GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 96.2%
		U.S. Government — 96.2%
	23,995,645	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a)		24,048,989
	45,824,821	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (a)		46,997,749
	48,983,747	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)		49,571,204
	29,935,996	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a)		30,648,444
	53,887,087	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		60,447,986
	14,069,302	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (a)		14,769,427
	20,066,123	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (a)		21,289,378
	42,844,434	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		51,624,533
		Total U.S. Government		299,397,710
		TOTAL DEBT OBLIGATIONS (COST $290,522,795)		299,397,710
		MUTUAL FUNDS — 3.4%
		United States — 3.4%
		Affiliated Issuers — 3.4%
	2,156,209	GMO U.S. Treasury Fund		10,781,046
		TOTAL MUTUAL FUNDS (COST $10,781,078)		10,781,046
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	278,486	State Street Institutional Treasury Money Market Fund-Premier Class, 1.58% (b)		278,486
		TOTAL SHORT-TERM INVESTMENTS (COST $278,486)		278,486
		TOTAL INVESTMENTS — 99.7% (Cost $301,582,359)		310,457,242
		Other Assets and Liabilities (net) — 0.3%		847,304
		TOTAL NET ASSETS — 100.0%		$311,304,546

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2019.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 43.5%
		United States — 43.5%
		Asset-Backed Securities — 7.6%
	294,565	Bear Stearns Commercial Mortgage Securities Trust, Series 05-PW10, Class AJ, Variable Rate, 5.59%, due 12/11/40		299,592
	28,970,000	Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31		30,229,934
	2,210,000	Commercial Mortgage Trust, Series 13-WWP, Class B, 144A, 3.73%, due 03/10/31		2,324,862
	2,900,000	Commercial Mortgage Trust, Series 13-WWP, Class C, 144A, 3.54%, due 03/10/31		3,032,790
	5,360,000	Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31		5,662,308
	375,000	Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33		382,926
	100,000	Morgan Stanley Capital I Trust, Series 14-MP, Class C, 144A, Variable Rate, 3.69%, due 08/11/33		102,499
	5,000,000	Morgan Stanley Capital I Trust, Series 14-MP, Class E, 144A, Variable Rate, 3.69%, due 08/11/33		5,124,221
				47,159,132
		U.S. Government — 21.0%
	7,407,000	U.S. Treasury Bond, 3.75%, due 11/15/43		9,564,867
	23,800,000	U.S. Treasury Bond, 3.38%, due 05/15/44 (a)		29,110,375
	27,733,000	U.S. Treasury Note, 1.75%, due 11/30/21		27,789,333
	22,406,000	U.S. Treasury Note, 2.50%, due 05/15/24		23,230,471
	27,877,000	U.S. Treasury Note, 2.00%, due 08/15/25		28,348,513
	12,000,000	U.S. Treasury Note, 2.25%, due 08/15/49		12,105,469
				130,149,028
		U.S. Government Agency — 14.9%
	19,280,000	Federal National Mortgage Association, TBA, 2.50%, due 12/17/34		19,444,799
	17,710,000	Federal National Mortgage Association, TBA, 3.00%, due 12/12/49		17,959,047
	15,520,000	Federal National Mortgage Association, TBA, 3.50%, due 12/12/49		15,931,038
	17,740,000	Federal National Mortgage Association, TBA, 4.00%, due 12/12/49		18,405,250
	20,320,000	Government National Mortgage Association, TBA, 3.50%, due 12/19/49		20,996,678
				92,736,812
		TOTAL DEBT OBLIGATIONS (COST $263,514,889)		270,044,972

	Shares / Par Value†		Description	Value ($)
			MUTUAL FUNDS — 44.9%
			United States — 44.9%
			Affiliated Issuers — 29.2%
		1,293,541	GMO Emerging Country Debt Fund, Class IV		35,947,500
		5,179,318	GMO Opportunistic Income Fund, Class VI		139,271,856
		1,246,729	GMO U.S. Treasury Fund		6,233,645
					181,453,001
			Exchange-Traded Fund — 15.7%
		758,862	iShares iBoxx $ Investment Grade Corporate Bond ETF		97,111,570
			TOTAL MUTUAL FUNDS (COST $270,195,241)		278,564,571
			SHORT-TERM INVESTMENTS — 25.1%
			Foreign Government Obligations — 24.9%
CAD		13,300,000	Canadian Treasury Bill, Zero Coupon, due 01/09/20		9,994,274
JPY		4,062,500,000	Japan Treasury Discount Bill, Zero Coupon, due 12/09/19		37,128,247
JPY		5,600,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/16/19		51,181,331
JPY		3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/08/20		30,164,376
JPY		1,611,500,000	Japan Treasury Discount Bill, Zero Coupon, due 02/03/20		14,732,735
JPY		1,223,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/25/20		11,182,855
					154,383,818
			Money Market Funds — 0.2%
		1,168,077	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (b)		1,168,077
			TOTAL SHORT-TERM INVESTMENTS (COST $157,598,175)		155,551,895
			TOTAL INVESTMENTS — 113.5% (Cost $691,308,305)		704,161,438
			Other Assets and Liabilities (net) — (13.5%)		(83,872,518	)
			TOTAL NET ASSETS — 100.0%		$620,288,920

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depre- ciation) ($)
02/06/2020	MSCI	AUD	38,476,000	USD	26,511,188	441,707
02/04/2020	CITI	BRL	2,138,650	USD	500,000	(3,678)
02/04/2020	JPM	BRL	5,562,648	USD	1,386,330	76,260
12/04/2019	CITI	CAD	3,330,272	USD	2,500,000	(7,168)
12/04/2019	MSCI	CAD	2,391,386	USD	1,800,000	(336)
01/09/2020	JPM	CAD	13,300,000	USD	10,007,677	(8,964)
02/04/2020	MSCI	CHF	18,962,988	USD	19,140,806	73,937
02/18/2020	JPM	CHF	25,929,271	USD	26,420,023	323,627
02/18/2020	MSCI	CHF	2,845,296	USD	2,900,000	36,365
01/09/2020	MSCI	CLP	2,808,727,800	USD	3,921,983	420,152
01/09/2020	JPM	COP	13,468,633,500	USD	3,901,125	79,853
12/13/2019	BCLY	CZK	6,609,974	USD	280,000	(5,094)
12/13/2019	BOA	CZK	56,565,015	USD	2,404,464	(35,239)
01/27/2020	MSCI	EUR	3,760,000	USD	4,184,643	25,205
12/13/2019	BOA	HUF	1,159,457,278	USD	3,852,018	30,980
01/09/2020	JPM	INR	57,100,800	USD	800,000	6,739
01/09/2020	MSCI	INR	127,932,900	USD	1,780,000	2,718
12/09/2019	CITI	JPY	148,815,825	USD	1,370,000	9,557
12/09/2019	GS	JPY	258,739,010	USD	2,390,000	24,662
12/09/2019	JPM	JPY	4,062,500,000	USD	38,193,312	1,054,791
12/09/2019	MSCI	JPY	131,390,911	USD	1,210,000	8,852
12/16/2019	BOA	JPY	5,600,000,000	USD	52,123,425	898,530
01/08/2020	GS	JPY	3,300,000,000	USD	30,760,655	512,496
02/03/2020	JPM	JPY	1,611,500,000	USD	14,945,764	152,811
02/25/2020	MSCI	JPY	1,223,000,000	USD	11,323,660	83,250
12/09/2019	BCLY	KRW	3,117,215,890	USD	2,613,923	(24,926)
12/09/2019	MSCI	KRW	456,843,270	USD	390,000	3,264
02/21/2020	MSCI	MXN	10,281,791	USD	520,000	483
12/04/2019	JPM	NOK	15,502,911	USD	1,690,000	8,694
02/07/2020	GS	NZD	6,411,000	USD	4,039,503	(80,573)
02/07/2020	MSCI	NZD	5,720,000	USD	3,617,709	(58,292)
12/06/2019	CITI	PHP	14,695,750	USD	290,000	882
12/06/2019	JPM	PHP	27,338,450	USD	524,227	(13,618)
12/13/2019	BOA	PLN	13,836,983	USD	3,510,920	(23,051)
12/13/2019	CITI	PLN	2,749,841	USD	700,000	(2,311)
01/30/2020	BOA	RON	15,789,640	USD	3,676,198	47,754
12/06/2019	JPM	SEK	27,087,669	USD	2,810,000	(19,047)
02/18/2020	GS	SGD	757,844	USD	556,458	1,878
12/13/2019	MSCI	THB	22,078,850	USD	730,000	(771)
01/21/2020	BCLY	TRY	7,673,098	USD	1,300,000	(17,647)
01/21/2020	CITI	TRY	2,055,062	USD	350,000	(2,901)
01/21/2020	MSCI	TRY	4,599,459	USD	790,000	167
01/10/2020	JPM	TWD	31,680,595	USD	1,034,468	(5,918)
12/04/2019	BOA	USD	950,000	CAD	1,259,100	(2,097)
12/04/2019	JPM	USD	36,639,356	CAD	48,808,336	105,609
12/04/2019	MSCI	USD	3,150,000	CAD	4,124,846	(44,643)
12/13/2019	BCLY	USD	690,000	CZK	15,893,501	(4,498)
12/13/2019	CITI	USD	1,390,000	CZK	31,985,890	(10,418)
02/18/2020	MSCI	USD	2,731,716	GBP	2,121,000	18,834
02/25/2020	JPM	USD	1,434,697	IDR	20,435,819,000	(935)
02/28/2020	MSCI	USD	1,798,802	ILS	6,192,196	(7,999)
01/09/2020	MSCI	USD	1,762,545	INR	126,356,830	(7,158)
12/09/2019	BCLY	USD	2,070,000	JPY	221,630,677	(43,899)
12/09/2019	BOA	USD	1,560,000	JPY	167,655,540	(27,328)
12/09/2019	JPM	USD	9,173,327	JPY	982,438,671	(192,080)
12/09/2019	MSCI	USD	2,720,000	JPY	294,326,729	(29,327)
12/09/2019	BOA	USD	480,000	KRW	571,392,000	3,706
12/09/2019	JPM	USD	780,000	KRW	912,857,400	(7,229)
12/09/2019	MSCI	USD	530,000	KRW	622,750,000	(2,817)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depre- ciation) ($)
02/21/2020	MSCI	USD	3,604,564	MXN	70,851,308	(24,601)
12/04/2019	BCLY	USD	2,460,000	NOK	22,364,598	(34,538)
12/04/2019	JPM	USD	13,241,766	NOK	120,222,585	(203,510)
12/04/2019	MSCI	USD	2,170,000	NOK	19,574,702	(47,105)
02/10/2020	BCLY	USD	8,612,578	NOK	78,277,566	(118,797)
02/10/2020	MSCI	USD	7,640,000	NOK	69,708,133	(76,075)
02/07/2020	MSCI	USD	14,839,403	NZD	23,140,000	31,689
01/10/2020	JPM	USD	740,135	PEN	2,509,048	(3,867)
12/13/2019	CITI	USD	370,000	PLN	1,421,618	(6,918)
12/13/2019	GS	USD	550,000	PLN	2,101,689	(13,228)
12/13/2019	JPM	USD	460,000	PLN	1,793,924	(1,831)
01/22/2020	MSCI	USD	3,724,127	RUB	240,058,690	(15,388)
12/06/2019	BCLY	USD	8,891,882	SEK	85,257,811	12,479
02/03/2020	MSCI	USD	3,040,417	SEK	29,909,803	94,549
12/13/2019	BOA	USD	3,866,242	THB	118,113,692	43,113
01/21/2020	BCLY	USD	2,695,820	TRY	16,424,281	124,606
01/30/2020	GS	USD	500,000	ZAR	7,462,173	5,240
01/30/2020	MSCI	ZAR	21,656,618	USD	1,471,008	4,708
						$      3,534,327

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
52	U.S. Long Bond (CBT)	March 2020		8,266,375		(5,686	)
202	U.S. Treasury Note 2 Yr. (CBT)	March 2020		43,548,359		(4,446	)
386	U.S. Treasury Note 5 Yr. (CBT)	March 2020		45,921,938		(14,267	)
206	U.S. Treasury Ultra 10 Yr. (CBT)	March 2020		29,297,063		(42,344	)
21	U.S. Treasury Note 10 Yr. (CBT)	March 2020		2,716,547		(3,261	)
12	U.S. Ultra Bond (CBT)	March 2020		2,252,625		7,893
			$	132,002,907	$	(62,111	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.30%	6 Month AUD BBSW	AUD	6,160,000		12/18/2029	Semi-Annually		—			(37,766	)		(37,766	)
1.35%	6 Month AUD BBSW	AUD	92,910,000		12/18/2029	Semi-Annually		102,856			(872,438	)		(975,294	)
1.45%	6 Month AUD BBSW	AUD	76,650,000		12/18/2029	Semi-Annually		(78,330	)		(1,219,403	)		(1,141,073	)
6 Month CHF LIBOR	(0.08)%	CHF	71,020,000		12/18/2029	Semi-Annually		11,272			1,297,511			1,286,239
(0.25)%	6 Month CHF LIBOR	CHF	5,750,000		12/18/2029	Semi-Annually		—			(2,954	)		(2,954	)
1.33%	3 Month NZD Bank Bill Rate	NZD	5,970,000		12/18/2029	Quarterly		—			57,441			57,441
3 Month NZD Bank Bill Rate	1.54%	NZD	10,320,000		12/18/2029	Quarterly		(320	)		30,756			31,076
1.48%	3 Month NZD Bank Bill Rate	NZD	26,020,000		12/18/2029	Quarterly		—			21,220			21,220
3 Month NZD Bank Bill Rate	1.35%	NZD	25,380,000		12/18/2029	Quarterly		—			(213,369	)		(213,369	)
3 Month NZD Bank Bill Rate	1.15%	NZD	9,250,000		12/18/2029	Quarterly		(3,465	)		(190,118	)		(186,653	)
3 Month NZD Bank Bill Rate	1.45%	NZD	12,180,000		12/18/2029	Quarterly		(111	)		(25,467	)		(25,356	)
3 Month NZD Bank Bill Rate	1.39%	NZD	6,220,000		12/18/2029	Quarterly		—			(37,181	)		(37,181	)
3 Month NZD Bank Bill Rate	1.48%	NZD	10,280,000		12/18/2029	Quarterly		—			(6,823	)		(6,823	)
3 Month SEK STIBOR	0.62%	SEK	339,700,000		12/18/2029	Quarterly		16,065			164,829			148,764
0.90%	6 Month GBP LIBOR	GBP	12,210,000		12/19/2029	Semi-Annually		(7,449	)		23,663			31,112
0.84%	6 Month GBP LIBOR	GBP	8,270,000		12/19/2029	Semi-Annually		—			83,354			83,354
0.88%	6 Month GBP LIBOR	GBP	2,590,000		12/19/2029	Semi-Annually		—			12,967			12,967
0.87%	6 Month GBP LIBOR	GBP	2,590,000		12/19/2029	Semi-Annually		—			14,751			14,751
6 Month GBP LIBOR	0.88%	GBP	5,250,000		12/19/2029	Semi-Annually		—			(23,326	)		(23,326	)
1.00%	6 Month GBP LIBOR	GBP	5,290,000		12/19/2029	Semi-Annually		—			(56,004	)		(56,004	)
1.68%	3 Month USD LIBOR	USD	6,535,000		12/19/2029	Quarterly		—			14,428			14,428
1.69%	3 Month USD LIBOR	USD	6,535,000		12/19/2029	Quarterly		—			7,748			7,748
3 Month USD LIBOR	1.71%	USD	2,700,000		12/19/2029	Quarterly		—			2,319			2,319
1.72%	3 Month USD LIBOR	USD	39,672,000		12/19/2029	Quarterly		29,464			(61,728	)		(91,192	)
1.72%	3 Month USD LIBOR	USD	6,658,000		12/19/2029	Quarterly		—			(9,741	)		(9,741	)
1.71%	3 Month USD LIBOR	USD	3,910,000		12/19/2029	Quarterly		—			(815	)		(815	)
1.77%	3 Month USD LIBOR	USD	4,020,000		12/19/2029	Quarterly		—			(24,561	)		(24,561	)
1.78%	3 Month USD LIBOR	USD	2,810,000		12/19/2029	Quarterly		—			(20,563	)		(20,563	)
3 Month CAD LIBOR	1.91%	CAD	59,480,000		03/18/2030	Semi-Annually		(17,981	)		(16,218	)		1,763
3 Month CAD LIBOR	1.88%	CAD	57,780,000		03/18/2030	Semi-Annually		—			(135,810	)		(135,810	)
6 Month CHF LIBOR	(0.21)%	CHF	3,250,000		03/18/2030	Semi-Annually		—			9,408			9,408
6 Month CHF LIBOR	(0.18)%	CHF	38,260,000		03/18/2030	Semi-Annually		—			213,221			213,221
3 Month NZD Bank Bill Rate	1.50%	NZD	26,130,000		03/18/2030	Quarterly		—			(23,569	)		(23,569	)
6 Month EURIBOR	0.11%	EUR	10,910,000		03/20/2030	Semi-Annually		13,437			28,853			15,416
0.90%	6 Month GBP LIBOR	GBP	64,370,000		03/20/2030	Semi-Annually		—			166,591			166,591
1.65%	3 Month USD LIBOR	USD	7,170,000		03/20/2030	Quarterly		—			36,316			36,316
							$	65,438		$	(792,478	)	$	(857,916	)

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

As of November 30, 2019, 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.

(b) The rate disclosed is the 7 day net yield as of November 30, 2019.

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

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.

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

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

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

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

TBA - To Be Announced - Delayed Delivery Security

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 94.2%
		Albania — 1.0%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		41,747,887
		Angola — 0.3%
		Foreign Government Obligations
	12,700,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		13,001,625
		Argentina — 2.7%
		Foreign Government Obligations
	5,400,000	Republic of Argentina, 7.50%, due 04/22/26		2,346,300
	23,100,000	Republic of Argentina, 6.88%, due 01/26/27		9,424,800
EUR	12,000,000	Republic of Argentina, 5.25%, due 01/15/28		4,944,877
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c)		949,626
	8,600,000	Republic of Argentina, 7.63%, due 04/22/46		3,633,500
	22,700,000	Republic of Argentina, 7.13%, due 06/28/2117		9,292,813
EUR	17,641,371	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		8,820,627
	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		19,234,756
	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		4,649,759
EUR	80,830,000	Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38		33,975,806
EUR	39,850,000	Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38		16,991,900
		Total Argentina		114,264,764
		Armenia — 0.1%
		Foreign Government Obligations
	2,195,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		2,555,803
		Azerbaijan — 0.7%
		Foreign Government Agency — 0.2%
	7,450,000	Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26		8,807,390
		Foreign Government Obligations — 0.5%
	7,200,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		7,866,000
	13,100,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		14,311,750
				22,177,750
		Total Azerbaijan		30,985,140

Par Value†		Description	Value ($)
		Bahrain — 1.1%
		Foreign Government Obligations
	19,500,000	Bahrain Government International Bond, 144A, 5.63%, due 09/30/31		20,312,565
	22,550,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		26,517,391
		Total Bahrain		46,829,956
		Belarus — 0.1%
		Foreign Government Obligations
	3,700,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30		3,923,156
		Belize — 0.5%
		Foreign Government Obligations
	35,228,000	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		21,257,896
		Bermuda — 0.1%
		Foreign Government Obligations
	4,300,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		4,841,531
		Brazil — 1.8%
		Corporate Debt — 0.5%
	19,000,000	MV24 Capital BV, 144A, 6.75%, due 06/01/34		19,574,632
		Foreign Government Agency — 0.5%
	17,039,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		19,011,605
		Foreign Government Obligations — 0.8%
	16,897,000	Republic of Brazil, 7.13%, due 01/20/37		21,416,948
	15,000,000	Republic of Brazil, 4.75%, due 01/14/50		14,538,750
				35,955,698
		Total Brazil		74,541,935
		Cameroon — 0.1%
		Foreign Government Obligations
	4,500,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		4,917,656
		Chile — 1.5%
		Foreign Government Agency — 0.6%
	8,800,000	Corp Nacional del Cobre de Chile, Reg S, 4.25%, due 07/17/42		9,270,250
	18,800,000	Corp Nacional del Cobre de Chile, 144A, 3.70%, due 01/30/50		18,191,264
				27,461,514
		Corporate Debt — 0.9%
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 (c)		27,656,905

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Chile — continued
		Corporate Debt — continued
	4,300,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		4,756,875
	3,600,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		3,628,575
				36,042,355
		Total Chile		63,503,869
		Colombia — 1.6%
		Foreign Government Agency — 1.2%
	40,011,000	Ecopetrol SA, 7.38%, due 09/18/43		53,077,092
		Foreign Government Obligations — 0.4%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		763,072
	3,800,000	Colombia Government International Bond, 11.85%, due 03/09/28 (c)		6,042,000
	7,800,000	Colombia Government International Bond, 5.63%, due 02/26/44		9,572,062
				16,377,134
		Total Colombia		69,454,226
		Congo Republic (Brazzaville) — 1.5%
		Foreign Government Obligations
	72,676,938	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		62,865,551
		Costa Rica — 1.7%
		Foreign Government Agency — 0.2%
	10,800,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		8,974,125
		Foreign Government Obligations — 1.5%
	26,400,000	Costa Rica Government International Bond, Reg S, 9.20%, due 08/26/26		30,219,441
	34,431,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		34,710,752
				64,930,193
		Total Costa Rica		73,904,318
		Dominican Republic — 2.0%
		Asset-Backed Securities — 0.4%
	17,115,806	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		18,335,307
		Foreign Government Obligations — 1.6%
	17,687,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		21,174,655
	29,811,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		32,745,520
	11,900,000	Dominican Republic International Bond, 144A, 6.40%, due 06/05/49		12,498,719
				66,418,894
		Total Dominican Republic		84,754,201

Par Value†		Description	Value ($)
		Ecuador — 2.0%
		Foreign Government Obligations
	10,700,000	Ecuador Government International Bond, Reg S, 9.63%, due 06/02/27		8,774,000
	34,000,000	Ecuador Government International Bond, Reg S, 8.88%, due 10/23/27		27,285,000
	36,000,000	Ecuador Government International Bond, Reg S, 10.75%, due 01/31/29		30,318,750
	22,900,000	Ecuador Government International Bond, 144A, 9.50%, due 03/27/30 (d)		18,835,250
		Total Ecuador		85,213,000
		Egypt — 1.2%
		Foreign Government Obligations
	24,000,000	Egypt Government International Bond, Reg S, 7.90%, due 02/21/48		24,157,500
	23,400,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		25,111,125
		Total Egypt		49,268,625
		El Salvador — 0.8%
		Foreign Government Obligations
	26,275,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		28,418,055
	5,300,000	El Salvador Government International Bond, 144A, 7.12%, due 01/20/50		5,379,500
		Total El Salvador		33,797,555
		Ethiopia — 0.1%
		Foreign Government Obligations
	4,190,000	Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24		4,392,953
		Gabon — 0.4%
		Foreign Government Obligations
	15,300,000	Gabonese Republic, Reg S, 6.38%, due 12/12/24		15,280,875
		Ghana — 0.9%
		Foreign Government Agency — 0.4%
	13,514,814	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		14,764,935
		Foreign Government Obligations — 0.5%
	17,482,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30		21,765,090
		Total Ghana		36,530,025
		Greece — 0.2%
		Foreign Government Obligations
EUR	5,800,000	Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36		7,805,855

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Grenada — 0.1%
		Foreign Government Obligations
	6,674,752	Grenada Government International Bond, Reg S, Step Up, 7.00%, due 05/12/30		6,341,014
		Guatemala — 0.6%
		Foreign Government Obligations
	17,765,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		23,716,275
		Honduras — 0.2%
		Foreign Government Obligations
	6,646,000	Honduras Government International Bond, Reg S, 6.25%, due 01/19/27		7,144,450
		India — 0.1%
		Corporate Debt
	3,700,000	Delhi International Airport Ltd., 144A, 6.45%, due 06/04/29		3,968,250
		Indonesia — 5.3%
		Foreign Government Agency — 1.6%
	18,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		23,143,750
	8,100,000	Pertamina Persero PT, Reg S, 5.63%, due 05/20/43		9,320,062
	8,800,000	Pertamina Persero PT, Reg S, 6.50%, due 11/07/48		11,431,750
	6,100,000	Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48		7,592,594
	14,200,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		18,069,500
				69,557,656
		Foreign Government Obligations — 3.7%
	12,200,000	Indonesia Government International Bond, 4.75%, due 02/11/29		13,877,500
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		58,092,054
	28,780,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42		34,365,119
	18,200,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47		22,295,000
	24,000,000	Indonesia Government International Bond, 4.35%, due 01/11/48		26,340,000
				154,969,673
		Total Indonesia		224,527,329
		Iraq — 0.3%
		Foreign Government Obligations
	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		14,479,688

Par Value†		Description	Value ($)
		Israel — 1.1%
		Foreign Government Agency
JPY	2,500,000,000	Israel Electric Corp., Ltd., 4.10%, due 01/14/32 (c)		28,776,732
	12,323,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		17,375,430
		Total Israel		46,152,162
		Ivory Coast — 0.6%
		Foreign Government Obligations
EUR	24,500,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		26,167,398
		Jamaica — 0.7%
		Foreign Government Agency — 0.1%
	4,000,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		4,800,000
		Foreign Government Obligations — 0.6%
	20,675,000	Jamaica Government International Bond, 7.88%, due 07/28/45		27,084,250
		Total Jamaica		31,884,250
		Jordan — 0.5%
		Foreign Government Obligations
	21,450,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		22,254,375
		Kazakhstan — 1.4%
		Foreign Government Agency — 0.7%
	9,000,000	Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42		12,000,938
	14,700,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		18,639,600
				30,640,538
		Foreign Government Obligations — 0.7%
	21,299,000	Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45		30,936,797
		Total Kazakhstan		61,577,335
		Kenya — 0.6%
		Foreign Government Obligations
	24,800,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		25,396,750
		Lebanon — 0.2%
		Foreign Government Obligations
	15,000,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27		6,764,063
		Malaysia — 0.2%
		Foreign Government Agency
	7,700,000	1MDB Global Investments Ltd, Reg S, 4.40%, due 03/09/23		7,430,500

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Mexico — 9.0%
		Foreign Government Agency — 5.0%
	66,551,000	Petroleos Mexicanos, 6.35%, due 02/12/48		62,792,952
	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49		5,936,000
	131,800,000	Petroleos Mexicanos, 144A, 7.69%, due 01/23/50		141,289,600
				210,018,552
		Foreign Government Obligations — 4.0%
	85,178,000	United Mexican States, 5.75%, due 10/12/2110		98,833,098
GBP	50,396,000	United Mexican States, 5.63%, due 03/19/2114		71,979,993
				170,813,091
		Total Mexico		380,831,643
		Morocco — 0.4%
		Foreign Government Agency
	14,500,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		18,147,656
		Mozambique — 0.1%
		Foreign Government Obligations
	5,876,000	Mozambique International Bond, Reg S, 5.00%, due 09/15/31		5,354,505
		Nigeria — 0.4%
		Foreign Government Obligations
	7,200,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		7,031,250
	10,750,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		10,131,875
		Total Nigeria		17,163,125
		Oman — 2.4%
		Foreign Government Obligations
	33,800,000	Oman Government International Bond, 144A, 6.00%, due 08/01/29		33,958,437
	15,000,000	Oman Government International Bond, Reg S, 6.50%, due 03/08/47		14,039,063
	57,300,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		54,309,656
		Total Oman		102,307,156
		Pakistan — 0.9%
		Foreign Government Obligations
	39,562,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		40,093,614
		Panama — 1.1%
		Foreign Government Agency — 0.4%
	12,900,000	Aeropuerto Internacional de Tocumen SA, Reg S, 6.00%, due 11/18/48		15,970,200

Par Value†		Description	Value ($)
		Panama — continued
		Foreign Government Obligations — 0.7%
	7,951,000	Panama Government International Bond, 8.13%, due 04/28/34		11,254,640
	11,500,000	Panama Government International Bond, 4.30%, due 04/29/53		13,268,125
	4,200,000	Panama Notas del Tesoro, 144A, 3.75%, due 04/17/26		4,392,150
				28,914,915
		Total Panama		44,885,115
		Papua New Guinea — 0.0%
		Foreign Government Obligations
	1,400,000	Papua New Guinea Government International Bond, Reg S, 8.38%, due 10/04/28		1,479,188
		Paraguay — 0.1%
		Foreign Government Obligations
	3,000,000	Republic of Paraguay, Reg S, 6.10%, due 08/11/44		3,600,000
		Peru — 1.1%
		Foreign Government Agency — 1.0%
	11,796,726	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 (c)		11,040,438
	25,895,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		29,560,761
				40,601,199
		Foreign Government Obligations — 0.1%
	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (c)		5,010,662
		Total Peru		45,611,861
		Philippines — 2.5%
		Foreign Government Agency
	4,700,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		10,613,219
	23,300,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		31,757,900
	42,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		61,875,799
		Total Philippines		104,246,918
		Qatar — 0.3%
		Foreign Government Obligations
	11,000,000	Qatar Government International Bond, Reg S, 5.10%, due 04/23/48		14,086,875
		Romania — 0.1%
		Foreign Government Obligations
EUR	3,400,000	Romanian Government International Bond, Reg S, 4.63%, due 04/03/49		4,647,529

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Russia — 3.8%
		Foreign Government Agency — 1.1%
	19,367,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		28,396,863
	15,700,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22		16,558,594
				44,955,457
		Foreign Government Obligations — 2.7%
	49,600,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35		58,453,600
	8,800,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35		10,370,800
	38,000,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		46,692,500
				115,516,900
		Total Russia		160,472,357
		Rwanda — 0.1%
		Foreign Government Obligations
	5,487,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		5,816,220
		Saudi Arabia — 1.8%
		Corporate Debt — 0.4%
	17,900,000	ACWA Power Management And Investments One Ltd, Reg S, 5.95%, due 12/15/39		18,938,648
		Foreign Government Obligations — 1.4%
	21,000,000	Saudi Government International Bond, Reg S, 5.00%, due 04/17/49		25,101,562
	26,100,000	Saudi Government International Bond, Reg S, 5.25%, due 01/16/50		32,323,219
				57,424,781
		Total Saudi Arabia		76,363,429
		Senegal — 0.4%
		Foreign Government Obligations
	17,400,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		16,959,563
		South Africa — 2.2%
		Foreign Government Agency — 0.5%
	9,100,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		9,122,750
	8,500,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		9,049,844
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,752,107
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,253,300
				22,178,001

Par Value†		Description	Value ($)
		South Africa — continued
		Foreign Government Obligations — 1.7%
	21,700,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		20,913,375
	51,200,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		48,851,456
				69,764,831
		Total South Africa		91,942,832
		Sri Lanka — 1.1%
		Foreign Government Obligations
	9,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		8,931,675
	10,844,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		9,785,300
	14,500,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28		13,268,588
	14,900,000	Sri Lanka Government International Bond, 144A, 7.55%, due 03/28/30		14,129,744
		Total Sri Lanka		46,115,307
		SupraNational — 0.4%
		Corporate Debt
TRY	263,000,000	International Finance Corp., Zero Coupon, Reg S, due 02/15/29		16,803,369
		Suriname — 0.3%
		Foreign Government Obligations
	16,178,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26		12,869,599
		Tajikistan — 0.2%
		Foreign Government Obligations
	10,770,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		8,693,409
		Thailand — 0.1%
		Foreign Government Agency
	3,800,000	PTTEP Treasury Center Co Ltd, 144A, 3.90%, due 12/06/59		3,745,132
		Trinidad And Tobago — 0.8%
		Foreign Government Agency
	9,800,000	Telecommunications Services of Trinidad & Tobago Ltd, 144A, 8.88%, due 10/18/29		9,752,568
	4,792,000	Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27		4,986,675
	4,500,000	Trinidad Petroleum Holdings Ltd, Reg S, 9.75%, due 06/15/26		5,007,656
	11,361,000	Trinidad Petroleum Holdings Ltd, 144A, 9.75%, due 06/15/26		12,642,663
		Total Trinidad And Tobago		32,389,562

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Tunisia — 1.7%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		54,011,587
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		18,039,892
		Total Tunisia		72,051,479
		Turkey — 6.4%
		Corporate Debt — 0.0%
	1,500,000	Akbank Turk AS, Reg S, Variable Rate, 6.80%, due 04/27/28		1,355,625
		Foreign Government Agency — 1.4%
	12,400,000	Export Credit Bank of Turkey, Reg S, 6.13%, due 05/03/24		12,349,625
	14,750,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		14,648,594
	13,378,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		14,155,596
	5,000,000	TC Ziraat Bankasi AS, Reg S, 5.13%, due 09/29/23		4,816,612
	11,200,000	Turkiye Vakiflar Bankasi TAO, Reg S, 5.75%, due 01/30/23		10,990,000
				56,960,427
		Foreign Government Obligations — 5.0%
	31,100,000	Republic of Turkey, 7.63%, due 04/26/29		33,685,187
	30,744,000	Republic of Turkey, 6.75%, due 05/30/40		30,042,653
	83,302,000	Republic of Turkey, 6.00%, due 01/14/41		74,841,641
	29,600,000	Republic of Turkey, 6.63%, due 02/17/45		28,147,750
	54,013,000	Republic of Turkey, 5.75%, due 05/11/47		46,214,873
				212,932,104
		Total Turkey		271,248,156
		Ukraine — 2.9%
		Foreign Government Agency — 0.4%
	5,000,000	NAK Naftogaz Ukraine via Kondor Finance Plc, 144A, 7.63%, due 11/08/26		4,918,500
	8,189,000	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		8,557,505
	5,100,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		5,360,100
				18,836,105
		Foreign Government Obligations — 2.5%
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21		6,301,893
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22		6,380,140
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23		6,986,685
	8,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		9,070,052

Par Value†		Description	Value ($)
		Ukraine — continued
		Foreign Government Obligations — continued
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		6,950,468
EUR	7,500,000	Ukraine Government International Bond, 144A, 6.75%, due 06/20/26		8,953,500
	11,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		11,625,045
	6,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		7,239,926
	35,900,000	Ukraine Government International Bond, Reg S, 9.75%, due 11/01/28		41,823,500
				105,331,209
		Total Ukraine		124,167,314
		United Arab Emirates — 0.6%
		Foreign Government Obligations
	26,300,000	Abu Dhabi Government International Bond, 144A, 3.13%, due 09/30/49		25,609,625
		United States — 15.0%
		Asset-Backed Securities — 0.4%
	2,553,910	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 2.01%, due 12/15/35		2,472,231
	1,286,820	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 2.01%, due 12/15/35		1,256,520
	1,850,736	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 1.97%, due 05/15/36		1,770,211
	9,626,149	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 1.86%, due 11/25/36		4,736,863
	9,754,497	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 1.93%, due 11/25/36		4,848,581
	5,234,780	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 2.07%, due 04/25/37		2,796,346
				17,880,752
		Corporate Debt — 0.1%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/20		564,614
	1,643,982	AMBAC LSNI LLC, 144A, Variable Rate, 3 mo. LIBOR + 5.00%, 7.10%, due 02/12/23		1,656,312
				2,220,926

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — 14.5%
	10,000,000	U.S. Treasury Bond, 3.00%, due 02/15/47		11,643,359
	79,407,300	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (e)		78,916,592
	22,000,000	U.S. Treasury Note, 1.38%, due 03/31/20		21,978,516
	35,000,000	U.S. Treasury Note, 1.13%, due 04/30/20		34,923,438
	30,000,000	U.S. Treasury Note, 2.38%, due 04/30/20		30,084,375
	25,000,000	U.S. Treasury Note, 1.38%, due 10/31/20		24,925,781
	15,000,000	U.S. Treasury Note, 1.75%, due 10/31/20		15,006,445
	17,500,000	U.S. Treasury Note, 1.75%, due 12/31/20		17,505,469
	38,000,000	U.S. Treasury Note, 1.38%, due 01/31/21		37,854,532
	47,000,000	U.S. Treasury Note, 1.25%, due 03/31/21		46,724,609
	14,000,000	U.S. Treasury Note, 2.25%, due 08/15/49		14,123,047
	27,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.60%, due 04/30/20		27,496,479
	46,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.61%, due 07/31/20 (f)		45,987,256
	143,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 1.61%, due 10/31/20		143,409,876
	68,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.30%, 1.85%, due 10/31/21		68,067,615
				618,647,389
		Total United States		638,749,067
		Uruguay — 1.2%
		Foreign Government Obligations
	42,218,000	Uruguay Government International Bond, 5.10%, due 06/18/50		50,450,510
		Uzbekistan — 0.2%
		Foreign Government Obligations
	7,200,000	Republic of Uzbekistan Bond, Reg S, 5.38%, due 02/20/29		7,922,250
		Venezuela — 1.4%
		Foreign Government Agency — 0.5%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (g)		4,458,600
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (g)		12,760,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (g)		4,492,607
				21,711,207
		Foreign Government Obligations — 0.9%
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (g)		2,188,220
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (g)		4,209,000
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (g)		2,731,250
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (g)		19,871,195

Par Value†		Description	Value ($)
		Venezuela — continued
		Foreign Government Obligations — continued
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (g)		7,900,500
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (g)		805,000
				37,705,165
		Total Venezuela		59,416,372
		Vietnam — 0.6%
		Foreign Government Agency — 0.5%
	25,105,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		19,221,016
		Foreign Government Obligations — 0.1%
	6,428,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 2.85%, due 03/13/28 (c)		5,592,360
		Total Vietnam		24,813,376
		Zambia — 0.3%
		Foreign Government Obligations
	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22		2,269,125
	17,900,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27		11,534,313
		Total Zambia		13,803,438
		TOTAL DEBT OBLIGATIONS (COST $4,109,835,053)		3,996,299,792
		LOAN ASSIGNMENTS — 0.3%
		Chad — 0.2%
	5,813,000	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 3.91%, due 09/30/25 (c)		4,592,270
	2,995,000	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 4.16%, due 12/31/27 (c)		2,366,050
		Total Chad		6,958,320
		Indonesia — 0.0%
	136,023	Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + 0.75%, 2.69%, due 12/16/19 (c)		126,012
EUR	289,697	Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21 (b)		303,635
		Total Indonesia		429,647
		Kenya — 0.1%
	6,691,667	Republic of Kenya Loan Agreement, 9.17%, due 04/10/25 (b)		6,899,225
		TOTAL LOAN ASSIGNMENTS (COST $14,131,212)		14,287,192

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value† / Shares		Description	Value ($)
		LOAN PARTICIPATIONS — 1.2%
		Angola — 0.8%
	15,637,500	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.94%, due 12/13/23 (c)		15,481,125
	5,708,813	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.94%, due 12/20/23 (c)		5,651,724
	15,833,333	Republic of Angola Loan agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		14,566,667
		Total Angola		35,699,516
		Egypt — 0.0%
CHF	40,326	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (b)		40,011
		Iraq — 0.4%
EUR	951,289	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (b)		773,832
JPY	2,463,336,397	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		12,878,231
JPY	321,860,542	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,682,847
JPY	136,806,132	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		711,666
		Total Iraq		16,046,576
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (g)		2
		TOTAL LOAN PARTICIPATIONS (COST $72,496,796)		51,786,105
		MUTUAL FUNDS — 1.8%
		United States — 1.8%
		Affiliated Issuers — 1.8%
	14,838,144	GMO U.S. Treasury Fund		74,190,722
		TOTAL MUTUAL FUNDS (COST $74,296,430)		74,190,722

Par Value† / Shares		Description	Value ($)
		RIGHTS/WARRANTS — 0.5%
		Argentina — 0.2%
EUR	335,089,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (e)		5,168,824
JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (c) (e)		437,504
		Total Argentina		5,606,328
		Nigeria — 0.0%
	28,000	Central Bank of Nigeria Oil Warrants, Reg S, Variable Rate, Expires 11/15/20 (c) (e)		721,000
		Ukraine — 0.3%
	14,446,000	Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (e)		13,168,432
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, Variable Rate, Expires 01/02/21 (b) (e)		—
		Venezuela — 0.0%
	1,080,062	Republic of Venezuela Oil Warrants, Expires 04/15/20 (c) (e) (g)		1,080,062
		TOTAL RIGHTS/WARRANTS (COST $55,515,265)		20,575,822
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.1%
	1,847,253	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (h)		1,847,253
		U.S. Government — 0.2%
	10,000,000	U.S. Treasury Note, 1.25%, due 02/29/20		9,988,672
		TOTAL SHORT-TERM INVESTMENTS (COST $11,819,207)		11,835,925
		TOTAL INVESTMENTS — 98.3% (Cost $4,338,093,963)		4,168,975,558
		Other Assets and Liabilities (net) — 1.7%		73,951,361
		TOTAL NET ASSETS — 100.0%		$4,242,926,919

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/21/2020	MSCI	GBP	57,311,000	USD	73,842,931		(420,982	)
01/21/2020	MSCI	USD	13,881,514	JPY	1,500,000,000		(122,226	)
						$	(543,208	)

Reverse Repurchase Agreements⁽ⁱ⁾

Face Value			Description	Value ($)
USD	(1,463,931	)	Nomura International plc, 1.25%, dated 10/31/19 (collateral: Ecuador Government International Bond, 144A, 9.50%, due 03/27/30), to be repurchased on demand at face value plus accrued interest.	$	(1,463,931	)
			Average balance outstanding	$	(26,146,284	)
			Average interest rate (net)		(1.96	)%
			Maximum balance outstanding	$	(69,681,984	)

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

Credit Linked Options

Principal / Notional Amount			Expiration Date	Description	Premiums Paid/ (Received) ($)			Value ($)
Put Sold	USD	24,000,000	03/10/2020	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b)		(361,333	)		(955,576	)
Put Sold	USD	45,000,000	01/20/2021	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b)		(615,938	)		141,444
Put Sold	USD	46,000,000	04/13/2021	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b)		(947,472	)		(4,417,608	)
Put Sold	USD	9,746,000	01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b)		(44,777	)		102,136
Put Sold	USD	50,797,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (b)		(900,818	)		463,836
Put Sold	USD	100,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) (b)		(3,155,778	)		336,449
					$	(6,026,116	)	$	(4,329,319	)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount			Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX-EMS.31.V1-5Y		USD	199,000,000		1.00	%		1.79	%		N/A		06/20/2024		Quarterly	$	6,218,750	$	8,132,533	$	1,913,783

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

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^:
Commonwealth of Bahamas	DB	EUR	51,746,000		1.00%		1.02%		N/A		12/20/2020		Quarterly		7,730,397			12,812			(7,717,585	)
Petrobras Global Finance BV	CITI	USD	53,000,000		1.00%		1.51%		N/A		06/20/2024		Quarterly		2,755,224			1,175,738			(1,579,486	)
Republic of Argentina	BOA	USD	2,500,000		5.00%		92.32%		N/A		06/20/2024		Quarterly		359,815			1,561,544			1,201,729
Republic of Argentina	CITI	USD	10,000,000		5.00%		92.32%		N/A		06/20/2024		Quarterly		1,476,727			6,246,178			4,769,451
Republic of Lebanon	BOA	USD	7,500,000		1.00%		34.29%		N/A		12/20/2024		Quarterly		3,450,000			4,224,202			774,202
Republic of Lebanon	BOA	USD	3,750,000		1.00%		34.29%		N/A		12/20/2024		Quarterly		1,725,000			2,112,101			387,101
Republic of Lebanon	BOA	USD	3,750,000		1.00%		34.29%		N/A		12/20/2024		Quarterly		1,715,625			2,112,101			396,476
Republic of South Africa	BCLY	USD	19,000,000		1.00%		1.86%		N/A		12/20/2024		Quarterly		768,102			767,198			(904	)
Republic of South Africa	GS	USD	19,000,000		1.00%		1.86%		N/A		12/20/2024		Quarterly		774,754			767,197			(7,557	)
Commonwealth of Bahamas	DB	EUR	55,770,291		1.00%		2.81%		N/A		06/20/2025		Quarterly		7,903,309			2,332,712			(5,570,597	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.57%		N/A		06/20/2029		Quarterly		1,589,641			947,368			(642,273	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.70%		N/A		09/20/2031		Quarterly		2,640,655			1,368,012			(1,272,643	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	61,270,000		1.00%		1.02%		61,270,000 USD		12/20/2020		Quarterly		(7,515,364	)		(13,577	)		7,501,787
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		2.28%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(300,966	)		962,949
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		2.28%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(150,462	)		491,001
Commonwealth of Bahamas	DB	USD	74,745,714		1.00%		2.81%		74,745,714 USD		06/20/2025		Quarterly		(8,891,823	)		(2,707,962	)		6,183,861
Russia	GS	USD	2,436,000		1.00%		0.87%		2,436,000 USD		12/20/2025		Quarterly		(238,041	)		17,968			256,009
Russia	GS	USD	8,487,000		1.00%		1.00%		8,487,000 USD		12/20/2026		Quarterly		(1,059,662	)		1,044			1,060,706
Republic of Malaysia	CITI	USD	17,200,000		1.00%		0.80%		17,200,000 USD		12/20/2028		Quarterly		(845,599	)		276,609			1,122,208
Republic of Brazil	JPM	USD	20,000,000		1.00%		2.05%		20,000,000 USD		03/20/2030		Quarterly		(2,837,179	)		(1,819,015	)		1,018,164
														$	9,596,203		$	18,930,802		$	9,334,599

^ 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 November 30, 2019, 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.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Swap Contracts — continued

OTC Cross-Currency Basis Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

3 Month EURIBOR plus a spread of (0.35)%

3 Month USD LIBOR

JPM

EUR

122,436,000

09/11/2020

Quarterly

$

—

$

530,963

$

530,963

OTC Cross-Currency Interest Rate Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
(0.22)%	3 Month USD LIBOR	GS		JPY	14,852,761,000	04/28/2025		Quarterly	$	—	$	(1,323,070	)	$	(1,323,070	)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.53%		6 Month EURIBOR	EUR	18,000,000		03/20/2048	Semi-Annual		—			(5,843,520	)		(5,843,520	)
0.74%		6 Month GBP LIBOR	GBP	28,500,000		12/15/2049	Semi-Annual		(196,553	)		2,696,198			2,892,751
								$	(196,553	)	$	(3,147,322	)	$	(2,950,769	)

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 JPEICORE Index Short Swap

3 Month USD LIBOR plus a spread of 0.40%

JPM

USD

9,000,002

01/23/2020

Monthly

$

—

$

58,419

$

58,419

As of November 30, 2019, 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) Security is backed by U.S. Treasury Bonds.

(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.

(c) Investment valued using significant unobservable inputs.

(d) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements.

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

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

(g) Security is in default.

(h) The rate disclosed is the 7 day net yield as of November 30, 2019.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

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.

CJSC - Closed Joint-Stock Company

CP - Counterparty

EURIBOR - Euro Interbank Offered Rate

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

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

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

OTC - Over-the-Counter

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Portfolio Abbreviations: — continued

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.

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

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

XLCA - Insured as to the payment of principal and interest by XL Capital Assurance Inc.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

TRY - Turkish Lira

USD - United States Dollar

ZAR - South African Rand

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 55.3%
		Canada — 1.1%
		Corporate Debt — 1.1%
	1,154,000	Quebecor Media, Inc., 5.75%, due 01/15/23		1,248,247
	375,000	Taseko Mines Ltd, 144A, 8.75%, due 06/15/22		327,188
	1,000,000	Tervita Corp., 144A, 7.63%, due 12/01/21		999,890
		Total Canada		2,575,325
		Finland — 0.2%
		Corporate Debt — 0.2%
	375,000	Nokia Oyj, 4.38%, due 06/12/27		385,914
		Germany — 0.5%
		Corporate Debt — 0.5%
	1,208,000	Deutsche Bank AG, 4.50%, due 04/01/25		1,171,458
		Italy — 1.3%
		Corporate Debt — 1.3%
	1,375,000	Intesa Sanpaolo SpA, 144A, 5.02%, due 06/26/24		1,429,931
	1,375,000	Telecom Italia SpA, 144A, 5.30%, due 05/30/24		1,478,496
		Total Italy		2,908,427
		Luxembourg — 0.6%
		Corporate Debt — 0.6%
	1,125,000	Intelsat Jackson Holdings SA, 144A, 9.50%, due 09/30/22		1,257,187
		New Zealand — 0.4%
		Corporate Debt — 0.4%
	1,000,000	Trilogy International Partners LLC / Trilogy International Finance, Inc., 144A, 8.88%, due 05/01/22		950,000
		United States — 51.2%
		Corporate Debt — 25.3%
	750,000	Acadia Healthcare Co., Inc., 6.13%, due 03/15/21		750,938
	1,250,000	ADT Security Corp. (The), 4.13%, due 06/15/23		1,281,250
	875,000	Alcoa Nederland Holding BV, 144A, 6.13%, due 05/15/28		942,812
	1,000,000	Amsted Industries, Inc., 144A, 5.63%, due 07/01/27		1,055,000
	1,250,000	Antero Resources Corp., 5.63%, due 06/01/23 (a)		884,375
	1,000,000	Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144A, 10.00%, due 04/01/22		960,000
	1,000,000	Berry Global, Inc., 144A, 4.88%, due 07/15/26		1,046,250

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	1,000,000	Brinker International, Inc., 144A, 5.00%, due 10/01/24		1,055,000
	250,000	Cablevision Systems Corp., 5.88%, due 09/15/22		269,375
	375,000	CDK Global, Inc., 144A, 5.25%, due 05/15/29		397,556
	1,000,000	CEC Entertainment, Inc., 8.00%, due 02/15/22		970,000
	1,250,000	Century Aluminum Co., 144A, 7.50%, due 06/01/21		1,212,500
	1,125,000	CF Industries, Inc., 4.95%, due 06/01/43		1,147,500
	825,000	CHS/Community Health Systems, Inc., 5.13%, due 08/01/21		818,812
	1,000,000	Clean Harbors, Inc., 144A, 4.88%, due 07/15/27		1,047,800
	875,000	CSC Holdings LLC, 6.75%, due 11/15/21		941,719
	825,000	Denbury Resources, Inc., 144A, 9.00%, due 05/15/21		723,938
	500,000	Diamond Sports Group LLC / Diamond Sports Finance Co., 144A, 5.38%, due 08/15/26		507,500
	1,000,000	DISH DBS Corp., 5.88%, due 07/15/22		1,045,000
	250,000	Edgewell Personal Care Co., 4.70%, due 05/24/22		256,875
	875,000	EnLink Midstream Partners LP, 4.40%, due 04/01/24		805,000
	1,000,000	EnLink Midstream Partners LP, 4.15%, due 06/01/25		882,520
	875,000	Ferrellgas LP/Ferrellgas Finance Corp., 6.50%, due 05/01/21 (a)		754,688
	875,000	Fidelity & Guaranty Life Holdings, Inc., 144A, 5.50%, due 05/01/25		927,500
	1,000,000	Fortress Transportation & Infrastructure Investors LLC, 144A, 6.75%, due 03/15/22		1,037,500
	750,000	Genworth Holdings, Inc., 7.20%, due 02/15/21		768,750
	1,125,000	Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26 (a)		1,156,916
	1,000,000	Graphic Packaging International LLC, 144A, 4.75%, due 07/15/27		1,060,000
	750,000	HAT Holdings I LLC / HAT Holdings II LLC, 144A, REIT, 5.25%, due 07/15/24		792,187
	1,000,000	Hecla Mining Co., 6.88%, due 05/01/21		990,000
	250,000	Hillman Group , Inc. (The), 144A, 6.38%, due 07/15/22		230,000
	750,000	Hologic, Inc., 144A, 4.63%, due 02/01/28		791,250
	375,000	Hughes Satellite Systems Corp., 5.25%, due 08/01/26		406,875
	750,000	Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.38%, due 12/15/25		793,125
	1,000,000	Lee Enterprises, Inc., 144A, 9.50%, due 03/15/22		987,500
	1,000,000	Mack-Cali Realty LP, REIT, 4.50%, due 04/18/22		1,014,843
	750,000	Navient Corp., 5.50%, due 01/25/23		790,312

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	2,220,000	Netflix, Inc., 5.88%, due 02/15/25		2,431,455
	875,000	Nielsen Finance LLC / Nielsen Finance Co., 144A, 5.00%, due 04/15/22		880,469
	625,000	Nuance Communications, Inc., 5.63%, due 12/15/26		664,063
	1,250,000	NuStar Logistics LP, 6.75%, due 02/01/21		1,292,625
	750,000	NuStar Logistics LP, 5.63%, due 04/28/27		774,375
	1,000,000	Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 144A, 6.63%, due 05/15/22		985,000
	875,000	Owens-Brockway Glass Container, Inc., 144A, 5.00%, due 01/15/22		905,625
	1,625,000	Pitney Bowes, Inc., 5.20%, due 04/01/23		1,627,031
	1,250,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.25%, due 04/15/24		1,287,500
	825,000	Pyxus International, Inc., 144A, 8.50%, due 04/15/21		800,250
	375,000	QEP Resources, Inc., 5.25%, due 05/01/23		356,250
	500,000	RR Donnelley & Sons Co., 7.88%, due 03/15/21		517,500
	1,125,000	Sealed Air Corp., 144A, 5.13%, due 12/01/24		1,213,594
	500,000	Senior Housing Properties Trust, REIT, 4.75%, due 02/15/28		506,236
	375,000	Sensata Technologies BV, 144A, 5.00%, due 10/01/25		405,938
	1,500,000	T-Mobile USA, Inc., 5.38%, due 04/15/27		1,603,125
	875,000	TerraForm Power Operating LLC, 144A, 4.25%, due 01/31/23		889,949
	1,000,000	Transocean, Inc., 6.50%, due 11/15/20		1,020,000
	1,500,000	Trinity Industries, Inc., 4.55%, due 10/01/24		1,543,050
	875,000	United Airlines Holdings, Inc., 4.88%, due 01/15/25		923,125
	625,000	Urban One, Inc., 144A, 7.38%, due 04/15/22		610,548
	1,000,000	VeriSign, Inc., 4.75%, due 07/15/27		1,063,000
	2,125,000	Wyndham Destinations, Inc., 5.40%, due 04/01/24		2,247,187
	750,000	Xerox Corp., 4.13%, due 03/15/23		774,375
		Total Corporate Debt		56,825,436
		U.S. Government — 22.4%
	1,750,000	U.S. Treasury Note, 1.38%, due 03/31/20		1,748,291
	6,000,000	U.S. Treasury Note, 1.13%, due 04/30/20		5,986,875
	12,000,000	U.S. Treasury Note, 1.63%, due 11/30/20		11,990,625
	10,750,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.60%, due 04/30/20 (b)		10,748,624
	6,800,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.61%, due 07/31/20		6,798,116

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	12,992,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 1.61%, due 10/31/20		12,983,841
		Total U.S. Government		50,256,372
		U.S. Government Agency — 3.5%
	7,800,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.14%, 1.97%, due 12/26/19		7,801,146
		Total United States		114,882,954
		TOTAL DEBT OBLIGATIONS (COST $123,554,041)		124,131,265
		MUTUAL FUNDS — 24.4%
		United States — 24.4%
		Affiliated Issuers — 0.0%
	2,981	GMO U.S. Treasury Fund		14,903
		Exchange-Traded Fund — 24.4%
	628,492	iShares iBoxx $ High Yield Corporate Bond ETF		54,641,094
		Total United States		54,655,997
		TOTAL MUTUAL FUNDS (COST $54,670,027)		54,655,997
		SHORT-TERM INVESTMENTS — 19.8%
		Foreign Government Obligations — 18.5%
JPY	1,731,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/23/19		15,821,095
JPY	1,087,800,000	Japan Treasury Discount Bill, Zero Coupon, due 01/14/20		9,943,626
JPY	1,731,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/25/20		15,827,900
		Total Foreign Government Obligations		41,592,621
		Money Market Funds — 0.1%
	324,304	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (c)		324,304
		U.S. Government — 1.2%
	2,604,300	U.S. Treasury Bill, 1.53%, due 02/27/20 (d)		2,594,514
		TOTAL SHORT-TERM INVESTMENTS (COST $45,061,744)		44,511,439
		TOTAL INVESTMENTS — 99.5% (Cost $223,285,812)		223,298,701
		Other Assets and Liabilities (net) — 0.5%		1,050,183
		TOTAL NET ASSETS — 100.0%		$224,348,884

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
12/23/2019	MSCI	JPY	1,731,000,000	USD	16,130,752		286,532
01/14/2020	GS	JPY	1,087,800,000	USD	10,187,053		212,772
02/25/2020	MSCI	JPY	1,731,000,000	USD	16,027,192		117,830
						$	617,134

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
50	U.S. Treasury Note 2 Yr. (CBT)		March 2020		10,779,297		(1,101	)
61	U.S. Treasury Note 5 Yr. (CBT)		March 2020		7,257,094		(2,255	)
25	U.S. Treasury Note 10 Yr. (CBT)		March 2020		3,233,984		(3,882	)
				$	21,270,375	$	(7,238	)
Sales
5	U.S. Long Bond (CBT)		March 2020	$	794,844	$	1,037

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Reverse Repurchase Agreements^(e)

Face Value			Description	Value ($)
USD	(673,719	)	Barclays Bank PLC, 0.75%, dated 10/31/19 (collateral: Ferrellgas LP/Ferrellgas Finance Corp., 6.50%, due 05/01/21), to be repurchased on demand at face value plus accrued interest.		(673,719	)
USD	(984,621	)	Barclays Bank PLC, (0.75)%, dated 11/15/19 (collateral: Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26), to be repurchased on demand at face value plus accrued interest.		(984,621	)
USD	(935,976	)	Barclays Bank PLC, 0.75%, dated 11/18/19 (collateral: Antero Resources Corp., 5.63%, due 06/01/23), to be repurchased on demand at face value plus accrued interest.		(935,976	)
				$	(2,594,316	)
			Average balance outstanding	$	(2,931,146	)
			Average interest rate (net)		1.44	%
			Maximum balance outstanding	$	(5,660,174	)

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.

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.33.V1-5Y	USD	31,079,000		5.00%		3.00%		31,079,000		12/20/2024		Quarterly	$	2,062,868	$	2,387,302	$	324,434

^ 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 November 30, 2019, 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.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

OTC Total Return Swaps

Fund Pays	Fund Receives		Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
3 Month USD LIBOR		Total Return on iBoxx High Yield Corp. ETF	JPM		USD	510,003	12/20/2019		Quarterly		—		10,020		10,020
3 Month USD LIBOR		Total Return on iBoxx High Yield Corp. ETF	JPM		USD	2,100,000	12/20/2019		Quarterly		—		20,447		20,447
3 Month USD LIBOR		Total Return on iBoxx High Yield Corp. ETF	JPM		USD	64,800,001	03/20/2020		Quarterly		—		183,941		183,941
										$	—	$	214,408	$	214,408

As of November 30, 2019, 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 collateral requirements on reverse repurchase agreements.

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

(c) The rate disclosed is the 7 day net yield as of November 30, 2019.

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

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

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

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.

ETF - Exchange-Traded Fund

REIT - Real Estate Investment Trust.

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

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

Counterparty Abbreviations:

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 95.4%
		Asset-Backed Securities — 92.2%
		Auto Retail Subprime — 0.1%
	922,126	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		929,887
		CMBS Collateralized Debt Obligations — 1.1%
	1,114,181	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42		1,125,434
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,739,418
	1,752,603	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 0.39%, 2.67%, due 01/20/37 (a)		1,717,551
	3,692,719	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.52%, due 03/21/46		3,286,520
		Total CMBS Collateralized Debt Obligations		9,868,923
		Collateralized Loan Obligations — 19.3%
	14,231,971	ACIS CLO Ltd., Series 15-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.59%, 3.50%, due 05/01/27		14,258,940
	1,905,000	Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 3.90%, due 10/17/26		1,852,689
	685,840	BFNS LLC, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.98%, 2.92%, due 01/25/29		685,843
	4,222,400	Catamaran CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.80%, 3.74%, due 01/27/28		4,043,716
	1,797,511	CIFC Funding Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.78%, 2.78%, due 04/15/27		1,796,954
	5,510,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.09%, due 01/20/30		5,467,000
	4,161,000	ECP CLO Ltd., Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 3.11%, due 04/22/30		4,115,387
	1,259,600	Garrison BSL CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 3.65%, due 07/17/28		1,249,851
	11,360,000	Garrison BSL CLO Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.97%, 2.97%, due 07/17/28		11,252,557
	8,661,434	Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 4.91%, due 08/15/23		8,676,341
	4,538,575	Jamestown CLO XI Ltd., Series 18-11A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.70%, 3.70%, due 07/14/31		4,397,026
	1,465,400	Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 4.32%, due 07/20/26		1,469,568

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	6,592,700	Midocean Credit CLO IX, Series 18-9A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.75%, 3.72%, due 07/20/31		6,437,824
	2,000,050	Midocean Credit Clo VIII, Series 18-8A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 3.55%, due 02/20/31		1,947,181
	15,030,900	Mountain View CLO Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.12%, due 07/15/31		14,804,760
	8,166,264	Newfleet CLO Ltd., Series 16-1A, Class CR,144A, Variable Rate, 3 mo. LIBOR + 2.00%, 3.97%, due 04/20/28		7,928,618
	4,645,500	NZCG Funding Ltd., Series 15-1A, Class A2R, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 3.47%, due 02/26/31		4,537,766
	8,031,897	Palmer Square Loan Funding Ltd., Series 18-4A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.81%, due 11/15/26		8,036,338
	2,015,360	Saranac CLO III Ltd, Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.26%, due 06/22/30		2,012,256
	2,845,600	Shackleton 2013-IV-R CLO Ltd., Series 13-4RA, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.00%, due 04/13/31		2,801,599
	1,563,370	Shackleton 2015-VIII CLO Ltd., Series 15-8A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 3.27%, due 10/20/27		1,537,973
	16,974,000	Sound Point CLO II Ltd., Series 13-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.07%, 3.01%, due 01/26/31		16,695,592
	6,235,025	Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.00%, due 04/15/31		6,141,662
	4,993,200	Venture CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.10%, due 07/18/31		4,957,249
	5,200,000	Venture XII CLO Ltd., Series 12-12A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 3.11%, due 02/28/26		5,157,838
	1,568,784	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 3.84%, due 07/25/26		1,569,131
	1,552,967	WhiteHorse IX Ltd, Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.16%, 3.16%, due 07/17/26		1,555,093
	6,750,000	Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 3.50%, due 04/15/28		6,713,678
	20,250,000	Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.15%, due 04/15/28		20,242,143
	1,918,200	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.95%, due 04/15/29		1,900,666
		Total Collateralized Loan Obligations		174,243,239

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — 12.7%
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38		7,896,802
	7,000,000	Commercial Mortgage Trust, Series 15-CR24, Class A5, 3.70%, due 08/10/48		7,479,259
	6,334,436	Commercial Mortgage Trust, Series 15-CR25, Class A4, 3.76%, due 08/10/48		6,786,601
	259,408	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 2.01%, due 04/15/37		245,528
	204,950	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		202,609
	6,372,761	CSAILCommercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48		6,782,742
	6,101,601	GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49		5,520,946
	9,657,000	GS Mortgage Securities Trust, Series 15-GC34, Class A4, 3.51%, due 10/10/48		10,241,987
	5,550,330	GS Mortgage Securities Trust, Series 15-GS1, Class A3, 3.73%, due 11/10/48		5,956,675
	8,000,000	Jackson Park Trust, Series 19-LIC, Class E, 144A, Variable Rate, 3.24%, due 10/14/39		7,304,974
	4,069,073	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class F, 144A, Variable Rate, 5.54%, due 06/12/41		4,140,282
	1,326,589	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.52%, due 08/15/36		1,357,199
	21,895,571	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		22,114,527
	1,201,206	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class F, 144A, Variable Rate, 8.04%, due 07/15/33		1,129,134
	8,543,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.64%, due 05/13/38		9,023,525
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 4.81%, due 03/23/45		8,359,112
	1,717,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35		1,735,287
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35		8,327,203
		Total Commercial Mortgage-Backed Securities		114,604,392
		Residential Mortgage-Backed Securities — Other — 12.0%
	1,113,612	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 1.99%, due 02/25/36		465,579
	20,313,343	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 2.07%, due 02/25/36		2,676,177

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		9,228,968
	5,604,351	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		5,314,459
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		2,734,114
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		1,035,425
	578,053	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 2.03%, due 02/25/37		546,658
	2,751,532	Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29		2,647,883
	5,440,279	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,252,616
	6,156,723	Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		6,251,035
	3,063,746	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,926,197
	1,460,662	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + 0.15%, 1.92%, due 06/15/37		1,395,446
	9,820,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 17-DNA3, Class M2, Variable Rate, 1 mo. LIBOR + 2.50%, 4.21%, due 03/25/30		10,098,918
	452,621	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 2.21%, due 10/25/34		425,073
	7,370,206	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		7,433,555
	5,997,443	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		2,546,754
	30,668,686	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 1.97%, due 06/25/36		2,822,007
	14,666,895	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36		10,704,358
	13,647,355	Home Loan Trust, Series 07-HI1, Class A4, Step Up, due 03/25/37		6,930,213
	4,092,132	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 2.03%, due 03/25/36		677,912
	584,738	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.95%, due 02/26/34		557,552
	14,188,770	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 1.91%, due 03/25/36		957,349
	8,093,565	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 2.05%, due 03/25/36		545,965

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	21,578,336	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 2.11%, due 03/25/36		1,455,459
	1,259,732	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 2.61%, due 08/25/35		1,430,749
	7,121,813	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		6,824,907
	1,581,118	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,654,063
	2,301,695	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,351,831
	5,214,157	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		4,494,537
	10,654,296	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		4,451,327
	1,265,318	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		1,050,293
	843,728	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		830,909
		Total Residential Mortgage-Backed Securities — Other		108,718,288
		Residential Mortgage-Backed Securities — Prime — 4.0%
	1,477,714	Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 4.47%, due 08/25/35		1,484,222
	1,333,774	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 4.27%, due 10/25/35		1,370,417
	851,833	Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 4.54%, due 08/25/35		848,733
	6,042,924	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		5,288,623
	2,390,320	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.94%, due 12/25/36		2,275,033
	1,713,113	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 4.12%, due 03/25/37		1,633,929
	2,262,363	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 4.36%, due 09/25/35		2,255,830
	1,714,694	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 4.17%, due 09/25/35		1,737,908
	1,643,354	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 2.38%, due 01/25/47		1,643,881
	17,602,934	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		17,994,819
		Total Residential Mortgage-Backed Securities — Prime		36,533,395

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Subprime — 1.9%
	1,788,863	Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.70%, due 06/25/35		1,898,418
	2,578,393	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.54%, due 05/26/37		2,464,991
	1,723,153	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M3, Variable Rate, 1 mo. LIBOR + 1.08%, 2.79%, due 08/25/35		1,735,698
	3,296,075	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 3.58%, due 08/25/35		3,315,169
	2,948,416	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 1.82%, due 04/25/31		4,592,543
	1,729,599	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 3.94%, due 11/20/34		1,772,759
	1,686,400	GSAA Trust, Series 05-1, Class M1, Step Up, 5.30%, due 11/25/34		1,722,237
		Total Residential Mortgage-Backed Securities — Subprime		17,501,815
		Residential Mortgage-Backed Securities — Alt-A — 1.3%
	875,732	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		914,279
	2,154,638	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 2.41%, due 05/25/36		1,184,196
	2,261,806	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 2.41%, due 10/25/36		1,225,505
	3,232,351	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		3,325,418
	5,159,490	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.76%, due 07/25/36		3,597,838
	1,289,122	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		1,355,086
		Total Residential Mortgage-Backed Securities — Alt-A		11,602,322
		Small Balance Commercial Mortgages — 13.0%
	505,915	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 2.55%, due 04/25/34		500,051
	458,183	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 3.51%, due 04/25/34		456,352
	509,214	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 4.56%, due 04/25/34		509,735

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	5,058,578	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.31%, 2.02%, due 08/25/35		4,860,474
	2,626,512	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 2.10%, due 01/25/36		2,548,191
	1,452,409	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 2.09%, due 04/25/36		1,394,345
	2,096,694	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.23%, 1.94%, due 07/25/36		2,018,336
	4,288,813	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.28%, 1.99%, due 07/25/36		4,134,757
	5,897,378	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.96%, due 10/25/36		5,652,365
	2,800,500	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 1.93%, due 03/25/37		2,661,017
	2,283,376	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 1.95%, due 07/25/37		2,175,493
	9,223,592	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 1.98%, due 07/25/37		8,792,631
	5,939,931	Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.32%, 2.03%, due 07/25/37		5,581,503
	1,641,787	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 2.56%, due 12/25/37		1,632,970
	14,050,569	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 2.96%, due 12/25/37		14,066,289
	16,502,446	GE Business Loan Trust, Series 06-1X, Class A, Variable Rate, 1 mo. LIBOR + 0.20%, 1.97%, due 05/15/34		16,048,946
	4,086,641	GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.17%, 1.94%, due 04/15/35		4,005,292
	3,277,388	GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.77%, due 04/16/35		3,004,759
	2,981,271	Hana SBL Loan Trust, Series 19-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 2.00%, 3.71%, due 08/25/45		2,981,268
	134,661	Lehman Brothers Small Balance Commercial, Series 06-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.29%, 2.00%, due 09/25/36		134,600
	170,159	Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.20%, 2.02%, due 12/25/36		168,764
	4,300,000	Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 2.11%, due 06/25/37		4,137,923

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	1,596,520	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.96%, due 02/25/30		1,583,163
	1,116,164	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.52%, 2.34%, due 09/25/30		1,112,916
	2,467,604	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.82%, due 09/25/30		2,424,246
	5,445,606	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 2.24%, due 04/25/31		5,321,975
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.71%, due 04/25/31		1,944,376
	2,554,500	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 2.10%, due 09/25/36		2,499,623
	6,230,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 5.51%, due 10/25/37		6,396,884
	469,577	Velocity Commercial Capital Loan Trust, Series 16-2, Class AFL, Variable Rate, 1 mo. LIBOR + 1.80%, 3.51%, due 10/25/46		470,950
	1,984,291	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 4.21%, due 12/27/49		1,982,658
	3,430,400	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 4.59%, due 12/27/49		3,441,177
	2,585,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 4.75%, due 12/27/49		2,599,123
		Total Small Balance Commercial Mortgages		117,243,152
		Student Loans — Federal Family Education Loan Program — 6.8%
	16,587,919	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 2.00%, due 01/25/23		16,323,805
	6,097,932	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 2.13%, due 10/25/24		6,006,410
	11,019,070	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 2.64%, due 01/25/43		10,069,259
	4,557,306	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 2.42%, due 03/28/35 (a)		4,015,742
	3,395,242	ECMC Group Student Loan Trust, Series 19-1A, Class A1B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.71%, due 07/25/69		3,389,479

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Federal Family Education Loan Program — continued
	8,458,309	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 3.02%, due 06/15/21		8,295,028
	13,250,316	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 3.59%, due 07/25/22		13,330,098
		Total Student Loans — Federal Family Education Loan Program		61,429,821
		Student Loans — Private — 19.7%
	4,611,274	AccessLex Institute, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 2.74%, due 07/25/34		4,430,242
	508,026	AccessLex Institute, Series 03-A, Class A2, Variable Rate, 3 mo. USBM +1.20%, due 07/01/38		506,430
	3,872,968	KeyCorp Student Loan Trust, Series 05-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.73%, 2.83%, due 09/27/38		3,839,863
	26,852,195	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 2.58%, due 12/27/41		26,408,247
	3,007,689	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 2.74%, due 04/28/42		2,946,560
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 3.19%, due 07/28/42		4,646,176
	1,686,064	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 2.27%, due 10/15/28		1,628,210
	18,250,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 5.16%, due 03/31/38 (a)		6,935,000
	4,817,577	National Collegiate Student Loan Trust, Series 05-3, Class A51 Variable Rate, 1 mo. LIBOR + 0.38%, 2.09%, due 10/25/33		4,592,583
	382,609	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 1.94%, due 03/26/29		381,967
	4,575,885	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 1.95%, due 07/25/30		4,552,403
	10,698,399	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 2.02%, due 05/25/32		10,126,555
	6,498,031	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 2.06%, due 03/25/33		6,115,539
	11,601,674	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 2.08%, due 06/25/33		11,010,204
	14,906,500	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 2.01%, due 10/25/33		13,568,066

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	3,256,000	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 2.25%, due 12/26/33		2,960,855
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 5.50%, due 03/25/38 (a)		69,187
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 5.16%, due 03/25/38 (a)		23,500
	7,965,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (a)		7,961,814
	4,050,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (a)		4,048,380
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 3.72%, due 09/15/32		1,962,365
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 2.55%, due 09/15/33		8,775,517
	3,749,034	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 2.40%, due 12/15/38		3,710,423
	14,320,206	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 2.41%, due 06/15/39		13,980,269
	16,058,804	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 2.45%, due 06/15/39		15,711,391
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 2.51%, due 12/15/39		2,309,874
	8,861,719	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 3.21%, due 01/25/36		8,873,667
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 2.76%, due 01/25/46		6,634,368
		Total Student Loans — Private		178,709,655
		Time Share — 0.3%
	275,032	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		275,047
	1,197,071	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		1,201,928
	1,091,228	Westgate Resorts LLC, Series 17-1A, Class A, 144A, 3.05%, due 12/20/30		1,096,157
		Total Time Share		2,573,132
		Total Asset-Backed Securities		833,958,021
		U.S. Government — 1.8%
	10,300,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.60%, due 04/30/20 (b)		10,298,681
	2,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.61%, due 07/31/20 (b)		1,999,446

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value† / Shares		Description	Value ($)
		U.S. Government — continued
	4,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 1.68%, due 01/31/21 (b)		3,998,350
		Total U.S. Government		16,296,477
		U.S. Government Agency — 1.4%
	5,431,250	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - 0.02%, 1.88%, due 02/01/25 (c)		5,254,627
	5,250,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 2.06%, due 10/29/26 (c)		5,049,213
	2,820,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 1.91%, due 07/01/23 (c)		2,756,912
		Total U.S. Government Agency		13,060,752
		TOTAL DEBT OBLIGATIONS (COST $867,808,827)		863,315,250
		MUTUAL FUNDS — 1.2%
		United States — 1.2%
		Affiliated Issuers — 1.2%
	2,043,048	GMO U.S. Treasury Fund		10,215,242
		TOTAL MUTUAL FUNDS (COST $10,215,242)		10,215,242

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.7%
		Money Market Funds — 0.6%
	5,260,161	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (d)		5,260,161
		Repurchase Agreements — 1.1%
	9,999,870	Nomura Securities International, Inc. Repurchase Agreement, dated 11/27/19, maturing on 12/02/19 with a maturity value of $10,002,009 and an effective yield of 1.54%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $10,184,711.		9,999,870
		TOTAL SHORT-TERM INVESTMENTS (COST $15,260,031)		15,260,031

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.HYS.33.V1-5Y	DB		106.50%	01/15/20		USD 24,600,000		Fixed Spread	Pay		96,847
CDX.NA.HYS.33.V1-5Y	GS		107.00%	12/18/19		USD 30,750,000		Fixed Spread	Pay		59,462
CDX.NA.IGS.33.V1-5Y	CITI		52.50%	12/18/19		USD 80,000,000		Fixed Spread	Pay		42,394
CDX.NA.IGS.33.V1-5Y	CITI		57.50%	12/18/19		USD 86,600,000		Fixed Spread	Pay		16,942
	Total Options on Credit Default Swaps — Puts										215,645
	TOTAL PURCHASED OPTIONS (COST $486,083)										215,645
	TOTAL INVESTMENTS — 98.3% (Cost $893,770,183)										889,006,168
	Other Assets and Liabilities (net) — 1.7%										15,663,925
	TOTAL NET ASSETS — 100.0%										$904,670,093

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/21/2020	JPM	EUR	792,979	USD	888,218		11,328
01/21/2020	BOA	USD	5,865,626	EUR	5,236,633		(74,868	)
01/21/2020	MSCI	USD	214,827	EUR	193,990		(309	)
						$	(63,849	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
340	U.S. Treasury Note 2 Yr. (CBT)	March 2020		73,299,219		(7,484	)
488	U.S. Treasury Note 5 Yr. (CBT)	March 2020		58,056,750		(18,036	)
9	U.S. Treasury Note 10 Yr. (CBT)	March 2020		1,164,234		(1,398	)
144	U.S. Treasury Ultra 10 Yr. (CBT)	March 2020		20,479,500		(29,600	)
			$	152,999,703	$	(56,518	)

+ 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.33.V1-5Y

GS

101.00%

12/18/19

USD

25,200,000

Fixed Spread

Pay

(902

)

CDX.NA.IGS.33.V1-5Y

GS

100.00%

12/18/19

USD

69,300,000

Fixed Spread

Pay

(31

)

CDX.NA.IGS.33.V1-5Y

CITI

85.00%

01/15/20

USD

86,600,000

Fixed Spread

Pay

(6,437

)

CDX.NA.HYS.33.V1-5Y

GS

101.00%

01/15/20

USD

30,750,000

Fixed Spread

Pay

(13,668

)

CDX.NA.IGS.33.V1-5Y

CITI

80.00%

01/15/20

USD

80,000,000

Fixed Spread

Pay

(8,579

)

CDX.NA.HYS.33.V1-5Y

DB

100.00%

02/19/20

USD

24,600,000

Fixed Spread

Pay

(22,945

)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $163,829)

$

(52,562

)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount	Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
ITRAXX.EUROPES.31.V2-5Y	EUR 37,640,000	1.00%	0.40%	N/A	06/20/2024	Quarterly		(927,794	)		(1,123,161	)		(195,367	)
ITRAXX.EUROPES.31.V2-5Y	EUR 38,000,000	1.00%	0.40%	N/A	06/20/2024	Quarterly		(1,096,507	)		(1,133,903	)		(37,396	)
CDX.NA.IGS.33.V1-5Y	USD 24,600,000	1.00%	0.48%	N/A	12/20/2024	Quarterly		(596,317	)		(592,589	)		3,728
ITRAXX.XOVERS.30.V3-5Y	EUR 23,024,640	5.00%	2.18%	N/A	12/20/2023	Quarterly		(2,406,883	)		(2,738,769	)		(331,886	)
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD 17,200,000	1.00%	0.28%	17,200,000 USD	06/20/2022	Quarterly		300,982			304,904			3,922
							$	(4,726,519	)	$	(5,283,518	)	$	(556,999	)

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount			Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.25.V1-5Y	JPM		USD	4,343,000	5.00%	0.20%	N/A	12/20/2020	Quarterly		(26,058	)		(221,959	)		(195,901	)
CDX.NA.HYS.25.V1-5Y	BOA		USD	4,400,000	5.00%	0.20%	N/A	12/20/2020	Quarterly		369,771			(224,872	)		(594,643	)
CDX.NA.HYS.25.V5-5Y	JPM		USD	8,543,000	5.00%	0.20%	N/A	12/20/2020	Quarterly		(847,893	)		(436,610	)		411,283
CDX.NA.IGS.25.V1-5Y	BOA		USD	4,400,000	1.00%	0.20%	N/A	12/20/2020	Quarterly		710,600			(37,299	)		(747,899	)
CDX.NA.IGS.25.V2-5Y	CITI		USD	4,300,000	1.00%	0.20%	N/A	12/20/2020	Quarterly		547,891			(36,451	)		(584,342	)
CDX.NA.HYS.27.V2-5Y	JPM		USD	4,300,000	5.00%	0.72%	N/A	12/20/2021	Quarterly		(11,825	)		(376,263	)		(364,438	)
CDX.NA.HYS.27.V2-5Y	GS		USD	8,580,000	5.00%	0.72%	N/A	12/20/2021	Quarterly		21,450			(750,776	)		(772,226	)
D.R. HORTON, INC.	BCLY		USD	17,200,000	1.00%	0.17%	N/A	06/20/2022	Quarterly		(165,250	)		(362,718	)		(197,468	)
CDX.NA.HYS.29.V1-5Y	JPM		USD	5,060,000	5.00%	1.37%	N/A	12/20/2022	Quarterly		(301,070	)		(552,125	)		(251,055	)
CDX.NA.HYS.29.V1-5Y	JPM		USD	6,425,250	5.00%	1.37%	N/A	12/20/2022	Quarterly		(282,711	)		(701,095	)		(418,384	)
CDX.NA.HYS.29.V1-5Y	MORD		USD	3,450,800	5.00%	1.37%	N/A	12/20/2022	Quarterly		(188,414	)		(376,536	)		(188,122	)
Navient Corp.	GS		USD	4,050,000	5.00%	1.11%	N/A	12/20/2022	Quarterly		(421,122	)		(466,825	)		(45,703	)
Navient Corp.	BCLY		USD	2,576,400	5.00%	1.11%	N/A	12/20/2022	Quarterly		(208,665	)		(296,970	)		(88,305	)
Navient Corp.	BCLY		USD	2,576,400	5.00%	1.11%	N/A	12/20/2022	Quarterly		(198,694	)		(296,970	)		(98,276	)
Navient Corp.	BCLY		USD	3,435,200	5.00%	1.11%	N/A	12/20/2022	Quarterly		(264,646	)		(395,960	)		(131,314	)
ITRAXX.EUROPES.32.V1-5Y	BOA		EUR	10,000,000	1.00%	1.96%	N/A	12/20/2024	Quarterly		748,704			535,244			(213,460	)
CMBX.NA.AS.7	MORD		USD	13,270,000	1.00%	0.45%	N/A	01/17/2047	Monthly		205,782			(271,828	)		(477,610	)
CMBX.NA.AS.7	BOA		USD	4,505,000	1.00%	0.45%	N/A	01/17/2047	Monthly		47,352			(92,282	)		(139,634	)
CMBX.NA.AS.7	DB		USD	16,677,794	1.00%	0.45%	N/A	01/17/2047	Monthly		197,705			(341,634	)		(539,339	)
CMBX.NA.AS.7	GS		USD	4,400,000	1.00%	0.45%	N/A	01/17/2047	Monthly		112,812			(90,131	)		(202,943	)
CMBX.NA.AS.7	DB		USD	7,608,000	1.00%	0.45%	N/A	01/17/2047	Monthly		(119,899	)		(155,845	)		(35,946	)
CMBX.NA.AA.8	CSI		USD	8,892,000	1.50%	0.86%	N/A	10/17/2057	Monthly		247,717			(262,886	)		(510,603	)
CMBX.NA.AS.8	MORD		USD	3,384,000	1.00%	0.50%	N/A	10/17/2057	Monthly		140,432			(78,234	)		(218,666	)
CMBX.NA.AS.8	CGMI		USD	8,892,000	1.00%	0.50%	N/A	10/17/2057	Monthly		73,095			(205,572	)		(278,667	)
CMBX.NA.BBB-.8	CGMI		USD	4,223,000	3.00%	3.68%	N/A	10/17/2057	Monthly		392,728			125,122			(267,606	)
CMBX.NA.BBB-.8	GS		USD	4,224,000	3.00%	3.68%	N/A	10/17/2057	Monthly		400,908			125,152			(275,756	)
CMBX.NA.BBB-.8	CSI		USD	2,108,500	3.00%	3.68%	N/A	10/17/2057	Monthly		144,924			62,472			(82,452	)
CMBX.NA.BBB-.8	GS		USD	8,650,000	3.00%	3.68%	N/A	10/17/2057	Monthly		1,299,082			256,289			(1,042,793	)
CMBX.NA.BBB-.8	CGMI		USD	2,134,000	3.00%	3.68%	N/A	10/17/2057	Monthly		114,688			63,228			(51,460	)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

OTC Credit Default Swaps — continued

Reference Entity	Counterparty		Notional Amount			Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.AAA.9		CGMI		USD	4,000,000	0.50%	0.29%	N/A	09/17/2058	Monthly		(17,096	)		(47,222	)		(30,126	)
CMBX.NA.AAA.9		GS		USD	5,602,300	0.50%	0.29%	N/A	09/17/2058	Monthly		(27,385	)		(66,138	)		(38,753	)
CMBX.NA.AAA.9		MSCI		USD	3,328,000	0.50%	0.29%	N/A	09/17/2058	Monthly		(31,983	)		(39,289	)		(7,306	)
CMBX.NA.AAA.9		GS		USD	10,000,000	0.50%	0.29%	N/A	09/17/2058	Quarterly		(102,116	)		(118,055	)		(15,939	)
CMBX.NA.AAA.9		MORD		USD	5,000,000	0.50%	0.29%	N/A	09/17/2058	Monthly		(51,058	)		(59,027	)		(7,969	)
CMBX.NA.AAA.9		GS		USD	7,000,000	0.50%	0.29%	N/A	09/17/2058	Quarterly		(69,157	)		(82,638	)		(13,481	)
CMBX.NA.BBB-.9		DB		USD	4,400,000	3.00%	3.36%	N/A	09/17/2058	Monthly		950,085			82,002			(868,083	)
CMBX.NA.BBB-.9		GS		USD	1,760,000	3.00%	3.36%	N/A	09/17/2058	Monthly		346,611			32,801			(313,810	)
CMBX.NA.BBB-.9		MORD		USD	8,528,000	3.00%	3.36%	N/A	09/17/2058	Monthly		974,545			158,935			(815,610	)
CMBX.NA.BBB-.9		DB		USD	4,263,000	3.00%	3.36%	N/A	09/17/2058	Monthly		517,160			79,449			(437,711	)
Sell Protection^:
CDX.NA.HYS. 27.V2-5Y		JPM		USD	8,600,000	5.00%	0.16%	8,600,000 USD	12/20/2021	Quarterly		1,143,800			854,065			(289,735	)
CDX.NA.HYS. 27.V2-5Y		GS		USD	12,870,000	5.00%	0.16%	12,870,000 USD	12/20/2021	Quarterly		1,657,013			1,278,118			(378,895	)
CDX.NA.HYS. 27.V3-5Y		JPM		USD	8,543,000	5.00%	0.16%	8,543,000 USD	12/20/2021	Quarterly		1,230,192			848,404			(381,788	)
CDX.NA.HYS. 27.V3-5Y		JPM		USD	12,672,000	5.00%	0.16%	12,672,000 USD	12/20/2021	Quarterly		1,795,622			1,258,454			(537,168	)
CDX.NA.HYS. 27.V3-5Y		BOA		USD	8,545,000	5.00%	0.16%	8,545,000 USD	12/20/2021	Quarterly		1,369,764			848,603			(521,161	)
CDX.NA.HYS. 29.V1-5Y		MORD		USD	10,233,600	5.00%	0.34%	10,233,600 USD	12/20/2022	Quarterly		1,547,320			1,442,390			(104,930	)
CDX.NA.HYS. 29.V1-5Y		BOA		USD	5,115,600	5.00%	0.34%	5,115,600 USD	12/20/2022	Quarterly		742,274			721,026			(21,248	)
CDX.NA.HYS. 31.V1-5Y		JPM		USD	18,387,605	5.00%	0.12%	18,387,605 USD	12/20/2023	Quarterly		3,660,972			3,460,906			(200,066	)
ITRAXX.XOVERS. 30.V3-5Y		JPM		EUR	1,281,711	5.00%	29.50%	1,281,711 EUR	12/20/2023	Quarterly		(953,768	)		(853,160	)		100,608
ITRAXX.XOVERS. 30.V4-5Y		JPM		EUR	310,239	5.00%	29.50%	310,239 EUR	12/20/2023	Quarterly		(216,624	)		(206,508	)		10,116
CDX.NA.HYS.33.V1-5Y		GS		USD	26,300,000	5.00%	0.28%	26,300,000 USD	12/20/2024	Quarterly		5,816,903			5,831,540			14,637
ITRAXX.EUROPES. 32.V1-5Y		BOA		EUR	25,000,000	1.00%	0.78%	25,000,000 EUR	12/20/2024	Quarterly		114,434			307,320			192,886
CMBX.NA.A.9		GS		USD	6,822,400	2.00%	1.63%	6,822,400 USD	09/17/2058	Monthly		89,487			135,604			46,117
CMBX.NA.A.6		CSI		USD	4,217,000	2.00%	1.56%	4,217,000 USD	05/11/2063	Monthly		(52,739	)		49,023			101,762
CMBX.NA.A.6		CGMI		USD	4,268,000	2.00%	1.56%	4,268,000 USD	05/11/2063	Monthly		(3,940	)		49,616			53,556
											$	23,169,710		$	10,101,885		$	(13,067,825	)

^ 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 November 30, 2019, 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.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.76%	3 Month USD LIBOR	USD	10,400,000		11/10/2022	Semi-Annually		(3,459	)		(51,933	)		(48,474	)
1.41%	3 Month USD LIBOR	USD	32,360,000		08/20/2024	Semi-Annually		—			261,048			261,048
1.33%	3 Month USD LIBOR	USD	8,270,000		08/29/2024	Semi-Annually		—			99,977			99,977
1.80%	3 Month USD LIBOR	USD	30,736,000		01/18/2025	Semi-Annually		(20,923	)		(309,766	)		(288,843	)
1.85%	3 Month USD LIBOR	USD	5,500,000		05/19/2026	Semi-Annually		(10,832	)		(82,129	)		(71,297	)
1.94%	3 Month USD LIBOR	USD	7,700,000		06/04/2028	Semi-Annually		(8,055	)		(172,959	)		(164,904	)
1.95%	3 Month USD LIBOR	USD	6,900,000		07/30/2028	Semi-Annually		(10,205	)		(160,575	)		(150,370	)
1.83%	3 Month USD LIBOR	USD	6,600,000		11/12/2029	Semi-Annually		—			(79,506	)		(79,506	)
1.30%	3 Month USD LIBOR	USD	10,027,000		12/19/2029	Semi-Annually		—			377,630			377,630
							$	(53,474	)	$	(118,213	)	$	(64,739	)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counter- party	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on iBoxx USD Liquid Leverage Loans Index	3 Month USD LIBOR	GS	USD	5,000,001		12/20/2019		Quarterly		—		25,190		25,190
Total Return on iBoxx USD Liquid Leverage Loans Index	3 Month USD LIBOR	GS	USD	15,000,000		03/20/2020		Quarterly		—		92,164		92,164
									$	—	$	117,354	$	117,354

As of November 30, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

(a) Investment valued using significant unobservable inputs.

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

(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.

(d) The rate disclosed is the 7 day net yield as of November 30, 2019.

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

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.

CLO - Collateralized Loan Obligation

CMT - Constant Maturity Treasury

COFI - Cost of Funds Index

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

LIBOR - London Interbank Offered Rate

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 99.9%
		U.S. Government — 71.4%
	5,000,000	U.S. Treasury Note, 1.38%, due 02/29/20		4,996,094
	2,800,000	U.S. Treasury Note, 1.50%, due 08/15/20		2,796,609
	19,000,000	U.S. Treasury Note, 1.38%, due 08/31/20		18,955,469
	24,000,000	U.S. Treasury Note, 1.38%, due 10/31/20		23,928,750
	14,000,000	U.S. Treasury Note, 1.63%, due 11/30/20		13,989,062
	14,000,000	U.S. Treasury Note, 1.75%, due 12/31/20		14,004,375
	69,000,000	U.S. Treasury Note, 1.38%, due 01/31/21		68,735,860
	57,500,000	U.S. Treasury Note, 1.13%, due 02/28/21		57,091,211
	17,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.61%, due 07/31/20		16,995,290
	48,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 1.61%, due 10/31/20		47,969,854
	94,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 1.68%, due 01/31/21		93,961,232
	35,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.30%, 1.87%, due 10/31/21		35,034,802
		Total U.S. Government		398,458,608
		U.S. Government Agency — 16.0%
	24,470,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.16%, 1.73%, due 02/07/20		24,466,665
	20,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 1.59%, due 02/21/20		20,000,650
	25,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.08%, 1.63%, due 07/24/20		24,997,472
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 1.67%, due 10/07/20		2,999,971
	12,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 1.68%, due 10/16/20		11,999,916
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.09%, 1.64%, due 09/10/21		4,997,453
		Total U.S. Government Agency		89,462,127
		Money Market Funds — 0.3%
	1,444,833	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.57% (a)		1,444,833

Shares		Description	Value ($)
		Repurchase Agreements — 12.2%
	68,050,457	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 11/29/19, maturing on 12/02/19 with a maturity value of $68,059,530 and an effective yield of 1.60%, collateralized by a U.S. Treasury Note with maturity date 10/31/23 and a market value of $69,459,986.		68,050,457
		TOTAL SHORT-TERM INVESTMENTS (COST $557,442,937)		557,416,025
		TOTAL INVESTMENTS — 99.9% (Cost $557,442,937)		557,416,025
		Other Assets and Liabilities (net) — 0.1%		430,104
		TOTAL NET ASSETS — 100.0%		$557,846,129

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 November 30, 2019.

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

SOFR - Secured Overnight Financing Rate

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

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

Organization

Each of Asset Allocation Bond Fund, Core Plus Bond Fund, Emerging Country Debt Fund, High Yield 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.

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. 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.

Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

Portfolio valuation

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

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

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

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available

when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2019, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

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

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

The three levels are defined as follows:

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

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

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

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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 and 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.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2019:

Description	Level 1			Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—		$	299,397,710		$	—	$	299,397,710
TOTAL DEBT OBLIGATIONS		—			299,397,710			—		299,397,710
Mutual Funds		10,781,046			—			—		10,781,046
Short-Term Investments		278,486			—			—		278,486
Total Investments		11,059,532			299,397,710			—		310,457,242
Total	$	11,059,532		$	299,397,710		$	—	$	310,457,242
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	47,159,132		$	—	$	47,159,132
U.S. Government		130,149,028			—			—		130,149,028
U.S. Government Agency		—			92,736,812			—		92,736,812
TOTAL DEBT OBLIGATIONS		130,149,028			139,895,944			—		270,044,972
Mutual Funds		278,564,571			—			—		278,564,571
Short-Term Investments		1,168,077			154,383,818			—		155,551,895
Total Investments		409,881,676			294,279,762			—		704,161,438
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			4,770,147			—		4,770,147
Futures Contracts
Interest Rate Risk		7,893			—			—		7,893
Swap Contracts
Interest Rate Risk		—			2,185,376			—		2,185,376
Total	$	409,889,569		$	301,235,285		$	—	$	711,124,854
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,235,820	)	$	—	$	(1,235,820	)
Futures Contracts
Interest Rate Risk		(70,004	)		—			—		(70,004	)
Swap Contracts
Interest Rate Risk		—			(2,977,854	)		—		(2,977,854	)
Total	$	(70,004	)	$	(4,213,674	)	$	—	$	(4,283,678	)
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	36,216,059		$	—	$	36,216,059
Corporate Debt		—			71,246,900			27,656,905		98,903,805
Foreign Government Agency		—			822,717,353			148,993,075		971,710,428
Foreign Government Obligations		—			2,110,908,860			159,913,251		2,270,822,111
U.S. Government		539,730,797			78,916,592			—		618,647,389
TOTAL DEBT OBLIGATIONS		539,730,797			3,120,005,764			336,563,231		3,996,299,792

Description	Level 1			Level 2			Level 3			Total
Emerging Country Debt Fund (continued)
Asset Valuation Inputs (continued)
Loan Assignments	$	—		$	—		$	14,287,192		$	14,287,192
Loan Participations		—			—			51,786,105			51,786,105
Mutual Funds		74,190,722			—			—			74,190,722
Rights/Warrants		—			18,337,256			2,238,566			20,575,822
Short-Term Investments		11,835,925			—			—			11,835,925
Total Investments		625,757,444			3,138,343,020			404,875,094			4,168,975,558
Derivatives^
Options
Credit Risk		—			—			1,043,865			1,043,865
Swap Contracts
Credit Risk		—			32,055,317			—			32,055,317
Interest Rate Risk		—			3,285,580			—			3,285,580
Total	$	625,757,444		$	3,173,683,917		$	405,918,959		$	4,205,360,320
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(543,208	)	$	—		$	(543,208	)
Options
Credit Risk		—			—			(5,373,184	)		(5,373,184	)
Swap Contracts
Credit Risk		—			(4,991,982	)		—			(4,991,982	)
Interest Rate Risk		—			(7,166,590	)		—			(7,166,590	)
Total	$	—		$	(12,701,780	)	$	(5,373,184	)	$	(18,074,964	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	66,073,747		$	—		$	66,073,747
U.S. Government		50,256,372			—			—			50,256,372
U.S. Government Agency		7,801,146			—			—			7,801,146
TOTAL DEBT OBLIGATIONS		58,057,518			66,073,747			—			124,131,265
Mutual Funds		54,655,997			—			—			54,655,997
Short-Term Investments		2,918,818			41,592,621			—			44,511,439
Total Investments		115,632,333			107,666,368			—			223,298,701
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			617,134			—			617,134
Futures Contracts
Interest Rate Risk		1,037			—			—			1,037
Swap Contracts
Credit Risk		—			2,387,302			—			2,387,302
Interest Rate Risk		—			214,408			—			214,408
Total	$	115,633,370		$	110,885,212		$	—		$	226,518,582
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(7,238	)	$	—		$	—		$	(7,238	)
Total	$	(7,238	)	$	—		$	—		$	(7,238	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	202,609		$	808,984,238		$	24,771,174		$	833,958,021
U.S. Government		16,296,477			—			—			16,296,477
U.S. Government Agency		—			—			13,060,752			13,060,752
TOTAL DEBT OBLIGATIONS		16,499,086			808,984,238			37,831,926			863,315,250

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds	$	10,215,242		$	—		$	—	$	10,215,242
Short-Term Investments		5,260,161			9,999,870			—		15,260,031
Purchased Options		—			215,645			—		215,645
Total Investments		31,974,489			819,199,753			37,831,926		889,006,168
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			11,328			—		11,328
Swap Contracts
Credit Risk		—			18,910,667			—		18,910,667
Interest Rate Risk		—			856,009			—		856,009
Total	$	31,974,489		$	838,977,757		$	37,831,926	$	908,784,172
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(75,177	)	$	—	$	(75,177	)
Futures Contracts
Interest Rate Risk		(56,518	)		—			—		(56,518	)
Written Options
Credit Risk		—			(52,562	)		—		(52,562	)
Swap Contracts
Credit Risk		—			(14,092,300	)		—		(14,092,300	)
Interest Rate Risk		—			(856,868	)		—		(856,868	)
Total	$	(56,518	)	$	(15,076,907	)	$	—	$	(15,133,425	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	489,365,568		$	68,050,457		$	—	$	557,416,025
Total Investments		489,365,568			68,050,457			—		557,416,025
Total	$	489,365,568		$	68,050,457		$	—	$	557,416,025

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

^ 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). The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options, if any, which are included in investments.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25. Opportunistic Income Fund’s Level 3 holdings also consists of three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 2019.

For Funds with total Level 3 assets and/or liabilities that exceed 0.05% of current period net assets, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2019			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 November 30, 2019			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2019
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	24,697,310		$	—	$	—		$	(1,135	)	$	—		$	2,960,730		$	—		$	—	$	27,656,905		$	2,960,730
Foreign Government Agency		130,262,106			—		(10,670,637	)		1,570,406			3,322,932			2,797,061			21,711,207	‡		—		148,993,075			2,797,061
Foreign Government Obligations		116,011,870			—		(3,206,336	)		3,000,076			—			6,402,476			37,705,165	‡		—		159,913,251			6,402,476
Loan Assignments		7,965,089			6,958,320		(934,321	)		(8,488	)		—			306,592			—			—		14,287,192			306,592
Loan Participations		58,083,336			—		(7,379,685	)		1,583,559			(525	)		(500,580	)		—			—		51,786,105			(494,683	)
Rights/Warrants		2,736,698			—		—			—			—			(498,132	)		—			—		2,238,566			(498,132	)
Total Investments		339,756,409			6,958,320		(22,190,979	)		6,144,418			3,322,407			11,468,147			59,416,372			—		404,875,094			11,474,044
Derivatives
Options		(993,146	)		—		—			—			(552,707	)		(2,783,466	)		—			—		(4,329,319	)		(2,783,466	)
Total	$	338,763,263		$	6,958,320	$	(22,190,979	) #	$	6,144,418		$	2,769,700		$	8,684,681		$	59,416,372		$	—	$	400,545,775		$	8,690,578
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	30,514,634		$	119,850	$	(4,778,445	)	$	162,306		$	—		$	(1,247,171	)	$	—		$	—	$	24,771,174		$	(1,247,171	)
U.S. Government Agency		14,579,868			—		(1,596,250	)		17,284			—			59,850			—			—		13,060,752			59,850
Total	$	45,094,502		$	119,850	$	(6,374,695	) ##	$	179,590		$	—		$	(1,187,321	)	$	—		$	—	$	37,831,926		$	(1,187,321	)

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs.

# Includes $12,674,104 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $3,830,696 of proceeds received from partial calls and/or principal paydowns as applicable.

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 (“underlying funds”). A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 2019 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	29,705,779	$	58,664,301	$	77,590,000	$	234,245	$	998		$	(32	)	$	10,781,046
Core Plus Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	34,628,088	$	—	$	—	$	527,247	$	—		$	1,319,412		$	35,947,500
GMO Opportunistic Income Fund, Class VI		135,749,920		—		—		1,430,010		—			3,521,936			139,271,856
GMO U.S. Treasury Fund		39,599,632		280,420,001		313,780,000		128,592		6,479			(12,467	)		6,233,645
Totals	$	209,977,640	$	280,420,001	$	313,780,000	$	2,085,849	$	6,479		$	4,828,881		$	181,453,001
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,190,722	$	—	$	—	$	1,212,981	$	—		$	—		$	74,190,722
High Yield Fund
GMO U.S. Treasury Fund	$	3,539,546	$	132,610,557	$	136,134,000	$	63,590	$	(1,174	)	$	(26	)	$	14,903
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	17,465,242	$	15,000,000	$	22,250,000	$	180,916	$	(2,899	)	$	2,899		$	10,215,242

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2019 through November 30, 2019. The actual tax characterization of distributions paid by the underlying funds will be determined at the fiscal year ending February 29, 2020.

Subsequent events

Effective March 1, 2020, GMO Emerging Country Debt Fund’s investment objective will be “total return in excess of that of its benchmark, the J.P. Morgan EMBI Global Diversified”.

Subsequent to November 30, 2019, GMO High Yield Fund received redemption requests in the amount of $64,452,534.

* * *

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.7%
		Argentina — 1.2%
	203,115	Adecoagro SA *		1,397,431
		Australia — 1.5%
	415,437	Infigen Energy		184,008
	19,699	OZ Minerals Ltd		140,548
	238,096	Sandfire Resources NL		900,182
	182,396	Tassal Group Ltd		535,608
		Total Australia		1,760,346
		Brazil — 1.6%
	38,815	Cosan SA		569,339
	109,200	Duratex SA		370,904
	194,700	Sao Martinho SA		961,152
		Total Brazil		1,901,395
		Canada — 3.1%
	89,463	Canadian Solar Inc *		1,462,720
	1,255,600	Largo Resources Ltd *		964,174
	99,000	Lundin Mining Corp		535,881
	29,900	NFI Group Inc		605,743
	10,000	TransAlta Renewables Inc		113,152
		Total Canada		3,681,670
		China — 4.0%
	4,275,000	CGN Power Co Ltd – Class H		1,070,685
	883,000	Chaowei Power Holdings Ltd		310,221
	609,000	China Datang Corp Renewable Power Co Ltd – Class H		59,950
	825,000	China Suntien Green Energy Corp Ltd – Class H		226,626
	586,000	China Water Affairs Group Ltd.		449,880
	35,500	Hollysys Automation Technologies Ltd		522,205
	168,000	MMG Ltd *		36,686
	910,000	Tianneng Power International Ltd		598,625
	518,000	Wasion Group Holdings Ltd		245,243
	620,120	Xinjiang Goldwind Science & Technology Co Ltd – Class H		689,911
	236,914	Zhengzhou Yutong Bus Co Ltd – Class A		473,115
		Total China		4,683,147
		Denmark — 3.1%
	38,651	Vestas Wind Systems A/S		3,678,469
		Finland — 0.2%
	17,755	Kemira Oyj		277,396
		France — 8.6%
	16,842	Albioma SA		424,079
	58,605	Electricite de France SA		601,966
	20,006	Nexans SA		791,592
	12,308	Schneider Electric SE		1,187,313
	24,543	STMicroelectronics NV		599,874

Shares		Description	Value ($)
		France — continued
	98,076	Suez		1,451,924
	60,545	Valeo SA		2,384,469
	81,320	Veolia Environnement SA		2,082,199
	11,700	Vilmorin & Cie SA		644,642
		Total France		10,168,058
		Germany — 2.5%
	13,683	CENTROTEC Sustainable AG		250,116
	98,604	E.ON SE		1,031,786
	39,459	K+S AG (Registered)		445,220
	209	Knorr-Bremse AG		20,313
	9,459	Siemens AG (Registered)		1,218,930
		Total Germany		2,966,365
		India — 0.2%
	609,266	Jain Irrigation Systems Ltd		88,727
	253,775	Rashtriya Chemicals & Fertilizers Ltd		175,443
		Total India		264,170
		Israel — 1.6%
	411,325	Israel Chemicals Ltd		1,927,491
		Italy — 2.6%
	248,757	Enel SPA		1,880,125
	25,758	Prysmian SPA		586,532
	99,537	Terna Rete Elettrica Nazionale SPA		638,823
		Total Italy		3,105,480
		Japan — 9.9%
	6,900	Central Japan Railway Co		1,394,370
	900	Daikin Industries Ltd		129,655
	15,400	East Japan Railway Co		1,417,243
	35,900	Ebara Corp		1,080,298
	44,500	GS Yuasa Corp		901,242
	88,700	Hitachi Zosen Corp		340,649
	85,300	Kubota Corp		1,317,018
	9,000	Kurita Water Industries Ltd		251,850
	4,300	METAWATER Co Ltd		156,887
	47,700	Osaki Electric Co Ltd		324,150
	188,800	Panasonic Corp		1,781,387
	89,700	Renesas Electronics Corp *		585,127
	41,700	Takuma Co Ltd		478,023
	7,600	Tsukishima Kikai Co Ltd		115,829
	14,600	West Japan Railway Co		1,286,422
	8,000	Yokogawa Electric Corp		146,634
		Total Japan		11,706,784
		Malaysia — 0.1%
	724,600	George Kent Malaysia Berhad		167,415
		Mexico — 2.8%
	1,251,200	Grupo Mexico SAB de CV		3,265,362

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Netherlands — 0.8%
	46,972	Arcadis NV		955,400
		Norway — 2.1%
	130,721	Austevoll Seafood ASA		1,250,802
	704	Bakkafrost P/F		47,197
	17,024	Borregaard ASA		172,744
	27,157	Grieg Seafood ASA		414,512
	1,183	Mowi ASA		29,339
	6,512	Norway Royal Salmon ASA		169,363
	1,025	Salmar ASA		48,793
	7,586	Yara International ASA		285,781
		Total Norway		2,418,531
		Pakistan — 0.5%
	827,000	Fauji Fertilizer Co Ltd		564,524
		Poland — 1.5%
	77,187	KGHM Polska Miedz SA *		1,771,931
		Portugal — 1.0%
	292,120	EDP – Energias de Portugal SA		1,181,906
		Russia — 4.5%
	106,556	MMC Norilsk Nickel PJSC ADR		2,796,502
	105,480	PhosAgro PJSC GDR (Registered)		1,300,245
	116,061	Ros Agro Plc GDR (Registered)		1,165,459
		Total Russia		5,262,206
		South Africa — 0.0%
	19,722	Tongaat Hulett Ltd * (a)		8,891
		South Korea — 0.4%
	1,743	LG Chem Ltd		453,387
		Spain — 3.3%
	6,288	Acciona SA		650,529
	2,409	Construcciones y Auxiliar de Ferrocarriles SA		105,214
	45,021	Endesa SA		1,223,884
	11,949	Fomento de Construcciones y Contratas SA		144,162
	118,576	Iberdrola SA		1,166,519
	29,287	Red Electrica Corp SA		571,359
		Total Spain		3,861,667
		Switzerland — 0.7%
	590	Gurit Holding AG		781,419
		Taiwan — 0.4%
	90,000	Delta Electronics Inc		412,887
		Thailand — 0.4%
	821,600	SPCG Pcl		530,128

Shares		Description	Value ($)
		Ukraine — 0.6%
	67,964	Kernel Holding SA		718,889
		United Kingdom — 2.9%
	46,291	Drax Group Plc		166,966
	27,798	Go-Ahead Group Plc		787,862
	102,851	KAZ Minerals Plc		650,685
	77,381	Polypipe Group Plc		490,310
	159,653	Renewables Infrastructure Group Ltd (The)		270,985
	961,840	Renewi Plc		365,974
	375,079	Stagecoach Group Plc		661,284
		Total United Kingdom		3,394,066
		United States — 33.6%
	14,100	AGCO Corp.		1,101,633
	52,300	Albemarle Corp.		3,419,374
	50,700	BorgWarner, Inc.		2,131,935
	4,700	Darling Ingredients, Inc. *		111,860
	58,500	Delphi Technologies Plc *		728,910
	12,900	Eaton Corp Plc		1,193,250
	8,600	Edison International		594,260
	3,500	EnerSys		245,595
	26,500	Exelon Corp.		1,176,600
	33,700	First Solar, Inc. *		1,861,588
	514,880	Freeport-McMoRan, Inc.		5,859,334
	20,300	FutureFuel Corp.		227,766
	900	Ingersoll-Rand Plc		117,999
	27,700	Johnson Controls International Plc		1,186,391
	146,600	Livent Corp. *		1,143,480
	177,500	Mosaic Co. (The)		3,381,375
	45,400	ON Semiconductor Corp. *		974,738
	29,500	Owens Corning		1,978,270
	274,763	Renewable Energy Group, Inc. *		4,687,457
	4,800	REX American Resources Corp. *		440,880
	8,200	Rexnord Corp. *		259,038
	75,895	SolarEdge Technologies, Inc. *		6,193,791
	5,100	TE Connectivity Ltd.		472,821
	700	Valmont Industries, Inc.		100,198
		Total United States		39,588,543
		TOTAL COMMON STOCKS (COST $109,450,477)		112,855,354
		PREFERRED STOCKS (b) — 2.7%
		Chile — 2.7%
	133,200	Sociedad Quimica y Minera de Chile SA Sponsored ADR		3,174,156
		TOTAL PREFERRED STOCKS (COST $5,641,897)		3,174,156

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Faroe Islands — 0.0%
	20	Bakkafrost P/F, Expires 12/05/19 * (c)		257
		TOTAL RIGHTS/WARRANTS (COST $0)		257
		MUTUAL FUNDS — 0.5%
		United States — 0.5%
		Affiliated Issuers — 0.5%
	117,157	GMO U.S. Treasury Fund (d)		585,783
		TOTAL MUTUAL FUNDS (COST $586,937)		585,783
		SHORT-TERM INVESTMENTS — 1.1%
		Money Market Funds — 1.1%
	1,310,898	State Street Institutional Treasury Money Market Fund-Premier Class, 1.58% (e)		1,310,898
		TOTAL SHORT-TERM INVESTMENTS (COST $1,310,898)		1,310,898
		TOTAL INVESTMENTS — 100.0% (Cost $116,990,209)		117,926,448
		Other Assets and Liabilities (net) — 0.0%		46,183
		TOTAL NET ASSETS — 100.0%		$117,972,631

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.

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

(c) Investment valued using significant unobservable inputs.

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

(e) The rate disclosed is the 7 day net yield as of November 30, 2019.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 75.3%
		Belgium — 0.3%
	32,673	Anheuser-Busch InBev SA/NV		2,589,941
		Brazil — 1.6%
	386,600	B3 SA – Brasil Bolsa Balcao		4,357,548
	880,500	BR Malls Participacoes SA		3,238,157
	224,700	Localiza Rent a Car SA		2,390,460
	207,000	Lojas Renner SA		2,532,678
	648,000	Rumo SA *		3,739,197
		Total Brazil		16,258,040
		Chile — 0.3%
	51,045,203	Banco Santander Chile		2,728,973
		China — 29.3%
	320,376	Alibaba Group Holding Ltd Sponsored ADR *		64,075,200
	234,800	Alibaba Group Holding Ltd. *		5,950,834
	286,600	ASM Pacific Technology Ltd		3,741,207
	23,700	Baidu Inc Sponsored ADR *		2,809,161
	356,805	Beijing Shunxin Agriculture Co Ltd		2,541,638
	573,900	Budweiser Brewing Co. APAC Ltd. *		2,045,401
	30,071,004	China Construction Bank Corp – Class H		23,921,818
	189,800	China Gas Holdings Ltd		705,479
	3,463,200	China International Capital Corp Ltd – Class H		5,959,289
	1,543,000	China Mengniu Dairy Co Ltd *		5,903,116
	4,518,000	China Merchants Bank Co Ltd – Class H		21,348,291
	1,918,000	China Overseas Land & Investment Ltd		6,437,183
	2,120,000	China Resources Land Ltd		9,177,913
	3,509,000	Industrial & Commercial Bank of China Ltd – Class H		2,500,826
	89,300	JD.com Inc ADR *		2,915,645
	1,766,444	Midea Group Co Ltd – Class A		13,657,542
	13,300	NetEase Inc ADR		4,193,756
	27,300	New Oriental Education & Technology Group Inc Sponsored ADR *		3,305,484
	4,123,551	Ping An Bank Co Ltd – Class A		8,973,403
	2,960,405	Ping An Insurance Group Co of China Ltd – Class H		33,616,299
	339,000	Shenzhou International Group Holdings Ltd		4,468,854
	56,900	TAL Education Group ADR *		2,518,394
	1,000,884	Tencent Holdings Ltd		42,232,425
	2,258,000	Tingyi Cayman Islands Holding Corp		3,673,906
	335,111	Wuliangye Yibin Co Ltd – Class A		6,086,268
	184,700	Yum China Holdings Inc		8,222,844
		Total China		290,982,176
		France — 0.4%
	10,387	L’Oreal SA		2,961,574
	7,763	Pernod Ricard SA		1,426,081
		Total France		4,387,655
		Greece — 0.4%
	2,173,257	Eurobank Ergasias SA *		2,287,156

Shares		Description	Value ($)
		Greece — continued
	421,353	National Bank of Greece SA *		1,425,227
		Total Greece		3,712,383
		Hong Kong — 1.9%
	1,881,041	AIA Group Ltd		18,823,957
		India — 5.7%
	445,608	Bharti Airtel Ltd *		2,742,336
	870,808	CMI Ltd (a)		662,135
	1,048,219	Coffee Day Enterprises Ltd *		726,486
	10,683,040	Gayatri Highways Ltd *		44,779
	11,052,457	Gayatri Projects Ltd * (a)		10,705,318
	203,740	HDFC Bank Ltd		3,611,629
	220,000	HDFC Bank Ltd ADR		13,585,000
	345,252	HDFC Life Insurance Co Ltd		2,752,815
	118,697	Hindustan Unilever Ltd		3,363,952
	1,508,538	ICICI Bank Ltd		10,752,814
	486,985	ICICI Prudential Life Insurance Co Ltd		3,409,709
	77,662	Kotak Mahindra Bank Ltd		1,739,146
	199,745	SBI Life Insurance Co Ltd		2,668,766
		Total India		56,764,885
		Indonesia — 2.9%
	12,919,164	Bank Central Asia Tbk PT		28,751,136
		Japan — 0.2%
	13,100	Daikin Industries Ltd		1,887,201
		Mexico — 1.1%
	579,600	Fomento Economico Mexicano SAB de CV		5,245,347
	476,000	Grupo Financiero Banorte SAB de CV – Class O		2,496,917
	1,094,600	Wal-Mart de Mexico SAB de CV		3,046,816
		Total Mexico		10,789,080
		Peru — 0.3%
	14,482	Credicorp Ltd		3,058,454
		Philippines — 1.9%
	4,055,742	BDO Unibank Inc		12,112,172
	3,653,440	Puregold Price Club Inc		2,887,973
	9,925,400	Semirara Mining & Power Corp		4,258,145
		Total Philippines		19,258,290
		Russia — 1.4%
	930,450	Sberbank of Russia PJSC Sponsored ADR		13,617,847
		South Africa — 1.1%
	399,792	FirstRand Ltd		1,706,469
	139,469	Mr Price Group Ltd		1,665,319
	51,234	Naspers Ltd – N Shares		7,299,931
		Total South Africa		10,671,719
		South Korea — 6.9%
	43,721	GS Retail Co Ltd		1,413,277

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	11,249	Kakao Corp		1,482,821
	150,707	KB Financial Group Inc		5,888,317
	3,374	LG Household & Health Care Ltd		3,618,478
	1,284,743	Samsung Electronics Co Ltd		54,921,281
	7,181	SK Telecom Co Ltd		1,493,711
		Total South Korea		68,817,885
		Switzerland — 1.7%
	159,684	Nestle SA (Registered)		16,582,344
		Taiwan — 12.0%
	1,361,770	Chailease Holding Co Ltd		6,085,527
	11,994,000	CTBC Financial Holding Co Ltd		8,587,851
	1,815,000	Delta Electronics Inc		8,326,556
	7,627,575	E.Sun Financial Holding Co Ltd		6,761,705
	35,000	Largan Precision Co Ltd		5,086,194
	9,186,000	Mega Financial Holding Co Ltd		9,122,386
	539,000	President Chain Store Corp		5,395,122
	4,096,486	Taiwan Cement Corp		5,557,723
	5,601,800	Taiwan Semiconductor Manufacturing Co Ltd		56,346,586
	2,017,000	Uni-President Enterprises Corp		4,791,406
	271,000	Yageo Corp		2,931,063
		Total Taiwan		118,992,119
		Thailand — 2.7%
	2,660,400	Airports of Thailand Pcl (Foreign Registered)		6,645,190
	2,582,000	CP ALL Pcl (Foreign Registered)		6,496,576
	1,133,700	CPN Retail Growth Leasehold (Foreign Registered) (REIT)		1,266,048
	5,498,924	Land & Houses Pcl (Foreign Registered)		1,782,586
	8,309,400	Quality Houses Leasehold Property Fund		4,099,243
	2,194,400	Tisco Financial Group Pcl (Foreign Registered)		7,078,883
		Total Thailand		27,368,526
		Turkey — 1.2%
	8,770,103	Akbank TAS *		11,830,641
		United Arab Emirates — 0.3%
	2,526,700	Emaar Properties PJSC		2,839,587
		Vietnam — 1.7%
	4,500,140	Bank for Foreign Trade of Vietnam JSC		16,560,331
		TOTAL COMMON STOCKS (COST $726,831,507)		747,273,170
		PREFERRED STOCKS (b) — 2.5%
		Brazil — 2.5%
	1,416,160	Banco Bradesco SA		11,162,165
	1,692,450	Itau Unibanco Holding SA		13,911,534
		Total Brazil		25,073,699
		TOTAL PREFERRED STOCKS (COST $30,671,734)		25,073,699

Shares		Description	Value ($)
		INVESTMENT FUNDS — 16.6%
		Brazil — 1.8%
	416,600	iShares MSCI Brazil ETF		17,693,002
		Russia — 3.7%
	1,503,200	VanEck Vectors Russia ETF		36,467,632
		South Korea — 1.1%
	477,247	Samsung Kodex 200 ETF		11,222,494
		Taiwan — 1.0%
	260,900	iShares MSCI Taiwan ETF		10,292,505
		Thailand — 4.0%
	70,385,990	Digital Telecommunications Infrastructure Fund		39,129,337
		United States — 5.0%
	973,972	iShares Core MSCI Emerging Markets ETF		49,838,147
		TOTAL INVESTMENT FUNDS (COST $157,232,594)		164,643,117
		DEBT OBLIGATIONS — 1.0%
		United States — 1.0%
	10,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.61%, due 07/31/20		9,997,230
		TOTAL DEBT OBLIGATIONS (COST $10,001,441)		9,997,230
		MUTUAL FUNDS — 3.8%
		United States — 3.8%
		Affiliated Issuers — 3.8%
	7,584,796	GMO U.S. Treasury Fund		37,923,977
		TOTAL MUTUAL FUNDS (COST $37,953,986)		37,923,977
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	1,718,848	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (c)		1,718,848
		TOTAL SHORT-TERM INVESTMENTS (COST $1,718,848)		1,718,848
		TOTAL INVESTMENTS — 99.4% (Cost $964,410,110)		986,630,041
		Other Assets and Liabilities (net) — 0.6%		6,259,487
		TOTAL NET ASSETS — 100.0%		$992,889,528

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Affiliated company.

(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 November 30, 2019.

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

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

JSC - Joint-Stock Company

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

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

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 88.2%
		Argentina — 0.3%
	290,000	Banco BBVA Argentina SA ADR		1,133,900
	153,800	Banco Macro SA ADR		3,975,730
	101,200	Grupo Financiero Galicia SA ADR		1,352,032
	167,600	Pampa Energia SA Sponsored ADR *		2,286,064
	188,100	Transportadora de Gas del Sur SA ADR – Class B		1,134,243
		Total Argentina		9,881,969
		Brazil — 0.1%
	283,500	M Dias Branco SA		2,215,126
		Chile — 0.0%
	24,278	Inversiones La Construccion SA		235,274
		China — 35.3%
	4,543,000	361 Degrees International Ltd		823,930
	770,500	AAC Technologies Holdings Inc		5,435,496
	3,262,000	Agile Group Holdings Ltd		4,576,972
	7,199,500	Agricultural Bank of China Ltd – Class A		3,709,165
	82,107,290	Agricultural Bank of China Ltd – Class H		33,243,708
	1,665,000	Agritrade Resources Ltd		131,873
	6,713,130	Aier Eye Hospital Group Co Ltd – Class A		38,150,086
	256,326	Alibaba Group Holding Ltd Sponsored ADR *		51,265,200
	3,882,000	Angang Steel Co Ltd – Class H		1,472,725
	3,224,036	Anhui Conch Cement Co Ltd – Class A		21,033,323
	4,407,500	Anhui Conch Cement Co Ltd – Class H		28,196,852
	1,319,999	Anhui Expressway Co Ltd – Class A		1,076,513
	31,000	ANTA Sports Products Ltd		291,529
	223,000	Asia Cement China Holdings Corp		299,676
	111,553,682	Bank of China Ltd – Class H		44,739,237
	309,500	Baoye Group Co Ltd – Class H *		196,257
	242,000	Beijing Capital International Airport Co Ltd – Class H		228,797
	1,126,000	Beijing Enterprises Water Group Ltd *		552,517
	8,190,441	Beijing North Star Co Ltd – Class A		3,545,422
	1,122,000	Bosideng International Holdings Ltd		536,001
	642,500	Budweiser Brewing Co APAC Ltd *		2,289,894
	1,176,000	BYD Electronic International Co Ltd		2,102,974
	12,833,000	CGN Power Co Ltd – Class H		3,214,058
	31,100	Changyou.com Ltd ADR		297,005
	47,000	Cheetah Mobile Inc ADR		156,980
	1,867,100	China Communications Construction Co Ltd – Class A		2,393,068
	1,320,000	China Communications Construction Co Ltd – Class H		1,027,206
	8,524,560	China Communications Services Corp Ltd – Class H		5,738,547
	127,415,906	China Construction Bank Corp – Class H		101,360,768
	87,600	China Gas Holdings Ltd		325,606
	2,127,368	China International Travel Service Corp Ltd – Class A		25,397,235
	12,484,000	China Jinmao Holdings Group Ltd		8,302,992

Shares		Description	Value ($)
		China — continued
	701,000	China Lesso Group Holdings Ltd		734,331
	9,047,000	China Machinery Engineering Corp – Class H		3,596,905
	130,000	China Maple Leaf Educational Systems Ltd		45,340
	55,177	China Merchants Bank Co Ltd – Class A		282,941
	2,858,937	China Mobile Ltd		21,555,061
	148,200	China Mobile Ltd Sponsored ADR		5,591,586
	1,242,375	China National Chemical Engineering Co Ltd – Class A		1,101,860
	3,266,000	China Oriental Group Co Ltd		1,347,743
	1,503,000	China Overseas Grand Oceans Group Ltd		842,967
	14,032,000	China Overseas Land & Investment Ltd		47,094,132
	470,000	China Overseas Property Holdings Ltd		289,499
	1,798,600	China Pacific Insurance Group Co Ltd – Class A		8,768,199
	1,273,800	China Pacific Insurance Group Co Ltd – Class H		4,504,911
	14,700	China Petroleum & Chemical Corp ADR		820,995
	75	China Petroleum & Chemical Corp – Class A		53
	200	China Railway Construction Corp Ltd – Class A		276
	1,313,574	China Railway Group Ltd – Class A		1,056,802
	2,591,000	China Railway Group Ltd – Class H		1,516,749
	389,000	China Railway Signal & Communication Corp Ltd – Class H		208,685
	6,586,000	China Resources Cement Holdings Ltd		7,890,568
	806,000	China Resources Gas Group Ltd		4,487,864
	9,762,000	China Resources Land Ltd		42,261,690
	375,000	China SCE Group Holdings Ltd		178,777
	7,345,244	China Shenhua Energy Co Ltd – Class A		17,991,184
	14,449,000	China Shenhua Energy Co Ltd – Class H		27,976,054
	894,000	China South City Holdings Ltd		104,058
	219,000	China South Publishing & Media Group Co Ltd – Class A		360,915
	562,000	China State Construction International Holdings Ltd		443,502
	323,600	China Taiping Insurance Holdings Co Ltd		748,123
	1,843,158	China Vanke Co Ltd – Class A		7,272,206
	3,914,900	China Vanke Co Ltd – Class H		14,652,613
	4,452,753	China Yangtze Power Co Ltd – Class A		11,490,181
	228,000	China Yongda Automobiles Services Holdings Ltd		164,602
	618,000	China Yuhua Education Corp Ltd		380,364
	11,510,000	CNOOC Ltd		16,708,255
	1,400	CNOOC Ltd Sponsored ADR		203,308
	10,489,714	Country Garden Holdings Co Ltd		14,626,477
	502,000	Dali Foods Group Co Ltd		341,174
	2,875,800	Daqin Railway Co Ltd – Class A		3,245,882
	2,260,000	Dongyue Group Ltd		1,151,663
	70,200	ENN Energy Holdings Ltd		762,960
	295,000	Fu Shou Yuan International Group Ltd		253,546
	2,639,000	Geely Automobile Holdings Ltd		4,935,214
	2,960,000	Gemdale Properties & Investment Corp Ltd		343,919
	18,190,000	Guangdong Investment Ltd		37,614,446
	571,529	Guangdong Provincial Expressway Development Co Ltd – Class A		652,363
	451,400	Guangdong Tapai Group Co Ltd – Class A		690,043
	1,734,800	Guangzhou R&F Properties Co Ltd – Class H		2,915,733

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		China — continued
	105,000	Haier Electronics Group Co Ltd		291,862
	62,000	Haitian International Holdings Ltd		138,563
	557,922	Hangzhou Robam Appliances Co Ltd – Class A		2,358,890
	760,000	Hebei Construction Group Corp Ltd – Class H		468,499
	30,148,000	HengTen Networks Group Ltd *		435,248
	9,469,555	Hisense Home Appliances Group Co Ltd – Class A		13,789,421
	136,900	Hollysys Automation Technologies Ltd		2,013,799
	314,000	Hopson Development Holdings Ltd		302,159
	10,248,000	Hua Han Health Industry Holdings Ltd * (a)		680,739
	9,667,000	Huabao International Holdings Ltd		3,148,729
	3,385,050	Huaxin Cement Co Ltd – Class A		10,630,702
	1,745,000	IGG Inc		1,273,366
	1,031,100	Industrial & Commercial Bank of China Ltd – Class A		849,670
	106,482,647	Industrial & Commercial Bank of China Ltd – Class H		75,889,024
	376,000	Inner Mongolia Yitai Coal Co Ltd – Class H		245,434
	305,500	Jiangsu Expressway Co Ltd – Class A		467,428
	85,000	JNBY Design Ltd		118,270
	118,000	Jumei International Holding Ltd ADR *		221,840
	62,500	Kingboard Holdings Ltd		172,053
	2,022,000	Kingboard Laminates Holdings Ltd		2,280,511
	6,426,000	Kunlun Energy Co Ltd		5,442,195
	137,228	Kweichow Moutai Co Ltd – Class A		22,050,854
	342,000	KWG Property Holding Ltd *		376,049
	307,692	Lao Feng Xiang Co Ltd – Class A		2,096,216
	5,800,000	Logan Property Holdings Co Ltd		8,504,884
	1,665,500	Longfor Group Holdings Ltd		6,817,473
	631,000	Lonking Holdings Ltd		179,730
	3,635,500	Meitu Inc *		668,711
	1,168,555	Midea Group Co Ltd – Class A (b)		9,034,868
	472,500	Midea Group Co Ltd – Class A (b)		3,653,209
	5,684,000	MMG Ltd *		1,241,206
	12,400	NetEase Inc ADR		3,909,968
	826,000	New China Life Insurance Co Ltd – Class H		3,180,880
	19,213,000	PICC Property & Casualty Co Ltd – Class H		22,231,153
	2,889,050	Ping An Insurance Group Co of China Ltd – Class A		34,394,672
	1,383,000	Ping An Insurance Group Co of China Ltd – Class H		15,704,386
	217,400	Qingdao Port International Co Ltd – Class A		201,437
	5,488,400	Qingling Motors Co Ltd – Class H		1,317,841
	218,000	Road King Infrastructure Ltd		396,657
	2,227,600	SAIC Motor Corp Ltd – Class A		7,370,667
	684,900	Shaanxi Coal Industry Co Ltd – Class A		826,591
	1,205,347	Shanghai Lujiazui Finance & Trade Zone Development Co Ltd – Class A		2,274,138
	389,348	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		841,085
	200	Shanxi Lu’an Environmental Energy Development Co Ltd – Class A		197
	1,237,537	Shenzhen Expressway Co Ltd – Class A		1,902,062
	210,000	Shenzhen Expressway Co Ltd – Class H		280,084

Shares		Description	Value ($)
		China — continued
	2,930,789	Shenzhen Investment Ltd		1,153,123
	93,400	Shenzhou International Group Holdings Ltd		1,231,242
	2,873,000	Shimao Property Holdings Ltd		10,409,430
	1,537,500	Shui On Land Ltd		321,836
	6,982,000	Sihuan Pharmaceutical Holdings Group Ltd		793,597
	886,861	Sinoma International Engineering Co – Class A		785,041
	998,000	Sinopec Engineering Group Co Ltd – Class H		584,653
	5,200,575	Sinopec Shanghai Petrochemical Co Ltd – Class A		2,894,119
	22,728,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		6,298,773
	1,867,000	Sinotruk Hong Kong Ltd		3,152,608
	5,801,603	Suning Universal Co Ltd – Class A		3,007,340
	77,400	Suzhou Gold Mantis Construction Decoration Co Ltd – Class A		88,765
	1,591,365	Tencent Holdings Ltd		67,147,845
	904,000	Tianneng Power International Ltd		594,678
	748,000	Tong Ren Tang Technologies Co Ltd – Class H		644,906
	393,000	Want Want China Holdings Ltd		338,341
	836,279	Weichai Power Co Ltd – Class A		1,570,119
	5,246,395	Weifu High-Technology Group Co Ltd – Class A		13,888,887
	218,000	Xinyi Glass Holdings Ltd		256,168
	563,000	Xtep International Holdings Ltd		289,810
	1,396,000	Yadea Group Holdings Ltd 144A		356,723
	24,843,000	Yangzijiang Shipbuilding Holdings Ltd		18,705,947
	2,972,000	Yuexiu Property Co Ltd		634,404
	296,000	Yuexiu Transport Infrastructure Ltd		258,634
	77,700	Yum China Holdings Inc		3,459,204
	10,507,707	Yuzhou Properties Co Ltd		4,838,526
	6,818,000	Zhejiang Expressway Co Ltd – Class H		5,963,963
	591,872	Zhejiang Runtu Co Ltd – Class A		918,068
	500,573	Zhejiang Supor Co Ltd – Class A		5,116,972
	1,840,500	Zhejiang Weixing New Building Materials Co Ltd – Class A		3,202,335
	344,000	Zhenro Properties Group Ltd		221,899
	21,500	Zhongsheng Group Holdings Ltd		76,202
	263,900	Zhuzhou CRRC Times Electric Co Ltd – Class H		901,515
	269,908	Zhuzhou Kibing Group Co Ltd – Class A		169,454
		Total China		1,143,266,878
		Colombia — 0.0%
	282,769	Cementos Argos SA		498,474
		Czech Republic — 0.1%
	3,259	Philip Morris CR AS		2,037,949
		India — 2.6%
	256,987	Asian Paints Ltd		6,108,677
	160,551	CMI Ltd		122,078
	12,264,578	Gayatri Highways Ltd * (c)		51,408
	16,772,852	Gayatri Projects Ltd * (c)		16,246,044
	474,008	Glenmark Pharmaceuticals Ltd		2,213,862

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		India — continued
	481,244	HDFC Bank Ltd		8,530,846
	197,971	Hindustan Unilever Ltd		5,610,631
	252,428	Housing Development Finance Corp Ltd		8,074,119
	1,332,810	ICICI Bank Ltd		9,500,230
	687,098	Indiabulls Housing Finance Ltd		2,764,947
	3,013,682	Jai Balaji Industries Ltd *		1,006,939
	1,322,083	Kiri Industries Ltd		6,720,253
	386,197	Kotak Mahindra Bank Ltd		8,648,412
	30,941	Rajesh Exports Ltd		291,202
	312,651	Titan Co Ltd		5,041,373
	24,898,107	Vodafone Idea Ltd *		2,358,520
	2,516,707	Yes Bank Ltd		2,400,132
		Total India		85,689,673
		Indonesia — 0.3%
	5,304,191	Indo Tambangraya Megah Tbk PT		3,842,382
	198,908,800	Panin Financial Tbk PT *		3,888,775
	7,371,800	Surya Citra Media Tbk PT		626,715
		Total Indonesia		8,357,872
		Malaysia — 0.1%
	1,582,600	Alliance Bank Malaysia Bhd		1,023,025
	3,542,000	Sime Darby Property Bhd		666,094
	2,539,700	SP Setia Bhd Group		790,387
		Total Malaysia		2,479,506
		Mexico — 1.0%
	263,100	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		332,698
	123,800	Concentradora Fibra Danhos SA de CV REIT		181,723
	168,800	Corp Inmobiliaria Vesta SAB de CV		281,068
	542,900	Credito Real SAB de CV SOFOM ER		637,417
	10,562,100	Fibra Uno Administracion SA de CV (REIT)		16,124,437
	287,200	Gentera SAB de CV		274,397
	290,600	Grupo Aeroportuario del Centro Norte SAB de CV		1,930,157
	9,400	Grupo Aeroportuario del Centro Norte SAB de CV ADR		500,174
	141,600	Grupo Aeroportuario del Pacifico SAB de CV – Class B		1,437,957
	14,600	Grupo Aeroportuario del Sureste SAB de CV ADR		2,503,316
	1,275,000	Grupo Financiero Banorte SAB de CV – Class O		6,688,172
	93,600	Kimberly-Clark de Mexico SAB de CV – Class A		179,046
	59,600	Qualitas Controladora SAB de CV		252,803
	322,800	Unifin Financiera SAB de CV SOFOM ENR		490,818
		Total Mexico		31,814,183
		Pakistan — 0.5%
	836,310	Engro Corp Ltd		1,820,211
	4,555,000	Engro Fertilizers Ltd		2,023,575

Shares		Description	Value ($)
		Pakistan — continued
	490,500	Fauji Fertilizer Co Ltd		334,824
	493,000	Lucky Cement Ltd		1,334,713
	224,200	Nishat Mills Ltd		144,393
	6,073,100	Oil & Gas Development Co Ltd		5,150,999
	773,950	Pakistan Oilfields Ltd		2,092,549
	1,782,520	Pakistan Petroleum Ltd		1,377,424
	828,420	Pakistan State Oil Co Ltd		977,837
	433,800	Searle Co Ltd (The)		513,551
	604,000	SUI Northern Gas Pipeline		292,663
	963,300	United Bank Ltd		1,017,540
		Total Pakistan		17,080,279
		Philippines — 0.3%
	3,723,600	Alliance Global Group Inc		810,201
	6,099,500	DMCI Holdings Inc		780,429
	494,660	Manila Electric Co		3,103,979
	13,606,800	Megaworld Corp		1,186,322
	1,887,000	Nickel Asia Corp		114,741
	6,287,200	Semirara Mining & Power Corp		2,697,302
		Total Philippines		8,692,974
		Poland — 4.3%
	259,166	Alior Bank SA *		1,950,524
	25,136	Asseco Poland SA		363,853
	15,475	Bank Handlowy w Warszawie SA		205,462
	184,976	Bank Millennium SA *		260,224
	803,765	Bank Polska Kasa Opieki SA		21,493,488
	68,579	Budimex SA		2,778,576
	5	CD Projekt SA		335
	115,571	Ciech SA *		1,061,656
	75,815	Cyfrowy Polsat SA		539,645
	6,195	Dino Polska SA *		213,567
	240,974	Grupa Lotos SA		5,646,483
	577,546	Jastrzebska Spolka Weglowa SA		3,083,376
	12,890	KRUK SA		497,083
	106	LPP SA		235,586
	65,808	Lubelski Wegiel Bogdanka SA		626,676
	84,558	PGE Polska Grupa Energetyczna SA *		188,143
	139,020	PLAY Communications SA		1,159,661
	1,425,890	Polski Koncern Naftowy ORLEN SA		33,819,711
	13,382,772	Polskie Gornictwo Naftowe i Gazownictwo SA		15,780,398
	1,048,068	Powszechna Kasa Oszczednosci Bank Polski SA		9,665,679
	3,844,800	Powszechny Zaklad Ubezpieczen SA		38,008,743
	19,257	Santander Bank Polska SA		1,351,013
	14,179	Stalprodukt SA		709,815
	123,767	Warsaw Stock Exchange		1,226,804
		Total Poland		140,866,501
		Qatar — 0.9%
	6,570,642	Barwa Real Estate Co		6,151,536
	1,532,274	Doha Bank QPSC		1,063,824
	214,180	Qatar Electricity & Water Co QSC		948,068

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Qatar — continued
	3,773,647	Qatar Gas Transport Co Ltd		2,621,845
	248,309	Qatar International Islamic Bank QSC		624,614
	2,934,884	Qatar National Bank QPSC		15,507,302
	1,018,270	Qatar National Cement Co QSC		1,604,019
	1,615,012	United Development Co QSC		625,434
		Total Qatar		29,146,642
		Russia — 14.8%
	22,825,690	Alrosa PJSC		27,643,242
	116,097	Etalon Group Plc GDR (Registered)		211,302
	71,860,000	Federal Grid Co Unified Energy System PJSC		218,109
	892,930	Gazprom Neft PJSC		5,807,808
	6,771	Gazprom Neft PJSC Sponsored ADR		224,336
	3,615,475	Gazprom PJSC Sponsored ADR		28,713,405
	682,756	Globaltrans Investment Plc Sponsored GDR (Registered)		5,706,297
	86,855,000	Inter RAO UES PJSC		6,020,319
	56,716	LSR Group PJSC		670,167
	43,820	LSR Group PJSC GDR (Registered)		98,622
	931,367	LUKOIL PJSC Sponsored ADR		88,854,324
	637,327	M.Video PJSC *		4,883,808
	4,558,200	Magnitogorsk Iron & Steel Works PJSC		2,762,507
	103,372	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		809,544
	1,513,792	MMC Norilsk Nickel PJSC ADR		39,728,616
	8,581,417	Moscow Exchange MICEX-RTS PJSC		14,100,519
	223,189	Novatek PJSC Sponsered GDR (Registered)		44,224,168
	749,520	Novolipetsk Steel PJSC		1,507,985
	1,253,102	Novolipetsk Steel PJSC GDR		25,227,959
	275,115	QIWI Plc Sponsored ADR		5,452,779
	250,580	Raspadskaya OJSC		399,036
	4,684,555	Rostelecom PJSC		5,864,521
	33,228	Rostelecom PJSC Sponsored ADR		248,352
	166,150	Safmar Financial Investment		1,294,076
	4,332,128	Sberbank of Russia PJSC Sponsored ADR		63,404,003
	827,585	Severstal PJSC GDR (Registered)		11,622,813
	4,721,300	Surgutneftegas PJSC		3,236,018
	2,878,707	Surgutneftegas PJSC Sponsored ADR		19,504,291
	519,740	Tatneft PJSC		5,981,932
	849,225	Tatneft PJSC Sponsored ADR		58,585,395
	257,206	TCS Group Holding Plc GDR (Registered)		4,725,756
	35,740	TMK PJSC		28,825
	35,008	TMK PJSC GDR (Registered)		111,342
	32,793,000	Unipro PJSC		1,382,627
		Total Russia		479,254,803
		Singapore — 0.0%
	142,700	Yanlord Land Group Ltd		122,043
		South Africa — 3.8%
	750,993	Absa Group Ltd		7,541,808
	64,081	Astral Foods Ltd		871,934
	476,383	Barloworld Ltd		3,687,380

Shares		Description	Value ($)
		South Africa — continued
	183,896	Capitec Bank Holdings Ltd		17,780,143
	13,520	Discovery Ltd		108,854
	1,702,936	Emira Property Fund Ltd (REIT)		1,530,918
	217,346	Foschini Group Ltd (The)		2,304,968
	7,619,935	Growthpoint Properties Ltd (REIT)		11,864,199
	44,800	Hyprop Investments Ltd (REIT)		180,479
	74,149	Investec Ltd		425,176
	18,243	JSE Ltd		153,349
	612,768	Kumba Iron Ore Ltd		15,724,022
	301,206	Lewis Group Ltd		694,092
	105,536	Liberty Holdings Ltd		803,019
	37,483	Motus Holdings Ltd		180,931
	1,538,486	Mr Price Group Ltd		18,370,172
	16,088	NEPI Rockcastle Plc		136,259
	1,620,675	Netcare Ltd		2,210,083
	3,944,587	Old Mutual Ltd		4,991,424
	3,183,628	Redefine Properties Ltd (REIT)		1,785,023
	1,294,997	RMB Holdings Ltd		7,130,695
	1,345,990	SA Corporate Real Estate Ltd (REIT)		296,501
	1,264,935	Sanlam Ltd		6,584,220
	828,837	Sappi Ltd		2,253,185
	9,135	SPAR Group Ltd (The)		128,263
	10	Tiger Brands Ltd		139
	202,434	Transaction Capital Ltd		302,092
	3,481,212	Truworths International Ltd		12,097,450
	376,307	Wilson Bayly Holmes-Ovcon Ltd		3,610,527
	33,493	Woolworths Holdings Ltd		119,039
		Total South Africa		123,866,344
		South Korea — 1.4%
	52,804	Celltrion Pharm Inc *		1,588,309
	235,936	DB Insurance Co Ltd		11,151,459
	1,102,840	Dongwon Development Co Ltd		3,788,017
	2,458	Hankook Shell Oil Co Ltd		688,398
	69,637	Hankook Technology Group Co Ltd		847,742
	57,656	Hanmi Science Co Ltd		1,904,811
	244,936	Hyundai Hy Communications & Network Co Ltd		750,925
	499,296	Korea Asset In Trust Co Ltd REIT		1,500,016
	80,163	Kyobo Securities Co Ltd		636,650
	131,076	Samsung Electronics Co Ltd		5,603,348
	14,427	Samsung Electronics Co Ltd GDR		15,386,326
	157,226	SillaJen Inc *		1,936,352
		Total South Korea		45,782,353
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (c)		743,160
		Taiwan — 15.7%
	1,394,733	Actron Technology Corp		4,208,267
	1,096,532	Advantech Co Ltd		10,763,642
	6,501,000	AmTRAN Technology Co Ltd *		2,258,946
	4,577,620	Asustek Computer Inc		34,568,093

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	399,000	Aten International Co Ltd		1,139,170
	129,200	Aurora Corp		390,328
	5,621,000	Catcher Technology Co Ltd		45,960,513
	25,153	Cathay Financial Holding Co Ltd		34,372
	288,000	Cathay Real Estate Development Co Ltd		196,248
	4,580,332	Chailease Holding Co Ltd		20,468,755
	1,981,100	Chin-Poon Industrial Co Ltd		2,016,096
	14,048,000	China Development Financial Holding Corp		4,469,767
	257,800	China Motor Corp		331,582
	638,000	Chong Hong Construction Co Ltd		1,713,192
	270,000	Cleanaway Co Ltd		1,380,681
	4,357,400	Coretronic Corp		5,701,738
	42,571,720	CTBC Financial Holding Co Ltd		30,481,873
	1,834,000	CTCI Corp		2,263,256
	523,000	Elite Material Co Ltd		2,091,372
	3,608,000	Farglory Land Development Co Ltd		4,524,722
	2,388,000	FLEXium Interconnect Inc		8,838,648
	869,000	Formosa Chemicals & Fibre Corp		2,486,252
	2,288,000	Formosa Petrochemical Corp		7,200,650
	1,753,000	Formosa Plastics Corp		5,584,922
	7,264,075	Foxconn Technology Co Ltd		15,856,534
	105,000	Fubon Financial Holding Co Ltd		154,148
	563,000	Globalwafers Co Ltd		6,100,173
	1,940,000	Grand Pacific Petrochemical *		1,156,813
	324,000	Greatek Electronics Inc		487,933
	3,518,754	Highwealth Construction Corp		5,366,253
	1,400,000	Holtek Semiconductor Inc		3,110,951
	141,000	Holy Stone Enterprise Co Ltd		455,093
	6,874,000	Hon Hai Precision Industry Co Ltd		19,932,106
	1,794,000	Huaku Development Co Ltd		5,528,611
	1,361,806	IEI Integration Corp		2,365,875
	233,000	Kung Long Batteries Industrial Co Ltd		1,114,790
	2,317,000	Lite-On Technology Corp		3,675,445
	764,425	Mercuries Life Insurance Co Ltd *		295,732
	119,000	Mirle Automation Corp		154,481
	620,000	Nan Ya Plastics Corp		1,452,704
	957,000	Nantex Industry Co Ltd		937,651
	11,494,000	Nanya Technology Corp		26,837,682
	2,796,810	Novatek Microelectronics Corp		20,489,550
	356,000	On-Bright Electronics Inc		2,110,389
	1,338,000	Phison Electronics Corp		12,467,959
	10,850,870	Radiant Opto-Electronics Corp		41,611,988
	681,720	Realtek Semiconductor Corp		5,148,568
	1,223,090	Ruentex Development Co Ltd		1,827,243
	841,000	Shinkong Insurance Co Ltd		1,080,490
	1,092,068	Simplo Technology Co Ltd		10,910,710
	46,000	Sinbon Electronics Co Ltd		176,475
	295,200	Sitronix Technology Corp		1,635,548
	2,253,250	Syncmold Enterprise Corp		6,448,465
	400,000	TaiMed Biologics Inc *		1,789,566
	143,000	Taiwan PCB Techvest Co Ltd		171,512
	5,641,000	Taiwan Semiconductor Manufacturing Co Ltd		56,740,885

Shares		Description	Value ($)
		Taiwan — continued
	573,410	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		30,442,337
	300,000	Test Research Inc		503,349
	326,981	Topco Scientific Co Ltd		1,066,071
	1,143,000	Transcend Information Inc		2,678,615
	1,569,160	Tripod Technology Corp		6,508,622
	571,000	TXC Corp		766,044
	1,133,400	United Integrated Services Co Ltd		6,522,502
	1,191,000	YC INOX Co Ltd		1,015,070
	128,000	Yulon Nissan Motor Co Ltd		1,164,150
	306,000	Zeng Hsing Industrial Co Ltd		1,343,839
	97,000	Zhen Ding Technology Holding Ltd		427,254
		Total Taiwan		509,103,261
		Thailand — 0.1%
	3,849,600	Pruksa Holding Pcl (Foreign Registered)		1,975,152
	4,586,392	Quality Houses Pcl (Foreign Registered)		406,867
	384,500	SPCG Pcl		248,095
	1,983,975	Supalai Pcl (Foreign Registered)		1,143,324
		Total Thailand		3,773,438
		Turkey — 5.5%
	15,722,360	Akbank TAS *		21,209,056
	273,743	Aksa Akrilik Kimya Sanayii AS		574,173
	389,931	Aygaz AS		828,180
	6,407,678	Dogan Sirketler Grubu Holding AS		1,970,017
	708,951	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		426,121
	69,442,329	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		17,601,464
	2,778,970	Enerjisa Enerji AS		3,419,135
	4,334,824	Enka Insaat ve Sanayi AS		4,341,548
	8,458,188	Eregli Demir ve Celik Fabrikalari TAS		11,782,026
	56,316	Ford Otomotiv Sanayi AS		624,263
	3,145,070	Haci Omer Sabanci Holding AS		4,968,921
	87,647	Kordsa Teknik Tekstil AS		181,270
	474,163	Koza Altin Isletmeleri AS *		6,048,996
	123,758	Mavi Giyim Sanayi Ve Ticaret AS – Class B *		973,749
	143,475	Otokar Otomotiv Ve Savunma Sanayi AS		3,728,539
	724,272	Selcuk Ecza Deposu Ticaret ve Sanayi AS		696,066
	18,415,919	Soda Sanayii AS		18,571,570
	169,637	TAV Havalimanlari Holding AS		792,838
	5,005,454	Tekfen Holding AS		16,435,789
	705,777	Tupras-Turkiye Petrol Rafineriler AS		15,190,297
	5,497,018	Turkiye Garanti Bankasi AS *		9,637,678
	934,044	Turkiye Halk Bankasi AS *		935,718
	13,642,306	Turkiye Is Bankasi – Class C *		14,562,234
	26,594,175	Turkiye Sinai Kalkinma Bankasi AS *		4,759,420
	2,750,117	Turkiye Sise ve Cam Fabrikalari AS		2,383,278
	11,207,516	Turkiye Vakiflar Bankasi TAO – Class D *		9,976,271
	13,334,862	Yapi ve Kredi Bankasi AS *		5,557,079
		Total Turkey		178,175,696

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		United Arab Emirates — 0.3%
	2,143,878	Al Waha Capital PJSC		573,122
	1,757,985	DAMAC Properties Dubai Co PJSC *		374,479
	905,922	Dubai Islamic Bank PJSC		1,306,803
	393,578	Emaar Development PJSC		385,903
	5,178,403	Emaar Properties PJSC		5,819,657
	11,102,376	RAK Properties PJSC *		1,270,809
		Total United Arab Emirates		9,730,773
		United Kingdom — 0.7%
	386,665	Unilever Plc		22,905,073
		Vietnam — 0.1%
	1,551,700	Kinh Bac City Development Share Holding Corp		1,026,676
	1,676,750	PetroVietnam Power Corp *		925,730
	179,000	PetroVietnam Technical Services Corp		134,316
	152,810	Vinh Hoan Corp		501,701
		Total Vietnam		2,588,423
		TOTAL COMMON STOCKS (COST $2,691,907,463)		2,858,308,667
		PREFERRED STOCKS (d) — 3.7%
		Colombia — 0.1%
	65,650	Banco Davivienda SA		821,309
	1,184,662	Grupo Aval Acciones y Valores SA		476,617
	69,671	Grupo de Inversiones Suramericana SA		537,627
		Total Colombia		1,835,553
		Russia — 1.7%
	224,086	Bashneft PJSC		6,004,623
	90,132,700	Surgutneftegas PJSC		50,582,090
		Total Russia		56,586,713
		South Korea — 1.9%
	1,747,590	Samsung Electronics Co Ltd		60,590,608
		Taiwan — 0.0%
	605,412	CTBC Financial Holding Co Ltd (a)		1,301,664
		TOTAL PREFERRED STOCKS (COST $105,213,234)		120,314,538
		INVESTMENT FUNDS — 3.6%
		Thailand — 0.4%
	22,546,425	Digital Telecommunications Infrastructure Fund		12,534,123
		United States — 3.2%
	2,004,819	iShares Core MSCI Emerging Markets ETF		102,586,588
		TOTAL INVESTMENT FUNDS (COST $113,746,479)		115,120,711

Shares		Description	Value ($)
		MUTUAL FUNDS — 3.6%
		United States — 3.6%
		Affiliated Issuers — 3.6%
	23,546,157	GMO U.S. Treasury Fund		117,730,786
		TOTAL MUTUAL FUNDS (COST $117,731,097)		117,730,786
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	8,842,135	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (e)		8,842,135
		TOTAL SHORT-TERM INVESTMENTS (COST $8,842,135)		8,842,135
		TOTAL INVESTMENTS — 99.4% (Cost $3,037,440,408)		3,220,316,837
		Other Assets and Liabilities (net) — 0.6%		19,916,023
		TOTAL NET ASSETS — 100.0%		$3,240,232,860

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1,688	Mini MSCI Emerging Markets		December 2019	$	87,607,200	$	(1,245,201	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Depreciation of Total Return on Asustek Computer Inc + (Daily Fed Funds Rate minus 0.25%)	Appreciation of Total Return on Asustek Computer Inc	MSCI		USD	12,490,755	12/20/2019		At Maturity		—		10,096			10,096
Depreciation of Total Return on MSCI China A Index + (1 Month USD LIBOR minus 3.50%)	Appreciation on Total Return on MSCI China A Index	GS		USD	59,396,053	08/15/2020		At Maturity		—		(817,356	)		(817,356	)
Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 9.50%)	Appreciation on CSI 500 Total Return on Index	GS		USD	25,141,370	08/20/2020		At Maturity		—		(234,063	)		(234,063	)
									$	—	$	(1,041,323	)	$	(1,041,323	)

As of November 30, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

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

(c) Affiliated company.

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

(e) The rate disclosed is the 7 day net yield as of November 30, 2019.

Portfolio Abbreviations:

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

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

GDR - Global Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

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

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

Counterparty Abbreviations:

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

USD - United States Dollar

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.3%
		Australia — 3.8%
	281,212	Abacus Property Group (REIT)		735,530
	479,358	Austal Ltd		1,363,101
	1,902,701	Beach Energy Ltd		3,085,519
	112,623	Credit Corp Group Ltd		2,519,065
	1,445,735	CSR Ltd		4,656,099
	1,444,333	Downer EDI Ltd		8,197,717
	110,271	Elders Ltd		481,701
	3,234,620	Fortescue Metals Group Ltd		21,301,076
	465,773	Harvey Norman Holdings Ltd		1,356,916
	27,220	IDP Education Ltd		334,410
	27,221	JB Hi-Fi Ltd		689,999
	177,200	Macquarie Group Ltd		16,558,422
	109,660	Mineral Resources Ltd		1,152,057
	378,557	New Hope Corp Ltd		555,843
	883,609	OZ Minerals Ltd		6,304,342
	509,074	Pact Group Holdings Ltd *		871,997
	779,383	Rio Tinto Ltd		51,097,941
	980,512	Sandfire Resources NL		3,707,072
	333,179	Super Retail Group Ltd		2,259,330
	319,432	Tassal Group Ltd		938,015
		Total Australia		128,166,152
		Austria — 0.1%
	69,286	Oesterreichische Post AG		2,515,020
		Belgium — 0.3%
	538,793	AGFA-Gevaert NV *		2,758,920
	40,732	D’Ieteren SA		2,625,098
	7,399	Elia System Operator SA/NV		611,373
	79,421	Orange Belgium SA		1,762,725
	35,272	UCB SA		2,857,621
		Total Belgium		10,615,737
		Denmark — 0.0%
	11,091	Per Aarsleff Holding A/S		346,724
	7,566	Schouw & Co AB		577,370
		Total Denmark		924,094
		Finland — 0.1%
	60,369	Neste Oyj		2,040,666
		France — 9.8%
	31,960	Alten SA		3,691,126
	43,954	BNP Paribas SA		2,464,135
	10,581	Christian Dior SE		5,595,908
	23,558	Cie Generale des Etablissements Michelin SCA		2,825,129
	351,597	CNP Assurances		6,942,318
	586	Dassault Systemes SE		92,314
	71,070	Gaztransport Et Technigaz SA		6,278,559
	10,130	Hermes International		7,590,282

Shares		Description	Value ($)
		France — continued
	15,143	IPSOS		483,841
	326,493	L’Oreal SA		93,090,691
	26,489	Lagardere SCA		578,672
	8	LVMH Moet Hennessy Louis Vuitton SE		3,582
	208,823	Metropole Television SA		3,626,078
	1,793,325	Peugeot SA		43,274,235
	170,607	Safran SA		27,893,995
	855,597	Sanofi		79,757,624
	263,328	Sanofi ADR		12,292,151
	10,618	Schneider Electric SE		1,024,284
	1,356,922	STMicroelectronics NV – NY Shares		33,068,189
	178,487	Television Francaise 1		1,442,390
		Total France		332,015,503
		Germany — 5.7%
	12,676	adidas AG		3,952,348
	114,812	ADVA Optical Networking SE *		1,029,345
	267,342	Allianz SE (Registered)		63,939,831
	270,952	Bayerische Motoren Werke AG		21,851,245
	22,530	Beiersdorf AG		2,624,690
	23,573	Carl Zeiss Meditec AG		2,880,499
	451,848	CECONOMY AG *		2,169,957
	5,166	Cewe Stiftung & Co KGaA		550,613
	1,080,507	Deutsche Lufthansa AG (Registered)		20,491,489
	576,488	Deutsche Pfandbriefbank AG		8,669,991
	506,856	Deutz AG		3,029,515
	304,642	Dialog Semiconductor Plc *		15,488,215
	6,074	Indus Holding AG		257,729
	5,433	Rheinmetall AG		578,295
	102,352	RHOEN-KLINIKUM AG		2,096,342
	105,206	Software AG		3,546,562
	114,462	Talanx AG *		5,453,447
	173,865	Volkswagen AG		33,092,124
		Total Germany		191,702,237
		Hong Kong — 1.9%
	236,000	Cafe de Coral Holdings Ltd		591,303
	2,523,640	Champion (REIT)		1,625,413
	2,067,814	Dah Sing Banking Group Ltd		2,633,421
	411,515	Dah Sing Financial Holdings Ltd		1,498,172
	4,603,096	Esprit Holdings Ltd *		911,383
	4,988,469	I-CABLE Communications Ltd *		38,880
	803,257	Luk Fook Holdings International Ltd		2,233,837
	1,419,647	Pacific Textiles Holdings Ltd		1,057,608
	1,336,673	SmarTone Telecommunications Holdings Ltd		1,043,505
	381,680	Television Broadcasts Ltd		620,934
	46,490,420	WH Group Ltd		47,740,338
	464,045	Wheelock & Co Ltd		2,885,198
	740,122	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		109,696
		Total Hong Kong		62,989,688

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Ireland — 0.3%
	239,200	CRH Plc Sponsored ADR		9,161,360
	165	Flutter Entertainment Plc		18,782
		Total Ireland		9,180,142
		Italy — 5.4%
	32,731	Assicurazioni Generali SPA		667,516
	460,297	Banca Mediolanum SPA		4,666,274
	27,241	Buzzi Unicem SPA		673,475
	36,437	De’ Longhi SPA		776,406
	10,396,577	Enel SPA		78,578,141
	648,397	EXOR NV		49,482,181
	891,424	Fiat Chrysler Automobiles NV		13,148,504
	483,547	Hera SPA		2,132,269
	1,020,389	Iren SPA		3,163,078
	45,129	La Doria SPA		457,861
	111,238	Leonardo SPA		1,298,785
	139,445	Mediobanca Banca di Credito Finanziario SPA		1,557,063
	67,548	Poste Italiane SPA		787,419
	8,580	Reply SPA		671,763
	1,624,597	Saras SPA		2,859,198
	1,264,178	Societa Cattolica di Assicurazioni SC		10,163,402
	632,744	Unipol Gruppo SPA		3,703,958
	2,441,695	UnipolSai Assicurazioni SPA		7,101,648
		Total Italy		181,888,941
		Japan — 22.3%
	73,353	AOKI Holdings Inc		760,249
	4,309,076	Asahi Kasei Corp		48,446,665
	4,850,850	Astellas Pharma Inc		82,817,395
	111,927	Autobacs Seven Co Ltd		1,830,851
	100	Bandai Namco Holdings Inc		6,066
	1,741,921	Brother Industries Ltd		34,580,252
	45,636	Cawachi Ltd		959,450
	86,819	Daiwabo Holdings Co Ltd		4,295,567
	709,162	DCM Holdings Co Ltd		6,883,001
	6,309	Denka Co Ltd		188,097
	81,385	Dexerials Corp		803,469
	61,878	Doutor Nichires Holdings Co Ltd		1,253,404
	30,366	DTS Corp		650,426
	6,621	Ehime Bank Ltd (The)		73,618
	430,992	Fancl Corp		11,517,388
	638,545	Fuji Electric Co Ltd		19,669,224
	216,300	Fuji Media Holdings Inc		2,928,830
	119,100	FUJIFILM Holdings Corp		5,631,682
	143,796	Fujitsu Ltd		13,084,494
	30,189	Fuyo General Lease Co Ltd		1,994,824
	148,912	Geo Holdings Corp		1,774,192
	20,435	Gunze Ltd		967,754
	309,400	Hakuhodo DY Holdings Inc		5,006,116
	26,167	Hanwa Co Ltd		667,844
	1,977,778	Hitachi Ltd		77,892,854

Shares		Description	Value ($)
		Japan — continued
	815,600	Honda Motor Co Ltd		22,926,127
	182,849	House Foods Group Inc		6,343,917
	2,896,568	ITOCHU Corp		63,244,506
	22,900	Itochu Techno-Solutions Corp		612,054
	51,200	Kajima Corp		675,763
	161,711	Kanematsu Corp		2,067,943
	225,800	KDDI Corp		6,487,428
	104,417	Keihin Corp		2,457,494
	53,669	Kohnan Shoji Co Ltd		1,241,875
	1,731,100	Konica Minolta Inc		11,353,282
	50,667	Mandom Corp		1,401,936
	7,516,656	Mitsubishi Chemical Holdings Corp		55,782,734
	118,900	Mitsubishi Electric Corp		1,643,693
	432,741	Mitsubishi Gas Chemical Co Inc		6,773,175
	3,178	Mitsui Sugar Co Ltd		67,226
	80,150	Modec Inc		1,812,662
	76,266	Namura Shipbuilding Co Ltd		196,767
	190,900	NEC Corp		7,638,203
	239,372	NET One Systems Co Ltd		6,728,303
	151,957	Nichias Corp		3,638,983
	111,309	Nippo Corp		2,282,348
	68,233	Nippon Signal Co Ltd		807,857
	1,684,244	Nippon Telegraph & Telephone Corp		85,086,429
	104,512	Nishi-Nippon Financial Holdings Inc		807,694
	38,700	NS Solutions Corp		1,341,086
	607	NuFlare Technology Inc		65,942
	240,500	Obayashi Corp		2,550,620
	134,392	Okinawa Electric Power Co (The)		2,442,935
	94,802	Press Kogyo Co Ltd		384,160
	210,896	Prima Meat Packers Ltd		4,892,188
	37,957	San-A Co Ltd		1,739,418
	100,187	Seiko Holdings Corp		2,584,399
	483,628	Sekisui Chemical Co Ltd		8,427,380
	210,500	Showa Corp		4,387,862
	8,792,687	Sojitz Corp		27,652,365
	10,364,563	Sumitomo Chemical Co Ltd		46,800,243
	142,203	T-Gaia Corp		3,401,888
	43,361	Tokyo Seimitsu Co Ltd		1,559,569
	151,295	Tokyu Construction Co Ltd		1,077,566
	145,911	Towa Pharmaceutical Co Ltd		3,754,180
	294,554	Toyota Tsusho Corp		10,303,317
	27,982	TPR Co Ltd		532,117
	228,267	TS Tech Co Ltd		7,096,003
	76,619	TSI Holdings Co Ltd		387,645
	29,016	Ube Industries Ltd		623,808
	197,814	Valor Holdings Co Ltd		3,672,377
	23,304	Warabeya Nichiyo Holdings Co Ltd		389,659
	26,746	Yahagi Construction Co Ltd		186,480
		Total Japan		753,015,318
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (a)		—

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Netherlands — 6.8%
	911,526	ABN AMRO Group NV CVA		15,535,371
	410,594	ASR Nederland NV		15,261,299
	16,849	Corbion NV		521,270
	178,096	Heineken Holding NV		17,067,643
	6,965,859	ING Groep NV		80,105,959
	876,461	Koninklijke Ahold Delhaize NV		22,574,514
	373,891	Koninklijke Philips NV		17,359,727
	23,727	Randstad NV		1,381,365
	927,527	Signify NV		27,667,782
	458,761	Wolters Kluwer NV		32,949,322
		Total Netherlands		230,424,252
		New Zealand — 0.0%
	481,967	Air New Zealand Ltd		876,089
	208,052	Chorus Ltd		788,173
		Total New Zealand		1,664,262
		Norway — 2.0%
	540,829	BW LPG Ltd		4,667,472
	2,710,437	DNB ASA		45,470,091
	183,128	Equinor ASA		3,375,981
	82,158	Gjensidige Forsikring ASA		1,545,106
	461,447	Leroy Seafood Group ASA		2,915,925
	456,625	Orkla ASA		4,419,205
	110,624	Salmar ASA		5,266,023
	10,853	SpareBank 1 Nord Norge		84,957
		Total Norway		67,744,760
		Portugal — 2.6%
	130,405	Altri SGPS SA		811,499
	291,299	CTT-Correios de Portugal SA		987,338
	8,764,450	EDP – Energias de Portugal SA		35,460,628
	2,287,319	Galp Energia SGPS SA		37,199,502
	479,766	Jeronimo Martins SGPS SA		7,661,301
	156,727	Navigator Co SA (The)		602,448
	517,602	NOS SGPS SA		2,804,776
	639,463	REN – Redes Energeticas Nacionais SGPS SA		1,952,223
		Total Portugal		87,479,715
		Singapore — 2.6%
	502,800	CapitaLand Commercial Trust (REIT)		738,587
	3,337,100	CapitaLand Ltd		8,981,235
	585,600	CapitaLand Mall Trust (REIT)		1,078,524
	4,277,200	ComfortDelGro Corp Ltd		7,354,351
	1,288,200	DBS Group Holdings Ltd		23,773,691
	2,916,200	Frasers Logistics & Industrial Trust (REIT)		2,644,984
	740,800	Hi-P International Ltd		839,435
	72,500	Jardine Cycle & Carriage Ltd		1,626,269
	961,700	Lendlease Global Commercial (REIT) *		657,495
	1,042,832	Mapletree Commercial Trust (REIT)		1,799,279

Shares		Description	Value ($)
		Singapore — continued
	3,615,900	Mapletree Greater China Commercial Trust (REIT)		3,119,615
	1,277,800	Mapletree Industrial Trust (REIT)		2,344,685
	2,819,000	Mapletree Logistics Trust (REIT)		3,482,871
	1,102,900	Singapore Exchange Ltd		7,135,256
	1,353,800	Singapore Technologies Engineering Ltd		4,089,706
	217,400	United Overseas Bank Ltd		4,102,566
	279,200	Venture Corp Ltd		3,237,732
	873,000	Wilmar International Ltd		2,611,970
	11,101,700	Yangzijiang Shipbuilding Holdings Ltd		8,359,208
	81,474	Yanlord Land Group Ltd		69,680
		Total Singapore		88,047,139
		Spain — 7.2%
	295,347	ACS Actividades de Construccion y Servicios SA		11,481,018
	303,304	Aena SME SA		55,654,312
	1,964,528	Banco Santander SA		7,651,667
	219,924	Cia de Distribucion Integral Logista Holdings SA		4,962,847
	394,444	Ebro Foods SA		8,623,204
	1,137,586	Endesa SA		30,924,988
	6,522,307	Iberdrola SA		64,164,711
	7,107,282	International Consolidated Airlines Group SA		50,790,004
	3,177,722	Mapfre SA		8,956,387
	115,077	Mediaset Espana Comunicacion SA		751,056
		Total Spain		243,960,194
		Sweden — 3.8%
	62,687	Atlas Copco AB – A Shares		2,296,999
	23,951	Atlas Copco AB – B Shares		774,327
	401,869	Betsson AB *		1,848,546
	24,897	JM AB		681,159
	52,970	Klovern AB – B Shares		103,215
	235,564	Resurs Holding AB		1,356,608
	395,867	Sandvik AB		7,199,010
	778,969	Swedish Match AB		37,312,032
	4,969,501	Volvo AB – B Shares		76,828,293
	94,381	Wihlborgs Fastigheter AB		1,580,844
		Total Sweden		129,981,033
		Switzerland — 5.6%
	51,443	Ascom Holding AG (Registered)		513,372
	6,111	Autoneum Holding AG		718,874
	1,566	Banque Cantonale Vaudoise (Registered)		1,204,426
	8,453	Kardex AG (Registered)		1,377,620
	4,802	Komax Holding AG (Registered)		1,044,738
	470,936	Nestle SA (Registered)		48,904,227
	121,943	Novartis AG (Registered)		11,241,422
	41,399	Roche Holding AG		12,619,703
	347,167	Roche Holding AG – Genusschein		107,029,083

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	53,896	Vontobel Holding AG (Registered)		3,462,354
	13,346	Wizz Air Holdings Plc *		680,739
	4,556	Zehnder Group AG – Class RG		207,102
		Total Switzerland		189,003,660
		United Kingdom — 18.0%
	2,947,306	3i Group Plc		40,801,344
	105,700	Ashmore Group Plc		649,707
	504,770	Ashtead Group Plc		15,324,276
	171,553	AstraZeneca Plc		16,573,349
	48,356	Auto Trader Group Plc		351,235
	148,324	AVEVA Group Plc		8,736,960
	89,462	BAE Systems Plc		662,507
	3,771,834	Barratt Developments Plc		32,517,717
	359,936	Bellway Plc		15,538,350
	482,213	Berkeley Group Holdings Plc (The)		28,585,043
	48,157	Bovis Homes Group Plc		762,862
	1,314,640	British American Tobacco Plc		52,031,781
	485,500	British American Tobacco Plc Sponsored ADR		19,230,655
	197,521	Britvic Plc		2,472,249
	333,668	Coca-Cola HBC AG *		11,126,146
	70,699	Diageo Plc Sponsored ADR		11,555,045
	531,238	Dunelm Group Plc		5,858,734
	1,404,694	Electrocomponents Plc		11,869,695
	878,864	Evraz Plc		4,208,771
	2,415,980	Ferrexpo Plc		4,480,628
	6,564,594	Firstgroup Plc *		10,221,181
	267,268	Galliford Try Plc		2,532,661
	3,913,342	GlaxoSmithKline Plc		88,909,265
	72,633	Grafton Group Plc		787,175
	150,078	Greggs Plc		4,038,958
	117,113	Halfords Group Plc		243,167
	78,002	Halma Plc		2,122,152
	294,196	Hunting Plc		1,488,192
	1,505,457	IG Group Holdings Plc		13,145,319
	1,022,656	Inchcape Plc		8,610,320
	144,742	Intermediate Capital Group Plc		2,861,533
	1,197,312	JD Sports Fashion Plc		11,761,439
	145,711	Jupiter Fund Management Plc		685,663
	6,155,615	Legal & General Group Plc		22,338,561
	90,170	Mondi Plc		1,952,112
	137,622	Moneysupermarket.com Group Plc		605,669
	356,328	National Express Group Plc		2,135,150
	412,989	Next Plc		36,085,263
	215,905	Pagegroup Plc		1,342,615
	1,988,309	Persimmon Plc		65,749,763
	553,156	Phoenix Group Holdings Plc		5,330,129
	708,202	Plus500 Ltd		7,049,644
	442,484	QinetiQ Group Plc		1,910,731
	22,046	Royal Dutch Shell Plc – Class A		632,030
	11,200	Royal Dutch Shell Plc – Class B Sponsored ADR		645,232

Shares		Description	Value ($)
		United Kingdom — continued
	61,871	Savills Plc		791,153
	104,200	Smith & Nephew Plc Sponsored ADR		4,666,076
	235,105	Spectris Plc		8,513,963
	521,189	Spirent Communications Plc		1,422,126
	75,705	SSP Group Plc		659,091
	1,528,817	Tate & Lyle Plc		14,454,780
	313,257	Vesuvius Plc		1,837,658
	52,950	WPP Plc		683,729
		Total United Kingdom		609,549,554
		TOTAL COMMON STOCKS (COST $3,260,319,550)		3,322,908,067
		MUTUAL FUNDS — 1.5%
		United States — 1.5%
		Affiliated Issuers — 1.5%
	10,012,275	GMO U.S. Treasury Fund		50,061,375
		TOTAL MUTUAL FUNDS (COST $50,061,375)		50,061,375
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	6,960,441	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (b)		6,960,441
		TOTAL SHORT-TERM INVESTMENTS (COST $6,960,441)		6,960,441
		TOTAL INVESTMENTS — 100.0% (Cost $3,317,341,366)		3,379,929,883
		Other Assets and Liabilities (net) — (0.0%)		(962,732	)
		TOTAL NET ASSETS — 100.0%		$3,378,967,151

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
275	Mini MSCI EAFE	December 2019	$	27,187,875	$	(86,613	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

As of November 30, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2019.

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

REIT - Real Estate Investment Trust

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.3%
		Banks — 6.7%
	3,702,127	US Bancorp		222,238,684
	4,258,700	Wells Fargo & Co.		231,928,802
		Total Banks		454,167,486
		Capital Goods — 6.1%
	1,144,211	3M Co.		194,252,701
	515,894	Honeywell International, Inc.		92,112,874
	583,441	Knorr-Bremse AG		56,705,899
	506,844	United Technologies Corp.		75,185,239
		Total Capital Goods		418,256,713
		Consumer Services — 1.0%
	2,749,551	Compass Group Plc		67,370,518
		Diversified Financials — 2.9%
	1,625,640	American Express Co.		195,271,877
		Food & Staples Retailing — 1.2%
	267,007	Costco Wholesale Corp.		80,051,369
		Food, Beverage & Tobacco — 5.8%
	2,380,755	Coca-Cola Co. (The)		127,132,317
	1,115,293	Nestle SA (Registered)		115,817,314
	1,803,317	Philip Morris International, Inc.		149,549,079
		Total Food, Beverage & Tobacco		392,498,710
		Health Care Equipment & Services — 14.4%
	1,165,756	Abbott Laboratories		99,613,850
	291,591	Alcon, Inc. *		16,107,032
	649,892	Anthem, Inc.		187,597,825
	268,167	Becton Dickinson and Co.		69,321,169
	239,998	Humana, Inc.		81,894,517
	2,149,848	Medtronic Plc		239,471,569
	1,022,062	UnitedHealth Group, Inc.		286,044,492
		Total Health Care Equipment & Services		980,050,454
		Household & Personal Products — 3.0%
	990,675	Reckitt Benckiser Group Plc		77,767,251
	2,170,738	Unilever Plc		128,589,121
		Total Household & Personal Products		206,356,372
		Media & Entertainment — 8.3%
	148,506	Alphabet, Inc. – Class A *		193,665,190
	157,346	Alphabet, Inc. – Class C *		205,330,236
	808,019	Facebook, Inc. – Class A *		162,928,951
		Total Media & Entertainment		561,924,377

Shares / Par Value†		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 12.0%
	1,194,596	Eli Lilly & Co.		140,185,840
	1,760,613	Johnson & Johnson		242,066,681
	2,437,127	Merck & Co., Inc.		212,468,732
	721,370	Roche Holding AG – Genusschein		222,393,171
		Total Pharmaceuticals, Biotechnology & Life Sciences		817,114,424
		Retailing — 3.1%
	31,260	Booking Holdings, Inc. *		59,519,978
	2,447,729	TJX Cos, Inc. (The)		149,629,673
		Total Retailing		209,149,651
		Semiconductors & Semiconductor Equipment — 5.3%
	18,405,790	Taiwan Semiconductor Manufacturing Co Ltd		185,137,532
	1,437,781	Texas Instruments, Inc.		172,835,654
		Total Semiconductors & Semiconductor Equipment		357,973,186
		Software & Services — 20.3%
	1,024,922	Accenture Plc – Class A		206,173,310
	2,109,312	Cognizant Technology Solutions Corp. – Class A		135,227,992
	335,106	Mastercard, Inc. – Class A		97,928,026
	2,753,717	Microsoft Corp.		416,857,680
	5,586,250	Oracle Corp.		313,612,075
	864,957	SAP SE		117,510,138
	507,142	Visa, Inc. – Class A		93,572,770
		Total Software & Services		1,380,881,991
		Technology Hardware & Equipment — 6.5%
	1,206,106	Apple, Inc.		322,331,828
	2,682,316	Cisco Systems, Inc.		121,535,738
		Total Technology Hardware & Equipment		443,867,566
		Transportation — 0.7%
	1,000,300	Lyft, Inc. – Class A *		48,994,694
		TOTAL COMMON STOCKS (COST $4,111,817,630)		6,613,929,388
		DEBT OBLIGATIONS — 0.4%
		U.S. Government — 0.4%
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 1.68%, due 01/31/21		29,987,627
		TOTAL DEBT OBLIGATIONS (COST $29,985,493)		29,987,627

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.2%
		Affiliated Issuers — 0.2%
	3,141,064	GMO U.S. Treasury Fund		15,705,319
		TOTAL MUTUAL FUNDS (COST $15,705,282)		15,705,319
		SHORT-TERM INVESTMENTS — 1.8%
		Money Market Funds — 0.9%
	61,815,873	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (a)		61,815,873
		U.S. Government — 0.9%
	19,000,000	U.S. Treasury Note, 1.50%, due 08/15/20		18,976,992
	40,000,000	U.S. Treasury Note, 1.63%, due 11/30/20		39,968,750
		Total U.S. Government		58,945,742
		TOTAL SHORT-TERM INVESTMENTS (COST $120,802,096)		120,761,615
		TOTAL INVESTMENTS — 99.7% (Cost $4,278,310,501)		6,780,383,949
		Other Assets and Liabilities (net) — 0.3%		20,841,236
		TOTAL NET ASSETS — 100.0%		$6,801,225,185

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2019.

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

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

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.9%
		Argentina — 1.2%
	937,754	Adecoagro SA *		6,451,748
		Australia — 3.1%
	233,874	Beach Energy Ltd		379,262
	1,927,203	Jupiter Mines Ltd		325,721
	389,511	Mineral Resources Ltd (a)		4,092,094
	946,257	Sandfire Resources NL		3,577,562
	3,323,101	South32 Ltd		6,056,126
	589,067	Tassal Group Ltd		1,729,801
		Total Australia		16,160,566
		Austria — 1.0%
	92,797	OMV AG		5,285,688
		Brazil — 2.4%
	409,800	Cosan SA		6,010,955
	532,500	Duratex SA		1,808,666
	174,100	Enauta Participacoes SA		567,078
	824,857	Sao Martinho SA		4,071,973
		Total Brazil		12,458,672
		Canada — 2.2%
	135,200	Canadian Solar Inc *		2,210,520
	104,600	Enerflex Ltd		944,967
	6,669,100	Largo Resources Ltd * (a)		5,121,194
	142,800	Lundin Mining Corp		772,967
	528,300	Peyto Exploration & Development Corp (a)		1,105,680
	225,100	Seven Generations Energy Ltd – Class A *		1,218,451
		Total Canada		11,373,779
		China — 3.0%
	575,000	China Everbright International Ltd		434,912
	7,692,300	China Petroleum & Chemical Corp – Class A		5,460,994
	1,678,000	China Water Affairs Group Ltd.		1,288,224
	1,672,000	CNOOC Ltd		2,427,125
	3,870,983	Inner Mongolia Eerduosi Resources Co Ltd – Class A		4,673,079
	1,189,798	Xinjiang Goldwind Science & Technology Co Ltd – Class H		1,323,702
		Total China		15,608,036
		Colombia — 0.7%
	3,768,757	Ecopetrol SA		3,525,438
		Denmark — 1.5%
	10,425	Maersk Drilling A/S *		631,208
	75,669	Vestas Wind Systems A/S		7,201,524
		Total Denmark		7,832,732

Shares		Description	Value ($)
		France — 2.8%
	24,854	Eramet (a)		1,110,752
	249,800	Suez		3,698,057
	50,100	TOTAL SA		2,627,984
	179,550	Veolia Environnement SA		4,597,379
	48,070	Vilmorin & Cie SA		2,648,541
		Total France		14,682,713
		Germany — 0.3%
	152,015	K+S AG (Registered) (a)		1,715,203
		Hungary — 0.7%
	389,925	MOL Hungarian Oil & Gas Plc		3,768,720
		India — 1.7%
	2,034,287	Oil & Natural Gas Corp Ltd		3,721,973
	278,819	Oil India Ltd		596,758
	631,289	Rashtriya Chemicals & Fertilizers Ltd		436,430
	2,235,622	Vedanta Ltd		4,490,272
		Total India		9,245,433
		Israel — 2.5%
	45,198	Equital Ltd *		1,335,517
	1,682,635	Israel Chemicals Ltd		7,884,916
	20,026	Israel Corp Ltd (The) *		4,073,482
		Total Israel		13,293,915
		Japan — 3.3%
	93,200	Ebara Corp		2,804,562
	329,400	Hitachi Zosen Corp		1,265,050
	178,500	Kubota Corp		2,756,011
	21,200	Kurita Water Industries Ltd		593,247
	245,500	Mitsubishi Materials Corp		6,564,711
	41,500	Nittetsu Mining Co Ltd		1,707,603
	26,100	Sumitomo Metal Mining Co Ltd		791,700
	96,400	Takuma Co Ltd		1,105,069
		Total Japan		17,587,953
		Mexico — 2.9%
	5,885,200	Grupo Mexico SAB de CV		15,359,102
		Norway — 3.3%
	522,832	Austevoll Seafood ASA		5,002,711
	113,362	Borregaard ASA		1,150,291
	116,753	BW Offshore Ltd *		772,608
	933,711	DNO ASA		1,061,491
	314,100	Equinor ASA		5,790,462
	111,753	Grieg Seafood ASA		1,705,748
	28,566	TGS NOPEC Geophysical Co ASA		813,295
	23,518	Yara International ASA		885,975
		Total Norway		17,182,581

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Pakistan — 0.4%
	1,572,000	Fauji Fertilizer Co Ltd		1,073,074
	5,765	Millat Tractors Ltd		27,281
	1,396,600	Oil & Gas Development Co Ltd		1,184,549
		Total Pakistan		2,284,904
		Poland — 1.7%
	297,662	KGHM Polska Miedz SA *		6,833,229
	1,827,691	Polskie Gornictwo Naftowe i Gazownictwo SA		2,155,136
		Total Poland		8,988,365
		Russia — 14.2%
	1,636,830	Gazprom Neft PJSC		10,646,292
	699,380	Gazprom PJSC		2,795,637
	172,933	LUKOIL PJSC Sponsored ADR		16,498,163
	479,544	MMC Norilsk Nickel PJSC ADR		12,585,362
	92,799	Novatek PJSC Sponsered GDR (Registered)		18,387,817
	465,338	PhosAgro PJSC GDR (Registered)		5,736,192
	575,419	Ros Agro Plc GDR (Registered)		5,778,229
	411,269	Rosneft PJSC GDR (Registered)		2,793,582
		Total Russia		75,221,274
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd * (b)		—
		South Africa — 1.3%
	223,045	African Rainbow Minerals Ltd		2,310,982
	2,263,400	Sibanye Gold Ltd * (a)		4,494,704
		Total South Africa		6,805,686
		South Korea — 0.5%
	6,118	Korea Zinc Co Ltd		2,105,464
	1,358	Young Poong Corp		726,648
		Total South Korea		2,832,112
		Spain — 1.6%
	532,129	Repsol SA		8,377,442
		Sweden — 1.9%
	391,520	Boliden AB		10,098,361
		Switzerland — 0.2%
	960	Gurit Holding AG		1,271,461
		Thailand — 2.0%
	1,022,164	PTT Exploration & Production Pcl (Foreign Registered)		4,055,605
	4,509,610	PTT Pcl (Foreign Registered)		6,451,307
		Total Thailand		10,506,912
		Turkey — 0.5%
	1,642,447	Koza Anadolu Metal Madencilik Isletmeleri AS *		2,622,958

Shares		Description	Value ($)
		Ukraine — 0.5%
	267,341	Kernel Holding SA		2,827,797
		United Kingdom — 11.6%
	412,190	Anglo American Plc		10,785,298
	492,799	BHP Group Plc		10,917,553
	417,839	BP Plc		2,602,511
	339,132	Central Asia Metals Plc		927,439
	543,905	Diversified Gas & Oil Plc		710,828
	2,074,149	Ferrexpo Plc		3,846,675
	4,196,276	Glencore Plc		13,245,831
	231,196	KAZ Minerals Plc		1,462,657
	196,203	Petrofac Ltd		976,295
	240,435	Polypipe Group Plc		1,523,471
	202,322	Rio Tinto Plc		11,014,174
	90,720	Royal Dutch Shell Plc – A Shares		2,598,922
	499,213	Tullow Oil Plc		845,156
		Total United Kingdom		61,456,810
		United States — 20.9%
	64,000	AGCO Corp.		5,000,320
	240,100	Albemarle Corp. (a)		15,697,738
	105,600	CNX Resources Corp. *		729,696
	525,808	Denbury Resources, Inc. *		518,710
	50,400	First Solar, Inc. *		2,784,096
	2,362,664	Freeport-McMoRan, Inc.		26,887,116
	36,900	FutureFuel Corp.		414,018
	342,600	Gulfport Energy Corp. *		811,962
	213,900	Laredo Petroleum, Inc. *		462,024
	648,500	Livent Corp. *		5,058,300
	90,900	Magnolia Oil & Gas Corp. – Class A * (a)		987,174
	799,200	Mosaic Co. (The)		15,224,760
	959,100	Renewable Energy Group, Inc. * (a)		16,362,246
	15,100	REX American Resources Corp. *		1,386,935
	21,400	Rexnord Corp. *		676,026
	170,355	SolarEdge Technologies, Inc. *		13,902,671
	54,800	Solaris Oilfield Infrastructure, Inc.– Class A		588,004
	943,100	Southwestern Energy Co. * (a)		1,716,442
	190,700	SRC Energy, Inc. *		680,799
	172,300	W&T Offshore, Inc. *		737,444
		Total United States		110,626,481
		TOTAL COMMON STOCKS (COST $454,476,760)		475,452,842
		PREFERRED STOCKS (c) — 9.1%
		Brazil — 5.1%
	3,342,999	Bradespar SA		27,004,881
		Chile — 2.7%
	612,512	Sociedad Quimica y Minera de Chile SA Sponsored ADR (a)		14,596,161

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Russia — 1.3%
	55,697	Bashneft PJSC		1,492,460
	5,091,084	Surgutneftegas PJSC		2,857,095
	230,971	Tatneft PJSC		2,476,884
		Total Russia		6,826,439
		TOTAL PREFERRED STOCKS (COST $45,315,829)		48,427,481
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, Expires 04/16/23 *(d)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		MUTUAL FUNDS — 4.6%
		United States — 4.6%
		Affiliated Issuers — 4.6%
	4,839,535	GMO U.S. Treasury Fund (e)		24,197,678
		TOTAL MUTUAL FUNDS (COST $24,204,832)		24,197,678
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	888,465	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (f)		888,465
		TOTAL SHORT-TERM INVESTMENTS (COST $888,465)		888,465
		TOTAL INVESTMENTS — 103.8% (Cost $524,885,886)		548,966,466
		Other Assets and Liabilities (net) — (3.8%)		(20,036,374	)
		TOTAL NET ASSETS — 100.0%		$528,930,092

Notes to Schedule of Investments:

* Non-income producing security.

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

(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.

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

(d) Investment valued using significant unobservable inputs.

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

(f) The rate disclosed is the 7 day net yield as of November 30, 2019.

Portfolio Abbreviations:

ADR - American Depositary Receipt

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

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 99.4%
		U.S. Government — 99.4%
	20,400,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.61%, due 07/31/20 (a)		20,394,348
		TOTAL DEBT OBLIGATIONS (COST $20,399,723)		20,394,348
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	66,230	State Street Institutional Treasury Money Market Fund-Premier Class, 1.58% (b)		66,230
		TOTAL SHORT-TERM INVESTMENTS (COST $66,230)		66,230
		TOTAL INVESTMENTS — 99.7% (Cost $20,465,953)		20,460,578
		Other Assets and Liabilities (net) — 0.3%		70,337
		TOTAL NET ASSETS — 100.0%		$20,530,915

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Written Options — Puts

Index Options

Description	Exercise Price	Expiration Date		Number of Contracts	Notional Amount			Value ($)
S&P 500 Index	3,110.00		12/20/19	65		USD	20,416,370		(131,755	)
	TOTAL WRITTEN INDEX OPTIONS – PUTS (Premiums $255,233)							$	(131,755	)

As of November 30, 2019, 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.

(b) The rate disclosed is the 7 day net yield as of November 30, 2019.

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

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

Currency Abbreviations:

USD - United States Dollar

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.5%
		Australia — 3.9%
	18,037	Accent Group Ltd		20,782
	8,938	Adairs Ltd		11,000
	27,727	Australian Pharmaceutical Industries Ltd		24,621
	2,541	CSR Ltd		8,183
	76,880	Fortescue Metals Group Ltd		506,281
	5,489	IDP Education Ltd		67,435
	3,351	Macquarie Group Ltd		313,134
	11,954	Mirvac Group (REIT)		27,217
	13,160	New Hope Corp Ltd		19,323
	7,828	OFX Group Ltd		7,150
	4,228	OZ Minerals Ltd		30,166
	7,735	Rio Tinto Ltd		507,122
	29,463	Southern Cross Media Group Ltd		19,132
	5,066	St Barbara Ltd		8,986
	4,335	Super Retail Group Ltd		29,396
		Total Australia		1,599,928
		Austria — 0.1%
	1,297	Vienna Insurance Group AG Wiener Versicherung Gruppe		35,849
		Belgium — 0.1%
	1,593	AGFA-Gevaert NV *		8,157
	499	UCB SA		40,427
		Total Belgium		48,584
		Brazil — 1.7%
	11,600	Banco do Brasil SA		130,995
	3,800	Cia de Saneamento Basico do Estado de Sao Paulo		51,520
	7,400	Cogna Educacao		17,916
	59,200	JBS SA		398,237
	1,500	Mahle-Metal Leve SA		8,783
	18,600	MRV Engenharia e Participacoes SA		77,191
		Total Brazil		684,642
		Canada — 0.5%
	300	Bank of Montreal		23,085
	4,000	Canaccord Genuity Group Inc		14,756
	600	Canadian Pacific Railway Ltd		142,944
	1,100	Wajax Corp		12,223
		Total Canada		193,008
		China — 1.8%
	12,000	Agile Group Holdings Ltd		16,837
	13,000	BAIC Motor Corp Ltd – Class H		7,287
	75,000	Bank of Communications Co Ltd – Class H		49,232
	20,000	China CITIC Bank Corp Ltd – Class H		10,934
	60,000	China Communications Services Corp Ltd – Class H		40,391
	72,000	China Lesso Group Holdings Ltd		75,423
	13,500	China Minsheng Banking Corp Ltd – Class H		9,397
	80,000	China Railway Construction Corp Ltd – Class H		82,582

Shares		Description	Value ($)
		China — continued
	5,000	China Resources Pharmaceutical Group Ltd		4,368
	44,000	China SCE Group Holdings Ltd		20,976
	9,000	China Shineway Pharmaceutical Group Ltd		9,232
	2,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		6,027
	42,400	Guangzhou R&F Properties Co Ltd – Class H		71,263
	10,000	Huabao International Holdings Ltd		3,257
	15,000	Kingboard Holdings Ltd		41,293
	37,800	Shanghai Pharmaceuticals Holding Co Ltd – Class H		67,793
	44,500	Shimao Property Holdings Ltd		161,232
	2,000	Sinopec Engineering Group Co Ltd – Class H		1,172
	14,000	Times China Holdings Ltd		26,355
	5,385	Times Neighborhood Holdings Ltd *		1,359
	23,000	Weichai Power Co Ltd – Class H		39,305
		Total China		745,715
		Denmark — 0.1%
	2,720	Scandinavian Tobacco Group A/S		31,446
		Finland — 0.2%
	2,643	Neste Oyj		89,342
		France — 10.8%
	751	Alten SA		86,734
	224	BNP Paribas SA		12,558
	38	Christian Dior SE		20,097
	659	Cie Generale des Etablissements Michelin SCA		79,029
	1,163	CNP Assurances		22,963
	1,290	Dassault Systemes SE		203,217
	563	Gaztransport Et Technigaz SA		49,737
	218	Hermes International		163,345
	260	Jacquet Metal Service SA		4,227
	705	Kaufman & Broad SA		28,475
	3,937	L’Oreal SA		1,122,530
	518	LVMH Moet Hennessy Louis Vuitton SE		231,909
	1,207	Neopost SA		25,498
	31,801	Peugeot SA		767,381
	3,000	Safran SA		490,496
	11,948	Sanofi		1,113,777
	900	Sanofi ADR		42,012
		Total France		4,463,985
		Germany — 5.2%
	645	adidas AG		201,110
	4,108	Allianz SE (Registered)		982,505
	2,761	Bayer AG (Registered)		208,523
	268	Bechtle AG		35,178
	2,425	Borussia Dortmund GmbH & Co KGaA		22,399
	508	Carl Zeiss Meditec AG		62,075
	3,980	CECONOMY AG *		19,114
	5,092	Deutsche Lufthansa AG (Registered)		96,568
	4,742	Deutsche Pfandbriefbank AG		71,317
	3,210	Deutz AG		19,186

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	3,494	Dialog Semiconductor Plc *		177,637
	160	Eckert & Ziegler Strahlen- und Medizintechnik AG		34,143
	806	Elmos Semiconductor AG		25,429
	765	Evonik Industries AG		22,185
	56	Hannover Rueck SE		10,391
	100	Siemens AG (Registered)		12,886
	679	Volkswagen AG		129,236
	964	Wacker Neuson SE		17,138
		Total Germany		2,147,020
		Hong Kong — 1.5%
	11,200	Dah Sing Banking Group Ltd		14,264
	485,000	WH Group Ltd		498,039
	18,000	Wheelock & Co Ltd		111,915
		Total Hong Kong		624,218
		Hungary — 0.2%
	12,105	Magyar Telekom Telecommunications Plc		17,520
	1,137	MOL Hungarian Oil & Gas Plc		10,990
	2,515	Richter Gedeon Nyrt		48,161
		Total Hungary		76,671
		India — 0.4%
	14,067	Firstsource Solutions Ltd		8,180
	1,149	Mahindra & Mahindra Ltd Sponsored GDR		8,667
	107	NIIT Technologies Ltd		2,218
	21,019	Power Finance Corp Ltd *		33,525
	2,716	Rajesh Exports Ltd		25,562
	51,151	REC Ltd		98,368
		Total India		176,520
		Ireland — 0.8%
	2,500	CRH Plc Sponsored ADR		95,750
	122	Flutter Entertainment Plc		13,888
	6,190	Smurfit Kappa Group Plc		219,579
		Total Ireland		329,217
		Italy — 4.5%
	11,005	Arnoldo Mondadori Editore SPA *		26,344
	1,439	Banca Mediolanum SPA		14,588
	130,057	Enel SPA		982,981
	9,318	EXOR NV		711,100
	883	Leonardo SPA		10,310
	1,067	Mediobanca Banca di Credito Finanziario SPA		11,914
	8,872	Societa Cattolica di Assicurazioni SC		71,327
	901	Societa Iniziative Autostradali e Servizi SPA		15,160
	12,213	UnipolSai Assicurazioni SPA		35,521
		Total Italy		1,879,245
		Japan — 21.6%
	500	Adastria Co Ltd		11,220
	900	Arakawa Chemical Industries Ltd		12,730

Shares		Description	Value ($)
		Japan — continued
	34,000	Asahi Kasei Corp		382,260
	55,200	Astellas Pharma Inc		942,416
	3,900	Bandai Namco Holdings Inc		236,560
	9,200	Brother Industries Ltd		182,636
	2,200	Fuji Electric Co Ltd		67,767
	1,300	Fuji Media Holdings Inc		17,603
	9,300	FUJIFILM Holdings Corp		439,753
	1,700	Fujitsu Ltd		154,689
	500	Fujiya Co Ltd		9,919
	1,000	Furuno Electric Co Ltd		11,483
	1,300	Hanwa Co Ltd		33,179
	13,400	Haseko Corp		172,481
	18,700	Hitachi Ltd		736,481
	1,000	Hokuetsu Industries Co Ltd		11,716
	20,500	Honda Motor Co Ltd		576,245
	34,500	ITOCHU Corp		753,283
	400	Itochu Techno-Solutions Corp		10,691
	1,600	Kajima Corp		21,118
	1,400	Kamei Corp		15,444
	20,500	KDDI Corp		588,983
	21,000	Konica Minolta Inc		137,727
	300	Makino Milling Machine Co Ltd		14,822
	7,800	Marubeni Corp		57,683
	75,000	Mitsubishi Chemical Holdings Corp		556,591
	2,200	Mitsubishi Electric Corp		30,413
	5,300	NEC Corp		212,061
	5,300	NET One Systems Co Ltd		148,973
	1,000	Nichias Corp		23,947
	100	Nihon Unisys Ltd		3,218
	20,200	Nippon Telegraph & Telephone Corp		1,020,485
	5,200	Obayashi Corp		55,149
	900	Rohto Pharmaceutical Co Ltd		28,325
	200	SCREEN Holdings Co Ltd		13,966
	500	Sekisui House Ltd		10,813
	1,100	Shimizu Corp.		10,543
	2,900	Shionogi & Co Ltd		170,707
	1,100	Showa Corp		22,929
	93,100	Sojitz Corp		292,793
	50,400	Sumitomo Chemical Co Ltd		227,577
	3,100	Teijin Ltd		58,347
	400	Tokyo Electron Ltd		82,743
	12,700	Tosoh Corp		189,260
	6,200	Toyota Tsusho Corp		216,872
		Total Japan		8,974,601
		Malta — 0.0%
	1,718,063	BGP Holdings Plc * (a)		—
		Mexico — 0.0%
	6,300	ALEATICA SAB de CV		8,031
		Netherlands — 6.2%
	3,975	ABN AMRO Group NV CVA		67,747

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	3,499	ASR Nederland NV		130,054
	869	Heineken Holding NV		83,280
	43,731	ING Groep NV		502,897
	13,472	Koninklijke Ahold Delhaize NV		346,991
	6,900	Koninklijke Philips NV		320,366
	671	NN Group NV		25,739
	1,962	Randstad NV		114,226
	10,136	Signify NV		302,353
	9,371	Wolters Kluwer NV		673,048
		Total Netherlands		2,566,701
		Norway — 0.9%
	3,775	Austevoll Seafood ASA		36,121
	8,441	DNB ASA		141,605
	568	Gjensidige Forsikring ASA		10,682
	2,568	Grieg Seafood ASA		39,197
	6,249	Orkla ASA		60,478
	682	Salmar ASA		32,465
	2,884	SpareBank 1 Nord Norge		22,576
	2,652	SpareBank 1 SR-Bank ASA		27,933
		Total Norway		371,057
		Philippines — 0.0%
	305	Globe Telecom Inc		11,643
		Poland — 0.0%
	807	Asseco Poland SA		11,682
		Portugal — 1.8%
	1,570	Altri SGPS SA		9,770
	109,897	EDP – Energias de Portugal SA		444,639
	10,290	Galp Energia SGPS SA		167,350
	4,952	Jeronimo Martins SGPS SA		79,077
	2,795	Navigator Co SA (The)		10,744
	3,531	NOS SGPS SA		19,134
		Total Portugal		730,714
		Russia — 1.2%
	61,359	Gazprom PJSC Sponsored ADR		487,301
	72,000	Inter RAO UES PJSC		4,991
	557	Novolipetsk Steel PJSC GDR		11,214
		Total Russia		503,506
		Singapore — 2.1%
	10,000	CapitaLand Ltd		26,913
	51,700	ComfortDelGro Corp Ltd		88,895
	18,600	DBS Group Holdings Ltd		343,262
	1,100	Jardine Cycle & Carriage Ltd		24,674
	9,300	Mapletree Greater China Commercial Trust (REIT)		8,024
	30,400	Mapletree Logistics Trust (REIT)		37,559
	200	Singapore Airlines Ltd		1,345
	8,200	Singapore Exchange Ltd		53,050

Shares		Description	Value ($)
		Singapore — continued
	10,400	Singapore Technologies Engineering Ltd		31,418
	4,700	United Overseas Bank Ltd		88,694
	1,300	Venture Corp Ltd		15,075
	7,500	Wilmar International Ltd		22,440
	134,900	Yangzijiang Shipbuilding Holdings Ltd		101,575
	26,400	Yanlord Land Group Ltd		22,578
		Total Singapore		865,502
		South Africa — 0.4%
	12,823	Absa Group Ltd		128,775
	27,765	Blue Label Telecoms Ltd *		6,168
	2,040	Reunert Ltd		9,586
	4,338	Telkom SA SOC Ltd		13,871
		Total South Africa		158,400
		South Korea — 2.0%
	195	DongKook Pharmaceutical Co Ltd		12,538
	8,505	Hana Financial Group Inc		257,875
	149	Hyundai Home Shopping Network Corp		10,748
	10,178	Industrial Bank of Korea		101,322
	6,846	Kia Motors Corp		250,923
	1,562	Mirae Asset Daewoo Co Ltd		9,588
	293	Sebang Global Battery Co Ltd		9,300
	2,044	Shinhan Financial Group Co Ltd		75,502
	2,100	SK Telecom Co Ltd Sponsored ADR		48,132
	8	Taekwang Industrial Co Ltd		7,287
	3,340	Woori Financial Group Inc		33,150
		Total South Korea		816,365
		Spain — 6.0%
	5,429	ACS Actividades de Construccion y Servicios SA		211,041
	3,603	Aena SME SA		661,127
	2,208	Almirall SA		37,527
	3,919	Banco Bilbao Vizcaya Argentaria SA		20,588
	22,613	Banco Santander SA		88,076
	699	Cia de Distribucion Integral Logista Holdings SA		15,774
	13,844	Endesa SA		376,346
	87,728	Iberdrola SA		863,044
	21,047	International Consolidated Airlines Group SA		150,406
	21,847	Mapfre SA		61,576
	1,950	Mediaset Espana Comunicacion SA		12,727
		Total Spain		2,498,232
		Sweden — 3.0%
	779	Atrium Ljungberg AB – B Shares		16,839
	2,177	Axfood AB		46,898
	5,355	Betsson AB *		24,632
	1,647	Bufab AB		21,773
	1,400	Lindab International AB		16,637
	3,682	Resurs Holding AB		21,204
	19,792	Sandvik AB		359,926
	1,541	SKF AB – B Shares		29,432

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	4,486	Swedish Match AB		214,876
	2,991	Volvo AB – A Shares		46,194
	28,080	Volvo AB – B Shares		434,116
		Total Sweden		1,232,527
		Switzerland — 5.4%
	522	ALSO Holding AG (Registered) *		82,749
	350	Bobst Group SA (Registered)		19,404
	379	Galenica AG *		22,803
	467	Huber + Suhner AG (Registered)		31,893
	4,938	Nestle SA (Registered)		512,785
	399	Novartis AG (Registered)		36,782
	255	Orior AG *		22,831
	492	Roche Holding AG		149,977
	4,402	Roche Holding AG – Genusschein		1,357,105
	7	Vetropack Holding AG		19,396
		Total Switzerland		2,255,725
		Taiwan — 1.4%
	9,900	Feng TAY Enterprise Co Ltd		61,968
	62,000	Inventec Corp		46,435
	19,000	Novatek Microelectronics Corp		139,195
	1,000	Phison Electronics Corp		9,318
	80,000	Pou Chen Corp		104,194
	44,000	Radiant Opto-Electronics Corp		168,736
	7,000	Ruentex Industries Ltd *		17,361
	11,000	Sunplus Technology Co Ltd *		4,652
	4,595	TOPBI International Holdings Ltd		13,077
		Total Taiwan		564,936
		Thailand — 0.0%
	52,700	AP Thailand Pcl NVDR		11,950
	17,900	GFPT Pcl NVDR		7,344
		Total Thailand		19,294
		Turkey — 0.2%
	7,481	KOC Holding AS		26,019
	38,417	Turkiye Garanti Bankasi AS *		67,355
		Total Turkey		93,374
		United Kingdom — 14.5%
	46,440	3i Group Plc		642,897
	1,907	Ashmore Group Plc		11,722
	3,999	Ashtead Group Plc		121,405
	668	AVEVA Group Plc		39,348
	27,858	BAE Systems Plc		206,301
	59,554	Barratt Developments Plc		513,427
	4,969	Bellway Plc		214,510
	7,323	Berkeley Group Holdings Plc (The)		434,099
	4,600	British American Tobacco Plc Sponsored ADR		182,206
	2,566	Coca-Cola HBC AG *		85,563
	1,582	Computacenter Plc		30,885

Shares		Description	Value ($)
		United Kingdom — continued
	12,763	Diageo Plc		521,455
	4,640	Dunelm Group Plc		51,172
	11,484	Electrocomponents Plc		97,040
	6,437	Evraz Plc		30,826
	22,747	Ferrexpo Plc		42,186
	173	Games Workshop Group Plc		12,803
	12,141	GlaxoSmithKline Plc		275,838
	800	GlaxoSmithKline Plc Sponsored ADR		36,384
	245	Greggs Plc		6,594
	407	Imperial Brands Plc		8,955
	16,247	Inchcape Plc		136,793
	741	Intermediate Capital Group Plc		14,649
	3,923	International Personal Finance Plc		7,104
	14,572	JD Sports Fashion Plc		143,144
	6,108	John Laing Group Plc		30,019
	114,984	Legal & General Group Plc		417,274
	8,616	Lookers Plc		6,003
	4,509	Meggitt Plc		37,469
	2	Mondi Plc (b)		43
	5,361	Mondi Plc (b)		116,062
	3,284	Morgan Advanced Materials Plc		12,168
	1,218	Morgan Sindall Group Plc		22,542
	4,354	National Express Group Plc		26,090
	2,686	Next Plc		234,691
	2,347	OneSavings Bank Plc		11,737
	20,914	Persimmon Plc		691,588
	5,541	Phoenix Group Holdings Plc		53,392
	2,039	Plus500 Ltd		20,297
	14,587	QinetiQ Group Plc		62,989
	1,632	Redrow Plc		13,941
	1,076	Sage Group Plc (The)		10,477
	2,200	Smith & Nephew Plc Sponsored ADR		98,516
	937	Softcat Plc		13,639
	218	Spirax-Sarco Engineering Plc		25,128
	10,383	Spirent Communications Plc		28,331
	20,782	Tate & Lyle Plc		196,491
	895	United Utilities Group Plc		9,877
	1,700	WPP Plc		21,952
		Total United Kingdom		6,028,022
		TOTAL COMMON STOCKS (COST $32,304,612)		40,835,702
		PREFERRED STOCKS (c) — 0.4%
		Brazil — 0.0%
	2,300	Banco do Estado do Rio Grande do Sul SA – Class B		10,936
		Germany — 0.3%
	331	Bayerische Motoren Werke AG		20,390
	98	Henkel AG & Co KGaA		10,344
	292	Sixt SE		19,934
	446	Volkswagen AG		86,048
		Total Germany		136,716

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		South Korea — 0.0%
	28	Samsung Electronics Co Ltd		970
		Sweden — 0.1%
	466	Akelius Residential Property AB		16,837
		TOTAL PREFERRED STOCKS (COST $145,593)		165,459
		RIGHTS/WARRANTS — 0.0%
		China — 0.0%
	583	Times China Holdings Ltd, Expires 12/11/19 *		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		MUTUAL FUNDS — 2.3%
		United States — 2.3%
		Affiliated Issuers — 2.3%
	188,296	GMO U.S. Treasury Fund		941,481
		TOTAL MUTUAL FUNDS (COST $941,691)		941,481
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	179,282	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (d)		179,282
		TOTAL SHORT-TERM INVESTMENTS (COST $179,282)		179,282
		TOTAL INVESTMENTS — 101.6% (Cost $33,571,178)		42,121,924
		Other Assets and Liabilities (net) — (1.6%)		(660,131	)
		TOTAL NET ASSETS — 100.0%		$41,461,793

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.

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

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

(d) The rate disclosed is the 7 day net yield as of November 30, 2019.

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Automobiles & Components — 1.6%
	55,300	Aptiv Plc		5,191,564
	56,300	Dana, Inc.		954,285
	71,300	Gentex Corp.		2,024,920
	21,221	Modine Manufacturing Co. *		157,460
	6,800	Standard Motor Products, Inc.		342,516
	11,100	Stoneridge, Inc. *		334,554
		Total Automobiles & Components		9,005,299
		Banks — 2.1%
	3,519	American National Bankshares, Inc.		133,124
	54,100	Citigroup, Inc.		4,063,992
	50,854	Citizens Financial Group, Inc.		1,955,845
	3,744	CNB Financial Corp.		118,535
	1,561	Federal Agricultural Mortgage Corp. – Class C		129,641
	68,400	Fifth Third Bancorp		2,064,996
	2,723	First Bancorp, Inc.		77,551
	14,500	Hilltop Holdings, Inc.		357,135
	20,561	Popular, Inc.		1,137,229
	92,367	Regions Financial Corp.		1,536,987
	4,084	Territorial Bancorp, Inc.		129,422
	11,500	Washington Federal, Inc.		423,315
		Total Banks		12,127,772
		Capital Goods — 10.8%
	15,200	AGCO Corp.		1,187,576
	13,400	Atkore International Group, Inc. *		559,048
	31,900	Builders FirstSource, Inc. *		810,579
	17,226	Cummins, Inc.		3,149,946
	10,700	Curtiss-Wright Corp.		1,469,217
	2,400	Douglas Dynamics, Inc.		129,864
	51,900	Eaton Corp Plc		4,800,750
	7,300	EMCOR Group, Inc.		649,189
	25,094	Federal Signal Corp.		826,596
	13,400	Griffon Corp.		284,348
	16,224	ITT, Inc.		1,132,111
	12,800	L3Harris Technologies, Inc.		2,573,952
	20,900	Lockheed Martin Corp.		8,172,527
	29,340	Meritor, Inc. *		740,835
	3,200	Miller Industries, Inc.		117,280
	10,796	Moog, Inc. – Class A		927,052
	13,000	Mueller Industries, Inc.		408,070
	9,500	Northrop Grumman Corp.		3,341,815
	16,631	Oshkosh Corp.		1,504,440
	12,400	Owens Corning		831,544
	37,600	PACCAR, Inc.		3,059,512
	4,600	Roper Technologies, Inc.		1,657,702
	12,704	SPX Corp. *		606,997
	8,723	Teledyne Technologies, Inc. *		2,983,179
	53,491	Textron, Inc.		2,473,424
	23,279	Timken Co. (The)		1,224,243
	97,300	United Technologies Corp.		14,433,482

Shares		Description	Value ($)
		Capital Goods — continued
	19,796	Universal Forest Products, Inc.		981,882
	3,300	Vectrus, Inc. *		168,102
		Total Capital Goods		61,205,262
		Commercial & Professional Services — 1.5%
	37,799	ACCO Brands Corp.		345,861
	20,209	Brady Corp. – Class A		1,151,913
	10,000	CBIZ, Inc. *		268,600
	4,100	Cimpress NV *		525,374
	13,800	Deluxe Corp.		704,904
	6,900	Ennis, Inc.		142,416
	8,446	FTI Consulting, Inc. *		920,530
	3,900	Heidrick & Struggles International, Inc.		120,978
	36,804	Herman Miller, Inc.		1,758,495
	10,900	HNI Corp.		428,261
	13,500	Interface, Inc.		226,665
	11,400	Kelly Services, Inc. – Class A		249,774
	11,600	Kimball International, Inc. – Class B		248,008
	16,704	Knoll, Inc.		460,362
	5,800	Resources Connection, Inc.		89,610
	2,500	SP Plus Corp. *		109,625
	28,500	Steelcase, Inc. – Class A		516,420
		Total Commercial & Professional Services		8,267,796
		Consumer Durables & Apparel — 4.5%
	20,245	Acushnet Holdings Corp.		608,767
	5,360	Bassett Furniture Industries, Inc.		81,579
	26,499	Callaway Golf Co.		550,649
	12,096	Columbia Sportswear Co.		1,118,880
	5,530	Culp, Inc.		89,144
	6,300	Deckers Outdoor Corp. *		1,059,534
	12,700	Ethan Allen Interiors, Inc.		227,076
	3,569	Flexsteel Industries, Inc.		65,598
	37,487	Garmin Ltd.		3,662,105
	101,000	Hanesbrands, Inc.		1,522,070
	10,500	Hasbro, Inc.		1,067,850
	6,600	Helen of Troy Ltd. *		1,065,372
	3,260	Johnson Outdoors, Inc. – Class A		210,596
	15,500	KB Home		535,990
	20,990	La-Z-Boy, Inc.		663,284
	7,600	M/I Homes, Inc. *		336,452
	69,100	NIKE, Inc. – Class B		6,460,159
	360	NVR, Inc. *		1,365,081
	44,000	PulteGroup, Inc.		1,744,600
	4,400	Rocky Brands, Inc.		122,672
	24,100	Skechers U.S.A., Inc. – Class A *		969,302
	12,900	Whirlpool Corp.		1,845,990
		Total Consumer Durables & Apparel		25,372,750
		Consumer Services — 1.1%
	35,384	Bloomin’ Brands, Inc.		850,985
	9,100	Brinker International, Inc.		407,680

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Consumer Services — continued
	26,600	Career Education Corp. *		443,688
	1,448	Graham Holdings Co. – Class B		914,571
	40,900	H&R Block, Inc.		997,142
	28,600	Laureate Education, Inc. – Class A *		496,210
	11,200	Royal Caribbean Cruises Ltd.		1,344,224
	12,600	Wyndham Destinations Corp.		611,100
		Total Consumer Services		6,065,600
		Diversified Financials — 4.5%
	75,100	Ally Financial, Inc.		2,391,184
	43,200	American Express Co.		5,189,184
	31,014	Ameriprise Financial, Inc.		5,082,264
	10,100	Artisan Partners Asset Management, Inc. – Class A		299,667
	35,500	Capital One Financial Corp.		3,550,355
	16,030	Enova International, Inc. *		369,171
	28,700	Federated Investors, Inc. – Class B		962,024
	3,600	INTL. FCStone, Inc. *		144,000
	29,700	Legg Mason, Inc.		1,160,676
	13,500	LPL Financial Holdings, Inc.		1,246,725
	67,700	Navient Corp.		971,495
	24,700	OneMain Holdings, Inc.		1,064,323
	14,900	Raymond James Financial, Inc.		1,338,318
	22,400	SEI Investments Co.		1,445,472
		Total Diversified Financials		25,214,858
		Energy — 1.0%
	7,400	Dril-Quip, Inc. *		312,724
	45,800	Marathon Oil Corp.		533,570
	30,904	Phillips 66		3,545,307
	2,400	SEACOR Holdings, Inc. *		101,616
	33,400	World Fuel Services Corp.		1,416,160
		Total Energy		5,909,377
		Food, Beverage & Tobacco — 5.4%
	82,800	General Mills, Inc.		4,414,896
	24,000	Hershey Co. (The)		3,555,840
	110,600	Mondelez International, Inc. – Class A		5,810,924
	87,000	PepsiCo, Inc.		11,817,210
	52,100	Tyson Foods, Inc.– Class A		4,683,269
		Total Food, Beverage & Tobacco		30,282,139
		Health Care Equipment & Services — 5.1%
	18,300	AmerisourceBergen Corp.		1,608,753
	12,470	Anthem, Inc.		3,599,590
	62,000	Baxter International, Inc.		5,082,140
	41,400	Hologic, Inc. *		2,124,648
	8,100	Masimo Corp. *		1,256,067
	17,978	McKesson Corp.		2,600,338
	109,000	Medtronic Plc		12,141,510
	6,500	Varex Imaging Corp. *		194,610
		Total Health Care Equipment & Services		28,607,656

Shares		Description	Value ($)
		Household & Personal Products — 4.1%
	70,500	Colgate-Palmolive Co.		4,781,310
	50,147	Estee Lauder Cos, Inc. (The) – Class A		9,802,234
	5,164	Inter Parfums, Inc.		364,010
	62,100	Kimberly-Clark Corp.		8,466,714
		Total Household & Personal Products		23,414,268
		Insurance — 3.2%
	36,802	Allstate Corp. (The)		4,097,903
	16,200	Fidelity National Financial, Inc.		771,606
	21,904	First American Financial Corp.		1,393,532
	29,200	Hartford Financial Services Group, Inc. (The)		1,806,312
	27,300	Lincoln National Corp.		1,612,065
	55,680	Old Republic International Corp.		1,256,141
	37,600	Principal Financial Group, Inc.		2,071,760
	68,707	Progressive Corp. (The)		5,019,046
		Total Insurance		18,028,365
		Materials — 1.6%
	6,300	Boise Cascade Co.		238,896
	9,000	Innospec, Inc.		885,600
	10,600	Kraton Corp. *		238,818
	33,779	LyondellBasell Industries NV – Class A		3,125,909
	9,051	Materion Corp.		532,742
	22,300	PolyOne Corp.		703,119
	10,400	Reliance Steel & Aluminum Co.		1,226,992
	9,800	Schweitzer-Mauduit International, Inc.		429,828
	23,700	Silgan Holdings, Inc.		730,197
	6,700	Stepan Co.		649,230
	7,900	Tredegar Corp.		170,087
		Total Materials		8,931,418
		Media & Entertainment — 5.3%
	1,300	Alphabet, Inc. – Class C *		1,696,448
	339,000	Comcast Corp. – Class A		14,966,850
	34,200	DHI Group, Inc. *		115,254
	25,900	Electronic Arts, Inc. *		2,616,159
	18,267	Gannett Co., Inc.		116,178
	80,700	Interpublic Group of Cos., Inc. (The)		1,807,680
	28,900	Liberty TripAdvisor Holdings, Inc. – Class A *		200,277
	25,600	National CineMedia, Inc.		171,776
	58,952	News Corp. – Class A		759,302
	40,050	News Corp. – Class B		527,458
	41,589	Omnicom Group, Inc.		3,305,494
	66,385	TEGNA, Inc.		1,019,010
	100,400	Viacom, Inc. – Class B		2,416,628
		Total Media & Entertainment		29,718,514
		Pharmaceuticals, Biotechnology & Life Sciences — 11.6%
	53,600	Amgen, Inc.		12,580,992
	29,100	Biogen, Inc. *		8,724,471
	86,900	Bristol-Myers Squibb Co.		4,948,086
	25,397	Bruker Corp.		1,300,072

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	142,300	Gilead Sciences, Inc.		9,568,252
	177,831	Merck & Co., Inc.		15,503,307
	330,138	Pfizer, Inc.		12,716,916
		Total Pharmaceuticals, Biotechnology & Life Sciences		65,342,096
		Real Estate — 1.9%
	32,949	CBRE Group, Inc. – Class A *		1,878,752
	27,093	CoreCivic, Inc. (REIT)		410,459
	139,181	Host Hotels & Resorts, Inc. (REIT)		2,434,276
	6,588	Jones Lang LaSalle, Inc.		1,095,782
	10,700	Lamar Advertising Co. – Class A (REIT)		892,701
	6,800	Newmark Group, Inc. – Class A		88,740
	42,600	Outfront Media, Inc. (REIT)		1,064,148
	24,900	Park Hotels & Resorts, Inc. (REIT)		588,885
	53,700	Retail Properties of America, Inc. – Class A (REIT)		764,151
	16,200	Spirit Realty Capital, Inc. (REIT)		848,880
	42,800	Sunstone Hotel Investors, Inc. (REIT)		599,200
		Total Real Estate		10,665,974
		Retailing — 6.7%
	700	Amazon.com, Inc. *		1,260,560
	7,700	Asbury Automotive Group, Inc. *		853,468
	16,900	AutoNation, Inc. *		863,421
	70,840	Best Buy Co., Inc.		5,712,538
	21,300	Core-Mark Holding Co., Inc.		574,035
	39,400	Designer Brands, Inc. – Class A		650,100
	20,000	Dick’s Sporting Goods, Inc.		916,200
	178,455	eBay, Inc.		6,338,721
	23,900	Expedia Group, Inc.		2,429,674
	10,189	Group 1 Automotive, Inc.		1,050,384
	8,100	Haverty Furniture Cos, Inc.		162,891
	28,063	Kohl’s Corp.		1,319,242
	6,000	Lithia Motors, Inc. – Class A		963,480
	13,600	Sonic Automotive, Inc. – Class A		445,400
	107,000	Target Corp.		13,376,070
	11,100	Williams-Sonoma, Inc.		770,340
		Total Retailing		37,686,524
		Semiconductors & Semiconductor Equipment — 7.4%
	25,600	Amkor Technology, Inc. *		309,504
	127,400	Applied Materials, Inc.		7,376,460
	13,800	Entegris, Inc.		653,016
	301,400	Intel Corp.		17,496,270
	15,842	KLA Corp.		2,595,870
	14,000	Lam Research Corp.		3,735,620
	27,900	Maxim Integrated Products, Inc.		1,581,093
	64,800	Micron Technology, Inc. *		3,078,648
	69,300	ON Semiconductor Corp. *		1,487,871
	13,895	Onto Innovation, Inc. *		466,316
	12,300	Skyworks Solutions, Inc.		1,209,090
	26,900	Teradyne, Inc.		1,683,671
		Total Semiconductors & Semiconductor Equipment		41,673,429

Shares		Description	Value ($)
		Software & Services — 8.5%
	29,600	Accenture Plc – Class A		5,954,336
	31,020	Amdocs Ltd.		2,149,686
	25,600	Booz Allen Hamilton Holding Corp.		1,862,656
	5,500	CACI International, Inc. – Class A *		1,316,260
	77,505	Cadence Design Systems, Inc. *		5,444,726
	12,127	Citrix Systems, Inc.		1,368,047
	14,130	CSG Systems International, Inc.		808,095
	26,100	Genpact Ltd.		1,062,270
	31,295	Intuit, Inc.		8,101,963
	9,900	j2 Global, Inc.		960,498
	8,100	MAXIMUS, Inc.		604,665
	41,653	Microsoft Corp.		6,305,431
	22,500	NIC, Inc.		510,525
	73,400	Oracle Corp.		4,120,676
	17,048	Progress Software Corp.		716,186
	10,510	Sykes Enterprises, Inc. *		369,321
	45,919	Synopsys, Inc. *		6,476,416
		Total Software & Services		48,131,757
		Technology Hardware & Equipment — 8.6%
	28,255	Apple, Inc.		7,551,149
	15,833	Arrow Electronics, Inc. *		1,260,940
	9,900	Benchmark Electronics, Inc.		341,253
	24,800	CDW Corp.		3,349,240
	34,700	Ciena Corp. *		1,317,212
	5,800	Comtech Telecommunications Corp.		219,182
	10,600	Digi International, Inc. *		189,104
	352,714	Hewlett Packard Enterprise Co.		5,583,463
	374,740	HP, Inc.		7,524,779
	14,520	Insight Enterprises, Inc. *		952,367
	135,800	Juniper Networks, Inc.		3,403,148
	42,007	Motorola Solutions, Inc.		7,027,771
	20,000	National Instruments Corp.		842,400
	20,200	NCR Corp. *		663,166
	31,900	Sanmina Corp. *		1,014,739
	21,000	Seagate Technology Plc		1,253,280
	8,200	SYNNEX Corp.		1,007,042
	23,800	TE Connectivity Ltd.		2,206,498
	7,900	Tech Data Corp. *		1,144,631
	49,600	Xerox Holdings Corp.		1,930,928
		Total Technology Hardware & Equipment		48,782,292
		Telecommunication Services — 1.9%
	20,900	T-Mobile US, Inc. *		1,641,695
	31,271	Telephone & Data Systems, Inc.		741,435
	141,900	Verizon Communications, Inc.		8,548,056
		Total Telecommunication Services		10,931,186
		Utilities — 0.3%
	37,600	NRG Energy, Inc.		1,493,848
		TOTAL COMMON STOCKS (COST $493,805,185)		556,858,180

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.1%
		Affiliated Issuers — 1.1%
	1,254,668	GMO U.S. Treasury Fund		6,273,340
		TOTAL MUTUAL FUNDS (COST $6,273,340)		6,273,340
		TOTAL INVESTMENTS — 99.8% (Cost $500,078,525)		563,131,520
		Other Assets and Liabilities (net) — 0.2%		1,092,061
		TOTAL NET ASSETS — 100.0%		$564,223,581

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
30	S&P 500 E-Mini	December 2019	$	4,715,550	$	238,909

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2019, 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.

Portfolio Abbreviations:

REIT - Real Estate Investment Trust

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.0%
		Automobiles & Components — 1.6%
	275,000	Dana, Inc.		4,661,250
	20,800	Standard Motor Products, Inc.		1,047,696
	35,300	Stoneridge, Inc. *		1,063,942
		Total Automobiles & Components		6,772,888
		Banks — 18.1%
	1,600	1st Source Corp.		82,256
	4,500	Amalgamated Bank – Class A		86,040
	98,800	Associated Banc-Corp.		2,118,272
	9,300	BancFirst Corp.		549,537
	7,300	Bancorp, Inc. (The) *		80,957
	12,900	Boston Private Financial Holdings, Inc.		151,446
	58,900	Brookline Bancorp, Inc.		945,345
	6,600	Camden National Corp.		286,704
	2,600	Century Bancorp, Inc. – Class A		226,850
	9,100	Civista Bancshares, Inc.		197,288
	1,200	CNB Financial Corp.		37,992
	4,900	Community Trust Bancorp, Inc.		220,206
	84,700	Dime Community Bancshares, Inc.		1,707,552
	1,200	ESSA Bancorp, Inc.		20,676
	138,400	Essent Group Ltd.		7,563,560
	3,400	Farmers National Banc Corp.		52,156
	9,500	Federal Agricultural Mortgage Corp. – Class C		788,975
	11,900	Financial Institutions, Inc.		387,702
	10,600	First Bancorp		414,460
	7,776	First Community Bankshares, Inc.		237,090
	38,500	First Defiance Financial Corp.		1,160,775
	4,400	First Financial Corp.		194,568
	1,000	First Financial Northwest, Inc.		14,730
	165,400	Flagstar Bancorp, Inc.		6,162,804
	17,800	Flushing Financial Corp.		377,360
	314,500	Fulton Financial Corp.		5,396,820
	12,000	Great Southern Bancorp, Inc.		732,360
	169,000	Hilltop Holdings, Inc.		4,162,470
	12,600	HomeTrust Bancshares, Inc.		329,238
	18,115	Independent Bank Corp.		404,870
	51,800	International Bancshares Corp.		2,197,356
	174,800	Investors Bancorp, Inc.		2,108,088
	1,700	LCNB Corp.		31,433
	4,400	Macatawa Bank Corp.		47,124
	9,800	Mercantile Bank Corp.		345,450
	45,700	Meridian Bancorp, Inc.		919,941
	1,400	MutualFirst Financial, Inc.		55,510
	2,700	Nicolet Bankshares, Inc. *		195,642
	4,100	Northrim BanCorp, Inc.		153,627
	229,000	Northwest Bancshares, Inc.		3,810,560
	186,300	OFG Bancorp		3,996,135
	151,300	PennyMac Financial Services, Inc.		5,191,103
	15,400	Peoples Bancorp, Inc.		503,734
	22,200	Popular, Inc.		1,227,882
	1,800	Premier Financial Bancorp, Inc.		32,670

Shares		Description	Value ($)
		Banks — continued
	32,400	Provident Financial Services, Inc.		787,968
	169,100	Radian Group, Inc.		4,369,544
	1,639	Republic Bancorp, Inc. – Class A		75,722
	49,300	Sandy Spring Bancorp, Inc.		1,743,248
	5,200	Sierra Bancorp		139,360
	2,700	Territorial Bancorp, Inc.		85,563
	600	Timberland Bancorp, Inc.		17,781
	29,300	TriCo Bancshares		1,132,445
	34,900	TrustCo Bank Corp.		306,422
	36,900	Trustmark Corp.		1,267,884
	20,800	UMB Financial Corp.		1,399,216
	19,500	United Community Financial Corp.		216,645
	17,100	Univest Financial Corp.		446,481
	65,500	Walker & Dunlop, Inc.		4,299,420
	90,300	Washington Federal, Inc.		3,323,943
	39,003	Waterstone Financial, Inc.		735,987
		Total Banks		76,254,943
		Capital Goods — 10.9%
	300	Allied Motion Technologies, Inc.		13,440
	18,600	Atkore International Group, Inc. *		775,992
	256,700	Builders FirstSource, Inc. *		6,522,747
	28,900	Ducommun, Inc. *		1,412,632
	8,300	EnPro Industries, Inc.		551,037
	155,500	Federal Signal Corp.		5,122,170
	24,625	Gorman-Rupp Co. (The)		911,371
	91,200	Griffon Corp.		1,935,264
	4,900	Hurco Cos, Inc.		175,322
	23,400	Hyster-Yale Materials Handling, Inc.		1,385,982
	258,500	Meritor, Inc. *		6,527,125
	3,000	Miller Industries, Inc.		109,950
	73,400	Moog, Inc. – Class A		6,302,858
	74,200	Mueller Industries, Inc.		2,329,138
	9,200	Park-Ohio Holdings Corp.		290,996
	2,800	Preformed Line Products Co.		201,320
	2,800	Quanex Building Products Corp.		54,488
	50,343	SPX Corp. *		2,405,389
	10,800	Systemax, Inc.		250,128
	40,500	Timken Co. (The)		2,129,895
	84,500	Universal Forest Products, Inc.		4,191,200
	41,700	Vectrus, Inc. *		2,124,198
	700	Watts Water Technologies, Inc. – Class A		67,872
		Total Capital Goods		45,790,514
		Commercial & Professional Services — 6.1%
	310,129	ACCO Brands Corp.		2,837,680
	118,600	Brady Corp. – Class A		6,760,200
	1,800	CRA International, Inc.		92,286
	58,700	Deluxe Corp.		2,998,396
	29,700	Ennis, Inc.		613,008
	2,800	Heidrick & Struggles International, Inc.		86,856
	132,800	Herman Miller, Inc.		6,345,184

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Commercial & Professional Services — continued
	2,700	ICF International, Inc.		242,271
	54,800	Kelly Services, Inc. – Class A		1,200,668
	66,600	Kimball International, Inc. – Class B		1,423,908
	62,100	Knoll, Inc.		1,711,476
	82,600	Pitney Bowes, Inc.		389,046
	18,200	Resources Connection, Inc.		281,190
	18,700	SP Plus Corp. *		819,995
		Total Commercial & Professional Services		25,802,164
		Consumer Durables & Apparel — 4.2%
	96,100	Acushnet Holdings Corp.		2,889,727
	2,900	Bassett Furniture Industries, Inc.		44,138
	96,000	Callaway Golf Co.		1,994,880
	5,400	Clarus Corp.		67,986
	1,200	Escalade, Inc.		13,620
	152,500	Ethan Allen Interiors, Inc.		2,726,700
	51,000	G-III Apparel Group Ltd. *		1,509,600
	14,100	Hooker Furniture Corp.		335,721
	29,400	Johnson Outdoors, Inc. – Class A		1,899,240
	69,300	La-Z-Boy, Inc.		2,189,880
	28,100	M/I Homes, Inc. *		1,243,987
	28,000	MDC Holdings, Inc.		1,107,960
	6,700	Movado Group, Inc.		130,985
	14,600	Rocky Brands, Inc.		407,048
	2,400	Universal Electronics, Inc. *		133,440
	63,800	Vera Bradley, Inc. *		704,352
	43,900	ZAGG, Inc. *		337,152
		Total Consumer Durables & Apparel		17,736,416
		Consumer Services — 2.7%
	128,900	Bloomin’ Brands, Inc.		3,100,045
	62,800	Brinker International, Inc.		2,813,440
	10,600	Carriage Services, Inc.		254,930
	80,824	K12, Inc. *		1,588,192
	139,500	Laureate Education, Inc. – Class A *		2,420,325
	82,200	Regis Corp. *		1,325,886
		Total Consumer Services		11,502,818
		Diversified Financials — 6.4%
	4,300	AG Mortgage Investment Trust, Inc. (REIT)		66,951
	33,000	Apollo Investment Corp.		557,040
	51,300	Artisan Partners Asset Management, Inc. – Class A		1,522,071
	8,300	Brightsphere Investment Group, Inc.		79,929
	49,600	Curo Group Holdings Corp. *		675,056
	70,800	Donnelley Financial Solutions, Inc. *		710,832
	100,000	Ellington Financial, Inc.		1,811,000
	4,900	Encore Capital Group, Inc. *		178,703
	191,317	Enova International, Inc. *		4,406,030
	23,800	Federated Investors, Inc. – Class B		797,776
	34,500	INTL. FCStone, Inc. *		1,380,000
	288,800	Invesco Mortgage Capital, Inc. (REIT)		4,690,112
	29,900	Legg Mason, Inc.		1,168,492

Shares		Description	Value ($)
		Diversified Financials — continued
	22,200	Oppenheimer Holdings, Inc. – Class A		632,922
	310,700	PennyMac Mortgage Investment Trust (REIT)		7,174,063
	6,200	Piper Jaffray Cos.		501,456
	20,200	Westwood Holdings Group, Inc.		623,372
		Total Diversified Financials		26,975,805
		Energy — 3.4%
	48,479	Archrock, Inc.		407,709
	46,500	Bonanza Creek Energy, Inc. *		811,890
	100,100	California Resources Corp. *		654,654
	100	Dril-Quip, Inc. *		4,226
	53,200	Evolution Petroleum Corp.		277,172
	16,900	Geospace Technologies Corp. *		243,698
	791,300	Laredo Petroleum, Inc. *		1,709,208
	28,380	Matrix Service Co. *		594,277
	3,000	Penn Virginia Corp. *		72,450
	8,100	REX American Resources Corp. *		743,985
	5,400	Talos Energy, Inc. *		125,280
	349,000	W&T Offshore, Inc. *		1,493,720
	172,300	World Fuel Services Corp.		7,305,520
		Total Energy		14,443,789
		Food & Staples Retailing — 0.5%
	26,600	Ingles Markets, Inc. – Class A		1,182,104
	8,000	Village Super Market, Inc. – Class A		226,240
	18,800	Weis Markets, Inc.		748,804
		Total Food & Staples Retailing		2,157,148
		Food, Beverage & Tobacco — 0.9%
	5,416	Seneca Foods Corp. – Class A *		211,766
	70,300	Universal Corp.		3,671,066
		Total Food, Beverage & Tobacco		3,882,832
		Health Care Equipment & Services — 0.9%
	43,600	Computer Programs & Systems, Inc.		1,159,324
	17,300	FONAR Corp. *		343,751
	20,800	HealthStream, Inc. *		605,904
	7,400	Integer Holdings Corp. *		561,290
	12,400	Lantheus Holdings, Inc. *		259,160
	47,800	RTI Surgical Holdings, Inc. *		88,430
	26,800	Varex Imaging Corp. *		802,392
		Total Health Care Equipment & Services		3,820,251
		Household & Personal Products — 0.8%
	46,600	Inter Parfums, Inc.		3,284,834
		Insurance — 0.7%
	17,300	Employers Holdings, Inc.		743,381
	11,600	FedNat Holding Co.		172,956
	5,000	Hallmark Financial Services, Inc. *		95,350
	74,000	National General Holdings Corp.		1,575,460
	14,200	State Auto Financial Corp.		465,476
		Total Insurance		3,052,623

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Materials — 6.8%
	26,500	American Vanguard Corp.		426,650
	51,400	Carpenter Technology Corp.		2,702,098
	4,900	FutureFuel Corp.		54,978
	40,800	Greif, Inc. – Class A		1,760,520
	4,200	Innophos Holdings, Inc.		133,980
	58,800	Innospec, Inc.		5,785,920
	18,300	Koppers Holdings, Inc. *		678,015
	36,200	Kraton Corp. *		815,586
	6,100	Kronos Worldwide, Inc.		83,997
	61,900	Materion Corp.		3,643,434
	23,500	PolyOne Corp.		740,955
	1,600	Ryerson Holding Corp. *		17,056
	62,500	Schweitzer-Mauduit International, Inc.		2,741,250
	86,300	Silgan Holdings, Inc.		2,658,903
	22,129	Stepan Co.		2,144,300
	55,000	Tredegar Corp.		1,184,150
	146,800	Warrior Met Coal, Inc.		3,013,804
		Total Materials		28,585,596
		Media & Entertainment — 3.1%
	219,400	DHI Group, Inc. *		739,378
	179,091	Gannett Co., Inc.		1,139,019
	118,800	Liberty TripAdvisor Holdings, Inc. – Class A *		823,284
	71,900	Marchex, Inc. – Class B *		289,038
	45,900	Marcus Corp. (The)		1,444,014
	98,500	National CineMedia, Inc.		660,935
	32,300	Scholastic Corp.		1,199,299
	392,900	TEGNA, Inc.		6,031,015
	44,100	Tribune Publishing Co.		552,132
	19,600	WideOpenWest, Inc. *		120,148
		Total Media & Entertainment		12,998,262
		Pharmaceuticals, Biotechnology & Life Sciences — 1.0%
	72,700	Achillion Pharmaceuticals, Inc. *		451,467
	98,200	Prestige Consumer Healthcare, Inc. *		3,709,014
		Total Pharmaceuticals, Biotechnology & Life Sciences		4,160,481
		Real Estate — 7.7%
	306,100	CoreCivic, Inc. (REIT)		4,637,415
	244,600	CorePoint Lodging, Inc. (REIT)		2,472,906
	47,400	Cushman & Wakefield Plc *		919,086
	13,100	GEO Group, Inc. (The) (REIT)		181,566
	136,000	iStar, Inc. (REIT)		1,766,640
	419,300	Newmark Group, Inc. – Class A		5,471,865
	15,800	Office Properties Income Trust (REIT)		527,088
	56,600	Realogy Holdings Corp.		592,602
	145,100	Retail Properties of America, Inc. – Class A (REIT)		2,064,773
	263,600	Summit Hotel Properties, Inc. (REIT)		3,194,832
	551,400	Sunstone Hotel Investors, Inc. (REIT)		7,719,600
	145,800	Xenia Hotels & Resorts, Inc. (REIT)		3,070,548
		Total Real Estate		32,618,921

Shares		Description	Value ($)
		Retailing — 4.9%
	24,200	1-800-Flowers.com, Inc. – Class A *		325,974
	78,300	Core-Mark Holding Co., Inc.		2,110,185
	27,000	Designer Brands, Inc. – Class A		445,500
	69,600	Group 1 Automotive, Inc.		7,175,064
	91,213	Haverty Furniture Cos, Inc.		1,834,293
	18,700	Michaels Cos., Inc. (The) *		152,966
	74,600	Shoe Carnival, Inc.		2,648,300
	131,700	Sonic Automotive, Inc. – Class A		4,313,175
	2,400	Weyco Group, Inc.		58,920
	53,100	Zumiez, Inc. *		1,568,574
		Total Retailing		20,632,951
		Semiconductors & Semiconductor Equipment — 0.7%
	40,000	Alpha & Omega Semiconductor Ltd. *		475,600
	3,800	Axcelis Technologies, Inc. *		81,472
	68,500	DSP Group, Inc. *		970,645
	20,501	Onto Innovation, Inc. *		688,014
	37,100	Rambus, Inc. *		484,155
	15,400	Xperi Corp.		304,766
		Total Semiconductors & Semiconductor Equipment		3,004,652
		Software & Services — 3.5%
	183,100	Avaya Holdings Corp. *		2,338,187
	9,200	ChannelAdvisor Corp. *		87,308
	49,600	CSG Systems International, Inc.		2,836,624
	34,400	Hackett Group, Inc. (The)		527,352
	47,300	NIC, Inc.		1,073,237
	87,600	Perspecta, Inc.		2,416,008
	44,300	Progress Software Corp.		1,861,043
	53,100	Sykes Enterprises, Inc. *		1,865,934
	8,900	Telenav, Inc. *		50,908
	145,200	Unisys Corp. *		1,652,376
		Total Software & Services		14,708,977
		Technology Hardware & Equipment — 8.9%
	128,946	ADTRAN, Inc.		1,185,014
	109,600	AVX Corp.		2,230,360
	2,500	Belden, Inc.		134,350
	119,500	Benchmark Electronics, Inc.		4,119,165
	75,300	Comtech Telecommunications Corp.		2,845,587
	35,400	CTS Corp.		969,252
	60,800	Digi International, Inc. *		1,084,672
	109,300	Insight Enterprises, Inc. *		7,168,987
	28,000	Kimball Electronics, Inc. *		491,120
	17,400	Methode Electronics, Inc.		647,454
	30,600	MTS Systems Corp.		1,389,852
	25,600	PC Connection, Inc.		1,262,592
	5,200	Plexus Corp. *		394,680
	215,200	Sanmina Corp. *		6,845,512
	46,000	Tech Data Corp. *		6,664,940
	7,326	Vishay Precision Group, Inc. *		252,087
		Total Technology Hardware & Equipment		37,685,624

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Telecommunication Services — 1.3%
	39,600	IDT Corp. - Class B *		282,348
	119,788	Spok Holdings, Inc.		1,474,590
	151,900	Telephone & Data Systems, Inc.		3,601,549
		Total Telecommunication Services		5,358,487
		Utilities — 2.9%
	35,600	Avista Corp.		1,683,168
	4,700	Consolidated Water Co. Ltd.		78,396
	82,100	Genie Energy Ltd. – Class B		664,189
	14,600	Otter Tail Corp.		717,736
	101,700	PNM Resources, Inc.		4,927,365
	67,500	Portland General Electric Co.		3,746,925
	6,500	Unitil Corp.		396,760
		Total Utilities		12,214,539
		TOTAL COMMON STOCKS (COST $389,372,919)		413,445,515
		MUTUAL FUNDS — 2.0%
		Affiliated Issuers — 2.0%
	1,713,937	GMO U.S. Treasury Fund		8,569,685
		TOTAL MUTUAL FUNDS (COST $8,577,287)		8,569,685

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	568,282	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (a)		568,282
		TOTAL SHORT-TERM INVESTMENTS (COST $568,282)		568,282
		TOTAL INVESTMENTS — 100.1% (Cost $398,518,488)		422,583,482
		Other Assets and Liabilities (net) — (0.1%)		(429,195	)
		TOTAL NET ASSETS — 100.0%		$422,154,287

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
85	E-mini Russell 2000 Index	December 2019	$	6,901,150	$	126,157

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2019.

Portfolio Abbreviations:

REIT - Real Estate Investment Trust

Organization

Each of Climate Change Fund, Emerging Domestic Opportunities Fund, Emerging Markets Fund, International Equity Fund, Quality Fund, Resources Fund, Risk Premium Fund, Tax-Managed International Equities Fund, U.S. Equity Fund and U.S. Small Cap Value Fund (commenced operations on July 2, 2019) (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.

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. 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.

Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

Portfolio valuation

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

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to

procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2019, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

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 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 adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

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

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2019:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,397,431	$	—	$	—	$	1,397,431
Australia		—		1,760,346		—		1,760,346
Brazil		—		1,901,395		—		1,901,395
Canada		3,681,670		—		—		3,681,670
China		522,205		4,160,942		—		4,683,147
Denmark		—		3,678,469		—		3,678,469
Finland		—		277,396		—		277,396
France		—		10,168,058		—		10,168,058
Germany		—		2,966,365		—		2,966,365
India		—		264,170		—		264,170
Israel		—		1,927,491		—		1,927,491
Italy		—		3,105,480		—		3,105,480
Japan		—		11,706,784		—		11,706,784
Malaysia		—		167,415		—		167,415

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Mexico	$	3,265,362	$	—	$	—	$	3,265,362
Netherlands		—		955,400		—		955,400
Norway		—		2,418,531		—		2,418,531
Pakistan		—		564,524		—		564,524
Poland		—		1,771,931		—		1,771,931
Portugal		—		1,181,906		—		1,181,906
Russia		—		5,262,206		—		5,262,206
South Africa		—		—		8,891		8,891
South Korea		—		453,387		—		453,387
Spain		—		3,861,667		—		3,861,667
Switzerland		—		781,419		—		781,419
Taiwan		—		412,887		—		412,887
Thailand		—		530,128		—		530,128
Ukraine		—		718,889		—		718,889
United Kingdom		—		3,394,066		—		3,394,066
United States		39,588,543		—		—		39,588,543
TOTAL COMMON STOCKS		48,455,211		64,391,252		8,891		112,855,354
Preferred Stocks
Chile		3,174,156		—		—		3,174,156
TOTAL PREFERRED STOCKS		3,174,156		—		—		3,174,156
Rights/Warrants
Faroe Islands		—		—		257		257
TOTAL RIGHTS/WARRANTS		—		—		257		257
Mutual Funds
United States		585,783		—		—		585,783
TOTAL MUTUAL FUNDS		585,783		—		—		585,783
Short-Term Investments		1,310,898		—		—		1,310,898
Total Investments		53,526,048		64,391,252		9,148		117,926,448
Total	$	53,526,048	$	64,391,252	$	9,148	$	117,926,448
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	—	$	2,589,941	$	—	$	2,589,941
Brazil		—		16,258,040		—		16,258,040
Chile		—		2,728,973		—		2,728,973
China		88,040,484		202,941,692		—		290,982,176
France		—		4,387,655		—		4,387,655
Greece		—		3,712,383		—		3,712,383
Hong Kong		—		18,823,957		—		18,823,957
India		13,585,000		43,179,885		—		56,764,885
Indonesia		—		28,751,136		—		28,751,136
Japan		—		1,887,201		—		1,887,201
Mexico		10,789,080		—		—		10,789,080
Peru		3,058,454		—		—		3,058,454
Philippines		—		19,258,290		—		19,258,290
Russia		—		13,617,847		—		13,617,847
South Africa		—		10,671,719		—		10,671,719
South Korea		—		68,817,885		—		68,817,885
Switzerland		—		16,582,344		—		16,582,344
Taiwan		—		118,992,119		—		118,992,119
Thailand		—		27,368,526		—		27,368,526
Turkey		—		11,830,641		—		11,830,641
United Arab Emirates		—		2,839,587		—		2,839,587
Vietnam		—		16,560,331		—		16,560,331
TOTAL COMMON STOCKS		115,473,018		631,800,152		—		747,273,170

Description	Level 1		Level 2		Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—	$	25,073,699	$	—	$	25,073,699
TOTAL PREFERRED STOCKS		—		25,073,699		—		25,073,699
Investment Funds
Brazil		17,693,002		—		—		17,693,002
Russia		36,467,632		—		—		36,467,632
South Korea		—		11,222,494		—		11,222,494
Taiwan		10,292,505		—		—		10,292,505
Thailand		—		39,129,337		—		39,129,337
United States		49,838,147		—		—		49,838,147
TOTAL INVESTMENT FUNDS		114,291,286		50,351,831		—		164,643,117
Debt Obligations
United States		9,997,230		—		—		9,997,230
TOTAL DEBT OBLIGATIONS		9,997,230		—		—		9,997,230
Mutual Funds
United States		37,923,977		—		—		37,923,977
TOTAL MUTUAL FUNDS		37,923,977		—		—		37,923,977
Short-Term Investments		1,718,848		—		—		1,718,848
Total Investments		279,404,359		707,225,682		—		986,630,041
Total	$	279,404,359	$	707,225,682	$	—	$	986,630,041
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	9,881,969	$	—	$	—	$	9,881,969
Brazil		—		2,215,126		—		2,215,126
Chile		—		235,274		—		235,274
China		67,939,885		1,074,646,254		680,739		1,143,266,878
Colombia		498,474		—		—		498,474
Czech Republic		—		2,037,949		—		2,037,949
India		—		85,689,673		—		85,689,673
Indonesia		—		8,357,872		—		8,357,872
Malaysia		—		2,479,506		—		2,479,506
Mexico		31,814,183		—		—		31,814,183
Pakistan		—		17,080,279		—		17,080,279
Philippines		—		8,692,974		—		8,692,974
Poland		—		140,866,501		—		140,866,501
Qatar		—		29,146,642		—		29,146,642
Russia		5,452,779		473,802,024		—		479,254,803
Singapore		—		122,043		—		122,043
South Africa		—		123,866,344		—		123,866,344
South Korea		—		45,782,353		—		45,782,353
Sri Lanka		—		743,160		—		743,160
Taiwan		30,442,337		478,660,924		—		509,103,261
Thailand		—		3,773,438		—		3,773,438
Turkey		—		178,175,696		—		178,175,696
United Arab Emirates		—		9,730,773		—		9,730,773
United Kingdom		—		22,905,073		—		22,905,073
Vietnam		—		2,588,423		—		2,588,423
TOTAL COMMON STOCKS		146,029,627		2,711,598,301		680,739		2,858,308,667
Preferred Stocks
Colombia		1,835,553		—		—		1,835,553
Russia		—		56,586,713		—		56,586,713
South Korea		—		60,590,608		—		60,590,608
Taiwan		—		—		1,301,664		1,301,664
TOTAL PREFERRED STOCKS		1,835,553		117,177,321		1,301,664		120,314,538

Description	Level 1			Level 2			Level 3			Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Investment Funds
Thailand	$	—		$	12,534,123		$	—		$	12,534,123
United States		102,586,588			—			—			102,586,588
TOTAL INVESTMENT FUNDS		102,586,588			12,534,123			—			115,120,711
Mutual Funds
United States		117,730,786			—			—			117,730,786
TOTAL MUTUAL FUNDS		117,730,786			—			—			117,730,786
Short-Term Investments		8,842,135			—			—			8,842,135
Total Investments		377,024,689			2,841,309,745			1,982,403			3,220,316,837
Derivatives^
Swap Contracts
Equity Risk		—			10,096			—			10,096
Total	$	377,024,689		$	2,841,319,841		$	1,982,403		$	3,220,326,933
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(1,245,201	)	$	—		$	—		$	(1,245,201	)
Swap Contracts
Equity Risk		—			(1,051,419	)		—			(1,051,419	)
Total	$	(1,245,201	)	$	(1,051,419	)	$	—		$	(2,296,620	)
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	128,166,152		$	—		$	128,166,152
Austria		—			2,515,020			—			2,515,020
Belgium		—			10,615,737			—			10,615,737
Denmark		—			924,094			—			924,094
Finland		—			2,040,666			—			2,040,666
France		45,360,340			286,655,163			—			332,015,503
Germany		—			191,702,237			—			191,702,237
Hong Kong		—			62,989,688			—			62,989,688
Ireland		9,161,360			18,782			—			9,180,142
Italy		13,148,504			168,740,437			—			181,888,941
Japan		—			753,015,318			—			753,015,318
Malta		—			—			0	§		0	§
Netherlands		—			230,424,252			—			230,424,252
New Zealand		—			1,664,262			—			1,664,262
Norway		—			67,744,760			—			67,744,760
Portugal		—			87,479,715			—			87,479,715
Singapore		—			88,047,139			—			88,047,139
Spain		—			243,960,194			—			243,960,194
Sweden		—			129,981,033			—			129,981,033
Switzerland		—			189,003,660			—			189,003,660
United Kingdom		36,097,008			573,452,546			—			609,549,554
TOTAL COMMON STOCKS		103,767,212			3,219,140,855			0	§		3,322,908,067
Mutual Funds
United States		50,061,375			—			—			50,061,375
TOTAL MUTUAL FUNDS		50,061,375			—			—			50,061,375
Short-Term Investments		6,960,441			—			—			6,960,441
Total Investments		160,789,028			3,219,140,855			0	§		3,379,929,883
Total	$	160,789,028		$	3,219,140,855		$	0	§	$	3,379,929,883

Description	Level 1			Level 2		Level 3			Total
International Equity Fund (continued)
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(86,613	)	$	—	$	—		$	(86,613	)
Quality Fund
Asset Valuation Inputs
Common Stocks
Germany	$	—		$	174,216,037	$	—		$	174,216,037
Switzerland		—			354,317,517		—			354,317,517
Taiwan		—			185,137,532		—			185,137,532
United Kingdom		—			273,726,890		—			273,726,890
United States		5,626,531,412			—		—			5,626,531,412
TOTAL COMMON STOCKS		5,626,531,412			987,397,976		—			6,613,929,388
Debt Obligations
United States		29,987,627			—		—			29,987,627
TOTAL DEBT OBLIGATIONS		29,987,627			—		—			29,987,627
Mutual Funds
United States		15,705,319			—		—			15,705,319
TOTAL MUTUAL FUNDS		15,705,319			—		—			15,705,319
Short-Term Investments		120,761,615			—		—			120,761,615
Total Investments		5,792,985,973			987,397,976		—			6,780,383,949
Total	$	5,792,985,973		$	987,397,976	$	—		$	6,780,383,949
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	6,451,748		$	—	$	—		$	6,451,748
Australia		—			16,160,566		—			16,160,566
Austria		—			5,285,688		—			5,285,688
Brazil		—			12,458,672		—			12,458,672
Canada		11,373,779			—		—			11,373,779
China		—			15,608,036		—			15,608,036
Colombia		3,525,438			—		—			3,525,438
Denmark		—			7,832,732		—			7,832,732
France		—			14,682,713		—			14,682,713
Germany		—			1,715,203		—			1,715,203
Hungary		—			3,768,720		—			3,768,720
India		—			9,245,433		—			9,245,433
Israel		—			13,293,915		—			13,293,915
Japan		—			17,587,953		—			17,587,953
Mexico		15,359,102			—		—			15,359,102
Norway		—			17,182,581		—			17,182,581
Pakistan		—			2,284,904		—			2,284,904
Poland		—			8,988,365		—			8,988,365
Russia		—			75,221,274		—			75,221,274
Singapore		—			—		0	§		0	§
South Africa		—			6,805,686		—			6,805,686
South Korea		—			2,832,112		—			2,832,112
Spain		—			8,377,442		—			8,377,442
Sweden		—			10,098,361		—			10,098,361
Switzerland		—			1,271,461		—			1,271,461
Thailand		—			10,506,912		—			10,506,912
Turkey		—			2,622,958		—			2,622,958
Ukraine		—			2,827,797		—			2,827,797
United Kingdom		—			61,456,810		—			61,456,810
United States		110,626,481			—		—			110,626,481
TOTAL COMMON STOCKS		147,336,548			328,116,294		0	§		475,452,842

Description	Level 1			Level 2		Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—		$	27,004,881	$	—		$	27,004,881
Chile		14,596,161			—		—			14,596,161
Russia		—			6,826,439		—			6,826,439
TOTAL PREFERRED STOCKS		14,596,161			33,831,320		—			48,427,481
Rights/Warrants
Singapore		—			—		0	§		0	§
TOTAL RIGHTS/WARRANTS		—			—		0	§		0	§
Mutual Funds
United States		24,197,678			—		—			24,197,678
TOTAL MUTUAL FUNDS		24,197,678			—		—			24,197,678
Short-Term Investments		888,465			—		—			888,465
Total Investments		187,018,852			361,947,614		0	§		548,966,466
Total	$	187,018,852		$	361,947,614	$	0	§	$	548,966,466
Risk Premium Fund
Asset Valuation Inputs
Debt Obligations
United States	$	20,394,348		$	—	$	—		$	20,394,348
TOTAL DEBT OBLIGATIONS		20,394,348			—		—			20,394,348
Short-Term Investments		66,230			—		—			66,230
Total Investments		20,460,578			—		—			20,460,578
Total	$	20,460,578		$	—	$	—		$	20,460,578
Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	(131,755	)	$	—	$	—		$	(131,755	)
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,599,928	$	—		$	1,599,928
Austria		—			35,849		—			35,849
Belgium		—			48,584		—			48,584
Brazil		—			684,642		—			684,642
Canada		193,008			—		—			193,008
China		—			745,715		—			745,715
Denmark		—			31,446		—			31,446
Finland		—			89,342		—			89,342
France		42,012			4,421,973		—			4,463,985
Germany		—			2,147,020		—			2,147,020
Hong Kong		—			624,218		—			624,218
Hungary		—			76,671		—			76,671
India		—			176,520		—			176,520
Ireland		95,750			233,467		—			329,217
Italy		—			1,879,245		—			1,879,245
Japan		—			8,974,601		—			8,974,601
Malta		—			—		0	§		0	§
Mexico		8,031			—		—			8,031
Netherlands		—			2,566,701		—			2,566,701
Norway		—			371,057		—			371,057
Philippines		—			11,643		—			11,643
Poland		—			11,682		—			11,682
Portugal		—			730,714		—			730,714
Russia		—			503,506		—			503,506
Singapore		—			865,502		—			865,502

Description	Level 1		Level 2			Level 3			Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
South Africa	$	—	$	158,400		$	—		$	158,400
South Korea		48,132		768,233			—			816,365
Spain		—		2,498,232			—			2,498,232
Sweden		—		1,232,527			—			1,232,527
Switzerland		—		2,255,725			—			2,255,725
Taiwan		—		564,936			—			564,936
Thailand		—		19,294			—			19,294
Turkey		—		93,374			—			93,374
United Kingdom		317,106		5,710,916			—			6,028,022
TOTAL COMMON STOCKS		704,039		40,131,663			0	§		40,835,702
Preferred Stocks
Brazil		—		10,936			—			10,936
Germany		—		136,716			—			136,716
South Korea		—		970			—			970
Sweden		—		16,837			—			16,837
TOTAL PREFERRED STOCKS		—		165,459			—			165,459
Rights/Warrants
China		—		0	§		—			0	§
TOTAL RIGHTS/WARRANTS		—		0	§		—			0	§
Mutual Funds
United States		941,481		—			—			941,481
TOTAL MUTUAL FUNDS		941,481		—			—			941,481
Short-Term Investments		179,282		—			—			179,282
Total Investments		1,824,802		40,297,122			0	§		42,121,924
Total	$	1,824,802	$	40,297,122		$	0	§	$	42,121,924
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	556,858,180	$	—		$	—		$	556,858,180
Mutual Funds		6,273,340		—			—			6,273,340
Total Investments		563,131,520		—			—			563,131,520
Derivatives^
Futures Contracts
Equity Risk		238,909		—			—			238,909
Total	$	563,370,429	$	—		$	—		$	563,370,429
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	413,445,515	$	—		$	—		$	413,445,515
Mutual Funds		8,569,685		—			—			8,569,685
Short-Term Investments		568,282		—			—			568,282
Total Investments		422,583,482		—			—			422,583,482
Derivatives^
Futures Contracts
Equity Risk		126,157		—			—			126,157
Total	$	422,709,639	$	—		$	—		$	422,709,639

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

^ 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). The uncertainties surrounding the valuation inputs for a derivative are likely to be

more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options and fully funded total return swaps, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2019.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). At November 30, 2019, there were no material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

For Funds with total Level 3 assets and/or liabilities that exceed 0.05% of current period net assets, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2019		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 November 30, 2019		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2019
Emerging Markets Fund
Common Stocks
China	$	678,870	$	—	$	—		$	—	$	—		$	1,869	$	—		$	—	$	680,739	$	1,869
Preferred Stocks
Taiwan		—		—		—			—		—			—		1,301,664	‡		—		1,301,664		—
Investment Funds
Russia		103,243		—		(99,504	)		—		(3,115,188	)		3,111,449		—			—		—		—
Total Investments	$	782,113	$	—	$	(99,504	)	$	—	$	(3,115,188	)	$	3,113,318	$	1,301,664		$	—	$	1,982,403	$	1,869

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs.

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 (“underlying funds”). A summary of the Funds’ transactions involving companies that are or were affiliates during the period end November 30, 2019 is set forth below:

Affiliate	Value, beginning of period			Purchases		Sales Proceeds		Dividend Income*			Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Climate Change Fund
GMO U.S. Treasury Fund	$	4,595,622		$	120,072,371	$	124,088,186	$	51,051	**	$	7,125		$	(1,149	)	$	585,783
Emerging Domestic Opportunities Fund
CMI Ltd	$	2,100,445		$	—	$	474,113	$	12,273		$	(903,416	)	$	(60,781	)	$	662,135
Gayatri Projects Ltd		23,320,306			—		—		—			—			(12,614,988	)		10,705,318
GMO U.S. Treasury Fund		26,772,924			528,614,076		517,440,000		612,564			3,980			(27,003	)		37,923,977
iShares MSCI Saudi Arabia ETF		—	#		29,021,458		31,136,038		—			(12,200	)		—			—	##
Totals	$	52,193,675		$	557,635,534	$	549,050,151	$	624,837		$	(911,636	)	$	(12,702,772	)	$	49,291,430
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	520,683		$	—	$	—	$	—		$	—		$	222,477		$	743,160
Gayatri Highways Ltd		143,172			—		6,843		—			(52,686	)		(32,235	)		51,408
Gayatri Projects Ltd		35,390,143			—		—		—			—			(19,144,099	)		16,246,044
GMO U.S. Treasury Fund		65,931,221			628,439,896		576,650,000		942,446			9,980			(311	)		117,730,786
Totals	$	101,985,219		$	628,439,896	$	576,656,843	$	942,446		$	(42,706	)	$	(18,954,168	)	$	134,771,398

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Net Realized Gain (Loss)		Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
International Equity Fund
GMO U.S. Treasury Fund	$	64,555,168	$	478,110,000	$	492,700,000	$	913,727		$	96,207	$	—		$	50,061,375
Quality Fund
GMO U.S. Treasury Fund	$	15,705,319	$	—	$	—	$	256,774		$	—	$	—		$	15,705,319
Resources Fund
GMO U.S. Treasury Fund	$	5,233,701	$	301,186,988	$	282,253,004	$	174,346	**	$	37,147	$	(7,154	)	$	24,197,678
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	846,701	$	4,400,000	$	4,305,000	$	10,151		$	25	$	(245	)	$	941,481
U.S. Equity Fund
GMO U.S. Treasury Fund	$	21,833,340	$	90,940,000	$	106,500,000	$	165,639		$	—	$	—		$	6,273,340
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	—	$	44,535,293	$	35,961,000	$	40,929		$	2,994	$	(7,602	)	$	8,569,685

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2019 through November 30, 2019. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2020.

** 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 $114,976 and $313,570 in Climate Change Fund and Resources Fund, respectively, during the period.

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

## Security is no longer an affiliate at period end.

* * *

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.3%
		Australia — 1.8%
	19,373	Aurizon Holdings Ltd		75,804
	18,315	Australian Pharmaceutical Industries Ltd		16,264
	1,752	Brickworks Ltd		22,357
	3,606	Caltex Australia Ltd		84,312
	5,988	Charter Hall Retail (REIT)		18,633
	4,403	Dexus (REIT)		36,382
	16,888	Fortescue Metals Group Ltd		111,213
	8,655	Genworth Mortgage Insurance Australia Ltd		21,489
	6,743	Mineral Resources Ltd		70,840
	72,170	Mirvac Group (REIT)		164,318
	6,060	Rio Tinto Ltd		397,306
	6,065	Sandfire Resources NL		22,930
	100,909	Scentre Group (REIT)		268,616
	16,555	Stockland (REIT)		56,531
	21,779	Viva Energy (REIT)		41,048
	30,915	Whitehaven Coal Ltd		65,845
		Total Australia		1,473,888
		Belgium — 0.2%
	2,244	Ageas		134,640
	143	Barco NV		32,988
		Total Belgium		167,628
		Brazil — 2.0%
	14,926	Banco Bradesco SA		110,173
	4,800	Banco do Brasil SA		54,205
	39,000	Banco Santander Brasil SA		406,240
	34,900	Cia de Saneamento Basico do Estado de Sao Paulo		473,170
	3,300	Cia de Saneamento de Minas Gerais-COPASA		53,385
	65,300	JBS SA		439,272
	3,800	Mahle-Metal Leve SA		22,250
	21,000	MRV Engenharia e Participacoes SA		87,151
	1,054	Sul America SA		13,242
	3,400	Tupy SA		15,821
		Total Brazil		1,674,909
		Chile — 0.1%
	433,099	Enel Americas SA		83,220
	3,500	Enel Americas SA ADR		33,845
		Total Chile		117,065
		China — 8.7%
	192,000	Agile Group Holdings Ltd		269,399
	1,080,000	Agricultural Bank of China Ltd – Class H		437,272
	72,500	Anhui Conch Cement Co Ltd – Class H		463,817
	268,000	BAIC Motor Corp Ltd – Class H		150,221
	539,000	Bank of China Ltd – Class H		216,169
	688,000	Bank of Communications Co Ltd – Class H		451,624
	12,000	China Cinda Asset Management Co Ltd – Class H		2,499

Shares		Description	Value ($)
		China — continued
	820,000	China CITIC Bank Corp Ltd – Class H		448,275
	250,000	China Communications Services Corp Ltd – Class H		168,294
	213,000	China Construction Bank Corp – Class H		169,444
	102,000	China Everbright Bank Co Ltd – Class H		44,035
	13,000	China Lesso Group Holdings Ltd		13,618
	26,000	China Lilang Ltd		20,988
	152,500	China Minsheng Banking Corp Ltd – Class H		106,149
	156,000	China National Building Material Co Ltd – Class H		150,834
	650,000	China Petroleum & Chemical Corp – Class H		364,523
	62,000	China Pioneer Pharma Holdings Ltd *		4,412
	324,000	China Railway Construction Corp Ltd – Class H		334,456
	45,000	China Railway Group Ltd – Class H		26,343
	212,500	China Resources Pharmaceutical Group Ltd		185,629
	93,000	China SCE Group Holdings Ltd		44,337
	193,500	China Shenhua Energy Co Ltd – Class H		374,653
	49,000	China Shineway Pharmaceutical Group Ltd		50,264
	1,012,000	China Telecom Corp Ltd – Class H		382,982
	800	China Yuchai International Ltd		10,760
	52,000	Dah Chong Hong Holdings Ltd		23,858
	132,400	Guangzhou R&F Properties Co Ltd – Class H		222,529
	74,000	Haier Electronics Group Co Ltd		205,693
	51,000	Kingboard Holdings Ltd		140,395
	79,000	Lonking Holdings Ltd		22,502
	155,000	People’s Insurance Co Group of China Ltd (The) – Class H		62,170
	6,000	Ping An Insurance Group Co of China Ltd – Class H		68,132
	25,000	Poly Property Group Co Ltd		8,945
	637,000	Postal Savings Bank of China Co Ltd – Class H		413,320
	17,000	Road King Infrastructure Ltd		30,932
	97,700	Shanghai Pharmaceuticals Holding Co Ltd – Class H		175,221
	151,500	Shimao Property Holdings Ltd		548,913
	150,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		41,571
	98,000	Tianneng Power International Ltd		64,467
	178,000	Weichai Power Co Ltd – Class H		304,185
		Total China		7,223,830
		Denmark — 0.0%
	1,581	Scandinavian Tobacco Group A/S		18,278
		Finland — 0.2%
	3,964	Neste Oyj		133,996
		France — 3.8%
	3,848	BNP Paribas SA		215,725
	2,513	Cie de Saint-Gobain		101,747
	2,865	Cie Generale des Etablissements Michelin SCA		343,577
	2,360	CNP Assurances		46,599
	5,025	Coface SA		55,525
	1,253	IPSOS		40,035
	317	Kaufman & Broad SA		12,804
	3,021	Lagardere SCA		65,996
	1,173	Metropole Television SA		20,368

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		France — continued
	1,221	Neopost SA		25,794
	755	Nexity SA		38,054
	23,719	Peugeot SA		572,357
	14,225	Sanofi		1,326,036
	3,333	Schneider Electric SE		321,524
	2,268	Television Francaise 1		18,328
		Total France		3,204,469
		Germany — 2.7%
	3,782	Allianz SE (Registered)		904,536
	3,552	Bayer AG (Registered)		268,263
	3,840	Bayerische Motoren Werke AG		309,681
	4,718	CECONOMY AG *		22,658
	11,797	Deutsche Lufthansa AG (Registered)		223,727
	7,971	Deutsche Pfandbriefbank AG		119,879
	1,200	Evonik Industries AG		34,800
	1,546	HeidelbergCement AG		113,921
	7	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		2,009
	974	Software AG		32,834
	1,093	Volkswagen AG		208,033
		Total Germany		2,240,341
		Greece — 0.0%
	6,562	FF Group * (a)		—
		Hong Kong — 0.4%
	25,500	CK Asset Holdings Ltd		169,560
	8,500	Kerry Properties Ltd		27,425
	16,000	NWS Holdings Ltd		21,468
	32,000	SJM Holdings Ltd		32,638
	11,000	Wharf Real Estate Investment Co Ltd		61,084
		Total Hong Kong		312,175
		Hungary — 0.0%
	26,274	Magyar Telekom Telecommunications Plc		38,028
		India — 1.4%
	1,275	Balrampur Chini Mills Ltd		2,720
	20,892	HCL Technologies Ltd		328,232
	82,740	Indian Oil Corp Ltd		150,824
	24,861	ITC Ltd		85,186
	1,877	Larsen & Toubro Infotech Ltd		43,869
	10,643	Mphasis Ltd		130,690
	1,085	NIIT Technologies Ltd		22,488
	4,843	PC Jeweller Ltd *		2,029
	98,196	Power Finance Corp Ltd *		156,620
	29,334	PTC India Ltd *		22,823
	113,248	REC Ltd		217,787
		Total India		1,163,268

Shares		Description	Value ($)
		Indonesia — 0.0%
	16,200	Indo Tambangraya Megah Tbk PT		11,735
		Ireland — 0.1%
	620	Flutter Entertainment Plc		70,576
		Israel — 0.2%
	9,994	Bank Leumi Le-Israel BM		72,430
	912	First International Bank of Israel Ltd		27,931
	2,324	Harel Insurance Investments & Financial Services Ltd		19,607
	5,500	Israel Discount Bank Ltd – Class A		25,296
	35,794	Oil Refineries Ltd		17,507
	191	Paz Oil Co Ltd		28,476
		Total Israel		191,247
		Italy — 2.9%
	48,749	A2A SPA		91,649
	7,720	Assicurazioni Generali SPA		157,442
	672	ASTM SPA		20,553
	5,832	Banca Mediolanum SPA		59,122
	1,999	Buzzi Unicem SPA		49,421
	5,347	Enav SPA		31,669
	94,131	Enel SPA		711,450
	5,706	EXOR NV		435,451
	4,835	Fiat Chrysler Automobiles NV		71,316
	58,755	Intesa Sanpaolo SPA		148,663
	38,554	Iren SPA		119,513
	10,300	Mediobanca Banca di Credito Finanziario SPA		115,011
	16,603	Poste Italiane SPA		193,544
	7,414	Snam SPA		36,836
	5,116	Societa Cattolica di Assicurazioni SC		41,130
	2,296	Societa Iniziative Autostradali e Servizi SPA		38,632
	14,178	Unipol Gruppo SPA		82,995
		Total Italy		2,404,397
		Japan — 11.0%
	2,500	Aisin Seiki Co Ltd		94,634
	1,100	Alfresa Holdings Corp		22,746
	2,000	Amada Holdings Co. Ltd.		22,314
	30,600	Asahi Kasei Corp		344,034
	800	Bandai Namco Holdings Inc		48,525
	4,400	Bridgestone Corp		175,988
	2,500	Daiichi Sankyo Co Ltd		156,864
	4,000	Daiwa House Industry Co Ltd		122,461
	6,500	Fuji Electric Co Ltd		200,221
	4,000	Fuji Heavy Industries Ltd		104,832
	3,900	FUJIFILM Holdings Corp		184,413
	5,200	Hachijuni Bank Ltd (The)		22,349
	3,600	Hiroshima Bank Ltd (The)		17,777
	16,500	Hitachi Ltd		649,836
	30,000	Honda Motor Co Ltd		843,286
	4,400	Isuzu Motors Ltd		51,523
	38,200	ITOCHU Corp		834,070

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	3,900	Kajima Corp		51,474
	31,500	KDDI Corp		905,022
	18,800	Konica Minolta Inc		123,298
	1,200	Kurita Water Industries Ltd		33,580
	8,480	Mebuki Financial Group Inc		21,948
	59,100	Mitsubishi Chemical Holdings Corp		438,594
	19,700	Mitsubishi Electric Corp		272,336
	7,100	Mitsubishi Tanabe Pharma Corp		130,008
	600	Mitsubishi UFJ Financial Group Inc		3,180
	6,400	Mitsubishi UFJ Lease & Finance Co Ltd		41,160
	2,400	Mitsui Chemicals Inc		57,552
	10,200	NEC Corp		408,118
	1,800	NET One Systems Co Ltd		50,595
	800	Nichiha Corp		20,218
	19,600	Nippon Telegraph & Telephone Corp		990,174
	2,000	Nisshin Seifun Group Inc		37,600
	3,100	Nomura Real Estate Holdings Inc		74,990
	7,800	NTT DOCOMO Inc		214,160
	6,600	Obayashi Corp		69,996
	8,300	ORIX Corp		136,055
	10,200	Sekisui House Ltd		220,592
	7,000	Shimizu Corp.		67,090
	1,700	Shinmaywa Industries Ltd		22,554
	59,500	Sojitz Corp		187,123
	77,800	Sumitomo Chemical Co Ltd		351,299
	1,200	Sumitomo Dainippon Pharma Co Ltd		22,670
	1,050	Suzuken Co Ltd		45,951
	7,100	Teijin Ltd		133,633
	3,600	Toyota Tsusho Corp		125,926
		Total Japan		9,152,769
		Malaysia — 0.0%
	12,300	RHB Capital Berhad * (b)		—
	99,000	Supermax Corp Berhad		32,233
		Total Malaysia		32,233
		Mexico — 0.6%
	9,800	Gentera SAB de CV		9,363
	171,400	Wal-Mart de Mexico SAB de CV		477,091
		Total Mexico		486,454
		Netherlands — 2.0%
	14,564	ABN AMRO Group NV CVA		248,218
	3,727	ASR Nederland NV		138,528
	69,271	ING Groep NV		796,602
	3,027	NN Group NV		116,112
	1,421	Randstad NV		82,729
	8,479	Signify NV		252,926
		Total Netherlands		1,635,115

Shares		Description	Value ($)
		Norway — 1.2%
	817	Aker ASA – A Shares		44,289
	2,110	Austevoll Seafood ASA		20,190
	28,065	DNB ASA		470,816
	12,295	Equinor ASA		226,659
	3,396	Leroy Seafood Group ASA		21,460
	553	Salmar ASA		26,324
	2,110	SpareBank 1 SR-Bank ASA		22,224
	3,193	Storebrand ASA		22,858
	8,378	Telenor ASA		152,962
		Total Norway		1,007,782
		Poland — 0.2%
	3,523	Asseco Poland SA		50,997
	21,652	Energa SA *		38,062
	7,079	Powszechny Zaklad Ubezpieczen SA		69,981
		Total Poland		159,040
		Portugal — 0.8%
	5,698	Altri SGPS SA		35,458
	71,879	Banco Comercial Portugues SA – Class R		15,512
	105,374	EDP – Energias de Portugal SA		426,339
	2,441	Galp Energia SGPS SA		39,699
	10,756	NOS SGPS SA		58,284
	10,385	REN – Redes Energeticas Nacionais SGPS SA		31,704
	35,375	Sonae SGPS SA		35,509
		Total Portugal		642,505
		Russia — 1.4%
	162,000	ENEL RUSSIA PJSC		2,302
	105,352	Gazprom PJSC Sponsored ADR		836,685
	1,242	LUKOIL PJSC Sponsored ADR		118,489
	79,000	Magnitogorsk Iron & Steel Works PJSC		47,878
	6,756	Novolipetsk Steel PJSC GDR		136,015
	2	Sberbank of Russia PJSC Sponsored ADR		29
	9,496	VTB Bank PJSC GDR (Registered)		13,102
		Total Russia		1,154,500
		Singapore — 1.9%
	44,196	Ascendas (REIT)		96,270
	54,800	CapitaLand Commercial Trust (REIT)		80,498
	54,900	CapitaLand Mall Trust (REIT)		101,112
	33,600	DBS Group Holdings Ltd		620,087
	18,700	Golden Agri-Resources Ltd		2,941
	33,058	Keppel DC REIT		48,350
	43,000	Mapletree Logistics Trust (REIT)		53,126
	17,200	Oversea-Chinese Banking Corp Ltd		135,527
	5,700	Singapore Airlines Ltd		38,321
	48,300	Singapore Telecommunications Ltd		119,356
	12,600	United Overseas Bank Ltd		237,775
	51,200	Yangzijiang Shipbuilding Holdings Ltd		38,552
		Total Singapore		1,571,915

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		South Africa — 1.9%
	53,479	Absa Group Ltd		537,060
	492	Astral Foods Ltd		6,695
	4,455	Barloworld Ltd		34,483
	4,154	Kumba Iron Ore Ltd		106,594
	21,845	Liberty Holdings Ltd		166,218
	21,583	Metair Investments Ltd		34,769
	144,692	Momentum Metropolitan Holdings		200,521
	16,701	Nedbank Group Ltd		249,480
	10,647	Reunert Ltd		50,031
	38,470	Telkom SA SOC Ltd		123,012
	5,606	Wilson Bayly Holmes-Ovcon Ltd		53,788
		Total South Africa		1,562,651
		South Korea — 3.3%
	90	GS Home Shopping Inc		11,406
	18,275	Hana Financial Group Inc		554,106
	178	Hyundai Home Shopping Network Corp		12,840
	2,543	Hyundai Marine & Fire Insurance Co Ltd		60,435
	1,057	Hyundai Motor Co		108,463
	41,981	Industrial Bank of Korea		417,919
	14,582	Kia Motors Corp		534,466
	929	Korea United Pharm Inc		14,679
	4,781	Korean Reinsurance Co		34,219
	1,828	LF Corp		27,726
	1,121	LG Corp		67,477
	899	Samjin Pharmaceutical Co Ltd		18,958
	12,158	Shinhan Financial Group Co Ltd		449,097
	15,200	SK Telecom Co Ltd Sponsored ADR		348,384
	6,686	Woori Financial Group Inc		66,360
		Total South Korea		2,726,535
		Spain — 3.3%
	8,000	ACS Actividades de Construccion y Servicios SA		310,984
	1,581	Almirall SA		26,871
	30,717	Banco Santander SA		119,640
	3,031	Cia de Distribucion Integral Logista Holdings SA		68,398
	7,131	Enagas SA		177,526
	26,376	Endesa SA		717,025
	64,461	Iberdrola SA		634,150
	30,871	International Consolidated Airlines Group SA		220,610
	33,778	Mapfre SA		95,203
	7,778	Red Electrica Corp SA		151,741
	5,050	Repsol SA		79,503
	22,527	Telefonica SA		172,288
		Total Spain		2,773,939
		Sweden — 0.7%
	3,180	Betsson AB *		14,628
	3,667	Hemfosa Fastigheter AB		44,725
	780	Investor AB – A Shares		40,660
	9,073	Resurs Holding AB		52,251

Shares		Description	Value ($)
		Sweden — continued
	17,599	Skandinaviska Enskilda Banken AB – Class A		150,917
	14,420	Svenska Cellulosa AB SCA – Class B		143,502
	9,631	Volvo AB – B Shares		148,895
		Total Sweden		595,578
		Switzerland — 0.7%
	387	BKW AG		27,217
	6,231	Novartis AG (Registered)		574,410
		Total Switzerland		601,627
		Taiwan — 3.3%
	10,000	AcBel Polytech Inc		7,737
	25,000	Asustek Computer Inc		188,789
	14,000	Chicony Electronics Co Ltd		40,613
	9,000	China Development Financial Holding Corp		2,864
	61,000	Coretronic Corp		79,820
	53,000	Gigabyte Technology Co Ltd		87,346
	144,000	Grand Pacific Petrochemical *		85,866
	30,000	Holtek Semiconductor Inc		66,663
	13,000	Inventec Corp		9,736
	34,000	Lite-On Semiconductor Corp		43,105
	114,391	Mitac Holdings Corp		106,312
	151,000	Nan Ya Plastics Corp		353,804
	67,000	Novatek Microelectronics Corp		490,845
	20,000	Phison Electronics Corp		186,367
	364,000	Pou Chen Corp		474,085
	9,000	Qisda Corp		6,519
	75,000	Radiant Opto-Electronics Corp		287,617
	16,350	Synnex Technology International Corp		19,745
	3,000	Tripod Technology Corp		12,444
	189,000	Walsin Lihwa Corp		87,948
	119,000	Yuanta Financial Holding Co Ltd		77,032
		Total Taiwan		2,715,257
		Thailand — 0.2%
	3,633	BTS Group Holdings PCL		1,647
	75,000	PTT Pcl (Foreign Registered)		107,293
	37,900	Thanachart Capital Pcl (Foreign Registered)		69,911
		Total Thailand		178,851
		Turkey — 0.8%
	11,979	Enerjisa Enerji AS		14,738
	129,037	KOC Holding AS		448,804
	153,929	Turkiye Is Bankasi – Class C *		164,309
		Total Turkey		627,851
		United Arab Emirates — 0.1%
	58,889	Emaar Properties PJSC		66,181
		United Kingdom — 9.0%
	27,409	3i Group Plc		379,439

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	3,941	Anglo American Plc		103,120
	5,889	Ashmore Group Plc		36,198
	6,701	Avast Plc		38,778
	575	AVEVA Group Plc		33,870
	37,820	BAE Systems Plc		280,074
	29,347	Barratt Developments Plc		253,006
	3,480	Bellway Plc		150,231
	2,176	Berkeley Group Holdings Plc (The)		128,991
	4,900	BP Plc Sponsored ADR		183,358
	10,900	British American Tobacco Plc Sponsored ADR		431,749
	3,632	Britvic Plc		45,460
	63,171	BT Group Plc		156,395
	2,233	Daily Mail & General Trust Plc		23,764
	22,836	Direct Line Insurance Group Plc		90,148
	3,552	Electrocomponents Plc		30,014
	22,231	Ferrexpo Plc		41,229
	12,600	GlaxoSmithKline Plc Sponsored ADR		573,048
	33,674	HSBC Holdings Plc		250,875
	7,000	HSBC Holdings Plc Sponsored ADR		260,820
	9,671	IG Group Holdings Plc		84,445
	13,714	Imperial Brands Plc		301,737
	4,909	John Laing Group Plc		24,126
	184,273	Legal & General Group Plc		668,722
	673,344	Lloyds Banking Group Plc		530,833
	12,750	Marston’s Plc		21,073
	13,611	Meggitt Plc		113,106
	1,538	Mondi Plc (c)		33,297
	436	Mondi Plc (c)		9,445
	7,461	National Express Group Plc		44,707
	2,069	Next Plc		180,781
	2,538	Northgate Plc		10,378
	2,938	Pennon Group Plc		34,626
	12,611	Persimmon Plc		417,023
	3,577	Plus500 Ltd		35,606
	13,438	QinetiQ Group Plc		58,028
	788	Royal Dutch Shell Plc – A Shares		22,574
	206	Royal Dutch Shell Plc – B Shares		5,844
	23,867	Royal Dutch Shell Plc – Class A		684,235
	1,700	Royal Dutch Shell Plc – Class B Sponsored ADR		97,937
	1,515	Savills Plc		19,373
	5,145	Segro Plc (REIT)		59,425
	2,475	Smiths Group Plc		53,108
	2,804	Spectris Plc		101,543
	15,579	Tate & Lyle Plc		147,298
	19,729	Taylor Wimpey Plc		44,441
	2,021	United Utilities Group Plc		22,303
	4,554	Vesuvius Plc		26,715
	14,081	WPP Plc		181,824
		Total United Kingdom		7,525,120
		United States — 25.4%
	20,800	ACCO Brands Corp.		190,320

Shares		Description	Value ($)
		United States — continued
	5,700	Acushnet Holdings Corp.		171,399
	6,200	ADTRAN, Inc.		56,978
	5,200	AG Mortgage Investment Trust, Inc. (REIT)		80,964
	1,700	Alpha & Omega Semiconductor Ltd. *		20,213
	700	Ameresco, Inc. – Class A *		11,445
	100	American National Bankshares, Inc.		3,783
	600	American Vanguard Corp.		9,660
	400	Apollo Investment Corp.		6,752
	7,700	Archrock, Inc.		64,757
	2,100	Ares Commercial Real Estate Corp. (REIT)		32,844
	900	Armstrong Flooring, Inc. *		3,609
	600	Artisan Partners Asset Management, Inc. – Class A		17,802
	30	Ashford, Inc. *		707
	4,700	Avaya Holdings Corp. *		60,019
	100	Avista Corp.		4,728
	6,900	AVX Corp.		140,415
	200	BancFirst Corp.		11,818
	1,600	BankFinancial Corp.		21,840
	3,400	Banner Corp.		185,742
	1,700	Bassett Furniture Industries, Inc.		25,874
	420	BCB Bancorp, Inc.		5,687
	700	Bel Fuse, Inc. – Class B		11,599
	2,600	Benchmark Electronics, Inc.		89,622
	3,700	Bloomin’ Brands, Inc.		88,985
	900	Bonanza Creek Energy, Inc. *		15,714
	6,400	Brady Corp. – Class A		364,800
	5,800	Braemar Hotels & Resorts, Inc. (REIT)		56,898
	4,900	Builders FirstSource, Inc. *		124,509
	5,700	California Resources Corp. *		37,278
	3,500	Camden National Corp.		152,040
	900	Carpenter Technology Corp.		47,313
	200	Carriage Services, Inc.		4,810
	3,200	Central Garden & Pet Co. *		84,416
	700	Century Bancorp, Inc. – Class A		61,075
	200	Chemung Financial Corp.		9,154
	1,100	Civista Bancshares, Inc.		23,848
	3,200	Clarus Corp.		40,288
	700	CNB Financial Corp.		22,162
	8,200	CNO Financial Group, Inc.		148,584
	900	Community Trust Bancorp, Inc.		40,446
	1,600	Computer Programs & Systems, Inc.		42,544
	6,700	Comtech Telecommunications Corp.		253,193
	600	Consolidated Water Co. Ltd.		10,008
	1,500	Core-Mark Holding Co., Inc.		40,425
	19,500	CoreCivic, Inc. (REIT)		295,425
	10,400	CorePoint Lodging, Inc. (REIT)		105,144
	100	CRA International, Inc.		5,127
	2,249	CSG Systems International, Inc.		128,620
	1,100	Curo Group Holdings Corp. *		14,971
	1,100	Cushman & Wakefield Plc *		21,329
	4,600	Dana, Inc.		77,970
	37,500	Denbury Resources, Inc. *		36,994

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	15,400	Designer Brands, Inc. – Class A		254,100
	1,600	Digi International, Inc. *		28,544
	2,300	Dime Community Bancshares, Inc.		46,368
	400	Donegal Group, Inc. – Class A		5,852
	900	Donnelley Financial Solutions, Inc. *		9,036
	1,853	DSP Group, Inc. *		26,257
	1,200	Ducommun, Inc. *		58,656
	4,900	Dynex Capital, Inc. (REIT)		82,761
	200	Ellington Financial, Inc.		3,622
	700	Employers Holdings, Inc.		30,079
	5,200	Ennis, Inc.		107,328
	7,600	Enova International, Inc. *		175,028
	700	Escalade, Inc.		7,945
	700	ESSA Bancorp, Inc.		12,061
	4,500	Essent Group Ltd.		245,925
	6,400	Ethan Allen Interiors, Inc.		114,432
	2,300	Evolution Petroleum Corp.		11,983
	1,100	Farmers National Banc Corp.		16,874
	11,360	Federal Signal Corp.		374,198
	3,400	Federated Investors, Inc. – Class B		113,968
	2,800	FedNat Holding Co.		41,748
	1,600	Financial Institutions, Inc.		52,128
	1,922	First Community Bankshares, Inc.		58,602
	4,900	First Defiance Financial Corp.		147,735
	1,000	First Financial Corp.		44,220
	700	First Financial Northwest, Inc.		10,311
	11,800	Flagstar Bancorp, Inc.		439,668
	200	Flexsteel Industries, Inc.		3,676
	18,100	Fulton Financial Corp.		310,596
	2,400	FutureFuel Corp.		26,928
	15,358	Gannett Co., Inc.		97,677
	3,000	Genie Energy Ltd. – Class B		24,270
	3,100	GEO Group, Inc. (The) (REIT)		42,966
	1,100	Gorman-Rupp Co. (The)		40,711
	500	Great Southern Bancorp, Inc.		30,515
	6,800	Griffon Corp.		144,296
	3,900	Group 1 Automotive, Inc.		402,051
	3,700	Haverty Furniture Cos, Inc.		74,407
	900	HealthStream, Inc. *		26,217
	7,963	Herman Miller, Inc.		380,472
	3,400	Hersha Hospitality Trust (REIT)		48,212
	900	Hilltop Holdings, Inc.		22,167
	300	HMS Holdings Corp. *		9,060
	800	HomeTrust Bancshares, Inc.		20,904
	200	Hurco Cos, Inc.		7,156
	800	Hyster-Yale Materials Handling, Inc.		47,384
	100	Independence Holding Co.		4,226
	4,166	Independent Bank Corp.		93,110
	4,300	Information Services Group, Inc. *		10,578
	1,300	Ingles Markets, Inc. – Class A		57,772
	3,900	Innospec, Inc.		383,760
	7,200	Insight Enterprises, Inc. *		472,248

Shares		Description	Value ($)
		United States — continued
	3,316	Inter Parfums, Inc.		233,745
	6,200	International Bancshares Corp.		263,004
	2,000	INTL. FCStone, Inc. *		80,000
	9,100	Invesco Mortgage Capital, Inc. (REIT)		147,784
	2,100	Investors Bancorp, Inc.		25,326
	900	iStar, Inc. (REIT)		11,691
	923	Johnson Outdoors, Inc. – Class A		59,626
	9,397	K12, Inc. *		184,651
	1,200	Kelly Services, Inc. – Class A		26,292
	1,700	Kimball Electronics, Inc. *		29,818
	2,500	Kimball International, Inc. – Class B		53,450
	3,700	Knoll, Inc.		101,972
	100	La-Z-Boy, Inc.		3,160
	6,100	Laureate Education, Inc. – Class A *		105,835
	1,100	LCNB Corp.		20,339
	900	Leaf Group Ltd. *		3,330
	9,400	Liberty TripAdvisor Holdings, Inc. – Class A *		65,142
	2,000	Macatawa Bank Corp.		21,420
	3,400	Marcus Corp. (The)		106,964
	300	Marlin Business Services Corp.		6,432
	5,400	Materion Corp.		317,844
	2,400	Matrix Service Co. *		50,256
	1,000	Meridian Bancorp, Inc.		20,130
	13,282	Meritor, Inc. *		335,370
	700	Miller Industries, Inc.		25,655
	2,200	Modine Manufacturing Co. *		16,324
	100	Monarch Casino & Resort, Inc. *		4,560
	3,200	Moog, Inc. – Class A		274,784
	2,700	Movado Group, Inc.		52,785
	2,100	Mueller Industries, Inc.		65,919
	800	MutualFirst Financial, Inc.		31,720
	400	National CineMedia, Inc.		2,684
	4,800	National General Holdings Corp.		102,192
	3,000	Natural Grocers by Vitamin Cottage, Inc. – Class C		28,050
	100	Nevro Corp. *		11,178
	17,400	Newmark Group, Inc. – Class A		227,070
	600	Northrim BanCorp, Inc.		22,482
	19,300	Northwest Bancshares, Inc.		321,152
	46,800	Office Depot, Inc.		104,364
	9,200	OFG Bancorp		197,340
	100	Oil-Dri Corp. of America		3,629
	800	Old Second Bancorp, Inc.		9,880
	2,300	Olympic Steel, Inc.		38,548
	286	Onto Innovation, Inc. *		9,598
	500	Oppenheimer Holdings, Inc. – Class A		14,255
	300	Orrstown Financial Services, Inc.		6,576
	300	Park-Ohio Holdings Corp.		9,489
	2,400	PC Connection, Inc.		118,368
	29,600	PDL BioPharma, Inc. *		91,760
	11,400	PennyMac Financial Services, Inc.		391,134
	16,500	PennyMac Mortgage Investment Trust (REIT)		380,985
	200	Peoples Bancorp, Inc.		6,542

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	1,200	Perspecta, Inc.		33,096
	700	Piedmont Office Realty Trust, Inc. – Class A (REIT)		15,484
	5,400	PNM Resources, Inc.		261,630
	1,300	Popular, Inc.		71,903
	5,700	Portland General Electric Co.		316,407
	200	Preformed Line Products Co.		14,380
	1,000	Premier Financial Bancorp, Inc.		18,150
	200	Prestige Consumer Healthcare, Inc. *		7,554
	1,300	Protective Insurance Corp. – Class B		21,931
	1,000	Provident Financial Services, Inc.		24,320
	1,800	Rambus, Inc. *		23,490
	1,000	Republic Bancorp, Inc. – Class A		46,200
	100	REX American Resources Corp. *		9,185
	3,400	Ribbon Communications, Inc. *		9,962
	1,200	Riverview Bancorp, Inc.		8,676
	900	Rocky Brands, Inc.		25,092
	300	Rosetta Stone, Inc. *		4,662
	1,200	RTI Surgical Holdings, Inc. *		2,220
	400	Rush Enterprises, Inc. – Class A		18,328
	7,000	SandRidge Energy, Inc. *		23,030
	900	Sandy Spring Bancorp, Inc.		31,824
	14,400	Sanmina Corp. *		458,064
	500	Scholastic Corp.		18,565
	1,300	Schweitzer-Mauduit International, Inc.		57,018
	1,300	Seneca Foods Corp. – Class A *		50,830
	3,800	Shoe Carnival, Inc.		134,900
	3,000	Sierra Bancorp		80,400
	900	Silgan Holdings, Inc.		27,729
	900	SilverBow Resources, Inc. *		7,848
	6,200	Sonic Automotive, Inc. – Class A		203,050
	1,700	Spok Holdings, Inc.		20,927
	2,400	SPX Corp. *		114,672
	200	Standard Motor Products, Inc.		10,074
	1,200	Star Group LP		11,268
	9,900	Steelcase, Inc. – Class A		179,388
	2,400	Stepan Co.		232,560
	300	Stoneridge, Inc. *		9,042
	6,800	Summit Hotel Properties, Inc. (REIT)		82,416
	31,700	Sunstone Hotel Investors, Inc. (REIT)		443,800
	3,200	Sykes Enterprises, Inc. *		112,448
	1,400	Tech Data Corp. *		202,846
	23,200	TEGNA, Inc.		356,120
	9,000	Telephone & Data Systems, Inc.		213,390
	1,800	Tenet Healthcare Corp. *		57,960
	1,600	Territorial Bancorp, Inc.		50,704
	300	Timberland Bancorp, Inc.		8,890
	6,800	Timken Co. (The)		357,612
	3,100	Tredegar Corp.		66,743
	3,400	Tribune Publishing Co.		42,568
	3,700	TriCo Bancshares		143,005
	400	TrustCo Bank Corp.		3,512
	600	Twin Disc, Inc. *		6,108

Shares		Description	Value ($)
		United States — continued
	11,500	Unisys Corp. *		130,870
	700	United Security Bancshares		7,308
	100	Unitil Corp.		6,104
	6,000	Universal Corp.		313,320
	2,900	Universal Forest Products, Inc.		143,840
	2,500	Varex Imaging Corp. *		74,850
	3,861	Vectrus, Inc. *		196,679
	7,000	Vera Bradley, Inc. *		77,280
	2,000	Veritiv Corp. *		36,680
	2,500	Verso Corp. – Class A *		46,150
	731	Village Super Market, Inc. – Class A		20,673
	1,678	Vishay Precision Group, Inc. *		57,740
	16,100	W&T Offshore, Inc. *		68,908
	2,200	Walker & Dunlop, Inc.		144,408
	6,000	Warrior Met Coal, Inc.		123,180
	2,200	Washington Federal, Inc.		80,982
	2,846	Waterstone Financial, Inc.		53,704
	800	Weis Markets, Inc.		31,864
	700	West Bancorporation, Inc.		16,996
	500	Westwood Holdings Group, Inc.		15,430
	1,400	Weyco Group, Inc.		34,370
	1,400	Whiting Petroleum Corp. *		6,412
	11,400	World Fuel Services Corp.		483,360
	18,777	Xenia Hotels & Resorts, Inc. (REIT)		395,444
	300	Xperi Corp.		5,937
	1,000	Zumiez, Inc. *		29,540
		Total United States		21,080,049
		TOTAL COMMON STOCKS (COST $77,740,589)		76,741,782
		PREFERRED STOCKS (d) — 1.1%
		Brazil — 0.2%
	19,700	Banco do Estado do Rio Grande do Sul SA – Class B		93,668
	3,100	Cia Paranaense de Energia – Class B		46,313
	900	Telefonica Brasil SA		11,957
		Total Brazil		151,938
		Germany — 0.4%
	900	Henkel AG & Co KGaA		94,996
	1,280	Volkswagen AG		246,953
		Total Germany		341,949
		South Korea — 0.5%
	9,112	Samsung Electronics Co Ltd		315,922
	105	Samsung Electronics Co Ltd GDR (Registered)		91,163
		Total South Korea		407,085
		TOTAL PREFERRED STOCKS (COST $846,604)		900,972

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 4.6%
		United States — 4.6%
	3,812,000	U.S. Treasury Note, Variable Rate, USBM + 0.14%, 1.71%, due 04/30/21(e)		3,809,194
		TOTAL DEBT OBLIGATIONS (COST $3,811,185)		3,809,194
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers — 0.0%
	1,527	GMO U.S. Treasury Fund		7,637
		TOTAL MUTUAL FUNDS (COST $7,637)		7,637

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	196,245	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (f)		196,245
		Total Money Market Funds		196,245
		TOTAL SHORT-TERM INVESTMENTS (COST $196,245)		196,245
		TOTAL INVESTMENTS — 98.2% (Cost $82,602,260)		81,655,830
		Other Assets and Liabilities (net) — 1.8%		1,461,224
		TOTAL NET ASSETS — 100.0%		$83,117,054

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
01/21/2020	MSCI		EUR	6,823,551		USD	7,643,844		98,245
01/21/2020	MSCI		GBP	3,326,692		USD	4,286,310		(24,436	)
01/21/2020	MSCI		JPY	549,753,154		USD	5,087,604		44,796
02/18/2020	BOA		NOK	6,923,852		USD	752,746		1,448
02/18/2020	MSCI		USD	1,522,313		CHF	1,494,108		(18,574	)
01/21/2020	MSCI		USD	798,139		EUR	719,600		(2,393	)
01/21/2020	JPM		USD	1,268,764		GBP	987,300		10,585
01/21/2020	CITI		USD	1,508,389		JPY	163,925,600		(4,723	)
								$	104,948

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
238	Mini MSCI EAFE	December 2019		23,529,870		155,543
309	S&P 500 E-Mini	December 2019		48,570,165		(2,097,222	)
			$	72,100,035	$	(1,941,679	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2019, 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.

(b) Investment valued using significant unobservable inputs.

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

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

(e) 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.

(f) The rate disclosed is the 7 day net yield as of November 30, 2019.

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

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

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

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

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Counterparty Abbreviations:

BOA - Bank of America, N.A.

CITI - Citibank N.A.

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

USD - United States Dollar

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 33.8%
		Canada — 2.7%
	205,500	Dream Global Real Estate Investment Trust (REIT)		2,596,018
	122,500	Stars Group Inc (The) *		2,975,525
		Total Canada		5,571,543
		France — 0.1%
	3,230	Faurecia SE		171,220
		Italy — 0.3%
	41,635	Fiat Chrysler Automobiles NV		612,774
		Netherlands — 0.6%
	14,222	InterXion Holding NV * (a)		1,209,439
		United States — 30.1%
	14,100	Acacia Communications, Inc. * (a) (b)		939,624
	105,524	Advanced Disposal Services, Inc. * (b)		3,477,016
	19,800	Allergan Plc (b)		3,661,812
	123,500	Altaba, Inc. (d)		2,525,575
	43,368	Axalta Coating Systems Ltd. * (a) (c)		1,234,687
	39,000	Bristol-Myers Squibb Co. (a)		2,220,660
	164,700	Caesars Entertainment Corp. * (a)		2,147,688
	158,300	Cypress Semiconductor Corp. (b)		3,712,135
	10,464	Digital Realty Trust, Inc. (REIT) (a) (c)		1,265,621
	109,700	Discovery, Inc.- Class C * (b)		3,348,044
	24,856	Genesee & Wyoming, Inc. – Class A * (a) (b)		2,770,201
	8,694	HEICO Corp. – Class A		873,225
	39,151	HP, Inc. (b) (c)		786,152
	18,596	IBERIABANK Corp.		1,357,322
	8,694	II-VI, Inc. *		253,778
	95,063	Liberty Global Plc – Series C * (a) (c)		2,043,854
	8,200	Mellanox Technologies Ltd * (b)		942,180
	50,002	NexTier Oilfield Solutions, Inc. *		239,510
	77,076	Nielsen Holdings Plc (a) (c)		1,506,836
	20,181	Occidental Petroleum Corp. (a) (c)		778,381
	9,800	Pattern Energy Group, Inc.– Class A		269,696
	4,863	Prosperity Bancshares, Inc.		341,626
	110,489	SunTrust Banks, Inc. (a) (b)		7,827,041
	80,693	ViacomCBS, Inc. – Class B (a) (c)		3,258,383
	30,300	WABCO Holdings, Inc. * (b)		4,082,925
	8,162	Walgreens Boots Alliance, Inc. (c)		486,455
	11,357	WellCare Health Plans, Inc. * (a)		3,657,749
	86,400	Wright Medical Group NV * (a)		2,572,128
	108,100	Zayo Group Holdings, Inc. * (a) (b)		3,701,344
		Total United States		62,281,648
		TOTAL COMMON STOCKS (COST $66,486,058)		69,846,624

Shares / Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		United States — 0.0%
	39,000	Bristol-Myers Squibb Co. * (a)		83,850
		TOTAL RIGHTS/WARRANTS (COST $83,070)		83,850
		DEBT OBLIGATIONS — 27.8%
		United States — 27.8%
		U.S. Government — 27.8%
	4,500,000	U.S. Treasury Note, 1.63%, due 06/30/20		4,499,297
	15,000,000	U.S. Treasury Note, 1.38%, due 09/30/20		14,962,500
	5,000,000	U.S. Treasury Note, 1.38%, due 10/31/20		4,985,156
	8,000,000	U.S. Treasury Note, 1.38%, due 01/31/21		7,969,375
	25,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.14%, 1.71%, due 04/30/21(b)		24,981,594
		TOTAL DEBT OBLIGATIONS (COST $57,383,476)		57,397,922
		MUTUAL FUNDS — 9.6%
		United States — 9.6%
		Affiliated Issuers — 9.6%
	1,100,382	GMO Alpha Only Fund, Class IV		19,894,901
		TOTAL MUTUAL FUNDS (COST $20,949,918)		19,894,901
		SHORT-TERM INVESTMENTS — 41.2%
		Foreign Government Obligations — 39.2%
CAD	13,000,000	Canadian Treasury Bill, Zero Coupon, due 12/27/19		9,774,614
CAD	13,500,000	Canadian Treasury Bill, Zero Coupon, due 02/06/20		10,131,759
JPY	1,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/08/20		11,882,936
JPY	1,250,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/14/20		11,426,304
JPY	667,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/27/20		6,097,588
JPY	1,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/10/20		10,056,999
JPY	540,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/25/20		4,937,646
GBP	1,000,000	United Kingdom Treasury Bill, Zero Coupon, due 01/20/20		1,291,890
GBP	5,000,000	United Kingdom Treasury Bill, Zero Coupon, due 01/27/20		6,458,502
GBP	7,000,000	United Kingdom Treasury Bill, Zero Coupon, due 02/03/20		9,040,576
		Total Foreign Government Obligations		81,098,814

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Money Market Funds — 2.0%
	2,704,173	SSgA USD Liquidity Fund – Class D shares, 1.71% (e)		2,704,173
	1,382,719	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (f)		1,382,719
		Total Money Market Funds		4,086,892
		TOTAL SHORT-TERM INVESTMENTS (COST $85,840,088)		85,185,706

PURCHASED OPTIONS — 0.1%

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Value ($)
Equity Options – Puts — 0.0%
Chevron Corp.		110.00		05/15/20		USD	56		USD	655,928		19,040
ConocoPhillips		55.00		05/15/20		USD	112		USD	671,328		29,680
PPG Industries, Inc.		110.00		05/15/20		USD	121		USD	1,558,964		24,805
		TOTAL EQUITY OPTIONS – PUTS										73,525
Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Value ($)
Index Options – Puts — 0.1%
S&P 500 Index		2,850.00		03/20/20		USD	11		USD	3,455,078		33,770
S&P 500 Index		3,050.00		04/17/20		USD	12		USD	3,769,176		93,120
S&P 500 Index		2,950.00		04/17/20		USD	12		USD	3,769,176		68,160
		TOTAL INDEX OPTIONS – PUTS										195,050
		TOTAL PURCHASED OPTIONS (COST $461,074)										268,575
		TOTAL INVESTMENTS — 112.5% (Cost $231,203,684)										232,677,578

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (14.3)%
			Common Stocks — (14.3)%
			China — (0.1)%
	(865	)	Alibaba Group Holding Ltd Sponsored ADR *		(173,000	)
			France — (0.3)%
	(24,043	)	Peugeot SA		(580,175	)
			Ireland — (1.5)%
	(27,589	)	Flutter Entertainment Plc		(3,140,511	)
			United States — (12.4)%
	(17,147	)	AbbVie, Inc.		(1,504,306	)
	(143,023	)	BB&T Corp.		(7,826,219	)
	(39,001	)	Bristol-Myers Squibb Co.		(2,220,717	)
	(38,273	)	Centene Corp. *		(2,314,368	)
	(10,023	)	Digital Realty Trust, Inc. (REIT)		(1,212,282	)
	(101,830	)	Discovery, Inc. – Class A *		(3,354,280	)
	(14,779	)	Eldorado Resorts, Inc. *		(790,824	)
	(85,033	)	First Horizon National Corp.		(1,367,331	)

Shares			Description	Value ($)
			United States — continued
	(87	)	Global Payments, Inc.		(15,756	)
	(6,616	)	HEICO Corp.		(859,352	)
	(8,716	)	II-VI, Inc. *		(254,420	)
	(56,068	)	Liberty Global Plc– Class A * (c)		(1,264,334	)
	(50,061	)	NexTier Oilfield Solutions, Inc. *		(239,792	)
	(2	)	Occidental Petroleum Corp.		(77	)
	(4,917	)	Prosperity Bancshares, Inc.		(345,419	)
	(85,018	)	Viacom, Inc. – Class B		(2,046,383	)
			Total United States		(25,615,860	)
			TOTAL COMMON STOCKS (PROCEEDS $26,607,155)		(29,509,546	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $26,607,155)		(29,509,546	)
			Other Assets and Liabilities (net) — 1.8%		3,602,090
			TOTAL NET ASSETS — 100.0%		$206,770,122

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/21/2020	BOA	AUD	185,136	USD	126,945		1,554
01/21/2020	UBS	AUD	545,748	USD	374,305		4,675
02/06/2020	MSCI	AUD	22,489,000	USD	15,492,062		254,601
02/04/2020	CITI	BRL	1,497,055	USD	350,000		(2,574	)
02/04/2020	JPM	BRL	2,988,134	USD	744,706		40,965
12/04/2019	CITI	CAD	1,625,172	USD	1,220,000		(3,498	)
12/04/2019	MSCI	CAD	624,418	USD	470,000		(88	)
12/27/2019	JPM	CAD	13,000,000	USD	9,817,457		27,802
01/13/2020	JPM	CAD	2,427,834	USD	1,825,952		(2,541	)
01/13/2020	MSCI	CAD	1,022,511	USD	772,728		2,637
02/06/2020	UBS	CAD	13,500,000	USD	10,174,059		6,171
12/19/2019	BCLY	CHF	884,859	USD	892,634		6,313
12/19/2019	BOA	CHF	14,752,748	USD	14,963,762		186,651
12/19/2019	GS	CHF	538,952	USD	546,916		7,074
12/19/2019	MSCI	CHF	1,740,322	USD	1,762,329		19,133
12/19/2019	UBS	CHF	816,545	USD	829,859		11,965
02/04/2020	MSCI	CHF	11,654,951	USD	11,764,406		45,608
02/18/2020	JPM	CHF	13,679,724	USD	13,938,634		170,739
02/18/2020	MSCI	CHF	2,649,068	USD	2,700,000		33,857
01/09/2020	MSCI	CLP	1,449,841,700	USD	2,024,494		216,879
01/09/2020	JPM	COP	6,924,109,000	USD	2,005,535		41,052
12/13/2019	BCLY	CZK	6,137,833	USD	260,000		(4,731	)
12/13/2019	BOA	CZK	29,061,701	USD	1,235,354		(18,105	)
01/22/2020	BCLY	EUR	1,270,557	USD	1,409,617		4,525
01/22/2020	BOA	EUR	479,145	USD	536,142		6,262
01/22/2020	GS	EUR	334,755	USD	370,245		44
01/22/2020	JPM	EUR	23,012,911	USD	25,762,496		312,830
01/22/2020	MSCI	EUR	1,015,428	USD	1,133,777		10,828
01/22/2020	SSB	EUR	906,727	USD	1,011,294		8,557
01/22/2020	UBS	EUR	697,867	USD	781,861		10,100

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/27/2020	MSCI	EUR	2,200,000	USD	2,448,461		14,748
01/21/2020	MSCI	GBP	1,000,000	USD	1,299,487		3,681
01/27/2020	JPM	GBP	5,000,000	USD	6,430,566		(49,556	)
02/03/2020	MSCI	GBP	7,000,000	USD	9,095,876		21,919
02/18/2020	BOA	GBP	6,931,780	USD	8,926,615		(62,638	)
12/13/2019	BOA	HUF	535,313,520	USD	1,778,450		14,303
01/09/2020	JPM	INR	31,405,440	USD	440,000		3,706
01/09/2020	MSCI	INR	74,030,040	USD	1,030,000		1,552
12/09/2019	CITI	JPY	51,053,604	USD	470,000		3,279
12/09/2019	GS	JPY	150,480,010	USD	1,390,000		14,343
12/09/2019	MSCI	JPY	82,526,523	USD	760,000		5,560
01/08/2020	GS	JPY	1,300,000,000	USD	12,117,834		201,892
01/14/2020	GS	JPY	1,250,000,000	USD	11,765,503		303,975
01/27/2020	MSCI	JPY	667,000,000	USD	6,189,649		69,273
02/10/2020	MSCI	JPY	1,100,000,000	USD	10,236,398		134,890
02/25/2020	MSCI	JPY	540,000,000	USD	4,999,817		36,758
12/09/2019	BCLY	KRW	1,684,187,680	USD	1,412,366		(13,367	)
12/09/2019	MSCI	KRW	269,420,390	USD	230,000		1,925
02/21/2020	MSCI	MXN	4,745,442	USD	240,000		223
12/04/2019	JPM	NOK	7,889,055	USD	860,000		4,424
02/07/2020	GS	NZD	3,594,000	USD	2,264,541		(45,169	)
02/07/2020	MSCI	NZD	3,380,000	USD	2,138,112		(34,071	)
12/06/2019	CITI	PHP	9,628,250	USD	190,000		578
12/06/2019	JPM	PHP	14,318,920	USD	274,572		(7,133	)
12/13/2019	BOA	PLN	7,378,463	USD	1,872,171		(12,292	)
12/13/2019	CITI	PLN	1,767,755	USD	450,000		(1,485	)
01/30/2020	BOA	RON	7,043,996	USD	1,640,007		21,304
12/06/2019	JPM	SEK	13,688,431	USD	1,420,000		(9,625	)
02/18/2020	GS	SGD	426,632	USD	313,261		1,057
12/13/2019	MSCI	THB	6,653,900	USD	220,000		(232	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/21/2020	BCLY	TRY	4,249,348	USD	720,000		(9,710	)
01/21/2020	CITI	TRY	1,174,321	USD	200,000		(1,658	)
01/21/2020	MSCI	TRY	2,619,945	USD	450,000		95
01/10/2020	JPM	TWD	17,884,270	USD	583,976		(3,341	)
01/21/2020	JPM	USD	2,931,326	AUD	4,314,633		(9,067	)
12/04/2019	BOA	USD	520,000	CAD	689,191		(1,148	)
12/04/2019	JPM	USD	20,398,006	CAD	27,165,222		53,113
12/04/2019	MSCI	USD	1,970,000	CAD	2,579,666		(27,919	)
12/09/2019	MSCI	USD	6,950,643	CAD	9,254,928		16,856
12/09/2019	UBS	USD	150,648	CAD	198,007		(1,580	)
01/31/2020	JPM	USD	6,850,149	CAD	9,000,000		(71,655	)
02/05/2020	BCLY	USD	130,524	CAD	171,362		(1,459	)
02/05/2020	BOA	USD	6,619,582	CAD	8,698,098		(68,393	)
02/05/2020	MSCI	USD	628,226	CAD	828,134		(4,496	)
12/13/2019	BCLY	USD	370,000	CZK	8,522,602		(2,412	)
12/13/2019	CITI	USD	770,000	CZK	17,717,469		(5,829	)
01/22/2020	UBS	USD	181,349	EUR	161,509		(2,738	)
02/18/2020	BCLY	USD	556,633	GBP	428,707		(678	)
02/18/2020	MSCI	USD	1,611,210	GBP	1,251,000		11,109
02/18/2020	UBS	USD	753,433	GBP	581,411		551
02/25/2020	JPM	USD	808,266	IDR	11,512,943,000		(527	)
02/28/2020	MSCI	USD	1,020,997	ILS	3,514,679		(4,540	)
01/09/2020	MSCI	USD	991,449	INR	71,076,980		(4,026	)
12/09/2019	BCLY	USD	1,390,000	JPY	148,824,464		(29,478	)
12/09/2019	BOA	USD	1,000,000	JPY	107,471,500		(17,518	)
12/09/2019	JPM	USD	4,873,735	JPY	522,470,578		(97,418	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
12/09/2019	MSCI	USD	1,530,000	JPY	165,558,785		(16,496	)
01/27/2020	JPM	USD	2,270,464	JPY	245,675,901		(16,147	)
12/09/2019	BOA	USD	210,000	KRW	249,984,000		1,621
12/09/2019	JPM	USD	400,000	KRW	468,132,000		(3,707	)
12/09/2019	MSCI	USD	320,000	KRW	376,000,000		(1,701	)
02/21/2020	MSCI	USD	2,045,821	MXN	40,212,648		(13,963	)
12/04/2019	BCLY	USD	2,540,000	NOK	23,091,902		(35,661	)
12/04/2019	JPM	USD	6,438,950	NOK	58,459,515		(98,959	)
12/04/2019	MSCI	USD	1,790,000	NOK	16,146,874		(38,856	)
02/10/2020	BCLY	USD	4,093,621	NOK	37,205,898		(56,465	)
02/10/2020	MSCI	USD	5,130,000	NOK	46,876,379		(43,514	)
02/07/2020	MSCI	USD	8,593,697	NZD	13,400,000		17,911
01/10/2020	JPM	USD	416,891	PEN	1,413,180		(2,201	)
12/13/2019	CITI	USD	210,000	PLN	806,864		(3,927	)
12/13/2019	GS	USD	320,000	PLN	1,222,801		(7,696	)
12/13/2019	JPM	USD	140,000	PLN	545,977		(557	)
01/22/2020	MSCI	USD	2,170,482	RUB	139,908,230		(8,998	)
12/06/2019	BCLY	USD	5,564,084	SEK	53,349,965		7,809
02/03/2020	MSCI	USD	1,192,246	SEK	11,728,597		37,076
12/13/2019	BOA	USD	2,047,727	THB	62,558,060		22,834
01/21/2020	BCLY	USD	1,512,095	TRY	9,212,440		69,892
01/30/2020	GS	USD	270,000	ZAR	4,029,573		2,829
01/30/2020	MSCI	ZAR	12,253,614	USD	832,317		2,664
						$	1,553,029

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
61	CAC40 10 Euro	December 2019		3,962,923		(7,876	)
27	DAX Index	December 2019		9,840,008		645,216
25	Euro Bund	December 2019		4,712,122		24,391
101	FTSE 100 Index	December 2019		9,620,095		93,036
5	FTSE/JSE TOP 40	December 2019		168,020		(4,990	)
35	Hang Seng Index	December 2019		5,887,452		(151,873	)
187	Mini MSCI Emerging Markets	December 2019		9,705,300		85,385
59	MSCI Singapore	December 2019		1,588,664		(7,854	)
11	MSCI Taiwan Index	December 2019		479,116		(3,859	)
179	U.S. Treasury Note 10 Yr. (CBT)	March 2020		23,155,328		(37,473	)
			$	69,119,028	$	634,103

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
58	Australian Government Bond 10 Yr.	December 2019		5,769,011		(23,511	)
89	Canadian Government Bond 10 Yr.	March 2020		9,385,101		(3,468	)
65	Gilt Long Bond	March 2020		11,160,400		1,694
112	S&P 500 E-Mini	December 2019		17,604,720		(739,461	)
51	TOPIX Index	December 2019		7,916,679		(727,519	)
			$	51,835,911	$	(1,492,265	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Written Options

Equity Options

Description	Exercise Price		Expiration Date	Number of Contracts				Notional Amount				Value ($)
Equity Options – Calls
Axalta Coating Systems Ltd. (c)		30.00	04/17/20		USD	(607	)		USD	(1,728,129	)	(88,015)
CBS Corp. (c)		40.00	06/19/20		USD	(175	)		USD	(706,650	)	(63,875)
Digital Realty Trust, Inc. (c)		120.00	04/17/20		USD	(175	)		USD	(2,116,625	)	(120,750)
HP, Inc. (c)		21.00	05/15/20		USD	(653	)		USD	(1,311,224	)	(58,117)
Liberty Global Plc (c)		27.50	04/17/20		USD	(302	)		USD	(649,300	)	(10,570)
Nielsen Holdings Plc (c)		21.00	05/15/20		USD	(499	)		USD	(975,545	)	(67,365)
Occidental Petroleum Corp. (c)		45.00	05/15/20		USD	(337	)		USD	(1,299,809	)	(42,125)
Walgreens Boots Alliance, Inc. (c)		65.00	06/19/20		USD	(164	)		USD	(977,440	)	(39,524)
		TOTAL WRITTEN EQUITY OPTIONS – CALLS										$(490,341)
Equity Options – Puts
Axalta Coating Systems Ltd. (c)		27.00	04/17/20		USD	(309	)		USD	(879,723	)	(40,170)
CBS Corp. (c)		35.00	06/19/20		USD	(175	)		USD	(706,650	)	(27,475)
CBS Corp. (c)		37.50	03/20/20		USD	(326	)		USD	(1,316,388	)	(45,640)
Digital Realty Trust, Inc. (c)		115.00	04/17/20		USD	(175	)		USD	(2,116,625	)	(79,625)
HP, Inc. (c)		19.00	05/15/20		USD	(653	)		USD	(1,311,224	)	(67,912)
Liberty Global Plc (c)		22.50	04/17/20		USD	(302	)		USD	(649,300	)	(67,950)
Liberty Global Plc (c)		25.00	04/17/20		USD	(228	)		USD	(490,200	)	(93,480)
Nielsen Holdings Plc (c)		19.00	05/15/20		USD	(499	)		USD	(975,545	)	(64,870)
Occidental Petroleum Corp. (c)		40.00	05/15/20		USD	(337	)		USD	(1,299,809	)	(176,925)
Walgreens Boots Alliance, Inc. (c)		55.00	06/19/20		USD	(164	)		USD	(977,440	)	(45,100)
		TOTAL WRITTEN EQUITY OPTIONS – PUTS										$(709,147)
Index Options – Puts
S&P 500 Index		3,110.00	12/20/19		USD	(84	)		USD	(26,384,232	)	(170,268)
		TOTAL WRITTEN OPTIONS (Premiums $(1,480,979)										$(1,369,756)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.30%	6 Month AUD BBSW	AUD	3,300,000		12/18/2029	Semi-Annually		—			(20,232	)		(20,232	)
1.35%	6 Month AUD BBSW	AUD	55,090,000		12/18/2029	Semi-Annually		60,988			(517,303	)		(578,291	)
1.45%	6 Month AUD BBSW	AUD	41,210,000		12/18/2029	Semi-Annually		(42,113	)		(655,598	)		(613,485	)
6 Month CHF LIBOR	(0.08)%	CHF	39,680,000		12/18/2029	Semi-Annually		7,068			724,940			717,872
(0.25)%	6 Month CHF LIBOR	CHF	3,450,000		12/18/2029	Semi-Annually		—			(1,772	)		(1,772	)
1.33%	3 Month NZD Bank Bill Rate	NZD	3,330,000		12/18/2029	Quarterly		—			32,040			32,040
3 Month NZD Bank Bill Rate	1.54%	NZD	5,980,000		12/18/2029	Quarterly		(186	)		17,822			18,008
1.48%	3 Month NZD Bank Bill Rate	NZD	14,740,000		12/18/2029	Quarterly		—			12,021			12,021
3 Month NZD Bank Bill Rate	1.35%	NZD	13,040,000		12/18/2029	Quarterly		—			(109,627	)		(109,627	)
3 Month NZD Bank Bill Rate	1.15%	NZD	6,570,000		12/18/2029	Quarterly		(2,461	)		(135,035	)		(132,574	)
3 Month NZD Bank Bill Rate	1.45%	NZD	6,940,000		12/18/2029	Quarterly		(63	)		(14,511	)		(14,448	)
3 Month NZD Bank Bill Rate	1.39%	NZD	3,460,000		12/18/2029	Quarterly		—			(20,683	)		(20,683	)
3 Month NZD Bank Bill Rate	1.48%	NZD	5,680,000		12/18/2029	Quarterly		—			(3,770	)		(3,770	)
3 Month SEK STIBOR	0.62%	SEK	200,510,000		12/18/2029	Quarterly		9,482			97,291			87,809
0.90%	6 Month GBP LIBOR	GBP	4,640,000		12/19/2029	Semi-Annually		(2,831	)		8,992			11,823
0.84%	6 Month GBP LIBOR	GBP	4,480,000		12/19/2029	Semi-Annually		—			45,154			45,154
0.88%	6 Month GBP LIBOR	GBP	1,420,000		12/19/2029	Semi-Annually		—			7,109			7,109
0.87%	6 Month GBP LIBOR	GBP	1,420,000		12/19/2029	Semi-Annually		—			8,088			8,088
6 Month GBP LIBOR	0.88%	GBP	2,790,000		12/19/2029	Semi-Annually		—			(12,396	)		(12,396	)
1.00%	6 Month GBP LIBOR	GBP	5,540,000		12/19/2029	Semi-Annually		—			(58,650	)		(58,650	)
1.68%	3 Month USD LIBOR	USD	3,735,000		12/19/2029	Quarterly		—			8,246			8,246
1.69%	3 Month USD LIBOR	USD	3,735,000		12/19/2029	Quarterly		—			4,428			4,428
3 Month USD LIBOR	1.71%	USD	1,500,000		12/19/2029	Quarterly		—			1,288			1,288
1.72%	3 Month USD LIBOR	USD	22,197,000		12/19/2029	Quarterly		16,434			(34,537	)		(50,971	)
1.72%	3 Month USD LIBOR	USD	3,773,000		12/19/2029	Quarterly		—			(5,520	)		(5,520	)
1.71%	3 Month USD LIBOR	USD	2,290,000		12/19/2029	Quarterly		—			(477	)		(477	)
1.77%	3 Month USD LIBOR	USD	2,350,000		12/19/2029	Quarterly		—			(14,358	)		(14,358	)
1.78%	3 Month USD LIBOR	USD	1,650,000		12/19/2029	Quarterly		—			(12,074	)		(12,074	)
3 Month CAD LIBOR	1.91%	CAD	34,790,000		03/18/2030	Semi-Annually		(10,517	)		(9,486	)		1,031
3 Month CAD LIBOR	1.88%	CAD	33,790,000		03/18/2030	Semi-Annually		—			(79,422	)		(79,422	)
6 Month CHF LIBOR	(0.21)%	CHF	4,800,000		03/18/2030	Semi-Annually		—			13,895			13,895
6 Month CHF LIBOR	(0.18)%	CHF	21,380,000		03/18/2030	Semi-Annually		—			119,150			119,150
3 Month NZD Bank Bill Rate	1.50%	NZD	14,800,000		03/18/2030	Quarterly		—			(13,350	)		(13,350	)
6 Month EURIBOR	0.11%	EUR	6,350,000		03/20/2030	Semi-Annually		7,583			16,793			9,210
0.90%	6 Month GBP LIBOR	GBP	37,650,000		03/20/2030	Semi-Annually		—			97,439			97,439
1.65%	3 Month USD LIBOR	USD	5,290,000		03/20/2030	Quarterly		—			26,794			26,794
							$	43,384		$	(477,311	)	$	(520,695	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Total Return on Bloomberg Commodity Index (e)

1 Month Fed Funds Rate minus 0.15%

MSCI

USD

1,995,016

01/10/2020

Monthly

$

—

$

48,281

$

48,281

As of November 30, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

(c) All or a portion of this investment is held in connection with one or more holdings within the Fund.

(d) Investment value using significant unobservable inputs.

(e) All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund.

(f) The rate disclosed is the 7 day net yield as of November 30, 2019.

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

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

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

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

EURIBOR - Euro Interbank Offered Rate

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

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

REIT - Real Estate Investment Trust

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBS - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	11,709,686	GMO Emerging Country Debt Fund, Class IV		325,412,179
	7,550,485	GMO High Yield Fund, Class VI		159,013,223
	573,623,255	GMO Implementation Fund		7,812,748,733
	18,268,001	GMO Opportunistic Income Fund, Class VI		491,226,550
	22,730,489	GMO SGM Major Markets Fund, Class VI		712,146,220
	11,980,237	GMO Special Opportunities Fund, Class VI		243,079,002
		TOTAL MUTUAL FUNDS (COST $9,451,423,470)		9,743,625,907
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	7,202,533	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (a)		7,202,533
		TOTAL SHORT-TERM INVESTMENTS (COST $7,202,533)		7,202,533
		TOTAL INVESTMENTS — 100.1% (Cost $9,458,626,003)		9,750,828,440
		Other Assets and Liabilities (net) — (0.1%)		(6,899,628	)
		TOTAL NET ASSETS — 100.0%		$9,743,928,812

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2019.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	COMMON STOCKS — 49.3%
	Argentina — 0.0%
18,799	Banco BBVA Argentina SA ADR		73,508
7,200	Banco Macro SA ADR		186,120
5,000	Grupo Financiero Galicia SA ADR		66,800
8,400	Pampa Energia SA Sponsored ADR *		114,576
14,965	Transportadora de Gas del Sur SA ADR – Class B		90,239
	Total Argentina		531,243
	Australia — 0.7%
186,179	Accent Group Ltd		214,511
38,235	Adairs Ltd		47,057
57,491	Alliance Aviation Services Ltd		102,586
10,951	Altium Ltd		265,821
63,997	Appen Ltd		1,060,511
86,421	Austal Ltd		245,746
291,360	Australian Pharmaceutical Industries Ltd		258,727
50,822	Aventus Group (REIT)		97,329
83,512	Beach Energy Ltd		135,428
55,263	Brickworks Ltd		705,197
19,859	Caltex Australia Ltd		464,322
77,867	Charter Hall Retail (REIT)		242,294
40,010	Codan Ltd		178,038
40,491	Downer EDI Ltd		229,818
437,232	Fortescue Metals Group Ltd		2,879,322
79,760	GDI Property Group (REIT)		83,346
37,950	Genworth Mortgage Insurance Australia Ltd		94,223
57,642	Harvey Norman Holdings Ltd (a)		167,926
8,515	Macquarie Group Ltd		795,683
1,466	Magellan Financial Group Ltd		52,027
146,532	Mount Gibson Iron Ltd		79,726
227,251	New Hope Corp Ltd (a)		333,677
14,174	OZ Minerals Ltd		101,128
124,810	Rio Tinto Ltd		8,182,799
237,543	Sandfire Resources NL		898,091
45,958	Service Stream Ltd		76,858
305,855	Southern Cross Media Group Ltd		198,606
46,032	Super Retail Group Ltd		312,149
295,709	Viva Energy (REIT)		557,339
3,785	Viva Energy Group Ltd		5,822
	Total Australia		19,066,107
	Austria — 0.0%
11,646	Vienna Insurance Group AG Wiener Versicherung Gruppe		321,898
	Belgium — 0.1%
3,552	Barco NV		819,401
484	D’Ieteren SA		31,193
35,035	UCB SA		2,838,420
	Total Belgium		3,689,014

Shares	Description	Value ($)
	Brazil — 1.9%
421,700	Atacadao SA		1,873,580
142,000	Banco do Brasil SA		1,603,567
661,100	Banco Santander Brasil SA		6,886,296
727,500	Cia de Saneamento Basico do Estado de Sao Paulo		9,863,358
44,900	Cia de Saneamento Basico do Estado de Sao Paulo ADR		600,762
26,800	Cia Paranaense de Energia		423,994
479,000	Cia Siderurgica Nacional SA		1,421,036
9,500	Hypera SA		74,722
1,984,900	JBS SA		13,352,376
14,100	M Dias Branco SA		110,170
73,800	Mahle-Metal Leve SA		432,128
329,100	MRV Engenharia e Participacoes SA		1,365,776
1,585,140	Petrobras Distribuidora SA		10,648,223
24,800	Qualicorp Consultoria e Corretora de Seguros SA		215,566
185,800	Tupy SA		864,553
15,600	YDUQS Part		156,269
	Total Brazil		49,892,376
	Canada — 1.2%
12,800	Absolute Software Corp		80,753
18,300	AGF Management Ltd – Class B		85,969
4,900	Air Canada *		184,631
12,337	BRP Inc Sub Voting		603,893
28,400	Canaccord Genuity Group Inc		104,765
26,900	Canadian National Railway Co		2,450,321
29,800	Canfor Pulp Products Inc		187,554
7,500	CGI Inc *		621,490
5,100	Cogeco Communications Inc		440,505
3,800	Cogeco Inc		294,577
21,400	Corus Entertainment Inc – B Shares		92,637
23,900	Dundee Precious Metals Inc *		91,224
38,900	Enerflex Ltd		351,427
4,000	Enghouse Systems Ltd		124,671
8,500	iA Financial Corp Inc		435,143
12,100	Labrador Iron Ore Royalty Corp		230,103
9,900	Martinrea International Inc		92,121
4,500	Morguard North American Residential Real Estate Investment Trust		64,537
10,300	Rogers Sugar Inc		37,453
168,500	Royal Bank of Canada		13,792,822
40,900	Russel Metals Inc		688,184
26,700	Suncor Energy Inc		838,380
44,000	Sun Life Financial Inc (b)		2,007,709
64,900	Sun Life Financial Inc (b) (c)		2,963,983
7,800	TFI International Inc		256,907
88,800	Toronto-Dominion Bank (The)		5,120,223
19,200	Transcontinental Inc – Class A		212,482
11,200	Wajax Corp		124,454
20,400	Westshore Terminals Investment Corp		332,039

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	Canada — continued
24,100	Yamana Gold Inc		86,278
	Total Canada		32,997,235
	Chile — 0.1%
78,866	Aguas Andinas SA – Class A		32,282
7,601,644	Enel Americas SA		1,460,651
155,300	Enel Americas SA ADR		1,501,751
1,606	Inversiones La Construccion SA		15,563
	Total Chile		3,010,247
	China — 7.5%
88,000	361 Degrees International Ltd		15,960
586,000	7Road Holdings Ltd *		209,589
29,250	A-Living Services Co Ltd – Class H		94,367
41,000	AAC Technologies Holdings Inc		289,235
2,101,668	Agile Group Holdings Ltd		2,948,889
723,900	Agricultural Bank of China Ltd – Class A		372,952
32,083,000	Agricultural Bank of China Ltd – Class H		12,989,808
8,200	Alibaba Group Holding Ltd Sponsored ADR *		1,640,000
194,000	Angang Steel Co Ltd – Class H		73,598
173,000	Anhui Conch Cement Co Ltd – Class A		1,128,637
1,552,000	Anhui Conch Cement Co Ltd – Class H		9,928,874
90,600	Anhui Expressway Co Ltd – Class A		73,888
2,200	Anhui Kouzi Distillery Co Ltd – Class A		16,864
32,000	ANTA Sports Products Ltd		300,933
19,000	Asia Cement China Holdings Corp		25,533
6,614,500	BAIC Motor Corp Ltd – Class H		3,707,607
9,684,000	Bank of China Ltd – Class H		3,883,823
17,162,000	Bank of Communications Co Ltd – Class H		11,265,647
16,000	Beijing Capital International Airport Co Ltd – Class H		15,127
30,000	Beijing Enterprises Water Group Ltd *		14,721
16,800	Beijing New Building Materials Plc – Class A		53,399
328,600	Beijing North Star Co Ltd – Class A		142,242
266,000	Bosideng International Holdings Ltd		127,073
65,000	BYD Electronic International Co Ltd		116,236
175,000	Cabbeen Fashion Ltd		35,782
950,000	CGN Power Co Ltd – Class H		237,930
34,000	China Aoyuan Group Ltd		48,629
3,346,000	China Cinda Asset Management Co Ltd – Class H		696,691
6,761,000	China CITIC Bank Corp Ltd – Class H		3,696,085
94,000	China Communications Construction Co Ltd – Class A		120,480
50,000	China Communications Construction Co Ltd – Class H		38,909
3,078,000	China Communications Services Corp Ltd – Class H		2,072,042
620,600	China Construction Bank Corp – Class A		627,119
6,002,000	China Construction Bank Corp – Class H		4,774,658
1,710,000	China Everbright Bank Co Ltd – Class H		738,234
7,800	China Gas Holdings Ltd		28,992
1,058,000	China Greenfresh Group Co Ltd *		27,575

Shares	Description	Value ($)
	China — continued
646,000	China Huarong Asset Management Co Ltd – Class H		94,107
586,000	China Jinmao Holdings Group Ltd		389,743
3,615,000	China Lesso Group Holdings Ltd		3,786,884
538,000	China Lilang Ltd		434,293
2,517,000	China Machinery Engineering Corp – Class H		1,000,709
545,000	China Medical System Holdings Ltd		775,463
1,567,000	China Minsheng Banking Corp Ltd – Class H		1,090,723
170,000	China Mobile Ltd		1,281,721
4,526,000	China National Building Material Co Ltd – Class H		4,376,115
258,558	China National Chemical Engineering Co Ltd – Class A		229,315
196,000	China Oriental Group Co Ltd		80,881
44,000	China Overseas Grand Oceans Group Ltd		24,678
598,000	China Overseas Land & Investment Ltd		2,007,005
70,000	China Overseas Property Holdings Ltd		43,117
79,900	China Pacific Insurance Group Co Ltd – Class A		389,514
107,600	China Pacific Insurance Group Co Ltd – Class H		380,537
9,500	China Petroleum & Chemical Corp ADR		530,575
209,198	China Petroleum & Chemical Corp – Class A		148,516
16,380,000	China Petroleum & Chemical Corp – Class H		9,185,972
162,000	China Pioneer Pharma Holdings Ltd *		11,529
41,600	China Railway Construction Corp Ltd – Class A		57,310
7,912,500	China Railway Construction Corp Ltd – Class H		8,167,861
93,499	China Railway Group Ltd – Class A		75,222
4,284,042	China Railway Group Ltd – Class H		2,507,841
479,000	China Railway Signal & Communication Corp Ltd – Class H		256,967
287,000	China Reinsurance Group Corp – Class H		45,459
268,000	China Resources Cement Holdings Ltd		321,086
34,000	China Resources Gas Group Ltd		189,314
384,000	China Resources Land Ltd		1,662,414
3,484,000	China Resources Pharmaceutical Group Ltd		3,043,445
1,329,000	China SCE Group Holdings Ltd		633,585
359,179	China Shenhua Energy Co Ltd – Class A		879,760
2,564,500	China Shenhua Energy Co Ltd – Class H		4,965,367
807,000	China Shineway Pharmaceutical Group Ltd		827,815
153,854	China South Publishing & Media Group Co Ltd – Class A		253,553
309,899	China State Construction Engineering Corp Ltd – Class A		225,560
44,000	China State Construction International Holdings Ltd		34,723
22,954,000	China Telecom Corp Ltd – Class H		8,686,729
195,189	China Vanke Co Ltd – Class A		770,121
272,300	China Vanke Co Ltd – Class H		1,019,159
594,673	China Yangtze Power Co Ltd – Class A		1,534,534
28,100	China Yuchai International Ltd		377,945
116,000	China Yuhua Education Corp Ltd		71,395
83,992	Chinese Universe Publishing and Media Group Co Ltd – Class A		142,717
16,500	Chongqing Department Store Co Ltd – Class A		65,117
188,000	Chongqing Rural Commercial Bank Co Ltd – Class H		93,415

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	China — continued
76,000	CIFI Holdings Group Co Ltd		55,369
715,000	CNOOC Ltd		1,037,915
400	CNOOC Ltd Sponsored ADR		58,088
614,604	Country Garden Holdings Co Ltd		856,982
306,000	Dah Chong Hong Holdings Ltd		140,395
55,000	Dali Foods Group Co Ltd		37,380
111,800	Dalian Port PDA Co Ltd – Class A		31,821
915,670	Daqin Railway Co Ltd – Class A		1,033,506
119,000	Dongyue Group Ltd		60,641
6,000	ENN Energy Holdings Ltd		65,210
127,460	Fangda Special Steel Technology Co Ltd – Class A		162,370
30,000	Fu Shou Yuan International Group Ltd		25,784
1,000	G-bits Network Technology Xiamen Co Ltd – Class A		41,749
163,000	Geely Automobile Holdings Ltd		304,828
168,000	Gemdale Properties & Investment Corp Ltd		19,520
64,092	Gree Electric Appliances Inc of Zhuhai – Class A		526,705
32,000	Greentown Service Group Co Ltd		35,062
600,000	Guangdong Investment Ltd		1,240,718
77,085	Guangdong Provincial Expressway Development Co Ltd – Class A		87,987
34,400	Guangdong Tapai Group Co Ltd – Class A		52,586
850,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		2,561,498
4,233,079	Guangzhou R&F Properties Co Ltd – Class H		7,114,670
539,000	Haier Electronics Group Co Ltd		1,498,225
31,000	Haitian International Holdings Ltd		69,282
43,500	Hebei Construction Group Corp Ltd – Class H		26,815
1,504,000	HengTen Networks Group Ltd *		21,713
349,089	Hisense Home Appliances Group Co Ltd – Class A		508,338
515,000	Hisense Home Appliances Group Co Ltd – Class H		477,697
120,583	HLA Corp Ltd – Class A		131,813
8,300	Hollysys Automation Technologies Ltd		122,093
2,304,000	Huabao International Holdings Ltd		750,457
26,000	Huaneng Renewables Corp Ltd – Class H		9,938
189,298	Huaxin Cement Co Ltd – Class A		594,488
21,790	Huayu Automotive Systems Co Ltd – Class A		80,394
954,000	IGG Inc		696,155
927,700	Industrial & Commercial Bank of China Ltd – Class A		764,464
4,023,000	Industrial & Commercial Bank of China Ltd – Class H		2,867,148
4,700	iQIYI Inc ADR * (a)		90,005
43,000	Kingboard Holdings Ltd		118,373
70,000	Kingboard Laminates Holdings Ltd		78,949
344,000	Kunlun Energy Co Ltd		291,334
15,489	Lao Feng Xiang Co Ltd – Class A		105,522
150,000	Lenovo Group Ltd		99,050
492,384	Livzon Pharmaceutical Group Inc – Class H		1,446,479
230,400	Logan Property Holdings Co Ltd		337,849
94,500	Longfor Group Holdings Ltd		386,822
1,852,000	Lonking Holdings Ltd		527,513
181,500	Meitu Inc *		33,385

Shares	Description	Value ($)
	China — continued
42,500	Metallurgical Corp of China Ltd – Class A		16,213
96,100	Midea Group Co Ltd – Class A		743,012
284,000	MMG Ltd *		62,017
1,300	NetEase Inc ADR (a)		409,916
27,800	New China Life Insurance Co Ltd – Class H		107,056
59,899	Oriental Pearl Group Co Ltd – Class A		75,190
800,000	PICC Property & Casualty Co Ltd – Class H		925,671
200,400	Ping An Insurance Group Co of China Ltd – Class A		2,385,799
43,000	Ping An Insurance Group Co of China Ltd – Class H		488,278
97,000	Poly Property Group Co Ltd		34,707
11,315,000	Postal Savings Bank of China Co Ltd – Class H		7,341,776
331,000	Powerlong Real Estate Holdings Ltd		192,811
29,000	Q Technology Group Co Ltd *		42,967
15,070	Qingdao Port International Co Ltd – Class A		13,963
102,000	Qingling Motors Co Ltd – Class H		24,492
175,000	Road King Infrastructure Ltd		318,417
106,000	Seazen Group Ltd *		112,938
54,163	Shaanxi Coal Industry Co Ltd – Class A		65,368
124,600	Shanghai Construction Group Co Ltd – Class A		61,726
316,000	Shanghai Jin Jiang Capital Co Ltd – Class H		56,537
53,280	Shanghai Lujiazui Finance & Trade Zone Development Co Ltd – Class A		100,524
39,600	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		85,545
2,881,700	Shanghai Pharmaceuticals Holding Co Ltd – Class H		5,168,204
27,400	Shanxi Lu’an Environmental Energy Development Co Ltd – Class A		26,983
67,684	Shenzhen Expressway Co Ltd – Class A		104,029
10,000	Shenzhen Expressway Co Ltd – Class H		13,337
190,858	Shenzhen Investment Ltd		75,093
6,100	Shenzhou International Group Holdings Ltd		80,413
4,125,500	Shimao Property Holdings Ltd		14,947,477
1,079,000	Sihuan Pharmaceutical Holdings Group Ltd		122,643
80,200	Sinoma International Engineering Co – Class A		70,992
104,500	Sinopec Engineering Group Co Ltd – Class H		61,219
191,173	Sinopec Shanghai Petrochemical Co Ltd – Class A		106,388
6,802,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		1,885,087
663,500	Sinotruk Hong Kong Ltd		1,120,383
7,600	Sogou Inc *		37,316
282,721	Suning Universal Co Ltd – Class A		146,552
91,098	Suzhou Gold Mantis Construction Decoration Co Ltd – Class A		104,474
60,800	Tencent Holdings Ltd		2,565,464
5,000	Tencent Holdings Ltd ADR		210,750
245,000	Texhong Textile Group Ltd		254,462
646,000	Tianjin Port Development Holdings Ltd		61,875
2,342,000	Tianneng Power International Ltd		1,540,636
388,000	Times China Holdings Ltd		730,412
149,231	Times Neighborhood Holdings Ltd *		37,669
37,000	Tong Ren Tang Technologies Co Ltd – Class H		31,900

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	China — continued
10,700	Wangfujing Group Co. Ltd – Class A		19,754
23,000	Want Want China Holdings Ltd		19,801
72,499	Weichai Power Co Ltd – Class A		136,117
2,544,000	Weichai Power Co Ltd – Class H		4,347,461
223,887	Weifu High-Technology Group Co Ltd – Class A		592,701
523,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		374,685
58,000	Xtep International Holdings Ltd		29,856
32,400	YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H		170,301
86,220	Youngor Group Co Ltd – Class A		82,222
274,000	Yuexiu Property Co Ltd		58,488
30,000	Yuexiu Transport Infrastructure Ltd		26,213
5,000	Yum China Holdings Inc (a)		222,600
388,911	Yuzhou Properties Co Ltd		179,083
306,000	Zhejiang Expressway Co Ltd – Class H		267,670
38,689	Zhejiang Runtu Co Ltd – Class A		60,012
14,900	Zhejiang Semir Garment Co Ltd – Class A		19,900
900	Zhejiang Supor Co Ltd – Class A		9,200
180,064	Zhejiang Weixing New Building Materials Co Ltd – Class A		313,298
44,899	Zhengzhou Yutong Bus Co Ltd – Class A		89,663
30,000	Zhenro Properties Group Ltd		19,352
85,500	Zhongsheng Group Holdings Ltd		303,037
67,100	Zhuzhou Kibing Group Co Ltd – Class A		42,127
	Total China		203,985,246
	Colombia — 0.0%
14,098	Cementos Argos SA		24,852
	Czech Republic — 0.0%
47	Philip Morris CR AS		29,391
	Denmark — 0.0%
10,818	Matas A/S		79,921
366	Royal Unibrew A/S		32,944
25,422	Scandinavian Tobacco Group A/S		293,902
	Total Denmark		406,767
	Finland — 0.1%
3,573	Aktia Bank Oyj		34,525
64,465	Neste Oyj (c)		2,179,124
9,960	Tokmanni Group Corp		133,004
	Total Finland		2,346,653
	France — 2.2%
3,147	AKWEL		71,088
15,723	Alten SA		1,815,881
16,660	BNP Paribas SA		933,988
1,005	Bonduelle SCA		26,352
2,388	Christian Dior SE		1,262,927
7,312	Cie Generale des Etablissements Michelin SCA		876,872
27,352	CNP Assurances		540,068

Shares	Description	Value ($)
	France — continued
21,078	Coface SA		232,908
7,418	Dassault Systemes SE		1,168,577
18,644	Gaztransport Et Technigaz SA		1,647,073
867	Hermes International		649,632
3,802	Interparfums SA		156,287
905	Ipsen SA		102,215
15,854	IPSOS (c)		506,559
4,094	Kaufman & Broad SA		165,357
56,761	L’Oreal SA (c)		16,183,871
8,256	Lagardere SCA		180,359
32,810	Metropole Television SA		569,725
18,648	Neopost SA		393,944
314,460	Peugeot SA		7,588,148
6,283	Rothschild & Co		172,696
17,662	Safran SA		2,887,711
152,112	Sanofi		14,179,680
37,400	Sanofi ADR (c)		1,745,832
2,898	Schneider Electric SE		279,561
209,100	STMicroelectronics NV – NY Shares		5,095,767
76,016	Television Francaise 1		614,301
675	Vilmorin & Cie SA		37,191
	Total France		60,084,570
	Germany — 1.1%
3,858	adidas AG		1,202,916
40,779	Allianz SE (Registered)		9,753,059
1,083	Amadeus Fire AG		145,360
44,895	Bayer AG (Registered)		3,390,674
1,071	Bayerische Motoren Werke AG		86,372
34,813	Borussia Dortmund GmbH & Co KGaA		321,563
12,303	Carl Zeiss Meditec AG		1,503,363
58,338	CECONOMY AG *		280,163
3,324	Cewe Stiftung & Co KGaA		354,285
27,238	Deutsche Lufthansa AG (Registered)		516,561
31,970	Deutsche Pfandbriefbank AG (c)		480,807
129,801	Deutz AG		775,830
43,171	Dialog Semiconductor Plc *		2,194,844
2,330	DWS Group GmbH & Co KGaA		79,188
2,227	Eckert & Ziegler Strahlen- und Medizintechnik AG		475,223
3,649	Elmos Semiconductor AG		115,124
11,056	Hamburger Hafen und Logistik AG		298,362
902	Henkel AG & Co KGaA		87,137
16,237	METRO AG		261,653
20,585	Siemens Healthineers AG		998,261
9,637	Software AG (c)		324,869
5,758	Takkt AG		74,189
13,950	Talanx AG		664,636
20,842	Volkswagen AG		3,966,906
1,599	Wacker Neuson SE		28,427
654	Washtec AG		38,096
	Total Germany		28,417,868

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	Greece — 0.0%
12,055	FF Group * (d)		—
1,566	Motor Oil Hellas Corinth Refineries SA		36,635
	Total Greece		36,635
	Hong Kong — 0.3%
28,700	Budweiser Brewing Co APAC Ltd *		102,288
32,000	Cafe de Coral Holdings Ltd		80,177
466,400	Champion (REIT)		300,396
30,100	Dah Sing Banking Group Ltd		38,333
24,000	Dah Sing Financial Holdings Ltd		87,375
54,800	Luk Fook Holdings International Ltd		152,397
571,000	SJM Holdings Ltd		582,382
5,426,000	WH Group Ltd		5,571,881
123,500	Wheelock & Co Ltd		767,861
39,425	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		5,843
12,000	Xinyi Glass Holdings Ltd		14,101
	Total Hong Kong		7,703,034
	Hungary — 0.0%
733,294	Magyar Telekom Telecommunications Plc		1,061,334
	India — 1.1%
8,637	Asian Paints Ltd		205,305
358,735	Aurobindo Pharma Ltd		2,250,086
1,861	Bajaj Auto Ltd		82,414
364,498	Balrampur Chini Mills Ltd		777,672
3,532	Dr Reddy’s Laboratories Ltd		143,053
48,700	Dr Reddy’s Laboratories Ltd ADR (a)		1,983,064
23,632	Glenmark Pharmaceuticals Ltd		110,374
598,963	HCL Technologies Ltd		9,410,235
15,936	HDFC Bank Ltd		282,492
157,254	Hindustan Petroleum Corp Ltd		616,560
6,653	Hindustan Unilever Ltd		188,550
8,484	Housing Development Finance Corp Ltd		271,368
44,960	ICICI Bank Ltd		320,474
34,256	Indiabulls Housing Finance Ltd		137,849
1,054,937	Indian Oil Corp Ltd		1,923,010
170,935	ITC Ltd		585,708
108,659	Just Dial Ltd *		858,137
12,917	Kotak Mahindra Bank Ltd		289,260
57,429	Mphasis Ltd		705,196
400,540	PC Jeweller Ltd *		167,793
1,918,447	Power Finance Corp Ltd *		3,059,869
725,397	PTC India Ltd		564,401
2,443,816	REC Ltd		4,699,696
39,108	Sonata Software Ltd		169,424
10,508	Titan Co Ltd		169,437
24,400	Vedanta Ltd ADR		196,420
1,241,337	Vodafone Idea Ltd *		117,588

Shares	Description	Value ($)
	India — continued
125,475	Yes Bank Ltd		119,663
	Total India		30,405,098
	Indonesia — 0.0%
393,300	Indo Tambangraya Megah Tbk PT		284,908
1,112,400	Mitra Pinasthika Mustika Tbk PT		51,239
999,700	Panin Financial Tbk PT *		19,545
794,000	Ramayana Lestari Sentosa Tbk PT		57,153
367,500	Surya Citra Media Tbk PT		31,243
	Total Indonesia		444,088
	Ireland — 0.1%
45,900	CRH Plc Sponsored ADR		1,757,970
	Israel — 0.0%
5,581	AudioCodes Ltd		132,609
8,692	Discount Investment Corp Ltd (Registered)		14,454
2,045	Fox Wizel Ltd		80,013
1,340	Israel Corp Ltd (The) *		272,569
794,563	Oil Refineries Ltd		388,618
	Total Israel		888,263
	Italy — 1.1%
31,247	ACEA SPA		649,457
4,965	Assicurazioni Generali SPA		101,256
4,657	ASTM SPA		142,433
73,211	Banca Mediolanum SPA		742,179
93,324	Cofide SPA		52,768
4,091	El.En. SPA		149,886
48,170	Enav SPA		285,300
1,607,602	Enel SPA		12,150,381
140,979	EXOR NV		10,758,761
8,732	Fiera Milano SPA		49,427
49,400	Hera SPA		217,836
353,022	Iren SPA		1,094,324
6,421	La Doria SPA		65,145
48,555	Leonardo SPA		566,915
7,006	MARR SPA		161,346
254,720	Saras SPA		448,293
63,704	Societa Cattolica di Assicurazioni SC		512,151
3,642	Unieuro SPA		54,620
160,414	Unipol Gruppo SPA		939,032
431,330	UnipolSai Assicurazioni SPA (a)		1,254,520
	Total Italy		30,396,030
	Japan — 4.3%
5,000	Amada Holdings Co Ltd		55,785
16,000	AOKI Holdings Inc (c)		165,828
681,600	Asahi Kasei Corp		7,663,185
5,800	Asahi Yukizai Corp		90,316
870,300	Astellas Pharma Inc (c)		14,858,423

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	Japan — continued
31,200	Bandai Namco Holdings Inc		1,892,481
190,200	Brother Industries Ltd		3,775,811
6,000	Cawachi Ltd		126,144
5,500	Central Glass Co Ltd		133,886
22,000	Daicel Corp		216,435
10,500	Daiwabo Holdings Co Ltd		519,511
26,000	DTS Corp		556,909
8,200	Ehime Bank Ltd (The)		91,175
15,300	Elecom Co Ltd		577,675
48,800	Fancl Corp		1,304,081
46,500	Fuji Electric Co Ltd		1,432,348
2,500	Fuji Media Holdings Inc		33,851
1,800	Fujicco Co Ltd		32,675
46,400	FUJIFILM Holdings Corp (c)		2,194,039
11,200	Fujitsu Ltd		1,019,127
8,700	Furuno Electric Co Ltd		99,901
2,200	G-7 Holdings Inc		87,610
44,400	Hakuhodo DY Holdings Inc		718,395
5,060	Hanwa Co Ltd (c)		129,143
2,600	Heiwado Co Ltd		49,475
317,800	Hitachi Ltd		12,516,243
307,700	Honda Motor Co Ltd		8,649,300
500	Hosokawa Micron Corp		20,411
20,000	House Foods Group Inc		693,897
5,400	Infocom Corp		121,227
300,500	ITOCHU Corp		6,561,204
5,400	Itochu Enex Co Ltd		44,139
19,100	Itochu Techno-Solutions Corp		510,491
7,900	Jeol Ltd		218,714
25,100	Kajima Corp		331,282
58,700	Kanematsu Corp		750,649
135,200	KDDI Corp		3,884,412
13,500	Keihin Corp		317,728
380,274	Konica Minolta Inc		2,493,997
48,200	MCJ Co Ltd		352,603
961,900	Mitsubishi Chemical Holdings Corp		7,138,469
41,500	Mitsubishi Electric Corp (c)		573,703
11,600	Mitsubishi Gas Chemical Co Inc		181,561
6,000	Mitsui Sugar Co Ltd		126,921
18,400	NEC Corp		736,212
9,700	Nichias Corp		232,290
10,700	Nichiha Corp		270,415
12,300	Nippo Corp		252,207
4,500	Nippon Flour Mills Co Ltd		69,923
3,200	Nippon Soda Co Ltd		85,539
289,200	Nippon Telegraph & Telephone Corp		14,610,113
3,900	Nissin Electric Co Ltd		40,949
2,600	NS Solutions Corp		90,099
58,300	Obayashi Corp		618,300
7,300	Osaki Electric Co Ltd		49,608
9,900	Prima Meat Packers Ltd		229,652
1,900	Rion Co Ltd		51,617

Shares	Description	Value ($)
	Japan — continued
2,500	Rohto Pharmaceutical Co Ltd		78,682
6,600	Roland DG Corp		127,035
1,900	Ryobi Ltd		36,420
7,200	Seiko Holdings Corp		185,729
60,400	Sekisui Chemical Co Ltd (c)		1,052,490
10,800	Shimizu Corp		103,510
23,500	Shionogi & Co Ltd (c)		1,383,317
28,800	Showa Corp		600,335
1,207,300	Sojitz Corp		3,796,871
1,435,100	Sumitomo Chemical Co Ltd		6,480,064
28,200	T-Gaia Corp		674,622
5,800	Teijin Ltd		109,165
12,100	Tokyu Construction Co Ltd		86,180
2,700	Tomy Co Ltd		32,888
1,100	Toshiba TEC Corp		44,649
2,600	Tosoh Corp		38,746
3,300	Towa Pharmaceutical Co Ltd		84,907
6,400	TPR Co Ltd		121,705
32,100	TS Tech Co Ltd (c)		997,874
7,500	UKC Holdings Corp		136,711
9,900	Wacoal Holdings Corp		274,198
4,900	YAMABIKO Corp		50,560
2,200	Yamaya Corp		43,978
12,300	Yuasa Trading Co Ltd		388,679
	Total Japan		117,577,399
	Luxembourg — 0.0%
800	Ternium SA Sponsored ADR		17,248
	Malaysia — 0.1%
78,900	Alliance Bank Malaysia Berhad		51,003
4,600	AMMB Holdings Berhad		4,395
77,400	Bermaz Auto Berhad		39,121
1,577,400	DRB-Hicom Berhad		872,115
314,600	Magnum Berhad		205,673
139,100	MISC Berhad		271,539
176,600	Sime Darby Property Berhad		33,211
126,600	SP Setia Berhad		39,400
2,470,600	Supermax Corp Berhad		804,394
92,500	Syarikat Takaful Malaysia Keluarga Berhad		128,216
	Total Malaysia		2,449,067
	Mexico — 0.6%
10,400	Banco del Bajio SA		16,042
32,600	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		41,224
27,500	Corp Inmobiliaria Vesta SAB de CV		45,790
51,800	El Puerto de Liverpool SAB de CV – Class C1		254,071
521,500	Fibra Uno Administracion SA de CV (REIT)		796,138
202,100	Gentera SAB de CV		193,091
15,400	Grupo Aeroportuario del Centro Norte SAB de CV		102,286

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	Mexico — continued
600	Grupo Aeroportuario del Centro Norte SAB de CV ADR		31,926
10,700	Grupo Aeroportuario del Pacifico SAB de CV – Class B		108,659
900	Grupo Aeroportuario del Sureste SAB de CV ADR		154,314
50,000	Grupo Financiero Banorte SAB de CV – Class O		262,281
26,800	Grupo Financiero Inbursa SAB de CV – Class O		31,863
127,942	Grupo Herdez SAB de CV		247,092
210,800	Nemak SAB de CV		88,100
4,120	Promotora y Operadora de Infraestructura SAB de CV		39,208
18,200	Qualitas Controladora SAB de CV		77,198
4,600	Regional SAB de CV		25,030
12,000	Unifin Financiera SAB de CV SOFOM ENR		18,246
4,518,538	Wal-Mart de Mexico SAB de CV		12,577,338
	Total Mexico		15,109,897
	Netherlands — 1.4%
21,792	ABN AMRO Group NV CVA		371,407
1,803	Adyen NV *		1,382,647
61,836	ASR Nederland NV		2,298,372
37,888	Heineken Holding NV		3,630,957
620,928	ING Groep NV		7,140,545
520	Intertrust NV		9,768
264,783	Koninklijke Ahold Delhaize NV		6,819,867
52,701	Koninklijke Philips NV		2,446,903
8,737	Randstad NV		508,660
146,119	Signify NV (c)		4,358,675
134,443	Wolters Kluwer NV		9,656,021
	Total Netherlands		38,623,822
	New Zealand — 0.1%
573,546	Air New Zealand Ltd		1,042,555
16,081	Synlait Milk Ltd *		96,387
	Total New Zealand		1,138,942
	Norway — 0.4%
108,436	Austevoll Seafood ASA		1,037,568
12,357	BW LPG Ltd		106,644
293,806	DNB ASA		4,928,868
54,070	Elkem ASA		124,904
25,174	Equinor ASA		464,085
4,296	Gjensidige Forsikring ASA		80,793
400	Grieg Seafood ASA		6,105
50,979	Kvaerner ASA		67,040
15,563	Leroy Seafood Group ASA		98,344
96,533	Orkla ASA		934,244
21,221	Salmar ASA		1,010,181
19,399	SpareBank 1 Nord Norge		151,855
81,076	SpareBank 1 SR-Bank ASA		853,963
	Total Norway		9,864,594

Shares	Description	Value ($)
	Pakistan — 0.0%
19,710	Engro Corp Ltd		42,898
97,000	Engro Fertilizers Ltd		43,093
33,850	Lucky Cement Ltd		91,643
44,200	Nishat Mills Ltd		28,466
246,400	Oil & Gas Development Co Ltd		208,988
17,070	Pakistan Oilfields Ltd		46,153
68,520	Pakistan Petroleum Ltd		52,948
21,100	Pakistan State Oil Co Ltd		24,906
21,500	Searle Co Ltd (The)		25,453
10,800	United Bank Ltd		11,408
	Total Pakistan		575,956
	Philippines — 0.0%
185,600	Alliance Global Group Inc		40,384
304,100	DMCI Holdings Inc		38,910
15,825	Globe Telecom Inc		604,078
10,340	Manila Electric Co		64,883
663,000	Megaworld Corp		57,804
95,250	Semirara Mining & Power Corp		40,864
	Total Philippines		846,923
	Poland — 0.5%
12,921	Alior Bank SA *		97,246
108,611	Asseco Poland SA		1,572,185
33,934	Bank Polska Kasa Opieki SA		907,429
2,441	Budimex SA		98,901
1,861	CCC SA		53,370
555	CD Projekt SA		37,206
3,910	Ciech SA *		35,918
30,863	Cyfrowy Polsat SA		219,680
1,626	Dino Polska SA *		56,055
161,572	Energa SA *		284,029
11,413	Grupa Lotos SA		267,428
34,133	Jastrzebska Spolka Weglowa SA		182,228
695	KRUK SA		26,802
13	LPP SA		28,893
1,456	Lubelski Wegiel Bogdanka SA		13,865
10,504	PGE Polska Grupa Energetyczna SA *		23,372
132,310	PLAY Communications SA		1,103,689
67,936	Polski Koncern Naftowy ORLEN SA		1,611,328
509,263	Polskie Gornictwo Naftowe i Gazownictwo SA		600,501
184,674	Powszechna Kasa Oszczednosci Bank Polski SA		1,703,133
302,892	Powszechny Zaklad Ubezpieczen SA		2,994,315
1,391	Santander Bank Polska SA		97,588
684	Stalprodukt SA		34,242
4,357	Warsaw Stock Exchange		43,187
	Total Poland		12,092,590
	Portugal — 0.6%
93,028	Altri SGPS SA		578,905
421,643	Banco Comercial Portugues SA – Class R		90,991

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	Portugal — continued
3,276	EDP Renovaveis SA		35,925
1,316,694	EDP – Energias de Portugal SA		5,327,293
527,827	Galp Energia SGPS SA		8,584,243
60,765	Jeronimo Martins SGPS SA		970,346
110,848	NOS SGPS SA		600,662
31,671	REN – Redes Energeticas Nacionais SGPS SA		96,688
2,970	Semapa-Sociedade de Investimento e Gestao		44,762
715,572	Sonae SGPS SA		718,273
	Total Portugal		17,048,088
	Qatar — 0.0%
165,390	Barwa Real Estate Co		154,841
80,410	Doha Bank QPSC		55,827
6,837	Industries Qatar QSC		18,962
10,360	Qatar Electricity & Water Co QSC		45,858
162,751	Qatar Gas Transport Co Ltd		113,076
14,512	Qatar International Islamic Bank QSC		36,504
88,136	Qatar National Bank QPSC		465,692
32,000	Qatar National Cement Co QSC		50,408
	Total Qatar		941,168
	Russia — 2.3%
949,170	Alrosa PJSC		1,149,500
24,422,000	ENEL RUSSIA PJSC		346,957
32,390,000	Federal Grid Co Unified Energy System PJSC		98,310
241,460	Gazprom Neft PJSC		1,570,507
1,941	Gazprom Neft PJSC Sponsored ADR		64,309
2,346,905	Gazprom PJSC Sponsored ADR		18,638,667
18,080	Globaltrans Investment Plc Sponsored GDR (Registered)		151,108
51,290,000	Inter RAO UES PJSC		3,555,145
1,047	LSR Group PJSC		12,372
46,814	LUKOIL PJSC Sponsored ADR		4,466,152
22,990	M.Video PJSC *		176,171
2,511,200	Magnitogorsk Iron & Steel Works PJSC		1,521,918
14,100	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		110,422
82,912	MMC Norilsk Nickel PJSC ADR		2,175,979
349,810	Moscow Exchange MICEX-RTS PJSC		574,789
3,205	Novatek PJSC		63,150
8,346	Novatek PJSC Sponsered GDR (Registered)		1,653,732
61,350	Novolipetsk Steel PJSC		123,432
213,953	Novolipetsk Steel PJSC GDR		4,307,389
9,391	PhosAgro PJSC GDR (Registered)		115,762
1,269	Polyus PJSC GDR (Registered)		68,203
12,800	QIWI Plc Sponsored ADR		253,696
21,080	Raspadskaya OJSC		33,569
170,722	Rosneft Oil Co PJSC GDR (Registered)		1,159,644
62,719,000	ROSSETI PJSC		1,161,174
179,890	Rostelecom PJSC		225,201
3,772	Rostelecom PJSC Sponsored ADR		28,193
17,571,000	RusHydro PJSC		145,141

Shares	Description	Value ($)
	Russia — continued
5,210	Safmar Financial Investment		40,579
892,980	Sberbank of Russia PJSC Sponsored ADR		13,069,444
35,497	Severstal PJSC GDR (Registered)		498,529
682,400	Surgutneftegas PJSC		467,723
8,454	Surgutneftegas PJSC Sponsored ADR		57,279
37,760	Tatneft PJSC		434,598
36,802	Tatneft PJSC Sponsored ADR		2,538,856
9,430	TCS Group Holding Plc GDR (Registered)		173,261
793,000	Unipro PJSC		33,435
163,443	VTB Bank PJSC GDR (Registered)		225,502
2,409	X5 Retail Group NV GDR (Registered)		79,883
	Total Russia		61,569,681
	Singapore — 0.7%
94,000	Accordia Golf Trust		48,099
73,400	CapitaLand Commercial Trust (REIT)		107,821
557,300	CapitaLand Ltd		1,499,878
100,100	CapitaLand Mall Trust (REIT)		184,358
116,400	China Sunsine Chemical Holdings Ltd		43,374
659,000	ComfortDelGro Corp Ltd		1,133,105
361,200	DBS Group Holdings Ltd		6,665,935
41,100	Frasers Centrepoint Trust (REIT)		82,935
373,900	Frasers Logistics & Industrial Trust (REIT)		339,126
284,400	Japfa Ltd		121,700
10,000	Jardine Cycle & Carriage Ltd		224,313
115,300	Lendlease Global Commercial (REIT) *		78,828
50,268	Mapletree Commercial Trust (REIT)		86,731
650,300	Mapletree Greater China Commercial Trust (REIT)		561,046
64,700	Mapletree Industrial Trust (REIT)		118,721
272,000	Mapletree Logistics Trust (REIT)		336,056
29,000	Parkway Life Real Estate Investment Trust (REIT)		68,934
250,400	Singapore Exchange Ltd		1,619,973
224,900	Singapore Technologies Engineering Ltd		679,402
36,000	United Overseas Bank Ltd		679,358
104,700	Venture Corp Ltd		1,214,149
3,549,399	Yangzijiang Shipbuilding Holdings Ltd		2,672,579
336,300	Yanlord Land Group Ltd		287,617
	Total Singapore		18,854,038
	South Africa — 1.2%
1,018,408	Absa Group Ltd		10,227,309
5,264	Anglo American Platinum Ltd		435,638
63,248	Astral Foods Ltd		860,599
111,551	Barloworld Ltd		863,446
1,088,248	Blue Label Telecoms Ltd *		241,753
6,227	Capitec Bank Holdings Ltd		602,063
11,889	Coronation Fund Managers Ltd		34,193
13,440	Discovery Ltd		108,209
70,955	Emira Property Fund Ltd (REIT)		63,788
18,160	Foschini Group Ltd (The)		192,588
373,425	Growthpoint Properties Ltd (REIT)		581,421
14,493	Hyprop Investments Ltd (REIT)		58,386

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	South Africa — continued
8,845	Investec Ltd		50,718
199,158	Kumba Iron Ore Ltd		5,110,523
13,918	Lewis Group Ltd		32,072
320,878	Liberty Holdings Ltd		2,441,548
1,434,339	Merafe Resources Ltd		92,868
33,464	Metair Investments Ltd		53,909
15,764	Momentum Metropolitan Holdings		21,846
192,459	Motus Holdings Ltd		929,002
60,406	Mr Price Group Ltd		721,273
4,212	MultiChoice Group Ltd *		34,807
373,979	Murray & Roberts Holdings Ltd		259,784
76,180	Nedbank Group Ltd		1,137,981
4,247	NEPI Rockcastle Plc		35,970
80,801	Netcare Ltd		110,187
361,955	Old Mutual Ltd		458,013
78,980	Pepkor Holdings Ltd		95,138
19,313	Rand Merchant Investment Holdings Ltd		39,784
99,539	Raubex Group Ltd		152,827
241,215	Redefine Properties Ltd (REIT)		135,246
243,187	Reunert Ltd		1,142,754
67,727	RMB Holdings Ltd		372,928
90,972	Sanlam Ltd		473,526
1,864	Santam Ltd		36,839
41,323	Sappi Ltd		112,336
2,064	Standard Bank Group Ltd		23,303
939,205	Telkom SA SOC Ltd		3,003,220
173,002	Truworths International Ltd		601,194
90,743	Tsogo Sun Gaming Ltd		76,347
33,277	Wilson Bayly Holmes-Ovcon Ltd		319,280
10,809	Woolworths Holdings Ltd		38,417
	Total South Africa		32,383,033
	South Korea — 2.4%
27,827	Aekyung Petrochemical Co Ltd		184,578
22,583	Aju Capital Co Ltd		220,239
2,633	Celltrion Pharm Inc *		79,199
6,075	DB Insurance Co Ltd		287,133
21,573	Dongwha Pharm Co Ltd		149,730
24,043	Dongwon Development Co Ltd		82,583
1,937	GOLFZON Co Ltd		121,992
5,443	GS Home Shopping Inc		689,812
354,792	Hana Financial Group Inc		10,757,440
2,492	Hankook Technology Group Co Ltd		30,337
2,875	Hanmi Science Co Ltd		94,983
6,813	Hansae Yes24 Holdings Co Ltd		42,445
11,932	Huons Co Ltd		539,312
10,879	Hyundai Home Shopping Network Corp		784,759
5,321	Hyundai Hy Communications & Network Co Ltd		16,313
475	Hyundai Marine & Fire Insurance Co Ltd		11,288
30,672	Hyundai Motor Co		3,147,384
4,270	Il Dong Pharmaceutical Co Ltd		59,583
559,691	Industrial Bank of Korea		5,571,699

Shares	Description	Value ($)
	South Korea — continued
7,828	JB Financial Group Co Ltd		35,819
10,230	KB Financial Group Inc		399,699
200	KB Financial Group Inc ADR		7,802
400,127	Kia Motors Corp		14,665,634
11,280	Korea Asset In Trust Co Ltd		33,888
25,988	Korea Autoglass Corp		351,281
7,637	KT Hitel Co Ltd *		37,305
5,621	KT Skylife Co Ltd		42,406
3,224	Kyobo Securities Co Ltd		25,605
42,469	LF Corp		644,137
21,261	LG Electronics Inc		1,260,153
22,873	Mirae Asset Life Insurance Co Ltd		82,378
28,512	Samjin Pharmaceutical Co Ltd		601,271
37,102	Samsung Electronics Co Ltd		1,586,068
6,418	Sebang Global Battery Co Ltd		203,713
305,923	Shinhan Financial Group Co Ltd		11,300,315
7,839	SillaJen Inc *		96,543
1,733	SK Holdings Co Ltd		378,665
33,373	SK Hynix Inc		2,296,587
227,000	SK Telecom Co Ltd Sponsored ADR		5,202,840
16,122	SL Corp		256,790
164,775	Woori Financial Group Inc		1,635,434
	Total South Korea		64,015,142
	Spain — 1.6%
44,963	ACS Actividades de Construccion y Servicios SA		1,747,846
63,798	Aena SME SA (c)		11,706,518
12,870	Almirall SA		218,739
37,817	Cia de Distribucion Integral Logista Holdings SA		853,385
297,117	Endesa SA		8,077,051
966,228	Iberdrola SA		9,505,493
1,435,878	International Consolidated Airlines Group SA		10,261,060
135,439	Mapfre SA		381,734
13,831	Mediaset Espana Comunicacion SA		90,269
	Total Spain		42,842,095
	Sweden — 0.8%
5,433	Atlas Copco AB – A Shares		199,078
1,673	Atlas Copco AB – B Shares		54,088
83,599	Betsson AB *		384,545
4,831	Bravida Holding AB		42,401
11,765	Bufab AB		155,534
13,367	Epiroc AB – Class A		156,054
26,315	Epiroc AB – Class B		295,813
26,188	Essity AB – Class B		823,131
5,973	Instalco Intressenter AB		81,458
55,198	Klovern AB – B Shares		107,556
4,438	KNOW IT AB		89,999
26,056	Nobina AB		176,720
42,407	Peab AB – Class B		363,342
71,479	Resurs Holding AB		411,646
91,448	Sandvik AB		1,663,021

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	Sweden — continued
3,392	SkiStar AB		43,567
50,668	Svenska Cellulosa AB SCA – Class B (a)		504,228
43,776	Swedish Match AB		2,096,838
24,788	Volvo AB – A Shares		382,833
859,731	Volvo AB – B Shares		13,291,408
	Total Sweden		21,323,260
	Switzerland — 0.9%
3,840	ALSO Holding AG (Registered) *		608,724
92	Bell Food Group AG (Registered) *		25,121
7,052	BKW AG		495,944
2,877	Bobst Group SA (Registered)		159,505
467	Coltene Holding AG (Registered) *		40,529
1,080	Feintool International Holding AG (Registered) *		62,324
30	Gurit Holding AG		39,733
5,637	Huber + Suhner AG (Registered)		384,974
158	Inficon Holding AG (Registered)		114,518
66	Interroll Holding AG (Registered)		142,251
2,761	Kardex AG (Registered)		449,971
739	Komax Holding AG (Registered) (a)		160,779
1,932	Liechtensteinische Landesbank AG		123,160
16,123	Mobilezone Holding AG (Registered) *		169,993
13,917	Nestle SA (Registered)		1,445,207
24,490	Novartis AG (Registered)		2,257,632
2,116	Orior AG *		189,451
12,593	Roche Holding AG		3,838,738
47,601	Roche Holding AG – Genusschein		14,675,045
14	Schweizerische Nationalbank (Registered)		72,760
	Total Switzerland		25,456,359
	Taiwan — 3.1%
281,000	AcBel Polytech Inc		217,399
37,471	Actron Technology Corp		113,060
8,000	Advantech Co Ltd		78,529
21,000	Amazing Microelectronic Corp		62,331
1,735	Arcadyan Technology Corp		5,438
275,000	Asustek Computer Inc		2,076,674
13,000	Aten International Co Ltd		37,116
8,400	Aurora Corp		25,377
263,000	Catcher Technology Co Ltd		2,150,439
131,399	Cathay Financial Holding Co Ltd		179,559
148,606	Chailease Holding Co Ltd		664,096
598,000	Chicony Electronics Co Ltd		1,734,739
976,000	China Development Financial Holding Corp		310,542
122,400	China Motor Corp		157,431
20,000	Chong Hong Construction Co Ltd		53,705
7,000	Cleanaway Co Ltd		35,795
86,000	Compal Electronics Inc		52,990
1,608,000	Coretronic Corp		2,104,098
1,308,000	CTBC Financial Holding Co Ltd		936,544
18,000	CTCI Corp		22,213
96,000	Cyberlink Corp		341,420

Shares	Description	Value ($)
	Taiwan — continued
12,000	Elite Advanced Laser Corp		20,604
41,000	Elite Material Co Ltd		163,951
67,000	Far Eastern Department Stores Ltd		57,752
97,000	Farglory Land Development Co Ltd		121,646
515,500	Feng TAY Enterprise Co Ltd		3,226,721
121,000	FLEXium Interconnect Inc		447,854
56,000	Formosa Advanced Technologies Co Ltd		63,141
62,000	Formosa Chemicals & Fibre Corp		177,385
88,000	Formosa Petrochemical Corp		276,948
92,000	Formosa Plastics Corp		293,105
735,000	Formosa Taffeta Co Ltd		819,035
415,000	Foxconn Technology Co Ltd		905,891
68,000	Fubon Financial Holding Co Ltd		99,829
10,000	Fusheng Precision Co Ltd		58,497
17,000	Getac Technology Corp		26,160
1,157,000	Gigabyte Technology Co Ltd		1,906,787
61,000	Global Mixed Mode Technology Inc		234,851
28,000	Globalwafers Co Ltd		303,383
2,667,000	Grand Pacific Petrochemical *		1,590,319
1,398,370	Great Wall Enterprise Co Ltd		1,814,964
166,000	Highwealth Construction Corp		253,157
17,000	Hiroca Holdings Ltd		36,108
70,000	Holiday Entertainment Co Ltd		159,268
692,000	Holtek Semiconductor Inc		1,537,699
12,000	Holy Stone Enterprise Co Ltd		38,731
1,008,000	Hon Hai Precision Industry Co Ltd		2,922,834
56,000	Huaku Development Co Ltd		172,577
101,000	IBF Financial Holdings Co Ltd		36,247
44,820	IEI Integration Corp		77,866
10,080	Innodisk Corp		50,037
71,000	International Games System Co Ltd		861,409
885,000	Inventec Corp		662,819
35,000	Kindom Construction Corp		35,507
5,000	Kingpak Technology Inc		26,950
113,000	Kinpo Electronics		44,076
727,000	Lite-On Semiconductor Corp		921,695
166,000	Lite-On Technology Corp		263,325
25,300	Makalot Industrial Co Ltd		126,070
132,000	MediaTek Inc		1,823,662
53,202	Mercuries Life Insurance Co Ltd *		20,582
13,000	Merry Electronics Co Ltd		66,687
10,000	Mirle Automation Corp		12,982
2,024,266	Mitac Holdings Corp		1,881,293
966,000	Nan Ya Plastics Corp		2,263,407
34,000	Nantex Industry Co Ltd		33,313
578,000	Nanya Technology Corp		1,349,589
24,000	Nichidenbo Corp		40,574
6,000	Nien Made Enterprise Co Ltd		55,033
975,000	Novatek Microelectronics Corp		7,142,892
100,743	Nuvoton Technology Corp		159,528
16,000	On-Bright Electronics Inc		94,849
56,800	OptoTech Corp		47,479

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	Taiwan — continued
371,000	Phison Electronics Corp		3,457,110
4,700,000	Pou Chen Corp		6,121,428
1,059,000	Qisda Corp		767,098
167,000	Quanta Computer Inc		330,053
2,014,000	Radiant Opto-Electronics Corp		7,723,486
57,000	Realtek Semiconductor Corp		430,482
66,600	Ruentex Development Co Ltd *		99,498
201,000	Ruentex Industries Ltd		498,511
76,000	Sampo Corp		50,328
26,000	Sercomm Corp		64,503
15,000	Shin Zu Shing Co Ltd		61,454
80,000	Shinkong Insurance Co Ltd		102,781
48,502	Sigurd Microelectronics Corp		55,476
44,800	Simplo Technology Co Ltd		447,591
14,000	Sinbon Electronics Co Ltd		53,710
31,050	Sinmag Equipment Corp		108,345
23,000	Sitronix Technology Corp		127,431
85,000	Soft-World International Corp		220,295
47,000	Standard Chemical & Pharmaceutical Co Ltd		53,000
956,000	Sunplus Technology Co Ltd *		404,324
27,000	Supreme Electronics Co Ltd		26,237
109,500	Syncmold Enterprise Corp		313,373
23,000	Taiflex Scientific Co Ltd		33,803
20,000	TaiMed Biologics Inc *		89,478
654,000	Taiwan PCB Techvest Co Ltd		784,398
79,000	Taiwan Sakura Corp		122,279
318,000	Taiwan Semiconductor Manufacturing Co Ltd		3,198,653
38,500	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		2,043,965
465,000	Taiwan Surface Mounting Technology Corp		1,690,884
29,000	Teco Electric and Machinery Co Ltd		25,755
16,000	Test Research Inc		26,845
13,000	Tong Hsing Electronic Industries Ltd		54,085
208,929	TOPBI International Holdings Ltd		594,578
182,485	Topco Scientific Co Ltd		594,964
103,000	Topkey Corp		423,449
29,000	Transcend Information Inc		67,961
128,000	Tripod Technology Corp		530,923
22,000	TXC Corp		29,515
929,000	Uni-President Enterprises Corp		2,206,850
53,600	United Integrated Services Co Ltd		308,458
29,000	Wah Lee Industrial Corp		53,791
935,000	Walsin Lihwa Corp		435,086
36,000	Walsin Technology Corp		200,525
78,000	Wistron Corp		70,808
4,000	Yageo Corp		43,263
40,000	YC INOX Co Ltd		34,091
3,420,000	Yuanta Financial Holding Co Ltd		2,213,874
7,600	Yulon Finance Corp		28,639
4,000	Yulon Nissan Motor Co Ltd		36,380
31,000	Zeng Hsing Industrial Co Ltd		136,141

Shares	Description	Value ($)
	Taiwan — continued
36,000	Zhen Ding Technology Holding Ltd		158,568
	Total Taiwan		84,941,086
	Thailand — 0.1%
614,000	AP Thailand Pcl NVDR		139,224
55,900	Com7 Pcl NVDR		51,825
263,000	Mega Lifesciences Pcl NVDR		265,844
167,600	Pruksa Holding Pcl NVDR		85,992
296,400	Quality Houses Pcl NVDR		26,294
149,700	Somboon Advance Technology Pcl NVDR		78,264
42,500	SPCG Pcl NVDR		27,423
74,250	Supalai Pcl (Foreign Registered)		42,789
150,975	Supalai Pcl NVDR		87,004
389,700	Thai Beverage Pcl		253,557
765,700	Thanachart Capital Pcl (Foreign Registered)		1,412,431
496,800	Thanachart Capital Pcl NVDR		916,411
	Total Thailand		3,387,058
	Turkey — 0.9%
868,363	Akbank TAS *		1,171,399
13,568	Aksa Akrilik Kimya Sanayii AS		28,459
742,978	Dogan Sirketler Grubu Holding AS		228,426
2,204,744	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		558,834
583,502	Enerjisa Enerji AS		717,918
120,789	Enka Insaat ve Sanayi AS		120,976
488,570	Eregli Demir ve Celik Fabrikalari TAS		680,565
8,447	Ford Otomotiv Sanayi AS		93,635
197,415	Haci Omer Sabanci Holding AS		311,898
2,104,084	KOC Holding AS		7,318,220
9,704	Kordsa Teknik Tekstil AS		20,070
29,793	Koza Altin Isletmeleri AS *		380,075
7,827	Mavi Giyim Sanayi Ve Ticaret AS – Class B *		61,584
4,758	Otokar Otomotiv Ve Savunma Sanayi AS		123,648
112,494	Selcuk Ecza Deposu Ticaret ve Sanayi AS		108,113
634,659	Soda Sanayii AS		640,023
33,864	TAV Havalimanlari Holding AS		158,271
214,771	Tekfen Holding AS		705,217
151,492	Trakya Cam Sanayii AS		86,828
40,088	Tupras-Turkiye Petrol Rafineriler AS		862,806
2,619,924	Turkiye Garanti Bankasi AS *		4,593,396
182,346	Turkiye Halk Bankasi AS *		182,673
3,908,411	Turkiye Is Bankasi – Class C *		4,171,963
598,931	Turkiye Sinai Kalkinma Bankasi AS *		107,188
137,112	Turkiye Sise ve Cam Fabrikalari AS		118,823
842,697	Turkiye Vakiflar Bankasi TAO – Class D *		750,119
13,496	Vestel Beyaz Esya Sanayi ve Ticaret AS		40,490
1,091,586	Yapi ve Kredi Bankasi AS *		454,900
	Total Turkey		24,796,517

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	United Arab Emirates — 0.1%
13,417	Abu Dhabi Commercial Bank PJSC		27,525
83,756	Al Waha Capital PJSC		22,390
82,272	DAMAC Properties Dubai Co PJSC *		17,525
69,915	Dubai Islamic Bank PJSC		100,853
19,622	Emaar Development PJSC		19,239
1,901,883	Emaar Properties PJSC		2,137,398
342,641	RAK Properties PJSC *		39,220
	Total United Arab Emirates		2,364,150
	United Kingdom — 3.5%
625,410	3i Group Plc		8,657,930
54,079	Ashmore Group Plc		332,408
68,995	Ashtead Group Plc		2,094,614
3,937	AstraZeneca Plc		380,345
43,357	AVEVA Group Plc		2,553,925
704,298	Barratt Developments Plc		6,071,890
64,292	Bellway Plc		2,775,470
93,520	Berkeley Group Holdings Plc (The)		5,543,760
40,741	Bovis Homes Group Plc		645,384
141,778	BP Plc		883,065
170,550	British American Tobacco Plc		6,750,152
113,600	British American Tobacco Plc Sponsored ADR (a)		4,499,696
56,808	Britvic Plc		711,031
17,232	CMC Markets Plc		32,538
67,471	Coca-Cola HBC AG *		2,249,818
55,918	Computacenter Plc		1,091,663
9,283	Daily Mail & General Trust Plc		98,793
1,230	Dart Group Plc		23,590
7,700	Diageo Plc Sponsored ADR		1,258,488
85,723	Dunelm Group Plc		945,392
210,194	Electrocomponents Plc		1,776,144
13,850	EMIS Group Plc		190,381
260,887	Evraz Plc		1,249,356
526,939	Ferrexpo Plc		977,251
17,315	Galliford Try Plc		164,079
1,393	Games Workshop Group Plc		103,088
80,630	GlaxoSmithKline Plc		1,831,875
7,965	Go-Ahead Group Plc (The)		225,747
26,006	Greggs Plc		699,884
31,785	Halma Plc		864,755
118,994	IG Group Holdings Plc		1,039,029
74,602	Imperial Brands Plc		1,641,399
35,028	Inchcape Plc		294,921
55,634	Intermediate Capital Group Plc		1,099,878
264,692	JD Sports Fashion Plc		2,600,123
93,162	John Laing Group Plc		457,857
58,538	Jupiter Fund Management Plc		275,459
833,688	Legal & General Group Plc		3,025,431
39,635	Lloyds Banking Group Plc		31,246
21,385	Lookers Plc		14,900
51,181	Meggitt Plc		425,310

Shares	Description	Value ($)
	United Kingdom — continued
75,097	Mondi Plc (b)		1,625,793
32,387	Mondi Plc (b)		701,629
18,252	Moneysupermarket.com Group Plc		80,326
47,136	Morgan Advanced Materials Plc		174,647
1,701	Morgan Sindall Group Plc		31,482
63,151	National Express Group Plc		378,407
19,627	Next Plc		1,714,926
13,694	Numis Corp Plc		42,871
27,599	OneSavings Bank Plc		138,017
39,661	Pagegroup Plc		246,634
339,827	Persimmon Plc		11,237,461
36,381	Pets at Home Group Plc		118,225
111,483	Phoenix Group Holdings Plc		1,074,233
116,286	Plus500 Ltd		1,157,544
383,018	QinetiQ Group Plc		1,653,945
7,736	Royal Dutch Shell Plc – Class A		221,781
23,700	Royal Dutch Shell Plc – Class B Sponsored ADR		1,365,357
12,791	RPS Group Plc		27,377
28,600	Smith & Nephew Plc Sponsored ADR		1,280,708
25,606	Softcat Plc		372,713
11,410	Spectris Plc		413,195
219,218	Spirent Communications Plc		598,162
14,736	SSP Group Plc		128,292
34,983	Stock Spirits Group Plc		86,602
344,746	Tate & Lyle Plc		3,259,532
48,342	Vesuvius Plc		283,588
	Total United Kingdom		95,001,512
	United States — 6.2%
4,100	1-800-Flowers.com, Inc. – Class A * (a)		55,227
27,500	Abercrombie & Fitch Co. – Class A (a)		439,175
133,203	ACCO Brands Corp. (c)		1,218,807
39,700	Acushnet Holdings Corp.		1,193,779
54,900	ADTRAN, Inc.		504,531
16,300	AG Mortgage Investment Trust, Inc. (REIT)		253,791
400	Agilysys, Inc. *		10,132
600	Alamo Group, Inc. (a)		68,880
400	Allied Motion Technologies, Inc.		17,920
14,700	Alpha & Omega Semiconductor Ltd. *		174,783
800	American Vanguard Corp.		12,880
26,400	Apollo Investment Corp.		445,632
39,600	Archrock, Inc.		333,036
4,400	Ares Commercial Real Estate Corp. (REIT) (a)		68,816
2,400	Armstrong Flooring, Inc. *		9,624
618	Arrow Financial Corp.		22,162
9,000	Artisan Partners Asset Management, Inc. – Class A (a)		267,030
79	Ashford, Inc. *		1,861
61,400	Avaya Holdings Corp. *		784,078
10,700	Avid Technology, Inc. * (a)		84,209
4,600	Avista Corp. (a)		217,488
42,400	AVX Corp. (a)		862,840

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	United States — continued
8,000	Axcelis Technologies, Inc. *		171,520
2,800	BancFirst Corp.		165,452
6,000	BankFinancial Corp.		81,900
16,500	Banner Corp.		901,395
800	Bar Harbor Bankshares (a)		20,512
4,700	Bassett Furniture Industries, Inc.		71,534
817	BCB Bancorp, Inc.		11,062
1,800	Bel Fuse, Inc. – Class B		29,826
41,000	Benchmark Electronics, Inc.		1,413,270
62,200	Bloomin’ Brands, Inc.		1,495,910
15,300	Bonanza Creek Energy, Inc. *		267,138
50,700	Brady Corp. – Class A		2,889,900
11,000	Braemar Hotels & Resorts, Inc. (REIT)		107,910
27,300	Brightsphere Investment Group, Inc.		262,899
100	BRT Apartments Corp. (REIT)		1,836
63,200	Builders FirstSource, Inc. *		1,605,912
18,500	California Resources Corp. * (a)		120,990
9,200	Camden National Corp.		399,648
21,000	Carpenter Technology Corp. (a)		1,103,970
30,400	Cedar Realty Trust, Inc. (REIT)		81,168
7,900	Central Garden & Pet Co. *		208,402
2,100	Century Bancorp, Inc. – Class A		183,225
2,800	Citi Trends, Inc.		57,484
4,000	Civista Bancshares, Inc.		86,720
9,200	Clarus Corp. (a)		115,828
2,000	CNB Financial Corp.		63,320
19,500	CNO Financial Group, Inc. (a)		353,340
1,400	Collectors Universe, Inc. (a)		36,778
4,400	Community Trust Bancorp, Inc.		197,736
17,200	Computer Programs & Systems, Inc.		457,348
32,100	Comtech Telecommunications Corp.		1,213,059
1,590	Consolidated Water Co. Ltd. (a)		26,521
30,200	Core-Mark Holding Co., Inc.		813,890
114,900	CoreCivic, Inc. (REIT) (a)		1,740,735
95,300	CorePoint Lodging, Inc. (REIT)		963,483
3,715	CRA International, Inc.		190,468
20,800	CSG Systems International, Inc. (a)		1,189,552
3,000	CTS Corp. (a)		82,140
18,400	Curo Group Holdings Corp. *		250,424
33,200	Cushman & Wakefield Plc * (a)		643,748
57,000	Dana, Inc.		966,150
6,600	Deluxe Corp.		337,128
241,100	Denbury Resources, Inc. * (a)		237,845
44,400	Designer Brands, Inc. – Class A (a) (c)		732,600
50,600	DHI Group, Inc. * (a)		170,522
19,700	Digi International, Inc. *		351,448
25,700	Dime Community Bancshares, Inc. (a)		518,112
1,100	Donegal Group, Inc. – Class A		16,093
22,500	Donnelley Financial Solutions, Inc. * (a)		225,900
5,300	Dril-Quip, Inc. * (a)		223,978
14,700	DSP Group, Inc. *		208,299
10,200	Ducommun, Inc. *		498,576

Shares	Description	Value ($)
	United States — continued
4,566	Dynex Capital, Inc. (REIT)		77,120
3,000	El Paso Electric Co.		203,460
17,800	Ellington Financial, Inc.		322,358
7,200	Employers Holdings, Inc.		309,384
21,900	Ennis, Inc.		452,016
75,834	Enova International, Inc. * (c)		1,746,457
2,200	EnPro Industries, Inc.		146,058
1,800	Escalade, Inc.		20,430
1,900	ESSA Bancorp, Inc. (a)		32,737
46,200	Essent Group Ltd.		2,524,830
59,100	Ethan Allen Interiors, Inc.		1,056,708
12,700	Evolution Petroleum Corp.		66,167
5,600	Farmers National Banc Corp.		85,904
2,300	Federal Agricultural Mortgage Corp. – Class C		191,015
63,600	Federal Signal Corp.		2,094,984
39,100	Federated Investors, Inc. – Class B (a)		1,310,632
7,900	FedNat Holding Co.		117,789
4,800	Financial Institutions, Inc.		156,384
2,400	First Bancorp		93,840
5,900	First Community Bankshares, Inc.		179,891
18,300	First Defiance Financial Corp.		551,745
3,100	First Financial Corp.		137,082
1,800	First Financial Northwest, Inc.		26,514
73,500	Flagstar Bancorp, Inc. (a)		2,738,610
200	Flexsteel Industries, Inc.		3,676
7,000	Flushing Financial Corp.		148,400
2,600	FONAR Corp. *		51,662
138,700	Fulton Financial Corp. (a)		2,380,092
7,500	FutureFuel Corp.		84,150
17,000	G-III Apparel Group Ltd. * (a)		503,200
93,887	Gannett Co., Inc. (c)		597,122
27,500	Genie Energy Ltd. – Class B (a)		222,475
30,800	GEO Group, Inc. (REIT) (c)		426,888
9,000	Gorman-Rupp Co. (The)		333,090
4,500	Great Southern Bancorp, Inc.		274,635
15,900	Greif, Inc. – Class A		686,085
43,500	Griffon Corp. (a)		923,070
28,200	Group 1 Automotive, Inc. (c)		2,907,138
7,000	Hackett Group, Inc. (The)		107,310
2,600	Hallmark Financial Services, Inc. *		49,582
39,100	Haverty Furniture Cos, Inc.		786,301
3,800	HealthStream, Inc. *		110,694
1,100	Heidrick & Struggles International, Inc.		34,122
54,930	Herman Miller, Inc. (c)		2,624,555
38,900	Hilltop Holdings, Inc.		958,107
500	Home Bancorp, Inc.		19,290
4,100	HomeTrust Bancshares, Inc.		107,133
1,600	Hurco Cos, Inc.		57,248
10,600	Hyster-Yale Materials Handling, Inc. (a)		627,838
8,400	IDT Corp. – Class B *		59,892
400	Independence Holding Co.		16,904
16,746	Independent Bank Corp.		374,273

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	United States — continued
12,200	Information Services Group, Inc. *		30,012
9,900	Ingles Markets, Inc. – Class A		439,956
4,100	Innophos Holdings, Inc.		130,790
22,005	Innospec, Inc. (c)		2,165,292
42,700	Insight Enterprises, Inc. *		2,800,693
21,700	Inter Parfums, Inc.		1,529,633
28,800	International Bancshares Corp. (c)		1,221,696
15,300	INTL. FCStone, Inc. *		612,000
115,100	Invesco Mortgage Capital, Inc. (REIT)		1,869,224
127,300	Investors Bancorp, Inc.		1,535,238
64,100	iStar, Inc. (REIT) (a)		832,659
12,100	Johnson Outdoors, Inc. – Class A		781,660
32,526	K12, Inc. * (c)		639,136
17,000	Kelly Services, Inc. – Class A		372,470
10,100	Kimball Electronics, Inc. *		177,154
23,400	Kimball International, Inc. – Class B		500,292
25,900	Knoll, Inc.		713,804
2,900	Koppers Holdings, Inc. *		107,445
5,600	Kraton Corp. * (a)		126,168
23,400	La-Z-Boy, Inc. (a)		739,440
12,000	Lantheus Holdings, Inc. *		250,800
240,900	Laredo Petroleum, Inc. * (a)		520,344
69,100	Laureate Education, Inc. – Class A *		1,198,885
3,000	LCNB Corp.		55,470
2,600	Leaf Group Ltd. *		9,620
55,700	Liberty TripAdvisor Holdings, Inc. – Class A *		386,001
3,700	M/I Homes, Inc. * (a)		163,799
7,300	Macatawa Bank Corp.		78,183
15,400	Marchex, Inc. – Class B *		61,908
13,400	Marcus Corp. (The) (c)		421,564
1,308	Marlin Business Services Corp. (a)		28,044
23,500	Materion Corp. (c)		1,383,210
15,977	Matrix Service Co. *		334,558
10,200	MDC Partners Inc – Class A * (a)		23,766
1,100	Mercantile Bank Corp.		38,775
11,400	Meridian Bancorp, Inc.		229,482
110,500	Meritor, Inc. * (a)		2,790,125
600	MidWestOne Financial Group, Inc.		20,400
5,000	Miller Industries, Inc.		183,250
23,400	Modine Manufacturing Co. *		173,628
2,700	Monarch Casino & Resort, Inc. *		123,120
30,200	Moog, Inc. – Class A		2,593,274
14,900	Movado Group, Inc. (a)		291,295
2,200	MTS Systems Corp.		99,924
17,000	Mueller Industries, Inc.		533,630
2,200	MutualFirst Financial, Inc.		87,230
600	NACCO Industries, Inc. – Class A		28,260
36,000	National CineMedia, Inc. (a)		241,560
29,900	National General Holdings Corp.		636,571
163,700	Newmark Group, Inc. – Class A (a)		2,136,285
10,500	NIC, Inc.		238,245

Shares	Description	Value ($)
	United States — continued
1,600	Nicolet Bankshares, Inc. *		115,936
1,742	Northrim BanCorp, Inc.		65,273
90,700	Northwest Bancshares, Inc. (a)		1,509,248
341,400	Office Depot, Inc.		761,322
2,400	Office Properties Income Trust (REIT) (a)		80,064
72,200	OFG Bancorp (a)		1,548,690
200	Oil-Dri Corp. of America		7,258
10,700	Olympic Steel, Inc.		179,332
5,574	Onto Innovation, Inc. * (a)		187,063
15,306	Oppenheimer Holdings, Inc. – Class A		436,374
500	Orrstown Financial Services, Inc.		10,960
6,900	Outfront Media, Inc. (REIT)		172,362
1,700	Park-Ohio Holdings Corp.		53,771
10,400	PC Connection, Inc.		512,928
106,100	PDL BioPharma, Inc. * (a)		328,910
600	Penns Woods Bancorp, Inc.		19,002
60,100	PennyMac Financial Services, Inc. (a)		2,062,031
125,000	PennyMac Mortgage Investment Trust (REIT) (a)		2,886,250
5,000	Peoples Bancorp, Inc.		163,550
33,500	Perspecta, Inc.		923,930
36,800	PNM Resources, Inc. (a)		1,782,960
17,200	PolyOne Corp. (a)		542,316
27,700	Popular, Inc. (c)		1,532,087
41,500	Portland General Electric Co.		2,303,665
400	Preformed Line Products Co.		28,760
2,900	Premier Financial Bancorp, Inc.		52,635
30,200	Prestige Consumer Healthcare, Inc. * (a)		1,140,654
14,100	Progress Software Corp.		592,341
3,500	Protagonist Therapeutics, Inc. * (a)		30,450
3,600	Protective Insurance Corp. – Class B		60,732
4,700	Provident Financial Services, Inc.		114,304
9,100	Quanex Building Products Corp.		177,086
35,400	Radian Group, Inc.		914,736
56,800	Rambus, Inc. * (c)		741,240
6,200	Regis Corp. * (a)		100,006
2,600	Republic Bancorp, Inc. – Class A		120,120
16,600	Resources Connection, Inc.		256,470
700	REX American Resources Corp. *		64,295
3,665	Riverview Bancorp, Inc.		26,498
6,400	Rocky Brands, Inc.		178,432
3,000	Rosetta Stone, Inc. * (a)		46,620
16,900	RTI Surgical Holdings, Inc. * (a)		31,265
7,000	Rush Enterprises, Inc. – Class A		320,740
5,100	Ryerson Holding Corp. *		54,366
12,100	Sandy Spring Bancorp, Inc.		427,856
88,400	Sanmina Corp. * (c)		2,812,004
2,400	ScanSource, Inc. *		85,008
4,400	Scholastic Corp.		163,372
26,200	Schweitzer-Mauduit International, Inc.		1,149,132
2,300	SEACOR Holdings, Inc. * (a)		97,382
3,700	Seneca Foods Corp. – Class A * (a)		144,670
28,400	Shoe Carnival, Inc.		1,008,200

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	United States — continued
8,500	Sierra Bancorp		227,800
6,500	Silgan Holdings, Inc. (a)		200,265
2,500	SilverBow Resources, Inc. *		21,800
48,700	Sonic Automotive, Inc. – Class A (c)		1,594,925
500	Southern Missouri Bancorp, Inc.		18,690
3,800	SP Plus Corp. *		166,630
17,800	SpartanNash Co.		252,048
41,200	Spok Holdings, Inc.		507,172
27,700	SPX Corp. *		1,323,506
2,700	Standard Motor Products, Inc.		135,999
4,000	Star Group LP		37,560
2,500	State Auto Financial Corp.		81,950
35,000	Steelcase, Inc. – Class A (c)		634,200
11,900	Stepan Co. (c)		1,153,110
17,000	Stoneridge, Inc. * (c)		512,380
93,800	Summit Hotel Properties, Inc. (REIT) (c)		1,136,856
216,900	Sunstone Hotel Investors, Inc. (REIT) (c)		3,036,600
24,500	Sykes Enterprises, Inc. *		860,930
6,000	Systemax, Inc. (a)		138,960
4,300	Talos Energy, Inc. * (a)		99,760
29,200	Tech Data Corp. * (a) (c)		4,230,788
199,336	TEGNA, Inc. (c)		3,059,808
14,600	Telenav, Inc. * (a)		83,512
64,200	Telephone & Data Systems, Inc. (c)		1,522,182
4,500	Territorial Bancorp, Inc.		142,605
700	Timberland Bancorp, Inc.		20,745
22,000	Timken Co. (The) (c)		1,156,980
22,700	Tredegar Corp.		488,731
19,700	Tribune Publishing Co.		246,644
15,500	TriCo Bancshares		599,075
23,400	TrustCo Bank Corp.		205,452
7,200	Trustmark Corp.		247,392
6,800	UMB Financial Corp.		457,436
60,200	Unisys Corp. *		685,076
5,200	United Community Financial Corp.		57,772
1,254	United Security Bancshares		13,092
2,800	Unitil Corp.		170,912
27,100	Universal Corp.		1,415,162
29,200	Universal Forest Products, Inc. (a)		1,448,320
2,800	Univest Financial Corp.		73,108
11,100	Varex Imaging Corp. *		332,334
18,500	Vectrus, Inc. *		942,390
44,500	Vera Bradley, Inc. * (a)		491,280
9,000	Veritiv Corp. *		165,060
3,200	Village Super Market, Inc. – Class A		90,496
5,153	Vishay Precision Group, Inc. *		177,315
131,000	W&T Offshore, Inc. * (a)		560,680
20,300	Walker & Dunlop, Inc.		1,332,492
68,200	Warrior Met Coal, Inc. (a)		1,400,146
30,800	Washington Federal, Inc.		1,133,748
16,500	Waterstone Financial, Inc.		311,355
9,900	Weis Markets, Inc.		394,317

Shares	Description	Value ($)
	United States — continued
2,100	West Bancorporation, Inc.		50,988
7,000	Westwood Holdings Group, Inc.		216,020
3,900	Weyco Group, Inc.		95,745
5,000	WideOpenWest, Inc. *		30,650
500	Willis Lease Finance Corp. *		30,000
71,300	World Fuel Services Corp. (a) (c)		3,023,120
116,504	Xenia Hotels & Resorts, Inc. (REIT)		2,453,574
29,300	Xperi Corp.		579,847
27,700	Zumiez, Inc. * (a)		818,258
	Total United States		166,634,704
	Vietnam — 0.0%
71,230	Kinh Bac City Development Share Holding Corp		47,129
76,970	PetroVietnam Power Corp *		42,495
4,240	Vinh Hoan Corp		13,921
	Total Vietnam		103,545
	TOTAL COMMON STOCKS (COST $1,306,903,243)		1,337,453,793
	PREFERRED STOCKS (e) — 1.0%
	Brazil — 0.2%
167,100	Banco do Estado do Rio Grande do Sul SA – Class B		794,511
90,000	Cia Paranaense de Energia – Class B		1,344,569
228,500	Telefonica Brasil SA		3,035,908
	Total Brazil		5,174,988
	Colombia — 0.0%
2,263	Banco Davivienda SA		28,311
59,576	Grupo Aval Acciones y Valores SA		23,969
3,474	Grupo de Inversiones Suramericana SA		26,808
	Total Colombia		79,088
	Germany — 0.0%
742	Draegerwerk AG & Co KGaA		45,449
8,178	Henkel AG & Co KGaA		863,197
3,684	Sixt SE		251,494
179	Volkswagen AG		34,535
	Total Germany		1,194,675
	Russia — 0.2%
8,371	Bashneft PJSC		224,310
722,020	Sberbank of Russia PJSC		2,382,832
4,797,000	Surgutneftegas PJSC		2,692,056
	Total Russia		5,299,198
	South Korea — 0.6%
4,439	Hyundai Motor Co (b)		305,817
3,054	Hyundai Motor Co (b)		186,701
38,442	LG Electronics Inc		908,878

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares / Par Value†	Description	Value ($)
	South Korea — continued
364,631	Samsung Electronics Co Ltd		12,642,104
1,517	Samsung Electronics Co Ltd GDR (Registered)		1,317,088
	Total South Korea		15,360,588
	Sweden — 0.0%
2,374	Akelius Residential Property AB		85,774
	Taiwan — 0.0%
14,463	CTBC Financial Holding Co Ltd (f)		31,096
	TOTAL PREFERRED STOCKS (COST $24,380,164)		27,225,407
	INVESTMENT FUNDS — 0.2%
	United States — 0.2%
90,862	iShares Core MSCI Emerging Markets ETF		4,649,408
	TOTAL INVESTMENT FUNDS (COST $4,687,409)		4,649,408
	DEBT OBLIGATIONS — 13.7%
	United States — 13.7%
	Asset-Backed Securities — 0.5%
51,633	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.75%, due 11/02/30		51,646
188,812	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.89%, due 07/24/29		189,001
120,853	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.89%, due 07/25/29		120,851
358,710	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.60%, due 04/15/31		358,531
162,750	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 04/20/31		162,748
108,500	Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.51%, due 05/15/30		108,499
177,616	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.50%, due 11/17/27		177,615
207,724	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.69%, due 07/26/31		207,722
108,903	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.12%, due 01/18/25		108,938

Shares / Par Value†	Description	Value ($)
	United States — continued
	Asset-Backed Securities — continued
311,311	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.04%, due 04/25/26		311,479
448,404	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.12%, due 07/20/25		448,562
173,600	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.60%, due 04/15/30		173,598
619,681	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.71%, due 10/25/37		617,402
276,626	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 2.56%, due 04/25/36		276,594
162,750	BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.52%, due 04/20/30		162,748
108,500	BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 04/20/31		108,499
114,115	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.60%, due 01/17/28		114,114
327,127	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.70%, due 07/15/31		327,124
165,224	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.55%, due 04/22/30		165,211
2,571,735	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		51,435
274,641	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 04/20/31		274,638
121,013	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.15%, due 01/16/26		121,097
570,667	Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.74%, due 10/25/31		570,626
314,433	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.50%, due 05/16/31		314,418
39,969	GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.29%, due 05/25/26		39,934
263,598	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 11/28/30		263,587
95,113	Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.60%, due 01/18/31		95,109

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†	Description	Value ($)
	United States — continued
	Asset-Backed Securities — continued
216,857	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.59%, due 01/27/31		216,847
92,768	Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.54%, due 02/05/31		92,767
214,830	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.55%, due 01/15/31		214,828
124,081	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.23%, due 05/25/29		123,680
551,780	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 2.25%, due 07/25/29		543,219
231,919	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.67%, due 04/20/31		231,916
340,746	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 04/20/31		340,742
220,118	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.92%, due 07/20/30		220,304
97,536	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.96%, due 02/25/30		96,720
288,316	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.43%, 2.14%, due 04/25/31		287,221
908,313	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 1.98%, due 06/25/37		898,304
477,400	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 04/19/30		477,381
309,795	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.65%, due 01/16/31		309,105
169,137	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.75%, due 10/12/30		168,770
259,578	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 1.94%, due 03/26/29		259,143
43,072	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.77%, due 07/19/30		43,074
129,805	Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.54%, due 01/25/31		129,804
54,350	OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 01/21/30		54,348
86,054	Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.60%, due 07/15/30		86,053

Par Value†	Description	Value ($)
	United States — continued
	Asset-Backed Securities — continued
234,666	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.08%, due 05/15/26		235,001
520,800	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.75%, due 04/17/28		520,793
462,627	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.75%, due 01/17/30		462,621
92,938	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.50%, due 11/20/30		92,938
351,850	TICP CLO I-2 Ltd., Series 18-IA, Class X,, 144A, Variable Rate,, 3 mo. LIBOR + 0.63%, 2.57%, due 04/26/28		351,857
372,749	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 2.96%, due 05/25/47		373,577
215,941	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		215,518
154,898	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.60%, due 10/15/30		154,896
103,075	Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.63%, due 04/18/31		103,074
	Total Asset-Backed Securities		13,226,227
	U.S. Government — 13.2%
6,638,477	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (g)		6,653,235
55,097,754	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (g)		56,508,032
54,731,910	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (g)		55,388,305
45,558,714	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (g)		46,642,967
79,454,929	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (c) (g)		89,128,781
4,863,652	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (g)		5,105,680
31,707,810	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (g)		33,640,755
53,957,654	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (g)		65,015,182
	Total U.S. Government		358,082,937
	Total United States		371,309,164
	TOTAL DEBT OBLIGATIONS (COST $362,003,397)		371,309,164

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	MUTUAL FUNDS — 28.9%
	United States — 28.9%
	Affiliated Issuers — 28.9%
3,484,712	GMO Emerging Country Debt Fund, Class IV		96,840,157
9,288,463	GMO Emerging Markets Fund, Class VI		307,355,242
6,375,141	GMO Opportunistic Income Fund, Class VI		171,427,527
3,811,927	GMO SGM Major Markets Fund, Class VI		119,427,672
4,325,152	GMO Special Opportunities Fund, Class VI		87,757,337
109,384	GMO U.S. Treasury Fund (h)		546,919
	TOTAL MUTUAL FUNDS (COST $728,617,594)		783,354,854
	SHORT-TERM INVESTMENTS — 9.2%
	Money Market Funds — 0.1%
2,284,657	State Street Institutional Treasury Money Market Fund-Premier Class, 1.58% (i)		2,284,657
	Repurchase Agreements — 9.1%
100,027,488	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/27/19, maturing on 12/02/19 with a maturity value of $100,048,604 and an effective yield of 1.52%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $101,888,068.		100,027,488
139,999,182	Nomura Securities International, Inc. Repurchase Agreement, dated 11/27/19, maturing on 12/02/19 with a maturity value of $140,029,127 and an effective yield of 1.54%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $142,586,976.		139,999,182
7,999,435	Nomura Securities International, Inc. Repurchase Agreement, dated 11/29/19, maturing on 12/02/19 with a maturity value of $8,000,501 and an effective yield of 1.60%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $8,161,285.		7,999,435
	TOTAL REPURCHASE AGREEMENTS (COST $248,026,105)		248,026,105
	TOTAL SHORT-TERM INVESTMENTS (COST $250,310,762)		250,310,762
	TOTAL INVESTMENTS — 102.3% (Cost $2,676,902,569)		2,774,303,388
	SECURITIES SOLD SHORT — (1.3)%
	Common Stocks — (1.3)%
	Austria — (0.1)%
(12,386)	ANDRITZ AG		(482,826	)
(13,980)	IMMOFINANZ AG		(378,089	)
(1,601)	Schoeller-Bleckmann Oilfield Equipment AG		(89,289	)
(35,613)	voestalpine AG		(942,379	)
	Total Austria		(1,892,583	)

Shares	Description	Value ($)
	Brazil — (0.1)%
(82,200)	Pagseguro Digital Ltd – Class A *		(2,789,868	)
(5,800)	StoneCo Ltd – Class A *		(237,684	)
	Total Brazil		(3,027,552	)
	Canada — (0.1)%
(16,600)	Agnico Eagle Mines Ltd		(989,360	)
(54,200)	AltaGas Ltd		(803,839	)
	Total Canada		(1,793,199	)
	Denmark — (0.1)%
(606)	AP Moller – Maersk A/S – Class A		(786,827	)
(1,319)	AP Moller – Maersk A/S – Class B		(1,843,482	)
(1,400)	Chr Hansen Holding A/S		(106,319	)
(2,124)	Demant A/S *		(64,991	)
(4,410)	DFDS A/S		(186,117	)
(1,453)	FLSmidth & Co A/S		(53,372	)
(20,034)	Jyske Bank A/S (Registered) *		(664,703	)
(13,281)	Sydbank A/S		(250,092	)
	Total Denmark		(3,955,903	)
	Finland — (0.0)%
(28,258)	Metsa Board Oyj		(185,563	)
(68,597)	Nokia Oyj		(242,726	)
(5,489)	Wartsila Oyj Abp		(55,253	)
	Total Finland		(483,542	)
	France — (0.1)%
(63,351)	ArcelorMittal SA		(1,081,820	)
(16,887)	Electricite de France SA		(173,456	)
	Total France		(1,255,276	)
	Germany — (0.2)%
(411,835)	Deutsche Bank AG (Registered)		(2,957,784	)
(20,800)	QIAGEN NV *		(890,240	)
(53,467)	Telefonica Deutschland Holding AG		(163,224	)
(10,064)	thyssenkrupp AG		(125,879	)
	Total Germany		(4,137,127	)
	Israel — (0.0)%
(11,400)	Tower Semiconductor Ltd *		(249,888	)
(2,900)	Wix.com Ltd *		(350,581	)
	Total Israel		(600,469	)
	Italy — (0.1)%
(336,466)	Saipem SPA *		(1,537,440	)
	Japan — (0.3)%
(1,800)	Coca-Cola Bottlers Japan Holdings Inc		(43,271	)
(2,500)	CyberAgent Inc		(86,388	)
(1,800)	FANUC Corp		(343,697	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares	Description	Value ($)
	Japan — continued
(5,000)	Hitachi Metals Ltd		(70,048	)
(4,300)	IHI Corp		(100,407	)
(35,800)	Japan Lifeline Co Ltd		(498,672	)
(71,600)	JGC Corp		(1,041,893	)
(2,400)	JINS Holdings Inc		(146,109	)
(41,200)	Kansai Paint Co Ltd		(1,039,331	)
(18,300)	Keikyu Corp		(376,783	)
(11,100)	Kobe Steel Ltd		(56,728	)
(17,900)	Kyushu Electric Power Co Inc		(157,642	)
(1,600)	Maruichi Steel Tube Ltd		(46,081	)
(75,200)	Mitsui OSK Lines Ltd		(1,973,291	)
(1,500)	Nihon M&A Center Inc		(50,022	)
(70,400)	Nippon Yusen KK		(1,209,146	)
(53,300)	Nomura Holdings Inc		(273,188	)
(205,600)	Orient Corp		(298,709	)
(4,000)	Sumitomo Metal Mining Co Ltd		(121,333	)
(2,100)	Tsuruha Holdings Inc		(250,660	)
(4,600)	Welcia Holdings Co Ltd		(282,382	)
(14,300)	Yamato Holdings Co Ltd		(244,824	)
	Total Japan		(8,710,605	)
	Luxembourg — (0.0)%
(6,300)	Intelsat SA *		(38,304	)
	Netherlands — (0.1)%
(2,852)	Arcadis NV		(58,009	)
(14,700)	InterXion Holding NV *		(1,250,088	)
	Total Netherlands		(1,308,097	)
	Norway — (0.0)%
(4,082)	Borr Drilling Ltd *		(26,510	)
(12,133)	Wallenius Wilhelmsen ASA		(27,603	)
	Total Norway		(54,113	)

Shares	Description	Value ($)
	Singapore — (0.0)%
(134,600)	Singapore Post Ltd		(91,037	)
	Spain — (0.0)%
(25,077)	Cellnex Telecom SA		(1,076,638	)
	Sweden — (0.0)%
(8,200)	Spotify Technology SA *		(1,168,910	)
	Switzerland — (0.0)%
(12,567)	Credit Suisse Group AG (Registered)		(164,509	)
(2,607)	Dufry AG (Registered)		(254,502	)
(2,021)	Swiss Prime Site AG (Registered)		(213,354	)
(1,373)	Vifor Pharma AG		(244,861	)
	Total Switzerland		(877,226	)
	United Kingdom — (0.1)%
(8,861)	Dechra Pharmaceuticals Plc		(324,709	)
(6,500)	Farfetch Ltd – Class A *		(64,740	)
(380,213)	G4S Plc		(1,027,763	)
(6,043)	GVC Holdings Plc		(66,538	)
(56,336)	Just Eat Plc *		(556,445	)
(58)	Mediclinic International Plc		(290	)
(221,089)	Melrose Industries Plc		(655,716	)
(10,944)	Weir Group Plc (The)		(197,200	)
	Total United Kingdom		(2,893,401	)
	TOTAL COMMON STOCKS (PROCEEDS $33,048,120)		(34,901,422	)
	TOTAL SECURITIES SOLD SHORT (PROCEEDS $33,048,120)		(34,901,422	)
	Other Assets and Liabilities (net) — (1.0%)		(28,212,587	)
	TOTAL NET ASSETS — 100.0%		$2,711,189,379

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
1,058	S&P 500 E-Mini	December 2019	$	166,301,730	$	(6,963,242	)

+ Buys – Fund is long the futures contract.

Sales – Fund is short the futures contract.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Reverse Repurchase Agreements

Average balance outstanding	$	(13,875,000	)
Average interest rate (net)		(2.59	)%
Maximum balance outstanding	$	(13,875,000	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements. The Fund had no reverse repurchase agreements at the end of the period.

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 (j)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	1,776,320		05/18/2020		Monthly		—		34,986			34,986
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	7,772,765		05/18/2020		Monthly		—		(27,881	)		(27,881	)
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	238,730		05/18/2020		Monthly		—		3,488			3,488
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	4,489,266		05/18/2020		Monthly		—		(13,514	)		(13,514	)
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 1.75%	MORD		USD	4,620,198		05/18/2020		Monthly		—		155,524			155,524
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	1,512,339		05/18/2020		Monthly		—		(85,873	)		(85,873	)
Depreciation of Total Return on MSCI China A Index + (1 Month USD LIBOR minus 3.50%)	Appreciation on Total Return on MSCI China A Index	GS		USD	2,648,337		08/15/2020		Monthly		—		(36,444	)		(36,444	)
Depreciation of Total Return on CSI 500 Net Total Return Index + (1 Month USD LIBOR minus 9.50%)	Appreciation on Total Return on CSI 500 Index	GS		USD	1,120,830		08/20/2020		Monthly		—		(10,435	)		(10,435	)
										$	—	$	19,851		$	19,851

As of November 30, 2019, 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.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

(c) 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.

(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.

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

(f) Investment valued using significant unobservable inputs.

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

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

(i) The rate disclosed is the 7 day net yield as of November 30, 2019.

(j) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

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

CLO - Collateralized Loan Obligation

CVA - Certificaaten van aandelen (Share Certificates)

ETF - Exchange-Traded Fund

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose financial

Company)

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

Counterparty Abbreviations:

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

USD - United States Dollar

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares/ Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	930,975	GMO Alpha Only Fund, Class IV		16,832,028
	7,488,450	GMO Alternative Allocation Fund, Class VI		152,015,536
	7,318,071	GMO Asset Allocation Bond Fund, Class VI		164,437,060
	11,014,139	GMO Core Plus Bond Fund, Class IV		250,351,389
	2,124,819	GMO Emerging Country Debt Fund, Class IV		59,048,715
	10,356,554	GMO Emerging Markets Fund, Class VI		342,698,369
	17,735,054	GMO International Equity Fund, Class IV		387,156,238
	1,272,894	GMO Opportunistic Income Fund, Class VI		34,228,124
	1,416,648	GMO Quality Fund, Class VI		36,436,178
	642,881	GMO Risk Premium Fund, Class VI		17,659,951
	9,814,563	GMO U.S. Equity Fund, Class VI		137,600,174
	5,015,385	GMO U.S. Small Cap Value Fund, Class VI		106,426,463
	1,562,578	GMO U.S. Treasury Fund		7,812,890
		TOTAL MUTUAL FUNDS (COST $1,641,032,237)		1,712,703,115
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	25,364	ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 1.99%, due 02/25/36		10,604
	15,087	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 2.21%, due 10/25/34		14,169
	15,552	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.95%, due 02/26/34		14,829
		TOTAL DEBT OBLIGATIONS (COST $37,569)		39,602
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	267,950	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (a)		267,950
		TOTAL SHORT-TERM INVESTMENTS (COST $267,950)		267,950
		TOTAL INVESTMENTS — 100.0% (Cost $1,641,337,756)		1,713,010,667
		Other Assets and Liabilities (net) — (0.0%)		(147,371	)
		TOTAL NET ASSETS — 100.0%		$1,712,863,296

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 November 30, 2019.

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

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.

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

LIBOR - London Interbank Offered Rate

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	227,353	GMO Emerging Markets Fund, Class VI		7,523,114
	1,745,597	GMO International Equity Fund, Class IV		38,106,382
	487,532	GMO Quality Fund, Class VI		12,539,314
	895,412	GMO U.S. Equity Fund, Class VI		12,553,682
	371,761	GMO U.S. Small Cap Value Fund, Class VI		7,888,763
		TOTAL MUTUAL FUNDS (COST $70,121,033)		78,611,255
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	81,552	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (a)		81,552
		TOTAL SHORT-TERM INVESTMENTS (COST $81,552)		81,552
		TOTAL INVESTMENTS — 100.1% (Cost $70,202,585)		78,692,807
		Other Assets and Liabilities (net) — (0.1%)		(57,945	)
		TOTAL NET ASSETS — 100.0%		$78,634,862

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2019.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	13,584,478	GMO Emerging Markets Fund, Class VI		449,510,382
	32,197,769	GMO International Equity Fund, Class IV		702,877,290
	9,068,057	GMO Quality Fund, Class VI		233,230,434
	9,050,528	GMO U.S. Equity Fund, Class VI		126,888,398
	7,968,051	GMO U.S. Small Cap Value Fund, Class VI		169,082,038
		TOTAL MUTUAL FUNDS (COST $1,622,334,358)		1,681,588,542
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	588,376	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (a)		588,376
		TOTAL SHORT-TERM INVESTMENTS (COST $588,376)		588,376
		TOTAL INVESTMENTS — 100.0% (Cost $1,622,922,734)		1,682,176,918
		Other Assets and Liabilities (net) — (0.0%)		(78,887	)
		TOTAL NET ASSETS — 100.0%		$1,682,098,031

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2019.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 70.1%
		Argentina — 0.1%
	131,900	Banco BBVA Argentina SA ADR		515,729
	61,400	Banco Macro SA ADR		1,587,190
	29,300	Grupo Financiero Galicia SA ADR		391,448
	76,200	Pampa Energia SA Sponsored ADR *		1,039,368
	85,500	Transportadora de Gas del Sur SA ADR – Class B		515,565
		Total Argentina		4,049,300
		Australia — 0.8%
	482,991	Accent Group Ltd		556,489
	200,546	Adairs Ltd		246,819
	116,735	Alliance Aviation Services Ltd		208,301
	41,992	Altium Ltd		1,019,301
	194,877	Appen Ltd		3,229,358
	121,663	Austal Ltd		345,960
	853,967	Australian Pharmaceutical Industries Ltd		758,321
	74,668	Aventus Group (REIT)		142,997
	858,563	Beach Energy Ltd		1,392,291
	1,190	BHP Billiton Ltd		30,684
	96,790	Bravura Solutions Ltd		324,336
	193,260	Brickworks Ltd		2,466,140
	146,694	Caltex Australia Ltd		3,429,844
	36,801	Charter Hall Education Trust (REIT)		86,155
	130,462	Charter Hall Group (REIT)		952,387
	151,042	Charter Hall Retail (REIT)		469,988
	112,691	Codan Ltd		501,457
	143,400	Cromwell Property Group (REIT)		118,854
	19,365	Downer EDI Ltd		109,911
	2,195,351	Fortescue Metals Group Ltd		14,457,135
	448,224	GDI Property Group (REIT)		468,374
	399,270	Genworth Mortgage Insurance Australia Ltd		991,318
	23,895	GWA Group Ltd		53,458
	13,411	IDP Education Ltd		164,760
	5,770	JB Hi-Fi Ltd (a)		146,258
	101,173	Macquarie Group Ltd		9,454,093
	427,885	Mount Gibson Iron Ltd		232,807
	626,449	New Hope Corp Ltd (a)		919,828
	92,704	OZ Minerals Ltd		661,421
	232,025	Rio Tinto Ltd		15,212,033
	328,545	Sandfire Resources NL		1,242,147
	666,977	Scentre Group (REIT)		1,775,467
	1,018,411	Southern Cross Media Group Ltd		661,303
	79,135	Super Retail Group Ltd		536,625
	208,052	Tassal Group Ltd		610,947
	25,343	Virtus Health Ltd		70,482
	750,451	Viva Energy (REIT)		1,414,417
		Total Australia		65,462,466

Shares		Description	Value ($)
		Austria — 0.0%
	20,243	FACC AG (a)		273,537
	6,580	OMV AG		374,795
	7,001	POLYTEC Holding AG (a)		71,138
	11,327	S IMMO AG		284,339
	33,699	Vienna Insurance Group AG Wiener Versicherung Gruppe		931,447
		Total Austria		1,935,256
		Belgium — 0.1%
	275,738	AGFA-Gevaert NV *		1,411,932
	6,834	Barco NV		1,576,516
	75,728	UCB SA		6,135,232
		Total Belgium		9,123,680
		Brazil — 1.9%
	1,127,700	Atacadao SA		5,010,283
	453,000	Banco do Brasil SA		5,115,603
	1,889,600	Banco Santander Brasil SA		19,682,868
	2,211,600	Cia de Saneamento Basico do Estado de Sao Paulo		29,984,609
	250,300	Cia de Saneamento Basico do Estado de Sao Paulo ADR		3,349,014
	58,800	Cia Paranaense de Energia		930,256
	578,900	Cia Siderurgica Nacional SA		1,717,406
	8,600	Construtora Tenda SA		48,406
	27,500	Hypera SA		216,300
	5,691,700	JBS SA		38,287,932
	129,000	M Dias Branco SA		1,007,941
	196,100	Mahle-Metal Leve SA		1,148,244
	1,360,700	MRV Engenharia e Participacoes SA		5,646,952
	4,394,500	Petrobras Distribuidora SA		29,520,179
	523,200	Tupy SA		2,434,523
	156,400	YDUQS Part		1,566,697
		Total Brazil		145,667,213
		Canada — 1.8%
	139,500	AGF Management Ltd – Class B		655,334
	97,100	Bird Construction Inc		487,583
	31,048	BRP Inc		1,519,793
	69,200	Canaccord Genuity Group Inc		255,274
	77,300	Canadian National Railway Co		7,041,257
	82,600	Canfor Pulp Products Inc		519,864
	17,300	CGI Inc *		1,433,570
	11,800	Cogeco Inc		914,738
	1,685,300	Dream Global Real Estate Investment Trust (REIT)		21,289,870
	52,100	Dundee Precious Metals Inc *		198,861
	87,400	Enerflex Ltd		789,581
	6,800	iA Financial Corp Inc		348,114
	9,300	Morguard North American Residential Real Estate Investment Trust		133,377
	342,900	Rogers Sugar Inc		1,246,862

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	503,500	Royal Bank of Canada		41,214,752
	95,700	Russel Metals Inc		1,610,250
	978,300	Stars Group Inc (The) *		23,762,907
	21,100	Suncor Energy Inc		662,540
	83,200	Sun Life Financial Inc (b)		3,796,395
	148,500	Sun Life Financial Inc (b)		6,781,995
	401,500	Toronto-Dominion Bank (The)		23,150,557
	79,400	Transat AT Inc *		974,941
	46,320	Transcontinental Inc – Class A		512,613
	20,400	Wajax Corp		226,684
	31,200	Westshore Terminals Investment Corp (c)		507,825
		Total Canada		140,035,537
		Chile — 0.1%
	15,907,809	Enel Americas SA		3,056,674
	469,500	Enel Americas SA ADR		4,540,065
		Total Chile		7,596,739
		China — 11.5%
	5,116,000	361 Degrees International Ltd		927,851
	994,000	7Road Holdings Ltd *		355,515
	329,000	AAC Technologies Holdings Inc		2,320,932
	10,483,000	Agile Group Holdings Ltd		14,708,891
	12,124,000	Agricultural Bank of China Ltd – Class A		6,246,256
	111,110,000	Agricultural Bank of China Ltd – Class H		44,986,364
	117,100	Alibaba Group Holding Ltd Sponsored ADR * (a)		23,420,000
	1,766,000	Angang Steel Co Ltd – Class H		669,972
	572,082	Anhui Conch Cement Co Ltd – Class A		3,732,212
	5,934,500	Anhui Conch Cement Co Ltd – Class H		37,965,790
	535,972	Anhui Expressway Co Ltd – Class A		437,107
	19,273	Anhui Kouzi Distillery Co Ltd – Class A		147,733
	56,000	ANTA Sports Products Ltd		526,633
	100,000	Asia Cement China Holdings Corp		134,384
	19,199,500	BAIC Motor Corp Ltd – Class H		10,761,842
	55,833,000	Bank of China Ltd – Class H		22,392,141
	47,516,000	Bank of Communications Co Ltd – Class H		31,190,914
	104,000	Beijing Capital International Airport Co Ltd – Class H		98,326
	654,000	Beijing Enterprises Water Group Ltd *		320,911
	136,300	Beijing New Building Materials Plc – Class A		433,233
	3,352,775	Beijing North Star Co Ltd – Class A		1,451,326
	542,000	Bosideng International Holdings Ltd		258,924
	662,500	BYD Electronic International Co Ltd		1,184,711
	4,215,000	CGN Power Co Ltd – Class H		1,055,658
	13,700	Changyou.com Ltd ADR		130,835
	3,427,000	China Cinda Asset Management Co Ltd – Class H		713,556
	26,531,000	China CITIC Bank Corp Ltd – Class H		14,503,895
	821,000	China Communications Construction Co Ltd – Class A		1,052,278

Shares		Description	Value ($)
		China — continued
	581,000	China Communications Construction Co Ltd – Class H		452,126
	13,568,000	China Communications Services Corp Ltd – Class H		9,133,681
	16,124,203	China Construction Bank Corp – Class A		16,293,585
	36,019,000	China Construction Bank Corp – Class H		28,653,514
	3,966,000	China Everbright Bank Co Ltd – Class H		1,712,185
	40,800	China Gas Holdings Ltd		151,652
	3,659,000	China Greenfresh Group Co Ltd *		95,365
	3,115,000	China Huarong Asset Management Co Ltd – Class H		453,782
	5,900,000	China Jinmao Holdings Group Ltd		3,924,035
	10,254,000	China Lesso Group Holdings Ltd		10,741,550
	1,571,000	China Lilang Ltd		1,268,169
	8,017,000	China Machinery Engineering Corp – Class H		3,187,398
	52,000	China Maple Leaf Educational Systems Ltd		18,136
	274,000	China Medical System Holdings Ltd		389,866
	208,100	China Merchants Bank Co Ltd – Class A		1,067,112
	3,169,000	China Minsheng Banking Corp Ltd – Class H		2,205,808
	1,249,000	China Mobile Ltd		9,416,882
	9,004,000	China National Building Material Co Ltd – Class H		8,705,820
	2,511,834	China National Chemical Engineering Co Ltd – Class A		2,227,740
	1,482,000	China Oriental Group Co Ltd		611,560
	590,000	China Overseas Grand Oceans Group Ltd		330,905
	6,508,000	China Overseas Land & Investment Ltd		21,842,119
	170,000	China Overseas Property Holdings Ltd		104,713
	799,485	China Pacific Insurance Group Co Ltd – Class A		3,897,500
	593,000	China Pacific Insurance Group Co Ltd – Class H		2,097,199
	24,300	China Petroleum & Chemical Corp ADR		1,357,155
	45	China Petroleum & Chemical Corp – Class A		32
	35,198,000	China Petroleum & Chemical Corp – Class H		19,739,184
	25,292,700	China Railway Construction Corp Ltd – Class H		26,108,973
	360,289	China Railway Group Ltd – Class A		289,861
	6,865,000	China Railway Group Ltd – Class H		4,018,711
	1,259,000	China Railway Signal & Communication Corp Ltd – Class H		675,410
	2,844,000	China Resources Cement Holdings Ltd		3,407,345
	296,000	China Resources Gas Group Ltd		1,648,149
	4,402,000	China Resources Land Ltd		19,057,156
	10,682,000	China Resources Pharmaceutical Group Ltd		9,331,251
	5,733,000	China SCE Group Holdings Ltd		2,733,138
	3,295,863	China Shenhua Energy Co Ltd – Class A		8,072,772
	11,013,000	China Shenhua Energy Co Ltd – Class H		21,323,295

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		China — continued
	2,516,000	China Shineway Pharmaceutical Group Ltd		2,580,895
	466,000	China South City Holdings Ltd		54,240
	1,843,230	China South Publishing & Media Group Co Ltd – Class A		3,037,668
	1,739,191	China State Construction Engineering Corp Ltd – Class A		1,265,868
	264,000	China State Construction International Holdings Ltd		208,335
	116,200	China Taiping Insurance Holdings Co Ltd		268,640
	64,206,000	China Telecom Corp Ltd – Class H		24,298,168
	507,893	China Vanke Co Ltd – Class A		2,003,899
	1,614,100	China Vanke Co Ltd – Class H		6,041,223
	4,398,879	China Yangtze Power Co Ltd – Class A		11,351,161
	94,500	China Yongda Automobiles Services Holdings Ltd		68,223
	36,200	China Yuchai International Ltd		486,890
	284,000	China Yuhua Education Corp Ltd		174,795
	946,100	Chinese Universe Publishing and Media Group Co Ltd – Class A		1,607,592
	276,430	Chongqing Department Store Co Ltd – Class A		1,090,927
	1,579,000	Chongqing Rural Commercial Bank Co Ltd – Class H		784,588
	4,971,000	CNOOC Ltd		7,216,050
	103,000	Colour Life Services Group Co. Ltd *		57,337
	5,533,506	Country Garden Holdings Co Ltd		7,715,720
	385,000	Dah Chong Hong Holdings Ltd		176,640
	232,000	Dali Foods Group Co Ltd		157,674
	9,719,396	Daqin Railway Co Ltd – Class A		10,970,169
	283,000	Dongyue Group Ltd		144,213
	31,300	ENN Energy Holdings Ltd		340,180
	1,673,900	Fangda Special Steel Technology Co Ltd – Class A		2,132,359
	135,000	Fu Shou Yuan International Group Ltd		116,029
	8,600	G-bits Network Technology Xiamen Co Ltd – Class A		359,042
	2,345,000	Geely Automobile Holdings Ltd		4,385,402
	2,064,000	Gemdale Properties & Investment Corp Ltd		239,814
	89,000	Genertec Universal Medical Group Co Ltd		61,899
	2,000	Great Wall Motor Co Ltd – Class H		1,545
	354,400	Gree Electric Appliances Inc of Zhuhai – Class A		2,912,444
	8,158,000	Guangdong Investment Ltd		16,869,635
	153,000	Guangdong Provincial Expressway Development Co Ltd – Class A		174,639
	158,300	Guangdong Tapai Group Co Ltd – Class A		241,989
	2,518,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		7,588,060
	10,888,000	Guangzhou R&F Properties Co Ltd – Class H		18,299,807
	1,542,000	Haier Electronics Group Co Ltd		4,286,203

Shares		Description	Value ($)
		China — continued
	443,000	Hebei Construction Group Corp Ltd – Class H		273,086
	61	Henan Shuanghui Investment & Development Co Ltd – Class A		269
	13,716,000	HengTen Networks Group Ltd *		198,018
	4,148,790	Hisense Home Appliances Group Co Ltd – Class A		6,041,405
	1,386,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		1,285,608
	1,656,931	HLA Corp Ltd – Class A		1,811,246
	47,600	Hollysys Automation Technologies Ltd		700,196
	110,000	Hopson Development Holdings Ltd		105,852
	10,219,000	Huabao International Holdings Ltd		3,328,526
	1,634,417	Huaxin Cement Co Ltd – Class A		5,132,864
	194,292	Huayu Automotive Systems Co Ltd – Class A		716,840
	3,116,000	IGG Inc		2,273,816
	10,871,146	Industrial & Commercial Bank of China Ltd – Class A		8,958,284
	33,731,000	Industrial & Commercial Bank of China Ltd – Class H		24,039,717
	80,100	Jiangsu Expressway Co Ltd – Class A		122,556
	822,000	Ju Teng International Holdings Ltd		208,915
	43,800	Jumei International Holding Ltd ADR *		82,344
	794,000	Kingboard Chemical Holdings Ltd		2,185,766
	1,034,000	Kingboard Laminates Holdings Ltd		1,166,196
	2,330,000	Kunlun Energy Co Ltd		1,973,283
	111,916	Lao Feng Xiang Co Ltd – Class A		762,451
	1,466,000	Lenovo Group Ltd		968,045
	1,471,600	Livzon Pharmaceutical Group Inc – Class H		4,323,126
	2,684,000	Logan Property Holdings Co Ltd		3,935,708
	783,390	Loncin Motor Co Ltd – Class A *		397,940
	833,000	Longfor Properties Co Ltd		3,409,760
	6,500,000	Lonking Holdings Ltd		1,851,422
	1,654,000	Meitu Inc *		304,235
	747,560	Midea Group Co Ltd – Class A		5,779,879
	2,588,000	MMG Ltd *		565,138
	1,600	NetEase Inc ADR (a)		504,512
	328,700	New China Life Insurance Co Ltd – Class H		1,265,805
	480,787	Oriental Pearl Group Co Ltd – Class A		603,525
	500,000	People’s Insurance Co Group of China Ltd (The) – Class H		200,547
	8,763,000	PICC Property & Casualty Co Ltd – Class H		10,139,572
	1,707,725	Ping An Insurance Group Co of China Ltd – Class A		20,330,780
	357,000	Ping An Insurance Group Co of China Ltd – Class H		4,053,844
	30,815,000	Postal Savings Bank of China Co Ltd – Class H		19,994,417
	93,900	Qingdao Port International Co Ltd – Class A		87,005

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		China — continued
	91,000	Road King Infrastructure Ltd		165,577
	388,400	Shaanxi Coal Industry Co Ltd – Class A		468,751
	1,297,794	Shanghai Construction Group Co Ltd – Class A		642,916
	1,108,000	Shanghai Jin Jiang Capital Co Ltd – Class H		198,236
	334,780	Shanghai Lujiazui Finance & Trade Zone Development Co Ltd – Class A		631,632
	177,600	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		383,659
	8,307,700	Shanghai Pharmaceuticals Holding Co Ltd – Class H		14,899,498
	362,019	Shanxi Lu’an Environmental Energy Development Co Ltd – Class A		356,503
	422,348	Shenzhen Expressway Co Ltd – Class A		649,138
	672,000	Shenzhen Expressway Co Ltd – Class H		896,268
	421,228	Shenzhen Investment Ltd		165,733
	35,600	Shenzhou International Group Holdings Ltd		469,296
	13,324,076	Shimao Property Holdings Ltd		48,275,681
	604,000	Shui On Land Ltd		126,432
	4,341,000	Sihuan Pharmaceutical Holdings Group Ltd		493,412
	776,982	Sinoma International Engineering Co – Class A		687,777
	515,500	Sinopec Engineering Group Co Ltd – Class H		301,993
	2,200,670	Sinopec Shanghai Petrochemical Co Ltd – Class A		1,224,672
	25,830,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		7,158,452
	561,500	Sinotruk Hong Kong Ltd		948,146
	2,454,271	Suning Universal Co Ltd – Class A		1,272,205
	745,781	Suzhou Gold Mantis Construction Decoration Co Ltd – Class A		855,289
	554,500	Tencent Holdings Ltd		23,397,197
	119,600	Tencent Holdings Ltd ADR		5,041,140
	1,631,000	Texhong Textile Group Ltd		1,693,992
	654,000	Tianjin Development Holdings Ltd		180,254
	914,000	Tianjin Port Development Holdings Ltd		87,544
	8,490,000	Tianneng Power International Ltd		5,584,969
	101,000	Times China Holdings Ltd		190,133
	38,846	Times Neighborhood Holdings Ltd *		9,806
	340,000	Tong Ren Tang Technologies Co Ltd – Class H		293,139
	96,300	Wangfujing Group Co. Ltd – Class A		177,788
	173,000	Want Want China Holdings Ltd		148,939
	307,391	Weichai Power Co Ltd – Class A		577,128
	9,307,000	Weichai Power Co Ltd – Class H		15,904,804
	2,155,276	Weifu High-Technology Group Co Ltd – Class A		5,705,706
	196,492	Wuchan Zhongda Group Co Ltd – Class A		142,077
	258,000	XTEP International Holdings Ltd		132,808

Shares		Description	Value ($)
		China — continued
	602,000	Yadea Group Holdings Ltd		153,830
	1,008,810	Youngor Group Co Ltd – Class A		962,032
	1,326,000	Yuexiu Property Co Ltd		283,048
	134,000	Yuexiu Transport Infrastructure Ltd		117,085
	16,300	Yum China Holdings Inc		725,676
	4,558,283	Yuzhou Properties Co Ltd		2,098,971
	2,884,000	Zhejiang Expressway Co Ltd – Class H		2,522,744
	128,589	Zhejiang Runtu Co Ltd – Class A		199,458
	132,098	Zhejiang Semir Garment Co Ltd – Class A		176,426
	7,700	Zhejiang Supor Co Ltd – Class A		78,711
	1,761,488	Zhejiang Weixing New Building Materials Co Ltd – Class A		3,064,860
	272,768	Zhengzhou Yutong Bus Co Ltd – Class A		544,716
	153,000	Zhenro Properties Group Ltd		98,693
	252,000	Zhongsheng Group Holdings Ltd		893,161
	98,000	Zhuzhou CRRC Times Electric Co Ltd – Class H		334,780
	895,782	Zhuzhou Kibing Group Co Ltd – Class A		562,392
		Total China		902,080,757
		Colombia — 0.0%
	128,640	Cementos Argos SA		226,771
		Denmark — 0.0%
	49,144	Matas A/S		363,066
	93,488	Scandinavian Tobacco Group A/S		1,080,810
	12,313	Spar Nord Bank A/S		110,212
		Total Denmark		1,554,088
		Finland — 0.1%
	268,711	Neste Oyj		9,083,295
	8,911	Sanoma Oyj		91,800
	40,928	Tokmanni Group Corp		546,545
		Total Finland		9,721,640
		France — 2.4%
	40,851	Alten SA		4,717,966
	35,993	BNP Paribas SA		2,017,828
	8,161	Christian Dior SE		4,316,058
	29,687	Cie Generale des Etablissements Michelin SCA		3,560,132
	89,596	CNP Assurances		1,769,082
	15,348	Coface SA		169,593
	42,798	Dassault Systemes SE (d)		6,742,081
	26,212	Faurecia SE		1,389,482
	54,709	Gaztransport Et Technigaz SA		4,833,174
	10,221	Interparfums SA		420,150
	2,185	Ipsen SA		246,786
	33,621	IPSOS		1,074,241
	16,977	Kaufman & Broad SA		685,702
	164,042	L’Oreal SA		46,772,161

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		France — continued
	15,034	Lagardere SCA		328,429
	6,011	Mersen SA		199,234
	85,257	Metropole Television SA		1,480,433
	59,090	Neopost SA		1,248,293
	1,022,600	Peugeot SA		24,676,081
	3,353	Rothschild & Co		92,161
	57,748	Safran SA		9,441,713
	537,013	Sanofi		50,059,643
	44,800	Sanofi ADR		2,091,264
	12,814	Schneider Electric SE		1,236,125
	92,637	STMicroelectronics NV		2,264,545
	430,000	STMicroelectronics NV – NY Shares		10,479,100
	177,762	Television Francaise 1		1,436,532
	553	TOTAL SA		29,076
	3,484	Vilmorin & Cie SA		191,960
		Total France		183,969,025
		Germany — 1.1%
	4	Aareal Bank AG		123
	2,518	adidas AG		785,107
	116,369	Allianz SE (Registered)		27,831,819
	4,265	Amadeus Fire AG		572,446
	382	BASF SE		28,674
	3,675	Bauer AG		58,919
	161,824	Bayer AG (Registered)		12,221,683
	69,166	Bayerische Motoren Werke AG		5,577,974
	86,466	Borussia Dortmund GmbH & Co KGaA		798,674
	24,823	Carl Zeiss Meditec AG		3,033,242
	140,733	CECONOMY AG *		675,857
	1,429	Cewe Stiftung & Co KGaA		152,308
	505	Daimler AG (Registered Shares)		28,425
	94,902	Deutsche Pfandbriefbank AG (d)		1,427,262
	372,168	Deutz AG		2,224,475
	123,140	Dialog Semiconductor Plc *		6,260,525
	5,320	DWS Group GmbH & Co KGaA		180,807
	7,829	Eckert & Ziegler Strahlen- und Medizintechnik AG		1,670,642
	7,075	Elmos Semiconductor AG		223,213
	2,718	Gesco AG		55,483
	27,801	Hamburger Hafen und Logistik AG		750,250
	445	HeidelbergCement AG		32,791
	1,176	Henkel AG & Co KGaA		113,607
	48,382	METRO AG		779,659
	2,835	OHB SE		130,745
	597	Rheinmetall AG		63,545
	657	RTL Group SA		31,342
	44,987	Siemens Healthineers AG		2,181,626
	4,810	Software AG		162,148
	56,923	Talanx AG		2,712,049
	66,614	Volkswagen AG		12,678,796
	37,811	Wacker Neuson SE		672,206
	25,101	Wuestenrot & Wuerttembergische AG		534,682
		Total Germany		84,651,104

Shares		Description	Value ($)
		Hong Kong — 0.3%
	279,800	Budweiser Brewing Co APAC Ltd *		997,218
	12,000	Cafe de Coral Holdings Ltd		30,066
	520,000	Dah Sing Banking Group Ltd		662,235
	289,600	Dah Sing Financial Holdings Ltd		1,054,325
	1,600,213	I-CABLE Communications Ltd *		12,472
	271,000	Johnson Electric Holdings Ltd		607,872
	186,000	LVGEM China Real Estate Investment Co. Ltd		62,073
	626,000	NewOcean Energy Holdings Ltd *		90,409
	536,000	Singamas Container Holdings Ltd		58,879
	1,483,000	SJM Holdings Ltd		1,512,562
	10,766,500	WH Group Ltd		11,055,963
	505,000	Wheelock & Co Ltd		3,139,835
	160,500	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		23,788
	80,000	Xinyi Glass Holdings Ltd		94,006
	83,500	Yue Yuen Industrial Holdings Ltd		246,949
		Total Hong Kong		19,648,652
		Hungary — 0.0%
	2,257,270	Magyar Telekom Telecommunications Plc		3,267,063
		India — 1.4%
	104,228	Asian Paints Ltd		2,477,539
	804,677	Aurobindo Pharma Ltd		5,047,160
	1,123,689	Balrampur Chini Mills Ltd		2,397,439
	50	Divi’s Laboratories Ltd		1,243
	27,953	Dr Reddy’s Laboratories Ltd		1,132,149
	111,200	Dr Reddy’s Laboratories Ltd ADR (a)		4,528,064
	762,659	Firstsource Solutions Ltd		443,522
	215,640	Glenmark Pharmaceuticals Ltd		1,007,150
	1,742,764	HCL Technologies Ltd		27,380,353
	192,314	HDFC Bank Ltd		3,409,084
	223,377	Hindustan Petroleum Corp Ltd		875,815
	80,293	Hindustan Unilever Ltd		2,275,557
	102,379	Housing Development Finance Corp Ltd		3,274,677
	542,577	ICICI Bank Ltd		3,867,473
	312,581	Indiabulls Housing Finance Ltd		1,257,855
	1,945,608	Indian Oil Corp Ltd		3,546,585
	507,988	ITC Ltd		1,740,618
	319,919	Just Dial Ltd *		2,526,569
	155,879	Kotak Mahindra Bank Ltd		3,490,720
	310,566	Mphasis Ltd		3,813,575
	1,222,235	PC Jeweller Ltd *		512,014
	5,786,884	Power Finance Corp Ltd *		9,229,916
	1,696,951	PTC India Ltd		1,320,328
	7,361,556	REC Ltd		14,156,988
	177,382	Sonata Software Ltd		768,455
	126,805	Titan Co Ltd		2,044,680
	45,968	TV Today Network Ltd		180,127
	44,000	Vedanta Ltd ADR		354,200

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		India — continued
	11,326,876	Vodafone Idea Ltd *		1,072,960
	1,144,923	Yes Bank Ltd		1,091,890
	37,188	Zuari Agro Chemicals Ltd *		48,552
		Total India		105,273,257
		Indonesia — 0.0%
	2,540,600	Gajah Tunggal Tbk PT *		105,318
	2,237,800	Indo Tambangraya Megah Tbk PT		1,621,073
	54,212,500	Panin Financial Tbk PT *		1,059,884
	3,353,600	Surya Citra Media Tbk PT		285,107
		Total Indonesia		3,071,382
		Ireland — 0.1%
	140,800	CRH Plc Sponsored ADR		5,392,640
	1,290	Smurfit Kappa Group Plc		45,760
		Total Ireland		5,438,400
		Israel — 0.0%
	12,365	AudioCodes Ltd		293,802
	9,792	First International Bank of Israel Ltd		299,887
	16,280	Harel Insurance Investments & Financial Services Ltd		137,354
	11,933	Nova Measuring Instruments Ltd *		420,867
	1,821,653	Oil Refineries Ltd		890,965
		Total Israel		2,042,875
		Italy — 1.3%
	178,721	Arnoldo Mondadori Editore SPA *		427,828
	23,646	ASTM SPA		723,207
	144,770	Banca Mediolanum SPA		1,467,610
	6,617	Credito Emiliano SPA		38,974
	127,516	Enav SPA		755,248
	5,522,970	Enel SPA		41,743,038
	424,112	EXOR NV		32,365,953
	367,896	Falck Renewables SPA		1,957,359
	337,749	Fiat Chrysler Automobiles NV		4,970,910
	86,798	Hera SPA		382,748
	154,487	IMMSI SPA *		96,527
	11,643	Intesa Sanpaolo SPA		29,459
	1,068,876	Iren SPA		3,313,382
	20,889	La Doria SPA		211,932
	47,005	Leonardo SPA		548,818
	41,075	Mediobanca Banca di Credito Finanziario SPA		458,649
	71,382	Piaggio & C SPA		230,181
	13,622	Prima Industrie SPA (a)		250,446
	3,343	Reply SPA		261,737
	4,202	Sabaf SPA		58,940
	829,670	Saras SPA		1,460,172
	2,368	Sesa SPA		110,944
	312,336	Societa Cattolica di Assicurazioni SC		2,511,036

Shares		Description	Value ($)
		Italy — continued
	16,833	Societa Iniziative Autostradali e Servizi SPA		283,230
	474,454	Unipol Gruppo SPA		2,777,359
	1,297,249	UnipolSai Assicurazioni SPA		3,773,037
		Total Italy		101,208,724
		Japan — 5.0%
	14,900	Aisin Seiki Co Ltd		564,017
	65,200	AOKI Holdings Inc		675,749
	2,038,000	Asahi Kasei Corp (d)		22,913,103
	2,546,800	Astellas Pharma Inc		43,480,904
	102,700	Bandai Namco Holdings Inc		6,229,415
	5,400	Bank of the Ryukyus Ltd		60,758
	512,000	Brother Industries Ltd		10,164,117
	17,600	Central Glass Co Ltd		428,437
	2,800	Chukyo Bank Ltd (The)		57,493
	67,700	Daicel Corp		666,030
	4,300	Daito Pharmaceutical Co Ltd		125,242
	28,900	Daiwabo Holdings Co Ltd		1,429,893
	59,600	DCM Holdings Co Ltd		578,467
	7,200	DTS Corp		154,221
	3,400	Elecom Co Ltd		128,372
	99,100	Fancl Corp		2,648,247
	30,300	FJ Next Co Ltd (a)		298,701
	157,800	Fuji Electric Co Ltd		4,860,744
	17,700	Fuji Media Holdings Inc		239,669
	6,600	Fuji Pharma Co Ltd		85,040
	278,900	FUJIFILM Holdings Corp (d)		13,187,877
	128,900	Fujitsu Ltd		11,729,055
	22,400	Furuno Electric Co Ltd		257,218
	12,000	Furyu Corp		113,867
	1,800	Fuyo General Lease Co Ltd		118,940
	5,700	G-7 Holdings Inc		226,991
	121,200	Hakuhodo DY Holdings Inc		1,961,025
	3,700	Hamakyorex Co Ltd		124,168
	43,400	Haseko Corp		558,632
	9,000	Heiwado Co Ltd		171,259
	991,700	Hitachi Ltd		39,057,136
	20,300	Hochiki Corp		302,862
	1,088,100	Honda Motor Co Ltd		30,585,972
	4,200	Hosokawa Micron Corp		171,454
	46,300	House Foods Group Inc (d)		1,606,371
	17,200	Infocom Corp		386,131
	10,200	Information Services International-Dentsu Ltd		386,698
	1,102,700	ITOCHU Corp		24,076,672
	53,500	Itochu Techno-Solutions Corp		1,429,908
	23,100	Japan Aviation Electronics Industry Ltd		440,391
	30,900	Jeol Ltd		855,478
	3,300	JSP Corp		57,461
	41,600	Kajima Corp		549,057
	1,000	Kaken Pharmaceutical Co Ltd		53,857

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	7,700	Kamei Corp		84,941
	187,800	Kanematsu Corp		2,401,566
	1,000	Kato Sangyo Co Ltd		33,530
	574,200	KDDI Corp		16,497,259
	20,600	Keihin Corp (d)		484,829
	83,000	Kitz Corp		577,673
	1,121,389	Konica Minolta Holdings Inc		7,354,540
	2,600	Krosaki Harima Corp		136,249
	20,800	Kyosan Electric Manufacturing Co Ltd		96,946
	24,600	Makino Milling Machine Co Ltd		1,215,417
	133,600	Marubeni Corp (d)		988,003
	74,700	MCJ Co Ltd		546,461
	2,579,300	Mitsubishi Chemical Holdings Corp		19,141,545
	176,700	Mitsubishi Electric Corp		2,442,729
	2,100	Mitsubishi Gas Chemical Co Inc		32,869
	65,100	Mitsubishi Tanabe Pharma Corp		1,192,043
	1,200	Mitsui Chemicals Inc		28,776
	39,600	Modec Inc		895,588
	4,900	Morinaga & Co Ltd		249,945
	24,100	MTI Ltd		153,140
	83,900	NEC Corp (d)		3,356,968
	17,800	NET One Systems Co Ltd		500,325
	41,700	Nichias Corp (a)		998,609
	20,700	Nichiha Corp		523,139
	74,400	Nippo Corp		1,525,544
	8,100	Nippon Flour Mills Co Ltd		125,862
	155,000	Nippon Light Metal Holdings Co Ltd		316,091
	941,600	Nippon Telegraph & Telephone Corp		47,568,750
	17,700	Nisshin Oillio Group Ltd (The)		629,544
	23,000	Nissin Electric Co Ltd		241,494
	23,700	Nomura Real Estate Holdings Inc		573,309
	7,200	NS Solutions Corp		249,504
	152,100	Obayashi Corp		1,613,095
	11,800	Osaki Electric Co Ltd		80,188
	25,300	Prima Meat Packers Ltd		586,888
	3,600	Rohto Pharmaceutical Co Ltd		113,302
	8,700	Ryoden Corp		130,795
	19,600	Seikitokyu Kogyo Co Ltd		155,723
	258,600	Sekisui Chemical Co Ltd		4,506,192
	18,100	Shimizu Corp		173,476
	10,500	Shin-Etsu Polymer Co Ltd		91,919
	11,300	Shinnihon Corp		96,367
	60,500	Shionogi & Co Ltd (d)		3,561,307
	118,700	Showa Corp		2,474,295
	3,913,000	Sojitz Corp		12,306,102
	4,640,200	Sumitomo Chemical Co Ltd		20,952,402
	15,500	T-Gaia Corp (d)		370,803
	3,000	Takasago Thermal Engineering Co Ltd		52,063
	27,800	Tatsuta Electric Wire and Cable Co Ltd		149,211
	22,500	Teijin Ltd		423,486
	13,700	Tocalo Co Ltd		138,892
	7,600	Token Corp		507,411
	1,200	Tokyo Seimitsu Co Ltd		43,161

Shares		Description	Value ($)
		Japan — continued
	10,700	Tokyu Construction Co Ltd (d)		76,208
	8,500	Tomy Co Ltd		103,537
	8,700	Toshiba TEC Corp		353,136
	8,100	Towa Pharmaceutical Co Ltd		208,407
	3,800	Toyo Ink SC Holdings Co Ltd		93,684
	400	Toyota Motor Corp		27,983
	63,903	Toyota Tsusho Corp		2,235,288
	116,500	TS Tech Co Ltd		3,621,567
	16,200	Unipres Corp		245,065
	18,800	Vital KSK Holdings Inc		190,084
	13,700	Wacoal Holdings Corp		379,446
	23,000	Warabeya Nichiyo Holdings Co Ltd		384,576
	9,200	Yellow Hat Ltd		165,947
		Total Japan		391,972,293
		Malaysia — 0.1%
	720,000	Alliance Bank Malaysia Berhad		465,423
	3,653,700	DRB-Hicom Berhad		2,020,064
	1,611,400	Sime Darby Property Berhad		303,034
	1,155,400	SP Setia Berhad		359,575
	6,551,400	Supermax Corp Berhad		2,133,047
	355,400	Ta Ann Holdings Berhad		254,379
		Total Malaysia		5,535,522
		Mexico — 0.6%
	131,800	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		166,665
	55,500	Concentradora Fibra Danhos SA de CV		81,467
	77,100	Corp Inmobiliaria Vesta SAB de CV		128,379
	117,000	Credito Real SAB de CV SOFOM ER		137,369
	110,700	El Puerto de Liverpool SAB de CV – Class C1		542,966
	4,719,800	Fibra Uno Administracion SA de CV (REIT)		7,205,397
	703,400	Gentera SAB de CV		672,044
	87,800	Grupo Aeroportuario del Centro Norte SAB de CV		583,165
	3,000	Grupo Aeroportuario del Centro Norte SAB de CV ADR		159,630
	28,700	Grupo Aeroportuario del Pacifico SAB de CV – Class B		291,450
	2,900	Grupo Aeroportuario del Sureste SAB de CV ADR		497,234
	453,400	Grupo Financiero Banorte SAB de CV – Class O		2,378,367
	66,100	Grupo Financiero Inbursa SAB de CV – Class O		78,587
	247,513	Grupo Herdez SAB de CV		478,017
	31,900	Qualitas Controladora SAB de CV		135,309
	192,500	Unifin Financiera SAB de CV SOFOM ENR		292,696
	13,009,300	Wal-Mart de Mexico SAB de CV		36,211,351
		Total Mexico		50,040,093

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Netherlands — 1.6%
	265,489	ABN AMRO Group NV CVA		4,524,797
	3,350	Adyen NV *		2,568,977
	261,146	ASR Nederland NV (d)		9,706,492
	45,163	ForFarmers NV		278,415
	89,560	Heineken Holding NV		8,582,889
	1,947,145	ING Groep NV		22,391,771
	115,062	InterXion Holding NV * (a)		9,784,872
	723,455	Koninklijke Ahold Delhaize NV		18,633,624
	73,557	Koninklijke Philips NV		3,415,245
	15,013	Koninklijke Volkerwessels NV		363,148
	37,981	Randstad NV		2,211,220
	445,814	Signify NV		13,298,464
	437,387	Wolters Kluwer NV		31,414,190
		Total Netherlands		127,174,104
		New Zealand — 0.0%
	1,129,731	Air New Zealand Ltd		2,053,553
		Norway — 0.4%
	948	Aker ASA – A Shares		51,390
	321,613	Austevoll Seafood ASA		3,077,350
	201,006	BW LPG Ltd		1,734,726
	682,314	DNB ASA		11,446,449
	273,741	Elkem ASA		632,354
	360,966	Equinor ASA		6,654,440
	7,226	Gjensidige Forsikring ASA		135,896
	755	Grieg Seafood ASA		11,524
	384,556	Kongsberg Automotive ASA *		201,504
	6,423	Kvaerner ASA		8,447
	146,076	Leroy Seafood Group ASA		923,067
	123,381	Orkla ASA		1,194,078
	88,570	Salmar ASA		4,216,189
	86,290	SpareBank 1 Nord Norge		675,476
	221,501	SpareBank 1 SR-Bank ASA		2,333,042
	29,082	Storebrand ASA		208,189
		Total Norway		33,504,121
		Pakistan — 0.1%
	144,560	Engro Corp Ltd		314,632
	2,016,000	Engro Fertilizers Ltd		895,615
	352,000	Fauji Fertilizer Co Ltd		240,281
	88,900	Habib Bank Ltd		83,878
	321,000	Hub Power Co Ltd (The) *		187,744
	224,450	Lucky Cement Ltd		607,660
	45,900	MCB Bank Ltd		58,839
	125,900	Nishat Mills Ltd		81,084
	2,665,300	Oil & Gas Development Co Ltd		2,260,618
	331,170	Pakistan Oilfields Ltd		895,393
	851,160	Pakistan Petroleum Ltd		657,725
	429,180	Pakistan State Oil Co Ltd		506,589
	205,400	Searle Co Ltd (The)		243,161

Shares		Description	Value ($)
		Pakistan — continued
	467,500	SUI Northern Gas Pipeline		226,523
	418,300	United Bank Ltd		441,853
		Total Pakistan		7,701,595
		Philippines — 0.1%
	1,694,000	Alliance Global Group Inc		368,590
	2,774,900	DMCI Holdings Inc		355,047
	55,185	Globe Telecom Inc		2,106,544
	324,700	Manila Electric Co		2,037,484
	11,827,600	Megaworld Corp		1,031,200
	1,337,825	Semirara Mining & Power Corp		573,947
		Total Philippines		6,472,812
		Poland — 1.1%
	117,902	Alior Bank SA *		887,349
	359,374	Asseco Poland SA		5,202,073
	6,544	Bank Handlowy w Warszawie SA		86,885
	93,260	Bank Millennium SA *		131,198
	420,762	Bank Polska Kasa Opieki SA		11,251,601
	33,189	Budimex SA		1,344,700
	55,803	Ciech SA *		512,617
	186,572	Cyfrowy Polsat SA		1,328,005
	2,948	Dino Polska SA *		101,630
	922,241	Energa SA *		1,621,216
	93,367	EPP NV		113,494
	101,942	Grupa Lotos SA		2,388,696
	261,764	Jastrzebska Spolka Weglowa SA		1,397,493
	2,125	KRUK SA		81,947
	49	LPP SA		108,903
	27,720	Lubelski Wegiel Bogdanka SA		263,972
	798	mBank SA *		75,842
	39,756	PGE Polska Grupa Energetyczna SA *		88,458
	226,359	PLAY Communications SA		1,888,216
	696,729	Polski Koncern Naftowy ORLEN SA		16,525,239
	6,014,912	Polskie Gornictwo Naftowe i Gazownictwo SA		7,092,530
	1,001,337	Powszechna Kasa Oszczednosci Bank Polski SA		9,234,708
	2,180,592	Powszechny Zaklad Ubezpieczen SA		21,556,793
	8,516	Santander Bank Polska SA		597,457
	9,472	Stalprodukt SA		474,177
	58,603	Warsaw Stock Exchange		580,885
		Total Poland		84,936,084
		Portugal — 0.7%
	264,643	Altri SGPS SA		1,646,851
	274,157	Banco Comercial Portugues SA – Class R		59,163
	23,003	EDP Renovaveis SA		252,253
	4,378,222	EDP – Energias de Portugal SA		17,714,118
	1,397,384	Galp Energia SGPS SA		22,726,165
	252,219	Jeronimo Martins SGPS SA		4,027,642
	16,310	Navigator Co SA (The)		62,694

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Portugal — continued
	349,268	NOS SGPS SA		1,892,609
	98,274	REN – Redes Energeticas Nacionais SGPS SA		300,022
	12,401	Semapa-Sociedade de Investimento e Gestao		186,899
	1,992,204	Sonae SGPS SA		1,999,724
		Total Portugal		50,868,140
		Qatar — 0.2%
	2,779,644	Barwa Real Estate Co		2,602,346
	676,866	Doha Bank QPSC		469,933
	188,584	Qatar Electricity & Water Co QSC		834,768
	2,489,950	Qatar Gas Transport Co Ltd		1,729,961
	148,240	Qatar International Islamic Bank QSC		372,893
	1,334,395	Qatar National Bank QPSC		7,050,659
	451,110	Qatar National Cement Co QSC		710,606
	173,993	United Development Co QSC		67,381
		Total Qatar		13,838,547
		Russia — 4.3%
	10,200,810	Alrosa PJSC		12,353,776
	1,158,800	Credit Bank of Moscow PJSC		107,001
	1,925,000	ENEL RUSSIA PJSC		27,348
	67,346	Etalon Group Plc GDR (Registered)		122,573
	150,360,000	Federal Grid Co Unified Energy System PJSC		456,372
	921,740	Gazprom Neft PJSC		5,995,194
	7,737,747	Gazprom PJSC Sponsored ADR		61,451,693
	293,768	Globaltrans Investment Plc Sponsored GDR (Registered)		2,455,237
	172,831,000	Inter RAO UES PJSC		11,979,710
	29,950	LSR Group PJSC		353,895
	24,695	LSR Group PJSC GDR (Registered)		55,579
	437,837	LUKOIL PJSC Sponsored ADR		41,770,549
	215,090	M.Video PJSC *		1,648,225
	8,853,600	Magnitogorsk Iron & Steel Works PJSC		5,365,743
	112,312	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		879,556
	634,547	MMC Norilsk Nickel PJSC ADR		16,653,328
	4,138,970	Moscow Exchange MICEX-RTS PJSC		6,800,931
	94,658	Novatek PJSC Sponsered GDR (Registered)		18,756,172
	866,290	Novolipetsk Steel PJSC		1,742,919
	855,419	Novolipetsk Steel PJSC GDR		17,221,643
	117,314	PhosAgro PJSC GDR (Registered)		1,446,122
	123,192	QIWI Plc Sponsored ADR		2,441,665
	152,270	Raspadskaya OJSC		242,482
	550,532	Rosneft Oil Co PJSC GDR (Registered)		3,739,538
	182,188,000	ROSSETI PJSC		3,373,011
	64,420	Rostelecom PJSC		80,646
	62,940,000	RusHydro PJSC		519,902
	71,630	Safmar Financial Investment		557,898

Shares		Description	Value ($)
		Russia — continued
	4,039,312	Sberbank of Russia PJSC Sponsored ADR		59,118,417
	409,740	Severstal PJSC GDR (Registered)		5,754,492
	4,132,900	Surgutneftegas PJSC		2,832,724
	2,124,501	Surgutneftegas PJSC Sponsored ADR		14,394,270
	505,070	Tatneft PJSC		5,813,089
	390,523	Tatneft PJSC Sponsored ADR		26,940,969
	94,212	TCS Group Holding Plc GDR (Registered)		1,730,998
	114,560	TMK PJSC		92,394
	20,727	TMK PJSC GDR (Registered)		65,922
	10,506,000	Unipro PJSC		442,957
	469,360	VTB Bank PJSC GDR (Registered)		647,576
		Total Russia		336,432,516
		Singapore — 0.7%
	116	Ascendas Real Estate Investment Trust		253
	100	CapitaLand Commercial Trust (REIT)		147
	1,497,200	CapitaLand Ltd		4,029,458
	43,800	CapitaLand Mall Trust (REIT)		80,668
	1,698,600	ComfortDelGro Corp Ltd		2,920,626
	949,900	DBS Group Holdings Ltd		17,530,375
	814,300	Frasers Logistics & Industrial Trust (REIT)		738,568
	631,000	Japfa Ltd		270,016
	28,800	Jardine Cycle & Carriage Ltd		646,021
	24,100	Keppel DC REIT		35,248
	1,198,500	Mapletree Greater China Commercial Trust (REIT)		1,034,005
	170,600	Mapletree Industrial Trust (REIT)		313,041
	1,592,100	Mapletree Logistics Trust (REIT)		1,967,037
	6,600	Singapore Airlines Ltd		44,371
	407,700	Singapore Exchange Ltd		2,637,631
	824,000	Singapore Technologies Engineering Ltd		2,489,229
	184,000	Sino Grandness Food Industry Group Ltd *		5,516
	82,200	United Overseas Bank Ltd		1,551,200
	169,900	Venture Corp Ltd		1,970,239
	445,000	Wilmar International Ltd		1,331,417
	20,842,500	Yangzijiang Shipbuilding Holdings Ltd		15,693,705
	1,207,400	Yanlord Land Group Ltd		1,032,617
		Total Singapore		56,321,388
		South Africa — 1.8%
	3,478,070	Absa Group Ltd		34,928,335
	39,768	AECI Ltd		286,234
	1,494,532	African Phoenix Investments Ltd *		74,383
	1,830	Anglo American Platinum Ltd		151,447
	241,390	Astral Foods Ltd		3,284,531
	510,126	Barloworld Ltd		3,948,564
	3,415,879	Blue Label Telecoms Ltd *		758,832
	77,513	Capitec Bank Holdings Ltd		7,494,411

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	1,905	Discovery Ltd		15,338
	919,122	Emira Property Fund Ltd (REIT)		826,279
	179,861	Foschini Group Ltd (The)		1,907,437
	3,996,911	Growthpoint Properties Ltd (REIT)		6,223,170
	20,955	Hyprop Investments Ltd (REIT)		84,418
	33,919	Investec Ltd		194,494
	17,358	JSE Ltd		145,910
	861,560	Kumba Iron Ore Ltd		22,108,185
	369,184	Lewis Group Ltd		850,738
	801,174	Liberty Holdings Ltd		6,096,102
	25,644	Momentum Metropolitan Holdings		35,539
	431,872	Motus Holdings Ltd		2,084,651
	700,401	Mr Price Group Ltd		8,363,083
	29,026	MultiChoice Group Ltd *		239,864
	952,078	Murray & Roberts Holdings Ltd		661,360
	269,346	Nedbank Group Ltd		4,023,506
	8,014	NEPI Rockcastle Plc		67,875
	737,292	Netcare Ltd		1,005,431
	1,675,691	Old Mutual Ltd		2,120,396
	592,113	Pepkor Holdings Ltd		713,252
	119,701	Rand Merchant Investment Holdings Ltd		246,579
	1,692,998	Redefine Properties Ltd (REIT)		949,244
	779,380	Reunert Ltd		3,662,364
	781,674	RMB Holdings Ltd		4,304,163
	1,543,801	SA Corporate Real Estate Ltd (REIT)		340,076
	600,317	Sanlam Ltd		3,124,761
	39,167	Santam Ltd		774,079
	377,062	Sappi Ltd		1,025,039
	1,219	Standard Bank Group Ltd		13,763
	2,683,884	Telkom SA SOC Ltd		8,582,039
	1,570,589	Truworths International Ltd		5,457,904
	267,529	Tsogo Sun Gaming Ltd		225,088
	256,389	Wilson Bayly Holmes-Ovcon Ltd		2,459,958
		Total South Africa		139,858,822
		South Korea — 2.7%
	86,038	Aekyung Petrochemical Co Ltd		570,696
	50,007	Aju Capital Co Ltd		487,690
	24,022	Celltrion Pharm Inc *		722,566
	58	Cheil Worldwide Inc		1,163
	348	Dae Han Flour Mills Co Ltd		45,258
	62,550	DB Insurance Co Ltd		2,956,411
	2,789	DongKook Pharmaceutical Co Ltd		179,327
	74,571	Dongwha Pharm Co Ltd		517,570
	494,764	Dongwon Development Co Ltd		1,699,407
	2,331	GOLFZON Co Ltd		146,806
	13,683	GS Home Shopping Inc		1,734,099
	1,133,787	Hana Financial Group Inc		34,376,890
	5,041	Hankook Technology Group Co Ltd		61,368
	26,229	Hanmi Science Co Ltd		866,541
	42,074	Huons Co Ltd		1,901,692
	38,282	Hyundai Home Shopping Network Corp		2,761,479

Shares		Description	Value ($)
		South Korea — continued
	96,881	Hyundai Hy Communications & Network Co Ltd		297,018
	130,071	Hyundai Motor Co		13,347,135
	12,612	Il Dong Pharmaceutical Co Ltd		175,985
	1,498,976	Industrial Bank of Korea		14,922,239
	220,860	JB Financial Group Co Ltd		1,010,612
	41,145	KB Financial Group Inc		1,607,588
	1,146,309	Kia Motors Corp		42,015,031
	119,868	Korea Asset In Trust Co Ltd		360,115
	44,974	Korea Autoglass Corp		607,916
	67,372	KT Hitel Co Ltd *		329,093
	139	KT&G Corp		11,513
	28,996	Kyobo Securities Co Ltd		230,284
	34,866	Kyungdong Pharm Co Ltd		229,313
	121,187	LF Corp		1,838,070
	9,481	LG Corp		570,691
	13,568	LG Electronics Inc		804,184
	20,463	LOTTE Himart Co Ltd		541,983
	28,523	Mirae Asset Life Insurance Co Ltd		102,727
	84,715	Samjin Pharmaceutical Co Ltd		1,786,499
	240,943	Samsung Electronics Co Ltd		10,300,035
	1,615	Samsung SDS Co Ltd		267,940
	8,508	Sebang Global Battery Co Ltd		270,052
	867,717	Shinhan Financial Group Co Ltd		32,052,104
	71,527	SillaJen Inc *		880,907
	27,114	SK Holdings Co Ltd		5,924,472
	130,280	SK Hynix Inc		8,965,312
	733,641	SK Telecom Co Ltd Sponsored ADR		16,815,052
	33,798	SL Corp		538,333
	180	Taekwang Industrial Co Ltd		163,946
	288,042	Woori Financial Group Inc		2,858,890
		Total South Korea		208,854,002
		Spain — 1.8%
	183,068	ACS Actividades de Construccion y Servicios SA		7,116,399
	174,120	Aena SME SA		31,949,888
	89,109	Almirall SA		1,514,503
	1,617	Applus Services SA		19,510
	28	Banco Bilbao Vizcaya Argentaria SA		147
	584,097	Banco Santander SA (a)		2,275,007
	84,103	Cia de Distribucion Integral Logista Holdings SA		1,897,884
	905,054	Endesa SA		24,603,665
	46,287	Faes Farma SA		272,116
	3,041,630	Iberdrola SA		29,922,742
	5,041,713	International Consolidated Airlines Group SA (a)		36,029,051
	724,191	Mapfre SA		2,041,127
	83,467	Mediaset Espana Comunicacion SA		544,752
	881	Red Electrica Corp SA		17,187
	15,056	Repsol SA		237,030
		Total Spain		138,441,008

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Sweden — 0.8%
	11,612	Atlas Copco AB – A Shares		425,491
	274,126	Betsson AB *		1,260,945
	10,344	Bufab AB		136,748
	12,849	Dustin Group AB		102,174
	58,073	Epiroc AB – Class A		677,979
	74,997	Epiroc AB – Class B		843,059
	19,204	Granges AB		191,612
	3,041	JM AB		83,199
	356,259	Klovern AB – B Shares		694,188
	14,982	Lindab International AB		178,038
	19,900	New Wave Group AB – Class B		127,176
	146,643	Peab AB – Class B		1,256,435
	180,212	Resurs Holding AB		1,037,837
	330,392	Sandvik AB		6,008,319
	320,830	Svenska Cellulosa AB SCA – Class B		3,192,772
	107,167	Swedish Match AB		5,133,219
	85,336	Volvo AB – A Shares		1,317,954
	2,554,397	Volvo AB – B Shares		39,490,879
		Total Sweden		62,158,024
		Switzerland — 1.0%
	2	Adecco SA (Registered)		124
	12,612	ALSO Holding AG (Registered) *		1,999,279
	14	Belimo Holding AG (Registered)		92,376
	20,719	BKW AG		1,457,098
	8,404	Bobst Group SA (Registered) (a)		465,928
	119	Gurit Holding AG		157,608
	16,460	Huber + Suhner AG (Registered)		1,124,120
	167	Inficon Holding AG (Registered)		121,041
	9,005	Kardex AG (Registered)		1,467,582
	47,081	Mobilezone Holding AG (Registered) *		496,400
	40,358	Nestle SA (Registered)		4,190,966
	76,204	Novartis AG (Registered)		7,024,933
	6,613	Orior AG *		592,079
	37,733	Roche Holding AG		11,502,192
	141,138	Roche Holding AG – Genusschein		43,511,828
	5,835	Zehnder Group AG – Class RG		265,241
		Total Switzerland		74,468,795
		Taiwan — 5.3%
	302,000	Ability Enterprise Co Ltd		165,802
	167,988	Actron Technology Corp		506,863
	52,000	Advantech Co Ltd		510,436
	2,888,799	Asustek Computer Inc		21,814,889
	57,000	Aten International Co Ltd		162,739
	2,394,000	Catcher Technology Co Ltd		19,574,714
	114,000	Cathay Real Estate Development Co Ltd		77,681
	1,676,890	Chailease Holding Co Ltd		7,493,747
	1,814,660	Chicony Electronics Co Ltd		5,264,150
	6,643,000	China Development Financial Holding Corp		2,113,658

Shares		Description	Value ($)
		Taiwan — continued
	226,400	China Motor Corp		291,196
	383,000	Chong Hong Construction Co Ltd		1,028,452
	115,000	Cleanaway Co Ltd		588,068
	5,834,000	Coretronic Corp		7,633,897
	16,000,000	CTBC Financial Holding Co Ltd		11,456,196
	391,000	CTCI Corp		482,515
	61,000	Depo Auto Parts Ind Co Ltd		118,756
	195,000	Elite Material Co Ltd		779,766
	642,000	Elitegroup Computer Systems Co Ltd *		273,437
	603,000	Everlight Electronics Co Ltd		658,285
	108,000	Far Eastern Department Stores Ltd		93,092
	553,000	Farglory Land Development Co Ltd		693,507
	1,671,300	Feng TAY Enterprise Co Ltd		10,461,337
	1,101,000	FLEXium Interconnect Inc		4,075,105
	244,000	Formosa Advanced Technologies Co Ltd		275,116
	404,000	Formosa Chemicals & Fibre Corp		1,155,864
	1,083,000	Formosa Petrochemical Corp		3,408,350
	897,000	Formosa Plastics Corp		2,857,772
	2,043,000	Formosa Taffeta Co Ltd		2,276,584
	4,994,000	Foxconn Technology Co Ltd		10,901,255
	11,000	Fusheng Precision Co Ltd		64,347
	3,203,000	Gigabyte Technology Co Ltd		5,278,685
	31,000	Global Mixed Mode Technology Inc		119,350
	257,000	Globalwafers Co Ltd		2,784,626
	9,842,000	Grand Pacific Petrochemical *		5,868,738
	2,734,580	Great Wall Enterprise Co Ltd		3,549,249
	486,000	Greatek Electronics Inc		731,899
	1,623,000	Highwealth Construction Corp		2,475,146
	121,000	Holiday Entertainment Co Ltd		275,307
	1,946,000	Holtek Semiconductor Inc		4,324,222
	77,000	Holy Stone Enterprise Co Ltd		248,526
	5,339,600	Hon Hai Precision Industry Co Ltd		15,482,902
	3,000	Hotai Motor Co Ltd		58,753
	423,000	Huaku Development Co Ltd		1,303,569
	289,530	IBF Financial Holdings Co Ltd		103,907
	363,980	IEI Integration Corp		632,345
	15,000	Innodisk Corp		74,460
	230,000	International Games System Co Ltd		2,790,481
	1,212,000	Inventec Corp		907,725
	12,000	King Slide Works Co Ltd		140,002
	336,000	Kinik Co		732,518
	145,000	Kung Long Batteries Industrial Co Ltd		693,753
	29,000	Lion Travel Service Co Ltd		72,692
	2,049,000	Lite-On Semiconductor Corp		2,597,734
	1,430,000	Lite-On Technology Corp		2,268,401
	67,350	Makalot Industrial Co Ltd		335,605
	308,000	MediaTek Inc		4,255,211
	2,877,088	Mercuries Life Insurance Co Ltd *		1,113,055
	57,000	Mirle Automation Corp		73,995
	3,928,283	Mitac Holdings Corp		3,650,830
	2,596,000	Nan Ya Plastics Corp		6,082,613
	424,000	Nantex Industry Co Ltd		415,427

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	6,295,000	Nanya Technology Corp		14,698,382
	4,681,000	Novatek Microelectronics Corp		34,293,207
	284,000	On-Bright Electronics Inc		1,683,569
	33,150	OptoTech Corp		27,710
	1,656,000	Phison Electronics Corp		15,431,196
	14,102,566	Pou Chen Corp		18,367,626
	1,988,000	Qisda Corp		1,440,028
	1,484,000	Quanta Computer Inc		2,932,922
	9,428,020	Radiant Opto-Electronics Corp		36,155,503
	642,000	Realtek Semiconductor Corp		4,848,590
	653,240	Ruentex Development Co Ltd *		975,912
	830,600	Ruentex Industries Ltd		2,060,017
	130,000	Sercomm Corp		322,512
	672,000	Sheng Yu Steel Co Ltd		431,684
	189,000	Shin Zu Shing Co Ltd		774,321
	199,000	Shinkong Insurance Co Ltd		255,669
	478,400	Simplo Technology Co Ltd		4,779,632
	125,000	Sinbon Electronics Co Ltd		479,552
	91,000	Sitronix Technology Corp		504,183
	416,000	Soft-World International Corp		1,078,151
	141,000	Standard Chemical & Pharmaceutical Co Ltd		159,001
	2,213,000	Sunplus Technology Co Ltd *		935,952
	538,000	Syncmold Enterprise Corp		1,539,676
	182,000	TaiMed Biologics Inc *		814,252
	1,566,000	Taiwan PCB Techvest Co Ltd		1,878,238
	1,255,000	Taiwan Semiconductor Manufacturing Co Ltd		12,623,615
	482,550	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		25,618,579
	327,000	Taiwan Styrene Monomer		227,171
	1,918,000	Taiwan Surface Mounting Technology Corp		6,974,441
	55,000	Tong Hsing Electronic Industries Ltd		228,823
	644,217	TOPBI International Holdings Ltd		1,833,336
	1,037,188	Topco Scientific Co Ltd		3,381,590
	244,000	Topkey Corp		1,003,123
	581,000	Transcend Information Inc		1,361,571
	664,000	Tripod Technology Corp		2,754,165
	248,000	TXC Corp		332,712
	2,783,000	Uni-President Enterprises Corp		6,611,047
	479,800	United Integrated Services Co Ltd		2,761,158
	176,000	Wah Lee Industrial Corp		326,454
	4,929,000	Walsin Lihwa Corp		2,293,622
	511,000	YC INOX Co Ltd		435,517
	603,000	Youngtek Electronics Corp		836,883
	16,302,000	Yuanta Financial Holding Co Ltd		10,552,801
	17,000	Yulon Nissan Motor Co Ltd		154,614
	49,000	Zhen Ding Technology Holding Ltd		215,829
		Total Taiwan		414,093,838

Shares		Description	Value ($)
		Thailand — 0.2%
	1,095,400	AP Thailand Pcl (Foreign Registered)		248,380
	169,400	AP Thailand Pcl NVDR		38,411
	225,300	Mega Lifesciences Pcl NVDR		227,736
	388,600	Pruksa Holding Pcl (Foreign Registered)		199,383
	2,019,700	Pruksa Holding Pcl NVDR		1,036,267
	2,896,300	PTT Pcl (Foreign Registered)		4,143,356
	849,700	SC Asset Corp Pcl (Foreign Registered)		65,277
	207,800	Somboon Advance Technology Pcl NVDR		108,639
	177,900	SPCG Pcl NVDR		114,791
	1,148,725	Supalai Pcl (Foreign Registered)		661,987
	220,600	Supalai Pcl NVDR		127,127
	420,300	Thai Beverage Pcl		273,467
	3,735,100	Thanachart Capital Pcl (Foreign Registered)		6,889,868
	245,500	Thanachart Capital Pcl NVDR		452,856
		Total Thailand		14,587,545
		Turkey — 1.5%
	6,510,598	Akbank TAS *		8,782,628
	139,700	Aksa Akrilik Kimya Sanayii AS		293,019
	5,694,455	Dogan Sirketler Grubu Holding AS		1,750,739
	1,138,525	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		684,320
	28,097,962	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		7,121,957
	1,951,225	Enerjisa Enerji AS		2,400,710
	691,367	Enka Insaat ve Sanayi AS		692,440
	3,609,379	Eregli Demir ve Celik Fabrikalari TAS		5,027,767
	62,662	Ford Otomotiv Sanayi AS		694,608
	2,129,605	Haci Omer Sabanci Holding AS		3,364,580
	5,952,099	KOC Holding AS		20,702,011
	93,881	Kordsa Teknik Tekstil AS		194,163
	211,150	Koza Altin Isletmeleri AS *		2,693,685
	59,917	Mavi Giyim Sanayi Ve Ticaret AS – Class B *		471,437
	21,126	Otokar Otomotiv Ve Savunma Sanayi AS		549,009
	343,256	Selcuk Ecza Deposu Ticaret ve Sanayi AS		329,888
	8,369,380	Soda Sanayii AS		8,440,118
	121,068	TAV Havalimanlari Holding AS		565,839
	1,945,755	Tekfen Holding AS		6,389,035
	328,503	Trakya Cam Sanayii AS		188,283
	340,628	Tupras-Turkiye Petrol Rafineriler AS		7,331,268
	5,880,012	Turkiye Garanti Bankasi AS *		10,309,164
	187,417	Turkiye Halk Bankasi AS *		187,753
	16,313,659	Turkiye Is Bankasi – Class C *		17,413,722
	8,581,343	Turkiye Sinai Kalkinma Bankasi AS *		1,535,758
	1,251,109	Turkiye Sise ve Cam Fabrikalari AS		1,084,223
	6,662,145	Turkiye Vakiflar Bankasi TAO – Class D *		5,930,249
	9,495,564	Yapi ve Kredi Bankasi AS *		3,957,117
		Total Turkey		119,085,490

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		United Arab Emirates — 0.1%
	69,169	Abu Dhabi Commercial Bank PJSC		141,899
	1,084,221	Al Waha Capital PJSC		289,844
	325,387	DAMAC Properties Dubai Co PJSC *		69,313
	476,672	Dubai Islamic Bank PJSC		687,605
	179,050	Emaar Development PJSC		175,558
	7,361,373	Emaar Properties PJSC		8,272,950
	4,696,149	RAK Properties PJSC *		537,534
		Total United Arab Emirates		10,174,703
		United Kingdom — 4.1%
	1,918,697	3i Group Plc		26,561,686
	155,496	Ashmore Group Plc		955,788
	147,440	Ashtead Group Plc		4,476,120
	51,393	AstraZeneca Plc		4,964,962
	6,788	Avast Plc		39,282
	132,441	AVEVA Group Plc		7,801,379
	20	BAE Systems Plc		148
	2,542,276	Barratt Developments Plc		21,917,457
	208,751	Bellway Plc		9,011,730
	252,510	Berkeley Group Holdings Plc (The)		14,968,508
	75,367	Bovis Homes Group Plc		1,193,900
	379,768	British American Tobacco Plc		15,030,735
	449,200	British American Tobacco Plc Sponsored ADR (a)		17,792,812
	105,009	Britvic Plc		1,314,333
	24,637	Close Brothers Group Plc		473,426
	30,109	CMC Markets Plc		56,853
	264,357	Coca-Cola HBC AG *		8,814,973
	183,749	Compass Group Plc		4,502,286
	115,046	Computacenter Plc		2,245,993
	32,261	Daily Mail & General Trust Plc		343,334
	14,443	Dart Group Plc		277,000
	31,700	Diageo Plc Sponsored ADR		5,181,048
	11,920	Diploma Plc		283,922
	40,559	Drax Group Plc		146,291
	248,497	Dunelm Group Plc		2,740,538
	234,072	EI Group Plc *		851,568
	501,568	Electrocomponents Plc		4,238,261
	22,782	EMIS Group Plc		313,160
	886,725	Evraz Plc		4,246,417
	1,497,011	Ferrexpo Plc		2,776,327
	42,753	Galliford Try Plc		405,132
	5,796	Games Workshop Group Plc		428,929
	82,000	GlaxoSmithKline Plc Sponsored ADR (a)		3,729,360
	18,377	Go-Ahead Group Plc (The)		520,848
	21,122	Grafton Group Plc		228,914
	75,629	Greggs Plc		2,035,357
	83,419	Halma Plc		2,269,529
	5,300	HSBC Holdings Plc Sponsored ADR		197,478
	394,483	IG Group Holdings Plc		3,444,539
	92,251	Imperial Brands Plc		2,029,714

Shares		Description	Value ($)
		United Kingdom — continued
	369,381	Inchcape Plc		3,110,028
	290,867	Indivior Plc *		152,345
	119,562	Intermediate Capital Group Plc		2,363,727
	39,779	International Personal Finance Plc		72,034
	736,102	JD Sports Fashion Plc		7,230,880
	336,597	John Laing Group Plc		1,654,250
	14,389	Jupiter Fund Management Plc		67,709
	4,916,962	Legal & General Group Plc		17,843,522
	5,935,222	Lloyds Banking Group Plc		4,679,057
	138,383	McBride Plc *		146,963
	18	Meggitt Plc		150
	260,644	Mondi Plc (b)		5,646,564
	311,363	Mondi Plc (b)		6,740,771
	56,323	Morgan Sindall Group Plc		1,042,417
	168,588	National Express Group Plc		1,010,195
	110,367	Next Plc		9,643,410
	16,412	Numis Corp Plc		51,380
	56,596	OneSavings Bank Plc		283,025
	11,980	Pagegroup Plc		74,498
	52,811	Paragon Banking Group Plc		339,217
	1,123,813	Persimmon Plc		37,162,452
	64,062	Pets at Home Group Plc		208,178
	375,082	Phoenix Group Holdings Plc		3,614,234
	308,381	Plus500 Ltd		3,069,712
	1,360,312	QinetiQ Group Plc		5,874,088
	17,051	Redrow Plc		145,654
	60,350	Royal Dutch Shell Plc – Class A		1,730,155
	63,500	Royal Dutch Shell Plc – Class B Sponsored ADR		3,658,235
	14,710	Safestore Holdings Plc (REIT)		143,878
	11,222	Savills Plc		143,497
	72,200	Smith & Nephew Plc Sponsored ADR		3,233,116
	106,607	Softcat Plc		1,551,737
	114,431	Spectris Plc		4,143,941
	526,299	Spirent Communications Plc		1,436,070
	189,169	Stock Spirits Group Plc		468,296
	1,149,290	Tate & Lyle Plc		10,866,398
	411,785	Vesuvius Plc		2,415,652
	20,921	WPP Plc		270,147
		Total United Kingdom		321,097,619
		United States — 12.9%
	10,100	Abercrombie & Fitch Co. – Class A (a)		161,297
	114,000	Acacia Communications, Inc. * (a)		7,596,960
	466,100	ACCO Brands Corp. (d)		4,264,815
	133,600	Acushnet Holdings Corp. (d)		4,017,352
	148,400	ADTRAN, Inc.		1,363,796
	847,091	Advanced Disposal Services, Inc. *		27,911,648
	64,400	AG Mortgage Investment Trust, Inc. (REIT)		1,002,708
	46,900	AgroFresh Solutions, Inc. *		111,153
	170,426	Allergan Plc		31,518,584

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	50,200	Alpha & Omega Semiconductor Ltd. * (a)		596,878
	1,368,800	Altaba, Inc. (e)		27,991,960
	28,800	American Vanguard Corp.		463,680
	41,500	Apollo Investment Corp.		700,520
	117,200	Archrock, Inc.		985,652
	14,700	Ares Commercial Real Estate Corp. (REIT) (a)		229,908
	19,100	Armstrong Flooring, Inc. *		76,591
	5,500	Artisan Partners Asset Management, Inc. – Class A (a)		163,185
	353	Ashford, Inc. *		8,317
	239,800	Avaya Holdings Corp. *		3,062,246
	5,100	Avista Corp. (a)		241,128
	121,100	AVX Corp. (a)		2,464,385
	357,434	Axalta Coating Systems Ltd. * (a) (c)		10,176,146
	10,500	Axcelis Technologies, Inc. *		225,120
	10,300	BancFirst Corp.		608,627
	26,100	BankFinancial Corp.		356,265
	42,600	Banner Corp.		2,327,238
	20,100	Bassett Furniture Industries, Inc.		305,922
	3,200	BCB Bancorp, Inc.		43,328
	9,830	Bel Fuse, Inc. – Class B (a)		162,883
	123,800	Benchmark Electronics, Inc.		4,267,386
	192,800	Bloomin’ Brands, Inc.		4,636,840
	35,700	Bonanza Creek Energy, Inc. *		623,322
	158,800	Brady Corp. – Class A (a)		9,051,600
	57,600	Braemar Hotels & Resorts, Inc. (REIT)		565,056
	3,200	Brightsphere Investment Group, Inc.		30,816
	78	Bristol-Myers Squibb Co.		4,441
	120,900	Builders FirstSource, Inc. *		3,072,069
	1,364,200	Caesars Entertainment Corp. * (a)		17,789,168
	43,000	California Resources Corp. * (a)		281,220
	38,800	Camden National Corp.		1,685,472
	47,800	Carpenter Technology Corp. (a)		2,512,846
	109,600	Cedar Realty Trust, Inc. (REIT)		292,632
	37,300	Central Garden & Pet Co. *		983,974
	8,900	Century Bancorp, Inc. – Class A (a)		776,525
	9,200	Citi Trends, Inc.		188,876
	16,000	Civista Bancshares, Inc.		346,880
	38,600	Clarus Corp. (a)		485,974
	8,600	CNB Financial Corp.		272,276
	39,700	CNO Financial Group, Inc. (a)		719,364
	12,900	Community Trust Bancorp, Inc.		579,726
	49,200	Computer Programs & Systems, Inc.		1,308,228
	113,700	Comtech Telecommunications Corp.		4,296,723
	12,400	Consolidated Water Co. Ltd.		206,832
	222,285	Contra Clementia Pharma (e)		300,085
	78,000	Core-Mark Holding Co., Inc. (a)		2,102,100
	355,300	CoreCivic, Inc. (REIT) (a)		5,382,795
	303,900	CorePoint Lodging, Inc. (REIT) (a) (d)		3,072,429
	11,000	CRA International, Inc.		563,970
	45,800	CSG Systems International, Inc. (a)		2,619,302

Shares		Description	Value ($)
		United States — continued
	59,800	Curo Group Holdings Corp. *		813,878
	54,500	Cushman & Wakefield Plc * (a)		1,056,755
	1,264,300	Cypress Semiconductor Corp. (a) (d)		29,647,835
	176,800	Dana, Inc. (a)		2,996,760
	922,700	Denbury Resources, Inc. * (a)		910,244
	191,200	Designer Brands, Inc. – Class A (a)		3,154,800
	157,500	DHI Group, Inc. * (a)		530,775
	49,100	Digi International, Inc. *		875,944
	84,000	Digital Realty Trust, Inc. (REIT) (a) (c)		10,159,800
	85,400	Dime Community Bancshares, Inc. (a)		1,721,664
	914,700	Discovery, Inc. – Class C * (d)		27,916,644
	4,047	Donegal Group, Inc. – Class A		59,208
	69,700	Donnelley Financial Solutions, Inc. * (a)		699,788
	12,200	Dril-Quip, Inc. * (a)		515,572
	41,100	DSP Group, Inc. *		582,387
	30,300	Ducommun, Inc. *		1,481,064
	39,666	Dynex Capital, Inc. (REIT)		669,959
	14,700	El Paso Electric Co.		996,954
	50,800	Ellington Financial, Inc.		919,988
	76,200	Ennis, Inc.		1,572,768
	251,725	Enova International, Inc. *		5,797,227
	7,400	Escalade, Inc.		83,990
	8,300	ESSA Bancorp, Inc. (a)		143,009
	143,800	Essent Group Ltd.		7,858,670
	187,800	Ethan Allen Interiors, Inc.		3,357,864
	51,300	Evolution Petroleum Corp.		267,273
	24,400	Farmers National Banc Corp.		374,296
	5,500	Federal Agricultural Mortgage Corp. – Class C (a)		456,775
	195,500	Federal Signal Corp.		6,439,770
	101,500	Federated Investors, Inc. – Class B (a)		3,402,280
	34,300	FedNat Holding Co.		511,413
	20,930	Financial Institutions, Inc.		681,899
	25,326	First Community Bankshares, Inc.		772,190
	66,500	First Defiance Financial Corp.		2,004,975
	10,300	First Financial Corp.		455,466
	7,900	First Financial Northwest, Inc.		116,367
	230,500	Flagstar Bancorp, Inc. (a)		8,588,430
	14,500	Flushing Financial Corp.		307,400
	13,100	FONAR Corp. *		260,297
	41,500	FTS International, Inc. *		43,160
	470,000	Fulton Financial Corp. (a)		8,065,200
	28,100	FutureFuel Corp.		315,282
	312,486	Gannett Co., Inc. (a)		1,987,411
	200,803	Genesee & Wyoming, Inc. – Class A * (a) (d)		22,379,494
	69,900	Genie Energy Ltd. – Class B (a)		565,491
	88,300	GEO Group, Inc. (REIT)		1,223,838
	79,497	Gibson Equity (f)		8,214,690
	125	Global Payments, Inc.		22,637
	26,600	Gorman-Rupp Co. (The)		984,466
	13,200	Great Southern Bancorp, Inc.		805,596
	20,500	Greif, Inc. – Class A (a)		884,575

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	137,100	Griffon Corp. (a)		2,909,262
	101,500	Group 1 Automotive, Inc.		10,463,635
	12,800	Hackett Group, Inc. (The)		196,224
	4,100	Hallmark Financial Services, Inc. * (a)		78,187
	116,600	Haverty Furniture Cos, Inc. (a)		2,344,826
	12,200	HealthStream, Inc. *		355,386
	69,700	HEICO Corp. – Class A		7,000,668
	210,536	Herman Miller, Inc. (d)		10,059,410
	93,600	Hersha Hospitality Trust (REIT)		1,327,248
	60,800	Hilltop Holdings, Inc. (a)		1,497,504
	9,600	HomeTrust Bancshares, Inc.		250,848
	312,000	HP, Inc. (c)		6,264,960
	5,700	Hurco Cos, Inc.		203,946
	49,100	Hyster-Yale Materials Handling, Inc. (a)		2,908,193
	148,337	IBERIABANK Corp.		10,827,118
	7,100	ICF International, Inc. (d)		637,083
	10,600	IDT Corp. – Class B *		75,578
	1	II-VI, Inc. * (a)		29
	1,200	Independence Holding Co.		50,712
	61,363	Independent Bank Corp.		1,371,463
	52,600	Information Services Group, Inc. *		129,396
	33,362	Ingles Markets, Inc. – Class A		1,482,607
	75,400	Innospec, Inc.		7,419,360
	123,000	Insight Enterprises, Inc. * (a)		8,067,570
	62,200	Inter Parfums, Inc.		4,384,478
	84,100	International Bancshares Corp. (d)		3,567,522
	42,057	INTL. FCStone, Inc. * (a) (d)		1,682,280
	306,700	Invesco Mortgage Capital, Inc. (REIT)		4,980,808
	191,200	Investors Bancorp, Inc. (a)		2,305,872
	94,500	iStar, Inc. (REIT) (a)		1,227,555
	37,300	Johnson Outdoors, Inc. – Class A (d)		2,409,580
	99,800	K12, Inc. * (d)		1,961,070
	35,200	Kelly Services, Inc. – Class A (a)		771,232
	38,500	Kimball Electronics, Inc. *		675,290
	67,800	Kimball International, Inc. – Class B		1,449,564
	76,400	Knoll, Inc.		2,105,584
	5,100	Koppers Holdings, Inc. *		188,955
	48,900	La-Z-Boy, Inc. (a)		1,545,240
	700	Lantheus Holdings, Inc. *		14,630
	695,000	Laredo Petroleum, Inc. * (a)		1,501,200
	181,300	Laureate Education, Inc. – Class A * (a)		3,145,555
	5,400	LB Foster Co. – Class A *		102,276
	12,800	LCNB Corp.		236,672
	17,600	Leaf Group Ltd. *		65,120
	775,820	Liberty Global Plc – Series C * (c)		16,680,130
	203,400	Liberty TripAdvisor Holdings, Inc. – Class A *		1,409,562
	31,500	Macatawa Bank Corp.		337,365
	52,600	Marchex, Inc. – Class B *		211,452
	62,400	Marcus Corp. (The)		1,963,104
	5,700	Marlin Business Services Corp. (a)		122,208
	82,900	Materion Corp. (d)		4,879,494
	52,100	Matrix Service Co. *		1,090,974
	66,500	Mellanox Technologies Ltd *		7,640,850

Shares		Description	Value ($)
		United States — continued
	500	Mercantile Bank Corp.		17,625
	30,800	Meridian Bancorp, Inc.		620,004
	340,600	Meritor, Inc. * (a)		8,600,150
	11,100	Miller Industries, Inc.		406,815
	66,100	Modine Manufacturing Co. *		490,462
	3,300	Monarch Casino & Resort, Inc. *		150,480
	97,200	Moog, Inc. – Class A		8,346,564
	28,300	Movado Group, Inc. (a)		553,265
	68,800	Mueller Industries, Inc. (a)		2,159,632
	9,700	MutualFirst Financial, Inc.		384,605
	100	NACCO Industries, Inc. – Class A		4,710
	4,500	National CineMedia, Inc. (a)		30,195
	106,200	National General Holdings Corp.		2,260,998
	36,400	Navient Corp.		522,340
	425,100	Newmark Group, Inc. – Class A (a)		5,547,555
	840	NexTier Oilfield Solutions, Inc. *		4,024
	5,600	Nicolet Bankshares, Inc. *		405,776
	668,376	Nielsen Holdings Plc (a) (c)		13,066,751
	7,337	Northrim BanCorp, Inc.		274,917
	275,300	Northwest Bancshares, Inc. (a)		4,580,992
	161,998	Occidental Petroleum Corp. (a) (c)		6,248,263
	863,400	Office Depot, Inc.		1,925,382
	3,300	Office Properties Income Trust (REIT) (a)		110,088
	228,000	OFG Bancorp (a)		4,890,600
	657	Oil-Dri Corp. of America		23,843
	19,100	Old Second Bancorp, Inc.		235,885
	22,600	Olympic Steel, Inc. (a)		378,776
	6,295	Onto Innovation, Inc. * (a)		211,260
	56,042	Oppenheimer Holdings, Inc. – Class A		1,597,757
	1,201	Orrstown Financial Services, Inc.		26,326
	3,600	Otter Tail Corp. (a)		176,976
	5,600	Park-Ohio Holdings Corp.		177,128
	80,200	Pattern Energy Group, Inc.– Class A		2,207,104
	36,000	PC Connection, Inc. (d)		1,775,520
	419,200	PDL BioPharma, Inc. * (a)		1,299,520
	1,650	Penns Woods Bancorp, Inc.		52,255
	200,500	PennyMac Financial Services, Inc. (a)		6,879,155
	409,500	PennyMac Mortgage Investment Trust (REIT) (a)		9,455,355
	10,600	Peoples Bancorp, Inc.		346,726
	107,000	Perspecta, Inc.		2,951,060
	145,600	PNM Resources, Inc. (a)		7,054,320
	40,100	PolyOne Corp. (a)		1,264,353
	126,600	Popular, Inc.		7,002,246
	84,800	Portland General Electric Co.		4,707,248
	1,900	Preformed Line Products Co.		136,610
	12,500	Premier Financial Bancorp, Inc.		226,875
	93,200	Prestige Consumer Healthcare, Inc. * (a)		3,520,164
	28	Prosperity Bancshares, Inc.		1,967
	15,700	Protective Insurance Corp. – Class B (a)		264,859
	32,800	Provident Financial Services, Inc.		797,696
	9,300	Quanex Building Products Corp.		180,978
	121,600	Radian Group, Inc. (a)		3,142,144
	125,100	Rambus, Inc. *		1,632,555

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	11,133	Republic Bancorp, Inc. – Class A		514,345
	25,800	Resources Connection, Inc. (a)		398,610
	4,200	REX American Resources Corp. *		385,770
	15,400	Riverview Bancorp, Inc.		111,342
	15,100	Rocky Brands, Inc. (a)		420,988
	64,800	RTI Surgical Holdings, Inc. * (a)		119,880
	21,800	Rush Enterprises, Inc. – Class A (a)		998,876
	6,400	Ryerson Holding Corp. *		68,224
	184,100	SandRidge Energy, Inc. *		605,689
	3,500	Sandy Spring Bancorp, Inc. (a) (d)		123,760
	298,600	Sanmina Corp. *		9,498,466
	72,900	Schweitzer-Mauduit International, Inc. (a)		3,197,394
	15,776	Seneca Foods Corp. – Class A * (a)		616,842
	9,400	Shiloh Industries, Inc. * (a)		35,814
	94,100	Shoe Carnival, Inc. (a)		3,340,550
	36,700	Sierra Bancorp		983,560
	11,000	SilverBow Resources, Inc. *		95,920
	150,500	Sonic Automotive, Inc. – Class A		4,928,875
	3,800	SP Plus Corp. *		166,630
	8,800	SpartanNash Co.		124,608
	136,200	Spok Holdings, Inc.		1,676,622
	85,900	SPX Corp. *		4,104,302
	5,800	Standard Motor Products, Inc.		292,146
	17,400	Star Group LP		163,386
	3,800	State Auto Financial Corp.		124,564
	90,352	Steelcase, Inc. – Class A (a)		1,637,178
	36,400	Stepan Co.		3,527,160
	54,900	Stoneridge, Inc. *		1,654,686
	262,900	Summit Hotel Properties, Inc. (REIT) (d)		3,186,348
	642,200	Sunstone Hotel Investors, Inc. (REIT)		8,990,800
	953,301	SunTrust Banks, Inc. (a)		67,531,843
	71,700	Sykes Enterprises, Inc. *		2,519,538
	19,500	Systemax, Inc. (a)		451,620
	13,000	Talos Energy, Inc. * (a)		301,600
	81,700	Tech Data Corp. * (a)		11,837,513
	667,900	TEGNA, Inc. (d)		10,252,265
	9,100	Telenav, Inc. * (a)		52,052
	188,300	Telephone & Data Systems, Inc.		4,464,593
	19,300	Territorial Bancorp, Inc. (a)		611,617
	1,888,723	The Oneida Group (f) (g)		2,870,859
	3,300	Timberland Bancorp, Inc.		97,795
	94,000	Timken Co. (The) (d)		4,943,460
	68,600	Tredegar Corp.		1,476,958
	75,100	Tribune Publishing Co.		940,252
	58,700	TriCo Bancshares		2,268,755
	446,524	TRU TAJ (f)		4,055,926
	5,869	TRU TAJ (e)		586,900
	34,600	TrustCo Bank Corp.		303,788
	220,000	Unisys Corp. *		2,503,600
	24,600	United Community Financial Corp.		273,306
	5,421	United Security Bancshares		56,595
	10,900	Unitil Corp.		665,336
	97,500	Universal Corp. (a) (d)		5,091,450

Shares		Description	Value ($)
		United States — continued
	99,500	Universal Forest Products, Inc. (a)		4,935,200
	51,000	Varex Imaging Corp. *		1,526,940
	60,657	Vectrus, Inc. *		3,089,868
	166,000	Vera Bradley, Inc. * (a)		1,832,640
	28,700	Veritiv Corp. *		526,358
	657,245	ViacomCBS, Inc. – Class B (a) (c)		26,539,553
	12,700	Village Super Market, Inc. – Class A		359,156
	21,900	Vishay Precision Group, Inc. *		753,579
	349,400	W&T Offshore, Inc. * (a)		1,495,432
	251,400	WABCO Holdings, Inc. * (d)		33,876,150
	65,000	Walgreens Boots Alliance, Inc. (a) (c)		3,874,000
	61,300	Walker & Dunlop, Inc.		4,023,732
	138,800	Warrior Met Coal, Inc. (a) (d)		2,849,564
	46,100	Washington Federal, Inc.		1,696,941
	57,025	Waterstone Financial, Inc. (a)		1,076,062
	27,100	Weis Markets, Inc. (a)		1,079,393
	92,800	WellCare Health Plans, Inc. * (a)		29,888,096
	9,400	West Bancorporation, Inc.		228,232
	107,060	Westmoreland and Mining Holdings (f)		892,167
	26,000	Westwood Holdings Group, Inc.		802,360
	17,100	Weyco Group, Inc.		419,805
	241,600	World Fuel Services Corp. (a) (d)		10,243,840
	690,200	Wright Medical Group NV * (a)		20,547,254
	418,400	Xenia Hotels & Resorts, Inc. (REIT) (a)		8,811,504
	74,300	Xperi Corp.		1,470,397
	863,500	Zayo Group Holdings, Inc. *		29,566,240
	116,500	Zumiez, Inc. * (a)		3,441,410
		Total United States		1,008,813,955
		Vietnam — 0.0%
	666,590	Kinh Bac City Development Share Holding Corp		441,046
	720,310	PetroVietnam Power Corp *		397,682
	86,510	Vinh Hoan Corp		284,027
		Total Vietnam		1,122,755
		TOTAL COMMON STOCKS (COST $5,384,517,611)		5,475,631,253
		PREFERRED STOCKS (h) — 1.2%
		Brazil — 0.2%
	692,200	Banco do Estado do Rio Grande do Sul SA – Class B		3,291,208
	19,200	Cia de Saneamento do Parana		83,898
	286,000	Cia Paranaense de Energia – Class B		4,272,740
	375,000	Telefonica Brasil SA		4,982,344
		Total Brazil		12,630,190
		Colombia — 0.0%
	28,090	Banco Davivienda SA		351,418
	31,696	Grupo de Inversiones Suramericana SA		244,587
		Total Colombia		596,005

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Germany — 0.1%
	183	Bayerische Motoren Werke AG		11,273
	2,261	Draegerwerk AG & Co KGaA		138,492
	45,730	Henkel AG & Co KGaA		4,826,850
	8,381	Sixt SE		572,143
		Total Germany		5,548,758
		Russia — 0.3%
	94,797	Bashneft PJSC		2,540,187
	1,908,240	Sberbank of Russia PJSC		6,297,629
	29,446,600	Surgutneftegas PJSC		16,525,307
		Total Russia		25,363,123
		South Korea — 0.6%
	18,637	Hyundai Motor Co (b)		1,283,965
	18,041	Hyundai Motor Co (b)		1,102,903
	88,537	LG Electronics Inc		2,093,267
	1,142,711	Samsung Electronics Co Ltd		39,618,877
	5,491	Samsung Electronics Co Ltd GDR (Registered)		4,767,389
		Total South Korea		48,866,401
		Sweden — 0.0%
	15,394	Akelius Residential Property AB		556,196
		Taiwan — 0.0%
	201,277	CTBC Financial Holding Co Ltd (e)		432,755
		TOTAL PREFERRED STOCKS (COST $96,368,214)		93,993,428
		RIGHTS/WARRANTS — 0.0%
		United States — 0.0%
	327,000	Bristol-Myers Squibb Co., Expires 03/31/21 * (a)		703,050
	2,616,810	Media General, Inc. CVR * (e)		130,841
		Total United States		833,891
		TOTAL RIGHTS/WARRANTS (COST $696,510)		833,891
		INVESTMENT FUNDS — 0.5%
		United States — 0.5%
	804,594	iShares Core MSCI Emerging Markets ETF		41,171,075
		TOTAL INVESTMENT FUNDS (COST $41,650,757)		41,171,075

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 19.4%
		Brazil — 0.1%
		Corporate Debt — 0.1%
	4,200,000	Oi SA, 10.00%, due 07/27/25		3,857,438
		Israel — 0.0%
		Corporate Debt — 0.0%
	1,120,000	Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36		1,002,400
		Italy — 0.1%
		Corporate Debt — 0.1%
	3,977,000	Intesa Sanpaolo SPA, 144A, 4.38%, due 01/12/48		3,861,273
	1,440,000	Intesa Sanpaolo SPA, 144A, 4.70%, due 09/23/49		1,476,967
		Total Italy		5,338,240
		Jamaica — 0.0%
		Corporate Debt — 0.0%
	2,877,000	Digicel Ltd., 144A, 8.25%, due 12/30/22		1,589,543
	3,769,000	Digicel Ltd., Reg S, 6.75%, due 03/01/23		1,893,922
		Total Jamaica		3,483,465
		Luxembourg — 0.2%
		Bank Loans — 0.2%
	2,700,000	Intelsat Jackson Holdings SA, 2017 Term Loan B5, 6.63%, due 01/02/24 (e)		2,693,250
	11,426,351	SkillSoft Corp., 1st Lien Term Loan, 6.95%, due 04/28/21 (e)		8,598,329
		Total Bank Loans		11,291,579
		Corporate Debt — 0.0%
	1,600,000	Intelsat Jackson Holdings SA, 5.50%, due 08/01/23		1,271,520
		Total Luxembourg		12,563,099
		Netherlands — 0.0%
		Bank Loans — 0.0%
	2,627,186	AP NMT Acquisition BV, 1st Lien Term Loan, 7.84%, due 08/13/21 (e)		2,630,470
		Puerto Rico — 0.2%
		Asset-Backed Securities — 0.0%
	1,040,000	Commonwealth of Puerto Rico – Class A, 5.00%, due 07/01/20 (i)		777,400
	790,000	Commonwealth of Puerto Rico – Class A, 5.38%, due 07/01/33 (i)		600,400
	3,720,000	Commonwealth of Puerto Rico – Class A, 5.00%, due 07/01/41 (i)		2,371,500
		Total Asset-Backed Securities		3,749,300

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Puerto Rico — continued
		Municipal Obligations — 0.2%
	1,500,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.05%, due 07/01/28		1,408,125
	3,320,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.10%, due 07/01/34		3,050,250
	524,834	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class A, 6.00%, due 07/01/44		531,394
	6,320,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class B, 5.35%, due 07/01/27		6,130,400
	1,518,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, Class B, 6.05%, due 07/01/28		1,425,023
		Total Municipal Obligations		12,545,192
		Total Puerto Rico		16,294,492
		Saint Lucia — 0.1%
		Corporate Debt — 0.1%
	1,430,000	Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, 144A, 8.75%, due 05/25/24		1,353,584
	2,920,000	Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, Reg S, 8.75%, due 05/25/24		2,763,963
		Total Saint Lucia		4,117,547
		United States — 18.7%
		Asset-Backed Securities — 0.4%
	141,455	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.75%, due 11/02/30		141,492
	517,279	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.89%, due 07/24/29		517,796
	331,094	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.89%, due 07/25/29		331,089
	982,740	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.60%, due 04/15/31		982,249
	447,000	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 04/20/31		446,995
	298,000	Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.51%, due 05/15/30		297,998
	486,605	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.50%, due 11/17/27		486,603
	570,523	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.69%, due 07/26/31		570,517

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	307,868	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.12%, due 01/18/25		307,967
	855,029	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.04%, due 04/25/26		855,492
	1,358,400	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.12%, due 07/20/25		1,358,878
	476,800	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.60%, due 04/15/30		476,795
	1,871,165	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.71%, due 10/25/37		1,864,283
	759,765	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 2.56%, due 04/25/36		759,678
	447,000	BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.52%, due 04/20/30		446,995
	298,000	BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 04/20/31		297,997
	312,710	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.60%, due 01/17/28		312,707
	898,470	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.70%, due 07/15/31		898,459
	452,656	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.55%, due 04/22/30		452,621
	7,063,382	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		141,268
	754,313	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 04/20/31		754,304
	331,534	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.15%, due 01/16/26		331,764
	863,604	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.50%, due 05/16/31		863,563
	109,777	GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.29%, due 05/25/26		109,681
	722,165	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 11/28/30		722,136
	260,575	Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.60%, due 01/18/31		260,564

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	594,111	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.59%, due 01/27/31		594,085
	254,790	Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.54%, due 02/05/31		254,788
	590,040	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.55%, due 01/15/31		590,033
	339,938	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.23%, due 05/25/29		338,840
	1,666,133	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 2.25%, due 07/25/29		1,640,283
	636,975	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.67%, due 04/20/31		636,967
	933,524	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 04/20/31		933,514
	603,045	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.92%, due 07/20/30		603,557
	267,872	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.96%, due 02/25/30		265,631
	870,588	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.43%, 2.14%, due 04/25/31		867,280
	2,494,722	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 1.98%, due 06/25/37		2,467,232
	1,311,200	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 04/19/30		1,311,148
	848,730	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.65%, due 01/16/31		846,839
	463,377	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.75%, due 10/12/30		462,371
	712,943	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 1.94%, due 03/26/29		711,747
	118,003	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.77%, due 07/19/30		118,009

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	356,516	Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.54%, due 01/25/31		356,512
	148,900	OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.57%, due 01/21/30		148,894
	235,758	Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.60%, due 07/15/30		235,756
	644,521	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.08%, due 05/15/26		645,439
	1,430,400	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.75%, due 04/17/28		1,430,381
	1,267,437	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.75%, due 01/17/30		1,267,420
	254,619	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.50%, due 11/20/30		254,619
	966,371	TICP CLO I-2 Ltd., Series 18-IA, Class X,, 144A, Variable Rate,, 3 mo. LIBOR + 0.63%, 2.57%, due 04/26/28		966,390
	1,856,356	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 2.96%, due 05/25/47		1,860,475
	652,048	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		650,771
	424,365	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.60%, due 10/15/30		424,360
	283,100	Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.63%, due 04/18/31		283,097
		Total Asset-Backed Securities		36,156,329
		Bank Loans — 1.0%
	7,875,770	21st Century Oncology Holdings, Inc., Exit Term Loan, 3 mo. LIBOR + 6.13%, 8.14%, due 01/16/23 (e)		7,403,224
	9,959,423	Communications Sales & Leasing, Inc., 2017 Term Loan B, 6.70%, due 10/24/22 (e)		9,610,844
	10,300,971	J.C. Penney Corp., Inc., 2016 Term Loan B, 6.16%, due 06/23/23 (e)		8,871,711
	4,167,357	Longview Power LLC, Term Loan B, 7.93%, due 04/13/21 (e)		2,271,210
	2,854,038	Murray Energy Corp., DIP Term Loan, 7.43%, due 07/29/20 (e) (j)		2,811,228
	7,435,313	Murray Energy Corp., 2018 Term Loan B2, Zero Coupon, due 10/17/22 (e)		1,561,416

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Bank Loans — continued
	1,400,000	Pacific Gas & Electric Company, Revolver, 0.50%, due 04/27/22 (e)		1,358,000
	11,819,670	Quorum Health Corp., Term Loan B, 8.68%, due 04/29/22 (e)		11,110,489
	7,790,000	Transform SR Holdings LLC, Term Loan, 9.18%, due 02/12/24 (e)		7,792,025
	2,947,871	Tronox Finance LLC, Term Loan B, 4.61%, due 09/23/24 (e)		2,939,588
	4,650,000	West Corporation, 2018 Term Loan B1, 5.43%, due 10/10/24 (e)		3,665,734
	8,750,970	Westmoreland Coal Co., PIK Term Loan, 7.50%, due 03/15/29 (e)		6,606,982
	5,656,988	Windstream Services LLC, Term Loan B7, 9.00%, due 02/17/24 (e)		5,317,569
	5,807,600	WP CPP Holdings LLC, 2018 2nd Lien Term Loan, 9.68%, due 04/30/26 (e)		5,647,891
		Total Bank Loans		76,967,911
		Corporate Debt — 0.5%
	500,000	CHS/Community Health Systems, Inc., 5.13%, due 08/01/21		496,250
	1,915,000	CHS/Community Health Systems, Inc., 144A, 8.13%, due 06/30/24		1,493,700
	634,000	Ferrellgas LP/Ferrellgas Finance Corp., 6.50%, due 05/01/21 (k)		546,825
	1,250,000	Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, due 01/15/22		1,062,500
	1,238,000	Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, due 06/15/23 (k)		1,055,395
	3,744,000	Frontier Communications Corp., 11.00%, due 09/15/25		1,722,240
	5,400,000	Frontier Communications Corp., 144A, 8.50%, due 04/01/26		5,332,500
	5,471,000	Frontier Communications Corp., 144A, 8.00%, due 04/01/27		5,648,807
	14,661,000	Murray Energy Corp., 144A, 11.25%, due 04/15/21		1,466
	1,640,000	NGL Energy Partners LP/NGL Energy Finance Corp., 144A, 7.50%, due 04/15/26		1,467,800
	4,200,000	Pacific Gas & Electric Co., 3.50%, due 10/01/20		4,144,875
	1,400,000	Pacific Gas & Electric Co., 6.05%, due 03/01/34		1,477,000
	5,330,000	Sprint Corp., 7.88%, due 09/15/23		5,859,669
	6,000,000	Tenet Healthcare Corp., 5.13%, due 05/01/25		6,165,000
		Total Corporate Debt		36,474,027
		U.S. Government — 15.1%
	21,805,945	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (l)		21,854,421
	147,833,575	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (l)		151,617,511
	174,735,445	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (l)		176,831,032

Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — continued
	92,403,969	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (l)		94,603,092
	198,929,620	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (d) (l)		223,149,840
	24,291,665	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (l)		25,500,481
	35,804,618	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (l)		37,987,309
	157,475,749	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (l)		189,747,214
	13,000,000	U.S. Treasury Note, 1.13%, due 04/30/20		12,971,562
	45,000,000	U.S. Treasury Note, 1.50%, due 05/31/20		44,961,328
	9,000,000	U.S. Treasury Note, 1.63%, due 11/30/20		8,992,969
	6,800,000	U.S. Treasury Note, 1.38%, due 01/31/21		6,773,969
	20,400,000	U.S. Treasury Note, 1.13%, due 02/28/21		20,254,969
	18,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.60%, due 04/30/20 (d)		17,997,695
	14,750,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.61%, due 07/31/20 (d)		14,745,914
	85,200,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 1.61%, due 10/31/20 (d)		85,146,491
	50,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 1.68%, due 01/31/21 (d)		49,979,379
		Total U.S. Government		1,183,115,176
		U.S. Government Agency — 1.7%
	6,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 1.68%, due 10/16/20		5,999,958
	39,250,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.14%, 1.97%, due 12/26/19		39,251,256
	8,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.21%, 1.69%, due 02/10/20		7,998,091
	64,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.21%, 1.70%, due 05/22/20		64,002,992
	8,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.14%, 1.83%, due 04/20/20		7,999,325
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.35%, 1.59%, due 02/21/20		5,000,163
		Total U.S. Government Agency		130,251,785
		Total United States		1,462,965,228
		TOTAL DEBT OBLIGATIONS (COST $1,507,159,578)		1,512,252,379

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.3%
		United States — 0.3%
		Affiliated Issuers — 0.3%
	5,320,302	GMO U.S. Treasury Fund (m)		26,601,510
		TOTAL MUTUAL FUNDS (COST $26,654,713)		26,601,510
		SHORT-TERM INVESTMENTS — 10.3%
		Foreign Government Obligations — 3.5%
CAD	100,500,000	Canadian Treasury Bill, Zero Coupon, due 12/27/19		75,565,286
JPY	2,590,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/09/19		23,670,686
JPY	3,000,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/23/19		27,419,575
JPY	4,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/08/20		39,305,096
JPY	6,265,200,000	Japan Treasury Discount Bill, Zero Coupon, due 01/14/20		57,270,462
JPY	1,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/03/20		10,056,474
JPY	1,700,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/25/20		15,544,443
JPY	2,365,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/02/20		21,625,909
		Total Foreign Government Obligations		270,457,931
		Money Market Funds — 0.1%
	123,135	SSgA USD Liquidity Fund – Class D shares, 1.71% (n)		123,135
	8,810,076	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (o)		8,810,076
		Total Money Market Funds		8,933,211

Shares / Par Value†		Description	Value ($)
		Repurchase Agreements — 6.0%
	140,038,483	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 11/27/19, maturing on 12/02/19 with a maturity value of $140,068,046 and an effective yield of 1.52%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $142,643,296.		140,038,483
	299,999,110	Nomura Securities International, Inc. Repurchase Agreement, dated 11/27/19, maturing on 12/02/19 with a maturity value of $300,063,276 and an effective yield of 1.54%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $305,544,397.		299,999,110
	29,999,384	Nomura Securities International, Inc. Repurchase Agreement, dated 11/29/19, maturing on 12/02/19 with a maturity value of $30,003,384 and an effective yield of 1.60%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $30,606,357.		29,999,384
		Total Repurchase Agreements		470,036,977
		U.S. Government — 0.7%
	501,900	U.S. Treasury Bill, 1.53%, due 02/27/20 (p)		500,014
	50,950,001	U.S. Treasury Bill, 1.55%, due 04/02/20 (n) (p)		50,681,939
		Total U.S. Government		51,181,953
		TOTAL SHORT-TERM INVESTMENTS (COST $803,813,189)		800,610,072

PURCHASED OPTIONS — 0.0%

Description	Exercise Price		Expiration Date	Number of Contracts			Notional Amount			Value ($)
Equity Options – Calls
Westshore Terminals Investment Corp. (c)		25.00	01/17/20			1,200		CAD	2,594,400	8,131
Equity Options – Puts
USA Compression Partners LP		15.00	03/20/20		USD	1,707		USD	2,806,308	119,490
Chevron Corp.		110.00	05/15/20		USD	450		USD	5,270,850	153,000
ConocoPhillips		55.00	05/15/20		USD	900		USD	5,394,600	238,500
PPG Industries, Inc.		110.00	05/15/20		USD	1,000		USD	12,884,000	205,000
Total Equity Options – Puts										715,990

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

PURCHASED OPTIONS — continued

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Value ($)
Index Options – Puts
S&P 500 Index		2,850.00		03/20/20		USD	125		USD	39,262,250	383,750
S&P 500 Index		3,050.00		04/17/20		USD	100		USD	31,409,800	776,000
S&P 500 Index		2,950.00		04/17/20		USD	100		USD	31,409,800	568,000

Total Index Options – Puts	1,727,750
TOTAL PURCHASED OPTIONS (COST $4,405,392)	2,451,871
TOTAL INVESTMENTS — 101.8% (Cost $7,865,265,964)	7,953,545,479

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (4.6)%
			Common Stocks — (4.1)%
			Austria — (0.1)%
	(32,016	)	ANDRITZ AG		(1,248,034	)
	(40,305	)	IMMOFINANZ AG		(1,090,048	)
	(7,332	)	Schoeller-Bleckmann Oilfield Equipment AG		(408,910	)
	(82,660	)	voestalpine AG		(2,187,321	)
			Total Austria		(4,934,313	)
			Brazil — (0.1)%
	(230,000	)	Pagseguro Digital Ltd – Class A *		(7,806,200	)
			Canada — (0.1)%
	(6,700	)	Agnico Eagle Mines Ltd		(399,320	)
	(248,200	)	AltaGas Ltd		(3,681,051	)
	(209,690	)	Westshore Terminals Investment Corp (c)		(3,413,007	)
			Total Canada		(7,493,378	)
			China — (0.0)%
	(8,635	)	Alibaba Group Holding Ltd Sponsored ADR *		(1,727,000	)
			Denmark — (0.2)%
	(2,417	)	AP Moller – Maersk A/S – Class A		(3,138,220	)
	(3,159	)	AP Moller – Maersk A/S – Class B		(4,415,133	)
	(3,359	)	Chr Hansen Holding A/S		(255,091	)
	(20,534	)	DFDS A/S		(866,604	)
	(3	)	DSV A/S		(327	)
	(733	)	FLSmidth & Co A/S		(26,925	)
	(55,000	)	Jyske Bank A/S (Registered) *		(1,824,831	)
	(35,013	)	Sydbank A/S		(659,322	)
			Total Denmark		(11,186,453	)
			Finland — (0.0)%
	(413,464	)	Nokia Oyj		(1,463,013	)
	(7,071	)	Nokian Renkaat Oyj		(191,343	)
	(14,602	)	Wartsila Oyj Abp		(146,984	)
			Total Finland		(1,801,340	)

Shares			Description	Value ($)
			France — (0.1)%
	(134,968	)	ArcelorMittal SA		(2,304,794	)
	(87,779	)	CGG SA *		(229,571	)
	(54,390	)	Electricite de France SA		(558,671	)
	(18,549	)	Iliad SA		(2,361,188	)
	(195,036	)	Peugeot SA		(4,706,360	)
			Total France		(10,160,584	)
			Germany — (0.1)%
	(1,217,750	)	Deutsche Bank AG (Registered)		(8,745,836	)
	(12,699	)	GEA Group AG		(407,703	)
	(43,200	)	QIAGEN NV *		(1,848,960	)
			Total Germany		(11,002,499	)
			Ireland — (0.3)%
	(220,403	)	Flutter Entertainment Plc		(25,088,913	)
			Israel — (0.0)%
	(24,500	)	Tower Semiconductor Ltd *		(537,040	)
	(2,600	)	Wix.com Ltd *		(314,314	)
			Total Israel		(851,354	)
			Italy — (0.1)%
	(1,187,157	)	Saipem SPA *		(5,424,568	)
			Japan — (0.2)%
	(800	)	CyberAgent Inc		(27,644	)
	(9,300	)	Hitachi Metals Ltd		(130,289	)
	(122,800	)	Japan Lifeline Co Ltd		(1,710,530	)
	(175,300	)	JGC Corp		(2,550,891	)
	(2,500	)	JINS Holdings Inc		(152,197	)
	(9,000	)	Kansai Paint Co Ltd		(227,038	)
	(49,700	)	Keikyu Corp		(1,023,285	)
	(300	)	Lawson Inc		(16,357	)
	(3,700	)	Maruichi Steel Tube Ltd		(106,562	)
	(222,700	)	Mitsui OSK Lines Ltd		(5,843,774	)
	(3,400	)	Nippon Gas Co Ltd		(107,512	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares			Description	Value ($)
			Japan — continued
	(9,000	)	Nippon Paint Holdings Co Ltd		(480,400	)
	(197,800	)	Nippon Yusen KK		(3,397,288	)
	(631,300	)	Orient Corp		(917,195	)
	(4,000	)	Shima Seiki Manufacturing Ltd		(100,964	)
	(300	)	Shochiku Co Ltd		(43,856	)
	(2,700	)	Toho Gas Co Ltd		(102,001	)
	(600	)	Tsuruha Holdings Inc		(71,617	)
	(15,300	)	Welcia Holdings Co Ltd		(939,228	)
	(37,100	)	Yamato Holdings Co Ltd		(635,174	)
			Total Japan		(18,583,802	)
			Luxembourg — (0.0)%
	(25,700	)	Intelsat SA *		(156,256	)
			Netherlands — (0.0)%
	(38,600	)	InterXion Holding NV *		(3,282,544	)
			Norway — (0.0)%
	(10,854	)	Borr Drilling Ltd *		(70,490	)
			Singapore — (0.0)%
	(241,500	)	Singapore Post Ltd		(163,340	)
			Spain — (0.0)%
	(32,444	)	Cellnex Telecom SA		(1,392,927	)
			Sweden — (0.1)%
	(27,000	)	Spotify Technology SA *		(3,848,850	)
			Switzerland — (0.1)%
	(6,606	)	Dufry AG (Registered)		(644,893	)
	(438	)	Swiss Prime Site AG (Registered)		(46,239	)
	(1,995	)	Vifor Pharma AG		(355,789	)
			Total Switzerland		(1,046,921	)
			United Kingdom — (0.1)%
	(34,672	)	Dechra Pharmaceuticals Plc		(1,270,547	)
	(52,700	)	Farfetch Ltd – Class A *		(524,892	)
	(22,032	)	Fresnillo Plc		(164,600	)
	(1,044,865	)	G4S Plc		(2,824,399	)
	(167,929	)	Just Eat Plc *		(1,658,676	)
	(1,393,320	)	Melrose Industries Plc		(4,132,377	)
	(36,537	)	Weir Group Plc (The)		(658,364	)
			Total United Kingdom		(11,233,855	)
			United States — (2.5)%
	(147,589	)	AbbVie, Inc.		(12,947,983	)
	(58,800	)	AK Steel Holding Corp. *		(162,288	)
	(1,234,539	)	BB&T Corp.		(67,553,974	)
	(313,680	)	Centene Corp. *		(18,968,229	)
	(1	)	CVS Health Corp.		(75	)
	(81,367	)	Digital Realty Trust, Inc. (REIT) (c)		(9,841,338	)

Shares / Par Value†			Description	Value ($)
			United States — continued
	(847,673	)	Discovery, Inc. – Class A *		(27,922,349	)
	(122,755	)	Eldorado Resorts, Inc. *		(6,568,620	)
	(1	)	Fidelity National Information Services, Inc.		(138	)
	(680,000	)	First Horizon National Corp.		(10,934,400	)
	(53,574	)	HEICO Corp.		(6,958,727	)
	(446,543	)	Liberty Global Plc – Class A * (c)		(10,069,545	)
	(74,400	)	NGL Energy Partners LP		(738,792	)
	(105,078	)	Seritage Growth Properties (REIT) *		(4,442,698	)
	(38,210	)	United States Steel Corp.		(501,315	)
	(689,718	)	Viacom, Inc. – Class B		(16,601,512	)
			Total United States		(194,211,983	)
			TOTAL COMMON STOCKS (PROCEEDS $296,781,680)		(321,467,570	)
			Debt Obligations — (0.5)%
			Corporate Debt — (0.5)%
	(3,600,000	)	AK Steel Corp., 6.38%, due 10/15/25		(3,064,500	)
	(4,200,000	)	Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.63%, due 01/15/22		(4,181,621	)
	(5,633,900	)	Sprint Capital Corp., 6.88%, due 11/15/28		(6,035,710	)
	(2,800,000	)	Talen Energy Supply LLC, 144A, 7.25%, due 05/15/27		(2,870,560	)
	(6,000,000	)	Tenet Healthcare Corp., 6.75%, due 06/15/23		(6,510,000	)
	(3,080,000	)	Tronox, Inc., 144A, 6.50%, due 04/15/26		(3,118,654	)
	(2,900,000	)	U.S. Concrete, Inc., 6.38%, due 06/01/24		(3,030,442	)
	(3,969,100	)	United States Steel Corp., 6.88%, due 08/15/25		(3,740,876	)
	(6,800,000	)	West Corp., 144A, 8.50%, due 10/15/25		(5,474,000	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $35,587,665)		(38,026,363	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $332,369,345)		(359,493,933	)
			Other Assets and Liabilities (net) — 2.8%		218,933,463
			TOTAL NET ASSETS — 100.0%		$7,812,985,009

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
02/06/2020	MSCI	AUD	152,620,050	USD	105,163,404		1,755,421
02/04/2020	CITI	BRL	6,758,134	USD	1,580,000		(11,621	)
02/04/2020	JPM	BRL	31,772,876	USD	7,918,474		435,582
12/04/2019	CITI	CAD	31,530,906	USD	23,690,000		(47,790	)
12/04/2019	MSCI	CAD	10,814,380	USD	8,140,000		(1,519	)
12/27/2019	JPM	CAD	100,500,000	USD	75,896,490		214,933
01/13/2020	JPM	CAD	20,104,346	USD	15,120,321		(21,013	)
01/13/2020	MSCI	CAD	8,888,659	USD	6,717,305		22,923
02/04/2020	MSCI	CHF	99,355,570	USD	100,288,014		388,162
02/18/2020	JPM	CHF	78,392,121	USD	79,875,814		978,424
02/18/2020	MSCI	CHF	12,067,978	USD	12,300,000		154,239
01/09/2020	MSCI	CLP	11,551,544,300	USD	16,130,063		1,727,973
01/09/2020	JPM	COP	55,258,180,500	USD	16,005,266		327,615
12/13/2019	BCLY	CZK	38,243,421	USD	1,620,000		(29,475	)
12/13/2019	BOA	CZK	232,702,224	USD	9,891,699		(144,969	)
01/21/2020	MSCI	EUR	2,873,759	USD	3,219,228		41,376
01/27/2020	MSCI	EUR	14,900,000	USD	16,582,761		99,883
12/13/2019	BOA	HUF	4,733,417,345	USD	15,725,639		126,474
01/09/2020	JPM	INR	267,660,000	USD	3,750,000		31,587
01/09/2020	MSCI	INR	512,436,070	USD	7,130,000		11,085
12/09/2019	CITI	JPY	534,433,475	USD	4,920,000		34,322
12/09/2019	GS	JPY	1,047,947,120	USD	9,680,000		99,888
12/09/2019	JPM	JPY	2,962,687,455	USD	27,849,705		765,440
12/09/2019	MSCI	JPY	565,741,031	USD	5,210,000		38,115
12/23/2019	MSCI	JPY	3,000,000,000	USD	27,956,242		496,589
01/08/2020	GS	JPY	4,300,000,000	USD	40,082,066		667,798
01/14/2020	GS	JPY	6,265,200,000	USD	58,722,836		1,275,823
02/03/2020	JPM	JPY	1,100,000,000	USD	10,201,887		104,308
02/25/2020	MSCI	JPY	1,700,000,000	USD	15,740,165		115,720
03/02/2020	CITI	JPY	2,365,000,000	USD	21,921,982		178,365
12/09/2019	BCLY	KRW	12,383,455,825	USD	10,379,208		(103,888	)
12/09/2019	MSCI	KRW	1,885,942,730	USD	1,610,000		13,473
02/21/2020	MSCI	MXN	42,313,525	USD	2,140,000		1,989
12/04/2019	JPM	NOK	151,504,669	USD	16,560,000		129,172
02/07/2020	GS	NZD	27,776,250	USD	17,501,521		(349,092	)
02/07/2020	MSCI	NZD	20,810,000	USD	13,177,264		(196,436	)
12/06/2019	CITI	PHP	53,715,500	USD	1,060,000		3,223
12/06/2019	JPM	PHP	112,770,320	USD	2,162,422		(56,174	)
12/13/2019	BOA	PLN	58,880,385	USD	14,939,987		(98,090	)
12/13/2019	CITI	PLN	10,999,363	USD	2,800,000		(9,242	)
01/30/2020	BOA	RON	66,041,391	USD	15,375,985		199,734
12/06/2019	JPM	SEK	107,483,101	USD	11,150,000		(75,580	)
02/18/2020	GS	SGD	2,976,531	USD	2,185,560		7,377
12/13/2019	MSCI	THB	118,862,850	USD	3,930,000		(4,150	)
01/21/2020	BCLY	TRY	36,563,671	USD	6,190,000		(88,821	)
01/21/2020	CITI	TRY	7,926,668	USD	1,350,000		(11,191	)
01/21/2020	MSCI	TRY	18,514,278	USD	3,180,000		674
01/10/2020	JPM	TWD	137,702,162	USD	4,496,397		(25,722	)
12/04/2019	BOA	USD	4,050,000	CAD	5,367,740		(8,940	)
12/04/2019	JPM	USD	157,819,171	CAD	210,222,963		445,499
12/04/2019	MSCI	USD	13,710,000	CAD	17,952,902		(194,302	)
01/13/2020	JPM	USD	3,870,860	CAD	5,145,963		4,757
12/13/2019	BCLY	USD	3,610,000	CZK	83,152,957		(23,534	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
12/13/2019	CITI	USD	5,510,000	CZK	126,789,813		(41,435	)
01/21/2020	BOA	USD	1,820,774	EUR	1,627,253		(21,330	)
01/21/2020	MSCI	USD	1,855,568	EUR	1,667,493		(11,626	)
02/18/2020	MSCI	USD	10,912,309	GBP	8,472,700		75,236
02/25/2020	JPM	USD	5,710,047	IDR	81,333,913,400		(3,719	)
02/28/2020	MSCI	USD	7,142,056	ILS	24,585,813		(31,760	)
01/09/2020	MSCI	USD	7,632,110	INR	547,145,950		(30,994	)
12/09/2019	BCLY	USD	9,760,000	JPY	1,044,983,290		(206,982	)
12/09/2019	BOA	USD	6,720,000	JPY	722,208,480		(117,722	)
12/09/2019	JPM	USD	37,963,650	JPY	4,065,911,616		(793,941	)
12/09/2019	MSCI	USD	10,740,000	JPY	1,162,157,746		(115,798	)
12/09/2019	BOA	USD	1,940,000	KRW	2,309,376,000		14,980
12/09/2019	JPM	USD	3,050,000	KRW	3,569,506,500		(28,269	)
12/09/2019	MSCI	USD	2,190,000	KRW	2,573,250,000		(11,640	)
02/21/2020	MSCI	USD	14,376,879	MXN	282,591,930		(98,120	)
12/04/2019	BCLY	USD	13,830,000	NOK	125,732,679		(194,170	)
12/04/2019	JPM	USD	51,454,364	NOK	467,156,489		(790,793	)
12/04/2019	MSCI	USD	9,420,000	NOK	84,974,052		(204,482	)
02/10/2020	BCLY	USD	40,119,120	NOK	364,632,648		(553,380	)
02/10/2020	MSCI	USD	31,630,000	NOK	288,707,180		(302,818	)
02/07/2020	MSCI	USD	59,119,972	NZD	92,190,000		126,613
01/10/2020	JPM	USD	2,905,164	PEN	9,850,648		(14,538	)
12/13/2019	CITI	USD	1,480,000	PLN	5,686,472		(27,672	)
12/13/2019	GS	USD	2,210,000	PLN	8,444,969		(53,151	)
12/13/2019	JPM	USD	2,840,000	PLN	11,075,534		(11,304	)
01/22/2020	MSCI	USD	14,728,021	RUB	949,374,668		(60,846	)
12/06/2019	BCLY	USD	37,803,641	SEK	362,471,704		53,056
02/03/2020	MSCI	USD	9,541,661	SEK	93,865,138		296,720
12/13/2019	BOA	USD	16,323,744	THB	498,690,394		182,026
01/21/2020	BCLY	USD	11,718,545	TRY	71,395,237		541,654
01/30/2020	GS	USD	2,010,000	ZAR	29,997,935		21,064
01/30/2020	MSCI	ZAR	86,226,527	USD	5,856,865		18,744
						$	6,999,997

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
484	Mini MSCI Emerging Markets	December 2019		25,119,600		$	(357,036	)
Sales
3,154	S&P 500 E-Mini	December 2019		495,761,490		$	(21,355,649	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Reverse Repurchase Agreements ^(q)

Face Value			Description	Value ($)
USD	(488,158	)	Barclays Bank PLC, 0.75%, dated 10/31/19 (collateral: Ferrellgas LP/Ferrellgas Finance Corp., 6.50%, due 05/01/21), to be repurchased on demand at face value plus accrued interest.		(488,158	)
USD	(868,833	)	Citigroup Global Markets, Inc., (1.75)%, dated 11/13/19 (collateral: Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, due 06/15/23), to be repurchased on demand at face value plus accrued interest.		(868,833	)
				$	(1,356,991	)
			Average balance outstanding	$	(6,278,785	)
			Average interest rate (net)		(0.74	)%
			Maximum balance outstanding	$	(75,732,392	)

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.

Written Options

Equity Options

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
Digital Realty Trust, Inc. (c)	120.00		04/17/20		(1,400	)		USD	(16,933,000	)		(966,000	)
Axalta Coating Systems Ltd. (c)	30.00		04/17/20		(4,969	)		USD	(14,146,743	)		(720,505	)
Liberty Global Plc (c)	27.50		04/17/20		(2,500	)		USD	(5,375,000	)		(87,500	)
Occidental Petroleum Corp. (c)	45.00		05/15/20		(2,700	)		USD	(10,413,900	)		(337,500	)
Nielsen Holdings Plc (c)	21.00		05/15/20		(4,000	)		USD	(7,820,000	)		(540,000	)
HP, Inc. (c)	21.00		05/15/20		(5,200	)		USD	(10,441,600	)		(462,800	)
CBS Corp. (c)	40.00		06/19/20		(1,400	)		USD	(5,653,200	)		(511,000	)
Walgreens Boots Alliance, Inc. (c)	65.00		06/19/20		(1,300	)		USD	(7,748,000	)		(313,300	)
Total Equity Options – Calls											$	(3,938,605	)
Equity Options – Puts
CBS Corp. (c)	37.50		03/20/20		(2,700	)		USD	(10,902,600	)		(378,000	)
Digital Realty Trust, Inc. (c)	115.00		04/17/20		(1,400	)		USD	(16,933,000	)		(637,000	)
Liberty Global Plc (c)	22.50		04/17/20		(2,500	)		USD	(5,375,000	)		(562,500	)
Axalta Coating Systems Ltd. (c)	27.00		04/17/20		(2,500	)		USD	(7,117,500	)		(325,000	)
Liberty Global Plc (c)	25.00		04/17/20		(2,000	)		USD	(4,300,000	)		(820,000	)
HP, Inc. (c)	19.00		05/15/20		(5,200	)		USD	(10,441,600	)		(540,800	)
Occidental Petroleum Corp. (c)	40.00		05/15/20		(2,700	)		USD	(10,413,900	)		(1,417,500	)
Nielsen Holdings Plc (c)	19.00		05/15/20		(4,000	)		USD	(7,820,000	)		(520,000	)
Walgreens Boots Alliance, Inc. (c)	55.00		06/19/20		(1,300	)		USD	(7,748,000	)		(357,500	)
CBS Corp. (c)	35.00		06/19/20		(1,400	)		USD	(5,653,200	)		(219,800	)
Total Equity Options – Puts											$	(5,778,100	)
TOTAL WRITTEN OPTIONS (Premiums $9,316,985)											$	(9,716,705	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Swap Contracts

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
United States Steel Corp.	CITI	USD	800,000		5.00%		5.52%		N/A		06/20/2024		Quarterly		10,000			16,281			6,281
United States Steel Corp.	MORD	USD	800,000		5.00%		5.52%		N/A		06/20/2024		Quarterly		8,000			16,281			8,281
Sell Protection^:
J.C. Penney Corporation, Inc.	GS	USD	377,000		5.00%		20.49%		377,000 USD		06/20/2020		Quarterly		(65,975	)		(31,009	)		34,966
J.C. Penney Corporation, Inc.	MORD	USD	625,000		5.00%		20.49%		625,000 USD		06/20/2020		Quarterly		(118,750	)		(51,408	)		67,342
J.C. Penney Corporation, Inc.	CITI	USD	625,000		5.00%		20.49%		625,000 USD		06/20/2020		Quarterly		(190,626	)		(51,408	)		139,218
														$	(357,351	)	$	(101,263	)	$	256,088

^ 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 November 30, 2019, 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) ($)
1.30%	6 Month AUD BBSW	AUD	23,260,000		12/18/2029		Semi-Annually		—			(142,604	)		(142,604	)
1.35%	6 Month AUD BBSW	AUD	412,330,000		12/18/2029		Semi-Annually		456,472			(3,871,837	)		(4,328,309	)
1.45%	6 Month AUD BBSW	AUD	263,280,000		12/18/2029		Semi-Annually		(269,049	)		(4,188,447	)		(3,919,398	)
(0.25)%	6 Month CHF LIBOR	CHF	23,050,000		12/18/2029		Semi-Annually		—			(11,842	)		(11,842	)
6 Month CHF LIBOR	(0.08)%	CHF	277,310,000		12/18/2029		Semi-Annually		69,289			5,066,359			4,997,070
3 Month NZD Bank Bill Rate	1.35%	NZD	115,390,000		12/18/2029		Quarterly		—			(970,082	)		(970,082	)
3 Month NZD Bank Bill Rate	1.15%	NZD	21,900,000		12/18/2029		Quarterly		(8,204	)		(450,117	)		(441,913	)
3 Month NZD Bank Bill Rate	1.45%	NZD	48,670,000		12/18/2029		Quarterly		(444	)		(101,764	)		(101,320	)
3 Month NZD Bank Bill Rate	1.39%	NZD	24,300,000		12/18/2029		Quarterly		—			(145,259	)		(145,259	)
3 Month NZD Bank Bill Rate	1.48%	NZD	40,000,000		12/18/2029		Quarterly		—			(26,548	)		(26,548	)
1.33%	3 Month NZD Bank Bill Rate	NZD	23,290,000		12/18/2029		Quarterly		—			224,087			224,087
3 Month NZD Bank Bill Rate	1.54%	NZD	41,970,000		12/18/2029		Quarterly		(1,303	)		125,079			126,382
1.48%	3 Month NZD Bank Bill Rate	NZD	103,470,000		12/18/2029		Quarterly		—			84,383			84,383
3 Month SEK STIBOR	0.62%	SEK	1,357,730,000		12/18/2029		Quarterly		64,208			658,796			594,588
6 Month GBP LIBOR	0.88%	GBP	19,590,000		12/19/2029		Semi-Annually		—			(87,037	)		(87,037	)
1.00%	6 Month GBP LIBOR	GBP	24,390,000		12/19/2029		Semi-Annually		—			(258,210	)		(258,210	)
0.90%	6 Month GBP LIBOR	GBP	43,530,000		12/19/2029		Semi-Annually		(26,557	)		84,361			110,918
0.84%	6 Month GBP LIBOR	GBP	31,670,000		12/19/2029		Semi-Annually		—			319,205			319,205
0.88%	6 Month GBP LIBOR	GBP	9,990,000		12/19/2029		Semi-Annually		—			50,016			50,016

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.87%	6 Month GBP LIBOR	GBP	9,980,000		12/19/2029		Semi-Annually		—			56,840			56,840
1.72%	3 Month USD LIBOR	USD	155,802,000		12/19/2029		Quarterly		115,336			(242,420	)		(357,756	)
1.72%	3 Month USD LIBOR	USD	26,498,000		12/19/2029		Quarterly		—			(38,767	)		(38,767	)
1.71%	3 Month USD LIBOR	USD	16,090,000		12/19/2029		Quarterly		—			(3,354	)		(3,354	)
1.77%	3 Month USD LIBOR	USD	16,530,000		12/19/2029		Quarterly		—			(100,992	)		(100,992	)
1.78%	3 Month USD LIBOR	USD	11,580,000		12/19/2029		Quarterly		—			(84,739	)		(84,739	)
1.68%	3 Month USD LIBOR	USD	26,195,000		12/19/2029		Quarterly		—			57,833			57,833
1.69%	3 Month USD LIBOR	USD	26,195,000		12/19/2029		Quarterly		—			31,055			31,055
3 Month USD LIBOR	1.71%	USD	9,880,000		12/19/2029		Quarterly		—			8,487			8,487
3 Month CAD LIBOR	1.88%	CAD	229,190,000		03/18/2030		Semi-Annually		—			(538,702	)		(538,702	)
3 Month CAD LIBOR	1.91%	CAD	235,960,000		03/18/2030		Semi-Annually		(71,331	)		(64,336	)		6,995
6 Month CHF LIBOR	(0.21)%	CHF	19,850,000		03/18/2030		Semi-Annually		—			57,464			57,464
6 Month CHF LIBOR	(0.18)%	CHF	149,400,000		03/18/2030		Semi-Annually		—			832,598			832,598
3 Month NZD Bank Bill Rate	1.50%	NZD	103,910,000		03/18/2030		Quarterly		—			(93,728	)		(93,728	)
6 Month EURIBOR	0.11%	EUR	43,050,000		03/20/2030		Semi-Annually		53,257			113,847			60,590
0.90%	6 Month GBP LIBOR	GBP	255,370,000		03/20/2030		Semi-Annually		—			660,903			660,903
1.65%	3 Month USD LIBOR	USD	26,320,000		03/20/2030		Quarterly		—			133,311			133,311
								$	381,674		$	(2,856,161	)	$	(3,237,835	)

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 (r)		1 Month Federal Funds Rate minus 0.90%	MORD		USD	3,745,476		05/18/2020		Monthly		—		111,501			111,501
Total Return on Equity Basket (r)		1 Month Federal Funds Rate minus 1.00%	MORD		USD	23,590,262		05/18/2020		Monthly		—		(60,326	)		(60,326	)
Total Return on Equity Basket (r)		1 Month Federal Funds Rate minus 1.00%	MORD		USD	5,914,026		05/18/2020		Monthly		—		(380,286	)		(380,286	)
Total Return on Equity Basket (r)		1 Month Federal Funds Rate minus – 1.75	MORD		USD	15,272,972		05/18/2020		Monthly		—		461,734			461,734
Total Return on Equity Basket (r)		1 Month Federal Funds Rate minus 0.40%	MORD		USD	15,258,530		05/18/2020		Monthly		—		(84,898	)		(84,898	)
Depreciation of Total Return on MSCI China A Index + (1 Month USD LIBOR minus 3.50%)		Appreciation on Total Return on MSCI China A Index	GS		USD	25,748,175		08/15/2020		Monthly		—		(354,323	)		(354,323	)
Depreciation of Total Return on CSI 500 Net Total Return Index + (1 Month USD LIBOR minus 9.50%)		Appreciation on Total Return on CSI 500 Index	GS		USD	10,899,103		08/20/2020		Monthly		—		(101,469	)		(101,469	)
											$	—	$	(408,067	)	$	(408,067	)

As of November 30, 2019, 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.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

(c) All or a portion of this investment is held in connection with one or more holdings within the Fund.

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

(e) Investment valued using significant unobservable inputs.

(f) 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.

(g) Affiliated company.

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

(i) Security is in default.

(j) Amount reflects funded portion of the loan. Stand by financing commitment has a Par Value of $2,140,529 and Value of $2,108,421.

(k) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements.

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

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

(n) 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.

(o) The rate disclosed is the 7 day net yield as of November 30, 2019.

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

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

(r) 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.

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

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

ADR - American Depositary Receipt

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

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

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

CLO - Collateralized Loan Obligation

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

ETF- Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

Portfolio Abbreviations — continued:

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

GDR - Global Depositary Receipt

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OJSC - Open Joint-Stock Company

PIK - Payment In Kind

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

REIT - Real Estate Investment Trust

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

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

SOFR - Secured Overnight Financing Rate

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,233,279	GMO Emerging Markets Fund, Class VI		40,809,209
	17,025,938	GMO International Equity Fund, Class IV		371,676,221
		TOTAL MUTUAL FUNDS (COST $397,006,014)		412,485,430
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	161,056	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (a)		161,056
		TOTAL SHORT-TERM INVESTMENTS (COST $161,056)		161,056
		TOTAL INVESTMENTS — 100.0% (Cost $397,167,070)		412,646,486
		Other Assets and Liabilities (net) — (0.0%)		(60,369	)
		TOTAL NET ASSETS — 100.0%		$412,586,117

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2019.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	9,614,000	GMO Emerging Markets Fund, Class VI		318,127,264
	27,182,562	GMO International Equity Fund, Class IV		593,395,337
		TOTAL MUTUAL FUNDS (COST $907,171,771)		911,522,601
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	426,940	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (a)		426,940
		TOTAL SHORT-TERM INVESTMENTS (COST $426,940)		426,940
		TOTAL INVESTMENTS — 100.0% (Cost $907,598,711)		911,949,541
		Other Assets and Liabilities (net) — (0.0%)		(150,099	)
		TOTAL NET ASSETS — 100.0%		$911,799,442

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2019.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 74.5%
		United States — 74.5%
		U.S. Government — 58.8%
	11,500,000	U.S. Treasury Note, 1.38%, due 02/29/20 (a)		11,491,016
	30,000,000	U.S. Treasury Note, 1.38%, due 03/31/20 (a)		29,970,703
	21,000,000	U.S. Treasury Note, 1.38%, due 04/30/20 (a)		20,974,570
	25,500,000	U.S. Treasury Note, 1.50%, due 05/31/20 (a)		25,478,086
	25,000,000	U.S. Treasury Note, 1.38%, due 10/31/20		24,925,781
	25,000,000	U.S. Treasury Note, 1.75%, due 12/31/20		25,007,812
	77,000,000	U.S. Treasury Note, 1.38%, due 01/31/21 (a)		76,705,235
	25,000,000	U.S. Treasury Note, 1.13%, due 02/28/21		24,822,265
	106,697,400	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.60%, due 04/30/20 (b)		106,683,740
	110,258,800	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.61%, due 07/31/20 (a) (b)		110,228,254
	94,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 1.68%, due 01/31/21 (a)		93,961,233
		Total U.S. Government		550,248,695
		U.S. Government Agency — 15.7%
	15,500,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.07%, 1.64%, due 01/23/20		15,498,135
	30,530,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 1.73%, due 02/07/20		30,525,840
	20,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.17%, 1.92%, due 04/03/20		19,994,604
	27,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.24%, 1.75%, due 04/13/20		27,484,895
	44,410,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.23%, 1.67%, due 05/04/20		44,393,831
	9,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 1.68%, due 10/16/20		8,999,937
		Total U.S. Government Agency		146,897,242
		Total United States		697,145,937
		TOTAL DEBT OBLIGATIONS (COST $696,829,613)		697,145,937

	Par Value† / Shares		Description	Value ($)
			SHORT-TERM INVESTMENTS — 24.8%
			Foreign Government Obligations — 24.0%
JPY		5,931,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/09/19		54,204,956
JPY		3,400,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/16/19		31,074,380
JPY		4,806,800,000	Japan Treasury Discount Bill, Zero Coupon, due 01/08/20		43,937,612
JPY		7,533,200,000	Japan Treasury Discount Bill, Zero Coupon, due 01/14/20		68,861,305
JPY		1,205,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/03/20		11,016,410
JPY		1,646,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/25/20		15,050,678
			Total Foreign Government Obligations		224,145,341
			Money Market Funds — 0.8%
		3,474,144	SSgA USD Liquidity Fund – Class D shares, 1.71% (a)		3,474,144
		3,904,881	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (c)		3,904,881
			Total Money Market Funds		7,379,025
			TOTAL SHORT-TERM INVESTMENTS (COST $235,250,943)		231,524,366
			TOTAL INVESTMENTS — 99.3% (Cost $932,080,556)		928,670,303
			Other Assets and Liabilities (net) — 0.7%		6,526,169
			TOTAL NET ASSETS — 100.0%		$935,196,472

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

A summary of outstanding financial instruments at November 30, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Apprecia- tion (Deprecia- tion) ($)
01/21/2020	BOA	AUD	4,416,131	USD	3,028,066		37,063
01/21/2020	UBS	AUD	4,560,562	USD	3,139,664		50,840
12/09/2019	SSB	CAD	12,453,237	USD	9,367,304		(8,015	)
12/19/2019	BCLY	CHF	4,038,864	USD	4,084,393		38,859
12/19/2019	BOA	CHF	104,529,123	USD	106,026,880		1,325,130
12/19/2019	MSCI	CHF	18,213,364	USD	18,410,290		166,848
12/19/2019	UBS	CHF	7,793,281	USD	7,908,636		102,485
01/28/2020	BCLY	CHF	69,312,191	USD	70,554,300		897,013
01/28/2020	MSCI	CHF	6,140,116	USD	6,266,947		96,260
01/28/2020	UBS	CHF	10,945,764	USD	11,154,134		153,872
02/28/2020	MSCI	CHF	30,297,785	USD	30,565,209		51,174
12/18/2019	BCLY	EUR	71,806,283	USD	79,769,938		565,553
12/18/2019	BOA	EUR	2,503,087	USD	2,756,339		(4,637	)
12/18/2019	MSCI	EUR	24,568,845	USD	27,112,285		12,146
12/18/2019	UBS	EUR	107,802	USD	119,291		382
01/22/2020	JPM	EUR	107,324,342	USD	120,147,465		1,458,932
01/22/2020	UBS	EUR	6,995,442	USD	7,827,725		91,561
01/28/2020	BCLY	EUR	11,382,182	USD	12,732,994		140,853
01/28/2020	BOA	EUR	4,400,093	USD	4,893,027		25,191
01/28/2020	MSCI	EUR	6,707,306	USD	7,437,299		16,987
01/28/2020	UBS	EUR	85,076,687	USD	95,332,695		1,212,110
02/25/2020	BCLY	EUR	53,421,298	USD	59,556,574		353,154
02/25/2020	UBS	EUR	2,540,291	USD	2,828,919		13,677
02/18/2020	BOA	GBP	96,103,031	USD	123,759,657		(868,425	)
12/09/2019	JPM	JPY	5,931,000,000	USD	55,765,859		1,545,905
12/16/2019	BOA	JPY	3,400,000,000	USD	31,646,365		545,536
01/08/2020	GS	JPY	4,806,800,000	USD	44,624,630		564,978
01/14/2020	GS	JPY	5,313,200,000	USD	50,009,977		1,292,064
01/14/2020	MSCI	JPY	2,220,000,000	USD	20,906,437		550,763
02/03/2020	JPM	JPY	1,205,000,000	USD	11,175,704		114,264
02/25/2020	MSCI	JPY	1,646,000,000	USD	15,240,183		112,044
01/21/2020	JPM	USD	42,035,428	AUD	61,872,145		(130,025	)
12/09/2019	MSCI	USD	121,615,248	CAD	161,961,432		316,117
12/09/2019	UBS	USD	2,475,152	CAD	3,253,266		(25,957	)
01/31/2020	JPM	USD	85,246,301	CAD	112,000,000		(891,702	)
02/05/2020	BCLY	USD	153,111	CAD	201,015		(1,711	)
02/05/2020	BOA	USD	85,470,184	CAD	112,307,394		(883,073	)
12/18/2019	BOA	USD	11,785,627	EUR	10,678,472		(6,967	)
02/18/2020	BCLY	USD	8,488,034	GBP	6,553,742		10,972
02/18/2020	UBS	USD	14,073,449	GBP	10,880,376		36,412
01/27/2020	JPM	USD	30,697,526	JPY	3,320,256,626		(230,929	)
						$	8,847,704

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
803	CAC40 10 Euro	December 2019		52,167,661		(102,197	)
181	Corn (a)	March 2020		3,450,313		(54,792	)
367	DAX Index	December 2019		133,751,216		8,743,626
350	Euro Bund	December 2019		65,969,705		297,628
1,347	FTSE 100 Index	December 2019		128,299,680		1,285,016
71	FTSE/JSE TOP 40	December 2019		2,385,879		(81,165	)
475	Hang Seng Index	December 2019		79,901,133		(2,058,882	)
2,507	Mini MSCI Emerging Markets	December 2019		130,113,300		1,353,814
784	MSCI Singapore	December 2019		21,110,385		(105,879	)
165	MSCI Taiwan Index	December 2019		7,186,743		(57,876	)
2,381	U.S. Treasury Note 10 Yr. (CBT)	March 2020		308,004,672		(479,997	)
			$	932,340,687	$	8,739,296
Sales
770	Australian Government Bond 10 Yr.	December 2019		76,588,588		(229,887	)
1,182	Canadian Government Bond 10 Yr.	March 2020		124,642,581		(53,437	)
890	Gilt Long Bond	March 2020		152,811,633		18,834
1,489	S&P 500 E-Mini	December 2019		234,048,465		(9,992,969	)
361	Silver (a)	March 2020		30,876,330		(83,042	)
913	Soybean (a)	January 2020		40,023,637		2,574,248
703	TOPIX Index	December 2019		109,125,990		(10,253,684	)
			$	768,117,224	$	(18,019,937	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2019, 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.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Notes to Schedule of Investments:

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

(a) All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

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

(c) The rate disclosed is the 7 day net yield as of November 30, 2019.

The rates shown on variable rate notes are the current interest rates at November 30, 2019, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

SOFR - Secured Overnight Financing Rate

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBS - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

USD - United States Dollar

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares / Par Value†		Description	Value ($)
		COMMON STOCKS — 90.9%
		Netherlands — 3.5%
	141,000	InterXion Holding NV *		11,990,640
		Sweden — 1.3%
	32,000	Spotify Technology SA *		4,561,600
		United Kingdom — 5.1%
	709,850	Blue Prism Group Plc *		10,383,214
	640,000	Burford Capital Ltd		6,824,008
		Total United Kingdom		17,207,222
		United States — 81.0%
	487,000	Ally Financial, Inc.		15,506,080
	2,325,000	At Home Group, Inc. *		19,948,500
	73,000	Berkshire Hathaway, Inc. – Class B *		16,081,900
	417,000	Cardlytics, Inc. *		23,372,850
	756,350	Carvana Co. *		72,095,282
	33,500	Credit Acceptance Corp. *		14,420,410
	743,000	Eventbrite, Inc. – Class A *		15,981,930
	296,000	Fastly, Inc. – Class A *		6,041,360
	450,000	General Motors Co.		16,200,000
	311,772	Interactive Brokers Group, Inc. – Class A		15,096,000
	823,163	Redfin Corp. *		15,870,583
	526,724	Wayfair, Inc. – Class A *		44,729,403
		Total United States		275,344,298
		TOTAL COMMON STOCKS (COST $236,413,399)		309,103,760
		DEBT OBLIGATIONS — 6.2%
		United States — 6.2%
		U.S. Government — 6.2%
	21,000,000	U.S. Treasury Note, 1.38%, due 04/30/20		20,974,570
		TOTAL DEBT OBLIGATIONS (COST $20,952,863)		20,974,570

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.5%
		Money Market Funds — 3.5%
	36,443	SSgA USD Liquidity Fund – Class D shares, 1.71% (a)		36,443
	11,921,127	State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (b)		11,921,127
		TOTAL SHORT-TERM INVESTMENTS (COST $11,957,570)		11,957,570
		TOTAL INVESTMENTS — 100.6% (Cost $269,323,832)		342,035,900
		Other Assets and Liabilities (net) — (0.6%)		(1,936,230	)
		TOTAL NET ASSETS — 100.0%		$340,099,670

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) All or a portion of this security is owned by GMO Special Opportunities SPC Ltd., which is a 100% owned subsidiary of GMO Special Opportunities Fund.

(b) The rate disclosed is the 7 day net yield as of November 30, 2019.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 9.0%
		Australia — 0.0%
	9,410	Appen Ltd		155,936
	12,140	Beach Energy Ltd		19,687
	145	Brickworks Ltd		1,850
	28,490	Sandfire Resources NL		107,714
		Total Australia		285,187
		Belgium — 0.0%
	4,800	AGFA-Gevaert NV *		24,579
	700	Orange Belgium SA		15,536
		Total Belgium		40,115
		Brazil — 0.2%
	22,700	Cia de Saneamento Basico do Estado de Sao Paulo		307,764
	132,100	JBS SA		888,633
	26,000	Petrobras Distribuidora SA		174,656
		Total Brazil		1,371,053
		Canada — 0.0%
	1,900	Canfor Pulp Products Inc		11,958
	1,800	Enerflex Ltd		16,261
	2,100	Pretium Resources Inc *		21,043
		Total Canada		49,262
		China — 0.4%
	56,000	Agile Group Holdings Ltd		78,575
	876,000	Agricultural Bank of China Ltd – Class H		354,676
	379,500	BAIC Motor Corp Ltd – Class H		212,720
	364,000	Bank of Communications Co Ltd – Class H		238,940
	85,000	China Lesso Group Holdings Ltd		89,042
	28,000	China Lilang Ltd		22,603
	1,092,000	China Petroleum & Chemical Corp – Class H		612,398
	148,000	China Resources Pharmaceutical Group Ltd		129,285
	73,000	China SCE Group Holdings Ltd		34,802
	34,000	China Shineway Pharmaceutical Group Ltd		34,877
	71,000	Chongqing Rural Commercial Bank Co Ltd – Class H		35,279
	30,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		90,406
	268,400	Guangzhou R&F Properties Co Ltd – Class H		451,108
	7,000	JNBY Design Ltd		9,740
	2,500	Kingboard Holdings Ltd		6,882
	24,000	Powerlong Real Estate Holdings Ltd		13,980
	17,000	Red Star Macalline Group Corp Ltd – Class H		14,019
	71,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		128,232
	205,000	Shimao Property Holdings Ltd		742,754
	126,000	Tianneng Power International Ltd		82,887
	16,617	Yuzhou Properties Co Ltd		7,652
		Total China		3,390,857

Shares		Description	Value ($)
		France — 0.3%
	1,868	Coface SA		20,641
	3,497	L’Oreal SA		997,075
	1,909	Metropole Television SA		33,149
	5,286	Sanofi		492,754
	2,000	Sanofi ADR		93,360
	13,300	STMicroelectronics NV – NY Shares		324,121
		Total France		1,961,100
		Germany — 0.1%
	12,933	CECONOMY AG *		62,109
	23,021	Deutz AG		137,598
	1,031	Dialog Semiconductor Plc *		52,417
	1,600	RHOEN-KLINIKUM AG		32,771
	644	Volkswagen AG		122,574
		Total Germany		407,469
		Hong Kong — 0.0%
	18,500	Dah Sing Banking Group Ltd		23,560
	3,600	Dah Sing Financial Holdings Ltd		13,106
	7,400	SJM Holdings Ltd		7,548
		Total Hong Kong		44,214
		India — 0.0%
	1,800	Dr Reddy’s Laboratories Ltd ADR(a)		73,296
	43,534	Indian Oil Corp Ltd		79,357
	10,141	REC Ltd		19,502
		Total India		172,155
		Ireland — 0.0%
	500	CRH Plc Sponsored ADR		19,150
		Italy — 0.2%
	5,648	Enel SPA		42,688
	16,848	EXOR NV		1,285,749
	33,578	Iren SPA		104,088
	8,623	Nexi SPA *		101,638
	20	Societa Iniziative Autostradali e Servizi SPA		336
		Total Italy		1,534,499
		Japan — 0.5%
	18,200	Asahi Kasei Corp		204,621
	41,100	Astellas Pharma Inc		701,690
	14,400	Brother Industries Ltd		285,866
	1,200	Daiwabo Holdings Co Ltd		59,373
	3,800	Fuji Electric Co Ltd		117,052
	4,200	Fuji Media Holdings Inc		56,870
	3,200	Fujitsu Ltd		291,179
	6,300	Hakuhodo DY Holdings Inc		101,935
	800	Infocom Corp		17,960
	1,300	Itochu Techno-Solutions Corp		34,745
	16,200	KDDI Corp		465,440

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	800	Makino Milling Machine Co Ltd		39,526
	1,350	Nichias Corp		32,329
	600	Nihon Unisys Ltd		19,309
	22,700	Nippon Telegraph & Telephone Corp		1,146,783
	100	NOF Corp		3,343
	600	NS Solutions Corp		20,792
	1,300	Showa Corp		27,098
	68,200	Sumitomo Chemical Co Ltd		307,951
	200	Sushiro Global Holdings Ltd		15,741
	1,900	T-Gaia Corp		45,453
	2,600	TS Tech Co Ltd		80,825
		Total Japan		4,075,881
		Malta — 0.0%
	125,500	BGP Holdings Plc * (b)		—
		Mexico — 0.0%
	3,100	El Puerto de Liverpool SAB de CV – Class C1		15,205
	4,800	Gentera SAB de CV		4,586
		Total Mexico		19,791
		Netherlands — 0.3%
	750	Adyen NV *		575,144
	1,450	ASR Nederland NV		53,895
	707	Heineken Holding NV		67,754
	33,793	ING Groep NV		388,613
	17,011	Signify NV		507,432
	10,773	Wolters Kluwer NV		773,743
		Total Netherlands		2,366,581
		Norway — 0.1%
	3,235	Adevinta ASA *		33,592
	3,635	Austevoll Seafood ASA		34,781
	7,836	DNB ASA		131,456
	32,039	Elkem ASA		74,012
	8,416	SpareBank 1 SR-Bank ASA		88,645
		Total Norway		362,486
		Philippines — 0.0%
	350	Globe Telecom Inc		13,360
		Poland — 0.0%
	5,889	PLAY Communications SA		49,124
		Portugal — 0.2%
	18,900	Altri SGPS SA		117,613
	2,594	EDP Renovaveis SA		28,446
	51,634	EDP – Energias de Portugal SA		208,909
	34,720	Galp Energia SGPS SA		564,664
	29,408	NOS SGPS SA		159,356
	11,078	REN – Redes Energeticas Nacionais SGPS SA		33,820

Shares		Description	Value ($)
		Portugal — continued
	100,884	Sonae SGPS SA		101,265
		Total Portugal		1,214,073
		Russia — 0.0%
	2,560	Gazprom Neft PJSC		16,651
	647,000	Inter RAO UES PJSC		44,847
	9,073	Novolipetsk Steel PJSC GDR		182,661
		Total Russia		244,159
		Singapore — 0.0%
	3,700	DBS Group Holdings Ltd		68,283
	1,600	Jardine Cycle & Carriage Ltd		35,890
	17,564	Mapletree Commercial Trust (REIT)		30,305
		Total Singapore		134,478
		South Africa — 0.1%
	38,956	Absa Group Ltd		391,214
	4,985	Liberty Holdings Ltd		37,931
	3,145	Motus Holdings Ltd		15,181
	5,690	Reunert Ltd		26,738
	34,569	Telkom SA SOC Ltd		110,538
		Total South Africa		581,602
		South Korea — 0.4%
	19,994	Hana Financial Group Inc		606,226
	6,742	Industrial Bank of Korea		67,116
	22,496	Kia Motors Corp		824,534
	7	LG Corp		421
	8,756	Shinhan Financial Group Co Ltd		323,433
	2,035	SK Hynix Inc		140,040
	30,600	SK Telecom Co Ltd Sponsored ADR		701,352
		Total South Korea		2,663,122
		Spain — 0.4%
	973	Aena SME SA		178,539
	2,979	Almirall SA		50,631
	6,558	Cia de Distribucion Integral Logista Holdings SA		147,989
	28,674	Endesa SA		779,495
	84,530	Iberdrola SA		831,584
	103,395	International Consolidated Airlines Group SA		738,881
		Total Spain		2,727,119
		Sweden — 0.1%
	5,334	Granges AB		53,221
	9,935	Klovern AB – B Shares		19,359
	1,238	Peab AB – Class B		10,607
	2,597	Resurs Holding AB		14,956
	57,908	Volvo AB – B Shares		895,256
		Total Sweden		993,399

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		Switzerland — 0.0%
	1	Huber + Suhner AG (Registered)		68
	844	Roche Holding AG		257,278
		Total Switzerland		257,346
		Taiwan — 0.2%
	16,000	Chicony Electronics Co Ltd		46,414
	10,400	Feng TAY Enterprise Co Ltd		65,098
	20,000	Gigabyte Technology Co Ltd		32,961
	143,000	Inventec Corp		107,099
	65,000	Novatek Microelectronics Corp		476,193
	3,000	Phison Electronics Corp		27,955
	325,000	Pou Chen Corp		423,290
	27,000	Radiant Opto-Electronics Corp		103,542
	6,000	Realtek Semiconductor Corp		45,314
	10,200	Ruentex Industries Ltd		25,298
	8,000	Walsin Lihwa Corp		3,723
		Total Taiwan		1,356,887
		Turkey — 0.0%
	40,883	KOC Holding AS		142,195
	12,484	TAV Havalimanlari Holding AS		58,347
		Total Turkey		200,542
		United Kingdom — 0.5%
	34,305	3i Group Plc		474,905
	1,520	AVEVA Group Plc		89,535
	24,630	Barratt Developments Plc		212,340
	1,264	Bellway Plc		54,567
	760	Berkeley Group Holdings Plc (The)		45,052
	5,439	British American Tobacco Plc		215,269
	12,900	British American Tobacco Plc Sponsored ADR		510,969
	4,656	Computacenter Plc		90,897
	7,106	Dunelm Group Plc		78,368
	9,245	Electrocomponents Plc		78,120
	68,321	Ferrexpo Plc		126,707
	1,580	Firstgroup Plc *		2,460
	359	Galliford Try Plc		3,402
	771	Go-Ahead Group Plc (The)		21,852
	15,323	JD Sports Fashion Plc		150,521
	5,616	John Laing Group Plc		27,601
	3,195	National Express Group Plc		19,145
	32,221	Persimmon Plc		1,065,490
	21,902	Phoenix Group Holdings Plc		211,044
	9,515	Plus500 Ltd		94,715
	59,789	QinetiQ Group Plc		258,180
	5,939	Softcat Plc		86,446
	1,033	Spectris Plc		37,408
	8,627	Spirent Communications Plc		23,540
	1,246	Tate & Lyle Plc		11,781
	4,575	Vesuvius Plc		26,838
		Total United Kingdom		4,017,152

Shares		Description	Value ($)
		United States — 5.0%
	1,400	Accenture Plc – Class A (a)		281,624
	32,100	ACCO Brands Corp.		293,715
	7,400	Acushnet Holdings Corp.		222,518
	1,400	Adobe, Inc. *		433,342
	300	AGCO Corp. (a)		23,439
	5,600	American Express Co. (a)		672,672
	8,400	Ameriprise Financial, Inc.		1,376,508
	5,900	Amgen, Inc. (a)		1,384,848
	800	Atkore International Group, Inc. *		33,376
	2,600	Avery Dennison Corp. (a)		338,962
	2,100	Bank of America Corp. (a)		69,972
	3,500	Best Buy Co., Inc. (a)		282,240
	2,100	Brady Corp. – Class A		119,700
	4,700	Bristol-Myers Squibb Co.		267,618
	4,900	Bruker Corp. (a)		250,831
	12,100	Cadence Design Systems, Inc. * (c)		850,025
	5,600	Career Education Corp. * (a)		93,408
	400	Citizens Financial Group, Inc.		15,384
	5,700	Columbia Sportswear Co.		527,250
	20,400	Comcast Corp. – Class A (a)		900,660
	600	Core-Mark Holding Co., Inc. (a)		16,170
	17,500	CoreCivic, Inc. (REIT) (a)		265,125
	27,100	CORTEVA, Inc. (a)		705,142
	1,300	CSG Systems International, Inc.		74,347
	2,100	Cummins, Inc. (a)		384,006
	4,100	Curo Group Holdings Corp. *		55,801
	44,200	Dana, Inc. (a)		749,190
	8,700	Danaher Corp. (c)		1,270,026
	11,200	eBay, Inc. (a)		397,824
	10,700	Enova International, Inc. *		246,421
	6,700	Estee Lauder Cos, Inc. (The) – Class A (c)		1,309,649
	700	Exterran Corp. *		3,766
	600	Exxon Mobil Corp. (a)		40,878
	300	Federal Agricultural Mortgage Corp. – Class C		24,915
	19,862	Gannett Co., Inc. (c)		126,322
	1,300	Garmin Ltd.		126,997
	2,200	GEO Group, Inc. (The) (REIT)		30,492
	17,600	Gilead Sciences, Inc. (c)		1,183,424
	200	Graham Holdings Co. – Class B (c)		126,322
	1,100	Group 1 Automotive, Inc.		113,399
	2,200	Heidrick & Struggles International, Inc.		68,244
	17,000	Herman Miller, Inc.		812,260
	1,500	Hershey Co. (The)		222,240
	42,800	Hewlett Packard Enterprise Co.		677,524
	56,800	HP, Inc. (c)		1,140,544
	15,300	Huntsman Corp.		346,086
	200	ICF International, Inc.		17,946
	2,900	Insight Enterprises, Inc. * (a)		190,211
	25,100	Intel Corp. (a)		1,457,055
	700	Inter Parfums, Inc.		49,343
	18,300	Interpublic Group of Cos., Inc. (The) (a)		409,920
	3,200	Intuit, Inc.		828,448

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	1,700	ITT, Inc.		118,626
	300	Johnson Outdoors, Inc. – Class A		19,380
	23,200	Juniper Networks, Inc.		581,392
	1,600	Kimberly-Clark Corp. (a)		218,144
	9,800	Kohl’s Corp. (a)		460,698
	1,700	Kulicke & Soffa Industries, Inc.		42,653
	4,100	La-Z-Boy, Inc.		129,560
	700	Landstar System, Inc.		77,987
	1,600	Laureate Education, Inc. – Class A * (a)		27,760
	1,600	Lockheed Martin Corp. (a)		625,648
	1,600	Materion Corp.		94,176
	11,400	Medtronic Plc (a) (c)		1,269,846
	17,200	Merck & Co., Inc. (c)		1,499,496
	2,100	Meritor, Inc. * (a)		53,025
	13,600	Modine Manufacturing Co. *		100,912
	3,800	Moog, Inc. – Class A		326,306
	700	Motorola Solutions, Inc.		117,110
	5,400	Movado Group, Inc. (a)		105,570
	5,500	NetApp, Inc.		333,245
	300	NIKE, Inc. – Class B		28,047
	1,000	OFG Bancorp (a)		21,450
	900	Oshkosh Corp. (a)		81,414
	2,600	Parsons Corp. *		104,078
	10,500	PepsiCo, Inc. (a) (c)		1,426,215
	27,700	Pfizer, Inc.		1,067,004
	6,800	Phillips 66		780,096
	2,000	Popular, Inc.		110,620
	800	Progress Software Corp.		33,608
	7,200	Progressive Corp. (The)		525,960
	2,100	PVH Corp.		203,616
	17,500	Qurate Retail, Inc. – Series A * (a)		165,550
	800	Regional Management Corp. *		26,000
	100	Reliance Steel & Aluminum Co.		11,798
	900	Scholastic Corp.		33,417
	1,100	SkyWest, Inc.		68,904
	2,100	Sonic Automotive, Inc. – Class A		68,775
	600	SPX Corp. *		28,668
	8,200	Stoneridge, Inc. *		247,148
	1,300	Stryker Corp.(a)		266,318
	900	Sykes Enterprises, Inc. *		31,626
	8,000	Synopsys, Inc. * (c)		1,128,320
	600	Target Corp.		75,006
	2,000	TEGNA, Inc.		30,700
	700	Teledyne Technologies, Inc. * (a)		239,393
	5,100	Telephone & Data Systems, Inc.		120,921
	1,400	Textron, Inc.		64,736
	13,500	Timken Co. (The) (c)		709,965
	2,627	Triple-S Management Corp. – Class B * (a)		50,307
	2,200	Union Pacific Corp.		387,178
	8,500	United Technologies Corp. (a) (c)		1,260,890
	3,100	Universal Corp.		161,882
	600	Universal Forest Products, Inc. (a)		29,760

Shares / Par Value †		Description	Value ($)
		United States — continued
	15,000	Vishay Intertechnology, Inc. (a)		298,350
	3,300	World Fuel Services Corp. (a)		139,920
	1,800	Wyndham Destinations Corp. (a)		87,300
	18,600	Xenia Hotels & Resorts, Inc. (REIT) (c)		391,716
		Total United States		38,616,319
		TOTAL COMMON STOCKS (COST $65,886,350)		69,168,482
		PREFERRED STOCKS (d) — 0.0%
		Germany — 0.0%
	278	Draegerwerk AG & Co KGaA		17,028
		South Korea — 0.0%
	1,216	Samsung Electronics Co Ltd		42,160
	66	Samsung Electronics Co Ltd GDR (Registered)		57,303
		Total South Korea		99,463
		TOTAL PREFERRED STOCKS (COST $113,575)		116,491
		DEBT OBLIGATIONS — 7.3%
		United States — 7.3%
		U.S. Government — 7.3%
	2,168,020	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (e)		2,172,840
	7,563,920	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (e)		7,757,525
	6,439,048	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (e)		6,516,271
	3,050,849	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (e)		3,123,456
	9,804,560	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (e)		10,998,292
	3,348,811	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (c) (e)		3,515,456
	6,524,998	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (e)		6,922,770
	12,984,756	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (e)		15,645,719
		Total U.S. Government		56,652,329
		Total United States		56,652,329
		TOTAL DEBT OBLIGATIONS (COST $54,785,023)		56,652,329

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares			Description	Value ($)
			MUTUAL FUNDS — 85.0%
			United States — 85.0%
			Affiliated Issuers — 85.0%
	3,330,602		GMO Core Plus Bond Fund, Class IV		75,704,582
	940,291		GMO Emerging Country Debt Fund, Class IV		26,130,686
	5,564,870		GMO Emerging Markets Fund, Class VI		184,141,542
	9,415,633		GMO International Equity Fund, Class IV		205,543,258
	775,998		GMO Opportunistic Income Fund, Class VI		20,866,577
	2,335,087		GMO Quality Fund, Class VI		60,058,447
	2,088,757		GMO U.S. Equity Fund, Class VI		29,284,379
	2,599,653		GMO U.S. Small Cap Value Fund, Class VI		55,164,632
	45,831		GMO U.S. Treasury Fund		229,156
			TOTAL MUTUAL FUNDS (COST $606,172,886)		657,123,259
			SHORT-TERM INVESTMENTS — 0.3%
			Money Market Funds — 0.3%
	2,104,112		State Street Institutional Treasury Money Market Fund – Premier Class, 1.58% (f)		2,104,112
			TOTAL SHORT-TERM INVESTMENTS (COST $2,104,112)		2,104,112
			TOTAL INVESTMENTS — 101.6% (Cost $729,061,946)		785,164,673
			SECURITIES SOLD SHORT — (1.6)%
			Common Stocks — (1.6)%
			Austria — (0.0)%
	(1,079	)	IMMOFINANZ AG		(29,182	)
	(546	)	Schoeller-Bleckmann Oilfield Equipment AG		(30,451	)
			Total Austria		(59,633	)
			Brazil — (0.0)%
	(2,800	)	Pagseguro Digital Ltd. – Class A *		(95,032	)
			Canada — (0.0)%
	(4,900	)	AltaGas Ltd		(72,672	)
			Denmark — (0.1)%
	(80	)	AP Moller – Maersk A/S – Class A		(103,871	)
	(193	)	AP Moller – Maersk A/S – Class B		(269,744	)
	(2,021	)	Chr Hansen Holding A/S		(153,480	)
	(521	)	DFDS A/S		(21,988	)
	(1,240	)	ISS A/S		(28,461	)
	(2,710	)	Jyske Bank A/S (Registered) *		(89,914	)
			Total Denmark		(667,458	)
			Germany — (0.1)%
	(54,862	)	Deutsche Bank AG (Registered)		(394,017	)

Shares			Description	Value ($)
			Japan — (0.0)%
	(4,200	)	Japan Lifeline Co Ltd		(58,503	)
	(4,100	)	JGC Corp		(59,661	)
	(300	)	JINS Holdings Inc		(18,264	)
	(8,600	)	Mitsui OSK Lines Ltd		(225,669	)
	(15,300	)	Orient Corp		(22,229	)
			Total Japan		(384,326	)
			Luxembourg — (0.0)%
	(900	)	Intelsat SA *		(5,472	)
			Netherlands — (0.0)%
	(13,576	)	Altice Europe NV – Class B *		(80,566	)
			Norway — (0.0)%
	(1,667	)	Borr Drilling Ltd. *		(10,826	)
			Portugal — (0.0)%
	(24,736	)	CTT-Correios de Portugal SA		(83,841	)
			Spain — (0.0)%
	(25	)	Bolsas y Mercados Espanoles SHMSF SA		(978	)
	(18	)	Masmovil Ibercom SA *		(406	)
			Total Spain		(1,384	)
			Switzerland — (0.1)%
	(13,127	)	Credit Suisse Group AG (Registered)		(171,840	)
	(1,262	)	Dufry AG (Registered)		(123,199	)
	(827	)	Swiss Prime Site AG (Registered)		(87,305	)
	(129	)	Vifor Pharma AG		(23,006	)
			Total Switzerland		(405,350	)
			United Kingdom — (0.0)%
	(2,700	)	Farfetch Ltd. – Class A *		(26,892	)
	(24,558	)	G4S Plc		(66,383	)
	(43,481	)	Melrose Industries Plc		(128,958	)
	(7,100	)	Tronox Holdings Plc – Class A		(82,218	)
			Total United Kingdom		(304,451	)
			United States — (1.3)%
	(19,800	)	Aerie Pharmaceuticals, Inc. *		(376,002	)
	(900	)	AnaptysBio, Inc. *		(12,141	)
	(400	)	Applied Materials, Inc.		(23,160	)
	(300	)	Citigroup, Inc.		(22,536	)
	(22,000	)	Clovis Oncology, Inc. *		(328,460	)
	(100	)	CME Group, Inc.		(20,273	)
	(25,468	)	Coty, Inc. – Class A		(293,900	)
	(3,500	)	Diamondback Energy, Inc.		(270,690	)
	(3,200	)	Dollar Tree, Inc. *		(292,672	)
	(2,500	)	Element Solutions, Inc. *		(29,225	)
	(4,800	)	EQT Corp.		(41,904	)
	(1,500	)	Esperion Therapeutics, Inc. *		(77,040	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2019 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(8,700	)	Eventbrite, Inc. – Class A *		(187,137	)
	(9,000	)	Heron Therapeutics, Inc. *		(230,040	)
	(3,000	)	Immunomedics, Inc. *		(56,340	)
	(2,400	)	Intercept Pharmaceuticals, Inc. *		(260,088	)
	(2,300	)	Iovance Biotherapeutics, Inc. *		(52,509	)
	(17,000	)	Knight-Swift Transportation Holdings, Inc.		(628,830	)
	(1,100	)	Ligand Pharmaceuticals, Inc. *		(124,300	)
	(21,300	)	LYFT, Inc. – Class A *		(1,043,274	)
	(3,800	)	Macerich Co. (The) (REIT)		(102,334	)
	(1,500	)	Madrigal Pharmaceuticals, Inc. *		(166,035	)
	(6,300	)	Medicines Co. (The) *		(530,460	)
	(600	)	Middleby Corp. (The) *		(69,456	)
	(7,200	)	Moderna, Inc. *		(146,592	)
	(9,400	)	National Oilwell Varco, Inc.		(211,970	)
	(15,500	)	Nektar Therapeutics *		(314,495	)
	(26,700	)	Oasis Petroleum, Inc. *		(62,478	)
	(600	)	PolyOne Corp.		(18,918	)
	(400	)	Sage Therapeutics, Inc. *		(61,908	)
	(1,100	)	Sangamo Therapeutics, Inc. *		(11,880	)
	(1,500	)	Seritage Growth Properties (REIT) *		(63,420	)

Shares			Description	Value ($)
			United States — continued
	(12,800	)	Shake Shack, Inc. – Class A *		(793,344	)
	(400	)	Sleep Number Corp. *		(19,308	)
	(1,100	)	Spark Therapeutics, Inc. *		(122,254	)
	(2,800	)	Tesla, Inc. *		(923,832	)
	(65,700	)	Transocean Ltd *		(327,186	)
	(3,800	)	United Rentals, Inc. *		(581,590	)
	(900	)	Veritex Holdings, Inc.		(23,409	)
	(4,300	)	World Wrestling Entertainment, Inc.– Class A		(266,686	)
	(4,000	)	Zogenix, Inc. *		(191,120	)
	(7,200	)	Zoom Video Communications, Inc.– Class A *		(536,400	)
			Total United States		(9,915,596	)
			TOTAL COMMON STOCKS (PROCEEDS $12,395,833)		(12,480,624	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $12,395,833)		(12,480,624	)
			Other Assets and Liabilities (net) — 0.00%		303,085
			TOTAL NET ASSETS — 100.0%		$772,987,134

A summary of outstanding financial instruments at November 30, 2019 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 1.06%	MORD	USD	715,474		05/18/2020	Monthly		—		(32,508	)		(32,508	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	759,338		05/18/2020	Monthly		—		25,871			25,871
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.75%	MORD	USD	967,810		05/18/2020	Monthly		—		15,297			15,297
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	1,023,861		05/18/2020	Monthly		—		(35,389	)		(35,389	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	193,773		03/18/2021	Monthly		—		5,916			5,916
								$	—	$	(20,813	)	$	(20,813	)

As of November 30, 2019, 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.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2019 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(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.

(c) 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.

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

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

(f) The rate disclosed is the 7 day net yield as of November 30, 2019.

(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.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

Counterparty Abbreviations:

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

USD - United States Dollar

Organization

Each of Alpha Only Fund, Alternative Allocation Fund (commenced operations on May 1, 2019), Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund, (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest primarily in other GMO Funds and Alternative Allocation Fund, Implementation Fund, Special Opportunities Fund, and SGM Major Markets Fund may also invest in GMO Alternative Allocation SPC Ltd., GMO Implementation SPC Ltd., GMO Special Opportunities SPC Ltd. and GMO Alternative Asset SPC Ltd., (each a “wholly-owned subsidiary”) respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “underlying funds”. As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (SEC) website at www.sec.gov or on GMO’s website at www.gmo.com.

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. 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.

Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

Basis of presentation and principles of consolidation: Alternative Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund

Alternative Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund include the accounts of their respective wholly-owned subsidiaries and the accompanying schedules of investments have been consolidated for those accounts. The consolidated schedules of investments include all of the assets and liabilities of each wholly-owned subsidiary.

Portfolio valuation

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

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by

the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) and are described in the disclosures of the underlying funds.

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2019, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

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

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

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

certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2019:

Description	Level 1		Level 2		Level 3			Total
Alpha Only Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,473,888	$	—		$	1,473,888
Belgium		—		167,628		—			167,628
Brazil		—		1,674,909		—			1,674,909
Chile		33,845		83,220		—			117,065
China		10,760		7,213,070		—			7,223,830
Denmark		—		18,278		—			18,278
Finland		—		133,996		—			133,996
France		—		3,204,469		—			3,204,469
Germany		—		2,240,341		—			2,240,341
Greece		—		—		0	§		0	§
Hong Kong		—		312,175		—			312,175
Hungary		—		38,028		—			38,028
India		—		1,163,268		—			1,163,268
Indonesia		—		11,735		—			11,735
Ireland		—		70,576		—			70,576
Israel		—		191,247		—			191,247
Italy		71,316		2,333,081		—			2,404,397
Japan		—		9,152,769		—			9,152,769
Malaysia		—		32,233		0	§		32,233
Mexico		486,454		—		—			486,454
Netherlands		—		1,635,115		—			1,635,115
Norway		—		1,007,782		—			1,007,782
Poland		—		159,040		—			159,040
Portugal		—		642,505		—			642,505
Russia		—		1,154,500		—			1,154,500
Singapore		—		1,571,915		—			1,571,915
South Africa		—		1,562,651		—			1,562,651
South Korea		348,384		2,378,151		—			2,726,535
Spain		—		2,773,939		—			2,773,939
Sweden		—		595,578		—			595,578
Switzerland		—		601,627		—			601,627
Taiwan		—		2,715,257		—			2,715,257
Thailand		—		178,851		—			178,851
Turkey		—		627,851		—			627,851
United Arab Emirates		—		66,181		—			66,181
United Kingdom		1,546,912		5,978,208		—			7,525,120
United States		21,080,049		—		—			21,080,049
TOTAL COMMON STOCKS		23,577,720		53,164,062		0	§		76,741,782
Preferred Stocks
Brazil		—		151,938		—			151,938
Germany		—		341,949		—			341,949
South Korea		—		407,085		—			407,085
TOTAL PREFERRED STOCKS		—		900,972		—			900,972
Debt Obligations
United States		3,809,194		—		—			3,809,194
TOTAL DEBT OBLIGATIONS		3,809,194		—		—			3,809,194
Mutual Funds
United States		7,637		—		—			7,637
TOTAL MUTUAL FUNDS		7,637		—		—			7,637

Description	Level 1			Level 2			Level 3			Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	196,245		$	—		$	—		$	196,245
Total Investments		27,590,796			54,065,034			0	§		81,655,830
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			155,074			—			155,074
Futures Contracts
Equity Risk		155,543			—			—			155,543
Total	$	27,746,339		$	54,220,108		$	0	§	$	81,966,447
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(50,126	)	$	—		$	(50,126	)
Futures Contracts
Equity Risk		(2,097,222	)		—			—			(2,097,222	)
Total	$	(2,097,222	)	$	(50,126	)	$	—		$	(2,147,348	)
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Canada	$	5,571,543		$	—		$	—		$	5,571,543
France		—			171,220			—			171,220
Italy		—			612,774			—			612,774
Netherlands		1,209,439			—			—			1,209,439
United States		59,756,073			—			2,525,575			62,281,648
TOTAL COMMON STOCKS		66,537,055			783,994			2,525,575			69,846,624
Rights/Warrants
United States		83,850			—			—			83,850
TOTAL RIGHTS/WARRANTS		83,850			—			—			83,850
Debt Obligations
United States		57,397,922			—			—			57,397,922
TOTAL DEBT OBLIGATIONS		57,397,922			—			—			57,397,922
Mutual Funds
United States		19,894,901			—			—			19,894,901
TOTAL MUTUAL FUNDS		19,894,901			—			—			19,894,901
Short-Term Investments		1,382,719			83,802,987			—			85,185,706
Purchased Options		268,575			—			—			268,575
Total Investments		145,565,022			84,586,981			2,525,575			232,677,578
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			2,534,572			—			2,534,572
Futures Contracts
Equity Risk		85,385			738,252			—			823,637
Interest Rate Risk		26,085			—			—			26,085
Swap Contracts
Interest Rate Risk		—			1,289,771			—			1,289,771
Total	$	145,676,492		$	89,149,576		$	2,525,575		$	237,351,643
Liability Valuation Inputs
Common Stocks
China	$	(173,000	)	$	—		$	—		$	(173,000	)
France		—			(580,175	)		—			(580,175	)
Ireland		—			(3,140,511	)		—			(3,140,511	)
United States		(25,615,860	)		—			—			(25,615,860	)
TOTAL COMMON STOCKS		(25,788,860	)		(3,720,686	)		—			(29,509,546	)

Description	Level 1			Level 2			Level 3			Total
Consolidated Alternative Allocation Fund (continued)
Liability Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(981,543	)	$	—		$	(981,543	)
Futures Contracts
Equity Risk		(739,461	)		(903,971	)		—			(1,643,432	)
Interest Rate Risk		(64,452	)		—			—			(64,452	)
Written Options
Equity Risk		(1,369,756	)		—			—			(1,369,756	)
Swap Contracts
Interest Rate Risk		—			(1,718,801	)		—			(1,718,801	)
Total	$	(27,962,529	)	$	(7,325,001	)	$	—		$	(35,287,530	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	9,743,625,907		$	—		$	—		$	9,743,625,907
Short-Term Investments		7,202,533			—			—			7,202,533
Total Investments		9,750,828,440			—			—			9,750,828,440
Total	$	9,750,828,440		$	—		$	—		$	9,750,828,440
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	531,243		$	—		$	—		$	531,243
Australia		—			19,066,107			—			19,066,107
Austria		—			321,898			—			321,898
Belgium		—			3,689,014			—			3,689,014
Brazil		600,762			49,291,614			—			49,892,376
Canada		32,997,235			—			—			32,997,235
Chile		1,501,751			1,508,496			—			3,010,247
China		3,699,288			200,285,958			—			203,985,246
Colombia		24,852			—			—			24,852
Czech Republic		—			29,391			—			29,391
Denmark		—			406,767			—			406,767
Finland		—			2,346,653			—			2,346,653
France		6,841,599			53,242,971			—			60,084,570
Germany		—			28,417,868			—			28,417,868
Greece		—			36,635			0	§		36,635
Hong Kong		—			7,703,034			—			7,703,034
Hungary		—			1,061,334			—			1,061,334
India		2,179,484			28,225,614			—			30,405,098
Indonesia		—			444,088			—			444,088
Ireland		1,757,970			—			—			1,757,970
Israel		—			888,263			—			888,263
Italy		—			30,396,030			—			30,396,030
Japan		—			117,577,399			—			117,577,399
Luxembourg		17,248			—			—			17,248
Malaysia		—			2,449,067			—			2,449,067
Mexico		15,109,897			—			—			15,109,897
Netherlands		—			38,623,822			—			38,623,822
New Zealand		—			1,138,942			—			1,138,942
Norway		—			9,864,594			—			9,864,594
Pakistan		—			575,956			—			575,956
Philippines		—			846,923			—			846,923
Poland		—			12,092,590			—			12,092,590
Portugal		—			17,048,088			—			17,048,088
Qatar		—			941,168			—			941,168
Russia		253,696			61,315,985			—			61,569,681
Singapore		—			18,854,038			—			18,854,038
South Africa		—			32,383,033			—			32,383,033

Description	Level 1			Level 2			Level 3			Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
South Korea	$	5,210,642		$	58,804,500		$	—		$	64,015,142
Spain		—			42,842,095			—			42,842,095
Sweden		—			21,323,260			—			21,323,260
Switzerland		—			25,456,359			—			25,456,359
Taiwan		2,043,965			82,897,121			—			84,941,086
Thailand		—			3,387,058			—			3,387,058
Turkey		—			24,796,517			—			24,796,517
United Arab Emirates		—			2,364,150			—			2,364,150
United Kingdom		8,404,249			86,597,263			—			95,001,512
United States		166,634,704			—			—			166,634,704
Vietnam		—			103,545			—			103,545
TOTAL COMMON STOCKS		247,808,585			1,089,645,208			0	§		1,337,453,793
Preferred Stocks
Brazil		—			5,174,988			—			5,174,988
Colombia		79,088			—			—			79,088
Germany		—			1,194,675			—			1,194,675
Russia		—			5,299,198			—			5,299,198
South Korea		—			15,360,588			—			15,360,588
Sweden		—			85,774			—			85,774
Taiwan		—			—			31,096			31,096
TOTAL PREFERRED STOCKS		79,088			27,115,223			31,096			27,225,407
Investment Funds
United States		4,649,408			—			—			4,649,408
TOTAL INVESTMENT FUNDS		4,649,408			—			—			4,649,408
Debt Obligations
United States		—			371,309,164			—			371,309,164
TOTAL DEBT OBLIGATIONS		—			371,309,164			—			371,309,164
Mutual Funds
United States		783,354,854			—			—			783,354,854
TOTAL MUTUAL FUNDS		783,354,854			—			—			783,354,854
Short-Term Investments		2,284,657			248,026,105			—			250,310,762
Total Investments		1,038,176,592			1,736,095,700			31,096			2,774,303,388
Derivatives^
Swap Contracts
Equity Risk		—			193,998			—			193,998
Total	$	1,038,176,592		$	1,736,289,698		$	31,096		$	2,774,497,386
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(1,892,583	)	$	—		$	(1,892,583	)
Brazil		(3,027,552	)		—			—			(3,027,552	)
Canada		(1,793,199	)		—			—			(1,793,199	)
Denmark		—			(3,955,903	)		—			(3,955,903	)
Finland		—			(483,542	)		—			(483,542	)
France		—			(1,255,276	)		—			(1,255,276	)
Germany		(890,240	)		(3,246,887	)		—			(4,137,127	)
Israel		(600,469	)		—			—			(600,469	)
Italy		—			(1,537,440	)		—			(1,537,440	)
Japan		—			(8,710,605	)		—			(8,710,605	)
Luxembourg		(38,304	)		—			—			(38,304	)
Netherlands		(1,250,088	)		(58,009	)		—			(1,308,097	)
Norway		—			(54,113	)		—			(54,113	)
Singapore		—			(91,037	)		—			(91,037	)

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Spain	$	—		$	(1,076,638	)	$	—	$	(1,076,638	)
Sweden		(1,168,910	)		—			—		(1,168,910	)
Switzerland		—			(877,226	)		—		(877,226	)
United Kingdom		(64,740	)		(2,828,661	)		—		(2,893,401	)
TOTAL COMMON STOCKS		(8,833,502	)		(26,067,920	)		—		(34,901,422	)
Derivatives^
Futures Contracts
Equity Risk		(6,963,242	)		—			—		(6,963,242	)
Swap Contracts
Equity Risk		—			(174,147	)		—		(174,147	)
Total	$	(15,796,744	)	$	(26,242,067	)	$	—	$	(42,038,811	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,712,703,115		$	—		$	—	$	1,712,703,115
Debt Obligations
Asset-Backed Securities		—			39,602			—		39,602
TOTAL DEBT OBLIGATIONS		—			39,602			—		39,602
Short-Term Investments		267,950			—			—		267,950
Total Investments		1,712,971,065			39,602			—		1,713,010,667
Total	$	1,712,971,065		$	39,602		$	—	$	1,713,010,667
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	78,611,255		$	—		$	—	$	78,611,255
Short-Term Investments		81,552			—			—		81,552
Total Investments		78,692,807			—			—		78,692,807
Total	$	78,692,807		$	—		$	—	$	78,692,807
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,681,588,542		$	—		$	—	$	1,681,588,542
Short-Term Investments		588,376			—			—		588,376
Total Investments		1,682,176,918			—			—		1,682,176,918
Total	$	1,682,176,918		$	—		$	—	$	1,682,176,918
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	4,049,300		$	—		$	—	$	4,049,300
Australia		—			65,462,466			—		65,462,466
Austria		—			1,935,256			—		1,935,256
Belgium		—			9,123,680			—		9,123,680
Brazil		3,349,014			142,318,199			—		145,667,213
Canada		140,035,537			—			—		140,035,537
Chile		4,540,065			3,056,674			—		7,596,739
China		32,448,748			869,632,009			—		902,080,757
Colombia		226,771			—			—		226,771
Denmark		—			1,554,088			—		1,554,088
Finland		—			9,721,640			—		9,721,640
France		12,570,364			171,398,661			—		183,969,025
Germany		—			84,651,104			—		84,651,104
Hong Kong		—			19,648,652			—		19,648,652
Hungary		—			3,267,063			—		3,267,063
India		4,882,264			100,390,993			—		105,273,257

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Indonesia	$	—	$	3,071,382	$	—	$	3,071,382
Ireland		5,392,640		45,760		—		5,438,400
Israel		—		2,042,875		—		2,042,875
Italy		—		101,208,724		—		101,208,724
Japan		—		391,972,293		—		391,972,293
Malaysia		—		5,535,522		—		5,535,522
Mexico		50,040,093		—		—		50,040,093
Netherlands		9,784,872		117,389,232		—		127,174,104
New Zealand		—		2,053,553		—		2,053,553
Norway		—		33,504,121		—		33,504,121
Pakistan		—		7,701,595		—		7,701,595
Philippines		—		6,472,812		—		6,472,812
Poland		—		84,936,084		—		84,936,084
Portugal		—		50,868,140		—		50,868,140
Qatar		—		13,838,547		—		13,838,547
Russia		2,441,665		333,990,851		—		336,432,516
Singapore		—		56,321,388		—		56,321,388
South Africa		—		139,858,822		—		139,858,822
South Korea		16,815,052		192,038,950		—		208,854,002
Spain		—		138,441,008		—		138,441,008
Sweden		—		62,158,024		—		62,158,024
Switzerland		—		74,468,795		—		74,468,795
Taiwan		25,618,579		388,475,259		—		414,093,838
Thailand		—		14,587,545		—		14,587,545
Turkey		—		119,085,490		—		119,085,490
United Arab Emirates		—		10,174,703		—		10,174,703
United Kingdom		33,792,049		287,305,570		—		321,097,619
United States		963,901,368		—		44,912,587		1,008,813,955
Vietnam		—		1,122,755		—		1,122,755
TOTAL COMMON STOCKS		1,309,888,381		4,120,830,285		44,912,587		5,475,631,253
Preferred Stocks
Brazil		—		12,630,190		—		12,630,190
Colombia		596,005		—		—		596,005
Germany		—		5,548,758		—		5,548,758
Russia		—		25,363,123		—		25,363,123
South Korea		—		48,866,401		—		48,866,401
Sweden		—		556,196		—		556,196
Taiwan		—		—		432,755		432,755
TOTAL PREFERRED STOCKS		596,005		92,964,668		432,755		93,993,428
Rights/Warrants
United States		703,050		—		130,841		833,891
TOTAL RIGHTS/WARRANTS		703,050		—		130,841		833,891
Investment Funds
United States		41,171,075		—		—		41,171,075
TOTAL INVESTMENT FUNDS		41,171,075		—		—		41,171,075
Debt Obligations
Brazil		—		3,857,438		—		3,857,438
Israel		—		1,002,400		—		1,002,400
Italy		—		5,338,240		—		5,338,240
Jamaica		—		3,483,465		—		3,483,465
Luxembourg		—		1,271,520		11,291,579		12,563,099
Netherlands		—		—		2,630,470		2,630,470
Puerto Rico		—		16,294,492		—		16,294,492
Saint Lucia		—		4,117,547		—		4,117,547
United States		392,076,061		993,921,256		76,967,911		1,462,965,228
TOTAL DEBT OBLIGATIONS		392,076,061		1,029,286,358		90,889,960		1,512,252,379

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	26,601,510		$	—		$	—	$	26,601,510
TOTAL MUTUAL FUNDS		26,601,510			—			—		26,601,510
Short-Term Investments		59,992,029			740,618,043			—		800,610,072
Purchased Options		2,451,871			—			—		2,451,871
Total Investments		1,833,479,982			5,983,699,354			136,366,143		7,953,545,479
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			12,228,036			—		12,228,036
Swap Contracts
Credit Risk		—			32,562			—		32,562
Equity Risk		—			573,235			—		573,235
Interest Rate Risk		—			8,564,624			—		8,564,624
Total	$	1,833,479,982		$	6,005,097,811		$	136,366,143	$	7,974,943,936
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(4,934,313	)	$	—	$	(4,934,313	)
Brazil		(7,806,200	)		—			—		(7,806,200	)
Canada		(7,493,378	)		—			—		(7,493,378	)
China		(1,727,000	)		—			—		(1,727,000	)
Denmark		—			(11,186,453	)		—		(11,186,453	)
Finland		—			(1,801,340	)		—		(1,801,340	)
France		—			(10,160,584	)		—		(10,160,584	)
Germany		(1,848,960	)		(9,153,539	)		—		(11,002,499	)
Ireland		—			(25,088,913	)		—		(25,088,913	)
Israel		(851,354	)		—			—		(851,354	)
Italy		—			(5,424,568	)		—		(5,424,568	)
Japan		—			(18,583,802	)		—		(18,583,802	)
Luxembourg		(156,256	)		—			—		(156,256	)
Netherlands		(3,282,544	)		—			—		(3,282,544	)
Norway		—			(70,490	)		—		(70,490	)
Singapore		—			(163,340	)		—		(163,340	)
Spain		—			(1,392,927	)		—		(1,392,927	)
Sweden		(3,848,850	)		—			—		(3,848,850	)
Switzerland		—			(1,046,921	)		—		(1,046,921	)
United Kingdom		(524,892	)		(10,708,963	)		—		(11,233,855	)
United States		(194,211,983	)		—			—		(194,211,983	)
TOTAL COMMON STOCKS		(221,751,417	)		(99,716,153	)		—		(321,467,570	)
Debt Obligations
United States		—			(38,026,363	)		—		(38,026,363	)
TOTAL DEBT OBLIGATIONS		—			(38,026,363	)		—		(38,026,363	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(5,228,039	)		—		(5,228,039	)
Futures Contracts
Equity Risk		(21,712,685	)		—			—		(21,712,685	)
Written Options
Equity Risk		(9,716,705	)		—			—		(9,716,705	)
Swap Contracts
Credit Risk		—			(133,825	)		—		(133,825	)
Equity Risk		—			(981,302	)		—		(981,302	)
Interest Rate Risk		—			(11,420,785	)		—		(11,420,785	)
Total	$	(253,180,807	)	$	(155,506,467	)	$	—	$	(408,687,274	)

Description	Level 1			Level 2			Level 3		Total
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	412,485,430		$	—		$	—	$	412,485,430
Short-Term Investments		161,056			—			—		161,056
Total Investments		412,646,486			—			—		412,646,486
Total	$	412,646,486		$	—		$	—	$	412,646,486
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	911,522,601		$	—		$	—	$	911,522,601
Short-Term Investments		426,940			—			—		426,940
Total Investments		911,949,541			—			—		911,949,541
Total	$	911,949,541		$	—		$	—	$	911,949,541
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	550,248,695		$	—		$	—	$	550,248,695
U.S. Government Agency		146,897,242			—			—		146,897,242
TOTAL DEBT OBLIGATIONS		697,145,937			—			—		697,145,937
Short-Term Investments		3,904,881			227,619,485			—		231,524,366
Total Investments		701,050,818			227,619,485			—		928,670,303
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			11,899,145			—		11,899,145
Futures Contracts
Equity Risk		1,353,814			10,028,642			—		11,382,456
Interest Rate Risk		316,462			—			—		316,462
Physical Commodity Contract Risk		2,574,248			—			—		2,574,248
Total	$	705,295,342		$	249,547,272		$	—	$	954,842,614
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(3,051,441	)	$	—	$	(3,051,441	)
Futures Contracts
Equity Risk		(9,992,969	)		(12,659,683	)		—		(22,652,652	)
Interest Rate Risk		(763,321	)		—			—		(763,321	)
Physical Commodity Contract Risk		(137,834	)		—			—		(137,834	)
Total	$	(10,894,124	)	$	(15,711,124	)	$	—	$	(26,605,248	)
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Netherlands	$	11,990,640		$	—		$	—	$	11,990,640
Sweden		4,561,600			—			—		4,561,600
United Kingdom		—			17,207,222			—		17,207,222
United States		275,344,298			—			—		275,344,298
TOTAL COMMON STOCKS		291,896,538			17,207,222			—		309,103,760
Debt Obligations
United States		20,974,570			—			—		20,974,570
TOTAL DEBT OBLIGATIONS		20,974,570			—			—		20,974,570
Short-Term Investments		11,921,127			36,443			—		11,957,570
Total Investments		324,792,235			17,243,665			—		342,035,900
Total	$	324,792,235		$	17,243,665		$	—	$	342,035,900

Description	Level 1			Level 2			Level 3			Total
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	285,187		$	—		$	285,187
Belgium		—			40,115			—			40,115
Brazil		—			1,371,053			—			1,371,053
Canada		49,262			—			—			49,262
China		—			3,390,857			—			3,390,857
France		417,481			1,543,619			—			1,961,100
Germany		—			407,469			—			407,469
Hong Kong		—			44,214			—			44,214
India		73,296			98,859			—			172,155
Ireland		19,150			—			—			19,150
Italy		—			1,534,499			—			1,534,499
Japan		—			4,075,881			—			4,075,881
Malta		—			—			0	§		0	§
Mexico		19,791			—			—			19,791
Netherlands		—			2,366,581			—			2,366,581
Norway		—			362,486			—			362,486
Philippines		—			13,360			—			13,360
Poland		—			49,124			—			49,124
Portugal		—			1,214,073			—			1,214,073
Russia		—			244,159			—			244,159
Singapore		—			134,478			—			134,478
South Africa		—			581,602			—			581,602
South Korea		701,352			1,961,770			—			2,663,122
Spain		—			2,727,119			—			2,727,119
Sweden		—			993,399			—			993,399
Switzerland		—			257,346			—			257,346
Taiwan		—			1,356,887			—			1,356,887
Turkey		—			200,542			—			200,542
United Kingdom		510,969			3,506,183			—			4,017,152
United States		38,616,319			—			—			38,616,319
TOTAL COMMON STOCKS		40,407,620			28,760,862			0	§		69,168,482
Preferred Stocks
Germany		—			17,028			—			17,028
South Korea		—			99,463			—			99,463
TOTAL PREFERRED STOCKS		—			116,491			—			116,491
Debt Obligations
United States		—			56,652,329			—			56,652,329
TOTAL DEBT OBLIGATIONS		—			56,652,329			—			56,652,329
Mutual Funds
United States		657,123,259			—			—			657,123,259
TOTAL MUTUAL FUNDS		657,123,259			—			—			657,123,259
Short-Term Investments		2,104,112			—			—			2,104,112
Total Investments		699,634,991			85,529,682			0	§		785,164,673
Derivatives^
Swap Contracts
Equity Risk		—			47,084			—			47,084
Total	$	699,634,991		$	85,576,766		$	0	§	$	785,211,757
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(59,633	)	$	—		$	(59,633	)
Brazil		(95,032	)		—			—			(95,032	)
Canada		(72,672	)		—			—			(72,672	)
Denmark		—			(667,458	)		—			(667,458	)
Germany		—			(394,017	)		—			(394,017	)
Japan		—			(384,326	)		—			(384,326	)
Luxembourg		(5,472	)		—			—			(5,472	)

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Netherlands	$	—		$	(80,566	)	$	—	$	(80,566	)
Norway		—			(10,826	)		—		(10,826	)
Portugal		—			(83,841	)		—		(83,841	)
Spain		—			(1,384	)		—		(1,384	)
Switzerland		—			(405,350	)		—		(405,350	)
United Kingdom		(109,110	)		(195,341	)		—		(304,451	)
United States		(9,915,596	)		—			—		(9,915,596	)
TOTAL COMMON STOCKS		(10,197,882	)		(2,282,742	)		—		(12,480,624	)
Derivatives^
Swap Contracts
Equity Risk		—			(67,897	)		—		(67,897	)
Total	$	(10,197,882	)	$	(2,350,639	)	$	—	$	(12,548,521	)

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

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2019.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Other than Funds with investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor), there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 2019.

For Funds with total Level 3 assets and/or liabilities that exceed 0.05% of current period net assets, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2019		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 November 30, 2019		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2019
Consolidated Alternative Allocation Fund
Common Stocks
United States	$	—	$	2,281,370	$	—		$	—	$	—		$	244,205		$	—		$	—	$	2,525,575	$	244,205
Total Investments	$	—	$	2,281,370	$	—		$	—	$	—		$	244,205		$	—		$	—	$	2,525,575	$	244,205
Consolidated Implementation Fund
Common Stocks
Sweden	$	133,660	$	—	$	(133,041	)	$	—	$	22,222		$	(22,841	)	$	—		$	—	$	—	$	—
United States		18,574,603		29,806,717		(463,276	)		—		(9	)		(3,005,448	)		—			—		44,912,587		(3,005,448	)
Preferred Stocks
South Korea		9,731		—		(9,910	)		—		3,003			(2,824	)		—			—		—		—
Taiwan		—		—		—			—		—			—			432,755	‡		—		432,755		—
Rights/Warrants
United States		130,841		—		—			—		—			—			—			—		130,841		—

	Balances as of February 28, 2019		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 November 30, 2019		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2019
Consolidated Implementation Fund (continued)
Debt Obligations
Bank Loans
Luxembourg	$	6,881,968	$	6,326,631	$	(1,097,408	)	$	156,863		$	(7,411	)	$	(969,064	)	$	—	$	—	$	11,291,579	$	(969,064	)
Netherlands		—		2,597,552		—			1,796			—			31,122			—		—		2,630,470		31,122
Saint Lucia		4,785,000		—		(4,720,217	)		24,314			(478,524	)		389,427			—		—		—		—
Spain		1,830,655		39,485		(1,834,244	)		(28,711	)		—			(7,185	)						—		—
United States		84,701,174		55,949,054		(54,758,541	)		600,675			(2,228,077	)		(7,296,374	)		—		—		76,967,911		(7,101,915	)
Corporate Debt
Spain		780,468		16,670		(828,614	)		(512	)		46,599			(14,611	)		—		—		—		—
Total Investments	$	117,828,100	$	94,736,109	$	(63,845,251	)#	$	754,425		$	(2,642,197	)	$	(10,897,798	)	$	432,755	$	—	$	136,366,143	$	(11,045,305	)

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs.

# Includes $8,675,732 of proceeds received from partial calls and/or principal paydowns as applicable.

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 (“underlying funds”). A summary of the Funds’ transactions involving companies that are or were affiliates during the period end November 30, 2019 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
Alpha Only Fund
GMO U.S. Treasury Fund	$	19,030,041	$	21,930,489	$	40,952,893	$	31,002	$	—	$	—		$	—		$	7,637
Consolidated Alternative Allocation Fund
GMO Alpha Only Fund, Class IV	$	—	$	20,949,918	$	—	$	111,709	$	411,484	$	—		$	(1,055,017	)	$	19,894,901
GMO U.S. Treasury Fund		—		6,500,000		6,500,000		—		—		—			—			—
Totals	$	—	$	27,449,918	$	6,500,000	$	111,709	$	411,484	$	—		$	(1,055,017	)	$	19,894,901
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	455,898,632	$	6,964,510	$	152,679,982	$	6,177,684	$	—	$	(3,475,950	)	$	18,704,969		$	325,412,179
GMO High Yield Fund, Class VI		149,579,077		3,078,916		—		3,078,916		—		—			6,355,230			159,013,223
GMO Implementation Fund		8,726,210,310		512,476,597		1,654,291,811		30,972,253		—		3,915,416			224,438,221			7,812,748,733
GMO Opportunistic Income Fund, Class VI		551,229,863		21,481,094		95,034,394		5,461,165		—		7,021,613			6,528,374			491,226,550
GMO Risk Premium Fund, Class VI		286,420,244		11,888,844		302,508,214		4,931,216		6,362,924		676,119			3,523,007			—
GMO SGM Major Markets Fund, Class VI		840,481,004		5,823,289		116,104,309		5,823,290		—		(6,723,543	)		(11,330,221	)		712,146,220
GMO Special Opportunities Fund, Class VI		294,753,740		2,705,796		71,077,852		—		354,962		(4,886,035	)		21,583,353			243,079,002
Totals	$	11,304,572,870	$	564,419,046	$	2,391,696,562	$	56,444,524	$	6,717,886	$	(3,472,380	)	$	269,802,933		$	9,743,625,907

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	152,403,763	$	1,925,370	$	62,202,600	$	1,925,370		$	—	$	(1,209,377	)	$	5,923,001		$	96,840,157
GMO Emerging Markets Fund, Class VI		382,252,830		2,065,947		88,500,000		2,065,947			—		8,583,391			2,953,074			307,355,242
GMO Opportunistic Income Fund, Class VI		187,691,229		1,902,302		22,892,000		1,902,303			—		2,345,861			2,380,135			171,427,527
GMO Risk Premium Fund, Class VI		111,153,978		3,934,925		116,736,481		1,721,244			2,213,680		250,372			1,397,206			—
GMO SGM Major Markets Fund, Class VI		134,030,636		945,565		12,425,000		945,565			—		633,028			(3,756,557	)		119,427,672
GMO Special Opportunities Fund, Class VI		109,380,816		127,368		26,560,000		—			127,367		602,182			4,206,971			87,757,337
GMO U.S. Treasury Fund		—		49,084,655		48,526,806		—	**		—		(9,842	)		(1,088	)		546,919
Totals	$	1,076,913,252	$	59,986,132	$	377,842,887	$	8,560,429		$	2,341,047	$	11,195,615		$	13,102,742		$	783,354,854
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	55,140,779	$	584,521	$	35,705,430	$	124,803		$	459,718	$	(7,260,256	)	$	4,072,414		$	16,832,028
GMO Alternative Allocation Fund, Class VI		—		161,156,171		11,413,619		—			—		26,449			2,246,535			152,015,536
GMO Asset Allocation Bond Fund, Class VI		227,286,993		3,840,413		74,265,945		3,840,414			—		(9,487,946	)		17,063,545			164,437,060
GMO Core Plus Bond Fund, Class IV		282,224,826		690,497		54,992,724		—			—		1,130,296			21,298,494			250,351,389
GMO Emerging Country Debt Fund, Class IV		65,866,747		914,823		10,052,111		914,824			—		(242,306	)		2,561,562			59,048,715
GMO Emerging Markets Fund, Class VI		358,618,059		24,415,693		52,602,689		2,092,501			—		5,458,638			6,808,668			342,698,369
GMO International Equity Fund, Class IV		410,667,438		6,125,081		58,387,895		693,221			—		(10,788,931	)		39,540,545			387,156,238
GMO Opportunistic Income Fund, Class VI		36,987,265		369,411		4,050,415		369,411			—		272,537			649,326			34,228,124
GMO Quality Fund, Class VI		140,373,291		1,387,252		119,515,750		284,425			1,102,827		11,185,082			3,006,303			36,436,178
GMO Risk Premium Fund, Class VI		48,646,796		796,839		32,927,546		346,014			450,825		(131,610	)		1,275,472			17,659,951
GMO SGM Major Markets Fund, Class VI		57,183,044		—		58,772,599		—			—		3,049,584			(1,460,029	)		—
GMO U.S. Equity Fund, Class VI		143,172,153		4,148,625		20,449,907		676,497			3,472,128		(1,524,177	)		12,253,480			137,600,174
GMO U.S. Small Cap Value Fund, Class VI		—		108,320,000		8,004,486		—			—		45,805			6,065,144			106,426,463
GMO U.S. Treasury Fund		83,433,020		23,594,988		99,215,095		400,022			—		(1,728	)		1,705			7,812,890
Totals	$	1,909,600,411	$	336,344,314	$	640,356,211	$	9,742,132		$	5,485,498	$	(8,268,563	)	$	115,383,164		$	1,712,703,115

Affiliate	Value, beginning of period			Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	45,675,429		$	247,388	$	38,066,064	$	247,388		$	—	$	4,771,732		$	(5,105,371	)	$	7,523,114
GMO International Equity Fund, Class IV		212,821,229			4,073,537		179,147,037		357,766			—		(14,117,021	)		14,475,674			38,106,382
GMO Quality Fund, Class VI		91,967,553			2,348,837		88,818,914		224,160			869,154		7,838,610			(796,772	)		12,539,314
GMO U.S. Equity Fund, Class VI		97,294,103			3,701,539		90,413,562		415,952			2,134,874		(7,481,294	)		9,452,896			12,553,682
GMO U.S. Small Cap Value Fund, Class VI		—			44,128,493		35,815,523		—			—		(905,143	)		480,936			7,888,763
Totals	$	447,758,314		$	54,499,794	$	432,261,100	$	1,245,266		$	3,004,028	$	(9,893,116	)	$	18,507,363		$	78,611,255
Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	432,155,290		$	16,735,343	$	13,899,970	$	2,519,362		$	—	$	956,772		$	13,562,947		$	449,510,382
GMO International Equity Fund, Class IV		677,968,641			25,678,567		50,398,342		1,193,645			—		(13,854,373	)		63,482,797			702,877,290
GMO Quality Fund, Class VI		237,080,031			8,057,817		45,123,165		605,024			2,345,911		4,968,078			28,247,673			233,230,434
GMO U.S. Equity Fund, Class VI		290,040,276			8,158,386		185,681,815		1,104,938			5,671,106		(15,406,477	)		29,778,028			126,888,398
GMO U.S. Small Cap Value Fund, Class VI		—			165,918,662		6,625,481		—			—		199,728			9,589,129			169,082,038
Totals	$	1,637,244,238		$	224,548,775	$	301,728,773	$	5,422,969		$	8,017,017	$	(23,136,272	)	$	144,660,574		$	1,681,588,542
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	—		$	134,372,746	$	107,719,897	$	—	**	$	—	$	1,864		$	(53,203	)	$	26,601,510
The Oneida Group		—	#		419,319		—		—			—		—			(2,803,228	)		2,870,859
Totals	$	—		$	134,792,065	$	107,719,897	$	—		$	—	$	1,864		$	(2,856,431	)	$	29,472,369
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	57,057,016		$	5,849,891	$	24,243,751	$	319,230		$	—	$	3,050,469		$	(904,416	)	$	40,809,209
GMO International Equity Fund, Class IV		515,607,672			27,126,991		203,420,119		884,598			—		(38,139,005	)		70,500,682			371,676,221
Totals	$	572,664,688		$	32,976,882	$	227,663,870	$	1,203,828		$	—	$	(35,088,536	)	$	69,596,266		$	412,485,430
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	322,997,438		$	4,310,248	$	20,001,700	$	1,815,054		$	—	$	1,732,111		$	9,089,167		$	318,127,264
GMO International Equity Fund, Class IV		606,692,593			1,036,798		57,564,181		1,036,797			—		(10,310,662	)		53,540,789			593,395,337
Totals	$	929,690,031		$	5,347,046	$	77,565,881	$	2,851,851		$	—	$	(8,578,551	)	$	62,629,956		$	911,522,601

Affiliate	Value, beginning of period			Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Consolidated Special Opportunities Fund
Eventbrite, Inc. – Class A	$	—	#	$	—	$	3,203,173	$	—	$	—	$	(1,399,363	)	$	—		$	—	##
Jagercor Energy Corp		45,594			—		0		—		—		(317,181	)		271,587			—
Totals	$	45,594		$	—	$	3,203,173	$	—	$	—	$	(1,716,544	)	$	271,587		$	—
Strategic Opportunities Allocation Fund
GMO Core Plus Bond Fund, Class IV	$	90,334,045		$	—	$	22,294,114	$	—	$	—	$	1,073,533		$	6,591,118		$	75,704,582
GMO Emerging Country Debt Fund, Class IV		31,398,277			458,787		6,869,201		458,787		—		(66,311	)		1,209,134			26,130,686
GMO Emerging Markets Fund, Class VI		206,302,480			12,556,453		40,136,420		1,266,453		—		6,948,564			(1,529,535	)		184,141,542
GMO International Equity Fund, Class IV		228,072,858			409,160		37,857,000		409,160		—		(3,799,338	)		18,717,578			205,543,258
GMO Opportunistic Income Fund, Class VI		23,830,200			251,031		3,825,000		251,031		—		299,608			310,738			20,866,577
GMO Quality Fund, Class VI		80,218,024			884,713		30,201,565		181,391		703,323		2,724,858			6,432,417			60,058,447
GMO U.S. Equity Fund, Class VI		48,300,438			1,042,407		22,289,151		169,981		872,427		(2,766,005	)		4,996,690			29,284,379
GMO U.S. Small Cap Value Fund, Class VI		—			62,548,113		10,592,000		—		—		36,942			3,171,577			55,164,632
GMO U.S. Treasury Fund		24,214,549			20,088,607		44,074,000		164,600		—		—			—			229,156
Totals	$	732,670,871		$	98,239,271	$	218,138,451	$	2,901,403	$	1,575,750	$	4,451,851		$	39,899,717		$	657,123,259

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2019 through November 30, 2019. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2020.

** 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 $10,424 and $49,142 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

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

## Security is no longer an affiliate at period end.

Subsequent events

The Board of Trustees of GMO Trust approved the termination of GMO Alpha Only Fund (the “Fund”) and GMO anticipates the liquidation of the Fund to occur before the end of February 2020.

* * *

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.