GMO Trust
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May
31, 2021 (Unaudited)
|
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|
Shares |
|
|
Description |
|
Value ($) |
|
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|
|
|
|
|
|
|
|
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 |
|
|
Hans 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 Funds 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. |
(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 |
|
|
Ks 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 |
|
|
Ks 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% |
|
|
$1,325,893,948 |
|
|
|
|
|
|
|
|
|
|
|
|
Notes to Schedule of Investments:
|
Denominated in U.S. Dollar, unless otherwise indicated. |
* |
Non-income producing security. |
(a) |
All or a portion of this security is out on loan. |
(b) |
Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons
acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
(d) |
Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(e) |
The rate disclosed is the 7 day net yield as of May 31, 2021. |
(f) |
The rate shown represents
yield-to-maturity. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
PJSC - Private Joint-Stock Company
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May
31, 2021 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Description |
|
Value ($) |
|
|
|
|
|
|
|
|
|
|
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 |
|
|
Ks 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 |
|
|
Lowes 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 LLCClass 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
Commissions (SEC) website at www.sec.gov or on GMOs website at www.gmo.com.
Each Fund has elected to be treated
or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its
net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
Please see the Funds Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.
Basis of presentation
The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America
(U.S. GAAP) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate;
however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.
Portfolio valuation
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the
last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO
deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not
within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing
house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing
house. Over-the-counter (OTC) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market
quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net
asset value.
The foregoing valuation methodologies are modified for equities that trade in
non-U.S. securities markets that close before the close of the New York Stock Exchange (NYSE) due to time zone differences, including the value of equities that underlie futures, options and other
derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service
approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the
extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined
by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a
price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the
underlying funds.
Quoted price typically means the bid price for securities held long and the ask price for securities sold
short. If a market quotation for a security does not involve a bid or an ask, the quoted price may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that
security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that
securitys fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average
of bid and ask prices, regardless of whether a Fund has a long position or a short position.
If quotations are not readily available or
circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved
by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such
securities as Level 3 (levels defined below). For the period ended 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 investments assigned level within the fair
value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be
reclassified between levels.
The three levels are defined as follows:
Level 1 Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity
securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments
are valued using Level 2 or Level 3 inputs).
Level 2 Valuations determined using other significant direct or
indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and
certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are
valued at the local price; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other
derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been
suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is
no current market quotation valued at the most recent available market or quoted price; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion
discount; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.
The following is a summary of the respective levels assigned to the Funds direct securities and derivatives, if any, as of 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 SECs website at www.sec.gov or on GMOs website
at www.gmo.com.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives,
if any (determined by each category of asset or liability as compared to a Funds total net assets). Emerging Domestic Opportunities Funds 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
issuers voting securities or an investment in other funds of GMO Trust. A summary of the Funds transactions involving companies that are or were affiliates during the period ended 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 $62,725 in Climate Change Fund during the period. |
|
# |
Security was not an affiliate at the beginning of the period. |
Subsequent events
Effective June 30, 2021, the name of GMO Cyclical Focus Fund was changed to GMO Quality Cyclicals Fund.
* * *
For additional
information regarding the Funds, please see the Funds most recent annual or semiannual shareholder report available on the SECs website, www.sec.gov, or visit GMOs website at www.gmo.com.
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May
31, 2021 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Value /
Shares |
|
|
Description |
|
Value ($) |
|
|
|
|
|
|
|
|
|
|
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 entitys credit soundness and a greater likelihood or risk of default
or other credit event occurring as defined under the terms of the contract. |
(2) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit
event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund Pays |
|
|
|
|
Fund Receives |
|
Notional Amount |
|
|
Expiration Date |
|
|
Periodic Payment Frequency |
|
|
Premiums Paid/ (Received) ($) |
|
|
Value ($) |
|
|
Net Unrealized Appreciation/ (Depreciation) ($) |
|
0.33% |
|
|
|
|
|
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 |
|
|
Macys 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 |
|
|
Pilgrims 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 entitys credit soundness and a greater likelihood or risk of default
or other credit event occurring as defined under the terms of the contract. |
(2) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit
event occurs as defined under the terms of that particular swap contract. |
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 entitys credit soundness and a greater likelihood or risk of default
or other credit event occurring as defined under the terms of the contract. |
(2) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit
event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund Pays |
|
Fund Receives |
|
|
Notional Amount |
|
|
Expiration Date |
|
|
Periodic Payment Frequency |
|
Premiums Paid/ (Received) ($) |
|
|
Value ($) |
|
|
Net Unrealized Appreciation/ (Depreciation) ($) |
|
0.25% |
|
|
3 Month USD LIBOR |
|
|
USD |
|
|
9,700,000 |
|
|
|
11/10/2022 |
|
|
Quarterly |
|
$
|
(4,539 |
) |
|
$
|
(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 SECs website at www.sec.gov or on GMOs website at www.gmo.com.
Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital
loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
Please see the Funds Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.
Basis of presentation
The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America
(U.S. GAAP) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate;
however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.
Portfolio valuation
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by
GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price
supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying
funds.
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at
(i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the
event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price
is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant
clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant
clearing house. Over-the-counter (OTC) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which
market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent
net asset value.
The foregoing valuation methodologies are modified for equities that trade in
non-U.S. securities markets that close before the close of the New York Stock Exchange (NYSE) due to time zone differences, including the value of equities that underlie futures, options and other
derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service
approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the
extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).
Quoted price typically means the bid price for securities held long and the ask price for securities sold short. If a market
quotation for a security does not involve a bid or an ask, the quoted price may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated
quoted price for a security is not available
when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that securitys fair
value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless
of whether a Fund has a long position or a short position.
If quotations are not readily available or circumstances make an existing
valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the
uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels
defined below). For the period ended 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 investments assigned level within the fair
value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be
reclassified between levels.
The three levels are defined as follows:
Level 1 Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity
securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments
are valued using Level 2 or Level 3 inputs).
Level 2 Valuations determined using other significant direct or
indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include certain U.S. government
agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options,
swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have
yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures,
options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as
asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain
sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current
primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and
potential litigation recoveries and interests related to bankruptcy proceedings.
The following is a summary of the respective levels assigned to the Funds direct securities
and derivatives, if any, as of 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 SECs website at www.sec.gov or on GMOs website at www.gmo.com.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any
(determined by each category of asset or liability as compared to a Funds total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor).
Emerging Country Debt Funds Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to
the yield of the U.S. Treasury Strip Principal, due 8/15/25, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on 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 Funds Level 3 holdings also consists of
three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations and 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
issuers voting securities or an investment in other funds of GMO Trust. A summary of the Funds transactions involving companies that are or were affiliates during the period ended 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 SECs website, www.sec.gov, or visit GMOs website at www.gmo.com.
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of
Investments
(showing percentage of total net assets)
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 |
|
|
Kohls 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 |
) |
|
McDonalds 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 entitys credit soundness and a greater likelihood or risk of default
or other credit event occurring as defined under the terms of the contract. |
(2) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit
event occurs as defined under the terms of that particular swap contract. |
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 Funds 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 dEntreprises 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 Reddys 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 |
|
|
Ks 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 |
|
|
Kohls 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 |
) |
|
McDonalds 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 Funds 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 dEntreprises 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 Reddys 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 |
|
|
Ks 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 |
|
|
Kohls 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 / Canadas 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 & Busters, 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 |
) |
|
McDonalds 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 entitys credit soundness and a greater likelihood or risk of default
or other credit event occurring as defined under the terms of the contract. |
(2) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit
event occurs as defined under the terms of that particular swap contract. |
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 Funds 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 Poors 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 |
|
|
Ks 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 |
|
|
Kohls 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 |
) |
|
McDonalds 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 Funds 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 Commissions (SEC) website at
www.sec.gov or on GMOs website at www.gmo.com.
Each Fund has elected to be treated or intends to elect to be treated and intends to
qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital
gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
Please see the Funds Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.
Basis of presentation
The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America
(U.S. GAAP) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate;
however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.
Basis of presentation and principles of consolidation: Alternative Allocation Fund, Implementation Fund, 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 securitys fair value.
In the case of derivatives, prices determined by a model may reflect an estimate
of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
If quotations are not readily
available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to
procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds
classify such securities as Level 3 (levels defined below). For the period ended 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 investments assigned level within
the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security
to be reclassified between levels.
The three levels are defined as follows:
Level 1 Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity
securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments
are valued using Level 2 or Level 3 inputs).
Level 2 Valuations determined using other significant direct or
indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include certain U.S. government
agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options,
swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; certain debt
obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees,
including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as
asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities
whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy
proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; certain equity securities valued based on the
last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin
trading that are valued at cost.
The following is a summary of the respective levels assigned to the Funds direct securities
and derivatives, if any, as of 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 SECs website at www.sec.gov or on GMOs website at www.gmo.com.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any
(determined by each category of asset or liability as compared to a Funds total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor).
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 Funds 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
issuers voting securities or an investment in other funds of GMO Trust. A summary of the Funds transactions involving companies that are or were affiliates during the period ended 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 SECs website, www.sec.gov, or visit GMOs website at www.gmo.com.