GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| COMMON STOCKS — 93.4% |
| |||||||||
| Argentina — 0.9% | ||||||||||
| 702,515 | Adecoagro SA * | 5,486,642 | ||||||||
|
|
|
|||||||||
| Australia — 1.8% | ||||||||||
| 320,055 | Clean TeQ Water Ltd * (a) | 199,921 | ||||||||
| 612,295 | Sandfire Resources Ltd | 2,602,183 | ||||||||
| 1,134,203 | Sunrise Energy Metals Ltd * (a) | 1,386,900 | ||||||||
| 207,287 | Tassal Group Ltd | 486,923 | ||||||||
| 3,213,836 | Western Areas Ltd * (a) | 6,469,290 | ||||||||
|
|
|
|||||||||
| Total Australia | 11,145,217 | |||||||||
|
|
|
|||||||||
| Belgium — 0.1% | ||||||||||
| 10,683 | Umicore SA | 522,387 | ||||||||
|
|
|
|||||||||
| Brazil — 1.3% | ||||||||||
| 762,578 | Sao Martinho SA | 4,762,509 | ||||||||
| 489,600 | SLC Agricola SA | 3,342,467 | ||||||||
|
|
|
|||||||||
| Total Brazil | 8,104,976 | |||||||||
|
|
|
|||||||||
| Canada — 10.8% | ||||||||||
| 300,000 | Anaergia Inc * | 4,558,300 | ||||||||
| 760,685 | Canadian Solar Inc * (a) | 28,860,389 | ||||||||
| 344,500 | First Quantum Minerals Ltd | 7,343,329 | ||||||||
| 1,925,700 | Greenlane Renewables Inc * (a) | 1,959,693 | ||||||||
| 1,293,301 | Ivanhoe Mines Ltd – Class A * (a) | 10,265,820 | ||||||||
| 802,115 | Largo Inc * | 7,760,884 | ||||||||
| 12,900 | Largo Resources Ltd * | 124,814 | ||||||||
| 364,900 | Lundin Mining Corp | 2,865,041 | ||||||||
| 113,400 | NFI Group Inc (a) | 1,828,675 | ||||||||
| 700 | Northland Power Inc | 20,954 | ||||||||
|
|
|
|||||||||
| Total Canada | 65,587,899 | |||||||||
|
|
|
|||||||||
| China — 5.7% | ||||||||||
| 408,000 | Beijing Energy International Holding Co. Ltd * | 13,865 | ||||||||
| 1,162,000 | Canvest Environmental Protection Group Co Ltd | 616,508 | ||||||||
| 1,659,000 | Chaowei Power Holdings Ltd | 442,654 | ||||||||
| 8,184,919 | China High Speed Transmission Equipment Group Co Ltd * (a) | 6,776,488 | ||||||||
| 2,513,000 | China Longyuan Power Group Corp Ltd – Class H | 5,136,740 | ||||||||
| 2,598,000 | China Water Affairs Group Ltd (a) | 2,980,976 | ||||||||
| 154,200 | Hollysys Automation Technologies Ltd * | 2,383,932 | ||||||||
| 124,322 | Sungrow Power Supply Co Ltd – Class A | 3,150,061 | ||||||||
| 2,282,000 | Tianneng Power International Ltd (a) | 2,516,521 | ||||||||
| 2,508,000 | Wasion Holdings Ltd | 972,411 | ||||||||
| 2,060,800 | Xinjiang Goldwind Science & Technology Co Ltd – Class H | 4,516,734 | ||||||||
| 1,226,576 | Yutong Bus Co Ltd – Class A | 2,125,246 | ||||||||
| 418,585 | Zhuzhou CRRC Times Electric Co Ltd (a) | 2,747,578 | ||||||||
|
|
|
|||||||||
| Total China | 34,379,714 | |||||||||
|
|
|
|||||||||
| Denmark — 0.6% | ||||||||||
| 99,788 | Vestas Wind Systems A/S | 3,350,557 | ||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) | ||||||||
| Finland — 1.0% | ||||||||||
| 251,587 | Kemira Oyj | 3,732,590 | ||||||||
| 49,609 | Neste Oyj | 2,346,353 | ||||||||
|
|
|
|||||||||
| Total Finland | 6,078,943 | |||||||||
|
|
|
|||||||||
| France — 4.2% | ||||||||||
| 379,743 | Electricite de France SA | 5,328,762 | ||||||||
| 139,258 | Nexans SA | 12,872,752 | ||||||||
| 93,345 | Valeo | 2,690,651 | ||||||||
| 17,193 | Vilmorin & Cie SA | 1,055,657 | ||||||||
| 114,522 | Waga Energy SA * | 3,636,625 | ||||||||
|
|
|
|||||||||
| Total France | 25,584,447 | |||||||||
|
|
|
|||||||||
| Germany — 1.3% | ||||||||||
| 206,593 | E.ON SE | 2,548,603 | ||||||||
| 64,827 | Infineon Technologies AG | 2,931,052 | ||||||||
| 13,869 | Siemens AG (Registered) | 2,210,936 | ||||||||
|
|
|
|||||||||
| Total Germany | 7,690,591 | |||||||||
|
|
|
|||||||||
| India — 0.1% | ||||||||||
| 106,025 | VA Tech Wabag Ltd * | 466,528 | ||||||||
|
|
|
|||||||||
| Italy — 0.4% | ||||||||||
| 346,697 | Enel SPA | 2,627,049 | ||||||||
|
|
|
|||||||||
| Japan — 4.6% | ||||||||||
| 38,100 | Daiseki Co Ltd | 1,726,135 | ||||||||
| 115,700 | Ebara Corp | 6,176,710 | ||||||||
| 147,000 | GS Yuasa Corp | 2,969,855 | ||||||||
| 88,800 | Kurita Water Industries Ltd | 4,136,190 | ||||||||
| 36,800 | METAWATER Co Ltd | 632,410 | ||||||||
| 70,000 | Osaki Electric Co Ltd | 271,465 | ||||||||
| 242,500 | Panasonic Corp | 2,643,863 | ||||||||
| 461,500 | Renesas Electronics Corp * | 5,798,895 | ||||||||
| 39,200 | Takuma Co Ltd | 471,682 | ||||||||
| 44,100 | Tsukishima Kikai Co Ltd | 414,186 | ||||||||
| 143,400 | Yokogawa Electric Corp | 2,688,175 | ||||||||
|
|
|
|||||||||
| Total Japan | 27,929,566 | |||||||||
|
|
|
|||||||||
| Mexico — 2.4% | ||||||||||
| 3,447,352 | Grupo Mexico SAB de CV – Series B | 14,358,541 | ||||||||
| 337,916 | Grupo Rotoplas SAB de CV (a) | 413,363 | ||||||||
|
|
|
|||||||||
| Total Mexico | 14,771,904 | |||||||||
|
|
|
|||||||||
| Netherlands — 0.7% | ||||||||||
| 96,699 | Arcadis NV | 4,299,908 | ||||||||
|
|
|
|||||||||
| Norway — 1.2% | ||||||||||
| 693,974 | Austevoll Seafood ASA | 7,560,007 | ||||||||
|
|
|
|||||||||
| Pakistan — 0.1% | ||||||||||
| 1,209,094 | Fauji Fertilizer Co Ltd | 694,272 | ||||||||
|
|
|
|||||||||
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Philippines — 0.1% | ||||||||||
| 4,653,200 | Nickel Asia Corp | 474,146 | ||||||||
|
|
|
|||||||||
| Russia — 2.9% | ||||||||||
| 317,247 | MMC Norilsk Nickel PJSC ADR | 9,083,207 | ||||||||
| 278,037 | PhosAgro PJSC GDR (Registered) | 6,131,889 | ||||||||
| 169,638 | Ros Agro Plc GDR (Registered) | 2,581,340 | ||||||||
|
|
|
|||||||||
| Total Russia | 17,796,436 | |||||||||
|
|
|
|||||||||
| South Korea — 2.3% | ||||||||||
| 24,206 | LG Chem Ltd | 14,179,675 | ||||||||
|
|
|
|||||||||
| Spain — 2.3% | ||||||||||
| 25,774 | Acciona SA | 4,597,089 | ||||||||
| 250,080 | Endesa SA | 5,624,621 | ||||||||
| 73,256 | Fomento de Construcciones y Contratas SA | 819,662 | ||||||||
| 131,376 | Red Electrica Corp SA | 2,792,522 | ||||||||
| 84,390 | Talgo SA * (a) | 443,353 | ||||||||
|
|
|
|||||||||
| Total Spain | 14,277,247 | |||||||||
|
|
|
|||||||||
| Switzerland — 0.6% | ||||||||||
| 2,138 | Gurit Holding AG (a) | 3,453,270 | ||||||||
|
|
|
|||||||||
| Taiwan — 0.3% | ||||||||||
| 223,000 | Delta Electronics Inc | 2,050,021 | ||||||||
|
|
|
|||||||||
| Thailand — 0.2% | ||||||||||
| 2,041,700 | SPCG Pcl | 1,078,401 | ||||||||
| 908,900 | Super Energy Corp Plc NVDR | 25,354 | ||||||||
|
|
|
|||||||||
| Total Thailand | 1,103,755 | |||||||||
|
|
|
|||||||||
| Ukraine — 0.5% | ||||||||||
| 219,994 | Kernel Holding SA | 3,165,742 | ||||||||
|
|
|
|||||||||
| United Kingdom — 2.0% | ||||||||||
| 786,467 | Drax Group Plc | 5,742,124 | ||||||||
| 171,070 | Go-Ahead Group Plc * | 1,509,053 | ||||||||
| 360,365 | Renewi Plc * | 3,691,577 | ||||||||
| 1,625,241 | Stagecoach Group Plc * | 1,472,594 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 12,415,348 | |||||||||
|
|
|
|||||||||
| United States — 45.0% | ||||||||||
| 144,220 | Aemetis, Inc. * | 2,705,567 | ||||||||
| 128,600 | AGCO Corp. | 14,173,006 | ||||||||
| 296,392 | Ameresco, Inc. – Class A * | 26,773,089 | ||||||||
| 167,800 | Archaea Energy, Inc. * (a) | 3,203,302 | ||||||||
| 256,386 | BorgWarner, Inc. | 11,096,386 | ||||||||
| 2,426,489 | Clean Energy Fuels Corp. * | 17,397,926 | ||||||||
| 17,600 | Corteva, Inc. | 792,000 | ||||||||
| 283,896 | Darling Ingredients, Inc. * | 19,168,658 | ||||||||
| 22,600 | Deere & Co. | 7,809,204 | ||||||||
| 46,600 | Edison International | 3,042,048 | ||||||||
| 21,200 | Emerson Electric Co. | 1,862,208 | ||||||||
| Shares | Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 48,500 | EnerSys | 3,593,365 | ||||||||
| 106,713 | Exelon Corp. | 5,626,977 | ||||||||
| 214,990 | Freeport-McMoRan, Inc. | 7,971,829 | ||||||||
| 214,300 | Gevo, Inc. * | 1,232,225 | ||||||||
| 2,655,356 | GrafTech International Ltd. | 30,934,898 | ||||||||
| 156,700 | Green Plains, Inc. * | 6,056,455 | ||||||||
| 81,200 | Infrastructure and Energy Alternatives, Inc. * | 768,152 | ||||||||
| 64,500 | Johnson Controls International Plc | 4,822,020 | ||||||||
| 275,180 | Livent Corp. * (a) | 8,335,202 | ||||||||
| 552,218 | Montauk Renewables, Inc. * (a) | 5,251,593 | ||||||||
| 290,047 | Mosaic Co. (The) | 9,925,408 | ||||||||
| 186,200 | Mueller Water Products, Inc. – Class A | 2,539,768 | ||||||||
| 31,100 | MYR Group, Inc. * | 3,443,081 | ||||||||
| 34,079 | ON Semiconductor Corp. * | 2,093,473 | ||||||||
| 67,333 | Owens Corning | 5,712,532 | ||||||||
| 21,600 | Pentair Plc | 1,591,704 | ||||||||
| 42,700 | Quanta Services, Inc. | 4,858,406 | ||||||||
| 325,260 | Renewable Energy Group, Inc. * | 15,540,923 | ||||||||
| 100 | Rockwell Automation, Inc. | 33,620 | ||||||||
| 57,000 | Sensata Technologies Holding Plc * | 3,174,900 | ||||||||
| 37,309 | SolarEdge Technologies, Inc. * | 12,228,398 | ||||||||
| 428,475 | Sunrun, Inc. * (a) | 19,726,989 | ||||||||
| 27,529 | TE Connectivity Ltd. | 4,237,539 | ||||||||
| 19,200 | Valmont Industries, Inc. | 4,589,376 | ||||||||
| 39,100 | Zurn Water Solutions Corp. | 1,370,455 | ||||||||
|
|
|
|||||||||
| Total United States | 273,682,682 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $530,056,187) |
568,878,929 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (b) — 1.9% | ||||||||||
| Chile — 1.9% | ||||||||||
| 185,438 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 11,545,370 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $8,585,789) |
11,545,370 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 8.0% | ||||||||||
| United States — 8.0% | ||||||||||
| Affiliated Issuers — 8.0% | ||||||||||
| 9,648,200 | GMO U.S. Treasury Fund (c) | 48,530,447 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $48,532,464) |
48,530,447 | |||||||||
|
|
|
|||||||||
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 1.2% | ||||||||||
| Money Market Funds — 1.2% | ||||||||||
| 7,147,996 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d) | 7,147,996 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $7,147,996) |
7,147,996 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 104.5% (Cost $594,322,436) |
636,102,742 | |||||||||
| Other Assets and Liabilities (net) — (4.5%) | (27,336,837 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $608,765,905 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (c) | All or a portion of this security is purchased with collateral from securities loaned. |
| (d) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
PJSC - Private Joint-Stock Company
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 88.6% | ||||||||||
| China — 25.6% | ||||||||||
| 407,700 | Alibaba Group Holding Ltd * | 6,510,029 | ||||||||
| 15,061 | Alibaba Group Holding Ltd Sponsored ADR * | 1,920,729 | ||||||||
| 22,073 | Bafang Electric Suzhou Co Ltd – Class A | 857,266 | ||||||||
| 18,700 | Baidu Inc Sponsored ADR * | 2,802,008 | ||||||||
| 47,800 | Baidu Inc – Class A * | 892,883 | ||||||||
| 244,000 | BYD Co Ltd – Class H | 9,597,394 | ||||||||
| 67,600 | Changzhou Xingyu Automotive Lighting Systems Co Ltd – Class A | 2,311,248 | ||||||||
| 4,680,000 | China Construction Bank Corp – Class H | 3,049,516 | ||||||||
| 3,840,800 | China International Capital Corp Ltd – Class H | 9,291,449 | ||||||||
| 1,021,000 | China Mengniu Dairy Co Ltd * | 5,722,291 | ||||||||
| 1,040,502 | China Merchants Bank Co Ltd – Class H | 8,060,700 | ||||||||
| 6,274,000 | China Modern Dairy Holdings Ltd | 1,049,123 | ||||||||
| 253,500 | China Yangtze Power Co Ltd – Class A | 776,941 | ||||||||
| 32,600 | Contemporary Amperex Technology Co Ltd – Class A | 3,477,344 | ||||||||
| 26,000 | Country Garden Services Holdings Co Ltd | 157,629 | ||||||||
| 514,000 | Geely Automobile Holdings Ltd | 1,518,055 | ||||||||
| 686,300 | GoerTek Inc – Class A | 5,589,837 | ||||||||
| 596,900 | Haier Smart Home Co Ltd – Class A | 2,542,038 | ||||||||
| 587,000 | Hua Hong Semiconductor Ltd * | 3,910,904 | ||||||||
| 23,700 | JD.com Inc ADR * | 1,993,407 | ||||||||
| 459,800 | JD.com Inc – Class A * | 19,416,381 | ||||||||
| 195,097 | Jiangsu Hengli Hydraulic Co Ltd – Class A | 2,415,282 | ||||||||
| 8,986 | Kweichow Moutai Co Ltd – Class A | 2,723,385 | ||||||||
| 444,000 | Longfor Group Holdings Ltd | 2,107,564 | ||||||||
| 187,600 | Man Wah Holdings Ltd | 295,011 | ||||||||
| 277,300 | Meituan – Class B * | 8,428,337 | ||||||||
| 338,200 | Midea Group Co Ltd – Class A | 3,611,079 | ||||||||
| 145,500 | NetEase Inc | 3,141,321 | ||||||||
| 18,275 | NetEase Inc ADR | 1,968,766 | ||||||||
| 101,000 | New Oriental Education & Technology Group Inc Sponsored ADR * | 223,210 | ||||||||
| 49,300 | Pinduoduo Inc ADR* | 3,278,450 | ||||||||
| 476,300 | Ping An Bank Co Ltd – Class A | 1,302,659 | ||||||||
| 727,500 | Ping An Insurance Group Co of China Ltd – Class H | 5,043,206 | ||||||||
| 3,994,000 | Postal Savings Bank of China Co Ltd – Class H | 2,705,691 | ||||||||
| 135,200 | Proya Cosmetics Co Ltd – Class A | 4,204,612 | ||||||||
| 198,400 | SF Holding Co Ltd – Class A | 1,906,426 | ||||||||
| 167,385 | Shanghai Baosight Software Co Ltd – Class A | 1,741,621 | ||||||||
| 103,500 | Shenzhen Inovance Technology Co Ltd – Class A | 1,069,417 | ||||||||
| 27,600 | Shenzhen Mindray Bio-Medical Electronics Co Ltd – Class A | 1,559,673 | ||||||||
| 252,000 | Shenzhou International Group Holdings Ltd | 4,732,017 | ||||||||
| 125,000 | Sunny Optical Technology Group Co Ltd | 3,765,101 | ||||||||
| 651,884 | Tencent Holdings Ltd | 38,017,260 | ||||||||
| 412,000 | Tsingtao Brewery Co Ltd – Class H | 3,330,363 | ||||||||
| 34,800 | Wuliangye Yibin Co Ltd – Class A | 1,191,632 | ||||||||
| 145,000 | Wuxi Biologics Cayman Inc * | 1,956,019 | ||||||||
| 422,800 | Xiaomi Corp – Class B * | 1,051,695 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 81,000 | Yum China Holdings Inc | 4,058,100 | ||||||||
|
|
|
|||||||||
| Total China | 197,275,069 | |||||||||
|
|
|
|||||||||
| Greece — 0.6% | ||||||||||
| 5,036,460 | Eurobank Ergasias Services and Holdings SA * | 4,984,614 | ||||||||
|
|
|
|||||||||
| Hong Kong — 0.7% | ||||||||||
| 491,000 | AIA Group Ltd | 5,168,974 | ||||||||
|
|
|
|||||||||
| Hungary — 0.5% | ||||||||||
| 68,298 | OTP Bank Nyrt * | 3,771,157 | ||||||||
|
|
|
|||||||||
| India — 17.1% | ||||||||||
| 836,641 | Allcargo Logistics Ltd | 3,664,408 | ||||||||
| 424,053 | Ambuja Cements Ltd | 2,112,184 | ||||||||
| 43,538 | Apollo Hospitals Enterprise Ltd | 3,305,747 | ||||||||
| 56,181 | Asian Paints Ltd | 2,351,792 | ||||||||
| 410,564 | Axis Bank Ltd * | 3,555,013 | ||||||||
| 1,559,684 | Canara Bank * | 4,116,041 | ||||||||
| 174,339 | Central Depository Services India Ltd | 3,346,758 | ||||||||
| 484,701 | Crompton Greaves Consumer Electricals Ltd | 2,913,571 | ||||||||
| 152,324 | Escorts Ltd | 3,753,466 | ||||||||
| 2,633,704 | Gayatri Projects Ltd * | 1,090,280 | ||||||||
| 315,730 | Godrej Consumer Products Ltd * | 3,867,654 | ||||||||
| 237,131 | Gujarat Gas Ltd | 2,108,660 | ||||||||
| 261,978 | HCL Technologies Ltd | 3,970,452 | ||||||||
| 216,211 | HDFC Bank Ltd | 4,275,433 | ||||||||
| 157,430 | Housing Development Finance Corp Ltd | 5,617,856 | ||||||||
| 906,650 | ICICI Bank Ltd | 8,541,881 | ||||||||
| 454,253 | Infosys Ltd | 10,358,679 | ||||||||
| 130,273 | Kajaria Ceramics Ltd | 1,941,950 | ||||||||
| 79,634 | L&T Technology Services Ltd | 5,583,404 | ||||||||
| 138,960 | Larsen & Toubro Ltd | 3,265,471 | ||||||||
| 1,094,319 | Laxmi Organic Industries Ltd (a) (b) | 6,100,312 | ||||||||
| 120,400 | MakeMyTrip Ltd * | 2,931,740 | ||||||||
| 244,711 | Muthoot Finance Ltd | 4,661,110 | ||||||||
| 803,654 | Rupa & Co Ltd | 4,474,289 | ||||||||
| 295,650 | SBI Cards & Payment Services Ltd * | 3,730,838 | ||||||||
| 108,828 | SRF Ltd | 2,896,147 | ||||||||
| 1,816,802 | State Bank of India | 11,079,372 | ||||||||
| 300,779 | Sun Pharmaceutical Industries Ltd | 3,007,492 | ||||||||
| 69,674 | Tata Consultancy Services Ltd | 3,279,913 | ||||||||
| 351,897 | UPL Ltd | 3,198,159 | ||||||||
| 429,232 | Wipro Ltd | 3,622,046 | ||||||||
| 729,994 | Zee Entertainment Enterprises Ltd | 3,144,876 | ||||||||
|
|
|
|||||||||
| Total India | 131,866,994 | |||||||||
|
|
|
|||||||||
| Indonesia — 2.3% | ||||||||||
| 18,612,300 | Bank Central Asia Tbk PT | 9,457,430 | ||||||||
| 24,056,600 | Bank Rakyat Indonesia Persero Tbk PT | 6,854,615 | ||||||||
| 6,496,500 | Telkom Indonesia Persero Tbk PT | 1,808,792 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 18,120,837 | |||||||||
|
|
|
|||||||||
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Japan — 0.6% | ||||||||||
| 22,500 | Daikin Industries Ltd | 4,581,543 | ||||||||
|
|
|
|||||||||
| Malaysia — 0.6% | ||||||||||
| 3,578,600 | CIMB Group Holdings Bhd | 4,397,025 | ||||||||
|
|
|
|||||||||
| Mexico — 2.3% | ||||||||||
| 5,548,500 | America Movil SAB de CV – Series L | 4,856,959 | ||||||||
| 121,400 | Grupo Aeroportuario del Pacifico SAB de CV – Class B * | 1,404,430 | ||||||||
| 81,115 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 1,490,466 | ||||||||
| 736,700 | Grupo Financiero Banorte SAB de CV – Class O | 4,388,763 | ||||||||
| 1,785,824 | Wal-Mart de Mexico SAB de CV | 5,613,363 | ||||||||
|
|
|
|||||||||
| Total Mexico | 17,753,981 | |||||||||
|
|
|
|||||||||
| Netherlands — 0.4% | ||||||||||
| 4,435 | ASML Holding NV | 3,480,945 | ||||||||
|
|
|
|||||||||
| Peru — 0.0% | ||||||||||
| 3,100 | Credicorp Ltd | 365,800 | ||||||||
|
|
|
|||||||||
| Philippines — 1.1% | ||||||||||
| 60,245 | Globe Telecom Inc | 3,917,986 | ||||||||
| 229,420 | GT Capital Holdings Inc | 2,588,417 | ||||||||
| 2,467,700 | Puregold Price Club Inc | 2,010,993 | ||||||||
|
|
|
|||||||||
| Total Philippines | 8,517,396 | |||||||||
|
|
|
|||||||||
| Qatar — 0.8% | ||||||||||
| 1,174,230 | Qatar National Bank QPSC | 6,242,159 | ||||||||
|
|
|
|||||||||
| Russia — 3.7% | ||||||||||
| 41,964 | Magnit PJSC | 3,285,153 | ||||||||
| 665,640 | Mobile TeleSystems PJSC | 2,624,283 | ||||||||
| 334,523 | Sberbank of Russia PJSC Sponsored ADR | 5,637,234 | ||||||||
| 115,285 | TCS Group Holding Plc GDR (Registered) | 10,995,433 | ||||||||
| 80,300 | Yandex NV – Class A * | 5,776,782 | ||||||||
|
|
|
|||||||||
| Total Russia | 28,318,885 | |||||||||
|
|
|
|||||||||
| Singapore — 0.8% | ||||||||||
| 11,000 | Sea Ltd ADR * | 3,168,770 | ||||||||
| 148,600 | TDCX Inc ADR * | 2,823,400 | ||||||||
|
|
|
|||||||||
| Total Singapore | 5,992,170 | |||||||||
|
|
|
|||||||||
| South Africa — 1.5% | ||||||||||
| 162,227 | Aspen Pharmacare Holdings Ltd | 2,426,620 | ||||||||
| 31,442 | Capitec Bank Holdings Ltd | 3,607,965 | ||||||||
| 209,296 | MTN Group Ltd * | 2,111,208 | ||||||||
| 2,789 | Naspers Ltd – N Shares | 427,181 | ||||||||
| 291,111 | Nedbank Group Ltd | 3,009,074 | ||||||||
|
|
|
|||||||||
| Total South Africa | 11,582,048 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| South Korea — 7.8% | ||||||||||
| 227,819 | KB Financial Group Inc | 10,124,936 | ||||||||
| 2,646 | LG Chem Ltd | 1,550,005 | ||||||||
| 6,356 | NAVER Corp | 2,029,166 | ||||||||
| 746,171 | Samsung Electronics Co Ltd | 44,789,816 | ||||||||
| 16,548 | SK Hynix Inc | 1,582,007 | ||||||||
| 2,781 | SK Square Co Ltd * | 159,195 | ||||||||
| 4,303 | SK Telecom Co Ltd | 197,030 | ||||||||
|
|
|
|||||||||
| Total South Korea | 60,432,155 | |||||||||
|
|
|
|||||||||
| Switzerland — 0.9% | ||||||||||
| 53,768 | Nestle SA (Registered) | 6,891,538 | ||||||||
|
|
|
|||||||||
| Taiwan — 15.4% | ||||||||||
| 549,450 | Chailease Holding Co Ltd | 4,860,987 | ||||||||
| 4,033,000 | CTBC Financial Holding Co Ltd | 3,530,582 | ||||||||
| 715,000 | Delta Electronics Inc | 6,572,936 | ||||||||
| 3,702,724 | E.Sun Financial Holding Co Ltd | 3,578,626 | ||||||||
| 301,000 | Giant Manufacturing Co Ltd | 3,361,544 | ||||||||
| 735,000 | Hotai Finance Co Ltd | 2,381,776 | ||||||||
| 337,000 | MediaTek Inc | 12,216,461 | ||||||||
| 3,090,000 | Mega Financial Holding Co Ltd | 3,797,164 | ||||||||
| 18,000 | Silergy Corp | 3,042,335 | ||||||||
| 497,000 | Sinbon Electronics Co Ltd | 4,554,483 | ||||||||
| 3,123,800 | Taiwan Semiconductor Manufacturing Co Ltd | 66,439,091 | ||||||||
| 5,245,000 | Yuanta Financial Holding Co Ltd | 4,456,369 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 118,792,354 | |||||||||
|
|
|
|||||||||
| Thailand — 0.8% | ||||||||||
| 609,700 | Advanced Info Service Pcl (Foreign Registered) | 3,721,557 | ||||||||
| 1,237,700 | CP ALL Pcl (Foreign Registered) | 2,144,114 | ||||||||
|
|
|
|||||||||
| Total Thailand | 5,865,671 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.3% | ||||||||||
| 415,699 | First Abu Dhabi Bank PJSC | 2,165,138 | ||||||||
|
|
|
|||||||||
| United Kingdom — 0.3% | ||||||||||
| 38,461 | Unilever Plc | 1,964,318 | ||||||||
|
|
|
|||||||||
| United States — 3.7% | ||||||||||
| 48,900 | Apple, Inc. | 8,083,170 | ||||||||
| 7,400 | Meta Platforms, Inc. – Class A * | 2,401,004 | ||||||||
| 103,300 | PepsiCo, Inc. | 16,505,274 | ||||||||
| 39,900 | TaskUS, Inc. – Class A * | 1,777,545 | ||||||||
|
|
|
|||||||||
| Total United States | 28,766,993 | |||||||||
|
|
|
|||||||||
| Vietnam — 0.8% | ||||||||||
| 1,373,800 | Bank for Foreign Trade of Vietnam JSC | 5,986,897 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $646,223,124) |
683,284,661 | |||||||||
|
|
|
|||||||||
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| INVESTMENT FUNDS — 6.2% | ||||||||||
| Brazil — 0.3% | ||||||||||
| 83,100 | iShares MSCI Brazil ETF | 2,409,069 | ||||||||
|
|
|
|||||||||
| Russia — 3.7% | ||||||||||
| 1,002,200 | VanEck Russia ETF | 28,342,216 | ||||||||
|
|
|
|||||||||
| Saudi Arabia — 2.2% | ||||||||||
| 427,400 | iShares MSCI Saudi Arabia ETF | 16,835,286 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $45,645,721) |
47,586,571 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 0.3% | ||||||||||
| United States — 0.3% | ||||||||||
| Affiliated Issuers — 0.3% | ||||||||||
| 464,840 | GMO U.S. Treasury Fund | 2,338,143 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $2,338,143) |
2,338,143 | |||||||||
|
|
|
|||||||||
| Shares / Par Value† |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 608,544 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c) | 608,544 | ||||||||
|
|
|
|||||||||
| U.S. Government — 0.2% | ||||||||||
| 1,500,000 | U.S. Treasury Bill, 0.22%, due 11/03/22 (d) | 1,496,993 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $2,106,326) |
2,105,537 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 95.4% (Cost $696,313,314) |
735,314,912 | |||||||||
| Other Assets and Liabilities (net) — 4.6% | 35,739,338 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $771,054,250 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date |
Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of November 30, 2021 |
||||||||
| Laxmi Organic Industries Ltd | 03/02/21 | $ | 1,924,110 | 0.79% | $ | 6,100,312 | ||||||
|
|
|
|||||||||||
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 66 | HSCEI Futures | December 2021 |
$ | 3,550,103 | $ | (192,947 | ) | |||||
|
|
|
|
|
|||||||||
| Sales | ||||||||||||
| 128 | SGX Nifty 50 | December 2021 |
$ | 4,363,323 | $ | 133,442 | ||||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of November 30, 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.
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | The security is restricted as to resale. |
| (b) | Investment valued using significant unobservable inputs. |
| (c) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
| (d) | The rate shown represents yield-to-maturity. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
ETF - Exchange-Traded Fund
Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.
GDR - Global Depositary Receipt
JSC - Joint-Stock Company
PJSC - Private Joint-Stock Company
QPSC - Qatar Private Stock Company
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 94.2% |
| |||||||||
| Brazil — 0.4% | ||||||||||
| 35,600 | Blau Farmaceutica SA | 213,403 | ||||||||
| 54,700 | CPFL Energia SA | 256,869 | ||||||||
| 71,800 | Transmissora Alianca de Energia Eletrica SA | 460,161 | ||||||||
| 142,150 | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA * | 282,689 | ||||||||
|
|
|
|||||||||
| Total Brazil | 1,213,122 | |||||||||
|
|
|
|||||||||
| Chile — 0.3% | ||||||||||
| 24,990 | CAP SA | 225,739 | ||||||||
| 55,591 | Cencosud Shopping SA | 58,939 | ||||||||
| 20,000 | Cia Cervecerias Unidas SA Sponsored ADR | 321,400 | ||||||||
| 2,978,030 | Colbun SA | 195,262 | ||||||||
| 92,049 | Inversiones La Construccion SA | 278,261 | ||||||||
|
|
|
|||||||||
| Total Chile | 1,079,601 | |||||||||
|
|
|
|||||||||
| Czech Republic — 0.3% | ||||||||||
| 9,265 | Moneta Money Bank AS * | 39,473 | ||||||||
| 12,681 | O2 Czech Republic AS * | 147,722 | ||||||||
| 994 | Philip Morris CR AS | 686,559 | ||||||||
|
|
|
|||||||||
| Total Czech Republic | 873,754 | |||||||||
|
|
|
|||||||||
| Egypt — 0.4% | ||||||||||
| 220,475 | Commercial International Bank Egypt SAE * | 717,662 | ||||||||
| 992,792 | Eastern Co SAE | 705,348 | ||||||||
| 2,750 | Misr Fertilizers Production Co SAE | 16,719 | ||||||||
|
|
|
|||||||||
| Total Egypt | 1,439,729 | |||||||||
|
|
|
|||||||||
| Hungary — 0.3% | ||||||||||
| 20,799 | MOL Hungarian Oil & Gas Plc | 156,308 | ||||||||
| 13,286 | OTP Bank Nyrt * | 733,603 | ||||||||
|
|
|
|||||||||
| Total Hungary | 889,911 | |||||||||
|
|
|
|||||||||
| India — 4.5% | ||||||||||
| 20,000 | Axis Bank Ltd GDR (Registered) * | 886,776 | ||||||||
| 104,200 | HDFC Bank Ltd ADR | 6,821,974 | ||||||||
| 120,900 | ICICI Bank Ltd Sponsored ADR | 2,231,814 | ||||||||
| 200,100 | Infosys Ltd Sponsored ADR | 4,518,258 | ||||||||
| 8,400 | WNS Holdings Ltd ADR * | 706,188 | ||||||||
|
|
|
|||||||||
| Total India | 15,165,010 | |||||||||
|
|
|
|||||||||
| Indonesia — 1.6% | ||||||||||
| 3,092,500 | Bank Central Asia Tbk PT | 1,571,386 | ||||||||
| 1,310,400 | Bank Mandiri Persero Tbk PT | 639,710 | ||||||||
| 9,643,200 | Bank Rakyat Indonesia Persero Tbk PT | 2,747,705 | ||||||||
| 72,900 | Indo Tambangraya Megah Tbk PT | 109,475 | ||||||||
| 1,456,600 | Telkom Indonesia Persero Tbk PT | 405,555 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 5,473,831 | |||||||||
|
|
|
|||||||||
| Luxembourg — 1.0% | ||||||||||
| 85,400 | Ternium SA Sponsored ADR | 3,261,426 | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Malaysia — 0.1% | ||||||||||
| 173,100 | Kossan Rubber Industries Bhd | 88,369 | ||||||||
| 422,200 | Supermax Corp Bhd | 188,469 | ||||||||
|
|
|
|||||||||
| Total Malaysia | 276,838 | |||||||||
|
|
|
|||||||||
| Mexico — 8.0% | ||||||||||
| 153,900 | America Movil SAB de CV – Class L Sponsored ADR | 2,680,938 | ||||||||
| 2,266,600 | America Movil SAB de CV – Series L | 1,984,101 | ||||||||
| 99,300 | Arca Continental SAB de CV | 605,502 | ||||||||
| 417,600 | Banco del Bajio SA | 704,813 | ||||||||
| 535,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander | 657,694 | ||||||||
| 81,100 | Cemex SAB de CV Sponsored ADR * | 498,765 | ||||||||
| 7,300 | Coca-Cola Femsa SAB de CV Sponsored ADR | 358,576 | ||||||||
| 539,400 | Credito Real SAB de CV SOFOM ER * | 187,410 | ||||||||
| 180,300 | Fomento Economico Mexicano SAB de CV | 1,279,106 | ||||||||
| 58,400 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 4,131,216 | ||||||||
| 5 | Gruma SAB de CV – Class B | 60 | ||||||||
| 2,900 | Grupo Aeroportuario del Pacifico SAB de CV – Class B * | 33,549 | ||||||||
| 11,330 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 208,186 | ||||||||
| 994,200 | Grupo Financiero Banorte SAB de CV – Class O | 5,922,775 | ||||||||
| 473,700 | Grupo Mexico SAB de CV – Series B | 1,973,004 | ||||||||
| 216,800 | Industrias Bachoco SAB de CV – Series B | 722,818 | ||||||||
| 200 | Kimberly-Clark de Mexico SAB de CV – Class A | 315 | ||||||||
| 300 | Orbia Advance Corp SAB de CV | 700 | ||||||||
| 63,300 | Qualitas Controladora SAB de CV | 275,459 | ||||||||
| 94,700 | Regional SAB de CV | 446,725 | ||||||||
| 1,383,700 | Wal-Mart de Mexico SAB de CV | 4,349,371 | ||||||||
|
|
|
|||||||||
| Total Mexico | 27,021,083 | |||||||||
|
|
|
|||||||||
| Peru — 0.7% | ||||||||||
| 11,900 | Credicorp Ltd | 1,404,200 | ||||||||
| 18,100 | Southern Copper Corp | 1,058,850 | ||||||||
|
|
|
|||||||||
| Total Peru | 2,463,050 | |||||||||
|
|
|
|||||||||
| Philippines — 0.4% | ||||||||||
| 64,460 | GT Capital Holdings Inc | 727,266 | ||||||||
| 638,300 | Puregold Price Club Inc | 520,167 | ||||||||
|
|
|
|||||||||
| Total Philippines | 1,247,433 | |||||||||
|
|
|
|||||||||
| Poland — 0.3% | ||||||||||
| 2,284 | Bank Polska Kasa Opieki SA | 65,955 | ||||||||
| 120,881 | Powszechny Zaklad Ubezpieczen SA | 1,054,110 | ||||||||
|
|
|
|||||||||
| Total Poland | 1,120,065 | |||||||||
|
|
|
|||||||||
| Russia — 18.7% | ||||||||||
| 3,382,920 | Alrosa PJSC | 5,880,895 | ||||||||
| 120 | Detsky Mir PJSC | 224 | ||||||||
| 455,779 | Etalon Group Plc GDR (Registered) | 616,128 | ||||||||
| 125,272 | Evraz Plc | 954,989 | ||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Russia — continued | ||||||||||
| 301,440,000 | Federal Grid Co Unified Energy System PJSC | 680,352 | ||||||||
| 101,380 | Gazprom Neft PJSC | 680,006 | ||||||||
| 787 | Gazprom Neft PJSC Sponsored ADR | 26,336 | ||||||||
| 253,058 | Gazprom PJSC Sponsored ADR | 2,244,851 | ||||||||
| 10,344,400 | Inter RAO UES PJSC | 597,078 | ||||||||
| 79,284 | LUKOIL PJSC Sponsored ADR | 6,876,418 | ||||||||
| 15,367 | Magnit PJSC Sponsored GDR (Registered) | 236,904 | ||||||||
| 3,799,040 | Magnitogorsk Iron & Steel Works PJSC | 3,050,941 | ||||||||
| 76,123 | MMC Norilsk Nickel PJSC ADR | 2,179,504 | ||||||||
| 25,000 | Mobile TeleSystems PJSC | 98,562 | ||||||||
| 198,600 | Mobile TeleSystems PJSC Sponsored ADR | 1,590,786 | ||||||||
| 437,790 | Moscow Exchange MICEX-RTS PJSC | 894,901 | ||||||||
| 9,337 | Novatek PJSC Sponsored GDR (Registered) | 2,036,868 | ||||||||
| 381,910 | Novolipetsk Steel PJSC | 1,112,253 | ||||||||
| 91,695 | Novolipetsk Steel PJSC GDR | 2,643,681 | ||||||||
| 32,311 | PhosAgro PJSC GDR (Registered) | 712,594 | ||||||||
| 258,004 | Polymetal International Plc | 4,706,901 | ||||||||
| 5,594 | Polyus PJSC | 1,090,411 | ||||||||
| 10,769 | Polyus PJSC GDR (Registered) | 1,029,373 | ||||||||
| 83,900 | QIWI Plc Sponsored ADR | 718,184 | ||||||||
| 11,103 | Ros Agro Plc GDR (Registered) | 168,952 | ||||||||
| 70 | Rostelecom PJSC | 80 | ||||||||
| 65,167,000 | RusHydro PJSC | 644,971 | ||||||||
| 17,394 | RusHydro PJSC ADR | 16,165 | ||||||||
| 717,424 | Sberbank of Russia PJSC Sponsored ADR | 12,089,713 | ||||||||
| 130,533 | Severstal PAO GDR (Registered) | 2,731,486 | ||||||||
| 2,387,800 | Surgutneftegas PJSC | 1,183,610 | ||||||||
| 77,029 | Tatneft PJSC Sponsored ADR | 2,913,805 | ||||||||
| 19,898 | TCS Group Holding Plc GDR (Registered) | 1,942,128 | ||||||||
| 458,850 | United Co Rusal International PJSC * | 425,823 | ||||||||
| 9,707 | X5 Retail Group NV GDR (Registered) | 268,440 | ||||||||
|
|
|
|||||||||
| Total Russia | 63,044,313 | |||||||||
|
|
|
|||||||||
| South Africa — 0.4% | ||||||||||
| 258 | Anglo American Platinum Ltd | 27,592 | ||||||||
| 2,731 | Capitec Bank Holdings Ltd | 313,382 | ||||||||
| 31,423 | FirstRand Ltd | 109,890 | ||||||||
| 11,492 | Kumba Iron Ore Ltd | 325,349 | ||||||||
| 1,902 | Nedbank Group Ltd | 19,660 | ||||||||
| 570,934 | Old Mutual Ltd | 435,596 | ||||||||
| 21,569 | Sanlam Ltd | 75,096 | ||||||||
|
|
|
|||||||||
| Total South Africa | 1,306,565 | |||||||||
|
|
|
|||||||||
| South Korea — 18.6% | ||||||||||
| 29,819 | BNK Financial Group Inc | 200,612 | ||||||||
| 9,028 | Cheil Worldwide Inc | 164,824 | ||||||||
| 747 | CJ CheilJedang Corp | 222,637 | ||||||||
| 74,325 | Daewoo Engineering & Construction Co Ltd * | 336,496 | ||||||||
| 12,355 | Daewoo Shipbuilding & Marine Engineering Co Ltd * | 240,256 | ||||||||
| 60,113 | Daou Data Corp | 654,453 | ||||||||
| 3,375 | DB Insurance Co Ltd | 152,961 | ||||||||
| 1,991 | DL E&C Co Ltd * | 185,166 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 160 | DL Holdings Co Ltd | 7,523 | ||||||||
| 149,218 | Dongwon Development Co Ltd | 603,639 | ||||||||
| 8,357 | Fila Holdings Corp | 245,877 | ||||||||
| 20,953 | GS Engineering & Construction Corp | 646,772 | ||||||||
| 68,898 | Hana Financial Group Inc | 2,289,981 | ||||||||
| 13,586 | HDC Hyundai Development Co-Engineering & Construction | 237,494 | ||||||||
| 17,190 | Hyundai Engineering & Construction Co Ltd | 638,665 | ||||||||
| 13,457 | Hyundai Marine & Fire Insurance Co Ltd | 260,227 | ||||||||
| 2,564 | Hyundai Mobis Co Ltd | 475,867 | ||||||||
| 84,213 | KB Financial Group Inc | 3,742,670 | ||||||||
| 5,061 | KCC Glass Corp | 224,877 | ||||||||
| 8,714 | Kia Corp | 570,325 | ||||||||
| 1,143 | Kolon Industries Inc | 67,921 | ||||||||
| 6,672 | Korea Investment Holdings Co Ltd | 421,753 | ||||||||
| 2,929 | Korea Petrochemical Ind Co Ltd | 420,254 | ||||||||
| 145,799 | Korea Real Estate Investment & Trust Co Ltd | 313,790 | ||||||||
| 1,669 | Korea Zinc Co Ltd | 695,141 | ||||||||
| 36,040 | KT Skylife Co Ltd | 261,511 | ||||||||
| 31,660 | KT&G Corp | 2,182,264 | ||||||||
| 6,268 | Kumho Petrochemical Co Ltd | 813,390 | ||||||||
| 84 | LG Chem Ltd | 49,207 | ||||||||
| 3,356 | LG Electronics Inc | 326,648 | ||||||||
| 722 | LG Household & Health Care Ltd | 640,300 | ||||||||
| 2,103 | LG Innotek Co Ltd | 536,769 | ||||||||
| 7,466 | Lotte Chemical Corp | 1,264,905 | ||||||||
| 2,829 | LX Semicon Co Ltd | 254,597 | ||||||||
| 11,290 | NH Investment & Securities Co Ltd | 117,229 | ||||||||
| 17,370 | POSCO | 3,813,675 | ||||||||
| 12,825 | Posco International Corp | 201,790 | ||||||||
| 7,300 | POSCO Sponsored ADR | 402,741 | ||||||||
| 3,585 | Samsung C&T Corp | 317,996 | ||||||||
| 2,164 | Samsung Electro-Mechanics Co Ltd | 303,039 | ||||||||
| 469,811 | Samsung Electronics Co Ltd | 28,200,973 | ||||||||
| 37,591 | Samsung Engineering Co Ltd * | 656,378 | ||||||||
| 6,610 | Samsung Fire & Marine Insurance Co Ltd | 1,124,612 | ||||||||
| 15,292 | Samsung Life Insurance Co Ltd | 766,563 | ||||||||
| 13,125 | Sangsangin Co Ltd * | 84,859 | ||||||||
| 86,301 | Shinhan Financial Group Co Ltd | 2,509,747 | ||||||||
| 1,371 | Shinsegae Inc | 251,025 | ||||||||
| 5,095 | SK Hynix Inc | 487,088 | ||||||||
| 5,065 | SK Square Co Ltd * | 289,940 | ||||||||
| 7,834 | SK Telecom Co Ltd | 358,711 | ||||||||
| 13,751 | Spigen Korea Co Ltd | 451,490 | ||||||||
| 221,008 | Woori Financial Group Inc | 2,339,217 | ||||||||
|
|
|
|||||||||
| Total South Korea | 63,026,845 | |||||||||
|
|
|
|||||||||
| Taiwan — 35.5% | ||||||||||
| 31,000 | Accton Technology Corp | 321,992 | ||||||||
| 363,000 | Acer Inc | 360,780 | ||||||||
| 10,000 | Advanced Ceramic X Corp | 128,298 | ||||||||
| 20,000 | Advantech Co Ltd | 274,590 | ||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 16,000 | Airtac International Group | 489,673 | ||||||||
| 1,171,000 | AmTRAN Technology Co Ltd | 768,889 | ||||||||
| 9,000 | Arcadyan Technology Corp | 35,591 | ||||||||
| 197,000 | ASE Technology Holding Co Ltd | 718,114 | ||||||||
| 266,000 | Asia Vital Components Co Ltd | 839,234 | ||||||||
| 11,000 | ASROCK Inc | 94,297 | ||||||||
| 155,000 | Asustek Computer Inc | 1,959,654 | ||||||||
| 86,000 | Aten International Co Ltd | 248,739 | ||||||||
| 376,000 | AU Optronics Corp | 270,863 | ||||||||
| 20,000 | Aurora Corp | 64,844 | ||||||||
| 175,000 | Catcher Technology Co Ltd | 971,892 | ||||||||
| 2,323,000 | Cathay Financial Holding Co Ltd | 4,990,696 | ||||||||
| 300,000 | Chailease Holding Co Ltd | 2,654,102 | ||||||||
| 52,000 | Chicony Electronics Co Ltd | 148,305 | ||||||||
| 1,082,000 | China Development Financial Holding Corp | 635,248 | ||||||||
| 571,000 | China General Plastics Corp | 690,618 | ||||||||
| 307,720 | China Life Insurance Co Ltd | 338,677 | ||||||||
| 3,341,000 | China Steel Corp | 3,897,857 | ||||||||
| 185,000 | Chipbond Technology Corp | 445,583 | ||||||||
| 478,000 | Chung Hung Steel Corp | 597,825 | ||||||||
| 569,000 | Chunghwa Telecom Co Ltd | 2,289,120 | ||||||||
| 7,000 | Cleanaway Co Ltd | 61,618 | ||||||||
| 206,000 | CTBC Financial Holding Co Ltd | 180,337 | ||||||||
| 208,000 | Delta Electronics Inc | 1,912,127 | ||||||||
| 8,000 | E Ink Holdings Inc | 36,200 | ||||||||
| 955,000 | E.Sun Financial Holding Co Ltd | 922,993 | ||||||||
| 28,000 | Eclat Textile Co Ltd | 582,907 | ||||||||
| 48,000 | Elan Microelectronics Corp | 278,488 | ||||||||
| 114,000 | Elite Material Co Ltd | 1,146,978 | ||||||||
| 92,000 | Elite Semiconductor Microelectronics Technology Inc | 529,116 | ||||||||
| 64,000 | Everlight Electronics Co Ltd | 117,548 | ||||||||
| 32,000 | Feng Hsin Steel Co Ltd | 89,351 | ||||||||
| 99,000 | FLEXium Interconnect Inc * | 365,174 | ||||||||
| 35,000 | Flytech Technology Co Ltd | 90,900 | ||||||||
| 110,000 | Formosa Advanced Technologies Co Ltd | 152,489 | ||||||||
| 115,000 | Formosa Chemicals & Fibre Corp | 321,370 | ||||||||
| 907,000 | Formosa Plastics Corp | 3,326,621 | ||||||||
| 823,000 | Foxconn Technology Co Ltd | 1,922,640 | ||||||||
| 1,674,000 | Fubon Financial Holding Co Ltd | 4,387,712 | ||||||||
| 159,000 | Gigabyte Technology Co Ltd | 776,818 | ||||||||
| 19,000 | Global Mixed Mode Technology Inc | 179,688 | ||||||||
| 20,000 | Global Unichip Corp | 421,020 | ||||||||
| 378,000 | Grand Pacific Petrochemical | 387,365 | ||||||||
| 66,000 | Greatek Electronics Inc | 182,519 | ||||||||
| 1,292,000 | HannStar Display Corp | 706,899 | ||||||||
| 24,000 | Hiwin Technologies Corp | 245,488 | ||||||||
| 51,000 | Holtek Semiconductor Inc | 192,712 | ||||||||
| 1,052,000 | Hon Hai Precision Industry Co Ltd | 3,898,089 | ||||||||
| 288,000 | IEI Integration Corp | 452,208 | ||||||||
| 225,000 | Inventec Corp | 207,799 | ||||||||
| 2,000 | King Slide Works Co Ltd | 34,628 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 502,000 | King’s Town Bank Co Ltd | 724,985 | ||||||||
| 48,000 | Kung Long Batteries Industrial Co Ltd | 237,016 | ||||||||
| 58,000 | Largan Precision Co Ltd | 4,133,447 | ||||||||
| 330,000 | Lite-On Technology Corp | 713,469 | ||||||||
| 136,000 | MediaTek Inc | 4,930,085 | ||||||||
| 737,000 | Mega Financial Holding Co Ltd | 905,667 | ||||||||
| 210,000 | Micro-Star International Co Ltd | 1,228,837 | ||||||||
| 100,000 | Mitac Holdings Corp | 115,058 | ||||||||
| 764,000 | Nan Ya Plastics Corp | 2,263,547 | ||||||||
| 246,000 | Nantex Industry Co Ltd | 747,122 | ||||||||
| 63,000 | Nanya Technology Corp | 167,443 | ||||||||
| 119,000 | Novatek Microelectronics Corp | 1,981,513 | ||||||||
| 121,000 | OptoTech Corp | 252,218 | ||||||||
| 192,000 | Pegatron Corp | 458,842 | ||||||||
| 107,000 | Phison Electronics Corp | 1,588,170 | ||||||||
| 129,000 | Powertech Technology Inc | 458,351 | ||||||||
| 116,000 | Quanta Computer Inc | 357,386 | ||||||||
| 212,000 | Radiant Opto-Electronics Corp | 730,910 | ||||||||
| 35,000 | Realtek Semiconductor Corp | 694,367 | ||||||||
| 126,000 | Ruentex Development Co Ltd | 289,780 | ||||||||
| 105,000 | Shanghai Commercial & Savings Bank Ltd (The) | 174,667 | ||||||||
| 768,000 | Shin Kong Financial Holding Co Ltd | 290,914 | ||||||||
| 20,000 | Simplo Technology Co Ltd | 235,532 | ||||||||
| 503,000 | SinoPac Financial Holdings Co Ltd | 275,983 | ||||||||
| 111,000 | Sitronix Technology Corp | 1,118,961 | ||||||||
| 44,000 | Sonix Technology Co Ltd | 145,714 | ||||||||
| 33,000 | Supreme Electronics Co Ltd | 53,073 | ||||||||
| 527,000 | TA Chen Stainless Pipe * | 867,835 | ||||||||
| 114,000 | Taita Chemical Co Ltd | 137,479 | ||||||||
| 1,281,000 | Taiwan Cement Corp | 2,114,658 | ||||||||
| 365,000 | Taiwan Glass Industry Corp | 347,128 | ||||||||
| 300,000 | Taiwan PCB Techvest Co Ltd | 498,841 | ||||||||
| 288,200 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 33,762,630 | ||||||||
| 47,000 | Taiwan Union Technology Corp | 171,029 | ||||||||
| 26,000 | TCI Co Ltd | 193,552 | ||||||||
| 27,000 | Tripod Technology Corp | 120,913 | ||||||||
| 119,000 | Tung Ho Steel Enterprise Corp | 181,268 | ||||||||
| 88,000 | TXC Corp | 332,679 | ||||||||
| 152,000 | Uni-President Enterprises Corp | 356,423 | ||||||||
| 108,000 | United Integrated Services Co Ltd | 690,591 | ||||||||
| 113,800 | United Microelectronics Corp Sponsored ADR | 1,323,494 | ||||||||
| 83,000 | Universal Inc | 130,683 | ||||||||
| 603,000 | USI Corp | 674,949 | ||||||||
| 341,000 | Vanguard International Semiconductor Corp | 1,899,790 | ||||||||
| 151,000 | Walsin Technology Corp * | 937,449 | ||||||||
| 215,000 | Weikeng Industrial Co Ltd | 228,605 | ||||||||
| 28,000 | Yageo Corp | 457,375 | ||||||||
| 1,232,000 | Yuanta Financial Holding Co Ltd | 1,046,758 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 120,092,469 | |||||||||
|
|
|
|||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Thailand — 0.7% | ||||||||||
| 268,500 | Bangkok Bank Pcl NVDR | 896,499 | ||||||||
| 385,300 | CP ALL Pcl NVDR | 667,470 | ||||||||
| 133,600 | Kasikornbank Pcl NVDR | 520,251 | ||||||||
| 62,700 | Siam Commercial Bank Pcl NVDR (The) | 226,353 | ||||||||
|
|
|
|||||||||
| Total Thailand | 2,310,573 | |||||||||
|
|
|
|||||||||
| Turkey — 1.0% | ||||||||||
| 1,891,598 | Akbank TAS | 919,760 | ||||||||
| 654,974 | Enerjisa Enerji AS | 634,828 | ||||||||
| 318,068 | Eregli Demir ve Celik Fabrikalari TAS | 522,535 | ||||||||
| 795,699 | Turkiye Garanti Bankasi AS | 679,016 | ||||||||
| 3,250,936 | Yapi ve Kredi Bankasi AS | 744,014 | ||||||||
|
|
|
|||||||||
| Total Turkey | 3,500,153 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.6% | ||||||||||
| 370,457 | First Abu Dhabi Bank PJSC | 1,929,498 | ||||||||
|
|
|
|||||||||
| United Kingdom — 0.4% | ||||||||||
| 30,000 | Unilever Plc | 1,532,189 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $333,214,783) |
318,267,458 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (a) — 1.6% | ||||||||||
| Brazil — 0.5% | ||||||||||
| 434,500 | Cia Energetica de Minas Gerais | 1,015,560 | ||||||||
| 70,200 | Cia Energetica de Minas Gerais Sponsored ADR | 161,460 | ||||||||
| 368,600 | Cia Paranaense de Energia – Class B | 402,573 | ||||||||
|
|
|
|||||||||
| Total Brazil | 1,579,593 | |||||||||
|
|
|
|||||||||
| Chile — 0.3% | ||||||||||
| 15,700 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 977,482 | ||||||||
|
|
|
|||||||||
| Russia — 0.8% | ||||||||||
| 3,948,700 | Surgutneftegas PJSC | 1,997,525 | ||||||||
| 363 | Transneft PJSC | 692,370 | ||||||||
|
|
|
|||||||||
| Total Russia | 2,689,895 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $5,407,170) |
5,246,970 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.0% | ||||||||||
| Thailand — 0.0% | ||||||||||
| 25,687 | CP ALL Pcl NVDR Rights, Expires 12/31/21 * | — | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $0) |
— | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 3.1% | ||||||||||
| United States — 3.1% | ||||||||||
| 173,425 | iShares Core MSCI Emerging Markets ETF | 10,426,311 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $10,899,982) |
10,426,311 | |||||||||
|
|
|
|||||||||
| Shares / Par Value† |
Description | Value ($) | ||||||||
| MUTUAL FUNDS — 0.0% | ||||||||||
| United States — 0.0% | ||||||||||
| Affiliated Issuers — 0.0% | ||||||||||
| 19,889 | GMO U.S. Treasury Fund | 100,042 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $100,042) |
100,042 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 1.2% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 467,470 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b) | 467,470 | ||||||||
|
|
|
|||||||||
| U.S. Government — 1.1% | ||||||||||
| 3,655,000 | U.S. Treasury Bill, 0.22%, due 11/03/22 (c) | 3,647,672 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $4,116,157) |
4,115,142 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $353,738,134) |
338,155,923 | |||||||||
| Other Assets and Liabilities (net) — (0.1%) | (325,837 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $337,830,086 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (b) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
| (c) | The rate shown represents yield-to-maturity. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
ETF - Exchange-Traded Fund
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
PJSC - Private Joint-Stock Company
SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 89.5% |
| |||||||||
| Argentina — 0.1% | ||||||||||
| 190,300 | Banco BBVA Argentina SA ADR * | 565,191 | ||||||||
| 190,500 | Grupo Financiero Galicia SA ADR | 1,653,540 | ||||||||
|
|
|
|||||||||
| Total Argentina | 2,218,731 | |||||||||
|
|
|
|||||||||
| Brazil — 0.7% | ||||||||||
| 796,500 | Blau Farmaceutica SA | 4,774,594 | ||||||||
| 328,600 | CPFL Energia SA | 1,543,093 | ||||||||
| 308,700 | Enjoei.com.br Atividades de Internet SA * | 158,692 | ||||||||
| 4,631,300 | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA * | 9,210,124 | ||||||||
|
|
|
|||||||||
| Total Brazil | 15,686,503 | |||||||||
|
|
|
|||||||||
| Chile — 0.0% | ||||||||||
| 333,998 | Cencosud Shopping SA | 354,112 | ||||||||
| 7,527,391 | Colbun SA | 492,925 | ||||||||
|
|
|
|||||||||
| Total Chile | 847,037 | |||||||||
|
|
|
|||||||||
| China — 27.4% | ||||||||||
| 2,712,000 | 361 Degrees International Ltd * | 1,356,733 | ||||||||
| 69,500 | A-Living Smart City Services Co Ltd | 163,813 | ||||||||
| 1,852,300 | Agricultural Bank of China Ltd – Class A | 845,311 | ||||||||
| 85,676,590 | Agricultural Bank of China Ltd – Class H | 28,296,633 | ||||||||
| 704,000 | AK Medical Holdings Ltd | 601,636 | ||||||||
| 164,426 | Alibaba Group Holding Ltd Sponsored ADR * | 20,969,248 | ||||||||
| 334,200 | ANTA Sports Products Ltd | 5,336,750 | ||||||||
| 1,400 | Ascentage Pharma Group International * (a) | 5,821 | ||||||||
| 142,400 | Autohome Inc ADR | 4,865,808 | ||||||||
| 604,000 | AviChina Industry & Technology Co Ltd – Class H | 397,263 | ||||||||
| 90,100 | Baidu Inc Sponsored ADR * | 13,500,584 | ||||||||
| 16,329,600 | Bank of China Ltd – Class A | 7,815,733 | ||||||||
| 19,431,000 | Bank of China Ltd – Class H | 6,747,144 | ||||||||
| 100,000 | Baozun Inc Sponsored ADR * | 1,379,000 | ||||||||
| 493,200 | BEST Inc ADR * (a) | 512,928 | ||||||||
| 50,700 | Beyondspring Inc * | 647,439 | ||||||||
| 532,700 | Budweiser Brewing Co APAC Ltd | 1,352,706 | ||||||||
| 55,500 | Burning Rock Biotech Ltd ADR * | 858,030 | ||||||||
| 1,620,000 | BYD Electronic International Co Ltd (a) | 5,993,251 | ||||||||
| 5,599,000 | China Aoyuan Group Ltd | 1,565,250 | ||||||||
| 866,000 | China BlueChemical Ltd – Class H | 262,868 | ||||||||
| 9,865,878 | China Communications Services Corp Ltd – Class H | 4,696,739 | ||||||||
| 844,500 | China Construction Bank Corp – Class A | 761,549 | ||||||||
| 70,802,148 | China Construction Bank Corp – Class H | 46,135,108 | ||||||||
| 10,880,000 | China Datang Corp Renewable Power Co Ltd – Class H | 4,182,531 | ||||||||
| 4,905,000 | China Dongxiang Group Co Ltd | 448,549 | ||||||||
| 1,205,500 | China East Education Holdings Ltd * | 1,258,370 | ||||||||
| 217,000 | China Education Group Holdings Ltd | 399,177 | ||||||||
| 456,000 | China Everbright Ltd | 491,203 | ||||||||
| 19,704,000 | China Feihe Ltd | 26,358,423 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 560,600 | China Gas Holdings Ltd | 1,011,385 | ||||||||
| 214,480 | China International Marine Containers Group Co Ltd – Class A | 573,006 | ||||||||
| 1,841,000 | China Lesso Group Holdings Ltd | 2,673,547 | ||||||||
| 875,000 | China Longyuan Power Group Corp Ltd – Class H | 1,788,558 | ||||||||
| 707,000 | China Medical System Holdings Ltd | 1,157,920 | ||||||||
| 1,556,764 | China Merchants Bank Co Ltd – Class A | 12,078,817 | ||||||||
| 1,762,200 | China Molybdenum Co Ltd – Class A | 1,629,707 | ||||||||
| 366,000 | China New Higher Education Group Ltd | 183,756 | ||||||||
| 2,280,000 | China Oriental Group Co Ltd | 602,617 | ||||||||
| 1,572,500 | China Overseas Land & Investment Ltd | 3,615,108 | ||||||||
| 589,011 | China Pacific Insurance Group Co Ltd – Class A | 2,501,415 | ||||||||
| 1,078,828 | China Petroleum & Chemical Corp – Class A | 681,462 | ||||||||
| 1,874,000 | China Petroleum & Chemical Corp – Class H | 816,894 | ||||||||
| 1,345,141 | China Railway Group Ltd – Class A | 1,117,174 | ||||||||
| 3,275,132 | China Railway Signal & Communication Corp Ltd – Class A | 2,497,076 | ||||||||
| 6,414,000 | China Reinsurance Group Corp – Class H | 599,920 | ||||||||
| 1,088,000 | China Resources Gas Group Ltd | 5,633,360 | ||||||||
| 3,774,000 | China Resources Land Ltd | 15,766,696 | ||||||||
| 2,108,000 | China Resources Pharmaceutical Group Ltd | 916,404 | ||||||||
| 856,000 | China Risun Group Ltd | 517,669 | ||||||||
| 292,381 | China Tourism Group Duty Free Corp Ltd – Class A | 9,440,683 | ||||||||
| 2,008,000 | Chongqing Rural Commercial Bank Co Ltd – Class H | 684,955 | ||||||||
| 924,000 | CIFI Ever Sunshine Services Group Ltd | 1,554,599 | ||||||||
| 360,000 | CSPC Pharmaceutical Group Ltd | 373,233 | ||||||||
| 2,445,000 | Dongyue Group Ltd (a) | 4,617,682 | ||||||||
| 1,018,300 | ENN Energy Holdings Ltd | 19,065,782 | ||||||||
| 10,475,028 | Fangda Special Steel Technology Co Ltd – Class A | 11,882,670 | ||||||||
| 254,300 | Fuyao Glass Industry Group Co Ltd – Class A | 1,849,507 | ||||||||
| 537,200 | Gaotu Techedu Inc * | 1,434,324 | ||||||||
| 4,074,000 | GCL New Energy Holdings Ltd * | 161,182 | ||||||||
| 276,000 | Geely Automobile Holdings Ltd | 819,364 | ||||||||
| 909,000 | Greenland Hong Kong Holdings Ltd | 183,723 | ||||||||
| 303,322 | Hangzhou Robam Appliances Co Ltd – Class A | 1,494,929 | ||||||||
| 5,986,938 | Hisense Home Appliances Group Co Ltd – Class A | 10,664,577 | ||||||||
| 280,000 | Hisense Home Appliances Group Co Ltd – Class H | 269,423 | ||||||||
| 96,100 | Hollysys Automation Technologies Ltd * | 1,485,706 | ||||||||
| 2,004,000 | Hope Education Group Co Ltd | 437,063 | ||||||||
| 10,248,000 | Hua Han Health Industry Holdings Ltd * (b) | — | ||||||||
| 1,000 | Huabao International Holdings Ltd | 2,869 | ||||||||
| 428,100 | Huayu Automotive Systems Co Ltd – Class A | 1,731,750 | ||||||||
| 190,500 | HUYA Inc ADR * | 1,640,205 | ||||||||
| 41,800 | iClick Interactive Asia Group Ltd ADR * | 277,134 | ||||||||
| 52,322,847 | Industrial & Commercial Bank of China Ltd – Class H | 27,649,122 | ||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 3,729,128 | Inner Mongolia Eerduosi Resources Co Ltd – Class A | 15,389,539 | ||||||||
| 168,000 | InnoCare Pharma Ltd * | 426,566 | ||||||||
| 533,000 | Joy Spreader Group Inc * (a) | 149,448 | ||||||||
| 1,196,500 | JS Global Lifestyle Co Ltd | 2,349,066 | ||||||||
| 546,000 | JW Cayman Therapeutics Co Ltd * | 882,890 | ||||||||
| 10,548,000 | Kaisa Group Holdings Ltd * | 1,433,814 | ||||||||
| 178,400 | KE Holdings Inc ADR * | 3,569,784 | ||||||||
| 351,500 | Kingboard Laminates Holdings Ltd | 616,318 | ||||||||
| 21,000 | Koolearn Technology Holding Ltd * (a) | 21,940 | ||||||||
| 2,948,000 | Kunlun Energy Co Ltd | 2,772,555 | ||||||||
| 42,213 | Kweichow Moutai Co Ltd – Class A | 12,793,486 | ||||||||
| 1,466,500 | KWG Group Holdings Ltd | 1,087,482 | ||||||||
| 610,000 | KWG Living Group Holdings Ltd | 368,751 | ||||||||
| 404,542 | Lao Feng Xiang Co Ltd – Class A | 2,880,209 | ||||||||
| 496,000 | Lifetech Scientific Corp * | 268,130 | ||||||||
| 1,077,000 | Logan Group Co Ltd | 1,039,162 | ||||||||
| 124,000 | Longfor Group Holdings Ltd | 588,599 | ||||||||
| 2,653,000 | Lonking Holdings Ltd | 684,470 | ||||||||
| 495,400 | Lufax Holding Ltd ADR * | 3,160,652 | ||||||||
| 745,000 | Luye Pharma Group Ltd * | 341,546 | ||||||||
| 218,100 | Midea Group Co Ltd – Class A | 2,328,730 | ||||||||
| 3,660,000 | MMG Ltd * | 1,325,564 | ||||||||
| 190,000 | Mobvista Inc * | 165,935 | ||||||||
| 9,700 | NetEase Inc ADR | 1,044,981 | ||||||||
| 368,000 | Netjoy Holdings Ltd * | 144,126 | ||||||||
| 704,000 | Newborn Town Inc * | 348,038 | ||||||||
| 949,000 | Nexteer Automotive Group Ltd | 1,226,902 | ||||||||
| 311,100 | OneConnect Financial Technology Co Ltd * | 796,416 | ||||||||
| 918,000 | PAX Global Technology Ltd | 710,288 | ||||||||
| 25,721,000 | PICC Property & Casualty Co Ltd – Class H | 21,989,964 | ||||||||
| 46,983 | Ping An Insurance Group Co of China Ltd – Class A | 355,307 | ||||||||
| 133,000 | Ping An Insurance Group Co of China Ltd – Class H | 921,988 | ||||||||
| 228,800 | Poly Property Services Co Ltd – Class H | 1,555,065 | ||||||||
| 18,211,310 | Postal Savings Bank of China Co Ltd – Class A | 14,477,453 | ||||||||
| 395,000 | Q Technology Group Co Ltd | 555,789 | ||||||||
| 4,526,400 | Qingling Motors Co Ltd – Class H | 909,857 | ||||||||
| 44,500 | Remegen Co Ltd – Class H * | 601,409 | ||||||||
| 38,700 | ReneSola Ltd ADR * (a) | 267,030 | ||||||||
| 165,000 | Sany Heavy Equipment International Holdings Co Ltd | 171,300 | ||||||||
| 192,000 | Shanghai Fudan Microelectronics Group Co Ltd – Class H * | 695,120 | ||||||||
| 547,217 | Shanghai Mechanical and Electrical Industry Co Ltd – Class A | 1,284,541 | ||||||||
| 1,984,000 | Shenzhen Investment Ltd | 450,331 | ||||||||
| 1,978,581 | Shenzhen YUTO Packaging Technology Co Ltd – Class A | 9,823,393 | ||||||||
| 102,900 | Shenzhou International Group Holdings Ltd | 1,932,240 | ||||||||
| 5,467,000 | Sihuan Pharmaceutical Holdings Group Ltd * (a) | 1,065,931 | ||||||||
| 2,044,000 | Sinopec Engineering Group Co Ltd – Class H | 995,033 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 2,022,000 | Sinotruk Hong Kong Ltd | 2,992,243 | ||||||||
| 217,000 | SITC International Holdings Co Ltd | 866,347 | ||||||||
| 1,594,000 | SSY Group Ltd | 797,204 | ||||||||
| 259,600 | Sunny Optical Technology Group Co Ltd | 7,819,361 | ||||||||
| 416,000 | TCL Electronics Holdings Ltd * | 218,745 | ||||||||
| 830,265 | Tencent Holdings Ltd | 48,420,272 | ||||||||
| 115,100 | Tencent Holdings Ltd ADR | 6,727,595 | ||||||||
| 56,900 | Tencent Music Entertainment Group ADR * | 409,111 | ||||||||
| 1,466,000 | Tianli Education International Holdings Ltd | 349,437 | ||||||||
| 256,300 | Up Fintech Holding Ltd ADR * | 1,548,052 | ||||||||
| 899,600 | Vipshop Holdings Ltd ADR * | 8,789,092 | ||||||||
| 4,963,335 | Weifu High-Technology Group Co Ltd – Class A | 16,389,353 | ||||||||
| 703,000 | Xiabuxiabu Catering Management China Holdings Co Ltd * | 485,488 | ||||||||
| 2,956,000 | Xinyi Glass Holdings Ltd | 7,210,604 | ||||||||
| 18,660,400 | Yangzijiang Shipbuilding Holdings Ltd | 17,714,450 | ||||||||
| 197,600 | Yeahka Ltd * (a) | 707,738 | ||||||||
| 21,700 | Youdao Inc ADR * (a) | 344,162 | ||||||||
| 1,261,500 | Zhaojin Mining Industry Co Ltd – Class H | 1,316,826 | ||||||||
| 68,307 | Zhejiang Supor Co Ltd – Class A | 661,297 | ||||||||
| 2,529,362 | Zhengzhou Coal Mining Machinery Group Co Ltd – Class A | 5,016,827 | ||||||||
| 1,406,000 | Zhenro Properties Group Ltd | 793,332 | ||||||||
| 411,000 | Zhongsheng Group Holdings Ltd | 3,366,428 | ||||||||
| 1,270,000 | Zhou Hei Ya International Holdings Co Ltd * (a) | 1,166,640 | ||||||||
| 4,190,678 | Zijin Mining Group Co Ltd – Class A | 6,724,331 | ||||||||
| 1,465,000 | Zoomlion Heavy Industry Science and Technology Co Ltd – Class H | 961,888 | ||||||||
|
|
|
|||||||||
| Total China | 601,052,532 | |||||||||
|
|
|
|||||||||
| Czech Republic — 0.2% | ||||||||||
| 1,076,348 | Moneta Money Bank AS * | 4,585,699 | ||||||||
| 699 | Philip Morris CR AS | 482,802 | ||||||||
|
|
|
|||||||||
| Total Czech Republic | 5,068,501 | |||||||||
|
|
|
|||||||||
| India — 6.3% | ||||||||||
| 6,869 | Adani Transmission Ltd * | 163,660 | ||||||||
| 219,434 | Asian Paints Ltd | 9,185,723 | ||||||||
| 27,020 | AU Small Finance Bank Ltd * | 393,424 | ||||||||
| 754,169 | Axis Bank Ltd * | 6,530,238 | ||||||||
| 38,800 | Azure Power Global Ltd * | 799,280 | ||||||||
| 3,891 | Clean Science & Technology Ltd * | 111,088 | ||||||||
| 11,567,064 | Gayatri Projects Ltd * (c) | 4,788,443 | ||||||||
| 34,562 | Godrej Properties Ltd * | 901,845 | ||||||||
| 31,197 | Graphite India Ltd | 168,549 | ||||||||
| 980,934 | HCL Technologies Ltd | 14,866,713 | ||||||||
| 195,803 | HDFC Bank Ltd | 3,871,878 | ||||||||
| 223,369 | Hindustan Unilever Ltd | 6,893,682 | ||||||||
| 149,725 | Hindustan Zinc Ltd * | 662,626 | ||||||||
| 215,355 | Housing Development Finance Corp Ltd | 7,684,897 | ||||||||
| 1,139,177 | ICICI Bank Ltd | 10,732,602 | ||||||||
| 1,698,234 | Indiabulls Real Estate Ltd * | 3,791,342 | ||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| India — continued | ||||||||||
| 608,400 | Infosys Ltd Sponsored ADR | 13,737,672 | ||||||||
| 56,254 | Ipca Laboratories Ltd | 1,572,065 | ||||||||
| 2,561,259 | Jai Balaji Industries Ltd * | 1,822,670 | ||||||||
| 1,128,660 | Kiri Industries Ltd * | 6,721,339 | ||||||||
| 16,505 | Larsen & Toubro Infotech Ltd | 1,487,850 | ||||||||
| 10,200 | MakeMyTrip Ltd * | 248,370 | ||||||||
| 209,367 | Mindtree Ltd | 11,907,372 | ||||||||
| 985,735 | NCC Ltd | 929,632 | ||||||||
| 73,894 | Oberoi Realty Ltd * | 815,541 | ||||||||
| 176,742 | Prestige Estates Projects Ltd | 989,233 | ||||||||
| 872,102 | REC Ltd | 1,575,882 | ||||||||
| 97,278 | Redington India Ltd | 188,813 | ||||||||
| 56,735 | Sobha Ltd | 643,002 | ||||||||
| 38,627 | Sterlite Technologies Ltd | 141,200 | ||||||||
| 29,315 | Sunteck Realty Ltd | 169,547 | ||||||||
| 308,777 | Tata Consultancy Services Ltd | 14,535,718 | ||||||||
| 266,397 | Titan Co Ltd | 8,400,220 | ||||||||
| 640,646 | TV18 Broadcast Ltd * | 352,170 | ||||||||
|
|
|
|||||||||
| Total India | 137,784,286 | |||||||||
|
|
|
|||||||||
| Indonesia — 2.0% | ||||||||||
| 42,458,600 | Bank Central Asia Tbk PT | 21,574,402 | ||||||||
| 6,653,600 | Bank Mandiri Persero Tbk PT | 3,248,151 | ||||||||
| 4,682,400 | Bank Negara Indonesia Persero Tbk PT | 2,216,317 | ||||||||
| 12,395,000 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 644,752 | ||||||||
| 35,928,100 | Bank Rakyat Indonesia Persero Tbk PT | 10,237,245 | ||||||||
| 411,891 | Indo Tambangraya Megah Tbk PT | 618,545 | ||||||||
| 174,631,700 | Panin Financial Tbk PT * | 2,170,819 | ||||||||
| 20,071,400 | Ramayana Lestari Sentosa Tbk PT * | 1,035,665 | ||||||||
| 3,479,800 | Telkom Indonesia Persero Tbk PT | 968,865 | ||||||||
| 2,025,600 | Timah Tbk PT * | 223,039 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 42,937,800 | |||||||||
|
|
|
|||||||||
| Kuwait — 0.9% | ||||||||||
| 175,067 | Humansoft Holding Co KSC | 1,855,387 | ||||||||
| 6,576,715 | Kuwait Finance House KSCP | 17,209,709 | ||||||||
| 935,581 | Kuwait Projects Holding KSCP | 434,821 | ||||||||
|
|
|
|||||||||
| Total Kuwait | 19,499,917 | |||||||||
|
|
|
|||||||||
| Malaysia — 0.1% | ||||||||||
| 1,039,900 | Kossan Rubber Industries Bhd | 530,876 | ||||||||
| 2,536,400 | Supermax Corp Bhd | 1,132,241 | ||||||||
|
|
|
|||||||||
| Total Malaysia | 1,663,117 | |||||||||
|
|
|
|||||||||
| Mexico — 4.3% | ||||||||||
| 809,700 | Banco del Bajio SA | 1,366,587 | ||||||||
| 3,035,800 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander | 3,732,013 | ||||||||
| 166,800 | Concentradora Fibra Danhos SA de CV (REIT) | 168,803 | ||||||||
| 1,055,500 | Credito Real SAB de CV SOFOM ER * | 366,724 | ||||||||
| 79,200 | El Puerto de Liverpool SAB de CV – Class C1 | 302,395 | ||||||||
| 224,900 | Fomento Economico Mexicano SAB de CV | 1,595,513 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Mexico — continued | ||||||||||
| 91,900 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 6,501,006 | ||||||||
| 8,039,100 | Grupo Financiero Banorte SAB de CV – Class O | 47,891,553 | ||||||||
| 2,378,100 | Grupo Mexico SAB de CV – Series B | 9,905,007 | ||||||||
| 117,827 | Qualitas Controladora SAB de CV | 512,740 | ||||||||
| 288,100 | Regional SAB de CV | 1,359,045 | ||||||||
| 75,900 | Ternium SA Sponsored ADR | 2,898,621 | ||||||||
| 409,321 | Unifin Financiera SAB de CV SOFOM ENR * | 640,444 | ||||||||
| 4,996,100 | Wal-Mart de Mexico SAB de CV | 15,704,192 | ||||||||
|
|
|
|||||||||
| Total Mexico | 92,944,643 | |||||||||
|
|
|
|||||||||
| Philippines — 0.4% | ||||||||||
| 100,380 | GT Capital Holdings Inc | 1,132,531 | ||||||||
| 275,490 | Manila Electric Co | 1,572,246 | ||||||||
| 23,166,800 | Megaworld Corp | 1,441,998 | ||||||||
| 9,165,000 | Metro Pacific Investments Corp | 736,100 | ||||||||
| 1,623,200 | Puregold Price Club Inc | 1,322,788 | ||||||||
| 5,311,300 | Semirara Mining & Power Corp | 2,408,623 | ||||||||
|
|
|
|||||||||
| Total Philippines | 8,614,286 | |||||||||
|
|
|
|||||||||
| Poland — 0.1% | ||||||||||
| 37,412 | Budimex SA | 1,979,557 | ||||||||
|
|
|
|||||||||
| Qatar — 0.6% | ||||||||||
| 269,427 | Doha Bank QPSC | 226,055 | ||||||||
| 36,398 | Qatar Electricity & Water Co QSC | 164,753 | ||||||||
| 2,206,926 | Qatar National Bank QPSC | 11,731,929 | ||||||||
| 866,551 | Qatar National Cement Co QSC | 1,217,965 | ||||||||
|
|
|
|||||||||
| Total Qatar | 13,340,702 | |||||||||
|
|
|
|||||||||
| Russia — 13.6% | ||||||||||
| 29,247,000 | Alrosa PJSC | 50,843,213 | ||||||||
| 313,290 | Detsky Mir PJSC | 585,357 | ||||||||
| 67,970 | Evraz Plc | 518,157 | ||||||||
| 1,224,300,000 | Federal Grid Co Unified Energy System PJSC | 2,763,251 | ||||||||
| 653,911 | Fix Price Group Ltd GDR (b) | 5,015,497 | ||||||||
| 555,544 | Globaltrans Investment Plc Sponsored GDR (Registered) | 3,923,427 | ||||||||
| 71,850,300 | Inter RAO UES PJSC | 4,147,197 | ||||||||
| 232,567 | LSR Group PJSC | 2,343,337 | ||||||||
| 3 | LSR Group PJSC GDR (Registered) (b) | 6 | ||||||||
| 181,337 | LUKOIL PJSC Sponsored ADR | 15,727,626 | ||||||||
| 124,145 | M.Video PJSC | 924,312 | ||||||||
| 15,521 | Magnit PJSC Sponsored GDR (Registered) | 239,278 | ||||||||
| 13,366,940 | Magnitogorsk Iron & Steel Works PJSC | 10,734,750 | ||||||||
| 212,079 | Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) | 2,197,710 | ||||||||
| 184,800 | Mechel PJSC Sponsored ADR * (a) | 530,376 | ||||||||
| 367,294 | MMC Norilsk Nickel PJSC ADR | 10,516,120 | ||||||||
| 432,940 | Mobile TeleSystems PJSC | 1,706,864 | ||||||||
| 250,508 | Mobile TeleSystems PJSC Sponsored ADR | 2,006,569 | ||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Russia — continued | ||||||||||
| 5,453,597 | Moscow Exchange MICEX-RTS PJSC | 11,147,877 | ||||||||
| 3,938 | Novatek PJSC Sponsored GDR (Registered) | 859,076 | ||||||||
| 1,000,525 | Novolipetsk Steel PJSC GDR | 28,846,379 | ||||||||
| 1,002,792 | Polymetal International Plc | 18,294,455 | ||||||||
| 1,484 | Polyus PJSC | 289,269 | ||||||||
| 178,162 | Polyus PJSC GDR (Registered) | 17,029,916 | ||||||||
| 470,315 | QIWI Plc Sponsored ADR (d) | 4,025,896 | ||||||||
| 11,693 | QIWI Plc Sponsored ADR (d) | 99,688 | ||||||||
| 70,353 | Safmar Financial Investment * | 485,307 | ||||||||
| 2,016,136 | Sberbank of Russia PJSC Sponsored ADR | 33,975,035 | ||||||||
| 692,276 | Severstal PAO GDR (Registered) | 14,486,318 | ||||||||
| 21,153,600 | Surgutneftegas PJSC | 10,485,640 | ||||||||
| 4,246,320 | Surgutneftegas PJSC Sponsored ADR | 20,615,340 | ||||||||
| 381,036 | Tatneft PJSC Sponsored ADR | 14,413,593 | ||||||||
| 23,638 | TCS Group Holding Plc GDR (Registered) | 2,254,500 | ||||||||
| 36,770,000 | Unipro PJSC | 1,354,018 | ||||||||
| 427,610 | United Co Rusal International PJSC * | 396,832 | ||||||||
| 121,830 | X5 Retail Group NV GDR (Registered) | 3,369,118 | ||||||||
|
|
|
|||||||||
| Total Russia | 297,151,304 | |||||||||
|
|
|
|||||||||
| South Africa — 0.3% | ||||||||||
| 389,794 | Investec Ltd | 1,973,870 | ||||||||
| 90,769 | Kumba Iron Ore Ltd | 2,569,754 | ||||||||
| 546,611 | Lewis Group Ltd | 1,651,058 | ||||||||
| 10,943,301 | RMB Holdings Ltd | 1,013,219 | ||||||||
|
|
|
|||||||||
| Total South Africa | 7,207,901 | |||||||||
|
|
|
|||||||||
| South Korea — 8.9% | ||||||||||
| 20,869 | APTC Co Ltd | 276,832 | ||||||||
| 2,463 | CJ Corp | 165,791 | ||||||||
| 544,571 | Daewoo Engineering & Construction Co Ltd * | 2,465,471 | ||||||||
| 74,231 | Daewoo Shipbuilding & Marine Engineering Co Ltd * | 1,443,502 | ||||||||
| 9,598 | Daewoong Co Ltd | 249,597 | ||||||||
| 57,970 | DB Insurance Co Ltd | 2,627,300 | ||||||||
| 12,686 | DL Holdings Co Ltd | 596,467 | ||||||||
| 9,930 | Dongkuk Steel Mill Co Ltd | 118,153 | ||||||||
| 1,295 | Dongwha Enterprise Co Ltd * | 120,960 | ||||||||
| 986,019 | Dongwon Development Co Ltd | 3,988,793 | ||||||||
| 115 | Dongwon Systems Corp | 5,027 | ||||||||
| 11,745 | Doosan Bobcat Inc * | 357,536 | ||||||||
| 6,868 | ENF Technology Co Ltd | 157,728 | ||||||||
| 68,941 | Fila Holdings Corp | 2,030,100 | ||||||||
| 12,556 | Fine Semitech Corp | 229,966 | ||||||||
| 145,793 | GS Engineering & Construction Corp | 4,500,299 | ||||||||
| 4,516 | HAESUNG DS Co Ltd | 172,018 | ||||||||
| 149,587 | Hana Financial Group Inc | 4,971,862 | ||||||||
| 13,252 | Hana Materials Inc | 667,564 | ||||||||
| 11,277 | Hankook & Co Co Ltd | 144,024 | ||||||||
| 26,583 | Hankook Tire & Technology Co Ltd | 861,901 | ||||||||
| 24,503 | Hanmi Semiconductor Co Ltd | 669,587 | ||||||||
| 50,477 | Hanwha Aerospace Co Ltd | 1,727,609 | ||||||||
| 770,155 | Hanwha Investment & Securities Co Ltd * | 3,360,025 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 241,105 | HDC Hyundai Development Co-Engineering & Construction | 4,214,714 | ||||||||
| 8,650 | Helixmith Co Ltd * | 179,159 | ||||||||
| 2,457 | Hyosung Heavy Industries Corp * | 123,737 | ||||||||
| 13,695 | Hyundai Autoever Corp | 1,287,381 | ||||||||
| 185,513 | Hyundai Engineering & Construction Co Ltd | 6,892,420 | ||||||||
| 10,658 | Hyundai Mobis Co Ltd | 1,978,079 | ||||||||
| 1,049 | Jusung Engineering Co Ltd * | 14,170 | ||||||||
| 195,635 | KB Financial Group Inc | 8,694,586 | ||||||||
| 17,743 | KC Tech Co Ltd | 337,179 | ||||||||
| 6,486 | KCC Corp | 1,499,728 | ||||||||
| 6,481 | KCC Glass Corp | 287,972 | ||||||||
| 2,143 | KG Dongbu Steel Co Ltd | 17,234 | ||||||||
| 13,813 | Kia Corp | 904,051 | ||||||||
| 11,805 | KIWOOM Securities Co Ltd | 967,146 | ||||||||
| 3,768 | Korea Electric Terminal Co Ltd | 205,111 | ||||||||
| 17,015 | Korea Petrochemical Ind Co Ltd | 2,441,318 | ||||||||
| 402,939 | KT&G Corp | 27,773,819 | ||||||||
| 26,609 | Kumho Petrochemical Co Ltd | 3,453,013 | ||||||||
| 28,989 | LG Electronics Inc | 2,821,572 | ||||||||
| 2,918 | LG Household & Health Care Ltd | 2,587,804 | ||||||||
| 24,465 | Lotte Chemical Corp (a) | 4,144,909 | ||||||||
| 8,498 | LX Semicon Co Ltd | 764,780 | ||||||||
| 62,871 | Myoung Shin Industrial Co Ltd * | 1,402,334 | ||||||||
| 5,413 | NEPES Corp * | 141,907 | ||||||||
| 18,908 | POSCO | 4,151,351 | ||||||||
| 14,595 | PSK Inc | 539,317 | ||||||||
| 13,383 | S&S Tech Corp | 354,639 | ||||||||
| 869,978 | Samsung Electronics Co Ltd | 52,221,481 | ||||||||
| 6,416 | Samsung Electronics Co Ltd GDR | 9,591,225 | ||||||||
| 21,134 | Samsung Engineering Co Ltd * | 369,022 | ||||||||
| 6,063 | Samsung SDS Co Ltd | 728,583 | ||||||||
| 3,126 | Samwha Capacitor Co Ltd | 139,302 | ||||||||
| 6,017 | Sang-A Frontec Co Ltd | 286,741 | ||||||||
| 8,234 | Sebang Global Battery Co Ltd | 516,651 | ||||||||
| 212,465 | Shinhan Financial Group Co Ltd | 6,178,763 | ||||||||
| 8,235 | Shinsegae Inc | 1,507,797 | ||||||||
| 65,367 | SL Corp | 1,705,825 | ||||||||
| 30,283 | SM Entertainment Co Ltd * | 1,713,594 | ||||||||
| 3,405 | SNT Motiv Co Ltd | 119,174 | ||||||||
| 2,366 | TechWing Inc | 38,068 | ||||||||
| 7,635 | TES Co Ltd | 164,218 | ||||||||
| 924,015 | Woori Financial Group Inc | 9,780,059 | ||||||||
| 10,656 | Youlchon Chemical Co Ltd | 192,170 | ||||||||
|
|
|
|||||||||
| Total South Korea | 195,340,215 | |||||||||
|
|
|
|||||||||
| Sri Lanka — 0.0% | ||||||||||
| 103,983,101 | Anilana Hotels & Properties Ltd * (c) | 669,115 | ||||||||
|
|
|
|||||||||
| Taiwan — 21.9% | ||||||||||
| 54,532 | Acter Group Corp Ltd | 382,254 | ||||||||
| 1,031,035 | Advantech Co Ltd | 14,155,577 | ||||||||
| 1,731,689 | Asustek Computer Inc | 21,893,618 | ||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 382,000 | Aten International Co Ltd | 1,104,864 | ||||||||
| 115,200 | Aurora Corp | 373,503 | ||||||||
| 9,050,000 | Catcher Technology Co Ltd | 50,260,722 | ||||||||
| 7,802,153 | Cathay Financial Holding Co Ltd | 16,762,020 | ||||||||
| 1,541,808 | Chailease Holding Co Ltd | 13,640,384 | ||||||||
| 546,000 | Chong Hong Construction Co Ltd | 1,452,274 | ||||||||
| 535,000 | Chunghwa Telecom Co Ltd | 2,152,336 | ||||||||
| 1,789,400 | Coretronic Corp | 5,090,212 | ||||||||
| 371,000 | Delta Electronics Inc | 3,410,572 | ||||||||
| 531,000 | Elan Microelectronics Corp | 3,080,778 | ||||||||
| 542,000 | Elite Material Co Ltd | 5,453,175 | ||||||||
| 1,240,000 | Farglory Land Development Co Ltd | 2,873,517 | ||||||||
| 742,000 | FIT Hon Teng Ltd * | 152,391 | ||||||||
| 3,144,000 | FLEXium Interconnect Inc * | 11,597,028 | ||||||||
| 1,180,000 | Formosa Plastics Corp | 4,327,909 | ||||||||
| 2,469,075 | Foxconn Technology Co Ltd | 5,768,096 | ||||||||
| 40,000 | Foxsemicon Integrated Technology Inc | 319,968 | ||||||||
| 14,973,419 | Fubon Financial Holding Co Ltd | 39,246,742 | ||||||||
| 73,000 | Gigabyte Technology Co Ltd | 356,652 | ||||||||
| 1,191,000 | Grand Pacific Petrochemical | 1,220,507 | ||||||||
| 10,000 | Grand Plastic Technology Corp | 133,370 | ||||||||
| 1,000 | HannStar Display Corp | 547 | ||||||||
| 107,000 | Holtek Semiconductor Inc | 404,316 | ||||||||
| 9,834,532 | Hon Hai Precision Industry Co Ltd | 36,440,949 | ||||||||
| 1,454,000 | Huaku Development Co Ltd | 4,794,574 | ||||||||
| 1,255,806 | IEI Integration Corp | 1,971,824 | ||||||||
| 216,000 | International Games System Co Ltd | 6,049,974 | ||||||||
| 238,000 | Kung Long Batteries Industrial Co Ltd | 1,175,203 | ||||||||
| 81,000 | Largan Precision Co Ltd | 5,772,572 | ||||||||
| 1,247,000 | Lite-On Technology Corp | 2,696,048 | ||||||||
| 112,000 | MediaTek Inc | 4,060,070 | ||||||||
| 3,458 | Merry Electronics Co Ltd | 11,357 | ||||||||
| 1,606,000 | Micro-Star International Co Ltd | 9,397,674 | ||||||||
| 1,753,000 | Nan Ya Plastics Corp | 5,193,713 | ||||||||
| 987,000 | Nantex Industry Co Ltd | 2,997,599 | ||||||||
| 458,810 | Novatek Microelectronics Corp | 7,639,815 | ||||||||
| 36,000 | Pegatron Corp | 86,033 | ||||||||
| 549,000 | Phison Electronics Corp | 8,148,650 | ||||||||
| 433,000 | Powertech Technology Inc | 1,543,286 | ||||||||
| 9,287,870 | Radiant Opto-Electronics Corp | 32,021,691 | ||||||||
| 634,000 | Shinkong Insurance Co Ltd | 1,069,779 | ||||||||
| 330,468 | Simplo Technology Co Ltd | 3,891,784 | ||||||||
| 1,649,250 | Syncmold Enterprise Corp | 4,055,349 | ||||||||
| 134,300 | Tah Hsin Industrial Corp | 325,311 | ||||||||
| 3,747,000 | Taiwan Cement Corp | 6,185,499 | ||||||||
| 4,819,000 | Taiwan Semiconductor Manufacturing Co Ltd | 102,493,751 | ||||||||
| 96,410 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 11,294,431 | ||||||||
| 184,000 | Test Research Inc | 380,723 | ||||||||
| 24,000 | Thinking Electronic Industrial Co Ltd | 129,264 | ||||||||
| 808,000 | Transcend Information Inc | 2,007,475 | ||||||||
| 714,160 | Tripod Technology Corp | 3,198,184 | ||||||||
| 606,224 | United Integrated Services Co Ltd | 3,876,416 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 603,000 | Universal Inc | 949,422 | ||||||||
| 81,000 | Vanguard International Semiconductor Corp | 451,270 | ||||||||
| 84,000 | Visual Photonics Epitaxy Co Ltd | 459,038 | ||||||||
| 244,000 | Walsin Technology Corp * | 1,522,559 | ||||||||
| 121,000 | Yulon Nissan Motor Co Ltd | 1,073,047 | ||||||||
| 262,000 | Zeng Hsing Industrial Co Ltd | 1,360,069 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 480,337,735 | |||||||||
|
|
|
|||||||||
| Thailand — 0.5% | ||||||||||
| 627,000 | CP ALL Pcl (Foreign Registered) | 1,086,176 | ||||||||
| 393,000 | Delta Electronics Thailand Pcl (Foreign Registered) | 5,201,514 | ||||||||
| 334,000 | Kasikornbank Pcl (Foreign Registered) | 1,300,627 | ||||||||
| 2,884,900 | Pruksa Holding Pcl (Foreign Registered) | 1,111,465 | ||||||||
| 307,300 | SPCG Pcl | 162,312 | ||||||||
| 1,492,475 | Supalai Pcl (Foreign Registered) | 923,059 | ||||||||
|
|
|
|||||||||
| Total Thailand | 9,785,153 | |||||||||
|
|
|
|||||||||
| Turkey — 0.6% | ||||||||||
| 6,891,208 | Akbank TAS | 3,350,743 | ||||||||
| 1,357,134 | Arcelik AS | 4,339,865 | ||||||||
| 8,331,701 | Dogan Sirketler Grubu Holding AS | 1,895,983 | ||||||||
| 1,260,853 | Eregli Demir ve Celik Fabrikalari TAS | 2,071,381 | ||||||||
| 57,324 | Koza Altin Isletmeleri AS * | 532,202 | ||||||||
| 380,252 | Turkcell Iletisim Hizmetleri AS | 531,924 | ||||||||
| 439,331 | Turkiye Garanti Bankasi AS | 366,530 | ||||||||
| 3,401,137 | Yapi ve Kredi Bankasi AS | 778,389 | ||||||||
|
|
|
|||||||||
| Total Turkey | 13,867,017 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.0% | ||||||||||
| 222,428 | Dubai Islamic Bank PJSC | 311,857 | ||||||||
|
|
|
|||||||||
| United Kingdom — 0.6% | ||||||||||
| 241,625 | Unilever Plc | 12,340,509 | ||||||||
|
|
|
|||||||||
| Vietnam — 0.0% | ||||||||||
| 15 | Hoa Phat Group JSC | 32 | ||||||||
| 213,700 | Pha Lai Thermal Power JSC | 216,027 | ||||||||
| Total Vietnam | 216,059 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $2,055,438,218) |
1,960,864,477 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (e) — 3.4% | ||||||||||
| Brazil — 0.1% | ||||||||||
| 1,398,800 | Cia Paranaense de Energia – Class B | 1,527,723 | ||||||||
|
|
|
|||||||||
| Colombia — 0.0% | ||||||||||
| 2,217,585 | Grupo Aval Acciones y Valores SA | 582,845 | ||||||||
|
|
|
|||||||||
| Russia — 1.9% | ||||||||||
| 182,080 | Nizhnekamskneftekhim PJSC | 241,407 | ||||||||
| 79,676,700 | Surgutneftegas PJSC | 40,305,978 | ||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares / Par Value† |
Description | Value ($) | ||||||||
| Russia — continued | ||||||||||
| 591 | Transneft PJSC | 1,127,247 | ||||||||
|
|
|
|||||||||
| Total Russia | 41,674,632 | |||||||||
|
|
|
|||||||||
| South Korea — 1.3% | ||||||||||
| 531,957 | Samsung Electronics Co Ltd | 28,686,299 | ||||||||
|
|
|
|||||||||
| Taiwan — 0.1% | ||||||||||
| 256,798 | Chailease Holding Co Ltd | 932,511 | ||||||||
| 540,412 | CTBC Financial Holding Co Ltd | 1,231,668 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 2,164,179 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $68,173,659) |
74,635,678 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.0% | ||||||||||
| Kuwait — 0.0% | ||||||||||
| 13,046 | Burgan Bank SAK, Expires 11/21/28 * | 1,402 | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $0) |
1,402 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 1.0% | ||||||||||
| United States — 1.0% | ||||||||||
| 356,121 | iShares Core MSCI Emerging Markets ETF | 21,409,994 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $22,763,448) |
21,409,994 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 1.5% | ||||||||||
| United States — 1.5% | ||||||||||
| 32,361,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 04/30/23 (f) | 32,361,705 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $32,370,894) |
32,361,705 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
| Money Market Funds — 0.2% | ||||||||||
| 5,452,729 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (g) | 5,452,729 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $5,452,729) |
5,452,729 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 95.6% (Cost $2,184,198,948) |
2,094,725,985 | |||||||||
| Other Assets and Liabilities (net) — 4.4% | 96,726,582 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $2,191,452,567 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 6,811 | Mini MSCI Emerging Markets | December 2021 |
$ | 412,848,765 | $ | (30,419,081 | ) | |||||
|
|
|
|
|
|||||||||
| Sales | ||||||||||||
| 1,238 | SGX Nifty 50 | December 2021 |
$ | 42,201,510 | $ | 1,290,785 | ||||||
|
|
|
|
|
|||||||||
| + | 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 |
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 | 45,212,882 | 12/07/2021 | Monthly | $ | — | $ | 1,770,883 | $ | 1,770,883 | ||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
As of November 30, 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.
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (c) | Affiliated company. |
| (d) | Securities are traded on separate exchanges for the same entity. |
| (e) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (f) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any. |
| (g) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
The rates shown on variable rate notes are the current interest rates at November 30, 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
PJSC - Private Joint-Stock Company
QPSC - Qatar Private Stock Company
QSC - Qatari Shareholding Company
REIT - Real Estate Investment Trust
SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
USD LIBOR - London Interbank Offered Rate denominated in United States Dollar.
Counterparty Abbreviations:
GS - Goldman Sachs International
Currency Abbreviations:
USD - United States Dollar
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 97.7% |
| |||||||||
| Australia — 3.1% | ||||||||||
| 436,725 | BlueScope Steel Ltd | 6,070,161 | ||||||||
| 293,874 | Fortescue Metals Group Ltd | 3,529,062 | ||||||||
| 25,854 | Mineral Resources Ltd | 829,728 | ||||||||
| 89,611 | Pact Group Holdings Ltd | 167,464 | ||||||||
| 742,463 | Rio Tinto Ltd | 49,264,445 | ||||||||
| 685,282 | Sandfire Resources Ltd | 2,912,369 | ||||||||
|
|
|
|||||||||
| Total Australia | 62,773,229 | |||||||||
|
|
|
|||||||||
| Belgium — 2.1% | ||||||||||
| 52,924 | Ageas SA/NV | 2,736,963 | ||||||||
| 91,042 | AGFA-Gevaert NV * | 366,515 | ||||||||
| 41,307 | Bekaert SA | 1,662,824 | ||||||||
| 15,280 | Groupe Bruxelles Lambert SA | 1,659,400 | ||||||||
| 176,579 | KBC Group NV | 14,822,100 | ||||||||
| 196,909 | UCB SA | 21,531,900 | ||||||||
|
|
|
|||||||||
| Total Belgium | 42,779,702 | |||||||||
|
|
|
|||||||||
| Denmark — 0.0% | ||||||||||
| 9,627 | Per Aarsleff Holding A/S | 405,844 | ||||||||
| 6,561 | Schouw & Co A/S | 528,782 | ||||||||
|
|
|
|||||||||
| Total Denmark | 934,626 | |||||||||
|
|
|
|||||||||
| Finland — 0.5% | ||||||||||
| 326,335 | Kesko Oyj – B Shares | 10,246,011 | ||||||||
|
|
|
|||||||||
| France — 9.2% | ||||||||||
| 4,057 | Alten SA | 670,578 | ||||||||
| 20,201 | Amundi SA | 1,680,593 | ||||||||
| 32,033 | APERAM SA | 1,539,134 | ||||||||
| 830,385 | BNP Paribas SA | 51,608,111 | ||||||||
| 4,081 | Christian Dior SE | 3,083,355 | ||||||||
| 721,792 | Cie de Saint-Gobain | 45,783,029 | ||||||||
| 165,857 | Derichebourg SA * | 1,739,342 | ||||||||
| 12,536 | Fnac Darty SA | 758,918 | ||||||||
| 36,730 | Ipsen SA | 3,584,643 | ||||||||
| 44,896 | IPSOS | 2,031,399 | ||||||||
| 121,183 | Metropole Television SA | 2,336,800 | ||||||||
| 72,137 | Publicis Groupe SA | 4,667,899 | ||||||||
| 265,119 | Sanofi | 25,202,824 | ||||||||
| 142,413 | Schneider Electric SE | 25,274,594 | ||||||||
| 31,129 | Societe BIC SA | 1,604,861 | ||||||||
| 280,836 | Societe Generale SA | 8,738,862 | ||||||||
| 65,100 | STMicroelectronics NV – NY Shares | 3,159,954 | ||||||||
| 264,000 | Television Francaise 1 | 2,550,772 | ||||||||
| 35 | TotalEnergies SE (a) | 1,611 | ||||||||
| 14,633 | TotalEnergies SE (a) | 670,607 | ||||||||
|
|
|
|||||||||
| Total France | 186,687,886 | |||||||||
|
|
|
|||||||||
| Germany — 8.3% | ||||||||||
| 96,681 | ADVA Optical Networking SE * | 1,391,498 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Germany — continued | ||||||||||
| 223,612 | Bayerische Motoren Werke AG | 21,433,974 | ||||||||
| 165,598 | CECONOMY AG * | 657,133 | ||||||||
| 637,092 | Daimler AG (Registered) | 59,665,586 | ||||||||
| 442,516 | Deutsche Post AG (Registered) | 26,135,676 | ||||||||
| 21,885 | Henkel AG & Co KGaA | 1,625,332 | ||||||||
| 6,458 | Hornbach Holding AG & Co KGaA | 810,103 | ||||||||
| 5,326 | Indus Holding AG | 179,154 | ||||||||
| 404,107 | Kloeckner & Co SE * | 4,345,238 | ||||||||
| 119,897 | Merck KGaA | 29,633,155 | ||||||||
| 50,499 | RTL Group SA | 2,597,520 | ||||||||
| 49,913 | Traton SE | 1,175,488 | ||||||||
| 69,964 | Volkswagen AG | 19,494,620 | ||||||||
|
|
|
|||||||||
| Total Germany | 169,144,477 | |||||||||
|
|
|
|||||||||
| Hong Kong — 2.2% | ||||||||||
| 1,380,487 | Champion (REIT) | 715,058 | ||||||||
| 711,712 | Chow Tai Fook Jewellery Group Ltd | 1,272,536 | ||||||||
| 608,400 | Dah Sing Banking Group Ltd | 526,084 | ||||||||
| 357,269 | Dah Sing Financial Holdings Ltd | 1,061,068 | ||||||||
| 3,995,207 | Esprit Holdings Ltd * | 332,990 | ||||||||
| 5,200,585 | IGG Inc | 4,916,133 | ||||||||
| 501,901 | Johnson Electric Holdings Ltd | 1,093,423 | ||||||||
| 297,640 | Kerry Logistics Network Ltd | 847,568 | ||||||||
| 442,326 | Luk Fook Holdings International Ltd | 1,293,131 | ||||||||
| 1,232,331 | Pacific Textiles Holdings Ltd | 645,723 | ||||||||
| 1,301,023 | Shun Tak Holdings Ltd * | 346,306 | ||||||||
| 359,526 | SmarTone Telecommunications Holdings Ltd | 191,458 | ||||||||
| 320,500 | Techtronic Industries Co Ltd | 6,591,629 | ||||||||
| 313,588 | Television Broadcasts Ltd * | 179,813 | ||||||||
| 1,016,000 | VSTECS Holdings Ltd | 913,287 | ||||||||
| 341,700 | VTech Holdings Ltd | 2,820,631 | ||||||||
| 31,994,015 | WH Group Ltd | 20,130,541 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 43,877,379 | |||||||||
|
|
|
|||||||||
| Ireland — 1.3% | ||||||||||
| 145,807 | AIB Group Plc * | 319,477 | ||||||||
| 734,349 | Bank of Ireland Group Plc * | 4,015,027 | ||||||||
| 278,852 | CRH Plc Sponsored ADR | 13,574,515 | ||||||||
| 51,333 | Glanbia Plc | 663,577 | ||||||||
| 49,122 | Kingspan Group Plc | 5,695,659 | ||||||||
| 47,015 | Smurfit Kappa Group Plc | 2,390,314 | ||||||||
|
|
|
|||||||||
| Total Ireland | 26,658,569 | |||||||||
|
|
|
|||||||||
| Italy — 4.2% | ||||||||||
| 340,566 | Anima Holding SPA | 1,603,047 | ||||||||
| 23,206 | Banca IFIS SPA | 386,726 | ||||||||
| 775,033 | Banco BPM SPA | 2,158,871 | ||||||||
| 77,700 | CNH Industrial NV (a) | 1,271,172 | ||||||||
| 31,088 | CNH Industrial NV (a) | 510,283 | ||||||||
| 104,951 | De’ Longhi SPA | 3,518,594 | ||||||||
| 34,696 | Enel SPA | 262,904 | ||||||||
| 101,664 | Esprinet SPA | 1,378,467 | ||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Italy — continued | ||||||||||
| 340,756 | EXOR NV | 29,874,419 | ||||||||
| 606,312 | Italgas SPA | 3,813,247 | ||||||||
| 36,751 | La Doria SPA | 686,239 | ||||||||
| 372,560 | Mediobanca Banca di Credito Finanziario SPA | 4,121,164 | ||||||||
| 932,135 | Poste Italiane SPA | 11,722,334 | ||||||||
| 820,540 | Stellantis NV | 14,001,482 | ||||||||
| 2,140,471 | Telecom Italia SPA | 1,112,158 | ||||||||
| 4,450,352 | Telecom Italia SPA – RSP | 2,173,458 | ||||||||
| 119,068 | Unieuro SPA | 2,729,276 | ||||||||
| 674,691 | Unipol Gruppo SPA | 3,504,402 | ||||||||
|
|
|
|||||||||
| Total Italy | 84,828,243 | |||||||||
|
|
|
|||||||||
| Japan — 25.0% | ||||||||||
| 112,400 | AGC Inc | 5,473,540 | ||||||||
| 43,100 | Aisin Corp | 1,581,599 | ||||||||
| 63,520 | AOKI Holdings Inc | 343,347 | ||||||||
| 1,845,715 | Asahi Kasei Corp | 17,257,330 | ||||||||
| 2,120,884 | Astellas Pharma Inc | 33,256,202 | ||||||||
| 492,296 | Brother Industries Ltd | 8,449,001 | ||||||||
| 680,100 | Canon Inc | 14,957,251 | ||||||||
| 39,584 | Cawachi Ltd | 754,423 | ||||||||
| 17,400 | Dai Nippon Printing Co Ltd | 408,380 | ||||||||
| 28,500 | Dai-ichi Life Holdings Inc | 570,985 | ||||||||
| 203,900 | Daiwa House Industry Co Ltd | 5,921,277 | ||||||||
| 320,890 | Daiwabo Holdings Co Ltd | 5,091,735 | ||||||||
| 70,674 | Dexerials Corp | 2,073,151 | ||||||||
| 53,748 | Doutor Nichires Holdings Co Ltd | 718,182 | ||||||||
| 51,954 | FUJIFILM Holdings Corp | 4,086,757 | ||||||||
| 264,132 | Fujitsu Ltd | 43,656,731 | ||||||||
| 20,606 | Fuyo General Lease Co Ltd | 1,300,056 | ||||||||
| 90,436 | Geo Holdings Corp | 949,155 | ||||||||
| 17,653 | Gunze Ltd | 612,718 | ||||||||
| 539,704 | Hitachi Ltd | 31,614,860 | ||||||||
| 86,000 | Hitachi Zosen Corp | 634,971 | ||||||||
| 1,664,454 | ITOCHU Corp | 47,600,228 | ||||||||
| 37,260 | Japan Post Insurance Co Ltd | 575,575 | ||||||||
| 791,804 | Japan Tobacco Inc | 15,770,244 | ||||||||
| 127,444 | Kanematsu Corp | 1,378,154 | ||||||||
| 1,581,796 | KDDI Corp | 45,896,057 | ||||||||
| 352,400 | Kirin Holdings Co Ltd | 5,614,676 | ||||||||
| 41,993 | Komeri Co Ltd | 905,351 | ||||||||
| 886,500 | Konica Minolta Inc | 3,650,362 | ||||||||
| 1,203,300 | Marubeni Corp | 10,760,354 | ||||||||
| 110,757 | MCJ Co Ltd | 965,164 | ||||||||
| 2,882,018 | Mitsubishi UFJ Financial Group Inc | 15,221,035 | ||||||||
| 803,338 | Mitsui & Co Ltd | 18,061,780 | ||||||||
| 39,684 | Modec Inc | 487,508 | ||||||||
| 24,600 | MS&AD Insurance Group Holdings Inc | 717,302 | ||||||||
| 145,833 | NEC Networks & System Integration Corp | 2,326,605 | ||||||||
| 97,226 | Nichias Corp | 2,193,485 | ||||||||
| 79,145 | Nippo Corp | 2,796,583 | ||||||||
| 59,031 | Nippon Signal Co Ltd | 447,491 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 1,931,195 | Nippon Telegraph & Telephone Corp | 53,138,509 | ||||||||
| 85,066 | Okinawa Electric Power Co (The) | 1,040,690 | ||||||||
| 622,586 | Panasonic Corp | 6,787,762 | ||||||||
| 82,324 | Press Kogyo Co Ltd | 270,209 | ||||||||
| 63,319 | Prima Meat Packers Ltd | 1,321,223 | ||||||||
| 378,910 | Renesas Electronics Corp * | 4,761,126 | ||||||||
| 213,400 | Ricoh Co Ltd | 1,882,713 | ||||||||
| 29,783 | San-A Co Ltd | 1,048,460 | ||||||||
| 127,700 | Seiko Epson Corp | 2,058,968 | ||||||||
| 65,495 | Seiko Holdings Corp | 1,265,970 | ||||||||
| 347,712 | Sekisui Chemical Co Ltd | 5,648,403 | ||||||||
| 400,000 | Sekisui House Ltd | 7,773,921 | ||||||||
| 413,181 | Sojitz Corp | 5,817,384 | ||||||||
| 5,491,341 | Sumitomo Chemical Co Ltd | 25,189,044 | ||||||||
| 103,500 | Sumitomo Forestry Co Ltd | 2,074,148 | ||||||||
| 56,838 | T-Gaia Corp | 808,071 | ||||||||
| 21,000 | Tokyo Electron Ltd | 11,034,863 | ||||||||
| 26,977 | Tokyo Seimitsu Co Ltd | 1,132,132 | ||||||||
| 130,975 | Tokyu Construction Co Ltd | 742,492 | ||||||||
| 61,228 | Towa Pharmaceutical Co Ltd | 1,416,854 | ||||||||
| 281,355 | Toyota Tsusho Corp | 12,183,855 | ||||||||
| 24,269 | TPR Co Ltd | 292,013 | ||||||||
| 42,054 | TS Tech Co Ltd | 492,957 | ||||||||
| 93,769 | Valor Holdings Co Ltd | 1,748,446 | ||||||||
| 20,256 | Warabeya Nichiyo Holdings Co Ltd | 328,461 | ||||||||
| 21,608 | Yahagi Construction Co Ltd | 131,605 | ||||||||
| 70,300 | Yamaha Motor Co Ltd | 1,767,941 | ||||||||
|
|
|
|||||||||
| Total Japan | 507,237,825 | |||||||||
|
|
|
|||||||||
| Malta — 0.0% | ||||||||||
| 15,858,986 | BGP Holdings Plc * (b) | — | ||||||||
|
|
|
|||||||||
| Netherlands — 6.6% | ||||||||||
| 19,575 | ASM International NV | 8,798,811 | ||||||||
| 106,639 | ASR Nederland NV | 4,554,052 | ||||||||
| 34,458 | ING Groep NV | 475,984 | ||||||||
| 896,288 | Koninklijke Ahold Delhaize NV | 30,159,871 | ||||||||
| 346,608 | NN Group NV | 17,222,764 | ||||||||
| 3,466,921 | PostNL NV | 14,808,093 | ||||||||
| 448,904 | Randstad NV | 28,326,246 | ||||||||
| 498,937 | Signify NV | 22,777,856 | ||||||||
| 326,894 | Stellantis NV | 5,597,816 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 132,721,493 | |||||||||
|
|
|
|||||||||
| Norway — 1.9% | ||||||||||
| 347,415 | BW LPG Ltd | 1,752,492 | ||||||||
| 31,210 | Equinor ASA | 780,904 | ||||||||
| 248,044 | Europris ASA | 1,712,659 | ||||||||
| 56,692 | Kongsberg Gruppen ASA | 1,664,384 | ||||||||
| 4,464,658 | Norsk Hydro ASA | 28,913,508 | ||||||||
| 442,895 | Orkla ASA | 4,048,409 | ||||||||
|
|
|
|||||||||
| Total Norway | 38,872,356 | |||||||||
|
|
|
|||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Portugal — 1.4% | ||||||||||
| 111,762 | Altri SGPS SA | 620,805 | ||||||||
| 9,801,381 | Banco Comercial Portugues SA – Class R * | 1,595,244 | ||||||||
| 253,077 | CTT – Correios de Portugal SA | 1,193,789 | ||||||||
| 2,687,922 | EDP – Energias de Portugal SA | 14,729,663 | ||||||||
| 544,825 | Galp Energia SGPS SA | 5,112,879 | ||||||||
| 48,521 | Jeronimo Martins SGPS SA | 1,058,699 | ||||||||
| 558,731 | REN – Redes Energeticas Nacionais SGPS SA | 1,562,252 | ||||||||
| 1,851,615 | Sonae SGPS SA | 1,984,269 | ||||||||
|
|
|
|||||||||
| Total Portugal | 27,857,600 | |||||||||
|
|
|
|||||||||
| Singapore — 4.1% | ||||||||||
| 2,085,325 | DBS Group Holdings Ltd | 45,423,816 | ||||||||
| 248,187 | Jardine Cycle & Carriage Ltd | 3,841,797 | ||||||||
| 169,900 | Keppel Corp Ltd | 633,267 | ||||||||
| 428,300 | Sheng Siong Group Ltd | 457,887 | ||||||||
| 7,075 | Venture Corp Ltd | 95,740 | ||||||||
| 5,966,539 | Wilmar International Ltd | 17,894,781 | ||||||||
| 14,822,122 | Yangzijiang Shipbuilding Holdings Ltd | 14,070,746 | ||||||||
|
|
|
|||||||||
| Total Singapore | 82,418,034 | |||||||||
|
|
|
|||||||||
| Spain — 4.7% | ||||||||||
| 933,118 | Acerinox SA | 10,427,269 | ||||||||
| 5,887,978 | Banco Bilbao Vizcaya Argentaria SA | 31,215,827 | ||||||||
| 7,549,084 | Banco de Sabadell SA * | 5,097,513 | ||||||||
| 10,220,419 | Banco Santander SA | 31,777,851 | ||||||||
| 54,084 | Ebro Foods SA | 1,047,490 | ||||||||
| 12,544 | Grupo Catalana Occidente SA | 398,309 | ||||||||
| 50,982 | Indra Sistemas SA * | 595,657 | ||||||||
| 341,045 | Industria de Diseno Textil SA | 10,780,672 | ||||||||
| 319,317 | Mediaset Espana Comunicacion SA * | 1,543,556 | ||||||||
| 2,185,321 | Unicaja Banco SA | 1,915,201 | ||||||||
|
|
|
|||||||||
| Total Spain | 94,799,345 | |||||||||
|
|
|
|||||||||
| Sweden — 0.5% | ||||||||||
| 29,210 | Investor AB – A Shares | 702,915 | ||||||||
| 182,057 | Skanska AB – B Shares | 4,188,976 | ||||||||
| 354,578 | SSAB AB – A Shares * | 1,745,460 | ||||||||
| 157,548 | Svenska Cellulosa AB SCA – Class B | 2,562,595 | ||||||||
|
|
|
|||||||||
| Total Sweden | 9,199,946 | |||||||||
|
|
|
|||||||||
| Switzerland — 6.2% | ||||||||||
| 45,441 | Adecco Group AG (Registered) | 2,105,888 | ||||||||
| 44,851 | Ascom Holding AG (Registered) * | 579,853 | ||||||||
| 1,472 | Kardex Holding AG (Registered) | 443,146 | ||||||||
| 486,637 | Novartis AG (Registered) | 38,787,761 | ||||||||
| 63,000 | Novartis AG Sponsored ADR | 5,021,100 | ||||||||
| 202,793 | Roche Holding AG – Genusschein | 79,172,446 | ||||||||
| 3,995 | Zehnder Group AG – Class RG | 390,011 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 126,500,205 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) | ||||||||
| United Kingdom — 16.4% | ||||||||||
| 989,088 | 3i Group Plc | 18,147,725 | ||||||||
| 1,331,307 | Aviva Plc | 6,794,539 | ||||||||
| 43,700 | Barclays Plc Sponsored ADR | 432,630 | ||||||||
| 2,397,093 | Barratt Developments Plc | 22,199,121 | ||||||||
| 168,759 | Bellway Plc | 7,044,104 | ||||||||
| 1,060,657 | British American Tobacco Plc | 35,497,233 | ||||||||
| 445,058 | British American Tobacco Plc Sponsored ADR | 14,976,202 | ||||||||
| 16,804,349 | BT Group Plc * | 35,374,734 | ||||||||
| 473,137 | Coca-Cola HBC AG * | 14,570,429 | ||||||||
| 83,864 | Crest Nicholson Holdings Plc | 355,280 | ||||||||
| 146,402 | Electrocomponents Plc | 2,358,321 | ||||||||
| 53,520 | Ferguson Plc | 8,147,223 | ||||||||
| 1,235,505 | Ferrexpo Plc | 4,748,901 | ||||||||
| 695,612 | Firstgroup Plc * | 870,142 | ||||||||
| 233,017 | Galliford Try Holdings Plc | 518,437 | ||||||||
| 1,470,220 | GlaxoSmithKline Plc | 29,850,013 | ||||||||
| 35,000 | GlaxoSmithKline Plc Sponsored ADR | 1,439,200 | ||||||||
| 94,655 | Grafton Group Plc | 1,471,614 | ||||||||
| 103,137 | Halfords Group Plc | 419,330 | ||||||||
| 116,239 | IG Group Holdings Plc | 1,196,293 | ||||||||
| 169,607 | Imperial Brands Plc | 3,466,208 | ||||||||
| 105,204 | Investec Plc | 528,633 | ||||||||
| 393,221 | ITV Plc * | 577,764 | ||||||||
| 1,499,475 | JD Sports Fashion Plc | 4,434,430 | ||||||||
| 138,263 | Johnson Matthey Plc | 3,841,223 | ||||||||
| 4,411,311 | Kingfisher Plc | 18,537,324 | ||||||||
| 2,382,909 | Legal & General Group Plc | 8,902,303 | ||||||||
| 197,108 | M&G Plc | 489,211 | ||||||||
| 292,524 | Next Plc | 30,561,423 | ||||||||
| 630,849 | Persimmon Plc | 22,925,497 | ||||||||
| 387,630 | Pets at Home Group Plc | 2,398,935 | ||||||||
| 230,451 | Plus500 Ltd | 3,892,096 | ||||||||
| 227,539 | Reach Plc | 775,196 | ||||||||
| 224,217 | Redrow Plc | 1,925,662 | ||||||||
| 1,704,579 | Royal Mail Plc | 11,352,495 | ||||||||
| 72,210 | Schroders Plc | 3,293,054 | ||||||||
| 529,578 | Spirent Communications Plc | 1,910,560 | ||||||||
| 253,944 | Tate & Lyle Plc | 2,127,471 | ||||||||
| 254,561 | Vesuvius Plc | 1,396,358 | ||||||||
| 142,994 | Vistry Group Plc | 2,035,693 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 331,783,007 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $2,004,993,864) |
1,979,319,933 | |||||||||
|
|
|
|||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| PREFERRED STOCKS (c) — 0.6% |
| |||||||||
| Germany — 0.6% | ||||||||||
| 64,858 | Bayerische Motoren Werke AG | 5,085,655 | ||||||||
| 18,368 | Draegerwerk AG & Co KGaA | 1,187,987 | ||||||||
| 86,535 | Henkel AG & Co KGaA | 6,827,654 | ||||||||
|
|
|
|||||||||
| Total Germany | 13,101,296 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $15,219,757) |
13,101,296 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 4.2% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 3,214,362 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d) | 3,214,362 | ||||||||
|
|
|
|||||||||
| Par Value† | Description | Value ($) | ||||||||
| U.S. Government — 4.1% | ||||||||||
| 23,800,000 | U.S. Treasury Bill, 0.19%, due 10/06/22 (e) | 23,760,982 | ||||||||
| 59,100,000 | U.S. Treasury Bill, 0.22%, due 11/03/22 (e) (f) | 58,981,514 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 82,742,496 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $86,010,040) |
85,956,858 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 102.5% (Cost $2,106,223,661) |
2,078,378,087 | |||||||||
| Other Assets and Liabilities (net) — (2.5%) | (51,475,246 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $2,026,902,841 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys 79 |
MSCI EAFE | December 2021 | $ | 8,830,225 | $ | (545,625 | ) | |||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of November 30, 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 November 30, 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)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| COMMON STOCKS — 96.2% |
| |||||||||
| Automobiles & Components — 5.0% | ||||||||||
| 170,300 | Honda Motor Co Ltd | 4,663,625 | ||||||||
| 121,700 | Stanley Electric Co Ltd | 3,161,925 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 7,825,550 | |||||||||
|
|
|
|||||||||
| Banks — 5.8% | ||||||||||
| 1,099,700 | Mitsubishi UFJ Financial Group Inc | 5,807,935 | ||||||||
| 101,600 | Sumitomo Mitsui Trust Holdings Inc | 3,173,523 | ||||||||
|
|
|
|||||||||
| Total Banks | 8,981,458 | |||||||||
|
|
|
|||||||||
| Capital Goods — 20.2% | ||||||||||
| 235,400 | EXEO Group Inc | 4,986,232 | ||||||||
| 204,800 | Fuji Corp | 4,470,064 | ||||||||
| 342,800 | Hazama Ando Corp | 2,540,302 | ||||||||
| 109,900 | Hitachi Ltd | 6,437,738 | ||||||||
| 145,300 | Kyudenko Corp | 4,287,087 | ||||||||
| 487,100 | Penta-Ocean Construction Co Ltd | 2,784,229 | ||||||||
| 183,100 | Takuma Co Ltd | 2,203,186 | ||||||||
| 45,600 | Toyota Industries Corp | 3,740,204 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 31,449,042 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 5.0% | ||||||||||
| 51,700 | Secom Co Ltd | 3,499,685 | ||||||||
| 283,700 | Toppan Inc | 4,300,328 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 7,800,013 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 7.4% | ||||||||||
| 248,800 | Haseko Corp | 2,955,043 | ||||||||
| 277,900 | Sega Sammy Holdings Inc | 4,511,526 | ||||||||
| 199,500 | Sumitomo Forestry Co Ltd | 3,997,995 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 11,464,564 | |||||||||
|
|
|
|||||||||
| Diversified Financials — 7.8% | ||||||||||
| 20,100 | JAFCO Group Co Ltd | 1,255,891 | ||||||||
| 357,100 | ORIX Corp | 7,036,087 | ||||||||
| 88,700 | Zenkoku Hosho Co Ltd | 3,870,698 | ||||||||
|
|
|
|||||||||
| Total Diversified Financials | 12,162,676 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 8.5% | ||||||||||
| 188,700 | Kirin Holdings Co Ltd | 3,006,497 | ||||||||
| 120,100 | Morinaga & Co Ltd | 3,734,747 | ||||||||
| 113,300 | NH Foods Ltd | 3,851,838 | ||||||||
| 241,800 | Takara Holdings Inc | 2,590,583 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 13,183,665 | |||||||||
|
|
|
|||||||||
| Insurance — 2.9% | ||||||||||
| 155,600 | MS&AD Insurance Group Holdings Inc | 4,537,082 | ||||||||
|
|
|
|||||||||
| Materials — 9.2% | ||||||||||
| 122,300 | Denka Co Ltd | 3,579,144 | ||||||||
| 145,400 | Maruichi Steel Tube Ltd | 3,100,182 | ||||||||
| 325,500 | Teijin Ltd | 3,717,769 | ||||||||
| Shares | Description | Value ($) | ||||||||
| Materials — continued | ||||||||||
| 267,700 | Tosoh Corp | 3,827,114 | ||||||||
|
|
|
|||||||||
| Total Materials | 14,224,209 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 0.1% | ||||||||||
| 3,800 | Kadokawa Corp | 201,391 | ||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 3.7% | ||||||||||
| 46,300 | Sawai Group Holdings Co Ltd | 1,714,546 | ||||||||
| 141,300 | Tsumura & Co | 4,024,405 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 5,738,951 | |||||||||
|
|
|
|||||||||
| Real Estate — 2.5% | ||||||||||
| 278,000 | Aeon Mall Co Ltd | 3,937,629 | ||||||||
|
|
|
|||||||||
| Retailing — 2.6% | ||||||||||
| 392,700 | K’s Holdings Corp | 3,974,428 | ||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 5.3% | ||||||||||
| 36,800 | Rohm Co Ltd | 3,417,402 | ||||||||
| 113,300 | Tokyo Seimitsu Co Ltd | 4,754,812 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 8,172,214 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 5.5% | ||||||||||
| 154,700 | Amano Corp | 3,387,323 | ||||||||
| 258,900 | Daiwabo Holdings Co Ltd | 4,108,106 | ||||||||
| 18,700 | Horiba Ltd | 1,109,101 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 8,604,530 | |||||||||
|
|
|
|||||||||
| Telecommunication Services — 2.8% | ||||||||||
| 150,700 | KDDI Corp | 4,372,584 | ||||||||
|
|
|
|||||||||
| Transportation — 1.9% | ||||||||||
| 75,700 | Sankyu Inc | 2,998,172 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $150,293,560) |
149,628,158 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 2.7% | ||||||||||
| Money Market Funds — 2.7% | ||||||||||
| 4,209,307 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 4,209,307 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $4,209,307) |
4,209,307 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 98.9% (Cost $154,502,867) |
153,837,465 | |||||||||
| Other Assets and Liabilities (net) — 1.1% | 1,708,754 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $155,546,219 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund)
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 97.2% | ||||||||||
| Canada — 5.7% | ||||||||||
| 74,734 | Brookfield Asset Management Inc – Class A | 4,197,809 | ||||||||
| 53,055 | Nutrien Ltd | 3,507,996 | ||||||||
|
|
|
|||||||||
| Total Canada | 7,705,805 | |||||||||
|
|
|
|||||||||
| China — 1.6% | ||||||||||
| 37,002 | Tencent Holdings Ltd | 2,157,922 | ||||||||
|
|
|
|||||||||
| Finland — 2.0% | ||||||||||
| 57,084 | Neste Oyj | 2,699,897 | ||||||||
|
|
|
|||||||||
| France — 8.6% | ||||||||||
| 4,067 | Kering SA | 3,131,956 | ||||||||
| 5,187 | LVMH Moet Hennessy Louis Vuitton SE | 4,033,381 | ||||||||
| 38,923 | Safran SA | 4,347,455 | ||||||||
|
|
|
|||||||||
| Total France | 11,512,792 | |||||||||
|
|
|
|||||||||
| Germany — 1.9% | ||||||||||
| 25,947 | Beiersdorf AG | 2,580,742 | ||||||||
|
|
|
|||||||||
| Hong Kong — 1.1% | ||||||||||
| 278,715 | Galaxy Entertainment Group Ltd * | 1,515,213 | ||||||||
|
|
|
|||||||||
| Ireland — 2.7% | ||||||||||
| 202,900 | Ryanair Holdings Plc * | 3,283,237 | ||||||||
| 4,403 | Ryanair Holdings Plc Sponsored ADR * | 420,707 | ||||||||
|
|
|
|||||||||
| Total Ireland | 3,703,944 | |||||||||
|
|
|
|||||||||
| Mexico — 5.6% | ||||||||||
| 436,044 | Fomento Economico Mexicano SAB de CV | 3,093,437 | ||||||||
| 1,055,718 | Grupo Mexico SAB de CV – Series B | 4,397,163 | ||||||||
|
|
|
|||||||||
| Total Mexico | 7,490,600 | |||||||||
|
|
|
|||||||||
| Russia — 2.2% | ||||||||||
| 33,831 | LUKOIL PJSC Sponsored ADR | 2,934,213 | ||||||||
|
|
|
|||||||||
| Spain — 4.7% | ||||||||||
| 52,043 | Amadeus IT Group SA * | 3,332,086 | ||||||||
| 93,162 | Industria de Diseno Textil SA | 2,944,916 | ||||||||
|
|
|
|||||||||
| Total Spain | 6,277,002 | |||||||||
|
|
|
|||||||||
| United Kingdom — 11.0% | ||||||||||
| 48,730 | Berkeley Group Holdings Plc | 2,773,985 | ||||||||
| 237,381 | Compass Group Plc * | 4,630,795 | ||||||||
| 97,206 | Persimmon Plc | 3,532,534 | ||||||||
| 185,453 | Royal Dutch Shell Plc – B Shares | 3,886,340 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 14,823,654 | |||||||||
|
|
|
|||||||||
| United States — 50.1% | ||||||||||
| 25,415 | American Express Co. | 3,870,704 | ||||||||
| 1,753 | Booking Holdings, Inc. * | 3,684,543 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 85,193 | BorgWarner, Inc. | 3,687,153 | ||||||||
| 26,158 | Chevron Corp. | 2,952,453 | ||||||||
| 12,937 | Coca-Cola Co. (The) | 678,546 | ||||||||
| 52,917 | Darling Ingredients, Inc. * | 3,572,956 | ||||||||
| 53,599 | EOG Resources, Inc. | 4,663,113 | ||||||||
| 17,249 | Global Payments, Inc. | 2,053,321 | ||||||||
| 30,157 | Green Plains, Inc. * | 1,165,568 | ||||||||
| 30,787 | Hasbro, Inc. | 2,983,568 | ||||||||
| 28,993 | Hilton Worldwide Holdings, Inc. * | 3,916,084 | ||||||||
| 29,319 | Intercontinental Exchange, Inc. | 3,832,580 | ||||||||
| 50,952 | Las Vegas Sands Corp. * | 1,814,910 | ||||||||
| 87,337 | Lyft, Inc. – Class A * | 3,546,756 | ||||||||
| 2,707 | Markel Corp. * | 3,234,378 | ||||||||
| 42,880 | Raytheon Technologies Corp. | 3,469,850 | ||||||||
| 78,657 | Sensata Technologies Holding Plc * | 4,381,195 | ||||||||
| 80,662 | US Bancorp | 4,463,835 | ||||||||
| 90,412 | Verso Corp. – Class A | 1,911,310 | ||||||||
| 48,022 | VF Corp. | 3,444,618 | ||||||||
| 84,633 | Wells Fargo & Co. | 4,043,765 | ||||||||
|
|
|
|||||||||
| Total United States | 67,371,206 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $104,698,667) |
130,772,990 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (a) — 2.5% | ||||||||||
| Brazil — 2.5% | ||||||||||
| 384,654 | Bradespar SA | 3,403,957 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $2,188,866) |
3,403,957 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 0.1% | ||||||||||
| United States — 0.1% | ||||||||||
| Affiliated Issuers — 0.1% | ||||||||||
| 12,305 | GMO U.S. Treasury Fund | 61,893 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $62,016) |
61,893 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
| Money Market Funds — 0.3% | ||||||||||
| 403,536 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b) | 403,536 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $403,536) |
403,536 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $107,353,085) |
134,642,376 | |||||||||
| Other Assets and Liabilities (net) — (0.1%) | (69,128 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $134,573,248 | |||||||||
|
|
|
|||||||||
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (b) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
PJSC - Private Joint-Stock Company
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 99.8% | ||||||||||
| Banks — 7.1% | ||||||||||
| 5,661,196 | US Bancorp | 313,290,587 | ||||||||
| 6,258,054 | Wells Fargo & Co. | 299,009,820 | ||||||||
|
|
|
|||||||||
| Total Banks | 612,300,407 | |||||||||
|
|
|
|||||||||
| Capital Goods — 5.6% | ||||||||||
| 612,265 | 3M Co. | 104,109,540 | ||||||||
| 624,613 | Knorr-Bremse AG | 62,132,646 | ||||||||
| 1,418,642 | Otis Worldwide Corp. | 114,058,817 | ||||||||
| 1,787,606 | Safran SA | 199,664,395 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 479,965,398 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 1.1% | ||||||||||
| 120,049 | LVMH Moet Hennessy Louis Vuitton SE | 93,349,409 | ||||||||
|
|
|
|||||||||
| Consumer Services — 2.1% | ||||||||||
| 9,434,458 | Compass Group Plc * | 184,046,061 | ||||||||
|
|
|
|||||||||
| Diversified Financials — 1.5% | ||||||||||
| 867,181 | American Express Co. | 132,071,666 | ||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 6.3% | ||||||||||
| 5,956,290 | Coca-Cola Co. (The) | 312,407,410 | ||||||||
| 493,615 | Constellation Brands, Inc. – Class A | 111,226,268 | ||||||||
| 907,143 | Nestle SA (Registered) | 116,270,097 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 539,903,775 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 14.2% | ||||||||||
| 1,010,628 | Abbott Laboratories | 127,106,683 | ||||||||
| 618,987 | Anthem, Inc. | 251,451,089 | ||||||||
| 414,920 | Cigna Corp. | 79,623,148 | ||||||||
| 1,926,708 | Medtronic Plc | 205,579,744 | ||||||||
| 978,332 | Quest Diagnostics, Inc. | 145,458,402 | ||||||||
| 943,385 | UnitedHealth Group, Inc. | 419,070,485 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 1,228,289,551 | |||||||||
|
|
|
|||||||||
| Household & Personal Products — 1.8% | ||||||||||
| 3,024,661 | Unilever Plc | 154,478,450 | ||||||||
|
|
|
|||||||||
| Media & Entertainment — 6.6% | ||||||||||
| 107,460 | Alphabet, Inc. – Class A * | 304,966,107 | ||||||||
| 12,893 | Alphabet, Inc. – Class C * | 36,732,673 | ||||||||
| 707,188 | Meta Platforms, Inc. – Class A * | 229,454,218 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 571,152,998 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 8.4% | ||||||||||
| 592,241 | Eli Lilly & Co. | 146,899,458 | ||||||||
| 1,508,573 | Johnson & Johnson | 235,231,788 | ||||||||
| 1,897,276 | Merck & Co., Inc. | 142,124,945 | ||||||||
| 188,176 | Organon & Co. | 5,500,384 | ||||||||
| 508,832 | Roche Holding AG – Genusschein | 198,653,178 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 728,409,753 | |||||||||
|
|
|
|||||||||
| Shares / Par Value† |
Description | Value ($) | ||||||||
| Retailing — 4.2% | ||||||||||
| 9,036,414 | Alibaba Group Holding Ltd * | 144,290,691 | ||||||||
| 3,173,584 | TJX Cos, Inc. (The) | 220,246,730 | ||||||||
|
|
|
|||||||||
| Total Retailing | 364,537,421 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 10.8% |
||||||||||
| 230,695 | KLA Corp. | 94,153,551 | ||||||||
| 449,752 | Lam Research Corp. | 305,763,897 | ||||||||
| 13,753,790 | Taiwan Semiconductor Manufacturing Co Ltd | 292,524,906 | ||||||||
| 1,231,316 | Texas Instruments, Inc. | 236,868,259 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 929,310,613 | |||||||||
|
|
|
|||||||||
| Software & Services — 22.6% | ||||||||||
| 785,602 | Accenture Plc – Class A | 280,774,155 | ||||||||
| 215,773 | Adobe, Inc. * | 144,535,544 | ||||||||
| 716,715 | Amadeus IT Group SA * | 45,888,126 | ||||||||
| 620,659 | Global Payments, Inc. | 73,883,247 | ||||||||
| 1,804,599 | Microsoft Corp. | 596,582,383 | ||||||||
| 3,819,543 | Oracle Corp. | 346,585,332 | ||||||||
| 487,276 | salesforce.com, Inc. * | 138,854,169 | ||||||||
| 1,376,467 | SAP SE | 176,395,944 | ||||||||
| 763,534 | Visa, Inc. – Class A | 147,949,983 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 1,951,448,883 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 6.9% | ||||||||||
| 2,468,129 | Apple, Inc. | 407,981,724 | ||||||||
| 3,414,837 | Cisco Systems, Inc. | 187,269,661 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 595,251,385 | |||||||||
|
|
|
|||||||||
| Transportation — 0.6% | ||||||||||
| 1,347,544 | Lyft, Inc. – Class A * | 54,723,762 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $4,866,577,050) |
8,619,239,532 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 0.3% | ||||||||||
| U.S. Government — 0.3% | ||||||||||
| 30,000,000 | U.S. Treasury Note, 0.13%, due 12/31/22 | 29,947,266 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $29,968,225) |
29,947,266 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 0.1% | ||||||||||
| Affiliated Issuers — 0.1% | ||||||||||
| 1,950,587 | GMO U.S. Treasury Fund | 9,811,455 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $9,752,901) |
9,811,455 | |||||||||
|
|
|
|||||||||
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares / ParValue† |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
| Money Market Funds — 0.2% | ||||||||||
| 18,178,039 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 18,178,039 | ||||||||
|
|
|
|||||||||
| U.S. Government — 0.1% | ||||||||||
| 4,600,000 | U.S. Treasury Bill, 0.22%, due 11/03/22 (b) | 4,590,778 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $22,771,236) |
22,768,817 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.5% (Cost $4,929,069,412) |
8,681,767,070 | |||||||||
| Other Assets and Liabilities (net) — (0.5%) | (45,077,280 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $8,636,689,790 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
| (b) | The rate shown represents yield-to-maturity. |
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| COMMON STOCKS — 88.6% | ||||||||||
| Argentina — 0.9% | ||||||||||
| 2,136,854 | Adecoagro SA * | 16,688,830 | ||||||||
|
|
|
|||||||||
| Australia — 6.7% | ||||||||||
| 10,010,291 | Beach Energy Ltd (a) | 8,389,037 | ||||||||
| 735,000 | Clean TeQ Water Ltd * | 459,116 | ||||||||
| 4,597,079 | Fortescue Metals Group Ltd | 55,205,206 | ||||||||
| 6,000,172 | Jupiter Mines Ltd (a) | 793,078 | ||||||||
| 828,018 | Mineral Resources Ltd (a) | 26,573,453 | ||||||||
| 6,763,139 | Perenti Global Ltd (a) | 3,931,903 | ||||||||
| 3,668,621 | Sandfire Resources Ltd | 15,591,216 | ||||||||
| 1,470,000 | Sunrise Energy Metals Ltd * | 1,797,511 | ||||||||
| 476,888 | Tassal Group Ltd | 1,120,222 | ||||||||
| 4,533,929 | Western Areas Ltd * | 9,126,571 | ||||||||
|
|
|
|||||||||
| Total Australia | 122,987,313 | |||||||||
|
|
|
|||||||||
| Austria — 1.4% | ||||||||||
| 468,910 | OMV AG | 24,901,420 | ||||||||
|
|
|
|||||||||
| Brazil — 3.4% | ||||||||||
| 1,856,900 | Enauta Participacoes SA | 4,399,603 | ||||||||
| 7,449,300 | Petroleo Brasileiro SA | 39,937,370 | ||||||||
| 2,307,457 | Sao Martinho SA | 14,410,704 | ||||||||
| 562,200 | SLC Agricola SA | 3,838,102 | ||||||||
|
|
|
|||||||||
| Total Brazil | 62,585,779 | |||||||||
|
|
|
|||||||||
| Canada — 9.3% | ||||||||||
| 822,600 | Anaergia Inc * | 12,498,858 | ||||||||
| 1,179,955 | Canadian Solar Inc * (a) | 44,767,493 | ||||||||
| 555,300 | Enerflex Ltd (a) | 3,203,696 | ||||||||
| 336,900 | Enerplus Corp | 3,180,336 | ||||||||
| 1,184,800 | First Quantum Minerals Ltd | 25,255,082 | ||||||||
| 1,617,600 | Greenlane Renewables Inc * (a) | 1,646,154 | ||||||||
| 5,060,700 | Ivanhoe Mines Ltd – Class A * (a) | 40,170,259 | ||||||||
| 1,561,688 | Largo Inc * (a) | 15,110,152 | ||||||||
| 517,400 | Teck Resources Ltd – Class B | 13,722,269 | ||||||||
| 129,200 | Tourmaline Oil Corp | 4,299,418 | ||||||||
| 626,000 | Vermilion Energy Inc * | 6,247,480 | ||||||||
|
|
|
|||||||||
| Total Canada | 170,101,197 | |||||||||
|
|
|
|||||||||
| China — 1.8% | ||||||||||
| 10,706,000 | China High Speed Transmission Equipment Group Co Ltd * (a) | 8,863,751 | ||||||||
| 4,648,000 | China Water Affairs Group Ltd (a) | 5,333,171 | ||||||||
| 292,612 | Sungrow Power Supply Co Ltd – Class A | 7,414,181 | ||||||||
| 4,690,600 | Xinjiang Goldwind Science & Technology Co Ltd – Class H (a) | 10,280,567 | ||||||||
|
|
|
|||||||||
| Total China | 31,891,670 | |||||||||
|
|
|
|||||||||
| Denmark — 0.4% | ||||||||||
| 243,241 | Vestas Wind Systems A/S | 8,167,243 | ||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) | ||||||||
| Finland — 0.7% | ||||||||||
| 312,431 | Kemira Oyj | 4,635,282 | ||||||||
| 170,716 | Neste Oyj | 8,074,340 | ||||||||
|
|
|
|||||||||
| Total Finland | 12,709,622 | |||||||||
|
|
|
|||||||||
| France — 0.4% | ||||||||||
| 234,687 | Technip Energies NV * | 3,182,827 | ||||||||
| 58,741 | Vilmorin & Cie SA | 3,606,723 | ||||||||
|
|
|
|||||||||
| Total France | 6,789,550 | |||||||||
|
|
|
|||||||||
| Hungary — 0.9% | ||||||||||
| 2,191,519 | MOL Hungarian Oil & Gas Plc | 16,469,699 | ||||||||
|
|
|
|||||||||
| India — 1.5% | ||||||||||
| 10,420,290 | Oil & Natural Gas Corp Ltd | 19,589,713 | ||||||||
| 2,908,321 | Oil India Ltd | 8,183,793 | ||||||||
|
|
|
|||||||||
| Total India | 27,773,506 | |||||||||
|
|
|
|||||||||
| Israel — 0.7% | ||||||||||
| 81,656 | Delek Group Ltd * | 6,695,063 | ||||||||
| 79,215 | Equital Ltd * | 2,737,480 | ||||||||
| 6,579 | Israel Corp Ltd (The) * | 2,502,876 | ||||||||
| 119,107 | Naphtha Israel Petroleum Corp Ltd * | 751,568 | ||||||||
|
|
|
|||||||||
| Total Israel | 12,686,987 | |||||||||
|
|
|
|||||||||
| Japan — 2.3% | ||||||||||
| 234,100 | Ebara Corp | 12,497,560 | ||||||||
| 2,239,600 | Inpex Corp | 18,325,732 | ||||||||
| 155,800 | Japan Petroleum Exploration Co Ltd | 3,128,763 | ||||||||
| 265,400 | Mitsubishi Materials Corp | 4,546,094 | ||||||||
| 67,400 | Nittetsu Mining Co Ltd | 3,640,246 | ||||||||
|
|
|
|||||||||
| Total Japan | 42,138,395 | |||||||||
|
|
|
|||||||||
| Mexico — 2.5% | ||||||||||
| 11,008,240 | Grupo Mexico SAB de CV – Series B | 45,850,340 | ||||||||
|
|
|
|||||||||
| Norway — 2.2% | ||||||||||
| 1,515,819 | Austevoll Seafood ASA | 16,513,014 | ||||||||
| 4,133,611 | DNO ASA * | 4,785,560 | ||||||||
| 719,194 | Equinor ASA | 17,994,916 | ||||||||
|
|
|
|||||||||
| Total Norway | 39,293,490 | |||||||||
|
|
|
|||||||||
| Pakistan — 0.2% | ||||||||||
| 4,184,258 | Fauji Fertilizer Co Ltd | 2,402,635 | ||||||||
| 575,177 | Pakistan Oilfields Ltd | 1,128,862 | ||||||||
|
|
|
|||||||||
| Total Pakistan | 3,531,497 | |||||||||
|
|
|
|||||||||
| Poland — 0.7% | ||||||||||
| 9,902,180 | Polskie Gornictwo Naftowe i Gazownictwo SA | 13,353,552 | ||||||||
|
|
|
|||||||||
| Portugal — 1.9% | ||||||||||
| 3,712,130 | Galp Energia SGPS SA | 34,836,269 | ||||||||
|
|
|
|||||||||
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Russia — 8.9% | ||||||||||
| 3,458,504 | Gazprom Neft PJSC | 23,197,890 | ||||||||
| 9,875,140 | Gazprom PJSC | 44,312,287 | ||||||||
| 240,324 | LUKOIL PJSC Sponsored ADR | 20,843,656 | ||||||||
| 954,595 | MMC Norilsk Nickel PJSC ADR | 27,331,335 | ||||||||
| 890,738 | PhosAgro PJSC GDR (Registered) | 19,644,532 | ||||||||
| 601,778 | Ros Agro Plc GDR (Registered) | 9,157,106 | ||||||||
| 2,700,419 | Tatneft PJSC | 17,273,898 | ||||||||
|
|
|
|||||||||
| Total Russia | 161,760,704 | |||||||||
|
|
|
|||||||||
| Singapore — 0.0% | ||||||||||
| 2,725,600 | Ezra Holdings Ltd * (a) (b) | — | ||||||||
|
|
|
|||||||||
| South Africa — 2.3% | ||||||||||
| 470,330 | African Rainbow Minerals Ltd | 6,083,953 | ||||||||
| 987,086 | Impala Platinum Holdings Ltd | 12,362,637 | ||||||||
| 567,712 | Sasol Ltd * | 9,331,682 | ||||||||
| 4,740,463 | Sibanye Stillwater Ltd | 14,782,105 | ||||||||
|
|
|
|||||||||
| Total South Africa | 42,560,377 | |||||||||
|
|
|
|||||||||
| South Korea — 0.4% | ||||||||||
| 9,258 | Korea Zinc Co Ltd | 3,855,973 | ||||||||
| 4,769 | Young Poong Corp | 2,541,784 | ||||||||
|
|
|
|||||||||
| Total South Korea | 6,397,757 | |||||||||
|
|
|
|||||||||
| Spain — 0.5% | ||||||||||
| 745,617 | Repsol SA | 8,239,053 | ||||||||
|
|
|
|||||||||
| Switzerland — 0.2% | ||||||||||
| 2,618 | Gurit Holding AG (a) | 4,228,559 | ||||||||
|
|
|
|||||||||
| Turkey — 0.3% | ||||||||||
| 3,170,795 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 4,597,087 | ||||||||
|
|
|
|||||||||
| Ukraine — 0.4% | ||||||||||
| 501,341 | Kernel Holding SA | 7,214,361 | ||||||||
|
|
|
|||||||||
| United Kingdom — 13.0% | ||||||||||
| 1,123,537 | BHP Group Plc | 30,701,823 | ||||||||
| 5,839,553 | BP Plc | 25,336,222 | ||||||||
| 1,461,402 | Central Asia Metals Plc | 4,723,139 | ||||||||
| 3,268,452 | Ferrexpo Plc | 12,562,924 | ||||||||
| 14,216,776 | Glencore Plc * | 67,498,299 | ||||||||
| 1,882,238 | John Wood Group Plc * | 5,035,240 | ||||||||
| 1,316,634 | Petrofac Ltd * (a) | 1,906,975 | ||||||||
| 4,257,640 | Royal Dutch Shell Plc – B Shares | 89,222,809 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 236,987,431 | |||||||||
|
|
|
|||||||||
| United States — 24.7% | ||||||||||
| 696,517 | Aemetis, Inc. * | 13,066,659 | ||||||||
| 345,600 | AGCO Corp. | 38,088,576 | ||||||||
| 410,000 | Ameresco, Inc. – Class A * | 37,035,300 | ||||||||
| 259,000 | Baker Hughes Co. | 6,045,060 | ||||||||
| Shares | Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 86,600 | California Resources Corp. | 3,383,462 | ||||||||
| 5,222,966 | Clean Energy Fuels Corp. * | 37,448,666 | ||||||||
| 463,200 | Darling Ingredients, Inc. * | 31,275,264 | ||||||||
| 62,500 | Deere & Co. | 21,596,250 | ||||||||
| 635,582 | Freeport-McMoRan, Inc. | 23,567,380 | ||||||||
| 1,664,924 | GrafTech International Ltd. | 19,396,364 | ||||||||
| 445,300 | Green Plains, Inc. * | 17,210,845 | ||||||||
| 24,413,901 | Kosmos Energy Ltd. * (c) | 89,354,878 | ||||||||
| 1,054,100 | Livent Corp. * (a) | 31,928,689 | ||||||||
| 513,343 | Montauk Renewables, Inc. * (a) | 4,881,892 | ||||||||
| 777,021 | Mosaic Co. (The) | 26,589,659 | ||||||||
| 202,300 | Northern Oil and Gas, Inc. | 4,122,874 | ||||||||
| 492,700 | ProPetro Holding Corp. * | 4,049,994 | ||||||||
| 655,046 | Renewable Energy Group, Inc. * | 31,298,098 | ||||||||
| 161,318 | Sunrun, Inc. * | 7,427,081 | ||||||||
| 240,600 | Talos Energy, Inc. * | 2,398,782 | ||||||||
|
|
|
|||||||||
| Total United States | 450,165,773 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $1,408,905,025) |
1,614,907,461 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) — 10.2% | ||||||||||
| Brazil — 6.2% | ||||||||||
| 10,456,973 | Bradespar SA | 92,537,938 | ||||||||
| 3,845,300 | Petroleo Brasileiro SA | 20,129,882 | ||||||||
|
|
|
|||||||||
| Total Brazil | 112,667,820 | |||||||||
|
|
|
|||||||||
| Chile — 1.8% | ||||||||||
| 515,195 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 32,076,041 | ||||||||
|
|
|
|||||||||
| Russia — 2.2% | ||||||||||
| 94,186 | Bashneft PJSC | 1,294,468 | ||||||||
| 16,540,484 | Surgutneftegas PJSC | 8,367,319 | ||||||||
| 5,260,562 | Tatneft PJSC | 31,177,661 | ||||||||
|
|
|
|||||||||
| Total Russia | 40,839,448 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $174,935,857) |
185,583,309 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.0% | ||||||||||
| Singapore — 0.0% | ||||||||||
| 2,117,812 | Ezion Holdings Ltd, Expires 04/16/23 * (a) (b) | — | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $0) |
— | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 1.0% | ||||||||||
| Money Market Funds — 0.2% | ||||||||||
| 3,598,616 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e) | 3,598,616 | ||||||||
|
|
|
|||||||||
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† | Description | Value ($) | ||||||||
| U.S. Government — 0.8% | ||||||||||
| 15,600,000 | U.S. Treasury Bill, 0.22%, due 11/03/22 (f) | 15,568,725 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $19,175,607) |
19,167,341 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.8% (Cost $1,603,016,489) |
1,819,658,111 | |||||||||
| Other Assets and Liabilities (net) — 0.2% | 3,075,212 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $1,822,733,323 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (c) | Affiliated company. |
| (d) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (e) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
| (f) | The rate shown represents yield-to-maturity. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
PJSC - Private Joint-Stock Company
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| COMMON STOCKS — 96.8% | ||||||||||
| Australia — 3.1% | ||||||||||
| 6,116 | Accent Group Ltd | 11,012 | ||||||||
| 8,619 | BlueScope Steel Ltd | 119,798 | ||||||||
| 6,835 | Fortescue Metals Group Ltd | 82,080 | ||||||||
| 13,240 | Rio Tinto Ltd | 878,510 | ||||||||
| 6,480 | Sandfire Resources Ltd | 27,539 | ||||||||
|
|
|
|||||||||
| Total Australia | 1,118,939 | |||||||||
|
|
|
|||||||||
| Belgium — 1.6% | ||||||||||
| 680 | Ageas SA/NV | 35,166 | ||||||||
| 245 | Bekaert SA | 9,863 | ||||||||
| 434 | Groupe Bruxelles Lambert SA | 47,132 | ||||||||
| 1,588 | KBC Group NV | 133,297 | ||||||||
| 3,303 | UCB SA | 361,182 | ||||||||
|
|
|
|||||||||
| Total Belgium | 586,640 | |||||||||
|
|
|
|||||||||
| Brazil — 0.7% | ||||||||||
| 30,100 | Marfrig Global Foods SA | 126,196 | ||||||||
| 12,200 | MRV Engenharia e Participacoes SA | 24,066 | ||||||||
| 44,100 | TIM SA | 108,253 | ||||||||
|
|
|
|||||||||
| Total Brazil | 258,515 | |||||||||
|
|
|
|||||||||
| China — 2.1% | ||||||||||
| 29,500 | BAIC Motor Corp Ltd – Class H | 12,157 | ||||||||
| 104,000 | Bank of Communications Co Ltd – Class H | 60,553 | ||||||||
| 60,000 | China CITIC Bank Corp Ltd – Class H | 25,752 | ||||||||
| 20,000 | China Everbright Bank Co Ltd – Class H | 6,857 | ||||||||
| 41,000 | China Lesso Group Holdings Ltd | 59,541 | ||||||||
| 70,000 | China Medical System Holdings Ltd | 114,646 | ||||||||
| 290,000 | China Railway Group Ltd – Class H | 137,870 | ||||||||
| 72,500 | China Resources Pharmaceutical Group Ltd | 31,528 | ||||||||
| 38,000 | Dongfeng Motor Group Co Ltd – Class H | 35,277 | ||||||||
| 6,500 | Kingboard Holdings Ltd | 32,629 | ||||||||
| 99,000 | Metallurgical Corp of China Ltd – Class H | 24,995 | ||||||||
| 11,000 | PAX Global Technology Ltd | 8,511 | ||||||||
| 34,000 | PICC Property & Casualty Co Ltd – Class H | 29,068 | ||||||||
| 50,300 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 91,713 | ||||||||
| 3,200 | Sinopharm Group Co Ltd – Class H | 6,954 | ||||||||
| 18,000 | Skyworth Group Ltd * | 10,925 | ||||||||
| 24,000 | TCL Electronics Holdings Ltd * | 12,620 | ||||||||
| 36,000 | Tianneng Power International Ltd | 39,700 | ||||||||
|
|
|
|||||||||
| Total China | 741,296 | |||||||||
|
|
|
|||||||||
| Denmark — 0.1% | ||||||||||
| 1,864 | Scandinavian Tobacco Group A/S | 34,211 | ||||||||
|
|
|
|||||||||
| Finland — 0.4% | ||||||||||
| 4,887 | Kesko Oyj – B Shares | 153,438 | ||||||||
|
|
|
|||||||||
| France — 8.6% | ||||||||||
| 366 | APERAM SA | 17,586 | ||||||||
| 14,316 | BNP Paribas SA | 889,734 | ||||||||
| Shares | Description | Value ($) | ||||||||
| France — continued | ||||||||||
| 65 | Christian Dior SE | 49,110 | ||||||||
| 12,285 | Cie de Saint-Gobain | 779,234 | ||||||||
| 2,064 | Derichebourg SA * | 21,645 | ||||||||
| 728 | Ipsen SA | 71,049 | ||||||||
| 432 | Kaufman & Broad SA | 16,223 | ||||||||
| 1,376 | Publicis Groupe SA | 89,039 | ||||||||
| 1,207 | Quadient SA | 26,200 | ||||||||
| 4,784 | Sanofi | 454,778 | ||||||||
| 2,447 | Schneider Electric SE | 434,279 | ||||||||
| 373 | Societe BIC SA | 19,230 | ||||||||
| 4,587 | Societe Generale SA | 142,735 | ||||||||
| 900 | STMicroelectronics NV – NY Shares | 43,686 | ||||||||
| 3,488 | Television Francaise 1 | 33,701 | ||||||||
|
|
|
|||||||||
| Total France | 3,088,229 | |||||||||
|
|
|
|||||||||
| Germany — 7.4% | ||||||||||
| 3,931 | Bayerische Motoren Werke AG | 376,800 | ||||||||
| 153 | CECONOMY AG * | 607 | ||||||||
| 11,160 | Daimler AG (Registered) | 1,045,168 | ||||||||
| 7,433 | Deutsche Post AG (Registered) | 439,004 | ||||||||
| 67 | Henkel AG & Co KGaA | 4,976 | ||||||||
| 114 | Hornbach Holding AG & Co KGaA | 14,300 | ||||||||
| 5,167 | Kloeckner & Co SE * | 55,559 | ||||||||
| 1,885 | Merck KGaA | 465,887 | ||||||||
| 887 | RTL Group SA | 45,625 | ||||||||
| 401 | Traton SE | 9,444 | ||||||||
| 780 | Volkswagen AG | 217,338 | ||||||||
|
|
|
|||||||||
| Total Germany | 2,674,708 | |||||||||
|
|
|
|||||||||
| Hong Kong — 1.4% | ||||||||||
| 11,200 | Dah Sing Banking Group Ltd | 9,684 | ||||||||
| 82,000 | IGG Inc | 77,515 | ||||||||
| 8,500 | Johnson Electric Holdings Ltd | 18,518 | ||||||||
| 5,500 | Techtronic Industries Co Ltd | 113,117 | ||||||||
| 5,300 | VTech Holdings Ltd | 43,750 | ||||||||
| 403,500 | WH Group Ltd | 253,881 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 516,465 | |||||||||
|
|
|
|||||||||
| Hungary — 0.2% | ||||||||||
| 3,883 | Magyar Telekom Telecommunications Plc | 5,003 | ||||||||
| 2,110 | Richter Gedeon Nyrt | 56,099 | ||||||||
|
|
|
|||||||||
| Total Hungary | 61,102 | |||||||||
|
|
|
|||||||||
| India — 0.5% | ||||||||||
| 1,345 | Mahindra & Mahindra Ltd | 14,940 | ||||||||
| 13,240 | Power Finance Corp Ltd | 20,584 | ||||||||
| 1,169 | Rajesh Exports Ltd | 11,596 | ||||||||
| 70,471 | REC Ltd | 127,161 | ||||||||
|
|
|
|||||||||
| Total India | 174,281 | |||||||||
|
|
|
|||||||||
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Ireland — 1.0% | ||||||||||
| 8,099 | Bank of Ireland Group Plc * | 44,281 | ||||||||
| 2,694 | CRH Plc | 130,622 | ||||||||
| 1,760 | CRH Plc Sponsored ADR | 85,677 | ||||||||
| 464 | Kingspan Group Plc | 53,801 | ||||||||
| 668 | Smurfit Kappa Group Plc | 34,238 | ||||||||
|
|
|
|||||||||
| Total Ireland | 348,619 | |||||||||
|
|
|
|||||||||
| Italy — 3.6% | ||||||||||
| 3,234 | Anima Holding SPA | 15,223 | ||||||||
| 3,466 | Arnoldo Mondadori Editore SPA * | 7,841 | ||||||||
| 2,057 | CNH Industrial NV | 33,764 | ||||||||
| 1,566 | De’ Longhi SPA | 52,502 | ||||||||
| 1,005 | Esprinet SPA | 13,627 | ||||||||
| 6,043 | EXOR NV | 529,796 | ||||||||
| 9,147 | Italgas SPA | 57,528 | ||||||||
| 4,523 | Mediobanca Banca di Credito Finanziario SPA | 50,032 | ||||||||
| 15,819 | Poste Italiane SPA | 198,936 | ||||||||
| 11,360 | Stellantis NV | 193,844 | ||||||||
| 28,562 | Telecom Italia SPA | 14,840 | ||||||||
| 54,281 | Telecom Italia SPA – RSP | 26,510 | ||||||||
| 1,844 | Unieuro SPA | 42,268 | ||||||||
| 10,109 | Unipol Gruppo SPA | 52,507 | ||||||||
|
|
|
|||||||||
| Total Italy | 1,289,218 | |||||||||
|
|
|
|||||||||
| Japan — 21.9% | ||||||||||
| 2,000 | AGC Inc | 97,394 | ||||||||
| 29,400 | Asahi Kasei Corp | 274,888 | ||||||||
| 35,500 | Astellas Pharma Inc | 556,652 | ||||||||
| 9,000 | Brother Industries Ltd | 154,462 | ||||||||
| 11,300 | Canon Inc | 248,518 | ||||||||
| 3,300 | Daiwa House Industry Co Ltd | 95,832 | ||||||||
| 4,800 | Daiwabo Holdings Co Ltd | 76,164 | ||||||||
| 1,200 | Dexerials Corp | 35,201 | ||||||||
| 700 | FUJIFILM Holdings Corp | 55,063 | ||||||||
| 4,500 | Fujitsu Ltd | 743,777 | ||||||||
| 10,000 | Hitachi Ltd | 585,781 | ||||||||
| 29,000 | ITOCHU Corp | 829,345 | ||||||||
| 13,100 | Japan Tobacco Inc | 260,911 | ||||||||
| 27,900 | KDDI Corp | 809,523 | ||||||||
| 2,600 | Kirin Holdings Co Ltd | 41,425 | ||||||||
| 300 | Komeri Co Ltd | 6,468 | ||||||||
| 11,100 | Konica Minolta Inc | 45,707 | ||||||||
| 21,400 | Marubeni Corp | 191,367 | ||||||||
| 1,000 | MCJ Co Ltd | 8,714 | ||||||||
| 33,500 | Mitsubishi UFJ Financial Group Inc | 176,926 | ||||||||
| 14,700 | Mitsui & Co Ltd | 330,506 | ||||||||
| 2,400 | NEC Networks & System Integration Corp | 38,289 | ||||||||
| 1,000 | Nichias Corp | 22,561 | ||||||||
| 500 | Nihon Jyoho Create Co Ltd | 4,694 | ||||||||
| 32,500 | Nippon Telegraph & Telephone Corp | 894,266 | ||||||||
| 8,200 | Panasonic Corp | 89,401 | ||||||||
| 5,500 | Renesas Electronics Corp * | 69,109 | ||||||||
| Shares | Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 2,700 | Ricoh Co Ltd | 23,821 | ||||||||
| 1,500 | Seiko Epson Corp | 24,185 | ||||||||
| 5,600 | Sekisui Chemical Co Ltd | 90,969 | ||||||||
| 6,500 | Sekisui House Ltd | 126,326 | ||||||||
| 6,320 | Sojitz Corp | 88,983 | ||||||||
| 91,100 | Sumitomo Chemical Co Ltd | 417,880 | ||||||||
| 900 | Sumitomo Forestry Co Ltd | 18,036 | ||||||||
| 200 | Tokyo Electron Ltd | 105,094 | ||||||||
| 300 | Tokyo Seimitsu Co Ltd | 12,590 | ||||||||
| 4,400 | Toyota Tsusho Corp | 190,539 | ||||||||
| 600 | Yamaha Motor Co Ltd | 15,089 | ||||||||
|
|
|
|||||||||
| Total Japan | 7,856,456 | |||||||||
|
|
|
|||||||||
| Malta — 0.0% | ||||||||||
| 1,718,063 | BGP Holdings Plc * (a) | — | ||||||||
|
|
|
|||||||||
| Netherlands — 6.5% | ||||||||||
| 320 | ASM International NV | 143,838 | ||||||||
| 1,919 | ASR Nederland NV | 81,951 | ||||||||
| 1,356 | ING Groep NV | 18,731 | ||||||||
| 16,535 | Koninklijke Ahold Delhaize NV | 556,399 | ||||||||
| 5,594 | NN Group NV | 277,963 | ||||||||
| 57,366 | PostNL NV | 245,025 | ||||||||
| 8,149 | Randstad NV | 514,209 | ||||||||
| 8,823 | Signify NV | 402,794 | ||||||||
| 5,251 | Stellantis NV | 89,919 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 2,330,829 | |||||||||
|
|
|
|||||||||
| Norway — 1.6% | ||||||||||
| 2,820 | BW LPG Ltd | 14,225 | ||||||||
| 407 | Kongsberg Gruppen ASA | 11,949 | ||||||||
| 68,755 | Norsk Hydro ASA | 445,263 | ||||||||
| 6,657 | Orkla ASA | 60,850 | ||||||||
| 1,503 | SpareBank 1 Nord Norge | 17,066 | ||||||||
| 1,754 | SpareBank 1 SR-Bank ASA | 24,238 | ||||||||
| 4,556 | XXL ASA * | 7,254 | ||||||||
|
|
|
|||||||||
| Total Norway | 580,845 | |||||||||
|
|
|
|||||||||
| Poland — 0.3% | ||||||||||
| 233 | Asseco Poland SA | 4,987 | ||||||||
| 2,026 | Bank Polska Kasa Opieki SA | 58,505 | ||||||||
| 32,447 | Polskie Gornictwo Naftowe i Gazownictwo SA | 43,756 | ||||||||
|
|
|
|||||||||
| Total Poland | 107,248 | |||||||||
|
|
|
|||||||||
| Portugal — 0.9% | ||||||||||
| 126,659 | Banco Comercial Portugues SA – Class R * | 20,615 | ||||||||
| 36,411 | EDP – Energias de Portugal SA | 199,530 | ||||||||
| 8,411 | Galp Energia SGPS SA | 78,932 | ||||||||
| 438 | Jeronimo Martins SGPS SA | 9,557 | ||||||||
|
|
|
|||||||||
| Total Portugal | 308,634 | |||||||||
|
|
|
|||||||||
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Russia — 0.5% | ||||||||||
| 9,223 | Gazprom PJSC Sponsored ADR | 81,816 | ||||||||
| 833 | QIWI Plc Sponsored ADR | 7,102 | ||||||||
| 4,680 | Sberbank of Russia PJSC Sponsored ADR | 78,865 | ||||||||
| 9,800 | Surgutneftegas PJSC | 4,858 | ||||||||
|
|
|
|||||||||
| Total Russia | 172,641 | |||||||||
|
|
|
|||||||||
| Singapore — 3.8% | ||||||||||
| 36,099 | DBS Group Holdings Ltd | 786,330 | ||||||||
| 2,000 | Jardine Cycle & Carriage Ltd | 30,959 | ||||||||
| 1,500 | Keppel Corp Ltd | 5,591 | ||||||||
| 92,700 | Wilmar International Ltd | 278,025 | ||||||||
| 252,000 | Yangzijiang Shipbuilding Holdings Ltd | 239,225 | ||||||||
| 16,000 | Yanlord Land Group Ltd | 12,749 | ||||||||
|
|
|
|||||||||
| Total Singapore | 1,352,879 | |||||||||
|
|
|
|||||||||
| South Africa — 0.2% | ||||||||||
| 4,189 | Aspen Pharmacare Holdings Ltd | 62,660 | ||||||||
| 11,423 | Netcare Ltd * | 10,361 | ||||||||
| 2,290 | Truworths International Ltd | 7,165 | ||||||||
|
|
|
|||||||||
| Total South Africa | 80,186 | |||||||||
|
|
|
|||||||||
| South Korea — 1.9% | ||||||||||
| 13,817 | BNK Financial Group Inc | 92,956 | ||||||||
| 5,869 | DGB Financial Group Inc | 44,177 | ||||||||
| 692 | E-MART Inc | 83,076 | ||||||||
| 1,634 | Hankook Tire & Technology Co Ltd | 52,979 | ||||||||
| 33,911 | Hanwha Life Insurance Co Ltd | 79,069 | ||||||||
| 2,484 | KT&G Corp | 171,217 | ||||||||
| 606 | LG Electronics Inc | 58,984 | ||||||||
| 447 | LX Semicon Co Ltd | 40,228 | ||||||||
| 121 | SK Telecom Co Ltd Sponsored ADR | 5,588 | ||||||||
| 1,150 | SL Corp | 30,011 | ||||||||
| 184 | Yuhan Corp | 8,958 | ||||||||
|
|
|
|||||||||
| Total South Korea | 667,243 | |||||||||
|
|
|
|||||||||
| Spain — 4.4% | ||||||||||
| 15,585 | Acerinox SA | 174,157 | ||||||||
| 104,982 | Banco Bilbao Vizcaya Argentaria SA | 556,575 | ||||||||
| 120,825 | Banco de Sabadell SA * | 81,587 | ||||||||
| 181,789 | Banco Santander SA | 565,228 | ||||||||
| 480 | Ebro Foods SA | 9,296 | ||||||||
| 5,598 | Industria de Diseno Textil SA | 176,957 | ||||||||
| 277 | Mediaset Espana Comunicacion SA * | 1,339 | ||||||||
| 10,328 | Unicaja Banco SA | 9,051 | ||||||||
|
|
|
|||||||||
| Total Spain | 1,574,190 | |||||||||
|
|
|
|||||||||
| Sweden — 0.6% | ||||||||||
| 974 | Investor AB – A Shares | 23,438 | ||||||||
| 736 | JM AB | 32,917 | ||||||||
| 3,682 | Skanska AB – B Shares | 84,720 | ||||||||
| 4,049 | Svenska Cellulosa AB SCA – Class B | 65,859 | ||||||||
|
|
|
|||||||||
| Total Sweden | 206,934 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) | ||||||||
| Switzerland — 6.1% | ||||||||||
| 565 | Adecco Group AG (Registered) | 26,184 | ||||||||
| 124 | ALSO Holding AG (Registered) * | 37,518 | ||||||||
| 8,755 | Novartis AG (Registered) | 697,824 | ||||||||
| 900 | Novartis AG Sponsored ADR | 71,730 | ||||||||
| 85 | Roche Holding AG | 35,245 | ||||||||
| 3,354 | Roche Holding AG – Genusschein | 1,309,436 | ||||||||
| 165 | Vetropack Holding AG (Registered) | 9,511 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 2,187,448 | |||||||||
|
|
|
|||||||||
| Taiwan — 1.7% | ||||||||||
| 17,000 | Asustek Computer Inc | 214,930 | ||||||||
| 32,000 | Chipbond Technology Corp | 77,074 | ||||||||
| 55,000 | Compal Electronics Inc | 45,669 | ||||||||
| 32,000 | Grand Pacific Petrochemical | 32,793 | ||||||||
| 1,000 | Phison Electronics Corp | 14,843 | ||||||||
| 130,000 | Pou Chen Corp | 149,376 | ||||||||
| 7,800 | Ruentex Industries Ltd | 27,843 | ||||||||
| 5,302 | TOPBI International Holdings Ltd | 2,069 | ||||||||
| 58,000 | Yuanta Financial Holding Co Ltd | 49,279 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 613,876 | |||||||||
|
|
|
|||||||||
| Thailand — 0.4% | ||||||||||
| 93,200 | AP Thailand Pcl NVDR | 24,039 | ||||||||
| 47,100 | Krung Thai Bank Pcl NVDR | 15,746 | ||||||||
| 649,600 | Sansiri Pcl NVDR | 23,115 | ||||||||
| 126,800 | Thai Union Group Pcl NVDR | 74,095 | ||||||||
|
|
|
|||||||||
| Total Thailand | 136,995 | |||||||||
|
|
|
|||||||||
| Turkey — 0.9% | ||||||||||
| 30,075 | Arcelik AS | 96,174 | ||||||||
| 3,483 | Dogus Otomotiv Servis ve Ticaret AS | 11,773 | ||||||||
| 2,517 | Ford Otomotiv Sanayi AS | 43,920 | ||||||||
| 34,351 | Haci Omer Sabanci Holding AS | 31,970 | ||||||||
| 6,615 | KOC Holding AS | 13,561 | ||||||||
| 8,376 | Tofas Turk Otomobil Fabrikasi AS | 52,134 | ||||||||
| 90,406 | Turkiye Garanti Bankasi AS | 77,149 | ||||||||
|
|
|
|||||||||
| Total Turkey | 326,681 | |||||||||
|
|
|
|||||||||
| United Kingdom — 14.4% | ||||||||||
| 17,314 | 3i Group Plc | 317,676 | ||||||||
| 16,417 | Aviva Plc | 83,787 | ||||||||
| 40,794 | Barratt Developments Plc | 377,787 | ||||||||
| 2,149 | Bellway Plc | 89,701 | ||||||||
| 9,590 | British American Tobacco Plc | 320,950 | ||||||||
| 16,900 | British American Tobacco Plc Sponsored ADR | 568,685 | ||||||||
| 259,868 | BT Group Plc * | 547,046 | ||||||||
| 7,251 | Coca-Cola HBC AG * | 223,297 | ||||||||
| 1,517 | Electrocomponents Plc | 24,437 | ||||||||
| 1,124 | Ferguson Plc | 171,104 | ||||||||
| 15,063 | Ferrexpo Plc | 57,897 | ||||||||
| 11,700 | GlaxoSmithKline Plc Sponsored ADR | 481,104 | ||||||||
| 578 | Grafton Group Plc | 8,986 | ||||||||
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| United Kingdom — continued | ||||||||||
| 1,001 | IG Group Holdings Plc | 10,302 | ||||||||
| 2,024 | Imperial Brands Plc | 41,364 | ||||||||
| 28,100 | JD Sports Fashion Plc | 83,101 | ||||||||
| 2,232 | Johnson Matthey Plc | 62,009 | ||||||||
| 72,646 | Kingfisher Plc | 305,275 | ||||||||
| 43,240 | Legal & General Group Plc | 161,540 | ||||||||
| 610 | Morgan Sindall Group Plc | 19,259 | ||||||||
| 4,582 | Next Plc | 478,704 | ||||||||
| 11,188 | Persimmon Plc | 406,580 | ||||||||
| 5,598 | Pets at Home Group Plc | 34,644 | ||||||||
| 3,490 | Plus500 Ltd | 58,943 | ||||||||
| 417 | QinetiQ Group Plc | 1,438 | ||||||||
| 2,342 | Reach Plc | 7,979 | ||||||||
| 1,961 | Redrow Plc | 16,842 | ||||||||
| 14,797 | Royal Mail Plc | 98,548 | ||||||||
| 1,089 | Schroders Plc | 49,663 | ||||||||
| 6,565 | Spirent Communications Plc | 23,685 | ||||||||
| 3,616 | Tate & Lyle Plc | 30,294 | ||||||||
| 1,290 | Vistry Group Plc | 18,365 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 5,180,992 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $30,356,917) |
34,729,738 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (b) — 1.0% | ||||||||||
| Brazil — 0.0% | ||||||||||
| 12,500 | Cia Paranaense de Energia – Class B | 13,652 | ||||||||
|
|
|
|||||||||
| Germany — 0.9% | ||||||||||
| 1,035 | Bayerische Motoren Werke AG | 81,157 | ||||||||
| 186 | Draegerwerk AG & Co KGaA | 12,030 | ||||||||
| 1,717 | Henkel AG & Co KGaA | 135,472 | ||||||||
| 464 | Volkswagen AG | 84,770 | ||||||||
|
|
|
|||||||||
| Total Germany | 313,429 | |||||||||
|
|
|
|||||||||
| South Korea — 0.1% | ||||||||||
| 501 | LG Electronics Inc | 24,716 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $372,974) |
351,797 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 3.6% | ||||||||||
| United States — 3.6% | ||||||||||
| Affiliated Issuers — 3.6% | ||||||||||
| 255,210 | GMO U.S. Treasury Fund | 1,283,706 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $1,283,675) |
1,283,706 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
| Money Market Funds — 0.0% | ||||||||||
| 15,450 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c) | 15,450 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $15,450) |
15,450 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 101.4% (Cost $32,029,016) |
36,380,691 | |||||||||
| Other Assets and Liabilities (net) — (1.4%) | (495,261 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 35,885,430 | ||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Futures Contracts
| Number |
Type | Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 3 | MSCI EAFE | December 2021 | $ | 335,325 | $ | (18,683 | ) | |||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of November 30, 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 November 30, 2021. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
NVDR - Non-Voting Depositary Receipt
PJSC - Private Joint-Stock Company
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| COMMON STOCKS — 95.6% |
| |||||||||
| Automobiles & Components — 0.6% | ||||||||||
| 67,014 | Dana, Inc. | 1,440,801 | ||||||||
| 8,321 | Lear Corp. | 1,396,181 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 2,836,982 | |||||||||
|
|
|
|||||||||
| Banks — 1.2% | ||||||||||
| 46,092 | Associated Banc-Corp. | 1,009,415 | ||||||||
| 8,000 | Atlantic Union Bankshares Corp. | 260,080 | ||||||||
| 17,951 | East West Bancorp, Inc. | 1,382,227 | ||||||||
| 12,900 | Eastern Bankshares, Inc. | 259,677 | ||||||||
| 5,649 | Flagstar Bancorp, Inc. | 262,904 | ||||||||
| 12,300 | Great Western Bancorp, Inc. | 412,665 | ||||||||
| 3,476 | Popular, Inc. | 270,502 | ||||||||
| 49,700 | Radian Group, Inc. | 1,012,389 | ||||||||
| 387 | SVB Financial Group * | 267,932 | ||||||||
| 3,300 | Towne Bank | 100,947 | ||||||||
| 5,100 | TriCo Bancshares | 215,016 | ||||||||
| 4,700 | Trustmark Corp. | 143,867 | ||||||||
| 2,700 | UMB Financial Corp. | 271,566 | ||||||||
| 818 | Wintrust Financial Corp. | 71,600 | ||||||||
|
|
|
|||||||||
| Total Banks | 5,940,787 | |||||||||
|
|
|
|||||||||
| Capital Goods — 9.2% | ||||||||||
| 1,053 | AGCO Corp. | 116,051 | ||||||||
| 9,600 | Allison Transmission Holdings, Inc. | 332,064 | ||||||||
| 5,300 | Applied Industrial Technologies, Inc. | 503,712 | ||||||||
| 13,100 | Atkore, Inc. * | 1,395,150 | ||||||||
| 5,547 | Boise Cascade Co. | 359,612 | ||||||||
| 7,502 | Carlisle Cos, Inc. | 1,689,450 | ||||||||
| 74,853 | Carrier Global Corp. | 4,051,044 | ||||||||
| 5,200 | Caterpillar, Inc. | 1,005,420 | ||||||||
| 13,206 | Cummins, Inc. | 2,769,959 | ||||||||
| 2,300 | Deere & Co. | 794,742 | ||||||||
| 2,900 | Dover Corp. | 475,165 | ||||||||
| 8,900 | Eaton Corp Plc | 1,442,334 | ||||||||
| 13,750 | EMCOR Group, Inc. | 1,640,925 | ||||||||
| 91,843 | Fortive Corp. | 6,784,442 | ||||||||
| 3,000 | Fortune Brands Home & Security, Inc. | 301,590 | ||||||||
| 20,400 | Gates Industrial Corp Plc * | 327,012 | ||||||||
| 3,600 | ITT, Inc. | 340,488 | ||||||||
| 14,883 | Mueller Industries, Inc. | 823,476 | ||||||||
| 14,700 | Otis Worldwide Corp. | 1,181,880 | ||||||||
| 47,781 | Owens Corning | 4,053,740 | ||||||||
| 2,478 | Parker-Hannifin Corp. | 748,505 | ||||||||
| 10,500 | Primoris Services Corp. | 235,410 | ||||||||
| 1,000 | Snap-on, Inc. | 205,910 | ||||||||
| 2,963 | Stanley Black & Decker, Inc. | 517,814 | ||||||||
| 73,717 | Textron, Inc. | 5,219,164 | ||||||||
| 3,561 | Timken Co. (The) | 234,421 | ||||||||
| 22,848 | Trane Technologies Plc | 4,264,579 | ||||||||
| 25,336 | UFP Industries, Inc. | 2,109,982 | ||||||||
| Shares | Description | Value ($) | ||||||||
| Capital Goods — continued | ||||||||||
| 515 | WW Grainger, Inc. | 247,926 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 44,171,967 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 1.8% | ||||||||||
| 14,300 | ABM Industries, Inc. | 643,500 | ||||||||
| 63,900 | ACCO Brands Corp. | 527,814 | ||||||||
| 9,600 | Deluxe Corp. | 324,864 | ||||||||
| 2,700 | Heidrick & Struggles International, Inc. | 116,559 | ||||||||
| 6,028 | HNI Corp. | 238,166 | ||||||||
| 11,200 | ICF International, Inc. | 1,083,488 | ||||||||
| 9,400 | Kforce, Inc. | 720,322 | ||||||||
| 9,507 | ManpowerGroup, Inc. | 852,113 | ||||||||
| 4,000 | Matthews International Corp. – Class A | 138,680 | ||||||||
| 17,500 | Republic Services, Inc. | 2,314,550 | ||||||||
| 6,600 | Resources Connection, Inc. | 113,388 | ||||||||
| 3,500 | Robert Half International, Inc. | 389,095 | ||||||||
| 54,744 | Steelcase, Inc. – Class A | 612,585 | ||||||||
| 1,000 | Tetra Tech, Inc. | 184,680 | ||||||||
| 3,000 | TrueBlue, Inc. * | 78,060 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 8,337,864 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 4.7% | ||||||||||
| 11,000 | Acushnet Holdings Corp. | 598,180 | ||||||||
| 500 | Century Communities, Inc. | 35,535 | ||||||||
| 1,874 | Deckers Outdoor Corp. * | 759,720 | ||||||||
| 4,526 | DR Horton, Inc. | 442,190 | ||||||||
| 29,000 | Ethan Allen Interiors, Inc. | 652,500 | ||||||||
| 36,941 | Garmin Ltd. | 4,933,101 | ||||||||
| 13,181 | La-Z-Boy, Inc. | 440,114 | ||||||||
| 26,168 | MDC Holdings, Inc. | 1,251,877 | ||||||||
| 3,200 | Meritage Homes Corp. * | 361,152 | ||||||||
| 6,605 | Mohawk Industries, Inc. * | 1,108,781 | ||||||||
| 53,730 | PulteGroup, Inc. | 2,688,112 | ||||||||
| 11,900 | Steven Madden Ltd. | 564,655 | ||||||||
| 44,800 | Taylor Morrison Home Corp. * | 1,391,488 | ||||||||
| 60,517 | Tempur Sealy International, Inc. | 2,592,548 | ||||||||
| 88,052 | TRI Pointe Homes, Inc. * | 2,198,659 | ||||||||
| 8,000 | Vista Outdoor, Inc. * | 349,360 | ||||||||
| 10,300 | Whirlpool Corp. | 2,242,722 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 22,610,694 | |||||||||
|
|
|
|||||||||
| Consumer Services — 0.3% | ||||||||||
| 17,900 | Adtalem Global Education, Inc.* | 531,093 | ||||||||
| 1,100 | Graham Holdings Co. – Class B | 623,172 | ||||||||
| 17,275 | Perdoceo Education Corp. * | 170,159 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 1,324,424 | |||||||||
|
|
|
|||||||||
| Diversified Financials — 7.4% | ||||||||||
| 600 | Affiliated Managers Group, Inc. | 102,078 | ||||||||
| 42,507 | Ally Financial, Inc. | 1,948,096 | ||||||||
| 10,210 | Bank of New York Mellon Corp. (The) | 559,406 | ||||||||
| 14,700 | Donnelley Financial Solutions, Inc. * | 686,784 | ||||||||
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Diversified Financials — continued | ||||||||||
| 26,243 | Enova International, Inc. * | 1,000,383 | ||||||||
| 47,300 | Equitable Holdings, Inc. | 1,488,058 | ||||||||
| 9,900 | FactSet Research Systems, Inc. | 4,638,843 | ||||||||
| 28,711 | Federated Hermes, Inc. | 967,848 | ||||||||
| 14,300 | Franklin Resources, Inc. | 463,320 | ||||||||
| 8,100 | Goldman Sachs Group, Inc. (The) | 3,086,019 | ||||||||
| 24,500 | Intercontinental Exchange, Inc. | 3,202,640 | ||||||||
| 41,900 | Invesco Ltd. | 935,627 | ||||||||
| 3,600 | Janus Henderson Group Plc | 153,828 | ||||||||
| 2,200 | MSCI, Inc. | 1,384,790 | ||||||||
| 900 | Nasdaq, Inc. | 182,907 | ||||||||
| 9,500 | Nelnet, Inc. – Class A | 818,900 | ||||||||
| 11,678 | OneMain Holdings, Inc. | 581,448 | ||||||||
| 3,247 | PROG Holdings, Inc. | 146,505 | ||||||||
| 58,470 | Raymond James Financial, Inc. | 5,747,016 | ||||||||
| 47,900 | Santander Consumer USA Holdings, Inc. | 1,999,825 | ||||||||
| 17,413 | SEI Investments Co. | 1,038,337 | ||||||||
| 20,723 | State Street Corp. | 1,843,725 | ||||||||
| 15,503 | Synchrony Financial | 694,379 | ||||||||
| 6,800 | T. Rowe Price Group, Inc. | 1,359,660 | ||||||||
| 2,900 | Victory Capital Holdings, Inc. – Class A | 101,674 | ||||||||
| 12,700 | Virtu Financial, Inc. – Class A | 357,886 | ||||||||
|
|
|
|||||||||
| Total Diversified Financials | 35,489,982 | |||||||||
|
|
|
|||||||||
| Energy — 0.2% | ||||||||||
| 4,459 | Exxon Mobil Corp. | 266,826 | ||||||||
| 5,800 | Whiting Petroleum Corp. * | 375,202 | ||||||||
| 4,019 | World Fuel Services Corp. | 100,435 | ||||||||
|
|
|
|||||||||
| Total Energy | 742,463 | |||||||||
|
|
|
|||||||||
| Food & Staples Retailing — 1.5% | ||||||||||
| 160,645 | Kroger Co. (The) | 6,671,587 | ||||||||
| 10,300 | SpartanNash Co. | 246,479 | ||||||||
| 7,100 | Weis Markets, Inc. | 446,945 | ||||||||
|
|
|
|||||||||
| Total Food & Staples Retailing | 7,365,011 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 4.8% | ||||||||||
| 44,363 | Archer-Daniels-Midland Co. | 2,759,822 | ||||||||
| 8,100 | General Mills, Inc. | 500,337 | ||||||||
| 119,529 | Mondelez International, Inc. – Class A | 7,045,040 | ||||||||
| 108,100 | Philip Morris International, Inc. | 9,290,114 | ||||||||
| 22,300 | Tyson Foods, Inc. – Class A | 1,760,808 | ||||||||
| 37,865 | Universal Corp. | 1,763,373 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 23,119,494 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 2.5% | ||||||||||
| 40,241 | AmerisourceBergen Corp. | 4,657,896 | ||||||||
| 12,500 | Anthem, Inc. | 5,077,875 | ||||||||
| 3,600 | Henry Schein, Inc. * | 255,816 | ||||||||
| 8,381 | McKesson Corp. | 1,816,665 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 11,808,252 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) | ||||||||
| Household & Personal Products — 1.0% | ||||||||||
| 42,018 | Colgate-Palmolive Co. | 3,152,190 | ||||||||
| 1,900 | Estee Lauder Cos, Inc. (The) – Class A | 630,933 | ||||||||
| 8,300 | Procter & Gamble Co. (The) | 1,200,014 | ||||||||
|
|
|
|||||||||
| Total Household & Personal Products | 4,983,137 | |||||||||
|
|
|
|||||||||
| Insurance — 5.2% | ||||||||||
| 36,486 | Allstate Corp. (The) | 3,966,758 | ||||||||
| 9,200 | CNA Financial Corp. | 383,088 | ||||||||
| 18,700 | CNO Financial Group, Inc. | 423,742 | ||||||||
| 78,822 | Fidelity National Financial, Inc. | 3,855,184 | ||||||||
| 66,315 | First American Financial Corp. | 4,919,247 | ||||||||
| 9,100 | Marsh & McLennan Cos., Inc. | 1,492,582 | ||||||||
| 80,800 | MetLife, Inc. | 4,739,728 | ||||||||
| 16,809 | Principal Financial Group, Inc. | 1,152,761 | ||||||||
| 28,363 | Stewart Information Services Corp. | 2,020,013 | ||||||||
| 7,800 | Willis Towers Watson Plc | 1,761,552 | ||||||||
|
|
|
|||||||||
| Total Insurance | 24,714,655 | |||||||||
|
|
|
|||||||||
| Materials — 4.0% | ||||||||||
| 12,000 | AdvanSix, Inc. | 543,480 | ||||||||
| 5,853 | Arconic Corp. * | 156,392 | ||||||||
| 13,393 | Avery Dennison Corp. | 2,746,502 | ||||||||
| 29,769 | Avient Corp. | 1,637,593 | ||||||||
| 16,600 | Cabot Corp. | 871,168 | ||||||||
| 18,800 | Commercial Metals Co. | 580,920 | ||||||||
| 5,407 | Crown Holdings, Inc. | 572,061 | ||||||||
| 26,472 | Eastman Chemical Co. | 2,760,765 | ||||||||
| 7,693 | FMC Corp. | 770,762 | ||||||||
| 42,300 | Huntsman Corp. | 1,340,487 | ||||||||
| 11,257 | LyondellBasell Industries NV – Class A | 980,822 | ||||||||
| 4,073 | NewMarket Corp. | 1,349,385 | ||||||||
| 1,859 | Nucor Corp. | 197,537 | ||||||||
| 6,700 | O-I Glass, Inc. * | 74,169 | ||||||||
| 18,196 | Reliance Steel & Aluminum Co. | 2,704,471 | ||||||||
| 2,600 | Schnitzer Steel Industries, Inc. – Class A | 125,060 | ||||||||
| 3,674 | Stepan Co. | 414,097 | ||||||||
| 11,500 | Trinseo Plc | 543,145 | ||||||||
| 8,600 | Westlake Chemical Corp. | 799,112 | ||||||||
|
|
|
|||||||||
| Total Materials | 19,167,928 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 5.0% | ||||||||||
| 2,100 | Alphabet, Inc. – Class A * | 5,959,695 | ||||||||
| 2,073 | Alphabet, Inc. – Class C * | 5,906,060 | ||||||||
| 2,300 | AMC Networks, Inc. – Class A * | 88,803 | ||||||||
| 9,800 | Cars.com, Inc. * | 163,464 | ||||||||
| 17,833 | Comcast Corp. – Class A | 891,293 | ||||||||
| 4,642 | Electronic Arts, Inc. | 576,629 | ||||||||
| 3,400 | Fox Corp. – Class A | 121,414 | ||||||||
| 2,900 | Fox Corp. – Class B | 97,440 | ||||||||
| 12,900 | iHeartMedia, Inc. – Class A * | 252,969 | ||||||||
| 40,094 | Interpublic Group of Cos., Inc. (The) | 1,330,720 | ||||||||
| 23,400 | Meta Platforms, Inc. – Class A * | 7,592,364 | ||||||||
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Media & Entertainment — continued | ||||||||||
| 19,100 | News Corp. – Class A | 412,942 | ||||||||
| 5,100 | News Corp. – Class B | 109,905 | ||||||||
| 29,918 | TEGNA, Inc. | 590,881 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 24,094,579 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 7.6% | ||||||||||
| 89,441 | Bristol-Myers Squibb Co. | 4,796,721 | ||||||||
| 22,076 | Eli Lilly & Co. | 5,475,731 | ||||||||
| 33,800 | Johnson & Johnson | 5,270,434 | ||||||||
| 145,050 | Merck & Co., Inc. | 10,865,696 | ||||||||
| 164,276 | Pfizer, Inc. | 8,826,549 | ||||||||
| 18,195 | Prestige Consumer Healthcare, Inc. * | 1,018,010 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 36,253,141 | |||||||||
|
|
|
|||||||||
| Real Estate — 1.7% | ||||||||||
| 48,300 | CBRE Group, Inc. – Class A* | 4,616,031 | ||||||||
| 2,000 | Jones Lang LaSalle, Inc. * | 469,820 | ||||||||
| 32,300 | PotlatchDeltic Corp. (REIT) | 1,748,722 | ||||||||
| 76,920 | Realogy Holdings Corp. * | 1,168,415 | ||||||||
|
|
|
|||||||||
| Total Real Estate | 8,002,988 | |||||||||
|
|
|
|||||||||
| Retailing — 9.6% | ||||||||||
| 32,268 | Abercrombie & Fitch Co. – Class A * | 1,161,648 | ||||||||
| 29,400 | Academy Sports & Outdoors, Inc. * | 1,311,828 | ||||||||
| 1,974 | Amazon.com, Inc. * | 6,922,956 | ||||||||
| 7,048 | Asbury Automotive Group, Inc. * | 1,153,335 | ||||||||
| 15,766 | AutoNation, Inc. * | 1,952,619 | ||||||||
| 9,839 | Bath & Body Works, Inc. | 739,204 | ||||||||
| 5,863 | Big Lots, Inc. | 254,337 | ||||||||
| 72,256 | Gap Inc. (The) | 1,194,392 | ||||||||
| 29,300 | Genuine Parts Co. | 3,742,782 | ||||||||
| 6,554 | Group 1 Automotive, Inc. | 1,276,392 | ||||||||
| 5,900 | Haverty Furniture Cos, Inc. | 176,469 | ||||||||
| 3,600 | Kohl’s Corp. | 184,428 | ||||||||
| 14,115 | Lowe’s Cos., Inc. | 3,452,388 | ||||||||
| 12,267 | Murphy U.S.A., Inc. | 2,126,239 | ||||||||
| 22,696 | Penske Automotive Group, Inc. | 2,260,976 | ||||||||
| 212,778 | Qurate Retail, Inc. – Series A | 1,702,224 | ||||||||
| 7,179 | Rent-A-Center, Inc. | 317,096 | ||||||||
| 10,800 | Shoe Carnival, Inc. | 422,280 | ||||||||
| 19,200 | Signet Jewelers Ltd. | 1,865,088 | ||||||||
| 3,577 | Sleep Number Corp. * | 285,373 | ||||||||
| 45,104 | Target Corp. | 10,998,159 | ||||||||
| 14,800 | Tilly’s, Inc. – A Shares | 222,296 | ||||||||
| 1,500 | Urban Outfitters, Inc. * | 47,505 | ||||||||
| 11,910 | Williams-Sonoma, Inc. | 2,320,544 | ||||||||
|
|
|
|||||||||
| Total Retailing | 46,090,558 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 4.1% | ||||||||||
| 15,900 | Amkor Technology, Inc. | 342,804 | ||||||||
| 1,392 | Cirrus Logic, Inc. * | 111,610 | ||||||||
| 76,643 | Intel Corp. | 3,770,836 | ||||||||
| Shares | Description | Value ($) | ||||||||
| Semiconductors & Semiconductor Equipment — continued | ||||||||||
| 21,600 | Kulicke & Soffa Industries, Inc. | 1,245,456 | ||||||||
| 18,600 | NVIDIA Corp. | 6,077,736 | ||||||||
| 43,500 | QUALCOMM, Inc. | 7,854,360 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 19,402,802 | |||||||||
|
|
|
|||||||||
| Software & Services — 9.8% | ||||||||||
| 8,700 | Accenture Plc – Class A | 3,109,380 | ||||||||
| 44,047 | Amdocs Ltd. | 3,075,362 | ||||||||
| 14,722 | Cadence Design Systems, Inc. * | 2,612,566 | ||||||||
| 4,300 | Citrix Systems, Inc. | 345,849 | ||||||||
| 6,000 | CSG Systems International, Inc. | 316,260 | ||||||||
| 38,100 | Genpact Ltd. | 1,839,087 | ||||||||
| 16,000 | International Business Machines Corp. | 1,873,600 | ||||||||
| 721 | Intuit, Inc. | 470,308 | ||||||||
| 3,200 | Kyndryl Holdings, Inc. * | 50,560 | ||||||||
| 84,919 | Microsoft Corp. | 28,073,372 | ||||||||
| 59,646 | NortonLifeLock, Inc. | 1,482,203 | ||||||||
| 10,174 | Synopsys, Inc. * | 3,469,334 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 46,717,881 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 11.6% | ||||||||||
| 109,324 | Apple, Inc. | 18,071,257 | ||||||||
| 34,237 | Arrow Electronics, Inc. * | 4,164,931 | ||||||||
| 28,022 | Avnet, Inc. | 1,016,358 | ||||||||
| 21,300 | Ciena Corp. * | 1,282,899 | ||||||||
| 166,252 | Cisco Systems, Inc. | 9,117,260 | ||||||||
| 5,100 | CTS Corp. | 177,684 | ||||||||
| 19,100 | Dell Technologies – Class C * | 1,078,577 | ||||||||
| 229,744 | HP, Inc. | 8,105,368 | ||||||||
| 70,450 | Juniper Networks, Inc. | 2,193,108 | ||||||||
| 12,400 | Methode Electronics, Inc. | 551,428 | ||||||||
| 2,600 | NetApp, Inc. | 231,088 | ||||||||
| 4,200 | Plexus Corp. * | 353,388 | ||||||||
| 19,486 | Seagate Technology Holdings Plc | 2,000,628 | ||||||||
| 8,600 | Super Micro Computer, Inc. * | 356,040 | ||||||||
| 22,119 | TE Connectivity Ltd. | 3,404,778 | ||||||||
| 74,600 | Vishay Intertechnology, Inc. | 1,519,602 | ||||||||
| 5,300 | Western Digital Corp. * | 306,552 | ||||||||
| 83,495 | Xerox Holdings Corp. | 1,537,978 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 55,468,924 | |||||||||
|
|
|
|||||||||
| Telecommunication Services — 1.8% | ||||||||||
| 41,400 | AT&T, Inc. | 945,162 | ||||||||
| 8,300 | Liberty Global Plc – Class A * | 219,120 | ||||||||
| 27,358 | Telephone & Data Systems, Inc. | 483,689 | ||||||||
| 8,100 | United States Cellular Corp. * | 235,791 | ||||||||
| 133,240 | Verizon Communications, Inc. | 6,697,975 | ||||||||
|
|
|
|||||||||
| Total Telecommunication Services | 8,581,737 | |||||||||
|
|
|
|||||||||
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Transportation — 0.0% | ||||||||||
| 6,600 | Schneider National, Inc. – Class B | 162,360 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $398,837,702) |
457,388,610 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 0.8% | ||||||||||
| Affiliated Issuers — 0.8% | ||||||||||
| 785,367 | GMO U.S. Treasury Fund | 3,950,395 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $3,955,028) |
3,950,395 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 266,614 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 266,614 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $266,614) |
266,614 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 96.5% (Cost $403,059,344) |
461,605,619 | |||||||||
| Other Assets and Liabilities (net) — 3.5% | 16,848,680 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $478,454,299 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 79 | S&P 500 E-Mini | December 2021 | $ | 18,036,688 | $ | 34,515 | ||||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of November 30, 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 November 30, 2021. |
Portfolio Abbreviations:
REIT - Real Estate Investment Trust
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| COMMON STOCKS — 98.1% |
| |||||||||
| Automobiles & Components — 0.5% | ||||||||||
| 68,400 | Dana, Inc. | 1,470,600 | ||||||||
|
|
|
|||||||||
| Banks — 17.3% | ||||||||||
| 10,306 | 1st Source Corp. | 476,653 | ||||||||
| 19,725 | Amalgamated Financial Corp. | 333,747 | ||||||||
| 2,648 | Arrow Financial Corp. | 91,356 | ||||||||
| 213,099 | Associated Banc-Corp. | 4,666,868 | ||||||||
| 28,700 | Atlantic Union Bankshares Corp. | 933,037 | ||||||||
| 17,465 | Banner Corp. | 1,000,395 | ||||||||
| 9,000 | BCB Bancorp, Inc. | 132,210 | ||||||||
| 46,291 | Brookline Bancorp, Inc. | 714,270 | ||||||||
| 3,700 | Camden National Corp. | 169,534 | ||||||||
| 53,676 | Cathay General Bancorp | 2,249,561 | ||||||||
| 7,200 | Central Valley Community Bancorp | 151,200 | ||||||||
| 4,670 | Civista Bancshares, Inc. | 109,885 | ||||||||
| 7,567 | CNB Financial Corp. | 199,390 | ||||||||
| 8,996 | Community Trust Bancorp, Inc. | 377,832 | ||||||||
| 23,590 | Customers Bancorp, Inc. * | 1,359,728 | ||||||||
| 20,404 | Enterprise Financial Services Corp. | 946,133 | ||||||||
| 8,500 | Farmers National Banc Corp. | 149,515 | ||||||||
| 1,300 | Federal Agricultural Mortgage Corp. – Class C | 158,236 | ||||||||
| 13,204 | Financial Institutions, Inc. | 406,683 | ||||||||
| 62,035 | First BanCorp/Puerto Rico | 824,445 | ||||||||
| 78,368 | First Commonwealth Financial Corp. | 1,177,871 | ||||||||
| 6,905 | First Community Bankshares, Inc. | 225,794 | ||||||||
| 56,598 | First Financial Bancorp | 1,301,754 | ||||||||
| 7,500 | First Financial Corp. | 325,950 | ||||||||
| 52,000 | First Midwest Bancorp, Inc. | 1,025,960 | ||||||||
| 116,212 | Flagstar Bancorp, Inc. | 5,408,506 | ||||||||
| 12,153 | Flushing Financial Corp. | 287,054 | ||||||||
| 117,766 | Fulton Financial Corp. | 1,859,525 | ||||||||
| 4,912 | Great Southern Bancorp, Inc. | 273,255 | ||||||||
| 49,500 | Great Western Bancorp, Inc. | 1,660,725 | ||||||||
| 26,289 | Hanmi Financial Corp. | 590,714 | ||||||||
| 26,800 | Heartland Financial USA, Inc. | 1,273,000 | ||||||||
| 106,500 | Hope Bancorp, Inc. | 1,528,275 | ||||||||
| 4,800 | Horizon Bancorp, Inc. | 93,120 | ||||||||
| 14,791 | Independent Bank Corp. | 333,537 | ||||||||
| 41,051 | International Bancshares Corp. | 1,724,553 | ||||||||
| 3,300 | LCNB Corp. | 63,195 | ||||||||
| 5,636 | Mercantile Bank Corp. | 189,257 | ||||||||
| 4,348 | Merchants Bancorp | 198,312 | ||||||||
| 5,200 | Meta Financial Group, Inc. | 310,804 | ||||||||
| 4,800 | MidWestOne Financial Group, Inc. | 147,840 | ||||||||
| 21,126 | NBT Bancorp, Inc. | 762,860 | ||||||||
| 30,100 | Northwest Bancshares, Inc. | 399,728 | ||||||||
| 89,680 | OFG Bancorp | 2,161,288 | ||||||||
| 49,911 | Provident Financial Services, Inc. | 1,174,905 | ||||||||
| 7,000 | QCR Holdings, Inc. | 377,580 | ||||||||
| 59,500 | Radian Group, Inc. | 1,212,015 | ||||||||
| 5,395 | RBB Bancorp | 131,962 | ||||||||
| Shares | Description | Value ($) | ||||||||
| Banks — continued | ||||||||||
| 2,013 | Republic Bancorp, Inc. – Class A | 103,126 | ||||||||
| 1,890 | Sierra Bancorp | 47,590 | ||||||||
| 27,696 | Towne Bank | 847,221 | ||||||||
| 19,886 | TriCo Bancshares | 838,394 | ||||||||
| 12,720 | TrustCo Bank Corp. NY | 415,435 | ||||||||
| 39,343 | Trustmark Corp. | 1,204,289 | ||||||||
| 12,729 | Univest Financial Corp. | 350,939 | ||||||||
| 38,567 | Waterstone Financial, Inc. | 800,265 | ||||||||
| 19,089 | Wintrust Financial Corp. | 1,670,860 | ||||||||
|
|
|
|||||||||
| Total Banks | 47,948,136 | |||||||||
|
|
|
|||||||||
| Capital Goods — 10.3% | ||||||||||
| 14,300 | Allison Transmission Holdings, Inc. | 494,637 | ||||||||
| 16,598 | Apogee Enterprises, Inc. | 685,498 | ||||||||
| 20,871 | Applied Industrial Technologies, Inc. | 1,983,580 | ||||||||
| 37,300 | Atkore, Inc. * | 3,972,450 | ||||||||
| 5,981 | Ducommun, Inc. * | 254,252 | ||||||||
| 9,221 | EMCOR Group, Inc. | 1,100,434 | ||||||||
| 102,700 | Gates Industrial Corp Plc * | 1,646,281 | ||||||||
| 20,370 | Hyster-Yale Materials Handling, Inc. | 799,726 | ||||||||
| 10,547 | Insteel Industries, Inc. | 444,662 | ||||||||
| 3,668 | Miller Industries, Inc. | 119,980 | ||||||||
| 29,119 | Moog, Inc. – Class A | 2,014,161 | ||||||||
| 49,655 | Mueller Industries, Inc. | 2,747,411 | ||||||||
| 8,600 | MYR Group, Inc. * | 952,106 | ||||||||
| 11,352 | Park-Ohio Holdings Corp. | 239,641 | ||||||||
| 2,496 | Preformed Line Products Co. | 157,623 | ||||||||
| 78,395 | Primoris Services Corp. | 1,757,616 | ||||||||
| 6,300 | Quanex Building Products Corp. | 134,631 | ||||||||
| 81,035 | Resideo Technologies, Inc. * | 2,114,203 | ||||||||
| 6,400 | Tennant Co. | 503,424 | ||||||||
| 15,226 | Tutor Perini Corp. * | 195,806 | ||||||||
| 39,319 | UFP Industries, Inc. | 3,274,486 | ||||||||
| 27,748 | Vectrus, Inc. * | 1,160,976 | ||||||||
| 14,835 | Veritiv Corp. * | 1,869,804 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 28,623,388 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 6.6% | ||||||||||
| 23,100 | ABM Industries, Inc. | 1,039,500 | ||||||||
| 229,049 | ACCO Brands Corp. | 1,891,945 | ||||||||
| 26,935 | Brady Corp. – Class A | 1,353,484 | ||||||||
| 5,680 | CRA International, Inc. | 522,958 | ||||||||
| 43,979 | Deluxe Corp. | 1,488,249 | ||||||||
| 17,471 | Heidrick & Struggles International, Inc. | 754,223 | ||||||||
| 30,534 | HNI Corp. | 1,206,398 | ||||||||
| 10,300 | ICF International, Inc. | 996,422 | ||||||||
| 48,318 | Interface, Inc. – Class A | 689,015 | ||||||||
| 44,200 | Kelly Services, Inc. – Class A | 745,212 | ||||||||
| 18,518 | Kforce, Inc. | 1,419,034 | ||||||||
| 77,773 | Kimball International, Inc. – Class B | 796,395 | ||||||||
| 19,160 | Matthews International Corp. – Class A | 664,277 | ||||||||
| 109,600 | Pitney Bowes, Inc. | 748,568 | ||||||||
| 35,500 | Quad/Graphics, Inc. * | 142,710 | ||||||||
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Commercial & Professional Services — continued | ||||||||||
| 48,790 | Resources Connection, Inc. | 838,212 | ||||||||
| 59,800 | RR Donnelley & Sons Co. * | 631,488 | ||||||||
| 159,893 | Steelcase, Inc. – Class A | 1,789,203 | ||||||||
| 24,293 | TrueBlue, Inc. * | 632,104 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 18,349,397 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 6.5% | ||||||||||
| 1,600 | Acushnet Holdings Corp. | 87,008 | ||||||||
| 11,200 | Bassett Furniture Industries, Inc. | 170,688 | ||||||||
| 4,852 | Clarus Corp. | 128,044 | ||||||||
| 109,977 | Ethan Allen Interiors, Inc. | 2,474,483 | ||||||||
| 55,533 | G-III Apparel Group Ltd. * | 1,645,998 | ||||||||
| 8,846 | Hooker Furniture Corp. | 210,004 | ||||||||
| 4,922 | Johnson Outdoors, Inc. – Class A | 512,085 | ||||||||
| 59,991 | La-Z-Boy, Inc. | 2,003,099 | ||||||||
| 48,145 | MDC Holdings, Inc. | 2,303,257 | ||||||||
| 42,435 | Movado Group, Inc. | 1,904,058 | ||||||||
| 6,800 | Steven Madden Ltd. | 322,660 | ||||||||
| 212,292 | TRI Pointe Homes, Inc. * | 5,300,931 | ||||||||
| 4,769 | Universal Electronics, Inc. * | 172,638 | ||||||||
| 64,551 | Vera Bradley, Inc. * | 613,880 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 17,848,833 | |||||||||
|
|
|
|||||||||
| Consumer Services — 0.4% | ||||||||||
| 24,800 | Adtalem Global Education, Inc. * | 735,816 | ||||||||
| 252 | Graham Holdings Co. – Class B | 142,763 | ||||||||
| 20,100 | Lincoln Educational Services Corp. * | 141,705 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 1,020,284 | |||||||||
|
|
|
|||||||||
| Diversified Financials — 6.6% | ||||||||||
| 2,100 | A-Mark Precious Metals, Inc. | 145,425 | ||||||||
| 16,400 | Blucora, Inc. * | 265,516 | ||||||||
| 9,800 | Cowen, Inc. – Class A | 346,724 | ||||||||
| 84,371 | Curo Group Holdings Corp. | 1,399,715 | ||||||||
| 1,208 | Diamond Hill Investment Group, Inc. | 232,045 | ||||||||
| 86,004 | Donnelley Financial Solutions, Inc. * | 4,018,107 | ||||||||
| 7,400 | Encore Capital Group, Inc. * | 431,716 | ||||||||
| 123,709 | Enova International, Inc. * | 4,715,787 | ||||||||
| 108,702 | Federated Hermes, Inc. | 3,664,344 | ||||||||
| 8,000 | Nelnet, Inc. – Class A | 689,600 | ||||||||
| 13,700 | Oppenheimer Holdings, Inc. – Class A | 671,848 | ||||||||
| 8,400 | Regional Management Corp. | 475,104 | ||||||||
| 25,200 | Sculptor Capital Management, Inc. – Class A | 456,624 | ||||||||
| 4,200 | StoneX Group, Inc. * | 235,935 | ||||||||
| 10,000 | Victory Capital Holdings, Inc. – Class A | 350,600 | ||||||||
| 14,814 | Westwood Holdings Group, Inc. | 240,135 | ||||||||
|
|
|
|||||||||
| Total Diversified Financials | 18,339,225 | |||||||||
|
|
|
|||||||||
| Energy — 3.3% | ||||||||||
| 20,800 | Centennial Resource Development Inc. – Class A * | 129,584 | ||||||||
| 47,260 | Evolution Petroleum Corp. | 234,882 | ||||||||
| 18,031 | Geospace Technologies Corp. * | 155,247 | ||||||||
| Shares | Description | Value ($) | ||||||||
| Energy — continued | ||||||||||
| 9,500 | Laredo Petroleum, Inc. * | 559,550 | ||||||||
| 27,900 | Northern Oil and Gas, Inc. | 568,602 | ||||||||
| 108,392 | SM Energy Co. | 3,143,368 | ||||||||
| 5,700 | Whiting Petroleum Corp. * | 368,733 | ||||||||
| 157,997 | World Fuel Services Corp. | 3,948,345 | ||||||||
|
|
|
|||||||||
| Total Energy | 9,108,311 | |||||||||
|
|
|
|||||||||
| Food & Staples Retailing — 0.9% | ||||||||||
| 10,501 | Ingles Markets, Inc. – Class A | 806,267 | ||||||||
| 14,200 | Natural Grocers by Vitamin Cottage, Inc. | 182,612 | ||||||||
| 36,609 | SpartanNash Co. | 876,053 | ||||||||
| 2,800 | Village Super Market, Inc. – Class A | 59,528 | ||||||||
| 10,400 | Weis Markets, Inc. | 654,680 | ||||||||
|
|
|
|||||||||
| Total Food & Staples Retailing | 2,579,140 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 1.9% | ||||||||||
| 2,100 | John B. Sanfilippo & Son, Inc. | 173,040 | ||||||||
| 5,144 | Seneca Foods Corp. – Class A * | 219,700 | ||||||||
| 12,300 | Turning Point Brands, Inc. | 467,400 | ||||||||
| 62,959 | Universal Corp. | 2,932,001 | ||||||||
| 85,400 | Vector Group Ltd. | 1,327,116 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 5,119,257 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 1.2% | ||||||||||
| 13,900 | Brookdale Senior Living, Inc. * | 81,454 | ||||||||
| 26,200 | Cross Country Healthcare, Inc. * | 685,392 | ||||||||
| 12,319 | FONAR Corp. * | 201,416 | ||||||||
| 12,100 | HealthStream, Inc. * | 280,962 | ||||||||
| 10,459 | LENSAR, Inc. * | 71,330 | ||||||||
| 6,600 | NextGen Healthcare, Inc. * | 102,300 | ||||||||
| 14,200 | Select Medical Holdings Corp. | 381,270 | ||||||||
| 8,814 | Triple-S Management Corp. – Class B * | 313,073 | ||||||||
| 37,000 | Varex Imaging Corp. * | 1,056,350 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 3,173,547 | |||||||||
|
|
|
|||||||||
| Household & Personal Products — 0.1% | ||||||||||
| 1,300 | Inter Parfums, Inc. | 114,179 | ||||||||
| 29,143 | Lifevantage Corp. * | 187,389 | ||||||||
|
|
|
|||||||||
| Total Household & Personal Products | 301,568 | |||||||||
|
|
|
|||||||||
| Insurance — 3.9% | ||||||||||
| 5,700 | American National Group, Inc. | 1,078,725 | ||||||||
| 61,000 | CNO Financial Group, Inc. | 1,382,260 | ||||||||
| 60,200 | First American Financial Corp. | 4,465,636 | ||||||||
| 84,200 | Genworth Financial, Inc. – Class A * | 321,644 | ||||||||
| 7,200 | Horace Mann Educators Corp. | 266,904 | ||||||||
| 41,590 | Stewart Information Services Corp. | 2,962,040 | ||||||||
| 22,600 | Universal Insurance Holdings, Inc. | 340,582 | ||||||||
|
|
|
|||||||||
| Total Insurance | 10,817,791 | |||||||||
|
|
|
|||||||||
| Materials — 6.6% | ||||||||||
| 29,648 | AdvanSix, Inc. | 1,342,758 | ||||||||
| 7,808 | American Vanguard Corp. | 111,732 | ||||||||
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Materials — continued | ||||||||||
| 44,000 | Avient Corp. | 2,420,440 | ||||||||
| 52,500 | Cabot Corp. | 2,755,200 | ||||||||
| 13,000 | Commercial Metals Co. | 401,700 | ||||||||
| 24,219 | Koppers Holdings, Inc. * | 731,414 | ||||||||
| 44,180 | Mercer International, Inc. | 472,726 | ||||||||
| 16,259 | Neenah, Inc. | 755,881 | ||||||||
| 6,000 | NewMarket Corp. | 1,987,800 | ||||||||
| 4,500 | Olympic Steel, Inc. | 91,575 | ||||||||
| 43,300 | Schnitzer Steel Industries, Inc. – Class A | 2,082,730 | ||||||||
| 66,424 | Schweitzer-Mauduit International, Inc. | 1,906,369 | ||||||||
| 1,600 | Stepan Co. | 180,336 | ||||||||
| 63,443 | Trinseo Plc | 2,996,413 | ||||||||
| 1,500 | Worthington Industries, Inc. | 71,970 | ||||||||
|
|
|
|||||||||
| Total Materials | 18,309,044 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 3.4% | ||||||||||
| 64,000 | AMC Networks, Inc. – Class A * | 2,471,040 | ||||||||
| 59,951 | Cars.com, Inc. * | 999,983 | ||||||||
| 60,383 | DHI Group, Inc. * | 310,369 | ||||||||
| 18,700 | Scholastic Corp. | 703,868 | ||||||||
| 244,990 | TEGNA, Inc. | 4,838,552 | ||||||||
| 15,600 | Urban One, Inc. * | 52,416 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 9,376,228 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 2.2% | ||||||||||
| 7,700 | Phibro Animal Health Corp. – Class A | 150,843 | ||||||||
| 105,120 | Prestige Consumer Healthcare, Inc. * | 5,881,464 | ||||||||
| 1,000 | Supernus Pharmaceuticals, Inc. * | 29,970 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 6,062,277 | |||||||||
|
|
|
|||||||||
| Real Estate — 6.3% | ||||||||||
| 24,209 | CorePoint Lodging, Inc. (REIT) * | 373,545 | ||||||||
| 11,881 | Five Point Holdings LLC – Class A * | 64,039 | ||||||||
| 14,670 | Forestar Group, Inc. * | 290,759 | ||||||||
| 446,285 | GEO Group, Inc. (The) (REIT) | 3,748,794 | ||||||||
| 329,214 | Newmark Group, Inc. – Class A | 5,287,177 | ||||||||
| 63,100 | PotlatchDeltic Corp. (REIT) | 3,416,234 | ||||||||
| 271,082 | Realogy Holdings Corp. * | 4,117,735 | ||||||||
|
|
|
|||||||||
| Total Real Estate | 17,298,283 | |||||||||
|
|
|
|||||||||
| Retailing — 10.8% | ||||||||||
| 99,900 | Abercrombie & Fitch Co. – Class A * | 3,596,400 | ||||||||
| 9,200 | Caleres, Inc. | 217,212 | ||||||||
| 14,020 | Cato Corp. (The) – Class A | 230,629 | ||||||||
| 3,500 | Conn’s, Inc. * | 76,580 | ||||||||
| 38,887 | Genesco, Inc. * | 2,457,658 | ||||||||
| 25,394 | Group 1 Automotive, Inc. | 4,945,481 | ||||||||
| 63,694 | Haverty Furniture Cos, Inc. | 1,905,088 | ||||||||
| 32,113 | Penske Automotive Group, Inc. | 3,199,097 | ||||||||
| 34,000 | Qurate Retail, Inc. – Series A | 272,000 | ||||||||
| 97,096 | Shoe Carnival, Inc. | 3,796,454 | ||||||||
| 67,600 | Signet Jewelers Ltd. | 6,566,664 | ||||||||
| Shares | Description | Value ($) | ||||||||
| Retailing — continued | ||||||||||
| 26,334 | Sleep Number Corp. * | 2,100,927 | ||||||||
| 34,800 | Tilly’s, Inc. – A Shares | 522,696 | ||||||||
| 2,094 | Weyco Group, Inc. | 51,575 | ||||||||
|
|
|
|||||||||
| Total Retailing | 29,938,461 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 0.3% | ||||||||||
| 4,800 | Amkor Technology, Inc. | 103,488 | ||||||||
| 12,200 | Kulicke & Soffa Industries, Inc. | 703,452 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 806,940 | |||||||||
|
|
|
|||||||||
| Software & Services — 0.0% | ||||||||||
| 738 | BM Technologies, Inc. * | 8,893 | ||||||||
| 9,600 | Information Services Group, Inc. | 79,200 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 88,093 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 7.7% | ||||||||||
| 56,790 | ADTRAN, Inc. | 1,157,380 | ||||||||
| 8,300 | Avid Technology, Inc. * | 266,098 | ||||||||
| 113,913 | Avnet, Inc. | 4,131,625 | ||||||||
| 35,219 | Benchmark Electronics, Inc. | 830,464 | ||||||||
| 34,861 | CTS Corp. | 1,214,557 | ||||||||
| 24,800 | Daktronics, Inc. * | 121,024 | ||||||||
| 11,600 | DZS, Inc. * | 150,336 | ||||||||
| 24,878 | Kimball Electronics, Inc. * | 527,911 | ||||||||
| 32,609 | Methode Electronics, Inc. | 1,450,122 | ||||||||
| 4,000 | NetScout Systems, Inc. * | 119,600 | ||||||||
| 7,400 | OSI Systems, Inc. * | 672,882 | ||||||||
| 8,200 | Plexus Corp. * | 689,948 | ||||||||
| 8,600 | Quantum Corp. * | 47,042 | ||||||||
| 33,845 | Sanmina Corp. * | 1,236,697 | ||||||||
| 5,153 | ScanSource, Inc. * | 161,031 | ||||||||
| 25,544 | Super Micro Computer, Inc. * | 1,057,522 | ||||||||
| 166,500 | Vishay Intertechnology, Inc. | 3,391,605 | ||||||||
| 221,222 | Xerox Holdings Corp. | 4,074,909 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 21,300,753 | |||||||||
|
|
|
|||||||||
| Telecommunication Services — 1.3% | ||||||||||
| 91,721 | Spok Holdings, Inc. | 885,107 | ||||||||
| 139,232 | Telephone & Data Systems, Inc. | 2,461,622 | ||||||||
| 10,352 | United States Cellular Corp. * | 301,347 | ||||||||
|
|
|
|||||||||
| Total Telecommunication Services | 3,648,076 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $239,941,307) |
271,527,632 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 1.7% | ||||||||||
| Affiliated Issuers — 1.7% | ||||||||||
| 949,411 | GMO U.S. Treasury Fund | 4,775,539 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $4,776,166) |
4,775,539 | |||||||||
|
|
|
|||||||||
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| 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 — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 227,360 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b) | 227,360 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $227,360) |
227,360 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.9% (Cost $244,978,275) |
276,566,881 | |||||||||
| Other Assets and Liabilities (net) — 0.1% | 285,850 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $276,852,731 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 26 | E-mini Russell 2000 Index | December 2021 | $ | 2,856,490 | $ | (406 | ) | |||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of November 30, 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 November 30, 2021. |
Portfolio Abbreviations:
CVR - Contingent Value Right
REIT - Real Estate Investment Trust
Organization
Each of Climate Change Fund, Emerging Domestic Opportunities Fund, Emerging Markets ex-China Fund (commenced operations on October 18, 2021), Emerging Markets Fund, International Equity Fund, Japan Value Creation Fund, Quality Cyclicals Fund (formerly Cyclical Focus Fund), Quality Fund, Resources Fund, Tax-Managed International Equities Fund, U.S. Equity Fund and U.S. Small Cap Value Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).
The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO. The Funds may also invest in other GMO Funds (“underlying funds”). The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.
Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.
Basis of presentation
The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.
Portfolio valuation
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2021, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2021:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Climate Change Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 5,486,642 | $ | — | $ | — | $ | 5,486,642 | ||||||||
| Australia |
— | 11,145,217 | — | 11,145,217 | ||||||||||||
| Belgium |
— | 522,387 | — | 522,387 | ||||||||||||
| Brazil |
— | 8,104,976 | — | 8,104,976 | ||||||||||||
| Canada |
65,587,899 | — | — | 65,587,899 | ||||||||||||
| China |
2,383,932 | 31,995,782 | — | 34,379,714 | ||||||||||||
| Denmark |
— | 3,350,557 | — | 3,350,557 | ||||||||||||
| Finland |
— | 6,078,943 | — | 6,078,943 | ||||||||||||
| France |
— | 25,584,447 | — | 25,584,447 | ||||||||||||
| Germany |
— | 7,690,591 | — | 7,690,591 | ||||||||||||
| India |
— | 466,528 | — | 466,528 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Climate Change Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Italy |
$ | — | $ | 2,627,049 | $ | — | $ | 2,627,049 | ||||||||
| Japan |
— | 27,929,566 | — | 27,929,566 | ||||||||||||
| Mexico |
14,771,904 | — | — | 14,771,904 | ||||||||||||
| Netherlands |
— | 4,299,908 | — | 4,299,908 | ||||||||||||
| Norway |
— | 7,560,007 | — | 7,560,007 | ||||||||||||
| Pakistan |
— | 694,272 | — | 694,272 | ||||||||||||
| Philippines |
— | 474,146 | — | 474,146 | ||||||||||||
| Russia |
— | 17,796,436 | — | 17,796,436 | ||||||||||||
| South Korea |
— | 14,179,675 | — | 14,179,675 | ||||||||||||
| Spain |
— | 14,277,247 | — | 14,277,247 | ||||||||||||
| Switzerland |
— | 3,453,270 | — | 3,453,270 | ||||||||||||
| Taiwan |
— | 2,050,021 | — | 2,050,021 | ||||||||||||
| Thailand |
— | 1,103,755 | — | 1,103,755 | ||||||||||||
| Ukraine |
— | 3,165,742 | — | 3,165,742 | ||||||||||||
| United Kingdom |
— | 12,415,348 | — | 12,415,348 | ||||||||||||
| United States |
273,682,682 | — | — | 273,682,682 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
361,913,059 | 206,965,870 | — | 568,878,929 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Chile |
11,545,370 | — | — | 11,545,370 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
11,545,370 | — | — | 11,545,370 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
48,530,447 | — | — | 48,530,447 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
48,530,447 | — | — | 48,530,447 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
7,147,996 | — | — | 7,147,996 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
429,136,872 | 206,965,870 | — | 636,102,742 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 429,136,872 | $ | 206,965,870 | $ | — | $ | 636,102,742 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Domestic Opportunities Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| China |
$ | 16,244,670 | $ | 181,030,399 | $ | — | $ | 197,275,069 | ||||||||
| Greece |
— | 4,984,614 | — | 4,984,614 | ||||||||||||
| Hong Kong |
— | 5,168,974 | — | 5,168,974 | ||||||||||||
| Hungary |
— | 3,771,157 | — | 3,771,157 | ||||||||||||
| India |
2,931,740 | 122,834,942 | 6,100,312 | 131,866,994 | ||||||||||||
| Indonesia |
— | 18,120,837 | — | 18,120,837 | ||||||||||||
| Japan |
— | 4,581,543 | — | 4,581,543 | ||||||||||||
| Malaysia |
— | 4,397,025 | — | 4,397,025 | ||||||||||||
| Mexico |
17,753,981 | — | — | 17,753,981 | ||||||||||||
| Netherlands |
— | 3,480,945 | — | 3,480,945 | ||||||||||||
| Peru |
365,800 | — | — | 365,800 | ||||||||||||
| Philippines |
— | 8,517,396 | — | 8,517,396 | ||||||||||||
| Qatar |
— | 6,242,159 | — | 6,242,159 | ||||||||||||
| Russia |
5,776,782 | 22,542,103 | — | 28,318,885 | ||||||||||||
| Singapore |
5,992,170 | — | — | 5,992,170 | ||||||||||||
| South Africa |
— | 11,582,048 | — | 11,582,048 | ||||||||||||
| South Korea |
— | 60,432,155 | — | 60,432,155 | ||||||||||||
| Switzerland |
— | 6,891,538 | — | 6,891,538 | ||||||||||||
| Taiwan |
— | 118,792,354 | — | 118,792,354 | ||||||||||||
| Thailand |
— | 5,865,671 | — | 5,865,671 | ||||||||||||
| United Arab Emirates |
— | 2,165,138 | — | 2,165,138 | ||||||||||||
| United Kingdom |
— | 1,964,318 | — | 1,964,318 | ||||||||||||
| United States |
28,766,993 | — | — | 28,766,993 | ||||||||||||
| Vietnam |
— | 5,986,897 | — | 5,986,897 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
77,832,136 | 599,352,213 | 6,100,312 | 683,284,661 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Emerging Domestic Opportunities Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Investment Funds |
||||||||||||||||
| Brazil |
$ | 2,409,069 | $ | — | $ | — | $ | 2,409,069 | ||||||||
| Russia |
28,342,216 | — | — | 28,342,216 | ||||||||||||
| Saudi Arabia |
16,835,286 | — | — | 16,835,286 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
47,586,571 | — | — | 47,586,571 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
2,338,143 | — | — | 2,338,143 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
2,338,143 | — | — | 2,338,143 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
2,105,537 | — | — | 2,105,537 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
129,862,387 | 599,352,213 | 6,100,312 | 735,314,912 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
— | 133,442 | — | 133,442 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 129,862,387 | $ | 599,485,655 | $ | 6,100,312 | $ | 735,448,354 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
| |||||||||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | — | $ | (192,947 | ) | $ | — | $ | (192,947 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Markets ex-China Fund |
||||||||||||||||
| Asset Valuation Inputs |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Brazil |
$ | — | $ | 1,213,122 | $ | — | $ | 1,213,122 | ||||||||
| Chile |
321,400 | 758,201 | — | 1,079,601 | ||||||||||||
| Czech Republic |
— | 873,754 | — | 873,754 | ||||||||||||
| Egypt |
— | 1,439,729 | — | 1,439,729 | ||||||||||||
| Hungary |
— | 889,911 | — | 889,911 | ||||||||||||
| India |
14,278,234 | 886,776 | — | 15,165,010 | ||||||||||||
| Indonesia |
— | 5,473,831 | — | 5,473,831 | ||||||||||||
| Luxembourg |
3,261,426 | — | — | 3,261,426 | ||||||||||||
| Malaysia |
— | 276,838 | — | 276,838 | ||||||||||||
| Mexico |
27,021,083 | — | — | 27,021,083 | ||||||||||||
| Peru |
2,463,050 | — | — | 2,463,050 | ||||||||||||
| Philippines |
— | 1,247,433 | — | 1,247,433 | ||||||||||||
| Poland |
— | 1,120,065 | — | 1,120,065 | ||||||||||||
| Russia |
2,308,970 | 60,735,343 | — | 63,044,313 | ||||||||||||
| South Africa |
— | 1,306,565 | — | 1,306,565 | ||||||||||||
| South Korea |
402,741 | 62,624,104 | — | 63,026,845 | ||||||||||||
| Taiwan |
35,086,124 | 85,006,345 | — | 120,092,469 | ||||||||||||
| Thailand |
— | 2,310,573 | — | 2,310,573 | ||||||||||||
| Turkey |
— | 3,500,153 | — | 3,500,153 | ||||||||||||
| United Arab Emirates |
— | 1,929,498 | — | 1,929,498 | ||||||||||||
| United Kingdom |
— | 1,532,189 | — | 1,532,189 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
85,143,028 | 233,124,430 | — | 318,267,458 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
161,460 | 1,418,133 | — | 1,579,593 | ||||||||||||
| Chile |
977,482 | — | — | 977,482 | ||||||||||||
| Russia |
— | 2,689,895 | — | 2,689,895 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
1,138,942 | 4,108,028 | — | 5,246,970 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Thailand |
— | 0 | § | — | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | 0 | § | — | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
10,426,311 | — | — | 10,426,311 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
10,426,311 | — | — | 10,426,311 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Emerging Markets ex-China Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Mutual Funds |
||||||||||||||||
| United States |
$ | 100,042 | $ | — | $ | — | $ | 100,042 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
100,042 | — | — | 100,042 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
4,115,142 | — | — | 4,115,142 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
100,923,465 | 237,232,458 | — | 338,155,923 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 100,923,465 | $ | 237,232,458 | $ | — | $ | 338,155,923 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Markets Fund |
||||||||||||||||
| Asset Valuation Inputs |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 2,218,731 | $ | — | $ | — | $ | 2,218,731 | ||||||||
| Brazil |
— | 15,686,503 | — | 15,686,503 | ||||||||||||
| Chile |
— | 847,037 | — | 847,037 | ||||||||||||
| China |
74,227,281 | 526,825,251 | 0 | § | 601,052,532 | |||||||||||
| Czech Republic |
— | 5,068,501 | — | 5,068,501 | ||||||||||||
| India |
14,785,322 | 122,998,964 | — | 137,784,286 | ||||||||||||
| Indonesia |
— | 42,937,800 | — | 42,937,800 | ||||||||||||
| Kuwait |
— | 19,499,917 | — | 19,499,917 | ||||||||||||
| Malaysia |
— | 1,663,117 | — | 1,663,117 | ||||||||||||
| Mexico |
92,944,643 | — | — | 92,944,643 | ||||||||||||
| Philippines |
— | 8,614,286 | — | 8,614,286 | ||||||||||||
| Poland |
— | 1,979,557 | — | 1,979,557 | ||||||||||||
| Qatar |
— | 13,340,702 | — | 13,340,702 | ||||||||||||
| Russia |
6,562,841 | 285,572,960 | 5,015,503 | 297,151,304 | ||||||||||||
| South Africa |
— | 7,207,901 | — | 7,207,901 | ||||||||||||
| South Korea |
— | 195,340,215 | — | 195,340,215 | ||||||||||||
| Sri Lanka |
— | 669,115 | — | 669,115 | ||||||||||||
| Taiwan |
11,294,431 | 469,043,304 | — | 480,337,735 | ||||||||||||
| Thailand |
— | 9,785,153 | — | 9,785,153 | ||||||||||||
| Turkey |
— | 13,867,017 | — | 13,867,017 | ||||||||||||
| United Arab Emirates |
— | 311,857 | — | 311,857 | ||||||||||||
| United Kingdom |
— | 12,340,509 | — | 12,340,509 | ||||||||||||
| Vietnam |
— | 216,059 | — | 216,059 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
202,033,249 | 1,753,815,725 | 5,015,503 | 1,960,864,477 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 1,527,723 | — | 1,527,723 | ||||||||||||
| Colombia |
582,845 | — | — | 582,845 | ||||||||||||
| Russia |
— | 41,674,632 | — | 41,674,632 | ||||||||||||
| South Korea |
— | 28,686,299 | — | 28,686,299 | ||||||||||||
| Taiwan |
— | 2,164,179 | — | 2,164,179 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
582,845 | 74,052,833 | — | 74,635,678 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Kuwait |
1,402 | — | — | 1,402 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
1,402 | — | — | 1,402 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
21,409,994 | — | — | 21,409,994 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
21,409,994 | — | — | 21,409,994 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
32,361,705 | — | — | 32,361,705 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
32,361,705 | — | — | 32,361,705 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
5,452,729 | — | — | 5,452,729 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
261,841,924 | 1,827,868,558 | 5,015,503 | 2,094,725,985 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Emerging Markets Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | — | $ | 1,290,785 | $ | — | $ | 1,290,785 | ||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | 1,770,883 | — | 1,770,883 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 261,841,924 | $ | 1,830,930,226 | $ | 5,015,503 | $ | 2,097,787,653 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | (30,419,081 | ) | $ | — | $ | — | $ | (30,419,081 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Equity Fund |
||||||||||||||||
| Asset Valuation Inputs |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 62,773,229 | $ | — | $ | 62,773,229 | ||||||||
| Belgium |
— | 42,779,702 | — | 42,779,702 | ||||||||||||
| Denmark |
— | 934,626 | — | 934,626 | ||||||||||||
| Finland |
— | 10,246,011 | — | 10,246,011 | ||||||||||||
| France |
3,159,954 | 183,527,932 | — | 186,687,886 | ||||||||||||
| Germany |
— | 169,144,477 | — | 169,144,477 | ||||||||||||
| Hong Kong |
— | 43,877,379 | — | 43,877,379 | ||||||||||||
| Ireland |
13,574,515 | 13,084,054 | — | 26,658,569 | ||||||||||||
| Italy |
1,271,172 | 83,557,071 | — | 84,828,243 | ||||||||||||
| Japan |
— | 507,237,825 | — | 507,237,825 | ||||||||||||
| Malta |
— | — | 0 | § | 0 | § | ||||||||||
| Netherlands |
— | 132,721,493 | — | 132,721,493 | ||||||||||||
| Norway |
— | 38,872,356 | — | 38,872,356 | ||||||||||||
| Portugal |
— | 27,857,600 | — | 27,857,600 | ||||||||||||
| Singapore |
— | 82,418,034 | — | 82,418,034 | ||||||||||||
| Spain |
— | 94,799,345 | — | 94,799,345 | ||||||||||||
| Sweden |
— | 9,199,946 | — | 9,199,946 | ||||||||||||
| Switzerland |
5,021,100 | 121,479,105 | — | 126,500,205 | ||||||||||||
| United Kingdom |
16,848,032 | 314,934,975 | — | 331,783,007 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
39,874,773 | 1,939,445,160 | 0 | § | 1,979,319,933 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | 13,101,296 | — | 13,101,296 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 13,101,296 | — | 13,101,296 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
85,956,858 | — | — | 85,956,858 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
125,831,631 | 1,952,546,456 | — | 2,078,378,087 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 125,831,631 | $ | 1,952,546,456 | $ | 0 | § | $ | 2,078,378,087 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | (545,625 | ) | $ | — | $ | — | $ | (545,625 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Japan Value Creation Fund |
||||||||||||||||
| Asset Valuation Inputs |
||||||||||||||||
| Common Stocks |
$ | — | $ | 149,628,158 | $ | — | $ | 149,628,158 | ||||||||
| Short-Term Investments |
4,209,307 | — | — | 4,209,307 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
4,209,307 | 149,628,158 | — | 153,837,465 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 4,209,307 | $ | 149,628,158 | $ | — | $ | 153,837,465 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Quality Cyclicals Fund (formerly Cyclical Focus Fund) |
||||||||||||||||
| Asset Valuation Inputs |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Canada |
$ | 7,705,805 | $ | — | $ | — | $ | 7,705,805 | ||||||||
| China |
— | 2,157,922 | — | 2,157,922 | ||||||||||||
| Finland |
— | 2,699,897 | — | 2,699,897 | ||||||||||||
| France |
— | 11,512,792 | — | 11,512,792 | ||||||||||||
| Germany |
— | 2,580,742 | — | 2,580,742 | ||||||||||||
| Hong Kong |
— | 1,515,213 | — | 1,515,213 | ||||||||||||
| Ireland |
420,707 | 3,283,237 | — | 3,703,944 | ||||||||||||
| Mexico |
7,490,600 | — | — | 7,490,600 | ||||||||||||
| Russia |
— | 2,934,213 | — | 2,934,213 | ||||||||||||
| Spain |
— | 6,277,002 | — | 6,277,002 | ||||||||||||
| United Kingdom |
— | 14,823,654 | — | 14,823,654 | ||||||||||||
| United States |
67,371,206 | — | — | 67,371,206 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
82,988,318 | 47,784,672 | — | 130,772,990 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 3,403,957 | — | 3,403,957 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 3,403,957 | — | 3,403,957 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
61,893 | — | — | 61,893 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
61,893 | — | — | 61,893 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
403,536 | — | — | 403,536 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
83,453,747 | 51,188,629 | — | 134,642,376 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 83,453,747 | $ | 51,188,629 | $ | — | $ | 134,642,376 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Quality Fund |
||||||||||||||||
| Asset Valuation Inputs |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| China |
$ | — | $ | 144,290,691 | $ | — | $ | 144,290,691 | ||||||||
| France |
— | 293,013,804 | — | 293,013,804 | ||||||||||||
| Germany |
— | 238,528,590 | — | 238,528,590 | ||||||||||||
| Spain |
— | 45,888,126 | — | 45,888,126 | ||||||||||||
| Switzerland |
— | 314,923,275 | — | 314,923,275 | ||||||||||||
| Taiwan |
— | 292,524,906 | — | 292,524,906 | ||||||||||||
| United Kingdom |
— | 338,524,511 | — | 338,524,511 | ||||||||||||
| United States |
6,951,545,629 | — | — | 6,951,545,629 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
6,951,545,629 | 1,667,693,903 | — | 8,619,239,532 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
29,947,266 | — | — | 29,947,266 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
29,947,266 | — | — | 29,947,266 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
9,811,455 | — | — | 9,811,455 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
9,811,455 | — | — | 9,811,455 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
22,768,817 | — | — | 22,768,817 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
7,014,073,167 | 1,667,693,903 | — | 8,681,767,070 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 7,014,073,167 | $ | 1,667,693,903 | $ | — | $ | 8,681,767,070 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Resources Fund |
||||||||||||||||
| Asset Valuation Inputs |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 16,688,830 | $ | — | $ | — | $ | 16,688,830 | ||||||||
| Australia |
— | 122,987,313 | — | 122,987,313 | ||||||||||||
| Austria |
— | 24,901,420 | — | 24,901,420 | ||||||||||||
| Brazil |
— | 62,585,779 | — | 62,585,779 | ||||||||||||
| Canada |
170,101,197 | — | — | 170,101,197 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Resources Fund (continued) |
||||||||||||||||
| Asset Valuation Inputs (continued) |
||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| China |
$ | — | $ | 31,891,670 | $ | — | $ | 31,891,670 | ||||||||
| Denmark |
— | 8,167,243 | — | 8,167,243 | ||||||||||||
| Finland |
— | 12,709,622 | — | 12,709,622 | ||||||||||||
| France |
— | 6,789,550 | — | 6,789,550 | ||||||||||||
| Hungary |
— | 16,469,699 | — | 16,469,699 | ||||||||||||
| India |
— | 27,773,506 | — | 27,773,506 | ||||||||||||
| Israel |
— | 12,686,987 | — | 12,686,987 | ||||||||||||
| Japan |
— | 42,138,395 | — | 42,138,395 | ||||||||||||
| Mexico |
45,850,340 | — | — | 45,850,340 | ||||||||||||
| Norway |
— | 39,293,490 | — | 39,293,490 | ||||||||||||
| Pakistan |
— | 3,531,497 | — | 3,531,497 | ||||||||||||
| Poland |
— | 13,353,552 | — | 13,353,552 | ||||||||||||
| Portugal |
— | 34,836,269 | — | 34,836,269 | ||||||||||||
| Russia |
— | 161,760,704 | — | 161,760,704 | ||||||||||||
| Singapore |
— | — | 0 | § | 0 | § | ||||||||||
| South Africa |
— | 42,560,377 | — | 42,560,377 | ||||||||||||
| South Korea |
— | 6,397,757 | — | 6,397,757 | ||||||||||||
| Spain |
— | 8,239,053 | — | 8,239,053 | ||||||||||||
| Switzerland |
— | 4,228,559 | — | 4,228,559 | ||||||||||||
| Turkey |
— | 4,597,087 | — | 4,597,087 | ||||||||||||
| Ukraine |
— | 7,214,361 | — | 7,214,361 | ||||||||||||
| United Kingdom |
— | 236,987,431 | — | 236,987,431 | ||||||||||||
| United States |
450,165,773 | — | — | 450,165,773 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
682,806,140 | 932,101,321 | 0 | § | 1,614,907,461 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 112,667,820 | — | 112,667,820 | ||||||||||||
| Chile |
32,076,041 | — | — | 32,076,041 | ||||||||||||
| Russia |
— | 40,839,448 | — | 40,839,448 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
32,076,041 | 153,507,268 | — | 185,583,309 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Singapore |
— | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
19,167,341 | — | — | 19,167,341 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
734,049,522 | 1,085,608,589 | — | 1,819,658,111 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 734,049,522 | $ | 1,085,608,589 | $ | 0 | § | $ | 1,819,658,111 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
Tax-Managed International Equities Fund |
||||||||||||||||
| Asset Valuation Inputs |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 1,118,939 | $ | — | $ | 1,118,939 | ||||||||
| Belgium |
— | 586,640 | — | 586,640 | ||||||||||||
| Brazil |
— | 258,515 | — | 258,515 | ||||||||||||
| China |
— | 741,296 | — | 741,296 | ||||||||||||
| Denmark |
— | 34,211 | — | 34,211 | ||||||||||||
| Finland |
— | 153,438 | — | 153,438 | ||||||||||||
| France |
43,686 | 3,044,543 | — | 3,088,229 | ||||||||||||
| Germany |
— | 2,674,708 | — | 2,674,708 | ||||||||||||
| Hong Kong |
— | 516,465 | — | 516,465 | ||||||||||||
| Hungary |
— | 61,102 | — | 61,102 | ||||||||||||
| India |
— | 174,281 | — | 174,281 | ||||||||||||
| Ireland |
85,677 | 262,942 | — | 348,619 | ||||||||||||
| Italy |
— | 1,289,218 | — | 1,289,218 | ||||||||||||
| Japan |
— | 7,856,456 | — | 7,856,456 | ||||||||||||
| Malta |
— | — | 0 | § | 0 | § | ||||||||||
| Netherlands |
— | 2,330,829 | — | 2,330,829 | ||||||||||||
| Norway |
— | 580,845 | — | 580,845 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
|
Tax-Managed International Equities Fund (continued) |
||||||||||||||||
| Asset Valuation Inputs (continued) |
||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Poland |
$ | — | $ | 107,248 | $ | — | $ | 107,248 | ||||||||
| Portugal |
— | 308,634 | — | 308,634 | ||||||||||||
| Russia |
— | 172,641 | — | 172,641 | ||||||||||||
| Singapore |
— | 1,352,879 | — | 1,352,879 | ||||||||||||
| South Africa |
— | 80,186 | — | 80,186 | ||||||||||||
| South Korea |
5,588 | 661,655 | — | 667,243 | ||||||||||||
| Spain |
— | 1,574,190 | — | 1,574,190 | ||||||||||||
| Sweden |
— | 206,934 | — | 206,934 | ||||||||||||
| Switzerland |
71,730 | 2,115,718 | — | 2,187,448 | ||||||||||||
| Taiwan |
— | 613,876 | — | 613,876 | ||||||||||||
| Thailand |
— | 136,995 | — | 136,995 | ||||||||||||
| Turkey |
— | 326,681 | — | 326,681 | ||||||||||||
| United Kingdom |
1,049,789 | 4,131,203 | — | 5,180,992 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
1,256,470 | 33,473,268 | 0 | § | 34,729,738 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 13,652 | — | 13,652 | ||||||||||||
| Germany |
— | 313,429 | — | 313,429 | ||||||||||||
| South Korea |
— | 24,716 | — | 24,716 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 351,797 | — | 351,797 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
1,283,706 | — | — | 1,283,706 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
1,283,706 | — | — | 1,283,706 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
15,450 | — | — | 15,450 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
2,555,626 | 33,825,065 | 0 | § | 36,380,691 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 2,555,626 | $ | 33,825,065 | $ | 0 | § | $ | 36,380,691 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | (18,683 | ) | $ | — | $ | — | $ | (18,683 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Equity Fund |
||||||||||||||||
| Asset Valuation Inputs |
||||||||||||||||
| Common Stocks |
$ | 457,388,610 | $ | — | $ | — | $ | 457,388,610 | ||||||||
| Mutual Funds |
3,950,395 | — | — | 3,950,395 | ||||||||||||
| Short-Term Investments |
266,614 | — | — | 266,614 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
461,605,619 | — | — | 461,605,619 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
34,515 | — | — | 34,515 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 461,640,134 | $ | — | $ | — | $ | 461,640,134 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Small Cap Value Fund |
||||||||||||||||
| Asset Valuation Inputs |
||||||||||||||||
| Common Stocks |
$ | 271,527,632 | $ | — | $ | — | $ | 271,527,632 | ||||||||
| Mutual Funds |
4,775,539 | — | — | 4,775,539 | ||||||||||||
| Rights/Warrants |
— | — | 36,350 | 36,350 | ||||||||||||
| Short-Term Investments |
227,360 | — | — | 227,360 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
276,530,531 | — | 36,350 | 276,566,881 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 276,530,531 | $ | — | $ | 36,350 | $ | 276,566,881 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | (406 | ) | $ | — | $ | — | $ | (406 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
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 November 30, 2021. |
The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Emerging Domestic Opportunities Fund’s Level 3 holdings includes one common stock that was purchased prior to the initial public offering (“IPO”) that is restricted from trading until March 22, 2022 and is being valued based on the post-IPO shares trading in the market. Emerging Markets Fund 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. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 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 November 30, 2021 |
Net Change
in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2021 |
|||||||||||||||||||||||||||||||||||
| Emerging Domestic Opportunities Fund | ||||||||||||||||||||||||||||||||||||||||||||
| Common Stocks |
|
|||||||||||||||||||||||||||||||||||||||||||
| India |
$ | 265,151 | $ | 1,924,110 | $ | (1,849,078 | ) | $ | — | $ | 1,589,485 | $ | 4,170,644 | $ | — | $ | — | $ | 6,100,312 | $ | 4,176,202 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Total Investments |
$ | 265,151 | $ | 1,924,110 | $ | (1,849,078 | ) | $ | — | $ | 1,589,485 | $ | 4,170,644 | $ | — | $ | — | $ | 6,100,312 | $ | 4,176,202 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Emerging Markets Fund | ||||||||||||||||||||||||||||||||||||||||||||
| Common Stocks |
|
|||||||||||||||||||||||||||||||||||||||||||
| Russia |
$ | — | $ | 7,148,534 | $ | (696,081 | ) | $ | — | $ | (76,821 | ) | $ | (1,360,135 | ) | $ | 6 | ‡ | $ | — | $ | 5,015,503 | $ | (1,360,135 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Total Investments |
$ | — | $ | 7,148,534 | $ | (696,081 | ) | $ | — | $ | (76,821 | ) | $ | (1,360,135 | ) | $ | 6 | $ | — | $ | 5,015,503 | $ | (1,360,135 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| ‡ | Financial assets transferred between levels were due to a change in observable and/or unobservable inputs. |
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended November 30, 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 |
||||||||||
|
Emerging Markets Fund |
||||||||||||||
| Common Stock |
5,015,503 | Fair Value | Price of comparable equity | (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 November 30, 2021, the value of these securities and/or derivatives for Emerging Domestic Opportunities Fund was $6,100,312. The inputs for these investments are not readily available or cannot be reasonably estimated. |
Investments in affiliated companies and other Funds of the Trust
An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 2021 is set forth below:
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Climate Change Fund |
| |||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 18,563,731 | $ | 275,809,343 | $ | 245,747,592 | $ | 12,983 | ** | $ | 10,446 | $ | (93,018 | ) | $ | (2,017 | ) | $ | 48,530,447 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Emerging Domestic Opportunities Fund |
| |||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | — | $ | 238,883,196 | $ | 236,456,000 | $ | 9,474 | $ | 3,722 | $ | (89,053 | ) | $ | — | $ | 2,338,143 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Emerging Markets ex-China Fund |
| |||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | — | $ | 600,042 | $ | 500,000 | $ | 44 | $ | — | $ | — | $ | — | $ | 100,042 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Emerging Markets Fund |
| |||||||||||||||||||||||||||||||
| Anilana Hotels & Properties Ltd |
$ | 678,007 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (8,892 | ) | $ | 669,115 | |||||||||||||||
| Gayatri Projects Ltd |
6,296,399 | — | — | — | — | — | (1,507,956 | ) | 4,788,443 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 6,974,406 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1,516,848 | ) | $ | 5,457,558 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Quality Cyclicals Fund (formerly Cyclical Focus Fund) |
| |||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 528,000 | $ | 5,150,000 | $ | 5,610,000 | $ | 226 | $ | 212 | $ | (5,984 | ) | $ | (123 | ) | $ | 61,893 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Quality Fund |
| |||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 9,830,961 | $ | — | $ | — | $ | 6,396 | $ | 4,876 | $ | — | $ | (19,506 | ) | $ | 9,811,455 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Resources Fund |
| |||||||||||||||||||||||||||||||
| Kosmos Energy Ltd. |
$ | — | # | $ | 28,707,767 | $ | 13,303,476 | $ | — | $ | — | $ | 2,066,197 | $ | 44,685,620 | $ | 89,354,878 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Tax-Managed International Equities Fund |
| |||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 5,165 | $ | 3,930,000 | $ | 2,650,000 | $ | 604 | $ | 454 | $ | (1,448 | ) | $ | (11 | ) | $ | 1,283,706 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| U.S. Equity Fund |
| |||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 2,850,296 | $ | 71,300,000 | $ | 70,210,000 | $ | 3,583 | $ | 2,406 | $ | 14,732 | $ | (4,633 | ) | $ | 3,950,395 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| U.S. Small Cap Value Fund |
| |||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 101,097 | $ | 25,670,000 | $ | 20,990,000 | $ | 2,278 | $ | 2,515 | $ | (4,931 | ) | $ | (627 | ) | $ | 4,775,539 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through November 30, 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 $192,781 in Climate Change Fund during the period. |
| # | Security was not an affiliate at the beginning of the period. |
* * *
For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† / Shares |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 99.5% |
| |||||||||
| U.S. Government — 99.5% | ||||||||||
| 28,800,000 | U.S. Treasury Note, 1.25%, due 04/30/28 | 28,676,250 | ||||||||
| 41,000,000 | U.S. Treasury Note, 1.13%, due 02/15/31 | 40,024,649 | ||||||||
| 6,140,000 | U.S. Treasury Note, 1.25%, due 08/15/31 | 6,041,184 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 74,742,083 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $74,040,488) | 74,742,083 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 0.0% | ||||||||||
| United States — 0.0% | ||||||||||
| Affiliated Issuers — 0.0% | ||||||||||
| 2,318 | GMO U.S. Treasury Fund | 11,659 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $11,659) |
11,659 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.5% | ||||||||||
| Money Market Funds — 0.5% | ||||||||||
| 334,526 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 334,526 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $334,526) |
334,526 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $74,386,673) |
75,088,268 | |||||||||
| Other Assets and Liabilities (net) — 0.00% | 25,977 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $75,114,245 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 92.7% |
| |||||||||
| Albania — 1.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 49,649,849 | Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b) | 45,446,391 | ||||||||
| EUR |
9,100,000 | Republic of Albania Par Bond, 144A, 3.50%, due 11/23/31 | 10,010,706 | |||||||
|
|
|
|||||||||
| Total Albania | 55,457,097 | |||||||||
|
|
|
|||||||||
| Angola — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 7,900,000 | Angolan Government International Bond, Reg S, 9.38%, due 05/08/48 | 7,180,606 | ||||||||
| 5,500,000 | Angolan Government International Bond, Reg S, 9.13%, due 11/26/49 | 4,884,000 | ||||||||
|
|
|
|||||||||
| Total Angola | 12,064,606 | |||||||||
|
|
|
|||||||||
| Argentina — 2.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 11,490,713 | Republic of Argentina, 1.00%, due 07/09/29 | 3,750,805 | ||||||||
| 25,333,493 | Republic of Argentina, Step Up, 0.50%, due 07/09/30 | 7,828,049 | ||||||||
| JPY |
407,485,276 | Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c) (d) | 1,045,435 | |||||||
| 56,547,942 | Republic of Argentina, Step Up, 1.13%, due 07/09/35 | 15,748,602 | ||||||||
| EUR |
26,000,000 | Republic of Argentina, Step Up, 1.50%, due 01/09/38 | 8,551,118 | |||||||
| 72,008,994 | Republic of Argentina, Step Up, 2.00%, due 01/09/38 | 23,294,753 | ||||||||
| JPY |
334,073,000 | Republic of Argentina, 0.67%, due 12/31/38 (c) (d) |
591,097 | |||||||
| EUR |
6,760,000 | Republic of Argentina, Step Up, 1.50%, due 07/09/41 | 2,054,627 | |||||||
| 112,801,240 | Republic of Argentina, Step Up, 2.50%, due 07/09/41 | 34,686,381 | ||||||||
| 34,047,000 | Republic of Argentina, Step Up, 1.13%, due 07/09/46 | 9,567,207 | ||||||||
|
|
|
|||||||||
| Total Argentina | 107,118,074 | |||||||||
|
|
|
|||||||||
| Armenia — 0.5% | ||||||||||
| Corporate Debt | ||||||||||
| 20,000,000 | Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25 | 19,450,000 | ||||||||
|
|
|
|||||||||
| Azerbaijan — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 11,388,000 | International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24 | 11,416,470 | ||||||||
| 5,250,000 | Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23 | 5,251,641 | ||||||||
| Par Value† |
Description | Value ($) | ||||||||
| Azerbaijan — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 20,300,000 | Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29 | 22,055,950 | ||||||||
|
|
|
|||||||||
| Total Azerbaijan | 38,724,061 | |||||||||
|
|
|
|||||||||
| Bahamas — 0.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 10,840,000 | Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28 | 9,531,070 | ||||||||
| 15,600,000 | Bahamas Government International Bond, Reg S, 8.95%, due 10/15/32 | 14,898,000 | ||||||||
| 7,900,000 | Bahamas Government International Bond, Reg S, 7.13%, due 04/02/38 | 6,833,500 | ||||||||
|
|
|
|||||||||
| Total Bahamas | 31,262,570 | |||||||||
|
|
|
|||||||||
| Bahrain — 1.7% | ||||||||||
| Sovereign and Sovereign Agency Issuer | ||||||||||
| 74,790,000 | Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47 | 74,406,701 | ||||||||
|
|
|
|||||||||
| Barbados — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 14,000,000 | Barbados Government International Bond, Reg S, 6.50%, due 10/01/29 (e) | 14,063,875 | ||||||||
|
|
|
|||||||||
| Belarus — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 8,304,000 | Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 | 7,390,560 | ||||||||
| 19,800,000 | Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30 | 16,166,700 | ||||||||
|
|
|
|||||||||
| Total Belarus | 23,557,260 | |||||||||
|
|
|
|||||||||
| Bermuda — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 6,990,000 | Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29 | 7,974,279 | ||||||||
|
|
|
|||||||||
| Bolivia — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 9,200,000 | Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28 (e) | 8,160,975 | ||||||||
|
|
|
|||||||||
| Bosnia & Herzegovina — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| EUR |
9,600,000 | Republic of Srpska Treasury Bond, Reg S, 4.75%, due 04/27/26 | 11,263,660 | |||||||
|
|
|
|||||||||
| Brazil — 2.5% | ||||||||||
| Corporate Debt — 0.6% | ||||||||||
| 24,128,617 | MV24 Capital BV, Reg S, 6.75%, due 06/01/34 | 24,611,189 | ||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| Brazil — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.9% | ||||||||||
| 57,439,000 | Petrobras Global Finance BV, 6.85%, due 06/05/2115 | 55,463,098 | ||||||||
| 16,300,000 | Republic of Brazil, 4.75%, due 01/14/50 | 13,965,025 | ||||||||
| BRL |
75,100,000 | Rio Smart Lighting Sarl, 144A, 12.25%, due 09/20/32 (f) | 13,400,338 | |||||||
|
|
|
|||||||||
| 82,828,461 | ||||||||||
|
|
|
|||||||||
| Total Brazil | 107,439,650 | |||||||||
|
|
|
|||||||||
| Cameroon — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| EUR |
7,500,000 | Republic of Cameroon International Bond, Reg S, 5.95%, due 07/07/32 | 7,857,191 | |||||||
|
|
|
|||||||||
| Chile — 2.0% | ||||||||||
| Corporate Debt — 1.0% | ||||||||||
| 20,411,000 | Enel Generacion Chile SA, 8.13%, due 02/01/97 (a) | 24,536,063 | ||||||||
| 17,200,000 | Inversiones Latin America Power Ltda, 144A, 5.13%, due 06/15/33 | 16,654,975 | ||||||||
|
|
|
|||||||||
| 41,191,038 | ||||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 1.0% | ||||||||||
| 7,500,000 | Chile Government International Bond, 3.10%, due 05/07/41 | 7,376,250 | ||||||||
| 8,100,000 | Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29 | 8,829,000 | ||||||||
| 5,300,000 | Empresa Nacional del Petroleo, 144A, 3.45%, due 09/16/31 | 4,952,850 | ||||||||
| 23,750,000 | Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47 | 23,249,766 | ||||||||
|
|
|
|||||||||
| 44,407,866 | ||||||||||
|
|
|
|||||||||
| Total Chile | 85,598,904 | |||||||||
|
|
|
|||||||||
| China — 0.9% | ||||||||||
| Corporate Debt — 0.4% | ||||||||||
| 7,500,000 | China Evergrande Group, Reg S, 11.50%, due 01/22/23 (d) | 1,818,750 | ||||||||
| 14,300,000 | China Evergrande Group, Reg S, 12.00%, due 01/22/24 (d) | 3,396,250 | ||||||||
| 7,500,000 | China Evergrande Group, Reg S, 10.50%, due 04/11/24 (d) | 1,800,000 | ||||||||
| 7,500,000 | CNAC HK Finbridge Co., Ltd., Reg S, 3.00%, due 09/22/30 | 7,534,875 | ||||||||
| 2,100,000 | Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 (d) | 435,750 | ||||||||
| 3,700,000 | Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 (d) | 767,750 | ||||||||
|
|
|
|||||||||
| 15,753,375 | ||||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 0.5% | ||||||||||
| 14,200,000 | Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25 | 13,954,162 | ||||||||
| Par Value† |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 7,300,000 | Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31 | 7,592,000 | ||||||||
|
|
|
|||||||||
| 21,546,162 | ||||||||||
|
|
|
|||||||||
| Total China | 37,299,537 | |||||||||
|
|
|
|||||||||
| Colombia — 2.9% | ||||||||||
| Corporate Debt — 0.1% | ||||||||||
| COP |
26,700,000,000 | PA Autopista Rio Magdalena, 144A, 6.05%, due 06/15/36 | 6,139,576 | |||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 2.8% | ||||||||||
| 1,392,000 | Colombia Government International Bond, 8.38%, due 02/15/27 | 1,702,155 | ||||||||
| 3,800,000 | Colombia Government International Bond, 11.85%, due 03/09/28 (a) | 5,505,703 | ||||||||
| 26,100,000 | Colombia Government International Bond, 6.13%, due 01/18/41 | 27,108,112 | ||||||||
| 35,600,000 | Colombia Government International Bond, 5.63%, due 02/26/44 | 34,805,675 | ||||||||
| 7,600,000 | Colombia Government International Bond, 5.20%, due 05/15/49 | 7,062,300 | ||||||||
| 27,611,000 | Ecopetrol SA, 7.38%, due 09/18/43 | 29,628,674 | ||||||||
| 6,400,000 | Ecopetrol SA, 5.88%, due 11/02/51 | 5,824,000 | ||||||||
| COP |
30,200,000,000 | Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27 | 7,143,680 | |||||||
|
|
|
|||||||||
| 118,780,299 | ||||||||||
|
|
|
|||||||||
| Total Colombia | 124,919,875 | |||||||||
|
|
|
|||||||||
| Congo Republic (Brazzaville) — 1.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 59,851,596 | Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c) | 50,275,341 | ||||||||
|
|
|
|||||||||
| Costa Rica — 1.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 34,731,000 | Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45 | 33,218,031 | ||||||||
| 9,198,000 | Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43 | 7,673,431 | ||||||||
|
|
|
|||||||||
| Total Costa Rica | 40,891,462 | |||||||||
|
|
|
|||||||||
| Czech Republic — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 5,458,000 | CEZ AS, Reg S, 5.63%, due 04/03/42 | 6,894,136 | ||||||||
|
|
|
|||||||||
| Dominican Republic — 2.3% | ||||||||||
| Asset-Backed Securities — 0.2% | ||||||||||
| 7,378,668 | Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24 | 7,604,640 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 2.1% | ||||||||||
| 9,100,000 | Dominican Republic International Bond, Reg S, 5.30%, due 01/21/41 | 8,713,250 | ||||||||
| 85,929,000 | Dominican Republic International Bond, Reg S, 5.88%, due 01/30/60 | 79,956,935 | ||||||||
|
|
|
|||||||||
| 88,670,185 | ||||||||||
|
|
|
|||||||||
| Total Dominican Republic | 96,274,825 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| Ecuador — 3.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 1,000,000 | Ecuador Government International Bond, 5.00%, due 02/28/25 (c) | 900,000 | ||||||||
| 18,576,250 | Ecuador Government International Bond, Reg S, Step Up, 5.00%, due 07/31/30 | 15,093,203 | ||||||||
| 112,987,125 | Ecuador Government International Bond, Reg S, Step Up, 1.00%, due 07/31/35 | 72,876,696 | ||||||||
| 36,603,750 | Ecuador Government International Bond, Reg S, Step Up, 0.50%, due 07/31/40 | 20,772,628 | ||||||||
| 8,246,892 | Ecuador Government International Bond, Zero Coupon, Reg S, due 07/31/30 | 4,473,939 | ||||||||
| 16,850,456 | Ecuador Social Bond Sarl, Zero Coupon, Reg S, due 01/30/35 | 13,490,896 | ||||||||
|
|
|
|||||||||
| Total Ecuador | 127,607,362 | |||||||||
|
|
|
|||||||||
| Egypt — 1.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 6,500,000 | Egypt Government International Bond, Reg S, 7.90%, due 02/21/48 | 5,240,625 | ||||||||
| 23,500,000 | Egypt Government International Bond, Reg S, 8.70%, due 03/01/49 | 20,063,125 | ||||||||
| 19,300,000 | Egypt Government International Bond, Reg S, 8.88%, due 05/29/50 | 16,694,500 | ||||||||
| 11,200,000 | Egypt Government International Bond, 144A, 8.75%, due 09/30/51 | 9,604,000 | ||||||||
| 38,364,000 | Egypt Government International Bond, Reg S, 8.15%, due 11/20/59 | 30,978,930 | ||||||||
|
|
|
|||||||||
| Total Egypt | 82,581,180 | |||||||||
|
|
|
|||||||||
| El Salvador — 0.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 5,300,000 | El Salvador Government International Bond, Reg S, 8.25%, due 04/10/32 | 3,502,306 | ||||||||
| 9,775,000 | El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35 | 6,044,005 | ||||||||
| 32,900,000 | El Salvador Government International Bond, Reg S, 7.12%, due 01/20/50 | 19,550,825 | ||||||||
|
|
|
|||||||||
| Total El Salvador | 29,097,136 | |||||||||
|
|
|
|||||||||
| Ethiopia — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 4,090,000 | Ethiopia International Bond, Reg S, 6.63%, due 12/11/24 | 2,658,500 | ||||||||
|
|
|
|||||||||
| Gabon — 0.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 20,900,000 | Gabon Government International Bond, Reg S, 6.63%, due 02/06/31 | 19,558,481 | ||||||||
|
|
|
|||||||||
| Ghana — 1.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 30,000,000 | Republic of Ghana, Reg S, 8.95%, due 03/26/51 | 22,912,500 | ||||||||
| Par Value† |
Description | Value ($) | ||||||||
| Ghana — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 26,900,000 | Republic of Ghana, Reg S, 8.75%, due 03/11/61 | 20,314,544 | ||||||||
| 10,444,727 | Saderea DAC, Reg S, 12.50%, due 11/30/26 | 10,496,951 | ||||||||
|
|
|
|||||||||
| Total Ghana | 53,723,995 | |||||||||
|
|
|
|||||||||
| Grenada — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 9,776,063 | Grenada Government International Bond, Reg S, 7.00%, due 05/12/30 | 9,790,727 | ||||||||
|
|
|
|||||||||
| Guatemala — 0.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 1,965,000 | Republic of Guatemala, Reg S, 8.13%, due 10/06/34 | 2,682,225 | ||||||||
| 2,000,000 | Republic of Guatemala, 144A, 4.65%, due 10/07/41 | 1,974,125 | ||||||||
| 15,200,000 | Republic of Guatemala, Reg S, 6.13%, due 06/01/50 | 16,917,600 | ||||||||
|
|
|
|||||||||
| Total Guatemala | 21,573,950 | |||||||||
|
|
|
|||||||||
| Honduras — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 16,100,000 | Honduras Government International Bond, Reg S, 5.63%, due 06/24/30 | 16,100,000 | ||||||||
|
|
|
|||||||||
| Hungary — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 11,300,000 | Hungary Government International Bond, 144A, 3.13%, due 09/21/51 | 10,705,890 | ||||||||
|
|
|
|||||||||
| India — 1.4% | ||||||||||
| Corporate Debt | ||||||||||
| 10,750,000 | Cliffton Ltd., Reg S, 6.25%, due 10/25/25 | 10,578,000 | ||||||||
| 29,700,000 | Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29 (e) | 29,254,500 | ||||||||
| 1,000,000 | GMR Hyderabad International Airport Ltd., Reg S, 4.75%, due 02/02/26 | 995,500 | ||||||||
| 21,140,000 | GMR Hyderabad International Airport Ltd., Reg S, 4.25%, due 10/27/27 | 20,390,851 | ||||||||
|
|
|
|||||||||
| Total India | 61,218,851 | |||||||||
|
|
|
|||||||||
| Indonesia — 3.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 9,200,000 | Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30 | 9,770,975 | ||||||||
| 3,700,000 | Indonesia Asahan Aluminium Persero PT, Reg S, 5.45%, due 05/15/30 | 4,192,007 | ||||||||
| 20,900,000 | Indonesia Asahan Aluminium Persero PT, Reg S, 5.80%, due 05/15/50 | 24,169,544 | ||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| Indonesia — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 8,091,000 | Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37 | 11,020,448 | ||||||||
| 7,900,000 | Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47 | 9,865,994 | ||||||||
| 11,300,000 | Pertamina Persero PT, Reg S, 6.50%, due 05/27/41 | 14,522,619 | ||||||||
| 8,200,000 | Pertamina Persero PT, Reg S, 4.15%, due 02/25/60 | 8,065,725 | ||||||||
| 4,100,000 | Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48 | 5,043,000 | ||||||||
| 14,200,000 | Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49 | 17,708,287 | ||||||||
| 43,900,000 | Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24 | 42,289,419 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 146,648,018 | |||||||||
|
|
|
|||||||||
| Israel — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 13,183,000 | Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96 | 19,242,933 | ||||||||
|
|
|
|||||||||
| Ivory Coast — 0.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| EUR |
29,000,000 | Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48 | 31,384,249 | |||||||
|
|
|
|||||||||
| Jamaica — 0.8% | ||||||||||
| Corporate Debt — 0.2% | ||||||||||
| 6,530,472 | TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36 | 6,494,963 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 9,375,000 | Jamaica Government International Bond, 7.88%, due 07/28/45 | 12,895,312 | ||||||||
| 11,400,000 | National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c) | 13,338,000 | ||||||||
|
|
|
|||||||||
| 26,233,312 | ||||||||||
|
|
|
|||||||||
| Total Jamaica | 32,728,275 | |||||||||
|
|
|
|||||||||
| Jordan — 1.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 49,895,000 | Jordan Government International Bond, Reg S, 7.38%, due 10/10/47 | 48,080,069 | ||||||||
|
|
|
|||||||||
| Kazakhstan — 1.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 9,000,000 | Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42 | 11,976,750 | ||||||||
| 3,800,000 | KazMunayGas National Co JSC, Reg S, 5.75%, due 04/19/47 | 4,464,240 | ||||||||
| Par Value† |
Description | Value ($) | ||||||||
| Kazakhstan — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 19,900,000 | KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48 | 25,208,325 | ||||||||
|
|
|
|||||||||
| Total Kazakhstan | 41,649,315 | |||||||||
|
|
|
|||||||||
| Kenya — 0.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 30,400,000 | Kenya Government International Bond, Reg S, 8.25%, due 02/28/48 | 29,830,000 | ||||||||
|
|
|
|||||||||
| Kuwait — 0.4% | ||||||||||
| Corporate Debt | ||||||||||
| 4,100,000 | Equate Petrochemical BV, Reg S, 2.63%, due 04/28/28 | 4,078,988 | ||||||||
| 9,200,000 | MEGlobal Canada ULC, Reg S, 5.88%, due 05/18/30 | 11,073,350 | ||||||||
|
|
|
|||||||||
| Total Kuwait | 15,152,338 | |||||||||
|
|
|
|||||||||
| Lebanon — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 20,400,000 | Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (d) | 2,244,000 | ||||||||
| 5,547,000 | Lebanon Government International Bond, Reg S, 7.00%, due 03/20/28 (d) | 610,170 | ||||||||
| 53,605,000 | Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d) | 5,896,550 | ||||||||
| 21,000,000 | Lebanon Government International Bond, 8.20%, due 05/17/33 (d) | 2,310,000 | ||||||||
| 50,114,000 | Lebanon Government International Bond, 8.25%, due 05/17/34 (d) | 5,512,540 | ||||||||
|
|
|
|||||||||
| Total Lebanon | 16,573,260 | |||||||||
|
|
|
|||||||||
| Malaysia — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 16,700,000 | 1MDB Global Investments Ltd., Reg S, 4.40%, due 03/09/23 | 16,715,030 | ||||||||
| 6,000,000 | Dua Capital Ltd, Reg S, 2.78%, due 05/11/31 | 5,982,060 | ||||||||
| 8,400,000 | Petronas Capital Ltd, Reg S, 4.80%, due 04/21/60 | 11,208,120 | ||||||||
| 4,200,000 | Petronas Capital Ltd, Reg S, 3.40%, due 04/28/61 | 4,336,080 | ||||||||
|
|
|
|||||||||
| Total Malaysia | 38,241,290 | |||||||||
|
|
|
|||||||||
| Mexico — 5.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 27,884,000 | Petroleos Mexicanos, 6.35%, due 02/12/48 | 21,868,027 | ||||||||
| 6,400,000 | Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49 | 5,058,624 | ||||||||
| 131,800,000 | Petroleos Mexicanos, 7.69%, due 01/23/50 | 117,816,020 | ||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| Mexico — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 23,486,000 | Petroleos Mexicanos, 6.95%, due 01/28/60 | 19,199,805 | ||||||||
| GBP |
56,096,000 | United Mexican States, 5.63%, due 03/19/2114 | 80,200,237 | |||||||
|
|
|
|||||||||
| Total Mexico | 244,142,713 | |||||||||
|
|
|
|||||||||
| Mongolia — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 3,700,000 | Mongolia Government International Bond, 144A, 4.45%, due 07/07/31 | 3,487,657 | ||||||||
|
|
|
|||||||||
| Montenegro — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| EUR |
9,100,000 | Montenegro Government International Bond, 144A, 2.88%, due 12/16/27 | 9,443,089 | |||||||
|
|
|
|||||||||
| Morocco — 0.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 11,300,000 | Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44 | 13,159,556 | ||||||||
| 10,500,000 | Office Cherifien des Phosphates SA, Reg S, 5.13%, due 06/23/51 | 9,911,344 | ||||||||
|
|
|
|||||||||
| Total Morocco | 23,070,900 | |||||||||
|
|
|
|||||||||
| Mozambique — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 9,276,000 | Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31 | 7,813,871 | ||||||||
|
|
|
|||||||||
| Nigeria — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 10,700,000 | Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38 | 9,523,000 | ||||||||
| 15,550,000 | Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47 | 13,334,125 | ||||||||
| 7,600,000 | Nigeria Government International Bond, Reg S, 9.25%, due 01/21/49 | 7,495,500 | ||||||||
| 11,300,000 | Nigeria Government International Bond, 144A, 8.25%, due 09/28/51 | 10,226,500 | ||||||||
|
|
|
|||||||||
| Total Nigeria | 40,579,125 | |||||||||
|
|
|
|||||||||
| Oman — 2.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 4,600,000 | Oman Government International Bond, Reg S, 6.50%, due 03/08/47 | 4,335,500 | ||||||||
| 96,800,000 | Oman Government International Bond, Reg S, 6.75%, due 01/17/48 | 93,170,000 | ||||||||
| 5,400,000 | Oman Government International Bond, Reg S, 7.00%, due 01/25/51 | 5,359,500 | ||||||||
|
|
|
|||||||||
| Total Oman | 102,865,000 | |||||||||
|
|
|
|||||||||
| Par Value† |
Description | Value ($) | ||||||||
| Pakistan — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 14,762,000 | Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36 | 14,026,668 | ||||||||
|
|
|
|||||||||
| Panama — 1.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 26,200,000 | Aeropuerto Internacional de Tocumen SA, Reg S, 5.13%, due 08/11/61 | 27,130,100 | ||||||||
| 12,651,000 | Panama Government International Bond, 8.13%, due 04/28/34 | 19,114,870 | ||||||||
| 9,000,000 | Panama Government International Bond, 4.30%, due 04/29/53 | 9,367,313 | ||||||||
| 16,800,000 | Panama Government International Bond, 4.50%, due 04/01/56 | 17,884,650 | ||||||||
|
|
|
|||||||||
| Total Panama | 73,496,933 | |||||||||
|
|
|
|||||||||
| Papua New Guinea — 0.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 1,400,000 | Papua New Guinea Government International Bond, Reg S, 8.38%, due 10/04/28 | 1,400,000 | ||||||||
|
|
|
|||||||||
| Peru — 2.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| PEN |
56,700,000 | Peru Government Bond, 6.15%, due 08/12/32 | 13,952,173 | |||||||
| 19,100,000 | Peruvian Government International Bond, 3.60%, due 01/15/72 | 18,145,000 | ||||||||
| 26,700,000 | Peruvian Government International Bond, 3.23%, due 07/28/2121 | 22,099,256 | ||||||||
| 48,595,000 | Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47 | 47,228,266 | ||||||||
|
|
|
|||||||||
| Total Peru | 101,424,695 | |||||||||
|
|
|
|||||||||
| Philippines — 1.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 4,700,000 | Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c) | 8,695,000 | ||||||||
| 13,500,000 | Philippine Government International Bond, 3.20%, due 07/06/46 | 13,400,235 | ||||||||
| 40,012,000 | Power Sector Assets & Liabilities Management Corp, 9.63%, due 05/15/28 | 56,874,557 | ||||||||
|
|
|
|||||||||
| Total Philippines | 78,969,792 | |||||||||
|
|
|
|||||||||
| Qatar — 1.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 26,900,000 | Qatar Government International Bond, Reg S, 4.40%, due 04/16/50 | 32,851,625 | ||||||||
| 13,378,000 | QNB Finansbank AS, Reg S, 6.88%, due 09/07/24 | 13,978,338 | ||||||||
|
|
|
|||||||||
| Total Qatar | 46,829,963 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| Republic of North Macedonia — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| EUR |
7,800,000 | North Macedonia Government International Bond, Reg S, 1.63%, due 03/10/28 | 8,204,651 | |||||||
|
|
|
|||||||||
| Romania — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| EUR |
11,300,000 | Romanian Government International Bond, Reg S, 4.63%, due 04/03/49 | 14,321,139 | |||||||
| EUR |
10,900,000 | Romanian Government International Bond, Reg S, 3.38%, due 01/28/50 | 11,527,282 | |||||||
|
|
|
|||||||||
| Total Romania | 25,848,421 | |||||||||
|
|
|
|||||||||
| Russia — 2.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 21,870,000 | GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 | 22,034,025 | ||||||||
| 5,200,000 | GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 | 5,252,000 | ||||||||
| 34,000,000 | Russian Foreign Bond, 144A, 5.10%, due 03/28/35 | 39,950,000 | ||||||||
| 3,800,000 | Russian Foreign Bond, Reg S, 5.10%, due 03/28/35 | 4,465,000 | ||||||||
| 29,200,000 | Russian Foreign Bond, Reg S, 5.25%, due 06/23/47 | 36,938,000 | ||||||||
|
|
|
|||||||||
| Total Russia | 108,639,025 | |||||||||
|
|
|
|||||||||
| Saudi Arabia — 2.8% | ||||||||||
| Corporate Debt — 0.6% | ||||||||||
| 23,724,588 | ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39 (e) | 28,124,312 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 2.2% | ||||||||||
| 21,400,000 | Saudi Arabian Oil Co, Reg S, 3.50%, due 11/24/70 | 20,677,750 | ||||||||
| 5,600,000 | Saudi Government International Bond, Reg S, 3.75%, due 01/21/55 | 5,894,000 | ||||||||
| 67,500,000 | Saudi Government International Bond, Reg S, 3.45%, due 02/02/61 | 66,909,375 | ||||||||
|
|
|
|||||||||
| 93,481,125 | ||||||||||
|
|
|
|||||||||
| Total Saudi Arabia | 121,605,437 | |||||||||
|
|
|
|||||||||
| Senegal — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 8,800,000 | Senegal Government International Bond, Reg S, 6.75%, due 03/13/48 | 8,470,000 | ||||||||
|
|
|
|||||||||
| Serbia — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| EUR |
15,500,000 | Serbia International Bond, 144A, 2.05%, due 09/23/36 | 15,249,400 | |||||||
|
|
|
|||||||||
| Par Value† |
Description | Value ($) | ||||||||
| South Africa — 3.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 13,600,000 | Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25 | 13,955,300 | ||||||||
| 13,600,000 | Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28 | 14,427,050 | ||||||||
| ZAR |
203,950,000 | Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32 | 2,545,496 | |||||||
| ZAR |
543,600,000 | Republic of South Africa Government International Bond, 6.50%, due 02/28/41 | 22,190,528 | |||||||
| 6,800,000 | Republic of South Africa Government International Bond, 6.30%, due 06/22/48 | 6,801,275 | ||||||||
| 86,600,000 | Republic of South Africa Government International Bond, 5.75%, due 09/30/49 | 80,337,737 | ||||||||
| ZAR |
27,300,000 | Transnet SOC, Ltd., 13.50%, due 04/18/28 | 2,022,758 | |||||||
|
|
|
|||||||||
| Total South Africa | 142,280,144 | |||||||||
|
|
|
|||||||||
| Sri Lanka — 1.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 7,280,000 | Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26 | 4,094,090 | ||||||||
| 11,644,000 | Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27 | 6,402,745 | ||||||||
| 34,500,000 | Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28 | 19,013,812 | ||||||||
| 8,800,000 | Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29 | 4,838,900 | ||||||||
| 27,900,000 | Sri Lanka Government International Bond, Reg S, 7.55%, due 03/28/30 | 15,332,794 | ||||||||
|
|
|
|||||||||
| Total Sri Lanka | 49,682,341 | |||||||||
|
|
|
|||||||||
| SupraNational — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| TRY |
263,000,000 | International Finance Corp., Zero Coupon, Reg S, due 02/15/29 | 5,687,214 | |||||||
| BRL |
225,000,000 | International Finance Corp., Zero Coupon, due 02/25/41 | 7,077,563 | |||||||
|
|
|
|||||||||
| Total SupraNational | 12,764,777 | |||||||||
|
|
|
|||||||||
| Suriname — 0.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 14,000,000 | Republic of Suriname, Reg S, 12.88%, due 12/30/23 (d) | 9,957,500 | ||||||||
| 17,559,000 | Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d) | 12,252,890 | ||||||||
|
|
|
|||||||||
| Total Suriname | 22,210,390 | |||||||||
|
|
|
|||||||||
| Tajikistan — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 11,374,000 | Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27 | 9,844,197 | ||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| Trinidad And Tobago — 1.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 9,800,000 | Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29 | 10,446,187 | ||||||||
| 3,800,000 | Trinidad & Tobago Government International Bond, Reg S, 4.50%, due 06/26/30 | 3,838,713 | ||||||||
| 6,127,000 | Trinidad Generation UnLtd., Reg S, 5.25%, due 11/04/27 | 6,191,333 | ||||||||
| 22,488,000 | Trinidad Petroleum Holdings Ltd., Reg S, 9.75%, due 06/15/26 | 24,579,384 | ||||||||
|
|
|
|||||||||
| Total Trinidad And Tobago | 45,055,617 | |||||||||
|
|
|
|||||||||
| Tunisia — 1.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| JPY |
7,340,000,000 | Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c) | 40,637,273 | |||||||
| JPY |
2,500,000,000 | Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c) | 13,745,821 | |||||||
| JPY |
900,000,000 | Banque Centrale de Tunisie SA, 3.50%, due 02/03/33 | 3,901,446 | |||||||
|
|
|
|||||||||
| Total Tunisia | 58,284,540 | |||||||||
|
|
|
|||||||||
| Turkey — 3.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 20,100,000 | Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25 | 18,994,500 | ||||||||
| 13,000,000 | Republic of Turkey, 6.50%, due 09/20/33 | 11,927,500 | ||||||||
| 10,002,000 | Republic of Turkey, 6.00%, due 01/14/41 | 8,294,159 | ||||||||
| 23,600,000 | Republic of Turkey, 6.63%, due 02/17/45 | 20,691,300 | ||||||||
| 125,313,000 | Republic of Turkey, 5.75%, due 05/11/47 | 100,273,896 | ||||||||
|
|
|
|||||||||
| Total Turkey | 160,181,355 | |||||||||
|
|
|
|||||||||
| Ukraine — 2.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| EUR |
3,800,000 | NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24 | 3,913,101 | |||||||
| 19,000,000 | NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.63%, due 11/08/26 | 16,836,375 | ||||||||
| 3,800,000 | NPC Ukrenergo, 144A, 6.88%, due 11/09/26 | 3,559,650 | ||||||||
| 9,100,000 | State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/28 | 8,281,000 | ||||||||
| 8,019,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26 | 8,028,021 | ||||||||
| 3,869,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27 | 3,859,327 | ||||||||
| Par Value† |
Description | Value ($) | ||||||||
| Ukraine — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 33,900,000 | Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32 | 31,916,850 | ||||||||
| 29,900,000 | Ukraine Government International Bond, Reg S, 7.25%, due 03/15/33 | 27,851,850 | ||||||||
| 200,000 | Ukraine Railways Via Rail Capital Markets Plc, Reg S, 7.88%, due 07/15/26 | 187,538 | ||||||||
|
|
|
|||||||||
| Total Ukraine | 104,433,712 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 1.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 4,500,000 | Abu Dhabi Crude Oil Pipeline LLC, Reg S, 4.60%, due 11/02/47 | 5,242,500 | ||||||||
| 10,700,000 | Abu Dhabi Government International Bond, Reg S, 3.13%, due 09/30/49 | 10,860,500 | ||||||||
| 9,100,000 | Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70 | 8,281,000 | ||||||||
| 6,000,000 | DAE Funding LLC, Reg S, 3.38%, due 03/20/28 | 6,075,000 | ||||||||
| 6,300,000 | DP World Ltd., Reg S, 4.70%, due 09/30/49 | 6,779,587 | ||||||||
| 18,700,000 | Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50 | 16,806,625 | ||||||||
| 28,300,000 | Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51 | 26,743,500 | ||||||||
|
|
|
|||||||||
| Total United Arab Emirates | 80,788,712 | |||||||||
|
|
|
|||||||||
| United States — 6.5% | ||||||||||
| Asset-Backed Securities — 0.3% | ||||||||||
| 1,386,367 | CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.33%, due 12/15/35 | 1,344,043 | ||||||||
| 527,057 | CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.33%, due 12/15/35 | 521,394 | ||||||||
| 994,351 | CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 0.29%, due 05/15/36 | 954,025 | ||||||||
| 8,649,632 | 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 | 3,798,551 | ||||||||
| 8,764,960 | 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 | 3,891,488 | ||||||||
| 4,503,171 | Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 0.45%, due 04/25/37 | 2,209,534 | ||||||||
|
|
|
|||||||||
| 12,719,035 | ||||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| Corporate Debt — 0.0% | ||||||||||
| 385,402 | AMBAC Assurance Corp., 144A, 5.10%, due 06/07/2170 | 520,293 | ||||||||
|
|
|
|||||||||
| U.S. Government — 6.2% | ||||||||||
| 145,600,000 | U.S. Treasury Note, 0.13%, due 11/30/22 | 145,395,250 | ||||||||
| 30,000,000 | U.S. Treasury Note, 0.13%, due 12/31/22 | 29,947,265 | ||||||||
| 69,300,000 | U.S. Treasury Note, 0.13%, due 03/31/23 (g) | 69,078,024 | ||||||||
| 20,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.09%, due 10/31/23 (g) | 19,998,035 | ||||||||
|
|
|
|||||||||
| 264,418,574 | ||||||||||
|
|
|
|||||||||
| Total United States | 277,657,902 | |||||||||
|
|
|
|||||||||
| Uruguay — 0.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 27,918,000 | Uruguay Government International Bond, 5.10%, due 06/18/50 | 36,080,525 | ||||||||
|
|
|
|||||||||
| Uzbekistan — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 3,900,000 | Republic of Uzbekistan International Bond, Reg S, 5.38%, due 02/20/29 | 4,124,250 | ||||||||
| 7,600,000 | Republic of Uzbekistan International Bond, Reg S, 3.70%, due 11/25/30 | 7,087,000 | ||||||||
| 6,000,000 | Uzbekneftegaz JSC, 144A, 4.75%, due 11/16/28 | 5,752,500 | ||||||||
|
|
|
|||||||||
| Total Uzbekistan | 16,963,750 | |||||||||
|
|
|
|||||||||
| Venezuela — 1.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 111,465,000 | Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (d) | 2,229,300 | ||||||||
| 176,000,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d) | 7,920,000 | ||||||||
| 61,967,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d) | 2,695,564 | ||||||||
| 19,028,000 | Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d) | 1,807,660 | ||||||||
| 36,600,000 | Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d) | 3,477,000 | ||||||||
| 23,750,000 | Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d) | 2,256,250 | ||||||||
| 172,793,000 | Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d) | 16,415,335 | ||||||||
| 68,700,000 | Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d) | 6,526,500 | ||||||||
| 7,000,000 | Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d) | 665,000 | ||||||||
|
|
|
|||||||||
| Total Venezuela | 43,992,609 | |||||||||
|
|
|
|||||||||
| Par Value† |
Description | Value ($) | ||||||||
| Vietnam — 0.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 22,558,000 | Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25 | 20,482,664 | ||||||||
| 9,918,000 | Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 0.96%, due 03/13/28 (c) | 9,322,920 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 29,805,584 | |||||||||
|
|
|
|||||||||
| Zambia — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers | ||||||||||
| 3,600,000 | Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 (d) | 2,664,000 | ||||||||
| 27,572,000 | Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (d) | 20,885,790 | ||||||||
|
|
|
|||||||||
| Total Zambia | 23,549,790 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $4,450,045,861) | 3,964,243,183 | |||||||||
|
|
|
|||||||||
| LOAN ASSIGNMENTS — 1.3% | ||||||||||
| Chad — 0.4% | ||||||||||
| 6,119,189 | Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 2.17%, due 09/30/25 (c) | 4,956,543 | ||||||||
| 20,133,615 | Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 2.42%, due 12/31/27 (c) | 13,489,522 | ||||||||
|
|
|
|||||||||
| Total Chad | 18,446,065 | |||||||||
|
|
|
|||||||||
| Kenya — 0.1% | ||||||||||
| 4,258,333 | Republic of Kenya Loan Agreement, 6 mo. LIBOR + 6.70%, 6.94%, due 04/10/25 (a) | 4,208,782 | ||||||||
|
|
|
|||||||||
| Turkey — 0.8% | ||||||||||
| EUR |
30,567,857 | Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, 8.85%, due 06/23/28 (a) | 34,213,040 | |||||||
|
|
|
|||||||||
| TOTAL LOAN ASSIGNMENTS (COST $57,850,940) |
56,867,887 | |||||||||
|
|
|
|||||||||
| LOAN PARTICIPATIONS — 1.2% | ||||||||||
| Angola — 0.8% | ||||||||||
| 585,000 | Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 4.74%, due 12/07/23 (c) | 570,375 | ||||||||
| 13,200,000 | Republic of Angola Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 | 12,216,600 | ||||||||
| 9,093,750 | Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.49%, due 12/13/23 (c) | 8,775,469 | ||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) |
||||||||
| Angola — continued | ||||||||||
| 5,202,745 | Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.49%, due 12/20/23 (c) | 5,020,649 | ||||||||
| 9,500,000 | Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c) | 9,262,500 | ||||||||
|
|
|
|||||||||
| Total Angola | 35,845,593 | |||||||||
|
|
|
|||||||||
| Egypt — 0.0% | ||||||||||
| CHF |
577 | Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a) | 523 | |||||||
|
|
|
|||||||||
| Iraq — 0.3% | ||||||||||
| EUR |
727,635 | Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c) | 684,925 | |||||||
| JPY |
104,615,448 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c) | 738,097 | |||||||
| JPY |
1,159,438,713 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c) | 8,180,231 | |||||||
| JPY |
246,124,274 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c) | 1,736,490 | |||||||
|
|
|
|||||||||
| Total Iraq | 11,339,743 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| EUR |
76,893,500 | Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d) | 3 | |||||||
|
|
|
|||||||||
| Sudan — 0.1% | ||||||||||
| CHF |
11,833,578 | Republic of Sudan Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (c) (d) | 1,804,587 | |||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| Sudan — continued | ||||||||||
| CHF |
5,155,077 | Republic of Sudan Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (d) | 786,134 | |||||||
|
|
|
|||||||||
| Total Sudan | 2,590,721 | |||||||||
|
|
|
|||||||||
| TOTAL LOAN PARTICIPATIONS (COST $66,164,736) |
49,776,583 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 1.7% | ||||||||||
| United States — 1.7% | ||||||||||
| Affiliated Issuers — 1.7% | ||||||||||
| 14,838,144 | GMO U.S. Treasury Fund | 74,635,866 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $74,296,430) |
74,635,866 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.4% | ||||||||||
| Argentina — 0.1% | ||||||||||
| EUR |
335,089,675 | Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (d) (h) | 2,203,387 | |||||||
| JPY |
740,189,000 | Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (a) (h) | 18,984 | |||||||
|
|
|
|||||||||
| Total Argentina | 2,222,371 | |||||||||
|
|
|
|||||||||
| Ukraine — 0.3% | ||||||||||
| 14,446,000 | Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (h) | 13,022,166 | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $49,378,719) |
15,244,537 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
| Money Market Funds | ||||||||||
| 7,125,039 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (i) | 7,125,039 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $7,125,039) |
7,125,039 | |||||||||
|
|
|
|||||||||
PURCHASED OPTIONS — 0.0%
| Description | Counterparty | Exercise Price |
Expiration Date |
Principal Amount |
Notional Amount |
Value ($) | ||||||||||||||||||
| Currency Options — Puts — 0.0% |
| |||||||||||||||||||||||
| USD Put/RUB Call |
BCLY | 72.50 | 09/22/22 | USD | 65,200,000 | USD | 65,200,000 | 987,389 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL PURCHASED OPTIONS (COST $1,094,708) | 987,389 | |||||
|
|
|
|||||
| TOTAL INVESTMENTS — 97.5% (Cost $4,705,956,433) |
4,168,880,484 | |||||
| Other Assets and Liabilities (net) — 2.5% | 105,579,802 | |||||
|
|
|
|||||
| TOTAL NET ASSETS — 100.0% | $ | 4,274,460,286 | ||||
|
|
|
|||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Forward Currency Contracts
| Settlement Date |
Counterparty |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 12/02/2021 | MSCI | BRL | 35,000,000 | USD | 6,227,315 | 1,606 | ||||||||||||||||
| 02/02/2022 | JPM | BRL | 52,000,000 | USD | 9,120,407 | (7,364 | ) | |||||||||||||||
| 02/17/2022 | JPM | COP | 53,583,000,000 | USD | 13,464,419 | 155,794 | ||||||||||||||||
| 01/21/2022 | MSCI | EUR | 151,400,000 | USD | 176,600,926 | 4,581,203 | ||||||||||||||||
| 01/21/2022 | SSB | EUR | 8,600,000 | USD | 9,701,017 | (70,249 | ) | |||||||||||||||
| 01/21/2022 | MSCI | GBP | 63,311,000 | USD | 87,443,102 | 3,170,338 | ||||||||||||||||
| 01/19/2022 | BCLY | JPY | 8,000,000,000 | USD | 69,791,804 | (1,045,068 | ) | |||||||||||||||
| 02/16/2022 | MSCI | PEN | 58,900,000 | USD | 14,539,620 | 120,133 | ||||||||||||||||
| 01/14/2022 | BCLY | RUB | 327,000,000 | USD | 4,564,171 | 201,837 | ||||||||||||||||
| 01/14/2022 | MSCI | RUB | 189,000,000 | USD | 2,613,367 | 92,018 | ||||||||||||||||
| 01/25/2022 | MSCI | TRY | 66,400,000 | USD | 5,228,717 | 497,656 | ||||||||||||||||
| 01/14/2022 | BCLY | USD | 7,300,812 | RUB | 553,000,000 | 76,468 | ||||||||||||||||
| 01/14/2022 | GS | USD | 4,690,099 | RUB | 344,000,000 | (100,978 | ) | |||||||||||||||
| 01/31/2022 | MSCI | ZAR | 230,000,000 | USD | 15,174,006 | 831,333 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | 8,504,727 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Reverse Repurchase Agreements(j)
| Face Value |
Description |
Value ($) | ||||||||
| USD | 6,343,099 | J.P. Morgan Securities Plc, (0.50)%, dated 10/05/21, (collateral: Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (6,343,099 | ) | ||||||
| USD | 2,495,460 | J.P. Morgan Securities Plc, (0.25)%, dated 10/05/21, (collateral: Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29), to be repurchased on demand at face value plus accrued interest. | (2,495,460 | ) | ||||||
| USD | 506,411 | J.P. Morgan Securities Plc, (0.25)%, dated 10/05/21, (collateral: Barbados Government International Bond, Reg S, 6.50%, due 10/01/29), to be repurchased on demand at face value plus accrued interest. | (506,411 | ) | ||||||
| USD | 1,224,272 | J.P. Morgan Securities Plc, (0.05)%, dated 10/05/21, (collateral: ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39), to be repurchased on demand at face value plus accrued interest. | (1,224,272 | ) | ||||||
|
|
|
|||||||||
| $ | (10,569,242 | ) | ||||||||
|
|
|
|||||||||
| Average balance outstanding | $ | (12,461,330 | ) | |||||||
| Average interest rate (net) | 0.46 | % | ||||||||
| 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.
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
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) | (111,335 | ) | 55,293 | |||||||||||
| 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) | (1,210,256 | ) | 146,500 | |||||||||||
| 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) | (4,049,222 | ) | (122,453 | ) | ||||||||||
|
|
|
|
|
|||||||||||||||
| $ | (5,370,813 | ) | $ | 79,340 | ||||||||||||||
|
|
|
|
|
|||||||||||||||
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% | 1.39% | N/A | 06/20/2024 | Quarterly | 4,376,875 | 1,379,031 | (2,997,844 | ) | |||||||||||||||||||||
|
CDX-EMS.35.V1-5Y |
USD | 143,000,000 | 1.00% | 2.07% | N/A | 06/20/2026 | Quarterly | 4,242,750 | 6,498,492 | 2,255,742 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 8,619,625 | $ | 7,877,523 | $ | (742,102 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
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% | 16.13% | N/A | 06/20/2022 | Quarterly | 2,109,320 | 1,559,533 | (549,787 | ) | ||||||||||||||||||||
| Republic of Ghana |
JPM | USD | 3,700,000 | 5.00% | 8.95% | N/A | 06/20/2023 | Quarterly | (112,260 | ) | 209,735 | 321,995 | ||||||||||||||||||||
| Republic of Ghana |
JPM | USD | 3,700,000 | 5.00% | 8.95% | N/A | 06/20/2023 | Quarterly | (112,514 | ) | 209,735 | 322,249 | ||||||||||||||||||||
| Republic of South Africa |
CITI | USD | 35,900,000 | 1.00% | 1.37% | N/A | 12/20/2023 | Quarterly | 56,177 | 269,613 | 213,436 | |||||||||||||||||||||
| Petrobras Global Finance BV |
CITI | USD | 37,000,000 | 1.00% | 2.01% | N/A | 06/20/2024 | Quarterly | 1,923,458 | 935,905 | (987,553 | ) | ||||||||||||||||||||
| Petrobras Global Finance BV |
CITI | USD | 13,000,000 | 1.00% | 2.01% | N/A | 06/20/2024 | Quarterly | 371,175 | 328,831 | (42,344 | ) | ||||||||||||||||||||
| Republic of Ghana |
JPM | USD | 7,500,000 | 5.00% | 8.47% | N/A | 06/20/2024 | Quarterly | 58,680 | 578,461 | 519,781 | |||||||||||||||||||||
| Commonwealth of Bahamas |
DB | EUR | 37,970,815 | 1.00% | 5.66% | N/A | 06/20/2025 | Quarterly | 5,153,295 | 3,530,067 | (1,623,228 | ) | ||||||||||||||||||||
| Republic of Colombia |
CITI | USD | 6,000,000 | 1.00% | 2.27% | N/A | 12/20/2026 | Quarterly | 168,255 | 359,733 | 191,478 | |||||||||||||||||||||
| Republic of South Africa |
GS | USD | 41,800,000 | 1.00% | 2.44% | N/A | 12/20/2026 | Quarterly | 2,193,618 | 2,831,350 | 637,732 | |||||||||||||||||||||
| Republic of Turkey |
GS | USD | 32,000,000 | 1.00% | 5.08% | N/A | 12/20/2026 | Quarterly | 4,436,785 | 5,568,784 | 1,131,999 | |||||||||||||||||||||
| United States of Mexico |
MORD | USD | 20,000,000 | 1.00% | 1.19% | N/A | 12/20/2026 | Quarterly | (19,610 | ) | 181,283 | 200,893 | ||||||||||||||||||||
| United States of Mexico |
GS | USD | 20,000,000 | 1.00% | 1.62% | N/A | 06/20/2029 | Quarterly | 1,589,641 | 860,811 | (728,830 | ) | ||||||||||||||||||||
| United States of Mexico |
GS | USD | 20,000,000 | 1.00% | 1.84% | N/A | 09/20/2031 | Quarterly | 2,640,655 | 1,441,241 | (1,199,414 | ) | ||||||||||||||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
| Reference Entity |
Counterparty |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||
| Commonwealth of Bahamas |
DB | USD | 6,975,000 | 1.00% | 5.48% | 6,975,000 USD | 06/20/2023 | Quarterly | (1,263,915 | ) | (463,895 | ) | 800,020 | |||||||||||||||||||||
| Commonwealth of Bahamas |
DB | USD | 3,487,000 | 1.00% | 5.48% | 3,487,000 USD | 06/20/2023 | Quarterly | (641,463 | ) | (231,914 | ) | 409,549 | |||||||||||||||||||||
| Commonwealth of Bahamas |
DB | USD | 50,827,085 | 1.00% | 5.65% | 50,827,085 USD | 06/20/2025 | Quarterly | (5,838,385 | ) | (4,097,934 | ) | 1,740,451 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| $ | 12,712,912 | $ | 14,071,339 | $ | 1,358,427 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection—Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of November 30, 2021, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| BZDIOVRA Index |
9.51% | BRL | 1,255,000,000 | 01/02/2025 | At Maturity | — | (7,723,251 | ) | (7,723,251 | ) | ||||||||||||||||
| BZDIOVRA Index |
9.78% | BRL | 338,000,000 | 01/02/2025 | At Maturity | — | (1,714,389 | ) | (1,714,389 | ) | ||||||||||||||||
| 0.30% |
6 Month EURIBOR | EUR | 14,400,000 | 12/17/2031 | Semi-Annually | (127,132 | ) | (257,339 | ) | (130,207 | ) | |||||||||||||||
| 0.90% |
GBP - SONIA - COMPOUND | GBP | 34,300,000 | 06/10/2051 | Annually | (223,920 | ) | (3,344,456 | ) | (3,120,536 | ) | |||||||||||||||
| 0.48% |
6 Month EURIBOR | EUR | 34,600,000 | 06/14/2051 | Semi-Annually | 57,183 | (2,592,817 | ) | (2,650,000 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | (293,869 | ) | $ | (15,632,252 | ) | $ | (15,338,383 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
As of November 30, 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) | Security is in default. |
| (e) | All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements. |
| (f) | Security is backed by the United States International Development Finance Corporation. |
| (g) | 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. |
| (h) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic. |
| (i) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
| (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 November 30, 2021, which are subject to change based on the terms of the security.
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 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.
AMBAC - Insured as to the payment of principal and interest by AMBAC Assurance Corporation.
BZDIOVRA - Brazil Interbank Deposit Rate
CJSC - Closed Joint-Stock Company
CP - Counterparty
EURIBOR - Euro Interbank Offered Rate
FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.
GDP - Gross Domestic Product
JSC - Joint-Stock Company
LIBOR - London Interbank Offered Rate
OJSC - Open Joint-Stock Company
OTC - Over-the-Counter
Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
SONIA - Sterling Overnight Interbank Average Rate
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
XLCA - Insured as to the payment of principal and interest by XL Capital Assurance.
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
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
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
PEN - Peruvian Sol
RUB - Russian Ruble
TRY - Turkish Lira
USD - United States Dollar
ZAR - South African Rand
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 32.4% |
| |||||||||
| Corporate Debt — 28.4% | ||||||||||
| Canada — 1.6% | ||||||||||
| 825,000 | Methanex Corp., 5.25%, due 12/15/29 | 862,125 | ||||||||
| 125,000 | Mountain Province Diamonds, Inc., 144A, 8.00%, due 12/15/22 | 116,021 | ||||||||
| 500,000 | Quebecor Media, Inc., 5.75%, due 01/15/23 | 520,460 | ||||||||
|
|
|
|||||||||
| Total Canada | 1,498,606 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.2% | ||||||||||
| 175,035 | Trilogy International South Pacific LLC / TISP Finance, Inc., 144A, 8.88%, due 05/15/23 | 169,784 | ||||||||
|
|
|
|||||||||
| United Kingdom — 1.4% | ||||||||||
| 350,000 | Avon Products, Inc., 6.50%, due 03/15/23 | 366,142 | ||||||||
| 190,000 | Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23 | 190,475 | ||||||||
| 725,000 | Rolls-Royce Plc, 144A, 3.63%, due 10/14/25 | 734,016 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 1,290,633 | |||||||||
|
|
|
|||||||||
| United States — 25.2% | ||||||||||
| 125,000 | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23 | 126,116 | ||||||||
| 375,000 | Ally Financial, Inc., 5.75%, due 11/20/25 | 424,680 | ||||||||
| 375,000 | Altera Infrastructure LP / Teekay Offshore Finance Corp., 144A, 8.50%, due 07/15/23 | 204,375 | ||||||||
| 250,000 | American Airlines Inc. / AAdvantage Loyalty IP Ltd, 144A, 5.75%, due 04/20/29 | 260,721 | ||||||||
| 373,000 | AmeriGas Partners LP / AmeriGas Finance Corp., 5.63%, due 05/20/24 | 397,245 | ||||||||
| 325,000 | Apache Corp., 5.35%, due 07/01/49 | 370,549 | ||||||||
| 625,000 | Arconic Corp., 144A, 6.00%, due 05/15/25 | 651,562 | ||||||||
| 250,000 | Brinker International, Inc., 3.88%, due 05/15/23 | 256,875 | ||||||||
| 250,000 | Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.75%, due 04/15/23 | 248,125 | ||||||||
| 275,000 | Cleaver-Brooks, Inc., 144A, 7.88%, due 03/01/23 | 269,500 | ||||||||
| 250,000 | Cogent Communications Group, Inc., 144A, 3.50%, due 05/01/26 | 250,625 | ||||||||
| 125,000 | Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 02/15/23 | 130,938 | ||||||||
| 400,000 | Enact Holdings, Inc., 144A, 6.50%, due 08/15/25 | 434,918 | ||||||||
| 1,050,000 | Ford Motor Credit Co. LLC, 4.13%, due 08/04/25 | 1,097,250 | ||||||||
| 1,177,000 | Ford Motor Credit Co. LLC, 3.82%, due 11/02/27 | 1,215,994 | ||||||||
| 250,000 | Freeport-McMoRan, Inc., 3.88%, due 03/15/23 | 257,023 | ||||||||
| 375,000 | G-III Apparel Group Ltd., 144A, 7.88%, due 08/15/25 | 398,906 | ||||||||
| 670,000 | Hexcel Corp., 4.20%, due 02/15/27 | 714,198 | ||||||||
| 875,000 | JBS Finance Luxembourg Sarl, 144A, 3.63%, due 01/15/32 | 866,530 | ||||||||
| Par Value† |
Description | Value ($) | ||||||||
| United States — continued |
| |||||||||
| Corporate Debt — continued | ||||||||||
| 500,000 | KB Home, 4.80%, due 11/15/29 | 531,875 | ||||||||
| 625,000 | Kraft Heinz Foods Co., 3.88%, due 05/15/27 | 675,715 | ||||||||
| 625,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, REIT, 4.25%, due 02/01/27 | 621,313 | ||||||||
| 750,000 | Lumen Technologies, Inc., 144A, 4.50%, due 01/15/29 | 705,217 | ||||||||
| 207,000 | Macy’s Retail Holdings LLC, 2.88%, due 02/15/23 | 210,188 | ||||||||
| 375,000 | Netflix, Inc., 4.38%, due 11/15/26 | 413,438 | ||||||||
| 525,000 | Newell Brands, Inc., 4.70%, due 04/01/26 | 562,296 | ||||||||
| 500,000 | Occidental Petroleum Corp., 4.30%, due 08/15/39 | 487,500 | ||||||||
| 775,000 | Occidental Petroleum Corp., 4.40%, due 08/15/49 | 761,437 | ||||||||
| 375,000 | OneMain Finance Corp., 6.63%, due 01/15/28 | 415,376 | ||||||||
| 250,000 | OneMain Finance Corp., 6.88%, due 03/15/25 | 275,000 | ||||||||
| 375,000 | Ovintiv, Inc., 7.38%, due 11/01/31 | 479,097 | ||||||||
| 250,000 | Owens-Brockway Glass Container, Inc., 144A, 5.88%, due 08/15/23 | 260,000 | ||||||||
| 250,000 | PBF Logistics LP / PBF Logistics Finance Corp., 6.88%, due 05/15/23 | 235,000 | ||||||||
| 750,000 | Perrigo Finance UnLtd Co, 3.15%, due 06/15/30 | 736,093 | ||||||||
| 375,000 | Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26 | 396,563 | ||||||||
| 400,000 | Royal Caribbean Cruises Ltd., 144A, 10.88%, due 06/01/23 | 434,976 | ||||||||
| 625,000 | Sealed Air Corp., 144A, 5.25%, due 04/01/23 | 649,313 | ||||||||
| 250,000 | Sensata Technologies BV, 144A, 4.88%, due 10/15/23 | 263,379 | ||||||||
| 250,000 | Service Properties Trust, REIT, 4.50%, due 03/15/25 | 241,250 | ||||||||
| 600,000 | Service Properties Trust, REIT, 4.38%, due 02/15/30 | 540,000 | ||||||||
| 336,000 | Southwestern Energy Co., 6.45%, due 01/23/25 | 364,577 | ||||||||
| 800,000 | Spirit AeroSystems, Inc., 3.85%, due 06/15/26 | 816,000 | ||||||||
| 600,000 | Sprint Corp., 7.88%, due 09/15/23 | 659,250 | ||||||||
| 625,000 | Tenet Healthcare Corp., 6.75%, due 06/15/23 | 664,572 | ||||||||
| 251,250 | Transocean Guardian Ltd., 144A, 5.88%, due 01/15/24 | 236,175 | ||||||||
| 375,000 | W&T Offshore, Inc., 2018 Term Loan, 144A, 9.75%, due 11/01/23 | 352,500 | ||||||||
| 500,000 | Western Midstream Operating LP, 5.30%, due 02/01/30 | 538,150 | ||||||||
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† / Shares |
Description | Value ($) | ||||||||
| United States — continued |
| |||||||||
| Corporate Debt — continued | ||||||||||
| 925,000 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 144A, 4.25%, due 05/30/23 | 925,240 | ||||||||
|
|
|
|||||||||
| Total United States | 23,027,620 | |||||||||
|
|
|
|||||||||
| Total Corporate Debt | 25,986,643 | |||||||||
|
|
|
|||||||||
| U.S. Government — 4.0% | ||||||||||
| 3,630,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 07/31/23 | 3,629,629 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $29,006,420) |
29,616,272 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 66.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 22.9% | ||||||||||
| JPY |
2,371,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 01/24/22 | 20,980,103 | |||||||
|
|
|
|||||||||
| Money Market Funds — 0.3% | ||||||||||
| 254,757 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 254,757 | ||||||||
|
|
|
|||||||||
| U.S. Government — 43.2% | ||||||||||
| 3,715,000 | U.S. Treasury Bill, 0.07%, due 09/08/22 (b) | 3,710,143 | ||||||||
| 15,500,000 | U.S. Treasury Bill, 0.19%, due 10/06/22 (b) | 15,474,589 | ||||||||
| 20,380,000 | U.S. Treasury Bill, 0.18%, due 11/03/22 (b) (c) | 20,339,141 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 39,523,873 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $60,561,708) |
60,758,733 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 98.8% (Cost $89,568,128) |
90,375,005 | |||||||||
| Other Assets and Liabilities (net) — 1.2% | 1,065,586 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $91,440,591 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 01/24/2022 | BCLY | JPY | 1,000,000,000 | USD | 8,753,120 | (101,874 | ) | |||||||||||||
| 01/24/2022 | GS | JPY | 1,371,000,000 | USD | 12,013,333 | (126,863 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| $ | (228,737 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 12 | U.S. Treasury Note 5 Yr. (CBT) | March 2022 | 1,456,781 | $ | 13,736 | |||||||||
| 26 | U.S. Treasury Ultra 2 Yr. (CBT) | March 2022 | 5,687,094 | 11,409 | ||||||||||
| 60 | U.S. Treasury Note 10 Yr. (CBT) | March 2022 | 7,848,750 | 115,250 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 14,992,625 | $ | 140,395 | |||||||||||
|
|
|
|
|
|||||||||||
| Sales | ||||||||||||||
| 1 | U.S. Long Bond (CBT) | March 2022 | 162,125 | (3,943 | ) | |||||||||
| 5 | U.S. Ultra Bond (CBT) | March 2022 | 1,002,812 | (37,486 | ) | |||||||||
|
|
|
|
|
|||||||||||
| $ | 1,164,937 | $ | (41,429 | ) | ||||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||
| CDX.NA.HYS.37.V1-5Y |
USD | 26,967,000 | 5.00% | 3.28% | 26,967,000 USD | 12/20/2026 | Quarterly | 2,600,940 | 2,059,119 | (541,821 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| $ | 2,600,940 | $ | 2,059,119 | $ | (541,821 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of November 30, 2021, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||
| 3 Month USD LIBOR |
Total Return on iShares iBoxx High Yield Corporate Bond ETF | MSCI | USD | 35,300,001 | 12/20/2021 | Quarterly | — | (542,224 | ) | (542,224 | ) | |||||||||||||||||||||
| 3 Month USD LIBOR |
Total Return on iShares iBoxx High Yield Corporate Bond ETF | MSCI | USD | 626,002 | 03/21/2022 | Quarterly | (136 | ) | (4,035 | ) | (3,899 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (136 | ) | $ | (546,259 | ) | $ | (546,123 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
As of November 30, 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 November 30, 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 November 30, 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 - Exchange-Traded Fund
REIT - Real Estate Investment Trust
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
USD LIBOR - London Interbank Offered Rate denominated in United States Dollar.
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
GS - Goldman Sachs International
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)
November 30, 2021 (Unaudited)
| Par Value† | Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 43.8% |
| |||||||||
| Brazil — 0.5% | ||||||||||
| Corporate Debt |
| |||||||||
| 400,000 | Fibria Overseas Finance Ltd., 5.50%, due 01/17/27 | 440,200 | ||||||||
| 100,000 | Suzano Austria GmbH, 3.75%, due 01/15/31 | 98,269 | ||||||||
| 100,000 | Suzano Austria GmbH, 6.00%, due 01/15/29 | 113,080 | ||||||||
| 200,000 | Suzano Austria GmbH, 5.00%, due 01/15/30 | 211,200 | ||||||||
|
|
|
|||||||||
| Total Brazil | 862,749 | |||||||||
|
|
|
|||||||||
| Canada — 0.5% | ||||||||||
| Corporate Debt |
| |||||||||
| 400,000 | Cenovus Energy, Inc., 5.40%, due 06/15/47 | 493,177 | ||||||||
| 450,000 | National Bank of Canada, Variable Rate, 0.55%, due 11/15/24 | 445,731 | ||||||||
|
|
|
|||||||||
| Total Canada | 938,908 | |||||||||
|
|
|
|||||||||
| Chile — 0.5% | ||||||||||
| Corporate Debt |
| |||||||||
| 450,000 | Celulosa Arauco y Constitucion SA, 4.50%, due 08/01/24 | 477,911 | ||||||||
| 400,000 | Enel Americas SA, 4.00%, due 10/25/26 | 424,404 | ||||||||
|
|
|
|||||||||
| Total Chile | 902,315 | |||||||||
|
|
|
|||||||||
| France — 0.2% | ||||||||||
| Corporate Debt |
| |||||||||
| 300,000 | BPCE SA, 3.38%, due 12/02/26 | 321,435 | ||||||||
|
|
|
|||||||||
| Germany — 0.5% | ||||||||||
| Corporate Debt |
| |||||||||
| 400,000 | Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25 | 424,215 | ||||||||
| 450,000 | Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31 | 474,988 | ||||||||
|
|
|
|||||||||
| Total Germany | 899,203 | |||||||||
|
|
|
|||||||||
| Ireland — 0.4% | ||||||||||
| Corporate Debt |
| |||||||||
| 400,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 6.50%, due 07/15/25 | 457,571 | ||||||||
| 200,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.88%, due 01/23/28 | 212,752 | ||||||||
|
|
|
|||||||||
| Total Ireland | 670,323 | |||||||||
|
|
|
|||||||||
| United Kingdom — 0.3% | ||||||||||
| Corporate Debt |
| |||||||||
| 200,000 | AstraZeneca Plc, 2.38%, due 06/12/22 | 201,756 | ||||||||
| Par Value† | Description | Value ($) | ||||||||
| United Kingdom — continued |
| |||||||||
| Corporate Debt — continued |
| |||||||||
| 350,000 | CNH Industrial NV, 4.50%, due 08/15/23 | 369,318 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 571,074 | |||||||||
|
|
|
|||||||||
| United States — 40.9% | ||||||||||
| Corporate Debt — 26.7% |
| |||||||||
| 200,000 | Abbott Laboratories, 2.95%, due 03/15/25 | 211,081 | ||||||||
| 450,000 | Alphabet, Inc., 0.45%, due 08/15/25 | 439,396 | ||||||||
| 450,000 | Alphabet, Inc., 0.80%, due 08/15/27 | 432,082 | ||||||||
| 100,000 | American Express Co., 4.05%, due 12/03/42 | 120,442 | ||||||||
| 200,000 | American Financial Group Inc/OH, 4.50%, due 06/15/47 | 250,112 | ||||||||
| 1,200,000 | Anthem, Inc., 2.38%, due 01/15/25 | 1,234,985 | ||||||||
| 450,000 | Apple, Inc., 0.75%, due 05/11/23 | 451,072 | ||||||||
| 350,000 | Ares Capital Corp., 2.15%, due 07/15/26 | 345,647 | ||||||||
| 400,000 | Avnet, Inc., 4.63%, due 04/15/26 | 441,190 | ||||||||
| 300,000 | Bank of America Corp., Variable Rate, 4.33%, due 03/15/50 | 375,068 | ||||||||
| 400,000 | Bank of America Corp., Variable Rate, 2.83%, due 10/24/51 | 398,614 | ||||||||
| 150,000 | Bank of America Corp., Variable Rate, 4.44%, due 01/20/48 | 189,220 | ||||||||
| 400,000 | Block Financial LLC, 3.88%, due 08/15/30 | 424,702 | ||||||||
| 350,000 | Boeing Co. (The), 5.04%, due 05/01/27 | 394,080 | ||||||||
| 200,000 | Boeing Co. (The), 5.71%, due 05/01/40 | 255,439 | ||||||||
| 349,000 | Brighthouse Financial, Inc., 4.70%, due 06/22/47 | 390,746 | ||||||||
| 550,000 | Carrier Global Corp., 2.72%, due 02/15/30 | 561,202 | ||||||||
| 400,000 | Caterpillar Financial Services Corp., 1.90%, due 09/06/22 | 404,498 | ||||||||
| 450,000 | Caterpillar Financial Services Corp., 0.45%, due 09/14/23 | 448,563 | ||||||||
| 100,000 | Caterpillar, Inc., 4.75%, due 05/15/64 | 146,839 | ||||||||
| 400,000 | CBRE Services, Inc., 4.88%, due 03/01/26 | 449,638 | ||||||||
| 300,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.38%, due 04/01/38 | 360,569 | ||||||||
| 300,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, due 10/23/45 | 409,983 | ||||||||
| 250,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.83%, due 10/23/55 | 370,269 | ||||||||
| 350,000 | Cheniere Corpus Christi Holdings LLC, 5.88%, due 03/31/25 | 389,906 | ||||||||
| 350,000 | Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24 | 388,952 | ||||||||
| 400,000 | Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27 | 452,850 | ||||||||
| 450,000 | CNH Industrial Capital LLC, 1.95%, due 07/02/23 | 456,979 | ||||||||
| 200,000 | CNH Industrial Capital LLC, 1.45%, due 07/15/26 | 196,288 | ||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† | Description | Value ($) | ||||||||
| United States — continued |
| |||||||||
| Corporate Debt — continued |
| |||||||||
| 400,000 | Constellation Brands, Inc., 4.25%, due 05/01/23 | 418,764 | ||||||||
| 350,000 | Corning, Inc., 5.45%, due 11/15/79 | 478,021 | ||||||||
| 350,000 | Deere & Co., 3.75%, due 04/15/50 | 424,162 | ||||||||
| 400,000 | DH Europe Finance II Sarl, 2.60%, due 11/15/29 | 416,935 | ||||||||
| 400,000 | DH Europe Finance II Sarl, 3.25%, due 11/15/39 | 428,913 | ||||||||
| 400,000 | DH Europe Finance II Sarl, 3.40%, due 11/15/49 | 445,047 | ||||||||
| 200,000 | Discover Bank, 2.45%, due 09/12/24 | 204,957 | ||||||||
| 350,000 | DuPont de Nemours, Inc., 5.32%, due 11/15/38 | 452,155 | ||||||||
| 300,000 | DuPont de Nemours, Inc., 5.42%, due 11/15/48 | 422,167 | ||||||||
| 100,000 | Ecolab, Inc., 2.70%, due 11/01/26 | 104,919 | ||||||||
| 300,000 | Ecolab, Inc., 4.80%, due 03/24/30 | 361,605 | ||||||||
| 150,000 | Ecolab, Inc., 144A, 2.75%, due 08/18/55 | 150,894 | ||||||||
| 400,000 | Energy Transfer LP, 6.50%, due 02/01/42 | 517,528 | ||||||||
| 400,000 | Energy Transfer LP, 6.25%, due 04/15/49 | 519,310 | ||||||||
| 400,000 | Equifax, Inc., 2.35%, due 09/15/31 | 393,656 | ||||||||
| 400,000 | Estee Lauder Cos, Inc. (The), 2.60%, due 04/15/30 | 415,714 | ||||||||
| 100,000 | Exelon Generation Co. LLC, 5.60%, due 06/15/42 | 120,404 | ||||||||
| 400,000 | Expedia Group, Inc., 5.00%, due 02/15/26 | 447,608 | ||||||||
| 450,000 | Expedia Group, Inc., 3.80%, due 02/15/28 | 479,972 | ||||||||
| 250,000 | Expedia Group, Inc., 3.25%, due 02/15/30 | 257,606 | ||||||||
| 400,000 | FedEx Corp., 4.10%, due 04/15/43 | 448,617 | ||||||||
| 350,000 | FedEx Corp., 5.10%, due 01/15/44 | 451,479 | ||||||||
| 300,000 | FedEx Corp., 5.25%, due 05/15/50 | 404,320 | ||||||||
| 350,000 | Fortive Corp., 4.30%, due 06/15/46 | 423,369 | ||||||||
| 400,000 | GLP Capital LP / GLP Financing II, Inc., REIT, 4.00%, due 01/15/31 | 423,856 | ||||||||
| 150,000 | Halliburton Co., 4.85%, due 11/15/35 | 178,002 | ||||||||
| 350,000 | HCA, Inc., 4.50%, due 02/15/27 | 385,031 | ||||||||
| 300,000 | HCA, Inc., 5.50%, due 06/15/47 | 395,161 | ||||||||
| 350,000 | HCA, Inc., 4.75%, due 05/01/23 | 367,628 | ||||||||
| 350,000 | Hewlett Packard Enterprise Co., 6.35%, due 10/15/45 | 472,227 | ||||||||
| 200,000 | Host Hotels & Resorts LP, REIT, 3.38%, due 12/15/29 | 205,101 | ||||||||
| 450,000 | Host Hotels & Resorts LP, REIT, 3.50%, due 09/15/30 | 460,880 | ||||||||
| 450,000 | Huntington Bancshares, Inc., 2.63%, due 08/06/24 | 465,495 | ||||||||
| 260,000 | International Paper Co., 4.80%, due 06/15/44 | 334,330 | ||||||||
| 350,000 | Johnson & Johnson, 3.63%, due 03/03/37 | 403,776 | ||||||||
| 1,200,000 | Keurig Dr Pepper, Inc., 4.42%, due 05/25/25 | 1,312,059 | ||||||||
| 450,000 | Las Vegas Sands Corp., 3.50%, due 08/18/26 | 458,842 | ||||||||
| Par Value† | Description | Value ($) | ||||||||
| United States — continued |
| |||||||||
| Corporate Debt — continued |
| |||||||||
| 450,000 | Las Vegas Sands Corp., 3.20%, due 08/08/24 | 458,793 | ||||||||
| 350,000 | Marathon Petroleum Corp., 6.50%, due 03/01/41 | 484,196 | ||||||||
| 400,000 | Marathon Petroleum Corp., 4.75%, due 09/15/44 | 469,849 | ||||||||
| 43,000 | Marriott International Inc, 5.75%, due 05/01/25 | 48,530 | ||||||||
| 300,000 | Morgan Stanley, Variable Rate, 5.60%, due 03/24/51 | 457,173 | ||||||||
| 300,000 | Morgan Stanley, 6.38%, due 07/24/42 | 456,489 | ||||||||
| 350,000 | Mosaic Co. (The), 5.45%, due 11/15/33 | 438,349 | ||||||||
| 350,000 | Mosaic Co. (The), 5.63%, due 11/15/43 | 471,592 | ||||||||
| 350,000 | NIKE, Inc., 3.38%, due 03/27/50 | 400,909 | ||||||||
| 900,000 | Northern Trust Corp., 1.95%, due 05/01/30 | 898,501 | ||||||||
| 450,000 | Office Properties Income Trust, REIT, 4.50%, due 02/01/25 | 476,461 | ||||||||
| 100,000 | Old Republic International Corp., 3.85%, due 06/11/51 | 110,691 | ||||||||
| 250,000 | ONEOK, Inc., 4.95%, due 07/13/47 | 292,370 | ||||||||
| 700,000 | PacifiCorp, 4.15%, due 02/15/50 | 838,832 | ||||||||
| 400,000 | Procter & Gamble Co. (The), 3.10%, due 08/15/23 | 417,399 | ||||||||
| 400,000 | Sabra Health Care LP, REIT, 5.13%, due 08/15/26 | 442,660 | ||||||||
| 250,000 | Simon Property Group LP, REIT, 4.75%, due 03/15/42 | 312,879 | ||||||||
| 300,000 | Simon Property Group LP, REIT, 4.25%, due 11/30/46 | 358,654 | ||||||||
| 300,000 | Simon Property Group LP, REIT, 3.80%, due 07/15/50 | 337,820 | ||||||||
| 350,000 | Starbucks Corp., 4.45%, due 08/15/49 | 435,003 | ||||||||
| 400,000 | Starbucks Corp., 3.50%, due 11/15/50 | 432,071 | ||||||||
| 400,000 | Synchrony Financial, 4.38%, due 03/19/24 | 424,086 | ||||||||
| 150,000 | Synchrony Financial, 5.15%, due 03/19/29 | 174,370 | ||||||||
| 400,000 | Synchrony Financial, 2.85%, due 07/25/22 | 405,346 | ||||||||
| 300,000 | Synchrony Financial, 4.25%, due 08/15/24 | 319,379 | ||||||||
| 232,000 | Sysco Corp., 5.95%, due 04/01/30 | 290,902 | ||||||||
| 272,000 | Sysco Corp., 6.60%, due 04/01/50 | 427,272 | ||||||||
| 300,000 | Tapestry, Inc., 4.25%, due 04/01/25 | 325,953 | ||||||||
| 400,000 | Tapestry, Inc., 4.13%, due 07/15/27 | 433,649 | ||||||||
| 400,000 | Thermo Fisher Scientific, Inc., 4.13%, due 03/25/25 | 433,011 | ||||||||
| 350,000 | Thermo Fisher Scientific, Inc., 4.50%, due 03/25/30 | 415,533 | ||||||||
| 300,000 | Time Warner Cable LLC, 5.50%, due 09/01/41 | 367,536 | ||||||||
| 350,000 | Union Pacific Corp., 3.80%, due 04/06/71 | 412,536 | ||||||||
| 350,000 | Union Pacific Corp., 4.10%, due 09/15/67 | 431,776 | ||||||||
| 400,000 | United Parcel Service, Inc., 2.35%, due 05/16/22 | 403,049 | ||||||||
| 300,000 | United Parcel Service, Inc., 5.20%, due 04/01/40 | 406,945 | ||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† | Description | Value ($) | ||||||||
| United States — continued |
| |||||||||
| Corporate Debt — continued |
| |||||||||
| 400,000 | United Parcel Service, Inc., 3.90%, due 04/01/25 | 432,876 | ||||||||
| 350,000 | Verizon Communications, Inc., 4.33%, due 09/21/28 | 398,639 | ||||||||
| 400,000 | VMware, Inc., 4.50%, due 05/15/25 | 437,263 | ||||||||
| 400,000 | Walt Disney Co. (The), 1.75%, due 01/13/26 | 403,090 | ||||||||
| 400,000 | Walt Disney Co. (The), 2.20%, due 01/13/28 | 405,792 | ||||||||
| 400,000 | Walt Disney Co. (The), 2.65%, due 01/13/31 | 415,231 | ||||||||
| 350,000 | Wells Fargo & Co., Variable Rate, 5.01%, due 04/04/51 | 484,137 | ||||||||
| 400,000 | Wells Fargo & Co., 3.90%, due 05/01/45 | 467,143 | ||||||||
| 350,000 | Wells Fargo & Co., Variable Rate, 4.48%, due 04/04/31 | 404,451 | ||||||||
| 450,000 | Welltower, Inc., REIT, 2.80%, due 06/01/31 | 460,309 | ||||||||
| 350,000 | Williams Cos, Inc. (The), 5.75%, due 06/24/44 | 456,242 | ||||||||
| 400,000 | Williams Cos, Inc. (The), 5.10%, due 09/15/45 | 493,264 | ||||||||
| 400,000 | Williams Cos, Inc. (The), 5.40%, due 03/04/44 | 499,843 | ||||||||
|
|
|
|||||||||
| 46,909,766 | ||||||||||
|
|
|
|||||||||
| U.S. Government Agency — 14.2% | ||||||||||
| 5,800,000 | Federal National Mortgage Association, TBA, 2.00%, due 01/07/51 | 5,804,531 | ||||||||
| 6,300,000 | Federal National Mortgage Association, TBA, 2.50%, due 01/07/51 | 6,458,485 | ||||||||
| 1,700,000 | Federal National Mortgage Association, TBA, 2.50%, due 01/05/49 | 1,762,538 | ||||||||
| 5,900,000 | Federal National Mortgage Association, TBA, 3.00%, due 01/05/49 | 6,126,320 | ||||||||
| 4,500,000 | Government National Mortgage Association, TBA, 3.00%, due 01/07/49 | 4,665,586 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 24,817,460 | |||||||||
|
|
|
|||||||||
| Total United States | 71,727,226 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $76,149,948) |
76,893,233 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 24.0% | ||||||||||
| United States — 24.0% | ||||||||||
| Affiliated Issuers | ||||||||||
| 375,284 | GMO Emerging Country Debt Fund, Class VI | 9,374,595 | ||||||||
| 1,228,449 | GMO Opportunistic Income Fund, Class VI | 32,050,235 | ||||||||
| 126,535 | GMO U.S. Treasury Fund | 636,474 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $43,727,005) |
42,061,304 | |||||||||
|
|
|
|||||||||
| Par Value† | Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 45.5% | ||||||||||
| Money Market Funds — 0.5% | ||||||||||
| 921,487 | State Street Institutional Treasury Money Market Fund — Premier Class, 0.01% (a) | 921,487 | ||||||||
| Sovereign and Sovereign Agency Issuers — 19.5% | ||||||||||
| JPY |
2,725,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 01/11/22 | 24,111,223 | |||||||
| JPY |
1,142,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 01/24/22 | 10,105,136 | |||||||
|
|
|
|||||||||
| Total Sovereign and Sovereign Agency Issuers | 34,216,359 | |||||||||
|
|
|
|||||||||
| U.S. Government — 25.5% | ||||||||||
| 2,398,000 | U.S. Treasury Bill, 0.17%, due 09/08/22 (b) | 2,394,865 | ||||||||
| 400,000 | U.S. Treasury Bill, 0.19%, due 10/06/22 (b) | 399,344 | ||||||||
| 42,000,000 | U.S. Treasury Bill, 0.22%, due 11/03/22 (b) (c) | 41,915,797 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 44,710,006 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $80,195,268) |
79,847,852 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 113.3% (Cost $200,072,221) |
198,802,389 | |||||||||
| Other Assets and Liabilities (net) — (13.3%) | (23,280,247 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $175,522,142 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 02/09/2022 | BCLY | AUD | 544,500 | USD | 403,805 | 15,409 | ||||||||||||||
| 02/09/2022 | JPM | AUD | 665,500 | USD | 493,539 | 18,833 | ||||||||||||||
| 02/09/2022 | MSCI | AUD | 8,061,000 | USD | 5,955,789 | 205,817 | ||||||||||||||
| 12/02/2021 | CITI | BRL | 661,715 | USD | 120,000 | 2,296 | ||||||||||||||
| 12/02/2021 | GS | BRL | 4,212,650 | USD | 760,000 | 10,665 | ||||||||||||||
| 02/02/2022 | JPM | CAD | 2,034,280 | USD | 1,610,000 | 16,793 | ||||||||||||||
| 02/14/2022 | MSCI | CHF | 11,395,687 | USD | 12,323,459 | (122,722 | ) | |||||||||||||
| 02/17/2022 | JPM | COP | 470,100,000 | USD | 120,000 | 3,239 | ||||||||||||||
| 01/18/2022 | CITI | CZK | 3,519,862 | USD | 160,000 | 3,691 | ||||||||||||||
| 01/18/2022 | DB | CZK | 4,644,230 | USD | 210,000 | 3,761 | ||||||||||||||
| 01/18/2022 | GS | CZK | 3,420,301 | USD | 150,000 | (1,887 | ) | |||||||||||||
| 01/18/2022 | JPM | CZK | 12,109,496 | USD | 548,592 | 10,838 | ||||||||||||||
| 01/31/2022 | DB | EUR | 1,860,000 | USD | 2,140,852 | 27,068 | ||||||||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Forward Currency Contracts — continued
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 02/14/2022 | JPM | GBP | 840,000 | USD | 1,154,002 | 35,943 | ||||||||||||||
| 02/14/2022 | MSCI | GBP | 1,720,000 | USD | 2,303,992 | 14,632 | ||||||||||||||
| 01/14/2022 | BOA | HUF | 60,571,544 | USD | 190,000 | 1,740 | ||||||||||||||
| 01/14/2022 | CITI | HUF | 92,517,666 | USD | 290,000 | 2,449 | ||||||||||||||
| 01/14/2022 | GS | HUF | 87,878,849 | USD | 280,000 | 6,867 | ||||||||||||||
| 01/14/2022 | MSCI | HUF | 95,949,285 | USD | 306,136 | 7,920 | ||||||||||||||
| 02/04/2022 | GS | IDR | 867,960,000 | USD | 60,000 | (183 | ) | |||||||||||||
| 01/10/2022 | MSCI | INR | 59,738,754 | USD | 802,724 | 9,916 | ||||||||||||||
| 01/11/2022 | GS | JPY | 2,725,000,000 | USD | 24,565,240 | 438,107 | ||||||||||||||
| 01/24/2022 | MSCI | JPY | 1,142,000,000 | USD | 10,011,452 | (100,951 | ) | |||||||||||||
| 02/10/2022 | BCLY | KRW | 237,042,000 | USD | 200,000 | (152 | ) | |||||||||||||
| 02/10/2022 | JPM | KRW | 260,436,000 | USD | 220,000 | 95 | ||||||||||||||
| 02/10/2022 | MSCI | KRW | 922,792,487 | USD | 779,880 | 698 | ||||||||||||||
| 01/21/2022 | BCLY | MXN | 2,517,637 | USD | 120,000 | 3,726 | ||||||||||||||
| 01/21/2022 | BOA | MXN | 2,922,149 | USD | 140,000 | 5,044 | ||||||||||||||
| 01/21/2022 | GS | MXN | 11,674,541 | USD | 550,000 | 10,826 | ||||||||||||||
| 01/21/2022 | MSCI | MXN | 1,511,236 | USD | 73,149 | 3,354 | ||||||||||||||
| 02/15/2022 | JPM | NOK | 6,927,526 | USD | 760,000 | (5,320 | ) | |||||||||||||
| 02/01/2022 | MSCI | NZD | 14,520,000 | USD | 10,040,870 | 137,567 | ||||||||||||||
| 02/09/2022 | JPM | PHP | 10,501,643 | USD | 209,183 | 1,575 | ||||||||||||||
| 01/18/2022 | MSCI | PLN | 3,141,096 | USD | 765,449 | 3,093 | ||||||||||||||
| 01/31/2022 | JPM | RON | 4,537,765 | USD | 1,057,384 | 22,428 | ||||||||||||||
| 02/07/2022 | JPM | SEK | 12,141,286 | USD | 1,380,000 | 30,722 | ||||||||||||||
| 01/18/2022 | BOA | SGD | 242,886 | USD | 180,000 | 2,038 | ||||||||||||||
| 01/18/2022 | CITI | SGD | 191,618 | USD | 140,000 | (397 | ) | |||||||||||||
| 01/18/2022 | GS | SGD | 161,752 | USD | 120,000 | 1,485 | ||||||||||||||
| 02/18/2022 | JPM | THB | 36,595,827 | USD | 1,101,985 | 15,745 | ||||||||||||||
| 01/25/2022 | BCLY | TRY | 2,117,070 | USD | 206,242 | 55,398 | ||||||||||||||
| 02/18/2022 | CITI | TWD | 4,147,320 | USD | 150,000 | (857 | ) | |||||||||||||
| 02/18/2022 | GS | TWD | 1,652,820 | USD | 60,000 | (120 | ) | |||||||||||||
| 02/22/2022 | JPM | TWD | 3,084,180 | USD | 111,657 | (571 | ) | |||||||||||||
| 02/09/2022 | JPM | USD | 1,215,406 | AUD | 1,660,000 | (31,315 | ) | |||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 12/02/2021 | MSCI | USD | 871,132 | BRL | 4,646,358 | (44,650 | ) | |||||||||||||
| 02/02/2022 | JPM | USD | 10,692,665 | CAD | 13,240,524 | (322,953 | ) | |||||||||||||
| 02/14/2022 | JPM | USD | 1,360,000 | CHF | 1,254,819 | 10,492 | ||||||||||||||
| 02/16/2022 | MSCI | USD | 985,272 | CLP | 793,784,000 | (33,871 | ) | |||||||||||||
| 02/17/2022 | MSCI | USD | 30,000 | COP | 121,260,000 | 118 | ||||||||||||||
| 02/14/2022 | JPM | USD | 672,365 | GBP | 490,000 | (20,164 | ) | |||||||||||||
| 02/14/2022 | MSCI | USD | 5,166,022 | GBP | 3,791,000 | (120,115 | ) | |||||||||||||
| 02/04/2022 | MSCI | USD | 1,010,742 | IDR | 14,574,903,000 | (136 | ) | |||||||||||||
| 01/31/2022 | DB | USD | 270,000 | ILS | 840,311 | (2,784 | ) | |||||||||||||
| 01/31/2022 | JPM | USD | 250,890 | ILS | 799,010 | 3,192 | ||||||||||||||
| 01/10/2022 | GS | USD | 100,000 | INR | 7,547,200 | 161 | ||||||||||||||
| 02/09/2022 | JPM | USD | 4,496,639 | JPY | 511,477,836 | 33,135 | ||||||||||||||
| 02/10/2022 | CITI | USD | 150,000 | KRW | 177,147,000 | (422 | ) | |||||||||||||
| 02/15/2022 | MSCI | USD | 6,678,110 | NOK | 57,087,955 | (371,306 | ) | |||||||||||||
| 02/01/2022 | JPM | USD | 621,698 | NZD | 870,000 | (28,318 | ) | |||||||||||||
| 02/01/2022 | MSCI | USD | 6,853,278 | NZD | 9,750,000 | (203,332 | ) | |||||||||||||
| 02/16/2022 | MSCI | USD | 353,466 | PEN | 1,435,135 | (2,126 | ) | |||||||||||||
| 01/18/2022 | DB | USD | 130,000 | PLN | 540,532 | 1,189 | ||||||||||||||
| 01/18/2022 | GS | USD | 200,000 | PLN | 829,615 | 1,351 | ||||||||||||||
| 01/18/2022 | JPM | USD | 160,000 | PLN | 669,822 | 2,568 | ||||||||||||||
| 02/09/2022 | MSCI | USD | 1,029,607 | RUB | 74,871,986 | (36,197 | ) | |||||||||||||
| 02/07/2022 | JPM | USD | 10,630,969 | SEK | 90,841,096 | (535,669 | ) | |||||||||||||
| 01/18/2022 | DB | USD | 80,000 | SGD | 109,703 | 379 | ||||||||||||||
| 02/18/2022 | CITI | USD | 40,000 | THB | 1,334,432 | (391 | ) | |||||||||||||
| 01/25/2022 | BCLY | USD | 120,000 | TRY | 1,211,100 | (33,708 | ) | |||||||||||||
| 01/25/2022 | MSCI | USD | 90,137 | TRY | 905,970 | (25,586 | ) | |||||||||||||
| 01/31/2022 | MSCI | USD | 1,025,422 | ZAR | 15,542,835 | (56,179 | ) | |||||||||||||
| 01/31/2022 | BCLY | ZAR | 3,485,735 | USD | 220,000 | 2,632 | ||||||||||||||
| 01/31/2022 | GS | ZAR | 1,879,155 | USD | 120,000 | 2,817 | ||||||||||||||
|
|
|
|||||||||||||||||||
| $ | (914,570 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 27 | U.S. Long Bond (CBT) | March 2022 | 4,377,375 | 105,030 | ||||||||||
| 65 | U.S. Treasury Note 10 Yr. (CBT) | March 2022 | 8,502,813 | 124,854 | ||||||||||
| 98 | U.S. Treasury Note 2 Yr. (CBT) | March 2022 | 21,435,969 | 48,202 | ||||||||||
| 201 | U.S. Treasury Note 5 Yr. (CBT) | March 2022 | 24,401,086 | 227,352 | ||||||||||
| 45 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2022 | 6,610,078 | 133,216 | ||||||||||
| 74 | U.S. Ultra Bond (CBT) | March 2022 | 14,841,625 | 530,534 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 80,168,946 | $ | 1,169,188 | |||||||||||
|
|
|
|
|
|||||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Sales | ||||||||||||||
| 4 | U.S. Treasury Note 2 Yr. (CBT) | March 2022 | 874,938 | (1,721 | ) | |||||||||
| 20 | U.S. Ultra Bond (CBT) | March 2022 | 4,011,250 | (149,947 | ) | |||||||||
|
|
|
|
|
|||||||||||
| $ | 4,886,188 | $ | (151,668 | ) | ||||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
Swap Contracts
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives | Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 1.02% |
3 Month AUD BBSW | AUD | 38,280,000 | 12/15/2023 | Quarterly | 2,002 | (62,217 | ) | (64,219 | ) | ||||||||||||||||
| 1.05% |
3 Month AUD BBSW | AUD | 4,270,000 | 12/15/2023 | Quarterly | — | (8,756 | ) | (8,756 | ) | ||||||||||||||||
| 1.33% |
3 Month CAD LIBOR | CAD | 9,820,000 | 12/15/2023 | Semi-Annually | — | 34,292 | 34,292 | ||||||||||||||||||
| 1.37% |
3 Month CAD LIBOR | CAD | 10,350,000 | 12/15/2023 | Semi-Annually | — | 29,743 | 29,743 | ||||||||||||||||||
| 3 Month CAD LIBOR |
0.95% | CAD | 7,520,000 | 12/15/2023 | Semi-Annually | — | (70,145 | ) | (70,145 | ) | ||||||||||||||||
| 3 Month CAD LIBOR |
1.11% | CAD | 5,720,000 | 12/15/2023 | Semi-Annually | — | (39,428 | ) | (39,428 | ) | ||||||||||||||||
| (0.65)% |
CHF - SARON - OIS - COMPOUND |
CHF | 6,950,000 | 12/15/2023 | Annually | 144 | 8,195 | 8,051 | ||||||||||||||||||
| (0.40)% |
CHF - SARON -OIS - COMPOUND |
CHF | 2,070,000 | 12/15/2023 | Annually | 149 | (8,967 | ) | (9,116 | ) | ||||||||||||||||
| (0.62)% |
CHF - SARON - OIS - COMPOUND |
CHF | 3,210,000 | 12/15/2023 | Annually | 263 | 2,045 | 1,782 | ||||||||||||||||||
| 0.83% |
GBP - SONIA - COMPOUND | GBP | 4,890,000 | 12/15/2023 | Annually | — | 7,823 | 7,823 | ||||||||||||||||||
|
GBP - SONIA - COMPOUND |
0.84% | GBP | 4,250,000 | 12/15/2023 | Annually | (567 | ) | (5,169 | ) | (4,602 | ) | |||||||||||||||
|
GBP - SONIA - COMPOUND |
0.79% | GBP | 58,640,000 | 12/15/2023 | Annually | (26,320 | ) | (151,460 | ) | (125,140 | ) | |||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.42% | NZD | 47,480,000 | 12/15/2023 | Quarterly | 4,685 | 149,098 | 144,413 | ||||||||||||||||||
| 2.18% |
3 Month NZD Bank Bill Rate |
NZD | 7,840,000 | 12/15/2023 | Quarterly | — | 501 | 501 | ||||||||||||||||||
| 0.23% |
3 Month SEK STIBOR | SEK | 56,800,000 | 12/15/2023 | Quarterly | — | (1,815 | ) | (1,815 | ) | ||||||||||||||||
| 0.30% |
3 Month SEK STIBOR | SEK | 309,610,000 | 12/15/2023 | Quarterly | (2,626 | ) | (60,667 | ) | (58,041 | ) | |||||||||||||||
| 1.51% |
3 Month CAD LIBOR | CAD | 39,590,000 | 12/18/2023 | Semi-Annually | 2,685 | 27,514 | 24,829 | ||||||||||||||||||
| (0.48)% |
6 Month EURIBOR | EUR | 1,570,000 | 12/20/2023 | Semi-Annually | 274 | 4,384 | 4,110 | ||||||||||||||||||
| (0.44)% |
6 Month EURIBOR | EUR | 2,680,000 | 12/20/2023 | Semi-Annually | 32 | 5,015 | 4,983 | ||||||||||||||||||
| 6 Month EURIBOR |
(0.30)% | EUR | 4,820,000 | 12/20/2023 | Semi-Annually | 577 | 6,794 | 6,217 | ||||||||||||||||||
| 6 Month EURIBOR |
(0.42)% | EUR | 2,050,000 | 12/20/2023 | Semi-Annually | (38 | ) | (2,892 | ) | (2,854 | ) | |||||||||||||||
| (0.38)% |
6 Month EURIBOR | EUR | 2,420,000 | 12/20/2023 | Semi-Annually | 21 | 1,018 | 997 | ||||||||||||||||||
| 3 Month USD LIBOR |
0.90% | USD | 3,620,000 | 12/20/2023 | Quarterly | (1,744 | ) | 7,216 | 8,960 | |||||||||||||||||
| 3 Month USD LIBOR |
0.78% | USD | 3,020,000 | 12/20/2023 | Quarterly | (269 | ) | (1,785 | ) | (1,516 | ) | |||||||||||||||
| 3 Month USD LIBOR |
0.73% | USD | 5,530,000 | 12/20/2023 | Quarterly | 686 | (8,365 | ) | (9,051 | ) | ||||||||||||||||
| 0.82% |
3 Month USD LIBOR | USD | 18,120,000 | 12/20/2023 | Quarterly | 2,355 | (7,078 | ) | (9,433 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
2.08% | AUD | 8,240,000 | 12/15/2031 | Semi-Annually | 680 | 36,528 | 35,848 | ||||||||||||||||||
| 6 Month AUD BBSW |
2.18% | AUD | 2,080,000 | 12/15/2031 | Semi-Annually | — | 22,269 | 22,269 | ||||||||||||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
| Fund Pays |
Fund Receives | Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 6 Month AUD BBSW |
2.22% | AUD | 940,000 | 12/15/2031 | Semi-Annually | — | 12,547 | 12,547 | ||||||||||||||||||
| 6 Month AUD BBSW |
2.02% | AUD | 6,820,000 | 12/15/2031 | Semi-Annually | 1,618 | 959 | (659 | ) | |||||||||||||||||
| 1.76% |
3 Month CAD LIBOR | CAD | 1,260,000 | 12/15/2031 | Semi-Annually | — | 24,882 | 24,882 | ||||||||||||||||||
| 1.76% |
3 Month CAD LIBOR | CAD | 1,610,000 | 12/15/2031 | Semi-Annually | — | 31,330 | 31,330 | ||||||||||||||||||
| 2.01% |
3 Month CAD LIBOR | CAD | 1,240,000 | 12/15/2031 | Semi-Annually | — | 1,780 | 1,780 | ||||||||||||||||||
| 3 Month CAD LIBOR |
2.09% | CAD | 2,130,000 | 12/15/2031 | Semi-Annually | — | 9,611 | 9,611 | ||||||||||||||||||
| 3 Month CAD LIBOR |
2.15% | CAD | 2,250,000 | 12/15/2031 | Semi-Annually | — | 18,669 | 18,669 | ||||||||||||||||||
| 3 Month CAD LIBOR |
2.07% | CAD | 8,660,000 | 12/15/2031 | Semi-Annually | (1,740 | ) | 26,393 | 28,133 | |||||||||||||||||
| 3 Month CAD LIBOR |
2.07% | CAD | 32,720,000 | 12/15/2031 | Semi-Annually | (8,994 | ) | 97,360 | 106,354 | |||||||||||||||||
| 2.17% |
3 Month CAD LIBOR | CAD | 2,030,000 | 12/15/2031 | Semi-Annually | — | (19,952 | ) | (19,952 | ) | ||||||||||||||||
| 2.02% |
3 Month CAD LIBOR | CAD | 1,470,000 | 12/15/2031 | Semi-Annually | — | 716 | 716 | ||||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
0.20% | CHF | 420,000 | 12/15/2031 | Annually | (419 | ) | 8,974 | 9,393 | |||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
0.07% | CHF | 14,010,000 | 12/15/2031 | Annually | 4,556 | 94,427 | 89,871 | ||||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
(0.00)% | CHF | 650,000 | 12/15/2031 | Annually | 217 | (989 | ) | (1,206 | ) | ||||||||||||||||
|
CHF - SARON - OIS - COMPOUND |
(0.05)% | CHF | 1,760,000 | 12/15/2031 | Annually | (710 | ) | (12,093 | ) | (11,383 | ) | |||||||||||||||
| 0.14% |
CHF - SARON - OIS - COMPOUND | CHF | 340,000 | 12/15/2031 | Annually | 265 | (4,645 | ) | (4,910 | ) | ||||||||||||||||
| GBP - SONIA - COMPOUND |
0.83% | GBP | 1,010,000 | 12/15/2031 | Annually | — | 1,244 | 1,244 | ||||||||||||||||||
| 0.88% |
GBP - SONIA - COMPOUND | GBP | 12,180,000 | 12/15/2031 | Annually | (32,761 | ) | (88,554 | ) | (55,793 | ) | |||||||||||||||
| 0.85% |
GBP - SONIA - COMPOUND | GBP | 29,250,000 | 12/15/2031 | Annually | (23,869 | ) | (119,885 | ) | (96,016 | ) | |||||||||||||||
| 0.99% |
GBP - SONIA - COMPOUND | GBP | 230,000 | 12/15/2031 | Annually | 327 | (5,116 | ) | (5,443 | ) | ||||||||||||||||
| 0.79% |
GBP - SONIA - COMPOUND | GBP | 880,000 | 12/15/2031 | Annually | (23 | ) | 3,092 | 3,115 | |||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.71% | NZD | 1,740,000 | 12/15/2031 | Quarterly | — | (638 | ) | (638 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.64% | NZD | 1,000,000 | 12/15/2031 | Quarterly | 781 | (4,266 | ) | (5,047 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.60% | NZD | 10,370,000 | 12/15/2031 | Quarterly | 6,589 | (69,456 | ) | (76,045 | ) | ||||||||||||||||
| 2.75% |
3 Month NZD Bank Bill Rate |
NZD | 10,450,000 | 12/15/2031 | Quarterly | 8,188 | (24,521 | ) | (32,709 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
0.93% | SEK | 15,500,000 | 12/15/2031 | Quarterly | — | 14,238 | 14,238 | ||||||||||||||||||
| 3 Month SEK STIBOR |
0.98% | SEK | 69,180,000 | 12/15/2031 | Quarterly | 1,525 | 100,667 | 99,142 | ||||||||||||||||||
| 3 Month SEK STIBOR |
0.88% | SEK | 64,880,000 | 12/15/2031 | Quarterly | (6,394 | ) | 31,052 | 37,446 | |||||||||||||||||
| 3 Month SEK STIBOR |
0.78% | SEK | 10,400,000 | 12/15/2031 | Quarterly | — | (6,908 | ) | (6,908 | ) | ||||||||||||||||
| 1.06% |
3 Month SEK STIBOR | SEK | 10,600,000 | 12/15/2031 | Quarterly | — | (24,525 | ) | (24,525 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
0.84% | SEK | 9,400,000 | 12/15/2031 | Quarterly | — | 262 | 262 | ||||||||||||||||||
| 3 Month SEK STIBOR |
0.85% | SEK | 11,800,000 | 12/15/2031 | Quarterly | — | 1,342 | 1,342 | ||||||||||||||||||
| 6 Month EURIBOR |
(0.08)% | EUR | 380,000 | 12/17/2031 | Semi-Annually | (94 | ) | (9,612 | ) | (9,518 | ) | |||||||||||||||
| 0.08% |
6 Month EURIBOR | EUR | 410,000 | 12/17/2031 | Semi-Annually | (22 | ) | 2,981 | 3,003 | |||||||||||||||||
| 6 Month EURIBOR |
0.13% | EUR | 490,000 | 12/17/2031 | Semi-Annually | (144 | ) | (525 | ) | (381 | ) | |||||||||||||||
| 6 Month EURIBOR |
0.05% | EUR | 540,000 | 12/17/2031 | Semi-Annually | (413 | ) | (5,600 | ) | (5,187 | ) | |||||||||||||||
| 0.32% |
6 Month EURIBOR | EUR | 980,000 | 12/17/2031 | Semi-Annually | (465 | ) | (19,763 | ) | (19,298 | ) | |||||||||||||||
| 0.14% |
6 Month EURIBOR | EUR | 16,130,000 | 12/17/2031 | Semi-Annually | 10,393 | 9,882 | (511 | ) | |||||||||||||||||
| 0.24% |
6 Month EURIBOR | EUR | 450,000 | 12/17/2031 | Semi-Annually | — | (4,890 | ) | (4,890 | ) | ||||||||||||||||
| 3 Month USD LIBOR |
1.61% | USD | 2,090,000 | 12/17/2031 | Quarterly | — | 19,321 | 19,321 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.70% | USD | 3,870,000 | 12/17/2031 | Quarterly | 245 | 67,219 | 66,974 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.66% | USD | 1,750,000 | 12/17/2031 | Quarterly | — | 23,287 | 23,287 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.73% | USD | 1,810,000 | 12/17/2031 | Quarterly | — | 36,397 | 36,397 | ||||||||||||||||||
| 1.58% |
3 Month USD LIBOR | USD | 650,000 | 12/17/2031 | Quarterly | 538 | (3,615 | ) | (4,153 | ) | ||||||||||||||||
| 1.54% |
3 Month USD LIBOR | USD | 22,470,000 | 12/17/2031 | Quarterly | (46,438 | ) | (50,630 | ) | (4,192 | ) | |||||||||||||||
| 1.74% |
3 Month USD LIBOR | USD | 780,000 | 12/17/2031 | Quarterly | 326 | (16,717 | ) | (17,043 | ) | ||||||||||||||||
| 1.51% |
3 Month USD LIBOR | USD | 1,180,000 | 12/17/2031 | Quarterly | (1,050 | ) | 685 | 1,735 | |||||||||||||||||
| 3 Month USD LIBOR |
1.55% | USD | 830,000 | 12/17/2031 | Quarterly | — | 2,262 | 2,262 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | (104,979 | ) | $ | 62,370 | $ | 167,349 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
As of November 30, 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.
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | The rate disclosed is the 7 day net yield as of November 30, 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 November 30, 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.
EURIBOR - Euro Interbank Offered Rate
NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.
REIT - Real Estate Investment Trust
SARON - Swiss Average Rate Overnight
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
Currency Abbreviations:
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
CZK - Czech Koruna
EUR - Euro
GBP - British Pound
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - South Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PEN - Peruvian Sol
PHP - Philippine Peso
PLN - Polish Zloty
RON - Romanian Leu
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thai Baht
TRY - Turkish Lira
TWD - Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||
| DEBT OBLIGATIONS — 84.7% |
| |||||||
| Asset-Backed Securities — 65.8% | ||||||||
| CMBS Collateralized Debt Obligations — 0.3% | ||||||||
| 8,586,000 | ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42 | 2,060,640 | ||||||
| 1,006,177 | GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46 | 888,856 | ||||||
|
|
|
|||||||
| Total CMBS Collateralized Debt Obligations | 2,949,496 | |||||||
|
|
|
|||||||
| Collateralized Debt Obligations — 1.5% | ||||||||
| 4,320,000 | JFIN CLO Ltd., Series 12-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 2.48%, due 07/20/28 | 4,313,693 | ||||||
| 10,584,295 | OZLM VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.01%, 1.13%, due 07/17/29 | 10,587,872 | ||||||
|
|
|
|||||||
| Total Collateralized Debt Obligations | 14,901,565 | |||||||
|
|
|
|||||||
| Collateralized Loan Obligations — 11.0% | ||||||||
| 61,917 | B&M CLO Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.72%, due 04/16/26 | 61,896 | ||||||
| 432,754 | Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 0.98%, due 01/27/28 | 432,774 | ||||||
| 6,093,000 | Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.25%, due 01/20/30 | 6,083,020 | ||||||
| 835,413 | Flagship CLO VIII Ltd., Series 14-8A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.40%, 1.52%, due 01/16/26 | 835,297 | ||||||
| 9,331,496 | Gallatin CLO IX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.18%, due 01/21/28 | 9,332,411 | ||||||
| 2,118,863 | Gallatin CLO VIII Ltd., Series 17-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 1.42%, due 07/15/27 | 2,119,691 | ||||||
| 724,342 | Halcyon Loan Advisors Funding Ltd., Series 14-3A, Class B1R, 144A, Variable Rate, 3 mo. LIBOR + 1.70%, 1.83%, due 10/22/25 | 724,444 | ||||||
| 4,460,875 | Hull Street CLO Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.70%, 2.82%, due 10/18/26 | 4,460,166 | ||||||
| 1,327,600 | Jamestown CLO V Ltd., Series 14-5A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 3.75%, 3.87%, due 01/17/27 | 1,328,398 | ||||||
| 1,905,000 | JFIN CLO Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.02%, due 10/17/26 | 1,900,094 | ||||||
| 5,718,682 | JFIN CLO Ltd., Series 15-2A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.20%, 3.32%, due 10/17/26 | 5,657,172 | ||||||
| 1,872,079 | JMP Credit Advisors CLO IV Ltd., Series 17-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.28%, 1.40%, due 07/17/29 | 1,872,198 | ||||||
| Par Value† |
Description | Value ($) | ||||||
| Asset-Backed Securities — continued |
| |||||||
| Collateralized Loan Obligations — continued | ||||||||
| 4,161,000 | Man GLG US CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 1.27%, due 04/22/30 | 4,157,322 | ||||||
| 3,906,000 | Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 1.19%, due 04/22/31 | 3,895,915 | ||||||
| 1,083,456 | OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 144A, Variable Rate, due 07/17/26 | 163,575 | ||||||
| 1,991,025 | Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 1.73%, due 06/22/30 | 1,991,224 | ||||||
| 2,000,000 | Telos CLO Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.72%, due 07/17/26 | 1,997,608 | ||||||
| 4,335,500 | Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 2.27%, due 04/17/28 | 4,328,238 | ||||||
| 7,737,500 | Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.48%, 1.60%, due 04/17/28 | 7,729,097 | ||||||
| 4,993,200 | Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.22%, due 07/18/31 | 4,986,928 | ||||||
| 3,352,500 | Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 1.34%, due 10/15/29 | 3,353,536 | ||||||
| 9,000,000 | Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.63%, due 10/20/28 | 8,982,378 | ||||||
| 783,642 | Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.02%, due 07/25/26 | 784,380 | ||||||
| 15,000,000 | Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 1.19%, due 10/20/29 | 15,016,335 | ||||||
| 4,057,600 | WhiteHorse VIII Ltd., Series 14-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.45%, 3.58%, due 05/01/26 | 4,056,099 | ||||||
| 4,042,250 | WhiteHorse X Ltd., Series 15-10A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 3.12%, due 04/17/27 | 4,046,256 | ||||||
| 4,453,900 | Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 1.37%, due 10/15/31 | 4,448,123 | ||||||
| 4,989,484 | Zais CLO 7 Ltd., Series 17-2A, Class A, 3 mo. LIBOR + 1.29%, 1.41%, due 04/15/30 | 4,980,209 | ||||||
| 1,520,004 | Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.07%, due 04/15/29 | 1,518,925 | ||||||
|
|
|
|||||||
| Total Collateralized Loan Obligations | 111,243,709 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities — 13.6% | ||||||||
| 10,000,000 | BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32 | 10,243,562 | ||||||
| 8,448,000 | Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38 | 7,442,200 | ||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||
| Asset-Backed Securities — continued |
| |||||||
| Commercial Mortgage-Backed Securities — continued | ||||||||
| 1,204,147 | Bear Stearns Commercial Mortgage Securities Trust, Series 06-PW13, Class D, 144A, Variable Rate, 5.75%, due 09/11/41 | 1,196,693 | ||||||
| 4,752,929 | BX Commercial Mortgage Trust, Series 19-XL, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.92%, 1.01%, due 10/15/36 | 4,752,928 | ||||||
| 3,000,000 | BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44 | 3,076,540 | ||||||
| 8,000,000 | BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.67%, due 03/11/44 | 8,124,424 | ||||||
| 4,895,000 | BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41 | 5,101,644 | ||||||
| 9,000,000 | BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41 | 8,984,190 | ||||||
| 141,989 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 04/15/37 | 141,979 | ||||||
| 112,181 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37 | 112,163 | ||||||
| 8,600,000 | Great Wolf Trust, Series 19-WOLF, Class E, 144A, Variable Rate, 1 mo. LIBOR + 2.73%, 2.82%, due 12/15/36 | 8,319,750 | ||||||
| 274,769 | LB Commercial Conduit Mortgage Trust, Series 98-C1, Class K, 144A, 6.30%, due 02/18/30 | 275,250 | ||||||
| 849,148 | LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.52%, due 08/15/36 | 857,252 | ||||||
| 1,556,708 | Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26 | 1,573,365 | ||||||
| 4,213,000 | MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 3.04%, due 02/12/40 | 4,017,642 | ||||||
| 2,505,000 | MKT Mortgage Trust, Series 20-525M, Class F, 144A, Variable Rate, 3.04%, due 02/12/40 | 2,318,489 | ||||||
| 3,710,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 13-C10, Class A4, Variable Rate, 4.21%, due 07/15/46 | 3,830,410 | ||||||
| 1,982,000 | Morgan Stanley Capital I Trust, Series 19-H6, Class A4, 3.42%, due 06/15/52 | 2,151,998 | ||||||
| 3,190,734 | SLIDE, Series 18-FUN, Class E, 144A, Variable Rate, 1 mo. LIBOR + 2.55%, 2.64%, due 06/15/31 | 3,078,470 | ||||||
| 5,268,100 | UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51 | 5,850,222 | ||||||
| 15,433,000 | UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51 | 17,460,662 | ||||||
| 7,630,000 | Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.64%, due 05/13/38 | 6,496,075 | ||||||
| 2,550,000 | WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 1.78%, due 11/23/43 | 2,513,224 | ||||||
| 6,774,126 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 2.36%, due 03/23/45 | 6,787,022 | ||||||
| Par Value† |
Description | Value ($) | ||||||
| Asset-Backed Securities — continued |
| |||||||
| Commercial Mortgage-Backed Securities — continued | ||||||||
| 1,767,000 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 2.36%, due 03/23/45 | 1,631,276 | ||||||
| 1,717,000 | Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35 | 1,718,140 | ||||||
| 8,563,000 | Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35 (a) | 8,284,702 | ||||||
| 7,788,283 | Wells Fargo Commercial Mortgage Trust, Series 18-C48, Class A5, 4.30%, due 01/15/52 | 8,852,764 | ||||||
| 1,395,022 | Wells Fargo Commercial Mortgage Trust, Series 18-C47, Class A4, 4.44%, due 09/15/61 | 1,593,375 | ||||||
|
|
|
|||||||
| Total Commercial Mortgage-Backed Securities | 136,786,411 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities — Other — 6.7% | ||||||||
| 826,493 | 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 | 155,611 | ||||||
| 17,918,641 | American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 0.45%, due 02/25/36 | 613,429 | ||||||
| 13,743,281 | BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25 | 5,618,668 | ||||||
| 4,760,730 | BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29 | 4,559,600 | ||||||
| 8,834,023 | BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29 | 1,788,995 | ||||||
| 2,928,137 | BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30 | 696,940 | ||||||
| 244,432 | Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.41%, due 02/25/37 | 233,598 | ||||||
| 3,859,366 | Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29 | 3,890,324 | ||||||
| 2,738,913 | Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29 | 2,702,241 | ||||||
| 2,741,042 | Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30 | 2,690,429 | ||||||
| 5,239,528 | Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33 | 5,184,966 | ||||||
| 1,087,629 | Corevest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53 | 1,067,371 | ||||||
| 8,000,000 | FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38 | 7,999,790 | ||||||
| 900,943 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.59%, due 10/25/34 | 867,403 | ||||||
| 4,241,816 | GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37 | 4,118,494 | ||||||
| 4,340,785 | Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35 | 376,533 | ||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||
| Asset-Backed Securities — continued |
| |||||||
| Residential Mortgage-Backed Securities — Other — continued |
||||||||
| 28,657,402 | 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 | 773,552 | ||||||
| 10,051,475 | Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36 | 5,217,647 | ||||||
| 10,252,942 | Home Loan Trust, Series 07-HI1, Class A4, Step Up, due 03/25/37 | 3,084,705 | ||||||
| 3,788,382 | Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.41%, due 03/25/36 | 421,098 | ||||||
| 293,880 | 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 | 256,133 | ||||||
| 13,759,232 | New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 0.29%, due 03/25/36 | 604,572 | ||||||
| 7,848,548 | New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 0.43%, due 03/25/36 | 345,065 | ||||||
| 20,925,093 | New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 0.49%, due 03/25/36 | 919,844 | ||||||
| 268,272 | 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 | 583,573 | ||||||
| 1,458,724 | Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28 | 1,472,627 | ||||||
| 1,473,997 | Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29 | 1,522,585 | ||||||
| 4,091,216 | Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30 | 3,156,694 | ||||||
| 10,277,577 | Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30 | 3,676,372 | ||||||
| 1,014,205 | Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31 | 758,618 | ||||||
| 596,820 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31 | 612,686 | ||||||
| 1,350,000 | Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/38 | 1,349,022 | ||||||
|
|
|
|||||||
| Total Residential Mortgage-Backed Securities — Other | 67,319,185 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities — Performing Loans — 0.4% |
||||||||
| 3,974,434 | Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65 | 3,913,486 | ||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities — Prime — 4.2% |
||||||||
| 8,134,371 | American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 0.30%, due 10/25/46 | 5,140,603 | ||||||
| 664,424 | Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 2.38%, due 10/25/35 | 677,880 | ||||||
| Par Value† |
Description | Value ($) | ||||||
| Asset-Backed Securities — continued |
| |||||||
| Residential Mortgage-Backed Securities — Prime — continued |
||||||||
| 4,214,628 | CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37 | 3,235,241 | ||||||
| 1,543,061 | IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.00%, due 12/25/36 | 1,452,415 | ||||||
| 1,162,793 | IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 2.99%, due 03/25/37 | 1,085,779 | ||||||
| 8,811,365 | IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 0.53%, due 04/25/46 | 8,421,259 | ||||||
| 1,673,267 | Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36 | 1,154,462 | ||||||
| 383,177 | RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.21%, due 09/25/35 | 375,238 | ||||||
| 5,710,111 | Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 1.48%, due 05/25/35 | 4,759,231 | ||||||
| 903,338 | WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 2.91%, due 09/25/35 | 906,385 | ||||||
| 1,191,976 | WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 1.48%, due 01/25/47 | 1,186,123 | ||||||
| 2,624,135 | Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 0.54%, due 06/25/35 | 2,236,119 | ||||||
| 11,042,777 | Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37 | 11,380,896 | ||||||
|
|
|
|||||||
| Total Residential Mortgage-Backed Securities — Prime | 42,011,631 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities — Subprime — 2.3% |
||||||||
| 1,615,554 | Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.51%, due 06/25/35 | 1,661,553 | ||||||
| 1,802,292 | BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.25%, due 05/26/37 | 1,763,353 | ||||||
| 4,012,257 | 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 (a) | 4,012,257 | ||||||
| 1,970,128 | 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 | 1,975,929 | ||||||
| 9,026,544 | Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.49%, due 07/25/36 | 8,776,055 | ||||||
| 828,516 | Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + 0.14%, 0.23%, due 12/25/36 | 806,015 | ||||||
| 1,202,588 | CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 2.53%, due 11/20/34 | 1,239,681 | ||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||
| Asset-Backed Securities — continued |
| |||||||
| Residential Mortgage-Backed Securities — Subprime — continued |
||||||||
| 3,374,578 | First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.20%, due 09/25/36 | 3,227,470 | ||||||
|
|
|
|||||||
| Total Residential Mortgage-Backed Securities —Subprime | 23,462,313 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities — Alt-A — 1.2% | ||||||||
| 512,583 | Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34 | 535,467 | ||||||
| 1,787,088 | Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.79%, due 05/25/36 | 839,404 | ||||||
| 1,739,723 | Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.79%, due 10/25/36 | 714,138 | ||||||
| 1,898,228 | Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. LIBOR + 0.90%, 0.99%, due 11/25/34 | 1,903,943 | ||||||
| 2,483,484 | Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34 | 2,535,571 | ||||||
| 4,131,360 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 2.71%, due 07/25/36 | 2,739,651 | ||||||
| 353,651 | JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37 | 357,200 | ||||||
| 2,957,721 | RBSSP Resecuritization Trust, Series 09-6, Class 12A4, 144A, Variable Rate, 5.50%, due 05/26/35 | 2,962,148 | ||||||
|
|
|
|||||||
| Total Residential Mortgage-Backed Securities — Alt-A | 12,587,522 | |||||||
|
|
|
|||||||
| Small Balance Commercial Mortgages — 7.2% | ||||||||
| 2,318,507 | Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 0.63%, due 04/25/36 | 2,209,459 | ||||||
| 38,833 | Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 0.93%, due 04/25/34 | 38,813 | ||||||
| 35,169 | Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.89%, due 04/25/34 | 35,159 | ||||||
| 39,419 | Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 2.94%, due 04/25/34 | 39,420 | ||||||
| 3,930,189 | Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 0.56%, due 08/25/35 | 3,776,555 | ||||||
| 1,907,982 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 0.68%, due 01/25/36 | 1,844,113 | ||||||
| 1,022,247 | Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 0.66%, due 04/25/36 | 963,170 | ||||||
| Par Value† |
Description | Value ($) | ||||||
| Asset-Backed Securities — continued |
| |||||||
| Small Balance Commercial Mortgages — continued | ||||||||
| 1,462,955 | Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.44%, due 07/25/36 | 1,406,418 | ||||||
| 2,992,492 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 0.51%, due 07/25/36 | 2,885,173 | ||||||
| 3,524,302 | Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 10/25/36 | 3,408,039 | ||||||
| 11,310,073 | Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.37%, due 01/25/37 | 10,936,110 | ||||||
| 1,954,460 | Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.31%, due 03/25/37 | 1,888,866 | ||||||
| 3,137,461 | Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 0.33%, due 07/25/37 | 2,997,388 | ||||||
| 6,449,558 | Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.36%, due 07/25/37 | 6,200,424 | ||||||
| 139,230 | Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 0.94%, due 12/25/37 | 139,210 | ||||||
| 1,191,547 | Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.34%, due 12/25/37 | 1,191,824 | ||||||
| 97,110,285 | FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.31%, due 05/25/30 | 6,908,960 | ||||||
| 23,680,193 | FRESB Mortgage Trust, Series 20-SB74, Class X1, IO, Variable Rate, 1.31%, due 03/25/40 | 1,649,434 | ||||||
| 81,479,497 | FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 1.07%, due 06/25/40 | 4,731,906 | ||||||
| 1,726,277 | 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 | 1,715,848 | ||||||
| 2,085,706 | 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 | 2,079,372 | ||||||
| 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 | 1,991,023 | ||||||
| 3,573,301 | 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 | 3,523,537 | ||||||
| 1,549,225 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 4.89%, due 10/25/37 | 1,548,164 | ||||||
| 3,300,000 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 4.89%, due 10/25/37 | 3,345,954 | ||||||
| 1,254,100 | Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 08/25/37 | 1,226,646 | ||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||
| Asset-Backed Securities — continued |
| |||||||
| Small Balance Commercial Mortgages — continued | ||||||||
| 1,336,939 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 2.20%, due 12/27/49 | 1,341,388 | ||||||
| 3,176,664 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 2.35%, due 12/27/49 | 3,158,621 | ||||||
|
|
|
|||||||
| Total Small Balance Commercial Mortgages | 73,180,994 | |||||||
|
|
|
|||||||
| Student Loans — Federal Family Education Loan Program — 6.5% |
||||||||
| 3,248,106 | AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 0.31%, due 10/25/24 | 3,203,576 | ||||||
| 6,887,427 | AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 0.82%, due 01/25/43 | 6,593,902 | ||||||
| 4,617,144 | AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 0.18%, due 01/25/23 | 4,586,126 | ||||||
| 3,530,793 | Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 0.45%, due 03/28/35 | 3,174,685 | ||||||
| 9,045,106 | SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 1.02%, due 06/15/21 | 8,961,438 | ||||||
| 10,465,915 | SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 1.77%, due 07/25/22 | 10,587,823 | ||||||
| 7,957,971 | SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 1.82%, due 07/25/23 | 8,034,675 | ||||||
| 20,019,650 | SLM Student Loan Trust, Series 08-9, Class A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.62%, due 04/25/23 | 20,160,064 | ||||||
|
|
|
|||||||
| Total Student Loans — Federal Family Education Loan Program | 65,302,289 | |||||||
|
|
|
|||||||
| Student Loans — Private — 10.9% | ||||||||
| 2,601,825 | Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 0.92%, due 07/25/34 | 2,541,175 | ||||||
| 7,417,115 | KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 0.61%, due 12/27/41 | 7,379,068 | ||||||
| 1,499,649 | KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 0.93%, due 04/28/42 | 1,498,971 | ||||||
| 5,622,500 | KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 1.38%, due 07/28/42 | 5,360,092 | ||||||
| 675,909 | L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 0.59%, due 10/15/28 | 672,221 | ||||||
| 8,775,000 | National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuc + 0.00%, due 03/31/38 (a) | 2,500,875 | ||||||
| Par Value† |
Description | Value ($) | ||||||
| Asset-Backed Securities — continued |
| |||||||
| Student Loans — Private — continued | ||||||||
| 7,625,000 | National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a) | 2,096,875 | ||||||
| 3,275,000 | National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a) | 900,625 | ||||||
| 6,072,548 | National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.40%, due 05/25/32 | 5,890,263 | ||||||
| 4,181,030 | National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 0.38%, due 01/25/33 | 3,981,832 | ||||||
| 10,427,062 | National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 0.44%, due 03/25/33 | 10,100,847 | ||||||
| 6,285,366 | National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 0.46%, due 06/25/33 | 6,053,913 | ||||||
| 20,003,586 | National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.40%, due 10/25/33 | 19,007,326 | ||||||
| 3,809,000 | National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 0.63%, due 12/26/33 | 3,686,951 | ||||||
| 25,000 | National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b) | 20,000 | ||||||
| 75,000 | National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b) | 64,500 | ||||||
| 4,375,413 | Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62 | 4,318,502 | ||||||
| 4,683,000 | SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (a) | 4,683,000 | ||||||
| 2,400,000 | SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (a) | 2,400,000 | ||||||
| 5,400,350 | SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 1.72%, due 09/15/32 | 2,001,385 | ||||||
| 9,080,000 | SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 0.55%, due 09/15/33 | 8,990,968 | ||||||
| 190,485 | SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 0.40%, due 12/15/38 | 190,441 | ||||||
| 3,547,407 | SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 0.41%, due 06/15/39 | 3,464,461 | ||||||
| 2,566,870 | SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 0.45%, due 06/15/39 | 2,520,345 | ||||||
| 2,672,291 | SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 0.51%, due 12/15/39 | 2,396,766 | ||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||
| Asset-Backed Securities — continued |
| |||||||
| Student Loans — Private — continued | ||||||||
| 6,989,400 | Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 1.14%, due 01/25/46 | 6,891,585 | ||||||
|
|
|
|||||||
| Total Student Loans — Private | 109,612,987 | |||||||
|
|
|
|||||||
| Total Asset-Backed Securities | 663,271,588 | |||||||
|
|
|
|||||||
| Corporate Debt — 0.5% | ||||||||
| Airlines — 0.5% |
| |||||||
| 2,734,375 | American Airlines Class AA Pass-Through Certificates, 3.65%, due 02/15/29 | 2,886,645 | ||||||
| 1,507,664 | American Airlines Class AA Pass-Through Certificates, 3.35%, due 04/15/31 | 1,536,674 | ||||||
|
|
|
|||||||
| Total Airlines | 4,423,319 | |||||||
|
|
|
|||||||
| Total Corporate Debt | 4,423,319 | |||||||
|
|
|
|||||||
| U.S. Government — 17.6% | ||||||||
| 36,000,000 | U.S. Treasury Note, 0.13%, due 11/30/22 | 35,949,375 | ||||||
| 30,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 04/30/23 (c) | 30,000,654 | ||||||
| 46,800,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 07/31/23 (c) | 46,795,216 | ||||||
| 65,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.09%, due 10/31/23 | 64,993,613 | ||||||
|
|
|
|||||||
| Total U.S. Government | 177,738,858 | |||||||
|
|
|
|||||||
| U.S. Government Agency — 0.8% | ||||||||
| 3,456,250 | Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR—0.02%, due 02/01/25 (a) | 3,388,118 | ||||||
| Par Value† / Shares |
Description | Value ($) | ||||||
| U.S. Government Agency — continued | ||||||||
| 3,750,000 | Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 0.40%, due 10/29/26 (a) | 3,649,207 | ||||||
| 1,410,000 | Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 0.25%, due 07/01/23 (a) | 1,396,241 | ||||||
|
|
|
|||||||
| Total U.S. Government Agency | 8,433,566 | |||||||
|
|
|
|||||||
| TOTAL DEBT OBLIGATIONS (COST $890,058,753) |
853,867,331 | |||||||
|
|
|
|||||||
| MUTUAL FUNDS — 1.1% | ||||||||
| United States — 1.1% | ||||||||
| Affiliated Issuers — 1.1% |
| |||||||
| 2,183,242 | GMO U.S. Treasury Fund | 10,981,708 | ||||||
|
|
|
|||||||
| TOTAL MUTUAL FUNDS (COST $11,003,541) |
10,981,708 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENTS — 12.6% | ||||||||
| Money Market Funds — 1.2% | ||||||||
| 12,134,771 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d) | 12,134,771 | ||||||
|
|
|
|||||||
| U.S. Government — 11.4% | ||||||||
| 43,400,000 | U.S. Treasury Bill, 0.14%, due 08/11/22 (e) | 43,359,205 | ||||||
| 33,050,000 | U.S. Treasury Bill, 0.17%, due 09/08/22 (e) | 33,006,790 | ||||||
| 38,650,000 | U.S. Treasury Bill, 0.19%, due 10/06/22 (e) | 38,586,636 | ||||||
|
|
|
|||||||
| Total U.S. Government | 114,952,631 | |||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $127,165,683) |
127,087,402 | |||||||
|
|
|
|||||||
PURCHASED OPTIONS — 0.0%
| Description | Counterparty | Exercise Rate |
Expiration Date |
Principal/ Notional Amount |
Floating Rate Index |
Pay/Receive Floating Rate |
Value ($) | |||||||||||||||||
| Options on Credit Default Swaps — Puts — 0.0% |
|
|||||||||||||||||||||||
| ITRAXX. EUROPE.S36.V1 -5Y |
JPM | 55.00 | % | 01/19/22 | EUR 67,670,000 | Fixed Spread | Pay | 255,806 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL PURCHASED OPTIONS (COST $247,065) | 255,806 | |||||
|
|
|
|||||
| TOTAL INVESTMENTS — 98.4% (Cost $1,028,475,042) |
992,192,247 | |||||
| Other Assets and Liabilities (net) — 1.6% | 16,621,268 | |||||
|
|
|
|||||
| TOTAL NET ASSETS — 100.0% | $ | 1,008,813,515 | ||||
|
|
|
|||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Forward Currency Contracts
| Settlement |
Counterparty | Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 01/21/2022 | BCLY | EUR | 218,500 | USD | 246,613 | (1,645 | ) | |||||||||||||
| 01/21/2022 | BOA | EUR | 21,334 | USD | 24,631 | 391 | ||||||||||||||
| 01/21/2022 | MSCI | EUR | 7,728,767 | USD | 9,017,809 | 236,433 | ||||||||||||||
| 01/21/2022 | SSB | EUR | 68,685 | USD | 79,543 | 1,504 | ||||||||||||||
| 01/21/2022 | BOA | USD | 622,401 | EUR | 539,100 | (9,880 | ) | |||||||||||||
| 01/21/2022 | MSCI | USD | 2,447,364 | EUR | 2,097,528 | (64,166 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| $ | 162,637 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 284 | U.S. Treasury Note 10 Yr. (CBT) | March 2022 | 37,150,750 | 545,516 | ||||||||||
| 423 | U.S. Treasury Note 5 Yr. (CBT) | March 2022 | 51,351,539 | 472,902 | ||||||||||
| 67 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2022 | 9,841,672 | 171,960 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 98,343,961 | $ | 1,190,378 | |||||||||||
|
|
|
|
|
|||||||||||
| Sales | ||||||||||||||
| 26 | U.S. Treasury Note 2 Yr. (CBT) | March 2022 | $ | 5,687,094 | $ | (959 | ) | |||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
Written Options
| Description |
Counterparty |
Exercise Rate |
Expiration Date |
Principal/ Notional Amount |
Floating Rate Index |
Pay/Receive Floating Rate |
Value ($) |
|||||||||||||||||||
| Written Options on Credit Default Swaps — Puts |
| |||||||||||||||||||||||||
| ITRAXX.EUROPE.S36.V1-5Y |
JPM | 70.00% | 01/19/22 | EUR | (101,505,000 | ) | Fixed Spread | Pay | (166,552 | ) | ||||||||||||||||
| CDX.NA.IGS.37.V1-5Y |
BOA | 75.00% | 12/15/21 | USD | (65,535,000 | ) | Fixed Spread | Pay | (16,074 | ) | ||||||||||||||||
| CDX.NA.IGS.37.V1-5Y |
BCLY | 75.00% | 01/19/22 | USD | (65,535,000 | ) | Fixed Spread | Pay | (72,688 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| |
TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $186,911) |
$ | (255,314 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
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.XOVER.S30.V3-5Y |
EUR | 21,745,573 | 5.00% | 1.84% | N/A | 12/20/2023 | Quarterly | (2,273,176 | ) | (1,580,098 | ) | 693,078 | ||||||||||||||||||||||||
| CDX.NA.IGS.33.V1-5Y |
USD | 49,070,000 | 1.00% | 0.47% | N/A | 12/20/2024 | Quarterly | (417,804 | ) | (788,947 | ) | (371,143 | ) | |||||||||||||||||||||||
| ITRAXX.EUROPE.S32.V1-5Y |
EUR | 29,470,000 | 1.00% | 0.39% | N/A | 12/20/2024 | Quarterly | (859,948 | ) | (625,458 | ) | 234,490 | ||||||||||||||||||||||||
| ITRAXX.EUROPE.S34.V1-5Y |
EUR | 20,633,760 | 1.00% | 0.45% | N/A | 12/20/2025 | Quarterly | (648,690 | ) | (523,358 | ) | 125,332 | ||||||||||||||||||||||||
| ITRAXX.XOVER.S34.V2-5Y |
EUR | 10,593,000 | 5.00% | 2.33% | N/A | 12/20/2025 | Quarterly | (1,541,710 | ) | (1,226,761 | ) | 314,949 | ||||||||||||||||||||||||
|
CDX-NA.IGS.37.V1-5Y |
USD | 131,070,000 | 1.00% | 0.58% | N/A | 12/20/2026 | Quarterly | (3,176,534 | ) | (2,691,522 | ) | 485,012 | ||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||
| CDX.NA.IGS.28.V1-5Y |
USD | 17,200,000 | 1.00% | 0.26% | 17,200,000 USD | 06/20/2022 | Quarterly | 300,982 | 71,277 | (229,705 | ) | |||||||||||||||||||||||||
| CDX.NA.HYS.33.V3-5Y |
USD | 2,300,650 | 5.00% | 2.46% | 2,300,650 USD | 12/20/2024 | Quarterly | 78,900 | 169,351 | 90,451 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | (8,537,980 | ) | $ | (7,195,516 | ) | $ | 1,342,464 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
OTC Credit Default Swaps
| Reference Entity |
Counter- |
Notional |
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 |
GS | USD | 4,458,000 | 5.00% | 2.08% | N/A | 12/20/2021 | Quarterly | 11,145 | (7,233 | ) | (18,378 | ) | |||||||||||||||||||||
| CDX.NA.HYS.27.V2-5Y |
JPM | USD | 4,300,000 | 5.00% | 2.08% | N/A | 12/20/2021 | Quarterly | (11,825 | ) | (6,976 | ) | 4,849 | |||||||||||||||||||||
| D.R. Horton, Inc. |
BCLY | USD | 17,200,000 | 1.00% | 0.10% | N/A | 06/20/2022 | Quarterly | (165,250 | ) | (86,995 | ) | 78,255 | |||||||||||||||||||||
| CDX.NA.HYS.29.V1-5Y |
JPM | USD | 870,000 | 5.00% | 1.80% | N/A | 12/20/2022 | Quarterly | (51,765 | ) | (29,543 | ) | 22,222 | |||||||||||||||||||||
| CDX.NA.HYS.29.V1-5Y |
JPM | USD | 6,425,250 | 5.00% | 1.80% | N/A | 12/20/2022 | Quarterly | (282,711 | ) | (218,185 | ) | 64,526 | |||||||||||||||||||||
| CDX.NA.HYS.29.V1-5Y |
MORD | USD | 3,450,800 | 5.00% | 1.80% | N/A | 12/20/2022 | Quarterly | (188,414 | ) | (117,180 | ) | 71,234 | |||||||||||||||||||||
| Navient Corp. |
BCLY | USD | 2,082,800 | 5.00% | 1.19% | N/A | 12/20/2022 | Quarterly | (160,628 | ) | (84,006 | ) | 76,622 | |||||||||||||||||||||
| Navient Corp. |
BCLY | USD | 3,435,200 | 5.00% | 1.19% | N/A | 12/20/2022 | Quarterly | (264,646 | ) | (138,553 | ) | 126,093 | |||||||||||||||||||||
| Navient Corp. |
GS | USD | 4,050,000 | 5.00% | 1.19% | N/A | 12/20/2022 | Quarterly | (421,122 | ) | (163,349 | ) | 257,773 | |||||||||||||||||||||
| Navient Corp. |
GS | USD | 2,700,000 | 5.00% | 1.19% | N/A | 12/20/2022 | Quarterly | (277,472 | ) | (108,900 | ) | 168,572 | |||||||||||||||||||||
| CDX.NA.HYS.31.V14-5Y |
CITI | USD | 3,941,000 | 5.00% | 4.36% | N/A | 12/20/2023 | Quarterly | (15,370 | ) | (50,589 | ) | (35,219 | ) | ||||||||||||||||||||
| CMBX.NA.A.7 |
CGMI | USD | 1,420,000 | 2.00% | 4.88% | N/A | 01/17/2047 | Monthly | 89,177 | 73,009 | (16,168 | ) | ||||||||||||||||||||||
| CMBX.NA.A.7 |
GS | USD | 2,840,000 | 2.00% | 4.88% | N/A | 01/17/2047 | Monthly | 156,358 | 146,019 | (10,339 | ) | ||||||||||||||||||||||
| CMBX.NA.AA.7 |
GS | USD | 5,000,000 | 1.50% | 2.44% | N/A | 01/17/2047 | Monthly | 7,975 | 85,419 | 77,444 | |||||||||||||||||||||||
| CMBX.NA.AS.7 |
MORD | USD | 13,270,000 | 1.00% | 0.81% | N/A | 01/17/2047 | Monthly | 205,782 | (45,384 | ) | (251,166 | ) | |||||||||||||||||||||
| CMBX.NA.AS.7 |
DB | USD | 7,608,000 | 1.00% | 0.81% | N/A | 01/17/2047 | Monthly | (119,899 | ) | (26,020 | ) | 93,879 | |||||||||||||||||||||
| CMBX.NA.AS.7 |
BOA | USD | 4,505,000 | 1.00% | 0.81% | N/A | 01/17/2047 | Monthly | 47,352 | (15,407 | ) | (62,759 | ) | |||||||||||||||||||||
| CMBX.NA.AS.7 |
DB | USD | 16,677,794 | 1.00% | 0.81% | N/A | 01/17/2047 | Monthly | 197,705 | (57,039 | ) | (254,744 | ) | |||||||||||||||||||||
| CMBX.NA.AS.7 |
GS | USD | 4,400,000 | 1.00% | 0.81% | N/A | 01/17/2047 | Monthly | 112,812 | (15,048 | ) | (127,860 | ) | |||||||||||||||||||||
| CMBX.NA.AA.11 |
CGMI | USD | 4,626,000 | 1.50% | 1.16% | N/A | 11/18/2054 | Monthly | (63,740 | ) | (86,693 | ) | (22,953 | ) | ||||||||||||||||||||
| CMBX.NA.AA.11 |
MORD | USD | 4,624,500 | 1.50% | 1.16% | N/A | 11/18/2054 | Monthly | (61,371 | ) | (86,665 | ) | (25,294 | ) | ||||||||||||||||||||
| CMBX.NA.AA.11 |
MORD | USD | 4,624,500 | 1.50% | 1.16% | N/A | 11/18/2054 | Monthly | (67,280 | ) | (86,666 | ) | (19,386 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.11 |
GS | USD | 3,064,050 | 3.00% | 4.18% | N/A | 11/18/2054 | Monthly | 116,418 | 184,174 | 67,756 | |||||||||||||||||||||||
| CMBX.NA.AA.8 |
CSI | USD | 8,892,000 | 1.50% | 1.27% | N/A | 10/17/2057 | Monthly | 247,717 | (55,658 | ) | (303,375 | ) | |||||||||||||||||||||
| CMBX.NA.AS.8 |
MORD | USD | 3,384,000 | 1.00% | 0.79% | N/A | 10/17/2057 | Monthly | 140,432 | (19,790 | ) | (160,222 | ) | |||||||||||||||||||||
| CMBX.NA.AS.8 |
CGMI | USD | 8,892,000 | 1.00% | 0.79% | N/A | 10/17/2057 | Monthly | 73,095 | (52,002 | ) | (125,097 | ) | |||||||||||||||||||||
| CMBX.NA.BBB-.8 |
GS | USD | 4,224,000 | 3.00% | 8.45% | N/A | 10/17/2057 | Monthly | 400,908 | 579,400 | 178,492 | |||||||||||||||||||||||
| CMBX.NA.BBB-.8 |
GS | USD | 6,889,000 | 3.00% | 8.45% | N/A | 10/17/2057 | Monthly | 1,034,610 | 944,954 | (89,656 | ) | ||||||||||||||||||||||
| CMBX.NA.AAA.9 |
GS | USD | 6,429,900 | 0.50% | 0.31% | N/A | 09/17/2058 | Monthly | (65,660 | ) | (45,812 | ) | 19,848 | |||||||||||||||||||||
| CMBX.NA.BBB-.9 |
MORD | USD | 2,585,000 | 3.00% | 5.78% | N/A | 09/17/2058 | Monthly | 63,490 | 245,758 | 182,268 | |||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
CGMI | USD | 3,425,200 | 3.00% | 5.78% | N/A | 09/17/2058 | Monthly | 955,105 | 325,636 | (629,469 | ) | ||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
MORD | USD | 5,116,800 | 3.00% | 5.78% | N/A | 09/17/2058 | Monthly | 584,727 | 486,457 | (98,270 | ) | ||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
DB | USD | 4,263,000 | 3.00% | 5.78% | N/A | 09/17/2058 | Monthly | 517,160 | 405,286 | (111,874 | ) | ||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
CGMI | USD | 2,500,000 | 3.00% | 5.78% | N/A | 09/17/2058 | Monthly | 290,110 | 237,676 | (52,434 | ) | ||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
CGMI | USD | 1,500,000 | 3.00% | 5.78% | N/A | 09/17/2058 | Monthly | 175,119 | 142,606 | (32,513 | ) | ||||||||||||||||||||||
| CMBX.NA.BBB-.12 |
GS | USD | 2,949,240 | 3.00% | 4.15% | N/A | 08/17/2061 | Monthly | 116,575 | 194,093 | 77,518 | |||||||||||||||||||||||
| CMBX.NA.AA.6 |
GS | USD | 5,000,000 | 1.50% | 4.93% | N/A | 05/11/2063 | Monthly | 35,145 | 122,170 | 87,025 | |||||||||||||||||||||||
| CMBX.NA.BBB-.6 |
CGMI | USD | 4,274,000 | 3.00% | 45.64% | N/A | 05/11/2063 | Monthly | 1,357,351 | 1,168,022 | (189,329 | ) | ||||||||||||||||||||||
| CMBX.NA.BB.13 |
GS | USD | 1,860,000 | 5.00% | 6.99% | N/A | 12/16/2072 | Monthly | 182,990 | 215,972 | 32,982 | |||||||||||||||||||||||
| CMBX.NA.BB.13 |
GS | USD | 3,000,000 | 5.00% | 6.99% | N/A | 12/16/2072 | Monthly | 295,146 | 348,342 | 53,196 | |||||||||||||||||||||||
| CMBX.NA.BB.14 |
GS | USD | 3,140,000 | 5.00% | 6.23% | N/A | 12/16/2072 | Quarterly | 175,274 | 246,650 | 71,376 | |||||||||||||||||||||||
| CMBX.NA.BB.14 |
GS | USD | 1,360,000 | 5.00% | 6.23% | N/A | 12/16/2072 | Quarterly | 75,915 | 106,829 | 30,914 | |||||||||||||||||||||||
| CMBX.NA.BBB-.13 |
GS | USD | 1,800,000 | 3.00% | 4.09% | N/A | 12/16/2072 | Monthly | 66,662 | 127,209 | 60,547 | |||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||
| CDX.NA.HYS.27.V2-5Y |
GS | USD | 2,084,000 | 5.00% | 0.42% | 2,084,000 USD | 12/20/2021 | Quarterly | 268,315 | 5,303 | (263,012 | ) | ||||||||||||||||||||||
| CDX.NA.HYS.27.V2-5Y |
JPM | USD | 8,600,000 | 5.00% | 0.42% | 8,600,000 USD | 12/20/2021 | Quarterly | 1,143,800 | 21,885 | (1,121,915 | ) | ||||||||||||||||||||||
| CDX.NA.HYS.27.V3-5Y |
JPM | USD | 7,735,000 | 5.00% | 0.42% | 7,735,000 USD | 12/20/2021 | Quarterly | 1,096,050 | 19,683 | (1,076,367 | ) | ||||||||||||||||||||||
| CDX.NA.HYS.27.V3-5Y |
BOA | USD | 8,545,000 | 5.00% | 0.42% | 8,545,000 USD | 12/20/2021 | Quarterly | 1,369,764 | 21,745 | (1,348,019 | ) | ||||||||||||||||||||||
| CDX.NA.HYS.29.V1-5Y |
MORD | USD | 4,264,000 | 5.00% | 0.53% | 4,264,000 USD | 12/20/2022 | Quarterly | 644,717 | 203,319 | (441,398 | ) | ||||||||||||||||||||||
| CDX.NA.HYS.29.V1-5Y |
BOA | USD | 5,115,600 | 5.00% | 0.53% | 5,115,600 USD | 12/20/2022 | Quarterly | 742,274 | 243,926 | (498,348 | ) | ||||||||||||||||||||||
| CDX.NA.HYS.29.V6-5Y |
CITI | USD | 5,994,100 | 5.00% | 0.53% | 5,994,100 USD | 12/20/2022 | Quarterly | 229,274 | 285,815 | 56,541 | |||||||||||||||||||||||
| CDX.NA.HYS.31.V14-5Y |
CITI | USD | 2,866,000 | 5.00% | 0.94% | 2,866,000 USD | 12/20/2023 | Quarterly | 293,765 | 240,248 | (53,517 | ) | ||||||||||||||||||||||
| CDX.NA.HYS.31.V14-5Y |
CITI | USD | 4,657,000 | 5.00% | 0.94% | 4,657,000 USD | 12/20/2023 | Quarterly | 492,478 | 390,382 | (102,096 | ) | ||||||||||||||||||||||
| ITRAXX.XOVER.S30.V3-5Y |
JPM | EUR | 655,580 | 5.00% | 38.29% | 655,580 EUR | 12/20/2023 | Quarterly | (487,841 | ) | (363,346 | ) | 124,495 | |||||||||||||||||||||
| ITRAXX.XOVER.S30.V4-5Y |
JPM | EUR | 158,684 | 5.00% | 38.29% | 158,684 EUR | 12/20/2023 | Quarterly | (110,801 | ) | (87,948 | ) | 22,853 | |||||||||||||||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
| Reference Entity |
Counter- |
Notional |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||
| CDX.NA.HYS.33.V1-5Y |
GS | USD | 25,938,066 | 5.00% | 0.27% | 25,938,066 USD | 12/20/2024 | Quarterly | 5,736,852 | 3,688,251 | (2,048,601 | ) | ||||||||||||||||||||||
| CDX.NA.HYS.33.V12-5Y |
MORD | USD | 2,840,000 | 5.00% | 0.27% | 2,840,000 USD | 12/20/2024 | Quarterly | 481,871 | 403,832 | (78,039 | ) | ||||||||||||||||||||||
| CDX.NA.HYS.33.V12-5Y |
CITI | USD | 10,746,000 | 5.00% | 0.27% | 10,746,000 USD | 12/20/2024 | Quarterly | 1,826,953 | 1,528,022 | (298,931 | ) | ||||||||||||||||||||||
| CDX.NA.HYS.33.V12-5Y |
JPM | USD | 10,540,000 | 5.00% | 0.27% | 10,540,000 USD | 12/20/2024 | Quarterly | 1,704,698 | 1,498,730 | (205,968 | ) | ||||||||||||||||||||||
| CDX.NA.HYS.33.V3-5Y |
CITI | USD | 4,185,325 | 5.00% | 0.27% | 4,185,325 USD | 12/20/2024 | Quarterly | 442,877 | 595,130 | 152,253 | |||||||||||||||||||||||
| CDX.NA.IGS.33.V1-5Y |
CITI | USD | 1,472,000 | 1.00% | 10.98% | 1,472,000 USD | 12/20/2024 | Quarterly | (820,051 | ) | (391,934 | ) | 428,117 | |||||||||||||||||||||
| ITRAXX.EUROPE.S32.V1-5Y |
GS | EUR | 58,940,000 | 1.00% | 0.12% | 58,940,000 EUR | 12/20/2024 | Quarterly | 2,667,689 | 1,819,224 | (848,465 | ) | ||||||||||||||||||||||
| CDX.NA.HYS.35.V1-5Y |
MSCI | USD | 4,810,000 | 5.00% | 3.67% | 4,810,000 USD | 12/20/2025 | Quarterly | 353,535 | 249,841 | (103,694 | ) | ||||||||||||||||||||||
| ITRAXX.EUROPE.S34.V1-5Y |
BOA | EUR | 36,846,000 | 1.00% | 0.18% | 36,846,000 USD | 12/20/2025 | Quarterly | 1,774,799 | 1,415,620 | (359,179 | ) | ||||||||||||||||||||||
| ITRAXX.XOVER.S34.V2-5Y |
JPM | EUR | 33,900,000 | 5.00% | 0.32% | 33,900,000 USD | 12/20/2025 | Quarterly | 7,810,196 | 7,153,235 | (656,961 | ) | ||||||||||||||||||||||
| CMBX.NA.A.9 |
GS | USD | 6,822,400 | 2.00% | 2.14% | 6,822,400 USD | 09/17/2058 | Monthly | 89,487 | (34,494 | ) | (123,981 | ) | |||||||||||||||||||||
| CMBX.NA.A.9 |
CGMI | USD | 2,500,000 | 2.00% | 2.14% | 2,500,000 USD | 09/17/2058 | Monthly | (74,374 | ) | (12,640 | ) | 61,734 | |||||||||||||||||||||
| CMBX.NA.AAA.10 |
GS | USD | 7,540,000 | 0.50% | 0.36% | 7,540,000 USD | 11/17/2059 | Monthly | 68,960 | 49,990 | (18,970 | ) | ||||||||||||||||||||||
| CMBX.NA.AAA.10 |
GS | USD | 1,700,000 | 0.50% | 0.36% | 1,700,000 USD | 11/17/2059 | Monthly | 15,500 | 11,271 | (4,229 | ) | ||||||||||||||||||||||
| CMBX.NA.AAA.13 |
GS | USD | 2,825,000 | 0.50% | 0.50% | 2,825,000 USD | 12/16/2072 | Monthly | 6,615 | (605 | ) | (7,220 | ) | |||||||||||||||||||||
| CMBX.NA.AAA.13 |
GS | USD | 6,500,000 | 0.50% | 0.50% | 6,500,000 USD | 12/16/2072 | Monthly | 14,832 | (1,392 | ) | (16,224 | ) | |||||||||||||||||||||
| CMBX.NA.AAA.13 |
MORD | USD | 7,399,200 | 0.50% | 0.50% | 7,399,200 USD | 12/16/2072 | Monthly | 30,439 | (1,584 | ) | (32,023 | ) | |||||||||||||||||||||
| CMBX.NA.AAA.13 |
MORD | USD | 7,399,200 | 0.50% | 0.50% | 7,399,200 USD | 12/16/2072 | Monthly | 30,439 | (1,584 | ) | (32,023 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| $ | 33,358,214 | $ | 23,731,913 | $ | (9,626,301 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of November 30, 2021, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives | Notional Amount |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||
| 0.25% |
3 Month USD LIBOR | USD | 9,700,000 | 11/10/2022 | Quarterly | (4,539 | ) | 8,959 | 13,498 | |||||||||||||||||||
| 0.30% |
3 Month USD LIBOR | USD | 9,750,000 | 08/17/2024 | Quarterly | — | 180,599 | 180,599 | ||||||||||||||||||||
| 0.33% |
3 Month USD LIBOR | USD | 4,360,000 | 10/20/2024 | Quarterly | 2,813 | 86,623 | 83,810 | ||||||||||||||||||||
| 1.23% |
3 Month USD LIBOR | USD | 8,000,000 | 11/23/2025 | Quarterly | — | (13,921 | ) | (13,921 | ) | ||||||||||||||||||
| 1.05% |
3 Month USD LIBOR | USD | 21,100,000 | 12/16/2026 | Quarterly | (5,722 | ) | 239,064 | 244,786 | |||||||||||||||||||
| 1.00% |
3 Month USD LIBOR | USD | 9,590,000 | 09/16/2027 | Quarterly | (288 | ) | 176,334 | 176,622 | |||||||||||||||||||
| 0.82% |
3 Month USD LIBOR | USD | 5,480,000 | 01/12/2028 | Quarterly | — | 174,372 | 174,372 | ||||||||||||||||||||
| 1.14% |
3 Month USD LIBOR | USD | 16,400,000 | 03/04/2028 | Quarterly | 29,413 | 220,985 | 191,572 | ||||||||||||||||||||
| 0.88% |
3 Month USD LIBOR | USD | 8,345,000 | 03/06/2028 | Quarterly | 22,934 | 243,789 | 220,855 | ||||||||||||||||||||
| 0.65% |
3 Month USD LIBOR | USD | 5,770,000 | 06/04/2028 | Quarterly | (29,478 | ) | 264,802 | 294,280 | |||||||||||||||||||
| 0.65% |
3 Month USD LIBOR | USD | 5,790,000 | 07/30/2028 | Quarterly | (25,114 | ) | 274,392 | 299,506 | |||||||||||||||||||
| 1.09% |
3 Month USD LIBOR | USD | 5,840,000 | 09/03/2028 | Quarterly | — | 115,522 | 115,522 | ||||||||||||||||||||
| 1.10% |
3 Month USD LIBOR | USD | 2,190,000 | 09/03/2028 | Quarterly | — | 41,817 | 41,817 | ||||||||||||||||||||
| 0.75% |
3 Month USD LIBOR | USD | 5,100,000 | 02/11/2030 | Quarterly | (22,015 | ) | 277,820 | 299,835 | |||||||||||||||||||
| 0.95% |
3 Month USD LIBOR | USD | 2,710,000 | 12/11/2030 | Quarterly | 91,046 | 122,066 | 31,020 | ||||||||||||||||||||
| 1.02% |
3 Month USD LIBOR | USD | 7,200,000 | 01/08/2031 | Quarterly | 24,435 | 284,544 | 260,109 | ||||||||||||||||||||
| 1.47% |
3 Month USD LIBOR | USD | 8,150,000 | 12/17/2031 | Quarterly | (9,656 | ) | 35,535 | 45,191 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | 73,829 | $ | 2,733,302 | $ | 2,659,473 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
OTC Total Return Swaps
| Fund Pays |
Fund |
Counterparty |
Notional |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||
| Total Return on Markit iBoxx USD Liquid Leveraged Loans Index |
3 Month USD LIBOR | JPM | USD | 12,000,000 | 12/20/2021 | Quarterly | $ | — | $ | 98,923 | $ | 98,923 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
As of November 30, 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) | Investment valued using significant unobservable inputs. |
| (c) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any. |
| (d) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
| (e) | The rate shown represents yield-to-maturity. |
The rates shown on variable rate notes are the current interest rates at November 30, 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
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
USD LIBOR - London Interbank Offered Rate denominated in United States Dollar.
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
CGMI - Citigroup Global Markets Inc.
CITI - Citibank N.A.
CSI - Credit Suisse International
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MORD - Morgan Stanley Capital Services LLC
MSCI - Morgan Stanley & Co. International PLC
SSB - State Street Bank and Trust Company
Currency Abbreviations:
EUR - Euro
USD - United States Dollar
GMO U.S. Treasury Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† / Shares |
Description | Value ($) | ||||||
| SHORT-TERM INVESTMENTS — 98.2% |
| |||||||
| U.S. Government — 98.2% | ||||||||
| 73,320,000 |
U.S. Treasury Bill, 0.22%, due 11/03/22 (a) | 73,173,005 | ||||||
| 40,700,000 |
U.S. Treasury Note, 0.13%, due 11/30/22 | 40,642,766 | ||||||
| 73,200,000 |
U.S. Treasury Note, 0.13%, due 12/31/22 | 73,071,328 | ||||||
| 18,000,000 |
U.S. Treasury Note, 0.13%, due 01/31/23 | 17,959,219 | ||||||
| 13,300,000 |
U.S. Treasury Note, 0.13%, due 06/30/23 | 13,237,137 | ||||||
| 35,000,000 |
U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.10%, due 01/31/23 | 35,006,936 | ||||||
| 16,000,000 |
U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 07/31/23 | 15,998,364 | ||||||
| 56,200,000 |
U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.09%, due 10/31/23 | 56,194,478 | ||||||
|
|
|
|||||||
| Total U.S. Government | 325,283,233 | |||||||
|
|
|
|||||||
| Money Market Funds — 0.0% | ||||||||
| 146,384 |
State Street Institutional Treasury Plus Money Market Fund – Premier Class, 0.01% (b) | 146,384 | ||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $325,656,242) | 325,429,617 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 98.2% (Cost $325,656,242) | 325,429,617 | |||||||
| Other Assets and Liabilities (net) — 1.8% | 5,925,271 | |||||||
|
|
|
|||||||
| TOTAL NET ASSETS — 100.0% | $331,354,888 | |||||||
|
|
|
|||||||
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | The rate shown represents yield-to-maturity. |
| (b) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
The rates shown on variable rate notes are the current interest rates at November 30, 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.
Organization
Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund, Opportunistic Income Fund and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).
The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.
Many of the Funds may invest without limitation in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), some of the Funds may invest in Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.
Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.
Basis of presentation
The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.
Portfolio valuation
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges
(including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2021, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and potential litigation recoveries and interests related to bankruptcy proceedings.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2021:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Asset Allocation Bond Fund |
| |||||||||||||||
| Asset Valuation Inputs |
| |||||||||||||||
| Debt Obligations |
||||||||||||||||
| U.S. Government |
$ | 74,742,083 | $ | — | $ | — | $ | 74,742,083 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
74,742,083 | — | — | 74,742,083 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
11,659 | — | — | 11,659 | ||||||||||||
| Short-Term Investments |
334,526 | — | — | 334,526 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
75,088,268 | — | — | 75,088,268 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 75,088,268 | $ | — | $ | — | $ | 75,088,268 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Country Debt Fund |
| |||||||||||||||
| Asset Valuation Inputs |
| |||||||||||||||
| Debt Obligations |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 20,323,675 | $ | — | $ | 20,323,675 | ||||||||
| Corporate Debt |
— | 194,119,872 | 24,536,063 | 218,655,935 | ||||||||||||
| Sovereign and Sovereign Agency Issuers |
5,982,060 | 3,221,367,349 | 233,495,590 | 3,460,844,999 | ||||||||||||
| U.S. Government |
264,418,574 | — | — | 264,418,574 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
270,400,634 | 3,435,810,896 | 258,031,653 | 3,964,243,183 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Loan Assignments |
— | — | 56,867,887 | 56,867,887 | ||||||||||||
| Loan Participations |
— | 12,216,600 | 37,559,983 | 49,776,583 | ||||||||||||
| Mutual Funds |
74,635,866 | — | — | 74,635,866 | ||||||||||||
| Purchased Options |
— | 987,389 | — | 987,389 | ||||||||||||
| Rights/Warrants |
— | 15,225,553 | 18,984 | 15,244,537 | ||||||||||||
| Short-Term Investments |
7,125,039 | — | — | 7,125,039 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
352,161,539 | 3,464,240,438 | 352,478,507 | 4,168,880,484 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 9,728,386 | — | 9,728,386 | ||||||||||||
| Options |
||||||||||||||||
| Credit Risk |
— | — | 201,793 | 201,793 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 26,742,605 | — | 26,742,605 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 352,161,539 | $ | 3,500,711,429 | $ | 352,680,300 | $ | 4,205,553,268 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
| |||||||||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | (1,223,659 | ) | $ | — | $ | (1,223,659 | ) | ||||||
| Options |
||||||||||||||||
| Credit Risk |
— | — | (122,453 | ) | (122,453 | ) | ||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | (4,793,743 | ) | — | (4,793,743 | ) | ||||||||||
| Interest Rate Risk |
— | (15,632,252 | ) | — | (15,632,252 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | (21,649,654 | ) | $ | (122,453 | ) | $ | (21,772,107 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| High Yield Fund |
| |||||||||||||||
| Asset Valuation Inputs |
| |||||||||||||||
| Debt Obligations |
||||||||||||||||
| Corporate Debt |
$ | — | $ | 25,986,643 | $ | — | $ | 25,986,643 | ||||||||
| U.S. Government |
3,629,629 | — | — | 3,629,629 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
3,629,629 | 25,986,643 | — | 29,616,272 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
39,778,630 | 20,980,103 | — | 60,758,733 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
43,408,259 | 46,966,746 | — | 90,375,005 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
$ | 140,395 | $ | — | $ | — | $ | 140,395 | ||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 2,059,119 | — | 2,059,119 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 43,548,654 | $ | 49,025,865 | $ | — | $ | 92,574,519 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
| |||||||||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | (228,737 | ) | $ | — | $ | (228,737 | ) | ||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
(41,429 | ) | — | — | (41,429 | ) | ||||||||||
| Swap Contracts |
||||||||||||||||
| Interest Rate Risk |
— | (546,259 | ) | — | (546,259 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (41,429 | ) | $ | (774,996 | ) | $ | — | $ | (816,425 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Sector Fixed Income Fund |
| |||||||||||||||
| Asset Valuation Inputs |
| |||||||||||||||
| Debt Obligations |
||||||||||||||||
| Corporate Debt |
$ | — | $ | 52,075,773 | $ | — | $ | 52,075,773 | ||||||||
| U.S. Government Agency |
— | 24,817,460 | — | 24,817,460 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
— | 76,893,233 | — | 76,893,233 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
42,061,304 | — | — | 42,061,304 | ||||||||||||
| Short-Term Investments |
45,631,493 | 34,216,359 | — | 79,847,852 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
87,692,797 | 111,109,592 | — | 198,802,389 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | 1,187,812 | $ | — | $ | 1,187,812 | ||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
1,169,188 | — | — | 1,169,188 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Interest Rate Risk |
— | 984,014 | — | 984,014 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 88,861,985 | $ | 113,281,418 | $ | — | $ | 202,143,403 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
| |||||||||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | (2,102,382 | ) | $ | — | $ | (2,102,382 | ) | ||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
(151,668 | ) | — | — | (151,668 | ) | ||||||||||
| Swap Contracts |
||||||||||||||||
| Interest Rate Risk |
— | (921,644 | ) | — | (921,644 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (151,668 | ) | $ | (3,024,026 | ) | $ | — | $ | (3,175,694 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Opportunistic Income Fund |
| |||||||||||||||
| Asset Valuation Inputs |
| |||||||||||||||
| Debt Obligations |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 638,308,754 | $ | 24,962,834 | $ | 663,271,588 | ||||||||
| Corporate Debt |
— | 4,423,319 | — | 4,423,319 | ||||||||||||
| U.S. Government |
177,738,858 | — | — | 177,738,858 | ||||||||||||
| U.S. Government Agency |
— | — | 8,433,566 | 8,433,566 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
177,738,858 | 642,732,073 | 33,396,400 | 853,867,331 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
10,981,708 | — | — | 10,981,708 | ||||||||||||
| Purchased Options |
— | 255,806 | — | 255,806 | ||||||||||||
| Short-Term Investments |
127,087,402 | — | — | 127,087,402 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
315,807,968 | 642,987,879 | 33,396,400 | 992,192,247 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 238,328 | — | 238,328 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
1,190,378 | — | — | 1,190,378 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 26,471,761 | — | 26,471,761 | ||||||||||||
| Interest Rate Risk |
— | 2,846,146 | — | 2,846,146 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 316,998,346 | $ | 672,544,114 | $ | 33,396,400 | $ | 1,022,938,860 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
| |||||||||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | (75,691 | ) | $ | — | $ | (75,691 | ) | ||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
(959 | ) | — | — | (959 | ) | ||||||||||
| Written Options |
||||||||||||||||
| Credit Risk |
— | (255,314 | ) | — | (255,314 | ) | ||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | (9,935,364 | ) | — | (9,935,364 | ) | ||||||||||
| Interest Rate Risk |
— | (13,921 | ) | — | (13,921 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (959 | ) | $ | (10,280,290 | ) | $ | — | $ | (10,281,249 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Treasury Fund |
| |||||||||||||||
| Asset Valuation Inputs |
| |||||||||||||||
| Short-Term Investments |
$ | 325,429,617 | $ | — | $ | — | $ | 325,429,617 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
325,429,617 | — | — | 325,429,617 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 325,429,617 | $ | — | $ | — | $ | 325,429,617 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.
| ^ | In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments. |
The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, the Colombia Government International Bond, due 3/09/28, which is valued by applying a 8 basis point spread to the yield of the Colombia Government International Bond, due 2/15/27, 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, a Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, due 6/23/28, which is valued by applying a 550 basis point spread to the yield of the Republic of Turkey, due 3/31/25 and a Republic of Kenya loan agreement, which is valued by applying 500 basis point yield spread to a comparable bond. Opportunistic Income Fund’s Level 3 holdings also consists of three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations and seven asset-backed securities which were either adjusted for additional cashflow projections discounted for timing and likelihood of receipt or valued in line with general movement of spreads, interest rates or a comparable bond. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 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 November 30, 2021 |
Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2021 |
|||||||||||||||||||||||||||||||
| Emerging Country Debt Fund |
|
|||||||||||||||||||||||||||||||||||||||
| Debt Obligations |
|
|||||||||||||||||||||||||||||||||||||||
| Corporate Debt |
$ | 27,230,315 | $ | — | $ | — | $ | (1,297 | ) | $ | — | $ | (2,692,955 | ) | $ | — | $ | — | $ | 24,536,063 | $ | (2,692,955 | ) | |||||||||||||||||
| Sovereign and Sovereign Agency Issuers |
232,617,919 | 17,665 | (3,206,335 | ) | 31,973,236 | — | (27,906,895 | ) | — | — | 233,495,590 | (27,906,895 | ) | |||||||||||||||||||||||||||
| Loan Assignments |
23,371,890 | 37,367,603 | (4,588,015 | ) | 1,106,797 | (182 | ) | (390,206 | ) | — | — | 56,867,887 | (389,454 | ) | ||||||||||||||||||||||||||
| Loan Participations |
39,866,840 | 2,770,341 | (12,849,990 | ) | 1,324,736 | 374,005 | 6,074,051 | — | — | 37,559,983 | 6,074,051 | |||||||||||||||||||||||||||||
| Rights/Warrants |
34,800 | — | — | — | — | (15,816 | ) | — | — | 18,984 | (15,816 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Investments |
323,121,764 | 40,155,609 | (20,644,340 | ) | 34,403,472 | 373,823 | (24,931,821 | ) | — | — | 352,478,507 | (24,931,069 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Derivatives |
||||||||||||||||||||||||||||||||||||||||
| Options |
390,519 | — | — | — | 479,766 | (790,945 | ) | — | — | 79,340 | 91,919 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 323,512,283 | $ | 40,155,609 | $ | (20,644,340 | )# | $ | 34,403,472 | $ | 853,589 | $ | (25,722,766 | ) | $ | — | $ | — | $ | 352,557,847 | $ | (24,839,150 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Opportunistic Income Fund |
|
|||||||||||||||||||||||||||||||||||||||
| Debt Obligations |
|
|||||||||||||||||||||||||||||||||||||||
| Asset-Backed Securities |
$ | 42,612,548 | $ | — | $ | (3,648,302 | ) | $ | 104,029 | $ | — | $ | 1,030,945 | $ | — | $ | (15,136,386 | )‡ | $ | 24,962,834 | $ | 1,223,053 | ||||||||||||||||||
| U.S. Government Agency |
9,938,002 | — | (1,596,250 | ) | 17,284 | — | 74,530 | — | — | 8,433,566 | 74,530 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 52,550,550 | $ | — | $ | (5,244,552 | )## | $ | 121,313 | $ | — | $ | 1,105,475 | $ | — | $ | (15,136,386 | ) | $ | 33,396,400 | $ | 1,297,583 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| # | Includes $14,871,369 of proceeds received from partial calls and/or principal paydowns as applicable. |
| ## | Includes $3,604,552 of proceeds received from partial calls and/or principal paydowns as applicable. |
| ‡ | Financial assets transferred between levels were due to a change in observable and/or unobservable inputs. |
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended November 30, 2021 for Funds with material Level 3 investments.
Quantitative information about Level 3 Fair Value Measurements*
| Investment Type | Total Fair Value ($) |
Valuation Methodology |
Unobservable Inputs | Range (Weighted Average) | ||||||
| Emerging Country Debt Fund | ||||||||||
| Sovereign and Sovereign Agency Issuers |
50,952,094 | Fair Value | Discount for lack of liquidity/marketability | 0.08%-1.40% (1.26%) | ||||||
| Corporate Debt |
24,536,063 | Fair Value | Discount for lack of liquidity/marketability | 2.00% (N/A) | ||||||
| Loan Assignments and Participations |
38,422,345 | Fair Value | Discount for lack of liquidity/marketability | 5.00%-6.00% (5.44%) | ||||||
|
Warrants |
18,984 | Fair Value | Discount for lack of liquidity/marketability | 50% (N/A) | ||||||
|
Options |
79,340 | Fair Value | Probability of CDS threshold event | <5% (N/A) | ||||||
| Opportunistic Income Fund | ||||||||||
|
Asset-Backed Securities |
4,012,257 | Fair Value | Probability and timing of cash flow receipt | 10-90% (N/A) | ||||||
|
Asset-Backed Securities |
20,866,077 | Fair Value | Broker mark of comparable bond | N/A | ||||||
| Government Agency |
8,433,566 | 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 November 30, 2021, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $238,549,021 and $84,500, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated. |
Investments in affiliated companies and other Funds of the Trust
An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 2021 is set forth below:
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Asset Allocation Bond Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 5,000,835 | $ | 731,442 | $ | 5,720,000 | $ | 622 | $ | 819 | $ | (618 | ) | $ | — | $ | 11,659 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Emerging Country Debt Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 74,784,247 | $ | — | $ | — | $ | 48,651 | $ | 37,095 | $ | — | $ | (148,381 | ) | $ | 74,635,866 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Multi-Sector Fixed Income Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class IV |
$ | 8,584,702 | $ | 2,000,000 | $ | 11,866,039 | $ | 123,288 | $ | 176,281 | $ | (145,567 | ) | $ | 1,426,904 | $ | — | |||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
— | 10,866,039 | — | — | — | — | (1,491,444 | ) | 9,374,595 | |||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
27,641,535 | 4,100,000 | — | 135,621 | — | — | 308,700 | 32,050,235 | ||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
14,825,453 | 18,210,001 | 32,410,000 | 3,337 | 2,046 | 11,020 | — | 636,474 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 51,051,690 | $ | 35,176,040 | $ | 44,276,039 | $ | 262,246 | $ | 178,327 | $ | (134,547 | ) | $ | 244,160 | $ | 42,061,304 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Opportunistic Income Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 11,003,541 | $ | — | $ | — | $ | 7,159 | $ | 5,458 | $ | — | $ | (21,833 | ) | $ | 10,981,708 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through November 30, 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. |
Subsequent events
Subsequent to November 30, 2021, GMO Multi-Sector Fixed Income Fund received redemption requests in the amount of $51,732,722.
* * *
For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 61.3% | ||||||||||
| Australia — 3.9% | ||||||||||
| 34,951 | Afterpay Ltd * (a) | 2,676,570 | ||||||||
| 32,840 | BlueScope Steel Ltd | 456,452 | ||||||||
| 35,432 | Brambles Ltd | 251,024 | ||||||||
| 62,472 | Dexus (REIT) | 493,807 | ||||||||
| 38,279 | Fortescue Metals Group Ltd | 459,683 | ||||||||
| 130,019 | GPT Group (The) (REIT) | 485,132 | ||||||||
| 122,899 | Mirvac Group (REIT) | 248,834 | ||||||||
| 1,778,645 | Oil Search Ltd | 4,783,123 | ||||||||
| 5,114 | Rio Tinto Ltd | 339,328 | ||||||||
| 125,608 | Scentre Group (REIT) | 274,908 | ||||||||
| 59,687 | Stockland (REIT) | 184,271 | ||||||||
| 229,281 | Sydney Airport * | 1,350,394 | ||||||||
|
|
|
|||||||||
| Total Australia | 12,003,526 | |||||||||
|
|
|
|||||||||
| Belgium — 0.3% | ||||||||||
| 9,420 | Ageas SA/NV | 487,155 | ||||||||
| 147 | Sofina SA (a) | 68,313 | ||||||||
| 3,352 | UCB SA | 366,539 | ||||||||
|
|
|
|||||||||
| Total Belgium | 922,007 | |||||||||
|
|
|
|||||||||
| Canada — 1.8% | ||||||||||
| 8,200 | Canadian Apartment Properties (REIT) | 364,987 | ||||||||
| 1,700 | Canadian Tire Corp Ltd – Class A | 224,688 | ||||||||
| 100 | Fairfax Financial Holdings Ltd | 44,381 | ||||||||
| 2,500 | Imperial Oil Ltd | 82,645 | ||||||||
| 2,100 | Linamar Corp | 120,564 | ||||||||
| 6,100 | Magna International Inc | 457,219 | ||||||||
| 700 | Power Corp of Canada | 22,582 | ||||||||
| 146,523 | Shaw Communications Inc – Class B | 4,243,885 | ||||||||
| 1,500 | West Fraser Timber Co Ltd | 123,340 | ||||||||
|
|
|
|||||||||
| Total Canada | 5,684,291 | |||||||||
|
|
|
|||||||||
| China — 1.3% | ||||||||||
| 74,000 | Agile Group Holdings Ltd | 48,671 | ||||||||
| 700 | Autohome Inc ADR | 23,919 | ||||||||
| 671,000 | Bank of Communications Co Ltd – Class H | 390,684 | ||||||||
| 29,500 | Beijing Enterprises Holdings Ltd | 99,532 | ||||||||
| 222,000 | China Communications Services Corp Ltd – Class H | 105,685 | ||||||||
| 4,506,000 | China Huarong Asset Management Co Ltd – Class H * (b) | 439,159 | ||||||||
| 181,500 | China Overseas Land & Investment Ltd | 417,260 | ||||||||
| 610,000 | China Railway Group Ltd – Class H | 290,003 | ||||||||
| 308,000 | China Zhongwang Holdings Ltd * (c) | 66,355 | ||||||||
| 130,000 | CITIC Ltd | 117,101 | ||||||||
| 342,000 | Dongfeng Motor Group Co Ltd – Class H | 317,489 | ||||||||
| 50,500 | Fosun International Ltd | 55,112 | ||||||||
| 221,200 | Guangzhou R&F Properties Co Ltd – Class H | 119,722 | ||||||||
| 8,000 | Haier Smart Home Co Ltd – Class H | 29,853 | ||||||||
| 35,200 | Hello Group Inc Sponsored ADR | 407,264 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 26,500 | Kingboard Holdings Ltd | 133,027 | ||||||||
| 44,000 | Seazen Group Ltd * | 31,555 | ||||||||
| 57,500 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 104,841 | ||||||||
| 143,500 | Shimao Group Holdings Ltd | 165,381 | ||||||||
| 120,800 | Sinopharm Group Co Ltd – Class H | 262,527 | ||||||||
| 282,000 | Skyworth Group Ltd * | 171,157 | ||||||||
| 86,000 | Sunac China Holdings Ltd | 154,227 | ||||||||
| 4,800 | Vipshop Holdings Ltd ADR * | 46,896 | ||||||||
| 461,616 | Yuzhou Group Holdings Co Ltd | 45,627 | ||||||||
|
|
|
|||||||||
| Total China | 4,043,047 | |||||||||
|
|
|
|||||||||
| Denmark — 0.5% | ||||||||||
| 69 | AP Moller – Maersk A/S – Class A | 197,474 | ||||||||
| 136 | AP Moller – Maersk A/S – Class B | 409,465 | ||||||||
| 205 | Carlsberg A/S – Class B | 31,836 | ||||||||
| 31,389 | Danske Bank A/S | 518,968 | ||||||||
| 3,960 | Pandora A/S | 492,713 | ||||||||
|
|
|
|||||||||
| Total Denmark | 1,650,456 | |||||||||
|
|
|
|||||||||
| Finland — 0.1% | ||||||||||
| 85,324 | Nokia Oyj * | 478,211 | ||||||||
|
|
|
|||||||||
| France — 0.4% | ||||||||||
| 6,676 | ArcelorMittal SA | 181,239 | ||||||||
| 5,190 | BNP Paribas SA | 322,557 | ||||||||
| 5,731 | Publicis Groupe SA | 370,846 | ||||||||
| 15,352 | Societe Generale SA | 477,713 | ||||||||
|
|
|
|||||||||
| Total France | 1,352,355 | |||||||||
|
|
|
|||||||||
| Germany — 1.5% | ||||||||||
| 7,724 | Bayer AG (Registered) | 389,579 | ||||||||
| 3,665 | Bayerische Motoren Werke AG | 351,303 | ||||||||
| 5,579 | Daimler AG (Registered) | 522,490 | ||||||||
| 6,793 | Fresenius SE & Co KGaA | 257,109 | ||||||||
| 2,786 | HeidelbergCement AG | 185,357 | ||||||||
| 2,148 | SAP SE (a) | 275,269 | ||||||||
| 16,834 | Siltronic AG (a) | 2,534,727 | ||||||||
|
|
|
|||||||||
| Total Germany | 4,515,834 | |||||||||
|
|
|
|||||||||
| Hong Kong — 0.3% | ||||||||||
| 75,000 | CK Hutchison Holdings Ltd | 469,516 | ||||||||
| 110,000 | First Pacific Co Ltd | 39,502 | ||||||||
| 45,000 | Kerry Properties Ltd | 117,015 | ||||||||
| 338,000 | PCCW Ltd | 170,723 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 796,756 | |||||||||
|
|
|
|||||||||
| India — 0.3% | ||||||||||
| 10,514 | Hindustan Petroleum Corp Ltd | 41,269 | ||||||||
| 24,355 | Indian Oil Corp Ltd | 38,296 | ||||||||
| 89,064 | NTPC Ltd | 150,809 | ||||||||
| 259,110 | Oil & Natural Gas Corp Ltd | 487,116 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| India — continued | ||||||||||
| 76,120 | REC Ltd | 137,355 | ||||||||
| 3,960 | Tata Steel Ltd | 56,132 | ||||||||
|
|
|
|||||||||
| Total India | 910,977 | |||||||||
|
|
|
|||||||||
| Israel — 0.3% | ||||||||||
| 3,300 | Check Point Software Technologies Ltd * | 367,323 | ||||||||
| 51,000 | Teva Pharmaceutical Industries Ltd Sponsored ADR * | 420,750 | ||||||||
|
|
|
|||||||||
| Total Israel | 788,073 | |||||||||
|
|
|
|||||||||
| Italy — 0.5% | ||||||||||
| 5,592 | EXOR NV (a) | 490,256 | ||||||||
| 31,634 | Leonardo SPA * | 213,991 | ||||||||
| 502,587 | Telecom Italia SPA | 261,137 | ||||||||
| 952,408 | Telecom Italia SPA – RSP | 465,136 | ||||||||
|
|
|
|||||||||
| Total Italy | 1,430,520 | |||||||||
|
|
|
|||||||||
| Japan — 2.4% | ||||||||||
| 500 | AGC Inc | 24,348 | ||||||||
| 2,400 | Aisin Corp | 88,070 | ||||||||
| 51,800 | Asahi Kasei Corp | 484,327 | ||||||||
| 9,500 | Astellas Pharma Inc | 148,963 | ||||||||
| 7,400 | Daiwa House Industry Co Ltd | 214,897 | ||||||||
| 8,100 | Electric Power Development Co Ltd | 102,630 | ||||||||
| 18,000 | Honda Motor Co Ltd | 492,926 | ||||||||
| 64,300 | Inpex Corp | 526,141 | ||||||||
| 18,900 | ITOCHU Corp | 540,504 | ||||||||
| 14,900 | KDDI Corp | 432,326 | ||||||||
| 1,400 | Mitsubishi Corp | 41,628 | ||||||||
| 2,100 | Nippon Steel Corp | 30,962 | ||||||||
| 19,600 | Nippon Telegraph & Telephone Corp | 539,311 | ||||||||
| 63,700 | Obayashi Corp | 467,874 | ||||||||
| 24,000 | ORIX Corp (a) | 472,882 | ||||||||
| 25,600 | Sekisui House Ltd | 497,531 | ||||||||
| 40,100 | Shimizu Corp | 252,632 | ||||||||
| 8,300 | Subaru Corp | 156,323 | ||||||||
| 41,700 | Sumitomo Chemical Co Ltd | 191,280 | ||||||||
| 5,000 | Sumitomo Corp | 68,076 | ||||||||
| 28,400 | Sumitomo Dainippon Pharma Co Ltd | 346,124 | ||||||||
| 2,700 | Sumitomo Electric Industries Ltd | 35,341 | ||||||||
| 1,300 | Suzuki Motor Corp | 52,478 | ||||||||
| 9,500 | Taisei Corp | 276,555 | ||||||||
| 15,000 | TIS Inc (a) | 462,371 | ||||||||
| 151,300 | Tokyo Electric Power Co Holdings Inc * | 403,705 | ||||||||
| 14,600 | Tosoh Corp | 208,726 | ||||||||
|
|
|
|||||||||
| Total Japan | 7,558,931 | |||||||||
|
|
|
|||||||||
| Malaysia — 0.0% | ||||||||||
| 87,400 | Top Glove Corp Bhd | 60,797 | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Netherlands — 0.7% | ||||||||||
| 7,200 | AerCap Holdings NV * | 403,488 | ||||||||
| 30,108 | ING Groep NV | 415,895 | ||||||||
| 8,503 | JDE Peet’s NV | 231,746 | ||||||||
| 1 | Just Eat Takeaway.com NV Sponsored ADR * | 12 | ||||||||
| 16,298 | Koninklijke Ahold Delhaize NV | 548,424 | ||||||||
| 2,192 | Koninklijke KPN NV | 6,457 | ||||||||
| 9,407 | NN Group NV | 467,429 | ||||||||
| 1,189 | Randstad NV | 75,027 | ||||||||
| 520 | Wolters Kluwer NV | 58,480 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 2,206,958 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.1% | ||||||||||
| 50,699 | Meridian Energy Ltd | 163,042 | ||||||||
|
|
|
|||||||||
| South Africa — 0.1% | ||||||||||
| 23,923 | Bidvest Group Ltd (The) | 270,618 | ||||||||
|
|
|
|||||||||
| South Korea — 0.1% | ||||||||||
| 2,673 | Kia Corp | 174,946 | ||||||||
|
|
|
|||||||||
| Spain — 0.3% | ||||||||||
| 77,022 | Banco Bilbao Vizcaya Argentaria SA | 408,342 | ||||||||
| 145,629 | Banco Santander SA | 452,797 | ||||||||
|
|
|
|||||||||
| Total Spain | 861,139 | |||||||||
|
|
|
|||||||||
| Sweden — 0.2% | ||||||||||
| 18,507 | Investor AB – B Shares (a) | 430,038 | ||||||||
| 1,489 | Skanska AB – B Shares | 34,261 | ||||||||
| 3,089 | Svenska Cellulosa AB SCA – Class B | 50,244 | ||||||||
|
|
|
|||||||||
| Total Sweden | 514,543 | |||||||||
|
|
|
|||||||||
| Switzerland — 0.1% | ||||||||||
| 7,777 | Adecco Group AG (Registered) | 360,412 | ||||||||
| 428 | Logitech International SA (Registered) | 34,135 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 394,547 | |||||||||
|
|
|
|||||||||
| Taiwan — 0.1% | ||||||||||
| 6,000 | Hon Hai Precision Industry Co Ltd | 22,232 | ||||||||
| 106,000 | Ruentex Development Co Ltd | 243,783 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 266,015 | |||||||||
|
|
|
|||||||||
| United Kingdom — 3.7% | ||||||||||
| 82 | AstraZeneca Plc Sponsored ADR | 4,496 | ||||||||
| 570,162 | Avast Plc (a) | 4,602,283 | ||||||||
| 16,251 | Aviva Plc | 82,940 | ||||||||
| 7,771 | Berkeley Group Holdings Plc * | 442,369 | ||||||||
| 70,015 | BHP Group Plc ADR | 3,849,425 | ||||||||
| 236,593 | BT Group Plc * | 498,050 | ||||||||
| 9,262 | Coca-Cola HBC AG * | 285,227 | ||||||||
| 76,933 | Kingfisher Plc | 323,290 | ||||||||
| 175,691 | M&G Plc (a) | 436,055 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United Kingdom — continued | ||||||||||
| 57,047 | Micro Focus International Plc (a) | 264,264 | ||||||||
| 1,300 | National Grid Plc Sponsored ADR | 85,891 | ||||||||
| 110,424 | Taylor Wimpey Plc | 231,917 | ||||||||
| 30,533 | WPP Plc | 423,801 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 11,530,008 | |||||||||
|
|
|
|||||||||
| United States — 42.3% | ||||||||||
| 98,210 | Aerojet Rocketdyne Holdings, Inc. | 4,128,748 | ||||||||
| 3,000 | Aflac, Inc. | 162,420 | ||||||||
| 5,800 | Alliance Data Systems Corp. (a) | 395,328 | ||||||||
| 9,100 | Ally Financial, Inc. (a) | 417,053 | ||||||||
| 900 | Anthem, Inc. | 365,607 | ||||||||
| 4,600 | Arrow Electronics, Inc. * | 559,590 | ||||||||
| 17,300 | AT&T, Inc. | 394,959 | ||||||||
| 54,683 | Athene Holding Ltd. – Class A * | 4,479,631 | ||||||||
| 5,800 | Bed Bath & Beyond, Inc. * | 106,314 | ||||||||
| 1,500 | Best Buy Co., Inc. | 160,290 | ||||||||
| 300 | Bio-Rad Laboratories, Inc. – Class A * | 225,960 | ||||||||
| 1,700 | Biogen, Inc. * | 400,758 | ||||||||
| 8,100 | BorgWarner, Inc. | 350,568 | ||||||||
| 2,600 | Bristol-Myers Squibb Co. | 139,438 | ||||||||
| 3,700 | Capital One Financial Corp. (a) | 519,961 | ||||||||
| 1,400 | Cardinal Health, Inc. | 64,722 | ||||||||
| 9,900 | Carrier Global Corp. | 535,788 | ||||||||
| 5,300 | CBRE Group, Inc. – Class A * | 506,521 | ||||||||
| 7,000 | Centene Corp. * | 499,870 | ||||||||
| 357,253 | Change Healthcare, Inc. * | 7,245,091 | ||||||||
| 2,500 | Cigna Corp. | 479,750 | ||||||||
| 8,700 | Citigroup, Inc. | 554,190 | ||||||||
| 5,800 | Citizens Financial Group, Inc. | 274,166 | ||||||||
| 6,100 | Cognizant Technology Solutions Corp. – Class A (a) | 475,678 | ||||||||
| 12,677 | Coherent, Inc. * | 3,282,456 | ||||||||
| 9,700 | Comcast Corp. – Class A | 484,806 | ||||||||
| 7,400 | Corteva, Inc. | 333,000 | ||||||||
| 5,700 | CVS Health Corp. | 507,642 | ||||||||
| 31,683 | CyrusOne, Inc. (REIT) | 2,820,421 | ||||||||
| 2,200 | Discover Financial Services (a) | 237,270 | ||||||||
| 12,000 | DISH Network Corp. – Class A * | 375,000 | ||||||||
| 5,600 | DR Horton, Inc. | 547,120 | ||||||||
| 3,800 | eBay, Inc. | 256,348 | ||||||||
| 200 | FedEx Corp. | 46,074 | ||||||||
| 2,700 | Fidelity National Financial, Inc. | 132,057 | ||||||||
| 1,100 | FleetCor Technologies, Inc. * (a) | 227,843 | ||||||||
| 30,100 | Ford Motor Co. | 577,619 | ||||||||
| 2,100 | Fox Corp. – Class A | 74,991 | ||||||||
| 91,682 | Fox Corp. – Class B | 3,080,515 | ||||||||
| 600 | Franklin Resources, Inc. (a) | 19,440 | ||||||||
| 8,900 | General Motors Co. * | 515,043 | ||||||||
| 7,500 | Gilead Sciences, Inc. | 516,975 | ||||||||
| 600 | Goldman Sachs Group, Inc. (The) (a) | 228,594 | ||||||||
| 19,447 | Hill-Rom Holdings, Inc. | 3,024,008 | ||||||||
| 17,500 | HP, Inc. | 617,400 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 3,500 | IAC/InterActiveCorp * | 467,775 | ||||||||
| 75,983 | IHS Markit Ltd. | 9,712,147 | ||||||||
| 4,000 | Incyte Corp. * | 270,880 | ||||||||
| 9,800 | Intel Corp. (a) | 482,160 | ||||||||
| 4,200 | International Business Machines Corp. (a) | 491,820 | ||||||||
| 15,100 | Invesco Ltd. (a) | 337,183 | ||||||||
| 3,000 | Jazz Pharmaceuticals Plc * | 359,610 | ||||||||
| 20,759 | Kansas City Southern | 6,037,755 | ||||||||
| 32,700 | Kinder Morgan, Inc. | 505,542 | ||||||||
| 8,000 | Kohl’s Corp. | 409,840 | ||||||||
| 3,300 | Kraft Heinz Co. (The) | 110,913 | ||||||||
| 11,200 | Kroger Co. (The) | 465,136 | ||||||||
| 840 | Kyndryl Holdings, Inc. * (a) | 13,272 | ||||||||
| 1,900 | Laboratory Corp. of America Holdings * | 542,127 | ||||||||
| 700 | Lear Corp. | 117,453 | ||||||||
| 2,400 | Leidos Holdings, Inc. | 210,984 | ||||||||
| 5,100 | Lennar Corp. – Class A | 535,755 | ||||||||
| 17,839 | Liberty Broadband Corp. – Class C * | 2,762,369 | ||||||||
| 7,100 | Lincoln National Corp. | 470,943 | ||||||||
| 7,200 | LKQ Corp. | 402,480 | ||||||||
| 2,340 | Loyalty Ventures, Inc. * | 67,158 | ||||||||
| 36,200 | Lumen Technologies, Inc. | 446,708 | ||||||||
| 5,800 | LyondellBasell Industries NV – Class A | 505,354 | ||||||||
| 1,600 | Marathon Petroleum Corp. | 97,360 | ||||||||
| 3,800 | Merck & Co., Inc. | 284,658 | ||||||||
| 8,500 | MetLife, Inc. | 498,610 | ||||||||
| 6,700 | Micron Technology, Inc. (a) | 562,800 | ||||||||
| 1,500 | Mohawk Industries, Inc. * | 251,805 | ||||||||
| 10,900 | Molson Coors Brewing Co. – Class B | 484,396 | ||||||||
| 129,670 | Nuance Communications, Inc. * (a) | 7,195,388 | ||||||||
| 10 | NVR, Inc. * | 52,253 | ||||||||
| 500 | Omnicom Group, Inc. | 33,655 | ||||||||
| 5,700 | Oracle Corp. (a) | 517,218 | ||||||||
| 100 | PACCAR, Inc. | 8,342 | ||||||||
| 187,111 | Pershing Square Tontine Holdings Ltd. – Class A * | 3,772,158 | ||||||||
| 87,323 | PNM Resources, Inc. | 4,299,784 | ||||||||
| 60,562 | PPD, Inc. * | 2,852,470 | ||||||||
| 1,400 | Principal Financial Group, Inc. | 96,012 | ||||||||
| 4,800 | Prudential Financial, Inc. | 490,848 | ||||||||
| 9,300 | PulteGroup, Inc. | 465,279 | ||||||||
| 3,500 | Quest Diagnostics, Inc. | 520,380 | ||||||||
| 41,800 | Qurate Retail, Inc. – Series A | 334,400 | ||||||||
| 800 | Regeneron Pharmaceuticals, Inc. * | 509,224 | ||||||||
| 7,820 | Sanderson Farms, Inc. | 1,468,440 | ||||||||
| 500 | Snap-on, Inc. | 102,955 | ||||||||
| 3,900 | SS&C Technologies Holdings, Inc. (a) | 297,687 | ||||||||
| 11,400 | Synchrony Financial (a) | 510,606 | ||||||||
| 26 | Teledyne Technologies, Inc. * | 10,798 | ||||||||
| 5,700 | Textron, Inc. | 403,560 | ||||||||
| 6,700 | Tyson Foods, Inc. – Class A | 529,032 | ||||||||
| 3,800 | Universal Health Services, Inc. – Class B | 451,174 | ||||||||
| 7,800 | Verizon Communications, Inc. | 392,106 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares / Par Value† |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 11,300 | ViacomCBS, Inc. – Class B | 349,735 | ||||||||
| 32,800 | Viatris, Inc. | 403,768 | ||||||||
| 4,500 | VICI Properties, Inc. (REIT) | 122,400 | ||||||||
| 3,000 | VMware, Inc. – Class A (a) | 350,220 | ||||||||
| 7,300 | Walgreens Boots Alliance, Inc. | 327,040 | ||||||||
| 20,100 | Western Union Co. (The) (a) | 317,982 | ||||||||
| 6,700 | Western Digital Corp. * | 387,528 | ||||||||
| 1,900 | Whirlpool Corp. | 413,706 | ||||||||
| 51,734 | Willis Towers Watson Plc | 11,683,607 | ||||||||
| 93,669 | Xilinx, Inc. (a) | 21,398,683 | ||||||||
|
|
|
|||||||||
| Total United States | 130,320,454 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $181,386,304) |
188,898,051 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) — 0.1% | ||||||||||
| Germany — 0.1% | ||||||||||
| 2,544 | Bayerische Motoren Werke AG | 199,480 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $202,665) |
199,480 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.1% | ||||||||||
| United States — 0.1% | ||||||||||
| 195,149 | Bristol-Myers Squibb Co. CVR * (c) | 263,451 | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $284,428) |
263,451 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 1.5% | ||||||||||
| United States — 1.5% | ||||||||||
| 720,005 | Altaba, Inc. (c) | 4,500,031 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $4,525,295) |
4,500,031 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 27.3% | ||||||||||
| United States — 27.3% | ||||||||||
| Asset-Backed Securities — 5.7% | ||||||||||
| 3,581,208 | Apidos CLO XXI, Series 15-21A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 1.05%, due 07/18/27 | 3,583,883 | ||||||||
| 228,266 | Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 0.98%, due 01/27/28 | 228,276 | ||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| 1,394,742 | Oaktree CLO Ltd., Series 15-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 1.00%, due 10/20/27 | 1,394,877 | ||||||||
| 784,243 | Palmer Square Loan Funding Ltd., Series 18-4A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 1.06%, due 11/15/26 | 784,544 | ||||||||
| 2,237,255 | Palmer Square Loan Funding Ltd., Series 19-3A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.01%, due 08/20/27 | 2,237,669 | ||||||||
| 3,026,789 | TICP CLO III-2 Ltd., Series 18-3R, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.84%, 0.97%, due 04/20/28 | 3,027,125 | ||||||||
| 2,482,565 | Venture XX CLO Ltd., Series 15-20A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.82%, 0.94%, due 04/15/27 | 2,482,796 | ||||||||
| 3,962,059 | Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.07%, due 04/15/29 | 3,959,246 | ||||||||
|
|
|
|||||||||
| Total Asset-Backed Securities | 17,698,416 | |||||||||
|
|
|
|||||||||
| U.S. Government — 21.6% | ||||||||||
| 51,473,000 | U.S. Treasury Note, 0.13%, due 06/30/23 (a) | 51,229,710 | ||||||||
| 15,200,000 | U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.10%, due 01/31/23 (a) | 15,203,012 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 66,432,722 | |||||||||
|
|
|
|||||||||
| Total United States | 84,131,138 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $84,088,184) |
84,131,138 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 3.8% | ||||||||||
| United States — 3.8% | ||||||||||
| Affiliated Issuers — 3.8% | ||||||||||
| 343,809 | GMO Emerging Markets Fund, Class VI | 11,713,559 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $11,631,248) |
11,713,559 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.8% | ||||||||||
| Money Market Funds — 0.8% | ||||||||||
| 2,589,411 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e) | 2,589,411 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $2,589,411) |
2,589,411 | |||||||||
|
|
|
|||||||||
PURCHASED OPTIONS — 0.0%
| Description | Counterparty | Exercise Rate |
Expiration Date |
Principal/ Notional Amount |
Floating Rate Index |
Pay/Receive Floating Rate |
Value ($) | |||||||||||||||||||
| Options on Credit Default Swaps – Puts — 0.0% |
|
|||||||||||||||||||||||||
| ITRAXX.EUROPE.S 36.V1-5Y |
JPM | 55.00 | % | 01/19/22 | EUR | 22,225,000 | Fixed Spread | Pay | 84,015 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| TOTAL PURCHASED OPTIONS (COST $81,144) |
84,015 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| TOTAL INVESTMENTS — 94.9% (Cost $284,788,679) |
292,379,136 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SECURITIES SOLD SHORT — (43.6)% | ||||||||||
| Common Stocks — (43.4)% | ||||||||||
| Australia — (3.4)% | ||||||||||
| (68,455 | ) | APA Group | (462,872 | ) | ||||||
| (3,922 | ) | ASX Ltd | (250,665 | ) | ||||||
| (70,015 | ) | BHP Group Ltd Sponsored ADR | (3,934,143 | ) | ||||||
| (1,322 | ) | Cochlear Ltd | (203,282 | ) | ||||||
| (50,975 | ) | Qantas Airways Ltd * | (182,220 | ) | ||||||
| (1,116,408 | ) | Santos Ltd | (5,034,144 | ) | ||||||
| (87,627 | ) | Sydney Airport * | (516,096 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (10,583,422 | ) | ||||||||
|
|
|
|||||||||
| Austria — (0.3)% | ||||||||||
| (5,064 | ) | Verbund AG | (529,565 | ) | ||||||
|
|
|
|||||||||
| Belgium — (0.1)% | ||||||||||
| (2,415 | ) | Anheuser-Busch InBev SA/NV | (134,762 | ) | ||||||
| (1,250 | ) | Galapagos NV * | (60,502 | ) | ||||||
|
|
|
|||||||||
| Total Belgium | (195,264 | ) | ||||||||
|
|
|
|||||||||
| Canada — (1.5)% | ||||||||||
| (17,200 | ) | AltaGas Ltd | (327,183 | ) | ||||||
| (1,500 | ) | Brookfield Renewable Corp – Class A | (55,545 | ) | ||||||
| (59,870 | ) | Canadian Pacific Railway Ltd | (4,192,696 | ) | ||||||
| (200 | ) | Franco-Nevada Corp | (27,498 | ) | ||||||
| (3,300 | ) | Pembina Pipeline Corp | (97,845 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (4,700,767 | ) | ||||||||
|
|
|
|||||||||
| Denmark — (0.1)% | ||||||||||
| (12,266 | ) | Ambu A/S – Class B* | (347,898 | ) | ||||||
|
|
|
|||||||||
| France — (0.8)% | ||||||||||
| (11,243 | ) | Accor SA * | (333,293 | ) | ||||||
| (2,689 | ) | Aeroports de Paris * | (314,366 | ) | ||||||
| (34,688 | ) | Getlink SE | (512,517 | ) | ||||||
| (337 | ) | Hermes International | (632,416 | ) | ||||||
| (283 | ) | Sartorius Stedim Biotech | (167,076 | ) | ||||||
| (4,783 | ) | Ubisoft Entertainment SA * | (245,159 | ) | ||||||
| (1,621 | ) | Wendel SE | (185,348 | ) | ||||||
|
|
|
|||||||||
| Total France | (2,390,175 | ) | ||||||||
|
|
|
|||||||||
| Germany — (0.8)% | ||||||||||
| (3,658 | ) | Delivery Hero SE * | (485,457 | ) | ||||||
| (4,281 | ) | Puma SE | (517,236 | ) | ||||||
| (3,418 | ) | QIAGEN NV * | (188,853 | ) | ||||||
| (1,918 | ) | Scout24 AG | (127,292 | ) | ||||||
| (188,893 | ) | Telefonica Deutschland Holding AG | (503,802 | ) | ||||||
| (6,543 | ) | Uniper SE | (284,070 | ) | ||||||
| (4,995 | ) | Zalando SE * | (454,263 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (2,560,973 | ) | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Israel — (0.2)% | ||||||||||
| (1,600 | ) | CyberArk Software Ltd * | (276,560 | ) | ||||||
| (2,100 | ) | Wix.com Ltd * | (320,880 | ) | ||||||
|
|
|
|||||||||
| Total Israel | (597,440 | ) | ||||||||
|
|
|
|||||||||
| Italy — (0.5)% | ||||||||||
| (4,366 | ) | Amplifon SPA | (212,645 | ) | ||||||
| (15,985 | ) | Atlantia SPA * | (291,913 | ) | ||||||
| (2,137 | ) | Ferrari NV | (559,199 | ) | ||||||
| (27,501 | ) | FinecoBank Banca Fineco SPA | (481,652 | ) | ||||||
| (12,100 | ) | Infrastrutture Wireless Italiane SPA | (138,769 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (1,684,178 | ) | ||||||||
|
|
|
|||||||||
| Japan — (2.6)% | ||||||||||
| (27,200 | ) | Acom Co Ltd | (80,660 | ) | ||||||
| (1,600 | ) | Aeon Co Ltd | (37,317 | ) | ||||||
| (15,000 | ) | ANA Holdings Inc * | (295,171 | ) | ||||||
| (15,400 | ) | Asahi Intecc Co Ltd | (337,553 | ) | ||||||
| (500 | ) | East Japan Railway Co | (30,655 | ) | ||||||
| (4,200 | ) | GMO Payment Gateway Inc | (559,649 | ) | ||||||
| (2,300 | ) | Harmonic Drive Systems Inc | (94,494 | ) | ||||||
| (16,700 | ) | Hitachi Metals Ltd * | (310,055 | ) | ||||||
| (500 | ) | Ibiden Co Ltd | (30,916 | ) | ||||||
| (26,800 | ) | Isetan Mitsukoshi Holdings Ltd | (183,217 | ) | ||||||
| (600 | ) | Ito En Ltd | (35,305 | ) | ||||||
| (8,200 | ) | Japan Airlines Co Ltd * | (147,814 | ) | ||||||
| (6,300 | ) | Japan Airport Terminal Co Ltd * | (277,218 | ) | ||||||
| (9,600 | ) | Japan Exchange Group Inc | (207,851 | ) | ||||||
| (54 | ) | Japan Real Estate Investment Corp (REIT) | (312,515 | ) | ||||||
| (16,500 | ) | JGC Holding Corp | (138,655 | ) | ||||||
| (18,600 | ) | Keikyu Corp | (183,685 | ) | ||||||
| (3,300 | ) | Keio Corp | (148,379 | ) | ||||||
| (4,700 | ) | Kintetsu Group Holdings Co Ltd * | (134,994 | ) | ||||||
| (2,300 | ) | Lasertec Corp | (597,276 | ) | ||||||
| (1,300 | ) | Lion Corp | (18,465 | ) | ||||||
| (11,100 | ) | LIXIL Corp | (271,551 | ) | ||||||
| (6,700 | ) | M3 Inc | (360,181 | ) | ||||||
| (7,400 | ) | Mercari Inc * | (446,367 | ) | ||||||
| (1,700 | ) | Mizuho Financial Group Inc | (20,959 | ) | ||||||
| (21,400 | ) | MonotaRO Co Ltd | (421,302 | ) | ||||||
| (700 | ) | Nidec Corp | (80,155 | ) | ||||||
| (17,700 | ) | Nihon M&A Center Holdings Inc | (519,313 | ) | ||||||
| (24,500 | ) | Nippon Paint Holdings Co Ltd | (257,081 | ) | ||||||
| (4,600 | ) | Nissin Foods Holdings Co Ltd | (338,116 | ) | ||||||
| (12,800 | ) | Odakyu Electric Railway Co Ltd | (246,536 | ) | ||||||
| (2,900 | ) | ORIENTAL LAND CO LTD | (455,691 | ) | ||||||
| (2,400 | ) | Shiseido Co Ltd | (137,567 | ) | ||||||
| (3,900 | ) | Tobu Railway Co Ltd | (88,140 | ) | ||||||
| (5,600 | ) | Tokyu Corp | (77,402 | ) | ||||||
| (3,100 | ) | West Japan Railway Co | (133,587 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (8,015,792 | ) | ||||||||
|
|
|
|||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Netherlands — (0.3)% | ||||||||||
| (183 | ) | Adyen NV * | (506,880 | ) | ||||||
| (785 | ) | Heineken Holding NV | (65,377 | ) | ||||||
| (5,404 | ) | Just Eat Takeaway.com NV * | (338,400 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (910,657 | ) | ||||||||
|
|
|
|||||||||
| New Zealand — (0.1)% | ||||||||||
| (3,801 | ) | Xero Ltd * | (386,058 | ) | ||||||
|
|
|
|||||||||
| Norway — (0.0)% | ||||||||||
| (1,246 | ) | Schibsted ASA – B Shares | (47,865 | ) | ||||||
| (1,830 | ) | Schibsted ASA – Class A | (81,540 | ) | ||||||
|
|
|
|||||||||
| Total Norway | (129,405 | ) | ||||||||
|
|
|
|||||||||
| Singapore — (0.2)% | ||||||||||
| (12,500 | ) | City Developments Ltd | (64,163 | ) | ||||||
| (84,400 | ) | Singapore Airlines Ltd * | (300,550 | ) | ||||||
| (62,000 | ) | Singapore Exchange Ltd | (404,787 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (769,500 | ) | ||||||||
|
|
|
|||||||||
| Spain — (0.5)% | ||||||||||
| (177 | ) | Aena SME SA * | (25,995 | ) | ||||||
| (8,628 | ) | Cellnex Telecom SA | (508,844 | ) | ||||||
| (17,643 | ) | Ferrovial SA | (491,259 | ) | ||||||
| (15,323 | ) | Siemens Gamesa Renewable Energy SA * | (409,052 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (1,435,150 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (0.3)% | ||||||||||
| (38,574 | ) | Embracer Group AB * | (416,840 | ) | ||||||
| (639 | ) | EQT AB | (37,570 | ) | ||||||
| (3,348 | ) | Evolution AB | (351,532 | ) | ||||||
| (5,706 | ) | Sinch AB * | (75,875 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (881,817 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.4)% | ||||||||||
| (8 | ) | Chocoladefabriken Lindt & Spruengli AG | (98,461 | ) | ||||||
| (310 | ) | Partners Group Holding AG | (535,013 | ) | ||||||
| (247 | ) | Straumann Holding AG (Registered) | (525,109 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (1,158,583 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (1.3)% | ||||||||||
| (6,151 | ) | Admiral Group Plc | (241,821 | ) | ||||||
| (11,811 | ) | Antofagasta Plc | (215,938 | ) | ||||||
| (56,978 | ) | Auto Trader Group Plc | (553,463 | ) | ||||||
| (87,143 | ) | ConvaTec Group Plc | (222,961 | ) | ||||||
| (4,686 | ) | Halma Plc | (186,787 | ) | ||||||
| (25,122 | ) | Hargreaves Lansdown Plc | (445,896 | ) | ||||||
| (69,320 | ) | Informa Plc * | (429,277 | ) | ||||||
| (26,973 | ) | Land Securities Group Plc (REIT) | (260,004 | ) | ||||||
| (4,804 | ) | London Stock Exchange Group Plc | (416,174 | ) | ||||||
| (15,014 | ) | Melrose Industries Plc | (28,845 | ) | ||||||
| (16,297 | ) | Ocado Group Plc * | (389,049 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United Kingdom — continued | ||||||||||
| (281,555 | ) | Rolls-Royce Holdings Plc * | (459,313 | ) | ||||||
| (972 | ) | Spirax-Sarco Engineering Plc | (201,679 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (4,051,207 | ) | ||||||||
|
|
|
|||||||||
| United States — (30.0)% | ||||||||||
| (161,411 | ) | Advanced Micro Devices, Inc. * | (25,562,660 | ) | ||||||
| (15,300 | ) | AES Corp. (The) | (357,714 | ) | ||||||
| (2,500 | ) | Airbnb, Inc. – Class A * | (431,350 | ) | ||||||
| (1,900 | ) | American Tower Corp. (REIT) | (498,712 | ) | ||||||
| (1 | ) | Analog Devices, Inc. | (180 | ) | ||||||
| (42,424 | ) | Aon Plc – Class A | (12,547,746 | ) | ||||||
| (55,711 | ) | Apollo Global Management, Inc. | (3,943,225 | ) | ||||||
| (7,900 | ) | Aramark | (263,860 | ) | ||||||
| (2,900 | ) | Arthur J Gallagher & Co. | (472,410 | ) | ||||||
| (1,700 | ) | Autodesk, Inc. * | (432,123 | ) | ||||||
| (3,000 | ) | Avalara, Inc. * | (419,040 | ) | ||||||
| (100 | ) | Bio-Techne Corp. | (47,203 | ) | ||||||
| (3,000 | ) | BioMarin Pharmaceutical, Inc. * | (258,870 | ) | ||||||
| (2,100 | ) | Boeing Co. (The) * | (415,485 | ) | ||||||
| (1 | ) | Bristol-Myers Squibb Co. | (54 | ) | ||||||
| (1,700 | ) | Burlington Stores, Inc. * | (498,321 | ) | ||||||
| (4,200 | ) | Caesars Entertainment, Inc. * | (378,294 | ) | ||||||
| (1,600 | ) | Carvana Co. * | (448,672 | ) | ||||||
| (2,700 | ) | Catalent, Inc. * | (347,382 | ) | ||||||
| (3,900 | ) | Ceridian HCM Holding, Inc. * | (426,660 | ) | ||||||
| (4,073 | ) | Charter Communications, Inc. – Class A * | (2,632,298 | ) | ||||||
| (300 | ) | Chipotle Mexican Grill, Inc. * | (493,023 | ) | ||||||
| (12,200 | ) | Clarivate Plc * | (284,748 | ) | ||||||
| (2,900 | ) | Cloudflare, Inc. – Class A * | (545,896 | ) | ||||||
| (1,900 | ) | CME Group, Inc. | (418,988 | ) | ||||||
| (1,500 | ) | Cognex Corp. | (115,875 | ) | ||||||
| (2,100 | ) | Coupa Software, Inc. * | (412,986 | ) | ||||||
| (2,900 | ) | Crown Castle International Corp. (REIT) | (526,785 | ) | ||||||
| (9,600 | ) | Delta Air Lines, Inc. * | (347,520 | ) | ||||||
| (900 | ) | Dexcom, Inc. * | (506,331 | ) | ||||||
| (1,900 | ) | DocuSign, Inc. * | (468,084 | ) | ||||||
| (100 | ) | DoorDash, Inc. – Class A * | (17,877 | ) | ||||||
| (9,100 | ) | DraftKings Inc. – Class A * | (314,405 | ) | ||||||
| (700 | ) | Equinix, Inc. (REIT) | (568,540 | ) | ||||||
| (6,400 | ) | Equity LifeStyle Properties, Inc. (REIT) | (520,320 | ) | ||||||
| (300 | ) | Erie Indemnity Co. – Class A | (55,743 | ) | ||||||
| (4,700 | ) | Exact Sciences Corp. * | (401,239 | ) | ||||||
| (1,900 | ) | Expedia Group, Inc. * | (306,071 | ) | ||||||
| (300 | ) | First Republic Bank | (62,898 | ) | ||||||
| (71,243 | ) | Fox Corp. – Class A | (2,544,087 | ) | ||||||
| (4,300 | ) | Guidewire Software, Inc. * | (500,262 | ) | ||||||
| (1,700 | ) | Hess Corp. | (126,684 | ) | ||||||
| (12,300 | ) | Host Hotels & Resorts, Inc. (REIT) * | (193,110 | ) | ||||||
| (700 | ) | HubSpot, Inc. * | (564,837 | ) | ||||||
| (800 | ) | IDEXX Laboratories, Inc. * | (486,456 | ) | ||||||
| (11,467 | ) | II-VI, Inc. * | (717,031 | ) | ||||||
| (3,100 | ) | Ingersoll Rand, Inc. | (180,854 | ) | ||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (1,700 | ) | Insulet Corp. * | (490,348 | ) | ||||||
| (1,300 | ) | Ionis Pharmaceuticals, Inc. * | (34,450 | ) | ||||||
| (2,200 | ) | IQVIA Holdings, Inc. * | (570,086 | ) | ||||||
| (7,500 | ) | Iron Mountain, Inc. (REIT) | (340,800 | ) | ||||||
| (7,400 | ) | Lamb Weston Holdings, Inc. | (384,208 | ) | ||||||
| (1,400 | ) | Liberty Broadband Corp. – Class A * | (212,212 | ) | ||||||
| (1,700 | ) | Liberty Broadband Corp. – Class C * | (263,245 | ) | ||||||
| (9,700 | ) | Liberty Media Corp-Liberty Formula One – Class C * | (590,924 | ) | ||||||
| (1,500 | ) | Liberty Media Corp-Liberty SiriusXM – Class A * | (73,200 | ) | ||||||
| (1,100 | ) | Liberty Media Corp-Liberty SiriusXM – Class C * | (53,823 | ) | ||||||
| (600 | ) | Linde Plc | (190,884 | ) | ||||||
| (5,100 | ) | Live Nation Entertainment, Inc. * | (543,915 | ) | ||||||
| (1,100 | ) | MarketAxess Holdings, Inc. | (387,959 | ) | ||||||
| (600 | ) | Marriott International, Inc. – Class A * | (88,536 | ) | ||||||
| (8,200 | ) | MGM Resorts International | (324,556 | ) | ||||||
| (1,000 | ) | MongoDB, Inc. * | (498,100 | ) | ||||||
| (600 | ) | Monolithic Power Systems, Inc. | (332,076 | ) | ||||||
| (900 | ) | MSCI, Inc. | (566,505 | ) | ||||||
| (17,222 | ) | NortonLifeLock, Inc. | (427,967 | ) | ||||||
| (3,400 | ) | Novocure Ltd. * | (318,376 | ) | ||||||
| (8,100 | ) | Oak Street Health, Inc. * | (250,695 | ) | ||||||
| (2,200 | ) | Okta, Inc. * | (473,506 | ) | ||||||
| (10,900 | ) | Palantir Technologies, Inc. – Class A * | (225,085 | ) | ||||||
| (200 | ) | Paycom Software, Inc. * | (87,496 | ) | ||||||
| (4,600 | ) | Peloton Interactive, Inc. – Class A * | (202,400 | ) | ||||||
| (200 | ) | Public Storage (REIT) | (65,476 | ) | ||||||
| (1 | ) | Realty Income Corp. (REIT) | (68 | ) | ||||||
| (1,700 | ) | RingCentral, Inc. – Class A * | (367,166 | ) | ||||||
| (1,500 | ) | Roku, Inc. * | (341,415 | ) | ||||||
| (5,700 | ) | Rollins, Inc. | (189,696 | ) | ||||||
| (5,400 | ) | Royal Caribbean Cruises Ltd. * | (377,028 | ) | ||||||
| (21,555 | ) | S&P Global, Inc. | (9,823,260 | ) | ||||||
| (7 | ) | salesforce.com, Inc. * | (1,995 | ) | ||||||
| (5,700 | ) | Sarepta Therapeutics, Inc. * | (460,617 | ) | ||||||
| (1,600 | ) | Seagen, Inc. * | (256,000 | ) | ||||||
| (800 | ) | ServiceNow, Inc. * | (518,160 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (3,300 | ) | Simon Property Group, Inc. (REIT) | (504,372 | ) | ||||||
| (8,100 | ) | Snap, Inc. – Class A * | (385,641 | ) | ||||||
| (1,500 | ) | Snowflake, Inc. – Class A * | (510,225 | ) | ||||||
| (15,308 | ) | Square, Inc. – Class A * | (3,189,116 | ) | ||||||
| (3,000 | ) | Teladoc Health, Inc. * | (303,750 | ) | ||||||
| (600 | ) | Tesla, Inc. * | (686,856 | ) | ||||||
| (1,600 | ) | Twilio, Inc. – Class A * | (457,840 | ) | ||||||
| (3,700 | ) | Twitter, Inc. * | (162,578 | ) | ||||||
| (8,200 | ) | Uber Technologies, Inc. * | (311,600 | ) | ||||||
| (9,800 | ) | UDR, Inc. (REIT) | (555,954 | ) | ||||||
| (1,500 | ) | Vail Resorts, Inc. | (497,565 | ) | ||||||
| (12,300 | ) | Vistra Corp. | (244,524 | ) | ||||||
| (900 | ) | Wayfair, Inc. – Class A * | (223,056 | ) | ||||||
| (19,400 | ) | Williams Cos, Inc. (The) | (519,726 | ) | ||||||
| (3,900 | ) | Zendesk, Inc. * | (398,229 | ) | ||||||
| (4,000 | ) | Zillow Group, Inc. – Class A * | (216,440 | ) | ||||||
| (3,488 | ) | Zillow Group, Inc. – Class C * | (189,294 | ) | ||||||
| (1,600 | ) | Zscaler, Inc. * | (555,154 | ) | ||||||
|
|
|
|||||||||
| Total United States | (92,307,062 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $119,655,875) |
(133,634,913 | ) | ||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) — (0.2)% | ||||||||||
| Germany — (0.2)% | ||||||||||
| (744 | ) | Sartorius AG | (511,821 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $364,907) |
(511,821 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $120,020,782) |
(134,146,734 | ) | ||||||||
| Other Assets and Liabilities (net) — 48.7% | 149,721,814 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $307,954,216 | |||||||||
|
|
|
|||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Forward Currency Contracts
| Settlement |
Counter- |
Currency |
Currency |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||
| 01/18/2022 | JPM |
AUD | 12,999,667 | USD | 9,633,741 | 361,658 | ||||||||||||
| 01/18/2022 | MSCI |
AUD | 7,584,264 | USD | 5,592,492 | 182,975 | ||||||||||||
| 01/21/2022 | MSCI |
AUD | 2,006,209 | USD | 1,456,601 | 25,644 | ||||||||||||
| 02/09/2022 | BCLY |
AUD | 1,237,500 | USD | 917,738 | 35,020 | ||||||||||||
| 02/09/2022 | JPM |
AUD | 1,512,500 | USD | 1,121,680 | 42,802 | ||||||||||||
| 02/09/2022 | MSCI |
AUD | 20,479,000 | USD | 15,130,704 | 522,878 | ||||||||||||
| 12/02/2021 | CITI |
BRL | 1,874,859 | USD | 340,000 | 6,505 | ||||||||||||
| 12/02/2021 | GS |
BRL | 13,075,202 | USD | 2,360,000 | 34,217 | ||||||||||||
| 12/01/2021 | DB |
CAD | 5,617,569 | USD | 4,552,664 | 155,178 | ||||||||||||
| 01/12/2022 | SSB |
CAD | 7,562,929 | USD | 6,094,135 | 170,944 | ||||||||||||
| 01/31/2022 | MSCI |
CAD | 1,306,642 | USD | 1,025,549 | 2,211 | ||||||||||||
| 02/01/2022 | UBSA |
CAD | 5,000,000 | USD | 4,052,192 | 136,284 | ||||||||||||
| 02/02/2022 | JPM |
CAD | 5,354,935 | USD | 4,230,000 | 36,123 | ||||||||||||
| 02/02/2022 | GS |
CHF | 2,110,523 | USD | 2,320,983 | 16,616 | ||||||||||||
| 02/14/2022 | MSCI |
CHF | 35,262,296 | USD | 38,133,150 | (379,744 | ) | |||||||||||
| 02/17/2022 | JPM |
COP | 1,253,600,000 | USD | 320,000 | 8,638 | ||||||||||||
| 01/18/2022 | CITI |
CZK | 10,559,587 | USD | 480,000 | 11,074 | ||||||||||||
| 01/18/2022 | DB |
CZK | 9,951,921 | USD | 450,000 | 8,059 | ||||||||||||
| 01/18/2022 | GS |
CZK | 9,120,802 | USD | 400,000 | (5,033 | ) | |||||||||||
| 01/18/2022 | JPM |
CZK | 38,254,196 | USD | 1,733,008 | 34,230 | ||||||||||||
| 12/03/2021 | MSCI |
EUR | 652,743 | USD | 735,201 | (5,089 | ) | |||||||||||
| 12/03/2021 | UBSA |
EUR | 255,620 | USD | 287,982 | (1,922 | ) | |||||||||||
| 01/21/2022 | BCLY |
EUR | 72,000 | USD | 81,264 | (542 | ) | |||||||||||
| 01/21/2022 | BOA |
EUR | 17,066 | USD | 19,703 | 313 | ||||||||||||
| 01/21/2022 | MSCI |
EUR | 5,266,536 | USD | 6,143,482 | 159,677 | ||||||||||||
| 01/21/2022 | SSB |
EUR | 111,878 | USD | 130,239 | 3,124 | ||||||||||||
| 01/31/2022 | DB |
EUR | 5,290,000 | USD | 6,100,619 | 88,837 | ||||||||||||
| 01/21/2022 | UBSA |
GBP | 168,830 | USD | 232,677 | 7,949 | ||||||||||||
| 02/14/2022 | JPM |
GBP | 2,850,000 | USD | 3,915,364 | 121,949 | ||||||||||||
| 02/14/2022 | MSCI |
GBP | 4,770,000 | USD | 6,389,558 | 40,579 | ||||||||||||
| 02/14/2022 | SSB |
GBP | 1,600,000 | USD | 2,202,927 | 73,291 | ||||||||||||
| 01/14/2022 | BOA |
HUF | 153,022,848 | USD | 480,000 | 4,395 | ||||||||||||
| 01/14/2022 | CITI |
HUF | 258,127,072 | USD | 810,000 | 7,725 | ||||||||||||
| 01/14/2022 | GS |
HUF | 229,430,141 | USD | 730,000 | 16,917 | ||||||||||||
| 01/14/2022 | MSCI |
HUF | 299,280,631 | USD | 954,887 | 24,704 | ||||||||||||
| 02/04/2022 | GS |
IDR | 3,905,820,000 | USD | 270,000 | (825 | ) | |||||||||||
| 01/31/2022 | BOA |
ILS | 346,723 | USD | 110,000 | (257 | ) | |||||||||||
| 01/10/2022 | MSCI |
INR | 149,222,936 | USD | 2,005,146 | 24,769 | ||||||||||||
| 12/07/2021 | BCLY |
JPY | 189,612,467 | USD | 1,673,220 | (4,282 | ) | |||||||||||
| 12/07/2021 | GS |
JPY | 38,836,288 | USD | 342,979 | (605 | ) | |||||||||||
| 12/07/2021 | JPM |
JPY | 355,354,255 | USD | 3,115,891 | (27,928 | ) | |||||||||||
| 12/07/2021 | MSCI |
JPY | 521,061,261 | USD | 4,592,583 | (17,245 | ) | |||||||||||
| 12/07/2021 | UBSA |
JPY | 134,326,719 | USD | 1,169,311 | (19,077 | ) | |||||||||||
| 02/10/2022 | BCLY |
KRW | 651,865,500 | USD | 550,000 | (418 | ) | |||||||||||
| 02/10/2022 | JPM |
KRW | 544,548,000 | USD | 460,000 | 198 | ||||||||||||
| 02/10/2022 | MSCI |
KRW | 2,414,576,177 | USD | 2,040,631 | 1,825 | ||||||||||||
| 01/21/2022 | BCLY |
MXN | 7,133,304 | USD | 340,000 | 10,558 | ||||||||||||
| 01/21/2022 | BOA |
MXN | 9,183,897 | USD | 440,000 | 15,854 | ||||||||||||
| 01/21/2022 | GS |
MXN | 28,234,381 | USD | 1,330,000 | 26,032 | ||||||||||||
| 01/21/2022 | MSCI |
MXN | 4,659,990 | USD | 225,559 | 10,343 | ||||||||||||
| 02/15/2022 | JPM |
NOK | 16,680,754 | USD | 1,830,000 | (12,810 | ) | |||||||||||
| 01/18/2022 | BCLY |
NZD | 297,375 | USD | 207,670 | 4,807 | ||||||||||||
| 01/18/2022 | MSCI |
NZD | 2,826,634 | USD | 1,968,558 | 40,289 | ||||||||||||
| 02/01/2022 | MSCI |
NZD | 45,140,000 | USD | 31,215,213 | 427,669 | ||||||||||||
| 02/09/2022 | JPM |
PHP | 26,971,948 | USD | 537,228 | 4,020 | ||||||||||||
| 01/18/2022 | MSCI |
PLN | 8,037,943 | USD | 1,958,754 | 7,915 | ||||||||||||
| 01/31/2022 | JPM |
RON | 14,060,032 | USD | 3,276,251 | 69,494 | ||||||||||||
| 02/07/2022 | JPM |
SEK | 28,745,154 | USD | 3,270,000 | 75,510 | ||||||||||||
| 01/18/2022 | BOA |
SGD | 742,153 | USD | 550,000 | 6,228 | ||||||||||||
| 01/18/2022 | CITI |
SGD | 437,983 | USD | 320,000 | (908 | ) | |||||||||||
| Settlement |
Counter- |
Currency |
Currency |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||
| 01/18/2022 | GS |
SGD | 525,693 | USD | 390,000 | 4,827 | ||||||||||||
| 02/18/2022 | JPM |
THB | 113,884,911 | USD | 3,429,339 | 48,997 | ||||||||||||
| 01/25/2022 | BCLY |
TRY | 6,564,349 | USD | 639,488 | 171,773 | ||||||||||||
| 02/18/2022 | CITI |
TWD | 9,124,104 | USD | 330,000 | (1,885 | ) | |||||||||||
| 02/18/2022 | GS |
TWD | 3,856,580 | USD | 140,000 | (281 | ) | |||||||||||
| 02/22/2022 | JPM |
TWD | 9,252,540 | USD | 334,970 | (1,712 | ) | |||||||||||
| 01/18/2022 | BCLY |
USD | 874,800 | AUD | 1,223,592 | (2,066 | ) | |||||||||||
| 01/18/2022 | BOA |
USD | 1,037,922 | AUD | 1,413,454 | (29,768 | ) | |||||||||||
| 01/18/2022 | MSCI |
USD | 3,692,130 | AUD | 5,002,821 | (123,842 | ) | |||||||||||
| 01/18/2022 | UBSA |
USD | 2,249,547 | AUD | 3,047,195 | (76,119 | ) | |||||||||||
| 02/09/2022 | JPM |
USD | 2,665,106 | AUD | 3,640,000 | (68,666 | ) | |||||||||||
| 12/02/2021 | MSCI |
USD | 2,702,792 | BRL | 14,415,884 | (138,533 | ) | |||||||||||
| 12/01/2021 | BCLY |
USD | 789,907 | CAD | 981,633 | (21,476 | ) | |||||||||||
| 12/01/2021 | JPM |
USD | 1,885,471 | CAD | 2,363,948 | (34,950 | ) | |||||||||||
| 12/01/2021 | MSCI |
USD | 1,025,169 | CAD | 1,306,642 | (2,318 | ) | |||||||||||
| 12/01/2021 | UBSA |
USD | 768,890 | CAD | 965,346 | (13,208 | ) | |||||||||||
| 01/12/2022 | MSCI |
USD | 1,294,188 | CAD | 1,628,748 | (18,573 | ) | |||||||||||
| 01/31/2022 | JPM |
USD | 787,877 | CAD | 1,003,193 | (2,195 | ) | |||||||||||
| 02/02/2022 | JPM |
USD | 27,144,082 | CAD | 33,612,506 | (819,443 | ) | |||||||||||
| 02/14/2022 | BCLY |
USD | 5,100,000 | CHF | 4,637,875 | (34,590 | ) | |||||||||||
| 02/14/2022 | JPM |
USD | 4,320,000 | CHF | 3,985,896 | 33,329 | ||||||||||||
| 02/16/2022 | MSCI |
USD | 2,511,519 | CLP | 2,023,405,000 | (86,340 | ) | |||||||||||
| 02/17/2022 | MSCI |
USD | 90,000 | COP | 363,780,000 | 354 | ||||||||||||
| 01/18/2022 | MSCI |
USD | 330,000 | CZK | 7,312,856 | (5,253 | ) | |||||||||||
| 12/03/2021 | DB |
USD | 3,544,974 | EUR | 3,000,000 | (142,610 | ) | |||||||||||
| 12/03/2021 | JPM |
USD | 1,103,953 | EUR | 951,227 | (25,146 | ) | |||||||||||
| 12/03/2021 | UBSA |
USD | 549,570 | EUR | 475,358 | (10,456 | ) | |||||||||||
| 01/18/2022 | BCLY |
USD | 4,596,215 | EUR | 4,048,262 | 3,092 | ||||||||||||
| 01/18/2022 | DB |
USD | 669,489 | EUR | 575,703 | (15,423 | ) | |||||||||||
| 01/21/2022 | BOA |
USD | 497,921 | EUR | 431,280 | (7,904 | ) | |||||||||||
| 01/21/2022 | MSCI |
USD | 733,571 | EUR | 630,732 | (16,937 | ) | |||||||||||
| 01/21/2022 | UBSA |
USD | 8,517,410 | EUR | 7,295,976 | (227,768 | ) | |||||||||||
| 01/31/2022 | BCLY |
USD | 699,298 | EUR | 600,000 | (17,432 | ) | |||||||||||
| 02/02/2022 | UBSA |
USD | 2,485,590 | EUR | 2,126,624 | (68,697 | ) | |||||||||||
| 02/14/2022 | JPM |
USD | 2,222,922 | GBP | 1,620,000 | (66,665 | ) | |||||||||||
| 02/14/2022 | MSCI |
USD | 16,306,152 | GBP | 11,966,000 | (379,133 | ) | |||||||||||
| 01/14/2022 | GS |
USD | 260,000 | HUF | 80,748,047 | (9,030 | ) | |||||||||||
| 02/04/2022 | MSCI |
USD | 2,680,255 | IDR | 38,649,272,000 | (361 | ) | |||||||||||
| 01/31/2022 | DB |
USD | 680,000 | ILS | 2,116,340 | (7,012 | ) | |||||||||||
| 01/31/2022 | JPM |
USD | 762,604 | ILS | 2,428,665 | 9,703 | ||||||||||||
| 01/10/2022 | GS |
USD | 230,000 | INR | 17,358,560 | 370 | ||||||||||||
| 12/07/2021 | BCLY |
USD | 2,525,262 | JPY | 286,687,441 | 11,062 | ||||||||||||
| 12/07/2021 | JPM |
USD | 6,039,413 | JPY | 688,337,817 | 50,311 | ||||||||||||
| 12/07/2021 | MSCI |
USD | 2,262,218 | JPY | 254,211,333 | (13,210 | ) | |||||||||||
| 12/07/2021 | UBSA |
USD | 9,042,237 | JPY | 1,014,170,398 | (69,872 | ) | |||||||||||
| 02/07/2022 | JPM |
USD | 1,993,495 | JPY | 227,203,571 | 18,640 | ||||||||||||
| 02/09/2022 | JPM |
USD | 11,384,175 | JPY | 1,294,912,373 | 83,888 | ||||||||||||
| 02/10/2022 | CITI |
USD | 350,000 | KRW | 413,343,000 | (984 | ) | |||||||||||
| 01/21/2022 | SSB |
USD | 100,000 | MXN | 2,068,311 | (4,478 | ) | |||||||||||
| 02/15/2022 | MSCI |
USD | 16,743,332 | NOK | 143,130,712 | (930,937 | ) | |||||||||||
| 01/18/2022 | GS |
USD | 451,076 | NZD | 655,088 | (4,189 | ) | |||||||||||
| 02/01/2022 | JPM |
USD | 1,765,050 | NZD | 2,470,000 | (80,397 | ) | |||||||||||
| 02/01/2022 | MSCI |
USD | 23,142,135 | NZD | 32,830,000 | (750,574 | ) | |||||||||||
| 02/16/2022 | MSCI |
USD | 883,140 | PEN | 3,585,565 | (5,347 | ) | |||||||||||
| 01/18/2022 | DB |
USD | 350,000 | PLN | 1,455,278 | 3,201 | ||||||||||||
| 01/18/2022 | GS |
USD | 520,000 | PLN | 2,156,998 | 3,511 | ||||||||||||
| 01/18/2022 | JPM |
USD | 390,000 | PLN | 1,632,690 | 6,260 | ||||||||||||
| 01/31/2022 | BOA |
USD | 80,000 | RON | 352,939 | 497 | ||||||||||||
| 01/31/2022 | GS |
USD | 490,000 | RON | 2,099,638 | (11,123 | ) | |||||||||||
| 02/09/2022 | GS |
USD | 150,000 | RUB | 11,324,574 | 256 | ||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Forward Currency Contracts — continued
| Settlement |
Counter- |
Currency |
Currency |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||
| 02/09/2022 | MSCI |
USD | 2,602,682 | RUB | 189,264,416 | (91,501 | ) | |||||||||||
| 02/07/2022 | JPM |
USD | 26,931,298 | SEK | 230,126,595 | (1,357,004 | ) | |||||||||||
| 01/18/2022 | DB |
USD | 220,000 | SGD | 301,683 | 1,042 | ||||||||||||
| 01/18/2022 | SSB |
USD | 140,000 | SGD | 188,705 | (1,737 | ) | |||||||||||
| 02/18/2022 | CITI |
USD | 730,000 | THB | 24,353,384 | (7,141 | ) | |||||||||||
| 01/25/2022 | BCLY |
USD | 360,000 | TRY | 3,633,300 | (101,124 | ) | |||||||||||
| 01/25/2022 | MSCI |
USD | 291,618 | TRY | 2,931,049 | (82,778 | ) | |||||||||||
| 01/31/2022 | MSCI |
USD | 3,175,879 | ZAR | 48,138,381 | (173,996 | ) | |||||||||||
| 01/31/2022 | BCLY |
ZAR | 8,397,453 | USD | 530,000 | 6,340 | ||||||||||||
| 01/31/2022 | CITI |
ZAR | 7,226,471 | USD | 470,000 | 19,361 | ||||||||||||
| 01/31/2022 | GS |
ZAR | 6,715,786 | USD | 430,000 | 11,207 | ||||||||||||
|
|
|
|||||||||||||||||
| $ | (3,084,821 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 42 | Australian Government Bond 10 Yr. | December 2021 | 4,173,301 | (152,631 | ) | |||||||||
| 127 | CAC40 10 Euro | December 2021 | 9,657,269 | (628,013 | ) | |||||||||
| 21 | Canadian Government Bond 10 Yr. | March 2022 | 2,320,529 | 40,652 | ||||||||||
| 24 | DAX Index | December 2021 | 10,270,452 | (783,492 | ) | |||||||||
| 87 | FTSE 100 Index | December 2021 | 8,171,318 | 51,375 | ||||||||||
| 17 | FTSE/JSE TOP 40 | December 2021 | 680,206 | (8,859 | ) | |||||||||
| 26 | Hang Seng Index | December 2021 | 3,909,461 | (194,322 | ) | |||||||||
| 422 | Mini MSCI Emerging Markets | December 2021 | 25,579,530 | (1,800,270 | ) | |||||||||
| 8 | MSCI Singapore | December 2021 | 201,250 | (12,617 | ) | |||||||||
| 27 | U.S. Treasury Note 10 Yr. (CBT) | March 2022 | 3,531,938 | 50,708 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 68,495,254 | $ | (3,437,469 | ) | ||||||||||
|
|
|
|
|
|||||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Sales | ||||||||||||||
| 122 | E-mini Russell 2000 Index | December 2021 | 13,403,530 | 201,130 | ||||||||||
| 43 | Euro Bund | December 2021 | 8,405,852 | (16,703 | ) | |||||||||
| 37 | FTSE Taiwan Index | December 2021 | 2,227,175 | 59,404 | ||||||||||
| 5 | Japanese Government Bond 10 Yr. (OSE) | December 2021 | 6,720,927 | (14,155 | ) | |||||||||
| 3 | NASDAQ 100 E-Mini | December 2021 | 969,030 | 6,649 | ||||||||||
| 41 | S&P 500 E-Mini | December 2021 | 9,360,812 | (225,340 | ) | |||||||||
| 7 | S&P/TSX 60 | December 2021 | 1,365,533 | (16,215 | ) | |||||||||
| 22 | SPI 200 Futures | December 2021 | 2,814,945 | 81,577 | ||||||||||
| 10 | TOPIX Index | December 2021 | 1,667,180 | 105,816 | ||||||||||
| 25 | UK Gilt Long Bond | March 2022 | 4,198,652 | (36,742 | ) | |||||||||
|
|
|
|
|
|||||||||||
| $ | 51,133,636 | $ | 145,421 | |||||||||||
|
|
|
|
|
|||||||||||
| + | 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 |
||||||||||||||||||||||||
| S&P 500 Index |
4,685.00 | 12/03/21 | (14 | ) | USD | (6,393,800 | ) | (155,260 | ) | |||||||||||||||
| S&P 500 Index |
4,700.00 | 12/10/21 | (13 | ) | USD | (5,937,100 | ) | (175,760 | ) | |||||||||||||||
| S&P 500 Index |
4,600.00 | 12/17/21 | (14 | ) | USD | (6,393,800 | ) | (134,400 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total Index Options – Puts | $ | (465,420 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Written Options — continued
| Description |
Counterparty |
Exercise Rate |
Expiration Date |
Principal / Notional |
Floating Rate Index |
Pay/Receive Floating Rate |
Value ($) | |||||||||||||||||||
| Written Options on Credit Default Swaps – Puts |
| |||||||||||||||||||||||||
| CDX.NA.IGS.37.V1-5Y |
BOA | 75.00 | % | 12/15/21 | USD | (11,125,000) | Fixed Spread | Pay | (2,729 | ) | ||||||||||||||||
| CDX.NA.IGS.37.V1-5Y |
BCLY | 75.00 | % | 01/19/22 | USD | (11,125,000) | Fixed Spread | Pay | (12,339 | ) | ||||||||||||||||
| ITRAXX.EUROPE.S36.V1-5Y |
JPM | 70.00 | % | 01/19/22 | EUR | (33,337,500) | Fixed Spread | Pay | (54,701 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Total Written Options on Credit Default Swaps – Puts |
|
(69,769 | ) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| TOTAL WRITTEN OPTIONS (Premiums $323,047) |
|
$ | (535,189 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
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.EUROPE.S34.V1-5Y |
EUR | 9,968,000 | 1.00% | 0.45% | N/A | 12/20/2025 | Quarterly | (313,377 | ) | (252,830 | ) | 60,547 | ||||||||||||||||||||||||
| ITRAXX.XOVER.S34.V2-5Y |
EUR | 4,172,000 | 5.00% | 2.33% | N/A | 12/20/2025 | Quarterly | (607,196 | ) | (483,153 | ) | 124,043 | ||||||||||||||||||||||||
|
CDX-NA.IGS.37.V1-5Y |
USD | 22,250,000 | 1.00% | 0.58% | N/A | 12/20/2026 | Quarterly | (539,239 | ) | (456,904 | ) | 82,335 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | (1,459,812 | ) | $ | (1,192,887 | ) | $ | 266,925 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
OTC Credit Default Swaps
| Reference Entity |
Counterparty |
Notional |
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% | 4.36% | N/A | 12/20/2023 | Quarterly | (6,362 | ) | (20,936 | ) | (14,574 | ) | ||||||||||||||||||||||||||
| CMBX.NA.BBB-.11 |
GS | USD | 1,440,000 | 3.00% | 4.18% | N/A | 11/18/2054 | Monthly | 54,713 | 86,556 | 31,843 | |||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
CGMI | USD | 1,110,000 | 3.00% | 5.78% | N/A | 09/17/2058 | Monthly | 128,809 | 105,528 | (23,281 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
CGMI | USD | 666,000 | 3.00% | 5.78% | N/A | 09/17/2058 | Monthly | 77,753 | 63,317 | (14,436 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
MLCS | USD | 2,750,000 | 3.00% | 5.78% | N/A | 09/17/2058 | Monthly | 221,087 | 261,444 | 40,357 | |||||||||||||||||||||||||||||
| CMBX.NA.BBB-.12 |
GS | USD | 1,260,000 | 3.00% | 4.15% | N/A | 08/17/2061 | Monthly | 49,804 | 82,922 | 33,118 | |||||||||||||||||||||||||||||
| CMBX.NA.BBB-.13 |
CGMI | USD | 1,500,000 | 3.00% | 4.09% | N/A | 12/16/2072 | Monthly | 65,524 | 106,007 | 40,483 | |||||||||||||||||||||||||||||
| Sell Protection^: |
||||||||||||||||||||||||||||||||||||||||
| CDX.NA.HYS.31.V14-5Y |
CITI | USD | 1,187,000 | 5.00% | 0.94% | 1,187,000 USD | 12/20/2023 | Quarterly | 121,668 | 99,502 | (22,166 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.31.V14-5Y |
CITI | USD | 1,928,000 | 5.00% | 0.94% | 1,928,000 USD | 12/20/2023 | Quarterly | 203,886 | 161,618 | (42,268 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.33.V12-5Y |
CITI | USD | 4,450,000 | 5.00% | 0.27% | 4,450,000 USD | 12/20/2024 | Quarterly | 756,555 | 632,766 | (123,789 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HYS.35.V1-5Y |
MSCI | USD | 2,160,000 | 5.00% | 3.67% | 2,160,000 USD | 12/20/2025 | Quarterly | 158,760 | 112,195 | (46,565 | ) | ||||||||||||||||||||||||||||
| ITRAXX.EUROPE.S34.V1-5Y |
BOA | EUR | 17,800,000 | 1.00% | 0.18% | 17,800,000 EUR | 12/20/2025 | Quarterly | 857,391 | 683,874 | (173,517 | ) | ||||||||||||||||||||||||||||
| ITRAXX.XOVER.S34.V2-5Y |
JPM | EUR | 13,350,000 | 5.00% | 0.32% | 13,350,000 EUR | 12/20/2025 | Quarterly | 3,075,697 | 2,816,982 | (258,715 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.A.9 |
CGMI | USD | 1,112,500 | 2.00% | 2.14% | 1,112,500 USD | 09/17/2058 | Monthly | (33,096 | ) | (5,625 | ) | 27,471 | |||||||||||||||||||||||||||
| CMBX.NA.A.9 |
CGMI | USD | 1,780,000 | 2.00% | 2.14% | 1,780,000 USD | 09/17/2058 | Monthly | (44,602 | ) | (9,000 | ) | 35,602 | |||||||||||||||||||||||||||
| CMBX.NA.A.9 |
MLCS | USD | 4,750,000 | 2.00% | 2.14% | 4,750,000 USD | 09/17/2058 | Monthly | 9,294 | (24,016 | ) | (33,310 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AAA.10 |
GS | USD | 4,610,000 | 0.50% | 0.36% | 4,610,000 USD | 11/17/2059 | Monthly | 42,163 | 30,564 | (11,599 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.AAA.13 |
GS | USD | 1,730,000 | 0.50% | 0.50% | 1,730,000 USD | 12/16/2072 | Monthly | 4,051 | (370 | ) | (4,421 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| $ | 5,743,095 | $ | 5,183,328 | $ | (559,767 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 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 November 30, 2021, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives | Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 1.02% |
3 Month AUD BBSW | AUD | 96,560,000 | 12/15/2023 | Quarterly | 5,050 | (156,939 | ) | (161,989 | ) | ||||||||||||||||
| 1.05% |
3 Month AUD BBSW | AUD | 12,730,000 | 12/15/2023 | Quarterly | — | (26,104 | ) | (26,104 | ) | ||||||||||||||||
| 3 Month CAD LIBOR |
0.95% | CAD | 21,950,000 | 12/15/2023 | Semi-Annually | — | (204,744 | ) | (204,744 | ) | ||||||||||||||||
| 3 Month CAD LIBOR |
1.11% | CAD | 17,310,000 | 12/15/2023 | Semi-Annually | — | (119,318 | ) | (119,318 | ) | ||||||||||||||||
| 1.33% |
3 Month CAD LIBOR | CAD | 28,630,000 | 12/15/2023 | Semi-Annually | — | 99,978 | 99,978 | ||||||||||||||||||
| 1.37% |
3 Month CAD LIBOR | CAD | 33,700,000 | 12/15/2023 | Semi-Annually | — | 96,844 | 96,844 | ||||||||||||||||||
| (0.40)% |
CHF - SARON - OIS - COMPOUND |
CHF | 640,000 | 12/15/2023 | Annually | 46 | (2,773 | ) | (2,819 | ) | ||||||||||||||||
| (0.65)% |
CHF - SARON - OIS - COMPOUND |
CHF | 22,430,000 | 12/15/2023 | Annually | 458 | 26,448 | 25,990 | ||||||||||||||||||
| (0.62)% |
CHF - SARON - OIS - COMPOUND |
CHF | 7,760,000 | 12/15/2023 | Annually | 635 | 4,943 | 4,308 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
0.79% | GBP | 147,880,000 | 12/15/2023 | Annually | (66,375 | ) | (381,957 | ) | (315,582 | ) | |||||||||||||||
| 0.83% |
GBP - SONIA - COMPOUND | GBP | 13,160,000 | 12/15/2023 | Annually | — | 21,054 | 21,054 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
0.84% | GBP | 11,700,000 | 12/15/2023 | Annually | (1,560 | ) | (14,229 | ) | (12,669 | ) | |||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.42% | NZD | 120,410,000 | 12/15/2023 | Quarterly | 11,881 | 378,115 | 366,234 | ||||||||||||||||||
| 2.18% |
3 Month NZD Bank Bill Rate | NZD | 20,230,000 | 12/15/2023 | Quarterly | — | 1,293 | 1,293 | ||||||||||||||||||
| 0.30% |
3 Month SEK STIBOR | SEK | 779,570,000 | 12/15/2023 | Quarterly | (6,611 | ) | (152,754 | ) | (146,143 | ) | |||||||||||||||
| 0.23% |
3 Month SEK STIBOR | SEK | 148,300,000 | 12/15/2023 | Quarterly | — | (4,740 | ) | (4,740 | ) | ||||||||||||||||
| 1.51% |
3 Month CAD LIBOR | CAD | 90,270,000 | 12/18/2023 | Semi-Annually | 6,123 | 62,736 | 56,613 | ||||||||||||||||||
| (0.48)% |
6 Month EURIBOR | EUR | 4,460,000 | 12/20/2023 | Semi-Annually | 778 | 12,453 | 11,675 | ||||||||||||||||||
| 6 Month EURIBOR |
(0.42)% | EUR | 6,200,000 | 12/20/2023 | Semi-Annually | (117 | ) | (8,747 | ) | (8,630 | ) | |||||||||||||||
| (0.44)% |
6 Month EURIBOR | EUR | 7,990,000 | 12/20/2023 | Semi-Annually | 97 | 14,951 | 14,854 | ||||||||||||||||||
| 6 Month EURIBOR |
(0.30)% | EUR | 15,050,000 | 12/20/2023 | Semi-Annually | 1,802 | 21,213 | 19,411 | ||||||||||||||||||
| (0.38)% |
6 Month EURIBOR | EUR | 7,520,000 | 12/20/2023 | Semi-Annually | 66 | 3,165 | 3,099 | ||||||||||||||||||
| 0.82% |
3 Month USD LIBOR | USD | 45,880,000 | 12/20/2023 | Quarterly | 5,962 | (17,923 | ) | (23,885 | ) | ||||||||||||||||
| 3 Month USD LIBOR |
0.90% | USD | 8,810,000 | 12/20/2023 | Quarterly | (4,243 | ) | 17,562 | 21,805 | |||||||||||||||||
| 3 Month USD LIBOR |
0.78% | USD | 7,800,000 | 12/20/2023 | Quarterly | (695 | ) | (4,610 | ) | (3,915 | ) | |||||||||||||||
| 3 Month USD LIBOR |
0.73% | USD | 14,310,000 | 12/20/2023 | Quarterly | 1,777 | (21,646 | ) | (23,423 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
2.02% | AUD | 17,050,000 | 12/15/2031 | Semi-Annually | 4,045 | 2,398 | (1,647 | ) | |||||||||||||||||
| 6 Month AUD BBSW |
2.08% | AUD | 20,710,000 | 12/15/2031 | Semi-Annually | 1,709 | 91,807 | 90,098 | ||||||||||||||||||
| 6 Month AUD BBSW |
2.18% | AUD | 5,440,000 | 12/15/2031 | Semi-Annually | — | 58,243 | 58,243 | ||||||||||||||||||
| 6 Month AUD BBSW |
2.22% | AUD | 2,800,000 | 12/15/2031 | Semi-Annually | — | 37,374 | 37,374 | ||||||||||||||||||
| 2.17% |
3 Month CAD LIBOR | CAD | 4,840,000 | 12/15/2031 | Semi-Annually | — | (47,571 | ) | (47,571 | ) | ||||||||||||||||
| 1.76% |
3 Month CAD LIBOR | CAD | 3,520,000 | 12/15/2031 | Semi-Annually | — | 69,512 | 69,512 | ||||||||||||||||||
| 1.76% |
3 Month CAD LIBOR | CAD | 4,700,000 | 12/15/2031 | Semi-Annually | — | 91,459 | 91,459 | ||||||||||||||||||
| 2.01% |
3 Month CAD LIBOR | CAD | 3,750,000 | 12/15/2031 | Semi-Annually | — | 5,383 | 5,383 | ||||||||||||||||||
| 3 Month CAD LIBOR |
2.09% | CAD | 6,210,000 | 12/15/2031 | Semi-Annually | — | 28,022 | 28,022 | ||||||||||||||||||
| 3 Month CAD LIBOR |
2.15% | CAD | 7,330,000 | 12/15/2031 | Semi-Annually | — | 60,820 | 60,820 | ||||||||||||||||||
| 3 Month CAD LIBOR |
2.07% | CAD | 19,840,000 | 12/15/2031 | Semi-Annually | (3,986 | ) | 60,466 | 64,452 | |||||||||||||||||
| 3 Month CAD LIBOR |
2.07% | CAD | 82,750,000 | 12/15/2031 | Semi-Annually | (22,747 | ) | 246,226 | 268,973 | |||||||||||||||||
| 2.02% |
3 Month CAD LIBOR | CAD | 3,860,000 | 12/15/2031 | Semi-Annually | — | 1,880 | 1,880 | ||||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
(0.05)% | CHF | 5,680,000 | 12/15/2031 | Annually | (2,286 | ) | (39,028 | ) | (36,742 | ) | |||||||||||||||
| 0.14% |
CHF - SARON - OIS - COMPOUND |
CHF | 1,090,000 | 12/15/2031 | Annually | 850 | (14,892 | ) | (15,742 | ) | ||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Centrally Cleared Interest Rate Swaps — continued
| Fund Pays |
Fund Receives | Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
0.20% | CHF | 130,000 | 12/15/2031 | Annually | (130 | ) | 2,778 | 2,908 | |||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
0.07% | CHF | 34,500,000 | 12/15/2031 | Annually | 11,220 | 232,530 | 221,310 | ||||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
(0.00)% | CHF | 1,570,000 | 12/15/2031 | Annually | 523 | (2,391 | ) | (2,914 | ) | ||||||||||||||||
| 0.88% |
GBP - SONIA - COMPOUND | GBP | 30,710,000 | 12/15/2031 | Annually | (82,602 | ) | (223,276 | ) | (140,674 | ) | |||||||||||||||
| 0.85% |
GBP - SONIA - COMPOUND | GBP | 73,610,000 | 12/15/2031 | Annually | (60,070 | ) | (301,701 | ) | (241,631 | ) | |||||||||||||||
| 0.99% |
GBP - SONIA - COMPOUND | GBP | 1,870,000 | 12/15/2031 | Annually | 2,660 | (41,592 | ) | (44,252 | ) | ||||||||||||||||
| GBP - SONIA - COMPOUND |
0.83% | GBP | 2,720,000 | 12/15/2031 | Annually | — | 3,349 | 3,349 | ||||||||||||||||||
| 0.79% |
GBP - SONIA - COMPOUND | GBP | 2,420,000 | 12/15/2031 | Annually | (64 | ) | 8,503 | 8,567 | |||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.60% | NZD | 32,600,000 | 12/15/2031 | Quarterly | 20,714 | (218,348 | ) | (239,062 | ) | ||||||||||||||||
| 2.77% |
3 Month NZD Bank Bill Rate | NZD | 4,640,000 | 12/15/2031 | Quarterly | — | (15,084 | ) | (15,084 | ) | ||||||||||||||||
| 2.75% |
3 Month NZD Bank Bill Rate | NZD | 26,460,000 | 12/15/2031 | Quarterly | 20,731 | (62,089 | ) | (82,820 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.71% | NZD | 4,490,000 | 12/15/2031 | Quarterly | — | (1,647 | ) | (1,647 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.64% | NZD | 780,000 | 12/15/2031 | Quarterly | 609 | (3,328 | ) | (3,937 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
0.78% | SEK | 33,600,000 | 12/15/2031 | Quarterly | — | (22,319 | ) | (22,319 | ) | ||||||||||||||||
| 1.06% |
3 Month SEK STIBOR | SEK | 47,600,000 | 12/15/2031 | Quarterly | (5,639 | ) | (112,684 | ) | (107,045 | ) | |||||||||||||||
| 1.06% |
3 Month SEK STIBOR | SEK | 52,000,000 | 12/15/2031 | Quarterly | — | (120,310 | ) | (120,310 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
0.93% | SEK | 49,600,000 | 12/15/2031 | Quarterly | — | 45,562 | 45,562 | ||||||||||||||||||
| 3 Month SEK STIBOR |
0.98% | SEK | 214,440,000 | 12/15/2031 | Quarterly | 4,729 | 312,043 | 307,314 | ||||||||||||||||||
| 3 Month SEK STIBOR |
0.88% | SEK | 162,560,000 | 12/15/2031 | Quarterly | (16,020 | ) | 77,803 | 93,823 | |||||||||||||||||
| 3 Month SEK STIBOR |
0.84% | SEK | 31,000,000 | 12/15/2031 | Quarterly | — | 865 | 865 | ||||||||||||||||||
| 3 Month SEK STIBOR |
0.85% | SEK | 30,800,000 | 12/15/2031 | Quarterly | — | 3,503 | 3,503 | ||||||||||||||||||
| 6 Month EURIBOR |
0.05% | EUR | 1,610,000 | 12/17/2031 | Semi-Annually | (1,233 | ) | (16,697 | ) | (15,464 | ) | |||||||||||||||
| 0.32% |
6 Month EURIBOR | EUR | 3,060,000 | 12/17/2031 | Semi-Annually | (1,453 | ) | (61,711 | ) | (60,258 | ) | |||||||||||||||
| 0.14% |
6 Month EURIBOR | EUR | 39,770,000 | 12/17/2031 | Semi-Annually | 25,626 | 24,365 | (1,261 | ) | |||||||||||||||||
| 0.24% |
6 Month EURIBOR | EUR | 2,690,000 | 12/17/2031 | Semi-Annually | — | (29,234 | ) | (29,234 | ) | ||||||||||||||||
| 0.08% |
6 Month EURIBOR | EUR | 1,240,000 | 12/17/2031 | Semi-Annually | (66 | ) | 9,016 | 9,082 | |||||||||||||||||
| 6 Month EURIBOR |
0.13% | EUR | 1,520,000 | 12/17/2031 | Semi-Annually | (448 | ) | (1,629 | ) | (1,181 | ) | |||||||||||||||
| 6 Month EURIBOR |
(0.08)% | EUR | 1,230,000 | 12/17/2031 | Semi-Annually | (304 | ) | (31,113 | ) | (30,809 | ) | |||||||||||||||
| 1.54% |
3 Month USD LIBOR | USD | 66,740,000 | 12/17/2031 | Quarterly | (137,929 | ) | (150,380 | ) | (12,451 | ) | |||||||||||||||
| 1.74% |
3 Month USD LIBOR | USD | 1,900,000 | 12/17/2031 | Quarterly | 796 | (40,720 | ) | (41,516 | ) | ||||||||||||||||
| 3 Month USD LIBOR |
1.59% | USD | 13,880,000 | 12/17/2031 | Quarterly | — | 96,840 | 96,840 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.61% | USD | 1,080,000 | 12/17/2031 | Quarterly | — | 9,984 | 9,984 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.70% | USD | 9,800,000 | 12/17/2031 | Quarterly | 619 | 170,217 | 169,598 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.66% | USD | 3,950,000 | 12/17/2031 | Quarterly | — | 52,562 | 52,562 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.73% | USD | 4,740,000 | 12/17/2031 | Quarterly | — | 95,316 | 95,316 | ||||||||||||||||||
| 1.58% |
3 Month USD LIBOR | USD | 1,670,000 | 12/17/2031 | Quarterly | 1,386 | (9,285 | ) | (10,671 | ) | ||||||||||||||||
| 1.51% |
3 Month USD LIBOR | USD | 3,060,000 | 12/17/2031 | Quarterly | (2,721 | ) | 1,778 | 4,499 | |||||||||||||||||
| 3 Month USD LIBOR |
1.55% | USD | 2,580,000 | 12/17/2031 | Quarterly | — | 7,032 | 7,032 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | (286,407 | ) | $ | (15,122 | ) | $ | 271,285 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
OTC Total Return Swaps
| Fund Pays |
Fund Receives | Counterparty |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||
| Total Return on Bloomberg Commodity Index (f) |
(0.15)% | MSCI | USD | 9,986,843 | 03/09/2022 | Monthly | — | 649,577 | 649,577 | |||||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.10% |
Total Return on MSCI World Daily Total Return Net Value Index |
GS | USD | 3,333,325 | 05/06/2022 | Monthly | — | (235,521 | ) | (235,521 | ) | |||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate minus 0.02% |
GS | USD | 3,614,570 | 05/06/2022 | Monthly | — | 209,324 | 209,324 | |||||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
OTC Total Return Swaps — continued
| Fund Pays |
Fund Receives | Counterparty |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.09% |
Total Return on % MSCI World % Daily Total % Return Net % Value Index % |
UBSA | USD | 3,858,302 | 05/12/2022 | Monthly | — | (249,354 | ) | (249,354 | ) | |||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate plus 0.10% |
UBSA | USD | 4,258,281 | 05/12/2022 | Monthly | — | 227,531 | 227,531 | |||||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.05% |
Total Return on MSCI World Daily Total Return Net Value Index |
UBSA | USD | 2,640,552 | 05/20/2022 | Monthly | — | (170,612 | ) | (170,612 | ) | |||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate plus 0.05% |
UBSA | USD | 2,867,171 | 05/20/2022 | Monthly | — | 153,145 | 153,145 | |||||||||||||||||||||||
| Total Return on Equity Basket (g) |
1 Month Federal Funds Rate minus 0.50% |
GS | USD | 681,377 | 05/24/2022 | Monthly | — | 37,984 | 37,984 | |||||||||||||||||||||||
| Total Return on Equity Basket (g) |
1 Month Federal Funds Rate minus 0.75% |
GS | USD | 910,586 | 05/24/2022 | Monthly | — | 27,416 | 27,416 | |||||||||||||||||||||||
| Total Return on Equity Basket (g) |
1 Month Federal Funds Rate minus 0.75% |
GS | USD | 54,185 | 05/24/2022 | Monthly | — | (4,225 | ) | (4,225 | ) | |||||||||||||||||||||
| Total Return on Equity Basket (g) |
1 Month Federal Funds Rate plus 0.60% |
GS | USD | 115,092 | 05/24/2022 | Monthly | — | (3,278 | ) | (3,278 | ) | |||||||||||||||||||||
| Total Return on Equity Basket (g) |
1 Month Federal Funds Rate minus 0.50% |
GS | USD | 308,918 | 05/24/2022 | Monthly | — | 7,603 | 7,603 | |||||||||||||||||||||||
| Total Return on Equity Basket (g) |
1 Month Federal Funds Rate minus 0.75% |
GS | USD | 22,434 | 05/24/2022 | Monthly | — | (227 | ) | (227 | ) | |||||||||||||||||||||
| Total Return on Equity Basket (h) |
1 Month Federal Funds Rate minus 0.40% |
MORD | USD | 3,589,390 | 10/18/2022 | Monthly | — | 163,307 | 163,307 | |||||||||||||||||||||||
| Total Return on Equity Basket (g) |
1 Month Federal Funds Rate plus 0.95% |
MORD | USD | 103,931 | 10/18/2022 | Monthly | — | (3,918 | ) | (3,918 | ) | |||||||||||||||||||||
| Total Return on Equity Basket (g) |
1 Month Federal Funds Rate plus 0.10% |
MORD | USD | 102,577 | 12/19/2022 | Monthly | — | 9,534 | 9,534 | |||||||||||||||||||||||
| Total Return on Equity Basket (g) |
1 Month Federal Funds Rate minus 2.55% |
MORD | USD | 1,283,288 | 06/20/2023 | Monthly | — | 70,789 | 70,789 | |||||||||||||||||||||||
| Total Return on Equity Basket (g) |
1 Month Federal Funds Rate minus 0.40% |
MORD | USD | 158,121 | 11/20/2023 | Monthly | — | 21,380 | 21,380 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | — | $ | 910,455 | $ | 910,455 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
As of November 30, 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.
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | All or a portion of this security 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) | 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 November 30, 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) | Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets. |
| (h) | The following table represents the individual short positions within the custom equity basket swap as of November 30, 2021: |
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.
CLO - Collateralized Loan Obligation
CVR - Contingent Value Right
EURIBOR - Euro Interbank Offered Rate
LIBOR - London Interbank Offered Rate
NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.
OIS - Overnight Indexed Swaps
REIT - Real Estate Investment Trust
SARON - Swiss Average Rate Overnight
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.
| Shares | Description |
% of Equity Basket |
Value ($) | |||||||||
| 1,250,000 | Alibaba Pictures Group Ltd | 3.7 | % | 128,298 | ||||||||
| 729,000 | China Molybdenum Co Ltd – Class H | 13.1 | % | 447,233 | ||||||||
| 44,000 | China Resources Beer Holdings Co Ltd | 10.5 | % | 360,917 | ||||||||
| 188,000 | China Youzan Ltd | 0.5 | % | 16,751 | ||||||||
| 41,500 | CITIC Securities Co Ltd – Class H | 2.9 | % | 98,664 | ||||||||
| 2,200 | Ganfeng Lithium Co Ltd – Class H | 1.2 | % | 42,520 | ||||||||
| 292,000 | Greentown Service Group Co Ltd | 8.2 | % | 279,819 | ||||||||
| 8,800 | Hong Kong Exchanges and Clearing Ltd | 14.1 | % | 483,924 | ||||||||
| 141,000 | Kingdee International Software Group Co Ltd | 12.4 | % | 423,191 | ||||||||
| 23,000 | New World Development Co Ltd | 2.7 | % | 90,814 | ||||||||
| 164,400 | Sands China Ltd | 11.0 | % | 375,705 | ||||||||
| 6,000 | Venus Medtech Hangzhou Inc – Class H | 0.9 | % | 29,963 | ||||||||
| 22,000 | Yihai International Holding Ltd. | 3.5 | % | 118,036 | ||||||||
| 396,000 | Zijin Mining Group Co Ltd – Class H | 15.3 | % | 525,472 | ||||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCKS | $ | 3,421,307 | ||||||||||
|
|
|
|||||||||||
The rates shown on variable rate notes are the current interest rates at November 30, 2021, which are subject to change based on the terms of the security.
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.
MLCS - Merrill Lynch Capital Services, Inc.
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
TRY - Turkish Lira
USD - United States Dollar
ZAR - South African Rand
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 100.0% | ||||||||||
| Affiliated Issuers — 100.0% | ||||||||||
| 5,953,159 | GMO Emerging Country Debt Fund, Class VI | 148,709,902 | ||||||||
| 395,205,320 | GMO Implementation Fund | 4,920,306,239 | ||||||||
| 7,456,596 | GMO Opportunistic Income Fund, Class VI | 194,542,593 | ||||||||
| 5,221,379 | GMO SGM Major Markets Fund, Class VI | 150,166,861 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $5,680,027,904) |
5,413,725,595 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 5,301,525 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 5,301,525 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $5,301,525) |
5,301,525 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $5,685,329,429) |
5,419,027,120 | |||||||||
| Other Assets and Liabilities (net) — (0.1%) | (3,573,412 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $5,415,453,708 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| COMMON STOCKS — 74.7% | ||||||||||
| Argentina — 0.0% | ||||||||||
| 4,800 | Banco BBVA Argentina SA ADR * | 14,256 | ||||||||
| 7,800 | Grupo Financiero Galicia SA ADR | 67,704 | ||||||||
|
|
|
|||||||||
| Total Argentina | 81,960 | |||||||||
|
|
|
|||||||||
| Australia — 1.5% | ||||||||||
| 54,811 | Accent Group Ltd | 98,691 | ||||||||
| 25,859 | Adairs Ltd | 65,862 | ||||||||
| 60,850 | Australian Pharmaceutical Industries Ltd (a) (b) | 64,967 | ||||||||
| 30,888 | Aventus Group (REIT) (b) | 73,504 | ||||||||
| 199,819 | BlueScope Steel Ltd | 2,777,339 | ||||||||
| 191,603 | Brambles Ltd | 1,357,446 | ||||||||
| 329,473 | Dexus (REIT) (b) | 2,604,301 | ||||||||
| 310,690 | Fortescue Metals Group Ltd | 3,731,001 | ||||||||
| 39,768 | GDI Property Group (REIT) | 30,825 | ||||||||
| 149,150 | Genworth Mortgage Insurance Australia Ltd | 237,107 | ||||||||
| 696,742 | GPT Group (The) (REIT) (b) | 2,599,709 | ||||||||
| 51,178 | GrainCorp Ltd – Class A | 246,487 | ||||||||
| 22,655 | McMillan Shakespeare Ltd | 201,429 | ||||||||
| 39,643 | Metcash Ltd | 113,998 | ||||||||
| 39,421 | Mineral Resources Ltd | 1,265,132 | ||||||||
| 664,035 | Mirvac Group (REIT) (b) | 1,344,474 | ||||||||
| 99,102 | Mount Gibson Iron Ltd | 25,672 | ||||||||
| 70,925 | Rio Tinto Ltd | 4,706,067 | ||||||||
| 94,009 | Sandfire Resources Ltd | 399,527 | ||||||||
| 681,488 | Scentre Group (REIT) (b) | 1,491,518 | ||||||||
| 24,820 | Southern Cross Media Group Ltd | 35,741 | ||||||||
| 329,250 | Stockland (REIT) (b) | 1,016,490 | ||||||||
| 29,004 | Suncorp Group Ltd | 222,231 | ||||||||
| 16,813 | Super Retail Group Ltd | 149,159 | ||||||||
| 13,140 | Virtus Health Ltd | 49,574 | ||||||||
|
|
|
|||||||||
| Total Australia | 24,908,251 | |||||||||
|
|
|
|||||||||
| Austria — 0.0% | ||||||||||
| 2,078 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 57,712 | ||||||||
|
|
|
|||||||||
| Belgium — 0.5% | ||||||||||
| 72,262 | Ageas SA/NV (a) | 3,737,026 | ||||||||
| 11,906 | Bekaert SA | 479,279 | ||||||||
| 6,277 | bpost SA* | 51,099 | ||||||||
| 362 | Cie d’Entreprises CFE | 37,558 | ||||||||
| 6,722 | KBC Group NV | 564,247 | ||||||||
| 2,423 | Orange Belgium SA | 53,000 | ||||||||
| 1,203 | Proximus SADP (a) | 21,867 | ||||||||
| 817 | Sofina SA | 379,669 | ||||||||
| 1,268 | Solvay SA | 141,875 | ||||||||
| 29,549 | UCB SA | 3,231,168 | ||||||||
| 63 | VGP NV (b) | 16,774 | ||||||||
|
|
|
|||||||||
| Total Belgium | 8,713,562 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| Brazil — 1.1% | ||||||||||
| 39,300 | Ambev SA ADR | 110,826 | ||||||||
| 769,440 | Banco Bradesco SA | 2,329,459 | ||||||||
| 134,200 | Banco do Brasil SA | 760,057 | ||||||||
| 98,100 | Blau Farmaceutica SA | 588,057 | ||||||||
| 17,200 | C&A Modas Ltda * | 19,764 | ||||||||
| 36,800 | CPFL Energia SA | 172,811 | ||||||||
| 11,400 | Equatorial Energia SA | 45,768 | ||||||||
| 6,700 | Mahle-Metal Leve SA | 34,907 | ||||||||
| 384,600 | Marfrig Global Foods SA | 1,612,462 | ||||||||
| 59,300 | Ser Educacional SA | 109,068 | ||||||||
| 226,600 | Telefonica Brasil SA | 2,027,040 | ||||||||
| 1,382,800 | TIM SA | 3,394,370 | ||||||||
| 21,300 | Transmissora Alianca de Energia Eletrica SA | 136,510 | ||||||||
| 336,400 | Vale SA Sponsored ADR | 4,161,268 | ||||||||
| 291,900 | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA * | 580,493 | ||||||||
| 695,840 | Vibra Energia SA | 2,693,327 | ||||||||
|
|
|
|||||||||
| Total Brazil | 18,776,187 | |||||||||
|
|
|
|||||||||
| Canada — 1.6% | ||||||||||
| 7,100 | AGF Management Ltd – Class B | 43,130 | ||||||||
| 23,800 | Bank of Montreal | 2,478,650 | ||||||||
| 69,848 | Brookfield Asset Management Inc – Class A | 3,923,362 | ||||||||
| 50,400 | Canaccord Genuity Group Inc | 559,847 | ||||||||
| 44,500 | Canadian Apartment Properties (REIT) (b) | 1,980,719 | ||||||||
| 9,300 | Canadian Tire Corp Ltd – Class A | 1,229,177 | ||||||||
| 13,100 | Canadian Western Bank | 378,813 | ||||||||
| 44,400 | Canfor Corp * (a) | 947,121 | ||||||||
| 4,100 | Cascades Inc | 43,104 | ||||||||
| 47,900 | Celestica Inc * (c) | 490,830 | ||||||||
| 17,400 | Celestica Inc * (c) | 178,002 | ||||||||
| 8,700 | Cenovus Energy Inc | 103,246 | ||||||||
| 3,703 | Cogeco Inc | 231,465 | ||||||||
| 99,200 | Corus Entertainment Inc – B Shares | 382,838 | ||||||||
| 6,700 | Crescent Point Energy Corp | 28,847 | ||||||||
| 1,100 | Fairfax Financial Holdings Ltd | 488,195 | ||||||||
| 14,600 | Finning International Inc | 372,015 | ||||||||
| 9,500 | Great-West Lifeco Inc | 275,752 | ||||||||
| 10,000 | iA Financial Corp Inc | 531,371 | ||||||||
| 15,700 | Imperial Oil Ltd (a) (c) | 519,011 | ||||||||
| 15,400 | Imperial Oil Ltd (c) | 509,586 | ||||||||
| 21,000 | Interfor Corp | 524,404 | ||||||||
| 9,800 | Intertape Polymer Group Inc | 187,722 | ||||||||
| 3,800 | Laurentian Bank of Canada (a) | 109,171 | ||||||||
| 10,000 | Linamar Corp | 574,113 | ||||||||
| 33,500 | Magna International Inc | 2,510,959 | ||||||||
| 2,400 | Morguard North American Residential Real Estate Investment Trust (b) | 32,615 | ||||||||
| 3,800 | National Bank of Canada | 295,296 | ||||||||
| 49,586 | Nutrien Ltd | 3,278,626 | ||||||||
| 1,800 | Parex Resources Inc | 28,858 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Canada — continued | ||||||||||
| 53,700 | Power Corp of Canada (a) | 1,732,339 | ||||||||
| 11,600 | PrairieSky Royalty Ltd | 126,765 | ||||||||
| 17,300 | Teck Resources Ltd – Class B | 458,277 | ||||||||
| 3,400 | Tourmaline Oil Corp | 113,143 | ||||||||
| 2,900 | Transcontinental Inc – Class A (a) | 42,247 | ||||||||
| 5,000 | Wajax Corp | 90,610 | ||||||||
| 9,200 | West Fraser Timber Co Ltd | 756,482 | ||||||||
|
|
|
|||||||||
| Total Canada | 26,556,708 | |||||||||
|
|
|
|||||||||
| Chile — 0.1% | ||||||||||
| 13,003 | CAP SA | 117,458 | ||||||||
| 37,376 | Cencosud Shopping SA | 39,627 | ||||||||
| 7,600 | Cia Cervecerias Unidas SA Sponsored ADR | 122,132 | ||||||||
| 3,707,309 | Colbun SA | 243,080 | ||||||||
| 237,722 | Falabella SA | 735,787 | ||||||||
| 28,643 | Inversiones La Construccion SA | 86,587 | ||||||||
|
|
|
|||||||||
| Total Chile | 1,344,671 | |||||||||
|
|
|
|||||||||
| China — 7.7% | ||||||||||
| 218,000 | 361 Degrees International Ltd * (a) | 109,059 | ||||||||
| 1,057,668 | Agile Group Holdings Ltd | 695,653 | ||||||||
| 293,276 | Agricultural Bank of China Ltd – Class A | 133,839 | ||||||||
| 17,472,136 | Agricultural Bank of China Ltd – Class H | 5,770,568 | ||||||||
| 24,000 | AK Medical Holdings Ltd | 20,510 | ||||||||
| 8,848 | Alibaba Group Holding Ltd * | 141,282 | ||||||||
| 3,908 | Alibaba Group Holding Ltd Sponsored ADR * | 498,387 | ||||||||
| 14,120 | ANTA Sports Products Ltd | 225,478 | ||||||||
| 6,292 | Autohome Inc ADR | 214,998 | ||||||||
| 2,695,500 | BAIC Motor Corp Ltd – Class H | 1,110,796 | ||||||||
| 3,900 | Baidu Inc Sponsored ADR * | 584,376 | ||||||||
| 641,796 | Bank of China Ltd – Class A | 307,179 | ||||||||
| 19,335,840 | Bank of China Ltd – Class H | 6,714,101 | ||||||||
| 8,747,000 | Bank of Communications Co Ltd – Class H | 5,092,864 | ||||||||
| 4,000 | Baozun Inc Sponsored ADR * | 55,160 | ||||||||
| 173,500 | Beijing Enterprises Holdings Ltd | 585,382 | ||||||||
| 1,700 | Beyondspring Inc * | 21,709 | ||||||||
| 2,200 | Burning Rock Biotech Ltd ADR * | 34,012 | ||||||||
| 81,400 | BYD Electronic International Co Ltd (a) | 301,142 | ||||||||
| 373,000 | China Aoyuan Group Ltd | 104,255 | ||||||||
| 5,420,000 | China Cinda Asset Management Co Ltd – Class H | 866,032 | ||||||||
| 3,324,354 | China Communications Services Corp Ltd – Class H | 1,582,588 | ||||||||
| 62,456 | China Construction Bank Corp – Class A | 56,321 | ||||||||
| 3,265,480 | China Construction Bank Corp – Class H | 2,127,807 | ||||||||
| 381,000 | China Datang Corp Renewable Power Co Ltd – Class H | 146,465 | ||||||||
| 1,845,040 | China Dongxiang Group Co Ltd | 168,724 | ||||||||
| 48,500 | China East Education Holdings Ltd * | 50,627 | ||||||||
| 944,000 | China Energy Engineering Corp Ltd – Class H | 133,650 | ||||||||
| 550,000 | China Everbright Bank Co Ltd – Class H | 188,570 | ||||||||
| 18,000 | China Everbright Ltd | 19,390 | ||||||||
| 773,280 | China Feihe Ltd | 1,034,432 | ||||||||
| 21,112 | China Gas Holdings Ltd | 38,088 | ||||||||
| Shares | Description | Value ($) |
||||||||
| China — continued | ||||||||||
| 1,058,000 | China Greenfresh Group Co Ltd * (d) | — | ||||||||
| 104,000 | China High Speed Transmission Equipment Group Co Ltd * | 86,104 | ||||||||
| 1,972,500 | China Hongqiao Group Ltd | 1,909,418 | ||||||||
| 22,799,000 | China Huarong Asset Management Co Ltd – Class H * (d) | 2,222,011 | ||||||||
| 34,000 | China International Marine Containers Group Co Ltd – Class A | 90,835 | ||||||||
| 1,010,920 | China Lesso Group Holdings Ltd | 1,468,084 | ||||||||
| 321,000 | China Lilang Ltd | 171,902 | ||||||||
| 1,627,645 | China Medical System Holdings Ltd | 2,665,746 | ||||||||
| 35,435 | China Merchants Bank Co Ltd – Class A | 274,938 | ||||||||
| 178,600 | China Molybdenum Co Ltd – Class A | 165,172 | ||||||||
| 2,372,000 | China National Building Material Co Ltd – Class H | 2,548,284 | ||||||||
| 112,640 | China Oriental Group Co Ltd | 29,771 | ||||||||
| 564,440 | China Overseas Grand Oceans Group Ltd | 254,579 | ||||||||
| 1,176,360 | China Overseas Land & Investment Ltd | 2,704,400 | ||||||||
| 3,273 | China Pacific Insurance Group Co Ltd – Class A | 13,900 | ||||||||
| 54,528 | China Pacific Insurance Group Co Ltd – Class H | 158,164 | ||||||||
| 6,238 | China Petroleum & Chemical Corp ADR | 272,913 | ||||||||
| 40,900 | China Petroleum & Chemical Corp – Class A | 25,835 | ||||||||
| 12,310,000 | China Petroleum & Chemical Corp – Class H | 5,366,042 | ||||||||
| 145,000 | China Pioneer Pharma Holdings Ltd | 22,253 | ||||||||
| 61,148 | China Railway Group Ltd – Class A | 50,785 | ||||||||
| 7,884,042 | China Railway Group Ltd – Class H | 3,748,190 | ||||||||
| 95,617 | China Railway Signal & Communication Corp Ltd – Class A | 72,902 | ||||||||
| 1,122,120 | China Reinsurance Group Corp – Class H | 104,955 | ||||||||
| 40,240 | China Resources Gas Group Ltd | 208,351 | ||||||||
| 147,440 | China Resources Land Ltd | 615,962 | ||||||||
| 2,104,000 | China Resources Pharmaceutical Group Ltd | 914,959 | ||||||||
| 240 | China SCE Group Holdings Ltd | 63 | ||||||||
| 210,000 | China Shineway Pharmaceutical Group Ltd | 193,727 | ||||||||
| 1,156,000 | China South City Holdings Ltd | 76,862 | ||||||||
| 120,000 | China State Construction International Holdings Ltd | 121,331 | ||||||||
| 2,474,000 | China Traditional Chinese Medicine Holdings Co Ltd | 1,190,819 | ||||||||
| 2,900 | China Yuchai International Ltd | 34,365 | ||||||||
| 1,776,400 | China Zhongwang Holdings Ltd * (a) (e) | 382,707 | ||||||||
| 80,000 | Chongqing Rural Commercial Bank Co Ltd – Class H | 27,289 | ||||||||
| 32,000 | CIFI Ever Sunshine Services Group Ltd | 53,839 | ||||||||
| 4,155,000 | CITIC Ltd | 3,742,724 | ||||||||
| 1,221,000 | Country Garden Holdings Co Ltd (a) | 1,076,089 | ||||||||
| 3,436,000 | CSPC Pharmaceutical Group Ltd | 3,562,300 | ||||||||
| 4,242,000 | Dongfeng Motor Group Co Ltd – Class H | 3,937,975 | ||||||||
| 885,000 | Dongyue Group Ltd | 1,671,431 | ||||||||
| 42,760 | ENN Energy Holdings Ltd | 800,602 | ||||||||
| 659,827 | Fangda Special Steel Technology Co Ltd – Class A | 748,495 | ||||||||
| 1,015,500 | Fantasia Holdings Group Co Ltd | 40,911 | ||||||||
| 1,111,500 | Fosun International Ltd | 1,213,014 | ||||||||
| 14,900 | Fuyao Glass Industry Group Co Ltd – Class A | 108,367 | ||||||||
| 21,500 | Gaotu Techedu Inc * | 57,405 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| China — continued | ||||||||||
| 18,000 | Geely Automobile Holdings Ltd | 53,437 | ||||||||
| 132,240 | Guangdong Investment Ltd | 175,977 | ||||||||
| 252,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H | 614,436 | ||||||||
| 1,198,400 | Guangzhou R&F Properties Co Ltd – Class H (a) | 648,619 | ||||||||
| 31,200 | Haier Smart Home Co Ltd – Class H | 116,425 | ||||||||
| 40 | Haitian International Holdings Ltd | 110 | ||||||||
| 186,700 | Hello Group Inc Sponsored ADR | 2,160,119 | ||||||||
| 148,380 | Hisense Home Appliances Group Co Ltd – Class A | 264,310 | ||||||||
| 218,000 | Hisense Home Appliances Group Co Ltd – Class H | 209,765 | ||||||||
| 4,172 | Hollysys Automation Technologies Ltd * | 64,499 | ||||||||
| 349,910 | Hopson Development Holdings Ltd (a) | 846,681 | ||||||||
| 7,600 | HUYA Inc ADR * | 65,436 | ||||||||
| 2,225,080 | Industrial & Commercial Bank of China Ltd – Class H | 1,175,806 | ||||||||
| 186,395 | Inner Mongolia Eerduosi Resources Co Ltd – Class A | 769,224 | ||||||||
| 18,000 | JW Cayman Therapeutics Co Ltd * (a) | 29,106 | ||||||||
| 422,000 | Kaisa Group Holdings Ltd * | 57,363 | ||||||||
| 8,800 | KE Holdings Inc ADR * | 176,088 | ||||||||
| 349,500 | Kingboard Holdings Ltd | 1,754,451 | ||||||||
| 22,240 | Kingboard Laminates Holdings Ltd | 38,995 | ||||||||
| 96,000 | Kunlun Energy Co Ltd | 90,287 | ||||||||
| 82,880 | KWG Group Holdings Ltd | 61,460 | ||||||||
| 12,344 | Lao Feng Xiang Co Ltd – Class A | 87,885 | ||||||||
| 375,900 | Legend Holdings Corp – Class H | 593,195 | ||||||||
| 4,194,000 | Lenovo Group Ltd | 4,294,694 | ||||||||
| 173,281 | Livzon Pharmaceutical Group Inc – Class H | 566,782 | ||||||||
| 35,320 | Logan Group Co Ltd | 34,079 | ||||||||
| 17,740 | Longfor Group Holdings Ltd | 84,208 | ||||||||
| 1,436,520 | Lonking Holdings Ltd | 370,620 | ||||||||
| 26,032 | Lufax Holding Ltd ADR * | 166,084 | ||||||||
| 5,870,000 | Metallurgical Corp of China Ltd – Class H | 1,482,033 | ||||||||
| 128,000 | MMG Ltd * | 46,359 | ||||||||
| 4,364 | NetEase Inc | 94,218 | ||||||||
| 204 | NetEase Inc ADR | 21,977 | ||||||||
| 1,168,000 | Nexteer Automotive Group Ltd | 1,510,033 | ||||||||
| 613,000 | Nine Dragons Paper Holdings Ltd | 683,765 | ||||||||
| 12,500 | OneConnect Financial Technology Co Ltd * | 32,000 | ||||||||
| 29,760 | PAX Global Technology Ltd | 23,026 | ||||||||
| 32,800 | PetroChina Co Ltd ADR | 1,424,832 | ||||||||
| 3,780,000 | PetroChina Co Ltd – Class H | 1,636,772 | ||||||||
| 2,657,600 | PICC Property & Casualty Co Ltd – Class H | 2,272,094 | ||||||||
| 15,672 | Ping An Insurance Group Co of China Ltd – Class A | 118,519 | ||||||||
| 551,000 | Ping An Insurance Group Co of China Ltd – Class H | 3,819,665 | ||||||||
| 745,000 | Poly Property Group Co Ltd | 187,268 | ||||||||
| 9,200 | Poly Property Services Co Ltd – Class H | 62,529 | ||||||||
| 688,032 | Postal Savings Bank of China Co Ltd – Class A | 546,965 | ||||||||
| 1,209,000 | Powerlong Real Estate Holdings Ltd | 728,269 | ||||||||
| 121,000 | Road King Infrastructure Ltd | 112,898 | ||||||||
| 202,000 | Seazen Group Ltd * | 144,865 | ||||||||
| 156,000 | Shanghai Jin Jiang Capital Co Ltd – Class H | 57,670 | ||||||||
| Shares | Description | Value ($) |
||||||||
| China — continued | ||||||||||
| 21,488 | Shanghai Mechanical and Electrical Industry Co Ltd – Class A | 50,441 | ||||||||
| 840,000 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 1,531,589 | ||||||||
| 80,000 | Shenzhen Investment Ltd | 18,159 | ||||||||
| 8,376 | Shenzhou International Group Holdings Ltd | 157,283 | ||||||||
| 784,280 | Shimao Group Holdings Ltd | 903,869 | ||||||||
| 3,188,000 | Sihuan Pharmaceutical Holdings Group Ltd * (a) | 621,582 | ||||||||
| 991,020 | Sinopec Engineering Group Co Ltd – Class H | 482,435 | ||||||||
| 2,012,800 | Sinopharm Group Co Ltd – Class H | 4,374,285 | ||||||||
| 971,860 | Sinotruk Hong Kong Ltd | 1,438,200 | ||||||||
| 3,334,000 | Skyworth Group Ltd * | 2,023,536 | ||||||||
| 64,000 | SSY Group Ltd | 32,008 | ||||||||
| 382,000 | Sunac China Holdings Ltd | 685,054 | ||||||||
| 11,032 | Sunny Optical Technology Group Co Ltd | 332,293 | ||||||||
| 1,504,000 | TCL Electronics Holdings Ltd * | 790,849 | ||||||||
| 62,371 | Tencent Holdings Ltd | 3,637,418 | ||||||||
| 11,200 | Tencent Holdings Ltd ADR | 654,640 | ||||||||
| 4,400 | Tencent Music Entertainment Group ADR * | 31,636 | ||||||||
| 610,000 | Tianjin Port Development Holdings Ltd | 48,000 | ||||||||
| 1,388,960 | Tianneng Power International Ltd (a) | 1,531,703 | ||||||||
| 10,300 | Up Fintech Holding Ltd ADR * | 62,212 | ||||||||
| 63,400 | Vipshop Holdings Ltd ADR * | 619,418 | ||||||||
| 79,000 | Weichai Power Co Ltd – Class H | 140,110 | ||||||||
| 280,583 | Weifu High-Technology Group Co Ltd – Class A | 926,509 | ||||||||
| 2,782,512 | Yuzhou Group Holdings Co Ltd (a) | 275,028 | ||||||||
| 50,500 | Zhaojin Mining Industry Co Ltd – Class H | 52,715 | ||||||||
| 12,372 | Zhejiang Weixing New Building Materials Co Ltd – Class A | 35,978 | ||||||||
| 152,740 | Zhengzhou Coal Mining Machinery Group Co Ltd – Class A | 302,950 | ||||||||
| 56,000 | Zhenro Properties Group Ltd | 31,598 | ||||||||
| 414,240 | Zhongsheng Group Holdings Ltd | 3,392,967 | ||||||||
| 43,500 | Zhou Hei Ya International Holdings Co Ltd * | 39,960 | ||||||||
| 112,900 | Zhuzhou CRRC Times Electric Co Ltd – Class H | 741,072 | ||||||||
| 258,500 | Zijin Mining Group Co Ltd – Class A | 414,787 | ||||||||
| 90,800 | Zoomlion Heavy Industry Science and Technology Co Ltd – Class H | 59,617 | ||||||||
|
|
|
|||||||||
| Total China | 131,356,013 | |||||||||
|
|
|
|||||||||
| Czech Republic — 0.1% | ||||||||||
| 1,435 | CEZ AS | 46,815 | ||||||||
| 789 | Komercni Banka AS | 30,133 | ||||||||
| 114,764 | Moneta Money Bank AS * | 488,943 | ||||||||
| 11,637 | O2 Czech Republic AS * | 135,560 | ||||||||
| 456 | Philip Morris CR AS | 314,961 | ||||||||
|
|
|
|||||||||
| Total Czech Republic | 1,016,412 | |||||||||
|
|
|
|||||||||
| Denmark — 0.6% | ||||||||||
| 405 | AP Moller – Maersk A/S – Class A | 1,159,088 | ||||||||
| 745 | AP Moller – Maersk A/S – Class B | 2,243,024 | ||||||||
| 935 | Carlsberg A/S – Class B | 145,204 | ||||||||
| 169,272 | Danske Bank A/S | 2,798,650 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Denmark — continued | ||||||||||
| 7,316 | Matas A/S | 134,908 | ||||||||
| 21,453 | Pandora A/S | 2,669,234 | ||||||||
| 22,964 | Scandinavian Tobacco Group A/S | 421,468 | ||||||||
|
|
|
|||||||||
| Total Denmark | 9,571,576 | |||||||||
|
|
|
|||||||||
| Egypt — 0.0% | ||||||||||
| 92,017 | Commercial International Bank Egypt SAE * | 299,522 | ||||||||
| 414,351 | Eastern Co SAE | 294,383 | ||||||||
| 40,669 | Misr Fertilizers Production Co SAE | 247,250 | ||||||||
|
|
|
|||||||||
| Total Egypt | 841,155 | |||||||||
|
|
|
|||||||||
| Finland — 0.4% | ||||||||||
| 2,416 | Aktia Bank Oyj | 33,216 | ||||||||
| 29,113 | Kesko Oyj – B Shares | 914,067 | ||||||||
| 53,345 | Neste Oyj | 2,523,054 | ||||||||
| 482,110 | Nokia Oyj * | 2,702,059 | ||||||||
| 19,107 | Outokumpu Oyj * | 111,403 | ||||||||
| 6,956 | Uponor Oyj | 160,107 | ||||||||
|
|
|
|||||||||
| Total Finland | 6,443,906 | |||||||||
|
|
|
|||||||||
| France — 2.0% | ||||||||||
| 18,514 | ALD SA | 260,178 | ||||||||
| 6,654 | Amundi SA | 553,570 | ||||||||
| 17,129 | APERAM SA | 823,021 | ||||||||
| 39,167 | ArcelorMittal SA | 1,063,300 | ||||||||
| 700 | Axway Software SA (b) | 22,171 | ||||||||
| 81,369 | BNP Paribas SA | 5,057,052 | ||||||||
| 721 | Boiron SA | 29,525 | ||||||||
| 680 | Bonduelle SCA | 15,190 | ||||||||
| 274 | Christian Dior SE | 207,018 | ||||||||
| 40,478 | Cie de Saint-Gobain | 2,567,506 | ||||||||
| 3,341 | Coface SA * | 45,459 | ||||||||
| 55,233 | Derichebourg SA * | 579,228 | ||||||||
| 337 | Groupe Crit (a) | 23,180 | ||||||||
| 389 | HEXAOM (a) | 16,770 | ||||||||
| 1,284 | Ipsen SA | 125,311 | ||||||||
| 14,558 | IPSOS | 658,702 | ||||||||
| 1,514 | Kaufman & Broad SA | 56,857 | ||||||||
| 3,801 | Kering SA | 2,927,112 | ||||||||
| 4,847 | LVMH Moet Hennessy Louis Vuitton SE | 3,768,999 | ||||||||
| 23,776 | Metropole Television SA | 458,478 | ||||||||
| 8,986 | Nexity SA (b) | 385,698 | ||||||||
| 60,021 | Publicis Groupe SA | 3,883,887 | ||||||||
| 18,509 | Quadient SA | 401,771 | ||||||||
| 1,204 | Rothschild & Co | 51,596 | ||||||||
| 36,374 | Safran SA | 4,062,748 | ||||||||
| 5,126 | Sanofi | 487,289 | ||||||||
| 5,002 | Schneider Electric SE | 887,725 | ||||||||
| 6,579 | Societe BIC SA | 339,182 | ||||||||
| 88,861 | Societe Generale SA | 2,765,115 | ||||||||
| 695 | Synergie SE | 27,626 | ||||||||
| Shares | Description | Value ($) |
||||||||
| France — continued | ||||||||||
| 62,672 | Television Francaise 1 | 605,538 | ||||||||
| 172 | TotalEnergies SE | 7,914 | ||||||||
| 1,402 | Vicat SA | 54,263 | ||||||||
| 369 | Vilmorin & Cie SA | 22,657 | ||||||||
|
|
|
|||||||||
| Total France | 33,241,636 | |||||||||
|
|
|
|||||||||
| Germany — 1.3% | ||||||||||
| 10,395 | ADVA Optical Networking SE * | 149,612 | ||||||||
| 137 | Amadeus Fire AG | 28,153 | ||||||||
| 41,836 | Bayer AG (Registered) | 2,110,103 | ||||||||
| 21,156 | Bayerische Motoren Werke AG | 2,027,875 | ||||||||
| 24,247 | Beiersdorf AG | 2,411,657 | ||||||||
| 7,334 | CECONOMY AG * | 29,103 | ||||||||
| 478 | Cewe Stiftung & Co KGaA | 68,630 | ||||||||
| 741 | Covestro AG | 41,793 | ||||||||
| 65,370 | Daimler AG (Registered) | 6,122,098 | ||||||||
| 6,544 | Deutsche Pfandbriefbank AG | 76,332 | ||||||||
| 4,411 | Deutsche Post AG (Registered) | 260,520 | ||||||||
| 957 | Draegerwerk AG & Co KGaA (b) | 56,121 | ||||||||
| 36,804 | Fresenius SE & Co KGaA (b) | 1,392,999 | ||||||||
| 4,219 | Hamburger Hafen und Logistik AG | 93,113 | ||||||||
| 15,093 | HeidelbergCement AG | 1,004,159 | ||||||||
| 424 | Hornbach Holding AG & Co KGaA | 53,187 | ||||||||
| 78,520 | Kloeckner & Co SE * | 844,301 | ||||||||
| 7,716 | Merck KGaA | 1,907,049 | ||||||||
| 16,392 | ProSiebenSat.1 Media SE | 240,817 | ||||||||
| 2,922 | RTL Group SA | 150,299 | ||||||||
| 9,865 | Salzgitter AG * | 291,765 | ||||||||
| 12,100 | SAP SE (b) | 1,550,630 | ||||||||
| 3,436 | Takkt AG | 55,933 | ||||||||
| 3,431 | Traton SE | 80,803 | ||||||||
| 4,638 | Volkswagen AG | 1,292,322 | ||||||||
|
|
|
|||||||||
| Total Germany | 22,339,374 | |||||||||
|
|
|
|||||||||
| Greece — 0.0% | ||||||||||
| 12,055 | FF Group * (d) | — | ||||||||
| 11,415 | Hellenic Telecommunications Organization SA | 197,208 | ||||||||
| 7,985 | JUMBO SA | 111,783 | ||||||||
|
|
|
|||||||||
| Total Greece | 308,991 | |||||||||
|
|
|
|||||||||
| Hong Kong — 0.8% | ||||||||||
| 18,700 | ASM Pacific Technology Ltd | 195,710 | ||||||||
| 26,400 | Budweiser Brewing Co APAC Ltd | 67,039 | ||||||||
| 58,400 | Champion (REIT) (b) | 30,250 | ||||||||
| 78,000 | Chow Sang Sang Holdings International Ltd | 110,435 | ||||||||
| 582,000 | CITIC Telecom International Holdings Ltd | 195,417 | ||||||||
| 4,000 | CK Asset Holdings Ltd (b) | 22,880 | ||||||||
| 407,000 | CK Hutchison Holdings Ltd | 2,547,906 | ||||||||
| 4,500 | CLP Holdings Ltd | 44,086 | ||||||||
| 550,000 | CSI Properties Ltd | 15,241 | ||||||||
| 100,500 | Dah Sing Banking Group Ltd | 86,902 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Hong Kong — continued | ||||||||||
| 58,000 | Dah Sing Financial Holdings Ltd | 172,257 | ||||||||
| 1,222,000 | First Pacific Co Ltd | 438,834 | ||||||||
| 260,495 | Galaxy Entertainment Group Ltd * | 1,416,162 | ||||||||
| 212,000 | Giordano International Ltd | 40,169 | ||||||||
| 186,500 | HK Electric Investments & HK Electric Investments Ltd – Class SS | 182,600 | ||||||||
| 327,000 | HKT Trust & HKT Ltd – Class SS | 442,610 | ||||||||
| 231,000 | IGG Inc | 218,365 | ||||||||
| 102,000 | Johnson Electric Holdings Ltd | 222,213 | ||||||||
| 51,000 | JS Global Lifestyle Co Ltd | 100,127 | ||||||||
| 113,000 | K Wah International Holdings Ltd (b) | 43,627 | ||||||||
| 85,500 | Kerry Logistics Network Ltd | 243,472 | ||||||||
| 368,500 | Kerry Properties Ltd (b) | 958,225 | ||||||||
| 24,800 | Luk Fook Holdings International Ltd | 72,502 | ||||||||
| 376,000 | Pacific Textiles Holdings Ltd | 197,018 | ||||||||
| 1,280,000 | PCCW Ltd | 646,524 | ||||||||
| 135,500 | Power Assets Holdings Ltd | 816,344 | ||||||||
| 268,000 | Shun Tak Holdings Ltd * | 71,336 | ||||||||
| 60,500 | SmarTone Telecommunications Holdings Ltd | 32,218 | ||||||||
| 118,000 | Sun Hung Kai & Co Ltd | 73,746 | ||||||||
| 5,000 | Sun Hung Kai Properties Ltd (b) | 60,883 | ||||||||
| 53,000 | Swire Pacific Ltd – Class A (b) | 292,620 | ||||||||
| 180,000 | Texwinca Holdings Ltd | 38,636 | ||||||||
| 312,000 | VSTECS Holdings Ltd | 280,458 | ||||||||
| 109,500 | VTech Holdings Ltd | 903,890 | ||||||||
| 1,987,640 | WH Group Ltd | 1,250,617 | ||||||||
| 95,880 | Xinyi Glass Holdings Ltd | 233,881 | ||||||||
| 208,000 | Yue Yuen Industrial Holdings Ltd * | 361,547 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 13,126,747 | |||||||||
|
|
|
|||||||||
| Hungary — 0.1% | ||||||||||
| 39,814 | MOL Hungarian Oil & Gas Plc | 299,210 | ||||||||
| 19,970 | OTP Bank Nyrt * | 1,102,668 | ||||||||
|
|
|
|||||||||
| Total Hungary | 1,401,878 | |||||||||
|
|
|
|||||||||
| India — 2.7% | ||||||||||
| 5 | Amara Raja Batteries Ltd | 41 | ||||||||
| 10,030 | Ambuja Cements Ltd | 49,959 | ||||||||
| 185,921 | Apollo Tyres Ltd | 505,404 | ||||||||
| 213,761 | Arvind Ltd * | 331,178 | ||||||||
| 19,377 | Asian Paints Ltd | 811,140 | ||||||||
| 5 | Astral Ltd | 146 | ||||||||
| 1,505 | AU Small Finance Bank Ltd * | 21,914 | ||||||||
| 62,541 | Axis Bank Ltd * | 541,533 | ||||||||
| 1,400 | Azure Power Global Ltd * | 28,840 | ||||||||
| 4,001 | Bajaj Consumer Care Ltd | 9,727 | ||||||||
| 24,725 | Balrampur Chini Mills Ltd | 102,971 | ||||||||
| 11,640 | Bharat Electronics Ltd | 31,487 | ||||||||
| 11,116 | Bharat Petroleum Corp Ltd | 54,383 | ||||||||
| 2,326 | Clean Science & Technology Ltd * | 66,407 | ||||||||
| 88,965 | Coal India Ltd | 179,491 | ||||||||
| 3 | Colgate-Palmolive India Ltd | 57 | ||||||||
| Shares | Description | Value ($) |
||||||||
| India — continued | ||||||||||
| 3,412 | Coromandel International Ltd | 33,471 | ||||||||
| 3,900 | Cummins India Ltd | 45,570 | ||||||||
| 2 | Cyient Ltd | 27 | ||||||||
| 5,713 | Dhampur Sugar Mills Ltd | 21,115 | ||||||||
| 700 | Dr Reddy’s Laboratories Ltd ADR | 43,708 | ||||||||
| 2,681 | Emami Ltd | 18,792 | ||||||||
| 74,606 | GAIL India Ltd | 128,639 | ||||||||
| 44,323 | Glenmark Pharmaceuticals Ltd | 308,524 | ||||||||
| 1,326 | Godrej Properties Ltd * | 34,600 | ||||||||
| 9 | Gujarat Gas Ltd | 80 | ||||||||
| 2,854 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd | 16,113 | ||||||||
| 6,909 | Gujarat State Petronet Ltd | 28,795 | ||||||||
| 420,426 | HCL Technologies Ltd | 6,371,838 | ||||||||
| 24,036 | HDFC Bank Ltd | 475,296 | ||||||||
| 6,300 | HDFC Bank Ltd ADR | 412,461 | ||||||||
| 5,676 | Hindustan Aeronautics Ltd | 95,864 | ||||||||
| 55,375 | Hindustan Petroleum Corp Ltd | 217,357 | ||||||||
| 17,479 | Hindustan Unilever Ltd | 539,442 | ||||||||
| 11,763 | Hindustan Zinc Ltd * | 52,059 | ||||||||
| 24,716 | Housing Development Finance Corp Ltd | 881,985 | ||||||||
| 82,548 | ICICI Bank Ltd | 777,715 | ||||||||
| 13,500 | ICICI Bank Ltd Sponsored ADR | 249,210 | ||||||||
| 483,416 | Indiabulls Housing Finance Ltd | 1,462,215 | ||||||||
| 61,099 | Indiabulls Real Estate Ltd * | 136,405 | ||||||||
| 59,401 | Indian Oil Corp Ltd | 93,404 | ||||||||
| 1,434 | Indus Towers Ltd | 5,380 | ||||||||
| 13,107 | Infosys Ltd | 298,889 | ||||||||
| 91,000 | Infosys Ltd Sponsored ADR (b) | 2,054,780 | ||||||||
| 6,295 | Ipca Laboratories Ltd | 175,919 | ||||||||
| 1,973,065 | ITC Ltd | 5,811,867 | ||||||||
| 127,481 | Jai Balaji Industries Ltd * | 90,719 | ||||||||
| 282,605 | Karnataka Bank Ltd (The) | 237,203 | ||||||||
| 8 | KEI Industries Ltd | 117 | ||||||||
| 1 | KNR Constructions Ltd | 4 | ||||||||
| 2 | L&T Technology Services Ltd | 140 | ||||||||
| 646 | Larsen & Toubro Infotech Ltd | 58,234 | ||||||||
| 3,461 | Mahanagar Gas Ltd | 42,094 | ||||||||
| 230,077 | Mahindra & Mahindra Ltd | 2,555,549 | ||||||||
| 77 | Manappuram Finance Ltd | 167 | ||||||||
| 13,868 | Marico Ltd | 99,658 | ||||||||
| 13,609 | Mindtree Ltd | 773,987 | ||||||||
| 1 | Mphasis Ltd | 38 | ||||||||
| 44,248 | National Aluminium Co Ltd | 51,863 | ||||||||
| 24,979 | NBCC India Ltd | 13,374 | ||||||||
| 35,842 | NCC Ltd | 33,802 | ||||||||
| 50,102 | NHPC Ltd | 20,765 | ||||||||
| 478,359 | NTPC Ltd | 809,987 | ||||||||
| 3,045 | Oberoi Realty Ltd * | 33,607 | ||||||||
| 2,611,528 | Oil & Natural Gas Corp Ltd | 4,909,564 | ||||||||
| 482 | Oracle Financial Services Software Ltd | 27,061 | ||||||||
| 18,518 | Petronet LNG Ltd | 53,996 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| India — continued | ||||||||||
| 1 | PI Industries Ltd | 38 | ||||||||
| 3 | Polycab India Ltd | 92 | ||||||||
| 1,525,617 | Power Finance Corp Ltd | 2,371,884 | ||||||||
| 114,529 | Power Grid Corp of India Ltd | 314,480 | ||||||||
| 6,569 | Prestige Estates Projects Ltd | 36,767 | ||||||||
| 232,834 | PTC India Ltd | 342,601 | ||||||||
| 56,068 | Rajesh Exports Ltd | 556,172 | ||||||||
| 1,966,852 | REC Ltd | 3,549,083 | ||||||||
| 8,580 | Redington India Ltd | 16,654 | ||||||||
| 5,835 | Reliance Industries Ltd | 186,243 | ||||||||
| 2,047 | Sobha Ltd | 23,200 | ||||||||
| 57,554 | Sun Pharmaceutical Industries Ltd | 575,483 | ||||||||
| 12,668 | Sun TV Network Ltd | 87,515 | ||||||||
| 38,418 | Tata Consultancy Services Ltd | 1,808,532 | ||||||||
| 177,156 | Tata Motors Ltd – Class A * | 605,346 | ||||||||
| 37,922 | Tata Steel Ltd | 537,531 | ||||||||
| 20,805 | Titan Co Ltd | 656,038 | ||||||||
| 679 | United Spirits Ltd * | 7,983 | ||||||||
| 11,076 | UPL Ltd | 100,662 | ||||||||
| 7,963 | Welspun Corp Ltd | 17,358 | ||||||||
| 115,381 | Wipro Ltd | 973,635 | ||||||||
|
|
|
|||||||||
| Total India | 46,105,424 | |||||||||
|
|
|
|||||||||
| Indonesia — 0.4% | ||||||||||
| 5,611,800 | Bank Central Asia Tbk PT | 2,851,513 | ||||||||
| 1,524,900 | Bank Mandiri Persero Tbk PT | 744,425 | ||||||||
| 365,647 | Bank Negara Indonesia Persero Tbk PT | 173,072 | ||||||||
| 2,588,500 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 134,646 | ||||||||
| 6,242,300 | Bank Rakyat Indonesia Persero Tbk PT | 1,778,662 | ||||||||
| 16 | Bank Tabungan Negara Persero Tbk PT * | 2 | ||||||||
| 1,833,500 | Bukit Asam Tbk PT | 333,302 | ||||||||
| 160,300 | Indo Tambangraya Megah Tbk PT | 240,726 | ||||||||
| 138,120 | Pakuwon Jati Tbk PT * | 4,737 | ||||||||
| 963,900 | Panin Financial Tbk PT * | 11,982 | ||||||||
| 611,584 | Ramayana Lestari Sentosa Tbk PT * | 31,557 | ||||||||
| 1,527,900 | Telkom Indonesia Persero Tbk PT | 425,406 | ||||||||
| 17,848 | United Tractors Tbk PT | 26,549 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 6,756,579 | |||||||||
|
|
|
|||||||||
| Ireland — 0.6% | ||||||||||
| 126,103 | AIB Group Plc * | 276,304 | ||||||||
| 298,671 | Bank of Ireland Group Plc * | 1,632,973 | ||||||||
| 3,941 | CRH Plc | 191,590 | ||||||||
| 16,440 | CRH Plc Sponsored ADR | 800,299 | ||||||||
| 15,686 | Glanbia Plc | 202,772 | ||||||||
| 144,213 | Hibernia REIT Plc | 213,148 | ||||||||
| 3,640 | Kingspan Group Plc | 422,055 | ||||||||
| 17,580 | Origin Enterprises Plc | 69,913 | ||||||||
| 13,411 | Permanent TSB Group Holdings Plc * | 23,528 | ||||||||
| 114,409 | Ryanair Holdings Plc * | 1,851,315 | ||||||||
| 16,112 | Ryanair Holdings Plc Sponsored ADR * | 1,539,502 | ||||||||
| 37,459 | Smurfit Kappa Group Plc (c) | 1,919,965 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Ireland — continued | ||||||||||
| 7,054 | Smurfit Kappa Group Plc (c) | 358,636 | ||||||||
|
|
|
|||||||||
| Total Ireland | 9,502,000 | |||||||||
|
|
|
|||||||||
| Israel — 0.4% | ||||||||||
| 125,993 | Bank Leumi Le-Israel BM | 1,212,382 | ||||||||
| 19,000 | Check Point Software Technologies Ltd * | 2,114,890 | ||||||||
| 530 | Fox Wizel Ltd | 90,705 | ||||||||
| 29,050 | Isracard Ltd | 127,176 | ||||||||
| 393 | Israel Corp Ltd (The) * | 149,510 | ||||||||
| 424,975 | Oil Refineries Ltd * | 108,895 | ||||||||
| 284,700 | Teva Pharmaceutical Industries Ltd Sponsored ADR * | 2,348,775 | ||||||||
|
|
|
|||||||||
| Total Israel | 6,152,333 | |||||||||
|
|
|
|||||||||
| Italy — 1.1% | ||||||||||
| 68,272 | A2A SPA | 133,203 | ||||||||
| 12,314 | ACEA SPA | 250,374 | ||||||||
| 15,804 | Anima Holding SPA | 74,389 | ||||||||
| 4,490 | Azimut Holding SPA | 124,187 | ||||||||
| 12,361 | Banca IFIS SPA | 205,995 | ||||||||
| 99,492 | Banco BPM SPA (a) | 277,137 | ||||||||
| 1,217 | Buzzi Unicem SPA | 25,453 | ||||||||
| 1,175 | Cementir Holding NV | 10,852 | ||||||||
| 55,960 | Cofide SPA * | 30,868 | ||||||||
| 22,116 | Credito Emiliano SPA | 143,437 | ||||||||
| 6,583 | De’ Longhi SPA | 220,702 | ||||||||
| 3,364 | El.En. SPA (b) | 57,779 | ||||||||
| 134,357 | Enel SPA | 1,018,072 | ||||||||
| 5,724 | Esprinet SPA | 77,612 | ||||||||
| 77,471 | EXOR NV | 6,791,960 | ||||||||
| 7,669 | Hera SPA | 29,464 | ||||||||
| 159,965 | Italgas SPA | 1,006,060 | ||||||||
| 9,031 | La Doria SPA | 168,633 | ||||||||
| 171,355 | Leonardo SPA * (a) | 1,159,145 | ||||||||
| 41,761 | Mediobanca Banca di Credito Finanziario SPA | 461,950 | ||||||||
| 97,203 | Poste Italiane SPA (a) | 1,222,404 | ||||||||
| 2,567,778 | Telecom Italia SPA (a) | 1,334,181 | ||||||||
| 5,195,194 | Telecom Italia SPA – RSP | 2,537,223 | ||||||||
| 7,364 | Unieuro SPA | 168,798 | ||||||||
| 210,029 | Unipol Gruppo SPA | 1,090,908 | ||||||||
|
|
|
|||||||||
| Total Italy | 18,620,786 | |||||||||
|
|
|
|||||||||
| Japan — 12.7% | ||||||||||
| 5,400 | ADEKA Corp | 113,979 | ||||||||
| 20,700 | Aeon Delight Co Ltd | 647,628 | ||||||||
| 195,600 | Aeon Mall Co Ltd (b) | 2,770,505 | ||||||||
| 44,400 | AGC Inc | 2,162,146 | ||||||||
| 6,100 | Aichi Corp | 41,940 | ||||||||
| 12,400 | Aisin Corp | 455,031 | ||||||||
| 75,300 | Amano Corp | 1,648,774 | ||||||||
| 6,600 | AOKI Holdings Inc | 35,675 | ||||||||
| 2,100 | Arcland Sakamoto Co Ltd | 30,635 | ||||||||
| 56,900 | Arcs Co Ltd | 1,038,657 | ||||||||
| 338,600 | Asahi Kasei Corp | 3,165,891 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 133,000 | Astellas Pharma Inc | 2,085,486 | ||||||||
| 3,600 | Bando Chemical Industries Ltd | 26,901 | ||||||||
| 76,200 | Brother Industries Ltd | 1,307,778 | ||||||||
| 8,500 | Calbee Inc | 190,973 | ||||||||
| 2,500 | Canon Electronics Inc | 32,782 | ||||||||
| 38,500 | Canon Inc | 846,720 | ||||||||
| 11,000 | Canon Marketing Japan Inc | 212,321 | ||||||||
| 1,600 | Cawachi Ltd | 30,494 | ||||||||
| 3,400 | Central Glass Co Ltd | 58,052 | ||||||||
| 1,600 | Chiyoda Integre Co Ltd | 30,545 | ||||||||
| 121,700 | Chugoku Marine Paints Ltd | 923,874 | ||||||||
| 4,300 | CONEXIO Corp | 53,328 | ||||||||
| 23,100 | Dai Nippon Printing Co Ltd | 542,160 | ||||||||
| 5,400 | Dai Nippon Toryo Co Ltd | 37,618 | ||||||||
| 1,500 | Dai-Dan Co Ltd | 27,095 | ||||||||
| 1,800 | Dai-ichi Life Holdings Inc | 36,062 | ||||||||
| 31,500 | Daihen Corp | 1,190,167 | ||||||||
| 1,400 | Daiichi Jitsugyo Co Ltd | 60,444 | ||||||||
| 47,500 | Daiwa House Industry Co Ltd (b) | 1,379,405 | ||||||||
| 280,600 | Daiwabo Holdings Co Ltd | 4,452,432 | ||||||||
| 94,300 | Denka Co Ltd | 2,759,716 | ||||||||
| 800 | Dowa Holdings Co Ltd | 29,551 | ||||||||
| 4,400 | DTS Corp (b) | 91,679 | ||||||||
| 3,200 | Ehime Bank Ltd (The) | 20,305 | ||||||||
| 1,300 | Eizo Corp | 45,097 | ||||||||
| 31,000 | Electric Power Development Co Ltd | 392,780 | ||||||||
| 181,800 | EXEO Group Inc | 3,850,879 | ||||||||
| 99,200 | Fuji Corp | 2,165,187 | ||||||||
| 2,400 | FUJIFILM Holdings Corp | 188,787 | ||||||||
| 700 | Fujimori Kogyo Co Ltd | 22,104 | ||||||||
| 12,800 | Fujitsu Ltd (b) | 2,115,632 | ||||||||
| 2,600 | Furuno Electric Co Ltd | 26,174 | ||||||||
| 6,000 | G-7 Holdings Inc | 87,383 | ||||||||
| 9,300 | Hanwa Co Ltd | 251,179 | ||||||||
| 221,200 | Haseko Corp | 2,627,232 | ||||||||
| 293,700 | Hazama Ando Corp | 2,176,449 | ||||||||
| 1,800 | Heiwado Co Ltd | 29,381 | ||||||||
| 77,800 | Hitachi Ltd | 4,557,380 | ||||||||
| 5,100 | Hitachi Zosen Corp | 37,655 | ||||||||
| 34,500 | Hogy Medical Co Ltd (b) | 911,878 | ||||||||
| 181,400 | Honda Motor Co Ltd | 4,967,596 | ||||||||
| 11,700 | Horiba Ltd | 693,930 | ||||||||
| 2,300 | Hyakujushi Bank Ltd (The) | 27,365 | ||||||||
| 41,700 | Iida Group Holdings Co Ltd | 861,120 | ||||||||
| 89,400 | Inabata & Co Ltd | 1,202,649 | ||||||||
| 369,600 | Inpex Corp | 3,024,286 | ||||||||
| 39,300 | Isuzu Motors Ltd | 526,723 | ||||||||
| 187,900 | ITOCHU Corp | 5,373,584 | ||||||||
| 3,700 | Itochu Enex Co Ltd | 30,988 | ||||||||
| 600 | Itochu-Shokuhin Co Ltd | 26,006 | ||||||||
| 23,300 | Itoham Yonekyu Holdings Inc | 131,703 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 11,600 | Itoki Corp | 34,937 | ||||||||
| 6,800 | Jaccs Co Ltd | 164,586 | ||||||||
| 15,300 | JAFCO Group Co Ltd | 955,977 | ||||||||
| 13,200 | Japan Post Insurance Co Ltd | 203,907 | ||||||||
| 32,500 | Japan Tobacco Inc | 647,298 | ||||||||
| 23,400 | JFE Holdings Inc | 266,709 | ||||||||
| 2,300 | Juroku Financial Group Inc | 40,043 | ||||||||
| 173,800 | JVCKenwood Corp | 252,482 | ||||||||
| 310,800 | K’s Holdings Corp | 3,145,537 | ||||||||
| 3,200 | Kadokawa Corp | 169,592 | ||||||||
| 5,100 | Kaga Electronics Co Ltd | 131,286 | ||||||||
| 111,300 | Kajima Corp | 1,224,058 | ||||||||
| 3,500 | Kamei Corp | 30,571 | ||||||||
| 34,500 | Kanamoto Co Ltd | 654,321 | ||||||||
| 18,200 | Kandenko Co Ltd | 129,534 | ||||||||
| 2,800 | Kaneka Corp | 91,047 | ||||||||
| 122,500 | Kanematsu Corp | 1,324,690 | ||||||||
| 1,700 | Kato Sangyo Co Ltd | 47,402 | ||||||||
| 247,300 | KDDI Corp | 7,175,448 | ||||||||
| 22,900 | Kinden Corp | 331,482 | ||||||||
| 159,500 | Kirin Holdings Co Ltd | 2,541,262 | ||||||||
| 1,697 | Kohnan Shoji Co Ltd | 49,655 | ||||||||
| 13,300 | Kokuyo Co Ltd | 194,463 | ||||||||
| 15,401 | Komeri Co Ltd | 332,039 | ||||||||
| 202,774 | Konica Minolta Inc | 834,967 | ||||||||
| 81,800 | Konoike Transport Co Ltd | 784,477 | ||||||||
| 1,900 | Kumagai Gumi Co Ltd | 43,863 | ||||||||
| 5,100 | Kyokuto Kaihatsu Kogyo Co Ltd | 62,882 | ||||||||
| 98,800 | Kyudenko Corp | 2,915,101 | ||||||||
| 4,200 | Lintec Corp | 92,274 | ||||||||
| 94,900 | Macromill Inc | 767,642 | ||||||||
| 116,200 | Mandom Corp | 1,458,065 | ||||||||
| 48,800 | Marubeni Corp | 436,388 | ||||||||
| 900 | Maruha Nichiro Corp | 17,997 | ||||||||
| 117,800 | Maruichi Steel Tube Ltd | 2,511,701 | ||||||||
| 2,100 | Maruzen Showa Unyu Co Ltd | 58,557 | ||||||||
| 103,700 | Maxell Ltd | 1,195,457 | ||||||||
| 21,700 | MCJ Co Ltd | 189,099 | ||||||||
| 1,300 | Melco Holdings Inc | 44,605 | ||||||||
| 1,000 | Mitsubishi Corp | 29,734 | ||||||||
| 5,500 | Mitsubishi Gas Chemical Co Inc | 90,962 | ||||||||
| 3,400 | Mitsubishi Research Institute Inc (b) | 111,062 | ||||||||
| 1,400 | Mitsubishi Shokuhin Co Ltd | 33,229 | ||||||||
| 1,215,600 | Mitsubishi UFJ Financial Group Inc | 6,420,047 | ||||||||
| 3,100 | Mitsuboshi Belting Ltd | 52,727 | ||||||||
| 22,100 | Mitsui & Co Ltd | 496,883 | ||||||||
| 20,100 | Mitsui Chemicals Inc | 535,402 | ||||||||
| 6,200 | Mitsui DM Sugar Holdings Co Ltd | 101,641 | ||||||||
| 16,595 | Mixi Inc | 295,563 | ||||||||
| 90,800 | Morinaga & Co Ltd | 2,823,606 | ||||||||
| 116,400 | MS&AD Insurance Group Holdings Inc | 3,394,064 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 20,300 | NEC Networks & System Integration Corp (b) | 323,864 | ||||||||
| 2,100 | NGK Insulators Ltd | 33,165 | ||||||||
| 92,300 | NH Foods Ltd | 3,137,905 | ||||||||
| 4,700 | Nichias Corp | 106,035 | ||||||||
| 5,500 | Nichiha Corp | 134,948 | ||||||||
| 6,100 | Nichireki Co Ltd | 70,088 | ||||||||
| 2,400 | Nikon Corp | 24,845 | ||||||||
| 9,700 | Nippn Corp | 133,932 | ||||||||
| 16,700 | Nippo Corp | 590,093 | ||||||||
| 2,000 | Nippon Densetsu Kogyo Co Ltd | 27,241 | ||||||||
| 2,200 | Nippon Soda Co Ltd | 61,955 | ||||||||
| 6,500 | Nippon Steel Corp | 95,834 | ||||||||
| 1,000 | Nippon Steel Trading Corp | 40,497 | ||||||||
| 43,200 | Nippon Suisan Kaisha Ltd | 217,697 | ||||||||
| 209,600 | Nippon Telegraph & Telephone Corp | 5,767,326 | ||||||||
| 42,900 | Nippon Television Holdings Inc | 432,762 | ||||||||
| 1,500 | Nissin Corp | 20,119 | ||||||||
| 3,600 | Nissin Electric Co Ltd | 44,887 | ||||||||
| 6,300 | Nojima Corp | 123,429 | ||||||||
| 18,600 | Nomura Real Estate Holdings Inc (b) | 403,295 | ||||||||
| 409,300 | Obayashi Corp | 3,006,295 | ||||||||
| 17,800 | Okamura Corp | 199,491 | ||||||||
| 13,300 | Organo Corp | 798,521 | ||||||||
| 407,200 | ORIX Corp | 8,023,228 | ||||||||
| 54,500 | Osaka Gas Co Ltd | 875,493 | ||||||||
| 1,700 | Osaka Soda Co Ltd | 38,189 | ||||||||
| 115,500 | Pacific Industrial Co Ltd | 1,066,234 | ||||||||
| 12,900 | Panasonic Corp | 140,643 | ||||||||
| 250,000 | Penta-Ocean Construction Co Ltd | 1,428,982 | ||||||||
| 4,300 | Prima Meat Packers Ltd | 89,724 | ||||||||
| 5,700 | Proto Corp | 63,910 | ||||||||
| 5,900 | Raito Kogyo Co Ltd | 105,144 | ||||||||
| 30,500 | Resona Holdings Inc | 111,388 | ||||||||
| 2,500 | Restar Holdings Corp | 40,709 | ||||||||
| 900 | Rion Co Ltd | 16,937 | ||||||||
| 18,000 | Rohm Co Ltd | 1,671,555 | ||||||||
| 2,800 | Roland DG Corp (a) | 63,728 | ||||||||
| 1,300 | Ryobi Ltd | 11,508 | ||||||||
| 18,400 | San-A Co Ltd | 647,741 | ||||||||
| 9,200 | San-Ai Oil Co Ltd | 95,761 | ||||||||
| 10,800 | Sanki Engineering Co Ltd | 130,644 | ||||||||
| 60,400 | Sankyu Inc | 2,392,200 | ||||||||
| 8,300 | Sanwa Holdings Corp | 88,540 | ||||||||
| 45,700 | Sawai Group Holdings Co Ltd | 1,692,327 | ||||||||
| 40,000 | Secom Co Ltd | 2,707,687 | ||||||||
| 207,000 | Sega Sammy Holdings Inc (a) | 3,360,511 | ||||||||
| 19,800 | Seiko Epson Corp | 319,245 | ||||||||
| 3,500 | Seiko Holdings Corp | 67,652 | ||||||||
| 5,300 | Sekisui Chemical Co Ltd | 86,096 | ||||||||
| 160,100 | Sekisui House Ltd | 3,111,512 | ||||||||
| 2,900 | Sekisui Jushi Corp | 51,444 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 10,300 | Shimamura Co Ltd | 879,932 | ||||||||
| 233,400 | Shimizu Corp | 1,470,434 | ||||||||
| 10,600 | Shizuoka Gas Co Ltd | 90,360 | ||||||||
| 800 | Sinanen Holdings Co Ltd | 24,135 | ||||||||
| 3,600 | Sinko Industries Ltd | 58,178 | ||||||||
| 249,100 | SKY Perfect JSAT Holdings Inc | 888,556 | ||||||||
| 86,460 | Sojitz Corp | 1,217,314 | ||||||||
| 95,700 | Stanley Electric Co Ltd | 2,486,411 | ||||||||
| 46,700 | Subaru Corp | 879,553 | ||||||||
| 842,300 | Sumitomo Chemical Co Ltd | 3,863,670 | ||||||||
| 20,500 | Sumitomo Corp | 279,113 | ||||||||
| 200,500 | Sumitomo Dainippon Pharma Co Ltd (a) | 2,443,588 | ||||||||
| 1,000 | Sumitomo Electric Industries Ltd | 13,089 | ||||||||
| 168,600 | Sumitomo Forestry Co Ltd | 3,378,757 | ||||||||
| 3,400 | Sumitomo Heavy Industries Ltd | 75,035 | ||||||||
| 87,500 | Sumitomo Mitsui Trust Holdings Inc | 2,733,104 | ||||||||
| 4,600 | Sumitomo Rubber Industries Ltd | 46,103 | ||||||||
| 1,500 | Sumitomo Seika Chemicals Co Ltd | 39,879 | ||||||||
| 6,600 | Suzuki Motor Corp | 266,426 | ||||||||
| 31,700 | T Hasegawa Co Ltd | 785,680 | ||||||||
| 4,000 | T-Gaia Corp | 56,868 | ||||||||
| 80,200 | Tachi-S Co Ltd | 807,547 | ||||||||
| 54,800 | Taisei Corp | 1,595,287 | ||||||||
| 116,900 | Takara Holdings Inc | 1,252,437 | ||||||||
| 32,900 | Takara Leben Co Ltd | 77,175 | ||||||||
| 2,500 | Takeuchi Manufacturing Co Ltd | 59,303 | ||||||||
| 133,000 | Takuma Co Ltd | 1,600,348 | ||||||||
| 3,000 | Tamron Co Ltd | 66,429 | ||||||||
| 247,600 | Teijin Ltd | 2,828,017 | ||||||||
| 68,800 | TIS Inc (b) | 2,120,740 | ||||||||
| 71,400 | Toho Holdings Co Ltd (b) | 1,063,544 | ||||||||
| 853,500 | Tokyo Electric Power Co Holdings Inc * | 2,277,342 | ||||||||
| 25,400 | Tokyo Gas Co Ltd | 434,537 | ||||||||
| 82,300 | Tokyo Seimitsu Co Ltd | 3,453,849 | ||||||||
| 35,800 | Tokyu Construction Co Ltd | 202,949 | ||||||||
| 6,700 | Tokyu Fudosan Holdings Corp (b) | 34,524 | ||||||||
| 224,300 | Toppan Inc | 3,399,942 | ||||||||
| 81,400 | Toray Industries Inc | 470,654 | ||||||||
| 110,300 | Tosei Corp (a) | 935,481 | ||||||||
| 211,384 | Tosoh Corp | 3,022,005 | ||||||||
| 8,300 | Towa Pharmaceutical Co Ltd | 192,067 | ||||||||
| 35,400 | Toyo Construction Co Ltd | 162,814 | ||||||||
| 28,100 | Toyota Boshoku Corp | 552,873 | ||||||||
| 36,700 | Toyota Industries Corp | 3,010,208 | ||||||||
| 13,900 | Toyota Tsusho Corp | 601,928 | ||||||||
| 2,200 | TPR Co Ltd | 26,471 | ||||||||
| 3,500 | TS Tech Co Ltd | 41,027 | ||||||||
| 100 | Tsubakimoto Chain Co | 2,517 | ||||||||
| 70,000 | Tsumura & Co | 1,993,690 | ||||||||
| 11,900 | Ulvac Inc | 679,048 | ||||||||
| 5,300 | Wacoal Holdings Corp | 94,012 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 400 | World Holdings Co Ltd | 8,904 | ||||||||
| 13,400 | YAMABIKO Corp | 147,244 | ||||||||
| 34,900 | Yamada Holdings Co Ltd | 121,953 | ||||||||
| 8,700 | Yamaha Motor Co Ltd | 218,792 | ||||||||
| 5,300 | Yamazen Corp | 45,350 | ||||||||
| 4,900 | Yellow Hat Ltd | 66,969 | ||||||||
| 42,100 | Yokogawa Bridge Holdings Corp | 785,546 | ||||||||
| 20,800 | Yokohama Rubber Co Ltd (The) | 323,004 | ||||||||
| 5,500 | Yuasa Trading Co Ltd | 135,426 | ||||||||
| 71,700 | Zenkoku Hosho Co Ltd (a) | 3,128,851 | ||||||||
|
|
|
|||||||||
| Total Japan | 215,134,142 | |||||||||
|
|
|
|||||||||
| Kuwait — 0.1% | ||||||||||
| 18,005 | Humansoft Holding Co KSC | 190,820 | ||||||||
| 760,795 | Kuwait Finance House KSCP | 1,990,821 | ||||||||
| 8,771 | Mobile Telecommunications Co KSCP | 16,508 | ||||||||
| 4,125 | National Bank of Kuwait SAKP | 13,451 | ||||||||
|
|
|
|||||||||
| Total Kuwait | 2,211,600 | |||||||||
|
|
|
|||||||||
| Luxembourg — 0.0% | ||||||||||
| 14,600 | Ternium SA Sponsored ADR | 557,574 | ||||||||
|
|
|
|||||||||
| Malaysia — 0.0% | ||||||||||
| 216,400 | DRB-Hicom Bhd | 79,115 | ||||||||
| 116,300 | Kossan Rubber Industries Bhd | 59,372 | ||||||||
| 283,900 | Supermax Corp Bhd | 126,732 | ||||||||
| 77,800 | Syarikat Takaful Malaysia Keluarga Bhd | 67,213 | ||||||||
| 485,300 | Top Glove Corp Bhd | 337,586 | ||||||||
| 98,700 | Westports Holdings Bhd | 94,795 | ||||||||
|
|
|
|||||||||
| Total Malaysia | 764,813 | |||||||||
|
|
|
|||||||||
| Mexico — 1.2% | ||||||||||
| 20,236 | America Movil SAB de CV – Class L Sponsored ADR | 352,511 | ||||||||
| 258,500 | America Movil SAB de CV – Series L | 226,282 | ||||||||
| 50,612 | Arca Continental SAB de CV | 308,617 | ||||||||
| 181,300 | Banco del Bajio SA | 305,993 | ||||||||
| 311,700 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander | 383,183 | ||||||||
| 6,076 | Coca-Cola Femsa SAB de CV Sponsored ADR | 298,453 | ||||||||
| 495,200 | Credito Real SAB de CV SOFOM ER * | 172,053 | ||||||||
| 69,492 | El Puerto de Liverpool SAB de CV – Class C1 | 265,329 | ||||||||
| 19,996 | Fibra Uno Administracion SA de CV (REIT) | 18,418 | ||||||||
| 435,644 | Fomento Economico Mexicano SAB de CV | 3,090,599 | ||||||||
| 16,900 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 1,195,506 | ||||||||
| 370,508 | Gentera SAB de CV * | 189,034 | ||||||||
| 3,039 | Grupo Aeroportuario del Centro Norte SAB de CV * | 17,236 | ||||||||
| 239,500 | Grupo Bimbo SAB de CV – Series A | 631,518 | ||||||||
| 907,300 | Grupo Financiero Banorte SAB de CV – Class O | 5,405,083 | ||||||||
| 25,856 | Grupo Financiero Inbursa SAB de CV – Class O * | 24,816 | ||||||||
| 1,245,285 | Grupo Mexico SAB de CV – Series B | 5,186,727 | ||||||||
| 90,500 | Industrias Bachoco SAB de CV – Series B | 301,730 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Mexico — continued | ||||||||||
| 42,556 | Kimberly-Clark de Mexico SAB de CV – Class A | 67,002 | ||||||||
| 199,000 | Nemak SAB de CV * | 54,013 | ||||||||
| 81,900 | Qualitas Controladora SAB de CV | 356,399 | ||||||||
| 27,100 | Regional SAB de CV | 127,838 | ||||||||
| 8,151 | Unifin Financiera SAB de CV SOFOM ENR * | 12,753 | ||||||||
| 716,900 | Wal-Mart de Mexico SAB de CV | 2,253,425 | ||||||||
|
|
|
|||||||||
| Total Mexico | 21,244,518 | |||||||||
|
|
|
|||||||||
| Netherlands — 1.4% | ||||||||||
| 87,247 | ABN AMRO Bank NV CVA (a) | 1,245,273 | ||||||||
| 30,880 | Aegon NV | 136,299 | ||||||||
| 38,700 | AerCap Holdings NV * | 2,168,748 | ||||||||
| 7,308 | ASR Nederland NV | 312,090 | ||||||||
| 11,846 | ForFarmers NV | 46,520 | ||||||||
| 163,086 | ING Groep NV | 2,252,780 | ||||||||
| 48,144 | JDE Peet’s NV (a) | 1,312,145 | ||||||||
| 107,220 | Koninklijke Ahold Delhaize NV | 3,607,927 | ||||||||
| 15,498 | Koninklijke KPN NV | 45,652 | ||||||||
| 59,332 | NN Group NV | 2,948,175 | ||||||||
| 176,188 | PostNL NV | 752,543 | ||||||||
| 66,058 | Randstad NV | 4,168,319 | ||||||||
| 67,443 | Signify NV | 3,078,960 | ||||||||
| 84,719 | Stellantis NV | 1,450,750 | ||||||||
| 2,232 | Van Lanschot Kempen NV | 52,835 | ||||||||
| 1,112 | Wolters Kluwer NV | 125,056 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 23,704,072 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.1% | ||||||||||
| 271,152 | Meridian Energy Ltd | 871,996 | ||||||||
|
|
|
|||||||||
| Norway — 0.5% | ||||||||||
| 24,378 | Austevoll Seafood ASA | 265,569 | ||||||||
| 30,967 | BW LPG Ltd | 156,209 | ||||||||
| 28,500 | Equinor ASA | 713,097 | ||||||||
| 69,468 | Europris ASA | 479,653 | ||||||||
| 11,430 | Kongsberg Gruppen ASA | 335,566 | ||||||||
| 585,151 | Norsk Hydro ASA | 3,789,488 | ||||||||
| 161,686 | Orkla ASA | 1,477,938 | ||||||||
| 14,029 | Sbanken ASA | 146,171 | ||||||||
| 11,817 | Selvaag Bolig ASA (b) | 60,625 | ||||||||
| 14,076 | SpareBank 1 Nord Norge | 159,829 | ||||||||
| 19,287 | SpareBank 1 SMN | 293,827 | ||||||||
| 42,608 | SpareBank 1 SR-Bank ASA | 588,776 | ||||||||
|
|
|
|||||||||
| Total Norway | 8,466,748 | |||||||||
|
|
|
|||||||||
| Peru — 0.0% | ||||||||||
| 3,784 | Credicorp Ltd | 446,512 | ||||||||
| 3,636 | Southern Copper Corp | 212,706 | ||||||||
|
|
|
|||||||||
| Total Peru | 659,218 | |||||||||
|
|
|
|||||||||
| Philippines — 0.0% | ||||||||||
| 10,800 | GT Capital Holdings Inc | 121,850 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Philippines — continued | ||||||||||
| 4,691 | Manila Electric Co | 26,772 | ||||||||
| 758,080 | Megaworld Corp | 47,186 | ||||||||
| 686,400 | Metro Pacific Investments Corp | 55,129 | ||||||||
| 76,600 | Puregold Price Club Inc | 62,424 | ||||||||
| 80,750 | Semirara Mining & Power Corp | 36,619 | ||||||||
|
|
|
|||||||||
| Total Philippines | 349,980 | |||||||||
|
|
|
|||||||||
| Poland — 0.3% | ||||||||||
| 14,716 | Asseco Poland SA | 314,973 | ||||||||
| 61,484 | Bank Polska Kasa Opieki SA | 1,775,482 | ||||||||
| 3,461 | Budimex SA | 183,130 | ||||||||
| 92,076 | Polski Koncern Naftowy ORLEN SA | 1,607,728 | ||||||||
| 624,529 | Polskie Gornictwo Naftowe i Gazownictwo SA | 842,207 | ||||||||
| 83,628 | Powszechna Kasa Oszczednosci Bank Polski SA * | 883,824 | ||||||||
| 17,142 | Powszechny Zaklad Ubezpieczen SA | 149,482 | ||||||||
| 2,205 | Santander Bank Polska SA | 195,836 | ||||||||
|
|
|
|||||||||
| Total Poland | 5,952,662 | |||||||||
|
|
|
|||||||||
| Portugal — 0.3% | ||||||||||
| 42,777 | Altri SGPS SA | 237,614 | ||||||||
| 4,133,274 | Banco Comercial Portugues SA – Class R * (a) | 672,719 | ||||||||
| 58,611 | CTT – Correios de Portugal SA | 276,474 | ||||||||
| 107,433 | EDP – Energias de Portugal SA | 588,727 | ||||||||
| 206,071 | Galp Energia SGPS SA | 1,933,861 | ||||||||
| 2,023 | Jeronimo Martins SGPS SA | 44,141 | ||||||||
| 45,036 | Navigator Co SA (The) | 159,025 | ||||||||
| 85,939 | NOS SGPS SA | 328,017 | ||||||||
| 1,210 | REN – Redes Energeticas Nacionais SGPS SA | 3,383 | ||||||||
| 626,748 | Sonae SGPS SA | 671,650 | ||||||||
|
|
|
|||||||||
| Total Portugal | 4,915,611 | |||||||||
|
|
|
|||||||||
| Qatar — 0.1% | ||||||||||
| 6,714 | Qatar Electricity & Water Co QSC | 30,391 | ||||||||
| 7,568 | Qatar Gas Transport Co Ltd | 6,851 | ||||||||
| 168,700 | Qatar National Bank QPSC | 896,802 | ||||||||
| 35,073 | Qatar National Cement Co QSC | 49,296 | ||||||||
|
|
|
|||||||||
| Total Qatar | 983,340 | |||||||||
|
|
|
|||||||||
| Russia — 3.1% | ||||||||||
| 2,604,930 | Alrosa PJSC | 4,528,431 | ||||||||
| 10,290 | Detsky Mir PJSC | 19,226 | ||||||||
| 174,730,000 | Federal Grid Co Unified Energy System PJSC | 394,366 | ||||||||
| 68,395 | Fix Price Group Ltd GDR (d) | 524,590 | ||||||||
| 67,700 | Gazprom Neft PJSC | 454,097 | ||||||||
| 3,296 | Gazprom Neft PJSC Sponsored ADR | 110,296 | ||||||||
| 495,510 | Gazprom PJSC | 2,223,481 | ||||||||
| 566,068 | Gazprom PJSC Sponsored ADR | 5,021,530 | ||||||||
| 7,736 | Globaltrans Investment Plc Sponsored GDR (Registered) | 54,634 | ||||||||
| 7,538,900 | Inter RAO UES PJSC | 435,145 | ||||||||
| 19,776 | LSR Group PJSC | 199,262 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Russia — continued | ||||||||||
| 1 | LSR Group PJSC GDR (Registered) (d) | 2 | ||||||||
| 26,106 | LUKOIL PJSC | 2,300,065 | ||||||||
| 49,340 | LUKOIL PJSC Sponsored ADR | 4,279,331 | ||||||||
| 1,223 | M.Video PJSC | 9,106 | ||||||||
| 21,108 | Magnit PJSC Sponsored GDR (Registered) | 325,410 | ||||||||
| 1,087,180 | Magnitogorsk Iron & Steel Works PJSC | 873,095 | ||||||||
| 30,345 | Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) | 314,456 | ||||||||
| 12,700 | Mechel PJSC Sponsored ADR * | 36,449 | ||||||||
| 41,967 | MMC Norilsk Nickel PJSC ADR | 1,201,571 | ||||||||
| 57,930 | Mobile TeleSystems PJSC | 228,389 | ||||||||
| 20,400 | Mobile TeleSystems PJSC Sponsored ADR | 163,404 | ||||||||
| 523,360 | Moscow Exchange MICEX-RTS PJSC | 1,069,817 | ||||||||
| 3,294,000 | Mosenergo PJSC | 94,652 | ||||||||
| 700 | Novatek PJSC Sponsored GDR (Registered) | 152,705 | ||||||||
| 117,310 | Novolipetsk Steel PJSC | 341,647 | ||||||||
| 100,884 | Novolipetsk Steel PJSC GDR | 2,908,611 | ||||||||
| 16,469 | PhosAgro PJSC GDR (Registered) | 363,211 | ||||||||
| 115,053 | Polymetal International Plc | 2,098,972 | ||||||||
| 812 | Polyus PJSC | 158,279 | ||||||||
| 17,696 | Polyus PJSC GDR (Registered) | 1,691,502 | ||||||||
| 1,352 | QIWI Plc Sponsored ADR (c) | 11,526 | ||||||||
| 50,100 | QIWI Plc Sponsored ADR (c) | 428,856 | ||||||||
| 1,879,040 | ROSSETI PJSC | 32,108 | ||||||||
| 30,366,000 | RusHydro PJSC | 300,538 | ||||||||
| 9,562 | RusHydro PJSC ADR | 8,886 | ||||||||
| 13,580 | Safmar Financial Investment * | 93,677 | ||||||||
| 1,287,420 | Sberbank of Russia PJSC | 5,493,395 | ||||||||
| 346,801 | Sberbank of Russia PJSC Sponsored ADR | 5,844,137 | ||||||||
| 80,930 | Severstal PAO GDR (Registered) | 1,693,512 | ||||||||
| 425 | Severstal PJSC | 9,012 | ||||||||
| 2,709,800 | Surgutneftegas PJSC | 1,343,222 | ||||||||
| 335,920 | Surgutneftegas PJSC Sponsored ADR | 1,630,849 | ||||||||
| 40,467 | Tatneft PJSC Sponsored ADR | 1,530,761 | ||||||||
| 1,443 | TCS Group Holding Plc GDR (Registered) (c) | 140,843 | ||||||||
| 3,349 | TCS Group Holding Plc GDR (Registered) (c) | 319,414 | ||||||||
| 1,383,000 | Unipro PJSC | 50,928 | ||||||||
| 50,950 | United Co Rusal International PJSC * | 47,283 | ||||||||
| 16,606 | X5 Retail Group NV GDR (Registered) | 459,227 | ||||||||
|
|
|
|||||||||
| Total Russia | 52,013,906 | |||||||||
|
|
|
|||||||||
| Saudi Arabia — 0.0% | ||||||||||
| 8,792 | Al Rajhi Bank | 308,916 | ||||||||
|
|
|
|||||||||
| Singapore — 0.6% | ||||||||||
| 33,900 | AIMS APAC REIT | 34,771 | ||||||||
| 67,200 | Ascendas India Trust | 68,333 | ||||||||
| 83,900 | Ascendas Real Estate Investment Trust (REIT) | 179,304 | ||||||||
| 204,100 | Asian Pay Television Trust | 20,476 | ||||||||
| 243,100 | CapitaLand Integrated Commercial Trust (REIT) | 374,727 | ||||||||
| 93,594 | Capitaland Investment Ltd * | 230,461 | ||||||||
| 228,800 | ComfortDelGro Corp Ltd | 229,382 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Singapore — continued | ||||||||||
| 93,135 | DBS Group Holdings Ltd | 2,028,723 | ||||||||
| 187,200 | First Real Estate Investment Trust | 39,833 | ||||||||
| 1,318,100 | Golden Agri-Resources Ltd | 251,128 | ||||||||
| 391,840 | Japfa Ltd (a) | 171,842 | ||||||||
| 51,516 | Jardine Cycle & Carriage Ltd | 797,439 | ||||||||
| 103,900 | Keppel Corp Ltd | 387,266 | ||||||||
| 78,000 | Lendlease Global Commercial (REIT) | 50,239 | ||||||||
| 136,600 | Sasseur Real Estate Investment Trust | 88,985 | ||||||||
| 120,700 | Sembcorp Industries Ltd | 165,840 | ||||||||
| 27,500 | Sheng Siong Group Ltd | 29,400 | ||||||||
| 329,700 | Silverlake Axis Ltd. | 68,719 | ||||||||
| 700 | Singapore Exchange Ltd | 4,570 | ||||||||
| 142,200 | StarHub Ltd | 137,239 | ||||||||
| 323,200 | Wilmar International Ltd | 969,338 | ||||||||
| 3,609,899 | Yangzijiang Shipbuilding Holdings Ltd | 3,426,903 | ||||||||
| 338,000 | Yanlord Land Group Ltd | 269,311 | ||||||||
|
|
|
|||||||||
| Total Singapore | 10,024,229 | |||||||||
|
|
|
|||||||||
| South Africa — 1.0% | ||||||||||
| 660,280 | Absa Group Ltd | 5,543,989 | ||||||||
| 32,985 | Aspen Pharmacare Holdings Ltd | 493,395 | ||||||||
| 19,085 | Astral Foods Ltd | 204,575 | ||||||||
| 67,463 | Barloworld Ltd | 640,647 | ||||||||
| 123,493 | Bidvest Group Ltd (The) | 1,396,958 | ||||||||
| 77,272 | Blue Label Telecoms Ltd * | 23,361 | ||||||||
| 18,037 | FirstRand Ltd | 63,077 | ||||||||
| 57,029 | Imperial Logistics Ltd | 224,774 | ||||||||
| 48,127 | Investec Ltd | 243,709 | ||||||||
| 73,308 | Kumba Iron Ore Ltd | 2,075,417 | ||||||||
| 18,305 | Lewis Group Ltd | 55,291 | ||||||||
| 31,586 | Metair Investments Ltd | 53,095 | ||||||||
| 107,452 | Motus Holdings Ltd | 720,249 | ||||||||
| 171,506 | MTN Group Ltd * | 1,730,013 | ||||||||
| 5,887 | Naspers Ltd – N Shares | 901,690 | ||||||||
| 74,418 | Old Mutual Ltd | 56,777 | ||||||||
| 182,255 | Pepkor Holdings Ltd * | 250,700 | ||||||||
| 30,943 | Raubex Group Ltd | 69,575 | ||||||||
| 53,338 | Reunert Ltd | 162,632 | ||||||||
| 492,133 | RMB Holdings Ltd | 45,566 | ||||||||
| 358,152 | Telkom SA SOC Ltd * | 1,178,096 | ||||||||
| 142,525 | Truworths International Ltd | 445,934 | ||||||||
| 90,743 | Tsogo Sun Gaming Ltd * | 54,198 | ||||||||
| 15,741 | Wilson Bayly Holmes-Ovcon Ltd | 105,316 | ||||||||
|
|
|
|||||||||
| Total South Africa | 16,739,034 | |||||||||
|
|
|
|||||||||
| South Korea — 3.7% | ||||||||||
| 224,921 | BNK Financial Group Inc | 1,513,193 | ||||||||
| 223 | CJ CheilJedang Corp | 66,463 | ||||||||
| 907 | Coway Co Ltd | 51,750 | ||||||||
| 56,216 | Daewoo Engineering & Construction Co Ltd * | 254,510 | ||||||||
| 8,307 | Daewoo Shipbuilding & Marine Engineering Co Ltd * | 161,539 | ||||||||
| 2,167 | Daihan Pharmaceutical Co Ltd | 47,788 | ||||||||
| Shares | Description | Value ($) |
||||||||
| South Korea — continued | ||||||||||
| 5,533 | Daou Data Corp | 60,238 | ||||||||
| 4,371 | DB Insurance Co Ltd | 198,101 | ||||||||
| 127,445 | DGB Financial Group Inc | 959,308 | ||||||||
| 562 | DL E&C Co Ltd * | 52,267 | ||||||||
| 396 | Dongkuk Steel Mill Co Ltd | 4,712 | ||||||||
| 54 | Dongwha Enterprise Co Ltd * | 5,044 | ||||||||
| 34,093 | Dongwon Development Co Ltd | 137,918 | ||||||||
| 609 | Doosan Bobcat Inc * | 18,539 | ||||||||
| 9,817 | Fila Holdings Corp | 289,080 | ||||||||
| 16,913 | GS Engineering & Construction Corp | 522,066 | ||||||||
| 1,141 | GS Retail Co Ltd | 27,077 | ||||||||
| 168 | HAESUNG DS Co Ltd | 6,399 | ||||||||
| 142,866 | Hana Financial Group Inc | 4,748,474 | ||||||||
| 581 | Hana Materials Inc | 29,268 | ||||||||
| 47,869 | Hankook Tire & Technology Co Ltd | 1,552,058 | ||||||||
| 1,023 | Hanmi Semiconductor Co Ltd | 27,955 | ||||||||
| 2,208 | Hanwha Aerospace Co Ltd | 75,570 | ||||||||
| 28,888 | Hanwha Investment & Securities Co Ltd * | 126,032 | ||||||||
| 144,210 | Hanwha Life Insurance Co Ltd | 336,250 | ||||||||
| 24,217 | HDC Hyundai Development Co-Engineering & Construction | 423,333 | ||||||||
| 235 | Hyosung TNC Corp | 99,215 | ||||||||
| 541 | Hyundai Autoever Corp | 50,856 | ||||||||
| 21,517 | Hyundai Engineering & Construction Co Ltd | 799,428 | ||||||||
| 5,571 | Hyundai Home Shopping Network Corp | 287,025 | ||||||||
| 2,013 | Hyundai Mobis Co Ltd | 373,604 | ||||||||
| 2,160 | Hyundai Motor Co GDR (Registered) | 84,026 | ||||||||
| 47,715 | JB Financial Group Co Ltd | 322,228 | ||||||||
| 47,864 | KB Financial Group Inc | 2,127,215 | ||||||||
| 7,326 | KC Co Ltd | 126,207 | ||||||||
| 272 | KCC Corp | 62,893 | ||||||||
| 320 | KCC Glass Corp | 14,219 | ||||||||
| 55,933 | Kia Corp | 3,660,777 | ||||||||
| 675 | KIWOOM Securities Co Ltd | 55,301 | ||||||||
| 944 | Kolon Industries Inc | 56,096 | ||||||||
| 1,717 | Korea Petrochemical Ind Co Ltd | 246,356 | ||||||||
| 342 | Korea Zinc Co Ltd | 142,444 | ||||||||
| 15,042 | KT Skylife Co Ltd | 109,147 | ||||||||
| 124,790 | KT&G Corp | 8,601,537 | ||||||||
| 3,621 | Kumho Petrochemical Co Ltd | 469,892 | ||||||||
| 15,241 | LF Corp | 214,535 | ||||||||
| 671 | LG Chem Ltd | 393,066 | ||||||||
| 732 | LG Corp | 48,441 | ||||||||
| 57,985 | LG Electronics Inc | 5,643,825 | ||||||||
| 526 | LG Household & Health Care Ltd | 466,479 | ||||||||
| 4,129 | LG Uplus Corp | 46,990 | ||||||||
| 3,365 | Lotte Chemical Corp | 570,105 | ||||||||
| 161 | LOTTE Fine Chemical Co Ltd | 10,571 | ||||||||
| 1,458 | LOTTE Himart Co Ltd | 28,477 | ||||||||
| 818 | LX Semicon Co Ltd | 73,616 | ||||||||
| 21,590 | Mirae Asset Life Insurance Co Ltd | 71,551 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| South Korea — continued | ||||||||||
| 2,332 | Myoung Shin Industrial Co Ltd * | 52,015 | ||||||||
| 19,386 | NAVER Corp | 6,189,018 | ||||||||
| 5,288 | POSCO | 1,161,008 | ||||||||
| 3,242 | Posco International Corp | 51,010 | ||||||||
| 652 | PSK Inc | 24,093 | ||||||||
| 844 | S&S Tech Corp | 22,365 | ||||||||
| 13,344 | Samjin Pharmaceutical Co Ltd | 274,542 | ||||||||
| 1,859 | Samsung C&T Corp | 164,897 | ||||||||
| 141,651 | Samsung Electronics Co Ltd | 8,502,773 | ||||||||
| 17,463 | Samsung Engineering Co Ltd * | 304,922 | ||||||||
| 634 | Samsung Fire & Marine Insurance Co Ltd | 107,867 | ||||||||
| 1,276 | Samsung Life Insurance Co Ltd | 63,964 | ||||||||
| 907 | Samsung SDS Co Ltd | 108,993 | ||||||||
| 390 | Sang-A Frontec Co Ltd | 18,586 | ||||||||
| 326 | Sebang Global Battery Co Ltd | 20,455 | ||||||||
| 129,398 | Shinhan Financial Group Co Ltd | 3,763,065 | ||||||||
| 922 | Shinsegae Inc | 168,815 | ||||||||
| 5,296 | SK Hynix Inc | 506,303 | ||||||||
| 2,416 | SK Square Co Ltd * | 138,301 | ||||||||
| 3,563 | SK Telecom Co Ltd | 163,146 | ||||||||
| 52,294 | SK Telecom Co Ltd Sponsored ADR | 2,405,520 | ||||||||
| 795 | SKC Co Ltd | 131,666 | ||||||||
| 8,339 | SL Corp | 217,616 | ||||||||
| 1,350 | SM Entertainment Co Ltd * | 76,391 | ||||||||
| 106,774 | Woori Financial Group Inc | 1,130,129 | ||||||||
| 15,022 | Yuhan Corp | 731,343 | ||||||||
|
|
|
|||||||||
| Total South Korea | 63,449,857 | |||||||||
|
|
|
|||||||||
| Spain — 1.3% | ||||||||||
| 189,274 | Acerinox SA | 2,115,071 | ||||||||
| 41,638 | ACS Actividades de Construccion y Servicios SA (a) | 997,896 | ||||||||
| 48,634 | Amadeus IT Group SA * (b) | 3,113,822 | ||||||||
| 41,700 | Atresmedia Corp de Medios de Comunicacion SA * | 166,663 | ||||||||
| 805,815 | Banco Bilbao Vizcaya Argentaria SA | 4,272,126 | ||||||||
| 1,942,486 | Banco de Sabadell SA * | 1,311,662 | ||||||||
| 1,527,467 | Banco Santander SA | 4,749,279 | ||||||||
| 209,254 | Bankinter SA | 1,029,327 | ||||||||
| 23,037 | Cia de Distribucion Integral Logista Holdings SA | 427,843 | ||||||||
| 17,094 | Faes Farma SA | 64,284 | ||||||||
| 789 | Gestamp Automocion SA * | 3,458 | ||||||||
| 897 | Grupo Catalana Occidente SA | 28,482 | ||||||||
| 87,060 | Industria de Diseno Textil SA | 2,752,028 | ||||||||
| 102,122 | Mediaset Espana Comunicacion SA * | 493,651 | ||||||||
| 2,074 | Red Electrica Corp SA | 44,085 | ||||||||
| 475,330 | Unicaja Banco SA | 416,576 | ||||||||
|
|
|
|||||||||
| Total Spain | 21,986,253 | |||||||||
|
|
|
|||||||||
| Sweden — 0.2% | ||||||||||
| 1,725 | Bufab AB | 81,776 | ||||||||
| 100,176 | Investor AB – B Shares | 2,327,743 | ||||||||
| 27,367 | Inwido AB | 494,010 | ||||||||
| 1,701 | KNOW IT AB (b) | 69,770 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Sweden — continued | ||||||||||
| 876 | New Wave Group AB – B Shares * | 16,412 | ||||||||
| 15,913 | Skanska AB – B Shares | 366,144 | ||||||||
| 1,490 | SSAB AB – A Shares * | 7,335 | ||||||||
| 18,238 | Svenska Cellulosa AB SCA – Class B | 296,650 | ||||||||
|
|
|
|||||||||
| Total Sweden | 3,659,840 | |||||||||
|
|
|
|||||||||
| Switzerland — 0.5% | ||||||||||
| 42,092 | Adecco Group AG (Registered) | 1,950,684 | ||||||||
| 500 | ALSO Holding AG (Registered) * | 151,283 | ||||||||
| 1,804 | BKW AG | 245,365 | ||||||||
| 1,788 | Bobst Group SA (Registered) * | 156,592 | ||||||||
| 1,058 | Huber + Suhner AG (Registered) | 94,401 | ||||||||
| 433 | Kardex Holding AG (Registered) | 130,355 | ||||||||
| 2,370 | Logitech International SA (Registered) | 189,016 | ||||||||
| 2,853 | Mobilezone Holding AG (Registered) | 39,849 | ||||||||
| 15,456 | Novartis AG (Registered) | 1,231,932 | ||||||||
| 2,100 | Novartis AG Sponsored ADR | 167,370 | ||||||||
| 8,508 | Roche Holding AG – Genusschein | 3,321,610 | ||||||||
| 23 | Schindler Holding AG (Registered) | 5,708 | ||||||||
| 2,124 | Zehnder Group AG – Class RG | 207,355 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 7,891,520 | |||||||||
|
|
|
|||||||||
| Taiwan — 5.6% | ||||||||||
| 5,960 | Accton Technology Corp | 61,906 | ||||||||
| 123,000 | Acer Inc | 122,248 | ||||||||
| 5,207 | Acter Group Corp Ltd | 36,500 | ||||||||
| 489,000 | AmTRAN Technology Co Ltd | 321,082 | ||||||||
| 23,000 | Arcadyan Technology Corp | 90,955 | ||||||||
| 707,035 | Asustek Computer Inc | 8,938,992 | ||||||||
| 19,000 | Aten International Co Ltd | 54,954 | ||||||||
| 8,400 | Aurora Corp | 27,235 | ||||||||
| 898,000 | Catcher Technology Co Ltd | 4,987,197 | ||||||||
| 1,311,399 | Cathay Financial Holding Co Ltd | 2,817,388 | ||||||||
| 150,651 | Chailease Holding Co Ltd | 1,332,810 | ||||||||
| 67,000 | Chicony Electronics Co Ltd | 191,085 | ||||||||
| 210,360 | China Development Financial Holding Corp | 123,503 | ||||||||
| 106,413 | China Life Insurance Co Ltd | 117,118 | ||||||||
| 676,000 | Chipbond Technology Corp | 1,628,186 | ||||||||
| 9,280 | Chong Hong Construction Co Ltd | 24,683 | ||||||||
| 180,000 | Chunghwa Telecom Co Ltd | 724,150 | ||||||||
| 913,000 | Compal Electronics Inc | 758,107 | ||||||||
| 415,440 | Coretronic Corp | 1,181,780 | ||||||||
| 1,562,960 | CTBC Financial Holding Co Ltd | 1,368,252 | ||||||||
| 275,000 | Delta Electronics Inc | 2,528,052 | ||||||||
| 91,000 | Elan Microelectronics Corp | 527,968 | ||||||||
| 90,000 | Elite Material Co Ltd | 905,509 | ||||||||
| 91,000 | Farglory Land Development Co Ltd | 210,879 | ||||||||
| 315,000 | FLEXium Interconnect Inc * | 1,161,916 | ||||||||
| 225,000 | Formosa Plastics Corp | 825,237 | ||||||||
| 220,000 | Foxconn Technology Co Ltd | 513,950 | ||||||||
| 1,699,175 | Fubon Financial Holding Co Ltd | 4,453,698 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Taiwan — continued | ||||||||||
| 6,080 | Fusheng Precision Co Ltd | 44,093 | ||||||||
| 11,560 | Getac Holdings Corp | 22,335 | ||||||||
| 79,000 | Gigabyte Technology Co Ltd | 385,966 | ||||||||
| 414,000 | Grand Pacific Petrochemical | 424,257 | ||||||||
| 22,000 | Holiday Entertainment Co Ltd | 47,951 | ||||||||
| 7,000 | Holtek Semiconductor Inc | 26,451 | ||||||||
| 3,631,318 | Hon Hai Precision Industry Co Ltd | 13,455,513 | ||||||||
| 78,000 | Huaku Development Co Ltd | 257,205 | ||||||||
| 86,820 | IEI Integration Corp | 136,322 | ||||||||
| 32,721 | Innodisk Corp | 238,627 | ||||||||
| 30,000 | International Games System Co Ltd | 840,274 | ||||||||
| 210,000 | King’s Town Bank Co Ltd | 303,281 | ||||||||
| 30,000 | Kung Long Batteries Industrial Co Ltd | 148,135 | ||||||||
| 8,000 | Largan Precision Co Ltd | 570,131 | ||||||||
| 534,000 | Lite-On Technology Corp | 1,154,523 | ||||||||
| 2,807 | Makalot Industrial Co Ltd | 23,425 | ||||||||
| 119,000 | MediaTek Inc | 4,313,824 | ||||||||
| 79,120 | Mega Financial Holding Co Ltd | 97,227 | ||||||||
| 5,408 | Merry Electronics Co Ltd | 17,761 | ||||||||
| 196,000 | Micro-Star International Co Ltd | 1,146,914 | ||||||||
| 247,000 | Nan Ya Plastics Corp | 731,801 | ||||||||
| 128,000 | Nantex Industry Co Ltd | 388,746 | ||||||||
| 26,000 | Nichidenbo Corp | 49,595 | ||||||||
| 4,800 | Nien Made Enterprise Co Ltd | 65,388 | ||||||||
| 75,000 | Novatek Microelectronics Corp | 1,248,853 | ||||||||
| 68,000 | Pegatron Corp | 162,507 | ||||||||
| 112,000 | Phison Electronics Corp | 1,662,384 | ||||||||
| 1,651,000 | Pou Chen Corp | 1,897,072 | ||||||||
| 48,000 | Powertech Technology Inc | 171,080 | ||||||||
| 237,000 | Qisda Corp | 250,074 | ||||||||
| 198,000 | Quanta Computer Inc | 610,021 | ||||||||
| 604,000 | Radiant Opto-Electronics Corp | 2,082,404 | ||||||||
| 613,400 | Ruentex Development Co Ltd | 1,410,720 | ||||||||
| 262,400 | Ruentex Industries Ltd | 936,679 | ||||||||
| 31,760 | Shin Zu Shing Co Ltd | 107,308 | ||||||||
| 81,000 | Shinkong Insurance Co Ltd | 136,675 | ||||||||
| 39,900 | Simplo Technology Co Ltd | 469,886 | ||||||||
| 22,945 | Sinmag Equipment Corp | 86,615 | ||||||||
| 39,000 | Sitronix Technology Corp | 393,148 | ||||||||
| 29,750 | Syncmold Enterprise Corp | 73,152 | ||||||||
| 686,000 | Taiwan Cement Corp | 1,132,440 | ||||||||
| 67,000 | Taiwan Sakura Corp | 162,733 | ||||||||
| 656,000 | Taiwan Semiconductor Manufacturing Co Ltd | 13,952,252 | ||||||||
| 20,385 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 2,388,103 | ||||||||
| 6,760 | TCI Co Ltd | 50,324 | ||||||||
| 132,000 | Teco Electric and Machinery Co Ltd | 146,043 | ||||||||
| 23,000 | Test Research Inc | 47,590 | ||||||||
| 155,681 | TOPBI International Holdings Ltd | 60,766 | ||||||||
| 40,000 | Transcend Information Inc | 99,380 | ||||||||
| 98,000 | Tripod Technology Corp | 438,868 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Taiwan — continued | ||||||||||
| 431,720 | Uni-President Enterprises Corp | 1,012,336 | ||||||||
| 69,624 | United Integrated Services Co Ltd | 445,201 | ||||||||
| 156,000 | Universal Inc | 245,622 | ||||||||
| 24,000 | USI Corp | 26,864 | ||||||||
| 47,000 | Vanguard International Semiconductor Corp | 261,848 | ||||||||
| 10,000 | Via Technologies Inc | 31,676 | ||||||||
| 7,000 | Visual Photonics Epitaxy Co Ltd | 38,253 | ||||||||
| 28,000 | Walsin Technology Corp * | 174,720 | ||||||||
| 2,519,000 | Yuanta Financial Holding Co Ltd | 2,140,246 | ||||||||
| 6,000 | Yulon Nissan Motor Co Ltd | 53,209 | ||||||||
| 33,000 | Zeng Hsing Industrial Co Ltd | 171,306 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 95,703,443 | |||||||||
|
|
|
|||||||||
| Thailand — 0.5% | ||||||||||
| 1,649,024 | AP Thailand Pcl NVDR | 425,336 | ||||||||
| 55,700 | Bangkok Bank Pcl NVDR | 185,978 | ||||||||
| 558,000 | Charoen Pokphand Foods Pcl NVDR | 393,348 | ||||||||
| 32,300 | CP ALL Pcl (Foreign Registered) | 55,955 | ||||||||
| 34,600 | CP ALL Pcl NVDR | 59,939 | ||||||||
| 14,200 | Delta Electronics Thailand Pcl NVDR | 188,555 | ||||||||
| 17,200 | Kasikornbank Pcl (Foreign Registered) | 66,978 | ||||||||
| 483,100 | Kasikornbank Pcl NVDR | 1,881,236 | ||||||||
| 53,632 | Pruksa Holding Pcl NVDR | 20,663 | ||||||||
| 37,400 | PTT Exploration & Production Pcl NVDR | 125,235 | ||||||||
| 433,200 | PTT Global Chemical Pcl NVDR | 720,365 | ||||||||
| 1,407,200 | PTT Pcl NVDR | 1,475,309 | ||||||||
| 141,904 | Siam Cement Pcl NVDR (The) | 1,564,318 | ||||||||
| 118,948 | Siam Commercial Bank Pcl NVDR (The) | 429,414 | ||||||||
| 141,300 | Somboon Advance Technology Pcl NVDR | 86,506 | ||||||||
| 106,500 | Sri Trang Gloves Thailand Pcl NVDR | 94,780 | ||||||||
| 23,760 | Supalai Pcl (Foreign Registered) | 14,695 | ||||||||
| 97,624 | Supalai Pcl NVDR | 60,378 | ||||||||
| 80,000 | Thai Vegetable Oil Pcl NVDR | 71,187 | ||||||||
|
|
|
|||||||||
| Total Thailand | 7,920,175 | |||||||||
|
|
|
|||||||||
| Turkey — 0.5% | ||||||||||
| 648,237 | Akbank TAS | 315,195 | ||||||||
| 165,347 | Aksa Akrilik Kimya Sanayii AS | 327,910 | ||||||||
| 563,119 | Arcelik AS | 1,800,751 | ||||||||
| 1,654,562 | Dogan Sirketler Grubu Holding AS | 376,516 | ||||||||
| 63,018 | Dogus Otomotiv Servis ve Ticaret AS | 213,008 | ||||||||
| 293,443 | Enerjisa Enerji AS | 284,417 | ||||||||
| 308,968 | Eregli Demir ve Celik Fabrikalari TAS | 507,585 | ||||||||
| 120,302 | Ford Otomotiv Sanayi AS | 2,099,204 | ||||||||
| 16,631 | Koza Altin Isletmeleri AS * | 154,404 | ||||||||
| 167,476 | Tofas Turk Otomobil Fabrikasi AS | 1,042,404 | ||||||||
| 19,408 | Turkcell Iletisim Hizmetleri AS | 27,149 | ||||||||
| 2,505,709 | Turkiye Garanti Bankasi AS | 2,138,265 | ||||||||
| 51,559 | Vestel Elektronik Sanayi ve Ticaret AS | 103,621 | ||||||||
| 265,731 | Yapi ve Kredi Bankasi AS | 60,816 | ||||||||
|
|
|
|||||||||
| Total Turkey | 9,451,245 | |||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United Arab Emirates — 0.0% | ||||||||||
| 20,644 | Dubai Islamic Bank PJSC | 28,944 | ||||||||
| 95,220 | First Abu Dhabi Bank PJSC | 495,946 | ||||||||
|
|
|
|||||||||
| Total United Arab Emirates | 524,890 | |||||||||
|
|
|
|||||||||
| United Kingdom — 4.1% | ||||||||||
| 115,882 | 3i Group Plc | 2,126,196 | ||||||||
| 134,901 | Airtel Africa Plc | 222,349 | ||||||||
| 7,287 | Anglo American Plc | 268,233 | ||||||||
| 163,423 | Aviva Plc | 834,056 | ||||||||
| 5,111 | Bank of Georgia Group Plc | 105,644 | ||||||||
| 15,600 | Barclays Plc Sponsored ADR | 154,440 | ||||||||
| 365,612 | Barratt Developments Plc | 3,385,878 | ||||||||
| 31,230 | Bellway Plc | 1,303,559 | ||||||||
| 85,518 | Berkeley Group Holdings Plc | 4,868,163 | ||||||||
| 27,000 | BP Plc Sponsored ADR | 700,920 | ||||||||
| 47,345 | British American Tobacco Plc | 1,584,505 | ||||||||
| 43,900 | British American Tobacco Plc Sponsored ADR | 1,477,235 | ||||||||
| 2,498,280 | BT Group Plc * | 5,259,114 | ||||||||
| 11,654 | CMC Markets Plc | 35,965 | ||||||||
| 128,650 | Coca-Cola HBC AG * | 3,961,824 | ||||||||
| 221,802 | Compass Group Plc * (b) | 4,326,882 | ||||||||
| 4,692 | Computacenter Plc (b) | 176,112 | ||||||||
| 35,332 | Crest Nicholson Holdings Plc | 149,680 | ||||||||
| 892 | DCC Plc | 65,701 | ||||||||
| 4,137 | EMIS Group Plc (b) | 71,685 | ||||||||
| 16,835 | Evraz Plc | 128,339 | ||||||||
| 274,519 | Ferrexpo Plc | 1,055,167 | ||||||||
| 11,710 | Galliford Try Holdings Plc | 26,053 | ||||||||
| 2,600 | GlaxoSmithKline Plc Sponsored ADR | 106,912 | ||||||||
| 11,933 | Grafton Group Plc | 185,524 | ||||||||
| 72,648 | Halfords Group Plc | 295,369 | ||||||||
| 33,199 | IG Group Holdings Plc | 341,673 | ||||||||
| 11,134 | IMI Plc | 251,635 | ||||||||
| 11,905 | Imperial Brands Plc | 243,299 | ||||||||
| 127,082 | Indivior Plc * | 386,881 | ||||||||
| 31,302 | International Personal Finance Plc | 50,998 | ||||||||
| 48,853 | Investec Plc | 245,478 | ||||||||
| 550,930 | ITV Plc * | 809,487 | ||||||||
| 30,454 | J Sainsbury Plc | 111,883 | ||||||||
| 145,230 | JD Sports Fashion Plc | 429,492 | ||||||||
| 9,408 | Johnson Matthey Plc | 261,373 | ||||||||
| 4,789 | Keller Group Plc | 57,397 | ||||||||
| 1,113,001 | Kingfisher Plc | 4,677,081 | ||||||||
| 481,227 | Legal & General Group Plc | 1,797,815 | ||||||||
| 1,606,797 | M&G Plc | 3,987,981 | ||||||||
| 296,204 | Micro Focus International Plc (b) | 1,372,135 | ||||||||
| 16,499 | Morgan Advanced Materials Plc | 78,637 | ||||||||
| 14,875 | Morgan Sindall Group Plc | 469,626 | ||||||||
| 39,241 | National Grid Plc | 520,691 | ||||||||
| 6,858 | Next Plc | 716,489 | ||||||||
| Shares | Description | Value ($) |
||||||||
| United Kingdom — continued | ||||||||||
| 3,429 | Numis Corp Plc | 14,969 | ||||||||
| 51,383 | OSB Group Plc | 342,782 | ||||||||
| 64,416 | Paragon Banking Group Plc | 443,346 | ||||||||
| 128,551 | Persimmon Plc | 4,671,634 | ||||||||
| 47,803 | Pets at Home Group Plc | 295,840 | ||||||||
| 72,810 | Plus500 Ltd | 1,229,691 | ||||||||
| 196,138 | Premier Foods Plc | 267,889 | ||||||||
| 110,446 | Reach Plc | 376,275 | ||||||||
| 35,451 | Redde Northgate Plc | 185,363 | ||||||||
| 66,213 | Redrow Plc | 568,663 | ||||||||
| 173,282 | Royal Dutch Shell Plc – B Shares | 3,631,286 | ||||||||
| 245,450 | Royal Mail Plc | 1,634,697 | ||||||||
| 11,771 | Schroders Plc | 536,803 | ||||||||
| 41,626 | Spirent Communications Plc | 150,174 | ||||||||
| 122,262 | Tate & Lyle Plc | 1,024,277 | ||||||||
| 596,064 | Taylor Wimpey Plc | 1,251,879 | ||||||||
| 15,642 | Unilever Plc | 798,884 | ||||||||
| 12,980 | Vesuvius Plc | 71,200 | ||||||||
| 9,507 | Vistry Group Plc | 135,344 | ||||||||
| 156,070 | WPP Plc | 2,166,269 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 69,482,821 | |||||||||
|
|
|
|||||||||
| United States — 13.9% | ||||||||||
| 14,400 | Aflac, Inc. | 779,616 | ||||||||
| 30,300 | Alliance Data Systems Corp. (b) | 2,065,248 | ||||||||
| 50,700 | Ally Financial, Inc. | 2,323,581 | ||||||||
| 23,753 | American Express Co. | 3,617,582 | ||||||||
| 5,300 | Anthem, Inc. (b) | 2,153,019 | ||||||||
| 22,800 | Arrow Electronics, Inc. * | 2,773,620 | ||||||||
| 93,800 | AT&T, Inc. | 2,141,454 | ||||||||
| 34,500 | Athene Holding Ltd. – Class A * | 2,826,240 | ||||||||
| 34,500 | Bed Bath & Beyond, Inc. * | 632,385 | ||||||||
| 7,700 | Best Buy Co., Inc. | 822,822 | ||||||||
| 1,900 | Bio-Rad Laboratories, Inc. – Class A * | 1,431,080 | ||||||||
| 9,200 | Biogen, Inc. * | 2,168,808 | ||||||||
| 1,638 | Booking Holdings, Inc. * (b) | 3,442,830 | ||||||||
| 129,723 | BorgWarner, Inc. | 5,614,411 | ||||||||
| 12,300 | Bristol-Myers Squibb Co. | 659,649 | ||||||||
| 19,100 | Capital One Financial Corp. | 2,684,123 | ||||||||
| 2,900 | Cardinal Health, Inc. (b) | 134,067 | ||||||||
| 52,300 | Carrier Global Corp. | 2,830,476 | ||||||||
| 29,300 | CBRE Group, Inc. – Class A * (b) | 2,800,201 | ||||||||
| 39,100 | Centene Corp. * (b) | 2,792,131 | ||||||||
| 24,448 | Chevron Corp. | 2,759,446 | ||||||||
| 14,300 | Cigna Corp. (b) | 2,744,170 | ||||||||
| 45,200 | Citigroup, Inc. | 2,879,240 | ||||||||
| 31,400 | Citizens Financial Group, Inc. | 1,484,278 | ||||||||
| 12,091 | Coca-Cola Co. (The) | 634,173 | ||||||||
| 33,900 | Cognizant Technology Solutions Corp. – Class A (b) | 2,643,522 | ||||||||
| 52,400 | Comcast Corp. – Class A | 2,618,952 | ||||||||
| 40,000 | Corteva, Inc. | 1,800,000 | ||||||||
| 32,500 | CVS Health Corp. (b) | 2,894,450 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 49,457 | Darling Ingredients, Inc. * | 3,339,337 | ||||||||
| 13,000 | Discover Financial Services | 1,402,050 | ||||||||
| 64,100 | DISH Network Corp. – Class A * | 2,003,125 | ||||||||
| 29,100 | DR Horton, Inc. | 2,843,070 | ||||||||
| 19,700 | eBay, Inc. | 1,328,962 | ||||||||
| 50,095 | EOG Resources, Inc. | 4,358,265 | ||||||||
| 1,000 | FedEx Corp. | 230,370 | ||||||||
| 9,900 | Fidelity National Financial, Inc. | 484,209 | ||||||||
| 6,000 | FleetCor Technologies, Inc. * (b) | 1,242,780 | ||||||||
| 148,400 | Ford Motor Co. | 2,847,796 | ||||||||
| 15,600 | Fox Corp. – Class A | 557,076 | ||||||||
| 70,300 | Fox Corp. – Class B | 2,362,080 | ||||||||
| 2,800 | Franklin Resources, Inc. | 90,720 | ||||||||
| 48,700 | General Motors Co. * | 2,818,269 | ||||||||
| 40,900 | Gilead Sciences, Inc. | 2,819,237 | ||||||||
| 16,121 | Global Payments, Inc. (b) | 1,919,044 | ||||||||
| 3,100 | Goldman Sachs Group, Inc. (The) | 1,181,069 | ||||||||
| 28,185 | Green Plains, Inc. * | 1,089,350 | ||||||||
| 28,774 | Hasbro, Inc. | 2,788,488 | ||||||||
| 27,098 | Hilton Worldwide Holdings, Inc. * (b) | 3,660,127 | ||||||||
| 83,600 | HP, Inc. | 2,949,408 | ||||||||
| 20,400 | IAC/InterActiveCorp * | 2,726,460 | ||||||||
| 21,600 | Incyte Corp. * | 1,462,752 | ||||||||
| 56,400 | Intel Corp. | 2,774,880 | ||||||||
| 27,402 | Intercontinental Exchange, Inc. | 3,581,989 | ||||||||
| 22,900 | International Business Machines Corp. (b) | 2,681,590 | ||||||||
| 78,000 | Invesco Ltd. | 1,741,740 | ||||||||
| 16,400 | Jazz Pharmaceuticals Plc * | 1,965,868 | ||||||||
| 176,900 | Kinder Morgan, Inc. | 2,734,874 | ||||||||
| 46,100 | Kohl’s Corp. | 2,361,703 | ||||||||
| 17,600 | Kraft Heinz Co. (The) | 591,536 | ||||||||
| 60,400 | Kroger Co. (The) | 2,508,412 | ||||||||
| 5,000 | Kyndryl Holdings, Inc. * (b) | 79,000 | ||||||||
| 9,900 | Laboratory Corp. of America Holdings * (b) | 2,824,767 | ||||||||
| 47,621 | Las Vegas Sands Corp. * (b) | 1,696,260 | ||||||||
| 1,900 | Lear Corp. | 318,801 | ||||||||
| 12,800 | Leidos Holdings, Inc. | 1,125,248 | ||||||||
| 26,800 | Lennar Corp. – Class A | 2,815,340 | ||||||||
| 40,200 | Lincoln National Corp. | 2,666,466 | ||||||||
| 39,100 | LKQ Corp. | 2,185,690 | ||||||||
| 12,680 | Loyalty Ventures, Inc. * | 363,916 | ||||||||
| 190,800 | Lumen Technologies, Inc. | 2,354,472 | ||||||||
| 81,627 | Lyft, Inc. – Class A * | 3,314,872 | ||||||||
| 32,000 | LyondellBasell Industries NV – Class A | 2,788,160 | ||||||||
| 6,800 | Marathon Petroleum Corp. | 413,780 | ||||||||
| 2,530 | Markel Corp. * | 3,022,895 | ||||||||
| 20,100 | Merck & Co., Inc. | 1,505,691 | ||||||||
| 45,100 | MetLife, Inc. | 2,645,566 | ||||||||
| 35,300 | Micron Technology, Inc. | 2,965,200 | ||||||||
| 8,200 | Mohawk Industries, Inc. * | 1,376,534 | ||||||||
| 60,900 | Molson Coors Brewing Co. – Class B | 2,706,396 | ||||||||
| 40 | NVR, Inc. * | 209,014 | ||||||||
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 300 | Omnicom Group, Inc. | 20,193 | ||||||||
| 32,600 | Oracle Corp. (b) | 2,958,124 | ||||||||
| 2,100 | PACCAR, Inc. | 175,182 | ||||||||
| 7,500 | Principal Financial Group, Inc. | 514,350 | ||||||||
| 27,300 | Prudential Financial, Inc. | 2,791,698 | ||||||||
| 55,000 | PulteGroup, Inc. | 2,751,650 | ||||||||
| 18,400 | Quest Diagnostics, Inc. (b) | 2,735,712 | ||||||||
| 227,200 | Qurate Retail, Inc. – Series A | 1,817,600 | ||||||||
| 40,077 | Raytheon Technologies Corp. | 3,243,031 | ||||||||
| 4,500 | Regeneron Pharmaceuticals, Inc. * | 2,864,385 | ||||||||
| 6,900 | Resolute Forest Products, Inc. (c) | 78,266 | ||||||||
| 7,600 | Resolute Forest Products, Inc. (c) | 85,956 | ||||||||
| 73,515 | Sensata Technologies Holding Plc * | 4,094,786 | ||||||||
| 2,700 | Snap-on, Inc. | 555,957 | ||||||||
| 21,300 | SS&C Technologies Holdings, Inc. (b) | 1,625,829 | ||||||||
| 60,100 | Synchrony Financial | 2,691,879 | ||||||||
| 32,100 | Textron, Inc. | 2,272,680 | ||||||||
| 35,200 | Tyson Foods, Inc. – Class A | 2,779,392 | ||||||||
| 20,600 | Universal Health Services, Inc. – Class B (b) | 2,445,838 | ||||||||
| 75,389 | US Bancorp | 4,172,027 | ||||||||
| 43,800 | Verizon Communications, Inc. | 2,201,826 | ||||||||
| 50,908 | Verso Corp. – Class A | 1,076,195 | ||||||||
| 44,883 | VF Corp. | 3,219,458 | ||||||||
| 58,800 | ViacomCBS, Inc. – Class B | 1,819,860 | ||||||||
| 161,800 | Viatris, Inc. | 1,991,758 | ||||||||
| 21,200 | VICI Properties, Inc. (REIT) (b) | 576,640 | ||||||||
| 17,500 | VMware, Inc. – Class A (b) | 2,042,950 | ||||||||
| 39,300 | Walgreens Boots Alliance, Inc. | 1,760,640 | ||||||||
| 79,100 | Wells Fargo & Co. | 3,779,398 | ||||||||
| 109,500 | Western Union Co. (The) (b) | 1,732,290 | ||||||||
| 39,600 | Western Digital Corp. * | 2,290,464 | ||||||||
| 10,700 | Whirlpool Corp. | 2,329,818 | ||||||||
|
|
|
|||||||||
| Total United States | 235,472,110 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $1,268,002,066) |
1,267,668,374 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (f) — 1.0% | ||||||||||
| Brazil — 0.2% | ||||||||||
| 359,693 | Bradespar SA | 3,183,067 | ||||||||
| 98,500 | Cia Energetica de Minas Gerais | 230,225 | ||||||||
| 60,900 | Cia Energetica de Minas Gerais Sponsored ADR | 140,070 | ||||||||
| 264,200 | Cia Paranaense de Energia – Class B | 288,551 | ||||||||
|
|
|
|||||||||
| Total Brazil | 3,841,913 | |||||||||
|
|
|
|||||||||
| Chile — 0.0% | ||||||||||
| 4,700 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 292,622 | ||||||||
| 2,163 | Sociedad Quimica y Minera de Chile SA – Class B | 136,182 | ||||||||
|
|
|
|||||||||
| Total Chile | 428,804 | |||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Colombia — 0.0% | ||||||||||
| 297,879 | Grupo Aval Acciones y Valores SA | 78,291 | ||||||||
|
|
|
|||||||||
| Germany — 0.2% | ||||||||||
| 21,141 | Bayerische Motoren Werke AG | 1,657,711 | ||||||||
| 5,449 | Draegerwerk AG & Co KGaA (b) | 352,425 | ||||||||
| 1,243 | Sixt SE | 113,056 | ||||||||
| 1,552 | Villeroy & Boch AG | 35,836 | ||||||||
|
|
|
|||||||||
| Total Germany | 2,159,028 | |||||||||
|
|
|
|||||||||
| Russia — 0.3% | ||||||||||
| 12,924 | Bashneft PJSC | 177,624 | ||||||||
| 56,000 | Nizhnekamskneftekhim PJSC – Class C | 74,246 | ||||||||
| 8,804,400 | Surgutneftegas PJSC | 4,453,874 | ||||||||
| 181 | Transneft PJSC | 345,231 | ||||||||
|
|
|
|||||||||
| Total Russia | 5,050,975 | |||||||||
|
|
|
|||||||||
| South Korea — 0.3% | ||||||||||
| 11,262 | Hyundai Motor Co Ltd-Prf | 859,888 | ||||||||
| 4,881 | LG Electronics Inc | 240,793 | ||||||||
| 62,498 | Samsung Electronics Co Ltd | 3,370,266 | ||||||||
| 59 | Samsung Electronics Co Ltd GDR (Registered) | 79,959 | ||||||||
|
|
|
|||||||||
| Total South Korea | 4,550,906 | |||||||||
|
|
|
|||||||||
| Taiwan — 0.0% | ||||||||||
| 12,589 | Chailease Holding Co Ltd | 45,714 | ||||||||
| 11,915 | CTBC Financial Holding Co Ltd | 27,156 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 72,870 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $14,901,439) |
16,182,787 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.0% | ||||||||||
| Thailand — 0.0% | ||||||||||
| 7,971 | Charoen Pok Foods, Expires 12/31/21 * | — | ||||||||
| 2,307 | CP ALL Pcl NVDR, Expires 12/31/21 * | — | ||||||||
|
|
|
|||||||||
| Total Thailand | — | |||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $0) |
— | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 0.4% | ||||||||||
| United States — 0.4% | ||||||||||
| 108,876 | iShares Core MSCI Emerging Markets ETF * | 6,545,625 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $6,926,168) |
6,545,625 | |||||||||
|
|
|
|||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 9.8% | ||||||||||
| Israel — 0.0% | ||||||||||
| Corporate Debt — 0.0% | ||||||||||
| ILS |
1 | IDB Development Corp Ltd, 4.95%, due 12/18/25 | — | |||||||
|
|
|
|||||||||
| United States — 9.8% | ||||||||||
| Asset-Backed Securities — 0.0% | ||||||||||
| 19,701 | Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.87%, due 07/26/31 | 19,700 | ||||||||
| 2,571,735 | Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (g) | 3 | ||||||||
| 57,867 | Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.87%, due 04/17/28 | 57,865 | ||||||||
|
|
|
|||||||||
| Total Asset-Backed Securities | 77,568 | |||||||||
|
|
|
|||||||||
| U.S. Government — 9.8% | ||||||||||
| 25,000,000 | U.S. Treasury Note, 0.13%, due 12/31/22 | 24,956,055 | ||||||||
| 28,100,000 | U.S. Treasury Note, 0.13%, due 02/28/23 | 28,023,164 | ||||||||
| 6,200,000 | U.S. Treasury Note, 0.13%, due 03/31/23 | 6,180,140 | ||||||||
| 102,900,000 | U.S. Treasury Note, 0.13%, due 06/30/23 (b) | 102,413,637 | ||||||||
| 5,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 07/31/23 (b) | 4,999,489 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 166,572,485 | |||||||||
|
|
|
|||||||||
| Total United States | 166,650,053 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $168,170,740) |
166,650,053 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 15.3% | ||||||||||
| United States — 15.3% | ||||||||||
| Affiliated Issuers — 15.3% | ||||||||||
| 2,102,327 | GMO Emerging Country Debt Fund, Class VI | 52,516,126 | ||||||||
| 1,102,408 | GMO Emerging Markets Fund, Class VI | 37,559,049 | ||||||||
| 3,730,431 | GMO Opportunistic Income Fund, Class VI | 97,326,960 | ||||||||
| 2,227,494 | GMO SGM Major Markets Fund, Class VI | 64,062,741 | ||||||||
| 1,602,065 | GMO U.S. Treasury Fund (h) | 8,058,385 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $269,920,940) |
259,523,261 | |||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
| Money Market Funds — 0.2% | ||||||||||
| 2,663,063 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (i) | 2,663,063 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $2,663,063) | 2,663,063 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 101.4% (Cost $1,730,584,416) |
1,719,233,163 | |||||||||
|
|
|
|||||||||
| SECURITIES SOLD SHORT — (19.4)% | ||||||||||
| Common Stocks — (19.2)% | ||||||||||
| Australia — (0.5)% | ||||||||||
| (370,323 | ) | APA Group | (2,504,015 | ) | ||||||
| (19,737 | ) | ASX Ltd | (1,261,443 | ) | ||||||
| (6,671 | ) | Cochlear Ltd | (1,025,790 | ) | ||||||
| (285,921 | ) | Qantas Airways Ltd * | (1,022,079 | ) | ||||||
| (470,263 | ) | Sydney Airport * | (2,769,704 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (8,583,031 | ) | ||||||||
|
|
|
|||||||||
| Austria — (0.2)% | ||||||||||
| (27,889 | ) | Verbund AG | (2,916,475 | ) | ||||||
|
|
|
|||||||||
| Belgium — (0.1)% | ||||||||||
| (13,371 | ) | Anheuser-Busch InBev SA/NV | (746,132 | ) | ||||||
| (6,274 | ) | Galapagos NV * | (303,669 | ) | ||||||
|
|
|
|||||||||
| Total Belgium | (1,049,801 | ) | ||||||||
|
|
|
|||||||||
| Canada — (0.2)% | ||||||||||
| (94,900 | ) | AltaGas Ltd | (1,805,214 | ) | ||||||
| (9,100 | ) | Brookfield Renewable Corp – Class A | (336,973 | ) | ||||||
| (3,500 | ) | Cameco Corp | (81,130 | ) | ||||||
| (1,200 | ) | Franco-Nevada Corp | (164,988 | ) | ||||||
| (20,400 | ) | Pembina Pipeline Corp | (604,860 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (2,993,165 | ) | ||||||||
|
|
|
|||||||||
| Denmark — (0.1)% | ||||||||||
| (67,832 | ) | Ambu A/S – Class B | (1,923,905 | ) | ||||||
|
|
|
|||||||||
| France — (0.7)% | ||||||||||
| (62,142 | ) | Accor SA * | (1,842,169 | ) | ||||||
| (15,745 | ) | Aeroports de Paris * | (1,840,722 | ) | ||||||
| (182,668 | ) | Getlink SE | (2,698,928 | ) | ||||||
| (1,600 | ) | Hermes International | (3,002,568 | ) | ||||||
| (1,266 | ) | Sartorius Stedim Biotech | (747,415 | ) | ||||||
| (26,480 | ) | Ubisoft Entertainment SA * | (1,357,265 | ) | ||||||
| (9,450 | ) | Wendel SE | (1,080,531 | ) | ||||||
|
|
|
|||||||||
| Total France | (12,569,598 | ) | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Germany — (0.8)% | ||||||||||
| (20,225 | ) | Delivery Hero SE * | (2,684,078 | ) | ||||||
| (23,687 | ) | Puma SE | (2,861,894 | ) | ||||||
| (17,284 | ) | QIAGEN NV * | (954,985 | ) | ||||||
| (10,615 | ) | Scout24 SE | (704,487 | ) | ||||||
| (925,476 | ) | Telefonica Deutschland Holding AG | (2,468,365 | ) | ||||||
| (33,193 | ) | Uniper SE | (1,441,102 | ) | ||||||
| (27,617 | ) | Zalando SE * | (2,511,588 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (13,626,499 | ) | ||||||||
|
|
|
|||||||||
| Israel — (0.2)% | ||||||||||
| (9,600 | ) | CyberArk Software Ltd * | (1,659,360 | ) | ||||||
| (11,500 | ) | Wix.com Ltd * | (1,757,200 | ) | ||||||
|
|
|
|||||||||
| Total Israel | (3,416,560 | ) | ||||||||
|
|
|
|||||||||
| Italy — (0.5)% | ||||||||||
| (22,206 | ) | Amplifon SPA | (1,081,538 | ) | ||||||
| (88,395 | ) | Atlantia SPA * | (1,614,242 | ) | ||||||
| (11,864 | ) | Ferrari NV | (3,104,510 | ) | ||||||
| (152,262 | ) | FinecoBank Banca Fineco SPA | (2,666,712 | ) | ||||||
| (59,492 | ) | Infrastrutture Wireless Italiane SPA | (682,286 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (9,149,288 | ) | ||||||||
|
|
|
|||||||||
| Japan — (2.5)% | ||||||||||
| (145,800 | ) | Acom Co Ltd | (432,362 | ) | ||||||
| (8,900 | ) | Aeon Co Ltd | (207,579 | ) | ||||||
| (77,700 | ) | ANA Holdings Inc * | (1,528,985 | ) | ||||||
| (85,200 | ) | Asahi Intecc Co Ltd | (1,867,501 | ) | ||||||
| (2,300 | ) | East Japan Railway Co | (141,012 | ) | ||||||
| (20,800 | ) | GMO Payment Gateway Inc | (2,771,593 | ) | ||||||
| (11,100 | ) | Harmonic Drive Systems Inc | (456,038 | ) | ||||||
| (92,400 | ) | Hitachi Metals Ltd * | (1,715,517 | ) | ||||||
| (3,300 | ) | Ibiden Co Ltd | (204,047 | ) | ||||||
| (131,700 | ) | Isetan Mitsukoshi Holdings Ltd | (900,359 | ) | ||||||
| (1,400 | ) | Ito En Ltd | (82,379 | ) | ||||||
| (45,200 | ) | Japan Airlines Co Ltd * | (814,779 | ) | ||||||
| (30,900 | ) | Japan Airport Terminal Co Ltd * | (1,359,686 | ) | ||||||
| (51,300 | ) | Japan Exchange Group Inc | (1,110,701 | ) | ||||||
| (296 | ) | Japan Real Estate Investment Corp (REIT) | (1,713,048 | ) | ||||||
| (86,100 | ) | JGC Holding Corp | (723,524 | ) | ||||||
| (91,600 | ) | Keikyu Corp | (904,597 | ) | ||||||
| (18,400 | ) | Keio Corp | (827,328 | ) | ||||||
| (3,300 | ) | Keisei Electric Railway Co Ltd | (90,281 | ) | ||||||
| (25,100 | ) | Kintetsu Group Holdings Co Ltd * | (720,923 | ) | ||||||
| (11,100 | ) | Lasertec Corp | (2,882,504 | ) | ||||||
| (10,600 | ) | Lion Corp | (150,558 | ) | ||||||
| (61,700 | ) | LIXIL Corp | (1,509,432 | ) | ||||||
| (37,300 | ) | M3 Inc | (2,005,185 | ) | ||||||
| (41,600 | ) | Mercari Inc * | (2,509,306 | ) | ||||||
| (10,800 | ) | Mizuho Financial Group Inc | (133,150 | ) | ||||||
| (121,100 | ) | MonotaRO Co Ltd | (2,384,096 | ) | ||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| (3,000 | ) | Nidec Corp | (343,523 | ) | ||||||
| (93,900 | ) | Nihon M&A Center Holdings Inc | (2,754,999 | ) | ||||||
| (143,600 | ) | Nippon Paint Holdings Co Ltd | (1,506,811 | ) | ||||||
| (25,400 | ) | Nissin Foods Holdings Co Ltd | (1,866,990 | ) | ||||||
| (76,000 | ) | Odakyu Electric Railway Co Ltd | (1,463,805 | ) | ||||||
| (15,500 | ) | ORIENTAL LAND CO LTD | (2,435,590 | ) | ||||||
| (14,100 | ) | Shiseido Co Ltd | (808,209 | ) | ||||||
| (20,800 | ) | Tobu Railway Co Ltd | (470,081 | ) | ||||||
| (23,900 | ) | Tokyu Corp | (330,342 | ) | ||||||
| (17,200 | ) | West Japan Railway Co | (741,195 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (42,868,015 | ) | ||||||||
|
|
|
|||||||||
| Netherlands — (0.3)% | ||||||||||
| (1,019 | ) | Adyen NV * | (2,822,462 | ) | ||||||
| (4,946 | ) | Heineken Holding NV | (411,916 | ) | ||||||
| (28,312 | ) | Just Eat Takeaway.com NV * | (1,772,908 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (5,007,286 | ) | ||||||||
|
|
|
|||||||||
| New Zealand — (0.1)% | ||||||||||
| (20,983 | ) | Xero Ltd * | (2,131,190 | ) | ||||||
|
|
|
|||||||||
| Norway — (0.0)% | ||||||||||
| (8,129 | ) | Schibsted ASA – B Shares | (312,277 | ) | ||||||
| (10,091 | ) | Schibsted ASA – Class A | (449,627 | ) | ||||||
|
|
|
|||||||||
| Total Norway | (761,904 | ) | ||||||||
|
|
|
|||||||||
| Russia — (0.0)% | ||||||||||
| (5,690 | ) | Magnit PJSC Sponsored GDR (Registered) | (87,719 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.3)% | ||||||||||
| (69,100 | ) | City Developments Ltd | (354,692 | ) | ||||||
| (466,800 | ) | Singapore Airlines Ltd * | (1,662,287 | ) | ||||||
| (344,000 | ) | Singapore Exchange Ltd | (2,245,913 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (4,262,892 | ) | ||||||||
|
|
|
|||||||||
| Spain — (0.5)% | ||||||||||
| (988 | ) | Aena SME SA * | (145,104 | ) | ||||||
| (47,711 | ) | Cellnex Telecom SA | (2,813,800 | ) | ||||||
| (99,036 | ) | Ferrovial SA | (2,757,598 | ) | ||||||
| (84,706 | ) | Siemens Gamesa Renewable Energy SA * | (2,261,251 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (7,977,753 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (0.3)% | ||||||||||
| (215,075 | ) | Embracer Group AB * | (2,324,156 | ) | ||||||
| (3,557 | ) | EQT AB | (209,131 | ) | ||||||
| (18,602 | ) | Evolution AB | (1,953,166 | ) | ||||||
| (34,520 | ) | Sinch AB * | (459,026 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (4,945,479 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.4)% | ||||||||||
| (18 | ) | Chocoladefabriken Lindt & Spruengli AG | (221,538 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| Switzerland — continued | ||||||||||
| (2 | ) | Chocoladefabriken Lindt & Spruengli AG (Registered) | (246,587 | ) | ||||||
| (1,716 | ) | Partners Group Holding AG | (2,961,554 | ) | ||||||
| (22 | ) | Schindler Holding AG | (5,667 | ) | ||||||
| (1,367 | ) | Straumann Holding AG (Registered) | (2,906,170 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (6,341,516 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (1.3)% | ||||||||||
| (33,954 | ) | Admiral Group Plc | (1,334,873 | ) | ||||||
| (60,813 | ) | Antofagasta Plc | (1,111,832 | ) | ||||||
| (290,047 | ) | Auto Trader Group Plc | (2,817,410 | ) | ||||||
| (487,919 | ) | ConvaTec Group Plc | (1,248,370 | ) | ||||||
| (24,163 | ) | Halma Plc | (963,153 | ) | ||||||
| (139,938 | ) | Hargreaves Lansdown Plc | (2,483,789 | ) | ||||||
| (428,883 | ) | Informa Plc * | (2,655,940 | ) | ||||||
| (148,900 | ) | Land Securities Group Plc (REIT) | (1,435,307 | ) | ||||||
| (25,988 | ) | London Stock Exchange Group Plc | (2,251,359 | ) | ||||||
| (73,624 | ) | Melrose Industries Plc | (141,448 | ) | ||||||
| (89,963 | ) | Ocado Group Plc * | (2,147,635 | ) | ||||||
| (1,554,981 | ) | Rolls-Royce Holdings Plc * | (2,536,710 | ) | ||||||
| (5,366 | ) | Spirax-Sarco Engineering Plc | (1,113,384 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (22,241,210 | ) | ||||||||
|
|
|
|||||||||
| United States — (10.2)% | ||||||||||
| (84,800 | ) | AES Corp. (The) | (1,982,624 | ) | ||||||
| (14,100 | ) | Airbnb, Inc. – Class A * | (2,432,814 | ) | ||||||
| (11,300 | ) | American Tower Corp. (REIT) | (2,966,024 | ) | ||||||
| (41,700 | ) | Aramark | (1,392,780 | ) | ||||||
| (15,700 | ) | Arthur J Gallagher & Co. | (2,557,530 | ) | ||||||
| (10,400 | ) | Autodesk, Inc. * | (2,643,576 | ) | ||||||
| (17,500 | ) | Avalara, Inc. * | (2,444,400 | ) | ||||||
| (600 | ) | Bio-Techne Corp. | (283,218 | ) | ||||||
| (14,800 | ) | BioMarin Pharmaceutical, Inc. * | (1,277,092 | ) | ||||||
| (11,200 | ) | Boeing Co. (The) * | (2,215,920 | ) | ||||||
| (9,500 | ) | Burlington Stores, Inc. * | (2,784,735 | ) | ||||||
| (24,800 | ) | Caesars Entertainment, Inc. * | (2,233,736 | ) | ||||||
| (9,500 | ) | Carvana Co. * | (2,663,990 | ) | ||||||
| (14,900 | ) | Catalent, Inc. * | (1,917,034 | ) | ||||||
| (24,700 | ) | Ceridian HCM Holding, Inc. * | (2,702,180 | ) | ||||||
| (1,700 | ) | Chipotle Mexican Grill, Inc. * | (2,793,797 | ) | ||||||
| (66,100 | ) | Clarivate Plc * | (1,542,774 | ) | ||||||
| (14,400 | ) | Cloudflare, Inc. – Class A * | (2,710,656 | ) | ||||||
| (10,900 | ) | CME Group, Inc. | (2,403,668 | ) | ||||||
| (8,300 | ) | Cognex Corp. | (641,175 | ) | ||||||
| (11,900 | ) | Coupa Software, Inc. * | (2,340,254 | ) | ||||||
| (16,000 | ) | Crown Castle International Corp. (REIT) | (2,906,400 | ) | ||||||
| (52,800 | ) | Delta Air Lines, Inc. * | (1,911,360 | ) | ||||||
| (4,900 | ) | Dexcom, Inc. * | (2,756,691 | ) | ||||||
| (11,400 | ) | DocuSign, Inc. * | (2,808,504 | ) | ||||||
| (600 | ) | DoorDash, Inc. – Class A * | (107,262 | ) | ||||||
| (45,900 | ) | DraftKings Inc. – Class A * | (1,585,845 | ) | ||||||
| (3,700 | ) | Equinix, Inc. (REIT) | (3,005,140 | ) | ||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (33,700 | ) | Equity LifeStyle Properties, Inc. (REIT) | (2,739,810 | ) | ||||||
| (1,600 | ) | Erie Indemnity Co. – Class A | (297,296 | ) | ||||||
| (26,700 | ) | Exact Sciences Corp. * | (2,279,379 | ) | ||||||
| (9,600 | ) | Expedia Group, Inc. * | (1,546,464 | ) | ||||||
| (1,700 | ) | First Republic Bank | (356,422 | ) | ||||||
| (24,300 | ) | Guidewire Software, Inc. * | (2,827,062 | ) | ||||||
| (10,900 | ) | Hess Corp. | (812,268 | ) | ||||||
| (68,600 | ) | Host Hotels & Resorts, Inc. (REIT) * | (1,077,020 | ) | ||||||
| (3,600 | ) | HubSpot, Inc. * | (2,904,876 | ) | ||||||
| (4,700 | ) | IDEXX Laboratories, Inc. * | (2,857,929 | ) | ||||||
| (16,800 | ) | Ingersoll Rand, Inc. | (980,112 | ) | ||||||
| (9,600 | ) | Insulet Corp. * | (2,769,024 | ) | ||||||
| (7,800 | ) | Ionis Pharmaceuticals, Inc. * | (206,700 | ) | ||||||
| (11,000 | ) | IQVIA Holdings, Inc. * | (2,850,430 | ) | ||||||
| (40,900 | ) | Iron Mountain, Inc. (REIT) | (1,858,496 | ) | ||||||
| (41,000 | ) | Lamb Weston Holdings, Inc. | (2,128,720 | ) | ||||||
| (8,700 | ) | Liberty Broadband Corp. – Class A * | (1,318,746 | ) | ||||||
| (9,000 | ) | Liberty Broadband Corp. – Class C * | (1,393,650 | ) | ||||||
| (47,700 | ) | Liberty Media Corp-Liberty Formula One – Class C * | (2,905,884 | ) | ||||||
| (7,900 | ) | Liberty Media Corp-Liberty SiriusXM – Class A * | (385,520 | ) | ||||||
| (6,900 | ) | Liberty Media Corp-Liberty SiriusXM – Class C * | (337,617 | ) | ||||||
| (2,900 | ) | Linde Plc | (922,606 | ) | ||||||
| (27,500 | ) | Live Nation Entertainment, Inc. * | (2,932,875 | ) | ||||||
| (6,200 | ) | MarketAxess Holdings, Inc. | (2,186,678 | ) | ||||||
| (3,300 | ) | Marriott International, Inc. – Class A * | (486,948 | ) | ||||||
| (45,800 | ) | MGM Resorts International | (1,812,764 | ) | ||||||
| (5,500 | ) | MongoDB, Inc. * | (2,739,550 | ) | ||||||
| (3,000 | ) | Monolithic Power Systems, Inc. | (1,660,380 | ) | ||||||
| (4,700 | ) | MSCI, Inc. | (2,958,415 | ) | ||||||
| (19,700 | ) | Novocure Ltd. * | (1,844,708 | ) | ||||||
| (34,700 | ) | Oak Street Health, Inc. * | (1,073,965 | ) | ||||||
| (12,500 | ) | Okta, Inc. * | (2,690,375 | ) | ||||||
| (37,700 | ) | Palantir Technologies, Inc. – Class A * | (778,505 | ) | ||||||
| (1,100 | ) | Paycom Software, Inc. * | (481,228 | ) | ||||||
| (22,700 | ) | Peloton Interactive, Inc. – Class A * | (998,800 | ) | ||||||
| (1,600 | ) | Public Storage (REIT) | (523,808 | ) | ||||||
| (9,700 | ) | RingCentral, Inc. – Class A * | (2,095,006 | ) | ||||||
| (8,500 | ) | Roku, Inc. * | (1,934,685 | ) | ||||||
| (31,900 | ) | Rollins, Inc. | (1,061,632 | ) | ||||||
| (29,900 | ) | Royal Caribbean Cruises Ltd. * | (2,087,618 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (33,100 | ) | Sarepta Therapeutics, Inc. * | (2,674,811 | ) | ||||||
| (8,300 | ) | Seagen, Inc. * | (1,328,000 | ) | ||||||
| (4,600 | ) | ServiceNow, Inc. * | (2,979,420 | ) | ||||||
| (18,100 | ) | Simon Property Group, Inc. (REIT) | (2,766,404 | ) | ||||||
| (48,000 | ) | Snap, Inc. – Class A * | (2,285,280 | ) | ||||||
| (8,000 | ) | Snowflake, Inc. – Class A * | (2,721,200 | ) | ||||||
| (12,300 | ) | Square, Inc. – Class A * | (2,562,459 | ) | ||||||
| (17,600 | ) | Teladoc Health, Inc. * | (1,782,000 | ) | ||||||
| (3,000 | ) | Tesla, Inc. * | (3,434,280 | ) | ||||||
| (9,100 | ) | Twilio, Inc. – Class A * | (2,603,965 | ) | ||||||
| (18,200 | ) | Twitter, Inc. * | (799,708 | ) | ||||||
| (45,400 | ) | Uber Technologies, Inc. * | (1,725,200 | ) | ||||||
| (51,000 | ) | UDR, Inc. (REIT) | (2,893,230 | ) | ||||||
| (8,400 | ) | Vail Resorts, Inc. | (2,786,364 | ) | ||||||
| (61,100 | ) | Vistra Corp. | (1,214,668 | ) | ||||||
| (4,600 | ) | Wayfair, Inc. – Class A * | (1,140,064 | ) | ||||||
| (101,700 | ) | Williams Cos, Inc. (The) | (2,724,543 | ) | ||||||
| (21,700 | ) | Zendesk, Inc.* | (2,215,787 | ) | ||||||
| (20,000 | ) | Zillow Group, Inc. – Class A* | (1,082,200 | ) | ||||||
| (24,156 | ) | Zillow Group, Inc. – Class C* | (1,310,946 | ) | ||||||
| (8,500 | ) | Zscaler, Inc.* | (2,949,246 | ) | ||||||
|
|
|
|||||||||
| Total United States | (172,094,925 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $317,367,805) |
(324,948,211 | ) | ||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (f) — (0.2)% | ||||||||||
| Germany — (0.2)% | ||||||||||
| (3,936 | ) | Sartorius AG | (2,707,696 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $1,714,615) |
(2,707,696 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $319,082,420) |
(327,655,907 | ) | ||||||||
| Other Assets and Liabilities (net) — 18.0% | 304,314,392 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $1,695,891,648 | |||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Forward Currency Contracts
| Settlement |
Counter- |
Currency |
Currency |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||
| 01/21/2022 | MSCI | AUD | 9,648,400 | USD | 7,209,688 | 327,831 | ||||||||||||
| 02/09/2022 | BCLY | AUD | 1,053,000 | USD | 780,911 | 29,798 | ||||||||||||
| 02/09/2022 | JPM | AUD | 1,287,000 | USD | 954,448 | 36,421 | ||||||||||||
| 02/09/2022 | MSCI | AUD | 17,470,000 | USD | 12,907,535 | 446,051 | ||||||||||||
| 12/02/2021 | CITI | BRL | 1,378,573 | USD | 250,000 | 4,783 | ||||||||||||
| 12/02/2021 | GS | BRL | 9,529,240 | USD | 1,720,000 | 24,964 | ||||||||||||
| 02/02/2022 | JPM | CAD | 8,073,094 | USD | 6,350,000 | 27,315 | ||||||||||||
| 02/14/2022 | MSCI | CHF | 25,621,527 | USD | 27,707,485 | (275,921 | ) | |||||||||||
| 02/16/2022 | MSCI | CLP | 260,276,000 | USD | 310,000 | (1,957 | ) | |||||||||||
| 02/17/2022 | JPM | COP | 1,057,725,000 | USD | 270,000 | 7,289 | ||||||||||||
| 01/18/2022 | CITI | CZK | 7,699,699 | USD | 350,000 | 8,075 | ||||||||||||
| 01/18/2022 | DB | CZK | 8,624,998 | USD | 390,000 | 6,984 | ||||||||||||
| 01/18/2022 | GS | CZK | 7,752,682 | USD | 340,000 | (4,278 | ) | |||||||||||
| 01/18/2022 | JPM | CZK | 27,670,522 | USD | 1,253,588 | 24,806 | ||||||||||||
| 01/21/2022 | BCLY | EUR | 1,689,200 | USD | 1,965,306 | 46,047 | ||||||||||||
| 01/21/2022 | MSCI | EUR | 43,510,800 | USD | 50,757,433 | 1,320,738 | ||||||||||||
| 01/31/2022 | DB | EUR | 3,420,000 | USD | 3,955,162 | 68,528 | ||||||||||||
| 01/21/2022 | MSCI | GBP | 9,548,000 | USD | 13,187,388 | 478,122 | ||||||||||||
| 02/14/2022 | GS | GBP | 490,000 | USD | 648,960 | (3,242 | ) | |||||||||||
| 02/14/2022 | JPM | GBP | 2,080,000 | USD | 2,857,529 | 89,002 | ||||||||||||
| 02/14/2022 | MSCI | GBP | 4,080,000 | USD | 5,465,282 | 34,709 | ||||||||||||
| 01/21/2022 | SSB | HKD | 27,034,200 | USD | 3,477,145 | 10,261 | ||||||||||||
| 01/14/2022 | BOA | HUF | 130,707,016 | USD | 410,000 | 3,754 | ||||||||||||
| 01/14/2022 | CITI | HUF | 204,326,080 | USD | 640,000 | 4,942 | ||||||||||||
| 01/14/2022 | GS | HUF | 182,217,473 | USD | 580,000 | 13,657 | ||||||||||||
| 01/14/2022 | MSCI | HUF | 216,940,690 | USD | 692,172 | 17,907 | ||||||||||||
| 02/04/2022 | GS | IDR | 7,666,980,000 | USD | 530,000 | (1,619 | ) | |||||||||||
| 01/10/2022 | MSCI | INR | 127,727,994 | USD | 1,716,313 | 21,201 | ||||||||||||
| 01/21/2022 | BOA | JPY | 1,981,964,900 | USD | 17,375,511 | (174,319 | ) | |||||||||||
| 02/09/2022 | DB | JPY | 158,783,310 | USD | 1,400,000 | (6,224 | ) | |||||||||||
| 02/10/2022 | BCLY | KRW | 557,048,700 | USD | 470,000 | (357 | ) | |||||||||||
| 02/10/2022 | JPM | KRW | 461,682,000 | USD | 390,000 | 168 | ||||||||||||
| 02/10/2022 | MSCI | KRW | 2,064,793,714 | USD | 1,745,019 | 1,561 | ||||||||||||
| 01/21/2022 | BCLY | MXN | 5,874,486 | USD | 280,000 | 8,694 | ||||||||||||
| 01/21/2022 | BOA | MXN | 6,887,923 | USD | 330,000 | 11,890 | ||||||||||||
| 01/21/2022 | GS | MXN | 18,341,116 | USD | 870,000 | 22,939 | ||||||||||||
| 01/21/2022 | MSCI | MXN | 3,271,451 | USD | 158,349 | 7,261 | ||||||||||||
| 02/15/2022 | JPM | NOK | 29,897,744 | USD | 3,280,000 | (22,960 | ) | |||||||||||
| 02/01/2022 | MSCI | NZD | 32,830,000 | USD | 22,702,602 | 311,041 | ||||||||||||
| 02/09/2022 | JPM | PHP | 22,992,661 | USD | 457,959 | 3,417 | ||||||||||||
| 01/18/2022 | MSCI | PLN | 6,874,573 | USD | 1,675,254 | 6,770 | ||||||||||||
| 01/31/2022 | JPM | RON | 10,202,748 | USD | 2,377,432 | 50,428 | ||||||||||||
| 02/09/2022 | GS | RUB | 15,854,404 | USD | 210,000 | (358 | ) | |||||||||||
| 02/07/2022 | GS | SEK | 25,095,143 | USD | 2,770,000 | (18,859 | ) | |||||||||||
| 02/07/2022 | JPM | SEK | 24,613,041 | USD | 2,800,000 | 64,718 | ||||||||||||
| 01/18/2022 | BOA | SGD | 539,748 | USD | 400,000 | 4,530 | ||||||||||||
| 01/18/2022 | CITI | SGD | 383,235 | USD | 280,000 | (794 | ) | |||||||||||
| 01/18/2022 | GS | SGD | 377,421 | USD | 280,000 | 3,466 | ||||||||||||
| 02/18/2022 | JPM | THB | 83,017,449 | USD | 2,499,848 | 35,717 | ||||||||||||
| Settlement |
Counter- |
Currency |
Currency |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||
| 01/25/2022 | BCLY | TRY | 4,705,415 | USD | 458,394 | 123,129 | ||||||||||||
| 02/18/2022 | CITI | TWD | 9,124,104 | USD | 330,000 | (1,885 | ) | |||||||||||
| 02/18/2022 | GS | TWD | 275,470 | USD | 10,000 | (20 | ) | |||||||||||
| 02/22/2022 | JPM | TWD | 6,729,120 | USD | 243,614 | (1,245 | ) | |||||||||||
| 01/21/2022 | BBH | USD | 1,081,931 | AUD | 1,514,200 | (1,906 | ) | |||||||||||
| 02/09/2022 | DB | USD | 1,731,690 | AUD | 2,440,000 | 8,781 | ||||||||||||
| 02/09/2022 | JPM | USD | 2,262,411 | AUD | 3,090,000 | (58,291 | ) | |||||||||||
| 12/02/2021 | MSCI | USD | 1,964,437 | BRL | 10,477,720 | (100,688 | ) | |||||||||||
| 02/02/2022 | JPM | USD | 23,164,143 | CAD | 28,683,790 | (699,576 | ) | |||||||||||
| 02/14/2022 | JPM | USD | 3,110,000 | CHF | 2,869,476 | 23,994 | ||||||||||||
| 02/14/2022 | MSCI | USD | 3,560,000 | CHF | 3,286,809 | 29,798 | ||||||||||||
| 02/16/2022 | MSCI | USD | 2,142,829 | CLP | 1,726,370,000 | (73,666 | ) | |||||||||||
| 02/17/2022 | MSCI | USD | 100,000 | COP | 404,200,000 | 393 | ||||||||||||
| 01/18/2022 | GS | USD | 340,000 | CZK | 7,684,862 | 1,267 | ||||||||||||
| 01/21/2022 | BBH | USD | 5,979,038 | EUR | 5,293,400 | 35,289 | ||||||||||||
| 01/21/2022 | BCLY | USD | 3,149,945 | EUR | 2,790,100 | 20,149 | ||||||||||||
| 01/21/2022 | BBH | USD | 1,714,076 | GBP | 1,293,400 | 7,559 | ||||||||||||
| 02/14/2022 | JPM | USD | 1,619,165 | GBP | 1,180,000 | (48,558 | ) | |||||||||||
| 02/14/2022 | MSCI | USD | 11,862,364 | GBP | 8,705,000 | (275,811 | ) | |||||||||||
| 01/21/2022 | BBH | USD | 728,024 | HKD | 5,675,700 | (169 | ) | |||||||||||
| 01/14/2022 | GS | USD | 320,000 | HUF | 103,942,944 | 3,061 | ||||||||||||
| 02/04/2022 | MSCI | USD | 2,290,857 | IDR | 33,034,155,000 | (309 | ) | |||||||||||
| 01/31/2022 | DB | USD | 590,000 | ILS | 1,836,236 | (6,084 | ) | |||||||||||
| 01/31/2022 | JPM | USD | 551,871 | ILS | 1,757,542 | 7,021 | ||||||||||||
| 01/10/2022 | GS | USD | 420,000 | INR | 31,698,240 | 676 | ||||||||||||
| 01/21/2022 | SSB | USD | 3,068,318 | JPY | 346,029,400 | (4,310 | ) | |||||||||||
| 02/09/2022 | JPM | USD | 9,733,863 | JPY | 1,107,194,765 | 71,727 | ||||||||||||
| 02/10/2022 | CITI | USD | 300,000 | KRW | 354,294,000 | (843 | ) | |||||||||||
| 02/10/2022 | GS | USD | 360,000 | KRW | 427,467,060 | 942 | ||||||||||||
| 02/15/2022 | MSCI | USD | 14,282,136 | NOK | 122,091,122 | (794,093 | ) | |||||||||||
| 02/01/2022 | JPM | USD | 1,286,271 | NZD | 1,800,000 | (58,589 | ) | |||||||||||
| 02/01/2022 | MSCI | USD | 16,760,331 | NZD | 23,870,000 | (479,898 | ) | |||||||||||
| 02/16/2022 | MSCI | USD | 638,551 | PEN | 2,590,310 | (4,410 | ) | |||||||||||
| 01/18/2022 | DB | USD | 300,000 | PLN | 1,247,381 | 2,744 | ||||||||||||
| 01/18/2022 |
GS | USD | 520,000 | PLN | 2,156,998 | 3,511 | ||||||||||||
| 01/18/2022 |
JPM | USD | 340,000 | PLN | 1,423,371 | 5,457 | ||||||||||||
| 01/31/2022 |
BOA | USD | 400,000 | RON | 1,764,692 | 2,484 | ||||||||||||
| 02/09/2022 |
MSCI | USD | 2,221,856 | RUB | 161,571,146 | (78,113 | ) | |||||||||||
| 02/07/2022 |
JPM | USD | 22,993,653 | SEK | 196,479,611 | (1,158,596 | ) | |||||||||||
| 01/18/2022 |
DB | USD | 300,000 | SGD | 411,386 | 1,421 | ||||||||||||
| 02/18/2022 |
BOA | USD | 330,000 | THB | 11,146,839 | 861 | ||||||||||||
| 02/18/2022 |
CITI | USD | 200,000 | THB | 6,672,160 | (1,956 | ) | |||||||||||
| 01/25/2022 |
BCLY | USD | 250,000 | TRY | 2,523,125 | (70,225 | ) | |||||||||||
| 01/25/2022 |
MSCI | USD | 217,122 | TRY | 2,182,290 | (61,632 | ) | |||||||||||
| 01/31/2022 |
MSCI | USD | 2,305,719 | ZAR | 34,948,937 | (126,323 | ) | |||||||||||
| 01/31/2022 |
BCLY | ZAR | 7,288,355 | USD | 460,000 | 5,502 | ||||||||||||
| 01/31/2022 | GS | ZAR | 8,856,095 | USD | 560,000 | 7,739 | ||||||||||||
|
|
|
|||||||||||||||||
| $ | (668,794 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Futures Contracts
| Number |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Sales | ||||||||||||
| 904 | Euro STOXX 50 | December 2021 | 41,660,801 | 967,110 | ||||||||
| 116 | FTSE 100 Index | December 2021 | 10,895,091 | (48,944 | ) | |||||||
| 18 | Hang Seng Index | December 2021 | 2,706,550 | 140,652 | ||||||||
| 2,022 | Mini MSCI Emerging Markets | December 2021 | 122,563,530 | 7,896,039 | ||||||||
| 728 | S&P 500 E-Mini | December 2021 | 166,211,500 | (4,359,735 | ) | |||||||
| Number |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| 177 | SGX Nifty 50 | December 2021 | 6,033,657 | 184,527 | ||||||||
| 45 | SPI 200 Futures | December 2021 | 5,757,842 | 179,761 | ||||||||
| 84 | TOPIX Index | December 2021 | 14,004,311 | 1,205,637 | ||||||||
|
|
|
|
|
|||||||||
| $ | 369,833,282 | $ | 6,165,047 | |||||||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
Swap Contracts
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives | Notional Amount |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 1.02% |
3 Month AUD BBSW | AUD | 82,470,000 | 12/15/2023 | Quarterly | 4,313 | (134,039 | ) | (138,352 | ) | ||||||||||||||||
| 1.05% |
3 Month AUD BBSW | AUD | 10,550,000 | 12/15/2023 | Quarterly | — | (21,633 | ) | (21,633 | ) | ||||||||||||||||
| 3 Month AUD BBSW |
0.97% | AUD | 13,570,000 | 12/15/2023 | Quarterly | 596 | 11,957 | 11,361 | ||||||||||||||||||
| 1.33% |
3 Month CAD LIBOR | CAD | 20,840,000 | 12/15/2023 | Semi-Annually | — | 72,775 | 72,775 | ||||||||||||||||||
| 1.37% |
3 Month CAD LIBOR | CAD | 24,510,000 | 12/15/2023 | Semi-Annually | — | 70,435 | 70,435 | ||||||||||||||||||
| 3 Month CAD LIBOR |
0.95% | CAD | 15,980,000 | 12/15/2023 | Semi-Annually | — | (149,058 | ) | (149,058 | ) | ||||||||||||||||
| 3 Month CAD LIBOR |
1.11% | CAD | 12,600,000 | 12/15/2023 | Semi-Annually | — | (86,852 | ) | (86,852 | ) | ||||||||||||||||
| (0.65)% |
CHF - SARON - OIS - COMPOUND | CHF | 15,280,000 | 12/15/2023 | Annually | 311 | 18,017 | 17,706 | ||||||||||||||||||
| (0.40)% |
CHF - SARON - OIS - COMPOUND | CHF | 4,380,000 | 12/15/2023 | Annually | 315 | (18,975 | ) | (19,290 | ) | ||||||||||||||||
| (0.62)% |
CHF - SARON - OIS - COMPOUND | CHF | 2,720,000 | 12/15/2023 | Annually | 223 | 1,732 | 1,509 | ||||||||||||||||||
| 0.83% |
GBP - SONIA - COMPOUND | GBP | 11,470,000 | 12/15/2023 | Annually | — | 18,350 | 18,350 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
0.79% | GBP | 126,320,000 | 12/15/2023 | Annually | (56,698 | ) | (326,270 | ) | (269,572 | ) | |||||||||||||||
| 0.84% |
GBP - SONIA - COMPOUND | GBP | 8,460,000 | 12/15/2023 | Annually | 821 | 9,844 | 9,023 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.42% | NZD | 102,760,000 | 12/15/2023 | Quarterly | 10,139 | 322,690 | 312,551 | ||||||||||||||||||
| 2.18% |
3 Month NZD Bank Bill Rate | NZD | 29,740,000 | 12/15/2023 | Quarterly | — | 1,902 | 1,902 | ||||||||||||||||||
| 0.23% |
3 Month SEK STIBOR | SEK | 11,100,000 | 12/15/2023 | Quarterly | — | (355 | ) | (355 | ) | ||||||||||||||||
| 0.30% |
3 Month SEK STIBOR | SEK | 661,480,000 | 12/15/2023 | Quarterly | (5,610 | ) | (129,615 | ) | (124,005 | ) | |||||||||||||||
| 1.51% |
3 Month CAD LIBOR | CAD | 83,390,000 | 12/18/2023 | Semi-Annually | 5,656 | 57,955 | 52,299 | ||||||||||||||||||
| 3 Month CAD LIBOR |
1.52% | CAD | 14,880,000 | 12/18/2023 | Semi-Annually | 6,585 | (7,562 | ) | (14,147 | ) | ||||||||||||||||
| (0.48)% |
6 Month EURIBOR | EUR | 3,580,000 | 12/20/2023 | Semi-Annually | 625 | 9,996 | 9,371 | ||||||||||||||||||
| (0.44)% |
6 Month EURIBOR | EUR | 6,050,000 | 12/20/2023 | Semi-Annually | 73 | 11,321 | 11,248 | ||||||||||||||||||
| 6 Month EURIBOR |
(0.30)% | EUR | 10,920,000 | 12/20/2023 | Semi-Annually | 1,308 | 15,392 | 14,084 | ||||||||||||||||||
| 6 Month EURIBOR |
(0.42)% | EUR | 4,500,000 | 12/20/2023 | Semi-Annually | (85 | ) | (6,349 | ) | (6,264 | ) | |||||||||||||||
| (0.38)% |
6 Month EURIBOR | EUR | 5,440,000 | 12/20/2023 | Semi-Annually | 48 | 2,289 | 2,241 | ||||||||||||||||||
| 3 Month USD LIBOR |
0.90% | USD | 7,460,000 | 12/20/2023 | Quarterly | (3,593 | ) | 14,871 | 18,464 | |||||||||||||||||
| 3 Month USD LIBOR |
0.78% | USD | 7,340,000 | 12/20/2023 | Quarterly | (654 | ) | (4,338 | ) | (3,684 | ) | |||||||||||||||
| 3 Month USD LIBOR |
0.73% | USD | 13,460,000 | 12/20/2023 | Quarterly | 1,671 | (20,360 | ) | (22,031 | ) | ||||||||||||||||
| 0.82% |
3 Month USD LIBOR | USD | 39,160,000 | 12/20/2023 | Quarterly | 5,089 | (15,298 | ) | (20,387 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
2.08% | AUD | 17,740,000 | 12/15/2031 | Semi-Annually | 1,463 | 78,641 | 77,178 | ||||||||||||||||||
| 6 Month AUD BBSW |
2.18% | AUD | 4,550,000 | 12/15/2031 | Semi-Annually | — | 48,714 | 48,714 | ||||||||||||||||||
| 6 Month AUD BBSW |
2.22% | AUD | 2,320,000 | 12/15/2031 | Semi-Annually | — | 30,967 | 30,967 | ||||||||||||||||||
| 2.06% |
6 Month AUD BBSW | AUD | 2,950,000 | 12/15/2031 | Semi-Annually | 2,372 | (8,986 | ) | (11,358 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
2.02% | AUD | 14,650,000 | 12/15/2031 | Semi-Annually | 3,476 | 2,060 | (1,416 | ) | |||||||||||||||||
| 1.99% |
6 Month AUD BBSW | AUD | 2,810,000 | 12/15/2031 | Semi-Annually | 511 | 3,873 | 3,362 | ||||||||||||||||||
| 1.76% |
3 Month CAD LIBOR | CAD | 2,540,000 | 12/15/2031 | Semi-Annually | — | 50,159 | 50,159 | ||||||||||||||||||
| 1.76% |
3 Month CAD LIBOR | CAD | 3,420,000 | 12/15/2031 | Semi-Annually | — | 66,551 | 66,551 | ||||||||||||||||||
| 2.01% |
3 Month CAD LIBOR | CAD | 2,730,000 | 12/15/2031 | Semi-Annually | — | 3,919 | 3,919 | ||||||||||||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Centrally Cleared Interest Rate Swaps — continued
| Fund Pays |
Fund Receives | Notional Amount |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 3 Month CAD LIBOR |
2.09% | CAD | 4,520,000 | 12/15/2031 | Semi-Annually | — | 20,396 | 20,396 | ||||||||||||||||||
| 3 Month CAD LIBOR |
2.15% | CAD | 5,330,000 | 12/15/2031 | Semi-Annually | — | 44,225 | 44,225 | ||||||||||||||||||
| 3 Month CAD LIBOR |
2.07% | CAD | 18,250,000 | 12/15/2031 | Semi-Annually | (3,667 | ) | 55,620 | 59,287 | |||||||||||||||||
| 3 Month CAD LIBOR |
2.07% | CAD | 70,290,000 | 12/15/2031 | Semi-Annually | (19,322 | ) | 209,151 | 228,473 | |||||||||||||||||
| 2.17% |
3 Month CAD LIBOR | CAD | 4,260,000 | 12/15/2031 | Semi-Annually | — | (41,870 | ) | (41,870 | ) | ||||||||||||||||
| 2.07% |
3 Month CAD LIBOR | CAD | 3,210,000 | 12/15/2031 | Semi-Annually | (13,084 | ) | (8,394 | ) | 4,690 | ||||||||||||||||
| 2.02% |
3 Month CAD LIBOR | CAD | 12,140,000 | 12/15/2031 | Semi-Annually | — | 5,913 | 5,913 | ||||||||||||||||||
|
CHF - SARON - OIS - COMPOUND |
0.20% | CHF | 890,000 | 12/15/2031 | Annually | (888 | ) | 19,017 | 19,905 | |||||||||||||||||
|
CHF - SARON - OIS - COMPOUND |
0.07% | CHF | 30,140,000 | 12/15/2031 | Annually | 9,802 | 203,143 | 193,341 | ||||||||||||||||||
|
CHF - SARON - OIS - COMPOUND |
(0.00)% | CHF | 550,000 | 12/15/2031 | Annually | 183 | (838 | ) | (1,021 | ) | ||||||||||||||||
|
CHF - SARON - OIS - COMPOUND |
(0.05)% | CHF | 3,870,000 | 12/15/2031 | Annually | (1,560 | ) | (26,591 | ) | (25,031 | ) | |||||||||||||||
| 0.14% |
CHF - SARON - OIS - COMPOUND | CHF | 740,000 | 12/15/2031 | Annually | 577 | (10,110 | ) | (10,687 | ) | ||||||||||||||||
| (0.01)% |
CHF - SARON - OIS - COMPOUND | CHF | 4,600,000 | 12/15/2031 | Annually | 3,643 | 9,059 | 5,416 | ||||||||||||||||||
|
GBP - SONIA - COMPOUND |
0.83% | GBP | 2,370,000 | 12/15/2031 | Annually | — | 2,918 | 2,918 | ||||||||||||||||||
|
GBP - SONIA - COMPOUND |
0.80% | GBP | 9,510,000 | 12/15/2031 | Annually | 2,314 | (20,144 | ) | (22,458 | ) | ||||||||||||||||
|
GBP - SONIA - COMPOUND |
0.79% | GBP | 1,750,000 | 12/15/2031 | Annually | (483 | ) | (6,815 | ) | (6,332 | ) | |||||||||||||||
| 0.88% |
GBP - SONIA - COMPOUND | GBP | 26,240,000 | 12/15/2031 | Annually | (70,579 | ) | (190,777 | ) | (120,198 | ) | |||||||||||||||
| 0.85% |
GBP - SONIA - COMPOUND | GBP | 62,920,000 | 12/15/2031 | Annually | (51,346 | ) | (257,886 | ) | (206,540 | ) | |||||||||||||||
| 0.99% |
GBP - SONIA - COMPOUND | GBP | 1,490,000 | 12/15/2031 | Annually | 2,120 | (33,140 | ) | (35,260 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.71% | NZD | 6,600,000 | 12/15/2031 | Quarterly | — | (2,421 | ) | (2,421 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.60% | NZD | 23,710,000 | 12/15/2031 | Quarterly | 15,066 | (158,805 | ) | (173,871 | ) | ||||||||||||||||
| 2.75% |
3 Month NZD Bank Bill Rate | NZD | 22,610,000 | 12/15/2031 | Quarterly | 17,715 | (53,055 | ) | (70,770 | ) | ||||||||||||||||
| 2.64% |
3 Month NZD Bank Bill Rate | NZD | 2,770,000 | 12/15/2031 | Quarterly | (2,329 | ) | 11,705 | 14,034 | |||||||||||||||||
| 3 Month SEK STIBOR |
0.93% | SEK | 36,100,000 | 12/15/2031 | Quarterly | — | 33,161 | 33,161 | ||||||||||||||||||
| 3 Month SEK STIBOR |
0.98% | SEK | 155,920,000 | 12/15/2031 | Quarterly | 3,438 | 226,888 | 223,450 | ||||||||||||||||||
| 3 Month SEK STIBOR |
0.88% | SEK | 138,640,000 | 12/15/2031 | Quarterly | (13,662 | ) | 66,354 | 80,016 | |||||||||||||||||
| 0.86% |
3 Month SEK STIBOR | SEK | 31,300,000 | 12/15/2031 | Quarterly | (1,570 | ) | (5,911 | ) | (4,341 | ) | |||||||||||||||
| 3 Month SEK STIBOR |
0.78% | SEK | 24,500,000 | 12/15/2031 | Quarterly | — | (16,275 | ) | (16,275 | ) | ||||||||||||||||
| 1.06% |
3 Month SEK STIBOR | SEK | 37,000,000 | 12/15/2031 | Quarterly | — | (85,605 | ) | (85,605 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
0.84% | SEK | 22,500,000 | 12/15/2031 | Quarterly | — | 628 | 628 | ||||||||||||||||||
| 3 Month SEK STIBOR |
0.85% | SEK | 2,300,000 | 12/15/2031 | Quarterly | — | 262 | 262 | ||||||||||||||||||
| 6 Month EURIBOR |
(0.08)% | EUR | 840,000 | 12/17/2031 | Semi-Annually | (208 | ) | (21,248 | ) | (21,040 | ) | |||||||||||||||
| 0.08% |
6 Month EURIBOR | EUR | 900,000 | 12/17/2031 | Semi-Annually | (48 | ) | 6,544 | 6,592 | |||||||||||||||||
| 6 Month EURIBOR |
0.13% | EUR | 5,250,000 | 12/17/2031 | Semi-Annually | — | (3,819 | ) | (3,819 | ) | ||||||||||||||||
| 6 Month EURIBOR |
0.13% | EUR | 1,100,000 | 12/17/2031 | Semi-Annually | (324 | ) | (1,179 | ) | (855 | ) | |||||||||||||||
| 6 Month EURIBOR |
0.05% | EUR | 1,220,000 | 12/17/2031 | Semi-Annually | (934 | ) | (12,653 | ) | (11,719 | ) | |||||||||||||||
| 0.32% |
6 Month EURIBOR | EUR | 2,220,000 | 12/17/2031 | Semi-Annually | (1,054 | ) | (44,770 | ) | (43,716 | ) | |||||||||||||||
| 0.14% |
6 Month EURIBOR | EUR | 34,730,000 | 12/17/2031 | Semi-Annually | 22,378 | 21,277 | (1,101 | ) | |||||||||||||||||
| 0.24% |
6 Month EURIBOR | EUR | 1,500,000 | 12/17/2031 | Semi-Annually | — | (16,302 | ) | (16,302 | ) | ||||||||||||||||
| 3 Month USD LIBOR |
1.61% | USD | 4,160,000 | 12/17/2031 | Quarterly | — | 38,456 | 38,456 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.70% | USD | 8,360,000 | 12/17/2031 | Quarterly | 528 | 145,206 | 144,678 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.66% | USD | 3,350,000 | 12/17/2031 | Quarterly | — | 44,578 | 44,578 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.73% | USD | 4,060,000 | 12/17/2031 | Quarterly | — | 81,642 | 81,642 | ||||||||||||||||||
| 1.58% |
3 Month USD LIBOR | USD | 1,570,000 | 12/17/2031 | Quarterly | 1,304 | (8,729 | ) | (10,033 | ) | ||||||||||||||||
| 3 Month USD LIBOR |
1.51% | USD | 5,340,000 | 12/17/2031 | Quarterly | — | (3,606 | ) | (3,606 | ) | ||||||||||||||||
| 1.54% |
3 Month USD LIBOR | USD | 48,320,000 | 12/17/2031 | Quarterly | (99,861 | ) | (108,875 | ) | (9,014 | ) | |||||||||||||||
| 1.74% |
3 Month USD LIBOR | USD | 1,610,000 | 12/17/2031 | Quarterly | 674 | (34,505 | ) | (35,179 | ) | ||||||||||||||||
| 1.51% |
3 Month USD LIBOR | USD | 2,880,000 | 12/17/2031 | Quarterly | (2,563 | ) | 1,674 | 4,237 | |||||||||||||||||
| 3 Month USD LIBOR |
1.55% | USD | 1,810,000 | 12/17/2031 | Quarterly | — | 4,932 | 4,932 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | (224,785 | ) | $ | 73,146 | $ | 297,931 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
OTC Total Return Swaps
| Fund Pays |
Fund Receives | Counterparty |
Notional Amount | Expiration |
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 | 826,647 | 12/07/2021 | Monthly | — | 32,378 | 32,378 | |||||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 0.75% |
GS | USD | 416,265 | 05/24/2022 | Monthly | — | 1,756 | 1,756 | |||||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 0.75% |
GS | USD | 450,197 | 05/24/2022 | Monthly | — | (24,882 | ) | (24,882 | ) | |||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 0.75% |
GS | USD | 224,572 | 05/24/2022 | Monthly | — | (1,265 | ) | (1,265 | ) | |||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 0.75% |
GS | USD | 5,605,065 | 05/24/2022 | Monthly | — | 120,594 | 120,594 | |||||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 0.50% |
GS | USD | 3,747,164 | 05/24/2022 | Monthly | — | 222,804 | 222,804 | |||||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 1.00% |
MORD | USD | 2 | 06/21/2022 | Monthly | — | — | — | |||||||||||||||||||||
| Total Return on Equity Basket (k) |
1 Month Federal Funds Rate minus 0.40% |
MORD | USD | 19,785,996 | 10/18/2022 | Monthly | — | 937,572 | 937,572 | |||||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 1.00% |
MORD | USD | 925,078 | 10/18/2022 | Monthly | — | 106,858 | 106,858 | |||||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 2.50% |
MORD | USD | 8,355,322 | 05/18/2023 | Monthly | — | 432,822 | 432,822 | |||||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 0.40% |
MORD | USD | 982,931 | 11/20/2023 | Monthly | — | 132,905 | 132,905 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | — | $ | 1,961,542 | $ | 1,961,542 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
As of November 30, 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) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any. |
| (c) | 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) | Security is in default. |
| (h) | All or a portion of this security is purchased with collateral from securities loaned. |
| (i) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
| (j) | Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets. |
| (k) | The following table represents the individual short positions within the custom equity basket swap as of November 30, 2021: |
| Shares | Description | % of Equity Basket |
Value ($) | |||||||
| 5,800,000 |
Alibaba Pictures Group Ltd | 3.2 | % | 595,302 | ||||||
| 4,227,000 |
China Molybdenum Co Ltd – Class H | 13.8 | % | 2,593,213 | ||||||
| 240,000 |
China Resources Beer Holdings Co Ltd | 10.4 | % | 1,968,639 | ||||||
| 1,144,000 |
China Youzan Ltd | 0.5 | % | 101,934 | ||||||
| 181,500 |
CITIC Securities Co Ltd – Class H | 2.3 | % | 431,505 | ||||||
| 9,400 |
Ganfeng Lithium Co Ltd – Class H | 1.0 | % | 181,677 | ||||||
| 1,362,000 |
Greentown Service Group Co Ltd | 6.9 | % | 1,305,186 | ||||||
| 48,900 |
Hong Kong Exchanges and Clearing Ltd | 14.3 | % | 2,689,080 | ||||||
| 815,000 |
Kingdee International Software Group Co Ltd | 13.0 | % | 2,446,101 | ||||||
| 123,000 |
New World Development Co Ltd | 2.6 | % | 485,660 | ||||||
| 920,800 |
Sands China Ltd | 11.2 | % | 2,104,311 | ||||||
| 50,000 |
Venus Medtech Hangzhou Inc – Class H | 1.3 | % | 249,689 | ||||||
| 79,000 |
Weimob Inc | 0.5 | % | 94,905 | ||||||
| 139,000 |
Yihai International Holding Ltd. | 3.9 | % | 745,770 | ||||||
| 2,138,000 |
Zijin Mining Group Co Ltd – Class H | 15.1 | % | 2,837,019 | ||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS | $ | 18,829,991 | ||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
The rates shown on variable rate notes are the current interest rates at November 30, 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.
CLO - Collateralized Loan Obligation
CVA - Certificaaten van aandelen (Share Certificates)
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
LIBOR - London Interbank Offered Rate
NVDR - Non-Voting Depositary Receipt
NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.
OIS - Overnight Indexed Swaps
PJSC - Private Joint-Stock Company
QPSC - Qatar Private Stock Company
QSC - Qatari Shareholding Company
REIT - Real Estate Investment Trust
SARON - Swiss Average Rate Overnight
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
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
USD LIBOR - London Interbank Offered Rate denominated in United States Dollar.
Counterparty Abbreviations:
BBH - Brown Brothers Harriman & Co.
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
TRY - Turkish Lira
TWD - Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares / Par Value† |
Description | Value ($) | ||||||||
| MUTUAL FUNDS — 99.8% | ||||||||||
| Affiliated Issuers — 99.8% | ||||||||||
| 7,217,062 | GMO Alternative Allocation Fund, Class VI | 125,432,539 | ||||||||
| 1,602,384 | GMO Asset Allocation Bond Fund, Class VI | 39,514,781 | ||||||||
| 791,885 | GMO Emerging Country Debt Fund, Class VI | 19,781,281 | ||||||||
| 1,650,000 | GMO Emerging Markets ex-China Fund, Class VI | 31,449,000 | ||||||||
| 2,373,437 | GMO Emerging Markets Fund, Class VI | 80,862,992 | ||||||||
| 4,798,462 | GMO International Equity Fund, Class IV | 112,907,807 | ||||||||
| 1,159,299 | GMO-Usonian Japan Value Creation Fund, Class VI | 24,519,164 | ||||||||
| 2,950,197 | GMO Multi-Sector Fixed Income Fund, Class IV | 58,030,377 | ||||||||
| 753,886 | GMO Opportunistic Income Fund, Class VI | 19,668,891 | ||||||||
| 699,875 | GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI | 19,057,589 | ||||||||
| 436,851 | GMO Quality Fund, Class VI | 13,079,328 | ||||||||
| 3,381,355 | GMO U.S. Equity Fund, Class VI | 53,121,091 | ||||||||
| 1,510,376 | GMO U.S. Small Cap Value Fund, Class VI | 39,571,840 | ||||||||
| 408 | GMO U.S. Treasury Fund | 2,053 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $645,259,956) |
636,998,733 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 0.0% | ||||||||||
| Asset-Backed Securities — 0.0% | ||||||||||
| 18,825 | ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A,Variable Rate, 1 mo. LIBOR + 0.28%, 0.37%, due 02/25/36 | 3,544 | ||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| 8,196 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.59%, due 10/25/34 | 7,891 | ||||||||
| 7,816 | 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 | 6,812 | ||||||||
|
|
|
|||||||||
| Total Asset-Backed Securities | 18,247 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $23,159) |
18,247 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 434,765 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 434,765 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $434,765) |
434,765 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.9% (Cost $645,717,880) |
637,451,745 | |||||||||
| Other Assets and Liabilities (net) — 0.1% | 483,998 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $637,935,743 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
The rates shown on variable rate notes are the current interest rates at November 30, 2021, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
FSA - Insured as to the payment of principal and interest by Financial Security Assurance.
LIBOR - London Interbank Offered Rate
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 99.9% | ||||||||||
| Affiliated Issuers — 99.9% | ||||||||||
| 310,000 | GMO Emerging Markets ex-China Fund, Class VI | 5,908,600 | ||||||||
| 75,255 | GMO Emerging Markets Fund, Class VI | 2,563,924 | ||||||||
| 1,488,623 | GMO International Equity Fund, Class IV | 35,027,295 | ||||||||
| 149,097 | GMO-Usonian Japan Value Creation Fund, Class VI | 3,153,407 | ||||||||
| 168,080 | GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI | 4,576,808 | ||||||||
| 374,224 | GMO Quality Fund, Class VI | 11,204,262 | ||||||||
| 994,408 | GMO U.S. Equity Fund, Class VI | 15,622,150 | ||||||||
| 365,447 | GMO U.S. Small Cap Value Fund, Class VI | 9,574,721 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $74,948,717) |
87,631,167 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 60,399 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 60,399 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $60,399) |
60,399 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $75,009,116) |
87,691,566 | |||||||||
| Other Assets and Liabilities (net) — (0.0%) | (34,460 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $87,657,106 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
(a) The rate disclosed is the 7 day net yield as of November 30, 2021.
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 100.0% | ||||||||||
| Affiliated Issuers — 100.0% | ||||||||||
| 6,550,000 | GMO Emerging Markets ex-China Fund, Class VI | 124,843,000 | ||||||||
| 7,597,032 | GMO Emerging Markets Fund, Class VI | 258,830,896 | ||||||||
| 23,843,325 | GMO International Equity Fund, Class IV | 561,033,443 | ||||||||
| 2,973,327 | GMO-Usonian Japan Value Creation Fund, Class VI | 62,885,857 | ||||||||
| 3,095,345 | GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI | 84,286,242 | ||||||||
| 7,545,206 | GMO Quality Fund, Class VI | 225,903,480 | ||||||||
| 8,320,169 | GMO U.S. Equity Fund, Class VI | 130,709,849 | ||||||||
| 6,374,202 | GMO U.S. Small Cap Value Fund, Class VI | 167,004,100 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $1,505,623,957) |
1,615,496,867 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
| Money Market Funds — 0.0% | ||||||||||
| 647,836 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 647,836 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $647,836) | 647,836 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $1,506,271,793) |
1,616,144,703 | |||||||||
| Other Assets and Liabilities (net) — (0.0%) | (110,582 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $1,616,034,121 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
(a) The rate disclosed is the 7 day net yield as of November 30, 2021.
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 82.4% | ||||||||||
| Argentina — 0.0% | ||||||||||
| 26,136 | Banco BBVA Argentina SA ADR * | 77,624 | ||||||||
| 12,768 | Grupo Financiero Galicia SA ADR | 110,826 | ||||||||
|
|
|
|||||||||
| Total Argentina | 188,450 | |||||||||
|
|
|
|||||||||
| Australia — 2.1% | ||||||||||
| 97,638 | Accent Group Ltd | 175,804 | ||||||||
| 120,256 | Adairs Ltd | 306,289 | ||||||||
| 135,790 | Afterpay Ltd * (a) | 10,398,885 | ||||||||
| 94,352 | Australian Pharmaceutical Industries Ltd (a) (b) | 100,736 | ||||||||
| 48,776 | Aventus Group (REIT) | 116,073 | ||||||||
| 590,860 | BlueScope Steel Ltd | 8,212,526 | ||||||||
| 577,572 | Brambles Ltd | 4,091,912 | ||||||||
| 1,035,690 | Dexus (REIT) | 8,186,555 | ||||||||
| 866,856 | Fortescue Metals Group Ltd | 10,409,863 | ||||||||
| 82,845 | GDI Property Group (REIT) | 64,214 | ||||||||
| 328,387 | Genworth Mortgage Insurance Australia Ltd | 522,044 | ||||||||
| 2,028,976 | GPT Group (The) (REIT) | 7,570,589 | ||||||||
| 113,888 | GrainCorp Ltd – Class A | 548,514 | ||||||||
| 52,900 | McMillan Shakespeare Ltd | 470,341 | ||||||||
| 123,173 | Metcash Ltd (b) | 354,198 | ||||||||
| 106,278 | Mineral Resources Ltd | 3,410,763 | ||||||||
| 1,839,955 | Mirvac Group (REIT) | 3,725,363 | ||||||||
| 233,134 | Mount Gibson Iron Ltd | 60,393 | ||||||||
| 6,900,122 | Oil Search Ltd | 18,555,771 | ||||||||
| 188,685 | Rio Tinto Ltd | 12,519,764 | ||||||||
| 263,842 | Sandfire Resources Ltd | 1,121,298 | ||||||||
| 2,202,707 | Scentre Group (REIT) | 4,820,887 | ||||||||
| 54,595 | Southern Cross Media Group Ltd | 78,617 | ||||||||
| 972,936 | Stockland (REIT) | 3,003,734 | ||||||||
| 80,128 | Suncorp Group Ltd | 613,947 | ||||||||
| 53,638 | Super Retail Group Ltd | 475,858 | ||||||||
| 884,784 | Sydney Airport * | 5,211,104 | ||||||||
| 33,424 | Virtus Health Ltd (b) | 126,101 | ||||||||
|
|
|
|||||||||
| Total Australia | 105,252,143 | |||||||||
|
|
|
|||||||||
| Belgium — 0.5% | ||||||||||
| 211,211 | Ageas SA/NV (b) | 10,922,768 | ||||||||
| 15,143 | AGFA-Gevaert NV * (a) | 60,962 | ||||||||
| 25,582 | Bekaert SA | 1,029,810 | ||||||||
| 24,524 | bpost SA * | 199,644 | ||||||||
| 850 | Cie d’Entreprises CFE | 88,189 | ||||||||
| 750 | D’ieteren Group | 136,838 | ||||||||
| 208 | Groupe Bruxelles Lambert SA | 22,589 | ||||||||
| 14,772 | KBC Group NV | 1,239,967 | ||||||||
| 5,551 | Orange Belgium SA | 121,421 | ||||||||
| 5,261 | Proximus SADP (b) | 95,630 | ||||||||
| 2,156 | Sofina SA | 1,001,917 | ||||||||
| 2,105 | Solvay SA | 235,525 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Belgium — continued | ||||||||||
| 80,733 | UCB SA | 8,828,113 | ||||||||
| 471 | VGP NV | 125,402 | ||||||||
|
|
|
|||||||||
| Total Belgium | 24,108,775 | |||||||||
|
|
|
|||||||||
| Brazil — 1.0% | ||||||||||
| 135,700 | Ambev SA ADR | 382,674 | ||||||||
| 1,962,500 | Banco Bradesco SA | 5,941,416 | ||||||||
| 273,400 | Banco do Brasil SA | 1,548,433 | ||||||||
| 299,700 | Blau Farmaceutica SA | 1,796,542 | ||||||||
| 215,400 | C&A Modas Ltda * | 247,513 | ||||||||
| 42,935 | Camil Alimentos SA | 73,088 | ||||||||
| 106,000 | CPFL Energia SA | 497,772 | ||||||||
| 56,200 | Enjoei.com.br Atividades de Internet SA * | 28,890 | ||||||||
| 32,300 | Equatorial Energia SA | 129,675 | ||||||||
| 11,100 | Mahle-Metal Leve SA | 57,831 | ||||||||
| 965,700 | Marfrig Global Foods SA | 4,048,765 | ||||||||
| 136,200 | Ser Educacional SA | 250,506 | ||||||||
| 716,300 | Telefonica Brasil SA | 6,407,629 | ||||||||
| 3,560,900 | TIM SA | 8,740,970 | ||||||||
| 80,600 | Transmissora Alianca de Energia Eletrica SA | 516,559 | ||||||||
| 869,600 | Vale SA Sponsored ADR | 10,756,952 | ||||||||
| 1,178,700 | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA * | 2,344,044 | ||||||||
| 1,780,900 | Vibra Energia SA | 6,893,173 | ||||||||
|
|
|
|||||||||
| Total Brazil | 50,662,432 | |||||||||
|
|
|
|||||||||
| Canada — 1.8% | ||||||||||
| 19,000 | Advantage Energy Ltd * | 105,452 | ||||||||
| 55,200 | Bank of Montreal | 5,748,803 | ||||||||
| 1,798,333 | Bombardier Inc – Class B * | 2,435,411 | ||||||||
| 188,168 | Brookfield Asset Management Inc – Class A | 10,569,397 | ||||||||
| 122,900 | Canaccord Genuity Group Inc | 1,365,181 | ||||||||
| 134,200 | Canadian Apartment Properties (REIT) | 5,973,316 | ||||||||
| 27,900 | Canadian Tire Corp Ltd – Class A | 3,687,531 | ||||||||
| 34,800 | Canadian Western Bank | 1,006,311 | ||||||||
| 110,400 | Canfor Corp * | 2,355,004 | ||||||||
| 8,200 | Canfor Pulp Products Inc * (b) | 39,862 | ||||||||
| 18,200 | Cascades Inc | 191,339 | ||||||||
| 39,700 | Celestica Inc * (c) | 406,131 | ||||||||
| 112,900 | Celestica Inc * (c) | 1,156,884 | ||||||||
| 29,300 | Cenovus Energy Inc | 347,715 | ||||||||
| 9,800 | Cogeco Inc | 612,572 | ||||||||
| 238,700 | Corus Entertainment Inc – B Shares | 921,203 | ||||||||
| 16,300 | Crescent Point Energy Corp | 70,179 | ||||||||
| 2,900 | Fairfax Financial Holdings Ltd | 1,287,060 | ||||||||
| 37,900 | Finning International Inc | 965,709 | ||||||||
| 22,000 | Great-West Lifeco Inc | 638,585 | ||||||||
| 25,400 | iA Financial Corp Inc | 1,349,683 | ||||||||
| 26,800 | Imperial Oil Ltd (c) | 886,812 | ||||||||
| 48,600 | Imperial Oil Ltd (b) (c) | 1,606,621 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Canada — continued | ||||||||||
| 44,600 | Interfor Corp | 1,113,734 | ||||||||
| 28,500 | Intertape Polymer Group Inc | 545,927 | ||||||||
| 10,800 | Laurentian Bank of Canada (b) | 310,274 | ||||||||
| 29,200 | Linamar Corp | 1,676,408 | ||||||||
| 101,700 | Magna International Inc | 7,622,823 | ||||||||
| 5,400 | Morguard North American Residential Real Estate Investment Trust | 73,384 | ||||||||
| 7,800 | National Bank of Canada | 606,134 | ||||||||
| 133,585 | Nutrien Ltd | 8,832,640 | ||||||||
| 4,300 | Parex Resources Inc | 68,937 | ||||||||
| 124,900 | Power Corp of Canada (b) | 4,029,222 | ||||||||
| 26,100 | PrairieSky Royalty Ltd | 285,221 | ||||||||
| 3,500 | Russel Metals Inc | 90,798 | ||||||||
| 582,997 | Shaw Communications Inc – Class B | 16,885,897 | ||||||||
| 38,300 | Teck Resources Ltd – Class B | 1,014,567 | ||||||||
| 6,900 | Tourmaline Oil Corp | 229,613 | ||||||||
| 11,800 | Transat AT Inc * (b) | 41,660 | ||||||||
| 14,320 | Transcontinental Inc – Class A | 208,615 | ||||||||
| 11,900 | Wajax Corp | 215,652 | ||||||||
| 26,300 | West Fraser Timber Co Ltd | 2,162,552 | ||||||||
|
|
|
|||||||||
| Total Canada | 89,740,819 | |||||||||
|
|
|
|||||||||
| Chile — 0.1% | ||||||||||
| 15,002 | CAP SA | 135,516 | ||||||||
| 107,776 | Cencosud Shopping SA | 114,266 | ||||||||
| 15,900 | Cia Cervecerias Unidas SA Sponsored ADR | 255,513 | ||||||||
| 9,850,979 | Colbun SA | 645,906 | ||||||||
| 521,373 | Falabella SA | 1,613,731 | ||||||||
| 62,938 | Inversiones La Construccion SA | 190,259 | ||||||||
|
|
|
|||||||||
| Total Chile | 2,955,191 | |||||||||
|
|
|
|||||||||
| China — 7.8% | ||||||||||
| 5,525 | 17 Education & Technology Group Inc ADR * | 10,663 | ||||||||
| 3,097,720 | 361 Degrees International Ltd * (b) | 1,549,697 | ||||||||
| 270,000 | 7Road Holdings Ltd * | 83,928 | ||||||||
| 14,250 | A-Living Smart City Services Co Ltd | 33,587 | ||||||||
| 2,927,000 | Agile Group Holdings Ltd | 1,925,157 | ||||||||
| 140,272 | Agricultural Bank of China Ltd – Class A | 64,014 | ||||||||
| 49,881,280 | Agricultural Bank of China Ltd – Class H | 16,474,422 | ||||||||
| 102,000 | AK Medical Holdings Ltd | 87,169 | ||||||||
| 10,900 | Alibaba Group Holding Ltd * | 174,048 | ||||||||
| 15,496 | Alibaba Group Holding Ltd Sponsored ADR * | 1,976,205 | ||||||||
| 278,000 | Angang Steel Co Ltd – Class H | 123,168 | ||||||||
| 54,120 | ANTA Sports Products Ltd | 864,228 | ||||||||
| 200 | Ascentage Pharma Group International * | 832 | ||||||||
| 30,980 | Autohome Inc ADR | 1,058,587 | ||||||||
| 68,000 | AviChina Industry & Technology Co Ltd – Class H | 44,725 | ||||||||
| 8,276,500 | BAIC Motor Corp Ltd – Class H | 3,410,684 | ||||||||
| 13,900 | Baidu Inc Sponsored ADR * | 2,082,776 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 4,197,596 | Bank of China Ltd – Class A | 2,009,069 | ||||||||
| 50,884,720 | Bank of China Ltd – Class H | 17,669,011 | ||||||||
| 25,864,000 | Bank of Communications Co Ltd – Class H | 15,059,087 | ||||||||
| 15,700 | Baozun Inc Sponsored ADR * | 216,503 | ||||||||
| 475,500 | Beijing Enterprises Holdings Ltd | 1,604,319 | ||||||||
| 73,800 | BEST Inc ADR * | 76,752 | ||||||||
| 7,632 | Beyondspring Inc * | 97,461 | ||||||||
| 8,700 | Burning Rock Biotech Ltd ADR * | 134,502 | ||||||||
| 317,220 | BYD Electronic International Co Ltd (b) | 1,173,567 | ||||||||
| 1,281,000 | China Aoyuan Group Ltd | 358,044 | ||||||||
| 108,000 | China BlueChemical Ltd – Class H | 32,783 | ||||||||
| 11,555,000 | China Cinda Asset Management Co Ltd – Class H | 1,846,311 | ||||||||
| 8,425,893 | China Communications Services Corp Ltd – Class H | 4,011,221 | ||||||||
| 12,155,513 | China Construction Bank Corp – Class H | 7,920,606 | ||||||||
| 1,548,000 | China Datang Corp Renewable Power Co Ltd – Class H | 595,088 | ||||||||
| 2,419,480 | China Dongxiang Group Co Ltd | 221,255 | ||||||||
| 189,000 | China East Education Holdings Ltd * | 197,289 | ||||||||
| 22,000 | China Education Group Holdings Ltd | 40,470 | ||||||||
| 3,734,000 | China Energy Engineering Corp Ltd – Class H (b) | 528,653 | ||||||||
| 1,726,000 | China Everbright Bank Co Ltd – Class H | 591,767 | ||||||||
| 72,000 | China Everbright Ltd | 77,558 | ||||||||
| 3,098,200 | China Feihe Ltd | 4,144,522 | ||||||||
| 84,168 | China Gas Holdings Ltd | 151,849 | ||||||||
| 3,659,000 | China Greenfresh Group Co Ltd * (d) | — | ||||||||
| 231,000 | China High Speed Transmission Equipment Group Co Ltd – Class H * | 191,250 | ||||||||
| 4,720,500 | China Hongqiao Group Ltd | 4,569,535 | ||||||||
| 68,332,000 | China Huarong Asset Management Co Ltd – Class H * (d) | 6,659,697 | ||||||||
| 107,436 | China International Marine Containers Group Co Ltd – Class A | 287,027 | ||||||||
| 2,725,480 | China Lesso Group Holdings Ltd | 3,958,011 | ||||||||
| 803,000 | China Lilang Ltd | 430,022 | ||||||||
| 137,600 | China Longyuan Power Group Corp Ltd – Class H | 281,264 | ||||||||
| 5,130,925 | China Medical System Holdings Ltd | 8,403,394 | ||||||||
| 290,120 | China Merchants Bank Co Ltd – Class A | 2,251,020 | ||||||||
| 594,600 | China Molybdenum Co Ltd – Class A | 549,894 | ||||||||
| 6,420,000 | China National Building Material Co Ltd – Class H | 6,897,126 | ||||||||
| 51,000 | China New Higher Education Group Ltd | 25,605 | ||||||||
| 355,520 | China Oriental Group Co Ltd | 93,966 | ||||||||
| 1,323,000 | China Overseas Grand Oceans Group Ltd | 596,711 | ||||||||
| 3,207,980 | China Overseas Land & Investment Ltd | 7,375,005 | ||||||||
| 74,840 | China Pacific Insurance Group Co Ltd – Class A | 317,831 | ||||||||
| 178,728 | China Pacific Insurance Group Co Ltd – Class H | 518,420 | ||||||||
| 2,600 | China Petroleum & Chemical Corp ADR | 113,750 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 728,600 | China Petroleum & Chemical Corp – Class A | 460,234 | ||||||||
| 33,290,000 | China Petroleum & Chemical Corp – Class H | 14,511,418 | ||||||||
| 116,676 | China Railway Group Ltd – Class A | 96,902 | ||||||||
| 22,483,000 | China Railway Group Ltd – Class H | 10,688,749 | ||||||||
| 190,080 | China Railway Signal & Communication Corp Ltd – Class A | 144,924 | ||||||||
| 629,000 | China Railway Signal & Communication Corp Ltd – Class H (b) | 221,441 | ||||||||
| 4,560,320 | China Reinsurance Group Corp – Class H | 426,540 | ||||||||
| 152,160 | China Resources Gas Group Ltd | 787,842 | ||||||||
| 666,640 | China Resources Land Ltd | 2,785,032 | ||||||||
| 4,975,000 | China Resources Pharmaceutical Group Ltd | 2,163,460 | ||||||||
| 121,000 | China Risun Group Ltd | 73,175 | ||||||||
| 510,000 | China Shineway Pharmaceutical Group Ltd | 470,480 | ||||||||
| 2,586,000 | China South City Holdings Ltd | 171,942 | ||||||||
| 394,000 | China State Construction International Holdings Ltd | 398,369 | ||||||||
| 60 | China Tian Lun Gas Holdings Ltd | 57 | ||||||||
| 5,902,000 | China Traditional Chinese Medicine Holdings Co Ltd | 2,840,830 | ||||||||
| 24,300 | China Yuchai International Ltd | 287,955 | ||||||||
| 4,237,600 | China Zhongwang Holdings Ltd * (b) (e) | 912,948 | ||||||||
| 315,000 | Chongqing Rural Commercial Bank Co Ltd – Class H | 107,451 | ||||||||
| 136,000 | CIFI Ever Sunshine Services Group Ltd | 228,815 | ||||||||
| 10,334,000 | CITIC Ltd | 9,308,619 | ||||||||
| 2,865,000 | Country Garden Holdings Co Ltd ADR (b) | 2,524,975 | ||||||||
| 8,076,000 | CSPC Pharmaceutical Group Ltd | 8,372,856 | ||||||||
| 11,064,000 | Dongfeng Motor Group Co Ltd – Class H | 10,271,041 | ||||||||
| 2,539,000 | Dongyue Group Ltd | 4,795,212 | ||||||||
| 158,460 | ENN Energy Holdings Ltd | 2,966,870 | ||||||||
| 1,897,334 | Fangda Special Steel Technology Co Ltd – Class A | 2,152,299 | ||||||||
| 2,878,500 | Fantasia Holdings Group Co Ltd | 115,965 | ||||||||
| 3,558,000 | Fosun International Ltd | 3,882,953 | ||||||||
| 58,100 | Fuyao Glass Industry Group Co Ltd – Class A | 422,557 | ||||||||
| 84,200 | Gaotu Techedu Inc * | 224,814 | ||||||||
| 546,000 | GCL New Energy Holdings Ltd * | 21,602 | ||||||||
| 69,000 | Geely Automobile Holdings Ltd | 204,841 | ||||||||
| 142,040 | Greenland Hong Kong Holdings Ltd | 28,709 | ||||||||
| 320,080 | Guangdong Investment Ltd | 425,943 | ||||||||
| 696,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H | 1,697,013 | ||||||||
| 3,602,400 | Guangzhou R&F Properties Co Ltd – Class H (b) | 1,949,755 | ||||||||
| 83,800 | Haier Smart Home Co Ltd – Class H | 312,707 | ||||||||
| 535,900 | Hello Group Inc Sponsored ADR | 6,200,363 | ||||||||
| 1,270,544 | Hisense Home Appliances Group Co Ltd – Class A | 2,263,230 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 571,000 | Hisense Home Appliances Group Co Ltd – Class H | 549,431 | ||||||||
| 9,764 | Hollysys Automation Technologies Ltd * | 150,951 | ||||||||
| 244,000 | Hope Education Group Co Ltd | 53,215 | ||||||||
| 877,910 | Hopson Development Holdings Ltd | 2,124,288 | ||||||||
| 1,000 | Huabao International Holdings Ltd | 2,869 | ||||||||
| 29,900 | HUYA Inc ADR * | 257,439 | ||||||||
| 88 | Industrial & Commercial Bank of China Ltd – Class A | 63 | ||||||||
| 7,564,696 | Industrial & Commercial Bank of China Ltd – Class H | 3,997,435 | ||||||||
| 667,993 | Inner Mongolia Eerduosi Resources Co Ltd – Class A | 2,756,705 | ||||||||
| 24,000 | InnoCare Pharma Ltd * | 60,938 | ||||||||
| 62,000 | Joy Spreader Group Inc * (b) | 17,384 | ||||||||
| 82,500 | JW Cayman Therapeutics Co Ltd * (b) | 133,404 | ||||||||
| 1,653,000 | Kaisa Group Holdings Ltd * | 224,696 | ||||||||
| 31,200 | KE Holdings Inc ADR * | 624,312 | ||||||||
| 891,500 | Kingboard Holdings Ltd | 4,475,230 | ||||||||
| 66,260 | Kingboard Laminates Holdings Ltd | 116,180 | ||||||||
| 3,000 | Koolearn Technology Holding Ltd * (b) | 3,134 | ||||||||
| 334,000 | Kunlun Energy Co Ltd | 314,123 | ||||||||
| 30,660 | KWG Group Holdings Ltd | 22,736 | ||||||||
| 87,000 | KWG Living Group Holdings Ltd | 52,592 | ||||||||
| 43,606 | Lao Feng Xiang Co Ltd – Class A | 310,461 | ||||||||
| 913,700 | Legend Holdings Corp – Class H | 1,441,880 | ||||||||
| 10,092,000 | Lenovo Group Ltd | 10,334,299 | ||||||||
| 60,000 | Lifetech Scientific Corp * | 32,435 | ||||||||
| 516,500 | Livzon Pharmaceutical Group Inc – Class H | 1,689,411 | ||||||||
| 73,880 | Logan Group Co Ltd | 71,284 | ||||||||
| 97,120 | Longfor Group Holdings Ltd | 461,006 | ||||||||
| 5,363,640 | Lonking Holdings Ltd | 1,383,812 | ||||||||
| 101,592 | Lufax Holding Ltd ADR * | 648,157 | ||||||||
| 113,500 | Luye Pharma Group Ltd * (b) | 52,034 | ||||||||
| 13,831,000 | Metallurgical Corp of China Ltd – Class H | 3,491,994 | ||||||||
| 552,000 | MMG Ltd * | 199,921 | ||||||||
| 29,000 | Mobvista Inc * | 25,327 | ||||||||
| 15,508 | NetEase Inc | 334,815 | ||||||||
| 64 | NetEase Inc ADR | 6,895 | ||||||||
| 55,000 | Netjoy Holdings Ltd * | 21,541 | ||||||||
| 106,000 | Newborn Town Inc * | 52,403 | ||||||||
| 2,980,000 | Nexteer Automotive Group Ltd | 3,852,654 | ||||||||
| 1,508,000 | Nine Dragons Paper Holdings Ltd | 1,682,084 | ||||||||
| 48,800 | OneConnect Financial Technology Co Ltd * | 124,928 | ||||||||
| 1,288,440 | PAX Global Technology Ltd | 996,910 | ||||||||
| 77,400 | PetroChina Co Ltd ADR | 3,362,256 | ||||||||
| 10,374,000 | PetroChina Co Ltd – Class H | 4,492,028 | ||||||||
| 8,825,720 | PICC Property & Casualty Co Ltd – Class H | 7,545,479 | ||||||||
| 106,920 | Ping An Insurance Group Co of China Ltd – Class A | 808,577 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 1,291,000 | Ping An Insurance Group Co of China Ltd – Class H | 8,949,524 | ||||||||
| 754,000 | Poly Property Group Co Ltd | 189,530 | ||||||||
| 35,800 | Poly Property Services Co Ltd – Class H | 243,319 | ||||||||
| 2,812,929 | Postal Savings Bank of China Co Ltd – Class A | 2,236,195 | ||||||||
| 2,985,000 | Powerlong Real Estate Holdings Ltd | 1,798,082 | ||||||||
| 59,000 | Q Technology Group Co Ltd | 83,017 | ||||||||
| 6,500 | Remegen Co Ltd – Class H * | 87,846 | ||||||||
| 4,000 | ReneSola Ltd ADR * | 27,600 | ||||||||
| 265,000 | Road King Infrastructure Ltd | 247,257 | ||||||||
| 18,000 | Sany Heavy Equipment International Holdings Co Ltd | 18,687 | ||||||||
| 562,000 | Seazen Group Ltd * | 403,039 | ||||||||
| 372,000 | Shanghai Jin Jiang Capital Co Ltd – Class H | 137,521 | ||||||||
| 86,100 | Shanghai Mechanical and Electrical Industry Co Ltd – Class A | 202,112 | ||||||||
| 2,893,700 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 5,276,141 | ||||||||
| 312,000 | Shenzhen Investment Ltd | 70,818 | ||||||||
| 16,496 | Shenzhou International Group Holdings Ltd | 309,759 | ||||||||
| 2,129,680 | Shimao Group Holdings Ltd | 2,454,419 | ||||||||
| 7,691,000 | Sihuan Pharmaceutical Holdings Group Ltd * (b) | 1,499,557 | ||||||||
| 2,931,040 | Sinopec Engineering Group Co Ltd – Class H | 1,426,850 | ||||||||
| 6,318,400 | Sinopharm Group Co Ltd – Class H | 13,731,360 | ||||||||
| 2,772,940 | Sinotruk Hong Kong Ltd | 4,103,516 | ||||||||
| 8,610,000 | Skyworth Group Ltd * | 5,225,748 | ||||||||
| 250,000 | SSY Group Ltd | 125,032 | ||||||||
| 1,242,000 | Sunac China Holdings Ltd | 2,227,323 | ||||||||
| 39,272 | Sunny Optical Technology Group Co Ltd | 1,182,904 | ||||||||
| 3,964,000 | TCL Electronics Holdings Ltd * | 2,084,391 | ||||||||
| 237,925 | Tencent Holdings Ltd | 13,875,562 | ||||||||
| 15,092 | Tencent Holdings Ltd ADR | 882,127 | ||||||||
| 10,300 | Tencent Music Entertainment Group ADR * | 74,057 | ||||||||
| 914,000 | Tianjin Port Development Holdings Ltd | 71,922 | ||||||||
| 221,000 | Tianli Education International Holdings Ltd | 52,678 | ||||||||
| 3,734,000 | Tianneng Power International Ltd (b) | 4,117,743 | ||||||||
| 40,200 | Up Fintech Holding Ltd ADR * | 242,808 | ||||||||
| 211,200 | Vipshop Holdings Ltd ADR * | 2,063,424 | ||||||||
| 240 | Want Want China Holdings Ltd | 203 | ||||||||
| 31,000 | Weichai Power Co Ltd – Class H | 54,980 | ||||||||
| 1,158,629 | Weifu High-Technology Group Co Ltd – Class A | 3,825,891 | ||||||||
| 106,000 | Xiabuxiabu Catering Management China Holdings Co Ltd * | 73,203 | ||||||||
| 29,200 | Yeahka Ltd * (b) | 104,585 | ||||||||
| 3,300 | Youdao Inc ADR * | 52,338 | ||||||||
| 8,439,487 | Yuzhou Group Holdings Co Ltd (b) | 834,173 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 198,000 | Zhaojin Mining Industry Co Ltd – Class H | 206,684 | ||||||||
| 800 | Zhejiang Expressway Co Ltd – Class H | 755 | ||||||||
| 622,350 | Zhengzhou Coal Mining Machinery Group Co Ltd – Class A | 1,234,391 | ||||||||
| 220,000 | Zhenro Properties Group Ltd | 124,134 | ||||||||
| 955,180 | Zhongsheng Group Holdings Ltd | 7,823,710 | ||||||||
| 190,500 | Zhou Hei Ya International Holdings Co Ltd * | 174,996 | ||||||||
| 524,400 | Zhuzhou CRRC Times Electric Co Ltd – Class H | 3,442,144 | ||||||||
| 971,600 | Zijin Mining Group Co Ltd – Class A | 1,559,022 | ||||||||
| 289,800 | Zoomlion Heavy Industry Science and Technology Co Ltd – Class H | 190,277 | ||||||||
|
|
|
|||||||||
| Total China | 382,945,063 | |||||||||
|
|
|
|||||||||
| Czech Republic — 0.1% | ||||||||||
| 320,035 | Moneta Money Bank AS * | 1,363,485 | ||||||||
| 17,111 | O2 Czech Republic AS * | 199,313 | ||||||||
| 1,101 | Philip Morris CR AS | 760,464 | ||||||||
|
|
|
|||||||||
| Total Czech Republic | 2,323,262 | |||||||||
|
|
|
|||||||||
| Denmark — 0.6% | ||||||||||
| 1,253 | AP Moller – Maersk A/S – Class A | 3,586,018 | ||||||||
| 2,022 | AP Moller – Maersk A/S – Class B | 6,087,779 | ||||||||
| 2,629 | Carlsberg A/S – Class B | 408,280 | ||||||||
| 512,497 | Danske Bank A/S | 8,473,341 | ||||||||
| 17,339 | Matas A/S | 319,733 | ||||||||
| 64,667 | Pandora A/S | 8,046,024 | ||||||||
| 60,981 | Scandinavian Tobacco Group A/S | 1,119,211 | ||||||||
|
|
|
|||||||||
| Total Denmark | 28,040,386 | |||||||||
|
|
|
|||||||||
| Egypt — 0.0% | ||||||||||
| 214,915 | Commercial International Bank Egypt SAE * | 699,564 | ||||||||
| 993,075 | Eastern Co SAE | 705,549 | ||||||||
| 123,970 | Medinet Nasr Housing | 18,760 | ||||||||
| 32,198 | Misr Fertilizers Production Co SAE | 195,750 | ||||||||
|
|
|
|||||||||
| Total Egypt | 1,619,623 | |||||||||
|
|
|
|||||||||
| Finland — 0.4% | ||||||||||
| 71,028 | Kesko Oyj – B Shares | 2,230,082 | ||||||||
| 143,718 | Neste Oyj | 6,797,418 | ||||||||
| 1,393,222 | Nokia Oyj * | 7,808,527 | ||||||||
| 53,364 | Outokumpu Oyj * | 311,137 | ||||||||
| 5,821 | Sanoma Oyj | 88,013 | ||||||||
| 354 | Tokmanni Group Corp | 7,451 | ||||||||
| 17,130 | Uponor Oyj | 394,282 | ||||||||
|
|
|
|||||||||
| Total Finland | 17,636,910 | |||||||||
|
|
|
|||||||||
| France — 1.8% | ||||||||||
| 46,270 | ALD SA | 650,234 | ||||||||
| 16,512 | Amundi SA | 1,373,692 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| France — continued | ||||||||||
| 41,187 | APERAM SA | 1,978,969 | ||||||||
| 115,984 | ArcelorMittal SA | 3,148,716 | ||||||||
| 1,788 | Axway Software SA (a) | 56,630 | ||||||||
| 205,782 | BNP Paribas SA | 12,789,273 | ||||||||
| 1,836 | Boiron SA (b) | 75,184 | ||||||||
| 909 | Caisse Regionale de Credit Agricole Mutuel Nord de France | 20,111 | ||||||||
| 681 | Christian Dior SE | 514,522 | ||||||||
| 94,333 | Cie de Saint-Gobain | 5,983,511 | ||||||||
| 36,170 | Coface SA * | 492,138 | ||||||||
| 120,410 | Derichebourg SA * | 1,262,740 | ||||||||
| 1,461 | Eramet SA * | 114,016 | ||||||||
| 820 | Groupe Crit (b) | 56,402 | ||||||||
| 989 | HEXAOM (b) | 42,636 | ||||||||
| 3,533 | Ipsen SA | 344,801 | ||||||||
| 33,240 | IPSOS | 1,504,002 | ||||||||
| 4,362 | Kaufman & Broad SA | 163,812 | ||||||||
| 10,240 | Kering SA | 7,885,721 | ||||||||
| 13,060 | LVMH Moet Hennessy Louis Vuitton SE | 10,155,381 | ||||||||
| 1,885 | Mersen SA | 68,665 | ||||||||
| 66,711 | Metropole Television SA | 1,286,404 | ||||||||
| 23,501 | Nexity SA | 1,008,711 | ||||||||
| 168,476 | Publicis Groupe SA | 10,901,880 | ||||||||
| 41,751 | Quadient SA | 906,279 | ||||||||
| 2,190 | Rothschild & Co | 93,850 | ||||||||
| 2,527 | Rubis SCA | 69,571 | ||||||||
| 97,995 | Safran SA | 10,945,428 | ||||||||
| 12,867 | Sanofi | 1,223,167 | ||||||||
| 12,207 | Schneider Electric SE | 2,166,424 | ||||||||
| 16,634 | Societe BIC SA | 857,569 | ||||||||
| 269,039 | Societe Generale SA | 8,371,771 | ||||||||
| 1,769 | Synergie SE | 70,318 | ||||||||
| 155,310 | Television Francaise 1 | 1,500,608 | ||||||||
| 54 | TotalEnergies SE (c) | 2,485 | ||||||||
| 2,003 | TotalEnergies SE (c) | 91,794 | ||||||||
| 3,445 | Vicat SA | 133,336 | ||||||||
| 1,584 | Vilmorin & Cie SA | 97,258 | ||||||||
|
|
|
|||||||||
| Total France | 88,408,009 | |||||||||
|
|
|
|||||||||
| Germany — 1.4% | ||||||||||
| 21,598 | ADVA Optical Networking SE * | 310,853 | ||||||||
| 279 | Amadeus Fire AG | 57,334 | ||||||||
| 126,111 | Bayer AG (Registered) | 6,360,723 | ||||||||
| 57,997 | Bayerische Motoren Werke AG | 5,559,211 | ||||||||
| 65,331 | Beiersdorf AG | 6,497,956 | ||||||||
| 38,018 | CECONOMY AG * | 150,865 | ||||||||
| 933 | Cewe Stiftung & Co KGaA | 133,958 | ||||||||
| 2,939 | Covestro AG | 165,761 | ||||||||
| 173,433 | Daimler AG (Registered) | 16,242,523 | ||||||||
| 25,426 | Deutsche Pfandbriefbank AG | 296,581 | ||||||||
| 10,144 | Deutsche Post AG (Registered) | 599,120 | ||||||||
| 2,151 | Draegerwerk AG & Co KGaA (a) | 126,140 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Germany — continued | ||||||||||
| 110,942 | Fresenius SE & Co KGaA (a) | 4,199,056 | ||||||||
| 887 | Grammer AG * | 17,650 | ||||||||
| 4,837 | Hamburger Hafen und Logistik AG | 106,752 | ||||||||
| 45,498 | HeidelbergCement AG | 3,027,048 | ||||||||
| 2,202 | Hornbach Holding AG & Co KGaA | 276,223 | ||||||||
| 173,307 | Kloeckner & Co SE * | 1,863,517 | ||||||||
| 17,781 | Merck KGaA | 4,394,665 | ||||||||
| 41,480 | ProSiebenSat.1 Media SE | 609,389 | ||||||||
| 5,785 | RTL Group SA | 297,563 | ||||||||
| 25,738 | Salzgitter AG * | 761,221 | ||||||||
| 35,072 | SAP SE (a) | 4,494,520 | ||||||||
| 52,722 | Siltronic AG | 7,938,450 | ||||||||
| 7,018 | Traton SE | 165,279 | ||||||||
| 10,833 | Volkswagen AG | 3,018,484 | ||||||||
| 813 | Wuestenrot & Wuerttembergische AG | 15,783 | ||||||||
|
|
|
|||||||||
| Total Germany | 67,686,625 | |||||||||
|
|
|
|||||||||
| Greece — 0.0% | ||||||||||
| 36,625 | Hellenic Telecommunications Organization SA | 632,743 | ||||||||
| 18,868 | JUMBO SA | 264,134 | ||||||||
|
|
|
|||||||||
| Total Greece | 896,877 | |||||||||
|
|
|
|||||||||
| Hong Kong — 0.8% | ||||||||||
| 53,500 | ASM Pacific Technology Ltd | 559,919 | ||||||||
| 102,388 | Budweiser Brewing Co APAC Ltd | 259,998 | ||||||||
| 277,000 | Chow Sang Sang Holdings International Ltd | 392,185 | ||||||||
| 1,751,000 | CITIC Telecom International Holdings Ltd | 587,930 | ||||||||
| 7,500 | CK Asset Holdings Ltd (a) | 42,900 | ||||||||
| 1,226,000 | CK Hutchison Holdings Ltd | 7,675,018 | ||||||||
| 7,500 | CLP Holdings Ltd | 73,477 | ||||||||
| 1,170,000 | CSI Properties Ltd | 32,422 | ||||||||
| 274,400 | Dah Sing Banking Group Ltd | 237,274 | ||||||||
| 160,800 | Dah Sing Financial Holdings Ltd | 477,567 | ||||||||
| 3,594,000 | First Pacific Co Ltd | 1,290,647 | ||||||||
| 702,175 | Galaxy Entertainment Group Ltd * | 3,817,322 | ||||||||
| 994,000 | Giordano International Ltd | 188,338 | ||||||||
| 450,000 | HK Electric Investments & HK Electric Investments Ltd – Class SS | 440,589 | ||||||||
| 800,000 | HKT Trust & HKT Ltd – Class SS | 1,082,838 | ||||||||
| 6,200 | iClick Interactive Asia Group Ltd ADR * | 41,106 | ||||||||
| 684,000 | IGG Inc | 646,588 | ||||||||
| 317,000 | Johnson Electric Holdings Ltd | 690,604 | ||||||||
| 174,000 | JS Global Lifestyle Co Ltd | 341,611 | ||||||||
| 443,000 | K Wah International Holdings Ltd | 171,034 | ||||||||
| 148,000 | Kerry Logistics Network Ltd (b) | 421,449 | ||||||||
| 894,000 | Kerry Properties Ltd | 2,324,702 | ||||||||
| 1,124,000 | Pacific Textiles Holdings Ltd | 588,959 | ||||||||
| 5,531,000 | PCCW Ltd | 2,793,692 | ||||||||
| 369,000 | Power Assets Holdings Ltd | 2,223,108 | ||||||||
| 201,000 | Regal Real Estate Investment Trust | 37,842 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Hong Kong — continued | ||||||||||
| 832,000 | Shun Tak Holdings Ltd * | 221,461 | ||||||||
| 350,000 | Singamas Container Holdings Ltd | 52,622 | ||||||||
| 55,000 | SITC International Holdings Co Ltd | 219,581 | ||||||||
| 139,500 | SmarTone Telecommunications Holdings Ltd | 74,288 | ||||||||
| 285,000 | Sun Hung Kai & Co Ltd | 178,115 | ||||||||
| 11,500 | Sun Hung Kai Properties Ltd (a) | 140,032 | ||||||||
| 139,500 | Swire Pacific Ltd – Class A | 770,197 | ||||||||
| 40,000 | TAI Cheung Holdings Ltd | 24,462 | ||||||||
| 414,000 | VPower Group International Holdings Ltd – Class H | 64,485 | ||||||||
| 982,000 | VSTECS Holdings Ltd | 882,724 | ||||||||
| 288,300 | VTech Holdings Ltd | 2,379,830 | ||||||||
| 4,593,340 | WH Group Ltd | 2,890,116 | ||||||||
| 411,920 | Xinyi Glass Holdings Ltd | 1,004,801 | ||||||||
| 593,500 | Yue Yuen Industrial Holdings Ltd * | 1,031,624 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 37,373,457 | |||||||||
|
|
|
|||||||||
| Hungary — 0.1% | ||||||||||
| 51,886 | OTP Bank Nyrt * | 2,864,949 | ||||||||
|
|
|
|||||||||
| India — 2.6% | ||||||||||
| 1,025 | Adani Transmission Ltd * | 24,422 | ||||||||
| 10 | Amara Raja Batteries Ltd | 82 | ||||||||
| 34,479 | Ambuja Cements Ltd | 171,738 | ||||||||
| 560,207 | Apollo Tyres Ltd | 1,522,855 | ||||||||
| 491,260 | Arvind Ltd * | 761,104 | ||||||||
| 59,140 | Asian Paints Ltd | 2,475,659 | ||||||||
| 10 | Astral Ltd | 293 | ||||||||
| 2,587 | AU Small Finance Bank Ltd * | 37,668 | ||||||||
| 172,056 | Axis Bank Ltd * | 1,489,807 | ||||||||
| 6,100 | Azure Power Global Ltd * | 125,660 | ||||||||
| 8,831 | Bajaj Consumer Care Ltd | 21,470 | ||||||||
| 85,212 | Balrampur Chini Mills Ltd | 354,876 | ||||||||
| 49,336 | Bharat Electronics Ltd | 133,458 | ||||||||
| 7,165 | Clean Science & Technology Ltd * | 204,561 | ||||||||
| 319,762 | Coal India Ltd | 645,135 | ||||||||
| 8 | Colgate-Palmolive India Ltd | 152 | ||||||||
| 6,949 | Coromandel International Ltd | 68,168 | ||||||||
| 8,488 | Cummins India Ltd | 99,180 | ||||||||
| 3 | Cyient Ltd | 41 | ||||||||
| 52,947 | Dhampur Sugar Mills Ltd | 195,691 | ||||||||
| 82 | Dr Lal PathLabs Ltd | 4,136 | ||||||||
| 5,075 | Dr Reddy’s Laboratories Ltd ADR | 316,883 | ||||||||
| 5,829 | Emami Ltd | 40,858 | ||||||||
| 26,184 | Engineers India Ltd | 24,792 | ||||||||
| 12 | Exide Industries Ltd | 26 | ||||||||
| 7,780 | Finolex Industries Ltd | 22,011 | ||||||||
| 285,116 | GAIL India Ltd | 491,610 | ||||||||
| 77,288 | Glenmark Pharmaceuticals Ltd | 537,986 | ||||||||
| 4,938 | Godrej Properties Ltd * | 128,850 | ||||||||
| 4,341 | Graphite India Ltd | 23,453 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| India — continued | ||||||||||
| 18 | Gujarat Gas Ltd | 160 | ||||||||
| 6,124 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd | 34,575 | ||||||||
| 14,942 | Gujarat State Petronet Ltd | 62,275 | ||||||||
| 1,125,154 | HCL Technologies Ltd | 17,052,464 | ||||||||
| 77,139 | HDFC Bank Ltd | 1,525,374 | ||||||||
| 13,400 | HDFC Bank Ltd ADR | 877,298 | ||||||||
| 12,504 | Hindustan Aeronautics Ltd | 211,184 | ||||||||
| 166,924 | Hindustan Petroleum Corp Ltd | 655,206 | ||||||||
| 53,452 | Hindustan Unilever Ltd | 1,649,652 | ||||||||
| 34,458 | Hindustan Zinc Ltd * | 152,498 | ||||||||
| 75,399 | Housing Development Finance Corp Ltd | 2,690,597 | ||||||||
| 254,908 | ICICI Bank Ltd | 2,401,581 | ||||||||
| 48,700 | ICICI Bank Ltd Sponsored ADR | 899,002 | ||||||||
| 1,398,683 | Indiabulls Housing Finance Ltd | 4,230,672 | ||||||||
| 265,494 | Indiabulls Real Estate Ltd * | 592,721 | ||||||||
| 385,620 | Indian Oil Corp Ltd | 606,359 | ||||||||
| 1,027 | Indus Towers Ltd | 3,853 | ||||||||
| 9,907 | Infosys Ltd | 225,917 | ||||||||
| 291,400 | Infosys Ltd Sponsored ADR (a) | 6,579,812 | ||||||||
| 18,153 | Ipca Laboratories Ltd | 507,301 | ||||||||
| 5,294,734 | ITC Ltd | 15,596,185 | ||||||||
| 239,470 | Jai Balaji Industries Ltd * | 170,414 | ||||||||
| 802,798 | Karnataka Bank Ltd (The) | 673,823 | ||||||||
| 16 | KEI Industries Ltd | 234 | ||||||||
| 3 | KNR Constructions Ltd | 11 | ||||||||
| 5 | L&T Technology Services Ltd | 351 | ||||||||
| 2,174 | Larsen & Toubro Infotech Ltd | 195,976 | ||||||||
| 8,975 | Mahanagar Gas Ltd | 109,158 | ||||||||
| 620,209 | Mahindra & Mahindra Ltd | 6,888,887 | ||||||||
| 1,700 | MakeMyTrip Ltd * | 41,395 | ||||||||
| 122 | Manappuram Finance Ltd | 265 | ||||||||
| 30,354 | Marico Ltd | 218,130 | ||||||||
| 42,620 | Mindtree Ltd | 2,423,936 | ||||||||
| 2 | Mphasis Ltd | 75 | ||||||||
| 133,116 | National Aluminium Co Ltd | 156,024 | ||||||||
| 54,362 | NBCC India Ltd | 29,105 | ||||||||
| 153,078 | NCC Ltd | 144,366 | ||||||||
| 109,934 | NHPC Ltd | 45,563 | ||||||||
| 214,784 | NMDC Ltd | 378,904 | ||||||||
| 1,441,973 | NTPC Ltd | 2,441,636 | ||||||||
| 10,240 | Oberoi Realty Ltd * | 113,015 | ||||||||
| 7,226,386 | Oil & Natural Gas Corp Ltd | 13,585,306 | ||||||||
| 908 | Oracle Financial Services Software Ltd | 50,978 | ||||||||
| 2 | Persistent Systems Ltd | 110 | ||||||||
| 40,870 | Petronet LNG Ltd | 119,172 | ||||||||
| 2 | PI Industries Ltd | 76 | ||||||||
| 5,207 | PNC Infratech Ltd | 20,703 | ||||||||
| 6 | Polycab India Ltd | 184 | ||||||||
| 3,710,582 | Power Finance Corp Ltd | 5,768,859 | ||||||||
| 404,405 | Power Grid Corp of India Ltd | 1,110,439 | ||||||||
| 27,090 | Prestige Estates Projects Ltd | 151,624 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| India — continued | ||||||||||
| 464,901 | PTC India Ltd | 684,073 | ||||||||
| 132,791 | Rajesh Exports Ltd | 1,317,234 | ||||||||
| 4,831,953 | REC Ltd | 8,719,009 | ||||||||
| 19,048 | Redington India Ltd | 36,972 | ||||||||
| 922 | Reliance Industries Ltd | 29,429 | ||||||||
| 10 | SKF India Ltd | 521 | ||||||||
| 8,836 | Sobha Ltd | 100,142 | ||||||||
| 86,897 | Steel Authority of India Ltd | 115,220 | ||||||||
| 5,445 | Sterlite Technologies Ltd | 19,904 | ||||||||
| 116,372 | Sun Pharmaceutical Industries Ltd | 1,163,605 | ||||||||
| 14,130 | Sun TV Network Ltd | 97,525 | ||||||||
| 4,130 | Sunteck Realty Ltd | 23,886 | ||||||||
| 690 | Supreme Industries Ltd | 19,910 | ||||||||
| 114,647 | Tata Consultancy Services Ltd | 5,397,023 | ||||||||
| 408,295 | Tata Motors Ltd – Class A * | 1,395,152 | ||||||||
| 107,832 | Tata Steel Ltd | 1,528,482 | ||||||||
| 63,688 | Titan Co Ltd | 2,008,256 | ||||||||
| 91,435 | TV18 Broadcast Ltd * | 50,263 | ||||||||
| 3 | United Spirits Ltd * | 35 | ||||||||
| 21,882 | UPL Ltd | 198,871 | ||||||||
| 5,013 | Vardhman Textiles Ltd | 135,252 | ||||||||
| 17,544 | Welspun Corp Ltd | 38,243 | ||||||||
| 279,799 | Wipro Ltd | 2,361,066 | ||||||||
| 21 | Zensar Technologies Ltd | 124 | ||||||||
|
|
|
|||||||||
| Total India | 126,756,227 | |||||||||
|
|
|
|||||||||
| Indonesia — 0.4% | ||||||||||
| 18,203,100 | Bank Central Asia Tbk PT | 9,249,504 | ||||||||
| 5,145,700 | Bank Mandiri Persero Tbk PT | 2,512,025 | ||||||||
| 1,174,881 | Bank Negara Indonesia Persero Tbk PT | 556,106 | ||||||||
| 3,202,200 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 166,569 | ||||||||
| 19,349,500 | Bank Rakyat Indonesia Persero Tbk PT | 5,513,388 | ||||||||
| 2,540,600 | Gajah Tunggal Tbk PT | 118,918 | ||||||||
| 634,000 | Indo Tambangraya Megah Tbk PT | 952,090 | ||||||||
| 45,688,800 | Panin Financial Tbk PT * | 567,950 | ||||||||
| 6,069,800 | Ramayana Lestari Sentosa Tbk PT * | 313,196 | ||||||||
| 4,132,300 | Telkom Indonesia Persero Tbk PT | 1,150,538 | ||||||||
| 333,500 | Timah Tbk PT * | 36,722 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 21,137,006 | |||||||||
|
|
|
|||||||||
| Ireland — 0.5% | ||||||||||
| 345,259 | AIB Group Plc * | 756,495 | ||||||||
| 747,867 | Bank of Ireland Group Plc* | 4,088,937 | ||||||||
| 1,924 | CRH Plc | 93,535 | ||||||||
| 44,100 | CRH Plc Sponsored ADR | 2,146,788 | ||||||||
| 47,818 | Glanbia Plc | 618,138 | ||||||||
| 305,052 | Hibernia REIT Plc | 450,870 | ||||||||
| 7,809 | Kingspan Group Plc | 905,448 | ||||||||
| 44,395 | Origin Enterprises Plc | 176,552 | ||||||||
| 68,587 | Permanent TSB Group Holdings Plc* | 120,327 | ||||||||
| 270,317 | Ryanair Holdings Plc* | 4,374,149 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Ireland — continued | ||||||||||
| 52,276 | Ryanair Holdings Plc Sponsored ADR * | 4,994,972 | ||||||||
| 96,866 | Smurfit Kappa Group Plc (c) | 4,964,877 | ||||||||
| 14,978 | Smurfit Kappa Group Plc (c) | 761,504 | ||||||||
|
|
|
|||||||||
| Total Ireland | 24,452,592 | |||||||||
|
|
|
|||||||||
| Israel — 0.3% | ||||||||||
| 339,501 | Bank Leumi Le-Israel BM | 3,266,887 | ||||||||
| 53,400 | Check Point Software Technologies Ltd * | 5,943,954 | ||||||||
| 57,020 | Isracard Ltd | 249,624 | ||||||||
| 699 | Mizrahi Tefahot Bank Ltd | 25,703 | ||||||||
| 836,336 | Oil Refineries Ltd * | 214,302 | ||||||||
| 818,700 | Teva Pharmaceutical Industries Ltd Sponsored ADR * | 6,754,275 | ||||||||
|
|
|
|||||||||
| Total Israel | 16,454,745 | |||||||||
|
|
|
|||||||||
| Italy — 1.1% | ||||||||||
| 102,267 | A2A SPA | 199,530 | ||||||||
| 25,505 | ACEA SPA | 518,580 | ||||||||
| 44,306 | Anima Holding SPA | 208,549 | ||||||||
| 52,995 | Arnoldo Mondadori Editore SPA * | 119,891 | ||||||||
| 13,772 | Azimut Holding SPA | 380,914 | ||||||||
| 34,653 | Banca IFIS SPA | 577,489 | ||||||||
| 213,208 | Banco BPM SPA (b) | 593,895 | ||||||||
| 7,074 | Buzzi Unicem SPA | 147,948 | ||||||||
| 5,816 | Cementir Holding NV | 53,715 | ||||||||
| 2,590 | CNH Industrial NV | 42,513 | ||||||||
| 60,403 | Credito Emiliano SPA | 391,753 | ||||||||
| 13,883 | De’ Longhi SPA | 465,442 | ||||||||
| 304,698 | Enel SPA | 2,308,807 | ||||||||
| 16,855 | Esprinet SPA (b) | 228,538 | ||||||||
| 206,186 | EXOR NV | 18,076,532 | ||||||||
| 9,105 | Hera SPA | 34,981 | ||||||||
| 100,916 | IMMSI SPA * (b) | 51,942 | ||||||||
| 368,337 | Italgas SPA | 2,316,563 | ||||||||
| 23,101 | La Doria SPA | 431,357 | ||||||||
| 516,535 | Leonardo SPA * | 3,494,144 | ||||||||
| 118,608 | Mediobanca Banca di Credito Finanziario SPA | 1,312,012 | ||||||||
| 245,931 | Poste Italiane SPA (b) | 3,092,777 | ||||||||
| 1,097 | Prima Industrie SPA * | 21,062 | ||||||||
| 1,858 | Sabaf SPA | 48,006 | ||||||||
| 17,085 | Stellantis NV | 291,534 | ||||||||
| 8,796,507 | Telecom Italia SPA (b) | 4,570,541 | ||||||||
| 17,563,897 | Telecom Italia SPA – RSP | 8,577,836 | ||||||||
| 13,005 | Unieuro SPA | 298,101 | ||||||||
| 506,487 | Unipol Gruppo SPA | 2,630,736 | ||||||||
|
|
|
|||||||||
| Total Italy | 51,485,688 | |||||||||
|
|
|
|||||||||
| Japan — 11.7% | ||||||||||
| 8,900 | ADEKA Corp | 187,855 | ||||||||
| 68,800 | Aeon Delight Co Ltd | 2,152,501 | ||||||||
| 546,500 | Aeon Mall Co Ltd | 7,740,699 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 108,900 | AGC Inc | 5,303,100 | ||||||||
| 15,500 | Aichi Corp | 106,568 | ||||||||
| 38,000 | Aisin Corp | 1,394,449 | ||||||||
| 177,600 | Amano Corp | 3,888,743 | ||||||||
| 29,500 | AOKI Holdings Inc | 159,457 | ||||||||
| 15,100 | Arcland Sakamoto Co Ltd | 220,284 | ||||||||
| 168,200 | Arcs Co Ltd | 3,070,336 | ||||||||
| 964,300 | Asahi Kasei Corp | 9,016,150 | ||||||||
| 361,600 | Astellas Pharma Inc | 5,670,014 | ||||||||
| 9,100 | Bando Chemical Industries Ltd | 68,000 | ||||||||
| 182,700 | Brother Industries Ltd | 3,135,578 | ||||||||
| 18,800 | Calbee Inc | 422,387 | ||||||||
| 5,600 | Canon Electronics Inc | 73,431 | ||||||||
| 82,500 | Canon Inc | 1,814,400 | ||||||||
| 26,100 | Canon Marketing Japan Inc | 503,780 | ||||||||
| 4,800 | Central Glass Co Ltd | 81,955 | ||||||||
| 4,000 | Chiyoda Integre Co Ltd | 76,362 | ||||||||
| 377,800 | Chugoku Marine Paints Ltd | 2,868,032 | ||||||||
| 9,600 | CONEXIO Corp | 119,058 | ||||||||
| 59,200 | Dai Nippon Printing Co Ltd | 1,389,432 | ||||||||
| 13,700 | Dai Nippon Toryo Co Ltd | 95,437 | ||||||||
| 4,000 | Dai-Dan Co Ltd | 72,252 | ||||||||
| 3,700 | Dai-ichi Life Holdings Inc | 74,128 | ||||||||
| 89,200 | Daihen Corp | 3,370,252 | ||||||||
| 4,800 | Daiichi Jitsugyo Co Ltd | 207,237 | ||||||||
| 2,800 | Daito Pharmaceutical Co Ltd (b) | 70,375 | ||||||||
| 138,400 | Daiwa House Industry Co Ltd | 4,019,150 | ||||||||
| 752,900 | Daiwabo Holdings Co Ltd | 11,946,670 | ||||||||
| 224,800 | Denka Co Ltd | 6,578,835 | ||||||||
| 2,000 | Dowa Holdings Co Ltd | 73,877 | ||||||||
| 5,000 | Eizo Corp | 173,451 | ||||||||
| 114,300 | Electric Power Development Co Ltd | 1,448,220 | ||||||||
| 471,900 | EXEO Group Inc | 9,995,764 | ||||||||
| 9,200 | FJ Next Holdings Co Ltd (b) | 78,930 | ||||||||
| 242,500 | Fuji Corp | 5,292,922 | ||||||||
| 4,300 | Fuji Pharma Co Ltd | 40,980 | ||||||||
| 4,100 | FUJIFILM Holdings Corp | 322,510 | ||||||||
| 2,900 | Fujimori Kogyo Co Ltd | 91,573 | ||||||||
| 29,500 | Fujitsu Ltd (a) | 4,875,871 | ||||||||
| 6,800 | Furuno Electric Co Ltd | 68,456 | ||||||||
| 7,800 | Furyu Corp | 87,604 | ||||||||
| 14,800 | G-7 Holdings Inc | 215,544 | ||||||||
| 21,800 | Hanwa Co Ltd | 588,784 | ||||||||
| 588,794 | Haseko Corp | 6,993,212 | ||||||||
| 834,100 | Hazama Ando Corp | 6,181,056 | ||||||||
| 5,900 | Heiwado Co Ltd | 96,305 | ||||||||
| 194,100 | Hitachi Ltd | 11,370,018 | ||||||||
| 8,400 | Hitachi Zosen Corp | 62,020 | ||||||||
| 2,700 | Hochiki Corp | 29,628 | ||||||||
| 105,700 | Hogy Medical Co Ltd (a) | 2,793,782 | ||||||||
| 499,800 | Honda Motor Co Ltd | 13,686,905 | ||||||||
| 27,400 | Horiba Ltd | 1,625,101 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 3,800 | Hosokawa Micron Corp | 94,869 | ||||||||
| 10,100 | Hyakujushi Bank Ltd (The) | 120,168 | ||||||||
| 105,700 | Iida Group Holdings Co Ltd | 2,182,742 | ||||||||
| 255,200 | Inabata & Co Ltd | 3,433,066 | ||||||||
| 1,132,900 | Inpex Corp | 9,270,058 | ||||||||
| 97,600 | Isuzu Motors Ltd | 1,308,096 | ||||||||
| 517,200 | ITOCHU Corp | 14,790,939 | ||||||||
| 3,600 | Itochu Enex Co Ltd | 30,151 | ||||||||
| 1,600 | Itochu-Shokuhin Co Ltd | 69,350 | ||||||||
| 58,500 | Itoham Yonekyu Holdings Inc | 330,671 | ||||||||
| 29,400 | Itoki Corp | 88,547 | ||||||||
| 15,600 | Jaccs Co Ltd | 377,580 | ||||||||
| 38,200 | JAFCO Group Co Ltd | 2,386,818 | ||||||||
| 37,100 | Japan Post Insurance Co Ltd | 573,103 | ||||||||
| 72,100 | Japan Tobacco Inc | 1,436,005 | ||||||||
| 68,400 | JFE Holdings Inc | 779,610 | ||||||||
| 10,200 | Juroku Financial Group Inc | 177,583 | ||||||||
| 450,700 | JVCKenwood Corp | 654,738 | ||||||||
| 844,000 | K’s Holdings Corp | 8,541,934 | ||||||||
| 8,400 | Kadokawa Corp | 445,180 | ||||||||
| 11,500 | Kaga Electronics Co Ltd | 296,037 | ||||||||
| 295,100 | Kajima Corp | 3,245,457 | ||||||||
| 13,400 | Kamei Corp | 117,042 | ||||||||
| 112,100 | Kanamoto Co Ltd | 2,126,070 | ||||||||
| 54,900 | Kandenko Co Ltd | 390,738 | ||||||||
| 7,200 | Kaneka Corp | 234,120 | ||||||||
| 349,900 | Kanematsu Corp | 3,783,747 | ||||||||
| 4,400 | Kato Sangyo Co Ltd | 122,687 | ||||||||
| 631,100 | KDDI Corp | 18,311,465 | ||||||||
| 53,500 | Kinden Corp | 774,423 | ||||||||
| 405,100 | Kirin Holdings Co Ltd | 6,454,329 | ||||||||
| 19,400 | Kitz Corp | 119,717 | ||||||||
| 7,279 | Kohnan Shoji Co Ltd | 212,988 | ||||||||
| 29,500 | Kokuyo Co Ltd | 431,327 | ||||||||
| 43,100 | Komeri Co Ltd | 929,217 | ||||||||
| 491,700 | Konica Minolta Inc | 2,024,685 | ||||||||
| 212,500 | Konoike Transport Co Ltd | 2,037,914 | ||||||||
| 1,700 | Krosaki Harima Corp | 58,326 | ||||||||
| 8,500 | Kumagai Gumi Co Ltd | 196,229 | ||||||||
| 11,300 | Kyokuto Kaihatsu Kogyo Co Ltd | 139,327 | ||||||||
| 13,600 | Kyosan Electric Manufacturing Co Ltd | 51,650 | ||||||||
| 250,500 | Kyudenko Corp | 7,391,020 | ||||||||
| 11,700 | Lintec Corp | 257,048 | ||||||||
| 1,800 | Macnica Fuji Electronics Holdings Inc | 40,418 | ||||||||
| 322,900 | Macromill Inc | 2,611,924 | ||||||||
| 332,000 | Mandom Corp | 4,165,900 | ||||||||
| 105,400 | Marubeni Corp | 942,526 | ||||||||
| 6,400 | Maruha Nichiro Corp | 127,976 | ||||||||
| 304,700 | Maruichi Steel Tube Ltd | 6,496,735 | ||||||||
| 5,400 | Maruzen Showa Unyu Co Ltd | 150,575 | ||||||||
| 400 | Matsuda Sangyo Co Ltd | 9,497 | ||||||||
| 340,700 | Maxell Ltd | 3,927,602 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 55,900 | MCJ Co Ltd | 487,126 | ||||||||
| 1,600 | Melco Holdings Inc | 54,898 | ||||||||
| 4,300 | Mirait Holdings Corp | 74,317 | ||||||||
| 9,400 | Mitsubishi Corp | 279,504 | ||||||||
| 19,200 | Mitsubishi Gas Chemical Co Inc | 317,542 | ||||||||
| 5,300 | Mitsubishi Research Institute Inc (a) | 173,126 | ||||||||
| 5,400 | Mitsubishi Shokuhin Co Ltd | 128,171 | ||||||||
| 3,115,100 | Mitsubishi UFJ Financial Group Inc | 16,452,030 | ||||||||
| 11,100 | Mitsuboshi Belting Ltd | 188,797 | ||||||||
| 48,400 | Mitsui & Co Ltd | 1,088,197 | ||||||||
| 49,800 | Mitsui Chemicals Inc | 1,326,519 | ||||||||
| 12,600 | Mitsui DM Sugar Holdings Co Ltd | 206,560 | ||||||||
| 39,270 | Mixi Inc | 699,413 | ||||||||
| 13,900 | Modec Inc | 170,758 | ||||||||
| 243,600 | Morinaga & Co Ltd | 7,575,224 | ||||||||
| 297,200 | MS&AD Insurance Group Holdings Inc | 8,665,942 | ||||||||
| 13,800 | MTI Ltd (b) | 70,815 | ||||||||
| 43,900 | NEC Networks & System Integration Corp (a) | 700,376 | ||||||||
| 3,900 | NGK Insulators Ltd | 61,592 | ||||||||
| 243,400 | NH Foods Ltd | 8,274,822 | ||||||||
| 12,400 | Nichias Corp | 279,753 | ||||||||
| 15,400 | Nichiha Corp | 377,855 | ||||||||
| 8,400 | Nichireki Co Ltd | 96,515 | ||||||||
| 13,400 | Nikon Corp | 138,720 | ||||||||
| 27,800 | Nippn Corp | 383,847 | ||||||||
| 45,000 | Nippo Corp | 1,590,072 | ||||||||
| 4,200 | Nippon Densetsu Kogyo Co Ltd | 57,206 | ||||||||
| 31,500 | Nippon Steel Corp | 464,426 | ||||||||
| 4,700 | Nippon Steel Trading Corp | 190,338 | ||||||||
| 106,400 | Nippon Suisan Kaisha Ltd | 536,180 | ||||||||
| 570,000 | Nippon Telegraph & Telephone Corp | 15,684,045 | ||||||||
| 102,300 | Nippon Television Holdings Inc | 1,031,972 | ||||||||
| 7,100 | Nisshin Oillio Group Ltd (The) | 174,112 | ||||||||
| 3,800 | Nissin Corp | 50,967 | ||||||||
| 13,100 | Nissin Electric Co Ltd | 163,339 | ||||||||
| 20,600 | Nojima Corp | 403,593 | ||||||||
| 45,400 | Nomura Real Estate Holdings Inc | 984,386 | ||||||||
| 1,198,500 | Obayashi Corp | 8,802,942 | ||||||||
| 41,700 | Okamura Corp | 467,347 | ||||||||
| 40,800 | Organo Corp | 2,449,598 | ||||||||
| 1,150,600 | ORIX Corp | 22,670,741 | ||||||||
| 138,400 | Osaka Gas Co Ltd | 2,223,270 | ||||||||
| 3,700 | Osaka Soda Co Ltd | 83,116 | ||||||||
| 7,700 | Osaki Electric Co Ltd | 29,861 | ||||||||
| 325,900 | Pacific Industrial Co Ltd | 3,008,533 | ||||||||
| 24,700 | Panasonic Corp | 269,293 | ||||||||
| 538,100 | Penta-Ocean Construction Co Ltd | 3,075,741 | ||||||||
| 9,100 | Prima Meat Packers Ltd | 189,882 | ||||||||
| 8,000 | Proto Corp | 89,698 | ||||||||
| 20,300 | Raito Kogyo Co Ltd | 361,766 | ||||||||
| 75,000 | Resona Holdings Inc | 273,906 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 200 | Ricoh Co Ltd | 1,765 | ||||||||
| 40,800 | Rohm Co Ltd | 3,788,858 | ||||||||
| 61,400 | San-A Co Ltd | 2,161,484 | ||||||||
| 18,800 | San-Ai Oil Co Ltd | 195,686 | ||||||||
| 21,600 | Sanki Engineering Co Ltd | 261,288 | ||||||||
| 152,200 | Sankyu Inc | 6,028,028 | ||||||||
| 19,000 | Sanwa Holdings Corp | 202,682 | ||||||||
| 111,600 | Sawai Group Holdings Co Ltd | 4,132,685 | ||||||||
| 109,600 | Secom Co Ltd | 7,419,062 | ||||||||
| 562,600 | Sega Sammy Holdings Inc | 9,133,446 | ||||||||
| 9,100 | Seikitokyu Kogyo Co Ltd | 65,940 | ||||||||
| 55,000 | Seiko Epson Corp | 886,791 | ||||||||
| 17,400 | Sekisui Chemical Co Ltd | 282,654 | ||||||||
| 463,900 | Sekisui House Ltd | 9,015,805 | ||||||||
| 7,500 | Sekisui Jushi Corp | 133,046 | ||||||||
| 26,100 | Shimamura Co Ltd | 2,229,730 | ||||||||
| 653,000 | Shimizu Corp | 4,113,939 | ||||||||
| 6,900 | Shin-Etsu Polymer Co Ltd | 57,594 | ||||||||
| 800 | Shindengen Electric Manufacturing Co Ltd * | 23,674 | ||||||||
| 5,300 | Shinnihon Corp | 34,794 | ||||||||
| 16,900 | Shizuoka Gas Co Ltd | 144,064 | ||||||||
| 2,000 | Sinanen Holdings Co Ltd | 60,338 | ||||||||
| 12,700 | Sinko Industries Ltd | 205,238 | ||||||||
| 812,600 | SKY Perfect JSAT Holdings Inc | 2,898,599 | ||||||||
| 194,020 | Sojitz Corp | 2,731,706 | ||||||||
| 264,900 | Stanley Electric Co Ltd | 6,882,449 | ||||||||
| 124,800 | Subaru Corp | 2,350,498 | ||||||||
| 2,105,200 | Sumitomo Chemical Co Ltd | 9,656,653 | ||||||||
| 48,600 | Sumitomo Corp | 661,702 | ||||||||
| 550,200 | Sumitomo Dainippon Pharma Co Ltd | 6,705,546 | ||||||||
| 18,900 | Sumitomo Electric Industries Ltd | 247,386 | ||||||||
| 462,400 | Sumitomo Forestry Co Ltd | 9,266,531 | ||||||||
| 7,400 | Sumitomo Heavy Industries Ltd | 163,312 | ||||||||
| 252,900 | Sumitomo Mitsui Trust Holdings Inc | 7,899,450 | ||||||||
| 16,900 | Sumitomo Rubber Industries Ltd | 169,380 | ||||||||
| 1,500 | Sumitomo Seika Chemicals Co Ltd | 39,879 | ||||||||
| 27,600 | Suzuki Motor Corp | 1,114,147 | ||||||||
| 97,300 | T Hasegawa Co Ltd | 2,411,567 | ||||||||
| 210,500 | Tachi-S Co Ltd | 2,119,559 | ||||||||
| 154,200 | Taisei Corp | 4,488,928 | ||||||||
| 292,700 | Takara Holdings Inc | 3,135,913 | ||||||||
| 75,800 | Takara Leben Co Ltd | 177,806 | ||||||||
| 10,000 | Takeuchi Manufacturing Co Ltd | 237,213 | ||||||||
| 327,900 | Takuma Co Ltd | 3,945,520 | ||||||||
| 7,500 | Tamron Co Ltd | 166,072 | ||||||||
| 668,800 | Teijin Ltd | 7,638,845 | ||||||||
| 233,000 | TIS Inc (a) | 7,182,159 | ||||||||
| 214,500 | Toho Holdings Co Ltd (a) | 3,195,100 | ||||||||
| 2,500 | Token Corp | 196,555 | ||||||||
| 2,474,700 | Tokyo Electric Power Co Holdings Inc * | 6,603,091 | ||||||||
| 200 | Tokyo Electron Ltd | 105,094 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 60,900 | Tokyo Gas Co Ltd | 1,041,861 | ||||||||
| 219,500 | Tokyo Seimitsu Co Ltd | 9,211,662 | ||||||||
| 63,400 | Tokyu Construction Co Ltd | 359,412 | ||||||||
| 19,800 | Tokyu Fudosan Holdings Corp | 102,026 | ||||||||
| 568,400 | Toppan Inc | 8,615,813 | ||||||||
| 194,300 | Toray Industries Inc | 1,123,441 | ||||||||
| 291,100 | Tosei Corp (b) | 2,468,889 | ||||||||
| 532,049 | Tosoh Corp | 7,606,322 | ||||||||
| 19,900 | Towa Pharmaceutical Co Ltd | 460,499 | ||||||||
| 93,000 | Toyo Construction Co Ltd | 427,731 | ||||||||
| 2,500 | Toyo Ink SC Holdings Co Ltd | 41,258 | ||||||||
| 69,800 | Toyota Boshoku Corp | 1,373,328 | ||||||||
| 100,800 | Toyota Industries Corp | 8,267,820 | ||||||||
| 30,800 | Toyota Tsusho Corp | 1,333,770 | ||||||||
| 14,800 | TS Tech Co Ltd | 173,486 | ||||||||
| 2,700 | Tsubakimoto Chain Co | 67,958 | ||||||||
| 166,100 | Tsumura & Co | 4,730,741 | ||||||||
| 4,500 | TV Asahi Holdings Corp | 59,073 | ||||||||
| 28,600 | Ulvac Inc | 1,631,998 | ||||||||
| 10,600 | Unipres Corp | 66,295 | ||||||||
| 8,000 | Vital KSK Holdings Inc | 53,899 | ||||||||
| 8,900 | Wacoal Holdings Corp | 157,869 | ||||||||
| 9,100 | Warabeya Nichiyo Holdings Co Ltd | 147,561 | ||||||||
| 3,500 | World Holdings Co Ltd | 77,913 | ||||||||
| 26,000 | YAMABIKO Corp | 285,698 | ||||||||
| 106,700 | Yamada Holdings Co Ltd | 372,846 | ||||||||
| 24,300 | Yamaha Motor Co Ltd | 611,109 | ||||||||
| 23,300 | Yamazen Corp | 199,370 | ||||||||
| 19,300 | Yellow Hat Ltd | 263,775 | ||||||||
| 129,800 | Yokogawa Bridge Holdings Corp | 2,421,943 | ||||||||
| 49,500 | Yokohama Rubber Co Ltd (The) | 768,687 | ||||||||
| 7,200 | Yuasa Trading Co Ltd | 177,285 | ||||||||
| 192,100 | Zenkoku Hosho Co Ltd (b) | 8,382,876 | ||||||||
|
|
|
|||||||||
| Total Japan | 577,011,558 | |||||||||
|
|
|
|||||||||
| Kuwait — 0.1% | ||||||||||
| 36,382 | Humansoft Holding Co KSC | 385,582 | ||||||||
| 2,473,701 | Kuwait Finance House KSCP | 6,473,091 | ||||||||
| 54,896 | Kuwait Projects Holding KSCP | 25,513 | ||||||||
|
|
|
|||||||||
| Total Kuwait | 6,884,186 | |||||||||
|
|
|
|||||||||
| Luxembourg — 0.0% | ||||||||||
| 54,100 | Ternium SA Sponsored ADR | 2,066,079 | ||||||||
|
|
|
|||||||||
| Malaysia — 0.0% | ||||||||||
| 335,600 | Kossan Rubber Industries Bhd | 171,326 | ||||||||
| 818,500 | Supermax Corp Bhd | 365,376 | ||||||||
| 1,277,900 | Top Glove Corp Bhd | 888,936 | ||||||||
| 258,300 | Westports Holdings Bhd | 248,081 | ||||||||
|
|
|
|||||||||
| Total Malaysia | 1,673,719 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Mexico — 1.3% | ||||||||||
| 44,844 | America Movil SAB de CV – Class L Sponsored ADR | 781,182 | ||||||||
| 1,395,200 | America Movil SAB de CV – Series L | 1,221,308 | ||||||||
| 118,140 | Arca Continental SAB de CV | 720,383 | ||||||||
| 485,300 | Banco del Bajio SA | 819,075 | ||||||||
| 1,101,900 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander | 1,354,603 | ||||||||
| 12,896 | Coca-Cola Femsa SAB de CV Sponsored ADR | 633,451 | ||||||||
| 1,136,700 | Credito Real SAB de CV SOFOM ER * | 394,936 | ||||||||
| 107,028 | El Puerto de Liverpool SAB de CV – Class C1 | 408,646 | ||||||||
| 1,161,745 | Fomento Economico Mexicano SAB de CV | 8,241,793 | ||||||||
| 61,800 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 4,371,732 | ||||||||
| 2,600 | Grupo Aeroportuario del Pacifico SAB de CV – Class B * | 30,078 | ||||||||
| 8,820 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 161,584 | ||||||||
| 513,100 | Grupo Bimbo SAB de CV – Series A | 1,352,952 | ||||||||
| 3,082,900 | Grupo Financiero Banorte SAB de CV – Class O | 18,365,846 | ||||||||
| 29,255 | Grupo Herdez SAB de CV – Series * | 51,859 | ||||||||
| 3,527,944 | Grupo Mexico SAB de CV – Series B | 14,694,214 | ||||||||
| 211,344 | Industrias Bachoco SAB de CV – Series B | 704,628 | ||||||||
| 22,704 | Kimberly-Clark de Mexico SAB de CV – Class A | 35,746 | ||||||||
| 149,900 | Qualitas Controladora SAB de CV | 652,311 | ||||||||
| 101,900 | Regional SAB de CV | 480,689 | ||||||||
| 141,348 | Unifin Financiera SAB de CV SOFOM ENR * | 221,160 | ||||||||
| 2,039,100 | Wal-Mart de Mexico SAB de CV | 6,409,483 | ||||||||
|
|
|
|||||||||
| Total Mexico | 62,107,659 | |||||||||
|
|
|
|||||||||
| Netherlands — 1.3% | ||||||||||
| 235,201 | ABN AMRO Bank NV CVA (b) | 3,357,015 | ||||||||
| 79,197 | Aegon NV | 349,562 | ||||||||
| 116,800 | AerCap Holdings NV * | 6,545,472 | ||||||||
| 19,050 | ASR Nederland NV | 813,536 | ||||||||
| 16,510 | Evander Gold Mines Ltd (e) | 187 | ||||||||
| 44,285 | ForFarmers NV (b) | 173,908 | ||||||||
| 491,610 | ING Groep NV | 6,790,830 | ||||||||
| 145,125 | JDE Peet’s NV (b) | 3,955,322 | ||||||||
| 1 | Just Eat Takeaway.com NV Sponsored ADR * | 12 | ||||||||
| 318,391 | Koninklijke Ahold Delhaize NV | 10,713,779 | ||||||||
| 40,909 | Koninklijke KPN NV | 120,505 | ||||||||
| 175,591 | NN Group NV | 8,725,022 | ||||||||
| 431,640 | PostNL NV | 1,843,643 | ||||||||
| 159,489 | Randstad NV | 10,063,899 | ||||||||
| 169,787 | Signify NV | 7,751,247 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Netherlands — continued | ||||||||||
| 186,275 | Stellantis NV | 3,189,821 | ||||||||
| 5,386 | Van Lanschot Kempen NV | 127,495 | ||||||||
| 6,075 | Wolters Kluwer NV | 683,200 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 65,204,455 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.1% | ||||||||||
| 826,826 | Meridian Energy Ltd | 2,658,983 | ||||||||
|
|
|
|||||||||
| Norway — 0.4% | ||||||||||
| 61,667 | Austevoll Seafood ASA | 671,787 | ||||||||
| 56,509 | BW LPG Ltd | 285,053 | ||||||||
| 62,838 | Equinor ASA | 1,572,266 | ||||||||
| 183,152 | Europris ASA | 1,264,602 | ||||||||
| 27,856 | Kongsberg Gruppen ASA | 817,806 | ||||||||
| 1,423,940 | Norsk Hydro ASA | 9,221,557 | ||||||||
| 426,072 | Orkla ASA | 3,894,634 | ||||||||
| 36,490 | Sbanken ASA | 380,196 | ||||||||
| 27,627 | Selvaag Bolig ASA | 141,736 | ||||||||
| 37,286 | SpareBank 1 Nord Norge | 423,373 | ||||||||
| 48,956 | SpareBank 1 SMN | 745,818 | ||||||||
| 112,545 | SpareBank 1 SR-Bank ASA | 1,555,197 | ||||||||
|
|
|
|||||||||
| Total Norway | 20,974,025 | |||||||||
|
|
|
|||||||||
| Peru — 0.0% | ||||||||||
| 5,276 | Credicorp Ltd | 622,568 | ||||||||
| 3,500 | Southern Copper Corp | 204,750 | ||||||||
|
|
|
|||||||||
| Total Peru | 827,318 | |||||||||
|
|
|
|||||||||
| Philippines — 0.0% | ||||||||||
| 33,040 | GT Capital Holdings Inc | 372,772 | ||||||||
| 133,142 | Manila Electric Co | 759,853 | ||||||||
| 6,457,024 | Megaworld Corp | 401,912 | ||||||||
| 1,853,320 | Metro Pacific Investments Corp | 148,852 | ||||||||
| 257,600 | Puregold Price Club Inc | 209,925 | ||||||||
| 1,049 | Security Bank Corp | 2,388 | ||||||||
| 460,425 | Semirara Mining & Power Corp | 208,798 | ||||||||
|
|
|
|||||||||
| Total Philippines | 2,104,500 | |||||||||
|
|
|
|||||||||
| Poland — 0.3% | ||||||||||
| 29,598 | Asseco Poland SA | 633,500 | ||||||||
| 173,388 | Bank Polska Kasa Opieki SA | 5,006,949 | ||||||||
| 14,399 | Budimex SA | 761,885 | ||||||||
| 2 | Lubelski Wegiel Bogdanka SA * | 17 | ||||||||
| 255,291 | Polski Koncern Naftowy ORLEN SA | 4,457,605 | ||||||||
| 1,788,270 | Polskie Gornictwo Naftowe i Gazownictwo SA | 2,411,566 | ||||||||
| 200,398 | Powszechna Kasa Oszczednosci Bank Polski SA * | 2,117,911 | ||||||||
| 135,313 | Powszechny Zaklad Ubezpieczen SA | 1,179,960 | ||||||||
| 5,086 | Santander Bank Polska SA | 451,710 | ||||||||
|
|
|
|||||||||
| Total Poland | 17,021,103 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Portugal — 0.3% | ||||||||||
| 127,532 | Altri SGPS SA | 708,403 | ||||||||
| 11,490,526 | Banco Comercial Portugues SA – Class R * (b) | 1,870,164 | ||||||||
| 134,675 | CTT – Correios de Portugal SA (b) | 635,275 | ||||||||
| 264,424 | EDP – Energias de Portugal SA | 1,449,029 | ||||||||
| 488,928 | Galp Energia SGPS SA | 4,588,317 | ||||||||
| 3,242 | Jeronimo Martins SGPS SA | 70,739 | ||||||||
| 128,713 | Navigator Co SA (The) (b) | 454,495 | ||||||||
| 191,711 | NOS SGPS SA | 731,733 | ||||||||
| 32,757 | REN – Redes Energeticas Nacionais SGPS SA | 91,591 | ||||||||
| 1,455,165 | Sonae SGPS SA | 1,559,416 | ||||||||
|
|
|
|||||||||
| Total Portugal | 12,159,162 | |||||||||
|
|
|
|||||||||
| Qatar — 0.1% | ||||||||||
| 98,838 | Doha Bank QPSC | 82,927 | ||||||||
| 49,762 | Qatar Electricity & Water Co QSC | 225,245 | ||||||||
| 1,195,237 | Qatar National Bank QPSC | 6,353,831 | ||||||||
| 323,417 | Qatar National Cement Co QSC | 454,573 | ||||||||
|
|
|
|||||||||
| Total Qatar | 7,116,576 | |||||||||
|
|
|
|||||||||
| Russia — 3.3% | ||||||||||
| 10,231,950 | Alrosa PJSC | 17,787,302 | ||||||||
| 100 | Detsky Mir PJSC | 187 | ||||||||
| 423,040,000 | Federal Grid Co Unified Energy System PJSC | 954,803 | ||||||||
| 214,678 | Fix Price Group Ltd GDR (d) | 1,646,580 | ||||||||
| 212,298 | Gazprom Neft PJSC | 1,423,987 | ||||||||
| 269 | Gazprom Neft PJSC Sponsored ADR | 9,002 | ||||||||
| 874,040 | Gazprom PJSC | 3,922,042 | ||||||||
| 1,677,130 | Gazprom PJSC Sponsored ADR | 14,877,644 | ||||||||
| 75,924 | Globaltrans Investment Plc Sponsored GDR (Registered) | 536,199 | ||||||||
| 20,524,300 | Inter RAO UES PJSC | 1,184,662 | ||||||||
| 90,155 | LSR Group PJSC | 908,399 | ||||||||
| 4 | LSR Group PJSC GDR (Registered) (d) | 8 | ||||||||
| 71,105 | LUKOIL PJSC | 6,264,695 | ||||||||
| 157,297 | LUKOIL PJSC Sponsored ADR | 13,642,601 | ||||||||
| 12,870 | M.Video PJSC | 95,823 | ||||||||
| 12,277 | Magnit PJSC Sponsored GDR (Registered) | 189,267 | ||||||||
| 3,847,240 | Magnitogorsk Iron & Steel Works PJSC | 3,089,649 | ||||||||
| 116,953 | Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) | 1,211,948 | ||||||||
| 25,900 | Mechel PJSC Sponsored ADR * | 74,333 | ||||||||
| 137,370 | MMC Norilsk Nickel PJSC ADR | 3,933,087 | ||||||||
| 161,972 | Mobile TeleSystems PJSC | 638,574 | ||||||||
| 78,965 | Mobile TeleSystems PJSC Sponsored ADR | 632,510 | ||||||||
| 2,166,950 | Moscow Exchange MICEX-RTS PJSC | 4,429,534 | ||||||||
| 7,545,000 | Mosenergo PJSC | 216,803 | ||||||||
| 3,457 | Novatek PJSC Sponsored GDR (Registered) | 754,145 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Russia — continued | ||||||||||
| 340,860 | Novolipetsk Steel PJSC | 992,701 | ||||||||
| 334,287 | Novolipetsk Steel PJSC GDR | 9,637,910 | ||||||||
| 31,496 | PhosAgro PJSC GDR (Registered) | 694,620 | ||||||||
| 303,669 | Polymetal International Plc | 5,539,991 | ||||||||
| 99 | Polyus PJSC | 19,298 | ||||||||
| 60,101 | Polyus PJSC GDR (Registered) | 5,744,856 | ||||||||
| 4,500 | QIWI Plc Sponsored ADR (c) | 38,364 | ||||||||
| 147,792 | QIWI Plc Sponsored ADR (c) | 1,265,099 | ||||||||
| 62,934,440 | RusHydro PJSC | 622,875 | ||||||||
| 23,047 | RusHydro PJSC ADR | 21,419 | ||||||||
| 29,090 | Safmar Financial Investment * | 200,668 | ||||||||
| 2,264,690 | Sberbank of Russia PJSC | 9,663,386 | ||||||||
| 1,320,350 | Sberbank of Russia PJSC Sponsored ADR | 22,249,956 | ||||||||
| 256,934 | Severstal PAO GDR (Registered) | 5,376,508 | ||||||||
| 15,437 | Severstal PJSC | 327,332 | ||||||||
| 100 | Surgutneftegas PJSC | 50 | ||||||||
| 2,815,715 | Surgutneftegas PJSC Sponsored ADR | 13,669,936 | ||||||||
| 117,743 | Tatneft PJSC Sponsored ADR | 4,453,909 | ||||||||
| 5,790 | TCS Group Holding Plc GDR (Registered) (c) | 552,228 | ||||||||
| 5,606 | TCS Group Holding Plc GDR (Registered) (c) | 547,169 | ||||||||
| 6,774,000 | Unipro PJSC | 249,446 | ||||||||
| 55,470 | United Co Rusal International PJSC * | 51,477 | ||||||||
| 376,156 | VTB Bank PJSC GDR (Registered) | 458,243 | ||||||||
| 29,823 | X5 Retail Group NV GDR (Registered) | 824,733 | ||||||||
|
|
|
|||||||||
| Total Russia | 161,625,958 | |||||||||
|
|
|
|||||||||
| Saudi Arabia — 0.0% | ||||||||||
| 37,825 | Al Rajhi Bank | 1,329,021 | ||||||||
|
|
|
|||||||||
| Singapore — 0.5% | ||||||||||
| 75,700 | AIMS APAC REIT | 77,644 | ||||||||
| 125,800 | ARA LOGOS Logistics Trust (REIT) | 82,095 | ||||||||
| 149,900 | Ascendas India Trust | 152,426 | ||||||||
| 182,900 | Ascendas Real Estate Investment Trust (REIT) | 390,880 | ||||||||
| 621,000 | Asian Pay Television Trust | 62,300 | ||||||||
| 587,300 | CapitaLand Integrated Commercial Trust (REIT) | 905,296 | ||||||||
| 171,573 | Capitaland Investment Ltd * | 422,473 | ||||||||
| 524,300 | ComfortDelGro Corp Ltd | 525,634 | ||||||||
| 215,324 | DBS Group Holdings Ltd | 4,690,318 | ||||||||
| 512,600 | First Real Estate Investment Trust | 109,072 | ||||||||
| 3,114,200 | Golden Agri-Resources Ltd | 593,326 | ||||||||
| 940,299 | Japfa Ltd (b) | 412,371 | ||||||||
| 136,100 | Jardine Cycle & Carriage Ltd | 2,106,752 | ||||||||
| 265,800 | Keppel Corp Ltd (b) | 990,714 | ||||||||
| 242,500 | Sasseur Real Estate Investment Trust | 157,971 | ||||||||
| 298,400 | Sembcorp Industries Ltd | 409,998 | ||||||||
| 57,600 | Sheng Siong Group Ltd | 61,579 | ||||||||
| 954,100 | Silverlake Axis Ltd. | 198,861 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Singapore — continued | ||||||||||
| 279,000 | StarHub Ltd | 269,267 | ||||||||
| 100 | UOL Group Ltd (b) | 503 | ||||||||
| 800,200 | Wilmar International Ltd | 2,399,951 | ||||||||
| 9,501,513 | Yangzijiang Shipbuilding Holdings Ltd | 9,019,854 | ||||||||
| 846,500 | Yanlord Land Group Ltd | 674,472 | ||||||||
|
|
|
|||||||||
| Total Singapore | 24,713,757 | |||||||||
|
|
|
|||||||||
| South Africa — 0.9% | ||||||||||
| 1,647,629 | Absa Group Ltd | 13,834,186 | ||||||||
| 39,872 | AECI Ltd | 283,573 | ||||||||
| 494 | Anglo American Platinum Ltd | 52,831 | ||||||||
| 75,879 | Aspen Pharmacare Holdings Ltd | 1,135,011 | ||||||||
| 28,590 | Astral Foods Ltd | 306,460 | ||||||||
| 148,284 | Barloworld Ltd | 1,408,145 | ||||||||
| 372,259 | Bidvest Group Ltd (The) | 4,211,010 | ||||||||
| 666,562 | Blue Label Telecoms Ltd * | 201,515 | ||||||||
| 1,708 | Capitec Bank Holdings Ltd | 195,993 | ||||||||
| 195,252 | Imperial Logistics Ltd | 769,567 | ||||||||
| 77,484 | Investec Ltd | 392,370 | ||||||||
| 171,246 | Kumba Iron Ore Ltd | 4,848,131 | ||||||||
| 177,857 | Lewis Group Ltd | 537,223 | ||||||||
| 293,984 | Motus Holdings Ltd | 1,970,571 | ||||||||
| 382,907 | MTN Group Ltd * | 3,862,455 | ||||||||
| 16,312 | Naspers Ltd – N Shares | 2,498,450 | ||||||||
| 2,235 | Northam Platinum Holdings Ltd * | 31,221 | ||||||||
| 132,728 | Old Mutual Ltd | 101,265 | ||||||||
| 274,415 | Pepkor Holdings Ltd* | 377,470 | ||||||||
| 111,635 | Reunert Ltd | 340,384 | ||||||||
| 830,569 | RMB Holdings Ltd | 76,901 | ||||||||
| 38,996 | Santam Ltd | 632,084 | ||||||||
| 820,021 | Telkom SA SOC Ltd * | 2,697,356 | ||||||||
| 280,059 | Truworths International Ltd | 876,252 | ||||||||
| 270,551 | Tsogo Sun Gaming Ltd * | 161,591 | ||||||||
|
|
|
|||||||||
| Total South Africa | 41,802,015 | |||||||||
|
|
|
|||||||||
| South Korea — 3.5% | ||||||||||
| 3,370 | APTC Co Ltd | 44,704 | ||||||||
| 531,337 | BNK Financial Group Inc | 3,574,657 | ||||||||
| 573 | CJ CheilJedang Corp | 170,778 | ||||||||
| 410 | CJ Corp | 27,598 | ||||||||
| 892 | Coway Co Ltd | 50,894 | ||||||||
| 285,064 | Daewoo Engineering & Construction Co Ltd * | 1,290,588 | ||||||||
| 23,954 | Daewoo Shipbuilding & Marine Engineering Co Ltd * | 465,811 | ||||||||
| 1,599 | Daewoong Co Ltd | 41,582 | ||||||||
| 5,118 | Daihan Pharmaceutical Co Ltd | 112,866 | ||||||||
| 3,975 | DB Insurance Co Ltd | 180,154 | ||||||||
| 345,971 | DGB Financial Group Inc | 2,604,203 | ||||||||
| 3,849 | DL Holdings Co Ltd | 180,971 | ||||||||
| 1,618 | Dongkuk Steel Mill Co Ltd | 19,252 | ||||||||
| 211 | Dongwha Enterprise Co Ltd * | 19,709 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 281,035 | Dongwon Development Co Ltd | 1,136,885 | ||||||||
| 19 | Dongwon Systems Corp | 830 | ||||||||
| 1,824 | Doosan Bobcat Inc * | 55,525 | ||||||||
| 2,180 | Dreamtech Co Ltd | 17,226 | ||||||||
| 1,133 | ENF Technology Co Ltd | 26,020 | ||||||||
| 24,647 | Fila Holdings Corp | 725,778 | ||||||||
| 2,083 | Fine Semitech Corp | 38,151 | ||||||||
| 62,288 | GS Engineering & Construction Corp | 1,922,689 | ||||||||
| 735 | HAESUNG DS Co Ltd | 27,997 | ||||||||
| 378,776 | Hana Financial Group Inc | 12,589,476 | ||||||||
| 2,138 | Hana Materials Inc | 107,701 | ||||||||
| 6,228 | Handsome Co Ltd | 183,579 | ||||||||
| 1,808 | Hankook & Co Co Ltd | 23,091 | ||||||||
| 133,254 | Hankook Tire & Technology Co Ltd | 4,320,498 | ||||||||
| 4,012 | Hanmi Semiconductor Co Ltd | 109,635 | ||||||||
| 8,087 | Hanwha Aerospace Co Ltd | 276,783 | ||||||||
| 112,320 | Hanwha Investment & Securities Co Ltd * | 490,029 | ||||||||
| 411,437 | Hanwha Life Insurance Co Ltd | 959,335 | ||||||||
| 70,959 | HDC Hyundai Development Co-Engineering & Construction | 1,240,422 | ||||||||
| 1,619 | Helixmith Co Ltd * | 33,533 | ||||||||
| 406 | Hyosung Heavy Industries Corp * | 20,447 | ||||||||
| 1,113 | Hyosung TNC Corp | 469,899 | ||||||||
| 2,296 | Hyundai Autoever Corp | 215,833 | ||||||||
| 80,074 | Hyundai Engineering & Construction Co Ltd | 2,975,013 | ||||||||
| 15,767 | Hyundai Home Shopping Network Corp | 812,335 | ||||||||
| 4,940 | Hyundai Mobis Co Ltd | 916,843 | ||||||||
| 5,895 | Hyundai Motor Co GDR (Registered) | 229,320 | ||||||||
| 110,705 | JB Financial Group Co Ltd | 747,610 | ||||||||
| 176 | Jusung Engineering Co Ltd * | 2,377 | ||||||||
| 130,931 | KB Financial Group Inc | 5,818,953 | ||||||||
| 9,994 | KC Co Ltd | 172,170 | ||||||||
| 2,839 | KC Tech Co Ltd | 53,951 | ||||||||
| 1,053 | KCC Corp | 243,480 | ||||||||
| 1,000 | KCC Glass Corp | 44,433 | ||||||||
| 354 | KG Dongbu Steel Co Ltd | 2,847 | ||||||||
| 145,047 | Kia Corp | 9,493,228 | ||||||||
| 2,493 | KIWOOM Securities Co Ltd | 204,244 | ||||||||
| 3,814 | Kolon Industries Inc | 226,640 | ||||||||
| 609 | Korea Electric Terminal Co Ltd | 33,151 | ||||||||
| 6,462 | Korea Petrochemical Ind Co Ltd | 927,170 | ||||||||
| 703 | Korea Zinc Co Ltd | 292,801 | ||||||||
| 31,991 | KT Skylife Co Ltd | 232,131 | ||||||||
| 367,337 | KT&G Corp | 25,319,841 | ||||||||
| 15,785 | Kumho Petrochemical Co Ltd | 2,048,398 | ||||||||
| 23,042 | LF Corp | 324,343 | ||||||||
| 564 | LG Chem Ltd | 330,387 | ||||||||
| 142,608 | LG Electronics Inc | 13,880,393 | ||||||||
| 1,444 | LG Household & Health Care Ltd | 1,280,599 | ||||||||
| 10,530 | Lotte Chemical Corp | 1,784,014 | ||||||||
| 2,726 | LOTTE Fine Chemical Co Ltd | 178,981 | ||||||||
| 10,964 | LOTTE Himart Co Ltd | 214,147 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 3,249 | LX Semicon Co Ltd | 292,395 | ||||||||
| 28,523 | Mirae Asset Life Insurance Co Ltd | 94,527 | ||||||||
| 11,046 | Myoung Shin Industrial Co Ltd * | 246,380 | ||||||||
| 47,540 | NAVER Corp | 15,177,238 | ||||||||
| 1,233 | NEPES Corp * | 32,324 | ||||||||
| 15,294 | POSCO | 3,357,879 | ||||||||
| 9,895 | Posco International Corp | 155,689 | ||||||||
| 7,300 | POSCO Sponsored ADR | 402,741 | ||||||||
| 2,366 | PSK Inc | 87,429 | ||||||||
| 2,715 | S&S Tech Corp | 71,945 | ||||||||
| 31,336 | Samjin Pharmaceutical Co Ltd | 644,714 | ||||||||
| 3,996 | Samsung C&T Corp | 354,453 | ||||||||
| 354,686 | Samsung Electronics Co Ltd | 21,290,456 | ||||||||
| 48,873 | Samsung Engineering Co Ltd * | 853,373 | ||||||||
| 3,026 | Samsung Fire & Marine Insurance Co Ltd | 514,837 | ||||||||
| 4,123 | Samsung Life Insurance Co Ltd | 206,679 | ||||||||
| 3,430 | Samsung SDS Co Ltd | 412,178 | ||||||||
| 506 | Samwha Capacitor Co Ltd | 22,548 | ||||||||
| 1,169 | Sang-A Frontec Co Ltd | 55,709 | ||||||||
| 1,335 | Sebang Global Battery Co Ltd | 83,766 | ||||||||
| 710 | SFA Engineering Corp | 20,073 | ||||||||
| 346,863 | Shinhan Financial Group Co Ltd | 10,087,235 | ||||||||
| 2,657 | Shinsegae Inc | 486,487 | ||||||||
| 802 | SIMMTECH Co Ltd | 27,041 | ||||||||
| 13,111 | SK Hynix Inc | 1,253,426 | ||||||||
| 4,016 | SK Square Co Ltd * | 229,891 | ||||||||
| 6,213 | SK Telecom Co Ltd | 284,487 | ||||||||
| 127,267 | SK Telecom Co Ltd Sponsored ADR | 5,854,298 | ||||||||
| 1,628 | SKC Co Ltd | 269,626 | ||||||||
| 32,873 | SL Corp | 857,858 | ||||||||
| 5,478 | SM Entertainment Co Ltd * | 309,978 | ||||||||
| 551 | SNT Motiv Co Ltd | 19,285 | ||||||||
| 180 | Taekwang Industrial Co Ltd | 139,089 | ||||||||
| 398 | TechWing Inc | 6,404 | ||||||||
| 1,168 | TES Co Ltd | 25,122 | ||||||||
| 348,164 | Woori Financial Group Inc | 3,685,075 | ||||||||
| 1,774 | Youlchon Chemical Co Ltd | 31,992 | ||||||||
| 51,415 | Yuhan Corp | 2,503,128 | ||||||||
|
|
|
|||||||||
| Total South Korea | 173,012,684 | |||||||||
|
|
|
|||||||||
| Spain — 1.2% | ||||||||||
| 466,632 | Acerinox SA | 5,214,451 | ||||||||
| 103,598 | ACS Actividades de Construccion y Servicios SA | 2,482,829 | ||||||||
| 130,903 | Amadeus IT Group SA * (a) | 8,381,147 | ||||||||
| 96,182 | Atresmedia Corp de Medios de Comunicacion SA * (b) | 384,413 | ||||||||
| 2,202,591 | Banco Bilbao Vizcaya Argentaria SA | 11,677,302 | ||||||||
| 4,709,869 | Banco de Sabadell SA * | 3,180,335 | ||||||||
| 4,001,309 | Banco Santander SA | 12,441,075 | ||||||||
| 566,977 | Bankinter SA | 2,788,977 | ||||||||
| 57,507 | Cia de Distribucion Integral Logista Holdings SA | 1,068,020 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Spain — continued | ||||||||||
| 64,725 | Faes Farma SA | 243,405 | ||||||||
| 31,116 | Gestamp Automocion SA * | 136,388 | ||||||||
| 2,218 | Grupo Catalana Occidente SA | 70,428 | ||||||||
| 8,005 | Iberdrola SA | 89,833 | ||||||||
| 234,550 | Industria de Diseno Textil SA | 7,414,290 | ||||||||
| 248,556 | Mediaset Espana Comunicacion SA * | 1,201,502 | ||||||||
| 9,181 | Red Electrica Corp SA | 195,151 | ||||||||
| 498 | Repsol SA | 5,503 | ||||||||
| 1,126,762 | Unicaja Banco SA | 987,487 | ||||||||
|
|
|
|||||||||
| Total Spain | 57,962,536 | |||||||||
|
|
|
|||||||||
| Sweden — 0.2% | ||||||||||
| 4,371 | Bufab AB | 207,214 | ||||||||
| 624 | Humana AB * | 4,873 | ||||||||
| 288,550 | Investor AB – B Shares | 6,704,901 | ||||||||
| 63,592 | Inwido AB | 1,147,918 | ||||||||
| 8,618 | Kinnevik AB – Class B * | 307,260 | ||||||||
| 14,090 | New Wave Group AB – B Shares * | 263,973 | ||||||||
| 34,989 | Skanska AB – B Shares | 805,067 | ||||||||
| 18,253 | SSAB AB – A Shares * | 89,853 | ||||||||
| 43,485 | Svenska Cellulosa AB SCA – Class B | 707,305 | ||||||||
|
|
|
|||||||||
| Total Sweden | 10,238,364 | |||||||||
|
|
|
|||||||||
| Switzerland — 0.4% | ||||||||||
| 126,882 | Adecco Group AG (Registered) | 5,880,137 | ||||||||
| 532 | ALSO Holding AG (Registered) | 160,965 | ||||||||
| 4,728 | BKW AG | 643,064 | ||||||||
| 3,371 | Bobst Group SA (Registered) * | 295,230 | ||||||||
| 2,568 | Huber + Suhner AG (Registered) | 229,132 | ||||||||
| 916 | Kardex Holding AG (Registered) | 275,762 | ||||||||
| 6,244 | Logitech International SA (Registered) | 497,983 | ||||||||
| 5,037 | Mobilezone Holding AG (Registered) | 70,354 | ||||||||
| 33,890 | Novartis AG (Registered) | 2,701,227 | ||||||||
| 6,400 | Novartis AG Sponsored ADR | 510,080 | ||||||||
| 20,062 | Roche Holding AG – Genusschein | 7,832,408 | ||||||||
| 7,245 | Zehnder Group AG – Class RG | 707,291 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 19,803,633 | |||||||||
|
|
|
|||||||||
| Taiwan — 5.7% | ||||||||||
| 302,000 | Ability Enterprise Co Ltd | 262,105 | ||||||||
| 3,840 | Acer Inc | 3,817 | ||||||||
| 14,788 | Acter Group Corp Ltd | 103,660 | ||||||||
| 1,141,224 | AmTRAN Technology Co Ltd | 749,338 | ||||||||
| 43,880 | Arcadyan Technology Corp | 173,526 | ||||||||
| 1,950,672 | Asustek Computer Inc | 24,662,204 | ||||||||
| 60,000 | Aten International Co Ltd | 173,539 | ||||||||
| 3,232,000 | Catcher Technology Co Ltd | 17,949,465 | ||||||||
| 2,938,000 | Cathay Financial Holding Co Ltd | 6,311,952 | ||||||||
| 579,451 | Chailease Holding Co Ltd | 5,126,406 | ||||||||
| 86,490 | Chicony Electronics Co Ltd | 246,671 | ||||||||
| 668,250 | China Life Insurance Co Ltd | 735,476 | ||||||||
| 1,696,000 | Chipbond Technology Corp | 4,084,916 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 150,400 | Chong Hong Construction Co Ltd | 400,040 | ||||||||
| 495,000 | Chunghwa Telecom Co Ltd | 1,991,413 | ||||||||
| 2,391,000 | Compal Electronics Inc | 1,985,361 | ||||||||
| 1,153,080 | Coretronic Corp | 3,280,106 | ||||||||
| 3,387,320 | CTBC Financial Holding Co Ltd | 2,965,339 | ||||||||
| 675,000 | Delta Electronics Inc | 6,205,219 | ||||||||
| 61,000 | Depo Auto Parts Ind Co Ltd | 126,489 | ||||||||
| 139,000 | E.Sun Financial Holding Co Ltd | 134,341 | ||||||||
| 2,520 | Eclat Textile Co Ltd | 52,462 | ||||||||
| 197,000 | Elan Microelectronics Corp | 1,142,963 | ||||||||
| 127,000 | Elite Material Co Ltd | 1,277,774 | ||||||||
| 336,000 | Farglory Land Development Co Ltd | 778,630 | ||||||||
| 7,520 | Feng Hsin Steel Co Ltd | 20,998 | ||||||||
| 121,000 | FIT Hon Teng Ltd * | 24,851 | ||||||||
| 1,167,000 | FLEXium Interconnect Inc * | 4,304,622 | ||||||||
| 244,000 | Formosa Advanced Technologies Co Ltd | 338,248 | ||||||||
| 679,000 | Formosa Plastics Corp | 2,490,381 | ||||||||
| 464,000 | Foxconn Technology Co Ltd | 1,083,967 | ||||||||
| 6,000 | Foxsemicon Integrated Technology Inc | 47,995 | ||||||||
| 4,704,903 | Fubon Financial Holding Co Ltd | 12,331,994 | ||||||||
| 122,000 | Getac Holdings Corp | 235,719 | ||||||||
| 201,000 | Gigabyte Technology Co Ltd | 982,015 | ||||||||
| 976,000 | Grand Pacific Petrochemical | 1,000,180 | ||||||||
| 2,000 | Grand Plastic Technology Corp | 26,674 | ||||||||
| 566,160 | HannStar Display Corp | 309,766 | ||||||||
| 107,000 | Holiday Entertainment Co Ltd | 233,215 | ||||||||
| 15,000 | Holtek Semiconductor Inc | 56,680 | ||||||||
| 9,594,406 | Hon Hai Precision Industry Co Ltd | 35,551,185 | ||||||||
| 371,000 | Huaku Development Co Ltd | 1,223,375 | ||||||||
| 427,980 | IEI Integration Corp | 672,000 | ||||||||
| 76,000 | International Games System Co Ltd | 2,128,694 | ||||||||
| 490,000 | King’s Town Bank Co Ltd | 707,655 | ||||||||
| 161,000 | Kung Long Batteries Industrial Co Ltd | 794,991 | ||||||||
| 32,000 | Largan Precision Co Ltd | 2,280,522 | ||||||||
| 1,312,000 | Lite-On Technology Corp | 2,836,580 | ||||||||
| 278,000 | MediaTek Inc | 10,077,674 | ||||||||
| 120,000 | Mega Financial Holding Co Ltd | 147,463 | ||||||||
| 706,132 | Mercuries Life Insurance Co Ltd * | 235,540 | ||||||||
| 1,601 | Merry Electronics Co Ltd | 5,258 | ||||||||
| 627,000 | Micro-Star International Co Ltd | 3,668,955 | ||||||||
| 732,000 | Nan Ya Plastics Corp | 2,168,738 | ||||||||
| 476,000 | Nantex Industry Co Ltd | 1,445,651 | ||||||||
| 137,000 | Novatek Microelectronics Corp | 2,281,238 | ||||||||
| 15,000 | Pegatron Corp | 35,929 | ||||||||
| 270,000 | Phison Electronics Corp | 4,007,533 | ||||||||
| 5,788,566 | Pou Chen Corp | 6,651,317 | ||||||||
| 140,000 | Powertech Technology Inc | 498,984 | ||||||||
| 664,000 | Qisda Corp | 700,630 | ||||||||
| 559,000 | Quanta Computer Inc | 1,722,232 | ||||||||
| 4,940,020 | Radiant Opto-Electronics Corp | 17,031,655 | ||||||||
| 1,849,400 | Ruentex Development Co Ltd | 4,253,319 | ||||||||
| 637,000 | Ruentex Industries Ltd | 2,273,873 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 182,280 | Shin Zu Shing Co Ltd | 615,871 | ||||||||
| 178,000 | Shinkong Insurance Co Ltd | 300,348 | ||||||||
| 99,000 | Simplo Technology Co Ltd | 1,165,882 | ||||||||
| 82,000 | Sitronix Technology Corp | 826,620 | ||||||||
| 394,000 | Syncmold Enterprise Corp | 968,808 | ||||||||
| 35,400 | Tah Hsin Industrial Corp | 85,748 | ||||||||
| 1,656,000 | Taiwan Cement Corp | 2,733,703 | ||||||||
| 11,760 | Taiwan PCB Techvest Co Ltd | 19,555 | ||||||||
| 1,669,000 | Taiwan Semiconductor Manufacturing Co Ltd | 35,497,421 | ||||||||
| 130,950 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 15,340,793 | ||||||||
| 7,280 | TCI Co Ltd | 54,195 | ||||||||
| 288,000 | Teco Electric and Machinery Co Ltd | 318,639 | ||||||||
| 4,000 | Thinking Electronic Industrial Co Ltd | 21,544 | ||||||||
| 449,733 | TOPBI International Holdings Ltd | 175,542 | ||||||||
| 472,000 | Transcend Information Inc | 1,172,683 | ||||||||
| 267,000 | Tripod Technology Corp | 1,195,692 | ||||||||
| 1,104,280 | Uni-President Enterprises Corp | 2,589,415 | ||||||||
| 184,681 | United Integrated Services Co Ltd | 1,180,917 | ||||||||
| 314,000 | Universal Inc | 494,392 | ||||||||
| 92,000 | Vanguard International Semiconductor Corp | 512,553 | ||||||||
| 13,000 | Visual Photonics Epitaxy Co Ltd | 71,042 | ||||||||
| 78,000 | Walsin Technology Corp * | 486,720 | ||||||||
| 345,000 | Youngtek Electronics Corp | 1,054,490 | ||||||||
| 6,215,000 | Yuanta Financial Holding Co Ltd | 5,280,521 | ||||||||
| 8,000 | Yulon Nissan Motor Co Ltd | 70,945 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 280,045,547 | |||||||||
|
|
|
|||||||||
| Thailand — 0.4% | ||||||||||
| 3,947,444 | AP Thailand Pcl NVDR | 1,018,172 | ||||||||
| 133,300 | Bangkok Bank Pcl NVDR | 445,077 | ||||||||
| 2,000,400 | Charoen Pokphand Foods Pcl NVDR | 1,410,133 | ||||||||
| 147,600 | CP ALL Pcl (Foreign Registered) | 255,693 | ||||||||
| 57,400 | CP ALL Pcl NVDR | 99,436 | ||||||||
| 59,700 | Delta Electronics Thailand Pcl NVDR | 792,728 | ||||||||
| 79,800 | Kasikornbank Pcl (Foreign Registered) | 310,749 | ||||||||
| 1,004,800 | Kasikornbank Pcl NVDR | 3,912,785 | ||||||||
| 159,808 | Pruksa Holding Pcl (Foreign Registered) | 61,569 | ||||||||
| 565,380 | Pruksa Holding Pcl NVDR | 217,824 | ||||||||
| 97,300 | PTT Exploration & Production Pcl NVDR | 325,812 | ||||||||
| 1,020,700 | PTT Global Chemical Pcl NVDR | 1,697,315 | ||||||||
| 3,698,800 | PTT Pcl NVDR | 3,877,822 | ||||||||
| 849,700 | SC Asset Corp Pcl (Foreign Registered) | 81,036 | ||||||||
| 339,596 | Siam Cement Pcl NVDR (The) | 3,743,629 | ||||||||
| 166,412 | Siam Commercial Bank Pcl NVDR (The) | 600,764 | ||||||||
| 207,800 | Somboon Advance Technology Pcl NVDR | 127,218 | ||||||||
| 280,900 | Sri Trang Gloves Thailand Pcl NVDR | 249,989 | ||||||||
| 210,999 | Supalai Pcl (Foreign Registered) | 130,498 | ||||||||
| 535,000 | Thai Union Group Pcl NVDR | 312,623 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Thailand — continued | ||||||||||
| 189,300 | Thai Vegetable Oil Pcl NVDR | 168,447 | ||||||||
|
|
|
|||||||||
| Total Thailand | 19,839,319 | |||||||||
|
|
|
|||||||||
| Turkey — 0.5% | ||||||||||
| 2,097,256 | Akbank TAS | 1,019,758 | ||||||||
| 385,771 | Aksa Akrilik Kimya Sanayii AS | 765,047 | ||||||||
| 1,589,061 | Arcelik AS | 5,081,524 | ||||||||
| 2,686,586 | Dogan Sirketler Grubu Holding AS | 611,366 | ||||||||
| 182,493 | Dogus Otomotiv Servis ve Ticaret AS | 616,847 | ||||||||
| 638,455 | Enerjisa Enerji AS | 618,817 | ||||||||
| 1,424,722 | Eregli Demir ve Celik Fabrikalari TAS | 2,340,592 | ||||||||
| 306,448 | Ford Otomotiv Sanayi AS | 5,347,350 | ||||||||
| 45,225 | Koza Altin Isletmeleri AS * | 419,874 | ||||||||
| 423,783 | Tofas Turk Otomobil Fabrikasi AS | 2,637,709 | ||||||||
| 6,380,775 | Turkiye Garanti Bankasi AS | 5,445,081 | ||||||||
| 171,203 | Vestel Elektronik Sanayi ve Ticaret AS | 344,077 | ||||||||
| 711,192 | Yapi ve Kredi Bankasi AS | 162,764 | ||||||||
|
|
|
|||||||||
| Total Turkey | 25,410,806 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.0% | ||||||||||
| 195,798 | First Abu Dhabi Bank PJSC | 1,019,799 | ||||||||
|
|
|
|||||||||
| United Kingdom — 4.4% | ||||||||||
| 275,601 | 3i Group Plc | 5,056,710 | ||||||||
| 300,197 | Airtel Africa Plc | 494,797 | ||||||||
| 19,036 | Anglo American Plc | 700,712 | ||||||||
| 2,200,227 | Avast Plc (a) | 17,759,983 | ||||||||
| 390,900 | Aviva Plc | 1,995,021 | ||||||||
| 11,845 | Bank of Georgia Group Plc | 244,835 | ||||||||
| 24,100 | Barclays Plc Sponsored ADR | 238,590 | ||||||||
| 901,783 | Barratt Developments Plc | 8,351,278 | ||||||||
| 75,472 | Bellway Plc | 3,150,248 | ||||||||
| 249,056 | Berkeley Group Holdings Plc | 14,177,662 | ||||||||
| 271,227 | BHP Group Plc ADR | 14,912,060 | ||||||||
| 64,100 | BP Plc Sponsored ADR | 1,664,036 | ||||||||
| 65,118 | British American Tobacco Plc | 2,179,318 | ||||||||
| 146,000 | British American Tobacco Plc Sponsored ADR | 4,912,900 | ||||||||
| 6,710,910 | BT Group Plc * | 14,127,096 | ||||||||
| 333,120 | Coca-Cola HBC AG * | 10,258,554 | ||||||||
| 597,644 | Compass Group Plc * | 11,658,754 | ||||||||
| 13,538 | Computacenter Plc (a) | 508,141 | ||||||||
| 91,387 | Crest Nicholson Holdings Plc | 387,150 | ||||||||
| 3,443 | DCC Plc | 253,596 | ||||||||
| 10,765 | EMIS Group Plc (a) | 186,534 | ||||||||
| 29,846 | Evraz Plc | 227,526 | ||||||||
| 652,358 | Ferrexpo Plc | 2,507,463 | ||||||||
| 7,500 | GlaxoSmithKline Plc Sponsored ADR | 308,400 | ||||||||
| 7,533 | Go-Ahead Group Plc (The) * | 66,451 | ||||||||
| 19,354 | Grafton Group Plc | 300,899 | ||||||||
| 180,667 | Halfords Group Plc | 734,547 | ||||||||
| 87,407 | IG Group Holdings Plc | 899,563 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United Kingdom — continued | ||||||||||
| 30,632 | IMI Plc | 692,302 | ||||||||
| 21,246 | Imperial Brands Plc | 434,198 | ||||||||
| 324,723 | Indivior Plc * | 988,568 | ||||||||
| 83,066 | International Personal Finance Plc | 135,334 | ||||||||
| 101,092 | Investec Plc | 507,971 | ||||||||
| 1,469,288 | ITV Plc * | 2,158,840 | ||||||||
| 72,951 | J Sainsbury Plc | 268,011 | ||||||||
| 311,030 | JD Sports Fashion Plc | 919,816 | ||||||||
| 24,918 | Johnson Matthey Plc | 692,272 | ||||||||
| 11,440 | Keller Group Plc | 137,111 | ||||||||
| 3,009,398 | Kingfisher Plc | 12,646,169 | ||||||||
| 1,107,495 | Legal & General Group Plc | 4,137,488 | ||||||||
| 4,462,945 | M&G Plc | 11,076,782 | ||||||||
| 927,927 | Micro Focus International Plc (a) | 4,298,527 | ||||||||
| 44,825 | Morgan Sindall Group Plc | 1,415,191 | ||||||||
| 103,580 | National Grid Plc | 1,374,409 | ||||||||
| 15,315 | Next Plc | 1,600,033 | ||||||||
| 122,553 | OSB Group Plc | 817,566 | ||||||||
| 150,678 | Paragon Banking Group Plc | 1,037,047 | ||||||||
| 333,564 | Persimmon Plc | 12,121,951 | ||||||||
| 148,376 | Pets at Home Group Plc | 918,258 | ||||||||
| 179,499 | Plus500 Ltd | 3,031,566 | ||||||||
| 546,153 | Premier Foods Plc | 745,947 | ||||||||
| 15,829 | QinetiQ Group Plc | 54,584 | ||||||||
| 272,265 | Reach Plc | 927,572 | ||||||||
| 101,046 | Redde Northgate Plc | 528,340 | ||||||||
| 156,957 | Redrow Plc | 1,348,007 | ||||||||
| 466,907 | Royal Dutch Shell Plc – B Shares | 9,784,471 | ||||||||
| 640,674 | Royal Mail Plc | 4,266,889 | ||||||||
| 28,621 | Schroders Plc | 1,305,228 | ||||||||
| 101,487 | Spirent Communications Plc | 366,135 | ||||||||
| 333,281 | Tate & Lyle Plc | 2,792,135 | ||||||||
| 1,634,259 | Taylor Wimpey Plc | 3,432,340 | ||||||||
| 48,550 | Unilever Plc | 2,479,593 | ||||||||
| 42,325 | Vesuvius Plc | 232,168 | ||||||||
| 14,497 | Vistry Group Plc | 206,382 | ||||||||
| 463,574 | WPP Plc | 6,434,459 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 214,576,484 | |||||||||
|
|
|
|||||||||
| United States — 22.4% | ||||||||||
| 381,562 | Aerojet Rocketdyne Holdings, Inc. | 16,040,866 | ||||||||
| 49,500 | Aflac, Inc. | 2,679,930 | ||||||||
| 700 | Akamai Technologies, Inc. * (a) | 78,890 | ||||||||
| 86,800 | Alliance Data Systems Corp. (a) | 5,916,288 | ||||||||
| 143,300 | Ally Financial, Inc. | 6,567,439 | ||||||||
| 63,960 | American Express Co. | 9,741,108 | ||||||||
| 16,100 | Anthem, Inc. (a) | 6,540,303 | ||||||||
| 102,918 | Apollo Investment Corp. | 1,351,313 | ||||||||
| 74,100 | Arrow Electronics, Inc. * | 9,014,265 | ||||||||
| 268,900 | AT&T, Inc. | 6,138,987 | ||||||||
| 288,364 | Athene Holding Ltd. – Class A * | 23,622,779 | ||||||||
| 88,600 | Bed Bath & Beyond, Inc. * | 1,624,038 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 26,200 | Best Buy Co., Inc. | 2,799,732 | ||||||||
| 5,800 | Bio-Rad Laboratories, Inc. – Class A * | 4,368,560 | ||||||||
| 26,400 | Biogen, Inc. * | 6,223,536 | ||||||||
| 4,448 | Booking Holdings, Inc. * | 9,349,029 | ||||||||
| 340,803 | BorgWarner, Inc. | 14,749,954 | ||||||||
| 42,978 | Bristol-Myers Squibb Co. | 2,304,910 | ||||||||
| 99,576 | Bruin Blocker LLC (e) | 57,226 | ||||||||
| 55,200 | Capital One Financial Corp. | 7,757,256 | ||||||||
| 15,700 | Cardinal Health, Inc. (a) | 725,811 | ||||||||
| 170,100 | Carrier Global Corp. | 9,205,812 | ||||||||
| 85,600 | CBRE Group, Inc. – Class A * (a) | 8,180,792 | ||||||||
| 115,800 | Centene Corp. * (a) | 8,269,278 | ||||||||
| 1,387,975 | Change Healthcare, Inc. * (a) | 28,148,133 | ||||||||
| 293,268 | Chatham Lodging Trust (REIT) * | 3,492,822 | ||||||||
| 65,850 | Chevron Corp. | 7,432,490 | ||||||||
| 41,600 | Cigna Corp. (a) | 7,983,040 | ||||||||
| 141,321 | Citigroup, Inc. | 9,002,148 | ||||||||
| 117,993 | Citizens Financial Group, Inc. | 5,577,529 | ||||||||
| 32,130 | Coca-Cola Co. (The) | 1,685,219 | ||||||||
| 98,000 | Cognizant Technology Solutions Corp. – Class A (a) | 7,642,040 | ||||||||
| 49,252 | Coherent, Inc. * | 12,752,820 | ||||||||
| 164,600 | Comcast Corp. – Class A | 8,226,708 | ||||||||
| 123,300 | Corteva, Inc. | 5,548,500 | ||||||||
| 96,300 | CVS Health Corp. (a) | 8,576,478 | ||||||||
| 122,179 | CyrusOne, Inc. (REIT) (a) | 10,876,375 | ||||||||
| 133,308 | Darling Ingredients, Inc. * | 9,000,956 | ||||||||
| 12,543 | Denbury, Inc. * | 998,674 | ||||||||
| 36,300 | Discover Financial Services | 3,914,955 | ||||||||
| 1,500 | Discovery, Inc. – Class A * | 34,905 | ||||||||
| 203,300 | DISH Network Corp. – Class A * | 6,353,125 | ||||||||
| 98,700 | DR Horton, Inc. | 9,642,990 | ||||||||
| 63,800 | eBay, Inc. | 4,303,948 | ||||||||
| 134,909 | EOG Resources, Inc. | 11,737,083 | ||||||||
| 1,288,200 | ESC NII Holdings, Inc. (e) | 386,460 | ||||||||
| 3,000 | FedEx Corp. | 691,110 | ||||||||
| 33,200 | Fidelity National Financial, Inc. | 1,623,812 | ||||||||
| 19,500 | FleetCor Technologies, Inc. * (a) | 4,039,035 | ||||||||
| 489,600 | Ford Motor Co. | 9,395,424 | ||||||||
| 67,900 | Fox Corp. – Class A | 2,424,709 | ||||||||
| 501,294 | Fox Corp. – Class B | 16,843,478 | ||||||||
| 18,600 | Franklin Resources, Inc. | 602,640 | ||||||||
| 162,900 | General Motors Co. * | 9,427,023 | ||||||||
| 118,400 | Gilead Sciences, Inc. | 8,161,312 | ||||||||
| 43,395 | Global Payments, Inc. (a) | 5,165,741 | ||||||||
| 10,300 | Goldman Sachs Group, Inc. (The) | 3,924,197 | ||||||||
| 75,878 | Green Plains, Inc. * | 2,932,685 | ||||||||
| 11,342 | Gulfport Energy Operating Corp. * | 827,853 | ||||||||
| 77,517 | Hasbro, Inc. | 7,512,172 | ||||||||
| 75,557 | Hill-Rom Holdings, Inc. (a) | 11,749,113 | ||||||||
| 73,028 | Hilton Worldwide Holdings, Inc. * | 9,863,892 | ||||||||
| 285,600 | HP, Inc. | 10,075,968 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 46,400 | IAC/InterActiveCorp * | 6,201,360 | ||||||||
| 292,569 | IHS Markit Ltd. | 37,396,170 | ||||||||
| 60,200 | Incyte Corp. * | 4,076,744 | ||||||||
| 163,200 | Intel Corp. | 8,029,440 | ||||||||
| 73,778 | Intercontinental Exchange, Inc. | 9,644,260 | ||||||||
| 66,100 | International Business Machines Corp. (a) | 7,740,310 | ||||||||
| 249,100 | Invesco Ltd. | 5,562,403 | ||||||||
| 46,600 | Jazz Pharmaceuticals Plc * | 5,585,942 | ||||||||
| 80,652 | Kansas City Southern | 23,457,634 | ||||||||
| 545,500 | Kinder Morgan, Inc. | 8,433,430 | ||||||||
| 132,900 | Kohl’s Corp. | 6,808,467 | ||||||||
| 62,400 | Kraft Heinz Co. (The) | 2,097,264 | ||||||||
| 174,400 | Kroger Co. (The) | 7,242,832 | ||||||||
| 13,220 | Kyndryl Holdings, Inc. * (a) | 208,876 | ||||||||
| 30,000 | Laboratory Corp. of America Holdings * (a) | 8,559,900 | ||||||||
| 128,283 | Las Vegas Sands Corp. * | 4,569,440 | ||||||||
| 4,700 | Lear Corp. | 788,613 | ||||||||
| 38,500 | Leidos Holdings, Inc. | 3,384,535 | ||||||||
| 90,000 | Lennar Corp. – Class A | 9,454,500 | ||||||||
| 69,310 | Liberty Broadband Corp. – Class C * | 10,732,653 | ||||||||
| 116,200 | Lincoln National Corp. | 7,707,546 | ||||||||
| 123,300 | LKQ Corp. | 6,892,470 | ||||||||
| 34,720 | Loyalty Ventures, Inc. * | 996,464 | ||||||||
| 592,400 | Lumen Technologies, Inc. | 7,310,216 | ||||||||
| 219,859 | Lyft, Inc. – Class A * | 8,928,474 | ||||||||
| 95,000 | LyondellBasell Industries NV – Class A | 8,277,350 | ||||||||
| 63,800 | Macquarie Infrastructure Corp. | 230,956 | ||||||||
| 17,300 | Marathon Petroleum Corp. | 1,052,705 | ||||||||
| 6,817 | Markel Corp. * | 8,145,088 | ||||||||
| 64,900 | Merck & Co., Inc. | 4,861,659 | ||||||||
| 138,300 | MetLife, Inc. | 8,112,678 | ||||||||
| 122,135 | MGM Growth Properties LLC – Class A (REIT) | 4,471,362 | ||||||||
| 109,100 | Micron Technology, Inc. | 9,164,400 | ||||||||
| 22,700 | Mohawk Industries, Inc. * | 3,810,649 | ||||||||
| 176,200 | Molson Coors Brewing Co. – Class B | 7,830,328 | ||||||||
| 503,787 | Nuance Communications, Inc. * (a) | 27,955,141 | ||||||||
| 170 | NVR, Inc. * | 888,308 | ||||||||
| 10,200 | Omnicom Group, Inc. | 686,562 | ||||||||
| 97,800 | Oracle Corp. (a) | 8,874,372 | ||||||||
| 5,200 | PACCAR, Inc. | 433,784 | ||||||||
| 138,478 | Park Hotels & Resorts, Inc. (REIT) * | 2,304,274 | ||||||||
| 726,950 | Pershing Square Tontine Holdings Ltd. – Class A * | 14,655,312 | ||||||||
| 194,711 | PG&E Corp. * | 2,313,167 | ||||||||
| 339,464 | PNM Resources, Inc. | 16,715,207 | ||||||||
| 235,292 | PPD, Inc. * | 11,082,253 | ||||||||
| 27,400 | Principal Financial Group, Inc. | 1,879,092 | ||||||||
| 79,100 | Prudential Financial, Inc. | 8,088,766 | ||||||||
| 143,300 | PulteGroup, Inc. | 7,169,299 | ||||||||
| 55,500 | Quest Diagnostics, Inc. (a) | 8,251,740 | ||||||||
| 576,700 | Qurate Retail, Inc. – Series A | 4,613,600 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 107,928 | Raytheon Technologies Corp. | 8,733,534 | ||||||||
| 1,300,000 | Redfin Corp. | 1,198,438 | ||||||||
| 14,200 | Regeneron Pharmaceuticals, Inc. * | 9,038,726 | ||||||||
| 15,600 | Resolute Forest Products, Inc. (c) |
176,949 | ||||||||
| 14,200 | Resolute Forest Products, Inc. (c) | 160,602 | ||||||||
| 30,383 | Sanderson Farms, Inc. | 5,705,320 | ||||||||
| 197,995 | Sensata Technologies Holding Plc * | 11,028,321 | ||||||||
| 114,350 | Skillsoft Corp. * | 1,342,469 | ||||||||
| 6,900 | Snap-on, Inc. | 1,420,779 | ||||||||
| 234,975 | Southeastern Grocers, Inc. * (d) | 5,345,681 | ||||||||
| 68,400 | SS&C Technologies Holdings, Inc. (a) | 5,220,972 | ||||||||
| 181,500 | Synchrony Financial | 8,129,385 | ||||||||
| 1,507,100 | Syncora Holdings Ltd. (d) | 232,998 | ||||||||
| 40,279 | Tempur Sealy International, Inc. | 1,725,552 | ||||||||
| 92,200 | Textron, Inc. | 6,527,760 | ||||||||
| 1,888,723 | The Oneida Group (d) | 2,455,340 | ||||||||
| 160,204 | TRU TAJ (d) | 1,054,623 | ||||||||
| 5,869 | TRU TAJ Liquidation Unit Trust (e) | 29,345 | ||||||||
| 106,100 | Tyson Foods, Inc. – Class A | 8,377,656 | ||||||||
| 59,400 | Universal Health Services, Inc. – Class B (a) | 7,052,562 | ||||||||
| 203,066 | US Bancorp | 11,237,672 | ||||||||
| 134,200 | Verizon Communications, Inc. | 6,746,234 | ||||||||
| 130,687 | Verso Corp. – Class A | 2,762,723 | ||||||||
| 120,880 | VF Corp. | 8,670,722 | ||||||||
| 187,600 | ViacomCBS, Inc. – Class B | 5,806,220 | ||||||||
| 506,800 | Viatris, Inc. | 6,238,708 | ||||||||
| 73,600 | VICI Properties, Inc. (REIT) (a) | 2,001,920 | ||||||||
| 48,300 | VMware, Inc. – Class A (a) | 5,638,542 | ||||||||
| 125,800 | Walgreens Boots Alliance, Inc. | 5,635,840 | ||||||||
| 223,008 | Wells Fargo & Co. | 10,655,322 | ||||||||
| 309,700 | Western Union Co. (The) (a) | 4,899,454 | ||||||||
| 110,700 | Western Digital Corp. * | 6,402,888 | ||||||||
| 107,060 | Westmoreland Mining Holdings LLC (d) | 2,677 | ||||||||
| 30,700 | Whirlpool Corp. | 6,684,618 | ||||||||
| 200,995 | Willis Towers Watson Plc | 45,392,711 | ||||||||
| 79,880 | Xenia Hotels & Resorts, Inc. (REIT) * | 1,251,720 | ||||||||
| 363,919 | Xilinx, Inc. | 83,137,296 | ||||||||
|
|
|
|||||||||
| Total United States | 1,103,685,938 | |||||||||
|
|
|
|||||||||
| Vietnam — 0.0% | ||||||||||
| 100 | Petrovietnam Fertilizer & Chemicals JSC | 221 | ||||||||
| 26,000 | PetroVietnam Nhon Trach 2 Power JSC | 25,469 | ||||||||
| 100 | PetroVietnam Technical Services Corp | 112 | ||||||||
| 35,000 | Pha Lai Thermal Power JSC | 35,381 | ||||||||
| 1,300 | Vietnam Dairy Products JSC | 5,010 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 66,193 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $4,123,017,010) |
4,055,930,606 | |||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| PREFERRED STOCKS (f) — 1.1% | ||||||||||
| Brazil — 0.2% | ||||||||||
| 968,472 | Bradespar SA | 8,570,396 | ||||||||
| 354,000 | Cia Energetica de Minas Gerais | 827,407 | ||||||||
| 201,100 | Cia Energetica de Minas Gerais Sponsored ADR | 462,530 | ||||||||
| 839,200 | Cia Paranaense de Energia – Class B | 916,547 | ||||||||
|
|
|
|||||||||
| Total Brazil | 10,776,880 | |||||||||
|
|
|
|||||||||
| Chile — 0.0% | ||||||||||
| 6,300 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 392,238 | ||||||||
| 8,326 | Sociedad Quimica y Minera de Chile SA – Class B | 524,204 | ||||||||
|
|
|
|||||||||
| Total Chile | 916,442 | |||||||||
|
|
|
|||||||||
| Colombia — 0.0% | ||||||||||
| 693,797 | Grupo Aval Acciones y Valores SA | 182,350 | ||||||||
|
|
|
|||||||||
| Germany — 0.2% | ||||||||||
| 65,464 | Bayerische Motoren Werke AG | 5,133,172 | ||||||||
| 11,008 | Draegerwerk AG & Co KGaA (a) | 711,964 | ||||||||
| 3,461 | Villeroy & Boch AG | 79,916 | ||||||||
|
|
|
|||||||||
| Total Germany | 5,925,052 | |||||||||
|
|
|
|||||||||
| Russia — 0.3% | ||||||||||
| 15,222 | Bashneft PJSC | 209,207 | ||||||||
| 79,750 | Nizhnekamskneftekhim PJSC – Class C | 105,735 | ||||||||
| 23,708,200 | Surgutneftegas PJSC | 11,993,245 | ||||||||
| 396 | Transneft PJSC | 755,313 | ||||||||
|
|
|
|||||||||
| Total Russia | 13,063,500 | |||||||||
|
|
|
|||||||||
| South Korea — 0.4% | ||||||||||
| 5,851 | Hyundai Motor Co Ltd-2nd Prf | 455,675 | ||||||||
| 13,793 | Hyundai Motor Co Ltd-Prf | 1,053,137 | ||||||||
| 37,422 | LG Electronics Inc | 1,846,132 | ||||||||
| 277,666 | Samsung Electronics Co Ltd | 14,973,409 | ||||||||
| 1,560 | Samsung Electronics Co Ltd GDR (Registered) | 2,114,183 | ||||||||
|
|
|
|||||||||
| Total South Korea | 20,442,536 | |||||||||
|
|
|
|||||||||
| Taiwan — 0.0% | ||||||||||
| 97,864 | Chailease Holding Co Ltd | 355,374 | ||||||||
| 216,277 | CTBC Financial Holding Co Ltd | 492,923 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 848,297 | |||||||||
|
|
|
|||||||||
| United States — 0.0% | ||||||||||
| 39 | Gulfport Energy Operating Corp. (e) | 219,375 | ||||||||
| 2,313 | Murray Energy Corp. (e) | 740,160 | ||||||||
| Total United States | 959,535 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $48,204,211) |
53,114,592 | |||||||||
|
|
|
|||||||||
| Shares / Par Value† |
Description | Value ($) | ||||||||
| RIGHTS/WARRANTS — 0.0% | ||||||||||
| Thailand — 0.0% | ||||||||||
| 28,577 | Charoen Pok Foods, Expires 12/31/21 * | — | ||||||||
| 3,827 | CP ALL Pcl NVDR, Expires 12/31/21 * | — | ||||||||
|
|
|
|||||||||
| Total Thailand | — | |||||||||
|
|
|
|||||||||
| United States — 0.0% | ||||||||||
| 408,963 | Bristol-Myers Squibb Co. CVR * (e) | 552,100 | ||||||||
| 222,285 | Contra Clementia Pharma CVR * (e) | 300,085 | ||||||||
| 2,616,810 | Media General, Inc. CVR * (e) | 130,840 | ||||||||
|
|
|
|||||||||
| Total United States | 983,025 | |||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $1,183,901) |
983,025 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 0.5% | ||||||||||
| United States — 0.5% | ||||||||||
| 3,128,309 | Altaba, Inc. (e) | 19,551,931 | ||||||||
| 72,821 | iShares Core MSCI Emerging Markets ETF * | 4,377,999 | ||||||||
|
|
|
|||||||||
| Total United States | 23,929,930 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $22,086,075) |
23,929,930 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 14.0% | ||||||||||
| Canada — 0.0% | ||||||||||
| Corporate Debt — 0.0% | ||||||||||
| 250,931 | Air Canada Pass-Through Trust – Class A, 144A, 3.60%, due 09/15/28 |
255,381 | ||||||||
| 1,620,000 | Bombardier Inc, 144A, 7.88%, due 04/15/27 | 1,667,013 | ||||||||
|
|
|
|||||||||
| Total Corporate Debt | 1,922,394 | |||||||||
|
|
|
|||||||||
| Total Canada | 1,922,394 | |||||||||
|
|
|
|||||||||
| China — 0.0% | ||||||||||
| Corporate Debt — 0.0% | ||||||||||
| 630,000 | Scenery Journey Ltd, Reg. S, 11.50%, due 10/24/22 | 128,014 | ||||||||
| 2,130,000 | Scenery Journey Ltd, Reg. S, 12.00%, due 10/24/23 | 431,325 | ||||||||
| 709,000 | Scenery Journey Ltd, Reg. S, 13.00%, due 11/06/22 | 147,118 | ||||||||
|
|
|
|||||||||
| Total Corporate Debt | 706,457 | |||||||||
|
|
|
|||||||||
| Total China | 706,457 | |||||||||
|
|
|
|||||||||
| Germany — 0.0% | ||||||||||
| Corporate Debt | ||||||||||
| EUR |
1,090,000 | ADLER Real Estate AG, Reg. S, 2.13%, due 02/06/24 | 1,098,337 | |||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| Israel — 0.1% | ||||||||||
| Corporate Debt | ||||||||||
| 5,496,000 | Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36 | 5,747,936 | ||||||||
|
|
|
|||||||||
| Italy — 0.0% | ||||||||||
| Corporate Debt — 0.0% | ||||||||||
| EUR |
545,000 | Banca Monte dei Paschi di Siena SPA, Reg. S, 144A, Variable Rate, 5.38%, due 01/18/28 | 432,968 | |||||||
|
|
|
|||||||||
| Luxembourg — 0.1% | ||||||||||
| Bank Loans | ||||||||||
| 2,460,000 | Delta 2 (LUX) S.a.r.l., 2018 USD Term Loan, Variable Rate, 1 mo. LIBOR plus 2.50%, 3.50%, due 02/01/24 (e) | 2,440,517 | ||||||||
|
|
|
|||||||||
| Netherlands — 0.0% | ||||||||||
| Corporate Debt | ||||||||||
| EUR |
551,409 | Evander Gold Mines Ltd, 10.00%, due 04/19/26 (d) | 116,191 | |||||||
|
|
|
|||||||||
| United States — 13.8% | ||||||||||
| Asset-Backed Securities — 0.2% | ||||||||||
| 5,259,486 | Alaska Airlines Pass-Through Trust, Series 20-1, Class B, 144A, 8.00%, due 02/15/27 | 5,893,564 | ||||||||
| 54,111 | Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.87%, due 07/26/31 | 54,107 | ||||||||
| 7,063,382 | Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (g) | 7 | ||||||||
| 3,792,678 | JetBlue Pass-Through Trust, Series 20-1, Class B, 7.75%, due 05/15/30 | 4,458,062 | ||||||||
| 158,934 | Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.87%, due 04/17/28 | 158,929 | ||||||||
|
|
|
|||||||||
| Total Asset-Backed Securities | 10,564,669 | |||||||||
|
|
|
|||||||||
| Bank Loans — 0.5% | ||||||||||
| 2,372,203 | American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, Variable Rate, 3 mo. LIBOR plus 13.00%, 14.00%, due 09/16/25 (e) | 2,419,648 | ||||||||
| 1,916,082 | Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 1 mo. LIBOR plus 3.75%, 3.84%, due 10/10/25 (e) | 1,441,851 | ||||||||
| 2,453,835 | Frontier Communications Corp., 2021 DIP Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.75%, 4.50%, due 05/01/28 (e) | 2,447,700 | ||||||||
| 4,015,517 | Quorum Health Corporation, 2020 Term Loan, Variable Rate, 3 mo. LIBOR plus 7.00%, 8.00%, due 04/29/25 (e) | 4,000,459 | ||||||||
| Par Value† |
Description | Value ($) | ||||||||
| Bank Loans — continued | ||||||||||
| 10,625,996 | SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, Variable Rate, 1 mo. LIBOR plus 3.00%, 3.50%, due 08/25/28 (e) | 10,579,560 | ||||||||
| 3,285,546 | Serta Simmons Bedding, LLC, 2020 Super Priority Second Out Term Loan, Variable Rate, 1 mo. LIBOR plus 7.50%, 8.50%, due 08/10/23 (e) | 3,067,879 | ||||||||
|
|
|
|||||||||
| Total Bank Loans | 23,957,097 | |||||||||
|
|
|
|||||||||
| Corporate Debt — 2.7% | ||||||||||
| 1,323,873 | American Airlines Pass-Through Trust – Class B, 4.38%, due 04/01/24 | 1,326,659 | ||||||||
| 1,966,706 | American Airlines Pass-Through Trust – Class B, 3.70%, due 11/01/24 | 1,936,610 | ||||||||
| 5,044,625 | American Airlines Pass-Through Trust – Class B, 4.40%, due 03/22/25 | 4,979,130 | ||||||||
| 2,289,941 | American Airlines Pass-Through Trust – Class B, 5.25%, due 07/15/25 | 2,274,692 | ||||||||
| 2,073,575 | American Airlines Pass-Through Trust – Class B, 144A, 4.38%, due 12/15/25 | 2,028,427 | ||||||||
| 3,097,872 | American Airlines Pass-Through Trust – Class B, 4.95%, due 08/15/26 | 3,093,622 | ||||||||
| 3,825,080 | American Airlines Pass-Through Trust – Class B, 3.70%, due 04/15/27 | 3,694,158 | ||||||||
| 2,895,004 | American Airlines Pass-Through Trust – Class B, 3.75%, due 04/15/27 | 2,806,603 | ||||||||
| 2,755,570 | American Airlines Pass-Through Trust – Class B, 3.85%, due 08/15/29 | 2,637,347 | ||||||||
| 1,140,000 | Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28 | 1,171,464 | ||||||||
| 944,000 | Boeing Co. (The), 5.81%, due 05/01/50 | 1,273,277 | ||||||||
| 2,963,000 | Boeing Co. (The), 5.93%, due 05/01/60 | 4,095,592 | ||||||||
| 6,270,000 | Carnival Corp, 144A, 7.63%, due 03/01/26 | 6,429,822 | ||||||||
| 4,280,000 | Carnival Corp, 144A, 5.75%, due 03/01/27 | 4,183,058 | ||||||||
| 3,579,000 | Carnival Corp, 6.65%, due 01/15/28 | 3,688,553 | ||||||||
| 3,615,000 | CEC Entertainment LLC, 144A, 6.75%, due 05/01/26 | 3,520,106 | ||||||||
| 6,700,000 | Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 6.50%, due 10/01/28 | 7,085,250 | ||||||||
| 768,000 | Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26 | 796,800 | ||||||||
| 4,856,000 | Dave & Buster’s, Inc., 144A, 7.63%, due 11/01/25 | 5,147,360 | ||||||||
| 1,610,000 | Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A, 9.50%, due 07/31/27 | 1,621,077 | ||||||||
| 2,010,000 | EnLink Midstream Partners LP, 5.60%, due 04/01/44 | 1,899,450 | ||||||||
| 1,818,000 | EnLink Midstream Partners LP, 5.05%, due 04/01/45 | 1,681,668 | ||||||||
| 3,133,000 | Envision Healthcare Corp., 144A, 8.75%, due 10/15/26 | 1,903,298 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| Corporate Debt — continued | ||||||||||
| 1,400,000 | Esc Cb Gulfport Energy, 6.38%, due 01/15/26 (e) (g) | 66,500 | ||||||||
| 1,340,000 | Ford Motor Credit Co. LLC, 5.58%, due 03/18/24 | 1,429,512 | ||||||||
| 290,000 | Ford Motor Credit Co. LLC, 4.27%, due 01/09/27 | 306,556 | ||||||||
| 890,000 | Ford Motor Credit Co. LLC, 5.11%, due 05/03/29 | 985,319 | ||||||||
| 330,563 | Frontier Communications Holdings LLC, 5.88%, due 11/01/29 | 324,986 | ||||||||
| 6,800,000 | Frontier Communications Holdings LLC, 144A, 6.00%, due 01/15/30 | 6,689,092 | ||||||||
| 860,000 | Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 12/31/99 | 890,418 | ||||||||
| 4,040,000 | Guitar Center, Inc., 144A, 8.50%, due 01/15/26 | 4,282,400 | ||||||||
| 2,534,100 | JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 12/31/99 | 2,509,393 | ||||||||
| 4,673,000 | Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28 | 4,673,000 | ||||||||
| 10,720,000 | NCL Finance Ltd., 144A, 6.13%, due 03/15/28 | 10,446,747 | ||||||||
| 3,760,000 | New Residential Investment Corp., 144A, REIT, 6.25%, due 10/15/25 | 3,708,300 | ||||||||
| 1,454,000 | Owens & Minor, Inc., 4.38%, due 12/15/24 | 1,526,700 | ||||||||
| 6,996,000 | Royal Caribbean Cruises Ltd, 7.50%, due 10/15/27 | 8,033,017 | ||||||||
| 3,280,000 | Royal Caribbean Cruises Ltd, 3.70%, due 03/15/28 | 2,992,606 | ||||||||
| 2,967,000 | SeaWorld Parks & Entertainment, Inc., 144A, 8.75%, due 05/01/25 | 3,159,855 | ||||||||
| 198,799 | Spirit Airlines Pass-Through Trust, 4.10%, due 10/01/29 | 205,735 | ||||||||
| 4,442,175 | Spirit Airlines Pass-Through Trust, 3.65%, due 08/15/31 | 4,422,131 | ||||||||
| 1,620,000 | Triumph Group, Inc., 144A, 6.25%, due 09/15/24 | 1,626,302 | ||||||||
| 1,300,000 | Uber Technologies, Inc., 144A, 8.00%, due 11/01/26 | 1,384,500 | ||||||||
| 540,000 | Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC, 144A, REIT, 6.00%, due 01/15/30 | 504,900 | ||||||||
| 999,600 | Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.50%, due 02/15/29 | 961,040 | ||||||||
| 278,000 | XHR LP, 144A, REIT, 4.88%, due 06/01/29 | 280,085 | ||||||||
|
|
|
|||||||||
| Total Corporate Debt | 130,683,117 | |||||||||
|
|
|
|||||||||
| U.S. Government — 10.4% | ||||||||||
| 195,000,000 | U.S. Treasury Note, 0.13%, due 02/28/23 (a) | 194,466,796 | ||||||||
| 44,000,000 | U.S. Treasury Note, 0.13%, due 03/31/23 | 43,859,063 | ||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| U.S. Government — continued | ||||||||||
| 184,000,000 | U.S. Treasury Note, 0.13%, due 06/30/23 (a) | 183,130,313 | ||||||||
| 90,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 07/31/23 (a) | 89,990,800 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 511,446,972 | |||||||||
|
|
|
|||||||||
| Total United States | 676,651,855 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $687,646,901) |
689,116,655 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 0.2% | ||||||||||
| United States — 0.2% | ||||||||||
| Affiliated Issuers — 0.2% | ||||||||||
| 2,317,146 | GMO U.S. Treasury Fund (h) | 11,655,246 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $11,668,691) |
11,655,246 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.8% |
| |||||||||
| Money Market Funds — 0.4% | ||||||||||
| 17,584,634 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (i) | 17,584,634 | ||||||||
| 558,015 | State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (j) | 558,015 | ||||||||
|
|
|
|||||||||
| Total Money Market Funds | 18,142,649 | |||||||||
|
|
|
|||||||||
| U.S. Government — 0.4% | ||||||||||
| 3,760,000 | U.S. Treasury Bill, 0.19%, due 10/06/22 (j) (k) | 3,753,836 | ||||||||
| 13,090,000 | U.S. Treasury Bill, 0.22%, due 11/03/22 (a) (j) (k) | 13,063,756 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 16,817,592 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $34,971,617) |
34,960,241 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.0% (Cost $4,928,778,406) |
4,869,690,295 | |||||||||
|
|
|
|||||||||
| SECURITIES SOLD SHORT — (25.5)% | ||||||||||
| Common Stocks — (25.3)% | ||||||||||
| Australia — (1.2)% | ||||||||||
| (1,119,189 | ) | APA Group | (7,567,627 | ) | ||||||
| (58,326 | ) | ASX Ltd | (3,727,768 | ) | ||||||
| (271,227 | ) | BHP Group Ltd Sponsored ADR | (15,240,245 | ) | ||||||
| (19,714 | ) | Cochlear Ltd | (3,031,392 | ) | ||||||
| (773,099 | ) | Qantas Airways Ltd * | (2,763,589 | ) | ||||||
| (4,330,958 | ) | Santos Ltd | (19,529,298 | ) | ||||||
| (1,432,384 | ) | Sydney Airport * | (8,436,299 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (60,296,218 | ) | ||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Austria — (0.2)% | ||||||||||
| (82,783 | ) | Verbund AG | (8,656,981 | ) | ||||||
|
|
|
|||||||||
| Belgium — (0.1)% | ||||||||||
| (39,514 | ) | Anheuser-Busch InBev SA/NV | (2,204,970 | ) | ||||||
| (16,081 | ) | Galapagos NV * | (778,340 | ) | ||||||
|
|
|
|||||||||
| Total Belgium | (2,983,310 | ) | ||||||||
|
|
|
|||||||||
| Canada — (0.5)% | ||||||||||
| (280,400 | ) | AltaGas Ltd | (5,333,845 | ) | ||||||
| (23,600 | ) | Brookfield Renewable Corp – Class A | (873,908 | ) | ||||||
| (9,300 | ) | Cameco Corp | (215,574 | ) | ||||||
| (232,601 | ) | Canadian Pacific Railway Ltd | (16,289,048 | ) | ||||||
| (3,300 | ) | Franco-Nevada Corp | (453,717 | ) | ||||||
| (53,600 | ) | Pembina Pipeline Corp | (1,589,240 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (24,755,332 | ) | ||||||||
|
|
|
|||||||||
| Denmark — (0.1)% | ||||||||||
| (200,450 | ) | Ambu A/S – Class B | (5,685,321 | ) | ||||||
|
|
|
|||||||||
| France — (0.8)% | ||||||||||
| (183,635 | ) | Accor SA * | (5,443,769 | ) | ||||||
| (43,925 | ) | Aeroports de Paris * | (5,135,199 | ) | ||||||
| (560,626 | ) | Getlink SE | (8,283,274 | ) | ||||||
| (5,517 | ) | Hermes International | (10,353,229 | ) | ||||||
| (4,283 | ) | Sartorius Stedim Biotech | (2,528,577 | ) | ||||||
| (78,252 | ) | Ubisoft Entertainment SA * | (4,010,904 | ) | ||||||
| (26,457 | ) | Wendel SE | (3,025,144 | ) | ||||||
|
|
|
|||||||||
| Total France | (38,780,096 | ) | ||||||||
|
|
|
|||||||||
| Germany — (0.8)% | ||||||||||
| (59,766 | ) | Delivery Hero SE * | (7,931,600 | ) | ||||||
| (69,999 | ) | Puma SE | (8,457,370 | ) | ||||||
| (51,075 | ) | QIAGEN NV * | (2,822,025 | ) | ||||||
| (31,369 | ) | Scout24 SE | (2,081,870 | ) | ||||||
| (3,155,442 | ) | Telefonica Deutschland Holding AG | (8,415,974 | ) | ||||||
| (98,089 | ) | Uniper SE | (4,258,617 | ) | ||||||
| (81,611 | ) | Zalando SE * | (7,421,993 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (41,389,449 | ) | ||||||||
|
|
|
|||||||||
| Israel — (0.2)% | ||||||||||
| (26,400 | ) | CyberArk Software Ltd * | (4,563,240 | ) | ||||||
| (33,300 | ) | Wix.com Ltd * | (5,088,240 | ) | ||||||
|
|
|
|||||||||
| Total Israel | (9,651,480 | ) | ||||||||
|
|
|
|||||||||
| Italy — (0.5)% | ||||||||||
| (65,620 | ) | Amplifon SPA | (3,196,006 | ) | ||||||
| (261,217 | ) | Atlantia SPA * | (4,770,263 | ) | ||||||
| (35,060 | ) | Ferrari NV | (9,174,320 | ) | ||||||
| (449,952 | ) | FinecoBank Banca Fineco SPA | (7,880,446 | ) | ||||||
| (165,322 | ) | Infrastrutture Wireless Italiane SPA | (1,896,001 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (26,917,036 | ) | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — (2.6)% | ||||||||||
| (395,000 | ) | Acom Co Ltd | (1,171,351 | ) | ||||||
| (23,400 | ) | Aeon Co Ltd | (545,769 | ) | ||||||
| (229,700 | ) | ANA Holdings Inc * | (4,520,050 | ) | ||||||
| (251,900 | ) | Asahi Intecc Co Ltd | (5,521,404 | ) | ||||||
| (6,000 | ) | East Japan Railway Co | (367,857 | ) | ||||||
| (68,400 | ) | GMO Payment Gateway Inc | (9,114,277 | ) | ||||||
| (32,900 | ) | Harmonic Drive Systems Inc | (1,351,679 | ) | ||||||
| (273,000 | ) | Hitachi Metals Ltd * | (5,068,573 | ) | ||||||
| (8,200 | ) | Ibiden Co Ltd | (507,026 | ) | ||||||
| (435,400 | ) | Isetan Mitsukoshi Holdings Ltd | (2,976,586 | ) | ||||||
| (3,700 | ) | Ito En Ltd | (217,716 | ) | ||||||
| (133,500 | ) | Japan Airlines Co Ltd * | (2,406,482 | ) | ||||||
| (96,600 | ) | Japan Airport Terminal Co Ltd * | (4,250,669 | ) | ||||||
| (141,300 | ) | Japan Exchange Group Inc | (3,059,300 | ) | ||||||
| (874 | ) | Japan Real Estate Investment Corp (REIT) | (5,058,121 | ) | ||||||
| (284,600 | ) | JGC Holding Corp | (2,391,580 | ) | ||||||
| (302,900 | ) | Keikyu Corp | (2,991,294 | ) | ||||||
| (48,400 | ) | Keio Corp | (2,176,232 | ) | ||||||
| (8,600 | ) | Keisei Electric Railway Co Ltd | (235,278 | ) | ||||||
| (69,300 | ) | Kintetsu Group Holdings Co Ltd * | (1,990,437 | ) | ||||||
| (37,100 | ) | Lasertec Corp | (9,634,314 | ) | ||||||
| (21,500 | ) | Lion Corp | (305,377 | ) | ||||||
| (182,400 | ) | LIXIL Corp | (4,462,242 | ) | ||||||
| (110,100 | ) | M3 Inc | (5,918,790 | ) | ||||||
| (117,500 | ) | Mercari Inc * | (7,087,583 | ) | ||||||
| (28,500 | ) | Mizuho Financial Group Inc | (351,367 | ) | ||||||
| (341,900 | ) | MonotaRO Co Ltd | (6,730,987 | ) | ||||||
| (9,000 | ) | Nidec Corp | (1,030,568 | ) | ||||||
| (281,700 | ) | Nihon M&A Center Holdings Inc | (8,264,996 | ) | ||||||
| (393,800 | ) | Nippon Paint Holdings Co Ltd | (4,132,188 | ) | ||||||
| (75,000 | ) | Nissin Foods Holdings Co Ltd | (5,512,767 | ) | ||||||
| (207,900 | ) | Odakyu Electric Railway Co Ltd | (4,004,278 | ) | ||||||
| (45,800 | ) | ORIENTAL LAND CO LTD | (7,196,775 | ) | ||||||
| (38,700 | ) | Shiseido Co Ltd | (2,218,275 | ) | ||||||
| (54,800 | ) | Tobu Railway Co Ltd | (1,238,482 | ) | ||||||
| (78,200 | ) | Tokyu Corp | (1,080,869 | ) | ||||||
| (50,700 | ) | West Japan Railway Co | (2,184,802 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (127,276,341 | ) | ||||||||
|
|
|
|||||||||
| Netherlands — (0.3)% | ||||||||||
| (3,012 | ) | Adyen NV * | (8,342,743 | ) | ||||||
| (12,924 | ) | Heineken Holding NV | (1,076,347 | ) | ||||||
| (83,701 | ) | Just Eat Takeaway.com NV * | (5,241,387 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (14,660,477 | ) | ||||||||
|
|
|
|||||||||
| New Zealand — (0.1)% | ||||||||||
| (62,008 | ) | Xero Ltd * | (6,297,994 | ) | ||||||
|
|
|
|||||||||
| Norway — (0.0)% | ||||||||||
| (24,607 | ) | Schibsted ASA – B Shares | (945,281 | ) | ||||||
| (26,103 | ) | Schibsted ASA – Class A | (1,163,079 | ) | ||||||
|
|
|
|||||||||
| Total Norway | (2,108,360 | ) | ||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Russia — (0.0)% | ||||||||||
| (12,277 | ) | Magnit PJSC Sponsored GDR (Registered) | (189,267 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.3)% | ||||||||||
| (182,100 | ) | City Developments Ltd | (934,724 | ) | ||||||
| (1,379,300 | ) | Singapore Airlines Ltd * | (4,911,723 | ) | ||||||
| (1,014,500 | ) | Singapore Exchange Ltd | (6,623,485 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (12,469,932 | ) | ||||||||
|
|
|
|||||||||
| Spain — (0.5)% | ||||||||||
| (2,602 | ) | Aena SME SA * | (382,145 | ) | ||||||
| (140,990 | ) | Cellnex Telecom SA | (8,315,016 | ) | ||||||
| (288,762 | ) | Ferrovial SA | (8,040,405 | ) | ||||||
| (250,314 | ) | Siemens Gamesa Renewable Energy SA * | (6,682,204 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (23,419,770 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (0.3)% | ||||||||||
| (635,571 | ) | Embracer Group AB * | (6,868,143 | ) | ||||||
| (9,372 | ) | EQT AB | (551,021 | ) | ||||||
| (54,970 | ) | Evolution AB | (5,771,719 | ) | ||||||
| (102,010 | ) | Sinch AB * | (1,356,469 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (14,547,352 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.4)% | ||||||||||
| (10 | ) | Chocoladefabriken Lindt & Spruengli AG (Registered) | (1,232,937 | ) | ||||||
| (5,071 | ) | Partners Group Holding AG | (8,751,773 | ) | ||||||
| (4,040 | ) | Straumann Holding AG (Registered) | (8,588,827 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (18,573,537 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (1.3)% | ||||||||||
| (100,338 | ) | Admiral Group Plc | (3,944,703 | ) | ||||||
| (179,709 | ) | Antofagasta Plc | (3,285,583 | ) | ||||||
| (64 | ) | AstraZeneca Plc Sponsored ADR | (3,509 | ) | ||||||
| (977,681 | ) | Auto Trader Group Plc | (9,496,834 | ) | ||||||
| (1,441,853 | ) | ConvaTec Group Plc | (3,689,068 | ) | ||||||
| (71,404 | ) | Halma Plc | (2,846,211 | ) | ||||||
| (413,531 | ) | Hargreaves Lansdown Plc | (7,339,849 | ) | ||||||
| (1,131,165 | ) | Informa Plc * | (7,004,957 | ) | ||||||
| (440,015 | ) | Land Securities Group Plc (REIT) | (4,241,481 | ) | ||||||
| (76,554 | ) | London Stock Exchange Group Plc | (6,631,929 | ) | ||||||
| (160,138 | ) | Melrose Industries Plc | (307,659 | ) | ||||||
| (265,849 | ) | Ocado Group Plc * | (6,346,459 | ) | ||||||
| (4,595,136 | ) | Rolls-Royce Holdings Plc * | (7,496,250 | ) | ||||||
| (15,856 | ) | Spirax-Sarco Engineering Plc | (3,289,941 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (65,924,433 | ) | ||||||||
|
|
|
|||||||||
| United States — (15.1)% | ||||||||||
| (627,233 | ) | Advanced Micro Devices, Inc. * | (99,334,890 | ) | ||||||
| (250,700 | ) | AES Corp. (The) | (5,861,366 | ) | ||||||
| (41,800 | ) | Airbnb, Inc. – Class A * | (7,212,172 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (32,500 | ) | American Tower Corp. (REIT) | (8,530,600 | ) | ||||||
| (1 | ) | Analog Devices, Inc. | (180 | ) | ||||||
| (162,615 | ) | Aon Plc – Class A | (48,096,639 | ) | ||||||
| (216,432 | ) | Apollo Global Management, Inc. | (15,319,057 | ) | ||||||
| (123,100 | ) | Aramark | (4,111,540 | ) | ||||||
| (46,300 | ) | Arthur J Gallagher & Co. | (7,542,270 | ) | ||||||
| (29,400 | ) | Autodesk, Inc. * | (7,473,186 | ) | ||||||
| (49,400 | ) | Avalara, Inc. * | (6,900,192 | ) | ||||||
| (1,400 | ) | Bio-Techne Corp. | (660,842 | ) | ||||||
| (43,800 | ) | BioMarin Pharmaceutical, Inc. * | (3,779,502 | ) | ||||||
| (33,000 | ) | Boeing Co. (The) * | (6,529,050 | ) | ||||||
| (28,100 | ) | Burlington Stores, Inc. * | (8,236,953 | ) | ||||||
| (69,800 | ) | Caesars Entertainment, Inc. * | (6,286,886 | ) | ||||||
| (27,000 | ) | Carvana Co. * | (7,571,340 | ) | ||||||
| (44,100 | ) | Catalent, Inc. * | (5,673,906 | ) | ||||||
| (64,400 | ) | Ceridian HCM Holding, Inc. * | (7,045,360 | ) | ||||||
| (15,857 | ) | Charter Communications, Inc. – Class A * | (10,248,062 | ) | ||||||
| (5,100 | ) | Chipotle Mexican Grill, Inc. * | (8,381,391 | ) | ||||||
| (195,200 | ) | Clarivate Plc * | (4,555,968 | ) | ||||||
| (46,800 | ) | Cloudflare, Inc. – Class A * | (8,809,632 | ) | ||||||
| (32,000 | ) | CME Group, Inc. | (7,056,640 | ) | ||||||
| (24,400 | ) | Cognex Corp. | (1,884,900 | ) | ||||||
| (32,700 | ) | Coupa Software, Inc. * | (6,430,782 | ) | ||||||
| (46,800 | ) | Crown Castle International Corp. (REIT) | (8,501,220 | ) | ||||||
| (156,000 | ) | Delta Air Lines, Inc. * | (5,647,200 | ) | ||||||
| (14,700 | ) | Dexcom, Inc. * | (8,270,073 | ) | ||||||
| (31,400 | ) | DocuSign, Inc. * | (7,735,704 | ) | ||||||
| (1,600 | ) | DoorDash, Inc. – Class A * | (286,032 | ) | ||||||
| (135,600 | ) | DraftKings Inc. – Class A * | (4,684,980 | ) | ||||||
| (10,800 | ) | Equinix, Inc. (REIT) | (8,771,760 | ) | ||||||
| (104,700 | ) | Equity LifeStyle Properties, Inc. (REIT) | (8,512,110 | ) | ||||||
| (4,700 | ) | Erie Indemnity Co. – Class A | (873,307 | ) | ||||||
| (73,400 | ) | Exact Sciences Corp. * | (6,266,158 | ) | ||||||
| (28,300 | ) | Expedia Group, Inc. * | (4,558,847 | ) | ||||||
| (4,400 | ) | First Republic Bank | (922,504 | ) | ||||||
| (277,880 | ) | Fox Corp. – Class A | (9,923,095 | ) | ||||||
| (71,700 | ) | Guidewire Software, Inc. * | (8,341,578 | ) | ||||||
| (28,600 | ) | Hess Corp. | (2,131,272 | ) | ||||||
| (202,700 | ) | Host Hotels & Resorts, Inc. (REIT) * | (3,182,390 | ) | ||||||
| (11,600 | ) | HubSpot, Inc. * | (9,360,156 | ) | ||||||
| (13,900 | ) | IDEXX Laboratories, Inc. * | (8,452,173 | ) | ||||||
| (44,754 | ) | II-VI, Inc. * | (2,798,468 | ) | ||||||
| (49,600 | ) | Ingersoll Rand, Inc. | (2,893,664 | ) | ||||||
| (28,600 | ) | Insulet Corp. * | (8,249,384 | ) | ||||||
| (21,200 | ) | Ionis Pharmaceuticals, Inc. * | (561,800 | ) | ||||||
| (35,700 | ) | IQVIA Holdings, Inc. * | (9,250,941 | ) | ||||||
| (113,900 | ) | Iron Mountain, Inc. (REIT) | (5,175,616 | ) | ||||||
| (121,100 | ) | Lamb Weston Holdings, Inc. | (6,287,512 | ) | ||||||
| (25,400 | ) | Liberty Broadband Corp. – Class A * | (3,850,132 | ) | ||||||
| (24,400 | ) | Liberty Broadband Corp. – Class C * | (3,778,340 | ) | ||||||
| (158,500 | ) | Liberty Media Corp-Liberty Formula One – Class C * | (9,655,820 | ) | ||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (20,700 | ) | Liberty Media Corp-Liberty SiriusXM – Class A * | (1,010,160 | ) | ||||||
| (23,000 | ) | Liberty Media Corp-Liberty SiriusXM – Class C * | (1,125,390 | ) | ||||||
| (8,600 | ) | Linde Plc | (2,736,004 | ) | ||||||
| (84,400 | ) | Live Nation Entertainment, Inc. * | (9,001,260 | ) | ||||||
| (17,400 | ) | MarketAxess Holdings, Inc. | (6,136,806 | ) | ||||||
| (8,600 | ) | Marriott International, Inc. – Class A * | (1,269,016 | ) | ||||||
| (13 | ) | Marvell Technology, Inc. | (925 | ) | ||||||
| (135,400 | ) | MGM Resorts International | (5,359,132 | ) | ||||||
| (17,200 | ) | MongoDB, Inc. * | (8,567,320 | ) | ||||||
| (8,600 | ) | Monolithic Power Systems, Inc. | (4,759,756 | ) | ||||||
| (14,400 | ) | MSCI, Inc. | (9,064,080 | ) | ||||||
| (66,451 | ) | NortonLifeLock, Inc. | (1,651,307 | ) | ||||||
| (54,700 | ) | Novocure Ltd. * | (5,122,108 | ) | ||||||
| (102,400 | ) | Oak Street Health, Inc. * | (3,169,280 | ) | ||||||
| (35,400 | ) | Okta, Inc. * | (7,619,142 | ) | ||||||
| (99,400 | ) | Palantir Technologies, Inc. – Class A * | (2,052,610 | ) | ||||||
| (3,200 | ) | Paycom Software, Inc. * | (1,399,936 | ) | ||||||
| (67,100 | ) | Peloton Interactive, Inc. – Class A * | (2,952,400 | ) | ||||||
| (4,200 | ) | Public Storage (REIT) | (1,374,996 | ) | ||||||
| (1 | ) | Realty Income Corp. (REIT) | (68 | ) | ||||||
| (27,300 | ) | RingCentral, Inc. – Class A * | (5,896,254 | ) | ||||||
| (23,600 | ) | Roku, Inc. * | (5,371,596 | ) | ||||||
| (94,350 | ) | Rollins, Inc. | (3,139,968 | ) | ||||||
| (88,300 | ) | Royal Caribbean Cruises Ltd. * | (6,165,106 | ) | ||||||
| (83,055 | ) | S&P Global, Inc. | (37,850,655 | ) | ||||||
| (14 | ) | salesforce.com, Inc. * | (3,990 | ) | ||||||
| (93,700 | ) | Sarepta Therapeutics, Inc. * | (7,571,897 | ) | ||||||
| (24,600 | ) | Seagen, Inc. * | (3,936,000 | ) | ||||||
| (13,600 | ) | ServiceNow, Inc. * | (8,808,720 | ) | ||||||
| (54,600 | ) | Simon Property Group, Inc. (REIT) | (8,345,064 | ) | ||||||
| (125,100 | ) | Snap, Inc. – Class A * | (5,956,011 | ) | ||||||
| (25,900 | ) | Snowflake, Inc. – Class A * | (8,809,885 | ) | ||||||
| (85,622 | ) | Square, Inc. – Class A * | (17,837,631 | ) | ||||||
| (49,000 | ) | Teladoc Health, Inc. * | (4,961,250 | ) | ||||||
| (110 | ) | Teledyne Technologies, Inc. * | (45,682 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (8,600 | ) | Tesla, Inc. * | (9,844,936 | ) | ||||||
| (25,900 | ) | Twilio, Inc. – Class A * | (7,411,285 | ) | ||||||
| (53,900 | ) | Twitter, Inc. * | (2,368,366 | ) | ||||||
| (134,200 | ) | Uber Technologies, Inc. * | (5,099,600 | ) | ||||||
| (160,900 | ) | UDR, Inc. (REIT) | (9,127,857 | ) | ||||||
| (24,900 | ) | Vail Resorts, Inc. | (8,259,579 | ) | ||||||
| (180,600 | ) | Vistra Corp. | (3,590,328 | ) | ||||||
| (13,500 | ) | Wayfair, Inc. – Class A * | (3,345,840 | ) | ||||||
| (317,600 | ) | Williams Cos, Inc. (The) | (8,508,504 | ) | ||||||
| (57,300 | ) | Zendesk, Inc. * | (5,850,903 | ) | ||||||
| (43,200 | ) | Zillow Group, Inc. – Class A * | (2,337,552 | ) | ||||||
| (72,949 | ) | Zillow Group, Inc. – Class C * | (3,958,942 | ) | ||||||
| (27,400 | ) | Zscaler, Inc. * | (9,506,977 | ) | ||||||
|
|
|
|||||||||
| Total United States | (740,737,616 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $1,135,858,017) |
(1,245,320,302 | ) | ||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (f) — (0.2)% | ||||||||||
| Germany — (0.2)% | ||||||||||
| (11,631 | ) | Sartorius AG | (8,001,325 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $5,061,513) |
(8,001,325 | ) | ||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — (0.0)% | ||||||||||
| United States — (0.0)% | ||||||||||
| (5,389 | ) | SPDR S&P Oil & Gas Exploration & Production ETF | (524,835 | ) | ||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (PROCEEDS $439,351) |
(524,835 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $1,141,358,881) |
(1,253,846,462 | ) | ||||||||
| Other Assets and Liabilities (net) — 26.5% | 1,305,206,754 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $4,921,050,587 | |||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Forward Currency Contracts
| Settlement |
Counter- |
Currency |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 01/18/2022 | JPM | AUD | 52,266,308 | USD | 38,735,500 | 1,456,275 | ||||||||||||||
| 01/18/2022 | MSCI | AUD | 30,183,847 | USD | 22,256,995 | 728,204 | ||||||||||||||
| 01/21/2022 | MSCI | AUD | 27,067,560 | USD | 20,061,921 | 755,602 | ||||||||||||||
| 02/09/2022 | BCLY | AUD | 5,598,000 | USD | 4,151,512 | 158,416 | ||||||||||||||
| 02/09/2022 | CITI | AUD | 6,842,000 | USD | 5,074,588 | 194,138 | ||||||||||||||
| 02/09/2022 | MSCI | AUD | 92,700,050 | USD | 68,490,505 | 2,366,857 | ||||||||||||||
| 12/02/2021 | CITI | BRL | 8,381,721 | USD | 1,520,000 | 29,081 | ||||||||||||||
| 12/02/2021 | GS | BRL | 57,803,527 | USD | 10,440,000 | 158,059 | ||||||||||||||
| 12/02/2021 | MSCI | BRL | 3,986,370 | USD | 747,393 | 38,308 | ||||||||||||||
| 12/01/2021 | DB | CAD | 21,529,303 | USD | 17,448,062 | 594,719 | ||||||||||||||
| 01/12/2022 | SSB | CAD | 23,611,379 | USD | 19,025,820 | 533,687 | ||||||||||||||
| 01/31/2022 | MSCI | CAD | 4,285,082 | USD | 3,363,249 | 7,250 | ||||||||||||||
| 02/01/2022 | UBSA | CAD | 21,000,000 | USD | 17,019,207 | 572,393 | ||||||||||||||
| 02/02/2022 | JPM | CAD | 24,229,227 | USD | 19,140,000 | 164,156 | ||||||||||||||
| 02/02/2022 | GS | CHF | 8,431,181 | USD | 9,271,932 | 66,380 | ||||||||||||||
| 02/14/2022 | MSCI | CHF | 135,934,767 | USD | 147,001,797 | (1,463,899 | ) | |||||||||||||
| 02/17/2022 | JPM | COP | 5,680,375,000 | USD | 1,450,000 | 39,142 | ||||||||||||||
| 01/18/2022 | CITI | CZK | 40,698,409 | USD | 1,850,000 | 42,680 | ||||||||||||||
| 01/18/2022 | DB | CZK | 44,894,221 | USD | 2,030,000 | 36,354 | ||||||||||||||
| 01/18/2022 | GS | CZK | 41,043,611 | USD | 1,800,000 | (22,650 | ) | |||||||||||||
| 01/18/2022 | JPM | CZK | 147,522,081 | USD | 6,683,123 | 132,016 | ||||||||||||||
| 12/03/2021 | MSCI | EUR | 2,905,345 | USD | 3,272,363 | (22,651 | ) | |||||||||||||
| 12/03/2021 | UBSA | EUR | 1,002,157 | USD | 1,129,032 | (7,535 | ) | |||||||||||||
| 01/21/2022 | BCLY | EUR | 3,437,700 | USD | 3,999,604 | 93,711 | ||||||||||||||
| 01/21/2022 | MSCI | EUR | 97,610,148 | USD | 113,866,314 | 2,962,281 | ||||||||||||||
| 01/21/2022 | SSB | EUR | 202,710 | USD | 236,287 | 5,969 | ||||||||||||||
| 01/31/2022 | DB | EUR | 21,280,000 | USD | 24,517,324 | 333,823 | ||||||||||||||
| 01/21/2022 | MSCI | GBP | 14,151,300 | USD | 19,545,317 | 708,635 | ||||||||||||||
| 01/21/2022 | UBSA | GBP | 671,602 | USD | 925,584 | 31,620 | ||||||||||||||
| 02/14/2022 | JPM | GBP | 10,990,000 | USD | 15,098,194 | 470,253 | ||||||||||||||
| 02/14/2022 | MSCI | GBP | 21,670,000 | USD | 29,027,615 | 184,351 | ||||||||||||||
| 01/21/2022 | SSB | HKD | 49,791,300 | USD | 6,404,169 | 18,899 | ||||||||||||||
| 01/14/2022 | BOA | HUF | 691,790,792 | USD | 2,170,000 | 19,871 | ||||||||||||||
| 01/14/2022 | CITI | HUF | 1,088,201,772 | USD | 3,410,000 | 27,800 | ||||||||||||||
| 01/14/2022 | GS | HUF | 967,447,745 | USD | 3,080,000 | 73,111 | ||||||||||||||
| 01/14/2022 | MSCI | HUF | 1,146,628,558 | USD | 3,658,441 | 94,647 | ||||||||||||||
| 02/04/2022 | GS | IDR | 18,227,160,000 | USD | 1,260,000 | (3,849 | ) | |||||||||||||
| 01/10/2022 | MSCI | INR | 675,203,050 | USD | 9,072,871 | 112,076 | ||||||||||||||
| 12/07/2021 | BCLY | JPY | 776,278,611 | USD | 6,850,207 | (17,529 | ) | |||||||||||||
| 12/07/2021 | GS | JPY | 158,996,823 | USD | 1,404,167 | (2,478 | ) | |||||||||||||
| 12/07/2021 | JPM | JPY | 1,428,077,392 | USD | 12,522,003 | (112,196 | ) | |||||||||||||
| 12/07/2021 | MSCI | JPY | 2,077,211,630 | USD | 18,310,770 | (66,320 | ) | |||||||||||||
| 12/07/2021 | UBSA | JPY | 539,790,018 | USD | 4,698,860 | (76,662 | ) | |||||||||||||
| 01/21/2022 | BOA | JPY | 3,702,635,400 | USD | 32,460,303 | (325,656 | ) | |||||||||||||
| 02/10/2022 | BCLY | KRW | 2,915,616,600 | USD | 2,460,000 | (1,871 | ) | |||||||||||||
| 02/10/2022 | JPM | KRW | 2,414,952,000 | USD | 2,040,000 | 877 | ||||||||||||||
| 02/10/2022 | MSCI | KRW | 10,951,592,172 | USD | 9,255,518 | 8,278 | ||||||||||||||
| 01/21/2022 | BCLY | MXN | 31,890,065 | USD | 1,520,000 | 47,199 | ||||||||||||||
| 01/21/2022 | BOA | MXN | 36,109,415 | USD | 1,730,000 | 62,334 | ||||||||||||||
| 01/21/2022 | GS | MXN | 128,031,479 | USD | 6,030,000 | 117,032 | ||||||||||||||
| 01/21/2022 | MSCI | MXN | 17,848,004 | USD | 863,902 | 39,615 | ||||||||||||||
| 02/15/2022 | JPM | NOK | 75,291,271 | USD | 8,260,000 | (57,819 | ) | |||||||||||||
| 01/18/2022 | BCLY | NZD | 1,141,341 | USD | 797,049 | 18,450 | ||||||||||||||
| 01/18/2022 | MSCI | NZD | 11,287,887 | USD | 7,861,246 | 160,890 | ||||||||||||||
| 02/01/2022 | MSCI | NZD | 200,120,000 | USD | 138,386,982 | 1,895,994 | ||||||||||||||
| 02/09/2022 | JPM | PHP | 123,381,830 | USD | 2,457,670 | 18,534 | ||||||||||||||
| 01/18/2022 | MSCI | PLN | 36,417,489 | USD | 8,874,522 | 35,862 | ||||||||||||||
| Settlement |
Counter- |
Currency |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 01/31/2022 | JPM | RON | 54,142,065 | USD | 12,616,117 | 267,604 | ||||||||||||||
| 02/07/2022 | JPM | SEK | 130,541,240 | USD | 14,850,000 | 342,768 | ||||||||||||||
| 01/18/2022 | BOA | SGD | 2,874,156 | USD | 2,130,000 | 24,120 | ||||||||||||||
| 01/18/2022 | CITI | SGD | 2,011,985 | USD | 1,470,000 | (4,171 | ) | |||||||||||||
| 01/18/2022 | GS | SGD | 1,994,938 | USD | 1,480,000 | 18,319 | ||||||||||||||
| 02/18/2022 | JPM | THB | 440,121,009 | USD | 13,253,064 | 189,356 | ||||||||||||||
| 01/25/2022 | BCLY | TRY | 25,037,158 | USD | 2,439,080 | 655,160 | ||||||||||||||
| 02/18/2022 | CITI | TWD | 47,002,960 | USD | 1,700,000 | (9,709 | ) | |||||||||||||
| 02/18/2022 | GS | TWD | 16,528,200 | USD | 600,000 | (1,205 | ) | |||||||||||||
| 02/22/2022 | JPM | TWD | 36,449,400 | USD | 1,319,579 | (6,745 | ) | |||||||||||||
| 01/18/2022 | BCLY | USD | 3,618,666 | AUD | 5,061,466 | (8,548 | ) | |||||||||||||
| 01/18/2022 | BOA | USD | 4,148,532 | AUD | 5,649,914 | (118,701 | ) | |||||||||||||
| 01/18/2022 | MSCI | USD | 14,736,577 | AUD | 19,965,909 | (495,784 | ) | |||||||||||||
| 01/18/2022 | UBSA | USD | 9,042,496 | AUD | 12,248,719 | (306,031 | ) | |||||||||||||
| 02/09/2022 | JPM | USD | 12,029,586 | AUD | 16,430,000 | (309,942 | ) | |||||||||||||
| 12/02/2021 | GS | USD | 740,142 | BRL | 3,986,370 | (31,056 | ) | |||||||||||||
| 12/02/2021 | MSCI | USD | 11,952,857 | BRL | 63,752,955 | (612,648 | ) | |||||||||||||
| 12/01/2021 | BCLY | USD | 3,143,581 | CAD | 3,906,588 | (85,467 | ) | |||||||||||||
| 12/01/2021 | JPM | USD | 4,857,108 | CAD | 6,061,385 | (112,198 | ) | |||||||||||||
| 12/01/2021 | MSCI | USD | 3,362,004 | CAD | 4,285,082 | (7,601 | ) | |||||||||||||
| 12/01/2021 | UBSA | USD | 3,087,386 | CAD | 3,876,232 | (53,035 | ) | |||||||||||||
| 01/12/2022 | SSB | USD | 283,599 | CAD | 351,951 | (7,955 | ) | |||||||||||||
| 01/31/2022 | JPM | USD | 3,224,117 | CAD | 4,105,223 | (8,981 | ) | |||||||||||||
| 02/02/2022 | JPM | USD | 122,935,716 | CAD | 152,229,599 | (3,712,556 | ) | |||||||||||||
| 02/14/2022 | JPM | USD | 16,460,000 | CHF | 15,187,000 | 126,989 | ||||||||||||||
| 02/16/2022 | MSCI | USD | 11,385,305 | CLP | 9,172,571,000 | (391,402 | ) | |||||||||||||
| 02/17/2022 | MSCI | USD | 400,000 | COP | 1,616,800,000 | 1,571 | ||||||||||||||
| 12/03/2021 | DB | USD | 28,359,790 | EUR | 24,000,000 | (1,140,882 | ) | |||||||||||||
| 12/03/2021 | JPM | USD | 4,385,991 | EUR | 3,779,377 | (99,719 | ) | |||||||||||||
| 12/03/2021 | UBSA | USD | 1,950,409 | EUR | 1,687,033 | (37,109 | ) | |||||||||||||
| 01/18/2022 | BCLY | USD | 2,458,676 | EUR | 2,165,557 | 1,654 | ||||||||||||||
| 01/18/2022 | DB | USD | 2,076,906 | EUR | 1,787,254 | (46,373 | ) | |||||||||||||
| 01/21/2022 | BCLY | USD | 6,408,949 | EUR | 5,676,800 | 40,995 | ||||||||||||||
| 01/21/2022 | MSCI | USD | 3,242,998 | EUR | 2,788,365 | (74,876 | ) | |||||||||||||
| 01/21/2022 | UBSA | USD | 23,483,300 | EUR | 20,115,692 | (627,978 | ) | |||||||||||||
| 02/02/2022 | UBSA | USD | 23,683,172 | EUR | 20,262,879 | (654,560 | ) | |||||||||||||
| 02/14/2022 | CITI | USD | 8,548,046 | GBP | 6,230,000 | (255,774 | ) | |||||||||||||
| 02/14/2022 | MSCI | USD | 62,933,489 | GBP | 46,182,700 | (1,463,262 | ) | |||||||||||||
| 02/04/2022 | MSCI | USD | 12,182,324 | IDR | 175,669,107,400 | (1,641 | ) | |||||||||||||
| 01/31/2022 | DB | USD | 3,100,000 | ILS | 9,648,018 | (31,965 | ) | |||||||||||||
| 01/31/2022 | JPM | USD | 2,944,987 | ILS | 9,378,901 | 37,469 | ||||||||||||||
| 01/10/2022 | GS | USD | 1,020,000 | INR | 76,981,440 | 1,641 | ||||||||||||||
| 12/07/2021 | BCLY | USD | 9,962,312 | JPY | 1,130,999,322 | 43,638 | ||||||||||||||
| 12/07/2021 | JPM | USD | 24,374,573 | JPY | 2,778,190,807 | 204,078 | ||||||||||||||
| 12/07/2021 | MSCI | USD | 9,068,241 | JPY | 1,018,880,910 | (54,203 | ) | |||||||||||||
| 12/07/2021 | UBSA | USD | 36,428,499 | JPY | 4,086,243,509 | (277,506 | ) | |||||||||||||
| 02/07/2022 | JPM | USD | 7,755,300 | JPY | 883,890,916 | 72,514 | ||||||||||||||
| 02/09/2022 | JPM | USD | 51,633,179 | JPY | 5,873,103,670 | 380,477 | ||||||||||||||
| 02/10/2022 | CITI | USD | 1,550,000 | KRW | 1,830,519,000 | (4,357 | ) | |||||||||||||
| 02/15/2022 | MSCI | USD | 75,812,952 | NOK | 648,088,533 | (4,215,235 | ) | |||||||||||||
| 01/18/2022 | GS | USD | 1,767,834 | NZD | 2,569,345 | (15,081 | ) | |||||||||||||
| 02/01/2022 | JPM | USD | 6,831,528 | NZD | 9,560,000 | (311,171 | ) | |||||||||||||
| 02/01/2022 | MSCI | USD | 84,552,609 | NZD | 120,220,000 | (2,557,072 | ) | |||||||||||||
| 02/04/2022 | SSB | USD | 17,866,570 | NZD | 25,800,000 | (270,749 | ) | |||||||||||||
| 02/16/2022 | MSCI | USD | 3,988,526 | PEN | 16,193,212 | (24,216 | ) | |||||||||||||
| 01/18/2022 | DB | USD | 1,590,000 | PLN | 6,611,121 | 14,544 | ||||||||||||||
| 01/18/2022 | GS | USD | 2,380,000 | PLN | 9,872,414 | 16,071 | ||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Forward Currency Contracts — (Continued)
| Settlement |
Counter- |
Currency |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 01/18/2022 | JPM | USD | 1,770,000 | PLN | 7,409,902 | 28,411 | ||||||||||||||
| 01/31/2022 | BOA | USD | 380,000 | RON | 1,676,458 | 2,360 | ||||||||||||||
| 02/09/2022 | GS | USD | 690,000 | RUB | 52,093,042 | 1,176 | ||||||||||||||
| 02/09/2022 | MSCI | USD | 11,767,090 | RUB | 855,691,013 | (413,690 | ) | |||||||||||||
| 02/07/2022 | JPM | USD | 122,002,134 | SEK | 1,042,502,137 | (6,147,399 | ) | |||||||||||||
| 01/18/2022 | DB | USD | 1,010,000 | SGD | 1,385,001 | 4,783 | ||||||||||||||
| 02/18/2022 | CITI | USD | 1,030,000 | THB | 34,361,624 | (10,075 | ) | |||||||||||||
| 01/25/2022 | BCLY | USD | 1,360,000 | TRY | 13,725,800 | (382,024 | ) | |||||||||||||
| 01/25/2022 | MSCI | USD | 1,125,396 | TRY | 11,311,358 | (319,452 | ) | |||||||||||||
| 01/31/2022 | MSCI | USD | 12,286,880 | ZAR | 186,238,384 | (673,157 | ) | |||||||||||||
| 01/31/2022 | BCLY | ZAR | 38,343,085 | USD | 2,420,000 | 28,946 | ||||||||||||||
| 01/31/2022 | GS | ZAR | 30,567,897 | USD | 1,960,000 | 53,802 | ||||||||||||||
|
|
|
|||||||||||||||||||
| $ | (10,400,101 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 168 | Australian Government Bond 10 Yr. | December 2021 | 16,693,204 | (610,523 | ) | |||||||||
| 505 | CAC40 10 Euro | December 2021 | 38,400,952 | (2,497,634 | ) | |||||||||
| 81 | Canadian Government Bond 10 Yr. | March 2022 | 8,950,613 | 156,800 | ||||||||||
| 121 | Corn (j) | March 2022 | 3,433,375 | (67,381 | ) | |||||||||
| 98 | DAX Index | December 2021 | 41,937,681 | (3,196,394 | ) | |||||||||
| 348 | FTSE 100 Index | December 2021 | 32,685,272 | 197,839 | ||||||||||
| 67 | FTSE/JSE TOP 40 | December 2021 | 2,680,814 | (34,160 | ) | |||||||||
| 102 | Hang Seng Index | December 2021 | 15,337,115 | (762,687 | ) | |||||||||
| 34 | MSCI Singapore | December 2021 | 855,313 | (53,620 | ) | |||||||||
| 185 | Silver (j) | March 2022 | 21,103,875 | (1,749,186 | ) | |||||||||
| 336 | Soybean (j) | January 2022 | 20,449,800 | (322,225 | ) | |||||||||
| 106 | U.S. Treasury Note 10 Yr. (CBT) | March 2022 | 13,866,125 | 198,810 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 216,394,139 | $ | (8,740,361 | ) | ||||||||||
|
|
|
|
|
|||||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Sales | ||||||||||||||
| 490 | E-mini Russell 2000 Index | December 2021 | 53,833,850 | 818,974 | ||||||||||
| 170 | Euro Bund | December 2021 | 33,232,436 | (78,493 | ) | |||||||||
| 2,116 | Euro STOXX 50 | December 2021 | 97,515,769 | 2,263,721 | ||||||||||
| 200 | FTSE 100 Index | December 2021 | 18,784,639 | (84,386 | ) | |||||||||
| 148 | FTSE Taiwan Index | December 2021 | 8,908,701 | 237,748 | ||||||||||
| 87 | Gold 100 OZ (j) | February 2022 | 15,455,550 | 536,992 | ||||||||||
| 38 | Hang Seng Index | December 2021 | 5,713,827 | 296,931 | ||||||||||
| 22 | Japanese Government Bond 10 Yr. (OSE) | December 2021 | 29,572,079 | (60,166 | ) | |||||||||
| 4,081 | Mini MSCI Emerging Markets | December 2021 | 247,369,815 | 14,045,470 | ||||||||||
| 14 | NASDAQ 100 E-Mini | December 2021 | 4,522,140 | 33,515 | ||||||||||
| 1,882 | S&P 500 E-Mini | December 2021 | 429,684,125 | (11,781,839 | ) | |||||||||
| 29 | S&P/TSX 60 | December 2021 | 5,657,208 | (55,115 | ) | |||||||||
| 479 | SGX Nifty 50 | December 2021 | 16,328,371 | 499,440 | ||||||||||
| 192 | SPI 200 Futures | December 2021 | 24,566,795 | 738,670 | ||||||||||
| 233 | TOPIX Index | December 2021 | 38,845,291 | 3,209,157 | ||||||||||
| 21 | U.S. Ultra Bond (CBT) | March 2022 | 4,211,813 | (157,445 | ) | |||||||||
| 101 | UK Gilt Long Bond | March 2022 | 16,962,554 | (148,111 | ) | |||||||||
| 33 | WTI Crude Oil (j) | December 2021 | 2,183,940 | 473,605 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 1,053,348,903 | $ | 10,788,668 | |||||||||||
|
|
|
|
|
|||||||||||
| + | 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)
November 30, 2021 (Unaudited)
Swap Contracts
OTC Credit Default Swaps
| Reference Entity |
Counterparty |
Notional |
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 | (11,861 | ) | (108,498 | ) | |||||||||||||||||||||||||
| HCA, Inc. |
BCLY | USD | 1,140,000 | 5.00% | 0.76% | N/A | 12/20/2024 | Quarterly | (139,584 | ) | (146,379 | ) | (6,795 | ) | ||||||||||||||||||||||||
| Tenet Healthcare Corp. |
JPM | USD | 570,000 | 5.00% | 2.04% | N/A | 12/20/2024 | Quarterly | 14,842 | (49,962 | ) | (64,804 | ) | |||||||||||||||||||||||||
| Tenet Healthcare Corp. |
JPM | USD | 1,140,000 | 5.00% | 2.04% | N/A | 12/20/2024 | Quarterly | 142,500 | (99,924 | ) | (242,424 | ) | |||||||||||||||||||||||||
| United Rentals North America, Inc. |
CSI | USD | 1,140,000 | 5.00% | 0.71% | N/A | 12/20/2024 | Quarterly | (96,605 | ) | (148,279 | ) | (51,674 | ) | ||||||||||||||||||||||||
| United Rentals North America, Inc. |
JPM | USD | 1,140,000 | 5.00% | 0.71% | N/A | 12/20/2024 | Quarterly | (51,323 | ) | (148,279 | ) | (96,956 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| $ | (33,533 | ) | $ | (604,684 | ) | $ | (571,151 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of November 30, 2021, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 1.02% |
3 Month AUD BBSW | AUD | 437,640,000 | 12/15/2023 | Quarterly | 22,888 | (711,298 | ) | (734,186 | ) | ||||||||||||||||
| 1.05% |
3 Month AUD BBSW | AUD | 55,860,000 | 12/15/2023 | Quarterly | — | (114,545 | ) | (114,545 | ) | ||||||||||||||||
| 3 Month CAD LIBOR |
0.95% | CAD | 97,340,000 | 12/15/2023 | Semi-Annually | — | (907,965 | ) | (907,965 | ) | ||||||||||||||||
| 3 Month CAD LIBOR |
1.11% | CAD | 76,690,000 | 12/15/2023 | Semi-Annually | — | (528,624 | ) | (528,624 | ) | ||||||||||||||||
| 1.33% |
3 Month CAD LIBOR | CAD | 111,160,000 | 12/15/2023 | Semi-Annually | — | 388,177 | 388,177 | ||||||||||||||||||
| 1.37% |
3 Month CAD LIBOR | CAD | 130,280,000 | 12/15/2023 | Semi-Annually | — | 374,387 | 374,387 | ||||||||||||||||||
| (0.40)% |
CHF - SARON - OIS - COMPOUND | CHF | 11,390,000 | 12/15/2023 | Annually | 818 | (49,343 | ) | (50,161 | ) | ||||||||||||||||
| (0.62)% |
CHF - SARON - OIS - COMPOUND | CHF | 35,150,000 | 12/15/2023 | Annually | 2,876 | 22,389 | 19,513 | ||||||||||||||||||
| (0.65)% |
CHF - SARON - OIS - COMPOUND | CHF | 93,020,000 | 12/15/2023 | Annually | 1,903 | 109,684 | 107,781 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
0.79% | GBP | 669,710,000 | 12/15/2023 | Annually | (300,593 | ) | (1,729,782 | ) | (1,429,189 | ) | |||||||||||||||
| 0.83% |
GBP - SONIA - COMPOUND | GBP | 60,270,000 | 12/15/2023 | Annually | — | 96,424 | 96,424 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
0.84% | GBP | 53,530,000 | 12/15/2023 | Annually | (7,137 | ) | (65,099 | ) | (57,962 | ) | |||||||||||||||
| 2.18% |
3 Month NZD Bank Bill Rate | NZD | 92,190,000 | 12/15/2023 | Quarterly | — | 5,894 | 5,894 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.42% | NZD | 545,210,000 | 12/15/2023 | Quarterly | 53,795 | 1,712,084 | 1,658,289 | ||||||||||||||||||
| 0.30% |
3 Month SEK STIBOR | SEK | 3,507,890,000 | 12/15/2023 | Quarterly | (29,750 | ) | (687,359 | ) | (657,609 | ) | |||||||||||||||
| 0.23% |
3 Month SEK STIBOR | SEK | 678,000,000 | 12/15/2023 | Quarterly | — | (21,671 | ) | (21,671 | ) | ||||||||||||||||
| 1.51% |
3 Month CAD LIBOR | CAD | 462,990,000 | 12/18/2023 | Semi-Annually | 31,404 | 321,771 | 290,367 | ||||||||||||||||||
| 6 Month EURIBOR |
(0.42)% | EUR | 27,400,000 | 12/20/2023 | Semi-Annually | (516 | ) | (38,656 | ) | (38,140 | ) | |||||||||||||||
| (0.48)% |
6 Month EURIBOR | EUR | 21,110,000 | 12/20/2023 | Semi-Annually | 3,697 | 58,943 | 55,246 | ||||||||||||||||||
| (0.38)% |
6 Month EURIBOR | EUR | 28,950,000 | 12/20/2023 | Semi-Annually | 253 | 12,182 | 11,929 | ||||||||||||||||||
| (0.44)% |
6 Month EURIBOR | EUR | 37,080,000 | 12/20/2023 | Semi-Annually | 449 | 69,387 | 68,938 | ||||||||||||||||||
| 6 Month EURIBOR |
(0.30)% | EUR | 62,570,000 | 12/20/2023 | Semi-Annually | 7,494 | 88,194 | 80,700 | ||||||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 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 |
0.73% | USD | 64,840,000 | 12/20/2023 | Quarterly | 8,050 | (98,078 | ) | (106,128 | ) | ||||||||||||||||
| 0.82% |
3 Month USD LIBOR | USD | 207,400,000 | 12/20/2023 | Quarterly | 26,950 | (81,023 | ) | (107,973 | ) | ||||||||||||||||
| 3 Month USD LIBOR |
0.90% | USD | 39,730,000 | 12/20/2023 | Quarterly | (19,136 | ) | 79,198 | 98,334 | |||||||||||||||||
| 3 Month USD LIBOR |
0.78% | USD | 35,360,000 | 12/20/2023 | Quarterly | (3,150 | ) | (20,899 | ) | (17,749 | ) | |||||||||||||||
| 6 Month AUD BBSW |
2.22% | AUD | 12,290,000 | 12/15/2031 | Semi-Annually | — | 164,044 | 164,044 | ||||||||||||||||||
| 6 Month AUD BBSW |
2.18% | AUD | 24,090,000 | 12/15/2031 | Semi-Annually | — | 257,916 | 257,916 | ||||||||||||||||||
| 6 Month AUD BBSW |
2.08% | AUD | 94,170,000 | 12/15/2031 | Semi-Annually | 7,769 | 417,452 | 409,683 | ||||||||||||||||||
| 6 Month AUD BBSW |
2.02% | AUD | 77,770,000 | 12/15/2031 | Semi-Annually | 18,451 | 10,938 | (7,513 | ) | |||||||||||||||||
| 3 Month CAD LIBOR |
2.07% | CAD | 374,960,000 | 12/15/2031 | Semi-Annually | (103,073 | ) | 1,115,710 | 1,218,783 | |||||||||||||||||
| 3 Month CAD LIBOR |
2.07% | CAD | 101,440,000 | 12/15/2031 | Semi-Annually | (20,381 | ) | 309,157 | 329,538 | |||||||||||||||||
| 3 Month CAD LIBOR |
2.15% | CAD | 28,330,000 | 12/15/2031 | Semi-Annually | — | 235,066 | 235,066 | ||||||||||||||||||
| 3 Month CAD LIBOR |
2.09% | CAD | 24,110,000 | 12/15/2031 | Semi-Annually | — | 108,794 | 108,794 | ||||||||||||||||||
| 2.01% |
3 Month CAD LIBOR | CAD | 16,610,000 | 12/15/2031 | Semi-Annually | — | 23,844 | 23,844 | ||||||||||||||||||
| 1.76% |
3 Month CAD LIBOR | CAD | 20,840,000 | 12/15/2031 | Semi-Annually | — | 405,534 | 405,534 | ||||||||||||||||||
| 1.76% |
3 Month CAD LIBOR | CAD | 15,510,000 | 12/15/2031 | Semi-Annually | — | 306,288 | 306,288 | ||||||||||||||||||
| 2.17% |
3 Month CAD LIBOR | CAD | 22,540,000 | 12/15/2031 | Semi-Annually | — | (221,539 | ) | (221,539 | ) | ||||||||||||||||
| 2.02% |
3 Month CAD LIBOR | CAD | 17,420,000 | 12/15/2031 | Semi-Annually | — | 8,485 | 8,485 | ||||||||||||||||||
|
CHF - SARON - OIS - COMPOUND |
(0.00)% | CHF | 7,110,000 | 12/15/2031 | Annually | 2,369 | (10,826 | ) | (13,195 | ) | ||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
0.07% | CHF | 159,930,000 | 12/15/2031 | Annually | 52,014 | 1,077,927 | 1,025,913 | ||||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
0.20% | CHF | 2,320,000 | 12/15/2031 | Annually | (2,314 | ) | 49,572 | 51,886 | |||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
(0.05)% | CHF | 23,560,000 | 12/15/2031 | Annually | (9,498 | ) | (161,886 | ) | (152,388 | ) | |||||||||||||||
| 0.14% |
CHF - SARON - OIS - COMPOUND | CHF | 4,530,000 | 12/15/2031 | Annually | 3,531 | (61,893 | ) | (65,424 | ) | ||||||||||||||||
| (0.01)% |
CHF - SARON - OIS - COMPOUND | CHF | 1,050,000 | 12/15/2031 | Annually | 832 | 2,068 | 1,236 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
0.83% | GBP | 12,450,000 | 12/15/2031 | Annually | — | 15,330 | 15,330 | ||||||||||||||||||
| 0.88% |
GBP - SONIA - COMPOUND | GBP | 139,120,000 | 12/15/2031 | Annually | (374,198 | ) | (1,011,468 | ) | (637,270 | ) | |||||||||||||||
| 0.85% |
GBP - SONIA - COMPOUND | GBP | 333,890,000 | 12/15/2031 | Annually | (272,472 | ) | (1,368,494 | ) | (1,096,022 | ) | |||||||||||||||
| 0.99% |
GBP - SONIA - COMPOUND | GBP | 7,900,000 | 12/15/2031 | Annually | 11,238 | (175,708 | ) | (186,946 | ) | ||||||||||||||||
| 0.79% |
GBP - SONIA - COMPOUND | GBP | 11,070,000 | 12/15/2031 | Annually | (294 | ) | 38,897 | 39,191 | |||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.64% | NZD | 3,770,000 | 12/15/2031 | Quarterly | 2,942 | (16,084 | ) | (19,026 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.71% | NZD | 20,460,000 | 12/15/2031 | Quarterly | — | (7,504 | ) | (7,504 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
2.60% | NZD | 126,210,000 | 12/15/2031 | Quarterly | 80,195 | (845,328 | ) | (925,523 | ) | ||||||||||||||||
| 2.75% |
3 Month NZD Bank Bill Rate | NZD | 119,960,000 | 12/15/2031 | Quarterly | 93,989 | (281,489 | ) | (375,478 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
0.88% | SEK | 735,220,000 | 12/15/2031 | Quarterly | (72,453 | ) | 351,883 | 424,336 | |||||||||||||||||
| 3 Month SEK STIBOR |
0.98% | SEK | 950,600,000 | 12/15/2031 | Quarterly | 20,962 | 1,383,271 | 1,362,309 | ||||||||||||||||||
| 3 Month SEK STIBOR |
0.93% | SEK | 32,900,000 | 12/15/2031 | Quarterly | — | 30,222 | 30,222 | ||||||||||||||||||
| 3 Month SEK STIBOR |
0.78% | SEK | 148,700,000 | 12/15/2031 | Quarterly | — | (98,777 | ) | (98,777 | ) | ||||||||||||||||
| 1.06% |
3 Month SEK STIBOR | SEK | 198,000,000 | 12/15/2031 | Quarterly | — | (458,104 | ) | (458,104 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
0.84% | SEK | 137,600,000 | 12/15/2031 | Quarterly | — | 3,839 | 3,839 | ||||||||||||||||||
| 3 Month SEK STIBOR |
0.85% | SEK | 140,800,000 | 12/15/2031 | Quarterly | — | 16,016 | 16,016 | ||||||||||||||||||
| 6 Month EURIBOR |
0.13% | EUR | 5,850,000 | 12/17/2031 | Semi-Annually | (1,724 | ) | (6,270 | ) | (4,546 | ) | |||||||||||||||
| 0.08% |
6 Month EURIBOR | EUR | 5,480,000 | 12/17/2031 | Semi-Annually | (291 | ) | 39,847 | 40,138 | |||||||||||||||||
| 6 Month EURIBOR |
0.05% | EUR | 7,470,000 | 12/17/2031 | Semi-Annually | (5,720 | ) | (77,472 | ) | (71,752 | ) | |||||||||||||||
| 0.32% |
6 Month EURIBOR | EUR | 12,730,000 | 12/17/2031 | Semi-Annually | (6,047 | ) | (256,724 | ) | (250,677 | ) | |||||||||||||||
| 0.14% |
6 Month EURIBOR | EUR | 184,250,000 | 12/17/2031 | Semi-Annually | 118,721 | 112,882 | (5,839 | ) | |||||||||||||||||
| 0.24% |
6 Month EURIBOR | EUR | 8,010,000 | 12/17/2031 | Semi-Annually | — | (87,051 | ) | (87,051 | ) | ||||||||||||||||
| 6 Month EURIBOR |
(0.08)% | EUR | 5,100,000 | 12/17/2031 | Semi-Annually | (1,267 | ) | (129,007 | ) | (127,740 | ) | |||||||||||||||
| 1.58% |
3 Month USD LIBOR | USD | 7,560,000 | 12/17/2031 | Quarterly | 6,273 | (42,032 | ) | (48,305 | ) | ||||||||||||||||
| 3 Month USD LIBOR |
1.73% | USD | 21,510,000 | 12/17/2031 | Quarterly | — | 432,542 | 432,542 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.66% | USD | 17,810,000 | 12/17/2031 | Quarterly | — | 236,993 | 236,993 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.70% | USD | 44,360,000 | 12/17/2031 | Quarterly | 2,803 | 770,494 | 767,691 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.61% | USD | 22,200,000 | 12/17/2031 | Quarterly | — | 205,224 | 205,224 | ||||||||||||||||||
| 3 Month USD LIBOR |
1.60% | USD | 27,000,000 | 12/17/2031 | Quarterly | (34,631 | ) | 207,508 | 242,139 | |||||||||||||||||
| 1.54% |
3 Month USD LIBOR | USD | 283,610,000 | 12/17/2031 | Quarterly | (586,127 | ) | (639,034 | ) | (52,907 | ) | |||||||||||||||
| 1.74% |
3 Month USD LIBOR | USD | 8,570,000 | 12/17/2031 | Quarterly | 3,588 | (183,668 | ) | (187,256 | ) | ||||||||||||||||
| 1.51% |
3 Month USD LIBOR | USD | 13,880,000 | 12/17/2031 | Quarterly | (12,343 | ) | 8,064 | 20,407 | |||||||||||||||||
| 3 Month USD LIBOR |
1.55% | USD | 11,590,000 | 12/17/2031 | Quarterly | — | 31,590 | 31,590 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | (1,276,861 | ) | $ | 521,411 | $ | 1,798,272 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional Amount |
Expiration Date |
Periodic |
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 | 5,623,443 | 12/07/2021 | Monthly | — | 220,257 | 220,257 | |||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.10% |
Total Return on MSCI World Daily Total Return Net Value Index | GS | USD | 10,553,787 | 05/06/2022 | Monthly | — | (745,694 | ) | (745,694 | ) | |||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate minus 0.02% | GS | USD | 11,439,112 | 05/06/2022 | Monthly | — | 662,451 | 662,451 | |||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.09% |
Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 12,225,985 | 05/12/2022 | Monthly | — | (790,139 | ) | (790,139 | ) | |||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate plus 0.10% | UBSA | USD | 13,493,523 | 05/12/2022 | Monthly | — | 720,995 | 720,995 | |||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.05% |
Total Return on Equity Basket (l) | UBSA | USD | 11,420,312 | 05/20/2022 | Monthly | — | (737,893 | ) | (737,893 | ) | |||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate plus 0.05% | UBSA | USD | 12,400,584 | 05/20/2022 | Monthly | — | 662,355 | 662,355 | |||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.75% | GS | USD | 1,186,906 | 05/24/2022 | Monthly | — | (5,827 | ) | (5,827 | ) | |||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.75% | GS | USD | 1,213,799 | 05/24/2022 | Monthly | — | (67,711 | ) | (67,711 | ) | |||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.75% | GS | USD | 14,231,361 | 05/24/2022 | Monthly | — | 329,382 | 329,382 | |||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.50% | GS | USD | 10,281,546 | 05/24/2022 | Monthly | — | 604,725 | 604,725 | |||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.75% | GS | USD | 591,026 | 05/24/2022 | Monthly | — | (3,145 | ) | (3,145 | ) | |||||||||||||||||
| Total Return on Equity Basket (m) |
1 Month Federal Funds Rate minus 0.40% | MORD | USD | 58,519,379 | 10/18/2022 | Monthly | — | 2,716,040 | 2,716,040 | |||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 1.00% | MORD | USD | 2,635,025 | 10/18/2022 | Monthly | — | 306,382 | 306,382 | |||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 2.66% | MORD | USD | 23,700,312 | 05/18/2023 | Monthly | — | 1,231,582 | 1,231,582 | |||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.40% | MORD | USD | 2,587,081 | 11/20/2023 | Monthly | — | 349,807 | 349,807 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | — | $ | 5,453,567 | $ | 5,453,567 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
As of November 30, 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.
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | All or a portion of this security 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) | Security is in default. |
| (h) | All or a portion of this security is purchased with collateral from securities loaned. |
| (i) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
| (j) | 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. |
| (k) | The rate shown represents yield-to-maturity. |
| (l) | Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets. |
| (m) | The following table represents the individual short positions within the custom equity basket swap as of November 30, 2021: |
| Shares | Description | % of Equity Basket |
Value ($) | |||||||
| 20,470,000 |
Alibaba Pictures Group Ltd | 3.8 | % | 2,101,005 | ||||||
| 11,946,000 |
China Molybdenum Co Ltd – Class H | 13.2 | % | 7,328,724 | ||||||
| 708,000 |
China Resources Beer Holdings Co Ltd | 10.4 | % | 5,807,484 | ||||||
| 2,648,000 |
China Youzan Ltd | 0.4 | % | 235,946 | ||||||
| 612,500 |
CITIC Securities Co Ltd – Class H | 2.6 | % | 1,456,180 | ||||||
| 28,600 |
Ganfeng Lithium Co Ltd – Class H | 1.0 | % | 552,761 | ||||||
| 4,792,000 |
Greentown Service Group Co Ltd | 8.2 | % | 4,592,106 | ||||||
| 144,500 |
Hong Kong Exchanges and Clearing Ltd | 14.3 | % | 7,946,260 | ||||||
| 2,300,000 |
Kingdee International Software Group Co Ltd | 12.4 | % | 6,903,108 | ||||||
| 323,000 |
New World Development Co Ltd | 2.3 | % | 1,275,351 | ||||||
| 2,591,200 |
Sands China Ltd | 10.6 | % | 5,921,690 | ||||||
| 114,500 |
Venus Medtech Hangzhou Inc – Class H | 1.0 | % | 571,789 | ||||||
| 208,000 |
Weimob Inc | 0.4 | % | 249,876 | ||||||
| 412,000 |
Yihai International Holding Ltd. | 4.0 | % | 2,210,484 | ||||||
| 6,468,000 |
Zijin Mining Group Co Ltd – Class H | 15.4 | % | 8,582,713 | ||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS | $ | 55,735,477 | ||||||||
|
|
|
|||||||||
The rates shown on variable rate notes are the current interest rates at November 30, 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.
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
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.
OIS - Overnight Indexed Swaps
PJSC - Private Joint-Stock Company
QPSC - Qatar Private Stock Company
QSC - Qatari Shareholding Company
Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REIT - Real Estate Investment Trust
SARON - Swiss Average Rate Overnight
SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.
SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)
SOFR - Secured Overnight Financing Rate
SONIA - Sterling Overnight Interbank Average Rate
SPDR - Standard and Poor’s Depositary Receipt
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
USD LIBOR - London Interbank Offered Rate denominated in United States Dollar.
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
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
TRY - Turkish Lira
TWD - Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 100.0% | ||||||||||
| Affiliated Issuers — 100.0% | ||||||||||
| 1,005,517 | GMO Emerging Markets ex-China Fund, Class VI | 19,165,145 | ||||||||
| 8,907,475 | GMO International Equity Fund, Class IV | 209,592,893 | ||||||||
| 449,347 | GMO-Usonian Japan Value Creation Fund, Class VI | 9,503,692 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $234,825,337) |
238,261,730 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
| Money Market Funds — 0.0% | ||||||||||
| 88,474 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 88,474 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $88,474) |
88,474 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $234,913,811) |
238,350,204 | |||||||||
| Other Assets and Liabilities (net) — (0.0%) | (16,128 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $238,334,076 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
GMO International Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 99.9% | ||||||||||
| Affiliated Issuers — 99.9% | ||||||||||
| 3,213,317 | GMO Emerging Markets ex-China Fund, Class VI | 61,245,813 | ||||||||
| 6,582,718 | GMO Emerging Markets Fund, Class VI | 224,273,200 | ||||||||
| 18,939,864 | GMO International Equity Fund, Class IV | 445,655,007 | ||||||||
| 1,424,858 | GMO-Usonian Japan Value Creation Fund, Class VI | 30,135,755 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $734,265,017) |
761,309,775 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 398,076 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 398,076 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $398,076) |
398,076 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $734,663,093) |
761,707,851 | |||||||||
| Other Assets and Liabilities (net) — (0.0%) | (77,497 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $761,630,354 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Par Value† / Shares |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 85.1% |
| |||||||||
| United States — 85.1% | ||||||||||
| U.S. Government — 85.1% | ||||||||||
| 23,400,000 | U.S. Treasury Note, 0.13%, due 12/31/22 (a) | 23,358,867 | ||||||||
| 20,000,000 | U.S. Treasury Note, 0.13%, due 01/31/23 | 19,954,687 | ||||||||
| 35,000,000 | U.S. Treasury Note, 0.13%, due 03/31/23 | 34,887,891 | ||||||||
| 31,000,000 | U.S. Treasury Note, 0.13%, due 06/30/23 (b) | 30,853,477 | ||||||||
| 75,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.10%, due 01/31/23 (a) (b) | 75,014,863 | ||||||||
| 30,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 04/30/23 (b) | 30,000,653 | ||||||||
| 20,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.09%, due 10/31/23 | 19,998,035 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 234,068,473 | |||||||||
|
|
|
|||||||||
| Total United States | 234,068,473 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $234,327,346) |
234,068,473 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 17.5% | ||||||||||
| Money Market Funds — 1.0% | ||||||||||
| 2,856,505 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c) | 2,856,505 | ||||||||
| 50,019 | State Street U.S. Treasury Liquidity Fund –Class D Shares, 0.01% (a) | 50,019 | ||||||||
|
|
|
|||||||||
| Total Money Market Funds | 2,906,524 | |||||||||
|
|
|
|||||||||
| U.S. Government — 16.5% | ||||||||||
| 38,700,000 | U.S. Treasury Bill, 0.19%, due 10/06/22 (b) (d) | 38,636,554 | ||||||||
| 6,670,000 | U.S. Treasury Bill, 0.22%, due 11/03/22 (a) (d) | 6,656,628 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 45,293,182 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $48,231,236) | 48,199,706 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 102.6% (Cost $282,558,582) |
282,268,179 | |||||||||
| Other Assets and Liabilities (net) — (2.6%) | (7,265,582 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $275,002,597 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 01/18/2022 | JPM | AUD | 34,967,734 | USD | 25,912,913 | 971,988 | ||||||||||||||||
| 01/18/2022 | MSCI | AUD | 20,713,807 | USD | 15,273,968 | 499,733 | ||||||||||||||||
| 12/01/2021 | DB | CAD | 14,721,561 | USD | 11,930,842 | 406,664 | ||||||||||||||||
| 01/31/2022 | MSCI | CAD | 2,657,824 | USD | 2,086,056 | 4,497 | ||||||||||||||||
| 02/01/2022 | UBSA | CAD | 14,000,000 | USD | 11,346,138 | 381,595 | ||||||||||||||||
| 02/02/2022 | GS | CHF | 5,714,212 | USD | 6,284,029 | 44,989 | ||||||||||||||||
| 12/03/2021 | JPM | EUR | 805,345 | USD | 912,899 | (460 | ) | |||||||||||||||
| 12/03/2021 | MSCI | EUR | 3,070,150 | USD | 3,457,987 | (23,935 | ) | |||||||||||||||
| 12/03/2021 | UBSA | EUR | 760,489 | USD | 856,768 | (5,718 | ) | |||||||||||||||
| 01/21/2022 | UBSA | GBP | 466,234 | USD | 642,552 | 21,951 | ||||||||||||||||
| 12/07/2021 | BCLY | JPY | 576,381,093 | USD | 5,086,228 | (13,015 | ) | |||||||||||||||
| 12/07/2021 | DB | JPY | 62,887,206 | USD | 556,372 | 9 | ||||||||||||||||
| 12/07/2021 | GS | JPY | 118,053,959 | USD | 1,042,583 | (1,840 | ) | |||||||||||||||
| 12/07/2021 | JPM | JPY | 973,373,916 | USD | 8,535,198 | (76,240 | ) | |||||||||||||||
| 12/07/2021 | MSCI | JPY | 1,478,027,038 | USD | 13,027,288 | (48,816 | ) | |||||||||||||||
| 12/07/2021 | UBSA | JPY | 356,078,954 | USD | 3,099,659 | (50,571 | ) | |||||||||||||||
| 01/18/2022 | MSCI | NZD | 8,561,761 | USD | 5,962,684 | 122,033 | ||||||||||||||||
| 01/18/2022 | BCLY | USD | 3,205,278 | AUD | 4,484,535 | (6,660 | ) | |||||||||||||||
| 01/18/2022 | BOA | USD | 2,929,139 | AUD | 3,985,805 | (86,243 | ) | |||||||||||||||
| 01/18/2022 | MSCI | USD | 10,352,028 | AUD | 14,025,815 | (348,040 | ) | |||||||||||||||
| 01/18/2022 | UBSA | USD | 6,126,395 | AUD | 8,296,819 | (208,644 | ) | |||||||||||||||
| 12/01/2021 | BCLY | USD | 2,118,753 | CAD | 2,633,014 | (57,604 | ) | |||||||||||||||
| 12/01/2021 | JPM | USD | 5,484,283 | CAD | 6,872,906 | (104,107 | ) | |||||||||||||||
| 12/01/2021 | MSCI | USD | 2,085,284 | CAD | 2,657,824 | (4,714 | ) | |||||||||||||||
| 12/01/2021 | UBSA | USD | 2,037,280 | CAD | 2,557,817 | (34,996 | ) | |||||||||||||||
| 02/01/2022 | JPM | USD | 2,389,041 | CAD | 3,041,930 | (6,657 | ) | |||||||||||||||
| 12/03/2021 | DB | USD | 14,179,895 | EUR | 12,000,000 | (570,441 | ) | |||||||||||||||
| 12/03/2021 | JPM | USD | 3,312,844 | EUR | 2,854,951 | (74,984 | ) | |||||||||||||||
| 12/03/2021 | UBSA | USD | 1,267,622 | EUR | 1,096,447 | (24,118 | ) | |||||||||||||||
| 01/18/2022 | BCLY | USD | 2,285,118 | EUR | 2,012,690 | 1,537 | ||||||||||||||||
| 01/18/2022 | DB | USD | 6,968,196 | EUR | 5,988,815 | (164,190 | ) | |||||||||||||||
| 01/21/2022 | MSCI | USD | 1,877,377 | EUR | 1,614,189 | (43,346 | ) | |||||||||||||||
| 01/21/2022 | UBSA | USD | 18,872,261 | EUR | 16,165,896 | (504,672 | ) | |||||||||||||||
| 02/02/2022 | UBSA | USD | 10,306,876 | EUR | 8,818,370 | (284,863 | ) | |||||||||||||||
| 12/07/2021 | BCLY | USD | 6,812,639 | JPY | 773,423,965 | 29,842 | ||||||||||||||||
| 12/07/2021 | JPM | USD | 15,967,068 | JPY | 1,819,869,469 | 133,315 | ||||||||||||||||
| 12/07/2021 | MSCI | USD | 6,236,069 | JPY | 700,710,400 | (36,886 | ) | |||||||||||||||
| 12/07/2021 | UBSA | USD | 27,803,428 | JPY | 3,114,189,478 | (252,196 | ) | |||||||||||||||
| 02/07/2022 | JPM | USD | 2,243,661 | JPY | 255,715,623 | 20,979 | ||||||||||||||||
| 01/18/2022 | GS | USD | 1,533,491 | NZD | 2,223,139 | (16,913 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | (411,737 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 107 | Australian Government Bond 10 Yr. | December 2021 | 10,631,981 | (388,845 | ) | |||||||||
| 317 | CAC40 10 Euro | December 2021 | 24,105,152 | (1,572,493 | ) | |||||||||
| 52 | Canadian Government Bond 10 Yr. | March 2022 | 5,746,072 | 100,662 | ||||||||||
| 78 | Corn (a) | March 2022 | 2,213,250 | (43,680 | ) | |||||||||
| 63 | DAX Index | December 2021 | 26,959,938 | (2,056,106 | ) | |||||||||
| 217 | FTSE 100 Index | December 2021 | 20,381,334 | 138,638 | ||||||||||
| 44 | FTSE/JSE TOP 40 | December 2021 | 1,760,534 | (22,894 | ) | |||||||||
| 65 | Hang Seng Index | December 2021 | 9,773,652 | (486,554 | ) | |||||||||
| 1,070 | Mini MSCI Emerging Markets | December 2021 | 64,858,050 | (4,595,134 | ) | |||||||||
| 22 | MSCI Singapore | December 2021 | 553,438 | (34,696 | ) | |||||||||
| 30 | S&P 500 E-Mini | December 2021 | 6,849,375 | (177,107 | ) | |||||||||
| 120 | Silver (a) | March 2022 | 13,689,000 | (1,148,520 | ) | |||||||||
| 216 | Soybean (a) | January 2022 | 13,146,300 | (194,953 | ) | |||||||||
| 68 | U.S. Treasury Note 10 Yr. (CBT) | March 2022 | 8,895,250 | 129,314 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 209,563,326 | $ | (10,352,368 | ) | ||||||||||
|
|
|
|
|
|||||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Sales | ||||||||||||||
| 314 | E-mini Russell 2000 Index | December 2021 | $ | 34,497,610 | $ | 471,823 | ||||||||
| 109 | Euro Bund | December 2021 | 21,307,856 | (54,685 | ) | |||||||||
| 99 | FTSE Taiwan Index | December 2021 | 5,959,199 | 159,029 | ||||||||||
| 56 | Gold 100 OZ (a) | February 2022 | 9,948,400 | 353,248 | ||||||||||
| 14 | Japanese Government Bond 10 Yr. (OSE) | December 2021 | 18,818,596 | (38,576 | ) | |||||||||
| 9 | NASDAQ 100 E-Mini | December 2021 | 2,907,090 | 21,812 | ||||||||||
| 19 | S&P/TSX 60 | December 2021 | 3,706,446 | (39,031 | ) | |||||||||
| 58 | SPI 200 Futures | December 2021 | 7,421,219 | 212,904 | ||||||||||
| 26 | TOPIX Index | December 2021 | 4,334,668 | 296,123 | ||||||||||
| 65 | UK Gilt Long Bond | March 2022 | 10,916,495 | (100,328 | ) | |||||||||
| 22 | WTI Crude Oil (a) | December 2021 | 1,455,960 | 317,101 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 121,273,539 | $ | 1,599,420 | |||||||||||
|
|
|
|
|
|||||||||||
| + | 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 |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.10% |
Total Return on MSCI World Daily Total Return Net Value Index | GS | USD | 8,934,146 | 05/06/2022 | Monthly | — | (631,256 | ) | (631,256 | ) | |||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate minus 0.02% | GS | USD | 9,673,980 | 05/06/2022 | Monthly | — | 560,230 | 560,230 | |||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.09% |
Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 10,345,112 | 05/12/2022 | Monthly | — | (668,583 | ) | (668,583 | ) | |||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate plus 0.10% | UBSA | USD | 11,417,556 | 05/12/2022 | Monthly | — | 610,070 | 610,070 | |||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.05% |
Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 9,747,918 | 05/20/2022 | Monthly | — | (629,835 | ) | (629,835 | ) | |||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate plus 0.05% | UBSA | USD | 10,584,663 | 05/20/2022 | Monthly | — | 565,361 | 565,361 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | — | $ | (194,013 | ) | $ | (194,013 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
As of November 30, 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.
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | 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. |
| (b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any. |
| (c) | The rate disclosed is the 7 day net yield as of November 30, 2021. |
| (d) | The rate shown represents yield-to-maturity. |
The rates shown on variable rate notes are the current interest rates at November 30, 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
BOA - Bank of America, N.A.
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MSCI - Morgan Stanley & Co. International PLC
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)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 37.6% | ||||||||||
| Australia — 1.3% | ||||||||||
| 34,691 | Australian Pharmaceutical Industries Ltd (a) | 37,038 | ||||||||
| 24,931 | BlueScope Steel Ltd | 346,523 | ||||||||
| 27,355 | Brambles Ltd | 193,801 | ||||||||
| 46,349 | Dexus (REIT) (a) | 366,363 | ||||||||
| 50,940 | Fortescue Metals Group Ltd | 611,726 | ||||||||
| 22,136 | Genworth Mortgage Insurance Australia Ltd | 35,190 | ||||||||
| 99,419 | GPT Group (The) (REIT) (a) | 370,956 | ||||||||
| 9,987 | GrainCorp Ltd – Class A | 48,100 | ||||||||
| 4,640 | McMillan Shakespeare Ltd | 41,255 | ||||||||
| 12,671 | Metcash Ltd | 36,437 | ||||||||
| 9,642 | Mineral Resources Ltd | 309,439 | ||||||||
| 92,548 | Mirvac Group (REIT) (a) | 187,382 | ||||||||
| 4,402 | Rio Tinto Ltd | 292,085 | ||||||||
| 20,364 | Sandfire Resources Ltd | 86,545 | ||||||||
| 90,737 | Scentre Group (REIT) (a) | 198,589 | ||||||||
| 47,580 | Stockland (REIT) (a) | 146,893 | ||||||||
| 6,206 | Suncorp Group Ltd | 47,551 | ||||||||
| 3,919 | Super Retail Group Ltd | 34,768 | ||||||||
|
|
|
|||||||||
| Total Australia | 3,390,641 | |||||||||
|
|
|
|||||||||
| Belgium — 0.5% | ||||||||||
| 12,449 | Ageas SA/NV | 643,800 | ||||||||
| 1,493 | Bekaert SA | 60,101 | ||||||||
| 5,136 | bpost SA * | 41,811 | ||||||||
| 1,288 | Proximus SADP | 23,412 | ||||||||
| 103 | Sofina SA | 47,865 | ||||||||
| 248 | Solvay SA | 27,748 | ||||||||
| 2,791 | UCB SA | 305,195 | ||||||||
| 76 | VGP NV (a) | 20,235 | ||||||||
|
|
|
|||||||||
| Total Belgium | 1,170,167 | |||||||||
|
|
|
|||||||||
| Canada — 1.0% | ||||||||||
| 5,570 | Brookfield Asset Management Inc – Class A | 312,867 | ||||||||
| 5,900 | Canaccord Genuity Group Inc | 65,538 | ||||||||
| 6,300 | Canadian Apartment Properties (REIT) (a) | 280,416 | ||||||||
| 1,400 | Canadian Tire Corp Ltd – Class A | 185,037 | ||||||||
| 2,500 | Canadian Western Bank | 72,293 | ||||||||
| 8,600 | Canfor Corp * | 183,451 | ||||||||
| 2,500 | Cascades Inc | 26,283 | ||||||||
| 8,358 | Celestica Inc * | 85,644 | ||||||||
| 800 | Cogeco Inc | 50,006 | ||||||||
| 17,100 | Corus Entertainment Inc – B Shares | 65,993 | ||||||||
| 200 | Fairfax Financial Holdings Ltd | 88,763 | ||||||||
| 3,000 | Finning International Inc | 76,441 | ||||||||
| 1,900 | iA Financial Corp Inc | 100,961 | ||||||||
| 2,700 | Imperial Oil Ltd | 89,257 | ||||||||
| 1,500 | Interfor Corp | 37,457 | ||||||||
| 3,300 | Intertape Polymer Group Inc | 63,213 | ||||||||
| 800 | Laurentian Bank of Canada | 22,983 | ||||||||
| 1,400 | Linamar Corp | 80,376 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Canada — continued | ||||||||||
| 4,600 | Magna International Inc | 344,788 | ||||||||
| 3,900 | Nutrien Ltd | 257,868 | ||||||||
| 1,300 | West Fraser Timber Co Ltd | 106,894 | ||||||||
|
|
|
|||||||||
| Total Canada | 2,596,529 | |||||||||
|
|
|
|||||||||
| China — 1.2% | ||||||||||
| 46,000 | Agile Group Holdings Ltd | 30,255 | ||||||||
| 100 | Autohome Inc ADR | 3,417 | ||||||||
| 456,000 | Bank of Communications Co Ltd – Class H | 265,502 | ||||||||
| 23,500 | Beijing Enterprises Holdings Ltd | 79,288 | ||||||||
| 20,000 | China Aoyuan Group Ltd | 5,590 | ||||||||
| 156,000 | China Communications Services Corp Ltd – Class H | 74,265 | ||||||||
| 4,716,000 | China Huarong Asset Management Co Ltd – Class H * (b) | 459,626 | ||||||||
| 128,500 | China Overseas Land & Investment Ltd | 295,416 | ||||||||
| 436,000 | China Railway Group Ltd – Class H | 207,281 | ||||||||
| 286,000 | China Zhongwang Holdings Ltd * (c) | 61,616 | ||||||||
| 97,000 | CITIC Ltd | 87,375 | ||||||||
| 240,000 | Dongfeng Motor Group Co Ltd – Class H | 222,799 | ||||||||
| 34,500 | Fosun International Ltd | 37,651 | ||||||||
| 158,000 | Guangzhou R&F Properties Co Ltd – Class H | 85,516 | ||||||||
| 12,000 | Haier Smart Home Co Ltd – Class H | 44,779 | ||||||||
| 25,200 | Hello Group Inc Sponsored ADR | 291,564 | ||||||||
| 18,500 | Kingboard Holdings Ltd | 92,868 | ||||||||
| 28,000 | Seazen Group Ltd * | 20,080 | ||||||||
| 43,700 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 79,679 | ||||||||
| 105,000 | Shimao Group Holdings Ltd | 121,011 | ||||||||
| 78,400 | Sinopharm Group Co Ltd – Class H | 170,381 | ||||||||
| 162,000 | Skyworth Group Ltd * | 98,324 | ||||||||
| 54,000 | Sunac China Holdings Ltd | 96,840 | ||||||||
| 2,701 | Tencent Holdings Ltd | 157,520 | ||||||||
| 3,300 | Vipshop Holdings Ltd ADR * | 32,241 | ||||||||
| 378,585 | Yuzhou Group Holdings Co Ltd | 37,420 | ||||||||
|
|
|
|||||||||
| Total China | 3,158,304 | |||||||||
|
|
|
|||||||||
| Denmark — 0.5% | ||||||||||
| 57 | AP Moller – Maersk A/S – Class A | 163,131 | ||||||||
| 94 | AP Moller – Maersk A/S – Class B | 283,013 | ||||||||
| 174 | Carlsberg A/S – Class B | 27,022 | ||||||||
| 21,929 | Danske Bank A/S | 362,562 | ||||||||
| 2,908 | Pandora A/S | 361,820 | ||||||||
| 3,387 | Scandinavian Tobacco Group A/S | 62,163 | ||||||||
|
|
|
|||||||||
| Total Denmark | 1,259,711 | |||||||||
|
|
|
|||||||||
| Finland — 0.2% | ||||||||||
| 1,288 | Kesko Oyj – B Shares | 40,440 | ||||||||
| 4,227 | Neste Oyj | 199,924 | ||||||||
| 61,231 | Nokia Oyj * | 343,178 | ||||||||
| 2,659 | Outokumpu Oyj * | 15,503 | ||||||||
| 1,561 | Uponor Oyj | 35,930 | ||||||||
|
|
|
|||||||||
| Total Finland | 634,975 | |||||||||
|
|
|
|||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| France — 1.2% | ||||||||||
| 3,743 | ALD SA | 52,601 | ||||||||
| 1,466 | Amundi SA | 121,962 | ||||||||
| 3,395 | APERAM SA | 163,124 | ||||||||
| 5,177 | ArcelorMittal SA | 140,544 | ||||||||
| 4,050 | BNP Paribas SA | 251,706 | ||||||||
| 3,740 | Coface SA * | 50,888 | ||||||||
| 7,253 | Derichebourg SA * | 76,062 | ||||||||
| 1,905 | IPSOS | 86,195 | ||||||||
| 301 | Kering SA | 231,797 | ||||||||
| 384 | LVMH Moet Hennessy Louis Vuitton SE | 298,596 | ||||||||
| 4,198 | Metropole Television SA | 80,951 | ||||||||
| 2,075 | Nexity SA (a) | 89,063 | ||||||||
| 11,012 | Publicis Groupe SA | 712,573 | ||||||||
| 2,705 | Quadient SA | 58,717 | ||||||||
| 503 | Rubis SCA | 13,848 | ||||||||
| 2,882 | Safran SA | 321,901 | ||||||||
| 1,103 | Societe BIC SA | 56,865 | ||||||||
| 10,578 | Societe Generale SA | 329,159 | ||||||||
| 8,502 | Television Francaise 1 | 82,147 | ||||||||
| 208 | Vicat SA | 8,051 | ||||||||
|
|
|
|||||||||
| Total France | 3,226,750 | |||||||||
|
|
|
|||||||||
| Germany — 0.8% | ||||||||||
| 1,436 | ADVA Optical Networking SE * | 20,668 | ||||||||
| 5,542 | Bayer AG (Registered) | 279,525 | ||||||||
| 2,535 | Bayerische Motoren Werke AG | 242,988 | ||||||||
| 1,921 | Beiersdorf AG | 191,067 | ||||||||
| 374 | Covestro AG | 21,094 | ||||||||
| 4,346 | Daimler AG (Registered) | 407,016 | ||||||||
| 2,054 | Deutsche Pfandbriefbank AG | 23,959 | ||||||||
| 182 | Draegerwerk AG & Co KGaA (a) | 10,673 | ||||||||
| 5,349 | Fresenius SE & Co KGaA (a) | 202,455 | ||||||||
| 2,160 | HeidelbergCement AG | 143,708 | ||||||||
| 129 | Hornbach Holding AG & Co KGaA | 16,182 | ||||||||
| 9,298 | Kloeckner & Co SE * | 99,978 | ||||||||
| 4,180 | ProSiebenSat.1 Media SE | 61,409 | ||||||||
| 1,512 | Salzgitter AG * | 44,718 | ||||||||
| 1,731 | SAP SE (a) | 221,830 | ||||||||
|
|
|
|||||||||
| Total Germany | 1,987,270 | |||||||||
|
|
|
|||||||||
| Hong Kong — 0.7% | ||||||||||
| 5,500 | ASM Pacific Technology Ltd | 57,562 | ||||||||
| 14,000 | Chow Sang Sang Holdings International Ltd | 19,822 | ||||||||
| 154,000 | CITIC Telecom International Holdings Ltd | 51,708 | ||||||||
| 54,000 | CK Hutchison Holdings Ltd | 338,051 | ||||||||
| 14,400 | Dah Sing Financial Holdings Ltd | 42,767 | ||||||||
| 296,000 | First Pacific Co Ltd | 106,297 | ||||||||
| 20,323 | Galaxy Entertainment Group Ltd * | 110,485 | ||||||||
| 21,000 | HK Electric Investments & HK Electric Investments Ltd – Class SS | 20,561 | ||||||||
| 70,000 | HKT Trust & HKT Ltd – Class SS | 94,748 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Hong Kong — continued | ||||||||||
| 26,000 | Johnson Electric Holdings Ltd | 56,643 | ||||||||
| 40,000 | K Wah International Holdings Ltd (a) | 15,443 | ||||||||
| 51,500 | Kerry Properties Ltd (a) | 133,917 | ||||||||
| 99,000 | Pacific Textiles Holdings Ltd | 51,875 | ||||||||
| 262,000 | PCCW Ltd | 132,335 | ||||||||
| 32,500 | Power Assets Holdings Ltd | 195,802 | ||||||||
| 74,000 | Shun Tak Holdings Ltd * | 19,697 | ||||||||
| 34,000 | Sun Hung Kai & Co Ltd | 21,249 | ||||||||
| 12,500 | Swire Pacific Ltd – Class A (a) | 69,014 | ||||||||
| 72,000 | VSTECS Holdings Ltd | 64,721 | ||||||||
| 19,100 | VTech Holdings Ltd | 157,665 | ||||||||
| 52,000 | Yue Yuen Industrial Holdings Ltd * | 90,387 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 1,850,749 | |||||||||
|
|
|
|||||||||
| India — 0.4% | ||||||||||
| 8,861 | Hindustan Petroleum Corp Ltd | 34,781 | ||||||||
| 67,486 | Indiabulls Housing Finance Ltd | 204,129 | ||||||||
| 9,487 | Indian Oil Corp Ltd | 14,918 | ||||||||
| 63,503 | NTPC Ltd | 107,527 | ||||||||
| 192,566 | Oil & Natural Gas Corp Ltd | 362,016 | ||||||||
| 92,145 | REC Ltd | 166,271 | ||||||||
| 3,942 | Tata Steel Ltd | 55,876 | ||||||||
|
|
|
|||||||||
| Total India | 945,518 | |||||||||
|
|
|
|||||||||
| Ireland — 0.4% | ||||||||||
| 30,419 | AIB Group Plc * | 66,651 | ||||||||
| 52,143 | Bank of Ireland Group Plc * | 285,090 | ||||||||
| 3,066 | Glanbia Plc | 39,634 | ||||||||
| 44,520 | Hibernia REIT Plc | 65,801 | ||||||||
| 6,929 | Origin Enterprises Plc | 27,555 | ||||||||
| 15,024 | Ryanair Holdings Plc * | 243,112 | ||||||||
| 325 | Ryanair Holdings Plc Sponsored ADR * | 31,054 | ||||||||
| 7,081 | Smurfit Kappa Group Plc | 362,937 | ||||||||
|
|
|
|||||||||
| Total Ireland | 1,121,834 | |||||||||
|
|
|
|||||||||
| Israel — 0.3% | ||||||||||
| 29,170 | Bank Leumi Le-Israel BM | 280,691 | ||||||||
| 2,500 | Check Point Software Technologies Ltd * | 278,275 | ||||||||
| 8,519 | Isracard Ltd | 37,295 | ||||||||
| 36,100 | Teva Pharmaceutical Industries Ltd Sponsored ADR * | 297,825 | ||||||||
|
|
|
|||||||||
| Total Israel | 894,086 | |||||||||
|
|
|
|||||||||
| Italy — 1.0% | ||||||||||
| 2,000 | ACEA SPA | 40,665 | ||||||||
| 2,745 | Ascopiave SPA | 10,645 | ||||||||
| 1,170 | Azimut Holding SPA | 32,361 | ||||||||
| 2,511 | Banca IFIS SPA | 41,846 | ||||||||
| 420 | Buzzi Unicem SPA | 8,784 | ||||||||
| 276 | Cementir Holding NV | 2,549 | ||||||||
| 3,249 | Credito Emiliano SPA | 21,072 | ||||||||
| 10,491 | EXOR NV | 919,756 | ||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Italy — continued | ||||||||||
| 913 | Hera SPA | 3,508 | ||||||||
| 23,760 | Italgas SPA | 149,432 | ||||||||
| 1,208 | La Doria SPA | 22,557 | ||||||||
| 24,539 | Leonardo SPA * | 165,996 | ||||||||
| 5,047 | Mediobanca Banca di Credito Finanziario SPA | 55,829 | ||||||||
| 19,440 | Poste Italiane SPA | 244,473 | ||||||||
| 343,250 | Telecom Italia SPA | 178,348 | ||||||||
| 1,046,410 | Telecom Italia SPA – RSP | 511,044 | ||||||||
| 34,411 | Unipol Gruppo SPA | 178,734 | ||||||||
|
|
|
|||||||||
| Total Italy | 2,587,599 | |||||||||
|
|
|
|||||||||
| Japan — 9.6% | ||||||||||
| 1,500 | ADEKA Corp | 31,661 | ||||||||
| 3,700 | Aeon Delight Co Ltd | 115,759 | ||||||||
| 20,500 | Aeon Mall Co Ltd (a) | 290,365 | ||||||||
| 7,800 | AGC Inc | 379,836 | ||||||||
| 1,300 | Aisin Corp | 47,705 | ||||||||
| 5,100 | Amano Corp | 111,670 | ||||||||
| 400 | Arata Corp | 13,583 | ||||||||
| 2,300 | Arcland Sakamoto Co Ltd | 33,553 | ||||||||
| 9,300 | Arcs Co Ltd | 169,763 | ||||||||
| 39,400 | Asahi Kasei Corp | 368,388 | ||||||||
| 7,500 | Astellas Pharma Inc | 117,603 | ||||||||
| 11,300 | Brother Industries Ltd | 193,936 | ||||||||
| 1,400 | Calbee Inc | 31,454 | ||||||||
| 1,900 | Canon Marketing Japan Inc | 36,674 | ||||||||
| 20,700 | Chugoku Marine Paints Ltd | 157,142 | ||||||||
| 4,900 | Dai Nippon Printing Co Ltd | 115,004 | ||||||||
| 200 | Dai Nippon Toryo Co Ltd | 1,393 | ||||||||
| 5,000 | Daihen Corp | 188,915 | ||||||||
| 300 | Daiichi Jitsugyo Co Ltd | 12,952 | ||||||||
| 600 | Daishi Hokuetsu Financial Group Inc | 12,139 | ||||||||
| 5,500 | Daiwa House Industry Co Ltd (a) | 159,721 | ||||||||
| 35,000 | Daiwabo Holdings Co Ltd | 555,364 | ||||||||
| 9,200 | Denka Co Ltd | 269,241 | ||||||||
| 200 | Eizo Corp | 6,938 | ||||||||
| 5,500 | Electric Power Development Co Ltd | 69,687 | ||||||||
| 700 | ESPEC Corp | 12,961 | ||||||||
| 19,100 | EXEO Group Inc | 404,575 | ||||||||
| 7,300 | Fuji Corp | 159,333 | ||||||||
| 1,900 | Hanwa Co Ltd | 51,316 | ||||||||
| 24,300 | Haseko Corp | 288,615 | ||||||||
| 36,200 | Hazama Ando Corp | 268,258 | ||||||||
| 3,600 | Hitachi Ltd | 210,881 | ||||||||
| 5,900 | Hogy Medical Co Ltd (a) | 155,944 | ||||||||
| 20,000 | Honda Motor Co Ltd | 547,695 | ||||||||
| 800 | Horiba Ltd | 47,448 | ||||||||
| 8,800 | Iida Group Holdings Co Ltd | 181,723 | ||||||||
| 14,000 | Inabata & Co Ltd | 188,334 | ||||||||
| 51,300 | Inpex Corp | 419,767 | ||||||||
| 8,000 | Isuzu Motors Ltd | 107,221 | ||||||||
| 14,100 | ITOCHU Corp | 403,233 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 2,100 | Itochu Enex Co Ltd | 17,588 | ||||||||
| 5,300 | Itoham Yonekyu Holdings Inc | 29,958 | ||||||||
| 1,500 | Jaccs Co Ltd | 36,306 | ||||||||
| 3,800 | Japan Post Insurance Co Ltd | 58,701 | ||||||||
| 4,000 | JFE Holdings Inc | 45,591 | ||||||||
| 1,700 | Juroku Financial Group Inc | 29,597 | ||||||||
| 28,900 | JVCKenwood Corp | 41,983 | ||||||||
| 39,800 | K’s Holdings Corp | 402,807 | ||||||||
| 200 | Kadokawa Corp | 10,600 | ||||||||
| 24,600 | Kajima Corp | 270,546 | ||||||||
| 6,500 | Kanamoto Co Ltd | 123,278 | ||||||||
| 4,800 | Kandenko Co Ltd | 34,163 | ||||||||
| 20,700 | Kanematsu Corp | 223,846 | ||||||||
| 500 | Kanematsu Electronics Ltd (a) | 15,873 | ||||||||
| 15,300 | KDDI Corp | 443,932 | ||||||||
| 4,500 | Kinden Corp | 65,138 | ||||||||
| 17,000 | Kirin Holdings Co Ltd | 270,856 | ||||||||
| 600 | Kissei Pharmaceutical Co Ltd | 12,089 | ||||||||
| 800 | Kohnan Shoji Co Ltd | 23,409 | ||||||||
| 3,100 | Kokuyo Co Ltd | 45,326 | ||||||||
| 2,900 | Komeri Co Ltd | 62,523 | ||||||||
| 41,100 | Konica Minolta Inc | 169,238 | ||||||||
| 12,700 | Konoike Transport Co Ltd | 121,795 | ||||||||
| 700 | Kumagai Gumi Co Ltd | 16,160 | ||||||||
| 10,100 | Kyudenko Corp | 298,001 | ||||||||
| 16,700 | Macromill Inc | 135,086 | ||||||||
| 18,300 | Mandom Corp | 229,626 | ||||||||
| 13,200 | Maruichi Steel Tube Ltd | 281,447 | ||||||||
| 400 | Maruzen Showa Unyu Co Ltd | 11,154 | ||||||||
| 17,500 | Maxell Ltd | 201,741 | ||||||||
| 800 | Mirait Holdings Corp | 13,826 | ||||||||
| 2,200 | Mitsubishi Gas Chemical Co Inc | 36,385 | ||||||||
| 88,400 | Mitsubishi UFJ Financial Group Inc | 466,874 | ||||||||
| 700 | Mitsuboshi Belting Ltd | 11,906 | ||||||||
| 4,300 | Mitsui Chemicals Inc | 114,539 | ||||||||
| 900 | Mitsui DM Sugar Holdings Co Ltd | 14,754 | ||||||||
| 4,100 | Mixi Inc | 73,023 | ||||||||
| 9,300 | Morinaga & Co Ltd | 289,202 | ||||||||
| 11,600 | MS&AD Insurance Group Holdings Inc | 338,240 | ||||||||
| 3,000 | NEC Networks & System Integration Corp (a) | 47,862 | ||||||||
| 10,600 | NH Foods Ltd | 360,366 | ||||||||
| 1,100 | Nichiha Corp | 26,990 | ||||||||
| 2,700 | Nippo Corp | 95,404 | ||||||||
| 1,100 | Nippon Soda Co Ltd | 30,977 | ||||||||
| 2,000 | Nippon Steel Corp | 29,487 | ||||||||
| 200 | Nippon Steel Trading Corp | 8,099 | ||||||||
| 10,700 | Nippon Suisan Kaisha Ltd | 53,920 | ||||||||
| 14,400 | Nippon Telegraph & Telephone Corp | 396,228 | ||||||||
| 8,500 | Nippon Television Holdings Inc | 85,745 | ||||||||
| 1,900 | Nojima Corp | 37,225 | ||||||||
| 3,900 | Nomura Real Estate Holdings Inc (a) | 84,562 | ||||||||
| 64,600 | Obayashi Corp | 474,485 | ||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 3,400 | Okamura Corp | 38,105 | ||||||||
| 2,300 | Organo Corp | 138,090 | ||||||||
| 49,000 | ORIX Corp | 965,467 | ||||||||
| 12,000 | Osaka Gas Co Ltd | 192,769 | ||||||||
| 400 | Osaka Soda Co Ltd | 8,986 | ||||||||
| 17,500 | Pacific Industrial Co Ltd | 161,551 | ||||||||
| 16,300 | Penta-Ocean Construction Co Ltd | 93,170 | ||||||||
| 1,400 | Proto Corp | 15,697 | ||||||||
| 1,000 | Raito Kogyo Co Ltd | 17,821 | ||||||||
| 1,400 | Raiznext Corp | 13,810 | ||||||||
| 7,400 | Resona Holdings Inc | 27,025 | ||||||||
| 1,200 | Rohm Co Ltd | 111,437 | ||||||||
| 3,200 | San-A Co Ltd | 112,651 | ||||||||
| 1,600 | San-Ai Oil Co Ltd | 16,654 | ||||||||
| 3,100 | Sanki Engineering Co Ltd | 37,500 | ||||||||
| 6,000 | Sankyu Inc | 237,636 | ||||||||
| 1,700 | Sanwa Holdings Corp | 18,135 | ||||||||
| 4,800 | Sawai Group Holdings Co Ltd | 177,750 | ||||||||
| 4,500 | Secom Co Ltd | 304,615 | ||||||||
| 22,900 | Sega Sammy Holdings Inc | 371,767 | ||||||||
| 4,600 | Seiko Epson Corp | 74,168 | ||||||||
| 20,900 | Sekisui House Ltd | 406,187 | ||||||||
| 400 | Sekisui Jushi Corp | 7,096 | ||||||||
| 2,300 | Shimamura Co Ltd | 196,490 | ||||||||
| 29,600 | Shimizu Corp | 186,482 | ||||||||
| 1,100 | Shizuoka Gas Co Ltd | 9,377 | ||||||||
| 1,100 | Sinko Industries Ltd | 17,777 | ||||||||
| 42,600 | SKY Perfect JSAT Holdings Inc | 151,957 | ||||||||
| 9,540 | Sojitz Corp | 134,318 | ||||||||
| 10,900 | Stanley Electric Co Ltd | 283,196 | ||||||||
| 6,300 | Subaru Corp | 118,655 | ||||||||
| 104,300 | Sumitomo Chemical Co Ltd | 478,429 | ||||||||
| 2,900 | Sumitomo Corp | 39,484 | ||||||||
| 32,900 | Sumitomo Dainippon Pharma Co Ltd | 400,968 | ||||||||
| 17,400 | Sumitomo Forestry Co Ltd | 348,697 | ||||||||
| 10,300 | Sumitomo Mitsui Trust Holdings Inc | 321,725 | ||||||||
| 400 | Sumitomo Seika Chemicals Co Ltd | 10,635 | ||||||||
| 1,700 | Suzuki Motor Corp | 68,625 | ||||||||
| 4,400 | T Hasegawa Co Ltd | 109,053 | ||||||||
| 11,300 | Tachi-S Co Ltd | 113,782 | ||||||||
| 7,900 | Taisei Corp | 229,977 | ||||||||
| 8,200 | Takara Holdings Inc | 87,853 | ||||||||
| 5,700 | Takara Leben Co Ltd | 13,371 | ||||||||
| 1,900 | Takeuchi Manufacturing Co Ltd | 45,070 | ||||||||
| 13,400 | Takuma Co Ltd | 161,238 | ||||||||
| 1,900 | Tamron Co Ltd | 42,072 | ||||||||
| 27,200 | Teijin Ltd | 310,671 | ||||||||
| 11,500 | TIS Inc (a) | 354,484 | ||||||||
| 11,500 | Toho Holdings Co Ltd (a) | 171,299 | ||||||||
| 114,500 | Tokyo Electric Power Co Holdings Inc * | 305,513 | ||||||||
| 4,900 | Tokyo Gas Co Ltd | 83,828 | ||||||||
| 8,400 | Tokyo Seimitsu Co Ltd | 352,519 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 5,000 | Tokyu Construction Co Ltd | 28,345 | ||||||||
| 4,100 | Tokyu Fudosan Holdings Corp (a) | 21,127 | ||||||||
| 900 | Toppan Forms Co Ltd | 12,264 | ||||||||
| 23,700 | Toppan Inc | 359,245 | ||||||||
| 16,200 | Toray Industries Inc | 93,668 | ||||||||
| 16,400 | Tosei Corp | 139,092 | ||||||||
| 21,300 | Tosoh Corp | 304,511 | ||||||||
| 1,200 | Totetsu Kogyo Co Ltd | 24,053 | ||||||||
| 900 | Towa Pharmaceutical Co Ltd | 20,827 | ||||||||
| 3,300 | Toyo Construction Co Ltd | 15,178 | ||||||||
| 5,800 | Toyota Boshoku Corp | 114,116 | ||||||||
| 3,900 | Toyota Industries Corp | 319,886 | ||||||||
| 5,000 | Tsumura & Co | 142,406 | ||||||||
| 2,700 | Ulvac Inc | 154,070 | ||||||||
| 2,000 | YAMABIKO Corp | 21,977 | ||||||||
| 12,100 | Yamada Holdings Co Ltd | 42,282 | ||||||||
| 3,900 | Yamaguchi Financial Group Inc | 21,297 | ||||||||
| 1,100 | Yamaha Motor Co Ltd | 27,663 | ||||||||
| 2,000 | Yamazen Corp | 17,113 | ||||||||
| 2,200 | Yellow Hat Ltd | 30,068 | ||||||||
| 8,100 | Yokogawa Bridge Holdings Corp | 151,138 | ||||||||
| 4,100 | Yokohama Rubber Co Ltd (The) | 63,669 | ||||||||
| 600 | Yuasa Trading Co Ltd | 14,774 | ||||||||
| 7,700 | Zenkoku Hosho Co Ltd | 336,013 | ||||||||
|
|
|
|||||||||
| Total Japan | 24,926,621 | |||||||||
|
|
|
|||||||||
| Malaysia — 0.0% | ||||||||||
| 60,800 | Top Glove Corp Bhd | 42,294 | ||||||||
|
|
|
|||||||||
| Malta — 0.0% | ||||||||||
| 125,500 | BGP Holdings Plc * (b) | — | ||||||||
|
|
|
|||||||||
| Mexico — 0.2% | ||||||||||
| 32,267 | Fomento Economico Mexicano SAB de CV | 228,912 | ||||||||
| 78,208 | Grupo Mexico SAB de CV – Series B | 325,744 | ||||||||
|
|
|
|||||||||
| Total Mexico | 554,656 | |||||||||
|
|
|
|||||||||
| Netherlands — 1.1% | ||||||||||
| 21,263 | ABN AMRO Bank NV CVA | 303,486 | ||||||||
| 8,579 | Aegon NV | 37,866 | ||||||||
| 5,400 | AerCap Holdings NV * | 302,616 | ||||||||
| 21,606 | ING Groep NV | 298,454 | ||||||||
| 6,859 | JDE Peet’s NV | 186,939 | ||||||||
| 11,993 | Koninklijke Ahold Delhaize NV | 403,562 | ||||||||
| 1,934 | Koninklijke KPN NV | 5,697 | ||||||||
| 8,774 | NN Group NV | 435,975 | ||||||||
| 7,679 | Randstad NV | 484,552 | ||||||||
| 9,636 | Signify NV | 439,910 | ||||||||
| 139 | Wolters Kluwer NV | 15,632 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 2,914,689 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.1% | ||||||||||
| 37,606 | Meridian Energy Ltd | 120,937 | ||||||||
|
|
|
|||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Norway — 0.4% | ||||||||||
| 4,252 | Austevoll Seafood ASA | 46,321 | ||||||||
| 12,647 | Europris ASA | 87,323 | ||||||||
| 2,233 | Kongsberg Gruppen ASA | 65,557 | ||||||||
| 58,931 | Norsk Hydro ASA | 381,642 | ||||||||
| 37,967 | Orkla ASA | 347,048 | ||||||||
| 2,138 | Sbanken ASA | 22,276 | ||||||||
| 3,519 | SpareBank 1 Nord Norge | 39,957 | ||||||||
| 3,239 | SpareBank 1 SMN | 49,345 | ||||||||
| 8,038 | SpareBank 1 SR-Bank ASA | 111,073 | ||||||||
|
|
|
|||||||||
| Total Norway | 1,150,542 | |||||||||
|
|
|
|||||||||
| Portugal — 0.3% | ||||||||||
| 15,243 | Altri SGPS SA | 84,670 | ||||||||
| 991,790 | Banco Comercial Portugues SA – Class R * | 161,421 | ||||||||
| 13,312 | CTT – Correios de Portugal SA | 62,794 | ||||||||
| 18,701 | Galp Energia SGPS SA | 175,498 | ||||||||
| 9,241 | Navigator Co SA (The) | 32,631 | ||||||||
| 16,961 | NOS SGPS SA | 64,738 | ||||||||
| 5,728 | REN – Redes Energeticas Nacionais SGPS SA | 16,016 | ||||||||
| 98,476 | Sonae SGPS SA | 105,531 | ||||||||
|
|
|
|||||||||
| Total Portugal | 703,299 | |||||||||
|
|
|
|||||||||
| Russia — 0.1% | ||||||||||
| 2,505 | LUKOIL PJSC Sponsored ADR | 217,262 | ||||||||
|
|
|
|||||||||
| Singapore — 0.4% | ||||||||||
| 19,600 | Ascendas Real Estate Investment Trust (REIT) | 41,887 | ||||||||
| 57,299 | CapitaLand Integrated Commercial Trust (REIT) | 88,324 | ||||||||
| 2,100 | Capitaland Investment Ltd * | 5,171 | ||||||||
| 53,400 | ComfortDelGro Corp Ltd | 53,536 | ||||||||
| 222,800 | Golden Agri-Resources Ltd | 42,448 | ||||||||
| 27,900 | Japfa Ltd | 12,236 | ||||||||
| 10,700 | Jardine Cycle & Carriage Ltd | 165,630 | ||||||||
| 23,700 | Keppel Corp Ltd | 88,337 | ||||||||
| 13,900 | Sembcorp Industries Ltd | 19,098 | ||||||||
| 48,600 | StarHub Ltd | 46,905 | ||||||||
| 388,900 | Yangzijiang Shipbuilding Holdings Ltd | 369,185 | ||||||||
| 41,700 | Yanlord Land Group Ltd | 33,226 | ||||||||
|
|
|
|||||||||
| Total Singapore | 965,983 | |||||||||
|
|
|
|||||||||
| South Africa — 0.1% | ||||||||||
| 17,691 | Bidvest Group Ltd (The) | 200,121 | ||||||||
|
|
|
|||||||||
| South Korea — 0.1% | ||||||||||
| 1,857 | Kia Corp | 121,539 | ||||||||
|
|
|
|||||||||
| Spain — 0.9% | ||||||||||
| 28,984 | Acerinox SA | 323,886 | ||||||||
| 9,521 | ACS Actividades de Construccion y Servicios SA | 228,180 | ||||||||
| 3,853 | Amadeus IT Group SA * (a) | 246,691 | ||||||||
| 7,772 | Atresmedia Corp de Medios de Comunicacion SA * | 31,062 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Spain — continued | ||||||||||
| 62,658 | Banco Bilbao Vizcaya Argentaria SA | 332,189 | ||||||||
| 236,551 | Banco de Sabadell SA * | 159,731 | ||||||||
| 106,999 | Banco Santander SA | 332,687 | ||||||||
| 51,735 | Bankinter SA | 254,486 | ||||||||
| 4,606 | Cia de Distribucion Integral Logista Holdings SA | 85,543 | ||||||||
| 3,681 | Faes Farma SA | 13,843 | ||||||||
| 6,631 | Gestamp Automocion SA * | 29,065 | ||||||||
| 721 | Grupo Catalana Occidente SA | 22,894 | ||||||||
| 6,898 | Industria de Diseno Textil SA | 218,050 | ||||||||
| 15,553 | Mediaset Espana Comunicacion SA * | 75,182 | ||||||||
| 1,258 | Red Electrica Corp SA | 26,740 | ||||||||
| 83,022 | Unicaja Banco SA | 72,760 | ||||||||
|
|
|
|||||||||
| Total Spain | 2,452,989 | |||||||||
|
|
|
|||||||||
| Sweden — 0.2% | ||||||||||
| 14,263 | Investor AB – B Shares | 331,423 | ||||||||
| 5,114 | Inwido AB | 92,314 | ||||||||
| 426 | Kinnevik AB – Class B * | 15,188 | ||||||||
| 2,570 | Skanska AB – B Shares | 59,134 | ||||||||
| 2,209 | Svenska Cellulosa AB SCA – Class B | 35,930 | ||||||||
|
|
|
|||||||||
| Total Sweden | 533,989 | |||||||||
|
|
|
|||||||||
| Switzerland — 0.2% | ||||||||||
| 5,994 | Adecco Group AG (Registered) | 277,782 | ||||||||
| 487 | BKW AG | 66,238 | ||||||||
| 297 | Logitech International SA (Registered) | 23,687 | ||||||||
| 48 | Schindler Holding AG (Registered) | 11,913 | ||||||||
| 281 | Zehnder Group AG – Class RG | 27,432 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 407,052 | |||||||||
|
|
|
|||||||||
| Taiwan — 0.1% | ||||||||||
| 37,000 | Hon Hai Precision Industry Co Ltd | 137,100 | ||||||||
| 81,800 | Ruentex Development Co Ltd | 188,127 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 325,227 | |||||||||
|
|
|
|||||||||
| United Kingdom — 2.9% | ||||||||||
| 12,931 | 3i Group Plc | 237,257 | ||||||||
| 24,839 | Airtel Africa Plc | 40,941 | ||||||||
| 17,487 | Aviva Plc | 89,248 | ||||||||
| 923 | Bank of Georgia Group Plc | 19,078 | ||||||||
| 46,745 | Barratt Developments Plc | 432,899 | ||||||||
| 4,902 | Bellway Plc | 204,613 | ||||||||
| 9,277 | Berkeley Group Holdings Plc | 528,099 | ||||||||
| 180,588 | BT Group Plc * | 380,155 | ||||||||
| 17,160 | Coca-Cola HBC AG * | 528,449 | ||||||||
| 17,578 | Compass Group Plc * (a) | 342,909 | ||||||||
| 982 | Computacenter Plc (a) | 36,859 | ||||||||
| 4,312 | Crest Nicholson Holdings Plc | 18,267 | ||||||||
| 290 | DCC Plc | 21,360 | ||||||||
| 34,999 | Ferrexpo Plc | 134,525 | ||||||||
| 3,201 | Go-Ahead Group Plc (The) * | 28,237 | ||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United Kingdom — continued | ||||||||||
| 1,249 | Grafton Group Plc | 19,418 | ||||||||
| 13,618 | Halfords Group Plc | 55,367 | ||||||||
| 8,518 | IG Group Holdings Plc | 87,664 | ||||||||
| 3,315 | IMI Plc | 74,921 | ||||||||
| 21,299 | Indivior Plc * | 64,841 | ||||||||
| 9,591 | Investec Plc | 48,193 | ||||||||
| 108,376 | ITV Plc * | 159,238 | ||||||||
| 8,387 | J Sainsbury Plc | 30,813 | ||||||||
| 1,022 | Johnson Matthey Plc | 28,393 | ||||||||
| 153,849 | Kingfisher Plc | 646,508 | ||||||||
| 258,344 | M&G Plc | 641,196 | ||||||||
| 43,969 | Micro Focus International Plc (a) | 203,682 | ||||||||
| 3,126 | Morgan Sindall Group Plc | 98,692 | ||||||||
| 4,898 | National Grid Plc | 64,992 | ||||||||
| 2,853 | Numis Corp Plc | 12,455 | ||||||||
| 11,884 | OSB Group Plc | 79,280 | ||||||||
| 11,950 | Paragon Banking Group Plc | 82,246 | ||||||||
| 7,898 | Persimmon Plc | 287,019 | ||||||||
| 10,305 | Pets at Home Group Plc | 63,775 | ||||||||
| 11,397 | Plus500 Ltd | 192,484 | ||||||||
| 54,167 | Premier Foods Plc | 73,982 | ||||||||
| 20,059 | Reach Plc | 68,338 | ||||||||
| 9,276 | Redde Northgate Plc | 48,502 | ||||||||
| 11,929 | Redrow Plc | 102,451 | ||||||||
| 13,732 | Royal Dutch Shell Plc – B Shares | 287,767 | ||||||||
| 38,617 | Royal Mail Plc | 257,189 | ||||||||
| 1,794 | Schroders Plc | 81,813 | ||||||||
| 24,314 | Tate & Lyle Plc | 203,696 | ||||||||
| 86,567 | Taylor Wimpey Plc | 181,812 | ||||||||
| 22,382 | WPP Plc | 310,665 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 7,600,288 | |||||||||
|
|
|
|||||||||
| United States — 11.4% | ||||||||||
| 2,600 | Aflac, Inc. | 140,764 | ||||||||
| 3,900 | Alliance Data Systems Corp. (a) | 265,824 | ||||||||
| 6,400 | Ally Financial, Inc. | 293,312 | ||||||||
| 1,878 | American Express Co. | 286,019 | ||||||||
| 800 | Anthem, Inc. (a) | 324,984 | ||||||||
| 3,300 | Arrow Electronics, Inc. * | 401,445 | ||||||||
| 13,400 | AT&T, Inc. | 305,922 | ||||||||
| 4,500 | Athene Holding Ltd. – Class A * | 368,640 | ||||||||
| 3,500 | Bed Bath & Beyond, Inc. * | 64,155 | ||||||||
| 1,400 | Best Buy Co., Inc. | 149,604 | ||||||||
| 300 | Bio-Rad Laboratories, Inc. – Class A * | 225,960 | ||||||||
| 1,300 | Biogen, Inc. * | 306,462 | ||||||||
| 130 | Booking Holdings, Inc. * (a) | 273,241 | ||||||||
| 11,913 | BorgWarner, Inc. | 515,595 | ||||||||
| 2,300 | Bristol-Myers Squibb Co. | 123,349 | ||||||||
| 2,600 | Capital One Financial Corp. | 365,378 | ||||||||
| 1,400 | Cardinal Health, Inc. (a) | 64,722 | ||||||||
| 7,700 | Carrier Global Corp. | 416,724 | ||||||||
| 3,900 | CBRE Group, Inc. – Class A * (a) | 372,723 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 5,200 | Centene Corp. * (a) | 371,332 | ||||||||
| 1,959 | Chevron Corp. | 221,112 | ||||||||
| 2,000 | Cigna Corp. (a) | 383,800 | ||||||||
| 6,200 | Citigroup, Inc. | 394,940 | ||||||||
| 4,900 | Citizens Financial Group, Inc. | 231,623 | ||||||||
| 956 | Coca-Cola Co. (The) | 50,142 | ||||||||
| 4,800 | Cognizant Technology Solutions Corp. – Class A (a) | 374,304 | ||||||||
| 7,000 | Comcast Corp. – Class A (a) | 349,860 | ||||||||
| 6,900 | Corteva, Inc. | 310,500 | ||||||||
| 4,800 | CVS Health Corp. (a) | 427,488 | ||||||||
| 3,902 | Darling Ingredients, Inc. * | 263,463 | ||||||||
| 1,800 | Discover Financial Services | 194,130 | ||||||||
| 8,600 | DISH Network Corp. – Class A * | 268,750 | ||||||||
| 4,500 | DR Horton, Inc. | 439,650 | ||||||||
| 2,900 | eBay, Inc. | 195,634 | ||||||||
| 3,959 | EOG Resources, Inc. | 344,433 | ||||||||
| 200 | FedEx Corp. | 46,074 | ||||||||
| 2,400 | Fidelity National Financial, Inc. | 117,384 | ||||||||
| 1,000 | FleetCor Technologies, Inc. * (a) | 207,130 | ||||||||
| 23,200 | Ford Motor Co. | 445,208 | ||||||||
| 1,100 | Fox Corp. – Class A (a) | 39,281 | ||||||||
| 10,900 | Fox Corp. – Class B | 366,240 | ||||||||
| 1,100 | Franklin Resources, Inc. | 35,640 | ||||||||
| 7,700 | General Motors Co. * | 445,599 | ||||||||
| 5,400 | Gilead Sciences, Inc. | 372,222 | ||||||||
| 1,308 | Global Payments, Inc. (a) | 155,704 | ||||||||
| 500 | Goldman Sachs Group, Inc. (The) | 190,495 | ||||||||
| 2,197 | Green Plains, Inc. * | 84,914 | ||||||||
| 2,265 | Hasbro, Inc. | 219,501 | ||||||||
| 2,169 | Hilton Worldwide Holdings, Inc. * (a) | 292,967 | ||||||||
| 13,700 | HP, Inc. | 483,336 | ||||||||
| 2,700 | IAC/InterActiveCorp * | 360,855 | ||||||||
| 3,100 | Incyte Corp. * | 209,932 | ||||||||
| 6,900 | Intel Corp. | 339,480 | ||||||||
| 2,184 | Intercontinental Exchange, Inc. | 285,492 | ||||||||
| 3,200 | International Business Machines Corp. (a) | 374,720 | ||||||||
| 11,500 | Invesco Ltd. | 256,795 | ||||||||
| 2,300 | Jazz Pharmaceuticals Plc * | 275,701 | ||||||||
| 23,100 | Kinder Morgan, Inc. | 357,126 | ||||||||
| 6,100 | Kohl’s Corp. | 312,503 | ||||||||
| 3,300 | Kraft Heinz Co. (The) | 110,913 | ||||||||
| 8,600 | Kroger Co. (The) | 357,158 | ||||||||
| 640 | Kyndryl Holdings, Inc. * (a) | 10,112 | ||||||||
| 1,400 | Laboratory Corp. of America Holdings * (a) | 399,462 | ||||||||
| 3,770 | Las Vegas Sands Corp. * (a) | 134,287 | ||||||||
| 200 | Lear Corp. | 33,558 | ||||||||
| 2,300 | Leidos Holdings, Inc. | 202,193 | ||||||||
| 4,100 | Lennar Corp. – Class A | 430,705 | ||||||||
| 5,400 | Lincoln National Corp. | 358,182 | ||||||||
| 6,000 | LKQ Corp. | 335,400 | ||||||||
| 1,560 | Loyalty Ventures, Inc. * | 44,772 | ||||||||
| 27,800 | Lumen Technologies, Inc. | 343,052 | ||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 6,447 | Lyft, Inc. – Class A * | 261,813 | ||||||||
| 4,300 | LyondellBasell Industries NV – Class A | 374,659 | ||||||||
| 1,600 | Marathon Petroleum Corp. | 97,360 | ||||||||
| 196 | Markel Corp. * | 234,185 | ||||||||
| 3,200 | Merck & Co., Inc. | 239,712 | ||||||||
| 6,300 | MetLife, Inc. | 369,558 | ||||||||
| 5,200 | Micron Technology, Inc. | 436,800 | ||||||||
| 1,200 | Mohawk Industries, Inc. * | 201,444 | ||||||||
| 8,300 | Molson Coors Brewing Co. – Class B | 368,852 | ||||||||
| 10 | NVR, Inc. * | 52,253 | ||||||||
| 700 | Omnicom Group, Inc. (a) | 47,117 | ||||||||
| 4,400 | Oracle Corp. (a) | 399,256 | ||||||||
| 300 | PACCAR, Inc. | 25,026 | ||||||||
| 1,400 | Principal Financial Group, Inc. | 96,012 | ||||||||
| 3,600 | Prudential Financial, Inc. | 368,136 | ||||||||
| 6,600 | PulteGroup, Inc. | 330,198 | ||||||||
| 2,400 | Quest Diagnostics, Inc. (a) | 356,832 | ||||||||
| 27,900 | Qurate Retail, Inc. – Series A | 223,200 | ||||||||
| 3,187 | Raytheon Technologies Corp. | 257,892 | ||||||||
| 700 | Regeneron Pharmaceuticals, Inc. * | 445,571 | ||||||||
| 5,798 | Sensata Technologies Holding Plc * | 322,949 | ||||||||
| 500 | Snap-on, Inc. | 102,955 | ||||||||
| 3,400 | SS&C Technologies Holdings, Inc. (a) | 259,522 | ||||||||
| 8,600 | Synchrony Financial | 385,194 | ||||||||
| 4,500 | Textron, Inc. | 318,600 | ||||||||
| 4,900 | Tyson Foods, Inc. – Class A | 386,904 | ||||||||
| 2,900 | Universal Health Services, Inc. – Class B (a) | 344,317 | ||||||||
| 6,018 | US Bancorp | 333,036 | ||||||||
| 5,900 | Verizon Communications, Inc. | 296,593 | ||||||||
| 6,708 | Verso Corp. – Class A | 141,807 | ||||||||
| 3,550 | VF Corp. | 254,642 | ||||||||
| 9,100 | ViacomCBS, Inc. – Class B (a) | 281,645 | ||||||||
| 22,900 | Viatris, Inc. | 281,899 | ||||||||
| 4,000 | VICI Properties, Inc. (REIT) (a) | 108,800 | ||||||||
| 2,200 | VMware, Inc. – Class A (a) | 256,828 | ||||||||
| 5,700 | Walgreens Boots Alliance, Inc. | 255,360 | ||||||||
| 6,252 | Wells Fargo & Co. | 298,721 | ||||||||
| 15,600 | Western Union Co. (The) (a) | 246,792 | ||||||||
| 5,200 | Western Digital Corp. * | 300,768 | ||||||||
| 1,400 | Whirlpool Corp. | 304,836 | ||||||||
|
|
|
|||||||||
| Total United States | 29,788,121 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $91,913,776) |
97,849,742 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) — 0.2% | ||||||||||
| Brazil – 0.1% | ||||||||||
| 28,448 | Bradespar SA | 251,748 | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Germany — 0.1% | ||||||||||
| 2,200 | Bayerische Motoren Werke AG | 172,507 | ||||||||
| 742 | Draegerwerk AG & Co KGaA (a) | 47,990 | ||||||||
|
|
|
|||||||||
| Total Germany | 220,497 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $395,966) |
472,245 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 62.1% | ||||||||||
| United States — 62.1% | ||||||||||
| Affiliated Issuers — 62.1% | ||||||||||
| 354,326 | GMO Emerging Country Debt Fund, Class VI | 8,851,073 | ||||||||
| 925,000 | GMO Emerging Markets ex-China Fund, Class VI | 17,630,500 | ||||||||
| 1,014,483 | GMO Emerging Markets Fund, Class VI | 34,563,432 | ||||||||
| 1,598,425 | GMO International Equity Fund, Class IV | 37,610,948 | ||||||||
| 270,921 | GMO Opportunistic Income Fund, Class VI | 7,068,329 | ||||||||
| 474,785 | GMO Quality Fund, Class VI | 14,215,048 | ||||||||
| 911,825 | GMO U.S. Equity Fund, Class VI | 14,324,779 | ||||||||
| 655,684 | GMO U.S. Small Cap Value Fund, Class VI | 17,178,918 | ||||||||
| 2,041,805 | GMO U.S. Treasury Fund | 10,270,277 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $141,896,187) |
161,713,304 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
| Money Market Funds — 0.2% | ||||||||||
| 615,407 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e) | 615,407 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $615,407) |
615,407 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $234,821,336) |
260,650,698 | |||||||||
|
|
|
|||||||||
| SECURITIES SOLD SHORT — (17.5)% | ||||||||||
| Common Stocks — (17.4)% | ||||||||||
| Australia — (0.5)% |
| |||||||||
| (52,700 | ) | APA Group | (356,342 | ) | ||||||
| (2,660 | ) | ASX Ltd | (170,008 | ) | ||||||
| (960 | ) | Cochlear Ltd | (147,618 | ) | ||||||
| (37,038 | ) | Qantas Airways Ltd * | (132,399 | ) | ||||||
| (68,108 | ) | Sydney Airport * | (401,135 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (1,207,502 | ) | ||||||||
|
|
|
|||||||||
| Austria — (0.1)% | ||||||||||
| (3,652 | ) | Verbund AG | (381,906 | ) | ||||||
|
|
|
|||||||||
| Belgium — (0.1)% | ||||||||||
| (1,893 | ) | Anheuser-Busch InBev SA/NV | (105,634 | ) | ||||||
| (831 | ) | Galapagos NV * | (40,221 | ) | ||||||
|
|
|
|||||||||
| Total Belgium | (145,855 | ) | ||||||||
|
|
|
|||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Canada — (0.2)% | ||||||||||
| (13,200 | ) | AltaGas Ltd | (251,094 | ) | ||||||
| (1,200 | ) | Brookfield Renewable Corp – Class A | (44,436 | ) | ||||||
| (800 | ) | Cameco Corp | (18,544 | ) | ||||||
| (300 | ) | Franco-Nevada Corp | (41,247 | ) | ||||||
| (3,100 | ) | Pembina Pipeline Corp | (91,915 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (447,236 | ) | ||||||||
|
|
|
|||||||||
| Denmark — (0.1)% | ||||||||||
| (9,465 | ) | Ambu A/S – Class B | (268,454 | ) | ||||||
|
|
|
|||||||||
| France — (0.8)% | ||||||||||
| (8,926 | ) | Accor SA * | (264,607 | ) | ||||||
| (2,176 | ) | Aeroports de Paris * | (254,392 | ) | ||||||
| (26,673 | ) | Getlink SE | (394,095 | ) | ||||||
| (266 | ) | Hermes International | (499,177 | ) | ||||||
| (208 | ) | Sartorius Stedim Biotech | (122,798 | ) | ||||||
| (4,010 | ) | Ubisoft Entertainment SA * | (205,537 | ) | ||||||
| (1,242 | ) | Wendel SE | (142,013 | ) | ||||||
|
|
|
|||||||||
| Total France | (1,882,619 | ) | ||||||||
|
|
|
|||||||||
| Germany — (0.7)% | ||||||||||
| (2,723 | ) | Delivery Hero SE * | (361,372 | ) | ||||||
| (3,237 | ) | Puma SE | (391,098 | ) | ||||||
| (2,498 | ) | QIAGEN NV * | (138,021 | ) | ||||||
| (1,503 | ) | Scout24 SE | (99,750 | ) | ||||||
| (758 | ) | TeamViewer AG * | (10,274 | ) | ||||||
| (148,488 | ) | Telefonica Deutschland Holding AG | (396,037 | ) | ||||||
| (4,302 | ) | Uniper SE | (186,775 | ) | ||||||
| (3,579 | ) | Zalando SE * | (325,487 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (1,908,814 | ) | ||||||||
|
|
|
|||||||||
| Israel — (0.2)% | ||||||||||
| (1,200 | ) | CyberArk Software Ltd * | (207,420 | ) | ||||||
| (1,500 | ) | Wix.com Ltd * | (229,200 | ) | ||||||
|
|
|
|||||||||
| Total Israel | (436,620 | ) | ||||||||
|
|
|
|||||||||
| Italy — (0.5)% | ||||||||||
| (2,878 | ) | Amplifon SPA | (140,172 | ) | ||||||
| (12,315 | ) | Atlantia SPA * | (224,893 | ) | ||||||
| (1,677 | ) | Ferrari NV | (438,829 | ) | ||||||
| (20,876 | ) | FinecoBank Banca Fineco SPA | (365,622 | ) | ||||||
| (7,806 | ) | Infrastrutture Wireless Italiane SPA | (89,523 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (1,259,039 | ) | ||||||||
|
|
|
|||||||||
| Japan — (2.3)% | ||||||||||
| (21,600 | ) | Acom Co Ltd | (64,054 | ) | ||||||
| (1,100 | ) | Aeon Co Ltd | (25,656 | ) | ||||||
| (10,900 | ) | ANA Holdings Inc * | (214,491 | ) | ||||||
| (11,900 | ) | Asahi Intecc Co Ltd | (260,837 | ) | ||||||
| (300 | ) | East Japan Railway Co | (18,393 | ) | ||||||
| (3,100 | ) | GMO Payment Gateway Inc | (413,074 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| (1,400 | ) | Harmonic Drive Systems Inc | (57,518 | ) | ||||||
| (12,200 | ) | Hitachi Metals Ltd * | (226,508 | ) | ||||||
| (500 | ) | Ibiden Co Ltd | (30,916 | ) | ||||||
| (19,000 | ) | Isetan Mitsukoshi Holdings Ltd | (129,892 | ) | ||||||
| (6,300 | ) | Japan Airlines Co Ltd * | (113,564 | ) | ||||||
| (4,600 | ) | Japan Airport Terminal Co Ltd * | (202,413 | ) | ||||||
| (6,500 | ) | Japan Exchange Group Inc | (140,732 | ) | ||||||
| (43 | ) | Japan Real Estate Investment Corp (REIT) | (248,855 | ) | ||||||
| (12,900 | ) | JGC Holding Corp | (108,403 | ) | ||||||
| (14,600 | ) | Keikyu Corp | (144,183 | ) | ||||||
| (2,300 | ) | Keio Corp | (103,416 | ) | ||||||
| (3,100 | ) | Kintetsu Group Holdings Co Ltd * | (89,038 | ) | ||||||
| (1,600 | ) | Lasertec Corp | (415,496 | ) | ||||||
| (1,200 | ) | Lion Corp | (17,044 | ) | ||||||
| (8,700 | ) | LIXIL Corp | (212,837 | ) | ||||||
| (5,200 | ) | M3 Inc | (279,543 | ) | ||||||
| (100 | ) | McDonald’s Holdings Co Japan Ltd | (4,463 | ) | ||||||
| (5,500 | ) | Mercari Inc * | (331,759 | ) | ||||||
| (1,400 | ) | Mizuho Financial Group Inc | (17,260 | ) | ||||||
| (16,200 | ) | MonotaRO Co Ltd | (318,929 | ) | ||||||
| (400 | ) | Nidec Corp | (45,803 | ) | ||||||
| (13,500 | ) | Nihon M&A Center Holdings Inc | (396,086 | ) | ||||||
| (19,600 | ) | Nippon Paint Holdings Co Ltd | (205,665 | ) | ||||||
| (3,600 | ) | Nissin Foods Holdings Co Ltd | (264,613 | ) | ||||||
| (10,400 | ) | Odakyu Electric Railway Co Ltd | (200,310 | ) | ||||||
| (2,100 | ) | ORIENTAL LAND CO LTD | (329,983 | ) | ||||||
| (1,800 | ) | Shiseido Co Ltd | (103,176 | ) | ||||||
| (2,600 | ) | Tobu Railway Co Ltd | (58,760 | ) | ||||||
| (2,900 | ) | Tokyu Corp | (40,083 | ) | ||||||
| (2,400 | ) | West Japan Railway Co | (103,423 | ) | ||||||
| (400 | ) | Yaskawa Electric Corp | (17,854 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (5,955,030 | ) | ||||||||
|
|
|
|||||||||
| Netherlands — (0.3)% | ||||||||||
| (132 | ) | Adyen NV * | (365,618 | ) | ||||||
| (631 | ) | Heineken Holding NV | (52,551 | ) | ||||||
| (3,739 | ) | Just Eat Takeaway.com NV * | (234,138 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (652,307 | ) | ||||||||
|
|
|
|||||||||
| New Zealand — (0.1)% | ||||||||||
| (2,716 | ) | Xero Ltd * | (275,857 | ) | ||||||
|
|
|
|||||||||
| Norway — (0.0)% | ||||||||||
| (1,098 | ) | Schibsted ASA – B Shares | (42,180 | ) | ||||||
| (1,372 | ) | Schibsted ASA – Class A | (61,132 | ) | ||||||
|
|
|
|||||||||
| Total Norway | (103,312 | ) | ||||||||
|
|
|
|||||||||
| Singapore — (0.2)% | ||||||||||
| (8,600 | ) | City Developments Ltd | (44,144 | ) | ||||||
| (66,100 | ) | Singapore Airlines Ltd * | (235,384 | ) | ||||||
| (48,700 | ) | Singapore Exchange Ltd | (317,953 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (597,481 | ) | ||||||||
|
|
|
|||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Spain — (0.4)% | ||||||||||
| (123 | ) | Aena SME SA * | (18,065 | ) | ||||||
| (6,697 | ) | Cellnex Telecom SA | (394,962 | ) | ||||||
| (13,082 | ) | Ferrovial SA | (364,260 | ) | ||||||
| (11,837 | ) | Siemens Gamesa Renewable Energy SA * | (315,992 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (1,093,279 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (0.2)% | ||||||||||
| (30,449 | ) | Embracer Group AB * | (329,040 | ) | ||||||
| (443 | ) | EQT AB | (26,045 | ) | ||||||
| (2,290 | ) | Evolution AB | (240,444 | ) | ||||||
| (3,958 | ) | Sinch AB * | (52,632 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (648,161 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.3)% | ||||||||||
| (5 | ) | Chocoladefabriken Lindt & Spruengli AG | (61,538 | ) | ||||||
| (238 | ) | Partners Group Holding AG | (410,752 | ) | ||||||
| (50 | ) | Schindler Holding AG | (12,878 | ) | ||||||
| (199 | ) | Straumann Holding AG (Registered) | (423,064 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (908,232 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (1.2)% | ||||||||||
| (4,727 | ) | Admiral Group Plc | (185,838 | ) | ||||||
| (8,742 | ) | Antofagasta Plc | (159,828 | ) | ||||||
| (42,897 | ) | Auto Trader Group Plc | (416,686 | ) | ||||||
| (67,587 | ) | ConvaTec Group Plc | (172,925 | ) | ||||||
| (3,472 | ) | Halma Plc | (138,397 | ) | ||||||
| (18,144 | ) | Hargreaves Lansdown Plc | (322,042 | ) | ||||||
| (54,780 | ) | Informa Plc * | (339,236 | ) | ||||||
| (20,363 | ) | Land Securities Group Plc (REIT) | (196,287 | ) | ||||||
| (3,607 | ) | London Stock Exchange Group Plc | (312,477 | ) | ||||||
| (7,903 | ) | Melrose Industries Plc | (15,183 | ) | ||||||
| (12,478 | ) | Ocado Group Plc * | (297,880 | ) | ||||||
| (216,281 | ) | Rolls-Royce Holdings Plc * | (352,829 | ) | ||||||
| (756 | ) | Spirax-Sarco Engineering Plc | (156,861 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (3,066,469 | ) | ||||||||
|
|
|
|||||||||
| United States — (9.2)% | ||||||||||
| (11,800 | ) | AES Corp. (The) | (275,884 | ) | ||||||
| (1,800 | ) | Airbnb, Inc. – Class A * | (310,572 | ) | ||||||
| (1,400 | ) | American Tower Corp. (REIT) | (367,472 | ) | ||||||
| (7,100 | ) | Aramark | (237,140 | ) | ||||||
| (2,000 | ) | Arthur J Gallagher & Co. | (325,800 | ) | ||||||
| (1,300 | ) | Autodesk, Inc. * | (330,447 | ) | ||||||
| (2,200 | ) | Avalara, Inc. * | (307,296 | ) | ||||||
| (100 | ) | Bio-Techne Corp. | (47,203 | ) | ||||||
| (2,300 | ) | BioMarin Pharmaceutical, Inc. * | (198,467 | ) | ||||||
| (1,500 | ) | Boeing Co. (The) * | (296,775 | ) | ||||||
| (1,200 | ) | Burlington Stores, Inc. * | (351,756 | ) | ||||||
| (3,300 | ) | Caesars Entertainment, Inc. * | (297,231 | ) | ||||||
| (1,200 | ) | Carvana Co. * | (336,504 | ) | ||||||
| (2,200 | ) | Catalent, Inc. * | (283,052 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (2,800 | ) | Ceridian HCM Holding, Inc. * | (306,320 | ) | ||||||
| (200 | ) | Chipotle Mexican Grill, Inc. * | (328,682 | ) | ||||||
| (10,000 | ) | Clarivate Plc * | (233,400 | ) | ||||||
| (2,200 | ) | Cloudflare, Inc. – Class A * | (414,128 | ) | ||||||
| (1,400 | ) | CME Group, Inc. | (308,728 | ) | ||||||
| (1,200 | ) | Cognex Corp. | (92,700 | ) | ||||||
| (100 | ) | CoStar Group, Inc. * | (7,776 | ) | ||||||
| (1,500 | ) | Coupa Software, Inc. * | (294,990 | ) | ||||||
| (2,100 | ) | Crown Castle International Corp. (REIT) | (381,465 | ) | ||||||
| (7,800 | ) | Delta Air Lines, Inc. * | (282,360 | ) | ||||||
| (700 | ) | Dexcom, Inc. * | (393,813 | ) | ||||||
| (1,400 | ) | DocuSign, Inc. * | (344,904 | ) | ||||||
| (100 | ) | DoorDash, Inc. – Class A * | (17,877 | ) | ||||||
| (6,000 | ) | DraftKings Inc. – Class A * | (207,300 | ) | ||||||
| (600 | ) | Dynatrace, Inc. * | (37,710 | ) | ||||||
| (500 | ) | Equinix, Inc. (REIT) | (406,100 | ) | ||||||
| (4,700 | ) | Equity LifeStyle Properties, Inc. (REIT) | (382,110 | ) | ||||||
| (300 | ) | Erie Indemnity Co. – Class A | (55,743 | ) | ||||||
| (3,600 | ) | Exact Sciences Corp. * | (307,332 | ) | ||||||
| (1,400 | ) | Expedia Group, Inc. * | (225,526 | ) | ||||||
| (200 | ) | First Republic Bank | (41,932 | ) | ||||||
| (300 | ) | Gartner, Inc. * | (93,675 | ) | ||||||
| (3,300 | ) | Guidewire Software, Inc. * | (383,922 | ) | ||||||
| (1,400 | ) | Hess Corp. | (104,328 | ) | ||||||
| (10,700 | ) | Host Hotels & Resorts, Inc. (REIT) * | (167,990 | ) | ||||||
| (500 | ) | HubSpot, Inc. * | (403,455 | ) | ||||||
| (600 | ) | IDEXX Laboratories, Inc. * | (364,842 | ) | ||||||
| (2,500 | ) | Ingersoll Rand, Inc. | (145,850 | ) | ||||||
| (1,400 | ) | Insulet Corp. * | (403,816 | ) | ||||||
| (1,100 | ) | Ionis Pharmaceuticals, Inc. * | (29,150 | ) | ||||||
| (1,600 | ) | IQVIA Holdings, Inc. * | (414,608 | ) | ||||||
| (5,400 | ) | Iron Mountain, Inc. (REIT) | (245,376 | ) | ||||||
| (5,300 | ) | Lamb Weston Holdings, Inc. | (275,176 | ) | ||||||
| (1,100 | ) | Liberty Broadband Corp. – Class A * | (166,738 | ) | ||||||
| (1,400 | ) | Liberty Broadband Corp. – Class C * | (216,790 | ) | ||||||
| (7,400 | ) | Liberty Media Corp-Liberty Formula One – Class C * | (450,808 | ) | ||||||
| (1,400 | ) | Liberty Media Corp-Liberty SiriusXM – Class A * | (68,320 | ) | ||||||
| (1,600 | ) | Liberty Media Corp-Liberty SiriusXM – Class C * | (78,288 | ) | ||||||
| (500 | ) | Linde Plc | (159,070 | ) | ||||||
| (4,200 | ) | Live Nation Entertainment, Inc. * | (447,930 | ) | ||||||
| (800 | ) | MarketAxess Holdings, Inc. | (282,152 | ) | ||||||
| (700 | ) | Marriott International, Inc. – Class A * | (103,292 | ) | ||||||
| (6,000 | ) | MGM Resorts International | (237,480 | ) | ||||||
| (800 | ) | MongoDB, Inc. * | (398,480 | ) | ||||||
| (400 | ) | Monolithic Power Systems, Inc. | (221,384 | ) | ||||||
| (600 | ) | MSCI, Inc. | (377,670 | ) | ||||||
| (600 | ) | NiSource, Inc. | (14,706 | ) | ||||||
| (2,600 | ) | Novocure Ltd. * | (243,464 | ) | ||||||
| (6,100 | ) | Oak Street Health, Inc. * | (188,795 | ) | ||||||
| (1,600 | ) | Okta, Inc. * | (344,368 | ) | ||||||
| (4,700 | ) | Palantir Technologies, Inc. – Class A * | (97,055 | ) | ||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2021 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (400 | ) | Paycom Software, Inc. * | (174,992 | ) | ||||||
| (3,200 | ) | Peloton Interactive, Inc. – Class A * | (140,800 | ) | ||||||
| (400 | ) | Public Storage (REIT) | (130,952 | ) | ||||||
| (1,300 | ) | RingCentral, Inc. – Class A * | (280,774 | ) | ||||||
| (1,000 | ) | Roku, Inc. * | (227,610 | ) | ||||||
| (4,800 | ) | Rollins, Inc. | (159,744 | ) | ||||||
| (3,900 | ) | Royal Caribbean Cruises Ltd. * | (272,298 | ) | ||||||
| (4,400 | ) | Sarepta Therapeutics, Inc. * | (355,564 | ) | ||||||
| (1,300 | ) | Seagen, Inc. * | (208,000 | ) | ||||||
| (600 | ) | ServiceNow, Inc. * | (388,620 | ) | ||||||
| (2,700 | ) | Simon Property Group, Inc. (REIT) | (412,668 | ) | ||||||
| (5,500 | ) | Snap, Inc. – Class A * | (261,855 | ) | ||||||
| (1,200 | ) | Snowflake, Inc. – Class A * | (408,180 | ) | ||||||
| (500 | ) | Southwest Airlines Co. * | (22,200 | ) | ||||||
| (1,500 | ) | Square, Inc. – Class A * | (312,495 | ) | ||||||
| (500 | ) | Starbucks Corp. | (54,820 | ) | ||||||
| (2,200 | ) | Teladoc Health, Inc. * | (222,750 | ) | ||||||
| (400 | ) | Tesla, Inc. * | (457,904 | ) | ||||||
| (400 | ) | Trade Desk, Inc. (The) – Class A * | (41,368 | ) | ||||||
| (1,100 | ) | Twilio, Inc. – Class A * | (314,765 | ) | ||||||
| (2,600 | ) | Twitter, Inc. * | (114,244 | ) | ||||||
| (6,900 | ) | Uber Technologies, Inc. * | (262,200 | ) | ||||||
| (7,400 | ) | UDR, Inc. (REIT) | (419,802 | ) | ||||||
| (1,200 | ) | Vail Resorts, Inc. | (398,052 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (9,000 | ) | Vistra Corp. | (178,920 | ) | ||||||
| (800 | ) | Wayfair, Inc. – Class A * | (198,272 | ) | ||||||
| (15,200 | ) | Williams Cos, Inc. (The) | (407,208 | ) | ||||||
| (2,700 | ) | Zendesk, Inc. * | (275,697 | ) | ||||||
| (2,700 | ) | Zillow Group, Inc. – Class A * | (146,097 | ) | ||||||
| (3,042 | ) | Zillow Group, Inc. – Class C * | (165,089 | ) | ||||||
| (1,300 | ) | Zscaler, Inc. * | (451,061 | ) | ||||||
|
|
|
|||||||||
| Total United States | (24,030,474 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $45,931,331) |
(45,268,647 | ) | ||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) — (0.1)% | ||||||||||
| Germany — (0.1)% | ||||||||||
| (565 | ) | Sartorius AG | (388,681 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $ (246,562) |
(388,681 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $46,177,893) |
(45,657,328 | ) | ||||||||
| Other Assets and Liabilities (net) — 17.4% | 45,293,713 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $260,287,083 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2021 is as follows:
Swap Contracts
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||
| Total Return on Equity |
1 Month Federal Funds Rate minus 0.75% | GS | USD | 591,174 | 05/24/2022 | Monthly | — | 7,575 | 7,575 | |||||||||||||||||||
| Total Return on Equity |
1 Month Federal Funds Rate minus 0.50% | GS | USD | 506,306 | 05/24/2022 | Monthly | — | 29,008 | 29,008 | |||||||||||||||||||
| Total Return on Equity |
1 Month Federal Funds Rate minus 0.75% | GS | USD | 42,144 | 05/24/2022 | Monthly | — | (3,286 | ) | (3,286 | ) | |||||||||||||||||
| Total Return on Equity |
1 Month Federal Funds Rate minus 0.63% | GS |
USD | 92,574 | 05/24/2022 | Monthly | — | 3,299 | 3,299 | |||||||||||||||||||
| Total Return on Equity |
1 Month Federal Funds Rate minus 0.75% | GS |
USD | 15,599 | 05/24/2022 | Monthly | — | (193 | ) | (193 | ) | |||||||||||||||||
| Total Return on Equity |
1 Month Federal Funds Rate minus 1.00% | MORD | USD | 201,745 | 10/18/2022 | Monthly | — | 24,395 | 24,395 | |||||||||||||||||||
| Total Return on Equity |
1 Month Federal Funds Rate minus 0.40% | MORD | USD | 2,773,143 | 10/18/2022 | Monthly | — | 125,262 | 125,262 | |||||||||||||||||||
| Total Return on Equity |
1 Month Federal Funds Rate minus 2.50% | MORD | USD | 1,066,887 | 05/18/2023 | Monthly | — | 52,977 | 52,977 | |||||||||||||||||||
| Total Return on Equity |
1 Month Federal Funds Rate minus 0.40% | MORD | USD | 123,916 | 11/20/2023 | Monthly | — | 16,755 | 16,755 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | — | $ | 255,792 | $ | 255,792 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
As of November 30, 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.
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2021 (Unaudited)
Notes to Schedule of Investments:
| * | 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) | 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 November 30, 2021. |
| (f) | Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets. |
| (g) | The following table represents the individual short positions within the custom equity basket swap as of November 30, 2021: |
| Shares | Description | % of Equity Basket |
Value ($) | |||||||||
| 950,000 | Alibaba Pictures Group Ltd | 3.7 | % | 97,506 | ||||||||
| 528,000 | China Molybdenum Co Ltd – Class H | 12.2 | % | 323,922 | ||||||||
| 32,000 | China Resources Beer Holdings Co Ltd | 9.9 | % | 262,485 | ||||||||
| 152,000 | China Youzan Ltd | 0.5 | % | 13,544 | ||||||||
| 49,000 | CITIC Securities Co Ltd – Class H | 4.4 | % | 116,494 | ||||||||
| 4,600 | Ganfeng Lithium Co Ltd – Class H | 3.4 | % | 88,906 | ||||||||
| 214,000 | Greentown Service Group Co Ltd | 7.8 | % | 205,073 | ||||||||
| 6,500 | Hong Kong Exchanges and Clearing Ltd | 13.5 | % | 357,444 | ||||||||
| 101,000 | Kingdee International Software Group Co Ltd | 11.5 | % | 303,136 | ||||||||
| 15,000 | New World Development Co Ltd | 2.2 | % | 59,227 | ||||||||
| 124,000 | Sands China Ltd | 10.7 | % | 283,378 | ||||||||
| 6,000 | Venus Medtech Hangzhou Inc – Class H | 1.1 | % | 29,963 | ||||||||
| 26,000 | Weimob Inc | 1.2 | % | 31,235 | ||||||||
| 20,000 | Yihai International Holding Ltd. | 4.1 | % | 107,305 | ||||||||
| 274,000 | Zijin Mining Group Co Ltd – Class H | 13.8 | % | 363,584 | ||||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCKS | $ | 2,643,202 | ||||||||||
|
|
|
|||||||||||
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)
PJSC - Private Joint-Stock Company
REIT - Real Estate Investment Trust
Counterparty Abbreviations:
GS - Goldman Sachs International
MORD - Morgan Stanley Capital Services LLC
Currency Abbreviations:
USD - United States Dollar
Organization
Each of Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).
The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.
Many of the Funds may invest primarily in other GMO Funds and Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund may also invest in GMO Alternative Allocation SPC Ltd., GMO Implementation SPC Ltd. and GMO Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “underlying funds”. As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.
Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.
Basis of presentation
The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.
Basis of presentation and principles of consolidation: Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund
Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries and the accompanying schedules of investments have been consolidated for those accounts. The consolidated schedules of investments include all of the assets and liabilities of each wholly-owned subsidiary.
Portfolio valuation
Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by
the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) and are described in the disclosures of the underlying funds.
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2021, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; certain equity
securities valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2021:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Alternative Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 12,003,526 | $ | — | $ | 12,003,526 | ||||||||
| Belgium |
— | 922,007 | — | 922,007 | ||||||||||||
| Canada |
5,684,291 | — | — | 5,684,291 | ||||||||||||
| China |
478,079 | 3,059,454 | 505,514 | 4,043,047 | ||||||||||||
| Denmark |
— | 1,650,456 | — | 1,650,456 | ||||||||||||
| Finland |
— | 478,211 | — | 478,211 | ||||||||||||
| France |
— | 1,352,355 | — | 1,352,355 | ||||||||||||
| Germany |
— | 4,515,834 | — | 4,515,834 | ||||||||||||
| Hong Kong |
— | 796,756 | — | 796,756 | ||||||||||||
| India |
— | 910,977 | — | 910,977 | ||||||||||||
| Israel |
788,073 | — | — | 788,073 | ||||||||||||
| Italy |
— | 1,430,520 | — | 1,430,520 | ||||||||||||
| Japan |
— | 7,558,931 | — | 7,558,931 | ||||||||||||
| Malaysia |
— | 60,797 | — | 60,797 | ||||||||||||
| Netherlands |
403,500 | 1,803,458 | — | 2,206,958 | ||||||||||||
| New Zealand |
— | 163,042 | — | 163,042 | ||||||||||||
| South Africa |
— | 270,618 | — | 270,618 | ||||||||||||
| South Korea |
— | 174,946 | — | 174,946 | ||||||||||||
| Spain |
— | 861,139 | — | 861,139 | ||||||||||||
| Sweden |
— | 514,543 | — | 514,543 | ||||||||||||
| Switzerland |
— | 394,547 | — | 394,547 | ||||||||||||
| Taiwan |
— | 266,015 | — | 266,015 | ||||||||||||
| United Kingdom |
3,939,812 | 7,590,196 | — | 11,530,008 | ||||||||||||
| United States |
130,320,454 | — | — | 130,320,454 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
141,614,209 | 46,778,328 | 505,514 | 188,898,051 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | 199,480 | — | 199,480 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 199,480 | — | 199,480 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| United States |
— | — | 263,451 | 263,451 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 263,451 | 263,451 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
— | — | 4,500,031 | 4,500,031 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
— | — | 4,500,031 | 4,500,031 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
66,432,722 | 17,698,416 | — | 84,131,138 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
66,432,722 | 17,698,416 | — | 84,131,138 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
11,713,559 | — | — | 11,713,559 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
11,713,559 | — | — | 11,713,559 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
2,589,411 | — | — | 2,589,411 | ||||||||||||
| Purchased Options |
— | 84,015 | — | 84,015 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
222,349,901 | 64,760,239 | 5,268,996 | 292,379,136 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 3,554,048 | — | 3,554,048 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
207,779 | 298,172 | — | 505,951 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Alternative Allocation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Interest Rate Risk |
$ | 91,360 | $ | — | $ | — | $ | 91,360 | ||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 5,243,275 | — | 5,243,275 | ||||||||||||
| Equity Risk |
— | 1,577,590 | — | 1,577,590 | ||||||||||||
| Interest Rate Risk |
— | 2,668,391 | — | 2,668,391 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 222,649,040 | $ | 78,101,715 | $ | 5,268,996 | $ | 306,019,751 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | (3,934,143 | ) | $ | (6,649,279 | ) | $ | — | $ | (10,583,422 | ) | |||||
| Austria |
— | (529,565 | ) | — | (529,565 | ) | ||||||||||
| Belgium |
— | (195,264 | ) | — | (195,264 | ) | ||||||||||
| Canada |
(4,700,767 | ) | — | — | (4,700,767 | ) | ||||||||||
| Denmark |
— | (347,898 | ) | — | (347,898 | ) | ||||||||||
| France |
— | (2,390,175 | ) | — | (2,390,175 | ) | ||||||||||
| Germany |
— | (2,560,973 | ) | — | (2,560,973 | ) | ||||||||||
| Israel |
(597,440 | ) | — | — | (597,440 | ) | ||||||||||
| Italy |
— | (1,684,178 | ) | — | (1,684,178 | ) | ||||||||||
| Japan |
— | (8,015,792 | ) | — | (8,015,792 | ) | ||||||||||
| Netherlands |
— | (910,657 | ) | — | (910,657 | ) | ||||||||||
| New Zealand |
— | (386,058 | ) | — | (386,058 | ) | ||||||||||
| Norway |
— | (129,405 | ) | — | (129,405 | ) | ||||||||||
| Singapore |
— | (769,500 | ) | — | (769,500 | ) | ||||||||||
| Spain |
— | (1,435,150 | ) | — | (1,435,150 | ) | ||||||||||
| Sweden |
— | (881,817 | ) | — | (881,817 | ) | ||||||||||
| Switzerland |
— | (1,158,583 | ) | — | (1,158,583 | ) | ||||||||||
| United Kingdom |
— | (4,051,207 | ) | — | (4,051,207 | ) | ||||||||||
| United States |
(92,307,062 | ) | — | — | (92,307,062 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(101,539,412 | ) | (32,095,501 | ) | — | (133,634,913 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
— | (511,821 | ) | — | (511,821 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (511,821 | ) | — | (511,821 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (6,638,869 | ) | — | (6,638,869 | ) | ||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
(2,041,825 | ) | (1,627,303 | ) | — | (3,669,128 | ) | |||||||||
| Interest Rate Risk |
(220,231 | ) | — | — | (220,231 | ) | ||||||||||
| Written Options |
||||||||||||||||
| Credit Risk |
— | (69,769 | ) | — | (69,769 | ) | ||||||||||
| Equity Risk |
(465,420 | ) | — | — | (465,420 | ) | ||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | (1,252,834 | ) | — | (1,252,834 | ) | ||||||||||
| Equity Risk |
— | (667,135 | ) | — | (667,135 | ) | ||||||||||
| Interest Rate Risk |
— | (2,683,513 | ) | — | (2,683,513 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (104,266,888 | ) | $ | (45,546,745 | ) | $ | — | $ | (149,813,633 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Benchmark-Free Allocation Fund |
| |||||||||||||||
| Asset Valuation Inputs |
| |||||||||||||||
| Mutual Funds |
$ | 5,413,725,595 | $ | — | $ | — | $ | 5,413,725,595 | ||||||||
| Short-Term Investments |
5,301,525 | — | — | 5,301,525 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
5,419,027,120 | — | — | 5,419,027,120 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 5,419,027,120 | $ | — | $ | — | $ | 5,419,027,120 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Benchmark-Free Fund |
||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 81,960 | $ | — | $ | — | $ | 81,960 | ||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Benchmark-Free Fund (continued) |
||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Australia |
$ | — | $ | 24,908,251 | $ | — | $ | 24,908,251 | ||||||||
| Austria |
— | 57,712 | — | 57,712 | ||||||||||||
| Belgium |
— | 8,713,562 | — | 8,713,562 | ||||||||||||
| Brazil |
4,272,094 | 14,504,093 | — | 18,776,187 | ||||||||||||
| Canada |
26,556,708 | — | — | 26,556,708 | ||||||||||||
| Chile |
122,132 | 1,222,539 | — | 1,344,671 | ||||||||||||
| China |
7,252,266 | 121,499,029 | 2,604,718 | 131,356,013 | ||||||||||||
| Czech Republic |
— | 1,016,412 | — | 1,016,412 | ||||||||||||
| Denmark |
— | 9,571,576 | — | 9,571,576 | ||||||||||||
| Egypt |
— | 841,155 | — | 841,155 | ||||||||||||
| Finland |
— | 6,443,906 | — | 6,443,906 | ||||||||||||
| France |
— | 33,241,636 | — | 33,241,636 | ||||||||||||
| Germany |
— | 22,339,374 | — | 22,339,374 | ||||||||||||
| Greece |
— | 308,991 | — | 308,991 | ||||||||||||
| Hong Kong |
— | 13,126,747 | — | 13,126,747 | ||||||||||||
| Hungary |
— | 1,401,878 | — | 1,401,878 | ||||||||||||
| India |
2,788,999 | 43,316,425 | — | 46,105,424 | ||||||||||||
| Indonesia |
— | 6,756,579 | — | 6,756,579 | ||||||||||||
| Ireland |
2,339,801 | 7,162,199 | — | 9,502,000 | ||||||||||||
| Israel |
4,463,665 | 1,688,668 | — | 6,152,333 | ||||||||||||
| Italy |
— | 18,620,786 | — | 18,620,786 | ||||||||||||
| Japan |
— | 215,134,142 | — | 215,134,142 | ||||||||||||
| Kuwait |
— | 2,211,600 | — | 2,211,600 | ||||||||||||
| Luxembourg |
557,574 | — | — | 557,574 | ||||||||||||
| Malaysia |
— | 764,813 | — | 764,813 | ||||||||||||
| Mexico |
21,244,518 | — | — | 21,244,518 | ||||||||||||
| Netherlands |
2,168,748 | 21,535,324 | — | 23,704,072 | ||||||||||||
| New Zealand |
— | 871,996 | — | 871,996 | ||||||||||||
| Norway |
— | 8,466,748 | — | 8,466,748 | ||||||||||||
| Peru |
659,218 | — | — | 659,218 | ||||||||||||
| Philippines |
— | 349,980 | — | 349,980 | ||||||||||||
| Poland |
— | 5,952,662 | — | 5,952,662 | ||||||||||||
| Portugal |
— | 4,915,611 | — | 4,915,611 | ||||||||||||
| Qatar |
— | 983,340 | — | 983,340 | ||||||||||||
| Russia |
628,709 | 50,860,605 | 524,592 | 52,013,906 | ||||||||||||
| Saudi Arabia |
— | 308,916 | — | 308,916 | ||||||||||||
| Singapore |
— | 10,024,229 | — | 10,024,229 | ||||||||||||
| South Africa |
— | 16,739,034 | — | 16,739,034 | ||||||||||||
| South Korea |
2,405,520 | 61,044,337 | — | 63,449,857 | ||||||||||||
| Spain |
— | 21,986,253 | — | 21,986,253 | ||||||||||||
| Sweden |
— | 3,659,840 | — | 3,659,840 | ||||||||||||
| Switzerland |
167,370 | 7,724,150 | — | 7,891,520 | ||||||||||||
| Taiwan |
2,388,103 | 93,315,340 | — | 95,703,443 | ||||||||||||
| Thailand |
— | 7,920,175 | — | 7,920,175 | ||||||||||||
| Turkey |
— | 9,451,245 | — | 9,451,245 | ||||||||||||
| United Arab Emirates |
— | 524,890 | — | 524,890 | ||||||||||||
| United Kingdom |
2,439,507 | 67,043,314 | — | 69,482,821 | ||||||||||||
| United States |
235,472,110 | — | — | 235,472,110 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
316,009,002 | 948,530,062 | 3,129,310 | 1,267,668,374 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
140,070 | 3,701,843 | — | 3,841,913 | ||||||||||||
| Chile |
292,622 | 136,182 | — | 428,804 | ||||||||||||
| Colombia |
78,291 | — | — | 78,291 | ||||||||||||
| Germany |
— | 2,159,028 | — | 2,159,028 | ||||||||||||
| Russia |
— | 5,050,975 | — | 5,050,975 | ||||||||||||
| South Korea |
— | 4,550,906 | — | 4,550,906 | ||||||||||||
| Taiwan |
— | 72,870 | — | 72,870 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
510,983 | 15,671,804 | — | 16,182,787 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Benchmark-Free Fund Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Rights/Warrants |
||||||||||||||||
| Thailand |
$ | — | $ | 0 | § | $ | — | $ | 0 | § | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | 0 | § | — | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
6,545,625 | — | — | 6,545,625 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
6,545,625 | — | — | 6,545,625 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| Israel |
— | 0 | § | — | 0 | § | ||||||||||
| United States |
166,572,485 | 77,568 | — | 166,650,053 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
166,572,485 | 77,568 | — | 166,650,053 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
259,523,261 | — | — | 259,523,261 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
259,523,261 | — | — | 259,523,261 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
2,663,063 | — | — | 2,663,063 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
751,824,419 | 964,279,434 | 3,129,310 | 1,719,233,163 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 3,949,290 | — | 3,949,290 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
7,896,039 | 2,677,687 | — | 10,573,726 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | 1,987,689 | — | 1,987,689 | ||||||||||||
| Interest Rate Risk |
— | 2,177,159 | — | 2,177,159 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 759,720,458 | $ | 975,071,259 | $ | 3,129,310 | $ | 1,737,921,027 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
| |||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (8,583,031 | ) | $ | — | $ | (8,583,031 | ) | ||||||
| Austria |
— | (2,916,475 | ) | — | (2,916,475 | ) | ||||||||||
| Belgium |
— | (1,049,801 | ) | — | (1,049,801 | ) | ||||||||||
| Canada |
(2,993,165 | ) | — | — | (2,993,165 | ) | ||||||||||
| Denmark |
— | (1,923,905 | ) | — | (1,923,905 | ) | ||||||||||
| France |
— | (12,569,598 | ) | — | (12,569,598 | ) | ||||||||||
| Germany |
— | (13,626,499 | ) | — | (13,626,499 | ) | ||||||||||
| Israel |
(3,416,560 | ) | — | — | (3,416,560 | ) | ||||||||||
| Italy |
— | (9,149,288 | ) | — | (9,149,288 | ) | ||||||||||
| Japan |
— | (42,868,015 | ) | — | (42,868,015 | ) | ||||||||||
| Netherlands |
— | (5,007,286 | ) | — | (5,007,286 | ) | ||||||||||
| New Zealand |
— | (2,131,190 | ) | — | (2,131,190 | ) | ||||||||||
| Norway |
— | (761,904 | ) | — | (761,904 | ) | ||||||||||
| Russia |
— | (87,719 | ) | — | (87,719 | ) | ||||||||||
| Singapore |
— | (4,262,892 | ) | — | (4,262,892 | ) | ||||||||||
| Spain |
— | (7,977,753 | ) | — | (7,977,753 | ) | ||||||||||
| Sweden |
— | (4,945,479 | ) | — | (4,945,479 | ) | ||||||||||
| Switzerland |
— | (6,341,516 | ) | — | (6,341,516 | ) | ||||||||||
| United Kingdom |
— | (22,241,210 | ) | — | (22,241,210 | ) | ||||||||||
| United States |
(172,094,925 | ) | — | — | (172,094,925 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(178,504,650 | ) | (146,443,561 | ) | — | (324,948,211 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
— | (2,707,696 | ) | — | (2,707,696 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (2,707,696 | ) | — | (2,707,696 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (4,618,084 | ) | — | (4,618,084 | ) | ||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
(4,359,735 | ) | (48,944 | ) | — | (4,408,679 | ) | |||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | (26,147 | ) | — | (26,147 | ) | ||||||||||
| Interest Rate Risk |
— | (2,104,013 | ) | — | (2,104,013 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (182,864,385 | ) | $ | (155,948,445 | ) | $ | — | $ | (338,812,830 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Global Asset Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 636,998,733 | $ | — | $ | — | $ | 636,998,733 | ||||||||
| Debt Obligations |
||||||||||||||||
| Asset-Backed Securities |
— | 18,247 | — | 18,247 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
— | 18,247 | — | 18,247 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
434,765 | — | — | 434,765 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
637,433,498 | 18,247 | — | 637,451,745 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 637,433,498 | $ | 18,247 | $ | — | $ | 637,451,745 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Developed Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 87,631,167 | $ | — | $ | — | $ | 87,631,167 | ||||||||
| Short-Term Investments |
60,399 | — | — | 60,399 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
87,691,566 | — | — | 87,691,566 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 87,691,566 | $ | — | $ | — | $ | 87,691,566 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 1,615,496,867 | $ | — | $ | — | $ | 1,615,496,867 | ||||||||
| Short-Term Investments |
647,836 | — | — | 647,836 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
1,616,144,703 | — | — | 1,616,144,703 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 1,616,144,703 | $ | — | $ | — | $ | 1,616,144,703 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Consolidated Implementation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 188,450 | $ | — | $ | — | $ | 188,450 | ||||||||
| Australia |
— | 105,252,143 | — | 105,252,143 | ||||||||||||
| Belgium |
— | 24,108,775 | — | 24,108,775 | ||||||||||||
| Brazil |
11,139,626 | 39,522,806 | — | 50,662,432 | ||||||||||||
| Canada |
89,740,819 | — | — | 89,740,819 | ||||||||||||
| Chile |
255,513 | 2,699,678 | — | 2,955,191 | ||||||||||||
| China |
20,997,623 | 354,374,795 | 7,572,645 | 382,945,063 | ||||||||||||
| Czech Republic |
— | 2,323,262 | — | 2,323,262 | ||||||||||||
| Denmark |
— | 28,040,386 | — | 28,040,386 | ||||||||||||
| Egypt |
— | 1,619,623 | — | 1,619,623 | ||||||||||||
| Finland |
— | 17,636,910 | — | 17,636,910 | ||||||||||||
| France |
— | 88,408,009 | — | 88,408,009 | ||||||||||||
| Germany |
— | 67,686,625 | — | 67,686,625 | ||||||||||||
| Greece |
— | 896,877 | — | 896,877 | ||||||||||||
| Hong Kong |
41,106 | 37,332,351 | — | 37,373,457 | ||||||||||||
| Hungary |
— | 2,864,949 | — | 2,864,949 | ||||||||||||
| India |
8,840,050 | 117,916,177 | — | 126,756,227 | ||||||||||||
| Indonesia |
— | 21,137,006 | — | 21,137,006 | ||||||||||||
| Ireland |
7,141,760 | 17,310,832 | — | 24,452,592 | ||||||||||||
| Israel |
12,698,229 | 3,756,516 | — | 16,454,745 | ||||||||||||
| Italy |
— | 51,485,688 | — | 51,485,688 | ||||||||||||
| Japan |
— | 577,011,558 | — | 577,011,558 | ||||||||||||
| Kuwait |
— | 6,884,186 | — | 6,884,186 | ||||||||||||
| Luxembourg |
2,066,079 | — | — | 2,066,079 | ||||||||||||
| Malaysia |
— | 1,673,719 | — | 1,673,719 | ||||||||||||
| Mexico |
62,107,659 | — | — | 62,107,659 | ||||||||||||
| Netherlands |
6,545,484 | 58,658,784 | 187 | 65,204,455 | ||||||||||||
| New Zealand |
— | 2,658,983 | — | 2,658,983 | ||||||||||||
| Norway |
— | 20,974,025 | — | 20,974,025 | ||||||||||||
| Peru |
827,318 | — | — | 827,318 | ||||||||||||
| Philippines |
— | 2,104,500 | — | 2,104,500 | ||||||||||||
| Poland |
— | 17,021,103 | — | 17,021,103 | ||||||||||||
| Portugal |
— | 12,159,162 | — | 12,159,162 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Implementation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Qatar |
$ | — | $ | 7,116,576 | $ | — | $ | 7,116,576 | ||||||||
| Russia |
1,971,942 | 158,007,428 | 1,646,588 | 161,625,958 | ||||||||||||
| Saudi Arabia |
— | 1,329,021 | — | 1,329,021 | ||||||||||||
| Singapore |
— | 24,713,757 | — | 24,713,757 | ||||||||||||
| South Africa |
— | 41,802,015 | — | 41,802,015 | ||||||||||||
| South Korea |
6,257,039 | 166,755,645 | — | 173,012,684 | ||||||||||||
| Spain |
— | 57,962,536 | — | 57,962,536 | ||||||||||||
| Sweden |
— | 10,238,364 | — | 10,238,364 | ||||||||||||
| Switzerland |
510,080 | 19,293,553 | — | 19,803,633 | ||||||||||||
| Taiwan |
15,340,793 | 264,704,754 | — | 280,045,547 | ||||||||||||
| Thailand |
— | 19,839,319 | — | 19,839,319 | ||||||||||||
| Turkey |
— | 25,410,806 | — | 25,410,806 | ||||||||||||
| United Arab Emirates |
— | 1,019,799 | — | 1,019,799 | ||||||||||||
| United Kingdom |
22,035,986 | 192,540,498 | — | 214,576,484 | ||||||||||||
| United States |
1,092,923,150 | 1,198,438 | 9,564,350 | 1,103,685,938 | ||||||||||||
| Vietnam |
— | 66,193 | — | 66,193 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
1,361,628,706 | 2,675,518,130 | 18,783,770 | 4,055,930,606 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
462,530 | 10,314,350 | — | 10,776,880 | ||||||||||||
| Chile |
392,238 | 524,204 | — | 916,442 | ||||||||||||
| Colombia |
182,350 | — | — | 182,350 | ||||||||||||
| Germany |
— | 5,925,052 | — | 5,925,052 | ||||||||||||
| Russia |
— | 13,063,500 | — | 13,063,500 | ||||||||||||
| South Korea |
— | 20,442,536 | — | 20,442,536 | ||||||||||||
| Taiwan |
— | 848,297 | — | 848,297 | ||||||||||||
| United States |
— | — | 959,535 | 959,535 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
1,037,118 | 51,117,939 | 959,535 | 53,114,592 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Thailand |
— | 0 | § | — | 0 | § | ||||||||||
| United States |
— | — | 983,025 | 983,025 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | 0 | § | 983,025 | 983,025 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
4,377,999 | — | 19,551,931 | 23,929,930 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
4,377,999 | — | 19,551,931 | 23,929,930 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| Canada |
— | 1,922,394 | — | 1,922,394 | ||||||||||||
| China |
— | 706,457 | — | 706,457 | ||||||||||||
| Germany |
— | 1,098,337 | — | 1,098,337 | ||||||||||||
| Israel |
— | 5,747,936 | — | 5,747,936 | ||||||||||||
| Italy |
— | 432,968 | — | 432,968 | ||||||||||||
| Luxembourg |
— | — | 2,440,517 | 2,440,517 | ||||||||||||
| Netherlands |
— | — | 116,191 | 116,191 | ||||||||||||
| United States |
511,446,972 | 141,181,286 | 24,023,597 | 676,651,855 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
511,446,972 | 151,089,378 | 26,580,305 | 689,116,655 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
11,655,246 | — | — | 11,655,246 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
11,655,246 | — | — | 11,655,246 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
34,402,226 | 558,015 | — | 34,960,241 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
1,924,548,267 | 2,878,283,462 | 66,858,566 | 4,869,690,295 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 18,174,275 | — | 18,174,275 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
14,897,959 | 7,443,506 | — | 22,341,465 | ||||||||||||
| Interest Rate Risk |
355,610 | — | — | 355,610 | ||||||||||||
| Physical Commodity Contract Risk |
1,010,597 | — | — | 1,010,597 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Implementation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
$ | — | $ | 7,803,976 | $ | — | $ | 7,803,976 | ||||||||
| Interest Rate Risk |
— | 11,716,111 | — | 11,716,111 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 1,940,812,433 | $ | 2,923,421,330 | $ | 66,858,566 | $ | 4,931,092,329 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
| |||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | (15,240,245 | ) | $ | (45,055,973 | ) | $ | — | $ | (60,296,218 | ) | |||||
| Austria |
— | (8,656,981 | ) | — | (8,656,981 | ) | ||||||||||
| Belgium |
— | (2,983,310 | ) | — | (2,983,310 | ) | ||||||||||
| Canada |
(24,755,332 | ) | — | — | (24,755,332 | ) | ||||||||||
| Denmark |
— | (5,685,321 | ) | — | (5,685,321 | ) | ||||||||||
| France |
— | (38,780,096 | ) | — | (38,780,096 | ) | ||||||||||
| Germany |
— | (41,389,449 | ) | — | (41,389,449 | ) | ||||||||||
| Israel |
(9,651,480 | ) | — | — | (9,651,480 | ) | ||||||||||
| Italy |
— | (26,917,036 | ) | — | (26,917,036 | ) | ||||||||||
| Japan |
— | (127,276,341 | ) | — | (127,276,341 | ) | ||||||||||
| Netherlands |
— | (14,660,477 | ) | — | (14,660,477 | ) | ||||||||||
| New Zealand |
— | (6,297,994 | ) | — | (6,297,994 | ) | ||||||||||
| Norway |
— | (2,108,360 | ) | — | (2,108,360 | ) | ||||||||||
| Russia |
— | (189,267 | ) | — | (189,267 | ) | ||||||||||
| Singapore |
— | (12,469,932 | ) | — | (12,469,932 | ) | ||||||||||
| Spain |
— | (23,419,770 | ) | — | (23,419,770 | ) | ||||||||||
| Sweden |
— | (14,547,352 | ) | — | (14,547,352 | ) | ||||||||||
| Switzerland |
— | (18,573,537 | ) | — | (18,573,537 | ) | ||||||||||
| United Kingdom |
(3,509 | ) | (65,920,924 | ) | — | (65,924,433 | ) | |||||||||
| United States |
(740,737,616 | ) | — | — | (740,737,616 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(790,388,182 | ) | (454,932,120 | ) | — | (1,245,320,302 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | (8,001,325 | ) | — | (8,001,325 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (8,001,325 | ) | — | (8,001,325 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
(524,835 | ) | — | — | (524,835 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
(524,835 | ) | — | — | (524,835 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (28,574,376 | ) | — | (28,574,376 | ) | ||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
(11,836,954 | ) | (6,628,881 | ) | — | (18,465,835 | ) | |||||||||
| Interest Rate Risk |
(1,054,738 | ) | — | — | (1,054,738 | ) | ||||||||||
| Physical Commodity Contract Risk |
(2,138,792 | ) | — | — | (2,138,792 | ) | ||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | (604,684 | ) | — | (604,684 | ) | ||||||||||
| Equity Risk |
— | (2,350,409 | ) | — | (2,350,409 | ) | ||||||||||
| Interest Rate Risk |
— | (11,194,700 | ) | — | (11,194,700 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (805,943,501 | ) | $ | (512,286,495 | ) | $ | — | $ | (1,318,229,996 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Developed Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 238,261,730 | $ | — | $ | — | $ | 238,261,730 | ||||||||
| Short-Term Investments |
88,474 | — | — | 88,474 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
238,350,204 | — | — | 238,350,204 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 238,350,204 | $ | — | $ | — | $ | 238,350,204 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| International Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs |
| |||||||||||||||
| Mutual Funds |
$ | 761,309,775 | $ | — | $ | — | $ | 761,309,775 | ||||||||
| Short-Term Investments |
398,076 | — | — | 398,076 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
761,707,851 | — | — | 761,707,851 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 761,707,851 | $ | — | $ | — | $ | 761,707,851 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Consolidated SGM Major Markets Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| U.S. Government |
$ | 234,068,473 | $ | — | $ | — | $ | 234,068,473 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
234,068,473 | — | — | 234,068,473 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
48,149,687 | 50,019 | — | 48,199,706 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
282,218,160 | 50,019 | — | 282,268,179 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 2,639,132 | — | 2,639,132 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
493,635 | 806,694 | — | 1,300,329 | ||||||||||||
| Interest Rate Risk |
229,976 | — | — | 229,976 | ||||||||||||
| Physical Commodity Contract Risk |
670,349 | — | — | 670,349 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | 1,735,661 | — | 1,735,661 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 283,612,120 | $ | 5,231,506 | $ | — | $ | 288,843,626 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
| |||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | (3,050,869 | ) | $ | — | $ | (3,050,869 | ) | ||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
(4,811,272 | ) | (4,172,743 | ) | — | (8,984,015 | ) | |||||||||
| Interest Rate Risk |
(582,434 | ) | — | — | (582,434 | ) | ||||||||||
| Physical Commodity Contract Risk |
(1,387,153 | ) | — | — | (1,387,153 | ) | ||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | (1,929,674 | ) | — | (1,929,674 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (6,780,859 | ) | $ | (9,153,286 | ) | $ | — | $ | (15,934,145 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Strategic Opportunities Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 3,390,641 | $ | — | $ | 3,390,641 | ||||||||
| Belgium |
— | 1,170,167 | — | 1,170,167 | ||||||||||||
| Canada |
2,596,529 | — | — | 2,596,529 | ||||||||||||
| China |
327,222 | 2,309,840 | 521,242 | 3,158,304 | ||||||||||||
| Denmark |
— | 1,259,711 | — | 1,259,711 | ||||||||||||
| Finland |
— | 634,975 | — | 634,975 | ||||||||||||
| France |
— | 3,226,750 | — | 3,226,750 | ||||||||||||
| Germany |
— | 1,987,270 | — | 1,987,270 | ||||||||||||
| Hong Kong |
— | 1,850,749 | — | 1,850,749 | ||||||||||||
| India |
— | 945,518 | — | 945,518 | ||||||||||||
| Ireland |
31,054 | 1,090,780 | — | 1,121,834 | ||||||||||||
| Israel |
576,100 | 317,986 | — | 894,086 | ||||||||||||
| Italy |
— | 2,587,599 | — | 2,587,599 | ||||||||||||
| Japan |
— | 24,926,621 | — | 24,926,621 | ||||||||||||
| Malaysia |
— | 42,294 | — | 42,294 | ||||||||||||
| Malta |
— | — | 0 | § | 0 | § | ||||||||||
| Mexico |
554,656 | — | — | 554,656 | ||||||||||||
| Netherlands |
302,616 | 2,612,073 | — | 2,914,689 | ||||||||||||
| New Zealand |
— | 120,937 | — | 120,937 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Strategic Opportunities Allocation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Norway |
$ | — | $ | 1,150,542 | $ | — | $ | 1,150,542 | ||||||||
| Portugal |
— | 703,299 | — | 703,299 | ||||||||||||
| Russia |
— | 217,262 | — | 217,262 | ||||||||||||
| Singapore |
— | 965,983 | — | 965,983 | ||||||||||||
| South Africa |
— | 200,121 | — | 200,121 | ||||||||||||
| South Korea |
— | 121,539 | — | 121,539 | ||||||||||||
| Spain |
— | 2,452,989 | — | 2,452,989 | ||||||||||||
| Sweden |
— | 533,989 | — | 533,989 | ||||||||||||
| Switzerland |
— | 407,052 | — | 407,052 | ||||||||||||
| Taiwan |
— | 325,227 | — | 325,227 | ||||||||||||
| United Kingdom |
— | 7,600,288 | — | 7,600,288 | ||||||||||||
| United States |
29,788,121 | — | — | 29,788,121 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
34,176,298 | 63,152,202 | 521,242 | 97,849,742 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 251,748 | — | 251,748 | ||||||||||||
| Germany |
— | 220,497 | — | 220,497 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 472,245 | — | 472,245 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
161,713,304 | — | — | 161,713,304 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
161,713,304 | — | — | 161,713,304 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
615,407 | — | — | 615,407 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
196,505,009 | 63,624,447 | 521,242 | 260,650,698 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | 259,271 | — | 259,271 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 196,505,009 | $ | 63,883,718 | $ | 521,242 | $ | 260,909,969 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (1,207,502 | ) | $ | — | $ | (1,207,502 | ) | ||||||
| Austria |
— | (381,906 | ) | — | (381,906 | ) | ||||||||||
| Belgium |
— | (145,855 | ) | — | (145,855 | ) | ||||||||||
| Canada |
(447,236 | ) | — | — | (447,236 | ) | ||||||||||
| Denmark |
— | (268,454 | ) | — | (268,454 | ) | ||||||||||
| France |
— | (1,882,619 | ) | — | (1,882,619 | ) | ||||||||||
| Germany |
— | (1,908,814 | ) | — | (1,908,814 | ) | ||||||||||
| Israel |
(436,620 | ) | — | — | (436,620 | ) | ||||||||||
| Italy |
— | (1,259,039 | ) | — | (1,259,039 | ) | ||||||||||
| Japan |
— | (5,955,030 | ) | — | (5,955,030 | ) | ||||||||||
| Netherlands |
— | (652,307 | ) | — | (652,307 | ) | ||||||||||
| New Zealand |
— | (275,857 | ) | — | (275,857 | ) | ||||||||||
| Norway |
— | (103,312 | ) | — | (103,312 | ) | ||||||||||
| Singapore |
— | (597,481 | ) | — | (597,481 | ) | ||||||||||
| Spain |
— | (1,093,279 | ) | — | (1,093,279 | ) | ||||||||||
| Sweden |
— | (648,161 | ) | — | (648,161 | ) | ||||||||||
| Switzerland |
— | (908,232 | ) | — | (908,232 | ) | ||||||||||
| United Kingdom |
— | (3,066,469 | ) | — | (3,066,469 | ) | ||||||||||
| United States |
(24,030,474 | ) | — | — | (24,030,474 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(24,914,330 | ) | (20,354,317 | ) | — | (45,268,647 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
— | (388,681 | ) | — | (388,681 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (388,681 | ) | — | (388,681 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | (3,479 | ) | — | (3,479 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (24,914,330 | ) | $ | (20,746,477 | ) | $ | — | $ | (45,660,807 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
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 November 30, 2021. |
The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Fund each hold a common stock that is priced with a 2,000 basis point liquidity discount to the most relevant price prior to suspension of trading. Additionally, Implementation Fund’s Level 3 holdings also includes a common stock of 144A shares that is thinly traded and is being priced off the Reg S shares of the same security and a common stock valued at the last price prior to suspension of trading. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 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 February 28, |
Purchases | Sales | Accrued Discounts/ Premiums |
Total Gain/(Loss) |
Change in Appreciation (Depreciation) |
Transfer Level 3 |
Transfer out of Level 3 |
Balances November 30, |
Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2021 |
|||||||||||||||||||||||||||||||
| Consolidated Alternative Allocation Fund | ||||||||||||||||||||||||||||||||||||||||
| Common Stocks |
|
|||||||||||||||||||||||||||||||||||||||
| China |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 505,514 | ‡ | $ | — | $ | 505,514 | $ | — | |||||||||||||||||||
| Investment Funds |
|
|||||||||||||||||||||||||||||||||||||||
| United States |
10,681,155 | 4,344,955 | (10,281,627 | ) | — | 849,312 | (1,093,764 | ) | — | — | 4,500,031 | (1,093,764 | ) | |||||||||||||||||||||||||||
| Rights/Warrants |
|
|||||||||||||||||||||||||||||||||||||||
| United States |
146,362 | 13,648 | — | — | — | 103,441 | — | — | 263,451 | 103,441 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Investments |
$ | 10,827,517 | $ | 4,358,603 | $ | (10,281,627 | ) | $ | — | $ | 849,312 | $ | (990,323 | ) | $ | 505,514 | $ | — | $ | 5,268,996 | $ | (990,323 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Benchmark-Free Fund | ||||||||||||||||||||||||||||||||||||||||
| Common Stocks |
|
|||||||||||||||||||||||||||||||||||||||
| China |
$ | 11,049 | $ | — | $ | — | $ | — | $ | — | $ | (11,049 | ) | $ | 2,604,718 | ‡ | $ | — | $ | 2,604,718 | $ | (11,049 | ) | |||||||||||||||||
| Russia |
— | 666,851 | — | — | — | (142,261 | ) | 2 | ‡ | — | 524,592 | (142,261 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Investments |
$ | 11,049 | $ | 666,851 | $ | — | $ | — | $ | — | $ | (153,310 | ) | $ | 2,604,720 | $ | — | $ | 3,129,310 | $ | (153,310 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Consolidated Implementation Fund | ||||||||||||||||||||||||||||||||||||||||
| Common Stocks |
|
|||||||||||||||||||||||||||||||||||||||
| China |
$ | 38,211 | $ | — | $ | — | $ | — | $ | — | $ | (38,211 | ) | $ | 7,572,645 | ‡ | $ | — | $ | 7,572,645 | $ | — | ||||||||||||||||||
| Netherlands |
199 | — | — | — | — | (12 | ) | — | — | 187 | (12 | ) | ||||||||||||||||||||||||||||
| Russia |
— | 2,093,110 | — | — | — | (446,530 | ) | 8 | ‡ | — | 1,646,588 | (446,530 | ) | |||||||||||||||||||||||||||
| United States |
13,767,769 | 1,868,694 | (10,163,901 | ) | — | 591,692 | 3,267,098 | 232,998 | ‡ | — | 9,564,350 | 4,076,218 | ||||||||||||||||||||||||||||
| Preferred Stocks |
|
|||||||||||||||||||||||||||||||||||||||
| United States |
881,040 | 38,000 | (1,651,555 | ) | — | 1,564,145 | 127,905 | — | — | 959,535 | 127,905 | |||||||||||||||||||||||||||||
| Rights/Warrants |
|
|||||||||||||||||||||||||||||||||||||||
| United States |
737,648 | 28,602 | — | — | — | 216,775 | — | — | 983,025 | 216,775 | ||||||||||||||||||||||||||||||
| Investment Funds |
|
|||||||||||||||||||||||||||||||||||||||
| United States |
22,494,300 | 23,120,431 | (25,089,038 | ) | — | — | (973,762 | ) | — | — | 19,551,931 | (973,762 | ) | |||||||||||||||||||||||||||
| Debt Obligations |
|
|||||||||||||||||||||||||||||||||||||||
| Bank Loans |
||||||||||||||||||||||||||||||||||||||||
| Jamaica |
6,415,674 | — | (6,479,715 | ) | 36,625 | 273,633 | (246,217 | ) | — | — | — | — | ||||||||||||||||||||||||||||
| Luxembourg |
2,478,466 | 2,542,992 | (2,569,793 | ) | 7,363 | — | (18,511 | ) | — | — | 2,440,517 | (8,078 | ) | |||||||||||||||||||||||||||
| United States |
32,146,412 | 17,264,272 | (21,996,632 | ) | 2,267,101 | (8,872,359 | ) | 3,148,303 | — | — | 23,957,097 | (786,278 | ) | |||||||||||||||||||||||||||
| Corporate Debt |
||||||||||||||||||||||||||||||||||||||||
| Netherlands |
304,846 | 45,050 | (189,714 | ) | 116,050 | (26,858 | ) | (133,183 | ) | — | — | 116,191 | (133,183 | ) | ||||||||||||||||||||||||||
| Balances February 28, |
Purchases | Sales | Accrued Discounts/ Premiums |
Total Gain/(Loss) |
Change in Appreciation (Depreciation) |
Transfer Level 3 |
Transfer out of Level 3 |
Balances November 30, |
Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2021 |
|||||||||||||||||||||||||||||||
| Consolidated Implementation Fund (continued) | ||||||||||||||||||||||||||||||||||||||||
| Debt Obligations (continued) |
|
|||||||||||||||||||||||||||||||||||||||
| United States |
$ | — | $ | 42,000 | $ | — | $ | 1,893 | $ | — | $ | 22,607 | $ | — | $ | — | $ | 66,500 | $ | 22,607 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Investments |
$ | 79,264,565 | $ | 47,043,151 | $ | (68,140,348 | )# | $ | 2,429,032 | $ | (6,469,747 | ) | $ | 4,926,262 | $ | 7,805,651 | $ | — | $ | 66,858,566 | $ | 2,095,662 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Strategic Opportunities Allocation Fund | ||||||||||||||||||||||||||||||||||||||||
| Common Stocks |
|
|||||||||||||||||||||||||||||||||||||||
| China |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 521,242 | ‡ | $ | — | $ | 521,242 | $ | — | |||||||||||||||||||
|
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|
|
|
|
|
|
|
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|
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|
|
|
|
|
|||||||||||||||||||||
| Total Investments |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 521,242 | $ | — | $ | 521,242 | $ | — | ||||||||||||||||||||
|
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|
|||||||||||||||||||||
| ‡ | Financial assets transferred between levels were due to a change in observable and/or unobservable inputs. |
| # | Includes $20,091,919 of proceeds received from partial calls and/or principal paydowns as applicable. |
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended November 30, 2021 for Funds with material Level 3 investments.
Quantitative information about Level 3 Fair Value Measurements*
| Investment Type | Total Fair Value ($) |
Valuation Methodology |
Unobservable Inputs | Range (Weighted Average) |
||||||||||
|
Consolidated Alternative Allocation Fund |
||||||||||||||
| Common Stock |
439,159 | Fair Value | Discount rate | 20% (N/A) | ||||||||||
|
Benchmark-Free Fund |
||||||||||||||
| Common Stock |
2,222,011 | Fair Value | Discount rate | 20% (N/A) | ||||||||||
| Common Stock |
524,592 | 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 |
9,348,035 | Fair Value | Discount rate | 10-30% (22.38%) | ||||||||||
| Common Stock |
6,402,981 | Fair Value | Most relevant broker quote | $0.025-$22.75 ($20.08) | ||||||||||
| Common Stock |
1,646,588 | Fair Value | Price of comparable equity | (N/A) | ||||||||||
| Common Stock |
— | Fair Value | Discount for lack of liquidity/marketability | $0 (N/A) | ||||||||||
|
Debt Obligation |
116,191 | Fair Value | Expected payment | (N/A) | ||||||||||
|
Strategic Opportunities Allocation Fund |
||||||||||||||
| Common Stock |
459,626 | 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 November 30, 2021, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund, Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund was $4,829,837, $382,707, $49,344,771 and $61,616, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated. |
Investments in affiliated companies and other Funds of the Trust
An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 2021 is set forth below:
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Consolidated Alternative Allocation Fund |
| |||||||||||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
$ | 29,192,704 | $ | 1,200,000 | $ | 18,340,000 | $ | 40,947 | $ | — | $ | 2,803,664 | $ | (3,142,809 | ) | $ | 11,713,559 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Benchmark-Free Allocation Fund |
| |||||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class IV |
$ | 161,366,088 | $ | 4,512,052 | $ | 174,494,031 | $ | 1,856,950 | $ | 2,655,102 | $ | (136,976 | ) | $ | 8,752,867 | $ | — | |||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
— | 172,094,031 | 12,000,000 | — | — | (544,633 | ) | (10,839,496 | ) | 148,709,902 | ||||||||||||||||||||||
| GMO Implementation Fund |
5,968,168,051 | 135,029,518 | 1,107,790,709 | — | — | (38,440,143 | ) | (36,660,478 | ) | 4,920,306,239 | ||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
237,695,110 | 948,914 | 46,182,497 | 948,914 | — | 278,018 | 1,803,048 | 194,542,593 | ||||||||||||||||||||||||
| GMO SGM Major Markets Fund, Class VI |
176,393,296 | 10,455,282 | 18,848,395 | 3,998,726 | 6,456,556 | (1,985,480 | ) | (15,847,842 | ) | 150,166,861 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 6,543,622,545 | $ | 323,039,797 | $ | 1,359,315,632 | $ | 6,804,590 | $ | 9,111,658 | $ | (40,829,214 | ) | $ | (52,791,901 | ) | $ | 5,413,725,595 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Benchmark-Free Fund |
| |||||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class IV |
$ | 68,079,210 | $ | 1,931,848 | $ | 73,642,006 | $ | 795,058 | $ | 1,136,790 | $ | — | $ | 3,630,948 | $ | — | ||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
— | 73,642,006 | 16,300,000 | — | — | (68,248 | ) | (4,757,632 | ) | 52,516,126 | ||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
73,462,563 | 242,521 | 33,000,000 | 242,521 | — | 5,542,188 | (8,688,223 | ) | 37,559,049 | |||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
95,150,641 | 11,654,333 | 10,500,000 | 454,333 | — | 534,257 | 487,729 | 97,326,960 | ||||||||||||||||||||||||
| GMO SGM Major Markets Fund, Class VI |
53,275,871 | 24,347,706 | 6,000,000 | 1,662,823 | 2,684,883 | (343,380 | ) | (7,217,456 | ) | 64,062,741 | ||||||||||||||||||||||
| GMO U.S. Treasury Fund |
15,629,132 | 99,448,913 | 107,008,770 | 3,450 | ** | — | (5,315 | ) | (5,575 | ) | 8,058,385 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 305,597,417 | $ | 211,267,327 | $ | 246,450,776 | $ | 3,158,185 | $ | 3,821,673 | $ | 5,659,502 | $ | (16,550,209 | ) | $ | 259,523,261 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Global Asset Allocation Fund |
| |||||||||||||||||||||||||||||||
| GMO Alternative Allocation Fund, Class VI |
$ | 178,571,877 | $ | 11,336,597 | $ | 53,886,020 | $ | — | $ | 4,192,845 | $ | (1,757,420 | ) | $ | (8,832,495 | ) | $ | 125,432,539 | ||||||||||||||
| GMO Asset Allocation Bond Fund, Class VI |
58,588,962 | 15,983,266 | 36,157,738 | — | — | 2,226,169 | (1,125,878 | ) | 39,514,781 | |||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class IV |
26,636,433 | 557,358 | 29,196,240 | 229,383 | 327,975 | (428,933 | ) | 2,431,382 | — | |||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
— | 22,196,240 | — | — | — | — | (2,414,959 | ) | 19,781,281 | |||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
— | 33,000,000 | — | — | — | — | (1,551,000 | ) | 31,449,000 | |||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
175,044,536 | 6,833,130 | 96,464,828 | 407,792 | — | 10,271,781 | (14,821,627 | ) | 80,862,992 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
143,733,654 | 20,411,091 | 54,106,134 | 1,916,915 | — | 5,533,251 | (2,664,055 | ) | 112,907,807 | |||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
35,718,441 | 3,007,435 | 12,206,000 | 910,022 | 842,505 | 2,263,107 | (4,263,819 | ) | 24,519,164 | |||||||||||||||||||||||
| GMO Multi-Sector Fixed Income Fund, Class IV |
49,437,917 | 33,029,049 | 22,907,203 | — | 1,638,831 | (161,552 | ) | (1,367,834 | ) | 58,030,377 | ||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
26,706,075 | 215,327 | 7,448,346 | 83,369 | — | (68,492 | ) | 264,327 | 19,668,891 | |||||||||||||||||||||||
| GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI |
26,821,332 | 1,999,803 | 9,200,000 | 220,945 | 1,778,858 | 3,366,138 | (3,929,684 | ) | 19,057,589 | |||||||||||||||||||||||
| GMO Quality Fund, Class VI |
18,091,344 | 576,544 | 7,935,000 | 26,360 | 226,459 | 1,944,381 | 402,059 | 13,079,328 | ||||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
73,489,034 | 4,931,103 | 32,577,154 | 160,235 | 3,161,757 | 2,281,996 | 4,996,112 | 53,121,091 | ||||||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
58,149,527 | 4,313,247 | 26,975,270 | 83,054 | 2,368,425 | 7,320,977 | (3,236,641 | ) | 39,571,840 | |||||||||||||||||||||||
| GMO U.S. Treasury Fund |
24,707,179 | 22,501,057 | 47,206,179 | 1,893 | 1 | — | (4 | ) | 2,053 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 895,696,311 | $ | 180,891,247 | $ | 436,266,112 | $ | 4,039,968 | $ | 14,537,656 | $ | 32,791,403 | $ | (36,114,116 | ) | $ | 636,998,733 | |||||||||||||||
|
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|
|
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|
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|
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|
|
|
|||||||||||||||||
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Global Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
$ | — | $ | 6,200,000 | $ | — | $ | — | $ | — | $ | — | $ | (291,400 | ) | $ | 5,908,600 | |||||||||||||||
| GMO Emerging Markets Fund, Class VI |
8,499,013 | 1,197,343 | 6,920,000 | 29,866 | — | 2,565,508 | (2,777,940 | ) | 2,563,924 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
37,111,417 | 1,393,758 | 4,095,000 | 728,758 | — | 840,606 | (223,486 | ) | 35,027,295 | |||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
3,494,510 | 275,804 | 300,000 | 125,025 | 115,749 | 54,601 | (371,508 | ) | 3,153,407 | |||||||||||||||||||||||
| GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI |
4,589,809 | 500,346 | 200,000 | 55,280 | 445,066 | 59,452 | (372,799 | ) | 4,576,808 | |||||||||||||||||||||||
| GMO Quality Fund, Class VI |
10,925,424 | 238,778 | 1,645,000 | 24,895 | 213,883 | 495,569 | 1,189,491 | 11,204,262 | ||||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
14,166,705 | 999,623 | 1,012,000 | 48,217 | 951,406 | 108,882 | 1,358,940 | 15,622,150 | ||||||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
9,343,101 | 1,328,834 | 1,660,000 | 19,130 | 545,520 | 443,438 | 119,348 | 9,574,721 | ||||||||||||||||||||||||
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| Totals |
$ | 88,129,979 | $ | 12,134,486 | $ | 15,832,000 | $ | 1,031,171 | $ | 2,271,624 | $ | 4,568,056 | $ | (1,369,354 | ) | $ | 87,631,167 | |||||||||||||||
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| Global Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
$ | — | $ | 131,000,000 | $ | — | $ | — | $ | — | $ | — | $ | (6,157,000 | ) | $ | 124,843,000 | |||||||||||||||
| GMO Emerging Markets Fund, Class VI |
451,468,804 | 8,472,979 | 183,679,854 | 1,472,979 | — | 38,678,050 | (56,109,083 | ) | 258,830,896 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
546,831,021 | 49,258,148 | 40,373,535 | 10,128,388 | — | 4,428,761 | 889,048 | 561,033,443 | ||||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
65,011,818 | 4,479,361 | — | 2,325,966 | 2,153,395 | — | (6,605,322 | ) | 62,885,857 | |||||||||||||||||||||||
| GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI |
81,133,477 | 8,844,554 | — | 977,175 | 7,867,379 | — | (5,691,789 | ) | 84,286,242 | |||||||||||||||||||||||
| GMO Quality Fund, Class VI |
220,601,446 | 13,081,253 | 41,693,480 | 477,651 | 4,103,602 | 11,468,117 | 22,446,144 | 225,903,480 | ||||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
104,407,865 | 31,807,035 | 16,535,639 | 322,170 | 6,357,036 | 2,205,306 | 8,825,282 | 130,709,849 | ||||||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
177,879,688 | 10,574,073 | 32,466,368 | 353,846 | 10,090,445 | 9,302,457 | 1,714,250 | 167,004,100 | ||||||||||||||||||||||||
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| Totals |
$ | 1,647,334,119 | $ | 257,517,403 | $ | 314,748,876 | $ | 16,058,175 | $ | 30,571,857 | $ | 66,082,691 | $ | (40,688,470 | ) | $ | 1,615,496,867 | |||||||||||||||
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| Consolidated Implementation Fund |
| |||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 35,272,723 | $ | 203,488,047 | $ | 227,063,240 | $ | 8,936 | ** | $ | — | $ | (28,839 | ) | $ | (13,445 | ) | $ | 11,655,246 | |||||||||||||
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| International Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
$ | — | $ | 20,153,156 | $ | 41,150 | $ | — | $ | — | $ | (605 | ) | $ | (946,256 | ) | $ | 19,165,145 | ||||||||||||||
| GMO Emerging Markets Fund, Class VI |
22,008,788 | 3,566,832 | 25,561,606 | 80,440 | — | 1,860,875 | (1,874,889 | ) | — | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
194,337,465 | 16,890,521 | 2,767,149 | 3,782,091 | — | 173,369 | 958,687 | 209,592,893 | ||||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
8,953,179 | 1,960,461 | 381,650 | 349,460 | 323,532 | 43,527 | (1,071,825 | ) | 9,503,692 | |||||||||||||||||||||||
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| Totals |
$ | 225,299,432 | $ | 42,570,970 | $ | 28,751,555 | $ | 4,211,991 | $ | 323,532 | $ | 2,077,166 | $ | (2,934,283 | ) | $ | 238,261,730 | |||||||||||||||
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| International Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
$ | — | $ | 64,737,207 | $ | 462,439 | $ | — | $ | — | $ | (6,803 | ) | $ | (3,022,152 | ) | $ | 61,245,813 | ||||||||||||||
| GMO Emerging Markets Fund, Class VI |
354,876,079 | 9,461,225 | 124,975,299 | 1,085,850 | — | 22,858,224 | (37,947,029 | ) | 224,273,200 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
470,885,277 | 34,390,587 | 64,722,420 | 8,360,163 | — | (2,676,264 | ) | 7,777,827 | 445,655,007 | |||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
35,577,814 | 3,101,466 | 5,495,981 | 1,172,145 | 1,085,180 | 886,537 | (3,934,081 | ) | 30,135,755 | |||||||||||||||||||||||
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| Totals |
$ | 861,339,170 | $ | 111,690,485 | $ | 195,656,139 | $ | 10,618,158 | $ | 1,085,180 | $ | 21,061,694 | $ | (37,125,435 | ) | $ | 761,309,775 | |||||||||||||||
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| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
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| Strategic Opportunities Allocation Fund |
| |||||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class IV |
$ | 19,111,645 | $ | 356,555 | $ | 19,908,093 | $ | 146,741 | $ | 209,814 | $ | (739,750 | ) | $ | 1,179,643 | $ | — | |||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
— | 13,408,093 | 3,900,000 | — | — | (252,893 | ) | (404,127 | ) | 8,851,073 | ||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
— | 18,500,000 | — | — | — | — | (869,500 | ) | 17,630,500 | |||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
132,412,873 | 289,741 | 95,950,000 | 289,741 | — | 8,924,044 | (11,113,226 | ) | 34,563,432 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
68,841,799 | 8,844,225 | 42,000,000 | 844,225 | — | 3,093,664 | (1,168,740 | ) | 37,610,948 | |||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
16,234,952 | 45,158 | 9,305,000 | 45,158 | — | 199,339 | (106,120 | ) | 7,068,329 | |||||||||||||||||||||||
| GMO Quality Fund, Class VI |
31,416,895 | 412,830 | 21,560,000 | 43,043 | 369,787 | 4,012,670 | (67,347 | ) | 14,215,048 | |||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
29,319,352 | 1,333,102 | 19,200,000 | 64,302 | 1,268,800 | 1,758,553 | 1,113,772 | 14,324,779 | ||||||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
41,144,715 | 1,625,477 | 28,200,000 | 55,070 | 1,570,407 | 6,697,231 | (4,088,505 | ) | 17,178,918 | |||||||||||||||||||||||
| GMO U.S. Treasury Fund |
2,500,173 | 71,504,968 | 63,717,173 | 2,992 | 2,580 | (17,691 | ) | — | 10,270,277 | |||||||||||||||||||||||
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| Totals |
$ | 340,982,404 | $ | 116,320,149 | $ | 303,740,266 | $ | 1,491,272 | $ | 3,421,388 | $ | 23,675,167 | $ | (15,524,150 | ) | $ | 161,713,304 | |||||||||||||||
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| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through November 30, 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 $16,871 and $177,471 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period. |
* * *
For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.