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 Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

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

Appreciation on Total Return on CSI 500 Index

GS

USD

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 of Contracts +	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 Average)
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 Date	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 Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Sell Protection^:
CDX.NA.HYS.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 Date	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 Date	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 Date	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

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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 Date	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- party	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.27.V2-5Y	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- party	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
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 Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.25%		3 Month USD LIBOR	USD	9,700,000		11/10/2022	Quarterly		(4,539	)		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 Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Total Return on Markit iBoxx USD Liquid Leveraged Loans Index

3 Month USD LIBOR

JPM

USD

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 Date	Counter- party	Currency Sold		Currency Purchased		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 Date	Counter- party	Currency Sold		Currency Purchased		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 Date	Counter- party	Currency Sold		Currency Purchased		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 Amount		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 Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,631,000		5.00%		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 Date	Counter- party	Currency Sold		Currency Purchased		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 Date	Counter- party	Currency Sold		Currency Purchased		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 of Contracts +	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 of Contracts +	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 Payment Frequency	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 Payment Frequency	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 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	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 Date	Counter- party	Currency Sold		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 Date	Counter- party	Currency Sold		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 Date	Counter- party	Currency Sold		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 Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Halliburton Co.	BOA	USD	1,140,000		1.00%		0.66%	N/A		12/20/2024		Quarterly		96,637			(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 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	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 Date	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 Amount		Expiration Date		Periodic Payment Frequency	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 Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.75%	GS	USD	591,174		05/24/2022	Monthly		—		7,575			7,575
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.50%	GS	USD	506,306		05/24/2022	Monthly		—		29,008			29,008
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.75%	GS	USD	42,144		05/24/2022	Monthly		—		(3,286	)		(3,286	)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.63%	GS	USD	92,574		05/24/2022	Monthly		—		3,299			3,299
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.75%	GS	USD	15,599		05/24/2022	Monthly		—		(193	)		(193	)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	201,745		10/18/2022	Monthly		—		24,395			24,395
Total Return on Equity Basket (g)	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 Basket (f)	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 Basket (f)	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 Germany		—			(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 Germany		—			(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 Germany		—			(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 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
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 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
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	$	—
Total Investments	$	—	$	—	$	—		$	—	$	—		$	—	$	521,242		$	—	$	521,242	$	—

‡ 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

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
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
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
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
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
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
Totals	$	225,299,432	$	42,570,970	$	28,751,555	$	4,211,991		$	323,532	$	2,077,166		$	(2,934,283	)	$	238,261,730
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
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

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Strategic Opportunities Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	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
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

* 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.