GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 95.4%
		U.S. Government — 95.4%
	4,180,626	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25(a)		4,322,632
	9,708,322	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27(a)		10,287,885
	19,736,801	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28(a)		21,285,579
	32,786,545	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28(a)		38,564,439
	6,226,659	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28(a)		6,899,050
	11,269,835	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29(a)		12,617,320
	37,063,302	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29(a)		46,777,790
	20,266,660	U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/30(a)		21,509,372
		Total U.S. Government		162,264,067
		TOTAL DEBT OBLIGATIONS (COST $150,765,299)		162,264,067
		MUTUAL FUNDS — 4.8%
		United States — 4.8%
		Affiliated Issuers — 4.8%
	1,598,174	GMO U.S. Treasury Fund		8,054,797
		TOTAL MUTUAL FUNDS (COST $8,038,263)		8,054,797
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	903,684	State Street Institutional Treasury Money Market Fund-Premier Class, 0.12%(b)		903,684
		TOTAL SHORT-TERM INVESTMENTS (COST $903,684)		903,684
		TOTAL INVESTMENTS — 100.7% (Cost $159,707,246)		171,222,548
		Other Assets and Liabilities (net) — (0.7%)		(1,182,770	)
		TOTAL NET ASSETS — 100.0%		$170,039,778

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 May 31, 2020.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 39.9%
		United States — 39.9%
		Asset-Backed Securities — 18.5%
	8,000,000	Americold LLC, Series 10-ARTA, Class C, 144A, 6.81%, due 01/14/29		8,052,867
	1,145,000	Aventura Mall Trust, Series 13-AVM, Class C, 144A, Variable Rate, 3.74%, due 12/05/32		1,145,023
	500,000	BAMLL Commercial Mortgage Securities Trust, Series 12-PARK, Class A, 144A, 2.96%, due 12/10/30		519,816
	282,817	Bear Stearns Commercial Mortgage Securities Trust, Series 05-PW10, Class AJ, Variable Rate, 5.59%, due 12/11/40		282,617
	5,100,000	CGRBS Commercial Mortgage Trust, Series 13-VN05, Class C, 144A, Variable Rate, 3.58%, due 03/13/35		5,383,253
	29,970,000	Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31		31,676,869
	2,210,000	Commercial Mortgage Trust, Series 13-WWP, Class B, 144A, 3.73%, due 03/10/31		2,347,763
	6,461,000	Commercial Mortgage Trust, Series 13-WWP, Class C, 144A, 3.54%, due 03/10/31		6,834,860
	6,310,000	Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31		6,730,176
	4,015,340	Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 06-4TS, Class A, 144A, 5.40%, due 12/13/28		4,064,998
	1,000,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class A, 144A, 3.35%, due 07/13/29		1,018,873
	490,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class B, 144A, Variable Rate, 3.45%, due 07/13/29		498,844
	250,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class E, 144A, Variable Rate, 3.45%, due 07/13/29		254,665
	300,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class F, 144A, Variable Rate, 3.45%, due 07/13/29		305,598
	375,000	Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33		383,384
	100,000	Morgan Stanley Capital I Trust, Series 14-MP, Class C, 144A, Variable Rate, 3.69%, due 08/11/33		102,340
	5,000,000	Morgan Stanley Capital I Trust, Series 14-MP, Class E, 144A, Variable Rate, 3.69%, due 08/11/33		5,116,996
		Total Asset-Backed Securities		74,718,942

Par Value† / Shares		Description	Value ($)
		U.S. Government — 6.9%
	7,407,000	U.S. Treasury Bond, 3.75%, due 11/15/43		11,003,735
	4,750,000	U.S. Treasury Bond, 3.38%, due 05/15/44(a)		6,703,809
	8,600,000	U.S. Treasury Note, 2.25%, due 08/15/49(a)		10,315,969
		Total U.S. Government		28,023,513
		U.S. Government Agency — 14.5%
	15,000,000	Federal National Mortgage Association, TBA, 2.50%, due 08/01/34		15,697,266
	13,300,000	Federal National Mortgage Association, TBA, 4.00%, due 08/01/48		14,156,188
	8,900,000	Federal National Mortgage Association, TBA, 3.50%, due 04/01/49		9,389,500
	17,700,000	Federal National Mortgage Association, TBA, 3.00%, due 12/01/49		18,618,188
	900,000	Government National Mortgage Association, TBA, 3.50%, due 06/01/49		953,789
		Total U.S. Government Agency		58,814,931
		TOTAL DEBT OBLIGATIONS (COST $154,599,460)		161,557,386
		INVESTMENT FUNDS — 18.4%
		United States — 18.4%
	565,862	iShares iBoxx $ Investment Grade Corporate Bond ETF		74,705,101
		TOTAL INVESTMENT FUNDS (COST $68,276,976)		74,705,101
		MUTUAL FUNDS — 35.4%
		United States — 35.4%
		Affiliated Issuers — 35.4%
	859,465	GMO Emerging Country Debt Fund, Class IV		21,366,312
	3,218,662	GMO Opportunistic Income Fund, Class VI		81,721,830
	8,011,002	GMO U.S. Treasury Fund		40,375,453
		TOTAL MUTUAL FUNDS (COST $150,344,466)		143,463,595
		SHORT-TERM INVESTMENTS — 22.4%
		Foreign Government Obligations — 19.9%
JPY	1,900,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/15/20		17,618,879
JPY	1,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/22/20		12,055,423
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/06/20		30,604,123
JPY	2,200,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/27/20		20,404,100
		Total Foreign Government Obligations		80,682,525

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Money Market Funds — 2.5%
	10,051,095	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12%(b)		10,051,095
		TOTAL SHORT-TERM INVESTMENTS (COST $90,217,388)		90,733,620
		TOTAL INVESTMENTS — 116.1% (Cost $463,438,290)		470,459,702
		Other Assets and Liabilities (net) — (16.1%)		(65,359,603	)
		TOTAL NET ASSETS — 100.0%		$405,100,099

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/06/2020	MSCI		AUD	12,246,000		USD	7,845,706		(316,960	)
08/04/2020	MSCI		BRL	7,000,629		USD	1,248,329		(60,036	)
06/03/2020	GS		CAD	3,012,344		USD	2,140,000		(47,852	)
06/03/2020	JPM		CAD	21,085,233		USD	14,840,000		(474,111	)
06/03/2020	MSCI		CAD	19,815,661		USD	13,890,000		(502,026	)
08/14/2020	BCLY		CHF	1,578,810		USD	1,630,000		(14,923	)
08/14/2020	JPM		CHF	3,792,946		USD	3,940,000		(11,777	)
08/14/2020	MSCI		CHF	401,389		USD	415,579		(2,618	)
06/03/2020	MSCI		CLP	2,021,698,500		USD	2,362,076		(163,782	)
09/01/2020	JPM		CLP	2,021,698,500		USD	2,476,358		(50,106	)
08/06/2020	MSCI		COP	5,615,026,500		USD	1,396,286		(100,799	)
07/14/2020	JPM		CZK	33,108,398		USD	1,340,000		(26,081	)
07/14/2020	MSCI		CZK	25,872,705		USD	1,041,281		(26,250	)
07/27/2020	JPM		EUR	2,521,000		USD	2,725,221		(76,407	)
08/14/2020	JPM		GBP	7,019,000		USD	8,668,283		(2,714	)
07/14/2020	JPM		HUF	721,912,819		USD	2,182,423		(125,638	)
08/19/2020	BCLY		IDR	4,504,830,000		USD	300,000		(2,381	)
08/19/2020	JPM		IDR	9,817,500,000		USD	660,000		1,013
08/31/2020	MSCI		ILS	1,665,763		USD	475,919		622
06/04/2020	GS		INR	40,211,100		USD	530,000		(2,002	)
06/04/2020	JPM		INR	104,644,042		USD	1,381,512		(2,953	)
07/01/2020	GS		INR	25,001,460		USD	330,000		(203	)
06/02/2020	CITI		JPY	170,548,799		USD	1,549,288		(32,137	)
06/09/2020	BOA		JPY	313,549,892		USD	2,920,000		12,396
06/09/2020	JPM		JPY	1,234,809,965		USD	11,200,000		(250,612	)
06/15/2020	BCLY		JPY	1,900,000,000		USD	17,825,837		205,084
06/22/2020	CITI		JPY	1,300,000,000		USD	11,808,113		(249,562	)
07/06/2020	JPM		JPY	3,300,000,000		USD	30,486,870		(127,915	)
07/27/2020	JPM		JPY	2,200,000,000		USD	20,481,071		64,657
07/01/2020	BCLY		KRW	1,785,726,000		USD	1,460,000		11,435
08/05/2020	MSCI		NZD	22,900,000		USD	13,897,325		(312,839	)
06/02/2020	BCLY		PHP	17,220,660		USD	340,000		(195	)
06/02/2020	CITI		PHP	22,073,040		USD	440,000		3,946
06/02/2020	JPM		PHP	10,139,600		USD	200,000		(308	)
06/02/2020	MSCI		PHP	34,267,190		USD	670,797		(6,152	)

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
09/01/2020	JPM		PHP	18,817,830		USD	370,000		(554	)
06/15/2020	BOA		PLN	1,702,413		USD	410,000		(14,408	)
06/15/2020	CITI		PLN	1,627,775		USD	390,000		(15,801	)
06/15/2020	JPM		PLN	3,093,304		USD	750,000		(21,154	)
06/15/2020	MSCI		PLN	7,074,329		USD	1,833,792		70,176
06/30/2020	CITI		RON	1,586,723		USD	360,000		(2,774	)
07/17/2020	MSCI		RUB	176,898,180		USD	2,357,955		(136,253	)
06/08/2020	JPM		SEK	22,843,768		USD	2,270,000		(154,496	)
08/18/2020	MSCI		SGD	286,744		USD	201,401		(1,622	)
06/15/2020	BCLY		THB	10,850,216		USD	340,000		(1,075	)
06/15/2020	MSCI		THB	18,000,124		USD	559,601		(6,230	)
07/16/2020	JPM		TRY	1,595,702		USD	230,000		(485	)
08/06/2020	JPM		USD	5,574,472		AUD	8,650,000		191,252
08/06/2020	MSCI		USD	3,737,766		AUD	5,710,000		68,279
08/04/2020	GS		USD	380,000		BRL	2,179,832		27,394
08/04/2020	MSCI		USD	1,340,000		BRL	7,202,808		6,151
06/03/2020	BOA		USD	3,870,000		CAD	5,333,367		3,601
06/03/2020	JPM		USD	25,132,634		CAD	33,833,361		(559,615	)
06/03/2020	MSCI		USD	3,010,000		CAD	4,208,486		46,604
08/14/2020	MSCI		USD	780,000		CHF	757,656		9,383
06/03/2020	JPM		USD	2,476,055		CLP	2,021,698,500		49,803
09/01/2020	MSCI		USD	280,000		CLP	226,156,000		2,621
07/14/2020	GS		USD	460,000		CZK	11,373,595		9,285
07/14/2020	JPM		USD	1,240,000		CZK	29,954,829		(4,037	)
07/27/2020	JPM		USD	1,605,246		EUR	1,440,000		(4,950	)
07/14/2020	CITI		USD	120,000		HUF	37,548,204		47
08/19/2020	JPM		USD	1,726,187		IDR	26,486,606,000		51,693
06/04/2020	JPM		USD	1,899,963		INR	144,855,142		16,505
07/01/2020	JPM		USD	609,502		INR	46,340,412		2,532
06/02/2020	JPM		USD	1,640,000		JPY	170,548,799		(58,575	)
06/09/2020	CITI		USD	1,549,915		JPY	170,548,799		31,615
06/09/2020	DB		USD	1,200,000		JPY	128,318,640		(10,078	)
06/09/2020	JPM		USD	28,172,116		JPY	3,013,744,171		(225,132	)
07/01/2020	BCLY		USD	2,100,000		KRW	2,575,279,000		(10,957	)
07/01/2020	CITI		USD	223,232		KRW	276,120,460		754
07/01/2020	MSCI		USD	470,000		KRW	576,211,540		(2,582	)
08/21/2020	BOA		USD	460,000		MXN	10,803,729		21,555
08/21/2020	CITI		USD	420,000		MXN	9,391,026		(1,414	)
08/21/2020	MSCI		USD	1,406,175		MXN	33,539,090		88,764
06/04/2020	JPM		USD	5,734,476		NOK	53,707,670		(209,381	)
08/11/2020	JPM		USD	2,980,000		NOK	29,713,566		78,243
08/11/2020	MSCI		USD	6,583,014		NOK	67,365,961		350,569
08/05/2020	BCLY		USD	781,949		NZD	1,274,000		8,607
08/05/2020	JPM		USD	5,085,902		NZD	8,306,000		68,230
08/06/2020	BCLY		USD	270,000		PEN	926,235		(91	)
08/06/2020	JPM		USD	1,270,000		PEN	4,337,240		(6,108	)
06/02/2020	JPM		USD	880,000		PHP	44,832,190		5,661
06/02/2020	MSCI		USD	760,000		PHP	38,868,300		7,845
09/01/2020	MSCI		USD	285,741		PHP	14,582,790		1,418
06/15/2020	BOA		USD	270,000		PLN	1,111,960		7,209
06/15/2020	CITI		USD	650,000		PLN	2,699,405		22,956
06/30/2020	DB		USD	400,000		RON	1,800,181		11,577
06/30/2020	MSCI		USD	156,692		RON	704,720		4,429
06/08/2020	MSCI		USD	9,486,858		SEK	89,817,773		45,843
08/04/2020	BCLY		USD	1,730,000		SEK	16,695,538		42,895
08/04/2020	MSCI		USD	5,775,304		SEK	56,964,421		273,734

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/18/2020	GS		USD	320,000		SGD	452,484		371
08/18/2020	JPM		USD	1,500,000		SGD	2,116,390		(1,538	)
06/15/2020	CITI		USD	500,000		THB	15,902,800		(98	)
06/16/2020	JPM		USD	480,000		TRY	3,412,080		18,032
07/16/2020	JPM		USD	1,481,133		TRY	10,528,764		39,650
07/07/2020	JPM		USD	310,000		TWD	9,288,530		520
07/07/2020	MSCI		USD	1,670,000		TWD	49,747,380		(6,920	)
07/31/2020	DB		USD	910,000		ZAR	16,381,205		17,663
07/31/2020	JPM		USD	800,000		ZAR	14,082,605		(2,506	)
								$	(2,445,554	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
24	U.S. Long Bond (CBT)	September 2020		4,281,000		23,328
106	U.S. Treasury Note 2 Yr. (CBT)	September 2020		23,409,437		6,514
464	U.S. Treasury Note 5 Yr. (CBT)	September 2020		58,290,000		108,207
74	U.S. Treasury Note 10 Yr. (CBT)	September 2020		10,290,625		32,001
113	U.S. Treasury Ultra 10 Yr. (CBT)	September 2020		17,778,078		81,182
26	U.S. Ultra Bond (CBT)	September 2020		5,668,813		17,059
			$	119,717,953	$	268,291
Sales
6	Canadian Government Bond 10 Yr.	September 2020	$	669,528	$	2,301

+ Buys - Fund is long the futures contract.

            Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
6 Month AUD BBSW	0.94%	AUD	6,310,000		06/17/2030	Semi-Annually		—			22,340			22,340
6 Month AUD BBSW	0.91%	AUD	6,640,000		06/17/2030	Semi-Annually		—			12,701			12,701
6 Month AUD BBSW	0.90%	AUD	28,940,000		06/17/2030	Semi-Annually		10,464			28,981			18,517
6 Month AUD BBSW	0.90%	AUD	13,290,000		06/17/2030	Semi-Annually		—			17,635			17,635
6 Month AUD BBSW	0.89%	AUD	12,130,000		06/17/2030	Semi-Annually		11,111			8,199			(2,912	)
0.88%	6 Month AUD BBSW	AUD	9,280,000		06/17/2030	Semi-Annually		—			(533	)		(533	)
0.89%	6 Month AUD BBSW	AUD	5,100,000		06/17/2030	Semi-Annually		—			(3,779	)		(3,779	)
6 Month AUD BBSW	0.95%	AUD	9,810,000		06/17/2030	Semi-Annually		3,118			41,118			38,000
3 Month CAD LIBOR	0.98%	CAD	16,770,000		06/17/2030	Semi-Annually		—			(32,510	)		(32,510	)
1.04%	3 Month CAD LIBOR	CAD	360,000		06/17/2030	Semi-Annually		—			(929	)		(929	)
3 Month CAD LIBOR	1.10%	CAD	14,680,000		06/17/2030	Semi-Annually		(35,064	)		101,148			136,212
3 Month CAD LIBOR	1.29%	CAD	2,760,000		06/17/2030	Semi-Annually		—			55,081			55,081
3 Month CAD LIBOR	1.07%	CAD	15,590,000		06/17/2030	Semi-Annually		1,872			74,385			72,513
6 Month CHF LIBOR	(0.34)%	CHF	42,810,000		06/17/2030	Semi-Annually		196,990			31,226			(165,764	)
0.63%	3 Month NZD Bank Bill Rate	NZD	2,020,000		06/17/2030	Quarterly		(857	)		10,622			11,479
0.70%	3 Month NZD Bank Bill Rate	NZD	2,730,000		06/17/2030	Quarterly		—			2,045			2,045
3 Month SEK STIBOR	0.37%	SEK	91,100,000		06/17/2030	Quarterly		(10,203	)		(9,100	)		1,103

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month SEK STIBOR	0.40%	SEK	186,400,000		06/17/2030	Quarterly		26,646			50,224			23,578
3 Month SEK STIBOR	0.35%	SEK	45,200,000		06/17/2030	Quarterly		—			(10,477	)		(10,477	)
(0.01)%	6 Month EURIBOR	EUR	3,720,000		06/19/2030	Semi-Annually		—			(50,379	)		(50,379	)
(0.01)%	6 Month EURIBOR	EUR	1,400,000		06/19/2030	Semi-Annually		—			(19,517	)		(19,517	)
(0.15)%	6 Month EURIBOR	EUR	5,120,000		06/19/2030	Semi-Annually		—			12,670			12,670
(0.14)%	6 Month EURIBOR	EUR	4,840,000		06/19/2030	Semi-Annually		—			7,854			7,854
(0.13)%	6 Month EURIBOR	EUR	3,510,000		06/19/2030	Semi-Annually		—			(86	)		(86	)
(0.12)%	6 Month EURIBOR	EUR	36,860,000		06/19/2030	Semi-Annually		(32,363	)		(53,243	)		(20,880	)
(0.09)%	6 Month EURIBOR	EUR	2,890,000		06/19/2030	Semi-Annually		—			(13,367	)		(13,367	)
0.50%	6 Month GBP LIBOR	GBP	7,900,000		06/19/2030	Semi-Annually		22,972			(96,016	)		(118,988	)
0.57%	6 Month GBP LIBOR	GBP	4,710,000		06/19/2030	Semi-Annually		—			(94,941	)		(94,941	)
0.56%	6 Month GBP LIBOR	GBP	3,160,000		06/19/2030	Semi-Annually		—			(61,751	)		(61,751	)
6 Month GBP LIBOR	0.48%	GBP	3,070,000		06/19/2030	Semi-Annually		—			30,130			30,130
6 Month GBP LIBOR	0.48%	GBP	1,540,000		06/19/2030	Semi-Annually		—			15,304			15,304
0.46%	6 Month GBP LIBOR	GBP	11,430,000		06/19/2030	Semi-Annually		(53,391	)		(86,847	)		(33,456	)
0.70%	3 Month USD LIBOR	USD	30,580,000		06/19/2030	Quarterly		(16,348	)		(163,682	)		(147,334	)
3 Month USD LIBOR	0.69%	USD	3,930,000		06/19/2030	Quarterly		—			16,956			16,956
3 Month USD LIBOR	0.65%	USD	1,980,000		06/19/2030	Quarterly		—			614			614
3 Month USD LIBOR	0.67%	USD	4,350,000		06/19/2030	Quarterly		—			8,446			8,446
3 Month USD LIBOR	0.69%	USD	1,940,000		06/19/2030	Quarterly		—			8,754			8,754
3 Month USD LIBOR	0.66%	USD	1,570,000		06/19/2030	Quarterly		—			2,429			2,429
3 Month USD LIBOR	0.67%	USD	1,580,000		06/19/2030	Quarterly		—			3,146			3,146
3 Month USD LIBOR	0.64%	USD	4,000,000		06/19/2030	Quarterly		—			(2,516	)		(2,516	)
0.65%	3 Month USD LIBOR	USD	16,540,000		06/19/2030	Quarterly		(73,080	)		(6,768	)		66,312
							$	51,867		$	(144,433	)	$	(196,300	)

As of May 31, 2020, 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 May 31, 2020.

The rates shown on variable rate notes are the current interest rates at May 31, 2020, 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.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

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)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 94.4%
		Albania — 1.1%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25(a)(b)		45,439,083
		Angola — 0.5%
		Foreign Government Obligations
	936,000	Republic of Angola Via Avenir II BV, Reg S, 6 mo. LIBOR + 4.50%, 6.39%, due 12/07/23		655,200
	23,300,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		13,885,344
	7,300,000	Angolan Government International Bond, Reg S, 9.13%, due 11/26/49		4,368,594
		Total Angola		18,909,138
		Argentina — 2.5%
		Foreign Government Obligations
	5,400,000	Republic of Argentina, 7.50%, due 04/22/26(c)		2,041,875
	23,100,000	Republic of Argentina, 6.88%, due 01/26/27(c)		8,373,750
	27,500,000	Republic of Argentina, 7.63%, due 04/22/46(c)		10,243,750
	7,600,000	Republic of Argentina, 7.13%, due 06/28/2117 (c)		2,686,125
EUR	12,000,000	Republic of Argentina, Reg S, 5.25%, due 01/15/28(c)		4,595,608
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33(c)(d)		879,922
EUR	17,641,371	Republic of Argentina Discount Bond, 7.82%, due 12/31/33(c)		8,292,097
	51,095,149	Republic of Argentina Discount Bond, 8.28%, due 12/31/33(c)		21,122,105
EUR	36,050,000	Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38(c)		14,006,061
EUR	80,830,000	Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38(c)		29,861,726
		Total Argentina		102,103,019
		Armenia — 0.3%
		Foreign Government Agency — 0.2%
	10,900,000	Ardshinbank CJSC Via Dilijan Finance BV, 144A, 6.50%, due 01/28/25		9,592,000
		Foreign Government Obligations — 0.1%
	2,195,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		2,507,102
		Total Armenia		12,099,102
		Azerbaijan — 1.3%
		Foreign Government Agency — 0.8%
	11,102,000	International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24		9,977,922

Par Value†		Description	Value ($)
		Azerbaijan — continued
		Foreign Government Agency — continued
	18,400,000	Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26		21,148,500
				31,126,422
		Foreign Government Obligations — 0.5%
	20,300,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		21,061,228
		Total Azerbaijan		52,187,650
		Bahamas — 0.3%
		Foreign Government Obligations
	8,709,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		6,395,672
	8,323,000	Bahamas Government International Bond, Reg S, 6.95%, due 11/20/29		6,843,066
		Total Bahamas		13,238,738
		Bahrain — 1.7%
		Foreign Government Obligations
	19,500,000	Bahrain Government International Bond, 144A, 5.63%, due 09/30/31		18,390,937
	18,700,000	Bahrain Government International Bond, Reg S, 6.00%, due 09/19/44		16,794,938
	32,050,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		32,560,797
		Total Bahrain		67,746,672
		Barbados — 0.3%
		Foreign Government Obligations
	7,900,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		6,919,906
	7,600,000	Barbados Government International Bond, 144A, 6.50%, due 10/01/29		6,657,125
		Total Barbados		13,577,031
		Belarus — 0.7%
		Foreign Government Agency — 0.2%
	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24		8,078,235
		Foreign Government Obligations — 0.5%
	19,100,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30		18,837,375
		Total Belarus		26,915,610
		Belize — 0.4%
		Foreign Government Obligations
	50,932,100	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		14,807,051

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Bermuda — 0.3%
		Foreign Government Obligations
	11,500,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		12,808,125
		Brazil — 2.3%
		Corporate Debt — 0.5%
	21,791,926	MV24 Capital BV, 144A, 6.75%, due 06/01/34		20,103,052
		Foreign Government Agency — 0.9%
	5,300,000	Centrais Eletricas Brasileiras SA, 144A, 4.63%, due 02/04/30		4,658,369
	32,439,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		30,301,474
				34,959,843
		Foreign Government Obligations — 0.9%
	19,897,000	Republic of Brazil, 7.13%, due 01/20/37		23,304,361
	15,000,000	Republic of Brazil, 4.75%, due 01/14/50		13,785,938
				37,090,299
		Total Brazil		92,153,194
		Cameroon — 0.2%
		Foreign Government Obligations
	10,300,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		9,894,438
		Chile — 2.9%
		Corporate Debt — 1.4%
	26,100,000	Empresa de Transporte de Pasajeros Metro SA, 144A, 4.70%, due 05/07/50		29,897,550
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97(d)		27,350,740
				57,248,290
		Foreign Government Agency — 1.5%
	8,800,000	Corp Nacional del Cobre de Chile, Reg S, 4.25%, due 07/17/42		9,416,000
	34,700,000	Corp Nacional del Cobre de Chile, 144A, 3.70%, due 01/30/50		34,483,125
	8,100,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		8,885,700
	7,600,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		7,717,800
				60,502,625
		Total Chile		117,750,915
		Colombia — 2.0%
		Foreign Government Agency — 1.6%
	5,900,000	Ecopetrol SA, 6.88%, due 04/29/30		6,749,600
	45,411,000	Ecopetrol SA, 7.38%, due 09/18/43		53,766,624
	3,800,000	Ecopetrol SA, 5.88%, due 05/28/45		3,948,913
				64,465,137

Par Value†		Description	Value ($)
		Colombia — continued
		Foreign Government Obligations — 0.4%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		744,859
	3,800,000	Colombia Government International Bond, 11.85%, due 03/09/28(d)		5,700,000
	7,800,000	Colombia Government International Bond, 5.63%, due 02/26/44		9,425,812
				15,870,671
		Total Colombia		80,335,808
		Congo Republic (Brazzaville) — 1.3%
		Foreign Government Obligations
	69,470,603	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29(d)		53,818,007
		Costa Rica — 1.6%
		Foreign Government Agency — 0.2%
	13,814,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		8,957,516
		Foreign Government Obligations — 1.4%
	26,400,000	Costa Rica Government International Bond, Reg S, 9.20%, due 08/26/26		27,200,237
	36,731,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		28,661,658
				55,861,895
		Total Costa Rica		64,819,411
		Dominican Republic — 3.0%
		Asset-Backed Securities — 0.4%
	15,549,025	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		15,558,743
		Foreign Government Obligations — 2.6%
	17,687,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		18,958,253
DOP	1,500,000,000	Dominican Republic International Bond, 144A, 10.38%, due 01/11/30		21,829,900
	11,850,000	Dominican Republic International Bond, Reg S, 7.45%, due 04/30/44		11,661,141
	35,811,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		33,595,194
	11,900,000	Dominican Republic International Bond, 144A, 6.40%, due 06/05/49		10,665,375
	8,600,000	Dominican Republic International Bond, 144A, 5.88%, due 01/30/60		7,280,437
				103,990,300
		Total Dominican Republic		119,549,043
		Ecuador — 1.6%
		Foreign Government Obligations
	12,250,000	Ecuador Government International Bond, Reg S, 9.63%, due 06/02/27(c)		4,489,625

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Ecuador — continued
		Foreign Government Obligations — continued
	34,000,000	Ecuador Government International Bond, Reg S, 8.88%, due 10/23/27(c)		12,308,000
	85,900,000	Ecuador Government International Bond, Reg S, 10.65%, due 01/31/29(c)		30,838,100
	29,100,000	Ecuador Government International Bond, 144A, 9.50%, due 03/27/30(c)		10,577,850
	20,600,000	Ecuador Social Bond Sarl, Zero Coupon, 144A, due 01/30/35		6,449,833
		Total Ecuador		64,663,408
		Egypt — 1.9%
		Foreign Government Obligations
	24,000,000	Egypt Government International Bond, Reg S, 7.90%, due 02/21/48		22,162,500
	33,900,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		33,126,656
	17,400,000	Egypt Government International Bond, 144A, 8.88%, due 05/29/50		17,182,500
	5,300,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		4,871,031
		Total Egypt		77,342,687
		El Salvador — 0.7%
		Foreign Government Obligations
	27,775,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		22,167,922
	10,400,000	El Salvador Government International Bond, 144A, 7.12%, due 01/20/50		7,965,750
		Total El Salvador		30,133,672
		Ethiopia — 0.2%
		Foreign Government Obligations
	6,690,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		6,215,428
		Gabon — 0.5%
		Foreign Government Obligations
	5,879,378	Gabonese Republic, Reg S, 6.38%, due 12/12/24		5,304,301
	15,800,000	Gabonese Republic, 144A, 6.63%, due 02/06/31		13,168,313
		Total Gabon		18,472,614
		Ghana — 1.4%
		Foreign Government Agency — 0.3%
	13,396,216	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		12,341,264
		Foreign Government Obligations — 1.1%
	17,482,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30		19,519,746
	12,600,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51		10,950,187

Par Value†		Description	Value ($)
		Ghana — continued
		Foreign Government Obligations — continued
	14,300,000	Republic of Ghana, 144A, 8.75%, due 03/11/61		12,347,156
				42,817,089
		Total Ghana		55,158,353
		Greece — 0.2%
		Foreign Government Obligations
EUR	5,800,000	Hellenic Republic Government Bond, Reg S, Step Up, 3.65%, due 02/24/36		8,152,271
		Grenada — 0.2%
		Foreign Government Obligations
	11,501,250	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		8,625,938
		Guatemala — 0.8%
		Foreign Government Obligations
	11,765,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		15,441,562
	14,700,000	Republic of Guatemala, 144A, 6.13%, due 06/01/50		16,578,844
		Total Guatemala		32,020,406
		Honduras — 0.1%
		Foreign Government Obligations
	4,646,000	Honduras Government International Bond, Reg S, 6.25%, due 01/19/27		4,846,359
		India — 1.2%
		Corporate Debt — 1.0%
	16,440,000	GMR Hyderabad International Airport Ltd, Reg S, 4.25%, due 10/27/27		13,342,088
	27,700,000	Delhi International Airport Ltd., 144A, 6.45%, due 06/04/29		25,605,187
				38,947,275
		Foreign Government Agency — 0.2%
	1,500,000	Export-Import Bank of India, 144A, 3.25%, due 01/15/30		1,466,719
	7,500,000	Indian Railway Finance Corp., Ltd., 144A, 3.25%, due 02/13/30		7,413,281
				8,880,000
		Total India		47,827,275
		Indonesia — 5.3%
		Foreign Government Agency — 3.0%
	14,700,000	Hutama Karya Persero PT, 144A, 3.75%, due 05/11/30		15,251,250
	3,700,000	Indonesia Asahan Aluminium Persero PT, 144A, 5.45%, due 05/15/30		3,962,515
	15,000,000	Indonesia Asahan Aluminium Persero PT, 144A, 5.80%, due 05/15/50		16,102,500

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Indonesia — continued
		Foreign Government Agency — continued
	9,900,000	Pertamina Persero PT, 144A, 4.15%, due 02/25/60		9,504,990
	18,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		21,804,000
	8,100,000	Pertamina Persero PT, Reg S, 5.63%, due 05/20/43		9,039,094
	8,000,000	Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48		9,430,000
	14,200,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		16,844,750
	23,200,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		19,879,500
				121,818,599
		Foreign Government Obligations — 2.3%
	4,100,000	Indonesia Government International Bond, 4.75%, due 02/11/29		4,740,625
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		57,728,474
	7,900,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47		9,754,031
	16,500,000	Indonesia Government International Bond, 4.35%, due 01/11/48		18,289,219
				90,512,349
		Total Indonesia		212,330,948
		Israel — 0.7%
		Foreign Government Agency — 0.5%
	12,323,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		17,868,350
		Foreign Government Obligations — 0.2%
	7,500,000	Israel Government International Bond, 3.88%, due 07/03/50		8,568,750
		Total Israel		26,437,100
		Ivory Coast — 0.8%
		Foreign Government Obligations
EUR	33,200,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		32,313,669
		Jamaica — 1.0%
		Corporate Debt — 0.2%
	7,250,000	TransJamaican Highway Ltd, 144A, 5.75%, due 10/10/36		6,762,891
		Foreign Government Agency — 0.3%
	11,400,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24(d)		12,198,000
		Foreign Government Obligations — 0.5%
	20,675,000	Jamaica Government International Bond, 7.88%, due 07/28/45		22,832,953
		Total Jamaica		41,793,844

Par Value†		Description	Value ($)
		Jordan — 1.0%
		Foreign Government Obligations
	43,050,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		39,807,797
		Kazakhstan — 1.7%
		Foreign Government Agency — 1.0%
	22,900,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		27,644,594
	9,000,000	Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42		11,494,687
				39,139,281
		Foreign Government Obligations — 0.7%
	21,299,000	Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45		30,830,303
		Total Kazakhstan		69,969,584
		Kenya — 0.8%
		Foreign Government Obligations
	36,400,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		33,954,375
		Kuwait — 0.4%
		Corporate Debt
	7,300,000	Equate Petrochemical BV, Reg S, 4.25%, due 11/03/26		7,236,125
	6,700,000	MEGlobal Canada ULC, 144A, 5.88%, due 05/18/30		7,110,375
		Total Kuwait		14,346,500
		Lebanon — 0.5%
		Foreign Government Obligations
	15,000,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27(c)		2,587,500
	41,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31(c)		6,344,763
	18,800,000	Lebanon Government International Bond, 8.20%, due 05/17/33(c)		2,914,000
	42,944,000	Lebanon Government International Bond, 8.25%, due 05/17/34(c)		6,656,320
		Total Lebanon		18,502,583
		Malaysia — 0.9%
		Foreign Government Agency — 0.9%
	10,700,000	1MDB Global Investments Ltd, Reg S, 4.40%, due 03/09/23		9,899,172
	9,600,000	Petronas Capital Ltd., 144A, 4.55%, due 04/21/50		11,839,200
	11,700,000	Petronas Capital Ltd., 144A, 4.80%, due 04/21/60		15,401,939
		Total Malaysia		37,140,311

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Mexico — 6.2%
		Foreign Government Agency — 3.8%
	27,884,000	Petroleos Mexicanos, 6.35%, due 02/12/48		20,333,537
	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49		4,714,000
	131,800,000	Petroleos Mexicanos, 144A, 7.69%, due 01/23/50		109,723,500
	22,986,000	Petroleos Mexicanos, 144A, 6.95%, due 01/28/60		17,561,304
				152,332,341
		Foreign Government Obligations — 2.4%
	10,700,000	United Mexican States, 5.00%, due 04/27/51		11,502,500
	19,578,000	United Mexican States, 5.75%, due 10/12/2110		21,254,366
GBP	50,396,000	United Mexican States, 5.63%, due 03/19/2114		63,794,501
				96,551,367
		Total Mexico		248,883,708
		Morocco — 0.4%
		Foreign Government Agency
	14,500,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		16,303,438
		Mozambique — 0.2%
		Foreign Government Obligations
	9,276,000	Mozambique International Bond, Reg S, 5.00%, due 09/15/31		7,354,129
		Nigeria — 0.8%
		Foreign Government Obligations
	7,400,000	Nigeria Government International Bond, Reg S, 8.75%, due 01/21/31		6,944,438
	10,700,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		9,078,281
	10,750,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		8,868,750
	7,600,000	Nigeria Government International Bond, Reg S, 9.25%, due 01/21/49		6,970,625
		Total Nigeria		31,862,094
		Oman — 2.6%
		Corporate Debt — 0.1%
	6,100,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		5,373,719
		Foreign Government Obligations — 2.5%
	33,800,000	Oman Government International Bond, 144A, 6.00%, due 08/01/29		28,170,187
	19,000,000	Oman Government International Bond, Reg S, 6.50%, due 03/08/47		14,250,000

Par Value†		Description	Value ($)
		Oman — continued
		Foreign Government Obligations — continued
	74,900,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		56,385,656
				98,805,843
		Total Oman		104,179,562
		Pakistan — 0.9%
		Foreign Government Obligations
	39,562,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		36,347,587
		Panama — 1.8%
		Foreign Government Agency — 0.5%
	20,409,380	Aeropuerto Internacional de Tocumen SA, Reg S, 6.00%, due 11/18/48		21,110,952
		Foreign Government Obligations — 1.3%
	7,951,000	Panama Government International Bond, 8.13%, due 04/28/34		11,454,409
	9,000,000	Panama Government International Bond, 4.30%, due 04/29/53		10,386,563
	20,800,000	Panama Government International Bond, 4.50%, due 04/01/56		24,523,200
	4,200,000	Panama Notas del Tesoro, 144A, 3.75%, due 04/17/26		4,321,800
				50,685,972
		Total Panama		71,796,924
		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		1,239,000
		Peru — 1.5%
		Foreign Government Agency — 1.1%
	10,543,089	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25(d)		10,054,311
	30,595,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		34,624,937
				44,679,248
		Foreign Government Obligations — 0.4%
	14,900,000	Peruvian Government International Bond, 2.78%, due 01/23/31		15,674,800
		Total Peru		60,354,048
		Philippines — 2.6%
		Foreign Government Agency
	4,700,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97(d)		13,079,863
	23,300,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		31,600,625

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Philippines — continued
		Foreign Government Agency — continued
	42,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		60,969,915
		Total Philippines		105,650,403
		Qatar — 2.5%
		Foreign Government Obligations
	7,300,000	Qatar Government International Bond, 144A, 3.40%, due 04/16/25		7,806,438
	17,000,000	Qatar Government International Bond, 144A, 3.75%, due 04/16/30		18,901,875
	49,000,000	Qatar Government International Bond, 144A, 4.40%, due 04/16/50		58,187,500
	11,000,000	Qatar Government International Bond, Reg S, 5.10%, due 04/23/48		14,385,937
		Total Qatar		99,281,750
		Romania — 0.4%
		Foreign Government Obligations
	4,500,000	Romanian Government International Bond, Reg S, 5.13%, due 06/15/48		5,096,250
EUR	10,900,000	Romanian Government International Bond, 144A, 3.38%, due 01/28/50		11,555,070
		Total Romania		16,651,320
		Russia — 3.2%
		Foreign Government Agency — 0.9%
	11,867,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		18,167,635
	19,400,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27		18,890,750
				37,058,385
		Foreign Government Obligations — 2.3%
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35		42,553,125
	8,800,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35		11,013,750
	6,000,000	Russian Foreign Bond, Reg S, 5.88%, due 09/16/43		8,563,125
	20,800,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		28,054,000
				90,184,000
		Total Russia		127,242,385
		Rwanda — 0.1%
		Foreign Government Obligations
	5,487,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		5,219,509

Par Value†		Description	Value ($)
		Saudi Arabia — 2.4%
		Corporate Debt — 0.7%
	26,550,000	ACWA Power Management And Investments One Ltd, Reg S, 5.95%, due 12/15/39		26,948,250
		Foreign Government Obligations — 1.7%
	62,300,000	Saudi Government International Bond, 144A, 4.50%, due 04/22/60		68,530,000
		Total Saudi Arabia		95,478,250
		Senegal — 0.4%
		Foreign Government Obligations
	17,400,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		15,670,875
		South Africa — 3.1%
		Foreign Government Agency — 0.7%
	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		12,310,126
	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		12,257,000
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,450,210
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		1,878,321
				27,895,657
		Foreign Government Obligations — 2.4%
	13,700,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		11,165,500
	12,600,000	Republic of South Africa Government International Bond, 6.30%, due 06/22/48		11,210,062
	89,200,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		72,698,000
				95,073,562
		Total South Africa		122,969,219
		Sri Lanka — 1.2%
		Foreign Government Obligations
	9,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		5,048,900
	13,644,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		7,431,716
	33,700,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28		18,229,594
	5,300,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29		2,883,531
	30,800,000	Sri Lanka Government International Bond, 144A, 7.55%, due 03/28/30		16,622,375
		Total Sri Lanka		50,216,116
		SupraNational — 0.4%
		Foreign Government Agency
TRY	263,000,000	International Finance Corp., Zero Coupon, Reg S, due 02/15/29		14,625,450

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Suriname — 0.3%
		Foreign Government Obligations
	19,759,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26		5,793,890
	14,000,000	Republic of Suriname, 144A, 9.88%, due 12/30/23		7,008,728
		Total Suriname		12,802,618
		Tajikistan — 0.2%
		Foreign Government Obligations
	12,674,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		9,180,729
		Thailand — 0.2%
		Foreign Government Agency
	7,300,000	PTTEP Treasury Center Co Ltd, 144A, 3.90%, due 12/06/59		7,165,406
		Trinidad And Tobago — 0.8%
		Foreign Government Agency
	9,800,000	Telecommunications Services of Trinidad & Tobago Ltd, 144A, 8.88%, due 10/18/29		8,930,250
	4,027,000	Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27		3,468,254
	13,521,000	Trinidad Petroleum Holdings Ltd, 144A, 9.75%, due 06/15/26		11,792,847
	10,867,000	Trinidad Petroleum Holdings Ltd, Reg S, 9.75%, due 06/15/26		9,478,061
		Total Trinidad And Tobago		33,669,412
		Tunisia — 1.4%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30(d)		40,867,924
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31(d)		13,881,058
		Total Tunisia		54,748,982
		Turkey — 5.5%
		Corporate Debt — 0.0%
	1,600,000	Turkiye Sinai Kalkinma Bankasi AS, 144A, 6.00%, due 01/23/25		1,503,500
		Foreign Government Agency — 1.5%
	12,400,000	Export Credit Bank of Turkey, Reg S, 6.13%, due 05/03/24		11,967,612
	18,950,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		18,126,859
	13,378,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		13,561,948
	5,000,000	TC Ziraat Bankasi AS, Reg S, 5.13%, due 09/29/23		4,756,250

Par Value†		Description	Value ($)
		Turkey — continued
		Foreign Government Agency — continued
	11,200,000	Turkiye Vakiflar Bankasi TAO, Reg S, 5.75%, due 01/30/23		10,923,500
				59,336,169
		Foreign Government Obligations — 4.0%
	24,100,000	Republic of Turkey, 7.63%, due 04/26/29		24,551,875
	16,544,000	Republic of Turkey, 6.75%, due 05/30/40		14,744,840
	59,402,000	Republic of Turkey, 6.00%, due 01/14/41		48,486,882
	29,600,000	Republic of Turkey, 6.63%, due 02/17/45		25,456,000
	57,813,000	Republic of Turkey, 5.75%, due 05/11/47		45,220,606
				158,460,203
		Total Turkey		219,299,872
		Ukraine — 2.8%
		Foreign Government Agency — 0.6%
	10,700,000	NAK Naftogaz Ukraine via Kondor Finance Plc, 144A, 7.63%, due 11/08/26		9,810,562
EUR	3,800,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24		3,951,918
	4,094,500	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		4,114,966
	5,100,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		5,125,500
				23,002,946
		Foreign Government Obligations — 2.2%
	3,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21		3,042,397
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23		6,624,510
	8,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		8,619,340
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		6,604,755
	11,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		10,974,924
	3,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		3,826,683
	35,900,000	Ukraine Government International Bond, Reg S, 9.75%, due 11/01/28		38,547,625
	8,400,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32		8,001,000
EUR	3,700,000	Ukraine Government International Bond, 144A, 6.75%, due 06/20/26		3,966,002
				90,207,236
		Total Ukraine		113,210,182
		United Arab Emirates — 1.0%
		Foreign Government Agency — 0.3%
	14,000,000	DP World Plc, Reg S, 4.70%, due 09/30/49		12,810,000

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United Arab Emirates — continued
		Foreign Government Obligations — 0.7%
	26,300,000	Abu Dhabi Government International Bond, 144A, 3.13%, due 09/30/49		26,439,719
		Total United Arab Emirates		39,249,719
		United States — 3.5%
		Asset-Backed Securities — 0.4%
	2,194,153	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.42%, due 12/15/35		2,055,616
	1,054,265	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.42%, due 12/15/35		1,015,050
	1,606,837	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 0.38%, due 05/15/36		1,395,020
	9,394,174	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 0.32%, due 11/25/36		4,078,816
	9,519,430	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 0.39%, due 11/25/36		4,192,405
	5,093,981	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 0.53%, due 04/25/37		2,421,964
				15,158,871
		Corporate Debt — 0.0%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/20		514,030
	1,449,277	AMBAC LSNI LLC, 3 mo. LIBOR + 5.00%, 6.45%, due 02/12/23		1,391,306
				1,905,336
		U.S. Government — 3.1%
	79,834,300	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22(e)		80,014,195
	1,500,000	U.S. Treasury Note, 1.38%, due 01/31/21(f)		1,511,777
	20,000,000	U.S. Treasury Note, 1.63%, due 12/31/21		20,454,688
	7,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.17%, due 07/31/20(f)		7,000,384
	15,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.30%, 0.43%, due 10/31/21(f)		15,049,188
				124,030,232
		Total United States		141,094,439
		Uruguay — 1.3%
		Foreign Government Obligations
	42,218,000	Uruguay Government International Bond, 5.10%, due 06/18/50		51,730,243

Par Value†		Description	Value ($)
		Uzbekistan — 0.3%
		Foreign Government Obligations
	11,700,000	Republic of Uzbekistan Bond, Reg S, 5.38%, due 02/20/29		12,657,938
		Venezuela — 0.8%
		Foreign Government Agency — 0.3%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/49(c)(d)		5,573,250
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24(c)(d)		5,544,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26(c)(d)		1,951,961
				13,069,211
		Foreign Government Obligations — 0.5%
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34(c)(d)		385,000
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19(c)(d)		1,046,540
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20(c)(d)		2,013,000
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22(c)(d)		1,306,250
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23(c)(d)		9,503,615
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31(c)(d)		3,778,500
				18,032,905
		Total Venezuela		31,102,116
		Vietnam — 0.7%
		Foreign Government Agency — 0.5%
	28,058,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		21,236,399
		Foreign Government Obligations — 0.2%
	6,498,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 2.63%, due 03/13/28(d)		5,848,200
		Total Vietnam		27,084,599
		Zambia — 0.3%
		Foreign Government Obligations
	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22		1,614,375
	27,572,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27		12,347,086
		Total Zambia		13,961,461
		TOTAL DEBT OBLIGATIONS (COST $4,338,196,555)		3,796,490,640

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		LOAN ASSIGNMENTS — 0.3%
		Chad — 0.2%
	8,247,532	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 3.89%, due 09/30/25(d)		5,228,935
	2,954,797	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 4.14%, due 12/31/27(d)		1,663,551
		Total Chad		6,892,486
		Indonesia — 0.0%
EUR	197,725	Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21(a)		211,373
		Kenya — 0.1%
	6,083,333	Republic of Kenya Loan Agreement, 9.17%, due 04/10/25(a)		5,415,856
		TOTAL LOAN ASSIGNMENTS (COST $14,801,010)		12,519,715
		LOAN PARTICIPATIONS — 0.9%
		Angola — 0.6%
	14,550,000	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.55%, due 12/13/23(d)		10,185,000
	8,324,500	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.55%, due 12/20/23(d)		5,827,150
	14,250,000	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24(d)		7,837,500
		Total Angola		23,849,650
		Egypt — 0.0%
CHF	27,358	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24(a)		22,902
		Iraq — 0.3%
EUR	895,375	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27(a)		645,405
JPY	2,318,433,288	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28(d)		7,951,712
JPY	302,926,475	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28(d)		1,039,143
JPY	128,758,461	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28(d)		433,569
		Total Iraq		10,069,829

Par Value† / Shares		Description	Value ($)
		Russia — 0.0%
	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.)(c)(d)		3
		TOTAL LOAN PARTICIPATIONS (COST $70,637,501)		33,942,384
		MUTUAL FUNDS — 1.9%
		United States — 1.9%
		Affiliated Issuers — 1.9%
	14,838,144	GMO U.S. Treasury Fund		74,784,247
		TOTAL MUTUAL FUNDS (COST $74,296,430)		74,784,247
		RIGHTS/WARRANTS — 0.3%
		Argentina — 0.0%
EUR	335,089,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35(e)		813,677
JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35(c)(d)(e)		446,124
		Total Argentina		1,259,801
		Nigeria — 0.0%
	28,000	Central Bank of Nigeria Oil Warrants, Reg S, Variable Rate, Expires 11/15/20(d)(e)		298,667
		Ukraine — 0.3%
	14,446,000	Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40(e)		12,238,470
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, Variable Rate, Expires 01/02/21(a)(e)		—
		TOTAL RIGHTS/WARRANTS (COST $49,622,469)		13,796,938
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds
	8,795,218	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12%(g)		8,795,218
		TOTAL SHORT-TERM INVESTMENTS (COST $8,795,218)		8,795,218
		TOTAL INVESTMENTS — 98.0% (Cost $4,556,349,183)		3,940,329,142
		Other Assets and Liabilities (net) — 2.0%		81,050,415
		TOTAL NET ASSETS — 100.0%		$4,021,379,557

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/17/2020	MSCI		EUR	92,161,600		USD	100,798,985		(1,600,094	)
07/17/2020	JPM		GBP	49,311,000		USD	61,546,785		636,111
07/16/2020	JPM		TRY	84,000,000		USD	11,894,647		(238,387	)
07/17/2020	BCLY		USD	18,659,338		JPY	2,000,000,000		(101,801	)
07/17/2020	DB		USD	13,936,700		JPY	1,500,000,000		(18,547	)
07/17/2020	JPM		USD	13,952,845		JPY	1,500,000,000		(34,692	)
07/17/2020	MSCI		USD	25,032,389		JPY	2,690,000,000		(72,501	)
								$	(1,429,911	)

Reverse Repurchase Agreements

Average balance outstanding	$	(10,300,000	)
Average interest rate (net)		(0.10	)%
Maximum balance outstanding	$	(10,300,000	)

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.

Credit Linked Options

Principal / Notional Amount			Expiration Date	Description	Premiums Paid/(Received) ($)			Value ($)
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)(a)		(672,813	)		85,921
Put Sold	USD	46,000,000	04/13/2021	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB)(a)		(947,472	)		(69,000	)
Put Sold	USD	9,746,000	01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB)(a)		(57,163	)		92,657
Put Sold	USD	50,797,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB)(a)		(978,283	)		35,491
Put Sold	USD	100,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB)(a)		(3,379,444	)		(693,506	)
					$	(6,035,175	)	$	(548,437	)

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

149,000,000

1.00%

2.95%

N/A

06/20/2024

Quarterly

$

4,656,250

$

10,998,286

$

6,342,036

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (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%		4.46%		N/A		12/20/2020		Quarterly		7,730,397			1,115,677			(6,614,720	)
Republic of South Africa	CITI	USD	22,400,000		1.00%		2.66%		N/A		06/20/2022		Quarterly		741,652			743,972			2,320
Republic of South Africa	GS	USD	3,800,000		1.00%		2.66%		N/A		06/20/2022		Quarterly		213,052			126,209			(86,843	)
Petrobras Global Finance BV	CITI	USD	37,000,000		1.00%		4.18%		N/A		06/20/2024		Quarterly		1,923,458			4,306,326			2,382,868
Republic of Argentina	BOA	USD	2,500,000		5.00%		69.09%		N/A		06/20/2024		Quarterly		359,815			1,704,195			1,344,380
Republic of Argentina	CITI	USD	10,000,000		5.00%		69.09%		N/A		06/20/2024		Quarterly		1,476,727			6,816,778			5,340,051
Commonwealth of Bahamas	DB	EUR	44,558,436		1.00%		6.95%		N/A		06/20/2025		Quarterly		6,171,081			7,246,545			1,075,464
Republic of South Africa	GS	USD	38,000,000		1.00%		3.49%		N/A		06/20/2025		Quarterly		4,401,764			4,289,981			(111,783	)
Republic of South Africa	GS	USD	3,800,000		1.00%		3.49%		N/A		06/20/2025		Quarterly		548,468			428,998			(119,470	)
Republic of Turkey	CITI	USD	19,000,000		1.00%		5.59%		N/A		06/20/2025		Quarterly		2,904,145			3,690,619			786,474
United States of Mexico	GS	USD	20,000,000		1.00%		2.36%		N/A		06/20/2029		Quarterly		1,589,641			2,133,237			543,596
United States of Mexico	GS	USD	20,000,000		1.00%		2.50%		N/A		09/20/2031		Quarterly		2,640,655			2,786,802			146,147
Sell Protection^:
Commonwealth of Bahamas	DB	USD	61,270,000		1.00%		4.46%		61,270,000 USD		12/20/2020		Quarterly		(7,515,364	)		(1,186,676	)		6,328,688
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		6.67%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(538,800	)		102,663
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		6.67%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(1,077,755	)		186,160
Commonwealth of Bahamas	DB	USD	59,796,571		1.00%		6.93%		59,796,571 USD		06/20/2025		Quarterly		(6,983,424	)		(8,640,006	)		(1,656,582	)
Russia	GS	USD	2,436,000		1.00%		1.29%		2,436,000 USD		12/20/2025		Quarterly		(238,041	)		(38,152	)		199,889
Russia	GS	USD	8,487,000		1.00%		1.46%		8,487,000 USD		12/20/2026		Quarterly		(1,059,663	)		(238,279	)		821,384
Republic of Malaysia	CITI	USD	17,200,000		1.00%		1.28%		17,200,000 USD		12/20/2028		Quarterly		(845,599	)		(379,775	)		465,824
Republic of Brazil	JPM	USD	10,000,000		1.00%		3.58%		10,000,000 USD		03/20/2030		Quarterly		(1,418,590	)		(1,999,846	)		(581,256	)
														$	10,734,796		$	21,290,050		$	10,555,254

^ 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 May 31, 2020, 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)

May 31, 2020 (Unaudited)

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	$	—	$	(2,899,906	)	$	(2,899,906	)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.53%		6 Month EURIBOR	EUR	30,000,000		01/24/2050	Semi-Annual		(29,167	)		(4,941,690	)		(4,912,523	)
0.18%		GBP — SONIA-COMPOUND	GBP	6,410,000		04/22/2050	Annually		7,914			(100,213	)		(108,127	)
								$	(21,253	)	$	(5,041,903	)	$	(5,020,650	)

As of May 31, 2020, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

(b) Security is backed by U.S. Treasury Bonds.

(c) Security is in default.

(d) Investment valued using significant unobservable inputs.

(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) The rate disclosed is the 7 day net yield as of May 31, 2020.

The rates shown on variable rate notes are the current interest rates at May 31, 2020, 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.

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

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

SONIA - Sterling Overnight Interbank Average Rate

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

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

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

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

DOP - Dominican Peso

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)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 15.9%
		Australia — 0.1%
		Corporate Debt — 0.1%
	180,000	Adani Abbot Point Terminal Pty Ltd., 144A, 4.45%, due 12/15/22		153,126
		Canada — 0.9%
		Corporate Debt — 0.9%
	1,125,000	Methanex Corp., 5.25%, due 12/15/29		982,291
	125,000	Mountain Province Diamonds, Inc., 144A, 8.00%, due 12/15/22		63,438
	375,000	Taseko Mines Ltd., 144A, 8.75%, due 06/15/22		213,750
	500,000	Tervita Corp., 144A, 7.63%, due 12/01/21		386,250
		Total Canada		1,645,729
		Germany — 0.6%
		Corporate Debt — 0.6%
	1,000,000	ZF North America Capital, Inc., 144A, 4.75%, due 04/29/25		975,000
		New Zealand — 0.4%
		Corporate Debt — 0.4%
	750,000	Trilogy International Partners LLC / Trilogy International Finance, Inc., 144A, 8.88%, due 05/01/22		667,500
		United Kingdom — 0.4%
		Corporate Debt — 0.4%
	500,000	Avon Products, Inc., 7.00%, due 03/15/23		489,735
	44,000	Global Ship Lease, Inc., 144A, 9.88%, due 11/15/22		37,620
	190,000	Jaguar Land Rover Automotive PLC, 144A, 5.63%, due 02/01/23		159,600
		Total United Kingdom		686,955
		United States — 13.5%
		Corporate Debt — 13.0%
	375,000	Acadia Healthcare Co., Inc., 6.13%, due 03/15/21		373,594
	125,000	Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23		125,650
	1,000,000	Antero Resources Corp., 5.13%, due 12/01/22		700,000
	173,000	Apollo Investment Corp., 5.25%, due 03/03/25		145,117
	750,000	Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144A, 10.00%, due 04/01/22		656,250
	375,000	Buckeye Partners LP, 4.35%, due 10/15/24		365,625
	250,000	Cablevision Systems Corp., 5.88%, due 09/15/22		263,575
	1,250,000	Century Aluminum Co., 144A, 7.50%, due 06/01/21		1,125,000

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	625,000	CHS/Community Health Systems, Inc., 6.25%, due 03/31/23		606,250
	875,000	Cinemark USA, Inc., 5.13%, due 12/15/22		778,750
	375,000	Cleaver-Brooks, Inc., 144A, 7.88%, due 03/01/23		314,141
	366,000	Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, due 04/01/23		348,615
	875,000	CSC Holdings LLC, 6.75%, due 11/15/21		921,838
	1,125,000	Delta Air Lines, Inc., 4.38%, due 04/19/28		914,068
	625,000	DISH DBS Corp., 5.88%, due 07/15/22		642,325
	125,000	Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 02/15/23		86,875
	798,000	DPL, Inc., 7.25%, due 10/15/21		819,945
	1,375,000	EQM Midstream Partners LP, 4.75%, due 07/15/23		1,360,685
	750,000	Ford Motor Credit Co. LLC, 4.13%, due 08/04/25		701,408
	980,000	Ford Motor Credit Co. LLC, 4.39%, due 01/08/26		921,200
	375,000	Genworth Holdings, Inc., 7.20%, due 02/15/21		345,000
	209,000	HC2 Holdings, Inc., 144A, 11.50%, due 12/01/21		188,100
	250,000	Hillman Group, Inc. (The), 144A, 6.38%, due 07/15/22		225,180
	625,000	Kraft Heinz Foods Co., 3.38%, due 06/15/21		633,844
	470,000	Kraft Heinz Foods Co., 3.95%, due 07/15/25		494,426
	696,000	Macy’s Retail Holdings, Inc., 3.88%, due 01/15/22		617,700
	1,039,000	Michael Kors USA, Inc., 144A, 4.25%, due 11/01/24		901,333
	625,000	Newell Brands, Inc., 4.70%, due 04/01/26		647,063
	500,000	Nielsen Finance LLC / Nielsen Finance Co., 144A, 5.00%, due 04/15/22		499,225
	500,000	Occidental Petroleum Corp., 2.90%, due 08/15/24		397,500
	202,000	Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 144A, 6.63%, due 05/15/22		202,252
	122,000	Owens-Brockway Glass Container, Inc., 144A, 5.00%, due 01/15/22		122,915
	825,000	Pyxus International, Inc., 144A, 8.50%, due 04/15/21		775,500
	1,125,000	QVC, Inc., 5.45%, due 08/15/34		947,813
	625,000	RHP Hotel Properties LP / RHP Finance Corp., REIT, 5.00%, due 04/15/23		579,819
	375,000	Rockies Express Pipeline LLC, 144A, 3.60%, due 05/15/25		340,313
	500,000	RR Donnelley & Sons Co., 7.88%, due 03/15/21		497,500
	1,000,000	Spirit AeroSystems, Inc., 3.85%, due 06/15/26		907,500

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	625,000	Urban One, Inc., 144A, 7.38%, due 04/15/22		512,500
	375,000	Weekley Homes LLC / Weekley Finance Corp., 6.00%, due 02/01/23		363,829
	375,000	Western Midstream Operating LP, 4.00%, due 07/01/22		368,670
		Total Corporate Debt		22,738,893
		U.S. Government — 0.5%
	900,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.28%, due 01/31/22(a)		901,010
		Total United States		23,639,903
		TOTAL DEBT OBLIGATIONS (COST $27,876,719)		27,768,213
		INVESTMENT FUNDS — 68.3%
		United States — 68.3%
	1,444,277	iShares iBoxx $ High Yield Corporate Bond ETF		119,037,310
		TOTAL INVESTMENT FUNDS (COST $115,695,714)		119,037,310

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 13.5%
		Foreign Government Obligations — 13.5%
JPY	1,396,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/06/20		12,946,472
JPY	1,150,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/17/20		10,666,328
		Total Foreign Government Obligations		23,612,800
		TOTAL SHORT-TERM INVESTMENTS (COST $23,606,301)		23,612,800
		TOTAL INVESTMENTS — 97.7% (Cost $167,178,734)		170,418,323
		Other Assets and Liabilities (net) — 2.3%		3,997,195
		TOTAL NET ASSETS — 100.0%		$174,415,518

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/08/2020	BCLY		JPY	200,000,000		USD	1,909,127		54,509
07/06/2020	JPM		JPY	1,396,000,000		USD	12,896,870		(54,112	)
07/13/2020	JPM		JPY	1,088,000,000		USD	10,165,021		70,338
08/17/2020	DB		JPY	1,150,000,000		USD	10,763,970		88,286
06/08/2020	MSCI		USD	1,867,382		JPY	200,000,000		(12,764	)
07/13/2020	DB		USD	10,163,826		JPY	1,088,000,000		(69,144	)
								$	77,113

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
	Buys
13	U.S. Treasury Note 2 Yr. (CBT)	September 2020		2,870,969		799
18	U.S. Treasury Note 5 Yr. (CBT)	September 2020		2,261,250		4,198
60	U.S. Treasury Note 10 Yr. (CBT)	September 2020		8,343,750		25,947
			$	13,475,969	$	30,944

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Reverse Repurchase Agreements

Average balance outstanding	$	(743,429	)
Average interest rate (net)		(0.21	)%
Maximum balance outstanding	$	(898,268	)

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

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-NAHYS34V1-5Y	USD	17,741,920		5.00%		5.41%		17,741,920 USD		06/20/2025		Quarterly	$	(1,434,616	)	$	(303,227	)	$	1,131,389

^ 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 May 31, 2020, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	MSCI	USD	1,800,001		06/20/2020	Quarterly		—		(83,600	)		(83,600	)
3 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	GS	USD	779,999		06/20/2020	Quarterly		—		(27,021	)		(27,021	)
3 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	JPM	USD	4,900,000		06/20/2020	Quarterly		—		(199,621	)		(199,621	)
								$	—	$	(310,242	)	$	(310,242	)

As of May 31, 2020, 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.

The rates shown on variable rate notes are the current interest rates at May 31, 2020, which are subject to change based on the terms of the security.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Portfolio Abbreviations:

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

normally to qualified institutional investors.

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:

BCLY - Barclays Bank PLC

DB - Deutsche Bank AG

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)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 90.2%
		Asset-Backed Securities — 88.4%
		Auto Retail Subprime — 0.1%
	462,675	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		464,520
		CMBS Collateralized Debt Obligations — 0.9%
	1,001,755	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42		1,006,742
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,348,540
	397,965	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 0.39%, 2.24%, due 01/20/37 (a)		391,995
	1,790,742	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		1,728,962
		Total CMBS Collateralized Debt Obligations		6,476,239
		Collateralized Loan Obligations — 17.5%
	7,785,373	ACIS CLO Ltd., Series 15-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.59%, 2.28%, due 05/01/27		7,776,537
	1,905,000	Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 3.73%, due 10/17/26		1,735,032
	342,920	BFNS LLC, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.98%, 1.97%, due 01/25/29		342,623
	4,222,400	Catamaran CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.80%, 2.79%, due 01/27/28		3,911,247
	5,510,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.26%, due 01/20/30		5,268,149
	4,161,000	ECP CLO Ltd., Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 2.28%, due 04/22/30		3,987,765
	1,259,600	Garrison BSL CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 2.78%, due 07/17/28		1,210,350
	11,360,000	Garrison BSL CLO Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.97%, 2.10%, due 07/17/28		11,119,884
	5,034,029	Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 3.39%, due 08/15/23		4,962,994
	2,372,000	Jamestown CLO XI Ltd., Series 18-11A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.70%, 3.01%, due 07/14/31		2,253,125
	3,582,480	Loomis Sayles CLO II Ltd., Series 15-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.12%, due 04/15/28		3,510,024
	1,465,400	Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 3.49%, due 07/20/26		1,445,869
	15,030,900	Mountain View CLO Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.34%, due 07/15/31		14,239,869

Par Value†		Description	Value ($)
		Collateralized Loan Obligations — continued
	2,015,360	Saranac CLO III Ltd, Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.30%, due 06/22/30		1,990,232
	7,880,500	Saratoga Investment Corp. CLO Ltd., Series 13-1A, Class BR2, 144A, Variable Rate, 3 mo. LIBOR + 2.30%, 3.44%, due 01/20/30		7,674,433
	2,845,600	Shackleton CLO Ltd., Series 13-4RA, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.31%, due 04/13/31		2,745,355
	11,974,000	Sound Point CLO II Ltd., Series 13-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.07%, 2.06%, due 01/26/31		11,552,743
	6,235,025	Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.22%, due 04/15/31		5,985,605
	4,993,200	Venture CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.24%, due 07/18/31		4,857,410
	2,496,000	Venture XII CLO Ltd., Series 12-12A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 1.57%, due 02/28/26		2,412,097
	1,568,784	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.89%, due 07/25/26		1,565,264
	744,675	WhiteHorse IX Ltd, Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.16%, 2.29%, due 07/17/26		741,570
	6,750,000	Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 2.72%, due 04/15/28		6,616,282
	20,005,879	Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.37%, due 04/15/28		19,794,017
	1,897,197	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.17%, due 04/15/29		1,854,574
		Total Collateralized Loan Obligations		129,553,050
		Commercial Mortgage-Backed Securities — 15.3%
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38		5,650,534
	4,834,200	BBCMS MORTGAGE TRUST, Series 17-C1, Class A4, 3.67%, due 02/15/50		5,343,701
	1,470,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		1,365,017
	5,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		4,405,949
	7,000,000	Commercial Mortgage Trust, Series 15-CR24, Class A5, 3.70%, due 08/10/48		7,605,114
	6,334,436	Commercial Mortgage Trust, Series 15-CR25, Class A4, 3.76%, due 08/10/48		6,854,580
	241,997	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 0.43%, due 04/15/37		241,996
	191,194	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		187,400

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Commercial Mortgage-Backed Securities — continued
	6,372,761	CSAILCommercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48		6,868,951
	6,101,601	GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49		3,691,646
	4,454,370	GS Mortgage Securities Trust, Series 15-GC32, Class A4, 3.76%, due 07/10/48		4,794,242
	5,618,916	GS Mortgage Securities Trust, Series 15-GS1, Class A3, 3.73%, due 11/10/48		6,143,177
	3,750,000	GS Mortgage Securities Trust, Series 16-GS2, Class B, Variable Rate, 3.76%, due 05/10/49		3,717,818
	5,000,000	Jackson Park Trust, Series 19-LIC, Class E, 144A, Variable Rate, 3.24%, due 10/14/39		4,400,153
	276,240	JP Morgan Chase Commercial Mortgage Securities Trust, Series 15-JP1, Class A5, 3.91%, due 01/15/49		304,786
	805,930	JPMBB Commercial Mortgage Securities Trust, Series 15-C32, Class A5, 3.60%, due 11/15/48		873,753
	1,326,589	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.31%, due 08/15/36		1,378,852
	7,677,368	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		7,682,051
	4,000,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 2.94%, due 02/12/40		3,522,372
	2,505,000	MKT Mortgage Trust, Series 20-525M, Class F, 144A, Variable Rate, 2.94%, due 02/12/40		2,118,035
	3,710,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 13-C10, Class A4, Variable Rate, 4.08%, due 07/15/46		3,932,184
	1,201,206	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class F, 144A, Variable Rate, 7.80%, due 07/15/33		1,111,740
	13,314,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.49%, due 05/13/38		10,636,308
	2,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 3.39%, due 11/23/43		2,542,604
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 4.32%, due 03/23/45		8,365,335
	1,717,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.55%, due 04/16/35		1,592,555
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.55%, due 04/16/35		7,175,323
	960,073	Wells Fargo Commercial Mortgage Trust, Series 15-NXS1, Class A5, 3.15%, due 05/15/48		1,015,664
		Total Commercial Mortgage-Backed Securities		113,521,840
		Residential Mortgage-Backed Securities — Other — 11.8%
	1,023,495	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.45%, due 02/25/36		361,430

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities — Other — continued
	19,814,850	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 0.53%, due 02/25/36		2,174,119
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		8,137,291
	5,589,469	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,910,939
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		2,585,013
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		946,412
	516,853	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.49%, due 02/25/37		462,525
	2,696,070	Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29		2,570,679
	5,411,296	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,118,793
	5,581,332	Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		5,634,428
	3,040,480	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,883,898
	1,249,517	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + 0.15%, 0.33%, due 06/15/37		1,165,618
	379,898	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.67%, due 10/25/34		345,725
	6,930,564	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		6,908,184
	5,419,077	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		1,825,028
	30,414,879	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 0.43%, due 06/25/36		2,555,151
	13,511,492	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36		9,293,114
	12,820,715	Home Loan Trust, Series 07-HI1, Class A4, Step Up, due 03/25/37		5,662,279
	4,028,906	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.49%, due 03/25/36		614,043
	487,327	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.42%, due 02/26/34		414,053
	14,066,855	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 0.37%, due 03/25/36		830,599
	8,024,023	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 0.51%, due 03/25/36		477,437
	21,392,927	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 0.57%, due 03/25/36		1,272,791

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities — Other — continued
	680,276	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 1.07%, due 08/25/35		905,984
	6,499,380	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		6,097,754
	1,574,959	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,604,198
	2,110,901	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,145,519
	4,949,002	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		4,114,020
	10,540,735	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		4,059,630
	1,204,121	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		941,842
	791,318	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		764,179
		Total Residential Mortgage-Backed Securities — Other		87,782,675
		Residential Mortgage-Backed Securities — Prime — 4.2%
	1,249,721	Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 4.08%, due 08/25/35		1,190,650
	1,135,112	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		1,107,124
	673,757	Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 4.33%, due 08/25/35		670,940
	5,540,943	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		4,472,718
	2,283,830	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.82%, due 12/25/36		1,995,508
	1,624,213	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.68%, due 03/25/37		1,443,572
	1,625,167	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 4.48%, due 09/25/35		1,565,396
	1,495,777	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 4.13%, due 09/25/35		1,523,300
	1,569,911	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 2.13%, due 01/25/47		1,416,949
	15,701,015	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		15,816,190
		Total Residential Mortgage-Backed Securities — Prime		31,202,347
		Residential Mortgage-Backed Securities — Subprime — 2.9%
	1,788,863	Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.64%, due 06/25/35		1,853,733

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities — Subprime — continued
	2,578,393	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.69%, due 05/26/37		2,398,655
	1,723,153	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M3, Variable Rate, 1 mo. LIBOR + 1.08%, 1.25%, due 08/25/35		1,705,671
	3,296,075	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 2.04%, due 08/25/35		3,272,031
	2,622,741	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.28%, due 04/25/31 (b)		5,815,404
	3,822,018	Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.57%, due 07/25/36		3,202,609
	1,606,770	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 3.92%, due 11/20/34		1,534,464
	1,686,400	GSAA Trust, Series 05-1, Class M1, Step Up, 5.30%, due 11/25/34		1,715,250
		Total Residential Mortgage-Backed Securities — Subprime		21,497,817
		Residential Mortgage-Backed Securities — Alt-A — 1.3%
	766,111	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		784,198
	2,062,722	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.87%, due 05/25/36		890,677
	2,166,443	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.87%, due 10/25/36		840,111
	3,090,579	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		3,100,556
	5,000,189	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.68%, due 07/25/36		3,207,663
	1,104,362	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		1,120,881
		Total Residential Mortgage-Backed Securities — Alt-A		9,944,086
		Small Balance Commercial Mortgages — 11.5%
	463,219	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 1.01%, due 04/25/34		455,004
	419,514	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.97%, due 04/25/34		414,368
	466,239	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 3.02%, due 04/25/34		462,214
	4,763,480	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.31%, 0.48%, due 08/25/35		4,246,204

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Small Balance Commercial Mortgages — continued
	2,448,350	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.56%, due 01/25/36		2,201,948
	1,310,110	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 0.55%, due 04/25/36		1,119,653
	1,908,172	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.23%, 0.40%, due 07/25/36		1,703,168
	3,903,191	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.45%, due 07/25/36		3,460,477
	5,186,799	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.42%, due 10/25/36		4,449,961
	2,569,505	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.39%, due 03/25/37		2,355,434
	2,128,272	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 0.41%, due 07/25/37		1,852,060
	8,600,243	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.44%, due 07/25/37		7,491,581
	5,538,498	Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.49%, due 07/25/37		4,805,828
	1,247,700	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 1.02%, due 12/25/37		1,230,502
	10,677,937	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.42%, due 12/25/37		10,617,024
	2,694,724	GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.17%, 0.35%, due 04/15/35		2,476,503
	2,161,104	GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.18%, due 04/16/35		1,944,994
	2,550,597	Hana SBL Loan Trust, Series 19-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 2.00%, 2.49%, due 08/25/45		2,544,349
	4,300,000	Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.89%, due 06/25/37		3,824,430
	677,152	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.74%, due 02/25/30		667,635
	1,068,262	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.84%, due 02/25/30		1,040,665
	989,266	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M2,144A, Variable Rate, 1 mo. LIBOR + 0.55%, 1.04%, due 02/25/30		963,677

Par Value†		Description	Value ($)
		Small Balance Commercial Mortgages — continued
	2,467,604	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.49%, due 09/25/30		2,330,349
	5,445,606	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 1.02%, due 04/25/31		5,175,181
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.49%, due 04/25/31		1,765,644
	1,972,531	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.88%, due 09/25/36		1,881,287
	6,230,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 4.00%, due 10/25/37		6,308,265
	565,444	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 3.79%, due 12/27/49		565,324
	3,430,400	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 4.17%, due 12/27/49		3,431,179
	3,176,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 4.33%, due 12/27/49		3,128,221
		Total Small Balance Commercial Mortgages		84,913,129
		Student Loans — Federal Family Education Loan Program — 6.7%
	5,273,247	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 1.18%, due 10/25/24		5,011,800
	10,388,454	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 1.69%, due 01/25/43		8,398,735
	13,558,277	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 1.05%, due 01/25/23		13,169,962
	4,293,346	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 1.69%, due 03/28/35 (a)		3,682,231
	7,947,603	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 1.64%, due 06/15/21		7,480,091
	12,313,971	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 2.64%, due 07/25/22		11,764,610
		Total Student Loans — Federal Family Education Loan Program		49,507,429
		Student Loans — Private — 16.0%
	3,993,387	AccessLex Institute, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 1.79%, due 07/25/34		3,579,462
	3,322,475	KeyCorp Student Loan Trust, Series 05-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.73%, 2.00%, due 09/27/38		3,280,226

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Student Loans — Private — continued
	22,149,505	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 1.75%, due 12/27/41		20,203,405
	2,711,721	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 1.79%, due 04/28/42		2,514,595
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 2.24%, due 07/28/42		2,872,452
	1,413,005	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 0.68%, due 10/15/28		1,365,495
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuc + 0.00%, due 03/31/38 (b)		1,974,375
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		1,715,625
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		736,875
	3,419,133	National Collegiate Student Loan Trust, Series 05-3, Class A51, Variable Rate, 1 mo. LIBOR + 0.38%, 0.55%, due 10/25/33		2,824,977
	310,701	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 0.41%, due 07/25/30		310,146
	9,442,657	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.48%, due 05/25/32		7,711,692
	5,740,822	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 0.52%, due 03/25/33		4,654,967
	10,140,463	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 0.54%, due 06/25/33		8,131,026
	14,906,500	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.47%, due 10/25/33		11,195,765
	3,256,000	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 0.71%, due 12/26/33		2,499,307
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		60,000
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		20,000
	6,975,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (b)		6,696,000
	3,550,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (b)		3,408,000
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 2.34%, due 09/15/32		1,426,401

Par Value†/ Shares		Description	Value ($)
		Student Loans — Private — continued
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 1.17%, due 09/15/33		8,381,880
	2,765,603	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 1.02%, due 12/15/38		2,729,655
	4,660,517	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 1.03%, due 06/15/39		4,281,558
	3,427,425	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 1.07%, due 06/15/39		3,153,323
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 1.13%, due 12/15/39		2,243,774
	4,180,906	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 1.67%, due 01/25/36		4,146,325
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 1.22%, due 01/25/46		6,354,795
		Total Student Loans — Private		118,472,101
		Time Share — 0.2%
	194,670	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		192,112
	967,367	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		947,305
		Total Time Share		1,139,417
		Total Asset-Backed Securities		654,474,650
		U.S. Government — 0.2%
	1,586,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 0.25%, due 01/31/21 (c)		1,587,252
		U.S. Government Agency — 1.6%
	4,937,500	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR – 0.02%, 0.56%, due 02/01/25 (b)		4,780,036
	4,875,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 0.74%, due 10/29/26 (b)		4,684,255
	2,467,500	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 0.56%, due 07/01/23 (b)		2,416,152
		Total U.S. Government Agency		11,880,443
		TOTAL DEBT OBLIGATIONS (COST $719,612,409)		667,942,345
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers — 1.1%
	1,687,210	GMO U.S. Treasury Fund		8,503,541
		TOTAL MUTUAL FUNDS (COST $8,503,512)		8,503,541

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.9%
		Money Market Funds — 0.4%
	3,103,834	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (d)		3,103,834
		U.S. Government — 3.5%
	26,000,000	U.S. Cash Management Bill, 0.16%, due 10/27/20 (e)		25,982,898
		TOTAL SHORT-TERM INVESTMENTS (COST $29,087,888)		29,086,732
		TOTAL INVESTMENTS — 95.2% (Cost $757,203,809)		705,532,618
		Other Assets and Liabilities (net) — 4.8%		35,249,396
		TOTAL NET ASSETS — 100.0%		$740,782,014

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/17/2020	MSCI		EUR	1,706,305		USD	1,862,257		(33,587	)
07/17/2020	BCLY		USD	135,436		EUR	124,460		2,849
07/17/2020	MSCI		USD	1,594,724		EUR	1,461,273		28,870
								$	(1,868	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
38	U.S. Treasury Note 5 Yr. (CBT)	September 2020		4,773,750		(8,947	)
42	U.S. Treasury Ultra 10 Yr. (CBT)	September 2020		6,607,781		(3,916	)
			$	11,381,531	$	(12,863	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
ITRAXX.XOVERS.30.V3-5Y	EUR	23,024,640		5.00%		4.25%		N/A		12/20/2023		Quarterly		(2,406,883	)		(616,139	)		1,790,744
CDX-NA.HYS.33.V3-5Y	USD	8,481,600		5.00%		5.45%		N/A		12/20/2024		Quarterly		431,131			147,003			(284,128	)
CDX-NA.IGS.33.V1-5Y	USD	49,070,000		1.00%		0.75%		N/A		12/20/2024		Quarterly		(417,804	)		(555,914	)		(138,110	)
ITRAXX.EUROPES.32.V1-5Y	EUR	29,470,000		1.00%		0.71%		N/A		12/20/2024		Quarterly		(859,948	)		(436,754	)		423,194
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.95%		17,200,000 USD		06/20/2022		Quarterly		300,982			18,370			(282,612	)
CDX-NA.HYS.33.V3-5Y	USD	2,455,750		5.00%		2.00%		2,455,750 USD		12/20/2024		Quarterly		84,219			(42,563	)		(126,782	)
													$	(2,868,303	)	$	(1,485,997	)	$	1,382,306

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.IGS.25.V1-5Y	BOA	USD	4,400,000		1.00%		0.82%		N/A		12/20/2020		Quarterly		710,600			(21,556	)		(732,156	)
CDX.NA.IGS.25.V2-5Y	CITI	USD	4,300,000		1.00%		0.82%		N/A		12/20/2020		Quarterly		547,891			(21,066	)		(568,957	)
CDX.NA.HYS.27.V2-5Y	GS	USD	4,458,000		5.00%		6.86%		N/A		12/20/2021		Quarterly		11,145			389,736			378,591
CDX.NA.HYS.27.V2-5Y	JPM	USD	4,300,000		5.00%		6.86%		N/A		12/20/2021		Quarterly		(11,825	)		375,923			387,748
D.R. Horton, Inc.	BCLY	USD	17,200,000		1.00%		0.20%		N/A		06/20/2022		Quarterly		(165,250	)		(286,673	)		(121,423	)
CDX-NA.HYS.29.V1-5Y	JPM	USD	6,425,250		5.00%		6.11%		N/A		12/20/2022		Quarterly		(282,711	)		1,153,767			1,436,478
CDX-NA.HYS.29.V1-5Y	JPM	USD	870,000		5.00%		6.11%		N/A		12/20/2022		Quarterly		(51,765	)		156,224			207,989
CDX-NA.HYS.29.V1-5Y	MORD	USD	3,450,800		5.00%		6.11%		N/A		12/20/2022		Quarterly		(188,414	)		619,652			808,066
Navient Corp.	BCLY	USD	2,082,800		5.00%		5.62%		N/A		12/20/2022		Quarterly		(160,628	)		29,545			190,173
Navient Corp.	BCLY	USD	3,435,200		5.00%		5.62%		N/A		12/20/2022		Quarterly		(264,646	)		48,729			313,375
Navient Corp.	GS	USD	4,050,000		5.00%		5.62%		N/A		12/20/2022		Quarterly		(421,122	)		57,450			478,572
Navient Corp.	GS	USD	2,700,000		5.00%		5.62%		N/A		12/20/2022		Quarterly		(277,471	)		38,300			315,771
CDX-NA.HYS.33.V3-5Y	GS	USD	5,952,000		5.00%		5.59%		N/A		12/20/2024		Quarterly		(46,425	)		(92,735	)		(46,310	)
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	10,000,000		1.00%		0.71%		N/A		12/20/2024		Quarterly		748,704			978,491			229,787
CMBX.NA.A.7	CGMI	USD	4,260,000		2.00%		5.87%		N/A		01/17/2047		Monthly		267,530			508,182			240,652
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		1.37%		N/A		01/17/2047		Monthly		112,812			53,112			(59,700	)
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		1.37%		N/A		01/17/2047		Monthly		47,352			54,379			7,027
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		1.37%		N/A		01/17/2047		Monthly		197,705			201,316			3,611
CMBX.NA.AS.7	MORD	USD	13,270,000		1.00%		1.37%		N/A		01/17/2047		Monthly		205,782			160,181			(45,601	)
CMBX.NA.AS.7	DB	USD	7,608,000		1.00%		1.37%		N/A		01/17/2047		Monthly		(119,899	)		91,835			211,734
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		2.45%		N/A		10/17/2057		Monthly		247,717			348,301			100,584
CMBX.NA.AS.8	MORD	USD	3,384,000		1.00%		1.52%		N/A		10/17/2057		Monthly		140,432			73,502			(66,930	)
CMBX.NA.AS.8	CITI	USD	8,892,000		1.00%		1.52%		N/A		10/17/2057		Monthly		73,095			193,137			120,042
CMBX.NA.BBB-.8	GS	USD	6,889,000		3.00%		12.51%		N/A		10/17/2057		Monthly		1,034,610			2,201,919			1,167,309
CMBX.NA.BBB-.8	GS	USD	4,224,000		3.00%		12.51%		N/A		10/17/2057		Monthly		400,908			1,350,110			949,202
CMBX.NA.AAA.9	CGMI	USD	4,000,000		0.50%		0.35%		N/A		09/17/2058		Monthly		(17,096	)		(31,858	)		(14,762	)
CMBX.NA.AAA.9	GS	USD	2,902,300		0.50%		0.35%		N/A		09/17/2058		Monthly		(14,187	)		(23,115	)		(8,928	)
CMBX.NA.AAA.9	GS	USD	10,000,000		0.50%		0.35%		N/A		09/17/2058		Quarterly		(102,116	)		(79,645	)		22,471
CMBX.NA.AAA.9	MORD	USD	5,000,000		0.50%		0.35%		N/A		09/17/2058		Monthly		(51,058	)		(39,823	)		11,235
CMBX.NA.AAA.9	MSCI	USD	3,328,000		0.50%		0.35%		N/A		09/17/2058		Monthly		(31,983	)		(26,506	)		5,477
CMBX.NA.BBB-.9	CGMI	USD	3,425,200		3.00%		9.10%		N/A		09/17/2058		Monthly		955,105			887,376			(67,729	)
CMBX.NA.BBB-.9	MORD	USD	5,116,800		3.00%		9.10%		N/A		09/17/2058		Monthly		584,727			1,325,623			740,896
CMBX.NA.BBB-.9	DB	USD	4,263,000		3.00%		9.10%		N/A		09/17/2058		Monthly		517,160			1,104,427			587,267
CMBX.NA.BBB-.9	DB	USD	4,400,000		3.00%		9.10%		N/A		09/17/2058		Monthly		950,085			1,139,920			189,835
CMBX.NA.BBB-.9	GS	USD	1,760,000		3.00%		9.10%		N/A		09/17/2058		Monthly		346,611			455,968			109,357
CMBX.NA.BBB-.9	MORD	USD	2,585,000		3.00%		9.10%		N/A		09/17/2058		Monthly		63,490			669,703			606,213
CMBX.NA.AAA.10	MSCI	USD	9,668,400		0.50%		0.42%		N/A		11/17/2059		Monthly		(15,090	)		(45,297	)		(30,207	)
CMBX.NA.AAA.10	MSCI	USD	1,381,200		0.50%		0.42%		N/A		11/17/2059		Monthly		(2,156	)		(6,471	)		(4,315	)
CMBX.NA.BBB-.6	CGMI	USD	5,984,000		3.00%		21.82%		N/A		05/11/2063		Monthly		1,900,419			2,001,664			101,245
Sell Protection^:
CDX.NA.HYS.27.V2-5Y	GS	USD	2,084,000		5.00%		6.86%		2,084,000 USD		12/20/2021		Quarterly		268,315			115,102			(153,213	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	8,600,000		5.00%		6.86%		8,600,000 USD		12/20/2021		Quarterly		1,143,800			474,987			(668,813	)
CDX.NA.HYS.27.V3-5Y	BOA	USD	8,545,000		5.00%		6.86%		8,545,000 USD		12/20/2021		Quarterly		1,369,764			471,950			(897,814	)
CDX.NA.HYS.27.V3-5Y	JPM	USD	7,735,000		5.00%		6.86%		7,735,000 USD		12/20/2021		Quarterly		1,096,050			427,212			(668,838	)
CDX-NA.HYS.29.V6-5Y	CITI	USD	5,994,100		5.00%		6.11%		5,994,100 USD		12/20/2022		Quarterly		229,274			343,746			114,472
CDX.NA.HYS.29.V1-5Y	MORD	USD	4,264,000		5.00%		6.11%		4,264,000 USD		12/20/2022		Quarterly		644,717			244,529			(400,188	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600		5.00%		6.11%		5,115,600 USD		12/20/2022		Quarterly		742,274			293,366			(448,908	)
CDX.NA.HYS.31.V1-5Y	JPM	USD	18,256,022		5.00%		5.72%		18,256,022 USD		12/20/2023		Quarterly		3,634,774			2,582,244			(1,052,530	)
ITRAXX.XOVERS.30.V3-5Y	JPM	EUR	1,281,711		5.00%		4.24%		1,281,711 EUR		12/20/2023		Quarterly		(953,768	)		(1,152,765	)		(198,997	)
ITRAXX.XOVERS.30.V4-5Y	JPM	EUR	310,239		5.00%		4.24%		310,239 EUR		12/20/2023		Quarterly		(216,624	)		(279,028	)		(62,404	)
CDX-NA.HYS.33.V3-5Y	CITI	USD	4,208,307		5.00%		5.59%		4,208,307 USD		12/20/2024		Quarterly		445,308			688,355			243,047
CDX-NA.HYS.33.V3-5Y	GS	USD	9,559,421		5.00%		5.59%		9,559,421 USD		12/20/2024		Quarterly		1,350,782			1,563,641			212,859
CDX-NA.IGS.33.V1-5Y	CITI	USD	1,472,000		1.00%		0.76%		1,472,000 USD		12/20/2024		Quarterly		(820,051	)		(787,808	)		32,243
CDX.NA.HYS.33.V1-5Y	GS	USD	26,080,002		5.00%		5.59%		26,080,002 USD		12/20/2024		Quarterly		5,768,245			4,265,923			(1,502,322	)
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	25,000,000		1.00%		0.71%		25,000,000 EUR		12/20/2024		Quarterly		114,434			(436,420	)		(550,854	)
ITRAXX.EUROPES.32.V1-5Y	GS	EUR	58,940,000		1.00%		0.71%		58,940,000 EUR		12/20/2024		Quarterly		2,667,689			2,105,161			(562,528	)
CMBX.NA.A.9	GS	USD	6,822,400		2.00%		4.34%		6,822,400 USD		09/17/2058		Monthly		89,487			(764,460	)		(853,947	)
														$	25,414,508		$	26,149,462		$	734,954

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

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

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

(1) As of May 31, 2020, 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) ($)
1.76%		3 Month USD LIBOR	USD	9,700,000		11/10/2022	Quarterly		(3,226	)		(357,432	)		(354,206	)
0.27%		3 Month USD LIBOR	USD	3,700,000		05/22/2023	Quarterly		—			(1,760	)		(1,760	)
1.41%		3 Month USD LIBOR	USD	32,360,000		08/20/2024	Quarterly		—			(1,507,576	)		(1,507,576	)
1.33%		3 Month USD LIBOR	USD	6,570,000		08/29/2024	Quarterly		—			(283,759	)		(283,759	)
1.80%		3 Month USD LIBOR	USD	18,686,000		01/18/2025	Quarterly		(12,720	)		(1,250,734	)		(1,238,014	)
0.46%		3 Month USD LIBOR	USD	884,000		04/29/2025	Quarterly		—			(3,964	)		(3,964	)
0.39%		3 Month USD LIBOR	USD	4,400,000		05/28/2025	Quarterly		—			(6,519	)		(6,519	)
0.48%		3 Month USD LIBOR	USD	5,200,000		04/30/2026	Quarterly		—			(15,523	)		(15,523	)
0.48%		3 Month USD LIBOR	USD	3,200,000		05/07/2026	Quarterly		—			(11,074	)		(11,074	)
1.85%		3 Month USD LIBOR	USD	4,000,000		05/19/2026	Quarterly		(7,878	)		(341,218	)		(333,340	)
0.88%		3 Month USD LIBOR	USD	6,595,000		03/06/2028	Quarterly		(15,633	)		(180,745	)		(165,112	)
1.94%		3 Month USD LIBOR	USD	10,323,000		06/04/2028	Quarterly		(54,393	)		(1,150,977	)		(1,096,584	)
1.95%		3 Month USD LIBOR	USD	5,500,000		07/30/2028	Quarterly		(8,136	)		(622,113	)		(613,977	)
1.83%		3 Month USD LIBOR	USD	5,200,000		11/12/2029	Quarterly		—			(591,532	)		(591,532	)
1.30%		3 Month USD LIBOR	USD	10,027,000		12/19/2029	Quarterly		—			(640,949	)		(640,949	)
1.53%		3 Month USD LIBOR	USD	3,900,000		02/11/2030	Quarterly		—			(337,385	)		(337,385	)
								$	(101,986	)	$	(7,303,260	)	$	(7,201,274	)

As of May 31, 2020, 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) 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 OTC swap contracts, forward currency contracts, and/or written options, if any.

(d) The rate disclosed is the 7 day net yield as of May 31, 2020.

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

The rates shown on variable rate notes are the current interest rates at May 31, 2020, 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.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

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 Investment

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 100.0%
		U.S. Government — 91.2%
	59,000,000	U.S. Cash Management Bill, 0.23%, due 09/22/20(a)		58,957,406
	40,000,000	U.S. Cash Management Bill, 0.16%, due 10/27/20(a)		39,973,689
	6,000,000	U.S. Treasury Bill, 0.17%, due 09/17/20(a)		5,997,030
	40,000,000	U.S. Treasury Bill, 0.17%, due 11/19/20(a)		39,967,462
	5,000,000	U.S. Treasury Note, 1.25%, due 03/31/21		5,043,555
	10,000,000	U.S. Treasury Note, 1.38%, due 04/30/21		10,107,031
	20,000,000	U.S. Treasury Note, 1.38%, due 05/31/21		20,232,812
	30,000,000	U.S. Treasury Note, 1.13%, due 06/30/21		30,298,828
	20,000,000	U.S. Treasury Note, 1.13%, due 07/31/21		20,214,844
	30,000,000	U.S. Treasury Note, 1.13%, due 08/31/21		30,346,875
	15,000,000	U.S. Treasury Note, 1.13%, due 09/30/21		15,186,328
	50,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.30%, 0.43%, due 10/31/21		50,163,960
	45,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.28%, due 01/31/22		45,050,539
		Total U.S. Government		371,540,359

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — 8.6%
	15,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.08%, 0.14%, due 07/24/20		14,999,991
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 0.18%, due 10/07/20		3,000,223
	12,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 0.19%, due 10/16/20		12,001,329
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.09%, 0.15%, due 09/10/21		4,994,832
		Total U.S. Government Agency		34,996,375
		Money Market Funds — 0.2%
	767,270	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.15%(b)		767,270
		TOTAL SHORT-TERM INVESTMENTS (COST $406,923,483)		407,304,004
		TOTAL INVESTMENTS — 100.0% (Cost $406,923,483)		407,304,004
		Other Assets and Liabilities (net) — 0.00%		118,574
		TOTAL NET ASSETS — 100.0%		$407,422,578

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of May 31, 2020.

The rates shown on variable rate notes are the current interest rates at May 31, 2020, 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.

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 May 31, 2020, 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; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and potential litigation recoveries and interests related to bankruptcy proceedings.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2020:

Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	21,509,372	$	140,754,695		$	—	$	162,264,067
TOTAL DEBT OBLIGATIONS		21,509,372		140,754,695			—		162,264,067
Mutual Funds		8,054,797		—			—		8,054,797
Short-Term Investments		903,684		—			—		903,684
Total Investments		30,467,853		140,754,695			—		171,222,548
Total	$	30,467,853	$	140,754,695		$	—	$	171,222,548
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	74,718,942		$	—	$	74,718,942
U.S. Government		28,023,513		—			—		28,023,513
U.S. Government Agency		—		58,814,931			—		58,814,931
TOTAL DEBT OBLIGATIONS		28,023,513		133,533,873			—		161,557,386
Investment Funds		74,705,101		—			—		74,705,101
Mutual Funds		143,463,595		—			—		143,463,595
Short-Term Investments		10,051,095		80,682,525			—		90,733,620
Total Investments		256,243,304		214,216,398			—		470,459,702
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		2,002,619			—		2,002,619
Futures Contracts
Interest Rate Risk		270,592		—			—		270,592
Swap Contracts
Interest Rate Risk		—		562,008			—		562,008
Total	$	256,513,896	$	216,781,025		$	—	$	473,294,921
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(4,448,173	)	$	—	$	(4,448,173	)
Swap Contracts
Interest Rate Risk		—		(706,441	)		—		(706,441	)
Total	$	—	$	(5,154,614	)	$	—	$	(5,154,614	)
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	30,717,614		$	—	$	30,717,614
Corporate Debt		—		145,788,073			27,350,740		173,138,813
Foreign Government Agency		—		1,008,611,615			103,150,367		1,111,761,982
Foreign Government Obligations		—		2,227,123,882			129,718,117		2,356,841,999
U.S. Government		44,016,037		80,014,195			—		124,030,232
TOTAL DEBT OBLIGATIONS		44,016,037		3,492,255,379			260,219,224		3,796,490,640

Description	Level 1		Level 2			Level 3			Total
Emerging Country Debt Fund (continued)
Asset Valuation Inputs (continued)
Loan Assignments	$	—	$	—		$	12,519,715		$	12,519,715
Loan Participations		—		—			33,942,384			33,942,384
Mutual Funds		74,784,247		—			—			74,784,247
Rights/Warrants		—		13,052,147			744,791			13,796,938
Short-Term Investments		8,795,218		—			—			8,795,218
Total Investments		127,595,502		3,505,307,526			307,426,114			3,940,329,142
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		636,111			—			636,111
Options
Credit Risk		—		—			214,069			214,069
Swap Contracts
Credit Risk		—		46,387,625			—			46,387,625
Total	$	127,595,502	$	3,552,331,262		$	307,640,183		$	3,987,566,947
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(2,066,022	)	$	—		$	(2,066,022	)
Options
Credit Risk		—		—			(762,506	)		(762,506	)
Swap Contracts
Credit Risk		—		(14,099,289	)		—			(14,099,289	)
Interest Rate Risk		—		(7,941,809	)		—			(7,941,809	)
Total	$	—	$	(24,107,120	)	$	(762,506	)	$	(24,869,626	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	26,867,203		$	—		$	26,867,203
U.S. Government		901,010		—			—			901,010
TOTAL DEBT OBLIGATIONS		901,010		26,867,203			—			27,768,213
Investment Funds		119,037,310		—			—			119,037,310
Short-Term Investments		—		23,612,800			—			23,612,800
Total Investments		119,938,320		50,480,003			—			170,418,323
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		213,133			—			213,133
Futures Contracts
Interest Rate Risk		30,944		—			—			30,944
Total	$	119,969,264	$	50,693,136		$	—		$	170,662,400
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(136,020	)	$	—		$	(136,020	)
Swap Contracts
Credit Risk		—		(303,227	)		—			(303,227	)
Interest Rate Risk		—		(310,242	)		—			(310,242	)
Total	$	—	$	(749,489	)	$	—		$	(749,489	)

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	629,974,145		$	24,500,505	$	654,474,650
U.S. Government		1,587,252			—			—		1,587,252
U.S. Government Agency		—			—			11,880,443		11,880,443
TOTAL DEBT OBLIGATIONS		1,587,252			629,974,145			36,380,948		667,942,345
Mutual Funds		8,503,541			—			—		8,503,541
Short-Term Investments		29,086,732			—			—		29,086,732
Total Investments		39,177,525			629,974,145			36,380,948		705,532,618
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			31,719			—		31,719
Swap Contracts
Credit Risk		—			30,410,061			—		30,410,061
Total	$	39,177,525		$	660,415,925		$	36,380,948	$	735,974,398
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(33,587	)	$	—	$	(33,587	)
Futures Contracts
Interest Rate Risk		(12,863	)		—			—		(12,863	)
Swap Contracts
Credit Risk		—			(5,746,596	)		—		(5,746,596	)
Interest Rate Risk		—			(7,303,260	)		—		(7,303,260	)
Total	$	(12,863	)	$	(13,083,443	)	$	—	$	(13,096,306	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	407,304,004		$	—		$	—	$	407,304,004
Total Investments		407,304,004			—			—		407,304,004
Total	$	407,304,004		$	—		$	—	$	407,304,004

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 and a Republic of Kenya loan agreement, which is valued by applying 500 basis point yield spread to a comparable bond. Opportunistic Income Fund’s Level 3 holdings also consists of three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 150 basis points for liquidity considerations and five asset backed securities which were either adjusted for additional cashflow projections discounted for timing and likelihood of receipt, valued using market color of a comparable bond, or valued at 12.5% of expected yield. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at May 31, 2020.

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

	Balances as of February 29, 2020		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 May 31, 2020			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2020
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	29,902,115	$	—	$	—		$	(401	)	$	—		$	(2,550,974	)	$	—		$	—	$	27,350,740		$	(2,550,974	)
Foreign Government Agency		170,402,802		—		(24,698,963	)		3,714,738			1,595,536			(47,863,746	)		—			—		103,150,367			(42,090,118	)
Foreign Government Obligations		173,035,182		—		(5,000,000	)		6,677,637			—			(44,994,702	)		—			—		129,718,117			(44,148,820	)
Loan Assignments		14,402,514		1,660,500		(954,361	)		97,172			—			(2,686,110	)		—			—		12,519,715			(2,686,110	)
Loan Participations		47,750,729		2,632,500		(1,583,334	)		389,304			—			(15,246,815	)		—			—		33,942,384			(15,246,815	)
Rights/Warrants		2,082,394		—		—			—			(5,892,796	)		4,555,193			—			—		744,791			(257,541	)
Total Investments		437,575,736		4,293,000		(32,236,658	)		10,878,450			(4,297,260	)		(108,787,154	)		—			—		307,426,114			(106,980,378	)
Derivatives
Options		1,036,169		—		—			—			177,306			(1,761,912	)		—			—		(548,437	)		(1,761,912	)
Total	$	438,611,905	$	4,293,000	$	(32,236,658	)#	$	10,878,450		$	(4,119,954	)	$	(110,549,066	)	$	—		$	—	$	306,877,677		$	(108,742,290	)
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	25,989,481	$	30	$	(936,737	)	$	45,738		$	—		$	(2,313,632	)	$	1,715,625	‡	$	—	$	24,500,505		$	(2,313,632	)
U.S. Government Agency		12,228,802		—		(375,000	)		879			—			25,762			—			—		11,880,443			25,762
Total	$	38,218,283	$	30	$	(1,311,737	)##	$	46,617		$	—		$	(2,287,870	)	$	1,715,625		$	—	$	36,380,948		$	(2,287,870	)

# Includes $7,537,694 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $1,311,736 of proceeds received from partial calls and/or principal paydowns as applicable.

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

For Funds with material Level 3 investments, the following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2020.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)			Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Emerging Country Debt Fund
Foreign Government Obligations		45,439,083		Fair Value	Discount for lack of liquidity/marketabilty	1.40% (N/A)
Loan Assignments and Participations		6,295,536		Fair Value	Discount for lack of liquidity/marketabilty	5.00%-6.00% (5.16%)
Options		(69,000	)	Fair Value	Probability of CDS threshold event	<5% (N/A)
Warrants		0		Fair Value	Probability of warrant payment trigger	<5% (N/A)
Opportunistic Income Fund
Asset-Backed Securities		5,815,404		Fair Value	Probability and timing of cash flow receipt	50-75% (N/A)
		4,426,875		Fair Value	Discount factor for expected yield	12.5% (N/A)
		10,104,000		Fair Value	Trade correlation with observed comparable bond	(N/A)
Government Agency		11,880,443		Fair Value	Discount for lack of liquidity/marketabilty	1.50% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2020, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $255,212,058 and $4,154,226, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

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 May 31, 2020 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	$	8,656,379	$	8,838,680	$	9,480,000	$	8,918	$	43,045		$	(3,307	)	$	8,054,797
Core Plus Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	29,316,657	$	—	$	5,500,000	$	—	$	(593,426	)	$	(1,856,919	)	$	21,366,312
GMO Opportunistic Income Fund, Class VI		108,395,452		—		24,000,000		—		37,785			(2,711,407	)		81,721,830
GMO U.S. Treasury Fund		4,517,130		127,600,000		91,790,000		14,036		29,969			18,354			40,375,453
Totals	$	142,229,239	$	127,600,000	$	121,290,000	$	14,036	$	(525,672	)	$	(4,549,972	)	$	143,463,595
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,487,484	$	—	$	—	$	81,069	$	—		$	296,763		$	74,784,247
High Yield Fund
GMO U.S. Treasury Fund	$	385,180	$	18,005,516	$	18,421,358	$	7,123	$	30,662		$	—		$	—
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	10,256,103	$	8,500,000	$	10,273,000	$	5,073	$	61,270		$	(40,832	)	$	8,503,541

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2020 through May 31, 2020. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2021.

Subsequent events

Effective June 30, 2020, the name of GMO Core Plus Bond Fund was changed to GMO Multi-Sector Fixed Income Fund.

* * *

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)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.7%
		Argentina — 1.0%
	240,815	Adecoagro SA *		1,037,913
		Australia — 1.1%
	794,717	Infigen Energy		318,839
	19,699	OZ Minerals Ltd		124,291
	221,519	Sandfire Resources NL		648,587
	76,818	Western Areas Ltd		117,276
		Total Australia		1,208,993
		Brazil — 1.5%
	173,400	Duratex SA		349,640
	256,300	Sao Martinho SA		933,214
	73,300	SLC Agricola SA		342,166
		Total Brazil		1,625,020
		Canada — 3.1%
	79,663	Canadian Solar Inc * (a)		1,497,664
	1,589,600	Largo Resources Ltd * (a)		1,039,068
	52,600	Lundin Mining Corp		242,208
	41,700	NFI Group Inc (a)		494,579
	10,000	TransAlta Renewables Inc (a)		104,078
		Total Canada		3,377,597
		China — 3.3%
	728,000	CGN Power Co Ltd – Class H		167,709
	1,097,000	Chaowei Power Holdings Ltd		347,809
	1,450,000	China Suntien Green Energy Corp Ltd – Class H		319,376
	546,000	China Water Affairs Group Ltd.		365,095
	40,700	Hollysys Automation Technologies Ltd		508,343
	168,000	MMG Ltd *		29,402
	1,382,000	Sinofert Holdings Ltd *		114,740
	878,000	Tianneng Power International Ltd		889,742
	848,000	Wasion Group Holdings Ltd		274,514
	312,374	Zhengzhou Yutong Bus Co Ltd – Class A		530,279
		Total China		3,547,009
		Denmark — 2.8%
	29,015	Vestas Wind Systems A/S		2,963,466
		Finland — 0.4%
	32,413	Kemira Oyj		415,638
		France — 8.5%
	8,278	Albioma SA		294,922
	99,546	Electricite de France SA		888,240
	20,635	Nexans SA *		845,649
	10,259	Schneider Electric SE		1,015,772
	33,489	STMicroelectronics NV		837,275
	91,248	Suez (a)		1,040,412
	79,373	Valeo SA		1,962,010

Shares		Description	Value ($)
		France — continued
	78,541	Veolia Environnement SA		1,729,469
	10,885	Vilmorin & Cie SA		573,183
		Total France		9,186,932
		Germany — 2.4%
	13,683	CENTROTEC Sustainable AG		223,560
	69,133	E.ON SE		733,339
	209	Knorr-Bremse AG		22,136
	14,369	Siemens AG (Registered)		1,584,250
		Total Germany		2,563,285
		India — 0.2%
	609,266	Jain Irrigation Systems Ltd *		61,191
	253,775	Rashtriya Chemicals & Fertilizers Ltd		135,637
		Total India		196,828
		Israel — 1.0%
	298,268	ICL Group Ltd		1,039,997
		Italy — 4.1%
	371,695	Enel SPA		2,873,843
	70,290	Prysmian SPA		1,506,523
		Total Italy		4,380,366
		Japan — 10.5%
	6,900	Central Japan Railway Co		1,182,534
	900	Daikin Industries Ltd		132,521
	14,400	East Japan Railway Co		1,131,015
	33,400	Ebara Corp		808,218
	51,900	GS Yuasa Corp		920,740
	15,300	Iseki & Co Ltd		176,185
	77,500	Kubota Corp		1,043,617
	20,100	Kurita Water Industries Ltd		556,524
	7,300	METAWATER Co Ltd		326,030
	47,700	Osaki Electric Co Ltd		229,186
	192,200	Panasonic Corp		1,721,900
	189,100	Renesas Electronics Corp *		983,576
	14,000	Sanken Electric Co Ltd		324,084
	38,800	Takuma Co Ltd		505,420
	7,600	Tsukishima Kikai Co Ltd (a)		91,153
	17,800	West Japan Railway Co		1,152,328
		Total Japan		11,285,031
		Mexico — 2.5%
	1,257,457	Grupo Mexico SAB de CV		2,708,910
		Netherlands — 0.7%
	45,039	Arcadis NV * (a)		773,161
		Norway — 1.5%
	178,774	Austevoll Seafood ASA (a)		1,364,341
	27,157	Grieg Seafood ASA		278,104

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	1,183	Mowi ASA		22,297
		Total Norway		1,664,742
		Pakistan — 0.5%
	769,421	Fauji Fertilizer Co Ltd		515,794
		Portugal — 1.2%
	287,491	EDP – Energias de Portugal SA		1,343,038
		Russia — 5.3%
	93,799	MMC Norilsk Nickel PJSC ADR		2,967,575
	120,768	PhosAgro PJSC GDR (Registered)		1,677,334
	116,061	Ros Agro Plc GDR (Registered)		1,084,510
		Total Russia		5,729,419
		Spain — 2.7%
	4,904	Acciona SA		491,073
	2,409	Construcciones y Auxiliar de Ferrocarriles SA		83,253
	54,442	Endesa SA		1,300,420
	11,949	Fomento de Construcciones y Contratas SA		120,815
	48,331	Iberdrola SA		523,303
	22,896	Red Electrica Corp SA		403,156
		Total Spain		2,922,020
		Switzerland — 1.2%
	571	Gurit Holding AG		868,503
	6,551	Landis+Gyr Group AG *		432,502
		Total Switzerland		1,301,005
		Taiwan — 0.2%
	58,000	Delta Electronics Inc		267,021
		Thailand — 0.3%
	525,000	SPCG Pcl		289,093
		Ukraine — 0.7%
	77,000	Kernel Holding SA		794,672
		United Kingdom — 3.3%
	19,600	Abengoa Yield Plc		513,520
	188,356	Drax Group Plc		492,506
	40,875	Go-Ahead Group Plc		551,061
	126,447	KAZ Minerals Plc		747,336
	71,993	Polypipe Group Plc		386,701
	159,653	Renewables Infrastructure Group Ltd (The)		241,125
	961,840	Renewi Plc		279,569
	435,654	Stagecoach Group Plc		367,940
		Total United Kingdom		3,579,758
		United States — 32.7%
	16,000	AGCO Corp.		883,680
	29,260	Albemarle Corp. (a)		2,238,975
	68,739	BorgWarner, Inc.		2,209,959
	5,200	CORTEVA, Inc. *		142,012

Shares		Description	Value ($)
		United States — continued
	54,400	Delphi Technologies Plc *		700,672
	10,800	Eaton Corp Plc		916,920
	10,000	Edison International		581,100
	9,600	EnerSys		607,680
	28,700	Exelon Corp.		1,099,497
	21,700	First Solar, Inc. *		1,011,654
	392,609	Freeport-McMoRan, Inc.		3,560,964
	24,100	FutureFuel Corp.		315,228
	252,305	GrafTech International Ltd. (a)		1,725,766
	16,500	Johnson Controls International Plc		518,265
	111,700	Livent Corp. * (a)		752,858
	338,184	Mosaic Co. (The)		4,088,644
	11,600	MYR Group, Inc. *		334,196
	72,100	ON Semiconductor Corp. *		1,188,929
	31,200	Owens Corning		1,638,000
	139,236	Renewable Energy Group, Inc. *		3,961,264
	8,200	Rexnord Corp.		246,820
	36,392	SolarEdge Technologies, Inc. *		5,164,025
	15,500	TE Connectivity Ltd.		1,259,375
	700	Valmont Industries, Inc.		79,800
		Total United States		35,226,283
		TOTAL COMMON STOCKS (COST $100,651,710)		99,942,991
		PREFERRED STOCKS (b) — 2.4%
		Chile — 2.4%
	105,700	Sociedad Quimica y Minera de Chile SA Sponsored ADR		2,575,909
		TOTAL PREFERRED STOCKS (COST $4,124,657)		2,575,909
		MUTUAL FUNDS — 5.8%
		United States — 5.8%
		Affiliated Issuers — 5.8%
	1,237,979	GMO U.S. Treasury Fund (c)		6,239,416
		TOTAL MUTUAL FUNDS (COST $6,239,416)		6,239,416
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	333,890	State Street Institutional Treasury Money Market Fund-Premier Class, 0.12% (d)		333,890
		TOTAL SHORT-TERM INVESTMENTS (COST $333,890)		333,890
		TOTAL INVESTMENTS — 101.2% (Cost $111,349,673)		109,092,206
		Other Assets and Liabilities (net) — (1.2%)		(1,255,498	)
		TOTAL NET ASSETS — 100.0%		$107,836,708

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

(d) The rate disclosed is the 7 day net yield as of May 31, 2020.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

GMO Cyclical Focus Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.3%
		Canada — 1.8%
	62,900	Nutrien Ltd		2,138,600
		Finland — 2.4%
	70,321	Neste Oyj		2,865,504
		France — 6.7%
	4,499	Kering SA		2,358,645
	6,305	LVMH Moet Hennessy Louis Vuitton SE		2,645,108
	30,571	Safran SA *		2,945,786
		Total France		7,949,539
		Germany — 5.4%
	159,006	Infineon Technologies AG		3,351,486
	27,655	Siemens AG (Registered)		3,049,094
		Total Germany		6,400,580
		Ireland — 1.4%
	139,128	Ryanair Holdings Plc *		1,726,100
		Japan — 2.6%
	17,500	FANUC Corp		3,127,224
		Mexico — 2.4%
	1,311,400	Grupo Mexico SAB de CV Series B		2,825,118
		Russia — 4.8%
	37,837	LUKOIL PJSC Sponsored ADR		2,842,873
	19,702	Novatek PJSC Sponsered GDR (Registered)		2,884,058
		Total Russia		5,726,931
		Spain — 3.4%
	28,784	Amadeus IT Holding SA		1,505,156
	90,939	Industria de Diseno Textil SA		2,532,965
		Total Spain		4,038,121
		Switzerland — 2.3%
	3,307	Partners Group Holding AG		2,754,977
		United Kingdom — 9.3%
	136,868	Anglo American Plc		2,897,363
	51,883	Berkeley Group Holdings Plc (The)		2,643,005
	166,996	Compass Group Plc		2,448,059
	105,376	Persimmon Plc		3,005,738
		Total United Kingdom		10,994,165
		United States — 54.8%
	16,800	3M Co.		2,628,192
	28,700	American Express Co.		2,728,509
	51,600	Applied Materials, Inc.		2,898,888
	1,700	Booking Holdings, Inc. *		2,787,014

Shares		Description	Value ($)
		United States — continued
	98,700	BorgWarner, Inc.		3,173,205
	67,800	Charles Schwab Corp. (The)		2,434,698
	32,600	Chevron Corp.		2,989,420
	88,700	Corteva, Inc. *		2,422,397
	64,600	EOG Resources, Inc.		3,292,662
	31,900	Hasbro, Inc.		2,344,969
	21,300	Hilton Worldwide Holdings, Inc.		1,689,303
	12,500	Home Depot, Inc. (The)		3,106,000
	15,500	Honeywell International, Inc.		2,260,675
	16,300	Illinois Tool Works, Inc.		2,811,098
	28,200	Intercontinental Exchange, Inc.		2,742,450
	33,300	Las Vegas Sands Corp.		1,596,402
	95,100	Lyft, Inc. – Class A *		2,972,826
	2,619	Markel Corp. *		2,350,343
	7,800	O’Reilly Automotive, Inc. *		3,254,472
	43,800	Raytheon Technologies Corp.		2,825,976
	80,600	Sensata Technologies Holding Plc *		2,873,390
	27,100	Skyworks Solutions, Inc.		3,212,434
	70,000	US Bancorp		2,489,200
	39,000	Verso Corp. – Class A *		560,820
	45,900	VF Corp.		2,574,990
		Total United States		65,020,333
		TOTAL COMMON STOCKS (COST $106,495,120)		115,567,192
		PREFERRED STOCKS (a) — 2.2%
		Brazil — 2.2%
	393,000	Bradespar SA		2,596,041
		TOTAL PREFERRED STOCKS (COST $2,188,818)		2,596,041
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	452,058	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (b)		452,058
		TOTAL SHORT-TERM INVESTMENTS (COST $452,058)		452,058
		TOTAL INVESTMENTS — 99.9% (Cost $109,135,996)		118,615,291
		Other Assets and Liabilities (net) — 0.1%		67,527
		TOTAL NET ASSETS — 100.0%		$118,682,818

GMO Cyclical Focus Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) The rate disclosed is the 7 day net yield as of May 31, 2020.

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)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 75.3%
		Brazil — 0.8%
	450,700	Atacadao SA		1,561,652
	384,400	B3 SA – Brasil Bolsa Balcao		3,281,191
	317,600	Rumo SA *		1,340,916
		Total Brazil		6,183,759
		China — 37.3%
	786,750	A-Living Services Co Ltd – Class H		4,254,322
	202,500	Alibaba Group Holding Ltd *		5,236,018
	247,276	Alibaba Group Holding Ltd Sponsored ADR *		51,282,570
	502,391	Angel Yeast Co Ltd – Class A		2,981,603
	513,500	Anhui Conch Cement Co Ltd – Class H		3,872,044
	1,950,577	China International Capital Corp Ltd – Class H *		3,182,718
	1,881,000	China Merchants Bank Co Ltd – Class H		8,863,384
	423,500	China Overseas Land & Investment Ltd		1,298,781
	960,000	China Resources Land Ltd		3,828,296
	482,500	JD.com Inc ADR *		26,214,225
	2,183,500	Jiangsu Expressway Co Ltd – Class A		3,078,512
	493,819	Jiangsu Hengli Hydraulic Co Ltd – Class A		5,094,093
	31,787	Kweichow Moutai Co Ltd – Class A		6,092,863
	854,500	Longfor Group Holdings Ltd		3,907,743
	111,400	Meituan Dianping – Class B *		2,121,729
	2,931,600	MGM China Holdings Ltd		3,501,934
	1,196,182	Midea Group Co Ltd – Class A		9,925,239
	41,600	NetEase Inc ADR		15,928,640
	39,400	New Oriental Education & Technology Group Inc Sponsored ADR *		4,726,424
	2,254,108	Ping An Bank Co Ltd – Class A		4,123,547
	304,246	Ping An Insurance Group Co of China Ltd – Class H		3,010,854
	2,136,000	Shenzhen International Holdings Ltd		3,577,393
	122,483	Shenzhen Mindray Bio-Medical Electronics Co Ltd – Class A		4,784,226
	721,959	Shenzhen YUTO Packaging Technology Co Ltd – Class A		2,633,398
	361,600	Shenzhou International Group Holdings Ltd		4,351,282
	432,000	Shimao Property Holdings Ltd		1,811,740
	3,514,500	Sun Art Retail Group Ltd		5,409,805
	92,200	Sunny Optical Technology Group Co Ltd		1,239,065
	1,084,962	Suofeiya Home Collection Co Ltd – Class A		3,939,481
	126,100	TAL Education Group ADR *		7,119,606
	1,235,784	Tencent Holdings Ltd		66,924,942
	76,400	Vipshop Holdings Ltd ADR *		1,324,776
	79,469	Wuliangye Yibin Co Ltd – Class A		1,654,015
	297,000	Yihai International Holding Ltd *		2,669,919
	115,800	Yum China Holdings Inc		5,366,172
	443,000	Zhongsheng Group Holdings Ltd		2,292,005
	132,600	ZTO Express Cayman, Inc ADR		4,325,412
		Total China		291,948,776

Shares		Description	Value ($)
		Hong Kong — 0.5%
	430,164	AIA Group Ltd		3,529,830
		India — 5.7%
	70,999	Ajanta Pharma Ltd		1,437,987
	2,576,263	Bharti Airtel Ltd *		18,720,906
	138,326	Cipla Ltd		1,188,531
	632,132	CMI Ltd		183,803
	1,048,219	Coffee Day Enterprises Ltd *		215,509
	44,774	Colgate-Palmolive India Ltd		822,110
	125,365	Deepak Nitrite Ltd		833,412
	10,683,040	Gayatri Highways Ltd *		49,257
	11,052,457	Gayatri Projects Ltd *(a)		1,957,662
	65,287	Hero MotoCorp Ltd		2,038,356
	65,875	Hindustan Unilever Ltd		1,796,976
	447,732	ICICI Bank Ltd		1,965,512
	81,553	Ipca Laboratories Ltd		1,585,875
	42,148	Jubilant Foodworks Ltd		914,727
	94,882	Kotak Mahindra Bank Ltd		1,541,208
	8,175	Nestle India Ltd		1,901,907
	233,026	Reliance Industries Ltd		4,544,402
	104,916	Torrent Pharmaceuticals Ltd		3,191,854
		Total India		44,889,994
		Indonesia — 0.5%
	1,117,400	Bank Central Asia Tbk PT		1,984,704
	20,180,500	Uni-Charm Indonesia Tbk PT *		2,156,469
		Total Indonesia		4,141,173
		Japan — 0.3%
	13,000	Daikin Industries Ltd		1,910,612
		Mexico — 1.5%
	987,718	Grupo Financiero Banorte SAB de CV – Class O		3,008,877
	3,414,724	Wal-Mart de Mexico SAB de CV		8,546,627
		Total Mexico		11,555,504
		Peru — 0.0%
	2,140	Credicorp Ltd		294,935
		Philippines — 0.7%
	3,653,440	Puregold Price Club Inc		3,323,124
	9,925,400	Semirara Mining & Power Corp		2,159,583
		Total Philippines		5,482,707
		Russia — 1.2%
	535,101	Sberbank of Russia PJSC Sponsored ADR		6,102,155
	119,995	X5 Retail Group NV GDR (Registered)		3,547,267
		Total Russia		9,649,422
		South Africa — 1.1%
	688,747	FirstRand Ltd		1,581,697

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	42,321	Naspers Ltd – N Shares		6,889,561
		Total South Africa		8,471,258
		South Korea — 7.9%
	23,323	Kakao Corp		4,980,919
	70,325	KB Financial Group Inc		1,930,680
	1,893	LG Household & Health Care Ltd		2,098,073
	15,127	NAVER Corp		2,766,555
	1,027,765	Samsung Electronics Co Ltd		42,329,600
	84,939	SK Hynix Inc		5,632,522
	10,938	SK Telecom Co Ltd		1,910,339
		Total South Korea		61,648,688
		Switzerland — 2.6%
	189,417	Nestle SA (Registered)		20,566,330
		Taiwan — 13.0%
	305,000	Advantech Co Ltd		3,026,266
	105,000	Airtac International Group		1,810,229
	235,000	Catcher Technology Co Ltd		1,712,660
	8,426,000	CTBC Financial Holding Co Ltd		5,616,199
	1,675,000	Delta Electronics Inc		7,711,380
	3,882,575	E.Sun Financial Holding Co Ltd		3,457,507
	2,911,000	Hon Hai Precision Industry Co Ltd		7,364,516
	36,000	Largan Precision Co Ltd		4,611,839
	230,000	MediaTek Inc		3,551,095
	5,778,000	Mega Financial Holding Co Ltd		5,936,224
	1,253,000	Quanta Computer Inc		2,927,022
	3,653,486	Taiwan Cement Corp		5,186,855
	4,061,800	Taiwan Semiconductor Manufacturing Co Ltd		39,485,858
	100,900	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		5,078,297
	4,450,000	Wistron Corp		4,242,565
		Total Taiwan		101,718,512
		Thailand — 0.9%
	1,033,035	CP ALL Pcl (Foreign Registered)		2,294,265
	663,900	Kasikornbank Pcl NVDR		2,003,596
	7,784,200	Quality Houses Leasehold Property Fund		2,693,592
		Total Thailand		6,991,453
		Turkey — 0.2%
	2,144,919	Akbank TAS *		1,795,160
		United States — 0.4%
	25,300	PepsiCo, Inc.		3,328,215
		Vietnam — 0.7%
	1,473,370	Bank for Foreign Trade of Vietnam JSC		5,420,385
		TOTAL COMMON STOCKS (COST $581,463,682)		589,526,713

Shares / Par Value†		Description	Value ($)
		PREFERRED STOCKS (b) — 0.4%
		Brazil — 0.4%
	469,432	Itau Unibanco Holding SA		2,026,819
	119,400	Telefonica Brasil SA		1,054,760
		Total Brazil		3,081,579
		TOTAL PREFERRED STOCKS (COST $4,027,180)		3,081,579
		INVESTMENT FUNDS — 19.1%
		Brazil — 1.4%
	402,800	iShares MSCI Brazil ETF		10,952,132
		Russia — 5.0%
	1,875,100	VanEck Vectors Russia ETF		38,664,562
		South Korea — 1.2%
	441,620	Samsung Kodex 200 ETF		9,586,991
		Taiwan — 0.4%
	89,700	iShares MSCI Taiwan ETF		3,335,046
		Thailand — 4.4%
	69,067,590	Digital Telecommunications Infrastructure Fund		34,544,069
		United States — 6.7%
	1,168,113	iShares Core MSCI Emerging Markets ETF		52,611,810
		TOTAL INVESTMENT FUNDS (COST $147,913,949)		149,694,610
		DEBT OBLIGATIONS — 1.4%
		United States — 1.4%
	11,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.17%, due 07/31/20 (c)		11,000,603
		TOTAL DEBT OBLIGATIONS (COST $11,001,013)		11,000,603
		RIGHTS/WARRANTS — 0.0%
		India — 0.0%
	10,063	Reliance Industries Ltd, Expires 12/31/59 *		29,677
		TOTAL RIGHTS/WARRANTS (COST $0)		29,677

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 2.3%
		United States — 2.3%
		Affiliated Issuers — 2.3%
	3,611,927	GMO U.S. Treasury Fund		18,204,112
		TOTAL MUTUAL FUNDS (COST $18,204,112)		18,204,112

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.9%
		Money Market Funds — 0.9%
	7,344,394	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (d)		7,344,394
		TOTAL SHORT-TERM INVESTMENTS (COST $7,344,394)		7,344,394
		TOTAL INVESTMENTS — 99.4% (Cost $769,954,330)		778,881,688
		Other Assets and Liabilities (net) — 0.6%		4,595,806
		TOTAL NET ASSETS — 100.0%		$783,477,494

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
02/25/2021	MSCI	THB	1,537,784,049	USD	48,609,987		304,005
02/25/2021	MSCI	USD	9,719,383	THB	305,091,425		(135,631	)
						$	168,374

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
103	Mini MSCI Emerging Markets		June 2020	$	4,804,435	$	300,930
Sales
1,556	SET 50		June 2020	$	8,752,164	$	(1,477,196	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2020, 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 Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (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) 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.

(d) The rate disclosed is the 7 day net yield as of May 31, 2020.

The rates shown on variable rate notes are the current interest rates at May 31, 2020, 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.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

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

Counterparty Abbreviations:

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

THB - Thai Baht

USD - United States Dollar

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.0%
		Argentina — 0.1%
	108,600	Banco Macro SA ADR		1,863,576
	231,700	Grupo Financiero Galicia SA ADR		1,855,917
		Total Argentina		3,719,493
		Brazil — 0.1%
	1,635,100	Embraer SA *		2,276,632
		Chile — 0.1%
	2,346,905	Banco de Chile		199,417
	305	Banco Santander Chile		12
	2,500	Banco Santander Chile ADR		39,425
	667,617	Enel Americas SA		97,173
	69,280	Inversiones La Construccion SA		450,095
	157,793,069	Itau CorpBanca Chile SA		366,686
	253,501	Parque Arauco SA		427,569
		Total Chile		1,580,377
		China — 39.7%
	4,972,000	361 Degrees International Ltd		657,183
	28,000	AAC Technologies Holdings Inc		145,161
	2,420,000	Agile Group Holdings Ltd		2,511,617
	1,786,200	Agricultural Bank of China Ltd – Class A		851,190
	81,675,290	Agricultural Bank of China Ltd – Class H		33,146,407
	121,900	Alibaba Group Holding Ltd *		3,151,953
	681,826	Alibaba Group Holding Ltd Sponsored ADR *		141,403,894
	4,774,260	Anhui Conch Cement Co Ltd – Class A		38,104,611
	2,787,500	Anhui Conch Cement Co Ltd – Class H		21,019,127
	1,709,499	Anhui Expressway Co Ltd – Class A		1,247,670
	41,000	ANTA Sports Products Ltd		367,443
	593,000	Asia Cement China Holdings Corp		681,785
	90,702,682	Bank of China Ltd – Class H		33,340,640
	3,622,000	BBMG Corp – Class H		752,296
	614,000	Beijing Capital International Airport Co Ltd – Class H		384,672
	478,000	Beijing Enterprises Water Group Ltd *		181,706
	7,114,792	Beijing North Star Co Ltd – Class A		2,716,711
	642,500	Budweiser Brewing Co APAC Ltd *		1,811,118
	132,000	CGN Power Co Ltd – Class H		30,409
	101,000	China Aoyuan Group Ltd		108,299
	3,318,000	China Coal Energy Co Ltd – Class H		796,166
	19,482,560	China Communications Services Corp Ltd – Class H		12,992,506
	4,083,200	China Construction Bank Corp – Class A		3,646,930
	112,177,906	China Construction Bank Corp – Class H		88,473,961
	88,400	China Gas Holdings Ltd		312,525
	2,127,276	China International Travel Service Corp Ltd – Class A		30,245,281
	12,836,000	China Jinmao Holdings Group Ltd		8,961,467
	200,000	China Kepei Education Group Ltd		163,048
	2,559,000	China Lesso Group Holdings Ltd		3,111,100
	9,465,000	China Machinery Engineering Corp – Class H		2,251,316

Shares		Description	Value ($)
		China — continued
	923,000	China Medical System Holdings Ltd		1,058,459
	745,364	China Merchants Bank Co Ltd – Class A		3,542,760
	51,500	China Merchants Bank Co Ltd – Class H		242,671
	939,437	China Mobile Ltd		6,642,512
	16,600	China Mobile Ltd Sponsored ADR		583,656
	1,485,071	China National Chemical Engineering Co Ltd – Class A		1,159,411
	4,812,000	China Oriental Group Co Ltd		1,335,025
	1,580,000	China Overseas Grand Oceans Group Ltd		846,861
	8,588,000	China Overseas Land & Investment Ltd		26,337,499
	2,894,600	China Pacific Insurance Group Co Ltd – Class A		11,515,506
	1,623,800	China Pacific Insurance Group Co Ltd – Class H		4,513,360
	9,920,000	China Resources Cement Holdings Ltd		12,533,102
	1,142,000	China Resources Gas Group Ltd		6,256,152
	7,044,000	China Resources Land Ltd		28,090,123
	1,964,000	China SCE Group Holdings Ltd		817,589
	11,489,396	China Shenhua Energy Co Ltd – Class A		26,397,022
	14,837,000	China Shenhua Energy Co Ltd – Class H		27,176,974
	1,227,000	China Taiping Insurance Holdings Co Ltd		1,835,577
	7,317,221	China Vanke Co Ltd – Class A		26,432,051
	2,401,200	China Zhongwang Holdings Ltd		452,268
	38,000	CIFI Holdings Group Co Ltd		27,605
	14,047,000	CNOOC Ltd		16,048,149
	12,337,714	Country Garden Holdings Co Ltd		15,443,641
	611,500	Dali Foods Group Co Ltd		388,956
	1,830,620	Daqin Railway Co Ltd – Class A		1,749,873
	3,848,000	Datang International Power Generation Co Ltd – Class H		516,277
	3,163,000	Dongyue Group Ltd		1,265,034
	67,200	ENN Energy Holdings Ltd		788,929
	718,000	Fu Shou Yuan International Group Ltd		670,997
	10,372,000	Geely Automobile Holdings Ltd		14,331,124
	2,127,000	Greenland Hong Kong Holdings Ltd		696,224
	18,776,000	Guangdong Investment Ltd		37,128,103
	215,000	Haier Electronics Group Co Ltd		601,974
	209,000	Haitian International Holdings Ltd		444,743
	1,357,922	Hangzhou Robam Appliances Co Ltd – Class A		6,487,203
	1,305,000	Hebei Construction Group Corp Ltd – Class H		1,143,588
	7,715,955	Hisense Home Appliances Group Co Ltd – Class A		12,856,074
	217,800	Hollysys Automation Technologies Ltd		2,720,322
	388,000	Hopson Development Holdings Ltd		418,626
	10,248,000	Hua Han Health Industry Holdings Ltd *(a)		687,475
	7,835,000	Huabao International Holdings Ltd		2,743,556
	4,360,000	Huadian Power International Corp Ltd – Class H		1,338,683
	1,599,450	Huaxin Cement Co Ltd – Class A		5,583,059
	2,303,342	Huayu Automotive Systems Co Ltd – Class A		6,205,013
	2,280,600	Industrial & Commercial Bank of China Ltd – Class A		1,637,309
	94,761,647	Industrial & Commercial Bank of China Ltd – Class H		61,378,811
	27,000	Jiangsu Expressway Co Ltd – Class A		38,067
	1,949,500	Kingboard Laminates Holdings Ltd		1,722,040

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		China — continued
	1,208,000	Kunlun Energy Co Ltd		745,042
	137,207	Kweichow Moutai Co Ltd – Class A		26,299,538
	74,692	Lao Feng Xiang Co Ltd – Class A		487,358
	6,136,000	Logan Property Holdings Co Ltd		9,222,008
	2,275,500	Longfor Group Holdings Ltd		10,406,166
	1,888,000	Lonking Holdings Ltd		638,509
	1,424,000	Maanshan Iron & Steel Co Ltd – Class H		407,828
	3,990,000	Metallurgical Corp of China Ltd – Class H		617,687
	1,618,506	Midea Group Co Ltd – Class A (b)		13,429,444
	2,878,114	Midea Group Co Ltd – Class A (b)		23,880,957
	72,200	NetEase Inc ADR		27,645,380
	705,100	New China Life Insurance Co Ltd – Class H		2,213,592
	2,532,000	Nexteer Automotive Group Ltd		1,375,182
	1,553,000	PAX Global Technology Ltd		603,388
	32,101,000	PICC Property & Casualty Co Ltd – Class H		28,085,979
	3,327,550	Ping An Insurance Group Co of China Ltd – Class A		33,113,127
	12,915,000	Postal Savings Bank of China Co Ltd – Class H		8,271,998
	82,600	Qingdao Port International Co Ltd – Class A		66,251
	5,848,400	Qingling Motors Co Ltd – Class H		1,234,717
	1,578,000	Redsun Properties Group Ltd		553,709
	298,000	Road King Infrastructure Ltd		388,736
	405,437	Shenzhen Expressway Co Ltd – Class A		511,320
	210,000	Shenzhen Expressway Co Ltd – Class H		213,146
	4,342,789	Shenzhen Investment Ltd		1,346,067
	458,800	Shenzhou International Group Holdings Ltd		5,520,929
	3,593,000	Shimao Property Holdings Ltd		15,068,477
	2,486,500	Shui On Land Ltd		412,495
	2,041,500	Sinopec Engineering Group Co Ltd – Class H		858,438
	2,997,699	Sinopec Shanghai Petrochemical Co Ltd – Class A		1,498,817
	4,271,000	Sinotrans Ltd – Class H		881,584
	2,672,000	Sinotruk Hong Kong Ltd		6,512,981
	4,712,703	Suning Universal Co Ltd – Class A		1,982,452
	41,900	Sunny Optical Technology Group Co Ltd		563,089
	315,665	Tencent Holdings Ltd		17,095,109
	1,822,000	Tianneng Power International Ltd		1,846,366
	98,000	Times China Holdings Ltd		145,078
	1,628,000	Towngas China Co Ltd *		749,785
	4,943,000	Want Want China Holdings Ltd		3,584,362
	8,082,698	Weifu High-Technology Group Co Ltd – Class A		22,291,463
	1,594,000	Xinyi Glass Holdings Ltd		1,693,513
	1,811,500	Xtep International Holdings Ltd		587,432
	2,964,000	Yadea Group Holdings Ltd		1,515,307
	35,149,000	Yangzijiang Shipbuilding Holdings Ltd		23,457,778
	29,000	Yum China Holdings Inc		1,343,860
	8,390,707	Yuzhou Properties Co Ltd		3,459,899
	5,318,000	Zhejiang Expressway Co Ltd – Class H		3,746,221
	725,667	Zhejiang Supor Co Ltd – Class A		6,891,024
	1,002,111	Zhejiang Weixing New Building Materials Co Ltd – Class A		1,680,714

Shares		Description	Value ($)
		China — continued
	89,100	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		64,043
	60,500	Zhongsheng Group Holdings Ltd		313,016
		Total China		1,131,919,586
		Colombia — 0.0%
	83,922	Grupo Argos SA		195,743
		Czech Republic — 0.0%
	548,395	Moneta Money Bank AS		1,219,599
		Greece — 0.1%
	1,828,188	Alpha Bank AE *		1,126,306
	2,541,875	Eurobank Ergasias Services and Holdings SA *		1,089,141
	1,228,911	National Bank of Greece SA *		1,649,261
	19,478	Titan Cement International SA *		244,324
		Total Greece		4,109,032
		Hungary — 0.0%
	27,770	Richter Gedeon Nyrt		606,926
		India — 2.0%
	3,922,431	Ashok Leyland Ltd		2,202,003
	256,987	Asian Paints Ltd		5,706,600
	10,727	CMI Ltd		3,119
	129	Coal India Ltd		241
	12,264,578	Gayatri Highways Ltd *(c)		56,549
	16,772,852	Gayatri Projects Ltd *(c)		2,970,885
	230,960	HDFC Bank Ltd		2,910,469
	261,937	Hindustan Unilever Ltd		7,145,268
	252,428	Housing Development Finance Corp Ltd		5,596,077
	1,332,810	ICICI Bank Ltd		5,798,290
	457,494	Indiabulls Housing Finance Ltd		744,619
	3,013,682	Jai Balaji Industries Ltd *		655,385
	1,322,083	Kiri Industries Ltd		5,523,232
	386,197	Kotak Mahindra Bank Ltd		6,273,160
	1,223,459	Mahindra & Mahindra Financial Services Ltd		2,260,324
	305,314	Shriram Transport Finance Co Ltd		2,310,762
	4,739,832	Tata Power Co Ltd (The)		2,291,053
	312,651	Titan Co Ltd		3,695,202
		Total India		56,143,238
		Indonesia — 1.0%
	4,244,600	Astra International Tbk PT		1,389,097
	2,537,900	Bank Central Asia Tbk PT		4,515,906
	4,897,700	Bank Mandiri Persero Tbk PT		1,505,080
	5,312,900	Bank Negara Indonesia Persero Tbk PT		1,398,424
	11,633,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		389,251
	36,593,200	Bank Rakyat Indonesia Persero Tbk PT		7,409,563
	10,555,800	Bank Tabungan Negara Persero Tbk PT		549,104
	765,500	Bank Tabungan Pensiunan Nasional Syariah Tbk PT		151,355

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	6,385,200	Bukit Asam Tbk PT		850,049
	7,227,700	Bumi Serpong Damai Tbk PT *		314,140
	5,573,691	Indo Tambangraya Megah Tbk PT		3,102,130
	4,038,000	Jasa Marga Persero Tbk PT		981,170
	3,583,700	Matahari Department Store Tbk PT *		356,377
	1,061,700	Pabrik Kertas Tjiwi Kimia Tbk PT		288,498
	14,840,700	Pakuwon Jati Tbk PT		367,716
	205,673,700	Panin Financial Tbk PT *		2,373,941
	37,271,700	Ramayana Lestari Sentosa Tbk PT		1,458,100
	6,312,600	Telekomunikasi Indonesia Persero Tbk PT		1,362,232
		Total Indonesia		28,762,133
		Kuwait — 0.5%
	1,651,226	Alimtiaz Investment Group KSC *		429,319
	96,920	Humansoft Holding Co KSC *		844,543
	1,742,423	Kuwait Finance House KSCP		3,528,200
	507,450	Kuwait Projects Co Holding KSCP		269,899
	3,809,862	National Bank of Kuwait SAKP		9,503,114
		Total Kuwait		14,575,075
		Malaysia — 0.1%
	8,477,600	AirAsia Group Berhad		1,345,496
		Mexico — 1.4%
	1,060,600	Alsea SAB de CV *		896,807
	5,443,000	America Movil SAB de CV – Series L		3,618,112
	37,500	Arca Continental SAB de CV		167,473
	2,194,500	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		1,444,889
	900	Coca-Cola Femsa SAB de CV Sponsored ADR		39,402
	296,300	Concentradora Fibra Danhos SA de CV (REIT)		282,610
	228,300	Corp Inmobiliaria Vesta SAB de CV		311,854
	1,719,500	Credito Real SAB de CV SOFOM ER		918,897
	231,200	El Puerto de Liverpool SAB de CV – Class C1		559,793
	13,554,100	Fibra Uno Administracion SA de CV (REIT)		10,397,314
	1,200	Fomento Economico Mexicano SAB de CV Sponsored ADR		81,252
	2,013,800	Gentera SAB de CV		839,140
	567,500	Grupo Aeroportuario del Centro Norte SAB de CV		2,499,104
	9,400	Grupo Aeroportuario del Centro Norte SAB de CV ADR		331,350
	9,100	Grupo Aeroportuario del Pacifico SAB de CV ADR		604,331
	118,200	Grupo Aeroportuario del Pacifico SAB de CV – Class B		786,774
	4,500	Grupo Aeroportuario del Sureste SAB de CV ADR		466,515
	37,280	Grupo Aeroportuario del Sureste SAB de CV – Class B		387,233
	3,973,000	Grupo Financiero Banorte SAB de CV – Class O		12,102,918
	33,100	Grupo Mexico SAB de CV Series B		71,307
	37,700	Infraestructura Energetica Nova SAB de CV		107,449

Shares		Description	Value ($)
		Mexico — continued
	219,400	Kimberly-Clark de Mexico SAB de CV – Class A		341,549
	466,427	Qualitas Controladora SAB de CV		1,871,640
	133,100	Regional SAB de CV *		371,008
	389,800	Unifin Financiera SAB de CV SOFOM ENR (d)		298,839
	244,300	Wal-Mart de Mexico SAB de CV		611,452
		Total Mexico		40,409,012
		Pakistan — 0.3%
	461,510	Engro Corp Ltd		828,059
	3,763,000	Engro Fertilizers Ltd		1,393,488
	687,500	Fauji Fertilizer Co Ltd		460,877
	3,658,100	Oil & Gas Development Co Ltd		2,593,969
	460,400	Pakistan Oilfields Ltd		900,454
	1,097,120	Pakistan Petroleum Ltd		630,713
	331,420	Pakistan State Oil Co Ltd		322,304
	245,300	Searle Co Ltd (The)		303,858
	601,100	United Bank Ltd		359,038
		Total Pakistan		7,792,760
		Peru — 0.1%
	87,100	Southern Copper Corp		3,161,730
		Philippines — 0.3%
	57,300	Ayala Land Inc		36,286
	357,700	Manila Electric Co		2,003,488
	35,324,800	Megaworld Corp		1,993,024
	33,576,000	Metro Pacific Investments Corp		1,923,542
	201,950	Security Bank Corp		325,945
	6,401,200	Semirara Mining & Power Corp		1,392,782
		Total Philippines		7,675,067
		Poland — 3.0%
	297,190	Alior Bank SA *		1,070,477
	89,956	AmRest Holdings SE *		589,831
	748,006	Bank Millennium SA *		463,605
	961,310	Bank Polska Kasa Opieki SA		12,545,810
	46,942	Budimex SA		2,646,220
	186,034	CCC SA		2,245,274
	14,936	CD Projekt SA		1,505,640
	21,747	KRUK SA		547,046
	67,344	Lubelski Wegiel Bogdanka SA		327,088
	757,618	Polski Koncern Naftowy ORLEN SA		12,642,116
	1,400,329	Powszechna Kasa Oszczednosci Bank Polski SA		7,747,265
	5,402,940	Powszechny Zaklad Ubezpieczen SA		40,256,954
	27,997	Santander Bank Polska SA *		1,138,228
	135,779	Warsaw Stock Exchange		1,387,105
		Total Poland		85,112,659

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Qatar — 0.7%
	6,648,431	Barwa Real Estate Co		5,400,193
	1,456,860	Doha Bank QPSC *		818,527
	110,881	Qatar Electricity & Water Co QSC		459,248
	872,544	Qatar Insurance Co SAQ		499,357
	2,385,481	Qatar National Bank QPSC		11,567,258
	1,027,776	Qatar National Cement Co QSC		1,099,642
		Total Qatar		19,844,225
		Russia — 16.0%
	26,391,150	Alrosa PJSC		24,870,558
	7,278,500	Credit Bank of Moscow PJSC		561,017
	1,122,300	Detsky Mir PJSC		1,586,364
	891,060,000	Federal Grid Co Unified Energy System PJSC		2,337,423
	639,070	Gazprom Neft PJSC		3,048,933
	6,771	Gazprom Neft PJSC Sponsored ADR		160,834
	680,233	Globaltrans Investment Plc Sponsored GDR (Registered)		3,793,647
	122,746,000	Inter RAO UES PJSC		8,690,865
	93,867	LSR Group PJSC		784,321
	642,308	LSR Group PJSC GDR (Registered)		1,045,704
	1,227,540	LUKOIL PJSC Sponsored ADR		92,230,899
	619,147	M.Video PJSC		2,999,287
	8,881,100	Magnitogorsk Iron & Steel Works PJSC		5,130,535
	227,998	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		1,704,273
	1,858,437	MMC Norilsk Nickel PJSC ADR		58,796,481
	546,100	Mobile TeleSystems PJSC Sponsored ADR		4,854,829
	8,291,617	Moscow Exchange MICEX-RTS PJSC		13,545,846
	143,603	Novatek PJSC Sponsered GDR (Registered)		21,021,184
	477,200	Novolipetsk Steel PJSC		937,106
	1,332,483	Novolipetsk Steel PJSC GDR		25,824,451
	124,017	PhosAgro PJSC GDR (Registered)		1,722,460
	4,308	Polymetal International Plc		86,593
	1,378	Polyus PJSC GDR (Registered)		114,042
	284,215	QIWI Plc Sponsored ADR		3,963,378
	855,830	Raspadskaya OJSC		1,311,304
	1,234,665	Rostelecom PJSC *		1,458,729
	33,228	Rostelecom PJSC Sponsored ADR		229,878
	92,290	Safmar Financial Investment		520,726
	5,242,420	Sberbank of Russia PJSC Sponsored ADR		59,783,221
	875,253	Severstal PJSC GDR (Registered)		11,552,563
	26,661,300	Surgutneftegas PJSC		15,130,703
	4,355,290	Surgutneftegas PJSC Sponsored ADR		24,575,299
	519,740	Tatneft PJSC		3,957,536
	1,070,516	Tatneft PJSC Sponsored ADR		48,784,201
	389,731	TCS Group Holding Plc GDR (Registered)		6,787,319
	78,505,000	Unipro PJSC		3,068,234
	8,300	Yandex NV – Class A *		333,909
		Total Russia		457,304,652

Shares		Description	Value ($)
		South Africa — 2.6%
	284,569	Absa Group Ltd		1,323,275
	33,317	Anglo American Platinum Ltd		2,112,551
	56,443	Astral Foods Ltd		496,599
	209,092	Barloworld Ltd		802,291
	28,179	Bid Corp Ltd		397,770
	4,504	Capitec Bank Holdings Ltd		218,466
	75,685	Clicks Group Ltd		1,005,109
	441,038	Discovery Ltd		2,480,620
	1,688,726	Emira Property Fund Ltd (REIT)		538,875
	511,310	FirstRand Ltd		1,174,215
	1,657,187	Fortress REIT Ltd – Class A		1,048,016
	565,934	Foschini Group Ltd (The)		2,013,915
	7,372,393	Growthpoint Properties Ltd (REIT)		5,254,920
	1,187,176	Investec Ltd		2,088,127
	21,120	Kumba Iron Ore Ltd		570,387
	801,497	Lewis Group Ltd		668,660
	254,464	Liberty Holdings Ltd		898,859
	986,375	Mr Price Group Ltd		7,341,812
	183,737	MTN Group Ltd		569,573
	338,160	Nedbank Group Ltd		1,913,999
	16,524,148	Old Mutual Ltd (d)		10,603,047
	847,331	Rand Merchant Investment Holdings Ltd		1,317,855
	11,380,905	Redefine Properties Ltd (REIT)		1,244,949
	247,339	RMB Holdings Ltd		753,360
	1,249,498	SA Corporate Real Estate Ltd (REIT)		70,632
	4,437,470	Sanlam Ltd		14,333,048
	2,495	SPAR Group Ltd (The)		24,944
	68,600	Standard Bank Group Ltd		399,294
	916,165	Telkom SA SOC Ltd		934,330
	83,690	Tiger Brands Ltd		748,555
	193,431	Transaction Capital Ltd		188,648
	4,160,827	Truworths International Ltd		7,434,761
	98,316	Vodacom Group Ltd		705,889
	377,930	Wilson Bayly Holmes-Ovcon Ltd		2,063,949
		Total South Africa		73,741,300
		South Korea — 3.5%
	221,487	DB Insurance Co Ltd		7,787,834
	1,125,505	Dongwon Development Co Ltd		3,286,678
	169	F&F Co Ltd		13,609
	8,265	GS Home Shopping Inc		797,525
	1,649,255	Hanwha Life Insurance Co Ltd		2,030,856
	125,568	HDC Hyundai Development Co-Engineering & Construction		2,022,756
	39,046	Hy-Lok Corp		418,198
	15,757	Hyundai Marine & Fire Insurance Co Ltd		309,447
	69,238	Hyundai Mobis Co Ltd		11,101,407
	10,944	Kangwon Land Inc		214,993
	16,061	KCC Corp		1,860,998
	30,552	Kia Motors Corp		849,545
	560,960	Korea Asset In Trust Co Ltd (REIT)		1,206,145
	16,080	Medy-Tox Inc		2,194,291

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	41,408	Meritz Fire & Marine Insurance Co Ltd		487,116
	143	NCSoft Corp		91,346
	43,971	OCI Co Ltd *		1,398,892
	32,382	S&T Motiv Co Ltd		1,049,513
	1,159,374	Samsung Electronics Co Ltd		47,750,058
	14,427	Samsung Electronics Co Ltd GDR		14,891,366
		Total South Korea		99,762,573
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd *(c)		452,038
		Taiwan — 18.4%
	1,096,532	Advantech Co Ltd		10,879,992
	323,000	Amazing Microelectronic Corp		900,111
	181,000	Arcadyan Technology Corp		510,049
	6,805,560	Asustek Computer Inc		47,781,578
	433,000	Aten International Co Ltd		1,293,438
	129,200	Aurora Corp		384,570
	7,208,000	Catcher Technology Co Ltd		52,531,299
	1,776,153	Cathay Financial Holding Co Ltd		2,373,367
	3,712,332	Chailease Holding Co Ltd		14,469,729
	468,000	Chicony Electronics Co Ltd		1,342,750
	20,462,000	China Development Financial Holding Corp		6,213,259
	72,000	China Life Insurance Co Ltd *		49,869
	11,000	Chipbond Technology Corp		22,609
	796,000	Chong Hong Construction Co Ltd		2,220,562
	4,568,400	Coretronic Corp		4,738,130
	47,446,720	CTBC Financial Holding Co Ltd		31,624,757
	57,000	Eclat Textile Co Ltd		587,291
	1,565,000	Elite Material Co Ltd		7,710,972
	2,564,000	Farglory Land Development Co Ltd		3,738,807
	4,250,000	FLEXium Interconnect Inc		15,436,023
	183,000	Formosa Chemicals & Fibre Corp		439,678
	1,553,000	Formosa Plastics Corp		4,300,543
	3,281,075	Foxconn Technology Co Ltd		5,908,255
	8,449,000	Fubon Financial Holding Co Ltd		11,956,330
	183,000	Gigabyte Technology Co Ltd		360,409
	2,470,000	Grand Pacific Petrochemical *		1,163,408
	427,000	Greatek Electronics Inc		640,816
	20,718,532	Hon Hai Precision Industry Co Ltd		52,415,652
	2,120,000	Huaku Development Co Ltd		6,715,518
	1,431,806	IEI Integration Corp *		1,863,692
	199,000	Innodisk Corp		1,273,238
	267,000	Kung Long Batteries Industrial Co Ltd		1,282,692
	4,000	Largan Precision Co Ltd		512,426
	4,049,000	Lite-On Technology Corp		6,497,894
	22,000	Lotes Co Ltd		296,381
	1,280,425	Mercuries Life Insurance Co Ltd *		392,954
	1,592,000	Merry Electronics Co Ltd		7,196,006
	1,900,000	Micro-Star International Co Ltd		6,410,604
	1,009,000	Nantex Industry Co Ltd		1,258,027
	89,000	Nichidenbo Corp		155,853

Shares		Description	Value ($)
		Taiwan — continued
	1,375,810	Novatek Microelectronics Corp		9,420,256
	303,000	Pegatron Corp		652,167
	180,000	Quanta Computer Inc		420,482
	1,698,000	Quanta Storage Inc		2,090,053
	10,850,870	Radiant Opto-Electronics Corp		37,356,895
	613,000	Ruentex Industries Ltd		1,333,186
	911,000	Shinkong Insurance Co Ltd		1,083,066
	1,564,068	Simplo Technology Co Ltd		16,756,899
	372,200	Sitronix Technology Corp		1,893,331
	2,361,250	Syncmold Enterprise Corp		6,382,081
	199,000	Taiflex Scientific Co Ltd		312,734
	9,254,000	Taiwan Semiconductor Manufacturing Co Ltd		89,960,640
	273,010	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		13,740,593
	443,000	Test Research Inc		809,087
	76,000	Thinking Electronic Industrial Co Ltd		221,819
	1,395,000	Transcend Information Inc		3,268,175
	1,804,160	Tripod Technology Corp		6,784,363
	1,567,400	United Integrated Services Co Ltd		11,000,869
	36,000	Wiwynn Corp		964,675
	100,000	YC INOX Co Ltd		79,999
	143,000	Yulon Nissan Motor Co Ltd		1,263,739
	323,000	Zeng Hsing Industrial Co Ltd		1,430,923
		Total Taiwan		523,075,570
		Thailand — 0.9%
	849,400	Bangkok Bank Pcl (Foreign Registered)		2,905,346
	570,500	Bangkok Life Assurance Pcl NVDR		269,599
	9,834,900	Banpu Pcl (Foreign Registered)		1,932,352
	1,709,000	Banpu Power Pcl (Foreign Registered)		940,333
	50,272,900	Beauty Community Pcl		2,765,721
	638,900	Hana Microelectronics Pcl (Foreign Registered)		604,222
	980,400	Kasikornbank Pcl NVDR		2,974,500
	277,100	Krung Thai Bank Pcl (Foreign Registered)		90,865
	6,120,700	Land & Houses Pcl (Foreign Registered)		1,408,886
	3,734,600	Origin Property Pcl (Foreign Registered)		594,317
	4,087,400	Pruksa Holding Pcl (Foreign Registered)		1,531,967
	15,794,892	Quality Houses Pcl (Foreign Registered)		1,074,660
	838,500	Siam Commercial Bank Pcl (The) (Foreign Registered)		1,958,642
	641,600	SPCG Pcl		353,299
	4,880,675	Supalai Pcl (Foreign Registered)		2,274,184
	707,600	Thai Vegetable Oil Pcl (Foreign Registered)		590,029
	394,600	Thanachart Capital Pcl (Foreign Registered)		453,679
	960,300	Tipco Asphalt Pcl (Foreign Registered)		665,905
	16,400	Tisco Financial Group Pcl (Foreign Registered)		38,798
	1,440,500	TTW Pcl (Foreign Registered)		620,564
	2,763,800	Univentures Pcl (Foreign Registered)		290,860
		Total Thailand		24,338,728
		Turkey — 0.1%
	926,517	Arcelik AS *		2,140,204

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United Arab Emirates — 0.2%
	427,567	Abu Dhabi Islamic Bank PJSC		395,723
	826,201	Al Waha Capital PJSC *		148,140
	1,809,366	DAMAC Properties Dubai Co PJSC *		321,016
	1,169,410	Dubai Islamic Bank PJSC		1,126,578
	393,578	Emaar Development PJSC *		207,898
	1,457,967	Emaar Malls PJSC *		524,765
	4,214,670	Emaar Properties PJSC *		2,875,755
	187,039	Emirates NBD Bank PJSC		438,773
		Total United Arab Emirates		6,038,648
		United Kingdom — 0.7%
	386,665	Unilever Plc		20,761,427
		Vietnam — 0.1%
	1,594,290	Kinh Bac City Development Share Holding Corp		965,793
	184,860	PetroVietnam Gas JSC		595,087
	1,923,000	PetroVietnam Technical Services Corp		1,047,239
	138,320	Pha Lai Thermal Power JSC		143,554
	380,860	Vinh Hoan Corp		552,242
		Total Vietnam		3,303,915
		TOTAL COMMON STOCKS (COST $2,848,321,087)		2,621,367,838
		PREFERRED STOCKS (e) — 4.2%
		Colombia — 0.0%
	60,938	Banco Davivienda SA		400,263
	3,055,592	Grupo Aval Acciones y Valores SA		688,942
		Total Colombia		1,089,205
		Russia — 2.0%
	254,391	Bashneft PJSC		5,165,084
	200,000	Nizhnekamskneftekhim PJSC		238,959
	98,683,100	Surgutneftegas PJSC		49,777,532
	1,276	Transneft PJSC		2,341,850
		Total Russia		57,523,425
		South Korea — 2.1%
	1,734,179	Samsung Electronics Co Ltd		60,377,628
		Taiwan — 0.1%
	605,412	CTBC Financial Holding Co Ltd		1,330,429
		TOTAL PREFERRED STOCKS (COST $112,662,471)		120,320,687
		INVESTMENT FUNDS — 2.5%
		Thailand — 0.4%
	22,546,425	Digital Telecommunications Infrastructure Fund		11,276,567

Shares / Par Value†		Description	Value ($)
		United States — 2.1%
	1,336,677	iShares Core MSCI Emerging Markets ETF		60,203,932
		TOTAL INVESTMENT FUNDS (COST $69,829,878)		71,480,499
		DEBT OBLIGATIONS — 0.7%
		United States — 0.7%
	19,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.28%, due 01/31/22 (f)		19,021,339
		TOTAL DEBT OBLIGATIONS (COST $19,021,773)		19,021,339
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 0.2%
	6,769,254	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (g)		6,769,254
		U.S. Government — 1.0%
	29,000,000	U.S. Cash Management Bill, 0.16%, due 10/27/20 (h)		28,980,924
		TOTAL SHORT-TERM INVESTMENTS (COST $35,751,298)		35,750,178
		TOTAL INVESTMENTS — 100.6% (Cost $3,085,586,507)		2,867,940,541
		Other Assets and Liabilities (net) — (0.6%)		(17,448,463	)
		TOTAL NET ASSETS — 100.0%		$2,850,492,078

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
06/02/2020	SSB	QAR	4,010,439	USD	1,092,167		(9,299	)
06/02/2020	SSB	USD	481,504	QAR	1,768,084		4,100
						$	(5,199	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
3,392	Mini MSCI Emerging Markets		June 2020	$	158,219,840	$	13,643,688
Sales
1,157	SGX Nifty 50		June 2020	$	22,091,142	$	(1,283,874	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 9.25%)

Appreciation on Total Return on CSI 500 Index

GS

USD

30,789,299

12/07/2020

At Maturity

$

—

$

(63,584

)

$

(63,584

)

As of May 31, 2020, 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 using significant unobservable inputs.

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

(c) Affiliated company.

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

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

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

(g) The rate disclosed is the 7 day net yield as of May 31, 2020.

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

The rates shown on variable rate notes are the current interest rates at May 31, 2020, 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.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

REIT - Real Estate Investment Trust

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

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

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

Counterparty Abbreviations:

GS - Goldman Sachs International

SSB - State Street Bank and Trust Company

Currency Abbreviations:

QAR - Qatari Rial

USD - United States Dollar

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.3%
		Australia — 3.5%
	134,874	Ampol Ltd		2,440,066
	767,641	Austal Ltd		1,713,518
	64	Commonwealth Bank of Australia		2,718
	401,833	CSR Ltd		1,095,456
	5,110,563	Fortescue Metals Group Ltd		47,310,564
	62,842	JB Hi-Fi Ltd		1,558,494
	499,255	Pact Group Holdings Ltd *		765,237
	599,039	Rio Tinto Ltd		37,415,461
	961,600	Sandfire Resources NL		2,815,476
	41,305	Super Retail Group Ltd		230,863
		Total Australia		95,347,853
		Austria — 0.1%
	44,120	Oesterreichische Post AG		1,482,077
		Belgium — 0.8%
	531,113	AGFA-Gevaert NV *		2,137,731
	8,076	D’Ieteren SA		484,657
	78,288	Orange Belgium SA		1,269,237
	181,867	UCB SA		18,202,188
		Total Belgium		22,093,813
		Denmark — 0.0%
	10,980	Per Aarsleff Holding A/S		372,212
	7,459	Schouw & Co AB		607,378
		Total Denmark		979,590
		France — 9.0%
	24,749	Alten SA		1,999,236
	190,667	BNP Paribas SA *		6,861,232
	11,852	Christian Dior SE		5,042,637
	5,705	Eiffage SA *		520,783
	57,333	Gaztransport Et Technigaz SA		4,303,446
	14,927	IPSOS		365,330
	278,966	L’Oreal SA		81,823,900
	134,133	Metropole Television SA *		1,564,609
	3,156	Nexans SA *		129,337
	986,576	Peugeot SA *		14,162,691
	2,625	Safran SA *		252,942
	808,702	Sanofi		79,102,999
	125,628	Sanofi ADR		6,169,591
	2,902	Sartorius Stedim Biotech *		789,865
	55,882	Schneider Electric SE		5,533,031
	57,356	STMicroelectronics NV		1,424,432
	1,343,322	STMicroelectronics NV – NY Shares		33,381,552
		Total France		243,427,613
		Germany — 4.6%
	113,175	ADVA Optical Networking SE *		735,975
	133,652	Allianz SE (Registered)		24,222,575

Shares		Description	Value ($)
		Germany — continued
	13,071	Bayer AG (Registered)		893,528
	23,443	Bechtle AG		4,163,853
	23,237	Carl Zeiss Meditec AG *		2,377,885
	1,041,111	CECONOMY AG *		3,089,015
	5,093	Cewe Stiftung & Co KGaA		521,162
	809,582	Deutsche Pfandbriefbank AG *		5,600,123
	484,153	Dialog Semiconductor Plc *		19,360,813
	64,908	DWS Group GmbH & Co KGaA		2,446,003
	45,938	Hannover Rueck SE		7,418,889
	44,569	Henkel AG & Co KGaA		3,584,323
	6,074	Indus Holding AG		196,135
	59,467	Merck KGaA		6,855,061
	19,836	RHOEN-KLINIKUM AG		396,945
	7,073	SAP SE		902,673
	11,910	Siemens AG (Registered)		1,313,134
	53,732	Siemens Healthineers AG		2,789,820
	36,720	Siltronic AG		3,627,229
	180,461	Software AG		6,984,889
	127,806	Talanx AG *		4,498,304
	148,725	Volkswagen AG		23,662,627
		Total Germany		125,640,961
		Hong Kong — 2.0%
	276,600	ASM Pacific Technology Ltd		2,537,791
	495,500	BOC Hong Kong Holdings Ltd		1,395,632
	1,574,640	Champion (REIT)		716,326
	1,505,014	Dah Sing Banking Group Ltd		1,338,287
	407,515	Dah Sing Financial Holdings Ltd		1,140,552
	4,557,096	Esprit Holdings Ltd *		353,665
	860,500	Johnson Electric Holdings Ltd		1,480,361
	794,257	Luk Fook Holdings International Ltd		1,400,197
	914,400	Man Wah Holdings Ltd		718,346
	1,405,647	Pacific Textiles Holdings Ltd		590,034
	1,323,173	SmarTone Telecommunications Holdings Ltd		691,477
	377,880	Television Broadcasts Ltd		482,791
	72,400	VTech Holdings Ltd		438,382
	47,636,420	WH Group Ltd		41,441,031
	436,000	Xinyi Glass Holdings Ltd		463,219
		Total Hong Kong		55,188,091
		Ireland — 0.9%
	70,354	CRH Plc		2,265,518
	553,300	CRH Plc Sponsored ADR		17,794,128
	167	Flutter Entertainment Plc *		21,247
	31,920	Kerry Group Plc – Class A		3,954,911
		Total Ireland		24,035,804
		Italy — 4.7%
	793,653	Anima Holding SPA		3,364,616
	181	Assicurazioni Generali SPA		2,523
	576,509	Banca Mediolanum SPA		3,854,197
	59,054	Buzzi Unicem SPA		1,180,820

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	35,918	De’ Longhi SPA *		769,351
	9,329,967	Enel SPA		72,136,721
	608,963	EXOR NV		32,852,512
	684,430	Hera SPA		2,621,249
	386,253	Intesa Sanpaolo SPA *		672,107
	1,151,076	Iren SPA		2,874,590
	44,678	La Doria SPA		521,781
	8,458	Reply SPA		744,027
	756,378	Societa Cattolica di Assicurazioni SC		3,496,815
	338,541	Unipol Gruppo SPA *		1,195,085
		Total Italy		126,286,394
		Japan — 21.5%
	3,200	Amada Co Ltd		28,595
	72,453	AOKI Holdings Inc		463,244
	2,855,976	Asahi Kasei Corp		22,698,640
	4,005,550	Astellas Pharma Inc		71,570,899
	51,727	Autobacs Seven Co Ltd		634,911
	619,421	Brother Industries Ltd		11,721,846
	800	Casio Computer Co Ltd		14,129
	45,036	Cawachi Ltd		1,100,890
	85,719	Daiwabo Holdings Co Ltd		5,766,151
	380,662	DCM Holdings Co Ltd		3,952,809
	80,385	Dexerials Corp		644,055
	27,100	Dip Corp		637,840
	61,078	Doutor Nichires Holdings Co Ltd		1,039,938
	30,066	DTS Corp		640,505
	6,621	Ehime Bank Ltd (The)		73,456
	48,692	Fancl Corp		1,389,987
	490,145	Fuji Electric Co Ltd		13,094,143
	59,600	Fujitsu General Ltd		1,166,166
	405,396	Fujitsu Ltd		41,775,237
	29,789	Fuyo General Lease Co Ltd		1,713,494
	147,012	Geo Holdings Corp		1,840,102
	20,135	Gunze Ltd		717,870
	50,800	Hakuhodo DY Holdings Inc		632,627
	89,500	Haseko Corp		1,093,321
	1,351,978	Hitachi Ltd		43,667,803
	35,349	House Foods Group Inc		1,198,485
	24,200	Hoya Corp		2,277,061
	1,235,268	ITOCHU Corp		26,563,788
	86,800	Itochu Techno-Solutions Corp		2,937,787
	165,900	Japan Post Bank Co Ltd		1,372,893
	51,900	K’s Holdings Corp		664,389
	159,611	Kanematsu Corp		1,987,584
	2,018,500	KDDI Corp		58,918,365
	103,117	Keihin Corp		2,439,090
	25,569	Kohnan Shoji Co Ltd		747,343
	1,355,400	Konica Minolta Inc		5,035,648
	29,500	LIXIL VIVA Corp		661,328
	24,867	Mandom Corp		503,257
	17,500	Matsumotokiyoshi Holdings Co Ltd		655,620
	4,170,256	Mitsubishi Chemical Holdings Corp		24,564,353

Shares		Description	Value ($)
		Japan — continued
	1,400,600	Mitsubishi UFJ Financial Group Inc		5,814,077
	3,178	Mitsui Sugar Co Ltd		61,526
	45,150	Modec Inc		683,115
	76,266	Namura Shipbuilding Co Ltd		123,731
	213,800	NEC Corp		9,612,929
	150,057	Nichias Corp		3,466,832
	109,909	Nippo Corp		2,732,659
	67,333	Nippon Signal Co Ltd		759,602
	2,791,188	Nippon Telegraph & Telephone Corp		63,530,754
	6,200	Nissin Foods Holdings Co Ltd		519,698
	26,500	Nomura Real Estate Holdings Inc		489,138
	139,100	NS Solutions Corp		3,831,119
	73,100	NTT DOCOMO Inc		2,009,056
	554,300	Obayashi Corp		5,139,897
	96,801	Okinawa Electric Power Co (The)		1,816,612
	31,000	Otsuka Corp		1,501,217
	93,902	Press Kogyo Co Ltd		232,957
	73,796	Prima Meat Packers Ltd		1,814,309
	37,457	San-A Co Ltd		1,496,112
	24,700	SCSK Corp		1,213,216
	98,887	Seiko Holdings Corp		1,678,703
	477,428	Sekisui Chemical Co Ltd		6,692,152
	104,600	Sekisui House Ltd		1,996,723
	262,700	Shimizu Corp		2,223,697
	207,800	Showa Corp		4,345,821
	3,718,087	Sojitz Corp		8,662,840
	171,100	Sony Corp		11,081,434
	9,275,063	Sumitomo Chemical Co Ltd		28,823,055
	39,000	Sumitomo Dainippon Pharma Co Ltd		552,345
	79,203	T-Gaia Corp		1,688,793
	175,400	Tokyo Electron Ltd		35,296,300
	42,861	Tokyo Seimitsu Co Ltd		1,395,198
	149,395	Tokyu Construction Co Ltd		816,610
	86,211	Towa Pharmaceutical Co Ltd		1,824,057
	10,500	Toyo Suisan Kaisha Ltd		550,229
	27,682	TPR Co Ltd		378,770
	164,867	TS Tech Co Ltd		4,663,998
	75,819	TSI Holdings Co Ltd		325,629
	19,700	Tsumura & Co		548,133
	3,800	Tsuruha Holdings Inc		562,620
	13,400	Uchida Yoko Co Ltd		702,756
	20,500	Ulvac Inc		619,110
	109,914	Valor Holdings Co Ltd		2,164,069
	23,104	Warabeya Nichiyo Holdings Co Ltd		376,807
	26,746	Yahagi Construction Co Ltd		192,091
		Total Japan		583,616,145
		Malta — 0.0%
	15,858,986	BGP Holdings Plc *(a)		—
		Netherlands — 6.4%
	307	Aalberts NV		8,428
	18,201	ASM International NV		2,122,960

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	522,519	ASR Nederland NV		14,364,734
	18,474	BE Semiconductor Industries NV		706,481
	220,538	Heineken Holding NV		18,134,399
	2,387,848	ING Groep NV		15,524,840
	605,781	Koninklijke Ahold Delhaize NV		15,358,926
	424,092	Koninklijke Philips NV *		19,280,481
	51,438	Koninklijke Vopak NV		2,816,895
	6,475	Pharming Group NV *		9,605
	198,550	Randstad NV		8,353,614
	828,920	Signify NV *		17,849,476
	64,810	TomTom NV *		551,430
	750,435	Wolters Kluwer NV		59,892,443
		Total Netherlands		174,974,712
		New Zealand — 0.0%
	474,497	Air New Zealand Ltd		404,395
		Norway — 2.4%
	373,819	BW LPG Ltd		1,248,690
	3,021,726	DNB ASA		41,240,019
	131,200	Frontline Ltd		1,197,856
	265,310	Gjensidige Forsikring ASA *		4,836,830
	77,764	Norwegian Finans Holding ASA *		554,492
	1,661,603	Orkla ASA		14,924,087
	10,853	SpareBank 1 Nord Norge		71,409
	34,279	TGS NOPEC Geophysical Co ASA		491,048
		Total Norway		64,564,431
		Portugal — 3.3%
	128,547	Altri SGPS SA		591,287
	287,147	CTT-Correios de Portugal SA *		654,196
	30,272	EDP Renovaveis SA		400,283
	8,887,879	EDP – Energias de Portugal SA		41,520,472
	1,812,412	Galp Energia SGPS SA		21,564,415
	1,178,890	Jeronimo Martins SGPS SA		20,102,073
	635,386	NOS SGPS SA		2,601,458
	630,348	REN – Redes Energeticas Nacionais SGPS SA		1,688,576
		Total Portugal		89,122,760
		Singapore — 3.9%
	1,354,200	AEM Holdings Ltd		2,951,626
	930,200	CapitaLand Ltd *		1,910,037
	3,123,900	ComfortDelGro Corp Ltd		3,191,576
	3,218,800	DBS Group Holdings Ltd		44,530,458
	1,333,400	Frasers Logistics & Industrial Trust (REIT)		1,051,273
	733,400	Hi-P International Ltd		563,057
	7,700	Keppel DC (REIT)		14,049
	2,717,000	Mapletree Greater China Commercial Trust (REIT)		1,612,675
	1,892,600	Mapletree Industrial Trust (REIT)		3,658,931
	2,410,000	Singapore Exchange Ltd		14,159,037
	403,700	Singapore Technologies Engineering Ltd		914,255
	937,900	United Overseas Bank Ltd		12,990,364

Shares		Description	Value ($)
		Singapore — continued
	709,400	Venture Corp Ltd		7,709,108
	684,600	Wilmar International Ltd		1,934,062
	10,976,700	Yangzijiang Shipbuilding Holdings Ltd		7,325,642
		Total Singapore		104,516,150
		Spain — 6.2%
	41,449	Acerinox SA *		331,603
	387,429	Aena SME SA *		55,292,660
	240,849	Banco Bilbao Vizcaya Argentaria SA		741,780
	475,800	Banco Santander SA		1,087,829
	280,175	Cia de Distribucion Integral Logista Holdings SA		5,183,580
	137,043	Ebro Foods SA		2,869,353
	1,910,924	Endesa SA		45,644,959
	3,639,542	Iberdrola SA		39,407,066
	415,120	Industria de Diseno Textil SA		11,562,524
	2,236,987	Mapfre SA		3,944,659
	115,077	Mediaset Espana Comunicacion SA *		410,953
	32,893	Viscofan SA		2,160,625
		Total Spain		168,637,591
		Sweden — 4.1%
	396,177	Betsson AB *		2,764,791
	10,188	Skanska AB – B Shares *		204,808
	804,028	Swedish Match AB		56,115,535
	3,713,021	Volvo AB – B Shares		52,982,494
		Total Sweden		112,067,628
		Switzerland — 6.8%
	50,929	Ascom Holding AG (Registered) *		370,756
	6,900	Banque Cantonale Vaudoise (Registered)		672,870
	48,307	Galenica AG		3,578,596
	8,342	Kardex AG (Registered)		1,447,690
	212,458	Nestle SA (Registered)		23,068,053
	465,850	Novartis AG (Registered)		40,554,988
	33,313	Roche Holding AG		11,677,724
	283,021	Roche Holding AG – Genusschein		98,242,673
	4,189	Vontobel Holding AG (Registered)		256,258
	93,014	Wizz Air Holdings Plc *		3,781,535
	4,556	Zehnder Group AG		176,604
		Total Switzerland		183,827,747
		United Kingdom — 17.1%
	2,970,458	3i Group Plc		30,398,043
	136,199	Ashtead Group Plc		4,067,209
	239,487	Avast Plc		1,494,042
	175,602	AVEVA Group Plc		8,921,955
	3,484,694	Barratt Developments Plc		21,554,930
	224,342	Bellway Plc		7,161,392
	311,633	Berkeley Group Holdings Plc (The)		15,875,099
	1,124,861	British American Tobacco Plc		44,612,443
	728,700	British American Tobacco Plc Sponsored ADR		29,206,296
	395,187	Coca-Cola HBC AG		10,007,169

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	26,071	Cranswick Plc		1,190,615
	524,343	Dunelm Group Plc		6,933,094
	1,225,776	Electrocomponents Plc		9,680,186
	59,983	Ferguson Plc		4,730,741
	1,648,162	Ferrexpo Plc		3,590,418
	5,392,249	Firstgroup Plc *		3,716,118
	264,593	Galliford Try Holdings Plc		384,705
	23,880	Games Workshop Group Plc		2,363,089
	3,406,181	GlaxoSmithKline Plc		70,551,225
	71,690	Grafton Group Plc		554,415
	126,838	Greggs Plc		2,905,979
	117,113	Halfords Group Plc		265,067
	56,159	Halma Plc		1,629,724
	156,492	Howden Joinery Group Plc		1,147,879
	1,021,200	HSBC Holdings Plc		4,718,586
	1,106,148	IG Group Holdings Plc		10,460,145
	852,714	Inchcape Plc		5,301,469
	212,298	Intermediate Capital Group Plc		3,338,540
	3,220,896	International Consolidated Airlines Group SA		9,154,748
	1,451,393	JD Sports Fashion Plc		11,899,124
	4,177,779	Legal & General Group Plc		10,314,646
	351,702	National Express Group Plc		948,658
	405,392	Next Plc		24,516,545
	1,623,694	Persimmon Plc		46,314,134
	530,398	Pets at Home Group Plc		1,509,638
	619,703	Plus500 Ltd		10,117,663
	993,967	QinetiQ Group Plc		3,648,362
	347,148	Royal Dutch Shell Plc – A Shares		5,542,477
	71,919	Royal Dutch Shell Plc – B Shares		1,097,977
	61,068	Savills Plc		655,333
	64,100	Smith & Nephew Plc Sponsored ADR		2,615,921
	238,057	Softcat Plc		3,390,371
	107,710	Spectris Plc		3,431,780
	968,264	Spirent Communications Plc		3,007,060
	2,022,249	Tate & Lyle Plc		16,868,509
	309,192	Vesuvius Plc		1,409,808
	26,564	Vistry Group Plc		252,393
		Total United Kingdom		463,455,720

Shares		Description	Value ($)
		United States — 0.0%
	29,957	Janus Henderson Group Plc CDI		653,822
		TOTAL COMMON STOCKS (COST $2,878,446,133)		2,640,323,297
		PREFERRED STOCKS (b) — 0.3%
		Germany — 0.3%
	6,230	Draegerwerk AG & Co KGaA		494,833
	69,751	Henkel AG & Co KGaA		6,238,133
	216,236	Schaeffler AG		1,665,493
		Total Germany		8,398,459
		TOTAL PREFERRED STOCKS (COST $8,019,719)		8,398,459
		SHORT-TERM INVESTMENTS — 1.9%
		Money Market Funds — 0.1%
	3,095,028	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (c)		3,095,028
		U.S. Government — 1.8%
	3,000,000	U.S. Treasury Bill, 0.14%, due 08/13/20 (d)(e)		2,999,171
	45,000,000	U.S. Treasury Bill, 0.17%, due 11/12/20 (d)(e)		44,966,175
		Total U.S. Government		47,965,346
		TOTAL SHORT-TERM INVESTMENTS (COST $51,056,664)		51,060,374
		TOTAL INVESTMENTS — 99.5% (Cost $2,937,522,516)		2,699,782,130
		Other Assets and Liabilities (net) — 0.5%		13,041,103
		TOTAL NET ASSETS — 100.0%		$2,712,823,233

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
377	Mini MSCI EAFE		June 2020	$	32,527,560	$	1,837,126

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2020, 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 International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

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) The rate disclosed is the 7 day net yield as of May 31, 2020.

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

(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.

Portfolio Abbreviations:

ADR - American Depositary Receipt

CDI - Certificado de Deposito Interbancario

REIT - Real Estate Investment Trust

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.7%
		Banks — 5.4%
	5,842,270	US Bancorp		207,751,121
	5,551,731	Wells Fargo & Co.		146,954,320
		Total Banks		354,705,441
		Capital Goods — 7.7%
	1,107,211	3M Co.		173,212,089
	829,800	Honeywell International, Inc.		121,026,330
	594,644	Knorr-Bremse AG		62,980,232
	1,099,474	Otis Worldwide Corp.		57,887,306
	1,337,166	Raytheon Technologies Corp.		86,273,950
		Total Capital Goods		501,379,907
		Consumer Durables & Apparel — 1.6%
	123,550	LVMH Moet Hennessy Louis Vuitton SE		51,832,360
	544,949	NIKE, Inc. – Class B		53,721,072
		Total Consumer Durables & Apparel		105,553,432
		Consumer Services — 2.7%
	7,439,927	Compass Group Plc		109,064,770
	865,655	Starbucks Corp.		67,512,434
		Total Consumer Services		176,577,204
		Diversified Financials — 3.3%
	1,644,999	American Express Co.		156,390,055
	1,655,705	Charles Schwab Corp. (The)		59,456,366
		Total Diversified Financials		215,846,421
		Food, Beverage & Tobacco — 5.9%
	4,492,624	Coca-Cola Co. (The)		209,715,688
	613,305	Nestle SA (Registered)		66,590,818
	1,474,877	Philip Morris International, Inc.		108,196,977
		Total Food, Beverage & Tobacco		384,503,483
		Health Care Equipment & Services — 14.9%
	781,777	Abbott Laboratories		74,206,273
	282,171	Alcon, Inc. *		18,266,553
	686,474	Anthem, Inc.		201,898,868
	107,694	Becton Dickinson and Co.		26,592,879
	2,143,863	Medtronic Plc		211,342,015
	1,127,498	Quest Diagnostics, Inc.		133,360,463
	1,018,796	UnitedHealth Group, Inc.		310,579,961
		Total Health Care Equipment & Services		976,247,012
		Household & Personal Products — 2.3%
	234,780	Unilever NV		12,132,943
	2,556,087	Unilever Plc		137,245,451
		Total Household & Personal Products		149,378,394

Shares		Description	Value ($)
		Media & Entertainment — 8.2%
	143,706	Alphabet, Inc. – Class A *		206,005,425
	91,288	Alphabet, Inc. – Class C *		130,443,249
	877,350	Facebook, Inc. – Class A *		197,482,712
		Total Media & Entertainment		533,931,386
		Pharmaceuticals, Biotechnology & Life Sciences — 10.7%
	853,604	Eli Lilly & Co.		130,558,732
	1,547,722	Johnson & Johnson		230,223,648
	1,936,734	Merck & Co., Inc.		156,333,168
	527,559	Roche Holding AG – Genusschein		183,127,069
		Total Pharmaceuticals, Biotechnology & Life Sciences		700,242,617
		Retailing — 2.6%
	3,214,260	TJX Cos, Inc. (The)		169,584,358
		Semiconductors & Semiconductor Equipment — 5.3%
	83,979	ASML Holding NV		27,509,818
	16,273,790	Taiwan Semiconductor Manufacturing Co Ltd		158,201,920
	1,361,209	Texas Instruments, Inc.		161,629,956
		Total Semiconductors & Semiconductor Equipment		347,341,694
		Software & Services — 16.9%
	1,131,959	Accenture Plc – Class A		228,225,574
	2,216,528	Microsoft Corp.		406,178,756
	4,259,590	Oracle Corp.		229,038,154
	1,067,759	SAP SE		136,269,859
	525,551	Visa, Inc. – Class A		102,608,577
		Total Software & Services		1,102,320,920
		Technology Hardware & Equipment — 8.2%
	1,106,625	Apple, Inc.		351,840,352
	3,802,701	Cisco Systems, Inc.		181,845,162
		Total Technology Hardware & Equipment		533,685,514
		Transportation — 1.0%
	2,128,733	Lyft, Inc. – Class A *		66,544,194
		TOTAL COMMON STOCKS (COST $4,302,386,489)		6,317,841,977
		DEBT OBLIGATIONS — 0.3%
		U.S. Government — 0.3%
	20,000,000	U.S. Treasury Note, 2.25%, due 03/31/21		20,341,406
		TOTAL DEBT OBLIGATIONS (COST $20,315,775)		20,341,406

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.3%
		Affiliated Issuers — 0.3%
	3,141,064	GMO U.S. Treasury Fund		15,830,961
		TOTAL MUTUAL FUNDS (COST $15,705,282)		15,830,961
		SHORT-TERM INVESTMENTS — 2.5%
		Money Market Funds — 0.0%
	938,176	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (a)		938,176
		U.S. Government — 2.5%
	5,000,000	U.S. Cash Management Bill, 0.15%, due 09/15/20 (b)		4,997,866
	140,000,000	U.S. Treasury Bill, 0.17%, due 11/12/20 (b)		139,894,766
	21,000,000	U.S. Treasury Note, 1.38%, due 01/31/21		21,164,883
		Total U.S. Government		166,057,515
		TOTAL SHORT-TERM INVESTMENTS (COST $166,796,953)		166,995,691
		TOTAL INVESTMENTS — 99.8% (Cost $4,505,204,499)		6,521,010,035
		Other Assets and Liabilities (net) — 0.2%		14,113,539
		TOTAL NET ASSETS — 100.0%		$6,535,123,574

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2020.

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

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 87.2%
		Argentina — 1.1%
	1,254,754	Adecoagro SA *		5,407,990
		Australia — 5.5%
	1,336,180	Beach Energy Ltd		1,443,629
	1,381,153	Fortescue Metals Group Ltd		12,785,896
	4,770,582	Jupiter Mines Ltd		892,683
	281,295	Mineral Resources Ltd		3,534,707
	1,726,406	Perenti Global Ltd		1,378,715
	1,366,108	Sandfire Resources NL		3,999,837
	1,853,907	South32 Ltd		2,344,013
	589,067	Tassal Group Ltd		1,578,778
		Total Australia		27,958,258
		Austria — 1.0%
	153,837	OMV AG *		5,083,361
		Brazil — 1.5%
	800,000	Duratex SA		1,613,103
	269,800	Petroleo Brasileiro SA		1,053,657
	1,194,657	Sao Martinho SA		4,349,865
	161,800	SLC Agricola SA		755,287
		Total Brazil		7,771,912
		Canada — 2.9%
	266,600	Canadian Solar Inc *(a)		5,012,080
	104,600	Enerflex Ltd (a)		419,357
	283,100	Frontera Energy Corp		725,819
	8,838,100	Largo Resources Ltd *		5,777,165
	528,300	Peyto Exploration & Development Corp (a)		943,907
	922,200	Seven Generations Energy Ltd – Class A *		1,942,390
		Total Canada		14,820,718
		China — 1.3%
	2,444,000	China Water Affairs Group Ltd		1,634,234
	4,343,000	CNOOC Ltd		4,961,708
		Total China		6,595,942
		Colombia — 0.6%
	6,220,640	Ecopetrol SA		3,318,787
		Denmark — 1.3%
	42,150	Maersk Drilling A/S *		924,079
	54,144	Vestas Wind Systems A/S		5,530,032
		Total Denmark		6,454,111
		France — 3.7%
	24,854	Eramet *		866,800
	297,258	Suez (a)		3,389,343
	197,179	TOTAL SA		7,477,182

Shares		Description	Value ($)
		France — continued
	171,815	Veolia Environnement SA		3,783,357
	58,741	Vilmorin & Cie SA		3,093,187
		Total France		18,609,869
		Hungary — 0.7%
	568,174	MOL Hungarian Oil & Gas Plc		3,597,796
		India — 2.3%
	3,090,964	Oil & Natural Gas Corp Ltd		3,403,744
	786,286	Oil India Ltd		885,210
	5,919,804	Vedanta Ltd		7,208,946
		Total India		11,497,900
		Israel — 2.1%
	63,085	Equital Ltd *		1,357,085
	1,754,747	ICL Group Ltd		6,118,429
	25,244	Israel Corp Ltd (The) *		2,979,829
	94,114	Naphtha Israel Petroleum Corp Ltd *		371,718
		Total Israel		10,827,061
		Italy — 0.3%
	143,288	Eni SPA		1,303,138
		Japan — 3.2%
	93,200	Ebara Corp		2,255,268
	447,200	Inpex Corp		3,131,412
	40,000	Japan Petroleum Exploration Co Ltd		754,794
	251,000	Mitsubishi Materials Corp		5,726,041
	53,600	Nittetsu Mining Co Ltd		2,276,286
	75,300	Sumitomo Metal Mining Co Ltd		2,099,099
		Total Japan		16,242,900
		Mexico — 2.2%
	5,298,040	Grupo Mexico SAB de CV Series B		11,413,442
		Norway — 2.9%
	617,067	Austevoll Seafood ASA (a)		4,709,239
	23,824	BW Energy Ltd *		35,748
	303,468	BW Offshore Ltd *		1,007,331
	2,922,953	DNO ASA (a)		1,519,746
	314,100	Equinor ASA		4,580,720
	111,753	Grieg Seafood ASA		1,144,417
	115,170	TGS NOPEC Geophysical Co ASA		1,649,813
		Total Norway		14,647,014
		Pakistan — 0.8%
	2,391,500	Fauji Fertilizer Co Ltd		1,603,182
	2,436,700	Oil & Gas Development Co Ltd		1,727,871
	457,975	Pakistan Oilfields Ltd		895,711
		Total Pakistan		4,226,764

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Poland — 0.5%
	2,578,081	Polskie Gornictwo Naftowe i Gazownictwo SA		2,708,975
		Russia — 13.5%
	1,636,830	Gazprom Neft PJSC		7,809,138
	699,380	Gazprom PJSC		2,001,773
	208,292	LUKOIL PJSC Sponsored ADR		15,649,965
	479,544	MMC Norilsk Nickel PJSC ADR		15,171,620
	92,799	Novatek PJSC Sponsered GDR (Registered)		13,584,290
	451,405	PhosAgro PJSC GDR (Registered)		6,269,518
	575,419	Ros Agro Plc GDR (Registered)		5,376,894
	411,269	Rosneft Oil Co PJSC GDR (Registered)		2,162,314
	1,101,920	TMK PJSC		933,417
		Total Russia		68,958,929
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd *(b)		—
		South Africa — 0.7%
	136,592	African Rainbow Minerals Ltd		1,320,579
	1,164,089	Sibanye Stillwater Ltd *		2,137,722
		Total South Africa		3,458,301
		South Korea — 0.2%
	2,326	Young Poong Corp		960,249
		Spain — 1.5%
	812,910	Repsol SA		7,653,608
		Sweden — 0.9%
	121,065	Boliden AB		2,645,437
	56,067	Holmen AB – B Shares *		1,845,089
		Total Sweden		4,490,526
		Switzerland — 0.5%
	1,745	Gurit Holding AG		2,654,184
		Thailand — 2.1%
	1,490,264	PTT Exploration & Production Pcl (Foreign Registered)		3,954,215
	5,942,110	PTT Pcl (Foreign Registered)		6,649,487
		Total Thailand		10,603,702
		Turkey — 0.6%
	1,642,447	Koza Anadolu Metal Madencilik Isletmeleri AS *		2,899,211
		Ukraine — 0.5%
	267,341	Kernel Holding SA		2,759,070
		United Kingdom — 11.3%
	555,487	Anglo American Plc		11,759,122
	363,393	BHP Group Plc		7,146,426
	358,136	BP Plc		1,369,490

Shares		Description	Value ($)
		United Kingdom — continued
	611,496	Central Asia Metals Plc		1,171,931
	1,577,470	Diversified Gas & Oil Plc		2,026,963
	5,853,092	EnQuest Plc *(a)		865,209
	2,074,149	Ferrexpo Plc		4,518,404
	5,641,938	Glencore Plc *		10,655,096
	327,723	John Wood Group Plc		786,969
	434,721	KAZ Minerals Plc		2,569,317
	416,071	Petrofac Ltd		885,680
	2,494,580	Premier Oil Plc *(a)		834,876
	112,377	Rio Tinto Plc		6,094,696
	422,881	Royal Dutch Shell Plc – A Shares		6,693,373
		Total United Kingdom		57,377,552
		United States — 21.5%
	73,900	AGCO Corp.		4,081,497
	137,931	Albemarle Corp. (a)		10,554,480
	88,800	Baker Hughes Co.		1,466,088
	49,000	Bonanza Creek Energy, Inc. *		828,100
	367,000	Centennial Resource Development Inc/DE – Class A *(a)		370,670
	16,566	Chesapeake Energy Corp. *(a)		215,524
	273,300	CNX Resources Corp. *		2,784,927
	3,329,608	Denbury Resources, Inc. *(a)		709,206
	58,100	First Solar, Inc. *		2,708,622
	2,002,382	Freeport-McMoRan, Inc.		18,161,605
	65,500	FutureFuel Corp.		856,740
	444,124	GrafTech International Ltd.		3,037,808
	129,400	Halliburton Co.		1,520,450
	622,800	Laredo Petroleum, Inc. *		528,446
	540,500	Livent Corp. *		3,642,970
	316,300	Magnolia Oil & Gas Corp. – Class A *(a)		1,755,465
	1,486,907	Mosaic Co. (The)		17,976,706
	323,900	NexTier Oilfield Solutions, Inc. *		939,310
	176,600	Ovintiv, Inc. (a)		1,331,378
	214,000	ProPetro Holding Corp. *		1,059,300
	678,776	Renewable Energy Group, Inc. *		19,311,177
	109,200	Select Energy Services, Inc. – Class A *		648,648
	73,255	SolarEdge Technologies, Inc. *		10,394,884
	880,200	Southwestern Energy Co. *(a)		2,649,402
	77,900	Talos Energy, Inc. *		946,485
	435,000	W&T Offshore, Inc. *(a)		1,135,350
		Total United States		109,615,238
		TOTAL COMMON STOCKS (COST $476,041,449)		443,916,508
		PREFERRED STOCKS (c) — 9.5%
		Brazil — 4.9%
	3,523,199	Bradespar SA		23,273,198
	409,900	Petroleo Brasileiro SA		1,562,387
		Total Brazil		24,835,585

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Chile — 2.4%
	504,312	Sociedad Quimica y Minera de Chile SA Sponsored ADR		12,290,083
		Russia — 2.2%
	55,697	Bashneft PJSC		1,130,857
	5,091,084	Surgutneftegas PJSC		2,568,034
	1,010,078	Tatneft PJSC		7,368,816
		Total Russia		11,067,707
		TOTAL PREFERRED STOCKS (COST $45,446,089)		48,193,375
		DEBT OBLIGATIONS — 0.4%
		United States — 0.4%
	2,250,000	U.S. Treasury Note, 2.25%, due 03/31/21		2,288,408
		TOTAL DEBT OBLIGATIONS (COST $2,294,163)		2,288,408
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, Expires 04/16/23 *(b)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.6%
		Money Market Funds — 0.1%
	490,680	State Street Institutional Treasury Money Market Fund – Premier Class,0.12% (d)		490,680
		U.S. Government — 2.5%
	3,000,000	U.S. Cash Management Bill, 0.15%, due 09/15/20 (e)		2,998,719
	10,000,000	U.S. Treasury Bill, 0.17%, due 11/12/20 (e)		9,992,483
		Total U.S. Government		12,991,202
		TOTAL SHORT-TERM INVESTMENTS (COST $13,481,578)		13,481,882
		TOTAL INVESTMENTS — 99.7% (Cost $537,263,279)		507,880,173
		Other Assets and Liabilities (net) — 0.3%		1,418,098
		TOTAL NET ASSETS — 100.0%		$509,298,271

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) 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 May 31, 2020.

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

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)

May 31, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 89.0%
		U.S. Government — 89.0%
	8,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.17%, due 07/31/20		8,500,466
	6,000,000	U.S. Treasury Note, 1.13%, due 06/30/21 (a)		6,059,766
		Total U.S. Government		14,560,232
		TOTAL DEBT OBLIGATIONS (COST $14,528,318)		14,560,232
		SHORT-TERM INVESTMENTS — 9.9%
		Money Market Funds — 9.9%
	1,617,983	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (b)		1,617,983
		TOTAL SHORT-TERM INVESTMENTS (COST $1,617,983)		1,617,983
		TOTAL INVESTMENTS — 98.9% (Cost $16,146,301)		16,178,215
		Other Assets and Liabilities (net) — 1.1%		180,241
		TOTAL NET ASSETS — 100.0%		$16,358,456

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Written Options — Puts

Index Options

Description	Exercise Price	Expiration Date	Number of Contracts	Notional Amount				Value ($)
S&P/ASX 200 Index	5,475.00	06/18/20	92		AUD	(5,295,235	)		(32,894	)
S&P 500 Index	2,830.00	06/19/20	45		USD	(13,699,395	)		(81,000	)
	TOTAL WRITTEN INDEX OPTIONS — PUTS         (Premiums $575,887)							$	(113,894	)

As of May 31, 2020, 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 May 31, 2020.

The rates shown on variable rate notes are the current interest rates at May 31, 2020, 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:

AUD - Australian Dollar

USD - United States Dollar

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.6%
		Australia — 3.6%
	18,037	Accent Group Ltd		16,321
	512	Ampol Ltd		9,263
	14,302	Australian Pharmaceutical Industries Ltd		10,731
	5,789	Coca-Cola Amatil Ltd		33,854
	404	CSL Ltd		74,818
	113,481	Fortescue Metals Group Ltd		1,050,540
	2,986	IDP Education Ltd		34,011
	2,188	JB Hi-Fi Ltd		54,263
	4,911	Rio Tinto Ltd		306,737
		Total Australia		1,590,538
		Austria — 0.0%
	773	Vienna Insurance Group AG Wiener Versicherung Gruppe		16,302
		Belgium — 0.9%
	668	Ageas SA		22,802
	3,716	UCB SA		371,916
		Total Belgium		394,718
		Brazil — 1.4%
	62,400	Banco do Brasil SA		360,628
	63,800	JBS SA		262,670
	1,500	Mahle-Metal Leve SA		4,995
	3,600	Qualicorp Consultoria e Corretora de Seguros SA		16,002
		Total Brazil		644,295
		Canada — 0.1%
	600	GFL Environmental Inc		11,631
	500	iA Financial Corp Inc		15,968
	600	Teekay Tankers Ltd – Class A *		10,428
		Total Canada		38,027
		China — 2.1%
	10,000	Agile Group Holdings Ltd		10,378
	856,000	Bank of China Ltd – Class H		314,650
	47,000	China CITIC Bank Corp Ltd – Class H		20,539
	31,000	China Everbright Bank Co Ltd – Class H		12,624
	90,000	China Huarong Asset Management Co Ltd – Class H		9,258
	90,000	China Lesso Group Holdings Ltd		109,417
	24,000	China Medical System Holdings Ltd		27,522
	49,000	China Minsheng Banking Corp Ltd – Class H		34,212
	36,000	China National Building Material Co Ltd – Class H		40,842
	74,000	China SCE Group Holdings Ltd		30,805
	47,000	Chongqing Rural Commercial Bank Co Ltd – Class H		18,110
	10,000	Huabao International Holdings Ltd		3,502
	1,000	IGG Inc		609
	5,700	Qudian, Inc. Sponsored ADR*		8,550
	44,700	Shanghai Pharmaceuticals Holding Co Ltd – Class H		70,862

Shares		Description	Value ($)
		China — continued
	52,500	Shimao Property Holdings Ltd		220,177
		Total China		932,057
		Denmark — 0.1%
	2,720	Scandinavian Tobacco Group A/S		40,951
		France — 8.6%
	751	Alten SA		60,666
	54	Christian Dior SE		22,975
	2,162	Dassault Systemes SE		369,122
	1,225	Eiffage SA *		111,824
	286	Faurecia SE		11,089
	427	Gaztransport Et Technigaz SA		32,051
	48	Hermes International		40,113
	705	Kaufman & Broad SA		25,026
	4,334	L’Oreal SA		1,271,212
	795	Legrand SA		54,471
	555	Nexans SA *		22,745
	20,939	Peugeot SA *		300,588
	1,207	Quadient		17,509
	13,907	Sanofi		1,360,310
	1,567	Schneider Electric SE		155,153
	743	Valeo SA		18,366
		Total France		3,873,220
		Germany — 4.8%
	280	adidas AG *		74,258
	276	AIXTRON SE *		2,935
	3,018	Allianz SE (Registered)		546,971
	734	BASF SE		39,950
	3,400	Bayer AG (Registered)		232,423
	363	Bayerische Motoren Werke AG		21,274
	743	Bechtle AG		131,969
	317	CANCOM SE		20,049
	884	Carl Zeiss Meditec AG *		90,461
	5,627	CECONOMY AG *		16,696
	5,872	Deutsche Pfandbriefbank AG *		40,618
	7,167	Dialog Semiconductor Plc *		286,601
	160	Eckert & Ziegler Strahlen- und Medizintechnik AG		25,320
	356	Elmos Semiconductor AG		7,983
	836	Hannover Rueck SE		135,012
	1,277	HeidelbergCement AG *		63,877
	951	Henkel AG & Co KGaA		76,481
	844	Merck KGaA		97,292
	804	SAP SE		102,608
	446	Siemens Healthineers AG		23,157
	456	Siltronic AG		45,044
	549	Volkswagen AG		87,348
		Total Germany		2,168,327

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — 1.3%
	1,500	ASM Pacific Technology Ltd		13,762
	11,200	Dah Sing Banking Group Ltd		9,959
	16,000	HKT Trust & HKT Ltd – Class SS		22,762
	6,000	Johnson Electric Holdings Ltd		10,322
	1,100	VTech Holdings Ltd		6,661
	485,000	WH Group Ltd		421,923
	17,000	Wheelock & Co Ltd		115,401
		Total Hong Kong		600,790
		Hungary — 0.1%
	3,883	Magyar Telekom Telecommunications Plc		4,882
	2,515	Richter Gedeon Nyrt		54,966
		Total Hungary		59,848
		India — 0.2%
	27,323	Power Finance Corp Ltd		27,084
	2,716	Rajesh Exports Ltd		17,440
	51,151	REC Ltd		60,202
		Total India		104,726
		Ireland — 1.5%
	6,765	CRH Plc		220,561
	5,360	CRH Plc Sponsored ADR		172,378
	432	Kerry Group Plc – Class A		53,525
	6,190	Smurfit Kappa Group Plc		202,138
		Total Ireland		648,602
		Italy — 4.0%
	3,466	Arnoldo Mondadori Editore SPA *		4,068
	7,458	Banca Mediolanum SPA		49,860
	151,670	Enel SPA		1,172,670
	9,278	EXOR NV		500,532
	6,311	Hera SPA		24,170
	455	Recordati SPA		20,721
		Total Italy		1,772,021
		Japan — 22.3%
	300	Alps Alpine Co Ltd		3,636
	7,400	Asahi Kasei Corp		58,814
	55,400	Astellas Pharma Inc		989,883
	4,500	Bandai Namco Holdings Inc		250,185
	9,300	Brother Industries Ltd		175,992
	1,300	Casio Computer Co Ltd		22,959
	1,300	Chugai Pharmaceutical Co Ltd		192,104
	600	Daiwabo Holdings Co Ltd		40,361
	600	Dip Corp		14,122
	700	Fuji Corp		12,991
	7,400	FUJIFILM Holdings Corp		339,412
	1,800	Fujitsu General Ltd		35,220
	6,900	Fujitsu Ltd		711,031
	500	Fujiya Co Ltd		10,085

Shares		Description	Value ($)
		Japan — continued
	1,000	Furuno Electric Co Ltd		8,397
	13,300	Haseko Corp		162,471
	14,400	Hitachi Ltd		465,108
	3,500	Honda Motor Co Ltd		91,135
	2,200	Hoya Corp		207,006
	29,300	ITOCHU Corp		630,081
	2,600	Itochu Techno-Solutions Corp		87,998
	2,500	Kajima Corp		28,387
	400	Kamei Corp		4,000
	34,600	KDDI Corp		1,009,946
	700	Matsumotokiyoshi Holdings Co Ltd		26,225
	39,800	Mitsubishi Chemical Holdings Corp		234,437
	4,900	NEC Corp		220,315
	1,000	Nichias Corp		23,103
	400	Nihon Unisys Ltd		12,392
	43,900	Nippon Telegraph & Telephone Corp		999,216
	100	Nissin Foods Holdings Co Ltd		8,382
	1,200	Nomura Real Estate Holdings Inc		22,150
	800	NS Solutions Corp		22,034
	11,300	NTT DOCOMO Inc		310,565
	11,200	Obayashi Corp		103,855
	300	Obic Co Ltd		52,122
	500	Otsuka Corp		24,213
	3,500	Recruit Holdings Co Ltd		120,564
	700	Renesas Electronics Corp *		3,641
	700	SCSK Corp		34,383
	1,600	Sekisui Chemical Co Ltd		22,427
	4,700	Sekisui House Ltd		89,719
	6,700	Shimizu Corp		56,714
	3,000	Shionogi & Co Ltd		177,903
	1,100	Showa Corp		23,005
	39,700	Sojitz Corp		92,498
	6,900	Sony Corp		446,884
	13,200	Sumitomo Chemical Co Ltd		41,020
	3,700	Teijin Ltd		60,641
	4,500	Tokyo Electron Ltd		905,549
	900	Tokyo Tatemono Co Ltd		11,613
	14,400	Tosoh Corp		200,806
	1,400	Toyota Tsusho Corp		35,620
	200	Tsuruha Holdings Inc		29,612
	2,000	Ushio Inc		23,813
		Total Japan		9,986,745
		Malta — 0.0%
	1,718,063	BGP Holdings Plc *(a)		—
		Mexico — 0.0%
	6,300	ALEATICA SAB de CV		5,213
		Netherlands — 7.1%
	715	Aalberts NV		19,629
	1,000	ASM International NV		116,640
	2,749	ASR Nederland NV		75,574

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	2,002	Heineken Holding NV		164,621
	28,334	Koninklijke Ahold Delhaize NV		718,378
	10,670	Koninklijke Philips NV *		485,090
	1,079	Koninklijke Vopak NV		59,089
	18,954	Pharming Group NV *		28,117
	5,681	Randstad NV		239,017
	12,405	Signify NV *		267,122
	2,754	TomTom NV *		23,432
	12,444	Wolters Kluwer NV		993,159
		Total Netherlands		3,189,868
		Norway — 0.6%
	3,525	BW LPG Ltd		11,775
	568	Gjensidige Forsikring ASA *		10,355
	1,958	Grieg Seafood ASA		20,051
	21,461	Orkla ASA		192,757
	35	Salmar ASA		1,578
	2,884	SpareBank 1 Nord Norge		18,976
	2,652	SpareBank 1 SR-Bank ASA		19,741
		Total Norway		275,233
		Philippines — 0.0%
	305	Globe Telecom Inc		13,823
		Poland — 0.1%
	807	Asseco Poland SA		14,718
	2,613	Polski Koncern Naftowy ORLEN SA		43,602
		Total Poland		58,320
		Portugal — 3.0%
	2,763	EDP Renovaveis SA		36,535
	164,970	EDP – Energias de Portugal SA		770,671
	14,826	Galp Energia SGPS SA		176,403
	18,366	Jeronimo Martins SGPS SA		313,171
	9,332	NOS SGPS SA		38,208
		Total Portugal		1,334,988
		Russia — 1.0%
	705,000	Inter RAO UES PJSC		49,917
	1,289	LUKOIL PJSC		96,955
	2,971	LUKOIL PJSC Sponsored ADR		223,225
	130,800	Surgutneftegas PJSC		74,231
		Total Russia		444,328
		Singapore — 2.5%
	13,700	AEM Holdings Ltd		29,861
	5,600	City Developments Ltd		30,635
	39,700	DBS Group Holdings Ltd		549,229
	700	Jardine Cycle & Carriage Ltd		10,868
	17,500	Mapletree Industrial Trust (REIT)		33,832
	30,400	Mapletree Logistics Trust (REIT)		44,277
	3,700	Oversea-Chinese Banking Corp Ltd		22,465

Shares		Description	Value ($)
		Singapore — continued
	33,000	Singapore Exchange Ltd		193,879
	1,400	United Overseas Bank Ltd		19,391
	11,700	Venture Corp Ltd		127,145
	18,100	Wilmar International Ltd		51,134
	26,400	Yanlord Land Group Ltd		20,627
		Total Singapore		1,133,343
		South Africa — 0.2%
	15,246	Absa Group Ltd		70,895
	11,423	Netcare Ltd		9,241
	2,040	Reunert Ltd		5,048
		Total South Africa		85,184
		South Korea — 2.2%
	195	DongKook Pharmaceutical Co Ltd		15,205
	2,339	Feelux Co Ltd *		9,324
	13,675	Hana Financial Group Inc		330,411
	149	Hyundai Home Shopping Network Corp		8,081
	4,436	Industrial Bank of Korea		29,795
	2,186	KB Financial Group Inc		59,658
	13,428	Kia Motors Corp		373,386
	554	KT&G Corp		37,599
	293	Sebang Global Battery Co Ltd		6,804
	4,407	Shinhan Financial Group Co Ltd		107,715
	8	Taekwang Industrial Co Ltd		4,796
		Total South Korea		982,774
		Spain — 6.1%
	5,722	Aena SME SA *		816,626
	2,208	Almirall SA		28,955
	597	Amadeus IT Group SA		31,218
	699	Cia de Distribucion Integral Logista Holdings SA		12,932
	26,460	Endesa SA		632,032
	503	Grifols SA		15,697
	68,580	Iberdrola SA		742,548
	13,976	Industria de Diseno Textil SA		389,280
	1,950	Mediaset Espana Comunicacion SA		6,964
	574	Viscofan SA		37,704
		Total Spain		2,713,956
		Sweden — 2.8%
	779	Atrium Ljungberg AB – B Shares		11,777
	3,002	Axfood AB		67,322
	481	Bufab AB *		4,369
	3,148	Essity AB – Class B *		104,264
	1,400	Lindab International AB		14,276
	911	Mycronic AB		16,120
	1,530	Skanska AB – B Shares *		30,757
	8,790	Swedish Match AB		613,481
	2,991	Volvo AB – A Shares		42,576

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	23,529	Volvo AB – B Shares		335,744
		Total Sweden		1,240,686
		Switzerland — 6.7%
	255	ALSO Holding AG (Registered) *		59,877
	745	Galenica AG		55,190
	173	Huber + Suhner AG (Registered)		11,936
	3,433	Nestle SA (Registered)		372,745
	6,871	Novartis AG (Registered)		598,161
	350	Roche Holding AG		122,691
	5,008	Roche Holding AG – Genusschein		1,738,384
	350	Vetropack Holding AG (Registered) *		21,912
		Total Switzerland		2,980,896
		Taiwan — 0.8%
	2,000	Asustek Computer Inc		14,042
	3,900	Feng TAY Enterprise Co Ltd		23,585
	10,000	Hon Hai Precision Industry Co Ltd		25,299
	62,000	Inventec Corp		50,420
	104,000	Pou Chen Corp		102,561
	35,000	Radiant Opto-Electronics Corp		120,496
	7,000	Ruentex Industries Ltd		15,249
	11,000	Sunplus Technology Co Ltd *		4,095
	4,595	TOPBI International Holdings Ltd		8,863
		Total Taiwan		364,610
		Thailand — 0.0%
	52,700	AP Thailand Pcl NVDR		9,221
		Turkey — 1.2%
	69,058	Akbank TAS *		57,797
	63,814	Eregli Demir ve Celik Fabrikalari TAS		75,246
	29,132	Haci Omer Sabanci Holding AS		35,421
	3,563	Soda Sanayii AS		2,947
	15,736	TAV Havalimanlari Holding AS		46,969
	197,034	Turkiye Garanti Bankasi AS *		225,961
	92,462	Turkiye Is Bankasi – Class C *		67,334
	64,468	Turkiye Vakiflar Bankasi TAO – Class D *		44,089
		Total Turkey		555,764
		United Kingdom — 12.3%
	47,706	3i Group Plc		488,197
	48,739	BAE Systems Plc		300,808
	52,176	Barratt Developments Plc		322,740
	3,162	Bellway Plc		100,937
	4,909	Berkeley Group Holdings Plc (The)		250,073
	6,808	British American Tobacco Plc		270,008
	7,700	British American Tobacco Plc Sponsored ADR		308,616
	5,313	Coca-Cola HBC AG		134,539
	1,582	Computacenter Plc		31,513
	9,200	ConvaTec Group Plc		23,173
	227	Cranswick Plc		10,367

Shares		Description	Value ($)
		United Kingdom — continued
	12,000	Diageo Plc		418,678
	500	Diageo Plc Sponsored ADR		70,305
	4,640	Dunelm Group Plc		61,352
	10,293	Electrocomponents Plc		81,286
	2,136	Ferguson Plc		168,462
	17,524	Ferrexpo Plc		38,175
	8,243	GlaxoSmithKline Plc		170,735
	5,100	GlaxoSmithKline Plc Sponsored ADR		213,792
	5,217	Howden Joinery Group Plc		38,267
	3,580	IG Group Holdings Plc		33,854
	3,780	Imperial Brands Plc		68,948
	12,408	Inchcape Plc		77,143
	3,734	Intermediate Capital Group Plc		58,720
	35,437	International Consolidated Airlines Group SA		100,722
	3,923	International Personal Finance Plc		2,066
	16,768	JD Sports Fashion Plc		137,471
	6,108	John Laing Group Plc		26,824
	139,180	Legal & General Group Plc		343,626
	3,284	Morgan Advanced Materials Plc		8,678
	1,218	Morgan Sindall Group Plc		18,466
	4,354	National Express Group Plc		11,744
	2,972	Next Plc		179,735
	14,107	Persimmon Plc		402,387
	3,203	Pets at Home Group Plc		9,116
	1,345	Phoenix Group Holdings Plc		10,340
	4,747	Plus500 Ltd		77,502
	14,587	QinetiQ Group Plc		53,542
	1,799	Sage Group Plc (The)		15,427
	2,200	Smith & Nephew Plc Sponsored ADR		89,782
	1,512	Softcat Plc		21,534
	3,754	Spirent Communications Plc		11,658
	32,111	Tate & Lyle Plc		267,853
	5,280	Taylor Wimpey Plc		9,458
		Total United Kingdom		5,538,619
		TOTAL COMMON STOCKS (COST $38,813,285)		43,797,993
		PREFERRED STOCKS (b) — 0.7%
		Brazil — 0.1%
	2,000	Cia Paranaense de Energia – Class B		23,724
		Germany — 0.5%
	458	Bayerische Motoren Werke AG		21,148
	111	Draegerwerk AG & Co KGaA		8,816
	2,338	Henkel AG & Co KGaA		209,098
		Total Germany		239,062
		Russia — 0.1%
	54,900	Surgutneftegas PJSC		27,693
		TOTAL PREFERRED STOCKS (COST $271,482)		290,479

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.8%
		United States — 0.8%
		Affiliated Issuers — 0.8%
	73,445	GMO U.S. Treasury Fund		370,165
		TOTAL MUTUAL FUNDS (COST $367,797)		370,165

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.8%
	380,201	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (c)		380,201
		TOTAL SHORT-TERM INVESTMENTS (COST $380,201)		380,201
		TOTAL INVESTMENTS — 99.9% (Cost $39,832,765)		44,838,838
		Other Assets and Liabilities (net) — 0.1%		41,782
		TOTAL NET ASSETS — 100.0%		$44,880,620

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 4	Mini MSCI EAFE	June 2020	$	345,120	$	18,853

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2020, 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) 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 May 31, 2020.

Portfolio Abbreviations:

ADR - American 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)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.4%
		Automobiles & Components — 1.1%
	21,000	Aptiv Plc		1,582,350
	29,000	BorgWarner, Inc.		932,350
	11,500	Dana, Inc.		145,360
	35,300	Gentex Corp.		933,332
	4,700	Standard Motor Products, Inc.		199,985
	6,500	Stoneridge, Inc. *		133,770
	2,400	Visteon Corp. *		172,800
		Total Automobiles & Components		4,099,947
		Banks — 2.0%
	3,300	1st Source Corp.		114,147
	3,519	American National Bankshares, Inc.		87,482
	3,744	CNB Financial Corp.		66,344
	2,700	Community Trust Bancorp, Inc.		88,668
	27,200	Essent Group Ltd.		898,960
	2,723	First Bancorp, Inc.		56,121
	5,700	First Defiance Financial Corp.		94,677
	2,500	First Financial Corp.		87,750
	50,300	Investors Bancorp, Inc.		436,604
	21,800	JPMorgan Chase & Co.		2,121,358
	3,300	Lakeland Financial Corp.		140,877
	80,500	MGIC Investment Corp.		660,905
	2,400	Park National Corp.		179,688
	8,800	PennyMac Financial Services, Inc.		295,504
	54,000	Radian Group, Inc.		857,520
	4,084	Territorial Bancorp, Inc.		103,856
	7,200	Towne Bank/Portsmouth VA		135,792
	16,600	US Bancorp		590,296
	8,600	Walker & Dunlop, Inc.		348,300
		Total Banks		7,364,849
		Capital Goods — 9.1%
	9,600	AGCO Corp.		530,208
	2,100	Allied Motion Technologies, Inc.		75,999
	10,600	Allison Transmission Holdings, Inc.		399,832
	12,100	Atkore International Group, Inc. *		324,764
	12,100	BMC Stock Holdings, Inc. *		316,657
	31,400	Builders FirstSource, Inc. *		653,434
	6,300	Crane Co.		351,036
	13,526	Cummins, Inc.		2,294,010
	7,900	Curtiss-Wright Corp.		792,370
	3,100	Douglas Dynamics, Inc.		113,274
	3,300	Dover Corp.		320,925
	27,200	Eaton Corp Plc		2,309,280
	6,600	EMCOR Group, Inc.		419,430
	28,200	Emerson Electric Co.		1,720,764
	2,700	Encore Wire Corp.		130,383
	15,194	Federal Signal Corp.		442,753
	4,600	Generac Holdings, Inc. *		511,842
	9,500	General Dynamics Corp.		1,394,885
	3,300	Gorman-Rupp Co. (The)		101,178

Shares		Description	Value ($)
		Capital Goods — continued
	9,200	L3Harris Technologies, Inc.		1,834,940
	10,400	Lockheed Martin Corp.		4,039,776
	8,700	Masco Corp.		405,855
	3,200	Miller Industries, Inc.		94,816
	6,396	Moog, Inc. – Class A		347,239
	12,800	Mueller Industries, Inc.		342,784
	8,600	Northrop Grumman Corp.		2,882,720
	10,331	Oshkosh Corp.		741,972
	28,300	PACCAR, Inc.		2,090,238
	5,600	Parker-Hannifin Corp.		1,007,832
	4,200	Raytheon Technologies Corp.		270,984
	5,900	Stanley Black & Decker, Inc.		740,155
	4,500	Systemax, Inc.		94,455
	6,923	Teledyne Technologies, Inc. *		2,590,033
	2,900	Tennant Co.		185,426
	27,991	Textron, Inc.		866,881
	8,579	Timken Co. (The)		364,951
	17,896	UFP Industries, Inc.		818,384
	3,300	Vectrus, Inc. *		181,236
		Total Capital Goods		33,103,701
		Commercial & Professional Services — 1.2%
	14,599	ACCO Brands Corp.		90,368
	1,900	Barrett Business Services, Inc.		96,330
	16,509	Brady Corp. – Class A		844,105
	13,500	CBIZ, Inc. *		305,775
	3,200	Cimpress Plc *		288,416
	2,500	CRA International, Inc.		100,975
	12,500	Deluxe Corp.		291,625
	6,900	Ennis, Inc.		122,820
	4,446	FTI Consulting, Inc. *		535,565
	19,004	Herman Miller, Inc.		437,472
	10,700	HNI Corp.		272,529
	15,800	Interface, Inc.		134,142
	4,700	Kforce, Inc.		141,940
	11,600	Kimball International, Inc. – Class B		129,804
	9,204	Knoll, Inc.		97,194
	2,500	SP Plus Corp. *		50,925
	24,100	Steelcase, Inc. – Class A		279,078
		Total Commercial & Professional Services		4,219,063
		Consumer Durables & Apparel — 5.0%
	11,845	Acushnet Holdings Corp.		395,860
	11,099	Callaway Golf Co.		170,037
	4,500	Deckers Outdoor Corp. *		821,385
	31,900	DR Horton, Inc.		1,764,070
	32,587	Garmin Ltd.		2,938,370
	56,100	Hanesbrands, Inc.		553,146
	3,600	Helen of Troy Ltd. *		654,912
	1,800	Johnson Outdoors, Inc. – Class A		139,698
	1,100	KB Home		36,388
	12,600	La-Z-Boy, Inc.		324,072
	9,100	MDC Holdings, Inc.		309,309

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	59,100	NIKE, Inc. – Class B		5,826,078
	330	NVR, Inc. *		1,063,131
	26,600	PulteGroup, Inc.		903,602
	5,900	Ralph Lauren Corp.		445,509
	26,400	Skechers U.S.A., Inc. – Class A *		826,848
	9,500	Steven Madden Ltd.		223,440
	5,900	Tempur Sealy International, Inc. *		384,857
	22,600	TRI Pointe Group, Inc. *		323,632
	3,100	Universal Electronics, Inc. *		140,244
		Total Consumer Durables & Apparel		18,244,588
		Consumer Services — 0.6%
	15,684	Bloomin’ Brands, Inc.		178,954
	7,600	Brinker International, Inc.		200,260
	1,048	Graham Holdings Co. – Class B		375,425
	37,100	H&R Block, Inc.		630,700
	20,600	Perdoceo Education Corp. *		335,368
	10,900	Wyndham Destinations Corp.		346,620
		Total Consumer Services		2,067,327
		Diversified Financials — 2.1%
	6,700	American Express Co.		636,969
	12,614	Ameriprise Financial, Inc.		1,766,843
	12,000	Artisan Partners Asset Management, Inc. – Class A		347,640
	12,200	Eaton Vance Corp.		439,810
	11,130	Enova International, Inc. *		157,490
	26,900	Federated Investors, Inc. – Class B		595,566
	11,200	LPL Financial Holdings, Inc.		799,568
	8,300	Raymond James Financial, Inc.		575,024
	4,000	S&P Global, Inc.		1,300,080
	20,300	SEI Investments Co.		1,100,666
		Total Diversified Financials		7,719,656
		Energy — 0.9%
	31,604	Phillips 66		2,473,329
	25,400	World Fuel Services Corp.		647,192
		Total Energy		3,120,521
		Food & Staples Retailing — 0.5%
	48,700	Kroger Co. (The)		1,588,594
	10,500	US Foods Holding Corp. *		200,970
		Total Food & Staples Retailing		1,789,564
		Food, Beverage & Tobacco — 5.6%
	41,700	General Mills, Inc.		2,628,768
	18,100	Hershey Co. (The)		2,455,808
	72,500	Mondelez International, Inc. – Class A		3,778,700
	70,100	PepsiCo, Inc.		9,221,655
	35,900	Tyson Foods, Inc.– Class A		2,205,696
	5,400	Universal Corp.		237,924
		Total Food, Beverage & Tobacco		20,528,551

Shares		Description	Value ($)
		Health Care Equipment & Services — 6.5%
	14,500	AmerisourceBergen Corp.		1,382,430
	25,300	Baxter International, Inc.		2,277,253
	14,700	Boston Scientific Corp. *		558,453
	16,700	Cerner Corp.		1,217,430
	1,600	Chemed Corp.		765,616
	11,100	HCA Healthcare, Inc.		1,186,590
	20,900	Hologic, Inc. *		1,107,700
	4,600	Masimo Corp. *		1,104,874
	10,078	McKesson Corp.		1,599,076
	89,500	Medtronic Plc		8,822,910
	9,100	STERIS Plc		1,509,599
	9,500	West Pharmaceutical Services, Inc.		2,052,380
		Total Health Care Equipment & Services		23,584,311
		Household & Personal Products — 3.6%
	61,300	Colgate-Palmolive Co.		4,433,829
	11,247	Estee Lauder Cos, Inc. (The) – Class A		2,220,945
	3,764	Inter Parfums, Inc.		174,687
	43,000	Kimberly-Clark Corp.		6,081,920
		Total Household & Personal Products		12,911,381
		Insurance — 3.5%
	31,702	Allstate Corp. (The)		3,100,773
	16,700	Arch Capital Group Ltd. *		471,274
	5,000	Employers Holdings, Inc.		149,450
	39,400	Fidelity National Financial, Inc.		1,256,860
	29,804	First American Financial Corp.		1,504,804
	4,800	Hanover Insurance Group, Inc. (The)		481,680
	34,580	Old Republic International Corp.		539,102
	56,507	Progressive Corp. (The)		4,389,464
	13,100	W.R. Berkley Corp.		759,145
		Total Insurance		12,652,552
		Materials — 1.9%
	2,300	Air Products and Chemicals, Inc.		555,795
	5,900	Avery Dennison Corp.		652,953
	6,200	Innospec, Inc.		477,958
	22,779	LyondellBasell Industries NV – Class A		1,452,389
	1,600	NewMarket Corp.		697,808
	16,400	PolyOne Corp.		406,392
	13,900	Reliance Steel & Aluminum Co.		1,348,300
	9,700	Schweitzer-Mauduit International, Inc.		294,783
	2,000	Stepan Co.		194,320
	37,600	Valvoline, Inc.		689,960
		Total Materials		6,770,658
		Media & Entertainment — 5.8%
	63,900	Activision Blizzard, Inc.		4,599,522
	1,700	Alphabet, Inc. – Class C *		2,429,164
	87,800	Comcast Corp. – Class A		3,476,880
	34,200	DHI Group, Inc. *		91,314
	60,900	Electronic Arts, Inc. *		7,483,392

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Media & Entertainment — continued
	31,800	Interpublic Group of Cos., Inc. (The)		544,098
	19,489	Omnicom Group, Inc.		1,067,803
	35,685	TEGNA, Inc.		418,228
	97,600	Zynga Inc-Class A *		893,040
		Total Media & Entertainment		21,003,441
		Pharmaceuticals, Biotechnology & Life Sciences — 11.3%
	33,800	Amgen, Inc.		7,763,860
	14,000	Biogen, Inc. *		4,299,260
	63,800	Bristol-Myers Squibb Co.		3,810,136
	53,300	Eli Lilly & Co.		8,152,235
	58,200	Gilead Sciences, Inc.		4,529,706
	82,431	Merck & Co., Inc.		6,653,831
	150,238	Pfizer, Inc.		5,737,589
		Total Pharmaceuticals, Biotechnology & Life Sciences		40,946,617
		Real Estate — 0.3%
	16,449	CBRE Group, Inc. – Class A *		723,427
	5,188	Jones Lang LaSalle, Inc.		531,251
		Total Real Estate		1,254,678
		Retailing — 8.1%
	2,000	Amazon.com, Inc. *		4,884,740
	4,000	Asbury Automotive Group, Inc. *		289,120
	15,400	AutoNation, Inc.*		607,992
	49,140	Best Buy Co., Inc.		3,837,342
	11,000	Core-Mark Holding Co., Inc.		307,780
	35,800	Designer Brands, Inc. – Class A		219,454
	15,000	Dick’s Sporting Goods, Inc.		540,900
	10,800	Dollar General Corp.		2,068,308
	116,355	eBay, Inc.		5,298,807
	6,689	Group 1 Automotive, Inc.		421,006
	2,700	Lithia Motors, Inc. – Class A		325,593
	23,000	Lowe’s Cos., Inc.		2,998,050
	5,800	Murphy U.S.A, Inc. *		673,380
	14,900	Sally Beauty Holdings, Inc. *		194,296
	6,400	Sonic Automotive, Inc. – Class A		168,192
	35,500	Target Corp.		4,342,715
	29,800	TJX Cos., Inc. (The)		1,572,248
	9,400	Williams-Sonoma, Inc.		782,174
		Total Retailing		29,532,097
		Semiconductors & Semiconductor Equipment — 8.2%
	30,700	Amkor Technology, Inc. *		324,806
	115,500	Applied Materials, Inc.		6,488,790
	6,400	Cirrus Logic, Inc. *		463,872
	14,000	Entegris, Inc.		838,320
	172,300	Intel Corp.		10,842,839
	10,700	KLA Corp.		1,882,772
	14,600	Lam Research Corp.		3,995,582
	10,800	Maxim Integrated Products, Inc.		622,944
	37,800	Micron Technology, Inc. *		1,810,998

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — continued
	2,300	NVIDIA Corp.		816,546
	1,100	Qorvo, Inc. *		115,214
	3,100	Skyworks Solutions, Inc.		367,474
	15,700	Teradyne, Inc.		1,052,214
		Total Semiconductors & Semiconductor Equipment		29,622,371
		Software & Services — 11.6%
	17,420	Amdocs Ltd.		1,084,569
	14,400	Booz Allen Hamilton Holding Corp.		1,148,544
	4,000	CACI International, Inc. – Class A *		1,003,120
	55,905	Cadence Design Systems, Inc. *		5,103,568
	15,427	Citrix Systems, Inc.		2,285,047
	9,100	Fortinet, Inc. *		1,266,720
	15,695	Intuit, Inc.		4,556,573
	3,900	j2 Global, Inc.		305,370
	4,800	MAXIMUS, Inc.		345,696
	53,853	Microsoft Corp.		9,868,562
	81,400	NortonLifeLock, Inc.		1,854,292
	140,900	Oracle Corp.		7,576,193
	11,748	Progress Software Corp.		474,619
	10,310	Sykes Enterprises, Inc. *		281,051
	27,919	Synopsys, Inc. *		5,050,826
		Total Software & Services		42,204,750
		Technology Hardware & Equipment — 8.7%
	3,800	Amphenol Corp. – Class A		366,928
	27,755	Apple, Inc.		8,824,425
	11,533	Arrow Electronics, Inc. *		796,700
	9,000	Avnet, Inc.		245,160
	11,800	CDW Corp.		1,308,738
	17,000	Ciena Corp. *		939,420
	34,200	Flex Ltd. *		332,082
	125,914	Hewlett Packard Enterprise Co.		1,222,625
	195,940	HP, Inc.		2,966,531
	8,320	Insight Enterprises, Inc. *		426,483
	2,500	Itron, Inc. *		161,050
	23,900	Jabil, Inc.		715,088
	72,800	Juniper Networks, Inc.		1,766,128
	4,200	Methode Electronics, Inc.		131,670
	19,607	Motorola Solutions, Inc.		2,653,415
	15,700	National Instruments Corp.		607,904
	28,800	NetApp, Inc.		1,282,752
	16,200	Sanmina Corp. *		431,082
	39,100	Seagate Technology Plc		2,073,864
	5,900	SYNNEX Corp.		629,235
	37,300	TE Connectivity Ltd.		3,030,625
	32,700	Xerox Holdings Corp. *		519,276
		Total Technology Hardware & Equipment		31,431,181
		Telecommunication Services — 1.6%
	103,500	Verizon Communications, Inc.		5,938,830

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Utilities — 0.2%
	7,900	DTE Energy Co.		849,803
		TOTAL COMMON STOCKS (COST $336,413,052)		360,960,437
		MUTUAL FUNDS — 0.3%
		Affiliated Issuers — 0.3%
	200,456	GMO U.S. Treasury Fund		1,010,296
		TOTAL MUTUAL FUNDS (COST $1,010,296)		1,010,296

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	86,530	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (a)		86,530
		TOTAL SHORT-TERM INVESTMENTS (COST $86,530)		86,530
		TOTAL INVESTMENTS — 99.7% (Cost $337,509,878)		362,057,263
		Other Assets and Liabilities (net) — 0.3%		1,018,354
		TOTAL NET ASSETS — 100.0%		$363,075,617

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1	S&P 500 E-Mini	June 2020	$	152,100	$	4,773

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2020, 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 May 31, 2020.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.4%
		Automobiles & Components — 1.7%
	38,600	Cooper Tire & Rubber Co.		993,178
	176,900	Dana, Inc.		2,236,016
	22,100	Garrett Motion, Inc. *		114,257
	9,600	Gentherm, Inc. *		390,720
	18,800	Modine Manufacturing Co. *		100,580
	31,200	Standard Motor Products, Inc.		1,327,560
	91,500	Stoneridge, Inc. *		1,883,070
	17,100	Tenneco, Inc. – Class A *		115,596
		Total Automobiles & Components		7,160,977
		Banks — 11.2%
	6,400	1st Source Corp.		221,376
	24,500	Amalgamated Bank – Class A		275,135
	41,800	Bancorp, Inc. (The) *		367,840
	42,200	Boston Private Financial Holdings, Inc.		289,914
	57,800	Brookline Bancorp, Inc.		537,540
	2,900	Century Bancorp, Inc. – Class A		218,660
	5,800	Civista Bancshares, Inc.		88,392
	1,200	CNB Financial Corp.		21,264
	5,195	Community Trust Bancorp, Inc.		170,604
	81,800	Dime Community Bancshares, Inc.		1,180,374
	101,900	Essent Group Ltd.		3,367,795
	16,400	Financial Institutions, Inc.		290,116
	8,576	First Community Bankshares, Inc.		183,269
	67,244	First Defiance Financial Corp.		1,116,923
	7,400	First Financial Corp.		259,740
	190,500	Flagstar Bancorp, Inc.		5,581,650
	9,800	Flushing Financial Corp.		111,132
	14,870	Fulton Financial Corp.		166,693
	8,800	Great Southern Bancorp, Inc.		356,928
	238,100	Hilltop Holdings, Inc.		4,450,089
	88,400	International Bancshares Corp.		2,720,952
	282,900	Investors Bancorp, Inc.		2,455,572
	1,700	LCNB Corp.		25,279
	7,000	Mercantile Bank Corp.		160,580
	5,400	Merchants Bancorp		92,232
	4,500	Northrim BanCorp, Inc.		103,815
	148,900	Northwest Bancshares, Inc.		1,483,044
	160,000	OFG Bancorp		1,944,000
	190,400	PennyMac Financial Services, Inc.		6,393,632
	1,800	Premier Financial Bancorp, Inc.		23,868
	304,800	Radian Group, Inc.		4,840,224
	5,700	Sierra Bancorp		107,388
	3,000	Territorial Bancorp, Inc.		76,290
	31,800	TriCo Bancshares		902,166
	107,800	Walker & Dunlop, Inc.		4,365,900
	58,803	Waterstone Financial, Inc.		876,164
		Total Banks		45,826,540

Shares		Description	Value ($)
		Capital Goods — 11.6%
	13,400	AAR Corp.		270,278
	5,600	AGCO Corp.		309,288
	8,900	Allied Motion Technologies, Inc.		322,091
	39,000	Arcosa, Inc.		1,488,630
	31,100	AZZ, Inc.		984,626
	303,300	Builders FirstSource, Inc. *		6,311,673
	3,800	Comfort Systems USA, Inc.		140,600
	3,000	CSW Industrials, Inc.		214,680
	25,900	Ducommun, Inc. *		833,980
	6,800	Encore Wire Corp.		328,372
	16,100	EnPro Industries, Inc.		725,788
	234,200	Federal Signal Corp.		6,824,588
	24,300	Gibraltar Industries, Inc. *		1,069,443
	27,225	Gorman-Rupp Co. (The)		834,719
	107,900	Griffon Corp.		1,812,720
	5,400	Hurco Cos, Inc.		168,804
	34,200	Hyster-Yale Materials Handling, Inc.		1,252,062
	115,700	Meritor, Inc. *		2,357,966
	9,400	Miller Industries, Inc.		278,522
	90,900	Moog, Inc. – Class A		4,934,961
	69,500	Mueller Industries, Inc.		1,861,210
	6,100	National Presto Industries, Inc.		548,939
	14,100	Park-Ohio Holdings Corp.		205,719
	3,100	Preformed Line Products Co.		153,853
	33,900	Resideo Technologies, Inc. *		239,334
	51,643	SPX Corp. *		2,064,687
	22,000	Systemax, Inc.		461,780
	13,800	Tennant Co.		882,372
	25,300	Terex Corp.		397,716
	300	Timken Co. (The)		12,762
	125,100	UFP Industries, Inc.		5,720,823
	64,000	Vectrus, Inc. *		3,514,880
		Total Capital Goods		47,527,866
		Commercial & Professional Services — 6.5%
	425,929	ACCO Brands Corp.		2,636,500
	140,900	Brady Corp. – Class A		7,204,217
	53,500	CBIZ, Inc. *		1,211,775
	15,500	CRA International, Inc.		626,045
	83,700	Deluxe Corp.		1,952,721
	21,900	Ennis, Inc.		389,820
	26,500	Heidrick & Struggles International, Inc.		587,770
	187,100	Herman Miller, Inc.		4,307,042
	41,900	HNI Corp.		1,067,193
	11,700	Huron Consulting Group, Inc. *		541,242
	58,400	Interface, Inc.		495,816
	54,900	Kelly Services, Inc. – Class A		822,951
	12,600	Kforce, Inc.		380,520
	96,600	Kimball International, Inc. – Class B		1,080,954
	1,700	Pitney Bowes, Inc.		4,029
	60,600	Resources Connection, Inc.		665,994

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Commercial & Professional Services — continued
	198,600	Steelcase, Inc. – Class A		2,299,788
	34,100	TrueBlue, Inc. *		527,186
		Total Commercial & Professional Services		26,801,563
		Consumer Durables & Apparel — 5.4%
	159,300	Acushnet Holdings Corp.		5,323,806
	6,014	Clarus Corp.		63,147
	136,600	Ethan Allen Interiors, Inc.		1,543,580
	56,500	G-III Apparel Group Ltd. *		583,645
	9,400	Green Brick Partners, Inc. *		100,580
	21,000	Hooker Furniture Corp.		342,300
	26,100	Johnson Outdoors, Inc. – Class A		2,025,621
	76,500	La-Z-Boy, Inc.		1,967,580
	132,300	MDC Holdings, Inc.		4,496,877
	57,800	Movado Group, Inc.		606,900
	23,600	Rocky Brands, Inc.		489,464
	10,000	Smith and Wesson Brands, Inc. *		118,200
	169,100	TRI Pointe Group, Inc. *		2,421,512
	15,800	Universal Electronics, Inc. *		714,792
	119,800	Vera Bradley, Inc. *		628,950
	34,100	Vista Outdoor, Inc. *		331,111
	29,000	Wolverine World Wide, Inc.		607,260
		Total Consumer Durables & Apparel		22,365,325
		Consumer Services — 3.2%
	19,100	Adtalem Global Education, Inc. *		639,086
	14,700	American Public Education, Inc. *		462,021
	232,900	Bloomin’ Brands, Inc.		2,657,389
	216,600	Brinker International, Inc.		5,707,410
	28,600	Carriage Services, Inc.		535,392
	21,400	H&R Block, Inc.		363,800
	103,500	Perdoceo Education Corp. *		1,684,980
	50,700	Regis Corp. *		533,364
	22,400	WW International, Inc. *		535,360
		Total Consumer Services		13,118,802
		Diversified Financials — 5.8%
	26,600	Ares Commercial Real Estate Corp. (REIT)		198,170
	73,500	Artisan Partners Asset Management, Inc. – Class A		2,129,295
	62,500	Brightsphere Investment Group, Inc. *		521,875
	63,000	Curo Group Holdings Corp.		421,470
	800	Diamond Hill Investment Group, Inc.		83,968
	134,700	Donnelley Financial Solutions, Inc. *		1,097,805
	197,700	Ellington Financial, Inc.		2,016,540
	52,700	Encore Capital Group, Inc. *		1,674,279
	189,317	Enova International, Inc. *		2,678,836
	82,200	Federated Investors, Inc. – Class B		1,819,908
	5,400	Focus Financial Partners, Inc. – Class A *		150,336
	46,500	INTL. FCStone, Inc. *		2,371,965
	46,900	Navient Corp.		348,936
	40,100	Oppenheimer Holdings, Inc. – Class A		849,318

Shares		Description	Value ($)
		Diversified Financials — continued
	367,200	PennyMac Mortgage Investment Trust (REIT)		4,042,872
	4,800	Piper Sandler Cos.		286,272
	183,700	Waddell & Reed Financial, Inc. – Class A		2,395,448
	34,200	Westwood Holdings Group, Inc.		606,366
		Total Diversified Financials		23,693,659
		Energy — 2.2%
	58,700	Evolution Petroleum Corp.		143,228
	25,500	Geospace Technologies Corp. *		200,940
	8,000	International Seaways, Inc.		181,440
	775,300	Laredo Petroleum, Inc. *		657,842
	39,880	Matrix Service Co. *		439,478
	54,200	Penn Virginia Corp. *		475,876
	30,300	Renewable Energy Group, Inc. *		862,035
	2,800	REX American Resources Corp. *		164,220
	99,100	Southwestern Energy Co. *		298,291
	226,800	World Fuel Services Corp.		5,778,864
		Total Energy		9,202,214
		Food & Staples Retailing — 0.9%
	32,200	Ingles Markets, Inc. – Class A		1,372,042
	7,200	Natural Grocers by Vitamin Cottage, Inc. – Class C		103,680
	39,400	SpartanNash Co.		843,554
	19,500	United Natural Foods, Inc. *		382,200
	8,800	Village Super Market, Inc. – Class A		210,584
	11,400	Weis Markets, Inc.		635,322
		Total Food & Staples Retailing		3,547,382
		Food, Beverage & Tobacco — 1.4%
	7,800	John B. Sanfilippo & Son, Inc.		678,132
	6,016	Seneca Foods Corp. – Class A *		219,403
	112,000	Universal Corp.		4,934,720
		Total Food, Beverage & Tobacco		5,832,255
		Health Care Equipment & Services — 4.4%
	123,800	Allscripts Healthcare Solutions, Inc. *		782,416
	40,900	AngioDynamics, Inc.*		417,589
	48,100	Computer Programs & Systems, Inc.		1,063,972
	24,600	Covetrus, Inc. *		375,888
	15,300	FONAR Corp. *		365,670
	31,700	HealthStream, Inc. *		722,126
	8,600	Hill-Rom Holdings, Inc.		874,362
	28,100	Inogen, Inc. *		1,067,800
	38,200	Integer Holdings Corp. *		3,024,676
	41,300	Lantheus Holdings, Inc. *		567,049
	59,600	Meridian Bioscience, Inc. *		921,416
	35,900	Natus Medical, Inc. *		768,260
	43,600	NextGen Healthcare, Inc. *		449,952
	54,200	OraSure Technologies, Inc. *		788,068
	167,100	Owens & Minor, Inc.		1,325,103
	10,600	Oxford Immunotec Global Plc *		129,850

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	60,600	Patterson Cos., Inc.		1,193,214
	2,500	Providence Service Corp. (The) *		201,250
	71,500	RTI Surgical Holdings, Inc. *		194,480
	18,400	SeaSpine Holdings Corp. *		195,960
	75,800	Select Medical Holdings Corp. *		1,223,412
	6,100	Surmodics, Inc. *		225,578
	14,900	Triple-S Management Corp. – Class B *		296,510
	6,500	Vapotherm, Inc. *		173,095
	39,600	Varex Imaging Corp. *		742,896
		Total Health Care Equipment & Services		18,090,592
		Household & Personal Products — 1.0%
	11,900	Central Garden & Pet Co. *		436,611
	21,700	Central Garden & Pet Co. – Class A *		743,442
	47,600	Inter Parfums, Inc.		2,209,116
	6,200	USANA Health Sciences, Inc. *		525,264
		Total Household & Personal Products		3,914,433
		Insurance — 1.6%
	31,300	American Equity Investment Life Holding Co.		678,897
	39,200	Employers Holdings, Inc.		1,171,688
	6,600	FedNat Holding Co.		80,454
	55,400	First American Financial Corp.		2,797,146
	300	Heritage Insurance Holdings, Inc.		3,762
	4,000	Horace Mann Educators Corp.		146,080
	58,200	National General Holdings Corp.		1,181,460
	32,700	Universal Insurance Holdings, Inc.		584,022
		Total Insurance		6,643,509
		Materials — 8.0%
	21,000	American Vanguard Corp.		279,300
	3,500	Boise Cascade Co.		119,105
	13,400	Ferro Corp. *		161,068
	22,100	FutureFuel Corp.		289,068
	83,900	Greif, Inc. – Class A		2,850,922
	4,500	Hawkins, Inc.		193,050
	75,500	Innospec, Inc.		5,820,295
	42,700	Koppers Holdings, Inc. *		707,539
	14,200	Kronos Worldwide, Inc.		138,592
	72,100	Materion Corp.		3,785,250
	4,500	Minerals Technologies, Inc.		221,895
	14,800	Neenah, Inc.		748,288
	108,400	PolyOne Corp.		2,686,152
	30,900	Reliance Steel & Aluminum Co.		2,997,300
	126,400	Schweitzer-Mauduit International, Inc.		3,841,296
	34,300	Silgan Holdings, Inc.		1,146,992
	28,229	Stepan Co.		2,742,730
	74,900	Tredegar Corp.		1,146,719
	56,700	Valvoline, Inc.		1,040,445
	32,600	Verso Corp. – Class A *		468,788
	46,300	Worthington Industries, Inc.		1,385,296
		Total Materials		32,770,090

Shares		Description	Value ($)
		Media & Entertainment — 2.9%
	17,200	Cars.com, Inc. *		106,124
	92,200	DHI Group, Inc. *		246,174
	148,500	Glu Mobile, Inc. *		1,482,030
	270,600	Liberty TripAdvisor Holdings, Inc. – Class A *		642,675
	79,400	Marchex, Inc. – Class B *		123,070
	104,800	National CineMedia, Inc.		288,200
	41,100	Scholastic Corp.		1,208,340
	34,400	Sciplay Corp. – Class A *		482,288
	544,900	TEGNA, Inc.		6,386,228
	66,000	Tribune Publishing Co.		627,000
	65,200	TrueCar, Inc. *		176,040
	21,600	WideOpenWest, Inc. *		140,616
		Total Media & Entertainment		11,908,785
		Pharmaceuticals, Biotechnology & Life Sciences — 4.1%
	22,500	Arcus Biosciences, Inc. *		705,375
	5,500	Arvinas, Inc. *		182,985
	46,300	CytomX Therapeutics, Inc. *		410,218
	23,800	Emergent BioSolutions, Inc. *		1,987,062
	33,100	Enanta Pharmaceuticals, Inc. *		1,704,319
	155,600	Endo International Plc *		600,616
	23,323	Evofem Biosciences, Inc. *		127,344
	47,300	Luminex Corp.		1,473,868
	17,700	Pacira BioSciences, Inc. *		777,915
	201,200	PDL BioPharma, Inc. *		657,924
	14,000	Phibro Animal Health Corp. – Class A		366,800
	141,300	Prestige Consumer Healthcare, Inc. *		5,962,860
	7,200	Principia Biopharma, Inc. *		460,008
	4,800	Scholar Rock Holding Corp. *		88,320
	8,300	Syros Pharmaceuticals, Inc. *		81,257
	16,800	Translate Bio, Inc. *		348,096
	57,100	Vanda Pharmaceuticals, Inc. *		669,212
	6,500	Xenon Pharmaceuticals, Inc. *		89,050
		Total Pharmaceuticals, Biotechnology & Life Sciences		16,693,229
		Real Estate — 5.4%
	31,100	Apple Hospitality REIT, Inc.		317,531
	424,800	CoreCivic, Inc. (REIT)		5,110,344
	220,000	CorePoint Lodging, Inc. (REIT)		871,200
	24,400	Cushman & Wakefield Plc *		250,100
	142,400	GEO Group, Inc. (REIT)		1,705,952
	58,200	iStar, Inc. (REIT)		636,126
	632,400	Newmark Group, Inc. – Class A		2,687,700
	244,800	Realogy Holdings Corp.		1,483,488
	249,000	Retail Properties of America, Inc. – Class A (REIT)		1,349,580
	492,900	Summit Hotel Properties, Inc. (REIT)		3,080,625
	308,600	Sunstone Hotel Investors, Inc. (REIT)		2,731,110
	211,900	Xenia Hotels & Resorts, Inc. (REIT)		1,907,100
		Total Real Estate		22,130,856

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Retailing — 7.5%
	3,800	Asbury Automotive Group, Inc. *		274,664
	41,200	AutoNation, Inc. *		1,626,576
	62,500	Big Lots, Inc.		2,421,875
	23,500	Cato Corp. (The) – Class A		227,950
	83,400	Core-Mark Holding Co., Inc.		2,333,532
	29,800	Designer Brands, Inc. – Class A		182,674
	110,100	Dick’s Sporting Goods, Inc.		3,970,206
	37,300	Genesco, Inc. *		689,677
	89,200	Group 1 Automotive, Inc.		5,614,248
	83,813	Haverty Furniture Cos, Inc.		1,449,965
	26,900	Hibbett Sports, Inc. *		519,708
	493,500	Office Depot, Inc.		1,218,945
	1,300	PetMed Express, Inc.		46,930
	31,100	Rent-A-Center, Inc.		791,806
	111,000	Sally Beauty Holdings, Inc. *		1,447,440
	63,300	Shoe Carnival, Inc.		1,645,167
	70,700	Signet Jewelers Ltd.		745,885
	9,900	Sleep Number Corp. *		308,583
	131,200	Sonic Automotive, Inc. – Class A		3,447,936
	2,600	Weyco Group, Inc.		48,542
	76,400	Zumiez, Inc. *		1,861,868
		Total Retailing		30,874,177
		Semiconductors & Semiconductor Equipment — 1.9%
	77,700	Alpha & Omega Semiconductor Ltd. *		817,404
	163,300	Amkor Technology, Inc. *		1,727,714
	104,600	DSP Group, Inc. *		1,884,892
	84,000	FormFactor, Inc. *		2,114,280
	25,601	Onto Innovation, Inc. *		795,679
	48,700	Photronics, Inc. *		583,913
		Total Semiconductors & Semiconductor Equipment		7,923,882
		Software & Services — 3.4%
	27,500	A10 Networks, Inc. *		187,000
	26,100	Cerence, Inc. *		780,651
	3,400	ChannelAdvisor Corp. *		47,430
	54,000	CSG Systems International, Inc.		2,556,900
	15,500	Hackett Group, Inc. (The)		213,745
	15,600	ManTech International Corp. – Class A		1,212,744
	9,200	MicroStrategy, Inc. – Class A *		1,145,216
	2,700	NIC, Inc.		64,962
	13,300	OneSpan, Inc. *		270,256
	116,400	Progress Software Corp.		4,702,560
	73,800	Sykes Enterprises, Inc. *		2,011,788
	36,400	Unisys Corp. *		413,504
	40,700	Xperi Corp.		559,625
		Total Software & Services		14,166,381

Shares		Description	Value ($)
		Technology Hardware & Equipment — 7.4%
	104,446	ADTRAN, Inc.		1,190,684
	176,400	Arlo Technologies, Inc. *		389,844
	25,800	Avnet, Inc.		702,792
	191,200	Benchmark Electronics, Inc.		4,051,528
	121,500	Comtech Telecommunications Corp.		2,163,915
	43,300	CTS Corp.		924,022
	90,500	Digi International, Inc. *		1,007,265
	14,700	ePlus, Inc. *		1,083,537
	127,200	Insight Enterprises, Inc. *		6,520,272
	30,900	Kimball Electronics, Inc. *		438,471
	30,800	Methode Electronics, Inc.		965,580
	9,300	MTS Systems Corp.		163,773
	32,100	NETGEAR, Inc. *		825,933
	8,300	NetScout Systems, Inc. *		228,001
	46,800	PC Connection, Inc.		2,025,504
	1,800	Plexus Corp. *		115,596
	266,200	Sanmina Corp. *		7,083,582
	6,400	ScanSource, Inc. *		157,760
	8,126	Vishay Precision Group, Inc. *		191,936
		Total Technology Hardware & Equipment		30,229,995
		Telecommunication Services — 1.5%
	3,000	ATN International, Inc.		178,200
	32,600	Consolidated Communications Holdings, Inc. *		197,556
	58,300	IDT Corp. – Class B *		369,622
	15,800	Ooma, Inc. *		198,132
	96,678	Spok Holdings, Inc.		992,883
	190,600	Telephone & Data Systems, Inc.		3,905,394
	11,800	United States Cellular Corp. *		371,818
		Total Telecommunication Services		6,213,605
		Transportation — 0.2%
	25,000	ArcBest Corp.		559,750
	9,200	Hub Group, Inc. – Class A *		430,284
		Total Transportation		990,034
		Utilities — 0.2%
	62,100	Genie Energy Ltd. – Class B		534,681
	6,500	Unitil Corp.		313,105
		Total Utilities		847,786
		TOTAL COMMON STOCKS (COST $472,179,936)		408,473,937
		MUTUAL FUNDS — 0.0%
		Affiliated Issuers — 0.0%
	11,924	GMO U.S. Treasury Fund		60,097
		TOTAL MUTUAL FUNDS (COST $59,978)		60,097

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
	72,700	Achillion Pharmaceuticals, Inc. CVR * (a)		36,350
		TOTAL RIGHTS/WARRANTS (COST $33,442)		36,350

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	1,924,970	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (b)		1,924,970
		TOTAL SHORT-TERM INVESTMENTS (COST $1,924,970)		1,924,970
		TOTAL INVESTMENTS — 99.9% (Cost $474,198,326)		410,495,354
		Other Assets and Liabilities (net) — 0.1%		363,262
		TOTAL NET ASSETS — 100.0%		$410,858,616

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
16	E-mini Russell 2000 Index		June 2020	$	1,114,240	$	38,923

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2020, 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) The rate disclosed is the 7 day net yield as of May 31, 2020.

Portfolio Abbreviations:

CVR - Contingent Value Right

REIT - Real Estate Investment Trust

Organization

Each of Climate Change Fund, Cyclical Focus Fund (commenced operations on May 12, 2020), 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 (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 May 31, 2020, 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 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 May 31, 2020:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,037,913	$	—	$	—	$	1,037,913
Australia		—		1,208,993		—		1,208,993
Brazil		—		1,625,020		—		1,625,020
Canada		3,377,597		—		—		3,377,597
China		508,343		3,038,666		—		3,547,009
Denmark		—		2,963,466		—		2,963,466
Finland		—		415,638		—		415,638
France		—		9,186,932		—		9,186,932
Germany		—		2,563,285		—		2,563,285
India		—		196,828		—		196,828
Israel		—		1,039,997		—		1,039,997
Italy		—		4,380,366		—		4,380,366
Japan		—		11,285,031		—		11,285,031
Mexico		2,708,910		—		—		2,708,910
Netherlands		—		773,161		—		773,161
Norway		—		1,664,742		—		1,664,742

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Pakistan	$	—	$	515,794	$	—	$	515,794
Portugal		—		1,343,038		—		1,343,038
Russia		—		5,729,419		—		5,729,419
Spain		—		2,922,020		—		2,922,020
Switzerland		—		1,301,005		—		1,301,005
Taiwan		—		267,021		—		267,021
Thailand		—		289,093		—		289,093
Ukraine		—		794,672		—		794,672
United Kingdom		513,520		3,066,238		—		3,579,758
United States		35,226,283		—		—		35,226,283
TOTAL COMMON STOCKS		43,372,566		56,570,425		—		99,942,991
Preferred Stocks
Chile		2,575,909		—		—		2,575,909
TOTAL PREFERRED STOCKS		2,575,909		—		—		2,575,909
Mutual Funds
United States		6,239,416		—		—		6,239,416
TOTAL MUTUAL FUNDS		6,239,416		—		—		6,239,416
Short-Term Investments		333,890		—		—		333,890
Total Investments		52,521,781		56,570,425		—		109,092,206
Total	$	52,521,781	$	56,570,425	$	—	$	109,092,206
Cyclical Focus Fund
Asset Valuation Inputs
Common Stocks
Canada	$	2,138,600	$	—	$	—	$	2,138,600
Finland		—		2,865,504		—		2,865,504
France		—		7,949,539		—		7,949,539
Germany		—		6,400,580		—		6,400,580
Ireland		—		1,726,100		—		1,726,100
Japan		—		3,127,224		—		3,127,224
Mexico		2,825,118		—		—		2,825,118
Russia		—		5,726,931		—		5,726,931
Spain		—		4,038,121		—		4,038,121
Switzerland		—		2,754,977		—		2,754,977
United Kingdom		—		10,994,165		—		10,994,165
United States		65,020,333		—		—		65,020,333
TOTAL COMMON STOCKS		69,984,051		45,583,141		—		115,567,192
Preferred Stocks
Brazil		—		2,596,041		—		2,596,041
TOTAL PREFERRED STOCKS		—		2,596,041		—		2,596,041
Short-Term Investments		452,058		—		—		452,058
Total Investments		70,436,109		48,179,182		—		118,615,291
Total	$	70,436,109	$	48,179,182	$	—	$	118,615,291
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	6,183,759	$	—	$	6,183,759
China		116,287,825		175,660,951		—		291,948,776
Hong Kong		—		3,529,830		—		3,529,830
India		—		44,889,994		—		44,889,994
Indonesia		—		4,141,173		—		4,141,173
Japan		—		1,910,612		—		1,910,612
Mexico		11,555,504		—		—		11,555,504
Peru		294,935		—		—		294,935
Philippines		—		5,482,707		—		5,482,707
Russia		—		9,649,422		—		9,649,422

Description	Level 1		Level 2			Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
South Africa	$	—	$	8,471,258		$	—	$	8,471,258
South Korea		—		61,648,688			—		61,648,688
Switzerland		—		20,566,330			—		20,566,330
Taiwan		5,078,297		96,640,215			—		101,718,512
Thailand		—		6,991,453			—		6,991,453
Turkey		—		1,795,160			—		1,795,160
United States		3,328,215		—			—		3,328,215
Vietnam		—		5,420,385			—		5,420,385
TOTAL COMMON STOCKS		136,544,776		452,981,937			—		589,526,713
Preferred Stocks
Brazil		—		3,081,579			—		3,081,579
TOTAL PREFERRED STOCKS		—		3,081,579			—		3,081,579
Investment Funds
Brazil		10,952,132		—			—		10,952,132
Russia		38,664,562		—			—		38,664,562
South Korea		—		9,586,991			—		9,586,991
Taiwan		3,335,046		—			—		3,335,046
Thailand		—		34,544,069			—		34,544,069
United States		52,611,810		—			—		52,611,810
TOTAL INVESTMENT FUNDS		105,563,550		44,131,060			—		149,694,610
Debt Obligations
United States		11,000,603		—			—		11,000,603
TOTAL DEBT OBLIGATIONS		11,000,603		—			—		11,000,603
Rights/Warrants
India		29,677		—			—		29,677
TOTAL RIGHTS/WARRANTS		29,677		—			—		29,677
Mutual Funds
United States		18,204,112		—			—		18,204,112
TOTAL MUTUAL FUNDS		18,204,112		—			—		18,204,112
Short-Term Investments		7,344,394		—			—		7,344,394
Total Investments		278,687,112		500,194,576			—		778,881,688
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		304,005			—		304,005
Futures Contracts
Equity Risk		300,930		—			—		300,930
Total	$	278,988,042	$	500,498,581		$	—	$	779,486,623
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(135,631	)	$	—	$	(135,631	)
Futures Contracts
Equity Risk		—		(1,477,196	)		—		(1,477,196	)
Total	$	—	$	(1,612,827	)	$	—	$	(1,612,827	)
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	—	$	3,719,493		$	—	$	3,719,493
Brazil		—		2,276,632			—		2,276,632
Chile		39,425		1,540,952			—		1,580,377
China		173,697,112		957,534,999			687,475		1,131,919,586
Colombia		195,743		—			—		195,743
Czech Republic		—		1,219,599			—		1,219,599
Greece		—		4,109,032			—		4,109,032
Hungary		—		606,926			—		606,926
India		—		56,143,238			—		56,143,238

Description	Level 1		Level 2			Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Indonesia	$	—	$	28,762,133		$	—	$	28,762,133
Kuwait		—		14,575,075			—		14,575,075
Malaysia		—		1,345,496			—		1,345,496
Mexico		40,409,012		—			—		40,409,012
Pakistan		—		7,792,760			—		7,792,760
Peru		3,161,730		—			—		3,161,730
Philippines		—		7,675,067			—		7,675,067
Poland		—		85,112,659			—		85,112,659
Qatar		—		19,844,225			—		19,844,225
Russia		9,152,116		448,152,536			—		457,304,652
South Africa		—		73,741,300			—		73,741,300
South Korea		—		99,762,573			—		99,762,573
Sri Lanka		—		452,038			—		452,038
Taiwan		13,740,593		509,334,977			—		523,075,570
Thailand		—		24,338,728			—		24,338,728
Turkey		—		2,140,204			—		2,140,204
United Arab Emirates		—		6,038,648			—		6,038,648
United Kingdom		—		20,761,427			—		20,761,427
Vietnam		—		3,303,915			—		3,303,915
TOTAL COMMON STOCKS		240,395,731		2,380,284,632			687,475		2,621,367,838
Preferred Stocks
Colombia		1,089,205		—			—		1,089,205
Russia		—		57,523,425			—		57,523,425
South Korea		—		60,377,628			—		60,377,628
Taiwan		—		1,330,429			—		1,330,429
TOTAL PREFERRED STOCKS		1,089,205		119,231,482			—		120,320,687
Investment Funds
Thailand		—		11,276,567			—		11,276,567
United States		60,203,932		—			—		60,203,932
TOTAL INVESTMENT FUNDS		60,203,932		11,276,567			—		71,480,499
Debt Obligations
United States		19,021,339		—			—		19,021,339
TOTAL DEBT OBLIGATIONS		19,021,339		—			—		19,021,339
Short-Term Investments		35,750,178		—			—		35,750,178
Total Investments		356,460,385		2,510,792,681			687,475		2,867,940,541
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		4,100			—		4,100
Futures Contracts
Equity Risk		13,643,688		—			—		13,643,688
Total	$	370,104,073	$	2,510,796,781		$	687,475	$	2,881,588,329
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(9,299	)	$	—	$	(9,299	)
Futures Contracts
Equity Risk		—		(1,283,874	)		—		(1,283,874	)
Swap Contracts
Equity Risk		—		(63,584	)		—		(63,584	)
Total	$	—	$	(1,356,757	)	$	—	$	(1,356,757	)
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	95,347,853		$	—	$	95,347,853
Austria		—		1,482,077			—		1,482,077
Belgium		—		22,093,813			—		22,093,813
Denmark		—		979,590			—		979,590

Description	Level 1		Level 2		Level 3			Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
France	$	39,551,143	$	203,876,470	$	—		$	243,427,613
Germany		—		125,640,961		—			125,640,961
Hong Kong		—		55,188,091		—			55,188,091
Ireland		17,794,128		6,241,676		—			24,035,804
Italy		—		126,286,394		—			126,286,394
Japan		—		583,616,145		—			583,616,145
Malta		—		—		0	§		0	§
Netherlands		—		174,974,712		—			174,974,712
New Zealand		—		404,395		—			404,395
Norway		1,197,856		63,366,575		—			64,564,431
Portugal		—		89,122,760		—			89,122,760
Singapore		—		104,516,150		—			104,516,150
Spain		—		168,637,591		—			168,637,591
Sweden		—		112,067,628		—			112,067,628
Switzerland		—		183,827,747		—			183,827,747
United Kingdom		31,822,217		431,633,503		—			463,455,720
United States		—		653,822		—			653,822
TOTAL COMMON STOCKS		90,365,344		2,549,957,953		0	§		2,640,323,297
Preferred Stocks
Germany		—		8,398,459		—			8,398,459
TOTAL PREFERRED STOCKS		—		8,398,459		—			8,398,459
Short-Term Investments		51,060,374		—		—			51,060,374
Total Investments		141,425,718		2,558,356,412		0	§		2,699,782,130
Derivatives^
Futures Contracts
Equity Risk		1,837,126		—		—			1,837,126
Total	$	143,262,844	$	2,558,356,412	$	0	§	$	2,701,619,256
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	51,832,360	$	—		$	51,832,360
Germany		—		199,250,091		—			199,250,091
Netherlands		—		39,642,761		—			39,642,761
Switzerland		—		267,984,440		—			267,984,440
Taiwan		—		158,201,920		—			158,201,920
United Kingdom		—		246,310,221		—			246,310,221
United States		5,354,620,184		—		—			5,354,620,184
TOTAL COMMON STOCKS		5,354,620,184		963,221,793		—			6,317,841,977
Debt Obligations
United States		20,341,406		—		—			20,341,406
TOTAL DEBT OBLIGATIONS		20,341,406		—		—			20,341,406
Mutual Funds
United States		15,830,961		—		—			15,830,961
TOTAL MUTUAL FUNDS		15,830,961		—		—			15,830,961
Short-Term Investments		166,995,691		—		—			166,995,691
Total Investments		5,557,788,242		963,221,793		—			6,521,010,035
Total	$	5,557,788,242	$	963,221,793	$	—		$	6,521,010,035
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	5,407,990	$	—	$	—		$	5,407,990
Australia		—		27,958,258		—			27,958,258
Austria		—		5,083,361		—			5,083,361
Brazil		—		7,771,912		—			7,771,912
Canada		14,820,718		—		—			14,820,718

Description	Level 1			Level 2			Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
China	$	—		$	6,595,942		$	—		$	6,595,942
Colombia		3,318,787			—			—			3,318,787
Denmark		—			6,454,111			—			6,454,111
France		—			18,609,869			—			18,609,869
Hungary		—			3,597,796			—			3,597,796
India		—			11,497,900			—			11,497,900
Israel		—			10,827,061			—			10,827,061
Italy		—			1,303,138			—			1,303,138
Japan		—			16,242,900			—			16,242,900
Mexico		11,413,442			—			—			11,413,442
Norway		—			14,647,014			—			14,647,014
Pakistan		—			4,226,764			—			4,226,764
Poland		—			2,708,975			—			2,708,975
Russia		—			68,958,929			—			68,958,929
Singapore		—			—			0	§		0	§
South Africa		—			3,458,301			—			3,458,301
South Korea		—			960,249			—			960,249
Spain		—			7,653,608			—			7,653,608
Sweden		—			4,490,526			—			4,490,526
Switzerland		—			2,654,184			—			2,654,184
Thailand		—			10,603,702			—			10,603,702
Turkey		—			2,899,211			—			2,899,211
Ukraine		—			2,759,070			—			2,759,070
United Kingdom		—			57,377,552			—			57,377,552
United States		109,615,238			—			—			109,615,238
TOTAL COMMON STOCKS		144,576,175			299,340,333			0	§		443,916,508
Preferred Stocks
Brazil		—			24,835,585			—			24,835,585
Chile		12,290,083			—			—			12,290,083
Russia		—			11,067,707			—			11,067,707
TOTAL PREFERRED STOCKS		12,290,083			35,903,292			—			48,193,375
Debt Obligations
United States		2,288,408			—			—			2,288,408
TOTAL DEBT OBLIGATIONS		2,288,408			—			—			2,288,408
Rights/Warrants
Singapore		—			—			0	§		0	§
TOTAL RIGHTS/WARRANTS		—			—			0	§		0	§
Short-Term Investments		13,481,882			—			—			13,481,882
Total Investments		172,636,548			335,243,625			0	§		507,880,173
Total	$	172,636,548		$	335,243,625		$	0	§	$	507,880,173
Risk Premium Fund
Asset Valuation Inputs
Debt Obligations
United States	$	14,560,232		$	—		$	—		$	14,560,232
TOTAL DEBT OBLIGATIONS		14,560,232			—			—			14,560,232
Short-Term Investments		1,617,983			—			—			1,617,983
Total Investments		16,178,215			—			—			16,178,215
Total	$	16,178,215		$	—		$	—		$	16,178,215
Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	(81,000	)	$	(32,894	)	$	—		$	(113,894	)

Description	Level 1		Level 2		Level 3			Total
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,590,538	$	—		$	1,590,538
Austria		—		16,302		—			16,302
Belgium		—		394,718		—			394,718
Brazil		—		644,295		—			644,295
Canada		38,027		—		—			38,027
China		8,550		923,507		—			932,057
Denmark		—		40,951		—			40,951
France		—		3,873,220		—			3,873,220
Germany		—		2,168,327		—			2,168,327
Hong Kong		—		600,790		—			600,790
Hungary		—		59,848		—			59,848
India		—		104,726		—			104,726
Ireland		172,378		476,224		—			648,602
Italy		—		1,772,021		—			1,772,021
Japan		—		9,986,745		—			9,986,745
Malta		—		—		0	§		0	§
Mexico		5,213		—		—			5,213
Netherlands		—		3,189,868		—			3,189,868
Norway		—		275,233		—			275,233
Philippines		—		13,823		—			13,823
Poland		—		58,320		—			58,320
Portugal		—		1,334,988		—			1,334,988
Russia		—		444,328		—			444,328
Singapore		—		1,133,343		—			1,133,343
South Africa		—		85,184		—			85,184
South Korea		—		982,774		—			982,774
Spain		—		2,713,956		—			2,713,956
Sweden		—		1,240,686		—			1,240,686
Switzerland		—		2,980,896		—			2,980,896
Taiwan		—		364,610		—			364,610
Thailand		—		9,221		—			9,221
Turkey		—		555,764		—			555,764
United Kingdom		682,495		4,856,124		—			5,538,619
TOTAL COMMON STOCKS		906,663		42,891,330		0	§		43,797,993
Preferred Stocks
Brazil		—		23,724		—			23,724
Germany		—		239,062		—			239,062
Russia		—		27,693		—			27,693
TOTAL PREFERRED STOCKS		—		290,479		—			290,479
Mutual Funds
United States		370,165		—		—			370,165
TOTAL MUTUAL FUNDS		370,165		—		—			370,165
Short-Term Investments		380,201		—		—			380,201
Total Investments		1,657,029		43,181,809		0	§		44,838,838
Derivatives^
Futures Contracts
Equity Risk		18,853		—		—			18,853
Total	$	1,675,882	$	43,181,809	$	0	§	$	44,857,691
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	360,960,437	$	—	$	—		$	360,960,437
Mutual Funds		1,010,296		—		—			1,010,296
Short-Term Investments		86,530		—		—			86,530
Total Investments		362,057,263		—		—			362,057,263
Derivatives^
Futures Contracts
Equity Risk		4,773		—		—			4,773
Total	$	362,062,036	$	—	$	—		$	362,062,036

Description	Level 1		Level 2		Level 3		Total
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	408,473,937	$	—	$	—	$	408,473,937
Mutual Funds		60,097		—		—		60,097
Rights/Warrants		—		—		36,350		36,350
Short-Term Investments		1,924,970		—		—		1,924,970
Total Investments		410,459,004		—		36,350		410,495,354
Derivatives^
Futures Contracts
Equity Risk		38,923		—		—		38,923
Total	$	410,497,927	$	—	$	36,350	$	410,534,277

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 May 31, 2020.

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 May 31, 2020, there were no material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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 May 31, 2020 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	$	8,545,006	$	21,230,452	$	23,546,572	$	1,602	**	$	25,397	$	(14,867)	$	6,239,416
Emerging Domestic Opportunities Fund
CMI Ltd	$	325,809	$	—	$	57,343	$	—		$	(691,138)	$	606,475	$	—	#
Gayatri Projects Ltd		3,380,455		—		—		—			—		(1,422,793)		1,957,662
GMO U.S. Treasury Fund		18,615,329		75,020,546		75,500,000		14,695			85,327		(17,090)		18,204,112
Totals	$	22,321,593	$	75,020,546	$	75,557,343	$	14,695		$	(605,811)	$	(833,408)	$	20,161,774
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	485,306	$	—	$	—	$	—		$	—	$	(33,268)	$	452,038
Gayatri Highways Ltd		49,629		—		—		—			—		6,920		56,549
Gayatri Projects Ltd		5,130,069		—		—		—			—		(2,159,184)		2,970,885
Totals	$	5,665,004	$	—	$	—	$	—		$	—	$	(2,185,532)	$	3,479,472
Quality Fund
GMO U.S. Treasury Fund	$	15,768,140	$	—	$	—	$	17,161		$	—	$	62,821	$	15,830,961

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
Resources Fund
GMO U.S. Treasury Fund	$	1,832,863	$	12,190,500	$	14,026,825	$	—	**	$	10,763	$	$ (7,301)	$	—
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	368,696	$	—	$	—	$	383		$	—	$	1,469	$	370,165
U.S. Equity Fund
GMO U.S. Treasury Fund	$	1,469,983	$	18,500,000	$	18,970,000	$	3,911		$	13,242	$	(2,929)	$	1,010,296
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	6,280,467	$	5,000,000	$	11,233,000	$	2,388		$	28,510	$	(15,880)	$	60,097

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2020 through May 31, 2020. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2021.

** 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 $2,538 and $129 in Climate Change Fund and Resources Fund, respectively, during the period.

# Security is no longer an affiliate at period end.

Subsequent events

Effective June 30, 2020, GMO Emerging Markets Fund’s management fee was reduced from 0.75% to 0.65%.

Subsequent to May 31, 2020, GMO Tax-Managed International Equities Fund received redemption requests in the amount of $9,685,497.

* * *

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 Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 30.1%
		France — 1.4%
	32,200	Ingenico Group SA		4,481,914
		Germany — 0.9%
	66,200	QIAGEN NV * (a) (b)		2,898,898
		Hong Kong — 0.1%
	10,504	Jardine Strategic Holdings Ltd		209,897
		Ireland — 1.8%
	46,900	Flutter Entertainment Plc *		5,966,938
		Japan — 1.5%
	99,778	LINE Corp *		4,995,780
		Netherlands — 0.9%
	55,823	Unilever NV		2,880,815
		United Kingdom — 2.6%
	270,199	Royal Dutch Shell Plc – Class B Sponsored ADR		8,224,857
		United States — 20.9%
	7,141	Acacia Communications, Inc. * (a)		482,018
	103,000	Advanced Disposal Services, Inc. * (a)		3,211,540
	39,000	Bristol-Myers Squibb Co.		2,329,080
	79,932	Charles Schwab Corp. (The) (a) (c)		2,870,358
	226,055	Discovery, Inc. – Class C * (a) (b)		4,428,417
	66,800	El Paso Electric Co. (b)		4,540,396
	15,801	Eldorado Resorts, Inc. * (a)		560,303
	267,800	FGL Holdings (d)		2,965,448
	508,818	Genworth Financial, Inc. – Class A * (a)		1,551,895
	137,388	IBERIABANK Corp. (b)		5,826,625
	28,348	Liberty Broadband Corp.– Class C * (b)		3,872,904
	76,570	Liberty Global Plc – Class A *		1,626,347
	169,691	Liberty Media Corp.-Liberty SiriusXM – Class C * (a) (b)		6,188,631
	42,329	Taubman Centers, Inc. (REIT) (a)		1,749,881
	31,971	Tech Data Corp. * (b)		4,355,729
	79,904	Texas Capital Bancshares, Inc. * (a) (b)		2,138,231
	32,375	Tiffany & Co. (b)		4,148,209
	45,375	Walgreens Boots Alliance, Inc. (a) (c)		1,948,403
	37,200	Willis Towers Watson Plc (b)		7,547,880
	164,442	Wright Medical Group NV * (a)		4,859,261
		Total United States		67,201,556
		TOTAL COMMON STOCKS (COST $92,902,272)		96,860,655

Shares / Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.1%
		United States — 0.1%
	62,875	Bristol-Myers Squibb Co. *		206,859
		TOTAL RIGHTS/WARRANTS (COST $130,287)		206,859
		DEBT OBLIGATIONS — 29.2%
		Canada — 4.5%
		Foreign Government Obligations — 4.5%
CAD	20,000,000	Canadian Government Bond, 3.50%, due 06/01/20		14,531,721
		United States — 24.7%
		U.S. Government — 24.7%
	11,500,000	U.S. Treasury Note, 1.38%, due 01/31/21 (b)		11,590,293
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.14%, 0.27%, due 04/30/21 (b)		30,031,945
	7,000,000	U.S. Treasury Note, 1.75%, due 11/30/21		7,164,336
	30,000,000	U.S. Treasury Note, 1.50%, due 01/31/22		30,656,250
		Total United States		79,442,824
		TOTAL DEBT OBLIGATIONS (COST $94,161,187)		93,974,545
		MUTUAL FUNDS — 13.7%
		United States — 13.7%
		Affiliated Issuers — 13.7%
	662,539	GMO Emerging Markets Fund, Class VI		19,001,613
	714,616	GMO International Equity Fund, Class IV		13,499,109
	690,937	GMO Resources Fund, Class IV		11,642,283
		TOTAL MUTUAL FUNDS (COST $47,770,000)		44,143,005
		INVESTMENT FUNDS — 2.0%
		United States — 2.0%
	291,393	Altaba, Inc. (e)		6,337,798
		TOTAL INVESTMENT FUNDS (COST $5,804,438)		6,337,798
		SHORT-TERM INVESTMENTS — 41.9%
		Foreign Government Obligations — 29.3%
CAD	40,000,000	Canadian Treasury Bill, Zero Coupon, due 07/30/20 (b)		29,042,525
JPY	2,700,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/08/20		25,036,665
JPY	1,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/06/20		12,056,170
JPY	1,250,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/13/20		11,592,738

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Foreign Government Obligations — continued
JPY	667,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/27/20 (b)		6,186,152
JPY	1,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/11/20		10,202,451
		Total Foreign Government Obligations		94,116,701
		Money Market Funds — 0.6%
	1,743,168	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (f)		1,743,168
	149,449	SSgA USD Liquidity Fund – Class D Shares, 0.23% (g)		149,449
		Total Money Market Funds		1,892,617

Par Value†		Description	Value ($)
		U.S. Government — 12.0%
	15,000,000	U.S. Treasury Bill, 0.17%, due 09/24/20 (h)		14,991,734
	15,000,000	U.S. Treasury Bill, 0.17%, due 10/08/20 (h)		14,991,199
	8,700,000	U.S. Treasury Note, 1.75%, due 10/31/20		8,755,734
		Total U.S. Government		38,738,667
		TOTAL SHORT-TERM INVESTMENTS (COST $134,800,237)		134,747,985

PURCHASED OPTIONS — 0.1%

Description	Exercise Price		Expiration Date	Number of Contracts			Notional Amount			Value ($)
Equity Options – Calls — 0.1%
DuPont de Nemours, Inc.		50.50	06/19/20		USD	101		USD	510,050	—
Bunge Ltd.		38.87	07/17/20		USD	94		USD	365,378	—
CVS Health Corp. (c)		65.00	08/21/20		USD	201		USD	1,337,856	78,390
Charles Schwab Corp. (The) (c)		36.00	09/18/20		USD	487		USD	1,753,687	155,840
Total Equity Options – Calls										234,230
		TOTAL PURCHASED OPTIONS (COST $260,508)								234,230
		TOTAL INVESTMENTS — 117.1% (Cost $375,828,929)								376,505,077

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Par Value†			Description	Value ($)
			SECURITIES SOLD SHORT — (19.9)%
			Common Stocks — (19.9)%
			France — (1.2)%
	(50,605	)	Worldline SA *		(3,799,739	)
			Hong Kong — (0.1)%
	(4,930	)	Jardine Matheson Holdings Ltd		(198,251	)
			Ireland — (1.8)%
	(44,327	)	Flutter Entertainment Plc *		(5,639,584	)
			United Kingdom — (5.9)%
	(40,288	)	Aon Plc – Class A		(7,934,722	)
	(260,373	)	Royal Dutch Shell Plc Sponsored ADR – Class A		(8,318,917	)
	(53,603	)	Unilever Plc		(2,867,770	)
			Total United Kingdom		(19,121,409	)

Par Value†			Description	Value ($)
			United States — (10.9)%
	(39,001	)	Bristol-Myers Squibb Co.		(2,329,140	)
	(175,666	)	Caesars Entertainment Corp. *		(2,000,836	)
	(6,981	)	Charter Communications, Inc. – Class A *		(3,797,664	)
	(40,715	)	CVS Health Corp. (c)		(2,669,683	)
	(205,209	)	Discovery, Inc. – Class A *		(4,463,296	)
	(22,763	)	Fidelity National Financial, Inc.		(726,140	)
	(629,151	)	First Horizon National Corp.		(5,882,562	)
	(82,496	)	Independent Bank Group, Inc.		(3,124,948	)
	(77,718	)	Liberty Global Plc – Class C *		(1,603,322	)
	(987,061	)	Sirius XM Holdings, Inc.		(5,744,695	)
	(73,766	)	TD Ameritrade Holding Corp.		(2,749,258	)
			Total United States		(35,091,544	)
			TOTAL COMMON STOCKS (PROCEEDS $59,288,792)		(63,850,527	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $59,288,792)		(63,850,527	)
			Other Assets and Liabilities (net) — 2.8%		8,856,151
			TOTAL NET ASSETS — 100.0%		$321,510,701

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/14/2020	MSCI	AUD	959,229		USD	629,209		(10,181	)
07/14/2020	UBS	AUD	6,932,619		USD	4,489,321		(131,728	)
08/06/2020	DB	AUD	740,000		USD	479,619		(13,634	)
08/06/2020	MSCI	AUD	14,509,000		USD	9,295,554		(375,533	)
08/04/2020	MSCI	BRL	8,141,624		USD	1,451,787		(69,821	)
06/01/2020	MSCI	CAD	20,350,000		USD	15,150,243		370,129
06/02/2020	GS	CAD	665,131		USD	471,136		(11,945	)
06/02/2020	MSCI	CAD	356,119		USD	253,776		(4,872	)
06/02/2020	SSB	CAD	4,664,266		USD	3,388,884		1,249
06/02/2020	UBS	CAD	2,221,881		USD	1,601,091		(12,651	)
06/03/2020	GS	CAD	3,674,901		USD	2,610,000		(59,064	)
06/03/2020	JPM	CAD	32,171,592		USD	22,620,000		(746,082	)
06/03/2020	MSCI	CAD	11,442,454		USD	8,170,000		(140,603	)
07/30/2020	DB	CAD	40,000,000		USD	28,526,031		(526,423	)
08/14/2020	BCLY	CHF	2,159,967		USD	2,230,000		(20,416	)
08/14/2020	JPM	CHF	5,188,683		USD	5,390,000		(15,961	)
08/14/2020	MSCI	CHF	496,807		USD	514,371		(3,240	)
06/03/2020	MSCI	CLP	2,735,034,000		USD	3,210,792		(206,289	)
09/01/2020	JPM	CLP	2,735,034,000		USD	3,350,115		(67,785	)
08/06/2020	MSCI	COP	7,739,571,400		USD	1,935,298		(128,237	)
07/14/2020	JPM	CZK	47,309,528		USD	1,900,000		(52,033	)
07/14/2020	MSCI	CZK	34,309,834		USD	1,380,844		(34,810	)
07/17/2020	DB	EUR	2,596,768		USD	2,884,529		(693	)
07/17/2020	MSCI	EUR	909,152		USD	992,180		(17,962	)
07/27/2020	DB	EUR	580,000		USD	630,410		(14,154	)
07/27/2020	JPM	EUR	2,960,000		USD	3,199,784		(89,712	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/14/2020	JPM	GBP	8,289,000		USD	10,236,762		(3,143	)
08/14/2020	MSCI	GBP	1,420,000		USD	1,729,957		(24,255	)
07/14/2020	JPM	HUF	1,046,170,880		USD	3,170,169		(174,592	)
08/19/2020	BCLY	IDR	7,057,567,000		USD	470,000		(3,802	)
08/19/2020	JPM	IDR	13,238,750,000		USD	890,000		1,232
08/31/2020	MSCI	ILS	1,959,525		USD	559,848		732
06/04/2020	GS	INR	25,795,800		USD	340,000		(1,284	)
06/04/2020	JPM	INR	143,336,540		USD	1,892,372		(4,003	)
07/01/2020	GS	INR	34,092,900		USD	450,000		(277	)
06/02/2020	CITI	JPY	380,615,002		USD	3,457,557		(71,721	)
06/08/2020	BCLY	JPY	2,700,000,000		USD	25,773,213		735,869
06/09/2020	JPM	JPY	1,769,381,863		USD	16,060,000		(347,792	)
07/06/2020	JPM	JPY	1,300,000,000		USD	12,009,979		(50,391	)
07/13/2020	JPM	JPY	1,250,000,000		USD	11,678,563		80,812
07/17/2020	JPM	JPY	561,299,620		USD	5,221,151		12,982
07/27/2020	JPM	JPY	667,000,000		USD	6,209,488		19,603
08/11/2020	DB	JPY	1,100,000,000		USD	10,357,455		146,883
07/01/2020	BCLY	KRW	2,115,963,000		USD	1,730,000		13,550
07/14/2020	GS	NZD	740,793		USD	443,541		(16,213	)
07/14/2020	UBS	NZD	2,685,107		USD	1,632,810		(33,633	)
08/05/2020	JPM	NZD	2,120,000		USD	1,273,935		(41,591	)
08/05/2020	MSCI	NZD	28,360,000		USD	17,212,096		(386,168	)
06/02/2020	BCLY	PHP	25,830,990		USD	510,000		(292	)
06/02/2020	CITI	PHP	25,083,000		USD	500,000		4,484
06/02/2020	JPM	PHP	13,688,460		USD	270,000		(416	)
06/02/2020	MSCI	PHP	19,568,595		USD	386,540		(38	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Forward Currency Contracts (continued)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/02/2020	MSCI	PHP	16,835,870		USD	327,355		(5,238	)
09/01/2020	JPM	PHP	25,429,500		USD	500,000		(749	)
06/15/2020	BOA	PLN	1,328,712		USD	320,000		(11,245	)
06/15/2020	CITI	PLN	1,961,678		USD	470,000		(19,042	)
06/15/2020	JPM	PLN	4,965,365		USD	1,200,000		(37,855	)
06/15/2020	MSCI	PLN	8,126,520		USD	2,079,952		54,027
06/30/2020	CITI	RON	1,674,875		USD	380,000		(2,956	)
07/17/2020	MSCI	RUB	241,167,720		USD	3,225,803		(174,586	)
06/08/2020	JPM	SEK	64,012,811		USD	6,360,000		(433,923	)
08/18/2020	MSCI	SGD	331,492		USD	232,830		(1,875	)
06/15/2020	BCLY	THB	17,870,944		USD	560,000		(1,770	)
06/15/2020	MSCI	THB	20,907,675		USD	649,993		(7,236	)
07/16/2020	JPM	TRY	2,497,620		USD	360,000		(817	)
07/14/2020	UBS	USD	257,118		AUD	388,249		1,676
08/06/2020	JPM	USD	6,650,697		AUD	10,320,000		228,179
08/06/2020	MSCI	USD	5,105,880		AUD	7,800,000		93,270
08/04/2020	GS	USD	280,000		BRL	1,606,192		20,185
08/04/2020	MSCI	USD	1,830,000		BRL	9,836,910		8,445
06/02/2020	GS	USD	918,347		CAD	1,287,492		16,753
06/02/2020	MSCI	USD	4,668,740		CAD	6,619,905		139,267
06/03/2020	BOA	USD	5,500,000		CAD	7,375,659		(143,092	)
06/03/2020	DB	USD	4,440,000		CAD	6,129,051		11,503
06/03/2020	JPM	USD	22,631,712		CAD	30,579,227		(422,156	)
06/03/2020	MSCI	USD	1,880,000		CAD	2,628,556		29,108
08/04/2020	SSB	USD	3,388,918		CAD	4,664,266		(1,209	)
07/14/2020	GS	USD	220,076		CHF	212,775		1,411
07/14/2020	JPM	USD	658,110		CHF	634,671		2,546
07/14/2020	MSCI	USD	555,227		CHF	539,216		6,066
08/14/2020	DB	USD	110,000		CHF	106,425		881
08/14/2020	MSCI	USD	950,000		CHF	922,786		11,428
06/03/2020	JPM	USD	3,349,705		CLP	2,735,034,000		67,376
09/01/2020	MSCI	USD	350,000		CLP	282,695,000		3,277
07/14/2020	GS	USD	690,000		CZK	17,060,393		13,927
07/14/2020	JPM	USD	1,680,000		CZK	40,583,962		(5,470	)
06/17/2020	JPM	USD	5,907,241		EUR	5,432,363		124,772
06/17/2020	MSCI	USD	13,783,369		EUR	12,708,678		328,152
06/17/2020	SSB	USD	2,224,289		EUR	2,027,376		26,878
07/17/2020	BOA	USD	187,620		EUR	170,806		2,159
07/27/2020	JPM	USD	2,240,656		EUR	2,010,000		(6,910	)
07/17/2020	DB	USD	2,856,602		GBP	2,320,688		9,993
07/17/2020	JPM	USD	1,674,853		GBP	1,347,199		(10,747	)
07/17/2020	MSCI	USD	1,959,696		GBP	1,605,001		22,857
07/17/2020	SSB	USD	898,626		GBP	736,111		10,644
07/14/2020	CITI	USD	360,000		HUF	112,644,612		141
08/19/2020	JPM	USD	2,414,859		IDR	36,975,154,000		67,426
06/04/2020	JPM	USD	2,218,149		INR	169,132,340		19,511
07/01/2020	JPM	USD	829,635		INR	63,077,160		3,447

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/02/2020	JPM	USD	3,660,000		JPY	380,615,002		(130,722	)
06/09/2020	BOA	USD	3,000,000		JPY	318,769,500		(43,994	)
06/09/2020	CITI	USD	3,458,956		JPY	380,615,002		70,555
06/09/2020	DB	USD	1,320,000		JPY	141,150,504		(11,086	)
06/09/2020	JPM	USD	27,927,538		JPY	2,989,917,708		(201,500	)
06/09/2020	MSCI	USD	3,240,000		JPY	347,995,928		(12,972	)
07/13/2020	GS	USD	1,953,213		JPY	209,134,399		(12,822	)
07/13/2020	SSB	USD	6,041,490		JPY	647,010,022		(38,401	)
07/13/2020	UBS	USD	785,099		JPY	84,523,133		(876	)
07/17/2020	DB	USD	240,897		JPY	25,849,200		(1,048	)
07/01/2020	BCLY	USD	2,740,000		KRW	3,362,014,000		(12,764	)
07/01/2020	CITI	USD	303,567		KRW	375,488,180		1,026
07/01/2020	MSCI	USD	510,000		KRW	625,250,820		(2,802	)
08/21/2020	BOA	USD	590,000		MXN	13,856,957		27,646
08/21/2020	CITI	USD	590,000		MXN	13,192,155		(1,986	)
08/21/2020	JPM	USD	150,000		MXN	3,581,547		9,640
08/21/2020	MSCI	USD	1,800,955		MXN	42,955,116		113,684
06/04/2020	BOA	USD	2,400,000		NOK	22,292,825		(106,660	)
06/04/2020	JPM	USD	4,826,135		NOK	45,200,375		(176,215	)
08/11/2020	JPM	USD	4,690,000		NOK	47,225,406		170,634
08/11/2020	MSCI	USD	8,972,194		NOK	91,815,156		477,801
08/05/2020	BCLY	USD	1,169,241		NZD	1,905,000		12,871
08/05/2020	JPM	USD	5,801,854		NZD	9,475,000		77,678
08/06/2020	BCLY	USD	390,000		PEN	1,337,895		(131	)
08/06/2020	JPM	USD	1,720,000		PEN	5,875,260		(7,923	)
06/02/2020	JPM	USD	1,050,000		PHP	53,444,390		5,795
06/02/2020	MSCI	USD	930,000		PHP	47,562,525		9,599
09/01/2020	MSCI	USD	383,435		PHP	19,568,595		1,903
06/15/2020	CITI	USD	760,000		PLN	3,156,227		26,841
06/30/2020	DB	USD	460,000		RON	2,070,208		13,349
06/30/2020	MSCI	USD	187,105		RON	841,504		5,303
06/08/2020	MSCI	USD	11,021,239		SEK	104,344,686		53,258
08/04/2020	BCLY	USD	2,230,000		SEK	21,520,838		55,293
08/04/2020	JPM	USD	2,430,000		SEK	23,724,602		89,310
08/04/2020	MSCI	USD	10,844,224		SEK	106,961,465		513,988
08/18/2020	GS	USD	400,000		SGD	565,605		464
08/18/2020	JPM	USD	2,040,000		SGD	2,878,290		(2,092	)
06/15/2020	CITI	USD	670,000		THB	21,309,752		(131	)
06/16/2020	JPM	USD	590,000		TRY	4,194,015		22,165
07/16/2020	JPM	USD	2,145,286		TRY	15,196,150		50,018
07/07/2020	JPM	USD	480,000		TWD	14,382,240		805
07/07/2020	MSCI	USD	2,220,000		TWD	66,165,320		(8,061	)
07/31/2020	DB	USD	1,240,000		ZAR	22,238,534		19,361
07/31/2020	JPM	USD	1,100,000		ZAR	19,363,582		(3,446	)
							$	(1,434,131	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
16	Australian Government Bond 10 Yr.	June 2020		1,588,728		2,713
89	Euro STOXX 50	June 2020		3,029,859		280,122
11	Gilt Long Bond	September 2020		1,867,121		1,214
32	Hang Seng Index	June 2020		4,743,767		(22,896	)
222	Mini MSCI Emerging Markets	June 2020		10,355,190		258,156
53	MSCI Singapore	June 2020		1,083,892		(13,125	)
			$	22,668,557	$	506,184

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
9	Canadian Government Bond 10 Yr.	September 2020		1,004,292		3,451
72	E-mini Russell 2000 Index	June 2020		5,014,080		(361,981	)
1	Euro Bund	June 2020		191,439		766
89	FTSE/JSE TOP 40	June 2020		2,385,602		(40,487	)
261	S&P 500 E-Mini	June 2020		39,698,100		(4,782,140	)
17	SPI 200	June 2020		1,632,209		(64,602	)
4	TOPIX Index	June 2020		580,721		7,145
40	U.S. Treasury Note 10 Yr. (CBT)	September 2020		5,562,498		(12,121	)
			$	56,068,941	$	(5,249,969	)

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

Written Options

Equity Options

Description	Exercise Price		Expiration Date	Number of Contracts			Notional Amount				Value ($)
Equity Options – Puts
Walgreens Boots Alliance, Inc.(c)		55.00	06/19/20		(38	)		USD	(158,954	)		(47,994	)
Index Options – Puts
S&P 500 Index		2,825.00	06/05/20		(11	)		USD	(3,348,741	)		(2,310	)
S&P 500 Index		2,945.00	06/19/20		(13	)		USD	(3,957,603	)		(44,590	)
S&P 500 Index		3,025.00	06/26/20		(16	)		USD	(4,870,896	)		(106,080	)
S&P/ASX 200 Index		5,475.00	06/04/20		(23	)		AUD	(1,323,809	)		(2,216	)
S&P/ASX 200 Index		5,875.00	06/18/20		(16	)		AUD	(920,910	)		(20,862	)
S&P/ASX 200 Index		5,550.00	06/18/20		(11	)		AUD	(633,126	)		(4,999	)
S&P/ASX 200 Index		5,800.00	06/18/20		(16	)		AUD	(920,910	)		(17,064	)
		Total Index Options – Puts										(198,121	)
		TOTAL WRITTEN OPTIONS (Premiums $562,236)									$	(246,115	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2020 (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) ($)
6 Month AUD BBSW	0.95%	AUD	15,580,000		06/17/2030	Semi-Annually		2,480			65,303			62,823
6 Month AUD BBSW	0.94%	AUD	7,480,000		06/17/2030	Semi-Annually		—			26,483			26,483
6 Month AUD BBSW	0.91%	AUD	7,750,000		06/17/2030	Semi-Annually		—			14,825			14,825
6 Month AUD BBSW	0.90%	AUD	35,130,000		06/17/2030	Semi-Annually		12,800			35,180			22,380
6 Month AUD BBSW	0.90%	AUD	15,540,000		06/17/2030	Semi-Annually		—			20,621			20,621
6 Month AUD BBSW	0.92%	AUD	8,630,000		06/17/2030	Semi-Annually		—			20,441			20,441
6 Month AUD BBSW	0.89%	AUD	14,550,000		06/17/2030	Semi-Annually		13,403			9,834			(3,569	)
0.88%	6 Month AUD BBSW	AUD	13,660,000		06/17/2030	Semi-Annually		—			(784	)		(784	)
0.89%	6 Month AUD BBSW	AUD	6,850,000		06/17/2030	Semi-Annually		—			(5,076	)		(5,076	)
3 Month CAD LIBOR	1.10%	CAD	7,420,000		06/17/2030	Semi-Annually		—			51,125			51,125
3 Month CAD LIBOR	1.29%	CAD	3,260,000		06/17/2030	Semi-Annually		—			65,059			65,059
3 Month CAD LIBOR	1.07%	CAD	13,910,000		06/17/2030	Semi-Annually		2,239			66,369			64,130
3 Month CAD LIBOR	0.98%	CAD	11,620,000		06/17/2030	Semi-Annually		—			(22,526	)		(22,526	)
3 Month CAD LIBOR	1.00%	CAD	34,560,000		06/17/2030	Semi-Annually		5,184			(5,972	)		(11,156	)
1.10%	3 Month CAD LIBOR	CAD	120,000		06/17/2030	Semi-Annually		(143	)		(827	)		(684	)
1.04%	3 Month CAD LIBOR	CAD	2,870,000		06/17/2030	Semi-Annually		—			(7,410	)		(7,410	)
6 Month CHF LIBOR	(0.34)%	CHF	54,090,000		06/17/2030	Semi-Annually		241,341			39,453			(201,888	)
6 Month CHF LIBOR	(0.40)%	CHF	4,940,000		06/17/2030	Semi-Annually		—			(29,565	)		(29,565	)
0.63%	3 Month NZD Bank Bill Rate	NZD	2,750,000		06/17/2030	Quarterly		(1,167	)		14,461			15,628
0.70%	3 Month NZD Bank Bill Rate	NZD	3,640,000		06/17/2030	Quarterly		—			2,727			2,727
3 Month SEK STIBOR	0.37%	SEK	121,600,000		06/17/2030	Quarterly		(14,757	)		(12,147	)		2,610
3 Month SEK STIBOR	0.40%	SEK	249,400,000		06/17/2030	Quarterly		35,682			67,199			31,517
3 Month SEK STIBOR	0.35%	SEK	61,900,000		06/17/2030	Quarterly		—			(14,348	)		(14,348	)
(0.01)%	6 Month EURIBOR	EUR	4,320,000		06/19/2030	Semi-Annually		—			(58,505	)		(58,505	)
(0.01)%	6 Month EURIBOR	EUR	1,630,000		06/19/2030	Semi-Annually		—			(22,723	)		(22,723	)
(0.15)%	6 Month EURIBOR	EUR	5,660,000		06/19/2030	Semi-Annually		—			14,007			14,007
(0.14)%	6 Month EURIBOR	EUR	4,780,000		06/19/2030	Semi-Annually		—			3,684			3,684
(0.14)%	6 Month EURIBOR	EUR	5,780,000		06/19/2030	Semi-Annually		—			9,379			9,379
(0.13)%	6 Month EURIBOR	EUR	4,250,000		06/19/2030	Semi-Annually		—			(104	)		(104	)
(0.12)%	6 Month EURIBOR	EUR	48,140,000		06/19/2030	Semi-Annually		(28,550	)		(69,537	)		(40,987	)
(0.09)%	6 Month EURIBOR	EUR	3,800,000		06/19/2030	Semi-Annually		—			(17,576	)		(17,576	)
0.50%	6 Month GBP LIBOR	GBP	9,520,000		06/19/2030	Semi-Annually		82,865			(115,705	)		(198,570	)
0.57%	6 Month GBP LIBOR	GBP	5,230,000		06/19/2030	Semi-Annually		—			(105,422	)		(105,422	)
0.56%	6 Month GBP LIBOR	GBP	3,850,000		06/19/2030	Semi-Annually		—			(75,235	)		(75,235	)
6 Month GBP LIBOR	0.48%	GBP	3,730,000		06/19/2030	Semi-Annually		—			36,608			36,608
6 Month GBP LIBOR	0.48%	GBP	1,780,000		06/19/2030	Semi-Annually		—			17,689			17,689
0.46%	6 Month GBP LIBOR	GBP	17,220,000		06/19/2030	Semi-Annually		(70,243	)		(130,840	)		(60,597	)
0.70%	3 Month USD LIBOR	USD	55,510,000		06/19/2030	Quarterly		(60,896	)		(297,122	)		(236,226	)
3 Month USD LIBOR	0.69%	USD	4,540,000		06/19/2030	Quarterly		—			19,588			19,588
3 Month USD LIBOR	0.65%	USD	2,120,000		06/19/2030	Quarterly		—			658			658
3 Month USD LIBOR	0.67%	USD	5,040,000		06/19/2030	Quarterly		—			9,786			9,786
3 Month USD LIBOR	0.69%	USD	3,390,000		06/19/2030	Quarterly		—			15,296			15,296
3 Month USD LIBOR	0.66%	USD	2,170,000		06/19/2030	Quarterly		—			3,355			3,355
3 Month USD LIBOR	0.67%	USD	2,170,000		06/19/2030	Quarterly		—			4,321			4,321
3 Month USD LIBOR	0.64%	USD	5,060,000		06/19/2030	Quarterly		—			(3,182	)		(3,182	)
0.68%	3 Month USD LIBOR	USD	2,670,000		06/19/2030	Quarterly		—			(8,880	)		(8,880	)
0.70%	3 Month USD LIBOR	USD	1,970,000		06/19/2030	Quarterly		—			(10,447	)		(10,447	)
0.70%	3 Month USD LIBOR	USD	1,980,000		06/19/2030	Quarterly		—			(10,402	)		(10,402	)
							$	220,238		$	(390,884	)	$	(611,122	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2020 (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 MSCI ACWI Commodity Producers Index	3 Month USD LIBOR plus a spread of (0.35)%	MSCI	USD	5,429,435		02/25/2021	Quarterly		—		30,332		30,332
Total Return on MSCI ACWI Commodity Producers Index	3 Month USD LIBOR plus a spread of (0.35)%	MSCI	USD	5,896,483		02/25/2021	Quarterly		—		33,095		33,095
								$	—	$	63,427	$	63,427

As of May 31, 2020, 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 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) Investment valued using significant unobservable inputs.

(f) The rate disclosed is the 7 day net yield as of May 31, 2020.

(g) 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.

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

The rates shown on variable rate notes are the current interest rates at May 31, 2020, 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.

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.

DB - Deutsche Bank AG

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 Securities LLC

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)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	9,290,364	GMO Emerging Country Debt Fund, Class IV		230,958,450
	5,525,799	GMO High Yield Fund, Class VI		106,537,411
	531,512,755	GMO Implementation Fund		6,250,589,996
	14,961,700	GMO Opportunistic Income Fund, Class VI		379,877,574
	6,637,539	GMO SGM Major Markets Fund, Class VI		211,870,240
	8,873,957	GMO Special Opportunities Fund, Class VI		220,784,059
		TOTAL MUTUAL FUNDS (COST $8,031,108,257)		7,400,617,730
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	4,715,440	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12%(a)		4,715,440
		TOTAL SHORT-TERM INVESTMENTS (COST $4,715,440)		4,715,440
		TOTAL INVESTMENTS — 100.1% (Cost $8,035,823,697)		7,405,333,170
		Other Assets and Liabilities (net) — (0.1%)		(4,439,239	)
		TOTAL NET ASSETS — 100.0%		$7,400,893,931

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2020.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 64.9%
		Australia — 0.9%
	184,434	Accent Group Ltd		166,905
	38,235	Adairs Ltd		47,694
	68,413	Ampol Ltd		1,237,690
	33,252	Ansell Ltd		780,355
	53,637	Appen Ltd		1,104,583
	100,903	Asaleo Care Ltd		68,744
	120,266	Austal Ltd		268,456
	392,187	Australian Pharmaceutical Industries Ltd *		294,271
	50,822	Aventus Group (REIT)		67,269
	182,940	Beach Energy Ltd		197,651
	53,403	Brickworks Ltd		551,006
	33,742	Coca-Cola Amatil Ltd		197,322
	40,010	Codan Ltd		188,541
	135,940	CSR Ltd *		370,592
	951,340	Fortescue Metals Group Ltd		8,806,942
	141,409	GDI Property Group (REIT)		102,362
	171,774	Genworth Mortgage Insurance Australia Ltd		240,510
	65,593	JB Hi-Fi Ltd		1,626,720
	1,955	Magellan Financial Group Ltd		76,450
	146,532	Mount Gibson Iron Ltd		66,426
	86,132	Rio Tinto Ltd		5,379,731
	186,601	Sandfire Resources NL		546,350
	2,017	Select Harvests Ltd		8,342
	305,855	Southern Cross Media Group Ltd (a)		47,833
	4,608	Super Retail Group Ltd		25,755
	13,140	Virtus Health Ltd (a)		27,734
		Total Australia		22,496,234
		Austria — 0.0%
	11,646	Vienna Insurance Group AG Wiener Versicherung Gruppe		245,608
		Belgium — 0.4%
	10,593	Ageas SA *		361,584
	78,192	AGFA-Gevaert NV *		314,723
	2,567	Barco NV		449,646
	2,175	Colruyt SA		131,280
	72,033	UCB SA		7,209,434
		Total Belgium		8,466,667
		Brazil — 1.2%
	155,700	Banco do Brasil SA		899,835
	33,400	Banco Santander Brasil SA		159,605
	271,900	Camil Alimentos SA		505,962
	379,000	Cia de Saneamento Basico do Estado de Sao Paulo		3,857,969
	14,900	Cia de Saneamento de Minas Gerais-COPASA		161,110
	53,800	Cia Paranaense de Energia		600,881
	36,300	Construtora Tenda SA		170,674

Shares		Description	Value ($)
		Brazil — continued
	48,900	Cyrela Brazil Realty SA Empreendimentos e Participacoes		155,324
	128,000	Embraer SA *		178,221
	117,500	Grendene SA		159,858
	192,500	Hypera SA		1,162,294
	48,100	Instituto Hermes Pardini SA		166,844
	2,139,700	JBS SA		8,809,326
	96,800	Mahle-Metal Leve SA		322,346
	1,776,140	Petrobras Distribuidora SA		7,202,682
	115,000	Petroleo Brasileiro SA Sponsored ADR		877,450
	228,300	Qualicorp Consultoria e Corretora de Seguros SA		1,014,800
	37,900	Sao Martinho SA		137,998
	21,100	Ser Educacional SA		57,571
	522,400	TIM Participacoes SA		1,333,337
	199,800	Tupy SA		567,990
	107,500	Vale SA		1,067,687
		Total Brazil		29,569,764
		Canada — 1.5%
	1,700	Absolute Software Corp		16,422
	41,300	AGF Management Ltd – Class B (a)		112,485
	400	Atco Ltd - Class I		11,275
	16,200	Bank of Nova Scotia (The)		649,130
	38,400	Bausch Health Cos Inc *		707,284
	37,137	BRP Inc Sub Voting *		1,286,046
	28,400	Canaccord Genuity Group Inc (a)		116,129
	2,000	Canadian Imperial Bank of Commerce		128,249
	3,200	Canadian Western Bank (a)		52,502
	12,300	Canfor Pulp Products Inc * (a)		55,655
	24,500	Cascades Inc (a)		251,255
	62,700	Celestica Inc * (a)		427,153
	11,600	Centerra Gold Inc		117,698
	1,000	CGI Inc *		63,899
	60,000	CI Financial Corp (a)		711,189
	16,300	Cogeco Communications Inc (a)		1,217,247
	7,600	Cogeco Inc (a)		476,252
	4,100	Enerflex Ltd		16,438
	6,100	Enghouse Systems Ltd		265,115
	39,300	Fortuna Silver Mines Inc *		176,457
	5,300	Franco-Nevada Corp		743,929
	100	Home Capital Group Inc *		1,379
	106,500	iA Financial Corp Inc		3,401,100
	29,100	IGM Financial Inc (a)		691,121
	15,900	Labrador Iron Ore Royalty Corp (a)		258,793
	14,000	Magna International Inc (b)		590,362
	18,100	Magna International Inc (b)		763,458
	50,400	Martinrea International Inc (a)		331,278
	9,200	Morguard North American Residential Real Estate Investment Trust		95,351
	31,100	National Bank of Canada		1,354,364
	38,000	Nutrien Ltd		1,292,000

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	22,400	Real Matters Inc *		386,389
	10,300	Rogers Sugar Inc		35,235
	159,600	Royal Bank of Canada		10,354,845
	17,200	Russel Metals Inc (a)		182,887
	131,000	Sun Life Financial Inc (a) (b)		4,493,685
	60,900	Sun Life Financial Inc (b) (c)		2,094,960
	12,800	Teekay Tankers Ltd – Class A * (a)		222,464
	37,500	Teranga Gold Corp *		294,694
	9,500	Timbercreek Financial Corp		56,647
	19,200	Transcontinental Inc – Class A		166,920
	11,200	Wajax Corp (a)		68,086
	13,200	Westshore Terminals Investment Corp (a)		140,259
		Total Canada		34,878,086
		Chile — 0.2%
	538,936	Banco de Chile		45,793
	997,843	Banco Santander Chile		40,642
	7,879,617	Enel Americas SA		1,146,896
	378,000	Enel Americas SA ADR		2,804,760
	5,354	Inversiones La Construccion SA		34,783
	12,354,396	Itau CorpBanca Chile SA		28,710
	14,804	Parque Arauco SA		24,969
		Total Chile		4,126,553
		China — 10.5%
	488,000	7Road Holdings Ltd * (d)		87,193
	10,000	AAC Technologies Holdings Inc		51,843
	3,401,668	Agile Group Holdings Ltd		3,530,449
	1,013,000	Agricultural Bank of China Ltd – Class A		482,732
	21,272,000	Agricultural Bank of China Ltd – Class H		8,632,848
	21,400	Alibaba Group Holding Ltd *		553,337
	53,700	Alibaba Group Holding Ltd Sponsored ADR *		11,136,843
	432,683	Anhui Conch Cement Co Ltd – Class A		3,453,356
	1,959,000	Anhui Conch Cement Co Ltd – Class H		14,771,827
	180,500	Anhui Expressway Co Ltd – Class A		131,737
	6,000	ANTA Sports Products Ltd		53,772
	19,000	Aoyuan Healthy Life Group Co *		21,321
	112,500	Asia Cement China Holdings Corp		129,344
	6,702,000	BAIC Motor Corp Ltd – Class H		2,716,828
	32,299,000	Bank of China Ltd – Class H		11,872,519
	17,965,000	Bank of Communications Co Ltd – Class H		10,945,875
	284,000	BBMG Corp – Class H		58,987
	78,000	Beijing Capital International Airport Co Ltd – Class H		48,867
	42,000	Beijing Enterprises Water Group Ltd *		15,966
	446,900	Beijing North Star Co Ltd – Class A		170,644
	250,000	CGN Power Co Ltd – Class H		57,592
	32,000	China Aoyuan Group Ltd		34,313
	5,124,000	China Cinda Asset Management Co Ltd – Class H		954,481
	7,307,000	China CITIC Bank Corp Ltd – Class H		3,193,191
	260,000	China Coal Energy Co Ltd – Class H		62,388
	2,836,000	China Communications Services Corp Ltd – Class H		1,891,268

Shares		Description	Value ($)
		China — continued
	1,009,400	China Construction Bank Corp – Class A		901,551
	8,108,000	China Construction Bank Corp – Class H		6,394,725
	3,444,000	China Everbright Bank Co Ltd – Class H		1,402,444
	11,000	China Gas Holdings Ltd		38,889
	1,058,000	China Greenfresh Group Co Ltd *		13,684
	1,065,000	China Huarong Asset Management Co Ltd – Class H		109,551
	946,000	China Jinmao Holdings Group Ltd		660,451
	26,000	China Kepei Education Group Ltd		21,196
	3,860,000	China Lesso Group Holdings Ltd		4,692,788
	538,000	China Lilang Ltd		287,575
	2,101,000	China Machinery Engineering Corp – Class H		499,737
	3,936,645	China Medical System Holdings Ltd		4,514,386
	40,639	China Merchants Bank Co Ltd – Class A		193,160
	340,500	China Mobile Ltd		2,407,586
	9,916,000	China National Building Material Co Ltd – Class H		11,249,596
	169,358	China National Chemical Engineering Co Ltd – Class A		132,220
	730,000	China Oriental Group Co Ltd		202,529
	256,000	China Overseas Grand Oceans Group Ltd		137,213
	648,000	China Overseas Land & Investment Ltd		1,987,273
	110,000	China Overseas Property Holdings Ltd		125,594
	157,600	China Pacific Insurance Group Co Ltd – Class A		626,976
	201,200	China Pacific Insurance Group Co Ltd – Class H		559,236
	4,400	China Petroleum & Chemical Corp ADR		209,132
	22,262,000	China Petroleum & Chemical Corp – Class H		10,386,786
	162,000	China Pioneer Pharma Holdings Ltd		25,781
	8,050,000	China Railway Construction Corp Ltd – Class H		7,227,977
	5,316,042	China Railway Group Ltd – Class H		2,918,595
	287,000	China Reinsurance Group Corp – Class H		30,189
	722,000	China Resources Cement Holdings Ltd		912,187
	86,000	China Resources Gas Group Ltd		471,129
	522,000	China Resources Land Ltd		2,081,636
	5,690,500	China Resources Pharmaceutical Group Ltd		3,111,228
	1,825,000	China SCE Group Holdings Ltd		759,725
	885,379	China Shenhua Energy Co Ltd – Class A		2,034,169
	1,284,000	China Shenhua Energy Co Ltd – Class H		2,351,906
	807,000	China Shineway Pharmaceutical Group Ltd		512,219
	48,200	China Taiping Insurance Holdings Co Ltd		72,107
	14,854,000	China Telecom Corp Ltd – Class H		4,927,558
	667,525	China Vanke Co Ltd – Class A		2,411,305
	85,600	China Vanke Co Ltd – Class H		279,440
	21,000	China Yuchai International Ltd		259,560
	188,000	China Zhongwang Holdings Ltd		35,410
	438,000	Chongqing Rural Commercial Bank Co Ltd – Class H		168,770
	1,638,000	CNOOC Ltd		1,871,351
	1,082,604	Country Garden Holdings Co Ltd		1,355,141
	43,500	Dali Foods Group Co Ltd		27,669
	142,000	Dalian Port PDA Co Ltd – Class H		11,942
	111,800	Dalian Port PDA Co Ltd – Class A		26,489

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		China — continued
	702,070	Daqin Railway Co Ltd – Class A		671,102
	302,000	Datang International Power Generation Co Ltd – Class H		40,519
	2,083,000	Dongyue Group Ltd		833,090
	138,000	Edvantage Group Holdings Ltd		102,266
	8,100	ENN Energy Holdings Ltd		95,094
	579,000	Fantasia Holdings Group Co Ltd		101,196
	70,000	Fu Shou Yuan International Group Ltd		65,418
	1,269,000	Geely Automobile Holdings Ltd		1,753,393
	197,500	Great Wall Motor Co Ltd – Class H		125,782
	157,000	Greenland Hong Kong Holdings Ltd		51,390
	29,500	Greentown China Holdings Ltd		29,723
	44,000	Greentown Service Group Co Ltd		59,293
	980,000	Guangdong Investment Ltd		1,937,875
	792,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		1,936,061
	4,342,279	Guangzhou R&F Properties Co Ltd – Class H		5,395,732
	203,000	Haier Electronics Group Co Ltd		568,376
	43,000	Haitian International Holdings Ltd		91,502
	61,500	Hebei Construction Group Corp Ltd – Class H		53,893
	255,489	Hisense Home Appliances Group Co Ltd – Class A		425,688
	621,000	Hisense Home Appliances Group Co Ltd – Class H		760,389
	18,500	Hollysys Automation Technologies Ltd		231,065
	2,310,000	Huabao International Holdings Ltd		808,885
	342,000	Huadian Power International Corp Ltd – Class H		105,007
	95,298	Huaxin Cement Co Ltd – Class A		332,648
	2,454,000	IGG Inc		1,493,479
	1,600,270	Industrial & Commercial Bank of China Ltd – Class A		1,148,881
	5,552,000	Industrial & Commercial Bank of China Ltd – Class H		3,596,130
	139,000	Kingboard Holdings Ltd		338,478
	113,000	Kingboard Laminates Holdings Ltd		99,816
	104,000	Kunlun Energy Co Ltd		64,143
	6,189	Lao Feng Xiang Co Ltd – Class A		40,383
	129,000	Lee & Man Paper Manufacturing Ltd		69,814
	492,384	Livzon Pharmaceutical Group Inc – Class H		1,983,863
	368,400	Logan Property Holdings Co Ltd		553,681
	185,500	Longfor Group Holdings Ltd		848,316
	3,178,000	Lonking Holdings Ltd		1,074,779
	112,000	Maanshan Iron & Steel Co Ltd – Class H		32,076
	2,117,000	Metallurgical Corp of China Ltd – Class H		329,065
	185,887	Midea Group Co Ltd – Class A		1,542,385
	13,100	NetEase Inc ADR (a)(c)		5,015,990
	18,600	New China Life Insurance Co Ltd – Class H		58,393
	939,000	Nexteer Automotive Group Ltd		515,635
	2,176,000	Nine Dragons Paper Holdings Ltd		1,913,347
	114,000	PAX Global Technology Ltd		44,292
	359,000	People’s Insurance Co Group of China Ltd (The) – Class H		108,598
	5,732,000	PICC Property & Casualty Co Ltd – Class H		5,015,072

Shares		Description	Value ($)
		China — continued
	257,500	Ping An Insurance Group Co of China Ltd – Class A		2,562,435
	425,000	Poly Property Group Co Ltd		136,493
	12,094,000	Postal Savings Bank of China Co Ltd – Class H		7,746,151
	925,000	Powerlong Real Estate Holdings Ltd		516,811
	34,000	Q Technology Group Co Ltd *		43,363
	15,070	Qingdao Port International Co Ltd – Class A		12,087
	144,000	Qingling Motors Co Ltd – Class H		30,401
	116,000	Redsun Properties Group Ltd		40,704
	282,000	Road King Infrastructure Ltd		367,864
	316,000	Shanghai Jin Jiang Capital Co Ltd – Class H		58,285
	3,061,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		4,853,334
	27,684	Shenzhen Expressway Co Ltd – Class A		34,914
	2,000	Shenzhen Expressway Co Ltd – Class H		2,030
	420,858	Shenzhen Investment Ltd		130,447
	43,500	Shenzhou International Group Holdings Ltd		523,453
	3,632,500	Shimao Property Holdings Ltd		15,234,134
	73,500	Shui On Land Ltd		12,193
	1,217,000	Sino Biopharmaceutical Ltd		1,923,019
	205,500	Sinopec Engineering Group Co Ltd – Class H		86,411
	126,473	Sinopec Shanghai Petrochemical Co Ltd – Class A		63,235
	5,072,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		1,262,634
	189,600	Sinopharm Group Co Ltd – Class H		468,258
	334,000	Sinotrans Ltd – Class H		68,942
	708,000	Sinotruk Hong Kong Ltd		1,725,745
	336,321	Suning Universal Co Ltd – Class A		141,477
	3,700	Sunny Optical Technology Group Co Ltd		49,724
	373,000	TCL Electronics Holdings Ltd		158,680
	245,000	Texhong Textile Group Ltd		168,880
	646,000	Tianjin Port Development Holdings Ltd		39,788
	2,440,000	Tianneng Power International Ltd		2,472,631
	14,000	Times China Holdings Ltd		20,725
	127,000	Towngas China Co Ltd *		58,491
	109,000	Vinda International Holdings Ltd		331,771
	508,000	Want Want China Holdings Ltd		368,371
	2,568,000	Weichai Power Co Ltd – Class H		4,448,629
	541,788	Weifu High-Technology Group Co Ltd – Class A		1,494,210
	3,440,000	West China Cement Ltd		643,676
	523,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		337,306
	194,500	Xtep International Holdings Ltd		63,072
	209,600	YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H		745,102
	2,500	Yum China Holdings Inc (a)		115,850
	434,911	Yuzhou Properties Co Ltd		179,335
	354,000	Zhejiang Expressway Co Ltd – Class H		249,372
	217,664	Zhejiang Weixing New Building Materials Co Ltd – Class A		365,060
	31,600	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		22,713

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		China — continued
	274,000	Zhongsheng Group Holdings Ltd		1,417,628
		Total China		250,955,119
		Colombia — 0.0%
	6,571	Grupo Argos SA		15,326
		Cyprus — 0.0%
	19,700	QIWI Plc Sponsored ADR		274,717
		Czech Republic — 0.0%
	28,574	Moneta Money Bank AS		63,547
		Denmark — 0.0%
	1,790	Coloplast A/S – Class B		302,752
	10,818	Matas A/S		96,742
	1,506	Ringkjoebing Landbobank A/S		104,913
	20,334	Scandinavian Tobacco Group A/S		306,136
		Total Denmark		810,543
		Finland — 0.1%
	7,129	Aktia Bank Oyj		70,770
	50,989	Neste Oyj		2,077,746
	21,245	Tokmanni Group Corp		287,107
		Total Finland		2,435,623
		France — 2.6%
	3,147	AKWEL		53,624
	14,263	Alten SA		1,152,172
	11,437	APERAM SA		314,721
	14,887	Arkema		1,305,445
	902	Assystem SA		21,607
	839	Axway Software SA		14,018
	77,359	BNP Paribas SA *		2,783,796
	721	Boiron SA		26,383
	1,005	Bonduelle SCA		23,580
	357	Caisse Regionale de Credit Agricole Mutuel Nord de France		9,455
	2,687	Christian Dior SE		1,143,230
	67,093	Coface SA		384,974
	8,375	Dassault Systemes SE		1,429,880
	45,243	Derichebourg SA		139,891
	6,983	Eiffage SA *		637,445
	27,355	Gaztransport Et Technigaz SA		2,053,281
	1,371	GL Events		19,096
	337	Groupe Crit		20,645
	389	HEXAOM		12,831
	3,802	Interparfums SA *		138,464
	31,243	IPSOS		764,656
	9,029	Kaufman & Broad SA		320,511
	2,669	Kering SA		1,399,250
	56,152	L’Oreal SA (c)		16,470,020
	3,741	LVMH Moet Hennessy Louis Vuitton SE		1,569,445

Shares		Description	Value ($)
		France — continued
	51,232	Metropole Television SA		597,602
	5,435	Nexans SA *		222,733
	279,189	Peugeot SA *		4,007,869
	33,598	Quadient		487,371
	6,283	Rothschild & Co *		130,959
	25,889	Safran SA		2,494,634
	154,128	Sanofi		15,075,995
	24,400	Sanofi ADR (c)		1,198,284
	3,740	Schneider Electric SE		370,308
	47,947	STMicroelectronics NV		1,190,761
	203,400	STMicroelectronics NV – NY Shares		5,054,490
	695	Synergie SA		16,338
	387	Union Financiere de France BQE SA		6,517
	4,054	Vicat SA		122,126
	675	Vilmorin & Cie SA		35,544
		Total France		63,219,951
		Germany — 1.5%
	841	adidas AG *		223,039
	16,064	Allianz SE (Registered)		2,911,378
	2,142	Amadeus Fire AG *		241,257
	9,145	Bayer AG (Registered)		625,148
	3,141	Bayerische Motoren Werke AG		184,082
	1,478	Bechtle AG		262,516
	4,765	Beiersdorf AG		500,511
	2,412	bet-at-home.com AG		108,446
	20,831	Borussia Dortmund GmbH & Co KGaA		146,748
	14,837	Carl Zeiss Meditec AG *		1,518,298
	253,566	CECONOMY AG *		752,340
	3,324	Cewe Stiftung & Co KGaA		340,142
	2,813	Covestro AG		104,579
	17,584	CropEnergies AG		172,608
	27,121	Deutsche Lufthansa AG (Registered) * (a)		275,702
	255,666	Deutsche Pfandbriefbank AG (c)		1,768,519
	70,571	Deutz AG		281,810
	141,378	Dialog Semiconductor Plc *		5,653,570
	1,823	Draegerwerk AG & Co KGaA		117,818
	8,018	DWS Group GmbH & Co KGaA		302,152
	2,353	Eckert & Ziegler Strahlen- und Medizintechnik AG		372,367
	3,649	Elmos Semiconductor AG		81,829
	1,578	Gerresheimer AG		135,015
	417	Grammer AG		9,130
	18,705	Hamburger Hafen und Logistik AG		305,211
	20,997	Hannover Rueck SE		3,390,971
	1,841	HelloFresh SE *		75,274
	9,992	Henkel AG & Co KGaA		803,576
	4,006	Hornbach Holding AG & Co KGaA		288,644
	94,328	Infineon Technologies AG		1,988,220
	2,452	KWS Saat SE & Co KGaA		172,707
	13,796	Merck KGaA		1,590,334
	16,237	METRO AG		151,882

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	16,406	Siemens AG (Registered)		1,808,839
	44,727	Siemens Healthineers AG		2,322,272
	12,686	Siltronic AG		1,253,132
	30,432	Software AG * (c)		1,177,895
	24,580	Takkt AG		239,197
	20,737	Talanx AG *		729,867
	19,411	VERBIO Vereinigte BioEnergie AG		193,408
	20,934	Volkswagen AG		3,330,667
	654	Washtec AG		26,919
		Total Germany		36,938,019
		Greece — 0.0%
	143,138	Alpha Bank AE *		88,184
	199,016	Eurobank Ergasias Services and Holdings SA *		85,274
	12,055	FF Group * (d)		—
	5,703	JUMBO SA		103,771
	96,217	National Bank of Greece SA *		129,128
	1,525	Titan Cement International SA *		19,129
		Total Greece		425,486
		Hong Kong — 0.6%
	98,300	ASM Pacific Technology Ltd		901,898
	28,700	Budweiser Brewing Co APAC Ltd *		80,901
	166,000	Cafe de Coral Holdings Ltd		299,594
	341,400	Champion (REIT)		155,308
	1,108,000	CITIC Telecom International Holdings Ltd		352,430
	3,000	CK Asset Holdings Ltd		16,478
	550,000	CSI Properties Ltd		15,778
	110,100	Dah Sing Banking Group Ltd		97,903
	119,600	Dah Sing Financial Holdings Ltd		334,736
	15,000	Emperor Entertainment Hotel Ltd		1,944
	488,000	Giordano International Ltd		70,141
	694,000	HKT Trust & HKT Ltd – Class SS		987,283
	437,000	Johnson Electric Holdings Ltd		751,793
	54,800	Luk Fook Holdings International Ltd		96,607
	48,000	Pico Far East Holdings Ltd		6,206
	85,000	Prosperity REIT		24,048
	79,000	Regal Real Estate Investment Trust		11,483
	268,000	Shun Tak Holdings Ltd *		95,377
	437,000	SJM Holdings Ltd		488,278
	130,000	Sun Hung Kai & Co Ltd		52,246
	16,000	TAI Cheung Holdings Ltd		10,172
	180,000	Texwinca Holdings Ltd		23,847
	132,000	VSTECS Holdings Ltd		59,049
	220,200	VTech Holdings Ltd		1,333,311
	6,023,000	WH Group Ltd		5,239,674
	162,500	Wheelock & Co Ltd		1,103,098
	138,000	Xinyi Glass Holdings Ltd		146,615
	567,500	Yue Yuen Industrial Holdings Ltd		817,163
		Total Hong Kong		13,573,361

Shares		Description	Value ($)
		Hungary — 0.1%
	349,530	Magyar Telekom Telecommunications Plc		439,432
	53,075	Richter Gedeon Nyrt		1,159,979
		Total Hungary		1,599,411
		India — 1.2%
	9,016	Ajanta Pharma Ltd		182,607
	7,784	Alembic Pharmaceuticals Ltd		88,877
	12,113	Alkem Laboratories Ltd		364,033
	21,504	Amara Raja Batteries Ltd		175,425
	307,106	Ashok Leyland Ltd		172,405
	8,637	Asian Paints Ltd		191,791
	58,123	Aurobindo Pharma Ltd		564,455
	75,088	Bajaj Auto Ltd		2,697,822
	364,498	Balrampur Chini Mills Ltd		481,506
	7,301	Bharat Electronics Ltd		6,677
	3,512	Coal India Ltd		6,561
	64,400	Dr Reddy’s Laboratories Ltd ADR		3,441,536
	97,061	Granules India Ltd		220,519
	991,633	HCL Technologies Ltd		7,260,366
	7,626	HDFC Bank Ltd		96,100
	15,578	Hero MotoCorp Ltd		483,646
	229,649	Hindustan Petroleum Corp Ltd		586,717
	11,596	Hindustan Unilever Ltd		316,322
	8,484	Housing Development Finance Corp Ltd		188,082
	44,960	ICICI Bank Ltd		195,595
	25,776	Indiabulls Housing Finance Ltd		41,953
	1,592,490	Indian Oil Corp Ltd		1,763,939
	306,308	ITC Ltd		799,023
	108,659	Just Dial Ltd *		565,215
	12,917	Kotak Mahindra Bank Ltd		209,816
	748	Mahanagar Gas Ltd		9,649
	95,791	Mahindra & Mahindra Financial Services Ltd		176,973
	159,427	Manappuram Finance Ltd		265,671
	30,420	Mphasis Ltd		349,483
	41,594	Narayana Hrudayalaya Ltd		150,545
	608,087	National Aluminium Co Ltd		236,065
	49,681	Phillips Carbon Black Ltd		47,553
	13,683	Polycab India Ltd *		123,959
	1,921,552	Power Finance Corp Ltd		1,904,747
	532,044	PTC India Ltd		232,356
	61,576	Rain Industries Ltd		59,201
	22,641	Rajesh Exports Ltd		145,383
	2,344,923	REC Ltd		2,759,851
	23,904	Shriram Transport Finance Co Ltd		180,917
	39,108	Sonata Software Ltd		104,620
	371,105	Tata Power Co Ltd (The)		179,378
	10,508	Titan Co Ltd		124,193
	22,170	Torrent Power Ltd		94,216
	68,300	Vedanta Ltd ADR		333,304
	32,283	Welspun Corp Ltd		24,829
	22,576	Wipro Ltd		63,301
		Total India		28,667,182

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Indonesia — 0.1%
	330,700	Astra International Tbk PT		108,225
	252,500	Bank Central Asia Tbk PT		449,295
	690,900	Bank Mandiri Persero Tbk PT		212,316
	431,000	Bank Negara Indonesia Persero Tbk PT		113,445
	2,268,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		75,903
	3,535,900	Bank Rakyat Indonesia Persero Tbk PT		715,966
	826,500	Bank Tabungan Negara Persero Tbk PT		42,994
	499,900	Bukit Asam Tbk PT		66,551
	565,900	Bumi Serpong Damai Tbk PT *		24,596
	260,200	Indo Tambangraya Megah Tbk PT		144,818
	316,200	Jasa Marga Persero Tbk PT		76,832
	500,000	Matahari Department Store Tbk PT *		49,722
	83,100	Pabrik Kertas Tjiwi Kimia Tbk PT		22,581
	1,162,000	Pakuwon Jati Tbk PT		28,791
	1,417,500	Panin Financial Tbk PT *		16,361
	3,454,100	Ramayana Lestari Sentosa Tbk PT		135,127
	782,800	Telekomunikasi Indonesia Persero Tbk PT		168,925
		Total Indonesia		2,452,448
		Ireland — 0.3%
	119,693	AIB Group Plc *		132,013
	162,127	Bank of Ireland Group Plc		289,563
	16,806	CRH Plc		541,182
	87,800	CRH Plc Sponsored ADR		2,823,648
	1,843	Flutter Entertainment Plc * (a)		234,479
	9,518	Glanbia Plc		104,155
	307,199	Hibernia REIT Plc		372,518
	155,047	Irish Residential Properties REIT Plc		225,826
	5,502	Kerry Group Plc – Class A		681,702
	54,941	Origin Enterprises Plc		169,043
	32,738	Permanent TSB Group Holdings Plc *		16,732
	82,536	Ryanair Holdings Plc *		1,023,988
	41,960	Smurfit Kappa Group Plc		1,370,232
	28,153	Total Produce Plc		35,581
		Total Ireland		8,020,662
		Israel — 0.0%
	5,581	AudioCodes Ltd		202,507
	8,692	Discount Investment Corp Ltd (Registered) *		12,371
	2,045	Fox Wizel Ltd		76,759
	1,340	Israel Corp Ltd (The) *		158,175
	706,169	Oil Refineries Ltd		171,111
		Total Israel		620,923
		Italy — 1.5%
	43,198	ACEA SPA		837,676
	200,473	Anima Holding SPA		849,886
	10,531	Ascopiave SPA		47,699
	12,492	Azimut Holding SPA		208,393
	2,710	Banca Generali SPA		73,940

Shares		Description	Value ($)
		Italy — continued
	158,567	Banca Mediolanum SPA		1,060,085
	110,221	Buzzi Unicem SPA		2,203,935
	5,071	Buzzi Unicem SpA – RSP		58,760
	15,485	Cementir Holding NV		106,060
	93,324	Cofide SPA		42,498
	14,979	Credito Emiliano SPA		72,194
	4,091	El.En. SPA		97,875
	135,695	Enav SPA		618,094
	1,772,634	Enel SPA (c)		13,705,515
	169,827	EXOR NV		9,161,876
	605,220	Hera SPA		2,317,888
	745,877	Iren SPA		1,862,684
	123,656	Italgas SPA		673,357
	13,610	La Doria SPA		158,947
	1,259	Leonardo SPA *		7,904
	7,006	MARR SPA *		102,653
	47,819	Mediobanca Banca di Credito Finanziario SPA		314,570
	164,397	Piaggio & C SPA		397,141
	73,562	Saras SPA *		66,240
	1,481	Sesa SPA		84,248
	30,948	Societa Cattolica di Assicurazioni SC		143,076
	3,642	Unieuro SPA		33,147
	77,825	Unipol Gruppo SPA *		274,730
	46,005	UnipolSai Assicurazioni SPA		102,395
		Total Italy		35,683,466
		Japan — 6.5%
	5,700	77 Bank Ltd (The)		81,509
	14,900	ADEKA Corp		207,734
	6,100	Aichi Corp		42,509
	14,800	Aida Engineering Ltd		101,232
	6,000	Altech Corp		108,216
	88,900	Amada Holdings Co Ltd		794,419
	6,100	Amano Corp		132,281
	16,000	AOKI Holdings Inc		102,299
	4,600	Arata Corp		194,723
	3,900	Arcland Sakamoto Co Ltd		43,149
	492,100	Asahi Kasei Corp (c)		3,911,098
	5,500	Asahi Yukizai Corp		77,783
	829,300	Astellas Pharma Inc (c)		14,817,877
	29,700	Bandai Namco Holdings Inc		1,651,222
	3,600	Bando Chemical Industries Ltd		21,024
	201,600	Brother Industries Ltd		3,815,053
	12,300	Canon Marketing Japan Inc		250,854
	56,000	Casio Computer Co Ltd		988,999
	6,000	Cawachi Ltd		146,668
	5,500	Central Glass Co Ltd		100,665
	1,600	Chiyoda Integre Co Ltd		26,209
	5,900	Chugai Pharmaceutical Co Ltd		871,855
	6,400	Chugoku Bank Ltd (The) (a)		57,756
	2,900	Cleanup Corp		14,056
	4,300	CONEXIO Corp		59,335

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	6,800	Dai Nippon Printing Co Ltd (a)		155,017
	5,400	Dai Nippon Toryo Co Ltd		49,544
	1,500	Dai-Dan Co Ltd		40,283
	37,600	Daicel Corp		319,113
	1,900	Daiichi Jitsugyo Co Ltd		66,786
	1,900	Dainichiseika Color & Chemicals Manufacturing Co Ltd		44,162
	5,200	Daiwa Industries Ltd		47,330
	26,200	Daiwabo Holdings Co Ltd		1,762,423
	5,100	Doshisha Co Ltd		74,326
	41,000	DTS Corp		873,436
	7,700	Ehime Bank Ltd (The)		85,427
	15,300	Elecom Co Ltd		730,187
	1,500	ESPEC Corp		24,600
	15,500	FAN Communications Inc		68,351
	10,400	FANUC Corp		1,858,465
	1,100	Foster Electric Co Ltd		12,555
	60,900	Fuji Electric Co Ltd		1,626,933
	1,800	Fujicco Co Ltd		33,282
	11,400	Fujitec Co Ltd		170,927
	34,600	Fujitsu General Ltd		677,002
	58,800	Fujitsu Ltd		6,059,221
	8,700	Furuno Electric Co Ltd		73,051
	4,400	G-7 Holdings Inc		96,440
	19,400	Geo Holdings Corp		242,824
	26,300	Gunma Bank Ltd (The)		82,575
	31,200	Hachijuni Bank Ltd (The)		115,869
	19,100	Hakuhodo DY Holdings Inc		237,858
	3,600	Hakuto Co Ltd		33,001
	78,000	Haseko Corp		952,838
	10,400	Heiwa Corp		176,863
	2,600	Heiwado Co Ltd		46,725
	18,700	Hiroshima Bank Ltd (The)		87,947
	14,700	Hisamitsu Pharmaceutical Co Inc		744,286
	185,400	Hitachi Ltd		5,988,271
	1,200	Hokkoku Bank Ltd (The)		30,932
	102,600	Honda Motor Co Ltd		2,671,559
	500	Hosokawa Micron Corp		28,290
	2,300	House Foods Group Inc		77,980
	11,900	Hoya Corp		1,119,712
	9,200	Inaba Denki Sangyo Co Ltd		209,709
	5,400	Infocom Corp		140,822
	184,800	ITOCHU Corp		3,974,027
	18,100	Itochu Enex Co Ltd		145,565
	48,800	Itochu Techno-Solutions Corp		1,651,659
	600	Itochu-Shokuhin Co Ltd		26,169
	11,600	Itoki Corp		44,180
	23,200	Japan Post Bank Co Ltd		191,990
	7,900	Jeol Ltd		237,145
	177,200	JVCKenwood Corp		289,986
	64,500	K’s Holdings Corp (a)		825,685
	7,600	Kajima Corp		86,298

Shares		Description	Value ($)
		Japan — continued
	7,700	Kaken Pharmaceutical Co Ltd (a)		424,442
	3,500	Kamei Corp		34,999
	57,100	Kanematsu Corp		711,048
	3,200	Kanematsu Electronics Ltd		118,387
	7,900	Kasai Kogyo Co Ltd (a)		38,037
	2,600	Kato Sangyo Co Ltd		91,409
	412,900	KDDI Corp		12,052,213
	24,300	Keihin Corp		574,783
	6,200	Keiyo Bank Ltd (The)		29,929
	7,800	Kissei Pharmaceutical Co Ltd		198,320
	4,600	Kiyo Bank Ltd (The)		71,477
	900	Kobayashi Pharmaceutical Co Ltd (a)		80,516
	625,874	Konica Minolta Inc		2,325,278
	4,700	Kureha Corp		207,686
	9,600	KYORIN Holdings Inc		207,554
	8,500	Lion Corp		195,716
	34,000	LIXIL VIVA Corp		762,208
	16,200	Makino Milling Machine Co Ltd		502,117
	2,100	Maruzen Showa Unyu Co Ltd		56,259
	15,700	Marvelous Inc		113,804
	2,000	Matsuda Sangyo Co Ltd		26,844
	48,200	MCJ Co Ltd		376,876
	41,300	Mebuki Financial Group Inc		93,883
	21,200	Meidensha Corp		359,328
	5,600	MEIJI Holdings Co Ltd		422,871
	4,500	METAWATER Co Ltd		200,977
	460,400	Mitsubishi Chemical Holdings Corp		2,711,927
	50,200	Mitsubishi Gas Chemical Co Inc		750,295
	2,000	Mitsubishi Research Institute Inc		77,200
	182,700	Mitsubishi UFJ Financial Group Inc		758,412
	4,400	Mitsuboshi Belting Ltd		67,057
	10,900	Mitsui Sugar Co Ltd		211,023
	3,500	Mizuno Corp		66,445
	4,900	Mochida Pharmaceutical Co Ltd		190,702
	5,100	MTI Ltd		28,580
	32,900	NEC Corp		1,479,258
	18,600	NEC Networks & System Integration Corp		351,001
	14,100	Nichi-iko Pharmaceutical Co Ltd		171,889
	22,200	Nichias Corp		512,896
	10,700	Nichiha Corp		231,969
	60,500	Nikon Corp (a)		556,841
	28,900	Nippo Corp		718,539
	12,800	Nippon Flour Mills Co Ltd		194,194
	39,400	Nippon Kayaku Co Ltd		396,688
	299,700	Nippon Light Metal Holdings Co Ltd		514,770
	800	Nippon Shinyaku Co Ltd		69,130
	12,400	Nippon Soda Co Ltd		345,453
	579,500	Nippon Telegraph & Telephone Corp		13,190,108
	6,900	Nisshin Oillio Group Ltd (The)		221,259
	1,500	Nissin Corp		22,302
	28,100	Nissin Electric Co Ltd		292,985
	1,800	Nissin Foods Holdings Co Ltd		150,880

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	9,000	Nojima Corp		210,033
	71,000	Nomura Real Estate Holdings Inc (a)		1,310,520
	6,000	Nomura Research Institute Ltd		159,118
	14,300	NS Solutions Corp		393,853
	102,700	NTT DOCOMO Inc		2,822,573
	388,700	Obayashi Corp		3,604,326
	1,300	Obic Co Ltd		225,863
	600	Okinawa Cellular Telephone Co		23,077
	5,800	Organo Corp (a)		327,346
	4,200	Osaka Soda Co Ltd		102,713
	7,300	Osaki Electric Co Ltd		35,075
	2,800	Otsuka Corp		135,594
	4,300	Paramount Bed Holdings Co Ltd		167,251
	9,900	Prima Meat Packers Ltd		243,396
	8,600	Proto Corp		92,151
	6,000	Raiznext Corp		71,672
	500	Rinnai Corp		42,241
	1,900	Rion Co Ltd		42,649
	6,600	Roland DG Corp		77,145
	1,900	Ryobi Ltd (a)		24,775
	3,300	Sac’s Bar Holdings Inc		16,970
	9,200	San-Ai Oil Co Ltd		94,648
	11,200	San-In Godo Bank Ltd (The)		55,408
	15,300	Sanki Engineering Co Ltd		195,283
	3,800	Sanyo Chemical Industries Ltd		174,510
	3,600	SCSK Corp		176,825
	26,800	Seiko Holdings Corp (a)		454,956
	18,700	Seino Holdings Co Ltd		255,366
	67,300	Sekisui Chemical Co Ltd (c)		943,350
	33,700	Sekisui House Ltd		643,304
	4,300	Sekisui Jushi Corp		94,963
	28,500	Seven Bank Ltd		81,455
	12,500	SG Holdings Co Ltd		408,732
	333,100	Shimizu Corp		2,819,617
	4,600	Shinmaywa Industries Ltd		45,672
	6,600	Shizuoka Gas Co Ltd		60,831
	54,600	Showa Corp		1,141,876
	800	Sinanen Holdings Co Ltd		20,263
	9,100	Sinko Industries Ltd		129,652
	7,400	Sintokogio Ltd		54,390
	526,800	Sojitz Corp		1,227,401
	34,700	Sony Corp		2,247,374
	1,255,200	Sumitomo Chemical Co Ltd		3,900,642
	45,400	Sumitomo Dainippon Pharma Co Ltd (a)		642,986
	10,100	Sumitomo Mitsui Financial Group Inc (a)		293,125
	2,300	Sumitomo Seika Chemicals Co Ltd		65,129
	4,000	Suzuken Co Ltd		145,526
	35,900	T-Gaia Corp		765,472
	58,100	Takara Leben Co Ltd		202,428
	16,500	Takasago Thermal Engineering Co Ltd		280,933
	9,000	Tamron Co Ltd		169,647
	89,600	Teijin Ltd		1,468,488

Shares		Description	Value ($)
		Japan — continued
	2,600	TKC Corp		136,162
	32,900	Tokyo Electron Ltd		6,620,572
	900	Tokyo Seimitsu Co Ltd		29,297
	59,500	Tokyu Construction Co Ltd		325,234
	3,900	Toli Corp		9,460
	9,100	TOMONY Holdings Inc		29,439
	19,100	Toppan Forms Co Ltd		199,164
	66,900	Toppan Printing Co Ltd		1,146,452
	5,400	Torii Pharmaceutical Co Ltd		162,665
	24,300	Tosei Corp		241,486
	1,100	Toshiba TEC Corp		38,382
	67,700	Tosoh Corp		944,067
	3,300	Towa Pharmaceutical Co Ltd		69,822
	40,300	Toyo Construction Co Ltd		160,958
	7,000	Toyo Ink SC Holdings Co Ltd		135,524
	24,700	Toyo Suisan Kaisha Ltd		1,294,347
	6,400	TPR Co Ltd		87,570
	14,000	Trend Micro Inc		770,592
	47,600	TS Tech Co Ltd (c)		1,346,578
	600	Tsuruha Holdings Inc (a)		88,835
	7,500	UKC Holdings Corp		145,692
	45,800	Ushio Inc		545,319
	3,200	Valqua Ltd		61,921
	20,700	Wacoal Holdings Corp		429,635
	2,300	Welcia Holdings Co Ltd		193,516
	18,400	YAMABIKO Corp		167,948
	52,800	Yamaha Motor Co Ltd		764,822
	3,400	Yamazaki Baking Co Ltd (a)		60,952
	12,100	Yamazen Corp		105,285
	14,000	Yellow Hat Ltd		200,138
	12,300	Yuasa Trading Co Ltd		360,769
	2,700	ZERIA Pharmaceutical Co Ltd		53,428
		Total Japan		154,901,539
		Malaysia — 0.3%
	663,700	AirAsia Group Berhad		105,337
	77,400	Bermaz Auto Berhad		22,297
	1,521,400	DRB-Hicom Berhad		579,774
	45,900	Hartalega Holdings Berhad		132,639
	64,500	Kossan Rubber Industries		129,316
	314,600	Magnum Berhad		162,999
	324,100	MISC Berhad		620,072
	378,800	Sime Darby Berhad		182,560
	2,515,309	Supermax Corp Berhad *		4,463,241
	92,500	Syarikat Takaful Malaysia Keluarga Berhad		91,690
	647,300	Telekom Malaysia Berhad		628,201
	205,300	Top Glove Corp Berhad		629,344
	104,600	Westports Holdings Berhad		96,183
		Total Malaysia		7,843,653

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Mexico — 0.7%
	8,300	Grupo Aeroportuario del Pacifico SAB de CV – Class B		55,247
	53,100	Grupo Aeroportuario del Centro Norte SAB de CV		233,837
	4,124,038	Wal-Mart de Mexico SAB de CV		10,321,951
	95,200	Qualitas Controladora SAB de CV		382,011
	9,200	Kimberly-Clark de Mexico SAB de CV – Class A		14,322
	83,000	Alsea SAB de CV *		70,182
	912,800	America Movil SAB de CV – Series L		606,763
	300	Fomento Economico Mexicano SAB de CV Sponsored ADR (a)		20,313
	800	Grupo Aeroportuario del Pacifico SAB de CV ADR		53,128
	27,500	Corp Inmobiliaria Vesta SAB de CV		37,565
	17,000	Unifin Financiera SAB de CV SOFOM ENR		13,033
	1,038,300	Fibra Uno Administracion SA de CV (REIT)		796,477
	515,600	Gentera SAB de CV		214,848
	20,200	Banco del Bajio SA		20,633
	11,400	Regional SAB de CV *		31,777
	210,800	Nemak SAB de CV		46,581
	3,820	Promotora y Operadora de Infraestructura SAB de CV		28,859
	900	Grupo Aeroportuario del Centro Norte SAB de CV ADR		31,725
	156,600	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		103,108
	31,600	El Puerto de Liverpool SAB de CV – Class C1		78,948
	308,400	Grupo Financiero Banorte SAB de CV – Class O		939,476
	778,000	Grupo Mexico SAB de CV – Series B		1,676,027
	56,500	Grupo Financiero Inbursa SAB de CV – Class O		38,627
	122,700	Credito Real SAB de CV SOFOM ER		65,571
	2,485	Grupo Aeroportuario del Sureste SAB de CV – Class B		25,812
	127,942	Grupo Herdez SAB de CV		202,577
	300	Grupo Aeroportuario del Sureste SAB de CV ADR		31,101
		Total Mexico		16,140,499
		Netherlands — 1.9%
	1,651	Adyen NV *		2,164,926
	2,681	ASM International NV		312,711
	138,919	ASR Nederland NV		3,819,066
	2,104	BE Semiconductor Industries NV		80,461
	11,846	ForFarmers NV		75,275
	50,310	Heineken Holding NV		4,136,891
	282	Hunter Douglas NV		13,537
	267,730	Koninklijke Ahold Delhaize NV		6,788,006
	84,835	Koninklijke Philips NV		3,856,851
	21,584	Koninklijke Vopak NV		1,182,003
	115,000	Randstad NV		4,838,407

Shares		Description	Value ($)
		Netherlands — continued
	292,566	Signify NV (c)		6,299,944
	2,188	TomTom NV *		18,616
	160,436	Wolters Kluwer NV		12,804,445
		Total Netherlands		46,391,139
		New Zealand — 0.0%
	532,194	Air New Zealand Ltd		453,568
	23,264	Fisher & Paykel Healthcare Corp Ltd		433,747
	16,081	Synlait Milk Ltd *		69,599
		Total New Zealand		956,914
		Norway — 0.7%
	131,912	Austevoll Seafood ASA (a)		1,006,706
	15,020	Avance Gas Holding Ltd		32,239
	17,334	Borregaard ASA		188,935
	263,667	BW LPG Ltd		880,743
	341,135	DNB ASA		4,655,754
	288,612	Elkem ASA		527,555
	72,310	Europris ASA		305,376
	30,400	Frontline Ltd		277,552
	109,916	Gjensidige Forsikring ASA		2,003,863
	50,979	Kvaerner ASA *		30,412
	14,527	Norwegian Finans Holding ASA *		103,584
	344,591	Orkla ASA		3,095,027
	12,947	Salmar ASA		583,867
	12,252	Sbanken ASA *		81,744
	24,511	Selvaag Bolig ASA		126,306
	38,753	SpareBank 1 Nord Norge		254,983
	19,287	SpareBank 1 SMN		154,859
	129,270	SpareBank 1 SR-Bank ASA		962,258
	4,973	TGS NOPEC Geophysical Co ASA		71,238
	19,085	Veidekke ASA *		194,826
		Total Norway		15,537,827
		Pakistan — 0.0%
	34,810	Engro Corp Ltd		62,457
	268,500	Engro Fertilizers Ltd		99,429
	44,200	Nishat Mills Ltd		20,104
	261,100	Oil & Gas Development Co Ltd		185,147
	29,870	Pakistan Oilfields Ltd		58,420
	78,320	Pakistan Petroleum Ltd		45,025
	23,700	Pakistan State Oil Co Ltd		23,048
	17,500	Searle Co Ltd (The)		21,677
	28,700	United Bank Ltd		17,143
		Total Pakistan		532,450
		Peru — 0.0%
	5,000	Southern Copper Corp (a)		181,500
		Philippines — 0.1%
	29,900	Ayala Land Inc		18,934
	15,780	Globe Telecom Inc		715,160

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Philippines — continued
	14,660	Manila Electric Co		82,111
	2,369,000	Megaworld Corp		133,659
	2,481,000	Metro Pacific Investments Corp		142,135
	15,810	Security Bank Corp		25,517
	135,050	Semirara Mining & Power Corp		29,384
		Total Philippines		1,146,900
		Poland — 0.5%
	22,442	Alior Bank SA *		80,836
	7,043	AmRest Holdings SE *		46,180
	40,881	Asseco Poland SA		745,563
	58,565	Bank Millennium SA *		36,298
	68,702	Bank Polska Kasa Opieki SA		896,612
	3,461	Budimex SA		195,104
	14,565	CCC SA		175,787
	1,080	CD Projekt SA		108,871
	101,081	Cyfrowy Polsat SA		659,271
	1,387	Dino Polska SA *		63,281
	161,572	Energa SA *		318,410
	1,595	KRUK SA		40,122
	54	LPP SA		92,518
	2,064	Lubelski Wegiel Bogdanka SA		10,025
	318,426	Orange Polska SA *		515,807
	216,437	PLAY Communications SA		1,535,476
	169,448	Polski Koncern Naftowy ORLEN SA		2,827,522
	176,277	Powszechna Kasa Oszczednosci Bank Polski SA		975,246
	402,921	Powszechny Zaklad Ubezpieczen SA		3,002,138
	2,674	Santander Bank Polska SA		108,713
	6,178	Warsaw Stock Exchange		63,114
		Total Poland		12,496,894
		Portugal — 0.9%
	201,647	Altri SGPS SA		927,530
	3,178,001	Banco Comercial Portugues SA – Class R		346,929
	113,256	CTT – Correios de Portugal SA		258,027
	18,379	EDP Renovaveis SA		243,023
	1,338,754	EDP – Energias de Portugal SA		6,254,101
	538,869	Galp Energia SGPS SA		6,411,564
	190,332	Jeronimo Martins SGPS SA		3,245,483
	91,106	Mota – Engil SGPS SA (a)		115,896
	172,750	Navigator Co SA (The)		425,425
	332,722	NOS SGPS SA *		1,362,262
	160,723	REN – Redes Energeticas Nacionais SGPS SA		430,545
	12,232	Semapa-Sociedade de Investimento e Gestao *		112,480
	1,185,197	Sonae SGPS SA		887,512
		Total Portugal		21,020,777
		Qatar — 0.0%
	165,390	Barwa Real Estate Co		134,338
	114,022	Doha Bank QPSC *		64,063
	8,101	Qatar Electricity & Water Co QSC		33,553

Shares		Description	Value ($)
		Qatar — continued
	68,578	Qatar Insurance Co SAQ		39,247
	104,096	Qatar National Bank QPSC		504,764
	45,376	Qatar National Cement Co QSC		48,549
		Total Qatar		824,514
		Russia — 3.1%
	1,761,450	Alrosa PJSC		1,659,960
	1,100,000	Credit Bank of Moscow PJSC		84,787
	69,540	Detsky Mir PJSC		98,294
	9,577,000	ENEL RUSSIA PJSC		132,642
	59,810,000	Federal Grid Co Unified Energy System PJSC		156,893
	172,390	Gazprom Neft PJSC		822,454
	2,752	Gazprom Neft PJSC Sponsored ADR		65,369
	32,940	Gazprom PJSC Sponsored ADR		184,983
	25,637	Globaltrans Investment Plc Sponsored GDR (Registered)		142,977
	103,941,001	Inter RAO UES PJSC		7,359,403
	2,687	LSR Group PJSC		22,452
	66,217	LSR Group PJSC GDR (Registered)		107,804
	45,959	LUKOIL PJSC		3,456,925
	179,494	LUKOIL PJSC Sponsored ADR		13,486,235
	30,340	M.Video PJSC		146,974
	2,379,200	Magnitogorsk Iron & Steel Works PJSC		1,374,443
	34,180	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		255,494
	1,641	MMC Norilsk Nickel PJSC		518,811
	351,572	MMC Norilsk Nickel PJSC ADR		11,122,893
	49,900	Mobile TeleSystems PJSC Sponsored ADR (a)		443,611
	561,010	Moscow Exchange MICEX-RTS PJSC		916,511
	20,325	Novatek PJSC Sponsered GDR (Registered)		2,975,255
	89,090	Novolipetsk Steel PJSC		174,951
	219,280	Novolipetsk Steel PJSC GDR		4,249,799
	19,016	PhosAgro PJSC GDR (Registered)		264,111
	948	Polymetal International Plc		19,055
	81,350	Raspadskaya OJSC		124,645
	73,560,000	ROSSETI PJSC		1,741,851
	227,820	Rostelecom PJSC		269,164
	5,348	Rostelecom PJSC Sponsored ADR		36,999
	8,532,000	RusHydro PJSC		84,693
	13,580	Safmar Financial Investment		76,622
	1,119,114	Sberbank of Russia PJSC Sponsored ADR		12,762,091
	60,747	Severstal PJSC GDR (Registered)		801,807
	3,229,900	Surgutneftegas PJSC		1,833,018
	172,805	Surgutneftegas PJSC Sponsored ADR		975,075
	54,836	Tatneft PJSC		417,546
	75,938	Tatneft PJSC Sponsored ADR		3,460,550
	29,273	TCS Group Holding Plc GDR (Registered)		509,801
	5,545,000	Unipro PJSC		216,717
	366,106	VTB Bank PJSC GDR (Registered)		361,569
	400	Yandex NV – Class A *		16,092
		Total Russia		73,931,326

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Singapore — 1.3%
	201,300	Accordia Golf Trust		86,452
	185,500	AEM Holdings Ltd		404,318
	310,800	Ascendas (REIT)		691,693
	243,500	Asian Pay Television Trust		21,736
	550,400	CapitaLand Commercial Trust (REIT)		683,798
	224,300	CapitaLand Ltd		460,569
	652,800	CapitaLand Mall Trust (REIT)		941,899
	27,800	City Developments Ltd		152,079
	1,019,200	ComfortDelGro Corp Ltd		1,041,280
	712,000	DBS Group Holdings Ltd		9,850,157
	187,200	First Real Estate Investment Trust		117,647
	181,100	Frasers Logistics & Industrial Trust (REIT)		142,782
	468,240	Japfa Ltd		220,862
	113,400	Keppel DC (REIT)		206,897
	115,300	Lendlease Global Commercial (REIT)		54,901
	141,568	Mapletree Commercial Trust (REIT)		201,412
	1,578,400	Mapletree Greater China Commercial Trust (REIT)		936,859
	724,700	Mapletree Industrial Trust (REIT)		1,401,050
	166,600	Mapletree Logistics Trust (REIT)		242,652
	12,100	Oversea-Chinese Banking Corp Ltd		73,466
	29,000	Parkway Life Real Estate Investment Trust (REIT)		71,303
	14,200	QAF Ltd		7,701
	331,400	Sasseur Real Estate Investment Trust		188,347
	180,500	Silverlake Axis Ltd		30,114
	458,500	Singapore Exchange Ltd		2,693,742
	137,100	Singapore Technologies Engineering Ltd		310,489
	324,300	SPH (REIT)		191,026
	206,400	StarHub Ltd		198,688
	93,400	United Overseas Bank Ltd		1,293,635
	213,100	Venture Corp Ltd		2,315,775
	105,700	Wilmar International Ltd		298,613
	12,700	Wing Tai Holdings Ltd		16,672
	6,934,199	Yangzijiang Shipbuilding Holdings Ltd		4,627,753
	582,000	Yanlord Land Group Ltd *		454,723
		Total Singapore		30,631,090
		South Africa — 1.0%
	1,226,936	Absa Group Ltd		5,705,377
	6,878	Anglo American Platinum Ltd		436,118
	63,714	Astral Foods Ltd		560,570
	195,921	Barloworld Ltd		751,754
	7,841	Bid Corp Ltd		110,682
	1,088,248	Blue Label Telecoms Ltd *		155,288
	322	Capitec Bank Holdings Ltd		15,619
	5,109	Clicks Group Ltd		67,848
	16,858	Coronation Fund Managers Ltd		36,945
	47,382	Discovery Ltd		266,500
	70,429	Emira Property Fund Ltd (REIT)		22,474
	37,733	FirstRand Ltd		86,653

Shares		Description	Value ($)
		South Africa — continued
	129,749	Fortress REIT Ltd – Class A		82,054
	44,310	Foschini Group Ltd (The)		157,680
	576,771	Growthpoint Properties Ltd (REIT)		411,113
	14,493	Hyprop Investments Ltd (REIT)		14,096
	117,595	Imperial Logistics Ltd		262,482
	86,611	Investec Ltd		152,340
	197,948	Kumba Iron Ore Ltd		5,345,971
	57,204	Lewis Group Ltd		47,723
	299,927	Liberty Holdings Ltd		1,066,359
	33,464	Metair Investments Ltd		25,865
	93,134	Momentum Metropolitan Holdings		91,448
	353,262	Motus Holdings Ltd		558,657
	54,512	Mr Price Group Ltd		405,745
	30,952	MTN Group Ltd		95,949
	44,961	MultiChoice Group Ltd *		222,137
	46,124	Murray & Roberts Holdings Ltd		10,881
	26,024	Nedbank Group Ltd		147,297
	354,837	Netcare Ltd		287,070
	1,644,666	Old Mutual Ltd		1,055,333
	60,475	Rand Merchant Investment Holdings Ltd		94,057
	99,539	Raubex Group Ltd		105,341
	891,067	Redefine Properties Ltd (REIT)		97,473
	242,031	Reunert Ltd		598,850
	17,882	RMB Holdings Ltd		54,466
	414,699	Sanlam Ltd		1,339,480
	1,864	Santam Ltd		28,720
	125,075	Sappi Ltd *		180,717
	8,292	SPAR Group Ltd (The)		82,900
	5,511	Standard Bank Group Ltd		32,077
	1,051,528	Telkom SA SOC Ltd		1,063,376
	6,843	Tiger Brands Ltd		61,206
	318,627	Truworths International Ltd		569,338
	90,743	Tsogo Sun Gaming Ltd		11,078
	20,979	Vodacom Group Ltd		150,625
	38,007	Wilson Bayly Holmes-Ovcon Ltd		207,564
		Total South Africa		23,333,296
		South Korea — 2.8%
	27,827	Aekyung Petrochemical Co Ltd		156,413
	12,625	Aju Capital Co Ltd		125,530
	16,193	Boryung Pharmaceutical Co Ltd		193,560
	40,259	DB HiTek Co Ltd		937,850
	9,220	DB Insurance Co Ltd		324,190
	21,573	Dongwha Pharm Co Ltd		202,048
	34,093	Dongwon Development Co Ltd		99,558
	1,937	GOLFZON Co Ltd		117,145
	6,091	GS Home Shopping Inc		587,746
	450,886	Hana Financial Group Inc		10,894,172
	24,801	Hankook Tire & Technology Co Ltd		471,372
	6,813	Hansae Yes24 Holdings Co Ltd		28,474
	129,128	Hanwha Life Insurance Co Ltd		159,005
	9,831	HDC Hyundai Development Co-Engineering & Construction		158,366

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	13,190	Huons Co Ltd		520,309
	2,932	Hy-Lok Corp		31,403
	6,028	Hyosung Corp		328,733
	481	Hyundai Department Store Co Ltd		24,917
	10,930	Hyundai Home Shopping Network Corp		592,809
	4,477	Hyundai Marine & Fire Insurance Co Ltd		87,922
	6,142	Hyundai Mobis Co Ltd		984,789
	16,517	Hyundai Motor Co		1,313,240
	18,020	Il Dong Pharmaceutical Co Ltd *		201,587
	449,866	Industrial Bank of Korea		3,021,554
	7,828	JB Financial Group Co Ltd		30,142
	834	Kangwon Land Inc		16,384
	50,534	KB Financial Group Inc		1,379,128
	6,200	KB Financial Group Inc ADR		169,570
	1,258	KCC Corp		145,765
	12,565	KEPCO Plant Service & Engineering Co Ltd		314,099
	479,416	Kia Motors Corp		13,330,898
	17,594	Korea Asset In Trust Co Ltd		37,830
	18,413	Korea Autoglass Corp		196,086
	27,226	Korean Reinsurance Co		162,933
	4,555	KT Corp		89,303
	5,621	KT Skylife Co Ltd		36,584
	57,716	KT&G Corp		3,917,088
	42,665	LF Corp		468,220
	15,368	LG Electronics Inc		738,919
	3,134	LOTTE Fine Chemical Co Ltd		96,164
	2,483	LS Electric Co Ltd		91,674
	4,097	Mando Corp		88,761
	1,259	Medy-Tox Inc		171,804
	22,873	Mirae Asset Life Insurance Co Ltd		56,469
	47	NCSoft Corp		30,023
	3,443	OCI Co Ltd *		109,535
	16,601	S&T Motiv Co Ltd		538,045
	28,634	Samjin Pharmaceutical Co Ltd		641,094
	166,737	Samsung Electronics Co Ltd		6,867,242
	2,552	Samsung Electronics Co Ltd GDR (Registered)		2,634,142
	6,418	Sebang Global Battery Co Ltd		149,033
	267,617	Shinhan Financial Group Co Ltd		6,541,052
	38,186	SK Hynix Inc		2,532,211
	3,044	SK Telecom Co Ltd		531,639
	159,700	SK Telecom Co Ltd Sponsored ADR		3,074,225
	16,122	SL Corp (d)		91,512
	157,050	Woori Financial Group Inc		1,158,900
		Total South Korea		67,999,166
		Spain — 1.9%
	179	ACS Actividades de Construccion y Servicios SA		4,581
	77,744	Aena SME SA (c)		11,095,382
	65,957	Almirall SA *		864,930
	17,076	Amadeus IT Group SA		892,928
	51,914	Banco Bilbao Vizcaya Argentaria SA		159,888

Shares		Description	Value ($)
		Spain — continued
	36,529	Banco Santander SA		83,517
	111,739	Bankinter SA		474,705
	73,804	Cia de Distribucion Integral Logista Holdings SA		1,365,464
	12,715	Ebro Foods SA		266,222
	10,080	eDreams ODIGEO SA * (a)		32,078
	109,978	Enagas SA		2,478,873
	410,056	Endesa SA		9,794,732
	59,968	Faes Farma SA		242,072
	639,498	Iberdrola SA		6,924,151
	164,759	Industria de Diseno Textil SA		4,589,106
	186,960	Mediaset Espana Comunicacion SA * (a)		667,656
	155,538	Red Electrica Corp SA		2,738,736
	19,349	Repsol SA		182,172
	293,629	Unicaja Banco SA		159,061
	21,375	Viscofan SA (a)		1,404,048
		Total Spain		44,420,302
		Sweden — 1.1%
	1,184	Atlas Copco AB – B Shares		42,082
	28,465	Axfood AB		638,348
	83,599	Betsson AB *		583,410
	53,839	Bilia AB-Class A		441,217
	124,349	Boliden AB		2,717,197
	11,765	Bufab AB *		106,857
	75,376	Cloetta AB – Class B		190,112
	17,480	Essity AB – Class B *		578,947
	7,410	Humana AB		34,263
	5,973	Instalco Intressenter AB		95,810
	43,703	Inwido AB		278,769
	43,430	JM AB		856,517
	222,478	Klovern AB – B Shares		354,464
	4,438	KNOW IT AB *		71,330
	24,009	Lindab International AB		244,828
	15,936	Loomis AB – Class B		402,940
	85,100	Nobia AB		385,523
	16,624	Nobina AB *		97,447
	22,510	Resurs Holding AB		95,932
	151,435	Skanska AB – B Shares		3,044,275
	3,392	SkiStar AB		37,507
	63,056	Swedish Match AB		4,400,868
	23,604	Volvo AB – A Shares		335,995
	775,851	Volvo AB – B Shares		11,070,910
		Total Sweden		27,105,548
		Switzerland — 1.3%
	2,910	ALSO Holding AG (Registered) *		683,308
	1,050	Banque Cantonale Vaudoise (Registered)		102,393
	92	Bell Food Group AG (Registered)		22,039
	8,675	BKW AG		694,173
	2,877	Bobst Group SA (Registered)		173,694
	467	Coltene Holding AG (Registered) *		38,685

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	15,052	Galenica AG		1,115,056
	30	Gurit Holding AG		45,631
	4,481	Huber + Suhner AG (Registered)		309,161
	2,435	Kardex AG (Registered)		422,575
	596	Liechtensteinische Landesbank AG		36,934
	16,123	Mobilezone Holding AG (Registered)		137,843
	1,570	Nestle SA (Registered)		170,466
	56,208	Novartis AG (Registered)		4,893,238
	2,116	Orior AG *		162,974
	1,962	Partners Group Holding AG		1,634,492
	12,344	Roche Holding AG		4,327,134
	47,801	Roche Holding AG – Genusschein		16,592,755
	14	Schweizerische Nationalbank (Registered) (a)		67,623
	228	Tecan Group AG (Registered)		79,862
	2,100	Vetropack Holding AG (Registered) *		131,470
	9,337	Wizz Air Holdings Plc *		379,601
		Total Switzerland		32,221,107
		Taiwan — 4.1%
	403,000	AcBel Polytech Inc		274,947
	16,000	Acter Group Corp Ltd		111,326
	57,000	Amazing Microelectronic Corp		158,843
	8,000	Arcadyan Technology Corp		22,544
	485,000	Asustek Computer Inc		3,405,167
	19,000	Aten International Co Ltd		56,756
	8,400	Aurora Corp		25,003
	563,000	Catcher Technology Co Ltd		4,103,097
	463,399	Cathay Financial Holding Co Ltd		619,212
	182,606	Chailease Holding Co Ltd		711,752
	1,019,000	Chicony Electronics Co Ltd		2,923,637
	1,562,000	China Development Financial Holding Corp		474,299
	66,000	China Life Insurance Co Ltd *		45,713
	112,000	China Motor Corp		135,573
	29,000	Chong Hong Construction Co Ltd		80,900
	886,000	Coretronic Corp *		918,918
	3,819,000	CTBC Financial Holding Co Ltd		2,545,486
	38,000	Cyberlink Corp		143,327
	2,000	Eclat Textile Co Ltd		20,607
	41,000	Elan Microelectronics Corp		137,023
	19,000	Elite Advanced Laser Corp		41,689
	145,000	Elite Material Co Ltd		714,435
	97,000	Farglory Land Development Co Ltd		141,445
	335,900	Feng TAY Enterprise Co Ltd		2,031,324
	328,000	FLEXium Interconnect Inc		1,191,298
	56,000	Formosa Advanced Technologies Co Ltd		69,510
	54,000	Formosa Chemicals & Fibre Corp		129,741
	124,000	Formosa Plastics Corp		343,379
	564,000	Formosa Taffeta Co Ltd		643,098
	241,000	Foxconn Technology Co Ltd		433,970
	825,000	Fubon Financial Holding Co Ltd		1,167,472
	25,000	Fulgent Sun International Holding Co. Ltd.		83,389
	19,000	Fusheng Precision Co Ltd		110,293

Shares		Description	Value ($)
		Taiwan — continued
	25,000	Getac Technology Corp		36,482
	1,079,000	Gigabyte Technology Co Ltd		2,125,035
	61,000	Global Mixed Mode Technology Inc		307,779
	1,821,000	Grand Pacific Petrochemical *		857,719
	900,303	Great Wall Enterprise Co Ltd		1,290,708
	17,000	Hiroca Holdings Ltd		29,532
	70,000	Holiday Entertainment Co Ltd		154,415
	503,000	Holtek Semiconductor Inc		1,081,210
	7,206,000	Hon Hai Precision Industry Co Ltd		18,230,403
	78,000	Huaku Development Co Ltd		247,080
	143,000	IBF Financial Holdings Co Ltd		53,942
	62,820	IEI Integration Corp *		81,769
	32,080	Innodisk Corp		205,254
	119,000	ITE Technology Inc		234,576
	63,000	Kindom Construction Corp		62,032
	9,000	Kingpak Technology Inc		49,064
	113,000	Kinpo Electronics		42,982
	325,000	Lite-On Semiconductor Corp		447,391
	665,000	Lite-On Technology Corp		1,067,202
	2,000	Lotes Co Ltd		26,944
	33,300	Makalot Industrial Co Ltd		160,097
	118,000	MediaTek Inc		1,821,866
	75,202	Mercuries Life Insurance Co Ltd *		23,079
	142,000	Merry Electronics Co Ltd		641,855
	156,000	Micro-Star International Co Ltd		526,344
	2,286,266	Mitac Holdings Corp		2,468,582
	48,000	Nantex Industry Co Ltd		59,847
	42,000	Nichidenbo Corp		73,548
	17,000	Nien Made Enterprise Co Ltd		146,090
	619,000	Novatek Microelectronics Corp		4,238,331
	100,743	Nuvoton Technology Corp		131,408
	38,950	OptoTech Corp		27,513
	891,000	Pegatron Corp		1,917,759
	298,000	Phison Electronics Corp		2,746,631
	4,995,000	Pou Chen Corp		4,925,904
	31,000	Powertech Technology Inc		100,398
	67,000	Primax Electronics Ltd		103,814
	1,910,000	Qisda Corp		1,058,079
	254,000	Quanta Computer Inc		593,347
	129,000	Quanta Storage Inc		158,785
	2,158,000	Radiant Opto-Electronics Corp		7,429,467
	48,000	Ruentex Industries Ltd		104,393
	76,000	Sampo Corp		50,715
	47,000	Sercomm Corp		112,612
	43,000	Shin Zu Shing Co Ltd		194,771
	90,000	Shinkong Insurance Co Ltd		106,999
	107,800	Simplo Technology Co Ltd		1,154,933
	24,000	Sinbon Electronics Co Ltd		120,786
	31,050	Sinmag Equipment Corp		94,010
	36,000	Sitronix Technology Corp		183,127
	80,000	Soft-World International Corp		285,662
	47,000	Standard Chemical & Pharmaceutical Co Ltd		61,109

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	883,000	Sunplus Technology Co Ltd *		328,709
	27,000	Supreme Electronics Co Ltd		26,569
	145,500	Syncmold Enterprise Corp		393,263
	62,000	Taiflex Scientific Co Ltd		97,435
	595,000	Taiwan PCB Techvest Co Ltd		740,156
	79,000	Taiwan Sakura Corp		123,956
	614,000	Taiwan Semiconductor Manufacturing Co Ltd		5,968,860
	47,585	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		2,394,953
	66,000	Taiwan Surface Mounting Technology Corp		253,017
	199,000	Teco Electric and Machinery Co Ltd		187,123
	23,000	Test Research Inc		42,007
	7,000	Thinking Electronic Industrial Co Ltd		20,431
	237,929	TOPBI International Holdings Ltd		458,925
	178,419	Topco Scientific Co Ltd		619,896
	79,000	Topkey Corp		321,972
	58,000	Transcend Information Inc		135,881
	209,000	Tripod Technology Corp		785,924
	116,600	United Integrated Services Co Ltd		818,362
	29,000	Wah Lee Industrial Corp		53,385
	3,000	Wiwynn Corp		80,390
	1,701,000	Yuanta Financial Holding Co Ltd		923,034
	7,600	Yulon Finance Corp		25,351
	6,000	Yulon Nissan Motor Co Ltd		53,024
	34,000	Zeng Hsing Industrial Co Ltd		150,623
		Total Taiwan		97,471,799
		Thailand — 0.2%
	33,900	Amata Corp Pcl NVDR		15,517
	1,509,400	AP Thailand Pcl NVDR		264,097
	108,500	Bangkok Bank Pcl NVDR		373,261
	29,700	Bangkok Life Assurance Pcl NVDR		14,035
	770,000	Banpu Pcl (Foreign Registered)		151,289
	125,700	Banpu Power Pcl NVDR		69,163
	4,198,300	Beauty Community Pcl NVDR		231,672
	47,200	Hana Microelectronics Pcl NVDR		44,638
	296,900	Jasmine International Pcl NVDR		34,990
	128,700	Kasikornbank Pcl NVDR		390,249
	101,600	Krung Thai Bank Pcl NVDR		33,316
	507,800	Land & Houses Pcl NVDR		116,887
	64,200	Mega Lifesciences Pcl NVDR		69,448
	193,900	Origin Property Pcl NVDR		30,857
	167,600	Pruksa Holding Pcl NVDR		62,817
	909,500	Quality Houses Pcl NVDR		61,881
	124,600	Siam Commercial Bank Pcl NVDR (The)		291,051
	149,700	Somboon Advance Technology Pcl NVDR		53,307
	60,200	SPCG Pcl NVDR		33,149
	74,250	Supalai Pcl (Foreign Registered)		34,597
	344,875	Supalai Pcl NVDR		160,697
	1,894,100	Thai Beverage Pcl		847,359
	52,000	Thai Vegetable Oil Pcl NVDR		43,360
	763,800	Thanachart Capital Pcl (Foreign Registered)		878,156

Shares		Description	Value ($)
		Thailand — continued
	652,400	Thanachart Capital Pcl NVDR		750,077
	70,700	Tipco Asphalt Pcl NVDR		49,026
	14,200	Tisco Financial Group Pcl NVDR		33,593
	106,000	TTW Pcl NVDR		45,664
	204,300	Univentures Pcl NVDR		21,500
		Total Thailand		5,205,653
		Turkey — 0.7%
	419,519	Akbank TAS *		351,111
	72,542	Arcelik AS *		167,568
	713,056	Enerjisa Enerji AS		848,911
	2,148,414	Eregli Demir ve Celik Fabrikalari TAS		2,533,287
	125,152	Haci Omer Sabanci Holding AS		152,170
	20,352	Is Yatirim Menkul Degerler AS		17,193
	2,254,120	KOC Holding AS		5,329,524
	391,243	Selcuk Ecza Deposu Ticaret ve Sanayi AS		469,417
	427,677	TAV Havalimanlari Holding AS		1,276,528
	171,942	Tofas Turk Otomobil Fabrikasi AS		561,565
	81,390	Turk Telekomunikasyon AS *		88,262
	1,475,845	Turkiye Garanti Bankasi AS *		1,692,519
	4,033,683	Turkiye Is Bankasi – Class C *		2,937,470
	564,526	Turkiye Sinai Kalkinma Bankasi AS *		91,048
	1,520,735	Turkiye Vakiflar Bankasi TAO – Class D *		1,040,009
	13,496	Vestel Beyaz Esya Sanayi ve Ticaret AS		45,756
	65,170	Yapi ve Kredi Bankasi AS *		22,255
		Total Turkey		17,624,593
		United Arab Emirates — 0.1%
	26,248	Abu Dhabi Commercial Bank PJSC		31,489
	31,478	Abu Dhabi Islamic Bank PJSC		29,134
	46,075	Al Waha Capital PJSC *		8,261
	116,564	Dubai Islamic Bank PJSC		112,295
	19,622	Emaar Development PJSC *		10,365
	75,698	Emaar Malls PJSC *		27,246
	2,914,809	Emaar Properties PJSC *		1,988,833
	13,770	Emirates NBD Bank PJSC		32,303
		Total United Arab Emirates		2,239,926
		United Kingdom — 5.0%
	907,040	3i Group Plc		9,282,151
	88,449	888 Holdings Plc		167,756
	34,066	Aggreko Plc		199,653
	52,401	Alliance Pharma Plc		48,899
	81,195	Anglo American Plc		1,718,820
	38,055	Ashtead Group Plc		1,136,408
	37,697	Avast Plc		235,173
	57,145	AVEVA Group Plc		2,903,413
	76,162	BAE Systems Plc		470,058
	14,675	Bank of Georgia Group Plc		167,887
	884,538	Barratt Developments Plc		5,471,400
	82,483	Bellway Plc		2,633,003
	84,165	Berkeley Group Holdings Plc (The)		4,287,504

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	27,304	Biffa Plc		84,851
	172,490	British American Tobacco Plc		6,841,023
	166,500	British American Tobacco Plc Sponsored ADR		6,673,320
	3,490	Burberry Group Plc		65,170
	637,317	Centamin Plc		1,297,330
	51,430	CMC Markets Plc		125,787
	81,735	Coca-Cola HBC AG		2,069,744
	99,005	Compass Group Plc		1,451,353
	65,798	Computacenter Plc		1,310,698
	7,198	Cranswick Plc		328,719
	45,304	Daily Mail & General Trust Plc		404,091
	9,342	Dart Group Plc		102,314
	18,315	Derwent London Plc (REIT)		668,413
	9,900	Diageo Plc Sponsored ADR		1,392,039
	162,324	Dixons Carphone Plc		152,046
	92,413	Dunelm Group Plc		1,221,925
	245,785	Electrocomponents Plc		1,941,011
	17,884	EMIS Group Plc		250,192
	19,691	Ferguson Plc		1,552,990
	795,533	Ferrexpo Plc		1,733,019
	125,130	Frasers Group Plc *		475,244
	17,315	Galliford Try Holdings Plc		25,175
	6,134	Games Workshop Group Plc		607,001
	18,813	Gem Diamonds Ltd *		7,447
	80,388	GlaxoSmithKline Plc		1,665,053
	41,500	GlaxoSmithKline Plc Sponsored ADR (a)		1,739,680
	27,569	Go-Ahead Group Plc (The)		371,675
	20,308	Great Portland Estates Plc (REIT)		163,872
	27,101	Greggs Plc		620,910
	31,785	Halma Plc		922,395
	2,489	Hikma Pharmaceuticals Plc		79,274
	38,233	Howden Joinery Group Plc		280,442
	135,814	Ibstock Plc		308,993
	220,507	IG Group Holdings Plc		2,085,196
	27,729	IMI Plc		309,702
	31,765	Imperial Brands Plc		579,399
	123,081	Inchcape Plc		765,216
	127,082	Indivior Plc *		96,637
	76,120	Intermediate Capital Group Plc		1,197,042
	1,338,645	International Consolidated Airlines Group SA (a)		3,804,829
	32,655	International Personal Finance Plc		17,195
	496,540	J Sainsbury Plc		1,190,621
	329,592	JD Sports Fashion Plc		2,702,132
	160,537	John Laing Group Plc		705,011
	58,538	Jupiter Fund Management Plc		181,471
	248,220	Kingfisher Plc		602,426
	925,432	Legal & General Group Plc		2,284,827
	225,461	LondonMetric Property Plc (REIT)		586,491
	51,972	Lookers Plc		16,159
	180,913	Meggitt Plc		625,345
	84,611	Mitchells & Butlers Plc *		190,101

Shares		Description	Value ($)
		United Kingdom — continued
	11,627	Mondi Plc		218,766
	18,252	Moneysupermarket.com Group Plc		77,903
	103,153	Morgan Advanced Materials Plc		272,596
	19,072	Morgan Sindall Group Plc		289,152
	204,452	National Express Group Plc		551,475
	25,447	Next Plc		1,538,936
	33,029	Numis Corp Plc		124,910
	76,178	OneSavings Bank Plc		263,016
	79,944	Paragon Banking Group Plc		349,936
	88,572	Pennon Group Plc		1,255,453
	357,572	Persimmon Plc		10,199,359
	314,397	Pets at Home Group Plc		894,848
	184,077	Plus500 Ltd		3,005,358
	639,863	QinetiQ Group Plc		2,348,621
	15,424	Redrow Plc		89,761
	105,061	Regional REIT Ltd		100,752
	83,324	Royal Dutch Shell Plc – A Shares (a)		1,330,330
	26,148	Royal Dutch Shell Plc – B Shares		399,198
	23,700	Royal Dutch Shell Plc – Class B Sponsored ADR		721,428
	12,791	RPS Group Plc		6,789
	342,706	Sirius Real Estate Ltd		339,544
	33,500	Smith & Nephew Plc Sponsored ADR		1,367,135
	72,081	Smiths Group Plc *		1,175,256
	54,585	Softcat Plc		777,391
	381,635	Spirent Communications Plc		1,185,213
	68,769	Stock Spirits Group Plc		206,894
	618,436	Tate & Lyle Plc		5,158,659
	66,136	TI Fluid Systems Plc		156,583
	98,250	UK Commercial Property REIT Ltd		75,169
	14,597	Ultra Electronics Holdings Plc		356,544
	21,029	UNITE Group Plc (The) (REIT) *		226,023
	22,850	United Utilities Group Plc		260,130
	50,775	Vectura Group Plc		57,320
	42,659	Vesuvius Plc		194,510
	40,435	Vistry Group Plc		384,185
	419,339	WM Morrison Supermarkets Plc (a)		972,888
		Total United Kingdom		120,527,152
		United States — 8.0%
	9,500	1-800-Flowers.com, Inc. – Class A *		210,330
	3,300	1st Source Corp.		114,147
	10,000	3M Co. (a)		1,564,400
	150,803	ACCO Brands Corp.		933,471
	62,800	Acushnet Holdings Corp. (c)		2,098,776
	4,100	Adtalem Global Education, Inc. *		137,186
	31,000	ADTRAN, Inc.		353,400
	3,300	Allied Motion Technologies, Inc.		119,427
	80,100	Allscripts Healthcare Solutions, Inc. *		506,232
	28,400	Alpha & Omega Semiconductor Ltd. *		298,768
	6,400	Amalgamated Bank – Class A		71,872
	23,200	American Equity Investment Life Holding Co.		503,208

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	17,000	American Express Co. (a)		1,616,190
	5,200	American Public Education, Inc. *		163,436
	5,900	American Vanguard Corp.		78,470
	73,200	Amkor Technology, Inc. * (a)		774,456
	18,300	AngioDynamics, Inc. *		186,843
	30,600	Applied Materials, Inc.		1,719,108
	9,200	ArcBest Corp.		205,988
	11,600	Arcosa, Inc.		442,772
	7,500	Arcus Biosciences, Inc. *		235,125
	18,500	Ares Commercial Real Estate Corp. (REIT)		137,825
	55,900	Arlo Technologies, Inc. *		123,539
	17,300	Armada Hoffler Properties, Inc.(REIT)		149,126
	17,900	Artisan Partners Asset Management, Inc. – Class A		518,563
	1,300	Arvinas, Inc. *		43,251
	4,300	AutoNation, Inc. *		169,764
	12,700	Avista Corp. (a)		497,459
	9,000	Avnet, Inc.		245,160
	14,700	Axcelis Technologies, Inc. *		394,695
	10,100	AZZ, Inc.		319,766
	11,000	Bancorp, Inc. (The) *		96,800
	6,000	BankFinancial Corp.		54,480
	57,600	Benchmark Electronics, Inc.		1,220,544
	4,700	Berry Corp.		19,928
	25,700	Big Lots, Inc.		995,875
	89,600	Bloomin’ Brands, Inc.		1,022,336
	6,000	Boise Cascade Co.		204,180
	1,000	Booking Holdings, Inc. * (a)		1,639,420
	58,500	BorgWarner, Inc. (a)		1,880,775
	28,800	Boston Private Financial Holdings, Inc.		197,856
	50,700	Brady Corp. – Class A (c)		2,592,291
	1,400	Bridge Bancorp, Inc.		29,820
	44,800	Brightsphere Investment Group, Inc. *		374,080
	68,000	Brinker International, Inc. *		1,791,800
	16,500	Brookline Bancorp, Inc.		153,450
	103,300	Builders FirstSource, Inc. * (c)		2,149,673
	4,100	Camden National Corp.		137,514
	4,200	Carpenter Technology Corp. (a)		98,154
	6,400	Carriage Services, Inc.		119,808
	39,500	Cars.com, Inc. *		243,715
	7,300	Cato Corp. (The) – Class A		70,810
	16,900	CBIZ, Inc. *		382,785
	30,400	Cedar Realty Trust, Inc. (REIT)		22,633
	3,700	Central Garden & Pet Co. *		135,753
	11,500	Central Garden & Pet Co. – Class A *		393,990
	2,100	Century Bancorp, Inc. – Class A		158,340
	4,100	Cerence, Inc. *		122,631
	900	CEVA, Inc. *		31,023
	40,200	Charles Schwab Corp. (The)		1,443,582
	19,300	Chevron Corp.		1,769,810
	2,700	Civista Bancshares, Inc.		41,148
	9,221	Clarus Corp. (a)		96,820

Shares		Description	Value ($)
		United States — continued
	2,000	CNB Financial Corp.		35,440
	1,200	Community Trust Bancorp, Inc.		39,408
	17,200	Computer Programs & Systems, Inc.		380,464
	48,400	Comtech Telecommunications Corp. (a)		862,004
	18,000	Consolidated Communications Holdings, Inc. *		109,080
	15,200	Cooper Tire & Rubber Co.		391,096
	22,800	Core-Mark Holding Co., Inc.		637,944
	146,100	CoreCivic, Inc. (REIT) (c)		1,757,583
	80,500	CorePoint Lodging, Inc. (REIT)		318,780
	53,500	Corteva, Inc.		1,461,085
	7,715	CRA International, Inc.		311,609
	16,500	CSG Systems International, Inc.		781,275
	6,400	CTS Corp.		136,576
	17,800	Curo Group Holdings Corp.		119,082
	14,700	Cushman & Wakefield Plc *		150,675
	16,400	CytomX Therapeutics, Inc. *		145,304
	12,000	Dana, Inc. *		151,680
	25,700	Deluxe Corp.		599,581
	44,400	Designer Brands, Inc. – Class A		272,172
	37,800	DHI Group, Inc. *		100,926
	700	Diamond Hill Investment Group, Inc.		73,472
	43,900	Dick’s Sporting Goods, Inc. *		1,583,034
	34,600	Digi International, Inc. * (a)		385,098
	17,740	Dime Community Bancshares, Inc.		255,988
	43,700	Donnelley Financial Solutions, Inc. *		356,155
	3,900	Douglas Dynamics, Inc.		142,506
	23,000	DSP Group, Inc. *		414,460
	9,500	Ducommun, Inc. *		305,900
	59,000	Ellington Financial, Inc.		601,800
	10,100	Emergent BioSolutions, Inc. * (a)		843,249
	12,600	Employers Holdings, Inc.		376,614
	10,100	Enanta Pharmaceuticals, Inc. * (a)		520,049
	23,100	Encore Capital Group, Inc. * (a)		733,887
	4,600	Encore Wire Corp.		222,134
	13,800	Ennis, Inc.		245,640
	70,234	Enova International, Inc. *		993,811
	5,000	EnPro Industries, Inc.		225,400
	38,300	EOG Resources, Inc. (a)		1,952,151
	4,300	ePlus, Inc. *		316,953
	1,800	Escalade, Inc.		18,144
	1,900	ESSA Bancorp, Inc. (a)		27,265
	45,100	Essent Group Ltd. (c)		1,490,555
	52,200	Ethan Allen Interiors, Inc.		589,860
	3,500	EVERTEC, Inc.		101,920
	9,667	Evofem Biosciences, Inc. * (a)		52,782
	12,700	Evolution Petroleum Corp.		30,988
	71,700	Federal Signal Corp. (c)		2,089,338
	49,600	Federated Investors, Inc. – Class B		1,098,144
	5,550	FedNat Holding Co.		67,654
	20,200	Ferro Corp. *		242,804
	5,800	Financial Institutions, Inc.		102,602
	21,200	First American Financial Corp. (a)		1,070,388

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	17,600	First Commonwealth Financial Corp.		143,968
	3,800	First Community Bankshares, Inc.		81,206
	24,600	First Defiance Financial Corp.		408,606
	2,535	First Financial Corp.		88,978
	1,800	First Financial Northwest, Inc.		17,586
	64,600	Flagstar Bancorp, Inc. (a)(c)		1,892,780
	8,900	Flushing Financial Corp. (a)		100,926
	7,700	Focus Financial Partners, Inc. – Class A * (a)		214,368
	2,600	FONAR Corp. *		62,140
	26,400	FormFactor, Inc. *		664,488
	20,800	Fulton Financial Corp. (a)		233,168
	8,400	FutureFuel Corp.		109,872
	30,700	Garrett Motion, Inc. *		158,719
	13,500	Genesco, Inc. * (a)		249,615
	19,900	Genie Energy Ltd. – Class B (a)		171,339
	4,700	Gentherm, Inc. *		191,290
	63,700	GEO Group, Inc. (REIT)		763,126
	1,000	German American Bancorp, Inc.		30,980
	8,700	Gibraltar Industries, Inc. * (a)		382,887
	71,000	Glu Mobile, Inc. *		708,580
	9,300	Gorman-Rupp Co. (The)		285,138
	2,585	Great Southern Bancorp, Inc.		104,848
	31,300	Greif, Inc. – Class A		1,063,574
	45,100	Griffon Corp. (a)		757,680
	28,200	Group 1 Automotive, Inc. * (a)(c)		1,774,908
	30,800	H&R Block, Inc. (a)		523,600
	1,900	Hackett Group, Inc. (The)		26,201
	18,900	Hasbro, Inc. (a)		1,389,339
	34,100	Haverty Furniture Cos, Inc.		589,930
	800	Hawkins, Inc.		34,320
	11,200	HealthStream, Inc. *		255,136
	7,700	Heidrick & Struggles International, Inc.		170,786
	60,730	Herman Miller, Inc. * (c)		1,398,005
	14,700	Hibbett Sports, Inc. *		284,004
	3,400	Hill-Rom Holdings, Inc.		345,678
	50,300	Hilltop Holdings, Inc. (a)		940,107
	12,600	Hilton Worldwide Holdings, Inc. *		999,306
	14,700	HNI Corp.		374,409
	1,200	HomeStreet, Inc.		28,584
	7,400	Home Depot, Inc. (The) (a)		1,838,752
	9,161	Honeywell International, Inc.		1,336,132
	6,700	Hub Group, Inc. – Class A *		313,359
	1,600	Hurco Cos, Inc.		50,016
	3,900	Huron Consulting Group, Inc. *		180,414
	12,700	Hyster-Yale Materials Handling, Inc. (a)		464,947
	12,500	IDT Corp. – Class B *		79,250
	9,700	Illinois Tool Works, Inc. (a)		1,672,862
	400	Independence Holding Co.		11,620
	7,946	Independent Bank Corp.		109,814
	12,200	Information Services Group, Inc. *		20,984
	9,900	Ingles Markets, Inc. – Class A		421,839
	22,705	Innospec, Inc.		1,750,328

Shares		Description	Value ($)
		United States — continued
	5,100	Innoviva, Inc. *		71,247
	6,200	Inogen, Inc. *		235,600
	43,700	Insight Enterprises, Inc. * (a)(c)		2,240,062
	14,300	Integer Holdings Corp. *		1,132,274
	16,600	Inter Parfums, Inc. *		770,406
	16,700	Intercontinental Exchange, Inc.		1,624,075
	19,500	Interface, Inc.		165,555
	30,500	International Bancshares Corp. (c)		938,790
	4,800	International Seaways, Inc.		108,864
	16,200	INTL. FCStone, Inc. *		826,362
	173,600	Investors Bancorp, Inc.		1,506,848
	44,400	iStar, Inc. (REIT)		485,292
	408	Janus Henderson Group Plc CDI		8,905
	2,700	John B. Sanfilippo & Son, Inc.		234,738
	9,600	Johnson Outdoors, Inc. – Class A (a)		745,056
	16,900	Kelly Services, Inc. – Class A		253,331
	5,200	Kforce, Inc.		157,040
	10,100	Kimball Electronics, Inc. *		143,319
	32,900	Kimball International, Inc. – Class B		368,151
	31,500	Knoll, Inc.		332,640
	16,100	Koppers Holdings, Inc. *		266,777
	13,100	Kronos Worldwide, Inc.		127,856
	27,300	La-Z-Boy, Inc. (a)		702,156
	1,100	Lakeland Financial Corp.		46,959
	18,600	Lantheus Holdings, Inc. *		255,378
	319,100	Laredo Petroleum, Inc. * (a)		270,756
	19,800	Las Vegas Sands Corp. *		949,212
	3,000	LCNB Corp.		44,610
	89,300	Liberty TripAdvisor Holdings, Inc. – Class A *		212,087
	16,800	Luminex Corp. (a)		523,488
	56,500	Lyft, Inc. – Class A *		1,766,190
	4,800	Macatawa Bank Corp.		35,472
	5,800	Malibu Boats, Inc. – Class A *		273,354
	4,200	ManTech International Corp. – Class A		326,508
	15,400	Marchex, Inc. – Class B *		23,870
	1,542	Markel Corp. *		1,383,822
	6,600	Marten Transport Ltd.		168,894
	19,200	Materion Corp. (c)		1,008,000
	18,877	Matrix Service Co. *		208,025
	39,300	MDC Holdings, Inc.		1,335,807
	53,400	MDC Partners Inc – Class A *		70,221
	3,000	Mercantile Bank Corp.		68,820
	21,100	Meridian Bioscience, Inc. *		326,206
	74,000	Meritor, Inc. * (c)		1,508,120
	9,600	Methode Electronics, Inc.		300,960
	86,600	MFA Financial, Inc. (REIT)		146,354
	3,900	MicroStrategy, Inc. – Class A *		485,472
	4,800	Miller Industries, Inc.		142,224
	4,100	Minerals Technologies, Inc.		202,171
	37,100	Modine Manufacturing Co. *		198,485
	29,200	Moog, Inc. – Class A *		1,585,268
	25,000	Movado Group, Inc. * (a)		262,500

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	14,500	Mueller Industries, Inc. (a)		388,310
	23,200	Mueller Water Products, Inc. – Class A		216,688
	12,600	National General Holdings Corp.		255,780
	2,000	National Presto Industries, Inc. (a)		179,980
	11,400	Natus Medical, Inc. *		243,960
	33,400	Navient Corp.		248,496
	5,200	Neenah, Inc.		262,912
	18,900	NETGEAR, Inc. * (a)		486,297
	4,200	NetScout Systems, Inc. *		115,374
	212,900	Newmark Group, Inc. – Class A (a)		904,825
	3,800	NextGen Healthcare, Inc. *		39,216
	4,500	NIC, Inc.		108,270
	675	Nicolet Bankshares, Inc. *		37,739
	942	Northrim BanCorp, Inc.		21,732
	53,600	Northwest Bancshares, Inc. (a)		533,856
	4,600	O’Reilly Automotive, Inc. * (a)		1,919,304
	396,700	Office Depot, Inc. (a)		979,849
	55,300	OFG Bancorp		671,895
	7,200	Olympic Steel, Inc. (a)		79,416
	8,400	OneSpan, Inc. *		170,688
	13,006	Oppenheimer Holdings, Inc. – Class A		275,467
	23,200	OraSure Technologies, Inc. *		337,328
	34,000	Owens & Minor, Inc.		269,620
	2,400	Oxford Immunotec Global Plc *		29,400
	14,000	Pacira BioSciences, Inc. * (a)		615,300
	2,500	Park National Corp.		187,175
	4,600	Park-Ohio Holdings Corp. (a)		67,114
	55,300	Patterson Cos., Inc.		1,088,857
	17,300	PC Connection, Inc. (a)		748,744
	83,400	PDL BioPharma, Inc. * (a)		272,718
	21,200	Penn Virginia Corp. * (a)		186,136
	600	Penns Woods Bancorp, Inc.		12,876
	64,300	PennyMac Financial Services, Inc. (a)		2,159,194
	138,400	PennyMac Mortgage Investment Trust (REIT) (a)		1,523,784
	2,400	Peoples Bancorp, Inc.		53,928
	32,900	Perdoceo Education Corp. * (a)		535,612
	6,200	Phibro Animal Health Corp. – Class A		162,440
	28,600	Photronics, Inc. *		342,914
	3,800	Piper Sandler Cos.		226,632
	500	Plexus Corp. *		32,110
	54,000	PolyOne Corp. (a)		1,338,120
	11,200	Portland General Electric Co.		527,632
	8,900	PRA Group, Inc. * (a)		303,668
	400	Preformed Line Products Co.		19,852
	2,900	Premier Financial Bancorp, Inc.		38,454
	42,900	Prestige Consumer Healthcare, Inc. * (a)		1,810,380
	2,000	Principia Biopharma, Inc. *		127,780
	38,300	Progress Software Corp.		1,547,320
	3,600	Protective Insurance Corp. – Class B		49,752
	700	Providence Service Corp. (The) *		56,350
	11,800	Quanex Building Products Corp.		146,320

Shares		Description	Value ($)
		United States — continued
	35,800	Qurate Retail, Inc. – Series A *		294,813
	120,300	Radian Group, Inc. (c)		1,910,364
	25,958	Raytheon Technologies Corp. (a)		1,674,810
	12,600	Realogy Holdings Corp. (a)		76,356
	1,400	Regional Management Corp. *		22,204
	12,800	Reliance Steel & Aluminum Co.		1,241,600
	8,000	Renewable Energy Group, Inc. *		227,600
	13,600	Rent-A-Center, Inc. (a)		346,256
	2,600	Republic Bancorp, Inc. – Class A		83,330
	8,000	Resideo Technologies, Inc. *		56,480
	26,200	Resources Connection, Inc.		287,938
	62,900	Retail Properties of America, Inc. – Class A (REIT)		340,918
	3,665	Riverview Bancorp, Inc.		18,325
	8,600	Rocky Brands, Inc.		178,364
	21,000	RTI Surgical Holdings, Inc. * (a)		57,120
	5,500	Rush Enterprises, Inc. – Class A		228,910
	4,800	Ryerson Holding Corp. *		23,952
	1,800	Safety Insurance Group, Inc.		137,232
	55,900	Sally Beauty Holdings, Inc. *		728,936
	5,800	Sandy Spring Bancorp, Inc.		140,650
	91,700	Sanmina Corp. * (c)		2,440,137
	12,700	Scholastic Corp.		373,380
	49,300	Schweitzer-Mauduit International, Inc. (a)		1,498,227
	13,700	Sciplay Corp. – Class A *		192,074
	22,400	Select Medical Holdings Corp. *		361,536
	3,700	Seneca Foods Corp. – Class A *		134,939
	47,800	Sensata Technologies Holding Plc *		1,704,070
	24,400	Shoe Carnival, Inc.		634,156
	8,500	Sierra Bancorp		160,140
	37,300	Signet Jewelers Ltd.		393,515
	16,100	Skyworks Solutions, Inc. (c)		1,908,494
	6,300	Sleep Number Corp. *		196,371
	46,900	Sonic Automotive, Inc. – Class A (a)		1,232,532
	61,100	Southwestern Energy Co. *		183,911
	16,800	SpartanNash Co.		359,688
	37,200	Spok Holdings, Inc.		382,044
	21,300	SPX Corp. *		851,574
	500	Stamps.com, Inc. *		99,075
	7,100	Standard Motor Products, Inc.		302,105
	4,000	Star Group LP		31,600
	71,200	Steelcase, Inc. – Class A		824,496
	9,200	Stepan Co.		893,872
	36,000	Stoneridge, Inc. *		740,880
	171,000	Summit Hotel Properties, Inc. (REIT)		1,068,750
	86,000	Sunstone Hotel Investors, Inc. (REIT) (c)		761,100
	1,200	Surmodics, Inc. *		44,376
	32,000	Sykes Enterprises, Inc. * (a)		872,320
	1,300	Synaptics, Inc. *		82,836
	10,500	Systemax, Inc.		220,395
	4,200	Talos Energy, Inc. * (a)		51,030
	190,136	TEGNA, Inc.		2,228,394

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	64,200	Telephone & Data Systems, Inc. (c)		1,315,458
	3,300	Tennant Co.		211,002
	37,200	Terex Corp.		584,784
	3,800	Territorial Bancorp, Inc.		96,634
	17,100	Third Point Reinsurance Ltd. *		126,198
	700	Timberland Bancorp, Inc.		12,579
	2,200	Towne Bank/Portsmouth VA		41,492
	7,000	Translate Bio, Inc. * (a)		145,040
	28,300	Tredegar Corp.		433,273
	57,800	TRI Pointe Group, Inc. * (a)		827,696
	27,500	Tribune Publishing Co.		261,250
	11,800	TriCo Bancshares		334,766
	5,900	TriMas Corp. *		139,535
	2,300	Triple-S Management Corp. – Class B *		45,770
	12,200	TrueBlue, Inc. *		188,612
	4,900	TrustCo Bank Corp. NY		30,870
	41,300	UFP Industries, Inc.		1,888,649
	5,000	Umpqua Holdings Corp.		56,950
	20,000	Unisys Corp. *		227,200
	8,000	United States Cellular Corp. *		252,080
	2,000	Unitil Corp.		96,340
	39,800	Universal Corp. (c)		1,753,588
	1,500	Universal Electronics, Inc. *		67,860
	9,100	Universal Insurance Holdings, Inc.		162,526
	1,800	Univest Financial Corp.		29,592
	41,500	US Bancorp		1,475,740
	800	USANA Health Sciences, Inc. *		67,776
	33,700	Valvoline, Inc. (a)		618,395
	21,700	Vanda Pharmaceuticals, Inc. *		254,324
	1,200	Vapotherm, Inc. * (a)		31,956
	11,000	Varex Imaging Corp. *		206,360
	23,100	Vectrus, Inc. *		1,268,652
	45,800	Vera Bradley, Inc. *		240,450
	11,000	Veritiv Corp. *		137,060
	32,281	Verso Corp. – Class A *		464,201
	27,300	VF Corp. (a)		1,531,530
	3,200	Village Super Market, Inc. – Class A		76,576
	3,853	Vishay Precision Group, Inc. *		91,008
	9,200	Vista Outdoor, Inc. *		89,332
	51,500	Waddell & Reed Financial, Inc. – Class A (a)		671,560
	30,600	Walker & Dunlop, Inc. (c)		1,239,300
	1,000	Washington Trust Bancorp, Inc.		31,970
	19,600	Waterstone Financial, Inc.		292,040
	4,700	Weis Markets, Inc.		261,931
	10,400	Westwood Holdings Group, Inc.		184,392
	3,900	Weyco Group, Inc.		72,813
	15,100	Wolverine World Wide, Inc.		316,194
	83,200	World Fuel Services Corp. (c)		2,119,936
	16,600	Worthington Industries, Inc.		496,672
	18,700	WW International, Inc. *		446,930
	135,104	Xenia Hotels & Resorts, Inc. (REIT) *		1,215,936
	41,900	Xperi Corp.		576,125

Shares		Description	Value ($)
		United States — continued
	31,400	Zumiez, Inc. *		765,218
		Total United States		191,598,015
		Vietnam — 0.0%
	71,230	Kinh Bac City Development Share Holding Corp		43,150
	13,660	PetroVietnam Gas JSC		43,973
	142,000	PetroVietnam Technical Services Corp		77,331
	10,220	Pha Lai Thermal Power JSC		10,607
	20,810	Vinh Hoan Corp		30,174
		Total Vietnam		205,235
		TOTAL COMMON STOCKS (COST $1,675,879,601)		1,558,027,510
		PREFERRED STOCKS (e) — 1.4%
		Brazil — 0.4%
	289,300	Banco do Estado do Rio Grande do Sul SA – Class B		679,838
	75,300	Bradespar SA		497,409
	287,900	Cia Paranaense de Energia – Class B		3,415,114
	500	Randon SA Implementos e Participacoes		825
	434,400	Telefonica Brasil SA		3,837,418
		Total Brazil		8,430,604
		Colombia — 0.0%
	2,263	Banco Davivienda SA		14,864
	239,237	Grupo Aval Acciones y Valores SA		53,941
		Total Colombia		68,805
		Germany — 0.1%
	4,437	Draegerwerk AG & Co KGaA		352,419
	26,852	Henkel AG & Co KGaA		2,401,490
	41,026	Schaeffler AG		315,991
	2,328	Sixt SE		128,470
	1,897	Villeroy & Boch AG		25,107
		Total Germany		3,223,477
		Russia — 0.3%
	28,185	Bashneft PJSC		572,260
	56,000	Nizhnekamskneftekhim PJSC		66,908
	39,510	Sberbank of Russia PJSC		102,729
	10,468,200	Surgutneftegas PJSC		5,280,349
	101	Transneft PJSC		185,366
		Total Russia		6,207,612
		South Korea — 0.6%
	1,464	Hyundai Motor Co Ltd Prf		66,830
	2,278	Hyundai Motor Co Ltd-2nd Prf		111,181
	22,409	LG Electronics Inc		390,123
	384,873	Samsung Electronics Co Ltd		13,399,839

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		South Korea — continued
	1,780	Samsung Electronics Co Ltd GDR (Registered)		1,549,119
		Total South Korea		15,517,092
		Taiwan — 0.0%
	20,463	CTBC Financial Holding Co Ltd		44,969
		TOTAL PREFERRED STOCKS (COST $33,800,060)		33,492,559
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	60,875	Asian Pay Television Trust *		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		INVESTMENT FUNDS — 0.6%
		United States — 0.6%
	308,705	iShares Core MSCI Emerging Markets ETF		13,904,073
		TOTAL INVESTMENT FUNDS (COST $13,728,239)		13,904,073
		DEBT OBLIGATIONS — 7.7%
		United States — 7.7%
		Asset-Backed Securities — 0.2%
	94,406	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.97%, due 07/24/29		94,498
	119,570	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.82%, due 04/15/31		119,542
	54,250	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.74%, due 04/20/31		54,249
	57,307	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.99%, due 11/17/27		57,302
	161,738	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.74%, due 07/26/31		161,726
	140,348	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.09%, due 04/25/26		140,673
	103,345	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.29%, due 07/20/25		103,410
	86,800	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.82%, due 04/15/30		86,799
	467,082	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.17%, due 10/25/37		462,594

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	168,186	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 1.02%, due 04/25/36		168,057
	233,662	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 1.92%, due 07/15/31		233,661
	82,612	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.70%, due 04/22/30		82,607
	2,571,735	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		3
	91,547	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.74%, due 04/20/31		91,401
	38,426	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.33%, due 01/16/26		38,311
	428,000	Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 1.79%, due 10/25/31		424,472
	209,622	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.99%, due 05/16/31		208,247
	72,286	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 1.64%, due 01/27/31		72,161
	447,255	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 1.30%, due 07/25/29		439,816
	77,306	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 1.84%, due 04/20/31		77,189
	227,164	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.74%, due 04/20/31		225,923
	132,071	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.09%, due 07/20/30		131,732
	45,775	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.43%, 0.92%, due 04/25/31		45,651
	662,603	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.76%, due 06/25/37		644,227
	399,280	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.74%, due 04/19/30		397,307
	185,877	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 1.83%, due 01/16/31		185,009
	151,753	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 1.56%, due 05/15/26		150,956
	405,067	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.88%, due 04/17/28		404,995

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares / Par Value†			Description	Value ($)
			United States — continued
			Asset-Backed Securities — continued
	345,413		Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.88%, due 01/17/30		342,751
	191,606		Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.42%, due 05/25/47		190,217
	111,001		Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		110,666
			Total Asset-Backed Securities		5,946,152
			U.S. Government — 7.5%
	65,000,000		U.S. Treasury Note, 1.50%, due 10/31/21 (c)		66,206,055
	43,000,000		U.S. Treasury Note, 1.63%, due 12/31/21 (c)		43,977,578
	25,000,000		U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.28%, due 01/31/22 (c)		25,028,077
	42,857,200		U.S. Treasury Note, 1.38%, due 01/31/22		43,709,322
			Total U.S. Government		178,921,032
			Total United States		184,867,184
			TOTAL DEBT OBLIGATIONS (COST $186,184,504)		184,867,184
			MUTUAL FUNDS — 27.0%
			United States — 27.0%
			Affiliated Issuers — 27.0%
	3,249,428		GMO Emerging Country Debt Fund, Class IV		80,780,779
	8,560,809		GMO Emerging Markets Fund, Class VI		245,524,005
	6,108,296		GMO Opportunistic Income Fund, Class VI		155,089,632
	1,850,110		GMO SGM Major Markets Fund, Class VI		59,055,503
	3,936,928		GMO Special Opportunities Fund, Class VI		97,950,761
	1,969,795		GMO U.S. Treasury Fund (f)		9,927,770
			TOTAL MUTUAL FUNDS (COST $625,999,719)		648,328,450
			TOTAL INVESTMENTS — 101.6% (Cost $2,535,592,123)		2,438,619,776
			SECURITIES SOLD SHORT — (1.3)%
			Common Stocks — (1.3)%
			Austria — (0.1)%
	(9,216	)	ANDRITZ AG *		(345,285	)
	(10,387	)	IMMOFINANZ AG *		(194,618	)
	(800	)	OMV AG		(26,435	)
	(1,601	)	Schoeller-Bleckmann Oilfield Equipment AG		(43,585	)
	(58,852	)	voestalpine AG		(1,149,355	)
			Total Austria		(1,759,278	)
			Brazil — (0.1)%
	(81,200	)	Pagseguro Digital Ltd – Class A *		(2,576,476	)
	(5,800	)	StoneCo Ltd – Class A *		(183,744	)
			Total Brazil		(2,760,220	)

Shares			Description	Value ($)
			Canada — (0.0)%
	(70,400	)	AltaGas Ltd		(755,719	)
			Denmark — (0.2)%
	(332	)	AP Moller – Maersk A/S – Class A		(304,925	)
	(1,055	)	AP Moller – Maersk A/S – Class B		(1,040,149	)
	(21,542	)	Chr Hansen Holding A/S		(2,092,053	)
	(10,609	)	Jyske Bank A/S (Registered) *		(292,956	)
			Total Denmark		(3,730,083	)
			Finland — (0.1)%
	(219,268	)	Nokia Oyj		(871,940	)
	(18,121	)	Nokian Renkaat Oyj		(422,104	)
			Total Finland		(1,294,044	)
			France — (0.0)%
	(96,542	)	ArcelorMittal SA		(924,630	)
	(21,351	)	Electricite de France SA		(190,513	)
			Total France		(1,115,143	)
			Germany — (0.2)%
	(430,371	)	Deutsche Bank AG (Registered) *		(3,602,690	)
	(47,182	)	thyssenkrupp AG *		(320,667	)
			Total Germany		(3,923,357	)
			Israel — (0.1)%
	(10,100	)	Wix.com Ltd *		(2,245,533	)
			Japan — (0.3)%
	(13,100	)	Coca-Cola Bottlers Japan Holdings Inc		(260,121	)
	(600	)	CyberAgent Inc		(30,341	)
	(59	)	Daiwa House REIT Investment Corp		(145,499	)
	(700	)	FANUC Corp		(125,089	)
	(2,000	)	Hitachi Metals Ltd		(23,043	)
	(9,600	)	Idemitsu Kosan Co Ltd		(213,732	)
	(8,500	)	IHI Corp		(122,580	)
	(26,700	)	Japan Lifeline Co Ltd		(361,373	)
	(22	)	Japan Real Estate Investment Corp		(119,745	)
	(55	)	Japan Retail Fund Investment Corp (REIT)		(72,538	)
	(101,400	)	JGC Holding Corp		(1,093,475	)
	(1,800	)	JINS Holdings Inc		(114,393	)
	(20,700	)	Kansai Paint Co Ltd		(429,083	)
	(12,900	)	Keikyu Corp		(216,430	)
	(11,100	)	Kobe Steel Ltd *		(41,414	)
	(46,400	)	Kyushu Electric Power Co Inc		(386,732	)
	(2,900	)	Maruichi Steel Tube Ltd		(74,398	)
	(9,600	)	Mitsubishi Materials Corp		(219,004	)
	(70,600	)	Mitsui OSK Lines Ltd		(1,254,555	)
	(600	)	Nidec Corp		(36,934	)
	(83,800	)	Nippon Yusen KK		(1,211,775	)
	(205,600	)	Orient Corp		(245,450	)
	(23	)	Orix JREIT Inc		(33,243	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares			Description	Value ($)
			Japan — continued
	(48,500	)	Yamato Holdings Co Ltd		(1,079,024	)
	(7,200	)	Yaskawa Electric Corp		(259,720	)
			Total Japan		(8,169,691	)
			Netherlands — (0.0)%
	(3,949	)	Just Eat Takeaway *		(430,501	)
			Norway — (0.0)%
	(7,957	)	Aker BP ASA		(128,619	)
	(12,133	)	Wallenius Wilhelmsen ASA *		(18,188	)
			Total Norway		(146,807	)
			Singapore — (0.0)%
	(134,600	)	Singapore Post Ltd		(73,603	)
			Spain — (0.1)%
	(28,639	)	Cellnex Telecom SA		(1,606,883	)
			Sweden — (0.0)%
	(19,581	)	Lundin Energy AB		(477,745	)
	(9,801	)	Tele2 AB-Class B		(129,862	)
			Total Sweden		(607,607	)

Shares			Description	Value ($)
			Switzerland — (0.0)%
	(1,548	)	Dufry AG (Registered)		(46,327	)
			United Kingdom — (0.0)%
	(336,070	)	G4S Plc *		(376,186	)
	(58	)	Mediclinic International Plc		(195	)
	(283,308	)	Melrose Industries Plc		(408,434	)
	(33,899	)	Rolls-Royce Holdings Plc		(115,543	)
	(23,497	)	Weir Group Plc (The)		(283,624	)
			Total United Kingdom		(1,183,982	)
			United States — (0.1)%
	(10,388	)	Digital Realty Trust, Inc. (REIT)		(1,491,301	)
			TOTAL COMMON STOCKS (PROCEEDS $32,765,487)		(31,340,079	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $32,765,487)		(31,340,079	)
			Other Assets and Liabilities (net) — (0.3%)		(7,735,188	)
			TOTAL NET ASSETS — 100.0%		$2,399,544,509

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/18/2020	MSCI		AUD	33,756,200		USD	21,705,743		(794,915	)
08/06/2020	DB		AUD	2,610,000		USD	1,691,630		(48,086	)
08/18/2020	BOA		AUD	33,756,200		USD	21,681,945		(818,092	)
08/04/2020	GS		BRL	3,384,476		USD	590,000		(42,533	)
06/03/2020	MSCI		CAD	5,847,648		USD	4,200,000		(47,120	)
08/14/2020	BCLY		CHF	1,181,686		USD	1,220,000		(11,169	)
08/14/2020	JPM		CHF	2,955,670		USD	3,070,000		(9,440	)
06/03/2020	MSCI		CLP	1,477,980,000		USD	1,800,000		(46,550	)
09/01/2020	JPM		CLP	1,477,980,000		USD	1,810,363		(36,630	)
08/06/2020	MSCI		COP	4,182,840,000		USD	1,080,000		(35,234	)
07/14/2020	JPM		CZK	44,148,305		USD	1,740,000		(81,598	)
06/18/2020	JPM		EUR	130,553,200		USD	141,121,312		(3,845,970	)
07/27/2020	DB		EUR	2,180,000		USD	2,369,470		(53,199	)
08/18/2020	BCLY		EUR	130,553,200		USD	141,069,260		(4,085,046	)
08/18/2020	JPM		EUR	13,143,300		USD	14,416,749		(196,501	)
08/18/2020	MSCI		EUR	9,571,100		USD	10,579,755		(61,779	)
06/18/2020	JPM		GBP	43,833,100		USD	53,500,118		(637,183	)
08/14/2020	MSCI		GBP	5,340,000		USD	6,505,612		(91,214	)
08/18/2020	BCLY		GBP	43,833,100		USD	53,456,526		(693,983	)
06/18/2020	MSCI		HKD	142,439,600		USD	18,369,348		(442	)
08/18/2020	CITI		HKD	142,439,600		USD	18,357,156		15,861
07/14/2020	JPM		HUF	567,175,053		USD	1,750,000		(63,342	)
08/19/2020	BCLY		IDR	4,354,669,000		USD	290,000		(2,346	)

Settlement Date	Counter party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/19/2020	JPM		IDR	7,140,000,000		USD	480,000		664
06/04/2020	JPM		INR	79,663,500		USD	1,051,806		(2,160	)
07/01/2020	GS		INR	18,182,880		USD	240,000		(148	)
06/18/2020	JPM		JPY	8,772,351,700		USD	82,076,137		716,679
08/18/2020	BOA		JPY	8,772,351,700		USD	81,996,857		560,057
08/18/2020	JPM		JPY	1,179,486,900		USD	10,957,390		7,802
08/05/2020	JPM		NZD	7,920,000		USD	4,759,230		(155,377	)
08/05/2020	MSCI		NZD	4,890,000		USD	2,973,389		(61,008	)
06/02/2020	BCLY		PHP	13,675,230		USD	270,000		(155	)
06/02/2020	JPM		PHP	7,604,700		USD	150,000		(231	)
06/02/2020	MSCI		PHP	10,759,350		USD	212,530		(21	)
09/01/2020	JPM		PHP	13,731,930		USD	270,000		(404	)
06/15/2020	JPM		PLN	5,871,716		USD	1,410,000		(53,807	)
06/15/2020	MSCI		PLN	1,316,672		USD	330,000		1,756
07/17/2020	MSCI		RUB	131,949,000		USD	1,800,000		(60,440	)
06/15/2020	BCLY		THB	20,743,060		USD	650,000		(2,055	)
07/16/2020	JPM		TRY	1,665,080		USD	240,000		(545	)
08/06/2020	MSCI		USD	2,605,308		AUD	3,980,000		47,592
08/04/2020	MSCI		USD	960,000		BRL	5,160,564		4,471
06/03/2020	JPM		USD	4,100,000		CAD	5,654,367		6,742
08/14/2020	DB		USD	440,000		CHF	425,699		3,525
06/03/2020	JPM		USD	1,810,141		CLP	1,477,980,000		36,409
09/01/2020	MSCI		USD	180,000		CLP	145,386,000		1,685

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Forward Currency Contracts (continued)

Settlement Date	Counter party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/14/2020	GS		USD	370,000		CZK	9,148,327		7,468
07/14/2020	JPM		USD	910,000		CZK	21,982,979		(2,963	)
07/27/2020	JPM		USD	1,360,000		EUR	1,220,000		(4,194	)
07/14/2020	CITI		USD	190,000		HUF	59,451,323		75
08/19/2020	JPM		USD	1,360,000		IDR	20,579,520,000		21,583
06/04/2020	GS		USD	1,050,000		INR	79,663,500		3,967
07/01/2020	JPM		USD	450,321		INR	34,237,890		1,871
06/09/2020	MSCI		USD	12,230,000		JPY	1,313,577,221		(48,965	)
07/01/2020	BCLY		USD	990,000		KRW	1,222,155,000		1,401
08/21/2020	BOA		USD	310,000		MXN	7,280,774		14,526
08/21/2020	CITI		USD	320,000		MXN	7,155,067		(1,077	)
08/21/2020	JPM		USD	1,070,000		MXN	25,548,367		68,768
08/11/2020	JPM		USD	11,080,000		NOK	111,671,965		413,740
08/06/2020	BCLY		USD	210,000		PEN	720,405		(71	)
08/06/2020	JPM		USD	930,000		PEN	3,180,600		(3,159	)

Settlement Date	Counter party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/02/2020	JPM		USD	630,000		PHP	32,039,280		2,937
09/01/2020	MSCI		USD	210,823		PHP	10,759,350		1,046
08/04/2020	BCLY		USD	1,180,000		SEK	11,387,708		29,258
08/04/2020	JPM		USD	9,490,000		SEK	92,652,868		348,786
08/18/2020	GS		USD	90,000		SGD	127,261		104
08/18/2020	JPM		USD	1,110,000		SGD	1,566,128		(1,138	)
06/15/2020	CITI		USD	350,000		THB	11,131,960		(69	)
07/16/2020	JPM		USD	1,540,000		TRY	10,807,477		21,296
07/07/2020	JPM		USD	510,000		TWD	15,281,130		856
07/07/2020	MSCI		USD	960,000		TWD	28,728,000		391
07/31/2020	DB		USD	690,000		ZAR	12,072,412		(6,343	)
07/31/2020	JPM		USD	600,000		ZAR	10,561,954		(1,880	)
								$	(9,767,266	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
135	Mini MSCI Emerging Markets	June 2020		6,297,075		206,279
Sales
2,237	E-mini Russell 2000 Index	June 2020		155,784,680		(18,570,055	)
9,354	Euro STOXX 50	June 2020		318,441,552		(34,663,014	)
1,489	FTSE 100 Index	June 2020		112,359,530		(6,953,744	)
240	Hang Seng Index	June 2020		35,578,251		18,888

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
2,129	S&P 500 E-Mini	June 2020		323,820,900		(31,713,683	)
503	SPI 200	June 2020		48,294,190		(3,465,345	)
1,207	TOPIX Index	June 2020		175,232,646		(12,564,978	)
			$	1,169,511,749	$	(107,911,931	)

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

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) ($)

Sell Protection^:

CDX-NAHYS34V1-5Y

USD

18,709,180

5.00%

5.41%

18,709,180 USD

06/20/2025

Quarterly

$

(2,047,937

)

$

(319,758

)

$

1,728,179

^ 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.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Swap Contracts (continued)

OTC Credit Default Swaps (continued)

(1) As of May 31, 2020, 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) ($)
6 Month AUD BBSW	0.89%	AUD	1,870,000		06/17/2030	Semi-Annually		1,981			1,264			(717	)
0.88%	6 Month AUD BBSW	AUD	7,430,000		06/17/2030	Semi-Annually		—			(427	)		(427	)
0.89%	6 Month AUD BBSW	AUD	3,720,000		06/17/2030	Semi-Annually		—			(2,757	)		(2,757	)
6 Month AUD BBSW	0.95%	AUD	48,480,000		06/17/2030	Semi-Annually		(18,122	)		203,203			221,325
6 Month AUD BBSW	0.90%	AUD	6,420,000		06/17/2030	Semi-Annually		2,111			6,429			4,318
3 Month CAD LIBOR	1.00%	CAD	36,380,000		06/17/2030	Semi-Annually		5,081			(6,286	)		(11,367	)
6 Month CHF LIBOR	(0.34)%	CHF	32,550,000		06/17/2030	Semi-Annually		77,941			23,742			(54,199	)
0.63%	3 Month NZD Bank Bill Rate	NZD	1,520,000		06/17/2030	Quarterly		(643	)		7,993			8,636
0.70%	3 Month NZD Bank Bill Rate	NZD	1,970,000		06/17/2030	Quarterly		—			1,476			1,476
3 Month SEK STIBOR	0.35%	SEK	38,100,000		06/17/2030	Quarterly		—			(8,831	)		(8,831	)
3 Month SEK STIBOR	0.37%	SEK	106,700,000		06/17/2030	Quarterly		(18,754	)		(10,658	)		8,096
3 Month SEK STIBOR	0.40%	SEK	90,300,000		06/17/2030	Quarterly		8,321			24,330			16,009
(0.12)%	6 Month EURIBOR	EUR	37,530,000		06/19/2030	Semi-Annually		71,073			(54,211	)		(125,284	)
(0.09)%	6 Month EURIBOR	EUR	2,040,000		06/19/2030	Semi-Annually		—			(9,435	)		(9,435	)
(0.14)%	6 Month EURIBOR	EUR	2,970,000		06/19/2030	Semi-Annually		—			4,819			4,819
0.46%	6 Month GBP LIBOR	GBP	16,490,000		06/19/2030	Semi-Annually		12,292			(125,294	)		(137,586	)
0.70%	3 Month USD LIBOR	USD	12,440,000		06/19/2030	Quarterly		—			(65,971	)		(65,971	)
0.70%	3 Month USD LIBOR	USD	12,450,000		06/19/2030	Quarterly		—			(65,409	)		(65,409	)
3 Month USD LIBOR	0.69%	USD	2,060,000		06/19/2030	Quarterly		—			9,295			9,295
3 Month USD LIBOR	0.66%	USD	1,180,000		06/19/2030	Quarterly		—			1,825			1,825
3 Month USD LIBOR	0.67%	USD	1,190,000		06/19/2030	Quarterly		—			2,369			2,369
							$	141,281		$	(62,534	)	$	(203,815	)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month USD LIBOR minus a spread of 0.25%	Total Return on iShare iBoxx High Yield Corporate Bond ETF	GS		USD	18,978,403		06/01/2020		At Maturity		—		901,450			901,450
1 Month USD LIBOR minus a spread of 0.10%	Total Return on iShare iBoxx High Yield Corporate Bond ETF	CITI		USD	13,254,361		06/11/2020		At Maturity		—		521,020			521,020
Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 9.25%)	Appreciation on Total Return on CSI 500 Index	GS		USD	1,758,323		12/07/2020		Monthly		—		(3,631	)		(3,631	)
Total Return on Equity Basket(g)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	2,923,133		06/18/2022		Monthly		—		(319,619	)		(319,619	)
Total Return on Equity Basket(g)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	1,313,243		06/18/2022		Monthly		—		(56,707	)		(56,707	)
Total Return on Equity Basket(g)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	3,827,620		06/18/2022		Monthly		—		101,517			101,517
Total Return on Equity Basket(g)	1 Month Federal Funds Rate minus 1.75%	MORD		USD	3,998,336		06/18/2022		Monthly		—		(175,697	)		(175,697	)
Total Return on Equity Basket(g)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	237,355		06/18/2022		Monthly		—		(6,108	)		(6,108	)
Total Return on Equity Basket(g)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	1,270,868		06/18/2022		Monthly		—		(62,590	)		(62,590	)
										$	—	$	899,635		$	899,635

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

As of May 31, 2020, 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) 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) All or a portion of this security is purchased with collateral from securities loaned.

(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.

The rates shown on variable rate notes are the current interest rates at May 31, 2020, which are subject to change based on the terms of the security.

Portoflio 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.

CDI - Certificado de Deposito Interbancario

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

CLO - Collateralized Loan Obligation

ETF - Exchange-Traded Fund

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

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

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona

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

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.

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

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

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

QAR - Qatari Rial

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 99.2%
		Affiliated Issuers — 99.2%
	6,797,224	GMO Alternative Allocation Fund, Class VI		129,555,088
	3,633,252	GMO Asset Allocation Bond Fund, Class VI		84,327,784
	8,079,943	GMO Core Plus Bond Fund, Class IV		181,960,326
	1,943,000	GMO Cyclical Focus Fund, Class VI		42,396,260
	1,863,214	GMO Emerging Country Debt Fund, Class IV		46,319,496
	9,115,356	GMO Emerging Markets Fund, Class VI		261,428,417
	15,480,670	GMO International Equity Fund, Class IV		292,429,862
	1,054,792	GMO Opportunistic Income Fund, Class VI		26,781,158
	1,115,415	GMO Quality Fund, Class VI		26,535,725
	583,999	GMO Risk Premium Fund, Class VI		13,869,972
	8,799,743	GMO U.S. Equity Fund, Class VI		107,004,879
	4,918,897	GMO U.S. Small Cap Value Fund, Class VI		78,702,356
	1,686,549	GMO U.S. Treasury Fund		8,500,207
		TOTAL MUTUAL FUNDS (COST $1,402,646,863)		1,299,811,530
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	23,312	ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A,Variable Rate, 1 mo. LIBOR + 0.28%, 0.45%, due 02/25/36		8,232
	12,663	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.67%, due 10/25/34		11,524
	12,961	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.69%, due 02/26/34		11,012
		TOTAL DEBT OBLIGATIONS (Cost $32,900)		30,768

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 May 31, 2020.

The rates shown on variable rate notes are the current interest rates at May 31, 2020, which are subject to change based on the terms of the security.

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.8%
	10,923,487	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (a)		10,923,487
		TOTAL SHORT-TERM INVESTMENTS (COST $10,923,487)		10,923,487
		TOTAL INVESTMENTS — 100.0% (Cost $1,413,603,250)		1,310,765,785
		Other Assets and Liabilities (net) — 0.00%		34,413
		TOTAL NET ASSETS — 100.0%		$1,310,800,198

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
1,020	MSCI EAFE	June 2020	$	88,005,600	$	(6,856,232	)

+ Buys – Fund is long the futures contract.

Sales – Fund is short the futures contract.

As of May 31, 2020, 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.

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)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	155,500	GMO Cyclical Focus Fund, Class VI		3,393,010
	222,525	GMO Emerging Markets Fund, Class VI		6,382,007
	1,658,632	GMO International Equity Fund, Class IV		31,331,568
	341,238	GMO Quality Fund, Class VI		8,118,059
	813,326	GMO U.S. Equity Fund, Class VI		9,890,042
	442,255	GMO U.S. Small Cap Value Fund, Class VI		7,076,083
		TOTAL MUTUAL FUNDS (COST $68,099,718)		66,190,769
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	55,108	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (a)		55,108
		TOTAL SHORT-TERM INVESTMENTS (COST $55,108)		55,108
		TOTAL INVESTMENTS — 100.1% (Cost $68,154,826)		66,245,877
		Other Assets and Liabilities (net) — (0.1%)		(39,876	)
		TOTAL NET ASSETS — 100.0%		$66,206,001

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2020.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	3,330,000	GMO Cyclical Focus Fund, Class VI		72,660,600
	12,379,966	GMO Emerging Markets Fund, Class VI		355,057,423
	28,792,669	GMO International Equity Fund, Class IV		543,893,522
	7,986,793	GMO Quality Fund, Class VI		190,005,807
	7,017,131	GMO U.S. Equity Fund, Class VI		85,328,308
	9,164,664	GMO U.S. Small Cap Value Fund, Class VI		146,634,631
		TOTAL MUTUAL FUNDS (COST $1,553,891,169)		1,393,580,291
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	499,740	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (a)		499,740
		TOTAL SHORT-TERM INVESTMENTS (COST $499,740)		499,740
		TOTAL INVESTMENTS — 100.0% (Cost $1,554,390,909)		1,394,080,031
		Other Assets and Liabilities (net) — (0.0%)		(82,170	)
		TOTAL NET ASSETS — 100.0%		$1,393,997,861

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2020.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 78.9%
		Australia — 1.0%
	694,536	Accent Group Ltd		628,525
	198,666	Adairs Ltd		247,813
	240,043	Ampol Ltd		4,342,726
	75,678	Ansell Ltd		1,776,004
	156,626	Appen Ltd (a)		3,225,506
	258,547	Asaleo Care Ltd		176,145
	32,944	Austal Ltd		73,537
	1,135,037	Australian Pharmaceutical Industries Ltd *		851,657
	74,668	Aventus Group (REIT)		98,832
	978,956	Beach Energy Ltd		1,057,678
	144,320	Brickworks Ltd		1,489,076
	10,578	Coca-Cola Amatil Ltd		61,860
	111,956	Codan Ltd		527,574
	340,832	CSR Ltd *		929,158
	3,458,832	Fortescue Metals Group Ltd		32,019,817
	333,516	GDI Property Group (REIT)		241,424
	731,114	Genworth Mortgage Insurance Australia Ltd (a)		1,023,672
	196,020	JB Hi-Fi Ltd (a)		4,861,335
	423,874	Mount Gibson Iron Ltd		192,150
	171,195	Rio Tinto Ltd		10,692,692
	288,828	Sandfire Resources NL		845,662
	124,925	Tassal Group Ltd (a)		334,816
	38,022	Virtus Health Ltd		80,252
		Total Australia		65,777,911
		Austria — 0.0%
	20,243	FACC AG (a)		149,451
	7,001	POLYTEC Holding AG		39,309
	29,352	Vienna Insurance Group AG Wiener Versicherung Gruppe		619,019
		Total Austria		807,779
		Belgium — 0.3%
	5,038	Ageas SA *		171,968
	437,425	AGFA-Gevaert NV *		1,760,636
	4,684	Barco NV		820,468
	4,764	Colruyt SA		287,549
	156,093	UCB SA		15,622,593
		Total Belgium		18,663,214
		Brazil — 1.2%
	580,600	Banco do Brasil SA		3,355,453
	254,500	Banco Santander Brasil SA		1,216,152
	594,500	Camil Alimentos SA		1,106,269
	1,076,120	Cia de Saneamento Basico do Estado de Sao Paulo		10,954,189
	51,600	Cia de Saneamento Basico do Estado de Sao Paulo ADR		517,548
	130,900	Cia Paranaense de Energia		1,461,994

Shares		Description	Value ($)
		Brazil — continued
	75,300	Construtora Tenda SA		354,042
	58,500	Cyrela Brazil Realty SA Empreendimentos e Participacoes		185,817
	694,200	Embraer SA *		966,570
	144,000	Grendene SA		195,911
	357,800	Hypera SA		2,160,358
	126,000	Instituto Hermes Pardini SA		437,056
	5,827,900	JBS SA		23,993,959
	194,400	Mahle-Metal Leve SA		647,356
	4,925,000	Petrobras Distribuidora SA		19,972,078
	42,500	Petroleo Brasileiro SA Sponsored ADR		324,275
	621,800	Qualicorp Consultoria e Corretora de Seguros SA		2,763,918
	1,221,000	TIM Participacoes SA		3,116,395
	518,700	Tupy SA		1,474,557
	271,800	Vale SA		2,699,511
		Total Brazil		77,903,408
		Canada — 1.4%
	202,800	AGF Management Ltd – Class B		552,348
	21,900	Bank of Nova Scotia (The)		877,527
	61,600	Bausch Health Cos Inc *		1,134,601
	46,900	Bird Construction Inc (a)		193,820
	98,248	BRP Inc		3,402,306
	69,200	Canaccord Genuity Group Inc		282,962
	5,000	Canadian Imperial Bank of Commerce		320,623
	11,200	Canadian Western Bank		183,759
	39,100	Canfor Pulp Products Inc *		176,920
	64,900	Cascades Inc		665,568
	166,400	Celestica Inc *		1,133,625
	166,800	CI Financial Corp		1,977,104
	30,900	Cogeco Communications Inc		2,307,541
	21,800	Cogeco Inc		1,366,092
	9,700	Enbridge Inc		314,765
	100	Equitable Group Inc		4,751
	9,000	Franco-Nevada Corp		1,263,275
	241,400	iA Financial Corp Inc		7,709,161
	78,700	IGM Financial Inc (a)		1,869,114
	32,100	Labrador Iron Ore Royalty Corp		522,469
	15,700	Magna International Inc (b)		662,049
	39,700	Magna International Inc (b)		1,674,546
	107,000	Martinrea International Inc		703,308
	22,500	Morguard North American Residential Real Estate Investment Trust		233,195
	42,200	National Bank of Canada		1,837,754
	94,443	Nutrien Ltd		3,211,062
	38,400	Real Matters Inc *		662,382
	305,300	Rogers Sugar Inc (a)		1,044,386
	455,000	Royal Bank of Canada		29,520,391
	44,700	Russel Metals Inc (a)		475,294
	291,900	Sun Life Financial Inc (b)		10,013,028
	148,500	Sun Life Financial Inc (b)		5,108,400

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	3,300	TC Energy Corp (b)		148,533
	4,200	TC Energy Corp (b)		189,280
	47,000	Teekay Tankers Ltd – Class A * (a)		816,860
	108,600	Teranga Gold Corp *		853,435
	23,800	Timbercreek Financial Corp		141,917
	128,700	Toronto-Dominion Bank (The) (a)		5,513,110
	79,200	Transat AT Inc *		391,154
	30,420	Transcontinental Inc – Class A		264,464
	20,400	Wajax Corp		124,014
	13,100	Westshore Terminals Investment Corp (a)		139,197
		Total Canada		89,986,090
		Chile — 0.2%
	488,396	Banco de Chile		41,499
	1,900	Banco Santander Chile ADR		29,963
	16,238,605	Enel Americas SA		2,363,565
	1,028,300	Enel Americas SA ADR		7,629,986
	18,209	Inversiones La Construccion SA		118,299
	66,996,891	Itau CorpBanca Chile SA		155,690
	59,897	Parque Arauco SA		101,026
		Total Chile		10,440,028
		China — 13.7%
	5,548,000	361 Degrees International Ltd		733,317
	994,000	7Road Holdings Ltd *(c)		177,603
	21,000	AAC Technologies Holdings Inc		108,871
	10,719,000	Agile Group Holdings Ltd		11,124,801
	6,497,700	Agricultural Bank of China Ltd – Class A		3,096,392
	73,755,000	Agricultural Bank of China Ltd – Class H		29,932,103
	77,900	Alibaba Group Holding Ltd *		2,014,251
	290,600	Alibaba Group Holding Ltd Sponsored ADR *		60,267,534
	698,932	Anhui Conch Cement Co Ltd – Class A		5,578,358
	6,244,000	Anhui Conch Cement Co Ltd – Class H		47,082,844
	601,672	Anhui Expressway Co Ltd – Class A		439,128
	5,000	ANTA Sports Products Ltd		44,810
	390,000	Asia Cement China Holdings Corp		448,392
	16,582,500	BAIC Motor Corp Ltd – Class H		6,722,143
	99,695,000	Bank of China Ltd – Class H		36,646,051
	46,077,000	Bank of Communications Co Ltd – Class H		28,074,205
	1,538,000	BBMG Corp – Class H		319,445
	260,000	Beijing Capital International Airport Co Ltd – Class H		162,890
	186,000	Beijing Enterprises Water Group Ltd *		70,706
	2,996,475	Beijing North Star Co Ltd – Class A		1,144,174
	18,000	Central China Real Estate Ltd		9,017
	1,000	CGN Power Co Ltd – Class H		230
	8,999,000	China Cinda Asset Management Co Ltd – Class H		1,676,302
	27,560,000	China CITIC Bank Corp Ltd – Class H		12,043,839
	1,409,000	China Coal Energy Co Ltd – Class H		338,095

Shares		Description	Value ($)
		China — continued
	12,246,000	China Communications Services Corp Ltd – Class H		8,166,598
	18,597,403	China Construction Bank Corp – Class A		16,610,363
	28,944,000	China Construction Bank Corp – Class H		22,827,938
	7,529,000	China Everbright Bank Co Ltd – Class H		3,065,911
	23,000	China Gas Holdings Ltd		81,313
	3,659,000	China Greenfresh Group Co Ltd *		47,326
	3,958,000	China Huarong Asset Management Co Ltd – Class H		407,139
	5,960,000	China Jinmao Holdings Group Ltd		4,160,980
	42,000	China Kepei Education Group Ltd		34,240
	10,316,000	China Lesso Group Holdings Ltd		12,541,658
	1,606,000	China Lilang Ltd		858,448
	8,446,000	China Machinery Engineering Corp – Class H		2,008,940
	8,968,925	China Medical System Holdings Ltd		10,285,202
	269,600	China Merchants Bank Co Ltd – Class A		1,281,425
	1,049,500	China Mobile Ltd		7,420,738
	24,698,000	China National Building Material Co Ltd – Class H		28,019,617
	1,298,534	China National Chemical Engineering Co Ltd – Class A		1,013,780
	3,296,000	China Oriental Group Co Ltd		914,431
	432,000	China Overseas Grand Oceans Group Ltd		231,547
	3,836,000	China Overseas Land & Investment Ltd		11,764,165
	75,000	China Overseas Property Holdings Ltd		85,632
	1,047,753	China Pacific Insurance Group Co Ltd – Class A		4,168,246
	683,800	China Pacific Insurance Group Co Ltd – Class H		1,900,626
	1,200	China Petroleum & Chemical Corp ADR		57,036
	58,266,000	China Petroleum & Chemical Corp – Class H		27,185,180
	20,937,700	China Railway Construction Corp Ltd – Class H		18,799,653
	8,027,000	China Railway Group Ltd – Class H		4,406,955
	273,000	China Reinsurance Group Corp – Class H		28,717
	4,422,000	China Resources Cement Holdings Ltd		5,586,832
	434,000	China Resources Gas Group Ltd		2,377,557
	3,106,000	China Resources Land Ltd		12,386,133
	15,470,000	China Resources Pharmaceutical Group Ltd		8,458,080
	5,882,000	China SCE Group Holdings Ltd		2,448,604
	4,869,163	China Shenhua Energy Co Ltd – Class A		11,186,959
	7,336,500	China Shenhua Energy Co Ltd – Class H		13,438,287
	2,245,000	China Shineway Pharmaceutical Group Ltd		1,424,948
	242,000	China South City Holdings Ltd		22,285
	311,600	China Taiping Insurance Holdings Co Ltd		466,150
	32,516,000	China Telecom Corp Ltd – Class H		10,786,620
	656,000	China Traditional Chinese Medicine Holdings Co Ltd		279,480
	1,958,493	China Vanke Co Ltd – Class A		7,074,679
	1,093,200	China Vanke Co Ltd – Class H		3,568,741

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		China — continued
	36,200	China Yuchai International Ltd		447,432
	1,019,600	China Zhongwang Holdings Ltd		192,042
	628,000	Chongqing Rural Commercial Bank Co Ltd – Class H		241,981
	56,000	Colour Life Services Group Co Ltd *		25,451
	6,176,506	Country Garden Holdings Co Ltd		7,731,395
	251,500	Dali Foods Group Co Ltd		159,971
	1,634,000	Datang International Power Generation Co Ltd – Class H		219,230
	320,000	Dongfeng Motor Group Co Ltd – Class H		202,443
	4,985,000	Dongyue Group Ltd		1,993,738
	18,800	ENN Energy Holdings Ltd		220,712
	1,663,500	Fantasia Holdings Group Co Ltd *		290,742
	200,000	Fu Shou Yuan International Group Ltd		186,907
	5,953,000	Geely Automobile Holdings Ltd		8,225,336
	586,000	Great Wall Motor Co Ltd – Class H		373,206
	879,000	Greenland Hong Kong Holdings Ltd		287,720
	9,466,000	Guangdong Investment Ltd		18,718,291
	1,976,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		4,830,374
	10,065,600	Guangzhou R&F Properties Co Ltd – Class H		12,507,551
	391,000	Haier Electronics Group Co Ltd		1,094,753
	662,500	Hebei Construction Group Corp Ltd – Class H		580,557
	3,337,390	Hisense Home Appliances Group Co Ltd – Class A		5,560,651
	1,659,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		2,031,377
	844,231	HLA Corp Ltd – Class A		720,968
	78,600	Hollysys Automation Technologies Ltd		981,714
	120,000	Hopson Development Holdings Ltd		129,472
	9,910,000	Huabao International Holdings Ltd		3,470,152
	1,852,000	Huadian Power International Corp Ltd – Class H		568,633
	614,517	Huaxin Cement Co Ltd – Class A		2,145,040
	6,770,000	IGG Inc		4,120,152
	12,538,546	Industrial & Commercial Bank of China Ltd – Class A		9,001,788
	30,006,000	Industrial & Commercial Bank of China Ltd – Class H		19,435,422
	100	Jiangsu Expressway Co Ltd – Class A		141
	183,000	Jingrui Holdings Ltd		45,581
	38,000	JNBY Design Ltd *		32,827
	637,000	Kingboard Chemical Holdings Ltd		1,551,156
	1,002,500	Kingboard Laminates Holdings Ltd		885,532
	346,000	Kunlun Energy Co Ltd		213,398
	11,716	Lao Feng Xiang Co Ltd – Class A		76,446
	333,000	Lee & Man Paper Manufacturing Ltd		180,219
	1,295,300	Livzon Pharmaceutical Group Inc – Class H		5,218,890
	3,108,000	Logan Property Holdings Co Ltd		4,671,121
	1,055,000	Longfor Properties Co Ltd		4,824,656
	9,622,000	Lonking Holdings Ltd		3,254,098

Shares		Description	Value ($)
		China — continued
	604,000	Maanshan Iron & Steel Co Ltd – Class H		172,983
	4,479,000	Metallurgical Corp of China Ltd – Class H		696,213
	1,262,760	Midea Group Co Ltd – Class A		10,477,666
	47,900	NetEase Inc ADR (d)		18,340,910
	121,300	New China Life Insurance Co Ltd – Class H		380,809
	2,069,000	Nexteer Automotive Group Ltd		1,136,155
	4,716,000	Nine Dragons Paper Holdings Ltd		4,146,758
	641,000	PAX Global Technology Ltd		249,048
	793,000	People’s Insurance Co Group of China Ltd (The) – Class H		239,883
	22,577,000	PICC Property & Casualty Co Ltd – Class H		19,753,190
	1,050,970	Ping An Insurance Group Co of China Ltd – Class A		10,458,416
	1,196,000	Poly Property Group Co Ltd		384,108
	30,196,000	Postal Savings Bank of China Co Ltd – Class H		19,340,399
	1,289,000	Powerlong Real Estate Holdings Ltd		720,183
	1,000	Qingdao Port International Co Ltd – Class A		802
	108,000	Redco Properties Group Ltd		47,996
	652,000	Redsun Properties Group Ltd		228,782
	392,000	Road King Infrastructure Ltd		511,357
	1,108,000	Shanghai Jin Jiang Capital Co Ltd – Class H		204,365
	8,300,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		13,158,139
	55,348	Shenzhen Expressway Co Ltd – Class A		69,803
	424,000	Shenzhen Expressway Co Ltd – Class H		430,352
	887,228	Shenzhen Investment Ltd		275,000
	195,800	Shenzhou International Group Holdings Ltd		2,356,142
	10,649,076	Shimao Property Holdings Ltd		44,660,550
	888,500	Shui On Land Ltd		147,397
	2,798,000	Sino Biopharmaceutical Ltd		4,421,206
	665,882	Sinoma International Engineering Co – Class A		526,179
	924,000	Sinopec Engineering Group Co Ltd – Class H		388,536
	12,160,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		3,027,135
	453,200	Sinopharm Group Co Ltd – Class H		1,119,276
	1,814,000	Sinotrans Ltd – Class H		374,431
	1,299,500	Sinotruk Hong Kong Ltd		3,167,522
	153,000	Sun Art Retail Group Ltd		235,510
	1,937,771	Suning Universal Co Ltd – Class A		815,145
	20,800	Sunny Optical Technology Group Co Ltd		279,529
	553,000	TCL Electronics Holdings Ltd		235,254
	1,230,000	Texhong Textile Group Ltd		847,844
	588,000	Tianjin Development Holdings Ltd		99,727
	914,000	Tianjin Port Development Holdings Ltd		56,295
	8,286,000	Tianneng Power International Ltd		8,396,810

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		China — continued
	122,000	Times China Holdings Ltd		180,607
	691,000	Towngas China Co Ltd *		318,244
	169,000	Vinda International Holdings Ltd		514,397
	2,121,000	Want Want China Holdings Ltd		1,538,020
	9,834,000	Weichai Power Co Ltd – Class H		17,035,754
	3,591,076	Weifu High-Technology Group Co Ltd – Class A		9,903,913
	7,380,000	West China Cement Ltd		1,380,909
	568,000	XTEP International Holdings Ltd		184,191
	1,220,000	Yadea Group Holdings Ltd		623,709
	585,400	YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H		2,081,025
	12,300	Yum China Holdings Inc		569,982
	3,450,283	Yuzhou Properties Co Ltd		1,422,721
	2,186,000	Zhejiang Expressway Co Ltd – Class H		1,539,910
	1,756,488	Zhejiang Weixing New Building Materials Co Ltd – Class A		2,945,935
	51,800	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		37,233
	601,000	Zhongsheng Group Holdings Ltd		3,109,469
		Total China		859,747,750
		Colombia — 0.0%
	35,632	Grupo Argos SA		83,110
		Czech Republic — 0.0%
	209,214	Moneta Money Bank AS		465,280
		Denmark — 0.0%
	8,609	Coloplast A/S – Class B		1,456,085
	44,629	Matas A/S		399,101
	3,054	Ringkjoebing Landbobank A/S		212,752
	59,514	Scandinavian Tobacco Group A/S		896,006
		Total Denmark		2,963,944
		Finland — 0.1%
	124,976	Neste Oyj		5,092,635
	8,911	Sanoma Oyj		86,610
	58,318	Tokmanni Group Corp		788,115
		Total Finland		5,967,360
		France — 2.9%
	40,421	ALD SA (a)		447,281
	32,493	Alten SA		2,624,800
	56,860	APERAM SA		1,564,663
	20,306	Arkema		1,780,639
	2,609	Assystem SA		62,497
	2,426	Axway Software SA		40,534
	1,045	BioMerieux		150,158
	77,057	BNP Paribas SA *		2,772,928
	2,088	Boiron SA		76,405
	1,034	Caisse Regionale de Credit Agricole Mutuel Nord de France		27,386
	10,293	Christian Dior SE		4,379,333

Shares		Description	Value ($)
		France — continued
	116,190	Coface SA		666,689
	49,613	Dassault Systemes SE (d)		8,470,522
	75,989	Derichebourg SA		234,958
	18,283	Eiffage SA *		1,668,969
	25,835	Fnac Darty SA *		846,597
	65,613	Gaztransport Et Technigaz SA		4,924,948
	975	Groupe Crit		59,728
	1,125	HEXAOM		37,107
	99,600	Ingenico Group SA		13,863,310
	9,943	Interparfums SA *		362,112
	2,892	Ipsen SA		226,272
	70,398	IPSOS		1,722,954
	25,882	Kaufman & Broad SA (a)		918,759
	6,753	Kering SA		3,540,327
	144,815	L’Oreal SA		42,475,886
	9,464	LVMH Moet Hennessy Louis Vuitton SE		3,970,388
	2,885	Mersen SA		66,541
	129,209	Metropole Television SA *		1,507,173
	17,696	Nexans SA *		725,205
	803,774	Peugeot SA * (a)		11,538,496
	87,764	Quadient		1,273,100
	3,353	Rothschild & Co *		69,888
	76,480	Safran SA		7,369,525
	441,057	Sanofi		43,141,889
	4,200	Sanofi ADR		206,262
	50,870	Schneider Electric SE		5,036,779
	11,103	STMicroelectronics NV		275,742
	407,100	STMicroelectronics NV – NY Shares		10,116,435
	2,012	Synergie SA		47,297
	22,059	TOTAL SA		836,495
	1,121	Union Financiere de France BQE SA		18,878
	3,484	Vilmorin & Cie SA		183,461
		Total France		180,329,316
		Germany — 1.6%
	38,367	Allianz SE (Registered)		6,953,488
	5,304	Amadeus Fire AG *		597,399
	3,675	Bauer AG		45,780
	53,968	Bayer AG (Registered)		3,689,230
	2,531	Bechtle AG		449,546
	16,051	Beiersdorf AG		1,685,983
	3,081	bet-at-home.com AG		138,525
	46,962	Borussia Dortmund GmbH & Co KGaA		330,832
	26,825	Carl Zeiss Meditec AG *		2,745,052
	633,962	CECONOMY AG *		1,880,989
	1,429	Cewe Stiftung & Co KGaA		146,228
	20,715	Covestro AG		770,122
	46,474	CropEnergies AG		456,197
	591,278	Deutsche Pfandbriefbank AG (d)		4,090,048
	171,289	Deutz AG		684,005
	355,948	Dialog Semiconductor Plc *		14,234,019
	3,624	Draegerwerk AG & Co KGaA		234,215

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	20,493	DWS Group GmbH & Co KGaA		772,261
	6,632	Eckert & Ziegler Strahlen- und Medizintechnik AG		1,049,527
	3,871	Elmos Semiconductor AG		86,807
	11,909	Gerresheimer AG		1,018,941
	2,718	Gesco AG		51,560
	1,207	Grammer AG		26,426
	38,846	Hamburger Hafen und Logistik AG		633,854
	43,199	Hannover Rueck SE		6,976,547
	23,155	Henkel AG & Co KGaA		1,862,169
	10,589	Hornbach Holding AG & Co KGaA		762,969
	238,656	Infineon Technologies AG		5,030,327
	5,374	KWS Saat SE & Co KGaA		378,518
	33,492	Merck KGaA		3,860,792
	32,485	METRO AG		303,868
	2,835	OHB SE *		111,838
	208,201	QIAGEN NV * (a)		9,117,122
	41,508	Siemens AG (Registered)		4,576,452
	92,043	Siemens Healthineers AG		4,778,967
	24,322	Siltronic AG		2,402,545
	68,181	Software AG *		2,639,001
	49,739	Takkt AG		484,028
	55,606	Talanx AG *		1,957,128
	51,302	VERBIO Vereinigte BioEnergie AG		511,165
	61,405	Volkswagen AG		9,769,733
	18,109	Wuestenrot & Wuerttembergische AG		330,653
		Total Germany		98,624,856
		Greece — 0.0%
	776,225	Alpha Bank AE *		478,215
	1,079,247	Eurobank Ergasias Services and Holdings SA *		462,435
	521,780	National Bank of Greece SA *		700,256
	8,270	Titan Cement International SA *		103,735
		Total Greece		1,744,641
		Hong Kong — 0.6%
	21,200	AIA Group Ltd		173,963
	133,900	ASM Pacific Technology Ltd		1,228,526
	346,500	BOC Hong Kong Holdings Ltd		975,956
	279,800	Budweiser Brewing Co APAC Ltd*		788,717
	346,000	Cafe de Coral Holdings Ltd		624,456
	277,000	Chow Sang Sang Holdings International Ltd		268,175
	3,206,000	CITIC Telecom International Holdings Ltd		1,019,757
	1,590,000	CSI Properties Ltd		45,612
	721,200	Dah Sing Banking Group Ltd		641,305
	540,000	Dah Sing Financial Holdings Ltd		1,511,351
	1,292,000	Giordano International Ltd		185,700
	1,834,000	HKT Trust & HKT Ltd – Class SS		2,609,046
	1,600,213	I-CABLE Communications Ltd *		11,012

Shares		Description	Value ($)
		Hong Kong — continued
	44,200	Jardine Strategic Holdings Ltd		883,230
	1,429,500	Johnson Electric Holdings Ltd		2,459,240
	192,000	LVGEM China Real Estate Investment Co Ltd		58,689
	650,000	Man Wah Holdings Ltd		510,635
	1,234,000	Pacific Textiles Holdings Ltd		517,983
	138,000	Pico Far East Holdings Ltd		17,841
	245,000	Prosperity REIT		69,314
	229,000	Regal Real Estate Investment Trust		33,286
	644,000	Shun Tak Holdings Ltd *		229,189
	536,000	Singamas Container Holdings Ltd		31,294
	263,000	SJM Holdings Ltd		293,861
	594,000	Sun Hung Kai & Co Ltd		238,723
	46,000	TAI Cheung Holdings Ltd		29,245
	698,000	VSTECS Holdings Ltd		312,243
	571,600	VTech Holdings Ltd		3,461,037
	12,894,500	WH Group Ltd		11,217,496
	414,000	Wheelock & Co Ltd		2,810,356
	712,000	Xinyi Glass Holdings Ltd		756,450
	1,524,500	Yue Yuen Industrial Holdings Ltd		2,195,182
		Total Hong Kong		36,208,870
		Hungary — 0.1%
	896,751	Magyar Telekom Telecommunications Plc		1,127,403
	141,899	Richter Gedeon Nyrt		3,101,269
		Total Hungary		4,228,672
		India — 1.4%
	23,631	Ajanta Pharma Ltd		478,613
	19,778	Alembic Pharmaceuticals Ltd		225,824
	30,354	Alkem Laboratories Ltd		912,232
	8,413	Amara Raja Batteries Ltd		68,631
	1,665,413	Ashok Leyland Ltd		934,942
	104,228	Asian Paints Ltd		2,314,465
	179,637	Bajaj Auto Ltd		6,454,142
	21,341	Balkrishna Industries Ltd		305,382
	908,502	Balrampur Chini Mills Ltd		1,200,142
	122,273	Castrol India Ltd		186,797
	26,839	Dr Reddy’s Laboratories Ltd		1,440,871
	159,700	Dr Reddy’s Laboratories Ltd ADR		8,534,368
	762,659	Firstsource Solutions Ltd		314,255
	252,138	Granules India Ltd		572,848
	2,774,474	HCL Technologies Ltd		20,313,662
	91,213	HDFC Bank Ltd		1,149,431
	17,101	Hero MotoCorp Ltd		530,931
	151,133	Hindustan Petroleum Corp Ltd		386,121
	116,378	Hindustan Unilever Ltd		3,174,626
	102,379	Housing Development Finance Corp Ltd		2,269,640
	542,577	ICICI Bank Ltd		2,360,440
	212,635	Indiabulls Housing Finance Ltd		346,086
	2,964,486	Indian Oil Corp Ltd		3,283,646

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		India — continued
	1,059,369	ITC Ltd		2,763,429
	285,982	Just Dial Ltd *		1,487,601
	155,879	Kotak Mahindra Bank Ltd		2,532,008
	519,465	Mahindra & Mahindra Financial Services Ltd		959,705
	265,077	Manappuram Finance Ltd		441,727
	211,939	Mphasis Ltd		2,434,882
	165,212	Narayana Hrudayalaya Ltd		597,965
	495,830	National Aluminium Co Ltd		192,486
	17,982	Polycab India Ltd *		162,905
	5,104,941	Power Finance Corp Ltd		5,060,296
	809,264	PTC India Ltd		353,424
	168,162	Rain Industries Ltd		161,675
	55,410	Rajesh Exports Ltd		355,800
	5,991,102	REC Ltd		7,051,211
	129,632	Shriram Transport Finance Co Ltd		981,117
	177,382	Sonata Software Ltd		474,526
	7,843	Sun TV Network Ltd		39,957
	58,873	Tata Chemicals Ltd		238,771
	2,012,471	Tata Power Co Ltd (The)		972,751
	126,805	Titan Co Ltd		1,498,700
	7,894	Torrent Pharmaceuticals Ltd		240,159
	58,300	Vedanta Ltd ADR		284,504
	78,614	Wipro Ltd		220,426
		Total India		87,264,120
		Indonesia — 0.2%
	1,683,300	Astra International Tbk PT		550,880
	1,253,600	Bank Central Asia Tbk PT		2,230,639
	3,416,600	Bank Mandiri Persero Tbk PT		1,049,933
	3,493,600	Bank Negara Indonesia Persero Tbk PT		919,561
	4,503,100	Bank Pembangunan Daerah Jawa Timur Tbk PT		150,672
	14,142,400	Bank Rakyat Indonesia Persero Tbk PT		2,863,619
	4,481,800	Bank Tabungan Negara Persero Tbk PT		233,140
	315,500	Bank Tabungan Pensiunan Nasional Syariah Tbk PT		62,381
	2,711,100	Bukit Asam Tbk PT		360,923
	3,068,800	Bumi Serpong Damai Tbk PT *		133,380
	2,540,600	Gajah Tunggal Tbk PT *		61,692
	2,455,700	Indo Tambangraya Megah Tbk PT		1,366,760
	1,714,500	Jasa Marga Persero Tbk PT		416,597
	1,475,700	Matahari Department Store Tbk PT *		146,749
	450,800	Pabrik Kertas Tjiwi Kimia Tbk PT		122,497
	6,301,200	Pakuwon Jati Tbk PT		156,128
	60,353,400	Panin Financial Tbk PT *		696,615
	15,325,400	Ramayana Lestari Sentosa Tbk PT		599,543
	3,607,100	Telekomunikasi Indonesia Persero Tbk PT		778,397
		Total Indonesia		12,900,106

Shares		Description	Value ($)
		Ireland — 0.8%
	126,760	AIB Group Plc *		139,807
	452,563	Bank of Ireland Group Plc		808,289
	31,166	CRH Plc		1,003,598
	255,100	CRH Plc Sponsored ADR (a)		8,204,016
	210,144	Flutter Entertainment Plc *		26,735,956
	45,691	Glanbia Plc		499,996
	811,921	Hibernia REIT Plc		984,559
	430,788	Irish Residential Properties REIT Plc		627,442
	13,182	Kerry Group Plc – Class A		1,633,259
	149,222	Origin Enterprises Plc		459,129
	94,732	Permanent TSB Group Holdings Plc *		48,417
	208,821	Ryanair Holdings Plc *		2,590,751
	121,418	Smurfit Kappa Group Plc		3,964,985
	81,464	Total Produce Plc		102,957
		Total Ireland		47,803,161
		Israel — 0.0%
	6,478	Nova Measuring Instruments Ltd *		320,753
	1,280,299	Oil Refineries Ltd		310,228
		Total Israel		630,981
		Italy — 1.5%
	46,441	ACEA SPA		900,562
	487,031	Anima Holding SPA		2,064,722
	178,721	Arnoldo Mondadori Editore SPA *		209,746
	30,499	Ascopiave SPA		138,142
	5,742	Azimut Holding SPA		95,789
	251,336	Banca Mediolanum SPA		1,680,283
	291,275	Buzzi Unicem SPA (a)		5,824,218
	44,808	Cementir Holding NV		306,900
	37,562	Credito Emiliano SPA		181,036
	301,464	Enav SPA		1,373,177
	4,737,403	Enel SPA		36,628,288
	453,856	EXOR NV		24,484,754
	129,898	Falck Renewables SPA		783,688
	1,550,351	Hera SPA		5,937,576
	154,487	IMMSI SPA *		59,647
	207,301	Intesa Sanpaolo SPA *		360,718
	1,728,830	Iren SPA		4,317,419
	288,008	Italgas SPA		1,568,320
	41,691	La Doria SPA		486,897
	76,522	Mediobanca Banca di Credito Finanziario SPA		503,388
	495,070	Piaggio & C SPA		1,195,961
	13,622	Prima Industrie SPA (a)		214,923
	4,279	Reply SPA		376,412
	3,198	Sabaf SPA		36,532
	691,534	Saras SPA *		622,702
	4,286	Sesa SPA		243,814
	189,490	Societa Cattolica di Assicurazioni SC		876,032
	276	Unipol Gruppo SPA *		974
	275,450	UnipolSai Assicurazioni SPA		613,077
		Total Italy		92,085,697

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — 6.5%
	45,700	ADEKA Corp		637,145
	17,600	Aichi Corp		122,650
	12,500	Aida Engineering Ltd		85,500
	10,200	Altech Corp		183,967
	106,200	Amada Holdings Co Ltd		949,014
	65,200	AOKI Holdings Inc		416,870
	12,100	Arata Corp		512,205
	11,400	Arcland Sakamoto Co Ltd		126,128
	1,093,500	Asahi Kasei Corp (d)		8,690,886
	2,117,800	Astellas Pharma Inc		37,840,708
	73,400	Bandai Namco Holdings Inc		4,080,798
	10,400	Bando Chemical Industries Ltd		60,736
	558,000	Brother Industries Ltd		10,559,522
	34,900	Canon Marketing Japan Inc		711,773
	105,600	Casio Computer Co Ltd		1,864,970
	7,300	Central Glass Co Ltd		133,610
	61,500	Chiba Bank Ltd (The)		293,572
	4,600	Chiyoda Integre Co Ltd		75,351
	20,100	Chugai Pharmaceutical Co Ltd		2,970,218
	8,300	Cleanup Corp		40,230
	10,900	CONEXIO Corp		150,408
	38,800	Dai Nippon Printing Co Ltd (a)		884,509
	15,600	Dai Nippon Toryo Co Ltd		143,127
	4,500	Dai-Dan Co Ltd		120,848
	71,200	Daicel Corp		604,279
	5,500	Daiichi Jitsugyo Co Ltd		193,329
	5,400	Dainichiseika Color & Chemicals Manufacturing Co Ltd		125,514
	4,300	Daito Pharmaceutical Co Ltd		174,062
	15,100	Daiwa Industries Ltd		137,438
	65,300	Daiwabo Holdings Co Ltd		4,392,604
	31,100	DCM Holdings Co Ltd (a)		322,944
	47,000	DTS Corp		1,001,256
	1,500	Elecom Co Ltd		71,587
	26,300	FANUC Corp		4,699,771
	30,300	FJ Next Co Ltd (a)		248,269
	10,200	Fuji Corp		189,294
	145,100	Fuji Electric Co Ltd		3,876,323
	6,600	Fuji Pharma Co Ltd		76,144
	81,400	FUJIFILM Holdings Corp (d)		3,733,536
	5,300	Fujimori Kogyo Co Ltd		173,541
	21,400	Fujitec Co Ltd		320,863
	69,900	Fujitsu General Ltd		1,367,701
	240,200	Fujitsu Ltd		24,752,124
	22,400	Furuno Electric Co Ltd		188,086
	12,000	Furyu Corp		102,584
	11,400	G-7 Holdings Inc		249,868
	45,600	Geo Holdings Corp		570,761
	23,000	Glory Ltd		546,850
	43,900	Gurunavi Inc		269,080
	63,400	Hachijuni Bank Ltd (The)		235,452
	31,100	Hakuhodo DY Holdings Inc		387,297

Shares		Description	Value ($)
		Japan — continued
	10,300	Hakuto Co Ltd		94,419
	222,700	Haseko Corp		2,720,475
	24,600	Heiwado Co Ltd		442,086
	37,600	Hiroshima Bank Ltd (The)		176,834
	39,000	Hisamitsu Pharmaceutical Co Inc (a)		1,974,636
	510,500	Hitachi Ltd		16,488,740
	4,500	Hochiki Corp		57,080
	2,600	Hokkoku Bank Ltd (The)		67,018
	296,200	Honda Motor Co Ltd		7,712,630
	4,200	Hosokawa Micron Corp		237,632
	8,800	Hoya Corp		828,022
	22,200	Inaba Denki Sangyo Co Ltd		506,038
	17,200	Infocom Corp		448,544
	10,200	Information Services International-Dentsu Ltd		475,443
	528,800	ITOCHU Corp		11,371,565
	36,700	Itochu Enex Co Ltd		295,151
	137,100	Itochu Techno-Solutions Corp		4,640,214
	1,800	Itochu-Shokuhin Co Ltd		78,507
	33,500	Itoki Corp		127,589
	8,000	Japan Aviation Electronics Industry Ltd		111,132
	49,400	Japan Post Bank Co Ltd		408,806
	30,900	Jeol Ltd		927,568
	586,000	JVCKenwood Corp		958,985
	176,500	K’s Holdings Corp (a)		2,259,434
	22,300	Kaken Pharmaceutical Co Ltd		1,229,229
	17,700	Kamei Corp		176,997
	19,000	Kandenko Co Ltd		173,772
	119,400	Kanematsu Corp		1,486,850
	9,200	Kanematsu Electronics Ltd		340,362
	22,900	Kasai Kogyo Co Ltd (a)		110,258
	7,100	Kato Sangyo Co Ltd		249,616
	1,050,600	KDDI Corp		30,666,155
	31,300	Keihin Corp (d)		740,358
	15,600	Keiyo Bank Ltd (The)		75,305
	19,400	Kissei Pharmaceutical Co Ltd		493,257
	57,800	Kitz Corp		385,852
	11,500	Kiyo Bank Ltd (The)		178,692
	1,100	Kobayashi Pharmaceutical Co Ltd (a)		98,409
	1,546,789	Konica Minolta Holdings Inc		5,746,706
	2,600	Krosaki Harima Corp		95,366
	11,700	Kumagai Gumi Co Ltd		286,797
	12,800	Kureha Corp		565,612
	15,400	Kyoei Steel Ltd		203,978
	24,400	KYORIN Holdings Inc		527,533
	20,800	Kyosan Electric Manufacturing Co Ltd (a)		102,895
	345,156	LINE Corp *		17,281,598
	26,200	Lion Corp		603,267
	89,900	LIXIL VIVA Corp		2,015,368
	48,100	Makino Milling Machine Co Ltd		1,490,853
	6,100	Maruzen Showa Unyu Co Ltd		163,419
	41,500	Marvelous Inc		300,819

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	5,700	Matsuda Sangyo Co Ltd		76,506
	74,700	MCJ Co Ltd		584,080
	76,600	Mebuki Financial Group Inc		174,128
	56,000	Meidensha Corp		949,169
	9,800	MEIJI Holdings Co Ltd		740,024
	11,800	METAWATER Co Ltd		527,007
	867,700	Mitsubishi Chemical Holdings Corp		5,111,074
	59,600	Mitsubishi Gas Chemical Co Inc		890,788
	5,800	Mitsubishi Research Institute Inc		223,881
	301,000	Mitsubishi UFJ Financial Group Inc		1,249,491
	12,600	Mitsuboshi Belting Ltd		192,028
	14,300	Mitsui Sugar Co Ltd		276,846
	12,900	Mochida Pharmaceutical Co Ltd		502,053
	39,500	Modec Inc (a)		597,631
	36,600	MTI Ltd		205,103
	94,200	NEC Corp (d)		4,235,444
	48,600	NEC Networks & System Integration Corp		917,131
	36,900	Nichi-iko Pharmaceutical Co Ltd		449,838
	49,000	Nichias Corp		1,132,068
	11,400	Nichiha Corp		247,145
	105,900	Nikon Corp		974,701
	100,800	Nippo Corp		2,506,183
	32,700	Nippon Flour Mills Co Ltd		496,104
	96,100	Nippon Kayaku Co Ltd		967,556
	753,100	Nippon Light Metal Holdings Co Ltd		1,293,538
	400	Nippon Shinyaku Co Ltd		34,565
	23,100	Nippon Soda Co Ltd		643,545
	1,486,700	Nippon Telegraph & Telephone Corp		33,839,058
	34,200	Nisshin Oillio Group Ltd (The)		1,096,676
	4,300	Nissin Corp		63,932
	93,000	Nissin Electric Co Ltd		969,666
	23,500	Nojima Corp		548,419
	172,900	Nomura Real Estate Holdings Inc		3,191,393
	38,500	NS Solutions Corp		1,060,374
	180,300	NTT DOCOMO Inc		4,955,305
	923,700	Obayashi Corp		8,565,258
	1,000	Obic Co Ltd		173,740
	1,700	Okinawa Cellular Telephone Co		65,386
	17,800	Organo Corp		1,004,613
	11,200	Osaka Soda Co Ltd		273,901
	11,800	Osaki Electric Co Ltd		56,696
	5,300	Otsuka Corp		256,660
	10,400	Paramount Bed Holdings Co Ltd		404,515
	59,200	Penta-Ocean Construction Co Ltd		309,439
	25,300	Prima Meat Packers Ltd		622,012
	16,400	Proto Corp		175,729
	16,400	Raiznext Corp		195,904
	8,700	Ryoden Corp		114,451
	9,500	Sac’s Bar Holdings Inc		48,852
	26,600	San-Ai Oil Co Ltd		273,655
	26,200	San-In Godo Bank Ltd (The)		129,615

Shares		Description	Value ($)
		Japan — continued
	40,300	Sanki Engineering Co Ltd		514,373
	11,000	Sanyo Chemical Industries Ltd		505,162
	5,300	SCSK Corp		260,326
	19,600	Seikitokyu Kogyo Co Ltd		146,451
	50,200	Seiko Holdings Corp		852,194
	53,600	Seino Holdings Co Ltd		731,958
	211,800	Sekisui Chemical Co Ltd		2,968,820
	26,400	Sekisui House Ltd		503,953
	8,500	Sekisui Jushi Corp		187,718
	120,200	Seven Bank Ltd		343,541
	35,600	SG Holdings Co Ltd		1,164,068
	769,300	Shimizu Corp		6,511,952
	10,500	Shin-Etsu Polymer Co Ltd		92,830
	11,300	Shinnihon Corp		79,144
	32,500	Shinsei Bank Ltd (a)		415,688
	19,200	Shizuoka Gas Co Ltd		176,963
	175,700	Showa Corp		3,674,498
	2,300	Sinanen Holdings Co Ltd		58,256
	18,300	Sinko Industries Ltd		260,728
	21,500	Sintokogio Ltd		158,026
	1,463,700	Sojitz Corp		3,410,302
	88,400	Sony Corp		5,725,300
	1,300	Starzen Co Ltd		55,859
	2,898,400	Sumitomo Chemical Co Ltd		9,007,027
	131,300	Sumitomo Dainippon Pharma Co Ltd		1,859,562
	3,900	Sumitomo Seika Chemicals Co Ltd		110,437
	6,400	Suzuken Co Ltd		232,841
	49,000	T-Gaia Corp (d)		1,044,795
	107,400	Takara Leben Co Ltd		374,195
	43,600	Takasago Thermal Engineering Co Ltd		742,343
	23,700	Tamron Co Ltd		446,736
	14,800	Tatsuta Electric Wire and Cable Co Ltd		86,634
	227,700	Teijin Ltd		3,731,861
	7,600	Token Corp		521,925
	60,300	Tokyo Electron Ltd		12,134,361
	13,900	Tokyo Seimitsu Co Ltd		452,469
	128,100	Tokyu Construction Co Ltd		700,209
	11,100	Toli Corp		26,924
	50,600	Toppan Forms Co Ltd		527,629
	157,800	Toppan Printing Co Ltd		2,704,187
	14,100	Torii Pharmaceutical Co Ltd		424,737
	64,300	Tosei Corp		638,995
	8,700	Toshiba TEC Corp		303,567
	176,800	Tosoh Corp		2,465,452
	8,100	Towa Pharmaceutical Co Ltd		171,380
	106,500	Toyo Construction Co Ltd		425,360
	18,700	Toyo Ink SC Holdings Co Ltd		362,043
	57,500	Toyo Suisan Kaisha Ltd		3,013,156
	21,800	Trend Micro Inc		1,199,921
	127,800	TS Tech Co Ltd		3,615,393
	27,200	Tsumura & Co		756,813
	16,200	Unipres Corp		157,617

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	116,300	Ushio Inc		1,384,729
	4,900	Valqua Ltd		94,816
	13,600	Vital KSK Holdings Inc		135,003
	45,800	Wacoal Holdings Corp		950,593
	23,000	Warabeya Nichiyo Holdings Co Ltd		375,111
	6,300	Welcia Holdings Co Ltd		530,065
	39,200	YAMABIKO Corp		357,803
	19,100	Yamaha Motor Co Ltd		276,669
	9,000	Yamazaki Baking Co Ltd (a)		161,343
	35,000	Yamazen Corp		304,543
	46,200	Yellow Hat Ltd		660,457
	6,300	Yondoshi Holdings Inc		115,135
	8,200	Yuasa Trading Co Ltd		240,513
	7,100	ZERIA Pharmaceutical Co Ltd		140,496
		Total Japan		407,220,004
		Malaysia — 0.3%
	3,599,500	AirAsia Group Berhad		571,284
	263,600	AMMB Holdings Berhad		192,611
	4,034,700	DRB-Hicom Berhad		1,537,539
	88,200	Hartalega Holdings Berhad		254,874
	404,700	MISC Berhad		774,277
	488,700	Sime Darby Berhad		235,526
	6,362,190	Supermax Corp Berhad *		11,289,265
	355,400	Ta Ann Holdings Berhad		195,250
	788,900	Telekom Malaysia Berhad		765,623
	544,600	Top Glove Corp Berhad		1,669,463
	258,300	Westports Holdings Berhad		237,515
		Total Malaysia		17,723,227
		Mexico — 0.8%
	450,300	Alsea SAB de CV *		380,758
	3,429,100	America Movil SAB de CV – Series L		2,279,417
	11,100	Arca Continental SAB de CV		49,572
	902,300	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		594,087
	200	Coca-Cola Femsa SAB de CV Sponsored ADR		8,756
	86,000	Concentradora Fibra Danhos SA de CV (REIT)		82,027
	76,800	Corp Inmobiliaria Vesta SAB de CV		104,908
	824,000	Credito Real SAB de CV SOFOM ER		440,344
	124,000	El Puerto de Liverpool SAB de CV – Class C1		309,797
	6,582,900	Fibra Uno Administracion SA de CV (REIT)		5,049,725
	500	Fomento Economico Mexicano SAB de CV Sponsored ADR (a)		33,855
	1,303,400	Gentera SAB de CV		543,120
	191,100	Grupo Aeroportuario del Centro Norte SAB de CV		841,548

Shares		Description	Value ($)
		Mexico — continued
	1,900	Grupo Aeroportuario del Centro Norte SAB de CV ADR		66,975
	3,800	Grupo Aeroportuario del Pacifico SAB de CV ADR		252,358
	43,000	Grupo Aeroportuario del Pacifico SAB de CV – Class B		286,221
	1,900	Grupo Aeroportuario del Sureste SAB de CV ADR		196,973
	11,600	Grupo Aeroportuario del Sureste SAB de CV – Class B		120,491
	1,659,000	Grupo Financiero Banorte SAB de CV – Class O		5,053,798
	99,700	Grupo Financiero Inbursa SAB de CV – Class O		68,162
	247,513	Grupo Herdez SAB de CV		391,900
	1,976,600	Grupo Mexico SAB de CV – Series B		4,258,143
	8,600	Infraestructura Energetica Nova SAB de CV		24,511
	229,900	Kimberly-Clark de Mexico SAB de CV – Class A		357,895
	250,800	Qualitas Controladora SAB de CV		1,006,389
	54,800	Regional SAB de CV *		152,751
	229,400	Unifin Financiera SAB de CV SOFOM ENR		175,869
	11,043,700	Wal-Mart de Mexico SAB de CV		27,641,000
		Total Mexico		50,771,350
		Netherlands — 2.0%
	2,806	Aalberts NV		77,035
	3,271	Adyen NV *		4,289,202
	4,559	ASM International NV		531,761
	451,489	ASR Nederland NV (d)		12,412,026
	63,652	ForFarmers NV		404,475
	114,620	Heineken Holding NV		9,424,973
	816	Hunter Douglas NV		39,170
	711,633	Koninklijke Ahold Delhaize NV		18,042,690
	84,830	Koninklijke Philips NV		3,856,624
	35,264	Koninklijke Vopak NV		1,931,159
	295,389	Randstad NV		12,427,931
	776,852	Signify NV		16,728,274
	70,812	TomTom NV *		602,497
	171,262	Unilever NV		8,838,188
	457,231	Wolters Kluwer NV		36,491,743
		Total Netherlands		126,097,748
		New Zealand — 0.0%
	883,818	Air New Zealand Ltd		753,243
	49,961	Fisher & Paykel Healthcare Corp Ltd		931,500
		Total New Zealand		1,684,743
		Norway — 0.6%
	375,842	Austevoll Seafood ASA (a)		2,868,295
	41,334	Avance Gas Holding Ltd		88,720

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	22,537	Borregaard ASA		245,645
	639,099	BW LPG Ltd		2,134,821
	593,483	DNB ASA		8,099,758
	892,022	Elkem ASA		1,630,531
	14,088	Equinor ASA		205,454
	191,115	Europris ASA		807,107
	69,800	Frontline Ltd		637,274
	280,546	Gjensidige Forsikring ASA		5,114,595
	267,676	Kongsberg Automotive ASA * (a)		16,958
	36,493	Norwegian Finans Holding ASA *		260,212
	879,752	Orkla ASA		7,901,704
	26,352	Salmar ASA		1,188,388
	30,725	Sbanken ASA *		204,995
	61,466	Selvaag Bolig ASA		316,736
	123,657	SpareBank 1 Nord Norge		813,624
	55,483	SpareBank 1 SMN		445,482
	347,779	SpareBank 1 SR-Bank ASA		2,588,792
	48,882	Veidekke ASA *		499,004
		Total Norway		36,068,095
		Pakistan — 0.1%
	186,760	Engro Corp Ltd		335,092
	1,547,500	Engro Fertilizers Ltd		573,059
	282,500	Fauji Fertilizer Co Ltd		189,379
	125,900	Nishat Mills Ltd		57,264
	1,504,200	Oil & Gas Development Co Ltd		1,066,633
	189,320	Pakistan Oilfields Ltd		370,273
	451,060	Pakistan Petroleum Ltd		259,306
	136,280	Pakistan State Oil Co Ltd		132,531
	100,900	Searle Co Ltd (The)		124,987
	247,200	United Bank Ltd		147,653
		Total Pakistan		3,256,177
		Philippines — 0.1%
	43,320	Globe Telecom Inc		1,963,290
	237,740	Manila Electric Co		1,331,589
	20,961,600	Megaworld Corp		1,182,653
	13,892,000	Metro Pacific Investments Corp		795,861
	85,750	Security Bank Corp		138,399
	1,463,125	Semirara Mining & Power Corp		318,349
		Total Philippines		5,730,141
		Poland — 0.9%
	127,811	Alior Bank SA *		460,375
	38,194	AmRest Holdings SE *		250,434
	101,005	Asseco Poland SA		1,842,068
	317,594	Bank Millennium SA *		196,841
	541,915	Bank Polska Kasa Opieki SA		7,072,394
	36,370	Budimex SA		2,050,254
	78,987	CCC SA		953,307
	6,565	CD Projekt SA		661,792
	266,209	Cyfrowy Polsat SA		1,736,269

Shares		Description	Value ($)
		Poland — continued
	581,474	Energa SA *		1,145,913
	118,849	EPP NV		41,464
	4,706	KRUK SA		118,379
	30,049	Lubelski Wegiel Bogdanka SA		145,947
	380	mBank SA *		20,297
	826,824	Orange Polska SA *		1,339,344
	471,786	PLAY Communications SA		3,347,007
	573,586	Polski Koncern Naftowy ORLEN SA		9,571,236
	824,746	Powszechna Kasa Oszczednosci Bank Polski SA		4,562,875
	2,819,986	Powszechny Zaklad Ubezpieczen SA		21,011,532
	12,064	Santander Bank Polska SA		490,466
	67,364	Warsaw Stock Exchange		688,184
		Total Poland		57,706,378
		Portugal — 0.9%
	536,013	Altri SGPS SA (a)		2,465,538
	7,323,055	Banco Comercial Portugues SA – Class R (a)		799,426
	299,333	CTT-Correios de Portugal SA (a)		681,959
	45,154	EDP Renovaveis SA		597,065
	3,636,624	EDP – Energias de Portugal SA		16,988,794
	1,362,341	Galp Energia SGPS SA		16,209,387
	491,647	Jeronimo Martins SGPS SA		8,383,415
	244,022	Mota-Engil SGPS SA (a)		310,419
	456,574	Navigator Co SA (The)		1,124,389
	800,900	NOS SGPS SA*		3,279,121
	439,312	REN – Redes Energeticas Nacionais SGPS SA		1,176,829
	32,033	Semapa-Sociedade de Investimento e Gestao *		294,560
	3,243,948	Sonae SGPS SA		2,429,169
		Total Portugal		54,740,071
		Qatar — 0.2%
	2,635,244	Barwa Real Estate Co		2,140,479
	657,997	Doha Bank QPSC *		369,691
	103,008	Qatar Electricity & Water Co QSC		426,640
	370,795	Qatar Insurance Co SAQ		212,206
	1,237,206	Qatar National Bank QPSC		5,999,243
	489,023	Qatar National Cement Co QSC		523,217
		Total Qatar		9,671,476
		Russia — 4.9%
	12,155,750	Alrosa PJSC		11,455,366
	2,997,200	Credit Bank of Moscow PJSC		231,020
	460,360	Detsky Mir PJSC		650,716
	29,483,000	ENEL RUSSIA PJSC		408,340
	66,973	Etalon Group Plc GDR (Registered)		84,153
	365,500,000	Federal Grid Co Unified Energy System PJSC		958,777
	582,920	Gazprom Neft PJSC		2,781,048

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	305,150	Gazprom PJSC		873,404
	313,284	Globaltrans Investment Plc Sponsored GDR (Registered)		1,747,179
	310,991,000	Inter RAO UES PJSC		22,019,299
	46,319	LSR Group PJSC		387,026
	234,759	LSR Group PJSC GDR (Registered)		382,198
	131,270	LUKOIL PJSC		9,873,813
	743,747	LUKOIL PJSC Sponsored ADR		55,881,237
	217,430	M.Video PJSC		1,053,280
	8,802,600	Magnitogorsk Iron & Steel Works PJSC		5,085,186
	169,821	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		1,269,403
	10,210	MMC Norilsk Nickel PJSC		3,227,944
	1,272,223	MMC Norilsk Nickel PJSC ADR		40,250,079
	285,935	Mobile TeleSystems PJSC Sponsored ADR (a)		2,541,962
	4,422,610	Moscow Exchange MICEX-RTS PJSC		7,225,128
	88,846	Novatek PJSC Sponsered GDR (Registered)		13,005,634
	449,960	Novolipetsk Steel PJSC		883,614
	891,221	Novolipetsk Steel PJSC GDR		17,272,485
	136,849	PhosAgro PJSC GDR (Registered)		1,900,682
	3,551	Polymetal International Plc		71,377
	995	Polyus PJSC GDR (Registered)		82,346
	118,392	QIWI Plc Sponsored ADR		1,650,976
	352,420	Raspadskaya OJSC		539,978
	177,198,000	ROSSETI PJSC		4,195,929
	459,060	Rostelecom PJSC		542,369
	36,650	Safmar Financial Investment		206,790
	3,366,149	Sberbank of Russia PJSC Sponsored ADR		38,386,705
	386,249	Severstal PJSC GDR (Registered)		5,098,144
	8,733,400	Surgutneftegas PJSC		4,956,340
	2,842,517	Surgutneftegas PJSC Sponsored ADR		16,039,277
	392,499	Tatneft PJSC		2,988,666
	516,683	Tatneft PJSC Sponsored ADR		23,545,624
	162,470	TCS Group Holding Plc GDR (Registered)		2,829,479
	32,202,000	Unipro PJSC		1,258,560
	1,033,825	VTB Bank PJSC GDR (Registered)		1,021,013
	9,054	X5 Retail Group NV GDR (Registered)		269,221
	1,251	Yandex NV – Class A * (b)		50,774
	9,900	Yandex NV – Class A * (a) (b)		398,277
		Total Russia		305,580,818
		Singapore — 1.4%
	310,300	Accordia Golf Trust		133,264
	483,900	AEM Holdings Ltd		1,054,713
	753,200	Ascendas (REIT)		1,676,264
	737,900	Asian Pay Television Trust		65,869
	1,000	Cache Logistics Trust (REIT)		366
	1,370,000	CapitaLand Commercial Trust (REIT)		1,702,042
	610,700	CapitaLand Ltd		1,253,988

Shares		Description	Value ($)
		Singapore — continued
	1,441,500	CapitaLand Mall Trust (REIT)		2,079,883
	2,083,300	ComfortDelGro Corp Ltd		2,128,433
	1,760,200	DBS Group Holdings Ltd		24,351,470
	583,100	First Real Estate Investment Trust		366,452
	224,800	Frasers Logistics & Industrial Trust (REIT)		177,236
	1,160,899	Japfa Ltd		547,579
	628,100	Keppel DC (REIT)		1,145,959
	423,700	Mapletree Commercial Trust (REIT)		602,807
	3,356,700	Mapletree Greater China Commercial Trust (REIT)		1,992,368
	1,609,000	Mapletree Industrial Trust (REIT)		3,110,652
	513,700	Mapletree Logistics Trust (REIT)		748,202
	41,000	QAF Ltd		22,234
	865,500	Sasseur Real Estate Investment Trust		491,897
	522,200	Silverlake Axis Ltd		87,121
	1,038,800	Singapore Exchange Ltd		6,103,074
	442,400	Singapore Technologies Engineering Ltd		1,001,899
	184,000	Sino Grandness Food Industry Group Ltd *		2,217
	861,800	SPH (REIT)		507,635
	545,400	StarHub Ltd		525,022
	290,400	United Overseas Bank Ltd		4,022,179
	502,500	Venture Corp Ltd		5,460,709
	637,400	Wilmar International Ltd		1,800,718
	36,700	Wing Tai Holdings Ltd		48,179
	30,332,951	Yangzijiang Shipbuilding Holdings Ltd		20,243,638
	1,599,000	Yanlord Land Group Ltd *		1,249,317
		Total Singapore		84,703,386
		South Africa — 1.3%
	3,484,344	Absa Group Ltd		16,202,554
	39,768	AECI Ltd		163,359
	1,494,532	African Phoenix Investments Ltd *		33,103
	12,600	Anglo American Platinum Ltd		798,936
	35,323	Aspen Pharmacare Holdings Ltd *		282,596
	234,358	Astral Foods Ltd		2,061,936
	560,358	Barloworld Ltd		2,150,108
	9,795	BID Corp Ltd		138,265
	3,068,141	Blue Label Telecoms Ltd *		437,809
	1,732	Capitec Bank Holdings Ltd		84,010
	29,909	Clicks Group Ltd		397,196
	171,461	Discovery Ltd		964,383
	959,643	Emira Property Fund Ltd (REIT)		306,223
	187,268	FirstRand Ltd		430,058
	703,620	Fortress REIT Ltd – Class A		444,974
	240,288	Foschini Group Ltd (The)		855,081
	4,215,202	Growthpoint Properties Ltd (REIT)		3,004,526
	315,643	Imperial Logistics Ltd		704,541
	493,517	Investec Ltd		868,049
	9,866	JSE Ltd		67,111
	504,622	Kumba Iron Ore Ltd		13,628,299

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	509,254	Lewis Group Ltd		424,852
	818,903	Liberty Holdings Ltd		2,911,524
	148,561	Life Healthcare Group Holdings Ltd		154,323
	204,488	Momentum Metropolitan Holdings		200,786
	828,587	Motus Holdings Ltd		1,310,348
	508,739	Mr Price Group Ltd		3,786,659
	152,683	MTN Group Ltd		473,308
	91,753	MultiChoice Group Ltd *		453,321
	70,066	Murray & Roberts Holdings Ltd		16,529
	138,657	Nedbank Group Ltd		784,804
	1,294,371	Netcare Ltd		1,047,172
	6,952,806	Old Mutual Ltd		4,461,406
	63,928	Pepkor Holdings Ltd		43,576
	348,406	Rand Merchant Investment Holdings Ltd		541,876
	4,832,185	Redefine Properties Ltd (REIT)		528,589
	610,828	Reunert Ltd		1,511,353
	96,224	RMB Holdings Ltd		293,085
	1,474,023	SA Corporate Real Estate Ltd (REIT)		83,324
	2,078,170	Sanlam Ltd		6,712,499
	38,934	Santam Ltd		599,884
	88,670	Sappi Ltd *		128,116
	21,915	SPAR Group Ltd (The)		219,097
	24,997	Standard Bank Group Ltd		145,498
	3,194,149	Telkom SA SOC Ltd		3,230,139
	31,083	Tiger Brands Ltd		278,018
	2,004,673	Truworths International Ltd		3,582,044
	267,529	Tsogo Sun Gaming Ltd		32,659
	95,801	Vodacom Group Ltd		687,832
	267,993	Wilson Bayly Holmes-Ovcon Ltd		1,463,562
		Total South Africa		80,129,300
		South Korea — 3.1%
	83,276	Aekyung Petrochemical Co Ltd		468,088
	29,624	Aju Capital Co Ltd		294,549
	22,851	Boryung Pharmaceutical Co Ltd		273,145
	3,029	Chong Kun Dang Pharmaceutical Corp		231,372
	348	Dae Han Flour Mills Co Ltd		37,389
	124,222	DB HiTek Co Ltd		2,893,802
	65,155	DB Insurance Co Ltd		2,290,953
	2,959	Dong-A ST Co Ltd		207,730
	2,789	DongKook Pharmaceutical Co Ltd		217,473
	74,939	Dongwha Pharm Co Ltd		701,862
	544,421	Dongwon Development Co Ltd		1,589,808
	98	Doosan Bobcat Inc		1,882
	181	F&F Co Ltd		14,575
	2,331	GOLFZON Co Ltd		140,973
	17,195	GS Home Shopping Inc		1,659,218
	1,271,757	Hana Financial Group Inc		30,727,809
	66,170	Hankook Tire & Technology Co Ltd		1,257,637
	700,252	Hanwha Life Insurance Co Ltd		862,275
	53,315	HDC Hyundai Development Co-Engineering & Construction		858,843

Shares		Description	Value ($)
		South Korea — continued
	41,107	Huons Co Ltd		1,621,557
	16,277	Hy-Lok Corp		174,333
	6,005	Hyosung Corp		327,479
	32,350	Hyundai Home Shopping Network Corp		1,754,563
	13,861	Hyundai Marine & Fire Insurance Co Ltd		272,212
	25,753	Hyundai Mobis Co Ltd		4,129,157
	70,061	Hyundai Motor Co		5,570,437
	54,783	Il Dong Pharmaceutical Co Ltd *		612,848
	1,099,960	Industrial Bank of Korea		7,387,952
	145,130	JB Financial Group Co Ltd		558,819
	4,819	Kangwon Land Inc		94,668
	146,663	KB Financial Group Inc		4,002,593
	6,819	KCC Corp		790,122
	33,441	KEPCO Plant Service & Engineering Co Ltd		835,957
	1,239,426	Kia Motors Corp		34,464,144
	142,408	Korea Asset In Trust Co Ltd		306,198
	45,196	Korea Autoglass Corp		481,306
	4,490	Korea Investment Holdings Co Ltd		192,354
	77,408	Korean Reinsurance Co		463,246
	54,900	KT Corp Sponsored ADR		534,726
	67,372	KT Hitel Co Ltd *		302,251
	176,833	KT&G Corp		12,001,359
	34,866	Kyungdong Pharm Co Ltd		237,479
	121,754	LF Corp		1,336,171
	4,795	LG Electronics Inc		230,552
	8,132	LG Uplus Corp		86,608
	8,282	LOTTE Fine Chemical Co Ltd		254,124
	20,564	LOTTE Himart Co Ltd		457,907
	6,562	LS Electric Co Ltd		242,274
	10,532	Mando Corp		228,175
	6,827	Medy-Tox Inc		931,619
	11,444	Meritz Fire & Marine Insurance Co Ltd		134,625
	28,523	Mirae Asset Life Insurance Co Ltd		70,418
	338	NCSoft Corp		215,908
	18,670	OCI Co Ltd *		593,967
	39,368	S&T Motiv Co Ltd		1,275,932
	72,595	Samjin Pharmaceutical Co Ltd		1,625,348
	532,708	Samsung Electronics Co Ltd		21,940,148
	3,811	Samsung Electronics Co Ltd GDR (Registered)		3,933,666
	2,993	Samyang Foods Co Ltd		286,790
	8,508	Sebang Global Battery Co Ltd		197,565
	714,006	Shinhan Financial Group Co Ltd		17,451,621
	2,517	SK Holdings Co Ltd		488,006
	125,325	SK Hynix Inc		8,310,621
	6,112	SK Telecom Co Ltd		1,067,470
	561,241	SK Telecom Co Ltd Sponsored ADR		10,803,889
	33,965	SL Corp (c)		192,792
	180	Taekwang Industrial Co Ltd		107,897
	289,462	Woori Financial Group Inc		2,135,992
	5,980	Yuhan Corp		251,589
		Total South Korea		196,696,817

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Spain — 1.8%
	46,988	Acerinox SA *		375,916
	205,568	Aena SME SA		29,338,025
	191,587	Almirall SA *		2,512,384
	43,203	Amadeus IT Group SA		2,259,146
	89,963	Banco Santander SA		205,684
	154,023	Bankinter SA		654,341
	208,669	Cia de Distribucion Integral Logista Holdings SA		3,860,631
	35,896	Ebro Foods SA		751,576
	30,792	eDreams ODIGEO SA *		97,990
	204,593	Enagas SA		4,611,468
	1,107,022	Endesa SA		26,442,691
	159,818	Faes Farma SA		645,136
	12,757	Grifols SA		398,099
	1,259,170	Iberdrola SA		13,633,637
	370,870	Industria de Diseno Textil SA		10,330,009
	584,439	Mediaset Espana Comunicacion SA * (a)		2,087,100
	399,350	Red Electrica Corp SA		7,031,814
	59,181	Repsol SA		557,194
	736,324	Unicaja Banco SA		398,872
	52,462	Viscofan SA (a)		3,446,043
		Total Spain		109,637,756
		Sweden — 1.0%
	74,358	Axfood AB		1,667,531
	232,693	Betsson AB *		1,623,889
	142,276	Bilia AB-Class A		1,165,968
	245,775	Boliden AB		5,370,522
	10,344	Bufab AB *		93,950
	153,227	Cloetta AB-Class B		386,467
	21,441	Humana AB		99,140
	115,492	Inwido AB		736,691
	46,397	JM AB		915,032
	36,274	Klovern AB – B Shares		57,794
	84,163	Lindab International AB		858,238
	37,964	Loomis AB – Class B		959,917
	19,900	New Wave Group AB – Class B *		60,863
	224,889	Nobia AB		1,018,799
	51,514	Resurs Holding AB		219,540
	343,089	Skanska AB – B Shares		6,897,066
	159,846	Swedish Match AB		11,156,134
	79,039	Volvo AB – A Shares		1,125,093
	1,975,364	Volvo AB – B Shares		28,187,212
		Total Sweden		62,599,846
		Switzerland — 1.3%
	8,530	ALSO Holding AG (Registered) *		2,002,961
	6,690	Banque Cantonale Vaudoise (Registered)		652,391
	20,743	BKW AG		1,659,855
	8,404	Bobst Group SA (Registered) (a)		507,377
	37,120	Galenica AG		2,749,860

Shares		Description	Value ($)
		Switzerland — continued
	119	Gurit Holding AG		181,001
	9,854	Huber + Suhner AG (Registered)		679,865
	6,325	Kardex AG (Registered)		1,097,655
	42,050	Mobilezone Holding AG (Registered)		359,505
	16,714	Nestle SA (Registered)		1,814,756
	115,523	Novartis AG (Registered)		10,056,958
	6,147	Orior AG *		473,441
	4,963	Partners Group Holding AG		4,134,548
	35,297	Roche Holding AG		12,373,207
	121,565	Roche Holding AG – Genusschein		42,197,825
	5,700	Vetropack Holding AG (Registered) *		356,846
	18,377	Wizz Air Holdings Plc *		747,127
	3,873	Zehnder Group AG – Class RG		150,129
		Total Switzerland		82,195,307
		Taiwan — 6.0%
	302,000	Ability Enterprise Co Ltd		119,807
	321,000	AcBel Polytech Inc		219,002
	59,000	Amazing Microelectronic Corp		164,417
	69,000	Arcadyan Technology Corp		194,438
	3,571,799	Asustek Computer Inc		25,077,465
	70,000	Aten International Co Ltd		209,101
	3,315,000	Catcher Technology Co Ltd		24,159,442
	1,043,000	Cathay Financial Holding Co Ltd		1,393,698
	1,402,890	Chailease Holding Co Ltd		5,468,110
	2,591,660	Chicony Electronics Co Ltd		7,435,792
	120,000	Chicony Power Technology Co Ltd		267,981
	8,585,000	China Development Financial Holding Corp		2,606,824
	151,000	China Life Insurance Co Ltd *		104,586
	226,400	China Motor Corp		274,051
	227,000	ChipMOS Technologies Inc		234,360
	427,000	Chong Hong Construction Co Ltd		1,191,181
	19,000	Chunghwa Telecom Co Ltd		69,959
	4,555,000	Coretronic Corp *		4,724,233
	19,278,000	CTBC Financial Holding Co Ltd		12,849,404
	202,000	Darfon Electronics Corp		242,295
	61,000	Depo Auto Parts Ind Co Ltd		98,781
	17,000	Eclat Textile Co Ltd		175,157
	659,000	Elite Material Co Ltd		3,246,984
	593,000	Elitegroup Computer Systems Co Ltd *		231,413
	563,000	Farglory Land Development Co Ltd		820,963
	885,300	Feng TAY Enterprise Co Ltd		5,353,770
	1,985,000	FLEXium Interconnect Inc		7,209,531
	244,000	Formosa Advanced Technologies Co Ltd		302,867
	101,000	Formosa Chemicals & Fibre Corp		242,664
	881,000	Formosa Plastics Corp		2,439,651
	1,433,000	Formosa Taffeta Co Ltd		1,633,972
	1,323,000	Foxconn Technology Co Ltd		2,382,335
	3,636,000	Fubon Financial Holding Co Ltd		5,145,368
	2,750,000	Gigabyte Technology Co Ltd		5,415,983
	6,655,000	Grand Pacific Petrochemical *		3,134,609

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	2,310,580	Great Wall Enterprise Co Ltd		3,312,535
	535,000	Greatek Electronics Inc		802,896
	121,000	Holiday Entertainment Co Ltd		266,917
	1,231,000	Holtek Semiconductor Inc		2,646,063
	23,489,600	Hon Hai Precision Industry Co Ltd		59,426,156
	490,000	Huaku Development Co Ltd		1,552,172
	318,530	IBF Financial Holdings Co Ltd		120,155
	416,980	IEI Integration Corp *		542,757
	58,000	Innodisk Corp		371,094
	3,000	King Slide Works Co Ltd		32,508
	319,000	Kinik Co		648,466
	168,000	Kung Long Batteries Industrial Co Ltd		807,087
	29,000	Lion Travel Service Co Ltd		75,754
	813,000	Lite-On Semiconductor Corp		1,119,167
	2,661,000	Lite-On Technology Corp		4,270,412
	9,000	Lotes Co Ltd		121,247
	240,000	MediaTek Inc		3,705,490
	53,000	Mercuries & Associates Holding Ltd		39,082
	2,374,088	Mercuries Life Insurance Co Ltd *		728,592
	640,000	Merry Electronics Co Ltd		2,892,867
	791,000	Micro-Star International Co Ltd		2,668,836
	3,965,008	Mitac Holdings Corp		4,281,194
	466,000	Nantex Industry Co Ltd		581,011
	22,000	Nichidenbo Corp		38,525
	2,919,000	Novatek Microelectronics Corp		19,986,572
	1,767,000	Pegatron Corp		3,803,232
	783,000	Phison Electronics Corp		7,216,819
	13,199,566	Pou Chen Corp		13,016,975
	70,000	Powertech Technology Inc		226,705
	149,000	Primax Electronics Ltd		230,869
	3,694,000	Qisda Corp		2,046,357
	1,328,000	Quanta Computer Inc		3,102,223
	681,000	Quanta Storage Inc		838,237
	9,408,020	Radiant Opto-Electronics Corp		32,389,514
	260,000	Ruentex Industries Ltd		565,462
	149,000	Sercomm Corp		357,005
	29,000	Sheng Yu Steel Co Ltd		15,556
	174,000	Shin Zu Shing Co Ltd		788,143
	233,000	Shinkong Insurance Co Ltd		277,008
	736,400	Simplo Technology Co Ltd		7,889,542
	131,000	Sinbon Electronics Co Ltd		659,292
	127,000	Sitronix Technology Corp		646,032
	235,000	Soft-World International Corp		839,134
	141,000	Standard Chemical & Pharmaceutical Co Ltd		183,328
	2,043,000	Sunplus Technology Co Ltd *		760,535
	653,000	Syncmold Enterprise Corp		1,764,954
	54,000	Taiflex Scientific Co Ltd		84,862
	1,513,000	Taiwan PCB Techvest Co Ltd		1,882,110
	1,681,000	Taiwan Semiconductor Manufacturing Co Ltd		16,341,456
	370,950	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		18,669,913

Shares		Description	Value ($)
		Taiwan — continued
	559,000	Taiwan Surface Mounting Technology Corp		2,142,979
	258,000	Teco Electric and Machinery Co Ltd		242,601
	22,000	Test Research Inc		40,180
	30,000	Thinking Electronic Industrial Co Ltd		87,560
	545,217	TOPBI International Holdings Ltd		1,051,633
	609,064	Topco Scientific Co Ltd		2,116,121
	228,000	Topkey Corp		929,236
	710,000	Transcend Information Inc		1,663,372
	779,000	Tripod Technology Corp		2,929,352
	728,800	United Integrated Services Co Ltd		5,115,116
	176,000	Wah Lee Industrial Corp		323,990
	270,000	Wistron Corp		257,414
	17,000	Wiwynn Corp		455,541
	668,000	Youngtek Electronics Corp		1,400,525
	11,996,000	Yuanta Financial Holding Co Ltd		6,509,530
	19,000	Yulon Nissan Motor Co Ltd		167,909
		Total Taiwan		375,906,071
		Thailand — 0.3%
	1,095,400	AP Thailand Pcl (Foreign Registered)		191,660
	169,400	AP Thailand Pcl NVDR		29,640
	501,700	Bangkok Bank Pcl NVDR		1,725,944
	217,700	Bangkok Life Assurance Pcl NVDR		102,878
	4,175,800	Banpu Pcl (Foreign Registered)		820,457
	705,900	Banpu Power Pcl NVDR		388,403
	21,637,000	Beauty Community Pcl NVDR		1,193,982
	264,300	Hana Microelectronics Pcl NVDR		249,954
	1,665,900	Jasmine International Pcl NVDR		196,327
	567,600	Kasikornbank Pcl NVDR		1,721,097
	368,100	Krung Thai Bank Pcl NVDR		120,706
	2,362,500	Land & Houses Pcl NVDR		543,809
	1,422,900	Origin Property Pcl NVDR		226,437
	388,600	Pruksa Holding Pcl (Foreign Registered)		145,648
	1,621,500	Pruksa Holding Pcl NVDR		607,742
	3,255,900	Quality Houses Pcl NVDR		221,526
	849,700	SC Asset Corp Pcl (Foreign Registered)		54,027
	500,400	Siam Commercial Bank Pcl NVDR (The)		1,168,877
	207,800	Somboon Advance Technology Pcl NVDR		73,996
	238,000	SPCG Pcl NVDR		131,055
	1,148,725	Supalai Pcl (Foreign Registered)		535,256
	989,200	Supalai Pcl NVDR		460,924
	3,083,300	Thai Beverage Pcl (a)		1,379,369
	292,200	Thai Vegetable Oil Pcl NVDR		243,650
	3,439,500	Thanachart Capital Pcl (Foreign Registered)		3,954,459
	634,700	Thanachart Capital Pcl NVDR		729,727
	396,600	Tipco Asphalt Pcl NVDR		275,016
	29,800	Tisco Financial Group Pcl NVDR		70,499
	594,900	TTW Pcl NVDR		256,281
	1,054,700	Univentures Pcl NVDR		110,996
		Total Thailand		17,930,342

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Turkey — 0.7%
	1,361,861	Akbank TAS *		1,139,790
	393,387	Arcelik AS *		908,703
	38,256	Coca-Cola Icecek AS		227,091
	1,753,653	Enerjisa Enerji AS		2,087,768
	5,973,068	Eregli Demir ve Celik Fabrikalari TAS		7,043,100
	171,452	Haci Omer Sabanci Holding AS		208,466
	5,887,068	KOC Holding AS		13,919,078
	781,789	Selcuk Ecza Deposu Ticaret ve Sanayi AS		937,997
	1,166,431	TAV Havalimanlari Holding AS		3,481,558
	441,792	Tofas Turk Otomobil Fabrikasi AS		1,442,900
	2,813,251	Turkiye Garanti Bankasi AS *		3,226,275
	11,081,928	Turkiye Is Bankasi – Class C *		8,070,249
	1,435,459	Turkiye Sinai Kalkinma Bankasi AS *		231,514
	2,647,203	Turkiye Vakiflar Bankasi TAO – Class D *		1,810,384
	119,350	Yapi ve Kredi Bankasi AS *		40,756
		Total Turkey		44,775,629
		United Arab Emirates — 0.1%
	9,027	Abu Dhabi Commercial Bank PJSC		10,830
	176,600	Abu Dhabi Islamic Bank PJSC		163,447
	481,320	Al Waha Capital PJSC *		86,302
	562,034	Dubai Islamic Bank PJSC		541,449
	179,050	Emaar Development PJSC *		94,579
	555,510	Emaar Malls PJSC *		199,944
	9,376,893	Emaar Properties PJSC *		6,398,045
	77,254	Emirates NBD Bank PJSC		181,229
		Total United Arab Emirates		7,675,825
		United Kingdom — 5.5%
	2,394,501	3i Group Plc		24,504,014
	170,063	888 Holdings Plc		322,548
	149,420	Aggreko Plc		875,716
	173,442	Alliance Pharma Plc		161,849
	205,429	Anglo American Plc		4,348,733
	38,473	Ashtead Group Plc		1,148,890
	87,740	Atlantica Sustainable Infrastructure Plc		2,298,788
	48,184	Avast Plc		300,596
	158,423	AVEVA Group Plc		8,049,127
	198,332	BAE Systems Plc		1,224,069
	36,801	Bank of Georgia Group Plc		421,015
	2,875,362	Barratt Developments Plc		17,785,845
	218,807	Bellway Plc		6,984,705
	198,909	Berkeley Group Holdings Plc (The)		10,132,753
	72,163	Biffa Plc		224,258
	370,982	British American Tobacco Plc		14,713,296
	495,200	British American Tobacco Plc Sponsored ADR		19,847,616
	9,697	Burberry Group Plc		181,076
	1,765,744	Centamin Plc		3,594,370
	98,956	CMC Markets Plc		242,027

Shares		Description	Value ($)
		United Kingdom — continued
	261,513	Coca-Cola HBC AG		6,622,194
	352,914	Compass Group Plc		5,173,503
	143,484	Computacenter Plc		2,858,205
	14,881	Cranswick Plc		679,588
	120,134	Daily Mail & General Trust Plc (a)		1,071,539
	29,977	Dart Group Plc		328,308
	37,845	Derwent London Plc (REIT)		1,381,168
	29,700	Diageo Plc Sponsored ADR		4,176,117
	22,440	Diploma Plc		510,152
	321,250	Dixons Carphone Plc		300,909
	265,884	Dunelm Group Plc		3,515,635
	344,639	Electrocomponents Plc		2,721,680
	38,435	EMIS Group Plc		537,694
	34,735	Ferguson Plc		2,739,481
	1,990,114	Ferrexpo Plc		4,335,339
	330,675	Frasers Group Plc *		1,255,905
	15,822	Games Workshop Group Plc		1,565,695
	54,436	Gem Diamonds Ltd *		21,549
	96,900	GlaxoSmithKline Plc Sponsored ADR (a)		4,062,048
	72,433	Go-Ahead Group Plc (The)		976,514
	73,430	Great Portland Estates Plc (REIT)		592,530
	59,740	Greggs Plc		1,368,700
	69,423	Halma Plc		2,014,643
	17,105	HomeServe Plc		275,707
	58,000	HSBC Holdings Plc		267,996
	176,207	Ibstock Plc		400,891
	508,175	IG Group Holdings Plc		4,805,491
	69,063	IMI Plc		771,358
	433,297	Inchcape Plc		2,693,882
	367,728	Indivior Plc *		279,631
	149,052	Intermediate Capital Group Plc		2,343,951
	4,524,158	International Consolidated Airlines Group SA (a)		12,859,007
	134,271	International Personal Finance Plc		70,703
	1,146,474	J Sainsbury Plc		2,749,054
	906,941	JD Sports Fashion Plc		7,435,480
	381,250	John Laing Group Plc		1,674,289
	638,946	Kingfisher Plc		1,550,712
	3,880,847	Legal & General Group Plc		9,581,542
	449,483	LondonMetric Property Plc (REIT)		1,169,239
	42,060	McBride Plc		29,652
	296,321	Meggitt Plc		1,024,264
	224,536	Mitchells & Butlers Plc *		504,479
	42,588	Mondi Plc		801,308
	148,052	Morgan Advanced Materials Plc		391,248
	89,199	Morgan Sindall Group Plc		1,352,355
	532,646	National Express Group Plc		1,436,724
	98,735	Next Plc		5,971,112
	43,985	Numis Corp Plc		166,343
	185,426	OneSavings Bank Plc		640,212
	200,473	Paragon Banking Group Plc		877,523
	308,266	Pennon Group Plc		4,369,479

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	1,000,380	Persimmon Plc		28,534,769
	783,652	Pets at Home Group Plc		2,230,459
	467,108	Plus500 Ltd		7,626,301
	93,274	PZ Cussons Plc		204,023
	1,819,127	QinetiQ Group Plc		6,677,116
	22,415	Redde Northgate Plc		52,863
	169,327	Regional REIT Ltd		162,382
	162,071	Royal Dutch Shell Plc – A Shares (a)		2,587,584
	43,105	Royal Dutch Shell Plc – B Shares		658,078
	961,542	Royal Dutch Shell Plc – Class B Sponsored ADR		29,269,338
	34,316	Sage Group Plc (The)		294,265
	903,442	Sirius Real Estate Ltd		895,107
	83,500	Smith & Nephew Plc Sponsored ADR		3,407,635
	123,459	Smiths Group Plc *		2,012,956
	154,790	Softcat Plc		2,204,495
	22,753	Spectris Plc		724,940
	910,483	Spirent Communications Plc		2,827,614
	265,945	Stock Spirits Group Plc		800,104
	1,591,555	Tate & Lyle Plc		13,275,892
	166,849	TI Fluid Systems Plc		395,031
	27,634	Ultra Electronics Holdings Plc		674,984
	57,310	UNITE Group Plc (The) (REIT) *		615,978
	127,162	Vectura Group Plc		143,554
	313,971	Vesuvius Plc		1,431,599
	977,633	WM Morrison Supermarkets Plc		2,268,160
		Total United Kingdom		342,639,246
		United States — 12.1%
	16,600	1-800-Flowers.com, Inc. – Class A *		367,524
	5,200	1st Source Corp.		179,868
	25,200	3M Co. (a)		3,942,288
	27,000	A10 Networks, Inc. *		183,600
	8,700	AAR Corp.		175,479
	28,349	Acacia Communications, Inc. *		1,913,557
	506,500	ACCO Brands Corp.		3,135,235
	197,900	Acushnet Holdings Corp. (a) (d)		6,613,818
	12,400	Adtalem Global Education, Inc. * (a)		414,904
	93,700	ADTRAN, Inc.		1,068,180
	323,180	Advanced Disposal Services, Inc. * (a)		10,076,752
	46,900	AgroFresh Solutions, Inc. *		124,754
	153,400	Allscripts Healthcare Solutions, Inc. *		969,488
	82,300	Alpha & Omega Semiconductor Ltd. *		865,796
	19,400	Amalgamated Bank – Class A		217,862
	31,900	American Equity Investment Life Holding Co.		691,911
	43,100	American Express Co. (a)		4,097,517
	14,700	American Public Education, Inc. *		462,021
	5,900	American Vanguard Corp.		78,470
	196,000	Amkor Technology, Inc. * (a)		2,073,680
	49,700	AngioDynamics, Inc. *		507,437
	77,500	Applied Materials, Inc.		4,353,950

Shares		Description	Value ($)
		United States — continued
	26,500	ArcBest Corp.		593,335
	33,600	Arcosa, Inc.		1,282,512
	24,600	Arcus Biosciences, Inc. *		771,210
	152,100	Arlo Technologies, Inc. *		336,141
	30,600	Artisan Partners Asset Management, Inc. – Class A		886,482
	10,000	Asbury Automotive Group, Inc. *		722,800
	1,700	ATN International, Inc.		100,980
	45,300	AutoNation, Inc. * (a)		1,788,444
	54,900	Avaya Holdings Corp. *		801,540
	30,700	Avista Corp.		1,202,519
	30,800	Avnet, Inc.		838,992
	20,600	Axcelis Technologies, Inc. *		553,110
	25,800	AZZ, Inc.		816,828
	26,100	BankFinancial Corp.		236,988
	11,700	Bassett Furniture Industries, Inc.		74,880
	9,830	Bel Fuse, Inc. – Class B (a)		92,107
	206,800	Benchmark Electronics, Inc.		4,382,092
	5,000	Berry Corp.		21,200
	64,800	Big Lots, Inc.		2,511,000
	275,500	Bloomin’ Brands, Inc.		3,143,455
	2,600	Booking Holdings, Inc. *(a)		4,262,492
	148,100	BorgWarner, Inc. (a)		4,761,415
	43,300	Boston Private Financial Holdings, Inc.		297,471
	158,800	Brady Corp. – Class A		8,119,444
	63,500	Brightsphere Investment Group, Inc. *		530,225
	192,800	Brinker International, Inc. * (a)		5,080,280
	78	Bristol-Myers Squibb Co.		4,658
	36,400	Brookline Bancorp, Inc.		338,520
	24,400	Buckle, Inc. (The)		343,552
	294,900	Builders FirstSource, Inc. *		6,136,869
	16,100	Camden National Corp.		539,994
	1,100	Carpenter Technology Corp. (a)		25,707
	18,700	Carriage Services, Inc.		350,064
	16,000	Cars.com, Inc. *		98,720
	50,900	CBIZ, Inc. *		1,152,885
	109,600	Cedar Realty Trust, Inc. (REIT)		81,597
	12,600	Central Garden & Pet Co. *		462,294
	12,600	Central Garden & Pet Co. – Class A *		431,676
	7,810	Century Bancorp, Inc. – Class A		588,874
	14,900	Cerence, Inc. *		445,659
	11,200	CEVA, Inc. *		386,064
	374,564	Charles Schwab Corp. (The) (a) (e)		13,450,593
	14,500	Chatham Lodging Trust (REIT)		97,875
	49,000	Chevron Corp. (d)		4,493,300
	1,900	Citi Trends, Inc.		30,856
	11,860	Civista Bancshares, Inc.		180,746
	38,690	Clarus Corp. (a)		406,245
	8,600	CNB Financial Corp.		152,392
	7,200	Community Trust Bancorp, Inc.		236,448
	49,200	Computer Programs & Systems, Inc.		1,088,304
	143,500	Comtech Telecommunications Corp.		2,555,735

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	52,700	Consolidated Communications Holdings, Inc. *		319,362
	600	Consolidated Water Co. Ltd.		8,898
	40,300	Cooper Tire & Rubber Co.		1,036,919
	47,100	Core-Mark Holding Co., Inc.		1,317,858
	445,500	CoreCivic, Inc. (REIT)		5,359,365
	236,600	CorePoint Lodging, Inc. (REIT)		936,936
	133,181	Corteva, Inc.		3,637,173
	55,900	Covetrus, Inc. *		854,152
	23,700	CRA International, Inc.		957,243
	44,700	CSG Systems International, Inc. (a)		2,116,545
	22,600	CTS Corp.		482,284
	73,400	Curo Group Holdings Corp.		491,046
	37,600	CytomX Therapeutics, Inc. *		333,136
	17,800	Daktronics, Inc.		75,472
	25,300	Dana, Inc. *		319,792
	53,600	Deluxe Corp.		1,250,488
	191,200	Designer Brands, Inc. – Class A (a)		1,172,056
	106,900	DHI Group, Inc. *		285,423
	2,600	Diamond Hill Investment Group, Inc.		272,896
	49,400	DiamondRock Hospitality Co. (REIT)		295,906
	117,400	Dick’s Sporting Goods, Inc. * (a)		4,233,444
	85,800	Digi International, Inc. * (a)		954,954
	66,600	Dime Community Bancshares, Inc.		961,038
	754,877	Discovery, Inc. – Class C * (a)		14,788,040
	4,047	Donegal Group, Inc. – Class A		57,670
	125,500	Donnelley Financial Solutions, Inc. *		1,022,825
	80,200	DSP Group, Inc. *		1,445,204
	26,700	Ducommun, Inc. *		859,740
	1,300	eGain Corp. *		13,533
	219,874	El Paso Electric Co. (d)		14,944,836
	50,131	Eldorado Resorts, Inc. * (a)		1,777,645
	191,700	Ellington Financial, Inc. (a)		1,955,340
	23,700	Emergent BioSolutions, Inc. * (a)		1,978,713
	39,400	Employers Holdings, Inc.		1,177,666
	23,400	Enanta Pharmaceuticals, Inc. * (a)		1,204,866
	62,900	Encore Capital Group, Inc. * (a)		1,998,333
	9,300	Encore Wire Corp.		449,097
	188,800	Endo International Plc *		728,768
	47,200	Ennis, Inc.		840,160
	199,125	Enova International, Inc. *		2,817,619
	14,000	EnPro Industries, Inc.		631,120
	97,000	EOG Resources, Inc. (a) (d)		4,944,090
	11,700	ePlus, Inc. *		862,407
	1,288,200	ESC NII Holdings, Inc. (f)		2,769,630
	7,400	Escalade, Inc.		74,592
	8,300	ESSA Bancorp, Inc. (a)		119,105
	124,500	Essent Group Ltd.		4,114,725
	148,900	Ethan Allen Interiors, Inc.		1,682,570
	6,200	EVERTEC, Inc.		180,544
	40,281	Evofem Biosciences, Inc. * (a)		219,934
	51,300	Evolution Petroleum Corp.		125,172

Shares		Description	Value ($)
		United States — continued
	5,000	Farmers National Banc Corp.		58,750
	900	Federal Agricultural Mortgage Corp. – Class C		57,717
	221,800	Federal Signal Corp.		6,463,252
	136,400	Federated Investors, Inc. – Class B		3,019,896
	27,100	FedNat Holding Co.		330,349
	881,560	FGL Holdings (c)		9,761,840
	24,130	Financial Institutions, Inc.		426,860
	47,300	First American Financial Corp. (a)		2,388,177
	16,126	First Community Bankshares, Inc.		344,613
	77,906	First Defiance Financial Corp.		1,294,019
	7,000	First Financial Corp.		245,700
	7,900	First Financial Northwest, Inc.		77,183
	190,400	Flagstar Bancorp, Inc.		5,578,720
	3,835	Flushing Financial Corp. (a)		43,489
	13,100	FONAR Corp. *		313,090
	74,000	FormFactor, Inc. *		1,862,580
	3,300	Fresh Del Monte Produce, Inc.		82,137
	93,000	Fulton Financial Corp. (a)		1,042,530
	13,900	FutureFuel Corp.		181,812
	7,000	Genesco, Inc. *		129,430
	62,400	Genie Energy Ltd. – Class B		537,264
	11,100	Gentherm, Inc. *		451,770
	1,943,495	Genworth Financial, Inc. – Class A *		5,927,660
	124,700	GEO Group, Inc. (REIT)		1,493,906
	19,000	Gibraltar Industries, Inc.* (a)		836,190
	185,300	Glu Mobile, Inc. *		1,849,294
	31,100	Gorman-Rupp Co. (The)		953,526
	8,800	Great Southern Bancorp, Inc.		356,928
	12,000	Green Brick Partners, Inc. *		128,400
	80,600	Greif, Inc. – Class A		2,738,788
	132,000	Griffon Corp. (a)		2,217,600
	11,000	Gritstone Oncology, Inc. * (a)		71,060
	100,600	Group 1 Automotive, Inc. * (a)		6,331,764
	79,200	H&R Block, Inc. (a)		1,346,400
	47,900	Hasbro, Inc. (a)		3,521,129
	101,300	Haverty Furniture Cos, Inc.		1,752,490
	4,700	Hawkins, Inc.		201,630
	24,900	HealthStream, Inc. *		567,222
	24,600	Heidrick & Struggles International, Inc.		545,628
	206,836	Herman Miller, Inc. * (d)		4,761,365
	5,600	Hibbett Sports, Inc. *		108,192
	8,000	Hill-Rom Holdings, Inc.		813,360
	102,975	Hilltop Holdings, Inc. (a)		1,924,603
	31,900	Hilton Worldwide Holdings, Inc. * (a)		2,529,989
	8,200	HMS Holdings Corp.*		256,168
	44,800	HNI Corp.		1,141,056
	18,800	Home Depot, Inc. (The) (a) (d)		4,671,424
	23,200	Honeywell International, Inc.		3,383,720
	2,300	Horace Mann Educators Corp.		83,996
	5,700	Hurco Cos, Inc.		178,182
	13,900	Huron Consulting Group, Inc. *		643,014

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	37,700	Hyster-Yale Materials Handling, Inc. (a)		1,380,197
	439,100	IBERIABANK Corp. (d)		18,622,231
	27,100	IDT Corp. – Class B *		171,814
	24,500	Illinois Tool Works, Inc. (a)		4,225,270
	1,200	Independence Holding Co.		34,860
	29,263	Independent Bank Corp.		404,415
	52,600	Information Services Group, Inc. *		90,472
	32,762	Ingles Markets, Inc. – Class A		1,395,989
	80,700	Innospec, Inc.		6,221,163
	26,300	Inogen, Inc. *		999,400
	135,200	Insight Enterprises, Inc. * (a)		6,930,352
	33,000	Integer Holdings Corp. *		2,612,940
	57,900	Inter Parfums, Inc. *		2,687,139
	42,300	Intercontinental Exchange, Inc.		4,113,675
	51,600	Interface, Inc. (a)		438,084
	67,675	International Bancshares Corp.(a) (d)		2,083,036
	51,357	INTL. FCStone, Inc. * (d)		2,619,721
	342,900	Investors Bancorp, Inc.		2,976,372
	5,900	John B. Sanfilippo & Son, Inc.		512,946
	27,300	Johnson Outdoors, Inc. – Class A (a) (d)		2,118,753
	38,000	Kelly Services, Inc. – Class A		569,620
	10,800	Kforce, Inc.		326,160
	38,500	Kimball Electronics, Inc. *		546,315
	95,700	Kimball International, Inc. – Class B		1,070,883
	68,300	Knoll, Inc.		721,248
	46,200	Koppers Holdings, Inc. *		765,534
	21,100	Kronos Worldwide, Inc.		205,936
	76,600	La-Z-Boy, Inc. (a)		1,970,152
	890,700	Laredo Petroleum, Inc. * (a)		755,759
	50,000	Las Vegas Sands Corp. *		2,397,000
	5,400	LB Foster Co. – Class A *		65,988
	12,800	LCNB Corp.		190,336
	17,600	Leaf Group Ltd. *		48,048
	87,084	Liberty Broadband Corp.– Class C *		11,897,416
	233,900	Liberty Global Plc – Class A *		4,968,036
	599,200	Liberty Media Corp.-Liberty SiriusXM – Class C * (d)		21,852,824
	289,400	Liberty TripAdvisor Holdings, Inc. – Class A *		687,325
	45,500	Luminex Corp.		1,417,780
	142,800	Lyft, Inc. – Class A *		4,463,928
	23,355	Macatawa Bank Corp.		172,593
	65,430	Macquarie Infrastructure Corp.		1,857,558
	9,400	Malibu Boats, Inc. – Class A*		443,022
	9,200	ManTech International Corp. – Class A		715,208
	52,600	Marchex, Inc. – Class B *		81,530
	3,904	Markel Corp.*		3,503,528
	5,700	Marlin Business Services Corp. (a)		42,693
	12,400	Marten Transport Ltd.		317,316
	76,800	Materion Corp. (d)		4,032,000
	52,100	Matrix Service Co. *		574,142
	116,500	MDC Holdings, Inc. (a)		3,959,835

Shares		Description	Value ($)
		United States — continued
	4,800	Mercantile Bank Corp.		110,112
	59,800	Meridian Bioscience, Inc. *		924,508
	157,600	Meritor, Inc. * (a)		3,211,888
	24,000	Methode Electronics, Inc.		752,400
	202,600	MFA Financial, Inc. (REIT)		342,394
	7,900	MicroStrategy, Inc. – Class A *		983,392
	8,300	Miller Industries, Inc.		245,929
	91,200	Modine Manufacturing Co. * (a)		487,920
	97,000	Moog, Inc. – Class A * (d)		5,266,130
	51,600	Movado Group, Inc. *		541,800
	42,200	Mueller Industries, Inc. (a)		1,130,116
	58,800	National General Holdings Corp.		1,193,640
	3,000	National HealthCare Corp.		201,210
	10,000	National Instruments Corp. (a)		387,200
	5,700	National Presto Industries, Inc.		512,943
	31,400	Natus Medical, Inc. *		671,960
	134,900	Navient Corp.		1,003,656
	15,300	Neenah, Inc.		773,568
	48,000	NETGEAR, Inc. *		1,235,040
	12,500	NetScout Systems, Inc. *		343,375
	659,300	Newmark Group, Inc. – Class A		2,802,025
	27,600	NextGen Healthcare, Inc. *		284,832
	840	NexTier Oilfield Solutions, Inc. *		2,436
	4,737	Northrim BanCorp, Inc.		109,283
	153,540	Northwest Bancshares, Inc. (a)		1,529,258
	9,500	Nu Skin Enterprises, Inc. – Class A		353,210
	11,700	O’Reilly Automotive, Inc. * (a)		4,881,708
	1,055,400	Office Depot, Inc. (a)		2,606,838
	167,700	OFG Bancorp		2,037,555
	657	Oil-Dri Corp. of America (a)		23,278
	16,800	Olympic Steel, Inc. (a)		185,304
	7,500	OneSpan, Inc. *		152,400
	9,695	Onto Innovation, Inc.* (a)		301,321
	14,600	Ooma, Inc. *		183,084
	43,542	Oppenheimer Holdings, Inc. – Class A		922,220
	57,800	OraSure Technologies, Inc. *		840,412
	149,800	Owens & Minor, Inc.		1,187,914
	19,800	Pacira BioSciences, Inc. * (a)		870,210
	1,100	Park National Corp.		82,357
	12,100	Park-Ohio Holdings Corp.		176,539
	121,400	Patterson Cos., Inc.		2,390,366
	58,100	PC Connection, Inc. (a) (d)		2,514,568
	347,500	PDL BioPharma, Inc. * (a)		1,136,325
	48,600	Penn Virginia Corp. * (a)		426,708
	1,650	Penns Woods Bancorp, Inc.		35,409
	207,300	PennyMac Financial Services, Inc. (a)		6,961,134
	409,500	PennyMac Mortgage Investment Trust (REIT) (a)		4,508,595
	5,100	Peoples Bancorp, Inc.		114,597
	95,600	Perdoceo Education Corp. * (a)		1,556,368
	165,751	PG&E Corp. *		1,965,807
	15,800	Phibro Animal Health Corp. – Class A		413,960

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	72,600	Photronics, Inc. *		870,474
	6,800	Plexus Corp. *		436,696
	167,400	PolyOne Corp.		4,148,172
	47,600	Popular, Inc.		1,879,724
	1,900	Preformed Line Products Co.		94,297
	12,500	Premier Financial Bancorp, Inc.		165,750
	142,200	Prestige Consumer Healthcare, Inc. * (a)		6,000,840
	6,700	Principia Biopharma, Inc. *		428,063
	86,100	Progress Software Corp.		3,478,440
	15,700	Protective Insurance Corp. – Class B (a)		216,974
	1,700	Providence Service Corp. (The) *		136,850
	27,300	Quanex Building Products Corp.		338,520
	126,900	Qurate Retail, Inc. – Series A*		1,045,021
	356,900	Radian Group, Inc.		5,667,572
	5,500	Rambus, Inc. *		85,470
	65,733	Raytheon Technologies Corp.		4,241,093
	186,900	Realogy Holdings Corp.		1,132,614
	3,400	Regional Management Corp. *		53,924
	23,100	Reliance Steel & Aluminum Co.		2,240,700
	18,300	Renewable Energy Group, Inc. *		520,635
	36,500	Rent-A-Center, Inc.		929,290
	9,433	Republic Bancorp, Inc. – Class A		302,328
	30,800	Resideo Technologies, Inc. *		217,448
	43,000	Resources Connection, Inc.		472,570
	79,500	Retail Properties of America, Inc. – Class A (REIT)		430,890
	15,400	Riverview Bancorp, Inc.		77,000
	18,700	Rocky Brands, Inc.		387,838
	87,400	RTI Surgical Holdings, Inc. * (a)		237,728
	8,900	Ryerson Holding Corp. *		44,411
	142,400	Sally Beauty Holdings, Inc. *		1,856,896
	171,700	SandRidge Energy, Inc. *		271,286
	298,600	Sanmina Corp. * (d)		7,945,746
	7,200	ScanSource, Inc. *		177,480
	5,300	Scholar Rock Holding Corp. *		97,520
	37,400	Scholastic Corp.		1,099,560
	149,400	Schweitzer-Mauduit International, Inc. (a)		4,540,266
	36,100	Sciplay Corp. – Class A *		506,122
	26,200	SeaSpine Holdings Corp. *		279,030
	65,200	Select Medical Holdings Corp. *		1,052,328
	15,776	Seneca Foods Corp. – Class A * (a)		575,351
	120,900	Sensata Technologies Holding Plc * (a)		4,310,085
	69,200	Shoe Carnival, Inc. (a)		1,798,508
	33,000	Sierra Bancorp		621,720
	97,700	Signet Jewelers Ltd.		1,030,735
	40,700	Skyworks Solutions, Inc. (d)		4,824,578
	137,500	Sonic Automotive, Inc. – Class A (a)		3,613,500
	115,500	Southwestern Energy Co. *		347,655
	41,200	SpartanNash Co.		882,092
	105,600	Spok Holdings, Inc.		1,084,512
	81,100	SPX Corp. *		3,242,378
	20,000	Standard Motor Products, Inc.		851,000

Shares		Description	Value ($)
		United States — continued
	17,400	Star Group LP		137,460
	163,500	Steelcase, Inc. – Class A		1,893,330
	30,500	Stepan Co.		2,963,380
	105,300	Stoneridge, Inc. *		2,167,074
	482,100	Summit Hotel Properties, Inc. (REIT)		3,013,125
	353,300	Sunstone Hotel Investors, Inc. (REIT)		3,126,705
	10,900	Surgery Partners, Inc. *		146,114
	2,800	Surmodics, Inc. *		103,544
	92,600	Sykes Enterprises, Inc. *		2,524,276
	1,507,100	Syncora Holdings Ltd.		493,575
	33,900	Systemax, Inc. (a)		711,561
	133,181	Taubman Centers, Inc. (REIT) (a) (d)		5,505,703
	36,580	Taylor Morrison Home Corp. *		707,091
	105,357	Tech Data Corp. * (d)		14,353,838
	621,100	TEGNA, Inc.		7,279,292
	158,900	Telephone & Data Systems, Inc.		3,255,861
	25,300	Tempur Sealy International, Inc. *		1,650,319
	11,000	Tennant Co.		703,340
	85,000	Terex Corp.		1,336,200
	11,600	Territorial Bancorp, Inc.		294,988
	311,576	Texas Capital Bancshares, Inc. * (a)		8,337,774
	1,888,723	The Oneida Group(c)		1,945,385
	31,000	Third Point Reinsurance Ltd. *		228,780
	101,925	Tiffany & Co. (d)		13,059,650
	3,300	Timberland Bancorp, Inc.		59,301
	18,600	Timken Co. (The) (d)		791,244
	19,800	Translate Bio, Inc. * (a)		410,256
	80,500	Tredegar Corp.		1,232,455
	162,800	TRI Pointe Group, Inc. * (a)		2,331,296
	83,800	Tribune Publishing Co.		796,100
	44,600	TriCo Bancshares		1,265,302
	13,200	TriMas Corp. *		312,180
	17,700	Triple-S Management Corp. – Class B *		352,230
	446,524	TRU TAJ (c)		2,158,050
	5,869	TRU TAJ Liquidation Unit Trust(f)		352,140
	48,300	TrueBlue, Inc. *		746,718
	125,800	UFP Industries, Inc. (d)		5,752,834
	54,700	Unisys Corp. *		621,392
	90,900	United Natural Foods, Inc. * (a)		1,781,640
	5,421	United Security Bancshares		33,231
	20,300	United States Cellular Corp. * (a)		639,653
	8,100	Unitil Corp.		390,177
	122,900	Universal Corp. (a) (d)		5,414,974
	17,500	Universal Electronics, Inc. *		791,700
	30,400	Universal Insurance Holdings, Inc.		542,944
	105,100	US Bancorp		3,737,356
	4,000	USANA Health Sciences, Inc. *		338,880
	58,900	Valvoline, Inc. (a)		1,080,815
	66,700	Vanda Pharmaceuticals, Inc. *		781,724
	41,000	Varex Imaging Corp. *		769,160
	67,857	Vectrus, Inc. *		3,726,706
	140,300	Vera Bradley, Inc. *		736,575

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	32,700	Veritiv Corp. *		407,442
	91,646	Verso Corp. – Class A *		1,317,869
	68,900	VF Corp. (a)		3,865,290
	12,700	Village Super Market, Inc. – Class A		303,911
	14,300	Vishay Precision Group, Inc. *		337,766
	24,900	Vista Outdoor, Inc. *		241,779
	185,500	Waddell & Reed Financial, Inc. – Class A (a)		2,418,920
	63,343	Walgreens Boots Alliance, Inc.(a) (e)		2,719,948
	83,100	Walker & Dunlop, Inc.		3,365,550
	61,425	Waterstone Financial, Inc.		915,232
	13,900	Weis Markets, Inc.		774,647
	5,770	West Bancorporation, Inc.		101,783
	107,060	Westmoreland Mining Holdings LLC (c)		678,011
	34,100	Westwood Holdings Group, Inc.		604,593
	9,094	Weyco Group, Inc.		169,785
	117,123	Willis Towers Watson Plc		23,764,257
	11,100	Wolverine World Wide, Inc.		232,434
	257,500	World Fuel Services Corp. (d)		6,561,100
	47,100	Worthington Industries, Inc.		1,409,232
	566,467	Wright Medical Group NV* (a)		16,739,100
	47,900	WW International, Inc. * (a)		1,144,810
	474,200	Xenia Hotels & Resorts, Inc. (REIT) *		4,267,800
	113,400	Xperi Corp.		1,559,250
	79,100	Zumiez, Inc. *		1,927,667
		Total United States		758,420,850
		Vietnam — 0.0%
	621,320	Kinh Bac City Development Share Holding Corp		376,385
	76,480	PetroVietnam Gas JSC		246,198
	795,500	PetroVietnam Technical Services Corp		433,218
	57,220	Pha Lai Thermal Power JSC		59,385
	201,650	Vinh Hoan Corp		292,390
		Total Vietnam		1,407,576
		TOTAL COMMON STOCKS (COST $5,498,915,750)		4,935,594,473
		PREFERRED STOCKS (g) — 1.7%
		Brazil — 0.4%
	929,700	Banco do Estado do Rio Grande do Sul SA – Class B		2,184,742
	190,700	Bradespar SA		1,259,707
	713,700	Cia Paranaense de Energia – Class B		8,466,018
	326,600	Petroleo Brasileiro SA		1,244,878
	913,500	Telefonica Brasil SA		8,069,709
		Total Brazil		21,225,054
		Colombia — 0.0%
	24,432	Banco Davivienda SA		160,478
	1,297,365	Grupo Aval Acciones y Valores SA		292,516
		Total Colombia		452,994

Shares		Description	Value ($)
		Germany — 0.1%
	6,842	Draegerwerk AG & Co KGaA		543,442
	70,874	Henkel AG & Co KGaA		6,338,568
	96,859	Schaeffler AG		746,028
	5,489	Villeroy & Boch AG		72,647
		Total Germany		7,700,685
		Russia — 0.4%
	131,467	Bashneft PJSC		2,669,270
	100,000	Nizhnekamskneftekhim PJSC		119,479
	44,377,000	Surgutneftegas PJSC		22,384,558
	544	Transneft PJSC		998,406
		Total Russia		26,171,713
		South Korea — 0.8%
	12,112	Hyundai Motor Co Ltd Prf		552,902
	13,549	Hyundai Motor Co Ltd-2nd Prf		661,276
	54,433	LG Electronics Inc		947,637
	1,197,107	Samsung Electronics Co Ltd		41,678,789
	5,155	Samsung Electronics Co Ltd GDR (Registered)		4,486,353
		Total South Korea		48,326,957
		Taiwan — 0.0%
	231,277	CTBC Financial Holding Co Ltd		508,245
		TOTAL PREFERRED STOCKS (COST $116,799,525)		104,385,648
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	184,475	Asian Pay Television Trust, Expires 06/18/20 *		—
		United States — 0.0%
	295,400	Bristol-Myers Squibb Co., Expires 03/31/21 *		971,866
	222,285	Contra Clementia Pharma CVR * (f)		300,085
	2,616,810	Media General, Inc. CVR * (f)		130,841
		Total United States		1,402,792
		TOTAL RIGHTS/WARRANTS (COST $929,287)		1,402,792
		INVESTMENT FUNDS — 1.0%
		United States — 1.0%
	1,233,918	Altaba, Inc. (f)		26,837,717
	788,886	iShares Core MSCI Emerging Markets ETF		35,531,425
		Total United States		62,369,142
		TOTAL INVESTMENT FUNDS (COST $60,610,588)		62,369,142

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 16.1%
		Brazil — 0.1%
		Corporate Debt — 0.1%
	6,930,000	Oi SA, 10.00%, due 07/27/25		5,297,119
		Israel — 0.1%
		Corporate Debt — 0.1%
	570,000	Teva Pharmaceutical Finance Co BV, 3.65%, due 11/10/21		563,231
	5,996,000	Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36		5,921,050
		Total Israel		6,484,281
		Italy — 0.0%
		Corporate Debt — 0.0%
	1,440,000	Intesa Sanpaolo SPA, 144A, 4.70%, due 09/23/49		1,449,638
		Jamaica — 0.0%
		Corporate Debt — 0.0%
	1,037,000	Digicel Ltd., 144A, 8.25%, due 12/30/22		668,865
	4,622,000	Digicel Ltd., Reg S, 6.75%, due 03/01/23		2,126,120
		Total Jamaica		2,794,985
		Luxembourg — 0.1%
		Bank Loans — 0.1%
	6,486,202	SkillSoft Corp., 1st Lien Term Loan, Variable Rate, 3 mo. LIBOR plus 4.75%, 5.75%, due 04/28/21 (f)		3,826,859
		Netherlands — 0.1%
		Corporate Debt — 0.1%
EUR	11,858,000	Hema Bondco I BV, Reg S, Variable Rate, 6.25%, due 07/15/22		6,049,257
		Puerto Rico — 0.2%
		Municipal Obligations — 0.2%
	1,500,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.05%, due 07/01/28		1,215,000
	3,320,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.10%, due 07/01/34		2,622,800
	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		6,146,200
	1,518,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, Class B, 6.05%, due 07/01/28		1,229,580
		Total Puerto Rico		11,744,974

Par Value†		Description	Value ($)
		Saint Lucia — 0.1%
		Bank Loans — 0.1%
	5,524,375	Digicel International Finance Ltd, 2017 Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.25%, 3.80%, due 05/28/24(f)		4,585,231
		Corporate Debt — 0.0%
	1,954,000	Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, Reg S, 8.75%, due 05/25/24		1,845,309
	2,530,000	Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, 144A, 8.75%, due 05/25/24		2,389,269
		Total Corporate Debt		4,234,578
		Total Saint Lucia		8,819,809
		United Kingdom — 0.2%
		Bank Loans — 0.1%
	5,564,900	Delta 2 (LUX) S.a.r.l., 2018 USD Term Loan, Variable Rate, 3 mo. LIBOR plus 2.50%, 3.50%, due 02/01/24(f)		5,221,713
		Corporate Debt — 0.1%
GBP	2,000,000	Ardonagh Midco 3 Plc, 8.38%, due 07/15/23		2,340,806
	2,288,000	Ardonagh Midco 3 Plc, 144A, 8.63%, due 07/15/23		2,294,406
	430,000	Ardonagh Midco 3 Plc, 144A, 8.63%, due 07/15/23		425,700
		Total Corporate Debt		5,060,912
		Total United Kingdom		10,282,625
		United States — 15.2%
		Asset-Backed Securities — 0.7%
	6,425,000	Americold 2010 LLC, Series 10-ARTA, Class A2FX, 144A, 4.95%, due 01/14/29		6,453,158
	2,250,000	Americold 2010 LLC, Series 10-ARTA, Class D, 144A, 7.44%, due 01/14/29		2,266,526
	2,250,000	Americold LLC, Series 10-ARTA, Class C, 144A, 6.81%, due 01/14/29		2,264,869
	258,639	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.97%, due 07/24/29		258,891
	327,580	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.82%, due 04/15/31		327,503
	149,000	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.74%, due 04/20/31		148,997
	157,001	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.99%, due 11/17/27		156,987
	444,222	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.74%, due 07/26/31		444,187

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	5,000,000	Aventura Mall Trust, Series 13-AVM, Class A, 144A, Variable Rate, 3.74%, due 12/05/32		5,000,103
	385,472	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.09%, due 04/25/26		386,365
	313,076	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.29%, due 07/20/25		313,272
	238,400	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.82%, due 04/15/30		238,399
	1,410,383	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.17%, due 10/25/37		1,396,832
	461,929	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 1.02%, due 04/25/36		461,577
	8,058,000	Bear Stearns Commercial Mortgage Securities Trust, Series 06-T22, Class F, 144A, Variable Rate, 5.78%, due 04/12/38		8,106,588
	641,764	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 1.92%, due 07/15/31		641,760
	226,328	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.70%, due 04/22/30		226,315
	7,063,382	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		7
	251,438	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.74%, due 04/20/31		251,037
	105,275	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.33%, due 01/16/26		104,958
	575,736	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.99%, due 05/16/31		571,959
	198,037	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 1.64%, due 01/27/31		197,696
	1,350,514	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 1.30%, due 07/25/29		1,328,051

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	212,325	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 1.84%, due 04/20/31		212,004
	622,350	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.74%, due 04/20/31		618,951
	361,827	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.09%, due 07/20/30		360,901
	138,220	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.43%, 0.92%, due 04/25/31		137,845
	1,819,867	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.76%, due 06/25/37		1,769,397
	581,000	Madison Avenue Trust, Series 13-650M, Class D, 144A, Variable Rate, 4.03%, due 10/12/32		580,984
	1,096,640	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.74%, due 04/19/30		1,091,220
	400,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class B, 144A, Variable Rate, 3.45%, due 07/13/29		407,220
	550,000	Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33		562,296
	509,238	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 1.83%, due 01/16/31		506,861
	416,797	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 1.56%, due 05/15/26		414,607
	1,112,533	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.88%, due 04/17/28		1,112,336
	946,310	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.88%, due 01/17/30		939,017
	954,230	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.42%, due 05/25/47		947,311
	335,175	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		334,162
		Total Asset-Backed Securities		41,541,149

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Bank Loans — 0.9%
	4,809,054	BI-LO Holding LLC, Exit Term Loan B, Variable Rate, 3 mo. LIBOR plus 8.00%, 9.00%, due 05/31/24 (f)		4,688,828
	4,749,900	Clear Channel Outdoor Holdings, Inc., Term Loan B, Variable Rate, 1 mo. LIBOR plus 3.50%, 4.30%, due 08/21/26 (f)		4,417,407
	655,840	Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 3.75%, due 10/10/25 (f)		429,575
	8,199,575	Flexential Intermediate Corp., 2017 1st Lien Term Loan, Variable Rate, 3 mo. LIBOR plus 3.50%, 4.95%, due 08/01/24 (f)		6,600,658
	3,854,567	Murray Energy Corp., DIP Term Loan, Variable Rate, 3 mo. LIBOR plus 11.00%, 13.00%, due 07/31/20 (f)		2,312,741
	7,435,313	Murray Energy Corp., 2018 Term Loan B2, Zero Coupon, due 10/17/22 (f)		37,177
	4,159,416	Owens & Minor Distribution, Inc., Term Loan B, Variable Rate, 3 mo. LIBOR plus 4.50%, 4.87%, due 04/30/25 (f)		3,681,083
	1,399,065	Pacific Gas & Electric Co., Revolver, Variable Rate, 12.58%, due 04/27/22 (f)		1,437,539
	6,777,270	Quorum Health Corp., Term Loan B, Variable Rate, 3 mo. LIBOR plus 6.75%, 7.75%, due 04/29/22 (f)		5,980,940
	12,863,907	SeaWorld Parks & Entertainment, Inc., Term Loan B5, Variable Rate, 3 mo. LIBOR plus 3.00%, 3.75%, due 03/31/24 (f)		11,770,475
	2,084,655	Surgery Center Holdings, Inc., 2017 Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.25%, 4.25%, due 09/03/24 (f)		1,904,853
	2,780,000	VICI Properties 1 LLC, Replacement Term Loan B1, Variable Rate, 1 mo. LIBOR plus 1.75%, 1.92%, due 12/20/24 (f)		2,652,593
	9,430,951	Westmoreland Coal Co., PIK Term Loan, Variable Rate, 3 mo. LIBOR plus 12.50%, 12.80%, due 03/15/29 (f)		5,658,571
	3,422,687	Windstream Services LLC, Term Loan B7, Variable Rate, 3 mo. LIBOR plus 4.25%, 7.50%, due 02/17/24 (f)		1,882,478
	1,362,593	WP CPP Holdings LLC, 2018 Term Loan, Variable Rate, 3 mo. LIBOR plus 3.75%, 4.75%, due 04/30/25 (f)		1,171,830
		Total Bank Loans		54,626,748

Par Value†		Description	Value ($)
		United States — continued
		Convertible Debt — 0.1%
	1,140,000	Bloomin’ Brands, Inc., 144A, 5.00%, due 05/01/25		1,348,191
	745,300	Live Nation Entertainment, Inc., 144A, 2.00%, due 02/15/25		624,943
	385,000	Prospect Capital Corp., 6.38%, due 03/01/25		326,887
	570,000	Sabre GLBL, Inc., 144A, 4.00%, due 04/15/25		649,353
		Total Convertible Debt		2,949,374
		Corporate Debt — 2.1%
	1,257,000	Ahern Rentals, Inc., 144A, 7.38%, due 05/15/23		546,795
	3,420,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.38%, due 09/15/24		2,855,700
	1,140,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28		891,252
	2,088,200	Ares Capital Corp., 4.25%, due 03/01/25		2,029,342
	1,142,000	Boeing Co. (The), 3.50%, due 03/01/39		961,160
	1,430,000	Boeing Co. (The), 5.71%, due 05/01/40		1,565,214
	572,000	Boeing Co. (The), 3.63%, due 03/01/48		478,916
	1,989,000	Boeing Co. (The), 3.75%, due 02/01/50		1,730,330
	1,140,000	Boeing Co. (The), 5.81%, due 05/01/50		1,290,388
	855,000	Boyd Gaming Corp., 6.00%, due 08/15/26		831,496
	2,280,000	Bruin E&P Partners LLC, 144A, 8.88%, due 08/01/23		22,800
	1,140,000	EnLink Midstream Partners LP, 5.60%, due 04/01/44		688,150
	1,401,000	EPR Properties, 4.50%, due 04/01/25		1,247,560
	1,895,400	EPR Properties, 4.75%, due 12/15/26		1,653,753
	1,140,000	EPR Properties, 4.95%, due 04/15/28		982,994
	2,850,000	EPR Properties, 3.75%, due 08/15/29		2,321,207
	290,000	Ferrellgas LP / Ferrellgas Finance Corp., 144A, 10.00%, due 04/15/25		309,575
	1,740,000	Ford Motor Credit Co. LLC, 5.58%, due 03/18/24		1,730,778
	1,140,000	Ford Motor Credit Co. LLC, 4.13%, due 08/04/25		1,066,139
	2,280,000	Ford Motor Credit Co. LLC, 4.39%, due 01/08/26		2,143,200
	290,000	Ford Motor Credit Co. LLC, 4.27%, due 01/09/27		263,839
	12,280,000	Ford Motor Credit Co. LLC, 5.11%, due 05/03/29		11,467,064
	1,140,000	Frontier Communications Corp., 10.50%, due 09/15/22 (h)		396,150
	1,791,000	Frontier Communications Corp., 7.13%, due 01/15/23 (h)		561,926
	1,894,000	Frontier Communications Corp., 11.00%, due 09/15/25 (h)		667,635
	9,823,000	Frontier Communications Corp., 144A, 8.50%, due 04/01/26		9,409,157

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	5,977,000	FS KKR Capital Corp., 4.13%, due 02/01/25		5,183,398
	5,710,000	FS KKR Capital Corp. II, 144A, 4.25%, due 02/14/25		4,725,639
	1,160,000	Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT plus 3.22%, 4.95%, due 12/31/99		1,113,600
	1,400,000	Gulfport Energy Corp., 6.38%, due 01/15/26		700,000
	4,241,000	iHeartCommunications, Inc., 6.38%, due 05/01/26		4,432,312
	1,316,000	Installed Building Products, Inc., 144A, 5.75%, due 02/01/28		1,335,740
	3,134,100	JPMorgan Chase & Co., Variable Rate, SOFR plus 2.75%, 4.00%, due 12/31/99		2,695,326
	3,380,000	Live Nation Entertainment, Inc., 144A, 4.88%, due 11/01/24		3,227,900
	4,480,000	Live Nation Entertainment, Inc., 144A, 5.63%, due 03/15/26		4,323,200
	5,100,000	Live Nation Entertainment, Inc., 144A, 4.75%, due 10/15/27		4,737,441
	2,850,000	Marriott Ownership Resorts, Inc., 144A, 6.13%, due 09/15/25		2,953,313
	2,850,000	Marriott Ownership Resorts, Inc., 144A, 4.75%, due 01/15/28		2,509,083
	2,860,000	Marriott Ownership Resorts, Inc. / ILG LLC, 6.50%, due 09/15/26		2,838,550
	2,145,000	MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 4.50%, due 09/01/26		2,107,463
	858,000	MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.75%, due 02/01/27		899,956
	14,661,000	Murray Energy Corp., 144A, 11.25%, due 04/15/21 (h)		147
	1,640,000	NGL Energy Partners LP / NGL Energy Finance Corp., 7.50%, due 04/15/26		1,139,800
	1,572,000	Outfront Media Capital LLC / Outfront Media Capital Corp., 144A, 4.63%, due 03/15/30		1,446,240
	1,854,000	Owens & Minor, Inc., 4.38%, due 12/15/24		1,631,520
	2,850,000	Owl Rock Capital Corp., 3.75%, due 07/22/25		2,659,370
	4,200,000	Pacific Gas & Electric Co., 3.50%, due 10/01/20 (h)		4,368,000
	1,700,000	Pacific Gas & Electric Co., 3.25%, due 09/15/21 (h)		1,768,000
	1,318,000	Prospect Capital Corp., 5.88%, due 03/15/23		1,245,219
	550,000	Prospect Capital Corp., 6.38%, due 01/15/24		528,877
	2,533,000	Springleaf Finance Corp., 6.63%, due 01/15/28		2,419,015
	1,862,000	Taylor Morrison Communities, Inc., 144A, 6.00%, due 09/01/23		1,863,154
	2,859,000	Tempur Sealy International, Inc., 5.50%, due 06/15/26		2,866,148

Par Value† / Shares		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	1,710,000	Tenet Healthcare Corp., 4.63%, due 07/15/24		1,731,375
	1,140,000	Uber Technologies, Inc., 144A, 7.50%, due 11/01/23		1,158,525
	3,420,000	Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC, 144A, 7.13%, due 12/15/24		3,090,893
	9,861,000	Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, 6.00%, due 04/15/23		9,639,128
	2,856,000	Viking Cruises Ltd., 144A, 5.88%, due 09/15/27		1,714,657
	1,349,000	VOC Escrow Ltd., 144A, 5.00%, due 02/15/28		1,106,679
	1,450,000	Western Midstream Operating LP, 5.38%, due 06/01/21		1,431,875
	572,000	Wyndham Destinations, Inc., 5.75%, due 04/01/27		514,727
		Total Corporate Debt		134,218,790
		U.S. Government — 11.3%
	25,000,000	U.S. Treasury Note, 1.38%, due 05/31/21 (d)		25,291,016
	41,000,000	U.S. Treasury Note, 1.75%, due 07/31/21 (i)		41,743,125
	10,000,000	U.S. Treasury Note, 1.13%, due 08/31/21		10,115,625
	50,000,000	U.S. Treasury Note, 1.13%, due 09/30/21 (d)		50,621,094
	75,000,000	U.S. Treasury Note, 1.25%, due 10/31/21		76,130,859
	75,000,000	U.S. Treasury Note, 1.50%, due 11/30/21		76,476,562
	84,000,000	U.S. Treasury Note, 1.63%, due 12/31/21 (d)		85,909,688
	78,571,400	U.S. Treasury Note, 1.38%, due 01/31/22 (d)		80,133,620
	29,000,000	U.S. Treasury Note, 1.13%, due 02/28/22 (d)		29,481,445
	227,000,000	U.S. Treasury Note, 1.75%, due 02/28/22 (d)		233,224,767
		Total U.S. Government		709,127,801
		U.S. Government Agency — 0.1%
	6,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 0.19%, due 10/16/20		6,000,665
		Total United States		948,464,527
		TOTAL DEBT OBLIGATIONS (COST $1,032,475,851)		1,005,214,074
		MUTUAL FUNDS — 0.3%
		United States — 0.3%
		Affiliated Issuers — 0.3%
	4,406,407	GMO U.S. Treasury Fund (j)		22,208,292
		TOTAL MUTUAL FUNDS (COST $22,208,292)		22,208,292

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.2%
		Foreign Government Obligations — 2.2%
JPY	2,400,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/01/20		22,254,327
JPY	2,590,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/15/20		24,017,314
JPY	5,500,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/11/20		51,012,254
JPY	1,700,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/17/20		15,767,615
JPY	2,400,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/31/20		22,260,793
		Total Foreign Government Obligations		135,312,303

Shares / Par Value†		Description	Value ($)
		Money Market Funds — 0.2%
	841,352	SSgA USD Liquidity Fund – Class D Shares, 0.23% (i)		841,352
	8,944,853	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (k)		8,944,853
		Total Money Market Funds		9,786,205
		U.S. Government — 0.8%
	48,700,000	U.S. Cash Management Bill, 0.17%, due 09/08/20 (d) (i) (l)		48,677,902
		TOTAL SHORT-TERM INVESTMENTS (COST $194,321,788)		193,776,410

PURCHASED OPTIONS — 0.0%

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount		Value ($)
Equity Options – Calls — 0.0%
DuPont de Nemours, Inc.	85.00		06/19/20		800	USD		4,040,000	—
Bunge Ltd.	65.00		07/17/20		660	USD		2,565,420	—
CVS Health Corp. (e)	65.00		08/21/20		612	USD		4,012,884	238,680
Charles Schwab Corp. (The) (e)	36.00		09/18/20		1,500	USD		5,386,500	480,000
	Total Equity Options – Calls								718,680
	TOTAL PURCHASED OPTIONS (COST $829,361)								718,680
	TOTAL INVESTMENTS — 101.2% (Cost $6,927,090,442)								6,325,669,511

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (4.8)%
			Common Stocks — (4.7)%
			Austria — (0.1)%
	(23,617	)	ANDRITZ AG *		(884,830	)
	(30,724	)	IMMOFINANZ AG *		(575,664	)
	(7,332	)	Schoeller-Bleckmann Oilfield Equipment AG		(199,603	)
	(3,028	)	Verbund AG		(135,004	)
	(147,840	)	voestalpine AG		(2,887,255	)
			Total Austria		(4,682,356	)
			Brazil — (0.1)%
	(218,800	)	Pagseguro Digital Ltd – Class A*		(6,942,524	)
			Canada — (0.1)%
	(278,600	)	AltaGas Ltd		(2,990,673	)
			Denmark — (0.2)%
	(1,647	)	AP Moller – Maersk A/S – Class A		(1,512,686	)
	(2,135	)	AP Moller – Maersk A/S – Class B		(2,104,946	)

Shares			Description	Value ($)
			Denmark — continued
	(62,297	)	Chr Hansen Holding A/S		(6,049,977	)
	(29,343	)	Jyske Bank A/S (Registered) *		(810,276	)
			Total Denmark		(10,477,885	)
			Finland — (0.1)%
	(544,082	)	Nokia Oyj		(2,163,593	)
	(46,356	)	Nokian Renkaat Oyj		(1,079,801	)
			Total Finland		(3,243,394	)
			France — (0.2)%
	(177,018	)	ArcelorMittal SA		(1,695,388	)
	(21,959	)	CGG SA *		(24,082	)
	(35,917	)	Electricite de France SA		(320,484	)
	(156,513	)	Worldline SA *		(11,751,973	)
			Total France		(13,791,927	)
			Germany — (0.2)%
	(1,179,982	)	Deutsche Bank AG (Registered) *		(9,877,777	)
	(46,121	)	thyssenkrupp AG *		(313,456	)
			Total Germany		(10,191,233	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares			Description	Value ($)
			Hong Kong — (0.0)%
	(20,631	)	Jardine Matheson Holdings Ltd		(829,638	)
			Ireland — (0.4)%
	(198,569	)	Flutter Entertainment Plc *		(25,263,305	)
			Israel — (0.1)%
	(18,200	)	Wix.com Ltd *		(4,046,406	)
			Japan — (0.3)%
	(31,900	)	Coca-Cola Bottlers Japan Holdings Inc		(633,425	)
	(104	)	Daiwa House REIT Investment Corp		(256,473	)
	(4,300	)	Idemitsu Kosan Co Ltd		(95,734	)
	(88,500	)	Japan Lifeline Co Ltd		(1,197,810	)
	(132	)	Japan Retail Fund Investment Corp (REIT)		(174,091	)
	(234,400	)	JGC Holding Corp		(2,527,718	)
	(33,300	)	Keikyu Corp		(558,691	)
	(35,000	)	Kyushu Electric Power Co Inc		(291,716	)
	(7,300	)	Maruichi Steel Tube Ltd		(187,277	)
	(21,300	)	Mitsubishi Materials Corp		(485,915	)
	(218,000	)	Mitsui OSK Lines Ltd		(3,873,839	)
	(21	)	Nippon Building Fund Inc (REIT)		(131,337	)
	(237,200	)	Nippon Yusen KK		(3,429,987	)
	(76	)	Nomura Real Estate Master Fund Inc (REIT)		(93,301	)
	(629,500	)	Orient Corp		(751,510	)
	(72	)	Orix JREIT Inc		(104,066	)
	(8,500	)	Persol Holdings Co Ltd		(112,335	)
	(112,300	)	Yamato Holdings Co Ltd		(2,498,441	)
			Total Japan		(17,403,666	)
			Netherlands — (0.0)%
	(9,708	)	Just Eat Takeaway *		(1,058,308	)
			New Zealand — (0.0)%
	(4,075	)	Fletcher Building Ltd		(8,907	)
			Norway — (0.0)%
	(3,166	)	Aker BP ASA		(51,176	)
			Singapore — (0.0)%
	(241,500	)	Singapore Post Ltd		(132,059	)
			Spain — (0.0)%
	(51,960	)	Cellnex Telecom SA		(2,915,382	)
			Sweden — (0.0)%
	(56,903	)	Lundin Energy AB		(1,388,341	)
	(40,953	)	Telia Co AB		(140,074	)
			Total Sweden		(1,528,415	)
			Switzerland — (0.0)%
	(2,891	)	Dufry AG (Registered)		(86,519	)

Shares / Par Value†			Description	Value ($)
			United Kingdom — (1.1)%
	(126,417	)	Aon Plc – Class A		(24,897,828	)
	(21,279	)	Dechra Pharmaceuticals Plc		(734,007	)
	(12,300	)	Farfetch Ltd – Class A *		(170,478	)
	(993,565	)	G4S Plc *		(1,112,165	)
	(1,585,217	)	Melrose Industries Plc		(2,285,343	)
	(98,641	)	Rolls-Royce Holdings Plc		(336,214	)
	(905,612	)	Royal Dutch Shell Plc Sponsored ADR – Class A		(28,934,303	)
	(164,452	)	Unilever Plc		(8,798,211	)
	(85,020	)	Weir Group Plc (The)		(1,026,248	)
			Total United Kingdom		(68,294,797	)
			United States — (1.8)%
	(57	)	AbbVie, Inc.		(5,282	)
	(557,525	)	Caesars Entertainment Corp. *		(6,350,210	)
	(21,648	)	Charter Communications, Inc. – Class A *		(11,776,512	)
	(122,328	)	CVS Health Corp. (e)		(8,021,047	)
	(27,278	)	Digital Realty Trust, Inc. (REIT)		(3,916,030	)
	(685,241	)	Discovery, Inc. – Class A *		(14,903,992	)
	(74,933	)	Fidelity National Financial, Inc.		(2,390,363	)
	(2,013,025	)	First Horizon National Corp.		(18,821,784	)
	(282,400	)	Ford Motor Co.		(1,612,503	)
	(321,491	)	Independent Bank Group, Inc.		(12,178,079	)
	(237,783	)	Liberty Global Plc – Class C *		(4,905,463	)
	(3,486,709	)	Sirius XM Holdings, Inc.		(20,292,646	)
	(251,717	)	TD Ameritrade Holding Corp.		(9,381,492	)
			Total United States		(114,555,403	)
			TOTAL COMMON STOCKS (PROCEEDS $275,391,277)		(288,493,973	)
			DEBT OBLIGATIONS — (0.1)%
			Corporate Debt — (0.1)%
			United States — (0.1)%
	(4,200,000	)	Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.63%, due 01/15/22		(3,899,490	)
	(5,090,000	)	U.S. Concrete, Inc., 6.38%, due 06/01/24		(5,126,808	)
			Total United States		(9,026,298	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $8,510,077)		(9,026,298	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $283,901,354)		(297,520,271	)
			Other Assets and Liabilities (net) — 3.6%		223,725,942
			TOTAL NET ASSETS — 100.0%		$6,251,875,182

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
06/18/2020	MSCI	AUD	84,424,100	USD	54,285,963		(1,988,079	)
07/14/2020	MSCI	AUD	4,493,222	USD	2,947,341		(47,689	)
07/14/2020	UBS	AUD	33,529,440	USD	21,783,839		(565,751	)
08/06/2020	DB	AUD	7,720,000	USD	5,003,595		(142,231	)
08/06/2020	MSCI	AUD	29,380,050	USD	18,823,064		(760,436	)
08/18/2020	BOA	AUD	84,424,100	USD	54,226,444		(2,046,045	)
08/04/2020	CITI	BRL	4,403,068	USD	803,663		(19,238	)
08/04/2020	GS	BRL	4,703,848	USD	820,000		(59,114	)
08/04/2020	MSCI	BRL	39,725,154	USD	7,083,658		(340,677	)
06/02/2020	GS	CAD	2,391,217	USD	1,693,785		(42,945	)
06/02/2020	MSCI	CAD	1,182,914	USD	842,963		(16,182	)
06/02/2020	SSB	CAD	22,328,624	USD	16,223,158		5,979
06/03/2020	GS	CAD	7,350,859	USD	5,220,000		(118,897	)
06/03/2020	JPM	CAD	95,168,022	USD	66,940,000		(2,180,109	)
06/03/2020	MSCI	CAD	59,956,593	USD	41,220,000		(2,326,205	)
06/03/2020	MSCI	CAD	31,238,329	USD	22,460,000		(228,259	)
08/14/2020	BCLY	CHF	7,119,173	USD	7,350,000		(67,291	)
08/14/2020	JPM	CHF	17,337,839	USD	18,010,000		(53,867	)
08/14/2020	MSCI	CHF	878,792	USD	909,860		(5,732	)
06/03/2020	MSCI	CLP	9,062,188,800	USD	10,783,419		(538,646	)
09/01/2020	JPM	CLP	9,062,188,800	USD	11,100,182		(224,597	)
08/06/2020	MSCI	COP	25,713,100,300	USD	6,510,679		(344,982	)
07/14/2020	JPM	CZK	183,015,697	USD	7,260,000		(291,389	)
07/14/2020	MSCI	CZK	87,314,559	USD	3,514,089		(88,587	)
06/18/2020	JPM	EUR	326,494,600	USD	352,923,913		(9,618,213	)
07/17/2020	BOA	EUR	1,956,451	USD	2,142,426		(31,351	)
07/17/2020	DB	EUR	8,674,007	USD	9,616,401		(21,131	)
07/17/2020	MSCI	EUR	10,798,618	USD	11,784,802		(213,346	)
07/27/2020	DB	EUR	6,380,000	USD	6,934,505		(155,693	)
07/27/2020	JPM	EUR	5,979,000	USD	6,463,347		(181,212	)
08/18/2020	BCLY	EUR	326,494,600	USD	352,793,740		(10,216,107	)
08/18/2020	JPM	EUR	32,869,600	USD	36,054,322		(491,423	)
08/18/2020	MSCI	EUR	23,936,000	USD	26,458,507		(154,502	)
06/18/2020	JPM	GBP	109,656,500	USD	133,840,309		(1,594,030	)
07/17/2020	JPM	GBP	3,943,132	USD	4,918,097		47,401
08/14/2020	JPM	GBP	16,797,300	USD	20,744,336		(6,388	)
08/14/2020	MSCI	GBP	15,570,000	USD	18,968,612		(265,955	)
08/18/2020	BCLY	GBP	109,656,500	USD	133,731,256		(1,736,124	)
06/18/2020	MSCI	HKD	356,692,600	USD	45,999,923		(1,106	)
08/18/2020	CITI	HKD	356,692,600	USD	45,969,392		39,718
07/14/2020	JPM	HUF	3,466,472,338	USD	10,579,165		(503,653	)
08/19/2020	BCLY	IDR	24,326,082,000	USD	1,620,000		(12,857	)
08/19/2020	JPM	IDR	44,327,500,000	USD	2,980,000		4,574
08/31/2020	MSCI	ILS	4,011,720	USD	1,146,173		1,498
06/04/2020	JPM	INR	480,474,238	USD	6,343,476		(13,310	)
07/01/2020	GS	INR	113,643,000	USD	1,500,000		(922	)
06/01/2020	GS	JPY	2,400,000,000	USD	22,176,268		(77,893	)
06/02/2020	CITI	JPY	1,462,143,970	USD	13,282,308		(275,520	)
06/09/2020	JPM	JPY	6,094,905,096	USD	55,360,000		(1,159,137	)
06/09/2020	MSCI	JPY	2,325,606,054	USD	21,300,000		(265,758	)
06/15/2020	BCLY	JPY	2,590,000,000	USD	24,299,431		279,562
06/18/2020	JPM	JPY	21,934,513,400	USD	205,224,345		1,791,994
07/17/2020	JPM	JPY	2,465,654,000	USD	22,935,258		57,026
08/11/2020	DB	JPY	5,500,000,000	USD	51,787,273		734,418
08/17/2020	DB	JPY	1,700,000,000	USD	15,903,858		122,411
08/18/2020	BOA	JPY	21,934,513,400	USD	205,026,111		1,400,374
08/18/2020	JPM	JPY	2,949,205,600	USD	27,398,012		19,508

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
08/31/2020	DB	JPY	2,400,000,000	USD	22,438,840		154,294
07/01/2020	BCLY	KRW	4,268,619,000	USD	3,490,000		27,335
07/14/2020	GS	NZD	2,354,927	USD	1,409,983		(51,541	)
07/14/2020	UBS	NZD	14,150,947	USD	8,608,101		(174,316	)
08/05/2020	JPM	NZD	23,110,000	USD	13,887,097		(453,378	)
08/05/2020	MSCI	NZD	67,040,000	USD	40,701,965		(898,444	)
06/02/2020	MSCI	PHP	92,325,120	USD	1,795,161		(28,725	)
06/02/2020	BCLY	PHP	84,077,340	USD	1,660,000		(951	)
06/02/2020	CITI	PHP	51,670,980	USD	1,030,000		9,238
06/02/2020	JPM	PHP	61,692,070	USD	1,210,000		(8,729	)
06/02/2020	MSCI	PHP	64,229,385	USD	1,268,729		(125	)
09/01/2020	JPM	PHP	82,900,170	USD	1,630,000		(2,442	)
06/15/2020	CITI	PLN	3,965,093	USD	950,000		(38,490	)
06/15/2020	JPM	PLN	24,006,940	USD	5,780,000		(204,882	)
06/15/2020	MSCI	PLN	33,336,833	USD	8,639,668		328,864
06/30/2020	CITI	RON	1,807,102	USD	410,000		(3,160	)
07/17/2020	MSCI	RUB	802,275,050	USD	10,816,318		(495,508	)
06/08/2020	JPM	SEK	240,167,322	USD	23,920,000		(1,569,869	)
08/18/2020	MSCI	SGD	672,733	USD	472,508		(3,805	)
06/15/2020	BCLY	THB	85,206,108	USD	2,670,000		(8,440	)
06/15/2020	MSCI	THB	42,600,745	USD	1,324,403		(14,745	)
07/16/2020	JPM	TRY	8,949,805	USD	1,290,000		(2,718	)
07/14/2020	UBS	USD	1,247,905	AUD	1,884,342		8,133
08/06/2020	JPM	USD	13,449,616	AUD	20,870,000		461,443
08/06/2020	MSCI	USD	16,731,576	AUD	25,560,000		305,640
08/04/2020	CITI	USD	2,370,000	BRL	12,725,715		8,341
08/04/2020	MSCI	USD	5,970,000	BRL	32,091,336		27,632
06/02/2020	GS	USD	5,310,550	CAD	7,392,885		58,870
06/02/2020	MSCI	USD	13,181,954	CAD	18,509,870		261,682
06/03/2020	DB	USD	20,620,000	CAD	28,455,724		47,265
06/03/2020	JPM	USD	113,295,403	CAD	152,506,741		(2,530,439	)
06/03/2020	MSCI	USD	11,220,000	CAD	15,688,005		174,128
08/04/2020	SSB	USD	16,223,320	CAD	22,328,624		(5,787	)
07/14/2020	GS	USD	1,057,686	CHF	1,022,600		6,781
07/14/2020	JPM	USD	4,086,972	CHF	3,941,411		15,808
07/14/2020	MSCI	USD	1,765,241	CHF	1,714,338		19,285
08/14/2020	DB	USD	1,290,000	CHF	1,248,071		10,335
08/14/2020	MSCI	USD	1,780,000	CHF	1,729,010		21,413
06/03/2020	JPM	USD	11,098,823	CLP	9,062,188,800		223,242
09/01/2020	MSCI	USD	1,150,000	CLP	928,855,000		10,766
07/14/2020	GS	USD	2,270,000	CZK	56,126,220		45,817
07/14/2020	JPM	USD	5,560,000	CZK	134,313,587		(18,103	)
06/17/2020	BCLY	USD	30,983,672	EUR	28,340,008		484,639
06/17/2020	JPM	USD	11,503,644	EUR	10,641,176		312,155
06/17/2020	MSCI	USD	51,602,085	EUR	47,449,388		1,084,988
06/17/2020	SSB	USD	11,783,356	EUR	10,740,192		142,389
07/17/2020	BOA	USD	3,400,000	EUR	3,118,931		65,388
07/17/2020	GS	USD	2,178,283	EUR	1,983,009		25,003
07/27/2020	JPM	USD	7,691,803	EUR	6,900,000		(23,721	)
07/17/2020	BCLY	USD	6,033,080	GBP	4,909,084		30,792
07/17/2020	BOA	USD	700,000	GBP	559,947		(8,334	)
07/17/2020	GS	USD	8,764,149	GBP	7,119,785		30,459
07/17/2020	JPM	USD	2,177,801	GBP	1,758,711		(5,379	)
07/17/2020	MSCI	USD	914,124	GBP	744,879		5,977
07/17/2020	MSCI	USD	8,490,487	GBP	6,957,565		103,741
07/17/2020	SSB	USD	6,060,948	GBP	4,912,387		7,004
07/14/2020	CITI	USD	1,180,000	HUF	369,224,006		463

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
08/19/2020	JPM	USD	8,126,389	IDR	123,847,545,400		186,717
06/04/2020	GS	USD	1,810,000	INR	137,324,700		6,838
06/04/2020	JPM	USD	4,500,430	INR	343,149,538		39,518
07/01/2020	JPM	USD	2,754,389	INR	209,416,208		11,443
06/02/2020	JPM	USD	14,060,000	JPY	1,462,143,970		(502,172	)
06/09/2020	CITI	USD	13,287,683	JPY	1,462,143,970		271,038
06/09/2020	DB	USD	2,660,000	JPY	284,439,652		(22,341	)
06/09/2020	JPM	USD	101,568,386	JPY	10,844,893,616		(1,001,761	)
06/09/2020	MSCI	USD	51,700,000	JPY	5,552,897,981		(206,991	)
07/13/2020	GS	USD	6,202,105	JPY	664,071,815		(40,714	)
07/13/2020	SSB	USD	19,397,054	JPY	2,077,316,863		(123,291	)
07/13/2020	UBS	USD	16,636,703	JPY	1,790,716,284		(22,077	)
07/17/2020	DB	USD	997,744	JPY	107,062,000		(4,341	)
07/17/2020	MSCI	USD	4,692,004	JPY	501,652,720		(37,284	)
07/01/2020	BCLY	USD	7,880,000	KRW	9,686,828,000		(22,132	)
07/01/2020	CITI	USD	993,616	KRW	1,229,022,880		3,357
07/01/2020	MSCI	USD	660,000	KRW	809,148,120		(3,626	)
08/21/2020	BOA	USD	1,940,000	MXN	45,563,552		90,905
08/21/2020	CITI	USD	1,940,000	MXN	43,377,595		(6,530	)
08/21/2020	JPM	USD	2,170,000	MXN	51,813,043		139,463
08/21/2020	MSCI	USD	4,316,799	MXN	102,961,260		272,495
06/04/2020	JPM	USD	20,032,539	NOK	187,619,756		(731,443	)
08/11/2020	JPM	USD	22,220,000	NOK	223,831,796		817,694
08/11/2020	MSCI	USD	26,721,075	NOK	273,444,775		1,422,991
08/05/2020	BCLY	USD	874,015	NZD	1,424,000		9,621
08/05/2020	JPM	USD	12,035,806	NZD	19,656,000		161,355

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
08/06/2020	BCLY	USD	1,300,000	PEN	4,459,650		(438	)
08/06/2020	JPM	USD	5,690,000	PEN	19,445,240		(23,568	)
06/02/2020	JPM	USD	5,170,000	PHP	263,472,670		34,912
06/02/2020	MSCI	USD	1,770,000	PHP	90,522,225		18,270
09/01/2020	MSCI	USD	1,258,536	PHP	64,229,385		6,247
06/15/2020	CITI	USD	1,600,000	PLN	6,644,688		56,507
06/15/2020	JPM	USD	1,400,000	PLN	5,962,585		86,460
06/15/2020	MSCI	USD	1,180,000	PLN	4,867,360		33,423
06/30/2020	DB	USD	930,000	RON	4,185,421		26,917
06/30/2020	MSCI	USD	374,523	RON	1,684,417		10,587
06/08/2020	MSCI	USD	48,040,480	SEK	454,828,048		232,145
08/04/2020	BCLY	USD	7,370,000	SEK	71,124,922		182,739
08/04/2020	JPM	USD	26,710,000	SEK	260,775,353		981,673
08/04/2020	MSCI	USD	9,320,945	SEK	91,936,677		441,789
08/18/2020	GS	USD	1,010,000	SGD	1,428,152		1,171
08/18/2020	JPM	USD	6,800,000	SGD	9,594,300		(6,974	)
06/15/2020	CITI	USD	2,190,000	THB	69,654,264		(429	)
06/16/2020	JPM	USD	1,230,000	TRY	8,743,455		46,208
07/16/2020	JPM	USD	7,989,077	TRY	56,280,525		140,132
07/07/2020	JPM	USD	2,160,000	TWD	64,720,080		3,624
07/07/2020	MSCI	USD	5,870,000	TWD	175,659,750		2,392
07/07/2020	MSCI	USD	930,000	TWD	27,288,060		(17,747	)
07/31/2020	DB	USD	4,150,000	ZAR	73,712,521		24,318
07/31/2020	JPM	USD	3,650,000	ZAR	64,251,884		(11,434	)
						$	(34,043,181	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
81	Australian Government Bond 10 Yr.	June 2020			8,042,934			27,639
54	Gilt Long Bond	September 2020			9,165,869			5,960
154	Hang Seng Index	June 2020			22,829,378			(105,271	)
1	Japanese Government Bond 10 Yr. (OSE)	June 2020			1,411,285			(1,268	)
2,369	Mini MSCI Emerging Markets	June 2020			110,502,005			5,345,382
256	MSCI Singapore	June 2020			5,235,404			(63,617	)
135	Silver (i)	July 2020			12,486,825			1,518,037
179	WTI Crude (i)	June 2020			6,352,710			729,394
				$	176,026,410		$	7,456,256

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
19	Canadian Government Bond 10 Yr.	September 2020			2,120,173			7,285
6,694	E-mini Russell 2000 Index	June 2020			466,170,160			(54,778,553	)
2	Euro Bund	June 2020			382,879			535
22,963	Euro STOXX 50	June 2020			781,737,583			(83,984,671	)
3,725	FTSE 100 Index	June 2020			281,087,473			(17,396,035	)
433	FTSE/JSE TOP 40	June 2020			11,606,356			(36,753	)
92	Gold 100 OZ (i)	August 2020			16,115,640			(128,453	)
601	Hang Seng Index	June 2020			89,093,870			47,298
5,908	S&P 500 E-Mini	June 2020			898,606,241			(77,635,824	)
162	SGX Nifty 50	June 2020			3,093,142			(179,753	)
63	Soybean (i)	November 2020			2,683,013			413
1,341	SPI 200	June 2020			128,752,502			(8,949,132	)
3,040	TOPIX Index	June 2020			441,348,170			(31,376,772	)
191	U.S. Treasury Note 10 Yr. (CBT)	September 2020			26,560,938			(57,767	)
				$	3,149,358,140		$	(274,468,182	)

+ 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)

May 31, 2020 (Unaudited)

Reverse Repurchase Agreements

Average balance outstanding	$	(7,449,132	)
Average interest rate (net)		(0.21	) %
Maximum balance outstanding	$	(91,591,373	)

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.

Written Options

Equity Options    

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Puts
Walgreens Boots Alliance, Inc.(e)	55.00		06/19/20		(1,354	)		USD	(5,814,076	)	$	(1,710,102	)
TOTAL WRITTEN OPTIONS (Premiums $293,511)											$	(1,710,102	)

Swap Contracts

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Halliburton Co.	BOA	USD	1,140,000		1.00%		1.18%		N/A		12/20/2024		Quarterly		96,637			9,083			(87,554	)
HCA, Inc.	BCLY	USD	1,140,000		5.00%		1.32%		N/A		12/20/2024		Quarterly		(139,584	)		(183,098	)		(43,514	)
Tenet Healthcare Corp.	JPM	USD	570,000		5.00%		4.12%		N/A		12/20/2024		Quarterly		14,842			(19,655	)		(34,497	)
Tenet Healthcare Corp.	JPM	USD	1,140,000		5.00%		4.12%		N/A		12/20/2024		Quarterly		142,500			(39,310	)		(181,810	)
United Rentals North America, Inc.	CSI	USD	1,140,000		5.00%		1.30%		N/A		12/20/2024		Quarterly		(96,605	)		(184,487	)		(87,882	)
United Rentals North America, Inc.	JPM	USD	1,140,000		5.00%		1.30%		N/A		12/20/2024		Quarterly		(51,323	)		(184,487	)		(133,164	)
														$	(33,533	)	$	(601,954	)	$	(568,421	)

^ 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 May 31, 2020, 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 Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
6 Month AUD BBSW	0.94%	AUD	15,150,000		06/17/2030		Semi-Annually		—			53,638			53,638
6 Month AUD BBSW	0.91%	AUD	15,710,000		06/17/2030		Semi-Annually		—			30,051			30,051
6 Month AUD BBSW	0.90%	AUD	86,770,000		06/17/2030		Semi-Annually		31,127			86,893			55,766
6 Month AUD BBSW	0.90%	AUD	31,490,000		06/17/2030		Semi-Annually		—			41,785			41,785
6 Month AUD BBSW	0.92%	AUD	94,310,000		06/17/2030		Semi-Annually		—			223,382			223,382
6 Month AUD BBSW	0.89%	AUD	34,250,000		06/17/2030		Semi-Annually		32,264			23,150			(9,114	)
0.88%	6 Month AUD BBSW	AUD	45,490,000		06/17/2030		Semi-Annually		—			(2,612	)		(2,612	)
0.89%	6 Month AUD BBSW	AUD	22,710,000		06/17/2030		Semi-Annually		—			(16,828	)		(16,828	)
6 Month AUD BBSW	0.95%	AUD	69,930,000		06/17/2030		Semi-Annually		(3,735	)		293,110			296,845
3 Month CAD LIBOR	1.00%	CAD	105,910,000		06/17/2030		Semi-Annually		14,764			(18,301	)		(33,065	)
3 Month CAD LIBOR	1.10%	CAD	37,040,000		06/17/2030		Semi-Annually		(87,063	)		255,214			342,277
3 Month CAD LIBOR	1.29%	CAD	6,590,000		06/17/2030		Semi-Annually		—			131,515			131,515
3 Month CAD LIBOR	1.07%	CAD	9,050,000		06/17/2030		Semi-Annually		3,131			43,180			40,049
3 Month CAD LIBOR	0.98%	CAD	75,230,000		06/17/2030		Semi-Annually		—			(145,838	)		(145,838	)
1.04%	3 Month CAD LIBOR	CAD	9,600,000		06/17/2030		Semi-Annually		—			(24,785	)		(24,785	)
6 Month CHF LIBOR	(0.34)%	CHF	142,670,000		06/17/2030		Semi-Annually		564,931			104,063			(460,868	)
6 Month CHF LIBOR	(0.40)%	CHF	54,500,000		06/17/2030		Semi-Annually		—			(326,171	)		(326,171	)
0.63%	3 Month NZD Bank Bill Rate	NZD	9,190,000		06/17/2030		Semi-Annually		(3,901	)		48,325			52,226
0.70%	3 Month NZD Bank Bill Rate	NZD	12,080,000		06/17/2030		Semi-Annually		—			9,050			9,050
3 Month SEK STIBOR	0.37%	SEK	393,200,000		06/17/2030		Quarterly		(57,640	)		(39,277	)		18,363
3 Month SEK STIBOR	0.40%	SEK	828,100,000		06/17/2030		Quarterly		118,491			223,124			104,633
3 Month SEK STIBOR	0.35%	SEK	216,400,000		06/17/2030		Quarterly		—			(50,160	)		(50,160	)
(0.15)%	6 Month EURIBOR	EUR	11,640,000		06/19/2030		Semi-Annually		—			28,806			28,806
(0.14)%	6 Month EURIBOR	EUR	52,130,000		06/19/2030		Semi-Annually		—			40,177			40,177
(0.14)%	6 Month EURIBOR	EUR	18,860,000		06/19/2030		Semi-Annually		—			30,604			30,604
(0.13)%	6 Month EURIBOR	EUR	8,780,000		06/19/2030		Semi-Annually		—			(215	)		(215	)
(0.12)%	6 Month EURIBOR	EUR	144,340,000		06/19/2030		Semi-Annually		28,228			(208,494	)		(236,722	)
(0.09)%	6 Month EURIBOR	EUR	12,610,000		06/19/2030		Semi-Annually		—			(58,324	)		(58,324	)
(0.01)%	6 Month EURIBOR	EUR	8,670,000		06/19/2030		Semi-Annually		—			(117,416	)		(117,416	)
(0.01)%	6 Month EURIBOR	EUR	3,280,000		06/19/2030		Semi-Annually		—			(45,724	)		(45,724	)
6 Month GBP LIBOR	0.48%	GBP	7,470,000		06/19/2030		Semi-Annually		—			73,314			73,314
6 Month GBP LIBOR	0.48%	GBP	3,580,000		06/19/2030		Semi-Annually		—			35,577			35,577
0.46%	6 Month GBP LIBOR	GBP	74,170,000		06/19/2030		Semi-Annually		(232,660	)		(563,556	)		(330,896	)
0.50%	6 Month GBP LIBOR	GBP	16,480,000		06/19/2030		Semi-Annually		47,922			(200,296	)		(248,218	)
0.57%	6 Month GBP LIBOR	GBP	13,340,000		06/19/2030		Semi-Annually		—			(268,898	)		(268,898	)
0.56%	6 Month GBP LIBOR	GBP	7,790,000		06/19/2030		Semi-Annually		—			(152,229	)		(152,229	)
3 Month USD LIBOR	0.69%	USD	9,130,000		06/19/2030		Quarterly		—			39,391			39,391
3 Month USD LIBOR	0.65%	USD	4,340,000		06/19/2030		Quarterly		—			1,347			1,347
3 Month USD LIBOR	0.67%	USD	10,200,000		06/19/2030		Quarterly		—			19,805			19,805
3 Month USD LIBOR	0.69%	USD	11,730,000		06/19/2030		Quarterly		—			52,928			52,928
3 Month USD LIBOR	0.66%	USD	7,200,000		06/19/2030		Quarterly		—			11,133			11,133
3 Month USD LIBOR	0.67%	USD	7,210,000		06/19/2030		Quarterly		—			14,356			14,356
3 Month USD LIBOR	0.64%	USD	10,100,000		06/19/2030		Quarterly		—			(6,352	)		(6,352	)
0.68%	3 Month USD LIBOR	USD	29,290,000		06/19/2030		Quarterly		—			(97,413	)		(97,413	)
0.70%	3 Month USD LIBOR	USD	21,640,000		06/19/2030		Quarterly		—			(114,760	)		(114,760	)
0.70%	3 Month USD LIBOR	USD	21,650,000		06/19/2030		Quarterly		—			(113,743	)		(113,743	)
0.65%	3 Month USD LIBOR	USD	28,000,000		06/19/2030		Quarterly		(135,997	)		(11,458	)		124,539
0.70%	3 Month USD LIBOR	USD	84,490,000		06/19/2030		Quarterly		(177,582	)		(452,239	)		(274,657	)
								$	142,280		$	(1,121,171	)	$	(1,263,451	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps

Fund Pays	Fund Receives		Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 9.25%)		Appreciation on Total Return on CSI 500 Index	GS		USD	8,701,747		12/07/2020		Monthly		—		(17,970	)		(17,970	)
Total Return on Equity Basket(m)		1 Month Federal Funds Rate minus 0.40%	MORD		USD	11,259,652		06/18/2022		Monthly		—		(1,204,613	)		(1,204,613	)
Total Return on Equity Basket(m)		1 Month Federal Funds Rate minus 1.00%	MORD		USD	13,588,534		06/18/2022		Monthly		—		473,342			473,342
Total Return on Equity Basket(m)		1 Month Federal Funds Rate minus 1.75%	MORD		USD	9,776,760		06/18/2022		Monthly		—		(444,748	)		(444,748	)
Total Return on Equity Basket(m)		1 Month Federal Funds Rate minus 1.00%	MORD		USD	4,574,456		06/18/2022		Monthly		—		(239,270	)		(239,270	)
Total Return on Equity Basket(m)		1 Month Federal Funds Rate minus 0.90%	MORD		USD	2,596,147		06/18/2022		Monthly		—		(117,108	)		(117,108	)
											$	—	$	(1,550,367	)	$	(1,550,367	)

As of May 31, 2020, 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) Securities are traded on separate exchanges for the same entity.

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

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

(f) Investment valued using significant unobservable inputs.

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

(h) Security is in default.

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

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

(k) The rate disclosed is the 7 day net yield as of May 31, 2020.

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

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

The rates shown on variable rate notes are the current interest rates at May 31, 2020, 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

CMT - Constant Maturity Treasury

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.

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

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

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.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

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

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.

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

SSB - State Street Bank and Trust Company

UBS - UBS Securities LLC

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

QAR - Qatari Rial

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)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	925,014	GMO Emerging Markets Fund, Class VI		26,529,403
	12,843,470	GMO International Equity Fund, Class IV		242,613,141
		TOTAL MUTUAL FUNDS (COST $310,605,204)		269,142,544
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	126,980	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12%(a)		126,980
		TOTAL SHORT-TERM INVESTMENTS (COST $126,980)		126,980
		TOTAL INVESTMENTS — 100.0% (Cost $310,732,184)		269,269,524
		Other Assets and Liabilities (net) — (0.0%)		(46,419	)
		TOTAL NET ASSETS — 100.0%		$269,223,105

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2020.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	8,240,030	GMO Emerging Markets Fund, Class VI		236,324,072
	23,995,984	GMO International Equity Fund, Class IV		453,284,143
		TOTAL MUTUAL FUNDS (COST $816,275,744)		689,608,215
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	257,034	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12%(a)		257,034
		TOTAL SHORT-TERM INVESTMENTS (COST $257,034)		257,034
		TOTAL INVESTMENTS — 100.0% (Cost $816,532,778)		689,865,249
		Other Assets and Liabilities (net) — (0.0%)		(60,206	)
		TOTAL NET ASSETS — 100.0%		$689,805,043

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2020.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 95.9%
		United States — 95.9%
		U.S. Government — 93.2%
	25,000,000	U.S. Treasury Note, 1.38%, due 01/31/21		25,196,289
	25,000,000	U.S. Treasury Note, 1.25%, due 03/31/21 (a)		25,217,774
	25,000,000	U.S. Treasury Note, 1.38%, due 04/30/21		25,267,578
	12,000,000	U.S. Treasury Note, 2.63%, due 05/15/21 (b)		12,276,094
	37,000,000	U.S. Treasury Note, 1.38%, due 05/31/21		37,430,703
	43,000,000	U.S. Treasury Note, 1.63%, due 06/30/21		43,658,437
	15,000,000	U.S. Treasury Note, 1.13%, due 08/31/21		15,173,438
	30,000,000	U.S. Treasury Note, 1.63%, due 12/31/21		30,682,031
	30,000,000	U.S. Treasury Note, 1.50%, due 01/31/22		30,656,250
	5,758,800	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.17%, due 07/31/20		5,759,116
	66,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 0.25%, due 01/31/21 (a) (b)		66,052,090
		Total U.S. Government		317,369,800
		U.S. Government Agency — 2.7%
	9,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 0.19%, due 10/16/20		9,000,997
		Total United States		326,370,797
		TOTAL DEBT OBLIGATIONS (COST $324,684,170)		326,370,797
		SHORT-TERM INVESTMENTS — 3.2%
		Money Market Funds — 3.2%
	1,281,052	SSgA USD Liquidity Fund – Class D Shares, 0.23% (b)		1,281,052
	9,659,909	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (c)		9,659,909
		Total Money Market Funds		10,940,961
		TOTAL SHORT-TERM INVESTMENTS (COST $10,940,961)		10,940,961
		TOTAL INVESTMENTS — 99.1% (Cost $335,625,131)		337,311,758
		Other Assets and Liabilities (net) — 0.9%		3,231,064
		TOTAL NET ASSETS — 100.0%		$340,542,822

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/14/2020	MSCI	AUD	2,903,885		USD	1,904,811		(30,820	)
07/14/2020	UBS	AUD	21,286,021		USD	13,808,477		(380,065	)
06/02/2020	GS	CAD	11,441,555		USD	8,084,565		(225,385	)
06/02/2020	MSCI	CAD	16,556,564		USD	11,791,299		(233,659	)
06/02/2020	SSB	CAD	14,175,231		USD	10,295,407		3,795
06/02/2020	UBS	CAD	12,051,854		USD	8,684,588		(68,620	)
06/17/2020	MSCI	EUR	27,874,491		USD	30,413,186		(538,223	)
07/17/2020	SSB	GBP	2,230,497		USD	2,778,578		23,390
07/14/2020	GS	NZD	1,864,632		USD	1,116,425		(40,810	)
07/14/2020	UBS	NZD	8,636,357		USD	5,252,918		(107,013	)
07/14/2020	UBS	USD	777,593		AUD	1,174,169		5,068
06/02/2020	GS	USD	1,917,460		CAD	2,670,919		22,417
06/02/2020	MSCI	USD	36,359,067		CAD	51,554,285		1,084,580
08/04/2020	SSB	USD	10,299,305		CAD	14,175,231		(3,674	)
07/14/2020	GS	USD	677,607		CHF	655,129		4,344
07/14/2020	JPM	USD	2,334,962		CHF	2,251,800		9,032
07/14/2020	MSCI	USD	1,386,348		CHF	1,346,371		15,146
06/17/2020	BCLY	USD	10,103,601		EUR	9,241,517		158,038
06/17/2020	JPM	USD	21,295,961		EUR	19,528,385		388,058
06/17/2020	MSCI	USD	58,597,090		EUR	53,974,666		1,335,553
06/17/2020	SSB	USD	7,624,681		EUR	6,949,679		92,136
07/17/2020	BCLY	USD	1,406,539		GBP	1,147,186		10,505
07/17/2020	JPM	USD	6,992,018		GBP	5,618,073		(52,378	)
07/17/2020	MSCI	USD	6,014,642		GBP	4,925,981		70,101
07/17/2020	SSB	USD	2,261,351		GBP	1,852,390		26,786
07/13/2020	GS	USD	4,921,367		JPY	526,940,637		(32,306	)
07/13/2020	NABC	USD	4,063,603		JPY	433,835,666		(38,389	)
07/13/2020	SSB	USD	11,140,248		JPY	1,193,058,693		(70,809	)
07/13/2020	UBS	USD	6,776,978		JPY	729,476,935		(8,744	)
							$	1,418,054

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
51	Australian Government Bond 10 Yr.	June 2020		5,064,070		15,681
273	Euro STOXX 50	June 2020		9,293,836		781,206
34	Gilt Long Bond	September 2020		5,771,103		3,753
98	Hang Seng Index	June 2020		14,527,786		(66,677	)
1	Japanese Government Bond 10 Yr. (OSE)	June 2020		1,411,285		(1,268	)
680	Mini MSCI Emerging Markets	June 2020		31,718,600		708,833
162	MSCI Singapore	June 2020		3,313,029		(40,211	)
85	Silver (b)	July 2020		7,862,075		1,026,591
113	WTI Crude (b)	June 2020		4,010,370		519,768
			$	82,972,154	$	2,947,676

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
221	E-mini Russell 2000 Index	June 2020		15,390,440		(1,001,440	)
1	Euro Bund	June 2020		191,439		268
276	FTSE/JSE TOP 40	June 2020		7,398,047		(68,986	)
58	Gold 100 OZ (b)	August 2020		10,159,860		(106,735	)
149	S&P 500 E-Mini	June 2020		22,662,900		(875,810	)
40	Soybean (b)	November 2020		1,703,500		262
53	SPI 200	June 2020		5,088,652		(192,114	)
14	TOPIX Index	June 2020		2,032,525		25,006
121	U.S. Treasury Note 10 Yr. (CBT)	September 2020		16,826,563		(36,834	)
			$	81,453,926	$	(2,256,383	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2020, 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) 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.

(c) The rate disclosed is the 7 day net yield as of May 31, 2020.

The rates shown on variable rate notes are the current interest rates at May 31, 2020, 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.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

NABC - National Australia Bank Limited

SSB - State Street Bank and Trust Company

UBS - UBS Securities LLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NZD - New Zealand Dollar

USD - United States Dollar

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 81.6%
		Israel — 4.8%
	71,000	Wix.com Ltd *		15,785,430
		New Zealand — 4.4%
	1,900,000	Ryman Healthcare Ltd		14,327,004
		United Kingdom — 4.5%
	709,850	Blue Prism Group Plc *		11,410,591
	640,000	Burford Capital Ltd		3,507,051
		Total United Kingdom		14,917,642
		United States — 67.9%
	309,000	Ally Financial, Inc.		5,388,960
	1,550,000	At Home Group, Inc. *		7,347,000
	230,784	Cardlytics, Inc. *		15,714,083
	579,449	Carvana Co. *		53,877,168
	24,500	Credit Acceptance Corp. *		9,060,590
	366,684	Fastly, Inc. – Class A *		15,818,748
	207,920	Interactive Brokers Group, Inc. – Class A		8,805,412
	1,672,163	Redfin Corp. *		50,148,168
	330,348	Wayfair, Inc. – Class A *		56,671,199
		Total United States		222,831,328
		TOTAL COMMON STOCKS (COST $150,917,186)		267,861,404
		SHORT-TERM INVESTMENTS — 16.4%
		Money Market Funds — 2.7%
	294	SSgA USD Liquidity Fund – Class D shares, 0.23% (a)		294
	8,946,093	State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (b)		8,946,093
		Total Money Market Funds		8,946,387
		U.S. Government — 13.7%
	44,999,999	U.S. Treasury Bill, 0.17%, due 11/27/20 (c)		44,962,242
		TOTAL SHORT-TERM INVESTMENTS (COST $53,911,705)		53,908,629
		TOTAL INVESTMENTS — 98.0% (Cost $204,828,891)		321,770,033
		Other Assets and Liabilities (net) — 2.0%		6,592,666
		TOTAL NET ASSETS — 100.0%		$328,362,699

Notes to Schedule of Investments:

* 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 May 31, 2020.

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

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 17.8%
		Australia — 0.2%
	16,348	Accent Group Ltd		14,794
	11,521	Ansell Ltd		270,374
	5,444	Appen Ltd		112,112
	26,425	Asaleo Care Ltd		18,003
	48,596	Australian Pharmaceutical Industries Ltd *		36,463
	12,140	Beach Energy Ltd		13,116
	145	Brickworks Ltd		1,496
	47,822	CSR Ltd *		130,370
	39,622	Fortescue Metals Group Ltd		366,797
	14,488	GDI Property Group (REIT)		10,488
	31,008	Genworth Mortgage Insurance Australia Ltd		43,416
	16,555	JB Hi-Fi Ltd		410,567
	75,436	Mount Gibson Iron Ltd		34,197
	22,260	Sandfire Resources NL		65,175
	3,088	Virtus Health Ltd		6,518
		Total Australia		1,533,886
		Belgium — 0.0%
	3,247	Ageas SA *		110,834
	17,785	AGFA-Gevaert NV *		71,585
	3,591	bpost SA		23,547
	552	Colruyt SA		33,318
	700	Orange Belgium SA		11,349
	629	UCB SA		62,953
		Total Belgium		313,586
		Brazil — 0.2%
	10,700	Banco do Brasil SA		61,838
	142,500	JBS SA		586,685
	25,700	Petrobras Distribuidora SA		104,220
	34,700	Vale SA		344,639
		Total Brazil		1,097,382
		Canada — 0.3%
	2,500	AGF Management Ltd – Class B		6,809
	1,200	Atco Ltd – Class I		33,825
	5,400	B2Gold Corp		29,592
	9,100	Bausch Health Cos Inc *		167,612
	400	BRP Inc Sub Voting *		13,852
	1,900	Canfor Pulp Products Inc *		8,597
	6,000	Cascades Inc		61,532
	14,200	Celestica Inc *		96,740
	4,600	Centerra Gold Inc		46,673
	16,900	CI Financial Corp		200,318
	2,800	Cogeco Communications Inc		209,098
	900	Cogeco Inc		56,398

Shares		Description	Value ($)
		Canada — continued
	1,800	Enerflex Ltd		7,217
	600	Franco-Nevada Corp		84,218
	200	Home Capital Group Inc *		2,758
	13,200	iA Financial Corp Inc		421,545
	5,600	IGM Financial Inc		132,999
	3,700	Labrador Iron Ore Royalty Corp		60,222
	9,400	Martinrea International Inc		61,786
	12,017	Nutrien Ltd		408,578
	2,100	Stantec Inc		63,449
	4,500	Teranga Gold Corp *		35,363
		Total Canada		2,209,181
		China — 0.5%
	42,000	Agile Group Holdings Ltd		43,590
	586,000	Agricultural Bank of China Ltd – Class H		237,817
	379,500	BAIC Motor Corp Ltd – Class H		153,840
	139,000	Bank of China Ltd – Class H		51,094
	364,000	Bank of Communications Co Ltd – Class H		221,781
	144,000	China CITIC Bank Corp Ltd – Class H		62,929
	85,000	China Lesso Group Holdings Ltd		103,339
	28,000	China Lilang Ltd		14,967
	35,000	China Medical System Holdings Ltd		40,137
	206,000	China National Building Material Co Ltd – Class H		233,705
	1,164,000	China Petroleum & Chemical Corp – Class H		543,088
	224,000	China Resources Pharmaceutical Group Ltd		122,470
	73,000	China SCE Group Holdings Ltd		30,389
	34,000	China Shineway Pharmaceutical Group Ltd		21,580
	172,000	Chongqing Rural Commercial Bank Co Ltd – Class H		66,275
	30,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		73,336
	267,600	Guangzhou R&F Properties Co Ltd – Class H		332,521
	7,000	JNBY Design Ltd *		6,047
	2,500	Kingboard Holdings Ltd		6,088
	73,000	Postal Savings Bank of China Co Ltd – Class H		46,756
	24,000	Powerlong Real Estate Holdings Ltd		13,409
	17,000	Red Star Macalline Group Corp Ltd – Class H		10,380
	71,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		113,347
	188,000	Shimao Property Holdings Ltd		788,442
	154,000	Tianneng Power International Ltd		156,059
		Total China		3,493,386

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Denmark — 0.0%
	4,336	Scandinavian Tobacco Group A/S		65,280
		Finland — 0.1%
	13,463	Neste Oyj		548,602
	1,678	Orion Oyj – Class B		89,813
		Total Finland		638,415
		France — 0.6%
	852	Albioma SA		30,354
	5,664	ALD SA		62,675
	7,463	APERAM SA		205,365
	1,945	Arkema SA		170,558
	212	Assystem SA		5,078
	197	Axway Software SA		3,291
	170	Boiron SA		6,221
	84	Caisse Regionale de Credit Agricole Mutuel Nord de France		2,225
	161	Cie des Alpes		3,501
	14,529	Coface SA		83,366
	1,992	Fnac Darty SA *		65,277
	1,780	Gaztransport Et Technigaz SA		133,608
	322	GL Events		4,485
	79	Groupe Crit		4,840
	91	HEXAOM		3,001
	3,884	IPSOS		95,059
	1,187	Kaufman & Broad SA		42,136
	861	Kering SA		451,388
	3,206	L’Oreal SA		940,356
	1,207	LVMH Moet Hennessy Louis Vuitton SE		506,367
	6,238	Metropole Television SA		72,764
	3,784	Quadient		54,891
	5,853	Safran SA		563,988
	3,416	Sanofi		334,135
	2,000	Sanofi ADR		98,220
	9,200	STMicroelectronics NV – NY Shares		228,620
	163	Synergie SA		3,832
		Total France		4,175,601
		Germany — 0.6%
	191	Amadeus Fire AG *		21,513
	36,229	CECONOMY AG *		107,493
	3,104	CropEnergies AG		30,469
	45,902	Deutsche Pfandbriefbank AG		317,518
	20,382	Deutz AG		81,391
	18,997	Dialog Semiconductor Plc *		759,672
	114	Draegerwerk AG & Co KGaA		7,368
	1,370	DWS Group GmbH & Co KGaA		51,627
	2,103	Gerresheimer AG		179,934
	98	Grammer AG		2,146

Shares		Description	Value ($)
		Germany — continued
	1,463	Hamburger Hafen und Logistik AG		23,872
	3,505	Hannover Rueck SE		566,050
	875	Hornbach Holding AG & Co KGaA		63,046
	30,442	Infineon Technologies AG		641,648
	4,386	METRO AG		41,027
	1,600	RHOEN-KLINIKUM AG		32,018
	5,295	Siemens AG (Registered)		583,799
	1,958	Siltronic AG		193,413
	7,558	Software AG *		292,538
	4,351	Takkt AG		42,341
	5,228	TRATON SE *		88,182
	2,136	VERBIO Vereinigte BioEnergie AG		21,283
	4,119	Wacker Neuson SE		56,045
	904	Wuestenrot & Wuerttembergische AG		16,506
		Total Germany		4,220,899
		Hong Kong — 0.2%
	54,000	Cafe de Coral Holdings Ltd		97,458
	260,000	CITIC Telecom International Holdings Ltd		82,700
	130,000	CSI Properties Ltd		3,729
	18,500	Dah Sing Banking Group Ltd		16,451
	24,800	Dah Sing Financial Holdings Ltd		69,410
	70,000	Giordano International Ltd		10,061
	175,000	HKT Trust & HKT Ltd – Class SS		248,955
	78,500	Johnson Electric Holdings Ltd		135,048
	139,000	Pacific Textiles Holdings Ltd		58,347
	12,000	Pico Far East Holdings Ltd		1,551
	20,000	Prosperity REIT		5,658
	19,000	Regal Real Estate Investment Trust		2,762
	68,000	Shun Tak Holdings Ltd *		24,200
	80,000	SJM Holdings Ltd		89,387
	60,000	Sun Hung Kai & Co Ltd		24,114
	4,000	TAI Cheung Holdings Ltd		2,543
	50,700	VTech Holdings Ltd		306,988
	66,000	WH Group Ltd		57,416
	19,000	Wheelock & Co Ltd		128,978
	128,000	Yue Yuen Industrial Holdings Ltd		184,312
		Total Hong Kong		1,550,068
		India — 0.0%
	300	Dr Reddy’s Laboratories Ltd ADR		16,032
	27,460	Indian Oil Corp Ltd		30,416
	20,549	REC Ltd		24,185
		Total India		70,633
		Ireland — 0.1%
	10,295	AIB Group Plc *		11,355
	39,165	Bank of Ireland Group Plc		69,950
	690	CRH Plc		22,219

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Ireland — continued
	3,200	CRH Plc Sponsored ADR		102,912
	2,237	Glanbia Plc		24,479
	71,600	Hibernia REIT Plc		86,824
	36,837	Irish Residential Properties REIT Plc		53,653
	9,692	Origin Enterprises Plc		29,821
	7,694	Permanent TSB Group Holdings Plc *		3,932
	26,636	Ryanair Holdings Plc *		330,461
	9,904	Smurfit Kappa Group Plc		323,422
	6,616	Total Produce Plc		8,362
		Total Ireland		1,067,390
		Italy — 0.5%
	115,968	A2A SPA		161,814
	3,622	ACEA SPA		70,236
	27,359	Anima Holding SpA		115,986
	3,839	Ascopiave SpA		17,388
	11	ASTM SPA *		227
	10,510	Banca Mediolanum SPA		70,264
	29,345	Buzzi Unicem SpA		586,771
	3,639	Cementir Holding NV		24,924
	26,335	Enav SPA		119,957
	5,648	Enel SPA		43,669
	23,629	EXOR NV		1,274,744
	146,778	Hera SPA		562,134
	124,830	Iren SPA		311,739
	24,339	Italgas SpA		132,536
	1,690	La Doria SPA		19,737
	15,287	Mediobanca Banca di Credito Finanziario SPA		100,563
	7,296	Nexi SPA *		120,530
	33,197	Piaggio & C SpA		80,195
	474	Recordati SPA		21,586
	348	Sesa SpA		19,796
		Total Italy		3,854,796
		Japan — 2.1%
	1,700	77 Bank Ltd (The)		24,310
	2,000	ADEKA Corp		27,884
	1,400	Aichi Corp		9,756
	13,500	Amada Co Ltd		120,637
	600	Arata Corp		25,399
	900	Arcland Sakamoto Co Ltd		9,957
	41,000	Astellas Pharma Inc		732,585
	1,500	Bandai Namco Holdings Inc		83,395
	800	Bando Chemical Industries Ltd		4,672
	27,100	Brother Industries Ltd		512,837
	2,900	Canon Marketing Japan Inc		59,144
	12,100	Casio Computer Co Ltd		213,695
	9,900	Chiba Bank Ltd (The)		47,258
	400	Chiyoda Integre Co Ltd		6,552

Shares		Description	Value ($)
		Japan — continued
	800	Chugai Pharmaceutical Co Ltd		118,218
	700	Cleanup Corp		3,393
	5,500	Dai Nippon Printing Co Ltd		125,381
	1,300	Dai Nippon Toryo Co Ltd		11,927
	400	Dai-Dan Co Ltd		10,742
	19,800	Daicel Corp		168,044
	400	Daiichi Jitsugyo Co Ltd		14,060
	400	Dainichiseika Color & Chemicals Manufacturing Co Ltd		9,297
	1,200	Daiwa Industries Ltd		10,922
	4,600	Daiwabo Holdings Co Ltd		309,433
	3,500	DTS Corp		74,562
	1,000	ESPEC Corp		16,400
	700	Ezaki Glico Co Ltd		33,970
	3,300	FANUC Corp		589,705
	10,400	Fuji Electric Co Ltd		277,834
	2,700	Fuji Media Holdings Inc		27,134
	3,400	Fujitec Co Ltd		50,978
	8,600	Fujitsu General Ltd		168,272
	1,600	Fujitsu Ltd		164,877
	200	Fukuda Corp		9,099
	4,600	Geo Holdings Corp		57,577
	3,600	Glory Ltd		85,594
	3,400	GungHo Online Entertainment Inc		55,427
	9,900	Gunma Bank Ltd (The)		31,083
	6,900	Gurunavi Inc		42,293
	9,100	Hachijuni Bank Ltd (The)		33,795
	6,300	Hakuhodo DY Holdings Inc		78,456
	800	Hakuto Co Ltd		7,334
	17,600	Haseko Corp		214,999
	5,600	Hiroshima Bank Ltd (The)		26,337
	3,400	Hisamitsu Pharmaceutical Co Inc		172,148
	2,500	Hokuhoku Financial Group Inc		21,149
	3,300	Inaba Denki Sangyo Co Ltd		75,222
	3,000	Itochu Enex Co Ltd		24,127
	3,700	Itochu Techno-Solutions Corp		125,228
	100	Itochu-Shokuhin Co Ltd		4,362
	2,700	Itoki Corp		10,283
	40,400	JVCKenwood Corp		66,114
	24,700	K’s Holdings Corp		316,193
	1,800	Kaken Pharmaceutical Co Ltd		99,220
	800	Kamei Corp		8,000
	5,700	Kanematsu Corp		70,980
	700	Kanematsu Electronics Ltd		25,897
	1,900	Kasai Kogyo Co Ltd		9,148
	300	Kato Sangyo Co Ltd		10,547
	28,600	KDDI Corp		834,811
	2,500	Keihin Corp		59,134
	1,400	Kinden Corp		23,454
	1,800	Kissei Pharmaceutical Co Ltd		45,766

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	64,500	Konica Minolta Inc		239,634
	900	Kumagai Gumi Co Ltd		22,061
	5,800	Kumiai Chemical Industry Co Ltd		46,999
	1,100	Kureha Corp		48,607
	2,300	KYORIN Holdings Inc		49,726
	1,600	Lion Corp		36,841
	8,600	LIXIL VIVA Corp		192,794
	3,300	Makino Milling Machine Co Ltd		102,283
	500	Maruzen Showa Unyu Co Ltd		13,395
	500	Matsuda Sangyo Co Ltd		6,711
	12,200	Mebuki Financial Group Inc		27,733
	3,100	Medipal Holdings Corp		61,412
	4,900	Meidensha Corp		83,052
	700	METAWATER Co Ltd		31,263
	15,300	Mitsubishi Gas Chemical Co Inc		228,675
	1,000	Mitsuboshi Belting Ltd		15,240
	1,200	Mitsui Sugar Co Ltd		23,232
	500	Mochida Pharmaceutical Co Ltd		19,459
	1,200	MTI Ltd		6,725
	4,200	NEC Networks & System Integration Corp		79,258
	8,500	Nichi-iko Pharmaceutical Co Ltd		103,621
	6,350	Nichias Corp		146,707
	600	Nihon Unisys Ltd		18,589
	15,500	Nikon Corp		142,662
	3,300	Nippo Corp		82,048
	2,000	Nippon Flour Mills Co Ltd		30,343
	7,300	Nippon Kayaku Co Ltd		73,498
	75,500	Nippon Light Metal Holdings Co Ltd		129,680
	2,200	Nippon Soda Co Ltd		61,290
	40,200	Nippon Telegraph & Telephone Corp		915,000
	1,200	Nisshin Oillio Group Ltd (The)		38,480
	400	Nissin Corp		5,947
	5,700	Nissin Electric Co Ltd		59,431
	100	NOF Corp		3,565
	2,600	Nojima Corp		60,676
	16,100	Nomura Real Estate Holdings Inc		297,174
	600	NS Solutions Corp		16,525
	59,100	Obayashi Corp		548,021
	100	Okinawa Cellular Telephone Co		3,846
	800	Organo Corp		45,151
	600	Osaka Soda Co Ltd		14,673
	500	Otsuka Corp		24,213
	1,100	Paramount Bed Holdings Co Ltd		42,785
	14,900	Penta-Ocean Construction Co Ltd		77,883
	2,000	Proto Corp		21,430
	2,000	Raiznext Corp		23,891
	600	Rinnai Corp		50,689
	800	Sac’s Bar Holdings Inc		4,114
	2,200	San-Ai Oil Co Ltd		22,633

Shares		Description	Value ($)
		Japan — continued
	4,100	Sanki Engineering Co Ltd		52,331
	900	Sanyo Chemical Industries Ltd		41,331
	4,300	Seiko Holdings Corp		72,997
	5,900	Seino Holdings Co Ltd		80,570
	600	Sekisui Jushi Corp		13,251
	21,500	Seven Bank Ltd		61,449
	2,400	SG Holdings Co Ltd		78,477
	69,200	Shimizu Corp		585,763
	2,200	Shinmaywa Industries Ltd		21,843
	5,700	Shinsei Bank Ltd		72,905
	1,600	Shizuoka Gas Co Ltd		14,747
	7,400	Showa Corp		154,760
	200	Sinanen Holdings Co Ltd		5,066
	1,500	Sinko Industries Ltd		21,371
	1,700	Sintokogio Ltd		12,495
	80,100	Sumitomo Chemical Co Ltd		248,918
	10,700	Sumitomo Dainippon Pharma Co Ltd		151,541
	500	Sumitomo Seika Chemicals Co Ltd		14,159
	1,800	Suzuken Co Ltd		65,487
	4,000	T-Gaia Corp		85,289
	1,100	Taisho Pharmaceutical Holdings Co Ltd		70,062
	4,100	Takasago Thermal Engineering Co Ltd		69,808
	1,200	Tamron Co Ltd		22,620
	26,900	Teijin Ltd		440,874
	2,200	Tokyo Seimitsu Co Ltd		71,614
	7,600	Tokyu Construction Co Ltd		41,542
	900	Toli Corp		2,183
	3,500	Toppan Forms Co Ltd		36,496
	16,000	Toppan Printing Co Ltd		274,189
	800	Torii Pharmaceutical Co Ltd		24,099
	5,900	Tosei Corp		58,633
	14,500	Tosoh Corp		202,201
	5,100	Toyo Construction Co Ltd		20,369
	800	Toyo Ink SC Holdings Co Ltd		15,489
	6,400	Toyo Suisan Kaisha Ltd		335,377
	1,700	Toyota Boshoku Corp		24,082
	3,200	Trend Micro Inc		176,135
	6,400	TS Tech Co Ltd		181,053
	3,400	Tsumura & Co		94,602
	15,300	Ushio Inc		182,170
	2,800	Wacoal Holdings Corp		58,115
	200	Wowow Inc		4,760
	3,200	YAMABIKO Corp		29,208
	14,400	Yamaha Motor Co Ltd		208,588
	300	Yamazaki Baking Co Ltd		5,378
	2,800	Yamazen Corp		24,363
	3,100	Yellow Hat Ltd		44,316
	900	Yuasa Trading Co Ltd		26,398
		Total Japan		15,706,146

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Malaysia — 0.0%
	29,900	Top Glove Corp Berhad		91,658
		Malta — 0.0%
	125,500	BGP Holdings Plc * (a)		—
		Mexico — 0.1%
	4,800	Gentera SAB de CV		2,000
	3,100	El Puerto de Liverpool SAB de CV – Class C1		7,745
	251,100	Grupo Mexico SAB de CV Series B		540,939
		Total Mexico		550,684
		Netherlands — 0.7%
	1,056	Adyen NV *		1,384,713
	19,199	ASR Nederland NV		527,806
	1,396	BE Semiconductor Industries NV		53,386
	625	Flow Traders		21,866
	1,397	Heineken Holding NV		114,873
	66	Hunter Douglas NV		3,168
	1,945	Koninklijke Vopak NV		106,514
	18,295	Randstad NV		769,727
	51,136	Signify NV		1,101,133
	1,836	TomTom NV *		15,621
	13,369	Wolters Kluwer NV		1,066,984
		Total Netherlands		5,165,791
		New Zealand — 0.0%
	14,056	SKY Network Television Ltd *		1,312
		Norway — 0.2%
	3,235	Adevinta ASA *		34,177
	11,082	Austevoll Seafood ASA		84,574
	46,695	BW LPG Ltd		155,978
	1,044	DNB ASA		14,248
	95,337	Elkem ASA		174,267
	4,479	Entra ASA		60,682
	18,853	Europris ASA		79,619
	21,223	Gjensidige Forsikring ASA		386,914
	2,895	Kongsberg Gruppen ASA		42,606
	2,478	Salmar ASA		111,750
	1,557	Selvaag Bolig ASA		8,023
	2,664	SpareBank 1 Nord Norge		17,528
	415	SpareBank 1 Oestlandet		3,902
	4,533	SpareBank 1 SMN		36,396
	19,667	SpareBank 1 SR-Bank ASA		146,397
		Total Norway		1,357,061
		Philippines — 0.0%
	350	Globe Telecom Inc		15,862

Shares		Description	Value ($)
		Poland — 0.0%
	8,498	PLAY Communications SA		60,288
		Portugal — 0.3%
	43,398	Altri SGPS SA		199,621
	909,526	Banco Comercial Portugues SA – Class R		99,289
	1,661	CTT-Correios de Portugal SA		3,784
	2,594	EDP Renovaveis SA		34,300
	77,800	EDP – Energias de Portugal SA		363,449
	32,548	Galp Energia SGPS SA		387,262
	16,466	Jeronimo Martins SGPS SA		280,773
	55,760	Navigator Co SA (The)		137,318
	95,112	NOS SGPS SA *		389,417
	43,649	REN – Redes Energeticas Nacionais SGPS SA		116,927
	1,298	Semapa-Sociedade de Investimento e Gestao *		11,936
	211,728	Sonae SGPS SA		158,549
		Total Portugal		2,182,625
		Russia — 0.2%
	2,560	Gazprom Neft PJSC		12,213
	362,000	Inter RAO UES PJSC		25,631
	2,251	LUKOIL PJSC		169,315
	8,766	LUKOIL PJSC Sponsored ADR		658,631
	3,772	Novatek PJSC Sponsered GDR (Registered)		552,161
	7,422	Novolipetsk Steel PJSC GDR		143,844
	2,830,000	ROSSETI PJSC		67,012
		Total Russia		1,628,807
		Singapore — 0.4%
	25,200	Accordia Golf Trust		10,823
	73,800	Ascendas (REIT)		164,244
	128,900	CapitaLand Commercial Trust (REIT)		160,141
	233,400	CapitaLand Mall Trust (REIT)		336,763
	122,100	ComfortDelGro Corp Ltd		124,745
	32,200	DBS Group Holdings Ltd		445,470
	21,100	First Real Estate Investment Trust		13,260
	400	Jardine Cycle & Carriage Ltd		6,210
	26,700	Keppel DC (REIT)		48,714
	82,664	Mapletree Commercial Trust (REIT)		117,608
	244,400	Mapletree Greater China Commercial Trust (REIT)		145,063
	178,200	Mapletree Industrial Trust (REIT)		344,511
	39,200	Mapletree Logistics Trust (REIT)		57,095
	42,400	Silverlake Axis Ltd		7,074
	20,100	Singapore Exchange Ltd		118,090
	77,100	SPH (REIT)		45,415
	39,700	StarHub Ltd		38,217
	13,700	Venture Corp Ltd		148,879
	3,000	Wing Tai Holdings Ltd		3,938

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	641,600	Yangzijiang Shipbuilding Holdings Ltd		428,192
	58,400	Yanlord Land Group Ltd *		45,629
		Total Singapore		2,810,081
		South Africa — 0.0%
	43,589	Absa Group Ltd		202,693
	4,985	Liberty Holdings Ltd		17,724
	3,145	Motus Holdings Ltd		4,973
	3,643	MultiChoice Group Ltd *		17,999
	5,690	Reunert Ltd		14,079
	34,569	Telkom SA SOC Ltd		34,958
		Total South Africa		292,426
		South Korea — 0.3%
	26,953	Hana Financial Group Inc		651,230
	6,742	Industrial Bank of Korea		45,283
	733	KB Financial Group Inc		20,004
	22,008	Kia Motors Corp		611,966
	7	LG Corp		358
	2,535	Shinhan Financial Group Co Ltd		61,960
	990	SK Hynix Inc		65,650
	24,700	SK Telecom Co Ltd Sponsored ADR		475,475
		Total South Korea		1,931,926
		Spain — 0.7%
	16,813	Acerinox SA *		134,508
	10	ACS Actividades de Construccion y Servicios SA		256
	973	Aena SME SA		138,863
	22,346	Almirall SA *		293,035
	5,511	Amadeus IT Group SA		288,178
	25,308	Bankinter SA		107,517
	20,413	Cia de Distribucion Integral Logista Holdings SA		377,665
	2,711	Ebro Foods SA		56,762
	2,369	eDreams ODIGEO SA *		7,539
	23,985	Enagas SA		540,615
	46,246	Endesa SA		1,104,647
	13,977	Faes Farma SA		56,421
	44,939	Iberdrola SA		486,576
	17,410	Industria de Diseno Textil SA		484,929
	40,863	Mediaset Espana Comunicacion SA *		145,927
	42,521	Red Electrica Corp SA		748,716
	77,329	Unicaja Banco SA		41,890
	5,208	Viscofan SA		342,095
		Total Spain		5,356,139
		Sweden — 0.4%
	2,305	AcadeMedia AB		13,129
	9,945	Axfood AB		223,024

Shares		Description	Value ($)
		Sweden — continued
	13,588	Bilia ABB – Class A		111,355
	28,780	Boliden AB		628,883
	4,022	Clas Ohlson AB-Class B		42,121
	15,664	Cloetta AB-Class B		39,507
	5,334	Granges AB		43,025
	1,741	Humana AB		8,050
	11,030	Inwido AB		70,357
	7,715	JM AB		152,154
	37,844	Klovern AB – B Shares		60,295
	5,642	Lindab International AB		57,533
	5,261	Loomis AB – Class B		133,024
	21,478	Nobia AB		97,300
	8,603	Nyfosa AB *		56,551
	1,238	Peab AB – Class B		10,141
	37,927	Skanska AB – B Shares		762,441
	20,487	Volvo AB – B Shares		292,337
		Total Sweden		2,801,227
		Switzerland — 0.1%
	390	Banque Cantonale Vaudoise (Registered)		38,032
	872	BKW AG		69,777
	2,716	Galenica AG		201,202
	1	Huber + Suhner AG (Registered)		69
	633	Partners Group Holding AG		527,336
	513	Roche Holding AG		179,830
		Total Switzerland		1,016,246
		Taiwan — 0.2%
	6,000	Realtek Semiconductor Corp		51,826
	18,000	Radiant Opto-Electronics Corp		61,970
	3,000	Phison Electronics Corp		27,651
	3,000	Gigabyte Technology Co Ltd		5,908
	59,000	Novatek Microelectronics Corp		403,977
	17,000	Hon Hai Precision Industry Co Ltd		43,008
	375,000	Pou Chen Corp		369,812
	117,000	Inventec Corp		95,147
	1,200	Ruentex Industries Ltd		2,614
	8,000	Walsin Lihwa Corp		3,714
	16,000	Chicony Electronics Co Ltd		45,906
		Total Taiwan		1,111,533
		Turkey — 0.0%
	48,366	Eregli Demir ve Celik Fabrikalari TAS		57,031
	40,883	KOC Holding AS		96,662
	12,484	TAV Havalimanlari Holding AS		37,262
	11,321	Turkiye Garanti Bankasi AS *		12,983
	123,644	Turkiye Vakiflar Bankasi TAO – Class D *		84,558
		Total Turkey		288,496

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 1.8%
	89,692	3i Group Plc		917,859
	13,929	Aggreko Plc		81,635
	26,203	Anglo American Plc		554,692
	2,293	AVEVA Group Plc		116,502
	3,420	Bank of Georgia Group Plc		39,126
	87,139	Barratt Developments Plc		539,007
	9,365	Bellway Plc		298,947
	9,933	Berkeley Group Holdings Plc (The)		506,003
	12,103	Brewin Dolphin Holdings Plc		42,225
	4,639	British American Tobacco Plc		183,985
	13,400	British American Tobacco Plc Sponsored ADR		537,072
	143,842	Centamin Plc		292,807
	8,037	CMC Markets Plc		19,657
	31,946	Compass Group Plc		468,309
	7,001	Computacenter Plc		139,460
	8,466	Daily Mail & General Trust Plc		75,513
	3,876	Derwent London Plc (REIT)		141,456
	38,085	Dixons Carphone Plc		35,674
	7,106	Dunelm Group Plc		93,959
	11,363	Electrocomponents Plc		89,736
	1,271	EMIS Group Plc		17,781
	138,388	Ferrexpo Plc		301,470
	1,580	Firstgroup Plc *		1,089
	26,408	Frasers Group Plc *		100,298
	359	Galliford Try Holdings Plc		522
	4,421	Gem Diamonds Ltd *		1,750
	5,259	Go-Ahead Group Plc (The)		70,900
	4,956	Grafton Group Plc		38,327
	14,903	Great Portland Estates Plc (REIT)		120,257
	30,904	Ibstock Plc		70,310
	28,935	IG Group Holdings Plc		273,620
	4,837	IMI Plc		54,024
	23,422	Inchcape Plc		145,619
	29,866	Indivior Plc *		22,711
	95,943	International Consolidated Airlines Group SA		272,699
	7,674	International Personal Finance Plc		4,041
	44,806	ITV Plc		44,680
	106,992	J Sainsbury Plc		256,549
	15,323	JD Sports Fashion Plc		125,624
	15,985	John Laing Group Plc		70,199
	58,548	Kingfisher Plc		142,095
	54,652	LondonMetric Property Plc (REIT)		142,166
	12,214	Lookers Plc		3,797
	31,550	Meggitt Plc		109,056
	12,455	Mitchells & Butlers Plc *		27,983
	4,806	Mondi Plc		90,426
	16,910	Morgan Advanced Materials Plc		44,687

Shares		Description	Value ($)
		United Kingdom — continued
	4,384	Morgan Sindall Group Plc		66,466
	27,484	National Express Group Plc		74,134
	4,545	Numis Corp Plc		17,188
	19,750	OneSavings Bank Plc		68,190
	16,757	Paragon Banking Group Plc		73,350
	31,776	Pennon Group Plc		450,405
	58,312	Persimmon Plc		1,663,287
	53,309	Pets at Home Group Plc		151,730
	21,902	Phoenix Group Holdings Plc		168,375
	9,878	Playtech Plc		32,463
	25,364	Plus500 Ltd		414,109
	3,791	Polypipe Group Plc		20,363
	110,718	QinetiQ Group Plc		406,391
	5,493	Savills Plc		58,946
	69,855	Sirius Real Estate Ltd		69,211
	13,655	Smiths Group Plc *		222,640
	5,939	Softcat Plc		84,582
	32,470	Spirent Communications Plc		100,839
	7,940	Stock Spirits Group Plc		23,888
	54,317	Tate & Lyle Plc		453,083
	34,222	Taylor Wimpey Plc		61,301
	3,194	Ultra Electronics Holdings Plc		78,016
	11,207	UNITE Group Plc (The) (REIT) *		120,455
	9,113	Vesuvius Plc		41,552
	206	Vistry Group Plc		1,957
	115,713	WM Morrison Supermarkets Plc		268,460
		Total United Kingdom		12,917,685
		United States — 7.0%
	3,200	3M Co. (b)		500,608
	29,200	ACCO Brands Corp.		180,748
	400	Activision Blizzard, Inc.		28,792
	9,100	Acushnet Holdings Corp. (b)		304,122
	1,400	Adobe, Inc. * (c)		541,240
	600	Adtalem Global Education, Inc. * (b)		20,076
	300	AGCO Corp.		16,569
	700	Alexion Pharmaceuticals, Inc. *		83,930
	100	Amazon.com, Inc. *		244,237
	15,200	American Express Co. (b)		1,445,064
	7,600	Ameriprise Financial, Inc. (c)		1,064,532
	500	Amerisource Bergen Corp.		47,670
	5,400	Amgen, Inc. (b)		1,240,380
	1,000	Apple, Inc. (b)		317,940
	11,500	Applied Materials, Inc.		646,070
	800	Atkore International Group, Inc. *		21,472
	1,200	BellRing Brands, Inc. – Class A *		24,096
	14,400	Best Buy Co., Inc. (b)		1,124,496
	300	Booking Holdings, Inc. * (b)		491,826
	18,900	BorgWarner, Inc. (b)		607,635
	2,900	Brady Corp. –Class A		148,277

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	1,300	Brinker International, Inc. *		34,255
	1,200	Bristol-Myers Squibb Co.		71,664
	3,300	Broadmark Realty Capital, Inc.		28,842
	500	Brooks Automation, Inc. (b)		19,985
	4,500	Bruker Corp.		194,760
	4,800	Builders FirstSource, Inc. *		99,888
	13,600	Cadence Design Systems, Inc. * (c)		1,241,544
	8,300	Carrier Global Corp. * (b)		169,901
	1,900	CBIZ, Inc. *		43,035
	13,000	Charles Schwab Corp. (The)		466,830
	6,200	Chevron Corp.		568,540
	700	Church & Dwight Co., Inc.		52,549
	200	Cimpress Plc * (b)		18,026
	5,100	Columbia Sportswear Co. * (b)		372,606
	28,100	Comcast Corp. – Class A (b) (c)		1,112,760
	600	Core-Mark Holding Co., Inc.		16,788
	16,200	CoreCivic, Inc. (REIT)		194,886
	46,475	Corteva, Inc. (c)		1,269,232
	300	Costco Wholesale Corp.		92,541
	1,300	CSG Systems International, Inc.		61,555
	3,700	Curo Group Holdings Corp.		24,753
	42,000	Dana, Inc. *		530,880
	1,400	Dick’s Sporting Goods, Inc. * (b)		50,484
	200	Dollar General Corp.		38,302
	700	DR Horton, Inc. (b)		38,710
	300	Eastman Chemical Co. (b)		20,424
	18,600	eBay, Inc.		847,044
	2,800	Electronic Arts, Inc. * (b)		344,064
	7,100	Eli Lilly & Co.		1,085,945
	9,300	Enova International, Inc. *		131,595
	8,600	Envista Holdings Corp. * (b)		181,804
	12,400	EOG Resources, Inc. (b)		632,028
	6,700	Estee Lauder Cos, Inc. (The) – Class A * (c)		1,323,049
	700	Exterran Corp. *		4,494
	300	Federal Agricultural Mortgage Corp. – Class C		19,239
	2,100	Federal Signal Corp.		61,194
	1,700	Fidelity National Financial, Inc. (b)		54,230
	1,700	First American Financial Corp. (b)		85,833
	3,100	Fox Corp. (b)		90,427
	2,300	Garmin Ltd.		207,391
	200	General Dynamics Corp.		29,366
	1,100	General Mills, Inc. (b)		69,344
	2,200	GEO Group, Inc. (REIT)		26,356
	12,600	Gilead Sciences, Inc. (b) (c)		980,658
	200	Graham Holdings Co. – Class B(c)		71,646
	2,100	Group 1 Automotive, Inc. * (b)		132,174
	3,100	H&R Block, Inc.		52,700
	6,100	Hasbro, Inc.		448,411
	2,200	Heidrick & Struggles International, Inc.		48,796

Shares		Description	Value ($)
		United States — continued
	17,800	Herman Miller, Inc. *		409,756
	3,100	Hershey Co. (The)		420,608
	31,900	Hewlett Packard Enterprise Co.		309,749
	4,100	Hilton Worldwide Holdings, Inc. *		325,171
	1,100	Hologic, Inc. *		58,300
	2,400	Home Depot, Inc. (The)		596,352
	2,951	Honeywell International, Inc. (b)		430,403
	48,000	HP, Inc.(c)		726,720
	15,300	Huntsman Corp. (b)		277,695
	200	ICF International, Inc. (b)		13,116
	3,100	Illinois Tool Works, Inc. (b)		534,626
	200	Innospec, Inc.		15,418
	2,900	Insight Enterprises, Inc. * (b)		148,654
	23,900	Intel Corp. (b)(c)		1,504,027
	700	Inter Parfums, Inc. *		32,487
	5,400	Intercontinental Exchange, Inc.		525,150
	18,200	Interpublic Group of Cos., Inc. (The) (b)		311,402
	3,200	Intuit, Inc. * (c)		929,024
	1,400	ITT, Inc. (b)		80,780
	300	Johnson Outdoors, Inc. – Class A		23,283
	38,700	Juniper Networks, Inc. (b)		938,862
	600	KB Home		19,848
	3,100	Kimberly-Clark Corp. (b)		438,464
	700	KONTOOR BRANDS, Inc. * (b)		10,234
	8,700	Kroger Co. (The)		283,794
	4,900	La-Z-Boy, Inc.		126,028
	6,400	Las Vegas Sands Corp. *		306,816
	1,600	Laureate Education, Inc. – Class A *		15,568
	700	Lockheed Martin Corp.		271,908
	18,200	Lyft, Inc. – Class A *		568,932
	496	Markel Corp. *		445,120
	1,600	Materion Corp.		84,000
	500	McKesson Corp.		79,335
	1,100	MDC Holdings, Inc.		37,389
	12,100	Medtronic Plc (b)		1,192,818
	12,400	Merck & Co., Inc.(c)		1,000,928
	2,100	Meritor, Inc. *		42,798
	1,500	Microsoft Corp.		274,875
	1,300	Moderna, Inc. *(b)		79,950
	13,600	Modine Manufacturing Co. * (b)		72,760
	4,900	Mondelez International, Inc. – Class A		255,388
	3,800	Moog, Inc. – Class A *		206,302
	1,600	Motorola Solutions, Inc. (b)		216,528
	4,900	Movado Group, Inc. * (b)		51,450
	2,600	Mylan NV *		44,382
	5,500	NetApp, Inc. (b)		244,970
	1,900	Newmark Group, Inc. – Class A		8,075
	900	NIC, Inc.		21,654
	5,400	NIKE, Inc. – Class B		532,332
	3,100	NortonLifeLock, Inc.		70,618

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	700	NVIDIA Corp. (b)		248,514
	1,500	O’Reilly Automotive, Inc. * (b)		625,860
	2,200	OneMain Holdings, Inc.		51,326
	5,200	Oracle Corp.		279,604
	900	Oshkosh Corp. (b)		64,638
	4,150	Otis Worldwide Corp.		218,498
	2,600	Parsons Corp. *		105,716
	9,600	PepsiCo, Inc. (c)		1,262,880
	9,100	Perdoceo Education Corp. * (b)		148,148
	23,400	Pfizer, Inc. (c)		893,646
	13,400	Phillips 66 (c)		1,048,684
	800	Polaris, Inc.		69,872
	500	Popular, Inc.		19,745
	2,500	Progress Software Corp.		101,000
	1,200	PulteGroup, Inc.		40,764
	17,500	Qurate Retail, Inc. – Series A *		144,113
	16,662	Raytheon Technologies Corp.		1,075,032
	800	Regional Management Corp. *		12,688
	900	Reliance Steel & Aluminum Co.		87,300
	900	Scholastic Corp. (b)		26,460
	1,500	Schweitzer-Mauduit International, Inc. (b)		45,585
	800	Seagate Technology Plc (b)		42,432
	15,400	Sensata Technologies Holding Plc *		549,010
	1,800	Skechers U.S.A., Inc. – Class A *		56,376
	1,900	SkyWest, Inc. *		60,933
	5,200	Skyworks Solutions, Inc.		616,408
	1,900	SolarWinds Corp. *		34,751
	6,000	Sonic Automotive, Inc. – Class A (b)		157,680
	600	SPX Corp. *		23,988
	1,300	Steelcase, Inc. – Class A		15,054
	500	STERIS Plc		82,945
	8,200	Stoneridge, Inc. *		168,756
	900	Sykes Enterprises, Inc. * (b)		24,534
	7,800	Synopsys, Inc. * (c)		1,411,098
	2,600	Target Corp. (b)		318,058
	600	Teledyne Technologies, Inc. *		224,472
	5,100	Telephone & Data Systems, Inc.		104,499
	3,300	Textron, Inc.		102,201
	13,100	Timken Co. (The)(c)		557,274
	2,627	Triple-S Management Corp. – Class B *		52,277
	1,000	Tyson Foods, Inc.– Class A		61,440
	1,500	UFP Industries, Inc.		68,595
	3,100	Universal Corp.		136,586
	13,400	US Bancorp		476,504
	7,447	Verso Corp. – Class A *		107,088
	8,800	VF Corp. (b)		493,680
	15,000	Vishay Intertechnology, Inc. (b)		243,900
	2,700	Walmart, Inc. (b)		334,962
	200	West Pharmaceutical Services, Inc.		43,208
	8,700	World Fuel Services Corp.		221,676
	17,600	Xenia Hotels & Resorts, Inc. (REIT) * (c)		158,400

Shares / Par Value†		Description	Value ($)
		United States — continued
	6,400	Zynga Inc-Class A *		58,560
		Total United States		52,053,573
		TOTAL COMMON STOCKS (COST $134,195,142)		131,630,069
		PREFERRED STOCKS (d) — 0.1%
		Brazil — 0.1%
	24,300	Bradespar SA		160,518
		Germany — 0.0%
	1,301	Draegerwerk AG & Co KgaA		103,335
	446	Villeroy & Boch AG		5,903
		Total Germany		109,238
		Russia — 0.0%
	160,600	Surgutneftegas PJSC		81,010
		South Korea — 0.0%
	13	Samsung Electronics Co Ltd		453
	46	Samsung Electronics Co Ltd GDR (Registered)		40,033
		Total South Korea		40,486
		TOTAL PREFERRED STOCKS (COST $367,993)		391,252
		RIGHTS/WARRANTS — 0.0%
		Japan — 0.0%
	1,900	Chiba Kogyo Bank Ltd * (e)		—
		New Zealand — 0.0%
	39,779	Sky Network Television Ltd *		1,786
		TOTAL RIGHTS/WARRANTS (COST $0)		1,786
		DEBT OBLIGATIONS — 4.6%
		United States — 4.6%
		U.S. Government — 4.6%
	5,405,029	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (f)		5,727,696
	2,020,772	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (f)		2,179,345
	5,347,574	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (c) (f)		6,289,965
	1,207,283	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (f)		1,337,652
	1,959,749	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (f)		2,194,068
	9,928,594	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (c) (f)		12,530,930

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Par Value† / Shares			Description	Value ($)
			United States — continued
			U.S. Government — continued
	3,411,220		U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/30 (f)		3,620,390
			Total U.S. Government		33,880,046
			Total United States		33,880,046
			TOTAL DEBT OBLIGATIONS (COST $31,418,258)		33,880,046
			MUTUAL FUNDS — 79.1%
			United States — 79.1%
			Affiliated Issuers — 79.1%
	2,310,665		GMO Core Plus Bond Fund, Class IV		52,036,168
	989,572		GMO Emerging Country Debt Fund, Class IV		24,600,769
	5,988,002		GMO Emerging Markets Fund, Class VI		171,735,910
	9,432,543		GMO International Equity Fund, Class IV		178,180,734
	709,051		GMO Opportunistic Income Fund, Class VI		18,002,804
	1,888,813		GMO Quality Fund, Class VI		44,934,862
	2,266,690		GMO U.S. Equity Fund, Class VI		27,562,947
	3,319,295		GMO U.S. Small Cap Value Fund, Class VI		53,108,722
	2,976,284		GMO U.S. Treasury Fund		15,000,470
			TOTAL MUTUAL FUNDS (COST $612,230,258)		585,163,386
			SHORT-TERM INVESTMENTS — 0.1%
			Money Market Funds — 0.1%
	597,062		State Street Institutional Treasury Money Market Fund – Premier Class, 0.12% (g)		597,062
			TOTAL SHORT-TERM INVESTMENTS (COST $597,062)		597,062
			TOTAL INVESTMENTS — 101.7% (Cost $778,808,713)		751,663,601
			SECURITIES SOLD SHORT — (1.7)%
			Common Stocks — (1.7)%
			Austria — (0.0)%
	(1,334	)	Schoeller-Bleckmann Oilfield Equipment AG		(36,316	)
	(1,269	)	voestalpine AG		(24,783	)
			Total Austria		(61,099	)
			Brazil — (0.0)%
	(2,800	)	Pagseguro Digital Ltd – Class A *		(88,844	)
			Canada — (0.0)%
	(9,200	)	AltaGas Ltd		(98,759	)

Shares			Description	Value ($)
			Canada — continued
	(15,400	)	Cameco Corp		(167,398	)
			Total Canada		(266,157	)
			Denmark — (0.2)%
	(143	)	AP Moller – Maersk A/S – Class A		(131,339	)
	(257	)	AP Moller – Maersk A/S – Class B		(253,382	)
	(8,082	)	Chr Hansen Holding A/S		(784,884	)
	(521	)	DFDS A/S *		(15,286	)
	(1,240	)	ISS A/S *		(20,719	)
	(3,171	)	Jyske Bank A/S (Registered) *		(87,564	)
	(762	)	Topdanmark A/S		(31,698	)
	(1,616	)	Tryg A/S		(45,400	)
			Total Denmark		(1,370,272	)
			Germany — (0.1)%
	(92,664	)	Deutsche Bank AG (Registered) *		(775,702	)
	(2,512	)	thyssenkrupp AG *		(17,073	)
			Total Germany		(792,775	)
			Japan — (0.1)%
	(1,600	)	Idemitsu Kosan Co Ltd		(35,622	)
	(500	)	Japan Airport Terminal Co Ltd		(22,008	)
	(4,100	)	Japan Lifeline Co Ltd		(55,492	)
	(4,100	)	JGC Holding Corp		(44,213	)
	(300	)	JINS Holdings Inc		(19,066	)
	(3,800	)	Kawasaki Kisen Kaisha Ltd *		(39,325	)
	(1,100	)	Mitsui Mining & Smelting Co Ltd		(23,740	)
	(7,700	)	Mitsui OSK Lines Ltd		(136,828	)
	(6,100	)	Nippon Yusen KK		(88,208	)
	(15,300	)	Orient Corp		(18,265	)
	(17	)	Orix JREIT Inc		(24,571	)
	(39	)	Sekisui House Reit Inc		(24,229	)
			Total Japan		(531,567	)
			Netherlands — (0.0)%
	(13,576	)	Altice Europe NV – Class B *		(53,480	)
	(3,052	)	OCI NV *		(34,603	)
			Total Netherlands		(88,083	)
			Spain — (0.0)%
	(25	)	Bolsas y Mercados Espanoles SHMSF SA		(914	)
	(18	)	Masmovil Ibercom SA *		(376	)
			Total Spain		(1,290	)
			Switzerland — (0.0)%
	(14,986	)	Credit Suisse Group AG (Registered)		(137,728	)
	(2,314	)	Dufry AG (Registered)		(69,251	)
	(681	)	Swiss Re AG		(46,507	)
			Total Switzerland		(253,486	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2020 (Unaudited)

Shares			Description	Value ($)
			United Kingdom — (0.0)%
	(20,502	)	G4S Plc *		(22,949	)
	(43,481	)	Melrose Industries Plc		(62,685	)
	(7,100	)	Tronox Holdings Plc – Class A		(47,144	)
			Total United Kingdom		(132,778	)
			United States — (1.3)%
	(3,200	)	2U, Inc. *		(116,704	)
	(21,800	)	Aerie Pharmaceuticals, Inc. *		(305,854	)
	(900	)	AnaptysBio, Inc. *		(17,172	)
	(9,900	)	Beyond Meat, Inc. *		(1,270,071	)
	(600	)	Biohaven Pharmaceutical Holding Co Ltd *		(37,482	)
	(4,700	)	Cheniere Energy, Inc. *		(208,445	)
	(4,500	)	Cloudera, Inc. *		(46,125	)
	(4,800	)	Crowdstrike Holdings, Inc. – Class A *		(421,488	)
	(5,100	)	Diamondback Energy, Inc.		(217,158	)
	(424	)	Digital Realty Trust, Inc. (REIT)		(60,869	)
	(24,600	)	EQT Corp. *		(328,164	)
	(900	)	Esperion Therapeutics, Inc. *		(38,133	)
	(6,300	)	Eventbrite, Inc. – Class A *		(54,306	)
	(800	)	Gentex Corp.		(21,152	)
	(5,400	)	Heron Therapeutics, Inc. *		(98,388	)
	(4,700	)	Immunomedics, Inc. *		(157,873	)
	(200	)	Innovative Industrial Properties, Inc. (REIT)		(16,344	)
	(2,400	)	Intercept Pharmaceuticals, Inc. *		(173,424	)
	(1,300	)	Intra-Cellular Therapies, Inc. *		(27,144	)
	(4,200	)	Iovance Biotherapeutics, Inc. *		(134,778	)
	(4,700	)	Knight-Swift Transportation Holdings, Inc.		(195,567	)
	(22,000	)	Kraft Heinz Co. (The)		(670,340	)
	(1,100	)	Ligand Pharmaceuticals, Inc. *		(111,727	)
	(500	)	Livongo Health, Inc. *		(29,965	)
	(14,400	)	LYFT, Inc. – Class A *		(450,144	)
	(4,800	)	Macerich Co. (The) (REIT)		(32,688	)
	(1,500	)	Madrigal Pharmaceuticals, Inc. *		(174,030	)
	(23,000	)	Mosaic Co. (The)		(278,070	)
	(9,400	)	National Oilwell Varco, Inc. *		(117,218	)
	(15,100	)	Nektar Therapeutics *		(327,670	)
	(38,400	)	Oasis Petroleum, Inc. *		(17,687	)
	(14,400	)	Peloton Interactive, Inc. – Class A *		(607,536	)
	(1,100	)	Sangamo Therapeutics, Inc. *		(12,309	)
	(17,000	)	Schlumberger Ltd		(313,990	)
	(3,700	)	Seritage Growth Properties – Class A (REIT) *		(29,119	)
	(17,600	)	Shake Shack, Inc. – Class A *		(977,680	)

Shares			Description	Value ($)
			United States — continued
	(1,500	)	Switch, Inc. – Class A		(28,665	)
	(156,200	)	Transocean Ltd *		(207,746	)
	(600	)	Trupanion, Inc. *		(18,072	)
	(800	)	Veritex Holdings, Inc.		(14,016	)
	(2,500	)	Verra Mobility Corp. *		(27,275	)
	(1,800	)	WillScot Corp. *		(24,012	)
	(5,400	)	World Wrestling Entertainment, Inc.– Class A		(249,858	)
	(2,800	)	Wynn Resorts Ltd. *		(233,184	)
	(6,000	)	Zogenix, Inc. *		(174,780	)
	(2,900	)	Zoom Video Communications, Inc.– Class A *		(520,492	)
			Total United States		(9,594,914	)
			TOTAL COMMON STOCKS (PROCEEDS $14,617,989)		(13,181,265	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $14,617,989)		(13,181,265	)
			Other Assets and Liabilities (net) — 0.1%		656,983
			TOTAL NET ASSETS — 100.0%		$739,139,319

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2020 (Unaudited)

A summary of outstanding financial instruments at May 31, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
784	MSCI EAFE	June 2020		67,643,520		(4,813,506	)
136	S&P 500 E-Mini	June 2020		20,685,600		(1,045,003	)
			$	88,329,120	$	(5,858,509	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Reverse Repurchase Agreements

Average balance outstanding	$	(4,560,000	)
Average interest rate (net)		(0.09	)%
Maximum balance outstanding	$	(4,560,000	)

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(h)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	138,050		03/18/2021		Monthly		—		(6,210	)		(6,210	)
Total Return on Equity Basket(h)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	534,701		06/18/2022		Monthly		—		(54,247	)		(54,247	)
Total Return on Equity Basket(h)	1 Month Federal Funds Rate minus 1.75%	MORD		USD	492,093		06/18/2022		Monthly		—		(64,497	)		(64,497	)
Total Return on Equity Basket(h)	1 Month Federal Funds Rate minus 1.06%	MORD		USD	466,173		06/18/2022		Monthly		—		(18,023	)		(18,023	)
Total Return on Equity Basket(h)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	526,290		06/18/2022		Monthly		—		16,910			16,910
										$	—	$	(126,067	)	$	(126,067	)

As of May 31, 2020, 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) All or a portion of this security is out on loan.

(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) Investment valued using significant unobservable inputs.

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

(g) The rate disclosed is the 7 day net yield as of May 31, 2020.

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

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 Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund, 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 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 May 31, 2020, 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; 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 May 31, 2020:

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
France	$	—		$	4,481,914		$	—	$	4,481,914
Germany		2,898,898			—			—		2,898,898
Hong Kong		—			209,897			—		209,897
Ireland		—			5,966,938			—		5,966,938
Japan		—			4,995,780			—		4,995,780
Netherlands		—			2,880,815			—		2,880,815
United Kingdom		8,224,857			—			—		8,224,857
United States		64,236,108			—			2,965,448		67,201,556
TOTAL COMMON STOCKS		75,359,863			18,535,344			2,965,448		96,860,655
Rights/Warrants
United States		206,859			—			—		206,859
TOTAL RIGHTS/WARRANTS		206,859			—			—		206,859
Debt Obligations
Canada		—			14,531,721			—		14,531,721
United States		79,442,824			—			—		79,442,824
TOTAL DEBT OBLIGATIONS		79,442,824			14,531,721			—		93,974,545
Mutual Funds
United States		44,143,005			—			—		44,143,005
TOTAL MUTUAL FUNDS		44,143,005			—			—		44,143,005
Investment Funds
United States		—			—			6,337,798		6,337,798
TOTAL INVESTMENT FUNDS		—			—			6,337,798		6,337,798
Short-Term Investments	$	40,481,835		$	94,266,150		$	—	$	134,747,985
Purchased Options		234,230			—			—		234,230
Total Investments		239,868,616			127,333,215			9,303,246		376,505,077
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			4,541,817			—		4,541,817
Futures Contracts
Equity Risk		258,156			287,267			—		545,423
Interest Rate Risk		8,144			—			—		8,144
Swap Contracts
Interest Rate Risk		—			663,783			—		663,783
Physical Commodity Contract Risk		—			33,095			—		33,095
Total	$	240,134,916		$	132,859,177		$	9,303,246	$	382,297,339
Liability Valuation Inputs
Common Stocks
France	$	—		$	(3,799,739	)	$	—	$	(3,799,739	)
Hong Kong		—			(198,251	)		—		(198,251	)
Ireland		—			(5,639,584	)		—		(5,639,584	)
United Kingdom		(16,253,639	)		(2,867,770	)		—		(19,121,409	)
United States		(35,091,544	)		—			—		(35,091,544	)
TOTAL COMMON STOCKS		(51,345,183	)		(12,505,344	)		—		(63,850,527	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(5,975,948	)		—		(5,975,948	)

Description	Level 1			Level 2			Level 3			Total
Consolidated Alternative Allocation Fund (continued)
Liability Valuation Inputs (continued)
Futures Contracts
Equity Risk	$	(5,144,121	)	$	(141,110	)	$	—		$	(5,285,231	)
Interest Rate Risk		(12,121	)		—			—			(12,121	)
Written Options
Equity Risk		(200,974	)		(45,141	)		—			(246,115	)
Swap Contracts
Interest Rate Risk		—			(1,024,335	)		—			(1,024,335	)
Total	$	(56,702,399	)	$	(19,691,878	)	$	—		$	(76,394,277	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	7,400,617,730		$	—		$	—		$	7,400,617,730
Short-Term Investments		4,715,440			—			—			4,715,440
Total Investments		7,405,333,170			—			—			7,405,333,170
Total	$	7,405,333,170		$	—		$	—		$	7,405,333,170
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	22,496,234		$	—		$	22,496,234
Austria		—			245,608			—			245,608
Belgium		—			8,466,667			—			8,466,667
Brazil		877,450			28,692,314			—			29,569,764
Canada		34,878,086			—			—			34,878,086
Chile		2,804,760			1,321,793			—			4,126,553
China		16,968,440			233,899,486			87,193			250,955,119
Colombia		15,326			—			—			15,326
Cyprus		274,717			—			—			274,717
Czech Republic		—			63,547			—			63,547
Denmark		—			810,543			—			810,543
Finland		—			2,435,623			—			2,435,623
France		6,252,774			56,967,177			—			63,219,951
Germany		—			36,938,019			—			36,938,019
Greece		—			425,486			0	§		425,486
Hong Kong		—			13,573,361			—			13,573,361
Hungary		—			1,599,411			—			1,599,411
India		3,774,840			24,892,342			—			28,667,182
Indonesia		—			2,452,448			—			2,452,448
Ireland		2,823,648			5,197,014			—			8,020,662
Israel		—			620,923			—			620,923
Italy		—			35,683,466			—			35,683,466
Japan		—			154,901,539			—			154,901,539
Malaysia		—			7,843,653			—			7,843,653
Mexico		16,140,499			—			—			16,140,499
Netherlands		—			46,391,139			—			46,391,139
New Zealand		—			956,914			—			956,914
Norway		277,552			15,260,275			—			15,537,827
Pakistan		—			532,450			—			532,450
Peru		181,500			—			—			181,500
Philippines		—			1,146,900			—			1,146,900
Poland		—			12,496,894			—			12,496,894
Portugal		—			21,020,777			—			21,020,777
Qatar		—			824,514			—			824,514
Russia		459,703			73,471,623			—			73,931,326
Singapore		—			30,631,090			—			30,631,090
South Africa		—			23,333,296			—			23,333,296
South Korea		3,243,795			64,663,859			91,512			67,999,166
Spain		—			44,420,302			—			44,420,302
Sweden		—			27,105,548			—			27,105,548

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Switzerland	$	—		$	32,221,107		$	—	$	32,221,107
Taiwan		2,394,953			95,076,846			—		97,471,799
Thailand		—			5,205,653			—		5,205,653
Turkey		—			17,624,593			—		17,624,593
United Arab Emirates		—			2,239,926			—		2,239,926
United Kingdom		11,893,602			108,633,550			—		120,527,152
United States		191,589,110			8,905			—		191,598,015
Vietnam		—			205,235			—		205,235
TOTAL COMMON STOCKS		294,850,755			1,262,998,050			178,705		1,558,027,510
Preferred Stocks
Brazil		—			8,430,604			—		8,430,604
Colombia		68,805			—			—		68,805
Germany		—			3,223,477			—		3,223,477
Russia		—			6,207,612			—		6,207,612
South Korea		—			15,517,092			—		15,517,092
Taiwan		—			44,969			—		44,969
TOTAL PREFERRED STOCKS		68,805			33,423,754			—		33,492,559
Rights/Warrants
Singapore		0	§		—			—		0	§
Investment Funds
United States		13,904,073			—			—		13,904,073
TOTAL INVESTMENT FUNDS		13,904,073			—			—		13,904,073
Debt Obligations
United States		178,921,032			5,946,152			—		184,867,184
TOTAL DEBT OBLIGATIONS		178,921,032			5,946,152			—		184,867,184
Mutual Funds
United States		648,328,450			—			—		648,328,450
TOTAL MUTUAL FUNDS		648,328,450			—			—		648,328,450
Total Investments		1,136,073,115			1,302,367,956			178,705		2,438,619,776
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			2,341,316			—		2,341,316
Futures Contracts
Equity Risk		206,279			18,888			—		225,167
Swap Contracts
Equity Risk		—			101,517			—		101,517
Interest Rate Risk		—			1,709,215			—		1,709,215
Total	$	1,136,279,394		$	1,306,538,892		$	178,705	$	2,442,996,991
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(1,759,278	)	$	—	$	(1,759,278	)
Brazil		(2,760,220	)		—			—		(2,760,220	)
Canada		(755,719	)		—			—		(755,719	)
Denmark		—			(3,730,083	)		—		(3,730,083	)
Finland		—			(1,294,044	)		—		(1,294,044	)
France		—			(1,115,143	)		—		(1,115,143	)
Germany		—			(3,923,357	)		—		(3,923,357	)
Israel		(2,245,533	)		—			—		(2,245,533	)
Japan		—			(8,169,691	)		—		(8,169,691	)
Netherlands		—			(430,501	)		—		(430,501	)
Norway		—			(146,807	)		—		(146,807	)
Singapore		—			(73,603	)		—		(73,603	)
Spain		—			(1,606,883	)		—		(1,606,883	)
Sweden		—			(607,607	)		—		(607,607	)
Switzerland		—			(46,327	)		—		(46,327	)
United Kingdom		—			(1,183,982	)		—		(1,183,982	)
United States		(1,491,301	)		—			—		(1,491,301	)
TOTAL COMMON STOCKS		(7,252,773	)		(24,087,306	)		—		(31,340,079	)

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Liability Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(12,108,582	)	$	—	$	(12,108,582	)
Futures Contracts
Equity Risk		(50,283,738	)		(57,647,081	)		—		(107,930,819	)
Swap Contracts
Credit Risk		—			(319,758	)		—		(319,758	)
Equity Risk		—			(624,352	)		—		(624,352	)
Interest Rate Risk		—			(349,279	)		—		(349,279	)
Total	$	(57,536,511	)	$	(95,136,358	)	$	—	$	(152,672,869	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,299,811,530		$	—		$	—	$	1,299,811,530
Debt Obligations
Asset-Backed Securities		—			30,768			—		30,768
TOTAL DEBT OBLIGATIONS		—			30,768			—		30,768
Short-Term Investments		10,923,487			—			—		10,923,487
Total Investments		1,310,735,017			30,768			—		1,310,765,785
Total	$	1,310,735,017		$	30,768		$	—	$	1,310,765,785
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(6,856,232	)	$	—		$	—	$	(6,856,232	)
Total	$	(6,856,232	)	$	—		$	—	$	(6,856,232	)
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	66,190,769		$	—		$	—	$	66,190,769
Short-Term Investments		55,108			—			—		55,108
Total Investments		66,245,877			—			—		66,245,877
Total	$	66,245,877		$	—		$	—	$	66,245,877
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,393,580,291		$	—		$	—	$	1,393,580,291
Short-Term Investments		499,740			—			—		499,740
Total Investments		1,394,080,031			—			—		1,394,080,031
Total	$	1,394,080,031		$	—		$	—	$	1,394,080,031
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	65,777,911		$	—	$	65,777,911
Austria		—			807,779			—		807,779
Belgium		—			18,663,214			—		18,663,214
Brazil		841,823			77,061,585			—		77,903,408
Canada		89,986,090			—			—		89,986,090
Chile		7,659,949			2,780,079			—		10,440,028
China		80,664,608			778,905,539			177,603		859,747,750
Colombia		83,110			—			—		83,110
Czech Republic		—			465,280			—		465,280
Denmark		—			2,963,944			—		2,963,944
Finland		—			5,967,360			—		5,967,360
France		10,322,697			170,006,619			—		180,329,316

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Germany	$	9,117,122	$	89,507,734	$	—	$	98,624,856
Greece		—		1,744,641		—		1,744,641
Hong Kong		—		36,208,870		—		36,208,870
Hungary		—		4,228,672		—		4,228,672
India		8,818,872		78,445,248		—		87,264,120
Indonesia		—		12,900,106		—		12,900,106
Ireland		8,204,016		39,599,145		—		47,803,161
Israel		—		630,981		—		630,981
Italy		—		92,085,697		—		92,085,697
Japan		—		407,220,004		—		407,220,004
Malaysia		—		17,723,227		—		17,723,227
Mexico		50,771,350		—		—		50,771,350
Netherlands		—		126,097,748		—		126,097,748
New Zealand		—		1,684,743		—		1,684,743
Norway		637,274		35,430,821		—		36,068,095
Pakistan		—		3,256,177		—		3,256,177
Philippines		—		5,730,141		—		5,730,141
Poland		—		57,706,378		—		57,706,378
Portugal		—		54,740,071		—		54,740,071
Qatar		—		9,671,476		—		9,671,476
Russia		4,591,215		300,989,603		—		305,580,818
Singapore		—		84,703,386		—		84,703,386
South Africa		—		80,129,300		—		80,129,300
South Korea		11,338,615		185,165,410		192,792		196,696,817
Spain		—		109,637,756		—		109,637,756
Sweden		—		62,599,846		—		62,599,846
Switzerland		—		82,195,307		—		82,195,307
Taiwan		18,669,913		357,236,158		—		375,906,071
Thailand		—		17,930,342		—		17,930,342
Turkey		—		44,775,629		—		44,775,629
United Arab Emirates		—		7,675,825		—		7,675,825
United Kingdom		63,061,542		279,577,704		—		342,639,246
United States		740,048,703		707,091		17,665,056		758,420,850
Vietnam		—		1,407,576		—		1,407,576
TOTAL COMMON STOCKS		1,104,816,899		3,812,742,123		18,035,451		4,935,594,473
Preferred Stocks
Brazil		—		21,225,054		—		21,225,054
Colombia		452,994		—		—		452,994
Germany		—		7,700,685		—		7,700,685
Russia		—		26,171,713		—		26,171,713
South Korea		—		48,326,957		—		48,326,957
Taiwan		—		508,245		—		508,245
TOTAL PREFERRED STOCKS		452,994		103,932,654		—		104,385,648
Rights/Warrants
United States		971,866		—		430,926		1,402,792
TOTAL RIGHTS/WARRANTS		971,866		—		430,926		1,402,792
Investment Funds
United States		35,531,425		—		26,837,717		62,369,142
TOTAL INVESTMENT FUNDS		35,531,425		—		26,837,717		62,369,142
Debt Obligations
Brazil		—		5,297,119		—		5,297,119
Israel		—		6,484,281		—		6,484,281
Italy		—		1,449,638		—		1,449,638
Jamaica		—		2,794,985		—		2,794,985
Luxembourg		—		—		3,826,859		3,826,859
Netherlands		—		6,049,257		—		6,049,257
Puerto Rico		—		11,744,974		—		11,744,974
Saint Lucia		—		4,234,578		4,585,231		8,819,809
United Kingdom		—		5,060,912		5,221,713		10,282,625

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations (continued)
United States	$	715,128,466		$	178,709,313		$	54,626,748	$	948,464,527
TOTAL DEBT OBLIGATIONS		715,128,466			221,825,057			68,260,551		1,005,214,074
Mutual Funds
United States		22,208,292			—			—		22,208,292
TOTAL MUTUAL FUNDS		22,208,292			—			—		22,208,292
Short-Term Investments		57,622,755			136,153,655			—		193,776,410
Purchased Options		718,680			—			—		718,680
Total Investments		1,937,451,377			4,274,653,489			113,564,645		6,325,669,511
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			14,786,722			—		14,786,722
Futures Contracts
Equity Risk		5,345,382			47,298			—		5,392,680
Interest Rate Risk		41,419			—			—		41,419
Physical Commodity Contract Risk		2,247,844			—			—		2,247,844
Swap Contracts
Credit Risk		—			9,083			—		9,083
Equity Risk		—			473,342			—		473,342
Interest Rate Risk		—			1,913,918			—		1,913,918
Total	$	1,945,086,022		$	4,291,883,852		$	113,564,645	$	6,350,534,519
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(4,682,356	)	$	—	$	(4,682,356	)
Brazil		(6,942,524	)		—			—		(6,942,524	)
Canada		(2,990,673	)		—			—		(2,990,673	)
Denmark		—			(10,477,885	)		—		(10,477,885	)
Finland		—			(3,243,394	)		—		(3,243,394	)
France		—			(13,791,927	)		—		(13,791,927	)
Germany		—			(10,191,233	)		—		(10,191,233	)
Hong Kong		—			(829,638	)		—		(829,638	)
Ireland		—			(25,263,305	)		—		(25,263,305	)
Israel		(4,046,406	)		—			—		(4,046,406	)
Japan		—			(17,403,666	)		—		(17,403,666	)
Netherlands		—			(1,058,308	)		—		(1,058,308	)
New Zealand		—			(8,907	)		—		(8,907	)
Norway		—			(51,176	)		—		(51,176	)
Singapore		—			(132,059	)		—		(132,059	)
Spain		—			(2,915,382	)		—		(2,915,382	)
Sweden		—			(1,528,415	)		—		(1,528,415	)
Switzerland		—			(86,519	)		—		(86,519	)
United Kingdom		(54,002,609	)		(14,292,188	)		—		(68,294,797	)
United States		(114,555,403	)		—			—		(114,555,403	)
TOTAL COMMON STOCKS		(182,537,615	)		(105,956,358	)		—		(288,493,973	)
Debt Obligations
United States		—			(9,026,298	)		—		(9,026,298	)
TOTAL DEBT OBLIGATIONS		—			(9,026,298	)		—		(9,026,298	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(48,829,903	)		—		(48,829,903	)
Futures Contracts
Equity Risk		(132,414,377	)		(142,092,004	)		—		(274,506,381	)
Interest Rate Risk		(59,035	)		—			—		(59,035	)
Physical Commodity Contract Risk		(128,453	)		—			—		(128,453	)
Written Options
Equity Risk		(1,710,102	)		—			—		(1,710,102	)
Swap Contracts
Credit Risk		—			(611,037	)		—		(611,037	)

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Derivatives^ (continued)
Swap Contracts (continued)
Equity Risk	$	—		$	(2,023,709	)	$	—	$	(2,023,709	)
Interest Rate Risk		—			(3,035,089	)		—		(3,035,089	)
Total	$	(316,849,582	)	$	(311,574,398	)	$	—	$	(628,423,980	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	269,142,544		$	—		$	—	$	269,142,544
Short-Term Investments		126,980			—			—		126,980
Total Investments		269,269,524			—			—		269,269,524
Total	$	269,269,524		$	—		$	—	$	269,269,524
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	689,608,215		$	—		$	—	$	689,608,215
Short-Term Investments		257,034			—			—		257,034
Total Investments		689,865,249			—			—		689,865,249
Total	$	689,865,249		$	—		$	—	$	689,865,249
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	317,369,800		$	—		$	—	$	317,369,800
U.S. Government Agency		9,000,997			—			—		9,000,997
TOTAL DEBT OBLIGATIONS		326,370,797			—			—		326,370,797
Short-Term Investments		9,659,909			1,281,052			—		10,940,961
Total Investments		336,030,706			1,281,052			—		337,311,758
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			3,248,949			—		3,248,949
Futures Contracts
Equity Risk		708,833			806,212			—		1,515,045
Interest Rate Risk		19,702			—			—		19,702
Physical Commodity Contract Risk		1,546,621			—			—		1,546,621
Total	$	338,305,862		$	5,336,213		$	—	$	343,642,075
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,830,895	)	$	—	$	(1,830,895	)
Futures Contracts
Equity Risk		(1,877,250	)		(367,988	)		—		(2,245,238	)
Interest Rate Risk		(38,102	)		—			—		(38,102	)
Physical Commodity Contract Risk		(106,735	)		—			—		(106,735	)
Total	$	(2,022,087	)	$	(2,198,883	)	$	—	$	(4,220,970	)
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Israel	$	15,785,430		$	—		$	—	$	15,785,430
New Zealand		—			14,327,004			—		14,327,004
United Kingdom		—			14,917,642			—		14,917,642
United States		222,831,328			—			—		222,831,328
TOTAL COMMON STOCKS		238,616,758			29,244,646			—		267,861,404
Short-Term Investments		53,908,335			294			—		53,908,629
Total Investments		292,525,093			29,244,940			—		321,770,033
Total	$	292,525,093		$	29,244,940		$	—	$	321,770,033

Description	Level 1		Level 2		Level 3			Total
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,533,886	$	—		$	1,533,886
Belgium		—		313,586		—			313,586
Brazil		—		1,097,382		—			1,097,382
Canada		2,209,181		—		—			2,209,181
China		—		3,493,386		—			3,493,386
Denmark		—		65,280		—			65,280
Finland		—		638,415		—			638,415
France		326,840		3,848,761		—			4,175,601
Germany		—		4,220,899		—			4,220,899
Hong Kong		—		1,550,068		—			1,550,068
India		16,032		54,601		—			70,633
Ireland		102,912		964,478		—			1,067,390
Italy		—		3,854,796		—			3,854,796
Japan		—		15,706,146		—			15,706,146
Malaysia		—		91,658		—			91,658
Malta		—		—		0	§		0	§
Mexico		550,684		—		—			550,684
Netherlands		—		5,165,791		—			5,165,791
New Zealand		—		1,312		—			1,312
Norway		—		1,357,061		—			1,357,061
Philippines		—		15,862		—			15,862
Poland		—		60,288		—			60,288
Portugal		—		2,182,625		—			2,182,625
Russia		—		1,628,807		—			1,628,807
Singapore		—		2,810,081		—			2,810,081
South Africa		—		292,426		—			292,426
South Korea		475,475		1,456,451		—			1,931,926
Spain		—		5,356,139		—			5,356,139
Sweden		—		2,801,227		—			2,801,227
Switzerland		—		1,016,246		—			1,016,246
Taiwan		—		1,111,533		—			1,111,533
Turkey		—		288,496		—			288,496
United Kingdom		537,072		12,380,613		—			12,917,685
United States		52,053,573		—		—			52,053,573
TOTAL COMMON STOCKS		56,271,769		75,358,300		0	§		131,630,069
Preferred Stocks
Brazil		—		160,518		—			160,518
Germany		—		109,238		—			109,238
Russia		—		81,010		—			81,010
South Korea		—		40,486		—			40,486
TOTAL PREFERRED STOCKS		—		391,252		—			391,252
Rights/Warrants
Japan		—		—		0	§		0	§
New Zealand		—		1,786		—			1,786
TOTAL RIGHTS/WARRANTS		—		1,786		0	§		1,786
Debt Obligations
United States		3,620,390		30,259,656		—			33,880,046
TOTAL DEBT OBLIGATIONS		3,620,390		30,259,656		—			33,880,046
Mutual Funds
United States		585,163,386		—		—			585,163,386
TOTAL MUTUAL FUNDS		585,163,386		—		—			585,163,386
Short-Term Investments		597,062		—		—			597,062
Total Investments		645,652,607		106,010,994		0	§		751,663,601
Derivatives^
Swap Contracts
Equity Risk		—		16,910		—			16,910
Total	$	645,652,607	$	106,027,904	$	0	§	$	751,680,511

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(61,099	)	$	—	$	(61,099	)
Brazil		(88,844	)		—			—		(88,844	)
Canada		(266,157	)		—			—		(266,157	)
Denmark		—			(1,370,272	)		—		(1,370,272	)
Germany		—			(792,775	)		—		(792,775	)
Japan		—			(531,567	)		—		(531,567	)
Netherlands		—			(88,083	)		—		(88,083	)
Spain		—			(1,290	)		—		(1,290	)
Switzerland		—			(253,486	)		—		(253,486	)
United Kingdom		(47,144	)		(85,634	)		—		(132,778	)
United States		(9,594,914	)		—			—		(9,594,914	)
TOTAL COMMON STOCKS		(9,997,059	)		(3,184,206	)		—		(13,181,265	)
Derivatives^
Futures Contracts
Equity Risk		(5,858,509	)		—			—		(5,858,509	)
Swap Contracts
Equity Risk		—			(142,977	)		—		(142,977	)
Total	$	(15,855,568	)	$	(3,327,183	)	$	—	$	(19,182,751	)

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.

§ Represents the interest in securities that were determined to have a value of zero at May 31, 2020.

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). Alternative Allocation Fund and Implementation Fund’s Level 3 holdings also includes a common stock which is valued based on expected proceeds to be received post-merger. In addition, Implementation Fund’s Level 3 holdings also include two common stocks which are priced at the average of broker bids. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at May 31, 2020.

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

	Balances as of February 29, 2020		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 May 31, 2020		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2020
Consolidated Alternative Allocation Fund
Common Stocks
United States	$	—	$	2,683,304	$	—	$	—	$	—	$	282,144	$	—	$	—	$	2,965,448	$	282,144
Investment Funds
United States		2,667,600		3,523,068		—		—		—		147,130		—		—		6,337,798		147,130
Total Investments	$	2,667,600	$	6,206,372	$	—	$	—	$	—	$	429,274	$	—	$	—	$	9,303,246		429,274

	Balances as of February 29, 2020		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 May 31, 2020		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2020
Consolidated Implementation Fund
Common Stocks
China	$	—	$	—	$	—		$	—	$	—		$	—		$	177,603	‡	$	—	$	177,603	$	—
South Korea		—		—		—			—		—			—			192,792	‡		—		192,792		—
United States		9,521,813		11,217,309		(2,326,544	)		—		109,513			(857,035	)		—			—		17,665,056		(857,035	)
Rights/Warrants
United States		430,926		—		—			—		—			—			—			—		430,926		—
Investment Funds
United States		29,566,080		3,005,316		(5,701,050	)		—		1,495,949			(1,528,578	)		—			—		26,837,717		(1,528,578	)
Debt Obligations
Bank Loans
Luxembourg		7,763,747		—		(2,625,750	)		22,988		(113,276	)		(1,220,850	)		—			—		3,826,859		(1,292,927	)
Saint Lucia		1,925,000		2,790,550		(5,625	)		20,678		—			(145,372	)		—			—		4,585,231		(145,372	)
United Kingdom		—		4,477,646		—			22,144		—			721,923			—			—		5,221,713		721,923
United States		67,533,991		23,443,545		(34,879,448	)		364,132		(11,573,958	)		(2,722,831	)		12,461,317	‡		—		54,626,748		(3,897,865	)
Total Investments	$	116,741,557	$	44,934,366	$	(45,538,417	)#	$	429,942	$	(10,081,772	)	$	(5,752,743	)	$	12,831,712		$	—	$	113,564,645	$	(6,999,854	)

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

# Includes $11,694,609 of proceeds received from partial calls and/or principal paydowns as applicable.

For Funds with material Level 3 investments, the following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2020.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology		Unobservable Inputs		Range (Weighted Average)
Alternative Allocation Fund
Common Stock		2,965,448		Fair Value		Corporate Action Election Terms		N/A (N/A)
Implementation Fund
Common Stock		9,761,840		Fair Value		Corporate Action Election Terms		N/A (N/A)
Common Stock		2,315,780		Fair Value		Discount Rate		30-50% (37.05%)
Common Stock		2,836,061		Fair Value		Most Relevant Broker Quote		$4.5-8 ($5.19)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2020, the value of these securities and/or derivatives for Alternative Allocation Fund and Implementation Fund was $6,337,798 and $98,650,964, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

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 May 31, 2020 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Consolidated Alternative Allocation Fund
GMO Emerging Markets Fund, Class VI	$	13,595,699	$	6,500,000	$	—	$	—		$	—	$	—		$	(1,094,086	)	$	19,001,613
GMO International Equity Fund, Class IV		9,097,096		4,970,000		—		—			—		—			(567,987	)		13,499,109
GMO Resources Fund, Class IV		6,568,271		4,300,000		—		—			—		—			774,012			11,642,283
Totals	$	29,261,066	$	15,770,000	$	—	$	—		$	—	$	—		$	(888,061	)	$	44,143,005
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	264,983,913	$	—	$	10,558,885	$	—		$	—	$	(454,601	)	$	(23,011,977	)	$	230,958,450
GMO High Yield Fund, Class VI		110,184,438		—		—		—			—		—			(3,647,027	)		106,537,411
GMO Implementation Fund		7,114,226,325		367,154,085		668,395,778		—			—		(96,024,352	)		(466,370,284	)		6,250,589,996
GMO Opportunistic Income Fund, Class VI		446,590,600		—		53,678,303		—			—		1,134,250			(14,168,973	)		379,877,574
GMO SGM Major Markets Fund, Class VI		664,643,917		—		469,333,785		—			—		(44,867,850	)		61,427,958			211,870,240
GMO Special Opportunities Fund, Class VI		195,830,895		50,000,000		110,376,516		—			—		(23,876,250	)		109,205,930			220,784,059
Totals	$	8,796,460,088	$	417,154,085	$	1,312,343,267	$	—		$	—	$	(164,088,803	)	$	(336,564,373	)	$	7,400,617,730
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	88,839,361	$	—	$	—	$	—		$	—	$	—		$	(8,058,582	)	$	80,780,779
GMO Emerging Markets Fund, Class VI		277,719,859		—		15,000,000		—			—		41,974			(17,237,828	)		245,524,005
GMO Opportunistic Income Fund, Class VI		174,387,661		—		14,000,000		—			—		330,653			(5,628,682	)		155,089,632
GMO SGM Major Markets Fund, Class VI		119,656,426		59,000,000		124,118,061		—			—		(425,095	)		4,942,233			59,055,503
GMO Special Opportunities Fund, Class VI		81,623,064		12,100,000		33,616,000		—			—		(10,665,849	)		48,509,546			97,950,761
GMO U.S. Treasury Fund		1,849,041		55,583,036		47,547,404		—	**		—		46,770			(3,673	)		9,927,770
Totals	$	744,075,412	$	126,683,036	$	234,281,465	$	—		$	—	$	(10,671,547	)	$	22,523,014		$	648,328,450

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	162,822,665	$	7,264,935	$	37,200,730	$	—		$	—	$	(1,773,627	)	$	(1,558,155	)	$	129,555,088
GMO Asset Allocation Bond Fund, Class VI		122,351,825		4,478,052		43,310,257		—			—		387,324			420,840			84,327,784
GMO Core Plus Bond Fund, Class IV		234,253,275		7,995,219		62,424,884		—			—		3,884,665			(1,747,949	)		181,960,326
GMO Cyclical Focus Fund, Class VI		—		38,860,000		—		—			—		—			3,536,260			42,396,260
GMO Emerging Country Debt Fund, Class IV		57,278,855		1,179,020		7,470,000		—			—		284,899			(4,953,278	)		46,319,496
GMO Emerging Markets Fund, Class VI		306,807,240		7,125,691		33,446,851		—			—		6,830,990			(25,888,653	)		261,428,417
GMO International Equity Fund, Class IV		375,344,309		58,559,086		119,882,819		—			—		(1,332,945	)		(20,257,769	)		292,429,862
GMO Opportunistic Income Fund, Class VI		33,470,164		—		5,822,936		—			—		243,528			(1,109,598	)		26,781,158
GMO Quality Fund, Class VI		29,476,103		—		3,955,714		—			—		225,066			790,270			26,535,725
GMO Risk Premium Fund, Class VI		31,514,461		639,165		13,772,747		90,479			548,686		(3,393,243	)		(1,117,664	)		13,869,972
GMO U.S. Equity Fund, Class VI		116,800,239		6,624,572		19,077,349		—			—		(854,769	)		3,512,186			107,004,879
GMO U.S. Small Cap Value Fund, Class VI		86,440,407		9,177,243		7,241,237		—			—		157,523			(9,831,580	)		78,702,356
GMO U.S. Treasury Fund		725,851		32,223,591		24,493,958		3,502			—		47,541			(2,818	)		8,500,207
Totals	$	1,557,285,394	$	174,126,574	$	378,099,482	$	93,981		$	548,686	$	4,706,952		$	(58,207,908	)	$	1,299,811,530
Global Developed Equity Allocation Fund
GMO Cyclical Focus Fund, Class VI	$	—	$	3,110,000	$	—	$	—		$	—	$	—		$	283,010		$	3,393,010
GMO Emerging Markets Fund, Class VI		7,608,658		—		701,371		—			—		53,925			(579,205	)		6,382,007
GMO International Equity Fund, Class IV		36,181,574		—		2,503,318		—			—		(434,349	)		(1,912,339	)		31,331,568
GMO Quality Fund, Class VI		9,214,489		—		1,312,995		—			—		(28,093	)		244,658			8,118,059
GMO U.S. Equity Fund, Class VI		13,571,810		—		3,731,676		—			—		(1,082,392	)		1,132,300			9,890,042
GMO U.S. Small Cap Value Fund, Class VI		6,770,087		1,031,920		129,805		—			—		(63,018	)		(533,101	)		7,076,083
Totals	$	73,346,618	$	4,141,920	$	8,379,165	$	—		$	—	$	(1,553,927	)	$	(1,364,677	)	$	66,190,769
Global Equity Allocation Fund
GMO Cyclical Focus Fund, Class VI	$	—	$	66,600,000	$	—	$	—		$	—	$	—		$	6,060,600		$	72,660,600
GMO Emerging Markets Fund, Class VI		405,390,168		564,706		25,332,993		—			—		4,451,390			(30,015,848	)		355,057,423
GMO International Equity Fund, Class IV		608,303,007		7,406,685		35,012,471		—			—		(1,699,714	)		(35,103,985	)		543,893,522
GMO Quality Fund, Class VI		197,661,153		886,826		15,598,790		—			—		152,141			6,904,477			190,005,807
GMO U.S. Equity Fund, Class VI		107,094,199		822,234		24,545,002		—			—		(1,095,406	)		3,052,283			85,328,308
GMO U.S. Small Cap Value Fund, Class VI		137,186,837		24,018,979		2,945,972		—			—		385,869			(12,011,082	)		146,634,631
Totals	$	1,455,635,364	$	100,299,430	$	103,435,228	$	—		$	—	$	2,194,280		$	(61,113,555	)	$	1,393,580,291
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	6,103,201	$	151,347,480	$	135,352,363	$	—	**	$	—	$	121,961		$	(11,987	)	$	22,208,292

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	30,679,613	$	760,471	$	2,835,487	$	—	$	—	$	122,265		$	(2,197,459	)	$	26,529,403
GMO International Equity Fund, Class IV		266,698,094		2,252,660		9,853,113		—		—		(1,475,275	)		(15,009,225	)		242,613,141
Totals	$	297,377,707	$	3,013,131	$	12,688,600	$	—	$	—	$	(1,353,010	)	$	(17,206,684	)	$	269,142,544
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	306,462,975	$	1,280,961	$	49,917,158	$	—	$	—	$	5,190,167		$	(26,692,873	)	$	236,324,072
GMO International Equity Fund, Class IV		550,104,514		8,466,251		68,016,964		—		—		(6,427,688	)		(30,841,970	)		453,284,143
Totals	$	856,567,489	$	9,747,212	$	117,934,122	$	—	$	—	$	(1,237,521	)	$	(57,534,843	)	$	689,608,215
Strategic Opportunities Allocation Fund
GMO Core Plus Bond Fund, Class IV	$	67,321,337	$	—	$	15,686,119	$	—	$	—	$	285,462		$	115,488		$	52,036,168
GMO Emerging Country Debt Fund, Class IV		27,054,909		—		—		—		—		—			(2,454,140	)		24,600,769
GMO Emerging Markets Fund, Class VI		182,753,835		—		—		—		—		—			(11,017,925	)		171,735,910
GMO International Equity Fund, Class IV		198,303,123		16,791,651		25,650,000		—		—		(6,670,446	)		(4,593,594	)		178,180,734
GMO Opportunistic Income Fund, Class VI		21,226,892		—		2,653,377		—		—		117,157			(687,868	)		18,002,804
GMO Quality Fund, Class VI		57,387,212		—		12,535,000		—		—		(756,985	)		839,635			44,934,862
GMO U.S. Equity Fund, Class VI		28,351,515		—		1,395,000		—		—		(658,901	)		1,265,333			27,562,947
GMO U.S. Small Cap Value Fund, Class VI		53,392,571		5,320,054		—		—		—		—			(5,603,903	)		53,108,722
GMO U.S. Treasury Fund		5,804,477		27,707,215		18,549,813		7,772		—		50,142			(11,551	)		15,000,470
Totals	$	641,595,871	$	49,818,920	$	76,469,309	$	7,772	$	—	$	(7,633,571	)	$	(22,148,525	)	$	585,163,386

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2020 through May 31, 2020. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2021.

** 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 $14,290 and $36,759 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

Subsequent events

Effective June 30, 2020, GMO Special Opportunities Fund no longer charges a purchase premium or redemption fee.

Subsequent to May 31, 2020, GMO Special Opportunities Fund received redemption requests in the amount of $143,407,252.

GMO received notification from an investor of their intention to redeem approximately $104,000,000 from GMO International Developed Equity Allocation Fund at the end of July 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.