GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 95.9%
		U.S. Government — 95.9%
	8,172,458	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)		8,983,213
	10,403,680	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a)		11,636,679
	15,043,616	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		18,236,467
	6,278,187	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (a)		7,206,100
	11,362,988	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (a)		13,176,331
	19,549,794	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		25,388,259
	16,387,920	U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/30 (a)		18,043,783
	14,414,704	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/30 (a)		15,956,965
		Total U.S. Government		118,627,797
		TOTAL DEBT OBLIGATIONS (COST $108,468,640)		118,627,797
		MUTUAL FUNDS — 3.6%
		United States — 3.6%
		Affiliated Issuers — 3.6%
	894,700	GMO U.S. Treasury Fund		4,509,289
		TOTAL MUTUAL FUNDS (COST $4,509,289)		4,509,289
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	411,936	State Street Institutional Treasury Money Market Fund-Premier Class, 0.01% (b)		411,936
		TOTAL SHORT-TERM INVESTMENTS (COST $411,936)		411,936
		TOTAL INVESTMENTS — 99.8% (Cost $113,389,865)		123,549,022
		Other Assets and Liabilities (net) — 0.2%		211,455
		TOTAL NET ASSETS — 100.0%		$123,760,477

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2020.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 96.7%
		Albania — 1.0%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		45,757,856
		Angola — 0.6%
		Foreign Government Obligations
	23,300,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		20,271,000
	7,300,000	Angolan Government International Bond, Reg S, 9.13%, due 11/26/49		6,259,750
		Total Angola		26,530,750
		Argentina — 2.9%
		Foreign Government Obligations
	11,490,713	Republic of Argentina, 1.00%, due 07/09/29		4,885,727
	23,333,493	Republic of Argentina, Step Up, 0.13%, due 07/09/30		9,100,062
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c)		938,083
	56,547,942	Republic of Argentina, Step Up, 0.13%, due 07/09/35		19,820,055
	72,008,994	Republic of Argentina, Step Up, 0.13%, due 01/09/38		28,093,064
JPY	323,575,000	Republic of Argentina, 0.67%, due 12/31/38 (c)		966,037
	141,261,240	Republic of Argentina, Step Up, 0.13%, due 07/09/41		51,281,617
	34,047,000	Republic of Argentina, Step Up, 0.13%, due 07/09/46		12,086,685
		Total Argentina		127,171,330
		Armenia — 0.5%
		Foreign Government Agency — 0.4%
	20,000,000	Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25		18,200,000
		Foreign Government Obligations — 0.1%
	2,195,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		2,456,342
		Total Armenia		20,656,342
		Azerbaijan — 1.4%
		Foreign Government Agency — 0.9%
	11,388,000	International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24		10,704,720
	18,950,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		19,145,422
	8,300,000	Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26		9,972,450
				39,822,592

Par Value†		Description	Value ($)
		Azerbaijan — continued
		Foreign Government Obligations — 0.5%
	20,300,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		22,431,500
		Total Azerbaijan		62,254,092
		Bahamas — 0.7%
		Foreign Government Obligations
	14,569,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		13,813,233
	6,163,000	Bahamas Government International Bond, Reg S, 6.95%, due 11/20/29		6,012,777
	11,400,000	Bahamas Government International Bond, 144A, 8.95%, due 10/15/32		12,312,000
		Total Bahamas		32,138,010
		Bahrain — 1.7%
		Foreign Government Obligations
	4,100,000	Bahrain Government International Bond, Reg S, 6.00%, due 09/19/44		4,157,656
	61,590,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		70,366,575
		Total Bahrain		74,524,231
		Barbados — 0.5%
		Foreign Government Obligations
	14,400,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		13,896,000
	7,600,000	Barbados Government International Bond, 144A, 6.50%, due 10/01/29		7,334,000
		Total Barbados		21,230,000
		Belarus — 0.5%
		Foreign Government Agency — 0.2%
	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24		8,259,885
		Foreign Government Obligations — 0.3%
	12,200,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30		12,226,688
		Total Belarus		20,486,573
		Belize — 0.5%
		Foreign Government Obligations
	52,833,700	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		23,577,039
		Bermuda — 0.2%
		Foreign Government Obligations
	7,990,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		9,675,391

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Bolivia — 0.2%
		Foreign Government Obligations
	9,200,000	Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28 (d)		8,308,750
		Brazil — 2.1%
		Corporate Debt — 0.5%
	22,662,254	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		24,457,530
		Foreign Government Agency — 1.1%
	40,039,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		46,827,112
		Foreign Government Obligations — 0.5%
	13,397,000	Republic of Brazil, 7.13%, due 01/20/37		17,880,808
	4,200,000	Republic of Brazil, 4.75%, due 01/14/50		4,437,563
				22,318,371
		Total Brazil		93,603,013
		Cameroon — 0.3%
		Foreign Government Obligations
	10,300,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		11,188,375
		Chile — 2.8%
		Corporate Debt — 1.3%
	24,100,000	Empresa de Transporte de Pasajeros Metro SA, Reg S, 4.70%, due 05/07/50		30,245,500
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 (a)		27,599,754
				57,845,254
		Foreign Government Agency — 1.5%
	8,800,000	Corp Nacional del Cobre de Chile, Reg S, 4.25%, due 07/17/42		10,169,500
	18,700,000	Corp Nacional del Cobre de Chile, 144A, 3.70%, due 01/30/50		20,435,594
	8,100,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		9,451,687
	23,750,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		26,028,516
				66,085,297
		Total Chile		123,930,551
		China — 0.3%
		Corporate Debt
	14,200,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		13,556,563
		Colombia — 2.0%
		Foreign Government Agency — 1.7%
	45,411,000	Ecopetrol SA, 7.38%, due 09/18/43		60,992,649
	3,800,000	Ecopetrol SA, 5.88%, due 05/28/45		4,504,710

Par Value†		Description	Value ($)
		Colombia — continued
		Foreign Government Agency — continued
COP	30,200,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		8,644,317
				74,141,676
		Foreign Government Obligations — 0.3%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		802,268
	3,800,000	Colombia Government International Bond, 11.85%, due 03/09/28 (c)		5,559,887
	4,800,000	Colombia Government International Bond, 5.63%, due 02/26/44		6,118,500
				12,480,655
		Total Colombia		86,622,331
		Congo Republic (Brazzaville) — 1.2%
		Foreign Government Obligations
	66,264,267	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		50,940,655
		Costa Rica — 1.2%
		Foreign Government Agency — 0.1%
	3,898,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		2,806,560
		Foreign Government Obligations — 1.1%
	18,200,000	Costa Rica Government International Bond, Reg S, 9.20%, due 08/26/26		18,916,616
	36,731,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		31,944,491
				50,861,107
		Total Costa Rica		53,667,667
		Czech Republic — 0.2%
		Corporate Debt
	5,458,000	CEZ AS, Reg S, 5.63%, due 04/03/42		6,600,103
		Dominican Republic — 2.7%
		Asset-Backed Securities — 0.3%
	11,231,033	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		11,606,570
		Foreign Government Obligations — 2.4%
	17,687,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		21,556,031
DOP	1,500,000,000	Dominican Republic International Bond, 144A, 10.38%, due 01/11/30		28,036,557
	10,500,000	Dominican Republic International Bond, 144A, 6.40%, due 06/05/49		11,628,750
	42,000,000	Dominican Republic International Bond, 144A, 5.88%, due 01/30/60		43,771,875
				104,993,213
		Total Dominican Republic		116,599,783

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Ecuador — 2.6%
		Foreign Government Obligations
	1,000,000	Ecuador Government International Bond, 5.00%, due 02/28/25 (c)		891,250
	9,746,892	Ecuador Government International Bond, Zero Coupon, 144A, due 07/31/30		4,313,000
	30,476,250	Ecuador Government International Bond, 144A, 0.50%, due 07/31/30		19,314,323
	101,887,125	Ecuador Government International Bond, 144A, 0.50%, due 07/31/35		55,528,483
	36,603,750	Ecuador Government International Bond, 144A, 0.50%, due 07/31/40		18,027,347
	19,875,364	Ecuador Social Bond Sarl, Zero Coupon, 144A, due 01/30/35		13,918,966
		Total Ecuador		111,993,369
		Egypt — 2.3%
		Foreign Government Obligations
	26,800,000	Egypt Government International Bond, Reg S, 7.90%, due 02/21/48		27,654,250
	33,900,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		37,173,469
	21,400,000	Egypt Government International Bond, 144A, 8.88%, due 05/29/50		23,787,437
	11,414,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		11,866,993
		Total Egypt		100,482,149
		El Salvador — 0.8%
		Foreign Government Obligations
	17,175,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		14,990,555
	22,500,000	El Salvador Government International Bond, 144A, 7.12%, due 01/20/50		18,745,312
		Total El Salvador		33,735,867
		Ethiopia — 0.2%
		Foreign Government Obligations
	6,690,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		6,568,744
		Gabon — 0.3%
		Foreign Government Obligations
	1,873,667	Gabonese Republic, Reg S, 6.38%, due 12/12/24		1,883,035
	13,000,000	Gabonese Republic, 144A, 6.63%, due 02/06/31		12,780,625
		Total Gabon		14,663,660
		Ghana — 0.9%
		Foreign Government Agency — 0.3%
	11,986,441	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		12,376,000

Par Value†		Description	Value ($)
		Ghana — continued
		Foreign Government Obligations — 0.6%
	13,000,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51		12,914,688
	14,300,000	Republic of Ghana, 144A, 8.75%, due 03/11/61		14,031,875
				26,946,563
		Total Ghana		39,322,563
		Grenada — 0.2%
		Foreign Government Obligations
	10,926,188	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		7,648,332
		Guatemala — 0.8%
		Foreign Government Obligations
	11,765,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		16,750,419
	14,700,000	Republic of Guatemala, 144A, 6.13%, due 06/01/50		18,742,500
		Total Guatemala		35,492,919
		Honduras — 0.1%
		Foreign Government Obligations
	3,200,000	Honduras Government International Bond, 144A, 5.63%, due 06/24/30		3,593,000
		India — 1.2%
		Corporate Debt — 1.1%
	29,700,000	Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29		29,477,250
	21,140,000	GMR Hyderabad International Airport Ltd, Reg S, 4.25%, due 10/27/27		19,699,838
				49,177,088
		Foreign Government Agency — 0.1%
	2,500,000	Indian Railway Finance Corp., Ltd., Reg S, 3.25%, due 02/13/30		2,650,781
		Total India		51,827,869
		Indonesia — 5.3%
		Foreign Government Agency — 3.6%
	14,700,000	Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30		16,353,750
	3,700,000	Indonesia Asahan Aluminium Persero PT, 144A, 5.45%, due 05/15/30		4,391,438
	15,000,000	Indonesia Asahan Aluminium Persero PT, 144A, 5.80%, due 05/15/50		18,487,500
	18,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		24,742,250
	8,100,000	Pertamina Persero PT, Reg S, 5.63%, due 05/20/43		10,140,107
	9,900,000	Pertamina Persero PT, Reg S, 4.15%, due 02/25/60		10,543,500
	8,000,000	Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48		10,627,500

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Indonesia — continued
		Foreign Government Agency — continued
	14,200,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		19,192,187
	5,300,000	Perusahaan Penerbit SBSN Indonesia III, 144A, 3.80%, due 06/23/50		5,849,875
	41,500,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		39,204,531
				159,532,638
		Foreign Government Obligations — 1.7%
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		61,808,653
	7,900,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47		10,657,594
				72,466,247
		Total Indonesia		231,998,885
		Israel — 0.4%
		Foreign Government Agency
	12,323,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		17,836,002
		Ivory Coast — 1.0%
		Foreign Government Obligations
EUR	33,200,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		42,486,205
		Jamaica — 0.8%
		Corporate Debt — 0.1%
	6,251,000	TransJamaican Highway Ltd, Reg S, 5.75%, due 10/10/36		6,184,583
		Foreign Government Agency — 0.3%
	11,400,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		12,283,500
		Foreign Government Obligations — 0.4%
	11,375,000	Jamaica Government International Bond, 7.88%, due 07/28/45		15,356,250
		Total Jamaica		33,824,333
		Jordan — 1.4%
		Foreign Government Obligations
	53,850,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		59,790,328
		Kazakhstan — 0.9%
		Foreign Government Agency
	9,000,000	Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42		12,760,312
	19,900,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		28,337,600
		Total Kazakhstan		41,097,912

Par Value†		Description	Value ($)
		Kenya — 0.8%
		Foreign Government Obligations
	32,600,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		36,440,687
		Kuwait — 0.4%
		Corporate Debt
	7,300,000	Equate Petrochemical BV, Reg S, 4.25%, due 11/03/26		7,952,438
	9,200,000	MEGlobal Canada ULC, 144A, 5.88%, due 05/18/30		11,189,500
		Total Kuwait		19,141,938
		Lebanon — 0.3%
		Foreign Government Obligations
	15,000,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (e)		1,875,000
	41,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (e)		4,992,600
	18,800,000	Lebanon Government International Bond, 8.20%, due 05/17/33 (e)		2,256,000
	42,944,000	Lebanon Government International Bond, 8.25%, due 05/17/34 (e)		5,153,280
		Total Lebanon		14,276,880
		Malaysia — 0.6%
		Foreign Government Agency
	10,700,000	1MDB Global Investments Ltd, Reg S, 4.40%, due 03/09/23		10,736,781
	11,700,000	Petronas Capital Ltd., 144A, 4.80%, due 04/21/60		17,078,344
		Total Malaysia		27,815,125
		Mexico — 6.0%
		Foreign Government Agency — 3.9%
	27,884,000	Petroleos Mexicanos, 6.35%, due 02/12/48		23,357,208
	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49		5,244,800
	131,800,000	Petroleos Mexicanos, 7.69%, due 01/23/50		121,288,950
	22,986,000	Petroleos Mexicanos, 6.95%, due 01/28/60		19,710,495
				169,601,453
		Foreign Government Obligations — 2.1%
	7,078,000	United Mexican States, 5.75%, due 10/12/2110		8,858,117
GBP	56,796,000	United Mexican States, 5.63%, due 03/19/2114		83,289,362
				92,147,479
		Total Mexico		261,748,932

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Mongolia — 0.1%
		Foreign Government Obligations
	2,400,000	Mongolia Government International Bond, 144A, 5.13%, due 04/07/26		2,532,000
		Morocco — 0.4%
		Foreign Government Agency
	14,500,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		18,510,156
		Mozambique — 0.2%
		Foreign Government Obligations
	9,276,000	Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31		8,075,918
		Nigeria — 0.9%
		Foreign Government Obligations
	7,400,000	Nigeria Government International Bond, Reg S, 8.75%, due 01/21/31		8,362,000
	10,700,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		11,074,500
	10,750,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		10,951,562
	7,600,000	Nigeria Government International Bond, Reg S, 9.25%, due 01/21/49		8,626,000
		Total Nigeria		39,014,062
		Oman — 2.7%
		Foreign Government Obligations
	28,000,000	Oman Government International Bond, 144A, 6.00%, due 08/01/29		27,728,750
	10,000,000	Oman Government International Bond, Reg S, 6.50%, due 03/08/47		9,109,375
	86,900,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		80,246,719
		Total Oman		117,084,844
		Pakistan — 0.7%
		Foreign Government Obligations
	28,762,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		29,355,216
		Panama — 1.6%
		Foreign Government Agency — 0.6%
	24,379,199	Aeropuerto Internacional de Tocumen SA, Reg S, 6.00%, due 11/18/48		27,947,704
		Foreign Government Obligations — 1.0%
	7,951,000	Panama Government International Bond, 8.13%, due 04/28/34		11,528,950
	9,000,000	Panama Government International Bond, 4.30%, due 04/29/53		11,233,125
	16,800,000	Panama Government International Bond, 4.50%, due 04/01/56		21,277,200
				44,039,275
		Total Panama		71,986,979

Par Value†		Description	Value ($)
		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		1,414,000
		Peru — 1.7%
		Foreign Government Agency — 1.1%
	9,289,451	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 (c)		8,968,036
	33,395,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		40,115,744
				49,083,780
		Foreign Government Obligations — 0.6%
	26,700,000	Peruvian Government International Bond, 3.23%, due 07/28/2121		26,299,500
		Total Peru		75,383,280
		Philippines — 1.6%
		Foreign Government Agency
	4,700,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		8,689,125
	40,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		59,930,474
		Total Philippines		68,619,599
		Qatar — 2.2%
		Foreign Government Agency — 0.3%
	13,378,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		14,084,526
		Foreign Government Obligations — 1.9%
	2,800,000	Qatar Government International Bond, 144A, 3.40%, due 04/16/25		3,080,875
	12,000,000	Qatar Government International Bond, 144A, 3.75%, due 04/16/30		14,055,000
	38,200,000	Qatar Government International Bond, 144A, 4.40%, due 04/16/50		50,424,000
	11,000,000	Qatar Government International Bond, Reg S, 5.10%, due 04/23/48		15,716,250
				83,276,125
		Total Qatar		97,360,651
		Romania — 0.8%
		Foreign Government Obligations
EUR	4,000,000	Romanian Government International Bond, 144A, 2.63%, due 12/02/40		4,807,187
EUR	10,900,000	Romanian Government International Bond, 144A, 3.38%, due 01/28/50		14,383,541
	16,100,000	Romanian Government International Bond, 144A, 4.00%, due 02/14/51		17,609,375
		Total Romania		36,800,103

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Russia — 2.5%
		Foreign Government Agency — 0.5%
	21,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27		22,252,725
		Foreign Government Obligations — 2.0%
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35		42,786,875
	8,800,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35		11,074,250
	4,400,000	Russian Foreign Bond, Reg S, 5.88%, due 09/16/43		6,232,875
	20,800,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		28,281,500
				88,375,500
		Total Russia		110,628,225
		Saudi Arabia — 3.0%
		Corporate Debt — 1.2%
	26,550,000	ACWA Power Management And Investments One Ltd, Reg S, 5.95%, due 12/15/39		31,196,250
	21,400,000	Saudi Arabian Oil Co., 144A, 3.50%, due 11/24/70		21,532,252
				52,728,502
		Foreign Government Obligations — 1.8%
	62,300,000	Saudi Government International Bond, 144A, 4.50%, due 04/22/60		79,276,750
		Total Saudi Arabia		132,005,252
		Senegal — 0.3%
		Foreign Government Obligations
	14,000,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		15,172,500
		South Africa — 4.0%
		Foreign Government Agency — 0.7%
	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		13,901,750
	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		14,598,750
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,571,347
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,124,644
				32,196,491
		Foreign Government Obligations — 3.3%
ZAR	543,600,000	Republic of South Africa Government International Bond, 6.50%, due 02/28/41		22,555,143
	13,700,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		13,156,281
	12,600,000	Republic of South Africa Government International Bond, 6.30%, due 06/22/48		12,911,063

Par Value†		Description	Value ($)
		South Africa — continued
		Foreign Government Obligations — continued
	97,400,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		93,686,625
				142,309,112
		Total South Africa		174,505,603
		Sri Lanka — 1.4%
		Foreign Government Obligations
	9,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		5,623,100
	13,644,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		8,015,850
	34,500,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28		20,333,437
	8,800,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29		5,192,000
	35,300,000	Sri Lanka Government International Bond, 144A, 7.55%, due 03/28/30		20,654,383
		Total Sri Lanka		59,818,770
		SupraNational — 0.3%
		Foreign Government Agency
TRY	263,000,000	International Finance Corp., Zero Coupon, Reg S, due 02/15/29		12,880,274
		Suriname — 0.4%
		Foreign Government Obligations
	14,000,000	Republic of Suriname, 144A, 12.88%, due 12/30/23(e)		9,108,750
	19,759,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26(e)		9,836,277
		Total Suriname		18,945,027
		Tajikistan — 0.3%
		Foreign Government Obligations
	13,874,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		11,155,563
		Trinidad And Tobago — 1.0%
		Foreign Government Agency
	9,800,000	Telecommunications Services of Trinidad & Tobago Ltd, 144A, 8.88%, due 10/18/29		9,922,500
	4,027,000	Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27		4,201,923
	24,388,000	Trinidad Petroleum Holdings Ltd, Reg S, 9.75%, due 06/15/26		27,444,121
		Total Trinidad And Tobago		41,568,544
		Tunisia — 1.4%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30(c)		45,023,108

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Tunisia — continued
		Foreign Government Agency — continued
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		14,866,705
		Total Tunisia		59,889,813
		Turkey — 4.0%
		Foreign Government Agency — 0.5%
	10,600,000	Export Credit Bank of Turkey, Reg S, 6.13%, due 05/03/24		10,653,000
	3,300,000	TC Ziraat Bankasi AS, Reg S, 5.13%, due 09/29/23		3,240,187
	8,200,000	Turkiye Vakiflar Bankasi TAO, Reg S, 5.75%, due 01/30/23		8,169,250
				22,062,437
		Foreign Government Obligations — 3.5%
	9,500,000	Republic of Turkey, 6.88%, due 03/17/36		9,850,313
	16,544,000	Republic of Turkey, 6.75%, due 05/30/40		16,781,820
	51,802,000	Republic of Turkey, 6.00%, due 01/14/41		48,467,246
	23,600,000	Republic of Turkey, 6.63%, due 02/17/45		23,474,625
	59,013,000	Republic of Turkey, 5.75%, due 05/11/47		53,019,492
				151,593,496
		Total Turkey		173,655,933
		Ukraine — 2.8%
		Foreign Government Agency — 0.6%
EUR	3,800,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24		4,624,905
	15,500,000	NAK Naftogaz Ukraine via Kondor Finance Plc, 144A, 7.63%, due 11/08/26		15,655,000
	1,885,050	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		1,993,441
	2,001,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		2,101,050
				24,374,396
		Foreign Government Obligations — 2.2%
	8,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		9,363,016
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		7,236,915
	15,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		16,586,608
	3,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		4,284,918
	30,200,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32		32,398,937

Par Value†		Description	Value ($)
		Ukraine — continued
		Foreign Government Obligations — continued
	26,500,000	Ukraine Government International Bond, 144A, 7.25%, due 03/15/33		28,131,406
				98,001,800
		Total Ukraine		122,376,196
		United Arab Emirates — 1.7%
		Foreign Government Agency — 1.1%
	3,100,000	DAE Sukuk Difc Ltd., 144A, 3.75%, due 02/15/26		3,123,250
	10,000,000	DP World Plc, Reg S, 6.85%, due 07/02/37		13,212,500
	14,000,000	DP World Plc, Reg S, 4.70%, due 09/30/49		15,470,000
	15,100,000	Finance Department Government of Sharjah, 144A, 4.00%, due 07/28/50		15,553,000
				47,358,750
		Foreign Government Obligations — 0.6%
	15,700,000	Abu Dhabi Government International Bond, 144A, 3.13%, due 09/30/49		17,034,500
	9,100,000	Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70		8,659,218
				25,693,718
		Total United Arab Emirates		73,052,468
		United States — 6.3%
		Asset-Backed Securities — 0.4%
	1,929,757	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.38%, due 12/15/35		1,835,188
	874,972	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.38%, due 12/15/35		857,047
	1,394,734	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 0.34%, due 05/15/36		1,309,105
	9,216,784	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 0.30%, due 11/25/36		4,348,369
	9,339,674	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 0.37%, due 11/25/36		4,465,330
	4,876,405	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 0.51%, due 04/25/37		2,552,829
				15,367,868

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — 0.0%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/2169		524,147
	1,417,119	AMBAC LSNI LLC, 3 mo. LIBOR + 5.00%, 6.00%, due 02/12/23		1,411,804
				1,935,951
		U.S. Government — 5.9%
	75,000,000	U.S. Treasury Note, 1.75%, due 02/28/22 (f)		76,523,437
	60,000,000	U.S. Treasury Note, 0.13%, due 04/30/22		60,002,344
	102,000,000	U.S. Treasury Note, 0.13%, due 05/31/22		101,988,047
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.14%, due 07/31/22		20,002,563
				258,516,391
		Total United States		275,820,210
		Uruguay — 1.2%
		Foreign Government Obligations
	38,218,000	Uruguay Government International Bond, 5.10%, due 06/18/50		52,406,432
		Uzbekistan — 0.5%
		Foreign Government Obligations
	11,700,000	Republic of Uzbekistan Bond, Reg S, 5.38%, due 02/20/29		13,250,250
	7,600,000	Republic of Uzbekistan Bond, 144A, 3.70%, due 11/25/30		7,714,000
		Total Uzbekistan		20,964,250
		Venezuela — 0.9%
		Foreign Government Agency — 0.2%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/49 (c) (e)		1,114,650
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (e)		5,632,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (e)		2,013,928
				8,760,578
		Foreign Government Obligations — 0.7%
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (e)		630,000
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (e)		1,712,520
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (e)		3,294,000
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (e)		2,137,500
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (e)		15,551,370

Par Value†		Description	Value ($)
		Venezuela — continued
		Foreign Government Obligations — continued
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (e)		6,183,000
				29,508,390
		Total Venezuela		38,268,968
		Vietnam — 0.7%
		Foreign Government Agency — 0.6%
	28,058,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		23,533,648
		Foreign Government Obligations — 0.1%
	6,498,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 1.13%, due 03/13/28 (c)		5,848,200
		Total Vietnam		29,381,848
		Zambia — 0.3%
		Foreign Government Obligations
	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22		1,690,875
	27,572,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27		13,122,549
		Total Zambia		14,813,424
		TOTAL DEBT OBLIGATIONS (COST $4,364,480,089)		4,224,251,212
		LOAN ASSIGNMENTS — 0.4%
		Chad — 0.3%
	7,592,186	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 2.23%, due 09/30/25 (c)		3,416,484
	20,774,455	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 2.48%, due 12/31/27 (c)		9,348,505
		Total Chad		12,764,989
		Indonesia — 0.0%
EUR	197,725	Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21 (a)		232,155
		Kenya — 0.1%
	5,475,000	Republic of Kenya Loan Agreement, 9.17%, due 04/10/25 (a)		5,446,047
		TOTAL LOAN ASSIGNMENTS (COST $24,012,721)		18,443,191

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		LOAN PARTICIPATIONS — 0.9%
		Angola — 0.7%
	12,731,250	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.51%, due 12/13/23 (c)		11,076,187
	7,283,938	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.51%, due 12/20/23 (c)		6,337,026
	12,666,667	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		10,893,333
	819,000	Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 4.98%, due 12/07/23 (c)		712,530
		Total Angola		29,019,076
		Egypt — 0.0%
CHF	14,152	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a)		12,689
		Iraq — 0.2%
EUR	839,462	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (a)		631,835
JPY	2,173,530,179	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		9,160,168
JPY	283,992,408	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,197,040
JPY	120,710,790	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		506,027
		Total Iraq		11,495,070
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (e)		3
		TOTAL LOAN PARTICIPATIONS (COST $66,121,301)		40,526,838
		MUTUAL FUNDS — 1.7%
		United States — 1.7%
		Affiliated Issuers — 1.7%
	14,838,144	GMO U.S. Treasury Fund		74,784,247
		TOTAL MUTUAL FUNDS (COST $74,296,430)		74,784,247

Par Value† / Shares		Description	Value ($)
		RIGHTS/WARRANTS — 0.4%
		Argentina — 0.0%
EUR	335,089,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (g)		799,424
JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (c) (g)		36,163
		Total Argentina		835,587
		Ukraine — 0.4%
	14,446,000	Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (g)		14,310,569
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, Variable Rate, Expires 01/02/21 (a) (g)		—
		TOTAL RIGHTS/WARRANTS (COST $49,378,720)		15,146,156
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	8,350,363	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (h)		8,350,363
		TOTAL SHORT-TERM INVESTMENTS (COST $8,350,363)		8,350,363
		TOTAL INVESTMENTS — 100.3% (Cost $4,586,639,624)		4,381,502,007
		Other Assets and Liabilities (net) — (0.3%)		(13,915,614	)
		TOTAL NET ASSETS — 100.0%		$4,367,586,393

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/19/2021	MSCI		COP	30,200,000,000		USD	8,280,779		(99,902	)
01/19/2021	BOA		EUR	49,161,600		USD	57,640,747		(1,088,873	)
01/19/2021	MSCI		GBP	49,311,000		USD	63,748,028		(2,036,479	)
01/19/2021	SSB		GBP	12,000,000		USD	15,644,954		(363,930	)
01/19/2021	MSCI		JPY	8,000,000,000		USD	76,135,521		(570,336	)
								$	(4,159,520	)

Reverse Repurchase Agreements⁽ⁱ⁾

Face Value		Description	Value ($)
USD	8,599,044	JP Morgan Securities, Inc., (0.50)%, dated 11/18/20 (collateral: Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.	$	(8,599,044)
		Average balance outstanding	$	(8,719,100	)
		Average interest rate (net)		0.46	%
		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.

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)		(730,000	)		28,747
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	)		(194,255	)
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)		(69,684	)		80,085
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)		(1,055,749	)		342,057
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)		(3,603,111	)		187,681
					$	(6,406,016	)	$	444,315

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	140,060,000		1.00	%		0.95	%		N/A		06/20/2024		Quarterly	$	4,376,875	$	(75,072	)	$	(4,451,947	)

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 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%		7.08%		N/A		12/20/2020		Quarterly		7,730,397			208,064			(7,522,333	)
Republic of South Africa	CITI	USD	26,200,000		1.00%		1.23%		N/A		12/20/2022		Quarterly		659,930			123,499			(536,431	)
Republic of South Africa	GS	USD	9,700,000		1.00%		1.23%		N/A		12/20/2022		Quarterly		152,652			45,723			(106,929	)
Petrobras Global Finance BV	CITI	USD	37,000,000		1.00%		1.55%		N/A		06/20/2024		Quarterly		1,923,458			708,277			(1,215,181	)
Commonwealth of Bahamas	DB	EUR	44,558,436		1.00%		5.95%		N/A		06/20/2025		Quarterly		6,171,081			5,800,961			(370,120	)
Republic of South Africa	GS	USD	41,800,000		1.00%		2.29%		N/A		12/20/2025		Quarterly		4,006,975			2,579,274			(1,427,701	)
Republic of Turkey	CITI	USD	15,000,000		1.00%		3.83%		N/A		12/20/2025		Quarterly		2,748,570			1,923,352			(825,218	)
Republic of Turkey	GS	USD	12,000,000		1.00%		3.83%		N/A		12/20/2025		Quarterly		2,223,997			1,538,682			(685,315	)
Republic of Turkey	GS	USD	5,000,000		1.00%		3.83%		N/A		12/20/2025		Quarterly		947,400			641,117			(306,283	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.39%		N/A		06/20/2029		Quarterly		1,589,641			633,225			(956,416	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.55%		N/A		09/20/2031		Quarterly		2,640,655			1,066,765			(1,573,890	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	61,270,000		1.00%		7.07%		61,270,000 USD		12/20/2020		Quarterly		(7,515,364	)		(206,219	)		7,309,145
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		6.16%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(415,337	)		226,126
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		6.16%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(830,794	)		433,121
Commonwealth of Bahamas	DB	USD	59,796,571		1.00%		5.94%		59,796,571 USD		06/20/2025		Quarterly		(6,983,424	)		(6,421,255	)		562,169
Republic of Malaysia	CITI	USD	17,200,000		1.00%		0.62%		17,200,000 USD		12/20/2028		Quarterly		(845,599	)		514,482			1,360,081
														$	13,544,991		$	7,909,816		$	(5,635,175	)

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

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

(1) As of November 30, 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) ($)
0.53%	6 Month EURIBOR		EUR	30,000,000		01/24/2050		Semi-Annual		(29,167	)		(5,706,889	)		(5,677,722	)
0.18%	GBP - SONIA - COMPOUND		GBP	6,410,000		04/22/2050		Annually		7,914			535,304			527,390
									$	(21,253	)	$	(5,171,585	)	$	(5,150,332	)

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

As of November 30, 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) Investment valued using significant unobservable inputs.

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

(e) Security is in default.

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

(h) The rate disclosed is the 7 day net yield as of November 30, 2020.

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

The rates shown on variable rate notes are the current interest rates at November 30, 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.

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

Counterparty Abbreviations:

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

CHF - Swiss Franc

COP - Colombian Peso

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)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 33.6%
		Corporate Debt — 33.5%
		Australia — 0.1%
	180,000	North Queensland Export Terminal Pty Ltd., 144A, 4.45%, due 12/15/22		170,222
		Canada — 2.3%
	625,000	Cenovus Energy, Inc., 5.38%, due 07/15/25		689,230
	1,000,000	Cenovus Energy, Inc., 5.25%, due 06/15/37		1,046,544
	1,125,000	Methanex Corp., 5.25%, due 12/15/29		1,178,578
	125,000	Mountain Province Diamonds, Inc., 144A, 8.00%, due 12/15/22		106,406
	500,000	Quebecor Media, Inc., 5.75%, due 01/15/23		540,500
	375,000	Taseko Mines Ltd., 144A, 8.75%, due 06/15/22		370,313
		Total Canada		3,931,571
		Germany — 0.6%
	1,000,000	ZF North America Capital, Inc., 144A, 4.75%, due 04/29/25		1,057,500
		Luxembourg — 1.0%
	500,000	ArcelorMittal SA, 3.60%, due 07/16/24		531,945
	875,000	ArcelorMittal SA, 7.25%, due 10/15/39		1,160,486
		Total Luxembourg		1,692,431
		New Zealand — 0.4%
	750,000	Trilogy International Partners LLC / Trilogy International Finance, Inc., 144A, 8.88%, due 05/01/22		708,750
		Sweden — 0.2%
	375,000	Telefonaktiebolaget LM Ericsson, 4.13%, due 05/15/22		389,531
		United Kingdom — 1.1%
	500,000	Avon Products, Inc., 7.00%, due 03/15/23		541,105
	44,000	Global Ship Lease, Inc., 144A, 9.88%, due 11/15/22		44,990
	190,000	Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23		188,006
	1,125,000	Rolls-Royce Plc, 144A, 3.63%, due 10/14/25		1,103,906
		Total United Kingdom		1,878,007

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — 27.8%
	125,000	Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23		128,188
	375,000	Ally Financial, Inc., 5.75%, due 11/20/25		437,914
	1,000,000	Antero Resources Corp., 5.13%, due 12/01/22		950,000
	1,125,000	Apache Corp., 5.35%, due 07/01/49		1,091,250
	625,000	Arconic Corp., 144A, 6.00%, due 05/15/25		673,437
	500,000	Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 144A, 10.50%, due 05/15/25		583,665
	375,000	Buckeye Partners LP, 4.35%, due 10/15/24		376,875
	625,000	Carnival Corp., 144A, 11.50%, due 04/01/23		711,719
	750,000	CCO Holdings LLC / CCO Holdings Capital Corp., 144A, 5.38%, due 06/01/29		819,375
	625,000	CHS/Community Health Systems, Inc., 6.25%, due 03/31/23		638,281
	875,000	Cinemark USA, Inc., 5.13%, due 12/15/22		849,297
	375,000	Cleaver-Brooks, Inc., 144A, 7.88%, due 03/01/23		371,250
	250,000	Cleveland-Cliffs, Inc., 144A, 9.88%, due 10/17/25		291,563
	1,375,000	Continental Resources, Inc., 3.80%, due 06/01/24		1,390,826
	366,000	Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, due 04/01/23		367,658
	875,000	CSC Holdings LLC, 6.75%, due 11/15/21		915,333
	250,000	CSC Holdings LLC, 5.88%, due 09/15/22		265,938
	1,125,000	Delta Air Lines, Inc., 4.38%, due 04/19/28		1,102,060
	625,000	DISH DBS Corp., 5.88%, due 07/15/22		656,425
	125,000	Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 02/15/23		120,000
	1,375,000	EQM Midstream Partners LP, 4.75%, due 07/15/23		1,402,500
	875,000	Fluor Corp., 3.50%, due 12/15/24		855,312
	1,250,000	Ford Motor Credit Co. LLC, 4.13%, due 08/04/25		1,293,750
	480,000	Ford Motor Credit Co. LLC, 4.39%, due 01/08/26		499,200
	2,627,000	Ford Motor Credit Co. LLC, 3.82%, due 11/02/27		2,646,151
	500,000	Gap, Inc. (The), 144A, 8.38%, due 05/15/23		566,250
	500,000	Gap, Inc. (The), 144A, 8.88%, due 05/15/27		580,000
	375,000	Genworth Holdings, Inc., 7.20%, due 02/15/21		374,531
	625,000	Genworth Mortgage Holdings, Inc., 144A, 6.50%, due 08/15/25		665,625
	181,000	HC2 Holdings, Inc., 144A, 11.50%, due 12/01/21		177,380
	250,000	Hillman Group, Inc. (The), 144A, 6.38%, due 07/15/22		248,113

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	250,000	iStar, Inc., REIT, 5.50%, due 02/15/26		250,625
	500,000	KB Home, 4.80%, due 11/15/29		550,000
	470,000	Kraft Heinz Foods Co., 3.95%, due 07/15/25		518,401
	625,000	Kraft Heinz Foods Co., 144A, 3.88%, due 05/15/27		676,204
	500,000	Kraft Heinz Foods Co., 6.75%, due 03/15/32		667,781
	625,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, REIT, 4.25%, due 02/01/27		577,344
	696,000	Macy’s Retail Holdings LLC, 3.88%, due 01/15/22		686,865
	898,000	Macy’s Retail Holdings LLC, 2.88%, due 02/15/23		835,140
	1,039,000	Michael Kors USA, Inc., 144A, 4.50%, due 11/01/24		1,049,390
	375,000	Netflix, Inc., 4.38%, due 11/15/26		415,781
	625,000	Newell Brands, Inc., 4.70%, due 04/01/26		673,325
	1,075,000	Nordstrom, Inc., 4.00%, due 03/15/27		1,044,700
	500,000	Nuance Communications, Inc., 5.63%, due 12/15/26		528,305
	500,000	Occidental Petroleum Corp., 2.90%, due 08/15/24		466,250
	500,000	Occidental Petroleum Corp., 4.30%, due 08/15/39		412,500
	2,375,000	Occidental Petroleum Corp., 4.40%, due 08/15/49		1,929,687
	375,000	OneMain Finance Corp., 6.63%, due 01/15/28		430,312
	250,000	OneMain Finance Corp., 7.75%, due 10/01/21		261,875
	375,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26		406,875
	1,125,000	QVC, Inc., 5.45%, due 08/15/34		1,130,625
	625,000	RHP Hotel Properties LP / RHP Finance Corp., REIT, 5.00%, due 04/15/23		621,875
	375,000	Rockies Express Pipeline LLC, 144A, 3.60%, due 05/15/25		384,375
	625,000	Royal Caribbean Cruises Ltd., 144A, 10.88%, due 06/01/23		707,031
	250,000	Royal Caribbean Cruises Ltd., 144A, 11.50%, due 06/01/25		293,594
	525,000	RR Donnelley & Sons Co., 8.25%, due 07/01/27		551,250
	625,000	Sealed Air Corp., 144A, 5.25%, due 04/01/23		664,656
	500,000	Service Properties Trust, REIT, 4.50%, due 03/15/25		475,000
	1,125,000	Service Properties Trust, REIT, 4.38%, due 02/15/30		1,055,250
	625,000	Southwestern Energy Co., 6.45%, due 01/23/25		639,062

Par Value† / Shares		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	1,000,000	Spirit AeroSystems, Inc., 3.85%, due 06/15/26		1,027,700
	250,000	Sprint Communications, Inc., 11.50%, due 11/15/21		272,813
	750,000	Sprint Corp., 7.88%, due 09/15/23		864,375
	625,000	Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.00%, due 01/15/28		651,562
	375,000	Toll Brothers Finance Corp., 5.88%, due 02/15/22		389,880
	250,000	Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.00%, due 04/15/23		255,313
	625,000	Urban One, Inc., 144A, 8.75%, due 12/15/22		604,687
	250,000	Vericast Corp., 144A, 8.38%, due 08/15/22		255,313
	375,000	Veritas US, Inc. / Veritas Bermuda Ltd., 144A, 7.50%, due 02/01/23		377,813
	375,000	Western Midstream Operating LP, 4.00%, due 07/01/22		381,563
	500,000	Western Midstream Operating LP, 5.05%, due 02/01/30		534,022
	1,125,000	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 144A, 4.25%, due 05/30/23		1,130,625
		Total Corporate Debt		47,699,610
		U.S. Government — 0.1%
	150,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.24%, due 01/31/22 (a)		150,186
		Total United States		47,849,796
		TOTAL DEBT OBLIGATIONS (COST $54,173,622)		57,677,808
		INVESTMENT FUNDS — 50.4%
		United States — 50.4%
	1,003,674	iShares iBoxx $ High Yield Corporate Bond ETF		86,637,140
		TOTAL INVESTMENT FUNDS (COST $84,041,230)		86,637,140
		SHORT-TERM INVESTMENTS — 14.2%
		Foreign Government Obligations — 8.4%
JPY	1,500,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/12/21		14,369,577
		Money Market Funds — 0.2%
	406,249	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		406,249

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government — 5.6%
	1,000,000	U.S. Treasury Bill, 0.72%, due 01/14/21 (a)(c)		999,911
	8,700,000	U.S. Treasury Bill, 0.01%, due 11/04/21 (c)		8,691,015
		Total U.S. Government		9,690,926
		TOTAL SHORT-TERM INVESTMENTS (COST $24,331,500)		24,466,752
		TOTAL INVESTMENTS — 98.2% (Cost $162,546,352)		168,781,700
		Other Assets and Liabilities (net) — 1.8%		3,099,857
		TOTAL NET ASSETS — 100.0%		$171,881,557

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/12/2021	DB	JPY	1,500,000,000	USD	14,275,925	$	(105,147	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
26	U.S. Treasury Note 2 Yr. (CBT)		March 2021		5,742,141		2,228
48	U.S. Treasury Note 5 Yr. (CBT)		March 2021		6,049,500		7,454
				$	11,791,641	$	9,682
Sales
7	U.S. Long Bond (CBT)		March 2021		1,224,344		(381	)
13	U.S. Treasury Note 10 Yr. (CBT)		March 2021		1,796,234		(4,278	)
11	U.S. Ultra Bond (CBT)		March 2021		2,376,344		7,974
				$	5,396,922	$	3,315

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

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.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity

Notional Amount

Annual Premium

Implied Credit Spread (1)

Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Sell Protection ^:

CDX.NA.HYS.35.V1-5Y

USD

23,712,000

5.00%

3.00%

23,712,000 USD

12/20/2025

Quarterly

$

851,660

$

2,133,203

$

1,281,543

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

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

⁽¹⁾  As of November 30, 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.

As of November 30, 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 November 30, 2020.

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

The rates shown on variable rate notes are the current interest rates at November 30, 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.

ETF - Exchange-Traded Fund

REIT - Real Estate Investment Trust.

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

Counterparty Abbreviations:

DB - Deutsche Bank AG

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 57.3%
		Brazil — 0.1%
		Corporate Debt
	150,000	Suzano Austria GmbH, 3.75%, due 01/15/31		158,100
		Canada — 0.3%
		Corporate Debt
	450,000	Bank of Nova Scotia (The), 0.55%, due 09/15/23		451,951
	350,000	Teck Resources Ltd, 6.25%, due 07/15/41		435,149
		Total Canada		887,100
		Chile — 0.1%
		Corporate Debt
	400,000	Enel Americas SA, 4.00%, due 10/25/26		441,250
		Germany — 0.9%
		Corporate Debt
	450,000	Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31		482,443
	1,250,000	Deutsche Bank AG, 3.95%, due 02/27/23		1,326,948
	400,000	Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25		433,656
	400,000	Deutsche Bank AG, 4.25%, due 10/14/21		410,441
		Total Germany		2,653,488
		Japan — 0.1%
		Corporate Debt
	400,000	Sumitomo Mitsui Financial Group Inc, 2.85%, due 01/11/22		410,990
		Switzerland — 0.4%
		Corporate Debt
	400,000	Credit Suisse Group AG, 3.75%, due 03/26/25		443,948
	300,000	Credit Suisse Group AG, 4.88%, due 05/15/45		417,262
	400,000	Credit Suisse Group Funding Guernsey Ltd, 3.80%, due 09/15/22		423,173
		Total Switzerland		1,284,383
		United Kingdom — 0.3%
		Corporate Debt
	400,000	AstraZeneca Plc, 2.38%, due 06/12/22		411,518
	400,000	AstraZeneca Plc, 3.13%, due 06/12/27		450,291
		Total United Kingdom		861,809

Par Value†		Description	Value ($)
		United States — 55.1%
		Asset-Backed Securities — 20.8%
	1,250,000	BAMLL Commercial Mortgage Securities Trust, Series 12-PARK, Class A, 144A, 2.96%, due 12/10/30		1,305,870
	5,100,000	CGRBS Commercial Mortgage Trust, Series 13-VN05, Class C, 144A, Variable Rate, 3.70%, due 03/13/35		5,383,303
	31,520,000	Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31		33,404,877
	2,210,000	Commercial Mortgage Trust, Series 13-WWP, Class B, 144A, 3.73%, due 03/10/31		2,355,424
	6,461,000	Commercial Mortgage Trust, Series 13-WWP, Class C, 144A, 3.54%, due 03/10/31		6,862,796
	6,310,000	Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31		6,746,905
	1,000,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class A, 144A, 3.35%, due 07/13/29		1,009,832
	490,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class B, 144A, Variable Rate, 3.56%, due 07/13/29		495,021
	250,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class E, 144A, Variable Rate, 3.56%, due 07/13/29		252,562
	300,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class F, 144A, Variable Rate, 3.56%, due 07/13/29		303,074
	375,000	Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33		379,811
	100,000	Morgan Stanley Capital I Trust, Series 14-MP, Class C, 144A, Variable Rate, 3.82%, due 08/11/33		101,387
	5,000,000	Morgan Stanley Capital I Trust, Series 14-MP, Class E, 144A, Variable Rate, 3.82%, due 08/11/33		5,069,351
		Total Asset-Backed Securities		63,670,213
		Corporate Debt — 16.1%
	400,000	Abbott Laboratories, 2.55%, due 03/15/22		411,765
	400,000	Abbott Laboratories, 2.95%, due 03/15/25		438,534
	350,000	Abbott Laboratories, 3.75%, due 11/30/26		408,411
	400,000	Ally Financial, Inc., 4.13%, due 02/13/22		416,730
	400,000	Ally Financial, Inc., 5.13%, due 09/30/24		458,755
	450,000	Alphabet, Inc., 0.45%, due 08/15/25		449,475
	450,000	Alphabet, Inc., 0.80%, due 08/15/27		447,870
	450,000	Amazon.com, Inc., 0.40%, due 06/03/23		451,295

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	450,000	Amazon.com, Inc., 0.80%, due 06/03/25		456,143
	400,000	Amazon.com, Inc., 3.30%, due 12/05/21		410,204
	300,000	Amgen, Inc., 5.15%, due 11/15/41		416,637
	450,000	Apple, Inc., 0.75%, due 05/11/23		455,357
	400,000	Apple, Inc., 2.15%, due 02/09/22		409,099
	400,000	Apple, Inc., 2.50%, due 02/09/22		410,011
	100,000	Apple, Inc., 4.65%, due 02/23/46		143,871
	400,000	Arrow Electronics, Inc., 3.88%, due 01/12/28		451,371
	400,000	Bank of America Corp., Variable Rate, 2.83%, due 10/24/51		419,699
	300,000	Bank of America Corp., Variable Rate, 4.33%, due 03/15/50		395,812
	350,000	Boeing Co. (The), 5.04%, due 05/01/27		400,891
	200,000	Boeing Co. (The), 5.71%, due 05/01/40		252,464
	350,000	Bunge Ltd. Finance Corp., 3.25%, due 08/15/26		384,122
	400,000	Bunge Ltd. Finance Corp., 3.75%, due 09/25/27		445,616
	400,000	Bunge Ltd. Finance Corp., 4.35%, due 03/15/24		441,221
	450,000	Caterpillar Financial Services Corp., 0.45%, due 09/14/23		450,955
	400,000	Caterpillar Financial Services Corp., 1.90%, due 09/06/22		411,270
	400,000	Caterpillar, Inc., 3.25%, due 09/19/49		473,921
	300,000	Caterpillar, Inc., 4.75%, due 05/15/64		452,054
	400,000	Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27		463,898
	350,000	Cheniere Corpus Christi Holdings LLC, 5.88%, due 03/31/25		401,014
	350,000	Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24		403,588
	400,000	Coca-Cola Co. (The), 2.95%, due 03/25/25		439,919
	350,000	Conagra Brands, Inc., 5.30%, due 11/01/38		469,171
	350,000	Corning, Inc., 5.45%, due 11/15/79		486,389
	400,000	Crown Castle International Corp., REIT, 5.25%, due 01/15/23		438,823
	350,000	Deere & Co., 3.75%, due 04/15/50		456,854
	400,000	DH Europe Finance II Sarl, 2.60%, due 11/15/29		440,760
	400,000	DH Europe Finance II Sarl, 3.25%, due 11/15/39		461,084
	400,000	DH Europe Finance II Sarl, 3.40%, due 11/15/49		476,423
	200,000	Discover Bank, 2.45%, due 09/12/24		211,367
	450,000	DuPont de Nemours, Inc., 2.17%, due 05/01/23		457,383
	350,000	DuPont de Nemours, Inc., 5.32%, due 11/15/38		477,088
	300,000	DuPont de Nemours, Inc., 5.42%, due 11/15/48		432,214

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	450,000	Enable Midstream Partners LP, 4.40%, due 03/15/27		435,785
	450,000	Enable Midstream Partners LP, 4.95%, due 05/15/28		443,116
	450,000	Equinix, Inc., REIT, 1.00%, due 09/15/25		450,685
	400,000	Estee Lauder Cos, Inc. (The), 2.60%, due 04/15/30		443,739
	450,000	Expedia Group, Inc., 3.25%, due 02/15/30		456,072
	450,000	Expedia Group, Inc., 3.80%, due 02/15/28		472,169
	400,000	Expedia Group, Inc., 5.00%, due 02/15/26		436,743
	400,000	FedEx Corp., 4.10%, due 04/15/43		473,253
	350,000	FedEx Corp., 5.10%, due 01/15/44		471,902
	300,000	FedEx Corp., 5.25%, due 05/15/50		427,281
	350,000	Fortive Corp., 4.30%, due 06/15/46		423,439
	400,000	GLP Capital LP / GLP Financing II, Inc., REIT, 4.00%, due 01/15/31		432,440
	250,000	Halliburton Co., 2.92%, due 03/01/30		255,959
	400,000	Halliburton Co., 4.85%, due 11/15/35		453,996
	300,000	Halliburton Co., 5.00%, due 11/15/45		337,934
	400,000	Home Depot, Inc. (The), 2.50%, due 04/15/27		437,000
	300,000	Home Depot, Inc. (The), 5.40%, due 09/15/40		441,362
	350,000	International Paper Co., 4.80%, due 06/15/44		462,592
	400,000	John Deere Capital Corp., 2.65%, due 01/06/22		410,322
	400,000	John Deere Capital Corp., 3.20%, due 01/10/22		412,843
	350,000	Johnson & Johnson, 3.63%, due 03/03/37		430,679
	350,000	JPMorgan Chase & Co., Variable Rate, 3.11%, due 04/22/51		391,529
	400,000	Linde Inc., 2.45%, due 02/15/22		408,042
	400,000	Marathon Petroleum Corp., 4.75%, due 09/15/44		446,212
	350,000	Marathon Petroleum Corp., 6.50%, due 03/01/41		444,456
	450,000	Marriott International Inc/MD, 3.50%, due 10/15/32		488,849
	400,000	Marriott International Inc/MD, 4.63%, due 06/15/30		461,843
	400,000	Marriott International Inc/MD, 5.75%, due 05/01/25		463,678
	300,000	Morgan Stanley, Variable Rate, 5.60%, due 03/24/51		484,232
	300,000	Morgan Stanley, 6.38%, due 07/24/42		491,378
	350,000	Mosaic Co. (The), 5.45%, due 11/15/33		432,260
	350,000	Mosaic Co. (The), 5.63%, due 11/15/43		440,612
	400,000	MPLX LP, 5.25%, due 01/15/25		410,987

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	400,000	NextEra Energy Capital Holdings, Inc., Variable Rate, 4.80%, due 12/01/77		439,531
	350,000	NextEra Energy Capital Holdings, Inc., Variable Rate, 5.65%, due 05/01/79		410,640
	350,000	NIKE, Inc., 3.38%, due 03/27/50		422,339
	350,000	ONEOK, Inc., 6.35%, due 01/15/31		433,877
	350,000	PacifiCorp, 4.15%, due 02/15/50		457,068
	400,000	Procter & Gamble Co. (The), 1.70%, due 11/03/21		405,518
	400,000	Procter & Gamble Co. (The), 2.30%, due 02/06/22		409,843
	400,000	Procter & Gamble Co. (The), 3.10%, due 08/15/23		430,493
	400,000	Sabine Pass Liquefaction LLC, 5.00%, due 03/15/27		462,999
	400,000	Sherwin-Williams Co. (The), 3.80%, due 08/15/49		482,390
	350,000	Sherwin-Williams Co. (The), 4.50%, due 06/01/47		465,115
	400,000	Starbucks Corp., 3.50%, due 11/15/50		458,145
	350,000	Starbucks Corp., 4.45%, due 08/15/49		454,334
	150,000	Synchrony Bank, 3.00%, due 06/15/22		155,014
	400,000	Synchrony Financial, 2.85%, due 07/25/22		413,175
	400,000	Synchrony Financial, 4.38%, due 03/19/24		439,556
	350,000	Synchrony Financial, 5.15%, due 03/19/29		418,951
	350,000	Sysco Corp., 5.95%, due 04/01/30		462,127
	300,000	Sysco Corp., 6.60%, due 04/01/40		442,726
	300,000	Sysco Corp., 6.60%, due 04/01/50		465,221
	400,000	Thermo Fisher Scientific, Inc., 4.13%, due 03/25/25		454,729
	400,000	Thermo Fisher Scientific, Inc., 4.15%, due 02/01/24		441,731
	350,000	Thermo Fisher Scientific, Inc., 4.50%, due 03/25/30		438,935
	350,000	Union Pacific Corp., 4.10%, due 09/15/67		437,119
	350,000	Union Pacific Corp., 4.38%, due 11/15/65		457,036
	400,000	United Parcel Service, Inc., 2.35%, due 05/16/22		410,369
	400,000	United Parcel Service, Inc., 3.90%, due 04/01/25		451,752
	300,000	United Parcel Service, Inc., 5.20%, due 04/01/40		429,268
	400,000	Verizon Communications, Inc., 3.38%, due 02/15/25		444,208
	350,000	Verizon Communications, Inc., 3.88%, due 02/08/29		411,854
	350,000	Verizon Communications, Inc., 4.33%, due 09/21/28		424,591
	400,000	VMware, Inc., 4.50%, due 05/15/25		454,359

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	350,000	VMware, Inc., 4.65%, due 05/15/27		409,125
	350,000	VMware, Inc., 4.70%, due 05/15/30		426,757
	400,000	Walt Disney Co. (The), 1.75%, due 01/13/26		416,091
	400,000	Walt Disney Co. (The), 2.20%, due 01/13/28		424,748
	400,000	Walt Disney Co. (The), 2.65%, due 01/13/31		435,224
	400,000	Williams Cos, Inc. (The), 5.10%, due 09/15/45		480,577
	400,000	Williams Cos, Inc. (The), 5.40%, due 03/04/44		480,700
	350,000	Williams Cos, Inc. (The), 5.75%, due 06/24/44		439,855
				49,351,007
		U.S. Government — 2.2%
	4,750,000	U.S. Treasury Bond, 3.38%, due 05/15/44 (a)		6,578,379
		U.S. Government Agency — 16.0%
	15,300,000	Federal National Mortgage Association, TBA, 3.50%, due 12/14/50		16,139,707
	6,500,000	Federal National Mortgage Association, TBA, 2.50%, due 12/16/35		6,758,984
	16,600,000	Federal National Mortgage Association, TBA, 3.00%, due 12/14/50		17,341,488
	7,300,000	Federal National Mortgage Association, TBA, 4.00%, due 12/14/50		7,787,760
	900,000	Government National Mortgage Association, TBA, 3.50%, due 12/21/50		950,274
				48,978,213
		Total United States		168,577,812
		TOTAL DEBT OBLIGATIONS (COST $170,538,976)		175,274,932
		INVESTMENT FUNDS — 3.4%
		United States — 3.4%
	74,912	iShares iBoxx $ Investment Grade Corporate Bond ETF		10,373,814
		TOTAL INVESTMENT FUNDS (COST $9,075,896)		10,373,814
		MUTUAL FUNDS — 27.7%
		United States — 27.7%
		Affiliated Issuers
	627,123	GMO Emerging Country Debt Fund, Class IV		17,214,514
	2,523,430	GMO Opportunistic Income Fund, Class VI		66,012,920
	312,590	GMO U.S. Treasury Fund		1,575,452
		TOTAL MUTUAL FUNDS (COST $86,489,092)		84,802,886

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 25.4%
		Foreign Government Obligations — 24.2%
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/06/21		31,612,560
JPY	4,444,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/14/20		42,568,715
		Total Foreign Government Obligations		74,181,275

Shares		Description	Value ($)
		Money Market Funds — 1.2%
	3,565,840	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		3,565,840
		TOTAL SHORT-TERM INVESTMENTS (COST $76,948,709)		77,747,115
		TOTAL INVESTMENTS — 113.8% (Cost $343,052,673)		348,198,747
		Other Assets and Liabilities (net) — (13.8%)		(42,111,804	)
		TOTAL NET ASSETS — 100.0%		$306,086,943

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
02/08/2021	BCLY	AUD	30,421,000	USD	21,916,110	(428,528)
02/08/2021	DB	AUD	520,000	USD	371,219	(10,728)
02/02/2021	CITI	BRL	2,661,043	USD	490,000	(6,148)
01/13/2021	BOA	CHF	1,022,103	USD	1,120,000	(6,627)
01/13/2021	JPM	CHF	4,090,809	USD	4,510,000	850
01/13/2021	MSCI	CHF	15,226,182	USD	16,608,870	(174,393)
12/02/2020	MSCI	CLP	447,115,000	USD	582,720	(4,123)
02/03/2021	MSCI	COP	8,001,071,500	USD	2,089,053	(129,889)
02/16/2021	CITI	CZK	19,986,000	USD	892,631	(16,439)
01/27/2021	BOA	EUR	1,920,000	USD	2,273,800	(20,291)
01/13/2021	MSCI	GBP	2,370,000	USD	3,132,323	(29,333)
01/13/2021	MSCI	HUF	665,626,307	USD	2,184,082	(29,280)
02/16/2021	CITI	IDR	3,979,472,000	USD	280,000	812
02/16/2021	JPM	IDR	5,971,410,000	USD	410,000	(8,936)
01/29/2021	BOA	ILS	1,435,832	USD	430,000	(4,240)
01/22/2021	BCLY	INR	26,829,000	USD	360,000	(536)
01/22/2021	JPM	INR	23,329,980	USD	310,000	(3,515)
12/14/2020	CITI	JPY	1,900,000,000	USD	18,153,729	(49,503)
12/14/2020	SSB	JPY	2,750,000,000	USD	25,934,591	(412,193)
01/06/2021	MSCI	JPY	3,300,000,000	USD	31,336,618	(299,333)
02/09/2021	BOA	JPY	110,252,826	USD	1,060,000	2,596
02/09/2021	JPM	JPY	119,377,326	USD	1,150,000	5,086
01/20/2021	JPM	NOK	30,858,715	USD	3,350,515	(119,197)
02/05/2021	BCLY	NZD	760,000	USD	507,428	(25,530)
02/05/2021	JPM	NZD	6,810,000	USD	4,629,684	(145,895)
02/05/2021	MSCI	NZD	16,520,000	USD	10,995,795	(589,018)
02/02/2021	MSCI	PEN	2,440,620	USD	674,288	(2,609)
12/03/2020	JPM	PHP	7,263,750	USD	150,000	(1,045)
12/03/2020	MSCI	PHP	19,059,830	USD	393,717	(2,620)
01/25/2021	JPM	PHP	26,323,580	USD	545,002	(834)
02/16/2021	DB	PLN	1,685,679	USD	450,000	653
02/26/2021	BOA	RON	655,962	USD	159,177	(613)
02/16/2021	BCLY	RUB	66,255,861	USD	850,000	(11,505)
02/16/2021	MSCI	RUB	18,694,608	USD	240,000	(3,080)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
02/05/2021	BCLY	SEK	16,486,224	USD	1,900,000	(24,687)
02/05/2021	JPM	SEK	32,605,774	USD	3,780,000	(26,567)
01/15/2021	BCLY	SGD	334,453	USD	250,000	617
12/07/2020	BCLY	TWD	10,249,920	USD	360,000	912
12/07/2020	CITI	TWD	6,568,616	USD	230,000	(120)
12/07/2020	JPM	TWD	7,671,780	USD	270,000	1,232
12/07/2020	MSCI	TWD	11,953,664	USD	418,692	(84)
02/08/2021	BOA	USD	1,086,732	AUD	1,520,000	29,729
02/02/2021	JPM	USD	772,008	BRL	4,433,410	54,596
02/03/2021	JPM	USD	11,361,219	CAD	15,108,433	276,645
02/03/2021	MSCI	USD	11,363,740	CAD	15,108,433	274,124
12/02/2020	MSCI	USD	1,264,206	CLP	968,330,000	6,735
02/26/2021	MSCI	USD	1,252,529	CLP	968,330,000	20,772
02/03/2021	MSCI	USD	680,000	COP	2,470,040,000	5,018
02/16/2021	BOA	USD	330,000	CZK	7,344,708	4,076
02/16/2021	CITI	USD	180,000	CZK	3,990,942	1,529
02/16/2021	DB	USD	290,000	CZK	6,338,417	(1,695)
01/27/2021	DB	USD	14,333,929	EUR	12,069,000	86,584
01/27/2021	JPM	USD	7,290,687	EUR	6,130,000	33,677
01/13/2021	MSCI	USD	6,081,241	GBP	4,701,000	190,045
01/13/2021	BOA	USD	380,000	HUF	115,173,858	2,980
02/16/2021	JPM	USD	1,069,416	IDR	15,910,771,000	46,836
01/29/2021	MSCI	USD	1,196,220	ILS	4,053,751	29,759
01/22/2021	JPM	USD	224,364	INR	16,646,720	(661)
12/14/2020	BOA	USD	1,977,685	JPY	206,000,000	(4,071)
02/09/2021	BOA	USD	3,060,000	JPY	320,535,171	14,163
02/09/2021	MSCI	USD	14,009,989	JPY	1,452,100,352	(83,303)
02/19/2021	MSCI	USD	1,829,558	KRW	2,023,930,420	(4,589)
01/21/2021	BOA	USD	420,000	MXN	8,786,941	12,497
01/21/2021	CITI	USD	320,000	MXN	6,823,206	15,842
01/21/2021	GS	USD	400,000	MXN	8,568,955	21,768
01/21/2021	MSCI	USD	728,069	MXN	15,518,237	35,746
01/20/2021	JPM	USD	3,010,000	NOK	27,738,751	108,907
02/05/2021	JPM	USD	5,470,649	NZD	8,140,000	237,606

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Settle ment Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
02/02/2021	MSCI		USD	810,000		PEN	2,907,240		(3,688	)
12/03/2020	JPM		USD	546,132		PHP	26,323,580		1,249
02/16/2021	MSCI		USD	656,504		PLN	2,490,431		7,364
02/16/2021	BCLY		USD	102,078		RUB	7,957,729		1,394
02/05/2021	BCLY		USD	20,005,651		SEK	178,044,288		780,162
02/05/2021	JPM		USD	1,490,000		SEK	13,403,256		74,766
01/15/2021	GS		USD	310,000		SGD	420,930		3,865
01/15/2021	MSCI		USD	310,000		SGD	420,062		3,218
01/15/2021	BOA		USD	720,000		THB	22,482,410		23,074
02/16/2021	BCLY		USD	1,800,000		TRY	14,349,060		(16,667	)
12/07/2020	JPM		USD	1,264,801		TWD	36,443,980		11,951
02/02/2021	MSCI		USD	422,391		TWD	11,953,664		(149	)
01/29/2021	DB		USD	500,000		ZAR	8,218,053		26,717
01/29/2021	MSCI		USD	1,284,819		ZAR	21,211,465		74,679
								$	(171,431	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
21	U.S. Long Bond (CBT)	March 2021		3,673,031		4,699
74	U.S. Treasury Note 10 Yr. (CBT)	March 2021		10,224,719		16,504
410	U.S. Treasury Note 5 Yr. (CBT)	March 2021		51,672,813		60,608
83	U.S. Treasury Ultra 10 Yr. (CBT)	March 2021		13,041,375		25,774
97	U.S. Ultra Bond (CBT)	March 2021		20,955,031		(74,992	)
			$	99,566,969	$	32,593

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month AUD BBSW	0.15%	AUD	12,290,000		12/16/2022	Quarterly		1,511			12,436			10,925
3 Month AUD BBSW	0.10%	AUD	16,280,000		12/16/2022	Quarterly		(871	)		4,530			5,401
0.07%	3 Month AUD BBSW	AUD	19,300,000		12/16/2022	Quarterly		—			2,417			2,417
(0.67)%	6 Month CHF LIBOR	CHF	15,000,000		12/16/2022	Semi-Annually		3,637			(11,577	)		(15,214	)
6 Month CHF LIBOR	(0.72)%	CHF	11,120,000		12/16/2022	Semi-Annually		(106	)		(1,570	)		(1,464	)
0.18%	3 Month NZD Bank Bill Rate	NZD	98,530,000		12/16/2022	Quarterly		18,659			90,986			72,327
(0.05)%	3 Month SEK STIBOR	SEK	68,830,000		12/16/2022	Annually		617			1,019			402
3 Month SEK STIBOR	(0.04)%	SEK	72,100,000		12/16/2022	Quarterly		187			616			429
3 Month SEK STIBOR	(0.03)%	SEK	72,900,000		12/16/2022	Quarterly		—			1,048			1,048
0.55%	3 Month CAD LIBOR	CAD	10,330,000		12/19/2022	Semi-Annually		—			365			365
0.56%	3 Month CAD LIBOR	CAD	29,750,000		12/19/2022	Semi-Annually		3,747			(3,549	)		(7,296	)
0.55%	3 Month CAD LIBOR	CAD	6,450,000		12/19/2022	Semi-Annually		—			(71	)		(71	)
6 Month EURIBOR	(0.48)%	EUR	10,320,000		12/21/2022	Semi-Annually		1,753			9,714			7,961
6 Month GBP LIBOR	0.08%	GBP	46,790,000		12/21/2022	Semi-Annually		18,659			(11,350	)		(30,009	)
3 Month USD LIBOR	0.24%	USD	10,940,000		12/21/2022	Quarterly		(4,354	)		1,753			6,107
3 Month USD LIBOR	0.23%	USD	4,480,000		12/21/2022	Quarterly		27			(634	)		(661	)
0.87%	6 Month AUD BBSW	AUD	2,550,000		12/16/2030	Semi-Annually		(2,003	)		4,375			6,378
0.76%	6 Month AUD BBSW	AUD	3,380,000		12/16/2030	Semi-Annually		2,011			31,977			29,966
0.77%	6 Month AUD BBSW	AUD	660,000		12/16/2030	Semi-Annually		—			5,676			5,676
0.88%	6 Month AUD BBSW	AUD	2,000,000		12/16/2030	Semi-Annually		—			2,714			2,714
6 Month AUD BBSW	0.79%	AUD	7,660,000		12/16/2030	Semi-Annually		795			(59,284	)		(60,079	)
0.93%	6 Month AUD BBSW	AUD	2,430,000		12/16/2030	Semi-Annually		—			(5,851	)		(5,851	)
6 Month AUD BBSW	0.89%	AUD	4,030,000		12/16/2030	Semi-Annually		—			(266	)		(266	)
3 Month CAD LIBOR	1.28%	CAD	14,880,000		12/16/2030	Semi-Annually		(4,066	)		88,255			92,321
3 Month CAD LIBOR	1.23%	CAD	3,680,000		12/16/2030	Semi-Annually		4,101			8,142			4,041
3 Month CAD LIBOR	1.20%	CAD	32,350,000		12/16/2030	Semi-Annually		(51,130	)		(602	)		50,528
3 Month CAD LIBOR	1.11%	CAD	3,920,000		12/16/2030	Semi-Annually		(1,119	)		(25,145	)		(24,026	)
3 Month CAD LIBOR	1.09%	CAD	6,780,000		12/16/2030	Semi-Annually		—			(54,080	)		(54,080	)
3 Month CAD LIBOR	1.09%	CAD	1,240,000		12/16/2030	Semi-Annually		—			(10,075	)		(10,075	)
3 Month CAD LIBOR	1.11%	CAD	2,430,000		12/16/2030	Semi-Annually		—			(16,310	)		(16,310	)
3 Month CAD LIBOR	1.13%	CAD	3,640,000		12/16/2030	Semi-Annually		—			(19,018	)		(19,018	)
3 Month CAD LIBOR	1.15%	CAD	920,000		12/16/2030	Semi-Annually		—			(3,438	)		(3,438	)
6 Month CHF LIBOR	(0.26)%	CHF	2,500,000		12/16/2030	Semi-Annually		(3,627	)		10,215			13,842
(0.32)%	6 Month CHF LIBOR	CHF	1,720,000		12/16/2030	Semi-Annually		—			5,631			5,631

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
6 Month CHF LIBOR	(0.30)%	CHF	29,480,000		12/16/2030	Semi-Annually		(20,762	)		(29,752	)		(8,990	)
(0.27)%	6 Month CHF LIBOR	CHF	4,990,000		12/16/2030	Semi-Annually		—			(14,739	)		(14,739	)
(0.29)%	6 Month CHF LIBOR	CHF	2,480,000		12/16/2030	Semi-Annually		—			(1,709	)		(1,709	)
0.59%	3 Month NZD Bank Bill Rate	NZD	20,780,000		12/16/2030	Quarterly		(9,197	)		424,376			433,573
0.85%	3 Month NZD Bank Bill Rate	NZD	1,790,000		12/16/2030	Quarterly		—			4,939			4,939
3 Month NZD Bank Bill Rate	0.55%	NZD	10,900,000		12/16/2030	Quarterly		20,209			(246,391	)		(266,600	)
3 Month NZD Bank Bill Rate	0.46%	NZD	5,680,000		12/16/2030	Quarterly		(2,867	)		(166,743	)		(163,876	)
3 Month NZD Bank Bill Rate	0.48%	NZD	9,000,000		12/16/2030	Quarterly		225			(251,930	)		(252,155	)
3 Month NZD Bank Bill Rate	0.74%	NZD	1,820,000		12/16/2030	Quarterly		—			(18,364	)		(18,364	)
3 Month NZD Bank Bill Rate	0.81%	NZD	1,790,000		12/16/2030	Quarterly		300			(9,822	)		(10,122	)
3 Month NZD Bank Bill Rate	0.78%	NZD	21,540,000		12/16/2030	Quarterly		(38,884	)		(154,915	)		(116,031	)
3 Month NZD Bank Bill Rate	0.82%	NZD	13,470,000		12/16/2030	Quarterly		(1,235	)		(56,916	)		(55,681	)
3 Month NZD Bank Bill Rate	0.86%	NZD	16,150,000		12/16/2030	Quarterly		(2,023	)		(28,039	)		(26,016	)
3 Month SEK STIBOR	0.34%	SEK	131,230,000		12/16/2030	Quarterly		(34,490	)		(15,795	)		18,695
0.30%	3 Month SEK STIBOR	SEK	18,400,000		12/16/2030	Quarterly		—			10,304			10,304
0.31%	3 Month SEK STIBOR	SEK	23,500,000		12/16/2030	Quarterly		—			9,897			9,897
3 Month SEK STIBOR	0.30%	SEK	11,700,000		12/16/2030	Quarterly		—			(5,807	)		(5,807	)
0.37%	3 Month SEK STIBOR	SEK	23,000,000		12/16/2030	Quarterly		127			(5,214	)		(5,341	)
0.39%	3 Month SEK STIBOR	SEK	18,810,000		12/16/2030	Quarterly		—			(9,922	)		(9,922	)
0.39%	3 Month SEK STIBOR	SEK	14,800,000		12/16/2030	Quarterly		—			(7,636	)		(7,636	)
(0.18)%	6 Month EURIBOR	EUR	37,450,000		12/18/2030	Semi-Annually		26,479			(328,975	)		(355,454	)
(0.21)%	6 Month EURIBOR	EUR	24,050,000		12/18/2030	Semi-Annually		(5,926	)		(137,468	)		(131,542	)
(0.18)%	6 Month EURIBOR	EUR	2,060,000		12/18/2030	Semi-Annually		(6,515	)		(19,360	)		(12,845	)
0.45%	6 Month GBP LIBOR	GBP	10,740,000		12/18/2030	Semi-Annually		(4,081	)		41,442			45,523
0.36%	6 Month GBP LIBOR	GBP	1,370,000		12/18/2030	Semi-Annually		(120	)		21,633			21,753
6 Month GBP LIBOR	0.54%	GBP	2,560,000		12/18/2030	Semi-Annually		4,509			18,971			14,462
6 Month GBP LIBOR	0.53%	GBP	2,490,000		12/18/2030	Semi-Annually		3,648			16,140			12,492
0.70%	3 Month USD LIBOR	USD	6,960,000		12/18/2030	Quarterly		9,119			103,184			94,065
0.88%	3 Month USD LIBOR	USD	27,730,000		12/18/2030	Quarterly		(102,086	)		(80,502	)		21,584
3 Month USD LIBOR	0.82%	USD	2,590,000		12/18/2030	Quarterly		(2,484	)		(7,956	)		(5,472	)
3 Month USD LIBOR	0.75%	USD	1,270,000		12/18/2030	Quarterly		315			(12,608	)		(12,923	)
0.86%	3 Month USD LIBOR	USD	1,530,000		12/18/2030	Quarterly		—			(995	)		(995	)
0.85%	3 Month USD LIBOR	USD	1,530,000		12/18/2030	Quarterly		—			(21	)		(21	)
0.85%	3 Month USD LIBOR	USD	3,150,000		12/18/2030	Quarterly		—			(198	)		(198	)
0.86%	3 Month USD LIBOR	USD	3,120,000		12/18/2030	Quarterly		—			(3,710	)		(3,710	)
0.88%	3 Month USD LIBOR	USD	3,370,000		12/18/2030	Quarterly		—			(8,958	)		(8,958	)
							$	(177,311	)	$	(914,510	)	$	(737,199	)

As of November 30, 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 Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2020.

The rates shown on variable rate notes are the current interest rates at November 30, 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.

REIT - Real Estate Investment Trust

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

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

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 Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 85.1%
		Asset-Backed Securities — 83.6%
		Auto Retail Subprime — 0.0%
	77,526	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		77,649
		CMBS Collateralized Debt Obligations — 0.7%
	477,732	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42		473,575
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,477,330
	336,463	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 0.39%, 0.66%, due 01/20/37 (a)		331,416
	1,623,909	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		1,509,435
		Total CMBS Collateralized Debt Obligations		5,791,756
		Collateralized Loan Obligations — 15.8%
	3,753,372	ACIS CLO Ltd., Series 15-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.59%, 1.80%, due 05/01/27		3,753,879
	1,905,000	Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.12%, due 10/17/26		1,815,305
	4,222,400	Catamaran CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.80%, 2.02%, due 01/27/28		4,096,138
	6,093,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.34%, due 01/20/30		6,043,957
	4,161,000	ECP CLO Ltd., Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 1.36%, due 04/22/30		4,112,320
	1,259,600	Garrison BSL CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 1.87%, due 07/17/28		1,237,901
	6,223,860	Garrison BSL CLO Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.97%, 1.19%, due 07/17/28		6,198,044
	2,316,435	Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 3.22%, due 08/15/23		2,318,263
	5,778,692	Loomis Sayles CLO II Ltd., Series 15-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 1.14%, due 04/15/28		5,718,241
	1,465,400	Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 2.57%, due 07/20/26		1,465,840
	15,030,900	Mountain View CLO Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.36%, due 07/15/31		14,814,891
	3,906,000	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 1.28%, due 04/22/31		3,850,785

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	1,991,642	Saranac CLO III Ltd, Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 1.83%, due 06/22/30		1,991,988
	7,880,500	Saratoga Investment Corp. CLO Ltd., Series 13-1A, Class BR2, 144A, Variable Rate, 3 mo. LIBOR + 2.30%, 2.52%, due 01/20/30		7,881,982
	2,845,600	Shackleton CLO Ltd., Series 13-4RA, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 1.22%, due 04/13/31		2,807,184
	11,974,000	Sound Point CLO II Ltd., Series 13-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.07%, 1.28%, due 01/26/31		11,874,975
	6,235,025	Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 1.24%, due 04/15/31		6,159,687
	4,993,200	Venture CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.32%, due 07/18/31		4,943,073
	2,932,000	Venture XII CLO Ltd., Series 12-12A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 1.46%, due 02/28/26		2,870,707
	1,568,784	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.11%, due 07/25/26		1,569,236
	460,587	WhiteHorse IX Ltd, Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.16%, 1.38%, due 07/17/26		459,970
	7,746,900	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 1.49%, due 10/15/31		7,705,439
	6,750,000	Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.74%, due 04/15/28		6,719,071
	16,471,117	Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.39%, due 04/15/28		16,394,246
	3,250,000	Zais CLO 2 Ltd., Series 14-2A, Class A2R, 144A, Variable Rate, 3 mo. LIBOR + 1.85%, 2.06%, due 07/25/26		3,233,350
	1,855,001	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.19%, due 04/15/29		1,832,975
		Total Collateralized Loan Obligations		131,869,447
		Commercial Mortgage-Backed Securities — 17.6%
	10,000,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32		10,226,197
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38		5,830,148
	4,834,200	BBCMS Mortgage Trust, Series 17-C1, Class A4, 3.67%, due 02/15/50		5,498,523
	2,591,000	Benchmark Mortgage Trust, Series 20-B21, Class E, 144A, 2.00%, due 12/15/53		1,800,840

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	4,498,000	BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41		4,800,148
	1,470,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		1,468,686
	5,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		4,604,400
	5,000,000	CHT Mortgage Trust, Series 17-CSMO, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.93%, 1.07%, due 11/15/36		4,893,754
	7,000,000	Commercial Mortgage Trust, Series 15-CR24, Class A5, 3.70%, due 08/10/48		7,800,325
	6,334,436	Commercial Mortgage Trust, Series 15-CR25, Class A4, 3.76%, due 08/10/48		7,060,358
	224,689	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 0.39%, due 04/15/37		213,508
	177,519	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		175,744
	6,372,761	CSAIL Commercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48		7,047,204
	6,749,037	CSAIL Commercial Mortgage Trust, Series 16-C5, Class A5, 3.76%, due 11/15/48		7,506,320
	10,000,000	Great Wolf Trust, Series 19-WOLF, Class A, 144A, Variable Rate, 1 mo. LIBOR + 1.03%, 1.18%, due 12/15/36		9,687,353
	4,454,370	GS Mortgage Securities Trust, Series 15-GC32, Class A4, 3.76%, due 07/10/48		4,944,790
	2,822,831	GS Mortgage Securities Trust, Series 15-GC34, Class A4, 3.51%, due 10/10/48		3,112,220
	5,618,916	GS Mortgage Securities Trust, Series 15-GS1, Class A3, 3.73%, due 11/10/48		6,243,112
	276,240	JP Morgan Chase Commercial Mortgage Securities Trust, Series 15-JP1, Class A5, 3.91%, due 01/15/49		313,440
	805,930	JPMBB Commercial Mortgage Securities Trust, Series 15-C32, Class A5, 3.60%, due 11/15/48		895,160
	1,326,589	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.52%, due 08/15/36		1,363,548
	1,500,000	Manhattan West, Series 20-1MW, Class C, 144A, Variable Rate, 2.41%, due 09/10/39		1,516,134
	500,000	Manhattan West, Series 20-1MW, Class D, 144A, Variable Rate, 2.41%, due 09/10/39		485,444
	3,302,338	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		3,367,314
	4,213,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 3.04%, due 02/12/40		3,967,707
	2,505,000	MKT Mortgage Trust, Series 20-525M, Class F, 144A, Variable Rate, 3.04%, due 02/12/40		2,277,247
	3,710,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 13-C10, Class A4, Variable Rate, 4.22%, due 07/15/46		3,965,458
	1,201,206	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class F, 144A, Variable Rate, 8.09%, due 07/15/33		1,111,740

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	10,135,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.64%, due 05/13/38		8,299,713
	2,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 2.53%, due 11/23/43		2,533,829
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 3.39%, due 03/23/45		8,322,199
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35		7,789,142
	1,717,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35		1,631,213
	960,073	Wells Fargo Commercial Mortgage Trust, Series 15-NXS1, Class A5, 3.15%, due 05/15/48		1,043,263
	4,392,094	Wells Fargo Commercial Mortgage Trust, Series 16-C32, Class A4, 3.56%, due 01/15/59		4,856,636
		Total Commercial Mortgage-Backed Securities		146,652,817
		Residential Mortgage-Backed Securities — Other — 10.3%
	913,513	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.43%, due 02/25/36		252,524
	19,056,800	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 0.51%, due 02/25/36		1,461,367
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		7,466,686
	5,003,137	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,651,874
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		2,159,553
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		926,105
	437,898	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.47%, due 02/25/37		397,456
	2,633,402	Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29		2,590,508
	5,184,940	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,051,763
	4,955,693	Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		5,057,425
	2,998,906	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,926,520
	8,041,369	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + 0.15%, 0.29%, due 06/15/37		7,701,233
	322,470	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.65%, due 10/25/34		304,336

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	6,108,397	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		6,138,535
	4,550,496	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		903,075
	29,942,942	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 0.41%, due 06/25/36		2,058,487
	12,441,870	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36		8,155,487
	11,901,546	Home Loan Trust, Series 07-HI1, Class A4, Step Up, due 03/25/37		4,824,123
	3,932,267	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.47%, due 03/25/36		526,024
	427,129	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.39%, due 02/26/34		364,203
	13,990,947	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 0.35%, due 03/25/36		832,295
	7,980,723	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 0.49%, due 03/25/36		477,167
	21,277,486	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 0.55%, due 03/25/36		1,272,004
	473,691	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 1.05%, due 08/25/35		746,034
	6,016,300	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		5,692,807
	1,572,857	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,616,105
	1,879,162	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		1,931,220
	4,632,451	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		3,855,548
	10,463,135	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		3,888,063
	1,125,259	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		911,334
	728,767	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		728,212
		Total Residential Mortgage-Backed Securities — Other		85,868,073
		Residential Mortgage-Backed Securities — Prime — 7.1%
	9,627,171	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 0.36%, due 10/25/46		6,406,228
	1,087,566	Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 3.09%, due 08/25/35		1,082,333

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	905,937	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 2.41%, due 10/25/35		920,928
	607,837	Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 3.15%, due 08/25/35		649,518
	5,245,811	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		4,216,267
	2,032,829	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.19%, due 12/25/36		1,858,122
	1,470,039	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.63%, due 03/25/37		1,417,487
	10,569,553	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 0.59%, due 04/25/46		9,754,452
	1,964,035	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		1,482,779
	3,092,884	RBSSP Resecuritization Trust, Series 09-6, Class 12A4, 144A, Variable Rate, 5.50%, due 05/26/35		3,085,684
	1,138,711	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.39%, due 09/25/35		1,108,614
	934,664	RFMSI Trust, Series 06-S6, Class A12, 6.00%, due 07/25/36		932,317
	302,599	RFMSI Trust, Series 06-S6, Class A9, 6.00%, due 07/25/36		301,839
	7,094,871	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA+ 1.40%, 2.14%, due 05/25/35		5,955,673
	1,302,790	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.04%, due 09/25/35		1,392,413
	1,457,238	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 1.77%, due 01/25/47		1,398,560
	3,396,095	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 0.60%, due 06/25/35		2,789,472
	14,400,284	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		14,845,191
		Total Residential Mortgage-Backed Securities — Prime		59,597,877
		Residential Mortgage-Backed Securities — Subprime — 2.5%
	1,788,863	Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.62%, due 06/25/35		1,886,070
	2,578,393	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.31%, due 05/26/37		2,469,498
	1,723,153	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M3, Variable Rate, 1 mo. LIBOR + 1.08%, 1.23%, due 08/25/35		1,723,039

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities —Subprime — continued
	3,296,075	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 2.03%, due 08/25/35		3,327,416
	1,897,320	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.26%, due 04/25/31 (b)		4,694,728
	3,822,018	Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.55%, due 07/25/36		3,493,993
	1,453,055	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 2.74%, due 11/20/34		1,481,049
	1,550,144	GSAA Trust, Series 05-1, Class M1, Step Up, 5.30%, due 11/25/34		1,582,650
		Total Residential Mortgage-Backed Securities — Subprime		20,658,443
		Residential Mortgage-Backed Securities — Alt-A — 1.1%
	696,136	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		733,607
	1,980,595	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.85%, due 05/25/36		871,059
	2,017,045	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.85%, due 10/25/36		816,294
	2,916,345	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		2,981,007
	4,660,043	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.11%, due 07/25/36		3,155,635
	836,968	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		845,865
		Total Residential Mortgage-Backed Securities — Alt-A		9,403,467
		Small Balance Commercial Mortgages — 8.1%
	411,303	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 0.99%, due 04/25/34		409,490
	372,497	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.95%, due 04/25/34		371,553
	413,984	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 3.00%, due 04/25/34		413,450
	4,480,486	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.31%, 0.46%, due 08/25/35		4,186,336
	2,252,296	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.54%, due 01/25/36		2,121,706

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	1,217,759	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 0.53%, due 04/25/36		1,100,328
	1,791,977	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.23%, 0.38%, due 07/25/36		1,664,974
	3,665,511	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.43%, due 07/25/36		3,415,384
	4,543,528	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.40%, due 10/25/36		4,225,345
	2,388,293	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.37%, due 03/25/37		2,223,735
	1,938,479	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 0.39%, due 07/25/37		1,815,859
	7,878,113	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.42%, due 07/25/37		7,299,193
	947,507	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 1.00%, due 12/25/37		944,162
	8,108,856	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.40%, due 12/25/37		8,107,900
	2,326,758	Hana SBL Loan Trust, Series 19-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 2.00%, 2.15%, due 08/25/45		2,245,643
	4,300,000	Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.55%, due 06/25/37		4,073,218
	908,296	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.50%, due 02/25/30		903,310
	989,266	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M2,144A, Variable Rate, 1 mo. LIBOR + 0.55%, 0.70%, due 02/25/30		983,208
	2,467,604	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.15%, due 09/25/30		2,373,109
	4,069,989	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 0.68%, due 04/25/31		4,002,033
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.15%, due 04/25/31		1,903,769
	1,120,306	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.54%, due 09/25/36		1,097,329

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	5,257,410	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 5.73%, due 10/25/37		5,311,263
	3,273,722	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 3.31%, due 12/27/49		3,259,846
	3,176,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 3.47%, due 12/27/49		3,118,448
		Total Small Balance Commercial Mortgages		67,570,591
		Student Loans — Federal Family Education Loan Program — 5.5%
	4,512,866	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 0.40%, due 10/25/24		4,427,223
	9,851,497	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 0.91%, due 01/25/43		8,417,203
	10,698,288	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 0.27%, due 01/25/23		10,520,924
	4,040,551	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 0.55%, due 03/28/35 (a)		3,446,336
	7,479,317	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 1.15%, due 06/15/21		7,252,638
	11,664,895	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 1.86%, due 07/25/22		11,617,702
		Total Student Loans — Federal Family Education Loan Program		45,682,026
		Student Loans — Private — 14.9%
	3,486,382	AccessLex Institute, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 1.01%, due 07/25/34		3,327,806
	2,633,376	KeyCorp Student Loan Trust, Series 05-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.73%, 0.96%, due 09/27/38		2,611,086
	18,343,760	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 0.71%, due 12/27/41		18,016,225
	2,332,854	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 1.02%, due 04/28/42		2,295,024
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 1.47%, due 07/28/42		4,842,314
	1,166,164	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 0.64%, due 10/15/28		1,140,829
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuc + 0.00%, due 03/31/38 (b)		2,632,500

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		2,173,125
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		933,375
	2,890,310	National Collegiate Student Loan Trust, Series 05-3, Class A51, Variable Rate, 1 mo. LIBOR + 0.38%, 0.53%, due 10/25/33		2,796,478
	8,260,955	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.46%, due 05/25/32		7,885,121
	5,426,313	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 0.44%, due 01/25/33		5,054,123
	5,618,733	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 0.50%, due 03/25/33		5,341,924
	8,843,105	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 0.52%, due 06/25/33		8,482,948
	13,352,989	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.45%, due 10/25/33		12,377,529
	3,256,000	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 0.69%, due 12/26/33		3,013,493
	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
	6,156,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (b)		6,112,908
	3,150,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (b)		3,127,950
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 1.85%, due 09/15/32		1,612,734
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 0.68%, due 09/15/33		8,569,687
	1,848,044	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 0.53%, due 12/15/38		1,840,449
	4,272,619	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 0.54%, due 06/15/39		4,095,417
	3,124,231	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 0.58%, due 06/15/39		2,981,291
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 0.64%, due 12/15/39		2,209,260

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	3,790,787	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 1.65%, due 01/25/36		3,801,105
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 1.20%, due 01/25/46		6,512,437
		Total Student Loans — Private		123,867,138
		Total Asset-Backed Securities		697,039,284
		U.S. Government — 0.2%
	1,586,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 0.20%, due 01/31/21 (c)		1,586,332
		U.S. Government Agency — 1.3%
	4,443,750	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR — 0.02%, 0.23%, due 02/01/25 (b)		4,326,688
	4,500,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 0.40%, due 10/29/26 (b)		4,351,193
	2,115,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 0.25%, due 07/01/23 (b)		2,080,851
		Total U.S. Government Agency		10,758,732
		TOTAL DEBT OBLIGATIONS (COST $738,501,540)		709,384,348
		MUTUAL FUNDS — 1.3%
		United States — 1.3%
		Affiliated Issuers — 1.3%
	2,183,242	GMO U.S. Treasury Fund		11,003,541
		TOTAL MUTUAL FUNDS (COST $11,003,541)		11,003,541

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 9.7%
		Money Market Funds — 0.8%
	6,698,595	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		6,698,595
		U.S. Government — 8.9%
	34,000,000	U.S. Treasury Bill, 0.08%, due 02/04/21 (e)		33,995,078
	35,000,000	U.S. Treasury Bill, 0.09%, due 03/18/21 (e)		34,990,898
	5,000,000	U.S. Treasury Bill, 0.09%, due 04/22/21 (e)		4,998,176
		Total U.S. Government		73,984,152
		TOTAL SHORT-TERM INVESTMENTS (COST $80,677,912)		80,682,747

PURCHASED OPTIONS — 0.1%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Option on Credit Default Swaps — Calls — 0.1%

CDX.NA.IGS.35.V1-5Y

MSCI

55.00%

01/20/21

USD 65,527,000

Fixed Spread

Receive

211,976

Option on Credit Default Swaps — Puts — 0.0%

CDX.NA.HYS.35.V1-5Y

GS

106.50%

02/17/21

USD 11,825,000

Fixed Spread

Pay

116,033

TOTAL PURCHASED OPTIONS (COST $389,773)

328,009

TOTAL INVESTMENTS — 96.2% (Cost $830,572,766)

801,398,645

Other Assets and Liabilities (net) — 3.8%

31,943,046

TOTAL NET ASSETS — 100.0%

$833,341,691

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/19/2021	DB	EUR	39,600	USD	47,052		(255	)
01/19/2021	GS	EUR	2,042,170	USD	2,394,056		(45,570	)
01/19/2021	DB	USD	333,641	EUR	280,800		1,810
01/19/2021	GS	USD	2,605,301	EUR	2,222,366		49,590
						$	5,575

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
33	U.S. Treasury Note 5 Yr. (CBT)	March 2021	$	4,159,031	$	(5,108	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps — Puts

ITRAXX.XOVERS.33.V3-5Y

DB

500.00%

12/16/20

EUR   9,800,000

Fixed Spread

Pay

(2,611

)

CDX.NA.IGS.35.V1-5Y

GS

60.00%

12/16/20

USD 59,146,500

Fixed Spread

Pay

(17,232

)

CDX.NA.IGS.35.V1-5Y

MSCI

80.00%

01/20/21

USD 65,527,000

Fixed Spread

Pay

(31,648

)

CDX.NA.HYS.35.V1-5Y

GS

100.00%

02/17/21

USD 23,649,000

Fixed Spread

Pay

(73,990

)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $542,866)

$

(125,481

)

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	21,745,573		5.00%		1.83%		N/A		12/20/2023		Quarterly		(2,273,176	)		(2,290,381	)		(17,205	)
CDX.NA.IGS.33.V1-5Y	USD	49,070,000		1.00%		0.60%		N/A		12/20/2024		Quarterly		(417,805	)		(812,109	)		(394,304	)
ITRAXX.EUROPES.32.V1-5Y	EUR	29,470,000		1.00%		0.43%		N/A		12/20/2024		Quarterly		(859,948	)		(777,556	)		82,392
CDX.NA.HYS.34.V8-5Y	USD	8,213,760		5.00%		2.84%		N/A		06/20/2025		Quarterly		(416,438	)		(723,214	)		(306,776	)
CDX.NA.IGS.35.V1-5Y	USD	59,146,500		1.00%		0.52%		N/A		12/20/2025		Quarterly		(1,281,546	)		(1,469,850	)		(188,304	)
CDX.NA.IGS.35.V1-5Y	USD	65,527,000		1.00%		0.52%		N/A		12/20/2025		Quarterly		(1,435,777	)		(1,628,412	)		(192,635	)
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.49%		17,200,000 USD		06/20/2022		Quarterly		300,982			131,752			(169,230	)
CDX.NA.HYS.33.V3-5Y	USD	2,300,650		5.00%		2.61%		2,300,650 USD		12/20/2024		Quarterly		78,900			204,363			125,463
													$	(6,304,808	)	$	(7,365,407	)	$	(1,060,599	)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 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^:
CDX.NA.IGS.25.V1-5Y	BOA		USD	4,400,000	1.00%		0.61%		N/A	12/20/2020	Quarterly		710,600			(964	)		(711,564	)
CDX.NA.IGS.25.V1-5Y	CITI		USD	4,300,000	1.00%		0.61%		N/A	12/20/2020	Quarterly		547,892			(942	)		(548,834	)
CDX.NA.HYS.27.V2-5Y	GS		USD	4,458,000	5.00%		2.70%		N/A	12/20/2021	Quarterly		11,145			(108,428	)		(119,573	)
CDX.NA.HYS.27.V2-5Y	JPM		USD	4,300,000	5.00%		2.70%		N/A	12/20/2021	Quarterly		(11,825	)		(104,585	)		(92,760	)
D.R. Horton, Inc.	BCLY		USD	17,200,000	1.00%		0.14%		N/A	06/20/2022	Quarterly		(165,250	)		(232,422	)		(67,172	)
CDX.NA.HYS.29.V1-5Y	JPM		USD	6,425,250	5.00%		4.45%		N/A	12/20/2022	Quarterly		(282,711	)		(71,158	)		211,553
CDX.NA.HYS.29.V1-5Y	MORD		USD	3,450,800	5.00%		4.45%		N/A	12/20/2022	Quarterly		(188,414	)		(38,217	)		150,197
CDX.NA.HYS.29.V1-5Y	JPM		USD	870,000	5.00%		4.45%		N/A	12/20/2022	Quarterly		(51,765	)		(9,635	)		42,130
Navient Corp.	BCLY		USD	2,082,800	5.00%		2.23%		N/A	12/20/2022	Quarterly		(160,628	)		(116,322	)		44,306
Navient Corp.	BCLY		USD	3,435,200	5.00%		2.23%		N/A	12/20/2022	Quarterly		(264,646	)		(191,850	)		72,796
Navient Corp.	GS		USD	4,050,000	5.00%		2.23%		N/A	12/20/2022	Quarterly		(421,122	)		(226,187	)		194,935
Navient Corp.	GS		USD	2,700,000	5.00%		2.23%		N/A	12/20/2022	Quarterly		(277,471	)		(150,791	)		126,680
ITRAXX.EUROPES.32.V1-5Y	BOA		EUR	10,000,000	1.00%		1.84%		N/A	12/20/2024	Quarterly		748,704			405,343			(343,361	)
CMBX.NA.A.7	CGMI		USD	1,420,000	2.00%		5.24%		N/A	01/17/2047	Monthly		89,177			123,025			33,848
CMBX.NA.AA.7	GS		USD	5,000,000	1.50%		1.37%		N/A	01/17/2047	Monthly		7,975			(18,453	)		(26,428	)
CMBX.NA.AS.7	DB		USD	7,608,000	1.00%		0.84%		N/A	01/17/2047	Monthly		(119,899	)		(34,593	)		85,306
CMBX.NA.AS.7	BOA		USD	4,505,000	1.00%		0.84%		N/A	01/17/2047	Monthly		47,351			(20,484	)		(67,835	)
CMBX.NA.AS.7	DB		USD	16,677,794	1.00%		0.84%		N/A	01/17/2047	Monthly		197,705			(75,832	)		(273,537	)
CMBX.NA.AS.7	GS		USD	4,400,000	1.00%		0.84%		N/A	01/17/2047	Monthly		112,812			(20,006	)		(132,818	)
CMBX.NA.AS.7	MORD		USD	13,270,000	1.00%		0.84%		N/A	01/17/2047	Monthly		205,782			(60,337	)		(266,119	)
CMBX.NA.AA.8	CSI		USD	8,892,000	1.50%		1.75%		N/A	10/17/2057	Monthly		247,717			81,343			(166,374	)
CMBX.NA.AS.8	MORD		USD	3,384,000	1.00%		1.00%		N/A	10/17/2057	Monthly		140,432			598			(139,834	)
CMBX.NA.AS.8	CITI		USD	8,892,000	1.00%		1.00%		N/A	10/17/2057	Monthly		73,095			1,571			(71,524	)
CMBX.NA.BBB-.8	GS		USD	4,224,000	3.00%		9.28%		N/A	10/17/2057	Monthly		400,908			859,848			458,940
CMBX.NA.BBB-.8	GS		USD	6,889,000	3.00%		9.28%		N/A	10/17/2057	Monthly		1,034,610			1,402,342			367,732
CMBX.NA.AAA.9	CGMI		USD	4,000,000	0.50%		0.24%		N/A	09/17/2058	Monthly		(17,095	)		(49,913	)		(32,818	)
CMBX.NA.AAA.9	GS		USD	2,902,300	0.50%		0.24%		N/A	09/17/2058	Monthly		(14,187	)		(36,216	)		(22,029	)
CMBX.NA.AAA.9	MSCI		USD	3,328,000	0.50%		0.24%		N/A	09/17/2058	Monthly		(31,983	)		(41,528	)		(9,545	)
CMBX.NA.AAA.9	GS		USD	10,000,000	0.50%		0.24%		N/A	09/17/2058	Quarterly		(102,116	)		(124,784	)		(22,668	)
CMBX.NA.AAA.9	MORD		USD	5,000,000	0.50%		0.24%		N/A	09/17/2058	Monthly		(51,058	)		(62,392	)		(11,334	)
CMBX.NA.BBB-.9	MORD		USD	5,116,800	3.00%		7.48%		N/A	09/17/2058	Monthly		584,727			934,532			349,805
CMBX.NA.BBB-.9	DB		USD	4,263,000	3.00%		7.48%		N/A	09/17/2058	Monthly		517,160			778,594			261,434
CMBX.NA.BBB-.9	MORD		USD	2,585,000	3.00%		7.48%		N/A	09/17/2058	Monthly		63,490			472,125			408,635
CMBX.NA.BBB-.9	CGMI		USD	3,425,200	3.00%		7.48%		N/A	09/17/2058	Monthly		955,105			625,579			(329,526	)
CMBX.NA.AAA.10	MSCI		USD	9,668,400	0.50%		0.30%		N/A	11/17/2059	Monthly		(15,090	)		(110,639	)		(95,549	)
CMBX.NA.AAA.10	MSCI		USD	1,381,200	0.50%		0.30%		N/A	11/17/2059	Monthly		(2,156	)		(15,806	)		(13,650	)
CMBX.NA.AAA.10	CGMI		USD	7,079,200	0.50%		0.30%		N/A	11/17/2059	Monthly		(89,216	)		(81,010	)		8,206
CMBX.NA.A.6	CGMI		USD	2,840,000	2.00%		7.77%		N/A	05/11/2063	Monthly		340,958			266,126			(74,832	)
CMBX.NA.AA.6	GS		USD	5,000,000	1.50%		1.46%		N/A	05/11/2063	Monthly		35,145			(3,078	)		(38,223	)
CMBX.NA.BBB-.6	CGMI		USD	4,274,000	3.00%		23.24%		N/A	05/11/2063	Monthly		1,357,351			1,237,268			(120,083	)
CMBX.NA.BBB-.13	GS		USD	4,960,000	3.00%		4.17%		N/A	12/16/2072	Monthly		1,011,544			423,872			(587,672	)
CMBX.NA.BBB-.13	GS		USD	2,000,000	3.00%		4.17%		N/A	12/16/2072	Monthly		268,842			170,916			(97,926	)
CMBX.NA.BBB-.13	GS		USD	1,000,000	3.00%		4.17%		N/A	12/16/2072	Monthly		106,533			85,458			(21,075	)
CMBX.NA.BBB-.13	MORD		USD	2,000,000	3.00%		4.17%		N/A	12/16/2072	Monthly		408,836			170,916			(237,920	)
CMBX.NA.BBB-.13	MORD		USD	2,000,000	3.00%		4.17%		N/A	12/16/2072	Monthly		332,412			170,916			(161,496	)
Sell Protection^:
CDX.NA.HYS.27.V2-5Y	GS		USD	2,084,000	5.00%		0.26%		2,084,000 USD	12/20/2021	Quarterly		268,315			105,247			(163,068	)
CDX.NA.HYS.27.V2-5Y	JPM		USD	8,600,000	5.00%		0.26%		8,600,000 USD	12/20/2021	Quarterly		1,143,800			434,321			(709,479	)
CDX.NA.HYS.27.V3-5Y	BOA		USD	8,545,000	5.00%		0.26%		8,545,000 USD	12/20/2021	Quarterly		1,369,764			431,544			(938,220	)
CDX.NA.HYS.27.V3-5Y	JPM		USD	7,735,000	5.00%		0.26%		7,735,000 USD	12/20/2021	Quarterly		1,096,050			390,637			(705,413	)
CDX.NA.HYS.29.V1-5Y	MORD		USD	4,264,000	5.00%		0.79%		4,264,000 USD	12/20/2022	Quarterly		644,717			371,180			(273,537	)
CDX.NA.HYS.29.V1-5Y	BOA		USD	5,115,600	5.00%		0.79%		5,115,600 USD	12/20/2022	Quarterly		742,274			445,312			(296,962	)
CDX.NA.HYS.29.V6-5Y	CITI		USD	5,994,100	5.00%		0.79%		5,994,100 USD	12/20/2022	Quarterly		229,274			521,785			292,511
CDX.NA.HYS.31.V1-5Y	JPM		USD	18,156,815	5.00%		0.32%		18,156,815 USD	12/20/2023	Quarterly		3,615,022			2,563,629			(1,051,393	)
ITRAXX.XOVERS.30.V3-5Y	JPM		EUR	655,580	5.00%		35.01%		655,580 EUR	12/20/2023	Quarterly		(487,841	)		(457,089	)		30,752
ITRAXX.XOVERS.30.V4-5Y	JPM		EUR	158,684	5.00%		35.01%		158,684 EUR	12/20/2023	Quarterly		(110,801	)		(110,639	)		162
CDX.NA.HYS.33.V1-5Y	GS		USD	25,938,066	5.00%		0.47%		25,938,066 USD	12/20/2024	Quarterly		5,736,852			4,640,738			(1,096,114	)
CDX.NA.HYS.33.V12-5Y	MORD		USD	2,840,000	5.00%		0.47%		2,840,000 USD	12/20/2024	Quarterly		481,871			508,122			26,251

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

OTC Credit Default Swaps — continued

Reference Entity	Counterparty	Notional Amount			Annual Premium	Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CDX.NA.HYS.33.V3-5Y	CITI		USD	4,185,325	5.00%		0.47%		4,185,325 USD		12/20/2024	Quarterly		442,877			748,823			305,946
CDX.NA.HYS.33.V3-5Y	GS		USD	9,506,516	5.00%		0.47%		9,506,516 USD		12/20/2024	Quarterly		1,343,307			1,700,869			357,562
CDX.NA.HYS.33.V8-5Y	GS		USD	6,508,491	5.00%		0.47%		6,508,491 USD		12/20/2024	Quarterly		1,066,328			1,164,474			98,146
CDX.NA.IGS.33.V1-5Y	CITI		USD	1,472,000	1.00%		13.91%		1,472,000 USD		12/20/2024	Quarterly		(820,051	)		(612,867	)		207,184
ITRAXX.EUROPES.32.V1-5Y	BOA		EUR	25,000,000	1.00%		0.75%		25,000,000 EUR		12/20/2024	Quarterly		114,434			306,949			192,515
ITRAXX.EUROPES.32.V1-5Y	GS		EUR	58,940,000	1.00%		0.16%		58,940,000 EUR		12/20/2024	Quarterly		2,667,689			2,424,162			(243,527	)
CMBX.NA.A.9	GS		USD	6,822,400	2.00%		3.04%		6,822,400 USD		09/17/2058	Monthly		89,487			(319,572	)		(409,059	)
													$	27,924,744		$	21,461,425		$	(6,463,319	)

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

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

(1) As of November 30, 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) ($)
0.25%	3 Month USD LIBOR	USD	9,700,000		11/10/2022	Quarterly		(4,539	)		(4,134	)		405
0.30%	3 Month USD LIBOR	USD	9,750,000		08/17/2024	Quarterly		—			4,763			4,763
0.33%	3 Month USD LIBOR	USD	12,520,000		10/20/2024	Quarterly		3,562			(2,300	)		(5,862	)
0.35%	3 Month USD LIBOR	USD	48,480,000		04/19/2025	Quarterly		43			36,821			36,778
0.40%	3 Month USD LIBOR	USD	26,300,000		10/08/2025	Quarterly		(3,685	)		13,538			17,223
0.48%	3 Month USD LIBOR	USD	1,870,000		08/19/2027	Quarterly		—			13,850			13,850
0.88%	3 Month USD LIBOR	USD	6,595,000		03/06/2028	Quarterly		(15,632	)		(115,935	)		(100,303	)
0.65%	3 Month USD LIBOR	USD	7,490,000		06/04/2028	Quarterly		(38,264	)		3,882			42,146
0.65%	3 Month USD LIBOR	USD	5,790,000		07/30/2028	Quarterly		(25,114	)		8,295			33,409
0.56%	3 Month USD LIBOR	USD	4,790,000		09/01/2028	Quarterly		—			44,301			44,301
1.30%	3 Month USD LIBOR	USD	10,027,000		12/19/2029	Quarterly		—			(466,153	)		(466,153	)
0.75%	3 Month USD LIBOR	USD	5,100,000		02/11/2030	Quarterly		(22,015	)		17,875			39,890
0.83%	3 Month USD LIBOR	USD	1,630,000		11/24/2030	Quarterly		—			2,984			2,984
							$	(105,644	)	$	(442,213	)	$	(336,569	)

As of November 30, 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 Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

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 November 30, 2020.

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

The rates shown on variable rate notes are the current interest rates at November 30, 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

MTA – Monthly Treasury Average Index

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 99.9%
		U.S. Government — 98.0%
	11,900,000	U.S. Treasury Bill, 0.11%, due 09/09/21 (a)		11,890,212
	91,000,000	U.S. Treasury Bill, 0.10%, due 10/07/21 (a)		90,919,680
	40,000,000	U.S. Treasury Bill, 0.11%, due 11/04/21 (a)		39,958,689
	10,000,000	U.S. Treasury Note, 1.13%, due 06/30/21		10,060,156
	30,000,000	U.S. Treasury Note, 1.13%, due 07/31/21		30,206,250
	35,000,000	U.S. Treasury Note, 1.13%, due 08/31/21		35,263,867
	37,000,000	U.S. Treasury Note, 1.13%, due 09/30/21		37,312,188
	50,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.30%, 0.39%, due 10/31/21		50,130,566
	45,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.24%, due 01/31/22		45,055,886
	40,000,000	U.S. Treasury Note, 1.75%, due 02/28/22		40,812,500
		Total U.S. Government		391,609,994
		U.S. Government Agency — 1.3%
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.09%, 0.17%, due 09/10/21		5,002,597
		Money Market Funds — 0.6%
	2,569,899	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 0.01% (b)		2,569,899
		TOTAL SHORT-TERM INVESTMENTS (COST $398,876,862)		399,182,490
		TOTAL INVESTMENTS — 99.9% (Cost $398,876,862)		399,182,490
		Other Assets and Liabilities (net) — 0.1%		437,095
		TOTAL NET ASSETS — 100.0%		$399,619,585

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 November 30, 2020.

The rates shown on variable rate notes are the current interest rates at November 30, 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, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund), Opportunistic Income Fund and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

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

Many of the Funds may invest without limitation in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), some of the Funds may invest in Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

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

Basis of presentation

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

Portfolio valuation

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

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

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 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 November 30, 2020:

Description	Level 1		Level 2			Level 3			Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—	$	118,627,797		$	—		$	118,627,797
TOTAL DEBT OBLIGATIONS		—		118,627,797			—			118,627,797
Mutual Funds		4,509,289		—			—			4,509,289
Short-Term Investments		411,936		—			—			411,936
Total Investments		4,921,225		118,627,797			—			123,549,022
Total	$	4,921,225	$	118,627,797		$	—		$	123,549,022
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	26,974,438		$	—		$	26,974,438
Corporate Debt		—		204,027,758			27,599,754			231,627,512
Foreign Government Agency		—		1,073,868,902			98,591,052			1,172,459,954
Foreign Government Obligations		—		2,394,262,559			140,410,358			2,534,672,917
U.S. Government		258,516,391		—			—			258,516,391
TOTAL DEBT OBLIGATIONS		258,516,391		3,699,133,657			266,601,164			4,224,251,212
Loan Assignments		—		—			18,443,191			18,443,191
Loan Participations		—		—			40,526,838			40,526,838
Mutual Funds		74,784,247		—			—			74,784,247
Rights/Warrants		—		15,109,993			36,163			15,146,156
Short-Term Investments		8,350,363		—			—			8,350,363
Total Investments		341,651,001		3,714,243,650			325,607,356			4,381,502,007
Derivatives^
Options
Credit Risk		—		—			638,570			638,570
Swap Contracts
Credit Risk		—		15,783,421			—			15,783,421
Interest Rate Risk		—		535,304			—			535,304
Total	$	341,651,001	$	3,730,562,375		$	326,245,926		$	4,398,459,302
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(4,159,520	)	$	—		$	(4,159,520	)
Options
Credit Risk		—		—			(194,255	)		(194,255	)
Swap Contracts
Credit Risk		—		(7,948,677	)		—			(7,948,677	)
Interest Rate Risk		—		(5,706,889	)		—			(5,706,889	)
Total	$	—	$	(17,815,086	)	$	(194,255	)	$	(18,009,341	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	57,527,622		$	—		$	57,527,622
U.S. Government		150,186		—			—			150,186
TOTAL DEBT OBLIGATIONS		150,186		57,527,622			—			57,677,808
Investment Funds		86,637,140		—			—			86,637,140
Short-Term Investments		10,097,175		14,369,577			—			24,466,752
Total Investments		96,884,501		71,897,199			—			168,781,700

Description	Level 1			Level 2			Level 3		Total
High Yield Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Futures Contracts
Interest Rate Risk	$	17,656		$	—		$	—	$	17,656
Swap Contracts
Credit Risk		—			2,133,203			—		2,133,203
Total	$	96,902,157		$	74,030,402		$	—	$	170,932,559
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(105,147	)	$	—	$	(105,147	)
Futures Contracts
Interest Rate Risk		(4,659	)		—			—		(4,659	)
Total	$	(4,659	)	$	(105,147	)	$	—	$	(109,806	)
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	63,670,213		$	—	$	63,670,213
Corporate Debt		—			56,048,127			—		56,048,127
U.S. Government		6,578,379			—			—		6,578,379
U.S. Government Agency		—			48,978,213			—		48,978,213
TOTAL DEBT OBLIGATIONS		6,578,379			168,696,553			—		175,274,932
Investment Funds		10,373,814			—			—		10,373,814
Mutual Funds		84,802,886			—			—		84,802,886
Short-Term Investments		3,565,840			74,181,275			—		77,747,115
Total Investments		105,320,919			242,877,828			—		348,198,747
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			2,530,831			—		2,530,831
Futures Contracts
Interest Rate Risk		107,585			—			—		107,585
Swap Contracts
Interest Rate Risk		—			932,755			—		932,755
Total	$	105,428,504		$	246,341,414		$	—	$	351,769,918
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(2,702,262	)	$	—	$	(2,702,262	)
Futures Contracts
Interest Rate Risk		(74,992	)		—			—		(74,992	)
Swap Contracts
Interest Rate Risk		—			(1,847,265	)		—		(1,847,265	)
Total	$	(74,992	)	$	(4,549,527	)	$	—	$	(4,624,519	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	673,506,946		$	23,532,338	$	697,039,284
U.S. Government		1,586,332			—			—		1,586,332
U.S. Government Agency		—			—			10,758,732		10,758,732
TOTAL DEBT OBLIGATIONS		1,586,332			673,506,946			34,291,070		709,384,348
Mutual Funds		11,003,541			—			—		11,003,541
Short-Term Investments		80,682,747			—			—		80,682,747
Purchased Options		—			328,009			—		328,009
Total Investments		93,272,620			673,834,955			34,291,070		801,398,645

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	51,400		$	—	$	51,400
Swap Contracts
Credit Risk		—			25,304,279			—		25,304,279
Interest Rate Risk		—			146,309			—		146,309
Total	$	93,272,620		$	699,336,943		$	34,291,070	$	826,900,633
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(45,825	)	$	—	$	(45,825	)
Futures Contracts
Interest Rate Risk		(5,108	)		—			—		(5,108	)
Written Options
Credit Risk		—			(125,481	)		—		(125,481	)
Swap Contracts
Credit Risk		—			(11,208,261	)		—		(11,208,261	)
Interest Rate Risk		—			(588,522	)		—		(588,522	)
Total	$	(5,108	)	$	(11,968,089	)	$	—	$	(11,973,197	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	399,182,490		$	—		$	—	$	399,182,490
Total Investments		399,182,490			—			—		399,182,490
Total	$	399,182,490		$	—		$	—	$	399,182,490

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, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on a comparable bond and applying a 200 basis point discount for liquidity considerations 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 125 basis points for liquidity considerations and six asset backed securities which were either adjusted for additional cashflow projections discounted for timing and likelihood of receipt, valued using the latest transaction of a comparable bond, or priced in line with broker marks. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 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 November 30, 2020		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2020
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	29,902,115	$	—		$	—		$	(1,212	)	$	—		$	(2,301,149	)	$	—		$	—	$	27,599,754	$	(2,301,149	)
Foreign Government Agency		170,402,802		—			(25,952,601	)		12,020,817			1,595,536			(59,475,502	)		—			—		98,591,052		(53,701,875	)
Foreign Government Obligations		173,035,182		1,826,440			(8,206,335	)		19,730,229			812,078			(46,787,236	)		—			—		140,410,358		(45,941,354	)
Loan Assignments		14,402,514		11,639,508			(2,218,039	)		593,553			—			(5,974,345	)		—			—		18,443,191		(5,974,345	)
Loan Participations		47,750,729		3,173,040			(7,818,233	)		1,567,464			—			(4,146,162	)		—			—		40,526,838		(4,146,162	)
Rights/Warrants		2,082,394		—			—			—			(6,136,546	)		4,090,315			—			—		36,163		(415,503	)
Total Investments		437,575,736		16,638,988			(44,195,208	)		33,910,851			(3,728,932	)		(114,594,079	)		—			—		325,607,356		(112,480,388	)
Derivatives
Options		1,036,169		—			—			—			(193,535	)		(398,319	)		—			—		444,315		(39,986	)
Total	$	438,611,905	$	16,638,988		$	(44,195,208	) #	$	33,910,851		$	(3,922,467	)	$	(114,992,398	)	$	—		$	—	$	326,051,671	$	(112,520,374	)
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	25,989,481	$	30		$	(3,187,783	)	$	147,733		$	—		$	(1,590,248	)	$	2,173,125	‡	$	—	$	23,532,338	$	(1,590,248	)
U.S. Government Agency		12,228,802		—			(1,596,250	)		17,284			—			108,896			—			—		10,758,732		108,896
Total	$	38,218,283	$	30	# #	$	(4,784,033	) # # #	$	165,017		$	—		$	(1,481,352	)	$	2,173,125		$	—	$	34,291,070	$	(1,481,352	)

# Includes $14,496,245 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $30 of purchases paid as a principal payup.

### Includes $4,784,033 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.

Some Funds have 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 November 30, 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		45,757,856		Fair Value		Discount for lack of liquidity/marketabilty		1.40% (N/A)
Corporate Debt		27,599,754		Fair Value		Discount for lack of liquidity/marketabilty		2.00% (N/A)
Loan Assignments and Participations		6,322,726		Fair Value		Discount for lack of liquidity/marketabilty		5.00%-6.00% (5.16%)
Options		444,315		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		4,694,728		Fair Value		Probability and timing of cash flow receipt		25-75% (N/A)
Asset-Backed Securities		5,739,000		Fair Value		Broker mark of comparable bond		N/A (N/A)
Asset-Backed Securities		9,240,858		Fair Value		Trade correlation with observed comparable bond		N/A (N/A)
Government Agency		10,758,732		Fair Value		Discount for lack of liquidity/marketabilty		1.25% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of November 30, 2020, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $245,927,020 and $3,857,752, 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. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 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
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	8,656,379	$	13,843,172	$	18,030,000	$	13,411	$	—	$	59,580		$	(19,842	)	$	4,509,289
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,487,484	$	—	$	—	$	142,870	$	—	$	—		$	296,763		$	74,784,247
High Yield Fund
GMO U.S. Treasury Fund	$	385,180	$	28,755,749	$	29,171,591	$	7,267	$	—	$	30,662		$	—		$	—
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
GMO Emerging Country Debt Fund, Class IV	$	29,316,657	$	—	$	11,500,000	$	285,841	$	220,820	$	(1,411,857	)	$	809,714		$	17,214,514
GMO Opportunistic Income Fund, Class VI		108,395,452		—		42,000,000		780,717		—		(221,529	)		(161,003	)		66,012,920
GMO U.S. Treasury Fund		4,517,130		182,200,000		185,190,000		27,640		—		52,340			(4,018	)		1,575,452
Totals	$	142,229,239	$	182,200,000	$	238,690,000	$	1,094,198	$	220,820	$	(1,581,046	)	$	644,693		$	84,802,886
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	10,256,103	$	18,500,000	$	17,773,000	$	12,072	$	—	$	61,299		$	(40,861	)	$	11,003,541

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2020 through November 30, 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

Subsequent to November 30, 2020, GMO High Yield Fund and GMO Multi-Sector Fixed Income Fund received redemption requests in the amounts of $86,883,319 and $142,010,602, respectively.

* * *

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

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 93.0%
		Argentina — 0.9%
	366,715	Adecoagro SA *		2,266,299
		Australia — 1.6%
	5,400,000	Clean TeQ Holdings Ltd *		1,080,206
	707,712	Sandfire Resources NL		2,277,786
	141,824	Tassal Group Ltd		376,775
	302,161	Western Areas Ltd (a)		498,495
		Total Australia		4,233,262
		Brazil — 1.4%
	245,000	Duratex SA		858,831
	444,778	Sao Martinho SA		2,172,666
	139,200	SLC Agricola SA		699,196
		Total Brazil		3,730,693
		Canada — 6.1%
	168,563	Canadian Solar Inc * (a)		7,207,754
	989,315	Ivanhoe Mines Ltd – Class A *		4,631,582
	2,322,300	Largo Resources Ltd * (a)		1,895,463
	107,500	Lundin Mining Corp		859,205
	76,100	NFI Group Inc (a)		1,150,260
		Total Canada		15,744,264
		China — 6.2%
	647,400	CECEP Solar Energy Co Ltd – Class A		474,926
	1,543,000	Chaowei Power Holdings Ltd		648,332
	2,989,919	China High Speed Transmission Equipment Group Co Ltd		2,148,021
	938,000	China Longyuan Power Group Corp Ltd – Class H		792,461
	2,040,000	China Suntien Green Energy Corp Ltd – Class H		539,771
	1,030,000	China Water Affairs Group Ltd		810,491
	78,100	Hollysys Automation Technologies Ltd		984,841
	1,944,000	Sinofert Holdings Ltd *		190,335
	218,822	Sungrow Power Supply Co Ltd – Class A		1,597,722
	1,338,000	Tianneng Power International Ltd		2,807,254
	1,194,000	Wasion Group Holdings Ltd		339,090
	1,017,400	Xinjiang Goldwind Science & Technology Co Ltd – Class H		1,636,878
	555,776	Zhengzhou Yutong Bus Co Ltd – Class A		1,466,603
	455,285	Zhuzhou CRRC Times Electric Co Ltd – Class H		1,432,851
		Total China		15,869,576
		Denmark — 1.1%
	1,706	Rockwool International A/S – Class B		622,136
	10,719	Vestas Wind Systems A/S		2,184,677
		Total Denmark		2,806,813
		Finland — 3.4%
	60,134	Kemira Oyj		859,668
	117,088	Neste Oyj		7,823,851
		Total Finland		8,683,519

Shares		Description	Value ($)
		France — 7.0%
	8,409	Albioma SA		426,978
	202,802	Electricite de France SA *		3,081,755
	31,420	Nexans SA *		1,979,430
	8,473	Schneider Electric SE		1,180,505
	29,713	STMicroelectronics NV		1,180,691
	148,665	Suez		2,843,788
	80,435	Valeo SA		3,103,168
	144,951	Veolia Environnement SA		3,325,046
	16,484	Vilmorin & Cie SA		980,180
		Total France		18,101,541
		Germany — 3.2%
	19,251	CENTROTEC Sustainable AG *		344,375
	174,609	E.ON SE		1,889,354
	6,894	Infineon Technologies AG		243,227
	257,099	K+S AG (Registered)		2,311,113
	209	Knorr-Bremse AG		26,754
	25,095	Siemens AG (Registered)		3,349,546
		Total Germany		8,164,369
		India — 0.4%
	854,622	Jain Irrigation Systems Ltd *		223,918
	267,776	Power Grid Corp of India Ltd		689,565
		Total India		913,483
		Israel — 0.3%
	140,867	ICL Group Ltd		669,961
		Italy — 3.2%
	481,999	Enel SPA		4,835,810
	107,025	Prysmian SPA		3,522,917
		Total Italy		8,358,727
		Japan — 5.8%
	1,300	Daikin Industries Ltd		294,437
	64,900	Ebara Corp		2,069,883
	79,000	GS Yuasa Corp		1,903,170
	21,500	Iseki & Co Ltd		281,713
	53,200	Kurita Water Industries Ltd		1,962,786
	15,900	METAWATER Co Ltd		360,156
	67,100	Osaki Electric Co Ltd		353,911
	292,700	Panasonic Corp		3,104,240
	243,200	Renesas Electronics Corp *		2,155,143
	19,700	Sanken Electric Co Ltd		716,466
	66,400	Takuma Co Ltd		1,137,125
	41,000	Tsukishima Kikai Co Ltd		472,055
		Total Japan		14,811,085
		Mexico — 2.6%
	1,789,252	Grupo Mexico SAB de CV		6,507,095
	294,816	Grupo Rotoplas SAB de CV * (a)		316,694
		Total Mexico		6,823,789

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Netherlands — 0.8%
	68,578	Arcadis NV * (a)		2,094,587
		Norway — 1.5%
	354,472	Austevoll Seafood ASA		3,223,401
	38,208	Grieg Seafood ASA * (a)		328,221
	4,858	Salmar ASA *		265,553
		Total Norway		3,817,175
		Pakistan — 0.3%
	1,088,535	Fauji Fertilizer Co Ltd		704,754
		Portugal — 1.4%
	651,588	EDP – Energias de Portugal SA		3,482,908
		Russia — 4.7%
	254,757	MMC Norilsk Nickel PJSC ADR		7,065,341
	297,118	PhosAgro PJSC GDR (Registered)		3,795,034
	116,061	Ros Agro Plc GDR (Registered)		1,235,694
		Total Russia		12,096,069
		Spain — 2.4%
	9,324	Acciona SA (a)		1,188,986
	3,147	Construcciones y Auxiliar de Ferrocarriles SA *		132,296
	82,895	Endesa SA		2,382,615
	17,541	Fomento de Construcciones y Contratas SA		185,706
	76,226	Red Electrica Corp SA		1,558,293
	129,990	Talgo SA *		635,306
		Total Spain		6,083,202
		Sweden — 0.3%
	18,234	Holmen AB – B Shares		789,657
		Switzerland — 1.3%
	992	Gurit Holding AG		2,496,645
	12,914	Landis+Gyr Group AG *		929,979
		Total Switzerland		3,426,624
		Taiwan — 0.2%
	82,000	Delta Electronics Inc		646,454
		Thailand — 0.2%
	738,600	SPCG Pcl		524,822
		Ukraine — 0.7%
	137,904	Kernel Holding SA		1,782,972
		United Kingdom — 2.3%
	47,400	Abengoa Yield Plc		1,630,086
	300,364	Drax Group Plc		1,311,520
	85,071	Go-Ahead Group Plc *		921,067
	45,574	Polypipe Group Plc *		298,454

Shares		Description	Value ($)
		United Kingdom — continued
	2,220,793	Renewi Plc *		983,214
	938,643	Stagecoach Group Plc		753,268
		Total United Kingdom		5,897,609
		United States — 33.7%
	34,000	AGCO Corp.		3,145,340
	8,260	Albemarle Corp.		1,123,112
	121,794	BorgWarner, Inc.		4,731,697
	193,596	Darling Ingredients, Inc. *		9,346,815
	25,100	Eaton Corp Plc		3,039,861
	14,900	Edison International		914,264
	24,600	EnerSys		2,012,526
	36,209	Enphase Energy, Inc. *		4,945,063
	43,700	Exelon Corp.		1,794,759
	50,289	First Solar, Inc. *		4,698,501
	241,632	Freeport-McMoRan, Inc.		5,651,773
	69,000	FutureFuel Corp.		827,310
	1,327,192	GrafTech International Ltd.		10,484,817
	90,500	Livent Corp. * (a)		1,372,885
	296,047	Mosaic Co. (The)		6,501,192
	20,600	MYR Group, Inc. *		1,053,278
	73,779	ON Semiconductor Corp. *		2,121,146
	47,600	Owens Corning		3,468,612
	145,328	Renewable Energy Group, Inc. *		8,440,650
	20,000	Rexnord Corp.		750,200
	30,344	SolarEdge Technologies, Inc. *		8,435,025
	10,529	TE Connectivity Ltd.		1,199,990
	3,900	Valmont Industries, Inc.		635,622
		Total United States		86,694,438
		TOTAL COMMON STOCKS (COST $193,451,496)		239,218,652
		PREFERRED STOCKS (b) — 2.0%
		Chile — 2.0%
	108,011	Sociedad Quimica y Minera de Chile SA Sponsored ADR		5,084,078
		TOTAL PREFERRED STOCKS (COST $3,382,757)		5,084,078
		MUTUAL FUNDS — 4.7%
		United States — 4.7%
		Affiliated Issuers — 4.7%
	2,418,493	GMO U.S. Treasury Fund (c)		12,189,207
		TOTAL MUTUAL FUNDS (COST $12,189,207)		12,189,207

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	393,103	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		393,103
		TOTAL SHORT-TERM INVESTMENTS (COST $393,103)		393,103
		TOTAL INVESTMENTS — 99.9% (Cost $209,416,563)		256,885,040
		Other Assets and Liabilities (net) — 0.1%		227,417
		TOTAL NET ASSETS — 100.0%		$257,112,457

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 November 30, 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)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.5%
		Canada — 4.9%
	85,680	Brookfield Asset Management Inc – Class A		3,469,183
	62,600	Nutrien Ltd		3,084,302
		Total Canada		6,553,485
		Finland — 3.5%
	70,072	Neste Oyj		4,682,230
		France — 8.6%
	4,483	Kering SA		3,236,594
	6,282	LVMH Moet Hennessy Louis Vuitton SE		3,608,353
	32,736	Safran SA *		4,772,058
		Total France		11,617,005
		Ireland — 2.8%
	209,244	Ryanair Holdings Plc *		3,813,389
		Mexico — 5.9%
	449,700	Fomento Economico Mexicano SAB de CV		3,248,659
	1,306,800	Grupo Mexico SAB de CV Series B		4,752,529
		Total Mexico		8,001,188
		Russia — 4.2%
	40,975	LUKOIL PJSC Sponsored ADR		2,637,772
	19,632	Novatek PJSC Sponsered GDR (Registered)		3,020,536
		Total Russia		5,658,308
		Spain — 5.2%
	51,047	Amadeus IT Group SA		3,510,218
	107,679	Industria de Diseno Textil SA		3,574,337
		Total Spain		7,084,555
		United Kingdom — 12.0%
	60,943	Berkeley Group Holdings Plc (The)		3,725,059
	244,681	Compass Group Plc		4,305,324
	121,417	Persimmon Plc		4,260,794
	248,477	Royal Dutch Shell Plc – B Shares		3,990,660
		Total United Kingdom		16,281,837
		United States — 47.4%
	39,376	American Express Co.		4,669,600
	1,700	Booking Holdings, Inc. *		3,448,365
	98,400	BorgWarner, Inc.		3,822,840
	74,127	Charles Schwab Corp. (The)		3,615,915
	32,500	Chevron Corp.		2,833,350
	49,948	Coca-Cola Co. (The)		2,577,317

Shares		Description	Value ($)
		United States — continued
	73,552	EOG Resources, Inc.		3,448,118
	31,700	Hasbro, Inc.		2,949,051
	29,822	Hilton Worldwide Holdings, Inc.		3,090,454
	15,400	Honeywell International, Inc.		3,140,368
	52,463	Las Vegas Sands Corp.		2,922,714
	94,800	Lyft, Inc. – Class A *		3,618,516
	3,137	Markel Corp. *		3,054,905
	54,882	Raytheon Technologies Corp.		3,936,137
	93,287	Sensata Technologies Holding Plc *		4,555,204
	110,985	US Bancorp		4,795,662
	74,288	Verso Corp. – Class A		803,053
	49,423	VF Corp.		4,121,878
	97,579	Wells Fargo & Co.		2,668,785
		Total United States		64,072,232
		TOTAL COMMON STOCKS (COST $101,218,724)		127,764,229
		PREFERRED STOCKS (a) — 3.1%
		Brazil — 3.1%
	392,800	Bradespar SA		4,259,842
		TOTAL PREFERRED STOCKS (COST $2,219,286)		4,259,842
		MUTUAL FUNDS — 2.1%
		United States — 2.1%
		Affiliated Issuers — 2.1%
	571,032	GMO U.S. Treasury Fund		2,878,000
		TOTAL MUTUAL FUNDS (COST $2,878,000)		2,878,000
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	251,996	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		251,996
		TOTAL SHORT-TERM INVESTMENTS (COST $251,996)		251,996
		TOTAL INVESTMENTS — 99.9% (Cost $106,568,006)		135,154,067
		Other Assets and Liabilities (net) — 0.1%		95,055
		TOTAL NET ASSETS — 100.0%		$135,249,122

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 November 30, 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)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 77.7%
		Brazil — 2.6%
	1,146,700	Atacadao SA		4,304,352
	653,000	B3 SA—Brasil Bolsa Balcao		6,841,544
	1,186,500	JHSF Participacoes SA		1,625,585
	472,300	Movida Participacoes SA		1,729,669
	15,968,800	Oi SA *		6,319,083
	521,900	Telefonica Brasil SA		4,359,396
		Total Brazil		25,179,629
		China — 31.0%
	606,500	Alibaba Group Holding Ltd *		19,924,561
	145,076	Alibaba Group Holding Ltd Sponsored ADR *		38,207,215
	427,090	Anhui Conch Cement Co Ltd – Class H		2,729,901
	19,600	Autohome Inc ADR		1,850,632
	330,100	Bank of Ningbo Co Ltd – Class A		1,852,040
	434,800	Beijing Oriental Yuhong Waterproof Technology Co Ltd – Class A		2,258,196
	44,000	Bilibili, Inc. Sponsored ADR *		2,765,840
	265,000	Chacha Food Co Ltd – Class A		2,171,444
	2,268,502	China Merchants Bank Co Ltd – Class H		14,378,374
	1,335,880	Focus Media Information Technology Co Ltd – Class A		1,965,914
	380,565	Gree Electric Appliances Inc of Zhuhai – Class A		3,848,984
	1,834,000	Guangzhou Automobile Group Co Ltd – Class H		1,972,260
	299,100	Han’s Laser Technology Industry Group Co Ltd – Class A		1,797,188
	284,800	JD.com Inc ADR *		24,307,680
	330,200	JD.com Inc – Class A *		14,170,097
	390,947	Jiangsu Hengli Hydraulic Co Ltd – Class A		5,446,764
	33,587	Kweichow Moutai Co Ltd – Class A		8,734,910
	455,500	Longfor Group Holdings Ltd		2,976,613
	241,000	Lufax Holding Ltd ADR*		3,969,270
	284,600	Luxshare Precision Industry Co Ltd – Class A		2,236,718
	300,000	Meituan – Class B *		11,218,921
	1,435,600	MGM China Holdings Ltd		2,089,376
	232,021	Midea Group Co Ltd – Class A		3,056,201
	28,400	NetEase Inc		528,524
	62,900	NetEase Inc ADR		5,684,273
	29,100	New Oriental Education & Technology Group Inc Sponsored ADR *		4,797,135
	20,200	Pinduoduo, Inc ADR*		2,803,962
	1,449,246	Ping An Insurance Group Co of China Ltd – Class H		17,045,376
	26,300	QUALCOMM, Inc		3,870,571
	52,883	Shenzhen Mindray Bio-Medical Electronics Co Ltd – Class A		2,705,181
	342,200	Shenzhou International Group Holdings Ltd		5,751,517
	515,362	Suofeiya Home Collection Co Ltd – Class A		2,137,466
	82,700	TAL Education Group ADR *		5,793,962

Shares		Description	Value ($)
		China — continued
	837,684	Tencent Holdings Ltd		61,065,219
	153,430	Wuliangye Yibin Co Ltd – Class A		5,917,400
	381,400	Xiaomi Corp – Class B *		1,302,150
	99,600	Yum China Holdings Inc		5,615,448
	327,000	Zhongsheng Group Holdings Ltd		2,458,617
		Total China		301,405,900
		France — 0.2%
	5,956	L’Oreal SA		2,192,380
		Greece — 0.2%
	1,260,356	National Bank of Greece SA *		2,265,103
		Hong Kong — 0.9%
	796,400	AIA Group Ltd		8,739,998
		Hungary — 0.2%
	40,400	OTP Bank Plc *		1,607,887
		India — 9.2%
	54,337	Apollo Hospitals Enterprise Ltd		1,691,747
	1,492,887	Ashok Leyland Ltd		1,838,624
	340,804	Aurobindo Pharma Ltd		3,959,167
	559,310	Bandhan Bank Ltd *		2,742,800
	348,736	Central Depository Services India Ltd		2,304,546
	215,589	Cipla Ltd		2,145,043
	3,904,869	Gayatri Projects Ltd *		1,693,711
	570,610	HCL Technologies Ltd		6,306,692
	437,684	HDFC Bank Ltd *		8,436,304
	222,626	HDFC Life Insurance Co Ltd *		1,930,084
	1,255,876	ICICI Bank Ltd *		8,021,583
	204,000	ICICI Bank Ltd Sponsored ADR *		2,623,440
	15,137	IndiaMART InterMESH Ltd		1,034,764
	393,407	IndusInd Bank Ltd *		4,519,084
	461,034	Infosys Ltd		6,963,015
	162,100	Infosys Ltd Sponsored ADR		2,467,162
	48,168	Ipca Laboratories Ltd		1,440,096
	254,806	Muthoot Finance Ltd		3,927,774
	93,009	Reliance Industries Ltd		2,418,439
	368,821	SBI Cards & Payment Services Ltd		3,955,667
	82,767	Tata Consultancy Services Ltd		2,972,221
	297,873	Tata Consumer Products Ltd		2,145,263
	508,238	Tech Mahindra Ltd		5,907,108
	52,932	Torrent Pharmaceuticals Ltd		1,866,219
	938,532	Wipro Ltd		4,440,452
	8,547,592	Yes Bank Ltd *		1,696,126
		Total India		89,447,131
		Indonesia — 0.6%
	2,647,700	Bank Central Asia Tbk PT		5,815,259

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — 0.2%
	9,500	Daikin Industries Ltd		2,151,652
		Mexico — 0.6%
	2,176,424	Wal-Mart de Mexico SAB de CV		5,729,061
		Philippines — 1.3%
	478,700	BDO Unibank Inc		1,029,796
	220,410	GT Capital Holdings Inc		2,657,811
	88,170	PLDT Inc		2,409,539
	2,652,480	Puregold Price Club Inc		2,324,771
	449,500	Security Bank Corp		1,166,345
	9,925,400	Semirara Mining & Power Corp		2,557,261
		Total Philippines		12,145,523
		Poland — 0.2%
	118,225	Bank Polska Kasa Opieki SA *		1,789,467
		Russia — 2.4%
	1,002,290	Detsky Mir PJSC		1,843,105
	1,348,600	Moscow Exchange MICEX-RTS PJSC		2,706,666
	405,868	Sberbank of Russia PJSC Sponsored ADR		5,354,041
	119,850	X5 Retail Group NV GDR (Registered)		4,288,958
	131,500	Yandex NV – Class A *		9,068,240
		Total Russia		23,261,010
		South Africa — 0.5%
	1,606,023	FirstRand Ltd		4,710,253
		South Korea — 10.2%
	17,195	E-MART Inc		2,391,086
	6,613	Kakao Corp		2,203,969
	155,570	KB Financial Group Inc		6,431,288
	1,893	LG Household & Health Care Ltd		2,587,604
	7,449	NAVER Corp		1,875,347
	1,200,851	Samsung Electronics Co Ltd		72,388,204
	73,550	Shinhan Financial Group Co Ltd		2,165,749
	102,891	SK Hynix Inc		9,066,581
		Total South Korea		99,109,828
		Taiwan — 14.2%
	335,458	Advantech Co Ltd		3,607,233
	172,000	Airtac International Group		5,014,799
	3,660,000	CTBC Financial Holding Co Ltd		2,461,767
	1,107,000	Delta Electronics Inc		8,727,126
	1,455,000	E Ink Holdings Inc		2,097,330
	4,191,991	E.Sun Financial Holding Co Ltd		3,709,554
	235,000	MediaTek Inc		5,803,312
	765,000	Micro-Star International Co Ltd		3,350,497
	1,596,000	Pegatron Corp		3,651,572
	2,095,000	Quanta Computer Inc		5,654,897
	512,000	Sinbon Electronics Co Ltd		3,503,068
	3,162,385	Taiwan Cement Corp		4,759,300

Shares		Description	Value ($)
		Taiwan — continued
	4,729,800	Taiwan Semiconductor Manufacturing Co Ltd		80,509,849
	3,289,000	Wistron Corp		3,440,128
	142,000	Yageo Corp		2,201,735
		Total Taiwan		138,492,167
		Thailand — 0.7%
	649,800	Advanced Info Service Pcl (Foreign Registered)		3,770,347
	1,579,200	CP ALL Pcl (Foreign Registered) *		3,158,335
		Total Thailand		6,928,682
		United States — 1.3%
	30,100	Apple, Inc.		3,583,405
	12,450	Facebook, Inc. – Class A *		3,448,277
	37,900	PepsiCo, Inc.		5,466,317
		Total United States		12,497,999
		Vietnam — 1.2%
	1,982,170	Bank for Foreign Trade of Vietnam JSC		7,973,778
	839,690	Vietnam Dairy Products JSC		3,923,126
		Total Vietnam		11,896,904
		TOTAL COMMON STOCKS (COST $634,627,412)		755,365,833
		PREFERRED STOCKS (a) — 1.9%
		Brazil — 1.9%
	297,900	Azul SA*		2,114,114
	3,040,900	Itau Unibanco Holding SA		16,210,868
		Total Brazil		18,324,982
		TOTAL PREFERRED STOCKS (COST $15,792,281)		18,324,982
		INVESTMENT FUNDS — 17.8%
		China — 5.4%
	967,500	iShares China Large-Cap ETF		45,472,500
	87,000	iShares MSCI China ETF		6,943,470
		Total China		52,415,970
		Mexico — 1.2%
	277,700	iShares MSCI Mexico ETF		11,266,289
		Russia — 2.0%
	868,200	VanEck Vectors Russia ETF		19,794,960
		South Korea — 0.4%
	133,330	Samsung Kodex 200 ETF		4,181,007
		United States — 8.8%
	1,459,223	iShares Core MSCI Emerging Markets ETF		85,539,652
		TOTAL INVESTMENT FUNDS (COST $162,610,499)		173,197,878

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 1.7%
		United States — 1.7%
		Affiliated Issuers — 1.7%
	3,209,497	GMO U.S. Treasury Fund		16,175,866
		TOTAL MUTUAL FUNDS (COST $16,175,866)		16,175,866
		SHORT-TERM INVESTMENTS — 1.0%
		Money Market Funds — 0.5%
	5,147,922	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		5,147,922
		Total Money Market Funds		5,147,922
		U.S. Government — 0.5%
	5,000,000	U.S. Treasury Bill, 0.07%, due 01/14/21 (c) (d)		4,999,557
		TOTAL SHORT-TERM INVESTMENTS (COST $10,147,087)		10,147,479
		TOTAL INVESTMENTS — 100.1% (Cost $839,353,145)		973,212,038
		Other Assets and Liabilities (net) — (0.1%)		(991,814	)
		TOTAL NET ASSETS — 100.0%		$972,220,224

A summary of outstanding financial instruments at November 30, 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		(2,209,109	)
02/25/2021	MSCI	USD	48,894,048	THB	1,537,784,049		1,925,048
						$	(284,061	)

As of November 30, 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) 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 November 30, 2020.

(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 shown represents yield-to-maturity.

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

PJSC - Private Joint-Stock Company

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)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 91.8%
		Argentina — 0.4%
	228,200	Banco BBVA Argentina SA ADR * (a)		730,240
	16,800	Banco Macro SA ADR *		268,296
	47,400	Globant SA *		8,943,432
	351,800	Grupo Financiero Galicia SA ADR		3,028,998
		Total Argentina		12,970,966
		Brazil — 0.6%
	3,075,000	Cielo SA		2,037,602
	2,364,400	Cogna Educacao *		2,069,854
	1,695,300	IRB Brasil Resseguros SA		2,098,002
	241,400	Porto Seguro SA		2,135,805
	688,600	WEG SA		9,456,136
		Total Brazil		17,797,399
		Chile — 0.1%
	4,443,378	Aguas Andinas SA – Class A		1,288,865
	132,686	Empresa Nacional de Telecomunicaciones SA		804,580
	49,617	Inversiones La Construccion SA		309,877
		Total Chile		2,403,322
		China — 36.8%
	4,972,000	361 Degrees International Ltd		622,663
	1,488,000	Agile Group Holdings Ltd		2,148,436
	97,037,590	Agricultural Bank of China Ltd – Class H		36,844,601
	92,000	AK Medical Holdings Ltd		144,931
	121,900	Alibaba Group Holding Ltd *		4,004,623
	657,826	Alibaba Group Holding Ltd Sponsored ADR *		173,245,055
	2,889,699	Anhui Conch Cement Co Ltd – Class H		18,470,562
	1,369,199	Anhui Expressway Co Ltd – Class H		780,176
	424,000	Asia Cement China Holdings Corp		423,337
	5,682,500	BAIC Motor Corp Ltd – Class H		2,126,067
	57,582,682	Bank of China Ltd – Class H		20,324,178
	1,696,425	Beijing North Star Co Ltd – Class H		352,194
	733,200	BEST Inc ADR *		2,148,276
	642,500	Budweiser Brewing Co APAC Ltd		2,205,705
	419,426	BYD Co Ltd – Class A		10,910,805
	389,500	BYD Electronic International Co Ltd		1,926,650
	9,673,878	China Communications Services Corp Ltd – Class H		5,155,427
	132,088,148	China Construction Bank Corp – Class H		103,257,603
	3,945,000	China Dongxiang Group Co Ltd		457,974
	4,564,000	China Eastern Airlines Corp Ltd – Class H		2,060,882
	9,196,000	China Feihe Ltd		21,961,949
	532,300	China International Travel Service Corp Ltd – Class A		15,597,543
	7,546,000	China Jinmao Holdings Group Ltd		3,888,704
	174,000	China Kepei Education Group Ltd		134,757
	2,357,000	China Lesso Group Holdings Ltd		4,213,112
	934,000	China Life Insurance Co Ltd – Class H		2,107,773
	9,465,000	China Machinery Engineering Corp – Class H		1,978,928
	1,104,000	China Medical System Holdings Ltd		1,127,252

Shares		Description	Value ($)
		China — continued
	115,464	China Merchants Bank Co Ltd – Class A		775,934
	4,636,000	China Oriental Group Co Ltd		1,389,343
	1,165,000	China Overseas Grand Oceans Group Ltd		694,818
	6,801,500	China Overseas Land & Investment Ltd		16,560,211
	4,783,000	China Railway Signal & Communication Corp Ltd – Class H		1,696,964
	15,241,000	China Reinsurance Group Corp – Class H		1,612,378
	5,412,000	China Resources Cement Holdings Ltd		6,721,312
	356,000	China Resources Gas Group Ltd		1,715,806
	6,486,000	China Resources Land Ltd		28,069,382
	550,000	China SCE Group Holdings Ltd		251,858
	4,589,500	China Shenhua Energy Co Ltd – Class H		8,851,657
	90,781	China Vanke Co Ltd – Class H		344,800
	48,000	Chinasoft International Ltd *		50,825
	4,884,000	COSCO Shipping Energy Transportation Co Ltd – Class H		2,148,669
	10,376,714	Country Garden Holdings Co Ltd		13,683,651
	260,000	Country Garden Services Holdings Co Ltd		1,452,746
	3,058,000	Dongyue Group Ltd		1,595,020
	300	ENN Energy Holdings Ltd		3,958
	163,000	Fu Shou Yuan International Group Ltd		164,051
	5,052,000	Geely Automobile Holdings Ltd		13,975,996
	2,127,000	Greenland Hong Kong Holdings Ltd		657,487
	7,196,000	Guangdong Investment Ltd		11,931,671
	8,400	Guangdong Tapai Group Co Ltd – Class A		17,455
	1,488,600	Guotai Junan Securities Co Ltd – Class H		2,192,838
	413,000	Haier Electronics Group Co Ltd		1,968,817
	166,000	Haitian International Holdings Ltd		449,721
	679,922	Hangzhou Robam Appliances Co Ltd – Class A		4,123,867
	1,856,500	Hebei Construction Group Corp Ltd – Class H		5,269,799
	36,000	Hengan International Group Co Ltd		247,607
	6,404,568	Hisense Home Appliances Group Co Ltd – Class A		14,538,257
	313,000	Hisense Home Appliances Group Co Ltd – Class H		470,450
	240,000	Hollysys Automation Technologies Ltd		3,026,400
	64,000	Hopson Development Holdings Ltd		167,193
	10,248,000	Hua Han Health Industry Holdings Ltd *(b)		687,515
	1,152,342	Huayu Automotive Systems Co Ltd – Class A		5,465,260
	88,472,847	Industrial & Commercial Bank of China Ltd – Class H		55,890,497
	2,200	KE Holdings Inc ADR *		143,726
	1,557,500	Kingboard Laminates Holdings Ltd		2,512,673
	68,707	Kweichow Moutai Co Ltd – Class A		17,868,504
	922,250	KWG Living Group Holdings Ltd *		713,903
	3,317,500	KWG Property Holding Ltd		4,538,602
	1,213,500	Legend Holdings Corp – Class H		1,650,136
	387,800	Livzon Pharmaceutical Group Inc – Class H		1,527,720
	3,227,000	Logan Group Co Ltd		5,402,200
	2,486,000	Longfor Group Holdings Ltd		16,245,578
	3,868,000	Lonking Holdings Ltd		1,116,873
	293,700	Lufax Holding Ltd ADR*		4,837,239
	550,506	Midea Group Co Ltd – Class A		7,251,313
	186,100	NetEase Inc		3,463,320
	783,500	NetEase Inc ADR		70,804,895

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		China — continued
	670,693	New China Life Insurance Co Ltd – Class A		6,251,375
	1,673,000	PAX Global Technology Ltd		1,039,629
	30,949,000	PICC Property & Casualty Co Ltd – Class H		25,536,302
	3,783,000	Postal Savings Bank of China Co Ltd – Class H		2,138,286
	5,848,400	Qingling Motors Co Ltd – Class H		1,147,310
	181,000	Road King Infrastructure Ltd		242,849
	3,606,000	Shanghai Electric Group Co Ltd – Class H *		1,037,457
	668,000	Shanghai Industrial Holdings Ltd		992,815
	1,632,000	Shenzhen Expressway Co Ltd – Class H		1,627,568
	3,750,789	Shenzhen Investment Ltd		1,372,816
	3,467,481	Shenzhen YUTO Packaging Technology Co Ltd – Class A		13,853,742
	5,287,000	Shimao Group Holdings Ltd		19,705,587
	4,439,000	Sino-Ocean Land Holdings Ltd		933,495
	1,669,000	Sinopec Engineering Group Co Ltd – Class H		738,567
	6,434,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		1,427,739
	2,134,000	Sinotruk Hong Kong Ltd		5,317,763
	3,523,500	SOHO China Ltd *		1,095,546
	4,999,924	Suofeiya Home Collection Co Ltd – Class A		20,737,203
	893,665	Tencent Holdings Ltd		65,146,104
	15,900	Tencent Holdings Ltd ADR		1,160,700
	2,218,000	Tianneng Power International Ltd		4,653,579
	1,507,900	Vipshop Holdings Ltd ADR *		38,511,766
	11,148,676	Weifu High-Technology Group Co Ltd – Class A		43,901,583
	40,443	Wuhu Sanqi Interactive Entertainment Network Technology Group Co Ltd – Class A		160,688
	1,472,200	Xiaomi Corp – Class B *		5,026,286
	220,000	Xinyi Glass Holdings Ltd		493,392
	1,677,500	Xtep International Holdings Ltd		713,651
	42,656,300	Yangzijiang Shipbuilding Holdings Ltd		27,718,882
	3,064,000	Yuzhou Group Holdings Co Ltd		1,217,528
	363,667	Zhejiang Supor Co Ltd – Class A		3,868,154
	1,609,500	Zhongsheng Group Holdings Ltd		12,101,358
	1,444,800	Zhuzhou Kibing Group Co Ltd – Class A		2,554,101
		Total China		1,097,984,879
		Czech Republic — 0.1%
	634,781	Moneta Money Bank AS *		1,885,887
		Egypt — 0.0%
	42,517	Commercial International Bank Egypt SAE		169,402
		Greece — 0.0%
	96,241	Motor Oil Hellas Corinth Refineries SA		1,229,520
		Hungary — 0.0%
	15,348	Richter Gedeon Nyrt		363,719
		India — 3.3%
	256,987	Asian Paints Ltd		7,595,964
	14,229	Bosch Ltd		2,441,698
	11,567,064	Gayatri Projects Ltd * (c)		5,017,136

Shares		Description	Value ($)
		India — continued
	598,198	HCL Technologies Ltd		6,611,609
	230,960	HDFC Bank Ltd *		4,451,725
	2	Hero MotoCorp Ltd		83
	261,937	Hindustan Unilever Ltd		7,537,423
	252,428	Housing Development Finance Corp Ltd		7,594,809
	1,332,810	ICICI Bank Ltd *		8,512,979
	476,400	Infosys Ltd Sponsored ADR		7,250,808
	3,013,682	Jai Balaji Industries Ltd *		774,191
	1,322,083	Kiri Industries Ltd		9,209,874
	386,197	Kotak Mahindra Bank Ltd *		9,776,119
	563,047	LIC Housing Finance Ltd		2,498,336
	60	Muthoot Finance Ltd		925
	193,830	Tata Consultancy Services Ltd		6,960,572
	312,651	Titan Co Ltd		5,589,231
	1,548,435	Wipro Ltd		7,326,070
		Total India		99,149,552
		Indonesia — 2.8%
	5,027,600	Astra International Tbk PT		1,882,456
	2,635,500	Bank BTPN Syariah Tbk PT		771,183
	10,964,900	Bank Central Asia Tbk PT		24,082,689
	12,813,600	Bank Mandiri Persero Tbk PT		5,747,167
	13,491,200	Bank Negara Indonesia Persero Tbk PT		5,721,138
	2,372,600	Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT		222,509
	19,718,900	Bank Pembangunan Daerah Jawa Timur Tbk PT		886,952
	80,204,200	Bank Rakyat Indonesia Persero Tbk PT		23,197,105
	18,560,300	Bank Tabungan Negara Persero Tbk PT		2,163,746
	21,450,700	Bukit Asam Tbk PT		3,582,677
	19,110,900	Hanjaya Mandala Sampoerna Tbk PT		2,064,031
	5,802,391	Indo Tambangraya Megah Tbk PT		5,383,061
	6,222,100	Matahari Department Store Tbk PT *		557,074
	15,171,500	Pakuwon Jati Tbk PT *		537,671
	203,497,200	Panin Financial Tbk PT *		3,224,639
	43,302,700	Ramayana Lestari Sentosa Tbk PT		2,236,819
	650,600	United Tractors Tbk PT		1,059,353
	6,344,200	XL Axiata Tbk PT		1,082,827
		Total Indonesia		84,403,097
		Kuwait — 1.3%
	43,233	Agility Public Warehousing Co KSC		90,868
	1,064,784	Alimtiaz Investment Group KSC *		336,104
	145,962	Burgan Bank SAK		94,093
	90,149	Gulf Cable & Electrical Industries Co KSCP		211,843
	182,392	Humansoft Holding Co KSC *		2,030,011
	7,247,292	Kuwait Finance House KSCP		16,163,937
	1,457,954	Kuwait Projects Co Holding KSCP		708,327
	430,806	Mobile Telecommunications Co KSC		819,410
	6,208,958	National Bank of Kuwait SAKP		17,098,965
	89,823	Qurain Petrochemical Industries Co		92,345
		Total Kuwait		37,645,903

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Malaysia — 0.0%
	63,600	Carlsberg Brewery Malaysia Berhad – Class B		300,359
	205,800	Hartalega Holdings Berhad		726,590
	2,210,500	YTL Corp Berhad *		349,969
		Total Malaysia		1,376,918
		Mexico — 2.5%
	1,237,800	Banco del Bajio SA *		1,543,403
	3,335,400	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand (a)		3,469,037
	344,200	Concentradora Fibra Danhos SA de CV (REIT)		408,232
	1,679,200	Credito Real SAB de CV SOFOM ER *		948,848
	296,400	El Puerto de Liverpool SAB de CV – Class C1 * (a)		986,130
	5,258,800	Fibra Uno Administracion SA de CV (REIT)		5,248,327
	687,100	Gentera SAB de CV *		295,779
	908,500	Grupo Aeroportuario del Centro Norte SAB de CV *		5,284,159
	10,400	Grupo Aeroportuario del Centro Norte SAB de CV ADR *		484,224
	7,713,000	Grupo Financiero Banorte SAB de CV – Class O *		38,404,235
	1,024,300	Grupo Financiero Inbursa SAB de CV – Class O *		998,439
	2,441,100	Grupo Mexico SAB de CV Series B		8,877,716
	80,900	Industrias Bachoco SAB de CV– Series B		279,764
	189,000	Kimberly-Clark de Mexico SAB de CV – Class A		299,628
	293,427	Qualitas Controladora SAB de CV		1,425,303
	599,700	Regional SAB de CV *		2,557,225
	545,190	Unifin Financiera SAB de CV SOFOM ENR *		676,556
	431,800	Wal-Mart de Mexico SAB de CV		1,136,639
		Total Mexico		73,323,644
		Pakistan — 0.4%
	461,510	Engro Corp Ltd		881,602
	5,359,782	Engro Fertilizers Ltd		2,037,019
	1,406,023	Fauji Fertilizer Co Ltd		910,307
	411,500	National Bank of Pakistan *		104,597
	4,748,084	Oil & Gas Development Co Ltd		2,917,916
	705,011	Pakistan Oilfields Ltd		1,738,424
	2,975,446	Pakistan Petroleum Ltd		1,681,038
	299,159	Pakistan State Oil Co Ltd *		373,502
	816,800	Searle Co Ltd (The)		1,193,294
	1,337,740	United Bank Ltd		1,012,046
		Total Pakistan		12,849,745
		Philippines — 0.3%
	360,810	Manila Electric Co		2,109,530
	35,122,800	Megaworld Corp *		2,802,521
	19,853,000	Metro Pacific Investments Corp		1,690,609
	243,900	Metropolitan Bank & Trust Co		243,603
	1,401,400	Robinsons Land Corp		486,052
	251,700	Security Bank Corp		653,101
	6,401,200	Semirara Mining & Power Corp		1,649,257
		Total Philippines		9,634,673

Shares		Description	Value ($)
		Poland — 1.0%
	46,447	Budimex SA		3,395,298
	234,647	Grupa Lotos SA		2,167,425
	51,629	Lubelski Wegiel Bogdanka SA *		256,584
	27,366	mBank SA *		1,103,856
	3,350,926	Powszechny Zaklad Ubezpieczen SA *		22,478,791
	13,832	Santander Bank Polska SA *		643,492
		Total Poland		30,045,446
		Qatar — 0.6%
	1,456,860	Doha Bank QPSC *		936,206
	425,994	Masraf Al Rayan QSC		499,752
	141,417	Qatar Electricity & Water Co QSC		699,503
	206,002	Qatar Insurance Co SAQ		143,385
	22,115	Qatar Islamic Bank SAQ		101,037
	2,707,202	Qatar National Bank QPSC		13,140,436
	1,040,242	Qatar National Cement Co QSC		1,162,107
		Total Qatar		16,682,426
		Russia — 13.9%
	27,618,810	Alrosa PJSC		31,852,958
	6,411,000	Credit Bank of Moscow PJSC *		503,258
	1,169,230	Detsky Mir PJSC		2,150,090
	1,049,970,000	Federal Grid Co Unified Energy System PJSC		2,753,959
	353,210	Gazprom Neft PJSC		1,460,703
	8,830	Gazprom Neft PJSC Sponsored ADR		178,331
	686,124	Globaltrans Investment Plc Sponsored GDR (Registered)		3,926,380
	89,797,000	Inter RAO UES PJSC		6,030,552
	95,648	LSR Group PJSC		1,138,577
	696,477	LSR Group PJSC GDR (Registered)		1,636,208
	889,780	LUKOIL PJSC Sponsored ADR		57,279,725
	551,497	M.Video PJSC		5,210,190
	7,396	Magnit PJSC Sponsored GDR (Registered)		111,135
	13,172,100	Magnitogorsk Iron & Steel Works PJSC		7,251,067
	237,839	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		1,632,072
	2,345,590	MMC Norilsk Nickel PJSC ADR		65,051,767
	785,300	Mobile TeleSystems PJSC Sponsored ADR		6,777,139
	12,868,757	Moscow Exchange MICEX-RTS PJSC		25,827,837
	44,641	Novatek PJSC Sponsered GDR (Registered)		6,868,367
	1,053,247	Novolipetsk Steel PJSC GDR		26,056,988
	45,833	PhosAgro PJSC GDR (Registered)		585,417
	1,532,343	Polymetal International Plc		31,922,424
	19,505	Polyus PJSC		3,723,301
	182,080	Polyus PJSC GDR (Registered)		17,224,902
	209,315	QIWI Plc Sponsored ADR		3,047,626
	930,210	Raspadskaya OJSC		1,781,432
	82,660	Safmar Financial Investment *		508,535
	1,199,012	Sberbank of Russia PJSC Sponsored ADR		15,816,864
	556,037	Severstal PJSC GDR (Registered)		8,085,478
	23,335,400	Surgutneftegas PJSC		10,779,168
	4,762,114	Surgutneftegas PJSC Sponsored ADR		21,388,464

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	816,056	Tatneft PJSC Sponsored ADR		30,773,955
	245,436	TCS Group Holding Plc GDR (Registered)		7,529,133
	89,279,000	Unipro PJSC		3,241,207
	29,555	X5 Retail Group NV GDR (Registered)		1,057,657
	70,300	Yandex NV – Class A *		4,847,888
		Total Russia		416,010,754
		Saudi Arabia — 0.0%
	46,565	Al Rajhi Bank		927,891
	30,520	Arriyadh Development Co		143,460
		Total Saudi Arabia		1,071,351
		South Africa — 3.0%
	47,355	Anglo American Platinum Ltd		3,434,924
	220,151	Aspen Pharmacare Holdings Ltd *		1,748,414
	56,443	Astral Foods Ltd		489,942
	140,971	AVI Ltd		646,348
	171,697	Barloworld Ltd		771,859
	97,215	Clicks Group Ltd		1,467,887
	100,229	Discovery Ltd		793,936
	1,688,726	Emira Property Fund Ltd (REIT)		709,936
	2	Foschini Group Ltd (The)		13
	628,900	Gold Fields Ltd Sponsored ADR		5,477,719
	4,199,059	Growthpoint Properties Ltd (REIT)		3,224,392
	717,313	Investec Ltd		1,741,146
	102,212	Kumba Iron Ore Ltd		3,473,959
	785,177	Lewis Group Ltd		1,115,756
	2,121,270	Life Healthcare Group Holdings Ltd		2,168,356
	2,115,852	Momentum Metropolitan Holdings		2,127,295
	796,173	Mr Price Group Ltd		8,324,271
	15,662,449	Old Mutual Ltd		11,764,305
	1,759,420	Pepkor Holdings Ltd		1,567,842
	99,267	Rand Merchant Investment Holdings Ltd		194,368
	125,738	Remgro Ltd		742,501
	17,226,323	RMB Holdings Ltd *		1,417,740
	5,753,675	Sanlam Ltd		20,497,216
	44,780	Shoprite Holdings Ltd		370,328
	81,575	Tiger Brands Ltd		1,033,446
	3,176,467	Truworths International Ltd		7,328,161
	377,683	Vodacom Group Ltd		2,997,355
	386,813	Wilson Bayly Holmes-Ovcon Ltd *		2,530,514
		Total South Africa		88,159,929
		South Korea — 1.3%
	421,556	BNK Financial Group Inc		2,144,829
	44,721	Daou Data Corp		507,512
	66,624	DB HiTek Co Ltd		2,139,572
	155,761	DB Insurance Co Ltd		6,193,368
	1,172,630	Dongwon Development Co Ltd		4,676,737
	19,574	Doosan Fuel Cell Co Ltd *		882,360
	10,663	GS Home Shopping Inc		1,323,799
	24,271	Hy-Lok Corp		300,859
	409,047	Korea Asset In Trust Co Ltd		1,464,305

Shares		Description	Value ($)
		South Korea — continued
	23,797	KT Skylife Co Ltd		193,191
	1,985	NCSoft Corp		1,458,560
	22,248	NHN KCP Corp		1,345,882
	118,357	Posco International Corp		1,422,573
	38,668	S&T Motiv Co Ltd		1,737,494
	7,195	Samsung Electronics Co Ltd GDR		10,899,635
	30,847	Sangsangin Co Ltd		180,440
	36,382	Soulbrain Holdings Co Ltd		1,420,097
		Total South Korea		38,291,213
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (b) (c)		662,576
		Taiwan — 20.5%
	61,000	Acter Group Corp Ltd		414,133
	1,206,035	Advantech Co Ltd		12,968,686
	1,013,000	Alchip Technologies Ltd		23,749,620
	298,227	Amazing Microelectronic Corp		962,626
	701,689	Asustek Computer Inc		6,120,580
	437,000	Aten International Co Ltd		1,276,361
	129,200	Aurora Corp		392,575
	7,597,000	Catcher Technology Co Ltd		50,140,417
	3,776,153	Cathay Financial Holding Co Ltd		5,351,992
	2,992,865	Chailease Holding Co Ltd		16,419,236
	327,000	Chicony Electronics Co Ltd		979,172
	6,370,000	China Development Financial Holding Corp		1,994,929
	772,000	Chong Hong Construction Co Ltd		2,248,414
	4,541,400	Coretronic Corp		5,596,170
	43,151,720	CTBC Financial Holding Co Ltd		29,024,449
	95,000	Delta Electronics Inc		748,940
	654,000	Elan Microelectronics Corp		3,030,804
	1,609,000	Elite Material Co Ltd		8,809,300
	4,795,000	Eva Airways Corp		2,128,120
	1,758,000	Farglory Land Development Co Ltd		3,221,494
	5,071,000	FLEXium Interconnect Inc		21,368,174
	821,000	Formosa Taffeta Co Ltd		882,858
	3,115,075	Foxconn Technology Co Ltd		5,748,843
	12,666,000	Fubon Financial Holding Co Ltd		19,687,504
	2,435,000	Grand Pacific Petrochemical *		2,000,451
	20,989,532	Hon Hai Precision Industry Co Ltd		60,593,711
	1,966,000	Huaku Development Co Ltd		6,089,401
	1,431,806	IEI Integration Corp		2,419,464
	133,900	Innodisk Corp		766,796
	640,000	International Games System Co Ltd		15,258,166
	278,000	Kung Long Batteries Industrial Co Ltd		1,366,002
	3,473,000	Lite-On Technology Corp		5,852,735
	121,000	Lotes Co Ltd		1,890,102
	1,326,000	Merry Electronics Co Ltd		6,588,814
	2,021,000	Micro-Star International Co Ltd		8,851,443
	67,000	Nan Liu Enterprise Co Ltd		453,691
	952,000	Nantex Industry Co Ltd		2,052,403
	1,252,810	Novatek Microelectronics Corp		13,149,262
	450,000	Pegatron Corp		1,029,579

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	404,000	Quanta Computer Inc		1,090,491
	10,770,870	Radiant Opto-Electronics Corp		43,867,441
	4,000	Realtek Semiconductor Corp		51,998
	800,000	Shinkong Insurance Co Ltd		1,092,712
	1,416,068	Simplo Technology Co Ltd		16,464,754
	2,110,250	Syncmold Enterprise Corp		6,407,242
	41,300	Tah Hsin Industrial Corp		105,424
	77,000	Taiwan Cement Corp		115,883
	9,355,000	Taiwan Semiconductor Manufacturing Co Ltd		159,239,215
	10	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		970
	337,000	Test Research Inc		670,075
	54,000	Thinking Electronic Industrial Co Ltd		276,762
	1,361,000	Transcend Information Inc		3,082,726
	1,321,160	Tripod Technology Corp		5,682,277
	90,000	TXC Corp		252,853
	785,224	United Integrated Services Co Ltd		6,299,674
	6,213,000	United Microelectronics Corp		8,825,815
	286,000	Universal Inc		1,069,777
	45,000	Vanguard International Semiconductor Corp		165,772
	121,000	Wiwynn Corp		2,897,588
	153,000	Yulon Nissan Motor Co Ltd		1,404,408
	327,000	Zeng Hsing Industrial Co Ltd		1,594,463
		Total Taiwan		612,285,737
		Thailand — 0.5%
	141,900	Bangkok Bank Pcl (Foreign Registered)		583,942
	20,194,100	Beauty Community Pcl (Foreign Registered) *		1,028,063
	91,700	Carabao Group Pcl – Class F		365,586
	120,200	Hana Microelectronics Pcl (Foreign Registered)		169,779
	23,317,600	IRPC Pcl NVDR		2,096,657
	237,800	KCE Electronics Pcl (Foreign Registered)		316,199
	258,600	Kiatnakin Phatra Bank Pcl (Foreign Registered)		422,287
	1,586,600	Krung Thai Bank Pcl (Foreign Registered)		560,048
	841,600	Origin Property Pcl (Foreign Registered)		215,611
	3,787,700	Pruksa Holding Pcl (Foreign Registered)		1,565,620
	5,757,392	Quality Houses Pcl (Foreign Registered)		441,405
	146,000	Siam Commercial Bank Pcl (The) (Foreign Registered)		411,973
	659,200	SPCG Pcl		468,403
	3,963,875	Supalai Pcl (Foreign Registered)		2,344,765
	465,300	Thai Vegetable Oil Pcl (Foreign Registered)		500,051
	58,190,900	TMB Bank Pcl NVDR		2,019,849
	1,248,000	TTW Pcl (Foreign Registered)		524,302
	1,679,500	Univentures Pcl (Foreign Registered)		168,864
		Total Thailand		14,203,404
		Turkey — 1.4%
	573,782	Anadolu Efes Biracilik Ve Malt Sanayii AS		1,536,444
	7,621,394	Aselsan Elektronik Sanayi Ve Ticaret AS		16,847,040
	143,857	BIM Birlesik Magazalar AS		1,288,775
	11,246,623	Dogan Sirketler Grubu Holding AS		3,451,568

Shares		Description	Value ($)
		Turkey — continued
	39,219,839	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		10,802,443
	231,519	Enerjisa Enerji AS		319,844
	613,677	Koza Altin Isletmeleri AS *		5,848,493
	817,235	Koza Anadolu Metal Madencilik Isletmeleri AS *		1,321,841
		Total Turkey		41,416,448
		United Arab Emirates — 0.1%
	474,388	Abu Dhabi Islamic Bank PJSC		606,549
	114,770	Abu Dhabi National Oil Co for Distribution PJSC		107,980
	1,657,747	Dubai Islamic Bank PJSC		2,009,168
	717,123	Emaar Malls PJSC *		355,863
	344,396	Emirates NBD Bank PJSC		1,025,557
		Total United Arab Emirates		4,105,117
		United Kingdom — 0.8%
	386,665	Unilever Plc		23,484,219
		Vietnam — 0.1%
	1,594,290	Kinh Bac City Development Share Holding Corp *		1,091,749
	218,620	PetroVietnam Gas JSC		787,539
	1,985,700	PetroVietnam Technical Services Corp		1,263,279
	182,980	Pha Lai Thermal Power JSC		189,033
	380,860	Vinh Hoan Corp		726,893
		Total Vietnam		4,058,493
		TOTAL COMMON STOCKS (COST $2,648,656,004)		2,743,665,739
		PREFERRED STOCKS (d) — 3.3%
		Brazil — 0.1%
	493,300	Braskem SA – Class A*		2,080,968
	115,500	Cia Paranaense de Energia – Class B		1,471,831
	95,100	Lojas Americanas SA		407,034
		Total Brazil		3,959,833
		Chile — 0.0%
	3,100	Sociedad Quimica y Minera de Chile SA Sponsored ADR		145,917
		Colombia — 0.1%
	62,521	Banco Davivienda SA		488,520
	5,142,584	Grupo Aval Acciones y Valores SA		1,487,185
		Total Colombia		1,975,705
		Russia — 1.9%
	256,245	Bashneft PJSC		4,126,427
	237,480	Nizhnekamskneftekhim PJSC		244,646
	98,683,100	Surgutneftegas PJSC		51,270,111
	554	Transneft PJSC		1,037,747
		Total Russia		56,678,931

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		South Korea — 1.1%
	18,220	Amorepacific Corp		887,495
	596,573	Samsung Electronics Co Ltd		32,913,826
		Total South Korea		33,801,321
		Taiwan — 0.1%
	287,798	Chailease Holding Co. Ltd. *		1,003,671
	605,412	CTBC Financial Holding Co Ltd		1,364,136
		Total Taiwan		2,367,807
		TOTAL PREFERRED STOCKS (COST $91,627,586)		98,929,514
		INVESTMENT FUNDS — 3.1%
		United States — 3.1%
	1,557,096	iShares Core MSCI Emerging Markets ETF		91,276,967
		TOTAL INVESTMENT FUNDS (COST $92,240,542)		91,276,967
		DEBT OBLIGATIONS — 1.8%
		United States — 1.8%
	17,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.24%, due 01/31/22 (e)		17,521,734
	35,000,000	U.S. Treasury Note, 0.13%, due 04/30/22		35,001,367
		Total United States		52,523,101
		TOTAL DEBT OBLIGATIONS (COST $52,506,066)		52,523,101
		RIGHTS/WARRANTS — 0.0%
		Pakistan — 0.0%
	106,184	Searle Co Ltd, Expires 31/12/20, Expires 12/31/20 * (b)		42,633
		TOTAL RIGHTS/WARRANTS (COST $0)		42,633

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.3%
	9,419,950	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (f)		9,419,950
		U.S. Government — 0.1%
	4,000,000	U.S. Treasury Bill, 0.08%, due 02/04/21 (e) (g)		3,999,421
		TOTAL SHORT-TERM INVESTMENTS (COST $13,419,134)		13,419,371
		TOTAL INVESTMENTS — 100.4% (Cost $2,898,449,332)		2,999,857,325
		Other Assets and Liabilities (net) — (0.4%)		(12,241,510	)
		TOTAL NET ASSETS — 100.0%		$2,987,615,815

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
3,357	Mini MSCI Emerging Markets	December 2020	$	201,806,055	$	15,265,948
Sales
1,157	SGX Nifty 50	December 2020	$	29,915,485	$	38,666

+ 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

39,327,680

12/07/2020

At Maturity

$

—

$

(129,868

)

$

(129,868

)

As of November 30, 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 Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(b) Investment valued using significant unobservable inputs.

(c) Affiliated company.

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

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

(f) The rate disclosed is the 7 day net yield as of November 30, 2020.

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

The rates shown on variable rate notes are the current interest rates at November 30, 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

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

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

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

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

Counterparty Abbreviations:

GS - Goldman Sachs International

Currency Abbreviations:

USD - United States Dollar

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.1%
		Australia — 5.0%
	556,139	Austal Ltd		1,192,056
	147,865	BHP Group Ltd		4,123,402
	4,487,022	Fortescue Metals Group Ltd		59,778,788
	16,683	JB Hi-Fi Ltd		560,381
	102,213	Pact Group Holdings Ltd		184,449
	717,032	Rio Tinto Ltd		53,497,042
	768,697	Sandfire Resources NL		2,474,067
		Total Australia		121,810,185
		Belgium — 1.5%
	231,928	AGFA-Gevaert NV *		959,856
	55,566	Orange Belgium SA		1,072,749
	3,052	Sofina SA		968,808
	302,182	UCB SA		32,337,301
		Total Belgium		35,338,714
		Denmark — 0.1%
	10,980	Per Aarsleff Holding A/S		465,744
	7,459	Schouw & Co A/S		724,538
		Total Denmark		1,190,282
		France — 8.3%
	432,801	BNP Paribas SA *		22,030,086
	11,182	Christian Dior SE		5,701,842
	65,703	Cie de Saint-Gobain *		3,112,471
	274,848	Credit Agricole SA *		3,170,992
	3,817	Gaztransport Et Technigaz SA		377,255
	14,927	IPSOS		476,898
	107,639	L’Oreal SA		39,621,496
	126,188	Metropole Television SA *		1,978,510
	719,322	Peugeot SA *		16,876,234
	115	Renault SA * (a)		4,588
	42,362	Renault SA * (a)		1,681,849
	562,896	Sanofi		56,739,244
	63,698	Schneider Electric SE		8,874,756
	4,690	SEB SA		830,795
	171,353	Societe Generale SA *		3,397,545
	871,822	STMicroelectronics NV – NY Shares		34,567,742
	39,623	TOTAL SE (a)		1,681,813
	16,637	TOTAL SE (a)		710,913
		Total France		201,835,029
		Germany — 4.9%
	109,696	ADVA Optical Networking SE *		923,387
	70,896	Allianz SE (Registered)		16,616,969
	29,479	Bayerische Motoren Werke AG		2,557,877
	42,541	Bechtle AG		9,286,855
	33,827	Brenntag AG		2,590,414
	930,767	CECONOMY AG *		4,585,298
	5,093	Cewe Stiftung & Co KGaA		551,055

Shares		Description	Value ($)
		Germany — continued
	192,634	Daimler AG (Registered Shares)		12,897,100
	261,839	Deutsche Pfandbriefbank AG *		2,608,179
	2,390	Deutsche Post AG (Registered)		115,289
	448,613	Dialog Semiconductor Plc *		23,941,368
	124,434	DWS Group GmbH & Co KGaA		4,845,865
	9,244	HeidelbergCement AG		653,972
	44,566	Henkel AG & Co KGaA		4,299,848
	15,329	Hornbach Holding AG & Co KGaA		1,631,985
	6,074	Indus Holding AG		235,302
	64,802	Siemens AG (Registered)		8,649,422
	203,966	Software AG		8,758,754
	65,232	Volkswagen AG		12,057,506
		Total Germany		117,806,445
		Hong Kong — 2.5%
	495,500	BOC Hong Kong Holdings Ltd		1,612,538
	1,574,640	Champion (REIT)		943,268
	506,800	Chow Tai Fook Jewellery Group Ltd		661,566
	161,500	CK Asset Holdings Ltd		882,494
	1,505,014	Dah Sing Banking Group Ltd		1,613,467
	407,515	Dah Sing Financial Holdings Ltd		1,199,053
	4,557,096	Esprit Holdings Ltd *		595,179
	860,500	Johnson Electric Holdings Ltd		2,027,181
	794,257	Luk Fook Holdings International Ltd		2,006,737
	1,574,400	Man Wah Holdings Ltd		2,887,073
	1,405,647	Pacific Textiles Holdings Ltd		968,563
	1,484,000	Shun Tak Holdings Ltd		468,204
	1,323,173	SmarTone Telecommunications Holdings Ltd		730,582
	377,880	Television Broadcasts Ltd		386,815
	52,034,920	WH Group Ltd		42,391,376
		Total Hong Kong		59,374,096
		Ireland — 0.8%
	70,354	CRH Plc *		2,767,245
	288,400	CRH Plc Sponsored ADR		11,319,700
	4,723	Flutter Entertainment Plc *		860,513
	49,273	Glanbia Plc		605,979
	33,861	Kingspan Group Plc *		2,954,223
	27,178	Smurfit Kappa Group Plc		1,140,124
		Total Ireland		19,647,784
		Italy — 3.7%
	793,653	Anima Holding SPA		3,495,061
	147,282	CNH Industrial NV *		1,604,607
	72,194	De’ Longhi SPA *		2,520,459
	4,679,655	Enel SPA		46,950,142
	377,340	EXOR NV		26,394,710
	2,968,848	Intesa Sanpaolo SPA *		6,877,234
	41,785	La Doria SPA		636,920
		Total Italy		88,479,133

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — 20.5%
	72,453	AOKI Holdings Inc		283,406
	2,121,876	Asahi Kasei Corp		19,399,107
	3,270,550	Astellas Pharma Inc		46,584,185
	51,727	Autobacs Seven Co Ltd		642,424
	592,121	Brother Industries Ltd		11,310,180
	45,036	Cawachi Ltd		1,290,430
	85,719	Daiwabo Holdings Co Ltd		5,349,847
	337,562	DCM Holdings Co Ltd		3,831,163
	80,385	Dexerials Corp		980,501
	27,100	Dip Corp		629,480
	61,078	Doutor Nichires Holdings Co Ltd		840,981
	6,566	DTS Corp		138,064
	6,621	Ehime Bank Ltd (The)		68,024
	29,300	Fuji Corp		707,911
	352,045	Fuji Electric Co Ltd		12,464,886
	59,600	Fujitsu General Ltd		1,803,117
	311,696	Fujitsu Ltd		43,119,433
	29,789	Fuyo General Lease Co Ltd		1,815,456
	102,812	Geo Holdings Corp		1,250,342
	20,135	Gunze Ltd		691,932
	89,500	Haseko Corp		967,258
	925,278	Hitachi Ltd		35,117,766
	41,400	Honda Motor Co Ltd		1,151,827
	1,336,768	ITOCHU Corp		35,276,310
	120,200	Itochu Techno-Solutions Corp		4,238,402
	101,300	Japan Post Insurance Co Ltd		1,685,293
	93,200	Japan Tobacco Inc		1,886,571
	143,900	K’s Holdings Corp		1,747,372
	156,611	Kanematsu Corp		1,803,442
	2,020,700	KDDI Corp		57,501,775
	41,269	Kohnan Shoji Co Ltd		1,275,643
	24,867	Mandom Corp		389,529
	9,100	MEIJI Holdings Co Ltd		644,021
	2,083,656	Mitsubishi Chemical Holdings Corp		11,471,257
	4,005,500	Mitsubishi UFJ Financial Group Inc		17,092,727
	37,300	Mixi Inc		1,019,230
	195,600	Mizuho Financial Group Inc		2,478,164
	45,150	Modec Inc		756,340
	76,266	Namura Shipbuilding Co Ltd		110,096
	85,200	NEC Corp		4,590,316
	135,200	NEC Networks & System Integration Corp		2,387,617
	110,457	Nichias Corp		2,568,454
	109,909	Nippo Corp		2,864,836
	67,333	Nippon Signal Co Ltd		598,668
	2,374,188	Nippon Telegraph & Telephone Corp		56,150,160
	8,400	Nitori Holdings Co Ltd		1,785,981
	61,000	NS Solutions Corp		1,802,104
	488,700	Obayashi Corp		4,301,621
	96,801	Okinawa Electric Power Co (The)		1,344,013
	97,400	Otsuka Corp		4,723,249
	60,600	Panasonic Corp		642,695
	93,902	Press Kogyo Co Ltd		272,405

Shares		Description	Value ($)
		Japan — continued
	71,896	Prima Meat Packers Ltd		1,994,079
	145,300	Renesas Electronics Corp *		1,287,592
	33,857	San-A Co Ltd		1,309,319
	98,887	Seiko Holdings Corp		1,271,052
	477,428	Sekisui Chemical Co Ltd		8,230,040
	262,700	Shimizu Corp		1,986,723
	33,600	Shinko Electric Industries Co Ltd		740,252
	1,907,287	Sojitz Corp		4,165,502
	34,800	Sony Corp		3,242,854
	5,971,363	Sumitomo Chemical Co Ltd		21,096,065
	190,200	Sumitomo Mitsui Financial Group Inc		5,468,738
	64,603	T-Gaia Corp		1,137,405
	57,900	Tokyo Electron Ltd		19,677,521
	42,861	Tokyo Seimitsu Co Ltd		1,885,106
	149,395	Tokyu Construction Co Ltd		669,615
	69,611	Towa Pharmaceutical Co Ltd		1,268,767
	23,300	Toyo Suisan Kaisha Ltd		1,146,031
	27,682	TPR Co Ltd		346,282
	113,367	TS Tech Co Ltd		3,315,905
	75,819	TSI Holdings Co Ltd		145,806
	106,514	Valor Holdings Co Ltd		2,641,320
	23,104	Warabeya Nichiyo Holdings Co Ltd		307,971
	24,646	Yahagi Construction Co Ltd		213,334
		Total Japan		497,393,290
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (b)		—
		Netherlands — 7.6%
	61,337	ASM International NV		10,814,430
	505,260	ASR Nederland NV		18,724,041
	110,703	Flow Traders		3,563,436
	133,391	Heineken Holding NV		12,289,657
	1,271,124	ING Groep NV *		12,363,862
	1,135,707	Koninklijke Ahold Delhaize NV		32,471,340
	142,278	Koninklijke Vopak NV		7,460,604
	276,623	Randstad NV *		17,108,675
	589,524	Signify NV *		24,849,487
	540,596	Wolters Kluwer NV		45,257,854
		Total Netherlands		184,903,386
		Norway — 2.8%
	373,819	BW LPG Ltd		2,387,190
	2,409,657	DNB ASA *		43,449,084
	264,825	Gjensidige Forsikring ASA		5,766,244
	77,764	Norwegian Finans Holding ASA *		618,432
	1,722,837	Orkla ASA		16,490,775
	10,853	SpareBank 1 Nord Norge		89,056
		Total Norway		68,800,781
		Portugal — 3.3%
	128,547	Altri SGPS SA		692,717
	3,780,423	Banco Comercial Portugues SA – Class R *		534,373

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Portugal — continued
	287,147	CTT-Correios de Portugal SA *		835,500
	171,141	EDP Renovaveis SA		3,627,298
	8,323,655	EDP – Energias de Portugal SA		44,492,109
	782,303	Galp Energia SGPS SA		8,393,150
	1,165,868	Jeronimo Martins SGPS SA		19,976,593
	630,348	REN – Redes Energeticas Nacionais SGPS SA		1,728,598
		Total Portugal		80,280,338
		Singapore — 4.3%
	1,354,200	AEM Holdings Ltd		3,538,456
	3,099,300	DBS Group Holdings Ltd		57,819,274
	733,400	Hi-P International Ltd		931,069
	20,200	Jardine Cycle & Carriage Ltd		292,348
	131,000	Oversea-Chinese Banking Corp Ltd		976,674
	1,863,600	Singapore Exchange Ltd		12,287,833
	397,500	United Overseas Bank Ltd		6,611,402
	756,600	Venture Corp Ltd		10,560,090
	1,126,700	Wilmar International Ltd		3,507,305
	11,736,300	Yangzijiang Shipbuilding Holdings Ltd		7,626,473
		Total Singapore		104,150,924
		Spain — 6.5%
	38,915	ACS Actividades de Construccion y Servicios SA		1,229,440
	111,881	Aena SME SA *		18,226,312
	850,215	Banco Bilbao Vizcaya Argentaria SA		3,936,984
	1,087,626	Banco de Sabadell SA		424,031
	2,679,551	Banco Santander SA *		7,771,014
	141,223	Bankinter SA		700,328
	925,412	CaixaBank SA		2,367,347
	236,572	Cia de Distribucion Integral Logista Holdings SA		4,362,537
	94,275	Ebro Foods SA		2,231,100
	1,500,612	Endesa SA		43,131,440
	3,144,138	Iberdrola SA		43,161,820
	689,290	Industria de Diseno Textil SA		22,880,552
	115,077	Mediaset Espana Comunicacion SA *		518,689
	90,685	Viscofan SA		6,427,038
		Total Spain		157,368,632
		Sweden — 3.3%
	396,177	Betsson AB *		3,417,888
	84,792	Swedbank AB – A Shares *		1,535,323
	524,746	Swedish Match AB		42,452,929
	1,456,172	Volvo AB – B Shares *		33,166,651
		Total Sweden		80,572,791
		Switzerland — 6.1%
	320,311	ABB Ltd (Registered)		8,471,494
	50,929	Ascom Holding AG (Registered) *		694,285
	5,691	Kardex Holding AG (Registered)		1,120,967
	16,732	Logitech International SA (Registered)		1,491,239
	82,928	Nestle SA (Registered)		9,289,136

Shares		Description	Value ($)
		Switzerland — continued
	439,356	Novartis AG (Registered)		39,777,304
	24,450	Roche Holding AG		8,127,631
	226,551	Roche Holding AG – Genusschein		74,409,974
	72,356	Wizz Air Holdings Plc *		4,332,636
	4,556	Zehnder Group AG – Class RG		247,477
		Total Switzerland		147,962,143
		United Kingdom — 16.9%
	1,747,051	3i Group Plc		24,698,174
	149,560	Anglo American Plc		4,355,164
	35,896	Ashtead Group Plc		1,515,114
	81,816	AVEVA Group Plc		3,681,254
	575,174	Barclays Plc *		1,020,791
	3,579,480	Barratt Developments Plc *		29,345,945
	224,342	Bellway Plc		8,427,086
	323,402	Berkeley Group Holdings Plc (The)		19,767,514
	1,203,175	British American Tobacco Plc		42,354,478
	520,900	British American Tobacco Plc Sponsored ADR		18,392,979
	263,343	Centamin Plc		398,941
	171,170	Coca-Cola HBC AG *		4,889,408
	37,951	Cranswick Plc		1,729,521
	277,834	Dunelm Group Plc *		4,468,468
	652,166	Electrocomponents Plc		7,022,827
	103,020	Ferguson Plc		11,531,958
	1,216,721	Ferrexpo Plc		3,411,991
	2,648,087	Firstgroup Plc *		2,136,939
	76,642	Fresnillo Plc		1,078,259
	264,593	Galliford Try Holdings Plc *		382,146
	19,814	Games Workshop Group Plc		2,594,748
	2,400,765	GlaxoSmithKline Plc		43,573,419
	71,690	Grafton Group Plc *		812,094
	15,416	Greggs Plc *		345,125
	117,113	Halfords Group Plc		415,566
	1,232,400	HSBC Holdings Plc		6,427,293
	1,012,185	IG Group Holdings Plc		10,783,260
	852,714	Inchcape Plc *		6,788,231
	1,335,665	JD Sports Fashion Plc		13,705,950
	1,691,295	Kingfisher Plc *		6,142,147
	3,999,481	Legal & General Group Plc		13,207,773
	351,702	National Express Group Plc *		1,036,419
	347,336	Next Plc		30,003,859
	1,141,889	Persimmon Plc		40,071,439
	705,210	Pets at Home Group Plc		3,889,352
	392,209	Plus500 Ltd		8,049,570
	993,967	QinetiQ Group Plc		3,864,832
	193,452	Royal Dutch Shell Plc – A Shares		3,266,216
	48,500	Royal Dutch Shell Plc – Class B Sponsored ADR		1,573,825
	61,068	Savills Plc *		742,031
	156,969	Softcat Plc		2,366,451
	24,843	Spectris Plc		874,950
	968,264	Spirent Communications Plc		3,306,426
	1,367,633	Tate & Lyle Plc		11,553,422

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	292,609	Vesuvius Plc		1,889,473
	27,982	Vistry Group Plc *		309,535
		Total United Kingdom		408,202,363
		TOTAL COMMON STOCKS (COST $2,274,578,347)		2,375,116,316
		PREFERRED STOCKS (c) — 0.9%
		Germany — 0.9%
	30,562	Bayerische Motoren Werke AG		2,008,086
	47,671	Draegerwerk AG & Co KGaA		3,735,272
	36,172	Henkel AG & Co KGaA		3,891,577
	148,175	Schaeffler AG		1,102,642
	67,711	Volkswagen AG		11,365,823
		Total Germany		22,103,400
		TOTAL PREFERRED STOCKS (COST $23,084,609)		22,103,400
		RIGHTS/WARRANTS — 0.1%
		United Kingdom — 0.1%
	107,672	AVEVA Group Plc, Expires 12/09/20 *		1,607,679
		TOTAL RIGHTS/WARRANTS (COST $1,229,129)		1,607,679

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.6%
		Money Market Funds — 0.7%
	18,425,406	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		18,425,406
		U.S. Government — 0.9%
	21,000,000	U.S. Treasury Bill, 0.10%, due 10/07/21 (e)(f)		20,981,464
		TOTAL SHORT-TERM INVESTMENTS (COST $39,406,927)		39,406,870
		TOTAL INVESTMENTS — 100.7% (Cost $2,338,299,012)		2,438,234,265
		Other Assets and Liabilities (net) — (0.7%)		(17,622,891	)
		TOTAL NET ASSETS — 100.0%		$2,420,611,374

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 1	Mini MSCI EAFE		December 2020	$	101,650	$	12,466

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 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) Securities are traded on separate exchanges for the same entity.

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

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

(d) The rate disclosed is the 7 day net yield as of November 30, 2020.

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

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

Portfolio Abbreviations:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.1%
		Automobiles & Components — 3.5%
	75,600	Toyota Industries Corp		5,448,120
		Banks — 2.6%
	947,000	Mitsubishi UFJ Financial Group Inc		4,041,147
		Capital Goods — 17.1%
	468,300	Amada Co Ltd		4,488,937
	147,800	Ebara Corp		4,713,847
	206,200	Fuji Corp		4,981,950
	411,600	Hazama Ando Corp		2,703,785
	114,000	Kinden Corp		1,820,966
	158,100	Kyowa Exeo Corp		4,060,427
	25,900	Kyudenko Corp		739,112
	453,500	Penta-Ocean Construction Co Ltd		3,365,564
		Total Capital Goods		26,874,588
		Commercial & Professional Services — 5.8%
	47,300	Secom Co Ltd		4,720,190
	318,800	Toppan Printing Co Ltd		4,340,280
		Total Commercial & Professional Services		9,060,470
		Consumer Durables & Apparel — 8.5%
	295,800	Asics Corp		5,316,200
	325,000	Haseko Corp		3,512,389
	255,800	Sumitomo Forestry Co Ltd		4,631,740
		Total Consumer Durables & Apparel		13,460,329
		Diversified Financials — 8.7%
	92,600	Jafco Co Ltd		3,962,665
	340,500	ORIX Corp		5,039,866
	103,400	Zenkoku Hosho Co Ltd		4,718,560
		Total Diversified Financials		13,721,091
		Food, Beverage & Tobacco — 5.6%
	99,300	NH Foods Ltd		4,229,027
	407,800	Takara Holdings Inc		4,666,225
		Total Food, Beverage & Tobacco		8,895,252
		Insurance — 2.6%
	138,900	MS&AD Insurance Group Holdings Inc		4,040,784
		Materials — 7.5%
	143,800	Denka Co Ltd		4,436,892
	193,700	Teijin Ltd		3,303,002
	263,900	Tosoh Corp		4,133,070
		Total Materials		11,872,964

Shares		Description	Value ($)
		Media & Entertainment — 2.9%
	146,300	Kadokawa Corp		4,631,425
		Pharmaceuticals, Biotechnology & Life Sciences — 2.6%
	142,100	Tsumura & Co		4,134,964
		Real Estate — 6.3%
	270,700	Aeon Mall Co Ltd		4,326,337
	785,300	Kenedix Inc		5,654,664
		Total Real Estate		9,981,001
		Retailing — 2.5%
	323,200	K’s Holdings Corp		3,924,604
		Semiconductors & Semiconductor Equipment — 6.1%
	53,100	Rohm Co Ltd		4,415,365
	118,500	Tokyo Seimitsu Co Ltd		5,211,849
		Total Semiconductors & Semiconductor Equipment		9,627,214
		Technology Hardware & Equipment — 11.9%
	129,400	Amano Corp		3,035,016
	45,500	Daiwabo Holdings Co Ltd		2,839,721
	109,900	Hitachi Ltd		4,171,117
	80,200	Horiba Ltd		4,290,610
	246,000	Yokogawa Electric Corp		4,334,160
		Total Technology Hardware & Equipment		18,670,624
		Telecommunication Services — 2.9%
	158,000	KDDI Corp		4,496,105
		TOTAL COMMON STOCKS (COST $143,506,733)		152,880,682
		SHORT-TERM INVESTMENTS — 2.3%
		Money Market Funds — 2.3%
	3,729,257	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		3,729,257
		TOTAL SHORT-TERM INVESTMENTS (COST $3,729,257)		3,729,257
		TOTAL INVESTMENTS — 99.4% (Cost $147,235,990)		156,609,939
		Other Assets and Liabilities (net) — 0.6%		868,429
		TOTAL NET ASSETS — 100.0%		$157,478,368

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2020.

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Banks — 6.2%
	5,867,501	US Bancorp		253,534,718
	6,803,401	Wells Fargo & Co.		186,073,017
		Total Banks		439,607,735
		Capital Goods — 6.2%
	1,092,019	3M Co.		188,624,442
	552,674	Knorr-Bremse AG		70,748,339
	1,293,020	Otis Worldwide Corp.		86,554,759
	1,346,103	Raytheon Technologies Corp.		96,542,507
		Total Capital Goods		442,470,047
		Consumer Durables & Apparel — 1.0%
	124,083	LVMH Moet Hennessy Louis Vuitton SE		71,272,734
		Consumer Services — 2.1%
	8,301,782	Compass Group Plc		146,075,341
		Diversified Financials — 4.1%
	1,652,051	American Express Co.		195,916,728
	1,952,248	Charles Schwab Corp. (The)		95,230,657
		Total Diversified Financials		291,147,385
		Food, Beverage & Tobacco — 5.6%
	5,934,817	Coca-Cola Co. (The)		306,236,557
	559,822	Nestle SA (Registered)		62,708,165
	356,315	Philip Morris International, Inc.		26,990,861
		Total Food, Beverage & Tobacco		395,935,583
		Health Care Equipment & Services — 14.7%
	1,257,931	Abbott Laboratories		136,133,293
	677,749	Anthem, Inc.		211,132,368
	1,958,566	Medtronic Plc		222,688,954
	1,011,217	Quest Diagnostics, Inc.		125,370,684
	1,023,218	UnitedHealth Group, Inc.		344,149,142
		Total Health Care Equipment & Services		1,039,474,441
		Household & Personal Products — 2.7%
	2,866,860	Unilever Plc (a)		174,119,634
	274,530	Unilever Plc (a)		16,642,191
		Total Household & Personal Products		190,761,825
		Media & Entertainment — 7.3%
	111,075	Alphabet, Inc. – Class A *		194,869,980
	72,059	Alphabet, Inc. – Class C *		126,877,164
	704,566	Facebook, Inc. – Class A *		195,143,645
		Total Media & Entertainment		516,890,789
		Pharmaceuticals, Biotechnology & Life Sciences — 9.3%
	710,702	Eli Lilly & Co.		103,513,746

Shares / Par Value†		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	1,531,126	Johnson & Johnson		221,523,310
	1,945,054	Merck & Co., Inc.		156,362,891
	529,833	Roche Holding AG – Genusschein		174,022,008
		Total Pharmaceuticals, Biotechnology & Life Sciences		655,421,955
		Retailing — 2.9%
	3,228,070	TJX Cos, Inc. (The)		205,014,726
		Semiconductors & Semiconductor Equipment — 9.4%
	84,341	ASML Holding NV		36,644,809
	433,197	Lam Research Corp.		196,090,954
	13,703,790	Taiwan Semiconductor Manufacturing Co Ltd		233,263,576
	1,250,990	Texas Instruments, Inc.		201,722,138
		Total Semiconductors & Semiconductor Equipment		667,721,477
		Software & Services — 19.2%
	1,122,093	Accenture Plc – Class A		279,502,145
	206,237	Adobe, Inc. *		98,678,217
	1,890,339	Microsoft Corp.		404,664,870
	4,048,493	Oracle Corp.		233,679,016
	264,163	salesforce.com, Inc. *		64,931,266
	1,371,504	SAP SE		165,562,886
	527,860	Visa, Inc. – Class A		111,035,351
		Total Software & Services		1,358,053,751
		Technology Hardware & Equipment — 6.8%
	2,715,754	Apple, Inc.		323,310,514
	3,730,176	Cisco Systems, Inc.		160,472,171
		Total Technology Hardware & Equipment		483,782,685
		Transportation — 1.2%
	2,137,911	Lyft, Inc. – Class A *		81,604,063
		TOTAL COMMON STOCKS (COST $4,381,930,949)		6,985,234,537
		MUTUAL FUNDS — 0.1%
		Affiliated Issuers — 0.1%
	1,950,588	GMO U.S. Treasury Fund		9,830,961
		TOTAL MUTUAL FUNDS (COST $9,752,902)		9,830,961
		SHORT-TERM INVESTMENTS — 1.3%
		Money Market Funds — 0.1%
	5,730,800	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		5,730,800
		U.S. Government — 1.2%
	45,000,000	U.S. Treasury Bill, 0.10%, due 10/07/21 (c)		44,960,281

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government — continued
	40,000,000	U.S. Treasury Bill, 0.11%, due 11/04/21 (c)		39,958,689
		Total U.S. Government		84,918,970
		TOTAL SHORT-TERM INVESTMENTS (COST $90,659,520)		90,649,770
		TOTAL INVESTMENTS — 100.1% (Cost $4,482,343,371)		7,085,715,268
		Other Assets and Liabilities (net) — (0.1%)		(5,193,581	)
		TOTAL NET ASSETS — 100.0%		$7,080,521,687

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2020.

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

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.0%
		Argentina — 1.0%
	1,195,954	Adecoagro SA *		7,390,996
		Australia — 5.1%
	3,505,690	Beach Energy Ltd		4,476,104
	14,700,000	Clean TeQ Holdings Ltd *		2,940,561
	887,101	Fortescue Metals Group Ltd		11,818,489
	4,770,582	Jupiter Mines Ltd		981,592
	428,534	Mineral Resources Ltd (a)		10,160,359
	1,909,832	Sandfire Resources NL		6,146,834
		Total Australia		36,523,939
		Austria — 1.4%
	291,983	OMV AG		9,777,070
		Brazil — 1.0%
	342,700	Petroleo Brasileiro SA		1,634,372
	1,194,657	Sao Martinho SA		5,835,699
		Total Brazil		7,470,071
		Canada — 4.7%
	254,500	Canadian Solar Inc * (a)		10,882,420
	243,200	Enerflex Ltd (a)		1,288,378
	283,100	Frontera Energy Corp		608,184
	2,932,000	Ivanhoe Mines Ltd – Class A * (a)		13,726,465
	8,838,100	Largo Resources Ltd *		7,213,664
		Total Canada		33,719,111
		China — 4.6%
	5,046,000	China High Speed Transmission Equipment Group Co Ltd		3,625,152
	3,288,000	China Water Affairs Group Ltd		2,587,277
	20,888,000	CNOOC Ltd		20,784,967
	339,612	Sungrow Power Supply Co Ltd – Class A		2,479,666
	2,196,400	Xinjiang Goldwind Science & Technology Co Ltd – Class H		3,533,752
		Total China		33,010,814
		Colombia — 0.9%
	10,530,069	Ecopetrol SA		6,093,312
		Denmark — 0.6%
	21,946	Vestas Wind Systems A/S		4,472,890
		Finland — 1.9%
	201,344	Neste Oyj		13,453,860
		France — 2.6%
	113,372	Suez		2,168,674
	248,490	TOTAL SA		10,547,251
	103,327	Veolia Environnement SA		2,370,229

Shares		Description	Value ($)
		France — continued
	58,741	Vilmorin & Cie SA		3,492,888
		Total France		18,579,042
		Germany — 0.7%
	554,063	K+S AG (Registered)		4,980,580
		Hungary — 1.0%
	1,072,359	MOL Hungarian Oil & Gas Plc *		7,152,104
		India — 2.4%
	6,047,822	Oil & Natural Gas Corp Ltd		6,335,326
	1,192,557	Oil India Ltd		1,533,375
	5,642,401	Vedanta Ltd		9,101,400
		Total India		16,970,101
		Israel — 1.5%
	63,085	Equital Ltd *		1,412,398
	959,199	ICL Group Ltd		4,561,937
	25,715	Israel Corp Ltd (The) *		4,380,816
	94,114	Naphtha Israel Petroleum Corp Ltd *		426,981
		Total Israel		10,782,132
		Japan — 1.9%
	122,100	Ebara Corp		3,894,186
	770,500	Inpex Corp		4,267,696
	138,800	Mitsubishi Materials Corp (a)		2,624,216
	53,600	Nittetsu Mining Co Ltd		2,704,130
		Total Japan		13,490,228
		Mexico — 2.5%
	4,965,740	Grupo Mexico SAB de CV Series B		18,059,247
		Norway — 2.6%
	748,690	Austevoll Seafood ASA		6,808,233
	2,922,953	DNO ASA * (a)		1,947,552
	470,577	Equinor ASA		7,325,521
	160,538	TGS NOPEC Geophysical Co ASA		2,206,073
		Total Norway		18,287,379
		Pakistan — 0.7%
	3,324,222	Fauji Fertilizer Co Ltd		2,152,214
	3,032,049	Oil & Gas Development Co Ltd		1,863,333
	457,975	Pakistan Oilfields Ltd		1,129,280
		Total Pakistan		5,144,827
		Poland — 0.8%
	4,335,248	Polskie Gornictwo Naftowe i Gazownictwo SA		5,534,487
		Russia — 13.0%
	1,265,530	Gazprom Neft PJSC		5,233,610
	699,380	Gazprom PJSC		1,669,092
	312,865	LUKOIL PJSC Sponsored ADR		20,140,733

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	839,685	MMC Norilsk Nickel PJSC ADR		23,287,528
	131,477	Novatek PJSC Sponsered GDR (Registered)		20,228,763
	869,812	PhosAgro PJSC GDR (Registered)		11,109,949
	575,419	Ros Agro Plc GDR (Registered)		6,126,450
	739,296	Tatneft PJSC		4,766,946
		Total Russia		92,563,071
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd *(b)		—
		South Africa — 0.3%
	139,983	African Rainbow Minerals Ltd		2,164,867
		South Korea — 0.2%
	2,326	Young Poong Corp		1,072,289
		Spain — 1.2%
	879,938	Repsol SA		8,433,984
		Switzerland — 0.6%
	1,745	Gurit Holding AG		4,391,779
		Thailand — 0.7%
	1,523,164	PTT Exploration & Production Pcl (Foreign Registered)		4,841,672
		Turkey — 0.4%
	1,642,447	Koza Anadolu Metal Madencilik Isletmeleri AS *		2,656,584
		Ukraine — 0.6%
	325,180	Kernel Holding SA		4,204,279
		United Kingdom — 12.6%
	418,545	Anglo American Plc		12,187,966
	440,378	BHP Group Plc		9,957,233
	937,771	BP Plc		3,044,782
	1,043,459	Central Asia Metals Plc		2,999,904
	1,637,147	Ferrexpo Plc		4,590,971
	8,413,445	Glencore Plc *		23,719,640
	1,061,711	John Wood Group Plc *		4,153,814
	744,897	Petrofac Ltd *(a)		1,503,592
	1,657,344	Royal Dutch Shell Plc – A Shares		27,784,323
		Total United Kingdom		89,942,225
		United States — 21.5%
	74,700	AGCO Corp.		6,910,497
	25,531	Albemarle Corp.		3,471,450
	88,800	Baker Hughes Co.		1,662,336
	54,100	Cactus, Inc. – Class A		1,255,120
	392,700	Darling Ingredients, Inc. *		18,959,556
	53,300	Enphase Energy, Inc. *		7,279,181
	64,600	First Solar, Inc. *		6,035,578
	818,382	Freeport-McMoRan, Inc.		19,141,955

Shares / Par Value†		Description	Value ($)
		United States — continued
	111,700	FutureFuel Corp.		1,339,283
	941,924	GrafTech International Ltd.		7,441,199
	13,641,000	Kosmos Energy Ltd.		24,008,160
	139,400	Liberty Oilfield Services, Inc. – Class A		1,296,420
	280,500	Livent Corp. * (a)		4,255,185
	643,607	Mosaic Co. (The)		14,133,610
	323,900	NexTier Oilfield Solutions, Inc. *		906,920
	348,400	ProPetro Holding Corp. *		2,010,268
	311,354	Renewable Energy Group, Inc. *		18,083,440
	43,055	SolarEdge Technologies, Inc. *		11,968,429
	170,200	Talos Energy, Inc. *		1,456,912
	735,200	W&T Offshore, Inc. * (a)		1,440,992
		Total United States		153,056,491
		TOTAL COMMON STOCKS (COST $554,526,847)		634,219,431
		PREFERRED STOCKS (c) — 9.2%
		Brazil — 5.3%
	3,258,599	Bradespar SA		35,338,896
	616,100	Petroleo Brasileiro SA		2,863,495
		Total Brazil		38,202,391
		Chile — 1.8%
	269,012	Sociedad Quimica y Minera de Chile SA Sponsored ADR		12,662,395
		Russia — 2.1%
	74,885	Bashneft PJSC		1,205,906
	5,091,084	Surgutneftegas PJSC		2,645,037
	1,830,786	Tatneft PJSC		11,221,619
		Total Russia		15,072,562
		TOTAL PREFERRED STOCKS (COST $44,295,824)		65,937,348
		DEBT OBLIGATIONS — 0.6%
		United States — 0.6%
	4,250,000	U.S. Treasury Note, 1.38%, due 01/31/22		4,311,592
		TOTAL DEBT OBLIGATIONS (COST $4,311,827)		4,311,592
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, Expires 04/16/23*(a)(b)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.1%
		Money Market Funds — 1.1%
	8,069,823	State Street Institutional Treasury Money Market Fund – Premier Class,0.01% (d)		8,069,823
		TOTAL SHORT-TERM INVESTMENTS (COST $8,069,823)		8,069,823
		TOTAL INVESTMENTS — 99.9% (Cost $611,204,321)		712,538,194
		Other Assets and Liabilities (net) — 0.1%		430,307
		TOTAL NET ASSETS — 100.0%		$712,968,501

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 November 30, 2020.

Portfolio Abbreviations:

ADR - American Depositary Receipt

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

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 40.7%
		U.S. Government — 40.7%
	5,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.14%, due 07/31/22		5,000,641
		TOTAL DEBT OBLIGATIONS (COST $5,000,000)		5,000,641
		SHORT-TERM INVESTMENTS — 57.9%
		Money Market Funds — 3.9%
	480,432	State Street Institutional Treasury Money Market Fund-Premier Class, 0.01% (a)		480,432

Par Value†		Description	Value ($)
		U.S. Government — 54.0%
	6,600,000	U.S. Treasury Note, 1.13%, due 06/30/21 (b)		6,639,703
		TOTAL SHORT-TERM INVESTMENTS (COST $7,103,430)		7,120,135
		TOTAL INVESTMENTS — 98.6% (Cost $12,103,430)		12,120,776
		Other Assets and Liabilities (net) — 1.4%		168,064
		TOTAL NET ASSETS — 100.0%		$12,288,840

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Written Options

Index Options

Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount				Value ($)
Index Options – Puts
S&P 500 Index	3,570.00		12/18/20		34		USD	(12,313,542	)		(124,780	)
	TOTAL WRITTEN OPTIONS (Premiums $249,107)									$	(124,780	)

As of November 30, 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) The rate disclosed is the 7 day net yield as of November 30, 2020.

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

The rates shown on variable rate notes are the current interest rates at November 30, 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:

USD - United States Dollar

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.5%
		Australia — 4.6%
	6,116	Accent Group Ltd		9,701
	1,462	Australian Pharmaceutical Industries Ltd		1,292
	66,782	Fortescue Metals Group Ltd		889,710
	3,342	JB Hi-Fi Ltd		112,258
	9,602	Rio Tinto Ltd		716,395
		Total Australia		1,729,356
		Belgium — 1.3%
	79	Sofina SA		25,077
	4,429	UCB SA		473,959
		Total Belgium		499,036
		Brazil — 0.5%
	24,800	Banco do Brasil SA		156,742
	4,100	Cia de Saneamento do Parana		19,132
	3,600	Qualicorp Consultoria e Corretora de Seguros SA		22,289
		Total Brazil		198,163
		China — 2.0%
	19,000	BAIC Motor Corp Ltd – Class H		7,111
	423,000	Bank of China Ltd – Class H		149,301
	223,000	Bank of Communications Co Ltd – Class H		123,232
	47,000	China CITIC Bank Corp Ltd – Class H		20,329
	121,000	China Everbright Bank Co Ltd – Class H		47,197
	90,000	China Huarong Asset Management Co Ltd – Class H		10,318
	90,000	China Lesso Group Holdings Ltd		160,874
	54,000	China Medical System Holdings Ltd		55,137
	49,000	China Minsheng Banking Corp Ltd – Class H		27,028
	35,000	China Railway Group Ltd – Class H		17,277
	3,000	China SCE Group Holdings Ltd		1,374
	37,000	Chongqing Rural Commercial Bank Co Ltd – Class H		15,865
	4,000	IGG Inc		3,992
	42,300	Shanghai Pharmaceuticals Holding Co Ltd – Class H		71,530
	11,000	TCL Electronics Holdings Ltd *		8,661
	10,000	Tianneng Power International Ltd		20,981
		Total China		740,207
		Denmark — 0.1%
	2,720	Scandinavian Tobacco Group A/S		41,856
		France — 7.9%
	323	APERAM SA		12,277
	600	ArcelorMittal SA *		10,910
	4,982	BNP Paribas SA *		253,590
	87	Christian Dior SE		44,362
	440	Cie de Saint-Gobain *		20,844
	247	Cie Generale des Etablissements Michelin SCA		30,724
	7,150	Credit Agricole SA *		82,491
	1,112	Eiffage SA *		108,717
	27	Faurecia SE *		1,337

Shares		Description	Value ($)
		France — continued
	246	Fnac Darty SA *		13,152
	432	Kaufman & Broad SA		18,378
	1,135	L’Oreal SA		417,789
	705	La Francaise des Jeux SAEM		29,486
	196	Legrand SA		16,597
	555	Nexans SA *		34,965
	11,162	Peugeot SA *		261,875
	1,207	Quadient SA		21,577
	770	Rexel SA *		10,413
	9,630	Sanofi		970,693
	2,562	Schneider Electric SE		356,952
	410	SEB SA		72,628
	5,712	Societe Generale SA *		113,256
	769	TOTAL SE		32,641
	361	Valeo SA		13,927
		Total France		2,949,581
		Germany — 4.5%
	276	AIXTRON SE *		4,018
	362	Allianz SE (Registered)		84,847
	362	BASF SE		26,465
	889	Bayerische Motoren Werke AG		77,138
	753	Bechtle AG		164,383
	470	Brenntag AG		35,992
	1,901	Daimler AG (Registered)		127,275
	1,063	Deutsche Pfandbriefbank AG *		10,589
	218	Deutsche Post AG (Registered)		10,516
	6,286	Dialog Semiconductor Plc *		335,468
	909	DWS Group GmbH & Co KGaA		35,399
	169	Eckert & Ziegler Strahlen- und Medizintechnik AG		8,693
	356	Elmos Semiconductor SE		11,367
	144	Hannover Rueck SE		24,065
	1,379	HeidelbergCement AG		97,558
	755	Henkel AG & Co KGaA		72,845
	959	Merck KGaA		153,133
	1,747	Siemens AG (Registered)		233,180
	1	Siemens Healthineers AG		46
	1,053	Software AG		45,218
	631	Volkswagen AG		116,634
		Total Germany		1,674,829
		Hong Kong — 1.4%
	7,600	Chow Tai Fook Jewellery Group Ltd		9,921
	11,200	Dah Sing Banking Group Ltd		12,007
	6,000	Johnson Electric Holdings Ltd		14,135
	4,500	Kerry Logistics Network Ltd		9,864
	574,500	WH Group Ltd		468,029
		Total Hong Kong		513,956
		Hungary — 0.2%
	3,883	Magyar Telekom Telecommunications Plc		5,012
	2,515	Richter Gedeon Nyrt		59,601
		Total Hungary		64,613

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		India — 0.4%
	37,955	Power Finance Corp Ltd		55,035
	1,169	Rajesh Exports Ltd *		7,098
	60,826	REC Ltd		97,154
		Total India		159,287
		Ireland — 2.1%
	6,765	CRH Plc		262,306
	4,260	CRH Plc Sponsored ADR		167,205
	63	Flutter Entertainment Plc *		11,478
	432	Kerry Group Plc – Class A		60,574
	110	Kingspan Group Plc *		9,597
	5,872	Smurfit Kappa Group Plc (a)		249,831
	301	Smurfit Kappa Group Plc (a)		12,627
		Total Ireland		773,618
		Italy — 2.5%
	3,466	Arnoldo Mondadori Editore SPA *		6,177
	307	Banca Mediolanum SPA *		2,806
	807	De’ Longhi SPA *		28,174
	48,652	Enel SPA		488,117
	5,591	EXOR NV		391,087
	235	Recordati Industria Chimica e Farmaceutica SPA		12,569
	1,623	Unipol Gruppo SPA *		7,828
		Total Italy		936,758
		Japan — 20.4%
	45,500	Astellas Pharma Inc		648,081
	4,200	Bandai Namco Holdings Inc		382,234
	6,100	Brother Industries Ltd		116,517
	4,300	Chugai Pharmaceutical Co Ltd		207,979
	1,100	Daiwabo Holdings Co Ltd		68,653
	800	DCM Holdings Co Ltd		9,080
	600	Dip Corp		13,937
	700	Fuji Corp		16,913
	1,200	FUJIFILM Holdings Corp		64,556
	2,700	Fujitsu General Ltd		81,685
	4,700	Fujitsu Ltd		650,189
	10,900	Haseko Corp		117,800
	6,900	Hitachi Ltd		261,881
	24,400	ITOCHU Corp		643,898
	2,000	Itochu Techno-Solutions Corp		70,523
	400	Japan Post Insurance Co Ltd		6,655
	3,500	K’s Holdings Corp		42,500
	29,800	KDDI Corp		848,000
	800	Kohnan Shoji Co Ltd		24,728
	8,500	Mitsubishi Chemical Holdings Corp		46,795
	700	Mitsubishi Gas Chemical Co Inc		14,816
	38,900	Mitsubishi UFJ Financial Group Inc		165,999
	600	Mixi Inc		16,395
	2,700	Mizuho Financial Group Inc		34,208
	2,000	NEC Corp		107,754
	3,300	NEC Networks & System Integration Corp		58,278

Shares		Description	Value ($)
		Japan — continued
	1,000	Nichias Corp		23,253
	34,600	Nippon Telegraph & Telephone Corp		818,299
	100	Nitori Holdings Co Ltd		21,262
	100	NS Solutions Corp		2,954
	400	NTT DOCOMO Inc		14,877
	4,800	Obayashi Corp		42,250
	700	Otsuka Corp		33,945
	2,900	Recruit Holdings Co Ltd		121,571
	1,600	Sekisui Chemical Co Ltd		27,581
	2,000	Sekisui House Ltd		35,862
	100	Shimamura Co Ltd		10,303
	3,700	Shimizu Corp		27,982
	18,800	Sojitz Corp		41,059
	5,500	Sony Corp		512,520
	100	Sugi Holdings Co Ltd		6,628
	2,600	Sumitomo Mitsui Financial Group Inc		74,757
	400	Sushiro Global Holdings Ltd		12,754
	2,600	Tokyo Electron Ltd		883,619
	9,400	Tosoh Corp		147,218
	200	Toyo Suisan Kaisha Ltd		9,837
	2,000	Ushio Inc		25,089
	1,300	Wacom Co Ltd		12,035
		Total Japan		7,625,709
		Malaysia — 0.0%
	7,400	Kossan Rubber Industries		11,383
		Malta — 0.0%
	1,718,063	BGP Holdings Plc * (b)		—
		Netherlands — 7.5%
	715	Aalberts NV		30,844
	1,430	ASM International NV		252,126
	2,129	ASR Nederland NV		78,897
	560	Flow Traders		18,026
	639	Heineken Holding NV		58,873
	10,648	ING Groep NV *		103,570
	28,917	Koninklijke Ahold Delhaize NV		826,775
	4,081	PostNL NV *		13,898
	5,681	Randstad NV *		351,360
	9,474	Signify NV *		399,346
	2,754	TomTom NV *		22,466
	7,837	Wolters Kluwer NV		656,101
		Total Netherlands		2,812,282
		Norway — 0.7%
	3,525	BW LPG Ltd		22,511
	19,143	Orkla ASA		183,234
	35	Salmar ASA *		1,913
	1,503	SpareBank 1 Nord Norge		12,333
	2,652	SpareBank 1 SR-Bank ASA *		26,452
		Total Norway		246,443

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Poland — 0.1%
	233	Asseco Poland SA		4,119
	1,891	Polski Koncern Naftowy ORLEN SA		27,926
		Total Poland		32,045
		Portugal — 3.2%
	5,564	EDP Renovaveis SA		117,928
	143,077	EDP – Energias de Portugal SA		764,784
	16,923	Jeronimo Martins SGPS SA		289,967
	1,369	NOS SGPS SA		5,235
		Total Portugal		1,177,914
		Russia — 1.2%
	8,367	Gazprom PJSC Sponsored ADR		38,602
	705,000	Inter RAO UES PJSC		47,346
	2,375	LUKOIL PJSC		157,233
	1,819	LUKOIL PJSC Sponsored ADR		117,098
	399,000	ROSSETI PJSC		8,815
	5,368	Sberbank of Russia PJSC Sponsored ADR		70,812
	9,800	Surgutneftegas PJSC		4,527
		Total Russia		444,433
		Singapore — 4.0%
	17,700	AEM Holdings Ltd		46,249
	300	City Developments Ltd		1,727
	33,500	DBS Group Holdings Ltd		624,962
	4,000	Jardine Cycle & Carriage Ltd		57,532
	6,300	Mapletree Industrial Trust (REIT)		13,756
	20,500	Oversea-Chinese Banking Corp Ltd		152,838
	3,800	Riverstone Holdings Ltd/Singapore		3,732
	25,300	Singapore Exchange Ltd		166,818
	11,700	Venture Corp Ltd		163,300
	55,500	Wilmar International Ltd		172,766
	108,600	Yangzijiang Shipbuilding Holdings Ltd		70,570
	16,000	Yanlord Land Group Ltd		13,209
		Total Singapore		1,487,459
		South Africa — 0.1%
	2,613	Aspen Pharmacare Holdings Ltd *		20,752
	11,423	Netcare Ltd		9,081
	15,577	Old Mutual Ltd		11,345
		Total South Africa		41,178
		South Korea — 2.3%
	520	DongKook Pharmaceutical Co Ltd		12,079
	419	DoubleUGames Co Ltd		22,213
	10,612	Hana Financial Group Inc		322,538
	487	KB Financial Group Inc		20,132
	8,069	Kia Motors Corp		422,043
	293	Sebang Global Battery Co Ltd		11,638
	2,117	Shinhan Financial Group Co Ltd		62,337
		Total South Korea		872,980

Shares		Description	Value ($)
		Spain — 5.5%
	1,171	Acerinox SA		12,135
	1,056	Aena SME SA *		172,031
	10,127	Banco Bilbao Vizcaya Argentaria SA		46,894
	28,444	Banco Santander SA *		82,491
	90	Cia de Distribucion Integral Logista Holdings SA		1,660
	13,151	Endesa SA		377,993
	51,922	Iberdrola SA		712,770
	15,802	Industria de Diseno Textil SA		524,538
	1,054	Red Electrica Corp SA		21,547
	1,209	Viscofan SA		85,684
		Total Spain		2,037,743
		Sweden — 1.8%
	1,355	Betsson AB *		11,690
	580	Lindab International AB		10,116
	911	Mycronic AB		24,117
	1,530	Skanska AB – B Shares		36,354
	5,959	Swedish Match AB		482,094
	2,393	Volvo AB – A Shares *		55,003
	1,782	Volvo AB – B Shares *		40,588
		Total Sweden		659,962
		Switzerland — 5.8%
	3,412	ABB Ltd (Registered)		90,239
	160	ALSO Holding AG (Registered) *		41,874
	363	Logitech International SA (Registered)		32,352
	1,182	Nestle SA (Registered)		132,401
	6,600	Novartis AG (Registered)		597,534
	207	Roche Holding AG		68,811
	3,593	Roche Holding AG – Genusschein		1,180,110
	165	Vetropack Holding AG (Registered) *		10,757
		Total Switzerland		2,154,078
		Taiwan — 0.8%
	37,000	China Development Financial Holding Corp		11,587
	9,000	Fubon Financial Holding Co Ltd		13,989
	10,000	Hon Hai Precision Industry Co Ltd		28,869
	24,000	Inventec Corp		19,605
	104,000	Pou Chen Corp		113,914
	27,000	Radiant Opto-Electronics Corp		109,965
	11,000	Sunplus Technology Co Ltd *		6,021
	4,595	TOPBI International Holdings Ltd		5,082
		Total Taiwan		309,032
		Thailand — 0.0%
	52,700	AP Thailand Pcl NVDR		12,188
		Turkey — 1.8%
	37,805	Akbank TAS *		29,112
	61,796	Eregli Demir ve Celik Fabrikalari TAS		86,875
	56,444	Haci Omer Sabanci Holding AS		69,474
	330	TAV Havalimanlari Holding AS		800

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	1,488	Turk Telekomunikasyon AS		1,459
	174,364	Turkiye Garanti Bankasi AS *		195,321
	130,228	Turkiye Is Bankasi AS – Class C *		108,718
	112,012	Turkiye Sinai Kalkinma Bankasi AS *		32,815
	91,559	Turkiye Sise ve Cam Fabrikalari AS		79,547
	171,529	Yapi ve Kredi Bankasi AS *		62,863
		Total Turkey		666,984
		United Kingdom — 12.8%
	24,203	3i Group Plc		342,159
	2,609	Anglo American Plc		75,974
	5,510	B&M European Value Retail SA		34,838
	41,931	BAE Systems Plc		279,755
	49,928	Barratt Developments Plc *		409,329
	2,561	Bellway Plc		96,200
	5,101	Berkeley Group Holdings Plc (The)		311,792
	9,844	British American Tobacco Plc		346,531
	11,800	British American Tobacco Plc Sponsored ADR		416,658
	370	Bunzl Plc		11,524
	2,970	Coca-Cola HBC AG *		84,837
	1,582	Computacenter Plc		46,638
	443	Cranswick Plc		20,189
	4,124	Dunelm Group Plc *		66,327
	6,773	Electrocomponents Plc		72,935
	2,007	Ferguson Plc		224,662
	17,524	Ferrexpo Plc		49,142
	1,057	Fresnillo Plc		14,871
	100	GlaxoSmithKline Plc Sponsored ADR		3,679
	5,217	Howden Joinery Group Plc *		43,663
	7,411	IG Group Holdings Plc		78,953
	2,037	Imperial Brands Plc		36,772
	12,408	Inchcape Plc *		98,777
	1,112	Intermediate Capital Group Plc		23,984
	7,940	JD Sports Fashion Plc *		81,476
	6,108	John Laing Group Plc		25,696
	34,915	Kingfisher Plc *		126,798
	95,214	Legal & General Group Plc		314,432
	610	Morgan Sindall Group Plc		11,313
	1,844	Next Plc		159,290
	14,129	Persimmon Plc		495,818
	81	Phoenix Group Holdings Plc		767
	5,371	Plus500 Ltd		110,233
	11,898	QinetiQ Group Plc		46,263
	572	Softcat Plc		8,623
	6,954	Spirent Communications Plc		23,746
	19,783	Tate & Lyle Plc		167,122
		Total United Kingdom		4,761,766
		TOTAL COMMON STOCKS (COST $26,534,872)		35,634,839
		PREFERRED STOCKS (c) — 1.3%
		Brazil — 0.1%
	2,000	Cia Paranaense de Energia – Class B		25,486

Shares		Description	Value ($)
		Germany — 1.1%
	458	Bayerische Motoren Werke AG		30,093
	688	Draegerwerk AG & Co KGaA		53,908
	2,326	Henkel AG & Co KGaA		250,244
	689	Volkswagen AG		115,654
		Total Germany		449,899
		Russia — 0.1%
	43,100	Surgutneftegas PJSC		22,393
		TOTAL PREFERRED STOCKS (COST $440,251)		497,778
		MUTUAL FUNDS — 0.7%
		United States — 0.7%
		Affiliated Issuers — 0.7%
	52,612	GMO U.S. Treasury Fund		265,165
		TOTAL MUTUAL FUNDS (COST $264,107)		265,165
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 1.2%
	442,504	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		442,504
		TOTAL SHORT-TERM INVESTMENTS (COST $442,504)		442,504
		TOTAL INVESTMENTS — 98.7% (Cost $27,681,734)	36,840,286
		Other Assets and Liabilities (net) — 1.3%		478,296
		TOTAL NET ASSETS — 100.0%	$	37,318,582

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1	Mini MSCI EAFE	December 2020	$	101,650	$	(240	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

As of November 30, 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) Securities are traded on separate exchanges for the same entity.

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

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

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

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.1%
		Automobiles & Components — 1.9%
	19,400	Aptiv Plc		2,302,780
	6,600	Autoliv, Inc.		587,730
	29,000	BorgWarner, Inc.		1,126,650
	6,500	Cooper Tire & Rubber Co.		258,245
	15,400	Dana, Inc.		259,336
	23,600	Gentex Corp.		769,360
	6,900	Lear Corp.		986,355
	4,700	Standard Motor Products, Inc.		217,563
	3,700	Visteon Corp. *		447,145
		Total Automobiles & Components		6,955,164
		Banks — 4.5%
	15,700	Associated Banc-Corp.		240,524
	46,900	Citizens Financial Group, Inc.		1,531,754
	4,100	Comerica, Inc.		201,720
	5,900	East West Bancorp, Inc.		252,048
	55,300	Fifth Third Bancorp		1,401,302
	21,600	First Horizon National Corp.		263,952
	6,700	Flagstar Bancorp, Inc.		234,768
	7,300	Hilltop Holdings, Inc.		175,857
	56,800	Huntington Bancshares, Inc.		686,144
	44,800	JPMorgan Chase & Co.		5,281,024
	13,600	KeyCorp.		210,256
	34,000	MGIC Investment Corp.		406,640
	10,500	Old National Bancorp		166,215
	5,900	PennyMac Financial Services, Inc.		340,076
	10,800	PNC Financial Services Group, Inc. (The)		1,491,156
	61,300	Regions Financial Corp.		936,051
	1,900	Signature Bank/New York NY		213,161
	800	SVB Financial Group*		275,888
	38,400	US Bancorp		1,659,264
	4,100	Walker & Dunlop, Inc.		328,041
	3,400	Wintrust Financial Corp.		185,266
		Total Banks		16,481,107
		Capital Goods — 9.3%
	2,300	3M Co.		397,279
	9,300	A O Smith Corp.		523,683
	3,600	Acuity Brands, Inc.		427,392
	10,900	AGCO Corp.		1,008,359
	13,100	Allison Transmission Holdings, Inc.		537,755
	7,600	BMC Stock Holdings, Inc. *		371,944
	16,200	Builders FirstSource, Inc. *		606,042
	2,100	Carlisle Cos, Inc.		304,143
	6,300	Crane Co.		438,039
	13,526	Cummins, Inc.		3,126,805
	6,800	Curtiss-Wright Corp.		783,768
	22,100	Eaton Corp Plc		2,676,531
	6,600	EMCOR Group, Inc.		568,788
	13,100	Emerson Electric Co.		1,006,342

Shares		Description	Value ($)
		Capital Goods — continued
	3,600	EnerSys		294,516
	9,794	Federal Signal Corp.		303,908
	15,900	Fortive Corp.		1,115,067
	4,600	Generac Holdings, Inc. *		991,760
	8,900	General Dynamics Corp.		1,329,215
	3,800	Gibraltar Industries, Inc. *		248,748
	3,800	Lockheed Martin Corp.		1,387,000
	13,500	Masco Corp.		724,545
	6,396	Moog, Inc. – Class A		494,795
	12,800	Mueller Industries, Inc.		419,328
	8,600	Northrop Grumman Corp.		2,599,436
	10,331	Oshkosh Corp.		831,645
	8,500	Owens Corning		619,395
	28,300	PACCAR, Inc.		2,463,798
	7,200	Parker-Hannifin Corp.		1,924,272
	5,900	Stanley Black & Decker, Inc.		1,087,429
	2,323	Teledyne Technologies, Inc. *		877,955
	27,991	Textron, Inc.		1,262,394
	8,579	Timken Co. (The)		630,042
	2,800	Toro Co. (The)		253,988
	14,696	UFP Industries, Inc.		788,440
	600	WW Grainger, Inc.		250,980
		Total Capital Goods		33,675,526
		Commercial & Professional Services — 1.0%
	12,009	Brady Corp. – Class A		530,558
	10,200	CBIZ, Inc. *		247,044
	3,200	Cimpress Plc *		286,816
	9,700	CoreLogic Inc/United States		751,750
	13,704	Herman Miller, Inc.		488,410
	10,700	HNI Corp.		390,122
	7,700	ManpowerGroup, Inc.		667,205
	18,000	Steelcase, Inc. – Class A		218,700
		Total Commercial & Professional Services		3,580,605
		Consumer Durables & Apparel — 3.7%
	6,000	Brunswick Corp.		447,840
	3,000	Deckers Outdoor Corp. *		763,770
	29,400	DR Horton, Inc.		2,190,300
	22,287	Garmin Ltd.		2,602,230
	30,600	Hanesbrands, Inc.		434,520
	2,100	Helen of Troy Ltd. *		424,179
	12,600	La-Z-Boy, Inc.		466,704
	9,100	MDC Holdings, Inc.		439,257
	5,600	Mohawk Industries, Inc. *		704,648
	190	NVR, Inc. *		759,464
	10,600	Polaris, Inc.		1,017,600
	26,600	PulteGroup, Inc.		1,160,558
	4,800	Ralph Lauren Corp.		411,600
	15,400	Skechers U.S.A., Inc. – Class A *		515,438
	9,500	Steven Madden Ltd.		298,965
	19,600	Tempur Sealy International, Inc. *		493,724

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	22,600	TRI Pointe Group, Inc. *		395,048
		Total Consumer Durables & Apparel		13,525,845
		Consumer Services — 0.5%
	5,800	Brinker International, Inc.		290,638
	1,048	Graham Holdings Co. – Class B		468,477
	37,100	H&R Block, Inc.		697,480
	20,600	Perdoceo Education Corp. *		233,604
		Total Consumer Services		1,690,199
		Diversified Financials — 3.9%
	4,700	Affiliated Managers Group, Inc.		409,464
	24,600	Ally Financial, Inc.		729,390
	8,900	American Express Co.		1,055,451
	8,014	Ameriprise Financial, Inc.		1,484,513
	7,800	Artisan Partners Asset Management, Inc. – Class A		351,000
	45,000	Bank of New York Mellon Corp. (The)		1,760,400
	13,200	Discover Financial Services		1,005,444
	10,500	Eaton Vance Corp.		703,290
	22,300	Federated Hermes, Inc.		598,532
	7,800	Franklin Resources, Inc.		171,522
	3,100	Nasdaq, Inc.		396,769
	7,200	OneMain Holdings, Inc.		280,728
	9,300	Raymond James Financial, Inc.		845,835
	14,700	SEI Investments Co.		775,425
	51,500	SLM Corp.		546,415
	25,900	State Street Corp.		1,825,432
	35,900	Synchrony Financial		1,093,873
		Total Diversified Financials		14,033,483
		Energy — 0.4%
	20,804	Phillips 66		1,260,306
	12,900	World Fuel Services Corp.		366,618
		Total Energy		1,626,924
		Food & Staples Retailing — 0.9%
	800	Costco Wholesale Corp.		313,416
	85,600	Kroger Co. (The)		2,824,800
	12,400	Sprouts Farmers Market, Inc. *		262,508
		Total Food & Staples Retailing		3,400,724
		Food, Beverage & Tobacco — 3.7%
	6,600	Archer-Daniels-Midland Co.		328,482
	6,800	Campbell Soup Co.		340,136
	8,600	Conagra Brands, Inc.		314,416
	36,100	General Mills, Inc.		2,195,602
	4,300	Hershey Co. (The)		635,927
	16,700	Mondelez International, Inc. – Class A		959,415
	57,800	PepsiCo, Inc.		8,336,494
	3,600	Tyson Foods, Inc. – Class A		234,720
	5,400	Universal Corp.		245,754
		Total Food, Beverage & Tobacco		13,590,946

Shares		Description	Value ($)
		Health Care Equipment & Services — 3.3%
	14,500	AmerisourceBergen Corp.		1,495,095
	13,400	Cardinal Health, Inc.		731,506
	17,800	Edwards Lifesciences Corp. *		1,493,242
	9,600	HCA Healthcare, Inc.		1,441,056
	2,200	Laboratory Corp. of America Holdings *		439,648
	16,178	McKesson Corp.		2,910,584
	16,500	Medtronic Plc		1,876,050
	2,000	Quest Diagnostics, Inc.		247,960
	1,900	STERIS Plc		368,239
	4,100	West Pharmaceutical Services, Inc.		1,128,156
		Total Health Care Equipment & Services		12,131,536
		Household & Personal Products — 1.1%
	5,200	Church & Dwight Co., Inc.		456,404
	6,100	Clorox Co. (The)		1,238,056
	24,000	Colgate-Palmolive Co.		2,055,360
	5,300	Nu Skin Enterprises, Inc. – Class A		273,003
		Total Household & Personal Products		4,022,823
		Insurance — 2.5%
	20,800	Aflac, Inc.		913,744
	31,102	Allstate Corp. (The)		3,183,289
	25,200	Fidelity National Financial, Inc.		906,948
	13,304	First American Financial Corp.		644,446
	3,900	Hanover Insurance Group, Inc. (The)		438,165
	7,800	National General Holdings Corp.		265,824
	11,800	Old Republic International Corp.		211,456
	6,000	Principal Financial Group, Inc.		298,740
	26,507	Progressive Corp. (The)		2,309,025
		Total Insurance		9,171,637
		Materials — 4.9%
	70,400	Amcor Plc		797,632
	3,000	Ashland Global Holdings, Inc.		225,510
	5,900	Avery Dennison Corp.		881,106
	13,600	Avient Corp.		497,080
	7,600	Berry Global Group, Inc. *		402,800
	4,100	Cabot Corp.		169,781
	9,200	Commercial Metals Co.		183,172
	13,200	Corteva, Inc.		505,824
	4,000	Crown Holdings, Inc. *		377,000
	6,000	DuPont de Nemours, Inc.		380,640
	16,400	Eastman Chemical Co.		1,597,360
	7,800	FMC Corp.		904,878
	17,700	Graphic Packaging Holding Co.		271,164
	4,700	HB Fuller Co.		245,951
	5,200	International Paper Co.		257,296
	4,900	Louisiana-Pacific Corp.		167,727
	20,579	LyondellBasell Industries NV – Class A		1,751,273
	1,600	NewMarket Corp.		591,616
	12,800	Nucor Corp.		687,360
	11,300	Reliance Steel & Aluminum Co.		1,331,140

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Materials — continued
	4,000	Scotts Miracle-Gro Co. (The)		703,080
	12,800	Sealed Air Corp.		576,768
	3,700	Sensient Technologies Corp.		265,364
	1,500	Sherwin-Williams Co. (The)		1,121,445
	13,900	Silgan Holdings, Inc.		469,820
	13,600	Steel Dynamics, Inc.		492,456
	3,000	Stepan Co.		348,480
	37,600	Valvoline, Inc.		856,904
	16,900	Westrock Co.		713,349
		Total Materials		17,773,976
		Media & Entertainment — 6.7%
	63,900	Activision Blizzard, Inc.		5,078,772
	1,600	Alphabet, Inc. – Class C *		2,817,184
	87,800	Comcast Corp. – Class A		4,411,072
	10,100	DISH Network Corp. – Class A *		362,287
	62,100	Electronic Arts, Inc. *		7,933,275
	31,800	Interpublic Group of Cos., Inc. (The)		708,504
	19,489	Omnicom Group, Inc.		1,227,807
	35,685	TEGNA, Inc.		514,221
	143,900	Zynga Inc. – Class A *		1,187,175
		Total Media & Entertainment		24,240,297
		Pharmaceuticals, Biotechnology & Life Sciences — 9.1%
	23,900	AbbVie, Inc.		2,499,462
	8,300	Amgen, Inc.		1,842,932
	9,700	Biogen, Inc. *		2,329,649
	63,800	Bristol-Myers Squibb Co.		3,981,120
	53,300	Eli Lilly & Co.		7,763,145
	35,500	Gilead Sciences, Inc.		2,153,785
	76,631	Merck & Co., Inc.		6,160,366
	133,538	Pfizer, Inc.		5,115,841
	6,600	Prestige Consumer Healthcare, Inc. *		234,762
	4,500	United Therapeutics Corp. *		596,880
	36,469	Viatris, Inc. *		613,409
		Total Pharmaceuticals, Biotechnology & Life Sciences		33,291,351
		Retailing — 9.4%
	3,900	Aaron’s Holdings Co., Inc.		245,427
	2,700	Amazon.com, Inc. *		8,553,708
	4,000	Asbury Automotive Group, Inc. *		451,080
	15,400	AutoNation, Inc. *		943,866
	500	AutoZone, Inc. *		568,825
	24,540	Best Buy Co., Inc.		2,669,952
	6,100	Big Lots, Inc.		315,187
	11,000	Core-Mark Holding Co., Inc.		343,090
	35,800	Designer Brands, Inc. – Class A		282,820
	11,500	Dick’s Sporting Goods, Inc.		653,315
	11,500	Dollar General Corp.		2,513,670
	97,055	eBay, Inc.		4,894,484
	9,200	Foot Locker, Inc.		344,080

Shares		Description	Value ($)
		Retailing — continued
	14,400	Gap Inc. (The)		301,824
	11,100	Genuine Parts Co.		1,091,907
	4,989	Group 1 Automotive, Inc.		592,743
	27,900	L Brands, Inc.		1,082,799
	1,000	Lithia Motors, Inc. – Class A		289,300
	16,800	Lowe’s Cos., Inc.		2,617,776
	5,800	Murphy U.S.A., Inc.		743,560
	4,400	Penske Automotive Group, Inc.		242,308
	57,200	Qurate Retail, Inc. – Series A		598,884
	8,600	Rent-A-Center, Inc.		290,852
	4,300	Sleep Number Corp. *		298,377
	12,300	Target Corp.		2,208,219
	11,200	Williams-Sonoma, Inc.		1,226,064
		Total Retailing		34,364,117
		Semiconductors & Semiconductor Equipment — 9.4%
	123,400	Applied Materials, Inc.		10,178,032
	6,400	Cirrus Logic, Inc. *		512,640
	12,300	Entegris, Inc.		1,139,226
	233,700	Intel Corp.		11,299,395
	8,100	KLA Corp.		2,040,957
	7,400	Lam Research Corp.		3,349,684
	10,800	Maxim Integrated Products, Inc.		896,832
	37,800	Micron Technology, Inc. *		2,422,602
	3,100	Skyworks Solutions, Inc.		437,627
	2,800	Synaptics, Inc. *		217,756
	14,200	Teradyne, Inc.		1,566,828
		Total Semiconductors & Semiconductor Equipment		34,061,579
		Software & Services — 10.6%
	3,700	Akamai Technologies, Inc. *		382,987
	17,420	Amdocs Ltd.		1,146,410
	10,600	Booz Allen Hamilton Holding Corp.		919,974
	1,300	CACI International, Inc. – Class A *		308,477
	44,205	Cadence Design Systems, Inc. *		5,141,042
	9,127	Citrix Systems, Inc.		1,131,018
	12,695	Intuit, Inc.		4,468,894
	5,800	j2 Global, Inc. *		519,738
	52,353	Microsoft Corp.		11,207,207
	30,500	NortonLifeLock, Inc.		556,015
	105,200	Oracle Corp.		6,072,144
	7,448	Progress Software Corp.		298,665
	7,810	Sykes Enterprises, Inc. *		293,890
	23,919	Synopsys, Inc. *		5,441,572
	25,400	Western Union Co. (The)		573,024
		Total Software & Services		38,461,057
		Technology Hardware & Equipment — 11.9%
	130,520	Apple, Inc.		15,538,406
	9,833	Arrow Electronics, Inc. *		901,194
	9,000	Avnet, Inc.		273,150

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	127,100	Cisco Systems, Inc.		5,467,842
	15,100	Corning, Inc.		565,042
	5,100	F5 Networks, Inc. *		830,331
	48,200	Flex Ltd. *		782,286
	151,614	Hewlett Packard Enterprise Co.		1,673,819
	143,640	HP, Inc.		3,150,025
	5,200	II-VI, Inc. *		351,780
	5,120	Insight Enterprises, Inc. *		365,978
	15,400	Jabil, Inc.		588,588
	51,900	Juniper Networks, Inc.		1,129,863
	8,407	Motorola Solutions, Inc.		1,442,053
	10,300	National Instruments Corp.		385,529
	19,200	NetApp, Inc.		1,023,552
	13,400	Sanmina Corp. *		426,321
	35,300	Seagate Technology Plc		2,075,993
	5,400	Sensata Technologies Holding Plc *		263,682
	5,000	SYNNEX Corp.		801,550
	40,400	TE Connectivity Ltd.		4,604,388
	27,500	Xerox Holdings Corp.		601,975
		Total Technology Hardware & Equipment		43,243,347
		Telecommunication Services — 0.3%
	23,700	Telephone & Data Systems, Inc.		449,826
	12,400	Verizon Communications, Inc.		749,084
		Total Telecommunication Services		1,198,910
		Transportation — 0.1%
	6,400	Werner Enterprises, Inc.		255,936
		TOTAL COMMON STOCKS (COST $303,224,958)		360,777,089

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.6%
		Affiliated Issuers — 0.6%
	426,646	GMO U.S. Treasury Fund		2,150,296
		TOTAL MUTUAL FUNDS (COST $2,150,296)		2,150,296
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	490,860	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		490,860
		TOTAL SHORT-TERM INVESTMENTS (COST $490,860)		490,860
		TOTAL INVESTMENTS — 99.8% (Cost $305,866,114)		363,418,245
		Other Assets and Liabilities (net) — 0.2%		571,670
		TOTAL NET ASSETS — 100.0%		$363,989,915

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
6	S&P 500 E-Mini	December 2020	$	1,086,960	$	106,861

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 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 November 30, 2020.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.6%
		Automobiles & Components — 1.6%
	44,600	Cooper Tire & Rubber Co.		1,771,958
	45,200	Dana, Inc.		761,168
	22,100	Garrett Motion, Inc. *		107,185
	18,800	Modine Manufacturing Co. *		205,296
	11,700	Patrick Industries, Inc.		737,568
	17,000	Standard Motor Products, Inc.		786,930
	79,100	Stoneridge, Inc. *		2,124,626
		Total Automobiles & Components		6,494,731
		Banks — 12.9%
	12,800	1st Source Corp.		477,696
	24,500	Amalgamated Bank – Class A		311,640
	3,193	Arrow Financial Corp.		95,024
	182,700	Associated Banc-Corp.		2,798,964
	1,800	Bancorp, Inc. (The) *		21,240
	4,600	Bar Harbor Bankshares		106,030
	80,200	Boston Private Financial Holdings, Inc.		574,232
	17,000	Bridge Bancorp, Inc.		379,440
	46,900	Brookline Bancorp, Inc.		533,253
	35,300	Cathay General Bancorp		997,225
	2,900	Century Bancorp, Inc. – Class A		214,310
	5,800	Civista Bancshares, Inc.		97,614
	1,200	CNB Financial Corp.		23,616
	7,695	Community Trust Bancorp, Inc.		260,476
	81,800	Dime Community Bancshares, Inc.		1,182,010
	1,200	Federal Agricultural Mortgage Corp. – Class C		81,240
	16,400	Financial Institutions, Inc.		328,164
	8,576	First Community Bankshares, Inc.		180,696
	10,900	First Financial Corp.		412,783
	18,200	First Foundation, Inc.		323,232
	182,600	Flagstar Bancorp, Inc.		6,398,304
	19,600	Flushing Financial Corp.		278,320
	6,100	Great Southern Bancorp, Inc.		279,990
	7,800	Heritage Financial Corp.		181,506
	216,400	Hilltop Holdings, Inc.		5,213,076
	13,900	Independent Bank Corp.		236,439
	84,400	International Bancshares Corp.		2,735,404
	432,700	Investors Bancorp, Inc.		4,188,536
	22,000	Lakeland Financial Corp.		1,117,380
	7,000	Mercantile Bank Corp.		173,810
	5,400	Merchants Bancorp		143,856
	25,000	Meridian Bancorp, Inc.		341,125
	246,200	MGIC Investment Corp.		2,944,552
	25,100	Northfield Bancorp, Inc.		279,363
	4,500	Northrim BanCorp, Inc.		142,965
	30,400	Northwest Bancshares, Inc.		359,632
	129,400	OFG Bancorp		2,167,450
	25,300	Old National Bancorp		400,499
	92,300	PennyMac Financial Services, Inc.		5,320,172
	53,444	Premier Financial Corp.		1,106,825
	5,700	Sierra Bancorp		125,400

Shares		Description	Value ($)
		Banks — continued
	3,000	Territorial Bancorp, Inc.		66,930
	34,400	Towne Bank/Portsmouth VA		748,200
	24,700	TriCo Bancshares		809,172
	79,000	TrustCo Bank Corp.		479,530
	3,500	Trustmark Corp.		86,870
	85,800	Walker & Dunlop, Inc.		6,864,858
	47,903	Waterstone Financial, Inc.		841,416
	2,700	Wintrust Financial Corp.		147,123
		Total Banks		53,577,588
		Capital Goods — 11.0%
	8,900	Allied Motion Technologies, Inc.		361,073
	5,800	Apogee Enterprises, Inc.		152,192
	4,900	Applied Industrial Technologies, Inc.		384,307
	2,800	Arcosa, Inc.		145,292
	31,900	AZZ, Inc.		1,422,421
	7,100	Comfort Systems USA, Inc.		357,769
	47,100	Cornerstone Building Brands, Inc. *		411,654
	23,700	Ducommun, Inc. *		1,178,364
	4,200	EMCOR Group, Inc.		361,956
	5,500	EnerSys		449,955
	5,100	EnPro Industries, Inc.		361,131
	89,400	Federal Signal Corp.		2,774,082
	27,225	Gorman-Rupp Co. (The)		895,703
	107,900	Griffon Corp.		2,249,715
	5,400	Hurco Cos, Inc.		160,974
	29,100	Hyster-Yale Materials Handling, Inc.		1,601,664
	13,100	Insteel Industries, Inc.		303,003
	1,900	Masonite International Corp. *		190,095
	88,500	Meritor, Inc. *		2,336,400
	9,400	Miller Industries, Inc.		313,866
	80,900	Moog, Inc. – Class A		6,258,424
	69,500	Mueller Industries, Inc.		2,276,820
	7,700	National Presto Industries, Inc.		654,885
	64,500	nVent Electric Plc		1,483,500
	14,100	Park-Ohio Holdings Corp.		396,069
	3,100	Preformed Line Products Co.		188,015
	222,500	Resideo Technologies, Inc. *		4,114,025
	22,000	Systemax, Inc.		676,940
	9,600	Tennant Co.		644,736
	86,600	Terex Corp.		2,684,600
	6,500	Tutor Perini Corp. *		87,880
	125,100	UFP Industries, Inc.		6,711,615
	52,700	Vectrus, Inc. *		2,512,209
	22,400	Veritiv Corp. *		416,192
	4,900	WESCO International, Inc. *		319,578
		Total Capital Goods		45,837,104
		Commercial & Professional Services — 6.5%
	320,929	ACCO Brands Corp.		2,458,316
	125,900	Brady Corp. – Class A		5,562,262
	53,500	CBIZ, Inc. *		1,295,770

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Commercial & Professional Services — continued
	15,500	CRA International, Inc.		710,675
	56,100	Deluxe Corp.		1,444,014
	8,400	Ennis, Inc.		137,508
	17,600	Heidrick & Struggles International, Inc.		459,360
	187,100	Herman Miller, Inc.		6,668,244
	41,900	HNI Corp.		1,527,674
	58,400	Interface, Inc.		487,348
	54,900	Kelly Services, Inc. – Class A		1,123,254
	19,000	Kforce, Inc.		779,950
	96,600	Kimball International, Inc. – Class B		1,055,838
	60,600	Resources Connection, Inc.		733,866
	198,600	Steelcase, Inc. – Class A		2,412,990
	10,300	TrueBlue, Inc. *		196,730
		Total Commercial & Professional Services		27,053,799
		Consumer Durables & Apparel — 5.7%
	17,000	Acushnet Holdings Corp.		640,900
	6,026	Clarus Corp.		86,774
	136,600	Ethan Allen Interiors, Inc.		2,495,682
	103,200	G-III Apparel Group Ltd. *		2,102,184
	16,700	Hooker Furniture Corp.		505,509
	19,900	Johnson Outdoors, Inc. – Class A		1,663,640
	76,500	La-Z-Boy, Inc.		2,833,560
	7,500	Levi Strauss & Co. – Class A		137,925
	50,000	MDC Holdings, Inc.		2,413,500
	57,800	Movado Group, Inc.		978,554
	172,400	Nautilus, Inc. *		3,637,640
	6,500	Polaris, Inc.		624,000
	18,000	Rocky Brands, Inc.		522,000
	132,000	TRI Pointe Group, Inc. *		2,307,360
	15,800	Universal Electronics, Inc. *		832,028
	119,800	Vera Bradley, Inc. *		1,015,904
	48,100	Vista Outdoor, Inc. *		992,303
		Total Consumer Durables & Apparel		23,789,463
		Consumer Services — 2.5%
	84,700	Adtalem Global Education, Inc. *		2,424,961
	7,700	American Public Education, Inc. *		239,008
	67,100	Brinker International, Inc.		3,362,381
	21,300	Carriage Services, Inc.		579,573
	2,300	Graham Holdings Co. – Class B		1,028,146
	69,200	H&R Block, Inc.		1,300,960
	120,500	Perdoceo Education Corp. *		1,366,470
		Total Consumer Services		10,301,499
		Diversified Financials — 5.2%
	104,100	Brightsphere Investment Group, Inc.		1,842,570
	46,100	Curo Group Holdings Corp.		398,304
	1,500	Diamond Hill Investment Group, Inc.		205,230
	124,800	Donnelley Financial Solutions, Inc. *		2,032,992
	29,100	Encore Capital Group, Inc. *		993,474
	189,317	Enova International, Inc. *		3,958,618

Shares		Description	Value ($)
		Diversified Financials — continued
	94,700	Federated Hermes, Inc.		2,541,748
	33,900	Oppenheimer Holdings, Inc. – Class A		999,711
	280,500	SLM Corp.		2,976,105
	34,300	StoneX Group, Inc. *		2,113,566
	202,500	Waddell & Reed Financial, Inc. – Class A		3,333,150
	18,400	Westwood Holdings Group, Inc.		219,328
		Total Diversified Financials		21,614,796
		Energy — 3.2%
	58,700	Evolution Petroleum Corp.		178,448
	25,500	Geospace Technologies Corp. *		158,355
	12,780	Matrix Service Co. *		122,432
	76,100	Penn Virginia Corp. *		686,422
	258,500	QEP Resources, Inc.		416,185
	19,300	Renewable Energy Group, Inc. *		1,120,944
	4,200	REX American Resources Corp. *		329,700
	1,181,000	Southwestern Energy Co. *		3,672,910
	226,800	World Fuel Services Corp.		6,445,656
		Total Energy		13,131,052
		Food & Staples Retailing — 0.8%
	16,900	Ingles Markets, Inc. – Class A		635,271
	91,800	SpartanNash Co.		1,733,184
	8,800	Village Super Market, Inc. – Class A		203,808
	15,200	Weis Markets, Inc.		723,976
		Total Food & Staples Retailing		3,296,239
		Food, Beverage & Tobacco — 1.1%
	6,016	Seneca Foods Corp. – Class A *		251,950
	92,100	Universal Corp.		4,191,471
		Total Food, Beverage & Tobacco		4,443,421
		Health Care Equipment & Services — 4.5%
	40,900	AngioDynamics, Inc. *		581,598
	48,100	Computer Programs & Systems, Inc.		1,367,483
	10,900	Covetrus, Inc. *		294,464
	15,300	FONAR Corp. *		293,913
	25,500	Integer Holdings Corp. *		1,838,295
	7,300	Lantheus Holdings, Inc. *		96,068
	12,990	LENSAR, Inc. *		111,324
	17,000	Mednax, Inc. *		343,570
	120,900	Meridian Bioscience, Inc. *		2,285,010
	8,600	Natus Medical, Inc. *		179,912
	45,900	NextGen Healthcare, Inc. *		814,266
	220,000	Owens & Minor, Inc.		5,667,200
	17,000	Patterson Cos., Inc.		471,920
	12,000	Providence Service Corp. (The) *		1,629,480
	9,500	SeaSpine Holdings Corp. *		135,090
	79,800	Select Medical Holdings Corp. *		1,923,180
	71,500	Surgalign Holdings, Inc. *		161,590
	11,200	Surmodics, Inc. *		419,328

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	2,100	Triple-S Management Corp. – Class B *		47,061
		Total Health Care Equipment & Services		18,660,752
		Household & Personal Products — 0.7%
	4,900	Central Garden & Pet Co. *		196,196
	8,000	Central Garden & Pet Co. – Class A *		295,120
	16,300	Inter Parfums, Inc.		885,253
	16,200	Lifevantage Corp. *		172,206
	2,900	Nu Skin Enterprises, Inc. – Class A		149,379
	14,600	USANA Health Sciences, Inc. *		1,097,628
		Total Household & Personal Products		2,795,782
		Insurance — 0.6%
	17,200	Employers Holdings, Inc.		524,772
	41,500	National General Holdings Corp.		1,414,320
	7,800	Stewart Information Services Corp.		326,586
	11,500	Universal Insurance Holdings, Inc.		160,540
		Total Insurance		2,426,218
		Materials — 7.9%
	5,400	AdvanSix, Inc. *		95,958
	21,000	American Vanguard Corp.		318,360
	68,700	Avient Corp.		2,510,985
	11,200	Cabot Corp.		463,792
	10,000	Commercial Metals Co.		199,100
	11,200	Domtar Corp.		337,120
	30,500	FutureFuel Corp.		365,695
	73,900	Greif, Inc. – Class A		3,592,279
	4,500	Hawkins, Inc.		225,810
	19,400	HB Fuller Co.		1,015,202
	36,500	Innospec, Inc.		3,003,585
	20,200	Koppers Holdings, Inc. *		546,814
	5,900	Kronos Worldwide, Inc.		81,125
	66,000	Materion Corp.		3,847,800
	23,300	Neenah, Inc.		1,130,283
	106,600	Schweitzer-Mauduit International, Inc.		3,707,548
	73,900	Silgan Holdings, Inc.		2,497,820
	18,029	Stepan Co.		2,094,249
	65,900	Tredegar Corp.		1,041,879
	184,100	Valvoline, Inc.		4,195,639
	45,100	Verso Corp. – Class A		487,531
	18,100	Worthington Industries, Inc.		936,132
		Total Materials		32,694,706
		Media & Entertainment — 3.5%
	45,400	AMC Networks, Inc. – Class A *		1,496,838
	122,800	Cars.com, Inc. *		1,371,676
	86,100	DHI Group, Inc. *		165,312
	378,200	Liberty TripAdvisor Holdings, Inc. – Class A *		1,040,050
	79,400	Marchex, Inc. – Class B *		171,504
	41,100	Scholastic Corp.		974,892

Shares		Description	Value ($)
		Media & Entertainment — continued
	124,802	Sciplay Corp. – Class A *		1,858,302
	458,900	TEGNA, Inc.		6,612,749
	66,000	Tribune Publishing Co.		797,280
	65,200	TrueCar, Inc. *		266,016
		Total Media & Entertainment		14,754,619
		Pharmaceuticals, Biotechnology & Life Sciences — 2.6%
	41,900	Amneal Pharmaceuticals, Inc. *		165,505
	58,500	CytomX Therapeutics, Inc. *		439,920
	579,000	Endo International Plc *		2,941,320
	93,800	Kezar Life Sciences, Inc. *		617,204
	41,900	Luminex Corp.		994,287
	141,300	Prestige Consumer Healthcare, Inc. *		5,026,041
	43,300	Surface Oncology, Inc. *		391,432
	3,300	United Therapeutics Corp. *		437,712
		Total Pharmaceuticals, Biotechnology & Life Sciences		11,013,421
		Real Estate — 5.7%
	454,100	CoreCivic, Inc. (REIT)		3,219,569
	170,100	CorePoint Lodging, Inc. (REIT)		1,107,351
	18,000	Cushman & Wakefield Plc *		268,200
	404,700	GEO Group, Inc. (REIT)		3,824,415
	483,200	Newmark Group, Inc. – Class A		3,392,064
	321,800	Realogy Holdings Corp. *		3,961,358
	213,500	Summit Hotel Properties, Inc. (REIT)		1,855,315
	233,900	Sunstone Hotel Investors, Inc. (REIT)		2,455,950
	44,300	Urban Edge Properties (REIT)		575,014
	224,100	Xenia Hotels & Resorts, Inc. (REIT)		3,157,569
		Total Real Estate		23,816,805
		Retailing — 10.6%
	98,700	AutoNation, Inc. *		6,049,323
	160,000	Big Lots, Inc.		8,267,200
	23,500	Cato Corp. (The) – Class A		189,410
	76,600	Core-Mark Holding Co., Inc.		2,389,154
	29,800	Designer Brands, Inc. – Class A		235,420
	37,400	Dick’s Sporting Goods, Inc.		2,124,694
	8,000	Duluth Holdings Inc. – Class B *		117,600
	48,300	Genesco, Inc. *		1,515,171
	84,800	Group 1 Automotive, Inc.		10,075,088
	79,113	Haverty Furniture Cos, Inc.		2,153,456
	96,900	Michaels Cos., Inc. (The) *		958,341
	9,800	Penske Automotive Group, Inc.		539,686
	131,700	Qurate Retail, Inc. – Series A		1,378,899
	16,800	Sally Beauty Holdings, Inc. *		193,200
	60,300	Shoe Carnival, Inc.		2,205,171
	7,300	Sleep Number Corp. *		506,547
	74,900	Sonic Automotive, Inc. – Class A		3,024,462
	2,600	Weyco Group, Inc.		46,592
	62,200	Zumiez, Inc. *		2,306,998
		Total Retailing		44,276,412

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — 0.7%
	35,600	Alpha & Omega Semiconductor Ltd. *		884,304
	22,200	Amkor Technology, Inc. *		327,228
	89,000	DSP Group, Inc. *		1,497,870
	33,600	Photronics, Inc. *		389,424
		Total Semiconductors & Semiconductor Equipment		3,098,826
		Software & Services — 1.9%
	11,400	Alliance Data Systems Corp.		833,796
	10,500	Cerence, Inc. *		952,875
	33,100	CSG Systems International, Inc.		1,435,878
	21,700	Endurance International Group Holdings, Inc. *		205,716
	49,800	Progress Software Corp.		1,996,980
	69,000	Sykes Enterprises, Inc. *		2,596,470
		Total Software & Services		8,021,715
		Technology Hardware & Equipment — 7.1%
	104,446	ADTRAN, Inc.		1,319,675
	196,700	Arlo Technologies, Inc. *		1,034,642
	58,200	Avnet, Inc.		1,766,370
	115,400	Benchmark Electronics, Inc.		2,806,528
	41,500	Calix, Inc. *		982,720
	94,900	Comtech Telecommunications Corp.		1,808,794
	43,300	CTS Corp.		1,318,918
	2,100	ePlus, Inc. *		177,051
	84,500	Insight Enterprises, Inc. *		6,040,060
	30,900	Kimball Electronics, Inc. *		476,169
	36,900	Methode Electronics, Inc.		1,292,238
	235,700	Sanmina Corp. *		7,498,795
	6,400	ScanSource, Inc. *		160,640
	8,500	Super Micro Computer, Inc. *		239,785
	4,526	Vishay Precision Group, Inc. *		132,386
	119,800	Xerox Holdings Corp.		2,622,422
		Total Technology Hardware & Equipment		29,677,193
		Telecommunication Services — 1.7%
	1,200	ATN International, Inc.		58,728
	83,600	Consolidated Communications Holdings, Inc. *		468,160
	52,000	IDT Corp. – Class B *		619,840
	11,400	Ooma, Inc. *		177,954
	106,378	Spok Holdings, Inc.		1,045,696
	186,600	Telephone & Data Systems, Inc.		3,541,668
	33,600	United States Cellular Corp. *		1,053,360
		Total Telecommunication Services		6,965,406
		Transportation — 0.6%
	31,700	ArcBest Corp.		1,328,547
	21,500	Atlas Air Worldwide Holdings, Inc. *		1,199,915
		Total Transportation		2,528,462

Shares		Description	Value ($)
		Utilities — 0.0%
	9,500	Genie Energy Ltd. – Class B		78,850
		TOTAL COMMON STOCKS (COST $392,644,665)		410,348,859
		MUTUAL FUNDS — 0.9%
		Affiliated Issuers — 0.9%
	736,130	GMO U.S. Treasury Fund		3,710,097
		TOTAL MUTUAL FUNDS (COST $3,710,097)		3,710,097
		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
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	107,069	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		107,069
		TOTAL SHORT-TERM INVESTMENTS (COST $107,069)		107,069
		TOTAL INVESTMENTS — 99.5% (Cost $396,495,273)		414,202,375
		Other Assets and Liabilities (net) — 0.5%		1,897,780
		TOTAL NET ASSETS — 100.0%		$416,100,155

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
36	E-mini Russell 2000 Index		December 2020	$	3,276,180	$	80,753

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

As of November 30, 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 November 30, 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, Japan Value Creation Fund (commenced operations on September 14, 2020), 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).

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 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 November 30, 2020:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	2,266,299	$	—	$	—	$	2,266,299
Australia		—		4,233,262		—		4,233,262
Brazil		—		3,730,693		—		3,730,693
Canada		15,744,264		—		—		15,744,264
China		984,841		14,884,735		—		15,869,576
Denmark		—		2,806,813		—		2,806,813
Finland		—		8,683,519		—		8,683,519
France		—		18,101,541		—		18,101,541
Germany		—		8,164,369		—		8,164,369
India		—		913,483		—		913,483
Israel		—		669,961		—		669,961
Italy		—		8,358,727		—		8,358,727

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Japan	$	—	$	14,811,085	$	—	$	14,811,085
Mexico		6,823,789		—		—		6,823,789
Netherlands		—		2,094,587		—		2,094,587
Norway		—		3,817,175		—		3,817,175
Pakistan		—		704,754		—		704,754
Portugal		—		3,482,908		—		3,482,908
Russia		—		12,096,069		—		12,096,069
Spain		—		6,083,202		—		6,083,202
Sweden		—		789,657		—		789,657
Switzerland		—		3,426,624		—		3,426,624
Taiwan		—		646,454		—		646,454
Thailand		—		524,822		—		524,822
Ukraine		—		1,782,972		—		1,782,972
United Kingdom		1,630,086		4,267,523		—		5,897,609
United States		86,694,438		—		—		86,694,438
TOTAL COMMON STOCKS		114,143,717		125,074,935		—		239,218,652
Preferred Stocks
Chile		5,084,078		—		—		5,084,078
TOTAL PREFERRED STOCKS		5,084,078		—		—		5,084,078
Mutual Funds
United States		12,189,207		—		—		12,189,207
TOTAL MUTUAL FUNDS		12,189,207		—		—		12,189,207
Short-Term Investments		393,103		—		—		393,103
Total Investments		131,810,105		125,074,935		—		256,885,040
Total	$	131,810,105	$	125,074,935	$	—	$	256,885,040
Cyclical Focus Fund
Asset Valuation Inputs
Common Stocks
Canada	$	6,553,485	$	—	$	—	$	6,553,485
Finland		—		4,682,230		—		4,682,230
France		—		11,617,005		—		11,617,005
Ireland		—		3,813,389		—		3,813,389
Mexico		8,001,188		—		—		8,001,188
Russia		—		5,658,308		—		5,658,308
Spain		—		7,084,555		—		7,084,555
United Kingdom		—		16,281,837		—		16,281,837
United States		64,072,232		—		—		64,072,232
TOTAL COMMON STOCKS		78,626,905		49,137,324		—		127,764,229
Preferred Stocks
Brazil		—		4,259,842		—		4,259,842
TOTAL PREFERRED STOCKS		—		4,259,842		—		4,259,842
Mutual Funds
United States		2,878,000		—		—		2,878,000
TOTAL MUTUAL FUNDS		2,878,000		—		—		2,878,000
Short-Term Investments		251,996		—		—		251,996
Total Investments		81,756,901		53,397,166		—		135,154,067
Total	$	81,756,901	$	53,397,166	$	—	$	135,154,067
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	25,179,629	$	—	$	25,179,629
China		99,665,988		201,739,912		—		301,405,900
France		—		2,192,380		—		2,192,380

Description	Level 1		Level 2			Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Greece	$	—	$	2,265,103		$	—	$	2,265,103
Hong Kong		—		8,739,998			—		8,739,998
Hungary		—		1,607,887			—		1,607,887
India		5,090,602		84,356,529			—		89,447,131
Indonesia		—		5,815,259			—		5,815,259
Japan		—		2,151,652			—		2,151,652
Mexico		5,729,061		—			—		5,729,061
Philippines		—		12,145,523			—		12,145,523
Poland		—		1,789,467			—		1,789,467
Russia		9,068,240		14,192,770			—		23,261,010
South Africa		—		4,710,253			—		4,710,253
South Korea		—		99,109,828			—		99,109,828
Taiwan		—		138,492,167			—		138,492,167
Thailand		—		6,928,682			—		6,928,682
United States		12,497,999		—			—		12,497,999
Vietnam		—		11,896,904			—		11,896,904
TOTAL COMMON STOCKS		132,051,890		623,313,943			—		755,365,833
Preferred Stocks
Brazil		—		18,324,982			—		18,324,982
TOTAL PREFERRED STOCKS		—		18,324,982			—		18,324,982
Investment Funds
China		52,415,970		—			—		52,415,970
Mexico		11,266,289		—			—		11,266,289
Russia		19,794,960		—			—		19,794,960
South Korea		—		4,181,007			—		4,181,007
United States		85,539,652		—			—		85,539,652
TOTAL INVESTMENT FUNDS		169,016,871		4,181,007			—		173,197,878
Mutual Funds
United States		16,175,866		—			—		16,175,866
TOTAL MUTUAL FUNDS		16,175,866		—			—		16,175,866
Short-Term Investments		10,147,479		—			—		10,147,479
Total Investments		327,392,106		645,819,932			—		973,212,038
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,925,048			—		1,925,048
Total	$	327,392,106	$	647,744,980		$	—	$	975,137,086
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(2,209,109	)	$	—	$	(2,209,109	)
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	12,970,966	$	—		$	—	$	12,970,966
Brazil		—		17,797,399			—		17,797,399
Chile		—		2,403,322			—		2,403,322
China		293,878,057		803,419,307			687,515		1,097,984,879
Czech Republic		—		1,885,887			—		1,885,887
Egypt		—		169,402			—		169,402
Greece		—		1,229,520			—		1,229,520
Hungary		—		363,719			—		363,719
India		7,250,808		91,898,744			—		99,149,552
Indonesia		—		84,403,097			—		84,403,097
Kuwait		—		37,645,903			—		37,645,903
Malaysia		—		1,376,918			—		1,376,918
Mexico		73,323,644		—			—		73,323,644

Description	Level 1		Level 2			Level 3			Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Pakistan	$	—	$	12,849,745		$	—		$	12,849,745
Philippines		—		9,634,673			—			9,634,673
Poland		—		30,045,446			—			30,045,446
Qatar		—		16,682,426			—			16,682,426
Russia		14,672,653		401,338,101			—			416,010,754
Saudi Arabia		—		1,071,351			—			1,071,351
South Africa		5,477,719		82,682,210			—			88,159,929
South Korea		—		38,291,213			—			38,291,213
Sri Lanka		—		—			662,576			662,576
Taiwan		970		612,284,767			—			612,285,737
Thailand		—		14,203,404			—			14,203,404
Turkey		—		41,416,448			—			41,416,448
United Arab Emirates		—		4,105,117			—			4,105,117
United Kingdom		—		23,484,219			—			23,484,219
Vietnam		—		4,058,493			—			4,058,493
TOTAL COMMON STOCKS		407,574,817		2,334,740,831			1,350,091			2,743,665,739
Preferred Stocks
Brazil		—		3,959,833			—			3,959,833
Chile		145,917		—			—			145,917
Colombia		1,975,705		—			—			1,975,705
Russia		—		56,678,931			—			56,678,931
South Korea		—		33,801,321			—			33,801,321
Taiwan		—		2,367,807			—			2,367,807
TOTAL PREFERRED STOCKS		2,121,622		96,807,892			—			98,929,514
Investment Funds
United States		91,276,967		—			—			91,276,967
TOTAL INVESTMENT FUNDS		91,276,967		—			—			91,276,967
Debt Obligations
United States		52,523,101		—			—			52,523,101
TOTAL DEBT OBLIGATIONS		52,523,101		—			—			52,523,101
Rights/Warrants
Pakistan		—		—			42,633			42,633
TOTAL RIGHTS/WARRANTS		—		—			42,633			42,633
Short-Term Investments		13,419,371		—			—			13,419,371
Total Investments		566,915,878		2,431,548,723			1,392,724			2,999,857,325
Derivatives^
Futures Contracts
Equity Risk		15,265,948		38,666			—			15,304,614
Total	$	582,181,826	$	2,431,587,389		$	1,392,724		$	3,015,161,939
Liability Valuation Inputs
Derivatives^
Swap Contracts
Equity Risk	$	—	$	(129,868	)	$	—		$	(129,868	)
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	121,810,185		$	—		$	121,810,185
Belgium		—		35,338,714			—			35,338,714
Denmark		—		1,190,282			—			1,190,282
France		34,567,742		167,267,287			—			201,835,029
Germany		—		117,806,445			—			117,806,445
Hong Kong		—		59,374,096			—			59,374,096
Ireland		11,319,700		8,328,084			—			19,647,784
Italy		—		88,479,133			—			88,479,133
Japan		—		497,393,290			—			497,393,290
Malta		—		—			0	§		0	§

Description	Level 1		Level 2		Level 3			Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Netherlands	$	—	$	184,903,386	$	—		$	184,903,386
Norway		—		68,800,781		—			68,800,781
Portugal		—		80,280,338		—			80,280,338
Singapore		—		104,150,924		—			104,150,924
Spain		—		157,368,632		—			157,368,632
Sweden		—		80,572,791		—			80,572,791
Switzerland		—		147,962,143		—			147,962,143
United Kingdom		19,966,804		388,235,559		—			408,202,363
TOTAL COMMON STOCKS		65,854,246		2,309,262,070		0	§		2,375,116,316
Preferred Stocks
Germany		—		22,103,400		—			22,103,400
TOTAL PREFERRED STOCKS		—		22,103,400		—			22,103,400
Rights/Warrants
United Kingdom		1,607,679		—		—			1,607,679
TOTAL RIGHTS/WARRANTS		1,607,679		—		—			1,607,679
Short-Term Investments		39,406,870		—		—			39,406,870
Total Investments		106,868,795		2,331,365,470		0	§		2,438,234,265
Derivatives^
Futures Contracts
Equity Risk		12,466		—		—			12,466
Total	$	106,881,261	$	2,331,365,470	$	0	§	$	2,438,246,731
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—	$	152,880,682	$	—		$	152,880,682
Short-Term Investments		3,729,257		—		—			3,729,257
Total Investments		3,729,257		152,880,682		—			156,609,939
Total	$	3,729,257	$	152,880,682	$	—		$	156,609,939
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	71,272,734	$	—		$	71,272,734
Germany		—		236,311,225		—			236,311,225
Netherlands		—		36,644,809		—			36,644,809
Switzerland		—		236,730,173		—			236,730,173
Taiwan		—		233,263,576		—			233,263,576
United Kingdom		—		336,837,166		—			336,837,166
United States		5,834,174,854		—		—			5,834,174,854
TOTAL COMMON STOCKS		5,834,174,854		1,151,059,683		—			6,985,234,537
Mutual Funds
United States		9,830,961		—		—			9,830,961
TOTAL MUTUAL FUNDS		9,830,961		—		—			9,830,961
Short-Term Investments		90,649,770		—		—			90,649,770
Total Investments		5,934,655,585		1,151,059,683		—			7,085,715,268
Total	$	5,934,655,585	$	1,151,059,683	$	—		$	7,085,715,268
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	7,390,996	$	—	$	—		$	7,390,996
Australia		—		36,523,939		—			36,523,939
Austria		—		9,777,070		—			9,777,070
Brazil		—		7,470,071		—			7,470,071

Description	Level 1			Level 2		Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Canada	$	33,719,111		$	—	$	—		$	33,719,111
China		—			33,010,814		—			33,010,814
Colombia		6,093,312			—		—			6,093,312
Denmark		—			4,472,890		—			4,472,890
Finland		—			13,453,860		—			13,453,860
France		—			18,579,042		—			18,579,042
Germany		—			4,980,580		—			4,980,580
Hungary		—			7,152,104		—			7,152,104
India		—			16,970,101		—			16,970,101
Israel		—			10,782,132		—			10,782,132
Japan		—			13,490,228		—			13,490,228
Mexico		18,059,247			—		—			18,059,247
Norway		—			18,287,379		—			18,287,379
Pakistan		—			5,144,827		—			5,144,827
Poland		—			5,534,487		—			5,534,487
Russia		—			92,563,071		—			92,563,071
Singapore		—			—		0	§		0	§
South Africa		—			2,164,867		—			2,164,867
South Korea		—			1,072,289		—			1,072,289
Spain		—			8,433,984		—			8,433,984
Switzerland		—			4,391,779		—			4,391,779
Thailand		—			4,841,672		—			4,841,672
Turkey		—			2,656,584		—			2,656,584
Ukraine		—			4,204,279		—			4,204,279
United Kingdom		—			89,942,225		—			89,942,225
United States		153,056,491			—		—			153,056,491
TOTAL COMMON STOCKS		218,319,157			415,900,274		0	§		634,219,431
Preferred Stocks
Brazil		—			38,202,391		—			38,202,391
Chile		12,662,395			—		—			12,662,395
Russia		—			15,072,562		—			15,072,562
TOTAL PREFERRED STOCKS		12,662,395			53,274,953		—			65,937,348
Debt Obligations
United States		4,311,592			—		—			4,311,592
TOTAL DEBT OBLIGATIONS		4,311,592			—		—			4,311,592
Rights/Warrants
Singapore		—			—		0	§		0	§
TOTAL RIGHTS/WARRANTS		—			—		0	§		0	§
Short-Term Investments		8,069,823			—		—			8,069,823
Total Investments		243,362,967			469,175,227		—			712,538,194
Total	$	243,362,967		$	469,175,227	$	0	§	$	712,538,194
Risk Premium Fund
Asset Valuation Inputs
Debt Obligations
United States	$	5,000,641		$	—	$	—		$	5,000,641
TOTAL DEBT OBLIGATIONS		5,000,641			—		—			5,000,641
Short-Term Investments		7,120,135			—		—			7,120,135
Total Investments		12,120,776			—		—			12,120,776
Total	$	12,120,776		$	—	$	—		$	12,120,776
Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	(124,780	)	$	—	$	—		$	(124,780	)

Description	Level 1			Level 2		Level 3			Total
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,729,356	$	—		$	1,729,356
Belgium		—			499,036		—			499,036
Brazil		—			198,163		—			198,163
China		—			740,207		—			740,207
Denmark		—			41,856		—			41,856
France		—			2,949,581		—			2,949,581
Germany		—			1,674,829		—			1,674,829
Hong Kong		—			513,956		—			513,956
Hungary		—			64,613		—			64,613
India		—			159,287		—			159,287
Ireland		167,205			606,413		—			773,618
Italy		—			936,758		—			936,758
Japan		—			7,625,709		—			7,625,709
Malaysia		—			11,383		—			11,383
Malta		—			—		0	§		0	§
Netherlands		—			2,812,282		—			2,812,282
Norway		—			246,443		—			246,443
Poland		—			32,045		—			32,045
Portugal		—			1,177,914		—			1,177,914
Russia		—			444,433		—			444,433
Singapore		—			1,487,459		—			1,487,459
South Africa		—			41,178		—			41,178
South Korea		—			872,980		—			872,980
Spain		—			2,037,743		—			2,037,743
Sweden		—			659,962		—			659,962
Switzerland		—			2,154,078		—			2,154,078
Taiwan		—			309,032		—			309,032
Thailand		—			12,188		—			12,188
Turkey		—			666,984		—			666,984
United Kingdom		420,337			4,341,429		—			4,761,766
TOTAL COMMON STOCKS		587,542			35,047,297		0	§		35,634,839
Preferred Stocks
Brazil		—			25,486		—			25,486
Germany		—			449,899		—			449,899
Russia		—			22,393		—			22,393
TOTAL PREFERRED STOCKS		—			497,778		—			497,778
Mutual Funds
United States		265,165			—		—			265,165
TOTAL MUTUAL FUNDS		265,165			—		—			265,165
Short-Term Investments		442,504			—		—			442,504
Total Investments	$	1,295,211		$	35,545,075	$	0	§	$	36,840,286
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(240	)	$	—	$	—		$	(240	)
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	360,777,089		$	—	$	—		$	360,777,089
Mutual Funds		2,150,296			—		—			2,150,296
Short-Term Investments		490,860			—		—			490,860
Total Investments		363,418,245			—		—			363,418,245
Derivatives^
Futures Contracts
Equity Risk		106,861			—		—			106,861
Total	$	363,525,106		$	—	$	—		$	363,525,106

Description	Level 1		Level 2		Level 3		Total
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	410,348,859	$	—	$	—	$	410,348,859
Mutual Funds		3,710,097		—		—		3,710,097
Rights/Warrants		—		—		36,350		36,350
Short-Term Investments		107,069		—		—		107,069
Total Investments		414,166,025		—		36,350		414,202,375
Derivatives^
Futures Contracts
Equity Risk		80,753		—		—		80,753
Total	$	414,246,778	$	—	$	36,350	$	414,283,128

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

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

§ Represents the interest in securities that were determined to have a value of zero at November 30, 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). Emerging Markets Fund’s Level 3 holdings includes a common stock whose trading has been suspended and is valued at the last available price. At November 30, 2020, there were no other Funds with material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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 November 30, 2020		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2020
Emerging Markets Fund
Common Stocks
China	$	683,638	$	—	$	—	$	—	$	—	$	3,877	$	—		$	—	$	687,515	$	3,877
Sri Lanka		—		—		—		—		—		—		662,576	‡		—		662,576		—
Rights/Warrants
Pakistan		—		0		—		—		—		42,633		—			—		42,633		42,633
Total Investments	$	683,638	$	0	$	—	$	—	$	—	$	46,510	$	662,576		$	—	$	1,392,724	$	46,510

‡ 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 November 30, 2020.

Quantitative information about Level 3 Fair Value Measurements

Investment Type	Total Fair Value ($)		Valuation Methodology		Unobservable Inputs		Range (Weighted Average)
Emerging Markets Fund
Common Stock		1,350,091		Stale Price		Unadjusted Last Exchange Price		N/A
Rights/Warrants		42,633		Intrinsic Value		Exchange Traded Price		N/A

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 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	$	98,282,744	$	94,649,074	$	6,705	**	$	25,397		$	(14,866	)	$	12,189,207
Cyclical Focus Fund
GMO U.S. Treasury Fund	$	—	$	3,528,000	$	650,000	$	638		$	—		$	—		$	2,878,000
Emerging Domestic Opportunities Fund
CMI Ltd	$	325,809	$	—	$	326,513	$	—		$	(3,310,713)		$	3,311,417		$	—	#
Gayatri Projects Ltd		3,380,455		—		1,436,828		—			(1,485,323	)		1,235,407			—	#
GMO U.S. Treasury Fund		18,615,329		199,542,300		202,050,001		36,594			85,327			(17,089	)		16,175,866
Totals	$	22,321,593	$	199,542,300	$	203,813,342	$	36,594		$	(4,710,709	)	$	4,529,735		$	16,175,866
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	485,306	$	—	$	—	$	—		$	—		$	177,270		$	662,576
Gayatri Highways Ltd		49,629		—		53,333		—			(1,353,564	)		1,357,268			—	#
Gayatri Projects Ltd		5,130,069		—		1,223,719		—			(2,099,960	)		3,210,746			5,017,136
Totals	$	5,665,004	$	—	$	1,277,052	$	—		$	(3,453,524	)	$	4,745,284		$	5,679,712
Quality Fund
GMO U.S. Treasury Fund	$	15,768,140	$	—	$	6,000,000	$	29,436		$	47,619		$	15,202		$	9,830,961
Resources Fund
GMO U.S. Treasury Fund	$	1,832,863	$	12,190,500	$	14,026,825	$	—		$	10,764		$	(7,302	)	$	—
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	368,696	$	1,055,000	$	1,160,000	$	757		$	1,310		$	159		$	265,165
U.S. Equity Fund
GMO U.S. Treasury Fund	$	1,469,983	$	43,200,000	$	42,530,000	$	6,635		$	13,242		$	(2,929	)	$	2,150,296
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	6,280,467	$	40,500,000	$	43,083,000	$	4,842		$	28,629		$	(15,999	)	$	3,710,097

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2020 through November 30, 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 $12,230 in Climate Change Fund during the period.

# Security is no longer an affiliate at period end.

Subsequent events

As of close of business on January 22, 2021, pursuant to approval by shareholders of Climate Change Series Fund, Emerging Domestic Opportunities Series Fund, Emerging Markets Series Fund, Quality Series Fund and Resources Series Fund (each, a “Selling Fund”), each Selling Fund was reorganized with and into the corresponding series of GMO Trust (each, an “Acquiring Fund”). As part of the reorganization, each Selling Fund shareholder received shares of the corresponding Acquiring Fund in exchange for Selling Fund shares. Following the reorganization, the Selling Funds were terminated.

In January 2021, the Board of Trustees approved the termination of GMO Risk Premium Fund. The Fund is expected to liquidate on or about February 16, 2021.

* * *

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)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 43.6%
		Australia — 1.2%
	8,694	BlueScope Steel Ltd		108,783
	355,669	Coca-Cola Amatil Ltd		3,293,595
	2,078	Computershare Ltd		21,773
	13,196	Dexus (REIT)		94,545
	1,800	Fortescue Metals Group Ltd		23,981
	40,985	GPT Group (The) (REIT)		141,654
	32,933	Mirvac Group (REIT)		62,223
	765	Rio Tinto Ltd		57,076
	71,868	Scentre Group (REIT)		147,012
	14,245	Stockland (REIT)		47,310
		Total Australia		3,997,952
		Belgium — 0.1%
	2,973	Ageas SA/NV		145,560
	140	UCB SA		14,982
		Total Belgium		160,542
		Canada — 0.2%
	1,400	Canadian Apartment Properties (REIT)		55,150
	100	Canadian Tire Corp Ltd – Class A		12,780
	3,900	Imperial Oil Ltd		67,507
	1,200	Linamar Corp		55,274
	2,400	Magna International Inc		147,175
	4,400	Manulife Financial Corp		74,976
	6,600	Power Corp of Canada		148,598
	2,900	RioCan Real Estate Investment Trust		39,167
	8,900	TELUS Corp		171,668
		Total Canada		772,295
		China — 0.5%
	30,000	Agile Group Holdings Ltd		43,315
	71,500	BAIC Motor Corp Ltd – Class H		26,761
	188,000	Bank of Communications Co Ltd – Class H		103,890
	4,500	Beijing Enterprises Holdings Ltd		14,582
	63,000	China Communications Construction Co Ltd – Class H		32,655
	80,000	China Communications Services Corp Ltd – Class H		42,634
	1,241,000	China Huarong Asset Management Co Ltd – Class H		142,267
	6,000	China Overseas Land & Investment Ltd		14,609
	21,000	China Railway Construction Corp Ltd – Class H		13,877
	340,000	China Railway Group Ltd – Class H		167,831
	159,600	China Zhongwang Holdings Ltd *		34,761
	50,000	Chongqing Rural Commercial Bank Co Ltd – Class H		21,439
	136,000	Dongfeng Motor Group Co Ltd – Class H		139,922
	18,000	Fosun International Ltd		25,974
	125,200	Guangzhou R&F Properties Co Ltd – Class H		163,375
	9,000	Kingboard Holdings Ltd		34,386

Shares		Description	Value ($)
		China — continued
	86,400	Legend Holdings Corp – Class H		117,643
	8,600	Momo Inc Sponsored ADR		123,668
	16,000	Seazen Group Ltd *		14,160
	15,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		26,887
	33,000	Shimao Group Holdings Ltd		122,997
	31,600	Sinopharm Group Co Ltd – Class H		78,218
	122,000	Skyworth Group Ltd *		33,299
	195,000	Yuzhou Group Holdings Co Ltd		77,503
		Total China		1,616,653
		Denmark — 0.1%
	8,639	Danske Bank A/S *		142,223
	3,698	Demant A/S *		139,504
	1,754	Pandora A/S		175,864
		Total Denmark		457,591
		Finland — 0.0%
	25,051	Nokia Oyj *		99,903
	135	UPM-Kymmene Oyj		4,430
		Total Finland		104,333
		France — 0.3%
	1,789	Atos SE *		163,301
	5,786	Peugeot SA *		135,747
	2,040	Publicis Groupe SA		91,927
	4,032	Renault SA *		160,078
	6,562	Societe Generale SA *		130,110
	984	Unibail-Rodamco-Westfield (REIT)		69,238
	2,497	Valeo SA		96,334
		Total France		846,735
		Germany — 0.1%
	12,508	Aroundtown SA *		86,568
	2,180	Bayer AG (Registered)		125,598
	301	Bayerische Motoren Werke AG		26,118
	2,311	Daimler AG (Registered)		154,724
	8,916	Deutsche Lufthansa AG (Registered) *		102,792
		Total Germany		495,800
		Hong Kong — 0.2%
	20,500	CK Hutchison Holdings Ltd		148,699
	432,000	First Pacific Co Ltd		131,885
	24,000	Hongkong Land Holdings Ltd		97,427
	45,500	Kerry Properties Ltd		116,572
	255,000	PCCW Ltd		154,747
	3,000	Swire Pacific Ltd – Class A		17,191
	5,000	Wharf Holdings Ltd (The)		12,369
		Total Hong Kong		678,890

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Israel — 0.1%
	17,000	Teva Pharmaceutical Industries Ltd Sponsored ADR *		161,670
		Italy — 0.1%
	2,131	EXOR NV		149,062
	12,435	Leonardo SPA		90,268
	180,790	Telecom Italia SPA		85,203
	303,877	Telecom Italia SPA-RSP		155,430
		Total Italy		479,963
		Japan — 1.7%
	17,900	Asahi Kasei Corp		163,649
	3,300	Astellas Pharma Inc		47,004
	1,200	Central Japan Railway Co		152,509
	2,200	Daiwa House Industry Co Ltd		67,232
	4,800	Electric Power Development Co Ltd		64,424
	5,000	Honda Motor Co Ltd		139,110
	31,000	Inpex Corp		171,705
	6,700	ITOCHU Corp		176,808
	4,900	KDDI Corp		139,436
	6,100	Nippon Telegraph & Telephone Corp		144,267
	86,248	NTT DOCOMO Inc		3,207,672
	17,800	Obayashi Corp		156,679
	9,900	ORIX Corp		146,533
	8,800	Sekisui House Ltd		157,794
	11,700	Shimizu Corp		88,484
	12,300	Sumitomo Chemical Co Ltd		43,454
	12,600	Sumitomo Dainippon Pharma Co Ltd		158,894
	700	Suzuki Motor Corp		37,540
	2,600	Taisei Corp		91,468
	5,400	TIS Inc		107,241
	55,300	Tokyo Electric Power Co Holdings Inc *		143,933
	2,200	Tosoh Corp		34,455
		Total Japan		5,640,291
		Netherlands — 0.2%
	5,996	ABN AMRO Bank NV CVA *		61,383
	27,935	Aegon NV		103,340
	3,600	AerCap Holdings NV *		132,336
	16,207	ING Groep NV *		157,641
	4,784	Koninklijke Ahold Delhaize NV		136,781
	676	NN Group NV		27,320
	1,763	Randstad NV *		109,038
		Total Netherlands		727,839
		New Zealand — 0.0%
	32,678	Meridian Energy Ltd		147,413
		Singapore — 0.0%
	44,600	Yangzijiang Shipbuilding Holdings Ltd		28,982

Shares		Description	Value ($)
		South Africa — 0.1%
	16,824	Bidvest Group Ltd (The)		176,373
	19,557	Old Mutual Ltd		14,690
		Total South Africa		191,063
		Spain — 0.1%
	27,772	Banco Bilbao Vizcaya Argentaria SA		128,600
	52,704	Banco Santander SA *		152,848
		Total Spain		281,448
		Sweden — 0.0%
	18,350	Nordea Bank Abp *		156,827
		Switzerland — 0.1%
	2,402	Adecco Group AG (Registered)		145,206
	1,177	Banque Cantonale Vaudoise (Registered)		121,202
		Total Switzerland		266,408
		United Kingdom — 4.0%
	4,312	Aviva Plc		18,256
	2,465	Berkeley Group Holdings Plc (The)		150,670
	85,428	BT Group Plc		132,235
	1,851	Carnival Plc		32,086
	2,454	Coca-Cola HBC AG *		70,098
	37,366	ITV Plc *		46,500
	19,642	Kingfisher Plc *		71,332
	51,490	M&G Plc		127,759
	35,082	Micro Focus International Plc *		161,579
	28	National Grid Plc		313
	338,900	Royal Dutch Shell Plc – Class B Sponsored ADR		10,997,305
	170,433	RSA Insurance Group Plc		1,531,414
	751	Smiths Group Plc		14,430
	26,886	Taylor Wimpey Plc *		54,718
	13,152	WPP Plc		126,729
		Total United Kingdom		13,535,424
		United States — 34.5%
	900	Alexion Pharmaceuticals, Inc. *		109,899
	2,000	Alliance Data Systems Corp.		146,280
	1,600	Ally Financial, Inc. (a)		47,440
	1,700	Arrow Electronics, Inc. *		155,805
	3,300	Athene Holding Ltd. – Class A * (a)		146,355
	4,200	Bed Bath & Beyond, Inc.		88,032
	500	Biogen, Inc. *		120,085
	39,000	Bristol-Myers Squibb Co.		2,433,600
	1,600	Capital One Financial Corp. (a)		137,024
	2,600	Capri Holdings Ltd. *		91,988
	3,900	Carnival Corp. (a)		77,922
	2,400	Carrier Global Corp.		91,368
	2,400	CBRE Group, Inc. – Class A *		146,736
	1,900	Centene Corp. * (a)		117,135
	17,000	CenturyLink, Inc. (a)		177,650
	800	Cigna Corp.		167,312

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	3,000	Citigroup, Inc.		165,210
	2,400	Citizens Financial Group, Inc. (a)		78,384
	1,500	Cognizant Technology Solutions Corp. – Class A		117,195
	3,100	Comcast Corp. – Class A (a)		155,744
	109,856	Concho Resources, Inc. (b)		6,314,523
	3,800	Corteva, Inc. (a)		145,616
	25,600	Coty Inc. – Class A (a)		184,064
	2,200	CVS Health Corp. (a)		149,138
	414,700	Discovery, Inc. – Class C * (a) (b)		9,961,094
	4,300	DISH Network Corp. – Class A *		154,241
	1,900	DR Horton, Inc.		141,550
	1,500	Edwards Lifesciences Corp. * (a)		125,835
	1,100	Exelon Corp. (a)		45,177
	1,400	Expedia Group, Inc. (a)		174,286
	3,700	Exxon Mobil Corp. (a)		141,081
	702	First Horizon Corp. (a)		8,578
	101,584	FirstEnergy Corp. (a) (c)		2,698,071
	200	FleetCor Technologies, Inc. * (a)		53,042
	16,500	Ford Motor Co. (a)		149,820
	3,400	Fox Corp. – Class A (a)		98,056
	4,000	Fox Corp. – Class B *		113,520
	79,300	GCI Liberty, Inc. – Class A * (a) (b)		7,225,816
	3,500	General Motors Co.		153,440
	800	Goldman Sachs Group, Inc. (The) (a)		184,464
	64,035	Grubhub, Inc. * (b)		4,504,222
	55,107	HD Supply Holdings, Inc. *		3,075,522
	20,576	HEICO Corp. (a)		2,542,782
	1,700	HP, Inc. (a)		37,281
	51,200	Inphi Corp. * (a)		7,942,656
	2,700	Intel Corp. (a)		130,545
	1,500	International Business Machines Corp. (a)		185,280
	6,500	Invesco Ltd. (a)		105,495
	800	Jazz Pharmaceuticals Plc * (a)		112,568
	10,600	Kinder Morgan, Inc.		152,428
	5,000	Kohl’s Corp.		161,000
	600	Kraft Heinz Co. (The) (a)		19,764
	800	Kroger Co. (The) (a)		26,400
	100	Laboratory Corp. of America Holdings *		19,984
	500	Leidos Holdings, Inc.		50,350
	1,800	Lennar Corp. – Class A (a)		136,548
	38,800	Liberty Broadband Corp. – Class C *		6,105,180
	94,887	Liberty Media Corp.-Liberty SiriusXM – Class C * (b)		3,891,316
	4,100	Lincoln National Corp. (a)		193,602
	900	LKQ Corp. *		31,698
	2,000	LyondellBasell Industries NV – Class A (a)		170,200
	113,000	Maxim Integrated Products, Inc. (b)		9,383,520
	3,500	MetLife, Inc.		161,595
	2,400	Micron Technology, Inc. *		153,816
	400	Mohawk Industries, Inc. * (a)		50,332
	3,200	Molson Coors Brewing Co. – Class B (a)		147,200
	1,300	Morgan Stanley		80,379
	76,509	National General Holdings Corp. (b)		2,607,427
	2,800	Occidental Petroleum Corp. (a)		44,128
	2,300	Oracle Corp. (a)		132,756
	2,400	Phillips 66 (a)		145,392

Shares		Description	Value ($)
		United States — continued
	31,300	PNM Resources, Inc.		1,537,143
	400	Principal Financial Group, Inc. (a)		19,916
	1,900	Prudential Financial, Inc. (a)		143,678
	9,900	Qurate Retail, Inc. – Series A		103,653
	2,200	Raytheon Technologies Corp. (a)		157,784
	300	Regeneron Pharmaceuticals, Inc. * (a)		154,809
	600	SS&C Technologies Holdings, Inc.		41,334
	4,600	Synchrony Financial		140,162
	21,075	Teladoc Health, Inc. *		4,189,117
	1,000	Textron, Inc. (a)		45,100
	1,900	Tyson Foods, Inc. – Class A		123,880
	400	United Rentals, Inc. * (a)		90,792
	1,100	Universal Health Services, Inc. – Class B		143,638
	48,700	Varian Medical Systems, Inc. * (b)		8,472,826
	4,500	ViacomCBS, Inc. – Class B (a)		158,760
	3,100	Viatris, Inc. *		52,142
	30,700	Virtusa Corp. *		1,537,456
	800	VMware, Inc. – Class A * (a)		111,912
	2,300	Walgreens Boots Alliance, Inc. (a)		87,423
	5,300	Wells Fargo & Co.		144,955
	5,200	Western Union Co. (The) (a)		117,312
	2,500	Western Digital Corp. (a)		112,200
	77,232	Willis Towers Watson Plc (b)		16,078,930
	1,700	WPX Energy, Inc. *		12,767
	57,600	Xilinx, Inc. (b)		8,383,680
		Total United States		117,655,311
		TOTAL COMMON STOCKS (COST $135,807,550)		148,403,430
		PREFERRED STOCKS (d) — 0.0%
		Germany — 0.0%
	2,548	Bayerische Motoren Werke AG		167,417
		TOTAL PREFERRED STOCKS (COST $139,483)		167,417
		RIGHTS/WARRANTS — 0.1%
		Spain — 0.0%
	84,396	Banco Santander SA, Expires 12/03/20 *		10,540
		United States — 0.1%
	291,300	Bristol-Myers Squibb Co., Expires 03/31/21 *		343,734
		TOTAL RIGHTS/WARRANTS (COST $526,434)		354,274
		INVESTMENT FUNDS — 2.5%
		United States — 2.5%
	587,100	Altaba, Inc. (e)		8,454,240
		TOTAL INVESTMENT FUNDS (COST $7,476,745)		8,454,240

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 73.6%
		United States — 72.5%
		Asset-Backed Securities — 16.4%
	9,866,545	Canyon CLO Ltd., Series 20-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.92%, 2.16%, due 07/15/28		9,905,157
	953,288	Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.07%, due 01/27/28		948,908
	6,469,420	MP CLO VIII Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.91%, 1.13%, due 10/28/27		6,428,430
	8,960,392	Neuberger Berman CLO XIX Ltd., Series 15-19A, Class A1R2, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 1.04%, due 07/15/27		8,925,115
	4,049,123	Oaktree CLO Ltd., Series 15-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 1.09%, due 10/20/27		4,033,882
	2,261,020	Ocean Trails CLO VI, Series 16-6A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.39%, due 07/15/28		2,249,636
	1,797,513	Octagon Investment Partners XXIII Ltd., Series 15-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.09%, due 07/15/27		1,789,442
	2,229,722	Palmer Square Loan Funding Ltd., Series 18-4A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 1.12%, due 11/15/26		2,228,408
	4,736,969	Palmer Square Loan Funding Ltd., Series 19-3A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.07%, due 08/20/27		4,726,543
	10,047,737	Venture XX CLO Ltd., Series 15-20A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.82%, 1.06%, due 04/15/27		10,013,564
	4,835,266	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.19%, due 04/15/29		4,777,852
		Total Asset-Backed Securities		56,026,937

Par Value† / Shares		Description	Value ($)
		U.S. Government — 56.1%
	4,500,000	U.S. Treasury Note, 1.38%, due 01/31/21		4,509,205
	17,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.14%, 0.22%, due 04/30/21 (b)		17,510,242
	27,500,000	U.S. Treasury Note, 1.75%, due 11/30/21 (b)		27,943,652
	65,000,000	U.S. Treasury Note, 1.50%, due 01/31/22 (b)		66,046,094
	15,000,000	U.S. Treasury Note, 0.13%, due 04/30/22 (b)		15,000,586
	20,000,000	U.S. Treasury Note, 0.13%, due 05/31/22 (b)		19,997,656
	20,000,000	U.S. Treasury Note, 0.13%, due 07/31/22		19,993,750
	20,000,000	U.S. Treasury Note, 0.13%, due 08/31/22 (b)		19,992,969
		Total U.S. Government		190,994,154
		Total United States		247,021,091
		United States Virgin Islands — 1.1%
		Asset-Backed Securities — 1.1%
	3,921,227	Denali Capital CLO X LLC, Series 13-1A, Class A1LR, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.26%, due 10/26/27		3,919,552
		TOTAL DEBT OBLIGATIONS (COST $250,801,335)		250,940,643
		MUTUAL FUNDS — 10.6%
		United States — 10.6%
		Affiliated Issuers — 10.6%
	607,025	GMO Emerging Markets Fund, Class VI		20,614,557
	683,846	GMO Resources Fund, Class IV		15,639,568
		TOTAL MUTUAL FUNDS (COST $30,706,393)		36,254,125

PURCHASED OPTIONS — 0.1%

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount			Value ($)
Equity Options – Calls — 0.0%
FirstEnergy Corp. (c)		35.00		04/16/21		313		USD	831,328		9,390
Equity Options – Puts — 0.1%
FirstEnergy Corp. (c)		24.00		04/16/21		1,310		USD	3,479,360		203,050

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Option on Credit Default Swaps – Calls — 0.0%

CDX.NA.IGS.35.V1-5Y

MSCI

55.00

01/20/21

USD

25,000,000

Fixed Spread

Receive

80,874

Option on Credit Default Swaps – Puts — 0.0%

CDX.NA.HYS.35.VI

JPM

107.00

02/17/21

USD

6,600,000

Fixed Spread

Pay

73,313

TOTAL PURCHASED OPTIONS (COST $319,793)

366,627

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares			Description	Value ($)
			SHORT-TERM INVESTMENTS — 0.3%
			Money Market Funds — 0.3%
	699,258		State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (f)		699,258
	154,242		State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (g)		154,242
			TOTAL SHORT-TERM INVESTMENTS (COST $853,500)		853,500
			TOTAL INVESTMENTS — 130.8% (Cost $426,631,233)		445,794,256
			SECURITIES SOLD SHORT — (35.1)%
			Common Stocks — (35.1)%
			Australia — (0.2)%
	(1,588	)	Afterpay Ltd *		(110,644	)
	(21,965	)	APA Group		(166,480	)
	(688	)	ASX Ltd		(38,909	)
	(306	)	Cochlear Ltd		(49,587	)
	(76	)	Ramsay Health Care Ltd		(3,520	)
	(26,551	)	Sydney Airport		(131,009	)
	(4,490	)	TPG Telecom Ltd *		(25,348	)
	(13,932	)	Transurban Group		(143,761	)
			Total Australia		(669,258	)
			Austria — (0.0)%
	(1,733	)	Verbund AG		(121,797	)
			Canada — (0.0)%
	(8,300	)	AltaGas Ltd		(119,128	)
			China — (0.1)%
	(24,200	)	BEST Inc ADR *		(70,906	)
	(2,100	)	Yum China Holdings Inc		(118,398	)
			Total China		(189,304	)
			France — (0.3)%
	(2,771	)	Edenred		(158,349	)
	(8,942	)	Getlink SE *		(148,189	)
	(180	)	Hermes International		(175,132	)
	(287	)	Sartorius Stedim Biotech		(103,484	)
	(1,188	)	Ubisoft Entertainment SA *		(112,655	)
	(5,370	)	Vivendi SA		(160,984	)
	(1,347	)	Wendel SA		(152,191	)
			Total France		(1,010,984	)
			Germany — (0.4)%
	(1,512	)	Delivery Hero SE *		(183,840	)
	(1,751	)	Puma SE *		(173,512	)
	(671	)	QIAGEN NV *		(32,337	)
	(4,348	)	RWE AG		(179,844	)
	(373	)	Sartorius AG		(170,072	)

Shares			Description	Value ($)
			Germany — continued
	(1,310	)	Scout24 AG		(99,823	)
	(52,779	)	Telefonica Deutschland Holding AG		(145,684	)
	(6,481	)	thyssenkrupp AG *		(43,217	)
	(4,521	)	Uniper SE		(153,030	)
	(1,717	)	Zalando SE *		(174,408	)
			Total Germany		(1,355,767	)
			Italy — (0.1)%
	(786	)	Ferrari NV		(166,538	)
	(10,370	)	FinecoBank Banca Fineco SPA *		(163,719	)
			Total Italy		(330,257	)
			Japan — (0.9)%
	(6,700	)	Acom Co Ltd		(32,163	)
	(4,400	)	Asahi Intecc Co Ltd		(161,200	)
	(24,500	)	ENEOS Holdings Inc		(83,687	)
	(1,300	)	GMO Payment Gateway Inc		(182,311	)
	(1,100	)	Hitachi Metals Ltd		(16,087	)
	(5,300	)	Idemitsu Kosan Co Ltd		(109,880	)
	(10,200	)	Isetan Mitsukoshi Holdings Ltd		(54,746	)
	(2,300	)	Japan Airport Terminal Co Ltd		(133,223	)
	(2,500	)	Japan Exchange Group Inc		(61,849	)
	(30	)	Japan Real Estate Investment Corp		(155,396	)
	(18,200	)	JGC Holding Corp		(162,037	)
	(8,900	)	Keikyu Corp		(152,236	)
	(300	)	Kintetsu Group Holdings Co Ltd		(13,287	)
	(8,000	)	Kyushu Electric Power Co Inc		(67,406	)
	(2,300	)	LINE Corp *		(118,519	)
	(4,700	)	LIXIL Group Corp		(112,470	)
	(2,000	)	M3 Inc		(184,043	)
	(3,400	)	McDonald’s Holdings Co Japan Ltd		(164,917	)
	(2,200	)	Mercari Inc *		(100,468	)
	(2,400	)	Mitsubishi Materials Corp		(45,376	)
	(3,000	)	MonotaRO Co Ltd		(182,481	)
	(1,400	)	Nihon M&A Center Inc		(97,823	)
	(1,700	)	Nippon Paint Holdings Co Ltd		(217,816	)
	(8,300	)	Nippon Yusen KK		(180,288	)
	(1,000	)	Odakyu Electric Railway Co Ltd		(30,271	)
	(100	)	ORIENTAL LAND CO LTD		(16,985	)
	(10,300	)	Sharp Corp		(137,714	)
	(400	)	Yaskawa Electric Corp		(19,192	)
			Total Japan		(2,993,871	)
			Netherlands — (1.5)%
	(91	)	Adyen NV *		(173,824	)
	(33,258	)	Altice Europe NV *		(174,960	)
	(44,336	)	Just Eat Takeaway.com NV *		(4,718,322	)
			Total Netherlands		(5,067,106	)
			Norway — (0.0)%
	(428	)	Schibsted ASA – B Shares *		(15,566	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares			Description	Value ($)
			Peru — (0.0)%
	(2,300	)	Southern Copper Corp		(136,551	)
			Singapore — (0.1)%
	(25,200	)	Singapore Exchange Ltd		(166,159	)
			Spain — (0.2)%
	(84,793	)	Bankia SA		(145,842	)
	(2,760	)	Cellnex Telecom SA		(174,836	)
	(5,976	)	Endesa SA		(171,766	)
	(5,385	)	Ferrovial SA		(150,378	)
	(4,710	)	Siemens Gamesa Renewable Energy SA		(168,919	)
			Total Spain		(811,741	)
			Sweden — (0.1)%
	(1,145	)	Evolution Gaming Group AB		(97,425	)
	(6,153	)	Lundin Energy AB		(146,998	)
			Total Sweden		(244,423	)
			Switzerland — (0.1)%
	(128	)	Straumann Holding AG (Registered)		(147,750	)
	(1,734	)	Swiss Re AG		(158,428	)
			Total Switzerland		(306,178	)
			United Kingdom — (3.6)%
	(2,396	)	Admiral Group Plc		(90,250	)
	(4,221	)	Antofagasta Plc		(69,701	)
	(21,799	)	Auto Trader Group Plc		(162,138	)
	(56,601	)	ConvaTec Group Plc		(155,688	)
	(3,535	)	Experian Plc		(125,245	)
	(13,165	)	GVC Holdings Plc *		(180,897	)
	(1,945	)	Halma Plc		(57,231	)
	(7,226	)	Hargreaves Lansdown Plc		(136,858	)
	(20,048	)	Informa Plc *		(140,432	)
	(1,528	)	London Stock Exchange Group Plc		(164,797	)
	(5,310	)	Ocado Group Plc *		(156,120	)
	(1,984	)	Prudential Plc		(30,509	)
	(321,997	)	Royal Dutch Shell Plc – Class A Sponsored ADR		(10,896,379	)
	(310	)	Spirax-Sarco Engineering Plc		(45,666	)
			Total United Kingdom		(12,411,911	)
			United States — (27.5)%
	(100,770	)	Advanced Micro Devices, Inc. *		(9,337,348	)
	(1,400	)	AES Corp. (The)		(28,616	)
	(700	)	American Tower Corp. (REIT)		(161,840	)
	(71,231	)	Analog Devices, Inc.		(9,906,807	)
	(83,527	)	Aon Plc – Class A		(17,113,847	)
	(13,300	)	Apache Corp.		(171,437	)
	(300	)	Arthur J Gallagher & Co.		(34,623	)
	(600	)	Autodesk, Inc. *		(168,138	)
	(800	)	Avalara, Inc. *		(137,400	)
	(500	)	Ball Corp.		(48,005	)

Shares			Description	Value ($)
			United States — continued
	(200	)	Black Knight, Inc. *		(18,324	)
	(2,700	)	Blackstone Group , Inc. (The) – Class A		(160,785	)
	(39,001	)	Bristol-Myers Squibb Co.		(2,433,662	)
	(600	)	Burlington Stores, Inc. *		(131,124	)
	(1	)	Charles Schwab Corp. (The)		(49	)
	(9,424	)	Charter Communications, Inc. – Class A *		(6,144,354	)
	(2,900	)	Cheniere Energy, Inc. *		(164,401	)
	(100	)	Chipotle Mexican Grill, Inc. *		(128,943	)
	(1,100	)	Cognex Corp.		(82,654	)
	(160,526	)	ConocoPhillips		(6,350,409	)
	(100	)	CoStar Group, Inc. *		(91,057	)
	(500	)	Coupa Software, Inc. *		(164,455	)
	(1,000	)	Crowdstrike Holdings, Inc. – Class A *		(153,280	)
	(1,300	)	Datadog, Inc. – Class A *		(128,596	)
	(900	)	Devon Energy Corp.		(13,302	)
	(400	)	DexCom, Inc. *		(127,872	)
	(600	)	Digital Realty Trust, Inc. (REIT)		(80,850	)
	(376,328	)	Discovery, Inc. – Class A *		(10,126,986	)
	(800	)	DocuSign, Inc. *		(182,304	)
	(30,200	)	Endo International Plc *		(153,416	)
	(700	)	Equifax, Inc.		(116,830	)
	(200	)	Equinix, Inc. (REIT)		(139,558	)
	(2,700	)	Equity LifeStyle Properties, Inc. (REIT)		(158,193	)
	(100	)	Erie Indemnity Co. – Class A		(22,561	)
	(1,400	)	Exact Sciences Corp. *		(169,484	)
	(1	)	Fidelity National Financial, Inc.		(36	)
	(1,600	)	Guidewire Software, Inc. *		(195,968	)
	(23,225	)	HEICO Corp. – Class A		(2,572,169	)
	(200	)	IDEXX Laboratories, Inc. *		(92,196	)
	(1,000	)	IHS Markit Ltd.		(99,460	)
	(1,600	)	Ingersoll Rand, Inc. *		(70,832	)
	(700	)	Insulet Corp. *		(180,397	)
	(900	)	IQVIA Holdings, Inc. *		(152,091	)
	(2,100	)	Lamb Weston Holdings, Inc.		(151,998	)
	(500	)	Liberty Broadband Corp. – Class A *		(78,385	)
	(46,470	)	Liberty Broadband Corp. – Class C *		(7,312,055	)
	(3,600	)	Liberty Media Corp-Liberty Formula One – Class C *		(150,408	)
	(13,000	)	Live Nation Entertainment, Inc. *		(853,450	)
	(300	)	MarketAxess Holdings, Inc.		(161,754	)
	(118,939	)	Marvell Technology Group Ltd.		(5,505,686	)
	(700	)	MongoDB, Inc. *		(201,117	)
	(400	)	MSCI, Inc.		(163,768	)
	(1,000	)	NIKE Inc. – Class B		(134,700	)
	(3,300	)	Nuance Communications, Inc. *		(142,329	)
	(800	)	Okta, Inc. *		(196,032	)
	(300	)	Paycom Software, Inc. *		(125,124	)
	(300	)	Pinterest, Inc. – Class A *		(21,006	)
	(400	)	Public Storage (REIT)		(89,784	)
	(600	)	RingCentral, Inc. – Class A *		(178,230	)
	(100	)	Rockwell Automation, Inc.		(25,556	)
	(600	)	Roku, Inc. *		(176,142	)
	(2,000	)	Rollins, Inc.		(114,360	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(300	)	ServiceNow, Inc. *		(160,365	)
	(500,170	)	Sirius XM Holdings, Inc.		(3,246,103	)
	(4,000	)	Slack Technologies Inc. – Class A *		(171,520	)
	(3,900	)	Snap, Inc. – Class A *		(173,238	)
	(14,600	)	Southwestern Energy Co. *		(45,406	)
	(800	)	Splunk, Inc. *		(163,344	)
	(400	)	Square, Inc. – Class A *		(84,384	)
	(1,100	)	Starbucks Corp.		(107,822	)
	(200	)	Sun Communities, Inc. (REIT)		(27,800	)
	(6,900	)	Targa Resources Corp.		(162,150	)
	(21,696	)	Teladoc Health, Inc. *		(4,312,514	)
	(400	)	Tesla, Inc. *		(227,040	)
	(600	)	Twilio, Inc. – Class A *		(192,054	)
	(3,800	)	UDR, Inc. (REIT)		(146,186	)
	(500	)	Vail Resorts, Inc.		(137,920	)
	(100	)	West Pharmaceutical Services, Inc.		(27,516	)
	(4,500	)	Williams Cos, Inc. (The)		(94,410	)
	(1,600	)	Wynn Resorts Ltd.		(160,800	)
	(1,400	)	Zillow Group, Inc. – Class C *		(150,934	)

Shares			Description	Value ($)
			United States — continued
	(300	)	Zoom Video Communications, Inc.– Class A *		(143,508	)
	(800	)	Zscaler, Inc. *		(124,600	)
			Total United States		(93,756,157	)
			TOTAL COMMON STOCKS (PROCEEDS $107,315,455)		(119,706,158	)
			RIGHTS/WARRANTS — (0.0)%
			Spain — (0.0)%
	(6,879	)	Ferrovial SA, Expires 11/23/20 *		(1,960	)
			TOTAL RIGHTS/WARRANTS (PROCEEDS $1,610)		(1,960	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $107,317,065)		(119,708,118	)
			Other Assets and Liabilities (net) — 4.3%		14,672,940
			TOTAL NET ASSETS — 100.0%		$340,759,078

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
12/17/2020	GS	AUD	762,501	USD	558,277		(1,529	)
12/17/2020	SSB	AUD	8,318,779	USD	6,067,014		(40,391	)
12/17/2020	UBSA	AUD	657,873	USD	479,778		(3,214	)
02/08/2021	BCLY	AUD	62,999,000	USD	45,386,181		(887,440	)
02/08/2021	DB	AUD	2,290,000	USD	1,634,792		(47,244	)
02/26/2021	BOA	AUD	4,562,694	USD	3,350,286		(1,398	)
02/26/2021	SSB	AUD	539	USD	396		—
02/02/2021	CITI	BRL	5,430,700	USD	1,000,000		(12,548	)
01/13/2021	BOA	CHF	2,619,139	USD	2,870,000		(16,981	)
01/13/2021	JPM	CHF	9,286,847	USD	10,240,000		3,448
01/13/2021	MSCI	CHF	32,126,007	USD	35,043,367		(367,956	)
12/02/2020	MSCI	CLP	4,361,759,000	USD	5,659,989		(64,856	)
02/03/2021	MSCI	COP	16,898,716,400	USD	4,412,198		(274,333	)
02/16/2021	CITI	CZK	42,978,888	USD	1,919,557		(35,351	)
01/13/2021	SSB	EUR	2,395,745	USD	2,832,167		(29,461	)
01/19/2021	GS	EUR	1,651,866	USD	1,936,498		(36,860	)
01/27/2021	BOA	EUR	2,930,000	USD	3,469,914		(30,964	)
01/13/2021	MSCI	GBP	5,000,000	USD	6,610,307		(59,855	)
01/19/2021	BCLY	GBP	1,167,466	USD	1,557,971		485
01/13/2021	MSCI	HUF	1,325,899,492	USD	4,350,599		(58,324	)
02/16/2021	CITI	IDR	7,958,944,000	USD	560,000		1,625
02/16/2021	JPM	IDR	12,507,620,000	USD	860,000		(17,497	)
01/29/2021	BOA	ILS	2,871,665	USD	860,000		(8,480	)
01/22/2021	BCLY	INR	55,148,500	USD	740,000		(1,101	)
01/22/2021	JPM	INR	54,185,760	USD	720,000		(8,164	)
12/10/2020	DB	JPY	166,991,831	USD	1,592,066		(7,641	)
01/19/2021	CITI	JPY	319,207,200	USD	3,072,288		11,655
01/19/2021	JPM	JPY	17,160,000	USD	164,922		388
01/19/2021	MSCI	JPY	531,858,600	USD	5,061,666		(37,917	)
02/09/2021	BOA	JPY	260,030,250	USD	2,500,000		6,123
02/09/2021	JPM	JPY	275,086,881	USD	2,650,000		11,719

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/20/2021	JPM	NOK	67,917,910	USD	7,375,572		(261,025	)
12/17/2020	UBSA	NZD	6,834,188	USD	4,654,390		(137,891	)
02/05/2021	BCLY	NZD	2,210,000	USD	1,475,546		(74,238	)
02/05/2021	JPM	NZD	14,900,000	USD	10,125,522		(323,248	)
02/05/2021	MSCI	NZD	34,560,000	USD	23,003,309		(1,232,231	)
02/02/2021	MSCI	PEN	5,466,750	USD	1,510,340		(5,843	)
12/03/2020	JPM	PHP	18,401,500	USD	380,000		(2,647	)
12/03/2020	MSCI	PHP	38,645,795	USD	798,302		(5,312	)
01/25/2021	JPM	PHP	57,047,295	USD	1,181,103		(1,807	)
02/16/2021	DB	PLN	3,783,372	USD	1,010,000		1,476
02/26/2021	BOA	RON	1,456,830	USD	353,517		(1,362	)
02/16/2021	BCLY	RUB	142,598,274	USD	1,830,000		(24,163	)
02/16/2021	MSCI	RUB	46,736,520	USD	600,000		(7,701	)
02/05/2021	BCLY	SEK	26,377,958	USD	3,040,000		(39,499	)
02/05/2021	JPM	SEK	59,413,433	USD	6,890,000		(46,232	)
01/15/2021	BCLY	SGD	668,905	USD	500,000		1,234
12/07/2020	BCLY	TWD	22,492,880	USD	790,000		2,001
12/07/2020	CITI	TWD	15,421,968	USD	540,000		(282	)
12/07/2020	JPM	TWD	9,660,760	USD	340,000		1,552
12/07/2020	MSCI	TWD	26,326,342	USD	922,114		(185	)
02/08/2021	BOA	USD	2,223,510	AUD	3,110,000		60,827
02/02/2021	JPM	USD	1,644,641	BRL	9,444,678		116,309
12/02/2020	MSCI	USD	444,557	CAD	582,960		4,324
12/02/2020	SSB	USD	5,998,424	CAD	7,971,686		139,794
02/01/2021	SSB	USD	6,587,698	CAD	8,554,646		1,822
02/03/2021	JPM	USD	23,968,636	CAD	31,874,092		583,635
02/03/2021	MSCI	USD	23,973,954	CAD	31,874,091		578,317
12/02/2020	MSCI	USD	5,691,019	CLP	4,361,759,000		33,825
02/26/2021	MSCI	USD	2,820,954	CLP	2,180,879,500		46,783
02/03/2021	MSCI	USD	1,280,000	COP	4,641,640,000		7,269
02/16/2021	BOA	USD	660,000	CZK	14,689,415		8,153

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
02/16/2021	CITI	USD	400,000	CZK	8,868,760		3,398
02/16/2021	DB	USD	640,000	CZK	13,988,230		(3,741	)
01/13/2021	UBSA	USD	23,554,115	EUR	19,915,545		234,256
01/19/2021	BOA	USD	1,250,667	EUR	1,070,830		28,572
01/19/2021	DB	USD	14,021	EUR	11,800		76
01/27/2021	DB	USD	30,285,458	EUR	25,500,000		182,939
01/27/2021	JPM	USD	16,436,667	EUR	13,820,000		76,009
02/16/2021	BCLY	USD	776,330	EUR	653,823		5,228
02/16/2021	GS	USD	23,639,560	EUR	20,000,000		267,748
02/16/2021	JPM	USD	362,186	EUR	305,148		2,577
01/13/2021	MSCI	USD	13,178,592	GBP	10,186,000		409,861
01/13/2021	BOA	USD	320,000	HUF	96,988,512		2,509
02/16/2021	JPM	USD	2,260,322	IDR	33,629,064,000		98,992
01/29/2021	MSCI	USD	2,564,807	ILS	8,691,619		63,807
01/22/2021	JPM	USD	451,271	INR	33,482,018		(1,330	)
12/10/2020	MSCI	USD	7,397,708	JPY	774,521,220		21,859
12/10/2020	SSB	USD	11,905,570	JPY	1,259,096,844		156,014
02/09/2021	BOA	USD	8,310,000	JPY	870,584,961		39,535
02/09/2021	MSCI	USD	30,042,865	JPY	3,113,867,801		(178,635	)
02/10/2021	MSCI	USD	1,545,260	JPY	160,250,771		(8,322	)
02/10/2021	SSB	USD	6,907,435	JPY	715,321,476		(46,908	)
02/19/2021	MSCI	USD	4,095,683	KRW	4,530,807,850		(10,273	)
01/21/2021	BOA	USD	1,000,000	MXN	20,907,425		29,074

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/21/2021	CITI	USD	800,000	MXN	17,058,016		39,604
01/21/2021	GS	USD	760,000	MXN	16,281,015		41,359
01/21/2021	MSCI	USD	1,527,501	MXN	32,557,530		74,996
01/20/2021	JPM	USD	6,620,000	NOK	60,975,624		236,017
12/17/2020	BOA	USD	466,486	NZD	683,267		12,636
12/17/2020	UBSA	USD	157,867	NZD	228,666		2,478
02/05/2021	JPM	USD	10,860,744	NZD	16,170,000		478,628
02/02/2021	MSCI	USD	1,800,000	PEN	6,460,080		(8,320	)
12/03/2020	JPM	USD	1,183,554	PHP	57,047,295		2,707
02/16/2021	MSCI	USD	1,462,967	PLN	5,549,729		16,410
02/16/2021	BCLY	USD	208,378	RUB	16,244,616		2,846
02/05/2021	BCLY	USD	41,451,927	SEK	368,909,714		1,616,503
02/05/2021	JPM	USD	3,890,000	SEK	34,992,394		195,193
01/15/2021	GS	USD	660,000	SGD	896,174		8,228
01/15/2021	MSCI	USD	670,000	SGD	907,875		6,954
01/15/2021	BOA	USD	1,550,000	THB	48,398,710		49,643
02/16/2021	BCLY	USD	4,050,000	TRY	32,285,385		(37,502	)
12/07/2020	JPM	USD	2,564,793	TWD	73,901,950		24,235
02/02/2021	MSCI	USD	930,259	TWD	26,326,342		(329	)
01/29/2021	DB	USD	1,120,000	ZAR	18,415,137		60,274
01/29/2021	MSCI	USD	2,718,637	ZAR	44,882,790		158,019
						$	1,763,417

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
32	CAC40 10 Euro		December 2020		2,099,554		6,712
57	Canadian Government Bond 10 Yr.		March 2021		6,532,594		6,190
19	Hang Seng Index		December 2020		3,235,119		(25,529	)
342	Mini MSCI Emerging Markets		December 2020		20,559,330		1,746,027
13	S&P/TSX 60		December 2020		2,046,046		113,753
164	U.S. Treasury Note 10 Yr. (CBT)		March 2021		22,660,188		38,651
				$	57,132,831	$	1,885,804

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
6	DAX Index		December 2020		2,380,420		(70,241	)
54	E-mini Russell 2000 Index		December 2020		4,914,270		(455,633	)
138	Euro Bund		December 2020		28,848,494		26,171
80	FTSE/JSE TOP 40		December 2020		2,704,253		(28,996	)
11	Gilt Long Bond		March 2021		1,967,850		(2,404	)
9	Japanese Government Bond 10 Yr. (OSE)		December 2020		13,106,034		3,209
42	S&P 500 E-Mini		December 2020		7,608,720		(619,212	)
28	SPI 200		December 2020		3,349,132		(190,480	)
6	TOPIX Index		December 2020		1,007,335		(18,419	)
				$	65,886,508	$	(1,356,005	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Written Options

Description	Exercise Price		Expiration Date	Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
FirstEnergy Corp. (c)		30.00	04/16/21		(1,374	)		USD	(3,649,344	)	(151,140)
Equity Options – Puts
FirstEnergy Corp. (c)		28.00	04/16/21		(1,374	)		USD	(3,649,344	)	(439,680)
Index Options – Puts
S&P/ASX 200 Index		6,525.00	12/03/20		(49	)		AUD	(3,193,727	)	(17,874)
S&P 500 Index		3,585.00	12/04/20		(10	)		USD	(3,621,630	)	(12,700)
S&P 500 Index		3,560.00	12/11/20		(16	)		USD	(5,794,608	)	(33,600)
S&P 500 Index		3,635.00	12/18/20		(16	)		USD	(5,794,608	)	(95,360)
		Total Index Options – Puts									(159,534)

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps – Puts

CDX.NA.IGS.35.V1-5Y

MSCI

80.00

01/20/21

USD

(25,000,000)

Fixed Spread

Pay

(12,074

)

CDX. NA.HYS.35.V1

JPM

101.00

02/17/21

USD

(13,200,000)

Fixed Spread

Pay

(47,353

)

Total Written Options on Credit Default Swaps - Puts

(59,427

)

TOTAL WRITTEN OPTIONS (Premiums $980,190)

$

(809,781

)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.IGS.35.V1-5Y	USD	25,000,000		1.00%		0.52%		N/A		12/20/2025		Quarterly	$	(547,781	)	$	(621,275	)	$	(73,494	)

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^:
ITRAXX.EUROPES.32.V1-5Y	JPM	EUR	9,600,000		1.00%		1.84%		N/A		12/20/2024		Quarterly		572,808		389,129		(183,679	)
Sell Protection^:
ITRAXX.EUROPES.32.V1-5Y	JPM	EUR	20,000,000		1.00%		0.75%		20,000,000 EUR		12/20/2024		Quarterly		116,938		245,559		128,621
														$	689,746	$	634,688	$	(55,058	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 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 November 30, 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) ($)
3 Month AUD BBSW	0.15%	AUD	24,780,000		12/16/2022	Quarterly		3,046			25,073			22,027
3 Month AUD BBSW	0.10%	AUD	36,530,000		12/16/2022	Quarterly		(1,770	)		10,164			11,934
0.07%	3 Month AUD BBSW	AUD	40,650,000		12/16/2022	Quarterly		—			5,091			5,091
(0.67)%	6 Month CHF LIBOR	CHF	30,330,000		12/16/2022	Semi-Annually		7,353			(23,408	)		(30,761	)
6 Month CHF LIBOR	(0.72)%	CHF	21,630,000		12/16/2022	Semi-Annually		(172	)		(3,054	)		(2,882	)
0.18%	3 Month NZD Bank Bill Rate	NZD	220,230,000		12/16/2022	Quarterly		42,020			203,369			161,349
(0.05)%	3 Month SEK STIBOR	SEK	150,890,000		12/16/2022	Quarterly		1,392			2,234			842
3 Month SEK STIBOR	(0.04)%	SEK	158,100,000		12/16/2022	Quarterly		395			1,350			955
3 Month SEK STIBOR	(0.03)%	SEK	166,000,000		12/16/2022	Quarterly		—			2,386			2,386
0.55%	3 Month CAD LIBOR	CAD	22,480,000		12/19/2022	Semi-Annually		—			794			794
0.56%	3 Month CAD LIBOR	CAD	63,670,000		12/19/2022	Semi-Annually		8,005			(7,595	)		(15,600	)
0.55%	3 Month CAD LIBOR	CAD	17,650,000		12/19/2022	Semi-Annually		—			(195	)		(195	)
6 Month EURIBOR	(0.48)%	EUR	23,040,000		12/21/2022	Semi-Annually		5,571			21,688			16,117
6 Month GBP LIBOR	0.08%	GBP	104,780,000		12/21/2022	Semi-Annually		40,853			(25,416	)		(66,269	)
3 Month USD LIBOR	0.24%	USD	24,380,000		12/21/2022	Quarterly		(9,706	)		3,906			13,612
3 Month USD LIBOR	0.23%	USD	9,850,000		12/21/2022	Quarterly		59			(1,394	)		(1,453	)
0.87%	6 Month AUD BBSW	AUD	5,160,000		12/16/2030	Semi-Annually		(4,054	)		8,852			12,906
0.76%	6 Month AUD BBSW	AUD	7,580,000		12/16/2030	Semi-Annually		4,084			71,711			67,627
0.77%	6 Month AUD BBSW	AUD	1,460,000		12/16/2030	Semi-Annually		—			12,556			12,556
0.88%	6 Month AUD BBSW	AUD	4,210,000		12/16/2030	Semi-Annually		—			5,713			5,713
6 Month AUD BBSW	0.79%	AUD	16,610,000		12/16/2030	Semi-Annually		1,718			(128,553	)		(130,271	)
0.93%	6 Month AUD BBSW	AUD	5,160,000		12/16/2030	Semi-Annually		—			(12,425	)		(12,425	)
6 Month AUD BBSW	0.89%	AUD	8,490,000		12/16/2030	Semi-Annually		—			(561	)		(561	)
3 Month CAD LIBOR	1.28%	CAD	39,930,000		12/16/2030	Semi-Annually		(10,911	)		236,830			247,741
3 Month CAD LIBOR	1.23%	CAD	8,780,000		12/16/2030	Semi-Annually		8,945			19,426			10,481
3 Month CAD LIBOR	1.20%	CAD	66,370,000		12/16/2030	Semi-Annually		(104,361	)		(1,235	)		103,126
3 Month CAD LIBOR	1.11%	CAD	8,330,000		12/16/2030	Semi-Annually		(2,368	)		(53,433	)		(51,065	)
3 Month CAD LIBOR	1.09%	CAD	14,870,000		12/16/2030	Semi-Annually		—			(118,609	)		(118,609	)
3 Month CAD LIBOR	1.09%	CAD	2,640,000		12/16/2030	Semi-Annually		—			(21,450	)		(21,450	)
3 Month CAD LIBOR	1.11%	CAD	5,090,000		12/16/2030	Semi-Annually		—			(34,164	)		(34,164	)
3 Month CAD LIBOR	1.13%	CAD	8,130,000		12/16/2030	Semi-Annually		—			(42,476	)		(42,476	)
3 Month CAD LIBOR	1.15%	CAD	2,060,000		12/16/2030	Semi-Annually		—			(7,699	)		(7,699	)
6 Month CHF LIBOR	(0.26)%	CHF	5,240,000		12/16/2030	Semi-Annually		(7,603	)		21,411			29,014
(0.32)%	6 Month CHF LIBOR	CHF	3,490,000		12/16/2030	Semi-Annually		—			11,425			11,425
6 Month CHF LIBOR	(0.30)%	CHF	62,040,000		12/16/2030	Semi-Annually		(25,072	)		(62,612	)		(37,540	)
(0.27)%	6 Month CHF LIBOR	CHF	6,890,000		12/16/2030	Semi-Annually		—			(20,351	)		(20,351	)
(0.29)%	6 Month CHF LIBOR	CHF	5,920,000		12/16/2030	Semi-Annually		—			(4,080	)		(4,080	)
0.59%	3 Month NZD Bank Bill Rate	NZD	41,980,000		12/16/2030	Quarterly		(19,391	)		857,329			876,720
0.85%	3 Month NZD Bank Bill Rate	NZD	4,320,000		12/16/2030	Quarterly		—			11,919			11,919
3 Month NZD Bank Bill Rate	0.55%	NZD	22,000,000		12/16/2030	Quarterly		40,790			(497,302	)		(538,092	)
3 Month NZD Bank Bill Rate	0.46%	NZD	11,010,000		12/16/2030	Quarterly		(6,086	)		(323,212	)		(317,126	)
3 Month NZD Bank Bill Rate	0.48%	NZD	19,180,000		12/16/2030	Quarterly		478			(536,891	)		(537,369	)
3 Month NZD Bank Bill Rate	0.74%	NZD	4,230,000		12/16/2030	Quarterly		—			(42,682	)		(42,682	)
3 Month NZD Bank Bill Rate	0.81%	NZD	4,470,000		12/16/2030	Quarterly		749			(24,527	)		(25,276	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month NZD Bank Bill Rate	0.78%	NZD	48,460,000		12/16/2030	Quarterly		(87,480	)		(348,522	)		(261,042	)
3 Month NZD Bank Bill Rate	0.82%	NZD	29,970,000		12/16/2030	Quarterly		(2,744	)		(126,634	)		(123,890	)
3 Month NZD Bank Bill Rate	0.86%	NZD	35,770,000		12/16/2030	Quarterly		(4,353	)		(62,102	)		(57,749	)
3 Month SEK STIBOR	0.34%	SEK	288,510,000		12/16/2030	Quarterly		(75,165	)		(34,726	)		40,439
0.30%	3 Month SEK STIBOR	SEK	39,100,000		12/16/2030	Quarterly		—			21,896			21,896
0.31%	3 Month SEK STIBOR	SEK	52,400,000		12/16/2030	Quarterly		—			22,069			22,069
3 Month SEK STIBOR	0.30%	SEK	25,500,000		12/16/2030	Quarterly		—			(12,657	)		(12,657	)
0.37%	3 Month SEK STIBOR	SEK	47,900,000		12/16/2030	Quarterly		267			(10,860	)		(11,127	)
0.39%	3 Month SEK STIBOR	SEK	41,690,000		12/16/2030	Quarterly		—			(21,992	)		(21,992	)
0.39%	3 Month SEK STIBOR	SEK	33,700,000		12/16/2030	Quarterly		—			(17,387	)		(17,387	)
(0.18)%	6 Month EURIBOR	EUR	74,580,000		12/18/2030	Semi-Annually		52,674			(655,139	)		(707,813	)
(0.21)%	6 Month EURIBOR	EUR	59,850,000		12/18/2030	Semi-Annually		(24,341	)		(342,097	)		(317,756	)
(0.18)%	6 Month EURIBOR	EUR	4,600,000		12/18/2030	Semi-Annually		(16,380	)		(43,231	)		(26,851	)
0.45%	6 Month GBP LIBOR	GBP	23,390,000		12/18/2030	Semi-Annually		(9,825	)		90,255			100,080
0.36%	6 Month GBP LIBOR	GBP	2,820,000		12/18/2030	Semi-Annually		(248	)		44,530			44,778
6 Month GBP LIBOR	0.54%	GBP	4,880,000		12/18/2030	Semi-Annually		10,357			36,163			25,806
6 Month GBP LIBOR	0.53%	GBP	5,570,000		12/18/2030	Semi-Annually		8,162			36,107			27,945
0.70%	3 Month USD LIBOR	USD	14,720,000		12/18/2030	Quarterly		19,285			218,229			198,944
0.88%	3 Month USD LIBOR	USD	62,110,000		12/18/2030	Quarterly		(228,759	)		(180,309	)		48,450
3 Month USD LIBOR	0.82%	USD	5,080,000		12/18/2030	Quarterly		(3,637	)		(15,604	)		(11,967	)
3 Month USD LIBOR	0.75%	USD	2,740,000		12/18/2030	Quarterly		679			(27,203	)		(27,882	)
0.86%	3 Month USD LIBOR	USD	3,380,000		12/18/2030	Quarterly		—			(2,198	)		(2,198	)
0.85%	3 Month USD LIBOR	USD	3,380,000		12/18/2030	Quarterly		—			(46	)		(46	)
0.85%	3 Month USD LIBOR	USD	6,940,000		12/18/2030	Quarterly		—			(434	)		(434	)
0.86%	3 Month USD LIBOR	USD	6,850,000		12/18/2030	Quarterly		—			(8,145	)		(8,145	)
0.88%	3 Month USD LIBOR	USD	7,340,000		12/18/2030	Quarterly		—			(19,511	)		(19,511	)
							$	(387,544	)	$	(1,919,645	)	$	(1,532,101	)

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

2,383,206

02/25/2021

Quarterly

—

79,406

79,406

Total Return on MSCI ACWI Commodity Producers Index

3 Month USD LIBOR plus a spread of (0.35)%

MSCI

USD

6,887,089

02/25/2021

Quarterly

—

229,470

229,470

Total Return on MSCI ACWI Commodity Producers Index

3 Month USD LIBOR plus a spread of (0.35)%

MSCI

USD

6,341,577

02/25/2021

Quarterly

—

211,294

211,294

1 Month FED Funds Rate plus 0.15% (g)

Total Return on Bloomberg Commodity Index

MSCI

USD

2,456,470

08/20/2021

Monthly

3,334

7,386

4,052

Total Return on Equity Basket (h)

1 Month FED Funds Rate minus 0.50%

GS

USD

90,215

05/24/2022

Monthly

—

9,993

9,993

Total Return on Equity Basket (h)

1 Month FED Funds Rate minus 0.75%

GS

USD

88,444

05/24/2022

Monthly

—

721

721

1 Month FED Funds Rate plus 0.60%

Total Return on Equity Basket(h)

GS

USD

97,754

05/24/2022

Monthly

—

404

404

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

OTC Total Return Swaps — continued

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (h)	1 Month FED Funds Rate minus 0.40%	MORD		USD	1,540,173		10/18/2022		Monthly		—		(32,829	)		(32,829	)
1 Month FED Funds Rate plus 0.95%	Total Return on Equity Basket (h)	MORD		USD	51,891		10/18/2022		Monthly		—		1,078			1,078
										$	3,334	$	506,923		$	503,589

As of November 30, 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) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) Investment valued using significant unobservable inputs.

(f) The rate disclosed is the 7 day net yield as of November 30, 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) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

The rates shown on variable rate notes are the current interest rates at November 30, 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

CVA - Certificaaten van aandelen (Share Certificates)

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.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 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 Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	7,650,737	GMO Emerging Country Debt Fund, Class IV		210,012,724
	3,803,989	GMO High Yield Fund, Class VI		79,122,969
	456,670,191	GMO Implementation Fund		5,662,710,366
	12,850,716	GMO Opportunistic Income Fund, Class VI		336,174,727
	5,590,398	GMO SGM Major Markets Fund, Class VI		184,650,858
	5,713,838	GMO Special Opportunities Fund, Class VI		181,414,366
		TOTAL MUTUAL FUNDS (COST $6,958,992,770)		6,654,086,010
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	3,796,402	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		3,796,402
		TOTAL SHORT-TERM INVESTMENTS (COST $3,796,402)		3,796,402
		TOTAL INVESTMENTS — 100.1% (Cost $6,962,789,172)		6,657,882,412
		Other Assets and Liabilities (net) — (0.1%)		(3,369,446	)
		TOTAL NET ASSETS — 100.0%		$6,654,512,966

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2020.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 67.0%
		Argentina — 0.0%
	15,000	Banco BBVA Argentina SA ADR *		48,000
	4,200	Globant SA *		792,456
	22,800	Grupo Financiero Galicia SA ADR		196,308
		Total Argentina		1,036,764
		Australia — 1.0%
	83,959	Accent Group Ltd		133,173
	25,859	Adairs Ltd		60,162
	17,132	Ampol Ltd		385,316
	43,739	Ansell Ltd		1,196,366
	87,031	Asaleo Care Ltd		63,975
	13,577	AUB Group Ltd		166,415
	54,997	Austal Ltd		117,883
	236,680	Australian Pharmaceutical Industries Ltd		209,147
	30,888	Aventus Group (REIT)		60,567
	9,715	BHP Group Ltd		270,915
	127,008	BlueScope Steel Ltd		1,589,181
	19,756	Codan Ltd		153,260
	17,565	Computershare Ltd		184,044
	156,729	Dexus (REIT)		1,122,914
	428,225	Fortescue Metals Group Ltd		5,705,069
	39,768	GDI Property Group (REIT)		33,609
	133,824	Genworth Mortgage Insurance Australia Ltd		259,749
	449,084	GPT Group (The) (REIT)		1,552,139
	61,671	JB Hi-Fi Ltd		2,071,527
	29,709	McMillan Shakespeare Ltd		259,144
	278,478	Mirvac Group (REIT)		526,149
	99,102	Mount Gibson Iron Ltd		54,434
	23,169	Rio Tinto Ltd		1,728,616
	136,209	Sandfire Resources NL		438,392
	775,864	Scentre Group (REIT) (a)		1,587,099
	79,024	Sigma Healthcare Ltd *		32,477
	243,512	Stockland (REIT)		808,742
	13,140	Virtus Health Ltd * (a)		51,502
		Total Australia		20,821,966
		Austria — 0.0%
	2,781	AT&S Austria Technologie & Systemtechnik AG		66,479
	2,078	Vienna Insurance Group AG Wiener Versicherung Gruppe		49,503
		Total Austria		115,982
		Belgium — 0.3%
	43,034	Ageas SA/NV		2,106,971
	40,687	AGFA-Gevaert NV *		168,387
	12,340	bpost SA		148,862
	4,523	Etablissements Franz Colruyt NV		269,579
	260	Sofina SA		82,533
	26,646	UCB SA (b)		2,851,459
		Total Belgium		5,627,791

Shares		Description	Value ($)
		Brazil — 0.8%
	132,900	Banco do Brasil SA		839,958
	291,300	Camil Alimentos SA		605,720
	139,500	Cia de Saneamento Basico do Estado de Sao Paulo		1,159,766
	333,800	Cia de Saneamento do Parana		1,557,658
	38,000	Cia Paranaense de Energia		462,250
	270,500	Cielo SA		179,243
	208,000	Cogna Educacao *		182,088
	63,700	Dimed SA Distribuidora da Medicamentos		262,177
	33,100	Grendene SA		51,157
	149,100	IRB Brasil Resseguros SA		184,517
	69,700	Mahle-Metal Leve SA		249,533
	183,400	Marfrig Global Foods SA *		502,541
	1,276,140	Petrobras Distribuidora SA		4,890,274
	21,200	Porto Seguro SA		187,569
	43,700	Qualicorp Consultoria e Corretora de Seguros SA		270,566
	318,400	Telefonica Brasil SA		2,659,574
	286,100	TIM SA		720,403
	138,600	Tupy SA *		554,928
	53,700	WEG SA		737,430
		Total Brazil		16,257,352
		Canada — 1.1%
	16,100	AGF Management Ltd – Class B		69,175
	700	Bank of Montreal		50,305
	2,800	Bank of Nova Scotia (The)		136,259
	51,819	Brookfield Asset Management Inc – Class A (b)		2,098,151
	12,237	BRP Inc Sub Voting		698,113
	16,600	Canaccord Genuity Group Inc (a)		114,271
	13,000	Canadian Apartment Properties (REIT)		512,112
	5,900	Canadian Imperial Bank of Commerce		497,368
	2,100	Canadian Tire Corp Ltd – Class A		268,374
	1,400	Canfor Pulp Products Inc		6,306
	33,300	Cascades Inc		374,359
	58,700	Celestica Inc *		442,047
	42,100	CI Financial Corp		551,738
	4,200	Cogeco Inc		257,265
	1,400	DREAM Unlimited Corp – Class A		21,000
	600	Enghouse Systems Ltd		30,950
	83,800	Fortuna Silver Mines Inc *		533,631
	8,259	iA Financial Corp Inc		361,661
	18,900	IGM Financial Inc (a)		499,896
	33,000	Imperial Oil Ltd (a)		571,218
	9,200	Linamar Corp		423,765
	26,200	Magna International Inc		1,606,659
	48,900	Manulife Financial Corp		833,262
	23,500	Martinrea International Inc		257,311
	3,000	Morguard North American Residential Real Estate Investment Trust		37,099
	38,000	Nutrien Ltd		1,872,260
	55,400	Power Corp of Canada		1,247,321
	11,300	Real Matters Inc *		166,711

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	24,900	RioCan Real Estate Investment Trust		336,295
	53,300	Royal Bank of Canada		4,352,813
	20,200	Sun Life Financial Inc (b)		897,000
	6,000	Teekay Tankers Ltd – Class A * (a)		69,840
	75,600	TELUS Corp (a)		1,458,212
	10,600	TFI International Inc		537,876
	24,600	Toronto-Dominion Bank (The)		1,312,303
	18,600	Tourmaline Oil Corp		258,942
	33,900	Transcontinental Inc – Class A (a)		503,266
	5,500	Wajax Corp		71,995
	8,900	Westshore Terminals Investment Corp (a)		113,486
		Total Canada		24,450,615
		Chile — 0.0%
	390,826	Aguas Andinas SA – Class A		113,365
	11,671	Empresa Nacional de Telecomunicaciones SA		70,770
	2,700	Enel Americas SA ADR		19,602
	5,354	Inversiones La Construccion SA		33,438
		Total Chile		237,175
		China — 12.4%
	44,000	7Road Holdings Ltd *		15,063
	3,381,668	Agile Group Holdings Ltd		4,882,592
	18,411,800	Agricultural Bank of China Ltd – Class H		6,990,852
	6,000	AK Medical Holdings Ltd		9,452
	20,200	Alibaba Group Holding Ltd *		663,604
	61,900	Alibaba Group Holding Ltd Sponsored ADR *		16,301,984
	1,517,084	Anhui Conch Cement Co Ltd – Class H (b)		9,696,994
	180,500	Anhui Expressway Co Ltd – Class H		102,850
	46,000	Asia Cement China Holdings Corp		45,928
	100	Autohome Inc ADR		9,442
	5,576,000	BAIC Motor Corp Ltd – Class H		2,086,972
	15,900	Baidu Inc Sponsored ADR * (b)		2,209,941
	33,833,000	Bank of China Ltd – Class H		11,941,575
	17,563,000	Bank of Communications Co Ltd – Class H		9,705,449
	36,000	Beijing Enterprises Holdings Ltd		116,653
	314,300	Beijing North Star Co Ltd – Class H		65,252
	64,500	BEST Inc ADR *		188,985
	38,100	BYD Co Ltd – Class A		991,120
	37,000	BYD Electronic International Co Ltd		183,019
	10,606,000	China Cinda Asset Management Co Ltd – Class H		2,065,256
	531,000	China Communications Construction Co Ltd – Class H		275,233
	3,527,357	China Communications Services Corp Ltd – Class H		1,879,808
	12,853,000	China Construction Bank Corp – Class H		10,047,608
	460,000	China Dongxiang Group Co Ltd		53,401
	402,000	China Eastern Airlines Corp Ltd – Class H		181,524
	3,195,000	China Everbright Bank Co Ltd – Class H		1,246,246
	816,000	China Feihe Ltd		1,948,777
	1,058,000	China Greenfresh Group Co Ltd * (c)		11,056

Shares		Description	Value ($)
		China — continued
	161,000	China Hongqiao Group Ltd		140,592
	10,488,000	China Huarong Asset Management Co Ltd – Class H		1,202,336
	616,000	China Jinmao Holdings Group Ltd		317,445
	26,000	China Kepei Education Group Ltd		20,136
	3,225,000	China Lesso Group Holdings Ltd		5,764,653
	84,000	China Life Insurance Co Ltd – Class H		189,564
	508,000	China Lilang Ltd		348,506
	1,817,000	China Machinery Engineering Corp – Class H		379,896
	3,579,645	China Medical System Holdings Ltd		3,655,037
	1,566,000	China Mobile Ltd (b)		9,341,506
	4,500	China Mobile Ltd Sponsored ADR		134,325
	6,468,000	China National Building Material Co Ltd – Class H		8,479,742
	712,000	China Oriental Group Co Ltd		213,376
	423,000	China Overseas Grand Oceans Group Ltd		252,281
	690,000	China Overseas Land & Investment Ltd		1,680,004
	105,000	China Overseas Property Holdings Ltd		68,656
	4,638	China Petroleum & Chemical Corp ADR		209,081
	15,300,000	China Petroleum & Chemical Corp – Class H		6,873,363
	162,000	China Pioneer Pharma Holdings Ltd		20,704
	5,648,500	China Railway Construction Corp Ltd – Class H		3,732,637
	13,237,042	China Railway Group Ltd – Class H		6,534,070
	421,000	China Railway Signal & Communication Corp Ltd – Class H		149,367
	1,628,000	China Reinsurance Group Corp – Class H		172,141
	482,000	China Resources Cement Holdings Ltd		598,609
	42,000	China Resources Gas Group Ltd		202,427
	530,000	China Resources Land Ltd		2,293,674
	4,167,000	China Resources Pharmaceutical Group Ltd		2,253,128
	199,000	China SCE Group Holdings Ltd		91,127
	408,979	China Shenhua Energy Co Ltd – Class H		788,788
	725,000	China Shineway Pharmaceutical Group Ltd		495,950
	13,800	China Taiping Insurance Holdings Co Ltd		24,403
	13,242,000	China Telecom Corp Ltd – Class H		3,984,839
	412,000	China Traditional Chinese Medicine Holdings Co Ltd		193,630
	372,525	China Vanke Co Ltd – Class H		1,414,905
	15,400	China Yuchai International Ltd		259,336
	1,348,800	China Zhongwang Holdings Ltd *		293,769
	229,000	Chongqing Rural Commercial Bank Co Ltd – Class H		98,191
	430,000	COSCO Shipping Energy Transportation Co Ltd – Class H		189,174
	3,480,604	Country Garden Holdings Co Ltd		4,589,832
	25,000	Country Garden Services Holdings Co Ltd		139,687
	43,500	Dali Foods Group Co Ltd		26,940
	1,746,000	Dongfeng Motor Group Co Ltd – Class H		1,796,354
	1,966,000	Dongyue Group Ltd		1,025,444
	130,000	Edvantage Group Holdings Ltd		134,226
	1,015,500	Fantasia Holdings Group Co Ltd *		197,703
	363,500	Fosun International Ltd		524,542
	57,000	Fu Shou Yuan International Group Ltd		57,368

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		China — continued
	687,000	Geely Automobile Holdings Ltd		1,900,536
	1,550,500	Great Wall Motor Co Ltd – Class H		3,135,343
	157,000	Greenland Hong Kong Holdings Ltd		48,531
	708,000	Guangdong Investment Ltd		1,173,933
	11,800	Guangdong Tapai Group Co Ltd – Class A		24,520
	350,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		899,857
	1,059,600	Guangzhou R&F Properties Co Ltd – Class H		1,382,683
	131,000	Guotai Junan Securities Co Ltd – Class H		192,975
	323,000	Haier Electronics Group Co Ltd		1,539,777
	43,000	Haitian International Holdings Ltd		116,494
	125,500	Hebei Construction Group Corp Ltd – Class H		356,240
	8,500	Hengan International Group Co Ltd		58,463
	238,987	Hisense Home Appliances Group Co Ltd – Class A		542,496
	368,000	Hisense Home Appliances Group Co Ltd – Class H		553,117
	20,700	Hollysys Automation Technologies Ltd		261,027
	434,000	Hopson Development Holdings Ltd		1,133,779
	1,598,000	Huabao International Holdings Ltd		2,174,736
	2,372,000	IGG Inc		2,367,381
	8,326,000	Industrial & Commercial Bank of China Ltd – Class H		5,259,741
	1,000	JOYY Inc ADR		89,070
	1,100	KE Holdings Inc ADR *		71,863
	85,500	Kingboard Holdings Ltd		326,671
	113,000	Kingboard Laminates Holdings Ltd		182,300
	205,000	KWG Living Group Holdings Ltd *		158,688
	295,500	KWG Property Holding Ltd		404,267
	6,389	Lao Feng Xiang Co Ltd – Class A		45,831
	837,000	Legend Holdings Corp – Class H		1,139,665
	473,481	Livzon Pharmaceutical Group Inc – Class H		1,865,256
	258,000	Logan Group Co Ltd		431,908
	232,000	Longfor Group Holdings Ltd		1,516,080
	3,488,000	Lonking Holdings Ltd		1,007,149
	24,000	Lufax Holding Ltd *		395,280
	1,704,000	Metallurgical Corp of China Ltd – Class H		309,852
	58,900	Momo Inc Sponsored ADR		846,982
	48,000	NetEase Inc		893,280
	95,300	NetEase Inc ADR (b)		8,612,261
	51,300	New China Life Insurance Co Ltd – Class A		478,156
	833,000	Nexteer Automotive Group Ltd		882,979
	2,235,000	Nine Dragons Paper Holdings Ltd		2,936,639
	908,000	PAX Global Technology Ltd		564,246
	7,640,000	PICC Property & Casualty Co Ltd – Class H		6,303,834
	765,000	Poly Property Group Co Ltd		236,899
	4,215,000	Postal Savings Bank of China Co Ltd – Class H		2,382,468
	1,668,000	Powerlong Real Estate Holdings Ltd		1,204,065
	144,000	Qingling Motors Co Ltd – Class H		28,249
	244,000	Road King Infrastructure Ltd		327,376
	144,000	Seazen Group Ltd *		127,440
	318,000	Shanghai Electric Group Co Ltd – Class H *		91,490
	59,000	Shanghai Industrial Holdings Ltd		87,689

Shares		Description	Value ($)
		China — continued
	298,000	Shanghai Jin Jiang Capital Co Ltd – Class H		48,727
	2,281,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		3,858,727
	144,000	Shenzhen Expressway Co Ltd – Class H		143,609
	420,858	Shenzhen Investment Ltd		154,037
	10,500	Shenzhou International Group Holdings Ltd		176,478
	2,136,500	Shimao Group Holdings Ltd		7,963,114
	390,500	Sino-Ocean Land Holdings Ltd		82,120
	147,000	Sinopec Engineering Group Co Ltd – Class H		65,051
	4,130,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		915,095
	2,332,000	Sinopharm Group Co Ltd – Class H		5,772,284
	1,314,000	Sinotruk Hong Kong Ltd		3,274,386
	1,030,000	Skyworth Group Ltd *		281,131
	310,000	SOHO China Ltd *		96,387
	1,689,000	TCL Electronics Holdings Ltd *		1,329,891
	65,500	Tencent Holdings Ltd		4,774,798
	9,200	Tencent Holdings Ltd ADR		671,600
	231,500	Texhong Textile Group Ltd		213,723
	610,000	Tianjin Port Development Holdings Ltd		47,132
	2,070,000	Tianneng Power International Ltd		4,343,061
	136,300	Vipshop Holdings Ltd ADR *		3,481,102
	51,000	Weichai Power Co Ltd – Class H		104,156
	975,485	Weifu High-Technology Group Co Ltd – Class A		3,841,293
	4,382,000	West China Cement Ltd		682,958
	12,100	Wuhu Sanqi Interactive Entertainment Network Technology Group Co Ltd – Class A		48,076
	173,600	Xiaomi Corp – Class B *		592,693
	435,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		264,745
	194,500	Xtep International Holdings Ltd		82,745
	730,000	Yuexiu Property Co Ltd		151,742
	100	Yum China Holdings Inc (a)		5,638
	1,924,000	Yuzhou Group Holdings Co Ltd		764,696
	686,000	Zhongsheng Group Holdings Ltd (b)		5,157,833
	127,000	Zhuzhou Kibing Group Co Ltd – Class A		224,509
	264,400	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		276,032
		Total China		262,429,231
		Cyprus — 0.0%
	16,500	QIWI Plc Sponsored ADR		240,240
		Czech Republic — 0.0%
	34,220	Moneta Money Bank AS *		101,665
		Denmark — 0.2%
	93,579	Danske Bank A/S *		1,540,582
	31,272	Demant A/S *		1,179,709
	7,316	Matas A/S *		94,439
	14,843	Pandora A/S		1,488,228
	20,726	Scandinavian Tobacco Group A/S		318,936
		Total Denmark		4,621,894

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Egypt — 0.0%
	3,031	Commercial International Bank Egypt SAE		12,077
		Finland — 0.2%
	2,416	Aktia Bank Oyj *		28,805
	3,798	Kesko Oyj – B Shares		99,431
	42,507	Neste Oyj		2,840,329
	211,793	Nokia Oyj *		844,631
	6,736	Tokmanni Group Corp		122,504
	7,932	UPM-Kymmene Oyj		260,267
	3,342	Uponor Oyj		67,948
		Total Finland		4,263,915
		France — 1.5%
	1,553	AKWEL		38,204
	1,984	ALD SA		25,386
	30,243	APERAM SA (a)		1,149,471
	14,301	Arkema SA		1,665,447
	902	Assystem SA		26,826
	15,147	Atos SE *		1,382,629
	839	Axway Software SA *		23,414
	53,501	BNP Paribas SA *		2,723,265
	721	Boiron SA		32,899
	680	Bonduelle SCA		16,004
	683	Christian Dior SE		348,270
	3,673	Cie de Saint-Gobain *		173,997
	6,934	Credit Agricole SA *		79,999
	45,243	Derichebourg SA		177,381
	3,312	Eiffage SA *		323,806
	917	Fnac Darty SA *		49,027
	4,282	Gaztransport Et Technigaz SA		423,214
	1,371	GL Events * (a)		16,396
	337	Groupe Crit *		24,373
	389	HEXAOM *		16,191
	18,204	IPSOS		581,594
	2,769	Kaufman & Broad SA		117,796
	2,720	Kering SA		1,963,760
	1,757	L’Oreal SA (b)		646,745
	3,811	LVMH Moet Hennessy Louis Vuitton SE		2,189,022
	21,950	Metropole Television SA *		344,156
	1,298	Nexans SA *		81,773
	149,169	Peugeot SA * (b)		3,499,700
	38,383	Publicis Groupe SA		1,729,621
	21,953	Quadient SA		392,436
	6	Renault SA * (d)		239
	45,739	Renault SA * (d)		1,815,922
	1,204	Rothschild & Co *		37,577
	19,858	Safran SA * (b)		2,894,780
	25,594	Sanofi		2,579,845
	355	SEB SA		62,885
	393	Societe BIC SA		23,262
	55,482	Societe Generale SA *		1,100,083
	193	Sopra Steria Group *		29,262

Shares		Description	Value ($)
		France — continued
	17,197	STMicroelectronics NV – NY Shares		681,861
	695	Synergie SA *		23,545
	5,603	Television Francaise 1 * (a)		43,304
	797	TOTAL SE		33,829
	8,338	Unibail-Rodamco-Westfield (REIT)		586,694
	30,451	Valeo SA		1,174,794
	4,488	Vicat SA		182,778
	369	Vilmorin & Cie SA		21,942
		Total France		31,555,404
		Germany — 1.2%
	2,523	Allianz SE (Registered)		591,354
	732	Amadeus Fire AG *		103,707
	108,343	Aroundtown SA *		749,848
	9,076	Aurubis AG		689,791
	28,401	Bayer AG (Registered)		1,636,287
	7,085	Bayerische Motoren Werke AG		614,762
	1,204	Bechtle AG		262,838
	327	bet-at-home.com AG		12,588
	8,894	Borussia Dortmund GmbH & Co KGaA *		60,265
	5,606	Brenntag AG		429,298
	1,732	Carl Zeiss Meditec AG		230,301
	58,557	CECONOMY AG *		288,473
	478	Cewe Stiftung & Co KGaA		51,719
	17,584	CropEnergies AG		291,118
	32,511	Daimler AG (Registered)		2,176,654
	113,782	Deutsche Lufthansa AG (Registered) * (a)		1,311,782
	128,948	Deutsche Pfandbriefbank AG *		1,284,451
	25,191	Deutz AG *		144,399
	78,753	Dialog Semiconductor Plc *		4,202,853
	1,823	Draegerwerk AG & Co KGaA		131,778
	5,016	DWS Group GmbH & Co KGaA		195,339
	2,691	Eckert & Ziegler Strahlen- und Medizintechnik AG		138,419
	2,334	Elmos Semiconductor SE		74,526
	5,375	Fresenius SE & Co KGaA		240,312
	4,682	Hamburger Hafen und Logistik AG		102,162
	41,278	HeidelbergCement AG (b)		2,920,238
	3,876	Henkel AG & Co KGaA		373,967
	5,262	Hornbach Baumarkt AG		241,452
	6,389	Hornbach Holding AG & Co KGaA		680,198
	1,882	KWS Saat SE & Co KGaA *		142,651
	3,130	Merck KGaA		499,799
	6,324	Siemens AG (Registered)		844,093
	32,517	Software AG (b)		1,396,352
	22,716	Takkt AG *		292,380
	1,082	Talanx AG *		39,652
	17,222	VERBIO Vereinigte BioEnergie AG		534,454
	4,192	Volkswagen AG		774,851
		Total Germany		24,755,111

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Greece — 0.0%
	12,055	FF Group (e)		—
	15,736	JUMBO SA		279,035
	8,465	Motor Oil Hellas Corinth Refineries SA		108,144
		Total Greece		387,179
		Hong Kong — 0.8%
	112,500	BOC Hong Kong Holdings Ltd		366,116
	28,700	Budweiser Brewing Co APAC Ltd		98,527
	158,400	Champion (REIT)		94,888
	142,000	Chow Sang Sang Holdings International Ltd		171,955
	67,800	Chow Tai Fook Jewellery Group Ltd		88,505
	1,108,000	CITIC Telecom International Holdings Ltd		368,567
	218,500	CK Hutchison Holdings Ltd		1,584,916
	550,000	CSI Properties Ltd		15,445
	100,500	Dah Sing Banking Group Ltd		107,742
	133,200	Dah Sing Financial Holdings Ltd		391,921
	3,736,000	First Pacific Co Ltd		1,140,565
	730,000	Giordano International Ltd		110,398
	226,000	HKT Trust & HKT Ltd – Class SS		295,384
	202,700	Hongkong Land Holdings Ltd		822,850
	389,000	Johnson Electric Holdings Ltd		916,413
	113,000	K Wah International Holdings Ltd		56,211
	34,500	Kerry Logistics Network Ltd		75,625
	386,500	Kerry Properties Ltd		990,222
	36,800	Luk Fook Holdings International Ltd		92,977
	179,000	Pacific Textiles Holdings Ltd		123,340
	2,151,000	PCCW Ltd		1,305,340
	848,000	Shun Tak Holdings Ltd		267,545
	60,500	SmarTone Telecommunications Holdings Ltd		33,485
	130,000	Sun Hung Kai & Co Ltd		58,154
	3,000	Sun Hung Kai Properties Ltd		39,877
	25,000	Swire Pacific Ltd – Class A		143,255
	180,000	Texwinca Holdings Ltd		35,916
	132,000	VSTECS Holdings Ltd		110,963
	252,800	VTech Holdings Ltd		1,947,328
	3,376,500	WH Group Ltd		2,750,739
	84,000	Wharf Holdings Ltd (The)		207,792
	120,000	Xinyi Glass Holdings Ltd		269,123
	536,500	Yue Yuen Industrial Holdings Ltd		1,101,317
		Total Hong Kong		16,183,401
		Hungary — 0.1%
	160,693	Magyar Telekom Telecommunications Plc		207,438
	41,523	Richter Gedeon Nyrt		984,019
		Total Hungary		1,191,457
		India — 1.8%
	20,481	Asian Paints Ltd		605,373
	116,190	Aurobindo Pharma Ltd		1,349,795
	57,974	Bajaj Auto Ltd		2,474,355
	82,729	Balrampur Chini Mills Ltd		182,613

Shares		Description	Value ($)
		India — continued
	1,269	Bosch Ltd		217,761
	263,490	Cadila Healthcare Ltd		1,588,934
	6,868	Cochin Shipyard Ltd		34,291
	49,305	Dr Reddy’s Laboratories Ltd		3,202,180
	55,300	Dr Reddy’s Laboratories Ltd ADR		3,627,127
	69,750	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		196,385
	740,521	HCL Technologies Ltd		8,184,640
	17,815	HDFC Bank Ltd *		343,382
	64,671	Hindalco Industries Ltd		194,721
	27,502	Hindustan Petroleum Corp Ltd		77,298
	21,163	Hindustan Unilever Ltd		608,980
	20,265	Housing Development Finance Corp Ltd		609,714
	107,289	ICICI Bank Ltd *		685,281
	459,145	Indiabulls Housing Finance Ltd		1,145,192
	402,779	Indian Oil Corp Ltd		455,590
	37,700	Infosys Ltd Sponsored ADR		573,794
	30,989	Kotak Mahindra Bank Ltd *		784,450
	50,233	LIC Housing Finance Ltd		222,893
	4	Muthoot Finance Ltd		62
	97,804	NTPC Ltd		122,432
	1,441,278	Oil & Natural Gas Corp Ltd		1,509,794
	1,724,845	Power Finance Corp Ltd		2,501,041
	356,414	PTC India Ltd		262,164
	21,371	Rajesh Exports Ltd *		129,770
	2,864,952	REC Ltd		4,576,004
	13,180	Sonata Software Ltd		60,640
	2	Sun TV Network Ltd		12
	15,326	Tata Consultancy Services Ltd		550,368
	22,937	Tata Motors Ltd *		54,556
	25,137	Titan Co Ltd		449,372
	124,503	Wipro Ltd		589,058
		Total India		38,170,022
		Indonesia — 0.4%
	614,300	Astra International Tbk PT		230,009
	62,700	Bank BTPN Syariah Tbk PT		18,347
	1,020,400	Bank Central Asia Tbk PT		2,241,149
	1,602,100	Bank Mandiri Persero Tbk PT		718,575
	1,384,700	Bank Negara Indonesia Persero Tbk PT		587,202
	2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		116,430
	8,108,300	Bank Rakyat Indonesia Persero Tbk PT		2,345,128
	1,977,600	Bank Tabungan Negara Persero Tbk PT		230,547
	2,415,700	Bukit Asam Tbk PT		403,468
	1,680,900	Hanjaya Mandala Sampoerna Tbk PT		181,542
	223,000	Indah Kiat Pulp & Paper Corp Tbk PT		136,917
	260,200	Indo Tambangraya Megah Tbk PT		241,396
	595,800	Matahari Department Store Tbk PT *		53,343
	1,593,100	Pakuwon Jati Tbk PT *		56,459
	1,417,500	Panin Financial Tbk PT *		22,462
	2,660,100	Ramayana Lestari Sentosa Tbk PT		137,409
	254,000	Unilever Indonesia Tbk PT		138,864

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	57,200	United Tractors Tbk PT		93,137
	558,000	XL Axiata Tbk PT		95,239
		Total Indonesia		8,047,623
		Ireland — 0.3%
	119,693	AIB Group Plc * (a)		214,959
	179,315	Bank of Ireland Group Plc *		561,813
	3,941	CRH Plc *		155,012
	19,400	CRH Plc Sponsored ADR		761,450
	556	Flutter Entertainment Plc *		101,301
	9,518	Glanbia Plc		117,056
	307,199	Hibernia REIT Plc		419,469
	155,047	Irish Residential Properties REIT Plc		258,103
	2,732	Kingspan Group Plc *		238,355
	54,941	Origin Enterprises Plc		234,854
	32,738	Permanent TSB Group Holdings Plc *		24,375
	126,930	Ryanair Holdings Plc *		2,313,249
	41,834	Smurfit Kappa Group Plc (d)		1,779,872
	2,166	Smurfit Kappa Group Plc (d)		90,864
	28,153	Total Produce Plc *		47,479
		Total Ireland		7,318,211
		Israel — 0.1%
	530	Fox Wizel Ltd		45,610
	23,322	Isracard Ltd		76,038
	458	Israel Corp Ltd (The) *		78,025
	477,592	Oil Refineries Ltd *		103,405
	143,900	Teva Pharmaceutical Industries Ltd Sponsored ADR *		1,368,489
		Total Israel		1,671,567
		Italy — 0.9%
	63,827	A2A SPA		97,649
	6,500	ACEA SPA		137,793
	191,783	Anima Holding SPA		844,567
	5,369	Biesse SPA *		108,159
	86,897	Buzzi Unicem SPA (a) (b)		2,126,414
	5,071	Buzzi Unicem SPA – RSP		83,008
	15,485	Cementir Holding NV		127,445
	49,102	CNH Industrial NV *		534,956
	55,960	Cofide SPA *		31,754
	22,116	Credito Emiliano SPA *		123,048
	3,140	De’ Longhi SPA *		109,625
	1,622	El.En. SPA *		47,948
	48,977	Enav SPA		215,602
	303,350	Enel SPA (b)		3,043,456
	85,106	EXOR NV		5,953,114
	290,223	Hera SPA		1,057,937
	93,876	Intesa Sanpaolo SPA *		217,461
	9,031	La Doria SPA		137,658
	107,222	Leonardo SPA		778,347
	1,923	MARR SPA *		36,175

Shares		Description	Value ($)
		Italy — continued
	49,751	Saras SPA * (a)		32,205
	1,481	Sesa SPA *		148,757
	1,986,541	Telecom Italia SPA		936,214
	2,899,579	Telecom Italia SPA – RSP		1,483,101
	2,463	Unieuro SPA *		37,114
	97,890	Unipol Gruppo SPA *		472,112
		Total Italy		18,921,619
		Japan — 8.8%
	12,400	ADEKA Corp		196,075
	137,500	Aeon Mall Co Ltd		2,197,530
	6,100	Aichi Corp		54,125
	14,800	Aida Engineering Ltd		124,815
	6,000	Altech Corp		119,772
	264,800	Amada Co Ltd (b)		2,538,267
	34,700	Amano Corp		813,872
	6,600	AOKI Holdings Inc		25,816
	4,600	Arata Corp		218,293
	21,800	Arcland Sakamoto Co Ltd		373,254
	61,000	Arcs Co Ltd		1,273,939
	242,800	Asahi Kasei Corp (b)		2,219,782
	176,800	Asics Corp (b)		3,177,499
	214,500	Astellas Pharma Inc (b)		3,055,238
	3,600	Bando Chemical Industries Ltd		19,784
	4,400	BeNEXT Group Inc (a)		47,871
	91,900	Brother Industries Ltd		1,755,394
	10,800	Bunka Shutter Co Ltd		94,112
	1,600	Cawachi Ltd		45,845
	3,400	Central Glass Co Ltd		72,148
	10,400	Central Japan Railway Co		1,321,746
	1,600	Chiyoda Integre Co Ltd		23,303
	149,600	Chugoku Marine Paints Ltd		1,422,002
	1,200	Cleanup Corp		5,298
	4,300	CONEXIO Corp		50,661
	3,700	Credit Saison Co Ltd		42,299
	5,400	Dai Nippon Toryo Co Ltd		47,755
	1,500	Dai-Dan Co Ltd		39,854
	41,900	Daihen Corp		1,814,860
	1,900	Daiichi Jitsugyo Co Ltd		73,272
	1,900	Dainichiseika Color & Chemicals Manufacturing Co Ltd		43,408
	1,600	Daishi Hokuetsu Financial Group Inc		36,055
	18,700	Daiwa House Industry Co Ltd		571,471
	5,200	Daiwa Industries Ltd		50,991
	53,400	Daiwabo Holdings Co Ltd (b)		3,332,771
	87,000	Denka Co Ltd (b)		2,684,351
	39,900	Doshisha Co Ltd		765,893
	4,600	DTS Corp		96,725
	65,600	Ebara Corp		2,092,208
	3,200	Ehime Bank Ltd (The)		32,877
	6,400	Elecom Co Ltd		293,106
	40,300	Electric Power Development Co Ltd		540,890

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	8,500	FAN Communications Inc		33,924
	59,400	Fuji Corp		1,435,150
	11,600	Fuji Electric Co Ltd		410,722
	5,900	Fujimi Inc		205,470
	1,500	Fujimori Kogyo Co Ltd		67,728
	5,700	Fujitec Co Ltd		115,979
	16,400	Fujitsu Ltd		2,268,745
	2,600	Furuno Electric Co Ltd		29,507
	3,000	G-7 Holdings Inc		69,776
	17,200	Geo Holdings Corp		209,177
	28,900	GungHo Online Entertainment Inc (a)		732,851
	11,600	Gunma Bank Ltd (The)		35,936
	23,200	Gunze Ltd		797,260
	3,600	Hakuto Co Ltd		36,351
	2,000	Hanwa Co Ltd		47,678
	275,700	Haseko Corp (b)		2,979,587
	352,500	Hazama Ando Corp		2,315,560
	1,800	Heiwado Co Ltd		36,534
	14,600	Hisamitsu Pharmaceutical Co Inc		856,770
	89,600	Hitachi Ltd		3,400,656
	45,100	Hogy Medical Co Ltd		1,363,347
	67,200	Honda Motor Co Ltd		1,869,633
	50,100	Horiba Ltd (b)		2,680,294
	6,500	Inaba Denki Sangyo Co Ltd		148,772
	93,600	Inabata & Co Ltd		1,232,294
	262,000	Inpex Corp		1,451,183
	121,100	ITOCHU Corp		3,195,739
	16,400	Itochu Enex Co Ltd		157,392
	5,100	Itochu Techno-Solutions Corp		179,832
	600	Itochu-Shokuhin Co Ltd		32,327
	11,600	Itoki Corp		37,528
	1,600	Jaccs Co Ltd		27,791
	53,300	JAFCO Group Co Ltd		2,280,886
	27,800	Japan Post Insurance Co Ltd		462,499
	7,400	Japan Tobacco Inc (a)		149,792
	159,300	JVCKenwood Corp		214,981
	274,300	K’s Holdings Corp (b)		3,330,813
	104,500	Kadokawa Corp (b)		3,308,161
	6,800	Kajima Corp		89,212
	1,700	Kaken Pharmaceutical Co Ltd		62,114
	3,500	Kamei Corp		39,276
	47,700	Kanamoto Co Ltd		991,584
	156,700	Kanematsu Corp		1,804,467
	2,100	Kanematsu Electronics Ltd		81,306
	2,600	Kato Sangyo Co Ltd		86,086
	207,100	KDDI Corp (b)		5,893,313
	6,200	Keiyo Bank Ltd (The)		27,071
	390,300	Kenedix Inc (a)		2,810,410
	64,500	Kinden Corp		1,030,283
	4,500	Kissei Pharmaceutical Co Ltd		89,931
	1,600	Kiyo Bank Ltd (The)		24,227
	8,501	Kohnan Shoji Co Ltd		262,770

Shares		Description	Value ($)
		Japan — continued
	16,201	Komeri Co Ltd		440,435
	115,074	Konica Minolta Inc		367,518
	98,600	Konoike Transport Co Ltd		975,959
	3,700	Kureha Corp		186,980
	100,100	Kyowa Exeo Corp (b)		2,570,833
	22,400	Kyudenko Corp		639,232
	90,300	Macromill Inc		562,367
	1,000	Makino Milling Machine Co Ltd		40,100
	65,200	Mandom Corp		1,021,325
	57,400	Maruichi Steel Tube Ltd		1,206,709
	2,100	Maruzen Showa Unyu Co Ltd		67,258
	15,700	Marvelous Inc		136,433
	2,000	Matsuda Sangyo Co Ltd		32,892
	127,500	Maxell Holdings Ltd *		1,465,164
	23,900	MCJ Co Ltd		220,188
	22,700	Mebuki Financial Group Inc		46,490
	21,100	Meidensha Corp		365,627
	300	MEIJI Holdings Co Ltd		21,231
	9,000	METAWATER Co Ltd		203,862
	30,100	Mitsubishi Chemical Holdings Corp		165,711
	2,200	Mitsubishi Electric Corp		32,233
	66,200	Mitsubishi Gas Chemical Co Inc		1,401,188
	2,000	Mitsubishi Research Institute Inc		79,567
	840,200	Mitsubishi UFJ Financial Group Inc		3,585,397
	4,400	Mitsuboshi Belting Ltd		68,605
	2,600	Mitsui & Co Ltd		44,177
	7,700	Mitsui Chemicals Inc		215,265
	6,200	Mitsui Sugar Co Ltd		105,955
	28,800	Mixi Inc		786,966
	4,300	Mizuho Financial Group Inc		54,479
	6,100	Mizuno Corp		105,430
	1,400	Mochida Pharmaceutical Co Ltd		53,849
	88,400	MS&AD Insurance Group Holdings Inc (b)		2,571,672
	5,100	MTI Ltd		41,127
	8,800	NEC Corp		474,117
	19,300	NEC Networks & System Integration Corp		340,836
	72,900	NH Foods Ltd (b)		3,104,694
	4,700	Nichias Corp		109,289
	5,500	Nichiha Corp		171,490
	46,700	Nikkon Holdings Co Ltd		906,231
	16,500	Nippo Corp		430,081
	3,000	Nippon Flour Mills Co Ltd		46,702
	3,100	Nippon Kayaku Co Ltd		27,067
	21,500	Nippon Light Metal Holdings Co Ltd		367,125
	4,700	Nippon Soda Co Ltd		123,150
	213,100	Nippon Telegraph & Telephone Corp		5,039,870
	2,600	Nishimatsu Construction Co Ltd		48,300
	1,500	Nishio Rent All Co Ltd		29,150
	1,500	Nissin Corp		17,455
	21,400	Nissin Electric Co Ltd		238,935
	600	Nitori Holdings Co Ltd		127,570
	9,000	Nojima Corp		234,877

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	35,900	Nomura Real Estate Holdings Inc		771,643
	4,000	NS Solutions Corp		118,171
	2,800	Obara Group Inc (a)		90,694
	422,000	Obayashi Corp (b)		3,714,516
	11,900	Okamura Corp		106,323
	600	Okinawa Cellular Telephone Co		24,937
	3,900	Organo Corp (a)		220,979
	334,400	ORIX Corp (b)		4,949,578
	4,200	Osaka Soda Co Ltd		98,290
	800	Otsuka Corp		38,795
	111,000	Pacific Industrial Co Ltd		1,136,017
	6,100	Panasonic Corp		64,694
	200	Paramount Bed Holdings Co Ltd		8,136
	123,800	Penta-Ocean Construction Co Ltd		918,758
	4,300	Prima Meat Packers Ltd		119,263
	5,700	Proto Corp		57,336
	80,300	Raiznext Corp		855,347
	13,700	Resona Holdings Inc		47,753
	3,500	Rinnai Corp		408,353
	900	Rion Co Ltd		27,562
	13,700	Rohm Co Ltd		1,139,181
	3,200	Roland DG Corp		52,225
	1,300	Ryobi Ltd		15,097
	23,500	San-A Co Ltd		908,793
	9,200	San-Ai Oil Co Ltd		101,634
	11,200	San-In Godo Bank Ltd (The)		58,293
	15,300	Sanki Engineering Co Ltd		168,170
	8,300	Sanwa Holdings Corp		100,818
	3,800	Sanyo Chemical Industries Ltd		163,064
	29,200	Secom Co Ltd (b)		2,913,944
	4,900	Seiko Holdings Corp		62,983
	30,400	Sekisui Chemical Co Ltd (b)		524,044
	74,100	Sekisui House Ltd		1,328,697
	4,300	Sekisui Jushi Corp		90,444
	384,500	Shimizu Corp (b)		2,907,860
	1,300	Shindengen Electric Manufacturing Co Ltd		29,048
	6,600	Shizuoka Gas Co Ltd		62,573
	800	Sinanen Holdings Co Ltd		22,674
	9,100	Sinko Industries Ltd		149,251
	7,400	Sintokogio Ltd		50,411
	348,700	SKY Perfect JSAT Holdings Inc		1,577,598
	147,200	Sojitz Corp		321,484
	482,500	Sumitomo Chemical Co Ltd		1,704,611
	164,700	Sumitomo Dainippon Pharma Co Ltd (a)		2,076,978
	164,200	Sumitomo Forestry Co Ltd (b)		2,973,150
	3,500	Sumitomo Mitsui Financial Group Inc		100,634
	2,300	Sumitomo Seika Chemicals Co Ltd		91,253
	1,200	Sushiro Global Holdings Ltd		38,262
	5,700	Suzuki Motor Corp		305,680
	64,600	T Hasegawa Co Ltd		1,241,767
	2,700	T&D Holdings Inc		31,433
	4,000	T-Gaia Corp		70,424

Shares		Description	Value ($)
		Japan — continued
	77,800	Tachi-S Co Ltd		835,863
	22,300	Taisei Corp		784,510
	109,500	Takara Holdings Inc		1,252,946
	49,700	Takara Leben Co Ltd		140,198
	16,500	Takasago Thermal Engineering Co Ltd		226,534
	15,200	Takeuchi Manufacturing Co Ltd		356,609
	73,900	Takuma Co Ltd		1,265,566
	9,000	Tamron Co Ltd		137,332
	5,100	Tanseisha Co Ltd		36,983
	65,400	Teijin Ltd		1,115,211
	45,800	TIS Inc		909,566
	2,100	TKC Corp		139,409
	92,100	Toho Holdings Co Ltd		1,679,677
	522,800	Tokyo Electric Power Co Holdings Inc *		1,360,732
	63,600	Tokyo Seimitsu Co Ltd		2,797,246
	42,100	Tokyu Construction Co Ltd		188,700
	9,100	TOMONY Holdings Inc		29,056
	19,100	Toppan Forms Co Ltd		181,857
	262,000	Toppan Printing Co Ltd (b)		3,566,980
	1,300	Torii Pharmaceutical Co Ltd		39,328
	115,200	Tosei Corp (a)		1,277,310
	182,400	Tosoh Corp (b)		2,856,658
	2,200	Towa Pharmaceutical Co Ltd		40,098
	40,300	Toyo Construction Co Ltd		153,404
	28,300	Toyo Suisan Kaisha Ltd		1,391,961
	50,600	Toyota Industries Corp (b)		3,646,492
	2,200	TPR Co Ltd		27,520
	9,500	TS Tech Co Ltd (b)		277,868
	37,600	Tsumura & Co		1,094,121
	2,500	UKC Holdings Corp		53,747
	10,800	Ushio Inc		135,480
	1,600	Valqua Ltd		28,555
	5,300	Wacoal Holdings Corp		101,341
	16,500	YAMABIKO Corp		223,077
	19,700	Yamaguchi Financial Group Inc		122,169
	4,800	Yamazen Corp		45,637
	14,000	Yellow Hat Ltd		215,553
	173,200	Yokogawa Electric Corp (b)		3,051,531
	5,500	Yuasa Trading Co Ltd		172,335
	59,100	Zenkoku Hosho Co Ltd (b)		2,696,972
		Total Japan		186,840,820
		Kuwait — 0.1%
	7,476	Gulf Cable & Electrical Industries Co KSCP		17,568
	7,969	Humansoft Holding Co KSC *		88,695
	494,218	Kuwait Finance House KSCP		1,102,275
	38,023	Kuwait Projects Co Holding KSCP		18,473
	35,730	Mobile Telecommunications Co KSC		67,960
	234,620	National Bank of Kuwait SAKP		646,124
		Total Kuwait		1,941,095

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Malaysia — 0.1%
	5,600	Carlsberg Brewery Malaysia Berhad		26,447
	1,025,100	DRB-Hicom Berhad		500,350
	18,000	Hartalega Holdings Berhad		63,550
	227,700	Kossan Rubber Industries		350,244
	299,946	Magnum Berhad		159,819
	85,000	Pharmaniaga Berhad		114,718
	87,300	Syarikat Takaful Malaysia Keluarga Berhad		100,714
	98,700	Westports Holdings Berhad		104,116
	194,400	YTL Corp Berhad *		30,778
		Total Malaysia		1,450,736
		Mexico — 1.1%
	822,500	America Movil SAB de CV – Series L		614,120
	162,100	Arca Continental SAB de CV		796,374
	87,100	Banco del Bajio SA *		108,604
	206,600	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico		214,878
	95,800	Cemex SAB de CV Sponsored ADR		440,680
	27,500	Corp Inmobiliaria Vesta SAB de CV		49,257
	122,700	Credito Real SAB de CV SOFOM ER *		69,333
	81,100	El Puerto de Liverpool SAB de CV – Class C1 *		269,822
	407,700	Fibra Uno Administracion SA de CV (REIT)		406,888
	259,800	Fomento Economico Mexicano SAB de CV		1,876,810
	421,300	Gentera SAB de CV *		181,359
	100,600	Grupo Aeroportuario del Centro Norte SAB de CV *		585,125
	1,500	Grupo Aeroportuario del Centro Norte SAB de CV ADR *		69,840
	600	Grupo Aeroportuario del Sureste SAB de CV ADR *		89,700
	662,700	Grupo Financiero Banorte SAB de CV – Class O *		3,299,687
	95,800	Grupo Financiero Inbursa SAB de CV – Class O *		93,381
	95,842	Grupo Herdez SAB de CV		187,983
	1,365,200	Grupo Mexico SAB de CV – Series B		4,964,916
	34,500	Kimberly-Clark de Mexico SAB de CV – Class A		54,694
	199,000	Nemak SAB de CV		64,298
	3,820	Promotora y Operadora de Infraestructura SAB de CV		30,562
	36,100	Qualitas Controladora SAB de CV		175,354
	38,100	Regional SAB de CV *		162,465
	24,649	Unifin Financiera SAB de CV SOFOM ENR *		30,588
	3,296,138	Wal-Mart de Mexico SAB de CV		8,676,515
		Total Mexico		23,513,233
		Netherlands — 1.2%
	72,248	ABN AMRO Bank NV CVA *		739,625
	240,495	Aegon NV		889,661
	39,000	AerCap Holdings NV *		1,433,640
	427	ASM International NV		75,285
	82,297	ASR Nederland NV (b)		3,049,781
	1,624	Flow Traders		52,275
	11,846	ForFarmers NV		75,978
	6,778	Heineken Holding NV		624,475

Shares		Description	Value ($)
		Netherlands — continued
	282	Hunter Douglas NV *		18,260
	185,082	ING Groep NV *		1,800,240
	118,308	Koninklijke Ahold Delhaize NV		3,382,580
	19,817	Koninklijke Vopak NV		1,039,140
	44,556	NIBC Holding NV *		395,069
	5,733	NN Group NV		231,699
	47,613	PostNL NV *		162,154
	73,208	Randstad NV * (b)		4,527,794
	110,707	Signify NV * (b)		4,666,497
	26,280	Wolters Kluwer NV		2,200,120
		Total Netherlands		25,364,273
		New Zealand — 0.1%
	20,285	Air New Zealand Ltd *		25,883
	346,877	Meridian Energy Ltd		1,564,787
		Total New Zealand		1,590,670
		Norway — 0.5%
	17,705	Austevoll Seafood ASA		161,001
	10,158	Avance Gas Holding Ltd (a)		45,874
	17,334	Borregaard ASA		254,958
	194,136	BW LPG Ltd		1,239,743
	109,879	DNB ASA *		1,981,254
	198,295	Elkem ASA		637,567
	7,536	Entra ASA (a)		150,188
	71,926	Europris ASA		388,789
	13,785	Gjensidige Forsikring ASA		300,152
	50,979	Kvaerner ASA *		83,094
	40,869	Norsk Hydro ASA		165,489
	70,121	Norwegian Finans Holding ASA *		557,649
	169,186	Orkla ASA		1,619,427
	76	Salmar ASA *		4,154
	19,122	Sbanken ASA *		152,920
	20,680	Selvaag Bolig ASA		120,564
	26,396	SpareBank 1 Nord Norge		216,596
	19,287	SpareBank 1 SMN		206,470
	58,375	SpareBank 1 SR-Bank ASA *		582,260
	15,202	Wallenius Wilhelmsen ASA *		36,326
	29,786	Yara International ASA		1,207,336
		Total Norway		10,111,811
		Pakistan — 0.0%
	34,810	Engro Corp Ltd		66,496
	387,294	Engro Fertilizers Ltd		147,194
	37,019	Fauji Fertilizer Co Ltd		23,967
	337,928	Oil & Gas Development Co Ltd		207,672
	45,809	Pakistan Oilfields Ltd		112,956
	236,209	Pakistan Petroleum Ltd		133,451
	23,700	Pakistan State Oil Co Ltd *		29,590
	47,700	Searle Co Ltd (The)		69,687
	67,270	United Bank Ltd		50,892
		Total Pakistan		841,905

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Philippines — 0.0%
	10,240	Globe Telecom Inc		414,402
	14,660	Manila Electric Co		85,712
	2,369,000	Megaworld Corp *		189,028
	2,145,000	Metro Pacific Investments Corp		182,660
	125,000	Robinsons Land Corp		43,354
	15,810	Security Bank Corp		41,023
	135,050	Semirara Mining & Power Corp		34,795
		Total Philippines		990,974
		Poland — 0.4%
	20,978	Asseco Poland SA		370,866
	3,461	Budimex SA		253,001
	109,530	Cyfrowy Polsat SA		780,124
	20,639	Grupa Lotos SA		190,642
	2,883	KGHM Polska Miedz SA *		114,783
	2,407	mBank SA *		97,091
	209,920	Polski Koncern Naftowy ORLEN SA		3,100,042
	843,681	Polskie Gornictwo Naftowe i Gazownictwo SA		1,077,064
	272,864	Powszechny Zaklad Ubezpieczen SA *		1,830,435
	1,911	Santander Bank Polska SA *		88,904
		Total Poland		7,902,952
		Portugal — 0.5%
	113,141	Altri SGPS SA		609,697
	6,453,793	Banco Comercial Portugues SA – Class R * (a)		913,447
	113,256	CTT-Correios de Portugal SA * (a)		329,536
	25,308	EDP Renovaveis SA		536,398
	420,138	EDP – Energias de Portugal SA		2,245,747
	200,351	Galp Energia SGPS SA		2,149,520
	56,156	Jeronimo Martins SGPS SA		962,206
	118,662	Mota-Engil SGPS SA * (a)		206,410
	172,750	Navigator Co SA (The) *		515,086
	70,621	NOS SGPS SA		270,053
	140,247	REN – Redes Energeticas Nacionais SGPS SA		384,598
	11,271	Semapa-Sociedade de Investimento e Gestao		120,667
	598,195	Sonae SGPS SA		481,803
		Total Portugal		9,725,168
		Qatar — 0.0%
	114,022	Doha Bank QPSC *		73,273
	34,104	Masraf Al Rayan QSC		40,009
	52,125	Ooredoo QPSC		96,685
	8,101	Qatar Electricity & Water Co QSC		40,070
	31,879	Qatar Insurance Co SAQ		22,189
	142,157	Qatar National Bank QPSC		690,013
	45,376	Qatar National Cement Co QSC		50,692
		Total Qatar		1,012,931
		Russia — 3.1%
	2,078,850	Alrosa PJSC		2,397,552
	931,600	Credit Bank of Moscow PJSC *		73,130

Shares		Description	Value ($)
		Russia — continued
	72,810	Detsky Mir PJSC		133,890
	68,070,000	Federal Grid Co Unified Energy System PJSC		178,540
	30,390	Gazprom Neft PJSC		125,678
	2,752	Gazprom Neft PJSC Sponsored ADR		55,580
	1,040,380	Gazprom PJSC		2,482,899
	25,637	Globaltrans Investment Plc Sponsored GDR (Registered)		146,709
	71,237,001	Inter RAO UES PJSC		4,784,106
	2,687	LSR Group PJSC		31,986
	66,217	LSR Group PJSC GDR (Registered)		155,561
	119,488	LUKOIL PJSC		7,910,484
	161,136	LUKOIL PJSC Sponsored ADR		10,373,155
	25,860	M.Video PJSC		244,309
	922,400	Magnitogorsk Iron & Steel Works PJSC		507,769
	34,180	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		234,546
	211,785	MMC Norilsk Nickel PJSC ADR		5,873,571
	103,100	Mobile TeleSystems PJSC Sponsored ADR		889,753
	978,010	Moscow Exchange MICEX-RTS PJSC		1,962,884
	15,595	Novatek PJSC Sponsered GDR (Registered)		2,399,412
	105,010	Novolipetsk Steel PJSC		264,747
	117,261	Novolipetsk Steel PJSC GDR		2,900,999
	14,642	PhosAgro PJSC GDR (Registered)		187,020
	140,017	Polymetal International Plc		2,916,894
	1,692	Polyus PJSC		322,985
	16,490	Polyus PJSC GDR (Registered)		1,559,966
	81,350	Raspadskaya OJSC		155,792
	54,687,000	ROSSETI PJSC		1,208,133
	13,580	Safmar Financial Investment *		83,546
	1,345,390	Sberbank of Russia PJSC		4,378,908
	285,446	Sberbank of Russia PJSC Sponsored ADR		3,765,484
	50,205	Severstal PJSC GDR (Registered)		730,044
	3,081,600	Surgutneftegas PJSC		1,423,463
	283,564	Surgutneftegas PJSC Sponsored ADR		1,273,594
	71,676	Tatneft PJSC Sponsored ADR		2,702,944
	18,944	TCS Group Holding Plc GDR (Registered)		581,137
	3,313,000	Unipro PJSC		120,276
	345,563	VTB Bank PJSC GDR (Registered)		316,635
	2,667	X5 Retail Group NV GDR (Registered)		95,441
	4,400	Yandex NV – Class A * (a)		303,424
		Total Russia		66,252,946
		Saudi Arabia — 0.0%
	7,743	Al Rajhi Bank		154,293
	2,781	Arriyadh Development Co		13,072
		Total Saudi Arabia		167,365
		Singapore — 0.7%
	85,000	AEM Holdings Ltd		222,101
	243,500	Asian Pay Television Trust		21,783
	17,856	CapitaLand Integrated Commercial Trust (REIT)		25,726
	28,400	CapitaLand Ltd		65,747

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	68,200	City Developments Ltd		392,526
	554,800	ComfortDelGro Corp Ltd		678,723
	200,200	DBS Group Holdings Ltd		3,734,849
	187,200	First Real Estate Investment Trust		59,137
	291,940	Japfa Ltd		161,572
	57,500	Jardine Cycle & Carriage Ltd		827,014
	78,000	Lendlease Global Commercial (REIT)		39,400
	516,800	Mapletree Industrial Trust (REIT)		1,128,384
	166,600	Mapletree Logistics Trust (REIT)		243,761
	601,300	Mapletree North Asia Commercial Trust (REIT)		401,165
	5,600	Oversea-Chinese Banking Corp Ltd		41,751
	200,900	Sasseur Real Estate Investment Trust		121,028
	349,500	Silverlake Axis Ltd		68,885
	65,200	Singapore Exchange Ltd		429,903
	242,400	StarHub Ltd		232,844
	7,200	United Overseas Bank Ltd		119,754
	46,900	Venture Corp Ltd		654,597
	50,800	Wilmar International Ltd		158,135
	6,426,099	Yangzijiang Shipbuilding Holdings Ltd		4,175,802
	338,000	Yanlord Land Group Ltd		279,041
		Total Singapore		14,283,628
		South Africa — 1.7%
	680,401	Absa Group Ltd		4,812,076
	5,100	Anglo American Platinum Ltd		369,932
	3,528	AngloGold Ashanti Ltd		75,659
	11,100	AngloGold Ashanti Ltd Sponsored ADR		240,537
	145,089	Aspen Pharmacare Holdings Ltd *		1,152,280
	51,903	Astral Foods Ltd		450,534
	16,003	AVI Ltd		73,373
	186,538	Barloworld Ltd		838,576
	134,447	Bidvest Group Ltd (The)		1,409,464
	357,441	Blue Label Telecoms Ltd *		90,787
	14,823	Clicks Group Ltd		223,818
	27,759	Discovery Ltd		219,885
	70,429	Emira Property Fund Ltd (REIT)		29,608
	183,332	FirstRand Ltd		537,688
	9,641	Foschini Group Ltd (The)		61,016
	6,046	Gold Fields Ltd		52,425
	54,900	Gold Fields Ltd Sponsored ADR		478,179
	420,210	Growthpoint Properties Ltd (REIT)		322,673
	14,493	Hyprop Investments Ltd (REIT) *		26,349
	110,996	Imperial Logistics Ltd		276,887
	74,376	Investec Ltd		180,534
	114,604	Kumba Iron Ore Ltd		3,895,136
	57,204	Lewis Group Ltd		81,288
	3,831	Liberty Holdings Ltd		14,712
	186,581	Life Healthcare Group Holdings Ltd		190,723
	31,586	Metair Investments Ltd *		35,280
	186,104	Momentum Metropolitan Holdings		187,110
	194,551	Motus Holdings Ltd *		722,508
	61,453	Mr Price Group Ltd		642,513

Shares		Description	Value ($)
		South Africa — continued
	51,205	Naspers Ltd – N Shares		10,294,097
	220,717	Netcare Ltd		175,462
	2,075,278	Old Mutual Ltd		1,558,773
	154,753	Pepkor Holdings Ltd		137,902
	23,027	Rand Merchant Investment Holdings Ltd		45,088
	30,943	Raubex Group Ltd		49,406
	21,911	Remgro Ltd		129,388
	153,824	Reunert Ltd		357,589
	1,640,950	RMB Holdings Ltd *		135,051
	583,478	Sanlam Ltd		2,078,615
	118,057	Sappi Ltd *		220,261
	15,419	Shoprite Holdings Ltd		127,514
	790,096	Telkom SA SOC Ltd		1,605,328
	6,843	Tiger Brands Ltd		86,692
	245,509	Truworths International Ltd		566,393
	90,743	Tsogo Sun Gaming Ltd		30,115
	88,185	Vodacom Group Ltd		699,851
	31,788	Wilson Bayly Holmes-Ovcon Ltd *		207,956
		Total South Africa		36,197,031
		South Korea — 2.7%
	26,266	Aekyung Petrochemical Co Ltd		224,027
	9,409	Aju Capital Co Ltd		107,976
	37,079	BNK Financial Group Inc		188,654
	4,207	Com2uSCorp		510,654
	5,533	Daou Data Corp		62,791
	36,872	DB HiTek Co Ltd		1,184,112
	6,974	DB Insurance Co Ltd		277,300
	34,093	Dongwon Development Co Ltd		135,971
	1,186	Doosan Fuel Cell Co Ltd *		53,463
	7,678	DoubleUGames Co Ltd		407,038
	6,093	GS Home Shopping Inc		756,439
	333,719	Hana Financial Group Inc		10,142,963
	20,338	Hankook Tire & Technology Co Ltd		602,018
	5,598	HDC Hyundai Development Co-Engineering & Construction		101,525
	2,310	Huons Co Ltd		130,914
	2,997	Hy-Lok Corp		37,150
	9,888	Hyundai Home Shopping Network Corp		652,352
	8,888	Hyundai Mobis Co Ltd		1,962,016
	2,924	JNTC Co Ltd *		29,803
	65,124	KB Financial Group Inc		2,692,236
	5,900	KB Financial Group Inc ADR		245,381
	7,907	KC Co Ltd		178,195
	915	KEPCO Plant Service & Engineering Co Ltd		24,008
	205,125	Kia Motors Corp		10,728,911
	17,594	Korea Asset In Trust Co Ltd		62,983
	17,380	Korea Autoglass Corp		259,212
	16,811	Korean Reinsurance Co		117,639
	5,306	KT Skylife Co Ltd		43,076
	57,381	KT&G Corp		4,281,934
	33,545	LF Corp		446,282

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	53,316	LG Electronics Inc		4,121,480
	1,071	LOTTE Fine Chemical Co Ltd		53,224
	21,590	Mirae Asset Life Insurance Co Ltd		76,974
	305	NCSoft Corp		224,111
	1,330	NHN KCP Corp		80,458
	10,410	Posco International Corp		125,121
	15,582	S&T Motiv Co Ltd		700,156
	23,517	Samjin Pharmaceutical Co Ltd		612,176
	6,058	Sebang Global Battery Co Ltd		240,618
	1,033	SFA Engineering Corp		35,060
	224,794	Shinhan Financial Group Co Ltd		6,619,271
	10,504	SK Telecom Co Ltd		2,247,766
	89,000	SK Telecom Co Ltd Sponsored ADR		2,092,390
	6,106	SL Corp		91,101
	2,817	Soulbrain Holdings Co Ltd		109,956
	124,947	Woori Financial Group Inc		1,105,153
	37,129	Yuhan Corp		2,162,475
		Total South Korea		57,344,513
		Spain — 1.1%
	7,877	Acerinox SA		81,627
	66,177	ACS Actividades de Construccion y Servicios SA *		2,090,727
	7,747	Aena SME SA * (b)		1,262,049
	40,927	Almirall SA		526,415
	30,966	Amadeus IT Group SA		2,129,359
	19,105	Atresmedia Corp de Medios de Comunicacion SA		67,724
	277,532	Banco Bilbao Vizcaya Argentaria SA		1,285,133
	975,699	Banco Santander SA *		2,829,642
	6,641	Bankinter SA		32,933
	42,846	CaixaBank SA		109,607
	46,250	Cia de Distribucion Integral Logista Holdings SA		852,879
	8,583	Ebro Foods SA		203,124
	10,080	eDreams ODIGEO SA * (a)		45,195
	4,606	Enagas SA		112,528
	90,553	Endesa SA (b)		2,602,726
	39,814	Faes Farma SA		178,589
	1,415	Grupo Catalana Occidente SA		46,187
	186,433	Iberdrola SA (b)		2,559,298
	67,304	Industria de Diseno Textil SA		2,234,114
	181,965	Mediaset Espana Comunicacion SA *		820,175
	129,166	Red Electrica Corp SA		2,640,550
	7,472	Repsol SA		71,617
	594,033	Unicaja Banco SA *		468,040
	16,942	Viscofan SA		1,200,715
		Total Spain		24,450,953
		Sweden — 0.3%
	99,489	Betsson AB *		858,309
	1,725	Bufab AB *		32,595
	7,410	Humana AB *		46,716
	4,040	Instalco Intressenter AB		103,962

Shares		Description	Value ($)
		Sweden — continued
	43,509	Inwido AB *		533,363
	1,701	KNOW IT AB *		53,635
	11,243	Nobina AB *		75,985
	155,088	Nordea Bank Abp *		1,325,450
	13,908	Skanska AB – B Shares		330,467
	13,020	Swedish Match AB		1,053,342
	10,962	Volvo AB – A Shares *		251,959
	88,175	Volvo AB – B Shares *		2,008,327
		Total Sweden		6,674,110
		Switzerland — 0.5%
	14,328	ABB Ltd (Registered)		378,943
	23,274	Adecco Group AG (Registered)		1,406,961
	849	ALSO Holding AG (Registered) *		222,195
	5,812	ams AG *		148,974
	10,270	Banque Cantonale Vaudoise (Registered)		1,057,559
	2,798	BKW AG		289,519
	1,381	Bobst Group SA (Registered)		80,274
	316	Coltene Holding AG (Registered) *		25,796
	1,058	Huber + Suhner AG (Registered)		86,101
	687	Kardex Holding AG (Registered)		135,320
	403	Liechtensteinische Landesbank AG		24,322
	1,049	Logitech International SA (Registered)		93,492
	2,853	Mobilezone Holding AG (Registered)		30,490
	16,945	Novartis AG (Registered)		1,534,124
	1,629	Roche Holding AG		541,510
	10,422	Roche Holding AG – Genusschein		3,423,073
	2,434	UBS Group AG (Registered)		34,524
	2,100	Vetropack Holding AG (Registered) *		136,902
	1,148	Wizz Air Holdings Plc *		68,741
	1,469	Zehnder Group AG – Class RG		79,794
		Total Switzerland		9,798,614
		Taiwan — 4.5%
	1,000	Accton Technology Corp		8,386
	5,000	Acter Group Corp Ltd		33,945
	83,000	Alchip Technologies Ltd		1,945,921
	62,333	Amazing Microelectronic Corp		201,200
	702,035	Asustek Computer Inc		6,123,598
	19,000	Aten International Co Ltd		55,494
	8,400	Aurora Corp		25,523
	655,000	Catcher Technology Co Ltd		4,323,019
	719,399	Cathay Financial Holding Co Ltd		1,019,614
	145,430	Chailease Holding Co Ltd		797,847
	454,000	Chicony Electronics Co Ltd		1,359,462
	627,000	China Development Financial Holding Corp		196,361
	106,000	China Motor Corp *		178,849
	29,000	Chong Hong Construction Co Ltd		84,461
	607,000	Coretronic Corp		747,980
	2,270,000	CTBC Financial Holding Co Ltd		1,526,834
	12,000	Delta Electronics Inc		94,603
	85,000	Elan Microelectronics Corp		393,912

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	8,000	Elite Advanced Laser Corp		19,605
	149,000	Elite Material Co Ltd		815,777
	422,000	Eva Airways Corp		187,292
	97,000	Farglory Land Development Co Ltd		177,750
	429,000	FLEXium Interconnect Inc		1,807,720
	320,000	Formosa Taffeta Co Ltd		344,015
	251,000	Foxconn Technology Co Ltd		463,218
	1,288,000	Fubon Financial Holding Co Ltd		2,002,014
	19,000	Fusheng Precision Co Ltd		114,009
	25,000	Getac Technology Corp		42,225
	388,000	Gigabyte Technology Co Ltd		1,068,566
	6,000	Globalwafers Co Ltd		117,353
	1,522,000	Grand Pacific Petrochemical *		1,250,385
	10,303	Great Wall Enterprise Co Ltd		16,748
	66,000	Holiday Entertainment Co Ltd		146,681
	6,537,318	Hon Hai Precision Industry Co Ltd		18,872,282
	78,000	Huaku Development Co Ltd		241,594
	59,439	IBF Financial Holdings Co Ltd		25,042
	62,820	IEI Integration Corp		106,153
	32,721	Innodisk Corp		187,381
	56,000	International Games System Co Ltd		1,335,090
	294,000	Lite-On Technology Corp		495,452
	12,000	Lotes Co Ltd		187,448
	26,300	Makalot Industrial Co Ltd		170,428
	135,000	Merry Electronics Co Ltd		670,807
	172,000	Micro-Star International Co Ltd		753,314
	1,519,817	Mitac Holdings Corp		1,572,499
	5,000	Nan Liu Enterprise Co Ltd		33,858
	48,000	Nantex Industry Co Ltd		103,483
	42,000	Nichidenbo Corp		70,487
	17,000	Nien Made Enterprise Co Ltd		200,658
	366,000	Novatek Microelectronics Corp		3,841,468
	1,000	Parade Technologies Ltd		36,345
	1,889,000	Pegatron Corp		4,321,942
	10,000	Phison Electronics Corp		113,311
	3,000	Pixart Imaging Inc		20,779
	3,027,000	Pou Chen Corp		3,315,559
	1,120,000	Qisda Corp		922,872
	412,000	Quanta Computer Inc		1,112,085
	1,282,000	Radiant Opto-Electronics Corp		5,221,311
	1,000	Realtek Semiconductor Corp		12,999
	203,000	Ruentex Development Co Ltd		299,670
	72,000	Sampo Corp		67,841
	87,000	Shinkong Insurance Co Ltd		118,832
	101,800	Simplo Technology Co Ltd		1,183,638
	25,945	Sinmag Equipment Corp		79,232
	11,000	Sitronix Technology Corp		54,064
	19,000	Soft-World International Corp		60,214
	146,000	Sunplus Technology Co Ltd *		79,909
	128,500	Syncmold Enterprise Corp		390,158
	19,000	Taiwan Cement Corp		28,594
	467,000	Taiwan PCB Techvest Co Ltd		747,637

Shares		Description	Value ($)
		Taiwan — continued
	75,000	Taiwan Sakura Corp		133,239
	903,000	Taiwan Semiconductor Manufacturing Co Ltd		15,370,712
	23,685	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		2,297,919
	70,000	Teco Electric and Machinery Co Ltd		72,580
	23,000	Test Research Inc		45,732
	7,000	Thinking Electronic Industrial Co Ltd		35,877
	152,246	TOPBI International Holdings Ltd		168,378
	62,419	Topco Scientific Co Ltd		266,139
	58,000	Transcend Information Inc		131,373
	111,000	Tripod Technology Corp		477,408
	9,000	TXC Corp		25,285
	64,624	United Integrated Services Co Ltd		518,464
	551,000	United Microelectronics Corp		782,718
	27,000	Universal Inc		100,993
	7,000	Vanguard International Semiconductor Corp		25,787
	27,000	Wah Lee Industrial Corp		73,236
	354,000	Wistron Corp		370,266
	11,000	Wiwynn Corp		263,417
	6,000	Yulon Nissan Motor Co Ltd		55,075
	33,000	Zeng Hsing Industrial Co Ltd		160,909
		Total Taiwan		96,120,310
		Thailand — 0.1%
	1,284,900	AP Thailand Pcl NVDR		297,160
	104,500	Bangkok Bank Pcl NVDR		407,723
	1,661,100	Beauty Community Pcl NVDR *		84,537
	11,200	Carabao Group Pcl NVDR		44,652
	30,500	Hana Microelectronics Pcl NVDR		43,080
	2,050,900	IRPC Pcl NVDR		184,412
	21,300	KCE Electronics Pcl NVDR		28,322
	49,600	Kiatnakin Phatra Bank Pcl NVDR		80,995
	148,900	Krung Thai Bank Pcl NVDR		52,560
	108,100	Land & Houses Pcl NVDR		28,051
	193,900	Origin Property Pcl NVDR		49,676
	167,600	Pruksa Holding Pcl NVDR		69,276
	909,500	Quality Houses Pcl NVDR		69,729
	83,400	Siam Commercial Bank Pcl NVDR (The)		235,332
	141,300	Somboon Advance Technology Pcl NVDR		67,105
	60,200	SPCG Pcl NVDR		42,776
	74,250	Supalai Pcl (Foreign Registered)		43,921
	344,875	Supalai Pcl NVDR		204,005
	1,480,300	Thai Beverage Pcl (a)		814,855
	52,000	Thai Vegetable Oil Pcl NVDR		55,884
	5,118,300	TMB Bank Pcl NVDR		177,660
	106,000	TTW Pcl NVDR		44,532
	204,300	Univentures Pcl NVDR		20,541
		Total Thailand		3,146,784
		Turkey — 0.8%
	404,011	Aksa Akrilik Kimya Sanayii AS		553,031
	148,561	Alkim Alkali Kimya AS		259,272

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	50,468	Anadolu Efes Biracilik Ve Malt Sanayii AS		135,141
	157,704	Arcelik AS *		550,233
	638,576	Aselsan Elektronik Sanayi Ve Ticaret AS		1,411,568
	15,920	BIM Birlesik Magazalar AS		142,623
	1,381,782	Dogan Sirketler Grubu Holding AS		424,066
	45,393	Dogus Otomotiv Servis ve Ticaret AS		154,669
	3,541,191	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		975,361
	703,585	Enerjisa Enerji AS		972,003
	1,391,192	Eregli Demir ve Celik Fabrikalari TAS		1,955,783
	190,179	Goodyear Lastikleri TAS *		181,996
	57,625	Koza Altin Isletmeleri AS *		549,180
	79,123	Koza Anadolu Metal Madencilik Isletmeleri AS *		127,978
	143,941	Ozak Gayrimenkul Yatirim Ortakligi (REIT) *		77,926
	288,243	Selcuk Ecza Deposu Ticaret ve Sanayi AS		461,861
	34,618	Tofas Turk Otomobil Fabrikasi AS		125,822
	291,107	Torunlar Gayrimenkul Yatirim Ortakligi AS (REIT) *		134,717
	1,080	Turkcell Iletisim Hizmetleri AS		2,041
	3,309,651	Turkiye Garanti Bankasi AS *		3,707,435
	4,367,658	Turkiye Is Bankasi AS – Class C *		3,646,248
	470,763	Turkiye Sinai Kalkinma Bankasi AS *		137,917
	790,017	Turkiye Sise ve Cam Fabrikalari AS		686,370
	29,636	Vestel Beyaz Esya Sanayi ve Ticaret AS		130,237
		Total Turkey		17,503,478
		United Arab Emirates — 0.1%
	26,248	Abu Dhabi Commercial Bank PJSC		43,272
	31,478	Abu Dhabi Islamic Bank PJSC		40,248
	143,156	Dubai Islamic Bank PJSC		173,503
	75,698	Emaar Malls PJSC *		37,564
	3,105,633	Emaar Properties PJSC *		2,679,414
	17,277	Emirates NBD Bank PJSC		51,448
		Total United Arab Emirates		3,025,449
		United Kingdom — 3.4%
	132,968	3i Group Plc		1,879,777
	88,449	888 Holdings Plc		320,573
	1,007	Admiral Group Plc		37,931
	22,447	Aggreko Plc		166,392
	5,944	Alliance Pharma Plc		5,910
	12,288	Anglo American Plc		357,825
	8,191	AVEVA Group Plc (a)		368,548
	48,991	Aviva Plc		207,418
	28,506	B&M European Value Retail SA		180,233
	14,675	Bank of Georgia Group Plc *		220,252
	454,736	Barratt Developments Plc *		3,728,099
	52,499	Bellway Plc		1,972,050
	88,468	Berkeley Group Holdings Plc (The)		5,407,488
	48,498	British American Tobacco Plc		1,707,239
	62,200	British American Tobacco Plc Sponsored ADR		2,196,282
	922,249	BT Group Plc		1,427,559

Shares		Description	Value ($)
		United Kingdom — continued
	5,587	Bunzl Plc		174,015
	15,764	Carnival Plc		273,259
	725,585	Centamin Plc		1,099,197
	30,246	Central Asia Metals Plc		86,956
	26,485	CMC Markets Plc		137,238
	34,017	Coca-Cola HBC AG *		971,683
	148,427	Compass Group Plc		2,611,671
	17,757	Computacenter Plc		523,481
	3,158	Cranswick Plc		143,918
	6,278	Daily Mail & General Trust Plc – Class A		56,688
	2,893	Dart Group Plc		53,655
	44,239	Dixons Carphone Plc		64,852
	15,846	Dunelm Group Plc *		254,855
	44,911	Electrocomponents Plc		483,623
	6,836	EMIS Group Plc		88,747
	11,088	Evraz Plc		55,719
	34,363	Ferguson Plc		3,846,561
	347,095	Ferrexpo Plc		973,341
	80,475	Frasers Group Plc *		449,109
	6,581	Fresnillo Plc		92,587
	11,710	Galliford Try Holdings Plc *		16,912
	3,308	Games Workshop Group Plc		433,200
	19,604	Go-Ahead Group Plc (The) *		212,253
	7,895	Greggs Plc *		176,749
	66,636	Halfords Group Plc		236,453
	7,340	Howden Joinery Group Plc *		61,432
	150,800	HSBC Holdings Plc *		786,462
	180,919	IG Group Holdings Plc		1,927,411
	18,917	IMI Plc		280,342
	57,918	Inchcape Plc *		461,070
	127,082	Indivior Plc *		171,799
	32,655	International Personal Finance Plc * (a)		38,388
	64,396	Investec Plc		158,552
	375,454	ITV Plc *		467,234
	216,158	J Sainsbury Plc		603,373
	107,581	JD Sports Fashion Plc *		1,103,944
	38,826	John Laing Group Plc		163,338
	5,306	Johnson Matthey Plc		156,350
	39,590	Jupiter Fund Management Plc		127,871
	667,614	Kingfisher Plc *		2,424,523
	477,935	Legal & General Group Plc		1,578,319
	51,972	Lookers Plc (c)		14,550
	536,309	M&G Plc		1,330,707
	413,172	Micro Focus International Plc *		1,902,964
	53,437	Mitchells & Butlers Plc *		150,454
	1,093	Mondi Plc		23,916
	76,026	Morgan Advanced Materials Plc		284,909
	17,371	Morgan Sindall Group Plc		322,153
	144,583	National Express Group Plc *		426,067
	28,190	National Grid Plc		315,687
	4,029	Next Plc		348,036
	21,681	Numis Corp Plc		99,522

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	13,128	OSB Group Plc *		68,002
	69,279	Paragon Banking Group Plc		372,077
	203,898	Persimmon Plc		7,155,237
	128,677	Pets at Home Group Plc		709,675
	43,645	Phoenix Group Holdings Plc		413,351
	43,894	Playtech Plc *		224,054
	89,601	Plus500 Ltd		1,838,942
	216,530	Premier Foods Plc *		253,517
	232,899	QinetiQ Group Plc		905,579
	54,135	Redde Northgate Plc		174,137
	15,424	Redrow Plc *		106,087
	50,388	Royal Dutch Shell Plc – A Shares		850,744
	188,788	Royal Dutch Shell Plc – B Shares		3,032,026
	2,700	Royal Dutch Shell Plc – Class B Sponsored ADR		87,615
	17,271	Royal Mail Plc		69,992
	400	Smith & Nephew Plc Sponsored ADR		15,740
	34,529	Smiths Group Plc		663,449
	12,899	Softcat Plc		194,464
	162,504	Spirent Communications Plc		554,918
	57,445	Stock Spirits Group Plc		180,166
	289,144	Tate & Lyle Plc		2,442,616
	226,660	Taylor Wimpey Plc *		461,294
	1,688	TI Fluid Systems Plc *		4,961
	12,980	Vesuvius Plc		83,816
	29,633	Vistry Group Plc *		327,798
	201,671	WPP Plc		1,943,251
		Total United Kingdom		72,563,179
		United States — 12.1%
	3,300	1st Source Corp.		123,156
	112,203	ACCO Brands Corp.		859,475
	31,300	Acushnet Holdings Corp. (a)		1,180,010
	21,900	Adtalem Global Education, Inc. * (a)		626,997
	31,000	ADTRAN, Inc.		391,685
	1,700	AdvanSix, Inc. * (a)		30,209
	8,200	Alexion Pharmaceuticals, Inc. *		1,001,302
	23,500	Alliance Data Systems Corp.		1,718,790
	3,300	Allied Motion Technologies, Inc.		133,881
	5,200	Allscripts Healthcare Solutions, Inc. * (a)		71,136
	20,800	Ally Financial, Inc. (a)		616,720
	13,400	Alpha & Omega Semiconductor Ltd. *		332,856
	6,400	Amalgamated Bank – Class A		81,408
	13,000	AMC Networks, Inc. – Class A * (a)		428,610
	23,856	American Express Co. (a)		2,829,083
	5,200	American Public Education, Inc. *		161,408
	5,900	American Vanguard Corp.		89,444
	6,300	Amkor Technology, Inc. *		92,862
	19,900	Amneal Pharmaceuticals, Inc. * (a)		78,605
	18,300	AngioDynamics, Inc. *		260,226
	400	Anthem, Inc.		124,608
	2,100	Apogee Enterprises, Inc. (a)		55,104
	2,300	Applied Industrial Technologies, Inc.		180,389

Shares		Description	Value ($)
		United States — continued
	10,000	ArcBest Corp.		419,100
	3,600	Arcosa, Inc.		186,804
	200	Ares Commercial Real Estate Corp. (REIT)		2,228
	64,400	Arlo Technologies, Inc. *		338,744
	13,900	Arrow Electronics, Inc. *		1,273,935
	1,030	Arrow Financial Corp.		30,653
	47,100	Associated Banc-Corp. (a)		721,572
	39,800	AT&T, Inc. (a)		1,144,250
	35,700	Athene Holding Ltd. – Class A * (a)		1,583,295
	11,700	Atlas Air Worldwide Holdings, Inc. * (a)		652,977
	30,800	AutoNation, Inc. * (b)		1,887,732
	26,100	Avient Corp.		953,955
	14,400	Avnet, Inc.		437,040
	1,500	Axos Financial, Inc. * (a)		50,250
	10,500	AZZ, Inc.		468,195
	2,400	Bancorp, Inc. (The) *		28,320
	5,400	BankFinancial Corp.		43,578
	2,800	BankUnited, Inc. (a)		79,828
	1,300	Bar Harbor Bankshares		29,965
	24,400	Bed Bath & Beyond, Inc.		511,424
	39,900	Benchmark Electronics, Inc.		970,368
	51,800	Big Lots, Inc. (b)		2,676,506
	4,300	Biogen, Inc. *		1,032,731
	400	BOK Financial Corp.		26,780
	1,000	Booking Holdings, Inc. * (a)		2,028,450
	66,400	BorgWarner, Inc. (b)		2,579,640
	30,600	Boston Private Financial Holdings, Inc.		219,096
	39,400	Brady Corp. – Class A (b)		1,740,692
	4,400	Bridge Bancorp, Inc.		98,208
	33,800	Brightsphere Investment Group, Inc.		598,260
	18,800	Brinker International, Inc.		942,068
	5,500	Brookline Bancorp, Inc.		62,535
	1,600	Cabot Corp.		66,256
	10,100	Calix, Inc. *		239,168
	3,100	Camden National Corp.		106,485
	17,800	Capital One Financial Corp. (a)		1,524,392
	19,900	Capri Holdings Ltd. *		704,062
	32,900	Carnival Corp. (a)		657,342
	3,100	Carriage Services, Inc.		84,351
	26,400	Carrier Global Corp.		1,005,048
	56,700	Cars.com, Inc. * (a)		633,339
	9,700	Cathay General Bancorp		274,025
	4,600	Cato Corp. (The) – Class A		37,076
	13,900	CBIZ, Inc. *		336,658
	26,000	CBRE Group, Inc. – Class A *		1,589,640
	16,400	Centene Corp. * (a)		1,011,060
	2,200	Central Garden & Pet Co. *		88,088
	8,500	Central Garden & Pet Co. – Class A *		313,565
	1,800	Century Bancorp, Inc. – Class A		133,020
	143,500	CenturyLink, Inc. (a)		1,499,575
	44,929	Charles Schwab Corp. (The) (a) (b)		2,191,637
	19,700	Chevron Corp. (a)		1,717,446

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	6,400	Cigna Corp.		1,338,496
	7,300	Cisco Systems, Inc.		314,046
	32,100	Citigroup, Inc.		1,767,747
	20,200	Citizens Financial Group, Inc. (a)		659,732
	2,700	Civista Bancshares, Inc.		45,441
	9,240	Clarus Corp.		133,056
	2,000	CNB Financial Corp.		39,360
	24,563	Coca-Cola Co. (The)		1,267,451
	12,400	Cognizant Technology Solutions Corp. – Class A		968,812
	26,500	Comcast Corp. – Class A (a)		1,331,360
	2,700	Comfort Systems USA, Inc.		136,053
	2,500	Commercial Metals Co. (a)		49,775
	1,900	Community Trust Bancorp, Inc.		64,315
	14,900	Computer Programs & Systems, Inc.		423,607
	34,600	Comtech Telecommunications Corp.		659,476
	23,200	Consolidated Communications Holdings, Inc. *		129,920
	6,700	Cooper Tire & Rubber Co.		266,191
	21,200	Core-Mark Holding Co., Inc.		661,228
	146,100	CoreCivic, Inc. (REIT) (b)		1,035,849
	60,100	CorePoint Lodging, Inc. (REIT)		391,251
	13,496	Cornerstone Building Brands, Inc. * (a)		117,955
	32,300	Corteva, Inc. (a)		1,237,736
	155,000	Coty Inc. – Class A (a)		1,114,450
	1,800	Covetrus, Inc. * (a)		48,627
	6,215	CRA International, Inc.		284,958
	8,400	CSG Systems International, Inc.		364,392
	6,100	CTS Corp.		185,806
	13,400	Curo Group Holdings Corp.		115,776
	18,900	CVS Health Corp. (a)		1,281,231
	19,300	CytomX Therapeutics, Inc.*		145,136
	11,100	Deluxe Corp. (a)		285,714
	44,400	Designer Brands, Inc. – Class A (a)		350,760
	26,800	DHI Group, Inc.*		51,456
	600	Diamond Hill Investment Group, Inc.		82,092
	8,500	Dick’s Sporting Goods, Inc. (a)		482,885
	7,700	Digi International, Inc. * (a)		132,132
	14,440	Dime Community Bancshares, Inc.		208,658
	46,700	DISH Network Corp. – Class A *		1,675,129
	3,500	Domtar Corp. (a)		105,350
	39,200	Donnelley Financial Solutions, Inc. *		638,568
	16,400	DR Horton, Inc.		1,221,800
	8,900	DSP Group, Inc. *		149,787
	6,900	Ducommun, Inc. *		343,068
	2,000	Duluth Holdings Inc. – Class A * (a)		29,400
	13,100	Edwards Lifesciences Corp. * (a)		1,098,959
	1,800	EMCOR Group, Inc. (a)		155,124
	3,000	Employers Holdings, Inc.		91,530
	12,900	Encore Capital Group, Inc. * (a)		440,406
	1,600	Encore Wire Corp.		82,672
	157,000	Endo International Plc * (a)		797,560
	6,300	Endurance International Group Holdings, Inc. *		59,724
	2,200	EnerSys (a)		179,982

Shares		Description	Value ($)
		United States — continued
	9,200	Ennis, Inc.		150,604
	53,834	Enova International, Inc. *		1,125,669
	700	EnPro Industries, Inc.		49,567
	44,657	EOG Resources, Inc. (a)		2,093,520
	1,000	ePlus, Inc. *		84,310
	1,800	Escalade, Inc.		34,686
	1,900	ESSA Bancorp, Inc. (a)		30,058
	42,600	Ethan Allen Interiors, Inc.		778,302
	12,700	Evolution Petroleum Corp.		38,608
	24,800	Exelon Corp. (a)		1,018,536
	12,100	Expedia Group, Inc. (a)		1,506,329
	31,600	Exxon Mobil Corp. (a)		1,204,908
	800	Federal Agricultural Mortgage Corp. – Class C		54,160
	29,600	Federal Signal Corp. (b)		918,488
	32,200	Federated Hermes, Inc.		864,248
	5,550	FedNat Holding Co.		31,302
	2,200	Ferro Corp. *		31,482
	4,400	Financial Institutions, Inc.		88,044
	2,600	First Community Bankshares, Inc.		54,782
	3,535	First Financial Corp.		133,870
	1,800	First Financial Northwest, Inc.		19,872
	5,100	First Foundation, Inc.		90,576
	53,600	Flagstar Bancorp, Inc. (b)		1,878,144
	1,500	FleetCor Technologies, Inc. * (a)		397,815
	4,700	Flushing Financial Corp.		66,740
	12,500	FNB Corp (a)		110,375
	2,600	FONAR Corp. *		49,946
	179,100	Ford Motor Co. (a)		1,626,228
	28,600	Fox Corp. – Class A (a)		824,824
	33,700	Fox Corp. – Class B *		956,406
	8,400	FutureFuel Corp.		100,716
	6,800	G-III Apparel Group Ltd. * (a)		138,516
	17,000	GameStop Corp. – Class A *		281,520
	24,700	Garrett Motion, Inc. *		119,795
	37,700	General Motors Co.		1,652,768
	15,200	Genesco, Inc. * (a)		476,824
	14,844	Genie Energy Ltd. – Class B (a)		123,205
	131,100	GEO Group, Inc. (The) (REIT)		1,238,895
	5,200	Gilead Sciences, Inc.		315,484
	7,100	Goldman Sachs Group, Inc. (The)		1,637,118
	9,300	Gorman-Rupp Co. (The)		305,970
	700	Graham Holdings Co. – Class B		312,914
	685	Great Southern Bancorp, Inc.		31,442
	25,700	Greif, Inc. – Class A		1,249,277
	34,400	Griffon Corp.		717,240
	27,400	Group 1 Automotive, Inc. (a) (b)		3,255,394
	16,100	H&R Block, Inc. (a)		302,680
	19,300	Hasbro, Inc. (a)		1,795,479
	26,300	Haverty Furniture Cos, Inc.		715,886
	300	Hawkins, Inc.		15,054
	5,000	HB Fuller Co. (a)		261,650
	3,700	HealthStream, Inc. *		69,116

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	7,000	Heidrick & Struggles International, Inc.		182,700
	3,500	Heritage Financial Corp.		81,445
	54,530	Herman Miller, Inc. (b)		1,943,449
	24,300	Hilltop Holdings, Inc.		585,387
	18,028	Hilton Worldwide Holdings, Inc. (b)		1,868,242
	13,400	HNI Corp.		488,564
	9,361	Honeywell International, Inc. (a)		1,908,895
	33,400	HP, Inc. (a)		732,462
	1,600	Hurco Cos, Inc.		47,696
	9,800	Hyster-Yale Materials Handling, Inc.		539,392
	12,500	IDT Corp. – Class B *		149,000
	5,646	Independent Bank Corp.		96,038
	12,200	Information Services Group, Inc. *		36,844
	5,000	Ingles Markets, Inc. – Class A		187,950
	14,405	Innospec, Inc.		1,185,387
	28,400	Insight Enterprises, Inc. * (a) (b)		2,030,032
	3,200	Insteel Industries, Inc.		74,016
	7,500	Integer Holdings Corp. * (a)		540,675
	25,100	Intel Corp. (a)		1,213,585
	4,700	Inter Parfums, Inc. (a)		255,257
	8,200	Interface, Inc.		68,429
	23,900	International Bancshares Corp. (b)		774,599
	12,700	International Business Machines Corp. (a)		1,568,704
	58,100	Invesco Ltd. (a)		942,963
	156,600	Investors Bancorp, Inc.		1,515,888
	7,100	Jazz Pharmaceuticals Plc * (a)		999,041
	6,300	Johnson Outdoors, Inc. – Class A		526,680
	1,100	Jones Lang LaSalle, Inc. * (a)		145,519
	12,700	Kelly Services, Inc. – Class A		259,842
	12,600	Kezar Life Sciences, Inc. *		82,908
	5,800	Kforce, Inc.		238,090
	10,100	Kimball Electronics, Inc. *		155,641
	32,900	Kimball International, Inc. – Class B		359,597
	112,300	Kinder Morgan, Inc.		1,614,874
	10,600	Knoll, Inc.		144,796
	41,900	Kohl’s Corp.		1,349,180
	800	Kontoor Brands, Inc. *		33,336
	5,200	Koppers Holdings, Inc. *		140,764
	18,800	Kraft Heinz Co. (The) (a)		619,272
	29,200	Kroger Co. (The) (a)		963,600
	5,600	Kronos Worldwide, Inc.		77,000
	27,300	La-Z-Boy, Inc.		1,011,192
	2,400	Laboratory Corp. of America Holdings *		479,616
	5,700	Lakeland Financial Corp. (a)		289,503
	2,500	Lantheus Holdings, Inc. *		32,900
	31,884	Las Vegas Sands Corp. (a)		1,776,258
	3,000	LCNB Corp.		44,400
	4,000	Leidos Holdings, Inc.		402,800
	15,200	Lennar Corp. – Class A (a)		1,153,072
	3,953	LENSAR, Inc. *		33,877
	4,100	Levi Strauss & Co. – Class A		75,399
	105,600	Liberty TripAdvisor Holdings, Inc. – Class A *		290,400

Shares		Description	Value ($)
		United States — continued
	4,200	Lifevantage Corp. *		44,646
	35,100	Lincoln National Corp. (a)		1,657,422
	7,400	LKQ Corp. * (a)		260,628
	26,800	Luminex Corp.		635,964
	57,500	Lyft, Inc. – Class A * (a) (b)		2,194,775
	16,700	LyondellBasell Industries NV – Class A (a)		1,421,170
	4,800	Macatawa Bank Corp.		37,248
	15,400	Marchex, Inc. – Class B *		33,264
	1,898	Markel Corp. * (a)		1,848,329
	800	Masonite International Corp. *		80,040
	15,700	Materion Corp. (b)		915,310
	14,677	Matrix Service Co. *		140,606
	15,300	MDC Holdings, Inc.		738,531
	33,400	MDC Partners Inc – Class A *		76,820
	3,100	Mednax, Inc. * (a)		62,651
	1,600	Mercantile Bank Corp.		39,728
	6,300	Meridian Bancorp, Inc.		85,963
	39,200	Meridian Bioscience, Inc. * (a)		740,880
	49,400	Meritor, Inc.* (b)		1,304,160
	6,100	Methode Electronics, Inc.		213,622
	29,500	MetLife, Inc.		1,362,015
	64,700	MGIC Investment Corp. (a)		773,812
	22,000	Michaels Cos., Inc. (The) *		217,580
	25,800	Micron Technology, Inc. * (b)		1,653,522
	1,400	MicroStrategy, Inc. – Class A * (a)		479,878
	2,100	Miller Industries, Inc.		70,119
	30,800	Modine Manufacturing Co. *		336,336
	3,500	Mohawk Industries, Inc. * (a)		440,405
	34,300	Molson Coors Brewing Co. – Class B (a)		1,577,800
	24,900	Moog, Inc. – Class A (b)		1,926,264
	16,700	Morgan Stanley		1,032,561
	25,000	Movado Group, Inc.		423,250
	1,000	MSC Industrial Direct Co., Inc. – Class A (a)		83,320
	11,800	Mueller Industries, Inc.		386,568
	6,400	National General Holdings Corp.		218,112
	2,200	National Presto Industries, Inc.		187,110
	1,800	Natus Medical, Inc. *		37,656
	53,300	Nautilus, Inc. *		1,124,630
	1,000	NBT Bancorp, Inc.		29,950
	7,700	Neenah, Inc.		373,527
	9,000	NETGEAR, Inc. *		286,290
	164,300	Newmark Group, Inc. – Class A		1,153,386
	11,500	NextGen Healthcare, Inc. *		204,010
	8,500	Northfield Bancorp, Inc.		94,605
	942	Northrim BanCorp, Inc.		29,927
	600	Northwest Bancshares, Inc. (a)		7,098
	2,100	Nu Skin Enterprises, Inc. – Class A (a)		108,171
	26,700	nVent Electric Plc		614,100
	37,300	Occidental Petroleum Corp. (a)		587,848
	37,900	OFG Bancorp		634,825
	9,700	Old National Bancorp		153,551
	7,200	Olympic Steel, Inc. (a)		106,848

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	7,906	Oppenheimer Holdings, Inc. – Class A		233,148
	19,200	Oracle Corp. (a)		1,108,224
	44,600	Owens & Minor, Inc.		1,148,896
	2,300	PacWest Bancorp		53,498
	1,400	Park National Corp.		141,554
	4,600	Park-Ohio Holdings Corp. (a)		129,214
	2,600	Patrick Industries, Inc. (a)		163,904
	40,100	Patterson Cos., Inc. (a)		1,113,176
	5,700	PC Connection, Inc. (a)		260,205
	27,300	Penn Virginia Corp. * (a)		246,246
	600	Penns Woods Bancorp, Inc.		15,336
	37,100	PennyMac Financial Services, Inc. (a)		2,138,444
	40,400	PennyMac Mortgage Investment Trust (REIT) (a)		690,840
	3,700	Penske Automotive Group, Inc. (a)		203,759
	38,900	Perdoceo Education Corp. * (a)		441,126
	900	Phibro Animal Health Corp. – Class A		17,001
	19,900	Phillips 66 (a)		1,205,542
	14,500	Photronics, Inc. *		168,055
	2,500	Polaris, Inc. (a)		240,000
	400	Preformed Line Products Co.		24,260
	2,900	Premier Financial Bancorp, Inc.		38,599
	18,000	Premier Financial Corp.		372,780
	42,900	Prestige Consumer Healthcare, Inc. *		1,525,953
	1,800	Primoris Services Corp.		43,650
	3,200	Principal Financial Group, Inc. (a)		159,328
	8,900	Progress Software Corp.		356,890
	2,800	Protective Insurance Corp. – Class B		40,012
	3,300	Providence Service Corp. (The) *		448,107
	20,700	Prudential Financial, Inc.		1,565,334
	5,700	PulteGroup, Inc.		248,691
	56,500	QEP Resources, Inc. (a)		90,965
	2,600	Quanex Building Products Corp.		53,560
	114,900	Qurate Retail, Inc. – Series A		1,203,003
	52,065	Raytheon Technologies Corp.		3,734,102
	79,900	Realogy Holdings Corp. *		983,569
	2,200	Regeneron Pharmaceuticals, Inc. * (a)		1,135,266
	5,300	Renewable Energy Group, Inc. * (a)		307,824
	1,800	Republic Bancorp, Inc. – Class A		63,540
	61,700	Resideo Technologies, Inc. *		1,140,833
	26,200	Resources Connection, Inc.		317,282
	3,665	Riverview Bancorp, Inc.		19,351
	5,800	Rocky Brands, Inc.		168,200
	77,600	Sanmina Corp. * (b)		2,468,844
	12,700	Scholastic Corp.		301,244
	32,700	Schweitzer-Mauduit International, Inc. (a)		1,137,306
	36,700	Sciplay Corp. – Class A *		546,463
	21,200	Select Medical Holdings Corp. *		510,920
	3,700	Seneca Foods Corp. – Class A *		154,956
	56,560	Sensata Technologies Holding Plc * (b)		2,761,825
	17,000	Shoe Carnival, Inc.		621,690
	7,100	Sierra Bancorp		156,200
	22,200	Silgan Holdings, Inc. (a)		750,360

Shares		Description	Value ($)
		United States — continued
	2,700	Simmons First National Corp-Class A (a)		52,650
	1,700	Sleep Number Corp. *		117,963
	98,600	SLM Corp. (a)		1,046,146
	29,800	Sonic Automotive, Inc. – Class A (b)		1,203,324
	206,700	Southwestern Energy Co. * (a)		642,837
	27,900	SpartanNash Co.		526,752
	33,100	Spok Holdings, Inc.		325,373
	4,100	Sprouts Farmers Market, Inc. *		86,797
	5,400	SS&C Technologies Holdings, Inc.		372,006
	3,400	Standard Motor Products, Inc.		157,386
	60,400	Steelcase, Inc. – Class A		733,860
	5,000	Stepan Co.		580,800
	4,400	Stewart Information Services Corp. (a)		184,228
	26,100	Stoneridge, Inc. *		701,046
	12,300	StoneX Group, Inc. * (a)		757,926
	93,200	Summit Hotel Properties, Inc. (REIT)		809,908
	21,600	Sunstone Hotel Investors, Inc. (REIT) (b)		226,800
	2,800	Super Micro Computer, Inc. *		78,988
	13,600	Surface Oncology, Inc. *		122,944
	21,000	Surgalign Holdings, Inc. * (a)		47,460
	3,000	Surmodics, Inc. *		112,320
	2,900	Sutro Biopharma, Inc. * (a)		49,590
	29,200	Sykes Enterprises, Inc. * (a)		1,098,796
	49,900	Synchrony Financial		1,520,453
	10,500	Systemax, Inc.		323,085
	144,336	TEGNA, Inc. (b)		2,079,882
	57,400	Telephone & Data Systems, Inc. (b)		1,089,452
	1,500	Tennant Co.		100,740
	28,500	Terex Corp.		883,500
	3,800	Territorial Bancorp, Inc.		84,778
	1,000	Texas Capital Bancshares, Inc. * (a)		55,900
	12,400	Textron, Inc. (a)		559,240
	700	Timberland Bancorp, Inc.		16,681
	9,200	Towne Bank/Portsmouth VA		200,100
	20,900	Tredegar Corp.		330,429
	35,700	TRI Pointe Group, Inc. *		624,036
	22,000	Tribune Publishing Co.		265,760
	6,500	TriCo Bancshares		212,940
	2,000	TrueBlue, Inc. *		38,200
	25,100	TrustCo Bank Corp.		152,357
	3,900	Trustmark Corp.		96,798
	2,100	Tutor Perini Corp. * (a)		28,392
	16,300	Tyson Foods, Inc. – Class A		1,062,760
	31,800	UFP Industries, Inc. (b)		1,706,070
	2,700	United Natural Foods, Inc. * (a)		46,575
	3,200	United Rentals, Inc. * (a)		726,336
	10,900	United States Cellular Corp. *		341,715
	2,900	United Therapeutics Corp. * (a)		384,656
	1,100	Uniti Group, Inc. (REIT)		11,308
	31,500	Universal Corp. (b)		1,433,565
	1,500	Universal Electronics, Inc. *		78,990
	11,600	Universal Health Services, Inc. – Class B		1,514,728

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	2,600	Universal Insurance Holdings, Inc.		36,296
	1,200	Universal Logistics Holdings, Inc.		25,812
	10,000	Urban Edge Properties (REIT)		129,800
	67,309	US Bancorp (b)		2,908,422
	3,600	USANA Health Sciences, Inc. *		270,648
	56,400	Valvoline, Inc.		1,285,356
	17,300	Vectrus, Inc. *		824,691
	41,800	Vera Bradley, Inc. *		354,464
	11,000	Veritiv Corp. *		204,380
	55,925	Verso Corp. – Class A		604,549
	29,949	VF Corp. (a)		2,497,747
	47,800	ViacomCBS, Inc. – Class B (a)		1,686,384
	33,600	Viatris, Inc.*		565,152
	3,200	Village Super Market, Inc. – Class A		74,112
	16,700	Vista Outdoor, Inc. *		344,521
	6,800	VMware, Inc. – Class A * (a)		951,252
	64,800	Waddell & Reed Financial, Inc. – Class A (a)		1,066,608
	26,000	Walgreens Boots Alliance, Inc. (a)		988,260
	26,800	Walker & Dunlop, Inc. (b)		2,144,268
	16,200	Waterstone Financial, Inc.		284,553
	4,900	Weis Markets, Inc.		233,387
	103,956	Wells Fargo & Co. (b)		2,843,197
	1,900	WESCO International, Inc. * (a)		123,918
	47,600	Western Union Co. (The) (a)		1,073,856
	32,300	Western Digital Corp. (a)		1,449,624
	2,300	Westwood Holdings Group, Inc.		27,416
	3,900	Wintrust Financial Corp.		212,511
	79,900	World Fuel Services Corp. (b)		2,270,758
	9,900	Worthington Industries, Inc.		512,028
	1,700	WW International, Inc. * (a)		50,167
	120,004	Xenia Hotels & Resorts, Inc. (REIT)		1,690,856
	32,500	Xerox Holdings Corp. (a)		711,425
	10,400	Xperi Holding Corp. (a)		198,432
	19,600	Zumiez, Inc. *		726,964
		Total United States		256,280,909
		Vietnam — 0.0%
	71,230	Kinh Bac City Development Share Holding Corp *		48,777
	13,660	PetroVietnam Gas JSC		49,208
	142,000	PetroVietnam Technical Services Corp		90,339
	20,810	Vinh Hoan Corp		39,717
		Total Vietnam		228,041
		TOTAL COMMON STOCKS (COST $1,328,817,017)		1,423,742,139
		PREFERRED STOCKS (f) — 1.2%
		Brazil — 0.3%
	32,800	Banco do Estado do Rio Grande do Sul SA – Class B		80,815
	239,221	Bradespar SA		2,594,307
	43,400	Braskem SA – Class A *		183,081

Shares		Description	Value ($)
		Brazil — continued
	437,800	Cia de Saneamento do Parana		407,777
	237,000	Cia Paranaense de Energia – Class B		3,020,120
	14,900	Lojas Americanas SA		63,773
		Total Brazil		6,349,873
		Chile — 0.0%
	1,000	Sociedad Quimica y Minera de Chile SA Sponsored ADR		47,070
		Colombia — 0.0%
	2,263	Banco Davivienda SA		17,683
	443,291	Grupo Aval Acciones y Valores SA		128,195
		Total Colombia		145,878
		Germany — 0.1%
	22,726	Bayerische Motoren Werke AG		1,493,219
	8,749	Draegerwerk AG & Co KGaA		685,530
	4,294	Henkel AG & Co KGaA		461,972
	12,237	Schaeffler AG		91,061
	1,243	Sixt SE		89,875
	1,897	Villeroy & Boch AG		30,016
	2,280	Volkswagen AG		382,716
		Total Germany		3,234,389
		Russia — 0.3%
	43,754	Bashneft PJSC		704,590
	56,000	Nizhnekamskneftekhim PJSC		57,690
	10,116,100	Surgutneftegas PJSC		5,255,748
	42	Transneft PJSC		78,674
		Total Russia		6,096,702
		South Korea — 0.5%
	1,603	Amorepacific Corp		78,082
	3,733	Hyundai Motor Co Ltd Prf		283,769
	1,110	Hyundai Motor Co Ltd-2nd Prf		86,973
	22,177	LG Electronics Inc		659,342
	160,494	Samsung Electronics Co Ltd		8,854,694
	392	Samsung Electronics Co Ltd GDR (Registered)		531,556
		Total South Korea		10,494,416
		Taiwan — 0.0%
	13,589	Chailease Holding Co. Ltd. *		47,390
	20,463	CTBC Financial Holding Co Ltd		46,108
		Total Taiwan		93,498
		TOTAL PREFERRED STOCKS (COST $22,184,819)		26,461,826
		RIGHTS/WARRANTS — 0.0%
		Pakistan — 0.0%
	6,201	Searle Co Ltd, Expires 12/31/20 * (c)		2,490

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Spain — 0.0%
	997,534	Banco Santander SA, Expires 12/03/20 *		124,583
		United Kingdom — 0.0%
	10,277	AVEVA Group Plc, Expires 12/09/20 *		153,446
		TOTAL RIGHTS/WARRANTS (COST $221,959)		280,519
		INVESTMENT FUNDS — 0.3%
		United States — 0.3%
	90,754	iShares Core MSCI Emerging Markets ETF		5,319,999
		TOTAL INVESTMENT FUNDS (COST $5,454,542)		5,319,999
		DEBT OBLIGATIONS — 16.7%
		United States — 16.7%
		Asset-Backed Securities — 0.1%
	114,742	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.96%, due 07/26/31		114,734
	67,143	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.31%, due 04/25/26		67,143
	14,839	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.37%, due 07/20/25		14,846
	273,492	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.15%, due 10/25/37		272,729
	54,453	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 1.01%, due 04/25/36		54,443
	140,198	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 0.94%, due 07/15/31		140,197
	2,571,735	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		3
	285,333	Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 1.01%, due 10/25/31		283,745
	104,811	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 05/16/31		104,419
	341,869	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 0.52%, due 07/25/29		338,569
	113,582	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 04/20/31		113,266
	44,024	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.17%, due 07/20/30		43,983

Par Value† / Shares		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	453,141	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.42%, due 06/25/37		446,605
	199,640	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 04/19/30		199,141
	61,959	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 0.88%, due 01/16/31		61,856
	95,731	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 1.39%, due 05/15/26		95,474
	289,333	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 04/17/28		289,297
	228,595	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 01/17/30		227,290
	70,956	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.40%, due 05/25/47		70,732
	41,106	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		41,086
		Total Asset-Backed Securities		2,979,558
		U.S. Government — 16.6%
	34,000,000	U.S. Treasury Note, 1.50%, due 10/31/21		34,430,313
	27,000,000	U.S. Treasury Note, 1.63%, due 12/31/21		27,440,859
	21,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.24%, due 01/31/22		21,026,080
	6,000,000	U.S. Treasury Note, 1.38%, due 01/31/22		6,086,953
	22,000,000	U.S. Treasury Note, 1.88%, due 05/31/22		22,573,203
	60,000,000	U.S. Treasury Note, 0.13%, due 06/30/22		59,990,625
	60,000,000	U.S. Treasury Note, 0.13%, due 07/31/22		59,981,250
	60,000,000	U.S. Treasury Note, 0.13%, due 08/31/22 (b)		59,978,907
	60,000,000	U.S. Treasury Note, 0.13%, due 10/31/22 (b)		59,976,563
		Total U.S. Government		351,484,753
		Total United States		354,464,311
		TOTAL DEBT OBLIGATIONS (COST $355,609,544)		354,464,311
		MUTUAL FUNDS — 22.5%
		United States — 22.5%
		Affiliated Issuers — 22.5%
	2,492,451	GMO Emerging Country Debt Fund, Class IV		68,417,778
	4,210,292	GMO Emerging Markets Fund, Class VI		142,981,508
	5,213,891	GMO Opportunistic Income Fund, Class VI		136,395,398
	1,626,141	GMO SGM Major Markets Fund, Class VI		53,711,445
	2,267,763	GMO Special Opportunities Fund, Class VI		72,001,487

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares			Description	Value ($)
			United States — continued
			Affiliated Issuers — continued
	913,248		GMO U.S. Treasury Fund (g)		4,602,767
			TOTAL MUTUAL FUNDS (COST $435,149,743)		478,110,383
			SHORT-TERM INVESTMENTS — 1.1%
			Money Market Funds — 1.1%
	22,813,777		State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (h)		22,813,777
			TOTAL SHORT-TERM INVESTMENTS (COST $22,813,777)		22,813,777
			TOTAL INVESTMENTS — 108.8% (Cost $2,170,251,401)		2,311,192,954
			SECURITIES SOLD SHORT — (8.9)%
			Common Stocks — (8.9)%
			Australia — (0.3)%
	(13,948	)	Afterpay Ltd *		(971,833	)
	(192,684	)	APA Group		(1,460,415	)
	(8,846	)	ASX Ltd		(500,273	)
	(3,300	)	Cochlear Ltd		(534,765	)
	(8,073	)	Ramsay Health Care Ltd		(373,885	)
	(233,087	)	Sydney Airport		(1,150,107	)
	(48,012	)	TPG Telecom Ltd *		(271,053	)
	(142,308	)	Transurban Group		(1,468,440	)
			Total Australia		(6,730,771	)
			Austria — (0.0)%
	(15,206	)	Verbund AG		(1,068,695	)
			Canada — (0.0)%
	(73,300	)	AltaGas Ltd		(1,052,061	)
			China — (0.1)%
	(211,900	)	BEST Inc ADR *		(620,867	)
	(18,800	)	Yum China Holdings Inc		(1,059,944	)
			Total China		(1,680,811	)
			France — (0.5)%
	(28,305	)	Edenred		(1,617,493	)
	(91,341	)	Getlink SE *		(1,513,722	)
	(1,583	)	Hermes International		(1,540,191	)
	(2,518	)	Sartorius Stedim Biotech		(907,920	)
	(10,953	)	Ubisoft Entertainment SA *		(1,038,647	)
	(47,131	)	Vivendi SA		(1,412,916	)
	(13,763	)	Wendel SA		(1,555,010	)
			Total France		(9,585,899	)
			Germany — (0.6)%
	(13,270	)	Delivery Hero SE *		(1,613,463	)

Shares			Description	Value ($)
			Germany — continued
	(378	)	Deutsche Boerse AG		(62,964	)
	(15,383	)	Puma SE *		(1,524,346	)
	(13,196	)	QIAGEN NV *		(635,949	)
	(38,165	)	RWE AG		(1,578,594	)
	(3,272	)	Sartorius AG		(1,491,892	)
	(13,699	)	Scout24 AG		(1,043,870	)
	(2,588	)	TeamViewer AG *		(123,378	)
	(539,107	)	Telefonica Deutschland Holding AG		(1,488,082	)
	(55,370	)	thyssenkrupp AG *		(369,225	)
	(46,760	)	Uniper SE		(1,582,765	)
	(15,084	)	Zalando SE *		(1,532,190	)
			Total Germany		(13,046,718	)
			Italy — (0.2)%
	(6,907	)	Ferrari NV		(1,463,461	)
	(107,698	)	FinecoBank Banca Fineco SPA *		(1,700,306	)
	(14,740	)	Infrastrutture Wireless Italiane SPA		(189,798	)
			Total Italy		(3,353,565	)
			Japan — (1.3)%
	(60,700	)	Acom Co Ltd		(291,391	)
	(38,700	)	Asahi Intecc Co Ltd		(1,417,831	)
	(294,800	)	ENEOS Holdings Inc		(1,006,978	)
	(100	)	Fast Retailing Co Ltd		(81,936	)
	(11,700	)	GMO Payment Gateway Inc		(1,640,796	)
	(19,000	)	Hitachi Metals Ltd		(277,858	)
	(47,400	)	Idemitsu Kosan Co Ltd		(982,700	)
	(106,200	)	Isetan Mitsukoshi Holdings Ltd		(569,999	)
	(20,700	)	Japan Airport Terminal Co Ltd		(1,199,010	)
	(23,700	)	Japan Exchange Group Inc		(586,328	)
	(264	)	Japan Real Estate Investment Corp		(1,367,484	)
	(159,700	)	JGC Holding Corp		(1,421,828	)
	(91,200	)	Keikyu Corp		(1,559,988	)
	(2,900	)	Kintetsu Group Holdings Co Ltd		(128,444	)
	(72,300	)	Kyushu Electric Power Co Inc		(609,184	)
	(19,900	)	LINE Corp *		(1,025,447	)
	(43,900	)	LIXIL Group Corp		(1,050,515	)
	(20,400	)	M3 Inc		(1,877,243	)
	(30,200	)	McDonald’s Holdings Co Japan Ltd		(1,464,851	)
	(18,900	)	Mercari Inc *		(863,111	)
	(21,700	)	Mitsubishi Materials Corp		(410,270	)
	(40,400	)	Mitsubishi Motors Corp *		(72,686	)
	(26,300	)	MonotaRO Co Ltd		(1,599,746	)
	(15,500	)	Nihon M&A Center Inc		(1,083,042	)
	(15,000	)	Nippon Paint Holdings Co Ltd		(1,921,903	)
	(72,600	)	Nippon Yusen KK		(1,576,981	)
	(1,300	)	Nissin Foods Holdings Co Ltd		(107,294	)
	(14,400	)	Odakyu Electric Railway Co Ltd		(435,910	)
	(2,900	)	ORIENTAL LAND CO LTD		(492,580	)
	(90,500	)	Sharp Corp		(1,210,009	)
	(4,300	)	Yaskawa Electric Corp		(206,309	)
			Total Japan		(28,539,652	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares			Description	Value ($)
			Netherlands — (0.2)%
	(798	)	Adyen NV *		(1,524,303	)
	(292,002	)	Altice Europe NV *		(1,536,128	)
	(12,058	)	Just Eat Takeaway.com NV *		(1,283,236	)
			Total Netherlands		(4,343,667	)
			Norway — (0.0)%
	(3,729	)	Schibsted ASA – B Shares *		(135,619	)
			Peru — (0.0)%
	(19,800	)	Southern Copper Corp		(1,175,526	)
			Russia — (0.0)%
	(26,941	)	Magnit PJSC Sponsored GDR (Registered)		(404,824	)
			Singapore — (0.1)%
	(221,000	)	Singapore Exchange Ltd		(1,457,186	)
			Spain — (0.4)%
	(866,121	)	Bankia SA		(1,489,703	)
	(24,218	)	Cellnex Telecom SA		(1,534,126	)
	(52,488	)	Endesa SA		(1,508,640	)
	(55,008	)	Ferrovial SA		(1,536,120	)
	(49,223	)	Siemens Gamesa Renewable Energy SA		(1,765,326	)
			Total Spain		(7,833,915	)
			Sweden — (0.1)%
	(13,767	)	Evolution Gaming Group AB		(1,171,395	)
	(62,853	)	Lundin Energy AB		(1,501,590	)
			Total Sweden		(2,672,985	)
			Switzerland — (0.2)%
	(1	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(89,487	)
	(261	)	Partners Group Holding AG		(281,405	)
	(1,306	)	Straumann Holding AG (Registered)		(1,507,508	)
	(17,712	)	Swiss Re AG		(1,618,269	)
			Total Switzerland		(3,496,669	)
			United Kingdom — (0.7)%
	(21,024	)	Admiral Group Plc		(791,909	)
	(37,051	)	Antofagasta Plc		(611,824	)
	(191,455	)	Auto Trader Group Plc		(1,424,019	)
	(496,619	)	ConvaTec Group Plc		(1,366,015	)
	(31,050	)	Experian Plc		(1,100,098	)
	(115,622	)	GVC Holdings Plc *		(1,588,735	)
	(17,061	)	Halma Plc		(502,011	)
	(73,810	)	Hargreaves Lansdown Plc		(1,397,939	)
	(204,775	)	Informa Plc *		(1,434,407	)
	(20,192	)	Land Securities Group Plc (REIT)		(176,588	)
	(13,413	)	London Stock Exchange Group Plc		(1,446,614	)
	(46,654	)	Ocado Group Plc *		(1,371,684	)
	(17,376	)	Prudential Plc		(267,203	)

Shares			Description	Value ($)
			United Kingdom — continued
	(2,953	)	Spirax-Sarco Engineering Plc		(434,992	)
			Total United Kingdom		(13,914,038	)
			United States — (4.2)%
	(13,600	)	Advanced Micro Devices, Inc. *		(1,260,176	)
	(24,700	)	AES Corp. (The)		(504,868	)
	(500	)	Align Technology, Inc. *		(240,645	)
	(6,500	)	American Tower Corp. (REIT)		(1,502,800	)
	(135,600	)	Apache Corp.		(1,747,884	)
	(7,500	)	Arthur J Gallagher & Co.		(865,575	)
	(5,100	)	Autodesk, Inc. *		(1,429,173	)
	(6,800	)	Avalara, Inc. *		(1,167,900	)
	(5,800	)	Ball Corp.		(556,858	)
	(5,000	)	Black Knight, Inc. *		(458,100	)
	(27,700	)	Blackstone Group , Inc. (The) – Class A		(1,649,535	)
	(5,500	)	Burlington Stores, Inc. *		(1,201,970	)
	(1,600	)	Catalent, Inc. *		(153,824	)
	(29,900	)	Cheniere Energy, Inc. *		(1,695,031	)
	(1,200	)	Chipotle Mexican Grill, Inc. *		(1,547,316	)
	(11,400	)	Cognex Corp.		(856,596	)
	(600	)	CoStar Group, Inc. *		(546,342	)
	(4,000	)	Coupa Software, Inc. *		(1,315,640	)
	(8,700	)	Crowdstrike Holdings, Inc. – Class A *		(1,333,536	)
	(12,100	)	Datadog, Inc. – Class A *		(1,196,932	)
	(3,900	)	DexCom, Inc. *		(1,246,752	)
	(7,600	)	Digital Realty Trust, Inc. (REIT)		(1,024,100	)
	(6,900	)	DocuSign, Inc. *		(1,572,372	)
	(264,600	)	Endo International Plc *		(1,344,168	)
	(6,200	)	Equifax, Inc.		(1,034,780	)
	(1,900	)	Equinix, Inc. (REIT)		(1,325,801	)
	(23,800	)	Equity LifeStyle Properties, Inc. (REIT)		(1,394,442	)
	(700	)	Erie Indemnity Co. – Class A		(157,927	)
	(12,300	)	Exact Sciences Corp. *		(1,489,038	)
	(2,300	)	Extra Space Storage, Inc. (REIT)		(259,279	)
	(4,100	)	Fastenal Co.		(202,745	)
	(14,300	)	Guidewire Software, Inc. *		(1,751,464	)
	(2,400	)	Hologic, Inc. *		(165,912	)
	(2,100	)	IDEXX Laboratories, Inc. *		(968,058	)
	(11,600	)	IHS Markit Ltd.		(1,153,736	)
	(15,900	)	Ingersoll Rand, Inc. *		(703,893	)
	(6,200	)	Insulet Corp. *		(1,597,802	)
	(7,500	)	IQVIA Holdings, Inc. *		(1,267,425	)
	(18,600	)	Lamb Weston Holdings, Inc.		(1,346,268	)
	(4,300	)	Liberty Broadband Corp. – Class A *		(674,111	)
	(5,600	)	Liberty Broadband Corp. – Class C *		(881,160	)
	(36,800	)	Liberty Media Corp-Liberty Formula One – Class C *		(1,537,504	)
	(21,800	)	Live Nation Entertainment, Inc. *		(1,431,170	)
	(900	)	Lululemon Athletica, Inc. *		(333,198	)
	(2,700	)	MarketAxess Holdings, Inc.		(1,455,786	)
	(5,900	)	MongoDB, Inc. *		(1,695,129	)
	(4,000	)	MSCI, Inc.		(1,637,680	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(8,500	)	NIKE Inc. – Class B		(1,144,950	)
	(28,800	)	Nuance Communications, Inc. *		(1,242,144	)
	(6,800	)	Okta, Inc. *		(1,666,272	)
	(3,000	)	Paycom Software, Inc. *		(1,251,240	)
	(7,800	)	Pinterest, Inc. – Class A *		(546,156	)
	(4,600	)	Public Storage (REIT)		(1,032,516	)
	(5,100	)	RingCentral, Inc. – Class A *		(1,514,955	)
	(1,700	)	Rockwell Automation, Inc.		(434,452	)
	(5,200	)	Roku, Inc. *		(1,526,564	)
	(17,500	)	Rollins, Inc.		(1,000,650	)
	(3,000	)	ServiceNow, Inc. *		(1,603,650	)
	(40,000	)	Slack Technologies Inc. – Class A *		(1,715,200	)
	(41,000	)	Snap, Inc. – Class A*		(1,821,220	)
	(128,300	)	Southwestern Energy Co. *		(399,013	)
	(7,100	)	Splunk, Inc. *		(1,449,678	)
	(6,100	)	Square, Inc. – Class A *		(1,286,856	)
	(11,500	)	Starbucks Corp.		(1,127,230	)
	(3,100	)	Sun Communities, Inc. (REIT)		(430,900	)
	(3,400	)	Sunrun, Inc. *		(217,872	)
	(70,000	)	Targa Resources Corp.		(1,645,000	)
	(6,000	)	Teladoc Health, Inc. *		(1,192,620	)
	(3,900	)	Tesla, Inc. *		(2,213,640	)
	(5,100	)	Twilio, Inc. – Class A *		(1,632,459	)
	(38,500	)	UDR, Inc. (REIT)		(1,481,095	)
	(4,300	)	Vail Resorts, Inc.		(1,186,112	)

Shares			Description	Value ($)
			United States — continued
	(1,300	)	West Pharmaceutical Services, Inc.		(357,708	)
	(52,600	)	Williams Cos, Inc. (The)		(1,103,548	)
	(1,800	)	Workday, Inc. – Class A *		(404,622	)
	(16,300	)	Wynn Resorts Ltd.		(1,638,150	)
	(400	)	XPO Logistics, Inc. *		(42,672	)
	(14,700	)	Zillow Group, Inc. – Class C *		(1,584,807	)
	(800	)	Zoetis, Inc.		(128,304	)
	(2,700	)	Zoom Video Communications, Inc. – Class A *		(1,291,572	)
	(7,800)		Zscaler, Inc. *		(1,214,850	)
			Total United States		(89,411,078	)
			TOTAL COMMON STOCKS (PROCEEDS $176,004,844)		(189,903,679	)
			RIGHTS/WARRANTS — (0.0)%
			Spain — (0.0)%
	(41,811	)	Ferrovial SA, Expires 11/23/20 *		(11,914	)
			TOTAL RIGHTS/WARRANTS (PROCEEDS $9,790)		(11,914	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $176,014,634)		(189,915,593	)
			Other Assets and Liabilities (net) — 0.1%		2,804,977
			TOTAL NET ASSETS — 100.0%		$2,124,082,338

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/19/2021	MSCI	AUD	34,183,300	USD	24,408,747		(695,905	)
02/08/2021	BCLY	AUD	26,050,000	USD	18,767,123		(366,955	)
02/08/2021	DB	AUD	950,000	USD	678,189		(19,599	)
02/02/2021	CITI	BRL	2,117,973	USD	390,000		(4,894	)
01/13/2021	BOA	CHF	1,651,792	USD	1,810,000		(10,709	)
01/13/2021	JPM	CHF	3,845,361	USD	4,240,000		1,399
01/13/2021	MSCI	CHF	13,280,108	USD	14,486,074		(152,104	)
12/02/2020	MSCI	CLP	1,719,676,000	USD	2,230,234		(26,854	)
12/02/2020	MSCI.	CLP	227,250,000	USD	296,172		(2,095	)
02/03/2021	MSCI	COP	6,992,625,000	USD	1,825,751		(113,518	)
02/16/2021	CITI	CZK	18,356,684	USD	819,861		(15,099	)
01/19/2021	DB	EUR	6,685,900	USD	7,846,358		(140,777	)
01/19/2021	GS	EUR	73,506,550	USD	86,585,675		(1,227,003	)
01/19/2021	MSCI	EUR	32,557,600	USD	38,584,705		(309,380	)
01/19/2021	SSB	EUR	40,948,950	USD	48,010,773		(907,820	)
01/27/2021	BOA	EUR	370,000	USD	438,180		(3,910	)
01/13/2021	MSCI	GBP	2,040,000	USD	2,697,957		(23,469	)
01/19/2021	JPM	GBP	11,756,500	USD	15,213,758		(470,280	)
01/19/2021	MSCI	GBP	11,756,500	USD	15,198,509		(485,528	)
01/19/2021	SSB	GBP	16,748,900	USD	22,154,534		(189,733	)
01/19/2021	SSB	HKD	134,689,400	USD	17,371,935		(6,311	)
01/13/2021	MSCI	HUF	547,093,860	USD	1,795,148		(24,066	)
02/16/2021	CITI	IDR	2,700,356,000	USD	190,000		551
02/16/2021	JPM	IDR	5,231,160,000	USD	360,000		(7,002	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/29/2021	BOA	ILS	1,035,135	USD	310,000		(3,057	)
01/22/2021	BCLY	INR	23,102,750	USD	310,000		(461	)
01/22/2021	JPM	INR	24,835,140	USD	330,000		(3,742	)
01/19/2021	BOA	JPY	6,970,876,867	USD	66,363,718		(474,667	)
01/19/2021	DB	JPY	3,370,746,033	USD	32,085,964		(233,531	)
01/19/2021	JPM	JPY	1,345,354,900	USD	12,948,104		48,529
01/19/2021	MSCI	JPY	3,015,104,700	USD	29,022,733		113,210
02/09/2021	BOA	JPY	115,453,431	USD	1,110,000		2,719
02/09/2021	JPM	JPY	122,491,517	USD	1,180,000		5,218
02/24/2021	GS	JPY	1,875,151,766	USD	18,064,750		77,546
02/24/2021	MSCI	JPY	3,750,303,534	USD	36,132,734		158,326
01/20/2021	JPM	NOK	29,288,943	USD	3,181,599		(111,611	)
02/05/2021	BCLY	NZD	1,350,000	USD	901,352		(45,349	)
02/05/2021	JPM	NZD	6,460,000	USD	4,393,683		(136,455	)
02/05/2021	MSCI	NZD	14,290,000	USD	9,511,495		(509,507	)
02/02/2021	MSCI	PEN	2,268,770	USD	626,810		(2,425	)
12/03/2020	JPM	PHP	8,232,250	USD	170,000		(1,184	)
12/03/2020	MSCI	PHP	16,135,830	USD	333,316		(2,218	)
01/25/2021	JPM	PHP	24,368,080	USD	504,515		(772	)
02/16/2021	DB	PLN	1,685,679	USD	450,000		653
02/26/2021	BOA	RON	668,386	USD	162,192		(625	)
02/16/2021	BCLY	RUB	60,785,762	USD	780,000		(10,379	)
02/16/2021	MSCI	RUB	23,368,260	USD	300,000		(3,850	)
02/05/2021	BCLY	SEK	4,685,558	USD	540,000		(7,016	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
02/05/2021	JPM	SEK	20,515,735	USD	2,380,000		(15,113	)
01/15/2021	BCLY	SGD	240,806	USD	180,000		444
12/07/2020	BCLY	TWD	7,972,160	USD	280,000		709
12/07/2020	CITI	TWD	6,854,208	USD	240,000		(125	)
12/07/2020	JPM	TWD	3,977,960	USD	140,000		639
12/07/2020	MSCI	TWD	11,736,192	USD	411,075		(82	)
01/19/2021	DB	USD	3,445,569	AUD	4,866,400		128,377
02/08/2021	BOA	USD	922,292	AUD	1,290,000		25,231
02/02/2021	JPM	USD	683,173	BRL	3,923,256		48,314
02/03/2021	JPM	USD	9,908,468	CAD	13,176,528		241,271
02/03/2021	MSCI	USD	9,910,665	CAD	13,176,527		239,072
12/02/2020	MSCI	USD	2,171,167	CLP	1,666,466,000		16,082
12/02/2020	MSCI.	USD	370,000	CLP	280,460,000		(1,894	)
02/26/2021	MSCI	USD	1,259,168	CLP	973,463,000		20,882
02/03/2021	MSCI	USD	420,000	COP	1,518,380,000		1,093
02/16/2021	BOA	USD	260,000	CZK	5,786,739		3,212
02/16/2021	CITI	USD	180,000	CZK	3,990,942		1,529
02/16/2021	DB	USD	280,000	CZK	6,119,851		(1,637	)
01/19/2021	BOA	USD	16,112,076	EUR	13,792,826		365,163
01/19/2021	DB	USD	8,912,054	EUR	7,532,200		86,092
01/19/2021	MSCI	USD	8,391,554	EUR	7,187,774		195,132
01/27/2021	DB	USD	12,523,927	EUR	10,545,000		75,651
01/27/2021	JPM	USD	7,183,628	EUR	6,040,000		33,200
01/13/2021	MSCI	USD	5,622,479	GBP	4,345,000		173,892
01/19/2021	DB	USD	7,423,528	GBP	5,745,100		240,859
01/19/2021	MSCI	USD	3,192,064	GBP	2,441,700		65,344
01/19/2021	SSB	USD	1,900,011	GBP	1,444,900		27,592
01/19/2021	SSB	USD	3,844,236	HKD	29,802,500		1,019
02/16/2021	JPM	USD	931,705	IDR	13,861,913,000		40,804
01/29/2021	MSCI	USD	1,065,657	ILS	3,611,297		26,511

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/22/2021	JPM	USD	186,672	INR	13,850,098		(550	)
01/19/2021	BOA	USD	3,854,745	JPY	405,167,200		30,092
01/19/2021	BONY	USD	2,594,085	JPY	270,788,000		2,293
01/19/2021	CITI	USD	2,445,363	JPY	255,333,600		2,835
02/09/2021	BOA	USD	4,650,000	JPY	487,210,785		22,702
02/09/2021	MSCI	USD	12,425,895	JPY	1,287,912,940		(73,884	)
02/19/2021	MSCI	USD	1,688,951	KRW	1,868,385,160		(4,236	)
01/21/2021	BOA	USD	420,000	MXN	8,780,009		12,156
01/21/2021	CITI	USD	330,000	MXN	7,036,432		16,336
01/21/2021	GS	USD	360,000	MXN	7,712,060		19,591
01/21/2021	MSCI	USD	631,335	MXN	13,456,437		30,997
01/20/2021	JPM	USD	2,850,000	NOK	26,230,670		99,341
02/05/2021	JPM	USD	4,213,079	NZD	6,280,000		190,832
02/02/2021	MSCI	USD	760,000	PEN	2,728,000		(3,399	)
12/03/2020	JPM	USD	505,562	PHP	24,368,080		1,156
02/16/2021	MSCI	USD	651,964	PLN	2,473,211		7,313
02/16/2021	BCLY	USD	85,248	RUB	6,645,694		1,164
02/05/2021	BCLY	USD	17,139,423	SEK	152,535,720		668,387
02/05/2021	JPM	USD	1,610,000	SEK	14,482,713		80,787
01/15/2021	GS	USD	270,000	SGD	366,616		3,366
01/15/2021	MSCI	USD	280,000	SGD	379,411		2,906
01/15/2021	BOA	USD	660,000	THB	20,607,939		21,120
02/16/2021	BCLY	USD	1,810,000	TRY	14,428,777		(16,759	)
12/07/2020	JPM	USD	1,059,919	TWD	30,540,520		10,015
02/02/2021	MSCI	USD	414,706	TWD	11,736,192		(146	)
01/29/2021	DB	USD	510,000	ZAR	8,384,318		27,373
01/29/2021	MSCI	USD	1,123,904	ZAR	18,554,870		65,326
						$	(3,085,332	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
214	Mini MSCI Emerging Markets	December 2020		12,864,610		456,630
Sales
1,490	E-mini Russell 2000 Index	December 2020		135,597,450		(24,074,439	)
3,586	Euro STOXX 50	December 2020		149,783,388		(8,531,253	)
481	FTSE 100 Index	December 2020		40,125,038		(1,589,820	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
79	Hang Seng Index	December 2020		13,451,283		94,099
1,619	S&P 500 E-Mini	December 2020		293,298,040		(21,625,443	)
76	SGX Nifty 50	December 2020		1,965,062		2,566
180	SPI 200	December 2020		21,530,134		(2,054,563	)
1,122	TOPIX Index	December 2020		188,371,580		(14,714,612	)
			$	844,121,975	$	(72,493,465	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Reverse Repurchase Agreements

Average balance outstanding	$	(20,500,000	)
Average interest rate (net)		(0.65	)%
Maximum balance outstanding	$	(20,500,000	)

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.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 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) ($)
3 Month AUD BBSW	0.15%	AUD	10,276,000		12/16/2022	Quarterly		1,263			10,398			9,135
3 Month AUD BBSW	0.10%	AUD	15,130,000		12/16/2022	Quarterly		(731	)		4,210			4,941
0.07%	3 Month AUD BBSW	AUD	16,180,000		12/16/2022	Quarterly		—			2,027			2,027
(0.67)%	6 Month CHF LIBOR	CHF	12,560,000		12/16/2022	Semi-Annually		3,045			(9,694	)		(12,739	)
6 Month CHF LIBOR	(0.72)%	CHF	8,670,000		12/16/2022	Semi-Annually		(59	)		(1,224	)		(1,165	)
0.18%	3 Month NZD Bank Bill Rate	NZD	97,930,000		12/16/2022	Quarterly		19,063			90,433			71,370
(0.05)%	3 Month SEK STIBOR	SEK	63,000,000		12/16/2022	Quarterly		615			932			317
3 Month SEK STIBOR	(0.04)%	SEK	61,900,000		12/16/2022	Quarterly		179			529			350
3 Month SEK STIBOR	(0.03)%	SEK	77,300,000		12/16/2022	Quarterly		—			1,111			1,111
0.56%	3 Month CAD LIBOR	CAD	27,170,000		12/19/2022	Semi-Annually		3,401			(3,241	)		(6,642	)
0.55%	3 Month CAD LIBOR	CAD	9,820,000		12/19/2022	Semi-Annually		—			(109	)		(109	)
0.55%	3 Month CAD LIBOR	CAD	9,280,000		12/19/2022	Semi-Annually		—			328			328
6 Month EURIBOR	(0.48)%	EUR	10,270,000		12/21/2022	Semi-Annually		3,004			9,667			6,663
6 Month GBP LIBOR	0.08%	GBP	46,660,000		12/21/2022	Semi-Annually		18,561			(11,318	)		(29,879	)
3 Month USD LIBOR	0.23%	USD	4,085,000		12/21/2022	Quarterly		24			(579	)		(603	)
3 Month USD LIBOR	0.24%	USD	11,090,000		12/21/2022	Quarterly		(4,423	)		1,777			6,200
6 Month AUD BBSW	0.79%	AUD	7,060,000		12/16/2030	Semi-Annually		733			(54,640	)		(55,373	)
0.93%	6 Month AUD BBSW	AUD	2,200,000		12/16/2030	Semi-Annually		—			(5,298	)		(5,298	)
6 Month AUD BBSW	0.89%	AUD	3,380,000		12/16/2030	Semi-Annually		—			(224	)		(224	)
0.87%	6 Month AUD BBSW	AUD	2,130,000		12/16/2030	Semi-Annually		(1,673	)		3,655			5,328
0.76%	6 Month AUD BBSW	AUD	3,140,000		12/16/2030	Semi-Annually		1,688			29,706			28,018
0.77%	6 Month AUD BBSW	AUD	600,000		12/16/2030	Semi-Annually		—			5,160			5,160
0.88%	6 Month AUD BBSW	AUD	1,690,000		12/16/2030	Semi-Annually		—			2,293			2,293
3 Month CAD LIBOR	1.11%	CAD	3,450,000		12/16/2030	Semi-Annually		(982	)		(22,130	)		(21,148	)
3 Month CAD LIBOR	1.09%	CAD	6,150,000		12/16/2030	Semi-Annually		—			(49,055	)		(49,055	)
3 Month CAD LIBOR	1.09%	CAD	1,090,000		12/16/2030	Semi-Annually		—			(8,856	)		(8,856	)
3 Month CAD LIBOR	1.11%	CAD	2,100,000		12/16/2030	Semi-Annually		—			(14,095	)		(14,095	)
3 Month CAD LIBOR	1.13%	CAD	3,360,000		12/16/2030	Semi-Annually		—			(17,555	)		(17,555	)
3 Month CAD LIBOR	1.15%	CAD	850,000		12/16/2030	Semi-Annually		—			(3,177	)		(3,177	)
3 Month CAD LIBOR	1.28%	CAD	16,700,000		12/16/2030	Semi-Annually		(4,563	)		99,050			103,613
3 Month CAD LIBOR	1.23%	CAD	4,330,000		12/16/2030	Semi-Annually		3,995			9,580			5,585
3 Month CAD LIBOR	1.20%	CAD	31,580,000		12/16/2030	Semi-Annually		(53,455	)		(588	)		52,867
6 Month CHF LIBOR	(0.30)%	CHF	26,200,000		12/16/2030	Semi-Annually		(10,370	)		(26,442	)		(16,072	)
(0.27)%	6 Month CHF LIBOR	CHF	1,620,000		12/16/2030	Semi-Annually		—			(4,785	)		(4,785	)
(0.29)%	6 Month CHF LIBOR	CHF	2,640,000		12/16/2030	Semi-Annually		—			(1,819	)		(1,819	)
6 Month CHF LIBOR	(0.26)%	CHF	2,220,000		12/16/2030	Semi-Annually		(3,221	)		9,071			12,292
(0.32)%	6 Month CHF LIBOR	CHF	1,440,000		12/16/2030	Semi-Annually		—			4,714			4,714
3 Month NZD Bank Bill Rate	0.55%	NZD	9,100,000		12/16/2030	Quarterly		16,857			(205,702	)		(222,559	)
3 Month NZD Bank Bill Rate	0.46%	NZD	4,550,000		12/16/2030	Quarterly		(2,514	)		(133,570	)		(131,056	)
3 Month NZD Bank Bill Rate	0.48%	NZD	7,930,000		12/16/2030	Quarterly		197			(221,979	)		(222,176	)
3 Month NZD Bank Bill Rate	0.74%	NZD	1,930,000		12/16/2030	Quarterly		—			(19,474	)		(19,474	)
3 Month NZD Bank Bill Rate	0.81%	NZD	2,260,000		12/16/2030	Quarterly		379			(12,400	)		(12,779	)
3 Month NZD Bank Bill Rate	0.78%	NZD	21,590,000		12/16/2030	Quarterly		(38,974	)		(155,274	)		(116,300	)
3 Month NZD Bank Bill Rate	0.82%	NZD	13,370,000		12/16/2030	Quarterly		(1,225	)		(56,493	)		(55,268	)
3 Month NZD Bank Bill Rate	0.86%	NZD	15,930,000		12/16/2030	Quarterly		(1,940	)		(27,657	)		(25,717	)
0.59%	3 Month NZD Bank Bill Rate	NZD	17,360,000		12/16/2030	Quarterly		(8,024	)		354,531			362,555
0.85%	3 Month NZD Bank Bill Rate	NZD	1,920,000		12/16/2030	Quarterly		—			5,298			5,298
3 Month SEK STIBOR	0.30%	SEK	10,500,000		12/16/2030	Quarterly		—			(5,212	)		(5,212	)
0.37%	3 Month SEK STIBOR	SEK	20,200,000		12/16/2030	Quarterly		120			(4,580	)		(4,700	)
0.39%	3 Month SEK STIBOR	SEK	18,320,000		12/16/2030	Quarterly		—			(9,664	)		(9,664	)
0.39%	3 Month SEK STIBOR	SEK	15,700,000		12/16/2030	Quarterly		—			(8,100	)		(8,100	)
3 Month SEK STIBOR	0.34%	SEK	125,570,000		12/16/2030	Quarterly		(32,265	)		(15,114	)		17,151
0.30%	3 Month SEK STIBOR	SEK	16,100,000		12/16/2030	Quarterly		—			9,016			9,016
0.31%	3 Month SEK STIBOR	SEK	21,600,000		12/16/2030	Quarterly		—			9,097			9,097
(0.18)%	6 Month EURIBOR	EUR	30,830,000		12/18/2030	Semi-Annually		21,772			(270,823	)		(292,595	)
(0.21)%	6 Month EURIBOR	EUR	26,530,000		12/18/2030	Semi-Annually		(12,833	)		(151,643	)		(138,810	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
(0.18)%	6 Month EURIBOR	EUR	2,050,000		12/18/2030	Semi-Annually		(7,655	)		(19,266	)		(11,611	)
0.45%	6 Month GBP LIBOR	GBP	10,010,000		12/18/2030	Semi-Annually		(3,889	)		38,625			42,514
0.36%	6 Month GBP LIBOR	GBP	1,170,000		12/18/2030	Semi-Annually		(103	)		18,475			18,578
6 Month GBP LIBOR	0.54%	GBP	1,680,000		12/18/2030	Semi-Annually		4,286			12,450			8,164
6 Month GBP LIBOR	0.53%	GBP	2,480,000		12/18/2030	Semi-Annually		3,634			16,077			12,443
3 Month USD LIBOR	0.82%	USD	1,880,000		12/18/2030	Quarterly		(874	)		(5,775	)		(4,901	)
3 Month USD LIBOR	0.75%	USD	1,130,000		12/18/2030	Quarterly		280			(11,219	)		(11,499	)
0.86%	3 Month USD LIBOR	USD	1,500,000		12/18/2030	Quarterly		—			(975	)		(975	)
0.85%	3 Month USD LIBOR	USD	1,500,000		12/18/2030	Quarterly		—			(20	)		(20	)
0.85%	3 Month USD LIBOR	USD	3,090,000		12/18/2030	Quarterly		—			(193	)		(193	)
0.86%	3 Month USD LIBOR	USD	3,060,000		12/18/2030	Quarterly		—			(3,638	)		(3,638	)
0.88%	3 Month USD LIBOR	USD	3,270,000		12/18/2030	Quarterly		—			(8,692	)		(8,692	)
0.70%	3 Month USD LIBOR	USD	6,080,000		12/18/2030	Quarterly		7,966			90,137			82,171
0.88%	3 Month USD LIBOR	USD	27,690,000		12/18/2030	Quarterly		(101,961	)		(80,387	)		21,574
							$	(180,672	)	$	(824,332	)	$	(643,660	)

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	2,245,935	12/07/2020		Monthly		—		(7,417	)		(7,417	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.75%	GS		USD	845,043	05/24/2022		Monthly		—		10,552			10,552
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.75%	GS		USD	187,066	05/24/2022		Monthly		—		6,869			6,869
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.50%	GS		USD	541,292	05/24/2022		Monthly		—		59,962			59,962
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.75%	GS		USD	89,803	05/24/2022		Monthly		—		(1,534	)		(1,534	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.50%	GS		USD	35,053	05/24/2022		Monthly		—		676			676
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.75%	GS		USD	107,922	05/24/2022		Monthly		—		575			575
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	1	06/20/2022		Monthly		—		—			—
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	329,064	10/18/2022		Monthly		—		19,331			19,331
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	15,904,466	10/18/2022		Monthly		—		(333,636	)		(333,636	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus0.50%	MORD		USD	77,076	10/18/2022		Monthly		—		6			6
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	249,253	10/18/2022		Monthly		—		660			660
									$	—	$	(243,956	)	$	(243,956	)

As of November 30, 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 Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(b) 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) Investment valued using significant unobservable inputs.

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

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

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

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

(h) The rate disclosed is the 7 day net yield as of November 30, 2020.

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

The rates shown on variable rate notes are the current interest rates at November 30, 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

CVA - Certificaaten van aandelen (Share Certificates)

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

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.

BONY – Bank of New York

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

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 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

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

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 99.0%
		Affiliated Issuers — 99.0%
	4,711,974	GMO Alternative Allocation Fund, Class VI		93,202,854
	2,551,459	GMO Asset Allocation Bond Fund, Class VI		61,617,736
	1,156,435	GMO Cyclical Focus Fund, Class IV		32,229,842
	1,211,213	GMO Emerging Country Debt Fund, Class IV		33,247,794
	5,442,744	GMO Emerging Markets Fund, Class VI		184,835,587
	7,537,169	GMO International Equity Fund, Class IV		168,003,507
	1,813,768	GMO-Usonian Japan Value Creation Fund, Class VI		39,086,693
	5,854,275	GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV		131,018,672
	717,569	GMO Opportunistic Income Fund, Class VI		18,771,610
	709,061	GMO Quality Fund, Class VI		19,080,841
	437,224	GMO Risk Premium Fund, Class VI		11,822,536
	5,791,171	GMO U.S. Equity Fund, Class VI		75,922,248
	2,756,108	GMO U.S. Small Cap Value Fund, Class VI		56,720,710
	377,597	GMO U.S. Treasury Fund		1,903,090
		TOTAL MUTUAL FUNDS (COST $912,499,519)		927,463,720
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	20,807	ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A,Variable Rate, 1 mo. LIBOR + 0.28%, 0.43%, due 02/25/36		5,752

Par Value† / Shares		Description	Value ($)
		Asset-Backed Securities — continued
	10,749	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.65%, due 10/25/34		10,144
	11,360	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.39%, due 02/26/34		9,686
		TOTAL DEBT OBLIGATIONS (COST $28,956)		25,582
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	285,577	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		285,577
		TOTAL SHORT-TERM INVESTMENTS (COST $285,577)		285,577
		TOTAL INVESTMENTS — 99.0% (Cost $912,814,052)		927,774,879
		Other Assets and Liabilities (net) — 1.0%		9,492,402
		TOTAL NET ASSETS — 100.0%		$937,267,281

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
1/19/21	SSB		JPY	2,269,278,600		USD	21,770,812		12,442
2/24/21	SSB		JPY	1,843,558,600		USD	17,761,185		77,035
								$	89,477

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
287	MSCI EAFE	December 2020		29,173,550		(1,593,404	)
237	TOPIX Index	December 2020		39,789,719		(2,682,310	)
			$	68,963,269	$	(4,275,714	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 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) The rate disclosed is the 7 day net yield as of November 30, 2020.

The rates shown on variable rate notes are the current interest rates at November 30, 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.

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

LIBOR - London Interbank Offered Rate

Counterparty Abbreviations:

SSB - State Street Bank and Trust Company

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	155,500	GMO Cyclical Focus Fund, Class IV		4,333,785
	229,957	GMO Emerging Markets Fund, Class VI		7,809,337
	1,492,348	GMO International Equity Fund, Class IV		33,264,445
	145,092	GMO-Usonian Japan Value Creation Fund, Class VI		3,126,725
	366,350	GMO Quality Fund, Class VI		9,858,481
	969,980	GMO U.S. Equity Fund, Class VI		12,716,436
	384,765	GMO U.S. Small Cap Value Fund, Class VI		7,918,466
		TOTAL MUTUAL FUNDS (COST $69,309,706)		79,027,675
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	58,155	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		58,155
		TOTAL SHORT-TERM INVESTMENTS (COST $58,155)		58,155
		TOTAL INVESTMENTS — 100.0% (Cost $69,367,861)		79,085,830
		Other Assets and Liabilities (net) — (0.0%)		(34,712	)
		TOTAL NET ASSETS — 100.0%		$79,051,118

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2020.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	2,969,717	GMO Cyclical Focus Fund, Class VI		82,766,008
	12,745,018	GMO Emerging Markets Fund, Class VI		432,820,810
	24,008,750	GMO International Equity Fund, Class IV		535,155,033
	2,940,296	GMO-Usonian Japan Value Creation Fund, Class VI		63,363,378
	8,083,794	GMO Quality Fund, Class VI		217,534,890
	7,522,862	GMO U.S. Equity Fund, Class VI		98,624,725
	7,672,549	GMO U.S. Small Cap Value Fund, Class VI		157,901,052
		TOTAL MUTUAL FUNDS (COST $1,517,014,675)		1,588,165,896
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	539,758	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		539,758
		TOTAL SHORT-TERM INVESTMENTS (COST $539,758)		539,758
		TOTAL INVESTMENTS — 100.0% (Cost $1,517,554,433)		1,588,705,654
		Other Assets and Liabilities (net) — (0.0%)		(62,506	)
		TOTAL NET ASSETS — 100.0%		$1,588,643,148

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2020.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 78.9%
		Argentina — 0.1%
	74,700	Banco BBVA Argentina SA ADR *		239,040
	17,400	Globant SA *		3,283,032
	97,300	Grupo Financiero Galicia SA ADR		837,753
		Total Argentina		4,359,825
		Australia — 1.1%
	237,711	Accent Group Ltd		377,049
	120,256	Adairs Ltd		279,781
	46,846	Ampol Ltd		1,053,614
	109,822	Ansell Ltd		3,003,892
	216,982	Asaleo Care Ltd		159,501
	39,708	AUB Group Ltd		486,706
	639,040	Australian Pharmaceutical Industries Ltd		564,701
	48,776	Aventus Group (REIT)		95,642
	23,659	BHP Group Ltd		659,761
	335,871	BlueScope Steel Ltd		4,202,570
	3,612	Brickworks Ltd		51,211
	893,605	Coca-Cola Amatil Ltd		8,275,033
	50,760	Codan Ltd (a)		393,777
	45,930	Computershare Ltd		481,250
	192,226	Coronado Global Resources Inc		148,801
	409,817	Dexus (REIT)		2,936,209
	1,148,987	Fortescue Metals Group Ltd		15,307,491
	139,743	G8 Education Ltd (a)		120,405
	82,845	GDI Property Group (REIT)		70,014
	350,053	Genworth Mortgage Insurance Australia Ltd		679,445
	1,174,271	GPT Group (The) (REIT)		4,058,555
	155,490	JB Hi-Fi Ltd (a)		5,222,904
	74,492	McMillan Shakespeare Ltd		649,776
	728,166	Mirvac Group (REIT)		1,375,778
	276,889	Mount Gibson Iron Ltd		152,087
	56,042	Rio Tinto Ltd		4,181,238
	358,390	Sandfire Resources NL		1,153,486
	2,025,490	Scentre Group (REIT)		4,143,320
	357,735	Sigma Healthcare Ltd * (a)		147,020
	636,738	Stockland (REIT)		2,114,709
	50,535	Tassal Group Ltd (a)		134,253
	33,424	Virtus Health Ltd *		131,004
		Total Australia		62,810,983
		Austria — 0.0%
	6,988	AT&S Austria Technologie & Systemtechnik AG		167,045
	1,959	Vienna Insurance Group AG Wiener Versicherung Gruppe		46,669
		Total Austria		213,714

Shares		Description	Value ($)
		Belgium — 0.3%
	105,627	Ageas SA/NV		5,171,564
	134,536	AGFA-Gevaert NV *		556,790
	35,018	bpost SA		422,434
	23,298	Econocom Group SA/NV (a)		65,691
	11,129	Etablissements Franz Colruyt NV		663,308
	2,978	Orange Belgium SA		57,493
	792	Sofina SA		251,408
	71,201	UCB SA		7,619,409
		Total Belgium		14,808,097
		Brazil — 0.8%
	106,700	Banco Bradesco SA		431,190
	423,800	Banco do Brasil SA		2,678,513
	805,500	Camil Alimentos SA		1,674,930
	523,120	Cia de Saneamento Basico do Estado de Sao Paulo		4,349,081
	578,200	Cia de Saneamento do Parana		2,698,137
	91,900	Cia Paranaense de Energia		1,117,916
	1,097,800	Cielo SA		727,440
	844,100	Cogna Educacao *		738,946
	127,500	Dimed SA Distribuidora da Medicamentos		524,765
	605,200	IRB Brasil Resseguros SA		748,960
	136,600	Mahle-Metal Leve SA		489,041
	233,100	Marfrig Global Foods SA *		638,725
	3,664,100	Petrobras Distribuidora SA		14,041,134
	86,200	Porto Seguro SA		762,661
	284,200	Qualicorp Consultoria e Corretora de Seguros SA		1,759,606
	568,000	Telefonica Brasil SA		4,744,466
	217,300	TIM SA		547,164
	394,600	Tupy SA *		1,579,903
	296,600	WEG SA		4,073,032
		Total Brazil		44,325,610
		Canada — 1.1%
	50,300	AGF Management Ltd – Class B		216,119
	1,300	Bank of Montreal		93,423
	140,142	Brookfield Asset Management Inc – Class A (a)		5,674,350
	30,848	BRP Inc		1,759,859
	40,000	Canaccord Genuity Group Inc (a)		275,352
	33,800	Canadian Apartment Properties (REIT)		1,331,491
	9,400	Canadian Imperial Bank of Commerce		792,417
	5,100	Canadian Tire Corp Ltd – Class A		651,765
	8,800	Canfor Pulp Products Inc		39,640
	83,100	Cascades Inc		934,211
	138,800	Celestica Inc *		1,045,248
	114,100	CI Financial Corp		1,495,328
	10,600	Cogeco Inc		649,288
	214,500	Fortuna Silver Mines Inc * (a)		1,365,916

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	27,600	iA Financial Corp Inc		1,208,602
	60,300	IGM Financial Inc		1,594,906
	86,300	Imperial Oil Ltd (a)		1,493,820
	24,200	Linamar Corp		1,114,687
	65,500	Magna International Inc (a)		4,016,647
	128,400	Manulife Financial Corp		2,187,951
	35,800	Martinrea International Inc		391,989
	6,100	Morguard North American Residential Real Estate Investment Trust		75,434
	102,743	Nutrien Ltd		5,062,148
	145,000	Power Corp of Canada		3,264,649
	25,100	Real Matters Inc *		370,306
	65,100	RioCan Real Estate Investment Trust		879,228
	139,600	Royal Bank of Canada		11,400,613
	15,900	Teekay Tankers Ltd – Class A * (a)		185,076
	197,600	TELUS Corp (a)		3,811,411
	23,200	TFI International Inc		1,177,239
	134,700	Toronto-Dominion Bank (The) (a)		7,185,660
	41,900	Tourmaline Oil Corp		583,316
	11,800	Transat AT Inc * (a)		53,335
	76,620	Transcontinental Inc – Class A		1,137,471
	11,900	Wajax Corp		155,771
	2,200	West Fraser Timber Co Ltd		121,816
		Total Canada		63,796,482
		Chile — 0.1%
	1,586,260	Aguas Andinas SA – Class A		460,117
	47,368	Empresa Nacional de Telecomunicaciones SA		287,229
	288,600	Enel Americas SA ADR		2,095,236
	14,339	Inversiones La Construccion SA		89,553
		Total Chile		2,932,135
		China — 14.0%
	5,276,000	361 Degrees International Ltd		660,735
	270,000	7Road Holdings Ltd *		92,429
	9,263,000	Agile Group Holdings Ltd		13,374,302
	59,867,000	Agricultural Bank of China Ltd – Class H		22,731,147
	46,000	AK Medical Holdings Ltd		72,466
	210,300	Alibaba Group Holding Ltd Sponsored ADR *		55,384,608
	4,341,832	Anhui Conch Cement Co Ltd – Class H		27,752,398
	463,372	Anhui Expressway Co Ltd – Class H		264,031
	139,500	Asia Cement China Holdings Corp		139,282
	16,565,500	BAIC Motor Corp Ltd – Class H		6,200,095
	45,000	Baidu Inc Sponsored ADR * (b)		6,254,550
	96,628,000	Bank of China Ltd – Class H		34,105,475
	45,993,000	Bank of Communications Co Ltd – Class H		25,416,087
	94,000	Beijing Enterprises Holdings Ltd		304,595
	701,675	Beijing North Star Co Ltd – Class H		145,674
	261,700	BEST Inc ADR *		766,781

Shares		Description	Value ($)
		China — continued
	152,600	BYD Co Ltd – Class A		3,969,684
	147,000	BYD Electronic International Co Ltd		727,131
	18,389,000	China Cinda Asset Management Co Ltd – Class H		3,580,802
	4,209,000	China CITIC Bank Corp Ltd – Class H		1,820,565
	1,934,000	China Communications Construction Co Ltd – Class H		1,002,451
	8,546,485	China Communications Services Corp Ltd – Class H		4,554,614
	44,202,803	China Construction Bank Corp – Class H		34,554,769
	1,472,000	China Dongxiang Group Co Ltd		170,884
	1,630,000	China Eastern Airlines Corp Ltd – Class H		736,029
	6,245,000	China Everbright Bank Co Ltd – Class H		2,435,933
	3,370,000	China Feihe Ltd		8,048,257
	3,659,000	China Greenfresh Group Co Ltd * (c)		38,237
	551,500	China Hongqiao Group Ltd		481,594
	29,298,000	China Huarong Asset Management Co Ltd – Class H		3,358,699
	3,066,000	China Jinmao Holdings Group Ltd		1,580,011
	9,013,000	China Lesso Group Holdings Ltd		16,110,641
	1,627,000	China Lilang Ltd		1,116,178
	7,858,000	China Machinery Engineering Corp – Class H		1,642,939
	9,350,925	China Medical System Holdings Ltd		9,547,867
	4,101,500	China Mobile Ltd (b)		24,466,276
	18,700	China Mobile Ltd Sponsored ADR		558,195
	16,716,000	China National Building Material Co Ltd – Class H		21,915,177
	3,174,000	China Oriental Group Co Ltd		951,203
	246,000	China Overseas Grand Oceans Group Ltd		146,717
	2,527,000	China Overseas Land & Investment Ltd		6,152,709
	50,630,000	China Petroleum & Chemical Corp – Class H		22,744,991
	15,768,700	China Railway Construction Corp Ltd – Class H		10,420,258
	34,578,000	China Railway Group Ltd – Class H		17,068,396
	1,707,000	China Railway Signal & Communication Corp Ltd – Class H		605,628
	5,441,000	China Reinsurance Group Corp – Class H		575,615
	1,918,000	China Resources Cement Holdings Ltd		2,382,017
	56,000	China Resources Gas Group Ltd		269,902
	2,550,000	China Resources Land Ltd		11,035,603
	11,664,000	China Resources Pharmaceutical Group Ltd		6,306,813
	1,627,000	China Shenhua Energy Co Ltd – Class H		3,137,955
	2,203,000	China Shineway Pharmaceutical Group Ltd		1,507,005
	229,000	China Taiping Insurance Holdings Co Ltd		404,944
	32,112,000	China Telecom Corp Ltd – Class H		9,663,280
	1,490,000	China Traditional Chinese Medicine Holdings Co Ltd		700,262
	140,700	China Vanke Co Ltd – Class H		534,399
	36,200	China Yuchai International Ltd		609,608

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		China — continued
	3,526,800	China Zhongwang Holdings Ltd *		768,137
	648,000	Chongqing Rural Commercial Bank Co Ltd – Class H		277,851
	1,744,000	COSCO Shipping Energy Transportation Co Ltd – Class H		767,256
	8,777,506	Country Garden Holdings Co Ltd		11,574,795
	92,000	Country Garden Services Holdings Co Ltd		514,048
	4,960,000	Dongfeng Motor Group Co Ltd – Class H		5,103,046
	4,953,000	Dongyue Group Ltd		2,583,431
	2,878,500	Fantasia Holdings Group Co Ltd *		560,401
	404,000	Fosun International Ltd		582,984
	1,300	G-bits Network Technology Xiamen Co Ltd – Class A		74,306
	1,405,000	Geely Automobile Holdings Ltd		3,886,832
	3,421,500	Great Wall Motor Co Ltd – Class H		6,918,784
	822,000	Greenland Hong Kong Holdings Ltd		254,092
	2,550,000	Guangdong Investment Ltd		4,228,149
	1,334,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		3,429,742
	2,770,800	Guangzhou R&F Properties Co Ltd – Class H		3,615,644
	531,400	Guotai Junan Securities Co Ltd – Class H		782,799
	680,000	Haier Electronics Group Co Ltd		3,241,635
	885,000	Hebei Construction Group Corp Ltd – Class H		2,512,131
	1,000	Hengan International Group Co Ltd		6,878
	2,675,044	Hisense Home Appliances Group Co Ltd – Class A		6,072,303
	1,529,000	Hisense Home Appliances Group Co Ltd – Class H		2,298,140
	81,900	Hollysys Automation Technologies Ltd		1,032,759
	898,000	Hopson Development Holdings Ltd		2,345,931
	4,468,000	Huabao International Holdings Ltd		6,080,550
	6,295,000	IGG Inc		6,282,742
	29,812,400	Industrial & Commercial Bank of China Ltd – Class H		18,833,234
	172,000	Jingrui Holdings Ltd		45,957
	36,000	JNBY Design Ltd		40,704
	2,700	JOYY Inc ADR (a)		240,489
	149,500	Kingboard Holdings Ltd		571,197
	810,500	Kingboard Laminates Holdings Ltd		1,307,558
	386,250	KWG Living Group Holdings Ltd *		298,992
	1,196,500	KWG Property Holding Ltd		1,636,907
	2,342,900	Legend Holdings Corp – Class H		3,190,108
	1,348,000	Livzon Pharmaceutical Group Inc – Class H		5,310,382
	1,184,000	Logan Group Co Ltd		1,982,090
	1,062,000	Longfor Group Holdings Ltd		6,939,986
	10,134,000	Lonking Holdings Ltd		2,926,160
	109,800	Lufax Holding Ltd * (a)		1,808,406
	2,785,000	Metallurgical Corp of China Ltd – Class H		506,419
	153,000	Momo Inc Sponsored ADR (a)		2,200,140

Shares		Description	Value ($)
		China — continued
	340,900	NetEase Inc ADR (a) (b)		30,807,133
	1,705,000	Nexteer Automotive Group Ltd		1,807,299
	5,278,000	Nine Dragons Paper Holdings Ltd		6,934,936
	2,047,000	PAX Global Technology Ltd		1,272,038
	23,587,000	PICC Property & Casualty Co Ltd – Class H		19,461,849
	597,000	Poly Property Group Co Ltd		184,874
	13,673,000	Postal Savings Bank of China Co Ltd – Class H		7,728,466
	2,748,000	Powerlong Real Estate Holdings Ltd		1,983,675
	354,000	Road King Infrastructure Ltd		474,964
	380,000	Seazen Group Ltd *		336,301
	1,288,000	Shanghai Electric Group Co Ltd – Class H *		370,561
	238,000	Shanghai Industrial Holdings Ltd		353,728
	1,108,000	Shanghai Jin Jiang Capital Co Ltd – Class H		181,172
	6,296,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		10,648,153
	582,000	Shenzhen Expressway Co Ltd – Class H		580,419
	571,228	Shenzhen Investment Ltd		209,074
	7,533,076	Shimao Group Holdings Ltd		28,077,110
	1,585,000	Sino-Ocean Land Holdings Ltd		333,316
	596,000	Sinopec Engineering Group Co Ltd – Class H		263,742
	12,828,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		2,842,335
	5,248,400	Sinopharm Group Co Ltd – Class H		12,991,104
	2,035,000	Sinotruk Hong Kong Ltd		5,071,062
	2,694,000	Skyworth Group Ltd *		735,308
	1,258,000	SOHO China Ltd *		391,144
	3,519,000	TCL Electronics Holdings Ltd *		2,770,803
	328,500	Tencent Holdings Ltd		23,946,888
	40,300	Tencent Holdings Ltd ADR		2,941,900
	994,500	Texhong Textile Group Ltd		918,131
	588,000	Tianjin Development Holdings Ltd		113,669
	914,000	Tianjin Port Development Holdings Ltd		70,620
	6,256,000	Tianneng Power International Ltd		13,125,695
	462,500	Vipshop Holdings Ltd ADR *		11,812,250
	5,666,000	Weichai Power Co Ltd – Class H		11,571,566
	4,186,968	Weifu High-Technology Group Co Ltd – Class A		16,487,565
	10,398,000	West China Cement Ltd		1,620,583
	65,800	Wuhu Sanqi Interactive Entertainment Network Technology Group Co Ltd – Class A		261,437
	702,600	Xiaomi Corp – Class B *		2,398,770
	498,500	XTEP International Holdings Ltd		212,075
	5,420,000	Yuzhou Group Holdings Co Ltd		2,154,186
	1,811,500	Zhongsheng Group Holdings Ltd		13,620,137
	613,900	Zhuzhou Kibing Group Co Ltd – Class A		1,085,245
	326,200	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		340,550
		Total China		794,424,821

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Cyprus — 0.0%
	73,892	QIWI Plc Sponsored ADR		1,075,867
		Czech Republic — 0.0%
	223,295	Moneta Money Bank AS *		663,393
		Denmark — 0.2%
	244,691	Danske Bank A/S *		4,028,325
	81,771	Demant A/S *		3,084,739
	19,286	Matas A/S *		248,954
	38,813	Pandora A/S		3,891,571
	44,396	Scandinavian Tobacco Group A/S		683,175
		Total Denmark		11,936,764
		Egypt — 0.0%
	23,151	Commercial International Bank Egypt SAE		92,241
		Finland — 0.2%
	18,077	Kesko Oyj – B Shares		473,251
	114,981	Neste Oyj		7,683,061
	553,800	Nokia Oyj *		2,208,556
	5,821	Sanoma Oyj		84,273
	22,187	Tokmanni Group Corp		403,502
	20,743	UPM-Kymmene Oyj		680,625
	9,515	Uponor Oyj		193,455
		Total Finland		11,726,723
		France — 1.4%
	5,078	Akka Technologies * (a)		152,678
	35,197	ALD SA		450,362
	83,547	APERAM SA (a)		3,175,441
	17,798	Arkema SA		2,072,697
	2,294	Assystem SA		68,226
	39,608	Atos SE *		3,615,447
	2,133	Axway Software SA *		59,527
	89,621	BNP Paribas SA *		4,561,815
	1,836	Boiron SA		83,777
	909	Caisse Regionale de Credit Agricole Mutuel Nord de France *		23,056
	190	Capgemini SE		26,434
	1,786	Christian Dior SE		910,704
	9,849	Cie de Saint-Gobain *		466,565
	23,831	Credit Agricole SA *		274,944
	94,715	Derichebourg SA		371,343
	8,477	Eiffage SA *		828,775
	148	Euronext NV		15,754
	18,662	Fnac Darty SA *		997,763
	11,188	Gaztransport Et Technigaz SA		1,105,772
	857	Groupe Crit *		61,980
	989	HEXAOM *		41,163
	47,287	IPSOS		1,510,757
	7,231	Kaufman & Broad SA		307,615

Shares		Description	Value ($)
		France — continued
	7,357	Kering SA		5,311,537
	13,035	L’Oreal SA		4,798,133
	10,309	LVMH Moet Hennessy Louis Vuitton SE		5,921,445
	1,885	Mersen SA *		54,929
	62,001	Metropole Television SA *		972,118
	1,778	Nexans SA *		112,012
	443,303	Peugeot SA * (a)		10,400,467
	93,213	Publicis Groupe SA		4,200,378
	54,948	Quadient SA		982,260
	15	Renault SA * (d)		598
	118,991	Renault SA * (d)		4,724,160
	2,190	Rothschild & Co *		68,350
	53,716	Safran SA *		7,830,397
	57,762	Sanofi		5,822,340
	1,100	SEB SA		194,856
	755	Societe BIC SA		44,689
	151,794	Societe Generale SA *		3,009,734
	585	Sopra Steria Group *		88,696
	7,600	STMicroelectronics NV – NY Shares		301,340
	1,769	Synergie SA *		59,929
	2,003	TOTAL SE (d)		85,590
	1,211	TOTAL SE (d)		51,401
	21,803	Unibail-Rodamco-Westfield (REIT) (a)		1,534,143
	84,732	Valeo SA		3,268,945
	8,295	Vicat SA		337,822
	1,584	Vilmorin & Cie SA		94,189
		Total France		81,453,053
		Germany — 1.1%
	2,480	Allianz SE (Registered)		581,275
	2,359	Amadeus Fire AG *		334,214
	283,296	Aroundtown SA *		1,960,708
	30,008	Aurubis AG		2,280,658
	74,264	Bayer AG (Registered)		4,278,626
	19,405	Bayerische Motoren Werke AG		1,683,761
	2,200	Bechtle AG		480,268
	17,067	Borussia Dortmund GmbH & Co KGaA *		115,646
	17,176	Brenntag AG		1,315,309
	152,975	CECONOMY AG *		753,611
	933	Cewe Stiftung & Co KGaA		100,949
	40,854	CropEnergies AG		676,373
	83,610	Daimler AG (Registered)		5,597,799
	304,552	Deutsche Lufthansa AG (Registered) * (a)		3,511,150
	362,716	Deutsche Pfandbriefbank AG *		3,613,014
	56,960	Deutz AG *		326,505
	199,824	Dialog Semiconductor Plc *		10,664,114
	4,603	Draegerwerk AG & Co KGaA		332,734
	16,805	DWS Group GmbH & Co KGaA		654,441
	5,884	Eckert & Ziegler Strahlen- und Medizintechnik AG		302,659
	14,055	Fresenius SE & Co KGaA		628,387
	1,775	Gesco AG		31,472

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	1,061	Grammer AG *		22,352
	14,470	Hamburger Hafen und Logistik AG		315,739
	106,700	HeidelbergCement AG		7,548,557
	10,611	Henkel AG & Co KGaA		1,023,778
	10,989	Hornbach Baumarkt AG		504,240
	16,058	Hornbach Holding AG & Co KGaA		1,709,597
	2,774	KWS Saat SE & Co KGaA *		210,263
	12,143	Merck KGaA		1,938,996
	1,852	OHB SE *		90,577
	18,385	Siemens AG (Registered)		2,453,931
	80,993	Software AG		3,478,020
	43,724	Takkt AG *		562,777
	10,122	Talanx AG *		370,937
	44,963	VERBIO Vereinigte BioEnergie AG		1,395,347
	10,978	Volkswagen AG		2,029,177
	7,291	Wuestenrot & Wuerttembergische AG		149,143
		Total Germany		64,027,104
		Greece — 0.0%
	40,910	JUMBO SA		725,426
	34,357	Motor Oil Hellas Corinth Refineries SA		438,925
		Total Greece		1,164,351
		Hong Kong — 0.7%
	339,500	BOC Hong Kong Holdings Ltd		1,104,857
	279,800	Budweiser Brewing Co APAC Ltd		960,554
	488,000	Chow Sang Sang Holdings International Ltd		590,944
	215,600	Chow Tai Fook Jewellery Group Ltd		281,440
	2,818,000	CITIC Telecom International Holdings Ltd		937,385
	18,000	CK Asset Holdings Ltd		98,359
	571,000	CK Hutchison Holdings Ltd		4,141,817
	1,400,000	CSI Properties Ltd		39,314
	413,200	Dah Sing Banking Group Ltd		442,976
	393,600	Dah Sing Financial Holdings Ltd		1,158,110
	6,792,000	First Pacific Co Ltd		2,073,532
	1,610,000	Giordano International Ltd		243,479
	430,000	HKT Trust & HKT Ltd – Class SS		562,014
	529,900	Hongkong Land Holdings Ltd		2,151,100
	1,040,213	I-CABLE Communications Ltd *		8,693
	926,000	Johnson Electric Holdings Ltd		2,181,487
	443,000	K Wah International Holdings Ltd		220,365
	99,500	Kerry Logistics Network Ltd		218,108
	1,010,000	Kerry Properties Ltd		2,587,644
	258,800	Man Wah Holdings Ltd		474,577
	1,494,000	Pacific Textiles Holdings Ltd		1,029,442
	5,624,000	PCCW Ltd		3,412,939
	201,000	Regal Real Estate Investment Trust		33,429
	1,772,000	Shun Tak Holdings Ltd		559,069
	350,000	Singamas Container Holdings Ltd		21,626

Shares		Description	Value ($)
		Hong Kong — continued
	139,500	SmarTone Telecommunications Holdings Ltd		77,024
	522,000	Sun Hung Kai & Co Ltd		233,511
	11,500	Sun Hung Kai Properties Ltd		152,863
	66,000	Swire Pacific Ltd – Class A		378,193
	40,000	TAI Cheung Holdings Ltd		24,309
	614,000	VSTECS Holdings Ltd		516,147
	553,700	VTech Holdings Ltd		4,265,172
	7,703,000	WH Group Ltd		6,275,416
	222,000	Wharf Holdings Ltd (The)		549,163
	146,000	Xinyi Glass Holdings Ltd		327,433
	1,085,000	Yue Yuen Industrial Holdings Ltd		2,227,268
		Total Hong Kong		40,559,759
		Hungary — 0.1%
	409,121	Magyar Telekom Telecommunications Plc		528,134
	143,077	Richter Gedeon Nyrt		3,390,660
		Total Hungary		3,918,794
		India — 2.1%
	11,303	Alkem Laboratories Ltd		431,171
	104,228	Asian Paints Ltd		3,080,748
	173,004	Aurobindo Pharma Ltd		2,009,811
	130,090	Bajaj Auto Ltd		5,552,296
	332,913	Balrampur Chini Mills Ltd		734,860
	5,039	Bosch Ltd		864,693
	493,293	Cadila Healthcare Ltd		2,974,724
	109,549	Dr Reddy’s Laboratories Ltd		7,114,808
	153,600	Dr Reddy’s Laboratories Ltd ADR		10,074,624
	762,659	Firstsource Solutions Ltd		808,370
	192,124	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		540,936
	2,204,825	HCL Technologies Ltd		24,368,924
	91,213	HDFC Bank Ltd *		1,758,119
	2	Hero MotoCorp Ltd		83
	129,606	Hindalco Industries Ltd		390,237
	66,902	Hindustan Petroleum Corp Ltd		188,038
	108,665	Hindustan Unilever Ltd		3,126,913
	102,379	Housing Development Finance Corp Ltd		3,080,280
	542,577	ICICI Bank Ltd *		3,465,570
	1,200,578	Indiabulls Housing Finance Ltd		2,994,462
	797,676	Indian Oil Corp Ltd		902,264
	188,800	Infosys Ltd Sponsored ADR (a)		2,873,536
	155,879	Kotak Mahindra Bank Ltd *		3,945,892
	199,406	LIC Housing Finance Ltd		884,799
	40,408	Mphasis Ltd		719,110
	16	Muthoot Finance Ltd		247
	56,133	Narayana Hrudayalaya Ltd		286,387
	255,738	NTPC Ltd		320,136
	3,768,673	Oil & Natural Gas Corp Ltd		3,947,830
	4,935,078	Power Finance Corp Ltd		7,155,909

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		India — continued
	809,264	PTC India Ltd		595,263
	55,410	Rajesh Exports Ltd *		336,464
	7,830,974	REC Ltd		12,507,913
	120,182	Sonata Software Ltd		552,948
	76,805	Tata Consultancy Services Ltd		2,758,122
	63,055	Tata Motors Ltd *		149,978
	126,805	Titan Co Ltd		2,266,880
	623,604	Wipro Ltd		2,950,441
		Total India		116,713,786
		Indonesia — 0.6%
	1,353,800	Astra International Tbk PT		506,896
	898,500	Bank BTPN Syariah Tbk PT		262,913
	3,768,600	Bank Central Asia Tbk PT		8,277,141
	6,518,200	Bank Mandiri Persero Tbk PT		2,923,549
	6,358,400	Bank Negara Indonesia Persero Tbk PT		2,696,371
	871,200	Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT		81,703
	6,794,200	Bank Pembangunan Daerah Jawa Timur Tbk PT		305,602
	31,402,300	Bank Rakyat Indonesia Persero Tbk PT		9,082,348
	6,481,600	Bank Tabungan Negara Persero Tbk PT		755,620
	6,690,000	Bukit Asam Tbk PT		1,117,358
	2,540,600	Gajah Tunggal Tbk PT *		92,565
	6,822,500	Hanjaya Mandala Sampoerna Tbk PT		736,849
	579,700	Indah Kiat Pulp & Paper Corp Tbk PT		355,924
	2,330,400	Indo Tambangraya Megah Tbk PT		2,161,985
	2,014,100	Matahari Department Store Tbk PT *		180,325
	6,026,000	Pakuwon Jati Tbk PT *		213,559
	56,399,000	Panin Financial Tbk PT *		893,705
	15,651,700	Ramayana Lestari Sentosa Tbk PT		808,495
	496,100	Unilever Indonesia Tbk PT		271,223
	211,600	United Tractors Tbk PT		344,542
	2,264,800	XL Axiata Tbk PT		386,556
		Total Indonesia		32,455,229
		Ireland — 0.3%
	111,432	AIB Group Plc *		200,123
	440,553	Bank of Ireland Group Plc *		1,380,298
	4,381	CRH Plc *		172,319
	52,100	CRH Plc Sponsored ADR		2,044,925
	1,956	Flutter Entertainment Plc *		356,376
	28,431	Glanbia Plc		349,655
	636,023	Hibernia REIT Plc		868,466
	377,562	Irish Residential Properties REIT Plc (a)		628,519
	7,556	Kingspan Group Plc *		659,228
	131,178	Origin Enterprises Plc		560,741
	83,277	Permanent TSB Group Holdings Plc *		62,005
	343,345	Ryanair Holdings Plc *		6,257,327
	10,215	Smurfit Kappa Group Plc (d)		428,522
	106,416	Smurfit Kappa Group Plc (d)		4,527,581

Shares		Description	Value ($)
		Ireland — continued
	71,613	Total Produce Plc *		120,773
		Total Ireland		18,616,858
		Israel — 0.1%
	58,412	Isracard Ltd		190,443
	836,336	Oil Refineries Ltd *		181,078
	376,100	Teva Pharmaceutical Industries Ltd Sponsored ADR * (a)		3,576,711
		Total Israel		3,948,232
		Italy — 0.9%
	167,430	A2A SPA		256,151
	1,295	ACEA SPA		27,452
	417,563	Anima Holding SPA		1,838,849
	72,048	Arnoldo Mondadori Editore SPA *		128,393
	68,263	Banca Popolare di Sondrio SCPA *		184,588
	17,925	Biesse SPA *		361,102
	223,690	Buzzi Unicem SPA		5,473,809
	39,390	Cementir Holding NV		324,189
	143,233	CNH Industrial NV *		1,560,494
	60,403	Credito Emiliano SPA *		336,067
	8,160	De’ Longhi SPA *		284,884
	80,777	Enav SPA		355,590
	1,002,854	Enel SPA		10,061,455
	207,085	EXOR NV		14,485,473
	792,183	Hera SPA		2,887,711
	100,916	IMMSI SPA *		52,078
	387,571	Intesa Sanpaolo SPA *		897,795
	27,785	La Doria SPA		423,521
	296,902	Leonardo SPA (a)		2,155,274
	39,568	Piaggio & C SPA		125,424
	1,351	Prima Industrie SPA * (a)		22,556
	1,433	Recordati Industria Chimica e Farmaceutica SPA		76,645
	1,858	Sabaf SPA		29,181
	451,734	Saras SPA * (a)		292,420
	3,768	Sesa SPA *		378,470
	36,755	Societa Cattolica di Assicurazioni SC * (a)		219,937
	5,608,746	Telecom Italia SPA		2,643,282
	7,993,418	Telecom Italia SPA-RSP		4,088,540
	245,613	Unipol Gruppo SPA *		1,184,562
		Total Italy		51,155,892
		Japan — 8.9%
	34,300	ADEKA Corp		542,369
	371,700	Aeon Mall Co Ltd		5,940,522
	15,500	Aichi Corp		137,531
	11,000	Aida Engineering Ltd		92,768
	9,000	Altech Corp		179,658
	717,000	Amada Co Ltd		6,872,875
	93,500	Amano Corp		2,192,998

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	29,500	AOKI Holdings Inc		115,392
	10,500	Arata Corp		498,278
	52,900	Arcland Sakamoto Co Ltd		905,739
	164,500	Arcs Co Ltd		3,435,459
	586,800	Asahi Kasei Corp (b)		5,364,779
	477,900	Asics Corp (a)		8,588,952
	575,800	Astellas Pharma Inc		8,201,426
	9,100	Bando Chemical Industries Ltd		50,010
	10,000	BeNEXT Group Inc (a)		108,799
	243,000	Brother Industries Ltd		4,641,575
	23,300	Bunka Shutter Co Ltd		203,038
	4,800	Central Glass Co Ltd		101,857
	27,300	Central Japan Railway Co		3,469,582
	4,000	Chiyoda Integre Co Ltd		58,257
	403,100	Chugoku Marine Paints Ltd		3,831,612
	3,000	Cleanup Corp		13,245
	9,600	CONEXIO Corp		113,103
	9,200	Credit Saison Co Ltd		105,175
	13,700	Dai Nippon Toryo Co Ltd		121,156
	4,000	Dai-Dan Co Ltd		106,277
	113,400	Daihen Corp		4,911,817
	4,800	Daiichi Jitsugyo Co Ltd		185,108
	4,700	Dainichiseika Color & Chemicals Manufacturing Co Ltd		107,377
	8,500	Daishi Hokuetsu Financial Group Inc		191,540
	2,800	Daito Pharmaceutical Co Ltd		96,923
	48,700	Daiwa House Industry Co Ltd		1,488,270
	13,300	Daiwa Industries Ltd		130,420
	135,800	Daiwabo Holdings Co Ltd		8,475,475
	234,200	Denka Co Ltd		7,226,149
	100,400	Doshisha Co Ltd		1,927,208
	1,900	DTS Corp		39,952
	177,200	Ebara Corp		5,651,513
	105,400	Electric Power Development Co Ltd		1,414,636
	10,300	FJ Next Co Ltd		96,730
	159,100	Fuji Corp		3,843,978
	34,200	Fuji Electric Co Ltd		1,210,922
	4,300	Fuji Pharma Co Ltd		51,402
	14,200	Fujimi Inc		494,521
	4,700	Fujimori Kogyo Co Ltd		212,214
	14,800	Fujitec Co Ltd		301,137
	5,800	Fujitsu General Ltd		175,471
	50,300	Fujitsu Ltd		6,958,407
	6,800	Furuno Electric Co Ltd		77,173
	7,800	Furyu Corp		87,901
	7,400	G-7 Holdings Inc		172,113
	34,400	Geo Holdings Corp		418,354
	16,000	Glory Ltd		320,847
	75,500	GungHo Online Entertainment Inc (a)		1,914,541
	62,900	Gunze Ltd		2,161,537
	38,600	Gurunavi Inc		191,097
	9,100	Hakuto Co Ltd		91,887

Shares		Description	Value ($)
		Japan — continued
	4,900	Hanwa Co Ltd		116,810
	709,194	Haseko Corp		7,664,510
	938,200	Hazama Ando Corp		6,163,001
	5,900	Heiwado Co Ltd		119,751
	34,100	Hisamitsu Pharmaceutical Co Inc		2,001,086
	269,300	Hitachi Ltd		10,220,944
	2,900	Hochiki Corp		34,484
	122,000	Hogy Medical Co Ltd		3,687,990
	202,800	Honda Motor Co Ltd		5,642,285
	135,600	Horiba Ltd		7,254,448
	1,900	Hosokawa Micron Corp		114,972
	19,400	Inaba Denki Sangyo Co Ltd		444,028
	253,400	Inabata & Co Ltd		3,336,147
	6,700	Information Services International-Dentsu Ltd		446,031
	684,900	Inpex Corp		3,793,569
	329,600	ITOCHU Corp		8,697,898
	32,300	Itochu Enex Co Ltd		309,985
	5,900	Itochu Techno-Solutions Corp		208,041
	1,600	Itochu-Shokuhin Co Ltd		86,204
	29,400	Itoki Corp		95,115
	4,200	Jaccs Co Ltd		72,951
	144,000	JAFCO Group Co Ltd		6,162,243
	68,800	Japan Post Insurance Co Ltd		1,144,602
	22,100	Japan Tobacco Inc (a)		447,352
	5,600	Jeol Ltd		218,745
	490,100	JVCKenwood Corp		661,407
	737,700	K’s Holdings Corp		8,957,860
	282,500	Kadokawa Corp		8,943,115
	14,300	Kajima Corp		187,608
	5,700	Kaken Pharmaceutical Co Ltd		208,265
	13,800	Kamei Corp		154,860
	132,000	Kanamoto Co Ltd		2,744,007
	408,200	Kanematsu Corp		4,700,597
	4,300	Kanematsu Electronics Ltd		166,485
	20,100	Kasai Kogyo Co Ltd		66,904
	4,400	Kato Sangyo Co Ltd		145,684
	548,200	KDDI Corp (b)		15,599,779
	13,700	Keiyo Bank Ltd (The)		59,819
	1,055,300	Kenedix Inc (a)		7,598,837
	170,600	Kinden Corp		2,725,059
	11,300	Kissei Pharmaceutical Co Ltd		225,826
	19,400	Kitz Corp		104,238
	2,900	Kiyo Bank Ltd (The)		43,911
	18,400	Kohnan Shoji Co Ltd		568,752
	38,800	Komeri Co Ltd		1,054,803
	488,731	Konica Minolta Inc		1,560,885
	266,200	Konoike Transport Co Ltd		2,634,891
	1,700	Krosaki Harima Corp		58,366
	4,800	Kumagai Gumi Co Ltd		108,535
	8,900	Kureha Corp		449,763
	13,600	Kyosan Electric Manufacturing Co Ltd		54,916

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	270,600	Kyowa Exeo Corp		6,949,725
	60,500	Kyudenko Corp		1,726,497
	244,100	Macromill Inc		1,520,196
	176,200	Mandom Corp		2,760,083
	155,300	Maruichi Steel Tube Ltd		3,264,842
	5,400	Maruzen Showa Unyu Co Ltd		172,950
	36,500	Marvelous Inc		317,186
	5,000	Matsuda Sangyo Co Ltd		82,231
	344,700	Maxell Holdings Ltd *		3,961,114
	48,500	MCJ Co Ltd		446,824
	54,700	Mebuki Financial Group Inc		112,026
	45,100	Meidensha Corp		781,506
	20,600	METAWATER Co Ltd		466,618
	222,500	Mitsubishi Chemical Holdings Corp		1,224,940
	151,000	Mitsubishi Gas Chemical Co Inc		3,196,064
	5,100	Mitsubishi Research Institute Inc		202,895
	2,341,800	Mitsubishi UFJ Financial Group Inc		9,993,196
	11,100	Mitsuboshi Belting Ltd		173,072
	18,500	Mitsui Chemicals Inc		517,196
	12,600	Mitsui Sugar Co Ltd		215,328
	75,400	Mixi Inc		2,060,320
	15,300	Mizuho Financial Group Inc		193,844
	10,700	Mizuno Corp		184,934
	3,000	Mochida Pharmaceutical Co Ltd		115,391
	17,400	Modec Inc (a)		291,480
	238,700	MS&AD Insurance Group Holdings Inc		6,944,098
	26,900	MTI Ltd		216,925
	18,100	NEC Corp (b)		975,173
	38,400	NEC Networks & System Integration Corp		678,140
	197,000	NH Foods Ltd		8,389,913
	12,400	Nichias Corp		288,337
	16,400	Nichiha Corp		511,353
	126,200	Nikkon Holdings Co Ltd		2,448,960
	48,600	Nippo Corp		1,266,784
	5,300	Nippon Flour Mills Co Ltd		82,506
	11,300	Nippon Kayaku Co Ltd		98,664
	57,680	Nippon Light Metal Holdings Co Ltd		984,918
	14,000	Nippon Soda Co Ltd		366,829
	557,900	Nippon Telegraph & Telephone Corp		13,194,479
	9,800	Nishimatsu Construction Co Ltd		182,055
	3,700	Nishio Rent All Co Ltd		71,903
	7,100	Nisshin Oillio Group Ltd (The)		198,093
	3,800	Nissin Corp		44,220
	55,100	Nissin Electric Co Ltd		615,201
	1,400	Nitori Holdings Co Ltd		297,663
	20,600	Nojima Corp		537,607
	86,600	Nomura Real Estate Holdings Inc		1,861,402
	7,300	NS Solutions Corp		215,662
	230,200	NTT DOCOMO Inc (a)		8,561,428
	7,500	Obara Group Inc (a)		242,931
	943,200	Obayashi Corp		8,302,207

Shares		Description	Value ($)
		Japan — continued
	15,100	Okamura Corp		134,914
	1,500	Okinawa Cellular Telephone Co		62,343
	11,300	Organo Corp		640,272
	894,700	ORIX Corp (b)		13,242,785
	9,800	Osaka Soda Co Ltd		229,342
	7,700	Osaki Electric Co Ltd		40,613
	1,000	Otsuka Corp		48,493
	297,500	Pacific Industrial Co Ltd		3,044,730
	333,600	Penta-Ocean Construction Co Ltd		2,475,749
	9,100	Prima Meat Packers Ltd		252,394
	8,000	Proto Corp		80,471
	217,100	Raiznext Corp		2,312,526
	46,400	Resona Holdings Inc		161,733
	8,700	Rinnai Corp		1,015,048
	37,000	Rohm Co Ltd		3,076,620
	5,700	Ryoden Corp		82,357
	7,100	Sakata INX Corp		78,545
	63,500	San-A Co Ltd		2,455,674
	23,400	San-Ai Oil Co Ltd		258,503
	23,000	San-In Godo Bank Ltd (The)		119,710
	35,200	Sanki Engineering Co Ltd		386,901
	19,000	Sanwa Holdings Corp		230,789
	9,600	Sanyo Chemical Industries Ltd		411,951
	79,000	Secom Co Ltd		7,883,615
	10,500	Seikitokyu Kogyo Co Ltd		81,141
	86,100	Sekisui Chemical Co Ltd		1,484,216
	193,700	Sekisui House Ltd		3,473,262
	7,500	Sekisui Jushi Corp		157,751
	879,000	Shimizu Corp		6,647,618
	6,900	Shin-Etsu Polymer Co Ltd		61,853
	3,800	Shindengen Electric Manufacturing Co Ltd		84,910
	7,100	Shinnihon Corp		57,646
	16,900	Shizuoka Gas Co Ltd		160,226
	2,000	Sinanen Holdings Co Ltd		56,686
	16,100	Sinko Industries Ltd		264,059
	18,900	Sintokogio Ltd		128,752
	942,600	SKY Perfect JSAT Holdings Inc		4,264,536
	478,000	Sojitz Corp		1,043,949
	961,100	Sumitomo Chemical Co Ltd		3,395,444
	425,100	Sumitomo Dainippon Pharma Co Ltd		5,360,797
	443,900	Sumitomo Forestry Co Ltd		8,037,644
	13,300	Sumitomo Mitsui Financial Group Inc		382,409
	3,400	Sumitomo Seika Chemicals Co Ltd		134,896
	14,700	Suzuki Motor Corp		788,333
	174,700	T Hasegawa Co Ltd		3,358,154
	210,500	Tachi-S Co Ltd		2,261,557
	68,800	Taisei Corp		2,420,373
	293,600	Takara Holdings Inc		3,359,499
	75,800	Takara Leben Co Ltd		213,824
	32,900	Takasago Thermal Engineering Co Ltd		451,696
	36,300	Takeuchi Manufacturing Co Ltd		851,639

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	199,600	Takuma Co Ltd		3,418,226
	20,700	Tamron Co Ltd		315,864
	10,900	Tanseisha Co Ltd		79,043
	204,600	Teijin Ltd		3,488,870
	119,700	TIS Inc		2,377,183
	249,100	Toho Holdings Co Ltd		4,542,971
	2,500	Token Corp		193,471
	1,352,200	Tokyo Electric Power Co Holdings Inc *		3,519,475
	179,600	Tokyo Seimitsu Co Ltd		7,899,141
	94,800	Tokyu Construction Co Ltd		424,910
	9,800	Toli Corp		23,957
	44,200	Toppan Forms Co Ltd		420,843
	673,800	Toppan Printing Co Ltd (b)		9,173,402
	2,300	Torii Pharmaceutical Co Ltd		69,580
	314,400	Tosei Corp (a)		3,485,991
	3,300	Toshiba TEC Corp		118,519
	468,300	Tosoh Corp		7,334,281
	5,300	Towa Pharmaceutical Co Ltd		96,601
	93,000	Toyo Construction Co Ltd		354,010
	2,500	Toyo Ink SC Holdings Co Ltd (a)		46,750
	67,700	Toyo Suisan Kaisha Ltd		3,329,885
	136,800	Toyota Industries Corp (b)		9,858,501
	27,300	TS Tech Co Ltd		798,506
	100,900	Tsumura & Co		2,936,086
	10,600	Unipres Corp		90,665
	22,700	Ushio Inc		284,760
	8,000	Vital KSK Holdings Inc		65,956
	8,900	Wacoal Holdings Corp		170,176
	9,100	Warabeya Nichiyo Holdings Co Ltd		121,301
	33,000	YAMABIKO Corp		446,154
	64,500	Yamaguchi Financial Group Inc		399,994
	23,300	Yamazen Corp		221,531
	38,300	Yellow Hat Ltd		589,690
	468,400	Yokogawa Electric Corp		8,252,523
	5,500	Yondoshi Holdings Inc		98,086
	7,200	Yuasa Trading Co Ltd		225,602
	159,900	Zenkoku Hosho Co Ltd		7,296,884
		Total Japan		503,673,661
		Kuwait — 0.2%
	19,127	Agility Public Warehousing Co KSC		40,201
	72,399	Burgan Bank SAK		46,671
	87,243	Gulf Bank KSCP		59,924
	34,795	Gulf Cable & Electrical Industries Co KSCP		81,765
	31,884	Humansoft Holding Co KSC *		354,867
	2,163,736	Kuwait Finance House KSCP		4,825,871
	340,709	Kuwait Projects Co Holding KSCP		165,529
	166,320	Mobile Telecommunications Co KSC		316,347
	974,907	National Bank of Kuwait SAKP		2,684,815
	34,283	Qurain Petrochemical Industries Co		35,246
		Total Kuwait		8,611,236

Shares		Description	Value ($)
		Malaysia — 0.1%
	22,700	Carlsberg Brewery Malaysia Berhad		107,204
	2,706,400	DRB-Hicom Berhad		1,320,991
	143,900	Hartalega Holdings Berhad		508,048
	303,000	Kossan Rubber Industries		466,070
	233,200	Pharmaniaga Berhad		314,732
	309,300	Ta Ann Holdings Berhad		234,230
	757,100	Top Glove Corp Berhad		1,324,160
	258,300	Westports Holdings Berhad		272,474
	789,100	YTL Corp Berhad *		124,931
		Total Malaysia		4,672,840
		Mexico — 1.2%
	2,238,600	America Movil SAB de CV – Series L		1,671,453
	216,500	Arca Continental SAB de CV		1,063,633
	438,200	Banco del Bajio SA *		546,388
	1,238,200	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico		1,287,810
	283,200	Cemex SAB de CV Sponsored ADR		1,302,720
	80,400	Concentradora Fibra Danhos SA de CV (REIT)		95,357
	777,700	Credito Real SAB de CV SOFOM ER *		439,447
	198,700	El Puerto de Liverpool SAB de CV – Class C1 *		661,080
	1,976,400	Fibra Uno Administracion SA de CV (REIT)		1,972,464
	689,600	Fomento Economico Mexicano SAB de CV		4,981,710
	498,700	Gentera SAB de CV *		214,678
	304,100	Grupo Aeroportuario del Centro Norte SAB de CV *		1,768,754
	3,100	Grupo Aeroportuario del Centro Norte SAB de CV ADR *		144,336
	2,983,100	Grupo Financiero Banorte SAB de CV – Class O *		14,853,322
	438,600	Grupo Financiero Inbursa SAB de CV – Class O *		427,527
	222,213	Grupo Herdez SAB de CV		435,844
	3,661,400	Grupo Mexico SAB de CV – Series B		13,315,664
	47,300	Kimberly-Clark de Mexico SAB de CV – Class A		74,986
	129,100	Qualitas Controladora SAB de CV		627,095
	214,600	Regional SAB de CV *		915,091
	310,869	Unifin Financiera SAB de CV SOFOM ENR *		385,774
	8,652,500	Wal-Mart de Mexico SAB de CV		22,776,215
		Total Mexico		69,961,348
		Netherlands — 1.2%
	188,913	ABN AMRO Bank NV CVA *		1,933,960
	628,849	Aegon NV		2,326,297
	101,800	AerCap Holdings NV * (a)		3,742,168
	1,148	ASM International NV		202,406

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	237,051	ASR Nederland NV (b)		8,784,690
	73,710	Evander Gold Mines Ltd (c)		879
	4,163	Flow Traders		134,003
	46,377	ForFarmers NV		297,454
	20,612	Heineken Holding NV		1,899,037
	717	Hunter Douglas NV *		46,427
	494,672	ING Groep NV *		4,811,534
	259,189	Koninklijke Ahold Delhaize NV		7,410,551
	41,245	Koninklijke Vopak NV		2,162,756
	111,502	NIBC Holding NV *		988,665
	14,989	NN Group NV		605,779
	133,134	PostNL NV *		453,411
	167,436	Randstad NV *		10,355,639
	280,758	Signify NV *		11,834,450
	84,136	Wolters Kluwer NV		7,043,734
		Total Netherlands		65,033,840
		New Zealand — 0.1%
	83,450	Air New Zealand Ltd * (a)		106,477
	905,530	Meridian Energy Ltd		4,084,911
		Total New Zealand		4,191,388
		Norway — 0.4%
	67,379	Austevoll Seafood ASA		612,713
	27,001	Avance Gas Holding Ltd (a)		121,937
	8,019	Borregaard ASA		117,948
	461,545	BW LPG Ltd		2,947,404
	132,713	DNB ASA *		2,392,979
	495,668	Elkem ASA		1,593,694
	15,810	Entra ASA (a)		315,085
	167,113	Europris ASA		903,314
	67,400	Gjensidige Forsikring ASA		1,467,553
	211	Kongsberg Gruppen ASA		4,005
	110,019	Norsk Hydro ASA		445,495
	152,181	Norwegian Finans Holding ASA *		1,210,246
	444,616	Orkla ASA		4,255,807
	4,827	Salmar ASA * (a)		263,858
	36,490	Sbanken ASA *		291,812
	51,692	Selvaag Bolig ASA		301,364
	63,395	SpareBank 1 Nord Norge		520,197
	48,515	SpareBank 1 SMN		519,359
	149,960	SpareBank 1 SR-Bank ASA *		1,495,773
	37,813	Wallenius Wilhelmsen ASA *		90,356
	82,923	Yara International ASA (a)		3,361,175
		Total Norway		23,232,074
		Pakistan — 0.1%
	174,523	Engro Corp Ltd		333,384
	2,006,673	Engro Fertilizers Ltd		762,649
	499,103	Fauji Fertilizer Co Ltd		323,136
	169,500	National Bank of Pakistan *		43,084

Shares		Description	Value ($)
		Pakistan — continued
	125,900	Nishat Mills Ltd		72,176
	1,781,180	Oil & Gas Development Co Ltd		1,094,617
	259,338	Pakistan Oilfields Ltd		639,478
	1,082,377	Pakistan Petroleum Ltd		611,511
	127,351	Pakistan State Oil Co Ltd *		158,999
	355,000	Searle Co Ltd (The)		518,633
	477,847	United Bank Ltd		361,507
		Total Pakistan		4,919,174
		Philippines — 0.1%
	19,645	Globe Telecom Inc		795,011
	227,640	Manila Electric Co		1,330,931
	19,338,600	Megaworld Corp *		1,543,067
	8,576,000	Metro Pacific Investments Corp		730,301
	40,400	Metropolitan Bank & Trust Co		40,351
	496,300	Robinsons Land Corp		172,134
	82,010	Security Bank Corp		212,796
	1,367,225	Semirara Mining & Power Corp		352,263
		Total Philippines		5,176,854
		Poland — 0.5%
	60,074	Asseco Poland SA		1,062,038
	17,459	Bank Polska Kasa Opieki SA *		264,261
	33,987	Budimex SA		2,484,466
	261,698	Cyfrowy Polsat SA		1,863,936
	83,767	Grupa Lotos SA		773,752
	13,010	KGHM Polska Miedz SA *		517,978
	28,081	Lubelski Wegiel Bogdanka SA *		139,556
	9,769	mBank SA *		394,050
	345,482	Polski Koncern Naftowy ORLEN SA		5,101,986
	1,187,126	Polskie Gornictwo Naftowe i Gazownictwo SA		1,515,515
	1,688,268	Powszechny Zaklad Ubezpieczen SA *		11,325,294
	6,660	Santander Bank Polska SA *		309,837
		Total Poland		25,752,669
		Portugal — 0.4%
	251,608	Altri SGPS SA (a)		1,355,871
	13,907,352	Banco Comercial Portugues SA – Class R * (a)		1,968,398
	262,349	CTT-Correios de Portugal SA * (a)		763,346
	41,741	EDP Renovaveis SA		884,692
	1,137,001	EDP – Energias de Portugal SA		6,077,567
	585,532	Galp Energia SGPS SA		6,282,039
	127,972	Jeronimo Martins SGPS SA		2,192,739
	277,317	Mota-Engil SGPS SA * (a)		482,386
	400,162	Navigator Co SA (The) *		1,193,157
	186,201	NOS SGPS SA		712,028
	298,901	REN – Redes Energeticas Nacionais SGPS SA		819,674
	26,453	Semapa-Sociedade de Investimento e Gestao		283,205

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Portugal — continued
	1,206,437	Sonae SGPS SA		971,697
		Total Portugal		23,986,799
		Qatar — 0.1%
	614,884	Doha Bank QPSC *		395,136
	178,264	Masraf Al Rayan QSC		209,129
	116,204	Ooredoo QPSC		215,543
	107,783	Qatar Electricity & Water Co QSC		533,137
	167,330	Qatar Insurance Co SAQ		116,468
	12,249	Qatar Islamic Bank SAQ		55,962
	1,270,052	Qatar National Bank QPSC		6,164,681
	456,982	Qatar National Cement Co QSC		510,518
		Total Qatar		8,200,574
		Russia — 3.9%
	11,068,410	Alrosa PJSC		12,765,271
	1,093,600	Credit Bank of Moscow PJSC *		85,847
	392,020	Detsky Mir PJSC		720,883
	45,315	Etalon Group Plc GDR (Registered)		72,414
	331,590,000	Federal Grid Co Unified Energy System PJSC		869,725
	80,700	Gazprom Neft PJSC		333,736
	1,449	Gazprom Neft PJSC Sponsored ADR		29,264
	2,296,340	Gazprom PJSC		5,480,286
	293,235	Globaltrans Investment Plc Sponsored GDR (Registered)		1,678,052
	208,915,000	Inter RAO UES PJSC		14,030,231
	42,811	LSR Group PJSC		509,615
	224,290	LSR Group PJSC GDR (Registered)		526,916
	239,146	LUKOIL PJSC		15,832,223
	518,871	LUKOIL PJSC Sponsored ADR		33,402,401
	173,600	M.Video PJSC		1,640,061
	3,677,600	Magnitogorsk Iron & Steel Works PJSC		2,024,470
	158,695	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		1,088,979
	775,859	MMC Norilsk Nickel PJSC ADR		21,517,400
	209,035	Mobile TeleSystems PJSC Sponsored ADR		1,803,972
	5,139,930	Moscow Exchange MICEX-RTS PJSC		10,315,936
	44,012	Novatek PJSC Sponsered GDR (Registered)		6,771,590
	480,848	Novolipetsk Steel PJSC GDR		11,896,023
	85,680	PhosAgro PJSC GDR (Registered)		1,094,375
	515,007	Polymetal International Plc		10,728,846
	7,629	Polyus PJSC		1,456,297
	62,936	Polyus PJSC GDR (Registered)		5,953,792
	324,950	Raspadskaya OJSC		622,307
	149,202,000	ROSSETI PJSC		3,296,136
	4,283,000	RusHydro PJSC		43,815
	30,090	Safmar Financial Investment *		185,118
	2,621,830	Sberbank of Russia PJSC		8,533,401
	1,076,721	Sberbank of Russia PJSC Sponsored ADR		14,203,652

Shares		Description	Value ($)
		Russia — continued
	198,464	Severstal PJSC GDR (Registered)		2,885,917
	2,110,100	Surgutneftegas PJSC		974,705
	2,733,683	Surgutneftegas PJSC Sponsored ADR		12,278,009
	351,065	Tatneft PJSC Sponsored ADR		13,238,869
	92,306	TCS Group Holding Plc GDR (Registered)		2,831,631
	28,395,000	Unipro PJSC		1,030,859
	376,156	VTB Bank PJSC GDR (Registered)		344,667
	3,313	X5 Retail Group NV GDR (Registered)		118,559
		Total Russia		223,216,250
		Saudi Arabia — 0.0%
	48,386	Al Rajhi Bank		964,177
	14,148	Arriyadh Development Co		66,503
	6,028	Samba Financial Group		49,687
		Total Saudi Arabia		1,080,367
		Singapore — 0.8%
	249,100	AEM Holdings Ltd		650,886
	648,700	Asian Pay Television Trust		58,032
	406,888	CapitaLand Integrated Commercial Trust (REIT)		586,221
	267,500	CapitaLand Ltd		619,268
	170,800	City Developments Ltd		983,041
	1,662,100	ComfortDelGro Corp Ltd		2,033,354
	523,000	DBS Group Holdings Ltd		9,756,874
	512,600	First Real Estate Investment Trust		161,932
	693,999	Japfa Ltd		384,089
	142,700	Jardine Cycle & Carriage Ltd		2,052,433
	107,300	Keppel DC (REIT)		224,588
	1,156,300	Mapletree Industrial Trust (REIT)		2,524,672
	330,700	Mapletree Logistics Trust (REIT)		483,865
	1,759,900	Mapletree North Asia Commercial Trust (REIT)		1,174,141
	21,300	Oversea-Chinese Banking Corp Ltd		158,803
	545,900	Sasseur Real Estate Investment Trust		328,866
	954,100	Silverlake Axis Ltd		188,049
	99,800	Singapore Exchange Ltd		658,041
	479,400	StarHub Ltd		460,500
	48,700	United Overseas Bank Ltd		810,001
	87,900	Venture Corp Ltd		1,226,846
	122,400	Wilmar International Ltd		381,019
	25,307,177	Yangzijiang Shipbuilding Holdings Ltd		16,445,089
	866,500	Yanlord Land Group Ltd		715,351
		Total Singapore		43,065,961
		South Africa — 1.9%
	2,215,032	Absa Group Ltd		15,665,618
	39,768	AECI Ltd		218,777
	16,868	Anglo American Platinum Ltd		1,223,531
	42,400	AngloGold Ashanti Ltd Sponsored ADR		918,808
	244,123	Aspen Pharmacare Holdings Ltd *		1,938,797

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	207,964	Astral Foods Ltd		1,805,191
	45,152	AVI Ltd		207,021
	533,661	Barloworld Ltd		2,399,057
	351,369	Bidvest Group Ltd (The)		3,683,547
	1,352,911	Blue Label Telecoms Ltd *		343,628
	37,473	Clicks Group Ltd		565,819
	47,413	Discovery Ltd		375,569
	896,766	Emira Property Fund Ltd (REIT)		376,998
	1,793	Gold Fields Ltd		15,547
	352,000	Gold Fields Ltd Sponsored ADR		3,065,920
	2,440,707	Growthpoint Properties Ltd (REIT)		1,874,181
	315,643	Imperial Logistics Ltd		787,393
	316,507	Investec Ltd		768,263
	339,709	Kumba Iron Ore Ltd		11,545,956
	350,319	Lewis Group Ltd		497,812
	146,808	Liberty Holdings Ltd		563,770
	757,281	Life Healthcare Group Holdings Ltd		774,090
	755,346	Momentum Metropolitan Holdings		759,431
	435,928	Motus Holdings Ltd *		1,618,915
	299,433	Mr Price Group Ltd		3,130,678
	133,026	Naspers Ltd – N Shares		26,743,141
	989,609	Netcare Ltd		786,704
	4,536,827	Old Mutual Ltd		3,407,680
	628,102	Pepkor Holdings Ltd		559,710
	96,661	Rand Merchant Investment Holdings Ltd		189,265
	31,582	Remgro Ltd		186,496
	329,396	Reunert Ltd		765,735
	3,356,794	RMB Holdings Ltd *		276,267
	2,054,215	Sanlam Ltd		7,318,051
	38,934	Santam Ltd		617,988
	88,670	Sappi Ltd *		165,433
	4,383	Shoprite Holdings Ltd		36,247
	2,273,278	Telkom SA SOC Ltd		4,618,878
	25,373	Tiger Brands Ltd		321,442
	1,190,440	Truworths International Ltd		2,746,364
	267,529	Tsogo Sun Gaming Ltd		88,786
	160,482	Vodacom Group Ltd		1,273,612
	244,310	Wilson Bayly Holmes-Ovcon Ltd *		1,598,265
		Total South Africa		106,824,381
		South Korea — 2.8%
	79,547	Aekyung Petrochemical Co Ltd		678,471
	26,575	Aju Capital Co Ltd		304,970
	150,493	BNK Financial Group Inc		765,691
	5,522	Com2uSCorp		670,272
	11,121	Daou Data Corp		126,206
	128,520	DB HiTek Co Ltd		4,127,309
	42,996	DB Insurance Co Ltd		1,709,607
	13,945	DongKook Pharmaceutical Co Ltd		323,928
	520,896	Dongwon Development Co Ltd		2,077,461
	16,927	Doosan Fuel Cell Co Ltd *		763,038
	13,356	DoubleUGames Co Ltd		708,049

Shares		Description	Value ($)
		South Korea — continued
	17,652	GS Home Shopping Inc		2,191,475
	879,071	Hana Financial Group Inc		26,718,241
	66,170	Hankook Tire & Technology Co Ltd		1,958,676
	35,827	Huons Co Ltd		2,030,413
	11,634	Hy-Lok Corp		144,213
	30,038	Hyundai Home Shopping Network Corp		1,981,731
	16,334	Hyundai Mobis Co Ltd		3,605,711
	20,533	Hyundai Motor Co		3,373,529
	1,299	Ilyang Pharmaceutical Co Ltd		75,781
	194,899	Industrial Bank of Korea		1,634,184
	145,130	JB Financial Group Co Ltd		715,756
	8,933	JNTC Co Ltd *		91,051
	168,733	KB Financial Group Inc		6,975,449
	10,174	KC Co Ltd		229,284
	3,159	KEPCO Plant Service & Engineering Co Ltd		82,886
	540,333	Kia Motors Corp		28,261,718
	77,111	Korea Asset In Trust Co Ltd		276,042
	45,196	Korea Autoglass Corp		674,070
	53,855	Korean Reinsurance Co		376,863
	6,488	KT Skylife Co Ltd		52,671
	173,324	KT&G Corp		12,933,932
	95,874	LF Corp		1,275,505
	102,771	LG Electronics Inc		7,944,494
	20,004	LOTTE Himart Co Ltd		568,214
	28,523	Mirae Asset Life Insurance Co Ltd		101,691
	1,081	NCSoft Corp		794,309
	14,116	NHN KCP Corp		853,940
	42,253	Posco International Corp		507,853
	37,051	S&T Motiv Co Ltd		1,664,836
	60,458	Samjin Pharmaceutical Co Ltd		1,573,795
	12,344	Sangsangin Co Ltd		72,206
	8,508	Sebang Global Battery Co Ltd		337,930
	658,940	Shinhan Financial Group Co Ltd		19,403,108
	14,759	SK Telecom Co Ltd		3,158,300
	295,441	SK Telecom Co Ltd Sponsored ADR		6,945,818
	33,965	SL Corp		506,754
	13,952	Soulbrain Holdings Co Ltd		544,588
	180	Taekwang Industrial Co Ltd		124,947
	234,972	Woori Financial Group Inc		2,078,321
	87,833	Yuhan Corp		5,115,588
		Total South Korea		160,210,875
		Spain — 1.1%
	31,977	Acerinox SA		331,370
	166,901	ACS Actividades de Construccion y Servicios SA *		5,272,896
	28,578	Aena SME SA *		4,655,585
	72,164	Almirall SA (a)		928,194
	83,763	Amadeus IT Group SA		5,759,915
	44,710	Atresmedia Corp de Medios de Comunicacion SA (a)		158,489

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Spain — continued
	805,450	Banco Bilbao Vizcaya Argentaria SA		3,729,696
	2,540,439	Banco Santander SA *		7,367,572
	17,035	Bankinter SA		84,477
	96,025	CaixaBank SA		245,647
	111,319	Cia de Distribucion Integral Logista Holdings SA		2,052,793
	28,843	Ebro Foods SA		682,595
	27,069	eDreams ODIGEO SA * (a)		121,368
	4,863	Enagas SA		118,807
	251,639	Endesa SA		7,232,751
	88,667	Faes Farma SA		397,723
	2,450	Grupo Catalana Occidente SA		79,971
	304,505	Iberdrola SA		4,180,157
	176,689	Industria de Diseno Textil SA		5,865,081
	467,142	Mediaset Espana Comunicacion SA *		2,105,559
	334,336	Red Electrica Corp SA		6,834,854
	13,586	Repsol SA		130,218
	1,305,014	Unicaja Banco SA *		1,028,223
	38,623	Viscofan SA		2,737,294
		Total Spain		62,101,235
		Sweden — 0.4%
	255,829	Betsson AB *		2,207,081
	6,757	Bufab AB *		127,678
	18,848	Humana AB *		118,827
	101,076	Inwido AB *		1,239,058
	9,787	Lindab International AB		170,702
	12,999	New Wave Group AB – B Shares *		76,404
	405,527	Nordea Bank Abp *		3,465,811
	33,824	Skanska AB – B Shares		803,690
	7,268	Swedbank AB – A Shares *		131,601
	43,536	Swedish Match AB		3,522,144
	25,117	Volvo AB – A Shares *		577,310
	313,867	Volvo AB – B Shares *		7,148,824
		Total Sweden		19,589,130
		Switzerland — 0.4%
	25,743	ABB Ltd (Registered)		680,843
	57,545	Adecco Group AG (Registered)		3,478,714
	2,225	ALSO Holding AG (Registered) *		582,312
	15,402	ams AG *		394,786
	27,742	Banque Cantonale Vaudoise (Registered)		2,856,748
	6,642	BKW AG		687,272
	2,433	Bobst Group SA (Registered)		141,425
	2,568	Huber + Suhner AG (Registered)		208,985
	1,531	Kardex Holding AG (Registered)		301,564
	2,185	Logitech International SA (Registered)		194,738
	5,037	Mobilezone Holding AG (Registered)		53,830
	40,375	Novartis AG (Registered)		3,655,370
	4,260	Roche Holding AG		1,416,103
	27,959	Roche Holding AG – Genusschein		9,183,047

Shares		Description	Value ($)
		Switzerland — continued
	5,011	Vetropack Holding AG (Registered) *		326,674
	6,132	Zehnder Group AG – Class RG		333,083
		Total Switzerland		24,495,494
		Taiwan — 6.2%
	302,000	Ability Enterprise Co Ltd		146,592
	21,000	Acter Group Corp Ltd		142,570
	358,000	Alchip Technologies Ltd		8,393,252
	46,678	Amazing Microelectronic Corp		150,669
	2,037,672	Asustek Computer Inc		17,773,879
	65,000	Aten International Co Ltd		189,848
	3,042,000	Catcher Technology Co Ltd		20,077,287
	1,300,000	Cathay Financial Holding Co Ltd		1,842,507
	1,000,525	Chailease Holding Co Ltd		5,489,007
	1,494,660	Chicony Electronics Co Ltd		4,475,624
	120,000	Chicony Power Technology Co Ltd		283,165
	3,495,000	China Development Financial Holding Corp		1,094,549
	226,400	China Motor Corp *		381,995
	390,000	Chong Hong Construction Co Ltd		1,135,857
	2,135,000	Coretronic Corp		2,630,868
	13,579,000	CTBC Financial Holding Co Ltd		9,133,425
	61,000	Depo Auto Parts Ind Co Ltd		111,672
	232,000	Elan Microelectronics Corp		1,075,148
	608,000	Elite Material Co Ltd		3,328,810
	241,000	Elitegroup Computer Systems Co Ltd *		145,886
	1,712,000	Eva Airways Corp		759,821
	496,000	Farglory Land Development Co Ltd		908,908
	45,080	Feng TAY Enterprise Co Ltd		289,867
	2,163,000	FLEXium Interconnect Inc		9,114,447
	244,000	Formosa Advanced Technologies Co Ltd		316,809
	1,415,000	Formosa Taffeta Co Ltd		1,521,192
	1,188,000	Foxconn Technology Co Ltd		2,192,443
	4,263,000	Fubon Financial Holding Co Ltd		6,626,230
	1,875,000	Gigabyte Technology Co Ltd		5,163,819
	61,000	Gold Circuit Electronics Ltd *		110,355
	5,493,000	Grand Pacific Petrochemical *		4,512,722
	730,580	Great Wall Enterprise Co Ltd		1,187,574
	121,000	Holiday Entertainment Co Ltd		268,915
	364,000	Holtek Semiconductor Inc		917,725
	19,351,406	Hon Hai Precision Industry Co Ltd		55,864,681
	462,000	Huaku Development Co Ltd		1,430,978
	389,980	IEI Integration Corp		658,988
	27,660	Innodisk Corp		158,399
	242,000	International Games System Co Ltd		5,769,494
	161,000	Kung Long Batteries Industrial Co Ltd		791,102
	1,374,000	Lite-On Technology Corp		2,315,479
	31,000	Lotes Co Ltd		484,241
	1,973,992	Mercuries Life Insurance Co Ltd *		601,787
	455,000	Merry Electronics Co Ltd		2,260,868
	760,000	Micro-Star International Co Ltd		3,328,598
	2,083,368	Mitac Holdings Corp		2,155,585

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	19,000	Nan Liu Enterprise Co Ltd		128,659
	391,000	Nantex Industry Co Ltd		842,951
	2,027,000	Novatek Microelectronics Corp		21,275,018
	3,000	Parade Technologies Ltd		109,034
	3,021,000	Pegatron Corp		6,911,905
	217,000	Phison Electronics Corp		2,458,857
	7,929,566	Pou Chen Corp		8,685,477
	2,372,000	Qisda Corp		1,954,511
	1,476,000	Quanta Computer Inc		3,984,070
	7,637,020	Radiant Opto-Electronics Corp		31,103,943
	530,000	Ruentex Development Co Ltd		782,390
	29,000	Sheng Yu Steel Co Ltd		20,470
	200,000	Shinkong Insurance Co Ltd		273,178
	3,000	Silergy Corp.		233,730
	615,400	Simplo Technology Co Ltd		7,155,313
	136,000	Soft-World International Corp		431,005
	141,000	Standard Chemical & Pharmaceutical Co Ltd		192,912
	802,000	Sunplus Technology Co Ltd *		438,952
	610,000	Syncmold Enterprise Corp		1,852,111
	15,400	Tah Hsin Industrial Corp		39,311
	1,123,000	Taiwan PCB Techvest Co Ltd		1,797,851
	2,214,000	Taiwan Semiconductor Manufacturing Co Ltd		37,686,330
	192,550	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		18,681,201
	22,000	Thinking Electronic Industrial Co Ltd		112,755
	516,264	TOPBI International Holdings Ltd		570,966
	432,064	Topco Scientific Co Ltd		1,842,215
	29,000	Topkey Corp		170,112
	652,000	Transcend Information Inc		1,476,809
	516,000	Tripod Technology Corp		2,219,304
	301,681	United Integrated Services Co Ltd		2,420,318
	1,122,000	United Microelectronics Corp		1,593,846
	114,000	Universal Inc		426,415
	8,000	Universal Vision Biotechnology Co Ltd		83,378
	176,000	Wah Lee Industrial Corp		477,390
	446,000	Wistron Corp		466,493
	38,000	Wiwynn Corp		909,986
	493,000	Youngtek Electronics Corp		1,083,440
	20,000	Yulon Nissan Motor Co Ltd		183,583
		Total Taiwan		348,789,826
		Thailand — 0.1%
	669,000	AP Thailand Pcl NVDR		154,720
	258,600	Bangkok Bank Pcl NVDR		1,008,969
	7,548,600	Beauty Community Pcl NVDR *		384,166
	65,900	Hana Microelectronics Pcl NVDR		93,082
	8,324,200	IRPC Pcl NVDR		748,490
	70,500	KCE Electronics Pcl NVDR		93,743
	82,900	Kiatnakin Phatra Bank Pcl NVDR		135,373
	708,900	Krung Thai Bank Pcl NVDR		250,232

Shares		Description	Value ($)
		Thailand — continued
	274,300	Origin Property Pcl NVDR		70,273
	363,200	Pruksa Holding Pcl (Foreign Registered)		150,126
	1,515,300	Pruksa Holding Pcl NVDR		626,339
	849,700	SC Asset Corp Pcl (Foreign Registered)		76,969
	2,100	Siam Commercial Bank Pcl NVDR (The)		5,926
	207,800	Somboon Advance Technology Pcl NVDR		98,686
	222,500	SPCG Pcl NVDR		158,100
	1,073,525	Supalai Pcl (Foreign Registered)		635,026
	583,000	Supalai Pcl NVDR		344,864
	201,500	Thai Vegetable Oil Pcl NVDR		216,549
	20,773,800	TMB Bank Pcl NVDR		721,074
	453,300	TTW Pcl NVDR		190,438
	985,600	Univentures Pcl NVDR		99,096
		Total Thailand		6,262,241
		Turkey — 0.8%
	970,171	Aksa Akrilik Kimya Sanayii AS		1,328,020
	413,025	Alkim Alkali Kimya AS		720,822
	204,837	Anadolu Efes Biracilik Ve Malt Sanayii AS		548,502
	426,031	Arcelik AS *		1,486,431
	2,961,632	Aselsan Elektronik Sanayi Ve Ticaret AS		6,546,667
	61,656	BIM Birlesik Magazalar AS		552,359
	4,070,023	Dogan Sirketler Grubu Holding AS		1,249,083
	220,674	Dogus Otomotiv Servis ve Ticaret AS		751,908
	13,998,623	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		3,855,684
	1,821,359	Enerjisa Enerji AS		2,516,209
	3,280,733	Eregli Demir ve Celik Fabrikalari TAS		4,612,161
	19,144	Ford Otomotiv Sanayi AS		263,381
	389,210	Goodyear Lastikleri TAS *		372,464
	1,052,357	KOC Holding AS		2,368,371
	228,571	Koza Altin Isletmeleri AS *		2,178,338
	318,983	Koza Anadolu Metal Madencilik Isletmeleri AS *		515,941
	338,429	Ozak Gayrimenkul Yatirim Ortakligi (REIT) *		183,216
	653,505	Selcuk Ecza Deposu Ticaret ve Sanayi AS		1,047,132
	44,633	Tofas Turk Otomobil Fabrikasi AS		162,222
	843,363	Torunlar Gayrimenkul Yatirim Ortakligi AS (REIT) *		390,289
	2,740,297	Turkiye Garanti Bankasi AS *		3,069,651
	11,505,129	Turkiye Is Bankasi – Class C *		9,604,817
	1,210,974	Turkiye Sise ve Cam Fabrikalari AS		1,052,099
	45,765	Vestel Beyaz Esya Sanayi ve Ticaret AS		201,116
		Total Turkey		45,576,883
		United Arab Emirates — 0.1%
	196,980	Abu Dhabi Islamic Bank PJSC		251,857
	53,315	Abu Dhabi National Oil Co for Distribution PJSC		50,161

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United Arab Emirates — continued
	723,427	Dubai Islamic Bank PJSC		876,784
	264,256	Emaar Malls PJSC *		131,134
	6,655,008	Emaar Properties PJSC *		5,741,669
	150,839	Emirates NBD Bank PJSC		449,175
		Total United Arab Emirates		7,500,780
		United Kingdom — 3.9%
	360,410	3i Group Plc		5,095,140
	105,452	888 Holdings Plc		382,198
	839	Admiral Group Plc		31,603
	131,352	Aggreko Plc		973,668
	36,501	Alliance Pharma Plc		36,294
	32,323	Anglo American Plc		941,241
	21,411	AVEVA Group Plc (a)		963,373
	94,298	Aviva Plc		399,238
	66,509	B&M European Value Retail SA		420,512
	32,351	Bank of Georgia Group Plc *		485,545
	1,188,785	Barratt Developments Plc *		9,746,114
	131,393	Bellway Plc		4,935,590
	220,702	Berkeley Group Holdings Plc (The)		13,490,114
	4,300	BP Plc Sponsored ADR (a)		84,108
	72,829	British American Tobacco Plc		2,563,745
	201,700	British American Tobacco Plc Sponsored ADR		7,122,027
	2,407,646	BT Group Plc		3,726,820
	28,219	Bunzl Plc		878,923
	41,219	Carnival Plc		714,506
	1,823,655	Centamin Plc		2,762,677
	76,903	Central Asia Metals Plc		221,093
	39,959	CMC Markets Plc		207,056
	100,547	Coca-Cola HBC AG *		2,872,088
	401,494	Compass Group Plc		7,064,552
	42,827	Computacenter Plc		1,262,552
	5,531	Cranswick Plc		252,061
	29,293	Daily Mail & General Trust Plc – Class A		264,506
	1,199	Diploma Plc		33,668
	3,669	Dixons Carphone Plc		5,379
	41,521	Dunelm Group Plc *		667,792
	87,406	Electrocomponents Plc		941,228
	15,495	EMIS Group Plc		201,161
	30,214	Evraz Plc		151,829
	83,932	Ferguson Plc		9,395,266
	824,323	Ferrexpo Plc		2,311,608
	200,635	Frasers Group Plc *		1,119,689
	17,273	Fresnillo Plc		243,010
	7,548	Games Workshop Group Plc		988,451
	56,840	Go-Ahead Group Plc (The) *		615,408
	3,708	Greggs Plc *		83,013
	143,158	Halfords Group Plc		507,985
	2,454	Hikma Pharmaceuticals Plc		84,766
	346,000	HSBC Holdings Plc *		1,804,482
	310,097	IG Group Holdings Plc		3,303,602

Shares		Description	Value ($)
		United Kingdom — continued
	52,415	IMI Plc		776,769
	215,363	Inchcape Plc *		1,714,448
	323,262	Indivior Plc *		437,009
	83,066	International Personal Finance Plc * (a)		97,649
	184,324	Investec Plc		453,831
	984,482	ITV Plc *		1,225,139
	611,010	J Sainsbury Plc		1,705,545
	281,776	JD Sports Fashion Plc *		2,891,449
	109,177	John Laing Group Plc		459,300
	15,984	Johnson Matthey Plc		470,994
	22,942	Jupiter Fund Management Plc		74,100
	1,703,064	Kingfisher Plc *		6,184,888
	2,055,070	Legal & General Group Plc		6,786,605
	1,370,326	M&G Plc		3,400,096
	1,076,064	Micro Focus International Plc *		4,956,073
	172,056	Mitchells & Butlers Plc *		484,432
	35,607	Mondi Plc		779,123
	100,325	Morgan Advanced Materials Plc		375,970
	50,417	Morgan Sindall Group Plc		935,007
	331,118	National Express Group Plc *		975,760
	73,712	National Grid Plc		825,467
	34,415	Next Plc		2,972,864
	23,905	Numis Corp Plc		109,731
	94,460	OSB Group Plc *		489,299
	161,298	Paragon Banking Group Plc		866,284
	516,093	Persimmon Plc		18,110,858
	254,514	Pets at Home Group Plc		1,403,687
	102,236	Phoenix Group Holdings Plc		968,251
	148,588	Playtech Plc *		758,459
	209,481	Plus500 Ltd		4,299,320
	543,697	Premier Foods Plc *		636,569
	619,774	QinetiQ Group Plc		2,409,861
	104,630	Redde Northgate Plc		336,566
	156,273	Royal Dutch Shell Plc – A Shares		2,638,491
	479,527	Royal Dutch Shell Plc – B Shares		7,701,433
	904,500	Royal Dutch Shell Plc – Class B Sponsored ADR		29,351,025
	79,395	Royal Mail Plc		321,753
	448,818	RSA Insurance Group Plc		4,032,824
	7,500	Smith & Nephew Plc Sponsored ADR		295,125
	71,920	Smiths Group Plc		1,381,889
	33,891	Softcat Plc		510,938
	394,953	Spirent Communications Plc		1,348,685
	110,403	Stock Spirits Group Plc		346,259
	697,734	Tate & Lyle Plc		5,894,283
	592,676	Taylor Wimpey Plc *		1,206,203
	75,433	TI Fluid Systems Plc *		221,702
	43,380	Vesuvius Plc		280,119
	152,686	WM Morrison Supermarkets Plc		363,362
	520,993	WPP Plc		5,020,157
		Total United Kingdom		220,641,332

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — 18.0%
	11,100	1st Source Corp.		414,252
	303,600	ACCO Brands Corp. (a)		2,325,576
	116,400	Acushnet Holdings Corp. (a) (b)		4,388,280
	46,600	Adtalem Global Education, Inc. * (a)		1,334,158
	93,700	ADTRAN, Inc.		1,183,899
	46,900	AgroFresh Solutions, Inc. *		107,870
	21,600	Alexion Pharmaceuticals, Inc. *		2,637,576
	56,300	Alliance Data Systems Corp.		4,117,782
	54,300	Ally Financial, Inc. (a)		1,609,995
	46,500	Alpha & Omega Semiconductor Ltd. *		1,155,060
	19,400	Amalgamated Bank – Class A		246,768
	7,800	AMC Networks, Inc. – Class A * (a)		257,166
	64,594	American Express Co. (a)		7,660,202
	14,700	American Public Education, Inc. *		456,288
	7,300	American Vanguard Corp.		110,668
	54,200	Amneal Pharmaceuticals, Inc. * (a)		214,090
	39,500	AngioDynamics, Inc. *		561,690
	1,000	Anthem, Inc. (a)		311,520
	2,200	Applied Industrial Technologies, Inc.		172,546
	24,600	ArcBest Corp.		1,030,986
	9,700	Arcosa, Inc.		503,333
	152,100	Arlo Technologies, Inc. *		800,046
	36,500	Arrow Electronics, Inc. *		3,345,225
	2,987	Arrow Financial Corp.		88,893
	116,600	Associated Banc-Corp. (a)		1,786,312
	104,100	AT&T, Inc. (a)		2,992,875
	93,100	Athene Holding Ltd. – Class A * (a)		4,128,985
	31,000	Atlas Air Worldwide Holdings, Inc. * (a)		1,730,110
	81,600	AutoNation, Inc. * (a)		5,001,264
	81,100	Avient Corp. (a)		2,964,205
	33,100	Avnet, Inc.		1,004,585
	22,800	AZZ, Inc.		1,016,652
	12,900	BankFinancial Corp.		104,103
	4,100	Bar Harbor Bankshares		94,505
	11,700	Bassett Furniture Industries, Inc.		183,690
	63,800	Bed Bath & Beyond, Inc.		1,337,248
	9,830	Bel Fuse, Inc. – Class B		144,108
	109,300	Benchmark Electronics, Inc.		2,658,176
	137,300	Big Lots, Inc. (a) (b)		7,094,291
	11,200	Biogen, Inc. *		2,689,904
	17,400	Bloomin’ Brands, Inc. (a)		304,500
	2,800	Booking Holdings, Inc. * (a)		5,679,660
	178,100	BorgWarner, Inc. (a) (b)		6,919,185
	48,200	Boston Private Financial Holdings, Inc.		345,112
	108,700	Brady Corp. – Class A		4,802,366
	13,700	Bridge Bancorp, Inc.		305,784
	73,200	Brightsphere Investment Group, Inc.		1,295,640
	41,600	Brinker International, Inc. (a)		2,084,576
	78	Bristol-Myers Squibb Co.		4,867
	15,300	Brookline Bancorp, Inc.		173,961
	2,500	Cabot Corp.		103,525
	31,000	Calix, Inc. * (a)		734,080

Shares		Description	Value ($)
		United States — continued
	13,300	Camden National Corp.		456,855
	46,500	Capital One Financial Corp. (a)		3,982,260
	58,200	Capri Holdings Ltd. *		2,059,116
	97,360	Carnival Corp. (a)		1,945,253
	3,100	Carriage Services, Inc.		84,351
	68,900	Carrier Global Corp. (a)		2,623,023
	79,700	Cars.com, Inc. *		890,249
	22,300	Cathay General Bancorp		629,975
	42,500	CBIZ, Inc. *		1,029,350
	67,800	CBRE Group, Inc. – Class A *		4,145,292
	43,000	Centene Corp. * (a)		2,650,950
	8,700	Central Garden & Pet Co. *		348,348
	25,800	Central Garden & Pet Co. – Class A *		951,762
	4,815	Century Bancorp, Inc. – Class A		355,828
	375,100	CenturyLink, Inc. (a)		3,919,795
	537,182	Charles Schwab Corp. (The) (a)		26,203,738
	53,300	Chevron Corp. (a)		4,646,694
	16,700	Cigna Corp. (a)		3,492,638
	16,000	Cisco Systems, Inc. (a)		688,320
	83,900	Citigroup, Inc.		4,620,373
	52,600	Citizens Financial Group, Inc. (a)		1,717,916
	11,860	Civista Bancshares, Inc.		199,604
	38,771	Clarus Corp.		558,302
	8,600	CNB Financial Corp.		169,248
	66,483	Coca-Cola Co. (The) (a)		3,430,523
	32,500	Cognizant Technology Solutions Corp. – Class A (a)		2,539,225
	69,200	Comcast Corp. – Class A (a)		3,476,608
	8,500	Community Trust Bancorp, Inc.		287,725
	38,600	Computer Programs & Systems, Inc.		1,097,398
	97,300	Comtech Telecommunications Corp.		1,854,538
	288,191	Concho Resources, Inc. (a) (b)		16,565,219
	57,300	Consolidated Communications Holdings, Inc.*		320,880
	27,800	Cooper Tire & Rubber Co.		1,104,494
	43,300	Core-Mark Holding Co., Inc.		1,350,527
	445,500	CoreCivic, Inc. (REIT)		3,158,595
	162,400	CorePoint Lodging, Inc. (REIT)		1,057,224
	24,300	Cornerstone Building Brands, Inc. * (a)		212,382
	84,700	Corteva, Inc. (a)		3,245,704
	405,300	Coty Inc. – Class A (a)		2,914,107
	100	Covetrus, Inc. * (a)		2,702
	16,400	CRA International, Inc.		751,940
	29,000	CSG Systems International, Inc. (a)		1,258,020
	22,600	CTS Corp.		688,396
	47,200	Curo Group Holdings Corp.		407,808
	49,700	CVS Health Corp. (a)		3,369,163
	35,799	CytomX Therapeutics, Inc. *		269,208
	1,100	Deluxe Corp. (a)		28,314
	191,200	Designer Brands, Inc. – Class A (a)		1,510,480
	75,100	DHI Group, Inc. *		144,192
	2,600	Diamond Hill Investment Group, Inc.		355,732

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	29,000	Dick’s Sporting Goods, Inc. (a)		1,647,490
	15,800	Digi International, Inc. * (a)		271,128
	57,800	Dime Community Bancshares, Inc.		835,210
	1,082,700	Discovery, Inc. – Class C * (b)		26,006,454
	121,900	DISH Network Corp. – Class A * (a)		4,372,553
	4,047	Donegal Group, Inc. – Class A		56,577
	118,200	Donnelley Financial Solutions, Inc. *		1,925,478
	42,900	DR Horton, Inc.		3,196,050
	43,900	DSP Group, Inc. *		738,837
	23,000	Ducommun, Inc. *		1,143,560
	7,800	Duluth Holdings Inc. – Class A * (a)		114,660
	34,100	Edwards Lifesciences Corp. * (a)		2,860,649
	25,600	Ellington Financial, Inc. (REIT)		368,640
	3,000	Employers Holdings, Inc.		91,530
	30,100	Encore Capital Group, Inc. * (a)		1,027,614
	300	Encore Wire Corp.		15,501
	433,400	Endo International Plc * (a)		2,201,672
	22,100	Endurance International Group Holdings, Inc. *		209,508
	500	EnerSys (a)		40,905
	30,200	Ennis, Inc.		494,374
	169,425	Enova International, Inc. * (a)		3,542,677
	400	EnPro Industries, Inc.		28,324
	120,718	EOG Resources, Inc. (a)		5,659,260
	4,000	ePlus, Inc. *		337,240
	1,288,200	ESC NII Holdings, Inc. (c)		2,705,220
	7,400	Escalade, Inc.		142,598
	7,300	ESSA Bancorp, Inc. (a)		115,486
	129,000	Ethan Allen Interiors, Inc.		2,356,830
	51,300	Evolution Petroleum Corp.		155,952
	64,300	Exelon Corp. (a)		2,640,801
	31,500	Expedia Group, Inc. (a)		3,921,435
	82,600	Exxon Mobil Corp. (a)		3,149,538
	1,200	Federal Agricultural Mortgage Corp. – Class C		81,240
	102,700	Federal Signal Corp. (b)		3,186,781
	99,000	Federated Hermes, Inc. (a)		2,657,160
	27,100	FedNat Holding Co.		152,844
	20,130	Financial Institutions, Inc.		402,801
	12,826	First Community Bankshares, Inc.		270,244
	9,900	First Financial Corp.		374,913
	7,900	First Financial Northwest, Inc.		87,216
	12,800	First Foundation, Inc. (a)		227,328
	276,000	FirstEnergy Corp. (a) (e)		7,330,560
	166,800	Flagstar Bancorp, Inc. (b)		5,844,672
	4,100	FleetCor Technologies, Inc. * (a)		1,087,361
	8,000	Flushing Financial Corp.		113,600
	13,100	FONAR Corp.*		251,651
	468,200	Ford Motor Co. (a)		4,251,256
	74,500	Fox Corp. – Class A (a)		2,148,580
	88,300	Fox Corp. – Class B *		2,505,954
	27,000	FutureFuel Corp.		323,730

Shares		Description	Value ($)
		United States — continued
	15,400	G-III Apparel Group Ltd. * (a)		313,698
	51,600	GameStop Corp. – Class A *		854,496
	201,500	GCI Liberty, Inc. – Class A * (b)		18,360,680
	98,400	General Motors Co. (a)		4,313,856
	15,100	Genesco, Inc. * (a)		473,687
	38,000	Genie Energy Ltd. – Class B		315,400
	230,700	GEO Group, Inc. (The) (REIT)		2,180,115
	12,400	Gilead Sciences, Inc. (a)		752,308
	18,500	Goldman Sachs Group, Inc. (The)		4,265,730
	28,900	Gorman-Rupp Co. (The)		950,810
	1,500	Graham Holdings Co. – Class B		670,530
	5,600	Great Southern Bancorp, Inc.		257,040
	62,200	Greif, Inc. – Class A (a)		3,023,542
	103,300	Griffon Corp. (a)		2,153,805
	11,000	Gritstone Oncology, Inc. * (a)		33,550
	72,600	Group 1 Automotive, Inc. (b)		8,625,606
	160,388	Grubhub, Inc. * (b)		11,281,692
	8,500	H&R Block, Inc. (a)		159,800
	52,100	Hasbro, Inc. (a)		4,846,863
	69,600	Haverty Furniture Cos, Inc.		1,894,512
	2,700	Hawkins, Inc.		135,486
	6,700	HB Fuller Co. (a)		350,611
	145,120	HD Supply Holdings, Inc. *		8,099,147
	10,200	HealthStream, Inc. *		190,536
	51,681	HEICO Corp. (a)		6,386,738
	22,500	Heidrick & Struggles International, Inc.		587,250
	13,500	Heritage Financial Corp.		314,145
	188,736	Herman Miller, Inc. (b)		6,726,551
	54,775	Hilltop Holdings, Inc.		1,319,530
	68,800	Hilton Grand Vacations, Inc. *		1,908,512
	48,872	Hilton Worldwide Holdings, Inc. (a)		5,064,605
	41,200	HNI Corp.		1,502,152
	25,300	Honeywell International, Inc. (a)		5,159,176
	86,200	HP, Inc. (a)		1,890,366
	5,700	Hurco Cos, Inc.		169,917
	11,320	Hyatt Hotels Corp. – Class A (a)		814,700
	26,000	Hyster-Yale Materials Handling, Inc.		1,431,040
	27,100	IDT Corp. – Class B *		323,032
	309,050	iHeartMedia, Inc. – Class A * (a)		3,694,693
	1,200	Independence Holding Co.		47,316
	23,163	Independent Bank Corp.		394,003
	19,800	Information Services Group, Inc. *		59,796
	15,562	Ingles Markets, Inc. – Class A		584,976
	47,100	Innospec, Inc.		3,875,859
	1,200	Inogen, Inc. * (a)		42,084
	135,900	Inphi Corp. * (a)		21,082,167
	93,500	Insight Enterprises, Inc. * (a) (b)		6,683,380
	13,000	Insteel Industries, Inc.		300,690
	9,100	Integer Holdings Corp. * (a)		656,019
	65,500	Intel Corp. (a)		3,166,925
	23,900	Inter Parfums, Inc. (a)		1,298,009

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	35,000	Interface, Inc.		292,075
	51,675	International Bancshares Corp. (b)		1,674,787
	33,100	International Business Machines Corp. (a)		4,088,512
	152,100	Invesco Ltd. (a)		2,468,583
	415,500	Investors Bancorp, Inc. (a)		4,022,040
	18,700	Jazz Pharmaceuticals Plc * (a)		2,631,277
	118,473	JELD-WEN Holding, Inc. *		2,865,862
	17,800	Johnson Outdoors, Inc. – Class A (b)		1,488,080
	2,800	Jones Lang LaSalle, Inc. * (a)		370,412
	30,400	Kelly Services, Inc. – Class A		621,984
	31,900	Kezar Life Sciences, Inc. *		209,902
	8,500	Kforce, Inc.		348,925
	34,700	Kimball Electronics, Inc. *		534,727
	89,400	Kimball International, Inc. – Class B		977,142
	293,400	Kinder Morgan, Inc. (a)		4,219,092
	8,400	Knoll, Inc.		114,744
	109,500	Kohl’s Corp. (a)		3,525,900
	18,800	Koppers Holdings, Inc. *		508,916
	49,200	Kraft Heinz Co. (The) (a)		1,620,648
	76,500	Kroger Co. (The) (a)		2,524,500
	5,000	Kronos Worldwide, Inc. (a)		68,750
	5,400	L B Foster Co. – Class A *		78,624
	73,400	La-Z-Boy, Inc. (a)		2,718,736
	6,100	Laboratory Corp. of America Holdings * (a)		1,219,024
	18,200	Lakeland Financial Corp.		924,378
	86,104	Las Vegas Sands Corp. (a)		4,796,854
	11,000	LCNB Corp.		162,800
	4,000	Leaf Group Ltd. *		22,560
	10,500	Leidos Holdings, Inc. (a)		1,057,350
	39,700	Lennar Corp. – Class A (a)		3,011,642
	22,035	LENSAR, Inc. * (a)		188,840
	103,700	Liberty Broadband Corp. – Class C * (a)		16,317,195
	21,660	Liberty Media Corp-Liberty Formula One – Class C * (a)		904,955
	244,711	Liberty Media Corp.-Liberty SiriusXM – Class C * (b)		10,035,598
	345,900	Liberty TripAdvisor Holdings, Inc. – Class A * (a)		951,225
	91,700	Lincoln National Corp. (a)		4,330,074
	8,752	Live Nation Entertainment, Inc.*		574,569
	19,400	LKQ Corp. * (a)		683,268
	65,300	Luminex Corp. (a)		1,549,569
	155,500	Lyft, Inc. – Class A * (a)		5,935,435
	43,700	LyondellBasell Industries NV – Class A (a)		3,718,870
	23,355	Macatawa Bank Corp.		181,235
	103,980	Macquarie Infrastructure Corp. (a)		3,363,753
	52,600	Marchex, Inc. – Class B *		113,616
	5,131	Markel Corp. * (a)		4,996,722
	5,700	Marlin Business Services Corp. (a)		59,223
	36,430	Masonite International Corp. *		3,644,821
	60,100	Materion Corp. (a) (b)		3,503,830
	31,000	Matrix Service Co. *		296,980

Shares		Description	Value ($)
		United States — continued
	299,900	Maxim Integrated Products, Inc. (b)		24,903,696
	54,800	MDC Holdings, Inc. (a) (b)		2,645,196
	1,000	Mercantile Bank Corp.		24,830
	18,300	Meridian Bancorp, Inc.		249,703
	117,500	Meridian Bioscience, Inc. * (a)		2,220,750
	102,700	Meritor, Inc. * (a)		2,711,280
	15,500	Methode Electronics, Inc. (a)		542,810
	77,100	MetLife, Inc.		3,559,707
	131,900	MGIC Investment Corp. (a)		1,577,524
	114,350	MGM Growth Properties LLC – Class A (REIT) (a)		3,495,679
	64,600	Michaels Cos., Inc. (The) *		638,894
	67,400	Micron Technology, Inc. * (a) (b)		4,319,666
	1,600	MicroStrategy, Inc. – Class A * (a)		548,432
	68,300	Modine Manufacturing Co. * (a)		745,836
	9,100	Mohawk Industries, Inc. * (a)		1,145,053
	89,400	Molson Coors Brewing Co. – Class B (a)		4,112,400
	77,200	Moog, Inc. – Class A (a) (b)		5,972,192
	43,600	Morgan Stanley (a)		2,695,788
	51,600	Movado Group, Inc.		873,588
	33,000	Mueller Industries, Inc. (a)		1,081,080
	12,521	Murray Energy Corp. (c)		81,387
	231,214	National General Holdings Corp.		7,879,773
	6,300	National Presto Industries, Inc.		535,815
	17,700	Natus Medical, Inc. * (a)		370,284
	150,500	Nautilus, Inc. *		3,175,550
	21,000	Neenah, Inc.		1,018,710
	19,500	NETGEAR, Inc. * (a)		620,295
	458,700	Newmark Group, Inc. – Class A(a)		3,220,074
	29,100	NextGen Healthcare, Inc. * (a)		516,234
	840	NexTier Oilfield Solutions, Inc. *		2,352
	17,400	Northfield Bancorp, Inc.		193,662
	4,737	Northrim BanCorp, Inc.		150,494
	29,040	Northwest Bancshares, Inc.		343,543
	68,900	nVent Electric Plc		1,584,700
	97,600	Occidental Petroleum Corp. (a)		1,538,176
	129,300	OFG Bancorp		2,165,775
	13,000	Old National Bancorp		205,790
	16,800	Olympic Steel, Inc. (a)		249,312
	25,642	Oppenheimer Holdings, Inc. – Class A		756,183
	50,400	Oracle Corp. (a)		2,909,088
	163,000	Owens & Minor, Inc.		4,198,880
	7,300	Park-Ohio Holdings Corp. (a)		205,057
	2,400	Patrick Industries, Inc. (a)		151,296
	82,500	Patterson Cos., Inc. (a)		2,290,200
	27,100	PC Connection, Inc. (a) (b)		1,237,115
	106,700	PDL BioPharma, Inc. * (a)		269,951
	64,400	Penn Virginia Corp. * (a)		580,888
	1,650	Penns Woods Bancorp, Inc.		42,174
	101,900	PennyMac Financial Services, Inc. (a)		5,873,516
	139,500	PennyMac Mortgage Investment Trust (REIT) (a)		2,385,450

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	8,300	Penske Automotive Group, Inc. (a)		457,081
	110,900	Perdoceo Education Corp. * (a)		1,257,606
	280,321	PG&E Corp. * (a)		3,560,077
	3,400	Phibro Animal Health Corp. – Class A		64,226
	52,200	Phillips 66 (a)		3,162,276
	24,200	Photronics, Inc. *		280,478
	83,000	PNM Resources, Inc.		4,076,130
	1,900	Preformed Line Products Co.		115,235
	12,500	Premier Financial Bancorp, Inc.		166,375
	66,106	Premier Financial Corp.		1,369,055
	142,200	Prestige Consumer Healthcare, Inc. * (a)		5,058,054
	8,200	Principal Financial Group, Inc. (a)		408,278
	12,900	Progress Software Corp. (a)		517,290
	8,300	Protective Insurance Corp. – Class B (a)		118,607
	10,500	Providence Service Corp. (The) * (a)		1,425,795
	54,100	Prudential Financial, Inc. (a)		4,091,042
	14,300	PulteGroup, Inc.		623,909
	81,600	QEP Resources, Inc.		131,376
	333,400	Qurate Retail, Inc. – Series A		3,490,698
	1,700	Radian Group, Inc.		32,096
	138,923	Raytheon Technologies Corp. (a)		9,963,558
	243,400	Realogy Holdings Corp. * (a)		2,996,254
	5,700	Regeneron Pharmaceuticals, Inc. * (a)		2,941,371
	4,900	Renewable Energy Group, Inc. * (a)		284,592
	7,233	Republic Bancorp, Inc. – Class A		255,325
	181,800	Resideo Technologies, Inc. * (a)		3,361,482
	43,000	Resources Connection, Inc.		520,730
	15,400	Riverview Bancorp, Inc.		81,312
	14,097	Rocky Brands, Inc.		408,813
	8,000	Royal Caribbean Cruises Ltd.		630,480
	7,200	Sally Beauty Holdings, Inc. * (a)		82,800
	151,800	SandRidge Energy, Inc.*		405,306
	205,700	Sanmina Corp. * (b)		6,544,345
	1,200	Scholar Rock Holding Corp. * (a)		59,784
	37,400	Scholastic Corp.		887,128
	86,600	Schweitzer-Mauduit International, Inc. (a)		3,011,948
	103,715	Sciplay Corp. – Class A *		1,544,316
	5,200	SeaSpine Holdings Corp.*		73,944
	53,700	Select Medical Holdings Corp. * (a)		1,294,170
	13,876	Seneca Foods Corp. – Class A * (a)		581,127
	152,995	Sensata Technologies Holding Plc * (a)		7,470,746
	49,600	Shoe Carnival, Inc. (a)		1,813,872
	20,600	Sierra Bancorp		453,200
	31,700	Silgan Holdings, Inc. (a)		1,071,460
	18,296	SkillSoft Corp. (c)		3,110,320
	1,800	Sleep Number Corp. *		124,902
	115,200	SLM Corp. (a)		1,222,272
	91,200	Sonic Automotive, Inc. – Class A (a)		3,682,656
	38,300	Southeastern Grocers (c)		2,661,850
	684,600	Southwestern Energy Co. * (a)		2,129,106
	77,300	SpartanNash Co.		1,459,424
	97,800	Spok Holdings, Inc.		961,374

Shares		Description	Value ($)
		United States — continued
	14,000	SS&C Technologies Holdings, Inc.		964,460
	9,400	Standard Motor Products, Inc.		435,126
	160,700	Steelcase, Inc. – Class A		1,952,505
	21,400	Stepan Co. (a)		2,485,824
	3,000	Stewart Information Services Corp. (a)		125,610
	75,400	Stoneridge, Inc. *		2,025,244
	32,457	StoneX Group, Inc. * (a) (b)		2,000,000
	247,600	Summit Hotel Properties, Inc. (REIT) (a)		2,151,644
	16,400	Sunstone Hotel Investors, Inc. (REIT)		172,200
	2,400	Super Micro Computer, Inc. *		67,704
	39,500	Surface Oncology, Inc. *		357,080
	87,400	Surgalign Holdings, Inc. * (a)		197,524
	7,600	Surmodics, Inc. *		284,544
	9,500	Sutro Biopharma, Inc. * (a)		162,450
	82,200	Sykes Enterprises, Inc. *		3,093,186
	130,200	Synchrony Financial		3,967,194
	1,507,100	Syncora Holdings Ltd.		437,059
	33,900	Systemax, Inc. (a)		1,043,103
	95,040	Taylor Morrison Home Corp. * (a)		2,402,611
	467,100	TEGNA, Inc. (a) (b)		6,730,911
	42	Teladoc Health, Inc. *		8,388
	137,100	Telephone & Data Systems, Inc.		2,602,158
	176,920	Tempur Sealy International, Inc. * (a)		4,456,615
	51,620	Tenet Healthcare Corp. * (a)		1,622,417
	5,500	Tennant Co.		369,380
	67,100	Terex Corp. (a)		2,080,100
	10,900	Territorial Bancorp, Inc.		243,179
	32,400	Textron, Inc. (a)		1,461,240
	1,888,723	The Oneida Group (f)		3,324,152
	3,300	Timberland Bancorp, Inc.		78,639
	28,300	Towne Bank/Portsmouth VA		615,525
	57,700	Tredegar Corp.		912,237
	95,300	TRI Pointe Group, Inc. *		1,665,844
	61,000	Tribune Publishing Co.		736,880
	33,600	TriCo Bancshares		1,100,736
	10,600	Triple-S Management Corp. – Class B * (a)		237,546
	446,524	TRU TAJ (f)		1,562,834
	5,869	TRU TAJ Liquidation Unit Trust (c)		88,035
	16,200	TrueBlue, Inc. *		309,420
	79,600	TrustCo Bank Corp.		483,172
	3,000	Trustmark Corp.		74,460
	42,600	Tyson Foods, Inc. – Class A		2,777,520
	114,800	UFP Industries, Inc. (b)		6,159,020
	8,300	United Rentals, Inc. * (a)		1,883,934
	5,421	United Security Bancshares		38,218
	30,900	United States Cellular Corp. *		968,715
	1,100	United Therapeutics Corp. * (a)		145,904
	85,200	Universal Corp. (a) (b)		3,877,452
	17,500	Universal Electronics, Inc. *		921,550
	30,300	Universal Health Services, Inc. – Class B		3,956,574
	18,700	Urban Edge Properties (REIT)		242,726
	182,108	US Bancorp (b)		7,868,887

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	5,000	USANA Health Sciences, Inc. *		375,900
	87,800	Valvoline, Inc.		2,000,962
	3,400	Vanda Pharmaceuticals, Inc. *		41,514
	129,100	Varian Medical Systems, Inc. * (b)		22,460,818
	45,957	Vectrus, Inc. *		2,190,770
	126,300	Vera Bradley, Inc. *		1,071,024
	32,700	Veritiv Corp. *		607,566
	148,871	Verso Corp. – Class A		1,609,296
	81,101	VF Corp. (a)		6,763,823
	124,800	ViacomCBS, Inc. – Class B (a)		4,402,944
	87,800	Viatris, Inc. * (a)		1,476,796
	12,700	Village Super Market, Inc. – Class A		294,132
	81,500	Virtusa Corp. *		4,081,520
	19,000	Vista Outdoor, Inc. *		391,970
	17,300	VMware, Inc. – Class A * (a)		2,420,097
	186,200	Waddell & Reed Financial, Inc. – Class A (a)		3,064,852
	68,200	Walgreens Boots Alliance, Inc. (a)		2,592,282
	67,000	Walker & Dunlop, Inc. (a) (b)		5,360,670
	40,325	Waterstone Financial, Inc.		708,309
	9,700	Weis Markets, Inc.		462,011
	277,453	Wells Fargo & Co. (a) (b)		7,588,340
	5,770	West BanCorp, Inc.		111,246
	124,300	Western Union Co. (The) (a)		2,804,208
	84,700	Western Digital Corp. (a)		3,801,336
	107,060	Westmoreland Mining Holdings LLC (f)		579,944
	16,600	Westwood Holdings Group, Inc.		197,872
	193,200	Willis Towers Watson Plc (b)		40,222,308
	4,200	Wintrust Financial Corp.		228,858
	215,500	World Fuel Services Corp. (b)		6,124,510
	28,000	Worthington Industries, Inc. (a)		1,448,160
	4,732	WPX Energy, Inc. *		35,537
	24,230	Wyndham Destinations Corp.		1,019,114
	404,400	Xenia Hotels & Resorts, Inc. (REIT) (a)		5,697,996
	29,500	Xerox Holdings Corp. (a)		645,755
	152,900	Xilinx, Inc. (b)		22,254,595
	29,600	Xperi Holding Corp. (a)		564,768
	43,500	Zumiez, Inc. * (a)		1,613,415
		Total United States		1,019,221,992
		Vietnam — 0.0%
	580,610	Kinh Bac City Development Share Holding Corp *		397,594
	85,710	PetroVietnam Gas JSC		308,755
	769,000	PetroVietnam Technical Services Corp		489,229
	53,480	Pha Lai Thermal Power JSC		55,249
	188,440	Vinh Hoan Corp		359,648
		Total Vietnam		1,610,475
		TOTAL COMMON STOCKS (COST $4,474,311,831)		4,464,779,392

Shares		Description	Value ($)
		PREFERRED STOCKS (g) — 1.5%
		Brazil — 0.3%
	450,100	Banco do Estado do Rio Grande do Sul SA – Class B		1,108,993
	647,451	Bradespar SA		7,021,485
	176,100	Braskem SA – Class A *		742,871
	816,000	Cia de Saneamento do Parana		760,040
	13,500	Cia de Transmissao de Energia Eletrica Paulista		68,541
	619,900	Cia Paranaense de Energia – Class B		7,899,461
	93,600	Lojas Americanas SA		400,614
		Total Brazil		18,002,005
		Colombia — 0.0%
	22,832	Banco Davivienda SA		178,402
	1,845,309	Grupo Aval Acciones y Valores SA		533,645
		Total Colombia		712,047
		Germany — 0.2%
	61,062	Bayerische Motoren Werke AG		4,012,098
	23,067	Draegerwerk AG & Co KGaA (a)		1,807,420
	13,298	Henkel AG & Co KGaA		1,430,670
	2,037	Jungheinrich AG		88,718
	24,407	Schaeffler AG		181,624
	4,825	Villeroy & Boch AG		76,345
	5,115	Volkswagen AG		858,593
		Total Germany		8,455,468
		Russia — 0.4%
	163,829	Bashneft PJSC		2,638,212
	93,450	Nizhnekamskneftekhim PJSC		96,270
	40,767,000	Surgutneftegas PJSC		21,180,208
	191	Transneft PJSC		357,779
		Total Russia		24,272,469
		South Korea — 0.6%
	6,504	Amorepacific Corp		316,809
	19,960	Hyundai Motor Co Ltd Prf		1,517,287
	16,860	Hyundai Motor Co Ltd-2nd Prf		1,321,046
	48,658	LG Electronics Inc		1,446,644
	394,823	Samsung Electronics Co Ltd		21,782,976
	3,543	Samsung Electronics Co Ltd GDR (Registered)		4,804,345
		Total South Korea		31,189,107
		Taiwan — 0.0%
	97,864	Chailease Holding Co. Ltd. *		341,292
	216,277	CTBC Financial Holding Co Ltd		487,324
		Total Taiwan		828,616
		United States — 0.0%
	11,013	Murray Energy Corp. (c)		479,066
		TOTAL PREFERRED STOCKS (COST $78,434,877)		83,938,778

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Pakistan — 0.0%
	46,150	Searle Co Ltd, Expires 12/31/20 * (c)		18,530
		Spain — 0.0%
	2,630,374	Banco Santander SA, Expires 12/03/20 *		328,511
		United Kingdom — 0.0%
	26,934	AVEVA Group Plc, Expires 12/09/20 *		402,154
		United States — 0.0%
	730,200	Bristol-Myers Squibb Co., Expires 03/31/21*		861,636
	222,285	Contra Clementia Pharma CVR * (c)		300,085
	2,616,810	Media General, Inc. CVR * (c)		130,841
		Total United States		1,292,562
		TOTAL RIGHTS/WARRANTS (COST $2,147,081)		2,041,757
		INVESTMENT FUNDS — 0.8%
		United States — 0.8%
	1,546,000	Altaba, Inc. (c)		22,262,400
	423,470	iShares Core MSCI Emerging Markets ETF		24,823,811
		Total United States		47,086,211
		TOTAL INVESTMENT FUNDS (COST $44,609,814)		47,086,211
		DEBT OBLIGATIONS — 23.0%
		Brazil — 0.2%
		Corporate Debt — 0.2%
	9,170,000	Oi SA, 10.00%, due 07/27/25		9,536,800
		Israel — 0.1%
		Corporate Debt — 0.1%
	570,000	Teva Pharmaceutical Finance Co BV, 3.65%, due 11/10/21		569,822
	6,996,000	Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36		7,345,800
		Total Israel		7,915,622
		Jamaica — 0.2%
		Bank Loans — 0.1%
	5,496,051	Digicel International Finance Ltd, 2017 Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.25%, 3.51%, due 05/28/24 (c)		4,850,266

	Par Value†		Description	Value ($)
			Jamaica — continued
			Corporate Debt — 0.1%
		1,024,878	Digicel Group 0.5 Ltd., 10.00%, due 04/01/24		812,536
		1,954,000	Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, Reg. S, 8.75%, due 05/25/24		1,993,080
		2,530,000	Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, 144A, 8.75%, due 05/25/24		2,580,600
			Total Corporate Debt		5,386,216
			Total Jamaica		10,236,482
			Netherlands — 0.2%
			Corporate Debt — 0.2%
EUR		2,948,400	Evander Gold Mines Ltd, 1.00%, due 04/19/26 (c)		1,406,800
EUR		6,405,620	Hema Bondco, 7.50%, due 10/19/21 (c)		7,717,357
EUR		1,114,874	Hema BV, 144A, 10.00%, due 04/19/25 (c)		1,383,073
			Total Netherlands		10,507,230
			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		1,485,000
		3,320,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.10%, due 07/01/34		3,286,800
		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		6,272,600
		1,518,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, Class B, 6.05%, due 07/01/28		1,502,820
			Total Puerto Rico		13,078,614
			United States — 22.1%
			Asset-Backed Securities — 0.3%
		570,000	Alaska Airlines Pass-Through Trust, Reg. S, 4.80%, due 02/15/29		615,658
		2,288,000	Alaska Airlines Pass-Through Trust – Class A, 144A, 4.80%, due 02/15/29		2,471,271
		2,420,000	Alaska Airlines Pass-Through Trust – Class B, 144A, 8.00%, due 02/15/27		2,558,863
		315,144	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.96%, due 07/26/31		315,121
		184,411	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.31%, due 04/25/26		184,411
		44,955	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.37%, due 07/20/25		44,974

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	825,824	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.15%, due 10/25/37		823,520
	149,557	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 1.01%, due 04/25/36		149,532
	385,059	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 0.94%, due 07/15/31		385,058
	7,063,382	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (h)		7
	1,134,300	Delta Air Lines Pass-Through Trust, Series 19-1, Class AA, 3.20%, due 10/25/25		1,158,207
	287,868	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 05/16/31		286,792
	286,300	JetBlue Pass-Through Trust – Class A, 4.00%, due 11/15/32		304,205
	1,574,500	JetBlue Pass-Through Trust – Class B, Series 20-1, Class B, 7.75%, due 05/15/30		1,701,091
	1,032,294	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 0.52%, due 07/25/29		1,022,330
	311,175	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 04/20/31		310,310
	120,609	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.17%, due 07/20/30		120,499
	1,244,572	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.42%, due 06/25/37		1,226,619
	548,320	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 04/19/30		546,950
	400,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class B, 144A, Variable Rate, 3.56%, due 07/13/29		404,099
	550,000	Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33		557,056
	169,746	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 0.88%, due 01/16/31		169,463
	262,930	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 1.39%, due 05/15/26		262,224
	794,667	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 04/17/28		794,568

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	626,269	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 01/17/30		622,695
	353,374	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.40%, due 05/25/47		352,257
	124,123	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		124,060
		Total Asset-Backed Securities		17,511,840
		Bank Loans — 0.8%
	5,208,085	American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, PIK, 1 mo. LIBOR plus 13.00%, 3.00%, due 09/16/25 (c)		4,973,721
	652,519	Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 3.75%, due 10/10/25 (c)		533,434
	4,058,092	Flexential Intermediate Corp., 2017 1st Lien Term Loan, Variable Rate, 3 mo. LIBOR plus 3.50%, 3.72%, due 08/01/24 (c)		3,601,557
	4,138,249	Owens & Minor Distribution, Inc., Term Loan B, Variable Rate, 3 mo. LIBOR plus 4.50%, 4.65%, due 04/30/25 (c)		4,082,631
	6,318,314	Quorum Health Corporation, 2020 Term Loan, 3 mo. LIBOR plus 8.25%, 9.25%, due 04/29/25 (c)		6,033,990
	13,589,577	SeaWorld Parks & Entertainment, Inc., Term Loan B5, Variable Rate, 3 mo. LIBOR plus 3.00%, 3.75%, due 03/31/24 (c)		13,045,994
	2,158,700	Serta Simmons Bedding, LLC, 2020 Super Priority Second Out Term Loan, 8.50%, due 08/10/23 (c)		1,942,830
	521,009	SkillSoft Corp., 2020 DIP Term Loan, 3 mo. LIBOR plus 7.50%, 8.50%, due 12/27/24 (c)		523,614
	1,953,493	SkillSoft Corp., 2020 Take Back 2nd Out Term Loan, 3 mo. LIBOR plus 7.50%, 8.50%, due 04/27/25(c)		1,933,958
	2,073,964	Surgery Center Holdings, Inc., 2017 Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.25%, 4.25%, due 09/03/24 (c)		2,029,892
	2,780,000	VICI Properties 1 LLC, Replacement Term Loan B1, Variable Rate, 1 mo. LIBOR plus 1.75%, 1.90%, due 12/20/24 (c)		2,708,193
	10,163,768	Westmoreland Coal Co., PIK Term Loan, Variable Rate, 3 mo. LIBOR plus 12.50%, due 03/15/29 (c)		4,065,507
	2,363,466	WP CPP Holdings LLC, 2018 Term Loan, Variable Rate, 3 mo. LIBOR plus 3.75%, 4.75%, due 04/30/25 (c)		2,186,206
		Total Bank Loans		47,661,527

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Convertible Debt — 0.2%
	5,270,000	Guess?, Inc., 2.00%, due 04/15/24		5,059,200
	2,117,300	Live Nation Entertainment, Inc., 144A, 2.00%, due 02/15/25		2,073,286
	2,140,000	Twitter, Inc., 0.25%, due 06/15/24		2,410,764
		Total Convertible Debt		9,543,250
		Corporate Debt — 2.7%
	2,147,000	Ahern Rentals, Inc., 144A, 7.38%, due 05/15/23		1,486,798
	4,680,000	American Airlines Group, Inc., 144A, 3.75%, due 03/01/25		3,077,100
	2,565,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.38%, due 09/15/24		2,419,770
	1,140,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28		1,026,000
	1,445,000	Boeing Co. (The), 5.15%, due 05/01/30		1,696,304
	2,271,900	Boeing Co. (The), 8.75%, due 09/15/31		3,331,732
	748,600	Boeing Co. (The), 8.63%, due 11/15/31		1,092,734
	1,430,000	Boeing Co. (The), 5.71%, due 05/01/40		1,805,116
	572,000	Boeing Co. (The), 3.63%, due 03/01/48		543,968
	1,244,000	Boeing Co. (The), 5.81%, due 05/01/50		1,643,429
	3,270,000	Boeing Co. (The), 5.93%, due 05/01/60		4,442,165
	2,280,000	Bruce Mansfield, 8.88%, due 08/01/23 (h)		4,560
	3,600,000	Carnival Corp, 144A, 7.63%, due 03/01/26		3,819,312
	5,340,000	Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 144A, 6.50%, due 10/01/28		5,633,700
	768,000	Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26		748,800
	7,150,000	Dave & Buster’s, Inc., 144A, 7.63%, due 11/01/25		7,418,125
	1,140,000	EnLink Midstream Partners LP, 5.60%, due 04/01/44		843,600
	2,118,000	EnLink Midstream Partners LP, 5.05%, due 04/01/45		1,554,082
	290,000	Ferrellgas LP / Ferrellgas Finance Corp., 144A, 10.00%, due 04/15/25		319,000
	1,740,000	Ford Motor Credit Co. LLC, 5.58%, due 03/18/24		1,868,325
	1,770,000	Ford Motor Credit Co. LLC, 4.13%, due 08/04/25		1,831,950
	2,280,000	Ford Motor Credit Co. LLC, 4.39%, due 01/08/26		2,371,200
	290,000	Ford Motor Credit Co. LLC, 4.27%, due 01/09/27		300,183
	12,280,000	Ford Motor Credit Co. LLC, 5.11%, due 05/03/29		13,250,120
	1,140,000	Frontier Communications Corp., 10.50%, due 09/15/22 (h)		560,025

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	1,791,000	Frontier Communications Corp., 7.13%, due 01/15/23 (h)		823,860
	1,894,000	Frontier Communications Corp., 11.00%, due 09/15/25 (h)		932,795
	5,977,000	FS KKR Capital Corp., 4.13%, due 02/01/25		6,119,254
	11,003,000	FS KKR Capital Corp. II, 144A, 4.25%, due 02/14/25		10,695,599
	1,160,000	Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 12/31/99		1,212,200
	1,400,000	Gulfport Energy Corp., 6.38%, due 01/15/26 (h)		843,500
	2,400,000	Hyatt Hotels Corp., 5.75%, due 04/23/30		2,854,787
	3,300,000	iHeartCommunications, Inc., 144A, 4.75%, due 01/15/28		3,335,046
	3,134,100	JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 12/31/99		3,131,984
	1,464,000	Live Nation Entertainment, Inc., 144A, 4.88%, due 11/01/24		1,453,020
	2,485,000	Live Nation Entertainment, Inc., 144A, 5.63%, due 03/15/26		2,512,956
	7,613,000	Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28		7,670,097
	2,420,000	Marriott Ownership Resorts, Inc. / ILG LLC, 6.50%, due 09/15/26		2,541,000
	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		672,400
	2,200,000	OneMain Finance Corp., 6.63%, due 01/15/28		2,524,500
	1,572,000	Outfront Media Capital LLC / Outfront Media Capital Corp., 144A, 4.63%, due 03/15/30		1,556,280
	1,854,000	Owens & Minor, Inc., 4.38%, due 12/15/24		1,886,445
	4,780,000	Royal Caribbean Cruises Ltd, 7.50%, due 10/15/27		5,114,600
	1,200,000	Royal Caribbean Cruises Ltd, 3.70%, due 03/15/28		1,059,094
	2,967,000	SeaWorld Parks & Entertainment, Inc., 144A, 8.75%, due 05/01/25		3,174,690
	1,780,000	SEG Holding LLC / SEG Finance Corp., 144A, 5.63%, due 10/15/28		1,864,550
	2,860,000	Six Flags Entertainment Corp., 144A, 4.88%, due 07/31/24		2,849,246
	1,710,000	Tenet Healthcare Corp., 4.63%, due 07/15/24		1,739,925
	1,700,000	Uber Technologies, Inc., 144A, 8.00%, due 11/01/26		1,831,750
	4,560,000	Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC, 144A, REIT, 7.13%, due 12/15/24		4,457,400
	6,561,000	Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.00%, due 04/15/23		6,700,421

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	3,300,000	Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, REIT, 8.25%, due 10/15/23		3,304,125
	1,450,000	Western Midstream Operating LP, 5.38%, due 06/01/21		1,460,875
	2,860,000	Wyndham Destinations, Inc., 6.60%, due 10/01/25		3,210,350
	2,780,000	Wyndham Destinations, Inc., 144A, 6.63%, due 07/31/26		3,120,550
	1,287,000	Wyndham Destinations, Inc., 6.00%, due 04/01/27		1,406,048
	909,000	Wyndham Destinations, Inc., 144A, 4.63%, due 03/01/30		939,960
		Total Corporate Debt		156,087,552
		U.S. Government — 18.1%
	10,000,000	U.S. Treasury Note, 1.75%, due 07/31/21 (b) (i)		10,109,766
	15,000,000	U.S. Treasury Note, 1.38%, due 01/31/22		15,217,383
	29,000,000	U.S. Treasury Note, 1.13%, due 02/28/22		29,367,031
	210,000,000	U.S. Treasury Note, 1.75%, due 02/28/22		214,265,625
	100,000,000	U.S. Treasury Note, 1.88%, due 04/30/22		102,460,938
	100,000,000	U.S. Treasury Note, 1.88%, due 05/31/22		102,605,469

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	100,000,000	U.S. Treasury Note, 0.13%, due 06/30/22		99,984,375
	100,000,000	U.S. Treasury Note, 0.13%, due 07/31/22		99,968,750
	145,000,000	U.S. Treasury Note, 1.63%, due 08/31/22 (b)		148,726,952
	100,000,000	U.S. Treasury Note, 0.13%, due 09/30/22 (b)		99,972,656
	100,000,000	U.S. Treasury Note, 0.13%, due 10/31/22 (b)		99,958,503
		Total U.S. Government		1,022,637,448
		Total United States		1,253,441,617
		TOTAL DEBT OBLIGATIONS (COST $1,302,954,671)		1,304,716,365
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers — 0.4%
	4,044,429	GMO U.S. Treasury Fund (j)		20,383,922
		TOTAL MUTUAL FUNDS (COST $20,383,922)		20,383,922

PURCHASED OPTIONS — 0.0%

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount		Value ($)
Equity Options – Calls – 0.0%
FirstEnergy Corp. (e)	35.00		04/16/21		800	USD		2,124,800	24,000
Equity Options – Puts – 0.0%
FirstEnergy Corp. (e)	24.00		04/16/21		3,500	USD		9,296,000	542,500
	TOTAL PURCHASED OPTIONS (COST $420,743)								566,500

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.2%
		Foreign Government Obligations — 2.1%
JPY	2,400,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/10/20		22,989,142
JPY	2,600,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/14/20		24,905,189
JPY	5,500,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/08/21		52,691,895
JPY	1,700,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/22/21		16,287,086
		Total Foreign Government Obligations		116,873,312

Shares		Description	Value ($)
		Money Market Funds — 0.5%
	25,355,216	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (k)		25,355,216
	186,142	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (i)		186,142
		Total Money Market Funds		25,541,358
		U.S. Government — 1.6%
	47,000,000	U.S. Treasury Bill, 0.09%, due 07/15/21 (i) (l)		46,973,814
	45,900,000	U.S. Treasury Bill, 0.11%, due 09/09/21 (i) (l)		45,862,247
		Total U.S. Government		92,836,061
		TOTAL SHORT-TERM INVESTMENTS (COST $234,881,075)		235,250,731
		TOTAL INVESTMENTS — 108.8% (Cost $6,158,144,014)		6,158,763,656

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (13.5)%
			Common Stocks — (13.4)%
			Australia — (0.3)%
	(36,394	)	Afterpay Ltd *		(2,535,767	)
	(502,774	)	APA Group		(3,810,689	)
	(23,081	)	ASX Ltd		(1,305,313	)
	(8,610	)	Cochlear Ltd		(1,395,251	)
	(21,067	)	Ramsay Health Care Ltd		(975,676	)
	(608,198	)	Sydney Airport		(3,000,994	)
	(114,098	)	TPG Telecom Ltd *		(644,142	)
	(370,353	)	Transurban Group		(3,821,578	)
			Total Australia		(17,489,410	)
			Austria — (0.0)%
	(39,678	)	Verbund AG		(2,788,614	)
			Canada — (0.0)%
	(191,000	)	AltaGas Ltd		(2,741,388	)
	(48,500	)	Westshore Terminals Investment Corp		(618,434	)
			Total Canada		(3,359,822	)
			China — (0.1)%
	(552,900	)	BEST Inc ADR *		(1,619,997	)
	(49,200	)	Yum China Holdings Inc		(2,773,896	)
			Total China		(4,393,893	)
			France — (0.4)%
	(73,663	)	Edenred		(4,209,482	)
	(237,712	)	Getlink SE *		(3,939,412	)
	(4,131	)	Hermes International		(4,019,286	)
	(6,569	)	Sartorius Stedim Biotech		(2,368,595	)
	(28,504	)	Ubisoft Entertainment SA *		(2,702,966	)
	(122,983	)	Vivendi SA		(3,686,844	)
	(35,817	)	Wendel SA		(4,046,778	)
			Total France		(24,973,363	)
			Germany — (0.6)%
	(34,628	)	Delivery Hero SE *		(4,210,323	)
	(40,138	)	Puma SE *		(3,977,389	)
	(34,206	)	QIAGEN NV *		(1,648,474	)
	(99,587	)	RWE AG		(4,119,152	)
	(8,539	)	Sartorius AG		(3,893,420	)
	(35,651	)	Scout24 AG		(2,716,622	)
	(6,667	)	TeamViewer AG *		(317,838	)
	(1,403,011	)	Telefonica Deutschland Holding AG		(3,872,691	)
	(140,394	)	thyssenkrupp AG *		(936,192	)
	(122,011	)	Uniper SE		(4,129,914	)
	(39,359	)	Zalando SE *		(3,997,975	)
			Total Germany		(33,819,990	)

Shares			Description	Value ($)
			Italy — (0.2)%
	(18,022	)	Ferrari NV		(3,818,517	)
	(281,019	)	FinecoBank Banca Fineco SPA *		(4,436,648	)
	(38,390	)	Infrastrutture Wireless Italiane SPA		(494,325	)
			Total Italy		(8,749,490	)
			Japan — (1.3)%
	(158,300	)	Acom Co Ltd		(759,921	)
	(100,900	)	Asahi Intecc Co Ltd		(3,696,619	)
	(767,200	)	ENEOS Holdings Inc		(2,620,603	)
	(300	)	Fast Retailing Co Ltd		(245,808	)
	(30,600	)	GMO Payment Gateway Inc		(4,291,313	)
	(46,500	)	Hitachi Metals Ltd		(680,022	)
	(123,600	)	Idemitsu Kosan Co Ltd		(2,562,484	)
	(273,800	)	Isetan Mitsukoshi Holdings Ltd		(1,469,546	)
	(53,800	)	Japan Airport Terminal Co Ltd		(3,116,267	)
	(62,000	)	Japan Exchange Group Inc		(1,533,853	)
	(688	)	Japan Real Estate Investment Corp		(3,563,746	)
	(416,600	)	JGC Holding Corp		(3,709,038	)
	(237,500	)	Keikyu Corp		(4,062,469	)
	(7,600	)	Kintetsu Group Holdings Co Ltd		(336,613	)
	(188,400	)	Kyushu Electric Power Co Inc		(1,587,418	)
	(52,000	)	LINE Corp *		(2,679,560	)
	(114,500	)	LIXIL Group Corp		(2,739,954	)
	(53,000	)	M3 Inc		(4,877,151	)
	(78,800	)	McDonald’s Holdings Co Japan Ltd		(3,822,193	)
	(49,500	)	Mercari Inc *		(2,260,530	)
	(56,400	)	Mitsubishi Materials Corp		(1,066,324	)
	(95,300	)	Mitsubishi Motors Corp *		(171,463	)
	(68,500	)	MonotaRO Co Ltd		(4,166,639	)
	(40,500	)	Nihon M&A Center Inc		(2,829,883	)
	(39,100	)	Nippon Paint Holdings Co Ltd		(5,009,760	)
	(189,500	)	Nippon Yusen KK		(4,116,224	)
	(3,200	)	Nissin Foods Holdings Co Ltd		(264,109	)
	(37,700	)	Odakyu Electric Railway Co Ltd		(1,141,235	)
	(7,600	)	ORIENTAL LAND CO LTD		(1,290,898	)
	(236,100	)	Sharp Corp		(3,156,720	)
	(11,600	)	Yaskawa Electric Corp		(556,554	)
			Total Japan		(74,384,917	)
			Netherlands — (0.4)%
	(2,083	)	Adyen NV *		(3,978,850	)
	(761,925	)	Altice Europe NV *		(4,008,240	)
	(139,095	)	Just Eat Takeaway.com NV *		(14,802,757	)
			Total Netherlands		(22,789,847	)
			Norway — (0.0)%
	(9,730	)	Schibsted ASA – B Shares *		(353,868	)
			Peru — (0.0)%
	(51,700	)	Southern Copper Corp		(3,069,429	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares			Description	Value ($)
			Russia — (0.0)%
	(69,362	)	Magnit PJSC Sponsored GDR (Registered)		(1,042,256	)
			Singapore — (0.1)%
	(576,700	)	Singapore Exchange Ltd		(3,802,529	)
			Spain — (0.4)%
	(2,254,057	)	Bankia SA		(3,876,913	)
	(63,193	)	Cellnex Telecom SA		(4,003,057	)
	(136,958	)	Endesa SA		(3,936,524	)
	(143,157	)	Ferrovial SA		(3,997,716	)
	(128,438	)	Siemens Gamesa Renewable Energy SA		(4,606,282	)
			Total Spain		(20,420,492	)
			Sweden — (0.1)%
	(35,829	)	Evolution Gaming Group AB		(3,048,588	)
	(163,572	)	Lundin Energy AB		(3,907,817	)
			Total Sweden		(6,956,405	)
			Switzerland — (0.2)%
	(4	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(357,947	)
	(449	)	Partners Group Holding AG		(484,103	)
	(3,400	)	Straumann Holding AG (Registered)		(3,924,600	)
	(46,095	)	Swiss Re AG		(4,211,500	)
			Total Switzerland		(8,978,150	)
			United Kingdom — (1.2)%
	(54,859	)	Admiral Group Plc		(2,066,368	)
	(96,677	)	Antofagasta Plc		(1,596,428	)
	(499,568	)	Auto Trader Group Plc		(3,715,726	)
	(1,295,838	)	ConvaTec Group Plc		(3,564,371	)
	(81,019	)	Experian Plc		(2,870,493	)
	(301,696	)	GVC Holdings Plc *		(4,145,536	)
	(44,518	)	Halma Plc		(1,309,920	)
	(192,090	)	Hargreaves Lansdown Plc		(3,638,126	)
	(532,923	)	Informa Plc *		(3,733,017	)
	(49,697	)	Land Securities Group Plc (REIT)		(434,623	)
	(34,998	)	London Stock Exchange Group Plc		(3,774,591	)
	(121,734	)	Ocado Group Plc *		(3,579,126	)
	(45,341	)	Prudential Plc		(697,241	)
	(855,964	)	Royal Dutch Shell Plc – Class A Sponsored ADR		(28,965,822	)
	(7,703	)	Spirax-Sarco Engineering Plc		(1,134,692	)
			Total United Kingdom		(65,226,080	)
			United States — (8.1)%
	(57	)	AbbVie, Inc.		(5,961	)
	(298,809	)	Advanced Micro Devices, Inc. *		(27,687,642	)
	(65,700	)	AES Corp. (The)		(1,342,908	)
	(1,300	)	Align Technology, Inc. *		(625,677	)
	(109,040	)	American Airlines Group, Inc.		(1,540,735	)
	(16,800	)	American Tower Corp. (REIT)		(3,884,160	)

Shares			Description	Value ($)
			United States — continued
	(188,868	)	Analog Devices, Inc.		(26,267,761	)
	(208,581	)	Aon Plc – Class A		(42,736,161	)
	(352,900	)	Apache Corp.		(4,548,881	)
	(17,200	)	Arthur J Gallagher & Co.		(1,985,052	)
	(13,000	)	Autodesk, Inc. *		(3,642,990	)
	(17,700	)	Avalara, Inc.*		(3,039,975	)
	(15,400	)	Ball Corp.		(1,478,554	)
	(13,100	)	Black Knight, Inc. *		(1,200,222	)
	(72,500	)	Blackstone Group , Inc. (The) – Class A		(4,317,375	)
	(14,500	)	Burlington Stores, Inc. *		(3,168,830	)
	(4,300	)	Catalent, Inc. *		(413,402	)
	(415,600	)	Charles Schwab Corp. (The)		(20,272,968	)
	(25,665	)	Charter Communications, Inc. – Class A *		(16,733,323	)
	(78,100	)	Cheniere Energy, Inc. *		(4,427,489	)
	(2,900	)	Chipotle Mexican Grill, Inc. *		(3,739,347	)
	(30,100	)	Cognex Corp.		(2,261,714	)
	(420,548	)	ConocoPhillips		(16,636,879	)
	(1,300	)	CoStar Group, Inc. *		(1,183,741	)
	(10,500	)	Coupa Software, Inc. *		(3,453,555	)
	(22,600	)	Crowdstrike Holdings, Inc. – Class A *		(3,464,128	)
	(31,500	)	Datadog, Inc. – Class A *		(3,115,980	)
	(2,400	)	Devon Energy Corp.		(35,472	)
	(10,300	)	DexCom, Inc. *		(3,292,704	)
	(19,700	)	Digital Realty Trust, Inc. (REIT)		(2,654,575	)
	(982,398	)	Discovery, Inc. – Class A *		(26,436,330	)
	(18,200	)	DocuSign, Inc. *		(4,147,416	)
	(690,500	)	Endo International Plc *		(3,507,740	)
	(16,400	)	Equifax, Inc.		(2,737,160	)
	(5,000	)	Equinix, Inc. (REIT)		(3,488,950	)
	(62,400	)	Equity LifeStyle Properties, Inc. (REIT)		(3,656,016	)
	(1,900	)	Erie Indemnity Co. – Class A		(428,659	)
	(31,900	)	Exact Sciences Corp. *		(3,861,814	)
	(6,300	)	Extra Space Storage, Inc. (REIT)		(710,199	)
	(11,200	)	Fastenal Co.		(553,840	)
	(4	)	Fidelity National Financial, Inc.		(144	)
	(207	)	First Horizon Corp.		(2,531	)
	(36,400	)	Guidewire Software, Inc. *		(4,458,272	)
	(58,333	)	HEICO Corp. – Class A		(6,460,380	)
	(6,400	)	Hologic, Inc. *		(442,432	)
	(5,800	)	IDEXX Laboratories, Inc. *		(2,673,684	)
	(30,200	)	IHS Markit Ltd.		(3,003,692	)
	(41,300	)	Ingersoll Rand, Inc. *		(1,828,351	)
	(16,100	)	Insulet Corp. *		(4,149,131	)
	(19,600	)	IQVIA Holdings, Inc. *		(3,312,204	)
	(48,600	)	Lamb Weston Holdings, Inc.		(3,517,668	)
	(11,300	)	Liberty Broadband Corp. – Class A *		(1,771,501	)
	(131,434	)	Liberty Broadband Corp. – Class C *		(20,681,140	)
	(95,800	)	Liberty Media Corp-Liberty Formula One – Class C *		(4,002,524	)
	(85,372	)	Live Nation Entertainment, Inc. *		(5,604,672	)
	(2,600	)	Lululemon Athletica, Inc. *		(962,572	)
	(7,000	)	MarketAxess Holdings, Inc.		(3,774,260	)
	(315,697	)	Marvell Technology Group Ltd.		(14,613,614	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(15,500	)	MongoDB, Inc. *		(4,453,305	)
	(10,300	)	MSCI, Inc.		(4,217,026	)
	(22,900	)	NIKE Inc. – Class B		(3,084,630	)
	(75,100	)	Nuance Communications, Inc. *		(3,239,063	)
	(17,700	)	Okta, Inc. *		(4,337,208	)
	(8,100	)	Paycom Software, Inc. *		(3,378,348	)
	(1,200	)	Peloton Interactive, Inc. – Class A *		(139,620	)
	(21,000	)	Pinterest, Inc. – Class A *		(1,470,420	)
	(12,000	)	Public Storage (REIT)		(2,693,520	)
	(13,300	)	RingCentral, Inc. – Class A *		(3,950,765	)
	(4,800	)	Rockwell Automation, Inc.		(1,226,688	)
	(13,800	)	Roku, Inc. *		(4,051,266	)
	(45,600	)	Rollins, Inc.		(2,607,408	)
	(7,900	)	ServiceNow, Inc. *		(4,222,945	)
	(1,289,551	)	Sirius XM Holdings, Inc.		(8,369,186	)
	(104,000	)	Slack Technologies Inc. – Class A *		(4,459,520	)
	(107,200	)	Snap, Inc. – Class A *		(4,761,824	)
	(335,000	)	Southwestern Energy Co. *		(1,041,850	)
	(18,600	)	Splunk, Inc. *		(3,797,748	)
	(15,900	)	Square, Inc. – Class A *		(3,354,264	)
	(29,900	)	Starbucks Corp.		(2,930,798	)
	(8,400	)	Sun Communities, Inc. (REIT)		(1,167,600	)
	(9,300	)	Sunrun, Inc. *		(595,944	)
	(182,200	)	Targa Resources Corp.		(4,281,700	)
	(15,500	)	Teladoc Health, Inc. *		(3,080,935	)
	(10,100	)	Tesla, Inc. *		(5,732,760	)
	(13,200	)	Twilio, Inc. – Class A *		(4,225,188	)
	(100,100	)	UDR, Inc. (REIT)		(3,850,847	)
	(11,300	)	Vail Resorts, Inc.		(3,116,992	)
	(3,400	)	West Pharmaceutical Services, Inc.		(935,544	)
	(4,100	)	Weyerhaeuser Co. (REIT)		(119,065	)

Shares / Par Value†			Description	Value ($)
			United States — continued
	(137,400	)	Williams Cos, Inc. (The)		(2,882,653	)
	(4,800	)	Workday, Inc. – Class A *		(1,078,991	)
	(42,400	)	Wynn Resorts Ltd.		(4,261,200	)
	(1,400	)	XPO Logistics, Inc. *		(149,352	)
	(38,500	)	Zillow Group, Inc. – Class C *		(4,150,685	)
	(2,500	)	Zoetis, Inc.		(400,950	)
	(7,100	)	Zoom Video Communications, Inc. – Class A *		(3,396,357	)
	(20,300	)	Zscaler, Inc. *		(3,161,726	)
			Total United States		(458,320,948	)
			TOTAL COMMON STOCKS (PROCEEDS $685,638,680)		(760,919,503	)
			RIGHTS/WARRANTS — (0.0)%
			Spain — (0.0)%
	(107,649	)	Ferrovial SA, Expires 11/23/20 *		(30,677	)
			TOTAL RIGHTS/WARRANTS (PROCEEDS $25,204)		(30,677	)
			DEBT OBLIGATIONS — (0.1)%
			Corporate Debt — (0.1)%
			United States — (0.1)%
	(3,015,000	)	U.S. Concrete, Inc., 6.38%, due 06/01/24		(3,121,859	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $2,766,478)		(3,121,859	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $688,430,362)		(764,072,039	)
			Other Assets and Liabilities (net) — 4.7%		265,854,524
			TOTAL NET ASSETS — 100.0%		$5,660,546,141

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
12/17/2020	GS	AUD	2,745,588		USD	2,010,226		(5,504	)
12/17/2020	SSB	AUD	29,111,560		USD	21,231,548		(141,308	)
12/17/2020	UBSA	AUD	4,131,852		USD	3,013,302		(20,183	)
01/19/2021	MSCI	AUD	90,533,900		USD	64,660,544		(1,828,708	)
02/08/2021	BCLY	AUD	159,690,050		USD	115,045,024		(2,249,487	)
02/08/2021	DB	AUD	5,840,000		USD	4,169,077		(120,483	)
02/26/2021	BOA	AUD	11,463,105		USD	8,417,106		(3,511	)
02/26/2021	SSB	AUD	1,848		USD	1,357		—
02/02/2021	CITI	BRL	20,007,154		USD	3,666,000		(64,311	)
02/02/2021	JPM	BRL	20,303,726		USD	3,535,571		(250,036	)
12/02/2020	MSCI	CAD	2,826,817		USD	2,151,085		(25,571	)
01/13/2021	BOA	CHF	9,271,935		USD	10,160,000		(60,115	)
01/13/2021	JPM	CHF	23,570,760		USD	25,990,000		8,813
01/13/2021	MSCI	CHF	81,450,494		USD	88,847,007		(932,894	)
12/02/2020	MSCI	CLP	10,825,554,000		USD	14,047,660		(160,968	)
02/03/2021	MSCI	COP	42,798,245,300		USD	11,174,477		(694,785	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
02/16/2021	CITI	CZK	102,412,570		USD	4,574,032		(84,237	)
01/19/2021	DB	EUR	18,253,200		USD	21,421,371		(384,337	)
01/19/2021	GS	EUR	198,149,210		USD	233,275,987		(3,437,786	)
01/19/2021	MSCI	EUR	77,507,000		USD	91,855,197		(736,514	)
01/19/2021	SSB	EUR	120,642,209		USD	141,447,477		(2,674,584	)
01/27/2021	BOA	EUR	2,110,000		USD	2,498,812		(22,299	)
01/27/2021	DB	EUR	6,500,000		USD	7,708,220		(58,234	)
01/13/2021	DB	GBP	1,900,000		USD	2,479,719		(54,943	)
01/13/2021	MSCI	GBP	11,360,000		USD	15,024,131		(130,476	)
01/19/2021	BCLY	GBP	3,074,403		USD	4,102,758		1,278
01/19/2021	JPM	GBP	41,169,850		USD	53,276,750		(1,646,863	)
01/19/2021	MSCI	GBP	41,169,850		USD	53,223,353		(1,700,261	)
01/19/2021	SSB	GBP	20,214,100		USD	26,738,112		(228,987	)
01/19/2021	SSB	HKD	346,267,200		USD	44,660,749		(16,238	)
01/13/2021	MSCI	HUF	3,367,271,618		USD	11,048,838		(148,120	)
02/16/2021	CITI	IDR	20,607,980,000		USD	1,450,000		4,206
02/16/2021	JPM	IDR	31,567,890,000		USD	2,170,000		(44,708	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/29/2021	BOA	ILS	7,579,859		USD	2,270,000		(22,383	)
01/22/2021	BCLY	INR	135,635,500		USD	1,820,000		(2,709	)
01/22/2021	JPM	INR	137,722,140		USD	1,830,000		(20,750	)
12/10/2020	CITI	JPY	2,400,000,000		USD	22,661,441		(329,484	)
12/14/2020	SSB	JPY	2,600,000,000		USD	24,519,977		(389,710	)
01/19/2021	BOA	JPY	21,401,038,734		USD	203,729,198		(1,468,926	)
01/19/2021	CITI	JPY	852,540,000		USD	8,205,481		31,129
01/19/2021	DB	JPY	10,390,728,966		USD	98,908,833		(719,888	)
01/19/2021	JPM	JPY	2,995,141,800		USD	28,825,546		107,431
01/19/2021	MSCI	JPY	5,980,247,500		USD	57,564,544		224,543
02/08/2021	JPM	JPY	5,500,000,000		USD	53,266,036		517,701
02/09/2021	BOA	JPY	643,834,899		USD	6,190,000		15,161
02/09/2021	JPM	JPY	683,045,915		USD	6,580,000		29,099
02/22/2021	JPM	JPY	1,700,000,000		USD	16,236,625		(70,072	)
02/24/2021	GS	JPY	4,888,633,333		USD	47,095,889		202,167
02/24/2021	MSCI	JPY	9,777,266,667		USD	94,200,208		412,765
01/20/2021	JPM	NOK	168,678,841		USD	18,315,331		(650,689	)
12/17/2020	UBSA	NZD	23,961,855		USD	16,319,102		(483,471	)
02/05/2021	BCLY	NZD	7,550,000		USD	5,040,893		(253,618	)
02/05/2021	JPM	NZD	37,300,000		USD	25,342,111		(814,880	)
02/05/2021	MSCI	NZD	87,615,000		USD	58,316,982		(3,123,897	)
02/02/2021	MSCI	PEN	13,824,065		USD	3,819,277		(14,777	)
12/03/2020	JPM	PHP	36,318,750		USD	750,000		(5,225	)
12/03/2020	MSCI	PHP	98,241,115		USD	2,029,356		(13,504	)
01/25/2021	JPM	PHP	134,559,865		USD	2,785,919		(4,263	)
02/01/2021	SSB	CAD	31,611,905		USD	24,343,459		6,732
02/16/2021	DB	PLN	9,439,307		USD	2,520,000		3,788
02/26/2021	BOA	RON	3,642,947		USD	884,003		(3,405	)
02/16/2021	BCLY	RUB	342,539,865		USD	4,400,000		(53,943	)
02/16/2021	MSCI	RUB	130,862,256		USD	1,680,000		(21,563	)
02/05/2021	BCLY	SEK	26,377,958		USD	3,040,000		(39,499	)
02/05/2021	DB	SEK	90,465,024		USD	10,400,000		(161,355	)
02/05/2021	JPM	SEK	114,645,473		USD	13,300,000		(84,307	)
01/15/2021	BCLY	SGD	1,739,153		USD	1,300,000		3,207
12/07/2020	BCLY	TWD	60,360,640		USD	2,120,000		5,369
12/07/2020	CITI	TWD	37,698,144		USD	1,320,000		(690	)
12/07/2020	JPM	TWD	23,299,480		USD	820,000		3,743
12/07/2020	MSCI	TWD	65,783,466		USD	2,304,149		(461	)
01/19/2021	DB	USD	10,939,597		AUD	15,425,400		389,014
02/08/2021	BOA	USD	5,648,145		AUD	7,900,000		154,513
02/08/2021	DB	USD	9,991,884		AUD	14,000,000		291,306
02/02/2021	JPM	USD	4,167,724		BRL	23,933,986		294,742
12/02/2020	GS	USD	1,555,554		CAD	2,035,746		11,975
12/02/2020	MSCI	USD	1,982,368		CAD	2,597,323		17,577
12/02/2020	SSB	USD	22,427,746		CAD	29,805,653		522,681
02/01/2021	SSB	USD	24,343,459		CAD	31,611,905		6,732
02/03/2021	JPM	USD	55,362,563		CAD	73,622,520		1,348,075
02/03/2021	MSCI	USD	55,374,847		CAD	73,622,520		1,335,791
02/12/2021	DB	USD	628,956		CAD	818,658		1,662
01/13/2021	DB	USD	10,300,000		CHF	9,317,936		(29,180	)
12/02/2020	MSCI	USD	14,122,981		CLP	10,825,554,000		85,648
02/26/2021	MSCI	USD	7,001,393		CLP	5,412,777,000		116,113
02/03/2021	MSCI	USD	3,370,000		COP	12,227,120,000		20,954
02/16/2021	BOA	USD	1,430,000		CZK	31,827,067		17,664
02/16/2021	CITI	USD	1,010,000		CZK	22,393,619		8,581
02/16/2021	DB	USD	1,590,000		CZK	34,752,010		(9,294	)
01/13/2021	UBSA	USD	82,415,762		EUR	69,684,419		819,662
01/19/2021	BOA	USD	45,279,028		EUR	38,761,389		1,026,252

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/19/2021	DB	USD	31,745,336		EUR	26,820,545			295,127
01/19/2021	JPM	USD	1,375,020		EUR	1,160,250			11,043
01/19/2021	MSCI	USD	23,821,006		EUR	20,399,190			548,353
01/27/2021	DB	USD	76,795,607		EUR	64,661,000			463,882
01/27/2021	JPM	USD	41,139,203		EUR	34,590,000			190,281
02/16/2021	BCLY	USD	2,508,345		EUR	2,112,522			16,891
02/16/2021	GS	USD	82,738,460		EUR	70,000,000			937,119
02/16/2021	JPM	USD	471,807		EUR	397,505			3,357
01/13/2021	MSCI	USD	33,864,576		GBP	26,172,700			1,050,651
01/19/2021	DB	USD	20,733,707		GBP	16,047,000			674,174
01/19/2021	MSCI	USD	9,516,316		GBP	7,279,300			194,806
01/19/2021	SSB	USD	6,525,969		GBP	4,962,800			94,772
01/19/2021	SSB	USD	9,728,335		HKD	75,419,900			2,687
01/13/2021	BOA	USD	1,000,000		HUF	303,089,100			7,842
02/16/2021	JPM	USD	5,716,143		IDR	85,044,771,400			250,341
01/29/2021	MSCI	USD	6,509,832		ILS	22,060,518			161,950
01/22/2021	JPM	USD	1,142,500		INR	84,767,769			(3,366	)
12/10/2020	MSCI	USD	27,923,780		JPY	2,922,522,465			72,677
12/10/2020	SSB	USD	39,738,376		JPY	4,209,073,772			582,666
01/19/2021	BOA	USD	13,234,042		JPY	1,391,012,900			103,313
01/19/2021	BONY	USD	6,376,194		JPY	665,589,900			5,636
01/19/2021	CITI	USD	6,453,330		JPY	673,827,200			7,481
02/09/2021	BOA	USD	25,990,000		JPY	2,723,152,109			126,985
02/09/2021	MSCI	USD	69,427,841		JPY	7,196,022,133			(412,818	)
02/10/2021	MSCI	USD	5,164,160		JPY	535,547,692			(27,813	)
02/10/2021	SSB	USD	24,030,637		JPY	2,488,335,316			(165,435	)
02/19/2021	MSCI	USD	10,381,290		KRW	11,484,198,110			(26,040	)
01/21/2021	BOA	USD	2,460,000		MXN	51,459,438			72,858
01/21/2021	CITI	USD	2,030,000		MXN	43,284,716			100,494
01/21/2021	GS	USD	1,400,000		MXN	29,991,343			76,188
01/21/2021	MSCI	USD	3,861,796		MXN	82,311,289			189,605
01/20/2021	JPM	USD	16,450,000		NOK	151,505,129			585,031
12/17/2020	UBSA	USD	1,401,377		NZD	2,029,854			22,001
02/05/2021	DB	USD	4,694,648		NZD	7,000,000			214,171
02/05/2021	JPM	USD	24,851,586		NZD	37,070,000			1,144,116
02/02/2021	MSCI	USD	4,560,000		PEN	16,365,600			(21,060	)
12/03/2020	JPM	USD	2,791,698		PHP	134,559,865			6,386
02/16/2021	MSCI	USD	3,655,865		PLN	13,868,432			41,008
02/16/2021	BCLY	USD	520,721		RUB	40,594,099			7,112
02/05/2021	BCLY	USD	105,082,336		SEK	935,201,265			4,097,902
02/05/2021	JPM	USD	9,850,000		SEK	88,605,420			494,256
01/15/2021	GS	USD	1,650,000		SGD	2,240,434			20,571
01/15/2021	MSCI	USD	1,720,000		SGD	2,330,665			17,852
01/15/2021	BOA	USD	3,680,000		THB	114,914,581			118,082
02/16/2021	BCLY	USD	10,100,000		TRY	80,514,170			(93,523	)
12/07/2020	JPM	USD	6,494,820		TWD	187,141,730			61,369
02/02/2021	MSCI	USD	2,324,504		TWD	65,783,466			(821	)
01/29/2021	DB	USD	2,260,000		ZAR	37,175,554			122,678
01/29/2021	MSCI	USD	6,885,153		ZAR	113,669,052			400,194
								$	(5,829,288	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
116	CAC40 10 Euro		December 2020		7,610,885		23,945
213	Canadian Government Bond 10 Yr.		March 2021		24,411,273		22,793
152	Gold 100 OZ (i)		February 2021		27,069,680		(1,961,748	)
71	Hang Seng Index		December 2020		12,089,128		(94,478	)
2,330	Mini MSCI Emerging Markets		December 2020		140,067,950		11,122,558
72	S&P 500 E-Mini		December 2020		13,043,520		205,794
49	S&P/TSX 60		December 2020		7,712,019		428,763
126	Silver (i)		March 2021		14,233,590		(1,339,027	)
607	U.S. Treasury Note 10 Yr. (CBT)		March 2021		83,870,328		142,512
281	WTI Crude (i)		December 2020		12,740,540		1,183,955
				$	342,848,913	$	9,735,067

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
1,047	Corn (i)		March 2021		22,301,100		(320,688	)
22	DAX Index		December 2020		8,728,208		(214,960	)
4,137	E-mini Russell 2000 Index		December 2020		376,487,685		(64,562,659	)
513	Euro Bund		December 2020		107,241,139		52,933
9,214	Euro STOXX 50		December 2020		384,858,932		(21,964,078	)
1,167	FTSE 100 Index		December 2020		97,351,184		(3,857,215	)
296	FTSE/JSE TOP 40		December 2020		10,005,735		(67,102	)
43	Gilt Long Bond		March 2021		7,692,504		(7,134	)
204	Hang Seng Index		December 2020		34,734,959		242,990
33	Japanese Government Bond 10 Yr. (OSE)		December 2020		48,055,460		4,031
4,317	S&P 500 E-Mini		December 2020		782,067,720		(55,007,239	)
162	SGX Nifty 50		December 2020		4,188,685		5,403
203	Soybean (i)		January 2021		11,860,275		(1,039,624	)
562	SPI 200		December 2020		67,221,862		(6,025,599	)
2,990	TOPIX Index		December 2020		501,988,436		(39,601,163	)
				$	2,464,783,884	$	(192,362,104	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

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 – Calls
FirstEnergy Corp. (e)	30.00		04/16/21		(3,500	)	USD	(9,296,000	)		(385,000	)
Equity Options – Puts
FirstEnergy Corp. (e)	28.00		04/16/21		(3,500	)	USD	(9,296,000	)		(1,120,000	)
	TOTAL WRITTEN OPTIONS
	(Premiums $1,431,533)										$(1,505,000)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Swap Contracts

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Halliburton Co.	BOA	USD	1,140,000		1.00%		0.97%	N/A		12/20/2024		Quarterly		96,637			(1,577	)		(98,214	)
HCA, Inc.	BCLY	USD	1,140,000		5.00%		0.89%	N/A		12/20/2024		Quarterly		(139,584	)		(187,467	)		(47,883	)
Tenet Healthcare Corp.	JPM	USD	570,000		5.00%		3.17%	N/A		12/20/2024		Quarterly		14,842			(39,507	)		(54,349	)
Tenet Healthcare Corp.	JPM	USD	1,140,000		5.00%		3.17%	N/A		12/20/2024		Quarterly		142,500			(79,014	)		(221,514	)
United Rentals North America, Inc.	CSI	USD	1,140,000		5.00%		0.86%	N/A		12/20/2024		Quarterly		(96,605	)		(189,377	)		(92,772	)
United Rentals North America, Inc.	JPM	USD	1,140,000		5.00%		0.86%	N/A		12/20/2024		Quarterly		(51,323	)		(189,378	)		(138,055	)
													$	(33,533	)	$	(686,320	)	$	(652,787	)

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

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

(1) As of November 30, 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) ($)
3 Month AUD BBSW	0.15%	AUD	62,864,000		12/16/2022	Quarterly		7,727			63,608			55,881
3 Month AUD BBSW	0.10%	AUD	92,610,000		12/16/2022	Quarterly		(4,503	)		25,767			30,270
0.07%	3 Month AUD BBSW	AUD	103,960,000		12/16/2022	Quarterly		—			13,021			13,021
(0.67)%	6 Month CHF LIBOR	CHF	76,920,000		12/16/2022	Semi-Annually		18,648			(59,365	)		(78,013	)
6 Month CHF LIBOR	(0.72)%	CHF	55,220,000		12/16/2022	Semi-Annually		(456	)		(7,797	)		(7,341	)
0.18%	3 Month NZD Bank Bill Rate	NZD	547,530,000		12/16/2022	Quarterly		106,071			505,611			399,540
(0.05)%	3 Month SEK STIBOR	SEK	387,130,000		12/16/2022	Quarterly		3,796			5,730			1,934
3 Month SEK STIBOR	(0.04)%	SEK	382,100,000		12/16/2022	Quarterly		991			3,263			2,272
3 Month SEK STIBOR	(0.03)%	SEK	431,300,000		12/16/2022	Quarterly		—			6,200			6,200
0.55%	3 Month CAD LIBOR	CAD	56,870,000		12/19/2022	Semi-Annually		—			2,008			2,008
0.56%	3 Month CAD LIBOR	CAD	160,700,000		12/19/2022	Semi-Annually		20,224			(19,169	)		(39,393	)
0.55%	3 Month CAD LIBOR	CAD	41,230,000		12/19/2022	Semi-Annually		—			(457	)		(457	)
6 Month EURIBOR	(0.48)%	EUR	57,530,000		12/21/2022	Semi-Annually		13,007			54,154			41,147
6 Month GBP LIBOR	0.08%	GBP	260,380,000		12/21/2022	Semi-Annually		103,713			(63,159	)		(166,872	)
3 Month USD LIBOR	0.24%	USD	60,360,000		12/21/2022	Quarterly		(24,015	)		9,671			33,686
3 Month USD LIBOR	0.23%	USD	25,310,000		12/21/2022	Quarterly		151			(3,583	)		(3,734	)
0.87%	6 Month AUD BBSW	AUD	13,070,000		12/16/2030	Semi-Annually		(10,268	)		22,422			32,690
0.76%	6 Month AUD BBSW	AUD	19,220,000		12/16/2030	Semi-Annually		10,389			181,833			171,444
0.77%	6 Month AUD BBSW	AUD	3,350,000		12/16/2030	Semi-Annually		—			28,810			28,810
0.88%	6 Month AUD BBSW	AUD	9,440,000		12/16/2030	Semi-Annually		—			12,810			12,810
6 Month AUD BBSW	0.79%	AUD	39,480,000		12/16/2030	Semi-Annually		4,097			(305,554	)		(309,651	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.93%	6 Month AUD BBSW	AUD	12,310,000		12/16/2030	Semi-Annually		—			(29,642	)		(29,642	)
6 Month AUD BBSW	0.89%	AUD	21,710,000		12/16/2030	Semi-Annually		—			(1,436	)		(1,436	)
3 Month CAD LIBOR	1.28%	CAD	74,200,000		12/16/2030	Semi-Annually		(20,276	)		440,090			460,366
3 Month CAD LIBOR	1.23%	CAD	21,320,000		12/16/2030	Semi-Annually		22,326			47,171			24,845
3 Month CAD LIBOR	1.20%	CAD	189,350,000		12/16/2030	Semi-Annually		(323,545	)		(3,524	)		320,021
3 Month CAD LIBOR	1.11%	CAD	21,140,000		12/16/2030	Semi-Annually		(6,008	)		(135,604	)		(129,596	)
3 Month CAD LIBOR	1.09%	CAD	37,730,000		12/16/2030	Semi-Annually		—			(300,949	)		(300,949	)
3 Month CAD LIBOR	1.09%	CAD	6,690,000		12/16/2030	Semi-Annually		—			(54,357	)		(54,357	)
3 Month CAD LIBOR	1.11%	CAD	12,870,000		12/16/2030	Semi-Annually		—			(86,384	)		(86,384	)
3 Month CAD LIBOR	1.13%	CAD	20,650,000		12/16/2030	Semi-Annually		—			(107,889	)		(107,889	)
3 Month CAD LIBOR	1.15%	CAD	5,200,000		12/16/2030	Semi-Annually		—			(19,433	)		(19,433	)
6 Month CHF LIBOR	(0.26)%	CHF	13,200,000		12/16/2030	Semi-Annually		(19,153	)		53,935			73,088
(0.32)%	6 Month CHF LIBOR	CHF	8,840,000		12/16/2030	Semi-Annually		—			28,940			28,940
6 Month CHF LIBOR	(0.30)%	CHF	146,140,000		12/16/2030	Semi-Annually		(63,913	)		(147,486	)		(83,573	)
(0.27)%	6 Month CHF LIBOR	CHF	8,730,000		12/16/2030	Semi-Annually		—			(25,786	)		(25,786	)
(0.29)%	6 Month CHF LIBOR	CHF	14,790,000		12/16/2030	Semi-Annually		—			(10,193	)		(10,193	)
0.59%	3 Month NZD Bank Bill Rate	NZD	106,400,000		12/16/2030	Quarterly		(49,127	)		2,172,934			2,222,061
0.85%	3 Month NZD Bank Bill Rate	NZD	10,690,000		12/16/2030	Quarterly		—			29,495			29,495
3 Month NZD Bank Bill Rate	0.55%	NZD	55,750,000		12/16/2030	Quarterly		103,372			(1,260,208	)		(1,363,580	)
3 Month NZD Bank Bill Rate	0.46%	NZD	27,940,000		12/16/2030	Quarterly		(15,439	)		(820,212	)		(804,773	)
3 Month NZD Bank Bill Rate	0.48%	NZD	48,590,000		12/16/2030	Quarterly		1,211			(1,360,143	)		(1,361,354	)
3 Month NZD Bank Bill Rate	0.74%	NZD	8,620,000		12/16/2030	Quarterly		—			(86,980	)		(86,980	)
3 Month NZD Bank Bill Rate	0.81%	NZD	12,580,000		12/16/2030	Quarterly		2,108			(69,027	)		(71,135	)
3 Month NZD Bank Bill Rate	0.78%	NZD	120,640,000		12/16/2030	Quarterly		(217,780	)		(867,638	)		(649,858	)
3 Month NZD Bank Bill Rate	0.82%	NZD	74,630,000		12/16/2030	Quarterly		(6,833	)		(315,339	)		(308,506	)
3 Month NZD Bank Bill Rate	0.86%	NZD	89,140,000		12/16/2030	Quarterly		(10,759	)		(154,760	)		(144,001	)
3 Month SEK STIBOR	0.34%	SEK	721,220,000		12/16/2030	Quarterly		(188,184	)		(86,807	)		101,377
0.30%	3 Month SEK STIBOR	SEK	99,400,000		12/16/2030	Quarterly		—			55,663			55,663
0.31%	3 Month SEK STIBOR	SEK	128,300,000		12/16/2030	Quarterly		—			54,035			54,035
3 Month SEK STIBOR	0.30%	SEK	64,500,000		12/16/2030	Quarterly		—			(32,015	)		(32,015	)
0.37%	3 Month SEK STIBOR	SEK	121,000,000		12/16/2030	Quarterly		669			(27,432	)		(28,101	)
0.39%	3 Month SEK STIBOR	SEK	102,240,000		12/16/2030	Quarterly		—			(53,933	)		(53,933	)
0.39%	3 Month SEK STIBOR	SEK	87,600,000		12/16/2030	Quarterly		—			(45,196	)		(45,196	)
(0.18)%	6 Month EURIBOR	EUR	189,020,000		12/18/2030	Semi-Annually		133,513			(1,660,424	)		(1,793,937	)
(0.21)%	6 Month EURIBOR	EUR	131,550,000		12/18/2030	Semi-Annually		(30,173	)		(751,928	)		(721,755	)
(0.18)%	6 Month EURIBOR	EUR	11,490,000		12/18/2030	Semi-Annually		(39,512	)		(107,984	)		(68,472	)
0.45%	6 Month GBP LIBOR	GBP	55,330,000		12/18/2030	Semi-Annually		(22,555	)		213,501			236,056
0.36%	6 Month GBP LIBOR	GBP	7,170,000		12/18/2030	Semi-Annually		(630	)		113,220			113,850
6 Month GBP LIBOR	0.54%	GBP	9,400,000		12/18/2030	Semi-Annually		24,084			69,659			45,575
6 Month GBP LIBOR	0.53%	GBP	13,890,000		12/18/2030	Semi-Annually		20,353			90,041			69,688
0.70%	3 Month USD LIBOR	USD	37,310,000		12/18/2030	Quarterly		48,881			553,133			504,252
0.88%	3 Month USD LIBOR	USD	154,720,000		12/18/2030	Quarterly		(569,787	)		(449,162	)		120,625
3 Month USD LIBOR	0.82%	USD	13,190,000		12/18/2030	Quarterly		(11,009	)		(40,517	)		(29,508	)
3 Month USD LIBOR	0.75%	USD	6,930,000		12/18/2030	Quarterly		1,718			(68,803	)		(70,521	)
0.86%	3 Month USD LIBOR	USD	8,420,000		12/18/2030	Quarterly		—			(5,475	)		(5,475	)
0.85%	3 Month USD LIBOR	USD	8,420,000		12/18/2030	Quarterly		—			(115	)		(115	)
0.85%	3 Month USD LIBOR	USD	17,290,000		12/18/2030	Quarterly		—			(1,082	)		(1,082	)
0.86%	3 Month USD LIBOR	USD	17,070,000		12/18/2030	Quarterly		—			(20,296	)		(20,296	)
0.88%	3 Month USD LIBOR	USD	18,250,000		12/18/2030	Quarterly		—			(48,512	)		(48,512	)
							$	(986,876	)	$	(4,859,030	)	$	(3,872,154	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 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) ($)
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	11,114,886		12/07/2020	Monthly		—		(36,704	)		(36,704	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.75%	GS	USD	2,248,032		05/24/2022	Monthly		—		28,810			28,810
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.75%	GS	USD	488,114		05/24/2022	Monthly		—		17,923			17,923
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.50%	GS	USD	1,404,782		05/24/2022	Monthly		—		155,617			155,617
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.75%	GS	USD	243,965		05/24/2022	Monthly		—		(4,169	)		(4,169	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.50%	GS	USD	94,227		05/24/2022	Monthly		—		1,818			1,818
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.75%	GS	USD	286,294		05/24/2022	Monthly		—		1,526			1,526
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	846,889		10/18/2022	Monthly		—		49,750			49,750
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	41,578,142		10/18/2022	Monthly		—		(872,863	)		(872,863	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.50%	MORD	USD	198,455		10/18/2022	Monthly		—		16			16
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	646,167		10/18/2022	Monthly		—		1,845			1,845
								$	—	$	(656,431	)	$	(656,431	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

As of November 30, 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) Investment valued using significant unobservable inputs.

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

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

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

(g) 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 November 30, 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 November 30, 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

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

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.

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.

BONY - Bank of New York

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

UBSA - UBS AG

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 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

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

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	614,798	GMO Emerging Markets Fund, Class VI		20,878,526
	8,105,955	GMO International Equity Fund, Class IV		180,681,741
	387,104	GMO-Usonian Japan Value Creation Fund, Class VI		8,342,097
		TOTAL MUTUAL FUNDS (COST $213,978,447)		209,902,364
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	92,137	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		92,137
		TOTAL SHORT-TERM INVESTMENTS (COST $92,137)		92,137
		TOTAL INVESTMENTS — 100.0% (Cost $214,070,584)		209,994,501
		Other Assets and Liabilities (net) — (0.0%)		(41,300	)
		TOTAL NET ASSETS — 100.0%		$209,953,201

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2020.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	9,683,715	GMO Emerging Markets Fund, Class VI		328,858,948
	19,784,816	GMO International Equity Fund, Class IV		441,003,542
	1,497,142	GMO-Usonian Japan Value Creation Fund, Class VI		32,263,417
		TOTAL MUTUAL FUNDS (COST $785,760,815)		802,125,907
		SHORT-TERM INVESTMENTS — 0.0%
	175,252	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		175,252
		TOTAL SHORT-TERM INVESTMENTS (COST $175,252)		175,252
		TOTAL INVESTMENTS — 100.0% (Cost $785,936,067)		802,301,159
		Other Assets and Liabilities (net) — (0.0%)		(57,024	)
		TOTAL NET ASSETS — 100.0%		$802,244,135

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2020.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 96.3%
		United States — 96.3%
		U.S. Government — 96.3%
	15,000,000	U.S. Treasury Note, 1.38%, due 01/31/21		15,030,684
	25,000,000	U.S. Treasury Note, 1.25%, due 03/31/21 (a)		25,094,727
	25,000,000	U.S. Treasury Note, 1.38%, due 04/30/21		25,134,766
	17,700,000	U.S. Treasury Note, 2.63%, due 05/15/21 (b)		17,904,656
	47,000,000	U.S. Treasury Note, 1.38%, due 05/31/21		47,301,094
	43,000,000	U.S. Treasury Note, 1.63%, due 06/30/21		43,386,328
	20,000,000	U.S. Treasury Note, 1.13%, due 08/31/21		20,150,781
	30,000,000	U.S. Treasury Note, 1.63%, due 12/31/21		30,489,843
	30,000,000	U.S. Treasury Note, 1.50%, due 01/31/22		30,482,813
	14,500,000	U.S. Treasury Note, 0.13%, due 04/30/22		14,500,566
	58,700,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 0.20%, due 01/31/21 (a) (b)		58,712,289
		Total U.S. Government		328,188,547
		TOTAL DEBT OBLIGATIONS (COST $327,344,902)		328,188,547
		SHORT-TERM INVESTMENTS — 3.0%
		Money Market Funds — 3.0%
	9,764,293	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		9,764,293
	624,931	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (b)		624,931
		TOTAL SHORT-TERM INVESTMENTS (COST $10,389,224)		10,389,224
		TOTAL INVESTMENTS — 99.3% (Cost $337,734,126)		338,577,771
		Other Assets and Liabilities (net) — 0.7%		2,294,540
		TOTAL NET ASSETS — 100.0%		$340,872,311

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
12/17/2020	GS	AUD	1,928,801		USD	1,412,203		(3,867	)
12/17/2020	SSB	AUD	19,357,499		USD	14,117,766		(93,943	)
12/17/2020	UBSA	AUD	2,880,304		USD	2,100,565		(14,070	)
12/17/2020	UBSA	NZD	15,953,835		USD	10,865,280		(321,895	)
12/02/2020	GS	USD	1,066,079		CAD	1,395,172		8,207
12/02/2020	MSCI	USD	1,387,877		CAD	1,818,097		12,062
12/02/2020	SSB	USD	13,555,013		CAD	18,014,116		315,901
02/01/2021	SSB	USD	16,346,626		CAD	21,227,385		4,520
01/13/2021	UBSA	USD	50,716,585		EUR	42,882,037		504,400
02/16/2021	BCLY	USD	2,110,120		EUR	1,777,138		14,209
02/16/2021	GS	USD	59,098,900		EUR	50,000,000		669,371
02/16/2021	JPM	USD	974,498		EUR	821,031		6,934
12/10/2020	MSCI	USD	18,466,014		JPY	1,932,804,318		49,385
12/10/2020	SSB	USD	24,773,252		JPY	2,620,595,294		330,878
02/10/2021	MSCI	USD	3,824,973		JPY	396,667,663		(20,601	)
02/10/2021	SSB	USD	17,804,412		JPY	1,843,107,114		(127,484	)
12/17/2020	UBSA	USD	885,534		NZD	1,282,671		13,903
							$	1,347,910

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
79	CAC40 10 Euro	December 2020		5,183,275		15,699
143	Canadian Government Bond 10 Yr.	March 2021		16,388,789		15,353
101	Gold 100 OZ (b)	February 2021		17,987,090		(1,298,039	)
47	Hang Seng Index	December 2020		8,002,662		(62,485	)
848	Mini MSCI Emerging Markets	December 2020		50,977,520		4,342,481
180	S&P 500 E-Mini	December 2020		32,608,800		1,336,624
32	S&P/TSX 60	December 2020		5,036,421		280,008
83	Silver (b)	March 2021		9,376,095		(883,775	)
408	U.S. Treasury Note 10 Yr. (CBT)	March 2021		56,374,125		96,144
189	WTI Crude (b)	December 2020		8,569,260		789,173
			$	210,504,037	$	4,631,183

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

Futures Contracts — continued

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
704	Corn (b)	March 2021		14,995,200		(213,453	)
15	DAX Index	December 2020		5,951,051		(158,234	)
134	E-mini Russell 2000 Index	December 2020		12,194,670		(1,122,082	)
344	Euro Bund	December 2020		71,912,187		52,768
198	FTSE/JSE TOP 40	December 2020		6,693,026		(69,596	)
28	Gilt Long Bond	March 2021		5,009,072		(4,583	)
22	Japanese Government Bond 10 Yr. (OSE)	December 2020		32,036,973		(1,565	)
137	Soybean (b)	January 2021		8,004,225		(692,391	)
68	SPI 200	December 2020		8,133,606		(473,645	)
15	TOPIX Index	December 2020		2,518,337		(46,080	)
			$	167,448,347	$	(2,728,861	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 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 November 30, 2020.

The rates shown on variable rate notes are the current interest rates at November 30, 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.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

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)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 80.4%
		Germany — 1.3%
	79,180	GRENKE AG		3,459,546
		Israel — 3.7%
	38,000	Wix.com Ltd *		9,706,340
		New Zealand — 4.7%
	1,220,000	Ryman Healthcare Ltd		12,602,858
		United Kingdom — 5.6%
	1,960,000	boohoo Group Plc *		8,223,485
	640,000	Burford Capital Ltd		6,521,600
		Total United Kingdom		14,745,085
		United States — 65.1%
	675,300	At Home Group, Inc. *		12,790,182
	346,830	Cardlytics, Inc. *		41,161,785
	177,514	Carvana Co. *		44,415,778
	95,684	Fastly, Inc. – Class A *		8,111,133
	207,920	Interactive Brokers Group, Inc. – Class A		10,969,859
	891,944	Redfin Corp. *		42,715,198
	48,953	Wayfair, Inc. – Class A *		12,451,685
		Total United States		172,615,620
		TOTAL COMMON STOCKS (COST $95,168,604)		213,129,449
		SHORT-TERM INVESTMENTS — 4.8%
		Money Market Funds — 4.8%
	12,795,746	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		12,795,746
	10	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (b)		10
		TOTAL SHORT-TERM INVESTMENTS (COST $12,795,756)		12,795,756
		TOTAL INVESTMENTS — 85.2% (Cost $107,964,360)		225,925,205
		Other Assets and Liabilities (net) — 14.8%		39,372,078
		TOTAL NET ASSETS — 100.0%		$265,297,283

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2020.

(b) 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.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 30.4%
		Australia — 0.8%
	25,635	Accent Group Ltd		40,661
	17,346	Ansell Ltd		474,454
	26,425	Asaleo Care Ltd		19,425
	9,288	AUB Group Ltd		113,844
	48,596	Australian Pharmaceutical Industries Ltd		42,943
	46,248	BlueScope Steel Ltd		578,676
	4,615	Computershare Ltd		48,356
	25,239	Coronado Global Resources Inc		19,537
	18,346	CSR Ltd		65,118
	41,178	Dexus (REIT)		295,027
	41,990	Fortescue Metals Group Ltd		559,416
	34,199	G8 Education Ltd		29,467
	31,008	Genworth Mortgage Insurance Australia Ltd		60,186
	117,986	GPT Group (The) (REIT)		407,787
	10,503	GWA Group Ltd		22,242
	18,720	JB Hi-Fi Ltd		628,804
	13,003	McMillan Shakespeare Ltd		113,422
	73,163	Mirvac Group (REIT)		138,232
	976	Rio Tinto Ltd		72,818
	34,636	Sandfire Resources NL		111,477
	201,264	Scentre Group (REIT)		411,704
	63,977	Stockland (REIT)		212,478
	6,747	Super Retail Group Ltd		48,819
		Total Australia		4,514,893
		Austria — 0.0%
	1,110	AT&S Austria Technologie & Systemtechnik AG		26,534
		Belgium — 0.3%
	16,078	Ageas SA/NV		787,189
	9,099	AGFA-Gevaert NV *		37,657
	9,467	bpost SA		114,204
	5,747	Etablissements Franz Colruyt NV		342,531
	96	Melexis NV		9,209
	938	Orange Belgium SA		18,109
	542	UCB SA		58,001
		Total Belgium		1,366,900
		Canada — 0.9%
	16,476	Brookfield Asset Management Inc – Class A (a) (b)		667,113
	3,400	Canadian Apartment Properties (REIT)		133,937
	700	Canadian Tire Corp Ltd – Class A		89,458
	3,100	Canadian Western Bank		72,040
	12,500	Cascades Inc		140,525
	18,258	Celestica Inc *		137,494
	24,700	CI Financial Corp		323,704
	900	Cogeco Inc		55,128
	37,100	Fortuna Silver Mines Inc *		236,249
	600	goeasy Ltd		39,261
	200	iA Financial Corp Inc		8,758

Shares		Description	Value ($)
		Canada — continued
	8,300	IGM Financial Inc		219,531
	8,600	Imperial Oil Ltd		148,863
	3,175	Labrador Iron Ore Royalty Corp		64,272
	3,100	Linamar Corp		142,790
	6,500	Magna International Inc		398,599
	13,700	Manulife Financial Corp		233,450
	6,400	Martinrea International Inc		70,076
	800	Norbord Inc		29,993
	12,017	Nutrien Ltd		592,078
	14,600	Power Corp of Canada		328,716
	6,500	RioCan Real Estate Investment Trust		87,788
	1,600	Stella-Jones Inc		54,430
	19,800	TELUS Corp		381,913
	2,800	TFI International Inc		142,080
	9,600	Tourmaline Oil Corp		133,647
	8,900	Transcontinental Inc – Class A		132,126
	1,000	West Fraser Timber Co Ltd		55,371
		Total Canada		5,119,390
		China — 0.6%
	66,000	Agile Group Holdings Ltd		95,294
	158,500	BAIC Motor Corp Ltd – Class H		59,323
	418,000	Bank of Communications Co Ltd – Class H		230,990
	9,500	Beijing Enterprises Holdings Ltd		30,783
	140,000	China Communications Construction Co Ltd – Class H		72,566
	124,000	China Communications Services Corp Ltd – Class H		66,082
	2,756,000	China Huarong Asset Management Co Ltd – Class H		315,946
	12,500	China Overseas Land & Investment Ltd		30,435
	47,000	China Railway Construction Corp Ltd – Class H		31,058
	754,000	China Railway Group Ltd – Class H		372,190
	354,000	China Zhongwang Holdings Ltd *		77,101
	59,000	Chongqing Rural Commercial Bank Co Ltd – Class H		25,298
	382,000	Dongfeng Motor Group Co Ltd – Class H		393,017
	41,000	Fosun International Ltd		59,164
	278,400	Guangzhou R&F Properties Co Ltd – Class H		363,287
	200	JOYY Inc ADR		17,814
	20,000	Kingboard Holdings Ltd		76,414
	191,800	Legend Holdings Corp – Class H		261,156
	15,300	Momo Inc Sponsored ADR		220,014
	38,000	Seazen Group Ltd *		33,630
	35,300	Shanghai Pharmaceuticals Holding Co Ltd – Class H		59,693
	73,500	Shimao Group Holdings Ltd		273,948
	70,400	Sinopharm Group Co Ltd – Class H		174,258
	270,000	Skyworth Group Ltd *		73,695
	435,000	Yuzhou Group Holdings Co Ltd		172,891
		Total China		3,586,047

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Denmark — 0.2%
	24,585	Danske Bank A/S *		404,741
	8,216	Demant A/S *		309,941
	1,699	Matas A/S *		21,932
	3,900	Pandora A/S		391,032
	6,502	Scandinavian Tobacco Group A/S		100,054
		Total Denmark		1,227,700
		Finland — 0.3%
	8,939	Kesko Oyj – B Shares		234,021
	13,504	Neste Oyj (b)		902,341
	55,643	Nokia Oyj *		221,904
	2,085	UPM-Kymmene Oyj		68,414
	1,122	Uponor Oyj		22,812
		Total Finland		1,449,492
		France — 1.2%
	1,608	Akka Technologies *		48,347
	7,508	ALD SA		96,068
	10,399	APERAM SA		395,244
	1,656	Arkema SA		192,852
	3,979	Atos SE *		363,206
	801	Capgemini SE		111,440
	2,325	Eiffage SA *		227,309
	1,832	Fnac Darty SA *		97,948
	2,665	IPSOS		85,143
	864	Kering SA (b)		623,783
	1,211	LVMH Moet Hennessy Louis Vuitton SE (b)		695,593
	4,329	Metropole Television SA *		67,875
	12,844	Peugeot SA *		301,337
	17,145	Publicis Groupe SA		772,591
	3,784	Quadient SA		67,644
	11,291	Renault SA *		448,273
	2,206	Rexel SA *		29,832
	6,309	Safran SA * (b)		919,688
	1,129	Societe BIC SA		66,826
	14,576	Societe Generale SA *		289,009
	592	Sopra Steria Group *		89,757
	1,723	Tarkett SA *		29,809
	8,216	Television Francaise 1 *		63,498
	2,191	Unibail-Rodamco-Westfield (REIT)		154,167
	9,678	Valeo SA		373,376
	566	Vicat SA		23,051
		Total France		6,633,666
		Germany — 1.1%
	28,465	Aroundtown SA *		197,008
	4,614	Aurubis AG		350,672
	7,461	Bayer AG (Registered)		429,856
	1,205	Bayerische Motoren Werke AG		104,557
	3,474	Brenntag AG		266,033
	4,936	CECONOMY AG *		24,317

Shares		Description	Value ($)
		Germany — continued
	5,269	CropEnergies AG		87,233
	6,543	Daimler AG (Registered)		438,062
	28,942	Deutsche Lufthansa AG (Registered) *		333,670
	42,232	Deutsche Pfandbriefbank AG *		420,673
	17,356	Dialog Semiconductor Plc *		926,247
	387	Draegerwerk AG & Co KGaA		27,975
	1,412	Fresenius SE & Co KGaA		63,129
	17,177	HeidelbergCement AG (b)		1,215,197
	2,041	Hornbach Baumarkt AG		93,653
	2,348	Hornbach Holding AG & Co KGaA		249,977
	5,491	ProSiebenSat.1 Media SE *		79,619
	12,464	Software AG		535,232
	4,351	Takkt AG *		56,002
	4,699	VERBIO Vereinigte BioEnergie AG		145,825
		Total Germany		6,044,937
		Greece — 0.0%
	4,080	JUMBO SA		72,347
		Hong Kong — 0.6%
	19,000	Chow Sang Sang Holdings International Ltd		23,008
	260,000	CITIC Telecom International Holdings Ltd		86,487
	56,500	CK Hutchison Holdings Ltd		409,830
	21,200	Dah Sing Financial Holdings Ltd		62,378
	1,268,000	First Pacific Co. Ltd.		387,108
	11,000	Hang Lung Group Ltd		27,723
	94,000	HKT Trust & HKT Ltd – Class SS		122,859
	53,300	Hongkong Land Holdings Ltd		216,368
	78,500	Johnson Electric Holdings Ltd		184,932
	102,000	K Wah International Holdings Ltd		50,739
	115,500	Kerry Properties Ltd		295,914
	32,000	NWS Holdings Ltd		30,598
	191,000	Pacific Textiles Holdings Ltd		131,609
	565,000	PCCW Ltd		342,872
	298,000	Shun Tak Holdings Ltd		94,020
	60,000	Sun Hung Kai & Co Ltd		26,840
	17,000	Swire Pacific Ltd – Class A		97,413
	64,900	VTech Holdings Ltd		499,927
	20,000	Wharf Holdings Ltd (The)		49,474
	128,000	Yue Yuen Industrial Holdings Ltd		262,756
		Total Hong Kong		3,402,855
		India — 0.2%
	7,204	Hindustan Petroleum Corp Ltd		20,248
	120,629	Indiabulls Housing Finance Ltd		300,871
	73,906	Indian Oil Corp Ltd		83,596
	25,695	NTPC Ltd		32,165
	378,662	Oil & Natural Gas Corp Ltd		396,663
	257,228	REC Ltd		410,854
	4,771	Tata Motors Ltd *		11,348
		Total India		1,255,745

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Indonesia — 0.0%
	83,200	Indah Kiat Pulp & Paper Corp Tbk PT		51,083
		Ireland — 0.3%
	52,329	AIB Group Plc *		93,979
	49,545	Bank of Ireland Group Plc *		155,230
	2,237	Glanbia Plc		27,511
	71,600	Hibernia REIT Plc		97,767
	36,837	Irish Residential Properties REIT Plc		61,322
	9,692	Origin Enterprises Plc		41,430
	40,326	Ryanair Holdings Plc * (b)		734,925
	9,904	Smurfit Kappa Group Plc		421,376
		Total Ireland		1,633,540
		Israel — 0.1%
	11,916	Isracard Ltd		38,850
	37,800	Teva Pharmaceutical Industries Ltd Sponsored ADR *		359,478
		Total Israel		398,328
		Italy — 0.8%
	106,434	A2A SPA		162,833
	31,325	Anima Holding SPA		137,948
	3,839	Ascopiave SPA		16,225
	10,009	Banca Mediolanum SPA *		91,493
	21,973	Banca Popolare di Sondrio SCPA *		59,417
	1,474	Biesse SPA *		29,694
	26,498	Buzzi Unicem SPA		648,420
	2,513	Buzzi Unicem SpA – RSP		41,136
	3,639	Cementir Holding NV		29,950
	17,950	CNH Industrial NV *		195,561
	20,024	Enav SPA		88,148
	19,944	EXOR NV		1,395,071
	68,966	Hera SPA		251,399
	12,720	Italgas SpA		81,808
	1,690	La Doria SPA		25,760
	28,170	Leonardo SPA		204,492
	348	Sesa SPA *		34,954
	836,207	Telecom Italia SPA		394,086
	956,421	Telecom Italia SPA-RSP		489,198
	44,163	Unipol Gruppo SPA *		212,993
		Total Italy		4,590,586
		Japan — 10.1%
	1,700	77 Bank Ltd (The)		23,702
	4,100	ADEKA Corp		64,831
	49,200	Aeon Mall Co Ltd (b)		786,316
	4,400	Alps Alpine Co Ltd		55,095
	94,700	Amada Co Ltd (b)		907,756
	12,300	Amano Corp		288,491
	600	Arata Corp		28,473
	6,400	Arcland Sakamoto Co Ltd		109,579

Shares		Description	Value ($)
		Japan — continued
	23,900	Arcs Co Ltd		499,134
	39,700	Asahi Kasei Corp		362,955
	63,300	Asics Corp (b)		1,137,645
	9,900	Astellas Pharma Inc		141,011
	2,900	Belluna Co Ltd		26,550
	23,300	Brother Industries Ltd		445,056
	2,700	Central Japan Railway Co		343,145
	53,300	Chugoku Marine Paints Ltd		506,636
	2,100	Credit Saison Co Ltd		24,007
	200	Dai Nippon Toryo Co Ltd		1,769
	15,000	Daihen Corp (b)		649,711
	400	Daiichi Jitsugyo Co Ltd		15,426
	900	Daishi Hokuetsu Financial Group Inc		20,281
	4,900	Daiwa House Industry Co Ltd		149,744
	15,700	Daiwabo Holdings Co Ltd (b)		979,860
	32,700	Denka Co Ltd (b)		1,008,946
	3,100	Dexerials Corp		37,812
	13,300	Doshisha Co Ltd		255,298
	800	DTS Corp		16,822
	700	Earth Corp		41,283
	23,500	Ebara Corp (b)		749,495
	3,700	EDION Corp		34,584
	800	Eizo Corp		27,676
	10,600	Electric Power Development Co Ltd		142,269
	1,000	ESPEC Corp		18,544
	4,800	Financial Products Group Co Ltd		22,764
	21,000	Fuji Corp		507,376
	1,600	Fuji Electric Co Ltd		56,651
	1,900	Fujimi Inc		66,168
	3,400	Fujitec Co Ltd		69,180
	1,500	Fujitsu General Ltd		45,380
	4,600	Geo Holdings Corp		55,943
	3,600	Glory Ltd		72,191
	17,500	GungHo Online Entertainment Inc		443,768
	22,900	Gunma Bank Ltd (The)		70,943
	8,100	Gunze Ltd		278,354
	6,900	Gurunavi Inc		34,160
	1,200	Hanwa Co Ltd		28,607
	92,100	Haseko Corp (b)		995,357
	127,800	Hazama Ando Corp (b)		839,513
	1,000	Heiwado Co Ltd		20,297
	5,600	Hirogin Holdings Inc		31,039
	200	Hirose Electric Co Ltd		28,212
	3,400	Hisamitsu Pharmaceutical Co Inc		199,522
	11,200	Hitachi Ltd		425,082
	16,200	Hogy Medical Co Ltd		489,717
	2,500	Hokuhoku Financial Group Inc		24,686
	14,900	Honda Motor Co Ltd		414,547
	17,900	Horiba Ltd (b)		957,630
	3,300	Inaba Denki Sangyo Co Ltd		75,530
	33,500	Inabata & Co Ltd		441,045
	68,800	Inpex Corp		381,074

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	15,000	ITOCHU Corp		395,839
	3,000	Itochu Enex Co Ltd		28,791
	4,200	Iyo Bank Ltd (The)		27,717
	19,100	JAFCO Group Co Ltd (b)		817,353
	13,600	Japan Post Insurance Co Ltd		226,258
	40,400	JVCKenwood Corp		54,521
	102,500	K’s Holdings Corp (b)		1,244,653
	37,400	Kadokawa Corp (b)		1,183,973
	10,900	Kajima Corp		143,002
	100	Kaken Pharmaceutical Co Ltd		3,654
	19,200	Kanamoto Co Ltd		399,128
	3,400	Kandenko Co Ltd		25,898
	900	Kaneka Corp		27,024
	52,900	Kanematsu Corp		609,166
	700	Kanematsu Electronics Ltd		27,102
	26,400	KDDI Corp (b)		751,248
	139,900	Kenedix Inc (b)		1,007,370
	25,700	Kinden Corp (b)		410,516
	1,800	Kissei Pharmaceutical Co Ltd		35,972
	3,500	Kohnan Shoji Co Ltd		108,187
	3,600	Kokuyo Co Ltd		46,263
	5,900	Komeri Co Ltd		160,395
	85,100	Konica Minolta Inc		271,788
	35,300	Konoike Transport Co Ltd		349,405
	1,200	Kumagai Gumi Co Ltd		27,134
	1,100	Kureha Corp		55,589
	35,900	Kyowa Exeo Corp (b)		922,007
	9,200	Kyudenko Corp		262,542
	32,300	Macromill Inc		201,157
	1,800	Makino Milling Machine Co Ltd		72,180
	23,300	Mandom Corp		364,983
	20,500	Maruichi Steel Tube Ltd		430,968
	500	Maruzen Showa Unyu Co Ltd		16,014
	45,600	Maxell Holdings Ltd *		524,012
	700	Medipal Holdings Corp		13,128
	4,900	Meidensha Corp		84,909
	1,400	METAWATER Co Ltd		31,712
	25,100	Mitsubishi Gas Chemical Co Inc		531,266
	223,200	Mitsubishi UFJ Financial Group Inc		952,465
	1,000	Mitsuboshi Belting Ltd		15,592
	4,300	Mitsui Chemicals Inc		120,213
	1,200	Mitsui Sugar Co Ltd		20,507
	11,700	Mixi Inc		319,705
	1,200	Mizuho Leasing Co Ltd		31,758
	31,600	MS&AD Insurance Group Holdings Inc (b)		919,286
	4,200	NEC Networks & System Integration Corp		74,172
	26,200	NH Foods Ltd (b)		1,115,816
	3,700	Nichias Corp		86,036
	1,500	Nichiha Corp		46,770
	16,700	Nikkon Holdings Co Ltd		324,070
	5,000	Nippo Corp		130,328
	300	Nippon Flour Mills Co Ltd		4,670

Shares		Description	Value ($)
		Japan — continued
	7,550	Nippon Light Metal Holdings Co Ltd		128,920
	2,200	Nippon Soda Co Ltd		57,644
	900	Nippon Steel Trading Corp		30,485
	17,100	Nippon Telegraph & Telephone Corp		404,419
	4,000	Nishimatsu Construction Co Ltd		74,308
	1,300	Nishio Rent All Co Ltd		25,263
	1,200	Nisshin Oillio Group Ltd (The)		33,481
	5,700	Nissin Electric Co Ltd		63,641
	2,700	Nitto Denko Corp		222,626
	2,600	Nojima Corp		67,853
	9,200	Nomura Real Estate Holdings Inc		197,747
	800	Obara Group Inc		25,913
	113,500	Obayashi Corp (b)		999,046
	800	Organo Corp		45,329
	109,300	ORIX Corp (b)		1,617,790
	600	Osaka Soda Co Ltd		14,041
	39,300	Pacific Industrial Co Ltd		402,211
	200	Paramount Bed Holdings Co Ltd		8,136
	44,200	Penta-Ocean Construction Co Ltd		328,022
	1,600	Pressance Corp		26,779
	2,000	Proto Corp		20,118
	30,700	Raiznext Corp		327,013
	16,400	Resona Holdings Inc		57,164
	1,500	Rinnai Corp		175,008
	4,900	Rohm Co Ltd		407,444
	8,400	San-A Co Ltd		324,845
	2,200	San-Ai Oil Co Ltd		24,304
	4,100	Sanki Engineering Co Ltd		45,065
	4,000	Sanwa Holdings Corp		48,587
	1,500	Sanyo Chemical Industries Ltd		64,367
	10,400	Secom Co Ltd (b)		1,037,843
	2,400	Seiko Holdings Corp		30,849
	4,800	Sekisui Chemical Co Ltd		82,744
	19,500	Sekisui House Ltd		349,657
	600	Sekisui Jushi Corp		12,620
	600	Shimamura Co Ltd		61,821
	95,100	Shimizu Corp (b)		719,213
	4,700	Shizuoka Bank Ltd (The)		33,213
	1,600	Shizuoka Gas Co Ltd		15,169
	1,500	Sinko Industries Ltd		24,602
	124,800	SKY Perfect JSAT Holdings Inc		564,623
	84,000	Sumitomo Chemical Co Ltd		296,761
	41,900	Sumitomo Dainippon Pharma Co Ltd		528,387
	60,700	Sumitomo Forestry Co Ltd (b)		1,099,088
	600	Sumitomo Heavy Industries Ltd		12,971
	500	Sumitomo Seika Chemicals Co Ltd		19,838
	500	Suzuken Co Ltd		19,076
	1,500	Suzuki Motor Corp		80,442
	23,100	T Hasegawa Co Ltd		444,038
	9,800	T&D Holdings Inc		114,089
	400	T-Gaia Corp		7,042
	27,800	Tachi-S Co Ltd		298,676

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	10,200	Taisei Corp		358,834
	400	Taisho Pharmaceutical Holdings Co Ltd		25,398
	38,800	Takara Holdings Inc		443,966
	7,900	Takara Leben Co Ltd		22,285
	4,100	Takasago Thermal Engineering Co Ltd		56,290
	5,300	Takeuchi Manufacturing Co Ltd		124,344
	26,400	Takuma Co Ltd		452,110
	2,600	Tamron Co Ltd		39,674
	900	TDK Corp		126,401
	26,000	Teijin Ltd		443,356
	12,100	TIS Inc		240,300
	33,000	Toho Holdings Co Ltd (b)		601,839
	2,100	Tokai Rika Co Ltd		32,113
	139,800	Tokyo Electric Power Co Holdings Inc *		363,868
	1,300	Tokyo Ohka Kogyo Co Ltd		82,037
	24,200	Tokyo Seimitsu Co Ltd (b)		1,064,361
	7,600	Tokyu Construction Co Ltd		34,065
	3,500	Toppan Forms Co Ltd		33,325
	88,400	Toppan Printing Co Ltd (b)		1,203,515
	28,400	Toray Industries Inc		153,251
	800	Torii Pharmaceutical Co Ltd		24,202
	44,000	Tosei Corp		487,861
	64,400	Tosoh Corp (b)		1,008,601
	11,800	Toyo Suisan Kaisha Ltd		580,393
	18,100	Toyota Industries Corp (b)		1,304,378
	2,700	TS Tech Co Ltd		78,973
	13,300	Tsumura & Co		387,016
	4,500	Ushio Inc		56,450
	2,800	YAMABIKO Corp		37,855
	7,500	Yamaguchi Financial Group Inc		46,511
	2,800	Yamazen Corp		26,622
	3,100	Yellow Hat Ltd		47,729
	62,100	Yokogawa Electric Corp (b)		1,094,111
	900	Yuasa Trading Co Ltd		28,200
	21,200	Zenkoku Hosho Co Ltd (b)		967,442
		Total Japan		57,226,857
		Malta — 0.0%
	125,500	BGP Holdings Plc * (c)		—
		Mexico — 0.3%
	80,741	Fomento Economico Mexicano SAB de CV		583,277
	251,900	Grupo Mexico SAB de CV – Series B		916,102
		Total Mexico		1,499,379
		Netherlands — 0.9%
	18,981	ABN AMRO Bank NV CVA *		194,314
	63,184	Aegon NV		233,736
	10,100	AerCap Holdings NV *		371,276
	19,636	ASR Nederland NV		727,676
	414	Corbion NV		21,323

Shares		Description	Value ($)
		Netherlands — continued
	48,057	ING Groep NV *		467,437
	10,628	Koninklijke Ahold Delhaize NV		303,868
	15,767	NIBC Holding NV *		139,803
	1,506	NN Group NV		60,865
	74,496	PostNL NV *		253,709
	21,438	Randstad NV * (b)		1,325,905
	27,296	Signify NV * (b)		1,150,575
	5,528	TomTom NV *		45,095
		Total Netherlands		5,295,582
		New Zealand — 0.1%
	90,509	Meridian Energy Ltd		408,293
		Norway — 0.4%
	6,382	Austevoll Seafood ASA		58,035
	46,695	BW LPG Ltd		298,192
	52,704	Elkem ASA		169,456
	6,662	Entra ASA		132,770
	25,472	Europris ASA		137,686
	402	Gjensidige Forsikring ASA		8,753
	1,208	Kongsberg Gruppen ASA		22,928
	7,891	Norsk Hydro ASA		31,953
	15,100	Norwegian Finans Holding ASA *		120,085
	49,715	Orkla ASA		475,866
	2,664	SpareBank 1 Nord Norge		21,860
	4,533	SpareBank 1 SMN		48,526
	11,251	SpareBank 1 SR-Bank ASA *		112,223
	18,197	Yara International ASA		737,592
		Total Norway		2,375,925
		Portugal — 0.3%
	25,316	Altri SGPS SA		136,424
	1,956,817	Banco Comercial Portugues SA – Class R *		276,961
	26,397	CTT-Correios de Portugal SA *		76,806
	41,967	Galp Energia SGPS SA		450,254
	49,113	Mota-Engil SGPS SA *		85,431
	40,264	Navigator Co SA (The) *		120,055
	19,427	NOS SGPS SA		74,288
	32,571	REN – Redes Energeticas Nacionais SGPS SA		89,319
	110,844	Sonae SGPS SA		89,277
		Total Portugal		1,398,815
		Russia — 0.2%
	7,897	LUKOIL PJSC Sponsored ADR		508,370
	3,784	Novatek PJSC Sponsered GDR (Registered)		582,198
		Total Russia		1,090,568
		Singapore — 0.4%
	26,100	CapitaLand Integrated Commercial Trust (REIT)		37,603
	64,000	City Developments Ltd		368,353
	222,900	ComfortDelGro Corp Ltd		272,688

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	21,500	Jardine Cycle & Carriage Ltd		309,231
	9,800	Keppel DC (REIT)		20,512
	201,300	Mapletree Industrial Trust (REIT)		439,520
	16,400	Mapletree Logistics Trust (REIT)		23,996
	166,900	Mapletree North Asia Commercial Trust (REIT)		111,350
	18,300	Sembcorp Industries Ltd		24,794
	77,100	SPH (REIT)		47,607
	68,000	StarHub Ltd		65,319
	724,100	Yangzijiang Shipbuilding Holdings Ltd		470,534
	58,400	Yanlord Land Group Ltd		48,213
		Total Singapore		2,239,720
		South Africa — 0.1%
	34,834	Bidvest Group Ltd (The)		365,179
	43,825	Old Mutual Ltd		32,918
		Total South Africa		398,097
		South Korea — 0.0%
	1,115	Yuhan Corp		64,940
		Spain — 0.9%
	15,146	Acerinox SA		156,954
	22,221	ACS Actividades de Construccion y Servicios SA *		702,027
	7,033	Almirall SA		90,461
	9,838	Amadeus IT Group SA (b)		676,504
	6,242	Atresmedia Corp de Medios de Comunicacion SA		22,127
	61,749	Banco Bilbao Vizcaya Argentaria SA		285,933
	147,596	Banco Santander SA *		428,046
	4,585	Bankinter SA		22,737
	11,235	Cia de Distribucion Integral Logista Holdings SA		207,181
	3,351	Ebro Foods SA		79,304
	3,369	Enagas SA		82,307
	4,487	Faes Farma SA		20,127
	1,007	Grupo Catalana Occidente SA		32,870
	20,752	Industria de Diseno Textil SA (b)		688,850
	11,200	Mapfre SA		21,491
	40,863	Mediaset Espana Comunicacion SA *		184,183
	8,839	Prosegur Cia de Seguridad SA		24,979
	50,196	Red Electrica Corp SA (b)		1,026,160
	123,203	Unicaja Banco SA *		97,072
	4,040	Viscofan SA		286,323
		Total Spain		5,135,636
		Sweden — 0.1%
	2,305	AcadeMedia AB		22,664
	23,235	Betsson AB *		200,453
	11,030	Inwido AB *		135,213
	40,746	Nordea Bank Abp *		348,233
	167	Resurs Holding AB		839
	363	Skanska AB – B Shares		8,625
		Total Sweden		716,027

Shares		Description	Value ($)
		Switzerland — 0.1%
	6,235	Adecco Group AG (Registered)		376,919
	2,608	ams AG *		66,848
	2,652	Banque Cantonale Vaudoise (Registered)		273,091
	316	BKW AG		32,698
		Total Switzerland		749,556
		Taiwan — 0.1%
	126,000	Hon Hai Precision Industry Co Ltd		363,744
	36,000	Pou Chen Corp		39,432
	54,000	Ruentex Development Co Ltd		79,715
		Total Taiwan		482,891
		United Kingdom — 2.9%
	13,929	Aggreko Plc		103,251
	3,454	Antofagasta Plc		57,036
	9,475	Aviva Plc		40,115
	3,420	Bank of Georgia Group Plc *		51,330
	97,494	Barratt Developments Plc *		799,293
	8,576	Bellway Plc		322,145
	21,703	Berkeley Group Holdings Plc (The)		1,326,567
	239,237	BT Group Plc		370,317
	13,167	Bunzl Plc		410,106
	4,141	Carnival Plc		71,782
	207,784	Centamin Plc		314,774
	8,037	CMC Markets Plc		41,645
	5,448	Coca-Cola HBC AG *		155,620
	47,156	Compass Group Plc		829,741
	2,345	Computacenter Plc		69,131
	2,268	Daily Mail & General Trust Plc – Class A		20,479
	27,087	Diversified Gas & Oil Plc		38,998
	12,201	Dixons Carphone Plc		17,886
	1,271	EMIS Group Plc		16,501
	15,281	Evraz Plc		76,789
	11,219	Ferguson Plc		1,255,844
	70,067	Ferrexpo Plc		196,485
	26,408	Frasers Group Plc *		147,376
	4,488	Go-Ahead Group Plc (The) *		48,592
	17,806	Halfords Group Plc		63,183
	25,459	Hays Plc *		44,202
	41,617	IG Group Holdings Plc		443,365
	13,671	IMI Plc		202,599
	16,923	Inchcape Plc *		134,720
	29,866	Indivior Plc *		40,375
	17,324	Investec Plc		42,654
	191,501	ITV Plc *		238,313
	57,099	J Sainsbury Plc		159,384
	4,574	Johnson Matthey Plc		134,780
	22,201	Jupiter Fund Management Plc		71,706
	244,593	Kingfisher Plc *		888,270
	12,214	Lookers Plc (d)		3,419
	192,861	M&G Plc		478,533
	122,201	Micro Focus International Plc *		562,826

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	12,455	Mitchells & Butlers Plc *		35,068
	9,278	Mondi Plc		203,014
	16,910	Morgan Advanced Materials Plc		63,371
	4,384	Morgan Sindall Group Plc		81,303
	24,289	National Express Group Plc *		71,576
	7,406	National Grid Plc		82,936
	4,545	Numis Corp Plc		20,863
	26,353	OSB Group Plc *		136,507
	16,757	Paragon Banking Group Plc		89,997
	49,219	Persimmon Plc		1,727,205
	33,819	Pets at Home Group Plc		186,517
	25,696	Phoenix Group Holdings Plc		243,360
	35,626	Playtech Plc *		181,851
	15,849	Plus500 Ltd		325,280
	84,671	Premier Foods Plc *		99,134
	44,498	QinetiQ Group Plc		173,021
	9,678	Redde Northgate Plc		31,131
	7,218	Redrow Plc *		49,646
	578	RHI Magnesita NV		25,011
	47,864	Royal Dutch Shell Plc – B Shares		768,719
	3,584	Smiths Group Plc		68,864
	23,843	Spirent Communications Plc		81,419
	7,940	Stock Spirits Group Plc		24,902
	57,145	Tate & Lyle Plc		482,747
	128,527	Taylor Wimpey Plc *		261,576
	5,131	Vistry Group Plc *		56,759
	70,420	WPP Plc		678,549
		Total United Kingdom		16,540,458
		United States — 6.1%
	2,200	Alexion Pharmaceuticals, Inc. *		268,642
	5,600	Alliance Data Systems Corp. (b)		409,584
	5,500	Ally Financial, Inc. (a)		163,075
	7,547	American Express Co. (a)		894,999
	100	Anthem, Inc.		31,152
	3,700	Arrow Electronics, Inc. *		339,105
	10,400	AT&T, Inc. (a)		299,000
	9,300	Athene Holding Ltd. – Class A * (a)		412,455
	6,400	Bed Bath & Beyond, Inc.		134,144
	1,100	Biogen, Inc. *		264,187
	300	Booking Holdings, Inc. * (a)		608,535
	20,800	BorgWarner, Inc. (b)		808,080
	4,600	Capital One Financial Corp. (a)		393,944
	4,500	Capri Holdings Ltd. *		159,210
	8,600	Carnival Corp. (a)		171,828
	6,800	Carrier Global Corp.		258,876
	7,100	CBRE Group, Inc. – Class A *		434,094
	4,300	Centene Corp. * (a)		265,095
	37,600	CenturyLink, Inc. (a)		392,920
	14,273	Charles Schwab Corp. (The) (a)		696,237
	6,300	Chevron Corp. (a)		549,234
	1,600	Cigna Corp.		334,624
	2,500	Cisco Systems, Inc.		107,550

Shares		Description	Value ($)
		United States — continued
	8,300	Citigroup, Inc. (a)		457,081
	5,400	Citizens Financial Group, Inc. (a)		176,364
	7,787	Coca-Cola Co. (The)		401,809
	3,300	Cognizant Technology Solutions Corp. – Class A		257,829
	7,000	Comcast Corp. – Class A (a)		351,680
	8,500	Corteva, Inc. (a)		325,720
	40,800	Coty Inc. – Class A (a)		293,352
	5,100	CVS Health Corp. (a)		345,729
	12,100	DISH Network Corp. – Class A * (b)		434,027
	4,300	DR Horton, Inc.		320,350
	3,400	Edwards Lifesciences Corp. * (a)		285,226
	14,157	EOG Resources, Inc. (a)		663,680
	6,100	Exelon Corp. (a)		250,527
	3,100	Expedia Group, Inc. (a)		385,919
	8,300	Exxon Mobil Corp. (a)		316,479
	400	FleetCor Technologies, Inc. * (a)		106,084
	47,000	Ford Motor Co. (a)		426,760
	7,400	Fox Corp. – Class A (a)		213,416
	8,900	Fox Corp. – Class B *		252,582
	4,200	GameStop Corp. – Class A *		69,552
	9,800	General Motors Co.		429,632
	1,600	Gilead Sciences, Inc.		97,072
	1,800	Goldman Sachs Group, Inc. (The)		415,044
	6,100	Hasbro, Inc. (a)		567,483
	5,701	Hilton Worldwide Holdings, Inc. (b)		590,795
	2,951	Honeywell International, Inc. (a)		601,768
	9,000	HP, Inc. (a)		197,370
	6,500	Intel Corp. (a)		314,275
	3,300	International Business Machines Corp. (a)		407,616
	15,300	Invesco Ltd. (a)		248,319
	1,900	Jazz Pharmaceuticals Plc * (a)		267,349
	300	Jones Lang LaSalle, Inc. * (a)		39,687
	29,500	Kinder Morgan, Inc. (b)		424,210
	11,000	Kohl’s Corp.		354,200
	4,900	Kraft Heinz Co. (The) (a)		161,406
	7,700	Kroger Co. (The) (a)		254,100
	600	Laboratory Corp. of America Holdings *		119,904
	10,095	Las Vegas Sands Corp. (a)		562,392
	1,000	Leidos Holdings, Inc.		100,700
	4,000	Lennar Corp. – Class A (a)		303,440
	9,200	Lincoln National Corp. (a)		434,424
	1,900	LKQ Corp. * (a)		66,918
	18,300	Lyft, Inc. – Class A * (a)		698,511
	4,300	LyondellBasell Industries NV – Class A (a)		365,930
	606	Markel Corp. * (a)		590,141
	7,700	MetLife, Inc.		355,509
	7,000	Micron Technology, Inc. * (b)		448,630
	900	Mohawk Industries, Inc. * (a)		113,247
	8,900	Molson Coors Brewing Co. – Class B (a)		409,400
	4,300	Morgan Stanley		265,869
	9,800	Occidental Petroleum Corp. (a)		154,448
	5,100	Oracle Corp. (a)		294,372

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	5,200	Phillips 66 (a)		315,016
	900	Principal Financial Group, Inc. (a)		44,811
	5,700	Prudential Financial, Inc. (a)		431,034
	1,600	PulteGroup, Inc.		69,808
	19,800	Qurate Retail, Inc. – Series A		207,306
	15,445	Raytheon Technologies Corp. (a)		1,107,715
	600	Regeneron Pharmaceuticals, Inc. * (a)		309,618
	17,966	Sensata Technologies Holding Plc * (b)		877,280
	1,300	SS&C Technologies Holdings, Inc.		89,557
	13,500	Synchrony Financial		411,345
	3,300	Textron, Inc. (a)		148,830
	4,300	Tyson Foods, Inc. – Class A		280,360
	900	United Rentals, Inc. * (a)		204,282
	3,000	Universal Health Services, Inc. – Class B (b)		391,740
	21,360	US Bancorp (b)		922,966
	13,047	Verso Corp. – Class A		141,038
	9,548	VF Corp. (a)		796,303
	12,500	ViacomCBS, Inc. – Class B (a)		441,000
	8,800	Viatris, Inc. *		148,016
	1,800	VMware, Inc. – Class A * (a)		251,802
	6,800	Walgreens Boots Alliance, Inc. (a)		258,468
	30,624	Wells Fargo & Co. (b)		837,566
	11,600	Western Union Co. (The) (a)		261,696
	8,500	Western Digital Corp. (a)		381,480
		Total United States		34,713,934
		TOTAL COMMON STOCKS (COST $156,452,082)		171,710,721
		PREFERRED STOCKS (e) — 0.3%
		Brazil — 0.2%
	75,732	Bradespar SA		821,300
		Germany — 0.1%
	5,677	Bayerische Motoren Werke AG		373,009
	2,963	Draegerwerk AG & Co KGaA		232,166
	1,373	Jungheinrich AG		59,799
		Total Germany		664,974
		TOTAL PREFERRED STOCKS (COST $1,176,862)		1,486,274
		RIGHTS/WARRANTS — 0.0%
		Spain — 0.0%
	187,382	Banco Santander SA, Expires 12/03/20 *		23,403
		United Kingdom — 0.0%
	884	AVEVA Group Plc, Expires 12/09/20 *		13,204
		TOTAL RIGHTS/WARRANTS (COST $30,255)		36,607

Shares			Description	Value ($)
			MUTUAL FUNDS — 74.4%
			United States — 74.4%
			Affiliated Issuers — 74.4%
	772,320		GMO Emerging Country Debt Fund, Class IV		21,200,195
	4,018,525		GMO Emerging Markets Fund, Class VI		136,469,093
	3,152,713		GMO International Equity Fund, Class IV		70,273,976
	1,884,096		GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV		42,166,071
	609,566		GMO Opportunistic Income Fund, Class VI		15,946,249
	1,181,492		GMO Quality Fund, Class VI		31,793,944
	1,998,638		GMO U.S. Equity Fund, Class VI		26,202,141
	1,931,999		GMO U.S. Small Cap Value Fund, Class VI		39,760,543
	7,342,678		GMO U.S. Treasury Fund		37,007,096
			TOTAL MUTUAL FUNDS (COST $398,884,961)		420,819,308
			SHORT-TERM INVESTMENTS — 4.6%
			Money Market Funds — 4.6%
	26,270,217		State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (f)		26,270,217
			TOTAL SHORT-TERM INVESTMENTS (COST $26,270,217)		26,270,217
			TOTAL INVESTMENTS — 109.7% (Cost $582,814,377)		620,323,127
			SECURITIES SOLD SHORT — (8.8)%
			Common Stocks — (8.8)%
			Australia — (0.3)%
	(3,669	)	Afterpay Ltd *		(255,639	)
	(50,686	)	APA Group		(384,166	)
	(2,327	)	ASX Ltd		(131,600	)
	(867	)	Cochlear Ltd		(140,499	)
	(2,124	)	Ramsay Health Care Ltd		(98,369	)
	(61,316	)	Sydney Airport		(302,548	)
	(13,188	)	TPG Telecom Ltd *		(74,453	)
	(37,478	)	Transurban Group		(386,726	)
			Total Australia		(1,774,000	)
			Austria — (0.0)%
	(4,000	)	Verbund AG		(281,124	)
			Canada — (0.0)%
	(19,300	)	AltaGas Ltd		(277,009	)
			China — (0.1)%
	(55,800	)	BEST Inc ADR *		(163,494	)
	(4,900	)	Yum China Holdings Inc		(276,262	)
			Total China		(439,756	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares			Description	Value ($)
			France — (0.4)%
	(7,454	)	Edenred		(425,960	)
	(24,055	)	Getlink SE *		(398,644	)
	(416	)	Hermes International		(404,750	)
	(662	)	Sartorius Stedim Biotech		(238,699	)
	(2,744	)	Ubisoft Entertainment SA *		(260,207	)
	(12,398	)	Vivendi SA		(371,673	)
	(3,624	)	Wendel SA		(409,457	)
			Total France		(2,509,390	)
			Germany — (0.6)%
	(3,491	)	Delivery Hero SE *		(424,461	)
	(126	)	Deutsche Boerse AG		(20,988	)
	(4,046	)	Puma SE *		(400,930	)
	(3,515	)	QIAGEN NV *		(169,397	)
	(10,040	)	RWE AG		(415,278	)
	(861	)	Sartorius AG		(392,579	)
	(3,608	)	Scout24 AG		(274,931	)
	(537	)	TeamViewer AG *		(25,601	)
	(148,330	)	Telefonica Deutschland Holding AG		(409,431	)
	(14,850	)	thyssenkrupp AG *		(99,025	)
	(12,301	)	Uniper SE		(416,373	)
	(3,967	)	Zalando SE *		(402,958	)
			Total Germany		(3,451,952	)
			Italy — (0.2)%
	(1,817	)	Ferrari NV		(384,988	)
	(28,330	)	FinecoBank Banca Fineco SPA *		(447,266	)
	(2,794	)	Infrastrutture Wireless Italiane SPA		(35,977	)
			Total Italy		(868,231	)
			Japan — (1.3)%
	(15,900	)	Acom Co Ltd		(76,328	)
	(10,200	)	Asahi Intecc Co Ltd		(373,692	)
	(77,600	)	ENEOS Holdings Inc		(265,066	)
	(3,100	)	GMO Payment Gateway Inc		(434,741	)
	(5,200	)	Hitachi Metals Ltd		(76,045	)
	(12,500	)	Idemitsu Kosan Co Ltd		(259,151	)
	(28,100	)	Isetan Mitsukoshi Holdings Ltd		(150,819	)
	(5,400	)	Japan Airport Terminal Co Ltd		(312,785	)
	(6,200	)	Japan Exchange Group Inc		(153,385	)
	(70	)	Japan Real Estate Investment Corp		(362,590	)
	(42,100	)	JGC Holding Corp		(374,821	)
	(24,000	)	Keikyu Corp		(410,523	)
	(800	)	Kintetsu Group Holdings Co Ltd		(35,433	)
	(19,000	)	Kyushu Electric Power Co Inc		(160,090	)
	(5,300	)	LINE Corp *		(273,109	)
	(11,600	)	LIXIL Group Corp		(277,585	)
	(5,400	)	M3 Inc		(496,917	)
	(7,900	)	McDonald’s Holdings Co Japan Ltd		(383,189	)
	(4,900	)	Mercari Inc *		(223,770	)
	(5,700	)	Mitsubishi Materials Corp		(107,767	)
	(11,300	)	Mitsubishi Motors Corp *		(20,331	)
	(7,000	)	MonotaRO Co Ltd		(425,788	)

Shares			Description	Value ($)
			Japan — continued
	(4,100	)	Nihon M&A Center Inc		(286,482	)
	(4,000	)	Nippon Paint Holdings Co Ltd		(512,507	)
	(19,200	)	Nippon Yusen KK		(417,053	)
	(300	)	Nissin Foods Holdings Co Ltd		(24,760	)
	(3,700	)	Odakyu Electric Railway Co Ltd		(112,005	)
	(700	)	ORIENTAL LAND CO LTD		(118,899	)
	(23,800	)	Sharp Corp		(318,212	)
	(1,100	)	Yaskawa Electric Corp		(52,777	)
			Total Japan		(7,496,620	)
			Netherlands — (0.2)%
	(210	)	Adyen NV *		(401,132	)
	(76,814	)	Altice Europe NV *		(404,093	)
	(3,173	)	Just Eat Takeaway.com NV *		(337,677	)
			Total Netherlands		(1,142,902	)
			Norway — (0.0)%
	(980	)	Schibsted ASA – B Shares *		(35,641	)
			Peru — (0.1)%
	(5,300	)	Southern Copper Corp		(314,661	)
			Russia — (0.0)%
	(6,625	)	Magnit PJSC Sponsored GDR (Registered)		(99,549	)
			Singapore — (0.1)%
	(58,100	)	Singapore Exchange Ltd		(383,088	)
			Spain — (0.4)%
	(228,100	)	Bankia SA		(392,325	)
	(6,371	)	Cellnex Telecom SA		(403,581	)
	(13,808	)	Endesa SA		(396,877	)
	(14,487	)	Ferrovial SA		(404,555	)
	(12,948	)	Siemens Gamesa Renewable Energy SA		(464,365	)
			Total Spain		(2,061,703	)
			Sweden — (0.1)%
	(3,626	)	Evolution Gaming Group AB		(308,526	)
	(16,553	)	Lundin Energy AB		(395,459	)
			Total Sweden		(703,985	)
			Switzerland — (0.2)%
	(71	)	Partners Group Holding AG		(76,551	)
	(344	)	Straumann Holding AG (Registered)		(397,077	)
	(4,665	)	Swiss Re AG		(426,221	)
			Total Switzerland		(899,849	)
			United Kingdom — (0.6)%
	(5,530	)	Admiral Group Plc		(208,298	)
	(9,746	)	Antofagasta Plc		(160,936	)
	(50,363	)	Auto Trader Group Plc		(374,594	)
	(130,640	)	ConvaTec Group Plc		(359,342	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2020 (Unaudited)

Shares			Description	Value ($)
			United Kingdom — continued
	(8,168	)	Experian Plc		(289,391	)
	(30,416	)	GVC Holdings Plc *		(417,939	)
	(4,488	)	Halma Plc		(132,057	)
	(19,439	)	Hargreaves Lansdown Plc		(368,169	)
	(53,929	)	Informa Plc *		(377,762	)
	(3,650	)	Land Securities Group Plc (REIT)		(31,921	)
	(3,528	)	London Stock Exchange Group Plc		(380,500	)
	(12,273	)	Ocado Group Plc *		(360,841	)
	(4,572	)	Prudential Plc		(70,307	)
	(776	)	Spirax-Sarco Engineering Plc		(114,309	)
			Total United Kingdom		(3,646,366	)
			United States — (4.2)%
	(3,600	)	Advanced Micro Devices, Inc. *		(333,576	)
	(6,300	)	AES Corp. (The)		(128,772	)
	(100	)	Align Technology, Inc. *		(48,129	)
	(1,700	)	American Tower Corp. (REIT)		(393,040	)
	(35,700	)	Apache Corp.		(460,173	)
	(1,900	)	Arthur J Gallagher & Co.		(219,279	)
	(1,400	)	Autodesk, Inc. *		(392,322	)
	(1,900	)	Avalara, Inc. *		(326,325	)
	(1,400	)	Ball Corp.		(134,414	)
	(1,200	)	Black Knight, Inc. *		(109,944	)
	(7,300	)	Blackstone Group , Inc. (The) – Class A		(434,715	)
	(1,400	)	Burlington Stores, Inc. *		(305,956	)
	(400	)	Catalent, Inc. *		(38,456	)
	(7,900	)	Cheniere Energy, Inc. *		(447,851	)
	(300	)	Chipotle Mexican Grill, Inc. *		(386,829	)
	(2,900	)	Cognex Corp.		(217,906	)
	(200	)	CoStar Group, Inc. *		(182,114	)
	(1,100	)	Coupa Software, Inc. *		(361,801	)
	(2,300	)	Crowdstrike Holdings, Inc. – Class A *		(352,544	)
	(3,200	)	Datadog, Inc. – Class A *		(316,544	)
	(1,100	)	DexCom, Inc. *		(351,648	)
	(1,900	)	Digital Realty Trust, Inc. (REIT)		(256,025	)
	(1,900	)	DocuSign, Inc. *		(432,972	)
	(69,600	)	Endo International Plc *		(353,568	)
	(1,700	)	Equifax, Inc.		(283,730	)
	(500	)	Equinix, Inc. (REIT)		(348,895	)
	(6,300	)	Equity LifeStyle Properties, Inc. (REIT)		(369,117	)
	(200	)	Erie Indemnity Co. – Class A		(45,122	)
	(3,200	)	Exact Sciences Corp. *		(387,392	)
	(600	)	Extra Space Storage, Inc. (REIT)		(67,638	)
	(1,000	)	Fastenal Co.		(49,450	)
	(3,700	)	Guidewire Software, Inc. *		(453,176	)
	(600	)	Hologic, Inc. *		(41,478	)
	(600	)	IDEXX Laboratories, Inc. *		(276,588	)
	(3,100	)	IHS Markit Ltd.		(308,326	)
	(4,200	)	Ingersoll Rand, Inc. *		(185,934	)
	(1,600	)	Insulet Corp. *		(412,336	)
	(2,000	)	IQVIA Holdings, Inc. *		(337,980	)
	(4,900	)	Lamb Weston Holdings, Inc.		(354,662	)
	(1,100	)	Liberty Broadband Corp. – Class A *		(172,447	)
	(1,500	)	Liberty Broadband Corp. – Class C *		(236,025	)

Shares			Description	Value ($)
			United States — continued
	(9,700	)	Liberty Media Corp-Liberty Formula One – Class C *		(405,266	)
	(5,700	)	Live Nation Entertainment, Inc. *		(374,205	)
	(200	)	Lululemon Athletica, Inc. *		(74,044	)
	(800	)	MarketAxess Holdings, Inc.		(431,344	)
	(1,500	)	MongoDB, Inc. *		(430,965	)
	(1,000	)	MSCI, Inc.		(409,420	)
	(2,200	)	NIKE Inc. – Class B		(296,340	)
	(7,600	)	Nuance Communications, Inc. *		(327,788	)
	(1,900	)	Okta, Inc. *		(465,576	)
	(800	)	Paycom Software, Inc. *		(333,664	)
	(1,800	)	Pinterest, Inc. – Class A *		(126,036	)
	(1,200	)	Public Storage (REIT)		(269,352	)
	(1,400	)	RingCentral, Inc. – Class A *		(415,870	)
	(400	)	Rockwell Automation, Inc.		(102,224	)
	(1,400	)	Roku, Inc. *		(410,998	)
	(4,600	)	Rollins, Inc.		(263,028	)
	(800	)	ServiceNow, Inc. *		(427,640	)
	(10,500	)	Slack Technologies Inc. – Class A *		(450,240	)
	(10,800	)	Snap, Inc. – Class A *		(479,736	)
	(33,700	)	Southwestern Energy Co. *		(104,807	)
	(1,900	)	Splunk, Inc. *		(387,942	)
	(1,500	)	Square, Inc. – Class A *		(316,440	)
	(3,000	)	Starbucks Corp.		(294,060	)
	(800	)	Sun Communities, Inc. (REIT)		(111,200	)
	(800	)	Sunrun, Inc. *		(51,264	)
	(18,400	)	Targa Resources Corp.		(432,400	)
	(1,600	)	Teladoc Health, Inc. *		(318,032	)
	(1,100	)	Tesla, Inc. *		(624,360	)
	(1,400	)	Twilio, Inc. – Class A *		(448,126	)
	(10,100	)	UDR, Inc. (REIT)		(388,547	)
	(1,100	)	Vail Resorts, Inc.		(303,424	)
	(400	)	West Pharmaceutical Services, Inc.		(110,064	)
	(13,900	)	Williams Cos, Inc. (The)		(291,622	)
	(300	)	Workday, Inc. – Class A *		(67,437	)
	(4,300	)	Wynn Resorts Ltd.		(432,150	)
	(3,900	)	Zillow Group, Inc. – Class C *		(420,459	)
	(700	)	Zoom Video Communications, Inc.– Class A *		(334,852	)
	(1,900	)	Zscaler, Inc. *		(295,925	)
			Total United States		(23,542,046	)
			TOTAL COMMON STOCKS (PROCEEDS $46,441,981)		(49,927,872	)
			RIGHTS/WARRANTS — (0.0)%
			Spain — (0.0)%
	(10,282	)	Ferrovial SA, Expires 11/23/20 *		(2,930	)
			TOTAL RIGHTS/WARRANTS (PROCEEDS $2,407)		(2,930	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $46,444,388)		(49,930,802	)
			Other Assets and Liabilities (net) — (0.9%)		(5,046,665	)
			TOTAL NET ASSETS — 100.0%		$565,345,660

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

A summary of outstanding financial instruments at November 30, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/19/2021	BOA	JPY	1,484,774,767		USD	14,144,857		(91,508	)
01/19/2021	DB	JPY	810,408,933		USD	7,712,067		(58,322	)
02/24/2021	GS	JPY	1,904,385,700		USD	18,346,383		78,755
01/19/2021	BOA	USD	3,782,608		JPY	396,794,800		21,953
01/19/2021	CITI	USD	852,937		JPY	89,059,800		989
							$	(48,133	)

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.

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
214	TOPIX Index	December 2020	$	35,928,269	$	(2,921,080	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.75%	GS	USD	226,674		05/24/2022	Monthly		—		2,772			2,772
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.75%	GS	USD	49,208		05/24/2022	Monthly		—		1,807			1,807
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.50%	GS	USD	128,879		05/24/2022	Monthly		—		14,277			14,277
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.75%	GS	USD	36,070		05/24/2022	Monthly		—		(616	)		(616	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.50%	GS	USD	10,595		05/24/2022	Monthly		—		204			204
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.75%	GS	USD	19,486		05/24/2022	Monthly		—		104			104
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	80,766		10/18/2022	Monthly		—		4,374			4,374
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	4,184,111		10/18/2022	Monthly		—		(87,834	)		(87,834	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.50%	MORD	USD	18,979		10/18/2022	Monthly		—		2			2
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	74,150		10/18/2022	Monthly		—		(94	)		(94	)
								$	—	$	(65,004	)	$	(65,004	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2020 (Unaudited)

As of November 30, 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) 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) Investment valued using significant unobservable inputs.

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

(f) The rate disclosed is the 7 day net yield as of November 30, 2020.

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

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

Counterparty Abbreviations:

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

JPY - Japanese Yen

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 November 30, 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 November 30, 2020:

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	3,997,952	$	—	$	3,997,952
Belgium		—		160,542		—		160,542
Canada		772,295		—		—		772,295
China		123,668		1,492,985		—		1,616,653
Denmark		—		457,591		—		457,591
Finland		—		104,333		—		104,333
France		—		846,735		—		846,735
Germany		—		495,800		—		495,800
Hong Kong		—		678,890		—		678,890
Israel		161,670		—		—		161,670
Italy		—		479,963		—		479,963
Japan		—		5,640,291		—		5,640,291
Netherlands		132,336		595,503		—		727,839
New Zealand		—		147,413		—		147,413
Singapore		—		28,982		—		28,982
South Africa		—		191,063		—		191,063
Spain		—		281,448		—		281,448
Sweden		—		156,827		—		156,827
Switzerland		—		266,408		—		266,408
United Kingdom		10,997,305		2,538,119		—		13,535,424
United States		117,655,311		—		—		117,655,311
TOTAL COMMON STOCKS		129,842,585		18,560,845		—		148,403,430
Preferred Stocks
Germany		—		167,417		—		167,417
TOTAL PREFERRED STOCKS		—		167,417		—		167,417
Rights/Warrants
Spain		10,540		—		—		10,540
United States		343,734		—		—		343,734
TOTAL RIGHTS/WARRANTS		354,274		—		—		354,274
Investment Funds
United States		—		—		8,454,240		8,454,240
TOTAL INVESTMENT FUNDS		—		—		8,454,240		8,454,240
Debt Obligations
United States		190,994,154		56,026,937		—		247,021,091
United States Virgin Islands		—		3,919,552		—		3,919,552
TOTAL DEBT OBLIGATIONS		190,994,154		59,946,489		—		250,940,643
Mutual Funds
United States		36,254,125		—		—		36,254,125
TOTAL MUTUAL FUNDS		36,254,125		—		—		36,254,125
Purchased Options		212,440		154,187		—		366,627
Short-Term Investments		699,258		154,242		—		853,500
Total Investments		358,356,836		78,983,180		8,454,240		445,794,256
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		6,271,948		—		6,271,948
Futures Contracts
Equity Risk		1,859,780		6,712		—		1,866,492
Interest Rate Risk		74,221		—		—		74,221

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Swap Contracts
Credit Risk	$	—		$	634,688		$	—	$	634,688
Equity Risk		—			12,196			—		12,196
Interest Rate Risk		—			2,002,476			—		2,002,476
Physical Commodity Contract Risk		—			527,556			—		527,556
Total	$	360,290,837		$	88,438,756		$	8,454,240	$	457,183,833
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(669,258	)	$	—	$	(669,258	)
Austria		—			(121,797	)		—		(121,797	)
Canada		(119,128	)		—			—		(119,128	)
China		(189,304	)		—			—		(189,304	)
France		—			(1,010,984	)		—		(1,010,984	)
Germany		—			(1,355,767	)		—		(1,355,767	)
Italy		—			(330,257	)		—		(330,257	)
Japan		—			(2,993,871	)		—		(2,993,871	)
Netherlands		—			(5,067,106	)		—		(5,067,106	)
Norway		—			(15,566	)		—		(15,566	)
Peru		(136,551	)		—			—		(136,551	)
Singapore		—			(166,159	)		—		(166,159	)
Spain		—			(811,741	)		—		(811,741	)
Sweden		—			(244,423	)		—		(244,423	)
Switzerland		—			(306,178	)		—		(306,178	)
United Kingdom		(10,896,378	)		(1,515,533	)		—		(12,411,911	)
United States		(93,756,157	)		—			—		(93,756,157	)
TOTAL COMMON STOCKS		(105,097,518	)		(14,608,640	)		—		(119,706,158	)
Rights/Warrants
Spain		(1,960	)		—			—		(1,960	)
TOTAL RIGHTS/WARRANTS		(1,960	)		—			—		(1,960	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(4,508,531	)		—		(4,508,531	)
Futures Contracts
Equity Risk		(1,074,845	)		(333,665	)		—		(1,408,510	)
Interest Rate Risk		(2,404	)		—			—		(2,404	)
Written Options
Credit Risk		—			(59,427	)		—		(59,427	)
Equity Risk		(732,480	)		(17,874	)		—		(750,354	)
Swap Contracts
Credit Risk		—			(621,275	)		—		(621,275	)
Equity Risk		—			(32,829	)		—		(32,829	)
Interest Rate Risk		—			(3,922,121	)		—		(3,922,121	)
Total	$	(106,909,207	)	$	(24,104,362	)	$	—	$	(131,013,569	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	6,654,086,010		$	—		$	—	$	6,654,086,010
Short-Term Investments		3,796,402			—			—		3,796,402
Total Investments		6,657,882,412			—			—		6,657,882,412
Total	$	6,657,882,412		$	—		$	—	$	6,657,882,412
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,036,764		$	—		$	—	$	1,036,764
Australia		—			20,821,966			—		20,821,966
Austria		—			115,982			—		115,982
Belgium		—			5,627,791			—		5,627,791
Brazil		—			16,257,352			—		16,257,352
Canada		24,450,615			—			—		24,450,615
Chile		19,602			217,573			—		237,175

Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
China	$	33,747,917	$	228,670,258	$	11,056	$	262,429,231
Cyprus		240,240		—		—		240,240
Czech Republic		—		101,665		—		101,665
Denmark		—		4,621,894		—		4,621,894
Egypt		—		12,077		—		12,077
Finland		—		4,263,915		—		4,263,915
France		681,861		30,873,543		—		31,555,404
Germany		—		24,755,111		—		24,755,111
Greece		—		387,179		—		387,179
Hong Kong		—		16,183,401		—		16,183,401
Hungary		—		1,191,457		—		1,191,457
India		4,200,921		33,969,101		—		38,170,022
Indonesia		—		8,047,623		—		8,047,623
Ireland		761,450		6,556,761		—		7,318,211
Israel		1,368,489		303,078		—		1,671,567
Italy		—		18,921,619		—		18,921,619
Japan		—		186,840,820		—		186,840,820
Kuwait		—		1,941,095		—		1,941,095
Malaysia		—		1,450,736		—		1,450,736
Mexico		23,513,233		—		—		23,513,233
Netherlands		1,433,640		23,930,633		—		25,364,273
New Zealand		—		1,590,670		—		1,590,670
Norway		—		10,111,811		—		10,111,811
Pakistan		—		841,905		—		841,905
Philippines		—		990,974		—		990,974
Poland		—		7,902,952		—		7,902,952
Portugal		—		9,725,168		—		9,725,168
Qatar		—		1,012,931		—		1,012,931
Russia		1,193,177		65,059,769		—		66,252,946
Saudi Arabia		—		167,365		—		167,365
Singapore		—		14,283,628		—		14,283,628
South Africa		718,716		35,478,315		—		36,197,031
South Korea		2,337,771		55,006,742		—		57,344,513
Spain		—		24,450,953		—		24,450,953
Sweden		—		6,674,110		—		6,674,110
Switzerland		—		9,798,614		—		9,798,614
Taiwan		2,297,919		93,822,391		—		96,120,310
Thailand		—		3,146,784		—		3,146,784
Turkey		—		17,503,478		—		17,503,478
United Arab Emirates		—		3,025,449		—		3,025,449
United Kingdom		2,299,637		70,248,992		14,550		72,563,179
United States		256,280,909		—		—		256,280,909
Vietnam		—		228,041		—		228,041
TOTAL COMMON STOCKS		356,582,861		1,067,133,672		25,606		1,423,742,139
Preferred Stocks
Brazil		—		6,349,873		—		6,349,873
Chile		47,070		—		—		47,070
Colombia		145,878		—		—		145,878
Germany		—		3,234,389		—		3,234,389
Russia		—		6,096,702		—		6,096,702
South Korea		—		10,494,416		—		10,494,416
Taiwan		—		93,498		—		93,498
TOTAL PREFERRED STOCKS		192,948		26,268,878		—		26,461,826
Rights/Warrants
Pakistan		—		—		2,490		2,490
Spain		124,583		—		—		124,583
United Kingdom		153,446		—		—		153,446
TOTAL RIGHTS/WARRANTS		278,029		—		2,490		280,519

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Investment Funds
United States	$	5,319,999		$	—		$	—	$	5,319,999
TOTAL INVESTMENT FUNDS		5,319,999			—			—		5,319,999
Debt Obligations
United States		351,484,753			2,979,558			—		354,464,311
TOTAL DEBT OBLIGATIONS		351,484,753			2,979,558			—		354,464,311
Mutual Funds
United States		478,110,383			—			—		478,110,383
TOTAL MUTUAL FUNDS		478,110,383			—			—		478,110,383
Short-Term Investments		22,813,777			—			—		22,813,777
Total Investments		1,214,782,750			1,096,382,108			28,096		2,311,192,954
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			3,782,353			—		3,782,353
Futures Contracts
Equity Risk		456,630			96,665			—		553,295
Swap Contracts
Equity Risk		—			98,631			—		98,631
Interest Rate Risk		—			838,347			—		838,347
Total	$	1,215,239,380		$	1,101,198,104		$	28,096	$	2,316,465,580
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(6,730,771	)	$	—	$	(6,730,771	)
Austria		—			(1,068,695	)		—		(1,068,695	)
Canada		(1,052,061	)		—			—		(1,052,061	)
China		(1,680,811	)		—			—		(1,680,811	)
France		—			(9,585,899	)		—		(9,585,899	)
Germany		—			(13,046,718	)		—		(13,046,718	)
Italy		—			(3,353,565	)		—		(3,353,565	)
Japan		—			(28,539,652	)		—		(28,539,652	)
Netherlands		—			(4,343,667	)		—		(4,343,667	)
Norway		—			(135,619	)		—		(135,619	)
Peru		(1,175,526	)		—			—		(1,175,526	)
Russia		—			(404,824	)		—		(404,824	)
Singapore		—			(1,457,186	)		—		(1,457,186	)
Spain		—			(7,833,915	)		—		(7,833,915	)
Sweden		—			(2,672,985	)		—		(2,672,985	)
Switzerland		—			(3,496,669	)		—		(3,496,669	)
United Kingdom		—			(13,914,038	)		—		(13,914,038	)
United States		(89,411,078	)		—			—		(89,411,078	)
TOTAL COMMON STOCKS		(93,319,476	)		(96,584,203	)		—		(189,903,679	)
Rights/Warrants
Spain		(11,914	)		—			—		(11,914	)
TOTAL RIGHTS/WARRANTS		(11,914	)		—			—		(11,914	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(6,867,685	)		—		(6,867,685	)
Futures Contracts
Equity Risk		(45,699,882	)		(26,890,248	)		—		(72,590,130	)
Swap Contracts
Equity Risk		—			(342,587	)		—		(342,587	)
Interest Rate Risk		—			(1,662,679	)		—		(1,662,679	)
Total	$	(139,031,272	)	$	(132,347,402	)	$	—	$	(271,378,674	)

Description	Level 1			Level 2			Level 3		Total
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	927,463,720		$	—		$	—	$	927,463,720
Debt Obligations
Asset-Backed Securities		—			25,582			—		25,582
TOTAL DEBT OBLIGATIONS		—			25,582			—		25,582
Short-Term Investments		285,577			—			—		285,577
Total Investments		927,749,297			25,582			—		927,774,879
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			89,477			—		89,477
Total	$	927,749,297		$	115,059		$	—	$	927,864,356
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(1,593,404	)	$	(2,682,310	)	$	—	$	(4,275,714	)
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	79,027,675		$	—		$	—	$	79,027,675
Short-Term Investments		58,155			—			—		58,155
Total Investments		79,085,830			—			—		79,085,830
Total	$	79,085,830		$	—		$	—	$	79,085,830
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,588,165,896		$	—		$	—	$	1,588,165,896
Short-Term Investments		539,758			—			—		539,758
Total Investments		1,588,705,654			—			—		1,588,705,654
Total	$	1,588,705,654		$	—		$	—	$	1,588,705,654
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	4,359,825		$	—		$	—	$	4,359,825
Australia		—			62,810,983			—		62,810,983
Austria		—			213,714			—		213,714
Belgium		—			14,808,097			—		14,808,097
Brazil		—			44,325,610			—		44,325,610
Canada		63,796,482			—			—		63,796,482
Chile		2,095,236			836,899			—		2,932,135
China		114,416,819			679,969,765			38,237		794,424,821
Cyprus		1,075,867			—			—		1,075,867
Czech Republic		—			663,393			—		663,393
Denmark		—			11,936,764			—		11,936,764
Egypt		—			92,241			—		92,241
Finland		—			11,726,723			—		11,726,723
France		301,340			81,151,713			—		81,453,053
Germany		—			64,027,104			—		64,027,104
Greece		—			1,164,351			—		1,164,351
Hong Kong		—			40,559,759			—		40,559,759
Hungary		—			3,918,794			—		3,918,794
India		12,948,160			103,765,626			—		116,713,786
Indonesia		—			32,455,229			—		32,455,229
Ireland		2,044,925			16,571,933			—		18,616,858
Israel		3,576,711			371,521			—		3,948,232
Italy		—			51,155,892			—		51,155,892
Japan		—			503,673,661			—		503,673,661
Kuwait		—			8,611,236			—		8,611,236
Malaysia		—			4,672,840			—		4,672,840
Mexico		69,961,348			—			—		69,961,348

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Netherlands	$	3,742,168	$	61,290,793	$	879	$	65,033,840
New Zealand		—		4,191,388		—		4,191,388
Norway		—		23,232,074		—		23,232,074
Pakistan		—		4,919,174		—		4,919,174
Philippines		—		5,176,854		—		5,176,854
Poland		—		25,752,669		—		25,752,669
Portugal		—		23,986,799		—		23,986,799
Qatar		—		8,200,574		—		8,200,574
Russia		1,803,972		221,412,278		—		223,216,250
Saudi Arabia		—		1,080,367		—		1,080,367
Singapore		—		43,065,961		—		43,065,961
South Africa		3,984,728		102,839,653		—		106,824,381
South Korea		6,945,818		153,265,057		—		160,210,875
Spain		—		62,101,235		—		62,101,235
Sweden		—		19,589,130		—		19,589,130
Switzerland		—		24,495,494		—		24,495,494
Taiwan		18,681,201		330,108,625		—		348,789,826
Thailand		—		6,262,241		—		6,262,241
Turkey		—		45,576,883		—		45,576,883
United Arab Emirates		—		7,500,780		—		7,500,780
United Kingdom		36,852,285		183,789,047		—		220,641,332
United States		1,005,108,250		—		14,113,742		1,019,221,992
Vietnam		—		1,610,475		—		1,610,475
TOTAL COMMON STOCKS		1,351,695,135		3,098,931,399		14,152,858		4,464,779,392
Preferred Stocks
Brazil		—		18,002,005		—		18,002,005
Colombia		712,047		—		—		712,047
Germany		—		8,455,468		—		8,455,468
Russia		—		24,272,469		—		24,272,469
South Korea		—		31,189,107		—		31,189,107
Taiwan		—		828,616		—		828,616
United States		—		—		479,066		479,066
TOTAL PREFERRED STOCKS		712,047		82,747,665		479,066		83,938,778
Rights/Warrants
Pakistan		—		—		18,530		18,530
Spain		328,511		—		—		328,511
United Kingdom		402,154		—		—		402,154
United States		861,636		—		430,926		1,292,562
TOTAL RIGHTS/WARRANTS		1,592,301		—		449,456		2,041,757
Investment Funds
United States		24,823,811		—		22,262,400		47,086,211
TOTAL INVESTMENT FUNDS		24,823,811		—		22,262,400		47,086,211
Debt Obligations
Brazil		—		9,536,800		—		9,536,800
Israel		—		7,915,622		—		7,915,622
Jamaica		—		5,386,216		4,850,266		10,236,482
Netherlands		—		—		10,507,230		10,507,230
Puerto Rico		—		13,078,614		—		13,078,614
United States		1,022,637,448		183,142,642		47,661,527		1,253,441,617
TOTAL DEBT OBLIGATIONS		1,022,637,448		219,059,894		63,019,023		1,304,716,365
Mutual Funds
United States		20,383,922		—		—		20,383,922
TOTAL MUTUAL FUNDS		20,383,922		—		—		20,383,922
Purchased Options		566,500		—		—		566,500
Short-Term Investments		118,191,277		117,059,454		—		235,250,731
Total Investments		2,540,602,441		3,517,798,412		100,362,803		6,158,763,656

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	21,639,982		$	—	$	21,639,982
Futures Contracts
Equity Risk		11,757,115			272,338			—		12,029,453
Interest Rate Risk		222,269			—			—		222,269
Physical Commodity Contract Risk		1,183,955			—			—		1,183,955
Swap Contracts
Equity Risk		—			257,305			—		257,305
Interest Rate Risk		—			4,856,725			—		4,856,725
Total	$	2,553,765,780		$	3,544,824,762		$	100,362,803	$	6,198,953,345
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(17,489,410	)	$	—	$	(17,489,410	)
Austria		—			(2,788,614	)		—		(2,788,614	)
Canada		(3,359,822	)		—			—		(3,359,822	)
China		(4,393,893	)		—			—		(4,393,893	)
France		—			(24,973,363	)		—		(24,973,363	)
Germany		—			(33,819,990	)		—		(33,819,990	)
Italy		—			(8,749,490	)		—		(8,749,490	)
Japan		—			(74,384,917	)		—		(74,384,917	)
Netherlands		—			(22,789,847	)		—		(22,789,847	)
Norway		—			(353,868	)		—		(353,868	)
Peru		(3,069,429	)		—			—		(3,069,429	)
Russia		—			(1,042,256	)		—		(1,042,256	)
Singapore		—			(3,802,529	)		—		(3,802,529	)
Spain		—			(20,420,492	)		—		(20,420,492	)
Sweden		—			(6,956,405	)		—		(6,956,405	)
Switzerland		—			(8,978,150	)		—		(8,978,150	)
United Kingdom		(28,965,822	)		(36,260,258	)		—		(65,226,080	)
United States		(458,320,948	)		—			—		(458,320,948	)
TOTAL COMMON STOCKS		(498,109,914	)		(262,809,589	)		—		(760,919,503	)
Rights/Warrants
Spain		(30,677	)		—			—		(30,677	)
TOTAL RIGHTS/WARRANTS		(30,677	)		—			—		(30,677	)
Debt Obligations
United States		—			(3,121,859	)		—		(3,121,859	)
TOTAL DEBT OBLIGATIONS		—			(3,121,859	)		—		(3,121,859	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(27,469,270	)		—		(27,469,270	)
Futures Contracts
Equity Risk		(119,569,898	)		(71,824,595	)		—		(191,394,493	)
Interest Rate Risk		(7,134	)		—			—		(7,134	)
Physical Commodity Contract Risk		(4,661,087	)		—			—		(4,661,087	)
Written Options
Equity Risk		(1,505,000	)		—			—		(1,505,000	)
Swap Contracts
Credit Risk		—			(686,320	)		—		(686,320	)
Equity Risk		—			(913,736	)		—		(913,736	)
Interest Rate Risk		—			(9,715,755	)		—		(9,715,755	)
Total	$	(623,883,710	)	$	(376,541,124	)	$	—	$	(1,000,424,834	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	209,902,364		$	—		$	—	$	209,902,364
Short-Term Investments		92,137			—			—		92,137
Total Investments		209,994,501			—			—		209,994,501
Total	$	209,994,501		$	—		$	—	$	209,994,501

Description	Level 1			Level 2			Level 3		Total
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	802,125,907		$	—		$	—	$	802,125,907
Short-Term Investments		175,252			—			—		175,252
Total Investments		802,301,159			—			—		802,301,159
Total	$	802,301,159		$	—		$	—	$	802,301,159
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	328,188,547		$	—		$	—	$	328,188,547
TOTAL DEBT OBLIGATIONS		328,188,547			—			—		328,188,547
Short-Term Investments		9,764,293			624,931			—		10,389,224
Total Investments		337,952,840			624,931			—		338,577,771
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,929,770			—		1,929,770
Futures Contracts
Equity Risk		5,959,113			15,699			—		5,974,812
Interest Rate Risk		164,265			—			—		164,265
Physical Commodity Contract Risk		789,173			—			—		789,173
Total	$	344,865,391		$	2,570,400		$	—	$	347,435,791
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(581,860	)	$	—	$	(581,860	)
Futures Contracts
Equity Risk		(1,122,082	)		(810,040	)		—		(1,932,122	)
Interest Rate Risk		(6,148	)		—			—		(6,148	)
Physical Commodity Contract Risk		(3,087,658	)		—			—		(3,087,658	)
Total	$	(4,215,888	)	$	(1,391,900	)	$	—	$	(5,607,788	)
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Germany	$	—		$	3,459,546		$	—	$	3,459,546
Israel		9,706,340			—			—		9,706,340
New Zealand		—			12,602,858			—		12,602,858
United Kingdom		6,521,600			8,223,485			—		14,745,085
United States		172,615,620			—			—		172,615,620
TOTAL COMMON STOCKS		188,843,560			24,285,889			—		213,129,449
Short-Term Investments		12,795,746			10			—		12,795,756
Total Investments		201,639,306			24,285,899			—		225,925,205
Total	$	201,639,306		$	24,285,899		$	—	$	225,925,205
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	4,514,893		$	—	$	4,514,893
Austria		—			26,534			—		26,534
Belgium		—			1,366,900			—		1,366,900
Canada		5,119,390			—			—		5,119,390
China		237,828			3,348,219			—		3,586,047
Denmark		—			1,227,700			—		1,227,700
Finland		—			1,449,492			—		1,449,492
France		—			6,633,666			—		6,633,666

Description	Level 1			Level 2			Level 3			Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Germany	$	—		$	6,044,937		$	—		$	6,044,937
Greece		—			72,347			—			72,347
Hong Kong		—			3,402,855			—			3,402,855
India		—			1,255,745			—			1,255,745
Indonesia		—			51,083			—			51,083
Ireland		—			1,633,540			—			1,633,540
Israel		359,478			38,850			—			398,328
Italy		—			4,590,586			—			4,590,586
Japan		—			57,226,857			—			57,226,857
Malta		—			—			0	§		0	§
Mexico		1,499,379			—			—			1,499,379
Netherlands		371,276			4,924,306			—			5,295,582
New Zealand		—			408,293			—			408,293
Norway		—			2,375,925			—			2,375,925
Portugal		—			1,398,815			—			1,398,815
Russia		—			1,090,568			—			1,090,568
Singapore		—			2,239,720			—			2,239,720
South Africa		—			398,097			—			398,097
South Korea		—			64,940			—			64,940
Spain		—			5,135,636			—			5,135,636
Sweden		—			716,027			—			716,027
Switzerland		—			749,556			—			749,556
Taiwan		—			482,891			—			482,891
United Kingdom		—			16,537,039			3,419			16,540,458
United States		34,713,934			—			—			34,713,934
TOTAL COMMON STOCKS		42,301,285			129,406,017			3,419			171,710,721
Preferred Stocks
Brazil		—			821,300			—			821,300
Germany		—			664,974			—			664,974
TOTAL PREFERRED STOCKS		—			1,486,274			—			1,486,274
Rights/Warrants
Spain		23,403			—			—			23,403
United Kingdom		13,204			—			—			13,204
TOTAL RIGHTS/WARRANTS		36,607			—			—			36,607
Mutual Funds
United States		420,819,308			—			—			420,819,308
TOTAL MUTUAL FUNDS		420,819,308			—			—			420,819,308
Short-Term Investments		26,270,217			—			—			26,270,217
Total Investments		489,427,417			130,892,291			3,419			620,323,127
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			101,697			—			101,697
Swap Contracts
Equity Risk		—			23,540			—			23,540
Total	$	489,427,417		$	131,017,528		$	3,419		$	620,448,364
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,774,000	)	$	—		$	(1,774,000	)
Austria		—			(281,124	)		—			(281,124	)
Canada		(277,009	)		—			—			(277,009	)
China		(439,756	)		—			—			(439,756	)
France		—			(2,509,390	)		—			(2,509,390	)
Germany		—			(3,451,952	)		—			(3,451,952	)
Italy		—			(868,231	)		—			(868,231	)
Japan		—			(7,496,620	)		—			(7,496,620	)
Netherlands		—			(1,142,902	)		—			(1,142,902	)
Norway		—			(35,641	)		—			(35,641	)

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Peru	$	(314,661	)	$	—		$	—	$	(314,661	)
Russia		—			(99,549	)		—		(99,549	)
Singapore		—			(383,088	)		—		(383,088	)
Spain		—			(2,061,703	)		—		(2,061,703	)
Sweden		—			(703,985	)		—		(703,985	)
Switzerland		—			(899,849	)		—		(899,849	)
United Kingdom		—			(3,646,366	)		—		(3,646,366	)
United States		(23,542,046	)		—			—		(23,542,046	)
TOTAL COMMON STOCKS		(24,573,472	)		(25,354,400	)		—		(49,927,872	)
Rights/Warrants
Spain		(2,930	)		—			—		(2,930	)
TOTAL RIGHTS/WARRANTS		(2,930	)		—			—		(2,930	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(149,830	)		—		(149,830	)
Futures Contracts
Equity Risk		—			(2,921,080	)		—		(2,921,080	)
Swap Contracts
Equity Risk		—			(88,544	)		—		(88,544	)
Total	$	(24,576,402	)	$	(28,513,854	)	$	—	$	(53,090,256	)

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 November 30, 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). Implementation Fund’s Level 3 holdings also includes two common stocks which are priced at the average of broker bids and a common stock priced with a 2,000 basis point discount to a comparable stock and an additional 1,000 basis point discount for liquidity considerations. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 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 November 30, 2020		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2020
Consolidated Alternative Allocation Fund
Investment Funds
United States	$	2,667,600	$	9,620,271	$	(4,424,896	)	$	—	$	—	$	591,265	$	—	$	—	$	8,454,240	$	591,265
Total Investments	$	2,667,600	$	9,620,271	$	(4,424,896	)	$	—	$	—	$	591,265	$	—	$	—	$	8,454,240	$	591,265

	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 November 30, 2020		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2020
Consolidated Implementation Fund
Common Stocks
China	$	—	$	—	$	—		$	—		$	—		$	—		$	38,237	‡	$	—	$	38,237	$	—
Netherlands		—		867		—			—			—			12			—			—		879		12
United States		9,521,813		5,041,256		(302,137	)		—			—			(147,190	)		—			—		14,113,742		(147,190	)
Preferred Stocks
United States		—		110,130		—			—			—			368,936			—			—		479,066		368,936
Rights/Warrants
Pakistan		—		—		—			—			—			18,530			—			—		18,530		18,530
United States		430,926		—		—			—			—			—			—			—		430,926		—
Investment Funds
United States		29,566,080		7,679,409		(16,120,764	)		—			1,495,949			(358,274	)		—			—		22,262,400		(358,274	)
Debt Obligations
Bank Loans
Luxembourg		7,763,747		—		(6,906,643	)		43,520			(2,263,375	)		1,362,751			—			—		—		—
Jamaica		1,925,000		2,790,550		(33,948	)		96,554			—			72,110			—			—		4,850,266		72,110
United States		67,533,991		38,255,972		(51,647,123	)		(952,365	)		(18,584,745	)		7,268,034			5,787,763	‡		—		47,661,527		173,041
Corporate Debt
Netherlands		—		12,326,783		(1,364,354	)		23,346			18,426			(496,971	)		—			—		10,507,230		(496,971	)
Total Investments	$	116,741,557	$	66,204,967	$	(76,374,969	)#		(788,945)		$	(19,333,745	)	$	8,087,938		$	5,826,000		$	—	$	100,362,803	$	(369,806	)

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

# Includes $12,238,178 of proceeds received from partial calls and/or principal paydowns as applicable.

Some Funds have 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 November 30, 2020.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology		Unobservable Inputs		Range (Weighted Average)
Consolidated Alternative Allocation Fund
N/A		—		N/A		N/A		N/A
Consolidated Implementation Fund
Common Stock		3,324,152		Fair Value		Discount Rate		30% (N/A)
Common Stock		2,142,778		Fair Value		Most Relevant Broker Quote		$3.5-$5.417 ($4.02)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of November 30, 2020, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund and Consolidated Implementation Fund was $8,454,240 and $94,895,873, 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. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 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	$	9,450,000	$	4,855,000	$	114,884		$	—	$	52,583		$	2,371,275		$	20,614,557
GMO International Equity Fund, Class IV		9,097,096		6,110,000		15,842,055		40,733			—		(267,945	)		902,904			—
GMO Resources Fund, Class IV		6,568,271		5,483,583		1,300,000		4,007			—		(124,773	)		5,012,487			15,639,568
GMO U.S. Treasury Fund		—		3,000,000		3,000,000		346			—		—			—			—
Totals	$	29,261,066	$	24,043,583	$	24,997,055	$	159,970		$	—	$	(340,135	)	$	8,286,666		$	36,254,125
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	264,983,913	$	6,689,062	$	60,499,003	$	3,773,746		$	2,915,316	$	651,844		$	(1,813,092	)	$	210,012,724
GMO High Yield Fund, Class VI		110,184,438		670,111		34,400,000		608,301			61,810		(532,087	)		3,200,507			79,122,969
GMO Implementation Fund		7,114,226,325		615,325,717		1,826,526,463		15,205,271			—		(75,656,995	)		(164,658,218	)		5,662,710,366
GMO Opportunistic Income Fund, Class VI		446,590,600		3,984,656		112,388,843		3,984,656			—		3,939,243			(5,950,929	)		336,174,727
GMO SGM Major Markets Fund, Class VI		664,643,917		207,992		503,632,844		207,991			—		(43,213,564	)		66,645,357			184,650,858
GMO Special Opportunities Fund, Class VI		195,830,895		128,540,064		272,711,511		—			78,540,064		45,100,795			84,654,123			181,414,366
Totals	$	8,796,460,088	$	755,417,602	$	2,810,158,664	$	23,779,965		$	81,517,190	$	(69,710,764	)	$	(17,922,252	)	$	6,654,086,010
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	88,839,361	$	2,339,588	$	22,240,602	$	1,319,918		$	1,019,670	$	(644,583	)	$	124,014		$	68,417,778
GMO Emerging Markets Fund, Class VI		277,719,859		1,315,877		155,415,000		1,315,877			—		24,691,274			(5,330,502	)		142,981,508
GMO Opportunistic Income Fund, Class VI		174,387,661		1,667,064		38,700,000		1,667,064			—		1,314,501			(2,273,828	)		136,395,398
GMO SGM Major Markets Fund, Class VI		119,656,426		59,062,349		131,599,924		62,349			—		3,726,904			2,865,690			53,711,445
GMO Special Opportunities Fund, Class VI		81,623,064		44,787,474		111,531,765		—			32,687,474		13,223,694			43,899,020			72,001,487
GMO U.S. Treasury Fund		1,849,041		104,119,118		101,408,488		—	**		—		46,769			(3,673	)		4,602,767
Totals	$	744,075,412	$	213,291,470	$	560,895,779	$	4,365,208		$	33,707,144	$	42,358,559		$	39,280,721		$	478,110,383
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	162,822,665	$	7,538,183	$	78,425,730	$	273,248		$	—	$	(2,143,804	)	$	3,411,540		$	93,202,854
GMO Asset Allocation Bond Fund, Class VI		122,351,825		4,671,342		69,500,257		193,289			—		2,203,514			1,891,312			61,617,736
GMO Cyclical Focus Fund Class IV		—		38,860,000		18,900,000		—			—		3,168,699			9,101,143			32,229,842
GMO Emerging Country Debt Fund, Class IV		57,278,855		2,520,534		26,251,559		756,837			584,677		576,729			(876,765	)		33,247,794
GMO Emerging Markets Fund, Class VI		306,807,240		8,629,698		154,816,851		1,504,007			—		22,354,867			1,860,633			184,835,587
GMO International Equity Fund, Class IV		375,344,309		59,395,592		287,334,867		836,506			—		(1,744,165	)		22,342,638			168,003,507
GMO-Usonian Japan Value Creation Fund, Class VI		—		49,952,048		14,000,000		—			—		547,028			2,587,617			39,086,693
GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV		234,253,275		13,904,081		117,899,884		—			5,908,863		7,060,292			(6,299,092	)		131,018,672
GMO Opportunistic Income Fund, Class VI		33,470,164		291,017		14,922,935		291,017			—		596,515			(663,151	)		18,771,610
GMO Quality Fund, Class VI		29,476,103		949,285		15,455,714		79,376			869,909		2,234,701			1,876,466			19,080,841
GMO Risk Premium Fund, Class VI		31,514,461		639,164		17,572,747		90,479			548,686		(3,567,153	)		808,811			11,822,536
GMO U.S. Equity Fund, Class VI		116,800,239		13,993,882		64,627,349		533,897			6,835,412		(3,003,343	)		12,758,819			75,922,248
GMO U.S. Small Cap Value Fund, Class VI		86,440,407		9,339,144		47,841,238		161,901			—		(2,012,078	)		10,794,475			56,720,710
GMO U.S. Treasury Fund		725,851		75,731,474		74,598,958		11,521			—		47,541			(2,818	)		1,903,090
Totals	$	1,557,285,394	$	286,415,444	$	1,002,148,089	$	4,732,078		$	14,747,547	$	26,319,343		$	59,591,628		$	927,463,720

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Developed Equity Allocation Fund
GMO Cyclical Focus Fund, Class IV	$	—	$	3,110,000	$	—	$	—		$	—	$	—		$	1,223,785		$	4,333,785
GMO Emerging Markets Fund, Class VI		7,608,658		249,793		701,371		38,586			—		53,925			598,332			7,809,337
GMO International Equity Fund, Class IV		36,181,574		478,106		6,407,140		94,542			—		(319,264	)		3,331,169			33,264,445
GMO-Usonian Japan Value Creation Fund, Class VI		—		2,909,413		—		—			—		—			217,312			3,126,725
GMO Quality Fund, Class VI		9,214,489		629,461		1,312,995		25,149			275,618		(28,093	)		1,355,619			9,858,481
GMO U.S. Equity Fund, Class VI		13,571,810		1,882,874		3,731,676		51,158			654,971		(1,082,392	)		2,075,820			12,716,436
GMO U.S. Small Cap Value Fund, Class VI		6,770,087		1,047,226		1,316,074		15,306			—		(42,978	)		1,460,205			7,918,466
Totals	$	73,346,618	$	10,306,873	$	13,469,256	$	224,741		$	930,589	$	(1,418,802	)	$	10,262,242		$	79,027,675
Global Equity Allocation Fund
GMO Cyclical Focus Fund, Class VI	$	—	$	66,600,000	$	9,670,000	$	—		$	—	$	2,464,336		$	23,371,672		$	82,766,008
GMO Emerging Markets Fund, Class VI		405,390,168		24,609,663		37,005,355		2,146,686			—		7,367,760			32,458,574			432,820,810
GMO International Equity Fund, Class IV		608,303,007		23,792,925		150,664,006		1,633,486			—		4,778,904			48,944,203			535,155,033
GMO-Usonian Japan Value Creation Fund, Class VI		—		58,890,450		—		—			—		—			4,472,928			63,363,378
GMO Quality Fund, Class VI		197,661,153		10,042,175		22,756,634		588,626			6,450,933		1,218,191			31,370,005			217,534,890
GMO U.S. Equity Fund, Class VI		107,094,199		8,516,450		26,433,930		441,378			5,650,895		(986,361	)		10,434,367			98,624,725
GMO U.S. Small Cap Value Fund, Class VI		137,186,837		24,336,672		31,443,522		317,694			—		8,524,272			19,296,793			157,901,052
Totals	$	1,455,635,364	$	216,788,335	$	277,973,447	$	5,127,870		$	12,101,828	$	23,367,102		$	170,348,542		$	1,588,165,896
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	6,103,201	$	302,904,276	$	288,733,529	$	—	**	$	—	$	121,961		$	(11,987	)	$	20,383,922
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	30,679,613	$	1,924,781	$	13,908,456	$	161,609		$	—	$	1,371,579		$	811,009		$	20,878,526
GMO International Equity Fund, Class IV		266,698,094		7,875,416		112,928,865		734,291			—		252,406			18,784,690			180,681,741
GMO-Usonian Japan Value Creation Fund, Class VI		—		7,757,903		—		—			—		—			584,194			8,342,097
Totals	$	297,377,707	$	17,558,100	$	126,837,321	$	895,900		$	—	$	1,623,985		$	20,179,893		$	209,902,364
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	306,462,975	$	52,846,228	$	54,641,882	$	1,428,821		$	—	$	5,449,755		$	18,741,872		$	328,858,948
GMO International Equity Fund, Class IV		550,104,514		10,100,114		157,673,962		1,367,771			—		(26,019,871	)		64,492,747			441,003,542
GMO-Usonian Japan Value Creation Fund, Class VI		—		30,000,259		—		—			—		—			2,263,158			32,263,417
Totals	$	856,567,489	$	92,946,601	$	212,315,844	$	2,796,592		$	—	$	(20,570,116	)	$	85,497,777		$	802,125,907

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Strategic Opportunities Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	27,054,909	$	712,493	$	6,411,557	$	401,964	$	310,528	$	(74,536	)	$	(81,114	)	$	21,200,195
GMO Emerging Markets Fund, Class VI		182,753,835		973,913		63,045,000		973,913		—		11,567,199			4,219,146			136,469,093
GMO International Equity Fund, Class IV		198,303,123		17,284,319		156,604,771		492,668		—		3,325,083			7,966,222			70,273,976
GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV		67,321,337		1,689,789		26,886,119		—		1,689,789		731,838			(690,774	)		42,166,071
GMO Opportunistic Income Fund, Class VI		21,226,892		195,626		5,453,377		195,627		—		255,543			(278,435	)		15,946,249
GMO Quality Fund, Class VI		57,387,212		1,480,564		31,545,000		123,801		1,356,763		378,769			4,092,399			31,793,944
GMO U.S. Equity Fund, Class VI		28,351,515		5,788,676		10,675,000		129,587		1,659,089		(2,082,383	)		4,819,333			26,202,141
GMO U.S. Small Cap Value Fund, Class VI		53,392,571		5,428,680		24,650,000		108,627		—		(1,228,176	)		6,817,468			39,760,543
GMO U.S. Treasury Fund		5,804,477		116,618,087		85,454,059		22,128		—		50,141			(11,550	)		37,007,096
Totals	$	641,595,871	$	150,172,147	$	410,724,883	$	2,448,315	$	5,016,169	$	12,923,478		$	26,852,695		$	420,819,308

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2020 through November 30, 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 $53,982 and $167,056 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

Subsequent events

As of close of business on January 22, 2021, pursuant to approval by shareholders of Benchmark-Free Allocation Series Fund, Global Asset Allocation Series Fund, International Developed Equity Allocation Series Fund and International Equity Allocation Series Fund (each, a “Selling Fund”), each Selling Fund was reorganized with and into the corresponding series of GMO Trust (each, an “Acquiring Fund”). As part of the reorganization, each Selling Fund shareholder received shares of the corresponding Acquiring Fund in exchange for Selling Fund shares. Following the reorganization, the Selling Funds were terminated.

In January 2021, the Board of Trustees approved the termination of GMO Special Opportunities Fund. The Fund is expected to liquidate on or about January 27, 2021.

* * *

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.