GMO Trust
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 entitys 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 |
|
|
Macys Retail Holdings LLC, 3.88%, due 01/15/22 |
|
|
686,865 |
|
|
|
|
|
|
|
|
898,000 |
|
|
Macys 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 entitys 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 entitys 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 SECs website at www.sec.gov or on GMOs 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 securitys 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 investments 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 SECs website at www.sec.gov or on GMOs 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 Funds 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 Funds 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 Funds 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
issuers 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 $142,010,602, respectively.
* * *
For additional information regarding the Funds, please see the Funds most recent annual or semiannual shareholder report available on
the SECs website, www.sec.gov, or visit GMOs website at www.gmo.com.
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Description |
|
Value ($) |
|
|
|
|
|
|
|
|
|
|
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 SABrasil 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 |
|
|
Hans 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 |
|
|
LOreal 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. |
(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 |
|
|
LOreal 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 |
|
|
Ks 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 |
|
|
Ks 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 |
|
|
LOreal 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 |
|
|
Ks 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 |
|
|
Aarons 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 |
|
|
Dicks 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 |
|
|
Lowes 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 |
|
|
Dicks 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 Commissions (SEC) website at www.sec.gov or on GMOs 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 securitys 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 investments 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 SECs website at www.sec.gov or on GMOs 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 Funds total net assets). Emerging Markets Funds 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
issuers 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 $12,230 in Climate Change Fund during the period. |
|
# |
Security is no longer an affiliate at period end. |
Subsequent events
As of close of business on January 22, 2021, pursuant to approval by shareholders of Climate Change Series Fund, Emerging Domestic
Opportunities Series Fund, Emerging Markets Series Fund, Quality Series Fund and Resources Series Fund (each, a Selling Fund), each Selling Fund was reorganized with and into the corresponding series of GMO Trust (each, an
Acquiring Fund). As part of the reorganization, each Selling Fund shareholder received shares of the corresponding Acquiring Fund in exchange for Selling Fund shares. Following the reorganization, the Selling Funds were terminated.
In January 2021, the Board of Trustees approved the termination of GMO Risk Premium Fund. The Fund is expected to liquidate on or about
February 16, 2021.
* * *
For additional information regarding the Funds, please see the Funds most recent annual or semiannual shareholder report available on
the SECs website, www.sec.gov, or visit GMOs website at www.gmo.com.
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of
Investments
(showing percentage of total net assets)
November 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Description |
|
Value ($) |
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
Kohls 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 |
) |
|
McDonalds 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 entitys 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 Funds 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 |
|
|
LOreal 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 Reddys Laboratories Ltd |
|
|
3,202,180 |
|
|
|
|
|
|
|
|
55,300 |
|
|
Dr Reddys 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 |
|
|
Ks 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 |
|
|
Dicks 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 |
|
|
Kohls 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 |
) |
|
McDonalds 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 Funds 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 |
|
|
LOreal 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 Reddys Laboratories Ltd |
|
|
7,114,808 |
|
|
|
|
|
|
|
|
153,600 |
|
|
Dr Reddys 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 |
|
|
Ks 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 |
|
|
Dicks 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 |
|
|
Kohls 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 / Canadas 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 & Busters, 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 |
) |
|
McDonalds 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 entitys 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 Funds 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 |
|
|
Ks 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 |
|
|
Kohls 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 |
) |
|
McDonalds 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 ($) |
|
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|
|
|
|
|
|
|
|
|
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 Funds 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 Commissions (SEC) website at www.sec.gov or on GMOs 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 securitys 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 investments 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 SECs website at www.sec.gov or on GMOs 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 Funds 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 Funds 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
issuers 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 SECs website, www.sec.gov, or visit GMOs website at www.gmo.com.