GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 93.4%
		Argentina — 1.0%
	415,815	Adecoagro SA *		4,420,114
		Australia — 1.5%
	1,500,387	Nickel Mines Ltd		1,177,552
	185,910	Sandfire Resources Ltd		1,024,850
	640,111	Sunrise Energy Metals Ltd * (a)		1,175,768
	1,808,538	Western Areas Ltd (a)		3,484,448
		Total Australia		6,862,618
		Brazil — 1.2%
	614,578	Sao Martinho SA		4,069,514
	143,300	SLC Agricola SA		1,409,161
		Total Brazil		5,478,675
		Canada — 9.4%
	510,285	Canadian Solar Inc * (a)		20,197,080
	1,885,500	Greenlane Renewables Inc * (a)		2,419,209
	1,501,901	Ivanhoe Mines Ltd – Class A *		11,040,007
	478,510	Largo Resources Ltd *		7,003,068
	86,300	NFI Group Inc (a)		1,842,372
		Total Canada		42,501,736
		China — 5.1%
	1,609,000	Chaowei Power Holdings Ltd		572,401
	4,356,919	China High Speed Transmission Equipment Group Co Ltd *		2,846,404
	2,070,000	China Longyuan Power Group Corp Ltd – Class H		2,974,920
	1,868,000	China Water Affairs Group Ltd (a)		1,456,593
	149,600	Hollysys Automation Technologies Ltd		2,019,600
	157,322	Sungrow Power Supply Co Ltd – Class A		2,243,643
	1,518,000	Tianneng Power International Ltd (a)		2,734,991
	2,432,000	Wasion Group Holdings Ltd		808,420
	1,153,400	Xinjiang Goldwind Science & Technology Co Ltd – Class H (a)		1,927,362
	938,176	Yutong Bus Co Ltd – Class A		1,974,932
	727,085	Zhuzhou CRRC Times Electric Co Ltd – Class H		3,504,572
		Total China		23,063,838
		Denmark — 0.8%
	3,269	Rockwool International A/S – Class B		1,623,402
	50,220	Vestas Wind Systems A/S		1,963,237
		Total Denmark		3,586,639
		Finland — 0.8%
	95,928	Kemira Oyj		1,575,279
	32,852	Neste Oyj		2,166,812
		Total Finland		3,742,091
		France — 2.6%
	220,114	Electricite de France SA		3,113,302

Shares		Description	Value ($)
		France — continued
	62,398	Nexans SA		5,521,665
	65,841	Veolia Environnement SA		2,076,000
	17,193	Vilmorin & Cie SA		1,219,683
		Total France		11,930,650
		Germany — 0.9%
	23,579	Siemens AG (Registered)		3,870,200
		Italy — 1.0%
	477,663	Enel SPA		4,737,126
		Japan — 3.8%
	77,800	Ebara Corp		3,823,532
	75,800	GS Yuasa Corp		2,160,721
	22,400	Iseki & Co Ltd *		281,499
	56,100	Kurita Water Industries Ltd		2,658,619
	70,000	Osaki Electric Co Ltd		385,236
	331,900	Panasonic Corp		3,769,607
	275,700	Renesas Electronics Corp *		2,888,998
	38,000	Takuma Co Ltd		649,696
	42,800	Tsukishima Kikai Co Ltd		460,208
		Total Japan		17,078,116
		Mexico — 2.4%
	2,188,652	Grupo Mexico SAB de CV – Series B		10,504,826
	307,515	Grupo Rotoplas SAB de CV		509,643
		Total Mexico		11,014,469
		Netherlands — 0.9%
	89,509	Arcadis NV		3,900,400
		Norway — 1.5%
	510,655	Austevoll Seafood ASA (a)		6,676,454
		Pakistan — 0.2%
	1,173,337	Fauji Fertilizer Co Ltd		821,013
		Philippines — 0.1%
	4,653,200	Nickel Asia Corp		507,804
		Portugal — 0.5%
	388,296	EDP – Energias de Portugal SA		2,260,349
		Russia — 2.8%
	125,288	MMC Norilsk Nickel PJSC ADR		4,485,209
	297,371	PhosAgro PJSC GDR (Registered)		6,087,185
	169,638	Ros Agro Plc GDR (Registered)		2,174,885
		Total Russia		12,747,279
		South Korea — 0.5%
	43,127	Daedong Corp		512,405
	2,214	LG Chem Ltd		1,649,953
		Total South Korea		2,162,358

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Spain — 2.0%
	7,811	Acciona SA		1,350,309
	108,998	Endesa SA		3,142,548
	47,238	Fomento de Construcciones y Contratas SA		599,811
	182,784	Red Electrica Corp SA (a)		3,659,812
	81,853	Talgo SA * (a)		498,875
		Total Spain		9,251,355
		Switzerland — 0.7%
	1,124	Gurit Holding AG		3,004,469
		Thailand — 0.2%
	1,220,500	SPCG Pcl		765,326
		Ukraine — 0.6%
	180,478	Kernel Holding SA		2,833,859
		United Kingdom — 2.0%
	562,781	Drax Group Plc		3,477,799
	91,699	Go-Ahead Group Plc *		1,609,611
	3,335,675	Renewi Plc *		2,571,981
	1,011,768	Stagecoach Group Plc *		1,241,272
		Total United Kingdom		8,900,663
		United States — 50.9%
	412,320	Aemetis, Inc. * (a)		5,595,182
	45,500	AGCO Corp.		6,295,835
	33,796	Albemarle Corp.		5,646,636
	422,692	Ameresco, Inc. – Class A *		22,723,922
	242,886	BorgWarner, Inc.		12,457,623
	1,786,208	Clean Energy Fuels Corp. *		14,146,767
	216,596	Darling Ingredients, Inc. *		14,828,162
	10,000	Deere & Co.		3,611,000
	27,900	EnerSys		2,629,296
	34,355	Enphase Energy, Inc. *		4,914,483
	51,313	Exelon Corp.		2,315,243
	57,966	First Solar, Inc. *		4,411,792
	141,590	Freeport-McMoRan, Inc.		6,048,725
	15,090	FutureFuel Corp.		154,974
	1,679,056	GrafTech International Ltd.		22,297,864
	96,280	Livent Corp. * (a)		1,878,423
	558,553	Montauk Renewables, Inc. * (a)		5,417,964
	413,247	Mosaic Co. (The)		14,934,747
	28,800	MYR Group, Inc. *		2,506,752
	83,679	ON Semiconductor Corp. *		3,350,507
	66,533	Owens Corning		7,095,744
	352,560	Renewable Energy Group, Inc. *		21,530,839
	11,100	Sensata Technologies Holding Plc *		659,673
	73,309	SolarEdge Technologies, Inc. *		18,914,455
	459,875	Sunrun, Inc. * (a)		20,565,610
	25,529	TE Connectivity Ltd.		3,463,775

Shares		Description	Value ($)
		United States — continued
	5,500	Valmont Industries, Inc.		1,364,000
		Total United States		229,759,993
		TOTAL COMMON STOCKS (COST $364,929,480)		421,877,594
		PREFERRED STOCKS (b) — 1.0%
		Chile — 1.0%
	101,238	Sociedad Quimica y Minera de Chile SA Sponsored ADR		4,390,692
		TOTAL PREFERRED STOCKS (COST $4,510,456)		4,390,692
		MUTUAL FUNDS — 6.2%
		United States — 6.2%
		Affiliated Issuers — 6.2%
	5,533,567	GMO U.S. Treasury Fund (c)		27,889,178
		TOTAL MUTUAL FUNDS (COST $27,889,178)		27,889,178
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 1.2%
	5,565,584	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		5,565,584
		TOTAL SHORT-TERM INVESTMENTS (COST $5,565,584)		5,565,584
		TOTAL INVESTMENTS — 101.8% (Cost $402,894,698)		459,723,048
		Other Assets and Liabilities (net) — (1.8%)		(7,958,443	)
		TOTAL NET ASSETS — 100.0%		$451,764,605

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

(d) The rate disclosed is the 7 day net yield as of May 31, 2021.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

GMO Cyclical Focus Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.1%
		Canada — 5.0%
	77,680	Brookfield Asset Management Inc – Class A		3,910,411
	55,605	Nutrien Ltd		3,455,851
		Total Canada		7,366,262
		Finland — 2.8%
	63,563	Neste Oyj		4,192,412
		France — 8.7%
	4,067	Kering SA		3,724,549
	5,187	LVMH Moet Hennessy Louis Vuitton SE		4,154,954
	33,771	Safran SA		5,106,505
		Total France		12,986,008
		Germany — 2.1%
	25,947	Beiersdorf AG		3,076,132
		Ireland — 2.6%
	189,804	Ryanair Holdings Plc *		3,887,171
		Mexico — 5.8%
	407,900	Fomento Economico Mexicano SAB de CV		3,344,625
	1,104,100	Grupo Mexico SAB de CV – Series B		5,299,325
		Total Mexico		8,643,950
		Russia — 4.4%
	36,303	LUKOIL PJSC Sponsored ADR		2,954,971
	17,808	Novatek PJSC Sponsored GDR (Registered)		3,545,075
		Total Russia		6,500,046
		Spain — 4.9%
	45,299	Amadeus IT Group SA *		3,418,097
	97,673	Industria de Diseno Textil SA		3,796,096
		Total Spain		7,214,193
		United Kingdom — 11.7%
	55,281	Berkeley Group Holdings Plc (The)		3,663,867
	222,060	Compass Group Plc *		5,061,965
	101,786	Persimmon Plc		4,551,083
	225,504	Royal Dutch Shell Plc – B Shares		4,099,942
		Total United Kingdom		17,376,857
		United States — 48.1%
	30,539	American Express Co.		4,890,210
	1,467	Booking Holdings, Inc. *		3,464,394
	89,200	BorgWarner, Inc.		4,575,068
	51,516	Charles Schwab Corp. (The)		3,804,457
	28,833	Chevron Corp.		2,992,577
	58,002	Coca-Cola Co. (The)		3,206,931
	63,052	EOG Resources, Inc.		5,065,598
	14,715	Global Payments, Inc.		2,850,443
	28,800	Hasbro, Inc.		2,763,936

Shares		Description	Value ($)
		United States — continued
	27,122	Hilton Worldwide Holdings, Inc. *		3,397,573
	47,663	Las Vegas Sands Corp. *		2,752,538
	81,700	Lyft, Inc. – Class A *		4,664,253
	2,837	Markel Corp. *		3,476,715
	40,112	Raytheon Technologies Corp.		3,558,335
	82,287	Sensata Technologies Holding Plc *		4,890,316
	97,083	US Bancorp		5,900,705
	90,412	Verso Corp. – Class A		1,537,908
	44,923	VF Corp.		3,581,261
	88,579	Wells Fargo & Co.		4,138,411
		Total United States		71,511,629
		TOTAL COMMON STOCKS (COST $98,853,650)		142,754,660
		PREFERRED STOCKS (a) — 3.2%
		Brazil — 3.2%
	356,300	Bradespar SA		4,780,109
		TOTAL PREFERRED STOCKS (COST $2,276,671)		4,780,109
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers — 0.0%
	5,556	GMO U.S. Treasury Fund		28,000
		TOTAL MUTUAL FUNDS (COST $28,000)		28,000
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	858,506	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		858,506
		TOTAL SHORT-TERM INVESTMENTS (COST $858,506)		858,506
		TOTAL INVESTMENTS — 99.9% (Cost $102,016,827)		148,421,275
		Other Assets and Liabilities (net) — 0.1%		179,035
		TOTAL NET ASSETS — 100.0%		$148,600,310

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) The rate disclosed is the 7 day net yield as of May 31, 2021.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 87.9%
		Belgium — 0.2%
	30,600	Anheuser-Busch InBev SA Sponsored ADR		2,318,562
		Brazil — 4.2%
	1,220,800	Atacadao SA		5,132,246
	1,400,400	B3 SA – Brasil Bolsa Balcao		4,696,930
	486,200	Blau farmaceutica SA *		4,319,331
	873,100	Intelbras SA Industria de Telecomunicacao Eletronica Brasileira *		4,585,212
	4,118,900	JHSF Participacoes SA		6,038,029
	41,700	Lojas Renner SA		379,498
	2,400	MercadoLibre Inc *		3,260,808
	1,653,400	Movida Participacoes SA		5,621,630
	10,830,600	Oi SA *		3,179,542
	7,800	Pagseguro Digital Ltd – Class A *		383,058
	394,600	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA *		3,868,999
		Total Brazil		41,465,283
		China — 31.8%
	1,040,900	Alibaba Group Holding Ltd *		27,839,403
	169,976	Alibaba Group Holding Ltd Sponsored ADR *		36,368,065
	316,000	Alibaba Health Information Technology Ltd *		783,282
	30,100	Autohome Inc ADR		2,319,807
	30,600	Baidu Inc Sponsored ADR *		6,005,862
	1,056,608	Bank of Ningbo Co Ltd – Class A		7,080,594
	23,100	Bilibili, Inc. Sponsored ADR *		2,475,858
	12,676,000	China Construction Bank Corp – Class H		10,444,094
	1,580,400	China International Capital Corp Ltd – Class H		4,645,324
	810,000	China Mengniu Dairy Co Ltd *		4,794,347
	2,096,502	China Merchants Bank Co Ltd – Class H		19,396,888
	1,435,489	Focus Media Information Technology Co Ltd – Class A		2,350,766
	458,500	GoerTek Inc – Class A		2,779,275
	766,300	Gree Electric Appliances Inc of Zhuhai – Class A		6,862,934
	605,000	Haitian International Holdings Ltd		2,188,821
	356,144	Han’s Laser Technology Industry Group Co Ltd – Class A		2,089,574
	235,900	Jason Furniture Hangzhou Co Ltd – Class A		2,976,618
	58,500	JD.com Inc ADR *		4,325,490
	148,900	JD.com Inc – Class A *		5,490,657
	423,597	Jiangsu Hengli Hydraulic Co Ltd – Class A		5,402,905
	9,886	Kweichow Moutai Co Ltd – Class A		3,466,310
	216,500	Li Ning Co Ltd		1,990,458
	1,879,200	Man Wah Holdings Ltd		4,231,403
	175,300	Meituan – Class B *		6,144,207
	212,443	Midea Group Co Ltd – Class A		2,757,839
	104,500	NetEase Inc		2,454,806
	47,400	NetEase Inc ADR		5,589,882

Shares		Description	Value ($)
		China — continued
	388,600	New Oriental Education & Technology Group Inc Sponsored ADR *		3,975,378
	13,800	Pinduoduo, Inc ADR *		1,723,344
	1,073,500	Ping An Bank Co Ltd – Class A		4,133,717
	417,000	Ping An Insurance Group Co of China Ltd – Class H		4,554,962
	111,332	Proya Cosmetics Co Ltd – Class A		2,931,142
	840,349	Sany Heavy Industry Co Ltd – Class A		4,035,386
	73,683	Shenzhen Mindray Bio-Medical Electronics Co Ltd – Class A		5,618,935
	313,700	Shenzhou International Group Holdings Ltd		8,269,260
	81,100	Sunny Optical Technology Group Co Ltd		2,066,704
	1,900	TAL Education Group ADR *		75,943
	876,584	Tencent Holdings Ltd		68,532,121
	39,100	Tencent Music Entertainment Group ADR *		615,434
	194,000	Tsingtao Brewery Co Ltd – Class H		2,061,030
	1,912,000	Uni-President China Holdings Ltd		2,087,494
	30,500	Weibo Corp Sponsored ADR *		1,550,620
	79,830	Wuliangye Yibin Co Ltd – Class A		3,982,286
	152,400	WuXi AppTec Co Ltd – Class H		3,152,573
	34,500	Wuxi Biologics Cayman, Inc *		512,021
	1,068,000	Xinyi Solar Holdings Ltd		1,896,839
	87,700	Yum China Holdings Inc		5,932,028
	965,400	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		1,200,293
		Total China		312,162,979
		Greece — 0.4%
	3,933,560	Eurobank Ergasias Services and Holdings SA *		3,684,583
		Hong Kong — 1.3%
	930,600	AIA Group Ltd		12,420,074
		Hungary — 0.4%
	74,295	OTP Bank Plc *		4,078,172
		India — 12.2%
	1,349,394	Action Construction Equipment Ltd *		3,149,111
	315,078	Ambuja Cements Ltd		1,414,273
	54,337	Apollo Hospitals Enterprise Ltd		2,359,885
	1,089,626	Ashok Leyland Ltd *		1,874,982
	482,053	Aurobindo Pharma Ltd		6,795,021
	25,532	Britannia Industries Ltd		1,207,390
	208,450	Central Depository Services India Ltd		2,836,065
	577,708	Crompton Greaves Consumer Electricals Ltd		3,144,121
	3,904,869	Gayatri Projects Ltd *		1,830,577
	576,243	Gujarat Gas Ltd		4,056,758
	661,296	HCL Technologies Ltd		8,607,299
	197,695	HDFC Bank Ltd *		4,112,807
	82,704	Housing Development Finance Corp Ltd		2,897,808
	663,039	ICICI Bank Ltd *		5,924,910
	572,165	Infosys Ltd		11,096,798

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		India — continued
	178,758	Jubilant Ingrevia Ltd *		1,186,908
	277,213	Jubilant Pharmova Ltd *		3,356,741
	71,531	Larsen & Toubro Ltd		1,454,507
	1,094,319	Laxmi Organic Industries Ltd * (a) (b)		3,315,775
	200,442	Muthoot Finance Ltd		3,500,213
	48,480	Navin Fluorine International Ltd		2,140,751
	109,338	Polycab India Ltd *		2,527,310
	1,114,451	Rupa & Co Ltd		6,297,492
	308,967	SBI Cards & Payment Services Ltd		4,459,467
	33,127	SRF Ltd		2,970,039
	292,431	State Bank of India *		1,701,384
	494,997	Sun TV Network Ltd		3,718,620
	144,508	Tata Consultancy Services Ltd		6,269,366
	210,579	Tata Consumer Products Ltd		1,895,971
	188,211	Tech Mahindra Ltd		2,662,108
	729,346	UPL Ltd		8,160,620
	408,999	Wipro Ltd		3,030,621
		Total India		119,955,698
		Indonesia — 0.0%
	177,300	Bank Central Asia Tbk PT		393,204
		Mexico — 2.0%
	4,825,800	America Movil SAB de CV – Series L		3,702,090
	2,839,300	Cemex SAB de CV *		2,346,364
	467,800	Fomento Economico Mexicano SAB de CV		3,835,782
	775,700	Grupo Financiero Banorte SAB de CV – Class O		5,291,023
	1,443,424	Wal-Mart de Mexico SAB de CV		4,608,260
		Total Mexico		19,783,519
		Peru — 0.1%
	3,500	Credicorp Ltd *		481,145
		Philippines — 0.4%
	296,990	GT Capital Holdings Inc		3,664,076
		Poland — 0.7%
	262,964	Bank Polska Kasa Opieki SA *		6,829,134
		Russia — 2.9%
	250,779	Fix Price Group Ltd GDR * (c)		2,043,849
	1,348,600	Moscow Exchange MICEX-RTS PJSC		3,087,711
	473,117	Sberbank of Russia PJSC Sponsored ADR		7,964,401
	98,186	TCS Group Holding Plc GDR (Registered)		7,350,172
	120,500	Yandex NV – Class A *		8,138,570
		Total Russia		28,584,703
		Saudi Arabia — 0.2%
	50,729	Saudi Telecom Co		1,664,904
		Singapore — 0.1%
	2,900	Sea Ltd ADR *		734,396

Shares		Description	Value ($)
		South Africa — 1.4%
	1,006,130	FirstRand Ltd		4,120,456
	32,341	Naspers Ltd – N Shares		7,128,827
	198,308	Nedbank Group Ltd *		2,344,746
		Total South Africa		13,594,029
		South Korea — 11.3%
	20,665	Hyundai Mobis Co Ltd		5,150,713
	37,370	Kakao Corp		4,085,546
	189,079	KB Financial Group Inc		9,687,606
	35,744	Korea Investment Holdings Co Ltd		3,342,489
	3,299	LG Chem Ltd		2,458,535
	32,152	LG Corp		3,083,208
	22,269	LX Holdings Corp *		244,591
	11,880	NAVER Corp		3,811,625
	762,803	Samsung Electronics Co Ltd		54,754,185
	6,837	Samsung SDI Co Ltd		3,924,184
	181,600	Shinhan Financial Group Co Ltd		6,890,254
	78,323	SK Hynix Inc		8,781,658
	14,601	SK Telecom Co Ltd		4,164,869
		Total South Korea		110,379,463
		Switzerland — 0.2%
	19,147	Nestle SA (Registered)		2,365,002
		Taiwan — 14.0%
	112,458	Advantech Co Ltd		1,325,045
	861,000	Chailease Holding Co Ltd		6,502,954
	6,443,000	CTBC Financial Holding Co Ltd		5,337,090
	609,000	Delta Electronics Inc		6,389,841
	2,207,000	E Ink Holdings Inc		4,884,659
	588,000	Elan Microelectronics Corp		4,439,807
	288,000	Giant Manufacturing Co Ltd		3,461,308
	1,004,000	Hon Hai Precision Industry Co Ltd		4,011,639
	158,000	MediaTek Inc		5,458,439
	707,000	Micro-Star International Co Ltd		4,227,985
	146,000	Novatek Microelectronics Corp		2,651,455
	1,670,000	Quanta Computer Inc		5,293,523
	36,000	Silergy Corp		4,518,090
	235,000	Simplo Technology Co Ltd		3,088,825
	473,000	Sinbon Electronics Co Ltd		4,458,213
	2,775,800	Taiwan Semiconductor Manufacturing Co Ltd		58,936,266
	1,248,000	United Microelectronics Corp		2,345,455
	276,000	Walsin Technology Corp		2,059,160
	3,580,000	Wistron Corp		3,942,334
	3,783,000	Yuanta Financial Holding Co Ltd		3,490,208
		Total Taiwan		136,822,296
		Thailand — 0.5%
	2,729,900	CP ALL Pcl (Foreign Registered)		5,302,908
		United Arab Emirates — 0.5%
	1,079,041	First Abu Dhabi Bank PJSC		4,871,579

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United States — 2.3%
	30,700	Facebook, Inc. – Class A *		10,092,011
	43,300	PepsiCo, Inc.		6,405,802
	27,000	Visa, Inc. – Class A		6,137,100
		Total United States		22,634,913
		Vietnam — 0.8%
	1,784,700	Bank for Foreign Trade of Vietnam JSC		7,715,353
		TOTAL COMMON STOCKS (COST $764,653,011)		861,905,975
		PREFERRED STOCKS (d) — 1.1%
		Brazil — 1.1%
	1,896,900	Itau Unibanco Holding SA		10,784,417
		TOTAL PREFERRED STOCKS (COST $9,738,236)		10,784,417
		INVESTMENT FUNDS — 9.2%
		China — 3.5%
	480,000	iShares China Large-Cap ETF		22,195,200
	4,205,100	iShares FTSE China A50 ETF		11,613,347
		Total China		33,808,547
		Russia — 3.4%
	1,201,400	VanEck Vectors Russia ETF		33,795,382
		Saudi Arabia — 1.1%
	285,200	iShares MSCI Saudi Arabia ETF		10,991,608

Shares / Par Value†		Description	Value ($)
		South Africa — 1.2%
	225,800	iShares MSCI South Africa ETF		11,987,722
		TOTAL INVESTMENT FUNDS (COST $82,671,228)		90,583,259
		DEBT OBLIGATIONS — 0.0%
		India — 0.0%
INR	740,428	Britannia Industries Ltd, 1.00%, due 06/01/24 (a)		—
		TOTAL DEBT OBLIGATIONS (COST $10,174)		—
		MUTUAL FUNDS — 2.0%
		United States — 2.0%
		Affiliated Issuers — 2.0%
	3,869,689	GMO U.S. Treasury Fund		19,503,232
		TOTAL MUTUAL FUNDS (COST $19,503,232)		19,503,232
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	4,513,868	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)		4,513,868
		TOTAL SHORT-TERM INVESTMENTS (COST $4,513,868)		4,513,868
		TOTAL INVESTMENTS — 100.7% (Cost $881,089,749)		987,290,751
		Other Assets and Liabilities (net) — (0.7%)		(6,936,537	)
		TOTAL NET ASSETS — 100.0%		$980,354,214

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2021
Laxmi Organic Industries Ltd	03/02/21	$	1,924,110	0.34%	$	3,315,775

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) The security is restricted as to resale.

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

(e) The rate disclosed is the 7 day net yield as of May 31, 2021.

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

Currency Abbreviations:

INR - Indian Rupee

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.2%
		Argentina — 0.2%
	228,200	Banco BBVA Argentina SA ADR * (a)		769,034
	10,500	Banco Macro SA ADR *		172,095
	10,800	Globant SA *		2,352,996
	345,000	Grupo Financiero Galicia SA ADR		3,063,600
	91,700	Telecom Argentina SA Sponsored ADR		526,358
		Total Argentina		6,884,083
		Brazil — 0.8%
	933,500	Blau farmaceutica SA *		8,293,081
	343,100	Sul America SA		2,290,976
	1,395,300	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA *		13,680,724
		Total Brazil		24,264,781
		Chile — 0.0%
	43,788	Inversiones La Construccion SA		232,690
		China — 31.0%
	4,731,000	361 Degrees International Ltd *		2,151,512
	852,000	Agile Group Holdings Ltd		1,202,231
	4,822,500	Agricultural Bank of China Ltd – Class A		2,485,864
	83,293,590	Agricultural Bank of China Ltd – Class H		33,797,124
	1,188,000	AK Medical Holdings Ltd		2,120,152
	355,426	Alibaba Group Holding Ltd Sponsored ADR *		76,046,947
	1,697,126	Anhui Conch Cement Co Ltd – Class A		13,093,232
	113,500	Asia Cement China Holdings Corp		107,968
	103,300	Baidu Inc Sponsored ADR *		20,274,691
	5,146,300	Bank of China Ltd – Class A		2,700,852
	642,500	Budweiser Brewing Co APAC Ltd		2,210,980
	3,731,000	BYD Electronic International Co Ltd (a)		23,744,440
	12,405,878	China Communications Services Corp Ltd – Class H		5,211,148
	104,623,148	China Construction Bank Corp – Class H		86,201,795
	5,184,000	China Dongxiang Group Co Ltd		654,561
	21,277,000	China Feihe Ltd		57,969,107
	42,400	China Gas Holdings Ltd		161,261
	361,430	China International Travel Service Corp Ltd – Class A		19,593,591
	1,564,000	China Lesso Group Holdings Ltd		3,962,935
	105,000	China Lilang Ltd		66,971
	104,000	China Longyuan Power Group Corp Ltd – Class H		149,465
	9,173,000	China Machinery Engineering Corp – Class H		4,102,951
	2,678,705	China Merchants Bank Co Ltd – Class A		24,639,272
	2,654,000	China Oriental Group Co Ltd		870,150
	128,000	China Overseas Grand Oceans Group Ltd		81,090
	7,500	China Overseas Land & Investment Ltd		18,181
	1,187,911	China Pacific Insurance Group Co Ltd – Class A		6,551,208

Shares		Description	Value ($)
		China — continued
	390,827	China Railway Signal & Communication Corp Ltd – Class A		352,560
	14,602,000	China Reinsurance Group Corp – Class H		1,598,581
	8,000	China Resources Gas Group Ltd		49,605
	4,826,000	China Resources Land Ltd		22,802,426
	497,500	China Shenhua Energy Co Ltd – Class H		1,098,530
	49,500	China Tian Lun Gas Holdings Ltd		52,206
	6,844,481	China Vanke Co Ltd – Class A		28,982,920
	32,000	Chinasoft International Ltd *		41,122
	5,421,714	Country Garden Holdings Co Ltd		6,912,074
	461,771	CSG Holding Co Ltd – Class A		743,553
	235,700	ENN Energy Holdings Ltd		4,332,985
	9,989,109	Fangda Special Steel Technology Co Ltd – Class A *		14,399,799
	1,919,000	Greenland Hong Kong Holdings Ltd		654,943
	5,126,000	Guangdong Investment Ltd		7,638,941
	362,722	Hangzhou Robam Appliances Co Ltd – Class A		2,529,805
	293,000	Hebei Construction Group Corp Ltd – Class H		105,796
	34,000	Hengan International Group Co Ltd		229,236
	8,306,238	Hisense Home Appliances Group Co Ltd – Class A		19,421,749
	313,000	Hisense Home Appliances Group Co Ltd – Class H		470,506
	237,300	Hollysys Automation Technologies Ltd		3,203,550
	10,248,000	Hua Han Health Industry Holdings Ltd * (b)		—
	516,400	Huayu Automotive Systems Co Ltd – Class A		1,956,584
	58,139,847	Industrial & Commercial Bank of China Ltd – Class H		38,169,358
	1,791,193	Inner Mongolia Eerduosi Resources Co Ltd – Class A		5,454,114
	18,100	JOYY Inc ADR		1,392,795
	86,000	Kingboard Laminates Holdings Ltd		186,003
	1,207,000	Koolearn Technology Holding Ltd *		1,958,616
	40,000	Kunlun Energy Co Ltd		45,416
	49,305	Kweichow Moutai Co Ltd – Class A		17,287,721
	2,453,000	KWG Group Holdings Ltd		3,736,508
	2,533,000	Logan Group Co Ltd		4,059,404
	1,831,000	Longfor Group Holdings Ltd		10,730,697
	3,015,000	Lonking Holdings Ltd		1,095,166
	293,700	Lufax Holding Ltd ADR *		3,580,203
	259,500	Midea Group Co Ltd – Class A		3,368,711
	415,800	NetEase Inc		9,767,545
	294,400	NetEase Inc ADR		34,718,592
	1,032,000	PAX Global Technology Ltd		1,289,603
	340,000	Perennial Energy Holdings Ltd (a)		210,494
	26,349,000	PICC Property & Casualty Co Ltd – Class H		25,718,582
	206,714	Ping An Insurance Group Co of China Ltd – Class A		2,371,894
	3,526,250	Postal Savings Bank of China Co Ltd – Class A		3,087,851
	5,704,400	Qingling Motors Co Ltd – Class H		1,277,767
	65,000	Road King Infrastructure Ltd		85,970

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		China — continued
	300	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		866
	3,068,789	Shenzhen Investment Ltd		1,098,108
	2,317,481	Shenzhen YUTO Packaging Technology Co Ltd – Class A		10,386,099
	3,583,500	Shimao Group Holdings Ltd		10,281,317
	440,000	Shougang Fushan Resources Group Ltd		118,357
	3,107,000	Sinopec Engineering Group Co Ltd – Class H		1,965,576
	1,721,500	Sinotruk Hong Kong Ltd		4,128,550
	3,567,051	Suofeiya Home Collection Co Ltd – Class A		15,839,000
	1,322,965	Tencent Holdings Ltd		103,430,587
	129,000	Tencent Holdings Ltd ADR		10,111,020
	450,851	Tsingtao Brewery Co Ltd – Class A		7,432,191
	212,000	Tsingtao Brewery Co Ltd – Class H		2,252,259
	109,000	Want Want China Holdings Ltd		80,901
	12,075,931	Weifu High-Technology Group Co Ltd – Class A		45,438,630
	186,000	Xinyi Glass Holdings Ltd		727,450
	5,757,100	Yangzijiang Shipbuilding Holdings Ltd		6,477,066
	3,064,000	Yuzhou Group Holdings Co Ltd		903,264
	48,000	Zhejiang Expressway Co Ltd – Class H		42,417
	86,907	Zhejiang Supor Co Ltd – Class A		1,000,477
	911,429	Zhejiang Weixing New Building Materials Co Ltd – Class A		3,371,279
	7,923,586	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		14,314,004
	1,361,000	Zhongsheng Group Holdings Ltd		11,319,869
	9,240,382	Zhuzhou Kibing Group Co Ltd – Class A		23,432,261
	170	Zijin Mining Group Co Ltd – Class A		300
		Total China		951,492,008
		Czech Republic — 0.2%
	46,135	CEZ AS		1,378,513
	13,338	Komercni Banka AS *		491,376
	1,337,524	Moneta Money Bank AS *		5,001,712
	838	Philip Morris CR AS		584,180
		Total Czech Republic		7,455,781
		Egypt — 0.0%
	142,998	Commercial International Bank Egypt SAE		483,912
	398,773	Eastern Co SAE		305,505
	615,901	ElSewedy Electric Co		313,415
	527,023	Medinet Nasr Housing		109,808
	633,780	Palm Hills Developments SAE		68,166
		Total Egypt		1,280,806
		India — 4.7%
	256,987	Asian Paints Ltd		10,406,754
	27,974	Cochin Shipyard Ltd		147,000
	822,334	Engineers India Ltd		961,604
	11,567,064	Gayatri Projects Ltd * (c)		5,422,563
	49,683	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		260,281

Shares		Description	Value ($)
		India — continued
	598,198	HCL Technologies Ltd		7,786,028
	230,960	HDFC Bank Ltd *		4,804,845
	261,937	Hindustan Unilever Ltd		8,410,600
	147,814	Hindustan Zinc Ltd		665,485
	252,428	Housing Development Finance Corp Ltd		8,844,649
	1,332,810	ICICI Bank Ltd *		11,909,977
	796,700	Infosys Ltd Sponsored ADR		15,408,178
	3,013,682	Jai Balaji Industries Ltd *		1,986,327
	1,322,083	Kiri Industries Ltd		8,605,847
	386,197	Kotak Mahindra Bank Ltd *		9,581,566
	1,532	Larsen & Toubro Infotech Ltd		83,222
	18,276	Mahanagar Gas Ltd		296,725
	137,424	Mindtree Ltd		4,462,196
	1,751,848	NBCC India Ltd		1,180,787
	173,171	NCC Ltd		199,222
	386,580	NMDC Ltd		955,015
	95,095	Oracle Financial Services Software Ltd		4,623,395
	28,146	Redington India Ltd *		85,311
	360,830	Tata Consultancy Services Ltd		15,654,325
	312,651	Titan Co Ltd		6,803,735
	204,302	Welspun Corp Ltd		418,541
	1,548,435	Wipro Ltd		11,473,669
	748,679	Zee Entertainment Enterprises Ltd		2,182,029
		Total India		143,619,876
		Indonesia — 2.2%
	10,875,900	Bank Central Asia Tbk PT		24,119,841
	8,830,600	Bank Mandiri Persero Tbk PT		3,580,158
	13,328,600	Bank Negara Indonesia Persero Tbk PT		4,850,635
	16,446,000	Bank Pembangunan Daerah Jawa Timur Tbk PT		863,102
	69,969,000	Bank Rakyat Indonesia Persero Tbk PT		19,937,019
	18,940,400	Bukit Asam Tbk PT		2,903,343
	5,320,091	Indo Tambangraya Megah Tbk PT		4,829,813
	207,759,500	Panin Financial Tbk PT *		2,761,038
	17,958,100	Perusahaan Gas Negara Tbk PT *		1,418,944
	24,952,400	Ramayana Lestari Sentosa Tbk PT		1,152,524
	242,700	United Tractors Tbk PT		370,705
		Total Indonesia		66,787,122
		Kuwait — 2.1%
	816,491	Alimtiaz Investment Group KSC *		349,828
	162,293	Burgan Bank SAK		120,176
	2,445,350	Gulf Bank KSCP		1,816,848
	90,778	Gulf Cable & Electrical Industries Co KSCP		236,199
	258,845	Humansoft Holding Co KSC		3,099,078
	11,754,819	Kuwait Finance House KSCP		29,273,659
	1,696,339	Kuwait Projects Co Holding KSCP		836,389
	1,228,141	Mobile Telecommunications Co KSCP		2,421,892
	9,198,386	National Bank of Kuwait SAKP		25,104,365
	244,100	Qurain Petrochemical Industries Co		312,107
		Total Kuwait		63,570,541

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Malaysia — 0.0%
	514,800	Gamuda Bhd *		405,704
	138,000	Genting Plantations Bhd		269,468
		Total Malaysia		675,172
		Mexico — 3.8%
	70,300	Arca Continental SAB de CV		390,501
	1,152,000	Banco del Bajio SA		1,974,560
	3,435,700	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico *		4,062,192
	13,500	Coca-Cola Femsa SAB de CV Sponsored ADR		661,770
	347,200	Concentradora Fibra Danhos SA de CV (REIT)		413,997
	1,679,200	Credito Real SAB de CV SOFOM ER *		554,731
	176,300	El Puerto de Liverpool SAB de CV – Class C1		739,083
	2,087,100	Fibra Uno Administracion SA de CV (REIT)		2,446,721
	800	Fomento Economico Mexicano SAB de CV Sponsored ADR		65,600
	82,800	Gentera SAB de CV *		46,767
	464,300	Grupo Aeroportuario del Centro Norte SAB de CV *		2,970,699
	35,200	Grupo Bimbo SAB de CV – Series A		76,522
	9,915,100	Grupo Financiero Banorte SAB de CV – Class O		67,630,560
	496,300	Grupo Financiero Inbursa SAB de CV – Class O *		490,868
	4,670,200	Grupo Mexico SAB de CV – Series B		22,415,459
	108,800	Industrias Bachoco SAB de CV – Series B		419,239
	19,000	Infraestructura Energetica Nova SAB de CV *		78,278
	181,400	Kimberly-Clark de Mexico SAB de CV – Class A		326,862
	489,127	Qualitas Controladora SAB de CV		2,690,223
	425,000	Regional SAB de CV		2,292,713
	10,600	Ternium SA Sponsored ADR		388,066
	490,121	Unifin Financiera SAB de CV SOFOM ENR *		575,802
	1,982,200	Wal-Mart de Mexico SAB de CV		6,328,351
		Total Mexico		118,039,564
		Pakistan — 0.5%
	434,893	Engro Corp Ltd		881,082
	6,556,459	Engro Fertilizers Ltd		3,011,066
	1,791,355	Fauji Fertilizer Co Ltd		1,253,455
	5,080	Indus Motor Co Ltd		39,448
	411,500	National Bank of Pakistan *		95,260
	5,795,666	Oil & Gas Development Co Ltd		3,582,046
	834,516	Pakistan Oilfields Ltd		1,993,676
	3,383,334	Pakistan Petroleum Ltd		1,986,488
	96,442	Pakistan State Oil Co Ltd		144,698
	685,944	Searle Co Ltd (The)		1,060,065

Shares		Description	Value ($)
		Pakistan — continued
	1,124,121	United Bank Ltd		939,437
		Total Pakistan		14,986,721
		Philippines — 0.3%
	623,400	Aboitiz Power Corp		305,133
	349,070	Manila Electric Co		2,073,826
	45,850,800	Megaworld Corp		3,000,872
	18,818,000	Metro Pacific Investments Corp		1,546,754
	111,500	Metropolitan Bank & Trust Co		114,064
	649,300	Puregold Price Club Inc		533,345
	205,650	Security Bank Corp		529,118
	6,276,900	Semirara Mining & Power Corp		1,730,599
		Total Philippines		9,833,711
		Poland — 0.4%
	46,032	Budimex SA		3,832,125
	19,081	Lubelski Wegiel Bogdanka SA *		122,653
	914,323	Powszechny Zaklad Ubezpieczen SA *		9,173,454
		Total Poland		13,128,232
		Qatar — 0.6%
	1,401,107	Doha Bank QPSC		1,083,066
	151,938	Masraf Al Rayan QSC		185,880
	195,018	Qatar Electricity & Water Co QSC		889,717
	3,072,981	Qatar National Bank QPSC		14,870,599
	1,062,466	Qatar National Cement Co QSC		1,448,623
		Total Qatar		18,477,885
		Russia — 13.8%
	30,868,910	Alrosa PJSC		48,169,079
	1,054,350	Detsky Mir PJSC		2,185,540
	66,973	Etalon Group Plc GDR (Registered)		107,060
	483,115	Evraz Plc		4,362,575
	1,571,020,000	Federal Grid Co Unified Energy System PJSC		4,685,296
	733,183	Fix Price Group Ltd GDR * (b)		5,975,441
	716,967	Globaltrans Investment Plc Sponsored GDR (Registered)		4,616,626
	95,665,700	Inter RAO UES PJSC		6,600,920
	103,747	LSR Group PJSC		1,065,892
	823,928	LSR Group PJSC GDR (Registered)		1,663,627
	281,049	M.Video PJSC		2,535,624
	17,214	Magnit PJSC		1,270,441
	267,505	Magnit PJSC Sponsored GDR (Registered)		4,075,925
	4,234,730	Magnitogorsk Iron & Steel Works PJSC		3,632,328
	237,839	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		2,649,012
	959,471	MMC Norilsk Nickel PJSC ADR		34,348,283
	11,528,177	Moscow Exchange MICEX-RTS PJSC		26,394,544
	1,174,620	Novolipetsk Steel PJSC		4,224,805
	1,154,527	Novolipetsk Steel PJSC GDR		41,331,738
	1,922,697	Polymetal International Plc		46,333,031

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	39,010	Polyus PJSC		8,456,107
	205,578	Polyus PJSC GDR (Registered)		22,371,539
	13,148	QIWI Plc Sponsored ADR (d)		144,616
	509,015	QIWI Plc Sponsored ADR (d)		5,594,075
	149,900	Raspadskaya OJSC		520,816
	15,413	Ros Agro Plc GDR (Registered)		197,606
	70,492,000	RusHydro PJSC		801,251
	77,990	Safmar Financial Investment *		487,494
	3,103,166	Sberbank of Russia PJSC Sponsored ADR		52,238,361
	213,627	Severstal PJSC		5,122,459
	734,774	Severstal PJSC GDR (Registered)		16,907,625
	25,208,000	Surgutneftegas PJSC		12,461,347
	4,762,114	Surgutneftegas PJSC Sponsored ADR		23,362,222
	211,391	Tatneft PJSC Sponsored ADR		8,482,229
	97,921	TCS Group Holding Plc GDR (Registered)		7,330,334
	61,254,000	Unipro PJSC		2,408,040
	258,066	X5 Retail Group NV GDR (Registered) (d)		7,697,925
	126,435	X5 Retail Group NV GDR (Registered) (d)		3,790,870
		Total Russia		424,602,703
		Saudi Arabia — 0.1%
	86,522	Saudi Airlines Catering Co *		1,850,855
		South Africa — 0.8%
	668,531	Investec Ltd		2,813,028
	44,073	Kumba Iron Ore Ltd		1,963,754
	636,861	Lewis Group Ltd		1,587,191
	258,888	Mr Price Group Ltd		4,348,114
	13,884,515	RMB Holdings Ltd		1,379,159
	1,261,355	Sanlam Ltd		5,396,777
	778,019	Truworths International Ltd		3,112,867
	327,493	Wilson Bayly Holmes-Ovcon Ltd *		2,776,226
		Total South Africa		23,377,116
		South Korea — 4.4%
	144,132	BNK Financial Group Inc		1,026,772
	8,598	Daou Data Corp		111,551
	111,730	DB Insurance Co Ltd		5,066,935
	1,105,568	Dongwon Development Co Ltd		6,137,705
	4,876	GS Home Shopping Inc		653,819
	63,052	GS Retail Co Ltd		2,104,100
	71,259	Hanwha Corp		2,028,085
	18,684	HDC Hyundai Development Co-Engineering & Construction		489,884
	97,144	Hyundai Marine & Fire Insurance Co Ltd		2,138,249
	51,975	Korea Asset In Trust Co Ltd		232,898
	73,978	Korea Gas Corp *		2,199,350
	8,449	KT Skylife Co Ltd		73,725
	90,239	KT&G Corp		6,772,058
	15,947	Kumho Petrochemical Co Ltd		3,332,655
	37,810	LG Electronics Inc		5,136,149
	63,223	Lotte Corp		2,176,086

Shares		Description	Value ($)
		South Korea — continued
	1,842	Ottogi Corp		894,583
	52,151	Samsung Card Co Ltd		1,555,787
	1,102,781	Samsung Electronics Co Ltd		79,157,889
	7,195	Samsung Electronics Co Ltd GDR		13,000,755
		Total South Korea		134,289,035
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (c)		627,881
		Taiwan — 22.9%
	177,000	Accton Technology Corp		1,871,844
	76,532	Acter Group Corp Ltd		518,723
	1,206,035	Advantech Co Ltd		14,210,200
	23,000	Airtac International Group		832,670
	276,000	Alchip Technologies Ltd		5,262,805
	104,000	Arcadyan Technology Corp		354,972
	792,689	Asustek Computer Inc		11,174,184
	452,000	Aten International Co Ltd		1,356,279
	129,200	Aurora Corp		425,696
	7,945,000	Catcher Technology Co Ltd		52,308,798
	7,741,153	Cathay Financial Holding Co Ltd		15,470,618
	3,125,865	Chailease Holding Co Ltd		23,609,008
	947,000	Chicony Electronics Co Ltd		2,639,439
	3,353,000	China Development Financial Holding Corp		1,484,796
	974,000	China Life Insurance Co Ltd		865,100
	68,000	Chipbond Technology Corp		166,760
	746,000	Chong Hong Construction Co Ltd		2,125,123
	2,982,400	Coretronic Corp		6,196,449
	28,567,720	CTBC Financial Holding Co Ltd		23,664,210
	585,000	Delta Electronics Inc		6,138,025
	616,000	Elan Microelectronics Corp		4,651,226
	1,291,000	Elite Material Co Ltd		7,368,873
	1,610,000	Farglory Land Development Co Ltd		3,190,312
	55,000	Feng Hsin Steel Co Ltd		146,483
	4,764,000	FLEXium Interconnect Inc		19,813,413
	20,000	Flytech Technology Co Ltd		44,995
	2,502,075	Foxconn Technology Co Ltd		5,812,620
	16,656,000	Fubon Financial Holding Co Ltd		43,209,746
	2,540,000	Grand Pacific Petrochemical *		2,394,341
	1,343,000	Highwealth Construction Corp		2,063,946
	16,099,532	Hon Hai Precision Industry Co Ltd		64,328,190
	1,782,000	Huaku Development Co Ltd		5,994,665
	1,439,806	IEI Integration Corp		2,615,441
	94,900	Innodisk Corp		584,669
	632,000	International Games System Co Ltd		21,209,472
	297,000	Kung Long Batteries Industrial Co Ltd		1,541,962
	2,668,000	Lite-On Technology Corp		6,319,162
	81,000	Lotes Co Ltd		1,725,987
	7,000	MediaTek Inc		241,830
	252,000	Merry Electronics Co Ltd		972,251
	1,662,000	Micro-Star International Co Ltd		9,939,055
	77,000	Nan Liu Enterprise Co Ltd		458,191

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	244,000	Nantex Industry Co Ltd		1,151,207
	976,810	Novatek Microelectronics Corp		17,739,503
	199,000	Pegatron Corp		524,991
	169,000	Phison Electronics Corp		2,839,326
	169,000	Quanta Computer Inc		535,692
	10,415,870	Radiant Opto-Electronics Corp		44,238,375
	800,000	Shinkong Insurance Co Ltd		1,147,731
	454,468	Simplo Technology Co Ltd		5,973,497
	1,914,250	Syncmold Enterprise Corp		5,757,135
	159,300	Tah Hsin Industrial Corp		406,816
	1,350,000	Taiwan Cement Corp		2,462,871
	36,000	Taiwan PCB Techvest Co Ltd		62,035
	9,284,000	Taiwan Semiconductor Manufacturing Co Ltd		197,119,496
	88,610	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		10,399,270
	48,000	TCI Co Ltd		421,754
	261,000	Test Research Inc		537,415
	990,000	Transcend Information Inc		2,538,600
	1,093,160	Tripod Technology Corp		4,979,866
	705,224	United Integrated Services Co Ltd		5,912,031
	10,113,000	United Microelectronics Corp		19,006,081
	782,000	Universal Inc		2,591,105
	97,000	Vanguard International Semiconductor Corp		408,616
	148,000	Yulon Nissan Motor Co Ltd		1,414,458
	323,000	Zeng Hsing Industrial Co Ltd		1,917,896
		Total Taiwan		705,388,296
		Thailand — 0.5%
	373,500	AP Thailand Pcl (Foreign Registered)		102,762
	464,900	Dynasty Ceramic Pcl		46,660
	524,500	Kasikornbank Pcl (Foreign Registered)		2,013,784
	3,658,500	Pruksa Holding Pcl (Foreign Registered)		1,603,383
	1,656,992	Quality Houses Pcl (Foreign Registered)		121,928
	164,200	Siam Cement Pcl (The) (Foreign Registered)		2,322,208
	1,686,500	Siam Commercial Bank Pcl (The) (Foreign Registered)		5,500,250
	868,500	SPCG Pcl		544,601
	400	Sri Trang Agro-Industry Pcl		562
	2,890,875	Supalai Pcl (Foreign Registered)		1,950,182
	1,746,100	Total Access Communication Pcl NVDR		1,730,856
	707,200	TTW Pcl (Foreign Registered)		264,812
		Total Thailand		16,201,988
		Turkey — 1.3%
	1,016	Akbank TAS		623
	1,565,310	Arcelik AS		5,839,052
	340	Aselsan Elektronik Sanayi Ve Ticaret AS		598
	73,550	BIM Birlesik Magazalar AS		551,935
	26,495,319	Dogan Sirketler Grubu Holding AS		9,087,934
	914,540	Enerjisa Enerji AS		1,148,800
	1,693,998	Eregli Demir ve Celik Fabrikalari TAS		3,806,377
	2,117,128	Haci Omer Sabanci Holding AS		2,132,613

Shares		Description	Value ($)
		Turkey — continued
	650,413	Koza Altin Isletmeleri AS *		9,098,228
	26	Otokar Otomotiv Ve Savunma Sanayi AS		907
	1,362,183	Turk Hava Yollari AO *		2,060,979
	1,159,683	Turkcell Iletisim Hizmetleri AS		2,137,691
	1,207	Turkiye Garanti Bankasi AS		1,125
	10,533,860	Yapi ve Kredi Bankasi AS		2,659,655
		Total Turkey		38,526,517
		United Arab Emirates — 0.3%
	245,166	Abu Dhabi Islamic Bank PJSC		377,980
	47,459	Aldar Properties PJSC		47,921
	1,619,662	Dubai Islamic Bank PJSC		2,129,973
	2,282,468	Emaar Malls PJSC *		1,229,349
	198,399	Emirates NBD Bank PJSC		729,367
	941,768	First Abu Dhabi Bank PJSC		4,251,829
		Total United Arab Emirates		8,766,419
		United Kingdom — 0.8%
	386,665	Unilever Plc		23,176,197
		Vietnam — 0.5%
	3,508,515	Hoa Phat Group JSC		10,211,266
	101,800	Petrovietnam Fertilizer & Chemicals JSC		83,875
	275,800	PetroVietnam Gas JSC		980,897
	184,500	PetroVietnam Nhon Trach 2 Power JSC		154,036
	1,872,200	PetroVietnam Technical Services Corp		1,911,128
	312,100	Pha Lai Thermal Power JSC		313,868
	284,500	Vietnam Dairy Products JSC		1,124,044
	380,800	Vinh Hoan Corp		663,530
		Total Vietnam		15,442,644
		TOTAL COMMON STOCKS (COST $2,506,449,070)		2,832,978,624
		PREFERRED STOCKS (e) — 3.5%
		Brazil — 0.0%
	15,700	Cia de Transmissao de Energia Eletrica Paulista		79,378
		Chile — 0.1%
	939,260	Embotelladora Andina SA		2,236,333
		Colombia — 0.1%
	27,283	Banco Davivienda SA		212,643
	4,610,742	Grupo Aval Acciones y Valores SA		1,325,526
		Total Colombia		1,538,169
		Russia — 2.0%
	235,108	Bashneft PJSC		3,713,276
	232,210	Nizhnekamskneftekhim PJSC		242,546
	91,090,000	Surgutneftegas PJSC		57,614,231

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Russia — continued
	814	Transneft PJSC		1,573,712
		Total Russia		63,143,765
		South Korea — 1.2%
	596,573	Samsung Electronics Co Ltd		38,595,619
		Taiwan — 0.1%
	287,798	Chailease Holding Co Ltd *		1,027,186
	605,412	CTBC Financial Holding Co Ltd		1,379,102
		Total Taiwan		2,406,288
		TOTAL PREFERRED STOCKS (COST $84,778,030)		107,999,552
		INVESTMENT FUNDS — 1.3%
		United States — 1.3%
	617,449	iShares Core MSCI Emerging Markets ETF		41,152,976
		TOTAL INVESTMENT FUNDS (COST $40,281,351)		41,152,976
		DEBT OBLIGATIONS — 0.5%
		United States — 0.5%
	15,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.17%, due 01/31/22 (f)		15,515,133
		TOTAL DEBT OBLIGATIONS (COST $15,507,157)		15,515,133

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.3%
	8,862,549	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (g)		8,862,549
		U.S. Government — 0.3%
	4,000,000	U.S. Treasury Bill, 0.02%, due 03/24/22 (f) (h)		3,999,096
	5,000,000	U.S. Treasury Bill, 0.03%, due 04/21/22 (f) (h)		4,998,523
		Total U.S. Government		8,997,619
		TOTAL SHORT-TERM INVESTMENTS (COST $17,858,450)		17,860,168
		TOTAL INVESTMENTS — 98.1% (Cost $2,664,874,058)		3,015,506,453
		Other Assets and Liabilities (net) — 1.9%		57,830,474
		TOTAL NET ASSETS — 100.0%		$3,073,336,927

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
4,647	Mini MSCI Emerging Markets		June 2021	$	316,205,115	$	5,673,469
Sales
1,157	SGX Nifty 50		June 2021	$	35,811,691	$	(537,759	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Swap Contracts

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 8.50%)

Appreciation on Total Return on CSI 500 Index

GS

USD

40,746,513

12/07/2021

At Maturity

$

—

$

2,098,934

$

2,098,934

As of May 31, 2021, 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) 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) Affiliated company.

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

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

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

(g) The rate disclosed is the 7 day net yield as of May 31, 2021.

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

The rates shown on variable rate notes are the current interest rates at May 31, 2021, 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)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.3%
		Australia — 4.6%
	21,064	BHP Group Ltd		780,222
	2,396,075	Fortescue Metals Group Ltd		40,920,922
	89,611	Pact Group Holdings Ltd		252,230
	634,001	Rio Tinto Ltd		60,137,923
	681,359	Sandfire Resources Ltd		3,756,068
		Total Australia		105,847,365
		Belgium — 1.0%
	186,497	Ageas SA/NV		12,065,284
	91,042	AGFA-Gevaert NV *		431,216
	50,435	bpost SA *		673,229
	107,310	UCB SA		10,072,612
		Total Belgium		23,242,341
		Denmark — 0.1%
	9,627	Per Aarsleff Holding A/S		461,209
	6,561	Schouw & Co A/S		730,688
		Total Denmark		1,191,897
		Finland — 0.4%
	271,296	Kesko Oyj – B Shares		9,432,342
		France — 9.0%
	409,562	ArcelorMittal SA *		13,246,193
	840,792	BNP Paribas SA		57,884,419
	5,272	Christian Dior SE		4,235,416
	699,667	Cie de Saint-Gobain *		46,966,422
	88,655	CNP Assurances		1,629,985
	1,297,964	Credit Agricole SA		19,454,552
	62,824	Derichebourg SA *		644,166
	23,193	Fnac Darty SA *		1,618,950
	13,087	IPSOS		537,283
	120,774	Metropole Television SA		2,561,970
	819,372	Natixis SA *		4,049,239
	101	Renault SA * (a)		4,175
	157,670	Renault SA * (a)		6,542,779
	264,193	Sanofi		28,266,867
	199,256	Societe Generale SA		6,379,985
	140,361	Television Francaise 1		1,467,113
	170,749	TOTAL SE (a)		7,963,863
	14,633	TOTAL SE (a)		680,204
		Total France		204,133,581
		Germany — 6.9%
	96,481	ADVA Optical Networking SE *		1,267,522
	188,669	Bayerische Motoren Werke AG		20,028,655
	722,177	CECONOMY AG *		4,058,819
	630,088	Daimler AG (Registered)		58,785,755
	317,314	Dialog Semiconductor Plc *		25,158,203
	142,349	HeidelbergCement AG		13,010,488

Shares		Description	Value ($)
		Germany — continued
	36,887	Hornbach Holding AG & Co KGaA		4,112,771
	5,326	Indus Holding AG		221,651
	77,697	Kloeckner & Co SE *		1,071,438
	11,041	Siemens AG (Registered)		1,812,243
	66,255	Traton SE		2,200,851
	72,984	Volkswagen AG		26,650,968
		Total Germany		158,379,364
		Hong Kong — 2.6%
	1,380,487	Champion (REIT)		806,097
	444,312	Chow Tai Fook Jewellery Group Ltd		831,932
	608,400	Dah Sing Banking Group Ltd		698,002
	357,269	Dah Sing Financial Holdings Ltd		1,271,798
	3,995,207	Esprit Holdings Ltd *		401,533
	6,247,585	IGG Inc		9,298,613
	754,401	Johnson Electric Holdings Ltd		2,009,067
	297,640	Kerry Logistics Network Ltd		889,580
	696,326	Luk Fook Holdings International Ltd		1,954,775
	1,232,331	Pacific Textiles Holdings Ltd		822,094
	1,301,023	Shun Tak Holdings Ltd		416,252
	1,160,026	SmarTone Telecommunications Holdings Ltd		675,549
	331,288	Television Broadcasts Ltd		331,644
	1,016,000	VSTECS Holdings Ltd		992,464
	284,600	VTech Holdings Ltd		2,940,515
	39,619,015	WH Group Ltd		34,167,045
		Total Hong Kong		58,506,960
		Ireland — 1.1%
	254,519	Bank of Ireland Group Plc *		1,649,380
	62,095	CRH Plc		3,248,619
	297,952	CRH Plc Sponsored ADR		15,514,361
	32,618	Kingspan Group Plc		3,100,355
	46,728	Smurfit Kappa Group Plc		2,483,537
		Total Ireland		25,996,252
		Italy — 3.4%
	700,474	Anima Holding SPA		3,667,356
	125,374	Banca Mediolanum SPA		1,211,203
	860,497	Banco BPM SPA		3,046,152
	57,362	Buzzi Unicem SPA		1,626,327
	130,108	CNH Industrial NV		2,237,017
	63,719	De’ Longhi SPA		2,829,916
	1,622,087	Enel SPA		16,086,720
	111,296	Esprinet SPA		1,902,034
	321,384	EXOR NV		27,669,483
	36,751	La Doria SPA		792,834
	237,724	Mediobanca Banca di Credito Finanziario SPA *		2,830,560
	118,439	Poste Italiane SPA		1,660,625
	7,472,305	Telecom Italia SPA		4,000,659
	4,267,307	Telecom Italia SPA – RSP		2,438,542
	81,916	Unieuro SPA *		2,550,189

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	542,093	Unipol Gruppo SPA		2,997,817
		Total Italy		77,547,434
		Japan — 20.6%
	63,520	AOKI Holdings Inc		372,547
	1,794,015	Asahi Kasei Corp		20,144,157
	1,939,484	Astellas Pharma Inc		30,946,397
	492,296	Brother Industries Ltd		10,477,695
	39,584	Cawachi Ltd		812,974
	377,290	Daiwabo Holdings Co Ltd		5,867,142
	82,804	DCM Holdings Co Ltd		766,061
	70,674	Dexerials Corp		1,438,943
	53,748	Doutor Nichires Holdings Co Ltd		791,848
	25,688	Fuji Corp		648,842
	97,243	Fuji Electric Co Ltd		4,564,520
	41,454	FUJIFILM Holdings Corp		2,854,111
	194,732	Fujitsu Ltd		31,765,168
	20,606	Fuyo General Lease Co Ltd		1,381,350
	90,436	Geo Holdings Corp		907,277
	17,653	Gunze Ltd		699,300
	619,904	Hitachi Ltd		32,662,210
	28,900	Iida Group Holdings Co Ltd		777,110
	177,600	Inpex Corp		1,212,577
	1,564,054	ITOCHU Corp		47,165,700
	386,160	Japan Post Insurance Co Ltd		7,678,086
	483,704	Japan Tobacco Inc		9,608,911
	126,558	K’s Holdings Corp		1,524,383
	86,500	Kajima Corp		1,200,043
	127,444	Kanematsu Corp		1,733,821
	1,625,396	KDDI Corp		55,407,658
	36,281	Kohnan Shoji Co Ltd		992,533
	41,993	Komeri Co Ltd		1,000,710
	540,500	Marubeni Corp		4,826,094
	110,757	MCJ Co Ltd		1,107,219
	656,378	Mitsubishi Chemical Holdings Corp		5,304,878
	87,550	Mitsubishi Gas Chemical Co Inc		2,057,359
	6,079,418	Mitsubishi UFJ Financial Group Inc		34,914,932
	396,838	Mitsui & Co Ltd		8,777,447
	32,801	Mixi Inc		802,962
	39,684	Modec Inc		780,939
	145,933	NEC Networks & System Integration Corp		2,335,978
	97,226	Nichias Corp		2,418,005
	96,745	Nippo Corp		2,508,604
	59,031	Nippon Signal Co Ltd		510,351
	1,877,895	Nippon Telegraph & Telephone Corp		50,853,929
	22,822	Nitto Denko Corp		1,801,023
	85,066	Okinawa Electric Power Co (The)		1,076,989
	194,786	Panasonic Corp		2,212,313
	82,324	Press Kogyo Co Ltd		242,535
	63,319	Prima Meat Packers Ltd		1,769,810
	525,810	Renesas Electronics Corp *		5,509,845
	29,783	San-A Co Ltd		1,157,492

Shares		Description	Value ($)
		Japan — continued
	86,995	Seiko Holdings Corp		1,726,197
	390,312	Sekisui Chemical Co Ltd		6,804,982
	1,451,309	Sojitz Corp		4,496,747
	46,763	Sony Group Corp		4,649,950
	4,745,041	Sumitomo Chemical Co Ltd		26,315,836
	56,838	T-Gaia Corp		976,657
	13,800	TDK Corp		1,737,845
	37,677	Tokyo Seimitsu Co Ltd		1,872,830
	130,975	Tokyu Construction Co Ltd		842,967
	61,228	Towa Pharmaceutical Co Ltd		1,302,158
	145,155	Toyota Tsusho Corp		6,618,680
	24,269	TPR Co Ltd		330,119
	199,554	TS Tech Co Ltd		2,836,356
	66,471	TSI Holdings Co Ltd *		183,678
	93,769	Valor Holdings Co Ltd		1,935,872
	20,256	Warabeya Nichiyo Holdings Co Ltd		358,118
	21,608	Yahagi Construction Co Ltd		141,267
		Total Japan		469,501,037
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (b)		—
		Netherlands — 8.4%
	13,628	Arcadis NV		593,847
	28,781	ASM International NV		9,001,510
	430,474	ASR Nederland NV		18,539,971
	12,096	Heineken Holding NV		1,224,486
	1,450,734	ING Groep NV		20,300,265
	1,667,476	Koninklijke Ahold Delhaize NV		48,544,097
	90,285	NN Group NV		4,595,329
	2,434,597	PostNL NV		14,308,243
	348,341	Randstad NV		27,125,994
	380,461	Signify NV		23,530,964
	1,203,429	Stellantis NV		23,543,816
		Total Netherlands		191,308,522
		Norway — 2.0%
	800,326	Aker Solutions ASA *		1,457,159
	513,560	BW LPG Ltd		3,549,409
	704,451	DNB ASA		15,722,374
	134,731	Equinor ASA		2,931,158
	246,435	Europris ASA		1,649,560
	1,230,112	Norsk Hydro ASA		7,969,724
	69,098	Norwegian Finans Holding ASA		809,683
	1,064,684	Orkla ASA		11,103,060
		Total Norway		45,192,127
		Portugal — 3.0%
	113,062	Altri SGPS SA		801,922
	22,858,310	Banco Comercial Portugues SA – Class R *		4,447,581
	252,554	CTT-Correios de Portugal SA		1,297,789

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Portugal — continued
	273,123	EDP Renovaveis SA		6,489,281
	7,603,639	EDP – Energias de Portugal SA		44,262,299
	455,575	Galp Energia SGPS SA		5,712,789
	135,454	Jeronimo Martins SGPS SA		2,620,332
	129,063	Navigator Co SA (The)		474,225
	556,849	REN – Redes Energeticas Nacionais SGPS SA		1,568,459
		Total Portugal		67,674,677
		Singapore — 4.1%
	2,323,825	DBS Group Holdings Ltd		53,393,597
	108,787	Jardine Cycle & Carriage Ltd		1,822,036
	1,305,000	Sembcorp Industries Ltd		2,168,356
	279,975	Venture Corp Ltd		4,072,487
	5,498,139	Wilmar International Ltd		19,894,109
	11,240,822	Yangzijiang Shipbuilding Holdings Ltd		12,646,566
		Total Singapore		93,997,151
		Spain — 5.7%
	211,723	Acerinox SA		3,016,711
	244,486	ACS Actividades de Construccion y Servicios SA		7,535,856
	3,134,580	Banco Bilbao Vizcaya Argentaria SA *		19,577,993
	2,789,187	Banco de Sabadell SA *		2,145,799
	8,843,333	Banco Santander SA *		37,245,467
	124,210	Bankinter SA		709,245
	990,819	CaixaBank SA		3,435,072
	116,992	Cia de Distribucion Integral Logista Holdings SA		2,558,094
	53,972	Ebro Foods SA		1,144,878
	12,544	Grupo Catalana Occidente SA		529,349
	3,522,353	Iberdrola SA		48,552,080
	123,811	Linea Directa Aseguradora SA Cia de Seguros y Reaseguros *		241,570
	213,639	Mediaset Espana Comunicacion SA *		1,498,443
	1,731,640	Unicaja Banco SA		1,945,493
		Total Spain		130,136,050
		Sweden — 0.6%
	133,902	Betsson AB *		59,178
	87,298	Betsson AB – Class B *		776,906
	460,291	Volvo AB – B Shares		12,131,019
		Total Sweden		12,967,103
		Switzerland — 5.4%
	87,662	Adecco Group AG (Registered)		6,067,150
	44,851	Ascom Holding AG (Registered) *		751,934
	1,472	Kardex Holding AG (Registered)		330,429
	485,617	Novartis AG (Registered)		42,899,741
	191,999	Roche Holding AG – Genusschein		67,209,528
	163,784	UBS Group AG (Registered)		2,669,064
	51,766	Wizz Air Holdings Plc *		3,539,815
	3,995	Zehnder Group AG – Class RG		375,851
		Total Switzerland		123,843,512

Shares		Description	Value ($)
		United Kingdom — 17.4%
	708,614	3i Group Plc		12,469,178
	169,502	Anglo American Plc		7,524,743
	58,335	Antofagasta Plc		1,277,136
	31,583	Ashtead Group Plc		2,303,904
	1,682,860	Aviva Plc		9,806,756
	506,879	Barclays Plc		1,316,261
	72,000	Barclays Plc Sponsored ADR		761,760
	2,491,953	Barratt Developments Plc		26,670,974
	128,328	Bellway Plc		6,509,438
	92,856	Berkeley Group Holdings Plc (The)		6,154,230
	257,481	BP Plc Sponsored ADR		6,753,727
	1,054,824	British American Tobacco Plc		40,626,814
	387,558	British American Tobacco Plc Sponsored ADR		14,986,868
	4,773,290	BT Group Plc *		11,815,347
	150,601	Coca-Cola HBC AG *		5,480,263
	51,714	Dunelm Group Plc		1,075,512
	358,049	Electrocomponents Plc		5,021,411
	207,135	Ferguson Plc		28,131,018
	1,052,560	Ferrexpo Plc		6,685,729
	2,329,980	Firstgroup Plc *		2,700,279
	231,969	Galliford Try Holdings Plc		413,291
	2,056,416	GlaxoSmithKline Plc		39,223,697
	43,100	GlaxoSmithKline Plc Sponsored ADR		1,670,987
	63,178	Grafton Group Plc		1,051,864
	102,673	Halfords Group Plc *		554,461
	455,876	IG Group Holdings Plc		5,536,977
	302,963	Inchcape Plc		3,358,340
	391,452	ITV Plc *		711,389
	891,844	JD Sports Fashion Plc *		11,937,853
	3,567,575	Kingfisher Plc *		18,105,618
	3,518,870	Legal & General Group Plc		14,186,352
	436,611	M&G Plc		1,509,881
	48,958	National Express Group Plc *		209,500
	285,677	Next Plc *		32,990,703
	735,105	Persimmon Plc		32,868,215
	620,466	Pets at Home Group Plc		3,943,107
	316,616	Plus500 Ltd		6,778,482
	392,744	QinetiQ Group Plc		1,979,156
	15,720	Royal Dutch Shell Plc – Class B Sponsored ADR		570,950
	922,197	Royal Mail Plc *		7,562,367
	53,691	Savills Plc		901,911
	383,865	Spirent Communications Plc		1,356,726
	898,117	Tate & Lyle Plc		9,756,044
	253,009	Vesuvius Plc		2,017,852
	24,532	Vistry Group Plc		460,027
		Total United Kingdom		397,727,098
		TOTAL COMMON STOCKS (COST $1,912,805,131)		2,196,624,813
		PREFERRED STOCKS (c) — 1.5%
		Germany — 1.5%
	44,221	Bayerische Motoren Werke AG		4,033,765
	1,098	Draegerwerk AG & Co KGaA		101,981

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Germany — continued
	110,529	Volkswagen AG		30,428,490
		Total Germany		34,564,236
		TOTAL PREFERRED STOCKS (COST $24,741,603)		34,564,236
		SHORT-TERM INVESTMENTS — 3.7%
		Money Market Funds — 0.2%
	4,732,808	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		4,732,808
		U.S. Government — 3.5%
	32,000,000	U.S. Treasury Bill, 0.03%, due 03/24/22 (e) (f)		31,992,764
	13,000,000	U.S. Treasury Bill, 0.03%, due 04/21/22 (e)		12,996,159

Par Value†		Description	Value ($)
		U.S. Government — continued
	34,000,000	U.S. Treasury Bill, 0.04%, due 05/19/22 (e)		33,985,871
		Total U.S. Government		78,974,794
		TOTAL SHORT-TERM INVESTMENTS (COST $83,700,792)		83,707,602
		TOTAL INVESTMENTS — 101.5% (Cost $2,021,247,526)		2,314,896,651
		Other Assets and Liabilities (net) — (1.5%)		(33,596,765	)
		TOTAL NET ASSETS — 100.0%		$2,281,299,886

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
198	MSCI EAFE		June 2021	$	23,136,300	$	412,634

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

(d) The rate disclosed is the 7 day net yield as of May 31, 2021.

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

(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.

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)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.2%
		Automobiles & Components — 5.0%
	150,200	Honda Motor Co Ltd		4,693,989
	43,000	Toyota Industries Corp		3,721,596
		Total Automobiles & Components		8,415,585
		Banks — 6.0%
	1,112,600	Mitsubishi UFJ Financial Group Inc		6,389,815
	101,600	Sumitomo Mitsui Trust Holdings Inc		3,551,929
		Total Banks		9,941,744
		Capital Goods — 21.4%
	336,300	Amada Co Ltd		3,632,940
	126,000	Ebara Corp		6,192,353
	170,700	Fuji Corp		4,311,640
	330,200	Hazama Ando Corp		2,523,893
	109,900	Hitachi Ltd		5,790,537
	153,400	Kyowa Exeo Corp		3,809,596
	124,600	Kyudenko Corp		3,891,115
	410,200	Penta-Ocean Construction Co Ltd		2,929,551
	158,500	Takuma Co Ltd		2,709,914
		Total Capital Goods		35,791,539
		Commercial & Professional Services — 5.4%
	49,400	Secom Co Ltd		3,904,622
	293,500	Toppan Printing Co Ltd		5,125,685
		Total Commercial & Professional Services		9,030,307
		Consumer Durables & Apparel — 4.5%
	240,000	Haseko Corp		3,428,624
	199,500	Sumitomo Forestry Co Ltd		4,059,835
		Total Consumer Durables & Apparel		7,488,459
		Diversified Financials — 9.5%
	87,800	JAFCO Group Co Ltd		6,417,747
	357,100	ORIX Corp		6,308,847
	75,000	Zenkoku Hosho Co Ltd		3,103,362
		Total Diversified Financials		15,829,956
		Food, Beverage & Tobacco — 6.1%
	96,400	Morinaga & Co Ltd		2,994,870
	99,300	NH Foods Ltd		4,003,774
	241,800	Takara Holdings Inc		3,237,773
		Total Food, Beverage & Tobacco		10,236,417
		Insurance — 2.7%
	147,700	MS&AD Insurance Group Holdings Inc		4,524,912
		Materials — 10.3%
	115,900	Denka Co Ltd		4,416,116
	134,700	Maruichi Steel Tube Ltd		3,418,162
	289,500	Teijin Ltd		4,764,266

Shares		Description	Value ($)
		Materials — continued
	254,400	Tosoh Corp		4,523,336
		Total Materials		17,121,880
		Media & Entertainment — 2.0%
	86,200	Kadokawa Corp		3,323,707
		Pharmaceuticals, Biotechnology & Life Sciences — 2.4%
	123,300	Tsumura & Co		3,988,325
		Real Estate — 2.6%
	267,600	Aeon Mall Co Ltd		4,267,129
		Retailing — 1.6%
	218,800	K’s Holdings Corp		2,635,432
		Semiconductors & Semiconductor Equipment — 4.4%
	27,800	Rohm Co Ltd		2,604,265
	94,800	Tokyo Seimitsu Co Ltd		4,712,272
		Total Semiconductors & Semiconductor Equipment		7,316,537
		Technology Hardware & Equipment — 7.4%
	137,600	Amano Corp		3,623,865
	278,300	Daiwabo Holdings Co Ltd		4,327,773
	69,500	Horiba Ltd		4,464,723
		Total Technology Hardware & Equipment		12,416,361
		Telecommunication Services — 2.9%
	143,000	KDDI Corp		4,874,686
		Transportation — 2.0%
	75,700	Sankyu Inc		3,312,379
		TOTAL COMMON STOCKS (COST $138,648,376)		160,515,355
		SHORT-TERM INVESTMENTS — 2.4%
		Money Market Funds — 2.4%
	4,026,539	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		4,026,539
		TOTAL SHORT-TERM INVESTMENTS (COST $4,026,539)		4,026,539
		TOTAL INVESTMENTS — 98.6% (Cost $142,674,915)		164,541,894
		Other Assets and Liabilities (net) — 1.4%		2,316,081
		TOTAL NET ASSETS — 100.0%		$166,857,975

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2021.

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.4%
		Banks — 7.3%
	5,676,732	US Bancorp		345,031,771
	5,808,613	Wells Fargo & Co.		271,378,399
		Total Banks		616,410,170
		Capital Goods — 6.0%
	612,265	3M Co.		124,314,286
	534,705	Knorr-Bremse AG		66,469,838
	1,521,028	Otis Worldwide Corp.		119,142,123
	1,293,224	Safran SA		195,548,103
		Total Capital Goods		505,474,350
		Consumer Durables & Apparel — 1.1%
	120,049	LVMH Moet Hennessy Louis Vuitton SE		96,163,123
		Consumer Services — 2.2%
	8,031,860	Compass Group Plc *		183,090,143
		Diversified Financials — 3.4%
	1,226,624	American Express Co.		196,419,301
	1,195,518	Charles Schwab Corp. (The)		88,289,004
		Total Diversified Financials		284,708,305
		Food, Beverage & Tobacco — 4.8%
	5,741,890	Coca-Cola Co. (The)		317,469,098
	699,684	Nestle SA (Registered)		86,423,656
		Total Food, Beverage & Tobacco		403,892,754
		Health Care Equipment & Services — 14.4%
	1,083,757	Abbott Laboratories		126,420,254
	637,413	Anthem, Inc.		253,830,605
	317,684	Cigna Corp.		82,232,503
	1,894,908	Medtronic Plc		239,876,404
	978,332	Quest Diagnostics, Inc.		128,816,974
	938,802	UnitedHealth Group, Inc.		386,711,320
		Total Health Care Equipment & Services		1,217,888,060
		Household & Personal Products — 2.1%
	2,829,591	Unilever Plc (a)		169,602,006
	209,571	Unilever Plc (a)		12,568,341
		Total Household & Personal Products		182,170,347
		Media & Entertainment — 7.4%
	107,460	Alphabet, Inc. – Class A *		253,267,101
	60,870	Alphabet, Inc. – Class C *		146,791,657
	681,688	Facebook, Inc. – Class A *		224,091,296
		Total Media & Entertainment		624,150,054
		Pharmaceuticals, Biotechnology & Life Sciences — 8.4%
	687,547	Eli Lilly & Co.		137,330,638

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	1,481,316	Johnson & Johnson		250,712,733
	1,881,769	Merck & Co., Inc.		142,807,449
	512,607	Roche Holding AG – Genusschein		179,438,824
		Total Pharmaceuticals, Biotechnology & Life Sciences		710,289,644
		Retailing — 2.5%
	3,123,135	TJX Cos, Inc. (The)		210,936,538
		Semiconductors & Semiconductor Equipment — 10.0%
	183,738	KLA Corp.		58,224,735
	419,078	Lam Research Corp.		272,337,838
	13,258,790	Taiwan Semiconductor Manufacturing Co Ltd		281,512,926
	1,210,349	Texas Instruments, Inc.		229,748,447
		Total Semiconductors & Semiconductor Equipment		841,823,946
		Software & Services — 22.3%
	1,085,595	Accenture Plc – Class A		306,311,485
	241,580	Adobe, Inc. *		121,896,436
	3,608,942	Cisco Systems, Inc.		190,913,032
	371,678	Global Payments, Inc.		71,997,745
	1,906,980	Microsoft Corp.		476,134,767
	3,916,903	Oracle Corp.		308,416,942
	469,776	salesforce.com, Inc. *		111,853,666
	1,326,911	SAP SE		185,785,726
	510,734	Visa, Inc. – Class A		116,089,838
		Total Software & Services		1,889,399,637
		Technology Hardware & Equipment — 3.6%
	2,467,641	Apple, Inc.		307,492,745
		Transportation — 0.9%
	1,301,909	Lyft, Inc. – Class A *		74,325,985
		TOTAL COMMON STOCKS (COST $4,354,251,840)		8,148,215,801
		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 — 2.1%
		Money Market Funds — 0.2%
	19,333,631	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		19,333,631

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government — 1.9%
	10,000,000	U.S. Treasury Bill, 0.02%, due 01/27/22 (c)		9,998,333
	10,000,000	U.S. Treasury Bill, 0.03%, due 02/24/22 (c)		9,998,232
	105,000,000	U.S. Treasury Bill, 0.03%, due 03/24/22 (c)		104,976,259
	30,000,000	U.S. Treasury Bill, 0.03%, due 04/21/22 (c)		29,991,135
		Total U.S. Goverment (Cost $154,933,062)		154,963,959
		TOTAL SHORT-TERM INVESTMENTS (COST $174,266,693)		174,297,590
		TOTAL INVESTMENTS — 98.6% (Cost $4,538,271,435)		8,332,344,352
		Other Assets and Liabilities (net) — 1.4%		118,925,800
		TOTAL NET ASSETS — 100.0%		$8,451,270,152

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 May 31, 2021.

(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)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 86.8%
		Argentina — 1.0%
	1,281,054	Adecoagro SA *		13,617,605
		Australia — 4.8%
	5,315,827	Beach Energy Ltd		5,227,245
	1,283,758	Fortescue Metals Group Ltd		21,924,422
	292,225	Juno Minerals Ltd *		37,171
	4,770,582	Jupiter Mines Ltd		1,065,597
	395,380	Mineral Resources Ltd		13,990,431
	3,494,128	Perenti Global Ltd (a)		1,792,324
	2,097,579	Sandfire Resources Ltd		11,563,140
	1,470,000	Sunrise Energy Metals Ltd *		2,700,124
	379,161	Tassal Group Ltd (a)		1,096,837
	2,088,124	Western Areas Ltd		4,023,117
		Total Australia		63,420,408
		Austria — 1.0%
	237,330	OMV AG		13,769,686
		Brazil — 3.3%
	871,700	Enauta Participacoes SA		2,587,486
	5,980,500	Petroleo Brasileiro SA		30,650,105
	1,677,557	Sao Martinho SA		11,108,178
		Total Brazil		44,345,769
		Canada — 6.9%
	628,255	Canadian Solar Inc * (a)		24,866,333
	273,400	Enerflex Ltd		1,805,994
	439,500	Enerplus Corp		2,878,725
	1,286,100	Greenlane Renewables Inc *		1,650,143
	5,797,100	Ivanhoe Mines Ltd – Class A *		42,612,680
	1,191,649	Largo Resources Ltd *		17,439,969
		Total Canada		91,253,844
		China — 3.3%
	6,622,000	China High Speed Transmission Equipment Group Co Ltd *		4,326,197
	3,696,000	China Water Affairs Group Ltd (a)		2,881,996
	22,662,000	CNOOC Ltd		24,840,342
	415,712	Sungrow Power Supply Co Ltd – Class A		5,928,665
	3,765,800	Xinjiang Goldwind Science & Technology Co Ltd – Class H (a)		6,292,752
		Total China		44,269,952
		Denmark — 0.4%
	148,357	Vestas Wind Systems A/S		5,799,679
		Finland — 0.6%
	58,725	Kemira Oyj		964,351
	98,559	Neste Oyj		6,500,635
		Total Finland		7,464,986

Shares		Description	Value ($)
		France — 1.8%
	86,063	Suez *		2,096,214
	117,025	Technip Energies NV *		1,776,928
	250,995	TOTAL SE		11,706,597
	116,179	Veolia Environnement SA		3,663,184
	58,741	Vilmorin & Cie SA		4,167,126
		Total France		23,410,049
		Hungary — 0.8%
	1,291,572	MOL Hungarian Oil & Gas Plc *		10,374,069
		India — 3.0%
	8,447,692	Oil & Natural Gas Corp Ltd		13,137,014
	1,819,861	Oil India Ltd		3,355,890
	6,333,680	Vedanta Ltd		23,338,094
		Total India		39,830,998
		Israel — 0.6%
	63,085	Equital Ltd *		1,732,419
	17,084	Israel Corp Ltd (The) *		5,176,721
	94,114	Naphtha Israel Petroleum Corp Ltd *		432,815
		Total Israel		7,341,955
		Italy — 0.1%
	673,609	Saipem SPA * (a)		1,673,297
		Japan — 1.6%
	160,800	Ebara Corp		7,902,622
	744,800	Inpex Corp		5,085,178
	123,900	Japan Petroleum Exploration Co Ltd		2,229,083
	116,000	Mitsubishi Materials Corp		2,478,573
	53,600	Nittetsu Mining Co Ltd		3,054,305
		Total Japan		20,749,761
		Mexico — 2.5%
	6,931,640	Grupo Mexico SAB de CV – Series B		33,269,645
		Norway — 2.4%
	1,083,341	Austevoll Seafood ASA		14,163,920
	3,286,527	DNO ASA *		3,490,685
	546,870	Equinor ASA		11,897,502
	118,284	TGS NOPEC Geophysical Co ASA		1,600,476
		Total Norway		31,152,583
		Pakistan — 0.5%
	3,324,222	Fauji Fertilizer Co Ltd		2,326,041
	4,174,147	Oil & Gas Development Co Ltd		2,579,856
	457,975	Pakistan Oilfields Ltd		1,094,112
		Total Pakistan		6,000,009
		Poland — 0.8%
	5,998,730	Polskie Gornictwo Naftowe i Gazownictwo SA		10,758,742

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Russia — 7.1%
	1,596,690	Gazprom Neft PJSC		8,267,839
	233,825	LUKOIL PJSC Sponsored ADR		19,032,756
	345,399	MMC Norilsk Nickel PJSC ADR		12,365,004
	99,722	Novatek PJSC Sponsored GDR (Registered)		19,851,862
	869,099	PhosAgro PJSC GDR (Registered)		17,790,460
	601,778	Ros Agro Plc GDR (Registered)		7,715,241
	1,449,690	Tatneft PJSC		9,750,257
		Total Russia		94,773,419
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd * (a) (b)		—
		South Africa — 0.7%
	276,397	African Rainbow Minerals Ltd		5,252,173
	113,620	Impala Platinum Holdings Ltd		1,962,005
	470,203	Sibanye Stillwater Ltd		2,143,530
		Total South Africa		9,357,708
		South Korea — 0.4%
	7,361	Korea Zinc Co Ltd		3,041,117
	3,792	Young Poong Corp		2,376,723
		Total South Korea		5,417,840
		Spain — 0.8%
	818,288	Repsol SA		10,947,179
		Switzerland — 0.4%
	2,102	Gurit Holding AG		5,618,678
		Turkey — 0.3%
	1,846,744	Koza Anadolu Metal Madencilik Isletmeleri AS *		3,381,704
		Ukraine — 0.5%
	402,490	Kernel Holding SA		6,319,883
		United Kingdom — 12.6%
	491,426	Anglo American Plc		21,815,991
	196,458	BHP Group Plc		5,924,111
	890,886	BP Plc		3,880,927
	1,173,251	Central Asia Metals Plc		4,519,396
	1,719,563	Ferrexpo Plc		10,922,448
	11,413,599	Glencore Plc *		51,920,961
	1,511,109	John Wood Group Plc *		5,236,758
	837,458	Petrofac Ltd *		1,577,357
	3,389,604	Royal Dutch Shell Plc – B Shares		61,627,193
		Total United Kingdom		167,425,142
		United States — 28.6%
	479,217	Aemetis, Inc. *		6,502,975
	112,000	AGCO Corp.		15,497,440
	98,700	Albemarle Corp.		16,490,796
	431,600	Ameresco, Inc. – Class A *		23,202,816

Shares		Description	Value ($)
		United States — continued
	207,900	Baker Hughes Co.		5,072,760
	1,272,200	Clean Energy Fuels Corp. *		10,075,824
	342,400	Darling Ingredients, Inc. *		23,440,704
	23,400	Deere & Co.		8,449,740
	24,100	Enphase Energy, Inc. *		3,447,505
	393,082	Freeport-McMoRan, Inc.		16,792,463
	925,124	GrafTech International Ltd.		12,285,647
	22,243,800	Kosmos Energy Ltd. * (c)		70,735,284
	272,400	Livent Corp. * (a)		5,314,524
	403,143	Montauk Renewables, Inc. *		3,910,487
	1,434,721	Mosaic Co. (The)		51,850,817
	391,700	ProPetro Holding Corp. *		3,893,498
	907,056	Renewable Energy Group, Inc. *		55,393,910
	70,455	SolarEdge Technologies, Inc. *		18,178,094
	567,418	Sunrun, Inc. *		25,374,933
	191,300	Talos Energy, Inc. *		2,712,634
		Total United States		378,622,851
		TOTAL COMMON STOCK (COST $891,590,747)		1,150,367,441
		PREFERRED STOCKS (d) — 8.5%
		Brazil — 5.7%
	4,955,360	Bradespar SA		66,480,951
	1,846,500	Petroleo Brasileiro SA		9,562,529
		Total Brazil		76,043,480
		Chile — 1.0%
	303,895	Sociedad Quimica y Minera de Chile SA Sponsored ADR		13,179,926
		Russia — 1.8%
	74,885	Bashneft PJSC		1,182,728
	5,747,484	Surgutneftegas PJSC		3,635,271
	2,912,079	Tatneft PJSC		18,617,205
		Total Russia		23,435,204
		TOTAL PREFERRED STOCKS (COST $83,230,188)		112,658,610
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, Expires 04/16/23 *(a)(b)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		SHORT-TERM INVESTMENTS — 4.0%
		Money Market Funds — 0.2%
	2,635,857	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)		2,635,857

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government — 3.8%
	3,200,000	U.S. Treasury Bill, 0.03%, due 03/24/22 (f)		3,199,276
	47,500,000	U.S. Treasury Bill, 0.04%, due 05/19/22 (f)		47,480,261
		Total U.S. Government		50,679,537
		TOTAL SHORT-TERM INVESTMENTS (COST $53,317,018)		53,315,394
		TOTAL INVESTMENTS — 99.3% (Cost $1,028,137,953)		1,316,341,445
		Other Assets and Liabilities (net) — 0.7%		9,552,503
		TOTAL NET ASSETS — 100.0%		$1,325,893,948

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) Affiliated company.

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

(e) The rate disclosed is the 7 day net yield as of May 31, 2021.

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

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.7%
		Australia — 4.4%
	6,116	Accent Group Ltd		12,835
	283	BHP Group Ltd		10,482
	43,732	Fortescue Metals Group Ltd		746,869
	11,688	Rio Tinto Ltd		1,108,661
	2,386	Sandfire Resources Ltd		13,153
		Total Australia		1,892,000
		Belgium — 0.9%
	2,819	Ageas SA/NV		182,373
	895	bpost SA *		11,947
	2,061	UCB SA		193,455
		Total Belgium		387,775
		Brazil — 0.3%
	24,800	Marfrig Global Foods SA		86,843
	1,700	Qualicorp Consultoria e Corretora de Seguros SA		9,450
	12,000	TIM SA		27,837
		Total Brazil		124,130
		China — 2.3%
	57,000	China Everbright Bank Co Ltd – Class H		24,319
	119,000	China Hongqiao Group Ltd		191,947
	73,000	China Lesso Group Holdings Ltd		184,971
	54,000	China Medical System Holdings Ltd		134,793
	34,000	China National Building Material Co Ltd – Class H		45,025
	290,000	China Railway Group Ltd – Class H		153,085
	38,500	China Resources Pharmaceutical Group Ltd		27,370
	3,000	China SCE Group Holdings Ltd		1,364
	32,000	China Traditional Chinese Medicine Holdings Co Ltd		20,571
	47,000	Metallurgical Corp of China Ltd – Class H		11,438
	11,000	PAX Global Technology Ltd		13,746
	50,300	Shanghai Pharmaceuticals Holding Co Ltd – Class H		109,956
	16,800	Sinopharm Group Co Ltd – Class H		56,035
	24,000	TCL Electronics Holdings Ltd *		16,075
	10,000	Tianneng Power International Ltd		18,017
		Total China		1,008,712
		Denmark — 0.1%
	2,425	Scandinavian Tobacco Group A/S		51,646
		Finland — 0.3%
	4,309	Kesko Oyj – B Shares		149,814
		France — 7.8%
	225	APERAM SA		12,405
	6,931	ArcelorMittal SA *		224,165
	15,057	BNP Paribas SA		1,036,601
	87	Christian Dior SE		69,894
	9,843	Cie de Saint-Gobain *		660,729

Shares		Description	Value ($)
		France — continued
	503	CNP Assurances		9,248
	22,870	Credit Agricole SA		342,787
	432	Kaufman & Broad SA		20,537
	10,347	Natixis SA *		51,134
	305	Nexans SA		26,990
	1,207	Quadient SA		35,354
	2,197	Renault SA *		91,168
	4,683	Sanofi		501,049
	31	SEB SA		5,817
	2,817	Societe Generale SA		90,198
	2,470	Television Francaise 1		25,818
	3,005	TOTAL SE		140,155
		Total France		3,344,049
		Germany — 5.8%
	3,430	Bayerische Motoren Werke AG		364,121
	2,482	CECONOMY AG *		13,949
	11,407	Daimler AG (Registered)		1,064,247
	5,605	Dialog Semiconductor Plc *		444,392
	2,415	HeidelbergCement AG		220,727
	436	Hornbach Holding AG & Co KGaA		48,613
	401	Traton SE		13,320
	836	Volkswagen AG		305,275
		Total Germany		2,474,644
		Hong Kong — 1.6%
	11,200	Dah Sing Banking Group Ltd		12,850
	100,000	IGG Inc		148,835
	9,500	Johnson Electric Holdings Ltd		25,300
	4,300	VTech Holdings Ltd		44,428
	524,000	WH Group Ltd		451,892
		Total Hong Kong		683,305
		Hungary — 0.2%
	3,883	Magyar Telekom Telecommunications Plc		5,534
	2,515	Richter Gedeon Nyrt		70,200
		Total Hungary		75,734
		India — 0.5%
	28,371	Power Finance Corp Ltd		47,129
	1,169	Rajesh Exports Ltd		8,355
	82,620	REC Ltd		166,608
		Total India		222,092
		Ireland — 1.1%
	4,181	CRH Plc		218,024
	2,060	CRH Plc Sponsored ADR		107,264
	349	Kingspan Group Plc		33,173
	2,348	Smurfit Kappa Group Plc		124,388
		Total Ireland		482,849

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Italy — 2.6%
	4,399	Anima Holding SPA		23,031
	3,466	Arnoldo Mondadori Editore SPA *		7,122
	7,804	Banco BPM SPA		27,626
	917	CNH Industrial NV		15,767
	1,103	De’ Longhi SPA		48,987
	32,223	Enel SPA		319,565
	616	Esprinet SPA		10,527
	5,754	EXOR NV		495,389
	2,294	Mediobanca Banca di Credito Finanziario SPA *		27,315
	491	Poste Italiane SPA		6,884
	73,189	Telecom Italia SPA		39,185
	97,194	Telecom Italia SPA – RSP		55,541
	877	Unieuro SPA *		27,303
	5,520	Unipol Gruppo SPA		30,526
		Total Italy		1,134,768
		Japan — 20.2%
	200	AGC Inc		8,743
	1,200	AnGes Inc *		11,327
	14,500	Asahi Kasei Corp		162,814
	41,700	Astellas Pharma Inc		665,365
	600	BASE Inc *		9,293
	9,500	Brother Industries Ltd		202,192
	500	Canon Inc		11,926
	300	Change Inc *		8,098
	800	Chubu Electric Power Co Inc		9,547
	100	Chugai Pharmaceutical Co Ltd		3,784
	1,400	Create Restaurants Holdings Inc *		10,219
	500	CyberAgent Inc		9,944
	100	Daito Trust Construction Co Ltd		10,888
	6,400	Daiwabo Holdings Co Ltd		99,525
	1,700	DCM Holdings Co Ltd		15,728
	1,200	Dexerials Corp		24,432
	100	Food & Life Cos Ltd		4,446
	100	Freee KK *		7,410
	700	Fuji Corp		17,681
	1,900	Fuji Electric Co Ltd		89,185
	900	FUJIFILM Holdings Corp		61,965
	900	Fujitsu General Ltd		22,077
	3,700	Fujitsu Ltd		603,553
	300	giftee Inc *		9,196
	6	GLP J-REIT		10,198
	200	Hamamatsu Photonics KK		12,229
	400	Haseko Corp		5,714
	12,600	Hitachi Ltd		663,883
	1,300	Hitachi Zosen Corp		8,608
	200	Ibiden Co Ltd		9,233
	800	Iida Group Holdings Co Ltd		21,512
	4,000	Inpex Corp		27,310
	29,300	ITOCHU Corp		883,572
	1,100	Japan Post Holdings Co Ltd		9,272
	7,300	Japan Post Insurance Co Ltd		145,147

Shares		Description	Value ($)
		Japan — continued
	9,600	Japan Tobacco Inc		190,707
	700	JFE Holdings Inc		9,449
	3,100	K’s Holdings Corp		37,339
	2,000	Kajima Corp		27,747
	1,000	Kansai Electric Power Co Inc (The)		9,447
	30,700	KDDI Corp		1,046,524
	600	Kohnan Shoji Co Ltd		16,414
	300	Komatsu Ltd		9,044
	800	Komeri Co Ltd		19,064
	100	M3 Inc		6,718
	200	Makuake Inc *		11,177
	10,800	Marubeni Corp		96,433
	600	Maruwa Unyu Kikan Co Ltd		8,451
	1,000	MCJ Co Ltd		9,997
	300	Medley Inc *		11,642
	400	MINEBEA MITSUMI Inc		10,925
	14,000	Mitsubishi Chemical Holdings Corp		113,149
	1,900	Mitsubishi Gas Chemical Co Inc		44,649
	3,600	Mitsubishi Motors Corp *		10,051
	115,800	Mitsubishi UFJ Financial Group Inc		665,055
	7,900	Mitsui & Co Ltd		174,736
	700	Mixi Inc		17,136
	700	Mizuho Financial Group Inc		10,846
	600	Modalis Therapeutics Corp *		7,723
	1,100	Monex Group Inc		8,539
	3,100	NEC Networks & System Integration Corp		49,622
	200	Neural Pocket Inc *		9,229
	1,000	Nichias Corp		24,870
	100	Nidec Corp		11,467
	500	Nihon Jyoho Create Co Ltd *		9,061
	700	Nippon Paint Holdings Co Ltd		10,191
	34,800	Nippon Telegraph & Telephone Corp		942,394
	1,900	Nissan Motor Co Ltd *		9,557
	500	Nitto Denko Corp		39,458
	500	Olympus Corp		10,652
	600	ORIX Corp		10,600
	4,100	Panasonic Corp		46,566
	800	Rakuten Group Inc		9,266
	10,100	Renesas Electronics Corp *		105,836
	500	Rozetta Corp		9,177
	700	SanBio Co Ltd *		9,254
	100	SCREEN Holdings Co Ltd		9,309
	3,900	Sekisui Chemical Co Ltd		67,995
	300	Shimadzu Corp		10,646
	100	Shimamura Co Ltd		9,600
	100	SoftBank Group Corp		7,617
	30,100	Sojitz Corp		93,262
	900	Sony Group Corp		89,493
	600	Sosei Group Corp *		8,523
	300	Stanley Electric Co Ltd		8,999
	400	SUMCO Corp		9,236
	35,900	Sumitomo Chemical Co Ltd		199,100
	300	Sumitomo Realty & Development Co Ltd		10,195

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,700	Suruga Bank Ltd		8,904
	300	Suzuki Motor Corp		13,091
	300	Takeda Pharmaceutical Co Ltd		10,251
	300	TDK Corp		37,779
	3,200	Tokyo Electric Power Co Holdings Inc *		10,017
	800	Tokyo Seimitsu Co Ltd		39,766
	5,000	Tosoh Corp		88,902
	2,900	Toyota Tsusho Corp		132,232
	700	TS Tech Co Ltd		9,949
	300	Unicharm Corp		11,911
	600	Ushio Inc		8,605
	200	Yaskawa Electric Corp		9,476
		Total Japan		8,661,036
		Malta — 0.0%
	1,718,063	BGP Holdings Plc * (a)		—
		Mexico — 0.1%
	6,600	Cemex SAB de CV Sponsored ADR *		54,648
		Netherlands — 7.7%
	460	ASM International NV		143,869
	4,576	ASR Nederland NV		197,083
	444	Heineken Holding NV		44,946
	25,621	ING Groep NV		358,517
	30,507	Koninklijke Ahold Delhaize NV		888,130
	1,633	NN Group NV		83,117
	38,486	PostNL NV		226,184
	6,401	Randstad NV		498,458
	6,764	Signify NV		418,344
	21,283	Stellantis NV		416,379
	1,641	TomTom NV *		14,957
		Total Netherlands		3,289,984
		Norway — 1.4%
	14,355	Aker Solutions ASA *		26,136
	5,392	BW LPG Ltd		37,266
	6,164	DNB ASA		137,572
	1,348	Equinor ASA		29,327
	19,370	Norsk Hydro ASA		125,495
	17,659	Orkla ASA		184,157
	1,503	SpareBank 1 Nord Norge		15,214
	2,652	SpareBank 1 SR-Bank ASA		36,595
	4,556	XXL ASA *		11,537
		Total Norway		603,299
		Poland — 0.1%
	233	Asseco Poland SA		4,633
	31,128	Polskie Gornictwo Naftowe i Gazownictwo SA		55,828
		Total Poland		60,461

Shares		Description	Value ($)
		Portugal — 2.6%
	257,042	Banco Comercial Portugues SA – Class R *		50,013
	5,083	EDP Renovaveis SA		120,770
	138,366	EDP – Energias de Portugal SA		805,456
	6,560	Galp Energia SGPS SA		82,261
	4,043	Jeronimo Martins SGPS SA		78,211
		Total Portugal		1,136,711
		Russia — 1.5%
	42,015	Gazprom PJSC Sponsored ADR		298,290
	705,000	Inter RAO UES PJSC		48,645
	1,529	LUKOIL PJSC		124,109
	833	LUKOIL PJSC Sponsored ADR		67,804
	399,000	ROSSETI PJSC		7,655
	4,559	Sberbank of Russia PJSC Sponsored ADR		76,746
	9,800	Surgutneftegas PJSC		4,845
		Total Russia		628,094
		Singapore — 3.9%
	41,699	DBS Group Holdings Ltd		958,101
	1,600	Jardine Cycle & Carriage Ltd		26,798
	8,200	Sembcorp Industries Ltd		13,625
	5,700	Venture Corp Ltd		82,911
	96,900	Wilmar International Ltd		350,617
	189,900	Yangzijiang Shipbuilding Holdings Ltd		213,648
	16,000	Yanlord Land Group Ltd		15,469
		Total Singapore		1,661,169
		South Africa — 0.1%
	2,613	Aspen Pharmacare Holdings Ltd *		31,088
	11,423	Netcare Ltd *		12,764
		Total South Africa		43,852
		South Korea — 2.3%
	506	Daesang Corp		13,394
	411	DB Insurance Co Ltd		18,639
	2,783	DGB Financial Group Inc		23,557
	419	DoubleUGames Co Ltd		25,386
	719	E-MART Inc		100,581
	6,721	Hana Financial Group Inc		274,366
	19,036	Hanwha Life Insurance Co Ltd		66,780
	811	Hanyang Eng Co Ltd		13,521
	1,823	Kia Corp		137,908
	1,289	KT&G Corp		96,734
	74	LG Electronics Inc		10,052
	312	NEOWIZ HOLDINGS Corp *		8,914
	293	Sebang Global Battery Co Ltd		24,999
	447	Silicon Works Co Ltd		42,756
	2,150	Yuhan Corp		123,180
		Total South Korea		980,767
		Spain — 5.1%
	2,262	Acerinox SA		32,230

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Spain — continued
	3,876	ACS Actividades de Construccion y Servicios SA		119,471
	54,745	Banco Bilbao Vizcaya Argentaria SA *		341,927
	18,099	Banco de Sabadell SA *		13,924
	160,164	Banco Santander SA *		674,563
	10,910	CaixaBank SA		37,824
	1,031	Cia de Distribucion Integral Logista Holdings SA		22,543
	480	Ebro Foods SA		10,182
	67,545	Iberdrola SA		931,040
	1,976	Mediaset Espana Comunicacion SA *		13,859
		Total Spain		2,197,563
		Sweden — 0.6%
	1,355	Betsson AB *		599
	1,355	Betsson AB – Class B *		12,059
	372	Mycronic AB		11,899
	2,050	Swedish Match AB		19,006
	2,778	Volvo AB – A Shares		75,298
	5,940	Volvo AB – B Shares		156,549
		Total Sweden		275,410
		Switzerland — 5.2%
	1,274	Adecco Group AG (Registered)		88,175
	160	ALSO Holding AG (Registered) *		47,376
	8,861	Novartis AG (Registered)		782,787
	3,541	Roche Holding AG – Genusschein		1,239,532
	1,480	UBS Group AG (Registered)		24,118
	165	Vetropack Holding AG (Registered)		10,432
	597	Wizz Air Holdings Plc *		40,824
		Total Switzerland		2,233,244
		Taiwan — 0.9%
	7,000	Asustek Computer Inc		98,676
	32,000	Grand Pacific Petrochemical *		30,165
	101,000	Pou Chen Corp		139,211
	27,000	Radiant Opto-Electronics Corp		114,675
	5,302	TOPBI International Holdings Ltd		2,782
		Total Taiwan		385,509
		Thailand — 0.1%
	93,200	AP Thailand Pcl NVDR		25,642
		Turkey — 0.7%
	4,441	Alarko Gayrimenkul Yatirim Ortakligi AS (REIT)		11,446
	18,651	Arcelik AS		69,574
	4,646	Dogus Otomotiv Servis ve Ticaret AS		14,277
	61,796	Eregli Demir ve Celik Fabrikalari TAS		138,854
	5,612	Selcuk Ecza Deposu Ticaret ve Sanayi AS		5,807
	330	TAV Havalimanlari Holding AS *		902
	1,488	Turk Telekomunikasyon AS		1,199
	61,858	Turkiye Is Bankasi AS – Class C		36,808
	52,733	Turkiye Sinai Kalkinma Bankasi AS		8,100
	1,982	Turkiye Sise ve Cam Fabrikalari AS		1,834

Shares		Description	Value ($)
		Turkey — continued
	37,931	Yapi ve Kredi Bankasi AS		9,577
		Total Turkey		298,378
		United Kingdom — 15.3%
	12,483	3i Group Plc		219,658
	2,643	Anglo American Plc		117,331
	217	Ashtead Group Plc		15,830
	27,281	Aviva Plc		158,978
	1,200	Barclays Plc Sponsored ADR		12,696
	44,160	Barratt Developments Plc		472,637
	1,908	Bellway Plc		96,783
	2,456	Berkeley Group Holdings Plc (The)		162,777
	3,900	BP Plc Sponsored ADR		102,297
	9,590	British American Tobacco Plc		369,361
	16,900	British American Tobacco Plc Sponsored ADR		653,523
	70,162	BT Group Plc *		173,672
	2,129	Coca-Cola HBC AG *		77,473
	2,141	Dunelm Group Plc		44,527
	5,055	Electrocomponents Plc		70,893
	3,697	Ferguson Plc		502,090
	16,208	Ferrexpo Plc		102,951
	19,200	GlaxoSmithKline Plc Sponsored ADR		744,384
	6,597	IG Group Holdings Plc		80,126
	8,844	Inchcape Plc		98,036
	14,815	JD Sports Fashion Plc *		198,308
	6,108	John Laing Group Plc		34,810
	65,413	Kingfisher Plc *		331,974
	59,904	Legal & General Group Plc		241,504
	610	Morgan Sindall Group Plc		19,324
	3,392	Next Plc *		391,717
	1,774	OSB Group Plc		11,777
	13,280	Persimmon Plc		593,779
	4,383	Pets at Home Group Plc		27,854
	4,503	Plus500 Ltd		96,405
	8,635	QinetiQ Group Plc		43,514
	13,844	Royal Mail Plc *		113,526
	3,905	Spirent Communications Plc		13,802
	14,722	Tate & Lyle Plc		159,922
		Total United Kingdom		6,554,239
		TOTAL COMMON STOCKS (COST $30,089,573)		41,121,524
		PREFERRED STOCKS (b) — 2.0%
		Germany — 1.9%
	683	Bayerische Motoren Werke AG		62,302
	186	Draegerwerk AG & Co KGaA		17,276
	2,649	Volkswagen AG		729,266
		Total Germany		808,844

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Russia — 0.1%
	43,100	Surgutneftegas PJSC		27,260
		TOTAL PREFERRED STOCKS (COST $681,157)		836,104
		MUTUAL FUNDS — 2.0%
		United States — 2.0%
		Affiliated Issuers — 2.0%
	173,644	GMO U.S. Treasury Fund		875,165
		TOTAL MUTUAL FUNDS (COST $875,123)		875,165

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.8%
	341,186	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		341,186
		TOTAL SHORT-TERM INVESTMENTS (COST $341,186)		341,186
		TOTAL INVESTMENTS — 100.5% (Cost $31,987,039)		43,173,979
		Other Assets and Liabilities (net) — (0.5%)		(209,560	)
		TOTAL NET ASSETS — 100.0%		$42,964,419

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
3	MSCI EAFE		June 2021	$	350,550	$	21,562

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of May 31, 2021.

Portfolio Abbreviations:

ADR - American Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.0%
		Automobiles & Components — 1.0%
	24,282	BorgWarner, Inc.		1,245,424
	5,477	Cooper Tire & Rubber Co.		325,224
	24,614	Dana, Inc.		667,778
	5,821	Lear Corp.		1,125,549
		Total Automobiles & Components		3,363,975
		Banks — 6.0%
	37,092	Associated Banc-Corp.		852,745
	3,000	Axos Financial, Inc. *		142,230
	38,341	Citizens Financial Group, Inc.		1,913,216
	4,100	Commerce Bancshares, Inc.		319,308
	6,000	CVB Financial Corp.		133,080
	12,951	East West Bancorp, Inc.		968,476
	21,894	Eastern Bankshares, Inc.		490,426
	55,348	Fifth Third Bancorp		2,332,365
	12,333	First Horizon Corp.		235,190
	5,649	Flagstar Bancorp, Inc.		258,724
	10,300	Fulton Financial Corp.		178,499
	8,098	Hilltop Holdings, Inc.		300,841
	23,635	Huntington Bancshares, Inc.		374,851
	11,369	KeyCorp.		261,942
	11,460	M&T Bank Corp.		1,841,507
	14,600	Old National Bancorp		278,130
	9,512	PNC Financial Services Group, Inc. (The)		1,851,796
	5,676	Popular, Inc.		463,218
	43,896	Regions Financial Corp.		1,027,605
	1,331	Signature Bank/New York NY		332,417
	1,287	SVB Financial Group *		750,180
	9,000	Trustmark Corp.		301,950
	3,100	UMB Financial Corp.		299,801
	66,395	US Bancorp		4,035,488
	6,400	Washington Federal, Inc.		213,376
	7,318	Wintrust Financial Corp.		588,514
		Total Banks		20,745,875
		Capital Goods — 10.0%
	4,674	3M Co.		949,009
	22,280	A O Smith Corp.		1,583,440
	10,753	AGCO Corp.		1,487,893
	8,242	API Group Corp. *		174,318
	1,200	Applied Industrial Technologies, Inc.		117,552
	1,200	Atkore, Inc. *		92,640
	4,947	Boise Cascade Co.		326,452
	13,459	Builders FirstSource, Inc. *		599,464
	1,202	Carlisle Cos, Inc.		231,169
	84,453	Carrier Global Corp.		3,878,926
	12,106	Cummins, Inc.		3,114,632
	3,835	Curtiss-Wright Corp.		480,602
	2,600	Deere & Co.		938,860
	9,150	EMCOR Group, Inc.		1,153,906
	8,043	Fortive Corp.		583,278

Shares		Description	Value ($)
		Capital Goods — continued
	3,000	Fortune Brands Home & Security, Inc.		309,480
	6,000	Gates Industrial Corp Plc *		108,960
	4,000	Honeywell International, Inc.		923,640
	7,283	Masco Corp.		439,238
	5,388	Moog, Inc. – Class A		485,998
	10,683	Mueller Industries, Inc.		496,012
	16,381	Owens Corning		1,747,034
	10,282	PACCAR, Inc.		941,420
	6,078	Parker-Hannifin Corp.		1,872,936
	5,300	Primoris Services Corp.		168,487
	9,839	Resideo Technologies, Inc. *		294,186
	4,963	Stanley Black & Decker, Inc.		1,075,978
	39,017	Textron, Inc.		2,671,494
	7,161	Timken Co. (The)		633,390
	2,303	Toro Co. (The)		255,840
	18,748	Trane Technologies Plc		3,494,627
	34,536	UFP Industries, Inc.		2,746,303
	515	WW Grainger, Inc.		238,012
		Total Capital Goods		34,615,176
		Commercial & Professional Services — 1.4%
	15,200	ACCO Brands Corp.		138,472
	12,904	Brady Corp. – Class A		738,496
	10,343	CBIZ, Inc. *		343,491
	2,646	Cimpress Plc *		262,774
	2,100	Deluxe Corp.		95,676
	8,859	Herman Miller, Inc.		423,460
	13,828	HNI Corp.		630,834
	2,300	ICF International, Inc.		202,170
	1,400	Jacobs Engineering Group, Inc.		198,912
	9,100	Kforce, Inc.		570,661
	6,407	ManpowerGroup, Inc.		775,183
	2,000	Matthews International Corp. – Class A		78,140
	15,044	Steelcase, Inc. – Class A		217,687
		Total Commercial & Professional Services		4,675,956
		Consumer Durables & Apparel — 4.9%
	1,874	Deckers Outdoor Corp. *		628,615
	19,726	DR Horton, Inc.		1,879,690
	14,200	Ethan Allen Interiors, Inc.		409,954
	31,041	Garmin Ltd.		4,415,272
	23,781	La-Z-Boy, Inc.		980,491
	26,168	MDC Holdings, Inc.		1,516,436
	10,905	Mohawk Industries, Inc. *		2,297,465
	53,730	PulteGroup, Inc.		3,105,057
	14,417	Tempur Sealy International, Inc.		555,054
	49,852	TRI Pointe Group, Inc. *		1,202,430
		Total Consumer Durables & Apparel		16,990,464
		Consumer Services — 0.4%
	2,900	Adtalem Global Education, Inc. *		105,502
	900	Graham Holdings Co. – Class B		596,286

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Consumer Services — continued
	17,275	Perdoceo Education Corp. *		210,582
	8,300	Service Corp. International		440,066
		Total Consumer Services		1,352,436
		Diversified Financials — 5.3%
	35,307	Ally Financial, Inc.		1,931,646
	2,837	American Express Co.		454,289
	37,710	Bank of New York Mellon Corp. (The)		1,963,937
	10,286	Discover Financial Services		1,206,136
	6,400	Donnelley Financial Solutions, Inc. *		190,784
	29,243	Enova International, Inc. *		1,107,432
	40,311	Federated Hermes, Inc.		1,281,890
	1,300	Nelnet, Inc. – Class A		98,176
	6,078	OneMain Holdings, Inc.		351,551
	3,247	PROG Holdings, Inc.		171,182
	24,180	Raymond James Financial, Inc.		3,206,026
	38,800	Santander Consumer USA Holdings, Inc.		1,470,520
	12,313	SEI Investments Co.		781,137
	34,787	SLM Corp.		704,437
	20,723	State Street Corp.		1,802,487
	30,103	Synchrony Financial		1,427,183
		Total Diversified Financials		18,148,813
		Energy — 2.4%
	50,616	CNX Resources Corp. *		689,390
	11,100	Denbury, Inc. *		743,922
	63,359	Exxon Mobil Corp.		3,698,265
	24,370	Phillips 66		2,052,441
	30,519	World Fuel Services Corp.		937,849
		Total Energy		8,121,867
		Food & Staples Retailing — 0.9%
	85,945	Kroger Co. (The)		3,178,246
		Food, Beverage & Tobacco — 4.3%
	29,500	Altria Group, Inc.		1,451,990
	38,763	Archer-Daniels-Midland Co.		2,578,902
	47,629	Mondelez International, Inc. – Class A		3,025,870
	74,900	Philip Morris International, Inc.		7,222,607
	9,965	Universal Corp.		558,439
		Total Food, Beverage & Tobacco		14,837,808
		Health Care Equipment & Services — 2.7%
	12,141	AmerisourceBergen Corp.		1,393,058
	35,598	Cardinal Health, Inc.		1,995,980
	1,888	Laboratory Corp. of America Holdings *		518,218
	27,381	McKesson Corp.		5,267,831
		Total Health Care Equipment & Services		9,175,087
		Household & Personal Products — 1.1%
	35,718	Colgate-Palmolive Co.		2,992,454
	4,448	Nu Skin Enterprises, Inc. – Class A		267,592

Shares		Description	Value ($)
		Household & Personal Products — continued
	5,800	Spectrum Brands Holdings, Inc.		515,562
		Total Household & Personal Products		3,775,608
		Insurance — 4.1%
	48,996	Aflac, Inc.		2,777,093
	30,686	Allstate Corp. (The)		4,192,014
	10,900	CNA Financial Corp.		521,129
	38,222	Fidelity National Financial, Inc.		1,796,052
	22,815	First American Financial Corp.		1,467,233
	6,825	Old Republic International Corp.		179,224
	5,509	Principal Financial Group, Inc.		360,234
	22,244	Progressive Corp. (The)		2,203,936
	8,963	Stewart Information Services Corp.		540,917
		Total Insurance		14,037,832
		Materials — 5.6%
	59	AptarGroup, Inc.		8,691
	12,553	Arconic Corp. *		454,042
	1,274	Ashland Global Holdings, Inc.		120,826
	8,293	Avery Dennison Corp.		1,828,855
	9,169	Avient Corp.		476,605
	8,653	Berry Global Group, Inc. *		590,221
	2,300	Cabot Corp.		146,234
	15,226	Corteva, Inc.		692,783
	17,707	Crown Holdings, Inc.		1,828,071
	17,872	Eastman Chemical Co.		2,241,149
	16,093	FMC Corp.		1,877,892
	32,500	Huntsman Corp.		922,350
	8,957	LyondellBasell Industries NV – Class A		1,008,737
	1,973	NewMarket Corp.		677,193
	8,159	Nucor Corp.		836,624
	7,100	O -I Glass, Inc.*		130,853
	19,056	Pactiv Evergreen, Inc.		282,791
	9,496	Reliance Steel & Aluminum Co.		1,595,993
	3,132	Scotts Miracle-Gro Co. (The)		680,803
	8,183	Sealed Air Corp.		465,285
	2,535	Sherwin-Williams Co. (The)		718,749
	27,648	Silgan Holdings, Inc.		1,164,810
	2,474	Stepan Co.		333,149
	2,100	Trinseo SA		136,374
	1,300	Westlake Chemical Corp.		131,131
		Total Materials		19,350,211
		Media & Entertainment — 5.5%
	37,227	Activision Blizzard, Inc.		3,620,326
	400	Alphabet, Inc. – Class A *		942,740
	1,373	Alphabet, Inc. – Class C *		3,311,072
	27,133	Comcast Corp. – Class A		1,555,806
	5,742	Electronic Arts, Inc.		820,704
	13,600	Facebook, Inc. – Class A *		4,470,728
	10,600	Fox Corp. – Class A		395,910
	1,900	IAC/InterActiveCorp *		302,993

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Media & Entertainment — continued
	48,594	Interpublic Group of Cos., Inc. (The)		1,637,132
	34,800	News Corp. – Class A		939,252
	5,100	News Corp. – Class B		131,019
	3,622	Omnicom Group, Inc.		297,873
	29,918	TEGNA, Inc.		580,110
	3,084	Vimeo, Inc. *		129,555
		Total Media & Entertainment		19,135,220
		Pharmaceuticals, Biotechnology & Life Sciences — 8.5%
	53,441	Bristol-Myers Squibb Co.		3,512,143
	33,176	Eli Lilly & Co.		6,626,574
	12,100	Johnson & Johnson		2,047,925
	111,050	Merck & Co., Inc.		8,427,584
	201,476	Pfizer, Inc.		7,803,165
	10,695	Prestige Consumer Healthcare, Inc. *		533,360
	2,961	United Therapeutics Corp. *		550,450
		Total Pharmaceuticals, Biotechnology & Life Sciences		29,501,201
		Real Estate — 0.5%
	5,200	CBRE Group, Inc. – Class A*		456,456
	76,920	Realogy Holdings Corp. *		1,362,253
		Total Real Estate		1,818,709
		Retailing — 10.8%
	26,968	Abercrombie & Fitch Co. – Class A *		1,151,534
	1,674	Amazon.com, Inc. *		5,395,419
	7,148	Asbury Automotive Group, Inc. *		1,417,377
	17,466	AutoNation, Inc. *		1,783,803
	29	AutoZone, Inc. *		40,791
	18,163	Big Lots, Inc.		1,106,853
	23,389	Core-Mark Holding Co., Inc.		1,072,620
	1,767	Dollar General Corp.		358,630
	45,556	Gap Inc. (The)		1,523,848
	7,154	Group 1 Automotive, Inc.		1,140,920
	2,800	Haverty Furniture Cos, Inc.		128,632
	31,339	L Brands, Inc. *		2,189,656
	14,115	Lowe’s Cos., Inc.		2,750,025
	7,677	MarineMax, Inc. *		394,828
	12,267	Murphy U.S.A., Inc.		1,653,714
	22,196	Penske Automotive Group, Inc.		1,899,756
	47,978	Qurate Retail, Inc. – Series A		653,940
	7,179	Rent-A-Center, Inc.		443,734
	7,100	Signet Jewelers Ltd. *		430,118
	4,877	Sleep Number Corp. *		543,737
	39,804	Target Corp.		9,032,324
	9,400	Urban Outfitters, Inc. *		368,104
	11,410	Williams-Sonoma, Inc.		1,934,451
		Total Retailing		37,414,814
		Semiconductors & Semiconductor Equipment — 2.2%
	18,380	Applied Materials, Inc.		2,538,829

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — continued
	2,992	Cirrus Logic, Inc. *		233,586
	7,654	Entegris, Inc.		876,000
	53,543	Intel Corp.		3,058,376
	6,100	Kulicke & Soffa Industries, Inc.		316,590
	3,967	Maxim Integrated Products, Inc.		404,674
		Total Semiconductors & Semiconductor Equipment		7,428,055
		Software & Services — 10.3%
	28,847	Amdocs Ltd.		2,252,951
	17,622	Cadence Design Systems, Inc. *		2,237,818
	93,052	Cisco Systems, Inc.		4,922,451
	1,716	Concentrix Corp. *		262,068
	2,000	Dolby Laboratories, Inc. – Class A		195,080
	700	International Business Machines Corp.		100,618
	3,521	Intuit, Inc.		1,546,036
	70,519	Microsoft Corp.		17,607,184
	11,246	NortonLifeLock, Inc.		311,064
	30,353	Oracle Corp.		2,389,995
	1,991	Progress Software Corp.		88,739
	11,875	Sykes Enterprises, Inc. *		497,800
	10,874	Synopsys, Inc. *		2,765,693
	15,294	Western Union Co. (The)		374,244
		Total Software & Services		35,551,741
		Technology Hardware & Equipment — 9.3%
	106,524	Apple, Inc.		13,273,956
	17,437	Arrow Electronics, Inc. *		2,098,194
	3,400	Avid Technology, Inc. *		104,992
	15,522	Avnet, Inc.		683,899
	2,800	CTS Corp.		107,100
	6,200	Dell Technologies – Class C *		611,568
	173,944	HP, Inc.		5,084,383
	4,293	Insight Enterprises, Inc. *		448,533
	23,150	Juniper Networks, Inc.		609,540
	8,000	Methode Electronics, Inc.		387,040
	10,274	NetApp, Inc.		794,899
	11,633	NETGEAR, Inc. *		452,291
	11,198	Sanmina Corp. *		471,548
	11,786	Seagate Technology Holdings Plc		1,128,509
	8,600	Super Micro Computer, Inc. *		298,764
	29,219	TE Connectivity Ltd.		3,964,434
	43,400	Vishay Intertechnology, Inc.		1,044,638
	29,195	Xerox Holdings Corp.		684,623
		Total Technology Hardware & Equipment		32,248,911
		Telecommunication Services — 1.8%
	108,258	Telephone & Data Systems, Inc.		2,784,396
	8,100	United States Cellular Corp. *		305,775
	54,440	Verizon Communications, Inc.		3,075,315
		Total Telecommunication Services		6,165,486

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Transportation — 0.0%
	4,600	Schneider National, Inc. – Class B		112,654
		TOTAL COMMON STOCKS (COST $267,129,525)		341,746,145
		MUTUAL FUNDS — 0.8%
		Affiliated Issuers — 0.8%
	545,694	GMO U.S. Treasury Fund		2,750,296
		TOTAL MUTUAL FUNDS (COST $2,750,296)		2,750,296

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	296,099	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		296,099
		TOTAL SHORT-TERM INVESTMENTS (COST $296,099)		296,099
		TOTAL INVESTMENTS — 99.9% (Cost $270,175,920)		344,792,540
		Other Assets and Liabilities (net) — 0.1%		479,255
		TOTAL NET ASSETS — 100.0%		$345,271,795

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
9	S&P 500 E-Mini		June 2021	$	1,891,080	$	73,952

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2021.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.6%
		Automobiles & Components — 1.0%
	26,624	Cooper Tire & Rubber Co.		1,580,933
	3,382	Cooper-Standard Holding, Inc. *		100,648
	12,700	Dana, Inc.		344,551
	7,968	Patrick Industries, Inc.		682,858
	16,355	Stoneridge, Inc.*		497,846
		Total Automobiles & Components		3,206,836
		Banks — 20.9%
	10,306	1st Source Corp.		509,838
	19,725	Amalgamated Financial Corp.		320,926
	2,571	Arrow Financial Corp.		95,384
	191,199	Associated Banc-Corp.		4,395,665
	22,578	Axos Financial, Inc. *		1,070,423
	10,291	Bancorp, Inc. (The) *		249,454
	12,100	BancorpSouth Bank		370,018
	19,465	Banner Corp.		1,139,286
	14,376	BOK Financial Corp.		1,308,791
	64,570	Boston Private Financial Holdings, Inc.		989,858
	40,591	Brookline Bancorp, Inc.		684,364
	53,676	Cathay General Bancorp		2,237,216
	2,335	Century Bancorp, Inc. – Class A		266,423
	4,670	Civista Bancshares, Inc.		110,866
	7,567	CNB Financial Corp.		183,954
	8,996	Community Trust Bancorp, Inc.		397,443
	22,690	Customers Bancorp, Inc. *		858,816
	6,900	Eagle Bancorp, Inc.		394,266
	14,704	Enterprise Financial Services Corp.		726,525
	13,204	Financial Institutions, Inc.		424,245
	126,635	First BanCorp/Puerto Rico		1,619,662
	19,129	First Busey Corp.		512,466
	78,368	First Commonwealth Financial Corp.		1,187,275
	6,905	First Community Bankshares, Inc.		215,160
	56,598	First Financial Bancorp		1,441,551
	3,153	First Foundation, Inc.		79,140
	700	First Hawaiian, Inc.		19,712
	52,000	First Midwest Bancorp Inc./IL		1,088,360
	120,412	Flagstar Bancorp, Inc.		5,514,870
	24,253	Flushing Financial Corp.		566,793
	26,031	FNB Corp./PA		349,076
	126,266	Fulton Financial Corp.		2,188,190
	4,912	Great Southern Bancorp, Inc.		277,479
	30,400	Great Western Bancorp, Inc.		1,017,184
	3,175	Hancock Whitney Corp.		157,194
	26,289	Hanmi Financial Corp.		551,543
	19,000	Heartland Financial USA, Inc.		945,250
	80,324	Hilltop Holdings, Inc.		2,984,037
	3,400	HomeTrust Bancshares, Inc.		96,458
	66,800	Hope Bancorp, Inc.		1,022,040
	14,791	Independent Bank Corp.		344,630
	64,151	International Bancshares Corp.		2,976,606
	5,636	Mercantile Bank Corp.		182,043

Shares		Description	Value ($)
		Banks — continued
	4,348	Merchants Bancorp		186,747
	20,128	Meridian Bancorp, Inc.		443,822
	21,126	NBT Bancorp, Inc.		823,703
	28,984	Northfield Bancorp, Inc.		490,699
	104,180	OFG Bancorp		2,510,738
	83,385	Old National Bancorp		1,588,484
	2,496	Origin Bancorp, Inc.		110,198
	35,741	PacWest Bancorp		1,614,421
	15,300	Popular, Inc.		1,248,633
	43,028	Premier Financial Corp.		1,312,354
	49,911	Provident Financial Services, Inc.		1,260,752
	7,000	QCR Holdings, Inc.		334,670
	5,395	RBB Bancorp		131,638
	2,013	Republic Bancorp, Inc. – Class A		93,504
	4,590	Sierra Bancorp		127,235
	2,416	Territorial Bancorp, Inc.		63,106
	22,229	Texas Capital Bancshares, Inc. *		1,531,133
	27,696	Towne Bank		887,103
	19,886	TriCo Bancshares		953,534
	12,721	TrustCo Bank Corp. NY		497,757
	39,343	Trustmark Corp.		1,319,958
	8,226	UMB Financial Corp.		795,536
	12,729	Univest Financial Corp.		371,178
	17,706	Walker & Dunlop, Inc.		1,797,867
	63,600	Washington Federal, Inc.		2,120,424
	4,899	Washington Trust Bancorp, Inc.		269,396
	38,567	Waterstone Financial, Inc.		762,855
	15,700	WesBanco, Inc.		611,044
	42,789	Wintrust Financial Corp.		3,441,091
		Total Banks		69,770,060
		Capital Goods — 11.2%
	1,499	Allied Motion Technologies, Inc.		53,065
	18,198	Apogee Enterprises, Inc.		691,706
	11,071	Applied Industrial Technologies, Inc.		1,084,515
	5,700	Atkore, Inc. *		440,040
	19,081	Ducommun, Inc. *		1,025,985
	6,321	EMCOR Group, Inc.		797,141
	17,300	Gates Industrial Corp Plc *		314,168
	419	Gorman-Rupp Co. (The)		15,076
	36,971	Griffon Corp.		971,968
	4,348	Hurco Cos, Inc.		149,528
	20,370	Hyster-Yale Materials Handling, Inc.		1,539,768
	10,547	Insteel Industries, Inc.		368,723
	7,568	Miller Industries, Inc.		316,721
	57,019	Moog, Inc. – Class A		5,143,114
	49,655	Mueller Industries, Inc.		2,305,482
	372	MYR Group, Inc. *		32,379
	11,352	Park-Ohio Holdings Corp.		418,775
	2,496	Preformed Line Products Co.		185,752
	63,995	Primoris Services Corp.		2,034,401
	10,600	Quanex Building Products Corp.		282,278
	179,135	Resideo Technologies, Inc. *		5,356,136

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Capital Goods — continued
	7,213	Systemax, Inc.		247,550
	52,525	Terex Corp.		2,750,734
	25,226	Tutor Perini Corp. *		390,498
	90,819	UFP Industries, Inc.		7,221,927
	36,548	Vectrus, Inc. *		1,864,679
	20,235	Veritiv Corp. *		1,242,834
		Total Capital Goods		37,244,943
		Commercial & Professional Services — 8.1%
	240,749	ACCO Brands Corp.		2,193,224
	79,135	Brady Corp. – Class A		4,528,896
	12,480	CRA International, Inc.		1,021,613
	43,979	Deluxe Corp.		2,003,683
	17,471	Heidrick & Struggles International, Inc.		751,952
	131,935	Herman Miller, Inc.		6,306,493
	45,634	HNI Corp.		2,081,823
	5,100	ICF International, Inc.		448,290
	28,418	Interface, Inc.		464,350
	44,200	Kelly Services, Inc. – Class A*		1,134,614
	18,518	Kforce, Inc.		1,161,264
	77,773	Kimball International, Inc. – Class B		1,035,936
	19,160	Matthews International Corp. – Class A		748,581
	48,790	Resources Connection, Inc.		711,358
	159,893	Steelcase, Inc. – Class A		2,313,652
	8,293	TrueBlue, Inc. *		224,989
		Total Commercial & Professional Services		27,130,718
		Consumer Durables & Apparel — 6.6%
	3,800	Bassett Furniture Industries, Inc.		115,102
	4,852	Clarus Corp.		114,944
	109,977	Ethan Allen Interiors, Inc.		3,175,036
	73,233	G-III Apparel Group Ltd. *		2,419,618
	8,846	Hooker Furniture Corp.		317,129
	8,822	Johnson Outdoors, Inc. – Class A		1,077,960
	75,291	La-Z-Boy, Inc.		3,104,248
	64,645	MDC Holdings, Inc.		3,746,178
	46,535	Movado Group, Inc.		1,290,416
	9,592	Rocky Brands, Inc.		559,405
	217,692	TRI Pointe Group, Inc. *		5,250,731
	4,769	Universal Electronics, Inc. *		238,736
	64,551	Vera Bradley, Inc. *		741,046
		Total Consumer Durables & Apparel		22,150,549
		Consumer Services — 0.3%
	4,000	Adtalem Global Education, Inc. *		145,520
	752	Graham Holdings Co. – Class B		498,230
	18,315	Perdoceo Education Corp. *		223,260
		Total Consumer Services		867,010
		Diversified Financials — 4.6%
	111,871	Curo Group Holdings Corp.		1,846,990
	1,208	Diamond Hill Investment Group, Inc.		211,896

Shares		Description	Value ($)
		Diversified Financials — continued
	92,104	Donnelley Financial Solutions, Inc. *		2,745,620
	147,509	Enova International, Inc. *		5,586,166
	115,202	Federated Hermes, Inc.		3,663,424
	1,100	Nelnet, Inc. – Class A		83,072
	1,600	Regional Management Corp.		74,784
	31,389	SLM Corp.		635,627
	3,700	Victory Capital Holdings, Inc. – Class A		111,074
	14,814	Westwood Holdings Group, Inc.		292,280
		Total Diversified Financials		15,250,933
		Energy — 5.0%
	106,900	Antero Resources Corp. *		1,380,079
	18,868	Bonanza Creek Energy, Inc. *		810,569
	65,900	Centennial Resource Development Inc./DE – Class A *		348,611
	47,260	Evolution Petroleum Corp.		174,389
	20,531	Geospace Technologies Corp. *		167,533
	36,500	Murphy Oil Corp.		791,685
	5,554	Plains GP Holdings LP – Class A *		60,594
	1,482	REX American Resources Corp. *		142,317
	349,392	SM Energy Co.		6,952,901
	56,800	W&T Offshore, Inc. *		212,432
	182,597	World Fuel Services Corp.		5,611,206
		Total Energy		16,652,316
		Food & Staples Retailing — 0.3%
	1,101	Ingles Markets, Inc. – Class A		68,196
	36,609	SpartanNash Co.		767,691
		Total Food & Staples Retailing		835,887
		Food, Beverage & Tobacco — 1.1%
	3,344	Seneca Foods Corp. – Class A *		154,627
	62,959	Universal Corp.		3,528,222
		Total Food, Beverage & Tobacco		3,682,849
		Health Care Equipment & Services — 1.3%
	5,000	Cross Country Healthcare, Inc. *		78,250
	12,319	FONAR Corp. *		222,974
	10,459	LENSAR, Inc. *		86,496
	35,017	Meridian Bioscience, Inc. *		726,953
	65,184	Owens & Minor, Inc.		2,914,377
	1,800	Select Medical Holdings Corp.		72,126
	13,714	Triple-S Management Corp. – Class B *		346,964
		Total Health Care Equipment & Services		4,448,140
		Household & Personal Products — 0.1%
	29,143	Lifevantage Corp. *		232,270
		Insurance — 1.0%
	3,900	American National Group, Inc.		585,078
	1,100	First American Financial Corp.		70,741
	41,590	Stewart Information Services Corp.		2,509,956
		Total Insurance		3,165,775

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Materials — 2.9%
	10,548	AdvanSix, Inc. *		333,949
	11,608	American Vanguard Corp.		213,471
	2,400	Cabot Corp.		152,592
	12,663	Greif, Inc. – Class A		781,434
	24,219	Koppers Holdings, Inc. *		839,673
	8,814	Materion Corp.		694,984
	8,180	Mercer International, Inc.		121,391
	16,259	Neenah, Inc.		860,589
	76,224	Schweitzer-Mauduit International, Inc.		3,118,324
	26,353	Tredegar Corp.		401,620
	34,543	Trinseo SA		2,243,222
		Total Materials		9,761,249
		Media & Entertainment — 2.7%
	73,051	Cars.com, Inc. *		1,067,275
	60,383	DHI Group, Inc. *		193,225
	254,789	Liberty TripAdvisor Holdings, Inc. – Class A *		1,212,796
	80,544	Sciplay Corp. – Class A *		1,389,384
	257,590	TEGNA, Inc.		4,994,670
		Total Media & Entertainment		8,857,350
		Pharmaceuticals, Biotechnology & Life Sciences — 1.8%
	75,519	Kezar Life Sciences, Inc. *		431,969
	107,320	Prestige Consumer Healthcare, Inc. *		5,352,048
	4,800	Supernus Pharmaceuticals, Inc. *		143,280
	5,700	Vanda Pharmaceuticals, Inc. *		100,833
		Total Pharmaceuticals, Biotechnology & Life Sciences		6,028,130
		Real Estate — 5.8%
	12,700	Cedar Realty Trust, Inc. (REIT)		180,721
	14,975	Chatham Lodging Trust (REIT) *		197,221
	84,309	CorePoint Lodging, Inc. (REIT) *		884,401
	19,081	Five Point Holdings LLC—Class A *		153,030
	14,170	Forestar Group, Inc. *		326,052
	411,085	GEO Group, Inc. (The) (REIT)		2,133,531
	2,600	Marcus & Millichap, Inc. *		102,180
	374,614	Newmark Group, Inc. – Class A		4,832,521
	271,082	Realogy Holdings Corp. *		4,800,862
	60,651	Service Properties Trust (REIT)		761,777
	79,289	Summit Hotel Properties, Inc. (REIT) *		761,967
	147,613	Sunstone Hotel Investors, Inc. (REIT) *		1,854,019
	126,523	Xenia Hotels & Resorts, Inc. (REIT) *		2,455,811
		Total Real Estate		19,444,093
		Retailing — 11.1%
	94,800	Abercrombie & Fitch Co. – Class A *		4,047,960
	14,531	Asbury Automotive Group, Inc. *		2,881,352
	18,920	Cato Corp. (The) – Class A *		292,503
	61,671	Core-Mark Holding Co., Inc.		2,828,232
	38,887	Genesco, Inc. *		2,138,785
	46,294	Group 1 Automotive, Inc.		7,382,967

Shares		Description	Value ($)
		Retailing — continued
	63,694	Haverty Furniture Cos, Inc.		2,926,102
	49,213	Penske Automotive Group, Inc.		4,212,141
	48,548	Shoe Carnival, Inc.		3,277,475
	38,800	Signet Jewelers Ltd. *		2,350,504
	25,134	Sleep Number Corp. *		2,802,190
	2,094	Weyco Group, Inc.		43,095
	40,101	Zumiez, Inc. *		1,757,226
		Total Retailing		36,940,532
		Software & Services — 0.5%
	738	BM Technologies, Inc. *		9,484
	43,234	Sykes Enterprises, Inc. *		1,812,369
		Total Software & Services		1,821,853
		Technology Hardware & Equipment — 9.0%
	61,390	ADTRAN, Inc.		1,216,136
	7,800	Aviat Networks, Inc. *		288,288
	31,300	Avid Technology, Inc. *		966,544
	124,313	Avnet, Inc.		5,477,231
	47,519	Benchmark Electronics, Inc.		1,470,713
	9,642	Cambium Networks Corp. *		556,440
	34,861	CTS Corp.		1,333,433
	22,552	Insight Enterprises, Inc. *		2,356,233
	24,878	Kimball Electronics, Inc. *		556,770
	32,609	Methode Electronics, Inc.		1,577,623
	4,500	NETGEAR, Inc. *		174,960
	8,600	Quantum Corp. *		64,586
	146,345	Sanmina Corp. *		6,162,588
	5,153	ScanSource, Inc. *		157,321
	34,344	Super Micro Computer, Inc. *		1,193,110
	112,600	Vishay Intertechnology, Inc.		2,710,282
	158,822	Xerox Holdings Corp.		3,724,376
		Total Technology Hardware & Equipment		29,986,634
		Telecommunication Services — 2.3%
	41,866	IDT Corp. – Class B *		1,208,253
	67,521	Spok Holdings, Inc.		787,970
	183,032	Telephone & Data Systems, Inc.		4,707,583
	27,052	United States Cellular Corp. *		1,021,213
		Total Telecommunication Services		7,725,019
		TOTAL COMMON STOCKS (COST $258,406,580)		325,203,146
		MUTUAL FUNDS — 1.7%
		Affiliated Issuers — 1.7%
	1,091,487	GMO U.S. Treasury Fund		5,501,097
		TOTAL MUTUAL FUNDS (COST $5,501,097)		5,501,097

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
	72,700	Achillion Pharmaceuticals, Inc. CVR* (a)		36,350
		TOTAL RIGHTS/WARRANTS (COST $33,442)		36,350
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	1,875,813	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		1,875,813
		TOTAL SHORT-TERM INVESTMENTS (COST $1,875,813)		1,875,813
		TOTAL INVESTMENTS — 99.9% (Cost $265,816,932)		332,616,406
		Other Assets and Liabilities (net) — 0.1%		487,001
		TOTAL NET ASSETS — 100.0%		$333,103,407

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
44	E-mini Russell 2000 Index		June 2021	$	4,990,920	$	34,537

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) The rate disclosed is the 7 day net yield as of May 31, 2021.

Portfolio Abbreviations:

CVR - Contingent Value Right

REIT - Real Estate Investment Trust

Organization

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

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

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

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

Basis of presentation

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

Portfolio valuation

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

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

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2021, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

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

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

The three levels are defined as follows:

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

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

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

The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

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

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2021:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	4,420,114	$	—	$	—	$	4,420,114
Australia		—		6,862,618		—		6,862,618
Brazil		—		5,478,675		—		5,478,675
Canada		42,501,736		—		—		42,501,736
China		2,019,600		21,044,238		—		23,063,838
Denmark		—		3,586,639		—		3,586,639
Finland		—		3,742,091		—		3,742,091
France		—		11,930,650		—		11,930,650
Germany		—		3,870,200		—		3,870,200
Italy		—		4,737,126		—		4,737,126
Japan		—		17,078,116		—		17,078,116
Mexico		11,014,469		—		—		11,014,469

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Netherlands	$	—	$	3,900,400	$	—	$	3,900,400
Norway		—		6,676,454		—		6,676,454
Pakistan		—		821,013		—		821,013
Philippines		—		507,804		—		507,804
Portugal		—		2,260,349		—		2,260,349
Russia		—		12,747,279		—		12,747,279
South Korea		—		2,162,358		—		2,162,358
Spain		—		9,251,355		—		9,251,355
Switzerland		—		3,004,469		—		3,004,469
Thailand		—		765,326		—		765,326
Ukraine		—		2,833,859		—		2,833,859
United Kingdom		—		8,900,663		—		8,900,663
United States		229,759,993		—		—		229,759,993
TOTAL COMMON STOCKS		289,715,912		132,161,682		—		421,877,594
Preferred Stocks
Chile		4,390,692		—		—		4,390,692
TOTAL PREFERRED STOCKS		4,390,692		—		—		4,390,692
Mutual Funds
United States		27,889,178		—		—		27,889,178
TOTAL MUTUAL FUNDS		27,889,178		—		—		27,889,178
Short-Term Investments		5,565,584		—		—		5,565,584
Total Investments		327,561,366		132,161,682		—		459,723,048
Total	$	327,561,366	$	132,161,682	$	—	$	459,723,048
Cyclical Focus Fund
Asset Valuation Inputs
Common Stocks
Canada	$	7,366,262	$	—	$	—	$	7,366,262
Finland		—		4,192,412		—		4,192,412
France		—		12,986,008		—		12,986,008
Germany		—		3,076,132		—		3,076,132
Ireland		—		3,887,171		—		3,887,171
Mexico		8,643,950		—		—		8,643,950
Russia		—		6,500,046		—		6,500,046
Spain		—		7,214,193		—		7,214,193
United Kingdom		—		17,376,857		—		17,376,857
United States		71,511,629		—		—		71,511,629
TOTAL COMMON STOCKS		87,521,841		55,232,819		—		142,754,660
Preferred Stocks
Brazil		—		4,780,109		—		4,780,109
TOTAL PREFERRED STOCKS		—		4,780,109		—		4,780,109
Mutual Funds
United States		28,000		—		—		28,000
TOTAL MUTUAL FUNDS		28,000		—		—		28,000
Short-Term Investments		858,506		—		—		858,506
Total Investments		88,408,347		60,012,928		—		148,421,275
Total	$	88,408,347	$	60,012,928	$	—	$	148,421,275
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	2,318,562	$	—	$	—	$	2,318,562
Brazil		3,643,866		37,821,417		—		41,465,283

Description	Level 1		Level 2		Level 3			Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
China	$	70,957,711	$	241,205,268	$	—		$	312,162,979
Greece		—		3,684,583		—			3,684,583
Hong Kong		—		12,420,074		—			12,420,074
Hungary		—		4,078,172		—			4,078,172
India		—		116,639,923		3,315,775			119,955,698
Indonesia		—		393,204		—			393,204
Mexico		19,783,519		—		—			19,783,519
Peru		481,145		—		—			481,145
Philippines		—		3,664,076		—			3,664,076
Poland		—		6,829,134		—			6,829,134
Russia		8,138,570		18,402,284		2,043,849			28,584,703
Saudi Arabia		—		1,664,904		—			1,664,904
Singapore		734,396		—		—			734,396
South Africa		—		13,594,029		—			13,594,029
South Korea		—		110,379,463		—			110,379,463
Switzerland		—		2,365,002		—			2,365,002
Taiwan		—		136,822,296		—			136,822,296
Thailand		—		5,302,908		—			5,302,908
United Arab Emirates		—		4,871,579		—			4,871,579
United States		22,634,913		—		—			22,634,913
Vietnam		—		7,715,353		—			7,715,353
TOTAL COMMON STOCKS		128,692,682		727,853,669		5,359,624			861,905,975
Preferred Stocks
Brazil		—		10,784,417		—			10,784,417
TOTAL PREFERRED STOCKS		—		10,784,417		—			10,784,417
Investment Funds
China		22,195,200		11,613,347		—			33,808,547
Russia		33,795,382		—		—			33,795,382
Saudi Arabia		10,991,608		—		—			10,991,608
South Africa		11,987,722		—		—			11,987,722
TOTAL INVESTMENT FUNDS		78,969,912		11,613,347		—			90,583,259
Debt Obligations
India		—		—		0	§		0	§
TOTAL DEBT OBLIGATIONS		—		—		0	§		0	§
Mutual Funds
United States		19,503,232		—		—			19,503,232
TOTAL MUTUAL FUNDS		19,503,232		—		—			19,503,232
Short-Term Investments		4,513,868		—		—			4,513,868
Total Investments		231,679,694		750,251,433		5,359,624			987,290,751
Total	$	231,679,694	$	750,251,433	$	5,359,624		$	987,290,751
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	6,884,083	$	—	$	—		$	6,884,083
Brazil		—		24,264,781		—			24,264,781
Chile		—		232,690		—			232,690
China		149,327,798		802,164,210		0	§		951,492,008
Czech Republic		—		7,455,781		—			7,455,781
Egypt		—		1,280,806		—			1,280,806
India		15,408,178		128,211,698		—			143,619,876
Indonesia		—		66,787,122		—			66,787,122
Kuwait		—		63,570,541		—			63,570,541
Malaysia		—		675,172		—			675,172
Mexico		118,039,564		—		—			118,039,564
Pakistan		—		14,986,721		—			14,986,721

Description	Level 1		Level 2			Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Philippines	$	—	$	9,833,711		$	—	$	9,833,711
Poland		—		13,128,232			—		13,128,232
Qatar		—		18,477,885			—		18,477,885
Russia		5,594,075		413,033,187			5,975,441		424,602,703
Saudi Arabia		—		1,850,855			—		1,850,855
South Africa		—		23,377,116			—		23,377,116
South Korea		—		134,289,035			—		134,289,035
Sri Lanka		—		627,881			—		627,881
Taiwan		10,399,270		694,989,026			—		705,388,296
Thailand		—		16,201,988			—		16,201,988
Turkey		—		38,526,517			—		38,526,517
United Arab Emirates		—		8,766,419			—		8,766,419
United Kingdom		—		23,176,197			—		23,176,197
Vietnam		—		15,442,644			—		15,442,644
TOTAL COMMON STOCKS		305,652,968		2,521,350,215			5,975,441		2,832,978,624
Preferred Stocks
Brazil		—		79,378			—		79,378
Chile		—		2,236,333			—		2,236,333
Colombia		1,538,169		—			—		1,538,169
Russia		—		63,143,765			—		63,143,765
South Korea		—		38,595,619			—		38,595,619
Taiwan		—		2,406,288			—		2,406,288
TOTAL PREFERRED STOCKS		1,538,169		106,461,383			—		107,999,552
Investment Funds
United States		41,152,976		—			—		41,152,976
TOTAL INVESTMENT FUNDS		41,152,976		—			—		41,152,976
Debt Obligations
United States		15,515,133		—			—		15,515,133
TOTAL DEBT OBLIGATIONS		15,515,133		—			—		15,515,133
Short-Term Investments		17,860,168		—			—		17,860,168
Total Investments		381,719,414		2,627,811,598			5,975,441		3,015,506,453
Derivatives^
Futures Contracts
Equity Risk		5,673,469		—			—		5,673,469
Swap Contracts
Equity Risk		—		2,098,934			—		2,098,934
Total	$	387,392,883	$	2,629,910,532		$	5,975,441	$	3,023,278,856
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	—	$	(537,759	)	$	—	$	(537,759	)
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	105,847,365		$	—	$	105,847,365
Belgium		—		23,242,341			—		23,242,341
Denmark		—		1,191,897			—		1,191,897
Finland		—		9,432,342			—		9,432,342
France		—		204,133,581			—		204,133,581
Germany		—		158,379,364			—		158,379,364
Hong Kong		—		58,506,960			—		58,506,960
Ireland		15,514,361		10,481,891			—		25,996,252
Italy		—		77,547,434			—		77,547,434
Japan		—		469,501,037			—		469,501,037

Description	Level 1		Level 2		Level 3			Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Malta	$	—	$	—	$	0	§	$	0	§
Netherlands		—		191,308,522		—			191,308,522
Norway		—		45,192,127		—			45,192,127
Portugal		—		67,674,677		—			67,674,677
Singapore		—		93,997,151		—			93,997,151
Spain		—		130,136,050		—			130,136,050
Sweden		—		12,967,103		—			12,967,103
Switzerland		—		123,843,512		—			123,843,512
United Kingdom		24,744,292		372,982,806		—			397,727,098
TOTAL COMMON STOCKS		40,258,653		2,156,366,160		0	§		2,196,624,813
Preferred Stocks
Germany		—		34,564,236		—			34,564,236
TOTAL PREFERRED STOCKS		—		34,564,236		—			34,564,236
Short-Term Investments		83,707,602		—		—			83,707,602
Total Investments		123,966,255		2,190,930,396		0	§		2,314,896,651
Derivatives^
Futures Contracts
Equity Risk		412,634		—		—			412,634
Total	$	124,378,889	$	2,190,930,396	$	0	§	$	2,315,309,285
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—	$	160,515,355	$	—		$	160,515,355
Short-Term Investments		4,026,539		—		—			4,026,539
Total Investments		4,026,539		160,515,355		—			164,541,894
Total	$	4,026,539	$	160,515,355	$	—		$	164,541,894
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	291,711,226	$	—		$	291,711,226
Germany		—		252,255,564		—			252,255,564
Switzerland		—		265,862,480		—			265,862,480
Taiwan		—		281,512,926		—			281,512,926
United Kingdom		—		365,260,490		—			365,260,490
United States		6,691,613,115		—		—			6,691,613,115
TOTAL COMMON STOCKS		6,691,613,115		1,456,602,686		—			8,148,215,801
Mutual Funds
United States		9,830,961		—		—			9,830,961
TOTAL MUTUAL FUNDS		9,830,961		—		—			9,830,961
Short-Term Investments		174,297,590		—		—			174,297,590
Total Investments		6,875,741,666		1,456,602,686		—			8,332,344,352
Total	$	6,875,741,666	$	1,456,602,686	$	—		$	8,332,344,352
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	13,617,605	$	—	$	—		$	13,617,605
Australia		—		63,420,408		—			63,420,408
Austria		—		13,769,686		—			13,769,686
Brazil		—		44,345,769		—			44,345,769
Canada		91,253,844		—		—			91,253,844
China		—		44,269,952		—			44,269,952
Denmark		—		5,799,679		—			5,799,679

Description	Level 1		Level 2		Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Finland	$	—	$	7,464,986	$	—		$	7,464,986
France		—		23,410,049		—			23,410,049
Hungary		—		10,374,069		—			10,374,069
India		—		39,830,998		—			39,830,998
Israel		—		7,341,955		—			7,341,955
Italy		—		1,673,297		—			1,673,297
Japan		—		20,749,761		—			20,749,761
Mexico		33,269,645		—		—			33,269,645
Norway		—		31,152,583		—			31,152,583
Pakistan		—		6,000,009		—			6,000,009
Poland		—		10,758,742		—			10,758,742
Russia		—		94,773,419		—			94,773,419
Singapore		—		—		0	§		0	§
South Africa		—		9,357,708		—			9,357,708
South Korea		—		5,417,840		—			5,417,840
Spain		—		10,947,179		—			10,947,179
Switzerland		—		5,618,678		—			5,618,678
Turkey		—		3,381,704		—			3,381,704
Ukraine		—		6,319,883		—			6,319,883
United Kingdom		—		167,425,142		—			167,425,142
United States		378,622,851		—		—			378,622,851
TOTAL COMMON STOCKS		516,763,945		633,603,496		0	§		1,150,367,441
Preferred Stocks
Brazil		—		76,043,480		—			76,043,480
Chile		13,179,926		—		—			13,179,926
Russia		—		23,435,204		—			23,435,204
TOTAL PREFERRED STOCKS		13,179,926		99,478,684		—			112,658,610
Rights/Warrants
Singapore		—		—		0	§		0	§
TOTAL RIGHTS/WARRANTS		—		—		0	§		0	§
Short-Term Investments		53,315,394		—		—			53,315,394
Total Investments		583,259,265		733,082,180		0	§		1,316,341,445
Total	$	583,259,265	$	733,082,180	$	0	§	$	1,316,341,445
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,892,000	$	—		$	1,892,000
Belgium		—		387,775		—			387,775
Brazil		—		124,130		—			124,130
China		—		1,008,712		—			1,008,712
Denmark		—		51,646		—			51,646
Finland		—		149,814		—			149,814
France		—		3,344,049		—			3,344,049
Germany		—		2,474,644		—			2,474,644
Hong Kong		—		683,305		—			683,305
Hungary		—		75,734		—			75,734
India		—		222,092		—			222,092
Ireland		107,264		375,585		—			482,849
Italy		—		1,134,768		—			1,134,768
Japan		—		8,661,036		—			8,661,036
Malta		—		—		0	§		0	§
Mexico		54,648		—		—			54,648
Netherlands		—		3,289,984		—			3,289,984
Norway		—		603,299		—			603,299
Poland		—		60,461		—			60,461
Portugal		—		1,136,711		—			1,136,711

Description	Level 1		Level 2		Level 3			Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Russia	$	—	$	628,094	$	—		$	628,094
Singapore		—		1,661,169		—			1,661,169
South Africa		—		43,852		—			43,852
South Korea		—		980,767		—			980,767
Spain		—		2,197,563		—			2,197,563
Sweden		—		275,410		—			275,410
Switzerland		—		2,233,244		—			2,233,244
Taiwan		—		385,509		—			385,509
Thailand		—		25,642		—			25,642
Turkey		—		298,378		—			298,378
United Kingdom		1,512,900		5,041,339		—			6,554,239
TOTAL COMMON STOCKS		1,674,812		39,446,712		0	§		41,121,524
Preferred Stocks
Germany		—		808,844		—			808,844
Russia		—		27,260		—			27,260
TOTAL PREFERRED STOCKS		—		836,104		—			836,104
Mutual Funds
United States		875,165		—		—			875,165
TOTAL MUTUAL FUNDS		875,165		—		—			875,165
Short-Term Investments		341,186		—		—			341,186
Total Investments		2,891,163		40,282,816		0	§		43,173,979
Derivatives^
Futures Contracts
Equity Risk		21,562		—		—			21,562
Total	$	2,912,725	$	40,282,816	$	0	§	$	43,195,541
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	341,746,145	$	—	$	—		$	341,746,145
Mutual Funds		2,750,296		—		—			2,750,296
Short-Term Investments		296,099		—		—			296,099
Total Investments		344,792,540		—		—			344,792,540
Derivatives^
Futures Contracts
Equity Risk		73,952		—		—			73,952
Total	$	344,866,492	$	—	$	—		$	344,866,492
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	325,203,146	$	—	$	—		$	325,203,146
Mutual Funds		5,501,097		—		—			5,501,097
Rights/Warrants		—		—		36,350			36,350
Short-Term Investments		1,875,813		—		—			1,875,813
Total Investments		332,580,056		—		36,350			332,616,406
Derivatives^
Futures Contracts
Equity Risk		34,537		—		—			34,537
Total	$	332,614,593	$	—	$	36,350		$	332,650,943

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). Excludes purchased options and fully funded total return swaps, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at May 31, 2021.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Emerging Domestic Opportunities Fund’s Level 3 holdings includes one common stock that was purchased prior to the initial public offering (“IPO”) that is restricted from trading until March 22, 2022 and is being valued based on the post-IPO shares trading in the market. Emerging Domestic Opportunities Fund and Emerging Markets Fund holdings also include a common stock of 144A shares that is thinly traded and is being priced off the Reg S shares of the same security. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at May 31, 2021.

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 28, 2021		Purchases		Sales		Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3			Balances as of May 31, 2021			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2021
Emerging Domestic Opportunities Fund
Common Stocks
India	$	265,151	$	1,924,110	$	—	$	—	$	—	$	2,313,422		$	—	$	(1,186,908	)‡	$	3,315,775		$	1,391,665
Russia		—		2,445,095		—		—		—		(401,246	)		—		—			2,043,849			(401,246	)
Debt Obligations
India		—		10,175		—		—		—		(10,175	)		—		—			0	§		—
Total Investments	$	265,151	$	4,379,380	$	—	$	—	$	—	$	1,902,001		$	—	$	(1,186,908	)	$	5,359,624		$	990,419
Emerging Markets Fund
Common Stocks
Russia	$	—	$	7,148,534	$	—	$	—	$	—	$	(1,173,093)		$	—	$	—		$	5,975,441		$	(1,173,093	)
Total Investments	$	—	$	7,148,534	$	—	$	—	$	—	$	(1,173,093	)	$	—	$	—		$	5,975,441		$	(1,173,093	)

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

§ Represents the interest in securities that were determined to have a value of zero at May 31, 2021.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2021 for Funds with material Level 3 investments.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Emerging Domestic Opportunities Fund
Common Stock		2,043,849	Fair Value	Price of comparable equity	(N/A)
Emerging Markets Fund
Common Stock		—	Fair Value	Price of comparable equity	(N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2021, the value of these securities and/or derivatives for Emerging Domestic Opportunities Fund and Emerging Markets Fund was $3,315,775 and $5,975,441, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2021 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	$	18,563,731		$	88,764,993	$	79,439,546	$	1,491	**	$	—	$	—		$	27,889,178
Cyclical Focus Fund
GMO U.S. Treasury Fund	$	528,000		$	—	$	500,000	$	6		$	—	$	—		$	28,000
Emerging Domestic Opportunities Fund
GMO U.S. Treasury Fund	$	—		$	45,503,232	$	26,000,000	$	3,056		$	—	$	—		$	19,503,232
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	678,007		$	—	$	—	$	—		$	—	$	(50,126	)	$	627,881
Gayatri Projects Ltd		6,296,399			—		—		—			—		(873,836	)		5,422,563
Totals	$	6,974,406		$	—	$	—	$	—		$	—	$	(923,962	)	$	6,050,444
Quality Fund
GMO U.S. Treasury Fund	$	9,830,961		$	—	$	—	$	1,561		$	—	$	—		$	9,830,961
Resources Fund
Kosmos Energy Ltd.	$	—	#	$	14,593,376	$	—	$	—		$	—	$	28,943,138		$	70,735,284
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	5,165		$	1,000,000	$	130,000	$	123		$	—	$	—		$	875,165
U.S. Equity Fund
GMO U.S. Treasury Fund	$	2,850,296		$	9,000,000	$	9,100,000	$	567		$	—	$	—		$	2,750,296
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	101,097		$	9,600,000	$	4,200,000	$	460		$	—	$	—		$	5,501,097

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through May 31, 2021. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2022.

** 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 $62,725 in Climate Change Fund during the period.

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

Subsequent events

Effective June 30, 2021, the name of GMO Cyclical Focus Fund was changed to GMO Quality Cyclicals Fund.

* * *

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

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 97.3%
		U.S. Government — 97.3%
	35,300,000	U.S. Treasury Note, 1.25%, due 04/30/28		35,288,969
	41,000,000	U.S. Treasury Note, 1.13%, due 02/15/31		39,251,093
		Total U.S. Government		74,540,062
		TOTAL DEBT OBLIGATIONS (COST $74,305,504)		74,540,062
		MUTUAL FUNDS — 2.2%
		United States — 2.2%
		Affiliated Issuers — 2.2%
	327,619	GMO U.S. Treasury Fund		1,651,202
		TOTAL MUTUAL FUNDS (COST $1,651,202)		1,651,202
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	401,706	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01%(a)		401,706
		TOTAL SHORT-TERM INVESTMENTS (COST $401,706)		401,706
		TOTAL INVESTMENTS — 100.0% (Cost $76,358,412)		76,592,970
		Other Assets and Liabilities (net) — 0.00%		22,801
		TOTAL NET ASSETS — 100.0%		$76,615,771

Notes to Schedule of Investments:

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

(a) The rate disclosed is the 7 day net yield as of May 31, 2021.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 93.8%
		Albania — 1.0%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25(a)(b)		45,630,216
		Angola — 0.3%
		Foreign Government Obligations
	7,900,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		8,175,513
	5,500,000	Angolan Government International Bond, Reg S, 9.13%, due 11/26/49		5,597,281
		Total Angola		13,772,794
		Argentina — 2.9%
		Foreign Government Obligations
	11,490,713	Republic of Argentina, 1.00%, due 07/09/29		4,432,417
	23,333,493	Republic of Argentina, Step Up, 0.13%, due 07/09/30		8,586,725
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33(c)		875,433
	56,547,942	Republic of Argentina, Step Up, 0.13%, due 07/09/35		18,600,739
	72,008,994	Republic of Argentina, Step Up, 0.13%, due 01/09/38		27,794,375
JPY	334,073,000	Republic of Argentina, 0.67%, due 12/31/38(c)		577,902
EUR	142,761,240	Republic of Argentina, Step Up, 0.13%, due 07/09/41		53,248,411
	34,047,000	Republic of Argentina, Step Up, 0.13%, due 07/09/46		11,348,291
		Total Argentina		125,464,293
		Armenia — 0.6%
		Corporate Debt — 0.4%
	20,000,000	Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25		19,816,250
		Foreign Government Obligations — 0.2%
	7,900,000	Republic of Armenia, 144A, 3.60%, due 02/02/31		7,294,169
		Total Armenia		27,110,419
		Azerbaijan — 1.2%
		Foreign Government Agency — 0.7%
	11,388,000	International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24		11,327,501
	18,950,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		19,382,297
				30,709,798

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		22,577,406
		Total Azerbaijan		53,287,204
		Bahamas — 0.8%
		Foreign Government Obligations
	14,069,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		14,284,432
	2,593,000	Bahamas Government International Bond, Reg S, 6.95%, due 11/20/29		2,721,516
	14,600,000	Bahamas Government International Bond, 144A, 8.95%, due 10/15/32		16,612,062
		Total Bahamas		33,618,010
		Bahrain — 1.6%
		Foreign Government Obligations
	65,290,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		68,954,401
		Barbados — 0.4%
		Foreign Government Obligations
	12,900,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		13,003,200
	4,600,000	Barbados Government International Bond, 144A, 6.50%, due 10/01/29		4,636,800
		Total Barbados		17,640,000
		Belarus — 0.3%
		Foreign Government Agency — 0.2%
	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24		7,774,101
		Foreign Government Obligations — 0.1%
	3,800,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30		3,430,213
		Total Belarus		11,204,314
		Belize — 0.5%
		Foreign Government Obligations
	54,146,082	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		21,421,544
		Benin — 0.1%
		Foreign Government Obligations
EUR	3,000,000	Benin Government International Bond, 144A, 6.88%, due 01/19/52		3,792,108
		Bermuda — 0.2%
		Foreign Government Obligations
	6,990,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		8,096,604

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (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)		8,212,725
		Bosnia & Herzegovina — 0.3%
		Foreign Government Obligations
EUR	9,600,000	Republic of Srpska Treasury Bond, 144A, 4.75%, due 04/27/26		11,697,937
		Brazil — 2.3%
		Corporate Debt — 0.6%
	24,452,909	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		26,225,745
		Foreign Government Agency — 1.3%
	50,039,000	Petrobras Global Finance BV, 6.85%, due 06/05/15		55,981,131
		Foreign Government Obligations — 0.4%
	19,800,000	Republic of Brazil, 4.75%, due 01/14/50		19,036,462
		Total Brazil		101,243,338
		Chile — 1.9%
		Corporate Debt — 0.6%
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97(a)		25,458,640
		Foreign Government Agency — 1.2%
	17,300,000	Empresa de Transporte de Pasajeros Metro SA, Reg S, 4.70%, due 05/07/50		19,435,339
	8,100,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		8,862,413
	23,750,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		23,093,906
				51,391,658
		Foreign Government Obligations — 0.1%
	7,500,000	Chile Government International Bond, 3.10%, due 05/07/41		7,338,750
		Total Chile		84,189,048
		China — 0.5%
		Foreign Government Agency
	14,200,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		14,331,350
	7,300,000	Oryx Funding Ltd., 144A, 5.80%, due 02/03/31		7,704,566
		Total China		22,035,916
		Colombia — 2.1%
		Foreign Government Agency — 1.3%
	37,811,000	Ecopetrol SA, 7.38%, due 09/18/43		45,380,289
	2,800,000	Ecopetrol SA, 5.88%, due 05/28/45		2,891,000

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		8,017,294
				56,288,583
		Foreign Government Obligations — 0.8%
	1,392,000	Colombia Government International Bond, 8.38%, due 02/15/27		1,686,283
	3,800,000	Colombia Government International Bond, 11.85%, due 03/09/28(c)		5,928,000
	5,000,000	Colombia Government International Bond, 6.13%, due 01/18/41		5,800,000
	15,000,000	Colombia Government International Bond, 4.13%, due 02/22/42		14,242,500
	7,900,000	Colombia Government International Bond, 3.88%, due 02/15/61		6,755,982
				34,412,765
		Total Colombia		90,701,348
		Congo Republic (Brazzaville) — 1.1%
		Foreign Government Obligations
	63,057,932	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29(c)		47,127,922
		Costa Rica — 1.2%
		Foreign Government Agency — 0.1%
	3,798,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		3,259,871
		Foreign Government Obligations — 1.1%
	10,200,000	Costa Rica Government International Bond, Reg S, 9.20%, due 08/26/26		11,758,687
	34,731,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		36,539,183
				48,297,870
		Total Costa Rica		51,557,741
		Czech Republic — 0.1%
		Foreign Government Agency
	5,458,000	CEZ AS, Reg S, 5.63%, due 04/03/42		6,453,857
		Dominican Republic — 2.9%
		Asset-Backed Securities — 0.2%
	8,657,828	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		8,920,269
		Foreign Government Obligations — 2.7%
	16,587,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		20,389,570
DOP	1,500,000,000	Dominican Republic International Bond, 144A, 10.38%, due 01/11/30		29,781,784
	9,100,000	Dominican Republic International Bond, 144A, 5.30%, due 01/21/41		9,118,769

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Dominican Republic — continued
		Foreign Government Obligations — continued
	56,000,000	Dominican Republic International Bond, 144A, 5.88%, due 01/30/60		55,090,000
	3,700,000	Dominican Republic International Bond, Reg S, 5.88%, due 01/30/60		3,639,875
				118,019,998
		Total Dominican Republic		126,940,267
		Ecuador — 3.3%
		Foreign Government Obligations
	1,000,000	Ecuador Government International Bond, 5.00%, due 02/28/25(c)		900,000
	8,246,892	Ecuador Government International Bond, Zero Coupon, 144A, due 07/31/30		4,641,454
	25,676,250	Ecuador Government International Bond, 144A, 0.50%, due 07/31/30		22,209,956
	112,987,125	Ecuador Government International Bond, 144A, 0.50%, due 07/31/35		78,949,754
	36,603,750	Ecuador Government International Bond, 144A, 0.50%, due 07/31/40		23,163,311
	19,150,729	Ecuador Social Bond Sarl, Zero Coupon, 144A, due 01/30/35		15,613,828
		Total Ecuador		145,478,303
		Egypt — 2.5%
		Foreign Government Obligations
	26,800,000	Egypt Government International Bond, Reg S, 7.90%, due 02/21/48		27,106,525
	23,500,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		25,266,906
	16,400,000	Egypt Government International Bond, 144A, 8.88%, due 05/29/50		18,002,075
	21,964,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		22,352,488
	15,200,000	Egypt Government International Bond, 144A, 7.50%, due 02/16/61		14,530,250
		Total Egypt		107,258,244
		El Salvador — 0.7%
		Foreign Government Obligations
	9,775,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		9,799,437
	22,100,000	El Salvador Government International Bond, 144A, 7.12%, due 01/20/50		20,801,625
		Total El Salvador		30,601,062
		Ethiopia — 0.1%
		Foreign Government Obligations
	4,090,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		3,773,792

Par Value†		Description	Value ($)
		Gabon — 0.6%
		Foreign Government Obligations
	24,600,000	Gabonese Republic, 144A, 6.63%, due 02/06/31		24,550,800
		Ghana — 1.0%
		Foreign Government Agency — 0.3%
	11,986,441	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		12,945,356
		Foreign Government Obligations — 0.7%
	13,000,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51		12,937,438
	18,000,000	Republic of Ghana, 144A, 8.75%, due 03/11/61		17,452,125
				30,389,563
		Total Ghana		43,334,919
		Grenada — 0.2%
		Foreign Government Obligations
	10,351,103	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		7,659,816
		Guatemala — 0.4%
		Foreign Government Obligations
	1,965,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		2,789,686
	13,500,000	Republic of Guatemala, 144A, 6.13%, due 06/01/50		16,210,969
		Total Guatemala		19,000,655
		Honduras — 0.4%
		Foreign Government Obligations
	16,100,000	Honduras Government International Bond, 144A, 5.63%, due 06/24/30		16,897,956
		India — 1.4%
		Corporate Debt
	7,900,000	Cliffton Ltd., 144A, 6.25%, due 10/25/25		7,843,219
	29,700,000	Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29		29,881,912
	1,000,000	GMR Hyderabad International Airport Ltd., 144A, 4.75%, due 02/02/26		1,005,813
	21,140,000	GMR Hyderabad International Airport Ltd., Reg S, 4.25%, due 10/27/27		20,285,151
		Total India		59,016,095
		Indonesia — 4.0%
		Foreign Government Agency — 3.1%
	9,200,000	Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30		9,733,600
	3,700,000	Indonesia Asahan Aluminium Persero PT, 144A, 5.45%, due 05/15/30		4,266,100

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Indonesia — continued
		Foreign Government Agency — continued
	17,200,000	Indonesia Asahan Aluminium Persero PT, 144A, 5.80%, due 05/15/50		20,019,725
	13,300,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		16,872,712
	8,100,000	Pertamina Persero PT, Reg S, 5.63%, due 05/20/43		9,311,456
	8,200,000	Pertamina Persero PT, Reg S, 4.15%, due 02/25/60		8,006,788
	4,100,000	Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48		5,050,175
	14,200,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		17,610,662
	5,300,000	Perusahaan Penerbit SBSN Indonesia III, 144A, 3.80%, due 06/23/50		5,392,088
	42,900,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		38,269,481
				134,532,787
		Foreign Government Obligations — 0.9%
	23,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		31,169,964
	7,900,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47		9,799,950
				40,969,914
		Total Indonesia		175,502,701
		Israel — 0.4%
		Foreign Government Agency
	12,323,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		17,868,350
		Ivory Coast — 0.9%
		Foreign Government Obligations
EUR	29,000,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		37,293,593
		Jamaica — 0.8%
		Corporate Debt — 0.1%
	6,214,730	TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36		6,183,657
		Foreign Government Agency — 0.3%
	11,400,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24(c)		13,110,000
		Foreign Government Obligations — 0.4%
	11,375,000	Jamaica Government International Bond, 7.88%, due 07/28/45		15,750,820
		Total Jamaica		35,044,477
		Jordan — 1.1%
		Foreign Government Obligations
	47,395,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		50,040,233

Par Value†		Description	Value ($)
		Kazakhstan — 1.0%
		Foreign Government Agency
	9,000,000	Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42		12,120,750
	3,800,000	KazMunayGas National Co JSC, Reg S, 5.75%, due 04/19/47		4,672,812
	19,900,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		26,084,920
		Total Kazakhstan		42,878,482
		Kenya — 0.8%
		Foreign Government Obligations
	30,400,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		33,588,200
		Kuwait — 0.4%
		Corporate Debt
	4,100,000	Equate Petrochemical BV, 144A, 2.63%, due 04/28/28		4,119,219
	9,200,000	MEGlobal Canada ULC, 144A, 5.88%, due 05/18/30		11,306,225
		Total Kuwait		15,425,444
		Lebanon — 0.4%
		Foreign Government Obligations
	15,000,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27(e)		1,957,500
	53,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31(e)		6,727,427
	18,800,000	Lebanon Government International Bond, 8.20%, due 05/17/33(e)		2,371,150
	49,614,000	Lebanon Government International Bond, 8.25%, due 05/17/34(e)		6,226,557
		Total Lebanon		17,282,634
		Malaysia — 0.7%
		Foreign Government Agency
	16,700,000	1MDB Global Investments Ltd., Reg S, 4.40%, due 03/09/23		16,828,381
	11,700,000	Petronas Capital Ltd., 144A, 4.80%, due 04/21/60		14,970,881
		Total Malaysia		31,799,262
		Mexico — 6.0%
		Foreign Government Agency — 4.0%
	27,884,000	Petroleos Mexicanos, 6.35%, due 02/12/48		23,488,785
	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49		5,472,000
	131,800,000	Petroleos Mexicanos, 7.69%, due 01/23/50		126,923,400
	22,986,000	Petroleos Mexicanos, 6.95%, due 01/28/60		20,193,201
				176,077,386

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Mexico — continued
		Foreign Government Obligations — 2.0%
GBP	56,796,000	United Mexican States, 5.63%, due 03/19/2114		86,042,699
		Total Mexico		262,120,085
		Mongolia — 0.1%
		Foreign Government Obligations
	2,400,000	Mongolia Government International Bond, 144A, 5.13%, due 04/07/26		2,562,000
		Montenegro — 0.2%
		Foreign Government Obligations
EUR	9,100,000	Montenegro Government International Bond, 144A, 2.88%, due 12/16/27		10,236,976
		Morocco — 0.4%
		Foreign Government Agency
	14,500,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		17,697,250
		Mozambique — 0.2%
		Foreign Government Obligations
	9,276,000	Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31		7,532,692
		Nigeria — 0.8%
		Foreign Government Obligations
	10,700,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		11,043,069
	15,550,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		15,669,540
	7,600,000	Nigeria Government International Bond, Reg S, 9.25%, due 01/21/49		8,734,300
		Total Nigeria		35,446,909
		Oman — 2.3%
		Foreign Government Obligations
	10,000,000	Oman Government International Bond, Reg S, 6.50%, due 03/08/47		9,561,250
	91,900,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		89,533,575
		Total Oman		99,094,825
		Pakistan — 0.3%
		Foreign Government Obligations
	14,762,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		15,212,241
		Panama — 1.7%
		Foreign Government Agency — 0.6%
	24,261,588	Aeropuerto Internacional de Tocumen SA, Reg S, 6.00%, due 11/18/48		26,081,207

Par Value†		Description	Value ($)
		Panama — continued
		Foreign Government Obligations — 1.1%
	12,651,000	Panama Government International Bond, 8.13%, due 04/28/34		17,928,839
	9,000,000	Panama Government International Bond, 4.30%, due 04/29/53		9,716,062
	16,800,000	Panama Government International Bond, 4.50%, due 04/01/56		18,582,900
				46,227,801
		Total Panama		72,309,008
		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		1,345,904
		Peru — 1.6%
		Foreign Government Agency — 1.1%
	11,300,000	Petroleos del Peru SA, 144A, 5.63%, due 06/19/47		11,596,625
	37,295,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		38,273,994
				49,870,619
		Foreign Government Obligations — 0.5%
	26,700,000	Peruvian Government International Bond, 3.23%, due 07/28/2121		22,107,600
		Total Peru		71,978,219
		Philippines — 1.5%
		Foreign Government Agency
	4,700,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97(c)		8,695,000
	40,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		58,700,105
		Total Philippines		67,395,105
		Qatar — 1.8%
		Foreign Government Agency — 0.4%
	13,378,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		14,316,968
		Foreign Government Obligations — 1.4%
	12,000,000	Qatar Government International Bond, 144A, 3.75%, due 04/16/30		13,611,000
	2,500,000	Qatar Government International Bond, Reg S, 5.10%, due 04/23/48		3,245,000
	38,200,000	Qatar Government International Bond, 144A, 4.40%, due 04/16/50		45,362,500
				62,218,500
		Total Qatar		76,535,468

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Republic of North Macedonia — 0.2%
		Foreign Government Obligations
EUR	7,800,000	North Macedonia Government International Bond, 144A, 1.63%, due 03/10/28		9,190,688
		Romania — 0.6%
		Foreign Government Obligations
EUR	7,100,000	Romanian Government International Bond, Reg S, 4.63%, due 04/03/49		10,845,885
EUR	10,900,000	Romanian Government International Bond, 144A, 3.38%, due 01/28/50		14,018,909
		Total Romania		24,864,794
		Russia — 2.5%
		Foreign Government Agency — 0.6%
	21,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27		22,847,316
	5,200,000	GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28		5,445,375
				28,292,691
		Foreign Government Obligations — 1.9%
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35		40,232,625
	3,800,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35		4,496,587
	4,400,000	Russian Foreign Bond, Reg S, 5.88%, due 09/16/43		5,781,325
	24,800,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		30,826,400
				81,336,937
		Total Russia		109,629,628
		Saudi Arabia — 2.9%
		Corporate Debt — 0.7%
	26,550,000	ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39		31,461,750
				31,461,750
		Foreign Government Agency — 0.5%
	21,400,000	Saudi Arabian Oil Co., 144A, 3.50%, due 11/24/70		19,902,000
				19,902,000
		Foreign Government Obligations — 1.7%
	10,600,000	Saudi Government International Bond, Reg S, 3.75%, due 01/21/55		10,813,988
	67,500,000	Saudi Government International Bond, 144A, 3.45%, due 02/02/61		64,863,281
				75,677,269
		Total Saudi Arabia		127,041,019

Par Value†		Description	Value ($)
		Senegal — 0.2%
		Foreign Government Obligations
	8,800,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		8,955,650
		South Africa — 3.7%
		Foreign Government Agency — 0.8%
	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		14,407,500
	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		15,328,050
ZAR	191,150,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		2,923,997
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,385,938
				35,045,485
		Foreign Government Obligations — 2.9%
ZAR	543,600,000	Republic of South Africa Government International Bond, 6.50%, due 02/28/41		26,102,902
	8,600,000	Republic of South Africa Government International Bond, 6.30%, due 06/22/48		9,217,050
	88,300,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		88,840,837
				124,160,789
		Total South Africa		159,206,274
		Sri Lanka — 1.4%
		Foreign Government Obligations
	7,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		5,029,115
	11,644,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		7,778,192
	34,500,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28		23,132,250
	8,800,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29		5,892,150
	30,300,000	Sri Lanka Government International Bond, 144A, 7.55%, due 03/28/30		20,287,744
		Total Sri Lanka		62,119,451
		SupraNational — 0.4%
		Foreign Government Agency
TRY	263,000,000	International Finance Corp., Zero Coupon, Reg S, due 02/15/29		9,029,951
BRL	225,000,000	International Finance Corp., Zero Coupon, due 02/25/41		8,902,741
		Total SupraNational		17,932,692
		Suriname — 0.5%
		Foreign Government Obligations
	14,000,000	Republic of Suriname, 144A, 12.88%, due 12/30/23(e)		9,607,500
	17,559,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26(e)		11,839,156
		Total Suriname		21,446,656

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Tajikistan — 0.3%
		Foreign Government Obligations
	13,874,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		12,389,482
		Trinidad And Tobago — 1.1%
		Foreign Government Agency — 1.0%
	9,800,000	Telecommunications Services of Trinidad & Tobago Ltd., 144A, 8.88%, due 10/18/29		10,283,875
	6,127,000	Trinidad Generation UnLtd., Reg S, 5.25%, due 11/04/27		6,279,409
	24,388,000	Trinidad Petroleum Holdings Ltd., Reg S, 9.75%, due 06/15/26		27,192,620
				43,755,904
		Foreign Government Obligations — 0.1%
	3,800,000	Trinidad & Tobago Government International Bond, Reg S, 4.50%, due 06/26/30		3,978,125
		Total Trinidad And Tobago		47,734,029
		Tunisia — 1.4%
		Foreign Government Agency
JPY	900,000,000	Banque Centrale de Tunisie International Bond, 3.50%, due 02/03/33		4,752,583
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30(c)		43,426,699
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31(c)		14,318,068
		Total Tunisia		62,497,350
		Turkey — 3.5%
		Foreign Government Obligations
	14,200,000	Istanbul Metropolitan Municipality, 144A, 6.38%, due 12/09/25		13,809,500
	5,900,000	Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25		5,737,750
	10,002,000	Republic of Turkey, 6.00%, due 01/14/41		8,841,143
	23,600,000	Republic of Turkey, 6.63%, due 02/17/45		21,886,050
	125,313,000	Republic of Turkey, 5.75%, due 05/11/47		104,424,889
		Total Turkey		154,699,332
		Ukraine — 2.2%
		Foreign Government Agency — 0.5%
EUR	3,800,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24		4,732,380
	15,500,000	NAK Naftogaz Ukraine via Kondor Finance Plc, 144A, 7.63%, due 11/08/26		15,696,656
	935,600	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		1,005,478

Par Value†		Description	Value ($)
		Ukraine — continued
		Foreign Government Agency — continued
	1,000,500	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		1,075,537
				22,510,051
		Foreign Government Obligations — 1.7%
	10,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		11,163,671
	3,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		4,298,942
	30,200,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32		32,045,975
	26,500,000	Ukraine Government International Bond, 144A, 7.25%, due 03/15/33		27,829,969
				75,338,557
		Total Ukraine		97,848,608
		United Arab Emirates — 2.1%
		Foreign Government Agency — 0.6%
	6,000,000	DAE Funding LLC, 144A, 3.38%, due 03/20/28		6,027,000
	3,100,000	DAE Sukuk Difc Ltd., 144A, 3.75%, due 02/15/26		3,250,156
	14,000,000	DP World Plc, Reg S, 4.70%, due 09/30/49		15,153,250
				24,430,406
		Foreign Government Obligations — 1.5%
	15,700,000	Abu Dhabi Government International Bond, 144A, 3.13%, due 09/30/49		15,521,412
	9,100,000	Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70		7,961,363
	18,700,000	Finance Department Government of Sharjah, 144A, 4.00%, due 07/28/50		17,063,750
	28,300,000	Finance Department Government of Sharjah, 144A, 4.38%, due 03/10/51		27,238,750
				67,785,275
		Total United Arab Emirates		92,215,681
		United States — 6.8%
		Asset-Backed Securities — 0.3%
	1,643,945	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.34%, due 12/15/35		1,580,863
	696,422	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.34%, due 12/15/35		685,596
	1,173,198	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 0.30%, due 05/15/36		1,111,905

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	9,008,676	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 0.24%, due 11/25/36		4,106,462
	9,128,792	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 0.31%, due 11/25/36		4,202,525
	4,675,865	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 0.45%, due 04/25/37		2,353,287
				14,040,638
		Corporate Debt — 0.0%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/2169		520,293
	1,397,977	AMBAC LSNI LLC, 3 mo. LIBOR + 5.00%, 6.00%, due 02/12/23		1,399,725
				1,920,018
		U.S. Government — 6.5%
	10,000,000	U.S. Treasury Note, 1.75%, due 02/28/22(f)		10,126,172
	104,000,000	U.S. Treasury Note, 0.13%, due 05/31/22		104,048,750
	135,000,000	U.S. Treasury Note, 0.13%, due 11/30/22(f)		135,036,914
	6,500,000	U.S. Treasury Note, 1.63%, due 05/15/31(d)		6,512,188
	6,225,000	U.S. Treasury Note, 1.63%, due 11/15/50		5,318,484
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.07%, due 07/31/22(f)		20,008,965
				281,051,473
		Total United States		297,012,129
		Uruguay — 0.8%
		Foreign Government Obligations
	27,918,000	Uruguay Government International Bond, 5.10%, due 06/18/50		35,251,710
		Uzbekistan — 0.4%
		Foreign Government Obligations
	8,000,000	Republic of Uzbekistan Bond, Reg S, 5.38%, due 02/20/29		8,928,000
	7,600,000	Republic of Uzbekistan Bond, 144A, 3.70%, due 11/25/30		7,524,000
		Total Uzbekistan		16,452,000
		Venezuela — 1.0%
		Foreign Government Agency — 0.3%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18(c)(e)		1,671,975

Par Value†		Description	Value ($)
		Venezuela — continued
		Foreign Government Agency — continued
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24(c)(e)		7,656,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26(c)(e)		2,726,548
				12,054,523
		Foreign Government Obligations — 0.7%
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19(c)(e)		1,902,800
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20(c)(e)		3,660,000
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22(c)(e)		2,375,000
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23(c)(e)		17,279,300
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31(c)(e)		6,955,875
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34(c)(e)		708,750
				32,881,725
		Total Venezuela		44,936,248
		Vietnam — 0.8%
		Foreign Government Agency — 0.6%
	28,058,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		24,976,881
		Foreign Government Obligations — 0.2%
	9,918,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 1.06%, due 03/13/28(c)		9,074,970
		Total Vietnam		34,051,851
		Zambia — 0.5%
		Foreign Government Obligations
	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22(e)		2,344,050
	27,572,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27(e)		18,004,516
		Total Zambia		20,348,566
		TOTAL DEBT OBLIGATIONS (COST $4,319,151,764)		4,089,737,544
		LOAN ASSIGNMENTS — 0.5%
		Chad — 0.4%
	7,037,766	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 2.13%, due 09/30/25(c)		5,559,835
	20,724,667	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 2.38%, due 12/31/27(c)		13,056,540
		Total Chad		18,616,375

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Indonesia — 0.0%
EUR	101,262	Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21(a)		123,277
		Kenya — 0.1%
	4,866,667	Republic of Kenya Loan Agreement, 9.17%, due 04/10/25(a)		5,053,072
		TOTAL LOAN ASSIGNMENTS (COST $23,250,441)		23,792,724
		LOAN PARTICIPATIONS — 0.9%
		Angola — 0.6%
	702,000	Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 4.67%, due 12/07/23(c)		680,940
	10,912,500	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.42%, due 12/13/23(c)		10,339,594
	6,243,341	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.42%, due 12/20/23(c)		5,915,566
	11,083,333	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24(c)		10,529,166
		Total Angola		27,465,266
		Egypt — 0.0%
CHF	686	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24(a)		637
		Iraq — 0.3%
EUR	783,548	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27(c)		782,892
JPY	112,663,119	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28(c)		788,175
JPY	1,248,627,083	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28(c)		8,651,489
JPY	265,058,341	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28(c)		1,854,308
		Total Iraq		12,076,864
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.)(c)(e)		3
		TOTAL LOAN PARTICIPATIONS (COST $55,737,653)		39,542,770

Shares / Par Value†		Description	Value ($)
		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
		RIGHTS/WARRANTS — 0.4%
		Argentina — 0.1%
EUR	335,089,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35(g)		3,269,000
JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35(c)(g)		33,187
		Total Argentina		3,302,187
		Ukraine — 0.3%
	14,446,000	Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40(g)		15,979,082
		TOTAL RIGHTS/WARRANTS (COST $49,378,719)		19,281,269
		SHORT-TERM INVESTMENTS — 1.4%
		Money Market Funds — 0.5%
	21,234,333	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01%(h)		21,234,333
		Repurchase Agreements — 0.2%
	6,491,690	Nomura Securities International Inc. Repurchase Agreement, dated 05/20/21, maturing on 06/15/21 with a maturity value of $6,491,690 and an effective yield of 0.00%, collateralized by a U.S. Treasury Note with maturity date 08/15/24 and a market value of $6,463,241.		6,491,690
		U.S. Government — 0.7%
	11,500,000	U.S. Treasury Bill, 0.02%, due 01/27/22(i)		11,498,084
	17,000,000	U.S. Treasury Bill, 0.03%, due 03/24/22(i)		16,996,156
		Total U.S. Government		28,494,240
		TOTAL SHORT-TERM INVESTMENTS (COST $56,215,167)		56,220,263
		TOTAL INVESTMENTS — 98.7% (Cost $4,578,030,174)		4,303,358,817
		Other Assets and Liabilities (net) — 1.3%		55,712,885
		TOTAL NET ASSETS — 100.0%		$4,359,071,702

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/28/2021	MSCI		COP	30,583,000,000		USD	8,342,790		120,770
06/21/2021	BOA		EUR	9,496,000		USD	11,413,805		(202,620	)
06/21/2021	MSCI		EUR	74,703,300		USD	89,565,522		(1,818,769	)
06/21/2021	SSB		EUR	8,800,000		USD	10,585,313		(179,697	)
06/21/2021	MSCI		GBP	66,311,000		USD	91,359,118		(2,851,045	)
08/19/2021	CITI		JPY	8,000,000,000		USD	73,307,952		199,218
07/30/2021	JPM		ZAR	230,000,000		USD	15,896,056		(706,702	)
								$	(5,438,845	)

Reverse Repurchase Agreements^(j)

Face Value		Description	Value ($)
USD	6,178,901	J.P. Morgan Securities plc, (0.50)%, dated 04/05/21 (collateral: Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.		(6,178,901	)
USD	6,490,784	Nomura Securities International, Inc, (0.55)%, dated 05/20/21 (collateral: U.S. Treasury Note, 1.63%, due 05/15/31), to be repurchased on demand at face value plus accrued interest.		(6,490,784	)
			$	(12,669,685	)
		Average balance outstanding	$	(9,685,732	)
		Average interest rate (net)		0.75	%
		Maximum balance outstanding	$	(26,079,125	)

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	9,746,000	01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB)(a)		(99,017	)		67,745
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)		(1,132,791	)		345,952
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)		(3,825,555	)		294,121
					$	(5,057,363	)	$	707,818

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount			Annual Premium			Implied Credit Spread(1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract(2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX-EMS.31.V1-5Y		USD	140,060,000		1.00	%		1.02	%		N/A		06/20/2024		Quarterly		4,376,875		91,179		(4,285,696	)
CDX-EMS.35.V1-5Y		USD	105,000,000		1.00	%		1.60	%		N/A		06/20/2026		Quarterly		3,345,000		3,026,940		(318,060	)
																$	7,721,875	$	3,118,119	$	(4,603,756	)

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^:
Banque Centrale de Tunisie SA	JPM	USD	19,500,000		1.00%		6.40%		N/A		06/20/2022		Quarterly		2,109,320			1,084,354			(1,024,966	)
Republic of Ghana	JPM	USD	3,700,000		5.00%		3.81%		N/A		06/20/2023		Quarterly		(112,514	)		(87,615	)		24,899
Republic of Ghana	JPM	USD	3,700,000		1.00%		3.81%		N/A		06/20/2023		Quarterly		(112,260	)		(87,615	)		24,645
Republic of South Africa	CITI	USD	35,900,000		1.00%		0.88%		N/A		06/20/2023		Quarterly		120,140			(91,093	)		(211,233	)
Petrobras Global Finance BV	CITI	USD	37,000,000		1.00%		1.31%		N/A		06/20/2024		Quarterly		1,923,458			348,835			(1,574,623	)
Petrobras Global Finance BV	CITI	USD	13,000,000		1.00%		1.31%		N/A		06/20/2024		Quarterly		371,175			122,564			(248,611	)
Commonwealth of Bahamas	DB	EUR	37,970,815		1.00%		3.80%		N/A		06/20/2025		Quarterly		5,153,296			2,964,119			(2,189,177	)
Republic of South Africa	GS	USD	41,800,000		1.00%		1.90%		N/A		06/20/2026		Quarterly		2,604,622			1,815,301			(789,321	)
Republic of Turkey	MORD	USD	15,000,000		1.00%		4.08%		N/A		06/20/2026		Quarterly		2,501,284			2,054,421			(446,863	)
Republic of Turkey	GS	USD	17,000,000		1.00%		4.08%		N/A		06/20/2026		Quarterly		2,834,788			2,328,344			(506,444	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.41%		N/A		06/20/2029		Quarterly		1,589,641			611,461			(978,180	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.59%		N/A		09/20/2031		Quarterly		2,640,655			1,069,699			(1,570,956	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		3.35%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(371,548	)		892,367
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		3.35%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(185,747	)		455,716
Commonwealth of Bahamas	DB	USD	50,827,085		1.00%		3.80%		50,827,085 USD		06/20/2025		Quarterly		(5,838,385	)		(3,211,052	)		2,627,333
														$	13,879,842		$	8,364,428		$	(5,515,414	)

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

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

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

⁽¹⁾  As of May 31, 2021, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
0.33%	6 Month EURIBOR		EUR	35,300,000		03/04/2051		Semi-Annually		907,886		2,297,551		1,389,665
0.82%	GBP - SONIA - COMPOUND		GBP	24,600,000		02/18/2051		Annually		168,969		960,316		791,347
									$	1,076,855	$	3,257,867	$	2,181,012

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 J.P. Morgan EMBI Global Core IG Index Short Swap

3 Month USD LIBOR minus a spread of 0.45%

JPM

USD

18,330,000

07/13/2021

At Maturity

$

—

$

(171,359

)

$

(171,359

)

As of May 31, 2021, 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 May 31, 2021.

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

(j) 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 May 31, 2021, 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

EMBI - Emerging Markets Bond Index

EURIBOR - Euro Interbank Offered Rate

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

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

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

SONIA - Sterling Overnight Interbank Average Rate

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

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

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

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Counterparty Abbreviations:

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

BRL - Brazilian Real

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)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 35.1%
		Corporate Debt — 34.9%
		Canada — 1.6%
	825,000	Methanex Corp., 5.25%, due 12/15/29		865,738
	125,000	Mountain Province Diamonds, Inc., 144A, 8.00%, due 12/15/22		113,438
	500,000	Quebecor Media, Inc., 5.75%, due 01/15/23		530,000
		Total Canada		1,509,176
		Luxembourg — 0.9%
	500,000	ArcelorMittal SA, 3.60%, due 07/16/24		533,186
	225,000	ArcelorMittal SA, 7.25%, due 10/15/39		309,307
		Total Luxembourg		842,493
		New Zealand — 0.6%
	550,000	Trilogy International Partners LLC / Trilogy International Finance, Inc., 144A, 8.88%, due 05/01/22		544,500
		United Kingdom — 1.3%
	350,000	Avon Products, Inc., 6.50%, due 03/15/23		375,834
	190,000	Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23		190,000
	725,000	Rolls-Royce Plc, 144A, 3.63%, due 10/14/25		728,625
		Total United Kingdom		1,294,459
		United States — 30.5%
	125,000	Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23		128,120
	375,000	Ally Financial, Inc., 5.75%, due 11/20/25		431,306
	375,000	Altera Infrastructure LP / Teekay Offshore Finance Corp., 144A, 8.50%, due 07/15/23		340,853
	250,000	American Airlines Group, Inc., 144A, 5.00%, due 06/01/22		249,375
	373,000	AmeriGas Partners LP / AmeriGas Finance Corp., 5.63%, due 05/20/24		410,486
	325,000	Apache Corp., 5.35%, due 07/01/49		333,219
	625,000	Arconic Corp., 144A, 6.00%, due 05/15/25		667,381
	250,000	Bausch Health Cos Inc, 144A, 5.75%, due 08/15/27		260,625
	250,000	Brinker International, Inc., 3.88%, due 05/15/23		256,563
	250,000	Callon Petroleum Co., 6.25%, due 04/15/23		236,100
	250,000	Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.75%, due 04/15/23		246,875
	475,000	Carnival Corp., 144A, 11.50%, due 04/01/23		543,490
	375,000	CDW LLC / CDW Finance Corp., 5.50%, due 12/01/24		419,066
	625,000	CIT Group, Inc., 5.00%, due 08/15/22		656,250
	275,000	Cleaver-Brooks, Inc., 144A, 7.88%, due 03/01/23		275,305
	375,000	Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, due 01/15/23		394,219

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	625,000	CSC Holdings LLC, 6.75%, due 11/15/21		639,687
	250,000	CSC Holdings LLC, 5.88%, due 09/15/22		261,875
	375,000	Delta Air Lines, Inc., 3.63%, due 03/15/22		381,167
	425,000	DISH DBS Corp., 5.88%, due 07/15/22		442,000
	125,000	Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 02/15/23		130,313
	400,000	Enact Holdings, Inc., 144A, 6.50%, due 08/15/25		434,000
	675,000	Fluor Corp., 3.50%, due 12/15/24		710,370
	1,050,000	Ford Motor Credit Co. LLC, 4.13%, due 08/04/25		1,112,890
	1,177,000	Ford Motor Credit Co. LLC, 3.82%, due 11/02/27		1,202,011
	375,000	Freeport-McMoRan, Inc., 3.55%, due 03/01/22		378,518
	250,000	Freeport-McMoRan, Inc., 3.88%, due 03/15/23		259,063
	375,000	G-III Apparel Group Ltd., 144A, 7.88%, due 08/15/25		409,327
	500,000	Gap, Inc. (The), 144A, 8.88%, due 05/15/27		579,900
	670,000	Hexcel Corp., 4.20%, due 02/15/27		713,094
	250,000	Hillman Group, Inc. (The), 144A, 6.38%, due 07/15/22		250,175
	250,000	iStar, Inc., REIT, 5.50%, due 02/15/26		256,830
	500,000	KB Home, 4.80%, due 11/15/29		535,965
	625,000	Kraft Heinz Foods Co., 3.88%, due 05/15/27		684,146
	250,000	Kraft Heinz Foods Co., 6.75%, due 03/15/32		328,295
	625,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, REIT, 4.25%, due 02/01/27		610,937
	375,000	LSB Industries, Inc., 144A, 9.63%, due 05/01/23		385,312
	207,000	Macy’s Retail Holdings LLC, 2.88%, due 02/15/23		208,294
	375,000	Netflix, Inc., 4.38%, due 11/15/26		422,921
	525,000	Newell Brands, Inc., 4.70%, due 04/01/26		589,969
	500,000	Occidental Petroleum Corp., 4.30%, due 08/15/39		427,500
	775,000	Occidental Petroleum Corp., 4.40%, due 08/15/49		651,000
	375,000	Olin Corp., 144A, 9.50%, due 06/01/25		465,825
	375,000	OneMain Finance Corp., 6.63%, due 01/15/28		425,550
	250,000	Owens-Brockway Glass Container, Inc., 144A, 5.88%, due 08/15/23		269,063
	250,000	PBF Logistics LP / PBF Logistics Finance Corp., 6.88%, due 05/15/23		249,063
	375,000	Pilgrim’s Pride Corp., 144A, 5.88%, due 09/30/27		398,906
	375,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26		410,156
	250,000	Quad/Graphics, Inc., 7.00%, due 05/01/22		245,625
	535,000	QVC, Inc., 5.45%, due 08/15/34		543,025

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	400,000	Royal Caribbean Cruises Ltd., 144A, 10.88%, due 06/01/23		459,000
	625,000	Sealed Air Corp., 144A, 5.25%, due 04/01/23		658,594
	250,000	Sensata Technologies BV, 144A, 4.88%, due 10/15/23		266,875
	250,000	Service Properties Trust, REIT, 4.50%, due 03/15/25		243,125
	600,000	Service Properties Trust, REIT, 4.38%, due 02/15/30		540,000
	250,000	SM Energy Co., 5.00%, due 01/15/24		242,913
	625,000	Southwestern Energy Co., 6.45%, due 01/23/25		684,512
	800,000	Spirit AeroSystems, Inc., 3.85%, due 06/15/26		833,984
	600,000	Sprint Corp., 7.88%, due 09/15/23		679,866
	625,000	Tenet Healthcare Corp., 6.75%, due 06/15/23		679,062
	271,875	Transocean Guardian Ltd., 144A, 5.88%, due 01/15/24		252,844
	250,000	Vericast Corp., 144A, 8.38%, due 08/15/22		254,323
	375,000	W&T Offshore, Inc., 2018 Term Loan, 144A, 9.75%, due 11/01/23		330,000
	500,000	Western Midstream Operating LP, 5.30%, due 02/01/30		551,250
	925,000	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 144A, 4.25%, due 05/30/23		950,900
		Total United States		29,489,253
		Total Corporate Debt		33,679,881

Par Value† / Shares		Description	Value ($)
		U.S. Government — 0.2%
	150,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.17%, due 01/31/22 (a)		150,146
		TOTAL DEBT OBLIGATIONS (COST $32,546,669)		33,830,027
		SHORT-TERM INVESTMENTS — 63.0%
		Foreign Government Obligations — 9.4%
JPY	1,000,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/19/21		9,105,837
		Money Market Funds — 3.6%
	3,452,425	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		3,452,425
		U.S. Government — 50.0%
	200,000	U.S. Treasury Bill, 0.02%, due 11/04/21 (c)		199,983
	18,100,000	U.S. Treasury Bill, 0.03%, due 12/30/21 (c)		18,097,069
	27,700,000	U.S. Treasury Bill, 0.02%, due 01/27/22 (c)		27,695,383
	2,315,000	U.S. Treasury Bill, 0.02%, due 02/24/22 (c)		2,314,591
		Total U.S. Government		48,307,026
		TOTAL SHORT-TERM INVESTMENTS (COST $60,863,911)		60,865,288
		TOTAL INVESTMENTS — 98.1% (Cost $93,410,580)		94,695,315
		Other Assets and Liabilities (net) — 1.9%		1,854,360
		TOTAL NET ASSETS — 100.0%		$96,549,675

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/19/2021	DB		JPY	1,000,000,000		USD	9,114,690	$	(21,838	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
83	U.S. Treasury Note 10 Yr. (CBT)	September 2021		10,950,813		13,400
19	U.S. Treasury Note 2 Yr. (CBT)	September 2021		4,193,953		1,039
21	U.S. Treasury Note 5 Yr. (CBT)	September 2021		2,600,883		2,452
			$	17,745,649	$	16,891

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Futures Contracts — continued

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
3	U.S. Long Bond (CBT)	September 2021		469,594		(655	)
46	U.S. Treasury Note 5 Yr. (CBT)	September 2021		5,697,172		(7,752	)
6	U.S. Ultra Bond (CBT)	September 2021		1,111,500		(4,331	)
			$	7,278,266	$	(12,738	)

+ Buys - Fund is long the futures contract.

Sales- Fund is short the futures contract.

Written Options

Description

Counterparty

Exercise Rate

Expiration Date

Principal/Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps – Puts

CDX.NA.HYS.36.V1-5Y

BOA

108.00

%

07/21/21

USD

(28,930,000

)

Fixed Spread

Pay

$(145,492)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $226,233)

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.HYS.36.V1-5Y	USD	11,836,000		5.00%		2.88%		N/A		06/20/2026		Quarterly		(1,146,023	)		(1,147,441	)		(1,418	)
Sell Protection^:
CDX.NA.HYS.36.V1-5Y	USD	26,096,000		5.00%		2.88%		26,096,000 USD		06/20/2026		Quarterly		2,239,298			2,529,877			290,579
													$	1,093,275		$	1,382,436		$	289,161

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

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

⁽¹⁾  As of May 31, 2021, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (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) ($)
1 Month USD LIBOR minus a spread of 1.40%	Total Return on iShares iBoxx High Yield Corporate Bond ETF	CITI	USD	722,183		06/02/2021	At Maturity		—			1,981			1,981
1 Month USD LIBOR minus a spread of 1.40%	Total Return on iShares iBoxx High Yield Corporate Bond ETF	CITI	USD	28,153,909		06/02/2021	At Maturity		—			23,253			23,253
1 Month USD LIBOR minus a spread of 0.95%	Total Return on iShares iBoxx High Yield Corporate Bond ETF	CITI	USD	977,724		06/25/2021	At Maturity		—			(784	)		(784	)
3 Month USD LIBOR	Total Return on iBoxx USD Liquid High Yield Index	BOA	USD	1,640,001		06/20/2021	Quarterly		(187	)		12,043			12,230
3 Month USD LIBOR	Total Return on iBoxx USD Liquid High Yield Index	MSCI	USD	240,002		06/20/2021	Quarterly		(29	)		1,555			1,584
3 Month USD LIBOR	Total Return on iBoxx USD Liquid High Yield Index	BOA	USD	400,002		09/20/2021	Quarterly		(141	)		(738	)		(597	)
3 Month USD LIBOR	Total Return on iBoxx USD Liquid High Yield Index	MSCI	USD	920,002		09/20/2021	Quarterly		(319	)		(928	)		(609	)
								$	(676	)	$	36,382		$	37,058

As of May 31, 2021, 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, OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of May 31, 2021.

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

The rates shown on variable rate notes are the current interest rates at May 31, 2021, 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 - Exchanged-Trade Fund

REIT - Real Estate Investment Trust.

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

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

Counterparty Abbreviations:

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 44.1%
		Brazil — 0.4%
		Corporate Debt
	400,000	Fibria Overseas Finance Ltd., 5.50%, due 01/17/27		457,949
	300,000	Suzano Austria GmbH, 3.75%, due 01/15/31		309,150
		Total Brazil		767,099
		Canada — 0.9%
		Corporate Debt
	450,000	Bank of Nova Scotia (The), 0.55%, due 09/15/23		451,416
	300,000	Cenovus Energy, Inc., 5.38%, due 07/15/25		342,349
	400,000	Cenovus Energy, Inc., 5.40%, due 06/15/47		469,548
	350,000	Teck Resources Ltd., 6.25%, due 07/15/41		453,193
		Total Canada		1,716,506
		Chile — 0.5%
		Corporate Debt
	450,000	Celulosa Arauco y Constitucion SA, 4.50%, due 08/01/24		487,913
	400,000	Enel Americas SA, 4.00%, due 10/25/26		433,825
		Total Chile		921,738
		Germany — 1.2%
		Corporate Debt
	1,250,000	Deutsche Bank AG, 3.95%, due 02/27/23		1,317,702
	400,000	Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25		434,260
	450,000	Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31		472,448
		Total Germany		2,224,410
		Ireland — 0.5%
		Corporate Debt
	450,000	AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.50%, due 01/15/25		476,245
	400,000	AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 6.50%, due 07/15/25		468,597
		Total Ireland		944,842
		Japan — 0.2%
		Corporate Debt
	400,000	Sumitomo Mitsui Financial Group Inc., 2.85%, due 01/11/22		406,537
		Switzerland — 0.7%
		Corporate Debt
	400,000	Credit Suisse Group AG, 3.75%, due 03/26/25		434,586

Par Value†		Description	Value ($)
		Switzerland — continued
		Corporate Debt — continued
	300,000	Credit Suisse Group AG, 4.88%, due 05/15/45		365,981
	400,000	Credit Suisse Group Funding Guernsey Ltd., 3.80%, due 09/15/22		417,215
		Total Switzerland		1,217,782
		United Kingdom — 0.3%
		Corporate Debt
	200,000	AstraZeneca Plc, 2.38%, due 06/12/22		204,019
	350,000	CNH Industrial NV, 4.50%, due 08/15/23		379,183
		Total United Kingdom		583,202
		United States — 39.4%
		Corporate Debt — 25.4%
	400,000	Abbott Laboratories, 2.55%, due 03/15/22		407,482
	400,000	Abbott Laboratories, 2.95%, due 03/15/25		431,365
	350,000	Abbott Laboratories, 3.75%, due 11/30/26		396,154
	400,000	Ally Financial, Inc., 4.13%, due 02/13/22		410,296
	450,000	Alphabet, Inc., 0.45%, due 08/15/25		446,587
	450,000	Alphabet, Inc., 0.80%, due 08/15/27		437,660
	450,000	Amazon.com, Inc., 0.40%, due 06/03/23		451,930
	200,000	American Financial Group Inc/OH, 4.50%, due 06/15/47		226,804
	400,000	Apple, Inc., 2.50%, due 02/09/22		405,709
	450,000	Apple, Inc., 0.75%, due 05/11/23		454,676
	350,000	Ares Capital Corp., 2.15%, due 07/15/26		348,111
	400,000	Arrow Electronics, Inc., 3.88%, due 01/12/28		442,462
	400,000	Avnet, Inc., 4.63%, due 04/15/26		451,500
	400,000	Bank of America Corp., Variable Rate, 2.83%, due 10/24/51		375,407
	300,000	Bank of America Corp., Variable Rate, 4.33%, due 03/15/50		353,102
	400,000	Boardwalk Pipelines LP, 5.95%, due 06/01/26		474,572
	350,000	Boeing Co. (The), 5.04%, due 05/01/27		403,485
	200,000	Boeing Co. (The), 5.71%, due 05/01/40		248,975
	450,000	Brighthouse Financial, Inc., 4.70%, due 06/22/47		485,527
	350,000	Bunge Ltd. Finance Corp., 3.25%, due 08/15/26		378,698
	400,000	Bunge Ltd. Finance Corp., 3.75%, due 09/25/27		441,243
	400,000	Bunge Ltd. Finance Corp., 4.35%, due 03/15/24		437,681
	400,000	Caterpillar Financial Services Corp., 1.90%, due 09/06/22		408,579
	450,000	Caterpillar Financial Services Corp., 0.45%, due 09/14/23		451,416
	300,000	Caterpillar, Inc., 4.75%, due 05/15/64		411,920
	400,000	Caterpillar, Inc., 3.25%, due 09/19/49		422,048
	400,000	CBRE Services, Inc., 4.88%, due 03/01/26		464,034

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	350,000	Cheniere Corpus Christi Holdings LLC, 5.88%, due 03/31/25		402,120
	350,000	Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24		402,203
	400,000	Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27		464,058
	450,000	CNH Industrial Capital LLC, 1.95%, due 07/02/23		462,697
	400,000	Constellation Brands, Inc., 4.25%, due 05/01/23		428,434
	350,000	Corning, Inc., 5.45%, due 11/15/79		450,006
	350,000	Deere & Co., 3.75%, due 04/15/50		404,427
	400,000	DH Europe Finance II Sarl, 3.40%, due 11/15/49		418,065
	400,000	DH Europe Finance II Sarl, 2.60%, due 11/15/29		413,928
	400,000	DH Europe Finance II Sarl, 3.25%, due 11/15/39		415,293
	200,000	Discover Bank, 2.45%, due 09/12/24		210,250
	350,000	DuPont de Nemours, Inc., 5.32%, due 11/15/38		447,736
	300,000	DuPont de Nemours, Inc., 5.42%, due 11/15/48		398,811
	400,000	Energy Transfer LP, 6.50%, due 02/01/42		500,411
	400,000	Energy Transfer LP, 6.25%, due 04/15/49		499,232
	400,000	Estee Lauder Cos, Inc. (The), 2.60%, due 04/15/30		414,887
	400,000	Expedia Group, Inc., 5.00%, due 02/15/26		455,713
	450,000	Expedia Group, Inc., 3.80%, due 02/15/28		484,826
	250,000	Expedia Group, Inc., 3.25%, due 02/15/30		255,974
	350,000	FedEx Corp., 5.10%, due 01/15/44		435,917
	300,000	FedEx Corp., 5.25%, due 05/15/50		394,269
	400,000	FedEx Corp., 4.10%, due 04/15/43		442,039
	350,000	Fortive Corp., 4.30%, due 06/15/46		401,688
	250,000	General Electric Co., 4.35%, due 05/01/50		284,877
	300,000	General Electric Co., 4.13%, due 10/09/42		332,705
	250,000	General Electric Co., 4.50%, due 03/11/44		291,802
	400,000	GLP Capital LP / GLP Financing II, Inc., REIT, 4.00%, due 01/15/31		424,216
	400,000	Halliburton Co., 4.85%, due 11/15/35		460,327
	300,000	Halliburton Co., 5.00%, due 11/15/45		350,535
	350,000	Hewlett Packard Enterprise Co., 6.35%, due 10/15/45		461,696
	200,000	Host Hotels & Resorts LP, REIT, 3.38%, due 12/15/29		203,859
	450,000	Host Hotels & Resorts LP, REIT, 3.50%, due 09/15/30		461,920
	350,000	International Paper Co., 4.80%, due 06/15/44		429,425
	400,000	John Deere Capital Corp., 2.65%, due 01/06/22		405,866
	350,000	Johnson & Johnson, 3.63%, due 03/03/37		400,838
	450,000	Las Vegas Sands Corp., 3.50%, due 08/18/26		476,609

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	450,000	Las Vegas Sands Corp., 3.20%, due 08/08/24		473,212
	350,000	Marathon Petroleum Corp., 6.50%, due 03/01/41		474,381
	400,000	Marathon Petroleum Corp., 4.75%, due 09/15/44		456,512
	400,000	Marriott International Inc/MD, 5.75%, due 05/01/25		464,024
	250,000	Marriott International Inc/MD, 3.50%, due 10/15/32		260,826
	300,000	Morgan Stanley, Variable Rate, 5.60%, due 03/24/51		429,119
	300,000	Morgan Stanley, 6.38%, due 07/24/42		443,347
	350,000	Mosaic Co. (The), 5.45%, due 11/15/33		432,694
	350,000	Mosaic Co. (The), 5.63%, due 11/15/43		448,163
	350,000	NIKE, Inc., 3.38%, due 03/27/50		376,442
	150,000	NOV, Inc., 3.95%, due 12/01/42		144,686
	450,000	Office Properties Income Trust, REIT, 4.50%, due 02/01/25		485,176
	250,000	ONEOK, Inc., 4.95%, due 07/13/47		280,410
	700,000	PacifiCorp, 4.15%, due 02/15/50		815,587
	350,000	Plains All American Pipeline LP / PAA Finance Corp., 4.90%, due 02/15/45		361,847
	400,000	Procter & Gamble Co. (The), 3.10%, due 08/15/23		426,546
	400,000	Sabra Health Care LP, REIT, 5.13%, due 08/15/26		449,603
	450,000	Santander Holdings USA, Inc., 3.24%, due 10/05/26		480,683
	450,000	Santander Holdings USA, Inc., 3.45%, due 06/02/25		485,259
	300,000	Simon Property Group LP, REIT, 4.25%, due 11/30/46		333,413
	300,000	Simon Property Group LP, REIT, 3.80%, due 07/15/50		314,660
	250,000	Simon Property Group LP, REIT, 4.75%, due 03/15/42		299,081
	350,000	Starbucks Corp., 4.45%, due 08/15/49		411,989
	400,000	Starbucks Corp., 3.50%, due 11/15/50		406,096
	400,000	Synchrony Financial, 4.38%, due 03/19/24		438,409
	150,000	Synchrony Financial, 5.15%, due 03/19/29		174,151
	400,000	Synchrony Financial, 2.85%, due 07/25/22		409,630
	300,000	Synchrony Financial, 4.25%, due 08/15/24		328,728
	300,000	Sysco Corp., 6.60%, due 04/01/40		432,071
	300,000	Sysco Corp., 6.60%, due 04/01/50		450,904
	350,000	Sysco Corp., 5.95%, due 04/01/30		445,829
	300,000	Tapestry, Inc., 4.25%, due 04/01/25		326,150
	400,000	Thermo Fisher Scientific, Inc., 4.13%, due 03/25/25		445,838
	350,000	Thermo Fisher Scientific, Inc., 4.50%, due 03/25/30		412,002
	350,000	Union Pacific Corp., 144A, 3.80%, due 04/06/71		361,326
	350,000	Union Pacific Corp., 4.10%, due 09/15/67		385,875

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	400,000	United Parcel Service, Inc., 2.35%, due 05/16/22		407,658
	300,000	United Parcel Service, Inc., 5.20%, due 04/01/40		394,162
	400,000	United Parcel Service, Inc., 3.90%, due 04/01/25		445,323
	300,000	Valero Energy Corp., 4.90%, due 03/15/45		354,576
	400,000	Valero Energy Partners LP, 4.50%, due 03/15/28		451,656
	400,000	Verizon Communications, Inc., 3.38%, due 02/15/25		435,969
	350,000	Verizon Communications, Inc., 4.33%, due 09/21/28		402,275
	350,000	Verizon Communications, Inc., 3.88%, due 02/08/29		394,745
	450,000	ViacomCBS, Inc., 3.50%, due 01/15/25		485,801
	400,000	VMware, Inc., 4.50%, due 05/15/25		449,505
	400,000	Walt Disney Co. (The), 1.75%, due 01/13/26		411,484
	400,000	Walt Disney Co. (The), 2.20%, due 01/13/28		411,404
	400,000	Walt Disney Co. (The), 2.65%, due 01/13/31		412,821
	150,000	Wells Fargo & Co., Variable Rate, 5.01%, due 04/04/51		197,926
	450,000	Welltower, Inc., REIT, 2.80%, due 06/01/31		455,123
	350,000	Williams Cos, Inc. (The), 5.75%, due 06/24/44		439,168
	400,000	Williams Cos, Inc. (The), 5.10%, due 09/15/45		470,646
	400,000	Williams Cos, Inc. (The), 5.40%, due 03/04/44		487,881
				47,727,874
		U.S. Government Agency — 14.0%
	4,300,000	Fannie Mae or Freddie Mac, TBA, 2.50%, due 06/14/51		4,451,593
	6,100,000	Federal National Mortgage Association, TBA, 2.50%, due 06/17/36		6,367,953
	10,100,000	Federal National Mortgage Association, TBA, 3.00%, due 06/14/51		10,548,335
	1,300,000	Federal National Mortgage Association, TBA, 3.50%, due 06/14/51		1,372,084
	3,400,000	Government National Mortgage Association, TBA, 3.50%, due 06/21/51		3,571,131
		Total U.S. Government Agency		26,311,096
		Total United States		74,038,970
		TOTAL DEBT OBLIGATIONS (COST $82,467,993)		82,821,086

Shares / Par Value †		Description	Value ($)
		INVESTMENT FUNDS — 25.2%
		United States — 25.2%
	112,100	iShares Core S&P 500 ETF		47,266,965
		TOTAL INVESTMENT FUNDS (COST $42,720,499)		47,266,965
		MUTUAL FUNDS — 25.5%
		United States — 25.5%
		Affiliated Issuers
	413,999	GMO Emerging Country Debt Fund, Class IV		10,884,026
	1,228,449	GMO Opportunistic Income Fund, Class VI		31,865,968
	1,007,034	GMO U.S. Treasury Fund		5,075,453
		TOTAL MUTUAL FUNDS (COST $49,311,551)		47,825,447
		SHORT-TERM INVESTMENTS — 18.1%
		Foreign Government Obligations — 13.2%
JPY	2,725,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/05/21		24,812,417
		Money Market Funds — 1.7%
	3,297,846	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		3,297,846
		U.S. Government — 3.2%
	6,000,000	U.S. Treasury Bill, 0.03%, due 12/02/21(b)(c)		5,999,234
		TOTAL SHORT-TERM INVESTMENTS (COST $33,934,483)		34,109,497
		TOTAL INVESTMENTS — 112.9% (Cost $208,434,526)		212,022,995
		Other Assets and Liabilities (net) — (12.9%)		(24,268,635	)
		TOTAL NET ASSETS — 100.0%		$187,754,360

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/10/2021	MSCI		AUD	12,291,000		USD	9,524,173		9,360
06/02/2021	MSCI		BRL	9,793,200		USD	1,796,439		(72,599	)
07/13/2021	BOA		CHF	710,749		USD	780,000		(11,563	)
07/13/2021	MSCI		CHF	12,518,319		USD	13,528,857		(412,837	)
08/19/2021	MSCI		CLP	134,077,000		USD	187,222		1,747
07/28/2021	JPM		COP	639,880,000		USD	170,000		(2,027	)
07/28/2021	MSCI		COP	998,790,000		USD	260,000		(8,518	)
08/17/2021	CITI		CZK	3,972,524		USD	190,000		(997	)
06/30/2021	BCLY		EUR	960,000		USD	1,155,412		(19,160	)
06/30/2021	BOA		EUR	480,000		USD	578,459		(8,827	)
06/30/2021	DB		EUR	210,000		USD	247,243		(9,694	)
06/30/2021	JPM		EUR	2,040,000		USD	2,457,892		(38,072	)
07/13/2021	BOA		GBP	370,000		USD	512,333		(13,351	)
06/14/2021	CITI		HUF	289,224,558		USD	959,548		(59,309	)
08/11/2021	CITI		IDR	2,906,440,000		USD	200,000		(2,467	)
07/30/2021	BOA		ILS	487,985		USD	150,229		(86	)
07/16/2021	BCLY		INR	46,361,900		USD	610,000		(25,009	)
07/16/2021	MSCI		INR	18,096,000		USD	240,000		(7,857	)
06/09/2021	BOA		JPY	280,982,936		USD	2,570,000		3,593
06/09/2021	MSCI		JPY	73,197,239		USD	670,000		1,440
06/09/2021	SSB		JPY	30,917,757		USD	280,000		(2,393	)
07/06/2021	CITI		JPY	2,725,000,000		USD	24,635,349		(259,345	)
08/13/2021	CITI		KRW	225,226,000		USD	200,000		(3,193	)
08/13/2021	JPM		KRW	192,349,900		USD	170,000		(3,533	)
07/21/2021	BOA		MXN	6,226,328		USD	310,000		(775	)
06/14/2021	DB		NOK	1,194,878		USD	140,000		(3,695	)
06/14/2021	JPM		NOK	12,519,561		USD	1,500,000		(5,591	)
08/05/2021	JPM		NZD	3,530,000		USD	2,528,331		(40,525	)
08/05/2021	MSCI		NZD	10,490,000		USD	7,527,257		(106,542	)
08/19/2021	JPM		PEN	792,330		USD	210,000		2,468
07/21/2021	MSCI		PHP	22,389,520		USD	458,990		(8,935	)
08/31/2021	JPM		RON	2,926,620		USD	724,501		(944	)
07/15/2021	GS		SGD	332,983		USD	250,000		(1,980	)
07/16/2021	BCLY		THB	10,360,350		USD	330,000		(1,642	)
07/16/2021	BOA		THB	14,095,680		USD	446,468		(4,744	)
07/16/2021	DB		THB	5,979,053		USD	190,000		(1,394	)
08/10/2021	JPM		USD	1,210,618		AUD	1,560,000		(2,977	)
06/02/2021	CITI		USD	140,000		BRL	770,770		7,102
06/02/2021	JPM		USD	590,000		BRL	3,223,056		25,122
06/02/2021	MSCI		USD	1,070,000		BRL	5,799,374		36,814
09/02/2021	MSCI		USD	1,113,602		BRL	5,954,541		12,393
08/03/2021	GS		USD	1,975,901		CAD	2,431,391		38,340
08/03/2021	JPM		USD	10,421,996		CAD	12,793,000		176,132
07/13/2021	BOA		USD	1,230,000		CHF	1,119,712		17,027
07/13/2021	JPM		USD	1,580,000		CHF	1,454,401		39,771
08/19/2021	MSCI		USD	220,000		CLP	158,620,000		(574	)
08/17/2021	JPM		USD	375,919		CZK	7,945,895		6,115
06/30/2021	BCLY		USD	3,353,414		EUR	2,830,000		109,124
06/30/2021	DB		USD	5,961,439		EUR	5,049,000		216,073
07/13/2021	BOA		USD	1,467,230		GBP	1,060,000		38,784

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/13/2021	JPM		USD	2,135,371		GBP	1,530,000		38,404
07/13/2021	MSCI		USD	2,379,346		GBP	1,731,000		80,003
06/14/2021	CITI		USD	370,000		HUF	110,502,526		19,270
06/14/2021	DB		USD	250,000		HUF	71,152,975		652
08/11/2021	JPM		USD	925,324		IDR	13,543,039,000		18,106
07/16/2021	GS		USD	280,000		INR	20,645,520		2,777
07/16/2021	MSCI		USD	503,228		INR	38,255,384		20,748
06/09/2021	BCLY		USD	760,000		JPY	82,561,080		(5,914	)
06/09/2021	BOA		USD	950,000		JPY	103,658,804		(3,214	)
06/09/2021	JPM		USD	1,090,000		JPY	117,786,817		(14,173	)
06/09/2021	MSCI		USD	8,744,352		JPY	946,342,602		(100,766	)
08/13/2021	MSCI		USD	868,235		KRW	972,414,317		9,053
07/21/2021	MSCI		USD	1,243,477		MXN	24,896,155		(836	)
06/14/2021	BCLY		USD	830,000		NOK	6,999,266		11,725
06/14/2021	JPM		USD	1,160,000		NOK	9,887,870		29,106
06/14/2021	MSCI		USD	2,750,000		NOK	23,288,023		50,597
08/19/2021	JPM		USD	712,164		PEN	2,632,516		(22,638	)
07/21/2021	BCLY		USD	210,000		PHP	10,144,260		2,008
08/17/2021	MSCI		USD	45,412		PLN	170,286		1,081
08/12/2021	BCLY		USD	1,244,381		RUB	93,928,520		22,160
08/05/2021	JPM		USD	1,920,000		SEK	16,221,080		37,782
08/05/2021	MSCI		USD	8,803,753		SEK	74,313,363		165,401
07/15/2021	MSCI		USD	338,975		SGD	454,887		5,254
07/28/2021	JPM		USD	245,386		TWD	6,789,521		2,909
07/30/2021	CITI		USD	50,000		ZAR	720,331		1,998
07/30/2021	MSCI		USD	1,058,160		ZAR	15,342,789		49,373
								$	21,116

Futures Contracts

Number of Contracts +		Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
	Buys
	22	U.S. Long Bond (CBT)	September 2021			3,443,688			4,552
	54	U.S. Treasury Note 10 Yr. (CBT)	September 2021			7,124,625			8,683
	125	U.S. Treasury Note 2 Yr. (CBT)	September 2021			27,591,797			5,090
	217	U.S. Treasury Note 5 Yr. (CBT)	September 2021			26,875,789			25,343
	57	U.S. Treasury Ultra 10 Yr. (CBT)	September 2021			8,262,328			17,482
	75	U.S. Ultra Bond (CBT)	September 2021			13,893,750			62,044
					$	87,191,977		$	123,194
Sales
	8	U.S. Treasury Note 2 Yr. (CBT)	September 2021			1,765,875			(581	)
	13	U.S. Ultra Bond (CBT)	September 2021			2,408,250			(9,383	)
					$	4,174,125		$	(9,964	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (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) ($)
0.25%	3 Month AUD BBSW	AUD	17,500,000		06/16/2023	Quarterly		(11,449	)		(15,177	)		(3,728	)
3 Month AUD BBSW	0.20%	AUD	8,080,000		06/16/2023	Quarterly		—			411			411
0.16%	3 Month AUD BBSW	AUD	4,660,000		06/16/2023	Quarterly		—			2,419			2,419
GBP - SONIA - COMPOUND	0.12%	GBP	45,410,000		06/16/2023	Annually		(1,671	)		(41,680	)		(40,009	)
GBP - SONIA - COMPOUND	0.12%	GBP	13,630,000		06/16/2023	Annually		(1,822	)		(10,580	)		(8,758	)
GBP - SONIA - COMPOUND	0.14%	GBP	5,140,000		06/16/2023	Annually		213			(1,514	)		(1,727	)
GBP - SONIA - COMPOUND	0.15%	GBP	4,870,000		06/16/2023	Annually		—			359			359
0.65%	3 Month NZD Bank Bill Rate	NZD	36,130,000		06/16/2023	Quarterly		—			(17,932	)		(17,932	)
0.64%	3 Month NZD Bank Bill Rate	NZD	2,780,000		06/16/2023	Quarterly		(1,046	)		(879	)		167
3 Month NZD Bank Bill Rate	0.48%	NZD	10,050,000		06/16/2023	Quarterly		(617	)		(19,782	)		(19,165	)
0.50%	3 Month NZD Bank Bill Rate	NZD	7,980,000		06/16/2023	Quarterly		—			13,867			13,867
3 Month NZD Bank Bill Rate	0.55%	NZD	5,780,000		06/16/2023	Quarterly		—			(5,545	)		(5,545	)
0.02%	3 Month SEK STIBOR	SEK	52,300,000		06/16/2023	Quarterly		—			2,406			2,406
0.71%	3 Month CAD LIBOR	CAD	59,360,000		06/19/2023	Semi-Annually		(2,999	)		(18,634	)		(15,635	)
3 Month CAD LIBOR	0.68%	CAD	15,450,000		06/19/2023	Semi-Annually		624			(2,073	)		(2,697	)
3 Month CAD LIBOR	0.69%	CAD	5,050,000		06/19/2023	Semi-Annually		—			(343	)		(343	)
6 Month EURIBOR	(0.45)%	EUR	13,110,000		06/21/2023	Semi-Annually		4,230			4,658			428
(0.50)%	6 Month EURIBOR	EUR	6,700,000		06/21/2023	Semi-Annually		—			5,589			5,589
0.30%	3 Month USD LIBOR	USD	21,030,000		06/21/2023	Quarterly		(9,820	)		(29,313	)		(19,493	)
1.82%	6 Month AUD BBSW	AUD	1,760,000		06/16/2031	Semi-Annually		—			(13,624	)		(13,624	)
6 Month AUD BBSW	1.90%	AUD	8,180,000		06/16/2031	Semi-Annually		3,939			110,541			106,602
6 Month AUD BBSW	1.89%	AUD	3,790,000		06/16/2031	Semi-Annually		4,128			48,447			44,319
6 Month AUD BBSW	1.78%	AUD	8,250,000		06/16/2031	Semi-Annually		(9,868	)		39,751			49,619
6 Month AUD BBSW	1.70%	AUD	1,010,000		06/16/2031	Semi-Annually		—			(1,111	)		(1,111	)
3 Month CAD LIBOR	1.98%	CAD	33,800,000		06/16/2031	Semi-Annually		432			161,546			161,114
3 Month CAD LIBOR	1.97%	CAD	8,560,000		06/16/2031	Semi-Annually		2,657			34,280			31,623
3 Month CAD LIBOR	2.04%	CAD	15,820,000		06/16/2031	Semi-Annually		5			150,995			150,990
1.97%	3 Month CAD LIBOR	CAD	950,000		06/16/2031	Semi-Annually		—			(4,136	)		(4,136	)
2.00%	3 Month CAD LIBOR	CAD	940,000		06/16/2031	Semi-Annually		—			(6,168	)		(6,168	)
2.00%	3 Month CAD LIBOR	CAD	3,040,000		06/16/2031	Semi-Annually		—			(20,771	)		(20,771	)
1.95%	3 Month CAD LIBOR	CAD	2,890,000		06/16/2031	Semi-Annually		(445	)		(6,535	)		(6,090	)
6 Month CHF LIBOR	0.03%	CHF	4,650,000		06/16/2031	Semi-Annually		(5,129	)		(5,056	)		73
6 Month CHF LIBOR	0.04%	CHF	1,040,000		06/16/2031	Semi-Annually		—			(779	)		(779	)
6 Month CHF LIBOR	0.10%	CHF	1,150,000		06/16/2031	Semi-Annually		—			6,995			6,995
0.73%	GBP - SONIA - COMPOUND	GBP	14,450,000		06/16/2031	Annually		4,779			102,399			97,620
0.77%	GBP - SONIA - COMPOUND	GBP	13,430,000		06/16/2031	Annually		29,038			18,349			(10,689	)
0.80%	GBP - SONIA - COMPOUND	GBP	11,890,000		06/16/2031	Annually		(6,432	)		(32,803	)		(26,371	)
GBP - SONIA - COMPOUND	0.82%	GBP	1,980,000		06/16/2031	Annually		—			11,452			11,452
0.78%	GBP - SONIA - COMPOUND	GBP	1,020,000		06/16/2031	Annually		—			(710	)		(710	)
GBP - SONIA - COMPOUND	0.81%	GBP	940,000		06/16/2031	Annually		—			4,791			4,791
1.90%	3 Month NZD Bank Bill Rate	NZD	2,180,000		06/16/2031	Quarterly		(1,258	)		18,434			19,692
3 Month NZD Bank Bill Rate	2.12%	NZD	4,650,000		06/16/2031	Quarterly		—			29,657			29,657
3 Month NZD Bank Bill Rate	2.10%	NZD	3,740,000		06/16/2031	Quarterly		—			19,702			19,702
3 Month NZD Bank Bill Rate	2.05%	NZD	1,580,000		06/16/2031	Quarterly		9,800			2,796			(7,004	)
3 Month NZD Bank Bill Rate	2.00%	NZD	8,400,000		06/16/2031	Quarterly		5,212			(12,824	)		(18,036	)
3 Month NZD Bank Bill Rate	1.94%	NZD	1,100,000		06/16/2031	Quarterly		—			(6,711	)		(6,711	)
3 Month NZD Bank Bill Rate	1.89%	NZD	640,000		06/16/2031	Quarterly		—			(6,058	)		(6,058	)
1.93%	3 Month NZD Bank Bill Rate	NZD	1,260,000		06/16/2031	Quarterly		—			8,366			8,366
3 Month SEK STIBOR	0.80%	SEK	10,800,000		06/16/2031	Quarterly		—			(3,455	)		(3,455	)
6 Month EURIBOR	0.06%	EUR	2,040,000		06/18/2031	Semi-Annually		(3,094	)		(16,155	)		(13,061	)
0.03%	6 Month EURIBOR	EUR	7,290,000		06/18/2031	Semi-Annually		15,690			88,172			72,482
0.02%	6 Month EURIBOR	EUR	3,290,000		06/18/2031	Semi-Annually		14,789			43,354			28,565
0.05%	6 Month EURIBOR	EUR	12,380,000		06/18/2031	Semi-Annually		(17,333	)		114,887			132,220
0.05%	6 Month EURIBOR	EUR	1,930,000		06/18/2031	Semi-Annually		4,323			18,340			14,017
6 Month EURIBOR	0.15%	EUR	840,000		06/18/2031	Semi-Annually		—			2,910			2,910
6 Month EURIBOR	0.16%	EUR	840,000		06/18/2031	Semi-Annually		—			2,962			2,962
3 Month USD LIBOR	1.69%	USD	3,820,000		06/18/2031	Quarterly		1,621			47,415			45,794
1.65%	3 Month USD LIBOR	USD	29,980,000		06/18/2031	Quarterly		(97,782	)		(257,831	)		(160,049	)
1.58%	3 Month USD LIBOR	USD	330,000		06/18/2031	Quarterly		(476	)		(636	)		(160	)

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (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) ($)
1.62%	3 Month USD LIBOR	USD	200,000		06/18/2031	Quarterly		—			(1,139	)		(1,139	)
3 Month USD LIBOR	1.53%	USD	1,140,000		06/18/2031	Quarterly		214			(3,234	)		(3,448	)
3 Month USD LIBOR	1.59%	USD	1,160,000		06/18/2031	Quarterly		—			3,066			3,066
3 Month USD LIBOR	1.59%	USD	1,160,000		06/18/2031	Quarterly		—			2,789			2,789
							$	(69,547	)	$	558,917		$	628,464

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 iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.17%	GS	USD	21,912,516		06/02/2021	At Maturity		—		(93,732	)		(93,732	)
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.16%	GS	USD	24,706,354		06/18/2021	At Maturity		—		(549,249	)		(549,249	)
								$	—	$	(642,981	)	$	(642,981	)

As of May 31, 2021, 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 May 31, 2021.

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

(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.

The rates shown on variable rate notes are the current interest rates at May 31, 2021, 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

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.

SONIA - Sterling Overnight Interbank Average Rate

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

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)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 78.4%
		Asset-Backed Securities — 65.7%
		CMBS Collateralized Debt Obligations — 0.5%
	13,254	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42		13,254
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,935,823
	135,222	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 0.39%, 0.58%, due 01/20/37(a)		133,193
	1,195,576	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		1,087,974
		Total CMBS Collateralized Debt Obligations		5,170,244
		Collateralized Debt Obligations — 1.6%
	4,320,000	JFIN CLO Ltd., Series 12-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 2.54%, due 07/20/28		4,320,052
	11,149,005	OZLM VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.01%, 1.20%, due 07/17/29		11,152,796
		Total Collateralized Debt Obligations		15,472,848
		Collateralized Loan Obligations — 10.4%
	1,259,600	610 Funding CLO 3 Ltd., Series 18-3A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 1.84%, due 07/17/28		1,259,666
	5,718,682	Apex Credit CLO II Ltd., Series 15-2A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.20%, 3.39%, due 10/17/26		5,682,506
	1,905,000	Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.09%, due 10/17/26		1,891,299
	4,158,000	B&M CLO 2014-1 Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.78%, due 04/16/26		4,158,628
	1,058,603	Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.03%, due 01/27/28		1,058,636
	6,093,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.31%, due 01/20/30		6,083,391
	2,394,579	Flagship CLO VIII Ltd., Series 14-8A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.40%, 1.58%, due 01/16/26		2,391,938
	8,332,299	Gallatin CLO IX 2018-1 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.24%, due 01/21/28		8,333,024
	2,518,266	Halcyon Loan Advisors Funding Ltd., Series 14-3A, Class B1R, 144A, Variable Rate, 3 mo. LIBOR + 1.70%, 1.88%, due 10/22/25		2,518,520
	6,810,000	Hull Street CLO Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.70%, 2.89%, due 10/18/26		6,809,905

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	1,330,850	JFIN CLO Ltd., Series 15-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 2.65%, 2.83%, due 03/15/26		1,321,695
	1,465,400	Madison Park Funding XII Ltd., Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 2.54%, due 07/20/26		1,467,003
	4,161,000	Man GLG US CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 1.33%, due 04/22/30		4,159,573
	3,906,000	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 1.24%, due 04/22/31		3,872,631
	1,991,025	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 1.79%, due 06/22/30		1,991,280
	2,000,000	Telos CLO 2013-3 Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.79%, due 07/17/26		1,998,404
	7,737,500	Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.48%, 1.67%, due 04/17/28		7,722,659
	4,993,200	Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.29%, due 07/18/31		4,987,767
	3,914,794	Venture XXIII CLO Ltd., Series 16-23A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.07%, 1.26%, due 07/19/28		3,915,123
	1,527,999	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.08%, due 07/25/26		1,529,541
	4,919,467	Wellfleet CLO Ltd., Series 15-1A, Class AR3,144A, Variable Rate, 3 mo. LIBOR + 1.28%, 1.47%, due 07/20/29		4,919,738
	4,057,600	WhiteHorse VIII Ltd., Series 14-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.45%, 3.63%, due 05/01/26		4,056,768
	3,121,900	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 1.43%, due 10/15/31		3,114,982
	6,750,000	Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.68%, due 04/15/28		6,751,498
	6,915,642	Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.33%, due 04/15/28		6,918,014
	1,303,937	Zais CLO 2 Ltd., Series 14-2A, Class A2R, 144A, Variable Rate, 3 mo. LIBOR + 1.85%, 2.03%, due 07/25/26		1,304,249
	1,855,001	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.13%, due 04/15/29		1,841,794
		Total Collateralized Loan Obligations		102,060,232
		Commercial Mortgage-Backed Securities — 12.1%
	10,000,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32(b)		10,425,000

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38		7,359,772
	3,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		3,106,655
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.55%, due 03/11/44		8,191,362
	4,305,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		4,644,377
	5,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		5,219,352
	160,364	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 0.35%, due 04/15/37		160,225
	126,698	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		128,373
	6,372,761	CSAIL Commercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48		6,999,572
	6,749,037	CSAIL Commercial Mortgage Trust, Series 16-C5, Class A5, 3.76%, due 11/15/48		7,430,919
	356,453	LB Commercial Conduit Mortgage Trust, Series 98-C1, Class K, 144A, 6.30%, due 02/18/30		358,159
	1,261,810	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.31%, due 08/15/36		1,282,297
	2,231,850	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		2,268,449
	4,213,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 2.94%, due 02/12/40		4,026,992
	2,505,000	MKT Mortgage Trust, Series 20-525M, Class F, 144A, Variable Rate, 2.94%, due 02/12/40		2,270,396
	3,710,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 13-C10, Class A4, Variable Rate, 4.08%, due 07/15/46		3,910,315
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		5,949,333
	15,433,000	UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51		17,627,907
	7,630,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.49%, due 05/13/38		6,507,502
	2,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 1.84%, due 11/23/43		2,520,016
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 2.54%, due 03/23/45		8,297,404
	1,717,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.55%, due 04/16/35(b)		1,717,000
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.55%, due 04/16/35(b)		8,284,702
		Total Commercial Mortgage-Backed Securities		118,686,079

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — 6.8%
	860,642	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.37%, due 02/25/36		196,385
	18,310,183	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 0.45%, due 02/25/36		799,478
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		6,682,820
	4,806,700	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,558,628
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		2,011,149
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		777,413
	319,709	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.41%, due 02/25/37		294,000
	4,340,989	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		4,443,721
	2,673,742	Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29		2,654,778
	2,999,888	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,953,153
	5,122,462	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,050,246
	1,248,376	Corevest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53		1,251,947
	1,024,180	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.59%, due 10/25/34		977,874
	5,127,664	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		5,075,448
	4,399,172	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		476,225
	28,933,241	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 0.35%, due 06/25/36		1,082,899
	11,162,713	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36		6,515,593
	11,151,925	Home Loan Trust, Series 07-HI1, Class A4, Step Up, due 03/25/37		4,054,338
	3,899,326	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.41%, due 03/25/36		491,438
	360,930	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 02/26/34		312,161
	13,873,188	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 0.29%, due 03/25/36		718,467
	7,913,551	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 0.43%, due 03/25/36		411,830

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	21,098,397	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 0.49%, due 03/25/36		1,097,878
	402,412	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 0.99%, due 08/25/35		684,309
	1,579,801	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,620,914
	1,677,938	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		1,764,643
	4,324,939	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		3,480,438
	10,422,167	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		3,990,108
	1,066,201	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		832,626
	663,491	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		676,218
		Total Residential Mortgage-Backed Securities — Other		65,937,125
		Residential Mortgage-Backed Securities — Performing Loans — 0.5%
	4,648,576	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		4,626,791
		Residential Mortgage-Backed Securities — Prime — 4.9%
	9,041,763	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 0.30%, due 10/25/46		6,031,989
	809,906	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		825,368
	4,692,274	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		3,725,523
	1,932,341	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.00%, due 12/25/36		1,852,563
	1,303,877	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.04%, due 03/25/37		1,238,332
	9,826,832	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 0.53%, due 04/25/46		9,302,594
	1,806,735	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		1,292,983
	777,213	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.30%, due 09/25/35		756,025
	6,292,388	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 1.53%, due 05/25/35		5,318,349
	1,054,083	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.09%, due 09/25/35		1,085,672

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	1,329,947	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 1.63%, due 01/25/47		1,320,227
	2,958,185	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 0.54%, due 06/25/35		2,490,783
	12,761,486	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		13,078,962
		Total Residential Mortgage-Backed Securities — Prime		48,319,370
		Residential Mortgage-Backed Securities — Subprime — 2.2%
	1,788,863	Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.59%, due 06/25/35		1,866,662
	2,162,705	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.27%, due 05/26/37		2,092,897
	492,898	Bear Stearns Asset Backed Securities I Trust, Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.20%, due 04/25/31 (b)		3,825,677
	377,888	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M3, Variable Rate, 1 mo. LIBOR + 1.08%, 1.17%, due 08/25/35		377,818
	3,296,075	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 1.97%, due 08/25/35		3,315,580
	3,822,018	Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.49%, due 07/25/36		3,561,365
	971,679	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + 0.14%, 0.23%, due 12/25/36		938,780
	1,334,935	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 2.77%, due 11/20/34		1,377,074
	3,984,111	First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.20%, due 09/25/36		3,779,999
		Total Residential Mortgage-Backed Securities — Subprime		21,135,852
		Residential Mortgage-Backed Securities — Alt-A — 1.2%
	563,651	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		588,978
	1,887,370	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.79%, due 05/25/36		844,623
	1,865,267	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.79%, due 10/25/36		770,118
	2,612,896	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		2,633,312

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Alt-A — continued
	4,468,504	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 2.92%, due 07/25/36		3,048,162
	481,140	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		488,945
	3,092,884	RBSSP Resecuritization Trust, Series 09-6, Class 12A4, 144A, Variable Rate, 5.50%, due 05/26/35		3,092,065
		Total Residential Mortgage-Backed Securities — Alt-A		11,466,203
		Small Balance Commercial Mortgages — 7.9%
	2,521,778	Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 0.63%, due 04/25/36		2,389,127
	342,471	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 0.93%, due 04/25/34		342,186
	310,159	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.89%, due 04/25/34		310,042
	344,704	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 2.94%, due 04/25/34		344,678
	4,252,121	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 0.56%, due 08/25/35		4,075,212
	2,080,885	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 0.68%, due 01/25/36		2,006,759
	1,111,870	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 0.66%, due 04/25/36		1,028,293
	1,643,129	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.44%, due 07/25/36		1,576,777
	3,361,041	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 0.51%, due 07/25/36		3,235,025
	4,094,975	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 10/25/36		3,915,557
	11,971,604	Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.37%, due 01/25/37		11,571,115
	2,149,616	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.31%, due 03/25/37		2,071,603
	1,734,726	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 0.33%, due 07/25/37		1,666,278
	6,911,325	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.36%, due 07/25/37		6,580,928
	521,092	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 0.94%, due 12/25/37		520,753

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	4,459,556	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.34%, due 12/25/37		4,463,316
	39,762,036	FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.20%, due 05/25/30		2,865,630
	41,998,585	FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 1.09%, due 06/25/40		2,699,287
	2,467,604	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.09%, due 09/25/30		2,408,954
	2,975,122	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 0.62%, due 04/25/31		2,937,679
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.09%, due 04/25/31		1,925,611
	815,419	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.48%, due 09/25/36		802,675
	4,300,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.49%, due 06/25/37		4,199,207
	3,300,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 4.58%, due 10/25/37		3,383,799
	2,335,159	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 4.58%, due 10/25/37		2,352,777
	1,554,283	Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 08/25/37		1,503,452
	2,690,455	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 2.51%, due 12/27/49		2,709,685
	3,176,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 2.66%, due 12/27/49		3,166,728
		Total Small Balance Commercial Mortgages		77,053,133
		Student Loans — Federal Family Education Loan Program — 5.6%
	3,721,063	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 0.37%, due 10/25/24		3,695,537
	9,243,278	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 0.88%, due 01/25/43		8,169,842
	7,008,377	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 0.24%, due 01/25/23		6,933,419

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Federal Family Education Loan Program — continued
	3,809,575	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 0.51%, due 03/28/35 (a)		3,393,485
	7,094,241	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 1.08%, due 06/15/21		6,986,625
	11,020,601	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 1.83%, due 07/25/22		11,122,366
	8,137,178	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 1.88%, due 07/25/23		8,235,215
	5,797,986	SLM Student Loan Trust, Series 08-9, Class A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.68%, due 04/25/23		5,846,637
		Total Student Loans — Federal Family Education Loan Program		54,383,126
		Student Loans — Private — 12.0%
	2,970,956	Access Group Inc, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 0.98%, due 07/25/34		2,880,779
	9,762,831	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 0.67%, due 12/27/41		9,726,171
	1,769,334	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 0.98%, due 04/28/42		1,761,175
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 1.43%, due 07/28/42		5,244,638
	916,013	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 0.60%, due 10/15/28		904,055
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuc + 0.00%, due 03/31/38(b)		2,676,375
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38(b)		974,313
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38(b)		2,268,438
	7,109,593	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.40%, due 05/25/32		6,905,764
	4,774,403	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 0.38%, due 01/25/33		4,435,523
	12,137,058	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 0.44%, due 03/25/33		11,775,104
	7,450,693	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 0.46%, due 06/25/33		7,268,514

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	17,828,845	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.40%, due 10/25/33		16,564,873
	3,256,000	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 0.63%, due 12/26/33		3,156,384
	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
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38(a)		60,750
	5,000,000	Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62		5,008,321
	5,411,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32(b)		5,411,000
	2,750,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32(b)		2,750,000
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 1.78%, due 09/15/32		1,964,708
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 0.61%, due 09/15/33		8,781,594
	998,665	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 0.46%, due 12/15/38		997,128
	3,905,140	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 0.47%, due 06/15/39		3,795,083
	2,848,316	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 0.51%, due 06/15/39		2,775,097
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 0.57%, due 12/15/39		2,360,559
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 1.14%, due 01/25/46		6,870,974
		Total Student Loans — Private		117,337,320
		Total Asset-Backed Securities		641,648,323
		Corporate Debt — 0.9%
		Airlines — 0.9%
	2,817,500	American Airlines 2017-1 Class AA Pass Through Trust, 3.65%, due 02/15/29		2,883,303
	1,557,998	American Airlines 2017-2 Class AA Pass Through Trust, 3.35%, due 04/15/31		1,568,998
	3,770,452	Hawaiian Airlines 2020-1 Class A Pass Through Certificates, 144A, 7.38%, due 09/15/27		4,288,010
		Total Airlines		8,740,311
		Total Corporate Debt		8,740,311

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value† / Shares		Description	Value ($)
		U.S. Government — 9.2%
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.05%, due 04/30/23		30,002,358
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.07%, due 10/31/22		30,016,416
	30,000,000	U.S. Treasury Note, 0.13%, due 11/30/22		30,008,203
		Total U.S. Government		90,026,977
		U.S. Government Agency — 2.6%
	3,950,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - 0.02%, 0.16%, due 02/01/25 (b)		3,858,078
	4,125,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 0.33%, due 10/29/26 (b)		4,000,169
	1,762,500	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 0.18%, due 07/01/23 (b)		1,739,425
	15,360,000	Fannie Mae or Freddie Mac, TBA, 2.50%, due 06/14/51		15,901,503
		Total U.S. Government Agency		25,499,175
		TOTAL DEBT OBLIGATIONS (COST $794,355,803)		765,914,786
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers — 1.1%
	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 — 19.2%
			Money Market Funds — 1.1%
	10,767,311		State Street Institutional Treasury Money Market Fund – Premier Class, 0.01%(c)		10,767,311
			U.S. Government — 18.1%
	3,000,000		U.S. Treasury Bill, 0.02%, due 12/02/21 (d)(e)		2,999,617
	55,000,000		U.S. Treasury Bill, 0.03%, due 12/30/21 (d)(e)		54,991,093
	97,000,000		U.S. Treasury Bill, 0.02%, due 01/27/22 (e)		96,983,833
	15,000,000		U.S. Treasury Bill, 0.02%, due 02/24/22 (e)		14,997,348
	7,000,000		U.S. Treasury Bill, 0.03%, due 04/21/22 (e)		6,997,931
			Total U.S. Government		176,969,822
			TOTAL SHORT-TERM INVESTMENTS (COST $187,679,166)		187,737,133
			TOTAL INVESTMENTS — 98.7% (Cost $993,038,510)		964,655,460
			SECURITIES SOLD SHORT — (6.2)%
			DEBT OBLIGATIONS — (6.2)%
			U.S. Government Agency — (6.2)%
	(60,000,000	)	Fannie Mae or Freddie Mac, TBA, 2.00%, due 06/14/51		(60,605,872	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $60,533,056)		(60,605,872	)
			Other Assets and Liabilities (net) — 7.5%		73,734,317
			TOTAL NET ASSETS — 100.0%		$977,783,905

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/21/2021	BOA		EUR	22,211		USD	26,620		(550	)
06/21/2021	MSCI		EUR	2,641,070		USD	3,166,511		(64,301	)
06/21/2021	MSCI		USD	2,878,113		EUR	2,400,528		58,444
								$	(6,407	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
405	U.S. Treasury Note 5 Yr. (CBT)		September 2021		50,159,883		47,299
270	U.S. Treasury Note 10 Yr. (CBT)		September 2021		35,623,125		43,414
312	U.S. Treasury Ultra 10 Yr. (CBT)		September 2021		45,225,375		95,690
1	U.S. Ultra Bond (CBT)		September 2021		185,250		846
				$	131,193,633	$	187,249
Sales
40	U.S. Treasury Note 2 Yr. (CBT)		September 2021	$	8,829,375	$	(2,903	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Written Options

Description

Counterparty

Exercise Rate

Expiration Date

Principal/Notional Amount

Floating Rate Index

Pay/ Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps – Puts

CDX.NA.IGS.36.V1-5Y

BCLY

62.50

%

07/21/21

USD

(64,810,000

)

Fixed Spread

Pay

(43,763)

CDX.NA.HYS.36.V1-5Y

GS

106.00

%

07/21/21

USD

(15,902,400

)

Fixed Spread

Pay

(42,952)

CDX.NA.IGS.36.V1-5Y

GS

67.50

%

08/18/21

USD

(66,260,000

)

Fixed Spread

Pay

(60,724)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS – PUTS (Premiums $281,600)

$(147,439)

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%		1.49%		N/A		12/20/2023		Quarterly		(2,273,176	)		(2,357,312	)		(84,136	)
CDX.NA.IGS.33.V1-5Y	USD	49,070,000		1.00%		0.46%		N/A		12/20/2024		Quarterly		(417,804	)		(944,499	)		(526,695	)
ITRAXX.EUROPES.32.V1-5Y	EUR	29,470,000		1.00%		0.37%		N/A		12/20/2024		Quarterly		(859,948	)		(810,923	)		49,025
ITRAXX.EUROPES.34.V1-5Y	EUR	20,633,760		1.00%		0.42%		N/A		12/20/2025		Quarterly		(648,690	)		(668,323	)		(19,633	)
CDX.NA.HYS.36.V1-5Y	USD	15,902,400		5.00%		2.88%		N/A		06/20/2026		Quarterly		(1,439,962	)		(1,541,658	)		(101,696	)
CDX.NA.IGS.36.V1-5Y	USD	131,070,000		1.00%		0.51%		N/A		06/20/2026		Quarterly		(3,095,309	)		(3,203,351	)		(108,042	)
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.25%		17,200,000 USD		06/20/2022		Quarterly		300,982			139,097			(161,885	)
CDX.NA.HYS.33.V3-5Y	USD	2,300,650		5.00%		2.13%		2,300,650 USD		12/20/2024		Quarterly		78,900			224,640			145,740
													$	(8,355,007	)	$	(9,162,329	)	$	(807,322	)

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread(1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract(2)	Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.27.V2-5Y	JPM	USD	4,300,000		5.00%		0.25%	N/A		12/20/2021		Quarterly		(11,825	)		(116,747	)		(104,922	)
CDX.NA.HYS.27.V2-5Y	GS	USD	4,458,000		5.00%		0.25%	N/A		12/20/2021		Quarterly		11,145			(121,036	)		(132,181	)
D.R. Horton, Inc.	BCLY	USD	17,200,000		1.00%		0.11%	N/A		06/20/2022		Quarterly		(165,250	)		(163,768	)		1,482
CDX.NA.HYS.29.V1-5Y	JPM	USD	6,425,250		5.00%		1.79%	N/A		12/20/2022		Quarterly		(282,711	)		(324,396	)		(41,685	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	3,450,800		5.00%		1.79%	N/A		12/20/2022		Quarterly		(188,414	)		(174,223	)		14,191
CDX.NA.HYS.29.V1-5Y	JPM	USD	870,000		5.00%		1.79%	N/A		12/20/2022		Quarterly		(51,765	)		(43,924	)		7,841
Navient Corp.	GS	USD	2,700,000		5.00%		1.59%	N/A		12/20/2022		Quarterly		(277,471	)		(143,426	)		134,045
Navient Corp.	BCLY	USD	2,082,800		5.00%		1.59%	N/A		12/20/2022		Quarterly		(160,628	)		(110,641	)		49,987
Navient Corp.	BCLY	USD	3,435,200		5.00%		1.59%	N/A		12/20/2022		Quarterly		(264,646	)		(182,481	)		82,165
Navient Corp.	GS	USD	4,050,000		5.00%		1.59%	N/A		12/20/2022		Quarterly		(421,122	)		(215,140	)		205,982
CDX.NA.HYS.31.V14-5Y	CITI	USD	3,941,000		5.00%		3.70%	N/A		12/20/2023		Quarterly		(15,370	)		(129,507	)		(114,137	)
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	10,000,000		1.00%		1.29%	N/A		12/20/2024		Quarterly		748,704			125,211			(623,493	)
ITRAXX.EUROPES.32.V1-5Y	GS	EUR	2,000,000		1.00%		1.29%	N/A		12/20/2024		Quarterly		28,257			25,042			(3,215	)
CMBX.NA.A.7	CGMI	USD	1,420,000		2.00%		4.83%	N/A		01/17/2047		Monthly		89,177			90,725			1,548
CMBX.NA.AA.7	GS	USD	5,000,000		1.50%		2.13%	N/A		01/17/2047		Monthly		7,975			73,184			65,209
CMBX.NA.AS.7	DB	USD	7,608,000		1.00%		0.81%	N/A		01/17/2047		Monthly		(119,899	)		(33,927	)		85,972

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

OTC Credit Default Swaps — continued

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread(1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract(2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.AS.7	MORD	USD	13,270,000		1.00%		0.81%		N/A		01/17/2047		Monthly		205,782			(59,176	)		(264,958	)
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		0.81%		N/A		01/17/2047		Monthly		47,352			(20,089	)		(67,441	)
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		0.81%		N/A		01/17/2047		Monthly		197,704			(74,373	)		(272,077	)
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		0.81%		N/A		01/17/2047		Monthly		112,812			(19,621	)		(132,433	)
CMBX.NA.AA.11	CGMI	USD	4,626,000		1.50%		1.27%		N/A		11/18/2054		Monthly		(63,740	)		(64,777	)		(1,037	)
CMBX.NA.AA.11	MORD	USD	4,624,500		1.50%		1.27%		N/A		11/18/2054		Monthly		(61,371	)		(64,756	)		(3,385	)
CMBX.NA.AA.11	MORD	USD	4,624,500		1.50%		1.27%		N/A		11/18/2054		Monthly		(67,279	)		(64,756	)		2,523
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		1.36%		N/A		10/17/2057		Monthly		247,717			(40,214	)		(287,931	)
CMBX.NA.AS.8	MORD	USD	3,384,000		1.00%		0.79%		N/A		10/17/2057		Monthly		140,432			(23,646	)		(164,078	)
CMBX.NA.AS.8	CGMI	USD	8,892,000		1.00%		0.79%		N/A		10/17/2057		Monthly		73,095			(62,134	)		(135,229	)
CMBX.NA.BBB-.8	GS	USD	6,889,000		3.00%		8.20%		N/A		10/17/2057		Monthly		1,034,610			1,051,142			16,532
CMBX.NA.BBB-.8	GS	USD	4,224,000		3.00%		8.20%		N/A		10/17/2057		Monthly		400,908			644,509			243,601
CMBX.NA.AAA.9	GS	USD	10,000,000		0.50%		0.27%		N/A		09/17/2058		Quarterly		(102,116	)		(100,029	)		2,087
CMBX.NA.AAA.9	MORD	USD	630,300		0.50%		0.27%		N/A		09/17/2058		Monthly		(6,437	)		(6,305	)		132
CMBX.NA.BBB-.9	CGMI	USD	2,500,000		3.00%		5.56%		N/A		09/17/2058		Monthly		290,109			246,973			(43,136	)
CMBX.NA.BBB-.9	CGMI	USD	1,500,000		3.00%		5.56%		N/A		09/17/2058		Monthly		175,119			148,184			(26,935	)
CMBX.NA.BBB-.9	MORD	USD	2,585,000		3.00%		5.56%		N/A		09/17/2058		Monthly		63,490			255,371			191,881
CMBX.NA.BBB-.9	MORD	USD	5,116,800		3.00%		5.56%		N/A		09/17/2058		Monthly		584,727			505,485			(79,242	)
CMBX.NA.BBB-.9	DB	USD	4,263,000		3.00%		5.56%		N/A		09/17/2058		Monthly		517,160			421,139			(96,021	)
CMBX.NA.BBB-.9	CGMI	USD	3,425,200		3.00%		5.56%		N/A		09/17/2058		Monthly		955,105			338,373			(616,732	)
CMBX.NA.A.6	CGMI	USD	2,840,000		2.00%		9.51%		N/A		05/11/2063		Monthly		340,957			250,796			(90,161	)
CMBX.NA.AA.6	GS	USD	5,000,000		1.50%		2.36%		N/A		05/11/2063		Monthly		35,145			52,459			17,314
CMBX.NA.BBB-.6	CGMI	USD	4,274,000		3.00%		29.52%		N/A		05/11/2063		Monthly		1,357,351			1,202,440			(154,911	)
CMBX.NA.BB.13	GS	USD	4,960,000		5.00%		6.66%		N/A		12/16/2072		Monthly		489,036			512,758			23,722
CMBX.NA.BB.13	GS	USD	5,000,000		5.00%		6.66%		N/A		12/16/2072		Monthly		491,910			516,893			24,983
CMBX.NA.BB.13	GS	USD	3,000,000		5.00%		6.66%		N/A		12/16/2072		Monthly		295,146			310,136			14,990
Sell Protection^:
CDX.NA.HYS.27.V2-5Y	JPM	USD	8,600,000		5.00%		0.07%		8,600,000 USD		12/20/2021		Quarterly		1,143,800			242,221			(901,579	)
CDX.NA.HYS.27.V2-5Y	GS	USD	2,084,000		5.00%		0.07%		2,084,000 USD		12/20/2021		Quarterly		268,315			58,696			(209,619	)
CDX.NA.HYS.27.V3-5Y	BOA	USD	8,545,000		5.00%		0.07%		8,545,000 USD		12/20/2021		Quarterly		1,369,764			240,672			(1,129,092	)
CDX.NA.HYS.27.V3-5Y	JPM	USD	7,735,000		5.00%		0.07%		7,735,000 USD		12/20/2021		Quarterly		1,096,050			217,858			(878,192	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	4,264,000		5.00%		0.33%		4,264,000 USD		12/20/2022		Quarterly		644,716			315,028			(329,688	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600		5.00%		0.33%		5,115,600 USD		12/20/2022		Quarterly		742,274			377,946			(364,328	)
CDX.NA.HYS.29.V6-5Y	CITI	USD	5,994,100		5.00%		0.33%		5,994,100 USD		12/20/2022		Quarterly		229,274			442,850			213,576
CDX.NA.HYS.31.V1-5Y	JPM	USD	18,156,815		5.00%		0.14%		18,156,815 USD		12/20/2023		Quarterly		3,615,022			2,261,325			(1,353,697	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	2,866,000		5.00%		0.77%		2,866,000 USD		12/20/2023		Quarterly		293,765			312,275			18,510
CDX.NA.HYS.31.V14-5Y	CITI	USD	4,657,000		5.00%		0.77%		4,657,000 USD		12/20/2023		Quarterly		492,478			507,420			14,942
ITRAXX.XOVERS.30.V3-5Y	JPM	EUR	655,580		5.00%		28.82%		655,580 EUR		12/20/2023		Quarterly		(487,842	)		(360,900	)		126,942
ITRAXX.XOVERS.30.V4-5Y	JPM	EUR	158,684		5.00%		28.82%		158,684 EUR		12/20/2023		Quarterly		(110,801	)		(87,356	)		23,445
CDX.NA.HYS.33.V1-5Y	GS	USD	25,938,066		5.00%		0.29%		25,938,066 USD		12/20/2024		Quarterly		5,736,852			4,303,126			(1,433,726	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	10,746,000		5.00%		0.29%		10,746,000 USD		12/20/2024		Quarterly		1,826,954			1,782,762			(44,192	)
CDX.NA.HYS.33.V12-5Y	MORD	USD	2,840,000		5.00%		0.29%		2,840,000 USD		12/20/2024		Quarterly		481,871			471,156			(10,715	)
CDX.NA.HYS.33.V3-5Y	CITI	USD	4,185,325		5.00%		0.29%		4,185,325 USD		12/20/2024		Quarterly		442,877			694,346			251,469
CDX.NA.HYS.33.V3-5Y	GS	USD	9,506,516		5.00%		0.29%		9,506,516 USD		12/20/2024		Quarterly		1,343,307			1,577,132			233,825
CDX.NA.HYS.33.V8-5Y	GS	USD	6,508,491		5.00%		0.29%		6,508,491 USD		12/20/2024		Quarterly		1,066,328			1,079,758			13,430
CDX.NA.IGS.33.V1-5Y	CITI	USD	1,472,000		1.00%		9.99%		1,472,000 USD		12/20/2024		Quarterly		(820,052	)		(411,199	)		408,853
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	25,000,000		1.00%		0.59%		25,000,000 EUR		12/20/2024		Quarterly		114,434			456,658			342,224
ITRAXX.EUROPES.32.V1-5Y	GS	EUR	58,940,000		1.00%		0.13%		58,940,000 EUR		12/20/2024		Quarterly		2,667,690			2,281,622			(386,068	)
ITRAXX.EUROPES.34.V1-5Y	BOA	EUR	36,846,000		1.00%		0.17%		36,846,000 USD		12/20/2025		Quarterly		1,774,799			1,733,788			(41,011	)
CMBX.NA.A.9	CGMI	USD	2,500,000		2.00%		2.31%		2,500,000 USD		09/17/2058		Monthly		(74,373	)		(32,155	)		42,218
CMBX.NA.A.9	CGMI	USD	4,000,000		2.00%		2.31%		4,000,000 USD		09/17/2058		Monthly		(100,229	)		(51,448	)		48,781
CMBX.NA.A.9	GS	USD	6,822,400		2.00%		2.31%		6,822,400 USD		09/17/2058		Monthly		89,487			(87,751	)		(177,238	)
CMBX.NA.AAA.13	MORD	USD	7,399,200		0.50%		0.42%		7,399,200 USD		12/16/2072		Monthly		30,438			44,790			14,352
CMBX.NA.AAA.13	MORD	USD	7,399,200		0.50%		0.42%		7,399,200 USD		12/16/2072		Monthly		30,438			44,790			14,352
														$	30,588,517		$	22,827,138		$	(7,761,379	)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

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

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

⁽¹⁾  As of May 31, 2021, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.25%		3 Month USD LIBOR	USD	9,700,000		11/10/2022	Quarterly	$	(4,539	)	$	(11,734	)	$	(7,195	)
0.30%		3 Month USD LIBOR	USD	9,750,000		08/17/2024	Quarterly		—			54,291			54,291
0.33%		3 Month USD LIBOR	USD	6,880,000		10/20/2024	Quarterly		3,044			42,676			39,632
0.35%		3 Month USD LIBOR	USD	10,840,000		04/19/2025	Quarterly		10			116,847			116,837
0.40%		3 Month USD LIBOR	USD	26,300,000		10/08/2025	Quarterly		(3,685	)		377,314			380,999
0.82%		3 Month USD LIBOR	USD	5,480,000		01/12/2028	Quarterly		—			125,589			125,589
1.14%		3 Month USD LIBOR	USD	16,400,000		03/04/2028	Quarterly		29,413			54,454			25,041
0.88%		3 Month USD LIBOR	USD	8,345,000		03/06/2028	Quarterly		22,934			171,177			148,243
0.65%		3 Month USD LIBOR	USD	5,770,000		06/04/2028	Quarterly		(29,478	)		228,408			257,886
0.65%		3 Month USD LIBOR	USD	5,790,000		07/30/2028	Quarterly		(25,114	)		243,003			268,117
1.30%		3 Month USD LIBOR	USD	10,027,000		12/19/2029	Quarterly		—			94,098			94,098
0.75%		3 Month USD LIBOR	USD	5,100,000		02/11/2030	Quarterly		(22,015	)		290,998			313,013
0.95%		3 Month USD LIBOR	USD	2,560,000		12/11/2030	Quarterly		—			129,931			129,931
1.02%		3 Month USD LIBOR	USD	7,200,000		01/08/2031	Quarterly		24,435			326,496			302,061
								$	(4,995	)	$	2,243,548		$	2,248,543

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Total Return on Markit iBoxx USD Liquid Leveraged Loans Index

3 Month USD LIBOR

JPM

USD

11,999,999

06/20/2021

Quarterly

$

—

$

(20,309

)

$

(20,309

)

As of May 31, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

(a) Investment valued using significant unobservable inputs.

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

(c) The rate disclosed is the 7 day net yield as of May 31, 2021.

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

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

The rates shown on variable rate notes are the current interest rates at May 31, 2021, 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.

IO - Interest Only

LIBOR - London Interbank Offered Rate

MTA - Monthly Treasury Average Index

TBA - To Be Announced - Delayed Delivery Security

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

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

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value† /  Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 99.9%
		U.S. Government — 98.3%
	30,000,000	U.S. Treasury Bill, 0.03%, due 03/24/22(a)		29,993,217
	28,500,000	U.S. Treasury Bill, 0.03%, due 04/21/22(a)		28,491,578
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.17%, due 01/31/22		20,019,526
	40,000,000	U.S. Treasury Note, 1.75%, due 02/28/22		40,504,688
	24,000,000	U.S. Treasury Note, 0.13%, due 04/30/22		24,012,187
	29,000,000	U.S. Treasury Note, 1.75%, due 05/15/22		29,464,453
	69,500,000	U.S. Treasury Note, 0.13%, due 06/30/22		69,524,433
	45,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.07%, due 10/31/22		45,024,624
	35,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.06%, due 01/31/23		35,011,421
		Total U.S. Government		322,046,127
		U.S. Government Agency — 1.5%
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.09%, 0.10%, due 09/10/21		5,000,970
		Money Market Funds — 0.1%
	452,652	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 0.01%(b)		452,652
		TOTAL SHORT-TERM INVESTMENTS (COST $327,413,932)		327,499,749
		TOTAL INVESTMENTS — 99.9% (Cost $327,413,932)		327,499,749
		Other Assets and Liabilities (net) — 0.1%		163,931
		TOTAL NET ASSETS — 100.0%		$327,663,680

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of May 31, 2021.

The rates shown on variable rate notes are the current interest rates at May 31, 2021, 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, Opportunistic Income Fund and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

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

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

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

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

Basis of presentation

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

Portfolio valuation

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

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

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

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2021, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

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

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

The three levels are defined as follows:

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

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

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

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

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

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

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2021:

Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	74,540,062	$	—		$	—	$	74,540,062
TOTAL DEBT OBLIGATIONS		74,540,062		—			—		74,540,062
Mutual Funds		1,651,202		—			—		1,651,202
Short-Term Investments		401,706		—			—		401,706
Total Investments		76,592,970		—			—		76,592,970
Total	$	76,592,970	$	—		$	—	$	76,592,970
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	22,960,907		$	—	$	22,960,907
Corporate Debt		—		160,048,959			25,458,640		185,507,599
Foreign Government Agency		—		1,038,261,380			91,604,290		1,129,865,670
Foreign Government Obligations		—		2,327,355,727			142,996,168		2,470,351,895
U.S. Government		281,051,473		—			—		281,051,473
TOTAL DEBT OBLIGATIONS		281,051,473		3,548,626,973			260,059,098		4,089,737,544
Loan Assignments		—		—			23,792,724		23,792,724
Loan Participations		—		—			39,542,770		39,542,770
Mutual Funds		74,784,247		—			—		74,784,247
Rights/Warrants		—		19,248,082			33,187		19,281,269
Short-Term Investments		49,728,573		6,491,690			—		56,220,263
Total Investments		405,564,293		3,574,366,745			323,427,779		4,303,358,817
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		319,988			—		319,988
Options
Credit Risk		—		—			707,818		707,818
Swap Contracts
Credit Risk		—		15,517,217			—		15,517,217
Interest Rate Risk		—		3,257,867			—		3,257,867
Total	$	405,564,293	$	3,593,461,817		$	324,135,597	$	4,323,161,707
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(5,758,833	)	$	—	$	(5,758,833	)
Swap Contracts
Credit Risk		—		(4,034,670	)		—		(4,034,670	)
Interest Rate Risk		—		(171,359	)		—		(171,359	)
Total	$	—	$	(9,964,862	)	$	—	$	(9,964,862	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	33,679,881		$	—	$	33,679,881
U.S. Government		150,146		—			—		150,146
TOTAL DEBT OBLIGATIONS		150,146		33,679,881			—		33,830,027
Short-Term Investments		51,759,451		9,105,837			—		60,865,288
Total Investments		51,909,597		42,785,718			—		94,695,315

Description	Level 1			Level 2			Level 3		Total
High Yield Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Futures Contracts
Interest Rate Risk	$	16,891		$	—		$	—	$	16,891
Swap Contracts
Credit Risk		—			2,529,877			—		2,529,877
Equity Risk		—			38,832			—		38,832
Total	$	51,926,488		$	45,354,427		$	—	$	97,280,915
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(21,838	)	$	—	$	(21,838	)
Futures Contracts
Interest Rate Risk		(12,738	)		—			—		(12,738	)
Written Options
Credit Risk		—			(145,492	)		—		(145,492	)
Swap Contracts
Credit Risk		—			(1,147,441	)		—		(1,147,441	)
Equity Risk		—			(2,450	)		—		(2,450	)
Total	$	(12,738	)	$	(1,317,221	)	$	—	$	(1,329,959	)
Multi-Sector Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	56,509,990		$	—	$	56,509,990
U.S. Government Agency		—			26,311,096			—		26,311,096
TOTAL DEBT OBLIGATIONS		—			82,821,086			—		82,821,086
Investment Funds		47,266,965			—			—		47,266,965
Mutual Funds		47,825,447			—			—		47,825,447
Short-Term Investments		9,297,080			24,812,417			—		34,109,497
Total Investments		104,389,492			107,633,503			—		212,022,995
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,309,812			—		1,309,812
Futures Contracts
Interest Rate Risk		123,194			—			—		123,194
Swap Contracts
Interest Rate Risk		—			1,122,105			—		1,122,105
Total	$	104,512,686		$	110,065,420		$	—	$	214,578,106
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,288,696	)	$	—	$	(1,288,696	)
Futures Contracts
Interest Rate Risk		(9,964	)		—			—		(9,964	)
Swap Contracts
Equity Risk		—			(642,981	)		—		(642,981	)
Interest Rate Risk		—			(563,188	)		—		(563,188	)
Total	$	(9,964	)	$	(2,494,865	)	$	—	$	(2,504,829	)

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	599,708,390		$	41,939,933	$	641,648,323
Corporate Debt		—			8,740,311			—		8,740,311
U.S. Government		90,026,977			—			—		90,026,977
U.S. Government Agency		—			15,901,503			9,597,672		25,499,175
TOTAL DEBT OBLIGATIONS		90,026,977			624,350,204			51,537,605		765,914,786
Mutual Funds		11,003,541			—			—		11,003,541
Short-Term Investments		187,737,133			—			—		187,737,133
Total Investments		288,767,651			624,350,204			51,537,605		964,655,460
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			58,444			—		58,444
Futures Contracts
Interest Rate Risk		187,249			—			—		187,249
Swap Contracts
Credit Risk		—			26,580,776			—		26,580,776
Interest Rate Risk		—			2,255,282			—		2,255,282
Total	$	288,954,900		$	653,244,706		$	51,537,605	$	993,737,211
Liability Valuation Inputs
Debt Obligations
U.S. Government Agency	$	—		$	(60,605,872	)	$	—	$	(60,605,872	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(64,851	)		—		(64,851	)
Futures Contracts
Interest Rate Risk		(2,903	)		—			—		(2,903	)
Written Options
Credit Risk		—			(147,439	)		—		(147,439	)
Swap Contracts
Credit Risk		—			(12,915,967	)		—		(12,915,967	)
Interest Rate Risk		—			(32,043	)		—		(32,043	)
Total	$	(2,903	)	$	(73,766,172	)	$	—	$	(73,769,075	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	327,499,749		$	—		$	—	$	327,499,749
Total Investments		327,499,749			—			—		327,499,749
Total	$	327,499,749		$	—		$	—	$	327,499,749

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). Excludes purchased options, if any, which are included in investments.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to

the yield of the U.S. Treasury Strip Principal, due 8/15/25, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on the average of a selection of comparable bonds and applying a 200 basis point discount for liquidity considerations and a Republic of Kenya loan agreement, which is valued by applying 500 basis point yield spread to a comparable bond. Opportunistic Income Fund’s Level 3 holdings also consists of three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations and ten asset backed securities which were either adjusted for additional cashflow projections discounted for timing and likelihood of receipt or valued based on a comparable bond. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at May 31, 2021.

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 28, 2021		Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3		Balances as of May 31, 2021		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2021
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	27,230,315	$	—	$	—		$	(431	) $		—	$	(1,771,244	)	$	—	$	—	$	25,458,640	$	(1,771,244	)
Foreign Government Agency		91,338,775		—		—			4,444,226			—		(4,178,711	)		—		—		91,604,290		(4,178,711	)
Foreign Government Obligations		141,279,144		17,664		—			5,403,606			—		(3,704,246	)		—		—		142,996,168		(3,704,246	)
Loan Assignments		23,371,890		—		(1,035,659	)		321,364			—		1,135,129			—		—		23,792,724		1,135,129
Loan Participations		39,866,840		—		(7,182,521	)		698,796			—		6,159,655			—		—		39,542,770		6,159,655
Rights/Warrants		34,800		—		—			—			—		(1,613	)		—		—		33,187		(1,613	)
Total Investments		323,121,764		17,664		(8,218,180	)		10,867,561			—		(2,361,030	)		—		—		323,427,779		(2,361,030	)
Derivatives
Options		390,519		—		—			—			793,216		(475,917	)		—		—		707,818		(406,947	)
Total	$	323,512,283	$	17,664	$	8,218,180	#	$	10,867,561		$	793,216	$	(2,836,947	)	$	—	$	—	$	324,135,597	$	(2,767,977	)
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	42,612,548	$	—	$	(1,663,394	)	$	67,779		$	—	$	923,000		$	—	$	—	$	41,939,933	$	923,000
U.S. Government Agency		9,938,002		—		(375,000	)		—			878		33,792			—		—		9,597,672		33,792
Total	$	52,550,550	$	—	$	(2,038,394	)# #	$	67,779		$	878	$	956,792		$	—	$	—	$	51,537,605	$	956,792

# Includes $2,569,204 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $2,038,395 of proceeds received from partial calls and/or principal paydowns as applicable.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2021 for Funds with material Level 3 investments.

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		45,630,216	Fair Value	Discount for lack of liquidity/marketability	1.40% (N/A)
Corporate Debt		25,458,640	Fair Value	Discount for lack of liquidity/marketability	2.00% (N/A)
Loan Assignments and Participations		5,176,986	Fair Value	Discount for lack of liquidity/marketability	5.00%-6.00% (5.02%)
Options		707,818	Fair Value	Probability of CDS threshold event	<5% (N/A)
Opportunistic Income Fund
Asset-Backed Securities		3,825,677	Fair Value	Probability and timing of cash flow receipt	30-70% (N/A)
Asset-Backed Securities		34,506,828	Fair Value	Broker mark of comparable bond	N/A
Government Agency		9,597,672	Fair Value	Discount for lack of liquidity/marketability	1.25% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2021, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $247,161,937 and $3,607,428, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2021 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)		Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	5,000,835	$	367	$	3,350,000	$	353	$	—	$	—	$	1,651,202
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,784,247	$	—	$	—	$	11,875	$	—	$	—	$	74,784,247
Multi-Sector Fixed Income Fund
GMO Emerging Country Debt Fund, Class IV	$	8,584,702	$	2,000,000	$	—	$	—	$	—	$	299,324	$	10,884,026
GMO Opportunistic Income Fund, Class VI		27,641,535		4,100,000		—		—		—		124,433		31,865,968
GMO U.S. Treasury Fund		14,825,453		8,500,000		18,250,000		1,334		—		—		5,075,453
Totals	$	51,051,690	$	14,600,000	$	18,250,000	$	1,334	$	—	$	423,757	$	47,825,447
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	11,003,541	$	—	$	—	$	1,747	$	—	$	—	$	11,003,541

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through May 31, 2021. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2022.

* * *

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

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 74.2%
		Australia — 0.9%
	126	BHP Group Ltd		4,667
	31,452	BlueScope Steel Ltd		519,245
	4,141	Computershare Ltd (a)		51,740
	58,504	Dexus (REIT)		469,349
	16,093	Fortescue Metals Group Ltd		274,841
	149,669	GPT Group (The) (REIT)		536,789
	111,271	Mirvac Group (REIT)		241,626
	5,000	Rio Tinto Ltd		474,273
	149,278	Scentre Group (REIT)		316,095
	58,914	Stockland (REIT)		212,201
		Total Australia		3,100,826
		Belgium — 0.2%
	9,262	Ageas SA/NV (a)		599,198
	2,795	UCB SA		262,352
		Total Belgium		861,550
		Canada — 0.4%
	5,200	Canadian Apartment Properties (REIT)		237,950
	500	Canadian Tire Corp Ltd – Class A		85,576
	5,200	Imperial Oil Ltd		171,576
	1,800	Linamar Corp		117,844
	5,900	Magna International Inc		593,297
	11,600	Power Corp of Canada (a)		378,329
	700	RioCan Real Estate Investment Trust		12,307
		Total Canada		1,596,879
		China — 1.2%
	64,000	Agile Group Holdings Ltd		90,308
	587,000	Bank of Communications Co Ltd – Class H		396,408
	16,500	Beijing Enterprises Holdings Ltd		57,592
	194,000	China Communications Services Corp Ltd – Class H		81,491
	4,506,000	China Huarong Asset Management Co Ltd – Class H (b)		441,258
	22,000	China Overseas Land & Investment Ltd		53,330
	1,060,000	China Railway Group Ltd – Class H		559,552
	418,400	China Zhongwang Holdings Ltd *		105,552
	30,000	Chongqing Rural Commercial Bank Co Ltd – Class H		13,828
	488,000	Dongfeng Motor Group Co Ltd – Class H		463,732
	44,000	Fosun International Ltd		71,016
	234,800	Guangzhou R&F Properties Co Ltd – Class H		316,977
	23,000	Kingboard Holdings Ltd		127,127
	23,000	Momo Inc Sponsored ADR		322,690
	38,000	Seazen Group Ltd *		43,084
	50,300	Shanghai Pharmaceuticals Holding Co Ltd – Class H		109,956
	110,000	Shimao Group Holdings Ltd		315,598
	105,200	Sinopharm Group Co Ltd – Class H		350,890

Shares		Description	Value ($)
		China — continued
	358,000	Skyworth Group Ltd *		102,009
	464,000	Yuzhou Group Holdings Co Ltd		136,787
		Total China		4,159,185
		Denmark — 0.4%
	179	Carlsberg A/S – Class B		32,876
	29,011	Danske Bank A/S		546,435
	4,890	Pandora A/S		660,495
		Total Denmark		1,239,806
		Finland — 0.1%
	78,977	Nokia Oyj *		412,103
		France — 0.6%
	5,649	Atos SE (a)		377,776
	1,319	BNP Paribas SA		90,807
	2,998	Orange SA		38,258
	6,000	Publicis Groupe SA		405,577
	13,108	Renault SA *		543,938
	18,908	Societe Generale SA		605,416
		Total France		2,061,772
		Germany — 2.1%
	407	Aroundtown SA		3,433
	7,150	Bayer AG (Registered)		455,766
	2,978	Bayerische Motoren Werke AG		316,138
	6,605	Daimler AG (Registered)		616,231
	36,904	Dialog Semiconductor Plc * (a)		2,925,929
	8,475	Fresenius SE & Co KGaA		460,702
	2,941	SAP SE (a)		411,780
	14,429	Siltronic AG (a)		2,509,707
		Total Germany		7,699,686
		Hong Kong — 0.3%
	69,500	CK Hutchison Holdings Ltd		554,080
	218,000	First Pacific Co Ltd		76,055
	75,000	Kerry Properties Ltd		258,612
	579,000	PCCW Ltd		320,183
	500	Swire Pacific Ltd – Class A		3,892
		Total Hong Kong		1,212,822
		Israel — 0.2%
	1,300	Check Point Software Technologies Ltd *		152,074
	46,400	Teva Pharmaceutical Industries Ltd Sponsored ADR *		482,560
		Total Israel		634,634
		Italy — 0.4%
	6,532	EXOR NV (a)		562,371
	28,814	Leonardo SPA		251,640
	363,409	Telecom Italia SPA		194,568

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	833,317	Telecom Italia SPA – RSP		476,197
		Total Italy		1,484,776
		Japan — 2.5%
	49,500	Asahi Kasei Corp		555,813
	15,500	Astellas Pharma Inc		247,318
	3,500	Central Japan Railway Co		523,514
	7,400	Daiwa House Industry Co Ltd		215,428
	7,100	Electric Power Development Co Ltd		100,424
	18,200	Honda Motor Co Ltd		568,779
	78,800	Inpex Corp		538,013
	17,800	ITOCHU Corp		536,778
	8,200	Kansai Electric Power Co Inc (The)		77,468
	15,400	KDDI Corp		524,966
	100	MEIJI Holdings Co Ltd		6,215
	22,200	Nippon Telegraph & Telephone Corp		601,182
	55,700	Obayashi Corp		473,402
	34,400	ORIX Corp (a)		607,741
	26,200	Sekisui House Ltd		551,403
	39,500	Shimizu Corp		321,910
	41,300	Sumitomo Chemical Co Ltd		229,048
	32,000	Sumitomo Dainippon Pharma Co Ltd		614,054
	2,100	Suzuki Motor Corp		91,640
	9,300	Taisei Corp		328,488
	19,600	TIS Inc (a)		502,917
	155,800	Tokyo Electric Power Co Holdings Inc *		487,690
	13,000	Tosoh Corp		231,145
		Total Japan		8,935,336
		Netherlands — 0.6%
	682	Aegon NV (a)		3,233
	9,000	AerCap Holdings NV *		531,000
	46,267	ING Groep NV		647,419
	15,078	Koninklijke Ahold Delhaize NV		438,956
	6,990	NN Group NV (a)		355,777
	1,029	Randstad NV		80,130
	2,006	Wolters Kluwer NV		192,650
		Total Netherlands		2,249,165
		New Zealand — 0.1%
	94,623	Meridian Energy Ltd		352,626
		South Africa — 0.1%
	31,885	Bidvest Group Ltd (The)		449,934
	5,138	Old Mutual Ltd		5,330
		Total South Africa		455,264
		South Korea — 0.0%
	1,805	Yuhan Corp		103,414
		Spain — 0.4%
	84,348	Banco Bilbao Vizcaya Argentaria SA *		526,822

Shares		Description	Value ($)
		Spain — continued
	154,829	Banco Santander SA *		652,093
	1,678	Enagas SA		39,415
	3,462	Red Electrica Corp SA		69,318
		Total Spain		1,287,648
		Sweden — 0.1%
	28,473	Nordea Bank Abp		309,316
		Switzerland — 0.2%
	7,533	Adecco Group AG (Registered)		521,365
	11,823	Credit Suisse Group AG (Registered) (a)		129,186
	9	Swisscom AG (Registered)		5,084
		Total Switzerland		655,635
		Taiwan — 0.0%
	55,000	Ruentex Development Co Ltd		103,743
		United Kingdom — 2.9%
	25,334	Aviva Plc (a)		147,632
	7,807	Berkeley Group Holdings Plc (The)		517,426
	253,616	BT Group Plc *		627,777
	8,956	Coca-Cola HBC AG *		325,902
	75,892	Kingfisher Plc *		385,156
	163,073	M&G Plc (a)		563,936
	62,732	Micro Focus International Plc		461,638
	28	National Grid Plc		374
	180,013	Royal Dutch Shell Plc – Class B Sponsored ADR		6,538,072
	2,731	Smiths Group Plc		59,893
	99,809	Taylor Wimpey Plc		241,982
	31,238	WPP Plc		431,509
		Total United Kingdom		10,301,297
		United States — 60.5%
	205,815	Aerojet Rocketdyne Holdings, Inc.		9,971,737
	3,100	Aflac, Inc. (a)		175,708
	1,300	Akamai Technologies, Inc. * (a)		148,473
	38,179	Alexion Pharmaceuticals, Inc. *		6,740,502
	4,900	Alliance Data Systems Corp.		593,145
	8,100	Ally Financial, Inc.(a)		443,151
	1,100	Anthem, Inc.		438,042
	100	Archer-Daniels-Midland Co.		6,653
	5,000	Arrow Electronics, Inc. *		601,650
	15,200	AT&T, Inc.		447,336
	54,400	Athene Holding Ltd. – Class A * (a)		3,407,072
	100	Bank of New York Mellon Corp. (The) (a)		5,208
	5,100	Bed Bath & Beyond, Inc. *		142,749
	1,700	Best Buy Co., Inc.		197,608
	200	Bio-Rad Laboratories, Inc. – Class A *		120,474
	1,600	Biogen, Inc. *		427,968
	1,400	Booz Allen Hamilton Holding Corp.		118,902
	7,700	BorgWarner, Inc.		394,933

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	39,000	Bristol-Myers Squibb Co.		2,563,080
	3,900	Capital One Financial Corp. (a)		627,042
	800	Capri Holdings Ltd. *		45,368
	10,700	Carrier Global Corp.		491,451
	6,900	CBRE Group, Inc. – Class A *		605,682
	6,600	Centene Corp. *		485,760
	1,200	CenterPoint Energy, Inc.		30,360
	409,242	Change Healthcare, Inc. *		9,592,633
	2,300	Cigna Corp.		595,355
	2,100	Cisco Systems, Inc.		111,090
	8,200	Citigroup, Inc.		645,422
	8,400	Citizens Financial Group, Inc.		419,160
	5,600	Cognizant Technology Solutions Corp. – Class A (a)		400,736
	23,237	Coherent, Inc. *		6,102,269
	9,800	Comcast Corp. – Class A		561,932
	2,700	Consolidated Edison, Inc.		208,548
	11,900	Corteva, Inc.		541,450
	2,300	Coty Inc. – Class A *		20,493
	7,000	CVS Health Corp.		605,080
	1,700	Discover Financial Services (a)		199,342
	151,898	Discovery, Inc. – Class C *		4,564,535
	12,900	DISH Network Corp. – Class A *		561,408
	6,200	DR Horton, Inc.		590,798
	2,700	Dropbox, Inc. – Class A * (a)		73,845
	5,700	eBay, Inc.		347,016
	10,100	Exelon Corp.		455,712
	100	Exxon Mobil Corp.		5,837
	1,900	Facebook, Inc. – Class A *		624,587
	1,900	Fidelity National Financial, Inc. (a)		89,281
	1,600	FleetCor Technologies, Inc. * (a)		439,104
	46,800	Ford Motor Co. *		680,004
	600	Fortune Brands Home & Security, Inc.		61,896
	3,600	Fox Corp. – Class A		134,460
	14,600	Fox Corp. – Class B		529,688
	2,100	Franklin Resources, Inc. (a)		71,841
	9,700	General Motors Co. *		575,307
	100	General Mills, Inc.		6,286
	6,700	Gilead Sciences, Inc.		442,937
	1,700	Goldman Sachs Group, Inc. (The) (a)		632,434
	43,440	Grubhub, Inc. *		2,611,178
	100	Hartford Financial Services Group, Inc. (The) (a)		6,535
	16,200	HP, Inc.		473,526
	700	IAC/InterActiveCorp *		111,629
	111,916	IHS Markit Ltd.		11,785,874
	9,200	Intel Corp. (a)		525,504
	100	International Paper Co.		6,310
	4,200	International Business Machines Corp. (a)		603,708
	20,600	Invesco Ltd. (a)		587,718
	2,600	Jazz Pharmaceuticals Plc *		463,138
	45,285	Kansas City Southern		13,480,439
	33,400	Kinder Morgan, Inc.		612,556
	9,100	Kohl’s Corp.		504,959

Shares		Description	Value ($)
		United States — continued
	10,800	Kraft Heinz Co. (The)		470,772
	12,400	Kroger Co. (The)		458,552
	1,700	Laboratory Corp. of America Holdings *		466,616
	300	Lear Corp.		58,008
	3,500	Leidos Holdings, Inc.		359,625
	5,600	Lennar Corp. – Class A		554,456
	84,263	Liberty Broadband Corp. – Class C *		14,012,094
	8,600	Lincoln National Corp. (a)		600,194
	6,400	LKQ Corp. *		326,144
	41,700	Lumen Technologies, Inc.		577,128
	5,400	LyondellBasell Industries NV – Class A		608,148
	1,300	Masco Corp.		78,403
	71,226	Maxim Integrated Products, Inc. (a)		7,265,764
	5,700	Medical Properties Trust, Inc. (REIT)		120,669
	3,400	Merck & Co., Inc.		258,026
	9,100	MetLife, Inc. (a)		594,776
	6,200	Micron Technology, Inc. * (a)		521,668
	1,300	Mohawk Industries, Inc. *		273,884
	10,000	Molson Coors Brewing Co. – Class B *		583,200
	147,700	Nuance Communications, Inc. * (a)		7,813,330
	10	NVR, Inc. *		48,872
	700	Omnicom Group, Inc.		57,568
	7,100	Oracle Corp. (a)		559,054
	1,400	PACCAR, Inc.		128,184
	400	PG&E Corp. *		4,056
	173,584	PNM Resources, Inc.		8,526,446
	147,601	PPD, Inc. *		6,807,358
	14,000	PPL Corp.		407,540
	57,236	PRA Health Sciences, Inc. *		9,782,777
	1,700	Principal Financial Group, Inc. (a)		111,163
	800	Progressive Corp. (The) (a)		79,264
	5,700	Prudential Financial, Inc. (a)		609,729
	8,100	PulteGroup, Inc.		468,099
	2,900	Quest Diagnostics, Inc.		381,843
	32,700	Qurate Retail, Inc. – Series A		445,701
	100	Raytheon Technologies Corp.		8,871
	900	Regeneron Pharmaceuticals, Inc. *		452,187
	257,627	Slack Technologies, Inc. – Class A * (a)		11,345,893
	500	Snap-on, Inc.		127,310
	5,900	SS&C Technologies Holdings, Inc. (a)		435,833
	13,200	Synchrony Financial (a)		625,812
	300	Synopsys, Inc. * (a)		76,302
	21,075	Teladoc Health, Inc. *		3,173,474
	10,766	Teledyne Technologies, Inc. *		4,516,014
	5,800	Textron, Inc.		397,126
	6,000	Tyson Foods, Inc. – Class A		477,000
	1,100	United Rentals, Inc. *		367,356
	3,700	Universal Health Services, Inc. – Class B		590,631
	163,092	VEREIT, Inc. (REIT)		7,758,286
	7,600	Verizon Communications, Inc.		429,324
	10,600	ViacomCBS, Inc. – Class B		449,652
	28,700	Viatris, Inc.		437,388
	6,000	VICI Properties, Inc. (REIT)		186,780
	1,137	Vimeo, Inc. *		47,731

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares / Par Value†		Description	Value ($)
		United States — continued
	2,700	VMware, Inc. – Class A * (a)		426,303
	9,600	Walgreens Boots Alliance, Inc.		505,536
	21,290	Webster Financial Corp.		1,206,717
	100	Wells Fargo & Co.		4,672
	17,600	Western Union Co. (The) (a)		430,672
	7,600	Western Digital Corp. *		571,748
	1,600	Whirlpool Corp.		379,344
	58,408	Willis Towers Watson Plc (a)		15,265,515
	800	WP Carey, Inc. (REIT)		60,360
	79,517	Xilinx, Inc. (a)		10,098,659
		Total United States		217,165,221
		TOTAL COMMON STOCKS (COST $250,151,613)		266,382,704
		PREFERRED STOCKS (c) — 0.1%
		Germany — 0.1%
	3,435	Bayerische Motoren Werke AG		313,335
		TOTAL PREFERRED STOCKS (COST $262,962)		313,335
		RIGHTS/WARRANTS — 0.1%
		United States — 0.1%
	195,149	Bristol-Myers Squibb Co., Expires 03/31/21 * (d)		263,451
		TOTAL RIGHTS/WARRANTS (COST $284,429)		263,451
		INVESTMENT FUNDS — 4.0%
		United States — 4.0%
	981,406	Altaba, Inc. (d)		14,230,387
		TOTAL INVESTMENT FUNDS (COST $13,206,011)		14,230,387
		DEBT OBLIGATIONS — 16.5%
		United States — 15.8%
		Asset-Backed Securities — 9.0%
	5,810,701	Apidos CLO XXI, Series 15-21A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 1.12%, due 07/18/27		5,814,298
	558,384	Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.03%, due 01/27/28		558,401
	4,824,127	MP CLO VIII Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.91%, 1.09%, due 10/28/27		4,824,446
	2,518,327	Oaktree CLO Ltd., Series 15-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 1.06%, due 10/20/27		2,519,984

Par Value† / Shares		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,290,494	Palmer Square Loan Funding Ltd., Series 18-4A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 1.06%, due 11/15/26		1,290,979
	3,344,277	Palmer Square Loan Funding Ltd., Series 19-3A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.01%, due 08/20/27		3,344,819
	3,866,571	TICP CLO III-2 Ltd., Series 18-3R, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.84%, 1.03%, due 04/20/28		3,866,961
	5,301,348	Venture XX CLO Ltd., Series 15-20A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.82%, 1.00%, due 04/15/27		5,301,762
	4,835,266	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.13%, due 04/15/29		4,800,839
		Total Asset-Backed Securities		32,322,489
		U.S. Government — 6.8%
	1,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.07%, due 10/31/22 (a)		1,000,547
	4,500,000	U.S. Treasury Note, 0.13%, due 12/31/22 (a)		4,500,703
	19,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.06%, due 01/31/23 (a)		19,006,200
		Total U.S. Government		24,507,450
		Total United States		56,829,939
		United States Virgin Islands — 0.7%
		Asset-Backed Securities
	2,376,018	Denali Capital CLO X LLC, Series 13-1A, Class A1LR, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.23%, due 10/26/27		2,376,246
		TOTAL DEBT OBLIGATIONS (COST $59,097,102)		59,206,185
		MUTUAL FUNDS — 4.3%
		United States — 4.3%
		Affiliated Issuers — 4.3%
	405,256	GMO Emerging Markets Fund, Class VI		15,488,890
		TOTAL MUTUAL FUNDS (COST $13,197,925)		15,488,890
		SHORT-TERM INVESTMENTS — 2.0%
		Money Market Funds — 2.0%
	6,962,873	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)		6,962,873
	211,118	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (f)		211,118
		TOTAL SHORT-TERM INVESTMENTS (COST $7,173,991)		7,173,991

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

PURCHASED OPTIONS — 0.0%

Description	Exercise Price		Expiration Date	Number of Contracts		Notional Amount			Value ($)
Equity Options – Puts — 0.0%
Canadian National Railway Co (g)		105.00	07/16/21		216		USD	2,431,512	31,320
Canadian National Railway Co (g)		110.00	07/16/21		110		USD	1,238,270	31,900
Canadian Pacific Railway Ltd.		78.00	06/18/21		155		USD	1,259,530	11,625
Canadian Pacific Railway Ltd.		80.00	09/17/21		226		USD	1,836,476	85,880
Total Equity Options – Puts									160,725
		TOTAL PURCHASED OPTIONS (COST $217,969)							160,725
		TOTAL INVESTMENTS — 101.2% (Cost $343,592,002)							363,219,668

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (52.7)%
			Common Stocks — (52.6)%
			Australia — (0.6)%
	(5,336	)	Afterpay Ltd *		(385,372	)
	(73,765	)	APA Group		(524,364	)
	(3,426	)	ASX Ltd		(201,985	)
	(1,276	)	Cochlear Ltd		(221,679	)
	(761	)	Ramsay Health Care Ltd		(37,212	)
	(89,449	)	Sydney Airport *		(408,393	)
	(25,688	)	Transurban Group		(275,577	)
			Total Australia		(2,054,582	)
			Austria — (0.2)%
	(5,834	)	Verbund AG		(539,852	)
			Belgium — (0.0)%
	(1,094	)	Galapagos NV *		(83,494	)
			Canada — (0.6)%
	(18,526	)	Canadian National Railway Co (g)		(2,085,472	)
			Denmark — (0.1)%
	(5,671	)	Ambu A/S – Class B		(216,458	)
			France — (0.8)%
	(3,697	)	Accor SA *		(147,228	)
	(1,915	)	Aeroports de Paris *		(260,200	)
	(263	)	Eurazeo SE		(23,268	)
	(34,912	)	Getlink SE		(550,598	)
	(479	)	Hermes International		(667,363	)
	(525	)	Sartorius Stedim Biotech		(227,569	)
	(4,940	)	Ubisoft Entertainment SA *		(359,316	)
	(4,417	)	Vivendi SE		(160,865	)
	(2,080	)	Wendel SE		(290,910	)
	(665	)	Worldline SA *		(63,902	)
			Total France		(2,751,219	)

Shares			Description	Value ($)
			Germany — (1.0)%
	(3,588	)	Delivery Hero SE *		(485,403	)
	(275	)	Deutsche Boerse AG		(44,966	)
	(577	)	MTU Aero Engines AG		(149,893	)
	(5,377	)	Puma SE		(614,560	)
	(5,059	)	QIAGEN NV *		(250,833	)
	(8,829	)	RWE AG		(335,502	)
	(3,820	)	Scout24 AG		(310,848	)
	(624	)	TeamViewer AG *		(24,467	)
	(193,060	)	Telefonica Deutschland Holding AG		(531,299	)
	(12,071	)	Uniper SE		(443,286	)
	(5,110	)	Zalando SE *		(545,809	)
			Total Germany		(3,736,866	)
			Ireland — (1.5)%
	(23,631	)	ICON Plc *		(5,287,673	)
			Israel — (0.2)%
	(1,200	)	CyberArk Software Ltd *		(151,848	)
	(1,500	)	Wix.com Ltd *		(389,790	)
			Total Israel		(541,638	)
			Italy — (0.4)%
	(3,820	)	Amplifon SPA		(179,481	)
	(11,008	)	Atlantia SPA *		(209,866	)
	(2,646	)	Ferrari NV		(557,932	)
	(33,721	)	FinecoBank Banca Fineco SPA *		(561,505	)
	(8,629	)	Infrastrutture Wireless Italiane SPA		(96,639	)
			Total Italy		(1,605,423	)
			Japan — (2.4)%
	(23,800	)	Acom Co Ltd		(108,500	)
	(14,800	)	Asahi Intecc Co Ltd		(367,928	)
	(77,100	)	ENEOS Holdings Inc		(318,412	)
	(400	)	Fast Retailing Co Ltd		(325,228	)
	(4,000	)	GMO Payment Gateway Inc		(478,429	)
	(16,800	)	Hitachi Metals Ltd *		(323,525	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Japan — continued
	(800	)	Ibiden Co Ltd		(36,933	)
	(17,500	)	Idemitsu Kosan Co Ltd		(415,381	)
	(32,200	)	Isetan Mitsukoshi Holdings Ltd		(232,368	)
	(8,300	)	Japan Airport Terminal Co Ltd *		(378,680	)
	(8,400	)	Japan Exchange Group Inc		(195,812	)
	(89	)	Japan Real Estate Investment Corp		(539,539	)
	(24,100	)	JGC Holding Corp		(231,263	)
	(27,000	)	Keikyu Corp		(353,620	)
	(500	)	Keio Corp		(31,749	)
	(2,000	)	Kintetsu Group Holdings Co Ltd *		(70,842	)
	(18,400	)	Kyushu Electric Power Co Inc		(150,195	)
	(2,400	)	Lasertec Corp		(422,785	)
	(4,600	)	Lion Corp		(81,025	)
	(16,000	)	LIXIL Corp		(433,862	)
	(6,500	)	M3 Inc		(436,646	)
	(1,500	)	McDonald’s Holdings Co Japan Ltd		(67,254	)
	(5,200	)	Mercari Inc *		(246,521	)
	(1,900	)	Mitsubishi Materials Corp		(40,597	)
	(19,000	)	MonotaRO Co Ltd		(442,662	)
	(600	)	Nidec Corp		(68,801	)
	(15,500	)	Nihon M&A Center Inc		(377,123	)
	(23,100	)	Nippon Paint Holdings Co Ltd		(336,299	)
	(2,800	)	Nissin Foods Holdings Co Ltd		(203,023	)
	(10,800	)	Odakyu Electric Railway Co Ltd		(283,901	)
	(2,700	)	ORIENTAL LAND CO LTD		(399,698	)
	(1,600	)	Shiseido Co Ltd		(115,620	)
	(1,000	)	Unicharm Corp		(39,704	)
	(3,000	)	Yaskawa Electric Corp		(142,136	)
			Total Japan		(8,696,061	)
			Netherlands — (1.0)%
	(239	)	Adyen NV *		(553,156	)
	(1,052	)	Heineken Holding NV		(106,495	)
	(33,780	)	Just Eat Takeaway.com NV *		(3,052,539	)
			Total Netherlands		(3,712,190	)
			Norway — (0.0)%
	(1,231	)	Schibsted ASA – A Shares		(59,999	)
	(1,091	)	Schibsted ASA – B Shares		(45,149	)
			Total Norway		(105,148	)
			Singapore — (0.2)%
	(74,000	)	Singapore Exchange Ltd		(580,863	)
			Spain — (0.6)%
	(10,613	)	Cellnex Telecom SA		(643,845	)
	(20,116	)	Endesa SA		(579,970	)
	(19,872	)	Ferrovial SA		(580,552	)
	(13,584	)	Siemens Gamesa Renewable Energy SA		(448,974	)
			Total Spain		(2,253,341	)
			Sweden — (0.2)%
	(3,345	)	Evolution AB		(624,211	)

Shares			Description	Value ($)
			Switzerland — (0.3)%
	(7	)	Chocoladefabriken Lindt & Spruengli AG		(66,023	)
	(340	)	Partners Group Holding AG		(513,181	)
	(396	)	Straumann Holding AG (Registered)		(619,894	)
			Total Switzerland		(1,199,098	)
			United Kingdom — (4.5)%
	(8,002	)	Admiral Group Plc		(333,201	)
	(13,864	)	Antofagasta Plc		(303,526	)
	(74,010	)	AstraZeneca Plc Sponsored ADR		(4,201,548	)
	(72,126	)	Auto Trader Group Plc *		(573,938	)
	(115,993	)	ConvaTec Group Plc		(390,685	)
	(25,444	)	Entain Plc *		(594,923	)
	(117	)	Experian Plc		(4,483	)
	(5,743	)	Halma Plc		(211,982	)
	(25,195	)	Hargreaves Lansdown Plc		(590,398	)
	(72,952	)	Informa Plc *		(561,607	)
	(21,013	)	Land Securities Group Plc (REIT)		(209,165	)
	(4,444	)	London Stock Exchange Group Plc		(476,848	)
	(14,572	)	Melrose Industries Plc		(35,616	)
	(15,205	)	Ocado Group Plc *		(406,809	)
	(281,992	)	Rolls-Royce Holdings Plc *		(427,287	)
	(170,851	)	Royal Dutch Shell Plc – Class A Sponsored ADR		(6,596,557	)
	(961	)	Spirax-Sarco Engineering Plc		(172,736	)
			Total United Kingdom		(16,091,309	)
			United States — (38.0)%
	(137,042	)	Advanced Micro Devices, Inc. *		(10,974,323	)
	(16,200	)	AES Corp. (The)		(411,642	)
	(300	)	Agilent Technologies, Inc.		(41,439	)
	(1,200	)	Airbnb, Inc. – Class A *		(168,480	)
	(200	)	Align Technology, Inc. *		(118,030	)
	(2,400	)	American Tower Corp. (REIT)		(613,104	)
	(44,873	)	Analog Devices, Inc.		(7,386,096	)
	(63,143	)	Aon Plc – Class A		(15,998,542	)
	(52,206	)	Apollo Global Management, Inc.		(2,993,492	)
	(5,600	)	Aramark		(209,160	)
	(3,400	)	Arthur J Gallagher & Co.		(498,474	)
	(1,900	)	Autodesk, Inc. *		(543,134	)
	(3,300	)	Avalara, Inc. *		(436,161	)
	(1,000	)	Axalta Coating Systems Ltd. *		(32,440	)
	(1,200	)	Ball Corp.		(98,592	)
	(1,400	)	BioMarin Pharmaceutical, Inc. *		(108,220	)
	(100	)	Black Knight, Inc. *		(7,339	)
	(1,900	)	Boeing Co. (The) *		(469,338	)
	(39,001	)	Bristol-Myers Squibb Co.		(2,563,146	)
	(1,800	)	Burlington Stores, Inc. *		(582,066	)
	(300	)	Camden Property Trust (REIT)		(37,614	)
	(3,500	)	Carnival Corp *		(103,460	)
	(1,600	)	Carvana Co. *		(424,144	)
	(3,000	)	Catalent, Inc. *		(314,490	)
	(3,700	)	Ceridian HCM Holding, Inc. *		(331,002	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(7,306	)	Charter Communications, Inc. – Class A *		(5,074,236	)
	(5,000	)	Cheniere Energy, Inc. *		(424,500	)
	(400	)	Chipotle Mexican Grill, Inc. *		(548,792	)
	(4,000	)	Cloudflare, Inc. – Class A *		(328,240	)
	(1,900	)	CME Group, Inc.		(415,644	)
	(5,100	)	Cognex Corp.		(404,889	)
	(200	)	CoStar Group, Inc. *		(170,800	)
	(1,800	)	Coupa Software, Inc. *		(428,760	)
	(300	)	Crowdstrike Holdings, Inc. – Class A *		(66,645	)
	(2,700	)	Crown Castle International Corp. (REIT)		(511,650	)
	(9,000	)	Delta Air Lines, Inc. *		(429,120	)
	(500	)	DENTSPLY SIRONA, Inc.		(33,460	)
	(1,500	)	Dexcom, Inc. *		(554,085	)
	(151,898	)	Discovery, Inc. – Class A *		(4,877,445	)
	(2,600	)	DocuSign, Inc. *		(524,212	)
	(7,900	)	DraftKings Inc. – Class A *		(394,605	)
	(3,400	)	Dynatrace, Inc. *		(175,916	)
	(800	)	Ecolab, Inc.		(172,064	)
	(3,400	)	Enphase Energy, Inc. *		(486,370	)
	(2,100	)	Equifax, Inc.		(493,584	)
	(700	)	Equinix, Inc. (REIT)		(515,704	)
	(8,700	)	Equity LifeStyle Properties, Inc. (REIT)		(616,482	)
	(300	)	Erie Indemnity Co. – Class A		(60,339	)
	(100	)	Essential Utilities, Inc.		(4,780	)
	(4,400	)	Exact Sciences Corp. *		(486,332	)
	(2,500	)	Expedia Group, Inc. *		(442,375	)
	(1,100	)	Fastenal Co.		(58,344	)
	(200	)	Fidelity National Information Services, Inc.		(29,796	)
	(200	)	Fortinet, Inc. *		(43,708	)
	(700	)	Gartner, Inc. *		(162,288	)
	(4,600	)	Guidewire Software, Inc. *		(449,604	)
	(2,300	)	Halliburton Co.		(51,635	)
	(2,000	)	Hess Corp.		(167,640	)
	(23,900	)	Host Hotels & Resorts, Inc. (REIT) *		(410,363	)
	(1,100	)	HubSpot, Inc. *		(554,818	)
	(800	)	IDEXX Laboratories, Inc. *		(446,488	)
	(21,075	)	II-VI, Inc. *		(1,419,823	)
	(1,900	)	Ingersoll Rand, Inc. *		(94,316	)
	(2,000	)	Insulet Corp. *		(539,340	)
	(200	)	Intuitive Surgical, Inc. *		(168,436	)
	(1,900	)	Ionis Pharmaceuticals, Inc. *		(70,775	)
	(2,600	)	IQVIA Holdings, Inc. *		(624,416	)
	(5,100	)	Iron Mountain, Inc. (REIT)		(222,054	)
	(3,600	)	KKR & Co., Inc.		(200,484	)
	(7,100	)	Lamb Weston Holdings, Inc.		(585,679	)
	(1,400	)	Liberty Broadband Corp. – Class A *		(226,884	)
	(57,940	)	Liberty Broadband Corp. – Class C *		(9,634,842	)
	(12,500	)	Liberty Media Corp-Liberty Formula One – Class C *		(558,125	)
	(1,800	)	Liberty Media Corp-Liberty SiriusXM – Class A *		(78,588	)
	(2,100	)	Liberty Media Corp-Liberty SiriusXM – Class C *		(91,371	)

Shares			Description	Value ($)
			United States — continued
	(1,500	)	Linde Plc		(450,900	)
	(6,500	)	Live Nation Entertainment, Inc. *		(585,715	)
	(400	)	Lululemon Athletica, Inc. *		(129,252	)
	(1,000	)	MarketAxess Holdings, Inc.		(466,540	)
	(3,000	)	Marriott International, Inc. – Class A *		(430,740	)
	(3,100	)	MGM Resorts International		(132,897	)
	(900	)	Mid-America Apartment Communities, Inc. (REIT)		(144,630	)
	(1,600	)	MongoDB, Inc. *		(467,104	)
	(700	)	Monolithic Power Systems, Inc.		(240,184	)
	(1,200	)	MSCI, Inc.		(561,756	)
	(1,400	)	News Corp. – Class A		(37,786	)
	(3,300	)	NIKE Inc. – Class B		(450,318	)
	(6,300	)	NiSource, Inc.		(160,650	)
	(2,900	)	Novocure Ltd. *		(591,600	)
	(5,600	)	Occidental Petroleum Corp.		(145,376	)
	(2,200	)	Okta, Inc. *		(489,368	)
	(1,300	)	Paycom Software, Inc. *		(428,480	)
	(1,100	)	Peloton Interactive, Inc. – Class A *		(121,341	)
	(2,500	)	Pioneer Natural Resources Co.		(380,475	)
	(18,100	)	Plug Power, Inc. *		(555,670	)
	(1,700	)	Public Storage (REIT)		(480,216	)
	(114,715	)	Realty Income Corp. (REIT)		(7,846,506	)
	(1,600	)	RingCentral, Inc. – Class A *		(419,952	)
	(200	)	Rockwell Automation, Inc.		(52,744	)
	(1,400	)	Roku, Inc. *		(485,394	)
	(10,600	)	Rollins, Inc.		(361,354	)
	(5,100	)	Royal Caribbean Cruises Ltd. *		(475,677	)
	(32,491	)	S&P Global, Inc.		(12,329,360	)
	(19,997	)	salesforce.com, Inc. *		(4,761,286	)
	(5,400	)	Sarepta Therapeutics, Inc. *		(408,510	)
	(1,700	)	SBA Communications Corp. (REIT)		(506,804	)
	(1,100	)	ServiceNow, Inc. *		(521,268	)
	(3,600	)	Simon Property Group, Inc. (REIT)		(462,564	)
	(9,400	)	Snap, Inc. – Class A *		(583,928	)
	(1,700	)	Snowflake, Inc. – Class A *		(404,651	)
	(6,700	)	Southwest Airlines Co. *		(411,782	)
	(3,500	)	Splunk, Inc. *		(424,200	)
	(2,300	)	Square, Inc. – Class A *		(511,796	)
	(4,400	)	Starbucks Corp.		(501,072	)
	(45,777	)	Sterling Bancorp/DE		(1,219,499	)
	(8,700	)	Sunrun, Inc. *		(389,064	)
	(900	)	Sysco Corp.		(72,900	)
	(12,400	)	Targa Resources Corp.		(481,864	)
	(23,775	)	Teladoc Health, Inc. *		(3,580,039	)
	(10,740	)	Teledyne Technologies, Inc. *		(4,505,108	)
	(800	)	Tesla, Inc. *		(500,176	)
	(1,600	)	Twilio, Inc. – Class A *		(537,600	)
	(5,800	)	Twitter, Inc. *		(336,400	)
	(9,100	)	Uber Technologies, Inc. *		(462,553	)
	(12,700	)	UDR, Inc. (REIT)		(604,901	)
	(1,600	)	Vail Resorts, Inc. *		(523,008	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(2,300	)	Voya Financial, Inc.		(150,696	)
	(1,300	)	Wayfair, Inc. – Class A *		(398,502	)
	(200	)	West Pharmaceutical Services, Inc.		(69,502	)
	(20,000	)	Williams Cos, Inc. (The)		(526,800	)
	(500	)	Workday, Inc. – Class A *		(114,360	)
	(4,500	)	Wynn Resorts Ltd. *		(593,415	)
	(2,900	)	Zendesk, Inc. *		(396,314	)
	(1,900	)	Zillow Group, Inc. – Class A *		(224,751	)
	(3,388	)	Zillow Group, Inc. – Class C *		(397,480	)
	(2,900	)	Zscaler, Inc. *		(563,180	)
			Total United States		(136,562,732	)
			TOTAL COMMON STOCKS (PROCEEDS $178,633,976)		(188,727,630	)
			PREFERRED STOCKS (c) — (0.1)%
			Germany — (0.1)%
	(825	)	Sartorius AG		(409,479	)
			TOTAL PREFERRED STOCKS (PROCEEDS $385,156)		(409,479	)

Shares			Description	Value ($)
			RIGHTS/WARRANTS — (0.0)%
			Spain — (0.0)%
	(19,872	)	Ferrovial SA, Expires 06/01/21 *		(4,830	)
			TOTAL RIGHTS/WARRANTS (PROCEEDS $4,728)		(4,830	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $179,023,860)		(189,141,939	)
			Other Assets and Liabilities (net) — 51.5%		184,885,600
			TOTAL NET ASSETS — 100.0%		$358,963,329

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/16/2021	MSCI		AUD	605,660		USD	467,965		(788	)
06/16/2021	SSB		AUD	1,168,311		USD	904,887		668
06/16/2021	UBSA		AUD	21,079,367		USD	16,124,219		(190,244	)
08/10/2021	MSCI		AUD	46,569,000		USD	36,085,852		35,465
06/02/2021	MSCI		BRL	39,454,805		USD	7,197,410		(332,564	)
09/02/2021	CITI		BRL	1,328,683		USD	250,000		(1,252	)
07/12/2021	GS		CAD	202,304		USD	166,893		(707	)
07/12/2021	JPM		CAD	1,702,469		USD	1,408,711		(1,710	)
07/12/2021	MSCI		CAD	789,597		USD	652,044		(2,101	)
08/03/2021	BOA		CAD	3,378,582		USD	2,800,000		1,076
08/03/2021	GS		CAD	4,725,765		USD	3,900,000		(14,974	)
07/06/2021	SSB		CHF	3,207,313		USD	3,510,912		(60,463	)
07/13/2021	BOA		CHF	2,733,650		USD	3,000,000		(44,475	)
07/13/2021	MSCI		CHF	55,898,488		USD	60,410,879		(1,843,456	)
08/19/2021	MSCI		CLP	510,006,500		USD	712,160		6,646
07/28/2021	JPM		COP	2,446,600,000		USD	650,000		(7,751	)
07/28/2021	MSCI		COP	3,803,085,000		USD	990,000		(32,432	)
08/17/2021	CITI		CZK	16,935,496		USD	810,000		(4,249	)
06/16/2021	DB		EUR	2,500,549		USD	3,038,000		(20,615	)
06/21/2021	MSCI		EUR	6,669,236		USD	7,996,121		(162,334	)
06/21/2021	SSB		EUR	93,420		USD	111,997		(2,284	)
06/30/2021	BCLY		EUR	3,600,000		USD	4,332,794		(71,848	)
06/30/2021	BOA		EUR	4,070,000		USD	4,904,850		(74,843	)
06/30/2021	DB		EUR	2,660,000		USD	3,131,749		(122,792	)
06/30/2021	GS		EUR	2,200,000		USD	2,678,340		(13,385	)
06/30/2021	JPM		EUR	10,270,000		USD	12,374,210		(191,257	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/06/2021	GS		EUR	1,962,116		USD	2,394,069		(6,880	)
06/21/2021	SSB		GBP	828,726		USD	1,165,132		(12,265	)
07/13/2021	BOA		GBP	4,570,000		USD	6,342,417		(150,492	)
07/13/2021	GS		GBP	1,200,000		USD	1,691,693		(13,229	)
07/13/2021	MSCI		GBP	900,000		USD	1,278,357		(334	)
06/14/2021	CITI		HUF	1,281,210,928		USD	4,250,619		(262,730	)
08/11/2021	CITI		IDR	24,975,528,000		USD	1,720,000		(19,835	)
07/30/2021	BOA		ILS	2,927,913		USD	901,378		(515	)
07/16/2021	BCLY		INR	216,618,300		USD	2,850,000		(116,974	)
07/16/2021	MSCI		INR	76,908,000		USD	1,020,000		(33,392	)
06/09/2021	BOA		JPY	1,304,384,402		USD	11,930,000		16,176
06/09/2021	GS		JPY	510,966,955		USD	4,700,000		32,993
06/09/2021	MSCI		JPY	802,852,239		USD	7,340,000		7,008
06/09/2021	SSB		JPY	494,684,109		USD	4,480,000		(38,284	)
07/07/2021	GS		JPY	119,811,686		USD	1,096,200		1,632
07/07/2021	MSCI		JPY	319,114,358		USD	2,928,945		13,601
07/07/2021	SSB		JPY	116,808,910		USD	1,074,264		7,129
08/13/2021	CITI		KRW	1,058,562,200		USD	940,000		(15,008	)
08/13/2021	GS		KRW	122,890,263		USD	110,000		(869	)
08/13/2021	JPM		KRW	644,937,900		USD	570,000		(11,847	)
07/21/2021	BOA		MXN	18,879,834		USD	940,000		(2,349	)
07/21/2021	SSB		MXN	29,598,622		USD	1,480,000		2,644
06/14/2021	DB		NOK	15,618,766		USD	1,830,000		(48,299	)
06/14/2021	GS		NOK	8,233,316		USD	1,000,000		9,869
06/14/2021	JPM		NOK	60,634,810		USD	7,270,000		(21,888	)
06/14/2021	MSCI		NOK	10,852,899		USD	1,300,000		(5,160	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Forward Currency Contracts (continued)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/14/2021	SSB		NOK	5,839,564		USD	700,000		(2,261	)
06/16/2021	BCLY		NZD	502,999		USD	362,957		(3,138	)
06/16/2021	SSB		NZD	696,095		USD	498,852		(7,784	)
06/16/2021	UBSA		NZD	4,166,176		USD	2,947,228		(85,019	)
08/05/2021	JPM		NZD	13,460,000		USD	9,640,892		(154,239	)
08/05/2021	MSCI		NZD	39,730,000		USD	28,508,857		(403,519	)
08/19/2021	CITI		PEN	424,985		USD	110,000		(1,315	)
08/19/2021	JPM		PEN	3,622,080		USD	960,000		11,281
07/21/2021	MSCI		PHP	107,728,395		USD	2,208,454		(42,991	)
08/31/2021	JPM		RON	12,951,086		USD	3,206,111		(4,176	)
08/12/2021	GS		RUB	28,911,690		USD	390,000		152
08/05/2021	GS		SEK	48,150,303		USD	5,800,000		(11,438	)
07/15/2021	GS		SGD	1,744,830		USD	1,310,000		(10,374	)
07/16/2021	BCLY		THB	48,034,350		USD	1,530,000		(7,612	)
07/16/2021	BOA		THB	62,018,712		USD	1,964,389		(20,872	)
07/16/2021	DB		THB	17,622,472		USD	560,000		(4,107	)
06/16/2021	DB		USD	1,193,918		AUD	1,546,839		3,264
06/16/2021	GS		USD	1,686,938		AUD	2,174,455		(4,010	)
06/16/2021	JPM		USD	1,444,260		AUD	1,852,794		(10,283	)
08/10/2021	GS		USD	3,034,859		AUD	3,900,000		(15,758	)
08/10/2021	JPM		USD	3,895,706		AUD	5,020,000		(9,581	)
08/10/2021	SSB		USD	1,858,701		AUD	2,400,000		(793	)
06/02/2021	CITI		USD	640,000		BRL	3,523,520		32,466
06/02/2021	JPM		USD	2,270,000		BRL	12,427,460		101,788
06/02/2021	MSCI		USD	4,310,000		BRL	23,503,825		175,720
09/02/2021	MSCI		USD	3,937,194		BRL	21,052,569		43,815
07/12/2021	DB		USD	725,658		CAD	877,645		1,432
08/03/2021	GS		USD	4,301,884		CAD	5,293,566		83,474
08/03/2021	JPM		USD	42,648,473		CAD	52,351,000		720,760
07/06/2021	SSB		USD	798,476		CHF	719,569		2,772
07/13/2021	BOA		USD	8,770,000		CHF	7,983,637		121,403
07/13/2021	GS		USD	3,700,000		CHF	3,333,763		12,823
07/13/2021	JPM		USD	11,190,000		CHF	10,272,079		250,049
07/13/2021	MSCI		USD	2,600,000		CHF	2,329,126		(6,045	)
08/19/2021	MSCI		USD	840,000		CLP	605,640,000		(2,192	)
08/17/2021	JPM		USD	1,450,295		CZK	30,655,244		23,592
06/16/2021	DB		USD	1,175,359		EUR	975,831		18,255
06/16/2021	SSB		USD	2,392,678		EUR	1,997,112		50,144
06/16/2021	UBSA		USD	1,683,909		EUR	1,397,551		25,543
06/21/2021	BOA		USD	486,174		EUR	402,706		6,454
06/21/2021	GS		USD	88,662		EUR	73,710		1,507
06/21/2021	JPM		USD	284,556		EUR	236,640		4,925
06/21/2021	MSCI		USD	968,382		EUR	798,911		8,923

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/21/2021	SSB		USD	206,921		EUR	169,940		966
06/30/2021	BCLY		USD	14,491,963		EUR	12,230,000		471,587
06/30/2021	DB		USD	28,632,380		EUR	24,250,000		1,037,782
07/06/2021	SSB		USD	11,182,893		EUR	9,293,559		189,194
07/19/2021	JPM		USD	18,739,160		EUR	15,470,480		196,002
06/21/2021	MSCI		USD	460,552		GBP	333,095		12,687
06/21/2021	SSB		USD	825,880		GBP	598,899		24,995
07/13/2021	BOA		USD	5,384,457		GBP	3,890,000		142,330
07/13/2021	JPM		USD	10,090,672		GBP	7,230,000		181,479
07/13/2021	MSCI		USD	11,540,722		GBP	8,396,000		388,045
06/14/2021	CITI		USD	2,040,000		HUF	608,910,657		105,023
06/14/2021	DB		USD	1,010,000		HUF	287,458,019		2,634
08/11/2021	JPM		USD	4,086,164		IDR	59,805,090,000		79,954
07/16/2021	GS		USD	1,210,000		INR	89,218,140		12,002
07/16/2021	MSCI		USD	2,416,323		INR	183,688,893		99,624
06/09/2021	BCLY		USD	4,110,000		JPY	446,481,630		(31,982	)
06/09/2021	BOA		USD	3,600,000		JPY	392,812,308		(12,180	)
06/09/2021	JPM		USD	5,220,000		JPY	564,079,986		(67,876	)
06/09/2021	MSCI		USD	41,730,407		JPY	4,516,202,391		(480,880	)
07/07/2021	DB		USD	693,996		JPY	75,875,265		(819	)
07/07/2021	MSCI		USD	16,905,145		JPY	1,845,882,953		(41,650	)
08/13/2021	MSCI		USD	3,262,256		KRW	3,653,694,651		34,016
07/21/2021	MSCI		USD	5,521,193		MXN	110,542,020		(3,710	)
06/14/2021	BCLY		USD	4,000,000		NOK	33,731,400		56,508
06/14/2021	JPM		USD	4,930,000		NOK	42,023,448		123,702
06/14/2021	MSCI		USD	13,180,000		NOK	111,616,159		242,859
06/16/2021	MSCI		USD	663,969		NZD	910,937		(966	)
08/05/2021	GS		USD	5,159,775		NZD	7,100,000		7,048
08/19/2021	JPM		USD	2,726,065		PEN	10,076,900		(86,657	)
07/21/2021	BCLY		USD	1,350,000		PHP	65,213,100		12,907
08/17/2021	MSCI		USD	169,765		PLN	636,588		4,043
08/31/2021	BOA		USD	210,000		RON	848,808		401
08/12/2021	BCLY		USD	5,926,785		RUB	447,366,140		105,543
08/05/2021	JPM		USD	7,340,000		SEK	62,011,836		144,437
08/05/2021	MSCI		USD	33,286,333		SEK	280,973,263		625,368
07/15/2021	MSCI		USD	1,626,918		SGD	2,183,242		25,219
07/16/2021	CITI		USD	260,000		THB	8,141,926		629
07/28/2021	JPM		USD	936,543		TWD	25,899,102		10,592
07/30/2021	MSCI		USD	6,102,463		ZAR	88,482,659		284,738
07/30/2021	CITI		ZAR	27,660,699		USD	1,920,000		(76,713	)
07/30/2021	MSCI		ZAR	3,885,411		USD	280,000		(472	)
								$	889,477

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
111	Australian Government Bond 10 Yr.	June 2021		11,975,455		105,013
178	CAC40 10 Euro	June 2021		14,040,753		370,304
42	Canadian Government Bond 10 Yr.	September 2021		5,011,978		(3,158	)
23	DAX Index	June 2021		10,864,810		139,203
118	FTSE 100 Index	June 2021		11,747,483		480,969
48	Hang Seng Index	June 2021		8,972,543		85,715
416	Mini MSCI Emerging Markets	June 2021		28,306,720		572,557
73	MSCI Singapore	June 2021		1,993,765		22,551
48	S&P 500 E-Mini	June 2021		10,085,760		72,317
47	S&P/TSX 60	June 2021		9,170,846		332,771
17	TOPIX Index	June 2021		3,003,093		43,262
102	U.S. Treasury Note 10 Yr. (CBT)	September 2021		13,457,625		2,871
			$	128,630,831	$	2,224,375

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
244	E-mini Russell 2000 Index	June 2021		27,676,920		(202,718	)
72	Euro Bund	June 2021		14,920,797		95,405
137	FTSE Taiwan Index	June 2021		8,127,191		(96,446	)
52	FTSE/JSE TOP 40	June 2021		2,320,994		17,719
5	Japanese Government Bond 10 Yr. (OSE)	June 2021		6,894,888		(2,291	)
36	NASDAQ 100 E-Mini	June 2021		9,854,280		(256,110	)
45	SPI 200 Futures	June 2021		6,229,952		(286,312	)
9	UK Gilt Long Bond	September 2021		1,625,282		(2,179	)
			$	77,650,304	$	(732,932	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Equity Options

Description	Exercise Price		Expiration Date	Number of Contracts			Notional Amount				Value ($)
Index Options – Puts
FTSE 100 Index		7,000.00	06/18/21		(9	)		GBP	(632,035	)		(10,490	)
S&P 500 Index		4,175.00	06/04/21		(15	)		USD	(6,306,165	)		(16,275	)
S&P 500 Index		4,155.00	06/11/21		(12	)		USD	(5,044,932	)		(23,640	)
S&P 500 Index		4,205.00	06/18/21		(14	)		USD	(5,885,754	)		(68,166	)
		Total Index Options – Puts										(118,571	)

Description

Counterparty

Exercise Rate

Expiration Date

Principal / Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps – Puts

CDX.NA.HYS.36.V1-5Y

BOA

108.00%

07/21/21

USD

10,000,000

Fixed Spread

Pay

(50,291

)

CDX.NA.HYS.36.V1-5Y

GS

106.00%

07/21/21

USD

7,115,000

Fixed Spread

Pay

(19,218

)

CDX.NA.IGS.36.V1-5Y

BCLY

62.50%

07/21/21

USD

22,250,000

Fixed Spread

Pay

(15,024

)

Total Written Options on Credit Default Swaps – Puts

(84,533

)

TOTAL WRITTEN OPTIONS (Premiums $396,641)

$

(203,104

)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
ITRAXX.EUROPES.34.V1-5Y	EUR	9,968,000		1.00%		0.42%		N/A		12/20/2025		Quarterly		(313,377	)		(322,862	)		(9,485	)
CDX.NA.HYS.36.V1-5Y	USD	4,091,000		5.00%		2.88%		N/A		06/20/2026		Quarterly		(393,594	)		(396,602	)		(3,008	)
CDX.NA.HYS.36.V1-5Y	USD	7,115,000		5.00%		2.88%		N/A		06/20/2026		Quarterly		(644,263	)		(689,763	)		(45,500	)
CDX.NA.IGS.36.V1-5Y	USD	22,250,000		1.00%		0.51%		N/A		06/20/2026		Quarterly		(519,823	)		(543,790	)		(23,967	)
													$	(1,871,057	)	$	(1,953,017	)	$	(81,960	)

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,631,000		5.00%		3.70%		N/A		12/20/2023		Quarterly		(6,361	)		(53,597	)		(47,236	)
ITRAXX.EUROPES.32.V1-5Y	JPM	EUR	9,600,000		1.00%		1.29%		N/A		12/20/2024		Quarterly		572,808			120,203			(452,605	)
CMBX.NA.BBB-.9	CGMI	USD	1,110,000		3.00%		5.56%		N/A		09/17/2058		Monthly		128,809			109,656			(19,153	)
CMBX.NA.BBB-.9	CGMI	USD	666,000		3.00%		5.56%		N/A		09/17/2058		Monthly		77,753			65,794			(11,959	)
Sell Protection^:
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,928,000		5.00%		0.77%		1,928,000 USD		12/20/2023		Quarterly		203,886			210,072			6,186
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,187,000		5.00%		0.77%		1,187,000 USD		12/20/2023		Quarterly		121,668			129,334			7,666
CDX.NA.HYS.33.V12-5Y	CITI	USD	4,450,000		5.00%		0.29%		4,450,000 USD		12/20/2024		Quarterly		756,555			738,255			(18,300	)
ITRAXX.EUROPES.32.V1-5Y	JPM	EUR	20,000,000		1.00%		0.59%		20,000,000 EUR		12/20/2024		Quarterly		116,938			365,327			248,389
ITRAXX.EUROPES.34.V1-5Y	BOA	EUR	17,800,000		1.00%		0.17%		17,800,000 EUR		12/20/2025		Quarterly		857,391			837,579			(19,812	)
CMBX.NA.A.9	CGMI	USD	1,780,000		2.00%		2.31%		1,780,000 USD		09/17/2058		Monthly		(44,602	)		(22,895	)		21,707
CMBX.NA.A.9	CGMI	USD	1,112,500		2.00%		2.31%		1,112,500 USD		09/17/2058		Monthly		(33,096	)		(14,309	)		18,787
														$	2,751,749		$	2,485,419		$	(266,330	)

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

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

(1) As of May 31, 2021, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.25%	3 Month AUD BBSW	AUD	78,150,000		06/16/2023	Quarterly		(51,130	)		(67,778	)		(16,648	)
0.16%	3 Month AUD BBSW	AUD	5,160,000		06/16/2023	Quarterly		—			2,678			2,678
3 Month AUD BBSW	0.20%	AUD	36,660,000		06/16/2023	Quarterly		—			1,866			1,866
GBP - SONIA - COMPOUND	0.12%	GBP	184,790,000		06/16/2023	Annually		(8,071	)		(169,608	)		(161,537	)
GBP - SONIA - COMPOUND	0.12%	GBP	12,880,000		06/16/2023	Annually		(4,220	)		(9,997	)		(5,777	)
GBP - SONIA - COMPOUND	0.14%	GBP	9,460,000		06/16/2023	Annually		882			(2,786	)		(3,668	)
GBP - SONIA - COMPOUND	0.15%	GBP	18,570,000		06/16/2023	Annually		—			1,369			1,369
0.65%	3 Month NZD Bank Bill Rate	NZD	145,530,000		06/16/2023	Quarterly		—			(72,229	)		(72,229	)
3 Month NZD Bank Bill Rate	0.48%	NZD	54,800,000		06/16/2023	Quarterly		(4,290	)		(107,865	)		(103,575	)
0.50%	3 Month NZD Bank Bill Rate	NZD	27,050,000		06/16/2023	Quarterly		—			47,006			47,006
0.64%	3 Month NZD Bank Bill Rate	NZD	3,560,000		06/16/2023	Quarterly		(1,782	)		(1,126	)		656
3 Month NZD Bank Bill Rate	0.55%	NZD	17,710,000		06/16/2023	Quarterly		—			(16,991	)		(16,991	)
0.02%	3 Month SEK STIBOR	SEK	198,100,000		06/16/2023	Quarterly		—			9,112			9,112
0.71%	3 Month CAD LIBOR	CAD	199,840,000		06/19/2023	Semi-Annually		(16,752	)		(62,732	)		(45,980	)
3 Month CAD LIBOR	0.68%	CAD	52,680,000		06/19/2023	Semi-Annually		1,933			(7,070	)		(9,003	)
3 Month CAD LIBOR	0.69%	CAD	20,640,000		06/19/2023	Semi-Annually		—			(1,400	)		(1,400	)
6 Month EURIBOR	(0.45)%	EUR	62,660,000		06/21/2023	Semi-Annually		20,215			22,259			2,044
(0.50)%	6 Month EURIBOR	EUR	35,410,000		06/21/2023	Semi-Annually		—			29,536			29,536
0.30%	3 Month USD LIBOR	USD	70,030,000		06/21/2023	Quarterly		(37,214	)		(97,614	)		(60,400	)
1.82%	6 Month AUD BBSW	AUD	7,990,000		06/16/2031	Semi-Annually		—			(61,851	)		(61,851	)
6 Month AUD BBSW	1.78%	AUD	6,830,000		06/16/2031	Semi-Annually		(8,868	)		32,909			41,777
6 Month AUD BBSW	1.90%	AUD	46,430,000		06/16/2031	Semi-Annually		18,989			627,436			608,447
6 Month AUD BBSW	1.89%	AUD	16,930,000		06/16/2031	Semi-Annually		18,440			216,414			197,974
6 Month AUD BBSW	1.70%	AUD	1,090,000		06/16/2031	Semi-Annually		—			(1,199	)		(1,199	)
3 Month CAD LIBOR	1.98%	CAD	136,750,000		06/16/2031	Semi-Annually		2,062			653,595			651,533
3 Month CAD LIBOR	1.97%	CAD	27,840,000		06/16/2031	Semi-Annually		11,350			111,490			100,140
3 Month CAD LIBOR	2.04%	CAD	25,900,000		06/16/2031	Semi-Annually		381			247,204			246,823
1.97%	3 Month CAD LIBOR	CAD	3,780,000		06/16/2031	Semi-Annually		—			(16,456	)		(16,456	)
2.00%	3 Month CAD LIBOR	CAD	3,780,000		06/16/2031	Semi-Annually		—			(24,803	)		(24,803	)
2.01%	3 Month CAD LIBOR	CAD	7,540,000		06/16/2031	Semi-Annually		—			(51,519	)		(51,519	)
1.95%	3 Month CAD LIBOR	CAD	9,730,000		06/16/2031	Semi-Annually		(1,504	)		(22,003	)		(20,499	)
6 Month CHF LIBOR	0.03%	CHF	17,290,000		06/16/2031	Semi-Annually		(17,019	)		(18,799	)		(1,780	)
6 Month CHF LIBOR	0.04%	CHF	1,010,000		06/16/2031	Semi-Annually		—			(756	)		(756	)
6 Month CHF LIBOR	0.10%	CHF	4,350,000		06/16/2031	Semi-Annually		—			26,459			26,459
GBP - SONIA - COMPOUND	0.82%	GBP	26,070,000		06/16/2031	Annually		(21,077	)		150,788			171,865
GBP - SONIA - COMPOUND	0.81%	GBP	4,220,000		06/16/2031	Annually		—			21,507			21,507
0.73%	6 Month GBP LIBOR	GBP	54,490,000		06/16/2031	Annually		24,228			386,140			361,912
0.77%	6 Month GBP LIBOR	GBP	43,270,000		06/16/2031	Annually		123,745			59,118			(64,627	)
0.80%	6 Month GBP LIBOR	GBP	53,460,000		06/16/2031	Annually		(43,305	)		(147,491	)		(104,186	)
0.78%	6 Month GBP LIBOR	GBP	3,890,000		06/16/2031	Annually		—			(2,709	)		(2,709	)
1.90%	3 Month NZD Bank Bill Rate	NZD	11,880,000		06/16/2031	Quarterly		(8,754	)		100,455			109,209
1.93%	3 Month NZD Bank Bill Rate	NZD	3,860,000		06/16/2031	Quarterly		—			25,628			25,628
3 Month NZD Bank Bill Rate	2.12%	NZD	26,320,000		06/16/2031	Quarterly		—			167,866			167,866
3 Month NZD Bank Bill Rate	2.10%	NZD	4,020,000		06/16/2031	Quarterly		—			21,177			21,177
3 Month NZD Bank Bill Rate	2.00%	NZD	32,070,000		06/16/2031	Quarterly		24,989			(48,960	)		(73,949	)
3 Month NZD Bank Bill Rate	1.94%	NZD	5,810,000		06/16/2031	Quarterly		—			(35,448	)		(35,448	)
3 Month NZD Bank Bill Rate	1.89%	NZD	90,000		06/16/2031	Quarterly		—			(852	)		(852	)
3 Month NZD Bank Bill Rate	2.05%	NZD	1,780,000		06/16/2031	Quarterly		11,040			3,150			(7,890	)
3 Month SEK STIBOR	0.80%	SEK	40,900,000		06/16/2031	Quarterly		—			(13,082	)		(13,082	)
6 Month EURIBOR	0.06%	EUR	10,500,000		06/18/2031	Semi-Annually		(15,112	)		(83,149	)		(68,037	)
6 Month EURIBOR	0.15%	EUR	2,070,000		06/18/2031	Semi-Annually		—			7,172			7,172
6 Month EURIBOR	0.16%	EUR	2,070,000		06/18/2031	Semi-Annually		—			7,300			7,300
0.03%	6 Month EURIBOR	EUR	31,100,000		06/18/2031	Semi-Annually		74,908			376,154			301,246
0.02%	6 Month EURIBOR	EUR	15,740,000		06/18/2031	Semi-Annually		70,755			207,416			136,661
0.05%	6 Month EURIBOR	EUR	25,180,000		06/18/2031	Semi-Annually		(36,407	)		233,671			270,078
0.05%	6 Month EURIBOR	EUR	13,940,000		06/18/2031	Semi-Annually		31,224			132,468			101,244
3 Month USD LIBOR	1.59%	USD	3,870,000		06/18/2031	Quarterly		—			10,230			10,230
3 Month USD LIBOR	1.59%	USD	3,870,000		06/18/2031	Quarterly		—			9,308			9,308
1.65%	3 Month USD LIBOR	USD	96,530,000		06/18/2031	Quarterly		(307,422	)		(830,168	)		(522,746	)
1.58%	3 Month USD LIBOR	USD	2,890,000		06/18/2031	Quarterly		(4,175	)		(5,574	)		(1,399	)
1.62%	3 Month USD LIBOR	USD	3,010,000		06/18/2031	Quarterly		—			(17,137	)		(17,137	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (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 USD LIBOR	1.53%	USD	3,490,000		06/18/2031	Quarterly		656			(9,900	)		(10,556	)
3 Month USD LIBOR	1.69%	USD	14,890,000		06/18/2031	Quarterly		6,319			184,820			178,501
							$	(144,986	)	$	2,124,649		$	2,269,635

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Bloomberg Commodity Index (f)	(0.15)%	MSCI	USD	4,839,325		03/09/2022	Monthly		—		16,785			16,785
1 Month JPY LIBOR minus 0.10%	Total Return on MSCI Japan Value Net Total Return Local Index	GS	JPY	310,409,948		04/25/2022	Monthly		—		33,188			33,188
1 Month JPY LIBOR minus 0.10%	Total Return on MSCI Japan Value Net Total Return Local Index	GS	JPY	308,625,443		04/25/2022	Monthly		—		32,998			32,998
1 Month Federal Funds Rate plus 0.10%	Total Return on MSCI World Daily Total Return Net Value Index	GS	USD	3,314,411		05/06/2022	Monthly		—		52,778			52,778
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus (0.02)%	GS	USD	3,318,247		05/06/2022	Monthly		—		(98,406	)		(98,406	)
Bank of Japan Unsecured Overnight Call Rate minus 0.18%	Total Return on MSCI Japan Value Net Total Return Local Index	UBSA	JPY	324,441,629		05/11/2022	Monthly		—		59,819			59,819
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA	USD	3,851,191		05/12/2022	Monthly		—		71,509			71,509
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.10%	UBSA	USD	3,851,179		05/12/2022	Monthly		—		(193,060	)		(193,060	)
1 Month Federal Funds Rate Plus 0.05%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA	USD	2,662,352		05/20/2022	Monthly		—		22,394			22,394
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.50%	UBSA	USD	2,662,317		05/20/2022	Monthly		—		(60,865	)		(60,865	)
1 Month Federal Funds Rate plus 0.60%	Total Return on Equity Basket(h)	GS	USD	143,309		05/24/2022	Monthly		—		3,152			3,152
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.50%	GS	USD	397,947		05/24/2022	Monthly		—		51			51
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.75%	MORD	USD	685,112		05/24/2022	Monthly		—		(2,394	)		(2,394	)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.50%	GS	USD	126,302		05/24/2022	Monthly		—		(1,373	)		(1,373	)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.50%	GS	USD	3,280		05/24/2022	Monthly		—		(97	)		(97	)
1 Month Federal Funds Rate plus 0.95%	Total Return on Equity Basket(h)	MORD	USD	103,494		10/18/2022	Monthly		—		4,415			4,415
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	4,649,488		10/18/2022	Monthly		—		(29,197	)		(29,197	)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate plus 1.00%	MORD	USD	79,431		12/19/2022	Monthly		—		(6,046	)		(6,046	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (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 Federal Funds Rate minus 0.50%	MORD	USD	4,629		02/21/2023	Monthly		—		(81	)		(81	)
								$	—	$	(94,430	)	$	(94,430	)

As of May 31, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

(d) Investment valued using significant unobservable inputs.

(e) The rate disclosed is the 7 day net yield as of May 31, 2021.

(f) 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.

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

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

(i) The following table represents the individual short positions within the custom equity basket swap as of May 31, 2021:

Shares		Description	% of Equity Basket			Value ($)
	3,050,000	Alibaba Pictures Group Ltd		8.7	%		408,620
	783,000	China Molybdenum Co Ltd – Class H		11.2	%		524,625
	42,000	China Resources Beer Holdings Co Ltd		8.0	%		372,606
	164,000	China Youzan Ltd		0.7	%		33,781
	124,000	China Yuhua Education Corp Ltd		2.7	%		124,350
	400	Fuyao Glass Industry Group Co Ltd – Class H		0.1	%		2,514
	278,000	Greentown Service Group Co Ltd		9.2	%		429,770
	3,000	Haidilao International Holding Ltd		0.4	%		16,979
	9,200	Hong Kong Exchanges and Clearing Ltd		12.1	%		566,192
	135,000	Kingdee International Software Group Co Ltd		11.0	%		513,000
	3,000	Kuaishou Technology		1.6	%		77,557
	14,000	New World Development Co Ltd		1.6	%		76,098
	78,400	Sands China Ltd		7.7	%		358,280
	42,000	SJM Holdings Ltd		1.0	%		47,997
	148,800	Wynn Macau Ltd		5.5	%		257,700
	34,000	Yihai International Holding Ltd.		5.7	%		268,664
	386,000	Zijin Mining Group Co Ltd – Class H		12.8	%		597,375
		TOTAL COMMON STOCKS				$	4,676,108

The rates shown on variable rate notes are the current interest rates at May 31, 2021, 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

EURIBOR - Euro Interbank Offered Rate

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen.

LIBOR - London Interbank Offered Rate

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.

SONIA - Sterling Overnight Interbank Average Rate

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

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

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

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	6,235,561	GMO Emerging Country Debt Fund, Class IV		163,932,890
	448,209,975	GMO Implementation Fund		6,041,870,461
	8,753,763	GMO Opportunistic Income Fund, Class VI		227,072,613
	5,507,128	GMO SGM Major Markets Fund, Class VI		175,346,942
		TOTAL MUTUAL FUNDS (COST $6,449,028,220)		6,608,222,906
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	5,529,815	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		5,529,815
		TOTAL SHORT-TERM INVESTMENTS (COST $5,529,815)		5,529,815
		TOTAL INVESTMENTS — 100.1% (Cost $6,454,558,035)		6,613,752,721
		Other Assets and Liabilities (net) — (0.1%)		(4,464,997	)
		TOTAL NET ASSETS — 100.0%		$6,609,287,724

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2021.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 76.0%
		Argentina — 0.0%
	15,000	Banco BBVA Argentina SA ADR *		50,550
	1,400	Globant SA * (a)		305,018
	22,800	Grupo Financiero Galicia SA ADR		202,464
	9,300	Telecom Argentina SA Sponsored ADR		53,382
		Total Argentina		611,414
		Australia — 1.5%
	136,172	Accent Group Ltd		285,774
	25,859	Adairs Ltd		93,303
	67	Ansell Ltd (a)		2,103
	72,623	Asaleo Care Ltd		78,675
	144,861	Australian Pharmaceutical Industries Ltd (b)		129,013
	30,888	Aventus Group (REIT)		69,553
	120,495	Bank of Queensland Ltd		838,984
	32,360	Bendigo & Adelaide Bank Ltd		261,823
	545	BHP Group Ltd		20,187
	180,505	BlueScope Steel Ltd		2,979,983
	19,756	Codan Ltd		289,551
	26,514	Computershare Ltd (a)		331,279
	357,154	Dexus (REIT)		2,865,270
	401,209	Fortescue Metals Group Ltd		6,851,973
	39,768	GDI Property Group (REIT)		32,950
	110,899	Genworth Mortgage Insurance Australia Ltd *		236,857
	986,774	GPT Group (The) (REIT)		3,539,069
	13,250	JB Hi-Fi Ltd		491,913
	26,085	McMillan Shakespeare Ltd		246,333
	636,985	Mirvac Group (REIT)		1,383,218
	99,102	Mount Gibson Iron Ltd		63,775
	77,802	Rio Tinto Ltd		7,379,879
	136,209	Sandfire Resources Ltd		750,867
	858,422	Scentre Group (REIT)		1,817,703
	337,153	Stockland (REIT)		1,214,384
	13,140	Virtus Health Ltd (b)		62,746
		Total Australia		32,317,165
		Austria — 0.0%
	2,199	Semperit AG Holding		100,071
	2,078	Vienna Insurance Group AG Wiener Versicherung Gruppe		58,759
		Total Austria		158,830
		Belgium — 0.5%
	109,500	Ageas SA/NV (b)		7,084,021
	4,045	Bekaert SA		194,462
	27,883	bpost SA *		372,195
	362	Cie d’Entreprises CFE		40,473
	9,410	Econocom Group SA (a)		37,767
	29,316	UCB SA		2,751,735
		Total Belgium		10,480,653

Shares		Description	Value ($)
		Brazil — 1.2%
	742,740	Banco Bradesco SA		3,257,869
	136,200	Banco do Brasil SA		876,518
	20,800	Banco Santander Brasil SA		162,834
	88,300	Blau Farmaceutica SA *		784,445
	5,700	C&A Modas Ltda *		15,191
	299,700	Camil Alimentos SA		569,302
	22,200	Cia de Saneamento do Parana		86,471
	143,700	Cia Siderurgica Nacional SA		1,230,840
	180,100	Dimed SA Distribuidora da Medicamentos		697,703
	55,800	JBS SA		322,485
	71,300	Mahle-Metal Leve SA		377,589
	619,700	Marfrig Global Foods SA		2,170,026
	734,440	Petrobras Distribuidora SA		3,603,360
	82,500	Petroleo Brasileiro SA Sponsored ADR		842,325
	34,700	Sul America SA		231,702
	1,100	Telefonica Brasil SA		9,312
	847,500	TIM SA		1,966,014
	13,700	Tupy SA *		64,692
	319,700	Vale SA Sponsored ADR		6,879,944
	125,100	Vamos Locacao de Caminhoes, Maquinas e Equipamentos SA *		1,226,588
		Total Brazil		25,375,210
		Canada — 1.3%
	7,100	AGF Management Ltd – Class B (b)		44,726
	7,700	Bank of Montreal		808,403
	9,300	Bank of Nova Scotia (The)		626,030
	43,719	Brookfield Asset Management Inc – Class A		2,200,814
	17,400	Canaccord Genuity Group Inc		189,837
	31,900	Canadian Apartment Properties (REIT)		1,459,734
	3,900	Canadian Natural Resources Ltd		135,018
	3,400	Canadian Tire Corp Ltd – Class A		581,916
	19,200	Canfor Corp *		475,689
	1,400	Canfor Pulp Products Inc * (b)		10,129
	42,600	Cascades Inc		481,346
	47,900	Celestica Inc * (c)		413,557
	17,400	Celestica Inc * (c)		149,988
	6,000	Cogeco Inc (a)		471,884
	36,200	Corus Entertainment Inc – B Shares (a)		183,689
	7,800	Enerplus Corp (b)		51,008
	1,300	Finning International Inc		32,283
	900	First Quantum Minerals Ltd		22,387
	10,259	iA Financial Corp Inc		590,293
	31,600	Imperial Oil Ltd (b) (c)		1,042,652
	11,300	Imperial Oil Ltd (c)		372,900
	1,600	Interfor Corp		41,283
	24,400	Intertape Polymer Group Inc		590,787
	600	Laurentian Bank of Canada (b)		21,670
	18,700	Linamar Corp		1,224,273
	37,200	Magna International Inc (c)		3,740,786
	1,300	Magna International Inc (c)		130,767

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	8,600	Manulife Financial Corp		179,681
	3,100	Martinrea International Inc		34,899
	3,000	Morguard North American Residential Real Estate Investment Trust		40,801
	31,300	Nutrien Ltd		1,945,295
	97,700	Power Corp of Canada		3,186,441
	8,600	RioCan Real Estate Investment Trust		151,206
	19,400	Royal Bank of Canada		2,017,324
	400	Sun Life Financial Inc		21,545
	39,100	Toronto-Dominion Bank (The)		2,818,126
	47,900	Tourmaline Oil Corp		1,166,919
	37,100	Transcontinental Inc – Class A		690,683
	5,500	Wajax Corp		104,578
	1,900	Westshore Terminals Investment Corp (b)		28,892
		Total Canada		28,480,239
		Chile — 0.0%
	52,872	Falabella SA		231,265
	5,354	Inversiones La Construccion SA		28,451
		Total Chile		259,716
		China — 11.7%
	7,000	360 DigiTech, Inc. ADR *		196,490
	1,585,668	Agile Group Holdings Ltd		2,237,487
	437,700	Agricultural Bank of China Ltd – Class A		225,622
	21,340,800	Agricultural Bank of China Ltd – Class H		8,659,222
	120,000	AK Medical Holdings Ltd		214,157
	18,900	Alibaba Group Holding Ltd *		505,490
	35,400	Alibaba Group Holding Ltd Sponsored ADR *		7,574,184
	612,000	Angang Steel Co Ltd – Class H (b)		403,434
	112,699	Anhui Conch Cement Co Ltd – Class A		869,466
	867,500	Anhui Conch Cement Co Ltd – Class H		5,370,647
	32,500	Asia Cement China Holdings Corp		30,916
	4,144,000	BAIC Motor Corp Ltd – Class H (b)		1,541,696
	56,800	Baidu Inc Sponsored ADR * (a)		11,148,136
	503,500	Bank of China Ltd – Class A		264,244
	24,190,000	Bank of China Ltd – Class H		9,166,049
	12,243,000	Bank of Communications Co Ltd – Class H		8,267,850
	125,500	Beijing Enterprises Holdings Ltd		438,050
	358,500	BYD Electronic International Co Ltd (b)		2,281,528
	5,500,000	China Cinda Asset Management Co Ltd – Class H		1,176,150
	286,000	China CITIC Bank Corp Ltd – Class H		156,327
	3,195,357	China Communications Services Corp Ltd – Class H		1,342,225
	12,011,000	China Construction Bank Corp – Class H		9,896,182
	1,336,000	China Dongxiang Group Co Ltd		168,691
	1,679,000	China Everbright Bank Co Ltd – Class H		716,348
	2,083,000	China Feihe Ltd		5,675,126
	5,400	China Gas Holdings Ltd		20,538
	1,058,000	China Greenfresh Group Co Ltd * (d)		—

Shares		Description	Value ($)
		China — continued
	3,902,000	China Hongqiao Group Ltd		6,293,925
	22,799,000	China Huarong Asset Management Co Ltd – Class H (d)		2,232,633
	1,537,000	China Lesso Group Holdings Ltd		3,894,521
	499,000	China Lilang Ltd		318,274
	1,474,000	China Machinery Engineering Corp – Class H		659,299
	2,371,645	China Medical System Holdings Ltd		5,920,041
	239,358	China Merchants Bank Co Ltd – Class A		2,201,663
	5,732,000	China National Building Material Co Ltd – Class H		7,590,735
	650,000	China Oriental Group Co Ltd		213,111
	58,000	China Overseas Grand Oceans Group Ltd		36,744
	134,500	China Overseas Land & Investment Ltd		326,042
	108,890	China Pacific Insurance Group Co Ltd – Class A		600,517
	10,638	China Petroleum & Chemical Corp ADR		574,452
	14,878,000	China Petroleum & Chemical Corp – Class H		8,054,677
	145,000	China Pioneer Pharma Holdings Ltd		17,761
	14,434,042	China Railway Group Ltd – Class H		7,619,424
	37,400	China Railway Signal & Communication Corp Ltd – Class A		33,738
	1,341,000	China Reinsurance Group Corp – Class H		146,808
	446,000	China Resources Land Ltd		2,107,311
	2,434,000	China Resources Pharmaceutical Group Ltd		1,730,328
	72,000	China Resources Power Holdings Co Ltd		92,953
	93,000	China SCE Group Holdings Ltd		42,282
	105,979	China Shenhua Energy Co Ltd – Class H		234,012
	222,000	China Shineway Pharmaceutical Group Ltd (b)		231,561
	1,156,000	China South City Holdings Ltd		128,085
	67,200	China Taiping Insurance Holdings Co Ltd		125,492
	584,000	China Traditional Chinese Medicine Holdings Co Ltd		375,419
	748,891	China Vanke Co Ltd – Class A		3,171,175
	330,125	China Vanke Co Ltd – Class H		1,138,183
	32,900	China Yangtze Power Co Ltd – Class A		101,662
	261,000	China Yongda Automobiles Services Holdings Ltd		460,363
	2,900	China Yuchai International Ltd		46,342
	2,484,000	China Zhongwang Holdings Ltd * (b)		626,654
	18,000	Chinasoft International Ltd *		23,131
	699,000	CITIC Ltd		821,734
	1,884,604	Country Garden Holdings Co Ltd		2,402,658
	57,297	CSG Holding Co Ltd – Class A		92,261
	4,296,000	Dongfeng Motor Group Co Ltd – Class H		4,082,365
	1,613,000	Dongyue Group Ltd		1,228,859
	30,500	ENN Energy Holdings Ltd		560,696
	373,800	Everbright Securities Co Ltd – Class H		328,239
	1,559,098	Fangda Special Steel Technology Co Ltd – Class A *		2,247,518
	1,015,500	Fantasia Holdings Group Co Ltd *		136,019

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		China — continued
	1,895,500	Fosun International Ltd		3,059,323
	132,000	Geely Automobile Holdings Ltd		334,250
	131,000	Genertec Universal Medical Group Co Ltd		118,327
	44,500	Great Wall Motor Co Ltd – Class H		123,461
	157,000	Greenland Hong Kong Holdings Ltd		53,583
	590,000	Guangdong Investment Ltd		879,238
	13,500	Guangdong Tapai Group Co Ltd – Class A		23,746
	166,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		483,465
	1,373,600	Guangzhou R&F Properties Co Ltd – Class H		1,854,341
	101,000	Haitian International Holdings Ltd		365,406
	41,000	Hebei Construction Group Corp Ltd – Class H		14,804
	3,500	Hengan International Group Co Ltd		23,598
	475,887	Hisense Home Appliances Group Co Ltd – Class A		1,112,725
	359,000	Hisense Home Appliances Group Co Ltd – Class H		539,653
	23,600	Hollysys Automation Technologies Ltd		318,600
	384,000	Hopson Development Holdings Ltd		1,862,085
	328,000	Huabao International Holdings Ltd (b)		510,467
	7,514,000	Industrial & Commercial Bank of China Ltd – Class H		4,933,012
	210,598	Inner Mongolia Eerduosi Resources Co Ltd – Class A		641,263
	2,700	JOYY Inc ADR (a)		207,765
	256,500	Kingboard Holdings Ltd		1,417,737
	143,000	Kingboard Laminates Holdings Ltd		309,285
	122,000	Koolearn Technology Holding Ltd *		197,971
	296,000	Kunlun Energy Co Ltd		336,077
	259,000	KWG Group Holdings Ltd		394,519
	110,800	Legend Holdings Corp – Class H		175,240
	1,092,000	Lenovo Group Ltd		1,316,830
	246,981	Livzon Pharmaceutical Group Inc – Class H		1,253,485
	226,000	Logan Group Co Ltd		362,189
	182,500	Longfor Group Holdings Ltd		1,069,553
	3,478,000	Lonking Holdings Ltd		1,263,346
	24,000	Lufax Holding Ltd ADR *		292,560
	1,985,000	Metallurgical Corp of China Ltd – Class H		483,088
	135,600	Momo Inc Sponsored ADR (a)		1,902,468
	55,200	NetEase Inc		1,296,702
	42,400	NetEase Inc ADR (a)		5,000,232
	856,000	Nexteer Automotive Group Ltd		1,078,173
	2,122,000	Nine Dragons Paper Holdings Ltd		3,349,642
	1,070,000	PAX Global Technology Ltd		1,337,088
	55,000	Perennial Energy Holdings Ltd (b)		34,051
	14,200	PetroChina Co Ltd ADR		585,750
	4,142,000	PetroChina Co Ltd – Class H		1,693,756
	3,892,000	PICC Property & Casualty Co Ltd – Class H		3,798,881
	15,700	Ping An Insurance Group Co of China Ltd – Class A		180,146

Shares		Description	Value ($)
		China — continued
	465,000	Poly Property Group Co Ltd		132,938
	337,300	Postal Savings Bank of China Co Ltd – Class A		295,365
	2,382,000	Postal Savings Bank of China Co Ltd – Class H (b)		1,710,555
	1,418,000	Powerlong Real Estate Holdings Ltd		1,379,895
	144,000	Qingling Motors Co Ltd – Class H		32,256
	124,000	Road King Infrastructure Ltd		164,004
	202,000	Seazen Group Ltd *		229,027
	298,000	Shanghai Jin Jiang Capital Co Ltd – Class H		72,200
	1,209,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		2,643,969
	420,858	Shenzhen Investment Ltd		150,596
	10,500	Shenzhou International Group Holdings Ltd		276,784
	1,905,500	Shimao Group Holdings Ltd		5,467,016
	532,000	Sinopec Engineering Group Co Ltd – Class H		336,558
	3,312,000	Sinopharm Group Co Ltd – Class H		11,047,020
	1,277,000	Sinotruk Hong Kong Ltd		3,062,538
	2,552,000	Skyworth Group Ltd *		727,173
	1,816,000	TCL Electronics Holdings Ltd *		1,216,327
	104,700	Tencent Holdings Ltd		8,185,540
	35,000	Tencent Holdings Ltd ADR (a)		2,743,300
	610,000	Tianjin Port Development Holdings Ltd		53,465
	1,750,000	Tianneng Power International Ltd (b)		3,152,987
	51,597	Tsingtao Brewery Co Ltd – Class A		850,567
	28,000	Tsingtao Brewery Co Ltd – Class H		297,468
	21,000	Want Want China Holdings Ltd		15,586
	995,000	Weichai Power Co Ltd – Class H		2,306,033
	1,250,685	Weifu High-Technology Group Co Ltd – Class A		4,706,007
	2,952,000	West China Cement Ltd		506,007
	5,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		3,655
	248,000	Xtep International Holdings Ltd		272,646
	100	Yum China Holdings Inc		6,764
	2,690,000	Yuzhou Group Holdings Co Ltd		793,009
	147,099	Zhejiang Weixing New Building Materials Co Ltd – Class A		544,104
	763,799	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		1,379,807
	574,500	Zhongsheng Group Holdings Ltd		4,778,299
	1,110,498	Zhuzhou Kibing Group Co Ltd – Class A		2,816,061
	330,600	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		411,039
		Total China		257,170,368
		Czech Republic — 0.0%
	7,299	CEZ AS		218,094
	2,291	Komercni Banka AS *		84,401
	117,999	Moneta Money Bank AS *		441,261

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Czech Republic — continued
	58	Philip Morris CR AS		40,433
		Total Czech Republic		784,189
		Denmark — 0.4%
	935	Carlsberg A/S – Class B		171,728
	177,018	Danske Bank A/S		3,334,209
	7,316	Matas A/S *		141,199
	27,315	Pandora A/S		3,689,454
	26,761	Scandinavian Tobacco Group A/S		569,940
		Total Denmark		7,906,530
		Egypt — 0.0%
	21,064	Commercial International Bank Egypt SAE *		71,282
	33,697	Eastern Co SAE		25,816
	49,666	ElSewedy Electric Co		25,273
		Total Egypt		122,371
		Finland — 0.3%
	2,416	Aktia Bank Oyj		32,817
	26,109	Kesko Oyj – B Shares		907,750
	35,779	Neste Oyj		2,359,868
	494,219	Nokia Oyj *		2,578,841
	1,784	Tokmanni Group Corp		49,502
	6,956	Uponor Oyj		208,171
		Total Finland		6,136,949
		France — 1.8%
	18,514	ALD SA (b)		283,693
	19,854	APERAM SA		1,094,597
	16,080	ArcelorMittal SA *		520,065
	902	Assystem SA (b)		33,210
	34,489	Atos SE (a)		2,306,444
	839	Axway Software SA * (a)		31,273
	73,099	BNP Paribas SA (b)		5,032,509
	721	Boiron SA		35,389
	680	Bonduelle SCA		18,193
	333	Christian Dior SE		267,525
	47,832	Cie de Saint-Gobain *		3,210,810
	123,876	Credit Agricole SA (b)		1,856,717
	45,112	Derichebourg SA *		462,556
	215	Eiffage SA		23,723
	658	Fnac Darty SA *		45,931
	5	Gaztransport Et Technigaz SA		416
	337	Groupe Crit * (b)		25,362
	389	HEXAOM *		20,404
	13,874	IPSOS (a)		569,593
	2,606	Kaufman & Broad SA		123,889
	2,289	Kering SA		2,096,261
	2,920	LVMH Moet Hennessy Louis Vuitton SE		2,339,014
	23,776	Metropole Television SA (a)		504,359

Shares		Description	Value ($)
		France — continued
	190,567	Natixis SA * (b)		941,759
	16,231	Orange SA		207,129
	54,988	Publicis Groupe SA (a)		3,716,977
	21,473	Quadient SA		628,959
	6	Renault SA * (c)		248
	107,826	Renault SA * (c)		4,474,419
	1,204	Rothschild & Co		47,722
	19,010	Safran SA		2,874,498
	19	Sanofi		2,033
	123,774	Societe Generale SA (b)		3,963,124
	695	Synergie SE *		30,558
	54,663	Television Francaise 1 (a)		571,361
	10,934	TOTAL SE		509,970
	4,488	Vicat SA		237,053
	369	Vilmorin & Cie SA		26,177
		Total France		39,133,920
		Germany — 1.5%
	4,418	ADVA Optical Networking SE *		58,042
	468	Amadeus Fire AG		86,627
	2,193	Aroundtown SA		18,497
	23	Aurubis AG		2,152
	45,242	Bayer AG (Registered)		2,883,886
	13,322	Bayerische Motoren Werke AG		1,414,232
	14,605	Beiersdorf AG		1,731,488
	8	Brenntag SE		751
	45,992	CECONOMY AG *		258,487
	478	Cewe Stiftung & Co KGaA		78,449
	85,405	Daimler AG (Registered)		7,968,089
	43,217	Deutsche Pfandbriefbank AG		511,690
	10,662	Deutz AG *		90,300
	45,097	Dialog Semiconductor Plc *		3,575,510
	1,480	Draegerwerk AG & Co KGaA (a)		133,720
	35	DWS Group GmbH & Co KGaA		1,662
	16	Elmos Semiconductor SE		682
	51,666	Fresenius SE & Co KGaA (a)		2,808,569
	4,219	Hamburger Hafen und Logistik AG		110,015
	43,766	HeidelbergCement AG		4,000,148
	5,262	Hornbach Baumarkt AG		252,310
	8,027	Hornbach Holding AG & Co KGaA		894,982
	17,315	Kloeckner & Co SE *		238,773
	22	KWS Saat SE & Co KGaA		2,059
	17,920	SAP SE (a)		2,509,046
	14	Siemens AG (Registered)		2,298
	5,384	Takkt AG		90,986
	4,523	Traton SE		150,244
	233	VERBIO Vereinigte BioEnergie AG		12,828
	4,990	Volkswagen AG (b)		1,822,157
		Total Germany		31,708,679

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Greece — 0.0%
	12,055	FF Group * (d)		—
		Hong Kong — 0.8%
	28,500	BOC Hong Kong Holdings Ltd		105,125
	28,700	Budweiser Brewing Co APAC Ltd		98,763
	141,400	Champion (REIT)		82,567
	118,000	Chow Sang Sang Holdings International Ltd		205,888
	953,000	CITIC Telecom International Holdings Ltd		318,074
	12,500	CK Asset Holdings Ltd		85,105
	424,000	CK Hutchison Holdings Ltd		3,380,290
	550,000	CSI Properties Ltd		18,071
	100,500	Dah Sing Banking Group Ltd		115,301
	79,200	Dah Sing Financial Holdings Ltd		281,934
	2,340,000	First Pacific Co Ltd		816,370
	494,000	Giordano International Ltd		109,462
	428,000	IGG Inc		637,015
	244,000	Johnson Electric Holdings Ltd		649,803
	113,000	K Wah International Holdings Ltd		55,736
	85,500	Kerry Logistics Network Ltd		255,541
	460,500	Kerry Properties Ltd		1,587,875
	24,800	Luk Fook Holdings International Ltd		69,620
	376,000	Pacific Textiles Holdings Ltd		250,831
	3,326,000	PCCW Ltd		1,839,253
	720,000	Shun Tak Holdings Ltd		230,358
	60,500	SmarTone Telecommunications Holdings Ltd		35,233
	130,000	Sun Hung Kai & Co Ltd		72,063
	5,000	Sun Hung Kai Properties Ltd		78,084
	42,000	Swire Pacific Ltd – Class A		326,931
	180,000	Texwinca Holdings Ltd		46,631
	408,000	VSTECS Holdings Ltd		398,548
	143,500	VTech Holdings Ltd		1,482,656
	2,783,500	WH Group Ltd		2,400,463
	18,000	Xinyi Glass Holdings Ltd		70,398
	355,500	Yue Yuen Industrial Holdings Ltd		928,170
		Total Hong Kong		17,032,159
		Hungary — 0.0%
	75,431	Magyar Telekom Telecommunications Plc		107,511
	17,118	Richter Gedeon Nyrt		477,805
		Total Hungary		585,316
		India — 2.1%
	20,481	Asian Paints Ltd		829,383
	1,440	Aurobindo Pharma Ltd		20,298
	42	Bajaj Auto Ltd *		2,434
	182,033	Balrampur Chini Mills Ltd		746,391
	9,635	Bombay Burmah Trading Co		170,288
	153	BSE Ltd		1,980
	156,110	Cadila Healthcare Ltd *		1,337,938
	21,116	Dhampur Sugar Mills Ltd		91,160
	24,600	Dr Reddy’s Laboratories Ltd ADR		1,755,702

Shares		Description	Value ($)
		India — continued
	60,568	Engineers India Ltd		70,826
	196,092	Firstsource Solutions Ltd		380,799
	33,977	Glenmark Pharmaceuticals Ltd		285,418
	4,604	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		24,120
	695,627	HCL Technologies Ltd		9,054,145
	17,815	HDFC Bank Ltd *		370,620
	155,871	Hindalco Industries Ltd		833,664
	21,163	Hindustan Unilever Ltd		679,528
	11,287	Hindustan Zinc Ltd		50,816
	20,265	Housing Development Finance Corp Ltd		710,051
	107,289	ICICI Bank Ltd *		958,733
	505,780	Indiabulls Housing Finance Ltd		1,555,120
	61,234	Indian Bank *		119,786
	47,800	Infosys Ltd Sponsored ADR (a)		924,452
	187,309	IRCON International Ltd		124,783
	187,309	IRCON International Ltd – Interim Shares (e)		124,886
	1,472	Just Dial Ltd *		18,561
	119,209	Karnataka Bank Ltd (The) *		105,911
	30,989	Kotak Mahindra Bank Ltd *		768,838
	83,005	LT Foods Ltd		85,011
	1,564	Mahanagar Gas Ltd		25,393
	6,681	Mindtree Ltd		216,934
	191,322	NBCC India Ltd		128,956
	22,090	NCC Ltd		25,413
	42,844	NMDC Ltd		105,843
	212,576	NTPC Ltd		319,835
	3,285,020	Oil & Natural Gas Corp Ltd		5,108,538
	2,429	Oracle Financial Services Software Ltd		118,095
	1,938,252	Power Finance Corp Ltd		3,219,784
	356,414	PTC India Ltd		440,330
	21,371	Rajesh Exports Ltd		152,750
	3,517,508	REC Ltd		7,093,244
	19,426	Tata Consultancy Services Ltd		842,782
	915,583	Tata Motors Ltd *		4,029,384
	250,237	Tata Motors Ltd – Class A *		520,921
	25,137	Titan Co Ltd		547,017
	49,047	TV18 Broadcast Ltd *		28,392
	133,956	Wipro Ltd		992,594
	75,655	Zee Entertainment Enterprises Ltd		220,497
		Total India		46,338,344
		Indonesia — 0.3%
	412,500	Astra International Tbk PT		148,565
	1,126,600	Bank Central Asia Tbk PT		2,498,498
	1,422,800	Bank Mandiri Persero Tbk PT		576,840
	1,556,900	Bank Negara Indonesia Persero Tbk PT		566,598
	2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		135,847
	7,442,400	Bank Rakyat Indonesia Persero Tbk PT		2,120,643
	223,700	Bank Tabungan Negara Persero Tbk PT *		24,873
	2,535,200	Bukit Asam Tbk PT		388,617

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	243,500	Indo Tambangraya Megah Tbk PT		221,060
	309,300	Matahari Department Store Tbk PT *		37,570
	651,500	Pakuwon Jati Tbk PT *		22,694
	1,417,500	Panin Financial Tbk PT *		18,838
	1,814,700	Perusahaan Gas Negara Persero Tbk PT *		143,387
	1,911,200	Ramayana Lestari Sentosa Tbk PT		88,276
	43,600	United Tractors Tbk PT		66,595
		Total Indonesia		7,058,901
		Ireland — 0.4%
	170,930	AIB Group Plc *		569,287
	245,755	Bank of Ireland Group Plc *		1,592,586
	3,941	CRH Plc		206,181
	18,340	CRH Plc Sponsored ADR		954,964
	9,518	Glanbia Plc		158,555
	256,074	Hibernia REIT Plc		373,831
	823	Irish Residential Properties REIT Plc		1,585
	3,214	Kingspan Group Plc		305,492
	24,624	Origin Enterprises Plc		110,335
	32,738	Permanent TSB Group Holdings Plc *		58,180
	106,840	Ryanair Holdings Plc * (b)		2,188,075
	6,712	Smurfit Kappa Group Plc (c)		356,735
	42,018	Smurfit Kappa Group Plc (c)		2,225,957
	28,153	Total Produce Plc		87,716
		Total Ireland		9,189,479
		Israel — 0.2%
	8,000	Check Point Software Technologies Ltd *		935,840
	530	Fox Wizel Ltd		61,311
	37,750	Isracard Ltd *		152,156
	458	Israel Corp Ltd (The) *		138,781
	477,592	Oil Refineries Ltd *		129,187
	283,200	Teva Pharmaceutical Industries Ltd Sponsored ADR *		2,945,280
		Total Israel		4,362,555
		Italy — 1.1%
	984	A2A SPA		2,054
	49,442	Anima Holding SPA		258,855
	10,407	Banca IFIS SPA (b)		162,870
	10,462	Banca Mediolanum SPA		101,070
	72,711	Banca Popolare di Sondrio SCPA (b)		356,993
	201,932	Banco BPM SPA (b)		714,838
	2,722	Biesse SPA *		100,791
	82,584	Buzzi Unicem SPA		2,341,421
	15,485	Cementir Holding NV		176,823
	10,648	CNH Industrial NV		183,077
	55,960	Cofide SPA *		34,392
	22,116	Credito Emiliano SPA		144,513
	3,140	De’ Longhi SPA		139,455
	1,622	El.En. SPA (a)		86,262

Shares		Description	Value ($)
		Italy — continued
	62,399	Enel SPA		618,830
	591	Eni SPA		7,261
	5,122	Esprinet SPA		87,534
	99,467	EXOR NV		8,563,589
	565	Iren SPA		1,808
	9,031	La Doria SPA		194,827
	170,357	Leonardo SPA		1,487,769
	38,732	Mediobanca Banca di Credito Finanziario SPA *		461,179
	6,392	Poste Italiane SPA		89,622
	66,191	Saras SPA * (b)		56,851
	1,127	Sesa SPA *		176,460
	7,378	Stellantis NV		144,665
	3,132,387	Telecom Italia SPA		1,677,074
	5,542,977	Telecom Italia SPA – RSP		3,167,521
	2,657	Unieuro SPA * (b)		82,717
	307,983	Unipol Gruppo SPA (b)		1,703,170
		Total Italy		23,324,291
		Japan — 12.7%
	7,400	77 Bank Ltd (The)		91,781
	7,100	ADEKA Corp		127,116
	28,400	Aeon Delight Co Ltd		868,950
	236,800	Aeon Mall Co Ltd		3,775,995
	6,100	Aichi Corp		47,975
	2,800	Aida Engineering Ltd		22,393
	311,400	Amada Co Ltd		3,363,954
	81,800	Amano Corp		2,154,303
	6,600	AOKI Holdings Inc		38,709
	1,200	Arata Corp		46,278
	21,800	Arcland Sakamoto Co Ltd		283,934
	62,800	Arcs Co Ltd		1,397,165
	362,600	Asahi Kasei Corp		4,071,466
	199,700	Astellas Pharma Inc		3,186,412
	3,600	Bando Chemical Industries Ltd		27,740
	86,300	Brother Industries Ltd		1,836,751
	10,800	Bunka Shutter Co Ltd		107,179
	2,500	Canon Electronics Inc		39,185
	3,800	Canon Marketing Japan Inc		90,327
	1,600	Cawachi Ltd		32,861
	3,400	Central Glass Co Ltd		65,773
	21,900	Central Japan Railway Co		3,275,700
	1,000	Chiba Bank Ltd (The)		6,495
	1,600	Chiyoda Integre Co Ltd		26,969
	37,300	Chubu Electric Power Co Inc		445,146
	138,700	Chugoku Marine Paints Ltd		1,113,553
	4,300	CONEXIO Corp		57,107
	5,400	Dai Nippon Toryo Co Ltd		41,541
	1,500	Dai-Dan Co Ltd		37,008
	38,400	Daihen Corp		1,703,168
	900	Daiho Corp		34,010
	1,900	Daiichi Jitsugyo Co Ltd		74,904

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,900	Dainichiseika Color & Chemicals Manufacturing Co Ltd		40,639
	2,000	Daishi Hokuetsu Financial Group Inc		44,046
	44,000	Daiwa House Industry Co Ltd		1,280,921
	5,200	Daiwa Industries Ltd		50,673
	328,100	Daiwabo Holdings Co Ltd		5,102,201
	111,200	Denka Co Ltd		4,237,032
	100	Dexerials Corp		2,036
	4,400	DTS Corp (a)		104,165
	120,600	Ebara Corp		5,926,967
	3,200	Ehime Bank Ltd (The)		24,119
	6,100	Elecom Co Ltd (b)		116,520
	46,600	Electric Power Development Co Ltd		659,122
	8,500	FAN Communications Inc		29,960
	110,000	Fuji Corp		2,778,444
	100	Fuji Media Holdings Inc (a)		1,139
	400	Fujimi Inc		18,398
	1,500	Fujimori Kogyo Co Ltd		57,118
	12,300	Fujitsu Ltd (a)		2,006,407
	2,600	Furuno Electric Co Ltd		24,895
	3,000	G-7 Holdings Inc		83,710
	100	Geo Holdings Corp		1,003
	9,100	GungHo Online Entertainment Inc (a)		171,767
	500	Gunma Bank Ltd (The)		1,654
	27,600	Hachijuni Bank Ltd (The)		95,554
	3,600	Hakuto Co Ltd		51,507
	9,300	Hanwa Co Ltd		273,691
	288,300	Haseko Corp		4,118,634
	370,500	Hazama Ando Corp		2,831,927
	1,800	Heiwado Co Ltd		38,661
	3,400	Hisamitsu Pharmaceutical Co Inc		188,342
	112,000	Hitachi Ltd		5,901,184
	45,100	Hogy Medical Co Ltd (a)		1,356,198
	15,500	Hokuhoku Financial Group Inc		127,168
	208,300	Honda Motor Co Ltd		6,509,707
	69,700	Horiba Ltd		4,477,571
	4,400	Hyakujushi Bank Ltd (The)		59,541
	36,900	Iida Group Holdings Co Ltd		992,227
	1,400	Inaba Denki Sangyo Co Ltd		32,626
	93,600	Inabata & Co Ltd		1,491,771
	2,400	Information Services International-Dentsu Ltd (a)		85,009
	495,900	Inpex Corp		3,385,794
	205,000	ITOCHU Corp		6,181,992
	16,400	Itochu Enex Co Ltd		149,492
	600	Itochu-Shokuhin Co Ltd		27,153
	5,300	Itoham Yonekyu Holdings Inc		34,407
	11,600	Itoki Corp		38,110
	6,800	Jaccs Co Ltd		158,005
	93,500	JAFCO Group Co Ltd		6,834,389
	2,400	Japan Petroleum Exploration Co Ltd		43,178
	62,774	Japan Post Insurance Co Ltd		1,248,146

Shares		Description	Value ($)
		Japan — continued
	2,000	Japan Tobacco Inc		39,731
	6,100	Juroku Bank Ltd (The)		109,375
	173,800	JVCKenwood Corp		362,013
	268,700	K’s Holdings Corp		3,236,474
	92,600	Kadokawa Corp (a)		3,570,479
	1,400	Kaga Electronics Co Ltd		36,500
	121,400	Kajima Corp		1,684,223
	3,500	Kamei Corp		36,902
	43,500	Kanamoto Co Ltd		1,090,505
	4,600	Kandenko Co Ltd		38,271
	156,500	Kanematsu Corp		2,129,115
	44,400	Kansai Electric Power Co Inc (The)		419,461
	2,600	Kato Sangyo Co Ltd		77,842
	297,000	KDDI Corp		10,124,348
	6,200	Keiyo Bank Ltd (The)		23,547
	15,200	Kinden Corp		255,577
	3,697	Kohnan Shoji Co Ltd		101,138
	6,600	Kokuyo Co Ltd		104,342
	17,001	Komeri Co Ltd		405,141
	171,874	Konica Minolta Inc (b)		951,856
	98,600	Konoike Transport Co Ltd		1,016,054
	1,200	Kumagai Gumi Co Ltd		32,844
	400	Kureha Corp		23,395
	2,500	Kyokuto Kaihatsu Kogyo Co Ltd		40,037
	149,900	Kyowa Exeo Corp		3,722,675
	111,900	Kyudenko Corp		3,494,509
	108,000	Macromill Inc		864,510
	86,300	Mandom Corp		1,498,384
	25,300	Marubeni Corp		225,902
	130,700	Maruichi Steel Tube Ltd		3,316,658
	2,100	Maruzen Showa Unyu Co Ltd		64,695
	1,200	Marvelous Inc		8,929
	2,000	Matsuda Sangyo Co Ltd		40,670
	127,500	Maxell Holdings Ltd *		1,463,572
	23,900	MCJ Co Ltd		238,924
	109,900	Mebuki Financial Group Inc		237,468
	14,700	Meidensha Corp		303,174
	700	Melco Holdings Inc		30,870
	74,000	Mitsubishi Gas Chemical Co Inc		1,738,945
	2,000	Mitsubishi Research Institute Inc (a)		76,709
	1,553,300	Mitsubishi UFJ Financial Group Inc		8,920,815
	4,400	Mitsuboshi Belting Ltd		70,707
	10,400	Mitsui & Co Ltd		230,032
	19,900	Mitsui Chemicals Inc		673,132
	6,200	Mitsui DM Sugar Holdings Co Ltd		102,680
	25,300	Mixi Inc (a)		619,339
	1,100	Mizuno Corp		22,911
	96,300	Morinaga & Co Ltd		2,991,764
	134,500	MS&AD Insurance Group Holdings Inc		4,120,520
	20,300	NEC Networks & System Integration Corp (a)		324,946
	103,800	NH Foods Ltd		4,185,214

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	4,700	Nichias Corp		116,889
	5,500	Nichiha Corp		149,563
	3,000	Nippn Corp		43,019
	18,500	Nippo Corp		479,706
	7,000	Nippon Light Metal Holdings Co Ltd		120,759
	2,200	Nippon Soda Co Ltd		68,123
	800	Nippon Steel Trading Corp		32,180
	268,600	Nippon Telegraph & Telephone Corp		7,273,764
	20,800	Nippon Television Holdings Inc (a)		247,227
	24,900	Nishi-Nippon Financial Holdings Inc		159,549
	1,500	Nishio Rent All Co Ltd		44,388
	1,500	Nissin Corp		19,853
	500	Nissin Electric Co Ltd		5,845
	900	Nitto Denko Corp		71,024
	9,000	Nojima Corp		249,705
	800	Nomura Real Estate Holdings Inc		20,981
	482,100	Obayashi Corp		4,097,436
	17,800	Okamura Corp		226,558
	600	Okinawa Cellular Telephone Co		27,078
	540,800	ORIX Corp		9,554,255
	8,700	Osaka Gas Co Ltd		166,443
	1,700	Osaka Soda Co Ltd		38,989
	111,000	Pacific Industrial Co Ltd		1,211,683
	250,000	Penta-Ocean Construction Co Ltd		1,785,441
	4,300	Prima Meat Packers Ltd		120,188
	5,700	Proto Corp		60,550
	4,800	Raito Kogyo Co Ltd		79,203
	19,100	Raiznext Corp		200,195
	29,000	Renesas Electronics Corp *		303,884
	197,700	Resona Holdings Inc		850,473
	100	Rinnai Corp		9,940
	900	Rion Co Ltd		20,828
	17,900	Rohm Co Ltd		1,676,847
	2,900	Roland DG Corp		56,337
	1,300	Ryobi Ltd *		18,903
	23,500	San-A Co Ltd		913,309
	9,200	San-Ai Oil Co Ltd		99,703
	23,300	San-In Godo Bank Ltd (The)		114,518
	15,300	Sanki Engineering Co Ltd		193,836
	72,200	Sankyu Inc		3,159,231
	8,300	Sanwa Holdings Corp		103,330
	45,300	Secom Co Ltd		3,580,554
	4,900	Seiko Holdings Corp		97,228
	29,400	Sekisui Chemical Co Ltd		512,581
	161,300	Sekisui House Ltd		3,394,707
	4,300	Sekisui Jushi Corp		83,000
	4,000	Shimamura Co Ltd		383,988
	390,300	Shimizu Corp		3,180,798
	1,300	Shindengen Electric Manufacturing Co Ltd *		42,345
	100	Shinsei Bank Ltd		1,611
	6,600	Shizuoka Gas Co Ltd		63,063

Shares		Description	Value ($)
		Japan — continued
	800	Sinanen Holdings Co Ltd		20,166
	7,400	Sinko Industries Ltd		129,832
	7,400	Sintokogio Ltd		50,903
	348,700	SKY Perfect JSAT Holdings Inc (a)		1,380,100
	156,500	Sojitz Corp		484,901
	526,600	Sumitomo Chemical Co Ltd		2,920,506
	240,100	Sumitomo Dainippon Pharma Co Ltd (b)		4,607,325
	225,600	Sumitomo Forestry Co Ltd		4,590,972
	111,000	Sumitomo Mitsui Trust Holdings Inc		3,880,553
	1,500	Sumitomo Seika Chemicals Co Ltd		49,271
	13,400	Suzuki Motor Corp		584,751
	64,600	T Hasegawa Co Ltd		1,267,790
	4,000	T-Gaia Corp		68,733
	77,800	Tachi-S Co Ltd		887,679
	53,700	Taisei Corp		1,896,753
	155,700	Takara Holdings Inc		2,084,869
	32,900	Takara Leben Co Ltd		105,340
	15,200	Takeuchi Manufacturing Co Ltd		410,050
	146,700	Takuma Co Ltd		2,508,166
	7,400	Tamron Co Ltd		164,567
	272,100	Teijin Ltd		4,477,916
	115,400	TIS Inc (a)		2,961,051
	92,100	Toho Holdings Co Ltd (a)		1,428,862
	1,224,700	Tokyo Electric Power Co Holdings Inc *		3,833,595
	87,700	Tokyo Seimitsu Co Ltd		4,359,348
	26,800	Tokyu Construction Co Ltd		172,487
	9,100	TOMONY Holdings Inc		25,292
	600	Toppan Forms Co Ltd		5,943
	322,200	Toppan Printing Co Ltd		5,626,902
	106,500	Tosei Corp		1,024,307
	283,984	Tosoh Corp		5,049,352
	3,400	Totetsu Kogyo Co Ltd		74,728
	3,700	Towa Pharmaceutical Co Ltd		78,689
	40,300	Toyo Construction Co Ltd		207,086
	10,400	Toyo Suisan Kaisha Ltd		423,936
	3,200	Toyota Boshoku Corp		61,882
	45,500	Toyota Industries Corp		3,937,968
	8,200	Toyota Tsusho Corp		373,898
	2,200	TPR Co Ltd		29,925
	14,100	TS Tech Co Ltd		200,410
	82,200	Tsumura & Co		2,658,883
	2,500	UKC Holdings Corp		41,762
	100	Ulvac Inc		4,619
	5,300	Wacoal Holdings Corp		120,275
	16,500	YAMABIKO Corp		179,485
	39,500	Yamaguchi Financial Group Inc		235,901
	9,000	Yamazen Corp		79,767
	7,200	Yellow Hat Ltd		129,359
	54,700	Yokogawa Bridge Holdings Corp		995,971
	5,500	Yuasa Trading Co Ltd		151,273
	74,200	Zenkoku Hosho Co Ltd		3,070,259
		Total Japan		279,130,558

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Kuwait — 0.2%
	273,491	Gulf Bank KSCP		203,199
	7,476	Gulf Cable & Electrical Industries Co KSCP		19,452
	16,758	Humansoft Holding Co KSC		200,639
	1,009,390	Kuwait Finance House KSCP		2,513,738
	38,023	Kuwait Projects Co Holding KSCP		18,747
	152,743	Mobile Telecommunications Co KSCP		301,209
	591,286	National Bank of Kuwait SAKP		1,613,746
		Total Kuwait		4,870,730
		Luxembourg — 0.0%
	1,900	Ternium SA Sponsored ADR		69,559
		Malaysia — 0.0%
	661,200	DRB-Hicom Bhd		296,053
	52,000	Gamuda Bhd *		40,980
	13,900	Genting Plantations Bhd		27,142
	394,300	MMC Corp Bhd		111,493
	85,000	Pharmaniaga Bhd		104,054
	87,300	Syarikat Takaful Malaysia Keluarga Bhd		94,866
	98,700	Westports Holdings Bhd		102,623
		Total Malaysia		777,211
		Mexico — 1.1%
	50,700	Arca Continental SAB de CV		281,627
	94,100	Banco del Bajio SA		161,290
	206,600	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander *		244,273
	198,500	Cemex SAB de CV Sponsored ADR *		1,643,580
	2,100	Coca-Cola Femsa SAB de CV Sponsored ADR		102,942
	27,500	Corp Inmobiliaria Vesta SAB de CV		55,931
	122,700	Credito Real SAB de CV SOFOM ER *		40,534
	81,100	El Puerto de Liverpool SAB de CV – Class C1		339,986
	222,800	Fibra Uno Administracion SA de CV (REIT)		261,190
	229,600	Fomento Economico Mexicano SAB de CV		1,882,632
	1,000	Fomento Economico Mexicano SAB de CV Sponsored ADR		82,000
	421,300	Gentera SAB de CV *		237,957
	61,600	Grupo Aeroportuario del Centro Norte SAB de CV *		394,131
	281,900	Grupo Bimbo SAB de CV – Series A		612,826
	1,000,100	Grupo Financiero Banorte SAB de CV – Class O		6,821,648
	80,800	Grupo Financiero Inbursa SAB de CV – Class O *		79,916
	56,242	Grupo Herdez SAB de CV – Series *		124,242
	1,771,800	Grupo Mexico SAB de CV – Series B		8,504,071
	17,400	Grupo Televisa SAB Sponsored ADR		225,678

Shares		Description	Value ($)
		Mexico — continued
	4,600	Infraestructura Energetica Nova SAB de CV *		18,952
	39,800	Kimberly-Clark de Mexico SAB de CV – Class A		71,715
	199,000	Nemak SAB de CV *		66,440
	61,600	Qualitas Controladora SAB de CV		338,803
	29,400	Regional SAB de CV		158,602
	25,472	Unifin Financiera SAB de CV SOFOM ENR *		29,925
	601,938	Wal-Mart de Mexico SAB de CV		1,921,741
		Total Mexico		24,702,632
		Netherlands — 1.6%
	40,787	ABN AMRO Bank NV CVA *		546,134
	493	Aegon NV (b)		2,337
	55,100	AerCap Holdings NV *		3,250,900
	957	Arcadis NV		41,702
	6	ASM International NV		1,877
	60,380	ASR Nederland NV		2,600,490
	11,846	ForFarmers NV		76,874
	1,268	Heineken Holding NV		128,360
	282	Hunter Douglas NV *		28,325
	323,839	ING Groep NV		4,531,511
	176,351	Koninklijke Ahold Delhaize NV		5,133,987
	2,624	Koninklijke Vopak NV		124,343
	51,352	NN Group NV		2,613,716
	385,579	PostNL NV (b)		2,266,066
	58,834	Randstad NV		4,581,519
	77,391	Signify NV		4,786,522
	176,079	Stellantis NV		3,444,800
	12,234	Wolters Kluwer NV		1,174,916
		Total Netherlands		35,334,379
		New Zealand — 0.1%
	577,646	Meridian Energy Ltd		2,152,681
		Norway — 0.5%
	99,240	Aker Solutions ASA *		180,687
	26,001	Austevoll Seafood ASA (b)		339,945
	10,158	Avance Gas Holding Ltd (b)		52,578
	145,890	BW LPG Ltd		1,008,301
	47,171	DNB ASA		1,052,792
	41,180	DNO ASA *		43,738
	199,926	Elkem ASA *		726,673
	5,999	Equinor ASA		130,512
	76,548	Europris ASA		512,389
	167	Nordic Semiconductor ASA *		4,647
	274,154	Norsk Hydro ASA		1,776,206
	64,972	Norwegian Finans Holding ASA		761,335
	206,952	Orkla ASA		2,158,199
	14,029	Sbanken ASA		172,434
	11,817	Selvaag Bolig ASA		86,049

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	26,396	SpareBank 1 Nord Norge		267,186
	19,287	SpareBank 1 SMN		273,578
	58,396	SpareBank 1 SR-Bank ASA		805,813
	16,582	Wallenius Wilhelmsen ASA *		66,039
		Total Norway		10,419,101
		Pakistan — 0.1%
	34,810	Engro Corp Ltd		70,524
	488,454	Engro Fertilizers Ltd		224,323
	58,068	Fauji Fertilizer Co Ltd		40,632
	5,110	Lucky Cement Ltd *		30,294
	448,447	Oil & Gas Development Co Ltd		277,165
	54,623	Pakistan Oilfields Ltd		130,496
	277,068	Pakistan Petroleum Ltd		162,677
	23,700	Pakistan State Oil Co Ltd		35,559
	47,700	Searle Co Ltd (The)		73,716
	67,270	United Bank Ltd		56,218
		Total Pakistan		1,101,604
		Philippines — 0.0%
	63,000	Aboitiz Power Corp		30,836
	665	Globe Telecom Inc		25,198
	14,660	Manila Electric Co		87,095
	3,694,000	Megaworld Corp		241,767
	2,145,000	Metro Pacific Investments Corp		176,309
	65,600	Puregold Price Club Inc		53,885
	15,810	Security Bank Corp		40,678
	135,050	Semirara Mining & Power Corp		37,235
		Total Philippines		693,003
		Poland — 0.4%
	20,978	Asseco Poland SA		417,107
	3,461	Budimex SA		288,125
	42,919	Cyfrowy Polsat SA		358,107
	206,350	Polski Koncern Naftowy ORLEN SA		4,485,476
	900,688	Polskie Gornictwo Naftowe i Gazownictwo SA		1,615,387
	148,146	Powszechna Kasa Oszczednosci Bank Polski SA *		1,603,110
	82,369	Powszechny Zaklad Ubezpieczen SA *		826,413
		Total Poland		9,593,725
		Portugal — 0.5%
	86,176	Altri SGPS SA		611,226
	6,713,477	Banco Comercial Portugues SA – Class R * (b)		1,306,253
	58,611	CTT-Correios de Portugal SA (b)		301,182
	20,146	EDP Renovaveis SA		478,660
	456,663	EDP – Energias de Portugal SA		2,658,326
	233,651	Galp Energia SGPS SA		2,929,921
	3,760	Jeronimo Martins SGPS SA		72,737
	46,033	Mota-Engil SGPS SA * (b)		81,682

Shares		Description	Value ($)
		Portugal — continued
	172,750	Navigator Co SA (The)		634,746
	121,398	REN – Redes Energeticas Nacionais SGPS SA		341,938
	11,271	Semapa-Sociedade de Investimento e Gestao		161,895
	598,195	Sonae SGPS SA		578,947
		Total Portugal		10,157,513
		Qatar — 0.1%
	114,022	Doha Bank QPSC		88,140
	46,534	Masraf Al Rayan QSC		56,929
	87,754	Ooredoo QPSC		166,920
	16,323	Qatar Electricity & Water Co QSC		74,469
	32,266	Qatar Gas Transport Co Ltd		27,769
	31,879	Qatar Insurance Co SAQ *		21,930
	187,330	Qatar National Bank QPSC		906,517
	45,376	Qatar National Cement Co QSC		61,868
		Total Qatar		1,404,542
		Russia — 3.4%
	2,605,080	Alrosa PJSC		4,065,071
	95,600	Credit Bank of Moscow PJSC *		8,721
	79,270	Detsky Mir PJSC		164,317
	133,000,000	Federal Grid Co Unified Energy System PJSC		396,650
	68,395	Fix Price Group Ltd GDR * (d)		557,419
	9,490	Gazprom Neft PJSC		49,140
	2,752	Gazprom Neft PJSC Sponsored ADR		70,651
	1,041,790	Gazprom PJSC		3,722,971
	935,808	Gazprom PJSC Sponsored ADR		6,643,877
	29,818	Globaltrans Investment Plc Sponsored GDR (Registered)		192,001
	33,795,601	Inter RAO UES PJSC		2,331,892
	3,503	LSR Group PJSC		35,990
	81,366	LSR Group PJSC GDR (Registered)		164,289
	51,519	LUKOIL PJSC		4,181,799
	20,435	LUKOIL PJSC Sponsored ADR		1,663,357
	4,165	M.Video PJSC		37,577
	3,470	Magnit PJSC		256,096
	23,641	Magnit PJSC Sponsored GDR (Registered)		360,214
	233,640	Magnitogorsk Iron & Steel Works PJSC		200,404
	34,180	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		380,691
	137,580	MMC Norilsk Nickel PJSC ADR		4,925,252
	924,930	Moscow Exchange MICEX-RTS PJSC		2,117,690
	10,024	Novatek PJSC Sponsered GDR (Registered)		1,995,498
	176,900	Novolipetsk Steel PJSC		636,264
	107,869	Novolipetsk Steel PJSC GDR		3,861,680
	10,741	PhosAgro PJSC GDR (Registered)		219,868
	203,210	Polymetal International Plc		4,896,942
	4,161	Polyus PJSC		901,970

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	19,932	Polyus PJSC GDR (Registered)		2,169,053
	46,900	QIWI Plc Sponsored ADR (c)		515,431
	1,352	QIWI Plc Sponsored ADR (c)		14,871
	19,230	Raspadskaya OJSC		66,813
	1,970	Ros Agro Plc GDR (Registered) (c)		25,257
	7,372	Ros Agro Plc GDR (Registered) (c)		94,461
	19,842,000	ROSSETI PJSC		380,695
	6,918,000	RusHydro PJSC		78,634
	13,580	Safmar Financial Investment *		84,885
	1,347,480	Sberbank of Russia PJSC		5,694,450
	671,265	Sberbank of Russia PJSC Sponsored ADR		11,300,003
	15,715	Severstal PJSC		376,822
	79,911	Severstal PJSC GDR (Registered)		1,838,804
	3,614,700	Surgutneftegas PJSC		1,786,894
	350,618	Surgutneftegas PJSC Sponsored ADR		1,720,080
	29,350	Tatneft PJSC Sponsored ADR		1,177,692
	9,841	TCS Group Holding Plc GDR (Registered)		736,694
	5,626,000	Unipro PJSC		221,171
	13,807	X5 Retail Group NV GDR (Registered) (c)		413,972
	25,760	X5 Retail Group NV GDR (Registered) (c)		768,402
		Total Russia		74,503,375
		Saudi Arabia — 0.0%
	8,743	Saudi Airlines Catering Co *		187,028
		Singapore — 0.6%
	243,500	Asian Pay Television Trust		20,798
	94,294	CapitaLand Ltd		260,684
	445,800	ComfortDelGro Corp Ltd		565,213
	154,335	DBS Group Holdings Ltd		3,546,094
	187,200	First Real Estate Investment Trust (b)		36,091
	1,118,100	Golden Agri-Resources Ltd		198,503
	291,940	Japfa Ltd		192,921
	52,916	Jardine Cycle & Carriage Ltd		886,272
	78,000	Lendlease Global Commercial (REIT)		45,102
	136,600	Sasseur Real Estate Investment Trust		95,005
	477,300	Sembcorp Industries Ltd		793,070
	349,500	Silverlake Axis Ltd		64,753
	343,100	Singapore Airlines Ltd * (b)		1,286,376
	700	Singapore Exchange Ltd		5,495
	142,200	StarHub Ltd		131,121
	16,500	Venture Corp Ltd		240,007
	279,300	Wilmar International Ltd		1,010,601
	3,542,799	Yangzijiang Shipbuilding Holdings Ltd		3,985,851
	338,000	Yanlord Land Group Ltd		326,775
		Total Singapore		13,690,732
		South Africa — 1.4%
	721,902	Absa Group Ltd *		7,482,973
	155	Aspen Pharmacare Holdings Ltd *		1,844
	51,597	Astral Foods Ltd		552,935
	12,719	AVI Ltd		68,705

Shares		Description	Value ($)
		South Africa — continued
	109,832	Barloworld Ltd *		950,418
	194,601	Bidvest Group Ltd (The)		2,746,045
	316,935	Blue Label Telecoms Ltd *		105,914
	9,131	Distell Group Holdings Ltd *		112,508
	28,275	Foschini Group Ltd (The) *		273,566
	110,306	Imperial Logistics Ltd		398,268
	74,376	Investec Ltd		312,958
	72,432	Kumba Iron Ore Ltd		3,227,342
	57,204	Lewis Group Ltd		142,564
	31,586	Metair Investments Ltd		52,707
	147,349	Motus Holdings Ltd		1,009,656
	34,634	Mr Price Group Ltd		581,690
	91,121	MTN Group *		670,181
	36,099	Naspers Ltd – N Shares		7,957,191
	728	Nedbank Group Ltd *		8,452
	442,216	Old Mutual Ltd		458,736
	247,397	Pepkor Holdings Ltd *		360,396
	30,943	Raubex Group Ltd		74,316
	84,355	Reunert Ltd		325,367
	1,537,916	RMB Holdings Ltd		152,762
	218,338	Sanlam Ltd		934,171
	38,433	Sappi Ltd *		119,622
	3,311	Shoprite Holdings Ltd		36,683
	839	Standard Bank Group Ltd		8,102
	444,572	Telkom SA SOC Ltd		1,569,497
	136,259	Truworths International Ltd		545,174
	90,743	Tsogo Sun Gaming Ltd *		55,290
	26,776	Wilson Bayly Holmes-Ovcon Ltd *		226,986
		Total South Africa		31,523,019
		South Korea — 3.2%
	4,988	Aekyung Petrochemical Co Ltd		54,548
	28,389	BNK Financial Group Inc		202,238
	2,167	Daihan Pharmaceutical Co Ltd		67,155
	5,533	Daou Data Corp		71,785
	6,401	DB Insurance Co Ltd		290,284
	128,851	DGB Financial Group Inc		1,090,677
	34,093	Dongwon Development Co Ltd		189,272
	25	DoubleUGames Co Ltd		1,515
	2,633	E-MART Inc		368,331
	7,088	GS Home Shopping Inc		950,424
	6,371	GS Retail Co Ltd		212,606
	217,695	Hana Financial Group Inc		8,886,789
	34,655	Hankook Tire & Technology Co Ltd		1,500,050
	7,201	Hanwha Corp		204,946
	122,543	Hanwha Life Insurance Co Ltd		429,890
	8,378	Hanyang Eng Co Ltd		139,684
	1,710	HDC Hyundai Development Co-Engineering & Construction		44,835
	6,354	Huons Co Ltd		357,633
	9,888	Hyundai Home Shopping Network Corp		838,840
	10,497	Hyundai Marine & Fire Insurance Co Ltd		231,051

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	4,793	Hyundai Mobis Co Ltd		1,194,646
	2,160	Hyundai Motor Co GDR (Registered) *		107,692
	50	INTOPS Co Ltd		1,340
	32,695	JB Financial Group Co Ltd		226,236
	43,187	KB Financial Group Inc		2,212,719
	3,600	KB Financial Group Inc ADR		185,364
	4,602	KC Co Ltd		111,351
	133,135	Kia Corp		10,071,503
	3,310	Korea Asset In Trust Co Ltd		14,832
	7,476	Korea Gas Corp *		222,260
	5,306	KT Skylife Co Ltd		46,300
	99,585	KT&G Corp		7,473,436
	841	Kumho Petrochemical Co Ltd		175,755
	33,545	LF Corp		605,361
	60,263	LG Electronics Inc		8,186,187
	752	LG Uplus Corp		10,037
	6,389	Lotte Corp		219,904
	502	LOTTE Fine Chemical Co Ltd		29,928
	15,026	LOTTE Himart Co Ltd		525,236
	21,590	Mirae Asset Life Insurance Co Ltd		78,918
	5	NCSoft Corp		3,821
	186	Ottogi Corp		90,332
	20,033	Samjin Pharmaceutical Co Ltd		455,927
	5,270	Samsung Card Co Ltd		157,216
	58	Samsung Electro-Mechanics Co Ltd		8,738
	125,120	Samsung Electronics Co Ltd		8,981,144
	249	Samsung Electronics Co Ltd GDR (Registered)		449,922
	123,136	Shinhan Financial Group Co Ltd		4,672,017
	1,628	Silicon Works Co Ltd		155,721
	445	SK Telecom Co Ltd		126,934
	60,900	SK Telecom Co Ltd Sponsored ADR		1,951,236
	14,349	SL Corp		400,760
	207	SNT Motiv Co Ltd		11,949
	1,014	Spigen Korea Co Ltd		51,155
	9,409	Woori Financial Capital Co Ltd		98,253
	5,657	Woori Financial Group Inc		55,990
	66,441	Yuhan Corp		3,806,600
		Total South Korea		69,309,273
		Spain — 1.3%
	20,111	Acerinox SA(b)		286,549
	74,550	ACS Actividades de Construccion y Servicios SA		2,297,874
	25,499	Amadeus IT Group SA * (a)		1,924,061
	41,700	Atresmedia Corp de Medios de Comunicacion SA * (a)		204,225
	793,340	Banco Bilbao Vizcaya Argentaria SA *		4,955,051
	1,442,492	Banco de Sabadell SA *		1,109,749
	1,922,732	Banco Santander SA *		8,097,971
	164,910	Bankinter SA		941,644
	96,556	CaixaBank SA		334,750

Shares		Description	Value ($)
		Spain — continued
	33,475	Cia de Distribucion Integral Logista Holdings SA		731,949
	9,993	Ebro Foods SA		211,976
	10,080	eDreams ODIGEO SA * (a)		64,851
	9,086	Enagas SA		213,421
	27,977	Gestamp Automocion SA *		152,281
	10,145	Grupo Catalana Occidente SA		428,113
	70,488	Iberdrola SA		971,606
	54,980	Industria de Diseno Textil SA		2,136,817
	293,102	Liberbank SA		118,402
	94,671	Linea Directa Aseguradora SA Cia de Seguros y Reaseguros *		184,714
	184,330	Mapfre SA (b)		422,409
	102,169	Mediaset Espana Comunicacion SA * (a)		716,604
	63,870	Red Electrica Corp SA		1,278,844
	9,318	Repsol SA		124,658
	570,419	Unicaja Banco SA		640,864
	4	Viscofan SA		282
		Total Spain		28,549,665
		Sweden — 0.1%
	18,669	Betsson AB *		8,251
	15,453	Betsson AB – Class B * (a)		137,523
	1,725	Bufab AB		50,327
	7,410	Humana AB *		66,283
	1,305	Instalco Intressenter AB		51,829
	31,086	Inwido AB		558,901
	1,701	KNOW IT AB (a)		61,687
	7,264	Nobina AB *		72,994
	163,050	Nordea Bank Abp		1,771,292
	4,765	Volvo AB – A Shares (b)		129,155
		Total Sweden		2,908,242
		Switzerland — 0.5%
	52,332	Adecco Group AG (Registered)		3,621,935
	606	ALSO Holding AG (Registered) *		179,438
	3,462	BKW AG		385,202
	1,108	Bobst Group SA (Registered) *		78,624
	78,852	Credit Suisse Group AG (Registered)		861,591
	1,058	Huber + Suhner AG (Registered)		84,698
	433	Kardex Holding AG (Registered)		97,198
	2,853	Mobilezone Holding AG (Registered)		36,137
	16,749	Novartis AG (Registered)		1,479,618
	105	Roche Holding AG		39,629
	9,850	Roche Holding AG - Genusschein		3,448,007
	37	Swisscom AG (Registered)		20,902
	5,987	UBS Group AG (Registered)		97,566
	518	Vetropack Holding AG (Registered)		32,751
	2,124	Zehnder Group AG – Class RG		199,827
		Total Switzerland		10,663,123

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Taiwan — 5.0%
	19,000	Accton Technology Corp		200,932
	5,207	Acter Group Corp Ltd		35,292
	4,000	Airtac International Group		144,812
	19,000	Alchip Technologies Ltd		362,295
	31,333	Amazing Microelectronic Corp		145,418
	16,000	Arcadyan Technology Corp		54,611
	739,035	Asustek Computer Inc		10,417,847
	19,000	Aten International Co Ltd		57,012
	8,400	Aurora Corp		27,677
	742,000	Catcher Technology Co Ltd		4,885,227
	1,341,399	Cathay Financial Holding Co Ltd		2,680,773
	185,430	Chailease Holding Co Ltd		1,400,514
	199,000	Chicony Electronics Co Ltd		554,645
	629,000	China Development Financial Holding Corp		278,538
	174,000	China Life Insurance Co Ltd		154,546
	106,000	China Motor Corp *		259,136
	10,000	Chipbond Technology Corp		24,524
	29,000	Chong Hong Construction Co Ltd		82,612
	616,000	Coretronic Corp		1,279,846
	1,618,000	CTBC Financial Holding Co Ltd		1,340,278
	66,000	Delta Electronics Inc		692,495
	1,000	Eclat Textile Co Ltd		23,392
	82,000	Elan Microelectronics Corp		619,157
	123,000	Elite Material Co Ltd		702,069
	91,000	Farglory Land Development Co Ltd		180,322
	413,000	FLEXium Interconnect Inc *		1,717,662
	255,000	Foxconn Technology Co Ltd		592,396
	1,922,000	Fubon Financial Holding Co Ltd		4,986,139
	19,000	Fusheng Precision Co Ltd		151,297
	17,000	Getac Technology Corp		31,845
	502,000	Gigabyte Technology Co Ltd		1,949,485
	1,783,000	Grand Pacific Petrochemical *		1,680,752
	136,000	Highwealth Construction Corp		209,007
	22,000	Holiday Entertainment Co Ltd		49,251
	4,961,318	Hon Hai Precision Industry Co Ltd		19,823,719
	78,000	Huaku Development Co Ltd		262,393
	70,820	IEI Integration Corp		128,646
	32,721	Innodisk Corp		201,591
	63,000	International Games System Co Ltd		2,114,235
	247,000	Lite-On Technology Corp		585,020
	9,000	Lotes Co Ltd		191,776
	21,273	Makalot Industrial Co Ltd		217,810
	51,000	Merry Electronics Co Ltd		196,765
	145,000	Micro-Star International Co Ltd		867,126
	530,817	Mitac Holdings Corp		539,653
	8,000	Nan Liu Enterprise Co Ltd		47,604
	37,000	Nantex Industry Co Ltd		174,568
	26,000	Nichidenbo Corp		49,499
	15,000	Nien Made Enterprise Co Ltd		220,386
	292,000	Novatek Microelectronics Corp		5,302,909
	48,000	Pegatron Corp		126,631

Shares		Description	Value ($)
		Taiwan — continued
	21,000	Phison Electronics Corp		352,816
	2,853,000	Pou Chen Corp		3,932,361
	485,000	Qisda Corp		525,606
	250,000	Quanta Computer Inc		792,444
	1,261,000	Radiant Opto-Electronics Corp		5,355,730
	1,000	Realtek Semiconductor Corp		17,896
	441,000	Ruentex Development Co Ltd		831,829
	72,000	Sampo Corp		76,500
	87,000	Shinkong Insurance Co Ltd		124,816
	44,900	Simplo Technology Co Ltd		590,163
	25,945	Sinmag Equipment Corp		98,134
	19,000	Soft-World International Corp		72,593
	17,000	Standard Foods Corp		32,227
	106,500	Syncmold Enterprise Corp		320,300
	270,000	Taiwan Cement Corp		492,574
	141,000	Taiwan PCB Techvest Co Ltd		242,970
	67,000	Taiwan Sakura Corp		157,879
	1,039,000	Taiwan Semiconductor Manufacturing Co Ltd		22,060,228
	6,685	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		784,552
	7,000	TCI Co Ltd		61,506
	70,000	Teco Electric and Machinery Co Ltd		83,169
	23,000	Test Research Inc		47,358
	175,681	TOPBI International Holdings Ltd		92,197
	27,000	Topco Scientific Co Ltd		127,372
	40,000	Transcend Information Inc		102,570
	102,000	Tripod Technology Corp		464,659
	68,624	United Integrated Services Co Ltd		575,288
	973,000	United Microelectronics Corp		1,828,628
	84,000	Universal Inc		278,328
	15,000	Vanguard International Semiconductor Corp		63,188
	53,000	Wistron Corp		58,364
	6,000	Yulon Nissan Motor Co Ltd		57,343
	33,000	Zeng Hsing Industrial Co Ltd		195,946
		Total Taiwan		109,919,669
		Thailand — 0.2%
	1,351,700	AP Thailand Pcl NVDR		371,897
	56,800	Bangkok Bank Pcl NVDR		208,060
	53,000	Kasikornbank Pcl (Foreign Registered)		203,490
	139,300	Kasikornbank Pcl NVDR		532,425
	101,100	Land & Houses Pcl NVDR		25,875
	193,900	Origin Property Pcl NVDR		57,024
	167,600	Pruksa Holding Pcl NVDR		73,453
	306,900	PTG Energy Pcl NVDR		187,427
	909,500	Quality Houses Pcl NVDR		66,925
	23,800	Siam Cement Pcl NVDR (The)		336,593
	259,600	Siam Commercial Bank Pcl NVDR (The)		846,644
	141,300	Somboon Advance Technology Pcl NVDR		93,865
	78,600	SPCG Pcl NVDR		49,287

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	74,250	Supalai Pcl (Foreign Registered)		50,089
	305,075	Supalai Pcl NVDR		205,803
	846,500	Thai Beverage Pcl		444,497
	20,700	Thai Vegetable Oil Pcl NVDR		22,193
	1,349,800	TMBThanachart Bank Pcl NVDR		48,342
	176,500	Total Access Communication Pcl NVDR		174,959
	106,000	TTW Pcl NVDR		39,692
		Total Thailand		4,038,540
		Turkey — 0.6%
	84,935	Akbank TAS		52,061
	404,011	Aksa Akrilik Kimya Sanayii AS		769,990
	453	Alarko Gayrimenkul Yatirim Ortakligi AS (REIT)		1,168
	670,474	Arcelik AS		2,501,059
	19	Aselsan Elektronik Sanayi Ve Ticaret AS		33
	5,591	BIM Birlesik Magazalar AS		41,956
	3,406,703	Dogan Sirketler Grubu Holding AS		1,168,504
	81,284	Dogus Otomotiv Servis ve Ticaret AS		249,788
	311,510	Enerjisa Enerji AS		391,303
	1,618,204	Eregli Demir ve Celik Fabrikalari TAS		3,636,070
	213,940	Haci Omer Sabanci Holding AS		215,505
	62,470	Koza Altin Isletmeleri AS *		873,854
	2,384	Ozak Gayrimenkul Yatirim Ortakligi (REIT) *		1,143
	288,243	Selcuk Ecza Deposu Ticaret ve Sanayi AS		298,234
	137,651	Turk Hava Yollari AO *		208,266
	103,474	Turkcell Iletisim Hizmetleri AS		190,738
	142,476	Turkiye Garanti Bankasi AS		132,810
	4,354,711	Turkiye Is Bankasi AS – Class C		2,591,199
	1,628	Vestel Beyaz Esya Sanayi ve Ticaret AS		9,642
	1,478,526	Yapi ve Kredi Bankasi AS		373,308
		Total Turkey		13,706,631
		United Arab Emirates — 0.1%
	31,478	Abu Dhabi Islamic Bank PJSC		48,531
	98,439	Aldar Properties PJSC		99,397
	170,272	Dubai Islamic Bank PJSC		223,920
	260,549	Emaar Malls PJSC *		140,333
	1,162,007	Emaar Properties PJSC		1,279,633
	14,015	Emirates NBD Bank PJSC		51,523
	102,342	First Abu Dhabi Bank PJSC		462,046
		Total United Arab Emirates		2,305,383
		United Kingdom — 4.1%
	57,556	3i Group Plc		1,012,788
	45,473	888 Holdings Plc (a)		258,236
	16,584	Aggreko Plc		202,329
	63,325	Airtel Africa Plc		70,565
	17,578	Anglo American Plc		780,344
	741	Antofagasta Plc		16,223

Shares		Description	Value ($)
		United Kingdom — continued
	281,011	Aviva Plc		1,637,573
	10,545	Bank of Georgia Group Plc *		196,165
	12,500	Barclays Plc Sponsored ADR		132,250
	402,988	Barratt Developments Plc		4,313,116
	31,235	Bellway Plc		1,584,395
	85,036	Berkeley Group Holdings Plc (The)		5,635,943
	34,600	BP Plc Sponsored ADR		907,558
	47,132	British American Tobacco Plc		1,815,301
	58,800	British American Tobacco Plc Sponsored ADR		2,273,796
	1,800,907	BT Group Plc *		4,457,794
	535	Bunzl Plc		17,329
	30,246	Central Asia Metals Plc		116,508
	11,654	CMC Markets Plc		80,986
	77,790	Coca-Cola HBC AG *		2,830,722
	124,997	Compass Group Plc * (a)		2,849,367
	17,757	Computacenter Plc (a)		675,726
	6,278	Daily Mail & General Trust Plc – Class A (a)		79,432
	47,148	Diversified Energy Co Plc		69,966
	5,541	Dunelm Group Plc		115,238
	21,394	Electrocomponents Plc		300,037
	4,137	EMIS Group Plc (a)		69,591
	60,835	Evraz Plc		549,346
	26,778	Ferguson Plc		3,636,722
	299,767	Ferrexpo Plc		1,904,082
	53,157	Frasers Group Plc *		435,864
	11,710	Galliford Try Holdings Plc		20,863
	11,100	GlaxoSmithKline Plc Sponsored ADR		430,347
	16,392	Go-Ahead Group Plc (The) *		287,732
	4,655	Grafton Group Plc		77,502
	66,636	Halfords Group Plc *		359,852
	93,668	IG Group Holdings Plc		1,137,672
	18,917	IMI Plc		445,445
	72	Inchcape Plc		798
	127,082	Indivior Plc *		281,669
	32,655	International Personal Finance Plc *		61,188
	76,612	Investec Plc		337,010
	595,396	ITV Plc * (a)		1,082,017
	215,073	J Sainsbury Plc		809,609
	77,832	JD Sports Fashion Plc *		1,041,827
	16,687	John Laing Group Plc		95,101
	18,655	Jupiter Fund Management Plc		73,497
	111,133	Just Group Plc *		173,643
	4,789	Keller Group Plc		56,663
	1,202,931	Kingfisher Plc *		6,104,934
	646,084	Legal & General Group Plc		2,604,693
	1,499,526	M&G Plc		5,185,637
	474,019	Micro Focus International Plc (a)		3,488,253
	6,023	Mitchells & Butlers Plc * (a)		26,037
	21,454	Morgan Advanced Materials Plc		101,382
	14,808	Morgan Sindall Group Plc		469,092
	18,045	National Express Group Plc *		77,218

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	61,622	National Grid Plc		822,528
	6,870	Next Plc *		793,365
	12,349	Numis Corp Plc		65,360
	67,265	OSB Group Plc		446,537
	69,279	Paragon Banking Group Plc		477,966
	143,744	Persimmon Plc		6,427,121
	55,933	Pets at Home Group Plc		355,458
	83,904	Phoenix Group Holdings Plc		875,842
	54,432	Playtech Plc * (a)		355,077
	84,557	Plus500 Ltd		1,810,294
	216,530	Premier Foods Plc *		325,548
	61,058	QinetiQ Group Plc		307,690
	640	Redde Northgate Plc		3,491
	21,142	Royal Dutch Shell Plc – A Shares		408,495
	164,971	Royal Dutch Shell Plc – B Shares		2,999,377
	250,376	Royal Mail Plc *		2,053,179
	13,842	Smiths Group Plc		303,567
	50,729	Spirent Communications Plc		179,296
	55,061	Stock Spirits Group Plc		209,050
	255,120	Tate & Lyle Plc		2,771,312
	582,226	Taylor Wimpey Plc		1,411,575
	12,980	Vesuvius Plc		103,521
	16,769	Vistry Group Plc		314,454
	193,343	WPP Plc (a)		2,670,762
		Total United Kingdom		90,345,838
		United States — 13.0%
	18,700	Aflac, Inc.		1,059,916
	6,900	Akamai Technologies, Inc. * (a)		788,049
	19,000	Alexion Pharmaceuticals, Inc. *		3,354,450
	30,000	Alliance Data Systems Corp. (a)		3,631,500
	50,700	Ally Financial, Inc.		2,773,797
	17,162	American Express Co.		2,748,151
	6,700	Anthem, Inc. (a)		2,668,074
	30,200	Arrow Electronics, Inc. *		3,633,966
	95,400	AT&T, Inc.		2,807,622
	58,200	Athene Holding Ltd. – Class A *		3,645,066
	34,500	Bed Bath & Beyond, Inc. *		965,655
	10,200	Best Buy Co., Inc.		1,185,648
	1,600	Bio-Rad Laboratories, Inc. – Class A *		963,792
	9,700	Biogen, Inc. *		2,594,556
	800	Booking Holdings, Inc. * (a)		1,889,240
	9,100	Booz Allen Hamilton Holding Corp.		772,863
	98,400	BorgWarner, Inc.		5,046,936
	23,700	Capital One Financial Corp.		3,810,486
	4,500	Capri Holdings Ltd. *		255,195
	66,900	Carrier Global Corp.		3,072,717
	42,000	CBRE Group, Inc. – Class A *		3,686,760
	40,100	Centene Corp. * (a)		2,951,360
	7,600	CenterPoint Energy, Inc.		192,280
	29,035	Charles Schwab Corp. (The)		2,144,235
	16,200	Chevron Corp.		1,681,398

Shares		Description	Value ($)
		United States — continued
	14,000	Cigna Corp. (a)		3,623,900
	11,600	Cisco Systems, Inc.		613,640
	50,200	Citigroup, Inc.		3,951,242
	52,600	Citizens Financial Group, Inc.		2,624,740
	32,615	Coca-Cola Co. (The)		1,803,283
	33,400	Cognizant Technology Solutions Corp. – Class A (a)		2,390,104
	59,600	Comcast Corp. – Class A (a)		3,417,464
	16,900	Consolidated Edison, Inc.		1,305,356
	73,000	Corteva, Inc.		3,321,500
	12,300	Coty Inc. – Class A *		109,593
	41,100	CVS Health Corp. (a)		3,552,684
	10,500	Discover Financial Services		1,231,230
	79,800	DISH Network Corp. – Class A * (a)		3,472,896
	37,000	DR Horton, Inc.		3,525,730
	16,800	Dropbox, Inc. – Class A * (a)		459,480
	34,700	eBay, Inc.		2,112,536
	35,457	EOG Resources, Inc.		2,848,615
	63,600	Exelon Corp.		2,869,632
	300	Exxon Mobil Corp.		17,511
	11,500	Facebook, Inc. – Class A * (a)		3,780,395
	12,700	Fidelity National Financial, Inc.		596,773
	9,600	FleetCor Technologies, Inc. * (a)		2,634,624
	270,200	Ford Motor Co. *		3,926,006
	3,800	Fortune Brands Home & Security, Inc.		392,008
	39,900	Fox Corp. – Class A (a)		1,490,265
	73,200	Fox Corp. – Class B (a)		2,655,696
	11,000	Franklin Resources, Inc.		376,310
	59,200	General Motors Co. *		3,511,152
	40,800	Gilead Sciences, Inc.		2,697,288
	8,318	Global Payments, Inc. (a)		1,611,280
	10,400	Goldman Sachs Group, Inc. (The)		3,869,008
	16,200	Hasbro, Inc.		1,554,714
	15,228	Hilton Worldwide Holdings, Inc. * (a)		1,907,612
	98,800	HP, Inc.		2,887,924
	5,100	IAC/InterActiveCorp * (a)		813,297
	56,400	Intel Corp.		3,221,568
	25,800	International Business Machines Corp. (a)		3,708,492
	126,300	Invesco Ltd.		3,603,339
	16,400	Jazz Pharmaceuticals Plc *		2,921,332
	202,900	Kinder Morgan, Inc.		3,721,186
	56,400	Kohl’s Corp.		3,129,636
	66,200	Kraft Heinz Co. (The)		2,885,658
	75,900	Kroger Co. (The)		2,806,782
	10,500	Laboratory Corp. of America Holdings * (a)		2,882,040
	26,784	Las Vegas Sands Corp. * (a)		1,546,776
	1,900	Lear Corp.		367,384
	22,300	Leidos Holdings, Inc.		2,291,325
	34,200	Lennar Corp. – Class A		3,386,142
	53,500	Lincoln National Corp.		3,733,765
	40,300	LKQ Corp. *		2,053,688
	258,700	Lumen Technologies, Inc.		3,580,408

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	46,000	Lyft, Inc. – Class A *		2,626,140
	32,800	LyondellBasell Industries NV – Class A		3,693,936
	1,598	Markel Corp. *		1,958,333
	8,600	Masco Corp.		518,666
	37,400	Medical Properties Trust, Inc. (REIT)		791,758
	21,000	Merck & Co., Inc.		1,593,690
	55,400	MetLife, Inc.		3,620,944
	37,700	Micron Technology, Inc. *		3,172,078
	8,200	Mohawk Industries, Inc. *		1,727,576
	62,000	Molson Coors Brewing Co. – Class B *		3,615,840
	70	NVR, Inc. *		342,106
	4,300	Omnicom Group, Inc. (a)		353,632
	43,400	Oracle Corp. (a)		3,417,316
	9,300	PACCAR, Inc.		851,508
	200	Phillips 66		16,844
	87,200	PPL Corp.		2,538,392
	10,700	Principal Financial Group, Inc.		699,673
	4,700	Progressive Corp. (The)		465,676
	35,000	Prudential Financial, Inc.		3,743,950
	50,700	PulteGroup, Inc.		2,929,953
	18,300	Quest Diagnostics, Inc. (a)		2,409,561
	199,600	Qurate Retail, Inc. – Series A		2,720,548
	22,765	Raytheon Technologies Corp.		2,019,483
	5,500	Regeneron Pharmaceuticals, Inc. *		2,763,365
	3,500	Resolute Forest Products Inc *		59,017
	46,360	Sensata Technologies Holding Plc *		2,755,175
	3,200	Snap-on, Inc.		814,784
	36,700	SS&C Technologies Holdings, Inc. (a)		2,711,029
	79,000	Synchrony Financial		3,745,390
	1,900	Synopsys, Inc. * (a)		483,246
	37,600	Textron, Inc.		2,574,472
	37,000	Tyson Foods, Inc. – Class A		2,941,500
	6,600	United Rentals, Inc. *		2,204,136
	22,800	Universal Health Services, Inc. – Class B (a)		3,639,564
	54,609	US Bancorp		3,319,135
	46,400	Verizon Communications, Inc.		2,621,136
	50,908	Verso Corp. – Class A		865,945
	25,249	VF Corp.		2,012,850
	65,600	ViacomCBS, Inc. – Class B (a)		2,782,752
	179,600	Viatris, Inc.		2,737,104
	41,000	VICI Properties, Inc. (REIT)		1,276,330
	8,280	Vimeo, Inc. * (a)		347,754
	16,700	VMware, Inc. – Class A * (a)		2,636,763
	58,800	Walgreens Boots Alliance, Inc.		3,096,408
	49,856	Wells Fargo & Co.		2,329,272
	109,500	Western Union Co. (The) (a)		2,679,465
	47,200	Western Digital Corp. *		3,550,856
	10,000	Whirlpool Corp.		2,370,900
	6,400	WP Carey, Inc. (REIT)		482,880
		Total United States		285,747,552

Shares		Description	Value ($)
		Vietnam — 0.1%
	346,140	Hoa Phat Group JSC		1,007,414
	22,600	PetroVietnam Gas JSC		80,378
	154,100	PetroVietnam Technical Services Corp		157,304
	52,800	Vietnam Dairy Products JSC		208,610
	20,800	Vinh Hoan Corp		36,243
		Total Vietnam		1,489,949
		TOTAL COMMON STOCKS (COST $1,376,993,637)		1,667,832,535
		PREFERRED STOCKS (f) — 1.3%
		Brazil — 0.5%
	695,000	Banco Bradesco SA		3,539,210
	200,521	Bradespar SA		2,690,183
	8,600	Cia de Transmissao de Energia Eletrica Paulista		43,481
	59,000	Cia Paranaense de Energia – Class B		73,245
	1,200	Gerdau SA		7,518
	116,300	Gerdau SA Sponsored ADR		726,875
	18,600	Itau Unibanco Holding SA		105,746
	333,700	Itau Unibanco Holding SA Sponsored ADR		1,902,090
	134,000	Petroleo Brasileiro SA		693,950
		Total Brazil		9,782,298
		Chile — 0.0%
	94,914	Embotelladora Andina SA		225,986
		Colombia — 0.0%
	409,827	Grupo Aval Acciones y Valores SA		117,820
		Germany — 0.2%
	33,577	Bayerische Motoren Werke AG		3,062,838
	997	Draegerwerk AG & Co KGaA (a)		92,600
	1,321	Jungheinrich AG		68,357
	1,243	Sixt SE		115,680
	1,897	Villeroy & Boch AG		39,110
	4,820	Volkswagen AG		1,326,940
		Total Germany		4,705,525
		Russia — 0.3%
	30,990	Bashneft PJSC		489,453
	56,000	Nizhnekamskneftekhim PJSC		58,493
	7,837,100	Surgutneftegas PJSC		4,956,949
	79	Transneft PJSC		152,731
		Total Russia		5,657,626
		South Korea — 0.3%
	14,562	Hyundai Motor Co Ltd Prf		1,432,788
	8,563	Hyundai Motor Co Ltd-2nd Prf		838,637
	8,583	LG Electronics Inc		550,770
	70,397	Samsung Electronics Co Ltd		4,554,372

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares / Par Value†		Description	Value ($)
		South Korea — continued
	59	Samsung Electronics Co Ltd GDR (Registered)		96,059
		Total South Korea		7,472,626
		Taiwan — 0.0%
	13,589	Chailease Holding Co Ltd *		48,501
	20,463	CTBC Financial Holding Co Ltd		46,614
		Total Taiwan		95,115
		TOTAL PREFERRED STOCKS (COST $21,604,103)		28,056,996
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	717,079	Singapore Airlines Ltd, Expires 06/16/21 * (e)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		INVESTMENT FUNDS — 0.1%
		United States — 0.1%
	42,682	iShares Core MSCI Emerging Markets ETF		2,844,755
		TOTAL INVESTMENT FUNDS (COST $2,782,446)		2,844,755
		DEBT OBLIGATIONS — 8.0%
		United States — 8.0%
		Asset-Backed Securities — 0.1%
	67,364	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.93%, due 07/26/31		67,359
	142,626	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.09%, due 10/25/37		142,528
	46,732	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 0.88%, due 07/15/31		46,732
	2,571,735	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		3
	142,667	Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 0.98%, due 10/25/31		142,234
	159,445	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.36%, due 06/25/37		158,684
	173,600	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.94%, due 04/17/28		173,587

Par Value† / Shares			Description	Value ($)
			United States — continued
			Asset-Backed Securities — continued
	112,938		Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.94%, due 01/17/30		112,599
			Total Asset-Backed Securities		843,726
			U.S. Government — 7.9%
	32,000,000		U.S. Treasury Note, 0.13%, due 10/31/22 (a)		32,008,750
	62,000,000		U.S. Treasury Note, 0.13%, due 11/30/22 (a)		62,016,954
	25,000,000		U.S. Treasury Note, 0.13%, due 12/31/22 (a)		25,003,906
	25,000,000		U.S. Treasury Note, 0.13%, due 01/31/23		25,000,000
	30,000,000		U.S. Treasury Note, 0.13%, due 02/28/23		29,998,828
			Total U.S. Government		174,028,438
			Total United States		174,872,164
			TOTAL DEBT OBLIGATIONS (COST $176,075,795)		174,872,164
			MUTUAL FUNDS — 15.5%
			United States — 15.5%
			Affiliated Issuers — 15.5%
	2,669,773		GMO Emerging Country Debt Fund, Class IV		70,188,330
	2,017,648		GMO Emerging Markets Fund, Class VI		77,114,506
	4,115,336		GMO Opportunistic Income Fund, Class VI		106,751,817
	2,290,074		GMO SGM Major Markets Fund, Class VI		72,915,968
	2,869,494		GMO U.S. Treasury Fund (g)		14,462,248
			TOTAL MUTUAL FUNDS (COST $329,478,003)		341,432,869
			SHORT-TERM INVESTMENTS — 0.2%
			Money Market Funds — 0.2%
	3,782,697		State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (h)		3,782,697
			TOTAL SHORT-TERM INVESTMENTS (COST $3,782,697)		3,782,697
			TOTAL INVESTMENTS — 101.1% (Cost $1,910,716,681)		2,218,822,016
			SECURITIES SOLD SHORT — (20.3)%
			Common Stocks — (20.2)%
			Australia — (0.6)%
	(34,512	)	Afterpay Ltd *		(2,492,496	)
	(423,385	)	APA Group		(3,009,663	)
	(24,164	)	ASX Ltd		(1,424,623	)
	(8,779	)	Cochlear Ltd		(1,525,171	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Australia — continued
	(5,352	)	Ramsay Health Care Ltd		(261,710	)
	(567,763	)	Sydney Airport *		(2,592,212	)
	(169,910	)	Transurban Group		(1,822,768	)
			Total Australia		(13,128,643	)
			Austria — (0.1)%
	(33,274	)	Verbund AG		(3,079,027	)
			Belgium — (0.0)%
	(6,274	)	Galapagos NV *		(478,829	)
			Denmark — (0.1)%
	(36,876	)	Ambu A/S – Class B		(1,407,532	)
			France — (0.8)%
	(30,805	)	Accor SA *		(1,226,767	)
	(14,374	)	Aeroports de Paris *		(1,953,060	)
	(2,828	)	Eurazeo SE		(250,196	)
	(199,870	)	Getlink SE		(3,152,152	)
	(2,727	)	Hermes International		(3,799,372	)
	(3,672	)	Sartorius Stedim Biotech		(1,591,687	)
	(32,139	)	Ubisoft Entertainment SA *		(2,337,664	)
	(28,873	)	Vivendi SE		(1,051,540	)
	(12,086	)	Wendel SE		(1,690,355	)
	(4,831	)	Worldline SA *		(464,231	)
			Total France		(17,517,024	)
			Germany — (1.0)%
	(20,152	)	Delivery Hero SE *		(2,726,266	)
	(1,662	)	Deutsche Boerse AG		(271,760	)
	(3,313	)	MTU Aero Engines AG		(860,652	)
	(30,532	)	Puma SE		(3,489,629	)
	(34,601	)	QIAGEN NV *		(1,715,568	)
	(56,878	)	RWE AG		(2,161,361	)
	(24,929	)	Scout24 AG		(2,028,571	)
	(6,434	)	TeamViewer AG *		(252,275	)
	(568,253	)	Telefonica Deutschland Holding AG		(1,563,826	)
	(77,751	)	Uniper SE		(2,855,269	)
	(28,925	)	Zalando SE *		(3,089,537	)
			Total Germany		(21,014,714	)
			Israel — (0.2)%
	(6,800	)	CyberArk Software Ltd *		(860,472	)
	(9,600	)	Wix.com Ltd *		(2,494,656	)
			Total Israel		(3,355,128	)
			Italy — (0.5)%
	(24,965	)	Amplifon SPA		(1,172,967	)
	(71,818	)	Atlantia SPA *		(1,369,203	)
	(15,114	)	Ferrari NV		(3,186,916	)
	(209,851	)	FinecoBank Banca Fineco SPA *		(3,494,332	)

Shares			Description	Value ($)
			Italy — continued
	(59,492	)	Infrastrutture Wireless Italiane SPA		(666,274	)
			Total Italy		(9,889,692	)
			Japan — (2.4)%
	(170,300	)	Acom Co Ltd		(776,371	)
	(95,300	)	Asahi Intecc Co Ltd		(2,369,160	)
	(502,400	)	ENEOS Holdings Inc		(2,074,842	)
	(2,300	)	Fast Retailing Co Ltd		(1,870,062	)
	(22,600	)	GMO Payment Gateway Inc		(2,703,121	)
	(103,500	)	Hitachi Metals Ltd *		(1,993,142	)
	(6,000	)	Ibiden Co Ltd		(276,999	)
	(103,300	)	Idemitsu Kosan Co Ltd		(2,451,935	)
	(183,900	)	Isetan Mitsukoshi Holdings Ltd		(1,327,093	)
	(32,600	)	Japan Airport Terminal Co Ltd *		(1,487,344	)
	(58,600	)	Japan Exchange Group Inc		(1,366,020	)
	(548	)	Japan Real Estate Investment Corp		(3,322,107	)
	(120,300	)	JGC Holding Corp		(1,154,394	)
	(120,400	)	Keikyu Corp		(1,576,884	)
	(5,200	)	Keio Corp		(330,192	)
	(15,000	)	Kintetsu Group Holdings Co Ltd *		(531,316	)
	(125,800	)	Kyushu Electric Power Co Inc		(1,026,873	)
	(15,400	)	Lasertec Corp		(2,712,872	)
	(31,200	)	Lion Corp		(549,563	)
	(95,600	)	LIXIL Corp		(2,592,324	)
	(39,100	)	M3 Inc		(2,626,591	)
	(10,400	)	McDonald’s Holdings Co Japan Ltd		(466,293	)
	(34,000	)	Mercari Inc *		(1,611,865	)
	(15,200	)	Mitsubishi Materials Corp		(324,779	)
	(114,500	)	MonotaRO Co Ltd		(2,667,621	)
	(3,800	)	Nidec Corp		(435,737	)
	(101,100	)	Nihon M&A Center Inc		(2,459,817	)
	(140,400	)	Nippon Paint Holdings Co Ltd		(2,044,001	)
	(20,100	)	Nissin Foods Holdings Co Ltd		(1,457,422	)
	(69,400	)	Odakyu Electric Railway Co Ltd		(1,824,328	)
	(17,400	)	ORIENTAL LAND CO LTD		(2,575,832	)
	(9,400	)	Shiseido Co Ltd		(679,269	)
	(3,900	)	Unicharm Corp		(154,846	)
	(20,600	)	Yaskawa Electric Corp		(976,000	)
			Total Japan		(52,797,015	)
			Netherlands — (0.3)%
	(1,572	)	Adyen NV *		(3,638,335	)
	(7,223	)	Heineken Holding NV		(731,189	)
	(26,385	)	Just Eat Takeaway.com NV *		(2,384,287	)
			Total Netherlands		(6,753,811	)
			Norway — (0.0)%
	(7,971	)	Schibsted ASA – A Shares		(388,509	)
	(8,129	)	Schibsted ASA – B Shares		(336,403	)
			Total Norway		(724,912	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Russia — (0.0)%
	(25,397	)	Magnit PJSC Sponsored GDR (Registered)		(386,969	)
			Singapore — (0.2)%
	(439,400	)	Singapore Exchange Ltd		(3,449,069	)
			Spain — (0.5)%
	(61,377	)	Cellnex Telecom SA		(3,723,480	)
	(25,574	)	Endesa SA		(737,330	)
	(121,006	)	Ferrovial SA		(3,535,138	)
	(76,257	)	Siemens Gamesa Renewable Energy SA		(2,520,422	)
			Total Spain		(10,516,370	)
			Sweden — (0.2)%
	(20,561	)	Evolution AB		(3,836,891	)
			Switzerland — (0.3)%
	(30	)	Chocoladefabriken Lindt & Spruengli AG		(282,955	)
	(2	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(200,244	)
	(1,914	)	Partners Group Holding AG		(2,888,906	)
	(2,364	)	Straumann Holding AG (Registered)		(3,700,582	)
	(37	)	Swatch Group AG (The)		(13,393	)
			Total Switzerland		(7,086,080	)
			United Kingdom — (1.4)%
	(50,109	)	Admiral Group Plc		(2,086,522	)
	(81,421	)	Antofagasta Plc		(1,782,561	)
	(418,263	)	Auto Trader Group Plc *		(3,328,300	)
	(683,938	)	ConvaTec Group Plc		(2,303,622	)
	(155,870	)	Entain Plc *		(3,644,499	)
	(1,367	)	Experian Plc		(52,375	)
	(36,885	)	Halma Plc		(1,361,476	)
	(151,038	)	Hargreaves Lansdown Plc		(3,539,297	)
	(447,624	)	Informa Plc *		(3,445,950	)
	(153,722	)	Land Securities Group Plc (REIT)		(1,530,165	)
	(27,190	)	London Stock Exchange Group Plc		(2,917,530	)
	(81,805	)	Melrose Industries Plc		(199,945	)
	(95,595	)	Ocado Group Plc *		(2,557,638	)
	(1,773,814	)	Rolls-Royce Holdings Plc *		(2,687,761	)
	(6,455	)	Spirax-Sarco Engineering Plc		(1,160,262	)
			Total United Kingdom		(32,597,903	)
			United States — (11.6)%
	(99,800	)	AES Corp. (The)		(2,535,918	)
	(2,700	)	Agilent Technologies, Inc.		(372,951	)
	(8,300	)	Airbnb, Inc. – Class A *		(1,165,320	)
	(1,300	)	Align Technology, Inc. *		(767,195	)
	(14,100	)	American Tower Corp. (REIT)		(3,601,986	)
	(36,900	)	Aramark		(1,378,215	)
	(19,800	)	Arthur J Gallagher & Co.		(2,902,878	)
	(11,100	)	Autodesk, Inc. *		(3,173,046	)
	(20,200	)	Avalara, Inc. *		(2,669,834	)

Shares			Description	Value ($)
			United States — continued
	(5,600	)	Axalta Coating Systems Ltd. *		(181,664	)
	(8,500	)	Ball Corp.		(698,360	)
	(8,000	)	BioMarin Pharmaceutical, Inc. *		(618,400	)
	(11,800	)	Boeing Co. (The) *		(2,914,836	)
	(11,300	)	Burlington Stores, Inc. *		(3,654,081	)
	(1,900	)	Camden Property Trust (REIT)		(238,222	)
	(20,300	)	Carnival Corp *		(600,068	)
	(9,800	)	Carvana Co. *		(2,597,882	)
	(19,500	)	Catalent, Inc. *		(2,044,185	)
	(23,200	)	Ceridian HCM Holding, Inc. *		(2,075,472	)
	(31,100	)	Cheniere Energy, Inc. *		(2,640,390	)
	(2,300	)	Chipotle Mexican Grill, Inc. *		(3,155,554	)
	(26,300	)	Cloudflare, Inc. – Class A *		(2,158,178	)
	(12,200	)	CME Group, Inc.		(2,668,872	)
	(31,600	)	Cognex Corp.		(2,508,724	)
	(1,300	)	CoStar Group, Inc. *		(1,110,200	)
	(10,800	)	Coupa Software, Inc. *		(2,572,560	)
	(1,800	)	Crowdstrike Holdings, Inc. – Class A *		(399,870	)
	(16,700	)	Crown Castle International Corp. (REIT)		(3,164,650	)
	(300	)	Datadog, Inc. – Class A *		(27,315	)
	(58,500	)	Delta Air Lines, Inc. *		(2,789,280	)
	(3,100	)	DENTSPLY SIRONA, Inc.		(207,452	)
	(8,500	)	Dexcom, Inc. *		(3,139,815	)
	(14,500	)	DocuSign, Inc. *		(2,923,490	)
	(50,800	)	DraftKings Inc. - Class A *		(2,537,460	)
	(22,200	)	Dynatrace, Inc. *		(1,148,628	)
	(5,000	)	Ecolab, Inc.		(1,075,400	)
	(12,700	)	Equifax, Inc.		(2,985,008	)
	(4,100	)	Equinix, Inc. (REIT)		(3,020,552	)
	(51,800	)	Equity LifeStyle Properties, Inc. (REIT)		(3,670,548	)
	(2,200	)	Erie Indemnity Co. – Class A		(442,486	)
	(24,200	)	Exact Sciences Corp. *		(2,674,826	)
	(15,600	)	Expedia Group, Inc. *		(2,760,420	)
	(200	)	Extra Space Storage, Inc. (REIT)		(29,962	)
	(6,700	)	Fastenal Co.		(355,368	)
	(2,100	)	Fidelity National Information Services, Inc.		(312,858	)
	(1,500	)	Fortinet, Inc. *		(327,810	)
	(4,600	)	Gartner, Inc. *		(1,066,464	)
	(26,600	)	Guidewire Software, Inc. *		(2,599,884	)
	(16,100	)	Halliburton Co.		(361,445	)
	(13,200	)	Hess Corp.		(1,106,424	)
	(147,500	)	Host Hotels & Resorts, Inc. (REIT) *		(2,532,575	)
	(6,100	)	HubSpot, Inc. *		(3,076,718	)
	(5,200	)	IDEXX Laboratories, Inc. *		(2,902,172	)
	(10,900	)	Ingersoll Rand, Inc. *		(541,076	)
	(12,300	)	Insulet Corp. *		(3,316,941	)
	(1,000	)	Intuitive Surgical, Inc. *		(842,180	)
	(11,000	)	Ionis Pharmaceuticals, Inc. *		(409,750	)
	(15,700	)	IQVIA Holdings, Inc. *		(3,770,512	)
	(33,600	)	Iron Mountain, Inc. (REIT)		(1,462,944	)
	(23,900	)	KKR & Co., Inc.		(1,330,991	)
	(40,400	)	Lamb Weston Holdings, Inc.		(3,332,596	)
	(9,600	)	Liberty Broadband Corp. – Class A *		(1,555,776	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(14,500	)	Liberty Broadband Corp. – Class C *		(2,411,205	)
	(76,500	)	Liberty Media Corp-Liberty Formula One – Class C *		(3,415,725	)
	(10,300	)	Liberty Media Corp-Liberty SiriusXM – Class A *		(449,698	)
	(11,900	)	Liberty Media Corp-Liberty SiriusXM – Class C *		(517,769	)
	(9,800	)	Linde Plc		(2,945,880	)
	(39,900	)	Live Nation Entertainment, Inc. *		(3,595,389	)
	(2,700	)	Lululemon Athletica, Inc. *		(872,451	)
	(5,800	)	MarketAxess Holdings, Inc.		(2,705,932	)
	(19,100	)	Marriott International, Inc. – Class A *		(2,742,378	)
	(17,700	)	MGM Resorts International		(758,799	)
	(6,100	)	Mid-America Apartment Communities, Inc. (REIT)		(980,270	)
	(9,800	)	MongoDB, Inc. *		(2,861,012	)
	(4,800	)	Monolithic Power Systems, Inc.		(1,646,976	)
	(7,900	)	MSCI, Inc.		(3,698,227	)
	(7,900	)	News Corp. – Class A		(213,221	)
	(20,800	)	NIKE Inc. – Class B		(2,838,368	)
	(41,300	)	NiSource, Inc.		(1,053,150	)
	(17,800	)	Novocure Ltd. *		(3,631,200	)
	(31,900	)	Occidental Petroleum Corp.		(828,124	)
	(12,300	)	Okta, Inc. *		(2,736,012	)
	(7,800	)	Paycom Software, Inc. *		(2,570,880	)
	(6,500	)	Peloton Interactive, Inc. – Class A *		(717,015	)
	(300	)	Pinterest, Inc. – Class A *		(19,590	)
	(16,500	)	Pioneer Natural Resources Co.		(2,511,135	)
	(110,800	)	Plug Power, Inc. *		(3,401,560	)
	(10,000	)	Public Storage (REIT)		(2,824,800	)
	(10,200	)	RingCentral, Inc. – Class A *		(2,677,194	)
	(1,400	)	Rockwell Automation, Inc.		(369,208	)
	(8,900	)	Roku, Inc. *		(3,085,719	)
	(65,700	)	Rollins, Inc.		(2,239,713	)
	(31,600	)	Royal Caribbean Cruises Ltd. *		(2,947,332	)
	(4,800	)	S&P Global, Inc.		(1,821,456	)
	(35,100	)	Sarepta Therapeutics, Inc. *		(2,655,315	)
	(10,100	)	SBA Communications Corp. (REIT)		(3,011,012	)
	(200	)	Seagen, Inc. *		(31,070	)
	(6,100	)	ServiceNow, Inc. *		(2,890,668	)
	(22,400	)	Simon Property Group, Inc. (REIT)		(2,878,176	)
	(58,400	)	Snap, Inc. – Class A *		(3,627,808	)
	(11,100	)	Snowflake, Inc. – Class A *		(2,642,133	)
	(41,800	)	Southwest Airlines Co. *		(2,569,028	)
	(21,800	)	Splunk, Inc. *		(2,642,160	)
	(13,300	)	Square, Inc. – Class A *		(2,959,516	)
	(25,000	)	Starbucks Corp.		(2,847,000	)
	(200	)	Sun Communities, Inc. (REIT)		(33,484	)
	(5,200	)	Sysco Corp.		(421,200	)

Shares			Description	Value ($)
			United States — continued
	(78,100	)	Targa Resources Corp.		(3,034,966	)
	(17,600	)	Teladoc Health, Inc. *		(2,650,208	)
	(4,800	)	Tesla, Inc. *		(3,001,056	)
	(500	)	Trade Desk, Inc. (The) – Class A *		(294,070	)
	(8,900	)	Twilio, Inc. – Class A *		(2,990,400	)
	(36,500	)	Twitter, Inc. *		(2,117,000	)
	(58,700	)	Uber Technologies, Inc. *		(2,983,721	)
	(78,100	)	UDR, Inc. (REIT)		(3,719,903	)
	(9,300	)	Vail Resorts, Inc. *		(3,039,984	)
	(13,600	)	Voya Financial, Inc.		(891,072	)
	(7,700	)	Wayfair, Inc. – Class A *		(2,360,358	)
	(1,600	)	West Pharmaceutical Services, Inc.		(556,016	)
	(114,300	)	Williams Cos, Inc. (The)		(3,010,662	)
	(3,000	)	Workday, Inc. – Class A *		(686,160	)
	(27,200	)	Wynn Resorts Ltd. *		(3,586,864	)
	(200	)	XPO Logistics, Inc. *		(29,386	)
	(18,000	)	Zendesk, Inc. *		(2,459,880	)
	(8,500	)	Zillow Group, Inc. – Class A *		(1,005,465	)
	(24,156	)	Zillow Group, Inc. – Class C *		(2,833,982	)
	(200	)	Zoetis, Inc.		(35,336	)
	(100	)	Zoom Video Communications, Inc. – Class A *		(33,153	)
	(16,100	)	Zscaler, Inc. *		(3,126,620	)
			Total United States		(254,948,857	)
			TOTAL COMMON STOCKS (PROCEEDS $417,922,707)		(442,968,466	)
			PREFERRED STOCKS (f) — (0.1)%
			Germany — (0.1)%
	(5,433	)	Sartorius AG		(2,696,606	)
			TOTAL PREFERRED STOCKS (PROCEEDS $2,371,422)		(2,696,606	)
			RIGHTS/WAARANTS — (0.0)%
			Spain — (0.0)%
	(121,254	)	Ferrovial SA, Expires 06/01/21 *		(29,469	)
			TOTAL RIGHTS/WARRANTS (PROCEEDS $28,847)		(29,469	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $420,322,976)		(445,694,541	)
			Other Assets and Liabilities (net) — 19.2%		421,263,260
			TOTAL NET ASSETS — 100.0%		$2,194,390,735

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/21/2021	MSCI		AUD	26,295,400		USD	20,388,806		36,916
08/10/2021	MSCI		AUD	27,160,000		USD	21,046,012		20,684
06/02/2021	MSCI		BRL	20,796,129		USD	3,825,195		(143,759	)
07/13/2021	BOA		CHF	1,585,517		USD	1,740,000		(25,795	)
07/13/2021	MSCI		CHF	24,942,574		USD	26,956,057		(822,572	)
08/19/2021	MSCI		CLP	302,255,000		USD	422,061		3,939
07/28/2021	JPM		COP	1,430,320,000		USD	380,000		(4,531	)
07/28/2021	MSCI		COP	2,228,070,000		USD	580,000		(19,001	)
08/17/2021	CITI		CZK	9,199,529		USD	440,000		(2,308	)
06/21/2021	DB		EUR	58,522,850		USD	70,180,221		(1,410,581	)
06/21/2021	MSCI		EUR	58,522,850		USD	70,165,971		(1,424,831	)
06/30/2021	BCLY		EUR	2,090,000		USD	2,515,428		(41,712	)
06/30/2021	JPM		EUR	3,740,000		USD	4,506,135		(69,799	)
06/21/2021	MSCI		GBP	26,498,600		USD	36,508,102		(1,139,309	)
06/21/2021	CITI		HKD	48,761,250		USD	6,277,893		(4,866	)
06/21/2021	SSB		HKD	48,761,250		USD	6,277,991		(4,768	)
06/14/2021	CITI		HUF	571,456,195		USD	1,895,896		(117,185	)
08/11/2021	CITI		IDR	3,342,406,000		USD	230,000		(2,837	)
07/30/2021	BOA		ILS	878,374		USD	270,413		(154	)
07/16/2021	BCLY		INR	88,919,100		USD	1,170,000		(47,906	)
07/16/2021	MSCI		INR	36,946,000		USD	490,000		(16,041	)
06/09/2021	BOA		JPY	567,598,383		USD	5,190,000		5,741
06/21/2021	MSCI		JPY	7,254,841,300		USD	66,722,341		452,439
08/13/2021	CITI		KRW	518,019,800		USD	460,000		(7,345	)
08/13/2021	JPM		KRW	384,699,800		USD	340,000		(7,067	)
07/21/2021	BOA		MXN	7,029,726		USD	350,000		(875	)
06/14/2021	JPM		NOK	18,222,301		USD	2,180,000		(11,397	)
08/05/2021	JPM		NZD	8,130,000		USD	5,824,183		(92,193	)
08/05/2021	MSCI		NZD	23,170,000		USD	16,625,981		(235,327	)
08/19/2021	JPM		PEN	1,735,580		USD	460,000		5,405
07/21/2021	MSCI		PHP	43,010,880		USD	881,732		(17,164	)
08/31/2021	JPM		RON	5,794,587		USD	1,434,481		(1,869	)
07/15/2021	GS		SGD	586,050		USD	440,000		(3,485	)
07/16/2021	BCLY		THB	21,348,600		USD	680,000		(3,383	)
07/16/2021	BOA		THB	27,563,872		USD	873,062		(9,276	)
07/16/2021	DB		THB	12,587,480		USD	400,000		(2,934	)
08/10/2021	JPM		USD	2,491,079		AUD	3,210,000		(6,126	)
06/02/2021	CITI		USD	280,000		BRL	1,541,540		14,204
06/02/2021	JPM		USD	1,280,000		BRL	6,982,914		52,694
06/02/2021	MSCI		USD	2,270,000		BRL	12,271,675		72,058
09/02/2021	MSCI		USD	2,507,387		BRL	13,407,248		27,903
08/03/2021	GS		USD	6,820,306		CAD	8,392,541		132,341
08/03/2021	JPM		USD	20,512,424		CAD	25,179,000		346,660
07/13/2021	JPM		USD	3,240,000		CHF	2,982,443		81,556
08/19/2021	MSCI		USD	510,000		CLP	367,710,000		(1,331	)
08/17/2021	JPM		USD	846,220		CZK	17,886,760		13,765
06/30/2021	BCLY		USD	6,457,988		EUR	5,450,000		210,151
06/30/2021	DB		USD	11,388,013		EUR	9,645,000		412,759
07/13/2021	BOA		USD	2,962,143		GBP	2,140,000		78,300
07/13/2021	JPM		USD	4,494,048		GBP	3,220,000		80,825
07/13/2021	MSCI		USD	4,597,870		GBP	3,345,000		154,599
06/14/2021	CITI		USD	600,000		HUF	179,479,110		32,254
06/14/2021	DB		USD	520,000		HUF	147,998,188		1,356
08/11/2021	JPM		USD	1,868,028		IDR	27,340,457,000		36,552
07/16/2021	GS		USD	530,000		INR	39,079,020		5,257

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/16/2021	MSCI		USD	961,864		INR	73,120,869		39,657
06/09/2021	BCLY		USD	1,630,000		JPY	177,071,790		(12,684	)
06/09/2021	BOA		USD	2,110,000		JPY	230,231,658		(7,139	)
06/09/2021	JPM		USD	2,490,000		JPY	269,072,637		(32,378	)
06/09/2021	MSCI		USD	16,660,114		JPY	1,803,012,511		(191,983	)
08/13/2021	MSCI		USD	1,909,892		KRW	2,139,059,893		19,915
07/21/2021	MSCI		USD	2,460,047		MXN	49,253,575		(1,653	)
06/14/2021	BCLY		USD	1,590,000		NOK	13,408,232		22,462
06/14/2021	JPM		USD	2,220,000		NOK	18,923,338		55,704
06/14/2021	MSCI		USD	5,240,000		NOK	44,375,501		96,558
08/19/2021	JPM		USD	1,586,504		PEN	5,864,512		(50,432	)
07/21/2021	BCLY		USD	330,000		PHP	15,940,980		3,155
08/17/2021	MSCI		USD	101,115		PLN	379,162		2,408
08/12/2021	BCLY		USD	2,365,570		RUB	178,558,202		42,126
08/05/2021	JPM		USD	4,230,000		SEK	35,737,066		83,239
08/05/2021	MSCI		USD	19,470,602		SEK	164,353,299		365,805
07/15/2021	MSCI		USD	647,497		SGD	868,908		10,037
07/28/2021	JPM		USD	541,917		TWD	14,999,653		6,623
07/30/2021	CITI		USD	620,000		ZAR	8,932,101		24,772
07/30/2021	MSCI		USD	1,817,249		ZAR	26,349,208		84,792
								$	(2,858,385	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
438	Mini MSCI Emerging Markets	June 2021	$	29,803,710	$	537,943
Sales
2,976	Euro STOXX 50	June 2021		147,531,827		(10,118,852	)
400	FTSE 100 Index	June 2021		39,821,976		(1,625,608	)
68	Hang Seng Index	June 2021		12,711,103		(367,933	)
970	S&P 500 E-Mini	June 2021		203,816,400		(12,442,935	)
76	SGX Nifty 50	June 2021		2,352,367		(35,324	)
151	SPI 200 Futures	June 2021		20,904,951		(1,279,498	)
384	TOPIX Index	June 2021		67,834,581		(2,085,879	)
				$494,973,205	$	(27,956,029	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (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) ($)
0.16%	3 Month AUD BBSW	AUD	13,050,000		06/16/2023	Quarterly		—			6,773			6,773
3 Month AUD BBSW	0.20%	AUD	11,880,000		06/16/2023	Quarterly		—			605			605
0.25%	3 Month AUD BBSW	AUD	30,420,000		06/16/2023	Quarterly		(19,902	)		(26,383	)		(6,481	)
GBP - SONIA - COMPOUND	0.15%	GBP	11,220,000		06/16/2023	Annually		—			827			827
GBP - SONIA - COMPOUND	0.12%	GBP	86,660,000		06/16/2023	Annually		(3,161	)		(79,540	)		(76,379	)
GBP - SONIA - COMPOUND	0.12%	GBP	40,880,000		06/16/2023	Annually		(3,912	)		(31,731	)		(27,819	)
GBP - SONIA - COMPOUND	0.14%	GBP	13,820,000		06/16/2023	Annually		444			(4,071	)		(4,515	)
0.64%	3 Month NZD Bank Bill Rate	NZD	5,610,000		06/16/2023	Quarterly		(1,977	)		(1,774	)		203
3 Month NZD Bank Bill Rate	0.55%	NZD	11,430,000		06/16/2023	Quarterly		—			(10,966	)		(10,966	)
0.50%	3 Month NZD Bank Bill Rate	NZD	18,450,000		06/16/2023	Quarterly		—			32,061			32,061
0.65%	3 Month NZD Bank Bill Rate	NZD	68,740,000		06/16/2023	Quarterly		—			(34,117	)		(34,117	)
3 Month NZD Bank Bill Rate	0.48%	NZD	11,280,000		06/16/2023	Quarterly		—			(22,203	)		(22,203	)
0.02%	3 Month SEK STIBOR	SEK	115,700,000		06/16/2023	Quarterly		—			5,322			5,322
3 Month CAD LIBOR	0.68%	CAD	32,040,000		06/19/2023	Semi-Annually		1,211			(4,300	)		(5,511	)
3 Month CAD LIBOR	0.69%	CAD	12,050,000		06/19/2023	Semi-Annually		—			(817	)		(817	)
0.71%	3 Month CAD LIBOR	CAD	131,250,000		06/19/2023	Semi-Annually		(8,003	)		(41,200	)		(33,197	)
6 Month EURIBOR	(0.45)%	EUR	24,900,000		06/21/2023	Semi-Annually		8,033			8,845			812
(0.50)%	6 Month EURIBOR	EUR	12,070,000		06/21/2023	Semi-Annually		—			10,068			10,068
0.30%	3 Month USD LIBOR	USD	47,190,000		06/21/2023	Quarterly		(22,769	)		(65,777	)		(43,008	)
6 Month AUD BBSW	1.70%	AUD	2,830,000		06/16/2031	Semi-Annually		—			(3,114	)		(3,114	)
6 Month AUD BBSW	1.78%	AUD	18,770,000		06/16/2031	Semi-Annually		(22,397	)		90,439			112,836
6 Month AUD BBSW	1.90%	AUD	17,520,000		06/16/2031	Semi-Annually		7,516			236,758			229,242
6 Month AUD BBSW	1.89%	AUD	6,590,000		06/16/2031	Semi-Annually		7,178			84,239			77,061
1.82%	6 Month AUD BBSW	AUD	2,590,000		06/16/2031	Semi-Annually		—			(20,049	)		(20,049	)
1.97%	3 Month CAD LIBOR	CAD	2,220,000		06/16/2031	Semi-Annually		—			(9,664	)		(9,664	)
2.00%	3 Month CAD LIBOR	CAD	2,220,000		06/16/2031	Semi-Annually		—			(14,567	)		(14,567	)
2.01%	3 Month CAD LIBOR	CAD	4,700,000		06/16/2031	Semi-Annually		—			(32,114	)		(32,114	)
1.95%	3 Month CAD LIBOR	CAD	6,760,000		06/16/2031	Semi-Annually		(1,046	)		(15,287	)		(14,241	)
3 Month CAD LIBOR	1.98%	CAD	75,600,000		06/16/2031	Semi-Annually		1,506			361,329			359,823
3 Month CAD LIBOR	1.97%	CAD	19,180,000		06/16/2031	Semi-Annually		6,035			76,810			70,775
3 Month CAD LIBOR	2.04%	CAD	33,940,000		06/16/2031	Semi-Annually		153			323,942			323,789
6 Month CHF LIBOR	0.03%	CHF	9,200,000		06/16/2031	Semi-Annually		(10,003	)		(10,003	)		—
6 Month CHF LIBOR	0.10%	CHF	2,820,000		06/16/2031	Semi-Annually		—			17,152			17,152
6 Month CHF LIBOR	0.04%	CHF	3,350,000		06/16/2031	Semi-Annually		—			(2,508	)		(2,508	)
0.77%	GBP - SONIA- COMPOUND	GBP	29,600,000		06/16/2031	Annually		57,786			40,441			(17,345	)
0.80%	GBP - SONIA- COMPOUND	GBP	27,240,000		06/16/2031	Annually		(20,185	)		(75,152	)		(54,967	)
0.78%	GBP - SONIA- COMPOUND	GBP	2,350,000		06/16/2031	Annually		—			(1,636	)		(1,636	)
GBP - SONIA - COMPOUND	0.81%	GBP	2,390,000		06/16/2031	Annually		—			12,181			12,181
0.72%	GBP - SONIA- COMPOUND	GBP	27,900,000		06/16/2031	Annually		8,774			197,711			188,937
3 Month NZD Bank Bill Rate	2.05%	NZD	4,850,000		06/16/2031	Quarterly		30,081			8,583			(21,498	)
3 Month NZD Bank Bill Rate	2.00%	NZD	16,050,000		06/16/2031	Quarterly		9,897			(24,503	)		(34,400	)
3 Month NZD Bank Bill Rate	1.94%	NZD	2,640,000		06/16/2031	Quarterly		—			(16,107	)		(16,107	)
3 Month NZD Bank Bill Rate	1.89%	NZD	1,380,000		06/16/2031	Quarterly		—			(13,062	)		(13,062	)
1.90%	3 Month NZD Bank Bill Rate	NZD	2,450,000		06/16/2031	Quarterly		—			20,717			20,717
1.93%	3 Month NZD Bank Bill Rate	NZD	2,490,000		06/16/2031	Quarterly		—			16,532			16,532
3 Month NZD Bank Bill Rate	2.12%	NZD	9,290,000		06/16/2031	Quarterly		—			59,251			59,251
3 Month NZD Bank Bill Rate	2.10%	NZD	7,870,000		06/16/2031	Quarterly		—			41,458			41,458
3 Month SEK STIBOR	0.80%	SEK	23,900,000		06/16/2031	Quarterly		—			(7,645	)		(7,645	)
6 Month EURIBOR	0.15%	EUR	1,300,000		06/18/2031	Semi-Annually		—			4,504			4,504
6 Month EURIBOR	0.16%	EUR	1,310,000		06/18/2031	Semi-Annually		—			4,620			4,620
0.03%	6 Month EURIBOR	EUR	17,080,000		06/18/2031	Semi-Annually		29,896			206,581			176,685
0.02%	6 Month EURIBOR	EUR	6,270,000		06/18/2031	Semi-Annually		28,185			82,624			54,439
0.05%	6 Month EURIBOR	EUR	23,580,000		06/18/2031	Semi-Annually		(33,015	)		218,823			251,838
0.05%	6 Month EURIBOR	EUR	6,850,000		06/18/2031	Semi-Annually		15,342			65,094			49,752

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (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 EURIBOR	0.06%	EUR	3,760,000		06/18/2031		Semi-Annually		(5,964	)		(29,775	)		(23,811	)
1.65%	3 Month USD LIBOR	USD	65,700,000		06/18/2031		Quarterly		(215,814	)		(565,027	)		(349,213	)
1.58%	3 Month USD LIBOR	USD	50,000		06/18/2031		Quarterly		(72	)		(96	)		(24	)
1.62%	3 Month USD LIBOR	USD	2,020,000		06/18/2031		Quarterly		—			(11,500	)		(11,500	)
3 Month USD LIBOR	1.53%	USD	2,720,000		06/18/2031		Quarterly		512			(7,715	)		(8,227	)
3 Month USD LIBOR	1.59%	USD	2,660,000		06/18/2031		Quarterly		—			7,032			7,032
3 Month USD LIBOR	1.59%	USD	2,650,000		06/18/2031		Quarterly		—			6,374			6,374
3 Month USD LIBOR	1.69%	USD	7,700,000		06/18/2031		Quarterly		3,267			95,574			92,307
								$	(152,404	)	$	1,160,867		$	1,313,271

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 8.50%)	Appreciation of Total Return on CSI 500 Index	GS		USD	2,326,962		12/07/2021		Monthly		—		119,866			119,866
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.50%	GS		USD	851,711		05/24/2022		Monthly		—		(6,757	)		(6,757	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.75%	GS		USD	3,450,248		05/24/2022		Monthly		—		17,260			17,260
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.50%	GS		USD	2,647,453		05/24/2022		Monthly		—		2,319			2,319
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	2		06/20/2022		Monthly		—		—			—
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	1,364,866		10/18/2022		Monthly		—		(104,081	)		(104,081	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.50%	MORD		USD	114,306		10/18/2022		Monthly		—		(2,940	)		(2,940	)
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	25,867,725		10/18/2022		Monthly		—		(160,496	)		(160,496	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	16,550		10/18/2022		Monthly		—		(335	)		(335	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 2.50%	MORD		USD	2,601,258		05/18/2023		Monthly		—		(101,311	)		(101,311	)
										$	—	$	(236,475	)	$	(236,475	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

As of May 31, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

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

(e) Investment valued using significant unobservable inputs.

(f) 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 May 31, 2021.

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

(j) The following table represents the individual short positions within the custom equity basket swap as of May 31, 2021:

Shares		Description	% of Equity Basket			Value ($)
	18,030,000	Alibaba Pictures Group Ltd		9.3	%		2,415,545
	2,724,000	China Molybdenum Co Ltd – Class H		7.0	%		1,825,131
	268,000	China Resources Beer Holdings Co Ltd		9.1	%		2,377,579
	1,144,000	China Youzan Ltd		0.9	%		235,644
	696,000	China Yuhua Education Corp Ltd		2.7	%		697,967
	12,400	Fuyao Glass Industry Group Co Ltd – Class H		0.3	%		77,939
	798,000	Greentown Service Group Co Ltd		4.7	%		1,233,658
	20,000	Haidilao International Holding Ltd		0.4	%		113,193
	52,000	Hong Kong Exchanges and Clearing Ltd		12.3	%		3,200,214
	828,000	Kingdee International Software Group Co Ltd		12.1	%		3,146,401
	17,000	Kuaishou Technology		1.7	%		439,489
	107,000	New World Development Co Ltd		2.2	%		581,605
	498,800	Sands China Ltd		8.8	%		2,279,466
	347,000	SJM Holdings Ltd		1.5	%		396,546
	909,600	Wynn Macau Ltd		6.0	%		1,575,293
	221,000	Yihai International Holding Ltd.		6.7	%		1,746,319
	2,400,000	Zijin Mining Group Co Ltd – Class H		14.3	%		3,714,251
		TOTAL COMMON STOCKS				$	26,056,240

The rates shown on variable rate notes are the current interest rates at May 31, 2021, 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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

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

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

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

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

SONIA - Sterling Overnight Interbank Average Rate

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

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)

May 31, 2021 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	6,612,078	GMO Alternative Allocation Fund, Class VI		130,390,172
	1,611,432	GMO Asset Allocation Bond Fund, Class VI		39,222,252
	631,271	GMO Cyclical Focus Fund, Class VI		20,705,684
	770,257	GMO Emerging Country Debt Fund, Class IV		20,250,046
	3,486,933	GMO Emerging Markets Fund, Class VI		133,270,583
	4,011,420	GMO International Equity Fund, Class IV		105,179,435
	1,088,057	GMO-Usonian Japan Value Creation Fund, Class VI		26,766,204
	2,883,743	GMO Multi-Sector Fixed Income Fund, Class IV		58,857,189
	755,153	GMO Opportunistic Income Fund, Class VI		19,588,657
	445,260	GMO Quality Fund, Class VI		13,068,378
	3,252,869	GMO U.S. Equity Fund, Class VI		52,501,306
	1,401,755	GMO U.S. Small Cap Value Fund, Class VI		39,725,725
	39,892	GMO U.S. Treasury Fund		201,055
		TOTAL MUTUAL FUNDS (COST $607,423,164)		659,726,686
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	19,602	ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A,Variable Rate, 1 mo. LIBOR + 0.28%, 0.37%, due 02/25/36		4,473
	9,317	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.59%, due 10/25/34		8,895
	9,599	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 02/26/34		8,302
		TOTAL DEBT OBLIGATIONS (COST $25,845)		21,670

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	45,361	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		45,361
		TOTAL SHORT-TERM INVESTMENTS (COST $45,361)		45,361
		TOTAL INVESTMENTS — 99.9% (Cost $607,494,370)		659,793,717
		Other Assets and Liabilities (net) — 0.1%		358,067
		TOTAL NET ASSETS — 100.0%		$660,151,784

Notes to Schedule of Investments:

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

(a) The rate disclosed is the 7 day net yield as of May 31, 2021.

The rates shown on variable rate notes are the current interest rates at May 31, 2021, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

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

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

LIBOR - London Interbank Offered Rate

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	157,943	GMO Cyclical Focus Fund, Class VI		5,180,514
	248,467	GMO Emerging Markets Fund, Class VI		9,496,403
	1,618,743	GMO International Equity Fund, Class IV		42,443,451
	148,893	GMO-Usonian Japan Value Creation Fund, Class VI		3,662,759
	420,532	GMO Quality Fund, Class VI		12,342,618
	994,155	GMO U.S. Equity Fund, Class VI		16,045,658
	332,695	GMO U.S. Small Cap Value Fund, Class VI		9,428,577
		TOTAL MUTUAL FUNDS (COST $74,416,663)		98,599,980
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	56,272	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		56,272
		TOTAL SHORT-TERM INVESTMENTS (COST $56,272)		56,272
		TOTAL INVESTMENTS — 100.0% (Cost $74,472,935)		98,656,252
		Other Assets and Liabilities (net) — (0.0%)		(33,443	)
		TOTAL NET ASSETS — 100.0%		$98,622,809

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2021.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	2,791,930	GMO Cyclical Focus Fund, Class VI		91,575,294
	12,565,918	GMO Emerging Markets Fund, Class VI		480,269,390
	22,724,524	GMO International Equity Fund, Class IV		595,837,009
	2,769,996	GMO-Usonian Japan Value Creation Fund, Class VI		68,141,914
	8,159,306	GMO Quality Fund, Class VI		239,475,632
	6,767,748	GMO U.S. Equity Fund, Class VI		109,231,457
	6,192,231	GMO U.S. Small Cap Value Fund, Class VI		175,487,817
		TOTAL MUTUAL FUNDS (COST $1,456,876,972)		1,760,018,513
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	718,954	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		718,954
		TOTAL SHORT-TERM INVESTMENTS (COST $718,954)		718,954
		TOTAL INVESTMENTS — 100.0% (Cost $1,457,595,926)		1,760,737,467
		Other Assets and Liabilities (net) — (0.0%)		(20,692	)
		TOTAL NET ASSETS — 100.0%		$1,760,716,775

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2021.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 83.3%
		Argentina — 0.0%
	62,800	Banco BBVA Argentina SA ADR *		211,636
	4,000	Globant SA * (a)		871,480
	70,300	Grupo Financiero Galicia SA ADR		624,264
	27,600	Telecom Argentina SA Sponsored ADR		158,424
		Total Argentina		1,865,804
		Australia — 1.4%
	316,103	Accent Group Ltd		663,383
	120,256	Adairs Ltd		433,900
	179,254	Asaleo Care Ltd		194,191
	294,444	Australian Pharmaceutical Industries Ltd (b)		262,230
	48,776	Aventus Group (REIT)		109,833
	281,484	Bank of Queensland Ltd		1,959,919
	75,128	Bendigo & Adelaide Bank Ltd		607,856
	555,374	BlueScope Steel Ltd		9,168,748
	42,750	Codan Ltd		626,559
	62,580	Computershare Ltd (a)		781,906
	1,032,329	Dexus (REIT)		8,281,867
	977,153	Fortescue Metals Group Ltd		16,688,126
	82,845	GDI Property Group (REIT)		68,642
	257,110	Genworth Mortgage Insurance Australia Ltd *		549,133
	2,768,761	GPT Group (The) (REIT)		9,930,174
	30,872	JB Hi-Fi Ltd		1,146,139
	60,623	McMillan Shakespeare Ltd		572,491
	1,834,251	Mirvac Group (REIT)		3,983,090
	233,134	Mount Gibson Iron Ltd		150,029
	198,406	Rio Tinto Ltd		18,819,725
	321,672	Sandfire Resources Ltd		1,773,253
	2,476,139	Scentre Group (REIT)		5,243,209
	969,920	Stockland (REIT)		3,493,533
	33,424	Virtus Health Ltd		159,606
		Total Australia		85,667,542
		Austria — 0.0%
	5,489	Semperit AG Holding		249,791
		Belgium — 0.5%
	287,170	Ageas SA/NV (b)		18,578,249
	34,661	AGFA-Gevaert NV *		164,170
	9,630	Bekaert SA		462,958
	64,474	bpost SA *		860,627
	850	Cie d’Entreprises CFE		95,034
	23,298	Econocom Group SA (a)		93,507
	74,181	UCB SA		6,962,972
		Total Belgium		27,217,517
		Brazil — 1.1%
	2,442,300	Banco Bradesco SA		10,712,623
	434,400	Banco do Brasil SA		2,795,590

Shares		Description	Value ($)
		Brazil — continued
	47,000	Banco Santander Brasil SA		367,941
	277,800	Blau Farmaceutica SA *		2,467,936
	729,000	Camil Alimentos SA		1,384,788
	17,000	Cia de Saneamento do Parana		66,216
	335,300	Cia Siderurgica Nacional SA		2,871,960
	428,800	Dimed SA Distribuidora da Medicamentos		1,661,161
	129,100	JBS SA		746,108
	140,000	Mahle-Metal Leve SA		741,409
	1,449,400	Marfrig Global Foods SA		5,075,417
	1,702,000	Petrobras Distribuidora SA		8,350,469
	195,600	Petroleo Brasileiro SA Sponsored ADR		1,997,076
	103,400	Sul America SA		690,431
	1,981,100	TIM SA		4,595,717
	32,100	Tupy SA *		151,578
	744,100	Vale SA Sponsored ADR		16,013,032
	412,500	Vamos Locacao de Caminhoes, Maquinas e Equipamentos SA *		4,044,506
		Total Brazil		64,733,958
		Canada — 1.3%
	29,700	AGF Management Ltd – Class B (b)		187,092
	18,200	Bank of Montreal		1,910,770
	22,400	Bank of Nova Scotia (The)		1,507,858
	3,046,917	Bombardier Inc – Class B * (b)		2,446,513
	118,842	Brookfield Asset Management Inc – Class A		5,982,506
	42,200	Canaccord Genuity Group Inc		460,408
	92,800	Canadian Apartment Properties (REIT)		4,246,500
	2,900	Canadian Natural Resources Ltd (c)		100,398
	5,500	Canadian Natural Resources Ltd (c)		190,534
	9,700	Canadian Tire Corp Ltd – Class A		1,660,173
	44,600	Canfor Corp *		1,104,986
	8,200	Canfor Pulp Products Inc * (b)		59,325
	99,300	Cascades Inc		1,122,011
	39,700	Celestica Inc * (c)		342,214
	112,700	Celestica Inc * (c)		973,024
	15,100	Cogeco Inc		1,187,576
	83,600	Corus Entertainment Inc – B Shares (a)		424,211
	21,200	Enerplus Corp (b)		138,637
	2,900	Finning International Inc		72,017
	23,800	iA Financial Corp Inc		1,369,428
	18,500	Imperial Oil Ltd (c)		610,500
	99,200	Imperial Oil Ltd (c)		3,273,136
	3,600	Interfor Corp		92,887
	56,800	Intertape Polymer Group Inc		1,375,274
	1,300	Laurentian Bank of Canada		46,951
	50,600	Linamar Corp		3,312,739
	106,400	Magna International Inc (c)		10,699,451
	3,000	Magna International Inc (c)		301,770
	19,600	Manulife Financial Corp		409,506
	6,100	Morguard North American Residential Real Estate Investment Trust		82,963

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	86,843	Nutrien Ltd		5,397,292
	266,900	Power Corp of Canada		8,704,822
	20,000	RioCan Real Estate Investment Trust		351,641
	44,700	Royal Bank of Canada		4,648,164
	2,600	Sleep Country Canada Holdings Inc		64,610
	89,600	Toronto-Dominion Bank (The)		6,457,905
	113,300	Tourmaline Oil Corp		2,760,166
	11,800	Transat AT Inc * (b)		52,160
	89,720	Transcontinental Inc – Class A		1,670,297
	11,900	Wajax Corp		226,268
		Total Canada		76,024,683
		Chile — 0.0%
	121,015	Falabella SA		529,326
	9,603	Inversiones La Construccion SA		51,030
		Total Chile		580,356
		China — 11.1%
	16,400	360 DigiTech, Inc. ADR *		460,348
	5,122,000	361 Degrees International Ltd *		2,329,327
	270,000	7Road Holdings Ltd * (d)		87,322
	3,923,000	Agile Group Holdings Ltd		5,535,624
	588,300	Agricultural Bank of China Ltd – Class A		303,252
	56,250,000	Agricultural Bank of China Ltd – Class H		22,823,944
	358,000	AK Medical Holdings Ltd		638,901
	114,800	Alibaba Group Holding Ltd Sponsored ADR *		24,562,608
	1,444,000	Angang Steel Co Ltd – Class H (b)		951,893
	458,595	Anhui Conch Cement Co Ltd – Class A		3,538,035
	2,038,500	Anhui Conch Cement Co Ltd – Class H		12,620,247
	3,000	ANTA Sports Products Ltd		60,559
	9,271,500	BAIC Motor Corp Ltd – Class H (b)		3,449,284
	139,000	Baidu Inc Sponsored ADR  * (a)		27,281,530
	1,323,100	Bank of China Ltd – Class A		694,382
	57,159,000	Bank of China Ltd – Class H		21,658,628
	30,566,000	Bank of Communications Co Ltd – Class H		20,641,599
	315,500	Beijing Enterprises Holdings Ltd		1,101,234
	1,177,500	BYD Electronic International Co Ltd (b)		7,493,722
	11,555,000	China Cinda Asset Management Co Ltd – Class H		2,470,984
	789,000	China CITIC Bank Corp Ltd – Class H		431,267
	9,122,485	China Communications Services Corp Ltd – Class H		3,831,943
	29,344,803	China Construction Bank Corp – Class H		24,177,964
	1,045,000	China Dongxiang Group Co Ltd		131,948
	3,865,000	China Everbright Bank Co Ltd – Class H		1,649,009
	6,839,000	China Feihe Ltd		18,632,830
	10,800	China Gas Holdings Ltd		41,076
	3,659,000	China Greenfresh Group Co Ltd * (e)		—
	9,213,500	China Hongqiao Group Ltd		14,861,373
	68,332,000	China Huarong Asset Management Co Ltd – Class H (e)		6,691,533

Shares		Description	Value ($)
		China — continued
	3,398,000	China Lesso Group Holdings Ltd		8,610,009
	1,194,000	China Lilang Ltd		761,560
	22,000	China Longyuan Power Group Corp Ltd – Class H		31,618
	5,847,000	China Machinery Engineering Corp – Class H		2,615,279
	5,460,925	China Medical System Holdings Ltd		13,631,424
	1,012,519	China Merchants Bank Co Ltd – Class A		9,313,355
	13,336,000	China National Building Material Co Ltd – Class H		17,660,509
	1,630,000	China Oriental Group Co Ltd		534,418
	320,000	China Overseas Land & Investment Ltd		775,714
	341,990	China Pacific Insurance Group Co Ltd – Class A		1,886,040
	36,634,000	China Petroleum & Chemical Corp – Class H		19,832,976
	38,056,000	China Railway Group Ltd – Class H		20,088,953
	87,935	China Railway Signal & Communication Corp Ltd – Class A		79,325
	5,441,000	China Reinsurance Group Corp – Class H		595,664
	1,656,000	China Resources Land Ltd		7,824,455
	5,747,500	China Resources Pharmaceutical Group Ltd		4,085,893
	164,000	China Resources Power Holdings Co Ltd		211,727
	525,000	China Shineway Pharmaceutical Group Ltd (b)		547,610
	2,586,000	China South City Holdings Ltd		286,529
	153,200	China Taiping Insurance Holdings Co Ltd		286,092
	16,500	China Tian Lun Gas Holdings Ltd		17,402
	1,364,000	China Traditional Chinese Medicine Holdings Co Ltd		876,834
	1,716,682	China Vanke Co Ltd – Class A		7,269,281
	606,500	China Yongda Automobiles Services Holdings Ltd		1,069,771
	36,200	China Yuchai International Ltd		578,476
	6,996,800	China Zhongwang Holdings Ltd * (b)		1,765,127
	34,000	Chinasoft International Ltd *		43,692
	1,650,000	CITIC Ltd		1,939,714
	4,877,506	Country Garden Holdings Co Ltd		6,218,270
	129,491	CSG Holding Co Ltd – Class A		208,509
	12,080,000	Dongfeng Motor Group Co Ltd – Class H		11,479,275
	3,771,000	Dongyue Group Ltd		2,872,925
	69,400	ENN Energy Holdings Ltd		1,275,813
	864,600	Everbright Securities Co Ltd – Class H (b)		759,218
	2,767,496	Fangda Special Steel Technology Co Ltd – Class A *		3,989,484
	2,878,500	Fantasia Holdings Group Co Ltd *		385,556
	4,772,000	Fosun International Ltd		7,701,972
	309,500	Genertec Universal Medical Group Co Ltd		279,558
	100,500	Great Wall Motor Co Ltd – Class H		278,827
	641,000	Greenland Hong Kong Holdings Ltd		218,769
	1,618,000	Guangdong Investment Ltd		2,411,199
	580,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		1,689,216

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		China — continued
	4,296,800	Guangzhou R&F Properties Co Ltd – Class H		5,800,620
	173,000	Haitian International Holdings Ltd		625,894
	39,500	Hebei Construction Group Corp Ltd – Class H		14,263
	10,000	Hengan International Group Co Ltd		67,422
	3,090,544	Hisense Home Appliances Group Co Ltd – Class A		7,226,348
	1,104,000	Hisense Home Appliances Group Co Ltd – Class H		1,659,547
	65,100	Hollysys Automation Technologies Ltd		878,850
	952,000	Hopson Development Holdings Ltd (b)		4,616,419
	764,000	Huabao International Holdings Ltd (b)		1,189,015
	497,700	Industrial & Commercial Bank of China Ltd – Class A		412,213
	15,459,400	Industrial & Commercial Bank of China Ltd – Class H		10,149,242
	410,192	Inner Mongolia Eerduosi Resources Co Ltd – Class A		1,249,019
	5,900	JOYY Inc ADR (a)		454,005
	676,000	Kingboard Holdings Ltd		3,736,414
	235,500	Kingboard Laminates Holdings Ltd		509,347
	363,500	Koolearn Technology Holding Ltd *		589,857
	656,000	Kunlun Energy Co Ltd		744,819
	339,000	KWG Group Holdings Ltd		516,378
	209,200	Legend Holdings Corp – Class H		330,868
	2,550,000	Lenovo Group Ltd		3,075,015
	583,300	Livzon Pharmaceutical Group Inc – Class H		2,960,380
	652,000	Logan Group Co Ltd		1,044,900
	773,500	Longfor Group Holdings Ltd		4,533,148
	8,330,000	Lonking Holdings Ltd		3,025,782
	109,800	Lufax Holding Ltd ADR *		1,338,462
	6,402,000	Metallurgical Corp of China Ltd – Class H		1,558,049
	381,200	Momo Inc Sponsored ADR (a)		5,348,236
	68,200	NetEase Inc		1,602,084
	92,500	NetEase Inc ADR (a)		10,908,525
	2,004,000	Nexteer Automotive Group Ltd		2,524,134
	4,960,000	Nine Dragons Paper Holdings Ltd		7,829,511
	8,400	Niu Technologies Sponsored ADR *		279,888
	2,623,000	PAX Global Technology Ltd		3,277,740
	175,000	Perennial Energy Holdings Ltd (b)		108,343
	28,200	PetroChina Co Ltd ADR		1,163,250
	10,374,000	PetroChina Co Ltd – Class H		4,242,159
	11,531,000	PICC Property & Casualty Co Ltd – Class H		11,255,113
	21,100	Ping An Insurance Group Co of China Ltd – Class A		242,107
	754,000	Poly Property Group Co Ltd		215,560
	964,900	Postal Savings Bank of China Co Ltd – Class A		844,939
	5,556,000	Postal Savings Bank of China Co Ltd – Class H		3,989,859

Shares		Description	Value ($)
		China — continued
	3,404,000	Powerlong Real Estate Holdings Ltd		3,312,527
	291,000	Road King Infrastructure Ltd		384,880
	562,000	Seazen Group Ltd *		637,194
	1,108,000	Shanghai Jin Jiang Capital Co Ltd – Class H		268,450
	3,900	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		11,258
	3,041,700	Shanghai Pharmaceuticals Holding Co Ltd – Class H		6,649,162
	57,228	Shenzhen Investment Ltd		20,478
	5,540,576	Shimao Group Holdings Ltd		15,896,308
	94,000	Shougang Fushan Resources Group Ltd		25,285
	2,059,000	Sinopec Engineering Group Co Ltd – Class H		1,302,581
	8,298,400	Sinopharm Group Co Ltd – Class H		27,678,923
	2,439,500	Sinotruk Hong Kong Ltd		5,850,479
	6,570,000	Skyworth Group Ltd *		1,872,071
	4,690,000	TCL Electronics Holdings Ltd *		3,141,284
	422,000	Tencent Holdings Ltd		32,992,337
	34,300	Tencent Holdings Ltd ADR (a)		2,688,434
	914,000	Tianjin Port Development Holdings Ltd		80,109
	3,904,000	Tianneng Power International Ltd (b)		7,033,863
	145,594	Tsingtao Brewery Co Ltd – Class A		2,400,089
	66,000	Tsingtao Brewery Co Ltd – Class H		701,175
	40,000	Want Want China Holdings Ltd		29,688
	2,324,000	Weichai Power Co Ltd – Class H		5,386,151
	4,087,568	Weifu High-Technology Group Co Ltd – Class A		15,380,470
	6,026,000	West China Cement Ltd		1,032,927
	514,000	Xinyi Solar Holdings Ltd. (b)		912,898
	578,500	XTEP International Holdings Ltd		635,991
	8,437,000	Yuzhou Group Holdings Co Ltd		2,487,217
	18,000	Zhejiang Expressway Co Ltd – Class H		15,906
	218,499	Zhejiang Weixing New Building Materials Co Ltd – Class A		808,205
	2,690,496	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		4,860,397
	1,498,000	Zhongsheng Group Holdings Ltd		12,459,342
	3,244,695	Zhuzhou Kibing Group Co Ltd – Class A		8,228,073
	869,690	Zijin Mining Group Co Ltd – Class A		1,534,854
	767,600	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		954,366
		Total China		671,951,500
		Colombia — 0.0%
	2,023	Interconexion Electrica SA ESP		11,266
		Czech Republic — 0.0%
	9,932	CEZ AS		296,768
	1,388	Komercni Banka AS *		51,134
	366,110	Moneta Money Bank AS *		1,369,080
	199	Philip Morris CR AS		138,725
		Total Czech Republic		1,855,707

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Denmark — 0.4%
	2,629	Carlsberg A/S – Class B		482,860
	512,331	Danske Bank A/S		9,649,971
	17,339	Matas A/S *		334,644
	86,775	Pandora A/S		11,720,751
	60,981	Scandinavian Tobacco Group A/S		1,298,737
		Total Denmark		23,486,963
		Egypt — 0.0%
	45,340	Commercial International Bank Egypt SAE *		153,433
	128,502	Eastern Co SAE		98,447
	201,333	ElSewedy Electric Co		102,453
	212,861	Medinet Nasr Housing		44,351
	144,665	Palm Hills Developments SAE		15,559
		Total Egypt		414,243
		Finland — 0.3%
	66,441	Kesko Oyj – B Shares		2,310,002
	97,255	Neste Oyj		6,414,628
	1,392,589	Nokia Oyj *		7,266,546
	5,821	Sanoma Oyj (a)		98,350
	4,617	Tokmanni Group Corp		128,109
	17,130	Uponor Oyj		512,647
		Total Finland		16,730,282
		France — 1.7%
	46,270	ALD SA		709,002
	46,383	APERAM SA		2,557,203
	36,317	ArcelorMittal SA *		1,174,577
	2,134	Assystem SA (b)		78,569
	99,599	Atos SE (a)		6,660,660
	2,133	Axway Software SA * (a)		79,505
	170,077	BNP Paribas SA (b)		11,708,970
	1,836	Boiron SA		90,117
	909	Caisse Regionale de Credit Agricole Mutuel Nord de France		25,599
	846	Christian Dior SE		679,659
	111,503	Cie de Saint-Gobain *		7,484,842
	285,658	Credit Agricole SA (b)		4,281,589
	105,597	Derichebourg SA *		1,082,738
	2,480	Fnac Darty SA *		173,112
	820	Groupe Crit * (b)		61,711
	989	HEXAOM *		51,875
	32,363	IPSOS		1,328,654
	7,485	Kaufman & Broad SA		355,838
	6,222	Kering SA		5,698,093
	8,065	LVMH Moet Hennessy Louis Vuitton SE		6,460,325
	1,885	Mersen SA *		70,353
	66,614	Metropole Television SA		1,413,078
	441,842	Natixis SA *		2,183,531
	38,932	Orange SA		496,825
	146,057	Publicis Groupe SA (a)		9,872,890

Shares		Description	Value ($)
		France — continued
	53,037	Quadient SA		1,553,491
	15	Renault SA * (c)		620
	298,352	Renault SA * (c)		12,380,612
	2,190	Rothschild & Co		86,803
	51,590	Safran SA		7,800,912
	356,431	Societe Generale SA (b)		11,412,578
	1,769	Synergie SE * (b)		77,780
	147,200	Television Francaise 1		1,538,597
	2,003	TOTAL SE (c)		93,108
	23,520	TOTAL SE (c)		1,096,991
	10,717	Vicat SA		566,064
	1,584	Vilmorin & Cie SA		112,370
		Total France		101,499,241
		Germany — 1.6%
	10,379	ADVA Optical Networking SE *		136,354
	1,067	Amadeus Fire AG		197,501
	126,022	Bayer AG (Registered)		8,033,090
	40,177	Bayerische Motoren Werke AG		4,265,095
	39,637	Beiersdorf AG		4,699,143
	115,782	CECONOMY AG *		650,724
	933	Cewe Stiftung & Co KGaA		153,123
	219,906	Daimler AG (Registered)		20,516,722
	69,300	Deutsche Pfandbriefbank AG		820,514
	21,131	Deutz AG *		178,966
	226,039	Dialog Semiconductor Plc *		17,921,475
	3,472	Draegerwerk AG & Co KGaA		313,699
	149,311	Fresenius SE & Co KGaA		8,116,561
	1,692	Gesco AG		44,184
	1,061	Grammer AG *		32,431
	4,837	Hamburger Hafen und Logistik AG		126,130
	101,349	HeidelbergCement AG		9,263,149
	10,906	Hornbach Baumarkt AG		522,937
	18,956	Hornbach Holding AG & Co KGaA		2,113,528
	45,876	Kloeckner & Co SE *		632,628
	51,770	SAP SE (a)		7,248,510
	47,652	Siltronic AG		8,288,346
	891	Takkt AG		15,057
	11,484	Traton SE		381,474
	11,778	Volkswagen AG (b)		4,300,876
	813	Wuestenrot & Wuerttembergische AG		18,879
		Total Germany		98,991,096
		Hong Kong — 0.8%
	88,500	BOC Hong Kong Holdings Ltd		326,440
	279,800	Budweiser Brewing Co APAC Ltd		962,851
	277,000	Chow Sang Sang Holdings International Ltd		483,312
	2,229,000	CITIC Telecom International Holdings Ltd		743,952
	35,500	CK Asset Holdings Ltd (a)		241,697
	1,226,000	CK Hutchison Holdings Ltd		9,774,141

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	1,400,000	CSI Properties Ltd		45,999
	274,400	Dah Sing Banking Group Ltd		314,812
	194,800	Dah Sing Financial Holdings Ltd		693,445
	5,928,000	First Pacific Co Ltd		2,068,138
	1,160,000	Giordano International Ltd		257,036
	1,040,213	I-CABLE Communications Ltd *		12,480
	1,068,000	IGG Inc		1,589,561
	592,500	Johnson Electric Holdings Ltd		1,577,904
	443,000	K Wah International Holdings Ltd		218,504
	210,500	Kerry Logistics Network Ltd		629,138
	1,322,000	Kerry Properties Ltd		4,558,460
	1,641,000	Pacific Textiles Holdings Ltd		1,094,719
	9,594,000	PCCW Ltd (b)		5,305,411
	201,000	Regal Real Estate Investment Trust		42,742
	1,772,000	Shun Tak Holdings Ltd		566,937
	350,000	Singamas Container Holdings Ltd		29,325
	139,500	SmarTone Telecommunications Holdings Ltd		81,239
	332,000	Sun Hung Kai & Co Ltd		184,039
	11,500	Sun Hung Kai Properties Ltd (a)		179,593
	100,000	Swire Pacific Ltd – Class A		778,408
	40,000	TAI Cheung Holdings Ltd		24,785
	1,062,000	VSTECS Holdings Ltd		1,037,398
	349,500	VTech Holdings Ltd		3,611,069
	6,350,500	WH Group Ltd		5,476,608
	68,000	Xinyi Glass Holdings Ltd		265,949
	831,000	Yue Yuen Industrial Holdings Ltd		2,169,645
		Total Hong Kong		45,345,737
		Hungary — 0.0%
	39,301	Richter Gedeon Nyrt		1,096,987
		India — 2.3%
	104,228	Asian Paints Ltd		4,220,739
	445,278	Balrampur Chini Mills Ltd		1,825,775
	21,231	Bombay Burmah Trading Co		375,235
	390,076	Cadila Healthcare Ltd *		3,343,140
	13,998	Cochin Shipyard Ltd		73,558
	49,859	Dhampur Sugar Mills Ltd		215,247
	56,300	Dr Reddy’s Laboratories Ltd ADR		4,018,131
	228,675	Engineers India Ltd		267,403
	534,240	Firstsource Solutions Ltd		1,037,463
	77,288	Glenmark Pharmaceuticals Ltd		649,244
	22,501	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		117,879
	1,752,160	HCL Technologies Ltd		22,805,772
	91,213	HDFC Bank Ltd *		1,897,577
	367,562	Hindalco Industries Ltd		1,965,876
	108,665	Hindustan Unilever Ltd		3,489,151
	31,218	Hindustan Zinc Ltd		140,549
	102,379	Housing Development Finance Corp Ltd		3,587,187
	542,577	ICICI Bank Ltd *		4,848,463

Shares		Description	Value ($)
		India — continued
	1,398,683	Indiabulls Housing Finance Ltd		4,300,525
	150,834	Indian Bank *		295,061
	62,354	Infosys Ltd		1,209,318
	218,800	Infosys Ltd Sponsored ADR (a)		4,231,592
	449,467	IRCON International Ltd		299,429
	449,467	IRCON International Ltd – Interim Shares (d)		299,676
	263,134	Karnataka Bank Ltd (The) *		233,780
	155,879	Kotak Mahindra Bank Ltd *		3,867,365
	288	Larsen & Toubro Infotech Ltd		15,645
	195,995	LT Foods Ltd		200,731
	3,587	Mahanagar Gas Ltd		58,238
	27,830	Mindtree Ltd		903,648
	56,133	Narayana Hrudayalaya Ltd *		333,695
	511,201	NBCC India Ltd		344,562
	42,217	NCC Ltd		48,568
	105,552	NMDC Ltd		260,758
	637,221	NTPC Ltd		958,743
	8,833,454	Oil & Natural Gas Corp Ltd		13,736,913
	19,523	Oracle Financial Services Software Ltd		949,183
	4,590,307	Power Finance Corp Ltd		7,625,323
	809,264	PTC India Ltd		999,802
	55,410	Rajesh Exports Ltd		396,045
	9,720,783	REC Ltd		19,602,483
	96,305	Tata Consultancy Services Ltd		4,178,116
	2,140,967	Tata Motors Ltd *		9,422,170
	586,110	Tata Motors Ltd – Class A *		1,220,113
	126,805	Titan Co Ltd		2,759,459
	56,218	Welspun Corp Ltd		115,170
	623,604	Wipro Ltd		4,620,811
	225,644	Zee Entertainment Enterprises Ltd		657,641
		Total India		139,022,952
		Indonesia — 0.4%
	3,775,300	Bank Central Asia Tbk PT		8,372,607
	5,107,100	Bank Mandiri Persero Tbk PT		2,070,553
	6,038,000	Bank Negara Indonesia Persero Tbk PT		2,197,390
	3,584,900	Bank Pembangunan Daerah Jawa Timur Tbk PT		188,139
	25,645,800	Bank Rakyat Indonesia Persero Tbk PT		7,307,533
	2,279,400	Bukit Asam Tbk PT		349,406
	2,540,600	Gajah Tunggal Tbk PT *		155,594
	1,554,600	Indo Tambangraya Megah Tbk PT		1,411,334
	53,844,000	Panin Financial Tbk PT *		715,565
	5,412,400	Perusahaan Gas Negara Persero Tbk PT *		427,656
	8,045,700	Ramayana Lestari Sentosa Tbk PT		371,622
		Total Indonesia		23,567,399
		Ireland — 0.4%
	415,597	AIB Group Plc *		1,384,158
	676,497	Bank of Ireland Group Plc *		4,383,959
	4,381	CRH Plc		229,200
	46,000	CRH Plc Sponsored ADR		2,395,220

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Ireland — continued
	24,211	Glanbia Plc		403,317
	636,023	Hibernia REIT Plc		928,501
	7,809	Kingspan Group Plc		742,249
	57,771	Origin Enterprises Plc		258,861
	77,301	Permanent TSB Group Holdings Plc *		137,376
	290,416	Ryanair Holdings Plc * (b)		5,947,697
	106,826	Smurfit Kappa Group Plc (c)		5,659,243
	16,182	Smurfit Kappa Group Plc (c)		860,054
	71,613	Total Produce Plc		223,123
		Total Ireland		23,552,958
		Israel — 0.2%
	22,100	Check Point Software Technologies Ltd *		2,585,258
	93,324	Isracard Ltd *		376,154
	836,336	Oil Refineries Ltd *		226,226
	818,700	Teva Pharmaceutical Industries Ltd Sponsored ADR *		8,514,480
		Total Israel		11,702,118
		Italy — 1.0%
	110,731	Anima Holding SPA		579,736
	52,995	Arnoldo Mondadori Editore SPA *		108,886
	24,095	Banca IFIS SPA (b)		377,089
	23,868	Banca Mediolanum SPA		230,582
	192,371	Banca Popolare di Sondrio SCPA (b)		944,495
	500,197	Banco BPM SPA (b)		1,770,693
	6,238	Biesse SPA *		230,981
	192,839	Buzzi Unicem SPA		5,467,370
	39,390	Cementir Holding NV		449,793
	27,873	CNH Industrial NV		479,236
	60,403	Credito Emiliano SPA		394,692
	10,170	De’ Longhi SPA		451,674
	140,908	Enel SPA		1,397,427
	18,077	Esprinet SPA		308,934
	250,886	EXOR NV		21,599,974
	100,916	IMMSI SPA *		58,949
	23,101	La Doria SPA		498,361
	486,735	Leonardo SPA (b)		4,250,774
	95,844	Mediobanca Banca di Credito Finanziario SPA *		1,141,206
	13,541	Poste Italiane SPA		189,857
	1,097	Prima Industrie SPA * (b)		29,878
	1,858	Sabaf SPA		57,726
	195,688	Saras SPA * (b)		168,075
	2,605	Sesa SPA *		407,877
	8,252,179	Telecom Italia SPA		4,418,202
	15,913,768	Telecom Italia SPA – RSP		9,093,884
	7,560	Unieuro SPA * (b)		235,356
	713,599	Unipol Gruppo SPA (b)		3,946,259
		Total Italy		59,287,966

Shares		Description	Value ($)
		Japan — 11.9%
	17,100	77 Bank Ltd (The)		212,088
	16,400	ADEKA Corp		293,621
	76,500	Aeon Delight Co Ltd		2,340,656
	610,200	Aeon Mall Co Ltd		9,730,202
	15,500	Aichi Corp		121,904
	792,600	Amada Co Ltd		8,562,202
	201,800	Amano Corp		5,314,650
	29,500	AOKI Holdings Inc		173,019
	1,900	Arata Corp		73,273
	52,900	Arcland Sakamoto Co Ltd		688,997
	167,900	Arcs Co Ltd		3,735,415
	1,010,400	Asahi Kasei Corp		11,345,310
	506,100	Astellas Pharma Inc		8,075,329
	9,100	Bando Chemical Industries Ltd		70,120
	199,400	Brother Industries Ltd		4,243,895
	23,300	Bunka Shutter Co Ltd		231,228
	5,600	Canon Electronics Inc		87,774
	8,700	Canon Marketing Japan Inc		206,801
	4,800	Central Glass Co Ltd		92,856
	61,500	Central Japan Railway Co		9,198,883
	1,800	Chiba Bank Ltd (The)		11,692
	4,000	Chiyoda Integre Co Ltd		67,422
	87,100	Chubu Electric Power Co Inc		1,039,469
	373,600	Chugoku Marine Paints Ltd		2,999,448
	9,600	CONEXIO Corp		127,495
	13,700	Dai Nippon Toryo Co Ltd		105,392
	4,000	Dai-Dan Co Ltd		98,687
	103,600	Daihen Corp		4,595,005
	2,000	Daiho Corp		75,578
	4,800	Daiichi Jitsugyo Co Ltd		189,231
	4,500	Daishi Hokuetsu Financial Group Inc		99,104
	2,800	Daito Pharmaceutical Co Ltd (b)		84,258
	125,500	Daiwa House Industry Co Ltd		3,653,535
	13,300	Daiwa Industries Ltd		129,606
	827,500	Daiwabo Holdings Co Ltd		12,868,244
	278,800	Denka Co Ltd		10,623,063
	305,700	Ebara Corp		15,023,828
	114,500	Electric Power Development Co Ltd		1,619,517
	9,200	FJ Next Co Ltd (b)		85,957
	272,300	Fuji Corp		6,877,912
	4,300	Fuji Pharma Co Ltd		45,266
	4,700	Fujimori Kogyo Co Ltd		178,970
	27,700	Fujitsu Ltd (a)		4,518,493
	6,800	Furuno Electric Co Ltd		65,110
	7,800	Furyu Corp		80,035
	7,400	G-7 Holdings Inc		206,485
	21,100	GungHo Online Entertainment Inc (a)		398,274
	63,400	Hachijuni Bank Ltd (The)		219,498
	9,100	Hakuto Co Ltd		130,198
	21,800	Hanwa Co Ltd		641,554
	739,494	Haseko Corp		10,564,361

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	959,900	Hazama Ando Corp		7,337,022
	5,900	Heiwado Co Ltd		126,722
	7,900	Hisamitsu Pharmaceutical Co Inc		437,618
	265,500	Hitachi Ltd		13,988,967
	2,700	Hochiki Corp		29,622
	122,000	Hogy Medical Co Ltd		3,668,650
	35,800	Hokuhoku Financial Group Inc		293,718
	565,800	Honda Motor Co Ltd		17,682,152
	178,500	Horiba Ltd		11,466,951
	1,900	Hosokawa Micron Corp		102,935
	10,100	Hyakujushi Bank Ltd (The)		136,674
	91,800	Iida Group Holdings Co Ltd		2,468,467
	3,200	Inaba Denki Sangyo Co Ltd		74,574
	253,400	Inabata & Co Ltd		4,038,620
	9,200	Information Services International-Dentsu Ltd (a)		325,867
	1,392,400	Inpex Corp (b)		9,506,715
	534,700	ITOCHU Corp		16,124,443
	32,300	Itochu Enex Co Ltd		294,426
	1,600	Itochu-Shokuhin Co Ltd		72,408
	11,900	Itoham Yonekyu Holdings Inc		77,253
	29,400	Itoki Corp		96,590
	16,300	Jaccs Co Ltd		378,748
	237,100	JAFCO Group Co Ltd		17,330,840
	5,500	Japan Petroleum Exploration Co Ltd		98,950
	147,700	Japan Post Insurance Co Ltd		2,936,745
	4,400	Japan Tobacco Inc		87,407
	15,000	Juroku Bank Ltd (The)		268,956
	490,100	JVCKenwood Corp		1,020,842
	676,700	K’s Holdings Corp		8,150,808
	237,100	Kadokawa Corp		9,142,122
	3,000	Kaga Electronics Co Ltd		78,215
	283,000	Kajima Corp		3,926,153
	13,800	Kamei Corp		145,499
	118,900	Kanamoto Co Ltd		2,980,715
	10,400	Kandenko Co Ltd		86,527
	411,300	Kanematsu Corp		5,595,560
	111,900	Kansai Electric Power Co Inc (The)		1,057,154
	4,400	Kato Sangyo Co Ltd		131,733
	750,900	KDDI Corp		25,597,215
	13,700	Keiyo Bank Ltd (The)		52,032
	35,400	Kinden Corp		595,225
	19,400	Kitz Corp		133,219
	8,579	Kohnan Shoji Co Ltd		234,694
	15,300	Kokuyo Co Ltd		241,883
	45,700	Komeri Co Ltd		1,089,049
	399,900	Konica Minolta Inc (b)		2,214,688
	266,200	Konoike Transport Co Ltd		2,743,141
	1,700	Krosaki Harima Corp		71,204
	2,700	Kumagai Gumi Co Ltd		73,899
	800	Kureha Corp		46,789
	5,700	Kyokuto Kaihatsu Kogyo Co Ltd		91,284

Shares		Description	Value ($)
		Japan — continued
	13,600	Kyosan Electric Manufacturing Co Ltd		52,970
	383,400	Kyowa Exeo Corp		9,521,505
	285,500	Kyudenko Corp		8,915,838
	291,800	Macromill Inc		2,335,778
	233,000	Mandom Corp		4,045,462
	57,100	Marubeni Corp		509,843
	336,600	Maruichi Steel Tube Ltd		8,541,598
	5,400	Maruzen Showa Unyu Co Ltd		166,359
	5,000	Matsuda Sangyo Co Ltd		101,674
	344,700	Maxell Holdings Ltd *		3,956,810
	59,000	MCJ Co Ltd		589,813
	277,800	Mebuki Financial Group Inc		600,260
	34,300	Meidensha Corp		707,405
	171,800	Mitsubishi Gas Chemical Co Inc		4,037,172
	5,100	Mitsubishi Research Institute Inc (a)		195,608
	3,827,700	Mitsubishi UFJ Financial Group Inc		21,983,007
	11,100	Mitsuboshi Belting Ltd		178,375
	23,500	Mitsui & Co Ltd		519,784
	46,400	Mitsui Chemicals Inc		1,569,514
	12,600	Mitsui DM Sugar Holdings Co Ltd		208,673
	59,400	Mixi Inc (a)		1,454,101
	13,900	Modec Inc		273,537
	247,200	Morinaga & Co Ltd		7,679,792
	343,400	MS&AD Insurance Group Holdings Inc		10,520,345
	13,800	MTI Ltd		88,609
	43,900	NEC Networks & System Integration Corp (a)		702,716
	267,000	NH Foods Ltd		10,765,434
	12,400	Nichias Corp		308,387
	16,000	Nichiha Corp		435,091
	5,300	Nippn Corp		76,001
	51,200	Nippo Corp		1,327,619
	16,180	Nippon Light Metal Holdings Co Ltd		279,125
	1,900	Nippon Steel Trading Corp		76,428
	704,400	Nippon Telegraph & Telephone Corp		19,075,352
	48,500	Nippon Television Holdings Inc (a)		576,467
	63,000	Nishi-Nippon Financial Holdings Inc		403,678
	3,700	Nishio Rent All Co Ltd		109,492
	7,100	Nisshin Oillio Group Ltd (The)		195,584
	3,800	Nissin Corp		50,295
	1,500	Nitto Denko Corp		118,374
	20,600	Nojima Corp		571,548
	1,344,000	Obayashi Corp		11,422,846
	41,700	Okamura Corp		530,756
	1,500	Okinawa Cellular Telephone Co		67,694
	1,478,000	ORIX Corp		26,111,667
	20,100	Osaka Gas Co Ltd		384,540
	3,700	Osaka Soda Co Ltd		84,859
	7,700	Osaki Electric Co Ltd		42,376
	297,500	Pacific Industrial Co Ltd		3,247,528
	616,800	Penta-Ocean Construction Co Ltd		4,405,039
	9,100	Prima Meat Packers Ltd		254,351

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	8,000	Proto Corp		84,982
	10,900	Raito Kogyo Co Ltd		179,857
	51,300	Raiznext Corp		537,697
	67,800	Renesas Electronics Corp *		710,461
	461,700	Resona Holdings Inc		1,986,157
	44,300	Rohm Co Ltd		4,149,962
	5,700	Ryoden Corp		83,461
	63,500	San-A Co Ltd		2,467,877
	22,700	San-Ai Oil Co Ltd		246,006
	54,200	San-In Godo Bank Ltd (The)		266,390
	35,200	Sanki Engineering Co Ltd		445,949
	185,200	Sankyu Inc		8,103,733
	19,000	Sanwa Holdings Corp		236,539
	116,100	Secom Co Ltd		9,176,652
	9,100	Seikitokyu Kogyo Co Ltd		70,394
	68,600	Sekisui Chemical Co Ltd		1,196,022
	462,800	Sekisui House Ltd		9,740,053
	7,500	Sekisui Jushi Corp		144,767
	9,200	Shimamura Co Ltd		883,172
	1,036,500	Shimizu Corp		8,447,084
	6,900	Shin-Etsu Polymer Co Ltd		66,550
	3,800	Shindengen Electric Manufacturing Co Ltd *		123,776
	6,700	Shinnihon Corp		52,742
	16,900	Shizuoka Gas Co Ltd		161,479
	2,000	Sinanen Holdings Co Ltd		50,415
	16,100	Sinko Industries Ltd		282,472
	18,900	Sintokogio Ltd		130,008
	942,600	SKY Perfect JSAT Holdings Inc		3,730,664
	371,700	Sojitz Corp		1,151,678
	1,342,100	Sumitomo Chemical Co Ltd		7,443,241
	700,500	Sumitomo Dainippon Pharma Co Ltd		13,442,030
	578,200	Sumitomo Forestry Co Ltd		11,766,401
	286,700	Sumitomo Mitsui Trust Holdings Inc		10,023,013
	3,400	Sumitomo Seika Chemicals Co Ltd		111,681
	32,800	Suzuki Motor Corp		1,431,330
	174,700	T Hasegawa Co Ltd		3,428,528
	210,500	Tachi-S Co Ltd		2,401,754
	154,500	Taisei Corp		5,457,139
	384,100	Takara Holdings Inc		5,143,211
	75,800	Takara Leben Co Ltd		242,698
	36,300	Takeuchi Manufacturing Co Ltd (b)		979,265
	374,100	Takuma Co Ltd		6,396,081
	17,200	Tamron Co Ltd		382,507
	697,200	Teijin Ltd		11,473,735
	345,800	TIS Inc (a)		8,872,891
	249,100	Toho Holdings Co Ltd		3,864,598
	2,500	Token Corp		221,188
	3,394,300	Tokyo Electric Power Co Holdings Inc *		10,624,947
	223,700	Tokyo Seimitsu Co Ltd		11,119,569
	42,900	Tokyu Construction Co Ltd		276,108
	9,800	Toli Corp		22,269

Shares		Description	Value ($)
		Japan — continued
	827,600	Toppan Printing Co Ltd		14,453,210
	288,300	Tosei Corp		2,772,841
	716,249	Tosoh Corp		12,735,201
	9,100	Totetsu Kogyo Co Ltd		200,006
	8,600	Towa Pharmaceutical Co Ltd		182,899
	93,000	Toyo Construction Co Ltd		477,891
	2,500	Toyo Ink SC Holdings Co Ltd		46,033
	24,100	Toyo Suisan Kaisha Ltd		982,389
	7,300	Toyota Boshoku Corp		141,169
	116,800	Toyota Industries Corp		10,108,894
	18,500	Toyota Tsusho Corp		843,551
	36,400	TS Tech Co Ltd		517,371
	203,600	Tsumura & Co		6,585,750
	10,600	Unipres Corp		92,809
	8,000	Vital KSK Holdings Inc		52,211
	8,900	Wacoal Holdings Corp		201,971
	9,100	Warabeya Nichiyo Holdings Co Ltd		160,884
	33,000	YAMABIKO Corp		358,970
	91,600	Yamaguchi Financial Group Inc		547,052
	23,300	Yamazen Corp		206,508
	22,800	Yellow Hat Ltd		409,636
	145,800	Yokogawa Bridge Holdings Corp		2,654,710
	7,200	Yuasa Trading Co Ltd		198,031
	190,400	Zenkoku Hosho Co Ltd		7,878,401
		Total Japan		720,389,250
		Kuwait — 0.2%
	737,004	Gulf Bank KSCP		547,580
	16,615	Gulf Cable & Electrical Industries Co KSCP		43,231
	44,411	Humansoft Holding Co KSC		531,720
	3,332,539	Kuwait Finance House KSCP		8,299,201
	333,258	Kuwait Projects Co Holding KSCP		164,315
	99,972	Mobile Telecommunications Co KSCP		197,145
	1,758,037	National Bank of Kuwait SAKP		4,798,060
	36,684	Qurain Petrochemical Industries Co		46,904
		Total Kuwait		14,628,156
		Luxembourg — 0.0%
	3,700	Ternium SA Sponsored ADR		135,457
		Malaysia — 0.0%
	1,532,700	DRB-Hicom Bhd		686,268
	155,100	Gamuda Bhd *		122,232
	41,600	Genting Plantations Bhd		81,231
	915,700	MMC Corp Bhd		258,924
	233,200	Pharmaniaga Bhd		285,475
	258,300	Westports Holdings Bhd		268,565
		Total Malaysia		1,702,695

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Mexico — 1.1%
	12,000	Alpek SAB de CV		13,568
	106,500	Arca Continental SAB de CV		591,583
	301,700	Banco del Bajio SA		517,122
	1,201,900	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander *		1,421,064
	463,600	Cemex SAB de CV Sponsored ADR *		3,838,608
	4,000	Coca-Cola Femsa SAB de CV Sponsored ADR		196,080
	27,600	Concentradora Fibra Danhos SA de CV (REIT)		32,910
	777,700	Credito Real SAB de CV SOFOM ER *		256,917
	138,600	El Puerto de Liverpool SAB de CV – Class C1		581,037
	498,700	Fibra Uno Administracion SA de CV (REIT)		584,629
	624,000	Fomento Economico Mexicano SAB de CV		5,116,562
	88,300	Gentera SAB de CV *		49,873
	96,000	Grupo Aeroportuario del Centro Norte SAB de CV *		614,230
	652,900	Grupo Bimbo SAB de CV – Series A		1,419,348
	3,383,000	Grupo Financiero Banorte SAB de CV – Class O		23,075,328
	119,600	Grupo Financiero Inbursa SAB de CV – Class O *		118,291
	114,813	Grupo Herdez SAB de CV – Series *		253,628
	4,630,200	Grupo Mexico SAB de CV – Series B		22,223,472
	40,000	Grupo Televisa SAB Sponsored ADR		518,800
	13,200	Industrias Bachoco SAB de CV – Series B		50,864
	7,500	Infraestructura Energetica Nova SAB de CV *		30,899
	51,900	Kimberly-Clark de Mexico SAB de CV – Class A		93,518
	143,000	Qualitas Controladora SAB de CV		786,507
	135,100	Regional SAB de CV		728,813
	321,246	Unifin Financiera SAB de CV SOFOM ENR *		377,405
	971,400	Wal-Mart de Mexico SAB de CV		3,101,282
		Total Mexico		66,592,338
		Netherlands — 1.5%
	107,272	ABN AMRO Bank NV CVA *		1,436,361
	159,200	AerCap Holdings NV *		9,392,800
	2,184	Arcadis NV		95,169
	150,925	ASR Nederland NV		6,500,149
	16,510	Evander Gold Mines Ltd (d)		201
	44,285	ForFarmers NV		287,387
	717	Hunter Douglas NV *		72,019
	928,354	ING Groep NV		12,990,549
	452,405	Koninklijke Ahold Delhaize NV		13,170,560
	6,040	Koninklijke Vopak NV		286,215
	146,440	NN Group NV		7,453,509

Shares		Description	Value ($)
		Netherlands — continued
	890,143	PostNL NV (b)		5,231,413
	141,202	Randstad NV		10,995,676
	179,959	Signify NV		11,130,205
	411,938	Stellantis NV		8,059,132
	35,193	Wolters Kluwer NV		3,379,828
		Total Netherlands		90,481,173
		New Zealand — 0.1%
	1,667,884	Meridian Energy Ltd		6,215,611
		Norway — 0.4%
	210,952	Aker Solutions ASA *		384,082
	59,704	Austevoll Seafood ASA (b)		780,588
	27,001	Avance Gas Holding Ltd (b)		139,758
	340,230	BW LPG Ltd		2,351,459
	86,340	DNO ASA *		91,703
	476,088	Elkem ASA *		1,730,443
	13,524	Equinor ASA		294,223
	182,050	Europris ASA		1,218,586
	632,264	Norsk Hydro ASA		4,096,350
	153,372	Norwegian Finans Holding ASA		1,797,198
	439,317	Orkla ASA		4,581,418
	36,490	Sbanken ASA		448,507
	27,627	Selvaag Bolig ASA		201,175
	61,682	SpareBank 1 Nord Norge		624,359
	48,779	SpareBank 1 SMN		691,909
	140,287	SpareBank 1 SR-Bank ASA		1,935,836
	37,813	Wallenius Wilhelmsen ASA *		150,592
		Total Norway		21,518,186
		Pakistan — 0.1%
	150,733	Engro Corp Ltd		305,381
	2,234,815	Engro Fertilizers Ltd		1,026,343
	582,113	Fauji Fertilizer Co Ltd		407,319
	21,639	Hub Power Co Ltd (The)		10,924
	2,032	Lucky Cement Ltd *		12,046
	72,500	National Bank of Pakistan *		16,783
	1,982,012	Oil & Gas Development Co Ltd		1,224,994
	281,224	Pakistan Oilfields Ltd		671,850
	1,124,569	Pakistan Petroleum Ltd		660,279
	262,908	Searle Co Ltd (The)		406,301
	355,374	United Bank Ltd		296,989
		Total Pakistan		5,039,209
		Philippines — 0.1%
	187,900	Aboitiz Power Corp		91,971
	209,360	Manila Electric Co		1,243,808
	20,505,600	Megaworld Corp		1,342,064
	6,530,000	Metro Pacific Investments Corp		536,736
	195,700	Puregold Price Club Inc		160,751
	35,730	Security Bank Corp		91,930

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Philippines — continued
	1,146,125	Semirara Mining & Power Corp		315,997
		Total Philippines		3,783,257
		Poland — 0.5%
	53,749	Asseco Poland SA		1,068,696
	14,931	Budimex SA		1,242,993
	96,133	Cyfrowy Polsat SA		802,113
	20,445	Lubelski Wegiel Bogdanka SA *		131,421
	488,460	Polski Koncern Naftowy ORLEN SA		10,617,763
	2,086,344	Polskie Gornictwo Naftowe i Gazownictwo SA		3,741,865
	345,757	Powszechna Kasa Oszczednosci Bank Polski SA *		3,741,489
	675,846	Powszechny Zaklad Ubezpieczen SA *		6,780,801
		Total Poland		28,127,141
		Portugal — 0.4%
	190,945	Altri SGPS SA		1,354,328
	18,520,092	Banco Comercial Portugues SA – Class R * (b)		3,603,487
	134,675	CTT-Correios de Portugal SA (b)		692,049
	45,486	EDP Renovaveis SA		1,080,727
	1,066,989	EDP – Energias de Portugal SA		6,211,156
	549,425	Galp Energia SGPS SA		6,889,642
	105,484	Mota-Engil SGPS SA * (b)		187,173
	422,517	Navigator Co SA (The)		1,552,481
	298,901	REN – Redes Energeticas Nacionais SGPS SA		841,905
	26,453	Semapa-Sociedade de Investimento e Gestao		379,968
	1,206,437	Sonae SGPS SA		1,167,618
		Total Portugal		23,960,534
		Qatar — 0.1%
	577,173	Doha Bank QPSC		446,159
	264,591	Ooredoo QPSC		503,286
	104,061	Qatar Electricity & Water Co QSC		474,750
	1,331,503	Qatar National Bank QPSC		6,443,336
	444,065	Qatar National Cement Co QSC		605,462
		Total Qatar		8,472,993
		Russia — 3.3%
	10,645,280	Alrosa PJSC		16,611,320
	103,500	Detsky Mir PJSC		214,543
	19,735	Etalon Group Plc GDR (Registered)		31,547
	348,710,000	Federal Grid Co Unified Energy System PJSC		1,039,967
	214,678	Fix Price Group Ltd GDR * (e)		1,749,626
	2,300,440	Gazprom PJSC		8,220,920
	2,277,414	Gazprom PJSC Sponsored ADR		16,168,765
	207,480	Globaltrans Investment Plc Sponsored GDR (Registered)		1,335,985
	80,974,300	Inter RAO UES PJSC		5,587,216

Shares		Description	Value ($)
		Russia — continued
	40,138	LSR Group PJSC		412,376
	255,509	LSR Group PJSC GDR (Registered)		515,909
	121,219	LUKOIL PJSC		9,839,351
	56,870	LUKOIL PJSC Sponsored ADR		4,629,072
	71,842	M.Video PJSC		648,158
	2,447	Magnit PJSC		180,595
	42,982	Magnit PJSC Sponsored GDR (Registered)		654,909
	401,120	Magnitogorsk Iron & Steel Works PJSC		344,060
	116,953	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		1,302,604
	237,629	MMC Norilsk Nickel PJSC ADR		8,506,925
	3,761,630	Moscow Exchange MICEX-RTS PJSC		8,612,507
	27,247	Novatek PJSC Sponsered GDR (Registered)		5,424,116
	353,400	Novolipetsk Steel PJSC		1,271,089
	340,721	Novolipetsk Steel PJSC GDR		12,197,715
	15,760	PhosAgro PJSC GDR (Registered)		322,607
	553,077	Polymetal International Plc		13,328,015
	11,382	Polyus PJSC		2,467,250
	69,207	Polyus PJSC GDR (Registered)		7,531,288
	147,392	QIWI Plc Sponsored ADR (c)		1,619,838
	4,500	QIWI Plc Sponsored ADR (c)		49,496
	31,640	Raspadskaya OJSC		109,931
	3,895	Ros Agro Plc GDR (Registered) (c)		49,937
	17,406	Ros Agro Plc GDR (Registered) (c)		223,032
	31,633,000	ROSSETI PJSC		606,922
	13,523,000	RusHydro PJSC		153,710
	30,090	Safmar Financial Investment  *		188,084
	2,540,700	Sberbank of Russia PJSC		10,736,998
	1,767,651	Sberbank of Russia PJSC Sponsored ADR		29,756,446
	46,592	Severstal PJSC		1,117,207
	224,567	Severstal PJSC GDR (Registered)		5,167,432
	121,700	Surgutneftegas PJSC		60,161
	2,830,728	Surgutneftegas PJSC Sponsored ADR		13,887,130
	73,371	Tatneft PJSC Sponsored ADR		2,944,069
	17,115	TCS Group Holding Plc GDR (Registered)		1,281,223
	17,004,000	Unipro PJSC		668,468
	376,156	VTB Bank PJSC GDR (Registered)		500,028
	47,765	X5 Retail Group NV GDR (Registered) (c)		1,432,126
	68,322	X5 Retail Group NV GDR (Registered) (c)		2,037,996
		Total Russia		201,738,669
		Saudi Arabia — 0.0%
	26,077	Saudi Airlines Catering Co *		557,832
		Singapore — 0.5%
	648,700	Asian Pay Television Trust		55,406
	218,573	CapitaLand Ltd		604,264
	1,039,400	ComfortDelGro Corp Ltd		1,317,817
	353,724	DBS Group Holdings Ltd		8,127,375

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	512,600	First Real Estate Investment Trust		98,825
	2,626,800	Golden Agri-Resources Ltd		466,351
	681,399	Japfa Ltd		450,284
	136,800	Jardine Cycle & Carriage Ltd		2,291,216
	242,500	Sasseur Real Estate Investment Trust		168,658
	1,178,100	Sembcorp Industries Ltd		1,957,502
	954,100	Silverlake Axis Ltd		176,770
	801,900	Singapore Airlines Ltd * (b)		3,006,544
	279,000	StarHub Ltd		257,263
	12,300	Venture Corp Ltd		178,915
	646,900	Wilmar International Ltd		2,340,701
	8,484,377	Yangzijiang Shipbuilding Holdings Ltd		9,545,408
	866,500	Yanlord Land Group Ltd		837,724
		Total Singapore		31,881,023
		South Africa — 1.3%
	2,170,345	Absa Group Ltd *		22,497,006
	39,768	AECI Ltd		293,417
	99,253	Astral Foods Ltd		1,063,636
	254,225	Barloworld Ltd *		2,199,905
	562,304	Bidvest Group Ltd (The)		7,934,760
	748,357	Blue Label Telecoms Ltd *		250,087
	21,561	Distell Group Holdings Ltd *		265,664
	65,322	Foschini Group Ltd (The) *		632,002
	314,329	Imperial Logistics Ltd		1,134,908
	235,610	Investec Ltd		991,394
	177,035	Kumba Iron Ore Ltd		7,888,123
	350,319	Lewis Group Ltd		873,068
	313,674	Motus Holdings Ltd		2,149,338
	72,010	Mr Price Group Ltd		1,209,433
	212,029	MTN Group *		1,559,441
	84,057	Naspers Ltd – N Shares		18,528,425
	572,896	Pepkor Holdings Ltd *		834,568
	205,336	Reunert Ltd		792,004
	2,330,302	RMB Holdings Ltd		231,471
	231,947	Sanlam Ltd		992,398
	38,692	Santam Ltd *		745,251
	88,670	Sappi Ltd *		275,984
	1,091,934	Telkom SA SOC Ltd		3,854,914
	306,013	Truworths International Ltd		1,224,363
	267,529	Tsogo Sun Gaming Ltd *		163,007
	221,336	Wilson Bayly Holmes-Ovcon Ltd *		1,876,311
		Total South Africa		80,460,878
		South Korea — 2.7%
	77,966	BNK Financial Group Inc		555,416
	5,118	Daihan Pharmaceutical Co Ltd		158,607
	1,168	Daou Data Corp		15,154
	3,758	DB HiTek Co Ltd		175,064
	13,514	DB Insurance Co Ltd		612,857
	307,831	DGB Financial Group Inc		2,605,679
	289,917	Dongwon Development Co Ltd		1,609,512

Shares		Description	Value ($)
		South Korea — continued
	6,147	E-MART Inc		859,905
	16,640	GS Home Shopping Inc		2,231,244
	19,003	GS Retail Co Ltd		634,147
	509,122	Hana Financial Group Inc		20,783,481
	81,085	Hankook Tire & Technology Co Ltd		3,509,783
	21,477	Hanwha Corp		611,252
	286,141	Hanwha Life Insurance Co Ltd		1,003,804
	19,489	Hanyang Eng Co Ltd		324,934
	3,315	HDC Hyundai Development Co-Engineering & Construction		86,917
	14,840	Huons Co Ltd		835,265
	30,038	Hyundai Home Shopping Network Corp		2,548,247
	29,278	Hyundai Marine & Fire Insurance Co Ltd		644,442
	10,805	Hyundai Mobis Co Ltd		2,693,126
	5,895	Hyundai Motor Co GDR (Registered) *		293,910
	76,225	JB Financial Group Co Ltd		527,445
	108,367	KB Financial Group Inc		5,552,265
	10,695	KC Co Ltd		258,779
	309,264	Kia Corp		23,395,451
	22,296	Korea Gas Corp *		662,855
	234,469	KT&G Corp		17,595,913
	8,382	Kumho Petrochemical Co Ltd		1,751,697
	81,056	LF Corp		1,462,756
	140,035	LG Electronics Inc		19,022,497
	19,055	Lotte Corp		655,858
	36,546	LOTTE Himart Co Ltd		1,277,470
	28,523	Mirae Asset Life Insurance Co Ltd		104,260
	161	NCSoft Corp		123,029
	863	NHN KCP Corp *		38,478
	555	Ottogi Corp		269,540
	48,427	Samjin Pharmaceutical Co Ltd		1,102,141
	15,718	Samsung Card Co Ltd		468,905
	273,623	Samsung Electronics Co Ltd		19,640,726
	287,826	Shinhan Financial Group Co Ltd		10,920,672
	3,773	Silicon Works Co Ltd		360,893
	151,441	SK Telecom Co Ltd Sponsored ADR		4,852,170
	33,965	SL Corp		948,624
	180	Taekwang Industrial Co Ltd		202,100
	26,575	Woori Financial Capital Co Ltd		277,509
	161,784	Yuhan Corp		9,269,081
		Total South Korea		163,533,860
		Spain — 1.2%
	45,399	Acerinox SA (b)		646,862
	173,563	ACS Actividades de Construccion y Servicios SA		5,349,778
	70,849	Amadeus IT Group SA * (a)		5,346,006
	96,182	Atresmedia Corp de Medios de Comunicacion SA *		471,050
	2,147,854	Banco Bilbao Vizcaya Argentaria SA *		13,415,089
	3,443,882	Banco de Sabadell SA *		2,649,474
	5,071,103	Banco Santander SA *		21,357,965

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Spain — continued
	405,798	Bankinter SA		2,317,126
	246,187	CaixaBank SA		853,506
	70,701	Cia de Distribucion Integral Logista Holdings SA		1,545,916
	23,164	Ebro Foods SA		491,365
	27,069	eDreams ODIGEO SA * (a)		174,151
	21,814	Enagas SA		512,390
	1,386	Faes Farma SA		5,737
	66,524	Gestamp Automocion SA *		362,095
	23,593	Grupo Catalana Occidente SA		995,610
	167,027	Iberdrola SA		2,302,299
	149,451	Industria de Diseno Textil SA		5,808,467
	705,475	Liberbank SA		284,984
	189,867	Linea Directa Aseguradora SA Cia de Seguros y Reaseguros *		370,453
	453,650	Mapfre SA (b)		1,039,580
	248,796	Mediaset Espana Comunicacion SA *		1,745,031
	152,075	Red Electrica Corp SA		3,044,937
	20,635	Repsol SA		276,058
	1,357,143	Unicaja Banco SA		1,524,747
		Total Spain		72,890,676
		Sweden — 0.1%
	21,141	Betsson AB *		9,343
	13,691	Betsson AB – Class B * (a)		121,843
	6,757	Bufab AB		197,134
	18,848	Humana AB *		168,597
	67,972	Inwido AB		1,222,082
	12,999	New Wave Group AB – B Shares *		157,326
	471,007	Nordea Bank Abp		5,116,778
		Total Sweden		6,993,103
		Switzerland — 0.4%
	147,301	Adecco Group AG (Registered)		10,194,809
	747	ALSO Holding AG (Registered) *		221,189
	7,522	BKW AG		836,940
	1,909	Bobst Group SA (Registered) *		135,464
	206,137	Credit Suisse Group AG (Registered)		2,252,395
	2,568	Huber + Suhner AG (Registered)		205,582
	916	Kardex Holding AG (Registered)		205,620
	5,037	Mobilezone Holding AG (Registered)		63,801
	37,844	Novartis AG (Registered)		3,343,165
	22,512	Roche Holding AG – Genusschein		7,880,358
	13,477	UBS Group AG (Registered)		219,624
	1,126	Vetropack Holding AG (Registered)		71,191
	7,245	Zehnder Group AG – Class RG		681,612
		Total Switzerland		26,311,750
		Taiwan — 5.0%
	302,000	Ability Enterprise Co Ltd		165,054
	14,000	Accton Technology Corp		148,055
	14,788	Acter Group Corp Ltd		100,231

Shares		Description	Value ($)
		Taiwan — continued
	11,000	Airtac International Group		398,233
	53,000	Alchip Technologies Ltd		1,010,611
	35,000	Arcadyan Technology Corp		119,462
	1,820,672	Asustek Computer Inc		25,665,202
	63,000	Aten International Co Ltd		189,039
	2,724,000	Catcher Technology Co Ltd		17,934,445
	1,888,000	Cathay Financial Holding Co Ltd		3,773,149
	844,525	Chailease Holding Co Ltd		6,378,522
	479,660	Chicony Electronics Co Ltd		1,336,889
	48,000	Chicony Power Technology Co Ltd		117,528
	47,000	China Development Financial Holding Corp		20,813
	273,000	China Life Insurance Co Ltd		242,477
	226,400	China Motor Corp *		553,476
	356,000	Chong Hong Construction Co Ltd		1,014,134
	1,674,000	Coretronic Corp		3,478,023
	8,329,000	CTBC Financial Holding Co Ltd		6,899,368
	94,000	Delta Electronics Inc		986,281
	61,000	Depo Auto Parts Ind Co Ltd		123,860
	184,000	Elan Microelectronics Corp		1,389,327
	411,000	Elite Material Co Ltd		2,345,939
	374,000	Farglory Land Development Co Ltd		741,104
	17,000	Feng Hsin Steel Co Ltd		45,276
	1,865,000	FLEXium Interconnect Inc *		7,756,510
	6,000	Flytech Technology Co Ltd		13,499
	244,000	Formosa Advanced Technologies Co Ltd		343,886
	295,000	Foxconn Technology Co Ltd		685,320
	4,838,000	Fubon Financial Holding Co Ltd		12,550,958
	6,000	Getac Technology Corp		11,240
	1,174,000	Gigabyte Technology Co Ltd		4,559,155
	4,239,000	Grand Pacific Petrochemical *		3,995,911
	405,000	Highwealth Construction Corp		622,411
	107,000	Holiday Entertainment Co Ltd		239,539
	11,762,406	Hon Hai Precision Industry Co Ltd		46,998,527
	404,000	Huaku Development Co Ltd		1,359,060
	350,980	IEI Integration Corp		637,563
	225,000	International Games System Co Ltd		7,550,840
	155,000	Kung Long Batteries Industrial Co Ltd		804,728
	700,000	Lite-On Technology Corp		1,657,951
	2,000	MediaTek Inc		69,094
	1,683,992	Mercuries Life Insurance Co Ltd *		568,762
	75,000	Merry Electronics Co Ltd		289,361
	537,000	Micro-Star International Co Ltd		3,211,355
	19,000	Nan Liu Enterprise Co Ltd		113,060
	705,000	Novatek Microelectronics Corp		12,803,257
	31,000	Phison Electronics Corp		520,823
	7,106,566	Pou Chen Corp		9,795,158
	6,000	Primax Electronics Ltd		11,501
	1,286,000	Qisda Corp		1,393,668
	876,000	Quanta Computer Inc		2,776,722
	6,438,020	Radiant Opto-Electronics Corp		27,343,615
	1,321,000	Ruentex Development Co Ltd		2,491,715

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	188,000	Shinkong Insurance Co Ltd		269,717
	129,000	Simplo Technology Co Ltd		1,695,568
	6,000	Soft-World International Corp		22,924
	10,000	Standard Foods Corp		18,957
	481,000	Syncmold Enterprise Corp		1,446,614
	35,400	Tah Hsin Industrial Corp		90,404
	262,000	Taiwan Cement Corp		477,979
	246,000	Taiwan PCB Techvest Co Ltd		423,905
	1,913,000	Taiwan Semiconductor Manufacturing Co Ltd		40,617,147
	163,550	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		19,194,228
	13,000	TCI Co Ltd		114,225
	582,733	TOPBI International Holdings Ltd		305,817
	27,064	Topco Scientific Co Ltd		127,674
	483,000	Transcend Information Inc		1,238,529
	305,000	Tripod Technology Corp		1,389,421
	177,681	United Integrated Services Co Ltd		1,489,535
	1,577,000	United Microelectronics Corp		2,963,768
	252,000	Universal Inc		834,985
	408,000	Youngtek Electronics Corp		1,141,487
	10,000	Yulon Nissan Motor Co Ltd		95,571
		Total Taiwan		300,310,142
		Thailand — 0.1%
	3,561,900	AP Thailand Pcl NVDR		979,997
	180,800	Dynasty Ceramic Pcl NVDR		18,146
	158,100	Kasikornbank Pcl (Foreign Registered)		607,015
	323,900	Kasikornbank Pcl NVDR		1,237,994
	58,300	Land & Houses Pcl NVDR		14,921
	363,200	Pruksa Holding Pcl (Foreign Registered)		159,177
	1,409,500	Pruksa Holding Pcl NVDR		617,731
	724,600	PTG Energy Pcl NVDR		442,520
	173,800	Quality Houses Pcl NVDR		12,789
	849,700	SC Asset Corp Pcl (Foreign Registered)		82,589
	19,200	Siam Cement Pcl NVDR (The)		271,537
	383,000	Siam Commercial Bank Pcl NVDR (The)		1,249,093
	207,800	Somboon Advance Technology Pcl NVDR		138,040
	110,200	SPCG Pcl NVDR		69,102
	850,225	Supalai Pcl (Foreign Registered)		573,561
	1,808,600	Thai Beverage Pcl		949,696
	5,001,800	TMBThanachart Bank Pcl NVDR		179,135
	526,300	Total Access Communication Pcl NVDR		521,705
		Total Thailand		8,124,748
		Turkey — 0.6%
	121,631	Akbank TAS		74,554
	966,523	Aksa Akrilik Kimya Sanayii AS		1,842,062
	1,654,517	Arcelik AS		6,171,820
	75	Aselsan Elektronik Sanayi Ve Ticaret AS		132
	16,633	BIM Birlesik Magazalar AS		124,818

Shares		Description	Value ($)
		Turkey — continued
	7,996,159	Dogan Sirketler Grubu Holding AS		2,742,695
	220,674	Dogus Otomotiv Servis ve Ticaret AS		678,137
	716,033	Enerjisa Enerji AS		899,445
	3,905,876	Eregli Demir ve Celik Fabrikalari TAS		8,776,419
	638,081	Haci Omer Sabanci Holding AS		642,748
	187,017	Koza Altin Isletmeleri AS *		2,616,066
	7	Otokar Otomotiv Ve Savunma Sanayi AS		244
	609,402	Selcuk Ecza Deposu Ticaret ve Sanayi AS		630,524
	410,548	Turk Hava Yollari AO *		621,158
	305,785	Turkcell Iletisim Hizmetleri AS		563,666
	143,299	Turkiye Garanti Bankasi AS		133,577
	11,029,404	Turkiye Is Bankasi AS – Class C		6,562,866
	4,412,540	Yapi ve Kredi Bankasi AS		1,114,106
		Total Turkey		34,195,037
		United Arab Emirates — 0.1%
	84,103	Aldar Properties PJSC		84,921
	441,124	Dubai Islamic Bank PJSC		580,110
	551,323	Emaar Malls PJSC *		296,946
	2,687,952	Emaar Properties PJSC		2,960,045
	10,296	Emirates NBD Bank PJSC		37,851
	276,874	First Abu Dhabi Bank PJSC		1,250,011
		Total United Arab Emirates		5,209,884
		United Kingdom — 4.1%
	128,943	3i Group Plc		2,268,955
	105,452	888 Holdings Plc (a)		598,850
	99,365	Aggreko Plc		1,212,281
	144,897	Airtel Africa Plc		161,462
	39,706	Anglo American Plc		1,762,678
	12,512	Antofagasta Plc		273,927
	714,046	Aviva Plc		4,161,056
	24,649	Bank of Georgia Group Plc *		458,537
	37,300	Barclays Plc Sponsored ADR		394,634
	935,463	Barratt Developments Plc		10,012,111
	73,768	Bellway Plc		3,741,882
	231,398	Berkeley Group Holdings Plc (The)		15,336,398
	78,100	BP Plc Sponsored ADR		2,048,563
	64,825	British American Tobacco Plc		2,496,751
	175,700	British American Tobacco Plc Sponsored ADR		6,794,319
	5,191,517	BT Group Plc *		12,850,586
	76,903	Central Asia Metals Plc		296,232
	203,089	Coca-Cola HBC AG *		7,390,263
	339,600	Compass Group Plc * (a)		7,741,347
	42,887	Computacenter Plc (a)		1,632,023
	15,081	Daily Mail & General Trust Plc – Class A (a)		190,812
	108,191	Diversified Energy Co Plc		160,551
	556	Dunelm Group Plc		11,563
	37,591	Electrocomponents Plc		527,190

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	12,098	EMIS Group Plc		203,508
	161,310	Evraz Plc		1,456,645
	61,996	Ferguson Plc		8,419,681
	707,977	Ferrexpo Plc		4,496,981
	124,852	Frasers Group Plc *		1,023,732
	25,100	GlaxoSmithKline Plc Sponsored ADR		973,127
	38,333	Go-Ahead Group Plc (The) *		672,867
	10,465	Grafton Group Plc		174,234
	167,324	Halfords Group Plc *		903,593
	168,494	IG Group Holdings Plc		2,046,494
	41,439	IMI Plc		975,778
	323,262	Indivior Plc *		716,489
	83,066	International Personal Finance Plc *		155,646
	197,345	Investec Plc		868,106
	1,504,615	ITV Plc * (a)		2,734,347
	501,139	J Sainsbury Plc		1,886,459
	176,938	JD Sports Fashion Plc *		2,368,419
	54,401	John Laing Group Plc		310,038
	335,753	Just Group Plc *		524,608
	11,440	Keller Group Plc		135,356
	3,030,172	Kingfisher Plc *		15,378,271
	1,852,886	Legal & General Group Plc		7,469,925
	4,318,172	M&G Plc		14,933,033
	1,303,799	Micro Focus International Plc (a)		9,594,512
	44,668	Morgan Sindall Group Plc		1,415,005
	29,880	National Express Group Plc *		127,862
	184,720	National Grid Plc		2,465,635
	34,465	Natwest Group Plc		100,995
	20,514	Next Plc *		2,369,009
	21,125	Numis Corp Plc		111,809
	164,670	OSB Group Plc		1,093,158
	161,678	Paragon Banking Group Plc		1,115,441
	357,535	Persimmon Plc		15,986,202
	129,456	Pets at Home Group Plc		822,702
	195,599	Phoenix Group Holdings Plc		2,041,784
	126,614	Playtech Plc * (a)		825,943
	193,344	Plus500 Ltd		4,139,332
	543,697	Premier Foods Plc *		817,435
	139,349	QinetiQ Group Plc		702,222
	61,648	Royal Dutch Shell Plc – A Shares		1,191,132
	416,841	Royal Dutch Shell Plc – B Shares		7,578,685
	594,470	Royal Dutch Shell Plc – Class B Sponsored ADR		21,591,150
	622,162	Royal Mail Plc *		5,101,966
	28,866	Smiths Group Plc		633,056
	101,487	Spirent Communications Plc		358,694
	103,796	Stock Spirits Group Plc		394,083
	594,960	Tate & Lyle Plc		6,462,918
	1,630,635	Taylor Wimpey Plc		3,953,385
	42,325	Vesuvius Plc		337,559
	544,859	WPP Plc (a)		7,526,461
		Total United Kingdom		250,208,443

Shares		Description	Value ($)
		United States — 22.9%
	666,004	Aerojet Rocketdyne Holdings, Inc.		32,267,894
	54,000	Aflac, Inc.		3,060,720
	20,500	Akamai Technologies, Inc. * (a)		2,341,305
	172,186	Alexion Pharmaceuticals, Inc. *		30,399,438
	86,800	Alliance Data Systems Corp.(a)		10,507,140
	143,300	Ally Financial, Inc.		7,839,943
	46,323	American Express Co.		7,417,702
	19,400	Anthem, Inc.		7,725,468
	116,830	Apollo Investment Corp.		1,663,659
	37,940	Ares Capital Corp.		738,692
	85,900	Arrow Electronics, Inc. *		10,336,347
	268,900	AT&T, Inc.		7,913,727
	354,887	Athene Holding Ltd. – Class A *		22,226,573
	75,060	Barings BDC, Inc.		785,878
	88,600	Bed Bath & Beyond, Inc. *		2,479,914
	29,100	Best Buy Co., Inc.		3,382,584
	4,100	Bio-Rad Laboratories, Inc. – Class A *		2,469,717
	27,900	Biogen, Inc. *		7,462,692
	2,400	Booking Holdings, Inc. * (a)		5,667,720
	22,300	Booz Allen Hamilton Holding Corp.		1,893,939
	272,000	BorgWarner, Inc.		13,950,880
	78	Bristol-Myers Squibb Co.		5,126
	99,576	Bruin Blocker LLC (d)		57,226
	69,300	Capital One Financial Corp.		11,142,054
	12,100	Capri Holdings Ltd. *		686,191
	188,900	Carrier Global Corp.		8,676,177
	124,400	CBRE Group, Inc. – Class A * (a)		10,919,832
	115,800	Centene Corp. *		8,522,880
	17,100	CenterPoint Energy, Inc.		432,630
	1,351,467	Change Healthcare, Inc. *		31,678,386
	80,175	Charles Schwab Corp. (The)		5,920,924
	210,870	Chatham Lodging Trust (REIT) *		2,777,158
	45,100	Chevron Corp.		4,680,929
	41,600	Cigna Corp.		10,768,160
	33,200	Cisco Systems, Inc.		1,756,280
	157,210	Citigroup, Inc.		12,373,999
	167,740	Citizens Financial Group, Inc.		8,370,226
	86,624	Coca-Cola Co. (The)		4,789,441
	93,800	Cognizant Technology Solutions Corp. – Class A (a)		6,712,328
	74,521	Coherent, Inc. *		19,569,960
	172,400	Comcast Corp. – Class A (a)		9,885,416
	47,500	Consolidated Edison, Inc.		3,668,900
	211,000	Corteva, Inc.		9,600,500
	27,700	Coty Inc. – Class A *		246,807
	123,800	CVS Health Corp.		10,701,272
	30,120	Denbury, Inc. *		2,018,642
	30,300	Discover Financial Services		3,552,978
	502,413	Discovery, Inc. – Class C * (a)		15,097,511
	228,000	DISH Network Corp. – Class A * (a)		9,922,560
	106,900	DR Horton, Inc.		10,186,501
	41,700	Dropbox, Inc. – Class A * (a)		1,140,495

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	100,200	eBay, Inc.		6,100,176
	96,218	EOG Resources, Inc.		7,730,154
	1,288,200	ESC NII Holdings, Inc. (d)		2,576,400
	178,500	Exelon Corp.		8,053,920
	32,300	Facebook, Inc. – Class A * (a)		10,617,979
	33,200	Fidelity National Financial, Inc.		1,560,068
	27,200	FleetCor Technologies, Inc. * (a)		7,464,768
	825,900	Ford Motor Co. *		12,000,327
	9,200	Fortune Brands Home & Security, Inc.		949,072
	116,200	Fox Corp. – Class A (a)		4,340,070
	206,100	Fox Corp. – Class B (a)		7,477,308
	28,700	Franklin Resources, Inc.		981,827
	107,720	Frontier Communications Parent, Inc. *		2,690,846
	171,300	General Motors Co. *		10,159,803
	118,400	Gilead Sciences, Inc.		7,827,424
	22,350	Global Payments, Inc. (a)		4,329,418
	30,100	Goldman Sachs Group, Inc. (The)		11,197,802
	143,455	Grubhub, Inc. *		8,623,080
	15,328	Gulfport Energy Corp. *		958,000
	44,000	Hasbro, Inc.		4,222,680
	41,372	Hilton Worldwide Holdings, Inc. * (a)		5,182,670
	285,600	HP, Inc.		8,348,088
	13,100	IAC/InterActiveCorp * (a)		2,089,057
	369,588	IHS Markit Ltd.		38,921,312
	163,200	Intel Corp.		9,321,984
	74,500	International Business Machines Corp. (a)		10,708,630
	363,700	Invesco Ltd.		10,376,361
	46,600	Jazz Pharmaceuticals Plc *		8,300,858
	151,392	Kansas City Southern		45,066,371
	599,500	Kinder Morgan, Inc.		10,994,830
	160,700	Kohl’s Corp.		8,917,243
	189,800	Kraft Heinz Co. (The)		8,273,382
	219,200	Kroger Co. (The)		8,106,016
	30,000	Laboratory Corp. of America Holdings *		8,234,400
	72,804	Las Vegas Sands Corp. * (a)		4,204,431
	4,700	Lear Corp.		908,792
	62,500	Leidos Holdings, Inc.		6,421,875
	98,900	Lennar Corp. – Class A		9,792,089
	95,186	Liberty Broadband Corp. – Class C * (a)		15,828,480
	153,000	Lincoln National Corp.		10,677,870
	112,700	LKQ Corp. *		5,743,192
	787,000	Lumen Technologies, Inc.		10,892,080
	124,800	Lyft, Inc. – Class A *		7,124,832
	95,000	LyondellBasell Industries NV – Class A		10,698,900
	63,800	Macquarie Infrastructure Corp.		2,225,344
	4,351	Markel Corp. *		5,332,107
	20,800	Masco Corp.		1,254,448
	23,210	Masonite International Corp. *		2,774,756
	235,217	Maxim Integrated Products, Inc.		23,994,486
	92,100	Medical Properties Trust, Inc. (REIT)		1,949,757
	60,600	Merck & Co., Inc.		4,598,934
	160,500	MetLife, Inc.		10,490,280

Shares		Description	Value ($)
		United States — continued
	151,570	MGM Growth Properties LLC – Class A (REIT)		5,436,816
	109,100	Micron Technology, Inc. *		9,179,674
	22,700	Mohawk Industries, Inc. *		4,782,436
	176,200	Molson Coors Brewing Co. – Class B *		10,275,984
	12,521	Murray Energy Corp. (d)		203,466
	487,762	Nuance Communications, Inc. * (a)		25,802,610
	170	NVR, Inc. *		830,829
	10,200	Omnicom Group, Inc. (a)		838,848
	125,600	Oracle Corp. (a)		9,889,744
	24,000	PACCAR, Inc.		2,197,440
	222,821	PG&E Corp. *		2,259,405
	573,238	PNM Resources, Inc.		28,157,451
	487,434	PPD, Inc.*		22,480,456
	247,400	PPL Corp.		7,201,814
	189,017	PRA Health Sciences, Inc. *		32,306,786
	31,800	Principal Financial Group, Inc.		2,079,402
	12,200	Progressive Corp. (The)		1,208,776
	101,300	Prudential Financial, Inc.		10,836,061
	143,300	PulteGroup, Inc.		8,281,307
	51,500	Quest Diagnostics, Inc.		6,781,005
	576,700	Qurate Retail, Inc. – Series A		7,860,421
	62,423	Raytheon Technologies Corp.		5,537,544
	15,300	Regeneron Pharmaceuticals, Inc. *		7,687,179
	7,700	Resolute Forest Products Inc *		129,837
	125,695	Sensata Technologies Holding Plc *		7,470,054
	18,296	SkillSoft Corp. (d)		3,018,840
	861,434	Slack Technologies, Inc. – Class A * (a)		37,937,553
	8,200	Snap-on, Inc.		2,087,884
	165,800	Southeastern Grocers, Inc. * (d)		2,238,300
	104,900	SS&C Technologies Holdings, Inc. (a)		7,748,963
	236,900	Synchrony Financial		11,231,429
	1,507,100	Syncora Holdings Ltd. *		407,068
	4,600	Synopsys, Inc. * (a)		1,169,964
	1	Teledyne Technologies, Inc. *		13
	79,944	Tempur Sealy International, Inc.		3,077,844
	101,500	Textron, Inc.		6,949,704
	1,888,723	The Oneida Group (e)		1,662,076
	446,524	TRU TAJ (e)		4,279,040
	5,869	TRU TAJ Liquidation Unit Trust (d)		58,690
	106,100	Tyson Foods, Inc. – Class A		8,434,950
	18,800	United Rentals, Inc. *		6,278,448
	117,720	Uniti Group, Inc. (REIT)		1,278,439
	67,800	Universal Health Services, Inc. – Class B		10,822,914
	150,108	US Bancorp		9,123,564
	537,731	VEREIT, Inc. (REIT)		25,579,864
	134,200	Verizon Communications, Inc.		7,580,958
	130,687	Verso Corp. – Class A		2,222,986
	68,501	VF Corp.		5,460,900
	187,600	ViacomCBS, Inc. – Class B (a)		7,957,992
	22,307	Viad Corp. *		984,631
	506,800	Viatris, Inc.		7,723,632

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	105,900	VICI Properties, Inc. (REIT)		3,296,667
	21,268	Vimeo, Inc. *		893,250
	48,300	VMware, Inc. – Class A * (a)		7,626,087
	169,900	Walgreens Boots Alliance, Inc.		8,946,934
	69,976	Webster Financial Corp.		3,966,240
	158,873	Wells Fargo & Co.		7,422,547
	309,700	Western Union Co. (The) (a)		7,578,359
	134,600	Western Digital Corp. *		10,125,958
	107,060	Westmoreland Mining Holdings LLC (e)		107,060
	28,100	Whirlpool Corp.		6,662,229
	192,887	Willis Towers Watson Plc		50,412,946
	15,800	WP Carey, Inc. (REIT)		1,192,110
	268,800	Xilinx, Inc.		34,137,600
		Total United States		1,383,408,376
		Vietnam — 0.1%
	1,165,725	Hoa Phat Group JSC		3,392,754
	43,700	Petrovietnam Fertilizer & Chemicals JSC		36,005
	40,100	PetroVietnam Gas JSC		142,618
	46,300	PetroVietnam Nhon Trach 2 Power JSC		38,655
	102,000	PetroVietnam Technical Services Corp		104,121
	62,500	Pha Lai Thermal Power JSC		62,854
	96,200	Vietnam Dairy Products JSC		380,081
	96,500	Vinh Hoan Corp		168,147
		Total Vietnam		4,325,235
		TOTAL COMMON STOCKS (COST $4,475,216,822)		5,036,051,722
		PREFERRED STOCKS (f) — 1.4%
		Brazil — 0.4%
	1,031,600	Banco Bradesco SA		5,253,308
	545,251	Bradespar SA		7,315,070
	7,600	Cia de Transmissao de Energia Eletrica Paulista		38,425
	273,900	Gerdau SA Sponsored ADR		1,711,875
	818,200	Itau Unibanco Holding SA Sponsored ADR		4,663,740
	318,600	Petroleo Brasileiro SA		1,649,944
		Total Brazil		20,632,362
		Chile — 0.0%
	283,083	Embotelladora Andina SA		674,007
		Colombia — 0.0%
	5,809	Banco Davivienda SA		45,275
	1,417,796	Grupo Aval Acciones y Valores SA		407,597
		Total Colombia		452,872
		Germany — 0.2%
	91,573	Bayerische Motoren Werke AG		8,353,135
	1,417	Draegerwerk AG & Co KGaA		131,609

Shares		Description	Value ($)
		Germany — continued
	2,968	Jungheinrich AG		153,584
	4,598	Villeroy & Boch AG		94,797
	10,545	Volkswagen AG		2,903,025
		Total Germany		11,636,150
		Russia — 0.3%
	97,528	Bashneft PJSC		1,540,349
	79,750	Nizhnekamskneftekhim PJSC		83,300
	28,246,500	Surgutneftegas PJSC		17,865,851
	132	Transneft PJSC		255,197
		Total Russia		19,744,697
		South Korea — 0.5%
	25,988	Hyundai Motor Co Ltd Prf		2,557,018
	27,222	Hyundai Motor Co Ltd-2nd Prf		2,666,048
	37,422	LG Electronics Inc		2,401,364
	277,666	Samsung Electronics Co Ltd		17,963,755
	1,990	Samsung Electronics Co Ltd GDR (Registered)		3,239,957
		Total South Korea		28,828,142
		Taiwan — 0.0%
	97,864	Chailease Holding Co Ltd *		349,288
	216,277	CTBC Financial Holding Co Ltd		492,670
		Total Taiwan		841,958
		United States — 0.0%
	38	Gulfport Energy Corp. (d)		168,910
	11,013	Murray Energy Corp. (d)		991,170
		Total United States		1,160,080
		TOTAL PREFERRED STOCKS (COST $65,494,260)		83,970,268
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	1,675,971	Singapore Airlines Ltd, Expires 06/16/21 * (d)		—
		United States — 0.0%
	408,963	Bristol-Myers Squibb Co. * (d)		552,100
	222,285	Contra Clementia Pharma CVR (d) *		300,085
	2,616,810	Media General, Inc. CVR (d) *		130,840
		Total United States		983,025
		TOTAL RIGHTS/WARRANTS (COST $1,183,901)		983,025

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

	Shares / Par Value†		Description	Value ($)
			INVESTMENT FUNDS — 0.7%
			United States — 0.7%
		2,319,051	Altaba, Inc. (d)		33,626,240
		94,022	iShares Core MSCI Emerging Markets ETF		6,266,566
			Total United States		39,892,806
			TOTAL INVESTMENT FUNDS (COST $36,717,989)		39,892,806
			DEBT OBLIGATIONS — 11.3%
			Brazil — 0.1%
			Corporate Debt — 0.1%
		7,170,000	Oi SA, PIK, 10.00%, due 07/27/25		7,290,097
			Canada — 0.0%
			Corporate Debt — 0.0%
		259,350	Air Canada Pass-Through Trust – Class A, 144A, 3.60%, due 09/15/28		262,441
		1,620,000	Bombardier Inc, 144A, 7.88%, due 04/15/27		1,644,300
			Total Canada		1,906,741
			Israel — 0.1%
			Corporate Debt — 0.1%
		5,496,000	Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36		5,888,621
			Jamaica — 0.2%
			Bank Loans — 0.1%
		6,727,043	Digicel International Finance Ltd, 2017 Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.25%, 3.43%, due 05/28/24 (d)		6,449,553
			Corporate Debt — 0.1%
		2,431,041	Digicel Group Holdings Ltd, PIK, 10.00%, due 04/01/24		2,376,342
			Total Jamaica		8,825,895
			Luxembourg — 0.0%
			Bank Loans — 0.0%
		1,948,609	SkillSoft Corp., 2020 Take Back 2nd Out Term Loan, 3 mo. LIBOR plus 7.50%, 8.50%, due 04/27/25 (d)		1,948,609
		519,706	SkillSoft Corp., 2020 DIP Term Loan, 3 mo. LIBOR plus 7.50%, 8.50%, due 12/27/24 (d)		532,376
			Total Luxembourg		2,480,985
			Netherlands — 0.0%
			Corporate Debt — 0.0%
EUR		525,479	Evander Gold Mines Ltd, 10.00%, due 04/19/26 (e)		119,060

Par Value†		Description	Value ($)
		Puerto Rico — 0.1%
		Municipal Obligations — 0.1%
	6,320,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class B, 5.35%, due 07/01/27		6,324,677
		United States — 10.8%
		Asset-Backed Securities — 0.2%
	5,883,743	Alaska Airlines Pass-Through Trust, Series 20-1, Class B, 144A, 8.00%, due 02/15/27		6,605,093
	185,019	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.93%, due 07/26/31		185,005
	430,669	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.09%, due 10/25/37		430,373
	128,353	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 0.88%, due 07/15/31		128,353
	7,063,382	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (g)		7
	4,013,589	JetBlue Pass-Through Trust, Series 20-1, Class B, 7.75%, due 05/15/30		4,634,242
	437,922	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.36%, due 06/25/37		435,833
	476,800	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.94%, due 04/17/28		476,763
	309,410	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.94%, due 01/17/30		308,482
		Total Asset-Backed Securities		13,204,151
		Bank Loans — 0.5%
	3,153,132	American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, PIK, 1 mo. LIBOR plus 13.00%, 3.00%, due 09/16/25 (d)		3,121,601
	1,925,933	Envision Healthcare Corp., 2018 1st Lien Term Loan, 3.75%, due 10/10/25 (d)		1,641,858
	4,794,223	Quorum Health Corporation, 2020 Term Loan, Variable Rate, 3 mo. LIBOR plus 8.25%, 9.25%, due 04/29/25 (d)		4,866,136
	12,265,693	SeaWorld Parks & Entertainment, Inc., Term Loan B5, Variable Rate, 3 mo. LIBOR plus 3.00%, 3.75%, due 03/31/24 (d)		12,166,095
	3,302,182	Serta Simmons Bedding, LLC, 2020 Super Priority Second Out Term Loan, 8.50%, due 08/10/23 (d)		3,150,480

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Bank Loans — continued
	10,949,131	Westmoreland Coal Co., PIK Term Loan, Variable Rate, 3 mo. LIBOR plus 12.50%, due 03/15/29 (e)		1,313,896
		Total Bank Loans		26,260,066
		Corporate Debt — 2.4%
	1,451,035	American Airlines Pass-Through Trust – Class B, 4.38%, due 04/01/24		1,447,935
	1,917,405	American Airlines Pass-Through Trust – Class B, 3.70%, due 11/01/24		1,872,798
	4,448,285	American Airlines Pass-Through Trust – Class B, 4.40%, due 03/22/25		4,292,984
	2,491,664	American Airlines Pass-Through Trust – Class B, 5.25%, due 07/15/25		2,431,220
	2,230,400	American Airlines Pass-Through Trust – Class B, 144A, 4.38%, due 12/15/25		2,158,765
	3,329,190	American Airlines Pass-Through Trust – Class B, 4.95%, due 08/15/26		3,201,066
	4,124,354	American Airlines Pass-Through Trust – Class B, 3.70%, due 04/15/27		3,897,687
	3,092,903	American Airlines Pass-Through Trust – Class B, 3.75%, due 04/15/27		2,956,661
	2,909,495	American Airlines Pass-Through Trust – Class B, 3.85%, due 08/15/29		2,772,091
	2,065,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.38%, due 09/15/24		2,120,342
	1,140,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28		1,172,422
	944,000	Boeing Co. (The), 5.81%, due 05/01/50		1,214,120
	5,927,000	Boeing Co. (The), 5.93%, due 05/01/60		7,705,344
	6,270,000	Carnival Corp, 144A, 7.63%, due 03/01/26		6,865,650
	4,280,000	Carnival Corp, 144A, 5.75%, due 03/01/27		4,547,500
	3,579,000	Carnival Corp, 6.65%, due 01/15/28		3,883,215
	2,835,000	CEC Entertainment LLC, 144A, 6.75%, due 05/01/26		2,863,293
	6,700,000	Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 144A, 6.50%, due 10/01/28		7,118,750
	1,340,000	CHS/Community Health Systems, Inc., 144A, 6.88%, due 04/01/28		1,285,985
	2,514,000	Cooper-Standard Automotive, Inc., 144A, 5.63%, due 11/15/26		2,162,040
	768,000	Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26		800,817
	6,070,000	Dave & Buster’s, Inc., 144A, 7.63%, due 11/01/25		6,464,550
	1,610,000	Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A, 9.50%, due 07/31/27		1,638,175
	2,010,000	EnLink Midstream Partners LP, 5.60%, due 04/01/44		1,797,503
	1,818,000	EnLink Midstream Partners LP, 5.05%, due 04/01/45		1,536,210

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	3,133,000	Envision Healthcare Corp., 144A, 8.75%, due 10/15/26		2,157,634
	1,400,000	Esc Cb Gulfport Energy, 6.38%, due 01/15/26 (d) (g)		49,000
	1,340,000	Ford Motor Credit Co. LLC, 5.58%, due 03/18/24		1,463,159
	290,000	Ford Motor Credit Co. LLC, 4.27%, due 01/09/27		305,161
	2,690,000	Ford Motor Credit Co. LLC, 5.11%, due 05/03/29		2,949,504
	330,563	Frontier Communications Holdings LLC, 5.88%, due 11/01/29		332,703
	860,000	Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 12/31/99		913,750
	4,040,000	Guitar Center, Inc., 144A, 8.50%, due 01/15/26		4,282,400
	2,241,534	Hawaiian Airlines – Class A Pass-Through Certificates, 144A, 7.38%, due 09/15/27		2,549,222
	2,534,100	JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 12/31/99		2,537,268
	4,673,000	Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28		4,743,095
	8,000,000	NCL Finance Ltd., 144A, 6.13%, due 03/15/28		8,337,565
	1,454,000	Owens & Minor, Inc., 4.38%, due 12/15/24		1,510,343
	6,996,000	Royal Caribbean Cruises Ltd, 7.50%, due 10/15/27 (h)		8,220,300
	6,020,000	Royal Caribbean Cruises Ltd, 3.70%, due 03/15/28 (h)		5,787,146
	2,967,000	SeaWorld Parks & Entertainment, Inc., 144A, 8.75%, due 05/01/25		3,211,778
	206,073	Spirit Airlines Pass-Through Trust, 4.10%, due 10/01/29		213,462
	4,597,925	Spirit Airlines Pass-Through Trust, 3.65%, due 08/15/31		4,571,580
	2,180,000	Travel + Leisure Co., 144A, 6.63%, due 07/31/26		2,496,144
	1,070,000	Triumph Group, Inc., 5.25%, due 06/01/22		1,071,070
	1,620,000	Triumph Group, Inc., 144A, 6.25%, due 09/15/24		1,648,593
	1,300,000	Uber Technologies, Inc., 144A, 8.00%, due 11/01/26		1,403,727
	7,689,600	Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.50%, due 02/15/29		7,612,704
	278,000	XHR LP, 144A, REIT, 4.88%, due 06/01/29		282,531
		Total Corporate Debt		146,856,962
		U.S. Government — 7.7%
	95,000,000	U.S. Treasury Note, 0.13%, due 09/30/22 (a)		95,025,977

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	41,000,000	U.S. Treasury Note, 0.13%, due 10/31/22 (a)		41,011,211
	135,000,000	U.S. Treasury Note, 0.13%, due 11/30/22 (a)		135,036,914
	30,000,000	U.S. Treasury Note, 0.13%, due 12/31/22 (a)		30,004,687
	45,000,000	U.S. Treasury Note, 0.13%, due 01/31/23		45,000,000
	120,000,000	U.S. Treasury Note, 0.13%, due 02/28/23		119,995,313
		Total U.S. Government		466,074,102
		Total United States		652,395,281
		TOTAL DEBT OBLIGATIONS (COST $683,611,472)		685,231,357
		MUTUAL FUNDS — 0.6%
		United States — 0.6%
		Affiliated Issuers — 0.6%
	6,831,353	GMO U.S. Treasury Fund (i)		34,430,016
		TOTAL MUTUAL FUNDS (COST $34,430,016)		34,430,016

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.6%
		Foreign Government Obligations — 0.6%
JPY	2,400,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/21/21		21,852,253
JPY	1,700,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/23/21		15,481,468
		Total Foreign Government Obligations		37,333,721
		Money Market Funds — 0.3%
	18,070,612	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (j)		18,070,612
	169,880	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (k)		169,880
		Total Money Market Funds		18,240,492
		U.S. Government — 1.7%
	45,900,000	U.S. Treasury Bill, 0.01%, due 09/09/21 (a) (k) (l)		45,898,406
	46,700,000	U.S. Treasury Bill, 0.04%, due 05/19/22 (k) (l)		46,680,594
	7,300,000	U.S. Treasury Note, 1.75%, due 07/31/21 (k)		7,320,893
		Total U.S. Government		99,899,893
		TOTAL SHORT-TERM INVESTMENTS (COST $155,749,304)		155,474,106

PURCHASED OPTIONS — 0.0%

Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount			Value ($)
Equity Options – Puts — 0.0%
Canadian National Railway Co. (h)	110.00		07/16/21		325		USD	3,658,525	94,250
Canadian National Railway Co. (h)	105.00		07/16/21		670		USD	7,542,190	97,150
Canadian Pacific Railway Ltd.	78.00		06/18/21		460		USD	3,737,960	34,500
Canadian Pacific Railway Ltd.	80.00		09/17/21		756		USD	6,143,256	287,280
	TOTAL PURCHASED OPTIONS (COST $686,016)								513,180
	TOTAL INVESTMENTS — 99.9% (Cost $5,453,089,780)								6,036,546,480

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (26.4)%
			Common Stocks — (26.3)%
			Australia — (0.6)%
	(92,050	)	Afterpay Ltd *		(6,647,956	)
	(1,266,486	)	APA Group		(9,002,908	)
	(58,141	)	ASX Ltd		(3,427,785	)
	(21,690	)	Cochlear Ltd		(3,768,193	)
	(12,045	)	Ramsay Health Care Ltd		(588,994	)
	(1,532,049	)	Sydney Airport *		(6,994,813	)
	(453,262	)	Transurban Group		(4,862,524	)
			Total Australia		(35,293,173	)
			Austria — (0.2)%
	(99,775	)	Verbund AG		(9,232,731	)
			Belgium — (0.0)%
	(16,081	)	Galapagos NV *		(1,227,294	)
			Canada — (0.1)%
	(71,421	)	Canadian National Railway Co (h)		(8,039,862	)
			Denmark — (0.1)%
	(97,566	)	Ambu A/S – Class B		(3,724,029	)
			France — (0.8)%
	(81,068	)	Accor SA *		(3,228,422	)
	(38,038	)	Aeroports de Paris *		(5,168,393	)
	(3,390	)	Eurazeo SE		(299,917	)
	(597,751	)	Getlink SE		(9,427,139	)
	(8,295	)	Hermes International		(11,556,947	)
	(9,282	)	Sartorius Stedim Biotech		(4,023,430	)
	(85,173	)	Ubisoft Entertainment SA *		(6,195,148	)
	(75,782	)	Vivendi SE		(2,759,943	)
	(35,372	)	Wendel SE		(4,947,147	)
	(9,636	)	Worldline SA *		(925,963	)
			Total France		(48,532,449	)
			Germany — (1.1)%
	(61,448	)	Delivery Hero SE *		(8,313,002	)
	(3,901	)	Deutsche Boerse AG		(637,868	)
	(8,636	)	MTU Aero Engines AG		(2,243,463	)
	(91,780	)	Puma SE		(10,489,916	)
	(85,981	)	QIAGEN NV *		(4,263,062	)
	(150,615	)	RWE AG		(5,723,362	)
	(65,996	)	Scout24 AG		(5,370,355	)
	(8,238	)	TeamViewer AG *		(323,009	)
	(3,327,794	)	Telefonica Deutschland Holding AG		(9,158,054	)
	(206,313	)	Uniper SE		(7,576,483	)
	(88,192	)	Zalando SE *		(9,419,963	)
			Total Germany		(63,518,537	)

Shares			Description	Value ($)
			Ireland — (0.3)%
	(77,937	)	ICON Plc *		(17,439,183	)
			Israel — (0.1)%
	(17,800	)	CyberArk Software Ltd *		(2,252,412	)
	(25,500	)	Wix.com Ltd *		(6,626,430	)
			Total Israel		(8,878,842	)
			Italy — (0.5)%
	(65,530	)	Amplifon SPA		(3,078,891	)
	(189,343	)	Atlantia SPA *		(3,609,806	)
	(45,318	)	Ferrari NV		(9,555,688	)
	(577,431	)	FinecoBank Banca Fineco SPA *		(9,615,086	)
	(143,581	)	Infrastrutture Wireless Italiane SPA		(1,608,020	)
			Total Italy		(27,467,491	)
			Japan — (2.4)%
	(395,800	)	Acom Co Ltd		(1,804,390	)
	(252,300	)	Asahi Intecc Co Ltd		(6,272,183	)
	(1,329,500	)	ENEOS Holdings Inc		(5,490,649	)
	(6,200	)	Fast Retailing Co Ltd		(5,041,037	)
	(68,600	)	GMO Payment Gateway Inc		(8,205,049	)
	(273,500	)	Hitachi Metals Ltd *		(5,266,901	)
	(8,200	)	Ibiden Co Ltd		(378,566	)
	(298,700	)	Idemitsu Kosan Co Ltd		(7,089,962	)
	(554,400	)	Isetan Mitsukoshi Holdings Ltd		(4,000,764	)
	(143,300	)	Japan Airport Terminal Co Ltd *		(6,537,926	)
	(141,500	)	Japan Exchange Group Inc		(3,298,496	)
	(1,521	)	Japan Real Estate Investment Corp		(9,220,666	)
	(432,200	)	JGC Holding Corp		(4,147,374	)
	(459,800	)	Keikyu Corp		(6,022,020	)
	(8,500	)	Keio Corp		(539,737	)
	(32,200	)	Kintetsu Group Holdings Co Ltd *		(1,140,559	)
	(309,500	)	Kyushu Electric Power Co Inc		(2,526,368	)
	(40,800	)	Lasertec Corp		(7,187,350	)
	(67,600	)	Lion Corp		(1,190,719	)
	(273,300	)	LIXIL Corp		(7,410,902	)
	(110,300	)	M3 Inc		(7,409,540	)
	(24,600	)	McDonald’s Holdings Co Japan Ltd		(1,102,961	)
	(89,500	)	Mercari Inc *		(4,242,998	)
	(34,300	)	Mitsubishi Materials Corp		(732,888	)
	(342,700	)	MonotaRO Co Ltd		(7,984,226	)
	(9,000	)	Nidec Corp		(1,032,010	)
	(267,900	)	Nihon M&A Center Inc		(6,518,151	)
	(394,500	)	Nippon Paint Holdings Co Ltd		(5,743,292	)
	(52,900	)	Nissin Foods Holdings Co Ltd		(3,835,702	)
	(183,100	)	Odakyu Electric Railway Co Ltd		(4,813,176	)
	(45,900	)	ORIENTAL LAND CO LTD		(6,794,866	)
	(24,300	)	Shiseido Co Ltd		(1,755,982	)
	(8,100	)	Unicharm Corp		(321,603	)
	(50,800	)	Yaskawa Electric Corp		(2,406,835	)
			Total Japan		(147,465,848	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Netherlands — (0.5)%
	(4,292	)	Adyen NV *		(9,933,672	)
	(18,782	)	Heineken Holding NV		(1,901,314	)
	(175,413	)	Just Eat Takeaway.com NV *		(15,851,242	)
			Total Netherlands		(27,686,228	)
			Norway — (0.0)%
	(18,375	)	Schibsted ASA – A Shares		(895,603	)
	(24,518	)	Schibsted ASA – B Shares		(1,014,629	)
			Total Norway		(1,910,232	)
			Russia — (0.0)%
	(69,362	)	Magnit PJSC Sponsored GDR (Registered)		(1,056,856	)
			Singapore — (0.2)%
	(1,323,200	)	Singapore Exchange Ltd		(10,386,455	)
			Spain — (0.7)%
	(187,841	)	Cellnex Telecom SA		(11,395,509	)
	(344,394	)	Endesa SA		(9,929,309	)
	(361,875	)	Ferrovial SA		(10,572,023	)
	(232,507	)	Siemens Gamesa Renewable Energy SA		(7,684,746	)
			Total Spain		(39,581,587	)
			Sweden — (0.2)%
	(57,817	)	Evolution AB		(10,789,239	)
			Switzerland — (0.3)%
	(10	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(1,001,221	)
	(5,813	)	Partners Group Holding AG		(8,773,881	)
	(7,030	)	Straumann Holding AG (Registered)		(11,004,691	)
			Total Switzerland		(20,779,793	)
			United Kingdom — (2.1)%
	(137,467	)	Admiral Group Plc		(5,724,081	)
	(242,258	)	Antofagasta Plc		(5,303,786	)
	(244,753	)	AstraZeneca Plc Sponsored ADR		(13,894,628	)
	(1,251,840	)	Auto Trader Group Plc *		(9,961,434	)
	(2,072,460	)	ConvaTec Group Plc		(6,980,407	)
	(455,344	)	Entain Plc *		(10,646,698	)
	(1,589	)	Experian Plc		(60,881	)
	(98,461	)	Halma Plc		(3,634,330	)
	(433,470	)	Hargreaves Lansdown Plc		(10,157,571	)
	(1,230,959	)	Informa Plc *		(9,476,307	)
	(405,776	)	Land Securities Group Plc (REIT)		(4,039,137	)
	(76,404	)	London Stock Exchange Group Plc		(8,198,269	)
	(177,932	)	Melrose Industries Plc		(434,895	)
	(265,331	)	Ocado Group Plc *		(7,098,914	)
	(4,921,425	)	Rolls-Royce Holdings Plc *		(7,457,159	)
	(564,738	)	Royal Dutch Shell Plc – Class A Sponsored ADR		(21,804,534	)

Shares			Description	Value ($)
			United Kingdom — continued
	(16,955	)	Spirax-Sarco Engineering Plc		(3,047,597	)
			Total United Kingdom		(127,920,628	)
			United States — (16.1)%
	(463,371	)	Advanced Micro Devices, Inc. *		(37,106,750	)
	(279,600	)	AES Corp. (The)		(7,104,636	)
	(4,800	)	Agilent Technologies, Inc.		(663,024	)
	(20,500	)	Airbnb, Inc. – Class A *		(2,878,200	)
	(3,200	)	Align Technology, Inc. *		(1,888,480	)
	(41,900	)	American Tower Corp. (REIT)		(10,703,774	)
	(148,187	)	Analog Devices, Inc.		(24,391,580	)
	(208,201	)	Aon Plc – Class A		(52,751,887	)
	(214,178	)	Apollo Global Management, Inc.		(12,280,967	)
	(97,000	)	Aramark		(3,622,950	)
	(57,800	)	Arthur J Gallagher & Co.		(8,474,058	)
	(32,400	)	Autodesk, Inc. *		(9,261,864	)
	(56,800	)	Avalara, Inc. *		(7,507,256	)
	(13,500	)	Axalta Coating Systems Ltd. *		(437,940	)
	(20,500	)	Ball Corp.		(1,684,280	)
	(20,800	)	BioMarin Pharmaceutical, Inc. *		(1,607,840	)
	(33,000	)	Boeing Co. (The) *		(8,151,660	)
	(32,100	)	Burlington Stores, Inc. *		(10,380,177	)
	(4,700	)	Camden Property Trust (REIT)		(589,286	)
	(52,100	)	Carnival Corp *		(1,540,076	)
	(27,000	)	Carvana Co. *		(7,157,430	)
	(51,500	)	Catalent, Inc. *		(5,398,745	)
	(64,400	)	Ceridian HCM Holding, Inc. *		(5,761,224	)
	(23,563	)	Charter Communications, Inc. – Class A *		(16,365,210	)
	(87,100	)	Cheniere Energy, Inc. *		(7,394,790	)
	(6,700	)	Chipotle Mexican Grill, Inc. *		(9,192,266	)
	(69,400	)	Cloudflare, Inc. – Class A *		(5,694,964	)
	(32,000	)	CME Group, Inc.		(7,000,320	)
	(88,500	)	Cognex Corp.		(7,026,015	)
	(3,200	)	CoStar Group, Inc. *		(2,732,800	)
	(30,300	)	Coupa Software, Inc. *		(7,217,460	)
	(4,500	)	Crowdstrike Holdings, Inc. – Class A *		(999,675	)
	(46,800	)	Crown Castle International Corp. (REIT)		(8,868,600	)
	(156,000	)	Delta Air Lines, Inc. *		(7,438,080	)
	(7,500	)	DENTSPLY SIRONA, Inc.		(501,900	)
	(25,700	)	Dexcom, Inc. *		(9,493,323	)
	(502,413	)	Discovery, Inc. – Class A *		(16,132,481	)
	(44,000	)	DocuSign, Inc. *		(8,871,280	)
	(135,600	)	DraftKings Inc. – Class A *		(6,773,220	)
	(58,000	)	Dynatrace, Inc. *		(3,000,920	)
	(13,200	)	Ecolab, Inc.		(2,839,056	)
	(58,200	)	Enphase Energy, Inc. *		(8,325,510	)
	(35,300	)	Equifax, Inc.		(8,296,912	)
	(12,500	)	Equinix, Inc. (REIT)		(9,209,000	)
	(150,800	)	Equity LifeStyle Properties, Inc. (REIT)		(10,685,688	)
	(4,700	)	Erie Indemnity Co. – Class A		(945,311	)
	(73,400	)	Exact Sciences Corp. *		(8,112,902	)
	(43,400	)	Expedia Group, Inc. *		(7,679,630	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(17,000	)	Fastenal Co.		(901,680	)
	(3,300	)	Fidelity National Information Services, Inc.		(491,634	)
	(2,400	)	Fortinet, Inc. *		(524,496	)
	(11,900	)	Gartner, Inc. *		(2,758,896	)
	(79,300	)	Guidewire Software, Inc. *		(7,750,782	)
	(37,200	)	Halliburton Co.		(835,140	)
	(34,500	)	Hess Corp.		(2,891,790	)
	(412,900	)	Host Hotels & Resorts, Inc. (REIT) *		(7,089,493	)
	(18,600	)	HubSpot, Inc. *		(9,381,468	)
	(13,900	)	IDEXX Laboratories, Inc. *		(7,757,729	)
	(67,812	)	II-VI, Inc. *		(4,568,494	)
	(28,000	)	Ingersoll Rand, Inc. *		(1,389,920	)
	(35,200	)	Insulet Corp. *		(9,492,384	)
	(2,600	)	Intuitive Surgical, Inc. *		(2,189,668	)
	(28,000	)	Ionis Pharmaceuticals, Inc. *		(1,043,000	)
	(46,300	)	IQVIA Holdings, Inc. *		(11,119,408	)
	(88,400	)	Iron Mountain, Inc. (REIT)		(3,848,936	)
	(62,100	)	KKR & Co., Inc.		(3,458,349	)
	(121,100	)	Lamb Weston Holdings, Inc.		(9,989,539	)
	(28,200	)	Liberty Broadband Corp. – Class A *		(4,570,092	)
	(38,500	)	Liberty Broadband Corp. – Class C *		(6,402,165	)
	(217,400	)	Liberty Media Corp-Liberty Formula One – Class C *		(9,706,910	)
	(26,900	)	Liberty Media Corp-Liberty SiriusXM – Class A *		(1,174,454	)
	(31,000	)	Liberty Media Corp-Liberty SiriusXM – Class C *		(1,348,810	)
	(26,100	)	Linde Plc		(7,845,660	)
	(112,100	)	Live Nation Entertainment, Inc. *		(10,101,331	)
	(6,500	)	Lululemon Athletica, Inc. *		(2,100,345	)
	(17,400	)	MarketAxess Holdings, Inc.		(8,117,796	)
	(51,000	)	Marriott International, Inc. – Class A *		(7,322,580	)
	(13	)	Marvell Technology, Inc.		(628	)
	(46,000	)	MGM Resorts International		(1,972,020	)
	(16,100	)	Mid-America Apartment Communities, Inc. (REIT)		(2,587,270	)
	(27,600	)	MongoDB, Inc. *		(8,057,544	)
	(12,400	)	Monolithic Power Systems, Inc.		(4,254,688	)
	(22,800	)	MSCI, Inc.		(10,673,364	)
	(19,200	)	News Corp. – Class A		(518,208	)
	(57,100	)	NIKE Inc. – Class B		(7,791,866	)
	(108,300	)	NiSource, Inc.		(2,761,650	)
	(50,000	)	Novocure Ltd. *		(10,200,000	)
	(83,300	)	Occidental Petroleum Corp.		(2,162,468	)
	(37,600	)	Okta, Inc. *		(8,363,744	)
	(21,700	)	Paycom Software, Inc. *		(7,152,320	)
	(16,700	)	Peloton Interactive, Inc. – Class A *		(1,842,177	)
	(43,900	)	Pioneer Natural Resources Co.		(6,681,141	)
	(312,600	)	Plug Power, Inc. *		(9,596,820	)
	(29,900	)	Public Storage (REIT)		(8,446,152	)
	(379,243	)	Realty Income Corp. (REIT)		(25,940,221	)
	(27,300	)	RingCentral, Inc. – Class A *		(7,165,431	)

Shares			Description	Value ($)
			United States — continued
	(3,200	)	Rockwell Automation, Inc.		(843,904	)
	(24,600	)	Roku, Inc. *		(8,529,066	)
	(183,150	)	Rollins, Inc.		(6,243,584	)
	(88,300	)	Royal Caribbean Cruises Ltd. *		(8,235,741	)
	(117,423	)	S&P Global, Inc.		(44,558,506	)
	(66,860	)	salesforce.com, Inc. *		(15,919,366	)
	(93,700	)	Sarepta Therapeutics, Inc. *		(7,088,405	)
	(28,300	)	SBA Communications Corp. (REIT)		(8,436,796	)
	(18,600	)	ServiceNow, Inc. *		(8,814,168	)
	(61,400	)	Simon Property Group, Inc. (REIT)		(7,889,286	)
	(161,700	)	Snap, Inc. – Class A *		(10,044,804	)
	(29,300	)	Snowflake, Inc. – Class A *		(6,974,279	)
	(115,900	)	Southwest Airlines Co. *		(7,123,214	)
	(61,100	)	Splunk, Inc. *		(7,405,320	)
	(39,600	)	Square, Inc. – Class A *		(8,811,792	)
	(74,500	)	Starbucks Corp.		(8,484,060	)
	(151,648	)	Sterling Bancorp		(4,039,903	)
	(149,500	)	Sunrun, Inc. *		(6,685,640	)
	(13,200	)	Sysco Corp.		(1,069,200	)
	(227,200	)	Targa Resources Corp.		(8,828,992	)
	(46,900	)	Teladoc Health, Inc. *		(7,062,202	)
	(110	)	Teledyne Technologies, Inc. *		(46,142	)
	(13,700	)	Tesla, Inc. *		(8,565,514	)
	(800	)	Trade Desk, Inc. (The) – Class A *		(470,512	)
	(26,900	)	Twilio, Inc. – Class A *		(9,038,400	)
	(98,300	)	Twitter, Inc. *		(5,701,400	)
	(156,600	)	Uber Technologies, Inc. *		(7,959,978	)
	(226,800	)	UDR, Inc. (REIT)		(10,802,484	)
	(28,200	)	Vail Resorts, Inc. *		(9,218,016	)
	(34,900	)	Voya Financial, Inc.		(2,286,648	)
	(21,600	)	Wayfair, Inc. – Class A *		(6,621,264	)
	(3,800	)	West Pharmaceutical Services, Inc.		(1,320,538	)
	(342,400	)	Williams Cos, Inc. (The)		(9,018,816	)
	(7,700	)	Workday, Inc. – Class A *		(1,761,144	)
	(76,300	)	Wynn Resorts Ltd. *		(10,061,681	)
	(50,400	)	Zendesk, Inc. *		(6,887,664	)
	(15,600	)	Zillow Group, Inc. – Class A *		(1,845,324	)
	(72,949	)	Zillow Group, Inc. – Class C *		(8,558,377	)
	(48,900	)	Zscaler, Inc. *		(9,496,380	)
			Total United States		(977,230,568	)
			TOTAL COMMON STOCKS (PROCEEDS $1,463,766,127)		(1,588,161,025	)
			PREFERRRED STOCKS (f) — (0.1)%
			Germany — (0.1)%
	(14,418	)	Sartorius AG		(7,156,206	)
			TOTAL PREFERRED STOCKS (PROCEEDS $(6,278,915)		(7,156,206	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			RIGHTS/WARRANTS — (0.0)%
			Spain — (0.0)%
	(361,875	)	Ferrovial SA, Expires 06/01/21 *		(87,949	)
			TOTAL RIGHTS/WARRANTS (PROCEEDS $86,093)		(87,949	)
			INVESTMENT FUNDS — (0.0)%
			United States — (0.0)%
	(8,790	)	SPDR S&P Oil & Gas Exploration & Production ETF		(782,925	)
			TOTAL INVESTMENT FUNDS (PROCEEDS $716,625)		(782,925	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $1,470,847,760)		(1,596,188,105	)
			Other Assets and Liabilities (net) — 26.5%		1,601,877,828
			TOTAL NET ASSETS — 100.0%		$6,042,236,203

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
06/16/2021	MSCI	AUD	2,795,668	USD	2,160,082		(3,636	)
06/16/2021	SSB	AUD	3,597,085	USD	2,786,035		2,056
06/16/2021	UBSA	AUD	53,025,815	USD	40,560,984		(478,564	)
06/21/2021	MSCI	AUD	61,556,900	USD	47,729,706		86,419
08/10/2021	MSCI	AUD	165,500,050	USD	128,244,334		126,040
06/02/2021	MSCI	BRL	147,399,755	USD	26,929,742		(1,201,594	)
09/02/2021	MSCI	BRL	21,001,571	USD	3,927,656		(43,709	)
07/12/2021	GS	CAD	1,134,060	USD	935,554		(3,964	)
07/12/2021	JPM	CAD	5,596,781	USD	4,631,531		(5,152	)
07/12/2021	MSCI	CAD	2,793,378	USD	2,306,753		(7,435	)
08/12/2021	MSCI	CAD	1,983,817	USD	1,643,151		(284	)
07/06/2021	SSB	CHF	9,847,003	USD	10,779,105		(185,633	)
07/13/2021	BOA	CHF	9,722,680	USD	10,670,000		(158,182	)
07/13/2021	MSCI	CHF	151,973,686	USD	164,241,721		(5,011,884	)
08/19/2021	MSCI	CLP	1,824,880,000	USD	2,548,217		23,780
07/28/2021	JPM	COP	8,581,920,000	USD	2,280,000		(27,188	)
07/28/2021	MSCI	COP	13,598,910,000	USD	3,540,000		(115,969	)
08/17/2021	CITI	CZK	55,824,413	USD	2,670,000		(14,006	)
06/16/2021	GS	EUR	464,505	USD	566,532		(1,639	)
06/21/2021	BOA	EUR	617,410	USD	743,682		(11,593	)
06/21/2021	DB	EUR	137,739,248	USD	165,175,786		(3,320,164	)
06/21/2021	GS	EUR	40,600	USD	48,953		(713	)
06/21/2021	MSCI	EUR	152,009,447	USD	182,251,809		(3,700,826	)
06/30/2021	BCLY	EUR	12,770,000	USD	15,369,385		(254,862	)
06/30/2021	JPM	EUR	22,770,000	USD	27,434,412		(424,953	)
06/21/2021	MSCI	GBP	59,696,600	USD	82,246,215		(2,566,658	)
06/21/2021	SSB	GBP	2,623,221	USD	3,688,070		(38,824	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
06/21/2021	CITI	HKD	111,952,950	USD	14,413,672		(11,171	)
06/21/2021	SSB	HKD	111,952,950	USD	14,413,896		(10,947	)
06/14/2021	CITI	HUF	3,474,545,412	USD	11,527,351		(712,502	)
08/11/2021	CITI	IDR	20,490,402,000	USD	1,410,000		(17,394	)
07/30/2021	BOA	ILS	6,539,005	USD	2,013,076		(1,150	)
07/16/2021	BCLY	INR	544,156,000	USD	7,160,000		(293,187	)
07/16/2021	MSCI	INR	223,938,000	USD	2,970,000		(97,230	)
06/09/2021	BOA	JPY	3,432,049,564	USD	31,380,000		32,773
06/21/2021	CITI	JPY	2,400,000,000	USD	22,023,535		100,552
06/21/2021	MSCI	JPY	17,661,814,200	USD	162,434,649		1,101,455
07/07/2021	MSCI	JPY	993,042,601	USD	9,114,498		42,325
07/07/2021	SSB	JPY	372,324,123	USD	3,424,177		22,723
08/23/2021	JPM	JPY	1,700,000,000	USD	15,649,370		113,310
08/13/2021	CITI	KRW	3,130,641,400	USD	2,780,000		(44,387	)
08/13/2021	JPM	KRW	2,319,513,500	USD	2,050,000		(42,607	)
07/21/2021	BOA	MXN	43,383,449	USD	2,160,000		(5,398	)
06/14/2021	JPM	NOK	110,916,895	USD	13,270,000		(68,767	)
06/16/2021	BCLY	NZD	3,186,381	USD	2,299,249		(19,879	)
06/16/2021	SSB	NZD	4,507,944	USD	3,231,360		(49,635	)
06/16/2021	UBSA	NZD	9,259,603	USD	6,550,410		(188,961	)
08/05/2021	JPM	NZD	49,540,000	USD	35,489,388		(561,937	)
08/05/2021	MSCI	NZD	141,180,000	USD	101,305,827		(1,433,899	)
08/19/2021	JPM	PEN	10,602,130	USD	2,810,000		33,020
07/21/2021	MSCI	PHP	260,925,905	USD	5,349,035		(104,128	)
08/31/2021	JPM	RON	35,170,975	USD	8,706,764		(11,342	)
07/15/2021	GS	SGD	3,582,895	USD	2,690,000		(21,303	)
07/16/2021	BCLY	THB	130,603,200	USD	4,160,000		(20,696	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Forward Currency Contracts (continued)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
07/16/2021	BOA	THB	168,200,848	USD	5,327,617		(56,606	)
07/16/2021	DB	THB	77,098,315	USD	2,450,000		(17,969	)
08/10/2021	JPM	USD	15,156,003	AUD	19,530,000		(37,274	)
06/02/2021	CITI	USD	1,670,000	BRL	9,194,185		84,716
06/02/2021	JPM	USD	7,770,000	BRL	42,386,281		319,448
06/02/2021	MSCI	USD	17,804,805	BRL	95,819,289		482,366
09/02/2021	MSCI	USD	15,268,704	BRL	81,643,285		169,917
07/12/2021	DB	USD	2,296,642	CAD	2,777,667		4,531
08/03/2021	GS	USD	41,560,402	CAD	51,141,014		806,439
08/03/2021	JPM	USD	124,987,373	CAD	153,422,000		2,112,288
07/06/2021	DB	USD	1,306,720	CHF	1,176,618		3,456
07/13/2021	JPM	USD	19,760,000	CHF	18,189,218		497,394
08/19/2021	MSCI	USD	3,060,000	CLP	2,206,260,000		(7,983	)
08/17/2021	JPM	USD	5,166,557	CZK	109,206,816		84,044
06/16/2021	DB	USD	3,514,331	EUR	2,917,741		54,583
06/16/2021	SSB	USD	16,095,918	EUR	13,434,884		337,323
06/16/2021	UBSA	USD	6,192,450	EUR	5,139,389		93,933
06/21/2021	SSB	USD	603,461	EUR	495,610		2,817
06/30/2021	BCLY	USD	39,364,105	EUR	33,220,000		1,280,958
06/30/2021	DB	USD	69,391,901	EUR	58,771,000		2,515,113
07/06/2021	SSB	USD	48,496,120	EUR	40,302,769		820,465
07/19/2021	JPM	USD	36,703,943	EUR	30,301,657		383,904
06/21/2021	MSCI	USD	2,235,825	GBP	1,617,064		61,589
06/21/2021	SSB	USD	1,838,186	GBP	1,332,988		55,633
07/13/2021	BOA	USD	18,105,063	GBP	13,080,000		478,581
07/13/2021	JPM	USD	27,382,987	GBP	19,620,000		492,478
07/13/2021	MSCI	USD	27,975,804	GBP	20,352,700		940,658
06/14/2021	CITI	USD	3,610,000	HUF	1,080,037,408		194,671

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
06/14/2021	DB	USD	3,180,000	HUF	905,065,842		8,294
08/11/2021	JPM	USD	11,397,525	IDR	166,814,181,400		223,016
07/16/2021	GS	USD	3,260,000	INR	240,372,840		32,335
07/16/2021	MSCI	USD	5,871,294	INR	446,335,807		242,071
06/09/2021	BCLY	USD	9,920,000	JPY	1,077,639,360		(77,192	)
06/09/2021	BOA	USD	12,860,000	JPY	1,403,212,856		(43,509	)
06/09/2021	JPM	USD	15,190,000	JPY	1,641,451,147		(197,518	)
06/09/2021	MSCI	USD	101,266,127	JPY	10,959,354,392		(1,166,940	)
07/07/2021	DB	USD	2,533,506	JPY	276,990,914		(2,991	)
07/07/2021	MSCI	USD	53,069,629	JPY	5,794,704,667		(130,750	)
08/13/2021	MSCI	USD	11,631,347	KRW	13,026,992,419		121,281
07/21/2021	MSCI	USD	15,007,737	MXN	300,475,915		(10,085	)
06/14/2021	BCLY	USD	9,700,000	NOK	81,798,645		137,032
06/14/2021	JPM	USD	13,490,000	NOK	114,989,111		338,487
06/14/2021	MSCI	USD	31,920,000	NOK	270,317,982		588,199
08/19/2021	JPM	USD	9,661,941	PEN	35,715,365		(307,136	)
07/21/2021	BCLY	USD	1,990,000	PHP	96,128,940		19,025
08/17/2021	MSCI	USD	575,178	PLN	2,156,816		13,697
08/12/2021	BCLY	USD	14,347,006	RUB	1,082,942,154		255,488
08/05/2021	JPM	USD	25,780,000	SEK	217,801,789		507,302
08/05/2021	MSCI	USD	118,595,529	SEK	1,001,076,720		2,228,117
07/15/2021	MSCI	USD	3,932,859	SGD	5,277,700		60,963
07/28/2021	JPM	USD	3,355,939	TWD	92,888,386		41,009
07/30/2021	CITI	USD	1,060,000	ZAR	15,271,011		42,352
07/30/2021	MSCI	USD	13,801,025	ZAR	200,107,969		643,949
						$	(3,885,530	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
378	Australian Government Bond 10 Yr.	June 2021			40,781,278			338,678
662	CAC40 10 Euro	June 2021			52,218,979			1,356,380
135	Canadian Government Bond 10 Yr.	September 2021			16,109,929			(10,686	)
84	DAX Index	June 2021			39,680,174			483,774
440	FTSE 100 Index	June 2021			43,804,174			1,717,964
195	Gold 100 OZ (k)	August 2021			37,153,350			1,609,157
179	Hang Seng Index	June 2021			33,460,110			375,622
2,993	Mini MSCI Emerging Markets	June 2021			203,658,685			3,871,766
233	MSCI Singapore	June 2021			6,363,663			72,010
163	S&P/TSX 60	June 2021			31,805,273			1,242,996
41	Soybean (k)	July 2021			3,137,525			(53,255	)
376	U.S. Treasury Note 10 Yr. (CBT)	September 2021			49,608,500			18,197
92	WTI Crude (k)	June 2021			6,101,440			78,929
				$	563,883,080		$	11,101,532

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
535	Corn (k)	July 2021			17,568,063			(2,423,556	)
904	E-mini Russell 2000 Index	June 2021			102,540,720			148,431
266	Euro Bund	June 2021			55,124,055			362,194
6,990	Euro STOXX 50	June 2021			346,521,328			(23,700,105	)
870	FTSE 100 Index	June 2021			86,612,798			(3,527,655	)
507	FTSE Taiwan Index	June 2021			30,076,541			(355,988	)
184	FTSE/JSE TOP 40	June 2021			8,212,747			37,663
157	Hang Seng Index	June 2021			29,347,694			(849,493	)
15	Japanese Government Bond 10 Yr. (OSE)	June 2021			20,684,663			(7,603	)
136	NASDAQ 100 E-Mini	June 2021			37,227,280			(888,655	)
1,990	S&P 500 E-Mini	June 2021			418,138,800			(24,948,792	)
162	SGX Nifty 50	June 2021			5,014,256			(75,239	)
180	Silver (k)	July 2021			25,212,600			(2,208,478	)
508	SPI 200 Futures	June 2021			70,329,239			(3,971,450	)
838	TOPIX Index	June 2021			148,034,840			(4,048,238	)
37	U.S. Ultra Bond (CBT)	September 2021			6,854,250			(26,706	)
28	UK Gilt Long Bond	September 2021			5,056,433			(6,780	)
				$	1,412,556,307		$	(66,490,450	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Written Options

Equity Options

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Puts
Royal Caribbean Cruises Ltd.(h)	90.00		01/21/22		(78	)		USD	(727,506	)		(92,040	)
Royal Caribbean Cruises Ltd.(h)	85.00		01/21/22		(81	)		USD	(755,487	)		(73,305	)
			TOTAL WRITTEN OPTIONS (Premiums $305,291)									$(165,345)

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%		0.66%		N/A		12/20/2024		Quarterly		96,637			(13,531	)		(110,168	)
HCA, Inc.	BCLY	USD	1,140,000		5.00%		0.78%		N/A		12/20/2024		Quarterly		(139,584	)		(169,811	)		(30,227	)
Tenet Healthcare Corp.	JPM	USD	570,000		5.00%		2.26%		N/A		12/20/2024		Quarterly		14,841			(53,445	)		(68,286	)
Tenet Healthcare Corp.	JPM	USD	1,140,000		5.00%		2.26%		N/A		12/20/2024		Quarterly		142,500			(106,891	)		(249,391	)
United Rentals North America, Inc.	CSI	USD	1,140,000		5.00%		0.80%		N/A		12/20/2024		Quarterly		(96,605	)		(169,440	)		(72,835	)
United Rentals North America, Inc.	JPM	USD	1,140,000		5.00%		0.80%		N/A		12/20/2024		Quarterly		(51,323	)		(169,440	)		(118,117	)
														$	(33,534	)	$	(682,558	)	$	(649,024	)

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

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

⁽¹⁾  As of May 31, 2021, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month AUD BBSW	0.20%	AUD	76,340,000		06/16/2023	Quarterly		—			3,886			3,886
0.25%	3 Month AUD BBSW	AUD	189,130,000		06/16/2023	Quarterly		(123,738	)		(164,028	)		(40,290	)
0.16%	3 Month AUD BBSW	AUD	79,850,000		06/16/2023	Quarterly		—			41,444			41,444
GBP - SONIA - COMPOUND	0.12%	GBP	530,090,000		06/16/2023	Annually		(19,507	)		(486,538	)		(467,031	)
GBP - SONIA - COMPOUND	0.12%	GBP	247,170,000		06/16/2023	Annually		(23,938	)		(191,850	)		(167,912	)
GBP - SONIA - COMPOUND	0.14%	GBP	84,210,000		06/16/2023	Annually		2,734			(24,805	)		(27,539	)
GBP - SONIA - COMPOUND	0.15%	GBP	68,490,000		06/16/2023	Annually		—			5,051			5,051
3 Month NZD Bank Bill Rate	0.48%	NZD	68,630,000		06/16/2023	Quarterly		—			(135,087	)		(135,087	)
0.65%	3 Month NZD Bank Bill Rate	NZD	417,550,000		06/16/2023	Quarterly		—			(207,237	)		(207,237	)
3 Month NZD Bank Bill Rate	0.55%	NZD	69,760,000		06/16/2023	Quartely		—			(66,929	)		(66,929	)
0.50%	3 Month NZD Bank Bill Rate	NZD	112,310,000		06/16/2023	Quarterly		—			195,165			195,165
0.64%	3 Month NZD Bank Bill Rate	NZD	35,600,000		06/16/2023	Quarterly		(12,256	)		(11,255	)		1,001
0.02%	3 Month SEK STIBOR	SEK	703,600,000		06/16/2023	Quarterly		—			32,362			32,362
0.71%	3 Month CAD LIBOR	CAD	800,060,000		06/19/2023	Semi-Annually		(46,191	)		(251,145	)		(204,954	)
3 Month CAD LIBOR	0.68%	CAD	195,080,000		06/19/2023	Semi-Annually		7,353			(26,182	)		(33,535	)
3 Month CAD LIBOR	0.69%	CAD	73,570,000		06/19/2023	Semi-Annually		—			(4,990	)		(4,990	)
6 Month EURIBOR	(0.45)%	EUR	152,410,000		06/21/2023	Semi-Annually		49,170			54,141			4,971
(0.50)%	6 Month EURIBOR	EUR	73,390,000		06/21/2023	Semi-Annually		—			61,216			61,216
0.30%	3 Month USD LIBOR	USD	287,590,000		06/21/2023	Quarterly		(138,694	)		(400,867	)		(262,173	)
1.82%	6 Month AUD BBSW	AUD	16,640,000		06/16/2031	Semi-Annually		—			(128,812	)		(128,812	)
6 Month AUD BBSW	1.70%	AUD	17,310,000		06/16/2031	Semi-Annually		—			(19,046	)		(19,046	)
6 Month AUD BBSW	1.90%	AUD	106,860,000		06/16/2031	Semi-Annually		45,947			1,444,062			1,398,115
6 Month AUD BBSW	1.89%	AUD	40,970,000		06/16/2031	Semi-Annually		44,626			523,715			479,089
6 Month AUD BBSW	1.78%	AUD	114,290,000		06/16/2031	Semi-Annually		(136,327	)		550,685			687,012
1.97%	3 Month CAD LIBOR	CAD	13,530,000		06/16/2031	Semi-Annually		—			(58,901	)		(58,901	)
2.00%	3 Month CAD LIBOR	CAD	13,530,000		06/16/2031	Semi-Annually		—			(88,778	)		(88,778	)
2.01%	3 Month CAD LIBOR	CAD	28,630,000		06/16/2031	Semi-Annually		—			(195,621	)		(195,621	)
1.95%	3 Month CAD LIBOR	CAD	41,220,000		06/16/2031	Semi-Annually		(6,380	)		(93,214	)		(86,834	)
3 Month CAD LIBOR	2.04%	CAD	208,030,000		06/16/2031	Semi-Annually		1,014			1,985,551			1,984,537
3 Month CAD LIBOR	1.98%	CAD	459,510,000		06/16/2031	Semi-Annually		9,176			2,196,223			2,187,047
3 Month CAD LIBOR	1.97%	CAD	116,890,000		06/16/2031	Semi-Annually		33,552			468,107			434,555
6 Month CHF LIBOR	0.04%	CHF	20,430,000		06/16/2031	Semi-Annually		—			(15,293	)		(15,293	)
6 Month CHF LIBOR	0.03%	CHF	56,060,000		06/16/2031	Semi-Annually		(62,670	)		(60,953	)		1,717
6 Month CHF LIBOR	0.10%	CHF	17,140,000		06/16/2031	Semi-Annually		—			104,253			104,253
0.77%	GBP - SONIA - COMPOUND	GBP	180,380,000		06/16/2031	Annually		351,287			246,444			(104,843	)
0.80%	GBP - SONIA - COMPOUND	GBP	166,460,000		06/16/2031	Annually		(123,136	)		(459,245	)		(336,109	)
0.78%	GBP - SONIA - COMPOUND	GBP	14,350,000		06/16/2031	Annually		—			(9,992	)		(9,992	)
0.73%	GBP - SONIA - COMPOUND	GBP	169,590,000		06/16/2031	Annually		53,362			1,201,789			1,148,427
GBP - SONIA - COMPOUND	0.81%	GBP	14,570,000		06/16/2031	Annually		—			74,256			74,256
3 Month NZD Bank Bill Rate	2.05%	NZD	29,490,000		06/16/2031	Quarterly		182,906			52,188			(130,718	)
3 Month NZD Bank Bill Rate	2.00%	NZD	97,820,000		06/16/2031	Quarterly		60,503			(149,339	)		(209,842	)
3 Month NZD Bank Bill Rate	1.94%	NZD	16,080,000		06/16/2031	Quarterly		—			(98,108	)		(98,108	)
3 Month NZD Bank Bill Rate	1.89%	NZD	8,390,000		06/16/2031	Quarterly		—			(79,410	)		(79,410	)
3 Month NZD Bank Bill Rate	2.12%	NZD	56,570,000		06/16/2031	Quarterly		—			360,796			360,796
3 Month NZD Bank Bill Rate	2.10%	NZD	48,060,000		06/16/2031	Quarterly		—			253,174			253,174
1.93%	3 Month NZD Bank Bill Rate	NZD	15,200,000		06/16/2031	Quarterly		—			100,919			100,919
1.90%	3 Month NZD Bank Bill Rate	NZD	14,910,000		06/16/2031	Quarterly		—			126,075			126,075
3 Month SEK STIBOR	0.80%	SEK	145,700,000		06/16/2031	Quarterly		—			(46,604	)		(46,604	)
6 Month EURIBOR	0.06%	EUR	22,860,000		06/18/2031	Semi-Annually		(36,233	)		(181,027	)		(144,794	)
0.03%	6 Month EURIBOR	EUR	103,440,000		06/18/2031	Semi-Annually		181,770			1,251,105			1,069,335
0.02%	6 Month EURIBOR	EUR	38,190,000		06/18/2031	Semi-Annually		171,673			503,255			331,582
0.05%	6 Month EURIBOR	EUR	143,320,000		06/18/2031	Semi-Annually		(200,665	)		1,330,015			1,530,680
0.05%	6 Month EURIBOR	EUR	42,750,000		06/18/2031	Semi-Annually		95,755			406,243			310,488
6 Month EURIBOR	0.15%	EUR	7,930,000		06/18/2031	Semi-Annually		—			27,474			27,474
6 Month EURIBOR	0.16%	EUR	7,940,000		06/18/2031	Semi-Annually		—			28,000			28,000
1.65%	3 Month USD LIBOR	USD	400,380,000		06/18/2031	Quarterly		(1,307,093	)		(3,443,308	)		(2,136,215	)
1.58%	3 Month USD LIBOR	USD	290,000		06/18/2031	Quarterly		(419	)		(559	)		(140	)
1.62%	3 Month USD LIBOR	USD	12,310,000		06/18/2031	Quarterly		—			(70,084	)		(70,084	)
3 Month USD LIBOR	1.53%	USD	16,540,000		06/18/2031	Quarterly		3,112			(46,917	)		(50,029	)
3 Month USD LIBOR	1.69%	USD	46,940,000		06/18/2031	Quarterly		19,917			582,635			562,718

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (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 USD LIBOR	1.59%	USD	16,190,000		06/18/2031		Quarterly		—			42,798		42,798
3 Month USD LIBOR	1.59%	USD	16,180,000		06/18/2031		Quarterly		—			38,917		38,917
								$	(923,390	)	$	7,075,820	$	7,999,210

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 8.50%)	Appreciation of Total Return on CSI 500 Index	GS	USD	11,515,880		12/07/2021		Monthly		—		593,206			593,206
1 Month JPY LIBOR minus 0.10%	Total Return on MSCI Japan Value Net Total Return Local Index	GS	JPY	842,541,288		04/25/2022		Monthly		—		90,083			90,083
1 Month JPY LIBOR minus 0.10%	Total Return on MSCI Japan Value Net Total Return Local Index	GS	JPY	837,697,631		04/25/2022		Monthly		—		89,565			89,565
1 Month Federal Funds Rate plus 0.10%	Total Return on MSCI World Daily Total Return Net Value Index	GS	USD	10,493,902		05/06/2022		Monthly		—		167,103			167,103
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	GS	USD	10,501,332		05/06/2022		Monthly		—		(311,428	)		(311,428	)
Bank of Japan Unsecured Overnight Call Rate minus 0.18%	Total Return on MSCI Japan Value Net Total Return Local Index	UBSA	JPY	1,306,681,851		05/11/2022		Monthly		—		240,918			240,918
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	12,203,452		05/12/2022		Monthly		—		226,594			226,594
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.10%	UBSA	USD	12,203,511		05/12/2022		Monthly		—		(611,763	)		(611,763	)
1 Month Federal Funds Rate Plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	11,514,596		05/20/2022		Monthly		—		96,855			96,855
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.05%	UBSA	USD	11,514,585		05/20/2022		Monthly		—		(263,243	)		(263,243	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.50%	GS	USD	2,282,166		05/24/2022		Monthly		—		(18,199	)		(18,199	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.75%	GS	USD	9,215,314		05/24/2022		Monthly		—		43,342			43,342
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.50%	GS	USD	6,655,371		05/24/2022		Monthly		—		9,493			9,493
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	3,869,734		10/18/2022		Monthly		—		(295,642	)		(295,642	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.50%	MORD	USD	555,540		10/18/2022		Monthly		—		(15,615	)		(15,615	)
Total Return on Equity Basket (n)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	79,229,509		10/18/2022		Monthly		—		(513,180	)		(513,180	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 2.66%	MORD	USD	6,201,096		05/18/2023		Monthly		—		(255,495	)		(255,495	)
									$	—	$	(727,406	)	$	(727,406	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

As of May 31, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

(d) Investment valued using significant unobservable inputs.

(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) Security is in default.

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

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

(j) The rate disclosed is the 7 day net yield as of May 31, 2021.

(k) 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.

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

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

(n) The following table represents the individual short positions within the custom equity basket swap as of May 31, 2021:

Shares		Description	% of Equity Basket			Value ($)
	52,030,000	Alibaba Pictures Group Ltd		8.7	%		6,970,648
	13,416,000	China Molybdenum Co Ltd – Class H		11.3	%		8,988,971
	708,000	China Resources Beer Holdings Co Ltd		7.9	%		6,281,068
	2,648,000	China Youzan Ltd		0.7	%		545,441
	2,078,000	China Yuhua Education Corp Ltd		2.6	%		2,083,873
	4,792,000	Greentown Service Group Co Ltd		9.3	%		7,408,131
	40,000	Haidilao International Holding Ltd		0.3	%		226,387
	157,900	Hong Kong Exchanges and Clearing Ltd		12.2	%		9,717,573
	2,300,000	Kingdee International Software Group Co Ltd		11.0	%		8,740,003
	43,900	Kuaishou Technology		1.4	%		1,134,917
	234,000	New World Development Co Ltd		1.6	%		1,271,920
	1,350,000	Sands China Ltd		7.7	%		6,169,364
	679,000	SJM Holdings Ltd		1.0	%		775,950
	2,533,200	Wynn Macau Ltd		5.5	%		4,387,128
	583,000	Yihai International Holding Ltd.		5.8	%		4,606,804
	6,714,000	Zijin Mining Group Co Ltd – Class H		13.0	%		10,390,617
		TOTAL COMMON STOCKS				$	79,698,795

The rates shown on variable rate notes are the current interest rates at May 31, 2021, which are subject to change based on the terms of the security.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Portfolio Abbreviations:

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

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.

GDR - Global Depositary Receipt

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen.

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

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

SONIA - Sterling Overnight Interbank Average Rate

SPDR - Standard and Poor’s Depositary Receipt

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

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 International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	666,999	GMO Emerging Markets Fund, Class VI		25,492,700
	8,331,531	GMO International Equity Fund, Class IV		218,452,750
	403,078	GMO-Usonian Japan Value Creation Fund, Class VI		9,915,712
		TOTAL MUTUAL FUNDS (COST $221,431,805)		253,861,162
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	94,922	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		94,922
		TOTAL SHORT-TERM INVESTMENTS (COST $94,922)		94,922
		TOTAL INVESTMENTS — 100.0% (Cost $221,526,727)		253,956,084
		Other Assets and Liabilities (net) — (0.0%)		(70,468	)
		TOTAL NET ASSETS — 100.0%		$253,885,616

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2021.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	9,217,503	GMO Emerging Markets Fund, Class VI		352,292,982
	18,349,638	GMO International Equity Fund, Class IV		481,127,517
	1,394,888	GMO-Usonian Japan Value Creation Fund, Class VI		34,314,254
		TOTAL MUTUAL FUNDS (COST $733,150,542)		867,734,753
		Money Market Funds — 0.0%
	356,832	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		356,832
		TOTAL SHORT-TERM INVESTMENTS (COST $356,832)		356,832
		TOTAL INVESTMENTS — 100.0% (Cost $733,507,374)		868,091,585
		Other Assets and Liabilities (net) — (0.0%)		(4,303	)
		TOTAL NET ASSETS — 100.0%		$868,087,282

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2021.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 70.5%
		United States — 70.5%
		U.S. Government — 70.5%
	20,000,000	U.S. Treasury Note, 1.13%, due 08/31/21		20,054,495
	30,000,000	U.S. Treasury Note, 1.63%, due 12/31/21 (a)		30,271,875
	30,000,000	U.S. Treasury Note, 1.50%, due 01/31/22 (a)		30,287,109
	45,000,000	U.S. Treasury Note, 0.13%, due 11/30/22		45,012,305
	10,000,000	U.S. Treasury Note, 0.13%, due 12/31/22 (b)		10,001,563
	20,000,000	U.S. Treasury Note, 0.13%, due 01/31/23		20,000,000
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.07%, due 10/31/22 (a)		20,010,944
	75,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.06%, due 01/31/23 (a) (b)		75,024,473
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.05%, due 04/30/23		30,002,357
		Total U.S. Government		280,665,121
		TOTAL DEBT OBLIGATIONS (COST $280,558,625)		280,665,121
		SHORT-TERM INVESTMENTS — 28.8%
		Money Market Funds — 1.6%
	6,350,106	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		6,350,106
	8,483	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (b)		8,483
		Total Money Market Funds		6,358,589
		U.S. Government — 27.2%
	25,500,000	U.S. Treasury Bill, 0.02%, due 02/24/22 (a) (b) (d)		25,495,492
	68,500,001	U.S. Treasury Bill, 0.04%, due 05/19/22 (b) (d)		68,471,534
	14,500,000	U.S. Treasury Note, 0.13%, due 04/30/22		14,507,363
		Total U.S. Government		108,474,389
		TOTAL SHORT-TERM INVESTMENTS (COST $114,809,642)		114,832,978
		TOTAL INVESTMENTS — 99.3% (Cost $395,368,267)		395,498,099
		Other Assets and Liabilities (net) — 0.7%		2,930,434
		TOTAL NET ASSETS — 100.0%		$398,428,533

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/16/2021	MSCI	AUD	3,138,156		USD	2,424,707		(4,082	)
06/16/2021	SSB	AUD	3,033,603		USD	2,349,604		1,734
06/16/2021	UBSA	AUD	43,961,384		USD	33,627,337		(396,756	)
07/12/2021	GS	CAD	977,784		USD	806,633		(3,418	)
07/12/2021	JPM	CAD	4,774,785		USD	3,951,375		(4,320	)
07/12/2021	MSCI	CAD	2,391,817		USD	1,975,147		(6,366	)
07/06/2021	SSB	CHF	8,168,030		USD	8,941,203		(153,982	)
06/21/2021	SSB	GBP	2,212,356		USD	3,110,422		(32,743	)
07/07/2021	MSCI	JPY	822,104,539		USD	7,545,568		35,039
07/07/2021	SSB	JPY	311,956,880		USD	2,868,993		19,038
06/16/2021	BCLY	NZD	2,882,490		USD	2,079,965		(17,983	)
06/16/2021	SSB	NZD	3,745,291		USD	2,684,670		(41,246	)
06/16/2021	UBSA	NZD	7,676,732		USD	5,430,658		(156,659	)
07/12/2021	DB	USD	1,944,781		CAD	2,352,109		3,837
07/06/2021	DB	USD	870,895		CHF	784,185		2,303
06/16/2021	DB	USD	2,962,296		EUR	2,459,419		46,009
06/16/2021	SSB	USD	11,224,008		EUR	9,368,415		235,222
06/16/2021	UBSA	USD	4,610,382		EUR	3,826,361		69,934
07/06/2021	SSB	USD	46,616,404		EUR	38,740,628		788,664
07/19/2021	JPM	USD	28,652,605		EUR	23,654,718		299,691
07/19/2021	UBSA	USD	386,032		EUR	316,329		1,140
06/21/2021	MSCI	USD	1,910,399		GBP	1,381,699		52,625
06/21/2021	SSB	USD	1,527,123		GBP	1,107,416		46,219
07/07/2021	DB	USD	2,136,301		JPY	233,564,068		(2,522	)
07/07/2021	MSCI	USD	44,777,569		JPY	4,889,289,577		(110,321	)
							$	671,057

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
321	Australian Government Bond 10 Yr.	June 2021		34,631,720		284,906
568	CAC40 10 Euro	June 2021		44,804,199		1,164,038
114	Canadian Government Bond 10 Yr.	September 2021		13,603,940		(9,107	)
73	DAX Index	June 2021		34,483,961		412,216
377	FTSE 100 Index	June 2021		37,532,213		1,429,127
167	Gold 100 OZ (b)	August 2021		31,818,510		1,378,114
153	Hang Seng Index	June 2021		28,599,983		314,553
1,326	Mini MSCI Emerging Markets	June 2021		90,227,670		1,808,472
197	MSCI Singapore	June 2021		5,380,436		60,863
381	S&P 500 E-Mini	June 2021		80,055,720		901,218
140	S&P/TSX 60	June 2021		27,317,412		1,062,007
34	Soybean (b)	July 2021		2,601,850		(43,941	)
53	TOPIX Index	June 2021		9,362,585		141,874
322	U.S. Treasury Note 10 Yr. (CBT)	September 2021		42,483,875		16,392
79	WTI Crude (b)	June 2021		5,239,280		116,335
			$	488,143,354	$	9,037,067

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
460	Corn (b)	July 2021		15,105,250		(2,085,808	)
776	E-mini Russell 2000 Index	June 2021		88,021,680		64,410
228	Euro Bund	June 2021		47,249,190		307,324
434	FTSE Taiwan Index	June 2021		25,745,994		(304,662	)
157	FTSE/JSE TOP 40	June 2021		7,007,615		19,777
14	Japanese Government Bond 10 Yr. (OSE)	June 2021		19,305,686		(7,005	)
117	NASDAQ 100 E-Mini	June 2021		32,026,410		(768,315	)
154	Silver (b)	July 2021		21,570,780		(1,863,182	)
132	SPI 200 Futures	June 2021		18,274,526		(829,280	)
24	UK Gilt Long Bond	September 2021		4,334,085		(5,812	)
			$	278,641,216	$	(5,472,553	)

+ 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) ($)
1 Month JPY LIBOR minus 0.10%	Total Return on MSCI Japan Value Net Total Return Local Index	GS		JPY	709,508,453		04/25/2022		Monthly		—		75,860			75,860
1 Month JPY LIBOR minus 0.10%	Total Return on MSCI Japan Value Net Total Return Local Index	GS		JPY	705,429,584		04/25/2022		Monthly		—		75,423			75,423
1 Month Federal Funds Rate plus 0.10%	Total Return on MSCI World Daily Total Return Net Value Index	GS		USD	8,883,452		05/06/2022		Monthly		—		141,459			141,459
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	GS		USD	8,880,905		05/06/2022		Monthly		—		(263,373	)		(263,373	)
Bank of Japan Unsecured Overnight Call Rate minus 0.18%	Total Return on MSCI Japan Value Net Total Return Local Index	UBSA		JPY	1,114,915,688		05/11/2022		Monthly		—		205,561			205,561
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	10,326,046		05/12/2022		Monthly		—		191,735			191,735
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.10%	UBSA		USD	10,326,011		05/12/2022		Monthly		—		(517,644	)		(517,644	)
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	9,828,394		05/20/2022		Monthly		—		82,671			82,671
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.05%	UBSA		USD	9,828,409		05/20/2022		Monthly		—		(224,694	)		(224,694	)
										$	—	$	(233,002	)	$	(233,002	)

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2021 (Unaudited)

As of May 31, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

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

(c) The rate disclosed is the 7 day net yield as of May 31, 2021.

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

The rates shown on variable rate notes are the current interest rates at May 31, 2021, 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

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

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NZD - New Zealand Dollar

USD - United States Dollar

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 39.8%
		Australia — 1.2%
	25,718	Accent Group Ltd		53,973
	136	Ansell Ltd (a)		4,269
	26,425	Asaleo Care Ltd		28,627
	499	AUB Group Ltd		7,533
	48,596	Australian Pharmaceutical Industries Ltd		43,279
	33,730	Bank of Queensland Ltd		234,855
	11,279	Bendigo & Adelaide Bank Ltd		91,258
	33,668	BlueScope Steel Ltd		555,830
	4,919	Computershare Ltd (a)		61,460
	774	CSR Ltd		3,328
	61,460	Dexus (REIT)		493,063
	51,629	Fortescue Metals Group Ltd		881,736
	31,008	Genworth Mortgage Insurance Australia Ltd *		66,227
	164,757	GPT Group (The) (REIT)		590,902
	3,736	JB Hi-Fi Ltd		138,701
	9,532	McMillan Shakespeare Ltd		90,015
	109,356	Mirvac Group (REIT)		237,467
	5,255	Rio Tinto Ltd		498,461
	28,526	Sandfire Resources Ltd		157,253
	147,509	Scentre Group (REIT)		312,349
	63,092	Stockland (REIT)		227,250
		Total Australia		4,777,836
		Belgium — 0.4%
	20,316	Ageas SA/NV		1,314,328
	1,460	Bekaert SA		70,189
	7,184	bpost SA *		95,895
	3,505	UCB SA		328,996
		Total Belgium		1,809,408
		Canada — 1.0%
	8,376	Brookfield Asset Management Inc – Class A		421,648
	6,600	Canadian Apartment Properties (REIT)		302,014
	500	Canadian Tire Corp Ltd – Class A		85,576
	200	Canadian Western Bank		6,059
	3,800	Canfor Corp *		94,147
	9,800	Cascades Inc		110,732
	11,758	Celestica Inc *		101,516
	1,100	Cogeco Inc (a)		86,512
	7,800	Corus Entertainment Inc – B Shares (a)		39,579
	2,600	iA Financial Corp Inc		149,601
	7,100	Imperial Oil Ltd		234,267
	5,300	Intertape Polymer Group Inc		128,327
	200	Laurentian Bank of Canada		7,223
	3,900	Linamar Corp		255,330
	6,200	Magna International Inc		623,464
	300	Martinrea International Inc		3,377
	300	Mullen Group Ltd		3,233

Shares		Description	Value ($)
		Canada — continued
	6,117	Nutrien Ltd		380,172
	14,200	Power Corp of Canada		463,127
	600	RioCan Real Estate Investment Trust		10,549
	10,800	Tourmaline Oil Corp		263,105
	6,600	Transcontinental Inc – Class A		122,871
		Total Canada		3,892,429
		China — 1.1%
	62,000	Agile Group Holdings Ltd		87,486
	735,000	Bank of Communications Co Ltd – Class H		496,355
	19,500	Beijing Enterprises Holdings Ltd		68,064
	206,000	China Communications Services Corp Ltd – Class H		86,531
	4,716,000	China Huarong Asset Management Co Ltd – Class H (b)		461,823
	21,500	China Overseas Land & Investment Ltd		52,118
	1,117,000	China Railway Group Ltd – Class H		589,641
	420,000	China Zhongwang Holdings Ltd *		105,956
	514,000	Dongfeng Motor Group Co Ltd – Class H		488,439
	46,000	Fosun International Ltd		74,244
	296,800	Guangzhou R&F Properties Co Ltd – Class H		400,676
	24,500	Kingboard Holdings Ltd		135,417
	22,800	Momo Inc Sponsored ADR (a)		319,884
	38,000	Seazen Group Ltd *		43,084
	57,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		126,570
	109,000	Shimao Group Holdings Ltd		312,729
	104,000	Sinopharm Group Co Ltd – Class H		346,887
	346,000	Skyworth Group Ltd *		98,590
	466,000	Yuzhou Group Holdings Co Ltd		137,376
		Total China		4,431,870
		Denmark — 0.4%
	231	Carlsberg A/S – Class B		42,427
	30,289	Danske Bank A/S		570,506
	5,178	Pandora A/S		699,396
	4,737	Scandinavian Tobacco Group A/S		100,886
		Total Denmark		1,413,215
		Finland — 0.3%
	1,802	Kesko Oyj – B Shares		62,651
	6,891	Neste Oyj		454,508
	83,149	Nokia Oyj *		433,873
	2,184	Uponor Oyj		65,360
		Total Finland		1,016,392
		France — 1.3%
	5,235	ALD SA		80,217
	5,534	APERAM SA		305,102
	5,946	Atos SE (a)		397,637

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		France — continued
	1,298	BNP Paribas SA		89,361
	10,144	Derichebourg SA *		104,011
	161	Eiffage SA		17,765
	2,665	IPSOS (a)		109,411
	441	Kering SA		403,867
	573	LVMH Moet Hennessy Louis Vuitton SE		458,991
	5,872	Metropole Television SA (a)		124,562
	42,332	Natixis SA *		209,200
	2,935	Orange SA		37,455
	10,884	Publicis Groupe SA (a)		735,716
	3,784	Quadient SA		110,836
	20,647	Renault SA *		856,782
	3,661	Safran SA		553,579
	19,742	Societe Generale SA		632,120
	11,892	Television Francaise 1 (a)		124,300
	1,504	Vicat SA		79,440
		Total France		5,430,352
		Germany — 1.1%
	292	Aroundtown SA		2,463
	46	Aurubis AG		4,305
	7,521	Bayer AG (Registered)		479,415
	2,503	Bayerische Motoren Werke AG		265,712
	2,813	Beiersdorf AG		333,494
	6,897	Daimler AG (Registered)		643,474
	7,326	Deutsche Pfandbriefbank AG		86,740
	6,362	Dialog Semiconductor Plc *		504,410
	387	Draegerwerk AG & Co KGaA (a)		34,966
	8,913	Fresenius SE & Co KGaA (a)		484,512
	7,599	HeidelbergCement AG		694,537
	1,287	Hornbach Baumarkt AG		61,711
	1,528	Hornbach Holding AG & Co KGaA		170,367
	4,010	Kloeckner & Co SE *		55,298
	15	ProSiebenSat.1 Media SE (a)		337
	3,680	SAP SE (a)		515,250
	1,075	Takkt AG		18,167
	26	VERBIO Vereinigte BioEnergie AG		1,431
		Total Germany		4,356,589
		Hong Kong — 0.7%
	4,400	Bank of East Asia Ltd (The)		9,020
	19,000	Chow Sang Sang Holdings International Ltd		33,151
	243,000	CITIC Telecom International Holdings Ltd		81,104
	73,000	CK Hutchison Holdings Ltd		581,984
	21,200	Dah Sing Financial Holdings Ltd		75,467
	466,000	First Pacific Co Ltd		162,576
	2,000	Hang Lung Group Ltd		4,951
	49,000	Johnson Electric Holdings Ltd		130,493
	56,000	K Wah International Holdings Ltd		27,621
	79,000	Kerry Properties Ltd		272,404

Shares		Description	Value ($)
		Hong Kong — continued
	4,000	Luk Fook Holdings International Ltd		11,229
	199,000	Pacific Textiles Holdings Ltd		132,754
	591,000	PCCW Ltd		326,819
	226,000	Shun Tak Holdings Ltd		72,307
	60,000	Sun Hung Kai & Co Ltd		33,260
	8,500	Swire Pacific Ltd – Class A		66,165
	102,000	VSTECS Holdings Ltd		99,637
	29,200	VTech Holdings Ltd		301,697
	94,500	Yue Yuen Industrial Holdings Ltd		246,729
		Total Hong Kong		2,669,368
		India — 0.4%
	89,393	Indiabulls Housing Finance Ltd		274,856
	38,418	NTPC Ltd		57,803
	384,278	Oil & Natural Gas Corp Ltd		597,591
	290,521	REC Ltd		585,851
		Total India		1,516,101
		Ireland — 0.4%
	42,546	AIB Group Plc *		141,701
	67,710	Bank of Ireland Group Plc *		438,787
	2,710	Glanbia Plc		45,144
	71,600	Hibernia REIT Plc		104,525
	9,692	Origin Enterprises Plc		43,428
	20,576	Ryanair Holdings Plc *		421,395
	9,904	Smurfit Kappa Group Plc		524,677
		Total Ireland		1,719,657
		Israel — 0.2%
	1,600	Check Point Software Technologies Ltd *		187,168
	11,916	Isracard Ltd *		48,029
	48,900	Teva Pharmaceutical Industries Ltd Sponsored ADR *		508,560
		Total Israel		743,757
		Italy — 0.9%
	1,946	A2A SPA		4,063
	3,839	Ascopiave SPA		17,361
	1,751	Banca IFIS SPA		27,403
	18,959	Banca Popolare di Sondrio SCPA		93,084
	23,456	Banco BPM SPA		83,034
	749	Biesse SPA *		27,734
	19,692	Buzzi Unicem SPA		558,307
	3,639	Cementir Holding NV		41,554
	4,544	Credito Emiliano SPA		29,692
	16,025	EXOR NV		1,379,669
	2,534	Italgas SPA		16,762
	1,690	La Doria SPA		36,459
	30,284	Leonardo SPA		264,478
	2,432	Mediobanca Banca di Credito Finanziario SPA *		28,958
	348	Sesa SPA *		54,488

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	259,507	Telecom Italia SPA		138,940
	1,150,806	Telecom Italia SPA – RSP		657,625
	58,737	Unipol Gruppo SPA		324,820
		Total Italy		3,784,431
		Japan — 9.8%
	1,700	77 Bank Ltd (The)		21,085
	2,100	ADEKA Corp		37,598
	5,700	Aeon Delight Co Ltd		174,402
	28,100	Aeon Mall Co Ltd		448,080
	38,100	Amada Co Ltd		411,582
	7,000	Amano Corp		184,354
	600	Arata Corp		23,139
	6,400	Arcland Sakamoto Co Ltd		83,357
	13,200	Arcs Co Ltd		293,672
	52,100	Asahi Kasei Corp		585,007
	15,200	Astellas Pharma Inc		242,531
	200	Belluna Co Ltd		2,002
	14,300	Brother Industries Ltd		304,351
	1,100	Canon Marketing Japan Inc		26,147
	3,700	Central Japan Railway Co		553,429
	10,600	Chubu Electric Power Co Inc		126,502
	24,900	Chugoku Marine Paints Ltd		199,910
	400	Credit Saison Co Ltd		5,064
	200	Dai Nippon Toryo Co Ltd		1,539
	6,800	Daihen Corp		301,603
	400	Daiichi Jitsugyo Co Ltd		15,769
	900	Daishi Hokuetsu Financial Group Inc		19,821
	7,300	Daiwa House Industry Co Ltd		212,516
	52,100	Daiwabo Holdings Co Ltd		810,194
	13,300	Denka Co Ltd		506,767
	200	Dexerials Corp		4,072
	13,600	Ebara Corp		668,381
	300	Eizo Corp		12,925
	7,300	Electric Power Development Co Ltd		103,253
	1,000	ESPEC Corp		18,316
	9,500	Fuji Corp		239,956
	300	Fuji Media Holdings Inc (a)		3,416
	200	Fujimi Inc		9,199
	600	Geo Holdings Corp		6,019
	2,600	GungHo Online Entertainment Inc (a)		49,076
	1,900	Gunma Bank Ltd (The)		6,287
	5,200	Hachijuni Bank Ltd (The)		18,003
	2,600	Hanwa Co Ltd		76,516
	33,500	Haseko Corp		478,579
	51,100	Hazama Ando Corp		390,584
	800	Heiwado Co Ltd		17,183
	600	Hirogin Holdings Inc		3,288
	1,000	Hisamitsu Pharmaceutical Co Inc		55,395
	5,800	Hitachi Ltd		305,597
	8,400	Hogy Medical Co Ltd (a)		252,596
	4,500	Hokuhoku Financial Group Inc		36,920

Shares		Description	Value ($)
		Japan — continued
	28,300	Honda Motor Co Ltd		884,420
	8,800	Horiba Ltd		565,317
	10,300	Iida Group Holdings Co Ltd		276,963
	700	Inaba Denki Sangyo Co Ltd		16,313
	19,900	Inabata & Co Ltd		317,161
	83,600	Inpex Corp		570,785
	18,700	ITOCHU Corp		563,918
	3,000	Itochu Enex Co Ltd		27,346
	500	Iyo Bank Ltd (The)		2,675
	3,000	Jaccs Co Ltd		69,708
	12,500	JAFCO Group Co Ltd		913,688
	12,400	Japan Post Insurance Co Ltd		246,551
	2,400	Juroku Bank Ltd (The)		43,033
	40,400	JVCKenwood Corp		84,150
	39,700	K’s Holdings Corp		478,184
	12,200	Kadokawa Corp (a)		470,409
	30,700	Kajima Corp		425,911
	9,000	Kanamoto Co Ltd		225,622
	29,300	Kanematsu Corp		398,614
	700	Kanematsu Electronics Ltd (a)		23,095
	8,100	Kansai Electric Power Co Inc (The)		76,523
	23,800	KDDI Corp		811,311
	3,900	Kinden Corp		65,576
	900	Kissei Pharmaceutical Co Ltd		17,456
	1,100	Kohnan Shoji Co Ltd		30,092
	1,400	Kokuyo Co Ltd		22,133
	4,000	Komeri Co Ltd		95,322
	49,100	Konica Minolta Inc		271,921
	20,000	Konoike Transport Co Ltd		206,096
	300	Kureha Corp		17,546
	19,600	Kyowa Exeo Corp		486,754
	13,400	Kyudenko Corp		418,467
	21,500	Macromill Inc		172,101
	15,700	Mandom Corp		272,591
	17,800	Maruichi Steel Tube Ltd		451,695
	500	Maruzen Showa Unyu Co Ltd		15,404
	26,100	Maxell Holdings Ltd *		299,602
	38,300	Mebuki Financial Group Inc		82,757
	4,900	Meidensha Corp		101,058
	17,600	Mitsubishi Gas Chemical Co Inc		413,587
	140,000	Mitsubishi UFJ Financial Group Inc		804,039
	1,000	Mitsuboshi Belting Ltd		16,070
	5,200	Mitsui Chemicals Inc		175,894
	1,200	Mitsui DM Sugar Holdings Co Ltd		19,874
	6,700	Mixi Inc (a)		164,015
	200	Mizuho Leasing Co Ltd		6,352
	12,800	Morinaga & Co Ltd		397,659
	17,300	MS&AD Insurance Group Holdings Inc		530,000
	4,200	NEC Networks & System Integration Corp (a)		67,230
	14,400	NH Foods Ltd		580,608
	1,500	Nichiha Corp		40,790
	3,800	Nippo Corp		98,534

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,050	Nippon Light Metal Holdings Co Ltd		35,365
	1,500	Nippon Soda Co Ltd		46,447
	300	Nippon Steel Trading Corp		12,068
	23,600	Nippon Telegraph & Telephone Corp		639,095
	6,500	Nippon Television Holdings Inc (a)		77,258
	7,700	Nishi-Nippon Financial Holdings Inc		49,338
	500	Nishio Rent All Co Ltd		14,796
	300	Nisshin Oillio Group Ltd (The)		8,264
	1,400	Nissin Electric Co Ltd		16,367
	2,600	Nojima Corp		72,137
	400	Nomura Real Estate Holdings Inc		10,491
	800	Obara Group Inc		27,771
	101,800	Obayashi Corp		865,213
	4,800	Okamura Corp		61,094
	81,200	ORIX Corp		1,434,552
	2,500	Osaka Gas Co Ltd		47,828
	600	Osaka Soda Co Ltd		13,761
	22,700	Pacific Industrial Co Ltd		247,795
	21,700	Penta-Ocean Construction Co Ltd		154,976
	200	Pressance Corp		3,139
	2,000	Proto Corp		21,246
	1,400	Raito Kogyo Co Ltd		23,101
	5,300	Raiznext Corp		55,552
	56,000	Resona Holdings Inc		240,903
	100	Rinnai Corp		9,940
	1,600	Rohm Co Ltd		149,886
	4,400	San-A Co Ltd		171,002
	2,200	San-Ai Oil Co Ltd		23,842
	4,300	Sanki Engineering Co Ltd		54,477
	9,800	Sankyu Inc		428,815
	2,400	Sanwa Holdings Corp		29,879
	100	Sanyo Chemical Industries Ltd		5,086
	6,100	Secom Co Ltd		482,150
	3,100	Sekisui Chemical Co Ltd		54,048
	27,600	Sekisui House Ltd		580,867
	600	Sekisui Jushi Corp		11,581
	900	Shimamura Co Ltd		86,397
	84,700	Shimizu Corp		690,273
	1,100	Shizuoka Bank Ltd (The)		8,812
	1,600	Shizuoka Gas Co Ltd		15,288
	1,500	Sinko Industries Ltd		26,317
	66,800	SKY Perfect JSAT Holdings Inc (a)		264,384
	200	Starts Corp Inc		5,094
	65,600	Sumitomo Chemical Co Ltd		363,815
	49,300	Sumitomo Dainippon Pharma Co Ltd		946,027
	27,100	Sumitomo Forestry Co Ltd		551,486
	15,400	Sumitomo Mitsui Trust Holdings Inc		538,383
	500	Sumitomo Seika Chemicals Co Ltd		16,424
	2,200	Suzuki Motor Corp		96,004
	11,800	T Hasegawa Co Ltd		231,578
	16,600	Tachi-S Co Ltd		189,402
	9,300	Taisei Corp		328,488

Shares		Description	Value ($)
		Japan — continued
	12,700	Takara Holdings Inc		170,057
	7,900	Takara Leben Co Ltd		25,294
	400	Takasago Thermal Engineering Co Ltd		6,751
	4,300	Takeuchi Manufacturing Co Ltd		116,001
	18,300	Takuma Co Ltd		312,880
	2,600	Tamron Co Ltd		57,821
	35,900	Teijin Ltd		590,802
	20,600	TIS Inc (a)		528,576
	18,400	Toho Holdings Co Ltd (a)		285,462
	241,900	Tokyo Electric Power Co Holdings Inc *		757,203
	10,800	Tokyo Seimitsu Co Ltd		536,841
	1,200	Toppan Forms Co Ltd		11,886
	43,000	Toppan Printing Co Ltd		750,952
	21,600	Tosei Corp		207,747
	39,200	Tosoh Corp		696,992
	1,700	Totetsu Kogyo Co Ltd		37,364
	500	Towa Pharmaceutical Co Ltd		10,634
	4,600	Toyo Construction Co Ltd		23,638
	2,900	Toyo Suisan Kaisha Ltd		118,213
	6,000	Toyota Industries Corp		519,292
	200	TS Tech Co Ltd		2,843
	6,600	Tsumura & Co		213,487
	2,800	YAMABIKO Corp		30,458
	13,800	Yamaguchi Financial Group Inc		82,416
	2,800	Yamazen Corp		24,816
	3,100	Yellow Hat Ltd		55,696
	11,100	Yokogawa Bridge Holdings Corp		202,108
	900	Yuasa Trading Co Ltd		24,754
	9,500	Zenkoku Hosho Co Ltd		393,092
		Total Japan		39,511,280
		Malta — 0.0%
	125,500	BGP Holdings Plc * (b)		—
		Mexico — 0.2%
	44,241	Fomento Economico Mexicano SAB de CV		362,759
	119,700	Grupo Mexico SAB de CV – Series B		574,522
		Total Mexico		937,281
		Netherlands — 1.2%
	10,503	ABN AMRO Bank NV CVA *		140,634
	333	Aegon NV		1,579
	9,500	AerCap Holdings NV *		560,500
	9,910	ASR Nederland NV		426,811
	48,164	ING Groep NV		673,964
	15,878	Koninklijke Ahold Delhaize NV		462,245
	9,837	NN Group NV		500,684
	49,961	PostNL NV		293,623
	10,009	Randstad NV		779,420
	14,257	Signify NV		881,775
	2,515	Wolters Kluwer NV		241,533
		Total Netherlands		4,962,768

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		New Zealand — 0.1%
	99,372	Meridian Energy Ltd		370,324
		Norway — 0.4%
	3,911	Austevoll Seafood ASA		51,133
	26,493	BW LPG Ltd		183,103
	9,508	DNO ASA *		10,099
	52,704	Elkem ASA *		191,564
	15	Entra ASA		356
	17,702	Europris ASA		118,492
	46,814	Norsk Hydro ASA		303,301
	12,216	Norwegian Finans Holding ASA		143,146
	43,310	Orkla ASA		451,658
	2,138	Sbanken ASA		26,279
	4,925	SpareBank 1 Nord Norge		49,852
	4,533	SpareBank 1 SMN		64,299
	11,251	SpareBank 1 SR-Bank ASA		155,254
		Total Norway		1,748,536
		Portugal — 0.3%
	21,320	Altri SGPS SA		151,218
	1,537,426	Banco Comercial Portugues SA – Class R *		299,140
	18,619	CTT-Correios de Portugal SA		95,677
	28,293	Galp Energia SGPS SA		354,786
	31,786	Mota-Engil SGPS SA *		56,402
	40,264	Navigator Co SA (The)		147,944
	32,571	REN – Redes Energeticas Nacionais SGPS SA		91,742
	137,734	Sonae SGPS SA		133,302
		Total Portugal		1,330,211
		Russia — 0.2%
	4,029	LUKOIL PJSC Sponsored ADR		327,950
	1,930	Novatek PJSC Sponsered GDR (Registered)		384,209
		Total Russia		712,159
		Singapore — 0.4%
	2,100	CapitaLand Ltd		5,806
	122,500	ComfortDelGro Corp Ltd		155,313
	311,900	Golden Agri-Resources Ltd		55,373
	15,000	Jardine Cycle & Carriage Ltd		251,230
	121,400	Sembcorp Industries Ltd		201,715
	98,200	Singapore Airlines Ltd *		368,179
	3,200	SPH (REIT)		2,080
	68,000	StarHub Ltd		62,702
	544,400	Yangzijiang Shipbuilding Holdings Ltd		612,481
	58,400	Yanlord Land Group Ltd		56,461
		Total Singapore		1,771,340
		South Africa — 0.1%
	35,475	Bidvest Group Ltd (The)		500,593

Shares		Description	Value ($)
		South Korea — 0.0%
	1,920	Yuhan Corp		110,002
		Spain — 1.1%
	18,454	ACS Actividades de Construccion y Servicios SA		568,812
	5,020	Amadeus IT Group SA * (a)		378,791
	10,871	Atresmedia Corp de Medios de Comunicacion SA * (a)		53,241
	87,877	Banco Bilbao Vizcaya Argentaria SA *		548,863
	187,559	Banco de Sabadell SA *		144,294
	164,226	Banco Santander SA *		691,671
	40,219	Bankinter SA		229,652
	6,442	Cia de Distribucion Integral Logista Holdings SA		140,858
	2,680	Ebro Foods SA		56,849
	1,643	Enagas SA		38,593
	5,468	Gestamp Automocion SA *		29,763
	2,417	Grupo Catalana Occidente SA		101,996
	10,588	Industria de Diseno Textil SA		411,506
	130,329	Liberbank SA		52,648
	26,049	Linea Directa Aseguradora SA Cia de Seguros y Reaseguros *		50,825
	51,268	Mapfre SA		117,485
	25,157	Mediaset Espana Comunicacion SA * (a)		176,449
	16,027	Red Electrica Corp SA		320,902
	2,414	Repsol SA		32,295
	117,830	Unicaja Banco SA		132,382
		Total Spain		4,277,875
		Sweden — 0.1%
	1,183	Betsson AB *		523
	1,183	Betsson AB – Class B * (a)		10,528
	7,355	Inwido AB		132,237
	27,583	Nordea Bank Abp		299,648
	124	SKF AB – B Shares		3,353
		Total Sweden		446,289
		Switzerland — 0.2%
	7,935	Adecco Group AG (Registered)		549,187
	999	BKW AG		111,154
	14,738	Credit Suisse Group AG (Registered)		161,038
	48	Schindler Holding AG (Registered)		13,946
	4	Swisscom AG (Registered)		2,260
	393	Zehnder Group AG – Class RG		36,974
		Total Switzerland		874,559
		Taiwan — 0.1%
	49,000	Hon Hai Precision Industry Co Ltd		195,787
	2,000	Pou Chen Corp		2,757
	87,000	Ruentex Development Co Ltd		164,102
		Total Taiwan		362,646

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 3.5%
	11,867	Aggreko Plc		144,781
	2,018	Antofagasta Plc		44,180
	23,212	Aviva Plc		135,266
	3,420	Bank of Georgia Group Plc *		63,621
	59,758	Barratt Developments Plc		639,580
	6,874	Bellway Plc		348,684
	14,142	Berkeley Group Holdings Plc (The)		937,291
	273,881	BT Group Plc *		677,939
	144	Bunzl Plc		4,664
	7,431	Central Asia Metals Plc		28,624
	11,704	Coca-Cola HBC AG *		425,900
	24,073	Compass Group Plc * (a)		548,756
	2,345	Computacenter Plc (a)		89,237
	2,643	Diversified Energy Co Plc		3,922
	5,016	Evraz Plc		45,295
	4,472	Ferguson Plc		607,343
	64,381	Ferrexpo Plc		408,940
	14,826	Frasers Group Plc *		121,567
	4,488	Go-Ahead Group Plc (The) *		78,779
	19,096	Halfords Group Plc *		103,123
	21,670	IG Group Holdings Plc		263,199
	4,648	IMI Plc		109,448
	29,866	Indivior Plc *		66,196
	19,039	Investec Plc		83,751
	150,673	ITV Plc * (a)		273,819
	55,727	J Sainsbury Plc		209,776
	37,651	Just Group Plc *		58,829
	201,767	Kingfisher Plc *		1,023,977
	326,209	M&G Plc		1,128,091
	88,649	Micro Focus International Plc (a)		652,358
	188	Mondi Plc		5,077
	4,384	Morgan Sindall Group Plc		138,878
	12,145	National Grid Plc		162,111
	4,001	Numis Corp Plc		21,176
	19,798	OSB Group Plc		131,429
	16,757	Paragon Banking Group Plc		115,609
	21,032	Persimmon Plc		940,388
	10,849	Pets at Home Group Plc		68,946
	22,292	Phoenix Group Holdings Plc		232,698
	14,246	Playtech Plc * (a)		92,931
	15,981	Plus500 Ltd		342,140
	75,954	Premier Foods Plc *		114,195
	5,073	QinetiQ Group Plc		25,564
	24,446	Royal Dutch Shell Plc – B Shares		444,459
	54,150	Royal Mail Plc *		444,051
	1,985	Smiths Group Plc		43,533
	7,940	Stock Spirits Group Plc		30,146
	53,747	Tate & Lyle Plc		583,842
	103,435	Taylor Wimpey Plc		250,772
	32,516	WPP Plc (a)		449,163
		Total United Kingdom		13,964,044

Shares		Description	Value ($)
		United States — 12.7%
	3,900	Aflac, Inc.		221,052
	1,200	Akamai Technologies, Inc. * (a)		137,052
	3,400	Alexion Pharmaceuticals, Inc. *		600,270
	5,200	Alliance Data Systems Corp. (a)		629,460
	8,500	Ally Financial, Inc.		465,035
	3,275	American Express Co.		524,426
	1,400	Anthem, Inc. (a)		557,508
	5,100	Arrow Electronics, Inc. *		613,683
	16,100	AT&T, Inc.		473,823
	10,000	Athene Holding Ltd. – Class A *		626,300
	6,300	Bed Bath & Beyond, Inc. *		176,337
	2,100	Best Buy Co., Inc.		244,104
	300	Bio-Rad Laboratories, Inc. – Class A *		180,711
	1,700	Biogen, Inc. *		454,716
	162	Booking Holdings, Inc. * (a)		382,571
	1,500	Booz Allen Hamilton Holding Corp.		127,395
	19,300	BorgWarner, Inc.		989,897
	4,300	Capital One Financial Corp.		691,354
	11,300	Carrier Global Corp.		519,009
	7,400	CBRE Group, Inc. – Class A *		649,572
	6,900	Centene Corp. * (a)		507,840
	1,400	CenterPoint Energy, Inc.		35,420
	5,732	Charles Schwab Corp. (The)		423,308
	3,200	Chevron Corp.		332,128
	2,500	Cigna Corp. (a)		647,125
	2,000	Cisco Systems, Inc.		105,800
	8,600	Citigroup, Inc.		676,906
	8,800	Citizens Financial Group, Inc.		439,120
	6,255	Coca-Cola Co. (The)		345,839
	5,600	Cognizant Technology Solutions Corp. – Class A (a)		400,736
	10,300	Comcast Corp. – Class A (a)		590,602
	3,400	Consolidated Edison, Inc.		262,616
	12,500	Corteva, Inc.		568,750
	2,000	Coty Inc. – Class A *		17,820
	7,400	CVS Health Corp. (a)		639,656
	2,200	Discover Financial Services		257,972
	16,100	DISH Network Corp. – Class A * (a)		700,672
	6,200	DR Horton, Inc.		590,798
	2,500	Dropbox, Inc. – Class A * (a)		68,375
	7,100	eBay, Inc.		432,248
	6,857	EOG Resources, Inc.		550,892
	10,700	Exelon Corp.		482,784
	1,900	Facebook, Inc. – Class A * (a)		624,587
	2,400	Fidelity National Financial, Inc.		112,776
	1,600	FleetCor Technologies, Inc. * (a)		439,104
	49,300	Ford Motor Co. *		716,329
	700	Fortune Brands Home & Security, Inc.		72,212
	2,900	Fox Corp. – Class A (a)		108,315
	16,400	Fox Corp. – Class B (a)		594,992
	1,400	Franklin Resources, Inc.		47,894
	10,200	General Motors Co. *		604,962

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	7,100	Gilead Sciences, Inc.		469,381
	1,634	Global Payments, Inc. (a)		316,522
	1,800	Goldman Sachs Group, Inc. (The)		669,636
	3,100	Hasbro, Inc.		297,507
	2,901	Hilton Worldwide Holdings, Inc. * (a)		363,408
	17,000	HP, Inc.		496,910
	900	IAC/InterActiveCorp * (a)		143,523
	9,700	Intel Corp.		554,064
	4,500	International Business Machines Corp. (a)		646,830
	21,500	Invesco Ltd.		613,395
	2,800	Jazz Pharmaceuticals Plc *		498,764
	35,300	Kinder Morgan, Inc.		647,402
	9,600	Kohl’s Corp.		532,704
	11,300	Kraft Heinz Co. (The)		492,567
	13,100	Kroger Co. (The)		484,438
	1,800	Laboratory Corp. of America Holdings * (a)		494,064
	5,195	Las Vegas Sands Corp. * (a)		300,011
	300	Lear Corp.		58,008
	3,700	Leidos Holdings, Inc.		380,175
	5,900	Lennar Corp. – Class A		584,159
	9,300	Lincoln National Corp.		649,047
	8,000	LKQ Corp. *		407,680
	46,800	Lumen Technologies, Inc.		647,712
	8,900	Lyft, Inc. – Class A *		508,101
	5,700	LyondellBasell Industries NV – Class A		641,934
	306	Markel Corp. *		375,000
	1,300	Masco Corp.		78,403
	5,500	Medical Properties Trust, Inc. (REIT)		116,435
	4,300	Merck & Co., Inc.		326,327
	9,700	MetLife, Inc.		633,992
	6,500	Micron Technology, Inc. *		546,910
	1,400	Mohawk Industries, Inc. *		294,952
	12,500	Molson Coors Brewing Co. – Class B *		729,000
	10	NVR, Inc. *		48,872
	800	Omnicom Group, Inc. (a)		65,792
	7,500	Oracle Corp. (a)		590,550
	1,700	PACCAR, Inc.		155,652
	17,600	PPL Corp.		512,336
	2,300	Principal Financial Group, Inc.		150,397
	800	Progressive Corp. (The)		79,264
	6,200	Prudential Financial, Inc.		663,214
	8,600	PulteGroup, Inc.		496,994
	3,600	Quest Diagnostics, Inc. (a)		474,012
	40,800	Qurate Retail, Inc. – Series A		556,104
	4,445	Raytheon Technologies Corp.		394,316
	900	Regeneron Pharmaceuticals, Inc. *		452,187
	8,966	Sensata Technologies Holding Plc *		532,850
	600	Snap-on, Inc.		152,772
	6,300	SS&C Technologies Holdings, Inc. (a)		465,381
	14,000	Synchrony Financial		663,740
	300	Synopsys, Inc. * (a)		76,302

Shares		Description	Value ($)
		United States — continued
	7,200	Textron, Inc.		492,984
	6,300	Tyson Foods, Inc. – Class A		500,850
	1,300	United Rentals, Inc. *		434,148
	4,100	Universal Health Services, Inc. – Class B (a)		654,483
	10,660	US Bancorp		647,915
	9,500	Verizon Communications, Inc.		536,655
	10,608	Verso Corp. – Class A		180,442
	4,848	VF Corp.		386,483
	13,300	ViacomCBS, Inc. – Class B (a)		564,186
	30,300	Viatris, Inc.		461,772
	7,600	VICI Properties, Inc. (REIT)		236,588
	1,461	Vimeo, Inc. * (a)		61,368
	2,900	VMware, Inc. – Class A * (a)		457,881
	10,100	Walgreens Boots Alliance, Inc.		531,866
	9,624	Wells Fargo & Co.		449,633
	18,500	Western Union Co. (The) (a)		452,695
	8,000	Western Digital Corp. *		601,840
	1,700	Whirlpool Corp.		403,053
	900	WP Carey, Inc. (REIT)		67,905
		Total United States		51,315,296
		TOTAL COMMON STOCKS (COST $133,331,365)		160,756,608
		PREFERRED STOCKS (c) — 0.3%
		Brazil — 0.1%
	38,632	Bradespar SA		518,286
		Germany — 0.2%
	5,689	Bayerische Motoren Werke AG		518,941
	50	Draegerwerk AG & Co KGaA (a)		4,644
		Total Germany		523,585
		TOTAL PREFERRED STOCKS (COST $666,726)		1,041,871
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	205,238	Singapore Airlines Ltd, Expires 06/16/21 * (d)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		MUTUAL FUNDS — 59.8%
		United States — 59.8%
		Affiliated Issuers — 59.8%
	492,752	GMO Emerging Country Debt Fund, Class IV		12,954,453
	2,437,039	GMO Emerging Markets Fund, Class VI		93,143,640
	1,875,221	GMO International Equity Fund, Class IV		49,168,297

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			United States — continued
			Affiliated Issuers — continued
	409,044		GMO Opportunistic Income Fund, Class VI		10,610,596
	727,070		GMO Quality Fund, Class VI		21,339,484
	1,325,810		GMO U.S. Equity Fund, Class VI		21,398,577
	957,740		GMO U.S. Small Cap Value Fund, Class VI		27,142,360
	1,170,747		GMO U.S. Treasury Fund		5,900,564
			TOTAL MUTUAL FUNDS (COST $197,282,280)		241,657,971
			SHORT-TERM INVESTMENTS — 0.1%
			Money Market Funds — 0.1%
	541,818		State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)		541,818
			TOTAL SHORT-TERM INVESTMENTS (COST $541,818)		541,818
			TOTAL INVESTMENTS — 100.0% (Cost $331,822,189)		403,998,268
			SECURITIES SOLD SHORT — (19.5)%
			Common Stocks — (19.4)%
			Australia — (0.6)%
	(6,057	)	Afterpay Ltd *		(437,443	)
	(74,638	)	APA Group		(530,570	)
	(3,528	)	ASX Ltd		(207,998	)
	(1,280	)	Cochlear Ltd		(222,374	)
	(925	)	Ramsay Health Care Ltd		(45,232	)
	(90,317	)	Sydney Airport *		(412,357	)
	(29,824	)	Transurban Group		(319,947	)
			Total Australia		(2,175,921	)
			Austria — (0.1)%
	(5,895	)	Verbund AG		(545,497	)
			Belgium — (0.0)%
	(1,100	)	Galapagos NV *		(83,951	)
			Denmark — (0.1)%
	(6,484	)	Ambu A/S – Class B		(247,490	)
			France — (0.8)%
	(5,415	)	Accor SA *		(215,645	)
	(2,527	)	Aeroports de Paris *		(343,355	)
	(270	)	Eurazeo SE		(23,887	)
	(35,316	)	Getlink SE		(556,969	)
	(486	)	Hermes International		(677,116	)
	(523	)	Sartorius Stedim Biotech		(226,703	)
	(5,652	)	Ubisoft Entertainment SA *		(411,104	)

Shares			Description	Value ($)
			France — continued
	(5,078	)	Vivendi SE		(184,938	)
	(2,133	)	Wendel SE		(298,322	)
	(668	)	Worldline SA *		(64,191	)
			Total France		(3,002,230	)
			Germany — (0.10)%
	(3,605	)	Delivery Hero SE *		(487,703	)
	(280	)	Deutsche Boerse AG		(45,784	)
	(581	)	MTU Aero Engines AG		(150,932	)
	(5,422	)	Puma SE		(619,703	)
	(5,088	)	QIAGEN NV *		(252,270	)
	(8,903	)	RWE AG		(338,314	)
	(3,901	)	Scout24 AG		(317,440	)
	(621	)	TeamViewer AG *		(24,349	)
	(196,604	)	Telefonica Deutschland Holding AG		(541,052	)
	(12,191	)	Uniper SE		(447,693	)
	(5,210	)	Zalando SE *		(556,491	)
			Total Germany		(3,781,731	)
			Israel — (0.1)%
	(1,200	)	CyberArk Software Ltd *		(151,848	)
	(1,700	)	Wix.com Ltd *		(441,762	)
			Total Israel		(593,610	)
			Italy — (0.4)%
	(4,390	)	Amplifon SPA		(206,262	)
	(12,626	)	Atlantia SPA *		(240,713	)
	(2,677	)	Ferrari NV		(564,468	)
	(34,425	)	FinecoBank Banca Fineco SPA *		(573,228	)
	(8,522	)	Infrastrutture Wireless Italiane SPA		(95,441	)
			Total Italy		(1,680,112	)
			Japan — (2.3)%
	(28,600	)	Acom Co Ltd		(130,383	)
	(16,700	)	Asahi Intecc Co Ltd		(415,162	)
	(88,500	)	ENEOS Holdings Inc		(365,493	)
	(400	)	Fast Retailing Co Ltd		(325,228	)
	(4,100	)	GMO Payment Gateway Inc		(490,389	)
	(16,200	)	Hitachi Metals Ltd *		(311,970	)
	(600	)	Ibiden Co Ltd		(27,700	)
	(17,700	)	Idemitsu Kosan Co Ltd		(420,128	)
	(32,800	)	Isetan Mitsukoshi Holdings Ltd		(236,697	)
	(9,400	)	Japan Airport Terminal Co Ltd *		(428,866	)
	(8,600	)	Japan Exchange Group Inc		(200,474	)
	(90	)	Japan Real Estate Investment Corp		(545,602	)
	(25,600	)	JGC Holding Corp		(245,657	)
	(27,200	)	Keikyu Corp		(356,240	)
	(700	)	Keio Corp		(44,449	)
	(2,400	)	Kintetsu Group Holdings Co Ltd *		(85,011	)
	(18,300	)	Kyushu Electric Power Co Inc		(149,378	)
	(2,400	)	Lasertec Corp		(422,785	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Japan — continued
	(3,300	)	Lion Corp		(58,127	)
	(16,200	)	LIXIL Corp		(439,285	)
	(6,500	)	M3 Inc		(436,646	)
	(1,800	)	McDonald’s Holdings Co Japan Ltd		(80,704	)
	(6,000	)	Mercari Inc *		(284,447	)
	(2,300	)	Mitsubishi Materials Corp		(49,144	)
	(20,300	)	MonotaRO Co Ltd		(472,949	)
	(500	)	Nidec Corp		(57,334	)
	(17,800	)	Nihon M&A Center Inc		(433,083	)
	(23,300	)	Nippon Paint Holdings Co Ltd		(339,211	)
	(3,500	)	Nissin Foods Holdings Co Ltd		(253,780	)
	(10,800	)	Odakyu Electric Railway Co Ltd		(283,901	)
	(3,000	)	ORIENTAL LAND CO LTD		(444,109	)
	(1,600	)	Shiseido Co Ltd		(115,620	)
	(500	)	Unicharm Corp		(19,852	)
	(3,000	)	Yaskawa Electric Corp		(142,136	)
			Total Japan		(9,111,940	)
			Netherlands — (0.3)%
	(247	)	Adyen NV*		(571,672	)
	(1,267	)	Heineken Holding NV		(128,259	)
	(4,675	)	Just Eat Takeaway.com NV *		(422,458	)
			Total Netherlands		(1,122,389	)
			Norway — (0.0)%
	(1,324	)	Schibsted ASA – A Shares		(64,532	)
	(1,455	)	Schibsted ASA – B Shares		(60,212	)
			Total Norway		(124,744	)
			Russia — (0.0)%
	(4,627	)	Magnit PJSC Sponsored GDR (Registered)		(70,501	)
			Singapore — (0.1)%
	(75,600	)	Singapore Exchange Ltd		(593,422	)
			Spain — (0.6)%
	(10,734	)	Cellnex Telecom SA		(651,186	)
	(20,348	)	Endesa SA		(586,658	)
	(21,379	)	Ferrovial SA		(624,578	)
	(13,737	)	Siemens Gamesa Renewable Energy SA *		(454,031	)
			Total Spain		(2,316,453	)
			Sweden — (0.1)%
	(3,156	)	Evolution AB		(588,942	)
			Switzerland — (0.3)%
	(6	)	Chocoladefabriken Lindt & Spruengli AG		(56,591	)
	(347	)	Partners Group Holding AG		(523,746	)
	(445	)	Straumann Holding AG (Registered)		(696,599	)
			Total Switzerland		(1,276,936	)

Shares			Description	Value ($)
			United Kingdom — (1.4)%
	(8,248	)	Admiral Group Plc		(343,444	)
	(16,128	)	Antofagasta Plc		(353,092	)
	(73,947	)	Auto Trader Group Plc *		(588,428	)
	(136,379	)	ConvaTec Group Plc		(459,348	)
	(25,367	)	Entain Plc *		(593,123	)
	(204	)	Experian Plc		(7,816	)
	(5,828	)	Halma Plc		(215,119	)
	(25,844	)	Hargreaves Lansdown Plc		(605,607	)
	(72,715	)	Informa Plc *		(559,783	)
	(27,030	)	Land Securities Group Plc (REIT)		(269,060	)
	(4,565	)	London Stock Exchange Group Plc		(489,832	)
	(11,656	)	Melrose Industries Plc		(28,489	)
	(17,594	)	Ocado Group Plc *		(470,726	)
	(323,799	)	Rolls-Royce Holdings Plc *		(490,635	)
	(1,004	)	Spirax-Sarco Engineering Plc		(180,465	)
			Total United Kingdom		(5,654,967	)
			United States — (11.2)%
	(18,400	)	AES Corp. (The)		(467,544	)
	(300	)	Agilent Technologies, Inc.		(41,439	)
	(1,200	)	Airbnb, Inc. – Class A *		(168,480	)
	(200	)	Align Technology, Inc. *		(118,030	)
	(2,500	)	American Tower Corp. (REIT)		(638,650	)
	(6,500	)	Aramark		(242,775	)
	(3,500	)	Arthur J Gallagher & Co.		(513,135	)
	(1,900	)	Autodesk, Inc. *		(543,134	)
	(3,700	)	Avalara, Inc. *		(489,029	)
	(1,000	)	Axalta Coating Systems Ltd. *		(32,440	)
	(1,400	)	Ball Corp.		(115,024	)
	(1,400	)	BioMarin Pharmaceutical, Inc. *		(108,220	)
	(2,000	)	Boeing Co. (The) *		(494,040	)
	(1,900	)	Burlington Stores, Inc. *		(614,403	)
	(300	)	Camden Property Trust (REIT)		(37,614	)
	(3,600	)	Carnival Corp *		(106,416	)
	(1,800	)	Carvana Co. *		(477,162	)
	(3,400	)	Catalent, Inc. *		(356,422	)
	(4,300	)	Ceridian HCM Holding, Inc. *		(384,678	)
	(5,700	)	Cheniere Energy, Inc. *		(483,930	)
	(400	)	Chipotle Mexican Grill, Inc. *		(548,792	)
	(4,600	)	Cloudflare, Inc. – Class A *		(377,476	)
	(2,100	)	CME Group, Inc.		(459,396	)
	(5,900	)	Cognex Corp.		(468,401	)
	(200	)	CoStar Group, Inc. *		(170,800	)
	(2,000	)	Coupa Software, Inc. *		(476,400	)
	(300	)	Crowdstrike Holdings, Inc. – Class A *		(66,645	)
	(2,800	)	Crown Castle International Corp. (REIT)		(530,600	)
	(10,300	)	Delta Air Lines, Inc. *		(491,104	)
	(500	)	DENTSPLY SIRONA, Inc.		(33,460	)
	(1,500	)	DexCom, Inc. *		(554,085	)
	(2,600	)	DocuSign, Inc. *		(524,212	)
	(8,900	)	DraftKings Inc. – Class A*		(444,555	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(3,900	)	Dynatrace, Inc.*		(201,786	)
	(900	)	Ecolab, Inc.		(193,572	)
	(3,800	)	Enphase Energy, Inc. *		(543,590	)
	(2,100	)	Equifax, Inc.		(493,584	)
	(700	)	Equinix, Inc. (REIT)		(515,704	)
	(8,800	)	Equity LifeStyle Properties, Inc. (REIT)		(623,568	)
	(300	)	Erie Indemnity Co. – Class A		(60,339	)
	(4,300	)	Exact Sciences Corp. *		(475,279	)
	(2,900	)	Expedia Group, Inc. *		(513,155	)
	(1,300	)	Fastenal Co.		(68,952	)
	(200	)	Fidelity National Information Services, Inc.		(29,796	)
	(200	)	Fortinet, Inc. *		(43,708	)
	(800	)	Gartner, Inc. *		(185,472	)
	(4,700	)	Guidewire Software, Inc. *		(459,378	)
	(2,800	)	Halliburton Co.		(62,860	)
	(2,300	)	Hess Corp.		(192,786	)
	(27,200	)	Host Hotels & Resorts, Inc. (REIT) *		(467,024	)
	(1,100	)	HubSpot, Inc. *		(554,818	)
	(900	)	IDEXX Laboratories, Inc. *		(502,299	)
	(1,900	)	Ingersoll Rand, Inc. *		(94,316	)
	(2,000	)	Insulet Corp. *		(539,340	)
	(200	)	Intuitive Surgical, Inc. *		(168,436	)
	(1,900	)	Ionis Pharmaceuticals, Inc. *		(70,775	)
	(2,600	)	IQVIA Holdings, Inc. *		(624,416	)
	(5,900	)	Iron Mountain, Inc. (REIT)		(256,886	)
	(4,200	)	KKR & Co., Inc.		(233,898	)
	(7,200	)	Lamb Weston Holdings, Inc.		(593,928	)
	(1,700	)	Liberty Broadband Corp. – Class A *		(275,502	)
	(2,200	)	Liberty Broadband Corp. – Class C *		(365,838	)
	(12,800	)	Liberty Media Corp-Liberty Formula One – Class C *		(571,520	)
	(1,800	)	Liberty Media Corp-Liberty SiriusXM *		(78,588	)
	(2,100	)	Liberty Media Corp-Liberty SiriusXM *		(91,371	)
	(1,700	)	Linde Plc		(511,020	)
	(6,600	)	Live Nation Entertainment, Inc. *		(594,726	)
	(400	)	Lululemon Athletica, Inc. *		(129,252	)
	(1,000	)	MarketAxess Holdings, Inc.		(466,540	)
	(3,400	)	Marriott International, Inc. – Class A *		(488,172	)
	(3,100	)	MGM Resorts International		(132,897	)
	(1,100	)	Mid-America Apartment Communities, Inc. (REIT)		(176,770	)
	(1,800	)	MongoDB, Inc. *		(525,492	)
	(800	)	Monolithic Power Systems, Inc.		(274,496	)
	(1,300	)	MSCI, Inc.		(608,569	)
	(1,400	)	News Corp. – Class A		(37,786	)
	(3,400	)	NIKE Inc. – Class B		(463,964	)
	(7,300	)	NiSource, Inc.		(186,150	)
	(3,000	)	Novocure Ltd. *		(612,000	)
	(5,600	)	Occidental Petroleum Corp.		(145,376	)
	(2,200	)	Okta, Inc. *		(489,368	)
	(1,400	)	Paycom Software, Inc. *		(461,440	)

Shares			Description	Value ($)
			United States — continued
	(1,100	)	Peloton Interactive, Inc. – Class A *		(121,341	)
	(2,900	)	Pioneer Natural Resources Co.		(441,351	)
	(20,600	)	Plug Power, Inc. *		(632,420	)
	(1,800	)	Public Storage (REIT)		(508,464	)
	(1,800	)	RingCentral, Inc. – Class A *		(472,446	)
	(200	)	Rockwell Automation, Inc.		(52,744	)
	(1,500	)	Roku, Inc. *		(520,065	)
	(12,100	)	Rollins, Inc.		(412,489	)
	(5,800	)	Royal Caribbean Cruises Ltd. *		(540,966	)
	(800	)	S&P Global, Inc.		(303,576	)
	(6,200	)	Sarepta Therapeutics, Inc. *		(469,030	)
	(1,700	)	SBA Communications Corp. (REIT)		(506,804	)
	(1,100	)	ServiceNow, Inc. *		(521,268	)
	(3,600	)	Simon Property Group, Inc. (REIT)		(462,564	)
	(9,600	)	Snap, Inc. – Class A *		(596,352	)
	(1,900	)	Snowflake, Inc. – Class A *		(452,257	)
	(7,600	)	Southwest Airlines Co. *		(467,096	)
	(4,000	)	Splunk, Inc. *		(484,800	)
	(2,300	)	Square, Inc. – Class A *		(511,796	)
	(4,400	)	Starbucks Corp.		(501,072	)
	(9,800	)	Sunrun, Inc. *		(438,256	)
	(900	)	Sysco Corp.		(72,900	)
	(15,000	)	Targa Resources Corp.		(582,900	)
	(3,100	)	Teladoc Health, Inc. *		(466,798	)
	(800	)	Tesla, Inc. *		(500,176	)
	(100	)	Trade Desk, Inc. (The) – Class A *		(58,814	)
	(1,600	)	Twilio, Inc. – Class A *		(537,600	)
	(5,800	)	Twitter, Inc. *		(336,400	)
	(10,300	)	Uber Technologies, Inc. *		(523,549	)
	(13,200	)	UDR, Inc. (REIT)		(628,716	)
	(1,700	)	Vail Resorts, Inc. *		(555,696	)
	(2,400	)	Voya Financial, Inc.		(157,248	)
	(1,300	)	Wayfair, Inc. – Class A *		(398,502	)
	(200	)	West Pharmaceutical Services, Inc.		(69,502	)
	(20,200	)	Williams Cos, Inc. (The)		(532,068	)
	(500	)	Workday, Inc. – Class A *		(114,360	)
	(4,500	)	Wynn Resorts Ltd. *		(593,415	)
	(3,000	)	Zendesk, Inc. *		(409,980	)
	(1,200	)	Zillow Group, Inc. – Class A *		(141,948	)
	(4,342	)	Zillow Group, Inc. – Class C *		(509,404	)
	(2,900	)	Zscaler, Inc. *		(563,180	)
			Total United States		(45,205,306	)
			TOTAL COMMON STOCKS (PROCEEDS $74,752,967)		(78,176,142	)
			PREFERRED STOCKS (c) — (0.1)%
			Germany — (0.1)%
	(831	)	Sartorius AG		(412,457	)
			TOTAL PREFERRED STOCKS (COST $(362,834))		(412,457	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

Shares			Description	Value ($)
			RIGHTS/WARRANTS — (0.0)%
			Spain — (0.0)%
	(21,379	)	Ferrovial SA, Expires 06/01/21 *		(5,196	)
			TOTAL RIGHTS/WARRANTS (PROCEEDS $5,086)		(5,196	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $75,120,887)		(78,593,795	)
			Other Assets and Liabilities (net) — 19.5%		78,632,407
			TOTAL NET ASSETS — 100.0%		$404,036,880

A summary of outstanding financial instruments at May 31, 2021 is as follows:

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket(f)	1 Month Federal Funds Rate minus 0.75%	GS		USD	531,585		05/24/2022		Monthly		—		5,473			5,473
Total Return on Equity Basket(f)	1 Month Federal Funds Rate minus 0.50%	GS		USD	445,440		05/24/2022		Monthly		—		483			483
Total Return on Equity Basket(f)	1 Month Federal Funds Rate minus 0.50%	GS		USD	157,131		05/24/2022		Monthly		—		(1,338	)		(1,338	)
Total Return on Equity Basket(f)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	3,310		10/18/2022		Monthly		—		(67	)		(67	)
Total Return on Equity Basket(g)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	4,842,570		10/18/2022		Monthly		—		(23,519	)		(23,519	)
Total Return on Equity Basket(f)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	329,639		10/18/2022		Monthly		—		(25,184	)		(25,184	)
Total Return on Equity Basket(f)	1 Month Federal Funds Rate minus 0.50%	MORD		USD	27,704		10/18/2022		Monthly		—		(946	)		(946	)
Total Return on Equity Basket(f)	1 Month Federal Funds Rate minus 2.50%	MORD		USD	406,297		05/18/2023		Monthly		—		(16,144	)		(16,144	)
										$	—	$	(61,242	)	$	(61,242	)

As of May 31, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

(d) Investment valued using significant unobservable inputs.

(e) The rate disclosed is the 7 day net yield as of May 31, 2021.

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

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2021 (Unaudited)

(g) The following table represents the individual short positions within the custom equity basket swap as of May 31, 2021:

Shares		Description	% of Equity Basket			Value ($)
	3,080,000	Alibaba Pictures Group Ltd		8.5	%		412,639
	792,000	China Molybdenum Co Ltd – Class H		10.9	%		530,655
	42,000	China Resources Beer Holdings Co Ltd		7.7	%		372,606
	200,000	China Youzan Ltd		0.9	%		41,196
	138,000	China Yuhua Education Corp Ltd		2.9	%		138,390
	284,000	Greentown Service Group Co Ltd		9.0	%		439,046
	3,000	Haidilao International Holding Ltd		0.3	%		16,979
	9,400	Hong Kong Exchanges and Clearing Ltd		11.9	%		578,500
	136,000	Kingdee International Software Group Co Ltd		10.6	%		516,800
	3,000	Kuaishou Technology		1.6	%		77,557
	14,000	New World Development Co Ltd		1.6	%		76,098
	89,600	Sands China Ltd		8.4	%		409,463
	31,000	SJM Holdings Ltd		0.7	%		35,426
	150,000	Wynn Macau Ltd		5.3	%		259,778
	39,000	Yihai International Holding Ltd.		6.3	%		308,174
	420,000	Zijin Mining Group Co Ltd – Class H		13.4	%		649,994
		TOTAL COMMON STOCKS				$	4,863,301

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

CVA - Certificaaten van aandelen (Share Certificates)

ETF - Exchange-Traded Fund

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

Counterparty Abbreviations:

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

USD - United States Dollar

Organization

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

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

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

Basis of presentation

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

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

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

Portfolio valuation

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

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

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2021, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

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

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

The three levels are defined as follows:

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

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

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

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

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

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

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2021:

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	3,100,826	$	—	$	3,100,826
Belgium		—		861,550		—		861,550
Canada		1,596,879		—		—		1,596,879
China		322,690		3,395,237		441,258		4,159,185
Denmark		—		1,239,806		—		1,239,806
Finland		—		412,103		—		412,103
France		—		2,061,772		—		2,061,772
Germany		—		7,699,686		—		7,699,686
Hong Kong		—		1,212,822		—		1,212,822
Israel		634,634		—		—		634,634
Italy		—		1,484,776		—		1,484,776
Japan		—		8,935,336		—		8,935,336
Netherlands		531,000		1,718,165		—		2,249,165
New Zealand		—		352,626		—		352,626
South Africa		—		455,264		—		455,264
South Korea		—		103,414		—		103,414
Spain		—		1,287,648		—		1,287,648
Sweden		—		309,316		—		309,316
Switzerland		—		655,635		—		655,635
Taiwan		—		103,743		—		103,743
United Kingdom		6,538,072		3,763,225		—		10,301,297
United States		217,165,221		—		—		217,165,221
TOTAL COMMON STOCKS		226,788,496		39,152,950		441,258		266,382,704
Preferred Stocks
Germany		—		313,335		—		313,335
TOTAL PREFERRED STOCKS		—		313,335		—		313,335
Rights/Warrants
United States		—		—		263,451		263,451
TOTAL RIGHTS/WARRANTS		—		—		263,451		263,451
Investment Funds
United States		—		—		14,230,387		14,230,387
TOTAL INVESTMENT FUNDS		—		—		14,230,387		14,230,387
Debt Obligations
United States		24,507,450		32,322,489		—		56,829,939
United States Virgin Islands		—		2,376,246		—		2,376,246
TOTAL DEBT OBLIGATIONS		24,507,450		34,698,735		—		59,206,185
Mutual Funds
United States		15,488,890		—		—		15,488,890
TOTAL MUTUAL FUNDS		15,488,890		—		—		15,488,890
Short-Term Investments		6,962,873		211,118		—		7,173,991
Purchased Options		160,725		—		—		160,725
Total Investments		273,908,434		74,376,138		14,935,096		363,219,668
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		6,457,763		—		6,457,763
Futures Contracts
Equity Risk		977,645		1,159,723		—		2,137,368
Interest Rate Risk		203,289		—		—		203,289
Swap Contracts
Credit Risk		—		2,576,220		—		2,576,220
Equity Risk		—		280,304		—		280,304
Interest Rate Risk		—		4,133,701		—		4,133,701
Physical Commodity Contract Risk		—		16,785		—		16,785
Total	$	275,089,368	$	89,000,634	$	14,935,096	$	379,025,098

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(2,054,582	)	$	—	$	(2,054,582	)
Austria		—			(539,852	)		—		(539,852	)
Belgium		—			(83,494	)		—		(83,494	)
Canada		(2,085,472	)		—			—		(2,085,472	)
Denmark		—			(216,458	)		—		(216,458	)
France		—			(2,751,219	)		—		(2,751,219	)
Germany		—			(3,736,866	)		—		(3,736,866	)
Ireland		(5,287,673	)		—			—		(5,287,673	)
Israel		(541,638	)		—			—		(541,638	)
Italy		—			(1,605,423	)		—		(1,605,423	)
Japan		—			(8,696,061	)		—		(8,696,061	)
Netherlands		—			(3,712,190	)		—		(3,712,190	)
Norway		—			(105,148	)		—		(105,148	)
Singapore		—			(580,863	)		—		(580,863	)
Spain		—			(2,253,341	)		—		(2,253,341	)
Sweden		—			(624,211	)		—		(624,211	)
Switzerland		—			(1,199,098	)		—		(1,199,098	)
United Kingdom		(10,798,105	)		(5,293,204	)		—		(16,091,309	)
United States		(136,562,732	)		—			—		(136,562,732	)
TOTAL COMMON STOCKS		(155,275,620	)		(33,452,010	)		—		(188,727,630	)
Preferred Stocks
Germany		—			(409,479	)		—		(409,479	)
TOTAL PREFERRED STOCKS		—			(409,479	)		—		(409,479	)
Rights/Warrants
Spain		(4,830	)		—			—		(4,830	)
TOTAL RIGHTS/WARRANTS		(4,830	)		—			—		(4,830	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(5,568,286	)		—		(5,568,286	)
Futures Contracts
Equity Risk		(458,828	)		(382,758	)		—		(841,586	)
Interest Rate Risk		(7,628	)		—			—		(7,628	)
Written Options
Credit Risk		—			(84,533	)		—		(84,533	)
Equity Risk		(108,081	)		(10,490	)		—		(118,571	)
Swap Contracts
Credit Risk		—			(2,043,818	)		—		(2,043,818	)
Equity Risk		—			(391,519	)		—		(391,519	)
Interest Rate Risk		—			(2,009,052	)		—		(2,009,052	)
Total	$	(155,854,987	)	$	(44,351,945	)	$	—	$	(200,206,932	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	6,608,222,906		$	—		$	—	$	6,608,222,906
Short-Term Investments		5,529,815			—			—		5,529,815
Total Investments		6,613,752,721			—			—		6,613,752,721
Total	$	6,613,752,721		$	—		$	—	$	6,613,752,721
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	611,414		$	—		$	—	$	611,414
Australia		—			32,317,165			—		32,317,165

Description	Level 1		Level 2		Level 3			Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Austria	$	—	$	158,830	$	—		$	158,830
Belgium		—		10,480,653		—			10,480,653
Brazil		7,722,269		17,652,941		—			25,375,210
Canada		28,480,239		—		—			28,480,239
Chile		—		259,716		—			259,716
China		30,597,043		224,340,692		2,232,633			257,170,368
Czech Republic		—		784,189		—			784,189
Denmark		—		7,906,530		—			7,906,530
Egypt		—		122,371		—			122,371
Finland		—		6,136,949		—			6,136,949
France		—		39,133,920		—			39,133,920
Germany		—		31,708,679		—			31,708,679
Greece		—		—		0	§		0	§
Hong Kong		—		17,032,159		—			17,032,159
Hungary		—		585,316		—			585,316
India		2,680,154		43,533,304		124,886			46,338,344
Indonesia		—		7,058,901		—			7,058,901
Ireland		954,964		8,234,515		—			9,189,479
Israel		3,881,120		481,435		—			4,362,555
Italy		—		23,324,291		—			23,324,291
Japan		—		279,130,558		—			279,130,558
Kuwait		—		4,870,730		—			4,870,730
Luxembourg		69,559		—		—			69,559
Malaysia		—		777,211		—			777,211
Mexico		24,702,632		—		—			24,702,632
Netherlands		3,250,900		32,083,479		—			35,334,379
New Zealand		—		2,152,681		—			2,152,681
Norway		—		10,419,101		—			10,419,101
Pakistan		—		1,101,604		—			1,101,604
Philippines		—		693,003		—			693,003
Poland		—		9,593,725		—			9,593,725
Portugal		—		10,157,513		—			10,157,513
Qatar		—		1,404,542		—			1,404,542
Russia		515,431		73,430,525		557,419			74,503,375
Saudi Arabia		—		187,028		—			187,028
Singapore		—		13,690,732		—			13,690,732
South Africa		—		31,523,019		—			31,523,019
South Korea		2,136,600		67,172,673		—			69,309,273
Spain		—		28,549,665		—			28,549,665
Sweden		—		2,908,242		—			2,908,242
Switzerland		—		10,663,123		—			10,663,123
Taiwan		784,552		109,135,117		—			109,919,669
Thailand		—		4,038,540		—			4,038,540
Turkey		—		13,706,631		—			13,706,631
United Arab Emirates		—		2,305,383		—			2,305,383
United Kingdom		3,743,951		86,601,887		—			90,345,838
United States		285,747,552		—		—			285,747,552
Vietnam		—		1,489,949		—			1,489,949
TOTAL COMMON STOCKS		395,878,380		1,269,039,217		2,914,938			1,667,832,535
Preferred Stocks
Brazil		2,628,965		7,153,333		—			9,782,298
Chile		—		225,986		—			225,986
Colombia		117,820		—		—			117,820
Germany		—		4,705,525		—			4,705,525
Russia		—		5,657,626		—			5,657,626
South Korea		—		7,472,626		—			7,472,626
Taiwan		—		95,115		—			95,115
TOTAL PREFERRED STOCKS		2,746,785		25,310,211		—			28,056,996
Rights/Warrants
Singapore		—		—		0	§		0	§
TOTAL RIGHTS/WARRANTS		—		—		0	§		0	§

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Investment Funds
United States	$	2,844,755		$	—		$	—	$	2,844,755
TOTAL INVESTMENT FUNDS		2,844,755			—			—		2,844,755
Debt Obligations
United States		174,028,438			843,726			—		174,872,164
TOTAL DEBT OBLIGATIONS		174,028,438			843,726			—		174,872,164
Mutual Funds
United States		341,432,869			—			—		341,432,869
TOTAL MUTUAL FUNDS		341,432,869			—			—		341,432,869
Short-Term Investments		3,782,697			—			—		3,782,697
Total Investments		920,713,924			1,295,193,154			2,914,938		2,218,822,016
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			3,135,611			—		3,135,611
Futures Contracts
Equity Risk		537,943			—			—		537,943
Swap Contracts
Equity Risk		—			139,445			—		139,445
Interest Rate Risk		—			2,343,270			—		2,343,270
Total	$	921,251,867		$	1,300,811,480		$	2,914,938	$	2,224,978,285
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(13,128,643	)	$	—	$	(13,128,643	)
Austria		—			(3,079,027	)		—		(3,079,027	)
Belgium		—			(478,829	)		—		(478,829	)
Denmark		—			(1,407,532	)		—		(1,407,532	)
France		—			(17,517,024	)		—		(17,517,024	)
Germany		—			(21,014,714	)		—		(21,014,714	)
Israel		(3,355,128	)		—			—		(3,355,128	)
Italy		—			(9,889,692	)		—		(9,889,692	)
Japan		—			(52,797,015	)		—		(52,797,015	)
Netherlands		—			(6,753,811	)		—		(6,753,811	)
Norway		—			(724,912	)		—		(724,912	)
Russia		—			(386,969	)		—		(386,969	)
Singapore		—			(3,449,069	)		—		(3,449,069	)
Spain		—			(10,516,370	)		—		(10,516,370	)
Sweden		—			(3,836,891	)		—		(3,836,891	)
Switzerland		—			(7,086,080	)		—		(7,086,080	)
United Kingdom		—			(32,597,903	)		—		(32,597,903	)
United States		(254,948,857	)		—			—		(254,948,857	)
TOTAL COMMON STOCKS		(258,303,985	)		(184,664,481	)		—		(442,968,466	)
Preferred Stocks
Germany		—			(2,696,606	)		—		(2,696,606	)
TOTAL PREFERRED STOCKS		—			(2,696,606	)		—		(2,696,606	)
Rights/Warrants
Spain		(29,469	)		—			—		(29,469	)
TOTAL RIGHTS/WARRANTS		(29,469	)		—			—		(29,469	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(5,993,996	)		—		(5,993,996	)
Futures Contracts
Equity Risk		(12,442,935	)		(15,513,094	)		—		(27,956,029	)
Swap Contracts
Equity Risk		—			(375,920	)		—		(375,920	)
Interest Rate Risk		—			(1,182,403	)		—		(1,182,403	)
Total	$	(270,776,389	)	$	(210,426,500	)	$	—	$	(481,202,889	)

Description	Level 1		Level 2		Level 3		Total
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	659,726,686	$	—	$	—	$	659,726,686
Debt Obligations
Asset-Backed Securities		—		21,670		—		21,670
TOTAL DEBT OBLIGATIONS		—		21,670		—		21,670
Short-Term Investments		45,361		—		—		45,361
Total Investments		659,772,047		21,670		—		659,793,717
Total	$	659,772,047	$	21,670	$	—	$	659,793,717
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	98,599,980	$	—	$	—	$	98,599,980
Short-Term Investments		56,272		—		—		56,272
Total Investments		98,656,252		—		—		98,656,252
Total	$	98,656,252	$	—	$	—	$	98,656,252
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,760,018,513	$	—	$	—	$	1,760,018,513
Short-Term Investments		718,954		—		—		718,954
Total Investments		1,760,737,467		—		—		1,760,737,467
Total	$	1,760,737,467	$	—	$	—	$	1,760,737,467
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,865,804	$	—	$	—	$	1,865,804
Australia		—		85,667,542		—		85,667,542
Austria		—		249,791		—		249,791
Belgium		—		27,217,517		—		27,217,517
Brazil		18,010,108		46,723,850		—		64,733,958
Canada		76,024,683		—		—		76,024,683
Chile		—		580,356		—		580,356
China		75,942,612		589,230,033		6,778,855		671,951,500
Colombia		11,266		—		—		11,266
Czech Republic		—		1,855,707		—		1,855,707
Denmark		—		23,486,963		—		23,486,963
Egypt		—		414,243		—		414,243
Finland		—		16,730,282		—		16,730,282
France		—		101,499,241		—		101,499,241
Germany		—		98,991,096		—		98,991,096
Hong Kong		—		45,345,737		—		45,345,737
Hungary		—		1,096,987		—		1,096,987
India		8,249,723		130,473,553		299,676		139,022,952
Indonesia		—		23,567,399		—		23,567,399
Ireland		2,395,220		21,157,738		—		23,552,958
Israel		11,099,738		602,380		—		11,702,118
Italy		—		59,287,966		—		59,287,966
Japan		—		720,389,250		—		720,389,250
Kuwait		—		14,628,156		—		14,628,156
Luxembourg		135,457		—		—		135,457
Malaysia		—		1,702,695		—		1,702,695
Mexico		66,592,338		—		—		66,592,338
Netherlands		9,392,800		81,088,172		201		90,481,173
New Zealand		—		6,215,611		—		6,215,611
Norway		—		21,518,186		—		21,518,186
Pakistan		—		5,039,209		—		5,039,209
Philippines		—		3,783,257		—		3,783,257
Poland		—		28,127,141		—		28,127,141
Portugal		—		23,960,534		—		23,960,534
Qatar		—		8,472,993		—		8,472,993

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Russia	$	1,619,838	$	198,369,205	$	1,749,626	$	201,738,669
Saudi Arabia		—		557,832		—		557,832
Singapore		—		31,881,023		—		31,881,023
South Africa		—		80,460,878		—		80,460,878
South Korea		4,852,170		158,681,690		—		163,533,860
Spain		—		72,890,676		—		72,890,676
Sweden		—		6,993,103		—		6,993,103
Switzerland		—		26,311,750		—		26,311,750
Taiwan		19,194,228		281,115,914		—		300,310,142
Thailand		—		8,124,748		—		8,124,748
Turkey		—		34,195,037		—		34,195,037
United Arab Emirates		—		5,209,884		—		5,209,884
United Kingdom		31,801,793		218,406,650		—		250,208,443
United States		1,369,207,278		—		14,201,098		1,383,408,376
Vietnam		—		4,325,235		—		4,325,235
TOTAL COMMON STOCKS		1,696,395,056		3,316,627,210		23,029,456		5,036,051,722
Preferred Stocks
Brazil		6,375,615		14,256,747		—		20,632,362
Chile		—		674,007		—		674,007
Colombia		452,872		—		—		452,872
Germany		—		11,636,150		—		11,636,150
Russia		—		19,744,697		—		19,744,697
South Korea		—		28,828,142		—		28,828,142
Taiwan		—		841,958		—		841,958
United States		—		—		1,160,080		1,160,080
TOTAL PREFERRED STOCKS		6,828,487		75,981,701		1,160,080		83,970,268
Rights/Warrants
United States		—		—		983,025		983,025
TOTAL RIGHTS/WARRANTS		—		—		983,025		983,025
Investment Funds
United States		6,266,566		—		33,626,240		39,892,806
TOTAL INVESTMENT FUNDS		6,266,566		—		33,626,240		39,892,806
Debt Obligations
Brazil		—		7,290,097		—		7,290,097
Canada		—		1,906,741		—		1,906,741
Israel		—		5,888,621		—		5,888,621
Jamaica		—		2,376,342		6,449,553		8,825,895
Luxembourg		—		—		2,480,985		2,480,985
Netherlands		—		—		119,060		119,060
Puerto Rico		—		6,324,677		—		6,324,677
United States		466,074,102		160,012,113		26,309,066		652,395,281
TOTAL DEBT OBLIGATIONS		466,074,102		183,798,591		35,358,664		685,231,357
Mutual Funds
United States		34,430,016		—		—		34,430,016
TOTAL MUTUAL FUNDS		34,430,016		—		—		34,430,016
Short-Term Investments		117,970,505		37,503,601		—		155,474,106
Purchased Options		513,180		—		—		513,180
Total Investments		2,328,477,912		3,613,911,103		94,157,465		6,036,546,480
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		19,464,375		—		19,464,375
Futures Contracts
Equity Risk		5,263,193		4,043,413		—		9,306,606
Interest Rate Risk		719,069		—		—		719,069
Physical Commodity Contract Risk		1,688,086		—		—		1,688,086
Swap Contracts
Equity Risk		—		1,557,159		—		1,557,159

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Interest Rate Risk	$	—		$	14,291,944		$	—	$	14,291,944
Total	$	2,336,148,260		$	3,653,267,994		$	94,157,465	$	6,083,573,719
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(35,293,173	)	$	—	$	(35,293,173	)
Austria		—			(9,232,731	)		—		(9,232,731	)
Belgium		—			(1,227,294	)		—		(1,227,294	)
Canada		(8,039,862	)		—			—		(8,039,862	)
Denmark		—			(3,724,029	)		—		(3,724,029	)
France		—			(48,532,449	)		—		(48,532,449	)
Germany		—			(63,518,537	)		—		(63,518,537	)
Ireland		(17,439,183	)		—			—		(17,439,183	)
Israel		(8,878,842	)		—			—		(8,878,842	)
Italy		—			(27,467,491	)		—		(27,467,491	)
Japan		—			(147,465,848	)		—		(147,465,848	)
Netherlands		—			(27,686,228	)		—		(27,686,228	)
Norway		—			(1,910,232	)		—		(1,910,232	)
Russia		—			(1,056,856	)		—		(1,056,856	)
Singapore		—			(10,386,455	)		—		(10,386,455	)
Spain		—			(39,581,587	)		—		(39,581,587	)
Sweden		—			(10,789,239	)		—		(10,789,239	)
Switzerland		—			(20,779,793	)		—		(20,779,793	)
United Kingdom		(35,699,162	)		(92,221,466	)		—		(127,920,628	)
United States		(977,230,568	)		—			—		(977,230,568	)
TOTAL COMMON STOCKS		(1,047,287,617	)		(540,873,408	)		—		(1,588,161,025	)
Preferred Stocks
Germany		—			(7,156,206	)		—		(7,156,206	)
TOTAL PREFERRED STOCKS		—			(7,156,206	)		—		(7,156,206	)
Rights/Warrants
Spain		(87,949	)		—			—		(87,949	)
TOTAL RIGHTS/WARRANTS		(87,949	)		—			—		(87,949	)
Investment Funds
United States		(782,925	)		—			—		(782,925	)
TOTAL INVESTMENT FUNDS		(782,925	)		—			—		(782,925	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(23,349,905	)		—		(23,349,905	)
Futures Contracts
Equity Risk		(25,837,447	)		(36,528,168	)		—		(62,365,615	)
Interest Rate Risk		(51,775	)		—			—		(51,775	)
Physical Commodity Contract Risk		(4,685,289	)		—			—		(4,685,289	)
Written Options
Equity Risk		(165,345	)		—			—		(165,345	)
Swap Contracts
Credit Risk		—			(682,558	)		—		(682,558	)
Equity Risk		—			(2,284,565	)		—		(2,284,565	)
Interest Rate Risk		—			(7,216,124	)		—		(7,216,124	)
Total	$	(1,078,898,347	)	$	(618,090,934	)	$	—	$	(1,696,989,281	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	253,861,162		$	—		$	—	$	253,861,162
Short-Term Investments		94,922			—			—		94,922
Total Investments		253,956,084			—			—		253,956,084
Total	$	253,956,084		$	—		$	—	$	253,956,084

Description	Level 1			Level 2			Level 3			Total
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	867,734,753		$	—		$	—		$	867,734,753
Short-Term Investments		356,832			—			—			356,832
Total Investments		868,091,585			—			—			868,091,585
Total	$	868,091,585		$	—		$	—		$	868,091,585
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	280,665,121		$	—		$	—		$	280,665,121
TOTAL DEBT OBLIGATIONS		280,665,121			—			—			280,665,121
Short-Term Investments		114,824,495			8,483			—			114,832,978
Total Investments		395,489,616			8,483			—			395,498,099
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,601,455			—			1,601,455
Futures Contracts
Equity Risk		3,836,107			3,542,448			—			7,378,555
Interest Rate Risk		608,622			—			—			608,622
Physical Commodity Contract Risk		1,494,449			—			—			1,494,449
Swap Contracts
Equity Risk		—			772,709			—			772,709
Total	$	401,428,794		$	5,925,095		$	—		$	407,353,889
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(930,398	)	$	—		$	(930,398	)
Futures Contracts
Equity Risk		(768,315	)		(1,133,942	)		—			(1,902,257	)
Interest Rate Risk		(21,924	)		—			—			(21,924	)
Physical Commodity Contract Risk		(3,992,931	)		—			—			(3,992,931	)
Swap Contracts
Equity Risk		—			(1,005,711	)		—			(1,005,711	)
Total	$	(4,783,170	)	$	(3,070,051	)	$	—		$	(7,853,221	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	4,777,836		$	—		$	4,777,836
Belgium		—			1,809,408			—			1,809,408
Canada		3,892,429			—			—			3,892,429
China		319,884			3,650,163			461,823			4,431,870
Denmark		—			1,413,215			—			1,413,215
Finland		—			1,016,392			—			1,016,392
France		—			5,430,352			—			5,430,352
Germany		—			4,356,589			—			4,356,589
Hong Kong		—			2,669,368			—			2,669,368
India		—			1,516,101			—			1,516,101
Ireland		—			1,719,657			—			1,719,657
Israel		695,728			48,029			—			743,757
Italy		—			3,784,431			—			3,784,431
Japan		—			39,511,280			—			39,511,280
Malta		—			—			0	§		0	§
Mexico		937,281			—			—			937,281
Netherlands		560,500			4,402,268			—			4,962,768
New Zealand		—			370,324			—			370,324
Norway		—			1,748,536			—			1,748,536
Portugal		—			1,330,211			—			1,330,211
Russia		—			712,159			—			712,159
Singapore		—			1,771,340			—			1,771,340

Description	Level 1			Level 2			Level 3			Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
South Africa	$	—		$	500,593		$	—		$	500,593
South Korea		—			110,002			—			110,002
Spain		—			4,277,875			—			4,277,875
Sweden		—			446,289			—			446,289
Switzerland		—			874,559			—			874,559
Taiwan		—			362,646			—			362,646
United Kingdom		—			13,964,044			—			13,964,044
United States		51,315,296			—			—			51,315,296
TOTAL COMMON STOCKS		57,721,118			102,573,667			461,823			160,756,608
Preferred Stocks
Brazil		—			518,286			—			518,286
Germany		—			523,585			—			523,585
TOTAL PREFERRED STOCKS		—			1,041,871			—			1,041,871
Rights/Warrants
Singapore		—			—			0	§		0	§
TOTAL RIGHTS/WARRANTS		—			—			0	§		0	§
Mutual Funds
United States		241,657,971			—			—			241,657,971
TOTAL MUTUAL FUNDS		241,657,971			—			—			241,657,971
Short-Term Investments		541,818			—			—			541,818
Total Investments		299,920,907			103,615,538			461,823			403,998,268
Derivatives^
Swap Contracts
Equity Risk		—			5,956			—			5,956
Total	$	299,920,907		$	103,621,494		$	461,823		$	404,004,224
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(2,175,921	)	$	—		$	(2,175,921	)
Austria		—			(545,497	)		—			(545,497	)
Belgium		—			(83,951	)		—			(83,951	)
Denmark		—			(247,490	)		—			(247,490	)
France		—			(3,002,230	)		—			(3,002,230	)
Germany		—			(3,781,731	)		—			(3,781,731	)
Israel		(593,610	)		—			—			(593,610	)
Italy		—			(1,680,112	)		—			(1,680,112	)
Japan		—			(9,111,940	)		—			(9,111,940	)
Netherlands		—			(1,122,389	)		—			(1,122,389	)
Norway		—			(124,744	)		—			(124,744	)
Russia		—			(70,501	)		—			(70,501	)
Singapore		—			(593,422	)		—			(593,422	)
Spain		—			(2,316,453	)		—			(2,316,453	)
Sweden		—			(588,942	)		—			(588,942	)
Switzerland		—			(1,276,936	)		—			(1,276,936	)
United Kingdom		—			(5,654,967	)		—			(5,654,967	)
United States		(45,205,306	)		—			—			(45,205,306	)
TOTAL COMMON STOCKS		(45,798,916	)		(32,377,226	)		—			(78,176,142	)
Preferred Stocks
Germany		—			(412,457	)		—			(412,457	)
TOTAL PREFERRED STOCKS		—			(412,457	)		—			(412,457	)
Rights/Warrants
Spain		(5,196	)		—			—			(5,196	)
TOTAL RIGHTS/WARRANTS		(5,196	)		—			—			(5,196	)
Derivatives^
Swap Contracts
Equity Risk		—			(67,198	)		—			(67,198	)
Total	$	(45,804,112	)	$	(32,856,881	)	$	—		$	(78,660,993	)

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). Excludes purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at May 31, 2021.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Fund each hold a common stock that is priced with a 2,000 basis point liquidity discount to the most relevant price prior to suspension of trading. Additionally Implementation Fund’s Level 3 holdings also include a common stock of 144A shares that is thinly traded and is being priced off the Reg S shares of the same security, 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 May 31, 2021.

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 28, 2021		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of May 31, 2021		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2021
Consolidated Alternative Allocation Fund
Common Stocks
China	$	—	$	—	$	—		$	—	$	—		$	—		$	441,258	‡	$	—	$	441,258	$	—
Investment Funds
United States		10,681,155		3,593,356		—			—		—			(44,124	)		—			—		14,230,387		(44,124	)
Rights/Warrants
United States		146,362		13,649		—			—		—			103,440			—			—		263,451		103,440
Total Investments	$	10,827,517	$	3,607,005	$	—		$	—	$	—		$	59,316		$	441,258		$	—	$	14,935,096	$	59,316
Benchmark-Free Fund
Common Stocks
China	$	11,049	$	—	$	—		$	—	$	—		$	(11,049	)	$	2,232,633	‡	$	—	$	2,232,633	$	—
India		—		120,062		—			—		—			4,824			—			—		124,886		4,824
Russia		—		666,851		—			—		—			(109,432	)		—			—		557,419		(109,432	)
Total Investments	$	11,049	$	786,913	$	—		$	—	$	—		$	(115,657	)	$	2,232,633		$	—	$	2,914,938	$	(104,608	)
Consolidated Implementation Fund
Common Stocks
China	$	38,211	$	—	$	—		$	—	$	—		$	(38,211	)	$	6,778,855	‡	$	—	$	6,778,855	$	(38,211	)
India		—		287,900		—			—		—			11,776			—			—		299,676		11,776
Netherlands		199		—		—			—		—			2			—			—		201		2
Russia		—		2,093,111		—			—		—			(343,485	)		—			—		1,749,626		(343,485	)
United States		13,767,769		57,228		—			—		—			376,101			—			—		14,201,098		376,101
Preferred Stocks
United States		881,040		38,000		—			—		—			241,040			—			—		1,160,080		241,040
Rights/Warrants
United States		737,648		28,603		—			—		—			216,774			—			—		983,025		216,774
Investment Funds
United States		22,494,300		11,232,431		—			—		—			(100,491	)		—			—		33,626,240		(100,491	)
Debt Obligations
Bank Loans
Jamaica		6,415,674		—		(17,073	)		37,432		—			13,520			—			—		6,449,553		13,520
Luxembourg		2,478,466		—		(6,186	)		393		—			8,312			—			—		2,480,985		8,312
United States		32,146,412		3,602,857		(6,240,070	)		874,113		(35,137	)		(4,088,109	)		—			—		26,260,066		(3,431,875	)
Corporate Debt
Netherlands		304,846		14,663		(189,715	)		32,404		44,788			(87,926	)		—			—		119,060		(87,926	)
United States		—		42,000		—			109		—			6,891			—			—		49,000		6,891
Total Investments	$	79,264,565	$	17,396,793	$	(6,453,044	)#$		944,451	$	9,651		$	(3,783,806	)	$	6,778,855		$	—	$	94,157,465	$	(3,127,572	)

	Balances as of February 28, 2021		Purchases		Sales		Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)		Transfer into Level 3			Transfer out of Level 3		Balances as of May 31, 2021		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2021
Strategic Opportunities Allocation Fund
Common Stocks
China	$	—	$	—	$	—	$	—	$	—	$	—	$	461,823	‡	$	—	$	461,823	$	—
Total Investments	$	—	$	—	$	—	$	—	$	—	$	—	$	461,823		$	—	$	461,823	$	—

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

# Includes $3,640,115 of proceeds received from partial calls and/or principal paydowns as applicable.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2021 for Funds with material Level 3 investments.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology		Unobservable Inputs		Range (Weighted Average)
Consolidated Alternative Allocation Fund
Common Stock		441,258		Fair Value		Discount rate		20% (N/A)
Benchmark-Free Fund
Common Stock		2,232,633		Fair Value		Discount rate		20% (N/A)
Common Stock		557,419		Fair Value		Price of comparable equity		(N/A)
Common Stock		—		Fair Value		Discount for lack of liquidity/marketability		0% (N/A)
Consolidated Implementation Fund
Common Stock		8,353,609		Fair Value		Discount rate		20-30% (21.99%)
Common Stock		5,592,935		Fair Value		Most relevant broker quote		1.000-9.583(9.35)
Common Stock		1,749,626		Fair Value		Price of comparable equity		(N/A)
Common Stock		—		Fair Value		Discount for lack of liquidity/marketability		0% (N/A)
Debt Obligation		119,060		Fair Value		Expected payment		(N/A)
Debt Obligation		1,313,896		Fair Value		Potential recovery		(N/A)
Strategic Opportunities Allocation Fund
Common Stock		461,823		Fair Value		Discount Rate		20% (N/A)
Common Stock		—		Fair Value		Discount for lack of liquidity/marketability		0% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2021, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund, Benchmark-Free Fund and Consolidated Implementation Fund was $14,493,838, $124,886 and $77,028,339, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2021 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
Consolidated Alternative Allocation Fund
GMO Emerging Markets Fund, Class VI	$	29,192,704	$	—	$	14,740,000	$	—		$	1,970,341		$	(934,155	)	$	15,488,890
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	161,366,088	$	—	$	2,400,000	$	—		$	(136,976	)	$	5,103,778		$	163,932,890
GMO Implementation Fund		5,968,168,051		29,421,213		314,665,124		—			(584,858	)		359,531,179			6,041,870,461
GMO Opportunistic Income Fund, Class VI		237,695,110		—		11,500,000		—			215,757			661,746			227,072,613
GMO SGM Major Markets Fund, Class VI		176,393,296		—		—		—			—			(1,046,354	)		175,346,942
Totals	$	6,543,622,545	$	29,421,213	$	328,565,124	$	—		$	(506,077	)	$	364,250,349		$	6,608,222,906
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	68,079,210	$	—	$	—	$	—		$	—		$	2,109,120		$	70,188,330
GMO Emerging Markets Fund, Class VI		73,462,563		—		—		—			—			3,651,943			77,114,506
GMO Opportunistic Income Fund, Class VI		95,150,641		11,200,000		—		—			—			401,176			106,751,817
GMO SGM Major Markets Fund, Class VI		53,275,871		20,000,000		—		—			—			(359,903	)		72,915,968
GMO U.S. Treasury Fund		15,629,132		45,527,939		46,694,823		—	**		—			—			14,462,248
Totals	$	305,597,417	$	76,727,939	$	46,694,823	$	—		$	—		$	5,802,336		$	341,432,869
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	178,571,877	$	—	$	53,786,020	$	—		$	(1,747,470	)	$	7,351,785		$	130,390,172
GMO Asset Allocation Bond Fund, Class VI		58,588,962		15,117,924		35,050,450		—			2,126,232			(1,560,416	)		39,222,252
GMO Cyclical Focus Fund Class IV		26,821,332		—		9,200,000		—			3,366,139			(281,787	)		20,705,684
GMO Emerging Country Debt Fund, Class IV		26,636,433		—		7,000,000		—			(428,932	)		1,042,545			20,250,046
GMO Emerging Markets Fund, Class VI		175,044,536		3,233,370		52,200,000		—			6,154,708			1,037,969			133,270,583
GMO International Equity Fund, Class IV		143,733,654		—		53,606,134		—			5,518,298			9,533,617			105,179,435
GMO-Usonian Japan Value Creation Fund, Class VI		35,718,441		614,162		11,300,000		—			2,101,790			(368,189	)		26,766,204
GMO Multi-Sector Fixed Income Fund, Class IV		49,437,917		30,278,972		21,470,000		—			(57,605	)		667,905			58,857,189
GMO Opportunistic Income Fund, Class VI		26,706,075		—		7,200,000		—			(63,325	)		145,907			19,588,657
GMO Quality Fund, Class VI		18,091,344		114,165		7,200,000		—			1,725,921			336,948			13,068,378
GMO U.S. Equity Fund, Class VI		73,489,034		—		29,560,963		—			2,070,930			6,502,305			52,501,306
GMO U.S. Small Cap Value Fund, Class VI		58,149,527		276,372		25,762,526		—			7,020,313			42,039			39,725,725
GMO U.S. Treasury Fund		24,707,179		22,501,055		47,007,179		1,938			—			—			201,055
Totals	$	895,696,311	$	72,136,020	$	360,343,272	$	1,938		$	27,786,999		$	24,450,628		$	659,726,686
Global Developed Equity Allocation Fund
GMO Cyclical Focus Fund, Class IV	$	4,589,809	$	—	$	—	$	—		$	—		$	590,705		$	5,180,514
GMO Emerging Markets Fund, Class VI		8,499,013		560,000		—		—			—			437,390			9,496,403
GMO International Equity Fund, Class IV		37,111,417		600,000		—		—			—			4,732,034			42,443,451
GMO-Usonian Japan Value Creation Fund, Class VI		3,494,510		—		—		—			—			168,249			3,662,759
GMO Quality Fund, Class VI		10,925,424		—		—		—			—			1,417,194			12,342,618
GMO U.S. Equity Fund, Class VI		14,166,705		—		—		—			—			1,878,953			16,045,658
GMO U.S. Small Cap Value Fund, Class VI		9,343,101		—		1,160,000		—			338,488			906,988			9,428,577
Totals	$	88,129,979	$	1,160,000	$	1,160,000	$	—		$	338,488		$	10,131,513		$	98,599,980
Global Equity Allocation Fund
GMO Cyclical Focus Fund, Class VI	$	81,133,477	$	—	$	—	$	—		$	—		$	10,441,817		$	91,575,294
GMO Emerging Markets Fund, Class VI		451,468,804		7,000,000		804,295		—			265,044			22,339,837			480,269,390
GMO International Equity Fund, Class IV		546,831,021		10,129,760		29,390,592		—			3,604,850			64,661,970			595,837,009
GMO-Usonian Japan Value Creation Fund, Class VI		65,011,818		—		—		—			—			3,130,096			68,141,914
GMO Quality Fund, Class VI		220,601,446		8,500,000		18,443,480		—			4,779,386			24,038,280			239,475,632
GMO U.S. Equity Fund, Class VI		104,407,865		127,829		8,834,639		—			1,605,780			11,924,622			109,231,457
GMO U.S. Small Cap Value Fund, Class VI		177,879,688		129,782		26,146,368		—			7,581,177			16,043,538			175,487,817
Totals	$	1,647,334,119	$	25,887,371	$	83,619,374	$	—		$	17,836,237		$	152,580,160		$	1,760,018,513

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
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	35,272,723	$	109,548,816	$	110,391,523	$	—	**	$	—		$	—		$	34,430,016
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	22,008,788	$	2,561,768	$	259,434	$	—		$	18,452		$	1,163,126		$	25,492,700
GMO International Equity Fund, Class IV		194,337,465		611,871		1,029,686		—			70,290			24,462,810			218,452,750
GMO-Usonian Japan Value Creation Fund, Class VI		8,953,179		529,788		—		—			—			432,745			9,915,712
Totals	$	225,299,432	$	3,703,427	$	1,289,120	$	—		$	88,742		$	26,058,681		$	253,861,162
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	354,876,079	$	8,135,587	$	27,761,528	$	—		$	5,589,885		$	11,452,959		$	352,292,982
GMO International Equity Fund, Class IV		470,885,277		4,852,634		50,948,663		—			(1,468,223	)		57,806,492			481,127,517
GMO-Usonian Japan Value Creation Fund, Class VI		35,577,814		9,058		3,000,000		—			572,815			1,154,567			34,314,254
Totals	$	861,339,170	$	12,997,279	$	81,710,191	$	—		$	4,694,477		$	70,414,018		$	867,734,753
Strategic Opportunities Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	19,111,645	$	—	$	6,500,000	$	—		$	(739,751	)	$	1,082,559		$	12,954,453
GMO Emerging Markets Fund, Class VI		132,412,873		—		44,200,000		—			4,991,785			(61,018	)		93,143,640
GMO International Equity Fund, Class IV		68,841,799		—		26,500,000		—			2,416,731			4,409,767			49,168,297
GMO Opportunistic Income Fund, Class VI		16,234,952		—		5,665,000		—			197,112			(156,468	)		10,610,596
GMO Quality Fund, Class VI		31,416,895		—		13,400,000		—			2,220,283			1,102,306			21,339,484
GMO U.S. Equity Fund, Class VI		29,319,352		—		11,300,000		—			493,729			2,885,496			21,398,577
GMO U.S. Small Cap Value Fund, Class VI		41,144,715		—		18,600,001		—			4,825,863			(228,217	)		27,142,360
GMO U.S. Treasury Fund		2,500,173		41,000,564		37,600,173		1,103			—			—			5,900,564
Totals	$	340,982,404	$	41,000,564	$	163,765,174	$	1,103		$	14,405,752		$	9,034,425		$	241,657,971

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through May 31, 2021. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2022.

** 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 $57,012 and $116,580 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

* * *

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