,500	Northern Oil & Gas, Inc. (b)		303,705
	41,559	Nucor Corp. (b)		7,991,796
	76,351	ON Semiconductor Corp. * (b)		6,025,621
	2,043	OneMain Holdings, Inc. (b)		96,491
	3,821	Oracle Corp. (a)		426,729
	24,890	Otis Worldwide Corp. (b)		2,372,017
	124,854	Ovintiv, Inc.		6,169,036
	4,748	Owens Corning		711,155
	68,302	PACCAR, Inc. (a)		7,574,009
	396,226	Paramount Global – Class B (b)		4,374,335
	132,966	PayPal Holdings, Inc. * (a) (b)		8,023,168
	755,227	Pershing Square Tontine Holdings Ltd. * (e)		1
	336,977	Pfizer, Inc.		8,950,109
	4,235	Phillips 66 (b)		603,530
	77,278	Physicians Realty Trust REIT (a)		867,832
	85,524	Pioneer Natural Resources Co.		20,114,392
	23,100	PotlatchDeltic Corp. – (REIT) (b)		1,044,351
	14,007	Premier, Inc. – Class A (a)		292,186
	24,700	ProPetro Holding Corp. *		182,780
	34,227	PulteGroup, Inc. (b)		3,709,522
	5,292	PVH Corp.		723,258
	68,761	QUALCOMM, Inc. (b)		10,849,798
	35,297	Radian Group, Inc.		1,028,555
	9,430	Regeneron Pharmaceuticals, Inc. *		9,110,229
	1,493	Signet Jewelers Ltd. (b)		151,928
	57,706	Skyworks Solutions, Inc. (b)		6,054,514
	5,833	SLM Corp. (b)		121,501
	68,725	SolarEdge Technologies, Inc. * (b)		4,616,258
	803,545	Southwestern Energy Co. *		5,600,709
	102,846	Sovos Brands, Inc. *		2,343,860
	88,345	SP Plus Corp. * (a)		4,541,816
	41,074	Splunk, Inc. * (a)		6,416,580

79 See accompanying notes to the financial statements.  

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		United States — continued
	18,259	State Street Corp. (a) (b)		1,346,236
	61,343	Steel Dynamics, Inc. (b)		8,208,920
	2,933	Stewart Information Services Corp.		184,720
	235,283	Sunrun, Inc. * (b)		2,832,807
	189,841	Synchrony Financial (b)		7,840,433
	12,848	T Rowe Price Group, Inc. (a)		1,456,321
	29,100	Talos Energy, Inc. * (b)		383,829
	27,475	Tapestry, Inc. (b)		1,305,887
	13,994	TE Connectivity Ltd. (a)		2,008,979
	19,082	Texas Instruments, Inc. (b)		3,192,991
	95,021	Textainer Group Holdings Ltd.		4,741,548
	11,727	Textron, Inc. (b)		1,044,524
	2,490	Timken Co. (b)		209,135
	5,869	TRU TAJ Liquidation Unit Trust / TRU TAJ Finance, Inc. * (e)		59
	160,204	TRU Taj LLC / TRU Taj Finance, Inc. * (e)		320,408
	109,926	Tyson Foods, Inc. – Class A (a)		5,962,386
	73,900	U.S. Bancorp (b)		3,100,844
	163,610	U.S. Steel Corp. (b)		7,745,297
	2,534	UFP Industries, Inc.		290,472
	952	UnitedHealth Group, Inc. (b)		469,907
	2,872	Universal Corp. (b)		137,885
	2,096	Universal Health Services, Inc. – Class B (a)		350,158
	17,261	Unum Group		853,556
	12,909	Valero Energy Corp.		1,826,107
	600	Valmont Industries, Inc. (b)		127,158
	1,800	Veralto Corp. (a) (b)		155,556
	262,549	Verizon Communications, Inc. (a) (b)		10,507,211
	247,930	VF Corp. (b)		4,051,176
	597,451	Viatris, Inc. (b)		7,390,469
	7,200	Vitesse Energy, Inc. (b)		163,656
	289,079	Walgreens Boots Alliance, Inc. (b)		6,145,820
	93,247	Wells Fargo & Co. (b)		5,183,601
	46,807	Western Union Co. (b)		627,682
	19,607	Westlake Corp. (b)		2,719,687
	2,141	Westmoreland Mining Holdings * (d)		2,676
	187,595	Westrock Co.		8,496,178
	3,558	Whirlpool Corp. (b)		382,094
	909	Williams-Sonoma, Inc. (a)		214,097
	92,151	Zoom Video Communications, Inc. – Class A* (a) (b)		6,517,840
		Total United States		753,448,936
		Vietnam — 0.2%
	211,299	Duc Giang Chemicals JSC		960,670
	172,400	PetroVietNam Ca Mau Fertilizer JSC		236,491
	4,800	PetroVietnam Gas JSC		15,093
	92,900	PetroVietnam Technical Services Corp.		138,562
	142,800	Sai Gon-Ha Noi Securities JSC *		102,603
	1,257,200	SSI Securities Corp.		1,892,114
	288,000	Vietnam Dairy Products JSC		841,847
	312,203	Vietnam Joint Stock Commercial Bank for Industry & Trade *		451,238
	63,000	VIX Securities JSC		46,985

Shares		Description	Value ($)
		Vietnam — continued
	2,202,100	VNDirect Securities Corp. *		2,031,059
		Total Vietnam		6,716,662
		TOTAL COMMON STOCKS (COST $2,852,291,603)		2,703,531,260
		PREFERRED STOCKS (h) — 2.1%
		Brazil — 1.1%
	2,063,483	Bradespar SA		8,800,032
	12,800	Cia de Ferro Ligas da Bahia FERBASA		24,848
	1,164,000	Cia Energetica de Minas Gerais		2,802,816
	1,235,789	Gerdau SA Sponsored ADR		5,326,251
	940,695	Itausa SA		1,949,098
	1,334,000	Petroleo Brasileiro SA		10,771,612
	334,890	Petroleo Brasileiro SA ADR		5,415,171
	5,000	Randon SA Implementos e Participacoes		11,074
	18,400	Unipar Carbocloro SA – Class B		244,921
		Total Brazil		35,345,823
		Chile — 0.1%
	3,956	Embotelladora Andina SA – Class B		9,987
	59,800	Sociedad Quimica y Minera de Chile SA Sponsored ADR		2,973,256
		Total Chile		2,983,243
		Colombia — 0.0%
	51,300	Bancolombia SA Sponsored ADR		1,668,276
		Germany — 0.5%
	35,174	Bayerische Motoren Werke AG		3,856,255
	437	Henkel AG & Co. KGaA (a)		32,877
	97,199	Porsche Automobil Holding SE		5,196,219
	1,257	Villeroy & Boch AG		24,462
	45,171	Volkswagen AG		6,134,251
		Total Germany		15,244,064
		Russia — 0.0%
	15,222	Bashneft PJSC (e)		3,427
	79,750	Nizhnekamskneftekhim PJSC (e)		682
	49,530	Sberbank of Russia PJSC (e) (f)		1,585
	20,862,000	Surgutneftegas PJSC (e)		141,896
	12,313	Tatneft PJSC (e)		960
	33,700	Transneft PJSC (e)		5,933
		Total Russia		154,483
		South Korea — 0.4%
	1,619	Hyundai Motor Co. (c)		195,830
	2,772	Hyundai Motor Co. (c)		332,564
	5,895	Hyundai Motor Co. GDR		345,147
	5,882	LG Electronics, Inc.		194,238
	214,555	Samsung Electronics Co. Ltd.		10,274,321

  See accompanying notes to the financial statements. 80

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares / Par Value†		Description	Value ($)
		South Korea — continued
	195	Samsung Electronics Co. Ltd. GDR		227,139
		Total South Korea		11,569,239
		United States — 0.0%
	1,288,200	NII Holdings, Inc. * (d)		450,870
		TOTAL PREFERRED STOCKS (COST $78,475,211)		67,415,998
		RIGHTS/WARRANTS — 0.0%
		Canada — 0.0%
	222,285	Clementia Pharmaceuticals, Inc. * (d)		222
		Sweden — 0.0%
SEK	19,525	AcadeMedia AB *		1,304
		United States — 0.0%
	408,963	Bristol-Myers Squibb Co. * (d)		817,926
	50,914	Contra Abiomed, Inc. * (d)		89,099
	188,806	Pershing Square Holdings Ltd. * (d)		56,642
		Total United States		963,667
		TOTAL RIGHTS/WARRANTS (COST $1,237,080)		965,193
		INVESTMENT FUNDS — 0.3%
		United States — 0.3%
	4,418,828	Altaba, Inc.* (d)		10,384,245
		TOTAL INVESTMENT FUNDS (COST $5,265,822)		10,384,245
		DEBT OBLIGATIONS — 31.9%
		Netherlands — 0.0%
		Corporate Debt — 0.0%
EUR	594,294	HEMA Bondco I B.V., Variable Rate, 10.00%, due 04/19/26 (e) (i)		64
		United States — 31.9%
		U.S. Government — 27.8%
	25,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield - 0.08%, 5.25%, due 04/30/24		24,995,001
	52,105,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.36%, due 07/31/24		52,102,535
	100,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.14%, 5.47%, due 10/31/24		100,043,874
	184,660,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a) (j)		184,873,700

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	90,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.49%, due 04/30/25 (a)		90,046,379
	3,500,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.13%, 5.45%, due 07/31/25 (j)		3,498,712
	5,500,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.50%, due 10/31/25 (a) (j)		5,499,271
	28,200,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26 (a) (j)		28,224,988
	220,390,728	U.S. Treasury Inflation-Indexed Notes, 1.38%, due 07/15/33 (a)		210,970,029
	149,890,588	U.S. Treasury Inflation-Indexed Notes, 1.75%, due 01/15/34 (a)		147,686,481
	50,000,000	U.S. Treasury Notes, 2.00%, due 06/30/24		49,447,266
		Total U.S. Government		897,388,236
		U.S. Government Agency — 4.1%
	28,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.43%, due 03/06/24		28,497,975
	62,500,000	Federal Home Loan Banks, 5.23%, due 03/22/24		62,489,387
	40,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.41%, due 09/04/24		40,515,649
		Total U.S. Government Agency		131,503,011
		Total United States		1,028,891,247
		TOTAL DEBT OBLIGATIONS (COST $1,019,590,929)		1,028,891,311
		MUTUAL FUNDS — 0.1%
		United States — 0.1%
		Affiliated Issuers — 0.1%
	660,297	GMO U.S. Treasury Fund		3,301,486
		TOTAL MUTUAL FUNDS (COST $3,301,791)		3,301,486
		SHORT-TERM INVESTMENTS — 2.5%
		Money Market Funds — 0.1%
	1,071,910	State Street Global Advisors Liquidity PLC - U.S. Treasury Liquidity Fund – Class D Shares, 5.22% (j)		1,071,910
	2,649,154	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (k)		2,649,154
		Total Money Market Funds		3,721,064

81 See accompanying notes to the financial statements.  

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Repurchase Agreements — 2.3%
	75,066,530	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 02/29/24, maturing on 03/01/24 with a maturity value of $75,077,581 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 09/30/26 and a market value of $76,350,313.		75,066,530

Par Value†		Description	Value ($)
		U.S. Government — 0.1%
	1,950,000	U.S. Treasury Bills, 4.59%, due 03/07/24 (l)		1,948,290
		TOTAL SHORT-TERM INVESTMENTS (COST $80,735,871)		80,735,884

PURCHASED OPTIONS — 0.0%

Description	Exercise Price	Expiration Date	Number of Contracts		Notional Amount		Value ($)
Equity Options – Puts — 0.0%
Silicon Motion Technology Corp. (g)	60.00	03/15/24		455		USD 3,220,945		2,275
TOTAL PURCHASED OPTIONS (COST $78,864)								2,275
TOTAL INVESTMENTS — 120.6% (Cost $4,040,977,171)								3,895,227,652

Shares		Description	Value ($)
		SECURITIES SOLD SHORT — (23.1)%
		Common Stocks — (22.9)%
		Australia — (0.6)%
	(82,073)	ASX Ltd.		(3,516,573	)
	(17,723)	Cochlear Ltd.		(4,040,015	)
	(189,482)	IDP Education Ltd.		(2,353,686	)
	(606,535)	Lottery Corp. Ltd.		(2,006,867	)
	(6,024)	Mineral Resources Ltd.		(261,407	)
	(83,362)	Ramsay Health Care Ltd.		(2,973,927	)
	(58,672)	WiseTech Global Ltd.		(3,619,079	)
		Total Australia		(18,771,554	)
		Austria — (0.1)%
	(45,785)	Verbund AG		(3,314,371	)
		Belgium — (0.2)%
	(96,694)	Anheuser-Busch InBev SA		(5,844,235	)
	(122)	Lotus Bakeries NV		(1,148,038	)
		Total Belgium		(6,992,273	)
		Canada — (1.3)%
	(46,889)	Agnico Eagle Mines Ltd.		(2,253,485	)
	(273,900)	AltaGas Ltd.		(5,870,944	)
	(10,039)	Brookfield Renewable Corp. – Class A		(238,125	)
	(130,223)	Cameco Corp.		(5,277,938	)
	(170,241)	Enbridge, Inc.		(5,859,695	)
	(43,615)	Franco-Nevada Corp.		(4,573,469	)
	(164,684)	GFL Environmental, Inc.		(5,941,799	)
	(181,942)	Pembina Pipeline Corp.		(6,333,401	)
	(78,098)	Restaurant Brands International, Inc.		(6,064,310	)
		Total Canada		(42,413,166	)

Shares		Description	Value ($)
		China — (0.0)%
	(14,278)	Yum China Holdings, Inc.		(612,383	)
		Denmark — (0.1)%
	(27,621)	Coloplast AS – Class B		(3,668,987	)
	(1,849)	Novo Nordisk AS – Class B		(220,707	)
		Total Denmark		(3,889,694	)
		Finland — (0.0)%
	(25,810)	Elisa OYJ		(1,162,434	)
	(5,314)	Kone OYJ – Class B		(260,181	)
		Total Finland		(1,422,615	)
		France — (0.7)%
	(111,704)	Accor SA		(4,852,175	)
	(27,359)	Aeroports de Paris SA		(3,724,432	)
	(309,189)	Getlink SE		(5,278,934	)
	(2,961)	Hermes International SCA		(7,409,426	)
	(2,535)	Sartorius Stedim Biotech		(697,755	)
		Total France		(21,962,722	)
		Germany — (0.8)%
	(26,752)	adidas AG		(5,411,396	)
	(8,684)	Covestro AG*		(472,650	)
	(171,158)	Delivery Hero SE*		(3,959,059	)
	(2,578)	Deutsche Boerse AG		(539,697	)
	(23,096)	MTU Aero Engines AG		(5,555,722	)
	(283)	Puma SE		(13,016	)
	(3,926)	Rational AG		(3,230,629	)
	(590)	Rheinmetall AG		(270,725	)
	(75,152)	Siemens Energy AG*		(1,154,068	)
	(53,505)	Symrise AG		(5,475,303	)
	(9,181)	Vonovia SE		(256,234	)

  See accompanying notes to the financial statements. 82

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Germany — continued
	(32,158)	Zalando SE*		(680,569	)
		Total Germany		(27,019,068	)
		Ireland — (0.4)%
	(25,036)	Flutter Entertainment PLC*		(5,421,169	)
	(187,595)	Smurfit Kappa Group PLC		(8,017,710	)
		Total Ireland		(13,438,879	)
		Israel — (0.2)%
	(24,516)	CyberArk Software Ltd.*		(6,466,340	)
		Italy — (0.7)%
	(135,386)	Amplifon SpA		(4,520,887	)
	(17,160)	Ferrari NV		(7,242,605	)
	(363,695)	FinecoBank Banca Fineco SpA		(5,038,459	)
	(417,141)	Infrastrutture Wireless Italiane SpA		(4,620,396	)
		Total Italy		(21,422,347	)
		Japan — (1.9)%
	(251,600)	Aeon Co. Ltd.		(6,007,442	)
	(12,800)	ANA Holdings, Inc.*		(279,069	)
	(108,200)	Asahi Intecc Co. Ltd.		(2,252,024	)
	(7,100)	BayCurrent Consulting, Inc.		(159,501	)
	(3,100)	Disco Corp.		(1,010,251	)
	(3,300)	East Japan Railway Co.		(195,233	)
	(8,600)	GMO Payment Gateway, Inc.		(580,452	)
	(170,400)	Japan Exchange Group, Inc.		(4,461,342	)
	(52,100)	Keisei Electric Railway Co. Ltd.		(2,434,165	)
	(86,200)	Kintetsu Group Holdings Co. Ltd.		(2,651,052	)
	(95,100)	Kobe Bussan Co. Ltd.		(2,560,412	)
	(22,800)	Lasertec Corp.		(6,117,647	)
	(238,200)	MonotaRO Co. Ltd.		(2,278,359	)
	(33,000)	Nippon Paint Holdings Co. Ltd.		(245,155	)
	(46,800)	Odakyu Electric Railway Co. Ltd.		(657,990	)
	(174,800)	Oriental Land Co. Ltd.		(6,264,867	)
	(1,300,800)	Rakuten Group, Inc.*		(7,129,648	)
	(47,900)	Shiseido Co. Ltd.		(1,302,260	)
	(480,700)	SoftBank Corp.		(6,322,870	)
	(24,900)	SoftBank Group Corp.		(1,474,896	)
	(84,800)	Tobu Railway Co. Ltd.		(2,167,828	)
	(248,500)	Tokyu Corp.		(3,092,043	)
	(26,600)	West Japan Railway Co.		(1,106,073	)
	(5,300)	Yaskawa Electric Corp.		(217,239	)
	(19,900)	Zensho Holdings Co. Ltd.		(871,441	)
		Total Japan		(61,839,259	)
		Netherlands — (0.6)%
	(4,676)	Adyen NV*		(7,398,541	)
	(270)	ASML Holding NV		(256,230	)
	(37,311)	BE Semiconductor Industries NV		(6,757,685	)
	(210,476)	Universal Music Group NV		(6,354,350	)
		Total Netherlands		(20,766,806	)

Shares		Description	Value ($)
		New Zealand — (0.2)%
	(76,768)	Xero Ltd.*		(6,384,683	)
		Peru — (0.2)%
	(66,071)	Southern Copper Corp.		(5,342,501	)
		Singapore — (0.3)%
	(1,483,284)	Grab Holdings Ltd. – Class A*		(4,553,682	)
	(53,090,100)	Seatrium Ltd.*		(3,559,804	)
	(72,500)	Singapore Technologies Engineering Ltd.		(214,649	)
		Total Singapore		(8,328,135	)
		Spain — (0.4)%
	(162,052)	Cellnex Telecom SA*		(5,858,914	)
	(160,448)	Ferrovial SE		(6,024,791	)
		Total Spain		(11,883,705	)
		Sweden — (0.3)%
	(157,796)	Beijer Ref AB		(2,222,020	)
	(160,564)	EQT AB		(4,704,002	)
	(8,943)	Evolution AB		(1,158,512	)
	(104,804)	H & M Hennes & Mauritz AB – Class B		(1,423,138	)
		Total Sweden		(9,507,672	)
		Switzerland — (0.1)%
	(1,678)	Partners Group Holding AG		(2,412,738	)
	(17,989)	SIG Group AG		(356,375	)
	(619)	VAT Group AG		(310,707	)
		Total Switzerland		(3,079,820	)
		United Kingdom — (1.6)%
	(36,123)	Admiral Group PLC		(1,218,836	)
	(526,205)	Auto Trader Group PLC		(4,927,286	)
	(279,510)	Hargreaves Lansdown PLC		(2,576,017	)
	(610,344)	Informa PLC		(6,257,810	)
	(63,294)	InterContinental Hotels Group PLC		(6,721,402	)
	(403,519)	Liberty Global Ltd. – Class C*		(7,485,277	)
	(56,374)	London Stock Exchange Group PLC		(6,331,543	)
	(944,137)	M&G PLC		(2,684,217	)
	(182,434)	Phoenix Group Holdings PLC		(1,148,975	)
	(847,050)	Rolls-Royce Holdings PLC*		(3,953,437	)
	(68,329)	Severn Trent PLC		(2,156,249	)
	(10,424)	Spirax-Sarco Engineering PLC		(1,360,065	)
	(301,854)	Wise PLC – Class A*		(3,506,726	)
		Total United Kingdom		(50,327,840	)
		United States — (12.2)%
	(315,647)	AES Corp.		(4,797,834	)
	(33,300)	Alnylam Pharmaceuticals, Inc.*		(5,031,297	)
	(120,261)	Altria Group, Inc.		(4,919,878	)
	(22,564)	Amedisys, Inc.*		(2,098,903	)
	(15,474)	American Tower Corp. – (REIT)		(3,077,160	)
	(16,330)	Amgen, Inc.		(4,471,644	)
	(48,420)	ARES Management Corp. – Class A		(6,421,945	)

83 See accompanying notes to the financial statements.  

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		United States — continued
	(26,157)	Arthur J Gallagher & Co.		(6,380,477	)
	(23,831)	Axon Enterprise, Inc.*		(7,324,934	)
	(32,989)	Bill Holdings, Inc.*		(2,089,193	)
	(1,207)	BioMarin Pharmaceutical, Inc.*		(104,140	)
	(4,076)	Bio-Techne Corp.		(299,871	)
	(25,964)	Boeing Co.*		(5,289,386	)
	(5,315)	Broadcom, Inc.		(6,912,104	)
	(31,181)	Burlington Stores, Inc.*		(6,395,223	)
	(123,108)	Caesars Entertainment, Inc.*		(5,351,505	)
	(53,846)	Cerevel Therapeutics Holdings, Inc.*		(2,207,686	)
	(2,611)	Charles Schwab Corp.		(174,363	)
	(26,494)	Charter Communications, Inc. – Class A*		(7,787,381	)
	(69,668)	Chesapeake Energy Corp.		(5,767,117	)
	(14,480)	Chevron Corp.		(2,201,105	)
	(2,612)	Chipotle Mexican Grill, Inc.*		(7,023,067	)
	(73,316)	Cloudflare, Inc. – Class A*		(7,224,559	)
	(2,583)	CoStar Group, Inc.*		(224,798	)
	(83,145)	Dayforce, Inc.*		(5,800,195	)
	(49,663)	Dexcom, Inc.*		(5,714,721	)
	(145,493)	DraftKings, Inc. – Class A*		(6,302,757	)
	(2,878)	Ecolab, Inc.		(647,090	)
	(32,779)	Equity LifeStyle Properties, Inc. – (REIT)		(2,206,682	)
	(7,435)	Erie Indemnity Co. – Class A		(3,025,153	)
	(81,275)	Exact Sciences Corp.*		(4,675,751	)
	(198,710)	Exxon Mobil Corp.		(20,766,734	)
	(4,999)	Fair Isaac Corp.*		(6,348,280	)
	(5,365)	Fastenal Co.		(391,699	)
	(103,062)	Fidelity National Information Services, Inc.		(7,130,860	)
	(3,309)	Fiserv, Inc.*		(493,934	)
	(13,732)	Gartner, Inc.*		(6,393,070	)
	(52,086)	Healthpeak Properties, Inc. – (REIT)		(872,441	)
	(10,330)	HubSpot, Inc.*		(6,392,307	)
	(421)	Hyatt Hotels Corp. – Class A		(64,661	)
	(371)	IDEXX Laboratories, Inc.*		(213,410	)
	(4,082)	Ingersoll Rand, Inc.		(372,809	)
	(29,287)	Insulet Corp.*		(4,803,068	)
	(28,208)	IQVIA Holdings, Inc.*		(6,971,889	)
	(45,777)	Iron Mountain, Inc. – (REIT)		(3,599,903	)
	(114,761)	Juniper Networks, Inc.		(4,249,600	)
	(51,341)	Lattice Semiconductor Corp.*		(3,933,234	)
	(120,188)	Liberty Media Corp.-Liberty Formula One – Class C*		(8,744,879	)
	(15,665)	Linde PLC		(7,030,765	)
	(59,349)	Live Nation Entertainment, Inc.*		(5,755,666	)
	(12,466)	Manhattan Associates, Inc.*		(3,158,012	)
	(15,561)	MarketAxess Holdings, Inc.		(3,320,873	)
	(14,112)	Mastercard, Inc. – Class A		(6,699,813	)
	(10,448)	McKesson Corp.		(5,447,692	)
	(3,786)	MercadoLibre, Inc.*		(6,039,806	)
	(14,426)	MongoDB, Inc.*		(6,456,789	)
	(13,853)	Moody’s Corp.		(5,256,105	)
	(1,169)	Motorola Solutions, Inc.		(386,226	)
	(11,067)	MSCI, Inc.		(6,208,255	)
	(154,700)	Newmont Corp.		(4,834,375	)

Shares		Description	Value ($)
		United States — continued
	(136,610)	NiSource, Inc.		(3,560,057	)
	(69,700)	Okta, Inc.*		(7,478,810	)
	(86,065)	ONEOK, Inc.		(6,465,203	)
	(289,624)	Palantir Technologies, Inc. – Class A*		(7,263,770	)
	(44,405)	Paychex, Inc.		(5,444,941	)
	(63,871)	Philip Morris International, Inc.		(5,745,835	)
	(495)	Pool Corp.		(197,069	)
	(12,041)	PTC, Inc.*		(2,203,623	)
	(1)	Realty Income Corp. – (REIT)		(52	)
	(29,419)	Repligen Corp.*		(5,706,992	)
	(152,254)	Rivian Automotive, Inc. – Class A*		(1,723,515	)
	(147,864)	ROBLOX Corp. – Class A*		(5,899,774	)
	(51,316)	Roku, Inc.*		(3,242,145	)
	(138,155)	Rollins, Inc.		(6,088,491	)
	(2,605)	Sherwin-Williams Co.		(864,938	)
	(12,749)	Simon Property Group, Inc. – (REIT)		(1,888,637	)
	(14,049)	Snap, Inc. – Class A*		(154,820	)
	(30,413)	Snowflake, Inc. – Class A*		(5,726,160	)
	(683)	STERIS PLC		(159,078	)
	(2,387)	Sysco Corp.		(193,275	)
	(29,258)	Tesla, Inc.*		(5,906,605	)
	(359)	Texas Pacific Land Corp.		(565,576	)
	(314,321)	Toast, Inc. – Class A*		(7,229,383	)
	(10,526)	Trade Desk, Inc. – Class A*		(899,236	)
	(5,413)	TransDigm Group, Inc.		(6,375,107	)
	(22,302)	Unity Software, Inc.*		(653,895	)
	(24,814)	Vail Resorts, Inc.		(5,714,912	)
	(13,913)	Watsco, Inc.		(5,483,392	)
	(175,916)	Williams Cos., Inc.		(6,322,421	)
	(57,718)	WillScot Mobile Mini Holdings Corp.*		(2,756,034	)
	(24,330)	Wolfspeed, Inc.*		(633,067	)
	(26,192)	Zscaler, Inc.*		(6,337,678	)
		Total United States		(393,169,565	)
		TOTAL COMMON STOCKS (PROCEEDS $629,353,543)		(738,355,398	)
		PREFERRED STOCKS (h) — (0.2)%
		Germany — (0.2)%
	(15,531)	Sartorius AG		(5,882,053	)
	(2,855)	Dr Ing hc F Porsche AG		(266,946	)
		TOTAL PREFERRED STOCKS (PROCEEDS $5,949,571)		(6,148,999	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $635,303,114)		(744,504,397	)
		Other Assets and Liabilities (net) — 2.5%		78,702,775
		TOTAL NET ASSETS — 100.0%	$	3,229,426,030

  See accompanying notes to the financial statements. 84

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets			Value as of February 29, 2024
Alrosa PJSC		12/06/17	$	15,372,968		0.0	%	$	79,735
Magnitogorsk Iron & Steel Works PJSC		10/11/17		4,815,566		0.0	%		34,429
Mechel PJSC		11/12/21		133,558		0.0	%		2,159
PhosAgro PJSC GDR		10/15/21		2,792		0.0	%		29
Polyus PJSC		06/27/20		5,699,094		0.0	%		30,766
Polyus PJSC GDR (Registered)		07/27/20		0		0.0	%		1
Sberbank of Russia PJSC		07/10/19		29,636,901		0.0	%		258,544
Sberbank of Russia PJSC		01/10/22		183,324		0.0	%		1,585
Severstal PAO		02/02/21		126,125		0.0	%		1,336
Severstal PAO GDR (Registered)		10/23/17		5,003,828		0.0	%		47,441
VTB Bank PJSC		01/09/20		587,690		0.0	%		1,924
								$	457,949

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)		Settlement Date		Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
03/25/2024	BCLY		AUD	2,870,379		USD	1,897,493		30,521		05/16/2024	BCLY		HKD	18,618,486		USD	2,387,070		4,083
05/08/2024	CITI		AUD	2,300,000		USD	1,516,579		18,598		05/14/2024	DB		HUF	95,000,000		USD	260,979		754
03/27/2024	CITI		AUD	3,157,097		USD	2,070,441		16,849		05/14/2024	MSCI		HUF	460,648,887		USD	1,274,195		12,382
03/25/2024	DB		AUD	24,171,165		USD	15,934,877		213,303		04/30/2024	MSCI		IDR	3,472,984,600		USD	220,936		188
05/08/2024	GS		AUD	4,650,000		USD	3,038,696		10,169		03/25/2024	MSCI		JPY	516,500,850		USD	3,466,059		9,537
03/27/2024	MSCI		AUD	219,680		USD	144,560		1,665		05/13/2024	SSB		JPY	2,470,132,640		USD	16,781,735		125,586
05/08/2024	SSB		AUD	4,370,000		USD	2,874,623		28,459		03/25/2024	UBSA		JPY	8,178,281,747		USD	55,523,571		792,959
04/02/2024	DB		BRL	3,007,391		USD	607,629		4,469		03/25/2024	BCLY		NOK	60,800,851		USD	5,789,581		62,154
04/30/2024	BBH		CAD	3,110,000		USD	2,309,856		16,244		03/25/2024	DB		NOK	25,497,973		USD	2,441,695		39,791
03/12/2024	CITI		CAD	3,560,733		USD	2,642,838		18,731		04/16/2024	SSB		NOK	23,100,000		USD	2,200,828		23,669
04/30/2024	CITI		CAD	1,590,000		USD	1,177,586		4,967		03/28/2024	MSCI		NZD	14,505,615		USD	8,846,191		14,316
04/30/2024	DB		CAD	3,920,000		USD	2,901,311		10,327		05/31/2024	MSCI		NZD	2,350,000		USD	1,448,371		17,568
03/12/2024	JPM		CAD	1,490,480		USD	1,103,266		4,846		03/28/2024	UBSA		NZD	3,698,041		USD	2,268,571		16,985
04/30/2024	SSB		CAD	5,680,000		USD	4,218,638		29,660		03/27/2024	BCLY		PEN	920,000		USD	243,677		509
03/28/2024	BCLY		CHF	59,242,257		USD	69,075,395		1,912,884		04/30/2024	MSCI		PHP	8,000,000		USD	142,427		48
04/12/2024	SSB		CHF	23,792,875		USD	28,175,921		1,158,167		04/25/2024	BCLY		RON	2,050,000		USD	446,398		974
03/28/2024	SSB		CHF	205,387		USD	234,560		1,715		04/25/2024	GS		RON	5,823,094		USD	1,272,858		7,614
04/16/2024	CITI		CZK	14,400,000		USD	625,784		11,836		04/10/2024	DB		SEK	20,700,000		USD	2,002,326		2,415
04/16/2024	MSCI		CZK	31,911,617		USD	1,408,774		48,213		04/10/2024	MSCI		SEK	56,172,704		USD	5,507,630		80,556
04/30/2024	DB		EUR	14,930,000		USD	16,194,065		20,203		04/24/2024	SSB		SGD	280,000		USD	208,622		62
03/28/2024	DB		EUR	21,512,896		USD	23,384,343		110,592		04/25/2024	JPM		TWD	27,915,523		USD	900,326		15,908
03/25/2024	GS		GBP	407,299		USD	515,617		1,420		04/25/2024	SSB		TWD	26,700,000		USD	863,384		17,476
03/25/2024	JPM		GBP	5,197,036		USD	6,597,519		36,487		05/08/2024	SSB		USD	9,045,315		AUD	13,890,000		1,187
03/25/2024	MSCI		GBP	940,704		USD	1,195,921		8,324		04/02/2024	GS		USD	280,774		BRL	1,400,000		8
04/18/2024	MSCI		GBP	830,000		USD	1,055,297		7,309		04/02/2024	MSCI		USD	6,596,419		BRL	32,915,472		5,077
04/18/2024	SSB		GBP	2,490,000		USD	3,180,060		36,097		04/26/2024	JPM		USD	40,948		CLP	39,726,000		86
03/25/2024	SSB		GBP	1,379,219		USD	1,741,696		491		04/26/2024	GS		USD	533,712		COP	2,120,000,000		1,790

85 See accompanying notes to the financial statements.  

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)			Settlement Date		Counter- party		Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
04/26/2024	MSCI		USD	1,106,090		COP	4,400,000,000		5,329			05/20/2024		CITI		THB	96,598,956		USD	2,685,230		(25,137	)
03/28/2024	JPM		USD	6,064,295		EUR	5,628,105		24,477			03/25/2024		DB		USD	1,388,829		AUD	2,109,585		(16,699	)
04/30/2024	SSB		USD	139,426		IDR	2,200,000,000		409			04/02/2024		BCLY		USD	8,516,922		BRL	42,242,228		(44,860	)
05/09/2024	CITI		USD	322,195		ILS	1,150,000		442			03/12/2024		BCLY		USD	706,611		CAD	957,671		(849	)
05/09/2024	DB		USD	1,013,315		ILS	3,650,000		10,705			03/12/2024		GS		USD	2,820,564		CAD	3,806,045		(15,672	)
05/09/2024	GS		USD	572,437		ILS	2,100,000		16,725			04/30/2024		GS		USD	3,777,109		CAD	5,060,000		(45,380	)
05/09/2024	SSB		USD	409,141		ILS	1,500,000		11,689			03/12/2024		JPM		USD	1,489,529		CAD	2,013,101		(5,960	)
05/08/2024	CITI		USD	861,279		INR	71,806,560		2,758			03/12/2024		SSB		USD	25,030,640		CAD	33,478,955		(358,088	)
05/28/2024	SSB		USD	292,942		KRW	390,000,000		434			04/30/2024		SSB		USD	2,374,371		CAD	3,190,042		(21,728	)
04/02/2024	BCLY		USD	11,447,895		MXN	199,193,371		185,004			03/28/2024		BCLY		USD	698,769		CHF	613,859		(2,842	)
04/02/2024	JPM		USD	455,140		MXN	7,823,348		1,744			04/12/2024		GS		USD	3,516,266		CHF	3,030,000		(75,580	)
04/18/2024	MSCI		USD	3,229,777		MXN	56,181,232		42,961			03/28/2024		JPM		USD	2,058,619		CHF	1,807,514		(9,453	)
04/02/2024	MSCI		USD	11,479,893		MXN	199,193,371		153,005			03/28/2024		BCLY		USD	1,446,083		EUR	1,334,700		(2,137	)
05/20/2024	MSCI		USD	308,871		PLN	1,250,000		3,885			03/28/2024		JPM		USD	16,555,536		EUR	15,260,669		(45,762	)
04/10/2024	BBH		USD	1,920,081		SEK	19,900,000		2,539			04/18/2024		BCLY		USD	8,240,325		GBP	6,510,000		(20,566	)
04/10/2024	DB		USD	2,394,475		SEK	25,000,000		20,877			03/25/2024		BCLY		USD	1,051,662		GBP	830,804		(2,808	)
04/10/2024	GS		USD	220,437		SEK	2,300,000		1,776			03/25/2024		DB		USD	21,666,077		GBP	17,048,243		(143,411	)
04/10/2024	MSCI		USD	1,166,103		SEK	12,100,000		2,928			03/25/2024		JPM		USD	3,065,143		GBP	2,421,304		(8,351	)
03/28/2024	MSCI		ZAR	12,400,000		USD	645,978		769			03/25/2024		BCLY		USD	4,644,439		JPY	676,823,813		(115,005	)
05/08/2024	SSB		AUD	2,540,000		USD	1,646,785		(7,507	)		03/25/2024		MSCI		USD	4,444,111		JPY	651,768,541		(82,352	)
04/02/2024	GS		BRL	750,000		USD	150,116		(303	)		03/21/2024		MSCI		USD	22,157,005		JPY	3,308,209,971		(31,822	)
04/02/2024	MSCI		BRL	4,817,025		USD	962,975		(3,124	)		05/28/2024		CITI		USD	67,592		KRW	89,581,441		(205	)
04/26/2024	MSCI		COP	4,958,470,100		USD	1,236,511		(15,975	)		03/25/2024		BCLY		USD	2,426,575		NOK	25,412,673		(32,707	)
04/16/2024	CITI		CZK	4,200,000		USD	177,192		(1,876	)		04/16/2024		CITI		USD	988,097		NOK	10,400,000		(7,904	)
04/30/2024	MSCI		EUR	2,090,000		USD	2,251,685		(12,439	)		03/25/2024		DB		USD	2,139,673		NOK	22,584,850		(12,186	)
04/18/2024	SSB		GBP	1,920,000		USD	2,419,415		(4,846	)		04/16/2024		JPM		USD	17,629,775		NOK	180,922,042		(578,000	)
05/09/2024	CITI		ILS	2,587,392		USD	713,159		(12,742	)		04/26/2024		JPM		USD	110,552		NOK	1,163,435		(873	)
03/25/2024	BCLY		JPY	1,683,614,193		USD	11,250,386		(16,679	)		04/26/2024		MSCI		USD	26,094,634		NOK	271,634,470		(487,398	)
03/25/2024	JPM		JPY	137,137,127		USD	917,187		(561	)		03/25/2024		SSB		USD	56,770,671		NOK	595,825,791		(644,009	)
03/25/2024	MSCI		JPY	542,371,478		USD	3,619,374		(10,279	)		04/10/2024		CITI		USD	2,573,951		SEK	26,300,000		(33,001	)
04/18/2024	SSB		MXN	6,200,000		USD	356,685		(4,485	)		04/24/2024		SSB		USD	84,795		SGD	113,543		(222	)
03/25/2024	JPM		NOK	1,596,977		USD	149,857		(578	)		03/28/2024		BCLY		USD	4,477,837		ZAR	84,608,598		(75,402	)
03/27/2024	MSCI		PEN	1,520,000		USD	400,032		(1,725	)		03/28/2024		CITI		ZAR	6,600,000		USD	341,150		(2,268	)
05/20/2024	SSB		PLN	1,400,000		USD	350,267		(19	)											$	2,459,328
04/25/2024	CITI		RON	1,750,000		USD	376,660		(3,581	)

  See accompanying notes to the financial statements. 86

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

Futures Contracts

Number of Contracts +		Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
	Buys
	13	Australia Government Bond 10 Yr.		March 2024		971,886		(2,967	)
	63	CBOE Volatility Index(j)		March 2024		882,554		(38,424	)
	374	Corn(j)		May 2024		8,031,650		(272,552	)
	103	Cotton(j)		May 2024		5,127,855		403,933
	21	DAX Index		March 2024		10,083,235		467,190
	100	E-mini Russell 2000 Index		March 2024		10,286,500		461,868
	353	FTSE 100 Index		March 2024		34,032,417		87,781
	111	FTSE MIB Index		March 2024		19,603,957		1,128,961
	128	Hang Seng Index		March 2024		13,391,698		(287,828	)
	295	Iron Ore(j)		April 2024		3,394,860		(196,542	)
	639	MSCI Singapore		March 2024		13,383,817		(118,848	)
	60	NYMEX Platinum Futures(j)		April 2024		2,652,000		(125,546	)
	197	S&P 500 E-Mini		March 2024		50,271,938		1,372,488
	804	Soybean(j)		May 2024		45,858,150		(2,298,971	)
	606	Soybean Meal(j)		May 2024		19,949,520		(995,251	)
	72	Soybean Oil(j)		May 2024		1,953,072		(49,367	)
	272	Sugar(j)		April 2024		6,607,642		(382,778	)
	431	U.S. Treasury Note 10 Yr. (CBT)		June 2024		47,598,563		28,015
	730	U.S. Treasury Note 5 Yr. (CBT)		June 2024		78,041,563		148,086
	82	UK Gilt Long Bond		June 2024		10,153,155		47,632
	109	WCE Canola Futures(j)		May 2024		953,665		(16,677	)
					$	383,229,697	$	(639,797	)

Number of Contracts +		Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
	Sales
	75	CAC40 10 Euro		March 2024		6,447,000		(116,700	)
	75	Canadian Government Bond 10 Yr.		June 2024		6,624,360		(17,545	)
	270	Cocoa(j)		May 2024		16,332,300		(1,353,441	)
	171	Coffee(j)		May 2024		11,821,444		182,740
	187	Copper(j)		May 2024		17,984,725		(442,703	)
	25	Euro Bund		March 2024		3,584,201		37,159
	14	Euro Bund		June 2024		2,001,252		(6,310	)
	86	FTSE Taiwan Index		March 2024		5,569,379		(26,857	)
	180	Gold (j)		April 2024		36,984,600		9,118
	284	IFSC NIFTY 50 Index		March 2024		12,605,056		65,192
	225	KOSPI 200 Index		March 2024		15,055,500		(533,245	)
	22	Live Cattle Futures(j)		April 2024		1,631,080		18,473
	337	Natural Gas(j)		March 2024		6,268,200		287,409
	127	NY Harbor ULSD Futures(j)		March 2024		14,134,567		538,771
	202	OMX Stockholm 30 Index		March 2024		4,796,207		(131,497	)
	64	RBOB Gasoline(j)		March 2024		6,937,728		(295,481	)
	52	S&P/TSX 60		March 2024		9,890,020		(213,618	)
	97	Silver(j)		May 2024		11,099,225		(10,270	)
	154	SPI 200 Futures		March 2024		19,213,475		(428,958	)
	193	Swiss Market New Index Futures		March 2024		24,801,068		(406,671	)
	75	TOPIX Index		March 2024		13,431,162		(513,014	)
	1,101	Wheat(j)		May 2024		31,722,563		1,145,140
	164	WTI Crude(j)		March 2024		12,834,640		(356,832	)
					$	291,769,752	$	(2,569,140	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description	Exercise Price	Expiration Date	Number of Contracts			Notional Amount			Value ($)
Equity Options – Calls
Silicon Motion Technology Corp.(g)	60.00	03/15/24		(138	)		USD (976,902	)		(144,900	)
TOTAL WRITTEN OPTIONS (Premiums $78,200)									$	(144,900	)

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
4.20%	3 Month AUD BBSW		AUD	68,200,000		03/20/2026		Quarterly		(68,580	)		(165,351	)		(96,771	)
3.95%	3 Month AUD BBSW		AUD	15,000,000		03/20/2026		Quarterly		(728	)		9,382			10,110
4.09%	3 Month AUD BBSW		AUD	18,500,000		03/20/2026		Quarterly		—			(19,689	)		(19,689	)
3 Month AUD BBSW	3.95%		AUD	28,000,000		03/20/2026		Quarterly		—			(19,455	)		(19,455	)
3 Month AUD BBSW	4.07%		AUD	24,000,000		03/20/2026		Quarterly		—			20,488			20,488
CAD-CORRA-OIS-COMPOUND	4.01%		CAD	29,500,000		03/20/2026		Annually		—			(75,731	)		(75,731	)

87 See accompanying notes to the financial statements.  

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CAD-CORRA-OIS-COMPOUND	4.19%		CAD	33,500,000		03/20/2026		Annually		82,356			(3,207	)		(85,563	)
3.99%	CAD-CORRA-OIS-COMPOUND		CAD	13,500,000		03/20/2026		Annually		—			38,980			38,980
CHF-SARON-OIS-COMPOUND	1.03%		CHF	6,500,000		03/20/2026		Annually		(3,158	)		(10,778	)		(7,620	)
CHF-SARON-OIS-COMPOUND	1.08%		CHF	61,750,000		03/20/2026		Annually		(18,971	)		(37,610	)		(18,639	)
CHF-SARON-OIS-COMPOUND	1.10%		CHF	12,000,000		03/20/2026		Annually		279			(2,068	)		(2,347	)
CHF-SARON-OIS-COMPOUND	1.21%		CHF	22,500,000		03/20/2026		Annually		—			56,150			56,150
1.11%	CHF-SARON-OIS-COMPOUND		CHF	12,500,000		03/20/2026		Annually		—			(1,505	)		(1,505	)
EUR-EuroSTR-COMPOUND	2.43%		EUR	4,055,000		03/20/2026		Annually		53			(46,171	)		(46,224	)
EUR-EuroSTR-COMPOUND	2.52%		EUR	11,500,000		03/20/2026		Annually		—			(110,348	)		(110,348	)
EUR-EuroSTR-COMPOUND	2.63%		EUR	4,500,000		03/20/2026		Annually		—			(32,426	)		(32,426	)
EUR-EuroSTR-COMPOUND	2.64%		EUR	7,000,000		03/20/2026		Annually		—			(48,687	)		(48,687	)
2.83%	EUR-EuroSTR-COMPOUND		EUR	58,680,000		03/20/2026		Annually		(245,753	)		183,164			428,917
2.51%	EUR-EuroSTR-COMPOUND		EUR	11,500,000		03/20/2026		Annually		—			110,708			110,708
GBP-SONIA-COMPOUND	4.12%		GBP	11,000,000		03/20/2026		Annually		—			(114,307	)		(114,307	)
GBP-SONIA-COMPOUND	4.16%		GBP	5,500,000		03/20/2026		Annually		—			(51,399	)		(51,399	)
GBP-SONIA-COMPOUND	4.62%		GBP	35,000,000		03/20/2026		Annually		91,515			52,322			(39,193	)
4.08%	GBP-SONIA-COMPOUND		GBP	12,000,000		03/20/2026		Annually		—			136,124			136,124
3.75%	GBP-SONIA-COMPOUND		GBP	12,000,000		03/20/2026		Annually		4,112			228,121			224,009
4.04%	GBP-SONIA-COMPOUND		GBP	13,000,000		03/20/2026		Annually		7,213			157,553			150,340
5.19%	3 Month NZD Bank Bill Rate		NZD	26,200,000		03/20/2026		Quarterly		(57,669	)		(73,589	)		(15,920	)
4.64%	3 Month NZD Bank Bill Rate		NZD	28,500,000		03/20/2026		Quarterly		—			101,653			101,653
3 Month NZD Bank Bill Rate	5.09%		NZD	25,500,000		03/20/2026		Quarterly		—			40,336			40,336
3 Month SEK STIBOR	2.92%		SEK	163,880,000		03/20/2026		Quarterly		(5,033	)		(116,732	)		(111,699	)
4.33%	USD-SOFR-COMPOUND		USD	13,000,000		06/20/2026		Annually		—			(10,662	)		(10,662	)
6 Month AUD BBSW	4.37%		AUD	67,350,000		03/20/2034		Semi-annual		(141,859	)		(13,896	)		127,963
6 Month AUD BBSW	4.41%		AUD	4,000,000		03/20/2034		Semi-annual		1,839			9,149			7,310
6 Month AUD BBSW	4.48%		AUD	6,600,000		03/20/2034		Semi-annual		—			39,331			39,331
6 Month AUD BBSW	4.51%		AUD	4,300,000		03/20/2034		Semi-annual		—			32,185			32,185
6 Month AUD BBSW	4.60%		AUD	15,500,000		03/20/2034		Semi-annual		32,465			186,873			154,408
4.56%	6 Month AUD BBSW		AUD	5,600,000		03/20/2034		Semi-annual		—			(54,730	)		(54,730	)
4.46%	6 Month AUD BBSW		AUD	8,600,000		03/20/2034		Semi-annual		—			(38,581	)		(38,581	)
4.42%	6 Month AUD BBSW		AUD	7,100,000		03/20/2034		Semi-annual		—			(16,725	)		(16,725	)
4.42%	6 Month AUD BBSW		AUD	6,600,000		03/20/2034		Semi-annual		—			(18,151	)		(18,151	)
CAD-CORRA-OIS-COMPOUND	3.43%		CAD	7,300,000		03/20/2034		Annually		—			(30,883	)		(30,883	)
CAD-CORRA-OIS-COMPOUND	3.46%		CAD	3,400,000		03/20/2034		Annually		—			(8,649	)		(8,649	)
CAD-CORRA-OIS-COMPOUND	3.49%		CAD	8,100,000		03/20/2034		Annually		—			(6,693	)		(6,693	)
CAD-CORRA-OIS-COMPOUND	3.49%		CAD	3,100,000		03/20/2034		Annually		—			(1,420	)		(1,420	)
CAD-CORRA-OIS-COMPOUND	3.61%		CAD	3,500,000		03/20/2034		Annually		—			22,764			22,764
3.15%	CAD-CORRA-OIS-COMPOUND		CAD	7,400,000		03/20/2034		Annually		—			160,219			160,219
3.41%	CAD-CORRA-OIS-COMPOUND		CAD	6,700,000		03/20/2034		Annually		—			38,620			38,620
3.45%	CAD-CORRA-OIS-COMPOUND		CAD	7,800,000		03/20/2034		Annually		(24,281	)		23,908			48,189
3.45%	CAD-CORRA-OIS-COMPOUND		CAD	4,000,000		03/20/2034		Annually		—			12,383			12,383
CHF-SARON-OIS-COMPOUND	1.25%		CHF	2,600,000		03/20/2034		Annually		—			12,485			12,485
1.21%	CHF-SARON-OIS-COMPOUND		CHF	2,500,000		03/20/2034		Annually		(8,102	)		(2,052	)		6,050
1.19%	CHF-SARON-OIS-COMPOUND		CHF	13,560,000		03/20/2034		Annually		(31,702	)		26,808			58,510
1.35%	CHF-SARON-OIS-COMPOUND		CHF	4,300,000		03/20/2034		Annually		—			(68,305	)		(68,305	)
1.26%	CHF-SARON-OIS-COMPOUND		CHF	1,400,000		03/20/2034		Annually		(2,077	)		(7,928	)		(5,851	)
EUR-EuroSTR-COMPOUND	2.19%		EUR	5,500,000		03/20/2034		Annually		—			(191,826	)		(191,826	)
EUR-EuroSTR-COMPOUND	2.21%		EUR	1,900,000		03/20/2034		Annually		—			(63,194	)		(63,194	)
EUR-EuroSTR-COMPOUND	2.42%		EUR	4,700,000		03/20/2034		Annually		—			(59,744	)		(59,744	)
EUR-EuroSTR-COMPOUND	2.43%		EUR	2,600,000		03/20/2034		Annually		—			(32,061	)		(32,061	)

  See accompanying notes to the financial statements. 88

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives		Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
EUR-EuroSTR-COMPOUND		2.50%		EUR	1,600,000		03/20/2034		Annually		—			(8,542	)		(8,542	)
EUR-EuroSTR-COMPOUND		2.54%		EUR	13,270,000		03/20/2034		Annually		37,009			(18,456	)		(55,465	)
EUR-EuroSTR-COMPOUND		2.61%		EUR	3,300,000		03/20/2034		Annually		—			17,229			17,229
2.27%		EUR-EuroSTR-COMPOUND		EUR	916,000		03/20/2034		Annually		(1,502	)		24,645			26,147
2.52%		EUR-EuroSTR-COMPOUND		EUR	5,610,000		03/20/2034		Annually		(7,156	)		16,181			23,337
2.45%		EUR-EuroSTR-COMPOUND		EUR	1,700,000		03/20/2034		Annually		—			16,434			16,434
2.42%		EUR-EuroSTR-COMPOUND		EUR	2,700,000		03/20/2034		Annually		—			33,936			33,936
2.42%		EUR-EuroSTR-COMPOUND		EUR	2,600,000		03/20/2034		Annually		—			34,534			34,534
2.41%		EUR-EuroSTR-COMPOUND		EUR	2,400,000		03/20/2034		Annually		—			32,905			32,905
2.52%		EUR-EuroSTR-COMPOUND		EUR	1,500,000		03/20/2034		Annually		—			5,154			5,154
2.48%		EUR-EuroSTR-COMPOUND		EUR	1,100,000		03/20/2034		Annually		—			8,175			8,175
2.54%		EUR-EuroSTR-COMPOUND		EUR	4,800,000		03/20/2034		Annually		—			8,731			8,731
2.55%		EUR-EuroSTR-COMPOUND		EUR	3,300,000		03/20/2034		Annually		—			822			822
2.55%		EUR-EuroSTR-COMPOUND		EUR	3,900,000		03/20/2034		Annually		—			1,528			1,528
GBP-SONIA-COMPOUND		3.15%		GBP	3,200,000		03/20/2034		Annually		(3,292	)		(223,021	)		(219,729	)
GBP-SONIA-COMPOUND		3.41%		GBP	2,800,000		03/20/2034		Annually		—			(119,990	)		(119,990	)
GBP-SONIA-COMPOUND		3.51%		GBP	3,000,000		03/20/2034		Annually		(11,634	)		(98,146	)		(86,512	)
GBP-SONIA-COMPOUND		3.51%		GBP	4,400,000		03/20/2034		Annually		—			(143,497	)		(143,497	)
GBP-SONIA-COMPOUND		3.54%		GBP	3,200,000		03/20/2034		Annually		(3,219	)		(95,677	)		(92,458	)
GBP-SONIA-COMPOUND		3.70%		GBP	1,900,000		03/20/2034		Annually		—			(24,996	)		(24,996	)
GBP-SONIA-COMPOUND		3.84%		GBP	2,500,000		03/20/2034		Annually		—			2,184			2,184
GBP-SONIA-COMPOUND		3.85%		GBP	5,410,000		03/20/2034		Annually		1,438			11,209			9,771
3.89%		GBP-SONIA-COMPOUND		GBP	8,300,000		03/20/2034		Annually		(31,078	)		(49,325	)		(18,247	)
3.24%		GBP-SONIA-COMPOUND		GBP	1,700,000		03/20/2034		Annually		—			103,143			103,143
3.36%		GBP-SONIA-COMPOUND		GBP	2,800,000		03/20/2034		Annually		—			135,617			135,617
3.65%		GBP-SONIA-COMPOUND		GBP	2,500,000		03/20/2034		Annually		—			45,690			45,690
3.62%		GBP-SONIA-COMPOUND		GBP	1,100,000		03/20/2034		Annually		—			23,765			23,765
3.68%		GBP-SONIA-COMPOUND		GBP	1,300,000		03/20/2034		Annually		—			20,364			20,364
3.74%		GBP-SONIA-COMPOUND		GBP	2,600,000		03/20/2034		Annually		—			23,821			23,821
3.90%		GBP-SONIA-COMPOUND		GBP	3,200,000		03/20/2034		Annually		—			(22,130	)		(22,130	)
4.30%		3 Month NZD Bank Bill Rate		NZD	10,800,000		03/20/2034		Quarterly		—			126,401			126,401
4.69%		3 Month NZD Bank Bill Rate		NZD	6,100,000		03/20/2034		Quarterly		—			(46,649	)		(46,649	)
3 Month NZD Bank Bill Rate		4.48%		NZD	6,700,000		03/20/2034		Quarterly		—			(16,922	)		(16,922	)
3 Month NZD Bank Bill Rate		4.75%		NZD	6,000,000		03/20/2034		Quarterly		15,207			62,680			47,473
3 Month NZD Bank Bill Rate		4.77%		NZD	12,000,000		03/20/2034		Quarterly		42,453			137,534			95,081
3 Month SEK STIBOR		2.20%		SEK	67,000,000		03/20/2034		Quarterly		—			(328,702	)		(328,702	)
3 Month SEK STIBOR		2.24%		SEK	50,000,000		03/20/2034		Quarterly		—			(229,286	)		(229,286	)
3 Month SEK STIBOR		2.47%		SEK	37,000,000		03/20/2034		Quarterly		—			(97,031	)		(97,031	)
3 Month SEK STIBOR		2.59%		SEK	42,000,000		03/20/2034		Quarterly		—			(69,090	)		(69,090	)
3 Month SEK STIBOR		2.63%		SEK	22,000,000		03/20/2034		Quarterly		—			(28,503	)		(28,503	)
3 Month SEK STIBOR		2.76%		SEK	28,000,000		03/20/2034		Quarterly		—			(6,579	)		(6,579	)
3 Month SEK STIBOR		2.84%		SEK	31,000,000		03/20/2034		Quarterly		—			12,316			12,316
2.47%		3 Month SEK STIBOR		SEK	36,640,000		03/20/2034		Quarterly		2,884			97,855			94,971
2.49%		3 Month SEK STIBOR		SEK	401,940,000		03/20/2034		Quarterly		(44,261	)		997,232			1,041,493
2.28%		3 Month SEK STIBOR		SEK	45,000,000		03/20/2034		Quarterly		—			188,763			188,763
2.63%		3 Month SEK STIBOR		SEK	49,000,000		03/20/2034		Quarterly		—			65,523			65,523
2.60%		3 Month SEK STIBOR		SEK	43,000,000		03/20/2034		Quarterly		2,166			68,517			66,351
USD-SOFR-COMPOUND		3.88%		USD	3,100,000		06/20/2034		Annually		—			15,008			15,008
										$	(389,066	)	$	856,507		$	1,245,573

89 See accompanying notes to the financial statements.  

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

Swap Contracts — continued

OTC Total Return Swaps

Fund Pays	Fund Receives		Counterparty		Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month Federal Funds Rate minus 0.06%		Total Return on MSCI World Daily Total Return Net Value Index		UBSA		USD	6,022,218		05/22/2024		Monthly		—		17,225			17,225
Total Return on MSCI World Daily Total Return Net Growth Index		1 Month Federal Funds Rate plus 0.02%		UBSA		USD	8,992,983		05/22/2024		Monthly		—		(31,333	)		(31,333	)
1 Month Federal Funds Rate plus 0.07%		Total Return on MSCI World Daily Total Return Net Value Index		UBSA		USD	6,554,926		08/09/2024		Monthly		—		190,664			190,664
Total Return on MSCI World Daily Total Return Net Value Index		1 Month Federal Funds Rate plus 0.11%		UBSA		USD	5,732,925		08/09/2024		Monthly		—		(161,342	)		(161,342	)
1 Month Federal Funds Rate plus 0.03%		Total Return on MSCI World Daily Total Return Net Value Index		GS		USD	17,702,834		04/30/2024		Monthly		—		—			—
Total Return on MSCI World Daily Total Return Net Growth Index		1 Month Federal Funds Rate minus 0.02%		GS		USD	17,069,328		04/30/2024		Monthly		—		—			—
1 Month Federal Funds Rate plus 0.06%		Total Return on MSCI World Daily Total Return Net Value Index		JPM		USD	2,532,909		12/16/2024		Monthly		—		35,738			35,738
Total Return on MSCI World Daily Total Return Net Growth Index		1 Month Federal Funds Rate minus 0.17%		JPM		USD	4,044,473		12/16/2024		Monthly		—		(53,540	)		(53,540	)
Total Return on Equity Basket (m)		1 Month Federal Funds Rate minus 0.40%		GS		USD	27,446,149		06/24/2024		Monthly		—		549,421			549,421
Total Return on Equity Basket (n)		1 Month Federal Funds Rate minus 0.40%		MORD		USD	33,020,485		06/18/2024		Monthly		—		(630,957	)		(630,957	)
												$	—	$	(84,124	)	$	(84,124	)

  See accompanying notes to the financial statements. 90

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2024

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

†   Denominated in U.S. Dollar, unless otherwise indicated.
*   Non-income producing security.

(a)   All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b)   All or a portion of this security is out on loan (Note 2).

(c)   Securities are traded on separate exchanges for the same entity.

(d)   Investment valued using significant unobservable inputs (Note 2).

(e)   Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(f) The security is restricted as to resale.

(g)   All or a portion of this investment is held in connection with one or more holdings within the Fund.

(h)   Preferred dividend rates are disclosed to the extent that a stated rate exists.

(i) Security is in default.

(j) All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

(k)   The rate disclosed is the 7 day net yield as of February 29, 2024.

(l) The rate shown represents yield-to-maturity.

(m) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(n)   The following table represents the individual long and/or short positions within the custom equity basket swap as of February 29, 2024.

Shares		Description	% of Equity Basket			Value ($)
	(244,000)	Alibaba Health Information Technology Ltd.		0.3	%		(106,617	)
	(369,000)	China Molybdenum Co. Ltd. – Class H		0.7	%		(227,639	)
	(44,000)	China Southern Airlines Co. Ltd. – Class H		0.0	%		(16,330	)
	(1,730,000)	Genscript Biotech Corp.		10.4	%		(3,497,430	)
	(3,271,300)	Gulf Energy Development PCL NVDR		11.7	%		(3,927,510	)
	(6,273)	Hanmi Pharm Co. Ltd.		4.7	%		(1,574,387	)
	(291,000)	Hapvida Participacoes e Investimentos SA		0.6	%		(214,836	)
	(1,015)	Hotel Shilla Co. Ltd.		0.1	%		(45,884	)
	(134,500)	Innovent Biologics, Inc.		2.2	%		(725,318	)
	(18,577)	Kakao Corp.		2.2	%		(745,643	)
	(2,686,000)	Kingdee International Software Group Co. Ltd.		8.6	%		(2,888,221	)
	(112,499)	Korea Aerospace Industries Ltd.		12.9	%		(4,340,725	)
	(327,700)	Microport Scientific Corp.		1.0	%		(320,699	)
	403,642	Nokia OYJ		(4.2	%)		1,422,875
	(506,000)	Nongfu Spring Co. Ltd. – Class H		8.5	%		(2,861,329	)
	(15)	POSCO Chemical Co. Ltd.		0.0	%		(3,585	)
	(90,300)	Rede D’Or Sao Luiz SA		1.4	%		(459,938	)
	(9,284)	Samsung Biologics Co. Ltd.		16.1	%		(5,402,070	)
	(726,412)	Samsung Heavy Industries Co. Ltd.		12.8	%		(4,318,558	)
	(226,250)	Shandong Gold Mining Co. Ltd. - Class H		1.1	%		(357,490	)
	128,512	Stora Enso OYJ – R Shares		(4.8	%)		1,624,855
	(15,062)	Yuhan Corp.		2.3	%		(763,973	)
		TOTAL COMMON STOCKS				$	(33,593,968	)

Shares	Description	% of Equity Basket			Value ($)
(2,004,000)	Air China Ltd. – Class H		3.2	%		(1,073,114	)
(1,563,300)	Airports Of Thailand PC NVDR		8.2	%		(2,770,402	)

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 113.

91 See accompanying notes to the financial statements.  

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GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO International Developed Equity Allocation Fund returned +17.08% (net) for the fiscal year ended February 29, 2024, as compared with +14.41% for the Fund’s benchmark, the MSCI EAFE Index.

The Fund’s decision to hold a broadly 8% average off-benchmark position in emerging markets, managed ex-China, added a little to performance relative to the benchmark as the MSCI Emerging Markets ex-China Index produced a 19.7% return. The choice of managing emerging markets ex-China was particularly helpful as China continued to struggle for the year. A small overweight to Japan, which beat the MSCI EAFE Index, also contributed marginally to relative performance. Security selection in both developed and emerging markets was extremely strong, and this was the primary driver of the outperformance of the benchmark.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

93

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

GMO International Developed Equity Allocation Fund Class III Shares and the MSCI EAFE Index

As of February 29, 2024

	Average Annual Total Returns
	1 Year			5 Year			10 Year			Since Inception
Class III		17.08	%		7.75	%		3.68	%		n/a
Class R6		17.01	%		n/a			n/a			1/22/21 4.78	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III and R6 the gross expense ratio of 0.70% and 0.70%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.62% and 0.62% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

94

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.9	%
Short-Term Investments		6.0
Preferred Stocks		0.8
Debt Obligations		0.1
Futures Contracts		0.0	^
Other		(3.8	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		27.0	%
France		12.8
United Kingdom		10.4
Netherlands		6.2
Italy		5.7
Spain		5.4
Switzerland		5.3
Germany		4.3
Other Emerging		4.2	†
Australia		2.9
Canada		2.2
Other Developed		2.2	‡
Taiwan		2.1
Sweden		2.0
Norway		1.7
Singapore		1.6
Hong Kong		1.4
Belgium		1.3
India		1.3
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

 

95

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,366,769	GMO Emerging Markets ex-China Fund, Class VI		21,157,581
	7,918,187	GMO International Equity Fund, Class IV		185,602,298
	3,344,381	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV		47,858,092
	549,320	GMO-Usonian Japan Value Creation Fund, Class VI		10,805,125
		TOTAL MUTUAL FUNDS (COST $258,204,158)		265,423,096
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	116,212	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (a)		116,212
		TOTAL SHORT-TERM INVESTMENTS (COST $116,212)		116,212
		TOTAL INVESTMENTS — 100.0% (Cost $258,320,370)		265,539,308
		Other Assets and Liabilities (net) — (0.0%)		(36,337	)
		TOTAL NET ASSETS — 100.0%	$	265,502,971

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 113.

  See accompanying notes to the financial statements. 96

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO International Equity Allocation Fund returned +17.53% (net) for the fiscal year ended February 29, 2024, compared to +12.51% for the MSCI All Country World Index (“ACWI”) ex USA.

The Fund’s overweight to emerging markets detracted modestly from performance relative to the benchmark as the MSCI Emerging Markets Index delivered a moderate 8.7% return. We believed that emerging markets were trading at preferential valuations but, unfortunately, China continued to struggle, and this weighed heavily on emerging market performance. However, security selection in both developed and emerging markets was very strong, and an approach of managing some of the emerging assets ex-China was also beneficial, and this led to excellent outperformance of the benchmark.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

97

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

GMO International Equity Allocation Fund Class III Shares and the MSCI ACWI ex USA

As of February 29, 2024

	Average Annual Total Returns
	1 Year			5 Year			10 Year			Since Inception
Class III		17.53	%		5.19	%		2.96	%		n/a
Class R6		17.49	%		n/a			n/a			8/30/19 6.56	%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III and R6 the gross expense ratio of 0.70% and 0.70%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Classes listed above, the corresponding net expense ratio of 0.67% and 0.67% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

98

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.1	%
Short-Term Investments		4.3
Preferred Stocks		2.7
Debt Obligations		0.1
Futures Contracts		0.1
Other		(2.3	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		18.8	%
Taiwan		8.6
France		8.4
United Kingdom		6.9
China		6.6
India		4.6
Netherlands		4.1
Other Emerging		3.8	†
Italy		3.8
Brazil		3.6
Spain		3.5
Switzerland		3.5
South Africa		3.3
Germany		2.8
Other Developed		2.3	‡
Mexico		2.2
South Korea		2.1
Australia		2.0
Indonesia		1.5
Canada		1.4
Hungary		1.4
Sweden		1.4
Hong Kong		1.3
Norway		1.1
Singapore		1.0
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

99

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	1,567,993	GMO Emerging Markets ex-China Fund, Class VI		24,272,532
	3,815,511	GMO Emerging Markets Fund, Class VI		89,931,600
	6,076,544	GMO International Equity Fund, Class IV		142,434,181
	2,540,404	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV		36,353,186
	629,117	GMO-Usonian Japan Value Creation Fund, Class VI		12,374,718
		TOTAL MUTUAL FUNDS (COST $337,425,161)		305,366,217
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	201,400	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (a)		201,400
		TOTAL SHORT-TERM INVESTMENTS (COST $201,400)		201,400
		TOTAL INVESTMENTS — 100.0% (Cost $337,626,561)		305,567,617
		Other Assets and Liabilities (net) — (0.0%)		(40,909	)
		TOTAL NET ASSETS — 100.0%	$	305,526,708

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 29, 2024.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 113.

  See accompanying notes to the financial statements. 100

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Strategic Opportunities Allocation Fund returned +14.44% (net) for the fiscal year ended February 29, 2024, as compared with +19.29% for the GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series) and 25% Bloomberg U.S. Aggregate Index).

The Fund’s circa 18% off-benchmark position in alternatives had a significant detrimental impact on relative performance. It is invested in the Equity Dislocation Strategy, which is long cheap Value stocks and short expensive Growth stocks, and endured a challenging year as Growth significantly outperformed finishing with a, very respectable in context, return of -0.9%. The Fund held an average 69% in equities over the period, and the return of 19.0% was behind the MSCI World Index return of 25.0%. In terms of regional biases, the decision to lean away from the U.S. in favor of being overweight developed ex-U.S. equities and overweight emerging market equities was a substantial headwind as the U.S. outperformed. Security selection in emerging and developed ex-U.S. markets was strong, but could not offset the allocation positioning. The Fund held an average of 13% in fixed income, with an emphasis on credit including an allocation to emerging market debt. The Fund’s fixed income exposure posted 10.4%, nicely ahead of the 3.3% return from the Bloomberg U.S. Aggregate Index, with the outperformance largely driven by an excellent return from the emerging debt exposure, which was well ahead of its reference benchmark.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

101

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $1,000,000 Investment in

GMO Strategic Opportunities Allocation Fund Class III Shares, the

GMO Strategic Opportunities Allocation Index*, the MSCI World Index and the Bloomberg

U.S. Aggregate Index

As of February 29, 2024

	Average Annual Total Returns
	1 Year	5 Year	10 Year
Class III	14.44%	6.71%	5.09%

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2024. All information is unaudited.

* The GMO Strategic Opportunities Allocation Index is a composite benchmark computed by GMO and comprised of 75% MSCI World Index and 25% Bloomberg U.S. Aggregate Index.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

102

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

For Class III the gross expense ratio of 0.85% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2023. For the Class listed above, the net expense ratio of 0.70% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

103

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2024 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		85.4	%
Short-Term Investments		22.2
Debt Obligations		8.4
Preferred Stocks		1.7
Loan Assignments		0.1
Futures Contracts		0.0	^
Forward Currency Contracts		0.0	^
Rights/Warrants		0.0	^
Investment Funds		0.0	^
Loan Participations		0.0	^
Written Options/Credit Linked Options		0.0	^
Purchased Options		0.0	^
Swap Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Securities Sold Short		(16.6	)
Other		(1.2	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		17.8	%
Other Emerging		3.4	†
Other Developed		0.1	‡
Euro Region		0.0	§^
		21.3	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		22.8	%
Japan		10.6
Other Developed		5.1	‡
Taiwan		3.9
France		3.6
United Kingdom		3.2
Other Emerging		3.1	†
India		2.4
China		2.0
Brazil		1.9
Netherlands		1.7
Spain		1.6
Switzerland		1.6
South Korea		1.5
South Africa		1.5
Mexico		1.2
Canada		1.2
Italy		1.2
Euro Region		0.0	§^
		70.1	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

104

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		COMMON STOCKS — 21.1%
		Australia — 0.4%
	16,457	BlueScope Steel Ltd. (a)		244,723
	22,207	Brambles Ltd. (a)		218,050
	44,850	GPT Group – (REIT) (a)		126,846
	83,063	Mirvac Group – (REIT) (a)		117,813
	44,089	Scentre Group – (REIT) (a)		89,230
	42,562	Stockland – (REIT) (a)		124,358
		Total Australia		921,020
		Belgium — 0.3%
	5,649	Ageas SA (a)		240,080
	358	Sofina SA (a)		81,939
	3,202	UCB SA (a)		369,445
		Total Belgium		691,464
		Brazil — 0.0%
	1,107	Vale SA		14,918
		Canada — 1.0%
	3,100	Alimentation Couche-Tard, Inc. (a)		192,261
	967	Brookfield Asset Management Ltd. – Class A (a)		39,405
	5,287	Brookfield Corp. – Class A (a)		218,195
	2,400	Canadian Tire Corp. Ltd. – Class A (a)		244,218
	300	CGI, Inc. * (a)		34,444
	1,200	iA Financial Corp., Inc. (a)		74,415
	1,500	Magna International, Inc. (a)		82,651
	9,200	Manulife Financial Corp. (a) (b)		218,349
	7,400	Manulife Financial Corp. (a) (b)		175,676
	2,752	Nutrien Ltd. (a)		143,764
	2,300	Onex Corp. (a)		171,286
	794	Open Text Corp. (a)		30,561
	7,300	Quebecor, Inc. – Class B (a)		170,727
	3,200	West Fraser Timber Co. Ltd. (a) (b)		257,528
	400	West Fraser Timber Co. Ltd. (b) (c)		32,200
		Total Canada		2,085,680
		China — 0.3%
	78,000	Bank of Communications Co. Ltd. – Class H		51,101
	13,000	Beijing Enterprises Holdings Ltd.		48,904
	304,000	China Construction Bank Corp. – Class H		188,528
	46,500	China Overseas Land & Investment Ltd.		68,672
	152,000	China Railway Group Ltd. – Class H		74,037
	286,000	China Zhongwang Holdings Ltd. * (d)		—
	110,000	CITIC Ltd.		110,657
	65,000	COSCO Shipping Holdings Co. Ltd. – Class H		69,975
	60,000	Dongfeng Motor Group Co. Ltd. – Class H		25,666
	9,000	Kingboard Holdings Ltd.		17,653
	9,900	Shanghai Pharmaceuticals Holding Co. Ltd. – Class H		15,920
	8,000	Sinopharm Group Co. Ltd. – Class H		22,388

Shares		Description	Value ($)
		China — continued
	1,186	Tencent Holdings Ltd.		41,546
		Total China		735,047
		Denmark — 0.4%
	49	AP Moller - Maersk AS – Class A (a)		66,560
	131	AP Moller - Maersk AS – Class B (a)		185,908
	12,003	Danske Bank AS (a)		353,130
	339	Genmab AS * (a)		94,181
	516	Pandora AS (a)		83,448
	475	ROCKWOOL AS – B Shares (a)		152,024
		Total Denmark		935,251
		Finland — 0.2%
	3,711	Neste OYJ (a)		101,726
	86,641	Nokia OYJ (a)		305,418
	6,647	Stora Enso OYJ – R Shares (a)		84,042
		Total Finland		491,186
		France — 0.8%
	9,781	ArcelorMittal SA		255,141
	1,232	BNP Paribas SA (a)		73,945
	580	Cie de Saint-Gobain SA (a)		44,713
	223	LVMH Moet Hennessy Louis Vuitton SE (a)		203,540
	729	Publicis Groupe SA (a)		77,132
	6,394	Renault SA (a)		266,972
	1,505	Safran SA (a)		315,584
	10,582	Societe Generale SA (a)		256,990
	1,536	STMicroelectronics NV - NY Shares		70,072
	8,658	Vivendi SE (a)		96,750
		Total France		1,660,839
		Germany — 0.3%
	310	Bayerische Motoren Werke AG (a)		36,669
	1,331	Beiersdorf AG (a)		190,787
	1,413	Continental AG (a)		113,344
	1,882	Fresenius SE & Co. KGaA (a)		52,706
	3,117	Mercedes-Benz Group AG (a)		248,377
		Total Germany		641,883
		Hong Kong — 0.1%
	19,111	Galaxy Entertainment Group Ltd.		104,055
	4,500	Orient Overseas International Ltd. (a)		69,684
		Total Hong Kong		173,739
		India — 0.4%
	4,804	Bharat Petroleum Corp. Ltd.		35,118
	64,626	GAIL India Ltd.		142,321
	6,193	Hindalco Industries Ltd.		37,764
	22,810	Hindustan Petroleum Corp. Ltd.		141,769
	88,428	Indian Oil Corp. Ltd.		177,940

105 See accompanying notes to the financial statements.  

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		India — continued
	66,639	Oil & Natural Gas Corp. Ltd.		212,805
		Total India		747,717
		Ireland — 0.1%
	2,059	Ryanair Holdings PLC Sponsored ADR (a)		284,657
		Israel — 0.2%
	269	Check Point Software Technologies Ltd. * (c)		43,153
	24,056	Teva Pharmaceutical Industries Ltd. Sponsored ADR* (a)		316,336
	5,573	Teva Pharmaceutical Industries Ltd. *		73,246
		Total Israel		432,735
		Italy — 0.3%
	3,028	Leonardo SpA (a)		64,739
	15,258	Stellantis NV (a)		399,143
	465,893	Telecom Italia SpA * (a)		140,069
		Total Italy		603,951
		Japan — 1.8%
	1,900	Chubu Electric Power Co., Inc. (a)		23,648
	900	FUJIFILM Holdings Corp. (a)		57,327
	29,100	Honda Motor Co. Ltd. (a)		345,782
	18,800	Inpex Corp. (a)		250,580
	7,800	ITOCHU Corp. (a)		338,839
	2,300	Kansai Electric Power Co., Inc. (a)		29,414
	4,500	Kawasaki Kisen Kaisha Ltd. (a)		214,790
	8,900	Mitsui OSK Lines Ltd. (a)		304,789
	1,400	NEC Corp. (a)		94,496
	9,700	Nippon Yusen KK (a)		308,911
	5,800	Panasonic Holdings Corp. (a)		54,831
	6,600	Renesas Electronics Corp. (a)		109,052
	12,600	Sekisui House Ltd. (a)		280,674
	2,800	Shionogi & Co. Ltd. (a)		139,403
	9,000	Subaru Corp. (a)		203,632
	13,400	Sumitomo Corp. (a)		314,577
	2,700	TDK Corp. (a)		140,770
	54,700	Tokyo Electric Power Co. Holdings, Inc. * (a)		295,916
	6,100	Tosoh Corp. (a)		83,123
	1,500	Toyota Tsusho Corp. (a)		97,175
	17,400	Yamaha Motor Co. Ltd. (a)		155,997
		Total Japan		3,843,726
		Mexico — 0.2%
	24,422	Fomento Economico Mexicano SAB de CV		304,081
	44,275	Grupo Mexico SAB de CV – Series B		215,891
		Total Mexico		519,972
		Netherlands — 0.7%
	15,720	Aegon Ltd. (a)		94,480
	3,606	AerCap Holdings NV *		278,311

Shares		Description	Value ($)
		Netherlands — continued
	3,051	EXOR NV (a)		329,557
	19,383	ING Groep NV (a)		266,746
	757	JDE Peet’s NV (a)		17,287
	8,196	Koninklijke Ahold Delhaize NV (a)		244,092
	13,553	Koninklijke Philips NV (a)		273,056
	935	Prosus NV		27,309
		Total Netherlands		1,530,838
		New Zealand — 0.0%
	12,318	Meridian Energy Ltd. (a)		44,854
		Norway — 0.1%
	9,557	Equinor ASA (a)		235,473
		Poland — 0.1%
	15,981	ORLEN SA		248,238
		Portugal — 0.0%
	4,680	EDP - Energias de Portugal SA		18,638
		Russia — 0.0%
	2,505	LUKOIL PJSC (d)		2,025
	5,410	Novatek PJSC (d)		798
		Total Russia		2,823
		South Africa — 0.0%
	7,025	Bidvest Group Ltd.		85,731
		South Korea — 0.6%
	119	Hyundai Mobis Co. Ltd.		21,705
	660	Hyundai Motor Co.		124,256
	4,122	Kia Corp. *		386,017
	1,631	LG Corp.		114,804
	3,087	LG Electronics, Inc.		220,683
	76	POSCO Holdings, Inc.		24,700
	2,400	POSCO Holdings, Inc. Sponsored ADR (a)		193,992
	2,735	SK Square Co. Ltd. *		143,513
		Total South Korea		1,229,670
		Spain — 0.5%
	3,195	Amadeus IT Group SA (a)		189,012
	34,224	Banco Bilbao Vizcaya Argentaria SA (a)		341,360
	75,774	Banco Santander SA (a)		315,787
	6,064	Industria de Diseno Textil SA (a)		269,776
		Total Spain		1,115,935
		Sweden — 0.3%
	29,827	Fastighets AB Balder – B Shares* (a)		185,507
	14,034	Investor AB – B Shares (a)		353,085
	5,437	Skanska AB – B Shares (a)		100,342
		Total Sweden		638,934

  See accompanying notes to the financial statements. 106

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Switzerland — 0.3%
	5,938	Adecco Group AG (Registered) (a)		238,039
	53	Roche Holding AG (a)		14,652
	1,048	Roche Holding AG – Genusschein (a)		274,011
		Total Switzerland		526,702
		Thailand — 0.2%
	45,300	Kasikornbank PCL NVDR		155,452
	379,800	Krung Thai Bank PCL NVDR		170,457
	13,100	Thai Oil PCL NVDR		20,453
		Total Thailand		346,362
		Turkey — 0.1%
	13,775	KOC Holding AS		74,134
	180,791	Yapi ve Kredi Bankasi AS		133,421
		Total Turkey		207,555
		United Kingdom — 1.1%
	10,080	3i Group PLC (a)		314,930
	5,757	Berkeley Group Holdings PLC (a)		338,242
	190,514	BT Group PLC (a)		251,473
	3,858	Coca-Cola HBC AG (a)		120,266
	10,255	Compass Group PLC (a)		281,383
	63,471	Kingfisher PLC (a)		188,229
	6,708	Persimmon PLC (a)		115,602
	6,513	Shell PLC (a)		201,446
	1,646	Shell PLC ADR (a)		103,418
	72,474	Taylor Wimpey PLC (a)		126,304
	2,949	Unilever PLC Sponsored ADR (a)		144,412
	30,786	Vodafone Group PLC Sponsored ADR (a)		275,227
		Total United Kingdom		2,460,932
		United States — 10.3%
	3,136	3M Co. (c)		288,888
	331	Akamai Technologies, Inc. * (c)		36,714
	8,713	Ally Financial, Inc. (a)		322,294
	2,247	Alphabet, Inc. – Class A* (a)		311,120
	932	Alphabet, Inc. – Class C* (a)		130,275
	1,344	American Express Co. (c)		294,900
	463	Archer-Daniels-Midland Co. (c)		24,590
	333	Aspen Technology, Inc. * (c)		64,565
	1,447	Best Buy Co., Inc. (c)		117,033
	816	Bio-Rad Laboratories, Inc. – Class A* (a) (c)		265,918
	81	Booking Holdings, Inc. * (c)		280,975
	11,917	BorgWarner, Inc. (a)		370,976
	1,950	Builders FirstSource, Inc. * (a)		380,601
	2,570	Capital One Financial Corp. (a)		353,658
	1,902	CarMax, Inc. * (c)		150,258
	1,211	CBRE Group, Inc. – Class A* (a)		111,279
	2,520	Centene Corp. * (c)		197,644
	3,132	Chesapeake Energy Corp. (a)		259,267
	1,065	Chevron Corp. (c)		161,891
	4,389	Cisco Systems, Inc. (c)		212,296
	6,638	Citigroup, Inc. (a)		368,343

Shares		Description	Value ($)
		United States — continued
	14,548	Cleveland-Cliffs, Inc. * (a)		302,598
	4,300	Cognizant Technology Solutions Corp. – Class A (a)		339,786
	7,000	Comcast Corp. – Class A (a)		299,950
	3,888	CVS Health Corp. (c)		289,151
	3,820	Darling Ingredients, Inc. * (c)		161,624
	941	Dick’s Sporting Goods, Inc. (c)		167,394
	2,971	Discover Financial Services (a)		358,600
	1,234	DR Horton, Inc. (c)		184,409
	1,905	Dropbox, Inc. – Class A* (c)		45,625
	5,900	eBay, Inc. (a)		278,952
	1,901	EOG Resources, Inc. (c)		217,588
	3,449	Etsy, Inc. * (c)		247,259
	2,149	Expedia Group, Inc. * (a)		294,026
	716	F5, Inc. * (c)		134,049
	5,262	Fidelity National Financial, Inc. (c)		266,152
	24,100	Ford Motor Co. (c)		299,804
	1,875	Fox Corp. – Class A (c)		55,856
	7,200	Fox Corp. – Class B (a)		197,136
	9,812	Franklin Resources, Inc. (a)		269,339
	695	General Electric Co. (a)		109,039
	8,300	General Motors Co. (a)		340,134
	2,172	Green Plains, Inc. * (c)		46,264
	16,668	Hewlett Packard Enterprise Co. (a)		253,854
	1,065	Hilton Worldwide Holdings, Inc. (a)		217,601
	10,191	HP, Inc. (a)		288,711
	1,823	Illumina, Inc. * (c)		254,910
	4,644	Incyte Corp. * (c)		271,024
	7,061	Intel Corp. (a) (c)		303,976
	2,223	Intercontinental Exchange, Inc. (a)		307,708
	1,917	International Business Machines Corp. (c)		354,702
	2,045	Jazz Pharmaceuticals PLC * (c)		243,150
	1,154	Keysight Technologies, Inc. * (c)		178,062
	16,718	Kinder Morgan, Inc. (a)		290,726
	7,657	Kraft Heinz Co. (a)		270,139
	2,102	Kroger Co. (a) (c)		104,280
	218	Laboratory Corp. of America Holdings (c)		47,051
	251	Lam Research Corp. (a)		235,501
	4,363	Las Vegas Sands Corp. (a)		237,871
	1,247	Lennar Corp. – Class A (c)		197,662
	141	Markel Group, Inc. * (c)		210,440
	8,404	Match Group, Inc. * (a) (c)		302,880
	1,191	Meta Platforms, Inc. – Class A (a)		583,745
	2,697	Micron Technology, Inc. (c)		244,375
	2,890	Moderna, Inc. * (c)		266,574
	1,612	Molson Coors Beverage Co. – Class B (c)		100,621
	3,051	Mosaic Co. (a)		95,069
	1,800	Nucor Corp. (c)		346,140
	3,817	ON Semiconductor Corp. * (c)		301,238
	1,320	Otis Worldwide Corp. (c)		125,796
	5,691	Ovintiv, Inc. (a)		281,192
	2,992	PACCAR, Inc. (a)		331,783
	20,190	Paramount Global – Class B (c)		222,898
	4,799	PayPal Holdings, Inc. * (a)		289,572

107 See accompanying notes to the financial statements.  

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares / Par Value†		Description	Value ($)
		United States — continued
	9,818	Pfizer, Inc. (a)		260,766
	1,918	PulteGroup, Inc. (c)		207,873
	2,365	QUALCOMM, Inc. (a) (c)		373,173
	400	Regeneron Pharmaceuticals, Inc. * (a)		386,436
	2,776	Skyworks Solutions, Inc. (c)		291,258
	1,171	SolarEdge Technologies, Inc. * (c)		78,656
	2,725	Steel Dynamics, Inc. (c)		364,659
	8,252	Synchrony Financial (c)		340,808
	875	TE Connectivity Ltd. (a)		125,615
	1,038	Texas Instruments, Inc. (c)		173,689
	1,354	Textron, Inc. (a)		120,601
	5,197	Tyson Foods, Inc. – Class A (a)		281,885
	4,013	U.S. Bancorp (c)		168,385
	343	Universal Health Services, Inc. – Class B (a)		57,302
	8,967	Verizon Communications, Inc. (a)		358,859
	9,872	VF Corp. (c)		161,308
	24,200	Viatris, Inc. (c)		299,354
	11,780	Walgreens Boots Alliance, Inc. (c)		250,443
	4,884	Wells Fargo & Co. (c)		271,502
	1,192	Westlake Corp. (c)		165,342
	4,000	Zoom Video Communications, Inc. – Class A* (a)		282,920
		Total United States		22,388,305
		TOTAL COMMON STOCKS (COST $40,647,302)		45,864,775
		PREFERRED STOCKS (e) — 0.4%
		Brazil — 0.1%
	24,987	Bradespar SA		106,561
	3,502	Petroleo Brasileiro SA ADR (a)		56,627
		Total Brazil		163,188
		Germany — 0.3%
	1,287	Bayerische Motoren Werke AG (a)		141,099
	4,846	Porsche Automobil Holding SE (a)		259,065
	2,178	Volkswagen AG (a)		295,774
		Total Germany		695,938
		TOTAL PREFERRED STOCKS (COST $767,562)		859,126
		DEBT OBLIGATIONS — 1.8%
		United States — 1.8%
		U.S. Government — 0.7%
	1,500,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a)		1,501,736
		U.S. Government Agency — 1.1%
	1,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.43%, due 03/06/24 (a)		1,000,014

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government Agency — continued
	1,500,000	Federal Home Loan Banks, 5.23%, due 03/22/24 (a)		1,499,745
		Total U.S. Government Agency		2,499,759
		Total United States		4,001,495
		TOTAL DEBT OBLIGATIONS (COST $4,000,522)		4,001,495
		MUTUAL FUNDS — 81.2%
		United States — 81.2%
		Affiliated Issuers — 81.2%
	666,357	GMO Asset Allocation Bond Fund, Class VI		13,007,297
	460,291	GMO Emerging Country Debt Fund, Class VI		8,676,483
	1,160,429	GMO Emerging Markets ex-China Fund, Class VI		17,963,445
	678,925	GMO Emerging Markets Fund, Class VI		16,002,271
	1,351,901	GMO International Equity Fund, Class IV		31,688,550
	1,263,055	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV		18,074,314
	548,817	GMO-Usonian Japan Value Creation Fund, Class VI		10,795,220
	384,384	GMO Multi-Sector Fixed Income Fund, Class IV		6,634,466
	278,535	GMO Quality Fund, Class VI		8,637,364
	221,553	GMO Resources Fund, Class VI		4,563,997
	341,730	GMO Small Cap Quality Fund, Class VI		8,341,628
	814,395	GMO U.S. Equity Fund, Class VI		11,100,197
	831,009	GMO U.S. Opportunistic Value Fund, Class VI		18,332,068
	655,411	GMO U.S. Treasury Fund		3,277,055
		Total Affiliated Issuers		177,094,355
		TOTAL MUTUAL FUNDS (COST $172,150,694)		177,094,355
		SHORT-TERM INVESTMENTS — 12.1%
		Money Market Funds — 0.2%
	419,743	State Street Institutional Treasury Money Market Fund – Premier Class, 5.25% (f)		419,743

  See accompanying notes to the financial statements. 108

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Repurchase Agreements — 11.9%
	25,999,239	Nomura Securities International, Inc. Repurchase Agreement, dated 02/29/24, maturing on 03/01/24 with a maturity value of $26,003,067 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 12/31/28 and a market value of $26,455,558.		25,999,239
		TOTAL SHORT-TERM INVESTMENTS (COST $26,418,982)		26,418,982
		TOTAL INVESTMENTS — 116.6% (Cost $243,985,062)		254,238,733
		SECURITIES SOLD SHORT — (16.6)%
		Common Stocks — (16.4)%
		Australia — (0.5)%
	(4,131)	ASX Ltd.		(177,000	)
	(1,035)	Cochlear Ltd.		(235,932	)
	(11,051)	IDP Education Ltd.		(137,272	)
	(28,726)	Lottery Corp. Ltd.		(95,047	)
	(3,990)	Ramsay Health Care Ltd.		(142,343	)
	(3,981)	WiseTech Global Ltd.		(245,561	)
		Total Australia		(1,033,155	)
		Austria — (0.1)%
	(2,362)	Verbund AG		(170,985	)
		Belgium — (0.2)%
	(4,837)	Anheuser-Busch InBev SA		(292,351	)
	(8)	Lotus Bakeries NV		(75,281	)
		Total Belgium		(367,632	)
		Canada — (1.0)%
	(2,751)	Agnico Eagle Mines Ltd.		(132,213	)
	(4,139)	Algonquin Power & Utilities Corp.		(24,213	)
	(12,100)	AltaGas Ltd.		(259,359	)
	(942)	Brookfield Renewable Corp. – Class A		(22,344	)
	(6,821)	Cameco Corp.		(276,455	)
	(8,205)	Enbridge, Inc.		(282,416	)
	(2,423)	Franco-Nevada Corp.		(254,076	)
	(7,433)	GFL Environmental, Inc.		(268,183	)
	(8,100)	Pembina Pipeline Corp.		(281,961	)
	(4,000)	Restaurant Brands International, Inc.		(310,600	)
		Total Canada		(2,111,820	)
		China — (0.0)%
	(723)	Yum China Holdings, Inc.		(31,010	)
		Denmark — (0.1)%
	(1,560)	Coloplast AS – Class B		(207,220	)
	(270)	Novo Nordisk AS – Class B		(32,229	)
		Total Denmark		(239,449	)

Shares		Description	Value ($)
		Finland — (0.0)%
	(1,468)	Elisa OYJ		(66,116	)
		France — (0.5)%
	(5,908)	Accor SA		(256,630	)
	(1,525)	Aeroports de Paris SA		(207,601	)
	(13,476)	Getlink SE		(230,082	)
	(146)	Hermes International SCA		(365,342	)
	(185)	Sartorius Stedim Biotech		(50,921	)
		Total France		(1,110,576	)
		Germany — (0.7)%
	(1,482)	adidas AG		(299,779	)
	(544)	Covestro AG*		(29,609	)
	(8,976)	Delivery Hero SE*		(207,624	)
	(139)	Deutsche Boerse AG		(29,099	)
	(1,219)	MTU Aero Engines AG		(293,229	)
	(244)	Puma SE		(11,222	)
	(184)	Rational AG		(151,410	)
	(70)	Rheinmetall AG		(32,120	)
	(4,145)	Siemens Energy AG*		(63,653	)
	(2,568)	Symrise AG		(262,790	)
	(185)	Wacker Chemie AG		(20,235	)
	(1,286)	Zalando SE*		(27,216	)
		Total Germany		(1,427,986	)
		Ireland — (0.1)%
	(1,351)	Flutter Entertainment PLC*		(292,539	)
		Israel — (0.2)%
	(1,395)	CyberArk Software Ltd.*		(367,945	)
	(118)	Monday.com Ltd.*		(26,315	)
		Total Israel		(394,260	)
		Italy — (0.5)%
	(7,509)	Amplifon SpA		(250,745	)
	(876)	Ferrari NV (b)		(369,728	)
	(42)	Ferrari NV (b)		(17,840	)
	(17,820)	FinecoBank Banca Fineco SpA		(246,870	)
	(19,965)	Infrastrutture Wireless Italiane SpA		(221,139	)
		Total Italy		(1,106,322	)
		Japan — (1.5)%
	(12,300)	Aeon Co. Ltd.		(293,687	)
	(600)	ANA Holdings, Inc.*		(13,081	)
	(6,600)	Asahi Intecc Co. Ltd.		(137,369	)
	(100)	Disco Corp.		(32,589	)
	(400)	East Japan Railway Co.		(23,665	)
	(100)	Fast Retailing Co. Ltd.		(28,965	)
	(500)	GMO Payment Gateway, Inc.		(33,747	)
	(2,100)	Japan Airlines Co. Ltd.		(39,220	)
	(9,600)	Japan Exchange Group, Inc.		(251,343	)
	(2,900)	Keisei Electric Railway Co. Ltd.		(135,491	)
	(4,100)	Kintetsu Group Holdings Co. Ltd.		(126,094	)

109 See accompanying notes to the financial statements.  

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		Japan — continued
	(5,500)	Kobe Bussan Co. Ltd.		(148,078	)
	(1,300)	Lasertec Corp.		(348,813	)
	(500)	McDonald’s Holdings Co. Japan Ltd.		(23,255	)
	(13,300)	MonotaRO Co. Ltd.		(127,213	)
	(4,500)	Nippon Paint Holdings Co. Ltd.		(33,430	)
	(3,900)	Odakyu Electric Railway Co. Ltd.		(54,832	)
	(8,500)	Oriental Land Co. Ltd.		(304,642	)
	(58,300)	Rakuten Group, Inc.*		(319,541	)
	(1,800)	Seven & i Holdings Co. Ltd.		(26,825	)
	(3,200)	Shiseido Co. Ltd.		(86,999	)
	(23,900)	SoftBank Corp.		(314,368	)
	(2,200)	SoftBank Group Corp.		(130,312	)
	(3,400)	Tobu Railway Co. Ltd.		(86,918	)
	(10,800)	Tokyu Corp.		(134,383	)
	(1,400)	West Japan Railway Co.		(58,214	)
	(1,300)	Zensho Holdings Co. Ltd.		(56,928	)
		Total Japan		(3,370,002	)
		Netherlands — (0.5)%
	(240)	Adyen NV*		(379,737	)
	(31)	ASML Holding NV		(29,419	)
	(1,870)	BE Semiconductor Industries NV		(338,690	)
	(12,066)	Universal Music Group NV		(364,277	)
		Total Netherlands		(1,112,123	)
		New Zealand — (0.1)%
	(3,637)	Xero Ltd.*		(302,484	)
		Peru — (0.1)%
	(3,500)	Southern Copper Corp.		(283,010	)
		Singapore — (0.2)%
	(71,141)	Grab Holdings Ltd. – Class A*		(218,403	)
	(2,276,100)	Seatrium Ltd.*		(152,617	)
		Total Singapore		(371,020	)
		Spain — (0.3)%
	(7,689)	Cellnex Telecom SA*		(277,992	)
	(9,235)	Ferrovial SE		(346,773	)
		Total Spain		(624,765	)
		Sweden — (0.2)%
	(9,392)	Beijer Ref AB		(132,254	)
	(8,370)	EQT AB		(245,214	)
	(482)	Evolution AB		(62,440	)
	(6,132)	H & M Hennes & Mauritz AB – Class B		(83,267	)
		Total Sweden		(523,175	)
		Switzerland — (0.1)%
	(114)	Partners Group Holding AG		(163,917	)
	(1,017)	SIG Group AG		(20,147	)
		Total Switzerland		(184,064	)

Shares		Description	Value ($)
		United Kingdom — (1.0)%
	(2,205)	Admiral Group PLC		(74,400	)
	(25,277)	Auto Trader Group PLC		(236,689	)
	(14,090)	Hargreaves Lansdown PLC		(129,856	)
	(32,236)	Informa PLC		(330,513	)
	(3,478)	InterContinental Hotels Group PLC		(369,341	)
	(2,983)	London Stock Exchange Group PLC		(335,030	)
	(44,266)	M&G PLC		(125,850	)
	(11,199)	Phoenix Group Holdings PLC		(70,532	)
	(46,609)	Rolls-Royce Holdings PLC*		(217,538	)
	(3,752)	Severn Trent PLC		(118,401	)
	(605)	Spirax-Sarco Engineering PLC		(78,937	)
	(15,583)	Wise PLC – Class A*		(181,032	)
		Total United Kingdom		(2,268,119	)
		United States — (8.5)%
	(179)	AbbVie, Inc.		(31,513	)
	(457)	AECOM		(40,595	)
	(16,076)	AES Corp.		(244,355	)
	(1,500)	Alnylam Pharmaceuticals, Inc.*		(226,635	)
	(6,551)	Altria Group, Inc.		(268,001	)
	(888)	American Tower Corp. – (REIT)		(176,588	)
	(881)	Amgen, Inc.		(241,244	)
	(2,613)	ARES Management Corp. – Class A		(346,562	)
	(1,217)	Arthur J Gallagher & Co.		(296,863	)
	(1,271)	Axon Enterprise, Inc.*		(390,667	)
	(1,999)	Bill Holdings, Inc.*		(126,597	)
	(178)	BioMarin Pharmaceutical, Inc.*		(15,358	)
	(477)	Bio-Techne Corp.		(35,093	)
	(1,401)	Boeing Co.*		(285,412	)
	(279)	Broadcom, Inc.		(362,837	)
	(1,654)	Burlington Stores, Inc.*		(339,235	)
	(5,400)	Caesars Entertainment, Inc.*		(234,738	)
	(11)	CDW Corp.		(2,708	)
	(231)	Charles Schwab Corp.		(15,426	)
	(141)	Chipotle Mexican Grill, Inc.*		(379,117	)
	(3,898)	Cloudflare, Inc. – Class A*		(384,109	)
	(457)	CoStar Group, Inc.*		(39,773	)
	(4,078)	Dayforce, Inc.*		(284,481	)
	(2,813)	Dexcom, Inc.*		(323,692	)
	(7,852)	DraftKings, Inc. – Class A*		(340,149	)
	(120)	Ecolab, Inc.		(26,981	)
	(1,800)	Equity LifeStyle Properties, Inc. – (REIT)		(121,176	)
	(417)	Erie Indemnity Co. – Class A		(169,669	)
	(16)	Essential Utilities, Inc.		(556	)
	(3,983)	Exact Sciences Corp.*		(229,142	)
	(270)	Fair Isaac Corp.*		(342,876	)
	(290)	Fastenal Co.		(21,173	)
	(4,952)	Fidelity National Information Services, Inc.		(342,629	)
	(49)	Fiserv, Inc.*		(7,314	)
	(697)	Gartner, Inc.*		(324,495	)
	(557)	HubSpot, Inc.*		(344,677	)
	(68)	IDEXX Laboratories, Inc.*		(39,116	)
	(1,435)	Insulet Corp.*		(235,340	)

  See accompanying notes to the financial statements. 110

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2024

Shares		Description	Value ($)
		United States — continued
	(1,382)	IQVIA Holdings, Inc.*		(341,575	)
	(2,289)	Iron Mountain, Inc. – (REIT)		(180,007	)
	(386)	Lamb Weston Holdings, Inc.		(39,453	)
	(2,690)	Lattice Semiconductor Corp.*		(206,081	)
	(4,100)	Liberty Media Corp.-Liberty Formula One – Class C*		(298,316	)
	(833)	Linde PLC		(373,867	)
	(3,321)	Live Nation Entertainment, Inc.*		(322,071	)
	(56)	Lululemon Athletica, Inc.*		(26,157	)
	(716)	Manhattan Associates, Inc.*		(181,384	)
	(812)	MarketAxess Holdings, Inc.		(173,289	)
	(110)	Marsh & McLennan Cos., Inc.		(22,250	)
	(700)	Mastercard, Inc. – Class A		(332,332	)
	(134)	McDonald’s Corp.		(39,166	)
	(583)	McKesson Corp.		(303,982	)
	(204)	MercadoLibre, Inc.*		(325,441	)
	(800)	MongoDB, Inc.*		(358,064	)
	(834)	Moody’s Corp.		(316,436	)
	(63)	Motorola Solutions, Inc.		(20,815	)
	(578)	MSCI, Inc.		(324,241	)
	(8,276)	Newmont Corp.		(258,625	)
	(7,813)	NiSource, Inc.		(203,607	)
	(3,500)	Okta, Inc.*		(375,550	)
	(4,353)	ONEOK, Inc.		(326,997	)
	(32)	O’Reilly Automotive, Inc.*		(34,797	)
	(14,836)	Palantir Technologies, Inc. – Class A*		(372,087	)
	(2,550)	Paychex, Inc.		(312,681	)
	(3,189)	Philip Morris International, Inc.		(286,882	)
	(69)	Pool Corp.		(27,470	)
	(665)	PTC, Inc.*		(121,702	)
	(1,588)	Repligen Corp.*		(308,056	)
	(7,264)	Rivian Automotive, Inc. – Class A*		(82,229	)
	(7,373)	ROBLOX Corp. – Class A*		(294,183	)
	(3,034)	Roku, Inc.*		(191,688	)
	(6,604)	Rollins, Inc.		(291,038	)
	(166)	Royal Caribbean Cruises Ltd.*		(20,476	)
	(141)	RPM International, Inc.		(16,264	)
	(486)	Seagate Technology Holdings PLC		(45,222	)

Shares		Description	Value ($)
		United States — continued
	(228)	Sherwin-Williams Co.		(75,703	)
	(810)	Simon Property Group, Inc. – (REIT)		(119,993	)
	(1,641)	Snowflake, Inc. – Class A*		(308,968	)
	(200)	Starbucks Corp.		(18,980	)
	(100)	STERIS PLC		(23,291	)
	(1,469)	Tesla, Inc.*		(296,562	)
	(17)	Texas Pacific Land Corp.		(26,782	)
	(16,275)	Toast, Inc. – Class A*		(374,325	)
	(563)	Trade Desk, Inc. – Class A*		(48,097	)
	(317)	TransDigm Group, Inc.		(373,344	)
	(1,939)	Unity Software, Inc.*		(56,851	)
	(1,132)	Vail Resorts, Inc.		(260,711	)
	(114)	Verisk Analytics, Inc.		(27,577	)
	(670)	Watsco, Inc.		(264,060	)
	(9,056)	Williams Cos., Inc.		(325,473	)
	(905)	Wolfspeed, Inc.*		(23,548	)
	(216)	Zillow Group, Inc. – Class C*		(12,128	)
	(200)	Zoetis, Inc.		(39,666	)
	(1,493)	Zscaler, Inc.*		(361,261	)
		Total United States		(18,428,693	)
		TOTAL COMMON STOCKS (PROCEEDS $31,593,968)		(35,819,305	)
		PREFERRED STOCKS (e) — (0.2)%
		Germany — (0.2)%
	(857)	Sartorius AG		(324,571	)
	(426)	Dr Ing hc F Porsche AG		(39,832	)
		TOTAL PREFERRED STOCKS (PROCEEDS $367,528)		(364,403	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $31,961,496)		(36,183,708	)
		Other Assets and Liabilities (net) — 0.0%		(21,237	)
		TOTAL NET ASSETS — 100.0%	$	218,033,788

111 See accompanying notes to the financial statements.  

GMO Strategic Opportunities Allocation Fund

(A Series GMO Trust)

 

Schedule of Investments — (Continued)

February 29, 2024

A summary of outstanding financial instruments at February 29, 2024 is as follows:

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives		Counterparty		Notional Amount		Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 0.40%		MORD		USD 1,803,716	06/18/2024		Monthly		—		(32,149	)		(32,149	)
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 0.40%		GS		USD 1,407,754	06/24/2024		Monthly		—		22,670			22,670
										$	—	$	(9,479	)	$	(9,479	)

As of February 29, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) Securities are traded on separate exchanges for the same entity.

(c) All or a portion of this security is out on loan (Note 2).

(d) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(e) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(f) The rate disclosed is the 7 day net yield as of February 29, 2024.

(g) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 113.

See accompanying notes to the financial statements.  112

GMO Trust Funds

February 29, 2024

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

ADR - American Depositary Receipt

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CORRA - Canadian Overnight Repo Rate Average

EuroSTR - Euro Short-Term Rate

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

JSB - Joint Stock Bank

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OIS - Overnight Indexed Swaps

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

The rates shown on variable rate notes are the current interest rates at February 29, 2024, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co	MORD - Morgan Stanley Capital Services LLC
BCLY - Barclays Bank PLC	MSCI - Morgan Stanley & Co. International PLC
CGMI - Citigroup Global Markets Inc.	SSB - State Street Bank and Trust Company
CITI - Citibank N.A.	UBSA - UBS AG
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MLCS - Merrill Lynch Capital Services, Inc.

Currency Abbreviations:

AUD - Australian Dollar	KRW - South Korean Won
BRL - Brazilian Real	MXN - Mexican Peso
CAD - Canadian Dollar	NOK - Norwegian Krone
CHF - Swiss Franc	NZD - New Zealand Dollar
CLP - Chilean Peso	PEN - Peruvian Sol
COP - Colombian Peso	PHP - Philippines Peso
CZK - Czech Republic Koruna	PLN - Polish Zloty
EUR - Euro	RON - Romanian New Leu
GBP - British Pound	SEK - Swedish Krona
HKD - Hong Kong Dollar	SGD - Singapore Dollar
HUF - Hungarian Forint	THB - Thai Baht
IDR - Indonesian Rupiah	TWD - Taiwan New Dollar
ILS - Israeli Shekel	USD - United States Dollar
INR - Indian Rupee	ZAR - South African Rand
JPY - Japanese Yen

113  See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2024

			Benchmark-				Global
	Alternative		Free		Benchmark-		Asset
	Allocation		Allocation		Free		Allocation
	Fundπ		Fund		Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	3,309,494	$	3,415,663,472	$	155,161,067	$	354,833,209
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		240,372,693		4,420,774		1,091,781,051		83,866
Repurchase agreements, at value (Note 2)(d)		41,035,173		—		50,999,652		—
Foreign currency, at value (Note 2)(e)		110,616		—		844,936		—
Cash		539,927		136		—		10
Receivable for investments sold		27,533,054		9,697,307		1,912,040		—
Receivable for Fund shares sold		180,440		101,452,967		500,000		105
Receivable for closed swap contracts (Note 4)		174,658		—		—		—
Dividends and interest receivable		455,371		477,396		2,893,545		36,393
Dividend withholding tax receivable		38,823		—		279,438		—
Foreign capital gains tax refund receivable (Note 2)		—		—		86,365		—
Unrealized appreciation on open forward currency contracts (Note 4)		1,862,388		—		—		—
Receivable from liquidated underlying funds (Note 2)		888,545		—		—		579,155
Due from broker (Note 2)		1,331,000		—		19,560		—
Receivable for variation margin on open futures contracts (Note 4)		12,342		—		20,780		—
Receivable for open OTC swap contracts (Note 4)		2,547,763		—		166,059		—
Interest receivable for open OTC swap contracts (Note 4)		536,786		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		86,573		135,454		63,509		39,259
Total assets		321,015,646		3,531,847,506		1,304,728,002		355,571,997
Liabilities:
Investments sold short, at value (Note 2)(f)		98,045,287		—		206,807,108		—
Due to custodian		—		—		366,128		—
Payable for cash collateral from securities loaned (Note 2)		—		—		1,383,252		—
Payable for investments purchased		30,613,907		462,956		2,204,207		34,617
Payable for Fund shares repurchased		73,277		111,858,102		—		65,000
Accrued foreign capital gains tax payable (Note 2)		56,509		—		1,683,190		—
Payable to affiliate for (Note 5):
Management fee		108,941		1,818,620		—		—
Supplemental support fee – Class MF		—		66,042		—		—
Shareholder service fee		26,888		283,053		—		—
Payable for variation margin on open futures contracts (Note 4)		321,056		—		—		—
Payable for variation margin on open cleared swap contracts (Note 4)		57,341		—		—		—
Payable for closed swap contracts (Note 4)		177,647		—		1,073		—
Unrealized depreciation on open forward currency contracts (Note 4)		643,785		—		—		—
Interest payable for open OTC swap contracts (Note 4)		393,691		—		—		—
Payable for open OTC swap contracts (Note 4)		1,019,599		—		210,769		—
Payable to Trustees and related expenses		1,257		23,418		7,403		2,325
Interest and dividend payable for short sales		164,794		—		119,443		—
Written options outstanding, at value (Note 4)(g)		322,627		—		—		—
Accrued expenses		239,032		179,599		423,488		74,449
Total liabilities		132,265,638		114,691,790		213,206,061		176,391
Net assets	$	188,750,008	$	3,417,155,716	$	1,091,521,941	$	355,395,606
(a)  Cost of investments – affiliated issuers:	$	3,875,000	$	3,422,809,251	$	176,589,938	$	376,508,226
(b)  Cost of investments – unaffiliated issuers:	$	235,124,193	$	4,420,774	$	1,095,844,450	$	83,866
(c)  Includes securities on loan at value (Note 2):	$	32,481,191	$	—	$	89,418,218	$	—
(d)  Cost of investments – repurchase agreements:	$	41,035,173	$	—	$	50,999,652	$	—
(e)  Cost of foreign currency:	$	139,705	$	—	$	847,929	$	—
(f)   Proceeds from securities sold short:	$	92,964,258	$	—	$	171,615,237	$	—
(g)  Premiums on written options:	$	508,387	$	—	$	—	$	—

  See accompanying notes to the financial statements. 114

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2024 — (Continued)

				Benchmark-						Global
	Alternative			Free			Benchmark-			Asset
	Allocation			Allocation			Free			Allocation
	Fundπ			Fund			Fund			Fund
Net assets consist of:
Paid-in capital	$	196,326,475		$	3,816,954,131		$	1,406,971,679		$	602,196,754
Distributable earnings (accumulated loss)		(7,576,467	)		(399,798,415	)		(315,449,738	)		(246,801,148	)
	$	188,750,008		$	3,417,155,716		$	1,091,521,941		$	355,395,606
Net assets attributable to:
Class III	$	—		$	1,072,340,737		$	1,091,521,941		$	333,837,265
Class IV	$	—		$	892,278,468		$	—		$	—
Class VI	$	45,346,994		$	—		$	—		$	—
Class MF	$	—		$	787,901,669		$	—		$	—
Class R6	$	5,766		$	300,343,143		$	—		$	9,387,129
Class I	$	143,397,248		$	364,291,699		$	—		$	12,171,212
Shares outstanding:
Class III		—			41,222,128			57,655,384			10,376,203
Class IV		—			34,286,453			—			—
Class VI		2,464,253			—			—			—
Class MF		—			30,253,539			—			—
Class R6		312			11,555,807			—			291,938
Class I		7,851,596			14,018,466			—			378,307
Net asset value per share:
Class III	$	—		$	26.01		$	18.93		$	32.17
Class IV	$	—		$	26.02		$	—		$	—
Class VI	$	18.40		$	—		$	—		$	—
Class MF	$	—		$	26.04		$	—		$	—
Class R6	$	18.50		$	25.99		$	—		$	32.15
Class I	$	18.26		$	25.99		$	—		$	32.17

π GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.

115 See accompanying notes to the financial statements.  

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2024 — (Continued)

	Global						International
	Developed		Global				Developed
	Equity		Equity				Equity
	Allocation		Allocation		Implementation		Allocation
	Fund		Fund		Fundb		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	70,637,492	$	734,649,801	$	3,301,486	$	265,423,096
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		42,798		715,646		3,816,859,636		116,212
Repurchase agreements, at value (Note 2)(d)		—		—		75,066,530		—
Foreign currency, at value (Note 2)(e)		—		—		2,045,749		—
Cash		—		—		925,469		—
Receivable for investments sold		—		—		5,659,197		—
Receivable for Fund shares sold		—		1,448		—		121,653
Receivable for closed swap contracts (Note 4)		—		—		678,915		—
Dividends and interest receivable		180		1,623		10,635,972		535
Dividend withholding tax receivable		—		—		894,472		—
Foreign capital gains tax refund receivable (Note 2)		—		—		29,414		—
EU tax reclaims receivable (Note 2)		—		—		165,370		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		5,504,684		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		3,201		—
Due from broker (Note 2)		—		—		78,910,945		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		175,862		—
Receivable for open OTC swap contracts (Note 4)		—		—		793,048		—
Interest receivable for open OTC swap contracts (Note 4)		—		—		95,679		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		9,795		44,257		133,671		26,419
Total assets		70,690,265		735,412,775		4,001,879,300		265,687,915
Liabilities:
Investments sold short, at value (Note 2)(f)		—		—		744,504,397		—
Payable for cash collateral from securities loaned (Note 2)		—		—		3,466,561		—
Payable for investments purchased		—		—		6,659,903		74,806
Payable for Fund shares repurchased		—		12,723		5,633,717		43,680
Accrued foreign capital gains tax payable (Note 2)		—		—		4,435,290		—
Payable for variation margin on open futures contracts (Note 4)		—		—		1,128,548		—
Payable for closed swap contracts (Note 4)		—		—		783,982		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		3,045,356		—
Interest payable for open OTC swap contracts (Note 4)		—		—		99,442		—
Payable for open OTC swap contracts (Note 4)		—		—		877,172		—
Payable to Trustees and related expenses		473		4,258		21,597		1,652
Interest and dividend payable for short sales		—		—		723,618		—
Written options outstanding, at value (Note 4)(g)		—		—		144,900		—
Accrued expenses		34,669		80,884		928,787		64,806
Total liabilities		35,142		97,865		772,453,270		184,944
Net assets	$	70,655,123	$	735,314,910	$	3,229,426,030	$	265,502,971
(a)  Cost of investments – affiliated issuers:	$	65,441,128	$	752,741,166	$	3,301,791	$	258,204,158
(b)  Cost of investments – unaffiliated issuers:	$	42,798	$	715,646	$	3,962,608,850	$	116,212
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	335,543,137	$	—
(d)  Cost of investments – repurchase agreements:	$	—	$	—	$	75,066,530	$	—
(e)  Cost of foreign currency:	$	—	$	—	$	2,098,303	$	—
(f)   Proceeds from securities sold short:	$	—	$	—	$	635,303,114	$	—
(g)  Premiums on written options:	$	—	$	—	$	78,200	$	—

  See accompanying notes to the financial statements. 116

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2024 — (Continued)

	Global									International
	Developed			Global						Developed
	Equity			Equity						Equity
	Allocation			Allocation			Implementation			Allocation
	Fund			Fund			Fundb			Fund
Net assets consist of:
Paid-in capital	$	138,046,522		$	896,735,914		$	4,212,415,014		$	426,737,513
Distributable earnings (accumulated loss)		(67,391,399	)		(161,421,004	)		(982,988,984	)		(161,234,542	)
	$	70,655,123		$	735,314,910		$	3,229,426,030		$	265,502,971
Net assets attributable to:
Core Class	$	—		$	—		$	3,229,426,030		$	—
Class III	$	70,655,123		$	682,157,277		$	—		$	257,184,027
Class R6	$	—		$	41,402,573		$	—		$	8,318,944
Class I	$	—		$	11,755,060		$	—		$	—
Shares outstanding:
Core Class		—			—			250,313,227			—
Class III		2,874,242			24,550,287			—			15,459,369
Class R6		—			1,490,249			—			500,135
Class I		—			423,503			—			—
Net asset value per share:
Core Class	$	—		$	—		$	12.90		$	—
Class III	$	24.58		$	27.79		$	—		$	16.64
Class R6	$	—		$	27.78		$	—		$	16.63
Class I	$	—		$	27.76		$	—		$	—

b GMO Implementation SPC Ltd. is a 100% owned subsidiary of Implementation Fund. As such, the amounts presented for Implementation Fund are consolidated with its subsidiary.

117 See accompanying notes to the financial statements.  

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2024 — (Continued)

	International		Strategic
	Equity		Opportunities
	Allocation		Allocation
	Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	305,366,217	$	177,094,355
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		201,400		51,145,139
Repurchase agreements, at value (Note 2)(d)		—		25,999,239
Foreign currency, at value (Note 2)(e)		—		79,599
Receivable for investments sold		—		6,697
Dividends and interest receivable		832		126,755
Dividend withholding tax receivable		—		28,864
Receivable for open OTC swap contracts (Note 4)		—		22,670
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		8,874		19,020
Total assets		305,577,323		254,522,338
Liabilities:
Investments sold short, at value (Note 2)(f)		—		36,183,708
Due to custodian		—		46,574
Payable for investments purchased		—		18,352
Payable for Fund shares repurchased		—		48,693
Accrued foreign capital gains tax payable (Note 2)		—		46,726
Payable for open OTC swap contracts (Note 4)		—		32,149
Payable to Trustees and related expenses		2,424		1,366
Interest and dividend payable for short sales		—		20,995
Accrued expenses		48,191		89,987
Total liabilities		50,615		36,488,550
Net assets	$	305,526,708	$	218,033,788
(a)  Cost of investments – affiliated issuers:	$	337,425,161	$	172,150,694
(b)  Cost of investments – unaffiliated issuers:	$	201,400	$	45,835,129
(c)  Includes securities on loan at value (Note 2):	$	—	$	11,007,531
(d)  Cost of investments – repurchase agreements:	$	—	$	25,999,239
(e)  Cost of foreign currency:	$	—	$	80,031
(f)   Proceeds from securities sold short:	$	—	$	31,961,496

  See accompanying notes to the financial statements. 118

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2024 — (Continued)

	International			Strategic
	Equity			Opportunities
	Allocation			Allocation
	Fund			Fund
Net assets consist of:
Paid-in capital	$	506,028,219		$	219,515,351
Distributable earnings (accumulated loss)		(200,501,511	)		(1,481,563	)
	$	305,526,708		$	218,033,788
Net assets attributable to:
Class III	$	84,237,628		$	218,033,788
Class R6	$	221,289,080		$	—
Shares outstanding:
Class III		3,016,544			12,981,951
Class R6		7,927,794			—
Net asset value per share:
Class III	$	27.93		$	16.80
Class R6	$	27.91		$	—

119 See accompanying notes to the financial statements.  

GMO Trust Funds

Statements of Operations —Year Ended February 29, 2024

				Benchmark-						Global
	Alternative			Free			Benchmark-			Asset
	Allocation			Allocation			Free			Allocation
	Fundπ			Fund			Fund			Fund
Investment Income:
Interest	$	5,208,794		$	9,667		$	11,268,364		$	1,095
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)		3,234,506			148,904			34,547,996			26,844
Dividends from affiliated issuers (Note 10)		192,243			236,735,501			11,674,645			14,838,214
Securities lending income from affiliated issuers (net)		—			—			79,933			—
Securities lending income (net)		—			—			49,968			—
Other income (Note 2)		468,922			—			1,151			304,981
Total investment income		9,104,465			236,894,072			57,622,057			15,171,134
Expenses:
Management fee (Note 5)		1,379,441			26,351,003			—			—
Shareholder service fee – Class III (Note 5)		—			2,044,309			—			—
Shareholder service fee – Class IV (Note 5)		—			1,107,624			—			—
Shareholder service fee – Class VI (Note 5)		25,669			—			—			—
Shareholder service fee – Class R6 (Note 5)		11			433,125			—			—
Shareholder service fee – Class I (Note 5)		313,036			450,103			—			—
Supplemental support fee – Class MF (Note 5)		—			994,685			—			—
Audit and tax fees		165,722			31,991			181,567			50,498
Custodian, fund accounting agent and transfer agent fees		588,184			515,303			765,460			92,332
Dividend expense on short sales		1,236,513			—			3,487,471			—
Legal fees		14,106			113,412			28,848			9,856
Registration fees		30,284			25,058			7,007			29,904
Trustees’ fees and related expenses (Note 5)		10,727			231,121			62,921			19,369
Interest expense and borrowing costs for investments sold short (Note 2)		373,282			—			1,207,902			—
Miscellaneous		73,401			59,628			143,394			8,672
Total expenses		4,210,376			32,357,362			5,884,570			210,631
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(630,730	)		(429,047	)		(769,683	)		(177,059	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(25,475	)		(1,892,968	)		—			—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(2,627	)		(245,321	)		—			—
Net expenses		3,551,544			29,790,026			5,114,887			33,572
Net investment income (loss)		5,552,921			207,104,046			52,507,170			15,137,562
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(1,561,701	)		25,481			26,943,808			16,997
Investments in affiliated issuers		123,020			(124,958,821	)		(27,294,835	)		(7,300,402	)
Investments in securities sold short		2,248,676			—			8,083,402			—
Realized gain distributions from affiliated issuers (Note 10)		—			10,297,913			4,171,262			5,291,162
Futures contracts		(3,156,563	)		—			(3,031,888	)		—
Written options		2,191,304			—			—			—
Swap contracts		(1,808,990	)		—			1,631,536			—
Forward currency contracts		3,631,824			—			(114,457	)		—
Foreign currency and foreign currency related transactions		417,589			—			49,068			—
Net realized gain (loss)		2,085,159			(114,635,427	)*		10,437,896			(1,992,243	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		10,496,053			—			90,653,377			—
Investments in affiliated issuers		(259,227	)		301,807,837			17,338,289			31,172,616
Investments in securities sold short		(9,581,779	)		—			(41,238,861	)		—
Futures contracts		(1,190,413	)		—			63,331			—
Written options		230,499			—			—			—
Swap contracts		221,794			—			(718,670	)		—
Forward currency contracts		746,173			—			114,111			—
Foreign currency and foreign currency related transactions		(34,961	)		—			83,467			—
Net change in unrealized appreciation (depreciation)		628,139			301,807,837			66,295,044			31,172,616
Net realized and unrealized gain (loss)		2,713,298			187,172,410			76,732,940			29,180,373
Net increase (decrease) in net assets resulting from operations	$	8,266,219		$	394,276,456		$	129,240,110		$	44,317,935
(a)  Withholding tax:	$	204,909		$	—		$	3,311,083		$	—
(b)  Foreign capital gains tax (benefit) on net realized gain (loss):	$	35,327		$	—		$	1,034,716		$	—

  See accompanying notes to the financial statements. 120

GMO Trust Funds

Statements of Operations —Year Ended February 29, 2024 — (Continued)

			Benchmark-				Global
	Alternative		Free		Benchmark-		Asset
	Allocation		Allocation		Free		Allocation
	Fundπ		Fund		Fund		Fund
(c)  Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	48,984	$	—	$	1,265,654	$	—

* For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

π GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.

121 See accompanying notes to the financial statements.  

GMO Trust Funds

Statements of Operations —Year Ended February 29, 2024 — (Continued)

	Global									International
	Developed			Global						Developed
	Equity			Equity						Equity
	Allocation			Allocation			Implementation			Allocation
	Fund			Fund			Fundb			Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	2,557,624		$	26,964,234		$	—		$	16,177,208
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)		2,624			17,511			121,782,950			6,193
Interest		79			670			57,039,382			730
Securities lending income from affiliated issuers (net)		—			—			169,925			—
Securities lending income (net)		—			—			183,662			—
Other income (Note 2)		—			—			441,769			—
Total investment income		2,560,327			26,982,415			179,617,688			16,184,131
Expenses:
Audit and tax fees		26,812			35,079			320,105			43,848
Custodian, fund accounting agent and transfer agent fees		14,330			95,750			1,574,227			53,745
Dividend expense on short sales		—			—			13,983,628			—
Legal fees		1,950			17,078			105,100			7,021
Registration fees		1,966			27,673			776			5,172
Trustees’ fees and related expenses (Note 5)		3,915			36,304			204,270			13,766
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			1,009,778			—
Miscellaneous		4,872	*		9,825			242,363			5,731
Total expenses		53,845			221,709			17,440,247			129,283
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(49,782	)		(173,584	)		(1,605,179	)		(114,781	)
Indirectly incurred management fees waived or borne by GMO (Note  5)		—			—			(5,988	)		—
Net expenses		4,063			48,125			15,829,080			14,502
Net investment income (loss)		2,556,264			26,934,290			163,788,608			16,169,629
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			—			64,892,701			—
Investments in affiliated issuers		559,063			(19,423,847	)		37,240			(3,093,774	)
Investments in securities sold short		—			—			41,177,948			—
Realized gain distributions from affiliated issuers (Note 10)		1,824,073			14,543,814			—			399,305
Futures contracts		—			—			(25,991,160	)		—
Written options		—			—			(230,519	)		—
Swap contracts		—			—			4,242,195			—
Forward currency contracts		—			—			9,540,592			—
Foreign currency and foreign currency related transactions		—			—			1,144,495			—
Net realized gain (loss)		2,383,136			(4,880,033	)		94,813,492			(2,694,469	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			—			286,288,952			—
Investments in affiliated issuers		6,778,447			94,272,749			2,210			25,528,149
Investments in securities sold short		—			—			(159,847,286	)		—
Futures contracts		—			—			(3,464,548	)		—
Written options		—			—			(606,371	)		—
Swap contracts		—			—			(752,459	)		—
Forward currency contracts		—			—			3,240,251			—
Foreign currency and foreign currency related transactions		—			—			210,583			—
Net change in unrealized appreciation (depreciation)		6,778,447			94,272,749			125,071,332			25,528,149
Net realized and unrealized gain (loss)		9,161,583			89,392,716			219,884,824			22,833,680
Net increase (decrease) in net assets resulting from operations	$	11,717,847		$	116,327,006		$	383,673,432		$	39,003,309
(a)  Withholding tax:	$	—		$	—		$	10,902,026		$	—
(b)  Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	—		$	3,769,247		$	—
(c)  Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	—		$	3,277,260		$	—

* Includes $4,094 of printing expenses.

b GMO Implementation SPC Ltd. is a 100% owned subsidiary of Implementation Fund. As such, the amounts presented for Implementation Fund are consolidated with its subsidiary.

  See accompanying notes to the financial statements. 122

GMO Trust Funds

Statements of Operations —Year Ended February 29, 2024 — (Continued)

	International			Strategic
	Equity			Opportunities
	Allocation			Allocation
	Fund			Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	21,522,444		$	7,535,860
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)		12,698			1,760,210
Interest		—			1,523,909
Other income		—			82
Total investment income		21,535,142			10,820,061
Expenses:
Audit and tax fees		22,903			58,179
Custodian, fund accounting agent and transfer agent fees		63,577			150,995
Dividend expense on short sales		—			567,978
Legal fees		9,671			5,630
Registration fees		13,131			2,086
Trustees’ fees and related expenses (Note 5)		21,135			11,558
Interest expense and borrowing costs for investments sold short (Note 2)		—			197,726
Miscellaneous		8,000	*		44,473
Total expenses		138,417			1,038,625
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(116,025	)		(240,717	)
Net expenses		22,392			797,908
Net investment income (loss)		21,512,750			10,022,153
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			1,193,789
Investments in affiliated issuers		(25,534,156	)		(2,661,340	)
Investments in securities sold short		—			1,919,979
Realized gain distributions from affiliated issuers (Note 10)		304,482			2,942,642
Swap contracts		—			293,695
Foreign currency and foreign currency related transactions		—			25,360
Net realized gain (loss)		(25,229,674	)		3,714,125
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			4,067,116
Investments in affiliated issuers		55,338,170			18,160,405
Investments in securities sold short		—			(7,688,478	)
Swap contracts		—			(108,742	)
Foreign currency and foreign currency related transactions		—			565
Net change in unrealized appreciation (depreciation)		55,338,170			14,430,866
Net realized and unrealized gain (loss)		30,108,496			18,144,991
Net increase (decrease) in net assets resulting from operations	$	51,621,246		$	28,167,144
(a)  Withholding tax:	$	—		$	156,722
(b)  Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	27,763
(c)  Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	32,174
*   Includes $6,304 of printing expenses.

123 See accompanying notes to the financial statements.  

GMO Trust Funds

Statements of Changes in Net Assets

							Benchmark-
	Alternative						Free
	Allocation						Allocation
	Fundπ						Fund
	Year Ended						Year Ended
	February 28/29,						February 28/29,
	2024			2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,552,921		$	2,749,638		$	207,104,046		$	142,228,479
Net realized gain (loss)		2,085,159			1,353,300			(114,635,427	)		(70,891,296	)
Change in net unrealized appreciation (depreciation)		628,139			360,528			301,807,837			(86,441,325	)
Net increase (decrease) in net assets from operations		8,266,219			4,463,466			394,276,456			(15,104,142	)
Distributions to shareholders:
Class III		—			—			(65,792,550	)		(44,436,242	)
Class IV		—			—			(61,157,345	)		(39,436,017	)
Class VI		(2,188,056	)		(566,438	)		—			—
Class MF		—			—			(53,048,013	)		(34,154,940	)
Class R6		(272	)		(239	)		(16,428,028	)		(8,404,776	)
Class I		(6,812,364	)		(1,316,125	)		(16,103,355	)		(8,571,449	)
Total distributions		(9,000,692	)		(1,882,802	)		(212,529,291	)		(135,003,424	)
Net share transactions (Note 9):
Class III		—			—			(538,139,902	)		(129,056,156	)
Class IV		—			—			(336,350,615	)		(169,185,506	)
Class VI		(3,947,149	)		(81,621,079	)		—			—
Class MF		—			—			(336,741,850	)		(248,623,598	)
Class R6		1,283			(17,370	)		5,370,855			16,445,267
Class I		(2,241,663	)		(4,435,177	)		37,604,120			(39,451,537	)
Increase (decrease) in net assets resulting from net share transactions		(6,187,529	)		(86,073,626	)		(1,168,257,392	)		(569,871,530	)
Total increase (decrease) in net assets		(6,922,002	)		(83,492,962	)		(986,510,227	)		(719,979,096	)
Net assets:
Beginning of period		195,672,010			279,164,972			4,403,665,943			5,123,645,039
End of period	$	188,750,008		$	195,672,010		$	3,417,155,716		$	4,403,665,943

π GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.

  See accompanying notes to the financial statements. 124

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

							Global
	Benchmark-						Asset
	Free						Allocation
	Fund						Fund
	Year Ended						Year Ended
	February 28/29,						February 28/29,
	2024			2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	52,507,170		$	65,558,866		$	15,137,562		$	10,865,500
Net realized gain (loss)		10,437,896			42,873,591			(1,992,243	)		(41,709,405	)
Change in net unrealized appreciation (depreciation)		66,295,044			(121,879,629	)		31,172,616			(3,797,081	)
Net increase (decrease) in net assets from operations		129,240,110			(13,447,172	)		44,317,935			(34,640,986	)
Distributions to shareholders:
Class III		(60,571,398	)		(68,892,922	)		(17,346,345	)		(11,238,011	)
Class R6		—			—			(1,117,067	)		(752,848	)
Class I		—			—			(721,894	)		(538,596	)
Total distributions		(60,571,398	)		(68,892,922	)		(19,185,306	)		(12,529,455	)
Net share transactions (Note 9):
Class III		(129,859,372	)		(378,801,075	)		4,796,533			(234,701,495	)
Class R6		—			—			(12,455,948	)		(3,363,652	)
Class I		—			—			(2,197,145	)		1,374,379
Increase (decrease) in net assets resulting from net share transactions		(129,859,372	)		(378,801,075	)		(9,856,560	)		(236,690,768	)
Total increase (decrease) in net assets		(61,190,660	)		(461,141,169	)		15,276,069			(283,861,209	)
Net assets:
Beginning of period		1,152,712,601			1,613,853,770			340,119,537			623,980,746
End of period	$	1,091,521,941		$	1,152,712,601		$	355,395,606		$	340,119,537

125 See accompanying notes to the financial statements.  

GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

	Global
	Developed						Global
	Equity						Equity
	Allocation						Allocation
	Fund						Fund
	Year Ended						Year Ended
	February 28/29,						February 28/29,
	2024			2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,556,264		$	2,303,093		$	26,934,290		$	47,256,857
Net realized gain (loss)		2,383,136			(172,374	)		(4,880,033	)		(81,844,614	)
Change in net unrealized appreciation (depreciation)		6,778,447			(6,335,293	)		94,272,749			(72,183,025	)
Net increase (decrease) in net assets from operations		11,717,847			(4,204,574	)		116,327,006			(106,770,782	)
Distributions to shareholders:
Class III		(4,118,075	)		(5,431,769	)		(35,740,752	)		(97,936,959	)
Class R6		—			—			(2,159,378	)		(441,589	)
Class I		—			—			(842,829	)		(388,226	)
Total distributions		(4,118,075	)		(5,431,769	)		(38,742,959	)		(98,766,774	)
Net share transactions (Note 9):
Class III		(3,937,103	)		(10,181,077	)		50,483,647			(807,493,688	)
Class R6		—			—			2,527,389			28,794,936
Class I		—			—			5,151,291			2,971,667
Increase (decrease) in net assets resulting from net share transactions		(3,937,103	)		(10,181,077	)		58,162,327			(775,727,085	)
Total increase (decrease) in net assets		3,662,669			(19,817,420	)		135,746,374			(981,264,641	)
Net assets:
Beginning of period		66,992,454			86,809,874			599,568,536			1,580,833,177
End of period	$	70,655,123		$	66,992,454		$	735,314,910		$	599,568,536

  See accompanying notes to the financial statements. 126

GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

							International
							Developed
							Equity
	Implementation						Allocation
	Fundb						Fund
	Year Ended						Year Ended
	February 28/29,						February 28/29,
	2024			2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	163,788,608		$	167,669,277		$	16,169,629		$	8,550,826
Net realized gain (loss)		94,813,492			155,743,646			(2,694,469	)		(1,196,973	)
Change in net unrealized appreciation (depreciation)		125,071,332			(306,158,237	)		25,528,149			(13,717,635	)
Net increase (decrease) in net assets from operations		383,673,432			17,254,686			39,003,309			(6,363,782	)
Distributions to shareholders:
Core Class		(206,158,943	)		(132,069,652	)		—			—
Class III		—			—			(15,690,639	)		(8,863,788	)
Class R6		—			—			(502,850	)		(323,823	)
Total distributions		(206,158,943	)		(132,069,652	)		(16,193,489	)		(9,187,611	)
Net share transactions (Note 9):
Core Class		(683,971,651	)		(830,527,741	)		—			—
Class III		—			—			15,964,456			11,806,790
Class R6		—			—			(471,148	)		368,329
Increase (decrease) in net assets resulting from net share transactions		(683,971,651	)		(830,527,741	)		15,493,308			12,175,119
Total increase (decrease) in net assets		(506,457,162	)		(945,342,707	)		38,303,128			(3,376,274	)
Net assets:
Beginning of period		3,735,883,192			4,681,225,899			227,199,843			230,576,117
End of period	$	3,229,426,030		$	3,735,883,192		$	265,502,971		$	227,199,843

b GMO Implementation SPC Ltd. is a 100% owned subsidiary of Implementation Fund. As such, the amounts presented for Implementation Fund are consolidated with its subsidiary.

127 See accompanying notes to the financial statements.  

GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

	International						Strategic
	Equity						Opportunities
	Allocation						Allocation
	Fund						Fund
	Year Ended						Year Ended
	February 28/29,						February 28/29,
	2024			2023			2024			2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	21,512,750		$	24,960,732		$	10,022,153		$	7,928,464
Net realized gain (loss)		(25,229,674	)		(12,463,356	)		3,714,125			1,106,379
Change in net unrealized appreciation (depreciation)		55,338,170			(69,591,970	)		14,430,866			(19,594,468	)
Net increase (decrease) in net assets from operations		51,621,246			(57,094,594	)		28,167,144			(10,559,625	)
Distributions to shareholders:
Class III		(6,390,915	)		(13,246,154	)		(12,552,752	)		(18,348,413	)
Class R6		(14,758,050	)		(10,107,910	)		—			—
Total distributions		(21,148,965	)		(23,354,064	)		(12,552,752	)		(18,348,413	)
Net share transactions (Note 9):
Class III		(213,964,476	)		(103,571,918	)		12,915,819			(18,040,407	)
Class R6		(3,123,289	)		(3,154,572	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(217,087,765	)		(106,726,490	)		12,915,819			(18,040,407	)
Total increase (decrease) in net assets		(186,615,484	)		(187,175,148	)		28,530,211			(46,948,445	)
Net assets:
Beginning of period		492,142,192			679,317,340			189,503,577			236,452,022
End of period	$	305,526,708		$	492,142,192		$	218,033,788		$	189,503,577

  See accompanying notes to the financial statements. 128

GMO Trust Funds

 

Statements of Cash Flows —Year Ended February 29, 2024

										Strategic
	Alternative			Benchmark-						Opportunities
	Allocation			Free			Implementation			Allocation
	Fundπ			Fund			Fundb			Fund
Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	8,266,219		$	129,240,110		$	383,673,432		$	28,167,144
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Net change in unrealized (appreciation) depreciation		(628,139	)		(66,295,044	)		(125,071,332	)		(14,430,866	)
Net realized (gain) loss		(2,085,159	)		(10,437,896	)		(94,813,492	)		(3,714,125	)
Cost of purchase of investments held long		(850,009,509	)		(1,055,812,371	)		(3,896,326,934	)		(99,840,463	)
Cost of purchase of investments held short		(81,420,875	)		(147,429,660	)		(725,430,439	)		(19,286,805	)
Proceeds from sale of investments held long		832,672,555			1,386,031,495			4,640,218,459			102,308,894
Proceeds of sales to securities sold short		100,932,378			86,775,322			444,005,507			15,384,163
Net accretion of discount and amortization of premium		5,326,117			(1,546,422	)		24,306,169			(27,752	)
Short-term investments, net		(4,635,764	)		38,538,021			223,610,796			(5,636,429	)
Realized gain distributions from affiliated issuers		—			4,171,262			—			2,942,642
Cash flows related to derivative transactions:
Futures contracts		(4,257,626	)		(2,989,337	)		(29,607,290	)		—
Written option contracts		1,472,955			—			(3,530,677	)		—
Swap contracts		3,952,017			1,663,894			6,283,248			293,695
Forward currency contracts		3,631,824			(114,457	)		9,540,592			—
Foreign currency and foreign currency related transactions		382,628			132,535			1,355,078			25,925
Change in assets and liabilities:
(Increase) decrease in due from broker		(875,259	)		1,171,621			22,589,714			—
(Increase) decrease in dividends and interest receivable		484,893			704,106			5,829,060			657,092
(Increase) decrease in dividend tax withholding		(12,098	)		(54,360	)		(281,604	)		(1,831	)
(Increase) decrease in receivable for expenses reimbursed and/or waived by GMO		15,392			15,720			114,138			21,771
(Increase) decrease in interest receivable for open OTC swap contracts		236,638			—			32,332			—
(Increase) decrease in receivable for closed swap contracts		(174,188	)		2,960			(669,734	)		395
(Increase) decrease in foreign capital gains tax refund receivable		—			16,399			(25,462	)		2,409
(Increase) decrease in receivable from liquidated underlying funds		(467,904	)		—			—			—
(Increase) decrease in EU tax reclaims receivable		—			—			1,263,552			—
Increase (decrease) in payable to affiliate for:
Management fee		(652	)		—			—			—
Shareholder service fee		135			—			—			—
Increase (decrease) in due to custodian		—			366,128			(844,333	)		46,574
Increase (decrease) in due to broker		—			—			(285	)		—
Increase (decrease) in dividends and interest payable		91,497			(119,006	)		(207,600	)		(10,903	)
Increase (decrease) in payable for closed swap contracts		177,647			(712	)		783,982			—
Increase (decrease) in payable to Trustees and related expenses		522			2,651			6,637			628
Increase (decrease) in interest payable for OTC swap contracts^		(73,801	)		—			(62,945	)		—
Increase (decrease) in accrued foreign capital gains tax payable		33			(7,858	)		—			170
Increase (decrease) in payable for cash collateral from securities loaned		—			49,996			2,142,368			—
Increase (decrease) in accrued expenses		21,544			(78,806	)		(146,856	)		(32,587	)
Net cash provided by (used in) operating activities		13,024,020			363,996,291			888,736,081			6,869,741
Cash flows from financing activities:
Proceeds from shares sold		21,074,539			27,330,000			459,481,082			17,070,757
Shares repurchased		(33,178,775	)		(389,358,677	)		(1,347,422,959	)		(19,429,365	)
Cash distributions paid		(3,501,432	)		(1,772,093	)		—			(4,494,632	)
Net cash provided by (used in) financing activities		(15,605,668	)		(363,800,770	)		(887,941,877	)		(6,853,240	)
Net increase (decrease) in cash		(2,581,648	)		195,521			794,204			16,501
Cash, beginning of period		3,232,191			649,415			2,177,014			63,098
Cash, end of period	$	650,543		$	844,936		$	2,971,218		$	79,599

129 See accompanying notes to the financial statements.  

GMO Trust Funds

 

Statements of Cash Flows —Year Ended February 29, 2024 — (Continued)

Supplemental disclosure of cash flow information:

Cash paid during the period for:

							Strategic
	Alternative		Benchmark-				Opportunities
	Allocation		Free		Implementation		Allocation
	Fundπ		Fund		Fundb		Fund
^ Interest on swap contracts	$	1,900,729	$	—	$	—	$	—

π GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.

b GMO Implementation SPC Ltd. is a 100% owned subsidiary of Implementation Fund. As such, the amounts presented for Implementation Fund are consolidated with its subsidiary.

  See accompanying notes to the financial statements. 130

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ALTERNATIVE ALLOCATION FUNDπ

	Class VI Shares
													Period from
													May 1, 2019
													(commencement
													of operations)
													through
	Year Ended February 28/29,												February 29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	18.49		$	18.08		$	18.99		$	19.45		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.58	(b)		0.26			0.05			(0.02	)		0.15
Net realized and unrealized gain (loss)		0.28			0.32			(0.23	)		0.03	(c)		(0.18	)
Total from investment operations		0.86			0.58			(0.18	)		0.01			(0.03	)
Less distributions to shareholders:
From net investment income		(0.95	)		—			—			(0.47	)		(0.06	)
From net realized gains		—			(0.17	)		(0.73	)		—			(0.46	)
Total distributions		(0.95	)		(0.17	)		(0.73	)		(0.47	)		(0.52	)
Net asset value, end of period	$	18.40		$	18.49		$	18.08		$	18.99		$	19.45
Total Return(d)		4.68	%(e)		3.25	%		(0.99	)%		0.01	%		(0.21	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	45,347		$	49,257		$	130,896		$	230,386		$	200,812
Net operating expenses to average daily net assets(f)		0.82	%		0.81	%		0.80	%		0.76	%		0.77	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(g)		0.85	%		0.61	%		0.51	%		0.49	%		0.29	%*
Total net expenses to average daily net assets(f)		1.67	%		1.42	%		1.31	%		1.25	%		1.05	%*
Net investment income (loss) to average daily net assets(a)		3.15	%(b)		1.44	%		0.29	%		(0.10	)%		0.88	%*
Portfolio turnover rate(h)		514	%		337	%		572	%		410	%		243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)		0.34	%		0.35	%		0.17	%		0.15	%		0.27	%*

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaim receivables attributed to liquidated underlying funds (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 29,
2024
$115,562
2.90%

^(c)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(d)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(e)  EU tax reclaim payment receivable attributed to liquidated underlying funds during the year had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 29,
2024
0.24%

131 See accompanying notes to the financial statements.  

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

ALTERNATIVE ALLOCATION FUND (continued)π

^(f)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(g)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(h)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	February 29,		February 28,		February 28,			February 28,			February 29,
	2024		2023		2022			2021			2020
Portfolio turnover rate including transactions in USTF		N/A		N/A		572	%		411	%		250	%

⁽ⁱ⁾  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

π GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.

  See accompanying notes to the financial statements. 132

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

ALTERNATIVE ALLOCATION FUND (continued)π

	Class R6 Shares
										Period from
										July 31, 2020
										(commencement
										of operations)
										through
	Year Ended February 28/29,									February 28,
	2024			2023			2022			2021
Net asset value, beginning of period	$	18.58		$	18.18		$	18.95		$	19.33
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.56	(b)		0.23			(0.00	)(c)		(0.03	)
Net realized and unrealized gain (loss)		0.29			0.34			(0.04	)		0.07	(d)
Total from investment operations		0.85			0.57			(0.04	)		0.04
Less distributions to shareholders:
From net investment income		(0.93	)		—			—			(0.42	)
From net realized gains		—			(0.17	)		(0.73	)		—
Total distributions		(0.93	)		(0.17	)		(0.73	)		(0.42	)
Net asset value, end of period	$	18.50		$	18.58		$	18.18		$	18.95
Total Return(e)		4.60	%(f)		3.17	%		(0.23	)%		0.16	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	6		$	4		$	22		$	478
Net operating expenses to average daily net assets(g)		0.98	%		0.98	%		0.97	%		0.93	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(h)		0.85	%		0.61	%		0.58	%		0.53	%*
Total net expenses to average daily net assets(g)		1.83	%		1.59	%		1.55	%		1.46	%*
Net investment income (loss) to average daily net assets(a)		2.98	%(b)		1.27	%		0.01	%		(0.26	)%*
Portfolio turnover rate(i)		514	%		337	%		572	%		410	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(j)		0.32	%		0.35	%		0.13	%		0.16	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) Net investment income per share includes income received for EU reclaim receivables attributed to liquidated underlying funds (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 29,
2024
$ 13
2.71%

^(c)  Rounds to less than $0.01.

^(d) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(e) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(f) EU tax reclaim payment receivable attributed to liquidated underlying funds during the year had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 29,
2024
0.24%

133 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

ALTERNATIVE ALLOCATION FUND (continued)π

^(g)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(h)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

⁽ⁱ⁾  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	February 29,		February 28,		February 28,			February 28,
	2024		2023		2022			2021
Portfolio turnover rate including transactions in USTF		N/A		N/A		572	%		411	%

^(j)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

π GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.

See accompanying notes to the financial statements. 134

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

ALTERNATIVE ALLOCATION FUND (continued)π

	Class I Shares
													Period from
													September 4, 2019
													(commencement
													of operations)
													through
	Year Ended February 28/29,												February 29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	18.37		$	18.01		$	18.96		$	19.44		$	20.18
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.53	(b)		0.23			0.01			(0.09	)		0.10
Net realized and unrealized gain (loss)		0.27			0.30			(0.23	)		0.04	(c)		(0.33	)
Total from investment operations		0.80			0.53			(0.22	)		(0.05	)		(0.23	)
Less distributions to shareholders:
From net investment income		(0.91	)		—			—			(0.43	)		(0.05	)
From net realized gains		—			(0.17	)		(0.73	)		—			(0.46	)
Total distributions		(0.91	)		(0.17	)		(0.73	)		(0.43	)		(0.51	)
Net asset value, end of period	$	18.26		$	18.37		$	18.01		$	18.96		$	19.44
Total Return(d)		4.38	%(e)		2.98	%		(1.21	)%		(0.30	)%		(1.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	143,397		$	146,410		$	148,247		$	268,473		$	34,229
Net operating expenses to average daily net assets(f)		1.10	%		1.08	%		1.07	%		1.02	%		1.02	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(g)		0.85	%		0.60	%		0.50	%		0.51	%		0.23	%*
Total net expenses to average daily net assets(f)		1.95	%		1.68	%		1.57	%		1.53	%		1.25	%*
Net investment income (loss) to average daily net assets(a)		2.87	%(b)		1.31	%		0.06	%		(0.44	)%		0.98	%*
Portfolio turnover rate(h)		514	%		337	%		572	%		410	%		243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)		0.35	%		0.37	%		0.19	%		0.15	%		0.24	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) Net investment income per share includes income received for EU reclaim receivables attributed to liquidated underlying funds (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 29,
2024
$352,330
2.62%

^(c) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(d) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(e) EU tax reclaim payment receivable attributed to liquidated underlying funds during the year had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 29,
2024
0.24%

135 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

ALTERNATIVE ALLOCATION FUND (continued)π

^(f) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(g) Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(h) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	February 29,		February 28,		February 28,			February 28,			February 29,
	2024		2023		2022			2021			2020
Portfolio turnover rate including transactions in USTF		N/A		N/A		572	%		411	%		250	%

⁽ⁱ⁾ Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

π GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.

See accompanying notes to the financial statements. 136

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	24.89		$	25.56		$	25.97		$	25.53		$	26.36
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.21			0.73			0.57			0.40			0.83
Net realized and unrealized gain (loss)		1.37			(0.63	)		(0.35	)		0.98			(0.75	)
Total from investment operations		2.58			0.10			0.22			1.38			0.08
Less distributions to shareholders:
From net investment income		(1.46	)		(0.77	)		(0.63	)		(0.78	)		(0.90	)
From net realized gains		—			—			—			(0.16	)		(0.01	)
Total distributions		(1.46	)		(0.77	)		(0.63	)		(0.94	)		(0.91	)
Net asset value, end of period	$	26.01		$	24.89		$	25.56		$	25.97		$	25.53
Total Return(b)		10.46	%		0.50	%		0.86	%		5.60	%		0.11	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,072,341		$	1,546,717		$	1,726,440		$	2,227,712		$	3,785,568
Net expenses to average daily net assets(c)		0.75	%		0.74	%		0.75	%		0.70	%		0.66	%
Net investment income (loss) to average daily net assets(a)		4.77	%		3.00	%		2.15	%		1.59	%		3.12	%
Portfolio turnover rate		15	%		19	%		7	%		20	%		10	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.06	%		0.08	%		0.06	%		0.11	%		0.15	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

137 See accompanying notes to the financial statements.  

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class IV Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	24.89		$	25.56		$	25.96		$	25.53		$	26.35
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.36			0.80			0.49			0.43			0.83
Net realized and unrealized gain (loss)		1.25			(0.68	)		(0.25	)		0.96			(0.73	)
Total from investment operations		2.61			0.12			0.24			1.39			0.10
Less distributions to shareholders:
From net investment income		(1.48	)		(0.79	)		(0.64	)		(0.80	)		(0.91	)
From net realized gains		—			—			—			(0.16	)		(0.01	)
Total distributions		(1.48	)		(0.79	)		(0.64	)		(0.96	)		(0.92	)
Net asset value, end of period	$	26.02		$	24.89		$	25.56		$	25.96		$	25.53
Total Return(b)		10.57	%		0.55	%		0.93	%		5.61	%		0.21	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	892,278		$	1,182,069		$	1,388,080		$	1,965,528		$	2,085,324
Net expenses to average daily net assets(c)		0.70	%		0.69	%		0.70	%		0.66	%		0.61	%
Net investment income (loss) to average daily net assets(a)		5.33	%		3.26	%		1.85	%		1.73	%		3.12	%
Portfolio turnover rate		15	%		19	%		7	%		20	%		10	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.06	%		0.08	%		0.06	%		0.10	%		0.15	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 138

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class MF Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	24.91		$	25.58		$	25.99		$	25.55		$	26.38
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.33			0.75			0.60			0.38			0.83
Net realized and unrealized gain (loss)		1.28			(0.64	)		(0.37	)		1.01			(0.74	)
Total from investment operations		2.61			0.11			0.23			1.39			0.09
Less distributions to shareholders:
From net investment income		(1.48	)		(0.78	)		(0.64	)		(0.79	)		(0.91	)
From net realized gains		—			—			—			(0.16	)		(0.01	)
Total distributions		(1.48	)		(0.78	)		(0.64	)		(0.95	)		(0.92	)
Net asset value, end of period	$	26.04		$	24.91		$	25.58		$	25.99		$	25.55
Total Return(b)		10.56	%		0.54	%		0.91	%		5.64	%		0.16	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	787,902		$	1,079,756		$	1,370,527		$	1,716,252		$	2,827,442
Net expenses to average daily net assets(c)		0.70	%		0.69	%		0.70	%		0.65	%		0.61	%
Net investment income (loss) to average daily net assets(a)		5.21	%		3.05	%		2.25	%		1.54	%		3.12	%
Portfolio turnover rate		15	%		19	%		7	%		20	%		10	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.06	%		0.08	%		0.06	%		0.11	%		0.15	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

139 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class R6 Shares
										Period from
										May 1, 2020
										(commencement
										of operations)
										through
	Year Ended February 28/29,									February 28,
	2024			2023			2022			2021
Net asset value, beginning of period	$	24.87		$	25.54		$	25.95		$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.40			0.77			0.55			0.24
Net realized and unrealized gain (loss)		1.19			(0.66	)		(0.33	)		2.72
Total from investment operations		2.59			0.11			0.22			2.96
Less distributions to shareholders:
From net investment income		(1.47	)		(0.78	)		(0.63	)		(0.80	)
From net realized gains		—			—			—			(0.16	)
Total distributions		(1.47	)		(0.78	)		(0.63	)		(0.96	)
Net asset value, end of period	$	25.99		$	24.87		$	25.54		$	25.95
Total Return(b)		10.50	%		0.51	%		0.86	%		12.55	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	300,343		$	281,802		$	273,491		$	310,687
Net expenses to average daily net assets(c)		0.75	%		0.74	%		0.75	%		0.74	%*
Net investment income (loss) to average daily net assets(a)		5.48	%		3.16	%		2.06	%		1.16	%*
Portfolio turnover rate		15	%		19	%		7	%		20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.06	%		0.08	%		0.06	%		0.08	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.  140

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class I Shares
													Period from
													August 8, 2019
													(commencement
													of operations)
													through
	Year Ended February 28/29,												February 29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	24.86		$	25.53		$	25.95		$	25.52		$	26.24
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.31			0.70			0.63			0.33			1.10
Net realized and unrealized gain (loss)		1.26			(0.62	)		(0.44	)		1.02			(0.93	)
Total from investment operations		2.57			0.08			0.19			1.35			0.17
Less distributions to shareholders:
From net investment income		(1.44	)		(0.75	)		(0.61	)		(0.76	)		(0.89	)
From net realized gains		—			—			—			(0.16	)		—
Total distributions		(1.44	)		(0.75	)		(0.61	)		(0.92	)		(0.89	)
Net asset value, end of period	$	25.99		$	24.86		$	25.53		$	25.95		$	25.52
Total Return(b)		10.43	%		0.38	%		0.77	%		5.47	%		0.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	364,292		$	313,322		$	365,107		$	324,819		$	98,453
Net expenses to average daily net assets(c)		0.85	%		0.84	%		0.85	%		0.81	%		0.74	%*
Net investment income (loss) to average daily net assets(a)		5.14	%		2.85	%		2.38	%		1.30	%		7.22	%*
Portfolio turnover rate		15	%		19	%		7	%		20	%		10	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.07	%		0.09	%		0.07	%		0.10	%		0.15	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

141 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	17.79		$	18.85		$	19.48		$	18.88		$	19.56
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.88			0.86			0.63			0.52			0.72
Net realized and unrealized gain (loss)		1.34			(0.98	)		(0.39	)		0.71			(0.59	)
Total from investment operations		2.22			(0.12	)		0.24			1.23			0.13
Less distributions to shareholders:
From net investment income		(1.08	)		(0.94	)		(0.87	)		(0.63	)		(0.81	)
Total distributions		(1.08	)		(0.94	)		(0.87	)		(0.63	)		(0.81	)
Net asset value, end of period	$	18.93		$	17.79		$	18.85		$	19.48		$	18.88
Total Return(b)		12.54	%		(0.40	)%		1.21	%		6.64	%		0.41	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,091,522		$	1,152,713		$	1,613,854		$	2,158,496		$	2,583,930
Net operating expenses to average daily net assets(c)		0.04	%		0.06	%		0.03	%		0.04	%		0.02	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.43	%		0.35	%		0.26	%		0.08	%		0.03	%
Total net expenses to average daily net assets(c)		0.47	%		0.41	%		0.29	%		0.12	%		0.05	%
Net investment income (loss) to average daily net assets(a)		4.79	%		4.85	%		3.19	%		2.86	%		3.64	%
Portfolio turnover rate(e)		100	%		107	%		138	%		145	%		50	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.07	%		0.06	%		0.07	%		0.05	%		0.04	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		110	%		114	%		145	%		151	%		52	%

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 142

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	29.92		$	32.86		$	34.92		$	31.50		$	31.47
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.35	(b)		0.82			0.96			0.88			1.08
Net realized and unrealized gain (loss)		2.64			(2.67	)		(0.90	)		3.91			0.29
Total from investment operations		3.99			(1.85	)		0.06			4.79			1.37
Less distributions to shareholders:
From net investment income		(1.74	)		(1.09	)		(2.12	)		(1.37	)		(1.34	)
Total distributions		(1.74	)		(1.09	)		(2.12	)		(1.37	)		(1.34	)
Net asset value, end of period	$	32.17		$	29.92		$	32.86		$	34.92		$	31.50
Total Return(c)		13.44	%(d)		(5.48	)%		(0.10	)%		15.39	%		4.12	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	333,837		$	306,276		$	585,212		$	692,580		$	1,539,522
Net expenses to average daily net assets(e)		0.01	%		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)
Net investment income (loss) to average daily net assets(a)		4.36	%(b)		2.72	%		2.68	%		2.78	%		3.32	%
Portfolio turnover rate(g)		16	%		31	%		27	%		30	%		27	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		0.05	%		0.03	%		0.01	%		0.01	%

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) Net investment income per share includes income received for EU reclaim receivables attributed to liquidated underlying funds (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 29,
2024
$277,099
4.27%

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) EU tax reclaim payment receivable attributed to liquidated underlying funds during the year had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 29,
2024
0.08%

^(e) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f) Rounds to less than 0.01%.

^(g) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		16	%		32	%		31	%		41	%		28	%

† Calculated using average shares outstanding throughout the period.

143 See accompanying notes to the financial statements.  

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND (continued)

	Class R6 Shares
													Period from
													September 30, 2019
													(commencement
													of operations)
													through
	Year Ended February 28/29,												February 29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	29.90		$	32.84		$	34.93		$	31.50		$	32.56
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.49	(b)		0.84			0.51			0.93			0.86
Net realized and unrealized gain (loss)		2.50			(2.69	)		(0.48	)		3.87			(0.71	)
Total from investment operations		3.99			(1.85	)		0.03			4.80			0.15
Less distributions to shareholders:
From net investment income		(1.74	)		(1.09	)		(2.12	)		(1.37	)		(1.21	)
Total distributions		(1.74	)		(1.09	)		(2.12	)		(1.37	)		(1.21	)
Net asset value, end of period	$	32.15		$	29.90		$	32.84		$	34.93		$	31.50
Total Return(c)		13.44	%(d)		(5.48	)%		(0.19	)%		15.42	%		0.22	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	9,387		$	20,440		$	26,148		$	183,052		$	17,888
Net expenses to average daily net assets(e)		0.01	%		0.00	%(f)		0.00	%(f)		0.01	%		0.00	%(f)
Net investment income (loss) to average daily net assets(a)		4.81	%(b)		2.80	%		1.44	%		2.78	%		6.23	%*
Portfolio turnover rate(g)		16	%		31	%		27	%		30	%		27	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		0.05	%		0.02	%		0.02	%		0.01	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) Net investment income per share includes income received for EU reclaim receivables attributed to liquidated underlying funds (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 29,
2024
$16,162
4.72%

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) EU tax reclaim payment receivable attributed to liquidated underlying funds during the year had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 29,
2024
0.08%

^(e) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f) Rounds to less than 0.01%.

^(g) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		16	%		32	%		31	%		41	%		28	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.  144

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND (continued)

	Class I Shares
										Period from
										January 6, 2021
										(commencement
										of operations)
										through
	Year Ended February 28/29,									February 28,
	2024			2023			2022			2021
Net asset value, beginning of period	$	29.92		$	32.87		$	34.92		$	34.71
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.32	(b)		1.07			0.87			(0.01	)
Net realized and unrealized gain (loss)		2.64			(2.96	)		(0.84	)		0.22
Total from investment operations		3.96			(1.89	)		0.03			0.21
Less distributions to shareholders:
From net investment income		(1.71	)		(1.06	)		(2.08	)		—
Total distributions		(1.71	)		(1.06	)		(2.08	)		—
Net asset value, end of period	$	32.17		$	29.92		$	32.87		$	34.92
Total Return(c)		13.32	%(d)		(5.60	)%		(0.18	)%		0.61	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	12,171		$	13,403		$	12,621		$	20,497
Net expenses to average daily net assets(e)		0.11	%		0.10	%		0.10	%		0.11	%
Net investment income (loss) to average daily net assets(a)		4.28	%(b)		3.59	%		2.41	%		(0.10	)%*
Portfolio turnover rate(f)		16	%		31	%		27	%		30	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.06	%		0.08	%		0.03	%		0.02	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaim receivables attributed to liquidated underlying funds (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 29,
2024
$11,720
4.19%

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) EU tax reclaim payment receivable attributed to liquidated underlying funds during the year had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 29,
2024
0.08%

^(e) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	February 29,			February 28,			February 28,			February 28,
	2024			2023			2022			2021
Portfolio turnover rate including transactions in USTF		16	%		32	%		31	%		41	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

145 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	21.80		$	24.43		$	25.79		$	20.87		$	21.20
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.85			0.65			1.00			0.75			0.25
Net realized and unrealized gain (loss)		3.39			(1.78	)		0.94			5.12			0.42
Total from investment operations		4.24			(1.13	)		1.94			5.87			0.67
Less distributions to shareholders:
From net investment income		(1.46	)		(0.66	)		(2.08	)		(0.95	)		(0.74	)
From net realized gains		—			(0.84	)		(1.22	)		—			(0.26	)
Total distributions		(1.46	)		(1.50	)		(3.30	)		(0.95	)		(1.00	)
Net asset value, end of period	$	24.58		$	21.80		$	24.43		$	25.79		$	20.87
Total Return(b)		19.71	%		(3.94	)%		6.80	%		28.41	%		2.87	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	70,655		$	66,992		$	86,810		$	88,154		$	73,383
Net expenses to average daily net assets(c)		0.01	%		0.01	%		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)		3.71	%		3.00	%		3.61	%		3.39	%		1.16	%
Portfolio turnover rate		20	%		37	%		19	%		25	%		21	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.07	%		0.10	%		0.05	%		0.06	%		0.03	%

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 146

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	24.57		$	28.45		$	29.91		$	24.37		$	24.63
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.09			0.87			1.18			0.88			0.83
Net realized and unrealized gain (loss)		3.65			(2.92	)		(0.28	)		5.75			(0.16	)
Total from investment operations		4.74			(2.05	)		0.90			6.63			0.67
Less distributions to shareholders:
From net investment income		(1.52	)		(1.01	)		(2.35	)		(1.09	)		(0.93	)
From net realized gains		—			(0.82	)		(0.01	)		—			—
Total distributions		(1.52	)		(1.83	)		(2.36	)		(1.09	)		(0.93	)
Net asset value, end of period	$	27.79		$	24.57		$	28.45		$	29.91		$	24.37
Total Return(b)		19.52	%		(6.66	)%		2.49	%		27.51	%		2.36	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	682,157		$	560,287		$	1,571,153		$	1,638,868		$	1,456,064
Net expenses to average daily net assets(c)		0.01	%		0.01	%		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)		4.19	%		3.51	%		3.69	%		3.44	%		3.26	%
Portfolio turnover rate		25	%		35	%		20	%		20	%		20	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%		0.02	%		0.01	%		0.01	%		0.01	%

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

147 See accompanying notes to the financial statements.  

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND (continued)

	Class R6 Shares
										Period from
										July 15, 2020
										(commencement
										of operations)
										through
	Year Ended February 28/29,									February 28,
	2024			2023			2022			2021
Net asset value, beginning of period	$	24.57		$	28.46		$	29.91		$	25.19
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.13			0.69			1.19			0.81
Net realized and unrealized gain (loss)		3.60			(2.75	)		(0.28	)		4.96
Total from investment operations		4.73			(2.06	)		0.91			5.77
Less distributions to shareholders:
From net investment income		(1.52	)		(1.01	)		(2.35	)		(1.05	)
From net realized gains		—			(0.82	)		(0.01	)		—
Total distributions		(1.52	)		(1.83	)		(2.36	)		(1.05	)
Net asset value, end of period	$	27.78		$	24.57		$	28.46		$	29.91
Total Return(b)		19.48	%		(6.69	)%		2.52	%		23.14	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	41,403		$	34,289		$	7,065		$	6,781
Net expenses to average daily net assets(c)		0.01	%		0.01	%		0.00	%(d)		0.00	%(d)*
Net investment income (loss) to average daily net assets(a)		4.35	%		2.77	%		3.74	%		4.70	%*
Portfolio turnover rate		25	%		35	%		20	%		20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%		0.03	%		0.01	%		0.01	%*

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 148

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND (continued)

	Class I Shares
										Period from
										August 17, 2020
										(commencement
										of operations)
										through
	Year Ended February 28/29,									February 28,
	2024			2023			2022			2021
Net asset value, beginning of period	$	24.56		$	28.44		$	29.91		$	26.14
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.69			0.90			1.17			0.90
Net realized and unrealized gain (loss)		3.02			(2.97	)		(0.31	)		3.91
Total from investment operations		4.71			(2.07	)		0.86			4.81
Less distributions to shareholders:
From net investment income		(1.51	)		(0.99	)		(2.32	)		(1.04	)
From net realized gains		—			(0.82	)		(0.01	)		—
Total distributions		(1.51	)		(1.81	)		(2.33	)		(1.04	)
Net asset value, end of period	$	27.76		$	24.56		$	28.44		$	29.91
Total Return(b)		19.37	%		(6.74	)%		2.37	%		18.64	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	11,755		$	4,992		$	2,615		$	2,233
Net expenses to average daily net assets(c)		0.11	%		0.11	%		0.10	%		0.10	%*
Net investment income (loss) to average daily net assets(a)		6.43	%		3.66	%		3.67	%		5.95	%*
Portfolio turnover rate		25	%		35	%		20	%		20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%		0.02	%		0.01	%		0.01	%*

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

149 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

IMPLEMENTATION FUND^ß

	Core Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	12.28		$	12.54		$	12.70		$	12.74		$	13.22
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.57			0.50	(b)		0.38			0.35			0.49
Net realized and unrealized gain (loss)		0.81			(0.33	)		(0.13	)		(0.11	)		(0.43	)
Total from investment operations		1.38			0.17			0.25			0.24			0.06
Less distributions to shareholders:
From net investment income		(0.76	)		(0.43	)		(0.41	)		(0.28	)		(0.54	)
Total distributions		(0.76	)		(0.43	)		(0.41	)		(0.28	)		(0.54	)
Net asset value, end of period	$	12.90		$	12.28		$	12.54		$	12.70		$	12.74
Total Return(c)		11.44	%		1.52	%(d)		2.02	%		1.95	%		0.25	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	3,229,426		$	3,735,883		$	4,681,226		$	5,970,367		$	7,114,306
Net operating expenses to average daily net assets(e)		0.02	%		0.02	%		0.00	%(f)		0.01	%		0.00	%(f)
Interest and/or dividend expenses to average daily net assets(g)		0.42	%		0.36	%		0.32	%		0.15	%		0.06	%
Total net expenses to average daily net assets(e)		0.44	%		0.38	%		0.32	%		0.16	%		0.06	%
Net investment income (loss) to average daily net assets(a)		4.54	%		4.15	%(b)		2.95	%		2.89	%		3.65	%
Portfolio turnover rate(h)		127	%		118	%		194	%		189	%		97	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(i)		0.06	%		0.06	%(i)		0.06	%(i)		0.05	%(i)

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28,
2023
$15,309,005
3.77%

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding the below to the class’s total return (Note 2):

February 28,
2023
0.39%

^(e) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f) Rounds to less than 0.01%.

^(g) Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(h) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		134	%		125	%		200	%		196	%		100	%

⁽ⁱ⁾ Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

ß GMO Implementation SPC Ltd. is a 100% owned subsidiary of Implementation Fund. As such, the amounts presented for Implementation Fund are consolidated with its subsidiary.

See accompanying notes to the financial statements. 150

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	15.14		$	16.35		$	16.95		$	14.52		$	14.75
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.06			0.61			1.05			0.61			0.49
Net realized and unrealized gain (loss)		1.51			(1.18	)		(0.51	)		2.56			(0.12	)
Total from investment operations		2.57			(0.57	)		0.54			3.17			0.37
Less distributions to shareholders:
From net investment income		(1.07	)		(0.60	)		(1.09	)		(0.74	)		(0.60	)
From net realized gains		—			(0.04	)		(0.05	)		0.00			0.00
Total distributions		(1.07	)		(0.64	)		(1.14	)		(0.74	)		(0.60	)
Net asset value, end of period	$	16.64		$	15.14		$	16.35		$	16.95		$	14.52
Total Return(b)		17.08	%		(3.23	)%		2.88	%		22.02	%		2.14	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	257,184		$	219,167		$	222,308		$	217,129		$	297,463
Net expenses to average daily net assets(c)		0.01	%		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)		6.65	%		4.14	%		5.82	%		4.20	%		3.25	%
Portfolio turnover rate		21	%		9	%		18	%		17	%		11	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		0.08	%		0.05	%		0.03	%		0.02	%

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

151 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND (continued)

	Class R6 Shares
										Period from
										January 22, 2021
										(commencement
										of operations)
										through
	Year Ended February 28/29,									February 28,
	2024			2023			2022			2021
Net asset value, beginning of period	$	15.14		$	16.35		$	16.95		$	17.08
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.02			0.61			1.02			(0.00	)(b)
Net realized and unrealized gain (loss)		1.54			(1.18	)		(0.48	)		(0.13	)
Total from investment operations		2.56			(0.57	)		0.54			(0.13	)
Less distributions to shareholders:
From net investment income		(1.07	)		(0.60	)		(1.09	)		—
From net realized gains		—			(0.04	)		(0.05	)		—
Total distributions		(1.07	)		(0.64	)		(1.14	)		—
Net asset value, end of period	$	16.63		$	15.14		$	16.35		$	16.95
Total Return(c)		17.01	%		(3.23	)%		2.88	%		(0.76	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	8,319		$	8,033		$	8,268		$	8,254
Net expenses to average daily net assets(d)		0.01	%		0.00	%(e)		0.00	%(e)		0.01	%*
Net investment income (loss) to average daily net assets(a)		6.38	%		4.13	%		5.66	%		(0.01	)%*
Portfolio turnover rate		21	%		9	%		18	%		17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%		0.08	%		0.05	%		0.05	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) Rounds to less than $0.01.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 152

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	25.48		$	29.43		$	32.31		$	27.45		$	28.09
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.33			1.24			1.64			1.24			1.02
Net realized and unrealized gain (loss)		3.08			(3.96	)		(2.59	)		4.91			(0.46	)
Total from investment operations		4.41			(2.72	)		(0.95	)		6.15			0.56
Less distributions to shareholders:
From net investment income		(1.96	)		(1.23	)		(1.93	)		(1.29	)		(1.20	)
Total distributions		(1.96	)		(1.23	)		(1.93	)		(1.29	)		(1.20	)
Net asset value, end of period	$	27.93		$	25.48		$	29.43		$	32.31		$	27.45
Total Return(b)		17.53	%		(9.05	)%		(3.37	)%		22.67	%		1.62	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	84,238		$	286,725		$	437,139		$	598,701		$	646,622
Net expenses to average daily net assets(c)		0.01	%		0.01	%		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)		5.01	%		4.81	%		4.90	%		4.40	%		3.55	%
Portfolio turnover rate		21	%		11	%		18	%		16	%		7	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%		0.03	%		0.02	%		0.02	%		0.01	%

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

153 See accompanying notes to the financial statements.  

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND (continued)

	Class R6 Shares
													Period from
													August 30, 2019
													(commencement
													of operations)
													through
	Year Ended February 28/29,												February 29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	25.47		$	29.42		$	32.30		$	27.44		$	27.07
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.80			1.30			1.74			1.29			1.14
Net realized and unrealized gain (loss)		2.60			(4.02	)		(2.69	)		4.86			0.33
Total from investment operations		4.40			(2.72	)		(0.95	)		6.15			1.47
Less distributions to shareholders:
From net investment income		(1.96	)		(1.23	)		(1.93	)		(1.29	)		(1.10	)
Total distributions		(1.96	)		(1.23	)		(1.93	)		(1.29	)		(1.10	)
Net asset value, end of period	$	27.91		$	25.47		$	29.42		$	32.30		$	27.44
Total Return(b)		17.49	%		(9.05	)%		(3.37	)%		22.68	%		5.04	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	221,289		$	205,417		$	242,178		$	262,853		$	210,223
Net expenses to average daily net assets(c)		0.01	%		0.01	%		0.00	%(d)		0.00	%(d)		0.00	%(d)*
Net investment income (loss) to average daily net assets(a)		6.74	%		5.08	%		5.20	%		4.56	%		7.83	%*
Portfolio turnover rate		21	%		11	%		18	%		16	%		7	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%		0.03	%		0.02	%		0.02	%		0.02	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 154

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2024			2023			2022			2021			2020
Net asset value, beginning of period	$	15.57		$	17.91		$	21.56		$	18.98		$	19.48
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.79			0.63			0.59			0.54			0.67
Net realized and unrealized gain (loss)		1.44			(1.46	)		0.32			2.93			(0.11	)
Total from investment operations		2.23			(0.83	)		0.91			3.47			0.56
Less distributions to shareholders:
From net investment income		(1.00	)		(0.85	)		(1.22	)		(0.71	)		(0.77	)
From net realized gains		—			(0.66	)		(3.34	)		(0.18	)		(0.29	)
Total distributions		(1.00	)		(1.51	)		(4.56	)		(0.89	)		(1.06	)
Net asset value, end of period	$	16.80		$	15.57		$	17.91		$	21.56		$	18.98
Total Return(b)		14.44	%		(4.08	)%		3.57	%		18.66	%		2.57	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	218,034		$	189,504		$	236,452		$	579,796		$	773,438
Net operating expenses to average daily net assets(c)		0.02	%		0.02	%		0.01	%		0.01	%		0.01	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.37	%		0.32	%		0.26	%		0.07	%		0.03	%
Total net expenses to average daily net assets(c)		0.39	%		0.34	%		0.27	%		0.08	%		0.04	%
Net investment income (loss) to average daily net assets(a)		4.88	%		3.91	%		2.71	%		2.85	%		3.35	%
Portfolio turnover rate(e)		52	%		74	%		95	%		61	%		36	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.12	%		0.15	%		0.14	%		0.07	%		0.03	%

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	February 29,			February 28,			February 28,			February 28,			February 29,
	2024			2023			2022			2021			2020
Portfolio turnover rate including transactions in USTF		57	%		72	%		122	%		80	%		41	%

† Calculated using average shares outstanding throughout the period.

155 See accompanying notes to the financial statements.  

GMO Trust Funds

Notes to Financial Statements

February 29, 2024

1. Organization

Each of Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund and Strategic Opportunities Allocation Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest primarily in other GMO Funds and Alternative Allocation Fund and Implementation Fund may also invest in GMO Alternative Allocation SPC Ltd. and GMO Implementation SPC Ltd. (each a “wholly-owned subsidiary”), respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “underlying funds”. As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Alternative Allocation Fund	Not Applicable	Positive total return
Benchmark-Free Allocation Fund	Not Applicable	Positive total return
Benchmark-Free Fund	Not Applicable	Positive total return
Global Asset Allocation Fund	GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Bloomberg U.S. Aggregate Index)	Total return greater than its benchmark
Global Developed Equity Allocation Fund	MSCI World Index	Total return greater than its benchmark
Global Equity Allocation Fund	MSCI ACWI	Total return greater than its benchmark
Implementation Fund	Not Applicable	Positive total return, not relative return
International Developed Equity Allocation Fund	MSCI EAFE Index	Total return greater than its benchmark
International Equity Allocation Fund	MSCI ACWI ex USA	Total return greater than its benchmark
Strategic Opportunities Allocation Fund	GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series), 25% Bloomberg U.S. Aggregate Index)	Total return greater than its benchmark

Benchmark-Free Fund and Implementation Fund currently limit subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

156

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Basis of presentation and principles of consolidation: Alternative Allocation Fund and Implementation Fund

Alternative Allocation Fund and Implementation Fund include the accounts of their wholly-owned subsidiaries and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include all of the assets and liabilities of each wholly-owned subsidiary. All interfund accounts and transactions have been eliminated in consolidation. Alternative Allocation Fund and Implementation Fund are herein referred to as “Consolidated Alternative Allocation Fund” and “Consolidated Implementation Fund”, respectively.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the closing price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) and are described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 29, 2024, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

157

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

Level 3 – Valuations based primarily on inputs that are unobservable and significant.

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; certain equity securities valued off the last traded price with a discount for liquidity; certain equity securities that are valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 29, 2024:

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	2,011,699	$	—	$	2,011,699
Belgium		—		960,500		—		960,500
Canada		2,201,204		—		352,512		2,553,716
China		—		1,626,947		0§		1,626,947
Denmark		—		1,180,823		—		1,180,823
Finland		—		505,636		—		505,636
France		97,262		1,453,692		—		1,550,954
Germany		—		463,659		—		463,659

158

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Hong Kong	$	—	$	147,111	$	—	$	147,111
India		—		959,880		—		959,880
Israel		517,987		53,545		—		571,532
Italy		—		799,864		—		799,864
Japan		—		20,903,704		—		20,903,704
Netherlands		373,937		1,618,121		—		1,992,058
New Zealand		—		60,784		—		60,784
Norway		—		308,527		—		308,527
Poland		—		323,714		—		323,714
Portugal		—		24,408		—		24,408
South Africa		—		130,690		—		130,690
South Korea		267,143		1,315,262		—		1,582,405
Spain		—		905,221		—		905,221
Sweden		—		922,077		—		922,077
Switzerland		—		718,016		—		718,016
Taiwan		1,118,482		—		—		1,118,482
Thailand		—		460,951		—		460,951
Turkey		—		282,771		—		282,771
United Kingdom		3,207,858		1,552,388		—		4,760,246
United States		74,975,212		—		0§		74,975,212
TOTAL COMMON STOCKS		82,759,085		39,689,990		352,512		122,801,587
Preferred Stocks
Brazil		51,777		—		—		51,777
Germany		—		971,411		—		971,411
TOTAL PREFERRED STOCKS		51,777		971,411		—		1,023,188
Rights/Warrants
United States		—		—		425,705		425,705
TOTAL RIGHTS/WARRANTS		—		—		425,705		425,705
Investment Funds
United States		—		—		2,351,936		2,351,936
TOTAL INVESTMENT FUNDS		—		—		2,351,936		2,351,936
Debt Obligations
United States		50,955,565		34,219,747		—		85,175,312
TOTAL DEBT OBLIGATIONS		50,955,565		34,219,747		—		85,175,312
Mutual Funds
United States		3,309,494		—		—		3,309,494
TOTAL MUTUAL FUNDS		3,309,494		—		—		3,309,494
Short-Term Investments		15,251,584		54,377,764		—		69,629,348
Purchased Options		790		—		—		790
Total Investments		152,328,295		129,258,912		3,130,153		284,717,360
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,862,388		—		1,862,388

159

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^ (continued)
Futures Contracts
Equity Risk	$	289,202		$	357,899		$	—	$	647,101
Interest Rate Risk		46,045			—			—		46,045
Physical Commodity Contract Risk		556,459			—			—		556,459
Swap Contracts
Credit Risk		—			2,393,533			—		2,393,533
Equity Risk		—			102,161			—		102,161
Interest Rate Risk		—			1,166,356			—		1,166,356
Total	$	153,220,001		$	135,141,249		$	3,130,153	$	291,491,403
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,310,689	)	$	—	$	(1,310,689	)
Austria		—			(222,237	)		—		(222,237	)
Belgium		—			(480,493	)		—		(480,493	)
Canada		(2,932,886	)		—			—		(2,932,886	)
China		(24,233	)		—			—		(24,233	)
Denmark		—			(250,125	)		—		(250,125	)
Finland		—			(89,130	)		—		(89,130	)
France		—			(1,512,067	)		—		(1,512,067	)
Germany		—			(1,890,039	)		—		(1,890,039	)
Ireland		—			(2,975,361	)		—		(2,975,361	)
Israel		(487,080	)		—			—		(487,080	)
Italy		—			(1,502,484	)		—		(1,502,484	)
Japan		—			(4,324,444	)		—		(4,324,444	)
Netherlands		—			(1,472,673	)		—		(1,472,673	)
New Zealand		—			(413,930	)		—		(413,930	)
Peru		(369,449	)		—			—		(369,449	)
Singapore		(302,079	)		(285,772	)		—		(587,851	)
Spain		—			(844,565	)		—		(844,565	)
Sweden		—			(700,413	)		—		(700,413	)
Switzerland		—			(240,776	)		—		(240,776	)
United Kingdom		(2,529,905	)		(3,036,410	)		—		(5,566,315	)
United States		(42,230,168	)		—			—		(42,230,168	)
TOTAL COMMON STOCKS		(48,875,800	)		(21,551,608	)		—		(70,427,408	)
Preferred Stocks
Germany		—			(402,969	)		—		(402,969	)
TOTAL PREFERRED STOCKS		—			(402,969	)		—		(402,969	)
Debt Obligations
United States		—			(27,214,910	)		—		(27,214,910	)
TOTAL DEBT OBLIGATIONS		—			(27,214,910	)		—		(27,214,910	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(643,785	)		—		(643,785	)
Futures Contracts
Equity Risk		(424,663	)		(534,901	)		—		(959,564	)

160

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Liability Valuation Inputs (continued)
Derivatives^ (continued)
Interest Rate Risk	$	(12,176	)	$	—		$	—	$	(12,176	)
Physical Commodity Contract Risk		(1,434,461	)		—			—		(1,434,461	)
Written Options
Credit Risk		—			(99,763	)		—		(99,763	)
Equity Risk		(222,864	)		—			—		(222,864	)
Swap Contacts
Credit Risk		—			(3,671,366	)		—		(3,671,366	)
Equity Risk		—			(120,272	)		—		(120,272	)
Interest Rate Risk		—			(850,836	)		—		(850,836	)
Total	$	(50,969,964	)	$	(55,090,410	)	$	—	$	(106,060,374	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	3,415,663,472		$	—		$	—	$	3,415,663,472
Short-Term Investments		4,420,774			—			—		4,420,774
Total Investments		3,420,084,246			—			—		3,420,084,246
Total	$	3,420,084,246		$	—		$	—	$	3,420,084,246
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	14,078,508		$	—	$	14,078,508
Austria		—			3,837,909			—		3,837,909
Belgium		—			9,886,210			—		9,886,210
Brazil		1,521,377			8,403,308			—		9,924,685
Canada		35,362,905			142,580			15,800		35,521,285
Chile		61,173			603,305			—		664,478
China		2,356,275			26,953,906			—		29,310,181
Colombia		158,090			—			—		158,090
Czech Republic		—			385,194			—		385,194
Denmark		—			6,710,725			—		6,710,725
Egypt		—			752,468			—		752,468
Finland		—			5,061,461			—		5,061,461
France		2,066,404			35,800,077			—		37,866,481
Germany		—			12,208,075			—		12,208,075
Greece		—			1,096,660			0§		1,096,660
Hong Kong		—			8,708,384			—		8,708,384
Hungary		—			3,859,477			—		3,859,477
India		2,134,578			33,672,786			—		35,807,364
Indonesia		—			6,581,855			—		6,581,855
Ireland		1,907,850			871,273			—		2,779,123
Israel		2,228,786			340,350			—		2,569,136
Italy		615,515			18,672,834			—		19,288,349
Japan		2,173,588			162,878,309			—		165,051,897
Kuwait		—			140,359			—		140,359
Malaysia		—			1,504,452			—		1,504,452

161

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Mexico	$	10,380,351	$	—	$	0§	$	10,380,351
Netherlands		1,585,817		22,119,629		—		23,705,446
New Zealand		—		305,731		—		305,731
Norway		—		6,646,542		—		6,646,542
Pakistan		—		374,163		—		374,163
Philippines		—		8,009		—		8,009
Poland		—		6,054,063		—		6,054,063
Portugal		—		535,698		—		535,698
Qatar		—		516,827		—		516,827
Russia		—		—		411,151		411,151
Saudi Arabia		—		1,931,519		—		1,931,519
Singapore		—		5,732,671		—		5,732,671
South Africa		396,082		12,282,163		—		12,678,245
South Korea		2,313,435		26,103,096		—		28,416,531
Spain		—		21,188,499		—		21,188,499
Sweden		—		8,163,701		—		8,163,701
Switzerland		2,549,959		11,225,491		—		13,775,450
Taiwan		5,408,331		37,702,101		—		43,110,432
Thailand		—		7,222,887		—		7,222,887
Turkey		—		6,468,044		—		6,468,044
United Arab Emirates		—		742,423		—		742,423
United Kingdom		8,051,370		35,694,786		601		43,746,757
United States		199,207,913		—		—		199,207,913
Vietnam		—		2,594,819		—		2,594,819
TOTAL COMMON STOCKS		280,479,799		576,763,327		427,552		857,670,678
Preferred Stocks
Brazil		5,174,360		6,728,236		—		11,902,596
Colombia		712,188		—		—		712,188
Germany		—		4,796,596		—		4,796,596
Russia		—		—		69,833		69,833
South Korea		—		3,586,838		—		3,586,838
TOTAL PREFERRED STOCKS		5,886,548		15,111,670		69,833		21,068,051
Debt Obligations
United States		79,006,447		128,576,508		—		207,582,955
TOTAL DEBT OBLIGATIONS		79,006,447		128,576,508		—		207,582,955
Mutual Funds
United States		155,161,067		—		—		155,161,067
TOTAL MUTUAL FUNDS		155,161,067		—		—		155,161,067
Short-Term Investments		5,459,367		50,999,652		—		56,459,019
Total Investments		525,993,228		771,451,157		497,385		1,297,941,770
Derivatives^
Futures Contracts
Interest Rate Risk		63,331		—		—		63,331

162

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^ (continued)
Swap Contracts
Equity Risk	$	—		$	166,059		$	—	$	166,059
Total	$	526,056,559		$	771,617,216		$	497,385	$	1,298,171,160
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(5,865,955	)	$	—	$	(5,865,955	)
Austria		—			(911,244	)		—		(911,244	)
Belgium		—			(2,148,341	)		—		(2,148,341	)
Canada		(12,561,830	)		—			—		(12,561,830	)
China		(192,748	)		—			—		(192,748	)
Denmark		—			(1,207,126	)		—		(1,207,126	)
Finland		—			(328,786	)		—		(328,786	)
France		—			(6,279,246	)		—		(6,279,246	)
Germany		—			(8,305,847	)		—		(8,305,847	)
Ireland		—			(1,666,236	)		—		(1,666,236	)
Israel		(2,055,044	)		—			—		(2,055,044	)
Italy		—			(6,271,109	)		—		(6,271,109	)
Japan		—			(19,133,753	)		—		(19,133,753	)
Netherlands		—			(6,381,741	)		—		(6,381,741	)
New Zealand		—			(1,723,169	)		—		(1,723,169	)
Peru		(1,555,019	)		—			—		(1,555,019	)
Portugal		—			(47,211	)		—		(47,211	)
Singapore		(1,341,185	)		(1,263,105	)		—		(2,604,290	)
Spain		—			(3,594,854	)		—		(3,594,854	)
Sweden		—			(2,955,331	)		—		(2,955,331	)
Switzerland		—			(1,136,304	)		—		(1,136,304	)
United Kingdom		—			(12,769,747	)		—		(12,769,747	)
United States		(105,226,265	)		—			—		(105,226,265	)
TOTAL COMMON STOCKS		(122,932,091	)		(81,989,105	)		—		(204,921,196	)
Preferred Stocks
Germany		—			(1,885,912	)		—		(1,885,912	)
TOTAL PREFERRED STOCKS		—			(1,885,912	)		—		(1,885,912	)
Derivatives^
Swap Contacts
Equity Risk		—			(210,769	)		—		(210,769	)
Total	$	(122,932,091	)	$	(84,085,786	)	$	—	$	(207,017,877	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	354,833,209		$	—		$	—	$	354,833,209
Short-Term Investments		83,866			—			—		83,866
Total Investments		354,917,075			—			—		354,917,075
Total	$	354,917,075		$	—		$	—	$	354,917,075

163

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1		Level 2		Level 3		Total
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	70,637,492	$	—	$	—	$	70,637,492
Short-Term Investments		42,798		—		—		42,798
Total Investments		70,680,290		—		—		70,680,290
Total	$	70,680,290	$	—	$	—	$	70,680,290
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	734,649,801	$	—	$	—	$	734,649,801
Short-Term Investments		715,646		—		—		715,646
Total Investments		735,365,447		—		—		735,365,447
Total	$	735,365,447	$	—	$	—	$	735,365,447
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,448,310	$	—	$	—	$	1,448,310
Australia		—		47,010,620		—		47,010,620
Austria		—		12,352,635		—		12,352,635
Belgium		—		30,921,793		—		30,921,793
Brazil		8,703,190		24,168,177		—		32,871,367
Canada		118,036,854		484,740		1,449,566		119,971,160
Chile		114,891		1,730,169		—		1,845,060
China		5,923,311		76,870,377		—		82,793,688
Colombia		212,778		—		—		212,778
Czech Republic		—		1,116,339		—		1,116,339
Denmark		—		22,289,051		—		22,289,051
Egypt		—		2,153,412		—		2,153,412
Finland		—		15,468,450		—		15,468,450
France		6,213,033		105,044,590		—		111,257,623
Germany		—		33,814,649		—		33,814,649
Greece		—		2,908,305		—		2,908,305
Hong Kong		—		26,112,320		—		26,112,320
Hungary		—		11,086,338		—		11,086,338
India		6,022,245		89,322,044		—		95,344,289
Indonesia		—		18,393,743		—		18,393,743
Ireland		5,207,601		2,485,214		—		7,692,815
Israel		6,996,143		1,331,090		—		8,327,233
Italy		1,438,131		55,827,509		—		57,265,640
Japan		6,172,053		463,166,196		—		469,338,249
Jersey		2,660,443		—		—		2,660,443
Kuwait		—		123,992		—		123,992
Malaysia		—		3,627,958		—		3,627,958
Mexico		29,123,330		—		0§		29,123,330
Netherlands		5,188,580		63,729,499		178		68,918,257
New Zealand		—		898,725		—		898,725
Norway		—		22,946,736		—		22,946,736

164

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Pakistan	$	—	$	1,754,845	$	—	$	1,754,845
Philippines		—		251,761		—		251,761
Poland		—		17,674,328		—		17,674,328
Portugal		—		6,742,402		—		6,742,402
Qatar		—		1,256,838		—		1,256,838
Russia		—		—		1,104,794		1,104,794
Saudi Arabia		—		4,604,515		—		4,604,515
Singapore		—		15,929,270		—		15,929,270
South Africa		700,664		35,962,935		—		36,663,599
South Korea		7,596,772		72,016,987		—		79,613,759
Spain		—		62,540,429		—		62,540,429
Sweden		—		27,697,215		—		27,697,215
Switzerland		6,725,071		32,933,207		—		39,658,278
Taiwan		21,468,892		92,187,837		—		113,656,729
Thailand		—		20,581,900		—		20,581,900
Turkey		—		18,391,580		—		18,391,580
Ukraine		—		118,869		—		118,869
United Arab Emirates		—		2,302,422		—		2,302,422
United Kingdom		31,649,245		120,876,785		791		152,526,821
United States		753,125,792		—		323,144		753,448,936
Vietnam		—		6,716,662		—		6,716,662
TOTAL COMMON STOCKS		1,024,727,329		1,675,925,458		2,878,473		2,703,531,260
Preferred Stocks
Brazil		10,741,422		24,604,401		—		35,345,823
Chile		2,973,256		9,987		—		2,983,243
Colombia		1,668,276		—		—		1,668,276
Germany		—		15,244,064		—		15,244,064
Russia		—		—		154,483		154,483
South Korea		—		11,569,239		—		11,569,239
United States		—		—		450,870		450,870
TOTAL PREFERRED STOCKS		15,382,954		51,427,691		605,353		67,415,998
Rights/Warrants
Canada		—		—		222		222
Sweden		—		1,304		—		1,304
United States		—		—		963,667		963,667
TOTAL RIGHTS/WARRANTS		—		1,304		963,889		965,193
Investment Funds
United States		—		—		10,384,245		10,384,245
TOTAL INVESTMENT FUNDS		—		—		10,384,245		10,384,245
Debt Obligations
Netherlands		—		—		64		64
United States		670,234,737		358,656,510		—		1,028,891,247
TOTAL DEBT OBLIGATIONS		670,234,737		358,656,510		64		1,028,891,311

165

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	3,301,486		$	—		$	—	$	3,301,486
TOTAL MUTUAL FUNDS		3,301,486			—			—		3,301,486
Short-Term Investments		4,597,444			76,138,440			—		80,735,884
Purchased Options		2,275			—			—		2,275
Total Investments		1,718,246,225			2,162,149,403			14,832,024		3,895,227,652
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			5,504,684			—		5,504,684
Futures Contracts
Equity Risk		1,834,356			1,749,124			—		3,583,480
Interest Rate Risk		260,892			—			—		260,892
Physical Commodity Contract Risk		2,585,584			—			—		2,585,584
Swap Contracts
Equity Risk		—			793,048			—		793,048
Interest Rate Risk		—			4,037,602			—		4,037,602
Total	$	1,722,927,057		$	2,174,233,861		$	14,832,024	$	3,911,992,942
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(18,771,554	)	$	—	$	(18,771,554	)
Austria		—			(3,314,371	)		—		(3,314,371	)
Belgium		—			(6,992,273	)		—		(6,992,273	)
Canada		(42,413,166	)		—			—		(42,413,166	)
China		(612,383	)		—			—		(612,383	)
Denmark		—			(3,889,694	)		—		(3,889,694	)
Finland		—			(1,422,615	)		—		(1,422,615	)
France		—			(21,962,722	)		—		(21,962,722	)
Germany		—			(27,019,068	)		—		(27,019,068	)
Ireland		—			(13,438,879	)		—		(13,438,879	)
Israel		(6,466,340	)		—			—		(6,466,340	)
Italy		—			(21,422,347	)		—		(21,422,347	)
Japan		—			(61,839,259	)		—		(61,839,259	)
Netherlands		—			(20,766,806	)		—		(20,766,806	)
New Zealand		—			(6,384,683	)		—		(6,384,683	)
Peru		(5,342,501	)		—			—		(5,342,501	)
Singapore		(4,553,682	)		(3,774,453	)		—		(8,328,135	)
Spain		—			(11,883,705	)		—		(11,883,705	)
Sweden		—			(9,507,672	)		—		(9,507,672	)
Switzerland		—			(3,079,820	)		—		(3,079,820	)
United Kingdom		(7,485,277	)		(42,842,563	)		—		(50,327,840	)
United States		(393,169,565	)		—			—		(393,169,565	)
TOTAL COMMON STOCKS		(460,042,914	)		(278,312,484	)		—		(738,355,398	)
Preferred Stocks
Germany		—			(6,148,999	)		—		(6,148,999	)
TOTAL PREFERRED STOCKS		—			(6,148,999	)		—		(6,148,999	)

166

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(3,045,356	)	$	—	$	(3,045,356	)
Futures Contracts
Equity Risk		(252,042	)		(2,563,618	)		—		(2,815,660	)
Interest Rate Risk		(26,822	)		—			—		(26,822	)
Physical Commodity Contract Risk		(6,796,411	)		—			—		(6,796,411	)
Written Options
Equity Risk		(144,900	)		—			—		(144,900	)
Swap Contacts
Equity Risk		—			(877,172	)		—		(877,172	)
Interest Rate Risk		—			(3,181,095	)		—		(3,181,095	)
Total	$	(467,263,089	)	$	(294,128,724	)	$	—	$	(761,391,813	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	265,423,096		$	—		$	—	$	265,423,096
Short-Term Investments		116,212			—			—		116,212
Total Investments		265,539,308			—			—		265,539,308
Total	$	265,539,308		$	—		$	—	$	265,539,308
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	305,366,217		$	—		$	—	$	305,366,217
Short-Term Investments		201,400			—			—		201,400
Total Investments		305,567,617			—			—		305,567,617
Total	$	305,567,617		$	—		$	—	$	305,567,617
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	921,020		$	—	$	921,020
Belgium		—			691,464			—		691,464
Brazil		—			14,918			—		14,918
Canada		2,085,680			—			—		2,085,680
China		—			735,047			—		735,047
Denmark		—			935,251			—		935,251
Finland		—			491,186			—		491,186
France		70,072			1,590,767			—		1,660,839
Germany		—			641,883			—		641,883
Hong Kong		—			173,739			—		173,739
India		—			747,717			—		747,717
Ireland		284,657			—			—		284,657
Israel		359,489			73,246			—		432,735
Italy		—			603,951			—		603,951
Japan		—			3,843,726			—		3,843,726

167

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Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Mexico	$	519,972		$	—		$	—	$	519,972
Netherlands		278,311			1,252,527			—		1,530,838
New Zealand		—			44,854			—		44,854
Norway		—			235,473			—		235,473
Poland		—			248,238			—		248,238
Portugal		—			18,638			—		18,638
Russia		—			—			2,823		2,823
South Africa		—			85,731			—		85,731
South Korea		193,992			1,035,678			—		1,229,670
Spain		—			1,115,935			—		1,115,935
Sweden		—			638,934			—		638,934
Switzerland		—			526,702			—		526,702
Thailand		—			346,362			—		346,362
Turkey		—			207,555			—		207,555
United Kingdom		523,057			1,937,875			—		2,460,932
United States		22,388,305			—			—		22,388,305
TOTAL COMMON STOCKS		26,703,535			19,158,417			2,823		45,864,775
Preferred Stocks
Brazil		56,627			106,561			—		163,188
Germany		—			695,938			—		695,938
TOTAL PREFERRED STOCKS		56,627			802,499			—		859,126
Debt Obligations
United States		4,001,495			—			—		4,001,495
TOTAL DEBT OBLIGATIONS		4,001,495			—			—		4,001,495
Mutual Funds
United States		177,094,355			—			—		177,094,355
TOTAL MUTUAL FUNDS		177,094,355			—			—		177,094,355
Short-Term Investments		419,743			25,999,239			—		26,418,982
Total Investments		208,275,755			45,960,155			2,823		254,238,733
Derivatives^
Swap Contracts
Equity Risk		—			22,670			—		22,670
Total	$	208,275,755		$	45,982,825		$	2,823	$	254,261,403
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,033,155	)	$	—	$	(1,033,155	)
Austria		—			(170,985	)		—		(170,985	)
Belgium		—			(367,632	)		—		(367,632	)
Canada		(2,111,820	)		—			—		(2,111,820	)
China		(31,010	)		—			—		(31,010	)
Denmark		—			(239,449	)		—		(239,449	)
Finland		—			(66,116	)		—		(66,116	)
France		—			(1,110,576	)		—		(1,110,576	)
Germany		—			(1,427,986	)		—		(1,427,986	)

168

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Notes to Financial Statements — (Continued)

February 29, 2024

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Ireland	$	—		$	(292,539	)	$	—	$	(292,539	)
Israel		(394,260	)		—			—		(394,260	)
Italy		(17,840	)		(1,088,482	)		—		(1,106,322	)
Japan		—			(3,370,002	)		—		(3,370,002	)
Netherlands		—			(1,112,123	)		—		(1,112,123	)
New Zealand		—			(302,484	)		—		(302,484	)
Peru		(283,010	)		—			—		(283,010	)
Singapore		(218,403	)		(152,617	)		—		(371,020	)
Spain		—			(624,765	)		—		(624,765	)
Sweden		—			(523,175	)		—		(523,175	)
Switzerland		—			(184,064	)		—		(184,064	)
United Kingdom		—			(2,268,119	)		—		(2,268,119	)
United States		(18,428,693	)		—			—		(18,428,693	)
TOTAL COMMON STOCKS		(21,485,036	)		(14,334,269	)		—		(35,819,305	)
Preferred Stocks
Germany		—			(364,403	)		—		(364,403	)
TOTAL PREFERRED STOCKS		—			(364,403	)		—		(364,403	)
Derivatives^
Swap Contacts
Equity Risk		—			(32,149	)		—		(32,149	)
Total	$	(21,485,036	)	$	(14,730,821	)	$	—	$	(36,215,857	)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

§ Represents the interest in securities that were determined to have a value of zero at February 29, 2024.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

The underlying funds held at year end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

As of February 29, 2024, Alternative Allocation Fund’s Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendors).

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February 29, 2024

The following is a reconciliation of securities and derivatives, if any, for Funds in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2023			Purchases/ Closing of Options		Sales/ Writing of Options			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of February 29, 2024			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 29, 2024
Consolidated Alternative Allocation Fund
Common Stocks
Canada	$	—		$	250,284	$	—		$	—	$	—		$	102,228		$	—		$	—	$	352,512		$	102,228
China		419,007			79,447		(199,477	)		—		(860,362	)		561,385			—			—		0	§		—
United States		15,395			—		—			—		—			(15,395	)		—			—		0	§		—
Rights/Warrants
United States		384,887			—		—			—		—			29,272			11,546	‡		—		425,705			40,818
Investment Funds
United States		2,331,920			—		—			—		—			20,016			—			—		2,351,936			20,016
Total Investments	$	3,151,209		$	329,731	$	(199,477	)	$	—	$	(860,362	)	$	697,506		$	11,546		$	—	$	3,130,153		$	163,062
Derivatives
Written Options		(69,960	)		—		—			—		69,960			—			—			—		—			—
Total	$	3,081,249		$	329,731	$	(199,477	)	$	—	$	(790,402	)	$	697,506		$	11,546		$	—	$	3,130,153		$	163,062

^§  Represents the interest in securities that were determined to have a value of zero at February 29, 2024.

^‡  Financial assets transferred between levels were due to a change in observable and/or unobservable inputs.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended February 29, 2024.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair  Value ($)		Valuation  Methodology		Unobservable Inputs	Range (Weighted Average)
Consolidated Alternative Allocation Fund
Common Stock		—		Fair Value	Discount for lack of liquidity/marketability		$0 (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of February 29, 2024, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund was $3,130,153. The inputs for these investments are not readily available or cannot be reasonably estimated.

Cash

Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include marked-to-market amounts related to foreign currency or cash owed.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses.

170

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February 29, 2024

Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Loan assignments and participations

Certain Funds may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Fund Name	Counterparty	Value ($)	Value (with  associated collateral) ($)		Weighted Average  Maturity (days)
Consolidated Alternative Allocation Fund	Daiwa Capital Markets America, Inc.	41,035,173		41,736,953		1.0
Benchmark-Free Fund	Nomura Securities International, Inc.	50,999,652		51,894,759		1.0
Consolidated Implementation Fund	Daiwa Capital Markets America, Inc.	75,066,530		76,350,313		1.0
Strategic Opportunities Allocation Fund	Nomura Securities International, Inc.	25,999,239		26,455,558		1.0

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

171

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Notes to Financial Statements — (Continued)

February 29, 2024

Inflation-indexed bonds

Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.

The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e. stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e. nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the following business day. Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company (“State Street”) serves as the Funds’ lending agent.

A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, the inability to invest proceeds from the sales of such securities and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline and bears the risk of total loss with respect to the investment of collateral.

At February 29, 2024, securities on loan at value and collateral from securities on loan are listed below:

Fund Name	Value of securities  on loan ($)		Cash   collateral ($)		Non-cash  collateral ($)*		Total  collateral ($)
Benchmark-Free Fund		2,138,929		1,383,252		857,528		2,240,780
Consolidated Implementation Fund		8,331,870		3,466,561		14,439,724		17,906,285

* Non-cash collateral is comprised of U.S. Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

172

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Notes to Financial Statements — (Continued)

February 29, 2024

In addition, some Funds may loan their portfolio securities through an “enhanced custody” program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales. Under the program, a Fund borrows securities from the custodian and sells short those borrowed securities. The Fund may utilize various ways of collateralizing its obligation to return the borrowed securities, including by pledging securities held in the Fund’s custodial account to the custodian or by lending securities held in the Fund’s custodial account to the custodian. For its participation in the enhanced custody program, the Fund will pay the custodian a securities borrow fee and a financing charge. The following table provides the value of securities on loan under this program as of February 29, 2024:

Fund Name	Value of securities on loan  as part of  enhanced custody ($)
Consolidated Alternative Allocation Fund		32,481,191
Benchmark-Free Fund		87,279,289
Consolidated Implementation Fund		327,211,267
Strategic Opportunities Allocation Fund		11,007,531

Information regarding the value of the securities loaned and the value of cash collateral at year end is included in the Statements of Assets and Liabilities.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the dividend and/or interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Some Funds may also loan their portfolio securities through an enhanced custody program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales (see Securities lending above). Short sales outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Municipal obligations

Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Trade claims

Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

173

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February 29, 2024

GMO Alternative Allocation SPC Ltd. and GMO Implementation SPC Ltd. are wholly-owned subsidiaries of Alternative Allocation Fund and Implementation Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at its discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders and/or if certain investments are made by a Fund’s wholly-owned subsidiary. Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by certain countries. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes, interest charges and related fees.

As a result of court cases involving several countries across the European Union, certain Funds and/or underlying funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned (“EU tax reclaims”). These filings are subject to various administrative proceedings by each local jurisdiction’s tax authority, as well as judicial proceedings. EU tax reclaim and associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. As a result of its entitlements to EU tax reclaims and related interest amounts, a Fund may incur contingent legal fees. Such fees are presented within Legal fees in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Receivables resulting from EU tax reclaims pursued by liquidated underlying funds, if any, are reflected as Receivable from liquidated underlying funds in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund’s net asset value. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service. Doing so will enable a Fund to quantify and remit its tax liability related to any recoveries (on behalf of its shareholders).

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 29, 2024, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

174

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Notes to Financial Statements — (Continued)

February 29, 2024

Differences in distributable earnings on a U.S. GAAP and tax accounting basis primarily relate to the following:

Differences related to:	Consolidated  Alternative Allocation Fund	Benchmark- Free  Allocation  Fund	Benchmark- Free Fund	Global Asset  Allocation  Fund	Global  Developed  Equity Allocation Fund	Global Equity  Allocation  Fund	Consolidated  Implementation  Fund	International  Developed Equity Allocation Fund	International  Equity Allocation Fund	Strategic  Opportunities  Allocation Fund
Capital loss carryforwards	X	X	X	X	X	X	X	X	X	X
Constructive sale gains	X						X
Controlled foreign corporation transactions	X						X
Defaulted bonds			X				X
Derivative contract transactions	X		X				X			X
Dividend income and withholding tax reclaim reserves			X				X			X
EU tax reclaims, associated interest entitlements and IRS closing agreement matters	X			X
Foreign capital gains taxes			X				X
Foreign currency transactions	X						X
Interest, accretion, and amortization							X
Late year ordinary losses		X
Losses on wash sale transactions	X	X	X	X	X	X	X	X	X	X
Mutual fund distributions received				X	X	X				X
Passive foreign investment company transactions	X		X				X			X
Post-October capital losses	X	X
Redemption in-kind transactions		X
Securities sold short	X
Straddle loss deferrals	X

175

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

The tax character of distributions declared by each Fund to shareholders is as follows:

	Tax year ended February 29, 2024				Tax year ended February 28, 2023
Fund Name	Ordinary Income (including any  net short-term capital gain) ($)		Total Distributions ($)		Ordinary Income (including any  net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Consolidated Alternative Allocation Fund		9,000,692		9,000,692		—		1,882,802		1,882,802
Benchmark-Free Allocation Fund		212,529,291		212,529,291		135,003,424		—		135,003,424
Benchmark-Free Fund		60,571,398		60,571,398		68,892,922		—		68,892,922
Global Asset Allocation Fund		19,185,306		19,185,306		12,529,455		—		12,529,455
Global Developed Equity Allocation Fund		4,118,075		4,118,075		2,450,037		2,981,732		5,431,769
Global Equity Allocation Fund		38,742,959		38,742,959		54,826,953		43,939,821		98,766,774
Consolidated Implementation Fund		206,158,943		206,158,943		132,069,652		—		132,069,652
International Developed Equity Allocation Fund		16,193,489		16,193,489		8,665,535		522,076		9,187,611
International Equity Allocation Fund		21,148,965		21,148,965		23,354,064		—		23,354,064
Strategic Opportunities Allocation Fund		12,552,752		12,552,752		11,870,561		6,477,852		18,348,413

Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.

As of February 29, 2024, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Late-Year Ordinary Loss Deferral ($)			Capital Loss Carryforwards ($)			Post-October Capital Losses Deferral ($)
Consolidated Alternative Allocation Fund		806,256		—			(1,949,738	)		(876,165	)
Benchmark-Free Allocation Fund		3,491,378		(3,490,582	)		(268,589,974	)		(14,129,260	)
Benchmark-Free Fund		17,473,343		—			(242,469,665	)		—
Global Asset Allocation Fund		231,659		—			(210,853,790	)		—
Global Developed Equity Allocation Fund		384,509		(268	)		(70,316,952	)		—
Global Equity Allocation Fund		553,621		(3,567	)		(122,593,839	)		—
Consolidated Implementation Fund		51,994,176		—			(694,865,887	)		—
International Developed Equity Allocation Fund		94,883		(1,566	)		(152,916,477	)		—
International Equity Allocation Fund		3,356,404		(540	)		(155,309,843	)		—
Strategic Opportunities Allocation Fund		967,031		—			(4,617,440	)		—

As of February 29, 2024, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2024, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

Fund Name	Short-Term ($)			Long-Term ($)
Consolidated Alternative Allocation Fund		—			(1,949,738	)
Benchmark-Free Allocation Fund		(1,080,386	)		(267,509,588	)
Benchmark-Free Fund		(51,753,071	)		(190,716,594	)
Global Asset Allocation Fund		(1,559,108	)		(209,294,682	)
Global Developed Equity Allocation Fund		(97,078	)		(70,219,874	)
Global Equity Allocation Fund		(1,286,239	)		(121,307,600	)
Consolidated Implementation Fund		(336,641,328	)		(358,224,559	)
International Developed Equity Allocation Fund		—			(152,916,477	)
International Equity Allocation Fund		(881,435	)		(154,428,408	)
Strategic Opportunities Allocation Fund		—			(4,617,440	)

176

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

As of February 29, 2024, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments										Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)			Net Unrealized Appreciation (Depreciation) ($)			Net Unrealized Appreciation (Depreciation) ($)
Consolidated Alternative Allocation Fund		192,016,699		17,247,118		(22,591,744	)		(5,344,626	)		(942,046	)
Benchmark-Free Allocation Fund		3,537,164,221		635,159		(117,715,134	)		(117,079,975	)		—
Benchmark-Free Fund		1,177,502,690		124,427,275		(210,795,303	)		(86,368,028	)		(4	)
Global Asset Allocation Fund		391,592,845		8,120,862		(44,796,632	)		(36,675,770	)		—
Global Developed Equity Allocation Fund		68,138,980		3,181,308		(639,998	)		2,541,310			—
Global Equity Allocation Fund		774,742,667		30,871,932		(70,249,152	)		(39,377,220	)		—
Consolidated Implementation Fund		3,476,542,676		351,294,897		(677,114,318	)		(325,819,421	)		(240,109	)
International Developed Equity Allocation Fund		273,950,691		10,083,827		(18,495,210	)		(8,411,383	)		—
International Equity Allocation Fund		354,115,148		5,014,437		(53,561,968	)		(48,547,531	)		—
Strategic Opportunities Allocation Fund		215,669,813		23,665,541		(21,280,329	)		2,385,212			—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of February 29, 2024, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from underlying funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/deflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

177

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

During the year ended February 29, 2024, the Funds did not recognize dividends or foreign withholding taxes on local Russian shares, if any, due to restrictions imposed by the Russian government on dividend payments received by foreign shareholders like the Funds. At this time, no assurance can be given regarding the future payment of outstanding dividends by Russian issuers, the time period during which such Russia’s restrictions will remain in place or on the future ability of foreign shareholders to claim or otherwise gain control over or access to dividends paid.

Expenses and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees and supplemental support fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (see Note 5).

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds or a wholly-owned subsidiary) as a result of an investor’s purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Purchase premiums and redemption fees are paid to and retained by a Fund for the benefit of non-transacting shareholders. Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and redemption fee or modify existing purchase premium and redemption fees at any time.

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion.

GMO also may waive or reduce the purchase premium or redemption fee for a purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs. For example, GMO may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

As of February 29, 2024, none of the Funds charge a purchase premium or redemption fee.

Recently-issued accounting guidance

In June 2022, the Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update 2022-03, “Fair Value Measurement (Topic 820) – Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions”(“ASU 2022-03”). The amendments in ASU 2022-03 apply to all entities that have investments in equity securities measured at fair value that are subject to a contractual sale restriction. The amendments in ASU 2022-03 clarify guidance for fair value measurement of an equity security subject to a contractual sale restriction and establish new disclosure requirements for such equity securities. The amendments in ASU 2022-03 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023 with early adoption permitted. GMO is currently evaluating the impact, if any, of the new disclosure requirements on the financial statements.

178

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February 29, 2024

3. Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

	Alternative  Allocation Fund	Benchmark-  Free Allocation Fund	Benchmark-  Free Fund	Global Asset  Allocation  Fund	Global  Developed  Equity Allocation Fund	Global Equity  Allocation  Fund	Implementation  Fund	International  Developed Equity Allocation Fund	International  Equity Allocation Fund	Strategic  Opportunities  Allocation Fund
Market Risk – Equities	X	X	X	X	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X	X	X	X	X	X
Currency Risk	X	X	X	X	X	X	X	X	X	X
Market Risk – Fixed Income	X	X	X	X	X	X	X	X	X	X
Fund of Funds Risk	X	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X	X	X	X	X
Futures Contracts Risk	X	X	X	X			X			X
Credit Risk	X	X	X	X	X	X	X	X	X	X
Counterparty Risk	X	X	X	X	X	X	X	X	X	X
Smaller Company Risk	X	X	X	X	X	X	X	X	X	X
Illiquidity Risk	X	X	X	X	X	X	X	X	X	X
Commodities Risk	X	X	X	X			X			X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X	X	X	X
Event-Driven Risk	X	X					X			X
Market Risk – Asset-Backed Securities		X	X	X			X			X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X	X
Non-Diversified Funds	X	X	X	X	X	X		X	X	X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds, other investment companies or in a wholly-owned subsidiary (collectively, “Underlying Funds”) are exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly and indirectly by the Fund.

179

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK — EQUITIES. The market price of an equity in a Fund’s portfolio may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, a Fund runs the risk that the market price of the equity will not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations and interest rates than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• MANAGEMENT AND OPERATIONAL RISK. A Fund runs the risk that GMO’s investment techniques will fail to produce intended results. GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. A Fund also runs the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. securities markets are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, non-U.S. securities issuers often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund is subject to taxation by countries other than the United States, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, the Funds need a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. The risks above (such as substantial price fluctuations and market instability, illiquidity and lack of regulation) and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, leveraging risk, commodities risk and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant index or underlying securities. A Fund typically creates short investment exposure by selling securities short or by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. Specifically, the net asset value of a Fund’s shares will be adversely affected if the equities or other assets that are the subject of a Fund’s short exposures appreciate in value. The risk of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

• MARKET RISK – FIXED INCOME. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates or inflation rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments).

180

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment (if any) in its wholly-owned subsidiary and the underlying funds in which it invests, including the risk that its wholly-owned subsidiary (if any) and those underlying funds will not perform as expected.

• LEVERAGING RISK. The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, the Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by the Fund and the time the Fund liquidates assets to meet that request.

• FUTURES CONTRACTS RISK. The loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts increases the volatility of the Fund’s net asset value. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that contract. When a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are subject to the hedge. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor their obligations in a timely manner or at all. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such failure. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and are subject to substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to their issuers’ payment defaults and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and the Fund may incur additional expenses in its effort to be repaid. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, the Fund may lose a substantial portion or all of its original investment or may be required to accept cash or instruments worth less than its original investment.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s margin or collateral or otherwise honor its obligations.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size or legal restrictions increase the risk that a Fund or an underlying fund is limited or prevented from selling particular securities or closing derivative positions at desirable prices.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate significantly in a rapid and unpredictable manner.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) often disrupt securities markets and adversely affect the general economy or particular economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Fund’s investments.

181

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February 29, 2024

• FOCUSED INVESTMENT RISK. Investments focused in countries, regions, asset classes, sectors, industries, currencies, or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated.

• EVENT-DRIVEN RISK. If a Fund purchases securities in anticipation of a proposed merger, acquisition, exchange offer, tender offer, or other similar transaction and that transaction later appears likely to be delayed or unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of event-driven strategies (such as merger arbitrage) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. Event-driven strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated.

• MARKET RISK — ASSET BACKED SECURITIES. The market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including investor uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure, and creditworthiness of any credit-support provider), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by that shareholder or group will require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• NON-DIVERSIFIED FUNDS. Alternative Allocation Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market price of a particular security held by the Fund may affect the Fund’s performance more than if the Fund was a diversified investment company. In addition, some of the Funds may invest a portion of its assets in shares of underlying funds that are not diversified.

4. Derivative financial instruments

During the year ended February 29, 2024, only Consolidated Alternative Allocation Fund, Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund held derivative financial instruments directly. For a listing of derivative financial instruments, if any, held by the underlying funds, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation Fund (or their respective wholly-owned subsidiary, if any).

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

Consolidated Alternative Allocation Fund may use derivatives in some or all of the ways described below.

Use of Derivatives by Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund

The Funds may use derivatives to gain long or short investment exposure to securities, commodities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets and may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

182

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

The Funds may use derivatives such as futures, options, and swap contracts, in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Funds may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In adjusting investment exposures, each Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds may have gross investment exposures in excess of their net assets (i.e. the Funds may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

***

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.

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February 29, 2024

For Funds that held derivatives during the year ended February 29, 2024, the following table shows how the Fund used these derivatives (marked with an X):

	Consolidated			Strategic
	Alternative	Benchmark-	Consolidated	Opportunities
	Allocation	Free	Implementation	Allocation
Type of Derivative and Objective for Use	Fund	Fund	Fund	Fund
Forward currency contracts
Adjust exposure to foreign currencies	X	X	X
Manage against anticipated currency exchange rate changes	X		X
Futures contracts
Adjust exposure to certain securities markets	X	X	X
Adjust interest rate exposure	X
Maintain the diversity and liquidity of the portfolio	X	X	X
Options (Purchased)
Adjust exposure to foreign currencies		X	X
Substitute for direct equity investment	X		X
Options (Written)
Adjust exposure to foreign currencies		X
Substitute for direct equity investment	X		X
Swap contracts
Achieve exposure to a reference entity’s credit	X		X
Adjust interest rate exposure	X	X	X
Substitute for direct investment in securities	X	X	X	X

Forward currency contracts

The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are collateralized. Forward currency contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded in the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

184

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February 29, 2024

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e. sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

185

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.

Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if a Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.

Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if the Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.

186

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

* * *

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the valuations of derivative instruments categorized by risk exposure.

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 29, 2024 and the Statements of Operations for the year ended February 29, 2024^:

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

187

GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 29, 2024

										Foreign			Interest
	Credit			Commodity			Equity			Currency			Rate
	Contracts			Contracts			Contracts			Contracts			Contracts			Total
Consolidated Alternative Allocation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—		$	790		$	—		$	—		$	790
Unrealized Appreciation on Forward Currency Contracts		—			—			—			1,862,388			—			1,862,388
Unrealized Appreciation on Futures Contracts¤		—			556,459			647,101			—			46,045			1,249,605
Swap Contracts, at value¤		2,393,533			—			102,161			—			1,166,356			3,662,050
Total	$	2,393,533		$	556,459		$	750,052		$	1,862,388		$	1,212,401		$	6,774,833
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(643,785	)	$	—		$	(643,785	)
Unrealized Depreciation on Futures Contracts¤		—			(1,434,461	)		(959,564	)		—			(12,176	)		(2,406,201	)
Written Options, at value		(99,763	)		—			(222,864	)		—			—			(322,627	)
Swap Contracts, at value¤		(3,671,366	)		—			(120,272	)		—			(850,836	)		(4,642,474	)
Total	$	(3,771,129	)	$	(1,434,461	)	$	(1,302,700	)	$	(643,785	)	$	(863,012	)	$	(8,015,087	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	95,131		$	—		$	—		$	—		$	—		$	95,131
Futures Contracts		—			639,891			(5,173,332	)		—			1,376,878			(3,156,563	)
Written Options		—			—			1,157,070			—			1,034,234			2,191,304
Swap Contracts		(2,276,658	)		—			276,464			—			191,204			(1,808,990	)
Forward Currency Contracts		—			—			—			3,631,824			—			3,631,824
Total	$	(2,181,527	)	$	639,891		$	(3,739,798	)	$	3,631,824		$	2,602,316		$	952,706
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	(44,080	)	$	—		$	(26,595	)	$	—		$	—		$	(70,675	)
Futures Contracts		—			(940,427	)		(153,186	)		—			(96,800	)		(1,190,413	)
Written Options		156,831			—			73,668			—			—			230,499
Swap Contracts		555,026			—			(301,144	)		—			(32,088	)		221,794
Forward Currency Contracts		—			—			—			746,173			—			746,173
Total	$	667,777		$	(940,427	)	$	(407,257	)	$	746,173		$	(128,888	)	$	(62,622	)
Benchmark-Free Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—		$	—		$	—		$	—		$	63,331		$	63,331
Swap Contracts, at value¤		—			—			166,059			—			—			166,059
Total	$	—		$	—		$	166,059		$	—		$	63,331		$	229,390
Liability Derivatives
Swap Contracts, at value¤	$	—		$	—		$	(210,769	)	$	—		$	—		$	(210,769	)
Total	$	—		$	—		$	(210,769	)	$	—		$	—		$	(210,769	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	—		$	—		$	(3,031,888	)	$	(3,031,888	)
Swap Contracts		—			—			1,783,609			—			(152,073	)		1,631,536
Forward Currency Contracts		—			—			—			(114,457	)		—			(114,457	)
Total	$	—		$	—		$	1,783,609		$	(114,457	)	$	(3,183,961	)	$	(1,514,809	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	—		$	—		$	63,331		$	63,331
Swap Contracts		—			—			(774,999	)		—			56,329			(718,670	)
Forward Currency Contracts		—			—			—			114,111			—			114,111
Total	$	—		$	—		$	(774,999	)	$	114,111		$	119,660		$	(541,228	)

  188

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

										Foreign			Interest
	Credit			Commodity			Equity			Currency			Rate
	Contracts			Contracts			Contracts			Contracts			Contracts			Total
Consolidated Implementation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—		$	2,275		$	—		$	—		$	2,275
Unrealized Appreciation on Forward Currency Contracts		—			—			—			5,504,684			—			5,504,684
Unrealized Appreciation on Futures Contracts¤		—			2,585,584			3,583,480			—			260,892			6,429,956
Swap Contracts, at value¤		—			—			793,048			—			4,037,602			4,830,650
Total	$	—		$	2,585,584		$	4,378,803		$	5,504,684		$	4,298,494		$	16,767,565
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(3,045,356	)	$	—		$	(3,045,356	)
Unrealized Depreciation on Futures Contracts¤		—			(6,796,411	)		(2,815,660	)		—			(26,822	)		(9,638,893	)
Written Options, at value		—			—			(144,900	)		—			—			(144,900	)
Swap Contracts, at value¤		—			—			(877,172	)		—			(3,181,095	)		(4,058,267	)
Total	$	—		$	(6,796,411	)	$	(3,837,732	)	$	(3,045,356	)	$	(3,207,917	)	$	(16,887,416	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	4,894,558		$	(22,004,043	)	$	—		$	(8,881,675	)	$	(25,991,160	)
Written Options		—			—			(230,519	)		—			—			(230,519	)
Swap Contracts		(731,267	)		—			5,759,225			—			(785,763	)		4,242,195
Forward Currency Contracts		—			—			—			9,540,592			—			9,540,592
Total	$	(731,267	)	$	4,894,558		$	(16,475,337	)	$	9,540,592		$	(9,667,438	)	$	(12,438,892	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	(76,589	)	$	—		$	—		$	(76,589	)
Futures Contracts		—			(4,494,693	)		1,387,478			—			(357,333	)		(3,464,548	)
Written Options		—			—			(606,371	)		—			—			(606,371	)
Swap Contracts		691,158			—			(3,018,543	)		—			1,574,926			(752,459	)
Forward Currency Contracts		—			—			—			3,240,251			—			3,240,251
Total	$	691,158		$	(4,494,693	)	$	(2,314,025	)	$	3,240,251		$	1,217,593		$	(1,659,716	)
Strategic Opportunities Allocation Fund
Asset Derivatives
Swap Contracts, at value¤	$	—		$	—		$	22,670		$	—		$	—		$	22,670
Total	$	—		$	—		$	22,670		$	—		$	—		$	22,670
Liability Derivatives
Swap Contracts, at value¤	$	—		$	—		$	(32,149	)	$	—		$	—		$	(32,149	)
Total	$	—		$	—		$	(32,149	)	$	—		$	—		$	(32,149	)
Net Realized Gain (Loss) on
Swap Contracts	$	—		$	—		$	293,695		$	—		$	—		$	293,695
Total	$	—		$	—		$	293,695		$	—		$	—		$	293,695
Change in Net Appreciation (Depreciation) on
Swap Contracts	$	—		$	—		$	(108,742	)	$	—		$	—		$	(108,742	)
Total	$	—		$	—		$	(108,742	)	$	—		$	—		$	(108,742	)

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

¤ The table includes cumulative unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Year end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans.

189  

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Notes to Financial Statements — (Continued)

February 29, 2024

The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at February 29, 2024, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 29, 2024:

Consolidated Alternative Allocation Fund

	Gross Derivative					Derivative			Net Amount
	Assets Subject to		Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreements		Received			Available for Offset			Assets
Barclays Bank PLC	$	760,955	$	(580,000	)	$	(67,716	)	$	113,239
Brown Brothers Harriman & Co.		5,975		—			—			5,975
Citibank N.A.		192,508		(21,717	)		(170,791	)		—	*
Citigroup Global Markets, Inc.		518,737		—			(373,640	)		145,097
Deutsche Bank AG		94,975		(64,333	)		(30,642	)		—	*
Goldman Sachs International		493,882		(320,000	)		(53,738	)		120,144
JPMorgan Chase Bank, N.A.		708,188		(399,050	)		(230,075	)		79,063
Merrill Lynch Capital Services, Inc.		391,050		(110,204	)		(280,846	)		—	*
Morgan Stanley & Co. International PLC		440,643		(321,483	)		(119,160	)		—	*
Morgan Stanley & Co. LLC		790		—			(790	)		—
Morgan Stanley Capital Services LLC		197,451		(10,000	)		(172,789	)		14,662
State Street Bank and Trust Company		402,080		(194,683	)		(207,397	)		—	*
UBS AG		203,707		—			(56,353	)		147,354
Total	$	4,410,941	$	(2,021,470	)	$	(1,763,937	)	$	625,534

  190

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Notes to Financial Statements — (Continued)

February 29, 2024

Consolidated Alternative Allocation Fund (Continued)

	Gross Derivative					Derivative		Net Amount
	Liabilities Subject to			Collateral		Assets/Liabilities		of Derivative
Counterparty	Master Agreement			Pledged		Available for Offset		Liabilities
Barclays Bank PLC	$	(67,716	)	$	—	$	67,716	$	—
Citibank N.A.		(170,791	)		—		170,791		—
Citigroup Global Markets, Inc.		(373,640	)		—		373,640		—
Deutsche Bank AG		(30,642	)		—		30,642		—
Goldman Sachs International		(53,738	)		—		53,738		—
JPMorgan Chase Bank, N.A.		(230,075	)		—		230,075		—
Merrill Lynch Capital Services, Inc.		(280,846	)		—		280,846		—
Morgan Stanley & Co. International PLC		(119,160	)		—		119,160		—
Morgan Stanley & Co. LLC		(222,864	)		222,074		790		—	*
Morgan Stanley Capital Services LLC		(172,789	)		—		172,789		—
State Street Bank and Trust Company		(207,397	)		—		207,397		—
UBS AG		(56,353	)		—		56,353		—
Total	$	(1,986,011	)	$	222,074	$	1,763,937	$	—

Benchmark-Free Fund

	Gross Derivative					Derivative		Net Amount
	Assets Subject to			Collateral		Assets/Liabilities		of Derivative
Counterparty	Master Agreements			Received		Available for Offset		Assets
Goldman Sachs International	$	166,059		$	—	$	—	$	166,059
Total	$	166,059		$	—	$	—	$	166,059
	Gross Derivative					Derivative		Net Amount
	Liabilities Subject to			Collateral		Assets/Liabilities		of Derivative
Counterparty	Master Agreement			Pledged		Available for Offset		Liabilities
Morgan Stanley Capital Services LLC	$	(210,769	)	$	210,769	$	—	$	—	*
Total	$	(210,769	)	$	210,769	$	—	$	—

Consolidated Implementation Fund

	Gross Derivative					Derivative			Net Amount
	Assets Subject to		Collateral			Assets/Liabilities			of Derivative
Counterparty	Master Agreements		Received			Available for Offset			Assets
Barclays Bank PLC	$	2,196,129	$	(1,634,655	)	$	(313,855	)	$	247,619
Brown Brothers Harriman & Co.		18,783		—			—			18,783
Citibank N.A.		74,181		—			(74,181	)		—
Deutsche Bank AG		433,436		—			(172,296	)		261,140
Goldman Sachs International		588,923		—			(136,935	)		451,988
JPMorgan Chase Bank, N.A.		119,286		—			(119,286	)		—
Morgan Stanley & Co. International PLC		414,060		—			(414,060	)		—
Morgan Stanley & Co. LLC		2,275		—			(2,275	)		—
State Street Bank and Trust Company		1,435,101		(394,197	)		(1,040,904	)		—	*
UBS AG		1,017,833		(825,158	)		(192,675	)		—	*
Total	$	6,300,007	$	(2,854,010	)	$	(2,466,467	)	$	979,530

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Notes to Financial Statements — (Continued)

February 29, 2024

Consolidated Implementation Fund (Continued)

	Gross Derivative					Derivative		Net Amount
	Liabilities Subject to			Collateral		Assets/Liabilities		of Derivative
Counterparty	Master Agreement			Pledged		Available for Offset		Liabilities
Barclays Bank PLC	$	(313,855	)	$	—	$	313,855	$	—
Citibank N.A.		(86,714	)		—		74,181		(12,533	)
Deutsche Bank AG		(172,296	)		—		172,296		—
Goldman Sachs International		(136,935	)		—		136,935		—
JPMorgan Chase Bank, N.A.		(703,078	)		533,542		119,286		(50,250	)
Morgan Stanley & Co. International PLC		(645,114	)		231,054		414,060		—	*
Morgan Stanley & Co. LLC		(144,900	)		142,625		2,275		—	*
Morgan Stanley Capital Services LLC		(630,957	)		630,957		—		—	*
State Street Bank and Trust Company		(1,040,904	)		—		1,040,904		—
UBS AG		(192,675	)		—		192,675		—
Total	$	(4,067,428	)	$	1,538,178	$	2,466,467	$	(62,783	)

Strategic Opportunities Allocation Fund

	Gross Derivative					Derivative		Net Amount
	Assets Subject to			Collateral		Assets/Liabilities		of Derivative
Counterparty	Master Agreements			Received		Available for Offset		Assets
Goldman Sachs International	$	22,670		$	—	$	—	$	22,670
Total	$	22,670		$	—	$	—	$	22,670
	Gross Derivative					Derivative		Net Amount
	Liabilities Subject to			Collateral		Assets/Liabilities		of Derivative
Counterparty	Master Agreement			Pledged		Available for Offset		Liabilities
Morgan Stanley Capital Services LLC	$	(32,149	)	$	32,149	$	—	$	—	*
Total	$	(32,149	)	$	32,149	$	—	$	—

* The actual collateral received and/or pledged is more than the amount shown.

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 29, 2024:

	Forward
	Currency		Futures		Options		Options		Swap
Fund Name	Contracts ($)		Contracts ($)		(Principal)		(Contracts)		Contracts ($)
Consolidated Alternative Allocation Fund		184,974,820		173,006,118		90,458,640		1,412		399,356,429
Benchmark-Free Fund		27,437,855		47,580,689		1,116,667		—		69,062,098
Consolidated Implementation Fund		957,777,806		782,645,947		13,112,500		4,738		1,499,360,947
Strategic Opportunities Allocation Fund		—		—		—		—		2,925,815

  192

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to certain Funds. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Alternative Allocation Fund			Benchmark- Free Allocation Fund			Benchmark- Free Fund		Global Asset Allocation Fund		Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Implementation Fund		International Developed Equity Allocation Fund		International Equity Allocation Fund		Strategic Opportunities Allocation Fund
Management Fee		0.73	%		0.65	%		—		—		—		—		—		—		—		—

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service or supplemental support fee. Shareholder service fees are paid to GMO for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class MF shares of Benchmark-Free Allocation Fund are subject to a supplemental support fee payable to GMO for providing supplemental support services to Class MF shareholders and their investment advisers. Those supplemental support services include, without limitation, (i) providing and presenting (a) educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser; (b) similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests; (c) information for inclusion in the quarterly or other periodic reports of the investor; (ii) responding to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation; (iii) providing access to and setting up meetings with GMO’s Chief Investment Strategist and Head of GMO’s Asset Allocation Team and other investment professionals of GMO; (iv) assisting with inquiries from an investor’s investment adviser; and (v) providing such other assistance as may be requested from time to time by an investor or its agent, so long as that assistance is not primarily intended to result in the sale of Fund shares.

Shareholder service and/or supplemental support fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class II			Class III			Class IV			Class V			Class VI			Class MF			Class R6			Class I
Alternative Allocation Fund		0.22	%*		0.15	%*		0.105	%*		0.085	%*		0.055	%					0.22	%		0.22	%
Benchmark-Free Allocation Fund					0.15	%		0.10	%								0.10	%		0.15	%		0.15	%

* Class is offered but has no shareholders as of February 29, 2024.

For certain Funds, GMO does not charge the Fund a management fee or shareholder service fee, but it receives management and/or shareholder service fees from the underlying funds in which the Fund invests. Because those fees vary from fund to fund, the levels of indirect net expenses set forth below are affected by GMO’s asset allocation decisions.

For each Fund, other than Alternative Allocation Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Implementation Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceed 0.01% of the Funds’ average daily net assets.

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GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2024

Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Benchmark-Free Fund, “Specified Operating Expenses” does not include the Fund’s direct custody expenses attributable to its holdings of emerging market securities.

For Alternative Allocation Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.99% for Class II shares; 0.92% for Class III shares; 0.875% for Class IV shares; 0.855% for Class V shares; 0.825% for Class VI shares; 0.99% for Class R6 shares; and 0.99% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (collectively, “Excluded Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap set forth above or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses.

For the year ended February 29, 2024, GMO did not recoup any previously recorded waivers and/or reimbursements.

On February 29, 2024, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the			Expiring the			Expiring the
	year ending			year ending			year ending
	February 28,			February 28,			February 28,
	2025			2026			2027
Alternative Allocation Fund, Class VI		$	245,810		$	214,691		$	150,748
Alternative Allocation Fund, Class R6		$	185		$	41		$	17
Alternative Allocation Fund, Class I		$	264,576		$	466,588		$	461,207

For each Fund, other than Benchmark-Free Allocation Fund, that pays GMO a management fee and shareholder service fee, GMO has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust. Management fees and shareholder service fees will not be waived below zero.

For Benchmark-Free Allocation Fund, GMO has contractually agreed to waive or reduce the Fund’s management, shareholder service, and supplemental support fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust. In addition, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares based on the net assets attributable to Class MF shares as of the last business day of the preceding month based on the following schedule: 0.10% on the first $6 billion of net assets, 0.05% on the next $2 billion, 0.03% on the next $2 billion, and 0.01% thereafter; provided, however, that the effective rate charged at any time will not be reduced to less than 0.06% of Class MF’s average daily net assets. The rate will be calculated before giving effect to any reduction or waiver. This reduction will continue through at least June 30, 2024, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.

  194

GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 29, 2024

GMO has contractually agreed to 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 agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I shares.

These contractual waivers and reimbursements will continue through at least June 30, 2024 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

Sub-Transfer Agent/Recordkeeping Payments

Class II, III, IV, V, VI, MF and R6 shares are not subject to payments to third parties for sub-transfer agent/recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI, MF or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 29, 2024 is shown in the table below and is included in the Statements of Operations.

	Independent Trustees and
Fund Name	their legal counsel ($)
Consolidated Alternative Allocation Fund		10,727
Benchmark-Free Allocation Fund		231,121
Benchmark-Free Fund		62,921
Global Asset Allocation Fund		19,369
Global Developed Equity Allocation Fund		3,915
Global Equity Allocation Fund		36,304
Consolidated Implementation Fund		204,270
International Developed Equity Allocation Fund		13,766
International Equity Allocation Fund		21,135
Strategic Opportunities Allocation Fund		11,558

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2024, the Funds below had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

195  

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Notes to Financial Statements — (Continued)

February 29, 2024

Fund Name	Total Indirect Expenses
Consolidated Alternative Allocation Fund		0.017	%
Benchmark-Free Allocation Fund		0.447	%*
Benchmark-Free Fund		0.095	%
Global Asset Allocation Fund		0.678	%*
Global Developed Equity Allocation Fund		0.529	%
Global Equity Allocation Fund		0.561	%
International Developed Equity Allocation Fund		0.620	%
International Equity Allocation Fund		0.668	%
Strategic Opportunities Allocation Fund		0.428	%

* Includes indirect interest and dividend expense on reverse repurchase agreements and short sales, respectively, and borrowing costs for investments sold short.

The Funds are permitted to purchase or sell securities from or to other GMO Trust funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another GMO Trust fund complies with rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 29, 2024, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 29, 2024 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government  Securities		Investments  (Non-U.S.  Government Securities)		U.S. Government  Securities		Investments  (Non-U.S.  Government Securities)
Consolidated Alternative Allocation Fund		544,591,468		256,760,575		537,959,062		249,259,249
Benchmark-Free Allocation Fund		—		613,983,632		—		1,777,757,054
Benchmark-Free Fund		265,602,924		877,959,949		288,406,777		1,012,917,832
Global Asset Allocation Fund		—		55,491,819		—		63,705,739
Global Developed Equity Allocation Fund		—		13,737,306		—		17,422,203
Global Equity Allocation Fund		—		227,989,407		—		157,572,447
Consolidated Implementation Fund		1,084,952,492		3,248,338,740		1,178,058,764		3,580,967,833
International Developed Equity Allocation Fund		—		66,848,715		—		50,990,904
International Equity Allocation Fund		—		76,916,569		—		293,162,759
Strategic Opportunities Allocation Fund		—		113,848,227		3,550,275		100,763,099

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the year ended February 29, 2024. In-kind purchases and sales of securities, including short-term investments, if any, and net realized gains/(losses) attributed to redemption in-kind transactions, if any, are noted in the table below:

					Net realized gains/(losses)
	In-Kind		In-Kind		attributed to redemption in-kind
Fund Name	Purchases ($)		Sales ($)		transactions ($)
Benchmark-Free Allocation Fund		—		96,653,332		5,274,690

  196

GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 29, 2024

7. Guarantees

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

8. Principal shareholders as of February 29, 2024

				Percentage of
				outstanding shares of
	Number of			the Fund held by those
	shareholders that held			shareholders owning
	more than 10% of the			greater than 10% of the
	outstanding shares of			outstanding shares of
Fund Name	the Fund			the Fund
Alternative Allocation Fund		3	‡		88.20	%
Benchmark-Free Allocation Fund		2			34.21	%
Benchmark-Free Fund		4			56.53	%
Global Asset Allocation Fund		1			23.10	%
Global Developed Equity Allocation Fund		1			99.76	%
Global Equity Allocation Fund		4			71.33	%
Implementation Fund		1	‡		97.14	%
International Developed Equity Allocation Fund		2			95.97	%
International Equity Allocation Fund		2			80.16	%
Strategic Opportunities Allocation Fund		3			84.77	%

‡ One of the shareholders is another fund of the Trust.

9. Share transactions

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:

	Year Ended						Year Ended
	February 29, 2024						February 28, 2023
	Shares			Amount			Shares			Amount
Consolidated Alternative Allocation Fund
Class VI:
Shares sold		64,520		$	1,188,398			248,004		$	4,519,995
Shares issued to shareholders in reinvestment of distributions		119,240			2,188,056			32,535			566,438
Shares repurchased		(383,634	)		(7,323,603	)		(4,855,485	)		(86,707,512	)
Net increase (decrease)		(199,874	)	$	(3,947,149	)		(4,574,946	)	$	(81,621,079	)
Class R6:
Shares sold		55		$	1,011			296		$	5,338
Shares issued to shareholders in reinvestment of distributions		15			272			14			239
Shares repurchased		—			—			(1,299	)		(22,947	)
Net increase (decrease)		70		$	1,283			(989	)	$	(17,370	)

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Notes to Financial Statements — (Continued)

February 29, 2024

	Year Ended						Year Ended
	February 29, 2024						February 28, 2023
	Shares			Amount			Shares			Amount
Consolidated Alternative Allocation Fund (continued)
Class I:
Shares sold		1,085,265		$	19,949,455			2,656,932		$	47,445,755
Shares issued to shareholders in reinvestment of distributions		181,720			3,310,932			40,690			704,752
Shares repurchased		(1,385,612	)		(25,502,050	)		(2,957,606	)		(52,585,684	)
Net increase (decrease)		(118,627	)	$	(2,241,663	)		(259,984	)	$	(4,435,177	)
Benchmark-Free Allocation Fund
Class III:
Shares sold		5,879,422		$	151,887,287			6,170,726		$	153,112,114
Shares issued to shareholders in reinvestment of distributions		2,300,008			59,102,640			1,700,038			41,055,923
Shares repurchased		(29,103,728	)(a)		(749,129,829	)(a)		(13,268,957	)		(323,224,193	)
Net increase (decrease)		(20,924,298	)	$	(538,139,902	)		(5,398,193	)	$	(129,056,156	)
Class IV:
Shares sold		5,759,488		$	148,428,733			6,932,185		$	170,895,298
Shares issued to shareholders in reinvestment of distributions		1,475,092			37,903,543			1,108,221			26,763,533
Shares repurchased		(20,442,330	)		(522,682,891	)		(14,851,062	)		(366,844,337	)
Net increase (decrease)		(13,207,750	)	$	(336,350,615	)		(6,810,656	)	$	(169,185,506	)
Class MF:
Shares sold		367,932		$	9,464,051			2,625,655		$	65,056,569
Shares issued to shareholders in reinvestment of distributions		2,062,846			53,048,013			1,413,113			34,154,940
Shares repurchased		(15,519,741	)		(399,253,914	)		(14,268,897	)		(347,835,107	)
Net increase (decrease)		(13,088,963	)	$	(336,741,850	)		(10,230,129	)	$	(248,623,598	)
Class R6:
Shares sold		1,904,617		$	48,537,634			3,970,400		$	97,481,607
Shares issued to shareholders in reinvestment of distributions		637,926			16,372,870			348,177			8,401,511
Shares repurchased		(2,318,897	)		(59,539,649	)		(3,693,731	)		(89,437,851	)
Net increase (decrease)		223,646		$	5,370,855			624,846		$	16,445,267
Class I:
Shares sold		4,174,629		$	107,212,168			4,738,564		$	116,465,587
Shares issued to shareholders in reinvestment of distributions		514,724			13,210,230			304,924			7,357,817
Shares repurchased		(3,273,009	)		(82,818,278	)		(6,742,198	)		(163,274,941	)
Net increase (decrease)		1,416,344		$	37,604,120			(1,698,710	)	$	(39,451,537	)
Benchmark-Free Fund
Class III:
Shares sold		1,564,399		$	27,830,000			1,484,656		$	24,689,894
Shares issued to shareholders in reinvestment of distributions		3,133,596			58,799,305			3,920,225			67,377,050
Shares repurchased		(11,846,127	)		(216,488,677	)		(26,235,497	)		(470,868,019	)
Net increase (decrease)		(7,148,132	)	$	(129,859,372	)		(20,830,616	)	$	(378,801,075	)

  198

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Notes to Financial Statements — (Continued)

February 29, 2024

	Year Ended						Year Ended
	February 29, 2024						February 28, 2023
	Shares			Amount			Shares			Amount
Global Asset Allocation Fund
Class III:
Shares sold		50,198		$	1,587,504			473,497		$	14,575,090
Shares issued to shareholders in reinvestment of distributions		509,587			16,247,374			357,538			10,298,498
Shares repurchased		(421,085	)		(13,038,345	)		(8,400,721	)		(259,575,083	)
Net increase (decrease)		138,700		$	4,796,533			(7,569,686	)	$	(234,701,495	)
Class R6:
Shares sold		19,949		$	607,603			64,764		$	1,982,932
Shares issued to shareholders in reinvestment of distributions		15,414			491,139			11,108			319,734
Shares repurchased		(427,083	)		(13,554,690	)		(188,328	)		(5,666,318	)
Net increase (decrease)		(391,720	)	$	(12,455,948	)		(112,456	)	$	(3,363,652	)
Class I:
Shares sold		28,802		$	884,740			466,367		$	13,525,172
Shares issued to shareholders in reinvestment of distributions		21,734			693,131			18,361			528,965
Shares repurchased		(120,251	)		(3,775,016	)		(420,725	)		(12,679,758	)
Net increase (decrease)		(69,715	)	$	(2,197,145	)		64,003		$	1,374,379
Global Developed Equity Allocation Fund
Class III:
Shares sold		698		$	16,288			—		$	—
Shares issued to shareholders in reinvestment of distributions		167,126			3,984,713			259,677			5,190,290
Shares repurchased		(366,986	)		(7,938,104	)		(739,254	)		(15,371,367	)
Net increase (decrease)		(199,162	)	$	(3,937,103	)		(479,577	)	$	(10,181,077	)
Global Equity Allocation Fund
Class III:
Shares sold		3,117,680		$	84,074,550			1,532,903		$	37,757,925
Shares issued to shareholders in reinvestment of distributions		1,108,141			29,977,737			3,990,115			92,127,935
Shares repurchased		(2,475,365	)		(63,568,640	)		(37,940,588	)		(937,379,548	)
Net increase (decrease)		1,750,456		$	50,483,647			(32,417,570	)	$	(807,493,688	)
Class R6:
Shares sold		84,328		$	2,234,883			1,173,061		$	29,466,929
Shares issued to shareholders in reinvestment of distributions		79,836			2,159,378			19,127			441,589
Shares repurchased		(69,452	)		(1,866,872	)		(44,928	)		(1,113,582	)
Net increase (decrease)		94,712		$	2,527,389			1,147,260		$	28,794,936
Class I:
Shares sold		466,634		$	11,725,803			170,599		$	4,396,674
Shares issued to shareholders in reinvestment of distributions		31,053			840,744			16,381			377,718
Shares repurchased		(277,487	)		(7,415,256	)		(75,618	)		(1,802,725	)
Net increase (decrease)		220,200		$	5,151,291			111,362		$	2,971,667

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Notes to Financial Statements — (Continued)

February 29, 2024

	Year Ended						Year Ended
	February 29, 2024						February 28, 2023
	Shares			Amount			Shares			Amount
Consolidated Implementation Fund
Core Class:
Shares sold		36,427,184		$	459,481,082			27,254,347		$	330,599,610
Shares issued to shareholders in reinvestment of distributions		16,329,420			206,158,943			11,299,681			132,069,652
Shares repurchased		(106,551,914	)		(1,349,611,676	)		(107,765,470	)		(1,293,197,003	)
Net increase (decrease)		(53,795,310	)	$	(683,971,651	)		(69,211,442	)	$	(830,527,741	)
International Developed Equity Allocation Fund
Class III:
Shares sold		781,534		$	12,533,659			2,054,507		$	30,234,734
Shares issued to shareholders in reinvestment of distributions		557,047			9,114,540			368,396			5,246,314
Shares repurchased		(356,267	)		(5,683,743	)		(1,541,811	)		(23,674,258	)
Net increase (decrease)		982,314		$	15,964,456			881,092		$	11,806,790
Class R6:
Shares sold		38,293		$	602,355			28,805		$	427,463
Shares issued to shareholders in reinvestment of distributions		30,751			502,850			22,740			323,823
Shares repurchased		(99,569	)		(1,576,353	)		(26,596	)		(382,957	)
Net increase (decrease)		(30,525	)	$	(471,148	)		24,949		$	368,329
International Equity Allocation Fund
Class III:
Shares sold		223,052		$	5,950,720			1,109,511		$	28,343,983
Shares issued to shareholders in reinvestment of distributions		191,364			5,246,520			513,528			12,524,610
Shares repurchased		(8,652,124	)		(225,161,716	)		(5,222,926	)		(144,440,511	)
Net increase (decrease)		(8,237,708	)	$	(213,964,476	)		(3,599,887	)	$	(103,571,918	)
Class R6:
Shares sold		173,197		$	4,675,770			318,017		$	8,752,419
Shares issued to shareholders in reinvestment of distributions		538,646			14,758,050			414,604			10,107,910
Shares repurchased		(849,728	)		(22,557,109	)		(898,761	)		(22,014,901	)
Net increase (decrease)		(137,885	)	$	(3,123,289	)		(166,140	)	$	(3,154,572	)
Strategic Opportunities Allocation Fund
Class III:
Shares sold		1,085,636		$	17,070,757			1,043,303		$	16,819,874
Shares issued to shareholders in reinvestment of distributions		486,277			8,058,120			819,400			12,262,878
Shares repurchased		(760,358	)		(12,213,058	)		(2,895,646	)		(47,123,159	)
Net increase (decrease)		811,555		$	12,915,819			(1,032,943	)	$	(18,040,407	)

^(a)  3,714,578 shares and $96,653,332 were redeemed in-kind.

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Notes to Financial Statements — (Continued)

February 29, 2024

10. Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 29, 2024 is set forth below:

																Net Increase/
																Decrease in
	Value,										Distributions		Net			Unrealized
	beginning of				Sales			Dividend			of Realized		Realized			Appreciation/			Value, end of
Affiliate	period		Purchases		Proceeds			Income			Gains		Gain (Loss)			Depreciation			period
Consolidated Alternative Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	5,754,599	$	—	$	6,183,898		$	83,688		$	—	$	123,020		$	306,279		$	—
GMO Resources Fund, Class VI		—		3,875,000		—			108,555			—		—			(565,506	)		3,309,494
Totals	$	5,754,599	$	3,875,000	$	6,183,898		$	192,243		$	—	$	123,020		$	(259,227	)	$	3,309,494
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	225,439,211	$	13,082,786	$	140,766,817	(a)	$	13,082,786		$	—	$	(49,215,647	)	$	57,323,263		$	105,862,796
GMO High Yield Fund, Class VI		90,670,017		2,019,636		61,524,828	(b)		2,019,636			—		(740,737	)		4,364,683			34,788,771
GMO Implementation Fund		3,734,452,836		573,109,161		1,349,611,676	(c)		206,158,943			—		(43,177,824	)		221,756,449			3,136,528,946
GMO Opportunistic Income Fund, Class VI		263,438,935		10,968,370		136,853,591			10,968,370			—		(8,582,565	)		9,511,810			138,482,959
GMO SGM Major Markets Fund, Class VI		88,586,880		14,803,679		89,000,143			4,505,766			10,297,913		(23,242,048	)		8,851,632			—
Totals	$	4,402,587,879	$	613,983,632	$	1,777,757,055		$	236,735,501		$	10,297,913	$	(124,958,821	)	$	301,807,837		$	3,415,663,472
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class VI	$	83,120,284	$	4,126,096	$	47,400,000		$	4,126,096		$	—	$	(15,846,484	)	$	18,834,553		$	42,834,449
GMO High Yield Fund, Class VI		63,734,779		572,597		52,100,000			572,597			—		(1,391,925	)		2,898,016			13,713,467
GMO Opportunistic Income Fund, Class VI		68,635,629		—		18,000,000			3,674,943			—		(761,130	)		836,482			50,710,981
GMO Resources Fund, Class VI		41,081,249		14,313,492		—			1,822,152			791,341		—			(8,796,960	)		46,597,781
GMO SGM Major Markets Fund, Class VI		29,075,472		4,858,777		28,185,243			1,478,857			3,379,921		(9,315,204	)		3,566,198			—
GMO U.S. Treasury Fund		1,230,461		113,389,500		113,335,480			—	*		—		19,908			—			1,304,389
Totals	$	286,877,874	$	137,260,462	$	259,020,723		$	11,674,645		$	4,171,262	$	(27,294,835	)	$	17,338,289		$	155,161,067
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	48,411,511	$	3,329,949	$	7,175,000		$	2,151,479		$	—	$	(337,203	)	$	370,258		$	44,599,515
GMO Asset Allocation Bond Fund, Class VI		20,113,672		2,779,265		2,248,896			1,080,919			—		(295,780	)		(336,701	)		20,011,560
GMO Emerging Country Debt Fund, Class VI		10,468,900		1,141,014		1,495,207			1,141,015			—		(843,120	)		1,569,931			10,841,518

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Notes to Financial Statements — (Continued)

February 29, 2024

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Asset Allocation Fund (continued)
GMO Emerging Markets ex-China Fund, Class VI	$	23,354,081	$	1,731,673	$	3,689,916	$	1,731,673	$	—	$	(1,263,622	)	$	4,943,565		$	25,075,781
GMO Emerging Markets Fund, Class VI		25,997,689		1,911,531		4,855,484		1,911,531		—		(2,493,066	)		4,705,357			25,266,027
GMO High Yield Fund, Class VI		6,868,538		—		7,135,399		—		—		(9,520	)		276,381			—
GMO International Equity Fund, Class IV		61,754,726		3,435,213		22,433,604		3,435,213		—		(1,792,890	)		5,811,946			46,775,391
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		24,177,833		24,209,643		42,436		—		31,810			—			—
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV		—		24,347,572		1,351,923		498,679		219,069		100,665			1,339,011			24,435,325
GMO-Usonian Japan Value Creation Fund, Class VI		13,795,046		669,538		2,010,240		669,538		—		(166,648	)		2,383,572			14,671,268
GMO Multi-Sector Fixed Income Fund, Class IV		40,659,884		—		620,000		—		—		(159,332	)		1,747,156			41,627,708
GMO Opportunistic Income Fund, Class VI		10,403,498		677,987		630,000		677,988		—		(54,420	)		30,485			10,427,550
GMO Quality Cyclicals Fund, Class VI		10,368,785		977,762		933,241		192,189		785,572		104,669			336,582			10,854,557
GMO Quality Fund, Class VI		9,574,699		463,475		1,699,215		115,582		347,892		230,816			2,583,098			11,152,873
GMO Resources Fund, Class VI		—		7,203,525		—		203,524		—		—			(813,928	)		6,389,597
GMO Small Cap Quality Fund, Class VI		10,654,800		1,330,868		2,122,750		32,079		1,298,788		320,199			808,632			10,991,749
GMO U.S. Equity Fund, Class VI		16,671,178		2,147,709		2,086,481		252,545		1,895,163		(410,137	)		2,170,463			18,492,732
GMO U.S. Opportunistic Value Fund, Class VI		23,008,064		1,296,892		1,095,595		552,213		744,678		70,361			2,139,483			25,419,205
GMO U.S. Small Cap Value Fund, Class VI		7,061,808		143,978		781,372		143,978		—		(333,203	)		1,107,328			7,198,539
GMO U.S. Treasury Fund		8,036		1,355,862		761,600		5,633		—		19			(3	)		602,314
Totals	$	339,174,915	$	79,121,646	$	87,335,566	$	14,838,214	$	5,291,162	$	(7,300,402	)	$	31,172,616		$	354,833,209
Global Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	5,208,340	$	334,353	$	1,209,606	$	334,353	$	—	$	(545,904	)	$	1,247,956		$	5,035,139
GMO International Equity Fund, Class IV		26,045,425		1,420,825		10,236,743		1,392,002		—		1,039,656			514,621			18,783,784

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Notes to Financial Statements — (Continued)

February 29, 2024

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Developed Equity Allocation Fund (continued)
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III	$	—	$	6,913,729	$	6,913,729	$	13,729	$	—	$	—		$	—		$	—
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV		—		7,107,790		776,908		129,818		57,029		(15,490	)		396,174			6,711,566
GMO-Usonian Japan Value Creation Fund, Class VI		2,653,243		124,178		412,376		124,178		—		(50,124	)		458,061			2,772,982
GMO Quality Cyclicals Fund, Class VI		3,852,762		347,857		717,031		65,008		276,652		17,157			68,454			3,569,199
GMO Quality Fund, Class VI		9,468,743		427,281		1,567,755		108,178		319,102		170,275			2,484,323			10,982,867
GMO Resources Fund, Class VI		—		2,221,596		199,554		56,596		—		(18,893	)		(226,336	)		1,776,813
GMO Small Cap Quality Fund, Class VI		3,836,577		443,529		1,030,818		10,103		414,520		115,605			228,742			3,593,635
GMO U.S. Equity Fund,
Class VI		4,067,439		500,405		500,251		57,177		443,228		(103,559	)		480,365			4,444,399
GMO U.S. Opportunistic Value Fund, Class VI		10,040,826		676,657		771,160		227,619		313,542		(49,660	)		909,175			10,805,838
GMO U.S. Small Cap Value Fund, Class VI		1,811,524		132,834		—		38,863		—		—			216,912			2,161,270
Totals	$	66,984,879	$	20,651,034	$	24,335,931	$	2,557,624	$	1,824,073	$	559,063		$	6,778,447		$	70,637,492
Global Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	57,572,405	$	15,737,437	$	9,449,941	$	4,729,662	$	—	$	(3,684,952	)	$	13,089,487		$	73,264,436
GMO Emerging Markets Fund, Class VI		66,864,262		21,080,816		13,355,822		5,470,885		—		(7,452,717	)		13,941,373			81,077,912
GMO International Equity Fund, Class IV		193,720,044		30,649,592		90,596,143		9,631,102		—		(9,779,933	)		22,621,275			146,614,835
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		61,305,324		61,390,545		120,785		—		85,221			—			—
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV		—		71,091,934		3,356,752		1,245,401		547,102		115,245			4,036,407			71,886,834

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Notes to Financial Statements — (Continued)

February 29, 2024

Affiliate	Value, beginning of period		Purchases		Sales Proceeds			Dividend Income			Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Equity Allocation Fund (continued)
GMO-Usonian Japan Value Creation Fund, Class VI	$	23,544,917	$	5,434,214	$	3,593,625		$	1,161,514		$	—	$	(368,951	)	$	4,406,148		$	29,422,703
GMO Quality Cyclicals Fund, Class VI		28,770,184		7,377,740		948,356			564,946			2,283,386		83,011			1,491,525			36,774,104
GMO Quality Fund, Class VI		71,537,500		14,293,060		17,075,508			799,851			2,372,224		1,460,330			19,760,000			89,975,382
GMO Resources Fund, Class VI		—		23,954,310		1,662,020			650,223			—		(17,780	)		(2,136,348	)		20,138,162
GMO Small Cap Quality Fund, Class VI		29,750,989		8,654,385		4,804,250			91,346			3,705,588		779,765			2,954,106			37,334,995
GMO U.S. Equity Fund, Class VI		29,699,442		7,725,925		3,363,214			438,568			3,337,357		(759,756	)		4,307,767			37,610,164
GMO U.S. Opportunistic Value Fund, Class VI		70,821,461		16,681,646		6,255,530			1,682,820			2,298,157		198,735			7,464,950			88,911,262
GMO U.S. Small Cap Value Fund, Class VI		17,102,735		3,763,603		1,481,320			377,131			—		(82,065	)		2,336,059			21,639,012
Totals	$	589,383,939	$	287,749,986	$	217,333,026		$	26,964,234		$	14,543,814	$	(19,423,847	)	$	94,272,749		$	734,649,801
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	1,119,668	$	225,802,099	$	223,659,731		$	—	*	$	—	$	37,240		$	2,210		$	3,301,486
International Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	18,016,158	$	2,261,618	$	2,092,416	(a)	$	1,401,783		$	—	$	(704,485	)	$	3,676,706		$	21,157,581
GMO International Equity Fund, Class IV		199,942,022		17,621,125		47,335,598	(b)		13,328,127			—		(2,442,163	)		17,816,912			185,602,298
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		42,961,458		42,961,538	(c)		70,726			—		80			—			—
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV		—		46,480,441		1,186,419			908,960			399,305		92,080			2,471,990			47,858,092
GMO-Usonian Japan Value Creation Fund, Class VI		9,172,729		467,612		358,471			467,612			—		(39,286	)		1,562,541			10,805,125
Totals	$	227,130,909	$	109,792,254	$	93,934,442		$	16,177,208		$	399,305	$	(3,093,774	)	$	25,528,149		$	265,423,096
International Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	39,608,956	$	2,098,079	$	21,340,897		$	1,702,731		$	—	$	(6,932,029	)	$	10,838,423		$	24,272,532

  204

GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 29, 2024

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
International Equity Allocation Fund (continued)
GMO Emerging Markets Fund, Class VI	$	140,917,055	$	11,876,248	$	70,446,834	$	7,611,987	$	—	$	(24,339,085	)	$	31,924,216	$	89,931,600
GMO International Equity Fund, Class IV		291,592,810		15,449,181		178,785,572		10,848,194		—		6,390,042			7,787,720		142,434,181
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		44,242,765		44,288,140		82,765		—		45,375			—		—
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV		—		45,246,967		10,878,792		693,110		304,482		58,048			1,926,963		36,353,186
GMO-Usonian Japan Value Creation Fund, Class VI		19,689,572		1,254,508		10,673,703		583,657		—		(756,507	)		2,860,848		12,374,718
Totals	$	491,808,393	$	120,167,748	$	336,413,938	$	21,522,444	$	304,482	$	(25,534,156	)	$	55,338,170	$	305,366,217
Strategic Opportunities Allocation Fund
GMO Asset Allocation Bond Fund, Class VI	$	—	$	12,660,129	$	445,000	$	390,129	$	—	$	29,076		$	763,092	$	13,007,297
GMO Emerging Country Debt Fund, Class VI		6,386,651		1,749,569		—		799,569		—		—			540,263		8,676,483
GMO Emerging Markets ex-China Fund, Class VI		16,871,485		1,221,308		2,815,000		1,221,308		—		(920,416	)		3,606,068		17,963,445
GMO Emerging Markets Fund, Class VI		16,668,100		1,172,667		3,205,000		1,172,666		—		(1,225,160	)		2,591,664		16,002,271
GMO High Yield Fund, Class VI		—		5,000,000		5,105,758		—		—		105,758			—		—
GMO International Equity Fund, Class IV		24,591,450		7,230,450		2,315,000		2,124,693		—		206,104			1,975,546		31,688,550
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		17,242,935		17,316,106		42,935		—		73,171			—		—
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV		—		16,819,287		—		349,602		153,579		—			1,255,027		18,074,314
GMO-Usonian Japan Value Creation Fund, Class VI		10,075,534		464,199		1,300,000		464,199		—		75,821			1,479,666		10,795,220
GMO Multi-Sector Fixed Income Fund, Class IV		10,765,156		8,200,000		12,270,000		—		—		(1,222,056	)		1,161,366		6,634,466

205  

GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 29, 2024

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Strategic Opportunities Allocation Fund (continued)
GMO Quality Fund, Class VI	$	7,408,770	$	333,465	$	1,200,000	$	82,509	$	250,955	$	154,494		$	1,940,635		$	8,637,364
GMO Resources Fund, Class VI		—		5,145,374		—		145,374		—		—			(581,377	)		4,563,997
GMO Small Cap Quality Fund, Class VI		7,332,851		932,103		730,000		22,436		909,668		111,880			694,794			8,341,628
GMO U.S. Equity Fund, Class VI		9,770,751		1,226,344		955,000		141,676		1,084,667		(104,521	)		1,162,623			11,100,197
GMO U.S. Opportunistic Value Fund, Class VI		16,800,764		947,006		1,035,000		403,233		543,773		78,438			1,540,860			18,332,068
GMO U.S. Treasury Fund		4,095,276		10,175,530		11,000,000		175,531		—		(23,929	)		30,178			3,277,055
Totals	$	130,766,788	$	90,520,366	$	59,691,864	$	7,535,860	$	2,942,642	$	(2,661,340	)	$	18,160,405		$	177,094,355

* Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $79,933 and $169,925 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the year.

^(a)  $3,116,817 was redeemed in-kind.

^(b)  $1,024,828 was redeemed in-kind.

^(c)  $92,511,687 was redeemed in-kind.

11. Subsequent events

Subsequent to February 29, 2024, GMO Benchmark-Free Allocation Fund and GMO Implementation Fund received redemption requests in the amount of $892,772,634 and $807,615,336, respectively.

  206

 

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of GMO Alternative Allocation Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, and GMO Strategic Opportunities Allocation Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (eleven of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 29, 2024, the related statements of operations, of changes in net assets and of cash flows for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 29, 2024, and the results of each of their operations, the changes in each of their net assets and of each of their cash flows for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.

(1) GMO Benchmark-Free Allocation Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund

(2) GMO Benchmark-Free Fund, GMO Strategic Opportunities Allocation Fund

(3) GMO Alternative Allocation Fund, GMO Implementation Fund

(1) Statement of assets and liabilities, including the schedule of investments, as of February 29, 2024, the related statement of operations for the year ended February 29, 2024, the statement of changes in net assets for each of the two years in the period ended February 29, 2024, and the financial highlights for each of the periods indicated therein.

(2) Statement of asset and liabilities, including the schedule of investments, as of February 29, 2024, the related statement of operations and of cash flows for the year ended February 29, 2024, the statement of changes in net assets for each of the two years in the period ended February 29, 2024, and the financial highlights for each of the periods indicated therein.

(3) Consolidated statement of asset and liabilities, including the consolidated schedule of investments, as of February 29, 2024, the related consolidated statement of operations and of cash flows for the year ended February 29, 2024, the consolidated statement of changes in net assets for each of the two years in the period ended February 29, 2024, and the consolidated financial highlights for each of the periods indicated therein.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.

207  

Report of Independent Registered Public Accounting Firm - (Continued)

Our procedures included confirmation of securities owned as of February 29, 2024 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, MA

April 25, 2024

We have served as the auditor of one or more investment companies in the GMO mutual funds complex since 1985.

208

GMO Trust Funds

Fund Expenses

February 29, 2024 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2024.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and supplemental support fees to Class MF and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2023 through February 29, 2024.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value September 1, 2023		Ending Account Value February 29, 2024		Expenses Paid During the Period*		Beginning Account Value September 1, 2023		Ending Account Value February 29, 2024		Expenses Paid During the Period*		Annualized Expense Ratio
Alternative Allocation Fund
Class VI	$	1,000.00	$	1,030.70	$	8.53	$	1,000.00	$	1,016.46	$	8.47		1.69	%
Class R6	$	1,000.00	$	1,029.90	$	9.34	$	1,000.00	$	1,015.66	$	9.27		1.85	%
Class I	$	1,000.00	$	1,028.70	$	9.99	$	1,000.00	$	1,015.02	$	9.92		1.98	%
Benchmark-Free Allocation Fund
Class III	$	1,000.00	$	1,065.90	$	4.26	$	1,000.00	$	1,020.74	$	4.17		0.83	%
Class IV	$	1,000.00	$	1,066.80	$	4.01	$	1,000.00	$	1,020.99	$	3.92		0.78	%
Class MF	$	1,000.00	$	1,066.70	$	4.01	$	1,000.00	$	1,020.99	$	3.92		0.78	%
Class R6	$	1,000.00	$	1,066.60	$	4.26	$	1,000.00	$	1,020.74	$	4.17		0.83	%
Class I	$	1,000.00	$	1,065.90	$	4.78	$	1,000.00	$	1,020.24	$	4.67		0.93	%
Benchmark-Free Fund
Class III	$	1,000.00	$	1,077.50	$	2.43	$	1,000.00	$	1,022.53	$	2.36		0.47	%
Global Asset Allocation Fund
Class III	$	1,000.00	$	1,080.30	$	3.10	$	1,000.00	$	1,021.88	$	3.02		0.60	%
Class R6	$	1,000.00	$	1,080.40	$	3.10	$	1,000.00	$	1,021.88	$	3.02		0.60	%
Class I	$	1,000.00	$	1,079.60	$	3.62	$	1,000.00	$	1,021.38	$	3.52		0.70	%
Global Developed Equity Allocation Fund
Class III	$	1,000.00	$	1,103.50	$	3.56	$	1,000.00	$	1,021.48	$	3.42		0.68	%
Global Equity Allocation Fund
Class III	$	1,000.00	$	1,108.40	$	2.99	$	1,000.00	$	1,022.03	$	2.87		0.57	%
Class R6	$	1,000.00	$	1,108.40	$	2.99	$	1,000.00	$	1,022.03	$	2.87		0.57	%
Class I	$	1,000.00	$	1,108.10	$	3.51	$	1,000.00	$	1,021.53	$	3.37		0.67	%

209

GMO Trust Funds

Fund Expenses — (Continued)

February 29, 2024 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value September 1, 2023		Ending Account Value February 29, 2024		Expenses Paid During the Period*		Beginning Account Value September 1, 2023		Ending Account Value February 29, 2024		Expenses Paid During the Period*		Annualized Expense Ratio
Implementation Fund
Core Class	$	1,000.00	$	1,071.10	$	1.91	$	1,000.00	$	1,023.02	$	1.86		0.37	%
International Developed Equity Allocation Fund
Class III	$	1,000.00	$	1,094.80	$	5.00	$	1,000.00	$	1,020.09	$	4.82		0.96	%
Class R6	$	1,000.00	$	1,094.10	$	5.00	$	1,000.00	$	1,020.09	$	4.82		0.96	%
International Equity Allocation Fund
Class III	$	1,000.00	$	1,110.80	$	4.67	$	1,000.00	$	1,020.44	$	4.47		0.89	%
Class R6	$	1,000.00	$	1,110.40	$	4.67	$	1,000.00	$	1,020.44	$	4.47		0.89	%
Strategic Opportunities Allocation Fund
Class III	$	1,000.00	$	1,089.70	$	4.68	$	1,000.00	$	1,020.39	$	4.52		0.90	%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2024, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

210

GMO Trust Funds

Tax Information for the Tax Year Ended February 29, 2024 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 29, 2024:

Fund Name	Dividend Received Deduction (corporate shareholders)(1)			Qualified Dividend Income (non-corporate shareholders)(1)			U.S. Government Obligation Income(1)(2)			Interest- Related Dividend Income ($)(3)		Short-Term Capital Gain Dividends ($)(3)		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid ($)(4)		Foreign Source Income ($)(4)		Section 199A Dividend Income (non-corporate shareholders) ($)(5)
Alternative Allocation Fund		9.74	%		30.75	%		31.04	%		3,236,606		—		—		—		—		19,736
Benchmark-Free Allocation Fund		7.51	%		43.81	%		21.35	%		48,752,141		—		—		13,645,276		108,401,362		69,720
Benchmark-Free Fund		7.66	%		44.24	%		16.28	%		12,921,723		—		—		—		—		—
Global Asset Allocation Fund		7.59	%		36.11	%		4.82	%		2,059,589		—		—		754,232		7,489,290		12,390
Global Developed Equity Allocation Fund		11.62	%		45.58	%		—			—		—		—		144,503		1,569,055		2,017
Global Equity Allocation Fund		9.81	%		45.31	%		—			—		—		—		2,050,434		20,478,283		20,098
Implementation Fund		7.74	%		45.17	%		20.41	%		46,439,616		—		—		13,645,276		108,401,362		69,720
International Developed Equity Allocation Fund		—			65.82	%		—			—		—		—		955,478		11,680,161		—
International Equity Allocation Fund		—			57.05	%		—			—		—		—		1,665,125		18,650,519		—
Strategic Opportunities Allocation Fund		8.92	%		44.91	%		4.71	%		2,389,747		—		—		654,902		6,025,877		—

⁽¹⁾ Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾ All or a portion of these amounts may be exempt from taxation at the state level.

⁽³⁾ These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds’ shareholders. If applicable, interest-related dividend amounts may include short-term capital gain distributions received from underlying funds.

⁽⁴⁾ The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders. All amounts presented above are based upon net investment income earned.

⁽⁵⁾ The Fund hereby designates the above qualified business incomes under Section 199A of the Code.

In early 2025, the Funds will notify applicable shareholders of amounts for use in preparing 2024 U.S. federal income tax forms.

211

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 29, 2024. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 53 State Street, Suite 3300, Boston, MA 02109. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Ms. Santoro, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant –Law and Business; Author of Legal Treatises.	31	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Professor of Finance (July 1, 2011 - June 30, 2022) and Peter Moores Dean and Professor of Finance (July 1, 2011 – June 30, 2021) University of Oxford, Said Business School; Baker Foundation Professor, Harvard Business School (since July 1, 2022).	31	None
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired	31	Trustee of HIMCO Variable Insurance Trust (27 Portfolios) (April 2014 – April 2019).

212

Interested Trustee and Officer

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held in the Past Five Years
Dina Santoro1 YOB: 1973	Trustee; President of the Trust	Trustee and President since February 2023.	Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); President, Chief Executive Officer, and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (September 2022 – December 2022); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018 – December 2022); Chief Operating Officer, Voya Investment Management (January 2022 – December 2022); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017-December 2022). Formerly, President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018- September 2022); Director, Voya Funds Services, LLC (March 2018- September 2022).	31	Voya Separate Portfolios Trust (July 2018 – December 2022).

¹  Ms. Santoro is an “interested person” of the Trust, as such term is used in the 1940 Act (as “Interested Trustee”), by virtue of her positions with the Trust and GMO indicated in the table above.

Officers

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Dina Santoro YOB: 1973	Trustee; President of the Trust	Trustee and President since February 2023.	Chief Operating Officer, Grantham, Mayo, Van Otterloo & Co. LLC (February 2023 – Present); President, Chief Executive Officer, and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (September 2022 – December 2022); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018 – December 2022); Chief Operating Officer, Voya Investment Management (January 2022 – December 2022); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017 - December 2022). Formerly, President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018 - September 2022); Director, Voya Funds Services, LLC (March 2018 - September 2022).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020.	Head of Fund Reporting, Risk and Controls and Proxy Voting (October 2021 - present), Grantham, Mayo, Van Otterloo & Co. LLC; Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 – present).

213

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Head of Tax, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 - present); Head of Fund Tax, Grantham, Mayo, Van Otterloo & Co. LLC (2018 - 2020).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Treasury and Payables Manager, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 – present); Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – November 2020).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President-Law and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present); Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

* Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

214

AR-022924-AA

Item 2. Code of Ethics.

As of February 29, 2024, the registrant has adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002 (the “Code of Ethics”). During the year ended February 29, 2024 there were no substantive amendments to a provision of the Code of Ethics nor were there any waivers granted from a provision of the Code of Ethics. A copy of the Code of Ethics is filed with this Form N-CSR under item 12 (a).

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that the registrant does not have an “audit committee financial expert” (as such term has been defined in Form N-CSR) serving on its audit committee. The registrant’s Board believes that, although none of its members individually meets all required elements of the definition of an “audit committee financial expert”, the members of the registrant’s audit committee collectively possess the knowledge and experience necessary to execute all of the audit committee’s functions, duties and powers.

Item 4. Principal Accountant Fees and Services. *

(a) AUDIT FEES: The aggregate fees billed to the registrant for professional services rendered by its independent auditors, PricewaterhouseCoopers LLP for the audit of the registrant’s annual financial statements for 2024 and 2023 were $1,558,243 and $1,632,394, respectively.

(b) AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2024 and 2023 for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $30,420 and $28,518, respectively. The aggregate fees billed in 2024 and 2023 to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provides ongoing services to the Funds (each, a “Service Affiliate”) for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $402,790 and $423,269, respectively.

(c) TAX FEES: The aggregate fees billed to the registrant in 2024 and 2023 for professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice, and tax planning, including the preparation of Form 1120 RIC, Form 8613 and review of excise tax distribution calculations, were $883,302 and $741,910, respectively. The aggregate fees billed in 2024 and 2023 to the registrant’s Service Affiliates for engagements for tax services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $0 and $0, respectively.

(d) ALL OTHER FEES: No such fees were billed by PricewaterhouseCoopers LLP to the registrant or to the registrant’s Service Affiliates that related directly to the operations and financial reporting of the Funds in 2024 and 2023.

(e) (1) The Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services to be performed by the independent auditor are to be preapproved. Under the Policy, the Audit Committee pre-approves, on an annual basis, the following services: (1) the engagement, scope and terms of the annual audit; (2) certain audit-related services; (3) certain tax services that the Committee believes would not impair, and are consistent with the SEC’s rules on auditor independence; and (4) certain permissible non-audit services that the Committee believes are routine and recurring services and that would not impair, and are consistent with the SEC’s rules on auditor independence, subject to certain limitations on the projected fees associated with each service. All other types of services not included on the schedule to the policy, or for which the projected fees exceed those provided in the schedule, require the specific pre-approval by the Audit Committee or the Chairperson of the Committee (if timing necessitates that preapproval is required before the Committee’s next regularly scheduled meeting) if they are to be provided by the independent auditor.

(e) (2) None.

(f) Not applicable.

(g) NON-AUDIT FEES: The aggregate fees billed by PricewaterhouseCoopers LLP in 2024 and 2023 for non-audit services rendered to the registrant and the registrant’s Service Affiliates were $1,351,512 and $1,228,697, respectively. For the fiscal year ended February 29, 2024, this amount reflects the amounts disclosed above in Item 4(b), (c), (d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds. For the fiscal year ended February 28, 2023, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

(h) The registrant’s Audit Committee has considered whether the provision of non-audit services by the registrant’s independent registered public accounting firm to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm.

* Includes information regarding all series of GMO Trust.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 13. Exhibits.

(a)(1) Code of Ethics described in Item 2 is attached hereto as EX-99.CODEETH.

(a)(2) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.

(a)(3) Not applicable to this registrant.

(b) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Tara Pari
	Tara Pari, Chief Executive Officer
	Date: May 2, 2024

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):	/s/ Tara Pari
	Tara Pari, Principal Executive Officer
	Date: May 2, 2024
By (Signature and Title):	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer
	Date: May 2, 2024