GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.7%
		Argentina — 0.9%
	991,915	Adecoagro SA (a)		8,193,218
		Australia — 0.5%
	320,055	Clean TeQ Water Ltd * (a)		83,954
	909,387	Sandfire Resources Ltd		3,147,654
	1,134,203	Sunrise Energy Metals Ltd * (a)		1,577,867
		Total Australia		4,809,475
		Belgium — 0.2%
	46,771	Umicore SA		1,687,934
		Brazil — 2.6%
	759,700	Dexco SA		1,222,406
	1,635,167	Sao Martinho SA		9,030,782
	608,420	SLC Agricola SA		5,261,909
	869,600	Suzano SA		8,906,557
		Total Brazil		24,421,654
		Canada — 10.4%
	476,293	Anaergia Inc * (a)		1,529,633
	842,767	Canadian Solar Inc * (a)		30,213,197
	575,864	First Quantum Minerals Ltd (a)		13,690,763
	1,925,700	Greenlane Renewables Inc * (a)		816,005
	2,810,057	Ivanhoe Mines Ltd – Class A * (a)		25,151,906
	1,008,392	Largo Inc * (a)		5,622,377
	1,333,508	Li-Cycle Holdings Corp * (a)		8,494,446
	123,700	NFI Group Inc (a)		915,002
	137,260	Nutrien Ltd		11,031,616
		Total Canada		97,464,945
		China — 2.4%
	1,031,000	Canvest Environmental Protection Group Co Ltd		581,502
	75,000	Chaowei Power Holdings Ltd		16,105
	8,528,114	China High Speed Transmission Equipment Group Co Ltd * (a)		3,980,183
	3,654,494	China Water Affairs Group Ltd		2,978,246
	225,792	Hollysys Automation Technologies Ltd (a)		3,861,043
	1,737,600	Tianjin Capital Environmental Protection Group Co Ltd – Class A		1,582,300
	2,606,006	Tianneng Power International Ltd (a)		2,814,704
	4,479,352	Xinjiang Goldwind Science & Technology Co Ltd – Class H		4,854,857
	1,226,576	Yutong Bus Co Ltd – Class A		1,371,775
	126,200	Zhuzhou CRRC Times Electric Co Ltd		586,355
		Total China		22,627,070
		Denmark — 3.4%
	1,216,605	Vestas Wind Systems A/S		31,610,086
		Finland — 1.0%
	372,648	Kemira Oyj		5,403,422

Shares		Description	Value ($)
		Finland — continued
	62,677	Neste Oyj		3,235,171
	44,979	Uponor Oyj		690,015
		Total Finland		9,328,608
		France — 6.7%
	49,616	Alstom SA		1,302,716
	148,157	Nexans SA		13,100,570
	110,474	STMicroelectronics NV		4,270,690
	726,264	Valeo		13,577,207
	996,287	Veolia Environnement SA		25,785,766
	13,327	Vilmorin & Cie SA		684,142
	114,522	Waga Energy SA * (a)		3,813,918
		Total France		62,535,009
		Germany — 1.8%
	291,182	E.ON SE		2,791,721
	139,577	Infineon Technologies AG		4,688,454
	33,202	Knorr-Bremse AG		1,892,665
	56,639	Siemens AG (Registered)		7,854,967
		Total Germany		17,227,807
		Italy — 0.3%
	67,877	Prysmian SPA		2,392,039
		Japan — 4.3%
	263,700	Ebara Corp		10,252,587
	240,700	GS Yuasa Corp		3,821,990
	41,300	Kurita Water Industries Ltd		1,852,049
	9,900	METAWATER Co Ltd		129,660
	151,600	Organo Corp		3,144,986
	502,800	Panasonic Holdings Corp (a)		4,694,979
	995,100	Renesas Electronics Corp *		9,759,645
	337,200	Yokogawa Electric Corp		6,359,478
		Total Japan		40,015,374
		Mexico — 2.2%
	4,295,205	Grupo Mexico SAB de CV – Series B		17,475,567
	1,732,800	Orbia Advance Corp SAB de CV		3,394,830
		Total Mexico		20,870,397
		Netherlands — 0.5%
	119,820	Arcadis NV		4,890,970
		Norway — 0.7%
	778,202	Austevoll Seafood ASA		6,365,082
		Pakistan — 0.0%
	364,949	Fauji Fertilizer Co Ltd		167,235
		Russia — 0.2%
	72,215	MMC Norilsk Nickel PJSC (b)		1,183,225
	3	MMC Norilsk Nickel PJSC ADR * (b)		5
	120,856	PhosAgro PJSC (b)		891,393

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	2,335	PhosAgro PJSC GDR * (b) (c)		5,753
	169,638	Ros Agro Plc GDR (Registered) * (b)		153,270
		Total Russia		2,233,646
		South Korea — 6.4%
	102,300	LG Chem Ltd		58,396,070
	2,346	Samsung SDI Co Ltd		1,324,382
		Total South Korea		59,720,452
		Spain — 0.3%
	146,332	Red Electrica Corp SA		2,562,045
		Switzerland — 0.2%
	17,491	Gurit Holding AG (a)		1,797,989
		Thailand — 0.1%
	2,418,500	SPCG Pcl		995,432
		Ukraine — 0.1%
	219,994	Kernel Holding SA		909,810
		United Kingdom — 1.0%
	616,344	Drax Group Plc		4,559,763
	219,465	National Grid Plc		2,699,657
	366,690	Renewi Plc *		2,477,298
		Total United Kingdom		9,736,718
		United States — 49.5%
	342,762	Aemetis, Inc. * (a)		1,888,619
	185,792	AGCO Corp.		24,658,314
	307,700	Alcoa Corp.		15,425,001
	701,560	Ameresco, Inc. – Class A * (a)		45,966,211
	687,361	BorgWarner, Inc.		29,219,716
	2,927,838	Clean Energy Fuels Corp. *		19,792,185
	26,363	Consolidated Edison, Inc.		2,584,629
	36,438	Constellation Energy Corp.		3,502,421
	127,724	Corteva, Inc.		8,577,944
	474,250	Darling Ingredients, Inc. *		34,065,377
	24,822	Deere & Co.		10,946,502
	37,466	Edison International		2,497,484
	52,691	EnerSys		3,982,386
	57,428	Exelon Corp.		2,375,796
	307,122	Freeport-McMoRan, Inc.		12,223,456
	1,171,395	Gevo, Inc. * (a)		2,553,641
	4,720,192	GrafTech International Ltd.		25,489,037
	669,331	Green Plains, Inc. *		23,132,079
	42,116	Johnson Controls International Plc		2,798,187
	450,737	Livent Corp. * (a)		12,616,129
	9,218	Montauk Renewables, Inc. *		111,261
	403,718	Mosaic Co. (The)		20,710,733
	211,748	Mueller Water Products, Inc. – Class A		2,468,982
	20,787	MYR Group, Inc. *		1,985,782
	78,265	ON Semiconductor Corp. *		5,885,528

Shares		Description	Value ($)
		United States — continued
	71,609	Owens Corning		6,361,744
	29,572	Pentair Plc		1,353,510
	162,881	PotlatchDeltic Corp. (REIT)		7,784,083
	99,023	Sensata Technologies Holding Plc		4,465,937
	185,024	SolarEdge Technologies, Inc. *		55,296,273
	1,737,111	Sunrun, Inc. *		56,595,076
	49,653	TE Connectivity Ltd.		6,262,236
	5,357	Valmont Industries, Inc.		1,814,202
	87,258	Westinghouse Air Brake Technologies Corp.		8,820,910
		Total United States		464,211,371
		TOTAL COMMON STOCKS (COST $872,805,349)		896,774,366
		PREFERRED STOCKS (d) — 1.4%
		Chile — 1.4%
	131,658	Sociedad Quimica y Minera de Chile SA Sponsored ADR		13,055,207
		TOTAL PREFERRED STOCKS (COST $6,029,670)		13,055,207
		MUTUAL FUNDS — 2.7%
		United States — 2.7%
		Affiliated Issuers — 2.7%
	24,945,517	GMO U.S. Treasury Fund (e)		24,945,517
		Total United States		24,945,517
		TOTAL MUTUAL FUNDS (COST $24,945,517)		24,945,517
		RIGHTS/WARRANTS — 0.0%
		Australia — 0.0%
	103,339	Sandfire Resources Ltd., expires 12/08/22 * (f)		—
		Total Australia		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	465,014	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (g)		465,014
		TOTAL SHORT-TERM INVESTMENTS (COST $465,014)		465,014
		TOTAL INVESTMENTS — 99.8% (Cost $904,245,550)		935,240,104
		Other Assets and Liabilities (net) — 0.2%		1,687,045
		TOTAL NET ASSETS — 100.0%		$936,927,149

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

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, 2022
PhosAgro PJSC GDR	08/09/19	$	36,037	0.0%	$	5,753

Notes to Schedule of Investments:

* 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) The security is restricted as to resale.

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

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

(f) Investment valued using significant unobservable inputs.

(g) The rate disclosed is the 7 day net yield as of November 30, 2022.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.7%
		Brazil — 2.0%
	36,200	BB Seguridade Participacoes SA		218,483
	51,600	CPFL Energia SA		347,026
	12,100	EDP – Energias do Brasil SA		49,479
	139,927	Enauta Participacoes SA		361,321
	3,700	Engie Brasil Energia SA		28,163
	65,104	Localiza Rent a Car SA		753,996
	199	Localiza Rent a Car SA GDR * (a)		2,305
	148,900	Transmissora Alianca de Energia Eletrica SA		991,069
	229,799	Vale SA Sponsored ADR – Class B		3,791,684
		Total Brazil		6,543,526
		Chile — 0.5%
	2,150,901	Banco de Chile		203,438
	116,506	Banco Santander Chile		4,536
	2,900	Banco Santander Chile ADR		45,269
	39,008	CAP SA		286,349
	88,363	Cencosud SA		131,746
	55,591	Cencosud Shopping SA		71,037
	29,700	Cia Cervecerias Unidas SA Sponsored ADR		361,746
	3,537,020	Colbun SA		314,695
	92,049	Inversiones La Construccion SA		290,671
		Total Chile		1,709,487
		Colombia — 0.1%
	147,767	Ecopetrol SA		70,088
	37,179	Ecopetrol SA Sponsored ADR		366,957
		Total Colombia		437,045
		Czech Republic — 0.2%
	705	Philip Morris CR AS		511,282
		Egypt — 0.4%
	525,037	Commercial International Bank Egypt SAE		860,512
	937,132	Eastern Co SAE		492,444
		Total Egypt		1,352,956
		Greece — 0.0%
	8,125	JUMBO SA		129,765
		Hungary — 1.3%
	111,083	MOL Hungarian Oil & Gas Plc		804,175
	118,658	OTP Bank Nyrt		3,271,609
	15,538	Richter Gedeon Nyrt		334,259
		Total Hungary		4,410,043
		India — 7.4%
	11,586	Aurobindo Pharma Ltd		67,209
	20,000	Axis Bank Ltd GDR (Registered)		1,129,027
	34,200	Azure Power Global Ltd *		195,282

Shares		Description	Value ($)
		India — continued
	25,111	Bandhan Bank Ltd *		73,777
	91,457	Bharat Electronics Ltd		119,004
	45,975	Castrol India Ltd		74,231
	1,753,236	Coal India Ltd		4,952,398
	20,616	Cochin Shipyard Ltd		169,771
	6,262	Colgate-Palmolive India Ltd		125,508
	12,719	Coromandel International Ltd		145,735
	5,540	Deepak Fertilisers & Petrochemicals Corp Ltd		55,409
	7,764	EID Parry India Ltd		57,962
	21,005	Exide Industries Ltd		48,977
	142,927	GAIL India Ltd		167,461
	11,674	GHCL Ltd		83,423
	7,994	Great Eastern Shipping Co Ltd (The)		65,738
	24,083	Gujarat Mineral Development Corp Ltd		46,957
	22,654	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		167,999
	61,744	Gujarat State Fertilizers & Chemicals Ltd		100,781
	14,438	HDFC Bank Ltd		286,963
	20,200	HDFC Bank Ltd ADR		1,425,514
	80,000	ICICI Bank Ltd Sponsored ADR		1,897,600
	60,266	Indian Oil Corp Ltd		57,175
	88,910	Infosys Ltd Sponsored ADR		1,809,319
	756,010	ITC Ltd		3,169,817
	69,015	L&T Finance Holdings Ltd		74,391
	7,891	Mahanagar Gas Ltd		87,860
	13,000	MakeMyTrip Ltd *		385,970
	123,425	Manappuram Finance Ltd		175,658
	18,198	Muthoot Finance Ltd		243,089
	891,724	National Aluminium Co Ltd		852,832
	1,076,206	Oil & Natural Gas Corp Ltd		1,883,681
	42,955	Oil India Ltd		109,065
	2,931	Oracle Financial Services Software Ltd		112,669
	84,216	Petronet LNG Ltd		220,932
	20,038	Piramal Enterprises Ltd		203,862
	122,936	Power Grid Corp of India Ltd		338,437
	21,815	Redington Ltd		48,681
	49,856	Reliance Industries Ltd		1,678,075
	2,915	Reliance Industries Ltd Sponsored GDR (Registered)		193,986
	16,440	Shriram Transport Finance Co Ltd		275,063
	31,450	Sun TV Network Ltd		191,301
	23,143	Welspun Corp Ltd		71,896
	6,400	WNS Holdings Ltd ADR *		539,648
	16,943	Zensar Technologies Ltd		46,810
		Total India		24,226,943
		Indonesia — 5.2%
	14,185,600	Adaro Energy Indonesia Tbk PT		3,510,530
	752,900	Adaro Minerals Indonesia Tbk PT *		78,011
	1,199,900	AKR Corporindo Tbk PT		106,012
	9,156,800	Bank Central Asia Tbk PT		5,439,858
	2,580,500	Bank Mandiri Persero Tbk PT		1,740,706

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	808,500	Bank Negara Indonesia Persero Tbk PT		512,177
	9,688,200	Bank Rakyat Indonesia Persero Tbk PT		3,081,941
	3,140,300	Bukit Asam Tbk PT		761,932
	19,000	Gudang Garam Tbk PT		24,095
	1,221,100	Indika Energy Tbk PT		226,365
	282,900	Indo Tambangraya Megah Tbk PT		753,478
	90,200	Telkom Indonesia Persero Tbk PT		23,269
	277,800	Tower Bersama Infrastructure Tbk PT		40,968
	422,600	United Tractors Tbk PT		831,230
		Total Indonesia		17,130,572
		Malaysia — 0.2%
	284,800	Hartalega Holdings Bhd		111,408
	367,400	Hibiscus Petroleum Bhd		92,092
	284,300	Kossan Rubber Industries Bhd		71,306
	71,700	Petronas Chemicals Group Bhd		138,170
	55,600	RHB Bank Bhd		70,431
	45,600	TIME dotCom Bhd		50,119
		Total Malaysia		533,526
		Mexico — 8.3%
	2,949,400	America Movil SAB de CV – Series L		2,866,241
	117,856	America Movil SAB de CV – Class L Sponsored ADR		2,293,478
	73,800	Arca Continental SAB de CV		614,299
	208,500	Banco del Bajio SA		677,457
	35,600	Cemex SAB de CV Sponsored ADR *		162,692
	6,300	Coca-Cola Femsa SAB de CV Sponsored ADR		430,353
	539,400	Credito Real SAB de CV SOFOM ER * (b)		—
	18,000	Fomento Economico Mexicano SAB de CV Sponsored ADR		1,437,660
	30,700	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		266,505
	62,600	Grupo Aeroportuario del Pacifico SAB de CV –Class B		1,016,804
	24,718	Grupo Aeroportuario del Sureste SAB de
		CV – Class B		613,018
	40	Grupo Aeroportuario del Sureste SAB de
		CV ADR		9,891
	1,389,673	Grupo Financiero Banorte SAB de CV –
		Class O		11,153,253
	183,200	Grupo Mexico SAB de CV – Series B		745,372
	58,100	Grupo Televisa SAB Sponsored ADR		317,226
	132,100	Qualitas Controladora SAB de CV		556,156
	82,300	Regional SAB de CV		600,891
	58,876	Sitios Latinoamerica SAB de CV *		26,243
	836,000	Wal-Mart de Mexico SAB de CV		3,303,877
		Total Mexico		27,091,416
		Philippines — 0.2%
	327,900	Converge Information and
		Communications Technology Solutions Inc *		90,310

Shares		Description	Value ($)
		Philippines — continued
	43,130	GT Capital Holdings Inc		336,127
	420,300	Puregold Price Club Inc		264,938
		Total Philippines		691,375
		Poland — 1.6%
	49,536	Bank Polska Kasa Opieki SA		947,533
	43,603	Orange Polska SA		61,411
	187,179	Polski Koncern Naftowy ORLEN SA		2,755,124
	191,106	Powszechny Zaklad Ubezpieczen SA		1,368,071
		Total Poland		5,132,139
		Qatar — 0.7%
	423,354	Qatar National Bank QPSC		2,288,834
		Russia — 1.2%
	4,036,000	Alrosa PJSC * (b) (c)		300,552
	434,347	Etalon Group Plc GDR (Registered) (b)		24,383
	131,280	Evraz Plc (b)		3,239
	236,860,000	Federal Grid Co Unified Energy System PJSC * (b)		23,447
	102,255	Gazprom Neft PJSC (b)		54,858
	897,812	Gazprom PJSC (b)		172,706
	6,151,400	Inter RAO UES PJSC * (b)		23,144
	122,088	LUKOIL PJSC (b)		643,920
	4,327,340	Magnitogorsk Iron & Steel Works PJSC * (b) (c)		155,093
	7,832	MMC Norilsk Nickel PJSC (b)		128,325
	5	MMC Norilsk Nickel PJSC ADR * (b)		8
	172,200	Mobile TeleSystems PJSC ADR * (b)		93,206
	88,090	Moscow Exchange MICEX-RTS PJSC * (b)		8,770
	93,370	Novatek PJSC (b)		110,465
	1,403,510	Novolipetsk Steel PJSC * (b)		170,588
	4,917	PhosAgro PJSC (b)		36,266
	95	PhosAgro PJSC GDR * (b) (c)		234
	276,810	Polymetal International Plc *		802,683
	11,902	Polyus PJSC * (b)		98,298
	4,917	Ros Agro Plc GDR (Registered) * (b)		4,443
	50,074,400	RusHydro PJSC * (b)		43,315
	3,446,432	Sberbank of Russia PJSC * (b) (c)		535,712
	140,607	Severstal PJSC GDR (Registered) * (b) (c)		127,290
	2,387,800	Surgutneftegas PJSC (b)		59,162
	657,084	Tatneft PJSC (b)		274,430
	9,408	TCS Group Holding Plc GDR (Registered) * (b)		29,294
		Total Russia		3,923,831
		South Africa — 5.8%
	10,527	Absa Group Ltd		126,232
	27,663	Anglo American Platinum Ltd		2,796,027
	7,736	Aspen Pharmacare Holdings Ltd		64,197
	43,668	AVI Ltd		187,356
	9,210	Capitec Bank Holdings Ltd		1,093,458
	5,110	Clicks Group Ltd		87,910
	10,707	Exxaro Resources Ltd		140,048

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	997,320	FirstRand Ltd		3,876,058
	57,321	Foschini Group Ltd (The)		349,455
	70,000	Gold Fields Ltd Sponsored ADR		780,500
	78,508	Impala Platinum Holdings Ltd		954,153
	15,664	Investec Ltd		94,543
	48,049	Kumba Iron Ore Ltd		1,357,441
	11,996	Motus Holdings Ltd		81,888
	59,533	Mr Price Group Ltd		581,863
	75,532	MTN Group Ltd		618,958
	7,498	Nedbank Group Ltd		99,111
	96,694	Ninety One Ltd		225,833
	1,228,743	Old Mutual Ltd		789,312
	11,305	Omnia Holdings Ltd		46,034
	2,739	Reinet Investments SCA		48,353
	171,744	Sanlam Ltd		563,929
	6,614	Shoprite Holdings Ltd		96,517
	183,551	Sibanye Stillwater Ltd		510,715
	90,100	Sibanye Stillwater Ltd ADR		1,010,021
	976	Standard Bank Group Ltd		10,168
	29,390	Thungela Resources Ltd		536,463
	39,085	Tiger Brands Ltd		440,887
	73,929	Truworths International Ltd		244,923
	152,555	Vodacom Group Ltd		1,111,043
	9,463	Woolworths Holdings Ltd		36,035
		Total South Africa		18,959,431
		South Korea — 22.4%
	106	AfreecaTV Co Ltd		7,092
	5,449	Alteogen Inc *		151,424
	3,855	AMOREPACIFIC Group		92,513
	1,979	BGF retail Co Ltd		310,579
	22,560	BH Co Ltd		455,920
	1,248	Caregen Co Ltd		105,997
	18,784	Cheil Worldwide Inc		348,401
	294	CJ CheilJedang Corp		88,676
	939	CJ ENM Co Ltd		59,664
	951	CJ Logistics Corp *		63,744
	4,144	Coway Co Ltd		182,447
	9,357	Daeduck Electronics Co Ltd		168,524
	42,172	Daou Data Corp		907,861
	11,560	DB HiTek Co Ltd		401,016
	6,720	DB Insurance Co Ltd		319,413
	5,486	DL E&C Co Ltd		177,179
	135,863	Dongwon Development Co Ltd		373,144
	542	GOLFZON Co Ltd		45,917
	496	Green Cross Corp		48,515
	9,935	GS Engineering & Construction Corp		179,685
	3,508	GS Holdings Corp		130,389
	4,117	HAESUNG DS Co Ltd		135,021
	46,799	Hana Financial Group Inc		1,600,621
	2,024	Handsome Co Ltd		40,202
	10,799	Hankook Tire & Technology Co Ltd		282,037

Shares		Description	Value ($)
		South Korea — continued
	1,117	HD Hyundai Co Ltd		55,230
	5,281	HDC Hyundai Development
		Co-Engineering & Construction		44,911
	16,997	HMM Co Ltd		292,928
	5,979	Huchems Fine Chemical Corp		98,778
	6,968	Hyundai Engineering & Construction Co Ltd		220,254
	5,064	Hyundai Glovis Co Ltd		686,977
	20,479	Hyundai Marine & Fire Insurance Co Ltd		472,384
	7,625	Hyundai Mobis Co Ltd		1,248,049
	7,367	Industrial Bank of Korea		63,059
	3,573	Innox Advanced Materials Co Ltd		80,329
	9,829	INTOPS Co Ltd		227,264
	1,499	JYP Entertainment Corp		70,061
	67,952	KB Financial Group Inc		2,698,220
	4,472	KCC Glass Corp		140,537
	2,085	KEPCO Plant Service & Engineering Co Ltd		55,096
	58,333	Kia Corp		3,072,043
	2,578	Korea Investment Holdings Co Ltd		114,597
	1,070	Korea Petrochemical Ind Co Ltd		133,471
	116,597	Korea Real Estate Investment & Trust Co Ltd		124,490
	5,057	Korea Zinc Co Ltd		2,444,801
	65,921	KT Skylife Co Ltd		432,372
	91,746	KT&G Corp		6,961,602
	11,229	Kumho Petrochemical Co Ltd		1,291,654
	496	LG H&H Co Ltd		250,301
	837	LG Innotek Co Ltd		201,799
	5,704	LOTTE Fine Chemical Co Ltd		273,216
	2,666	LX International Corp		84,007
	14,417	LX Semicon Co Ltd		983,717
	2,904	MegaStudyEdu Co Ltd		173,855
	6,256	Meritz Financial Group Inc		182,270
	70,900	Meritz Securities Co Ltd		318,921
	17,969	Mirae Asset Securities Co Ltd		91,709
	399	NCSoft Corp		144,540
	2,107	Neowiz *		65,838
	20,454	NH Investment & Securities Co Ltd		150,961
	421	NongShim Co Ltd		105,568
	4,910	Orion Corp		440,906
	16,838	POSCO Holdings Inc		3,854,220
	14,500	POSCO Holdings Inc Sponsored ADR		827,370
	6,276	PSK Inc		87,157
	2,319	S-1 Corp		113,427
	500	Samsung C&T Corp		46,904
	5,553	Samsung Electro-Mechanics Co Ltd		607,875
	518,967	Samsung Electronics Co Ltd		24,935,820
	3,384	Samsung Fire & Marine Insurance Co Ltd		531,156
	1,480	Samsung Life Insurance Co Ltd		83,084
	4,930	Samsung SDS Co Ltd		481,721
	9,430	Samsung Securities Co Ltd		255,197
	1,393	Samyang Foods Co Ltd		118,985
	44,435	SD Biosensor Inc		1,124,196
	27,968	Seegene Inc		654,664

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	3,284	SFA Engineering Corp		101,000
	82,406	Shinhan Financial Group Co Ltd		2,388,960
	1,653	SK Chemicals Co Ltd		112,856
	6,867	SK Hynix Inc		453,222
	549	SK Square Co Ltd *		15,906
	1,928	S-Oil Corp		127,649
	617	Soulbrain Co Ltd		101,425
	13,389	Spigen Korea Co Ltd		352,071
	757	Unid Co Ltd		57,053
	1,188	UNIDBTPLUS Co Ltd *		5,727
	444,129	Woori Financial Group Inc		4,436,820
	42,655	Woori Technology Investment Co Ltd *		147,507
	79	Young Poong Corp		46,208
	1,249	Youngone Corp		45,510
	1,639	Yuhan Corp		73,262
		Total South Korea		73,359,648
		Taiwan — 26.3%
	447,000	Acer Inc		358,743
	8,000	Advanced Ceramic X Corp		48,709
	28,000	Advantech Co Ltd		304,789
	1,011,850	AmTRAN Technology Co Ltd		319,607
	118,000	Asia Cement Corp		158,558
	7,000	ASMedia Technology Inc		167,834
	187,000	Asustek Computer Inc		1,625,423
	86,000	Aten International Co Ltd		215,836
	20,000	Aurora Corp		50,984
	694,000	Catcher Technology Co Ltd		4,139,734
	2,001,000	Cathay Financial Holding Co Ltd		2,847,539
	151,900	Chailease Holding Co Ltd		1,002,598
	164,000	Chicony Electronics Co Ltd		444,264
	601,176	China Development Financial Holding Corp		262,468
	469,000	China General Plastics Corp		341,488
	2,146,000	China Steel Corp		2,037,164
	245,000	Chipbond Technology Corp		465,674
	107,000	ChipMOS Technologies Inc		118,007
	20,000	Chroma ATE Inc		130,480
	398,000	Chunghwa Telecom Co Ltd		1,465,002
	33,000	Elan Microelectronics Corp		97,059
	48,000	Elite Material Co Ltd		301,470
	953,600	Evergreen Marine Corp Taiwan Ltd		5,119,640
	68,000	Everlight Electronics Co Ltd		83,290
	91,000	Far Eastern New Century Corp		96,316
	40,000	Feng Hsin Steel Co Ltd		87,110
	244,000	First Financial Holding Co Ltd		208,273
	15,000	FLEXium Interconnect Inc *		52,398
	110,000	Formosa Advanced Technologies Co Ltd		141,923
	49,000	Formosa Chemicals & Fibre Corp		121,318
	17,000	Formosa International Hotels Corp		131,184
	1,066,000	Formosa Plastics Corp		3,126,688
	405,897	Foxconn Technology Co Ltd		689,942
	1,720,500	Fubon Financial Holding Co Ltd		3,417,289

Shares		Description	Value ($)
		Taiwan — continued
	34,000	Getac Technology Corp		47,285
	162,000	Gigabyte Technology Co Ltd		577,375
	21,000	Global Mixed Mode Technology Inc		101,561
	449,000	Grand Pacific Petrochemical		304,858
	85,000	Greatek Electronics Inc		135,805
	1,384,000	HannStar Display Corp		517,722
	41,000	Holtek Semiconductor Inc		95,605
	1,512,000	Hon Hai Precision Industry Co Ltd		4,950,721
	14,000	International Games System Co Ltd		177,808
	169,000	Inventec Corp		136,374
	7,000	King Slide Works Co Ltd		94,350
	391,000	King’s Town Bank Co Ltd		443,433
	104,000	Kung Long Batteries Industrial Co Ltd		465,826
	91,000	Largan Precision Co Ltd		6,856,459
	736,000	Lite-On Technology Corp		1,570,733
	18,000	Makalot Industrial Co Ltd		137,037
	467,000	Micro-Star International Co Ltd		1,882,051
	247,000	Mitac Holdings Corp		239,221
	648,000	Nan Ya Plastics Corp		1,620,756
	208,528	Nantex Industry Co Ltd		263,684
	250,000	Nanya Technology Corp		466,530
	6,000	Nien Made Enterprise Co Ltd		56,960
	313,000	Novatek Microelectronics Corp		3,066,859
	91,000	Phison Electronics Corp		977,336
	32,000	Powertech Technology Inc		87,275
	190,000	Primax Electronics Ltd		358,528
	242,000	Radiant Opto-Electronics Corp		827,612
	22,000	Raydium Semiconductor Corp		225,130
	18,000	Realtek Semiconductor Corp		187,127
	130,000	Shanghai Commercial & Savings Bank Ltd (The)		214,816
	59,000	Simplo Technology Co Ltd		584,663
	9,000	Sinbon Electronics Co Ltd		79,501
	34,000	Sonix Technology Co Ltd		54,021
	10,000	Sporton International Inc		67,449
	69,000	Synnex Technology International Corp		131,213
	39,000	T3EX Global Holdings Corp		100,766
	38,000	TaiDoc Technology Corp		227,466
	109,200	Taita Chemical Co Ltd		79,231
	273,000	Taiwan Glass Industry Corp		207,641
	23,000	Taiwan Hon Chuan Enterprise Co Ltd		60,342
	283,000	Taiwan PCB Techvest Co Ltd		337,358
	172,300	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		14,297,454
	140,000	Taiwan Union Technology Corp		262,335
	30,000	TCI Co Ltd		136,997
	82,000	Tripod Technology Corp		258,869
	36,000	Tung Ho Steel Enterprise Corp		62,793
	23,000	TXC Corp		62,837
	108,000	United Integrated Services Co Ltd		631,358
	97,000	Universal Inc		77,650
	505,000	USI Corp		369,384
	82,000	Vanguard International Semiconductor Corp		222,680

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	27,000	Walsin Technology Corp		77,386
	791,250	Wan Hai Lines Ltd		1,981,158
	37,000	Weikeng Industrial Co Ltd		32,381
	60,000	WPG Holdings Ltd		94,714
	3,473,000	Yang Ming Marine Transport Corp		7,555,908
	928,580	Yuanta Financial Holding Co Ltd		683,237
		Total Taiwan		86,002,430
		Thailand — 1.7%
	166,900	AP Thailand Pcl NVDR		48,044
	30,200	Bangchak Corp Pcl NVDR		27,521
	353,200	Chularat Hospital Pcl NVDR		37,104
	116,300	CP ALL Pcl NVDR		215,322
	28,200	Kasikornbank Pcl NVDR		116,201
	28,600	Kiatnakin Phatra Bank Pcl NVDR		58,338
	96,700	Krung Thai Bank Pcl NVDR		48,527
	55,900	Major Cineplex Group Pcl NVDR		31,239
	32,400	Mega Lifesciences Pcl NVDR		43,194
	835,700	PTT Exploration & Production Pcl NVDR		4,455,964
	195,900	Regional Container Lines Pcl NVDR		167,983
	613,200	Sri Trang Gloves Thailand Pcl NVDR		174,460
	182,100	Star Petroleum Refining Pcl NVDR		60,193
	41,600	Tisco Financial Group Pcl NVDR		115,400
		Total Thailand		5,599,490
		Turkey — 0.5%
	1,160,444	Akbank TAS		1,085,469
	278,414	Enerjisa Enerji AS		434,686
	17,964	Is Yatirim Menkul Degerler AS		46,044
	14,603	Mavi Giyim Sanayi Ve Ticaret AS – Class B		89,543
	29,627	Vestel Beyaz Esya Sanayi ve Ticaret AS		20,247
		Total Turkey		1,675,989
		United Kingdom — 0.6%
	35,882	Unilever Plc		1,794,140
		Vietnam — 3.1%
	376,500	Duc Giang Chemicals JSC		940,010
	2,483,100	Hoa Phat Group JSC		1,868,573
	784,900	Hoa Sen Group *		362,088
	296,900	IDICO Corp JSC		434,991
	570,800	Nam Kim Steel JSC		257,072
	83,700	PetroVietNam Ca Mau Fertilizer JSC		100,010
	69,900	Petrovietnam Fertilizer & Chemicals JSC		117,015
	17,100	PetroVietnam Nhon Trach 2 Power JSC		19,040
	138,600	PetroVietnam Technical Services Corp		119,594
	46,700	Phat Dat Real Estate Development Corp *		25,970
	998,075	Saigon – Hanoi Commercial Joint Stock Bank *		414,166
	605,800	Saigon Thuong Tin Commercial JSB *		497,766
	1,618,500	SSI Securities Corp		1,280,457
	215,700	Vietnam Dairy Products JSC		727,675

Shares		Description	Value ($)
		Vietnam — continued
	778,900	Vietnam Joint Stock Commercial Bank for Industry and Trade		869,874
	241,700	Vinhomes JSC		537,413
	3,043,200	VNDirect Securities Corp		1,704,017
		Total Vietnam		10,275,731
		TOTAL COMMON STOCKS (COST $377,119,882)		293,779,599
		PREFERRED STOCKS (d) — 5.9%
		Brazil — 5.8%
	13,200	Banco do Estado do Rio Grande do Sul SA – Class B		25,361
	245,520	Cia Energetica de Minas Gerais		543,145
	60	Cia Energetica de Minas Gerais Sponsored ADR		131
	248,900	Cia Paranaense de Energia – Class B		387,546
	98,200	Gerdau SA		597,411
	87,300	Gerdau SA Sponsored ADR		532,530
	2,330,700	Petroleo Brasileiro SA		11,973,843
	470,305	Petroleo Brasileiro SA Sponsored ADR		4,820,626
	6,391	Unipar Carbocloro SA – Class B		119,683
		Total Brazil		19,000,276
		Chile — 0.0%
	24,477	Embotelladora Andina SA – Class B		47,186
		Russia — 0.1%
	3,948,700	Surgutneftegas PJSC (b)		112,421
	315	Transneft PJSC (b)		31,977
		Total Russia		144,398
		South Korea — 0.0%
	75	LG H&H Co Ltd		15,895
		Taiwan — 0.0%
	224,635	China Development Financial Holding Corp		55,038
		TOTAL PREFERRED STOCKS (COST $23,035,965)		19,262,793
		MUTUAL FUNDS — 3.8%
		United States — 3.8%
		Affiliated Issuers — 3.8%
	2,514,425	GMO U.S. Treasury Fund		12,521,838
		Total United States		12,521,838
		TOTAL MUTUAL FUNDS (COST $12,521,838)		12,521,838

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	1,708,508	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (e)		1,708,508
		U.S. Government — 0.0%
	10,000	U.S. Treasury Bill, 4.04%, due 02/02/23 (f)		9,930
		TOTAL SHORT-TERM INVESTMENTS (COST $1,718,456)		1,718,438
		TOTAL INVESTMENTS — 99.9% (Cost $414,396,141)		327,282,668
		Other Assets and Liabilities (net) — 0.1%		362,243
		TOTAL NET ASSETS — 100.0%		$327,644,911

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, 2022
Alrosa PJSC	10/18/21	$	7,054,956	0.1%	$	300,552
Magnitogorsk Iron & Steel Works PJSC	10/18/21		4,011,995	0.0%		155,093
PhosAgro PJSC GDR	10/18/21		2,465	0.0%		234
Sberbank of Russia PJSC	10/18/21		16,614,391	0.2%		535,712
Severstal PJSC GDR (Registered)	10/18/21		3,190,235	0.0%		127,290
					$	1,118,881

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

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

(c) The security is restricted as to resale.

(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, 2022.

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

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private 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, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 91.5%
		Brazil — 2.3%
	99,000	Cia Brasileira de Aluminio		230,838
	87,500	EDP – Energias do Brasil SA		357,800
	366,386	Enauta Participacoes SA		946,086
	38,100	Engie Brasil Energia SA		290,008
	903,217	Localiza Rent a Car SA		10,460,528
	2,771	Localiza Rent a Car SA GDR * (a)		32,092
	919,300	Vale SA Sponsored ADR – Class B		15,168,450
		Total Brazil		27,485,802
		Chile — 0.1%
	30,434	CAP SA		223,410
	87,708	Cencosud Shopping SA		112,077
	8,007,851	Colbun SA		712,472
		Total Chile		1,047,959
		China — 22.6%
	2,476,000	361 Degrees International Ltd *		1,083,218
	585,500	3SBio Inc		621,106
	362,000	Agile Group Holdings Ltd * (b)		119,221
	222,000	AK Medical Holdings Ltd		218,562
	10,060,000	Alibaba Pictures Group Ltd *		547,373
	806,500	A-Living Smart City Services Co Ltd		932,370
	248,600	Anhui Expressway Co Ltd – Class A		249,853
	354,000	Anhui Expressway Co Ltd – Class H		270,066
	23,400	ANTA Sports Products Ltd		278,115
	284,800	Autohome Inc – Class A (b)		2,117,421
	373,300	Autohome Inc ADR		11,161,670
	69,400	CanSino Biologics Inc – Class H		883,610
	1,008,000	China BlueChemical Ltd – Class H		234,366
	6,658,541	China Coal Energy Co Ltd – Class A		9,126,228
	4,725,878	China Communications Services Corp Ltd – Class H		1,629,161
	17,638,148	China Construction Bank Corp – Class H		10,674,605
	2,665,000	China Dongxiang Group Co Ltd		110,548
	947,000	China Education Group Holdings Ltd		1,013,082
	399,000	China Everbright Environment Group Ltd		184,616
	20,128,000	China Feihe Ltd		16,460,787
	2,767,000	China Hongqiao Group Ltd		2,614,993
	1,216,000	China Lesso Group Holdings Ltd		1,490,762
	877,000	China Medical System Holdings Ltd		1,284,489
	1,802,000	China Oriental Group Co Ltd		323,645
	12,914,332	China Petroleum & Chemical Corp – Class A		8,206,648
	310,000	China Resources Cement Holdings Ltd		167,086
	710,000	China Resources Land Ltd		3,297,889
	4,827,931	China Shenhua Energy Co Ltd – Class A		20,805,516
	294,000	China Shenhua Energy Co Ltd – Class H		911,239
	168,000	China State Construction International Holdings Ltd		202,865
	889,000	China Suntien Green Energy Corp Ltd – Class H		367,621

Shares		Description	Value ($)
		China — continued
	177,481	China Tourism Group Duty Free Corp Ltd – Class A		4,980,685
	992,000	China Traditional Chinese Medicine Holdings Co Ltd		497,371
	732,000	China Yuhua Education Corp Ltd – Class L *		104,023
	5,502,000	CIFI Holdings Group Co Ltd		831,187
	2,585,500	COSCO Shipping Holdings Co Ltd – Class A		4,618,270
	2,301,000	Country Garden Services Holdings Co Ltd		5,753,586
	1,209,000	Dongyue Group Ltd		1,353,624
	299,000	Fufeng Group Ltd		190,488
	177,000	Greentown Management Holdings Co Ltd		155,904
	198,000	Guangdong Investment Ltd		181,499
	56,000	Haitian International Holdings Ltd		144,105
	177,122	Hangzhou Robam Appliances Co Ltd – Class A		651,552
	250,000	Hansoh Pharmaceutical Group Co Ltd		472,414
	482,900	Hello Group Inc Sponsored ADR		2,771,846
	83,500	Hengan International Group Co Ltd		384,889
	228,300	Hopson Development Holdings Ltd		259,546
	10,248,000	Hua Han Health Industry Holdings Ltd (c)		1
	408,000	Huabao International Holdings Ltd (b)		216,823
	250,800	Huayu Automotive Systems Co Ltd – Class A		653,642
	26,375	HUTCHMED China Ltd ADR *		319,929
	8,511,224	Inner Mongolia Eerduosi Resources Co Ltd – Class A		19,388,669
	1,002,000	Inner Mongolia Yitai Coal Co Ltd – Class H		1,430,370
	1,235,000	Jinxin Fertility Group Ltd		956,574
	19,800	JOYY Inc ADR		603,108
	354,500	Kingboard Laminates Holdings Ltd		374,308
	25,749	Kweichow Moutai Co Ltd – Class A		5,802,745
	407,000	KWG Group Holdings Ltd *		94,366
	467,000	Lee & Man Paper Manufacturing Ltd		180,914
	463,500	Longfor Group Holdings Ltd (b)		1,412,185
	1,785,000	Lonking Holdings Ltd		319,121
	128,800	Midea Group Co Ltd – Class A		876,411
	1,066,000	Ming Yuan Cloud Group Holdings Ltd		820,215
	1,324,000	MMG Ltd *		348,451
	328,400	NetEase Inc		4,748,215
	75,181	NetEase Inc ADR		5,346,873
	660,000	Orient Overseas International Ltd		12,540,878
	12,029,000	PICC Property & Casualty Co Ltd – Class H		12,186,667
	945,374	Ping An Insurance Group Co of China Ltd – Class A		5,995,886
	349,500	Ping An Insurance Group Co of China Ltd – Class H		2,157,814
	4,348,400	Qingling Motors Co Ltd – Class H		528,776
	1,138,000	Seazen Group Ltd *		509,925
	165,800	Shandong Publishing & Media Co Ltd – Class A		150,566
	462,400	Shandong Weigao Group Medical Polymer Co Ltd – Class H		671,316
	87,989	Shanghai Waigaoqiao Free Trade Zone Group Co Ltd – Class A		156,746
	1,201,681	Shenzhen YUTO Packaging Technology Co Ltd – Class A		5,547,782

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		China — continued
	582,000	Shougang Fushan Resources Group Ltd		197,342
	2,000,500	Sinopec Engineering Group Co Ltd – Class H		822,620
	1,510,000	Sinotruk Hong Kong Ltd		1,981,967
	1,489,000	Sunac China Holdings Ltd * (a)		873,085
	144,000	Sunac Services Holdings Ltd (b)		59,791
	645,400	Sunny Optical Technology Group Co Ltd		7,683,395
	631,065	Tencent Holdings Ltd		23,864,539
	155,300	Tencent Holdings Ltd ADR (b)		5,868,787
	252,000	Tianneng Power International Ltd		272,181
	417,000	Topsports International Holdings Ltd		265,331
	591,631	Vipshop Holdings Ltd ADR *		6,596,686
	290,000	Want Want China Holdings Ltd		196,775
	124,000	Wharf Holdings Ltd (The)		334,172
	999,400	Xiaomi Corp – Class B *		1,320,429
	204,400	Xinhua Winshare Publishing and Media Co Ltd – Class A		299,768
	779,500	Xtep International Holdings Ltd		895,984
	258,000	Yadea Group Holdings Ltd		489,476
	1,519,815	Yankuang Energy Group Co Ltd – Class A		8,695,305
	258,000	Yankuang Energy Group Co Ltd – Class H		866,286
	1,252,000	Zhejiang Expressway Co Ltd – Class H		934,944
	37,507	Zhejiang Supor Co Ltd – Class A		242,322
	789,400	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		366,860
		Total China		268,407,041
		Colombia — 0.0%
	469,783	Ecopetrol SA		222,826
		Czech Republic — 0.1%
	402,616	Moneta Money Bank AS		1,238,422
	745	Philip Morris CR AS		540,291
		Total Czech Republic		1,778,713
		Egypt — 0.1%
	444,984	Commercial International Bank Egypt SAE		729,309
		Greece — 0.0%
	12,682	JUMBO SA		202,544
	9,006	Motor Oil Hellas Corinth Refineries SA		181,796
		Total Greece		384,340
		Hungary — 1.6%
	130,081	Magyar Telekom Telecommunications Plc		109,980
	222,820	MOL Hungarian Oil & Gas Plc		1,613,084
	595,318	OTP Bank Nyrt		16,413,962
	31,501	Richter Gedeon Nyrt		677,661
		Total Hungary		18,814,687
		India — 7.4%
	205,098	Asian Paints Ltd		8,026,342
	703,602	Axis Bank Ltd		7,806,200

Shares		Description	Value ($)
		India — continued
	39,571	Balrampur Chini Mills Ltd		187,176
	110,764	Castrol India Ltd		178,840
	92,716	City Union Bank Ltd		217,812
	976	Clean Science & Technology Ltd		18,102
	68,208	Coal India Ltd		192,668
	60,707	Cochin Shipyard Ltd		499,916
	17,236	Colgate-Palmolive India Ltd		345,458
	34,439	Coromandel International Ltd		394,605
	27,653	Deepak Fertilisers & Petrochemicals Corp Ltd		276,572
	19,887	EID Parry India Ltd		148,466
	93,157	Exide Industries Ltd		217,212
	11,221,529	Gayatri Projects Ltd * (d)		1,278,690
	38,858	GHCL Ltd		277,681
	34,544	Great Eastern Shipping Co Ltd (The)		284,067
	80,321	Gujarat Mineral Development Corp Ltd		156,608
	164,312	Gujarat State Fertilizers & Chemicals Ltd		268,198
	148,267	HCL Technologies Ltd		2,060,234
	181,064	HDFC Bank Ltd		3,598,748
	158,429	Hindustan Zinc Ltd		601,036
	200,845	Housing Development Finance Corp Ltd		6,679,678
	1,066,601	ICICI Bank Ltd		12,491,703
	608,400	Infosys Ltd Sponsored ADR		12,380,940
	1,054,022	Kiri Industries Ltd *		6,445,265
	315,542	L&T Finance Holdings Ltd		340,121
	142,751	Larsen + Toubro Infotech Ltd (a)		8,586,516
	19,259	Mahanagar Gas Ltd		214,434
	536,668	Manappuram Finance Ltd		763,784
	307,766	NCC Ltd		314,609
	92,024	Oil India Ltd		233,654
	7,091	Oracle Financial Services Software Ltd		272,582
	546,410	Petronet LNG Ltd		1,433,450
	9,504	PI Industries Ltd		410,211
	6,504	Polyplex Corp Ltd		144,151
	160,678	Redington Ltd		358,561
	913	Shriram Transport Finance Co Ltd		15,213
	112,841	Sun TV Network Ltd		686,378
	248,783	Titan Co Ltd		8,177,986
	49,711	Welspun Corp Ltd		154,432
		Total India		87,138,299
		Indonesia — 4.0%
	27,417,200	Adaro Energy Indonesia Tbk PT		6,784,973
	2,393,700	Adaro Minerals Indonesia Tbk PT *		248,020
	30,524,500	Bank Central Asia Tbk PT		18,133,951
	5,749,500	Bank Mandiri Persero Tbk PT		3,878,391
	4,913,200	Bank Negara Indonesia Persero Tbk PT		3,112,465
	10,241,900	Bank Pembangunan Daerah Jawa Timur Tbk PT		475,772
	29,762,800	Bank Rakyat Indonesia Persero Tbk PT		9,467,929
	6,394,500	Bukit Asam Tbk PT		1,551,500
	60,300	Gudang Garam Tbk PT		76,470
	622,691	Indo Tambangraya Megah Tbk PT		1,658,479
	19,696,600	Panin Financial Tbk PT		592,726

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	883,300	Tower Bersama Infrastructure Tbk PT		130,264
	444,500	United Tractors Tbk PT		874,306
		Total Indonesia		46,985,246
		Kuwait — 0.1%
	56,336	Humansoft Holding Co KSC		615,911
		Malaysia — 0.1%
	1,058,600	Hartalega Holdings Bhd		414,104
	1,291,200	Hibiscus Petroleum Bhd		323,649
	1,240,300	Kossan Rubber Industries Bhd		311,084
	254,600	RHB Bank Bhd		322,513
		Total Malaysia		1,371,350
		Mexico — 6.3%
	4,912,000	America Movil SAB de CV – Series L		4,773,505
	426,536	America Movil SAB de CV – Class L Sponsored ADR		8,300,390
	308,100	Banco del Bajio SA		1,001,077
	59,300	Cemex SAB de CV Sponsored ADR *		271,001
	90,100	Concentradora Fibra Danhos SA de CV (REIT)		109,041
	315,700	Credito Real SAB de CV SOFOM ER * (c)		—
	100	Fomento Economico Mexicano SAB de CV Sponsored ADR		7,987
	373,300	Grupo Aeroportuario del Pacifico SAB de CV – Class B		6,063,465
	122,639	Grupo Aeroportuario del Sureste SAB de CV – Class B		3,041,503
	13,600	Grupo Aeroportuario del Sureste SAB de CV ADR		3,363,144
	4,612,296	Grupo Financiero Banorte SAB de CV – Class O		37,017,417
	444,000	Grupo Mexico SAB de CV – Series B		1,806,468
	565,900	Grupo Televisa SAB		623,270
	360,300	Grupo Televisa SAB Sponsored ADR		1,967,238
	167,100	Regional SAB de CV		1,220,036
	187,181	Sitios Latinoamerica SAB de CV *		83,433
	1,336,400	Wal-Mart de Mexico SAB de CV		5,281,461
		Total Mexico		74,930,436
		Panama — 0.0%
	1,591,142	BAC Holding International Corp *		90,960
		Philippines — 0.3%
	2,534,500	Converge Information and Communications Technology Solutions Inc *		698,054
	148,630	GT Capital Holdings Inc		1,158,326
	16,607,800	Megaworld Corp		660,826
	1,435,900	Puregold Price Club Inc		905,125
		Total Philippines		3,422,331
		Poland — 1.0%
	112,197	Bank Polska Kasa Opieki SA		2,146,123

Shares		Description	Value ($)
		Poland — continued
	24,738	Budimex SA		1,513,368
	37,495	KGHM Polska Miedz SA		992,554
	138,622	Orange Polska SA		195,238
	489,157	Polski Koncern Naftowy ORLEN SA		7,199,998
		Total Poland		12,047,281
		Qatar — 0.7%
	1,465,741	Qatar National Bank QPSC		7,924,426
	515,825	Qatar National Cement Co QSC		652,288
		Total Qatar		8,576,714
		Russia — 1.5%
	31,701,260	Alrosa PJSC * (c) (e)		2,360,724
	380,350	Detsky Mir PJSC * (c)		30,435
	39,977	Evraz Plc (c)		986
	1,432,600,000	Federal Grid Co Unified Energy System PJSC * (c)		141,816
	653,911	Fix Price Group Ltd GDR * (c)		161,696
	219,070	Gazprom Neft PJSC (c)		117,528
	1,250,860	Gazprom PJSC (c)		240,620
	575,658	Globaltrans Investment Plc Sponsored GDR (Registered) * (c)		213,794
	78,536,400	Inter RAO UES PJSC * (c)		295,485
	239,440	LSR Group PJSC – Class A * (c)		128,703
	3	LSR Group PJSC GDR (Registered) (c)		—
	285,469	LUKOIL PJSC (c)		1,505,630
	17,490,987	Magnitogorsk Iron & Steel Works PJSC * (c) (e)		626,881
	474,800	Mechel PJSC * (c)		55,280
	37,212	MMC Norilsk Nickel PJSC (c)		609,710
	5	MMC Norilsk Nickel PJSC ADR * (c)		8
	249,660	Mobile TeleSystems PJSC (c)		67,428
	35,508	Mobile TeleSystems PJSC ADR * (c)		19,219
	4,133,417	Moscow Exchange MICEX-RTS PJSC * (c)		411,499
	10,015,560	Novolipetsk Steel PJSC * (c)		1,217,328
	11,924	PhosAgro PJSC (c)		87,947
	230	PhosAgro PJSC GDR * (c) (e)		567
	916,204	Polymetal International Plc *		2,656,774
	80,094	Polyus PJSC * (c)		661,489
	24,938,000	RusHydro PJSC * (c)		21,572
	13,125,612	Sberbank of Russia PJSC * (c) (e)		2,040,240
	706,464	Severstal PJSC GDR (Registered) * (c) (e)		639,553
	68,353	SFI PJSC * (c)		35,737
	63,500,900	Surgutneftegas PJSC (c)		1,573,345
	2,860,038	Tatneft PJSC (c)		1,194,491
	8,118,000	Unipro PJSC (c)		12,897
	556,430	United Co Rusal International PJSC (c)		24,449
	46,698	X5 Retail Group NV GDR (Registered) (c)		53,606
		Total Russia		17,207,437
		South Africa — 4.0%
	108,697	Anglo American Platinum Ltd		10,986,506

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	20,722	Aspen Pharmacare Holdings Ltd		171,960
	64,589	AVI Ltd		277,118
	34,828	Capitec Bank Holdings Ltd		4,134,956
	29,563	Exxaro Resources Ltd		386,686
	1,046,169	FirstRand Ltd		4,065,908
	147,771	Foschini Group Ltd (The)		900,878
	234,612	Impala Platinum Holdings Ltd		2,851,376
	177,527	Investec Ltd		1,071,496
	324,734	Kumba Iron Ore Ltd		9,174,120
	413,419	Lewis Group Ltd		1,190,383
	186,758	Mr Price Group Ltd		1,825,333
	309,016	Ninety One Ltd		721,721
	1,733,601	Old Mutual Ltd		1,113,620
	320,809	Sanlam Ltd		1,053,391
	601,219	Sibanye Stillwater Ltd		1,672,842
	256,200	Sibanye Stillwater Ltd ADR		2,872,002
	69,352	Thungela Resources Ltd		1,265,898
	97,109	Tiger Brands Ltd		1,095,411
	67,897	Truworths International Ltd		224,939
	130,485	Vodacom Group Ltd		950,309
		Total South Africa		48,006,853
		South Korea — 14.0%
	12,238	AfreecaTV Co Ltd		818,832
	17,324	Alteogen Inc *		481,423
	12,256	AMOREPACIFIC Group		294,122
	1,664	BGF retail Co Ltd		261,144
	18,963	BH Co Ltd		383,228
	12,869	Cheil Worldwide Inc		238,691
	2,984	CJ ENM Co Ltd		189,604
	3,023	CJ Logistics Corp *		202,626
	25,747	Daeduck Electronics Co Ltd		463,717
	3,687	Daou Data Corp		79,372
	80,408	DB HiTek Co Ltd		2,789,348
	21,660	DB Insurance Co Ltd		1,029,536
	2,207	DL E&C Co Ltd		71,278
	492,446	Dongwon Development Co Ltd		1,352,488
	1,575	Green Cross Corp		154,055
	31,586	GS Engineering & Construction Corp		571,265
	3,234	HAESUNG DS Co Ltd		106,062
	8,983	Hankook Tire & Technology Co Ltd		234,609
	111,481	HDC Hyundai Development Co-Engineering & Construction (b)		948,071
	108,024	Hyundai Engineering & Construction Co Ltd		3,414,574
	7,730	Hyundai Glovis Co Ltd		1,048,644
	20,791	Hyundai Marine & Fire Insurance Co Ltd		479,581
	51,919	Hyundai Mobis Co Ltd		8,498,025
	8,438	INTOPS Co Ltd		195,102
	196,537	Kia Corp		10,350,405
	1,295	Korea Petrochemical Ind Co Ltd		161,538
	532,964	KT&G Corp (b)		40,440,819
	80,649	Kumho Petrochemical Co Ltd		9,276,930

Shares		Description	Value ($)
		South Korea — continued
	5,105	LG H&H Co Ltd		2,576,183
	3,768	LOTTE Fine Chemical Co Ltd		180,483
	78,119	LX Semicon Co Ltd (b)		5,330,302
	7,829	Meritz Financial Group Inc		228,100
	56,342	Meritz Securities Co Ltd		253,436
	10,773	NCSoft Corp		3,902,587
	20,549	NH Investment & Securities Co Ltd		151,662
	3,052	Orion Corp		274,062
	13,568	POSCO Holdings Inc		3,105,717
	22,705	Samsung Electro-Mechanics Co Ltd		2,485,466
	703,338	Samsung Electronics Co Ltd		33,794,654
	20,831	Samsung SDS Co Ltd		2,035,442
	10,912	Samsung Securities Co Ltd		295,303
	156,225	SD Biosensor Inc		3,952,459
	85,933	Seegene Inc		2,011,488
	2,942	SK Chemicals Co Ltd		200,860
	44,114	SK Hynix Inc		2,911,523
	2,746	Unid Co Ltd		206,960
	4,307	UNIDBTPLUS Co Ltd *		20,768
	1,573,353	Woori Financial Group Inc		15,717,696
	393,848	Woori Technology Investment Co Ltd *		1,361,980
		Total South Korea		165,532,220
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (a) (d)		253,961
		Taiwan — 19.8%
	994,035	Advantech Co Ltd		10,820,399
	148,000	Asia Cement Corp		198,870
	23,000	ASMedia Technology Inc		551,455
	50,000	ASROCK Inc		214,510
	776,689	Asustek Computer Inc		6,751,058
	350,000	Aten International Co Ltd		878,401
	100,200	Aurora Corp		255,429
	2,333,000	Catcher Technology Co Ltd		13,916,425
	2,578,153	Cathay Financial Holding Co Ltd		3,668,861
	413,948	Chailease Holding Co Ltd		2,732,215
	111,000	Chicony Electronics Co Ltd		300,691
	91,000	Chipbond Technology Corp		172,965
	200,000	ChipMOS Technologies Inc		220,575
	456,000	Chong Hong Construction Co Ltd		1,065,665
	39,000	Chroma ATE Inc		254,436
	776,400	Coretronic Corp		1,470,053
	284,000	Co-Tech Development Corp		500,817
	70,000	Elan Microelectronics Corp		205,883
	380,000	Elite Semiconductor Microelectronics Technology Inc		917,787
	2,835,200	Evergreen Marine Corp Taiwan Ltd		15,221,479
	156,000	Far Eastern New Century Corp		165,113
	769,000	Farglory Land Development Co Ltd		1,364,991
	427,000	First Financial Holding Co Ltd		364,478
	132,000	FLEXium Interconnect Inc *		461,100

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	238,000	Formosa Plastics Corp		698,079
	446,778	Foxconn Technology Co Ltd		759,432
	6,048,489	Fubon Financial Holding Co Ltd		12,013,621
	160,000	Gigabyte Technology Co Ltd		570,247
	1,551,000	Grand Pacific Petrochemical		1,053,084
	363,000	HannStar Display Corp		135,790
	96,000	Holtek Semiconductor Inc		223,856
	1,819,532	Hon Hai Precision Industry Co Ltd		5,957,668
	463,000	Huaku Development Co Ltd		1,339,461
	34,000	International Games System Co Ltd		431,819
	253,000	Inventec Corp		204,158
	17,000	King Slide Works Co Ltd		229,135
	204,000	Kung Long Batteries Industrial Co Ltd		913,736
	281,000	Largan Precision Co Ltd		21,172,142
	2,197,000	Lite-On Technology Corp		4,688,724
	35,000	Makalot Industrial Co Ltd		266,460
	51,000	MediaTek Inc		1,232,354
	2,804,000	Micro-Star International Co Ltd		11,300,367
	426,000	Mitac Holdings Corp		412,584
	332,000	Nantex Industry Co Ltd		419,814
	1,580,000	Nanya Technology Corp		2,948,472
	1,330,810	Novatek Microelectronics Corp		13,039,638
	927,000	Phison Electronics Corp		9,955,942
	62,000	Powertech Technology Inc		169,094
	414,000	Primax Electronics Ltd		781,213
	434,936	Radiant Opto-Electronics Corp		1,487,431
	36,000	Raydium Semiconductor Corp		368,395
	64,000	Realtek Semiconductor Corp		665,340
	137,000	Shanghai Commercial & Savings Bank Ltd (The)		226,383
	406,000	Shinkong Insurance Co Ltd		656,924
	174,468	Simplo Technology Co Ltd		1,728,898
	15,000	Sinbon Electronics Co Ltd		132,501
	36,000	Soft-World International Corp		91,121
	18,000	Sporton International Inc		121,409
	735,250	Syncmold Enterprise Corp		1,401,844
	94,000	Synnex Technology International Corp		178,753
	77,000	T3EX Global Holdings Corp		198,948
	88,024	Tah Hsin Industrial Corp		201,241
	31,000	TaiDoc Technology Corp		185,564
	47,000	Taiwan Hon Chuan Enterprise Co Ltd		123,308
	1,159,000	Taiwan Semiconductor Manufacturing Co Ltd		18,613,365
	230,632	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		19,137,843
	225,000	Taiwan Union Technology Corp		421,610
	61,000	Test Research Inc		130,435
	24,000	Topkey Corp		133,180
	616,000	Transcend Information Inc		1,356,464
	330,160	Tripod Technology Corp		1,042,295
	47,000	TXC Corp		128,406
	276,224	United Integrated Services Co Ltd		1,614,781
	585,000	Universal Inc		468,304
	56,000	Walsin Technology Corp		160,504

Shares		Description	Value ($)
		Taiwan — continued
	2,553,750	Wan Hai Lines Ltd		6,394,163
	160,000	Wistron Corp		143,722
	28,000	Yageo Corp		425,696
	9,834,000	Yang Ming Marine Transport Corp		21,394,989
	78,000	Yulon Nissan Motor Co Ltd		532,941
	234,725	Zeng Hsing Industrial Co Ltd		890,864
		Total Taiwan		234,348,168
		Thailand — 0.7%
	559,400	CP ALL Pcl (Foreign Registered)		1,035,695
	300,800	Kasikornbank Pcl (Foreign Registered)		1,239,478
	2,630,100	Pruksa Holding Pcl (Foreign Registered)		905,380
	765,000	PTT Exploration & Production Pcl		4,078,990
	183,100	Regional Container Lines Pcl NVDR		157,007
	669,000	Sri Trang Gloves Thailand Pcl (Foreign Registered)		190,336
	356,300	Sri Trang Gloves Thailand Pcl NVDR		101,370
	124,600	Tisco Financial Group Pcl NVDR		345,644
		Total Thailand		8,053,900
		Turkey — 0.5%
	5,097,538	Akbank TAS		4,768,191
	685,259	Enerjisa Enerji AS		1,069,890
	79,882	Is Yatirim Menkul Degerler AS		204,748
	16,090	Mavi Giyim Sanayi Ve Ticaret AS – Class B		98,660
	142,567	Vestel Beyaz Esya Sanayi ve Ticaret AS		97,431
		Total Turkey		6,238,920
		United Kingdom — 1.0%
	226,263	Unilever Plc		11,313,404
		Vietnam — 3.3%
	2,572,900	Duc Giang Chemicals JSC		6,423,778
	4,188,200	Hoa Phat Group JSC		3,151,689
	2,600,100	Hoa Sen Group *		1,199,472
	1,414,400	IDICO Corp JSC		2,072,252
	2,671,400	Nam Kim Steel JSC		1,203,120
	48,200	PetroVietnam Technical Services Corp		41,590
	173,000	Pha Lai Thermal Power JSC		93,587
	4,297,970	Saigon – Hanoi Commercial Joint Stock Bank *		1,783,504
	7,874,700	SSI Securities Corp		6,229,974
	1,519,800	Vietnam Dairy Products JSC		5,127,121
	2,768,900	Vietnam Joint Stock Commercial Bank for Industry and Trade		3,092,301
	132,600	Vinhomes JSC		294,832
	15,246,800	VNDirect Securities Corp		8,537,332
		Total Vietnam		39,250,552
		TOTAL COMMON STOCKS (COST $1,554,663,331)		1,084,254,620

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		PREFERRED STOCKS (f) — 5.6%
		Brazil — 3.4%
	90,300	Banco do Estado do Rio Grande do Sul SA – Class B		173,488
	1	Cia Energetica de Minas Gerais		2
	362,800	Gerdau SA		2,207,135
	781,200	Gerdau SA Sponsored ADR		4,765,320
	6,364,700	Petroleo Brasileiro SA		32,698,296
	59,900	Petroleo Brasileiro SA Sponsored ADR		613,975
	8,099	Unipar Carbocloro SA – Class B		151,669
		Total Brazil		40,609,885
		Russia — 0.2%
	194,570	Nizhnekamskneftekhim PJSC (c)		15,694
	79,676,700	Surgutneftegas PJSC (c)		2,268,420
	869	Transneft PJSC (c)		88,217
		Total Russia		2,372,331
		South Korea — 1.9%
	237	LG H&H Co Ltd		50,227
	531,957	Samsung Electronics Co Ltd		22,875,030
		Total South Korea		22,925,257
		Taiwan — 0.1%
	256,798	Chailease Holding Co Ltd		803,183
		TOTAL PREFERRED STOCKS (COST $108,722,046)		66,710,656

Shares / Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 0.4%
		United States — 0.4%
	4,800,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 4.37%, due 04/30/23 (g)		4,804,121
		TOTAL DEBT OBLIGATIONS (COST $4,800,739)		4,804,121
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers — 0.4%
	914,720	GMO U.S. Treasury Fund		4,555,303
		Total United States		4,555,303
		TOTAL MUTUAL FUNDS (COST $4,555,303)		4,555,303
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	7,331,552	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (h)		7,331,552
		TOTAL SHORT-TERM INVESTMENTS (COST $7,331,552)		7,331,552
		TOTAL INVESTMENTS — 98.5% (Cost $1,680,072,971)		1,167,656,252
		Other Assets and Liabilities (net) — 1.5%		17,844,748
		TOTAL NET ASSETS — 100.0%		$1,185,501,000

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, 2022
Alrosa PJSC	09/14/17	$	46,779,239	0.2%	$	2,360,724
Magnitogorsk Iron & Steel Works PJSC	03/26/18		14,388,116	0.1%		626,881
PhosAgro PJSC GDR	02/09/22		5,151	0.0%		567
Sberbank of Russia PJSC	11/10/17		51,393,929	0.2%		2,040,240
Severstal PJSC GDR (Registered)	10/12/17		13,249,420	0.1%		639,553
					$	5,667,965

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1,253	Mini MSCI Emerging Markets	December 2022	$	61,553,625	$	336,880

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30 2022, 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) Investment valued using significant unobservable inputs.

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

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

(d) Affiliated company.

(e) The security is restricted as to resale.

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

(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) The rate disclosed is the 7 day net yield as of November 30, 2022.

Portfolio Abbreviations:

ADR - American Depositary Receipt

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

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

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.1%
		Brazil — 1.9%
	146,300	Ambev SA		448,822
	188,000	B3 SA – Brasil Bolsa Balcao		461,183
	34,600	Localiza Rent a Car SA		400,717
	112	Localiza Rent a Car SA GDR * (a)		1,297
	671	MercadoLibre Inc *		624,691
	96,500	Raia Drogasil SA		428,633
	65,500	WEG SA		492,258
		Total Brazil		2,857,601
		China — 29.3%
	528,388	Alibaba Group Holding Ltd *		5,750,528
	79,100	Baidu Inc – Class A *		1,067,503
	30,000	BYD Co Ltd – Class H		763,794
	36,677	Changzhou Xingyu Automotive Lighting Systems Co Ltd – Class A		681,576
	1,080,000	China International Capital Corp Ltd – Class H		2,037,163
	190,000	China Mengniu Dairy Co Ltd *		854,558
	369,502	China Merchants Bank Co Ltd – Class H		1,876,719
	92,000	China Resources Land Ltd		427,332
	198,900	China Yangtze Power Co Ltd – Class A		591,984
	5,500	Contemporary Amperex Technology Co Ltd – Class A		301,308
	248,700	GoerTek Inc – Class A		638,350
	445,455	Haier Smart Home Co Ltd – Class A		1,545,942
	122,327	JD.com Inc – Class A		3,492,163
	14,500	JD.com Inc ADR		829,110
	92,576	Jiangsu Hengli Hydraulic Co Ltd – Class A		857,122
	14,386	Kweichow Moutai Co Ltd – Class A		3,242,001
	86,400	Meituan – Class B *		1,862,529
	203,285	NARI Technology Co Ltd – Class A		761,674
	73,675	NetEase Inc		1,065,240
	170,500	Ping An Insurance Group Co of China Ltd –Class H		1,052,667
	2,287,000	Postal Savings Bank of China Co Ltd – Class H		1,383,117
	39,060	Proya Cosmetics Co Ltd – Class A		931,061
	152,100	SF Holding Co Ltd – Class A		1,141,414
	118,178	Shanghai Baosight Software Co Ltd – Class A		654,984
	100,272	Shenzhen Inovance Technology Co Ltd – Class A		997,073
	47,800	Sunny Optical Technology Group Co Ltd		569,052
	128,584	Tencent Holdings Ltd		4,862,570
	192,000	Tsingtao Brewery Co Ltd – Class H		1,817,574
	72,385	Wuliangye Yibin Co Ltd – Class A		1,610,462
	7,711	Yum China Holdings Inc		425,030
		Total China		44,091,600
		France — 0.8%
	3,148	L’Oreal SA		1,182,250
		Hong Kong — 1.2%
	178,000	AIA Group Ltd		1,807,520

Shares		Description	Value ($)
		India — 14.0%
	34,794	Angel One Ltd		690,559
	18,664	Asian Paints Ltd		730,400
	80,652	Axis Bank Ltd		894,804
	48,597	Bharti Airtel Ltd		509,079
	187,000	Campus Activewear Ltd *		1,027,873
	73,300	Cipla Ltd		1,034,174
	176,113	Devyani International Ltd *		408,913
	72,116	Godrej Consumer Products Ltd *		785,280
	36,142	HDFC Bank Ltd		718,342
	209,791	ICICI Bank Ltd		2,457,008
	206,315	Indian Hotels Co Ltd		822,241
	69,417	Infosys Ltd		1,414,459
	31,541	JB Chemicals & Pharmaceuticals Ltd		781,734
	46,206	Kajaria Ceramics Ltd		651,220
	99,769	LA Opala RG Ltd		504,314
	77,480	Laxmi Organic Industries Ltd		287,068
	6,913	Maruti Suzuki India Ltd		765,722
	110,740	Metro Brands Ltd		1,136,531
	74,080	SBI Cards & Payment Services Ltd		753,433
	61,847	SBI Life Insurance Co Ltd		980,342
	23,974	SRF Ltd		701,446
	34,490	Star Health & Allied Insurance Co Ltd *		273,626
	123,868	State Bank of India		921,443
	55,721	Sun Pharmaceutical Industries Ltd		723,438
	38,571	Sundram Fasteners Ltd		434,228
	17,644	Titan Co Ltd		579,993
		Total India		20,987,670
		Indonesia — 5.4%
	4,024,300	Bank Central Asia Tbk PT		2,390,750
	3,663,600	Bank Mandiri Persero Tbk PT		2,471,323
	16,078,700	Mitra Adiperkasa Tbk PT *		1,486,516
	7,121,300	Telkom Indonesia Persero Tbk PT		1,837,116
		Total Indonesia		8,185,705
		Japan — 0.6%
	5,600	Daikin Industries Ltd		923,557
		Mexico — 5.3%
	482,343	Banco del Bajio SA		1,567,227
	77,439	Grupo Aeroportuario del Pacifico SAB de CV – Class B		1,257,832
	244,987	Regional SAB de CV		1,788,707
	843,048	Wal-Mart de Mexico SAB de CV		3,331,731
		Total Mexico		7,945,497
		Peru — 0.3%
	3,320	Credicorp Ltd		509,786
		Philippines — 0.2%
	8,335	Globe Telecom Inc		340,195

GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Qatar — 1.1%
	296,728	Qatar National Bank QPSC		1,604,239
		Russia — 0.4%
	34,988	Magnit PJSC (b)		192,441
	546,960	Mobile TeleSystems PJSC (b)		147,722
	530,016	Sberbank of Russia PJSC * (b) (c)		82,385
	46,548	TCS Group Holding Plc GDR (Registered) * (b)		159,372
	69,200	Yandex NV – Class A * (b)		13,107
		Total Russia		595,027
		Saudi Arabia — 0.8%
	12,222	Abdullah Al Othaim Markets Co		375,448
	8,577	Mouwasat Medical Services Co		433,684
	32,305	Saudi National Bank (The)		444,804
		Total Saudi Arabia		1,253,936
		South Africa — 1.0%
	30,294	Absa Group Ltd		363,262
	46,751	Aspen Pharmacare Holdings Ltd		387,960
	22,442	Mr Price Group Ltd		219,344
	38,681	MTN Group Ltd		316,977
	89,555	Raubex Group Ltd		144,283
		Total South Africa		1,431,826
		South Korea — 7.3%
	1,275	LG Chem Ltd		727,810
	2,440	NAVER Corp		354,687
	199,988	Samsung Electronics Co Ltd		9,609,214
	3,565	SK Hynix Inc		235,290
		Total South Korea		10,927,001
		Switzerland — 1.1%
	13,910	Nestle SA (Registered)		1,655,617
		Taiwan — 13.8%
	36,000	Allied Supreme Corp		382,439
	710,000	Continental Holdings Corp		691,949
	1,767,000	CTBC Financial Holding Co Ltd		1,327,367
	59,000	Delta Electronics Inc		583,434
	89,000	E Ink Holdings Inc		533,655
	1,298,722	E.Sun Financial Holding Co Ltd		1,049,248
	25,000	eMemory Technology Inc		1,220,100
	26,000	MediaTek Inc		628,259
	60,000	Sinbon Electronics Co Ltd		530,004
	770,800	Taiwan Semiconductor Manufacturing Co Ltd		12,378,932
	74,000	Vanguard International Semiconductor Corp		200,955
	78,000	VisEra Technologies Co Ltd		612,567
	12,000	Voltronic Power Technology Corp		681,052
		Total Taiwan		20,819,961

Shares		Description	Value ($)
		Thailand — 2.1%
	172,700	Advanced Info Service Pcl (Foreign Registered)		928,231
	688,600	CP ALL Pcl (Foreign Registered)		1,274,901
	2,654,300	Digital Telecommunications Infrastructure Fund – Class F		987,087
		Total Thailand		3,190,219
		United Arab Emirates — 0.6%
	168,804	Abu Dhabi Commercial Bank PJSC		450,418
	373,701	Aldar Properties PJSC		485,052
		Total United Arab Emirates		935,470
		United Kingdom — 1.7%
	25,044	Diageo Plc		1,156,582
	26,435	Unilever Plc		1,321,780
		Total United Kingdom		2,478,362
		United States — 1.5%
	7,404	Alphabet, Inc. – Class A *		747,730
	7,712	Apple, Inc.		1,141,607
	148,800	Samsonite International SA *		403,339
		Total United States		2,292,676
		Vietnam — 1.7%
	771,900	Bank for Foreign Trade of Vietnam JSC		2,554,509
		TOTAL COMMON STOCKS (COST $181,816,266)		138,570,224
		PREFERRED STOCKS (d) — 0.4%
		Brazil — 0.4%
	130,300	Itau Unibanco Holding SA		652,837
		TOTAL PREFERRED STOCKS (COST $627,468)		652,837
		INVESTMENT FUNDS — 0.0%
		Russia — 0.0%
	61,600	VanEck Vectors Russia ETF (b)		9,610
		TOTAL INVESTMENT FUNDS (COST $1,565,234)		9,610
		MUTUAL FUNDS — 3.7%
		United States — 3.7%
		Affiliated Issuers — 3.7%
	1,126,164	GMO U.S. Treasury Fund		5,608,296
		Total United States		5,608,296
		TOTAL MUTUAL FUNDS (COST $5,608,296)		5,608,296

GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	708,282	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (e)		708,282
		TOTAL SHORT-TERM INVESTMENTS (COST $708,282)		708,282
		TOTAL INVESTMENTS — 96.7% (Cost $190,325,546)		145,549,249
		Other Assets and Liabilities (net) — 3.3%		4,977,930
		TOTAL NET ASSETS — 100.0%		$150,527,179

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, 2022
Sberbank of Russia PJSC	03/03/21	$	2,059,161	0.1%	$	82,385

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

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

(c) The security is restricted as to resale.

(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, 2022.

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 International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.3%
		Australia — 4.3%
	75,931	Ampol Ltd		1,480,267
	473,394	Aurizon Holdings Ltd		1,230,387
	51,448	BHP Group Ltd		1,597,735
	560,991	BlueScope Steel Ltd		6,761,583
	201,744	Brambles Ltd		1,668,795
	182,219	Fortescue Metals Group Ltd		2,425,274
	651,380	GrainCorp Ltd – Class A		3,601,473
	128,571	JB Hi-Fi Ltd		3,954,118
	143,988	Metcash Ltd		411,753
	89,611	Pact Group Holdings Ltd		65,098
	557,171	Rio Tinto Ltd		41,595,391
	235,528	Sims Ltd		2,104,335
		Total Australia		66,896,209
		Belgium — 0.2%
	9,147	Ageas SA/NV		370,379
	91,042	AGFA-Gevaert NV *		263,253
	52,592	Bekaert SA		1,877,999
	8,033	Melexis NV		707,775
		Total Belgium		3,219,406
		Denmark — 0.0%
	9,627	Per Aarsleff Holding A/S		311,620
	6,605	Schouw & Co A/S		477,494
		Total Denmark		789,114
		Finland — 1.4%
	3,168	Kesko Oyj – B Shares		68,098
	3,930,530	Nokia Oyj		19,365,352
	5,686	Outokumpu Oyj		28,682
	58,153	UPM-Kymmene Oyj		2,134,876
		Total Finland		21,597,008
		France — 14.0%
	26,778	ALD SA		269,499
	20,568	Alten SA		2,599,486
	10,457	Arkema SA		929,749
	761,708	Cie de Saint-Gobain		35,123,535
	196,613	Coface SA		2,406,842
	192,150	Derichebourg SA		1,039,494
	77,066	Ipsen SA		8,614,842
	48,662	IPSOS		2,783,803
	13,260	Kering SA		7,967,099
	121,477	Metropole Television SA		1,746,634
	115,037	Publicis Groupe SA		7,571,322
	18,919	Rexel SA *		347,662
	465,441	Sanofi		42,042,950
	13,893	Societe BIC SA		917,815
	726,350	Societe Generale SA		18,281,520

Shares		Description	Value ($)
		France — continued
	953,500	STMicroelectronics NV		37,072,080
	212,461	Television Francaise 1		1,605,847
	14,723	TotalEnergies SE (a)		913,552
	739,989	TotalEnergies SE (a)		46,249,376
		Total France		218,483,107
		Germany — 3.8%
	146,687	Bayer AG (Registered)		8,513,259
	119,759	Bayerische Motoren Werke AG		10,873,955
	26,069	Henkel AG & Co KGaA		1,734,352
	16,282	Hornbach Holding AG & Co KGaA		1,291,502
	6,065	HUGO BOSS AG		341,183
	5,326	Indus Holding AG		126,329
	263,799	Kloeckner & Co SE		2,503,517
	160,642	Merck KGaA		29,432,027
	38,422	ProSiebenSat.1 Media SE		349,121
	26,165	RTL Group SA		1,086,798
	51,381	Salzgitter AG		1,506,767
	12,807	Volkswagen AG		2,472,363
		Total Germany		60,231,173
		Hong Kong — 1.7%
	548,100	ASMPT Ltd		4,080,330
	149,500	BOC Hong Kong Holdings Ltd		477,203
	553,487	Champion (REIT)		191,964
	755,112	Chow Tai Fook Jewellery Group Ltd		1,331,534
	1,113,000	CK Asset Holdings Ltd		6,661,855
	160,500	CK Hutchison Holdings Ltd		933,023
	202,800	Dah Sing Banking Group Ltd		141,404
	120,869	Dah Sing Financial Holdings Ltd		269,999
	3,995,207	Esprit Holdings Ltd *		387,137
	1,617,585	IGG Inc *		572,028
	461,401	Johnson Electric Holdings Ltd		578,581
	297,640	Kerry Logistics Network Ltd		524,363
	164,326	Luk Fook Holdings International Ltd		398,384
	1,132,331	Pacific Textiles Holdings Ltd		373,078
	1,301,023	Shun Tak Holdings Ltd *		209,741
	321,000	SITC International Holdings Co Ltd		712,092
	289,526	SmarTone Telecommunications Holdings Ltd		146,985
	71,000	Techtronic Industries Co Ltd		865,501
	313,588	Television Broadcasts Ltd *		151,716
	926,000	VSTECS Holdings Ltd		502,630
	81,800	VTech Holdings Ltd		521,690
	10,390,515	WH Group Ltd		6,087,971
		Total Hong Kong		26,119,209
		Ireland — 0.6%
	838,104	Bank of Ireland Group Plc		6,949,590
	49,150	Kingspan Group Plc		2,790,044
		Total Ireland		9,739,634

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Italy — 0.8%
	307,976	Anima Holding SPA		1,178,649
	74,749	Banca IFIS SPA		1,030,154
	85,797	Esprinet SPA		634,268
	131,595	Italgas SPA		774,445
	259,782	Leonardo SPA		2,084,300
	1,438,397	MFE-MediaForEurope NV – Class A		605,198
	2,362	Sesa SPA		296,690
	395,162	Snam SPA		2,017,186
	37,027	Terna – Rete Elettrica Nazionale		283,625
	37,310	Unieuro SPA		506,327
	685,148	Unipol Gruppo SPA		3,504,753
		Total Italy		12,915,595
		Japan — 25.6%
	56,900	Advantest Corp		3,872,764
	63,520	AOKI Holdings Inc		318,617
	891,215	Asahi Kasei Corp		6,623,806
	97,800	Bandai Namco Holdings Inc		6,480,264
	367,796	Brother Industries Ltd		5,973,441
	1,388,400	Canon Inc		32,453,437
	31,300	Canon Inc Sponsored ADR		731,168
	13,800	Canon Marketing Japan Inc		313,974
	74,900	Citizen Watch Co Ltd		328,904
	45,600	Dai Nippon Printing Co Ltd		944,450
	126,690	Daiwabo Holdings Co Ltd		2,021,257
	70,674	Dexerials Corp		1,696,143
	53,948	Doutor Nichires Holdings Co Ltd		665,175
	46,754	FUJIFILM Holdings Corp		2,515,000
	20,706	Fuyo General Lease Co Ltd		1,329,587
	59,436	Geo Holdings Corp		849,194
	17,553	Gunze Ltd		510,025
	128,900	Haseko Corp		1,425,306
	1,268,954	ITOCHU Corp		39,854,139
	1,969,304	Japan Tobacco Inc		40,290,742
	127,344	Kanematsu Corp		1,422,020
	1,212,496	KDDI Corp		36,065,171
	42,093	Komeri Co Ltd		794,647
	2,975,200	Marubeni Corp		33,656,570
	99,657	MCJ Co Ltd		699,288
	271,700	Mitsubishi Corp		9,150,628
	547,800	Mitsubishi Motors Corp *		2,555,729
	1,126,238	Mitsui & Co Ltd		32,687,619
	39,684	Modec Inc *		444,060
	353,700	NGK Spark Plug Co Ltd		6,930,214
	97,226	Nichias Corp		1,725,537
	253,100	Nikon Corp		2,474,741
	47,731	Nippon Signal Company Ltd		360,421
	1,229,195	Nippon Telegraph & Telephone Corp		34,084,329
	85,166	Okinawa Electric Power Co (The)		654,593
	60,300	Ono Pharmaceutical Co Ltd		1,545,377
	82,324	Press Kogyo Co Ltd		271,974
	37,519	Prima Meat Packers Ltd		557,822

Shares		Description	Value ($)
		Japan — continued
	5,983	San-A Co Ltd		189,869
	77,400	Sega Sammy Holdings Inc		1,032,171
	182,100	Seiko Epson Corp		2,865,588
	65,595	Seiko Group Corp		1,524,039
	394,012	Sekisui Chemical Co Ltd		5,572,632
	739,700	Sekisui House Ltd		13,849,899
	26,900	Shimamura Co Ltd		2,442,204
	646,981	Sojitz Corp		11,529,772
	3,709,141	Sumitomo Chemical Co Ltd		13,522,909
	292,600	Sumitomo Forestry Co Ltd		5,108,835
	17,600	Suntory Beverage & Food Ltd		599,769
	20,638	T-Gaia Corp		248,144
	30,400	Tokyo Gas Co Ltd		559,208
	26,977	Tokyo Seimitsu Co Ltd		864,487
	116,275	Tokyu Construction Co Ltd		556,659
	50,428	Towa Pharmaceutical Co Ltd		776,914
	367,655	Toyota Tsusho Corp		14,192,529
	24,269	TPR Co Ltd		218,693
	64,269	Valor Holdings Co Ltd		825,196
	20,256	Warabeya Nichiyo Holdings Co Ltd		272,657
	17,508	Yahagi Construction Co Ltd		94,253
	45,800	Yakult Honsha Co Ltd		2,922,985
	167,000	Yamaha Motor Co Ltd		4,183,310
	48,600	Yokogawa Electric Corp		916,580
		Total Japan		400,147,435
		Netherlands — 7.5%
	52,178	ASR Nederland NV		2,388,120
	144,748	EXOR NV *		11,362,716
	1,199,184	Koninklijke Ahold Delhaize NV		34,946,734
	79,482	Koninklijke KPN NV		244,510
	211,688	NN Group NV		9,046,796
	483,894	Randstad NV		28,028,788
	242,947	Signify NV		8,297,760
	216,443	Wolters Kluwer NV		23,854,266
		Total Netherlands		118,169,690
		Norway — 2.8%
	88,434	BW LPG Ltd		788,567
	252,712	Elkem ASA *		935,827
	973,109	Equinor ASA		37,475,206
	247,968	Europris ASA		1,575,921
	332,137	Norsk Hydro ASA		2,501,031
		Total Norway		43,276,552
		Portugal — 1.5%
	253,505	CTT-Correios de Portugal SA		849,438
	470,712	Galp Energia SGPS SA		5,799,959
	529,054	Jeronimo Martins SGPS SA		11,804,003
	437,520	Navigator Co SA (The)		1,777,233
	337,413	REN – Redes Energeticas Nacionais SGPS SA		893,552

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Portugal — continued
	2,331,776	Sonae SGPS SA		2,368,770
		Total Portugal		23,492,955
		Singapore — 5.0%
	109,100	City Developments Ltd		670,267
	1,368,925	DBS Group Holdings Ltd		35,699,845
	843,400	First Resources Ltd		1,007,859
	213,087	Jardine Cycle & Carriage Ltd		4,752,646
	1,619,000	Keppel Corp Ltd		9,036,494
	428,300	Sheng Siong Group Ltd		519,430
	179,600	Venture Corp Ltd		2,305,936
	3,213,039	Wilmar International Ltd		9,746,848
	8,014,622	Yangzijiang Financial Holding Ltd *		2,050,336
	11,084,122	Yangzijiang Shipbuilding Holdings Ltd		11,738,873
		Total Singapore		77,528,534
		Spain — 6.4%
	1,075,790	Acerinox SA		10,642,838
	7,072,399	Banco Bilbao Vizcaya Argentaria SA		41,677,944
	26,789,440	Banco de Sabadell SA		25,013,809
	169,683	Bankinter SA		1,116,018
	26,651	Ebro Foods SA		421,130
	88,803	Ence Energia y Celulosa SA		294,206
	12,628	Grupo Catalana Occidente SA		399,438
	291,189	Industria de Diseno Textil SA		7,601,138
	708,168	Repsol SA		10,934,342
	1,799,875	Unicaja Banco SA		1,860,823
		Total Spain		99,961,686
		Sweden — 0.6%
	112,976	Investor AB – A Shares		2,175,315
	20,238	New Wave Group AB – B Shares		410,083
	1,077,823	SSAB AB – A Shares		6,241,404
		Total Sweden		8,826,802
		Switzerland — 6.2%
	40,548	Ascom Holding AG (Registered)		339,167
	21,421	DKSH Holding AG		1,615,161
	209	Forbo Holding AG (Registered)		246,295
	62,318	Novartis AG (Registered)		5,543,469
	164,263	Roche Holding AG – Genusschein		53,652,215
	5,146	u-blox Holding AG *		669,971
	1,616,200	UBS Group AG (Registered)		29,823,214
	3,995	Zehnder Group AG – Class RG		237,512
	11,334	Zurich Insurance Group AG		5,445,271
		Total Switzerland		97,572,275
		United Kingdom — 15.8%
	1,049,930	3i Group Plc		17,250,835
	1,143,582	BAE Systems Plc		11,325,731
	3,074,660	Barratt Developments Plc		14,868,360

Shares / Par Value†		Description	Value ($)
		United Kingdom — continued
	204,834	Bellway Plc		4,977,293
	7,777	Berkeley Group Holdings Plc		360,648
	566,400	BP Plc Sponsored ADR		20,333,760
	1,065,794	British American Tobacco Plc		43,699,702
	28,658	British American Tobacco Plc Sponsored ADR		1,182,716
	12,816,142	BT Group Plc		18,859,093
	2,078	Bunzl Plc		76,851
	635,402	Coca-Cola HBC AG *		15,542,504
	83,864	Crest Nicholson Holdings Plc		232,130
	17,500	Diageo Plc Sponsored ADR		3,264,625
	25,563	Ferguson Plc		2,898,102
	872,722	Ferrexpo Plc		1,520,114
	57,044	Galliford Try Holdings Plc		108,136
	52,532	Grafton Group Plc		493,894
	714,946	GSK Plc		12,156,983
	103,137	Halfords Group Plc		242,800
	307,835	IG Group Holdings Plc		3,062,201
	1,416,903	Imperial Brands Plc		36,444,251
	704,574	Investec Plc		4,449,906
	670,633	Kingfisher Plc		1,961,198
	211,790	Next Plc		15,136,010
	59,535	OSB Group Plc		342,736
	297,746	Persimmon Plc		4,611,742
	198,700	Plus500 Ltd		4,561,269
	592,300	Redrow Plc		3,263,634
	42,519	RS Group Plc		472,876
	539,609	Spirent Communications Plc		1,880,541
	259,383	Vesuvius Plc		1,198,115
		Total United Kingdom		246,778,756
		United States — 0.1%
	79,531	ADTRAN Holdings, Inc.		1,612,093
		TOTAL COMMON STOCKS (COST $1,636,421,893)		1,537,357,233
		PREFERRED STOCKS (b) — 0.8%
		Germany — 0.8%
	77,262	Bayerische Motoren Werke AG		6,704,330
	11,586	Draegerwerk AG & Co KGaA		525,136
	74,716	Henkel AG & Co KGaA		5,344,161
		Total Germany		12,573,627
		TOTAL PREFERRED STOCKS (COST $11,738,865)		12,573,627
		DEBT OBLIGATIONS — 2.3%
		United States — 2.3%
	35,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 (c)		34,955,383
		TOTAL DEBT OBLIGATIONS (COST $34,970,844)		34,955,383

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.5%
		United States — 1.5%
		Affiliated Issuers — 1.5%
	4,718,876	GMO U.S. Treasury Fund		23,500,000
		Total United States		23,500,000
		TOTAL MUTUAL FUNDS (COST $23,500,000)		23,500,000
		RIGHTS/WARRANTS — 0.0%
		France — 0.0%
	26,778	ALD SA, expires 12/13/22 *		58,238
		Total France		58,238
		TOTAL RIGHTS/WARRANTS (COST $0)		58,238

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	291,071	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (d)		291,071
		TOTAL SHORT-TERM INVESTMENTS (COST $291,071)		291,071
		TOTAL INVESTMENTS — 102.9% (Cost $1,706,922,673)		1,608,735,552
		Other Assets and Liabilities (net) — (2.9)%		(45,037,014	)
		TOTAL NET ASSETS — 100.0%		$1,563,698,538

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
77	MSCI EAFE	December 2022	$	7,622,230	$	193,473

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2022, 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) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(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, 2022.

Portfolio Abbreviations:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

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

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.3%
		Automobiles & Components — 6.6%
	152,800	Honda Motor Co Ltd		3,723,980
	228,100	Stanley Electric Co Ltd		4,690,103
		Total Automobiles & Components		8,414,083
		Banks — 6.2%
	129,900	Sumitomo Mitsui Financial Group Inc		4,408,899
	110,500	Sumitomo Mitsui Trust Holdings Inc		3,543,809
		Total Banks		7,952,708
		Capital Goods — 18.0%
	241,500	EXEO Group Inc		3,748,601
	212,200	Fuji Corp		3,237,610
	152,500	Kyudenko Corp		3,669,045
	599,300	Penta-Ocean Construction Co Ltd		2,836,161
	228,900	Takuma Co Ltd		2,139,277
	153,800	THK Co Ltd		3,033,769
	74,000	Toyota Industries Corp		4,245,174
		Total Capital Goods		22,909,637
		Commercial & Professional Services — 4.9%
	53,700	Secom Co Ltd		3,320,005
	191,800	Toppan Inc		2,987,503
		Total Commercial & Professional Services		6,307,508
		Consumer Durables & Apparel — 1.8%
	212,300	Haseko Corp		2,347,498
		Diversified Financials — 3.4%
	135,000	Credit Saison Co Ltd		1,730,817
	69,100	Zenkoku Hosho Co Ltd		2,572,869
		Total Diversified Financials		4,303,686
		Food, Beverage & Tobacco — 9.8%
	92,100	Ezaki Glico Co Ltd		2,403,206
	231,200	Kirin Holdings Co Ltd		3,649,629
	88,000	Morinaga & Co Ltd		2,370,786
	131,800	NH Foods Ltd		3,548,593
	62,400	Takara Holdings Inc		487,990
		Total Food, Beverage & Tobacco		12,460,204
		Health Care Equipment & Services — 2.2%
	141,200	H.U. Group Holdings Inc		2,863,838
		Insurance — 5.7%
	96,000	MS&AD Insurance Group Holdings Inc		2,849,403
	364,900	T&D Holdings Inc		4,436,209
		Total Insurance		7,285,612
		Materials — 9.3%
	139,400	Denka Co Ltd		3,375,189
	114,100	Maruichi Steel Tube Ltd		2,373,221
	291,600	Teijin Ltd		2,829,397

Shares		Description	Value ($)
		Materials — continued
	421,500	Tokai Carbon Co Ltd		3,252,326
		Total Materials		11,830,133
		Pharmaceuticals, Biotechnology & Life Sciences — 3.3%
	40,500	Sawai Group Holdings Co Ltd		1,254,051
	133,900	Tsumura & Co		2,934,317
		Total Pharmaceuticals, Biotechnology & Life Sciences		4,188,368
		Real Estate — 2.5%
	262,400	Aeon Mall Co Ltd		3,168,975
		Retailing — 1.8%
	280,800	K’s Holdings Corp		2,331,519
		Semiconductors & Semiconductor Equipment — 7.5%
	40,200	Rohm Co Ltd		3,226,906
	222,000	SUMCO Corp		3,321,456
	95,200	Tokyo Seimitsu Co Ltd		3,050,717
		Total Semiconductors & Semiconductor Equipment		9,599,079
		Software & Services — 2.9%
	103,800	NEC Corp		3,695,338
		Technology Hardware & Equipment — 6.4%
	152,400	Amano Corp		2,766,546
	222,500	Daiwabo Holdings Co Ltd		3,549,844
	33,700	FUJIFILM Holdings Corp		1,812,797
		Total Technology Hardware & Equipment		8,129,187
		Telecommunication Services — 1.8%
	78,800	KDDI Corp		2,343,872
		Transportation — 3.2%
	112,100	Sankyu Inc		4,056,874
		TOTAL COMMON STOCKS (COST $148,031,414)		124,188,119
		SHORT-TERM INVESTMENTS — 1.8%
		Money Market Funds — 1.8%
	2,252,906	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (a)		2,252,906
		TOTAL SHORT-TERM INVESTMENTS (COST $2,252,906)		2,252,906
		TOTAL INVESTMENTS — 99.1% (Cost $150,284,320)		126,441,025
		Other Assets and Liabilities (net) — 0.9%		1,120,528
		TOTAL NET ASSETS — 100.0%		$127,561,553

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.4%
		Brazil — 0.2%
	15,002	Vale SA		247,781
		Canada — 5.5%
	62,934	Brookfield Asset Management Inc – Class A		2,967,338
	39,009	Nutrien Ltd		3,136,324
		Total Canada		6,103,662
		China — 3.3%
	239,644	Alibaba Group Holding Ltd *		2,608,082
	28,423	Tencent Holdings Ltd		1,074,853
		Total China		3,682,935
		Finland — 2.2%
	48,038	Neste Oyj		2,479,556
		France — 9.2%
	3,679	Kering SA		2,210,479
	4,944	LVMH Moet Hennessy Louis Vuitton SE		3,836,685
	32,755	Safran SA		4,048,049
		Total France		10,095,213
		Germany — 2.2%
	21,835	Beiersdorf AG		2,374,628
		Hong Kong — 1.5%
	280,833	Galaxy Entertainment Group Ltd		1,707,312
		Ireland — 2.5%
	170,146	Ryanair Holdings Plc *		2,296,762
	5,482	Ryanair Holdings Plc Sponsored ADR *		414,932
		Total Ireland		2,711,694
		Mexico — 6.0%
	484,370	Fomento Economico Mexicano SAB de CV		3,865,621
	669,152	Grupo Mexico SAB de CV – Series B		2,722,527
		Total Mexico		6,588,148
		Russia — 0.2%
	33,541	LUKOIL PJSC (a)		176,903
	72,920	Novatek PJSC (a)		86,271
		Total Russia		263,174
		Spain — 4.5%
	46,931	Amadeus IT Group SA *		2,537,442
	91,707	Industria de Diseno Textil SA		2,393,901
		Total Spain		4,931,343
		United Kingdom — 10.5%
	41,008	Berkeley Group Holdings Plc		1,901,690
	211,215	Compass Group Plc		4,815,265

Shares		Description	Value ($)
		United Kingdom — continued
	81,801	Persimmon Plc		1,267,003
	219,843	S4 Capital Plc *		507,598
	104,884	Shell Plc		3,069,514
		Total United Kingdom		11,561,070
		United States — 49.6%
	23,309	Alphabet, Inc. – Class A *		2,353,976
	20,763	American Express Co.		3,272,041
	1,453	Booking Holdings, Inc. *		3,021,441
	71,693	BorgWarner, Inc.		3,047,669
	9,812	CarMax, Inc. *		680,560
	17,139	Chevron Corp.		3,141,750
	45,860	Darling Ingredients, Inc. *		3,294,124
	30,571	EOG Resources, Inc.		4,338,942
	34,837	Green Plains, Inc. *		1,203,967
	20,419	Hilton Worldwide Holdings, Inc.		2,912,158
	33,510	Intercontinental Exchange, Inc.		3,629,468
	3,762	Lam Research Corp.		1,777,094
	52,984	Las Vegas Sands Corp. *		2,481,771
	2,277	Markel Corp. *		3,016,661
	9,959	Meta Platforms, Inc. – Class A *		1,176,158
	26,213	Micron Technology, Inc.		1,511,179
	23,717	Otis Worldwide Corp.		1,852,061
	38,603	Raytheon Technologies Corp.		3,810,888
	39,110	Sensata Technologies Holding Plc		1,763,861
	65,736	US Bancorp		2,983,757
	71,233	Wells Fargo & Co.		3,415,622
		Total United States		54,685,148
		TOTAL COMMON STOCKS (COST $92,749,523)		107,431,664
		PREFERRED STOCKS (b) — 2.1%
		Brazil — 2.1%
	436,575	Bradespar SA		2,380,852
		TOTAL PREFERRED STOCKS (COST $2,072,925)		2,380,852
		MUTUAL FUNDS — 0.3%
		United States — 0.3%
		Affiliated Issuers — 0.3%
	60,241	GMO U.S. Treasury Fund		300,000
		Total United States		300,000
		TOTAL MUTUAL FUNDS (COST $300,000)		300,000

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	159,428	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (c)		159,428
		TOTAL SHORT-TERM INVESTMENTS (COST $159,428)		159,428
		TOTAL INVESTMENTS — 100.0% (Cost $95,281,876)		110,271,944
		Other Assets and Liabilities (net) — 0.0%		29,537
		TOTAL NET ASSETS — 100.0%		$110,301,481

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, 2022.

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, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.4%
		Banks — 6.1%
	5,169,372	US Bancorp		234,637,795
	4,256,303	Wells Fargo & Co.		204,089,729
		Total Banks		438,727,524
		Capital Goods — 5.2%
	498,456	Knorr-Bremse AG		28,414,253
	1,792,858	Otis Worldwide Corp.		140,004,281
	1,661,846	Safran SA		205,380,385
		Total Capital Goods		373,798,919
		Consumer Durables & Apparel — 1.3%
	122,304	LVMH Moet Hennessy Louis Vuitton SE		94,911,384
		Consumer Services — 2.5%
	7,888,901	Compass Group Plc		179,850,614
		Diversified Financials — 1.6%
	732,750	American Express Co.		115,474,072
		Food, Beverage & Tobacco — 5.6%
	3,214,584	Coca-Cola Co. (The)		204,479,688
	392,511	Constellation Brands, Inc. – Class A		101,012,706
	769,278	Nestle SA (Registered)		91,562,185
		Total Food, Beverage & Tobacco		397,054,579
		Health Care Equipment & Services — 14.9%
	921,061	Abbott Laboratories		99,087,742
	235,077	Cigna Corp.		77,314,475
	382,120	Elevance Health, Inc.		203,639,390
	354,348	Intuitive Surgical, Inc. *		95,812,156
	1,674,510	Medtronic Plc		132,353,270
	841,004	Quest Diagnostics, Inc.		127,689,637
	599,598	UnitedHealth Group, Inc.		328,435,801
		Total Health Care Equipment & Services		1,064,332,471
		Household & Personal Products — 2.1%
	3,061,166	Unilever Plc		153,061,735
		Media & Entertainment — 4.9%
	2,027,967	Alphabet, Inc. – Class A *		204,804,387
	1,214,025	Meta Platforms, Inc. – Class A *		143,376,353
		Total Media & Entertainment		348,180,740
		Pharmaceuticals, Biotechnology & Life Sciences — 10.5%
	444,400	Eli Lilly & Co.		164,907,952
	1,585,723	Johnson & Johnson		282,258,694
	1,516,830	Merck & Co., Inc.		167,033,320
	407,569	Roche Holding AG – Genusschein		133,121,760
		Total Pharmaceuticals, Biotechnology & Life Sciences		747,321,726
		Retailing — 6.9%
	7,548,565	Alibaba Group Holding Ltd *		82,152,191

Shares		Description	Value ($)
		Retailing — continued
	2,043,736	Amazon.com, Inc. *		197,302,273
	2,690,318	TJX Cos, Inc. (The)		215,359,956
		Total Retailing		494,814,420
		Semiconductors & Semiconductor Equipment — 10.7%
	299,845	KLA Corp.		117,884,062
	419,062	Lam Research Corp.		197,956,508
	13,185,790	Taiwan Semiconductor Manufacturing Co Ltd		211,761,795
	1,310,699	Texas Instruments, Inc.		236,528,741
		Total Semiconductors & Semiconductor Equipment		764,131,106
		Software & Services — 22.5%
	687,048	Accenture Plc – Class A		206,753,355
	387,586	Adobe, Inc. *		133,690,039
	803,196	Amadeus IT Group SA *		43,426,804
	358,732	Global Payments, Inc.		37,229,207
	1,900,668	Microsoft Corp.		484,936,433
	2,429,200	Oracle Corp.		201,696,476
	796,173	salesforce.com, Inc. *		127,586,723
	1,926,393	SAP SE		213,746,073
	721,454	Visa, Inc. – Class A		156,555,518
		Total Software & Services		1,605,620,628
		Technology Hardware & Equipment — 3.6%
	1,713,063	Apple, Inc.		253,584,716
		TOTAL COMMON STOCKS (COST $4,458,238,852)		7,030,864,634
		MUTUAL FUNDS — 1.4%
		Affiliated Issuers — 1.4%
	20,733,512	GMO U.S. Treasury Fund		103,252,888
		TOTAL MUTUAL FUNDS (COST $103,252,888)		103,252,888
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	3,875,510	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (a)		3,875,510
		TOTAL SHORT-TERM INVESTMENTS (COST $3,875,510)		3,875,510
		TOTAL INVESTMENTS — 99.9% (Cost $4,565,367,250)		7,137,993,032
		Other Assets and Liabilities (net) — 0.1%		10,697,908
		TOTAL NET ASSETS — 100.0%		$7,148,690,940

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.5%
		Argentina — 0.9%
	2,673,575	Adecoagro SA (a)		22,083,729
		Australia — 3.0%
	16,885,684	Beach Energy Ltd		20,356,557
	735,000	Clean TeQ Water Ltd *		192,799
	2,791,862	Fortescue Metals Group Ltd		37,158,749
	6,201,772	Jupiter Mines Ltd (a)		782,213
	6,690,730	Perenti Ltd *		5,047,676
	2,764,553	Sandfire Resources Ltd		9,568,923
	1,470,000	Sunrise Energy Metals Ltd *		2,045,017
		Total Australia		75,151,934
		Austria — 1.4%
	655,431	OMV AG (a)		34,784,822
		Brazil — 3.0%
	1,168,900	Dexco SA *		1,880,836
	1,832,700	Enauta Participacoes SA		4,732,419
	3,914,678	Sao Martinho SA		21,620,178
	927,420	SLC Agricola SA		8,020,775
	1,183,700	Suzano SA		12,123,610
	1,518,268	Vale SA		25,076,503
		Total Brazil		73,454,321
		Canada — 9.3%
	850,200	Anaergia Inc * (a)		2,730,449
	436,300	Birchcliff Energy Ltd		3,483,524
	709,129	Canadian Solar Inc *		25,422,275
	1,036,200	Crescent Point Energy Corp		8,051,274
	747,652	Enerflex Ltd (a)		4,957,853
	1,535,100	First Quantum Minerals Ltd		36,495,928
	1,617,600	Greenlane Renewables Inc * (a)		685,449
	7,453,600	Ivanhoe Mines Ltd – Class A * (a)		66,714,749
	1,653,309	Largo Inc * (a)		9,218,167
	1,991,200	Li-Cycle Holdings Corp *		12,683,944
	199,200	Nutrien Ltd		16,015,680
	1,105,600	Tamarack Valley Energy Ltd (a)		4,257,524
	295,700	Teck Resources Ltd – Class B (b)		10,967,513
	376,800	Teck Resources Ltd – Class B (b)		13,966,656
	627,100	Vermilion Energy Inc		12,404,038
		Total Canada		228,055,023
		China — 1.5%
	10,394,000	China High Speed Transmission Equipment
		Group Co Ltd * (a)		4,851,017
	5,338,000	China Oilfield Services Ltd – Class H		6,748,153
	5,782,000	China Water Affairs Group Ltd (a)		4,712,066
	2,374,884	Inner Mongolia Eerduosi Resources Co Ltd – Class A		5,410,014
	3,859,466	Western Mining Co Ltd – Class A		5,933,816

Shares		Description	Value ($)
		China — continued
	8,564,600	Xinjiang Goldwind Science & Technology Co Ltd – Class H (a)		9,282,573
		Total China		36,937,639
		Denmark — 1.8%
	1,739,406	Vestas Wind Systems A/S		45,193,611
		Finland — 0.5%
	383,853	Kemira Oyj		5,565,896
	127,268	Neste Oyj		6,569,136
		Total Finland		12,135,032
		France — 2.0%
	52,297	Eramet SA		4,475,228
	750,372	Technip Energies NV		11,884,082
	1,208,864	Veolia Environnement SA		31,287,656
	45,533	Vilmorin & Cie SA		2,337,438
		Total France		49,984,404
		Hungary — 0.8%
	2,710,540	MOL Hungarian Oil & Gas Plc		19,622,691
		India — 1.2%
	2,646,123	Oil India Ltd		6,718,640
	6,012,795	Vedanta Ltd		22,742,287
		Total India		29,460,927
		Israel — 0.5%
	82,064	Delek Group Ltd *		10,473,002
	79,565	Equital Ltd *		2,577,264
	74,856	Naphtha Israel Petroleum Corp Ltd *		422,953
		Total Israel		13,473,219
		Italy — 1.0%
	1,597,654	Eni SPA		23,821,015
		Japan — 2.2%
	285,800	Ebara Corp		11,111,829
	2,159,600	Inpex Corp		23,797,986
	767,700	Mitsubishi Materials Corp		12,272,858
	89,700	Nittetsu Mining Co Ltd		2,064,993
	179,700	Sumitomo Metal Mining Co Ltd		6,061,037
		Total Japan		55,308,703
		Mexico — 2.2%
	13,083,040	Grupo Mexico SAB de CV – Series B		53,229,949
		Netherlands — 0.2%
	243,042	SBM Offshore NV		3,894,231
		Norway — 2.5%
	1,388,061	Austevoll Seafood ASA		11,353,250

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	4,089,354	DNO ASA		5,226,246
	1,060,355	Equinor ASA		40,835,119
	357,869	TGS ASA		4,896,147
		Total Norway		62,310,762
		Pakistan — 0.1%
	1,182,763	Fauji Fertilizer Co Ltd		541,993
	595,518	Pakistan Oilfields Ltd		1,113,879
		Total Pakistan		1,655,872
		Poland — 0.7%
	1,102,921	Polski Koncern Naftowy ORLEN SA		16,234,110
		Portugal — 3.6%
	7,149,263	Galp Energia SGPS SA		88,090,884
		Russia — 0.6%
	3,574,704	Gazprom Neft PJSC (c)		1,917,775
	14,145,410	Gazprom PJSC (c)		2,721,065
	248,399	LUKOIL PJSC (c)		1,310,114
	232,917	MMC Norilsk Nickel PJSC (c)		3,816,289
	338,098	PhosAgro PJSC (c)		2,493,698
	6,533	PhosAgro PJSC GDR * (c) (d)		16,095
	2	PhosAgro PJSC GDR (Registered) (c)		5
	601,778	Ros Agro Plc GDR (Registered) * (c)		543,712
	3,476,399	Tatneft PJSC (c)		1,451,913
		Total Russia		14,270,666
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd * (a) (c)		—
		South Africa — 3.6%
	904,373	African Rainbow Minerals Ltd		15,662,147
	112,881	Anglo American Platinum Ltd		11,409,402
	2,130,972	Impala Platinum Holdings Ltd		25,898,942
	377,896	Sasol Ltd		6,570,086
	10,849,483	Sibanye Stillwater Ltd		30,187,790
		Total South Africa		89,728,367
		South Korea — 0.1%
	4,718	Young Poong Corp		2,759,597
		Spain — 1.9%
	2,962,343	Repsol SA *		45,739,528
		Switzerland — 0.1%
	17,507	Gurit Holding AG (a)		1,799,634
		Turkey — 0.4%
	4,355,741	Koza Anadolu Metal Madencilik
		Isletmeleri AS *		10,662,624

Shares		Description	Value ($)
		Ukraine — 0.1%
	501,341	Kernel Holding SA		2,073,351
		United Kingdom — 12.6%
	1,343,901	Anglo American Plc		55,872,856
	12,564,156	BP Plc		75,029,803
	4,570,904	Ferrexpo Plc		7,961,635
	11,800,437	Glencore Plc *		80,527,572
	987,473	Serica Energy Plc		3,773,069
	2,969,614	Shell Plc		86,908,129
		Total United Kingdom		310,073,064
		United States — 31.7%
	993,524	Aemetis, Inc. *		5,474,317
	432,500	AGCO Corp.		57,401,400
	614,600	Alcoa Corp.		30,809,898
	955,601	Ameresco, Inc. – Class A *		62,610,977
	85,700	California Resources Corp.		3,889,066
	3,736,966	Clean Energy Fuels Corp. *		25,261,890
	645,500	Darling Ingredients, Inc. *		46,366,265
	66,400	Deere & Co.		29,282,400
	100,900	Exxon Mobil Corp.		11,234,206
	1,090,582	Freeport-McMoRan, Inc.		43,405,164
	2,733,082	GrafTech International Ltd.		14,758,643
	1,105,893	Green Plains, Inc. *		38,219,662
	350,100	Hess Corp.		50,382,891
	17,575,601	Kosmos Energy Ltd. *		116,877,747
	1,284,700	Livent Corp. *		35,958,753
	247,900	Marathon Oil Corp.		7,593,177
	819,321	Mosaic Co. (The)		42,031,167
	277,200	PotlatchDeltic Corp. (REIT)		13,247,388
	188,324	SolarEdge Technologies, Inc. *		56,282,511
	2,478,166	Sunrun, Inc. *		80,738,648
	620,332	TechnipFMC Plc *		7,692,117
		Total United States		779,518,287
		TOTAL COMMON STOCKS (COST $2,004,528,367)		2,201,507,996
		PREFERRED STOCKS (e) — 9.3%
		Brazil — 7.6%
	20,653,926	Bradespar SA		112,635,707
	14,264,781	Petroleo Brasileiro SA		73,284,527
		Total Brazil		185,920,234
		Chile — 1.6%
	397,795	Sociedad Quimica y Minera de Chile SA Sponsored ADR		39,445,352
		Russia — 0.1%
	20,237,584	Surgutneftegas PJSC (c)		576,170

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	7,494,797	Tatneft PJSC (c)		3,027,886
		Total Russia		3,604,056
		TOTAL PREFERRED STOCKS (COST $254,586,808)		228,969,642
		MUTUAL FUNDS — 0.6%
		United States — 0.6%
		Affiliated Issuers — 0.6%
	3,025,341	GMO U.S. Treasury Fund		15,066,200
		Total United States		15,066,200
		TOTAL MUTUAL FUNDS (COST $15,066,200)		15,066,200
		RIGHTS/WARRANTS — 0.0%
		Australia — 0.0%
	314,154	Sandfire Resources Ltd., expires 12/08/22 * (f)		—
		Total Australia		—
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, expires 04/16/23 * (a) (c)		2
		Total Singapore		2
		TOTAL RIGHTS/WARRANTS (COST $0)		2

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	5,563,233	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (g)		5,563,233
		TOTAL SHORT-TERM INVESTMENTS (COST $5,563,233)		5,563,233
		TOTAL INVESTMENTS — 99.6% (Cost $2,279,744,608)		2,451,107,073
		Other Assets and Liabilities (net) — 0.4%		9,785,696
		TOTAL NET ASSETS — 100.0%		$2,460,892,769

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, 2022
PhosAgro PJSC GDR	08/26/16	$	93,496	0.0%	$	16,095

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

(d) The security is restricted as to resale.

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

(f) Investment valued using significant unobservable inputs.

(g) The rate disclosed is the 7 day net yield as of November 30, 2022.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Automobiles & Components — 6.9%
	35,746	Fox Factory Holding Corp. *		3,792,651
	128,566	Gentex Corp.		3,715,557
		Total Automobiles & Components		7,508,208
		Banks — 2.5%
	68,338	Essent Group Ltd.		2,739,670
		Capital Goods — 21.3%
	31,128	A O Smith Corp.		1,890,715
	18,583	AAON, Inc.		1,472,889
	18,953	Allegion PLC		2,154,008
	20,492	Curtiss-Wright Corp.		3,619,912
	39,861	Graco, Inc.		2,789,074
	6,371	Kadant, Inc.		1,229,858
	13,722	RBC Bearings, Inc. *		3,251,702
	68,891	Trex Co., Inc. *		3,161,408
	36,315	Woodward, Inc.		3,478,977
		Total Capital Goods		23,048,543
		Commercial & Professional Services — 5.4%
	25,559	Booz Allen Hamilton Holding Corp.		2,719,478
	18,119	FTI Consulting, Inc. *		3,131,325
		Total Commercial & Professional Services		5,850,803
		Consumer Durables & Apparel — 4.8%
	41,173	Acushnet Holdings Corp.		1,871,313
	30,242	Malibu Boats, Inc. – Class A *		1,745,266
	9,870	TopBuild Corp. *		1,520,769
		Total Consumer Durables & Apparel		5,137,348
		Diversified Financials — 4.5%
	15,268	Cohen & Steers, Inc.		1,011,505
	39,334	Houlihan Lokey, Inc.		3,868,499
		Total Diversified Financials		4,880,004
		Food, Beverage & Tobacco — 6.3%
	8,811	Boston Beer Co., Inc. (The) – Class A *		3,386,684
	8,425	J & J Snack Foods Corp.		1,381,868
	9,978	Lancaster Colony Corp.		2,066,843
		Total Food, Beverage & Tobacco		6,835,395
		Health Care Equipment & Services — 3.4%
	49,121	Globus Medical, Inc. – Class A *		3,629,551
		Insurance — 1.8%
	6,728	Erie Indemnity Co. – Class A		1,899,920
		Materials — 5.1%
	32,644	AptarGroup, Inc.		3,464,834

Shares		Description	Value ($)
		Materials — continued
	14,190	Balchem Corp.		1,997,952
		Total Materials		5,462,786
		Media & Entertainment — 3.0%
	88,898	New York Times Co. (The) – Class A		3,258,112
		Pharmaceuticals, Biotechnology & Life Sciences — 1.7%
	26,872	Bruker Corp.		1,811,442
		Retailing — 3.5%
	55,944	Ollie’s Bargain Outlet Holdings, Inc. *		3,406,990
	1,588	Winmark Corp.		381,120
		Total Retailing		3,788,110
		Semiconductors & Semiconductor Equipment — 9.7%
	55,963	Axcelis Technologies, Inc. *		4,469,205
	48,533	Power Integrations, Inc.		3,905,936
	18,970	Universal Display Corp.		2,136,401
		Total Semiconductors & Semiconductor Equipment		10,511,542
		Software & Services — 5.8%
	49,467	Dolby Laboratories, Inc. – Class A		3,703,594
	54,640	Genpact Ltd.		2,519,451
		Total Software & Services		6,223,045
		Technology Hardware & Equipment — 5.9%
	10,713	Badger Meter, Inc.		1,240,780
	35,267	Ciena Corp. *		1,585,604
	26,463	Fabrinet *		3,530,429
		Total Technology Hardware & Equipment		6,356,813
		Transportation — 7.1%
	21,674	Landstar System, Inc.		3,749,168
	16,342	Saia, Inc. *		3,980,748
		Total Transportation		7,729,916
		TOTAL COMMON STOCKS (COST $91,488,545)		106,671,208
		MUTUAL FUNDS — 0.6%
		Affiliated Issuers — 0.6%
	141,414	GMO U.S. Treasury Fund		704,241
		TOTAL MUTUAL FUNDS (COST $704,241)		704,241

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.7%
		Money Market Funds — 0.7%
	720,737	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (a)		720,737
		TOTAL SHORT-TERM INVESTMENTS (COST $720,737)		720,737
		TOTAL INVESTMENTS — 100.0% (Cost $92,913,523)		108,096,186
		Other Assets and Liabilities (net) — (0.0)%		(15,924	)
		TOTAL NET ASSETS — 100.0%		$108,080,262

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.2%
		Australia — 4.3%
	6,116	Accent Group Ltd		7,549
	1,525	Ampol Ltd		29,730
	11,504	Aurizon Holdings Ltd		29,900
	2,101	BHP Group Ltd		65,247
	10,634	BlueScope Steel Ltd		128,171
	10,646	Brambles Ltd		88,062
	1,921	Computershare Ltd		36,416
	6,028	Fortescue Metals Group Ltd		80,231
	12,342	GrainCorp Ltd – Class A		68,239
	2,985	JB Hi-Fi Ltd		91,802
	12,725	Rio Tinto Ltd		949,980
	4,330	Sims Ltd		38,686
		Total Australia		1,614,013
		Belgium — 0.1%
	1,131	Bekaert SA		40,387
		Brazil — 0.9%
	1,800	Arezzo Industria e Comercio SA		31,069
	4,400	Banco do Brasil SA		29,914
	10,200	BB Seguridade Participacoes SA		61,561
	23,300	Cielo SA		21,507
	3,800	Lojas Renner SA		16,952
	7,500	Petroleo Brasileiro SA Sponsored ADR		87,675
	36,100	TIM SA		90,435
	5,200	Vibra Energia SA		16,564
		Total Brazil		355,677
		Denmark — 0.1%
	1,228	Scandinavian Tobacco Group A/S		21,813
		Finland — 0.9%
	68,365	Nokia Oyj		336,828
	216	UPM-Kymmene Oyj		7,930
		Total Finland		344,758
		France — 13.2%
	598	Alten SA		75,578
	17,325	Cie de Saint-Gobain		798,883
	1,448	Coface SA		17,726
	4,937	Derichebourg SA		26,708
	1,742	Ipsen SA		194,730
	1,111	IPSOS		63,557
	385	Kaufman & Broad SA		10,396
	343	Kering SA		206,087
	2,641	Publicis Groupe SA		173,821
	11,137	Sanofi		1,005,997
	390	Societe BIC SA		25,765
	15,244	Societe Generale SA		383,677
	22,900	STMicroelectronics NV		890,352
	2,457	Television Francaise 1		18,571

Shares		Description	Value ($)
		France — continued
	17,898	TotalEnergies SE		1,118,626
		Total France		5,010,474
		Germany — 3.8%
	33	Aurubis AG		2,649
	3,669	Bayer AG (Registered)		212,938
	3,571	Bayerische Motoren Werke AG		324,242
	207	Henkel AG & Co KGaA		13,772
	84	Hornbach Holding AG & Co KGaA		6,663
	432	HUGO BOSS AG		24,302
	5,343	Kloeckner & Co SE		50,706
	3,899	Merck KGaA		714,355
	601	RTL Group SA		24,963
	386	Volkswagen AG		74,517
		Total Germany		1,449,107
		Hong Kong — 1.0%
	9,100	ASMPT Ltd		67,745
	25,000	CK Asset Holdings Ltd		149,637
	4,000	Johnson Electric Holdings Ltd		5,016
	1,500	Techtronic Industries Co Ltd		18,285
	1,800	VTech Holdings Ltd		11,480
	222,000	WH Group Ltd		130,073
		Total Hong Kong		382,236
		India — 1.0%
	3,359	Cipla Ltd		47,391
	18,547	GAIL India Ltd		21,731
	635	Hero MotoCorp Ltd		22,322
	644	Hindustan Aeronautics Ltd		21,969
	31,581	ITC Ltd		132,413
	1,169	Rajesh Exports Ltd		11,090
	67,001	REC Ltd		91,296
	2,990	Sun Pharmaceutical Industries Ltd		38,820
		Total India		387,032
		Ireland — 0.4%
	10,544	Bank of Ireland Group Plc		87,431
	908	Kingspan Group Plc		51,544
		Total Ireland		138,975
		Italy — 0.5%
	6,166	Anima Holding SPA		23,598
	675	Banca IFIS SPA		9,303
	1,005	Esprinet SPA		7,430
	1,719	Leonardo SPA		13,792
	128	Sesa SPA		16,078
	9,143	Snam SPA		46,672
	13,409	Unipol Gruppo SPA		68,591
		Total Italy		185,464

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — 23.7%
	2,300	Advantest Corp		156,544
	21,800	Asahi Kasei Corp		162,025
	2,500	Bandai Namco Holdings Inc		165,651
	7,500	Brother Industries Ltd		121,809
	34,400	Canon Inc		804,090
	700	Dai Nippon Printing Co Ltd		14,498
	3,000	Daiwabo Holdings Co Ltd		47,863
	600	Dexerials Corp		14,400
	1,300	FUJIFILM Holdings Corp		69,930
	3,100	Haseko Corp		34,278
	30,400	ITOCHU Corp		954,775
	46,700	Japan Tobacco Inc		955,453
	28,400	KDDI Corp		844,746
	72,800	Marubeni Corp		823,541
	7,200	Mitsubishi Corp		242,490
	13,000	Mitsubishi Motors Corp *		60,651
	29,400	Mitsui & Co Ltd		853,297
	7,900	NGK Spark Plug Co Ltd		154,788
	1,000	Nichias Corp		17,748
	4,600	Nikon Corp		44,977
	29,400	Nippon Telegraph & Telephone Corp		815,232
	500	Nitto Denko Corp		31,590
	1,900	Ono Pharmaceutical Co Ltd		48,693
	1,900	Sega Sammy Holdings Inc		25,337
	4,700	Seiko Epson Corp		73,961
	6,900	Sekisui Chemical Co Ltd		97,589
	16,500	Sekisui House Ltd		308,941
	600	Shimamura Co Ltd		54,473
	14,220	Sojitz Corp		253,413
	50,400	Sumitomo Chemical Co Ltd		183,750
	6,500	Sumitomo Forestry Co Ltd		113,491
	7,600	Toyota Tsusho Corp		293,382
	900	Yakult Honsha Co Ltd		57,439
	3,900	Yamaha Motor Co Ltd		97,694
	300	Yokogawa Electric Corp		5,658
		Total Japan		9,004,197
		Malaysia — 0.0%
	1,000	Malayan Banking Bhd		1,944
		Netherlands — 7.0%
	917	ASR Nederland NV		41,970
	3,900	EXOR NV *		306,150
	27,811	Koninklijke Ahold Delhaize NV		810,471
	4,094	NN Group NV		174,963
	9,133	Randstad NV		529,014
	5,313	Signify NV		181,463
	5,689	Wolters Kluwer NV		626,987
		Total Netherlands		2,671,018
		Norway — 2.6%
	23,670	Equinor ASA		911,551
	6,029	Norsk Hydro ASA		45,399

Shares		Description	Value ($)
		Norway — continued
	1,503	SpareBank 1 Nord Norge		14,009
	879	SpareBank 1 SR-Bank ASA		10,648
	4,556	XXL ASA		2,076
		Total Norway		983,683
		Poland — 0.2%
	233	Asseco Poland SA		3,823
	4,742	Polski Koncern Naftowy ORLEN SA		69,798
		Total Poland		73,621
		Portugal — 1.2%
	7,992	Galp Energia SGPS SA		98,475
	13,347	Jeronimo Martins SGPS SA		297,792
	8,084	Navigator Co SA (The)		32,837
	34,225	Sonae SGPS SA		34,768
		Total Portugal		463,872
		Russia — 0.0%
	9,800	Surgutneftegas PJSC (a)		243
		Singapore — 4.0%
	32,799	DBS Group Holdings Ltd		855,357
	2,900	Jardine Cycle & Carriage Ltd		64,681
	38,000	Keppel Corp Ltd		212,098
	800	Singapore Exchange Ltd		5,355
	49,200	Wilmar International Ltd		149,249
	221,300	Yangzijiang Shipbuilding Holdings Ltd		234,372
		Total Singapore		1,521,112
		South Africa — 0.1%
	2,596	Aspen Pharmacare Holdings Ltd		21,543
	11,423	Netcare Ltd		9,884
	2,988	Truworths International Ltd		9,899
		Total South Africa		41,326
		South Korea — 2.0%
	13,501	BNK Financial Group Inc		76,506
	4,624	DGB Financial Group Inc		28,017
	885	GS Holdings Corp		32,895
	6,606	Hanwha Life Insurance Co Ltd *		12,764
	611	Hyundai Glovis Co Ltd		82,888
	523	Hyundai Mobis Co Ltd		85,604
	3,097	KT&G Corp		234,997
	582	LG Electronics Inc		43,917
	61	LG Innotek Co Ltd		14,707
	656	LOTTE Fine Chemical Co Ltd		31,422
	464	LX International Corp		14,621
	26	Samsung Electronics Co Ltd GDR (Registered)		30,884
	494	SL Corp		10,671
	1,041	Youngone Corp		37,931
		Total South Korea		737,824

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Spain — 5.8%
	17,127	Acerinox SA		169,438
	169,683	Banco Bilbao Vizcaya Argentaria SA		999,949
	593,652	Banco de Sabadell SA		554,304
	480	Ebro Foods SA		7,585
	6,938	Industria de Diseno Textil SA		181,108
	16,292	Repsol SA		251,554
	34,733	Unicaja Banco SA		35,909
		Total Spain		2,199,847
		Sweden — 0.5%
	2,995	Investor AB – A Shares		57,668
	230	Investor AB – B Shares		4,280
	8,339	SSAB AB – A Shares		48,289
	13,528	SSAB AB – B Shares		76,481
		Total Sweden		186,718
		Switzerland — 6.3%
	92	ALSO Holding AG (Registered) *		17,003
	446	DKSH Holding AG		33,629
	2,162	Novartis AG (Registered)		192,320
	200	Novartis AG Sponsored ADR		17,912
	118	Roche Holding AG		47,402
	3,857	Roche Holding AG – Genusschein		1,259,788
	2,900	UBS Group AG (Registered) (b)		53,476
	35,906	UBS Group AG (Registered) (b)		662,562
	165	Vetropack Holding AG (Registered) – Class A		5,829
	217	Zurich Insurance Group AG		104,255
		Total Switzerland		2,394,176
		Thailand — 1.7%
	93,200	AP Thailand Pcl NVDR		26,829
	18,900	Bangkok Bank Pcl NVDR		77,655
	192,900	Bangkok Dusit Medical Services Pcl NVDR		166,177
	7,700	Kiatnakin Phatra Bank Pcl NVDR		15,706
	529,900	Krung Thai Bank Pcl NVDR		265,923
	63,200	PTT Oil & Retail Business Pcl NVDR		43,843
	649,600	Sansiri Pcl NVDR		29,075
		Total Thailand		625,208
		Turkey — 2.6%
	377,929	Akbank TAS		353,512
	13,636	Arcelik AS		67,691
	43,063	Aselsan Elektronik Sanayi Ve Ticaret AS		112,688
	3,483	Dogus Otomotiv Servis ve Ticaret AS		29,435
	39,754	Haci Omer Sabanci Holding AS		90,418
	6,176	KOC Holding AS		23,519
	70,623	Turkiye Garanti Bankasi AS		102,119
	133,185	Turkiye Is Bankasi AS – Class C		74,954
	104,432	Turkiye Sinai Kalkinma Bankasi AS *		22,559
	8,373	Vestel Elektronik Sanayi ve Ticaret AS *		26,984
	109,290	Yapi ve Kredi Bankasi AS		70,932
		Total Turkey		974,811

Shares		Description	Value ($)
		United Kingdom — 13.3%
	22,712	3i Group Plc		373,169
	21,301	BAE Systems Plc		210,959
	49,520	Barratt Developments Plc		239,468
	4,024	Bellway Plc		97,780
	13,000	BP Plc Sponsored ADR		466,700
	5,866	British American Tobacco Plc		240,518
	20,100	British American Tobacco Plc Sponsored ADR		829,527
	214,149	BT Group Plc		315,123
	12,470	Coca-Cola HBC AG *		305,027
	300	Diageo Plc Sponsored ADR		55,965
	403	Ferguson Plc		45,689
	8,290	GSK Plc Sponsored ADR		286,751
	8,040	IG Group Holdings Plc		79,978
	32,320	Imperial Brands Plc		831,305
	7,384	Investec Plc		46,635
	16,503	Kingfisher Plc		48,261
	297	Morgan Sindall Group Plc		5,871
	3,728	Next Plc		266,429
	5,740	Persimmon Plc		88,906
	3,503	Plus500 Ltd		80,413
	13,515	Redrow Plc		74,469
	700	Rio Tinto Plc Sponsored ADR		48,048
	6,565	Spirent Communications Plc		22,879
		Total United Kingdom		5,059,870
		TOTAL COMMON STOCKS (COST $32,977,988)		36,869,406
		PREFERRED STOCKS (c) — 1.5%
		Brazil — 0.8%
	18,700	Cia Energetica de Minas Gerais		41,369
	70,200	Cia Paranaense de Energia – Class B		109,304
	14,000	Gerdau SA Sponsored ADR		85,400
	9,900	Itau Unibanco Holding SA Sponsored ADR		49,302
	1,800	Petroleo Brasileiro SA Sponsored ADR		18,450
		Total Brazil		303,825
		Germany — 0.7%
	1,061	Bayerische Motoren Werke AG		92,067
	186	Draegerwerk AG & Co KGaA		8,430
	2,222	Henkel AG & Co KGaA		158,932
		Total Germany		259,429
		South Korea — 0.0%
	302	LG Electronics Inc		10,642
		TOTAL PREFERRED STOCKS (COST $526,658)		573,896

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 2.1%
		United States — 2.1%
		Affiliated Issuers — 2.1%
	163,036	GMO U.S. Treasury Fund		811,918
		Total United States		811,918
		TOTAL MUTUAL FUNDS (COST $811,918)		811,918
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	79,575	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (d)		79,575
		TOTAL SHORT-TERM INVESTMENTS (COST $79,575)		79,575
		TOTAL INVESTMENTS — 101.0% (Cost $34,396,139)	38,334,795
		Other Assets and Liabilities (net) — (1.0)%		(388,778	)
		TOTAL NET ASSETS — 100.0%	$	37,946,017

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
3	MSCI EAFE	December 2022	$	296,970	$	4,800

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2022, 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) Securities are traded on separate exchanges for the same entity.

(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, 2022.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global 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, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.3%
		Automobiles & Components — 0.4%
	10,500	Aptiv PLC *		1,120,035
	4,300	Modine Manufacturing Co. *		91,031
	9,600	Standard Motor Products, Inc.		368,736
		Total Automobiles & Components		1,579,802
		Banks — 0.5%
	21,692	Associated Banc-Corp.		533,623
	12,800	Farmers National Banc Corp.		194,688
	8,900	Hanmi Financial Corp.		240,745
	4,100	Independent Bank Corp.		100,614
	12,100	Radian Group, Inc.		236,797
	34,200	Regions Financial Corp.		793,782
		Total Banks		2,100,249
		Capital Goods — 7.4%
	6,700	3M Co.		843,999
	3,300	Allison Transmission Holdings, Inc.		147,840
	5,800	AMETEK, Inc.		826,036
	2,000	Apogee Enterprises, Inc.		96,500
	5,202	Carlisle Cos., Inc.		1,368,698
	142,153	Carrier Global Corp.		6,300,221
	1,600	Cummins, Inc.		401,856
	8,900	Eaton Corp. Plc		1,454,705
	1,400	Emerson Electric Co.		134,078
	2,400	Encore Wire Corp.		350,664
	19,200	Fortune Brands Home & Security, Inc.		1,254,528
	18,900	Griffon Corp.		667,359
	3,400	Moog, Inc. – Class A		295,902
	32,500	MRC Global, Inc. *		382,200
	13,183	Mueller Industries, Inc.		906,595
	48,000	PACCAR, Inc.		5,083,680
	38,100	Resideo Technologies, Inc. *		617,220
	2,600	Timken Co. (The)		197,548
	21,948	Trane Technologies Plc		3,915,962
	7,636	UFP Industries, Inc.		625,083
	9,315	WW Grainger, Inc.		5,617,504
		Total Capital Goods		31,488,178
		Commercial & Professional Services — 1.0%
	95,700	ACCO Brands Corp.		533,049
	7,400	CBIZ, Inc. *		367,410
	9,600	Deluxe Corp.		185,664
	2,700	Heidrick & Struggles International, Inc.		80,190
	11,900	ICF International, Inc.		1,289,603
	7,200	Kforce, Inc.		425,304
	5,700	Republic Services, Inc. – Class A		793,953
	19,300	Resources Connection, Inc.		372,490
	3,000	TrueBlue, Inc. *		64,740
		Total Commercial & Professional Services		4,112,403

Shares		Description	Value ($)
		Consumer Durables & Apparel — 4.7%
	34,400	Acushnet Holdings Corp.		1,563,480
	5,500	Beazer Homes USA, Inc. *		75,075
	1,700	Brunswick Corp.		126,140
	5,200	Carter’s, Inc.		379,808
	6,100	Columbia Sportswear Co.		546,499
	29,000	Ethan Allen Interiors, Inc.		825,050
	52,841	Garmin Ltd.		4,913,684
	12,500	G-III Apparel Group Ltd. *		270,375
	46,681	La-Z-Boy, Inc.		1,271,124
	3,000	Lennar Corp. – Class B		217,830
	3,500	M/I Homes, Inc. *		158,130
	6,200	MasterCraft Boat Holdings, Inc. *		159,464
	8,500	Meritage Homes Corp. *		734,485
	5,300	Movado Group, Inc.		170,607
	5,700	Oxford Industries, Inc.		643,302
	28,200	PVH Corp.		1,894,476
	87,600	Taylor Morrison Home Corp. – Class A *		2,662,164
	88,652	TRI Pointe Homes, Inc. *		1,634,743
	11,800	Whirlpool Corp.		1,729,054
		Total Consumer Durables & Apparel		19,975,490
		Consumer Services — 0.4%
	6,300	Adtalem Global Education, Inc. *		262,080
	1,300	Graham Holdings Co. – Class B		836,784
	52,975	Perdoceo Education Corp. *		760,191
		Total Consumer Services		1,859,055
		Diversified Financials — 6.8%
	42,600	American Express Co.		6,713,334
	8,800	Ameriprise Financial, Inc.		2,921,160
	93,900	Bank of New York Mellon Corp. (The)		4,310,010
	14,500	Berkshire Hathaway, Inc. – Class B *		4,619,700
	20,100	Discover Financial Services		2,178,036
	18,300	Donnelley Financial Solutions, Inc. *		698,694
	29,043	Enova International, Inc. *		1,171,595
	100	Intercontinental Exchange, Inc.		10,831
	53,000	Janus Henderson Group Plc		1,340,370
	4,500	LPL Financial Holdings, Inc.		1,065,195
	3,700	Nelnet, Inc. – Class A		364,598
	2,200	Oppenheimer Holdings, Inc. – Class A		91,652
	3,247	PROG Holdings, Inc. *		63,934
	34,623	State Street Corp.		2,758,414
	8,000	Synchrony Financial		300,640
		Total Diversified Financials		28,608,163
		Energy — 6.7%
	57,000	Chevron Corp.		10,448,670
	1,057	Chord Energy Corp.		161,224
	7,000	EOG Resources, Inc.		993,510
	101,000	Exxon Mobil Corp.		11,245,340
	6,400	Gulfport Energy Corp. *		518,976
	4,300	Hess Corp.		618,813

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Energy — continued
	54,300	Kosmos Energy Ltd. *		361,095
	8,800	Marathon Petroleum Corp.		1,071,928
	23,100	Phillips 66		2,504,964
	900	Valero Energy Corp.		120,258
	6,400	World Fuel Services Corp.		182,080
		Total Energy		28,226,858
		Food & Staples Retailing — 3.4%
	8,300	Costco Wholesale Corp.		4,475,775
	135,745	Kroger Co. (The)		6,677,297
	12,400	SpartanNash Co.		407,340
	18,000	Walmart, Inc.		2,743,560
	1,500	Weis Markets, Inc.		130,815
		Total Food & Staples Retailing		14,434,787
		Food, Beverage & Tobacco — 6.4%
	2,700	Archer-Daniels-Midland Co.		263,250
	95,100	General Mills, Inc.		8,112,030
	29,900	Hershey Co. (The)		7,031,583
	14,600	Kellogg Co.		1,065,070
	54,600	Keurig Dr Pepper, Inc.		2,111,382
	49,200	Kraft Heinz Co. (The)		1,936,020
	23,000	PepsiCo, Inc.		4,266,730
	4,800	Tyson Foods, Inc. – Class A		318,144
	33,465	Universal Corp.		1,904,493
		Total Food, Beverage & Tobacco		27,008,702
		Health Care Equipment & Services — 5.4%
	9,141	AmerisourceBergen Corp.		1,560,277
	20,800	Centene Corp. *		1,810,640
	17,000	Cigna Corp.		5,591,130
	5,400	CVS Health Corp.		550,152
	5,800	Edwards Lifesciences Corp. *		448,050
	6,700	Elevance Health, Inc.		3,570,564
	8,600	Humana, Inc.		4,729,140
	4,100	UnitedHealth Group, Inc.		2,245,816
	19,200	Zimmer Biomet Holdings, Inc.		2,305,920
		Total Health Care Equipment & Services		22,811,689
		Household & Personal Products — 0.1%
	2,600	Kimberly-Clark Corp.		352,638
		Insurance — 1.6%
	2,086	Allstate Corp. (The)		279,316
	58,700	Genworth Financial, Inc. – Class A *		295,261
	37,400	Progressive Corp. (The)		4,942,410
	26,863	Stewart Information Services Corp.		1,188,956
	500	Travelers Cos., Inc. (The)		94,905
		Total Insurance		6,800,848
		Materials — 2.8%
	20,800	AdvanSix, Inc.		856,128
	38,000	Corteva, Inc.		2,552,080

Shares		Description	Value ($)
		Materials — continued
	50,400	Huntsman Corp.		1,400,112
	3,100	Ingevity Corp. *		242,637
	27,100	Mercer International, Inc.		373,980
	3,673	NewMarket Corp.		1,160,742
	14,396	Reliance Steel & Aluminum Co.		3,041,731
	12,800	Ryerson Holding Corp.		377,472
	12,874	Stepan Co.		1,436,352
	5,100	Valvoline, Inc.		168,198
	10,800	Warrior Met Coal, Inc.		397,656
		Total Materials		12,007,088
		Media & Entertainment — 6.7%
	58,860	Alphabet, Inc. – Class C *		5,971,347
	59,700	Alphabet, Inc. – Class A *		6,029,103
	16,700	AMC Networks, Inc. – Class A *		333,332
	35,400	Cars.com, Inc. *		523,212
	252,633	Comcast Corp. – Class A		9,256,473
	39,042	Electronic Arts, Inc.		5,105,913
	11,500	Fox Corp. – Class B		350,980
	5,800	News Corp. – Class B		112,810
	2,400	Scholastic Corp.		98,688
	2,200	Shutterstock, Inc.		118,404
	17,018	TEGNA, Inc.		335,935
	7,300	Yelp, Inc. *		225,935
		Total Media & Entertainment		28,462,132
		Pharmaceuticals, Biotechnology & Life Sciences — 6.2%
	3,500	Agilent Technologies, Inc.		542,430
	1,200	Biogen, Inc. *		366,204
	61,241	Bristol-Myers Squibb Co.		4,916,427
	12,600	Gilead Sciences, Inc.		1,106,658
	30,200	Johnson & Johnson		5,375,600
	118,850	Merck & Co., Inc.		13,087,762
	9,795	Prestige Consumer Healthcare, Inc. *		602,001
		Total Pharmaceuticals, Biotechnology & Life Sciences		25,997,082
		Real Estate — 0.1%
	5,600	CBRE Group, Inc. – Class A *		445,760
		Retailing — 9.2%
	4,900	1-800-Flowers.com, Inc. – Class A *		41,454
	8,400	Aaron’s Co., Inc. (The)		102,396
	13,880	Amazon.com, Inc. *		1,339,975
	800	AutoZone, Inc. *		2,063,200
	11,400	Caleres, Inc.		275,424
	14,000	Chico’s FAS, Inc. *		82,180
	16,000	Container Store Group , Inc. (The) *		76,000
	32,300	Designer Brands, Inc. – Class A		494,190
	10,600	Dollar General Corp.		2,710,208
	134,000	eBay, Inc.		6,088,960
	4,300	Genesco, Inc. *		224,460
	9,200	Genuine Parts Co.		1,686,636

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	10,454	Group 1 Automotive, Inc.		2,021,177
	8,700	Haverty Furniture Cos., Inc.		274,311
	31,400	Home Depot, Inc. (The)		10,173,286
	13,700	ODP Corp. (The) *		659,381
	11,396	Penske Automotive Group, Inc.		1,441,024
	15,978	Qurate Retail, Inc. – Series A – Series A *		37,548
	10,800	Shoe Carnival, Inc.		285,228
	32,100	Signet Jewelers Ltd.		2,086,500
	12,800	Tractor Supply Co.		2,896,768
	1,900	TravelCenters of America, Inc. *		97,185
	8,500	Ulta Beauty, Inc. *		3,951,140
		Total Retailing		39,108,631
		Semiconductors & Semiconductor Equipment — 8.1%
	2,800	Applied Materials, Inc.		306,880
	5,000	Axcelis Technologies, Inc. *		399,300
	6,292	Cirrus Logic, Inc. *		470,075
	230,443	Intel Corp.		6,929,421
	28,800	Kulicke & Soffa Industries, Inc.		1,380,960
	67,100	Microchip Technology, Inc.		5,313,649
	35,100	NXP Semiconductors NV		6,171,984
	54,700	ON Semiconductor Corp. *		4,113,440
	71,900	QUALCOMM, Inc.		9,094,631
		Total Semiconductors & Semiconductor Equipment		34,180,340
		Software & Services — 8.3%
	11,700	Automatic Data Processing, Inc.		3,090,438
	35,022	Cadence Design Systems, Inc. *		6,025,185
	12,900	CSG Systems International, Inc.		797,736
	1,600	International Business Machines Corp.		238,240
	57,219	Microsoft Corp.		14,598,856
	20,100	Oracle Corp.		1,668,903
	4,400	Roper Technologies, Inc.		1,931,116
	20,374	Synopsys, Inc. *		6,917,788
		Total Software & Services		35,268,262
		Technology Hardware & Equipment — 11.6%
	158,524	Apple, Inc.		23,466,308
	6,500	Arista Networks, Inc. *		905,450
	10,737	Arrow Electronics, Inc. *		1,167,541
	16,622	Avnet, Inc.		750,816
	4,700	Bel Fuse, Inc. – Class B		161,868
	300	CTS Corp.		12,750
	39,900	Dell Technologies, Inc. – Class C		1,787,121
	215,600	Hewlett Packard Enterprise Co.		3,617,768
	242,444	HP, Inc.		7,283,018
	34,700	Keysight Technologies, Inc. *		6,276,883
	1,000	Motorola Solutions, Inc.		272,200
	6,100	National Instruments Corp.		250,222
	2,900	Sanmina Corp. *		191,661
	25,500	Super Micro Computer, Inc. *		2,300,865
	5,600	TTM Technologies, Inc. *		89,992
	6,600	Vontier Corp.		129,558

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	15,695	Xerox Holdings Corp.		255,985
		Total Technology Hardware & Equipment		48,920,006
		Telecommunication Services — 0.2%
	26,240	Verizon Communications, Inc.		1,022,835
		Transportation — 0.3%
	7,500	Hub Group, Inc. – Class A *		631,125
	25,600	Schneider National, Inc. – Class B		659,456
		Total Transportation		1,290,581
		TOTAL COMMON STOCKS (COST $389,920,317)		416,061,579
		MUTUAL FUNDS — 1.3%
		Affiliated Issuers — 1.3%
	1,104,418	GMO U.S. Treasury Fund		5,500,000
		TOTAL MUTUAL FUNDS (COST $5,500,000)		5,500,000
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	555,139	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (a)		555,139
		TOTAL SHORT-TERM INVESTMENTS (COST $555,139)		555,139
		TOTAL INVESTMENTS — 99.7% (Cost $395,975,456)		422,116,718
		Other Assets and Liabilities (net) — 0.3%		1,126,266
		TOTAL NET ASSETS — 100.0%		$423,242,984

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
27	S&P 500 E-Mini	December 2022	$	5,509,688	$	238,996

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

As of November 30, 2022, 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, 2022.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.5%
		Automobiles & Components — 0.2%
	4,600	Modine Manufacturing Co. *		97,382
	2,000	Standard Motor Products, Inc.		76,820
		Total Automobiles & Components		174,202
		Banks — 9.2%
	5,706	1st Source Corp.		325,813
	10,925	Amalgamated Financial Corp.		291,370
	1,527	Arrow Financial Corp.		53,705
	73,899	Associated Banc-Corp.		1,817,915
	7,600	Atlantic Union Bankshares Corp.		271,092
	3,600	BCB Bancorp, Inc.		67,860
	2,800	Camden National Corp.		122,584
	600	Capital City Bank Group, Inc.		21,120
	12,200	Cathay General Bancorp		566,934
	3,400	Central Valley Community Bancorp		69,360
	2,570	Civista Bancshares, Inc.		58,750
	4,167	CNB Financial Corp.		106,467
	4,996	Community Trust Bancorp, Inc.		239,358
	500	Enterprise Financial Services Corp.		26,170
	4,700	Farmers National Banc Corp.		71,487
	6,304	Financial Institutions, Inc.		159,617
	1,800	First Commonwealth Financial Corp.		26,496
	3,105	First Community Bankshares, Inc.		114,730
	4,498	First Financial Bancorp		118,882
	4,100	First Financial Corp.		197,087
	1,700	Great Southern Bancorp, Inc.		106,505
	14,489	Hanmi Financial Corp.		391,927
	6,800	Heritage Financial Corp.		223,720
	30,000	Hope Bancorp, Inc.		408,600
	3,100	Horizon Bancorp, Inc.		50,406
	8,191	Independent Bank Corp.		201,007
	1,800	LCNB Corp.		32,832
	1,436	Mercantile Bank Corp.		49,987
	4,800	Midland States Bancorp, Inc.		129,168
	2,700	MidWestOne Financial Group, Inc.		94,203
	1,900	NBT Bancorp, Inc.		87,704
	600	Northrim BanCorp, Inc.		33,366
	8,180	OFG Bancorp		236,975
	4,500	QCR Holdings, Inc.		236,745
	66,700	Radian Group, Inc.		1,305,319
	1,113	Republic Bancorp, Inc. – Class A		49,050
	15,296	Towne Bank		494,061
	2,300	Trustmark Corp.		84,134
	13,867	Waterstone Financial, Inc.		232,272
		Total Banks		9,174,778
		Capital Goods — 10.3%
	42,000	Allison Transmission Holdings, Inc.		1,881,600
	7,500	Apogee Enterprises, Inc.		361,875
	6,171	Applied Industrial Technologies, Inc.		817,596
	1,681	Ducommun, Inc. *		84,571

Shares		Description	Value ($)
		Capital Goods — continued
	800	Global Industrial Co.		19,688
	18,800	Griffon Corp.		663,828
	10,370	Hyster-Yale Materials Handling, Inc.		303,634
	1,347	Insteel Industries, Inc.		39,723
	1,968	Miller Industries, Inc.		54,297
	12,319	Moog, Inc. – Class A		1,072,123
	40,000	MRC Global, Inc. *		470,400
	27,355	Mueller Industries, Inc.		1,881,203
	39,200	NOW, Inc. *		489,216
	6,252	Park-Ohio Holdings Corp.		83,464
	1,396	Preformed Line Products Co.		131,699
	15,595	Primoris Services Corp.		332,953
	4,300	Quanex Building Products Corp.		102,211
	32,135	Resideo Technologies, Inc. *		520,587
	1,100	Rush Enterprises, Inc. – Class B		58,289
	800	Standex International Corp.		84,040
	4,000	Tennant Co.		254,120
	600	Timken Co. (The)		45,588
	1,319	UFP Industries, Inc.		107,973
	9,548	V2X, Inc. *		385,835
		Total Capital Goods		10,246,513
		Commercial & Professional Services — 5.0%
	120,749	ACCO Brands Corp.		672,572
	1,600	Barrett Business Services, Inc.		157,328
	5,700	Brady Corp. – Class A		273,030
	9,800	CBIZ, Inc. *		486,570
	24,279	Deluxe Corp.		469,556
	3,500	DLH Holdings Corp. *		49,000
	6,000	Ennis, Inc.		139,380
	8,571	Heidrick & Struggles International, Inc.		254,559
	4,034	HNI Corp.		116,986
	5,000	ICF International, Inc.		541,850
	5,118	Interface, Inc.		55,428
	24,400	Kelly Services, Inc. – Class A		414,556
	30,573	Kimball International, Inc. – Class B		218,902
	19,600	Quad/Graphics, Inc. *		72,520
	26,890	Resources Connection, Inc.		518,977
	64,493	Steelcase, Inc. – Class A		511,429
		Total Commercial & Professional Services		4,952,643
		Consumer Durables & Apparel — 6.8%
	16,400	Acushnet Holdings Corp.		745,380
	4,300	Bassett Furniture Industries, Inc.		81,657
	2,652	Clarus Corp.		22,065
	37,277	Ethan Allen Interiors, Inc.		1,060,531
	15,500	G-III Apparel Group Ltd. *		335,265
	4,846	Hooker Furniture Corp.		82,430
	2,722	Johnson Outdoors, Inc. – Class A		153,956
	34,191	La-Z-Boy, Inc.		931,021
	6,200	MasterCraft Boat Holdings, Inc. *		159,464
	20,435	Movado Group, Inc.		657,803
	3,100	Oxford Industries, Inc.		349,866

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	42,700	Taylor Morrison Home Corp. – Class A *		1,297,653
	35,592	TRI Pointe Homes, Inc. *		656,316
	4,969	Universal Electronics, Inc. *		108,672
	29,851	Vera Bradley, Inc. *		113,434
	4,100	VOXX International Corp. *		45,059
		Total Consumer Durables & Apparel		6,800,572
		Consumer Services — 1.6%
	4,400	Adtalem Global Education, Inc. *		183,040
	1,252	Graham Holdings Co. – Class B		805,887
	11,100	Lincoln Educational Services Corp. *		73,371
	33,100	Perdoceo Education Corp. *		474,985
		Total Consumer Services		1,537,283
		Diversified Financials — 5.0%
	11,500	A-Mark Precious Metals, Inc.		396,750
	29,771	Curo Group Holdings Corp.		106,282
	608	Diamond Hill Investment Group, Inc.		108,200
	37,504	Donnelley Financial Solutions, Inc. *		1,431,903
	34,509	Enova International, Inc. *		1,392,093
	700	Federated Hermes, Inc.		26,572
	9,000	Green Dot Corp. *		183,420
	4,700	Nelnet, Inc. – Class A		463,138
	7,600	Oppenheimer Holdings, Inc. – Class A		316,616
	4,600	Regional Management Corp.		135,424
	3,500	StoneX Group, Inc. *		355,145
	3,814	Westwood Holdings Group, Inc.		45,844
		Total Diversified Financials		4,961,387
		Energy — 5.7%
	2,700	Brigham Minerals, Inc.		95,661
	12,300	California Resources Corp.		558,174
	26,060	Evolution Petroleum Corp.		188,414
	10,000	Gulfport Energy Corp. *		810,900
	66,400	Kosmos Energy Ltd. *		441,560
	3,300	Murphy Oil Corp.		155,760
	66,900	Oil States International, Inc. *		451,575
	7,800	Penn Virginia Corp.		339,846
	35,700	Plains GP Holdings LP – Class A		472,311
	90,100	VAALCO Energy, Inc.		466,718
	57,397	World Fuel Services Corp.		1,632,944
		Total Energy		5,613,863
		Food & Staples Retailing — 1.9%
	5,601	Ingles Markets, Inc. – Class A		566,261
	7,800	Natural Grocers by Vitamin Cottage, Inc.		78,624
	21,409	SpartanNash Co.		703,286
	1,500	Village Super Market, Inc. – Class A		33,810
	5,700	Weis Markets, Inc.		497,097
		Total Food & Staples Retailing		1,879,078

Shares		Description	Value ($)
		Food, Beverage & Tobacco — 1.9%
	2,844	Seneca Foods Corp. – Class A *		182,812
	24,059	Universal Corp.		1,369,198
	31,200	Vector Group Ltd.		346,320
		Total Food, Beverage & Tobacco		1,898,330
		Health Care Equipment & Services — 2.8%
	19,800	Allscripts Healthcare Solutions, Inc. *		375,012
	800	AMN Healthcare Services, Inc. *		98,960
	4,200	Avanos Medical, Inc. *		112,980
	3,100	Computer Programs & Systems, Inc. *		91,760
	28,700	Eargo, Inc. *		18,230
	2,219	FONAR Corp. *		41,762
	6,700	HealthStream, Inc. *		170,180
	1,958	LENSAR, Inc. *		6,481
	12,700	MEDNAX, Inc. *		202,946
	3,500	Meridian Bioscience, Inc. *		112,000
	1,800	National HealthCare Corp.		110,952
	6,700	NextGen Healthcare, Inc. *		139,360
	2,700	Owens & Minor, Inc.		55,647
	36,500	Patterson Cos., Inc.		1,038,060
	9,500	Select Medical Holdings Corp.		233,510
		Total Health Care Equipment & Services		2,807,840
		Household & Personal Products — 0.0%
	6,943	Lifevantage Corp.		25,967
		Insurance — 3.2%
	57,900	CNO Financial Group, Inc.		1,359,492
	103,000	Genworth Financial, Inc. – Class A *		518,090
	8,780	GoHealth, Inc. *		114,141
	22,190	Stewart Information Services Corp.		982,129
	15,400	Universal Insurance Holdings, Inc.		169,246
		Total Insurance		3,143,098
		Materials — 9.7%
	18,248	AdvanSix, Inc.		751,088
	14,208	American Vanguard Corp.		326,784
	200	Greif, Inc. – Class B		15,028
	30,400	Huntsman Corp.		844,512
	4,800	Innospec, Inc.		532,272
	13,419	Koppers Holdings, Inc.		399,752
	39,013	Mativ Holdings, Inc.		810,300
	24,380	Mercer International, Inc.		336,444
	3,800	Myers Industries Inc.		88,692
	3,300	NewMarket Corp.		1,042,866
	6,700	O-I Glass, Inc. *		109,947
	3,500	Olympic Steel, Inc.		122,815
	10,800	Pactiv Evergreen, Inc.		125,712
	6,300	Reliance Steel & Aluminum Co.		1,331,127
	21,800	Ryerson Holding Corp.		642,882
	5,200	Stepan Co.		580,164
	42,400	Warrior Met Coal, Inc.		1,561,168
		Total Materials		9,621,553

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Media & Entertainment — 3.8%
	35,300	AMC Networks, Inc. – Class A *		704,588
	1,183	DHI Group, Inc. *		6,648
	1,500	John Wiley & Sons, Inc. – Class A		71,115
	3,100	Lee Enterprises, Inc. *		55,800
	10,500	Scholastic Corp.		431,760
	9,200	Sciplay Corp. – Class A *		147,384
	73,390	TEGNA, Inc.		1,448,719
	28,100	Yelp, Inc. *		869,695
		Total Media & Entertainment		3,735,709
		Pharmaceuticals, Biotechnology & Life Sciences — 2.4%
	1,200	Ionis Pharmaceuticals, Inc. *		48,948
	300	Phibro Animal Health Corp. – Class A		3,693
	2,200	Pliant Therapeutics, Inc. *		40,436
	36,820	Prestige Consumer Healthcare, Inc. *		2,262,957
		Total Pharmaceuticals, Biotechnology & Life Sciences		2,356,034
		Real Estate — 4.4%
	149,582	Anywhere Real Estate, Inc. *		1,129,344
	12,400	Apple Hospitality REIT, Inc.		211,544
	159,900	Diversified Healthcare Trust (REIT)		158,301
	6,881	Five Point Holdings LLC – Class A *		14,863
	5,770	Forestar Group, Inc. *		85,569
	2,500	Hersha Hospitality Trust (REIT)		24,075
	10,700	Marcus & Millichap, Inc.		398,468
	17,214	Newmark Group, Inc. – Class A		145,975
	48,200	Piedmont Office Realty Trust, Inc. – Class A (REIT)		501,762
	26,100	PotlatchDeltic Corp. (REIT)		1,247,319
	4,100	RMR Group, Inc. (The) – Class A		118,531
	7,900	Service Properties Trust (REIT)		62,015
	2,800	Whitestone REIT		27,244
	18,000	Xenia Hotels & Resorts, Inc. (REIT)		277,560
		Total Real Estate		4,402,570
		Retailing — 7.3%
	12,500	Aaron’s Co., Inc. (The)		152,375
	4,120	Cato Corp. (The) – Class A		42,848
	29,800	Chico’s FAS, Inc. *		174,926
	39,200	Container Store Group , Inc. (The) *		186,200
	54,900	Designer Brands, Inc. – Class A		839,970
	18,287	Genesco, Inc. *		954,582
	13,294	Group 1 Automotive, Inc.		2,570,262
	19,994	Haverty Furniture Cos., Inc.		630,411
	10,100	Lands’ End, Inc. *		116,756
	7,300	ODP Corp. (The) *		351,349
	1,013	Penske Automotive Group, Inc.		128,094
	27,796	Shoe Carnival, Inc.		734,092
	5,500	Signet Jewelers Ltd.		357,500
	1,194	Weyco Group, Inc.		30,566
		Total Retailing		7,269,931

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — 3.0%
	40,700	Amkor Technology, Inc.		1,140,414
	3,700	Axcelis Technologies, Inc. *		295,482
	8,300	Cirrus Logic, Inc. *		620,093
	19,400	Kulicke & Soffa Industries, Inc.		930,230
		Total Semiconductors & Semiconductor Equipment		2,986,219
		Software & Services — 0.0%
	200	CSG Systems International, Inc.		12,368
		Technology Hardware & Equipment — 9.0%
	44,013	Avnet, Inc.		1,988,067
	3,400	Bel Fuse, Inc. – Class B		117,096
	14,219	Benchmark Electronics, Inc.		410,503
	7,100	CommScope Holding Co., Inc. *		63,048
	14,161	CTS Corp.		601,842
	21,200	Daktronics, Inc. *		73,140
	400	ePlus, Inc. *		19,864
	10,678	Kimball Electronics, Inc. *		246,555
	12,600	Knowles Corp. *		196,560
	6,900	National Instruments Corp.		283,038
	2,300	PC Connection, Inc.		127,765
	16,545	Sanmina Corp. *		1,093,459
	7,053	ScanSource, Inc. *		210,603
	21,244	Super Micro Computer, Inc. *		1,916,846
	7,400	TTM Technologies, Inc. *		118,918
	1,300	Vishay Intertechnology, Inc.		29,952
	700	Vishay Precision Group Inc. *		28,399
	88,122	Xerox Holdings Corp.		1,437,270
		Total Technology Hardware & Equipment		8,962,925
		Telecommunication Services — 1.0%
	2,900	ATN International, Inc.		140,389
	17,121	Spok Holdings, Inc.		139,022
	58,332	Telephone & Data Systems, Inc.		614,819
	3,352	United States Cellular Corp. *		71,264
		Total Telecommunication Services		965,494
		Transportation — 2.3%
	11,400	Hub Group, Inc. – Class A *		959,310
	50,300	Schneider National, Inc. – Class B		1,295,728
		Total Transportation		2,255,038
		TOTAL COMMON STOCKS (COST $89,780,156)		95,783,395
		MUTUAL FUNDS — 2.8%
		Affiliated Issuers — 2.8%
	550,767	GMO U.S. Treasury Fund		2,742,822
		TOTAL MUTUAL FUNDS (COST $2,742,822)		2,742,822

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (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 — 0.4%
		Money Market Funds — 0.4%
	408,552	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (b)		408,552
		TOTAL SHORT-TERM INVESTMENTS (COST $408,552)		408,552
		TOTAL INVESTMENTS — 99.7% (Cost $92,964,972)		98,971,119
		Other Assets and Liabilities (net) — 0.3%		344,800
		TOTAL NET ASSETS — 100.0%		$99,315,919

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
33	E-mini Russell 2000 Index		December 2022	$	3,114,375	$	43,892

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2022, 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, 2022.

Portfolio Abbreviations:

CVR - Contingent Value Right

REIT - Real Estate Investment Trust

Organization

Each of Climate Change Fund, Emerging Markets ex-China Fund, Emerging Markets Fund, Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund), International Equity Fund, Japan Value Creation Fund, Quality Cyclicals Fund, Quality Fund, Resources Fund, Small Cap Quality Fund (commenced operations on September 20, 2022), 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, 2022, 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, 2022:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	8,193,218	$	—	$	—	$	8,193,218
Australia		—		4,809,475		—		4,809,475
Belgium		—		1,687,934		—		1,687,934
Brazil		—		24,421,654		—		24,421,654
Canada		97,464,945		—		—		97,464,945
China		3,861,043		18,766,027		—		22,627,070
Denmark		—		31,610,086		—		31,610,086
Finland		—		9,328,608		—		9,328,608
France		—		62,535,009		—		62,535,009
Germany		—		17,227,807		—		17,227,807
Italy		—		2,392,039		—		2,392,039
Japan		—		40,015,374		—		40,015,374

Description	Level 1		Level 2		Level 3			Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Mexico	$	20,870,397	$	—	$	—		$	20,870,397
Netherlands		—		4,890,970		—			4,890,970
Norway		—		6,365,082		—			6,365,082
Pakistan		—		167,235		—			167,235
Russia		—		—		2,233,646			2,233,646
South Korea		—		59,720,452		—			59,720,452
Spain		—		2,562,045		—			2,562,045
Switzerland		—		1,797,989		—			1,797,989
Thailand		—		995,432		—			995,432
Ukraine		—		909,810		—			909,810
United Kingdom		—		9,736,718		—			9,736,718
United States		464,211,371		—		—			464,211,371
TOTAL COMMON STOCKS		594,600,974		299,939,746		2,233,646			896,774,366
Preferred Stocks
Chile		13,055,207		—		—			13,055,207
TOTAL PREFERRED STOCKS		13,055,207		—		—			13,055,207
Rights/Warrants
Australia		—		—		0	§		0	§
TOTAL RIGHTS/WARRANTS		—		—		0	§		0	§
Mutual Funds
United States		24,945,517		—		—			24,945,517
TOTAL MUTUAL FUNDS		24,945,517		—		—			24,945,517
Short-Term Investments		465,014		—		—			465,014
Total Investments		633,066,712		299,939,746		2,233,646			935,240,104
Total	$	633,066,712	$	299,939,746	$	2,233,646		$	935,240,104
Emerging Markets ex-China Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	3,791,684	$	2,749,537	$	2,305		$	6,543,526
Chile		407,015		1,302,472		—			1,709,487
Colombia		437,045		—		—			437,045
Czech Republic		—		511,282		—			511,282
Egypt		—		1,352,956		—			1,352,956
Greece		—		129,765		—			129,765
Hungary		—		4,410,043		—			4,410,043
India		6,253,333		17,973,610		—			24,226,943
Indonesia		—		17,130,572		—			17,130,572
Malaysia		—		533,526		—			533,526
Mexico		27,091,416		—		0	§		27,091,416
Philippines		—		691,375		—			691,375
Poland		—		5,132,139		—			5,132,139
Qatar		—		2,288,834		—			2,288,834
Russia		—		802,683		3,121,148			3,923,831
South Africa		1,790,521		17,168,910		—			18,959,431
South Korea		827,370		72,532,278		—			73,359,648
Taiwan		14,297,454		71,704,976		—			86,002,430
Thailand		—		5,599,490		—			5,599,490
Turkey		—		1,675,989		—			1,675,989
United Kingdom		—		1,794,140		—			1,794,140
Vietnam		—		10,275,731		—			10,275,731
TOTAL COMMON STOCKS		54,895,838		235,760,308		3,123,453			293,779,599

Description	Level 1		Level 2		Level 3			Total
Emerging Markets ex-China Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	5,353,287	$	13,646,989	$	—		$	19,000,276
Chile		—		47,186		—			47,186
Russia		—		—		144,398			144,398
South Korea		—		15,895		—			15,895
Taiwan		—		55,038		—			55,038
TOTAL PREFERRED STOCKS		5,353,287		13,765,108		144,398			19,262,793
Mutual Funds
United States		12,521,838		—		—			12,521,838
TOTAL MUTUAL FUNDS		12,521,838		—		—			12,521,838
Short-Term Investments		1,718,438		—		—			1,718,438
Total Investments		74,489,401		249,525,416		3,267,851			327,282,668
Total	$	74,489,401	$	249,525,416	$	3,267,851		$	327,282,668
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	15,168,450	$	12,285,260	$	32,092		$	27,485,802
Chile		—		1,047,959		—			1,047,959
China		32,668,899		234,865,056		873,086			268,407,041
Colombia		222,826		—		—			222,826
Czech Republic		—		1,778,713		—			1,778,713
Egypt		—		729,309		—			729,309
Greece		—		384,340		—			384,340
Hungary		—		18,814,687		—			18,814,687
India		12,380,940		66,170,843		8,586,516			87,138,299
Indonesia		—		46,985,246		—			46,985,246
Kuwait		—		615,911		—			615,911
Malaysia		—		1,371,350		—			1,371,350
Mexico		74,930,436		—		0	§		74,930,436
Panama		90,960		—		—			90,960
Philippines		—		3,422,331		—			3,422,331
Poland		—		12,047,281		—			12,047,281
Qatar		—		8,576,714		—			8,576,714
Russia		—		2,656,774		14,550,663			17,207,437
South Africa		2,872,002		45,134,851		—			48,006,853
South Korea		—		165,532,220		—			165,532,220
Sri Lanka		—		—		253,961			253,961
Taiwan		19,137,843		215,210,325		—			234,348,168
Thailand		—		8,053,900		—			8,053,900
Turkey		—		6,238,920		—			6,238,920
United Kingdom		—		11,313,404		—			11,313,404
Vietnam		—		39,250,552		—			39,250,552
TOTAL COMMON STOCKS		157,472,356		902,485,946		24,296,318			1,084,254,620
Preferred Stocks
Brazil		5,379,295		35,230,590		—			40,609,885
Russia		—		—		2,372,331			2,372,331
South Korea		—		22,925,257		—			22,925,257
Taiwan		—		803,183		—			803,183
TOTAL PREFERRED STOCKS		5,379,295		58,959,030		2,372,331			66,710,656
Debt Obligations
United States		4,804,121		—		—			4,804,121
TOTAL DEBT OBLIGATIONS		4,804,121		—		—			4,804,121

Description	Level 1		Level 2		Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	4,555,303	$	—	$	—	$	4,555,303
TOTAL MUTUAL FUNDS		4,555,303		—		—		4,555,303
Short-Term Investments		7,331,552		—		—		7,331,552
Total Investments		179,542,627		961,444,976		26,668,649		1,167,656,252
Derivatives^
Futures Contracts
Equity Risk		336,880		—		—		336,880
Total	$	179,879,507	$	961,444,976	$	26,668,649	$	1,167,993,132
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
Asset Valuation Inputs
Common Stocks
Brazil	$	624,691	$	2,231,613	$	1,297	$	2,857,601
China		1,254,140		42,837,460		—		44,091,600
France		—		1,182,250		—		1,182,250
Hong Kong		—		1,807,520		—		1,807,520
India		—		20,987,670		—		20,987,670
Indonesia		—		8,185,705		—		8,185,705
Japan		—		923,557		—		923,557
Mexico		7,945,497		—		—		7,945,497
Peru		509,786		—		—		509,786
Philippines		—		340,195		—		340,195
Qatar		—		1,604,239		—		1,604,239
Russia		—		—		595,027		595,027
Saudi Arabia		—		1,253,936		—		1,253,936
South Africa		—		1,431,826		—		1,431,826
South Korea		—		10,927,001		—		10,927,001
Switzerland		—		1,655,617		—		1,655,617
Taiwan		—		20,819,961		—		20,819,961
Thailand		—		3,190,219		—		3,190,219
United Arab Emirates		—		935,470		—		935,470
United Kingdom		—		2,478,362		—		2,478,362
United States		1,889,337		403,339		—		2,292,676
Vietnam		—		2,554,509		—		2,554,509
TOTAL COMMON STOCKS		12,223,451		125,750,449		596,324		138,570,224
Preferred Stocks
Brazil		—		652,837		—		652,837
TOTAL PREFERRED STOCKS		—		652,837		—		652,837
Investment Funds
Russia		—		—		9,610		9,610
TOTAL INVESTMENT FUNDS		—		—		9,610		9,610
Mutual Funds
United States		5,608,296		—		—		5,608,296
TOTAL MUTUAL FUNDS		5,608,296		—		—		5,608,296
Short-Term Investments		708,282		—		—		708,282
Total Investments		18,540,029		126,403,286		605,934		145,549,249
Total	$	18,540,029	$	126,403,286	$	605,934	$	145,549,249

Description	Level 1		Level 2		Level 3		Total
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	66,896,209	$	—	$	66,896,209
Belgium		—		3,219,406		—		3,219,406
Denmark		—		789,114		—		789,114
Finland		—		21,597,008		—		21,597,008
France		37,072,080		181,411,027		—		218,483,107
Germany		—		60,231,173		—		60,231,173
Hong Kong		—		26,119,209		—		26,119,209
Ireland		—		9,739,634		—		9,739,634
Italy		—		12,915,595		—		12,915,595
Japan		731,168		399,416,267		—		400,147,435
Netherlands		—		118,169,690		—		118,169,690
Norway		—		43,276,552		—		43,276,552
Portugal		—		23,492,955		—		23,492,955
Singapore		—		77,528,534		—		77,528,534
Spain		—		99,961,686		—		99,961,686
Sweden		—		8,826,802		—		8,826,802
Switzerland		—		97,572,275		—		97,572,275
United Kingdom		24,781,101		221,997,655		—		246,778,756
United States		1,612,093		—		—		1,612,093
TOTAL COMMON STOCKS		64,196,442		1,473,160,791		—		1,537,357,233
Preferred Stocks
Germany		—		12,573,627		—		12,573,627
TOTAL PREFERRED STOCKS		—		12,573,627		—		12,573,627
Rights/Warrants
France		58,238		—		—		58,238
TOTAL RIGHTS/WARRANTS		58,238		—		—		58,238
Debt Obligations
United States		34,955,383		—		—		34,955,383
TOTAL DEBT OBLIGATIONS		34,955,383		—		—		34,955,383
Mutual Funds
United States		23,500,000		—		—		23,500,000
TOTAL MUTUAL FUNDS		23,500,000		—		—		23,500,000
Short-Term Investments		291,071		—		—		291,071
Total Investments		123,001,134		1,485,734,418		—		1,608,735,552
Derivatives^
Futures Contracts
Equity Risk		193,473		—		—		193,473
Total	$	123,194,607	$	1,485,734,418	$	—	$	1,608,929,025
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—	$	124,188,119	$	—	$	124,188,119
Short-Term Investments		2,252,906		—		—		2,252,906
Total Investments		2,252,906		124,188,119		—		126,441,025
Total	$	2,252,906	$	124,188,119	$	—	$	126,441,025

Description	Level 1		Level 2		Level 3		Total
Quality Cyclicals Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	247,781	$	—	$	247,781
Canada		6,103,662		—		—		6,103,662
China		—		3,682,935		—		3,682,935
Finland		—		2,479,556		—		2,479,556
France		—		10,095,213		—		10,095,213
Germany		—		2,374,628		—		2,374,628
Hong Kong		—		1,707,312		—		1,707,312
Ireland		414,932		2,296,762		—		2,711,694
Mexico		6,588,148		—		—		6,588,148
Russia		—		—		263,174		263,174
Spain		—		4,931,343		—		4,931,343
United Kingdom		—		11,561,070		—		11,561,070
United States		54,685,148		—		—		54,685,148
TOTAL COMMON STOCKS		67,791,890		39,376,600		263,174		107,431,664
Preferred Stocks
Brazil		—		2,380,852		—		2,380,852
TOTAL PREFERRED STOCKS		—		2,380,852		—		2,380,852
Mutual Funds
United States		300,000		—		—		300,000
TOTAL MUTUAL FUNDS		300,000		—		—		300,000
Short-Term Investments		159,428		—		—		159,428
Total Investments		68,251,318		41,757,452		263,174		110,271,944
Total	$	68,251,318	$	41,757,452	$	263,174	$	110,271,944
Quality Fund
Asset Valuation Inputs
Common Stocks
China	$	—	$	82,152,191	$	—	$	82,152,191
France		—		300,291,769		—		300,291,769
Germany		—		242,160,326		—		242,160,326
Spain		—		43,426,804		—		43,426,804
Switzerland		—		224,683,945		—		224,683,945
Taiwan		—		211,761,795		—		211,761,795
United Kingdom		—		332,912,349		—		332,912,349
United States		5,593,475,455		—		—		5,593,475,455
TOTAL COMMON STOCKS		5,593,475,455		1,437,389,179		—		7,030,864,634
Mutual Funds
United States		103,252,888		—		—		103,252,888
TOTAL MUTUAL FUNDS		103,252,888		—		—		103,252,888
Short-Term Investments		3,875,510		—		—		3,875,510
Total Investments		5,700,603,853		1,437,389,179		—		7,137,993,032
Total	$	5,700,603,853	$	1,437,389,179	$	—	$	7,137,993,032
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	22,083,729	$	—	$	—	$	22,083,729
Australia		—		75,151,934		—		75,151,934
Austria		—		34,784,822		—		34,784,822
Brazil		—		73,454,321		—		73,454,321
Canada		228,055,023		—		—		228,055,023
China		—		36,937,639		—		36,937,639

Description	Level 1		Level 2		Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Denmark	$	—	$	45,193,611	$	—		$	45,193,611
Finland		—		12,135,032		—			12,135,032
France		—		49,984,404		—			49,984,404
Hungary		—		19,622,691		—			19,622,691
India		—		29,460,927		—			29,460,927
Israel		—		13,473,219		—			13,473,219
Italy		—		23,821,015		—			23,821,015
Japan		—		55,308,703		—			55,308,703
Mexico		53,229,949		—		—			53,229,949
Netherlands		—		3,894,231		—			3,894,231
Norway		—		62,310,762		—			62,310,762
Pakistan		—		1,655,872		—			1,655,872
Poland		—		16,234,110		—			16,234,110
Portugal		—		88,090,884		—			88,090,884
Russia		—		—		14,270,666			14,270,666
Singapore		—		—		0	§		0	§
South Africa		—		89,728,367		—			89,728,367
South Korea		—		2,759,597		—			2,759,597
Spain		—		45,739,528		—			45,739,528
Switzerland		—		1,799,634		—			1,799,634
Turkey		—		10,662,624		—			10,662,624
Ukraine		—		2,073,351		—			2,073,351
United Kingdom		—		310,073,064		—			310,073,064
United States		779,518,287		—		—			779,518,287
TOTAL COMMON STOCKS		1,082,886,988		1,104,350,342		14,270,666			2,201,507,996
Preferred Stocks
Brazil		—		185,920,234		—			185,920,234
Chile		39,445,352		—		—			39,445,352
Russia		—		—		3,604,056			3,604,056
TOTAL PREFERRED STOCKS		39,445,352		185,920,234		3,604,056			228,969,642
Rights/Warrants
Australia		—		—		0	§		0	§
Singapore		—		—		2			2
TOTAL RIGHTS/WARRANTS		—		—		2			2
Mutual Funds
United States		15,066,200		—		—			15,066,200
TOTAL MUTUAL FUNDS		15,066,200		—		—			15,066,200
Short-Term Investments		5,563,233		—		—			5,563,233
Total Investments		1,142,961,773		1,290,270,576		17,874,724			2,451,107,073
Total	$	1,142,961,773	$	1,290,270,576	$	17,874,724		$	2,451,107,073
Small Cap Quality Fund
Asset Valuation Inputs
Common Stocks	$	106,671,208	$	—	$	—		$	106,671,208
Mutual Funds		704,241		—		—			704,241
Short-Term Investments		720,737		—		—			720,737
Total Investments		108,096,186		—		—			108,096,186
Total	$	108,096,186	$	—	$	—		$	108,096,186
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,614,013	$	—		$	1,614,013
Belgium		—		40,387		—			40,387
Brazil		87,675		268,002		—			355,677

Description	Level 1		Level 2		Level 3		Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Denmark	$	—	$	21,813	$	—	$	21,813
Finland		—		344,758		—		344,758
France		890,352		4,120,122		—		5,010,474
Germany		—		1,449,107		—		1,449,107
Hong Kong		—		382,236		—		382,236
India		—		387,032		—		387,032
Ireland		—		138,975		—		138,975
Italy		—		185,464		—		185,464
Japan		—		9,004,197		—		9,004,197
Malaysia		—		1,944		—		1,944
Netherlands		—		2,671,018		—		2,671,018
Norway		—		983,683		—		983,683
Poland		—		73,621		—		73,621
Portugal		—		463,872		—		463,872
Russia		—		—		243		243
Singapore		—		1,521,112		—		1,521,112
South Africa		—		41,326		—		41,326
South Korea		—		737,824		—		737,824
Spain		—		2,199,847		—		2,199,847
Sweden		—		186,718		—		186,718
Switzerland		71,388		2,322,788		—		2,394,176
Thailand		—		625,208		—		625,208
Turkey		—		974,811		—		974,811
United Kingdom		1,686,991		3,372,879		—		5,059,870
TOTAL COMMON STOCKS		2,736,406		34,132,757		243		36,869,406
Preferred Stocks
Brazil		153,152		150,673		—		303,825
Germany		—		259,429		—		259,429
South Korea		—		10,642		—		10,642
TOTAL PREFERRED STOCKS		153,152		420,744		—		573,896
Mutual Funds
United States		811,918		—		—		811,918
TOTAL MUTUAL FUNDS		811,918		—		—		811,918
Short-Term Investments		79,575		—		—		79,575
Total Investments		3,781,051		34,553,501		243		38,334,795
Derivatives^
Futures Contracts
Equity Risk		4,800		—		—		4,800
Total	$	3,785,851	$	34,553,501	$	243	$	38,339,595
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	416,061,579	$	—	$	—	$	416,061,579
Mutual Funds		5,500,000		—		—		5,500,000
Short-Term Investments		555,139		—		—		555,139
Total Investments		422,116,718		—		—		422,116,718
Derivatives^
Futures Contracts
Equity Risk	$	238,996	$	—	$	—	$	238,996
Total	$	422,355,714	$	—	$	—	$	422,355,714

Description	Level 1		Level 2		Level 3		Total
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks
United States	$	95,783,395	$	—	$	—	$	95,783,395
TOTAL COMMON STOCKS		95,783,395		—		—		95,783,395
Rights/Warrants
United States		—		—		36,350		36,350
TOTAL RIGHTS/WARRANTS		—		—		36,350		36,350
Mutual Funds
United States		2,742,822		—		—		2,742,822
TOTAL MUTUAL FUNDS		2,742,822		—		—		2,742,822
Short-Term Investments		408,552		—		—		408,552
Total Investments		98,934,769		—		36,350		98,971,119
Derivatives^
Futures Contracts
Equity Risk		43,892		—		—		43,892
Total	$	98,978,661	$	—	$	36,350	$	99,015,011

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2022.

^ 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). The below Funds held classes of investments or derivatives with direct material Level 3 holdings at November 30, 2022:

Investment Type	Number of Investments	Valuation Methodology
Climate Change Fund
Common and/or Preferred Stock	2	Valued off the last traded price with a 93% discount
Emerging Markets ex-China Fund
Common and/or Preferred Stock	20	Valued off the last traded price with a 93% discount
Common and/or Preferred Stock	1	Depositary receipts valued off the corresponding local securities with a 93% discount and adjusted for the depositary receipt conversion ratio and currency impact
Emerging Markets Fund
Common and/or Preferred Stock	20	Valued off the last traded price with a 93% discount
Common and/or Preferred Stock	2	Valued at the last price prior to trading being suspended

Investment Type	Number of Investments	Valuation Methodology
Common and/or Preferred Stock	1	Depositary receipts valued off the corresponding local securities with a 93% discount and adjusted for the depositary receipt conversion ratio and currency impact
Common and/or Preferred Stock	1	Valued off the February 25, 2022 last traded price with a 93% discount and currency impact
Common and/or Preferred Stock	1	Valued off the parent security until a merger is finalized
Emerging Markets Select Equity Fund (formerly Emerging Domestic  Opportunities Fund)
Common and/or Preferred Stock	3	Valued off the last traded price with a 93% discount
Common and/or Preferred Stock	1	Valued off the February 25, 2022 last traded price with a 93% discount and currency impact
Quality Cyclicals Fund
Common and/or Preferred Stock	2	Valued off the last traded price with a 93% discount
Resources Fund
Common and/or Preferred Stock	8	Valued off the last traded price with a 93% discount

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, 2022		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, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2022
Climate Change Fund
Common Stocks
Mexico	$	—	$	27,322,941	$	(36,128	)	$	—	$	(306	)	$	(25,206,136	)	$	153,275	‡	$	—	$	2,233,646	$	(25,206,136	)
Total Investments	$	—	$	27,322,941	$	(36,128	)	$	—	$	(306	)	$	(25,206,136	)	$	153,275		$	—	$	2,233,646	$	(25,206,136	)
Emerging Markets ex-China Fund
Common Stocks
Brazil	$	—	$	4,168	$	(2,249	)	$	—	$	373		$	13		$	—		$	—	$	2,305	$	13
Russia		949,755		—		(184,500	)		—		(445,566	)		(236,019	)		3,037,478	‡		—		3,121,148		(575,050	)
Preferred Stocks
Russia		—		—		—			—		—			—			144,398	‡		—		144,398		—
Total Investments	$	949,755	$	4,168	$	(186,749	)	$	—	$	(445,193	)	$	(236,006	)	$	3,181,876		$	—	$	3,267,851	$	(575,037	)
Emerging Markets Fund
Common Stocks
Brazil	$	—	$	58,041	$	(31,326	)	$	—	$	5,190		$	187		$	—		$	—	$	32,092	$	187
China		358,312		—		(124,467	)		—		(219,172	)		(14,672	)		873,085	‡		—		873,086		—
India		—		7,847,287		—			—		—			739,229			—			—		8,586,516		739,229
Russia		2,870,861		—		(1,248,787	)		—		(5,573,984	)		4,058,807			14,443,766	‡		—		14,550,663		(422,590	)
Sri Lanka		—		—		—			—		—			—			253,961	‡		—		253,961		—
Preferred Stocks
Russia		—		—		—			—		—			—			2,372,331	‡		—		2,372,331		—
Total Investments	$	3,229,173	$	7,905,328	$	(1,404,580	)	$	—	$	(5,787,966	)	$	4,783,551		$	17,943,143		$	—	$	26,668,649	$	316,826

	Balances as of February 28, 2022		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, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2022
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
Common Stocks
Brazil	$	—	$	1,055	$	—		$	—	$	—	$	242		$	—		$	—		$	1,297	$	242
India		5,986,759		—		(3,834,875	)		—		2,046,996		(3,911,812	)		—			(287,068	)‡		—		—
Russia		911,572		—		—			—		—		(898,466	)		581,921	‡		—			595,027		(898,466	)
Investment Funds
Russia		—		—		—			—		—		—			9,610	‡		—			9,610		—
Total Investments	$	6,898,331	$	1,055	$	(3,834,875	)	$	—	$	2,046,996	$	(4,810,036	)	$	591,531		$	(287,068	)	$	605,934	$	(898,224	)
Quality Cyclicals Fund
Common Stocks
Russia	$	—	$	—	$	—		$	—	$	—	$	—		$	263,174	‡	$	—		$	263,174	$	—
Total Investments	$	—	$	—	$	—		$	—	$	—	$	—		$	263,174		$	—		$	263,174	$	—
Resources Fund
Common Stocks
Russia	$	—	$	—	$	—		$	—	$	—	$	—		$	14,270,666	‡	$	—		$	14,270,666	$	—
United States		4,539,029		—		(4,410,991	)		—		—		(128,038	)		—			—			—		—
Preferred Stocks
Russia		—		—		—			—		—		—			3,604,056	‡		—			3,604,056		—
Rights/Warrants
Singapore		2		—		—			—		—		—			—			—			2		—
Total Investments	$	4,539,031	$	—	$	(4,410,991	)	$	—	$	—	$	(128,038	)	$	17,874,722		$	—		$	17,874,724	$	—

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs as well as the impact of the Russian invasion of Ukraine on local and global markets, 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, 2022 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)
Climate Change Fund
Common Stock		2,074,618		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Common Stock (American Depositary Receipt)		5		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Common Stock (Global Depositary Receipt)		159,023		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Emerging Markets ex-China Fund
Common Stock		3,239		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)
Common Stock		2,839,051		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Common Stock		—		Fair Value	Discount for lack of liquidity/marketability		$0 (N/A)
Common Stock (American Depositary Receipt)		93,214		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)

Investment Type	Total Fair Value ($)		Valuation Methodology		Unobservable Inputs	Range (Weighted Average)
Common Stock (Global Depositary Receipt)		185,644		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Preferred Stock		144,398		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Emerging Markets Fund
Common Stock		986		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)
Common Stock		13,461,234		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Common Stock		1		Fair Value	Discount for lack of liquidity/marketability		$0 (N/A)
Common Stock (American Depositary Receipt)		19,227		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Common Stock (Global Depositary Receipt)		1,069,216		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Preferred Stock		2,372,331		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
Common Stock		13,107		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)
Common Stock		422,548		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Common Stock (Global Depositary Receipt)		159,372		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Investment Fund		9,610		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Quality Cyclicals Fund
Common Stock		263,174		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Resources Fund
Common Stock		—		Fair Value	Discount for lack of liquidity/marketability		$0 (N/A)
Common Stock		13,710,854		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Common Stock (Global Depositary Receipt)		559,812		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Preferred Stock		3,604,056		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Warrant		2		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, 2022, the value of these securities and/or derivatives for Emerging Markets ex-China Fund, Emerging Markets Fund and Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund) was $2,305, $9,745,654 and $1,297, 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, 2022 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	$	58,977,551	$	502,345,886	$	535,897,518	$	204,286	**	$	—	$	(525,611	)	$	45,209		$	24,945,517
Emerging Markets ex-China Fund
GMO U.S. Treasury Fund	$	4,374	$	18,121,847	$	5,604,374	$	20,567		$	—	$	(26	)	$	17		$	12,521,838
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	712,685	$	—	$	—	$	—		$	—	$	—		$	(458,724	)	$	253,961
Gayatri Projects Ltd		3,763,980		—		39,084		—			—		(181,526	)		(2,264,680	)		1,278,690
GMO U.S. Treasury Fund		—		27,535,303		22,980,000		33,900			—		—			—			4,555,303
Totals	$	4,476,665	$	27,535,303	$	23,019,084	$	33,900		$	—	$	(181,526	)	$	(2,723,404	)	$	6,087,954
Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)
GMO U.S. Treasury Fund	$	2,331,522	$	30,605,524	$	27,317,396	$	34,493		$	—	$	(20,658	)	$	9,304		$	5,608,296
International Equity Fund
GMO U.S. Treasury Fund	$	—	$	23,500,000	$	—	$	49,907		$	—	$	—		$	—		$	23,500,000
Quality Cyclicals Fund
GMO U.S. Treasury Fund	$	434,957	$	3,257,078	$	3,385,000	$	13,100		$	—	$	(8,772	)	$	1,737		$	300,000
Quality Fund
GMO U.S. Treasury Fund	$	5,788,348	$	264,999,201	$	167,500,000	$	571,798		$	—	$	(23,071	)	$	(11,590	)	$	103,252,888
Resources Fund
GMO U.S. Treasury Fund	$	—	$	38,450,000	$	23,383,800	$	47,645		$	—	$	—		$	—		$	15,066,200
Small Cap Quality Fund
GMO U.S. Treasury Fund	$	—	$	2,004,241	$	1,300,000	$	4,241		$	—	$	—		$	—		$	704,241
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	999,833	$	14,270,000	$	14,453,200	$	12,749		$	—	$	(7,679	)	$	2,964		$	811,918
U.S. Equity Fund
GMO U.S. Treasury Fund	$	10,402,263	$	37,060,000	$	41,922,126	$	67,992		$	—	$	(66,313	)	$	26,176		$	5,500,000
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	1,158,524	$	13,400,000	$	11,800,000	$	35,182		$	—	$	(19,331	)	$	3,629		$	2,742,822

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2022 through November 30, 2022. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2023.

** 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 $779,250 in Climate Change Fund during the period.

Subsequent events

Subsequent to November 30, 2022, GMO U.S. Small Cap Value Fund and GMO U.S. Equity Fund received redemption requests in the amounts of $51,624,640 and $134,263,595, respectively.

***

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, 2022 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 99.5%
		U.S. Government — 99.5%
	3,539,000	U.S. Treasury Note, 2.38%, due 03/31/29		3,256,848
	20,037,000	U.S. Treasury Note, 1.25%, due 08/15/31		16,494,521
		Total U.S. Government		19,751,369
		TOTAL DEBT OBLIGATIONS (COST $22,456,605)		19,751,369
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	80,097	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (a)		80,097
		TOTAL SHORT-TERM INVESTMENTS (COST $80,097)		80,097
		TOTAL INVESTMENTS — 99.9% (Cost $22,536,702)		19,831,466
		Other Assets and Liabilities (net) — 0.1%		10,611
		TOTAL NET ASSETS — 100.0%		$19,842,077

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, 2022.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 91.0%
		Albania — 1.5%
		Sovereign and Sovereign Agency Issuers — 1.5%
	40,349,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		34,698,826
EUR	7,400,000	Republic of Albania Par Bond, Reg S, 3.50%, due 11/23/31		6,106,449
		Total Albania		40,805,275
		Angola — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	18,800,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		15,580,500
		Argentina — 2.9%
		Sovereign and Sovereign Agency Issuers — 2.9%
	23,590,713	Republic of Argentina, 1.00%, due 07/09/29		6,110,354
	28,633,493	Republic of Argentina, Step Up, 0.50%, due 07/09/30		7,573,559
JPY	330,767,206	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c)		598,825
	45,947,942	Republic of Argentina, Step Up, 1.50%, due 07/09/35		11,188,324
EUR	23,100,000	Republic of Argentina, Step Up, 3.00%, due 01/09/38		5,853,219
	58,508,994	Republic of Argentina, Step Up, 3.88%, due 01/09/38		17,302,861
JPY	271,173,000	Republic of Argentina, 0.67%, due 12/31/38 (c)		339,727
EUR	6,660,000	Republic of Argentina, Step Up, 2.75%, due 07/09/41		1,555,874
	56,601,240	Republic of Argentina, Step Up, 3.50%, due 07/09/41		15,706,844
	46,247,000	Republic of Argentina, Step Up, 1.50%, due 07/09/46		11,209,117
		Total Argentina		77,438,704
		Armenia — 0.0%
		Corporate Debt
	1,150,000	Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25		1,087,325
		Azerbaijan — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	9,288,000	International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24		8,846,820
	4,250,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		4,239,375
	14,400,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		13,520,700
		Total Azerbaijan		26,606,895

Par Value†		Description	Value ($)
		Bahamas — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	8,840,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		6,557,070
	4,400,000	Bahamas Government International Bond, 144A, 9.00%, due 06/16/29		3,636,325
	12,700,000	Bahamas Government International Bond, Reg S, 8.95%, due 10/15/32		9,662,317
	6,400,000	Bahamas Government International Bond, Reg S, 7.13%, due 04/02/38		4,877,200
		Total Bahamas		24,732,912
		Bahrain — 2.3%
		Sovereign and Sovereign Agency Issuers — 2.3%
	68,390,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		60,110,536
		Barbados — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	15,900,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		14,750,231
		Belarus — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 (c) (d)		1,882,932
	20,300,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30 (c) (d)		6,699,000
		Total Belarus		8,581,932
		Bermuda — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	5,690,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		5,529,258
		Bolivia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,500,000	Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28		5,842,031
		Brazil — 1.6%
		Corporate Debt — 0.8%
	24,213,636	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		21,365,507
		Sovereign and Sovereign Agency Issuers — 0.8%
	14,400,000	Republic of Brazil, 4.75%, due 01/14/50		10,514,700
BRL	61,000,000	Rio Smart Lighting Sarl, Reg S, 12.25%, due 09/20/32 (e)		11,196,489
				21,711,189
		Total Brazil		43,076,696

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Bulgaria — 0.0%
		Sovereign and Sovereign Agency Issuers — 0.0%
EUR	1,200,000	Bulgarian Energy Holding EAD, Reg S, 2.45%, due 07/22/28		960,578
		Cameroon — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
EUR	6,100,000	Republic of Cameroon International Bond, Reg S, 5.95%, due 07/07/32		4,631,015
		Chile — 2.3%
		Corporate Debt — 1.0%
	16,611,000	Enel Generacion Chile SA, 8.13%, due 02/01/97 (a)		16,013,004
	22,934,810	Inversiones Latin America Power Ltda, Reg S, 5.13%, due 06/15/33		10,955,672
				26,968,676
		Sovereign and Sovereign Agency Issuers — 1.3%
	6,100,000	Chile Government International Bond, 3.10%, due 05/07/41		4,480,450
	3,000,000	Chile Government International Bond, 4.00%, due 01/31/52		2,367,000
	6,600,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		6,352,500
	4,300,000	Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31		3,596,681
	24,950,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		17,383,913
				34,180,544
		Total Chile		61,149,220
		China — 0.3%
		Corporate Debt — 0.1%
	11,200,000	China Evergrande Group, Reg S, 11.50%, due 01/22/23 (d)		625,100
	14,300,000	China Evergrande Group, Reg S, 12.00%, due 01/22/24 (d)		786,500
	7,500,000	China Evergrande Group, Reg S, 10.50%, due 04/11/24 (d)		418,594
	6,100,000	Scenery Journey Ltd, Reg S, 11.50%, due 10/24/22 (d)		335,500
	2,100,000	Scenery Journey Ltd, Reg S, 13.00%, due 11/06/22 (d)		115,500
	3,600,000	Scenery Journey Ltd, Reg S, 12.00%, due 10/24/23 (d)		198,000
	4,100,000	Scenery Journey Ltd, Reg S, 13.75%, due 11/06/23 (d)		225,500
				2,704,694
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,500,000	CNAC HK Finbridge Co., Ltd., Reg S, 3.00%, due 09/22/30		6,012,300
		Total China		8,716,994

Par Value†		Description	Value ($)
		Colombia — 3.8%
		Corporate Debt — 0.1%
COP	21,060,796,766	PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36		3,315,287
		Sovereign and Sovereign Agency Issuers — 3.7%
	1,092,000	Colombia Government International Bond, 8.38%, due 02/15/27 (a)		1,081,481
	3,100,000	Colombia Government International Bond, 11.85%, due 03/09/28 (a)		3,498,316
	10,300,000	Colombia Government International Bond, 8.00%, due 04/20/33		10,233,050
	68,300,000	Colombia Government International Bond, 5.63%, due 02/26/44		48,356,400
	14,000,000	Colombia Government International Bond, 5.20%, due 05/15/49		9,338,875
	8,011,000	Ecopetrol SA, 7.38%, due 09/18/43		6,636,513
	17,300,000	Ecopetrol SA, 5.88%, due 11/02/51		11,435,300
COP	41,560,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		6,332,348
				96,912,283
		Total Colombia		100,227,570
		Congo Republic (Brazzaville) — 1.4%
		Sovereign and Sovereign Agency Issuers — 1.4%
	43,368,925	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		36,248,290
		Costa Rica — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	3,000,000	Costa Rica Government International Bond, Reg S, 7.00%, due 04/04/44		2,788,687
	18,731,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		17,604,799
	7,498,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		5,677,392
		Total Costa Rica		26,070,878
		Czech Republic — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	4,458,000	CEZ AS, Reg S, 5.63%, due 04/03/42		4,101,263
		Dominican Republic — 2.8%
		Sovereign and Sovereign Agency Issuers — 2.8%
	6,000,000	Dominican Republic International Bond, 144A, 6.00%, due 02/22/33		5,386,125
	4,500,000	Dominican Republic International Bond, Reg S, 6.50%, due 02/15/48		3,686,625
	90,329,000	Dominican Republic International Bond, Reg S, 5.88%, due 01/30/60		66,436,979
		Total Dominican Republic		75,509,729

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Ecuador — 2.7%
		Sovereign and Sovereign Agency Issuers — 2.7%
	800,000	Ecuador Government International Bond, 5.00%, due 02/28/25 (c)		736,000
	6,646,892	Ecuador Government International Bond, Reg S, Zero Coupon, due 07/31/30		2,433,593
	15,076,250	Ecuador Government International Bond, Reg S, Step Up, 5.50%, due 07/31/30		9,138,092
	91,687,125	Ecuador Government International Bond, Reg S, Step Up, 2.50%, due 07/31/35		39,958,395
	29,703,750	Ecuador Government International Bond, Reg S, Step Up, 1.50%, due 07/31/40		11,784,963
	9,865,290	Ecuador Social Bond Sarl, Reg S, Zero Coupon, due 01/30/35		7,924,911
		Total Ecuador		71,975,954
		Egypt — 2.1%
		Sovereign and Sovereign Agency Issuers — 2.1%
	22,200,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		14,818,500
	28,200,000	Egypt Government International Bond, Reg S, 8.88%, due 05/29/50		19,105,500
	9,100,000	Egypt Government International Bond, Reg S, 8.75%, due 09/30/51		6,198,237
	22,764,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		15,081,150
		Total Egypt		55,203,387
		El Salvador — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	6,200,000	El Salvador Government International Bond, Reg S, 8.25%, due 04/10/32		2,554,787
	6,275,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		2,317,044
	26,700,000	El Salvador Government International Bond, Reg S, 7.12%, due 01/20/50		9,516,882
		Total El Salvador		14,388,713
		Ethiopia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	3,290,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		2,014,714
		Gabon — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	5,600,000	Gabon Government International Bond, Reg S, 6.63%, due 02/06/31		4,615,800
	9,500,000	Gabon Government International Bond, Reg S, 7.00%, due 11/24/31		7,833,344
		Total Gabon		12,449,144
		Ghana — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	5,800,000	Republic of Ghana, Reg S, 8.13%, due 03/26/32		2,030,000

Par Value†		Description	Value ($)
		Ghana — continued
		Sovereign and Sovereign Agency Issuers — continued
	6,100,000	Republic of Ghana, Reg S, 8.63%, due 06/16/49		2,006,519
	24,400,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51		8,125,200
	27,800,000	Republic of Ghana, Reg S, 8.75%, due 03/11/61		8,953,337
	7,121,144	Saderea DAC, Reg S, 12.50%, due 11/30/26		3,204,515
		Total Ghana		24,319,571
		Grenada — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,005,938	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		5,604,750
		Guatemala — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	3,915,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		4,239,945
	5,100,000	Republic of Guatemala, Reg S, 4.65%, due 10/07/41		3,999,675
	16,700,000	Republic of Guatemala, Reg S, 6.13%, due 06/01/50		15,325,381
		Total Guatemala		23,565,001
		Honduras — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	14,000,000	Honduras Government International Bond, Reg S, 5.63%, due 06/24/30		10,664,500
		Hungary — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	23,900,000	Hungary Government International Bond, 144A, 5.50%, due 06/16/34		22,851,388
	12,000,000	Hungary Government International Bond, Reg S, 3.13%, due 09/21/51		7,183,500
		Total Hungary		30,034,888
		India — 1.7%
		Corporate Debt
	24,100,000	Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29		22,111,750
	800,000	GMR Hyderabad International Airport Ltd., Reg S, 4.75%, due 02/02/26		732,650
	17,140,000	GMR Hyderabad International Airport Ltd., Reg S, 4.25%, due 10/27/27		14,502,582
	8,750,000	India Airport Infra, Reg S, 6.25%, due 10/25/25		8,181,250
		Total India		45,528,232

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Indonesia — 3.7%
		Sovereign and Sovereign Agency Issuers — 3.7%
	3,750,000	Freeport Indonesia PT, Reg S, 6.20%, due 04/14/52		3,234,375
	7,500,000	Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30		6,760,781
	17,000,000	Indonesia Asahan Aluminium Persero PT, Reg S, 5.80%, due 05/15/50		13,863,500
	10,191,000	Indonesia Government International Bond, 5.45%, due 09/20/52		9,962,824
	16,600,000	Minejesa Capital BV, Reg S, 5.63%, due 08/10/37		12,769,550
	9,200,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		9,385,725
	6,700,000	Pertamina Persero PT, Reg S, 4.15%, due 02/25/60		4,829,092
	11,500,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		10,661,219
	7,200,000	Perusahaan Penerbit SBSN Indonesia III, 144A, 4.70%, due 06/06/32		7,110,792
	20,849,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		19,806,550
		Total Indonesia		98,384,408
		Israel — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	10,683,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		12,206,503
		Ivory Coast — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
EUR	1,500,000	Ivory Coast Government International Bond, Reg S, 6.88%, due 10/17/40		1,191,454
EUR	26,000,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		19,417,467
		Total Ivory Coast		20,608,921
		Jamaica — 0.8%
		Corporate Debt — 0.2%
	7,477,310	TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36		5,892,120
		Sovereign and Sovereign Agency Issuers — 0.6%
	4,375,000	Jamaica Government International Bond, 7.88%, due 07/28/45		4,791,445
	9,300,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		9,732,450
				14,523,895
		Total Jamaica		20,416,015
		Jordan — 1.6%
		Sovereign and Sovereign Agency Issuers — 1.6%
	6,000,000	Jordan Government International Bond, 144A, 7.75%, due 01/15/28		6,142,500

Par Value†		Description	Value ($)
		Jordan — continued
		Sovereign and Sovereign Agency Issuers — continued
	44,195,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		36,902,825
		Total Jordan		43,045,325
		Kazakhstan — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	1,600,000	KazMunayGas National Co JSC, Reg S, 5.75%, due 04/19/47		1,201,400
	26,000,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		20,767,500
		Total Kazakhstan		21,968,900
		Kenya — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	40,694,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		31,893,923
		Kuwait — 0.1%
		Corporate Debt
	3,300,000	Equate Petrochemical BV, Reg S, 2.63%, due 04/28/28		2,815,725
		Lebanon — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	20,400,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (d)		1,151,325
	5,547,000	Lebanon Government International Bond, Reg S, 7.00%, due 03/20/28 (d)		309,592
	60,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d)		3,515,090
	21,000,000	Lebanon Government International Bond, 8.20%, due 05/17/33 (d)		1,218,000
	56,914,000	Lebanon Government International Bond, 8.25%, due 05/17/34 (d)		3,301,012
		Total Lebanon		9,495,019
		Malaysia — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	18,300,000	1MDB Global Investments Ltd., Reg S, 4.40%, due 03/09/23		17,920,275
	4,900,000	Dua Capital Ltd., Reg S, 2.78%, due 05/11/31		3,981,250
	6,800,000	Petronas Capital Ltd, Reg S, 4.80%, due 04/21/60		6,300,744
		Total Malaysia		28,202,269
		Mexico — 5.6%
		Sovereign and Sovereign Agency Issuers — 5.6%
	128,700,000	Petroleos Mexicanos, 7.69%, due 01/23/50		87,606,090
	19,086,000	Petroleos Mexicanos, 6.95%, due 01/28/60		11,905,847

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Mexico — continued
		Sovereign and Sovereign Agency Issuers — continued
	5,200,000	Petroleos Mexicanos, Reg S, 6.63%, due 12/28/2170		3,017,976
GBP	52,296,000	United Mexican States, 5.63%, due 03/19/2114		46,878,401
		Total Mexico		149,408,314
		Mongolia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	3,000,000	Mongolia Government International Bond, Reg S, 4.45%, due 07/07/31		2,160,330
		Montenegro — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
EUR	6,600,000	Montenegro Government International Bond, Reg S, 2.88%, due 12/16/27		5,480,632
		Morocco — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	8,500,000	OCP SA, Reg S, 5.13%, due 06/23/51		6,063,156
	9,200,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		8,316,225
		Total Morocco		14,379,381
		Mozambique — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,576,000	Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31		5,683,421
		Nigeria — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	43,050,000	Nigeria Government International Bond, Reg S, 8.25%, due 09/28/51		29,381,625
		Oman — 3.5%
		Sovereign and Sovereign Agency Issuers — 3.5%
	11,500,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		10,919,968
	79,500,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		72,841,875
	4,400,000	Oman Government International Bond, Reg S, 7.00%, due 01/25/51		4,114,000
	5,900,000	Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31		5,572,919
		Total Oman		93,448,762
		Pakistan — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	14,700,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		5,377,444
	4,826,000	Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31		1,436,640
		Total Pakistan		6,814,084

Par Value†		Description	Value ($)
		Panama — 1.8%
		Sovereign and Sovereign Agency Issuers — 1.8%
	21,300,000	Aeropuerto Internacional de Tocumen SA, Reg S, 5.13%, due 08/11/61		16,045,556
	2,900,000	AES Panama Generation Holdings SRL, Reg S, 4.38%, due 05/31/30		2,430,200
	9,837,000	Panama Government International Bond, 8.13%, due 04/28/34		11,312,550
	15,500,000	Panama Government International Bond, 4.50%, due 04/01/56		11,492,281
	10,200,000	Panama Government International Bond, 4.50%, due 01/19/63		7,415,400
		Total Panama		48,695,987
		Papua New Guinea — 0.0%
		Sovereign and Sovereign Agency Issuers — 0.0%
	1,100,000	Papua New Guinea Government International Bond, Reg S, 8.38%, due 10/04/28		927,644
		Peru — 2.2%
		Sovereign and Sovereign Agency Issuers — 2.2%
PEN	42,800,000	Peru Government Bond, 6.15%, due 08/12/32		10,019,865
	13,100,000	Peruvian Government International Bond, 3.60%, due 01/15/72		8,724,600
	16,000,000	Peruvian Government International Bond, 3.23%, due 07/28/2121		9,600,000
	43,995,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		29,861,166
		Total Peru		58,205,631
		Philippines — 2.0%
		Sovereign and Sovereign Agency Issuers — 2.0%
	3,800,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		4,864,000
	3,200,000	Philippine Government International Bond, 3.20%, due 07/06/46		2,320,352
	8,700,000	Philippine Government International Bond, 5.95%, due 10/13/47		9,353,457
	32,512,000	Power Sector Assets & Liabilities Management Corp., 9.63%, due 05/15/28		37,226,240
		Total Philippines		53,764,049
		Poland — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	11,400,000	Republic of Poland Government International Bond, 5.75%, due 11/16/32		11,997,816
		Qatar — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	10,878,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		11,050,008

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Republic of North Macedonia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
EUR	6,300,000	North Macedonia Government International Bond, Reg S, 1.63%, due 03/10/28		5,229,464
		Romania — 1.7%
		Sovereign and Sovereign Agency Issuers — 1.7%
EUR	16,200,000	Romanian Government International Bond, 144A, 6.63%, due 09/27/29		17,095,920
	10,900,000	Romanian Government International Bond, Reg S, 6.00%, due 05/25/34		10,248,044
EUR	7,300,000	Romanian Government International Bond, Reg S, 2.88%, due 04/13/42		4,459,550
EUR	5,600,000	Romanian Government International Bond, Reg S, 4.63%, due 04/03/49		4,373,434
EUR	14,900,000	Romanian Government International Bond, Reg S, 3.38%, due 01/28/50		9,407,623
		Total Romania		45,584,571
		Russia — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	6,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (c) (d) (f)		343,500
	5,200,000	GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (c) (d) (f)		260,000
	6,800,000	GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (c) (d) (f)		340,000
	6,400,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35 (c) (d)		2,688,000
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35 (c) (d)		14,280,000
		Total Russia		17,911,500
		Saudi Arabia — 3.3%
		Corporate Debt — 0.3%
	11,900,000	EIG Pearl Holdings Sarl, 144A, 4.39%, due 11/30/46		8,939,875
		Sovereign and Sovereign Agency Issuers — 3.0%
	29,989,900	ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39		27,890,607
	70,500,000	Saudi Government International Bond, Reg S, 3.45%, due 02/02/61		50,442,750
				78,333,357
		Total Saudi Arabia		87,273,232
		Senegal — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,100,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		5,086,706

Par Value†		Description	Value ($)
		Serbia — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
EUR	13,600,000	Serbia International Bond, Reg S, 2.05%, due 09/23/36		8,533,753
		South Africa — 4.2%
		Sovereign and Sovereign Agency Issuers — 4.2%
	9,520,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		8,907,150
	17,900,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		16,423,250
ZAR	165,550,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,782,281
ZAR	441,200,000	Republic of South Africa Government International Bond, 6.50%, due 02/28/41		16,050,912
	67,000,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		50,920,000
	18,500,000	Republic of South Africa Government International Bond, 7.30%, due 04/20/52		16,256,875
ZAR	22,200,000	Transnet SOC, Ltd., 13.50%, due 04/18/28		1,421,415
		Total South Africa		111,761,883
		Sri Lanka — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	5,880,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26 (d)		1,812,877
	9,444,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27 (d)		2,881,459
	28,000,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28 (d)		8,370,250
	7,100,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29 (d)		2,120,238
	24,400,000	Sri Lanka Government International Bond, Reg S, 7.55%, due 03/28/30 (d)		7,301,700
		Total Sri Lanka		22,486,524
		SupraNational — 0.0%
		Sovereign and Sovereign Agency Issuers — 0.0%
TRY	213,500,000	International Finance Corp., Reg S, Zero Coupon, due 02/15/29		1,348,035
		Suriname — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	13,600,000	Republic of Suriname, Reg S, 12.88%, due 12/30/23 (d)		10,714,250
	14,259,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d)		10,148,843
		Total Suriname		20,863,093
		Tajikistan — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	9,274,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		6,200,828

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Trinidad And Tobago — 1.3%
		Sovereign and Sovereign Agency Issuers — 1.3%
	21,100,000	Heritage Petroleum Co., Ltd., 144A, 9.00%, due 08/12/29		22,023,125
	9,300,000	Telecommunications Services of Trinidad & Tobago Ltd, Reg S, 8.88%, due 10/18/29		8,009,625
	4,927,000	Trinidad Generation UnLtd., Reg S, 5.25%, due 11/04/27		4,707,749
		Total Trinidad And Tobago		34,740,499
		Tunisia — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
JPY	5,960,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		20,150,102
JPY	2,030,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		6,695,327
JPY	730,000,000	Banque Centrale de Tunisie SA, 3.50%, due 02/03/33		2,061,699
		Total Tunisia		28,907,128
		Turkey — 4.2%
		Sovereign and Sovereign Agency Issuers — 4.2%
	16,300,000	Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25		14,275,744
	1,100,000	Istanbul Metropolitan Municipality, 144A, 10.75%, due 04/12/27		1,041,081
	18,702,000	Republic of Turkey, 6.00%, due 01/14/41		13,605,705
	123,313,000	Republic of Turkey, 5.75%, due 05/11/47		83,852,840
		Total Turkey		112,775,370
		Ukraine — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
EUR	3,100,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24 (c) (d)		612,913
	14,000,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.63%, due 11/08/26 (c) (d)		2,520,000
	5,500,000	NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 (c) (d)		990,000
	7,400,000	State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/30 (c) (d)		1,298,700
	6,519,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/28 (c) (d)		1,522,186
	4,769,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/29 (c) (d)		1,123,100
	3,800,000	Ukraine Government International Bond, Reg S, 9.75%, due 11/01/30 (c) (d)		907,962
	30,500,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/34 (c) (d)		6,448,844
	24,300,000	Ukraine Government International Bond, Reg S, 7.25%, due 03/15/35 (c) (d)		5,046,806

Par Value†		Description	Value ($)
		Ukraine — continued
		Sovereign and Sovereign Agency Issuers — continued
	200,000	Ukraine Railways Via Rail Capital Markets Plc, Reg S, 7.88%, due 07/15/26 (c)		39,288
		Total Ukraine		20,509,799
		United Arab Emirates — 1.7%
		Sovereign and Sovereign Agency Issuers — 1.7%
	3,700,000	Abu Dhabi Crude Oil Pipeline LLC, Reg S, 4.60%, due 11/02/47		3,304,100
	6,700,000	Abu Dhabi Government International Bond, Reg S, 3.13%, due 09/30/49		4,867,131
	7,400,000	Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70		4,545,450
	6,200,000	DAE Funding LLC, Reg S, 3.38%, due 03/20/28		5,417,250
	15,900,000	Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50		9,875,888
	23,000,000	Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51		14,875,250
	2,700,000	MDGH GMTN (RSC) Ltd, 144A, 5.50%, due 04/28/33		2,831,625
		Total United Arab Emirates		45,716,694
		United States — 1.2%
		Asset-Backed Securities — 0.3%
	837,579	CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 4.12%, due 12/15/35		796,364
	270,315	CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 4.12%, due 12/15/35		264,532
	595,274	CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 4.08%, due 05/15/36		560,429
	6,631,086	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 4.19%, due 11/25/36		2,162,104
	6,685,439	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 4.26%, due 11/25/36		2,181,125
	3,474,091	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 4.40%, due 04/25/37		1,338,149
				7,302,703
		Corporate Debt — 0.0%
	311,625	AMBAC Assurance Corp., 144A, 5.10%, due 12/31/99		432,380

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — 0.9%
	26,000,000	U.S. Treasury Note, 3.38%, due 08/15/42 (g)		23,785,938
		Total United States		31,521,021
		Uruguay — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	17,018,000	Uruguay Government International Bond, 5.10%, due 06/18/50		16,890,365
		Uzbekistan — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	6,200,000	Republic of Uzbekistan International Bond, Reg S, 3.70%, due 11/25/30		5,054,163
	1,037,000	Uzbek Industrial & Construction Bank ATB, Reg S, 5.75%, due 12/02/24		942,244
	8,100,000	Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28		6,338,250
		Total Uzbekistan		12,334,657
		Venezuela — 1.4%
		Sovereign and Sovereign Agency Issuers — 1.4%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (d)		835,988
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d)		7,480,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d)		2,633,597
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d)		1,569,810
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d)		3,019,500
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d)		1,959,377
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d)		14,255,422
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d)		5,667,750
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d)		577,500
		Total Venezuela		37,998,944
		Vietnam — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	18,358,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		15,079,950
	8,018,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 6.02%, due 03/13/28 (c)		7,336,470
		Total Vietnam		22,416,420

Par Value†		Description	Value ($)
		Zambia — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	2,900,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 (d)		1,218,000
	26,072,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (d)		11,862,760
		Total Zambia		13,080,760
		TOTAL DEBT OBLIGATIONS (COST $3,632,270,251)		2,427,112,624
		LOAN ASSIGNMENTS — 1.3%
		Chad — 0.5%
	3,001,628	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 6.78%, due 09/30/25 (c)		2,446,327
	13,947,501	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 7.03%, due 12/31/27 (c)		9,344,826
		Total Chad		11,791,153
		Kenya — 0.1%
	2,458,335	Republic of Kenya Loan Agreement, 6 mo. LIBOR + 6.70%, 11.90%, due 04/10/25 (a)		2,252,410
		Turkey — 0.7%
	21,110,714	Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, 8.85%, due 06/23/28 (a)		19,771,029
		TOTAL LOAN ASSIGNMENTS (COST $38,942,358)		33,814,592
		LOAN PARTICIPATIONS — 0.8%
		Angola — 0.5%
	291,000	Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 9.70%, due 12/07/23 (c)		288,090
	8,742,857	Republic of Angola Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c)		7,923,214
	5,133,334	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		4,825,334
		Total Angola		13,036,638
		Egypt — 0.0%
CHF	353	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a)		321

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value† / Shares		Description	Value ($)
		Iraq — 0.2%
EUR	615,808	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c)		474,199
JPY	981,061,970	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		4,990,919
JPY	208,256,139	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,059,454
JPY	88,520,104	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		450,325
		Total Iraq		6,974,897
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d)		2
		Sudan — 0.1%
CHF	11,833,578	Republic of Sudan Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (c) (d)		1,250,576
CHF	5,155,077	Republic of Sudan Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (d)		544,790
		Total Sudan		1,795,366
		TOTAL LOAN PARTICIPATIONS (COST $43,752,093)		21,807,224
		INVESTMENT FUNDS — 0.2%
		Colombia — 0.2%
	6,371,845	Bona Fide Investments Feeder LLC (a) (h)		6,753,722
		TOTAL INVESTMENT FUNDS (COST $6,371,845)		6,753,722

Par Value† / Shares		Description	Value ($)
		MUTUAL FUNDS — 2.5%
		United States — 2.5%
		Affiliated Issuers — 2.5%
	13,532,923	GMO U.S. Treasury Fund		67,393,959
		TOTAL MUTUAL FUNDS (COST $67,761,027)		67,393,959
		RIGHTS/WARRANTS — 0.3%
		Argentina — 0.2%
EUR	271,989,676	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (i)		3,590,974
JPY	600,789,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (a) (i)		27,600
		Total Argentina		3,618,574
		Ukraine — 0.1%
	11,746,000	Government of Ukraine GDP Linked, Variable Rate, Reg S, Expires 08/01/41 (c) (i)		3,459,931
		TOTAL RIGHTS/WARRANTS (COST $44,800,544)		7,078,505
		TOTAL INVESTMENTS — 96.1% (Cost $3,833,898,118)		2,563,960,626
		Other Assets and Liabilities (net) — 3.9%		104,459,047
		TOTAL NET ASSETS — 100.0%	$	2,668,419,673

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, 2022
Bona Fide Investments Feeder LLC	12/31/21	$	6,371,845	0.2%	$	6,753,722
GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27	04/30/20		6,673,134	0.0%		343,500
GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28	03/12/21		5,336,810	0.0%		260,000
GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29	01/26/22		5,861,462	0.0%		340,000
					$	7,697,222

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Bond Forward Contracts

Reference Entity	Counterparty	Notional Amount			Expiration Date		Net Unrealized Appreciation/ (Depreciation) ($)
Colombian TES	CITI		COP	78,000,000,000		12/01/22		746,165
Colombian TES	CITI		COP	101,950,000,000		12/06/22		924,233
Colombian TES	CITI		COP	59,980,000,000		12/06/22		202,358
							$	1,872,756

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/12/2023	MSCI		COP	67,220,000,000		USD	14,408,598		580,680
02/21/2023	BOA		EUR	7,300,000		USD	7,664,667		20,591
12/02/2022	MSCI		USD	10,532,886		BRL	56,200,000		296,987
12/02/2022	GS		USD	3,196,745		BRL	17,000,000		79,196
02/28/2023	MSCI		ZAR	289,300,000		USD	16,765,086		146,474
12/02/2022	MSCI		BRL	56,200,000		USD	10,441,821		(388,052	)
02/02/2023	MSCI		BRL	12,700,000		USD	2,329,762		(88,618	)
02/02/2023	CITI		BRL	16,000,000		USD	2,945,161		(101,617	)
12/02/2022	GS		BRL	17,000,000		USD	3,211,122		(64,818	)
02/21/2023	DB		EUR	85,000,000		USD	88,542,095		(464,274	)
02/21/2023	SSB		EUR	23,200,000		USD	24,127,072		(166,431	)
02/21/2023	MSCI		GBP	35,811,000		USD	42,328,602		(938,915	)
02/21/2023	CITI		GBP	4,000,000		USD	4,830,406		(2,468	)
01/17/2023	MSCI		JPY	1,308,600,000		USD	9,003,561		(530,885	)
01/17/2023	SSB		JPY	3,800,000,000		USD	27,167,696		(519,064	)
01/12/2023	MSCI		PEN	36,200,000		USD	9,015,785		(389,231	)
								$	(2,530,445	)

Reverse Repurchase Agreements

Average balance outstanding	$	(4,305,840	)
Average interest rate (net)		1.04	%
Maximum balance outstanding	$	(12,778,500	)

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, 2022 (Unaudited)

Credit Linked Options

Principal / Notional Amount			Expiration Date	Description	Premiums Paid/ (Received) ($)			Value ($)
Put Sold	USD	7,946,000	01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (a)		(147,322	)		24,395
Put Sold	USD	41,197,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (a)		(1,327,119	)		112,965
Put Sold	USD	81,200,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) (a)		(4,382,889	)		95,601
					$	(5,857,330	)	$	232,961

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.EM.38.V1

USD

116,100,000

1.00%

2.27%

N/A

12/20/2027

Quarterly

$

11,377,800

$

6,317,930

$

(5,059,870

)

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^:
Republic of Ghana	JPM	USD	3,000,000	5.00%	314.17%	N/A		06/20/2023	Quarterly		(91,227	)		1,768,860		1,860,087
Republic of Ghana	JPM	USD	3,000,000	5.00%	314.17%	N/A		06/20/2023	Quarterly		(91,022	)		1,768,860		1,859,882
Republic of Ghana	JPM	USD	3,000,000	5.00%	314.17%	N/A		06/20/2023	Quarterly		300,000			1,768,860		1,468,860
Republic of Nigeria	JPM	USD	9,100,000	5.00%	5.16%	N/A		12/20/2023	Quarterly		182,831			14,659		(168,172	)
Republic of Ghana	JPM	USD	6,100,000	5.00%	191.53%	N/A		06/20/2024	Quarterly		47,726			3,960,865		3,913,139
Petrobras Global Finance BV	CITI	USD	40,600,000	1.00%	1.35%	N/A		12/20/2024	Quarterly		644,565			277,047		(367,518	)
Republic of Brazil	CITI	USD	14,000,000	1.00%	1.18%	N/A		12/20/2024	Quarterly		128,035			48,419		(79,616	)
Republic of Colombia	CITI	USD	45,000,000	1.00%	1.67%	N/A		12/20/2024	Quarterly		667,284			589,391		(77,893	)
Republic of South Africa	BCLY	USD	37,800,000	1.00%	1.24%	N/A		12/20/2024	Quarterly		718,543			180,240		(538,303	)
Republic of Turkey	BCLY	USD	14,000,000	1.00%	4.52%	N/A		12/20/2024	Quarterly		1,744,254			924,213		(820,041	)
Commonwealth of Bahamas	DB	EUR	23,501,331	1.00%	5.62%	N/A		06/20/2025	Quarterly		2,918,259			1,548,546		(1,369,713	)
Kingdom of Bahrain	MORD	USD	6,000,000	1.00%	2.41%	N/A		12/20/2027	Quarterly		546,195			366,812		(179,383	)
Republic of Colombia	CITI	USD	4,900,000	1.00%	2.86%	N/A		12/20/2027	Quarterly		395,462			392,751		(2,711	)
Republic of South Africa	GS	USD	54,200,000	1.00%	2.42%	N/A		12/20/2027	Quarterly		4,676,926			3,361,946		(1,314,980	)
Republic of Turkey	MORD	USD	23,500,000	1.00%	5.22%	N/A		12/20/2027	Quarterly		5,716,848			3,927,315		(1,789,533	)
United States of Mexico	MORD	USD	16,200,000	1.00%	1.28%	N/A		12/20/2027	Quarterly		497,689			204,621		(293,068	)
United States of Mexico	GS	USD	16,200,000	1.00%	1.63%	N/A		06/20/2029	Quarterly		1,287,609			570,326		(717,283	)
United States of Mexico	GS	USD	16,200,000	1.00%	1.93%	N/A		09/20/2031	Quarterly		2,138,931			1,061,518		(1,077,413	)

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counterparty	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	2,787,000	1.00%	4.30%		2,787,000 USD		06/20/2023	Quarterly		(508,123	)		(49,793	)		458,330
Commonwealth of Bahamas	DB	USD	5,675,000	1.00%	4.30%		5,675,000 USD		06/20/2023	Quarterly		(1,017,200	)		(101,390	)		915,810
Commonwealth of Bahamas	DB	USD	31,567,771	1.00%	5.61%		31,567,771 USD		06/20/2025	Quarterly		(3,380,251	)		(1,947,542	)		1,432,709
											$	17,523,334		$	20,636,524		$	3,113,190

^ 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, 2022, 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) ($)
BRL-CDI	13.5%	BRL	1,718,748,897		01/02/2025	At Maturity		(571,684	)		3,255,320			3,827,004
0.30%	JPY-TONA-OIS-COMPOUND	JPY	9,270,000,000		12/21/2027	Semi-Annually		(67,598	)		91,266			158,864
USD - SOFR - COMPOUND	4.01%	USD	33,900,000		12/21/2027	Semi-Annually		—			676,125			676,125
0.58%	JPY-TONA-OIS-COMPOUND	JPY	4,710,000,000		12/21/2032	Semi-Annually		(108,339	)		202,712			311,051
2.80%	6 Month EURIBOR	EUR	12,200,000		03/16/2033	Semi-Annually		(10,410	)		(138,554	)		(128,144	)
2.85%	GBP - SONIA - COMPOUND	GBP	22,000,000		03/15/2053	Annually		92,273			512,867			420,594
2.30%	6 Month EURIBOR	EUR	30,200,000		03/19/2053	Semi-Annually		(91,667	)		(1,529,217	)		(1,437,550	)
							$	(757,425	)	$	3,070,519		$	3,827,944

As of November 30, 2022, 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) Security is backed by the United States International Development Finance Corporation.

(f) The security is restricted as to resale.

(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) Private placement security; restricted as to resale. Represents investment in a pool of constitutional obligations of the Colombian government owed to individuals.

(i) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic.

The rates shown on variable rate notes are the current interest rates at November 30, 2022, 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, 2022 (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.

CDI - Certificado de Deposito Interbancario

CJSC - Closed Joint-Stock Company

EURIBOR - Euro Interbank Offered Rate

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

GDP - Gross Domestic Product

GMTN - Global Medium Term Note

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.

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TONA - Tokyo Overnight Average Rate

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

BRL - Brazil Real

CHF - Switzerland Franc

COP - Colombia Peso

EUR - Euro

GBP - United Kingdom Pound

JPY - Japan Yen

PEN - Peru Nuevo Sol

TRY - Turkish Lira

USD - United States Dollar

ZAR - South Africa Rand

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 52.6%
		Corporate Debt — 13.0%
		Australia — 0.8%
	2,625,000	FMG Resources August 2006 Pty. Ltd., 144A, 4.38%, due 04/01/31		2,211,562
		United Kingdom — 0.7%
	190,000	Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23		188,145
	1,020,000	Virgin Media Secured Finance Plc, 144A, 5.50%, due 05/15/29		942,337
	1,000,000	Virgin Media Secured Finance Plc, 144A, 4.50%, due 08/15/30		835,131
		Total United Kingdom		1,965,613
		United States — 11.5%
	325,000	Apache Corp., 5.35%, due 07/01/49		257,140
	125,000	Bath & Body Works, Inc., 6.88%, due 11/01/35		113,125
	740,000	Booz Allen Hamilton, Inc., 144A, 3.88%, due 09/01/28		666,918
	1,000,000	Booz Allen Hamilton, Inc., 144A, 4.00%, due 07/01/29		886,630
	3,750,000	CCO Holdings LLC / CCO Holdings Capital Corp., 144A, 4.75%, due 03/01/30		3,223,961
	1,375,000	Centene Corp., 2.63%, due 08/01/31		1,081,052
	250,000	Cogent Communications Group, Inc., 144A, 3.50%, due 05/01/26		226,100
	748,000	CoreCivic, Inc., 8.25%, due 04/15/26		764,118
	1,500,000	Crown Americas LLC, 144A, 5.25%, due 04/01/30		1,387,500
	400,000	Enact Holdings, Inc., 144A, 6.50%, due 08/15/25		388,892
	1,125,000	FirstEnergy Corp., 4.40%, due 07/15/27		1,060,898
	125,000	Fluor Corp., 4.25%, due 09/15/28		113,755
	670,000	Hexcel Corp., 4.20%, due 02/15/27		623,511
	1,625,000	Icahn Enterprises LP / Icahn Enterprises Finance Corp., 4.38%, due 02/01/29		1,367,031
	1,975,000	Iron Mountain Information Management Services, Inc., 144A, 5.00%, due 07/15/32		1,668,855
	500,000	KB Home, 4.80%, due 11/15/29		432,500
	625,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, 4.25%, due 02/01/27		545,313
	1,500,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, 4.75%, due 06/15/29		1,226,390
	1,625,000	Mattel, Inc., 144A, 3.38%, due 04/01/26		1,492,254
	750,000	Molina Healthcare, Inc., 144A, 3.88%, due 05/15/32		632,813
	625,000	Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31		511,351
	262,000	New Fortress Energy, Inc., 144A, 6.75%, due 09/15/25		255,903
	1,500,000	New Fortress Energy, Inc., 144A, 6.50%, due 09/30/26		1,449,682

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	1,125,000	Newell Brands, Inc., 5.63%, due 04/01/36		962,944
	812,000	Occidental Petroleum Corp., 8.50%, due 07/15/27		885,080
	850,000	OneMain Finance Corp., 6.13%, due 03/15/24		829,005
	250,000	OneMain Finance Corp., 6.88%, due 03/15/25		242,824
	875,000	OneMain Finance Corp., 7.13%, due 03/15/26		847,696
	375,000	OneMain Finance Corp., 6.63%, due 01/15/28		344,813
	1,750,000	PDC Energy, Inc., 5.75%, due 05/15/26		1,671,547
	836,000	PG&E Corp., 5.00%, due 07/01/28		771,302
	750,000	PG&E Corp., 5.25%, due 07/01/30		679,114
	375,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26		371,250
	800,000	Spirit AeroSystems, Inc., 3.85%, due 06/15/26		715,012
	171,875	Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 144A, 8.00%, due 09/20/25		173,800
	378,125	Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 144A, 8.00%, due 09/20/25		383,264
	203,548	Transocean Guardian Ltd., 144A, 5.88%, due 01/15/24		198,274
	565,000	Western Midstream Operating LP, 3.35%, due 02/01/25		541,558
	1,375,000	Western Midstream Operating LP, 3.95%, due 06/01/25		1,316,562
		Total United States		31,309,737
		Total Corporate Debt		35,486,912
		U.S. Government — 39.6%
	45,000,000	U.S. Treasury Note, 0.13%, due 12/31/22 (a)		44,857,612
	3,480,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 4.36%, due 07/31/23		3,482,410
	54,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24		53,905,237
	6,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 (a)		5,992,351
		Total U.S. Government		108,237,610
		TOTAL DEBT OBLIGATIONS (COST $145,760,352)		143,724,522
		SHORT-TERM INVESTMENTS — 57.1%
		Repurchase Agreements — 22.3%
	60,999,418	Nomura Securities International, Inc. Repurchase Ageement, dated 11/30/22, maturing on 12/01/22 with a maturity value of $61,005,857 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 11/30/24 and a market value of $62,244,266.		60,999,418

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

	Par Value† / Shares		Description	Value ($)
			U.S. Government — 2.9%
		8,000,000	U.S. Treasury Bill, 0.01%, due 12/01/22 (b)		8,000,000
			U.S. Government Agency — 3.6%
		10,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 12/02/22		9,999,999
			Sovereign and Sovereign Agency Issuers — 27.3%
JPY		2,104,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/06/23		15,240,002
JPY		8,182,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/27/23		59,268,408
			Total Sovereign and Sovereign Agency Issuers		74,508,410
			Money Market Funds — 1.0%
		2,626,002	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (c)		2,626,002
			TOTAL SHORT-TERM INVESTMENTS (COST $154,197,353)		156,133,829
			TOTAL INVESTMENTS — 109.7% (Cost $299,957,705)		299,858,351
			Other Assets and Liabilities (net) — (9.7)%		(26,582,563	)
			TOTAL NET ASSETS — 100.0%		$273,275,788

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
02/06/2023	MSCI	JPY	2,104,000,000		USD	14,476,220		(893,789	)
02/27/2023	DB	JPY	8,182,000,000		USD	59,261,942		(682,443	)
							$	(1,576,232	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
41	U.S. Treasury Note 10 Yr. (CBT)		March 2023		4,653,500		31,018
9	U.S. Treasury Note 2 Yr. (CBT)		March 2023		1,848,234		5,765
108	U.S. Treasury Note 5 Yr. (CBT)		March 2023		11,725,594		69,219
				$	18,227,328	$	106,002
Sales
4	U.S. Long Bond (CBT)		March 2023		508,000		(1,646	)
1	U.S. Ultra Bond (CBT)		March 2023		136,281		(262	)
				$	644,281	$	(1,908	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

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.39.V1

USD

29,370,000

5.00%

4.53%

29,370,000 USD

12/20/2027

Quarterly

$

(1,284,938

)

$

551,892

$

1,836,830

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

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

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

⁽¹⁾  As of November 30, 2022, 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) ($)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	BCLY		USD	2,236,000		12/20/2022		Quarterly		(39	)		(48,762	)		(48,723	)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	BCLY		USD	33,800,000		12/20/2022		Quarterly		(35,187	)		1,778,220			1,813,407
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	GS		USD	59,921,000		12/20/2022		Quarterly		(151	)		1,484,806			1,484,957
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	BCLY		USD	30,320,000		03/20/2023		Quarterly		641			594,121			593,480
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MSCI		USD	73,200,000		03/20/2023		Quarterly		(2,739	)		1,705,153			1,707,892
										$	(37,475	)	$	5,513,538		$	5,551,013

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

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

(c) The rate disclosed is the 7 day net yield as of November 30, 2022.

The rates shown on variable rate notes are the current interest rates at November 30, 2022, 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

SOFR - Secured Overnight Financing Rate

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

DB - Deutsche Bank AG

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

JPY - Japan 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, 2022 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 53.9%
		Australia — 0.2%
		Corporate Debt
	250,000	National Australia Bank Ltd., 2.50%, due 07/12/26		231,535
		Canada — 0.2%
		Corporate Debt
	200,000	National Bank of Canada, Variable Rate, 0.55%, due 11/15/24		190,786
		Germany — 0.5%
		Corporate Debt
	400,000	Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25		378,346
	200,000	Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31		158,983
		Total Germany		537,329
		Japan — 1.1%
		Corporate Debt
	300,000	Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.08%, due 04/19/28		283,523
	200,000	Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.32%, due 04/19/33		183,026
	200,000	Mizuho Financial Group, Inc., 4.02%, due 03/05/28		186,080
	250,000	Mizuho Financial Group, Inc., Variable Rate, 4.25%, due 09/11/29		230,557
	250,000	Takeda Pharmaceutical Co. Ltd., 5.00%, due 11/26/28		250,069
		Total Japan		1,133,255
		Netherlands — 0.3%
		Corporate Debt
	350,000	ING Groep NV, Variable Rate, 2.73%, due 04/01/32		278,179
		Spain — 0.2%
		Corporate Debt
	200,000	Banco Bilbao Vizcaya Argentaria SA, Variable Rate, 6.14%, due 09/14/28		199,797
		United Kingdom — 3.9%
		Corporate Debt
	200,000	Barclays Plc, Variable Rate, 5.50%, due 08/09/28		193,664
	200,000	Barclays Plc, Variable Rate, 4.97%, due 05/16/29		187,597
	300,000	Barclays Plc, Variable Rate, 2.89%, due 11/24/32		229,136
	300,000	BAT Capital Corp., 4.39%, due 08/15/37		236,310
	250,000	British Telecommunications Plc, 5.13%, due 12/04/28		245,370

Par Value†		Description	Value ($)
		United Kingdom — continued
		Corporate Debt — continued
	200,000	CNH Industrial NV, 4.50%, due 08/15/23		198,569
	200,000	HSBC Holdings Plc, Variable Rate, 2.25%, due 11/22/27		172,390
	200,000	HSBC Holdings Plc, Variable Rate, 4.58%, due 06/19/29		184,142
	500,000	HSBC Holdings Plc, Variable Rate, 3.97%, due 05/22/30		437,092
	250,000	Lloyds Banking Group Plc, Variable Rate, 3.75%, due 03/18/28		228,358
	200,000	Lloyds Banking Group Plc, 4.55%, due 08/16/28		187,599
	250,000	Mead Johnson Nutrition Co., 4.13%, due 11/15/25		246,439
	250,000	Natwest Group Plc, Variable Rate, 3.07%, due 05/22/28		221,321
	200,000	Natwest Group Plc, Variable Rate, 4.89%, due 05/18/29		188,296
	200,000	NatWest Group Plc, Variable Rate, 4.52%, due 06/25/24		197,910
	150,000	RELX Capital Inc, 4.00%, due 03/18/29		140,940
	300,000	Reynolds American, Inc., 5.70%, due 08/15/35		276,956
	250,000	Reynolds American, Inc., 6.15%, due 09/15/43		224,589
		Total United Kingdom		3,996,678
		United States — 47.5%
		Asset-Backed Securities — 18.1%
	3,380,000	Citigroup Commercial Mortgage Trust, 144A, 3.90%, due 05/10/36		3,328,894
	6,400,000	Federal National Mortgage Association, TBA, 2.50%, due 12/16/35		5,912,972
	1,600,000	Federal National Mortgage Association, TBA, 2.00%, due 12/13/52		1,317,813
	2,300,000	Federal National Mortgage Association, TBA, 2.50%, due 12/13/52		1,967,398
	3,400,000	Federal National Mortgage Association, TBA, 3.00%, due 12/13/52		3,008,830
	3,500,000	GNMA II TBA, 3.00%, due 12/20/52		3,160,762
				18,696,669
		Corporate Debt — 18.2%
	550,000	AbbVie, Inc., 4.50%, due 05/14/35		521,008
	250,000	AES Corp. (The), 1.38%, due 01/15/26		222,088
	250,000	Aircastle Ltd., 4.13%, due 05/01/24		241,226
	200,000	Aircastle Ltd., 4.25%, due 06/15/26		186,439
	250,000	Albemarle Corp., 4.65%, due 06/01/27		245,057
	250,000	Albemarle Corp., 5.05%, due 06/01/32		240,263
	250,000	Altria Group, Inc., 5.80%, due 02/14/39		231,770
	150,000	Altria Group, Inc., 5.95%, due 02/14/49		133,226
	350,000	Altria Group, Inc., 4.00%, due 02/04/61		232,714
	150,000	Amcor Finance USA, Inc., 3.63%, due 04/28/26		142,114

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	200,000	American Financial Group, Inc., 4.50%, due 06/15/47		161,071
	300,000	Amgen, Inc., 2.77%, due 09/01/53		186,106
	250,000	Amgen, Inc., 4.40%, due 02/22/62		204,742
	150,000	AutoZone, Inc., 4.00%, due 04/15/30		140,267
	100,000	Baxalta, Inc., 5.25%, due 06/23/45		95,097
	150,000	Biogen, Inc., 2.25%, due 05/01/30		123,744
	250,000	Block Financial LLC, 3.88%, due 08/15/30		220,260
	300,000	Broadcom, Inc., 144A, 3.42%, due 04/15/33		243,759
	150,000	Broadcom, Inc., 144A, 4.93%, due 05/15/37		131,624
	300,000	Cardinal Health, Inc., 4.37%, due 06/15/47		236,937
	250,000	Carlisle Cos., Inc., 3.75%, due 12/01/27		234,381
	300,000	Carlisle Cos., Inc., 2.75%, due 03/01/30		250,978
	400,000	Carrier Global Corp., 2.72%, due 02/15/30		341,286
	250,000	CF Industries, Inc., 5.15%, due 03/15/34		238,464
	300,000	CF Industries, Inc., 5.38%, due 03/15/44		275,941
	200,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 5.38%, due 04/01/38		171,105
	100,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 6.83%, due 10/23/55		95,757
	150,000	Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24		152,085
	400,000	Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27		400,541
	250,000	Cigna Corp., 3.88%, due 10/15/47		197,545
	150,000	Cigna Corp., 4.90%, due 12/15/48		138,478
	450,000	CNH Industrial Capital LLC, 1.95%, due 07/02/23		441,067
	100,000	Constellation Energy Generation LLC, 5.60%, due 06/15/42		97,687
	350,000	Corning, Inc., 5.45%, due 11/15/79		311,002
	200,000	DCP Midstream Operating LP, 5.63%, due 07/15/27		199,192
	500,000	Devon Energy Corp., 5.60%, due 07/15/41		483,135
	200,000	Dick’s Sporting Goods, Inc., 4.10%, due 01/15/52		135,574
	650,000	Elevance Health, Inc., 2.38%, due 01/15/25		619,391
	100,000	Eli Lilly & Co., 3.38%, due 03/15/29		94,951
	150,000	Eli Lilly & Co., 4.15%, due 03/15/59		133,497
	150,000	Gilead Sciences, Inc., 4.00%, due 09/01/36		133,640
	250,000	GLP Capital LP / GLP Financing II, Inc., 5.38%, due 04/15/26		242,347
	150,000	GLP Capital LP / GLP Financing II, Inc., 5.75%, due 06/01/28		144,954
	250,000	GLP Capital LP / GLP Financing II, Inc., 4.00%, due 01/15/31		212,457
	250,000	GSK Consumer Healthcare Capital U.S. LLC, 3.38%, due 03/24/29		226,490
	200,000	HF Sinclair Corp., 5.88%, due 04/01/26		201,262

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	200,000	Host Hotels & Resorts LP, 3.38%, due 12/15/29		169,161
	450,000	Host Hotels & Resorts LP, 3.50%, due 09/15/30		375,605
	150,000	International Business Machines Corp., 3.43%, due 02/09/52		108,786
	200,000	Johnson & Johnson, 3.63%, due 03/03/37		180,178
	168,000	Keurig Dr Pepper, Inc., 4.42%, due 05/25/25		167,987
	150,000	Kirby Corp., 4.20%, due 03/01/28		136,261
	150,000	L3Harris Technologies, Inc., 4.40%, due 06/15/28		144,985
	350,000	Las Vegas Sands Corp., 3.50%, due 08/18/26		319,813
	250,000	Lowe’s Cos., Inc., 5.80%, due 09/15/62		247,726
	300,000	Marathon Oil Corp., 5.20%, due 06/01/45		264,955
	400,000	Marathon Petroleum Corp., 4.75%, due 09/15/44		340,757
	200,000	McKesson Corp., 3.80%, due 03/15/24		196,948
	150,000	Motorola Solutions, Inc., 2.75%, due 05/24/31		121,040
	150,000	Motorola Solutions, Inc., 5.60%, due 06/01/32		149,397
	300,000	Mylan, Inc., 5.20%, due 04/15/48		232,219
	150,000	Northrop Grumman Corp., 5.15%, due 05/01/40		148,263
	150,000	Northrop Grumman Corp., 4.75%, due 06/01/43		141,000
	200,000	Omega Healthcare Investors, Inc., 3.38%, due 02/01/31		156,323
	150,000	Omega Healthcare Investors, Inc., 3.25%, due 04/15/33		109,986
	250,000	O’Reilly Automotive, Inc., 4.20%, due 04/01/30		236,896
	200,000	O’Reilly Automotive, Inc., 4.70%, due 06/15/32		195,315
	250,000	Pacific Gas & Electric Co., 3.75%, due 07/01/28		220,449
	250,000	Pacific Gas & Electric Co., 5.90%, due 06/15/32		243,980
	150,000	Pacific Gas & Electric Co., 4.75%, due 02/15/44		117,316
	150,000	Reinsurance Group of America, Inc., 3.90%, due 05/15/29		137,539
	250,000	Reinsurance Group of America, Inc., 3.15%, due 06/15/30		214,049
	400,000	Sabra Health Care LP, 5.13%, due 08/15/26		377,459
	150,000	Shire Acquisitions Investments Ireland DAC, 3.20%, due 09/23/26		141,333
	150,000	T-Mobile USA, Inc., 2.05%, due 02/15/28		129,508
	250,000	T-Mobile USA, Inc., 5.80%, due 09/15/62		249,282
	350,000	Union Pacific Corp., 4.10%, due 09/15/67		284,128
	350,000	Union Pacific Corp., 3.80%, due 04/06/71		264,303

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	150,000	UnitedHealth Group, Inc., 4.75%, due 05/15/52		141,937
	150,000	UnitedHealth Group, Inc., 3.88%, due 08/15/59		119,510
	200,000	UnitedHealth Group, Inc., 4.95%, due 05/15/62		191,830
	300,000	Utah Acquisition Sub, Inc., 5.25%, due 06/15/46		231,418
	150,000	VeriSign, Inc., 2.70%, due 06/15/31		122,944
	100,000	VICI Properties LP, 4.38%, due 05/15/25		96,241
	200,000	VICI Properties LP, 4.75%, due 02/15/28		188,532
	150,000	VICI Properties LP, 4.95%, due 02/15/30		141,803
	250,000	Warnermedia Holdings, Inc., 144A, 5.39%, due 03/15/62		193,447
	100,000	Williams Cos, Inc. (The), 5.40%, due 03/04/44		92,470
	250,000	Williams Cos, Inc. (The), 5.75%, due 06/24/44		243,448
	200,000	Williams Cos, Inc. (The), 5.10%, due 09/15/45		178,883
				18,778,129
		U.S. Government — 11.2%
	11,500,000	U.S. Treasury Bonds, 1.13%, due 08/15/40 (a)		7,303,848
	3,900,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24 (a)		3,893,156
	450,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24		449,426
				11,646,430
		Total United States		49,121,228
		TOTAL DEBT OBLIGATIONS (COST $58,654,693)		55,688,787
		MUTUAL FUNDS — 27.6%
		United States — 27.6%
		Affiliated Issuers
	247,731	GMO Emerging Country Debt Fund, Class VI		4,719,275
	974,867	GMO Opportunistic Income Fund, Class VI		23,767,266
		TOTAL MUTUAL FUNDS (COST $32,367,720)		28,486,541

	Shares / Par Value†		Description	Value ($)
			SHORT-TERM INVESTMENTS — 31.6%
			Repurchase Agreements — 11.6%
		11,999,886	Nomura Securities International, Inc. Repurchase Agreement, dated 11/30/22, maturing on 12/01/22 with a maturity value of $12,001,152 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 11/30/24 and a market value of $12,244,774.		11,999,886
			Money Market Funds — 0.4%
		408,212	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (b)		408,212
			Sovereign and Sovereign Agency Issuers — 19.6%
JPY		1,900,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/20/22		13,760,021
JPY		902,200,000	Japan Treasury Discount Bill, Zero Coupon, due 02/06/23		6,534,947
			Total Sovereign and Sovereign Agency Issuers		20,294,968
			TOTAL SHORT-TERM INVESTMENTS (COST $32,247,132)		32,703,066
			TOTAL INVESTMENTS — 113.1% (Cost $123,269,545)		116,878,394
			Other Assets and Liabilities (net) — (13.1%)		(13,528,119	)
			TOTAL NET ASSETS — 100.0%		$103,350,275

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
02/16/2023	JPM	CHF	2,583,976		USD	2,758,196		1,816
01/18/2023	JPM	CZK	19,042,868		USD	813,589		1,435
01/31/2023	SSB	EUR	3,230,000		USD	3,384,814		7,627
12/20/2022	DB	JPY	1,900,000,000		USD	13,880,922		89,963
02/08/2023	MSCI	SEK	13,200,000		USD	1,269,762		6,922
02/09/2023	JPM	USD	1,156,831		AUD	1,720,000		14,022
12/02/2022	MSCI	USD	1,598,976		BRL	8,577,334		53,897
12/02/2022	GS	USD	207,704		BRL	1,100,000		4,269
02/02/2023	MSCI	USD	754,635		BRL	4,113,667		28,704
12/02/2022	CITI	USD	141,667		BRL	750,000		2,859
02/02/2023	MSCI	USD	3,101,199		CAD	4,221,182		39,836
02/02/2023	BCLY	USD	1,119,953		CAD	1,510,000		3,657
01/12/2023	MSCI	USD	244,234		CLP	230,000,000		12,361
02/21/2023	MSCI	USD	425,520		GBP	360,000		9,439
02/16/2023	MSCI	USD	147,442		HUF	59,769,900		1,407

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
02/16/2023	CITI	USD	98,439		HUF	40,000,000		1,176
02/03/2023	JPM	USD	770,321		IDR	12,094,041,000		1,571
01/17/2023	MSCI	USD	3,198,253		JPY	464,842,084		188,582
01/24/2023	MSCI	USD	950,821		MXN	19,419,101		46,414
01/18/2023	MSCI	USD	3,438,083		NOK	36,085,429		232,437
01/12/2023	MSCI	USD	308,828		PEN	1,240,000		13,333
12/02/2022	CITI	USD	148,509		PHP	8,500,000		1,774
12/02/2022	JPM	USD	78,412		PHP	4,500,000		1,149
12/02/2022	BCLY	USD	215,729		PHP	12,201,640		0
02/21/2023	BCLY	USD	64,532		PLN	300,000		1,446
02/08/2023	MSCI	USD	1,219,342		SEK	13,302,650		53,319
02/08/2023	BCLY	USD	414,535		SEK	4,400,000		6,412
02/21/2023	GS	USD	58,292		SGD	80,000		547
02/21/2023	MSCI	USD	59,477		THB	2,100,000		576
02/06/2023	CITI	USD	69,101		TWD	2,100,000		318
12/02/2022	CITI	BRL	750,000		USD	137,969		(6,557	)
12/02/2022	GS	BRL	1,100,000		USD	207,006		(4,966	)
12/02/2022	MSCI	BRL	8,577,334		USD	1,607,194		(45,678	)
02/16/2023	JPM	CHF	710,000		USD	753,184		(4,188	)
01/12/2023	MSCI	CLP	189,728,500		USD	196,173		(15,493	)
01/12/2023	MSCI	COP	680,000,000		USD	135,756		(4,128	)
02/21/2023	BCLY	GBP	360,000		USD	430,740		(4,218	)
02/03/2023	MSCI	IDR	1,000,000,000		USD	63,411		(413	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
02/28/2023	JPM	ILS	1,036,203		USD	302,674		(2,716	)
02/23/2023	MSCI	INR	59,579,444		USD	723,895		(4,861	)
01/17/2023	BOA	JPY	38,000,000		USD	260,844		(16,024	)
02/06/2023	MSCI	JPY	902,200,000		USD	6,207,436		(383,259	)
02/03/2023	JPM	KRW	834,221,675		USD	585,365		(54,982	)
01/24/2023	GS	MXN	3,200,000		USD	158,618		(5,713	)
01/18/2023	BOA	NOK	2,800,000		USD	271,945		(12,864	)
02/28/2023	MSCI	NZD	2,740,000		USD	1,704,061		(24,798	)
01/12/2023	MSCI	PEN	480,000		USD	119,225		(5,482	)
12/02/2022	JPM	PHP	25,201,640		USD	434,174		(11,399	)
02/01/2023	BCLY	PHP	12,201,640		USD	215,425		(604	)
02/21/2023	MSCI	PLN	971,873		USD	209,614		(4,128	)
02/27/2023	BCLY	RON	3,131,041		USD	651,105		(6,328	)
02/08/2023	BCLY	SEK	5,700,000		USD	542,431		(2,887	)
02/21/2023	MSCI	SGD	570,686		USD	414,318		(5,420	)
02/21/2023	BCLY	THB	22,822,300		USD	643,970		(8,678	)
02/06/2023	BCLY	TWD	25,545,600		USD	798,150		(46,300	)
02/02/2023	JPM	USD	857,265		CAD	1,150,000		(1,536	)
01/12/2023	MSCI	USD	993,844		COP	4,653,658,000		(36,534	)
02/16/2023	BOA	USD	62,816		HUF	25,000,000		(557	)
							$	106,557

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
20	U.S. Long Bond (CBT)		March 2023		2,540,000		10,911
50	U.S. Treasury Note 10 Yr. (CBT)		March 2023		5,675,000		36,154
22	U.S. Treasury Note 2 Yr. (CBT)		March 2023		4,517,906		14,091
127	U.S. Treasury Note 5 Yr. (CBT)		March 2023		13,788,430		79,977

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
26	U.S. Treasury Ultra 10 Yr. (CBT)		March 2023		3,111,063		17,790
				$	29,632,399	$	158,923

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.86%	3 Month AUD BBSW	AUD	9,806,000		12/21/2024	Quarterly		(7,495	)		(25,738	)		(18,243	)
3.91%	3 Month AUD BBSW	AUD	5,000,000		12/21/2024	Quarterly		—			(16,334	)		(16,334	)
4.08%	3 Month CAD CDOR	CAD	18,144,000		12/21/2024	Semi-Annually		(370	)		72,718			73,088
4.25%	3 Month CAD CDOR	CAD	2,500,000		12/21/2024	Semi-Annually		—			4,166			4,166
3 Month CAD CDOR	4.15%	CAD	8,500,000		12/21/2024	Semi-Annually		—			(26,016	)		(26,016	)
CHF -  SARON - OIS - COMPOUND	1.39%	CHF	4,000,000		12/21/2024	Semi-Annually		—			13,713			13,713
CHF -  SARON - OIS - COMPOUND	1.74%	CHF	8,500,000		12/21/2024	Semi-Annually		—			91,709			91,709
1.81%	CHF - SARON - OIS - COMPOUND	CHF	19,666,000		12/21/2024	Semi-Annually		(1,580	)		(241,883	)		(240,303	)
1.40%	CHF - SARON - OIS - COMPOUND	CHF	2,500,000		12/21/2024	Semi-Annually		—			(8,835	)		(8,835	)

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
EUR - EuroSTR -  COMPOUND	2.59%	EUR	7,000,000		12/21/2024	Annually		—			(7,705	)		(7,705	)
EUR - EuroSTR -  COMPOUND	2.64%	EUR	2,500,000		12/21/2024	Annually		—			(514	)		(514	)
2.14%	EUR - EuroSTR - COMPOUND	EUR	4,394,000		12/21/2024	Annually		1,068			45,818			44,750
2.94%	EUR - EuroSTR - COMPOUND	EUR	5,000,000		12/21/2024	Annually		—			(29,332	)		(29,332	)
GBP - SONIA -  COMPOUND	3.96%	GBP	15,140,000		12/21/2024	Annually		(38,164	)		(144,363	)		(106,199	)
GBP - SONIA - COMPOUND	4.58%	GBP	1,500,000		12/21/2024	Annually		—			6,851			6,851
4.26%	GBP - SONIA - COMPOUND	GBP	5,000,000		12/21/2024	Annually		—			13,745			13,745
5.22%	GBP - SONIA - COMPOUND	GBP	3,500,000		12/21/2024	Annually		—			(66,960	)		(66,960	)
5.36%	GBP - SONIA - COMPOUND	GBP	3,000,000		12/21/2024	Annually		—			(66,907	)		(66,907	)
3 Month SEK STIBOR	3.29%	SEK	132,574,000		12/21/2024	Quarterly		27,280			22,036			(5,244	)
3 Month SEK STIBOR	3.45%	SEK	30,000,000		12/21/2024	Quarterly		—			13,483			13,483
USD - SOFR -COMPOUND	4.59%	USD	3,500,000		12/21/2024	Semi-Annually		—			13,340			13,340
3.58%	USD - SOFR - COMPOUND	USD	2,957,000		12/21/2024	Semi-Annually		994			45,311			44,317
4.47%	USD - SOFR - COMPOUND	USD	5,500,000		12/21/2024	Semi-Annually		—			(9,162	)		(9,162	)
6 Month AUD BBSW	4.14%	AUD	1,100,000		12/21/2032	Semi-Annually		—			(1,046	)		(1,046	)
6 Month AUD BBSW	4.19%	AUD	1,200,000		12/21/2032	Semi-Annually		—			2,156			2,156
6 Month AUD BBSW	4.21%	AUD	1,500,000		12/21/2032	Semi-Annually		—			4,568			4,568
6 Month AUD BBSW	4.25%	AUD	4,774,000		12/21/2032	Semi-Annually		11,178			24,529			13,351
6 Month AUD BBSW	4.25%	AUD	2,258,000		12/21/2032	Semi-Annually		5,287			11,602			6,315
6 Month AUD BBSW	4.29%	AUD	1,700,000		12/21/2032	Semi-Annually		—			13,009			13,009
6 Month AUD BBSW	4.57%	AUD	3,000,000		12/21/2032	Semi-Annually		—			69,497			69,497
6 Month AUD BBSW	4.73%	AUD	3,400,000		12/21/2032	Semi-Annually		—			108,864			108,864
4.48%	6 Month AUD BBSW	AUD	2,700,000		12/21/2032	Semi-Annually		—			(48,311	)		(48,311	)
3.71%	3 Month CAD CDOR	CAD	7,079,000		12/21/2032	Semi-Annually		(3,214	)		(105,070	)		(101,856	)
3.66%	3 Month CAD CDOR	CAD	800,000		12/21/2032	Semi-Annually		—			(9,401	)		(9,401	)
3.55%	3 Month CAD CDOR	CAD	2,700,000		12/21/2032	Semi-Annually		—			(13,292	)		(13,292	)
3.57%	3 Month CAD CDOR	CAD	1,300,000		12/21/2032	Semi-Annually		—			(7,733	)		(7,733	)
3.65%	3 Month CAD CDOR	CAD	2,600,000		12/21/2032	Semi-Annually		—			(29,242	)		(29,242	)
3.68%	3 Month CAD CDOR	CAD	1,900,000		12/21/2032	Semi-Annually		—			(25,324	)		(25,324	)
3 Month CAD CDOR	3.41%	CAD	1,500,000		12/21/2032	Semi-Annually		—			(5,602	)		(5,602	)
3 Month CAD CDOR	3.57%	CAD	1,400,000		12/21/2032	Semi-Annually		—			8,371			8,371
3 Month CAD CDOR	3.59%	CAD	600,000		12/21/2032	Semi-Annually		—			4,458			4,458
3 Month CAD CDOR	3.63%	CAD	1,400,000		12/21/2032	Semi-Annually		—			13,891			13,891
3 Month CAD CDOR	3.71%	CAD	3,966,000		12/21/2032	Semi-Annually		3,236			58,868			55,632
3 Month CAD CDOR	3.79%	CAD	2,600,000		12/21/2032	Semi-Annually		—			51,547			51,547
3 Month CAD CDOR	3.84%	CAD	2,800,000		12/21/2032	Semi-Annually		—			65,580			65,580
3 Month CAD CDOR	3.97%	CAD	1,500,000		12/21/2032	Semi-Annually		—			47,433			47,433
3 Month CAD CDOR	4.04%	CAD	2,100,000		12/21/2032	Semi-Annually		—			75,215			75,215
CHF -  SARON - OIS - COMPOUND	1.85%	CHF	500,000		12/21/2032	Semi-Annually		(2,335	)		9,904			12,239
CHF - SARON -OIS - COMPOUND	1.86%	CHF	7,421,000		12/21/2032	Semi-Annually		—			156,146			156,146
CHF - SARON -OIS - COMPOUND	1.93%	CHF	1,400,000		12/21/2032	Semi-Annually		—			38,851			38,851
CHF - SARON -OIS - COMPOUND	2.05%	CHF	4,286,000		12/21/2032	Semi-Annually		2,620			169,261			166,641
CHF - SARON -OIS - COMPOUND	2.18%	CHF	700,000		12/21/2032	Semi-Annually		2,987			36,277			33,290
CHF - SARON -OIS - COMPOUND	2.20%	CHF	1,700,000		12/21/2032	Semi-Annually		(1,469	)		92,296			93,765
CHF - SARON -OIS - COMPOUND	2.27%	CHF	1,100,000		12/21/2032	Semi-Annually		—			67,589			67,589
2.01%	CHF - SARON - OIS - COMPOUND	CHF	1,400,000		12/21/2032	Semi-Annually		—			(49,072	)		(49,072	)
2.19%	CHF - SARON - OIS - COMPOUND	CHF	1,800,000		12/21/2032	Semi-Annually		3,080			(96,073	)		(99,153	)
2.24%	CHF - SARON - OIS - COMPOUND	CHF	1,100,000		12/21/2032	Semi-Annually		—			(63,791	)		(63,791	)
2.18%	CHF - SARON - OIS - COMPOUND	CHF	900,000		12/21/2032	Semi-Annually		(4,402	)		(47,255	)		(42,853	)
2.11%	CHF - SARON - OIS - COMPOUND	CHF	800,000		12/21/2032	Semi-Annually		—			(35,935	)		(35,935	)

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.98%	CHF - SARON - OIS - COMPOUND	CHF	1,400,000		12/21/2032	Semi-Annually		—			(45,274	)		(45,274	)
1.85%	CHF - SARON - OIS - COMPOUND	CHF	1,300,000		12/21/2032	Semi-Annually		7,927			(25,558	)		(33,485	)
EUR - EuroSTR -  COMPOUND	2.21%	EUR	894,000		12/21/2032	Annually		542			(16,767	)		(17,309	)
EUR - EuroSTR - COMPOUND	2.48%	EUR	1,100,000		12/21/2032	Annually		—			7,119			7,119
EUR - EuroSTR - COMPOUND	2.89%	EUR	800,000		12/21/2032	Annually		—			35,134			35,134
EUR - EuroSTR - COMPOUND	2.94%	EUR	6,382,000		12/21/2032	Annually		2,254			308,643			306,389
EUR - EuroSTR - COMPOUND	3.12%	EUR	1,100,000		12/21/2032	Annually		—			71,680			71,680
2.82%	EUR - EuroSTR - COMPOUND	EUR	1,050,000		12/21/2032	Annually		—			(39,358	)		(39,358	)
2.80%	EUR - EuroSTR - COMPOUND	EUR	510,000		12/21/2032	Annually		—			(18,055	)		(18,055	)
2.80%	EUR - EuroSTR - COMPOUND	EUR	1,200,000		12/21/2032	Annually		—			(42,759	)		(42,759	)
2.41%	EUR - EuroSTR - COMPOUND	EUR	1,600,000		12/21/2032	Annually		—			(283	)		(283	)
2.75%	EUR - EuroSTR - COMPOUND	EUR	540,000		12/21/2032	Annually		—			(16,867	)		(16,867	)
2.69%	EUR - EuroSTR - COMPOUND	EUR	1,700,000		12/21/2032	Annually		—			(43,972	)		(43,972	)
2.70%	EUR - EuroSTR - COMPOUND	EUR	500,000		12/21/2032	Annually		—			(13,164	)		(13,164	)
2.55%	EUR - EuroSTR - COMPOUND	EUR	2,200,000		12/21/2032	Annually		—			(28,087	)		(28,087	)
2.63%	EUR - EuroSTR - COMPOUND	EUR	1,200,000		12/21/2032	Annually		—			(23,763	)		(23,763	)
GBP - SONIA - COMPOUND	3.30%	GBP	900,000		12/21/2032	Annually		—			(6,332	)		(6,332	)
GBP - SONIA - COMPOUND	3.52%	GBP	900,000		12/21/2032	Annually		—			12,599			12,599
GBP - SONIA - COMPOUND	4.12%	GBP	800,000		12/21/2032	Annually		—			59,178			59,178
GBP - SONIA - COMPOUND	4.33%	GBP	1,300,000		12/21/2032	Annually		—			123,832			123,832
GBP - SONIA - COMPOUND	4.65%	GBP	700,000		12/21/2032	Annually		—			88,749			88,749
3.19%	GBP - SONIA - COMPOUND	GBP	3,280,000		12/21/2032	Annually		21,931			60,104			38,173
3.96%	GBP - SONIA - COMPOUND	GBP	1,050,000		12/21/2032	Annually		—			(61,118	)		(61,118	)
3.93%	GBP - SONIA - COMPOUND	GBP	510,000		12/21/2032	Annually		—			(28,393	)		(28,393	)
3.90%	GBP - SONIA - COMPOUND	GBP	540,000		12/21/2032	Annually		—			(28,022	)		(28,022	)
3.79%	GBP - SONIA - COMPOUND	GBP	1,200,000		12/21/2032	Annually		—			(49,680	)		(49,680	)
3.76%	GBP - SONIA - COMPOUND	GBP	400,000		12/21/2032	Annually		—			(15,247	)		(15,247	)
4.28%	3 Month NZD Bank Bill Rate	NZD	5,150,000		12/21/2032	Quarterly		(34,196	)		29,155			63,351
4.82%	3 Month NZD Bank Bill Rate	NZD	2,300,000		12/21/2032	Quarterly		—			(49,297	)		(49,297	)
4.75%	3 Month NZD Bank Bill Rate	NZD	1,700,000		12/21/2032	Quarterly		—			(30,186	)		(30,186	)
3 Month NZD Bank Bill Rate	4.21%	NZD	2,700,000		12/21/2032	Quarterly		—			(26,008	)		(26,008	)
3 Month NZD Bank Bill Rate	4.45%	NZD	2,800,000		12/21/2032	Quarterly		—			7,823			7,823
3 Month NZD Bank Bill Rate	4.52%	NZD	2,400,000		12/21/2032	Quarterly		—			15,348			15,348
3 Month NZD Bank Bill Rate	4.76%	NZD	2,060,000		12/21/2032	Quarterly		—			38,145			38,145
3 Month NZD Bank Bill Rate	4.86%	NZD	1,940,000		12/21/2032	Quarterly		—			45,763			45,763
3 Month SEK STIBOR	2.69%	SEK	14,000,000		12/21/2032	Quarterly		—			(3,485	)		(3,485	)
3.28%	3 Month SEK STIBOR	SEK	13,000,000		12/21/2032	Quarterly		—			(60,122	)		(60,122	)
3.17%	3 Month SEK STIBOR	SEK	18,000,000		12/21/2032	Quarterly		—			(67,011	)		(67,011	)
3.16%	3 Month SEK STIBOR	SEK	18,000,000		12/21/2032	Quarterly		—			(65,522	)		(65,522	)
2.91%	3 Month SEK STIBOR	SEK	30,000,000		12/21/2032	Quarterly		—			(46,523	)		(46,523	)
2.87%	3 Month SEK STIBOR	SEK	28,294,000		12/21/2032	Quarterly		(3,811	)		(35,098	)		(31,287	)
2.98%	3 Month SEK STIBOR	SEK	13,000,000		12/21/2032	Quarterly		—			(28,228	)		(28,228	)

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.08%	3 Month SEK STIBOR	SEK	12,000,000		12/21/2032	Quarterly		—			(35,986	)		(35,986	)
3.10%	3 Month SEK STIBOR	SEK	20,000,000		12/21/2032	Quarterly		—			(63,286	)		(63,286	)
3 Month SEK STIBOR	3.19%	SEK	21,000,000		12/21/2032	Quarterly		—			81,655			81,655
USD - SOFR - COMPOUND	3.08%	USD	2,900,000		12/21/2032	Semi-Annually		—			(69,426	)		(69,426	)
USD - SOFR - COMPOUND	3.13%	USD	655,000		12/21/2032	Semi-Annually		(880	)		(13,318	)		(12,438	)
USD - SOFR - COMPOUND	3.22%	USD	1,200,000		12/21/2032	Semi-Annually		—			(14,737	)		(14,737	)
USD - SOFR - COMPOUND	3.48%	USD	900,000		12/21/2032	Semi-Annually		—			8,083			8,083
USD - SOFR - COMPOUND	3.68%	USD	2,800,000		12/21/2032	Semi-Annually		—			72,236			72,236
USD - SOFR - COMPOUND	3.69%	USD	1,200,000		12/21/2032	Semi-Annually		—			32,821			32,821
USD - SOFR - COMPOUND	3.81%	USD	2,700,000		12/21/2032	Semi-Annually		—			98,871			98,871
3.13%	USD - SOFR - COMPOUND	USD	6,876,000		12/21/2032	Semi-Annually		3,662			136,409			132,747
3.79%	USD - SOFR - COMPOUND	USD	900,000		12/21/2032	Semi-Annually		—			(31,560	)		(31,560	)
3.70%	USD - SOFR - COMPOUND	USD	1,200,000		12/21/2032	Semi-Annually		—			(33,273	)		(33,273	)
3.72%	USD - SOFR - COMPOUND	USD	1,000,000		12/21/2032	Semi-Annually		—			(29,867	)		(29,867	)
3.91%	USD - SOFR - COMPOUND	USD	900,000		12/21/2032	Semi-Annually		—			(41,223	)		(41,223	)
3.44%	USD - SOFR - COMPOUND	USD	1,200,000		12/21/2032	Semi-Annually		—			(7,355	)		(7,355	)
							$	(3,870	)	$	371,043		$	374,913

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2022.

The rates shown on variable rate notes are the current interest rates at November 30, 2022, 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.

CDOR - Canadian Dollar Offering Rate

EuroSTR - Euro Short-Term Rate

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

OIS - Overnight Indexed Swaps

SARON - Swiss Average Rate Overnight

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

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

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

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazil Real

CAD - Canada Dollar

CHF - Switzerland Franc

CLP - Chile Peso

COP - Colombia Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - United Kingdom Pound

HUF - Hungary Forint

IDR - Indonesia Rupiah

ILS - Israel Shekel

INR - Indian Rupee

JPY - Japan Yen

KRW - Korean Won

MXN - Mexico Peso

NOK - Norway Krone

NZD - New Zealand Dollar

PEN - Peru Nuevo Sol

PHP - Philippines Peso

PLN - Poland Zloty

RON - Romania New Leu

SEK - Sweden Krona

SGD - Singapore Dollar

THB - Thailand Baht

TWD - Taiwan New Dollar

USD - United States Dollar

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 90.6%
		Asset-Backed Securities — 84.1%
		CMBS Collateralized Debt Obligations — 0.2%
	8,586,000	ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		1,588,410
	559,375	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		433,532
		Total CMBS Collateralized Debt Obligations		2,021,942
		Collateralized Loan Obligations — 19.5%
	4,000,000	AMMC CLO 24 Ltd., Series 21-24A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 5.43%, due 01/20/35		3,855,936
	10,000,000	Ballyrock CLO 15 Ltd., Series 21-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 5.14%, due 04/15/34		9,654,300
	6,093,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 5.36%, due 01/20/30		5,987,658
	4,075,000	Crown City CLO III, Series 21-1A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 5.41%, due 07/20/34		3,929,523
	4,550,000	Fort Washington CLO Ltd., Series 21-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 5.46%, due 10/20/34		4,404,223
	6,825,193	Gallatin CLO IX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 5.33%, due 01/21/28		6,764,933
	694,737	Halcyon Loan Advisors Funding Ltd., Series 14-2A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 3.50%, 7.87%, due 04/28/25		675,065
	5,718,682	JFIN CLO Ltd., Series 15-2A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.20%, 7.28%, due 10/17/26		5,381,245
	4,320,000	JFIN CLO Ltd., Series 12-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 5.06%, due 07/20/28		4,176,779
	3,000,000	JFIN CLO Ltd., Series 16-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.40%, 7.76%, due 10/27/28		2,787,951
	1,308,870	JMP Credit Advisors CLO IV Ltd., Series 17-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.28%, 5.36%, due 07/17/29		1,292,818
	6,161,000	Man GLG US CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 5.38%, due 04/22/30		6,016,740
	4,000,000	Mountain View CLO Ltd., 144A, Variable Rate, 3 mo. LIBOR + 1.67%, 5.59%, due 10/12/30		3,801,548
	10,000,000	Neuberger Berman CLO XVI-S Ltd., Series 17-16SA, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.04%, 5.12%, due 04/15/34		9,676,860
	6,086,000	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 5.38%, due 04/22/31		5,928,604

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	5,000,000	Oak Hill Credit Partners X-R Ltd., Series 14-10RA, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.04%, 5.28%, due 04/20/34		4,853,745
	7,000,000	OFSI BSL VIII Ltd., Series 17-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 5.58%, due 08/16/29		6,761,741
	1,083,456	OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26		45,215
	8,516,793	OZLM VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.01%, 5.09%, due 07/17/29		8,393,691
	1,941,580	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 5.20%, due 06/22/30		1,916,485
	1,262,000	Signal Peak CLO 2 LLC, Series 15-1A, Class BR2, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 5.74%, due 04/20/29		1,236,476
	3,417,000	SOUND POINT CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 5.08%, due 04/15/31		3,333,000
	1,439,500	Sounds Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 5.34%, due 04/18/31		1,405,541
	8,688,000	Steele Creek CLO Ltd., 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 4.41%, due 06/15/31		8,479,957
	2,000,000	Telos CLO Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 6.68%, due 07/17/26		1,974,570
	7,737,500	Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.48%, 5.56%, due 04/17/28		7,661,007
	4,335,500	Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 6.23%, due 04/17/28		4,167,369
	7,000,000	THL Credit Wind River CLO Ltd., Series 17-1A, Class ARR, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 5.25%, due 04/18/36		6,723,528
	4,993,200	Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 5.29%, due 07/18/31		4,910,847
	5,431,200	Venture 34 CLO Ltd., Series 18-34A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.23%, 5.31%, due 10/15/31		5,283,618
	3,198,416	Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 5.30%, due 10/15/29		3,149,755
	9,000,000	Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 5.74%, due 10/20/28		8,672,031
	10,972,427	Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 5.30%, due 10/20/29		10,818,220
	1,360,000	Whitebox CLO II Ltd., Series 20-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 5.54%, due 10/24/34		1,309,544

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	1,703,898	WhiteHorse VIII Ltd., Series 14-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.45%, 7.89%, due 05/01/26		1,680,347
	4,042,250	WhiteHorse X Ltd., Series 15-10A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 7.08%, due 04/17/27		3,927,620
	4,453,900	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 5.33%, due 10/15/31		4,348,735
	4,535,446	Zais CLO 7 Ltd., Series 17-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.29%, 5.37%, due 04/15/30		4,455,491
	842,990	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 5.03%, due 04/15/29		831,443
	3,474,000	Zais CLO 8 Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.45%, 5.53%, due 04/15/29		3,364,705
		Total Collateralized Loan Obligations		184,038,864
		Commercial Mortgage-Backed Securities — 23.4%
	10,000,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32		9,253,172
	11,857,600	Barclays Commercial Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.72%, 4.60%, due 03/15/37		11,074,799
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38		5,889,500
	9,180,000	BBCMS Mortgage Trust, Series 18-C2, Class A5, 4.31%, due 12/15/51		8,747,882
	6,283,693	Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.42%, 4.46%, due 07/25/36		5,436,587
	6,240,722	Benchmark Mortgage Trust, Series 19-B11, Class A5, 3.54%, due 05/15/52		5,692,444
	7,000,000	Benchmark Mortgage Trust, Series 19-B12, Class A5, 3.12%, due 08/15/52		6,207,904
	1,000,000	Benchmark Mortgage Trust, Series 18-B7, Class A4, Variable Rate, 4.51%, due 05/15/53		965,859
	19,000,000	Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72		16,541,033
	6,550,000	BX Commercial Mortgage Trust, Series 21-VINO, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.65%, 4.53%, due 05/15/38		6,270,766
	6,400,000	BX Commercial Mortgage Trust, Series 21-ACNT, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 4.73%, due 11/15/38		6,137,016
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		6,432,088
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.67%, due 03/11/44		5,881,440

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	8,000,000	BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41		6,739,914
	4,895,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		4,020,266
	9,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		6,975,366
	6,800,000	Citigroup Commercial Mortgage Trust, Series 19-C7, Class A4, 3.10%, due 12/15/72		5,936,054
	3,031,837	Commercial Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.43%, due 07/10/50		2,798,733
	8,038,852	Commercial Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51		7,602,945
	103,486	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 4.16%, due 04/15/37		103,620
	81,761	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		81,624
	5,570,000	ELP Commercial Mortgage Trust, Series 21-ELP, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 4.58%, due 11/15/38		5,313,493
	4,698,295	FREMF Mortgage Trust, Series 16-KF13, Class B, 144A, Variable Rate, 1 mo. LIBOR + 7.50%, 11.30%, due 11/25/25		4,654,095
	2,000,000	Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40		1,541,873
	7,000,000	GS Mortgage Securities Corp. Trust, Series 22-SHIP, Class A, 144A, Variable Rate, SOFR + 0.73%, 4.53%, due 08/15/36		6,858,326
	10,000,000	GS Mortgage Securities Trust, Series 21-GSA3, Class A5, 2.62%, due 12/15/54		7,963,399
	5,500,000	ILPT Commercial Mortgage Trust, Series 22-LPFX, Class A, 144A, 3.38%, due 03/15/32		4,595,403
	101,857	LB Commercial Conduit Mortgage Trust, Series 98-C1, Class K, 144A, 6.30%, due 02/18/30		101,154
	237,365	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		237,473
	4,108,246	MHC Commercial Mortgage Trust, Series 21-MHC, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.80%, 4.68%, due 04/15/38		3,964,155
	10,000,000	MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40		7,936,943
	1,982,000	Morgan Stanley Capital I Trust, Series 19-H6, Class A4, 3.42%, due 06/15/52		1,762,864
	5,000,000	Taubman Centers Commercial Mortgage Trust, Series 22-DPM, Class A, 144A, Variable Rate, SOFR + 2.19%, 5.98%, due 05/15/37		4,899,999
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		4,943,336
	7,933,000	UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51		7,499,247

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	1,870,013	Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52		1,716,060
	4,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 2.92%, due 11/23/43		4,440,355
	2,312,354	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 3.33%, due 03/23/45		2,297,706
	3,572,960	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 3.33%, due 03/23/45		3,343,535
	4,317,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35		4,180,694
	8,733,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35		8,345,229
	2,704,000	Wells Fargo Commercial Mortgage Trust, Series 19-C50, Class C, 4.35%, due 05/15/52		2,228,655
	2,030,000	Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52		1,805,563
	1,395,022	Wells Fargo Commercial Mortgage Trust, Series 18-C47, Class A4, 4.44%, due 09/15/61		1,336,497
		Total Commercial Mortgage-Backed Securities		220,755,066
		Residential Mortgage-Backed Securities — Other — 7.2%
	805,555	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 4.32%, due 02/25/36		112,642
	17,663,707	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 4.40%, due 02/25/36		424,307
	6,000,000	AMSR Trust, Series 20-SFR5, Class A, 144A, 1.38%, due 11/17/37		5,322,401
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		3,829,819
	4,753,124	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,387,343
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		1,285,082
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		450,775
	164,762	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 4.36%, due 02/25/37		184,629
	2,919,205	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		2,712,447
	2,182,280	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,034,796
	5,454,750	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		4,821,957

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	1,036,525	Corevest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53		895,902
	8,487,631	FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38		7,367,130
	666,263	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 4.54%, due 10/25/34		628,323
	2,430,981	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 5.16%, due 09/25/37		2,122,737
	4,332,782	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.59%, due 09/25/35		239,598
	28,552,098	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 4.30%, due 06/25/36		604,671
	8,893,397	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36		3,259,080
	9,334,288	Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37		1,816,927
	3,667,638	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 4.36%, due 03/25/36		307,404
	222,388	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25% ,4.28%, due 02/26/34		195,348
	1,253,907	New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. LIBOR + 0.98%, 5.02%, due 10/25/33		1,182,334
	13,646,469	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 4.24%, due 03/25/36		415,311
	7,784,226	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 4.38%, due 03/25/36		236,751
	20,753,602	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 4.44%, due 03/25/36		631,032
	64,155	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 4.94%, due 08/25/35		351,406
	972,670	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		915,604
	1,136,572	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		1,083,203
	3,566,111	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		2,303,588
	11,780,230	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		3,161,920
	920,421	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		527,006

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	506,266	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		476,732
	1,350,000	Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40		1,097,648
	4,605,424	Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38		4,202,734
	3,479,463	Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39		2,886,584
	5,791,685	Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67		5,218,097
		Total Residential Mortgage-Backed Securities — Other		67,693,268
		Residential Mortgage-Backed Securities — Performing Loans — 1.4%
	2,941,687	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		2,555,508
	7,095,257	CSMC Mortgage-Backed Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66		5,923,647
	5,742,916	Verus Securitization Trust, Series 21-8, Class A, 144A, Variable Rate, 1.82%, due 11/25/66		4,814,253
		Total Residential Mortgage-Backed Securities — Performing Loans		13,293,408
		Residential Mortgage-Backed Securities — Prime — 3.5%
	7,327,464	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 4.23%, due 10/25/46		3,891,436
	514,761	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 5.23%, due 10/25/35		472,202
	3,967,994	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		2,308,512
	1,337,790	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.51%, due 12/25/36		1,123,085
	913,303	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.01%, due 03/25/37		743,829
	7,666,287	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 4.48%, due 04/25/46		6,217,654
	1,627,406	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		816,689
	57,533	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 4.17%, due 09/25/35		54,474
	4,675,631	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 3.09%, due 05/25/35		3,547,881
	796,867	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.83%, due 09/25/35		697,457

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	915,656	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, 12 MTA + 1.25%, 2.94%, due 01/25/47		812,835
	2,216,913	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 4.49%, due 06/25/35		1,929,648
	2,293,439	Washington Mutual Mortgage Pass-Through Certificates, Series 05-10, Class 4CB3, Variable Rate, 1 mo. LIBOR + 0.60%, 4.64%, due 12/25/35		1,993,608
	9,037,404	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		8,708,389
		Total Residential Mortgage-Backed Securities — Prime		33,317,699
		Residential Mortgage-Backed Securities — Subprime — 1.9%
	1,238,678	Asset Backed Funding Certificates Trust, Series 05-AQ1, Class A5, Step Up, 4.36%, due 06/25/35		1,161,469
	1,319,324	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 3.48%, due 05/26/37		1,265,105
	9,697,144	Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.60%, 4.62%, due 07/25/36		8,069,750
	597,754	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + 0.14%, 4.18%, due 12/25/36		563,341
	1,043,206	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 3.87%, due 11/20/34		952,219
	2,794,767	First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 4.15%, due 09/25/36		2,456,467
	877,307	Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.50%, 4.54%, due 08/25/37		775,650
	3,264,549	Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. LIBOR + 0.80%, 5.24%, due 01/25/35		2,897,954
		Total Residential Mortgage-Backed Securities — Subprime		18,141,955
		Residential Mortgage-Backed Securities — Alt-A — 2.7%
	346,515	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		328,919
	2,554,560	Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35		2,349,147
	1,614,834	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 4.74%, due 05/25/36		704,146

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Alt-A — continued
	1,624,748	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 4.74%, due 10/25/36		677,404
	1,324,311	Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. LIBOR + 0.90%, 4.94%, due 11/25/34		1,284,800
	2,182,929	Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.32%, 4.36%, due 01/25/47		1,698,654
	1,976,759	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		1,802,238
	3,896,777	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.57%, due 07/25/36		2,237,820
	11,166,103	GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. LIBOR + 0.32%, 4.36%, due 06/25/36		2,494,868
	9,557,759	GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 2.71%, due 06/25/47		5,964,800
	6,976,363	HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.22%, 4.16%, due 07/19/47		6,094,867
	183,525	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.93%, due 02/26/37		179,171
		Total Residential Mortgage-Backed Securities — Alt-A		25,816,834
		Small Balance Commercial Mortgages — 6.3%
	2,999,213	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 4.51%, due 08/25/35		2,738,483
	1,637,813	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 4.63%, due 01/25/36		1,485,343
	1,881,237	Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 4.58%, due 04/25/36		1,672,595
	829,451	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 4.61%, due 04/25/36		730,820
	1,188,935	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 4.39%, due 07/25/36		1,079,399
	2,431,981	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 4.46%, due 07/25/36		2,214,301
	2,882,711	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 4.42%, due 10/25/36		2,674,449
	9,074,334	Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 4.46%, due 01/25/37		8,157,678

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	1,838,783	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 4.37%, due 03/25/37		1,652,351
	2,637,428	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 4.28%, due 07/25/37		2,306,370
	5,581,602	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 4.31%, due 07/25/37		4,873,405
	1,864,556	Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. LIBOR + 1.50%, 5.54%, due 01/25/38		1,783,653
	88,502,631	FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.29%, due 05/25/30		3,860,520
	20,491,593	FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 1.24%, due 03/25/40		798,371
	70,512,249	FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.99%, due 06/25/40		2,600,471
	1,877,932	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 5.04%, due 04/25/31		1,849,077
	3,804,002	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 4.44%, due 06/25/37		3,646,736
	6,150,929	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 5.43%, due 10/25/37		5,818,088
	6,704,725	Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51		5,673,523
	1,800,911	Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51		1,450,014
	2,703,290	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 3.04%, due 12/27/49		2,620,311
		Total Small Balance Commercial Mortgages		59,685,958
		Student Loans — Federal Family Education Loan Program — 5.1%
	5,394,773	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 5.06%, due 01/25/43		4,900,689
	2,924,427	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 3.96%, due 03/28/35		2,406,870
	7,698,646	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 4.19%, due 06/15/21		7,435,416
	16,906,755	SLM Student Loan Trust, Series 08-9, Class A, Variable Rate, 3 mo. LIBOR + 1.50%, 5.86%, due 04/25/23		16,701,100

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Federal Family Education Loan Program — continued
	7,175,460	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 6.06%, due 07/25/23		7,075,330
	9,175,055	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 6.01%, due 07/25/25		9,127,876
		Total Student Loans - Federal Family Education Loan Program		47,647,281
		Student Loans — Private — 12.9%
	1,790,880	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 5.16%, due 07/25/34		1,723,147
	6,256,706	KeyCorp Student Loan Trust, Series 06-A, Class 2C, Variable Rate, 3 mo. LIBOR + 1.30%, 4.93%, due 12/27/38		5,830,650
	3,665,247	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 4.11%, due 12/27/41		3,634,960
	498,133	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 5.16%, due 04/28/42		497,108
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 5.61%, due 07/28/42		5,160,138
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 3.60%, due 03/31/38 (a)		2,347,313
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, 2.54%, due 03/25/38 (a)		1,982,500
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, 5.28%, due 03/25/38 (a)		851,500
	4,335,351	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 4.35%, due 05/25/32		4,043,533
	3,199,578	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 4.31%, due 01/25/33		2,993,763
	10,529,205	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 4.37%, due 03/25/33		9,825,979
	4,343,101	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 4.39%, due 06/25/33		4,057,166
	15,126,381	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 4.32%, due 10/25/33		14,152,005
	4,759,575	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 4.56%, due 12/26/33		4,528,513
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 7.54%, due 03/25/38 (b)		57,000

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 7.62%, due 03/25/38 (b)		19,000
	4,006,736	Navient Student Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70		3,485,011
	3,382,587	Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62		2,979,787
	3,729,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 7.34%, due 06/15/32 (a)		3,635,775
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 4.89%, due 09/15/32		1,727,852
	1,850,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 7.36%, due 09/15/32 (a)		1,803,750
	3,863,204	SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.40%, 3.69%, due 06/15/33		3,764,998
	9,080,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 3.72%, due 09/15/33		8,718,455
	6,407,828	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 3.58%, due 06/15/39		6,015,054
	11,212,977	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 3.62%, due 06/15/39		10,547,714
	9,074,002	SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. LIBOR + 0.27%, 3.56%, due 12/15/39		8,550,301
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 3.68%, due 12/15/39		2,378,726
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 5.07%, due 01/25/46		6,653,234
		Total Student Loans - Private		121,964,932
		Total Asset-Backed Securities		794,377,207
		Corporate Debt — 0.4%
		Airlines — 0.4%
	2,568,125	American Airlines Class AA Pass-Through Certificates, 3.65%, due 02/15/29		2,305,153
	1,406,997	American Airlines Class AA Pass-Through Certificates, 3.35%, due 04/15/31		1,237,614
		Total Airlines		3,542,767
		Total Corporate Debt		3,542,767
		U.S. Government — 5.5%
	1,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 10/31/23 (c)		1,000,752
	3,700,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24		3,693,507

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Corporate Debt — continued
		U.S. Government — continued
	47,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 (c)		46,940,085
		Total U.S. Government		51,634,344
		U.S. Government Agency — 0.6%
	705,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR - 0.02%, 5.22%, due 07/01/23 (a)		703,076
	2,468,750	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - 0.02%, 5.20%, due 02/01/25 (a)		2,444,062
	3,000,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 5.31%, due 10/29/26 (a)		2,959,141
		Total U.S. Government Agency		6,106,279
		TOTAL DEBT OBLIGATIONS (COST $962,366,188)		855,660,597

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 1.2%
		United States — 1.2%
		Affiliated Issuers — 1.2%
	2,183,242	GMO U.S. Treasury Fund		10,872,546
		TOTAL MUTUAL FUNDS (COST $11,003,541)		10,872,546
		SHORT-TERM INVESTMENTS — 2.8%
		U.S. Government Agency — 0.5%
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 12/02/22		4,999,999
		Repurchase Agreements — 2.3%
	21,999,790	Nomura Securities International, Inc. Repurchase Agreement, dated, 11/30/22 maturing on 12/01/22 with a maturity value of $22,002,113 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 11/30/24 and a market value of $22,448,752.		21,999,790
		TOTAL SHORT-TERM INVESTMENTS (COST $26,999,790)		26,999,789

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%

CDX.NA.IG.S39

DB

85.00

%

12/21/22

USD 74,835,000

Fixed Spread

Pay

38,766

TOTAL PURCHASED OPTIONS (COST $179,604)		38,766
TOTAL INVESTMENTS — 94.6% (Cost $1,000,549,123)		893,571,698
Other Assets and Liabilities (net) — 5.4%		50,708,716
TOTAL NET ASSETS — 100.0%	$	944,280,414

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/18/2023	MSCI	EUR	4,706,200		USD	4,925,325	$	9,086

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
950	U.S. Treasury Note 2 Yr. (CBT)		March 2023		195,091,407		608,458
512	U.S. Treasury Note 5 Yr. (CBT)		March 2023		55,588,001		328,150
73	U.S. Treasury Ultra 10 Yr. (CBT)		March 2023		8,734,906		49,949
				$	259,414,314	$	986,557

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
157	U.S. Treasury Note 10 Yr. (CBT)		March 2023	$	17,819,500	$	16,685

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description	Counterparty	Exercise Rate	Expiration Date		Principal/ Notional Amount				Floating Rate Index		Pay/Receive Floating Rate	Value ($)
Written Options on Credit Default Swaps — Puts
CDX.NA.IG.S39	DB	105.00%		12/21/22		USD	(54,225,000	)		Fixed Spread	Pay		(5,040	)
CDX.NA.IG.S39	BCLY	105.00%		12/21/22		USD	(70,500,000	)		Fixed Spread	Pay		(6,553	)
CDX.NA.IG.S39	DB	100.00%		01/18/23		USD	(74,835,000	)		Fixed Spread	Pay		(39,924	)
				Total Written Options On Credit Default Swaps — Puts									(51,517	)
				TOTAL WRITTEN OPTIONS (Premiums $400,325)								$	(51,517	)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium	Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S37.V2	USD	13,355,100	5.00%		3.81%		N/A		12/20/2026		Quarterly		(741,208	)		(537,756	)		203,452
ITRAXX.XO.36.V1	EUR	16,780,000	5.00%		3.99%		N/A		12/20/2026		Quarterly		(597,455	)		(601,733	)		(4,278	)
CDX.NA.IG.S39	USD	124,725,000	1.00%		0.76%		N/A		12/20/2027		Quarterly		(471,153	)		(1,361,997	)		(890,844	)
												$	(1,809,816	)	$	(2,501,486	)	$	(691,670	)

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.29	JPM	USD	870,000	5.00%	0.07%	N/A		12/20/2022	Quarterly		(51,765	)		(2,346	)		49,419
CDX.NA.HYS.29	JPM	USD	6,425,250	5.00%	0.07%	N/A		12/20/2022	Quarterly		(282,711	)		(17,325	)		265,386
CDX.NA.HYS.29	MORD	USD	3,450,800	5.00%	0.07%	N/A		12/20/2022	Quarterly		(188,414	)		(9,305	)		179,109
Navient Corp.	BCLY	USD	2,082,800	5.00%	1.35%	N/A		12/20/2022	Quarterly		(160,628	)		(4,173	)		156,455
Navient Corp.	BCLY	USD	3,435,200	5.00%	1.35%	N/A		12/20/2022	Quarterly		(264,646	)		(6,883	)		257,763
Navient Corp.	GS	USD	2,700,000	5.00%	1.35%	N/A		12/20/2022	Quarterly		(277,471	)		(5,410	)		272,061

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counter- party	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Navient Corp.	GS	USD	4,050,000	5.00%	1.35%	N/A		12/20/2022	Quarterly		(421,122	)		(8,114	)		413,008
CDX.NA.HYS.31	CITI	USD	3,941,000	5.00%	1.56%	N/A		12/20/2023	Quarterly		(15,370	)		(139,911	)		(124,541	)
CDX.NA.HYS.31	CITI	USD	4,025,000	5.00%	1.56%	N/A		12/20/2023	Quarterly		41,458			(142,893	)		(184,351	)
CDX.NA.HYS.31	CITI	USD	7,055,000	5.00%	1.56%	N/A		12/20/2023	Quarterly		44,878			(250,462	)		(295,340	)
CMBX.NA.A.7	CGMI	USD	1,420,000	2.00%	8.95%	N/A		01/17/2047	Monthly		89,177			79,879			(9,298	)
CMBX.NA.A.7	CITI	USD	10,000,000	2.00%	8.95%	N/A		01/17/2047	Monthly		593,750			562,528			(31,222	)
CMBX.NA.A.7	GS	USD	2,840,000	2.00%	8.95%	N/A		01/17/2047	Monthly		156,358			159,758			3,400
CMBX.NA.AS.7	BOA	USD	4,505,000	1.00%	1.36%	N/A		01/17/2047	Monthly		47,352			13,310			(34,042	)
CMBX.NA.AS.7	DB	USD	7,608,000	1.00%	1.36%	N/A		01/17/2047	Monthly		(119,899	)		22,477			142,376
CMBX.NA.AS.7	DB	USD	16,677,794	1.00%	1.36%	N/A		01/17/2047	Monthly		197,705			49,273			(148,432	)
CMBX.NA.AS.7	GS	USD	4,400,000	1.00%	1.36%	N/A		01/17/2047	Monthly		112,812			12,999			(99,813	)
CMBX.NA.AS.7	MORD	USD	13,270,000	1.00%	1.36%	N/A		01/17/2047	Monthly		205,782			39,205			(166,577	)
CMBX.NA.AA.11	CGMI	USD	4,000,000	1.50%	1.91%	N/A		11/18/2054	Monthly		(6,041	)		68,468			74,509
CMBX.NA.AA.11	CGMI	USD	4,626,000	1.50%	1.91%	N/A		11/18/2054	Monthly		(63,740	)		79,184			142,924
CMBX.NA.AA.11	MORD	USD	4,624,500	1.50%	1.91%	N/A		11/18/2054	Monthly		(67,279	)		79,158			146,437
CMBX.NA.AA.11	MORD	USD	4,624,500	1.50%	1.91%	N/A		11/18/2054	Monthly		(61,371	)		79,158			140,529
CMBX.NA.AA.8	CSI	USD	8,892,000	1.50%	1.66%	N/A		10/17/2057	Monthly		247,717			24,470			(223,247	)
CMBX.NA.AS.8	CGMI	USD	8,892,000	1.00%	0.98%	N/A		10/17/2057	Monthly		73,095			(3,437	)		(76,532	)
CMBX.NA.AS.8	MORD	USD	3,384,000	1.00%	0.98%	N/A		10/17/2057	Monthly		140,432			(1,308	)		(141,740	)
CMBX.NA.BBB-.8	GS	USD	1,444,000	3.00%	12.92%	N/A		10/17/2057	Monthly		216,864			226,074			9,210
CMBX.NA.BBB-.8	GS	USD	4,224,000	3.00%	12.92%	N/A		10/17/2057	Monthly		400,908			661,313			260,405
CMBX.NA.BBB-.9	DB	USD	2,936,200	3.00%	11.56%	N/A		09/17/2058	Monthly		356,201			573,674			217,473
CMBX.NA.BBB-.9	MORD	USD	5,116,800	3.00%	11.56%	N/A		09/17/2058	Monthly		584,727			999,719			414,992
CMBX.NA.BBB-.10	GS	USD	1,752,000	3.00%	8.64%	N/A		11/17/2059	Monthly		326,310			301,404			(24,906	)
CMBX.NA.BBB-.10	GS	USD	4,000,000	3.00%	8.64%	N/A		11/17/2059	Monthly		745,000			688,138			(56,862	)
CMBX.NA.AA.12	GS	USD	6,974,000	1.50%	2.05%	N/A		08/17/2061	Monthly		(61,732	)		185,481			247,213
CMBX.NA.AA.6	GS	USD	4,703,648	1.50%	64.87%	N/A		05/11/2063	Monthly		34,885			197,494			162,609
CMBX.NA.BBB-.6	CGMI	USD	4,274,000	3.00%	172.2%	N/A		05/11/2063	Monthly		1,357,351			669,494			(687,857	)
CMBX.NA.BB.14	GS	USD	1,360,000	5.00%	9.89%	N/A		12/16/2072	Monthly		75,915			313,464			237,549
CMBX.NA.BB.14	GS	USD	3,140,000	5.00%	9.89%	N/A		12/16/2072	Monthly		175,274			723,732			548,458
CMBX.NA.BB.14	MSCI	USD	4,235,000	5.00%	9.89%	N/A		12/16/2072	Monthly		427,602			976,117			548,515
CMBX.NA.BBB-.13	CGMI	USD	2,000,000	3.00%	6.96%	N/A		12/16/2072	Monthly		286,083			382,312			96,229
CMBX.NA.BBB-.13	GS	USD	273,500	3.00%	6.96%	N/A		12/16/2072	Monthly		16,840			52,281			35,441
CMBX.NA.BBB-.13	GS	USD	1,800,000	3.00%	6.96%	N/A		12/16/2072	Monthly		66,662			344,081			277,419
CMBX.NA.BBB-.13	GS	USD	1,860,000	3.00%	6.96%	N/A		12/16/2072	Monthly		360,375			355,550			(4,825	)
CMBX.NA.BBB-.13	MSCI	USD	4,982,250	3.00%	6.96%	N/A		12/16/2072	Monthly		674,981			952,388			277,407
Sell Protection^:
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600	5.00%	0.07%	5,115,600 USD		12/20/2022	Quarterly		742,274			13,794			(728,480	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	4,264,000	5.00%	0.07%	4,264,000 USD		12/20/2022	Quarterly		644,717			11,497			(633,220	)
CDX.NA.HYS.29.V6-5Y	CITI	USD	5,994,100	5.00%	0.07%	5,994,100 USD		12/20/2022	Quarterly		229,274			16,163			(213,111	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	2,866,000	5.00%	0.38%	2,866,000 USD		12/20/2023	Quarterly		293,765			137,093			(156,672	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	4,657,000	5.00%	0.38%	4,657,000 USD		12/20/2023	Quarterly		492,478			222,764			(269,714	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	8,050,000	5.00%	0.38%	8,050,000 USD		12/20/2023	Quarterly		539,350			385,066			(154,284	)
CDX.NA.HYS.33.V12-5Y	JPM	USD	10,394,872	5.00%	0.22%	10,394,872 USD		12/20/2024	Quarterly		1,704,759			967,727			(737,032	)
CDX.NA.HYS.33.V12-5Y	MORD	USD	2,800,896	5.00%	0.22%	2,800,895 USD		12/20/2024	Quarterly		482,034			260,754			(221,280	)
CDX.NA.HYS.33.V1-5Y	GS	USD	25,937,869	5.00%	0.22%	25,937,869 USD		12/20/2024	Quarterly		5,736,853			2,414,727			(3,322,126	)
CDX.NA.HYS.33.V3-5Y	CITI	USD	4,201,343	5.00%	0.22%	4,201,343 USD		12/20/2024	Quarterly		444,572			391,131			(53,441	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	10,598,036	5.00%	0.22%	10,598,036 USD		12/20/2024	Quarterly		1,827,631			986,641			(840,990	)
CDX.NA.HYS.35	GS	USD	6,643,000	5.00%	1.47%	6,643,000 USD		12/20/2025	Quarterly		396,845			669,336			272,491
CDX.NA.HY.S37.35	GS	USD	33,720,000	5.00%	0.59%	33,720,000 USD		12/20/2026	Quarterly		6,308,637			5,321,135			(987,502	)
ITRAXX.XO.36 35	MSCI	EUR	33,560,000	5.00%	0.81%	33,560,000 EUR		12/20/2026	Quarterly		5,830,388			5,243,644			(586,744	)
CMBX.NA.AA.7	CITI	USD	5,000,000	1.50%	5.21%	5,000,000 USD		01/17/2047	Monthly		(125,000	)		(151,852	)		(26,852	)
CMBX.NA.A.9	GS	USD	4,158,800	2.00%	3.86%	4,158,800 USD		09/17/2058	Monthly		54,550			(196,145	)		(250,695	)
CMBX.NA.A.9	CGMI	USD	2,500,000	2.00%	3.86%	2,500,000 USD		09/17/2058	Monthly		(74,374	)		(117,910	)		(43,536	)
CMBX.NA.AAA.10	GS	USD	7,540,000	0.50%	0.54%	7,540,000 USD		11/17/2059	Monthly		68,960			(11,591	)		(80,551	)
CMBX.NA.AAA.13	MORD	USD	14,445,000	0.50%	0.72%	14,445,000 USD		12/16/2072	Monthly		(311,920	)		(188,059	)		123,861
CMBX.NA.AAA.13	GS	USD	2,825,000	0.50%	0.72%	2,825,000 USD		12/16/2072	Monthly		6,615			(36,778	)		(43,393	)
										$	31,306,713		$	25,620,153		$	(5,686,560	)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (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, 2022, 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.

As of November 30, 2022, 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.

The rates shown on variable rate notes are the current interest rates at November 30, 2022, 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

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

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

SOFR - Secured Overnight Financing Rate

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 100.6%
		U.S. Government — 53.7%
	10,000,000	U.S. Treasury Note, 0.13%, due 01/31/23		9,932,629
	40,000,000	U.S. Treasury Note, 0.13%, due 03/31/23		39,428,055
	47,000,000	U.S. Treasury Note, 0.25%, due 06/15/23		45,907,617
	40,000,000	U.S. Treasury Note, 0.13%, due 08/15/23		38,717,188
	55,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24		54,903,482
	26,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24		25,966,855
		Total U.S. Government		214,855,826
		U.S. Government Agency —12.5%
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 12/02/22		4,999,999
	15,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 01/19/23		15,000,014
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.02%, 3.83%, due 03/15/23		4,999,866
	20,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 3.88%, due 05/08/23		20,000,341
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 06/07/23		5,001,216
		Total U.S. Government Agency		50,001,436
		Repurchase Agreements — 34.2%
	26,962,250	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 11/30/22 maturing on 12/01/22 with a maturity value of $26,965,021 and an effective yield of 3.70%, collateralized by a U.S. Treasury Note with maturity date 08/15/23 and a market value of $27,512,500.		26,962,250
	109,967,638	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 11/30/22 maturing on 12/01/22 with a maturity value of $109,979,245 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 04/30/29 and a market value of $112,211,875.		109,967,638
		Total Repurchase Agreements		136,929,888
		Money Market Funds — 0.2%
	610,440	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 3.70% (a)		610,440
		TOTAL SHORT-TERM INVESTMENTS (COST $403,748,047)		402,397,590
		TOTAL INVESTMENTS — 100.6% (Cost $403,748,047)		402,397,590
		Other Assets and Liabilities (net) — (0.6)%		(2,321,774	)
		TOTAL NET ASSETS — 100.0%		$400,075,816

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, 2022.

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

SOFR - Secured Overnight Financing Rate

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

Organization

Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund, Opportunistic Income Fund and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

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

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

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

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

Basis of presentation

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

Portfolio valuation

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

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

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price

will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2022, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

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; certain investment funds valued based on monthly net asset value statements; 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, 2022:

Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	19,751,369	$	—		$	—	$	19,751,369
TOTAL DEBT OBLIGATIONS		19,751,369		—			—		19,751,369
Short-Term Investments		80,097		—			—		80,097
Total Investments		19,831,466		—			—		19,831,466
Total	$	19,831,466	$	—		$	—	$	19,831,466
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	7,302,703		$	—	$	7,302,703
Corporate Debt		—		103,036,817			16,013,004		119,049,821
Sovereign and Sovereign Agency Issuers		—		2,065,992,173			210,981,989		2,276,974,162
U.S. Government		23,785,938		—			—		23,785,938
TOTAL DEBT OBLIGATIONS		23,785,938		2,176,331,693			226,994,993		2,427,112,624
Loan Assignments		—		—			33,814,592		33,814,592
Loan Participations		—		—			21,807,224		21,807,224
Investment Funds		—		—			6,753,722		6,753,722
Mutual Funds		67,393,959		—			—		67,393,959
Rights/Warrants		—		3,590,974			3,487,531		7,078,505
Total Investments		91,179,897		2,179,922,667			292,858,062		2,563,960,626
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,123,928			—		1,123,928
Options
Credit Risk		—		—			232,961		232,961
Swap Contracts
Credit Risk		—		29,053,179			—		29,053,179
Interest Rate Risk		—		4,738,290			—		4,738,290
Total	$	91,179,897	$	2,214,838,064		$	293,091,023	$	2,599,108,984
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(3,654,373	)	$	—	$	(3,654,373	)
Swap Contracts
Credit Risk		—		(2,098,725	)		—		(2,098,725	)
Interest Rate Risk		—		(1,667,771	)		—		(1,667,771	)
Total	$	—	$	(7,420,869	)	$	—	$	(7,420,869	)

Description	Level 1			Level 2			Level 3		Total
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	35,486,912		$	—	$	35,486,912
U.S. Government		108,237,610			—			—		108,237,610
TOTAL DEBT OBLIGATIONS		108,237,610			35,486,912			—		143,724,522
Short-Term Investments		20,626,001			135,507,828			—		156,133,829
Total Investments		128,863,611			170,994,740			—		299,858,351
Derivatives^
Futures Contracts
Interest Rate Risk		106,002			—			—		106,002
Swap Contracts
Credit Risk		—			551,892			—		551,892
Interest Rate Risk		—			5,562,300			—		5,562,300
Total	$	128,969,613		$	177,108,932		$	—	$	306,078,545
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,576,232	)	$	—	$	(1,576,232	)
Futures Contracts
Interest Rate Risk		(1,908	)		—			—		(1,908	)
Swap Contracts
Interest Rate Risk	$	—		$	(48,762	)	$	—	$	(48,762	)
Total	$	(1,908	)	$	(1,624,994	)	$	—	$	(1,626,902	)
Multi-Sector Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	18,696,669		$	—	$	18,696,669
Corporate Debt		—			25,345,688			—		25,345,688
U.S. Government		11,646,430			—			—		11,646,430
TOTAL DEBT OBLIGATIONS		11,646,430			44,042,357			—		55,688,787
Mutual Funds		28,486,541			—			—		28,486,541
Short-Term Investments		408,212			32,294,854			—		32,703,066
Total Investments		40,541,183			76,337,211			—		116,878,394
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			827,268			—		827,268
Futures Contracts
Interest Rate Risk		158,923			—			—		158,923
Swap Contracts
Interest Rate Risk		—			2,806,149			—		2,806,149
Total	$	40,700,106		$	79,970,628		$	—	$	120,670,734
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(720,711	)	$	—	$	(720,711	)
Swap Contracts
Interest Rate Risk		—			(2,435,106	)		—		(2,435,106	)
Total	$	—		$	(3,155,817	)	$	—	$	(3,155,817	)

Description	Level 1		Level 2			Level 3		Total
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	783,680,369		$	10,696,838	$	794,377,207
Corporate Debt		—		3,542,767			—		3,542,767
U.S. Government		51,634,344		—			—		51,634,344
U.S. Government Agency		—		—			6,106,279		6,106,279
TOTAL DEBT OBLIGATIONS		51,634,344		787,223,136			16,803,117		855,660,597
Mutual Funds		10,872,546		—			—		10,872,546
Short-Term Investments		4,999,999		21,999,790			—		26,999,789
Purchased Options		—		38,766			—		38,766
Total Investments		67,506,889		809,261,692			16,803,117		893,571,698
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		9,086			—		9,086
Futures Contracts
Interest Rate Risk		1,003,242		—			—		1,003,242
Swap Contracts
Credit Risk		—		26,914,055			—		26,914,055
Total	$	68,510,131	$	836,184,833		$	16,803,117	$	921,498,081
Liability Valuation Inputs
Derivatives^
Written Options
Credit Risk	$	—	$	(51,517	)	$	—	$	(51,517	)
Swap Contracts
Credit Risk		—		(3,795,388	)		—		(3,795,388	)
Total	$	—	$	(3,846,905	)	$	—	$	(3,846,905	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	245,467,361	$	156,930,229		$	—	$	402,397,590
Total Investments		245,467,361		156,930,229			—		402,397,590
Total	$	245,467,361	$	156,930,229		$	—	$	402,397,590

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.

Emerging Country Debt Fund has committed an additional $6,231,337 to its investment in Bona Fide Investments Feeder LLC, a private investment in a pool of constitutional obligations of the Colombian government owed to individuals.

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, one Colombia Government International Bond, due 2/15/27 which is valued by applying a 150 basis point spread to the yield of the Colombia Government International Bond, due 4/25/27, one Colombia Government International Bond, due 3/09/28 which is valued by applying a 160 basis point spread to the yield of the Colombia Government International Bond, due 4/25/27, 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, Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, due 6/23/28, which is valued based on a more liquid loan participation’s price discounted by 2 points, a Republic of Kenya loan agreement, which is valued by applying 500 basis point yield spread to a comparable bond and an investment fund valued based on a monthly net asset value statement. 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, three asset-backed securities that were valued in line with general movement of spreads, interest rates or a comparable bond and two asset-backed securities priced based on market trades. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 2022.

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, 2022		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, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2022
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	20,629,398	$	—	$	(2,912,700	)	$	(1,347	)	$	(1,455,716	)	$	(246,631	)	$	—	$	—	$	16,013,004	$	(246,631	)
Sovereign and Sovereign Agency Issuers		272,728,861		2,104,750		(62,959,666	)		14,361,413			(54,945,303	)		39,691,934			—		—		210,981,989		10,894,659
Investment Funds		7,850,000		—		(1,506,392	)		—			28,237			381,877			—		—		6,753,722		381,877
Loan Assignments		53,869,474		—		(17,176,159	)		1,534,730			(1,783,693	)		(2,629,760	)		—		—		33,814,592		(2,629,760	)
Loan Participation		43,258,898		—		(18,200,594	)		1,185,898			557,222			(4,994,200	)		—		—		21,807,224		(3,974,696	)
Rights/Warrants		2,194,666		—		(726,253	)		—			(508,860	)		2,527,978			—		—		3,487,531		2,527,978
Total Investments		400,531,297		2,104,750		(103,481,764	)		17,080,694			(58,108,113	)		34,731,198			—		—		292,858,062		6,953,427
Derivatives
Options		326,111		—		—			—			(324,033	)		230,883			—		—		232,961		230,883
Total	$	400,857,408	$	2,104,750	$	(103,481,764	)#	$	17,080,694		$	(58,432,146	)	$	34,962,081		$	—	$	—	$	293,091,023	$	7,184,310
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	12,356,438	$	—	$	(1,134,000	)	$	195,254		$	—		$	(720,854	)	$	—	$	—	$	10,696,838	$	(720,854	)
U.S. Government Agency		7,640,437		—		(1,592,928	)		17,218			—			41,552			—		—		6,106,279		41,552
Total	$	19,996,875	$	—	$	(2,726,928	)##	$	212,472		$	—		$	(679,302	)	$	—	$	—	$	16,803,117	$	(679,302	)

# Includes $19,154,053 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $2,726,929 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, 2022 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		39,278,623	Fair Value	Discount for lack of liquidity/marketability	1.40%-1.60% (1.42%)
Corporate Debt		16,013,004	Fair Value	Discount for lack of liquidity/marketability	2.00% (N/A)
Loan Assignments and Participations		2,252,731	Fair Value	Discount for lack of liquidity/marketability	5.00%-6.00% (5.00%)
Loan Assignments and Participations		19,771,029	Fair Value	Discount for lack of liquidity/marketability	$2.00 (N/A)
Warrants		27,600	Fair Value	Discount for lack of liquidity/marketability	50% (N/A)
Options		232,961	Fair Value	Probability of CDS threshold event	<5% (N/A)
Investment Funds		6,753,722	Fair Value	Net asset value statement	(N/A)
Opportunistic Income Fund
Asset-Backed Securities		10,620,838	Fair Value	Broker mark of comparable bond	N/A
Government Agency		6,106,279	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, 2022, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $208,761,353 and $76,000, 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, 2022 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	$	11,626	$	56	$	11,636	$	56	$	—	$	(93	)	$	47		$	—
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,339,103	$	—	$	6,500,000	$	1,040,564	$	—	$	(35,403	)	$	(409,741	)	$	67,393,959
Multi-Sector Fixed Income Fund
GMO Emerging Country Debt Fund, Class VI	$	6,291,438	$	—	$	1,000,000	$	125,748	$	—	$	(409,719	)	$	(162,444	)	$	4,719,275
GMO Opportunistic Income Fund, Class VI		25,924,702		—		1,000,000		184,153		357,581		(34,894	)		(1,122,542	)		23,767,266
GMO U.S. Treasury Fund		2,399,326		—		2,399,326		854		—		(9,578	)		9,578			—
Totals	$	34,615,466	$	—	$	4,399,326	$	310,755	$	357,581	$	(454,191	)	$	(1,275,408	)	$	28,486,541
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	10,938,043	$	—	$	—	$	153,633	$	—	$	—		$	(65,497	)	$	10,872,546

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2022 through November 30, 2022. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2023.

* * *

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, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 61.1%
		Australia — 0.9%
	26,848	Aurizon Holdings Ltd (a)		69,780
	26,459	BlueScope Steel Ltd (a)		318,908
	34,350	Brambles Ltd (a)		284,138
	21,180	Fortescue Metals Group Ltd (a)		281,899
	47,960	GPT Group (The) (REIT) (a)		147,858
	128,580	Mirvac Group (REIT) (a)		197,308
	348	Rio Tinto Ltd (a)		25,980
	71,129	Scentre Group (REIT) (a)		145,081
	75,217	Stockland (REIT) (a)		196,382
		Total Australia		1,667,334
		Belgium — 0.4%
	7,337	Ageas SA/NV (a)		297,089
	730	Sofina SA (a)		158,901
	3,996	UCB SA (a)		322,543
		Total Belgium		778,533
		Brazil — 0.1%
	9,500	Banco do Brasil SA		64,586
	10,600	Petroleo Brasileiro SA Sponsored ADR (a)		123,914
	11,200	Telefonica Brasil SA ADR (a)		81,872
		Total Brazil		270,372
		Canada — 2.7%
	3,200	Alimentation Couche-Tard Inc (a)		145,780
	8,500	BlackBerry Ltd * (a)		41,395
	2,500	Canadian Apartment Properties (REIT) (a)		81,218
	2,500	Canadian Tire Corp Ltd – Class A (a)		283,128
	100	Fairfax Financial Holdings Ltd (a)		57,375
	800	iA Financial Corp Inc (a)		45,134
	5,200	Magna International Inc		320,199
	12,100	Manulife Financial Corp (a) (b)		218,163
	10,600	Manulife Financial Corp (a) (b)		190,936
	3,200	Onex Corp (a)		168,642
	1,400	Power Corp of Canada (a)		35,220
	9,800	Quebecor Inc – Class B (a)		211,205
	83,370	Shaw Communications Inc – Class B (a)		2,275,220
	7,900	Teck Resources Ltd – Class B * (a) (b)		292,825
	3,500	Teck Resources Ltd – Class B (a) (b)		129,815
	3,900	West Fraser Timber Co Ltd (a) (b)		305,065
	900	West Fraser Timber Co Ltd (a) (b)		70,533
		Total Canada		4,871,853
		China — 0.7%
	154,000	Bank of Communications Co Ltd – Class H		87,257
	21,500	Beijing Enterprises Holdings Ltd		68,379
	22,500	China Conch Venture Holdings Ltd		51,490
	43,500	China Overseas Land & Investment Ltd		118,865
	212,000	China Railway Group Ltd – Class H		119,663

Shares		Description	Value ($)
		China — continued
	308,000	China Zhongwang Holdings Ltd * (c)		66,245
	146,000	CITIC Ltd		149,675
	80,000	Dongfeng Motor Group Co Ltd – Class H		45,068
	17,500	Kingboard Holdings Ltd		57,933
	21,400	Shanghai Pharmaceuticals Holding Co Ltd – Class H		35,684
	239,500	Shimao Group Holdings Ltd * (c)		135,527
	21,600	Sinopharm Group Co Ltd – Class H		51,244
	374,000	Sunac China Holdings Ltd * (c)		219,297
	4,200	Vipshop Holdings Ltd ADR * (a)		46,830
		Total China		1,253,157
		Denmark — 0.6%
	61	AP Moller – Maersk A/S – Class A (a)		129,507
	53	AP Moller – Maersk A/S – Class B (a)		114,902
	23,414	Danske Bank A/S (a)		421,641
	1,492	GN Store Nord A/S (a)		36,046
	4,159	Pandora A/S		316,628
	72	Rockwool A/S – B Shares (a)		15,810
		Total Denmark		1,034,534
		Finland — 0.2%
	71,627	Nokia Oyj (a)		352,899
		France — 0.6%
	11,613	ArcelorMittal SA		318,418
	5,142	BNP Paribas SA (a)		288,939
	496	Cie de Saint-Gobain (a)		22,872
	2,417	Publicis Groupe SA (a)		159,078
	11,937	Societe Generale SA (a)		300,443
		Total France		1,089,750
		Germany — 0.5%
	2,582	Bayerische Motoren Werke AG (a)		234,442
	3,994	Fresenius SE & Co KGaA (a)		111,284
	4,275	HeidelbergCement AG (a)		234,393
	5,466	Mercedes-Benz Group AG (a)		371,377
		Total Germany		951,496
		India — 0.6%
	77,235	GAIL India Ltd		90,493
	5,934	Hindalco Industries Ltd		33,227
	30,419	Hindustan Petroleum Corp Ltd		89,886
	56,680	Indian Oil Corp Ltd		53,773
	73,456	NTPC Ltd		155,732
	189,372	Oil & Natural Gas Corp Ltd		331,457
	221,209	Tata Steel Ltd		295,824
		Total India		1,050,392
		Israel — 1.2%
	36,500	Teva Pharmaceutical Industries Ltd Sponsored ADR * (a)		320,105

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Israel — continued
	37,547	Tower Semiconductor Ltd *		1,673,470
	11,100	ZIM Integrated Shipping Services Ltd		233,322
		Total Israel		2,226,897
		Italy — 0.3%
	22,406	Stellantis NV (a)		353,465
	873,685	Telecom Italia SPA * (a)		190,613
		Total Italy		544,078
		Japan — 8.5%
	22,100	Aeon Mall Co Ltd		266,899
	2,600	AGC Inc (a)		87,805
	3,600	Aisin Corp		99,215
	12,400	Amano Corp		225,100
	42,600	Asahi Kasei Corp (a)		316,617
	11,000	Credit Saison Co Ltd (a)		141,030
	3,800	Daiwa House Industry Co Ltd (a)		87,510
	17,900	Daiwabo Holdings Co Ltd		285,583
	11,900	Denka Co Ltd		288,126
	20,100	EXEO Group Inc (a)		311,995
	7,400	Ezaki Glico Co Ltd (a)		193,092
	17,200	Fuji Corp (a)		262,426
	2,700	FUJIFILM Holdings Corp (a)		145,239
	11,700	H.U. Group Holdings Inc (a)		237,301
	17,500	Haseko Corp (a)		193,506
	27,600	Honda Motor Co Ltd (a)		672,656
	2,100	Honda Motor Co Ltd Sponsored ADR (a)		51,450
	4,200	Idemitsu Kosan Co Ltd (a)		98,631
	31,300	Inpex Corp (a)		344,914
	10,600	ITOCHU Corp (a)		332,915
	6,200	KDDI Corp (a)		184,416
	18,900	Kirin Holdings Co Ltd (a)		298,348
	22,600	K’s Holdings Corp (a)		187,651
	12,100	Kyudenko Corp (a)		291,118
	9,500	Maruichi Steel Tube Ltd		197,595
	9,800	Mitsubishi Corp (a)		330,056
	2,100	Mitsubishi Electric Corp (a)		21,046
	14,000	Mitsui OSK Lines Ltd (a)		346,757
	7,100	Morinaga & Co Ltd (a)		191,279
	7,900	MS&AD Insurance Group Holdings Inc (a)		234,482
	8,600	NEC Corp (a)		306,165
	10,600	NH Foods Ltd (a)		285,395
	9,500	Nippon Telegraph & Telephone Corp (a)		263,425
	15,200	Nippon Yusen KK (a)		338,343
	42,200	Obayashi Corp (a)		315,490
	2,200	ORIX Corp (a)		35,645
	49,200	Penta-Ocean Construction Co Ltd (a)		232,837
	3,900	Renesas Electronics Corp * (a)		38,250
	3,300	Rohm Co Ltd (a)		264,895
	9,000	Sankyu Inc (a)		325,708
	3,300	Sawai Group Holdings Co Ltd (a)		102,182
	4,500	Secom Co Ltd (a)		278,213

Shares		Description	Value ($)
		Japan — continued
	21,100	Sekisui House Ltd (a)		395,069
	33,900	Shimizu Corp (a)		182,773
	17,600	Stanley Electric Co Ltd		361,884
	8,000	Subaru Corp		137,023
	18,500	SUMCO Corp (a)		276,788
	60,300	Sumitomo Chemical Co Ltd (a)		219,844
	20,600	Sumitomo Corp (a)		337,722
	10,700	Sumitomo Mitsui Financial Group Inc (a)		363,166
	8,900	Sumitomo Mitsui Trust Holdings Inc (a)		285,429
	29,300	T&D Holdings Inc (a)		356,210
	9,500	Taisei Corp (a)		288,792
	5,900	Takara Holdings Inc (a)		46,140
	19,200	Takuma Co Ltd		179,441
	25,100	Teijin Ltd		243,546
	13,000	THK Co Ltd (a)		256,430
	33,800	Tokai Carbon Co Ltd		260,803
	7,900	Tokyo Seimitsu Co Ltd (a)		253,158
	15,700	Toppan Inc (a)		244,545
	14,600	Tosoh Corp (a)		173,346
	6,000	Toyota Industries Corp (a)		344,203
	11,700	Tsumura & Co		256,397
	6,200	Yamaha Motor Co Ltd		155,309
	5,700	Zenkoku Hosho Co Ltd (a)		212,234
		Total Japan		15,541,558
		Netherlands — 1.1%
	72,184	Aegon NV (a)		353,879
	3,938	EXOR NV * (a)		309,133
	9,170	JDE Peet’s NV (a)		284,060
	10,452	Koninklijke Ahold Delhaize NV (a)		304,593
	19,425	Koninklijke Philips NV (a)		291,076
	6,387	NN Group NV (a)		272,958
	4,492	Prosus NV *		293,951
		Total Netherlands		2,109,650
		New Zealand — 0.1%
	15,249	Auckland International Airport Ltd * (a)		77,715
	23,340	Meridian Energy Ltd (a)		72,442
		Total New Zealand		150,157
		Poland — 0.0%
	880	Polski Koncern Naftowy ORLEN SA		12,953
		Portugal — 0.1%
	38,712	EDP – Energias de Portugal SA		183,690
		South Africa — 0.1%
	12,999	Bidvest Group Ltd (The)		174,814
		South Korea — 0.5%
	4,998	Kia Corp		263,214
	1,766	LG Corp		113,890

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	473	LG Electronics Inc		35,693
	162	POSCO Holdings Inc		37,082
	4,200	POSCO Holdings Inc Sponsored ADR (a)		239,652
	60	Samsung Electronics Co Ltd GDR (Registered) (a)		71,271
	4,827	SK Square Co Ltd *		139,851
		Total South Korea		900,653
		Spain — 0.5%
	69,424	Banco Bilbao Vizcaya Argentaria SA (a)		409,119
	110,304	Banco Santander SA (a)		329,129
	23,285	Telefonica SA (a)		86,915
		Total Spain		825,163
		Sweden — 0.5%
	18,459	Fastighets AB Balder – B Shares * (a)		82,983
	2,233	Industrivarden AB – A Shares (a)		57,629
	6,997	Industrivarden AB – C Shares (a)		179,240
	7,324	Investor AB – A Shares (a)		141,021
	5,594	Investor AB – B Shares (a)		104,109
	11,059	Kinnevik AB – Class B * (a)		170,473
	7,327	Skanska AB – B Shares (a)		119,279
	3,739	Svenska Cellulosa AB SCA – Class B (a)		50,838
	4,729	Telefonaktiebolaget LM Ericsson – B Shares (a)		29,848
		Total Sweden		935,420
		Switzerland — 0.5%
	9,748	Adecco Group AG (Registered) (a)		331,399
	6,104	Logitech International SA (Registered) (a)		370,070
	927	Roche Holding AG – Genusschein (a)		302,780
		Total Switzerland		1,004,249
		Taiwan — 2.2%
	35,000	Ruentex Development Co Ltd		52,834
	62,623	Silicon Motion Technology Corp ADR (a)		3,951,511
		Total Taiwan		4,004,345
		Thailand — 0.1%
	21,600	Kasikornbank Pcl NVDR		89,005
	248,800	Krung Thai Bank Pcl NVDR		124,857
	7,600	Thai Oil Pcl NVDR		12,012
		Total Thailand		225,874
		Turkey — 0.1%
	75,776	Akbank TAS		70,880
	28,295	Haci Omer Sabanci Holding AS		64,356
	48,687	Turkiye Is Bankasi AS – Class C		27,400
		Total Turkey		162,636

Shares		Description	Value ($)
		United Kingdom — 0.8%
	6,320	Berkeley Group Holdings Plc		293,081
	174,016	BT Group Plc (a)		256,067
	4,965	Coca-Cola HBC AG * (a)		121,448
	3,500	Haleon Plc ADR * (a)		24,115
	68,574	Kingfisher Plc (a)		200,538
	104,615	M&G Plc (a)		244,452
	95,202	Taylor Wimpey Plc (a)		119,995
	18,600	Vodafone Group Plc Sponsored ADR (a)		208,878
	1,827	WPP Plc (a)		19,201
		Total United Kingdom		1,487,775
		United States — 37.2%
	59,393	1Life Healthcare, Inc. * (a)		1,009,087
	500	3M Co. (a)		62,985
	72,079	Activision Blizzard, Inc. (a)		5,330,242
	2,900	Aflac, Inc. (a)		208,597
	9,400	Ally Financial, Inc. (a)		253,894
	5,200	AppLovin Corp. – Class A * (a)		74,932
	3,400	Arrow Electronics, Inc. *		369,716
	11,000	AT&T, Inc. (a)		212,080
	4,200	Best Buy Co., Inc. (a)		358,260
	1,000	Biogen, Inc. * (a)		305,170
	700	Bio-Rad Laboratories, Inc. – Class A * (a)		290,297
	33,924	Black Knight, Inc. * (a)		2,102,949
	8,400	BorgWarner, Inc.		357,084
	3,000	Capital One Financial Corp. (a)		309,720
	8,100	Carrier Global Corp. (a)		358,992
	3,400	CBRE Group, Inc. – Class A * (a)		270,640
	4,700	Centene Corp. * (a)		409,135
	500	Cigna Corp. (a)		164,445
	6,700	Citigroup, Inc. (a)		324,347
	16,800	Cleveland-Cliffs, Inc. * (a)		260,064
	4,800	Cognizant Technology Solutions Corp. – Class A (a)		298,608
	10,200	Comcast Corp. – Class A (a)		373,728
	38,927	Cowen, Inc. – Class A (a)		1,504,918
	2,300	CVS Health Corp. (a)		234,324
	8,000	Dell Technologies, Inc. – Class C (a)		358,320
	2,500	Discover Financial Services (a)		270,900
	19,700	DISH Network Corp. – Class A * (a)		316,185
	4,300	DR Horton, Inc. (a)		369,800
	7,100	eBay, Inc. (a)		322,624
	6,700	Exelon Corp. (a)		277,179
	1,800	FedEx Corp. (a)		327,996
	7,400	Fidelity National Financial, Inc. (a)		298,664
	33,953	First Horizon Corp. (a)		843,732
	22,525	Flagstar Bancorp, Inc.		845,589
	21,800	Ford Motor Co. (a)		303,020
	18,875	ForgeRock, Inc. – Class A *		410,531
	4,200	Fortune Brands Home & Security, Inc. (a)		274,428
	12,900	Fox Corp. – Class B (a)		393,708

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	12,000	Franklin Resources, Inc. (a)		321,720
	500	Garmin Ltd. (a)		46,495
	7,900	General Motors Co.		320,424
	1,200	Gilead Sciences, Inc. (a)		105,396
	300	Goldman Sachs Group, Inc. (The) (a)		115,845
	7,008	HEICO Corp. – Class A (a)		888,474
	1,000	Henry Schein, Inc. * (a)		80,920
	10,600	HP, Inc. (a)		318,424
	5,300	IAC, Inc. * (a)		275,017
	4,400	Incyte Corp. * (a)		350,548
	11,500	Intel Corp. (a)		345,805
	2,700	International Business Machines Corp. (a)		402,030
	13,100	Invesco Ltd. (a)		250,341
	2,500	Jazz Pharmaceuticals Plc * (a)		392,275
	20,200	Kinder Morgan, Inc. (a)		386,224
	3,200	Knight-Swift Transportation Holdings, Inc. (a)		177,376
	7,100	Kraft Heinz Co. (The) (a)		279,385
	1,600	Kroger Co. (The) (a)		78,704
	1,300	Laboratory Corp. of America Holdings (a)		312,910
	4,200	Lennar Corp. – Class A (a)		368,886
	43,785	Liberty Broadband Corp. – Class C * (a)		3,978,305
	104,863	Liberty Global Plc – Class A * (a)		2,105,649
	5,900	Liberty Global Plc – Class C *		122,012
	7,919	Liberty Media Corp.-Liberty Formula One – Class A * (a)		435,307
	6,800	Lincoln National Corp.		264,792
	37,500	Lumen Technologies, Inc. (a)		205,125
	3,900	LyondellBasell Industries NV – Class A (a)		331,539
	2,000	Match Group, Inc. * (a)		101,120
	3,000	Meta Platforms, Inc. – Class A * (a)		354,300
	1,600	MetLife, Inc. (a)		122,720
	4,900	Micron Technology, Inc. (a)		282,485
	2,800	Mohawk Industries, Inc. *		283,724
	6,300	Molson Coors Brewing Co. – Class B (a)		347,193
	3,900	Mosaic Co. (The) (a)		200,070
	7,000	NRG Energy, Inc. (a)		297,150
	2,300	Nucor Corp. (a)		344,885
	10	NVR, Inc. * (a)		46,390
	2,400	Occidental Petroleum Corp. (a)		166,776
	3,200	Oracle Corp. (a)		265,696
	700	PACCAR, Inc. (a)		74,137
	14,800	Paramount Global – Class B (a)		297,184
	3,800	PayPal Holdings, Inc. * (a)		297,958
	153,945	Pershing Square Tontine Holdings Ltd. * (c)		15,395
	3,200	Pfizer, Inc. (a)		160,416
	71,867	PNM Resources, Inc. (a)		3,521,483
	3,200	Prudential Financial, Inc. (a)		345,696
	7,400	PulteGroup, Inc. (a)		331,372
	500	Regeneron Pharmaceuticals, Inc. * (a)		375,850
	136,355	Resolute Forest Products, Inc. *		2,877,090
	11,363	Rogers Corp. *		1,239,022
	41,502	Signify Health, Inc. – Class A * (a)		1,187,787
	1,500	Skyworks Solutions, Inc. (a)		143,430

Shares		Description	Value ($)
		United States — continued
	55,366	South Jersey Industries, Inc. (a)		1,921,200
	41,973	Sportsman’s Warehouse Holdings, Inc. *		412,175
	1,700	SS&C Technologies Holdings, Inc. (a)		91,392
	200	Stanley Black & Decker, Inc. (a)		16,344
	3,500	Steel Dynamics, Inc. (a)		363,755
	71,267	STORE Capital Corp. (REIT) (a)		2,273,417
	78,103	Switch, Inc. – Class A (a)		2,675,028
	8,100	Synchrony Financial (a)		304,398
	210,835	TEGNA, Inc. (a)		4,161,883
	3,100	Textron, Inc. (a)		221,278
	4,300	Tyson Foods, Inc. – Class A (a)		285,004
	82,767	Umpqua Holdings Corp. (a)		1,677,687
	100	United Parcel Service, Inc. – Class B (a)		18,973
	3,000	Universal Health Services, Inc. – Class B (a)		392,550
	7,000	Verizon Communications, Inc. (a)		272,860
	900	Vertex Pharmaceuticals, Inc. * (a)		284,760
	31,800	Viatris, Inc. (a)		350,754
	24,445	VMware, Inc. – Class A * (a)		2,969,823
	7,800	Walgreens Boots Alliance, Inc. (a)		323,700
	3,943	Warner Bros Discovery, Inc. * (a)		44,950
	19,700	Western Union Co. (The) (a)		288,802
	6,500	Western Digital Corp. * (a)		238,875
	2,300	Westlake Corp. (a)		247,595
	1,900	Whirlpool Corp. (a)		278,407
	24,954	Zogenix, Inc. * (c)		18,716
	3,300	Zoom Video Communications, Inc. – Class A * (a)		248,919
		Total United States		68,379,392
		TOTAL COMMON STOCKS (COST $122,212,245)		112,189,624
		PREFERRED STOCKS (d) — 0.3%
		Brazil — 0.1%
	19,700	Petroleo Brasileiro SA Sponsored ADR (a)		201,925
		Germany — 0.2%
	2,200	Bayerische Motoren Werke AG (a)		190,902
	1,214	Volkswagen AG (a)		179,321
		Total Germany		370,223
		TOTAL PREFERRED STOCKS (COST $540,915)		572,148
		RIGHTS/WARRANTS — 0.2%
		United States — 0.2%
	195,149	Bristol-Myers Squibb Co. CVR * (c)		361,026
		TOTAL RIGHTS/WARRANTS (COST $284,429)		361,026

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares/ Par Value†		Description	Value ($)
		INVESTMENT FUNDS — 2.1%
		United States — 2.1%
	1,000,824	Altaba, Inc. (c)		3,753,090
		TOTAL INVESTMENT FUNDS (COST $3,301,440)		3,753,090
		DEBT OBLIGATIONS — 36.2%
		United States — 36.2%
		Asset-Backed Securities — 2.9%
	5,418,616	OZLM VI Ltd, Series 14-6A, Class A1S, Variable Rate, 3 mo. LIBOR + 1.08%, 5.16%, due 04/17/31		5,290,205
		U.S. Government — 23.5%
	3,000,000	U.S. Treasury Note, Variable Rate, USBM
		+ 0.05%, 4.38%, due 01/31/23		3,001,469
	15,000,000	U.S. Treasury Note, 0.13%, due 02/28/23		14,842,825
	6,025,000	U.S. Treasury Note, 0.13%, due 04/30/23 (a)		5,912,737
	5,050,000	U.S. Treasury Note, 0.13%, due 06/30/23 (a)		4,916,057
	400,000	U.S. Treasury Note, 0.13%, due 07/31/23		387,953
	3,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 10/31/23		3,502,630
	10,650,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 (a)		10,636,424
		Total U.S. Government		43,200,095
		U.S. Government Agency — 9.8%
	13,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 03/02/23		13,000,599
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 3.88%, due 12/14/23		5,000,562
		Total U.S. Government Agency		18,001,161
		Total United States		66,491,461
		TOTAL DEBT OBLIGATIONS (COST $66,844,966)		66,491,461

	Shares/ Par Value†		Description	Value ($)
			MUTUAL FUNDS — 3.3%
			United States — 3.3%
			Affiliated Issuers — 3.3%
		431,379	GMO Emerging Markets ex-China Fund, Class VI		6,056,565
			TOTAL MUTUAL FUNDS (COST $6,060,879)		6,056,565
			SHORT-TERM INVESTMENTS — 21.6%
			Sovereign and Sovereign Agency Issuers — 8.6%
JPY		2,185,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/11/23		15,825,432
			Money Market Funds — 0.1%
		198,565	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (e)		198,565
			Repurchase Agreements — 2.2%
		3,976,963	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/30/22, maturing on 12/01/22 with a maturity value of $3,977,383 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 04/30/29 and a market value of $4,058,125.		3,976,963
			U.S. Government — 10.7%
		19,900,000	U.S. Treasury Bill, 4.17%, due 02/23/23 (f)		19,708,433
			TOTAL SHORT-TERM INVESTMENTS (COST $38,917,864)		39,709,393

PURCHASED OPTIONS — 0.0%

Description	Exercise Price		Expiration Date		Number of Contracts	Notional Amount		Value ($)
Equity Options – Puts – 0.0%
Continental Resources, Inc.		70.00		12/16/22	244		USD 1,812,310		1,220

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%

CDX.NA.IG.S39

DB

85.00

%

12/21/22

USD

20,010,000

Fixed Spread

Pay

10,366

TOTAL PURCHASED OPTIONS (COST $56,474)

11,586

TOTAL INVESTMENTS — 124.8% (Cost $238,219,212)

229,144,893

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (32.0)%
			Common Stocks — (31.8)%
			Australia — (0.6)%
	(5,348	)	ASX Ltd		(257,794	)
	(1,304	)	Cochlear Ltd		(191,790	)
	(501	)	Domino’s Pizza Enterprises Ltd		(22,946	)
	(7,891	)	IDP Education Ltd		(162,463	)
	(74,058	)	Qantas Airways Ltd *		(318,052	)
	(2,477	)	Ramsay Health Care Ltd		(111,477	)
			Total Australia		(1,064,522	)
			Austria — (0.2)%
	(3,788	)	Verbund AG		(342,903	)
			Belgium — (0.2)%
	(5,656	)	Anheuser-Busch InBev SA/NV		(333,565	)
			Canada — (1.5)%
	(4,100	)	Agnico Eagle Mines Ltd		(206,517	)
	(16,100	)	Algonquin Power & Utilities Corp		(121,555	)
	(15,200	)	AltaGas Ltd		(255,038	)
	(2,600	)	BCE Inc		(123,864	)
	(7,100	)	Brookfield Renewable Corp – Class A		(231,531	)
	(7,900	)	Enbridge Inc		(326,191	)
	(2,500	)	Franco-Nevada Corp		(365,300	)
	(17,500	)	Pan American Silver Corp		(286,825	)
	(10,800	)	Pembina Pipeline Corp		(393,984	)
	(5,600	)	Restaurant Brands International Inc		(371,560	)
	(2,200	)	Ritchie Bros Auctioneers Inc		(120,670	)
			Total Canada		(2,803,035	)
			Denmark — (0.1)%
	(323	)	Coloplast A/S – Class B		(38,184	)
	(4,886	)	Tryg A/S		(113,678	)
			Total Denmark		(151,862	)
			Finland — (0.0)%
	(1,020	)	Elisa Oyj		(53,058	)
			France — (0.9)%
	(10,681	)	Accor SA *		(281,339	)
	(1,851	)	Aeroports de Paris *		(285,309	)
	(527	)	Euronext NV		(40,315	)
	(20,306	)	Getlink SE		(335,564	)
	(242	)	Hermes International		(393,317	)
	(313	)	Sartorius Stedim Biotech		(106,828	)
	(1,409	)	Ubisoft Entertainment SA *		(39,196	)
	(1,369	)	Wendel SE		(127,473	)
			Total France		(1,609,341	)
			Germany — (1.0)%
	(7,480	)	Delivery Hero SE *		(327,420	)

Shares			Description	Value ($)
			Germany — continued
	(1,632	)	Deutsche Boerse AG		(299,920	)
	(638	)	MTU Aero Engines AG		(134,531	)
	(219	)	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		(69,172	)
	(2,065	)	Puma SE		(106,871	)
	(822	)	QIAGEN NV *		(41,038	)
	(274	)	Rational AG		(172,155	)
	(511	)	Scout24 SE		(28,048	)
	(2,908	)	Symrise AG – Class A		(333,515	)
	(98,860	)	Telefonica Deutschland Holding AG		(236,448	)
	(2,391	)	Zalando SE *		(75,204	)
			Total Germany		(1,824,322	)
			Ireland — (0.0)%
	(339	)	Flutter Entertainment Plc *		(50,476	)
			Israel — (0.2)%
	(2,200	)	CyberArk Software Ltd *		(327,954	)
	(800	)	Wix.com Ltd *		(72,392	)
			Total Israel		(400,346	)
			Italy — (0.8)%
	(9,432	)	Amplifon SPA		(267,181	)
	(1,437	)	Ferrari NV (b)		(320,741	)
	(600	)	Ferrari NV (b)		(133,830	)
	(25,684	)	FinecoBank Banca Fineco SPA		(417,152	)
	(26,970	)	Infrastrutture Wireless Italiane SPA		(268,993	)
			Total Italy		(1,407,897	)
			Japan — (2.8)%
	(10,200	)	Aeon Co Ltd		(210,505	)
	(15,700	)	ANA Holdings Inc *		(338,050	)
	(11,000	)	Asahi Intecc Co Ltd		(196,909	)
	(100	)	Fast Retailing Co Ltd		(59,464	)
	(3,500	)	GMO Payment Gateway Inc		(316,887	)
	(17,200	)	Japan Airlines Co Ltd *		(343,814	)
	(6,200	)	Japan Exchange Group Inc		(89,771	)
	(5,600	)	Keio Corp		(209,791	)
	(2,700	)	Keisei Electric Railway Co Ltd		(77,351	)
	(1,800	)	Kintetsu Group Holdings Co Ltd		(64,334	)
	(1,700	)	Lasertec Corp		(320,453	)
	(10,600	)	M3 Inc		(332,445	)
	(20,300	)	MonotaRO Co Ltd		(351,196	)
	(3,500	)	Nidec Corp		(220,404	)
	(15,600	)	Nihon M&A Center Holdings Inc		(213,574	)
	(26,800	)	Nippon Paint Holdings Co Ltd		(221,951	)
	(1,300	)	Nissin Foods Holdings Co Ltd		(99,066	)
	(14,100	)	Odakyu Electric Railway Co Ltd		(186,126	)
	(2,200	)	Oriental Land Co Ltd		(318,011	)
	(60,400	)	Rakuten Group Inc		(290,196	)
	(3,700	)	Shiseido Co Ltd		(158,027	)
	(5,000	)	Tobu Railway Co Ltd		(120,707	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			Japan — continued
	(13,700	)	Tokyu Corp		(174,964	)
	(6,100	)	West Japan Railway Co		(259,858	)
			Total Japan		(5,173,854	)
			Netherlands — (0.6)%
	(218	)	Adyen NV *		(343,420	)
	(1,783	)	IMCD NV		(263,713	)
	(8,366	)	Just Eat Takeaway.com NV *		(193,825	)
	(746	)	OCI NV		(31,581	)
	(14,316	)	Universal Music Group NV		(340,445	)
			Total Netherlands		(1,172,984	)
			New Zealand — (0.1)%
	(5,479	)	Xero Ltd *		(272,280	)
			Norway — (0.2)%
	(8,389	)	Aker BP ASA		(291,855	)
			Peru — (0.2)%
	(6,100	)	Southern Copper Corp		(372,222	)
			Singapore — (0.2)%
	(22,100	)	Grab Holdings Ltd – Class A *		(66,742	)
	(30,200	)	Singapore Airlines Ltd		(122,523	)
	(28,300	)	Singapore Exchange Ltd		(189,423	)
			Total Singapore		(378,688	)
			Spain — (0.4)%
	(8,628	)	Cellnex Telecom SA		(296,704	)
	(15,284	)	Ferrovial SA		(411,015	)
			Total Spain		(707,719	)
			Sweden — (0.2)%
	(3,168	)	Evolution AB		(326,317	)
			Switzerland — (0.4)%
	(6	)	Chocoladefabriken Lindt & Spruengli AG		(63,116	)
	(282	)	Partners Group Holding AG		(280,976	)
	(408	)	Sika AG (Registered)		(104,269	)
	(2,239	)	Straumann Holding AG (Registered)		(261,317	)
			Total Switzerland		(709,678	)
			United Kingdom — (1.3)%
	(3,262	)	Admiral Group Plc		(79,749	)
	(36,828	)	Auto Trader Group Plc		(254,235	)
	(81	)	Croda International Plc		(6,698	)
	(3,877	)	Halma Plc		(102,843	)
	(18,955	)	Hargreaves Lansdown Plc		(195,302	)
	(55,173	)	Informa Plc		(413,759	)
	(4,001	)	InterContinental Hotels Group Plc		(232,871	)
	(4,008	)	London Stock Exchange Group Plc		(401,343	)

Shares			Description	Value ($)
			United Kingdom — continued
	(33,185	)	Ocado Group Plc *		(251,235	)
	(1,284	)	Prudential Plc		(15,273	)
	(307,895	)	Rolls-Royce Holdings Plc *		(341,163	)
	(815	)	Spirax-Sarco Engineering Plc		(111,306	)
			Total United Kingdom		(2,405,777	)
			United States — (19.9)%
	(13,800	)	AES Corp. (The)		(399,096	)
	(1,800	)	Alnylam Pharmaceuticals, Inc. *		(397,062	)
	(5,800	)	Altria Group, Inc.		(270,164	)
	(800	)	American Tower Corp. (REIT)		(177,000	)
	(300	)	Amgen, Inc.		(85,920	)
	(100	)	Analog Devices, Inc.		(17,191	)
	(1,000	)	Aon Plc – Class A		(308,280	)
	(8,300	)	Aramark		(345,280	)
	(1,800	)	Arthur J Gallagher & Co.		(358,398	)
	(1,200	)	Autodesk, Inc. *		(242,340	)
	(600	)	Automatic Data Processing, Inc.		(158,484	)
	(2,400	)	Bill.Com Holdings, Inc. *		(289,008	)
	(1,200	)	BioMarin Pharmaceutical, Inc. *		(121,176	)
	(2,800	)	Bio-Techne Corp.		(237,972	)
	(2,100	)	Boeing Co. (The) *		(375,648	)
	(3,722	)	Broadcom, Inc.		(2,050,934	)
	(2,100	)	Burlington Stores, Inc. *		(410,928	)
	(7,100	)	Caesars Entertainment, Inc. *		(360,751	)
	(200	)	CDW Corp.		(37,728	)
	(4,900	)	Ceridian HCM Holding, Inc. *		(335,356	)
	(200	)	Charles Schwab Corp. (The)		(16,508	)
	(10,459	)	Charter Communications, Inc. – Class A *		(4,092,502	)
	(200	)	Chipotle Mexican Grill, Inc. – Class A *		(325,392	)
	(2,900	)	Clarivate Plc *		(28,391	)
	(6,100	)	Cloudflare, Inc. – Class A *		(299,754	)
	(1,200	)	CME Group, Inc.		(211,800	)
	(49,315	)	Columbia Banking System, Inc.		(1,679,669	)
	(5,300	)	Coupa Software, Inc. *		(335,172	)
	(1,000	)	Crown Castle, Inc. (REIT)		(141,430	)
	(8,600	)	Delta Air Lines, Inc. *		(304,182	)
	(3,300	)	Dexcom, Inc. *		(383,724	)
	(2,100	)	Diamondback Energy, Inc.		(310,842	)
	(200	)	DocuSign, Inc. – Class A *		(9,414	)
	(3,700	)	Dominion Energy, Inc.		(226,107	)
	(2,500	)	Equity LifeStyle Properties, Inc. (REIT)		(166,050	)
	(100	)	Erie Indemnity Co. – Class A		(28,239	)
	(3,300	)	Essential Utilities, Inc.		(159,192	)
	(7,600	)	Exact Sciences Corp. *		(341,620	)
	(5,500	)	Fastenal Co.		(283,305	)
	(5,500	)	Fortinet, Inc. *		(292,380	)
	(1,000	)	Gartner, Inc. *		(350,370	)
	(4,300	)	Guidewire Software, Inc. *		(255,033	)
	(5,649	)	HEICO Corp.		(916,889	)
	(1,400	)	Hess Corp.		(201,474	)
	(1,000	)	HubSpot, Inc. *		(303,030	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(800	)	IDEXX Laboratories, Inc. *		(340,696	)
	(4,900	)	Ingersoll Rand, Inc.		(264,453	)
	(1,200	)	Insulet Corp. *		(359,244	)
	(4,889	)	Intercontinental Exchange, Inc.		(529,528	)
	(1,600	)	IQVIA Holdings, Inc. *		(348,832	)
	(3,700	)	Iron Mountain, Inc. (REIT)		(201,021	)
	(93,976	)	Liberty Global Plc – Class C *		(1,943,424	)
	(13,379	)	Liberty Media Corp.-Liberty Formula One – Class C *		(815,316	)
	(1,100	)	Linde Plc *		(370,128	)
	(3,800	)	Live Nation Entertainment, Inc. *		(276,488	)
	(200	)	LPL Financial Holdings, Inc.		(47,342	)
	(100	)	Lululemon Athletica, Inc. *		(38,031	)
	(1,100	)	MarketAxess Holdings, Inc.		(294,712	)
	(900	)	Marriott International, Inc. – Class A		(148,815	)
	(1,700	)	Marsh & McLennan Cos., Inc.		(294,406	)
	(100	)	Mastercard, Inc. – Class A		(35,640	)
	(10,099	)	MaxLinear, Inc. *		(369,623	)
	(600	)	McDonald’s Corp.		(163,674	)
	(400	)	McKesson Corp.		(152,672	)
	(1,600	)	MongoDB, Inc. – Class A *		(244,304	)
	(500	)	Monolithic Power Systems, Inc.		(190,980	)
	(600	)	Moody’s Corp.		(178,962	)
	(200	)	Motorola Solutions, Inc.		(54,440	)
	(700	)	MSCI, Inc. – Class A		(355,481	)
	(90,436	)	New York Community Bancorp, Inc.		(845,577	)
	(4,100	)	Newmont Corp.		(194,627	)
	(10,500	)	NiSource, Inc.		(293,370	)
	(4,000	)	Novocure Ltd. *		(307,360	)
	(5,600	)	Okta, Inc. *		(298,592	)
	(5,000	)	ONEOK, Inc.		(334,600	)
	(29,400	)	Palantir Technologies, Inc. – Class A *		(220,500	)
	(300	)	Palo Alto Networks, Inc. *		(50,970	)
	(2,400	)	Paychex, Inc.		(297,672	)
	(3,200	)	Philip Morris International, Inc.		(318,944	)
	(1,200	)	PTC, Inc. *		(152,652	)
	(200	)	Public Storage (REIT)		(59,592	)
	(7,100	)	ROBLOX Corp. – Class A *		(225,567	)
	(4,700	)	Roku, Inc. *		(279,039	)
	(8,100	)	Rollins, Inc.		(327,564	)
	(6,000	)	Royal Caribbean Cruises Ltd. *		(359,580	)
	(500	)	S&P Global, Inc.		(176,400	)

Shares			Description	Value ($)
			United States — continued
	(2,200	)	Seagen, Inc. *		(267,058	)
	(700	)	ServiceNow, Inc. *		(291,410	)
	(1,200	)	Sherwin-Williams Co. (The)		(299,016	)
	(1,400	)	Simon Property Group, Inc. (REIT)		(167,216	)
	(4,900	)	Snap, Inc. – Class A *		(50,519	)
	(1,700	)	Snowflake, Inc. – Class A *		(242,930	)
	(3,400	)	Starbucks Corp.		(347,480	)
	(3,000	)	Sysco Corp.		(259,530	)
	(11,500	)	Teladoc Health, Inc. *		(327,865	)
	(1,500	)	Tesla, Inc. *		(292,050	)
	(500	)	T-Mobile U.S., Inc. *		(75,730	)
	(100	)	Tractor Supply Co.		(22,631	)
	(5,200	)	Trade Desk, Inc. (The) – Class A *		(271,128	)
	(500	)	TransDigm Group, Inc.		(314,250	)
	(5,800	)	Twilio, Inc. – Class A *		(284,316	)
	(10,400	)	Uber Technologies, Inc. *		(303,056	)
	(3,200	)	UDR, Inc. (REIT)		(132,704	)
	(1,200	)	Vail Resorts, Inc.		(309,048	)
	(600	)	Vulcan Materials Co.		(109,998	)
	(300	)	Wayfair, Inc. – Class A *		(10,992	)
	(10,600	)	Williams Cos., Inc. (The)		(367,820	)
	(200	)	Yum! Brands, Inc.		(25,732	)
	(2,888	)	Zillow Group, Inc. – Class C *		(109,686	)
	(100	)	Zoetis, Inc.		(15,414	)
	(2,100	)	Zscaler, Inc. *		(280,245	)
			Total United States		(36,579,827	)
			TOTAL COMMON STOCKS (PROCEEDS $65,402,619)		(58,432,528	)
			PREFERRED STOCKS (d) — (0.2)%
			Germany — (0.2)%
	(670	)	Sartorius AG		(251,891	)
			TOTAL PREFERRED STOCKS (PROCEEDS $316,086)		(251,891	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $65,718,705)		(58,684,419	)
			Other Assets and Liabilities (net) — 7.2%		13,144,366
			TOTAL NET ASSETS — 100.0%		$183,604,840

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/17/2023	DB	CAD	895,415	USD	666,811		645
02/16/2023	JPM	CHF	2,317,275	USD	2,473,510		1,624
01/31/2023	BCLY	CHF	6,459,265	USD	6,879,097		1,571
01/18/2023	JPM	CZK	16,970,976	USD	725,069		1,279
01/18/2023	MSCI	EUR	1,871,800	USD	1,958,953		3,614
01/31/2023	SSB	EUR	2,870,000	USD	3,007,559		6,777
02/08/2023	MSCI	SEK	11,900,000	USD	1,144,710		6,240
02/09/2023	JPM	USD	1,029,024	AUD	1,530,000		12,491
01/23/2023	UBSA	USD	477,590	AUD	706,714		3,153
01/23/2023	DB	USD	7,356	AUD	10,927		77
12/02/2022	MSCI	USD	780,599	BRL	4,239,119		36,290
12/02/2022	GS	USD	103,919	BRL	550,000		2,068
02/02/2023	MSCI	USD	658,409	BRL	3,589,119		25,044
02/02/2023	MSCI	USD	2,844,139	CAD	3,871,285		36,534
02/02/2023	BCLY	USD	1,008,752	CAD	1,360,000		3,241
02/07/2023	BOA	USD	686,778	CAD	928,543		4,220
01/17/2023	MSCI	USD	309,797	CAD	419,507		2,305
01/12/2023	MSCI	USD	222,612	CLP	210,000,000		11,670
01/31/2023	MSCI	USD	3,641,615	EUR	3,486,217		3,464
01/31/2023	DB	USD	450,254	EUR	432,076		1,511
02/21/2023	MSCI	USD	378,240	GBP	320,000		8,390
02/16/2023	MSCI	USD	134,492	HUF	54,520,539		1,284
02/16/2023	CITI	USD	98,439	HUF	40,000,000		1,176
02/03/2023	JPM	USD	701,538	IDR	11,014,143,000		1,431
12/12/2022	MSCI	USD	7,105,421	JPY	1,024,448,285		322,071
01/17/2023	MSCI	USD	3,067,658	JPY	445,861,155		180,881
12/12/2022	BCLY	USD	316,643	JPY	46,917,060		23,517
12/12/2022	JPM	USD	383,407	JPY	56,504,863		26,267
01/17/2023	BCLY	USD	2,280,176	JPY	329,320,148		119,247
01/17/2023	DB	USD	27,503	JPY	3,820,805		335
01/24/2023	MSCI	USD	803,913	MXN	16,418,725		39,243
01/18/2023	MSCI	USD	3,318,258	NOK	34,827,768		224,336
01/24/2023	MSCI	USD	64,667	NZD	105,329		1,756
01/12/2023	MSCI	USD	288,904	PEN	1,160,000		12,473
12/02/2022	CITI	USD	174,050	PHP	10,000,000		2,754
12/02/2022	JPM	USD	87,125	PHP	5,000,000		1,277
12/02/2022	BCLY	USD	188,527	PHP	10,663,090		0
02/21/2023	BCLY	USD	53,777	PLN	250,000		1,205
02/08/2023	MSCI	USD	1,105,028	SEK	12,055,521		48,321
02/08/2023	BCLY	USD	367,429	SEK	3,900,000		5,683
02/21/2023	GS	USD	58,292	SGD	80,000		547
02/21/2023	MSCI	USD	59,477	THB	2,100,000		576
02/06/2023	CITI	USD	78,972	TWD	2,400,000		364
01/23/2023	BCLY	AUD	424,080	USD	286,291		(2,190	)
01/23/2023	DB	AUD	280,157	USD	185,792		(4,785	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
12/02/2022	CITI	BRL	750,000	USD	138,119		(6,408	)
12/02/2022	GS	BRL	450,000	USD	84,008		(2,709	)
12/02/2022	MSCI	BRL	3,589,119	USD	666,627		(25,005	)
02/07/2023	MSCI	CAD	4,583,142	USD	3,391,722		(18,937	)
02/16/2023	JPM	CHF	610,000	USD	647,102		(3,598	)
01/31/2023	SSB	CHF	187,022	USD	198,829		(304	)
01/31/2023	MSCI	CHF	242,235	USD	256,231		(1,690	)
01/12/2023	MSCI	CLP	175,903,500	USD	181,878		(14,364	)
01/12/2023	MSCI	COP	440,000,000	USD	87,842		(2,671	)
01/23/2023	BCLY	GBP	253,398	USD	302,290		(3,660	)
02/21/2023	BCLY	GBP	320,000	USD	382,933		(3,696	)
02/03/2023	MSCI	IDR	1,200,000,000	USD	76,093		(496	)
02/28/2023	JPM	ILS	967,605	USD	282,636		(2,536	)
02/23/2023	MSCI	INR	53,926,936	USD	655,216		(4,400	)
01/11/2023	CITI	JPY	2,185,000,000	USD	15,173,988		(733,548	)
12/12/2022	MSCI	JPY	21,916,421	USD	151,336		(7,563	)
12/12/2022	DB	JPY	85,016,238	USD	585,219		(31,168	)
01/17/2023	BOA	JPY	54,000,000	USD	370,673		(22,771	)
01/17/2023	DB	JPY	48,460,427	USD	345,356		(7,727	)
02/03/2023	JPM	KRW	761,169,825	USD	534,106		(50,167	)
01/24/2023	GS	MXN	1,600,000	USD	79,309		(2,857	)
01/18/2023	BOA	NOK	4,300,000	USD	417,630		(19,755	)
01/24/2023	BCLY	NZD	317,480	USD	195,409		(4,800	)
02/28/2023	MSCI	NZD	2,460,000	USD	1,529,923		(22,264	)
01/24/2023	MSCI	NZD	206,182	USD	128,526		(1,496	)
01/24/2023	DB	NZD	215,508	USD	134,360		(1,543	)
01/12/2023	MSCI	PEN	440,000	USD	109,290		(5,026	)
12/02/2022	JPM	PHP	25,663,090	USD	442,124		(11,608	)
02/01/2023	BCLY	PHP	10,663,090	USD	188,261		(528	)
02/21/2023	MSCI	PLN	857,005	USD	184,839		(3,640	)
02/27/2023	BCLY	RON	2,841,896	USD	590,977		(5,744	)
01/27/2023	BOA	SEK	2,874,016	USD	263,696		(11,060	)
02/08/2023	BCLY	SEK	5,100,000	USD	485,333		(2,583	)
02/21/2023	MSCI	SGD	515,848	USD	374,506		(4,899	)
02/21/2023	BCLY	THB	20,452,251	USD	577,095		(7,777	)
02/06/2023	BCLY	TWD	23,443,349	USD	732,467		(42,490	)
02/02/2023	JPM	USD	641,085	CAD	860,000		(1,149	)
01/17/2023	DB	USD	167,131	CAD	224,157		(364	)
02/07/2023	BOA	USD	207,012	CAD	278,113		(47	)
01/12/2023	MSCI	USD	874,118	COP	4,095,101,500		(31,709	)
02/16/2023	BOA	USD	50,253	HUF	20,000,000		(445	)
01/27/2023	BOA	USD	276,544	SEK	2,874,016		(1,788	)
						$	52,987

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
88	CAC40 10 Euro		December 2022		6,230,573		146,236
41	Corn (g)		March 2023		1,367,350		(7,725	)
2	DAX Index		December 2022		759,145		124,168
86	FTSE 100 Index		December 2022		7,908,394		214,802
9	Hang Seng Index		December 2022		1,081,261		66,161
343	Mini MSCI Emerging Markets		December 2022		16,849,875		508,387
109	MSCI Singapore		December 2022		2,395,867		36,637
7	Silver (g)		March 2023		762,335		6,626
47	Soybean (g)		January 2023		3,453,325		190,765
2	TOPIX Index		December 2022		291,612		6,961
				$	41,099,737	$	1,293,018

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
7	Australian Government Bond 10 Yr.		December 2022	$	573,284	$	(3,297	)
41	Canadian Government Bond 10 Yr.		March 2023		3,832,539		(12,932	)
35	E-mini Russell 2000 Index		December 2022		3,303,125		(83,357	)
7	Euro Bund		December 2022		1,026,198		(3,012	)
3	Euro Bund		March 2023		437,770		(75	)
38	FTSE Taiwan Index		December 2022		1,998,790		(39,885	)
11	Gold 100 OZ (g)		February 2023		1,935,890		(12,395	)
31	MSCI EAFE		December 2022		3,068,690		(204,415	)
109	S&P 500 E-Mini		December 2022		22,242,813		(225,833	)
14	S&P/TSX 60		December 2022		2,581,749		(140,412	)
8	SPI 200 Futures		December 2022		999,888		(28,406	)
71	U.S. Treasury Note 10 Yr. (CBT)		March 2023		8,058,500		(43,987	)
2	UK Gilt Long Bond		March 2023		253,079		1,107
4	WTI Crude (g)		December 2022		322,200		30,352
				$	50,634,515	$	(766,547	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
Continental Resources, Inc.		70.00		12/16/22		(93	)		USD	(690,758	)		(39,990	)
Index Options – Puts
S&P 500 Index		3,770.00		12/02/22		(9	)		USD	(3,672,099	)		(315	)
S&P 500 Index		3,990.00		12/09/22		(8	)		USD	(3,264,088	)		(12,400	)
S&P 500 Index		3,965.00		12/16/22		(8	)		USD	(3,264,088	)		(25,520	)
S&P 500 Index		4,025.00		12/23/22		(8	)		USD	(3,264,088	)		(44,880	)
		Total Index Options – Puts											(83,115	)

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.IG.S39	DB		105.00	%		12/21/22	USD	(22,225,000)		FixedSpread		Pay		(2,066	)
CDX.NA.IG.S39	BCLY		105.00	%		12/21/22	USD	(11,125,000)		FixedSpread		Pay		(1,034	)
CDX.NA.IG.S39	DB		100.00	%		01/18/23	USD	(20,010,000)		FixedSpread		Pay		(10,675	)
							Total Written Options On Credit Default Swaps – Puts							(13,775	)
							TOTAL WRITTEN OPTIONS (Premiums $435,073)						$	(136,880	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S37.V2	USD	4,405,500		5.00%		3.81%		N/A		12/20/2026		Quarterly		(244,505	)		(177,392	)		67,113
ITRAXX.XO.36.V1	EUR	6,675,000		5.00%		3.99%		N/A		12/20/2026		Quarterly		(237,664	)		(239,366	)		(1,702	)
CDX.NA.IG.S39	USD	33,350,000		1.00%		0.76%		N/A		12/20/2027		Quarterly		(137,482	)		(364,182	)		(226,700	)
													$	(619,651	)	$	(780,940	)	$	(161,289	)

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	CITI	USD	1,631,000		5.00%		1.56%		N/A		12/20/2023		Quarterly		(6,361	)		(57,903	)		(51,542	)
CDX.NA.HYS.31	CITI	USD	1,780,000		5.00%		1.56%		N/A		12/20/2023		Quarterly		18,334			(63,192	)		(81,526	)
CMBX.NA.BBB-.9	MLCS	USD	2,640,000		3.00%		11.56%		N/A		09/17/2058		Monthly		212,244			515,803			303,559
CMBX.NA.BBB-.10	GS	USD	1,886,000		3.00%		8.64%		N/A		11/17/2059		Monthly		351,268			324,457			(26,811	)
CMBX.NA.BBB-.13	CGMI	USD	1,500,000		3.00%		6.96%		N/A		12/16/2072		Monthly		65,524			286,734			221,210
CMBX.NA.BBB-.13	GS	USD	576,500		3.00%		6.96%		N/A		12/16/2072		Monthly		35,496			110,202			74,706
CMBX.NA.BBB-.13	MSCI	USD	1,668,750		3.00%		6.96%		N/A		12/16/2072		Monthly		226,077			318,992			92,915
Sell Protection^:
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,187,000		5.00%		0.38%		1,187,000 USD		12/20/2023		Quarterly		121,668			56,779			(64,889	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,928,000		5.00%		0.38%		1,928,000 USD		12/20/2023		Quarterly		203,886			92,225			(111,661	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	3,560,000		5.00%		0.38%		3,560,000 USD		12/20/2023		Quarterly		238,520			170,290			(68,230	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	4,388,727		5.00%		0.22%		4,388,727 USD		12/20/2024		Quarterly		756,836			408,575			(348,261	)
CDX.NA.HYS.35	GS	USD	2,225,000		5.00%		1.47%		2,225,000 USD		12/20/2025		Quarterly		132,919			224,187			91,268
CDX.NA.HYS.37	GS	USD	11,125,000		5.00%		0.59%		11,125,000 USD		12/20/2026		Quarterly		2,081,364			1,755,564			(325,800	)
ITRAXX.XO.36 35	MSCI	EUR	13,350,000		5.00%		0.81%		13,350,000 EUR		12/20/2026		Quarterly		2,319,299			2,085,895			(233,404	)
CMBX.NA.A.9	CGMI	USD	1,112,500		2.00%		3.86%		1,112,500 USD		09/17/2058		Monthly		(33,096	)		(52,470	)		(19,374	)
CMBX.NA.A.9	CGMI	USD	1,780,000		2.00%		3.86%		1,780,000 USD		09/17/2058		Monthly		(44,602	)		(83,952	)		(39,350	)
CMBX.NA.A.9	MLCS	USD	4,750,000		2.00%		3.86%		4,750,000 USD		09/17/2058		Monthly		9,294			(224,029	)		(233,323	)
CMBX.NA.AAA.10	GS	USD	4,610,000		0.50%		0.54%		4,610,000 USD		11/17/2059		Monthly		42,163			(7,087	)		(49,250	)
CMBX.NA.AAA.13	GS	USD	1,730,000		0.50%		0.72%		1,730,000 USD		12/16/2072		Monthly		4,051			(22,523	)		(26,574	)
														$	6,734,884		$	5,838,547		$	(896,337	)

^ 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, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.86%	3 Month AUD BBSW	AUD	9,246,000		12/21/2024	Quarterly		(7,067	)		(24,268	)		(17,201	)
3.91%	3 Month AUD BBSW	AUD	4,500,000		12/21/2024	Quarterly		—			(14,700	)		(14,700	)
4.08%	3 Month CAD CDOR	CAD	16,859,000		12/21/2024	Semi-Annually		(344	)		67,568			67,912
4.25%	3 Month CAD CDOR	CAD	1,500,000		12/21/2024	Semi-Annually		—			2,499			2,499
3 Month CAD CDOR	4.15%	CAD	7,500,000		12/21/2024	Semi-Annually		—			(22,955	)		(22,955	)
CHF - SARON - OIS - COMPOUND	1.39%	CHF	4,000,000		12/21/2024	Semi-Annually		—			13,713			13,713
CHF - SARON - OIS - COMPOUND	1.74%	CHF	7,500,000		12/21/2024	Semi-Annually		—			80,920			80,920
1.81%	CHF - SARON - OIS - COMPOUND	CHF	18,227,000		12/21/2024	Semi-Annually		(1,465	)		(224,184	)		(222,719	)
1.40%	CHF - SARON - OIS - COMPOUND	CHF	2,500,000		12/21/2024	Semi-Annually		—			(8,835	)		(8,835	)
EUR - EuroSTR - COMPOUND	2.59%	EUR	6,500,000		12/21/2024	Annually		—			(7,154	)		(7,154	)
EUR - EuroSTR - COMPOUND	2.64%	EUR	2,000,000		12/21/2024	Annually		—			(411	)		(411	)
2.14%	EUR - EuroSTR - COMPOUND	EUR	3,481,000		12/21/2024	Annually		846			36,297			35,451
2.94%	EUR - EuroSTR - COMPOUND	EUR	4,500,000		12/21/2024	Annually		—			(26,398	)		(26,398	)
GBP - SONIA - COMPOUND	3.96%	GBP	14,100,000		12/21/2024	Annually		(35,542	)		(134,446	)		(98,904	)
GBP - SONIA - COMPOUND	4.58%	GBP	1,500,000		12/21/2024	Annually		—			6,851			6,851
4.26%	GBP - SONIA - COMPOUND	GBP	4,000,000		12/21/2024	Annually		—			10,996			10,996
5.22%	GBP - SONIA - COMPOUND	GBP	3,500,000		12/21/2024	Annually		—			(66,960	)		(66,960	)
5.36%	GBP - SONIA - COMPOUND	GBP	3,000,000		12/21/2024	Annually		—			(66,907	)		(66,907	)
3 Month SEK STIBOR	3.29%	SEK	127,391,000		12/21/2024	Quarterly		26,213			21,174			(5,039	)
3 Month SEK STIBOR	3.45%	SEK	25,000,000		12/21/2024	Quarterly		—			11,236			11,236
USD - SOFR - COMPOUND	4.59%	USD	3,500,000		12/21/2024	Semi-Annually		—			13,340			13,340
3.58%	USD - SOFR - COMPOUND	USD	2,613,000		12/21/2024	Semi-Annually		879			40,040			39,161
4.47%	USD - SOFR - COMPOUND	USD	5,000,000		12/21/2024	Semi-Annually		—			(8,329	)		(8,329	)
6 Month AUD BBSW	4.14%	AUD	1,100,000		12/21/2032	Semi-Annually		—			(1,046	)		(1,046	)
6 Month AUD BBSW	4.19%	AUD	1,100,000		12/21/2032	Semi-Annually		—			1,976			1,976
6 Month AUD BBSW	4.21%	AUD	1,300,000		12/21/2032	Semi-Annually		—			3,959			3,959
6 Month AUD BBSW	4.25%	AUD	4,524,000		12/21/2032	Semi-Annually		10,593			23,245			12,652
6 Month AUD BBSW	4.25%	AUD	2,205,000		12/21/2032	Semi-Annually		5,163			11,330			6,167
6 Month AUD BBSW	4.29%	AUD	1,300,000		12/21/2032	Semi-Annually		—			9,948			9,948
6 Month AUD BBSW	4.57%	AUD	1,900,000		12/21/2032	Semi-Annually		—			44,015			44,015
6 Month AUD BBSW	4.73%	AUD	3,700,000		12/21/2032	Semi-Annually		—			118,469			118,469
4.48%	6 Month AUD BBSW	AUD	2,500,000		12/21/2032	Semi-Annually		—			(44,732	)		(44,732	)
3.71%	3 Month CAD CDOR	CAD	6,623,000		12/21/2032	Semi-Annually		(3,007	)		(98,302	)		(95,295	)
3.66%	3 Month CAD CDOR	CAD	900,000		12/21/2032	Semi-Annually		—			(10,576	)		(10,576	)
3.55%	3 Month CAD CDOR	CAD	2,600,000		12/21/2032	Semi-Annually		—			(12,800	)		(12,800	)
3.57%	3 Month CAD CDOR	CAD	1,300,000		12/21/2032	Semi-Annually		—			(7,733	)		(7,733	)
3.65%	3 Month CAD CDOR	CAD	2,500,000		12/21/2032	Semi-Annually		—			(28,117	)		(28,117	)
3.68%	3 Month CAD CDOR	CAD	1,700,000		12/21/2032	Semi-Annually		—			(22,659	)		(22,659	)
3 Month CAD CDOR	3.41%	CAD	1,300,000		12/21/2032	Semi-Annually		—			(4,855	)		(4,855	)
3 Month CAD CDOR	3.57%	CAD	1,500,000		12/21/2032	Semi-Annually		—			8,969			8,969
3 Month CAD CDOR	3.59%	CAD	400,000		12/21/2032	Semi-Annually		—			2,972			2,972
3 Month CAD CDOR	3.63%	CAD	1,300,000		12/21/2032	Semi-Annually		—			12,899			12,899
3 Month CAD CDOR	3.71%	CAD	3,686,000		12/21/2032	Semi-Annually		3,007			54,712			51,705
3 Month CAD CDOR	3.79%	CAD	2,400,000		12/21/2032	Semi-Annually		—			47,582			47,582
3 Month CAD CDOR	3.84%	CAD	2,700,000		12/21/2032	Semi-Annually		—			63,238			63,238
3 Month CAD CDOR	3.97%	CAD	1,300,000		12/21/2032	Semi-Annually		—			41,109			41,109
3 Month CAD CDOR	4.04%	CAD	2,400,000		12/21/2032	Semi-Annually		—			85,960			85,960
CHF - SARON - OIS - COMPOUND	1.85%	CHF	600,000		12/21/2032	Semi-Annually		(2,802	)		11,885			14,687
CHF - SARON - OIS - COMPOUND	1.86%	CHF	7,040,000		12/21/2032	Semi-Annually		—			148,130			148,130
CHF - SARON - OIS - COMPOUND	1.93%	CHF	1,300,000		12/21/2032	Semi-Annually		—			36,076			36,076
CHF - SARON - OIS - COMPOUND	2.05%	CHF	3,966,000		12/21/2032	Semi-Annually		2,493			156,624			154,131
CHF - SARON - OIS - COMPOUND	2.18%	CHF	800,000		12/21/2032	Semi-Annually		3,413			41,460			38,047
CHF - SARON - OIS - COMPOUND	2.20%	CHF	1,700,000		12/21/2032	Semi-Annually		(1,469	)		92,296			93,765
CHF - SARON - OIS - COMPOUND	2.27%	CHF	1,100,000		12/21/2032	Semi-Annually		—			67,589			67,589
2.01%	CHF - SARON - OIS - COMPOUND	CHF	1,300,000		12/21/2032	Semi-Annually		—			(45,567	)		(45,567	)
2.19%	CHF - SARON - OIS - COMPOUND	CHF	1,600,000		12/21/2032	Semi-Annually		2,738			(85,398	)		(88,136	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (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) ($)
2.24%	CHF - SARON - OIS - COMPOUND	CHF	1,000,000		12/21/2032	Semi-Annually		—			(57,992	)		(57,992	)
2.18%	CHF - SARON - OIS - COMPOUND	CHF	900,000		12/21/2032	Semi-Annually		(4,402	)		(47,255	)		(42,853	)
2.11%	CHF - SARON - OIS - COMPOUND	CHF	1,200,000		12/21/2032	Semi-Annually		—			(53,902	)		(53,902	)
1.98%	CHF - SARON - OIS - COMPOUND	CHF	1,300,000		12/21/2032	Semi-Annually		—			(42,040	)		(42,040	)
1.85%	CHF - SARON - OIS - COMPOUND	CHF	1,300,000		12/21/2032	Semi-Annually		7,927			(25,558	)		(33,485	)
EUR - EuroSTR - COMPOUND	2.21%	EUR	766,000		12/21/2032	Annually		465			(14,366	)		(14,831	)
EUR - EuroSTR - COMPOUND	2.48%	EUR	1,100,000		12/21/2032	Annually		—			7,119			7,119
EUR - EuroSTR - COMPOUND	2.89%	EUR	800,000		12/21/2032	Annually		—			35,134			35,134
EUR - EuroSTR - COMPOUND	2.94%	EUR	6,249,000		12/21/2032	Annually		2,207			302,211			300,004
EUR - EuroSTR - COMPOUND	3.12%	EUR	1,000,000		12/21/2032	Annually		—			65,164			65,164
2.82%	EUR - EuroSTR - COMPOUND	EUR	900,000		12/21/2032	Annually		—			(33,736	)		(33,736	)
2.80%	EUR - EuroSTR - COMPOUND	EUR	430,000		12/21/2032	Annually		—			(15,223	)		(15,223	)
2.80%	EUR - EuroSTR - COMPOUND	EUR	1,600,000		12/21/2032	Annually		—			(57,012	)		(57,012	)
2.41%	EUR - EuroSTR - COMPOUND	EUR	1,400,000		12/21/2032	Annually		—			(247	)		(247	)
2.75%	EUR - EuroSTR - COMPOUND	EUR	470,000		12/21/2032	Annually		—			(14,681	)		(14,681	)
2.69%	EUR - EuroSTR - COMPOUND	EUR	1,600,000		12/21/2032	Annually		—			(41,386	)		(41,386	)
2.70%	EUR - EuroSTR - COMPOUND	EUR	500,000		12/21/2032	Annually		—			(13,164	)		(13,164	)
2.55%	EUR - EuroSTR - COMPOUND	EUR	2,200,000		12/21/2032	Annually		—			(28,087	)		(28,087	)
2.63%	EUR - EuroSTR - COMPOUND	EUR	1,000,000		12/21/2032	Annually		—			(19,802	)		(19,802	)
GBP - SONIA - COMPOUND	3.30%	GBP	800,000		12/21/2032	Annually		—			(5,629	)		(5,629	)
GBP - SONIA - COMPOUND	3.52%	GBP	900,000		12/21/2032	Annually		—			12,599			12,599
GBP - SONIA - COMPOUND	4.12%	GBP	700,000		12/21/2032	Annually		—			51,780			51,780
GBP - SONIA - COMPOUND	4.33%	GBP	1,300,000		12/21/2032	Annually		—			123,832			123,832
GBP - SONIA - COMPOUND	4.65%	GBP	700,000		12/21/2032	Annually		—			88,749			88,749
3.19%	GBP - SONIA - COMPOUND	GBP	3,040,000		12/21/2032	Annually		20,326			55,706			35,380
3.96%	GBP - SONIA - COMPOUND	GBP	1,050,000		12/21/2032	Annually		—			(61,118	)		(61,118	)
3.93%	GBP - SONIA - COMPOUND	GBP	510,000		12/21/2032	Annually		—			(28,393	)		(28,393	)
3.90%	GBP - SONIA - COMPOUND	GBP	540,000		12/21/2032	Annually		—			(28,022	)		(28,022	)
3.79%	GBP - SONIA - COMPOUND	GBP	1,100,000		12/21/2032	Annually		—			(45,540	)		(45,540	)
3.76%	GBP - SONIA - COMPOUND	GBP	300,000		12/21/2032	Annually		—			(11,435	)		(11,435	)
4.28%	3 Month NZD Bank Bill Rate	NZD	4,610,000		12/21/2032	Quarterly		(30,611	)		26,098			56,709
4.82%	3 Month NZD Bank Bill Rate	NZD	2,400,000		12/21/2032	Quarterly		—			(51,440	)		(51,440	)
4.75%	3 Month NZD Bank Bill Rate	NZD	1,700,000		12/21/2032	Quarterly		—			(30,186	)		(30,186	)
3 Month NZD Bank Bill Rate	4.21%	NZD	2,300,000		12/21/2032	Quarterly		—			(22,155	)		(22,155	)
3 Month NZD Bank Bill Rate	4.45%	NZD	2,400,000		12/21/2032	Quarterly		—			6,705			6,705
3 Month NZD Bank Bill Rate	4.52%	NZD	2,300,000		12/21/2032	Quarterly		—			14,709			14,709
3 Month NZD Bank Bill Rate	4.76%	NZD	2,110,000		12/21/2032	Quarterly		—			39,071			39,071
3 Month NZD Bank Bill Rate	4.86%	NZD	1,990,000		12/21/2032	Quarterly		—			46,942			46,942
3 Month SEK STIBOR	2.69%	SEK	15,000,000		12/21/2032	Quarterly		—			(3,734	)		(3,734	)
3.28%	3 Month SEK STIBOR	SEK	12,000,000		12/21/2032	Quarterly		—			(55,497	)		(55,497	)
3.17%	3 Month SEK STIBOR	SEK	20,000,000		12/21/2032	Quarterly		—			(74,457	)		(74,457	)
3.16%	3 Month SEK STIBOR	SEK	11,000,000		12/21/2032	Quarterly		—			(40,041	)		(40,041	)
2.91%	3 Month SEK STIBOR	SEK	28,000,000		12/21/2032	Quarterly		—			(43,422	)		(43,422	)
2.87%	3 Month SEK STIBOR	SEK	26,956,000		12/21/2032	Quarterly		(3,631	)		(33,438	)		(29,807	)
2.98%	3 Month SEK STIBOR	SEK	14,000,000		12/21/2032	Quarterly		—			(30,399	)		(30,399	)
3.08%	3 Month SEK STIBOR	SEK	11,000,000		12/21/2032	Quarterly		—			(32,987	)		(32,987	)
3.10%	3 Month SEK STIBOR	SEK	19,000,000		12/21/2032	Quarterly		—			(60,122	)		(60,122	)
3 Month SEK STIBOR	3.19%	SEK	20,000,000		12/21/2032	Quarterly		—			77,767			77,767
USD - SOFR - COMPOUND	3.08%	USD	2,600,000		12/21/2032	Semi-Annually		—			(62,244	)		(62,244	)
USD - SOFR - COMPOUND	3.13%	USD	587,000		12/21/2032	Semi-Annually		(788	)		(11,936	)		(11,148	)
USD - SOFR - COMPOUND	3.22%	USD	1,100,000		12/21/2032	Semi-Annually		—			(13,509	)		(13,509	)
USD - SOFR - COMPOUND	3.48%	USD	800,000		12/21/2032	Semi-Annually		—			7,185			7,185
USD - SOFR - COMPOUND	3.68%	USD	2,500,000		12/21/2032	Semi-Annually		—			64,497			64,497
USD - SOFR - COMPOUND	3.69%	USD	1,100,000		12/21/2032	Semi-Annually		—			30,085			30,085
USD - SOFR - COMPOUND	3.81%	USD	2,900,000		12/21/2032	Semi-Annually		—			106,194			106,194

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (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) ($)
3.13%	USD - SOFR - COMPOUND	USD	6,401,000		12/21/2032	Semi-Annually		3,409			126,986			123,577
3.79%	USD - SOFR - COMPOUND	USD	800,000		12/21/2032	Semi-Annually		—			(28,054	)		(28,054	)
3.70%	USD - SOFR - COMPOUND	USD	1,100,000		12/21/2032	Semi-Annually		—			(30,501	)		(30,501	)
3.72%	USD - SOFR - COMPOUND	USD	1,200,000		12/21/2032	Semi-Annually		—			(35,840	)		(35,840	)
3.91%	USD - SOFR - COMPOUND	USD	700,000		12/21/2032	Semi-Annually		—			(32,062	)		(32,062	)
3.44%	USD - SOFR - COMPOUND	USD	1,100,000		12/21/2032	Semi-Annually		—			(6,743	)		(6,743	)
							$	(1,449	)	$	366,923		$	368,372

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MSCI		USD	5,000,000		03/20/2023		Quarterly		(187	)		123,542			123,729
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MSCI		USD	10,000,000		03/20/2023		Quarterly		(368	)		167,993			168,361
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Value Index	GS		USD	2,849,764		05/09/2023		Monthly		—			210,980			210,980
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS		USD	2,565,392		05/09/2023		Monthly		—			(203,248	)		(203,248	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS		USD	261,775		05/09/2023		Monthly		—			(20,740	)		(20,740	)
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	3,477,142		05/12/2023		Monthly		—			88,482			88,482
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA		USD	3,597,554		05/12/2023		Monthly		—			(30,375	)		(30,375	)
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	948,282		05/22/2023		Monthly		—			12,638			12,638
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.06%	UBSA		USD	789,297		05/22/2023		Monthly		—			(9,735	)		(9,735	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (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 0.01%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	428,805		08/09/2023		Monthly		—			31,746			31,746
Total Returnon MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.01%	UBSA		USD	235,597		08/09/2023		Monthly		—			(18,666	)		(18,666	)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.75%	GS		USD	1		05/24/2024		Monthly		—			(507	)		(507	)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate plus 1.00%	MORD		USD	1		05/24/2024		Monthly		—			(85	)		(85	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	2,538,483		06/18/2024		Monthly		—			(80,506	)		(80,506	)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.40%	GS		USD	1,096,794		06/24/2024		Monthly		—			(13,443	)		(13,443	)
										$	(555	)	$	258,076		$	258,631

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

(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, 2022.

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

(g) All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund.

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

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

(i) The following table represents the individual long and/or short positions within the custom equity basket swap as of November 30, 2022:

Shares			Description	% of Equity Basket			Value ($)
	(82,000	)	Air China Ltd – Class H		2.5	%		(66,000	)
	(181,500	)	Airports of Thailand Pcl NVDR		14.8	%		(387,625	)
	(92,000	)	Alibaba Health Information Technology Ltd		3.0	%		(77,662	)
	(222,000	)	China Molybdenum Co Ltd – Class H		4.0	%		(104,003	)
	(9,960	)	Ganfeng Lithium Co Ltd – Class H		3.4	%		(88,136	)
	(28,000	)	Genscript Biotech Corp		2.8	%		(72,523	)
	(174,500	)	Gulf Energy Development Pcl NVDR		10.1	%		(263,930	)
	(369	)	Hanmi Pharm Co Ltd		2.8	%		(73,777	)
	(3,653	)	Hotel Shilla Co Ltd		7.8	%		(205,284	)
	(2,341	)	Kakao Corp		3.9	%		(102,715	)
	(124,000	)	Kingdee International Software Group Co Ltd		8.0	%		(209,252	)
	(12,100	)	Klabin SA		1.7	%		(45,934	)
	(6,360	)	Korea Aerospace Industries Ltd		9.0	%		(236,194	)
	(494	)	Samsung Biologics Co Ltd		12.8	%		(335,988	)
	(40,355	)	Samsung Heavy Industries Co Ltd		6.2	%		(161,450	)
	(406	)	Yuhan Corp		0.7	%		(18,148	)
	(130,000	)	Zijin Mining Group Co Ltd – Class H		6.5	%		(172,544	)
			TOTAL COMMON STOCKS				$	(2,621,165	)

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CDOR - Canadian Dollar Offering Rate

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

EuroSTR - Euro Short-Term Rate

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

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

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

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

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

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 - Brazil Real

CAD - Canada Dollar

CHF - Switzerland Franc

CLP - Chile Peso

COP - Colombia Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - United Kingdom Pound

HUF - Hungary Forint

IDR - Indonesia Rupiah

ILS - Israel Shekel

INR - Indian Rupee

JPY - Japan Yen

KRW - Korean Won

MXN - Mexico Peso

NOK - Norway Krone

NZD - New Zealand Dollar

PEN - Peru Nuevo Sol

PHP - Philippines Peso

PLN - Poland Zloty

RON - Romania New Leu

SEK - Sweden Krona

SGD - Singapore Dollar

THB - Thailand Baht

TWD - Taiwan New Dollar

USD - United States Dollar

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	7,645,231	GMO Emerging Country Debt Fund, Class VI		145,641,657
	6,146,389	GMO High Yield Fund, Class VI		109,897,440
	313,952,720	GMO Implementation Fund		3,867,897,510
	8,319,562	GMO Opportunistic Income Fund, Class VI		202,830,909
	4,423,466	GMO SGM Major Markets Fund, Class VI		120,981,792
		TOTAL MUTUAL FUNDS (COST $4,754,175,324)		4,447,249,308
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	3,074,108	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (a)		3,074,108
		TOTAL SHORT-TERM INVESTMENTS (COST $3,074,108)		3,074,108
		TOTAL INVESTMENTS — 100.0% (Cost $4,757,249,432)		4,450,323,416
		Other Assets and Liabilities (net) — (0.0%)		(2,092,538	)
		TOTAL NET ASSETS — 100.0%		$4,448,230,878

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 69.6%
		Argentina — 0.0%
	1,400	Banco BBVA Argentina SA ADR		4,522
		Australia — 1.4%
	13,589	Accent Group Ltd		16,774
	223,654	Aurizon Holdings Ltd (a)		581,294
	33,572	Austal Ltd		55,915
	425,997	Beach Energy Ltd		513,561
	1,639	BHP Group Ltd (a)		50,900
	200,238	BlueScope Steel Ltd		2,413,454
	196,144	Brambles Ltd (a)		1,622,473
	3,436	Brickworks Ltd		52,750
	14,775	Challenger Ltd (b)		73,913
	181,834	Fortescue Metals Group Ltd (a) (b)		2,420,150
	297,919	GPT Group (The) (REIT)		918,467
	123,483	GrainCorp Ltd – Class A		682,736
	236,656	Grange Resources Ltd		123,629
	125,751	Helia Group Ltd		232,443
	43,009	HomeCo Daily Needs (REIT)		39,159
	18,596	Incitec Pivot Ltd		50,923
	30,943	JB Hi-Fi Ltd (a) (b)		951,632
	5,884	McMillan Shakespeare Ltd		59,220
	158,806	Metcash Ltd (b)		454,127
	659,912	Mirvac Group (REIT)		1,012,647
	4,524	Monadelphous Group Ltd		42,528
	3,311	National Australia Bank Ltd (a)		71,266
	18,241	NRW Holdings Ltd		34,187
	63,758	Nufarm Ltd (b)		263,832
	1,846	Premier Investments Ltd		32,264
	40,325	Rio Tinto Ltd (a)		3,010,448
	403,428	Scentre Group (REIT) (a)		822,867
	24,597	Sims Ltd		219,763
	24,820	Southern Cross Media Group Ltd (b)		17,791
	341,622	Stockland (REIT) (a)		891,932
	8,432	Super Retail Group Ltd		63,870
	135,821	Viva Energy Group Ltd		255,216
		Total Australia		18,052,131
		Austria — 0.0%
	1,459	Strabag SE		60,853
	1,513	Vienna Insurance Group AG Wiener Versicherung Gruppe		35,458
		Total Austria		96,311
		Belgium — 0.4%
	1,112	Ackermans & van Haaren NV		176,748
	50,092	Ageas SA/NV		2,028,318
	11,800	Bekaert SA		421,364
	1,235	Cie d’Entreprises CFE *		12,160
	331	Deme Group NV *		41,156
	12,643	Econocom Group SA (a)		37,430

Shares		Description	Value ($)
		Belgium — continued
	963	Orange Belgium SA *		17,168
	6,690	Proximus SADP		69,983
	3,825	Sofina SA		832,600
	2,378	Solvay SA (a)		235,885
	1,347	Telenet Group Holding NV		21,504
	20,592	UCB SA		1,662,115
		Total Belgium		5,556,431
		Brazil — 0.9%
	92,100	Banco do Brasil SA		626,145
	9,000	BB Seguridade Participacoes SA		54,319
	3,300	Cia Paranaense de Energia		25,322
	7,700	Companhia Energetica de Minas Gerais		26,812
	11,000	CPFL Energia SA		73,978
	13,500	EDP – Energias do Brasil SA		55,203
	64,127	Enauta Participacoes SA		165,590
	41,800	Itau Unibanco Holding SA		181,398
	56,000	JBS SA		237,949
	66,810	Localiza Rent a Car SA		773,754
	204	Localiza Rent a Car SA GDR * (c)		2,363
	299,300	Marfrig Global Foods SA		504,663
	243,700	Petroleo Brasileiro SA Sponsored ADR		2,848,853
	47,300	Ser Educacional SA *		50,314
	66,200	Telefonica Brasil SA		485,400
	65,300	Telefonica Brasil SA ADR		477,343
	836,500	TIM SA		2,095,542
	15,500	TIM SA ADR		193,130
	43,700	Transmissora Alianca de Energia Eletrica SA		290,865
	13,452	Vale SA		222,180
	93,500	Vale SA Sponsored ADR – Class B (a)		1,542,750
	267,140	Vibra Energia SA		850,940
		Total Brazil		11,784,813
		Canada — 2.5%
	26,100	Alimentation Couche-Tard Inc (a)		1,189,018
	4,100	Atco Ltd – Class I (a)		131,277
	5,100	Bank of Montreal (a)		498,114
	1,800	Bank of Nova Scotia (The) (a)		93,960
	17,500	Birchcliff Energy Ltd (b)		139,724
	63,400	BlackBerry Ltd * (a)		308,758
	57,048	Brookfield Asset Management Inc – Class A (a)		2,689,813
	6,700	Canaccord Genuity Group Inc		39,000
	15,600	Canadian Apartment Properties (REIT) (a)		506,799
	1,700	Canadian National Railway Co (a)		218,331
	14,400	Canadian Tire Corp Ltd – Class A (a)		1,630,819
	25,000	Canfor Corp *		442,887
	46,900	Celestica Inc * (b) (d)		523,339
	16,200	Celestica Inc * (d)		180,792
	12,300	Cenovus Energy Inc (d)		244,647
	7,100	Cenovus Energy Inc (d)		141,192
	4,003	Cogeco Inc (b)		178,553

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	2,900	DREAM UnLtd Corp – Class A (b)		62,305
	4,400	Element Fleet Management Corp		62,345
	3,600	Enerplus Corp		66,888
	400	Fairfax Financial Holdings Ltd (a)		229,500
	14,600	Finning International Inc		369,789
	1,900	Hardwoods Distribution Inc		36,753
	11,300	Hydro One Ltd (a)		316,029
	5,900	iA Financial Corp Inc		332,863
	21,200	Imperial Oil Ltd (d)		1,209,460
	2,700	Imperial Oil Ltd (b) (d)		153,612
	44,100	Interfor Corp * (b)		826,168
	13,128	International Petroleum Corp *		152,548
	4,700	Loblaw Cos Ltd (a)		424,176
	30,100	Magna International Inc		1,853,461
	71,400	Manulife Financial Corp (a) (d)		1,287,342
	60,400	Manulife Financial Corp (a) (d)		1,087,977
	15,900	Mullen Group Ltd (a)		180,968
	3,300	National Bank of Canada (b)		235,341
	35,389	Nutrien Ltd (a)		2,845,276
	16,800	Onex Corp		885,367
	12,600	Parex Resources Inc (b)		180,408
	6,900	Power Corp of Canada (a)		173,584
	17,300	PrairieSky Royalty Ltd (b)		283,714
	49,400	Quebecor Inc – Class B (a)		1,064,644
	4,600	Rogers Sugar Inc		20,826
	14,600	Russel Metals Inc (b)		314,218
	7,300	Sleep Country Canada Holdings Inc		125,362
	1,600	Spin Master Corp		40,810
	4,600	Suncor Energy Inc (d)		151,253
	1,000	Suncor Energy Inc (d)		32,870
	107,000	Teck Resources Ltd – Class B* (d)		3,966,115
	62,800	Teck Resources Ltd – Class B (d)		2,329,252
	15,600	Uni-Select Inc *		528,021
	1,500	Wajax Corp		23,083
	22,600	West Fraser Timber Co Ltd (b) (d)		1,767,812
	4,900	West Fraser Timber Co Ltd (d)		384,013
		Total Canada		33,161,176
		Chile — 0.1%
	484,745	Banco de Chile		45,849
	1,433	CAP SA		10,519
	241,464	Cencosud SA		360,013
	37,376	Cencosud Shopping SA		47,761
	7,100	Cia Cervecerias Unidas SA Sponsored ADR		86,478
	1,696,576	Colbun SA		150,947
	337,799	Falabella SA		604,282
	28,643	Inversiones La Construccion SA		90,448
		Total Chile		1,396,297
		China — 3.9%
	116,000	361 Degrees International Ltd *		50,749
	454,500	3SBio Inc		482,139

Shares		Description	Value ($)
		China — continued
	7,698,000	Agricultural Bank of China Ltd – Class H		2,573,255
	215,169	Alibaba Group Holding Ltd *		2,341,717
	116,000	Anhui Conch Cement Co Ltd – Class H		422,511
	838,000	BAIC Motor Corp Ltd – Class H		231,478
	5,530,000	Bank of China Ltd – Class H		1,959,825
	2,189,091	Bank of Communications Co Ltd – Class H		1,240,342
	118,000	Beijing Enterprises Holdings Ltd		375,290
	234,000	China BlueChemical Ltd – Class H		54,406
	2,998,000	China Cinda Asset Management Co Ltd – Class H		394,407
	446,000	China Communications Services Corp Ltd – Class H		153,750
	142,500	China Conch Venture Holdings Ltd		326,104
	4,405,000	China Construction Bank Corp – Class H		2,665,906
	683,000	China Dongxiang Group Co Ltd		28,332
	1,894,000	China Energy Engineering Corp Ltd – Class H (b)		232,833
	1,059,000	China Everbright Environment Group Ltd		489,996
	1,058,000	China Greenfresh Group Co Ltd (e)		—
	1,348,500	China Hongqiao Group Ltd		1,274,419
	280,000	China Lesso Group Holdings Ltd		343,267
	52,000	China Lilang Ltd		24,604
	274,645	China Medical System Holdings Ltd		402,256
	34,780	China Merchants Port Holdings Co Ltd		50,766
	98,000	China National Building Material Co Ltd – Class H		87,381
	462,000	China Overseas Grand Oceans Group Ltd		214,116
	1,161,500	China Overseas Land & Investment Ltd		3,173,828
	7,248,000	China Petroleum & Chemical Corp – Class H		3,421,737
	2,421,042	China Railway Group Ltd – Class H		1,366,554
	693,000	China Reinsurance Group Corp – Class H		44,244
	1,097,000	China Resources Pharmaceutical Group Ltd		903,665
	56,000	China Shineway Pharmaceutical Group Ltd		50,827
	336,000	China South City Holdings Ltd * (b)		24,706
	552,000	China State Construction International Holdings Ltd		666,558
	1,420,000	China Traditional Chinese Medicine Holdings Co Ltd		711,963
	1,776,400	China Zhongwang Holdings Ltd * (c)		382,073
	1,874,000	CITIC Ltd		1,921,165
	2,504,000	CSPC Pharmaceutical Group Ltd		3,225,945
	1,060,000	Dongfeng Motor Group Co Ltd – Class H		597,159
	98,000	Far East Horizon Ltd		74,576
	92,500	Fosun International Ltd		70,713
	130,000	Fufeng Group Ltd		82,821
	52,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		139,612
	284,600	Haier Smart Home Co Ltd – Class H		947,193
	71,500	Hengan International Group Co Ltd		329,575
	67,000	Hisense Home Appliances Group Co Ltd – Class H		69,759
	198,750	Kingboard Holdings Ltd		657,951
	120,200	Legend Holdings Corp – Class H		123,448
	2,628,000	Lenovo Group Ltd		2,244,432

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		China — continued
	38,481	Livzon Pharmaceutical Group Inc – Class H		134,846
	249,000	Lonking Holdings Ltd		44,516
	610,000	Metallurgical Corp of China Ltd – Class H		137,445
	52,000	MMG Ltd *		13,685
	23,500	NetDragon Websoft Holdings Ltd		46,815
	511,000	Nexteer Automotive Group Ltd (b)		339,918
	46,000	People’s Insurance Co Group of China Ltd – Class H		15,524
	5,628,000	PetroChina Co Ltd – Class H		2,560,919
	2,190,000	PICC Property & Casualty Co Ltd – Class H		2,218,705
	245,000	Poly Property Group Co Ltd		61,140
	12,000	Road King Infrastructure Ltd		4,996
	328,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		548,438
	1,294,500	Shimao Group Holdings Ltd * (c)		732,522
	242,000	Shougang Fushan Resources Group Ltd		82,056
	616,000	Sino-Ocean Group Holding Ltd		78,524
	276,500	Sinopec Engineering Group Co Ltd – Class H		113,699
	424,000	Sinopharm Group Co Ltd – Class H		1,005,902
	324,000	Sinotruk Hong Kong Ltd		425,270
	588,000	Skyworth Group Ltd		224,611
	58,000	SSY Group Ltd		29,098
	1,768,000	Sunac China Holdings Ltd * (b) (c)		1,036,678
	339,000	TCL Electronics Holdings Ltd *		139,495
	47,420	Tencent Holdings Ltd		1,793,249
	100,000	Tianjin Port Development Holdings Ltd		7,041
	250,000	Tianneng Power International Ltd (b)		270,021
	21,800	Vipshop Holdings Ltd ADR *		243,070
	312,000	Yadea Group Holdings Ltd		591,924
	84,000	Zhongsheng Group Holdings Ltd		433,340
		Total China		50,983,800
		Colombia — 0.0%
	49,335	Ecopetrol SA		23,400
	1,535	Ecopetrol SA Sponsored ADR		15,151
		Total Colombia		38,551
		Czech Republic — 0.0%
	62,965	Moneta Money Bank AS		193,677
	212	Philip Morris CR AS		153,747
		Total Czech Republic		347,424
		Denmark — 0.5%
	372	AP Moller – Maersk A/S – Class A (a)		789,780
	320	AP Moller – Maersk A/S – Class B (a)		693,746
	121,878	Danske Bank A/S		2,194,790
	12,221	GN Store Nord A/S (a)		295,252
	3,288	Matas A/S		32,800
	25,474	Pandora A/S		1,939,355
	633	Rockwool A/S – B Shares		138,998
	5,669	Scandinavian Tobacco Group A/S		100,701
		Total Denmark		6,185,422

Shares		Description	Value ($)
		Egypt — 0.0%
	93,413	Commercial International Bank Egypt SAE		153,100
	249,818	Eastern Co SAE		131,274
	24,934	Misr Fertilizers Production Co SAE		135,511
		Total Egypt		419,885
		Finland — 0.5%
	24,014	Metsa Board Oyj – Class B		213,663
	43,552	Neste Oyj		2,248,004
	588,682	Nokia Oyj (a)		2,900,381
	109,983	Outokumpu Oyj		554,783
	48,565	Stora Enso Oyj – R Shares (a)		714,447
	16,983	UPM-Kymmene Oyj (a)		623,469
		Total Finland		7,254,747
		France — 2.7%
	20,633	ALD SA (a)		207,655
	2,515	APERAM SA		79,838
	67,932	ArcelorMittal SA		1,862,635
	12,043	Arkema SA		1,070,763
	470	Axway Software SA		7,881
	28,265	BNP Paribas SA		1,588,267
	651	Boiron SA		30,699
	60,641	Cie de Saint-Gobain		2,796,250
	48,595	Coface SA		594,877
	36,534	Derichebourg SA		197,642
	691	Eiffage SA		68,039
	2,156	Eramet SA		184,496
	389	HEXAOM		7,320
	15,202	Ipsen SA		1,699,359
	11,848	IPSOS		677,788
	3,429	Kering SA (a)		2,060,270
	4,483	LVMH Moet Hennessy Louis Vuitton SE (a)		3,478,936
	948	Mersen SA		36,517
	14,915	Metropole Television SA		214,452
	44,356	Publicis Groupe SA (a)		2,919,353
	10,895	Quadient SA		166,228
	3,372	Rexel SA *		61,965
	1,465	Rothschild & Co		57,445
	29,696	Safran SA (a)		3,670,001
	27,271	Sanofi (a)		2,463,370
	5,618	SES SA, ADR – Class A		38,518
	3,971	SMCP SA *		28,386
	5,441	Societe BIC SA		359,449
	143,070	Societe Generale SA		3,600,932
	48,900	STMicroelectronics NV		1,901,232
	577	Synergie SE		18,471
	5,430	Technip Energies NV		85,998
	58,030	Television Francaise 1		438,609
	56,823	TotalEnergies SE (a)		3,551,442
		Total France		36,225,083

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Germany — 1.1%
	3,415	1&1 AG		49,084
	188	Amadeus Fire AG		22,354
	4,009	Aurubis AG		321,850
	19,052	Bayer AG (Registered) (a)		1,105,719
	19,520	Bayerische Motoren Werke AG (a)		1,772,389
	19,770	Beiersdorf AG (a)		2,150,053
	23,946	Commerzbank AG *		200,574
	425	Deutsche Boerse AG		78,104
	13,626	Deutsche Pfandbriefbank AG		108,221
	11,405	Deutsche Telekom AG (a)		232,009
	307	Draegerwerk AG & Co KGaA (a)		12,330
	1,126	Elmos Semiconductor SE		70,291
	22,053	Fresenius SE & Co KGaA (a)		614,458
	2,270	Hamburger Hafen und Logistik AG (a)		27,535
	25,033	HeidelbergCement AG (a)		1,372,527
	798	Henkel AG & Co KGaA (a)		53,090
	3,550	Hornbach Holding AG & Co KGaA		281,589
	70,272	Kloeckner & Co SE		666,899
	28,496	Mercedes-Benz Group AG (a)		1,936,109
	11,548	Merck KGaA (a)		2,115,767
	15,641	ProSiebenSat.1 Media SE		142,122
	2,233	RTL Group SA		92,751
	22,524	Salzgitter AG		660,524
	3,131	Siltronic AG		259,841
	2,910	Takkt AG		40,594
	2,997	Volkswagen AG (a)		578,564
		Total Germany		14,965,348
		Greece — 0.0%
	12,055	FF Group * (e)		—
	635	Hellenic Telecommunications Organization SA		9,823
	14,501	JUMBO SA		231,596
	12,631	Mytilineos SA		238,333
		Total Greece		479,752
		Hong Kong — 0.7%
	113,400	ASMPT Ltd		844,206
	45,400	Bank of East Asia Ltd (The)		52,360
	86,000	BOC Hong Kong Holdings Ltd		274,511
	71,400	Champion (REIT)		24,763
	32,000	Chow Sang Sang Holdings International Ltd		37,172
	284,000	CITIC Telecom International Holdings Ltd		93,732
	88,000	CK Asset Holdings Ltd (a)		526,723
	48,500	CK Hutchison Holdings Ltd (a)		281,941
	550,000	CSI Properties Ltd		9,912
	99,700	Dah Sing Banking Group Ltd		69,517
	30,800	Dah Sing Financial Holdings Ltd		68,802
	392,000	First Pacific Co Ltd		123,018
	254,573	Galaxy Entertainment Group Ltd		1,547,666
	104,000	Giordano International Ltd		19,106
	23,000	Health & Happiness H&H International Holdings Ltd		27,989

Shares		Description	Value ($)
		Hong Kong — continued
	287,000	HKT Trust & HKT Ltd – Class SS		349,945
	298,000	IGG Inc *		105,382
	96,000	Johnson Electric Holdings Ltd		120,381
	103,000	K Wah International Holdings Ltd		32,423
	29,500	Kerry Logistics Network Ltd		51,971
	93,500	Kerry Properties Ltd		178,744
	41,800	Luk Fook Holdings International Ltd		101,338
	64,000	NWS Holdings Ltd		52,770
	172,000	Pacific Textiles Holdings Ltd		56,670
	331,000	PCCW Ltd		144,737
	126,000	Power Assets Holdings Ltd (a)		649,988
	250,000	Shun Tak Holdings Ltd *		40,303
	38,000	Sino Land Co Ltd (a)		47,527
	240,000	SITC International Holdings Co Ltd		532,405
	55,500	SmarTone Telecommunications Holdings Ltd		28,176
	93,000	Sun Hung Kai & Co Ltd		33,941
	64,500	Swire Pacific Ltd – Class A (a)		506,931
	56,500	Texhong Textile Group Ltd		46,733
	46,000	Texwinca Holdings Ltd		7,699
	230,000	VSTECS Holdings Ltd		124,843
	39,500	VTech Holdings Ltd		251,916
	1,839,000	WH Group Ltd		1,077,500
	71,000	Yue Yuen Industrial Holdings Ltd		89,547
		Total Hong Kong		8,633,288
		Hungary — 0.2%
	40,419	MOL Hungarian Oil & Gas Plc		292,609
	65,012	OTP Bank Nyrt		1,792,495
	5,739	Richter Gedeon Nyrt		123,460
		Total Hungary		2,208,564
		India — 2.7%
	392	ACC Ltd		12,323
	42,762	Arvind Ltd *		50,542
	19,526	Asian Paints Ltd		764,134
	33,918	Aurobindo Pharma Ltd		196,753
	60,206	Axis Bank Ltd		667,963
	4,001	Bajaj Consumer Care Ltd		8,144
	14,411	Bandhan Bank Ltd *		42,340
	68,024	Bharat Electronics Ltd		88,513
	141,815	Brightcom Group Ltd		63,773
	17,362	Cipla Ltd		244,957
	2,326	Clean Science & Technology Ltd		43,139
	723,003	Coal India Ltd		2,042,280
	17,049	Cochin Shipyard Ltd		140,397
	811	Colgate-Palmolive India Ltd		16,255
	12,689	Coromandel International Ltd		145,391
	684	Cummins India Ltd		11,918
	1,380	Deepak Fertilisers & Petrochemicals Corp Ltd		13,802
	23,833	Dhampur Bio Organics Ltd *		58,824
	61,328	Exide Industries Ltd		142,997
	1,510,796	GAIL India Ltd		1,770,131

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		India — continued
	1,879	GHCL Ltd		13,427
	37,406	Glenmark Pharmaceuticals Ltd		198,391
	1,958	Great Eastern Shipping Co Ltd (The)		16,101
	6,496	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		48,174
	163,404	Gujarat State Fertilizers & Chemicals Ltd		266,716
	11,427	HCL Technologies Ltd		158,783
	26,184	HDFC Bank Ltd		520,422
	6,338	Hero MotoCorp Ltd		222,801
	260,995	Hindalco Industries Ltd		1,461,440
	10,605	Hindustan Aeronautics Ltd		361,769
	159,926	Hindustan Petroleum Corp Ltd		472,567
	3,865	Hindustan Unilever Ltd		127,719
	17,007	Hindustan Zinc Ltd		64,520
	18,492	Housing Development Finance Corp Ltd		615,005
	96,682	ICICI Bank Ltd		1,132,310
	187,350	Indian Oil Corp Ltd		177,741
	38,157	Indus Towers Ltd		94,138
	25,115	Infosys Ltd		511,750
	34,300	Infosys Ltd Sponsored ADR (a)		698,005
	1,002,190	ITC Ltd		4,202,006
	137,849	Karnataka Bank Ltd (The)		244,936
	12,649	Larsen + Toubro Infotech Ltd (c)		760,865
	379	Mahanagar Gas Ltd		4,220
	43,619	Mahindra & Mahindra Ltd		702,957
	14,132	Manappuram Finance Ltd		20,113
	3,128	Maruti Suzuki India Ltd		346,475
	2,895	Muthoot Finance Ltd		38,671
	280,421	National Aluminium Co Ltd		268,191
	3,564	NCC Ltd		3,643
	532,175	NMDC Ltd		777,329
	457,826	NMDC Steel Ltd (c)		216,443
	380,863	NTPC Ltd		807,455
	2,706,758	Oil & Natural Gas Corp Ltd		4,737,632
	14,471	Oil India Ltd		36,743
	278	Oracle Financial Services Software Ltd		10,686
	142	Page Industries Ltd		83,124
	81,585	Petronet LNG Ltd		214,030
	508	PI Industries Ltd		21,926
	3,294	Piramal Enterprises Ltd		33,512
	348,262	Power Finance Corp Ltd		584,484
	167,093	Power Grid Corp of India Ltd		459,999
	15,658	Rajesh Exports Ltd		148,544
	477,379	REC Ltd		650,478
	96,254	Redington Ltd		214,795
	6,214	Reliance Industries Ltd		209,154
	2,569	Shriram Transport Finance Co Ltd		42,983
	191,881	Sun Pharmaceutical Industries Ltd		2,491,235
	15,527	Sun TV Network Ltd		94,446
	4,326	Tata Chemicals Ltd		55,335
	1	Tata Consultancy Services Ltd		42
	1,416,462	Tata Steel Ltd		1,894,244

Shares		Description	Value ($)
		India — continued
	24,037	Titan Co Ltd		790,143
	35,130	Vardhman Textiles Ltd *		150,274
		Total India		35,003,468
		Indonesia — 0.5%
	2,917,200	Adaro Energy Indonesia Tbk PT		721,924
	251,400	Adaro Minerals Indonesia Tbk PT *		26,049
	531,900	Astra International Tbk PT		205,792
	3,687,800	Bank Central Asia Tbk PT		2,190,843
	987,596	Bank Mandiri Persero Tbk PT		666,194
	168,300	Bank Negara Indonesia Persero Tbk PT		106,616
	2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		120,245
	3,593,100	Bank Rakyat Indonesia Persero Tbk PT		1,143,011
	259,500	Bank Tabungan Negara Persero Tbk PT		25,421
	1,043,300	Bukit Asam Tbk PT		253,136
	1,134,100	Global Mediacom Tbk PT *		21,147
	6,300	Gudang Garam Tbk PT		7,989
	92,600	Indo Tambangraya Megah Tbk PT		246,631
	572,600	Indofood Sukses Makmur Tbk PT		235,126
	2,681,400	Kalbe Farma Tbk PT		353,943
	2,116,700	Media Nusantara Citra Tbk PT *		107,400
	1,576,700	Perusahaan Gas Negara Tbk PT		189,761
	92,800	Tower Bersama Infrastructure Tbk PT		13,686
	127,248	United Tractors Tbk PT		250,289
		Total Indonesia		6,885,203
		Ireland — 0.5%
	1,633	AIB Group Plc		5,303
	284,410	Bank of Ireland Group Plc		2,358,339
	17,104	Glanbia Plc		206,277
	4,004	Kingspan Group Plc (b)		227,291
	15,644	Origin Enterprises Plc		63,895
	9,611	Permanent TSB Group Holdings Plc *		17,761
	96,472	Ryanair Holdings Plc *		1,302,253
	14,919	Ryanair Holdings Plc Sponsored ADR * (a)		1,129,219
	30,251	Smurfit Kappa Group Plc (d)		1,098,971
	3,738	Smurfit Kappa Group Plc (d)		135,092
		Total Ireland		6,544,401
		Israel — 0.3%
	7,984	Bank Hapoalim BM		77,626
	18,026	Bank Leumi Le-Israel BM		165,244
	220,793	Oil Refineries Ltd		82,072
	210,700	Teva Pharmaceutical Industries Ltd Sponsored ADR *		1,847,839
	63,000	ZIM Integrated Shipping Services Ltd		1,324,260
		Total Israel		3,497,041
		Italy — 0.6%
	4,940	ACEA SPA (a)		67,906
	13,898	Anima Holding SPA		53,189

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	21,679	Banca IFIS SPA		298,769
	22,824	Banco BPM SPA		79,100
	76,892	CIR SpA-Compagnie Industriali *		34,584
	22,116	Credito Emiliano SPA		156,735
	900	Eni SPA – Sponsored ADR		26,649
	9,620	Esprinet SPA		71,117
	124,389	Italgas SPA (a)		732,037
	7,750	Iveco Group NV *		52,339
	196,366	Leonardo SPA		1,575,496
	72,418	MFE-MediaForEurope NV – Class A		30,469
	8,774	Snam SPA (a)		44,789
	120,687	Stellantis NV (a) (d)		1,903,893
	8,200	Stellantis NV (a) (d)		128,084
	5,265,030	Telecom Italia SPA * (b)		1,148,678
	27,701	Terna – Rete Elettrica Nazionale (a)		212,188
	2,778	Unieuro SPA (b)		37,700
	215,934	Unipol Gruppo SPA		1,104,572
		Total Italy		7,758,294
		Japan — 13.6%
	6,200	ADEKA Corp		102,771
	1,600	Advantest Corp (a)		108,900
	185,700	Aeon Mall Co Ltd		2,242,678
	23,000	AGC Inc		776,735
	6,100	Aichi Corp		35,659
	17,500	Aisin Corp		482,295
	101,400	Amano Corp		1,840,733
	9,000	AOKI Holdings Inc		45,144
	43,300	Arcs Co Ltd		662,155
	216,800	Asahi Kasei Corp (a)		1,611,329
	4,300	Bandai Namco Holdings Inc (a)		284,920
	3,600	Bando Chemical Industries Ltd		26,353
	64,900	Brother Industries Ltd		1,054,052
	111,300	Canon Inc (a) (b)		2,601,604
	8,100	Canon Marketing Japan Inc		184,289
	4,200	Central Glass Co Ltd		106,971
	1,600	Chiyoda Integre Co Ltd		28,072
	106,000	Chugoku Marine Paints Ltd		800,067
	70,300	Citizen Watch Co Ltd		308,705
	3,900	CONEXIO Corp		34,051
	105,800	Credit Saison Co Ltd		1,356,448
	38,600	Dai Nippon Printing Co Ltd		799,469
	5,400	Dai Nippon Toryo Co Ltd		30,216
	3,400	Daicel Corp		24,800
	1,500	Dai-Dan Co Ltd		24,065
	1,400	Daiichi Jitsugyo Co Ltd		43,186
	24,300	Daiwa House Industry Co Ltd (a)		559,605
	209,300	Daiwabo Holdings Co Ltd		3,339,247
	96,800	Denka Co Ltd		2,343,747
	13,900	Dentsu Group Inc (a)		450,119
	3,700	DTS Corp (a)		89,279
	2,400	Ehime Bank Ltd (The)		15,463

Shares		Description	Value ($)
		Japan — continued
	500	Eizo Corp		13,148
	6,200	Exedy Corp		75,422
	167,400	EXEO Group Inc		2,598,409
	71,900	Ezaki Glico Co Ltd		1,876,119
	132,000	Fuji Corp		2,013,970
	17,900	Fuji Electric Co Ltd		741,688
	28,100	FUJIFILM Holdings Corp (a)		1,511,560
	12,000	Fukuoka Financial Group Inc		235,114
	2,400	Furuno Electric Co Ltd		17,898
	2,100	G-7 Holdings Inc		23,461
	99,000	H.U. Group Holdings Inc (a)		2,007,932
	6,900	Hanwa Co Ltd		181,112
	234,300	Haseko Corp		2,590,762
	2,500	Heiwado Co Ltd		36,983
	52,100	Hogy Medical Co Ltd (a)		1,325,799
	158,700	Honda Motor Co Ltd (a)		3,867,773
	7,400	Honda Motor Co Ltd Sponsored ADR (a)		181,300
	16,300	Hosiden Corp		194,201
	30,300	Idemitsu Kosan Co Ltd		711,554
	12,300	Inabata & Co Ltd		212,989
	341,100	Inpex Corp		3,758,795
	152,300	ITOCHU Corp (a)		4,783,298
	5,100	Itochu Enex Co Ltd		37,859
	600	Itochu-Shokuhin Co Ltd		22,646
	24,000	Itoham Yonekyu Holdings Inc		119,638
	8,000	Itoki Corp		31,381
	5,800	Jaccs Co Ltd		165,599
	9,400	Japan Aviation Electronics Industry Ltd		162,320
	141,800	Japan Tobacco Inc (a)		2,901,140
	7,100	JVCKenwood Corp		19,249
	5,100	Kaga Electronics Co Ltd		164,541
	63,400	Kajima Corp		717,394
	3,500	Kamei Corp		30,764
	7,600	Kandenko Co Ltd		48,127
	3,400	Kaneka Corp		87,369
	106,300	Kanematsu Corp		1,187,027
	136,300	KDDI Corp (a)		4,054,185
	168,600	Kirin Holdings Co Ltd		2,661,451
	5,097	Kohnan Shoji Co Ltd		123,049
	2,200	Kokuyo Co Ltd		29,085
	14,401	Komeri Co Ltd		271,867
	61,000	Konoike Transport Co Ltd (a)		706,472
	183,500	K’s Holdings Corp		1,523,624
	700	Kureha Corp		50,067
	3,000	Kyokuto Kaihatsu Kogyo Co Ltd		29,926
	96,300	Kyudenko Corp		2,316,912
	10,000	Macnica Holdings Inc		253,454
	88,900	Macromill Inc		725,040
	800	Makino Milling Machine Co Ltd		27,050
	98,800	Mandom Corp		1,041,826
	165,900	Marubeni Corp (a)		1,876,723
	103,000	Maruichi Steel Tube Ltd		2,142,347

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,000	Maruzen Showa Unyu Co Ltd		23,545
	1,300	Matsuda Sangyo Co Ltd		21,995
	95,200	Maxell Ltd		983,886
	19,000	Mazda Motor Corp		151,058
	6,600	MCJ Co Ltd		46,312
	117,900	Mebuki Financial Group Inc		268,028
	1,300	Melco Holdings Inc		29,549
	32,900	Mirarth Holdings Inc		93,546
	72,000	Mitsubishi Corp (a)		2,424,900
	11,700	Mitsubishi Electric Corp (a)		117,255
	10,700	Mitsubishi HC Capital Inc		51,050
	133,300	Mitsubishi Motors Corp *		621,903
	2,200	Mitsubishi Research Institute Inc (a)		82,640
	2,200	Mitsubishi Shokuhin Co Ltd		52,084
	310,700	Mitsubishi UFJ Financial Group Inc (a)		1,694,415
	1,700	Mitsuboshi Belting Ltd		42,619
	32,700	Mitsui & Co Ltd (a)		949,076
	6,300	Mitsui DM Sugar Holdings Co Ltd		89,620
	85,900	Mitsui OSK Lines Ltd (a)		2,127,600
	3,500	Mitsui-Soko Holdings Co Ltd (a)		90,591
	66,900	Morinaga & Co Ltd		1,802,336
	63,900	MS&AD Insurance Group Holdings Inc (a)		1,896,634
	2,900	Nagase & Co Ltd		42,909
	74,000	NEC Corp (a)		2,634,441
	77,700	NGK Spark Plug Co Ltd		1,522,413
	90,300	NH Foods Ltd		2,431,244
	11,900	Nichias Corp		211,197
	4,400	Nichiha Corp		91,304
	5,200	Nichireki Co Ltd		49,153
	126,600	Nikon Corp		1,237,859
	4,100	Nippn Corp		47,349
	2,000	Nippon Densetsu Kogyo Co Ltd		24,848
	6,100	Nippon Soda Co Ltd		190,641
	2,300	Nippon Steel Trading Corp		85,719
	20,900	Nippon Suisan Kaisha Ltd		79,656
	145,900	Nippon Telegraph & Telephone Corp (a)		4,045,659
	34,800	Nippon Television Holdings Inc		269,059
	79,700	Nippon Yusen KK (a)		1,774,077
	7,600	Nisshinbo Holdings Inc		56,516
	1,500	Nissin Corp		22,329
	8,400	Nissin Electric Co Ltd		82,706
	2,800	Nitto Kogyo Corp		47,657
	11,600	Nojima Corp		118,372
	1,600	Nomura Real Estate Holdings Inc (a)		38,756
	1,600	Noritake Co Ltd		47,284
	225,800	Obayashi Corp		1,688,096
	19,400	ORIX Corp (a)		314,322
	2,500	Osaka Soda Co Ltd		75,598
	104,400	Pacific Industrial Co Ltd		827,392
	5,600	PAL GROUP Holdings Co Ltd		99,022
	403,000	Penta-Ocean Construction Co Ltd		1,907,180
	2,500	Prima Meat Packers Ltd		37,169

Shares		Description	Value ($)
		Japan — continued
	5,700	Proto Corp		52,564
	20,800	Renesas Electronics Corp * (a)		204,000
	500	Restar Holdings Corp		8,110
	27,900	Rohm Co Ltd (a)		2,239,569
	2,100	Roland DG Corp		47,765
	1,800	Ryobi Ltd		16,438
	15,600	San-A Co Ltd		495,063
	8,800	Sanki Engineering Co Ltd		102,485
	82,000	Sankyu Inc (a)		2,967,562
	3,100	Sanwa Holdings Corp		29,378
	40,600	Sawai Group Holdings Co Ltd		1,257,147
	40,100	Secom Co Ltd (a)		2,479,184
	10,400	Sega Sammy Holdings Inc		138,690
	73,600	Seiko Epson Corp		1,158,195
	4,800	Seiko Group Corp		111,524
	9,900	Sekisui Chemical Co Ltd		140,019
	142,800	Sekisui House Ltd (a)		2,673,740
	2,900	Sekisui Jushi Corp		38,350
	11,200	Shimamura Co Ltd (a)		1,016,828
	183,400	Shimizu Corp		988,806
	5,700	Shinmaywa Industries Ltd		42,203
	7,700	Shizuoka Gas Co Ltd (a)		62,018
	800	Sinanen Holdings Co Ltd		22,137
	3,600	Sinko Industries Ltd		40,709
	27,300	SKY Perfect JSAT Holdings Inc		101,319
	117,960	Sojitz Corp		2,102,151
	183,200	Stanley Electric Co Ltd		3,766,887
	5,700	Star Micronics Co Ltd		73,302
	50,700	Subaru Corp		868,382
	160,800	SUMCO Corp		2,405,811
	1,200	Sumitomo Bakelite Co Ltd		38,183
	666,400	Sumitomo Chemical Co Ltd		2,429,583
	114,700	Sumitomo Corp (a)		1,880,422
	42,500	Sumitomo Forestry Co Ltd		742,056
	95,200	Sumitomo Mitsui Financial Group Inc		3,231,157
	84,400	Sumitomo Mitsui Trust Holdings Inc		2,706,764
	1,500	Sumitomo Seika Chemicals Co Ltd		46,382
	4,300	Sumitomo Warehouse Co Ltd (The) (a)		62,972
	4,400	Suntory Beverage & Food Ltd (a)		149,942
	271,500	T&D Holdings Inc		3,300,714
	78,700	Tachi-S Co Ltd		631,433
	51,100	Taisei Corp		1,553,397
	34,300	Takara Holdings Inc		268,238
	2,000	Takeuchi Manufacturing Co Ltd		46,552
	161,400	Takuma Co Ltd		1,508,429
	3,000	Tamron Co Ltd		76,198
	223,500	Teijin Ltd		2,168,622
	2,900	T-Gaia Corp (b)		34,869
	115,600	THK Co Ltd		2,280,258
	64,600	Toho Holdings Co Ltd (a)		1,005,397
	290,500	Tokai Carbon Co Ltd		2,241,520
	90,100	Tokyo Gas Co Ltd (a)		1,657,390

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	72,200	Tokyo Seimitsu Co Ltd		2,313,674
	147,400	Toppan Inc		2,295,923
	92,200	Tosei Corp (b)		945,475
	77,000	Tosoh Corp		914,224
	3,000	Towa Pharmaceutical Co Ltd		46,219
	28,500	Toyo Construction Co Ltd		173,481
	3,600	Toyota Boshoku Corp		50,571
	52,500	Toyota Industries Corp		3,011,779
	16,400	Toyota Tsusho Corp (a)		633,087
	3,000	TPR Co Ltd		27,034
	70,000	Tsumura & Co		1,533,997
	4,400	TV Asahi Holdings Corp		44,106
	5,500	Wacoal Holdings Corp		93,521
	13,100	YAMABIKO Corp		108,696
	115,000	Yamada Holdings Co Ltd (a)		398,576
	36,300	Yamaha Motor Co Ltd		909,306
	1,000	Yamato Kogyo Co Ltd		34,477
	5,300	Yamazen Corp		38,783
	4,400	Yellow Hat Ltd		55,422
	39,900	Yokogawa Bridge Holdings Corp		563,143
	3,500	Yokogawa Electric Corp		66,009
	3,000	Yokohama Rubber Co Ltd (The) (b)		49,679
	5,400	Yuasa Trading Co Ltd		141,683
	52,900	Zenkoku Hosho Co Ltd		1,969,678
		Total Japan		178,790,472
		Kuwait — 0.0%
	13,850	Humansoft Holding Co KSC		151,419
		Malaysia — 0.1%
	90,900	AMMB Holdings Bhd		85,567
	58,900	Hartalega Holdings Bhd		23,041
	64,800	Hibiscus Petroleum Bhd		16,243
	17,700	Hong Leong Bank Bhd		83,186
	69,700	IOI Corp Bhd		60,078
	116,300	Kossan Rubber Industries Bhd		29,170
	39,100	Kuala Lumpur Kepong Bhd		184,050
	409,200	Petronas Chemicals Group Bhd		788,553
	8,300	Petronas Gas Bhd		31,394
	15,900	PPB Group Bhd		61,630
	84,400	RHB Bank Bhd		106,913
	28,200	Sime Darby Plantation Bhd		27,049
	86,600	Telekom Malaysia Bhd		109,463
		Total Malaysia		1,606,337
		Mexico — 1.3%
	18,800	Alpek SAB de CV		26,523
	978,837	America Movil SAB de CV – Series L		951,238
	29,739	America Movil SAB de CV – Class L Sponsored ADR		578,721
	68,912	Arca Continental SAB de CV		573,612
	80,100	Banco del Bajio SA		260,261

Shares		Description	Value ($)
		Mexico — continued
	6,100	Cemex SAB de CV Sponsored ADR *		27,877
	1,376	Coca-Cola Femsa SAB de CV Sponsored ADR		93,995
	495,200	Credito Real SAB de CV SOFOM ER * (e)		—
	50,992	El Puerto de Liverpool SAB de CV – Class C1		296,216
	439,088	Fomento Economico Mexicano SAB de CV		3,504,238
	4,013	Fomento Economico Mexicano SAB de CV Sponsored ADR		320,518
	71,600	Gentera SAB de CV		76,001
	6,439	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		55,897
	18,855	Grupo Aeroportuario del Pacifico SAB de CV – Class B		306,259
	9,896	Grupo Aeroportuario del Sureste SAB de CV – Class B		245,425
	224	Grupo Aeroportuario del Sureste SAB de CV ADR		55,393
	533,925	Grupo Financiero Banorte SAB de CV – Class O		4,285,181
	16,656	Grupo Financiero Inbursa SAB de CV – Class O *		31,406
	662,628	Grupo Mexico SAB de CV – Series B		2,695,983
	35,612	Grupo Televisa SAB Sponsored ADR		194,442
	7,245	Grupo Televisa SAB		7,979
	24,456	Kimberly-Clark de Mexico SAB de CV – Class A		41,613
	47,700	Qualitas Controladora SAB de CV		200,823
	23,400	Regional SAB de CV		170,849
	56,968	Sitios Latinoamerica SAB de CV *		25,393
	8,151	Unifin Financiera SAB de CV SOFOM ENR *		507
	401,268	Wal-Mart de Mexico SAB de CV		1,585,813
		Total Mexico		16,612,163
		Netherlands — 1.7%
	13,672	ABN AMRO Bank NV CVA GDR		176,313
	372,299	Aegon NV (a) (b)		1,825,183
	1,600	AerCap Holdings NV *		98,240
	43,150	ASR Nederland NV		1,974,920
	51,980	EXOR NV *		4,080,429
	9,049	ForFarmers NV (b)		27,542
	48,350	JDE Peet’s NV		1,497,744
	151,609	Koninklijke Ahold Delhaize NV (a)		4,418,204
	112,316	Koninklijke Philips NV (a)		1,683,011
	43,879	NN Group NV (a)		1,875,233
	26,397	Prosus NV *		1,727,386
	53,813	Randstad NV (a) (b)		3,117,032
	12,550	Signify NV		428,640
	1,274	Wolters Kluwer NV (a)		140,408
		Total Netherlands		23,070,285
		New Zealand — 0.1%
	59,921	Auckland International Airport Ltd * (a)		305,382
	147,126	Meridian Energy Ltd (a)		456,647
	45,757	Spark New Zealand Ltd		149,173
		Total New Zealand		911,202

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Norway — 0.4%
	13,133	BW LPG Ltd		117,107
	180,574	DNO ASA		230,776
	129,800	Elkem ASA *		480,667
	75,392	Equinor ASA (a)		2,903,406
	52,495	Europris ASA		333,624
	75,183	Norsk Hydro ASA		566,137
	3,159	Selvaag Bolig ASA		9,301
	4,756	SpareBank 1 Nord Norge		44,330
	4,209	SpareBank 1 SMN		50,151
	3,527	Stolt-Nielsen Ltd (a)		91,345
	31,610	Wallenius Wilhelmsen ASA (a)		296,120
		Total Norway		5,122,964
		Panama — 0.0%
	297,879	BAC Holding International Corp *		17,029
		Philippines — 0.0%
	110,400	Converge Information and Communications Technology Solutions Inc *		30,406
	13,420	GT Capital Holdings Inc		104,587
	758,080	Megaworld Corp		30,164
	33,900	Puregold Price Club Inc		21,369
		Total Philippines		186,526
		Poland — 0.4%
	5,274	Asseco Poland SA		86,522
	102,737	Bank Polska Kasa Opieki SA		1,965,170
	3,461	Budimex SA		211,730
	32,437	Cyfrowy Polsat SA		136,000
	3,450	KGHM Polska Miedz SA		91,327
	39	LPP SA		84,540
	14,558	Orange Polska SA		20,504
	113,384	Polski Koncern Naftowy ORLEN SA		1,668,921
	51,778	Powszechny Zaklad Ubezpieczen SA		370,663
		Total Poland		4,635,377
		Portugal — 0.5%
	31,475	Altri SGPS SA		184,382
	218,698	EDP – Energias de Portugal SA		1,037,731
	268,035	Galp Energia SGPS SA		3,302,640
	21,622	Jeronimo Martins SGPS SA		482,420
	98,216	Navigator Co SA (The)		398,960
	61,689	NOS SGPS SA		247,811
	566,079	Sonae SGPS SA		575,060
		Total Portugal		6,229,004
		Qatar — 0.1%
	29,310	Ooredoo QPSC		71,498
	7,568	Qatar Gas Transport Co Ltd		8,284
	163,520	Qatar National Bank QPSC		884,059

Shares		Description	Value ($)
		Qatar — continued
	14,520	Qatar National Cement Co QSC		18,361
		Total Qatar		982,202
		Russia — 0.2%
	3,038,020	Alrosa PJSC (e) (f)		226,235
	10,190	Detsky Mir PJSC * (e)		815
	148,200,000	Federal Grid Co Unified Energy System PJSC * (e)		14,671
	68,395	Fix Price Group Ltd GDR * (e)		16,912
	180,610	Gazprom Neft PJSC (e)		96,895
	2,050,858	Gazprom PJSC (e)		394,511
	7,736	Globaltrans Investment Plc Sponsored GDR (Registered) * (e)		2,873
	6,310,100	Inter RAO UES PJSC (e)		23,741
	19,776	LSR Group PJSC – Class A * (e)		10,630
	1	LSR Group PJSC GDR (Registered) (e)		—
	74,944	LUKOIL PJSC (e)		395,272
	1,561	Magnit PJSC (e)		8,586
	1,863,335	Magnitogorsk Iron & Steel Works PJSC (e) (f)		66,782
	25,400	Mechel PJSC * (e)		2,957
	4,554	MMC Norilsk Nickel PJSC (e)		74,616
	1	MMC Norilsk Nickel PJSC ADR * (c)		2
	16,770	Mobile TeleSystems PJSC (e)		4,529
	20,400	Mobile TeleSystems PJSC ADR * (e)		11,042
	361,420	Moscow Exchange MICEX-RTS PJSC * (e)		35,981
	3,294,000	Mosenergo PJSC * (e)		6,575
	75,720	Novatek PJSC (e)		89,583
	1,212,010	Novolipetsk Steel PJSC (e)		147,312
	3,466	PhosAgro PJSC (e)		25,564
	67	PhosAgro PJSC GDR (e) (f)		165
	130,264	Polymetal International Plc *		377,735
	10,215	Polyus PJSC * (e)		84,365
	5,248	Ros Agro Plc GDR (Registered) * (e)		4,527
	1,879,040	ROSSETI PJSC * (e)		1,235
	24,471,200	RusHydro PJSC (e)		21,168
	3,677,652	Sberbank of Russia PJSC * (e) (f)		571,653
	425	Severstal PAO * (e) (f)		384
	91,185	Severstal PJSC GDR (Registered) (e) (f)		82,549
	11,580	SFI PJSC * (e)		6,054
	5,940,620	Surgutneftegas PJSC (e)		147,189
	332,388	Tatneft PJSC (e)		138,821
	1,300,440	Unipro PJSC (e)		2,066
	50,950	United Co Rusal International PJSC (e)		2,239
	8,456	X5 Retail Group NV GDR (Registered) (e)		9,707
		Total Russia		3,105,941
		Saudi Arabia — 0.2%
	15,086	Almarai Co JSC		214,902
	97,196	Saudi Arabian Oil Co		869,480
	45,475	Saudi Basic Industries Corp		1,012,726
	53,215	Saudi Telecom Co		547,049
		Total Saudi Arabia		2,644,157

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Singapore — 0.8%
	51,300	AIMS APAC (REIT)		45,446
	39,000	Bumitama Agri Ltd		17,613
	80,000	City Developments Ltd		491,488
	251,500	ComfortDelGro Corp Ltd		228,791
	112,535	DBS Group Holdings Ltd		2,934,772
	187,200	First Real Estate Investment Trust (b)		33,117
	1,318,100	Golden Agri-Resources Ltd		281,383
	161,540	Japfa Ltd		60,934
	43,216	Jardine Cycle & Carriage Ltd (b)		963,880
	265,800	Keppel Corp Ltd		1,483,570
	51,220	Lendlease Global Commercial (REIT)		27,438
	40,900	Sasseur Real Estate Investment Trust		23,476
	37,700	Sheng Siong Group Ltd		45,721
	237,800	Silverlake Axis Ltd		65,893
	11,100	Singapore Exchange Ltd		74,297
	114,700	StarHub Ltd		90,654
	9,200	United Overseas Bank Ltd		212,129
	42,300	UOL Group Ltd		208,600
	7,400	Venture Corp Ltd		95,011
	138,700	Wilmar International Ltd		420,751
	1,676,099	Yangzijiang Financial Holding Ltd *		428,787
	2,244,199	Yangzijiang Shipbuilding Holdings Ltd		2,376,766
	154,600	Yanlord Land Group Ltd		112,311
		Total Singapore		10,722,828
		South Africa — 1.2%
	274,815	Absa Group Ltd		3,295,367
	9,184	African Rainbow Minerals Ltd		159,051
	12,489	Anglo American Platinum Ltd		1,262,321
	2,455	Aspen Pharmacare Holdings Ltd		20,373
	10,455	Astral Foods Ltd		102,128
	3,066	AVI Ltd		13,155
	37,545	Barloworld Ltd		227,602
	78,339	Bidvest Group Ltd (The)		1,053,525
	77,272	Blue Label Telecoms Ltd *		23,381
	3,429	Capitec Bank Holdings Ltd		407,108
	1,441	Clicks Group Ltd		24,790
	379,023	FirstRand Ltd		1,473,063
	32,778	Foschini Group Ltd (The)		199,829
	13,000	Gold Fields Ltd Sponsored ADR		144,950
	33,283	Impala Platinum Holdings Ltd		404,508
	27,160	Investec Ltd		163,929
	55,493	Kumba Iron Ore Ltd		1,567,743
	17,129	Lewis Group Ltd		49,321
	15,058	Metair Investments Ltd		24,107
	29,618	Motus Holdings Ltd		202,180
	40,792	Mr Price Group Ltd		398,692
	84,963	MTN Group Ltd		696,242
	9,954	MultiChoice Group		68,984
	9,909	Nedbank Group Ltd		130,980
	9,707	Ninety One Ltd		22,671

Shares		Description	Value ($)
		South Africa — continued
	358,966	Old Mutual Ltd		230,590
	301,368	Pepkor Holdings Ltd		387,899
	8,062	Raubex Group Ltd		12,989
	825	Reinet Investments SCA		14,564
	20,426	Reunert Ltd		56,627
	257,788	RMB Holdings Ltd		9,129
	54,961	Sanlam Ltd		180,467
	60,287	Sappi Ltd		171,448
	1,581	Shoprite Holdings Ltd		23,071
	58,781	Sibanye Stillwater Ltd		163,553
	22,800	Sibanye Stillwater Ltd ADR		255,588
	94,907	Telkom SA SOC Ltd *		191,564
	6,538	Thungela Resources Ltd		119,340
	19,370	Tiger Brands Ltd		218,498
	194,175	Truworths International Ltd		643,291
	45,534	Vodacom Group Ltd		331,620
	108,958	Woolworths Holdings Ltd		414,906
		Total South Africa		15,561,144
		South Korea — 3.3%
	1,819	Alteogen Inc *		50,549
	1,287	AMOREPACIFIC Group		30,886
	196	BGF retail Co Ltd		30,760
	6,413	BH Co Ltd		129,602
	123,371	BNK Financial Group Inc		699,104
	7,334	Cheil Worldwide Inc		136,029
	383	CJ CheilJedang Corp		115,520
	313	CJ ENM Co Ltd		19,888
	318	CJ Logistics Corp *		21,315
	6,844	Coway Co Ltd		301,319
	889	Daihan Pharmaceutical Co Ltd		20,444
	8,035	Daou Data Corp		172,974
	2,744	DB HiTek Co Ltd		95,189
	3,823	DB Insurance Co Ltd		181,714
	21,976	DGB Financial Group Inc		133,153
	976	DL E&C Co Ltd		31,521
	49,509	Dongwon Development Co Ltd		135,975
	4,011	Doosan Bobcat Inc		109,789
	4,460	E-MART Inc		315,483
	166	Green Cross Corp		16,237
	3,317	GS Engineering & Construction Corp		59,991
	13,118	GS Holdings Corp		487,583
	2,753	GS Retail Co Ltd		62,801
	50,426	Hana Financial Group Inc		1,724,672
	1,994	Handsome Co Ltd		39,606
	31,985	Hankook Tire & Technology Co Ltd		835,352
	28,766	HDC Hyundai Development Co-Engineering & Construction		244,636
	1,985	HMM Co Ltd		34,210
	2,813	Hyundai Department Store Co Ltd		129,945
	12,350	Hyundai Engineering & Construction Co Ltd		390,376
	5,202	Hyundai Glovis Co Ltd		705,698

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	1,022	Hyundai Home Shopping Network Corp		38,763
	1,286	Hyundai Marine & Fire Insurance Co Ltd		29,664
	11,046	Hyundai Mobis Co Ltd		1,807,993
	1,318	INTOPS Co Ltd		30,475
	24,197	JB Financial Group Co Ltd		155,659
	12,395	KB Financial Group Inc		492,177
	4,000	KB Financial Group Inc ADR		157,640
	3,100	KC Co Ltd		43,295
	401	KCC Corp		73,798
	1,095	KCC Glass Corp		34,411
	104,615	Kia Corp		5,509,434
	926	KIWOOM Securities Co Ltd		65,695
	187	Korea Investment Holdings Co Ltd		8,312
	895	Korea Petrochemical Ind Co Ltd		111,642
	6,570	Korea Real Estate Investment & Trust Co Ltd		7,015
	1,137	Korea Zinc Co Ltd		549,681
	20,967	KT Skylife Co Ltd		137,521
	74,067	KT&G Corp		5,620,136
	5,061	Kumho Petrochemical Co Ltd		582,159
	2,360	LF Corp		29,051
	8,933	LG Corp		576,093
	44,277	LG Electronics Inc		3,341,125
	234	LG H&H Co Ltd		118,086
	10,450	LOTTE Fine Chemical Co Ltd		500,544
	7,883	LX International Corp		248,398
	3,863	LX Semicon Co Ltd		263,584
	822	Meritz Financial Group Inc		23,949
	94	NCSoft Corp		34,052
	1,743	NH Investment & Securities Co Ltd		12,864
	649	Orion Corp		58,279
	5,323	POSCO Holdings Inc		1,218,435
	34,446	POSCO Holdings Inc Sponsored ADR (a)		1,965,489
	3,147	PSK Inc		43,704
	1,056	Samjin Pharmaceutical Co Ltd		21,010
	115,782	Samsung Electronics Co Ltd		5,563,204
	1,454	Samsung Electronics Co Ltd GDR (Registered) (a)		1,727,140
	94	Samsung Fire & Marine Insurance Co Ltd		14,754
	1,213	Samsung SDS Co Ltd		118,525
	12,731	SD Biosensor Inc		322,092
	787	Sebang Global Battery Co Ltd		29,279
	5,854	Seegene Inc		137,028
	43,125	Shinhan Financial Group Co Ltd		1,250,199
	309	SK Chemicals Co Ltd		21,096
	25,209	SK Square Co Ltd *		730,371
	7,093	SK Telecom Co Ltd Sponsored ADR		152,145
	5,883	SL Corp		127,079
	136,243	Woori Financial Group Inc		1,361,059
	41,140	Woori Technology Investment Co Ltd *		142,268
	6,570	Youngone Corp		239,391
		Total South Korea		43,308,084

Shares		Description	Value ($)
		Spain — 1.7%
	207,000	Acerinox SA		2,047,860
	42,139	Amadeus IT Group SA * (a)		2,278,351
	35,785	Atresmedia Corp de Medios de Comunicacion SA		125,807
	907,632	Banco Bilbao Vizcaya Argentaria SA		5,348,713
	3,351,275	Banco de Sabadell SA		3,129,149
	848,946	Banco Santander SA		2,533,114
	90,446	Bankinter SA		594,870
	49,032	CaixaBank SA (a)		182,292
	18,156	Cia de Distribucion Integral Logista Holdings SA (a)		428,230
	33,188	Ence Energia y Celulosa SA		109,953
	33,423	Faes Farma SA		128,470
	1,233	Grupo Catalana Occidente SA		39,001
	83,139	Industria de Diseno Textil SA (a)		2,170,244
	10,082	Mediaset Espana Comunicacion SA *		33,579
	156,663	Repsol SA		2,418,927
	130,830	Telefonica SA (a)		488,346
	69,606	Unicaja Banco SA		71,963
		Total Spain		22,128,869
		Sweden — 0.6%
	88,506	Fastighets AB Balder – B Shares *		397,879
	18,054	Industrivarden AB – A Shares (a)		465,939
	36,780	Industrivarden AB – C Shares (a) (b)		942,181
	46,981	Investor AB – A Shares		904,604
	57,234	Investor AB – B Shares (a)		1,065,174
	21,646	Inwido AB		217,969
	68,220	Kinnevik AB – Class B *		1,051,603
	16,304	New Wave Group AB – B Shares		330,368
	37,085	Skanska AB – B Shares		603,719
	237,859	SSAB AB – A Shares		1,377,382
	51,144	SSAB AB – B Shares		289,145
	16,663	Svenska Cellulosa AB SCA – Class B		226,562
	27,307	Telefonaktiebolaget LM Ericsson – B Shares		172,352
		Total Sweden		8,044,877
		Switzerland — 0.8%
	51,076	Adecco Group AG (Registered)		1,736,411
	956	DKSH Holding AG		72,083
	31,980	Logitech International SA (Registered) (b)		1,938,864
	6,408	Mobilezone Holding AG (Registered)		111,635
	417	Roche Holding AG (a)		167,515
	8,917	Roche Holding AG – Genusschein (a)		2,912,505
	1,848	u-blox Holding AG *		240,596
	152,122	UBS Group AG (Registered) (a)		2,807,058
	1,582	Zurich Insurance Group AG (a)		760,051
		Total Switzerland		10,746,718
		Taiwan — 3.3%
	42,560	Acer Inc		34,157

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	14,414	Acter Group Corp Ltd		47,256
	328,650	AmTRAN Technology Co Ltd		103,809
	39,800	ASE Technology Holding Co Ltd ADR (a)		270,640
	3,000	ASMedia Technology Inc		71,929
	418,035	Asustek Computer Inc		3,633,602
	19,000	Aten International Co Ltd		47,685
	8,400	Aurora Corp		21,413
	338,000	Catcher Technology Co Ltd		2,016,182
	705,399	Cathay Financial Holding Co Ltd		1,003,824
	43,367	Chailease Holding Co Ltd		286,239
	170,000	Chicony Electronics Co Ltd		460,517
	214,000	Chipbond Technology Corp		406,752
	9,280	Chong Hong Construction Co Ltd		21,687
	53,200	Chunghwa Telecom Co Ltd		195,824
	2,500	Chunghwa Telecom Co Ltd Sponsored ADR (a)		91,300
	582,000	Compal Electronics Inc		409,843
	48,440	Coretronic Corp		91,717
	18,640	Elan Microelectronics Corp		54,824
	11,760	Elite Material Co Ltd		73,860
	5,000	Elite Semiconductor Microelectronics Technology Inc		12,076
	376,200	Evergreen Marine Corp Taiwan Ltd		2,019,724
	256,000	Far EasTone Telecommunications Co Ltd		565,268
	91,000	Farglory Land Development Co Ltd		161,527
	2,600	First Financial Holding Co Ltd		2,219
	43,701	FLEXium Interconnect Inc		152,656
	181,000	Formosa Plastics Corp		530,892
	120,821	Foxconn Technology Co Ltd		205,371
	920,765	Fubon Financial Holding Co Ltd		1,828,840
	6,080	Fusheng Precision Co Ltd		42,802
	9,000	Gamania Digital Entertainment Co Ltd		19,629
	11,560	Getac Technology Corp		16,077
	15,000	Gigabyte Technology Co Ltd		53,461
	265,000	Grand Pacific Petrochemical		179,927
	13,000	Holtek Semiconductor Inc		30,314
	1,776,318	Hon Hai Precision Industry Co Ltd		5,816,173
	69,000	Huaku Development Co Ltd		199,617
	33,687	Innodisk Corp		206,571
	12,109	International Games System Co Ltd		153,791
	63,000	King’s Town Bank Co Ltd		71,448
	31,000	Kung Long Batteries Industrial Co Ltd		138,852
	21,000	Largan Precision Co Ltd		1,582,260
	422,000	Lite-On Technology Corp		900,611
	4,807	Makalot Industrial Co Ltd		36,596
	109,000	MediaTek Inc		2,633,854
	5,408	Merry Electronics Co Ltd		15,539
	216,000	Micro-Star International Co Ltd		870,499
	99,000	Mitac Holdings Corp		95,882
	147,280	Nan Ya Plastics Corp		368,372
	77,903	Nantex Industry Co Ltd		98,508
	85,000	Nanya Technology Corp		158,620
	26,000	Nichidenbo Corp		44,197

Shares		Description	Value ($)
		Taiwan — continued
	4,800	Nien Made Enterprise Co Ltd		45,568
	122,000	Novatek Microelectronics Corp		1,195,389
	51,000	Phison Electronics Corp		547,738
	625,000	Pou Chen Corp		658,280
	26,000	Powertech Technology Inc		70,911
	64,000	Primax Electronics Ltd		120,767
	44,000	Quanta Computer Inc		102,552
	130,472	Radiant Opto-Electronics Corp		446,199
	3,000	Raydium Semiconductor Corp		30,700
	6,000	Realtek Semiconductor Corp		62,376
	244,200	Ruentex Development Co Ltd		368,627
	259,400	Ruentex Industries Ltd		561,924
	31,760	Shin Zu Shing Co Ltd		87,663
	68,000	Shinkong Insurance Co Ltd		110,027
	24,900	Simplo Technology Co Ltd		246,748
	7,945	Sinmag Equipment Corp		22,112
	2,000	Soft-World International Corp		5,062
	28,080	Syncmold Enterprise Corp		53,538
	12,000	TaiDoc Technology Corp		71,831
	181,000	Taiwan Semiconductor Manufacturing Co Ltd		2,906,833
	30,042	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		2,492,885
	22,400	Teco Electric and Machinery Co Ltd		20,552
	7,360	Test Research Inc		15,738
	36,681	TOPBI International Holdings Ltd *		14,590
	40,000	Transcend Information Inc		88,082
	49,000	Tripod Technology Corp		154,690
	13,000	Tung Ho Steel Enterprise Corp		22,675
	37,624	United Integrated Services Co Ltd		219,947
	148,000	Universal Inc		118,477
	214,850	Wan Hai Lines Ltd		537,948
	298,000	Winbond Electronics Corp		208,030
	286,000	Wistron Corp		256,903
	116,000	WPG Holdings Ltd		183,115
	983,000	Yang Ming Marine Transport Corp		2,138,629
	1,573,000	Yuanta Financial Holding Co Ltd		1,157,393
	6,000	Yulon Nissan Motor Co Ltd		40,995
	9,669	Zeng Hsing Industrial Co Ltd		36,697
	40,000	Zhen Ding Technology Holding Ltd		156,659
		Total Taiwan		44,134,083
		Thailand — 0.9%
	2,229,700	AP Thailand Pcl NVDR		641,846
	513,400	Bangkok Bank Pcl NVDR		2,109,420
	234,200	Bangkok Dusit Medical Services Pcl NVDR		201,756
	32,300	CP ALL Pcl (Foreign Registered)		59,801
	34,600	CP ALL Pcl NVDR		64,060
	69,100	GFPT Pcl NVDR		26,766
	10,300	Kasikornbank Pcl (Foreign Registered)		42,442
	608,400	Kasikornbank Pcl NVDR		2,506,976
	87,000	Kiatnakin Phatra Bank Pcl NVDR		177,461
	6,653,900	Krung Thai Bank Pcl NVDR		3,339,165

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	53,632	Pruksa Holding Pcl NVDR		18,462
	73,000	PTG Energy Pcl NVDR		30,849
	281,000	PTT Exploration & Production Pcl NVDR		1,498,296
	47,400	Regional Container Lines Pcl NVDR		40,645
	3,851,300	Sansiri Pcl NVDR		172,381
	141,300	Somboon Advance Technology Pcl NVDR		88,724
	270,400	Sri Trang Gloves Thailand Pcl NVDR		76,931
	23,760	Supalai Pcl (Foreign Registered)		15,529
	62,524	Supalai Pcl NVDR		40,863
	82,700	Thai Oil Pcl NVDR		130,709
	88,000	Thai Vegetable Oil Pcl NVDR		70,593
		Total Thailand		11,353,675
		Turkey — 0.7%
	4,346,935	Akbank TAS		4,066,084
	113,472	Arcelik AS		563,290
	339,228	Aselsan Elektronik Sanayi Ve Ticaret AS		887,701
	12,363	Dogus Otomotiv Servis ve Ticaret AS		104,481
	105,457	Enerjisa Enerji AS		164,649
	401,627	Haci Omer Sabanci Holding AS		913,479
	159,553	KOC Holding AS		607,588
	580,824	Turkiye Garanti Bankasi AS		839,853
	974,065	Turkiye Is Bankasi AS – Class C		548,187
	73,176	Vestel Elektronik Sanayi ve Ticaret AS		235,828
	387,322	Yapi ve Kredi Bankasi AS		251,382
		Total Turkey		9,182,522
		United Arab Emirates — 0.0%
	300,669	Abu Dhabi National Oil Co for Distribution PJSC		373,130
	52,716	Emaar Development PJSC *		60,445
	60,948	Emaar Properties PJSC		101,333
		Total United Arab Emirates		534,908
		United Kingdom — 3.9%
	144,532	3i Group Plc (a)		2,374,728
	3,173	AG Barr Plc		19,223
	191,969	Airtel Africa Plc		287,123
	32,573	BAE Systems Plc (a)		322,594
	79,624	Balfour Beatty Plc		311,756
	4,859	Bank of Georgia Group Plc		148,218
	467,944	Barratt Developments Plc		2,262,871
	40,282	Bellway Plc		978,819
	71,194	Berkeley Group Holdings Plc		3,301,525
	87,700	BP Plc Sponsored ADR (a)		3,148,430
	49,574	British American Tobacco Plc (a)		2,032,634
	39,600	British American Tobacco Plc Sponsored ADR (a)		1,634,292
	2,171,246	BT Group Plc		3,195,012
	19,796	Bunzl Plc		732,116
	596,976	Centrica Plc (a)		689,163
	2,505	Clarkson Plc (a)		93,502

Shares		Description	Value ($)
		United Kingdom — continued
	16,039	CMC Markets Plc		45,943
	63,769	Coats Group Plc		51,620
	113,106	Coca-Cola HBC AG *		2,766,674
	191,485	Compass Group Plc (a)		4,365,462
	35,626	Crest Nicholson Holdings Plc		98,610
	3,800	EMIS Group Plc (a)		86,132
	23,265	Evraz Plc (e)		574
	217,661	Ferrexpo Plc		379,124
	1,720	Galliford Try Holdings Plc		3,261
	15,360	GSK Plc Sponsored ADR (a)		531,302
	21,500	Haleon Plc ADR * (a)		148,135
	55,459	Halfords Group Plc		130,559
	87,293	IG Group Holdings Plc		868,351
	81,442	Imperial Brands Plc (a)		2,094,775
	4,947	Inchcape Plc (a)		50,102
	24,001	Indivior Plc *		497,785
	20,749	International Personal Finance Plc		19,630
	136,342	Investec Plc		861,101
	4,789	Keller Group Plc		42,442
	491,424	Kingfisher Plc		1,437,119
	269,923	Legal & General Group Plc (a)		828,014
	911,388	M&G Plc		2,129,619
	13,089	Morgan Advanced Materials Plc		48,206
	11,562	Morgan Sindall Group Plc		228,553
	88,646	OSB Group Plc		510,324
	12,678	Paragon Banking Group Plc		72,506
	85,408	Persimmon Plc		1,322,871
	69,441	Plus500 Ltd		1,594,057
	35,451	Redde Northgate Plc (a)		162,288
	101,597	Redrow Plc		559,810
	197,393	S4 Capital Plc *		455,763
	58,036	Serica Energy Plc		221,752
	95,106	Shell Plc (a)		2,783,353
	47,117	Spirent Communications Plc		164,203
	23,834	Standard Chartered Plc		177,540
	472,355	Taylor Wimpey Plc		595,370
	3,340	TBC Bank Group Plc		88,561
	19,589	Unilever Plc (a)		979,472
	11,263	Vesuvius Plc		52,025
	111,200	Vodafone Group Plc Sponsored ADR (a)		1,248,776
	14,969	Wickes Group Plc		24,998
	87,354	WPP Plc (a)		918,063
		Total United Kingdom		51,176,831
		United States — 14.0%
	3,400	3M Co. (a)		428,298
	6,669	ADTRAN Holdings, Inc.		135,181
	15,000	Aflac, Inc. (a)		1,078,950
	51,100	Ally Financial, Inc. (a)		1,380,211
	20,883	Alphabet, Inc. – Class A * (a)		2,108,974
	18,642	American Express Co. (a)		2,937,793
	40,300	AppLovin Corp. – Class A * (a)		580,723

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	16,700	Arrow Electronics, Inc. *		1,815,958
	57,800	AT&T, Inc. (a)		1,114,384
	22,100	Best Buy Co., Inc. (a)		1,885,130
	7,000	Biogen, Inc. * (a)		2,136,190
	3,600	Bio-Rad Laboratories, Inc. – Class A *		1,492,956
	1,238	Booking Holdings, Inc. * (a)		2,574,359
	107,423	BorgWarner, Inc.		4,566,552
	15,400	Capital One Financial Corp. (a)		1,589,896
	8,810	CarMax, Inc. * (a)		611,062
	42,000	Carrier Global Corp. (a)		1,861,440
	20,700	CBRE Group, Inc. – Class A * (a)		1,647,720
	22,900	Centene Corp. * (a)		1,993,445
	15,388	Chevron Corp. (a)		2,820,774
	3,200	Cigna Corp. (a)		1,052,448
	36,700	Citigroup, Inc. (a)		1,776,647
	107,000	Cleveland-Cliffs, Inc. *		1,656,360
	27,200	Cognizant Technology Solutions Corp. – Class A (a)		1,692,112
	53,000	Comcast Corp. – Class A (a)		1,941,920
	13,200	CVS Health Corp. (a)		1,344,816
	41,604	Darling Ingredients, Inc. *		2,988,415
	41,400	Dell Technologies, Inc. – Class C		1,854,306
	14,000	Discover Financial Services (a)		1,517,040
	102,500	DISH Network Corp. – Class A * (a)		1,645,125
	23,700	DR Horton, Inc. (a)		2,038,200
	38,500	eBay, Inc. (a)		1,749,440
	27,449	EOG Resources, Inc. (a)		3,895,837
	38,600	Exelon Corp. (a)		1,596,882
	9,500	FedEx Corp. (a)		1,731,090
	41,800	Fidelity National Financial, Inc. (a)		1,687,048
	121,800	Ford Motor Co. (a)		1,693,020
	24,200	Fortune Brands Home & Security, Inc.		1,581,228
	10,200	Fox Corp. – Class A (a)		330,990
	61,900	Fox Corp. – Class B (a)		1,889,188
	65,200	Franklin Resources, Inc. (a)		1,748,012
	3,100	Garmin Ltd. (a)		288,269
	45,100	General Motors Co.		1,829,256
	7,300	Gilead Sciences, Inc. (a)		641,159
	1,600	Goldman Sachs Group, Inc. (The) (a)		617,840
	31,279	Green Plains, Inc. *		1,081,002
	4,400	Henry Schein, Inc. * (a)		356,048
	18,449	Hilton Worldwide Holdings, Inc. (a)		2,631,196
	58,500	HP, Inc.		1,757,340
	30,600	IAC, Inc. * (a)		1,587,834
	24,400	Incyte Corp. * (a)		1,943,948
	60,000	Intel Corp. (a)		1,804,200
	30,392	Intercontinental Exchange, Inc. (a)		3,291,757
	15,300	International Business Machines Corp. (a)		2,278,170
	73,500	Invesco Ltd.		1,404,585
	12,800	Jazz Pharmaceuticals Plc *		2,008,448
	113,900	Kinder Morgan, Inc. (a)		2,177,768
	22,400	Knight-Swift Transportation Holdings, Inc. (a)		1,241,632

Shares		Description	Value ($)
		United States — continued
	38,900	Kraft Heinz Co. (The) (a)		1,530,715
	10,600	Kroger Co. (The) (a)		521,414
	8,300	Laboratory Corp. of America Holdings (a)		1,997,810
	3,370	Lam Research Corp. (a)		1,591,921
	47,573	Las Vegas Sands Corp. * (a)		2,228,319
	22,900	Lennar Corp. – Class A		2,011,307
	18,900	Liberty Global Plc – Class A *		379,512
	38,900	Liberty Global Plc – Class C *		804,452
	39,100	Lincoln National Corp.		1,522,554
	196,000	Lumen Technologies, Inc.		1,072,120
	20,800	LyondellBasell Industries NV – Class A (a)		1,768,208
	2,070	Markel Corp. *		2,742,419
	15,000	Match Group, Inc. * (a)		758,400
	26,122	Meta Platforms, Inc. – Class A * (a)		3,085,008
	9,800	MetLife, Inc. (a)		751,660
	52,284	Micron Technology, Inc. (a)		3,014,173
	15,400	Mohawk Industries, Inc. *		1,560,482
	35,100	Molson Coors Brewing Co. – Class B (a)		1,934,361
	26,200	Mosaic Co. (The) (a)		1,344,060
	32,800	NRG Energy, Inc. (a)		1,392,360
	12,100	Nucor Corp. (a)		1,814,395
	12,300	Occidental Petroleum Corp.		854,727
	20,500	Oracle Corp. (a)		1,702,115
	21,295	Otis Worldwide Corp. (a)		1,662,926
	2,800	PACCAR, Inc. (a)		296,548
	89,900	Paramount Global – Class B (a)		1,805,192
	21,200	PayPal Holdings, Inc. * (a)		1,662,292
	24,900	Pfizer, Inc. (a)		1,248,237
	17,600	Prudential Financial, Inc. (a)		1,901,328
	39,900	PulteGroup, Inc.		1,786,722
	1,000	Quest Diagnostics, Inc. (a)		151,830
	34,987	Raytheon Technologies Corp. (a)		3,453,917
	2,900	Regeneron Pharmaceuticals, Inc. * (a)		2,179,930
	7,900	Resolute Forest Products, Inc. *		166,381
	35,261	Sensata Technologies Holding Plc		1,590,271
	10,300	Skyworks Solutions, Inc. (a)		984,886
	12,900	SS&C Technologies Holdings, Inc. (a)		693,504
	3,200	Stanley Black & Decker, Inc.		261,504
	20,400	Steel Dynamics, Inc. (a)		2,120,172
	46,700	Synchrony Financial (a)		1,754,986
	19,400	Textron, Inc. (a)		1,384,772
	23,400	Tyson Foods, Inc. – Class A (a)		1,550,952
	800	United Parcel Service, Inc. – Class B (a)		151,784
	15,500	Universal Health Services, Inc. – Class B (a)		2,028,175
	59,023	US Bancorp (a)		2,679,054
	42,700	Verizon Communications, Inc. (a)		1,664,446
	5,300	Vertex Pharmaceuticals, Inc. * (a)		1,676,920
	158,700	Viatris, Inc.		1,750,461
	43,800	Walgreens Boots Alliance, Inc. (a)		1,817,700
	20,248	Warner Bros Discovery, Inc. * (a)		230,827
	64,600	Wells Fargo & Co. (a)		3,097,570
	108,300	Western Union Co. (The) (a)		1,587,678

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	40,400	Western Digital Corp. *		1,484,700
	13,800	Westlake Corp.		1,485,570
	10,500	Whirlpool Corp.		1,538,565
	19,200	Zoom Video Communications, Inc. – Class A * (a)		1,448,256
		Total United States		184,791,120
		Vietnam — 0.3%
	228,600	Duc Giang Chemicals JSC		570,747
	718,700	Hoa Phat Group JSC		540,834
	305,600	Hoa Sen Group *		140,979
	110,400	IDICO Corp JSC		161,748
	362,100	Nam Kim Steel JSC		163,079
	7,900	PetroVietnam Technical Services Corp		6,817
	428,365	Saigon – Hanoi Commercial Joint Stock Bank *		177,756
	705,400	SSI Securities Corp		558,069
	153,300	Vietnam Dairy Products JSC		517,165
	419,100	Vietnam Joint Stock Commercial Bank for Industry and Trade		468,050
	54,800	Vinhomes JSC		121,846
	1,443,600	VNDirect Securities Corp		808,333
		Total Vietnam		4,235,423
		TOTAL COMMON STOCKS (COST $1,047,457,271)		917,468,112
		PREFERRED STOCKS (g) — 1.5%
		Brazil — 1.1%
	41,600	Banco do Estado do Rio Grande do Sul SA – Class B		79,924
	396,417	Bradespar SA		2,161,851
	311,500	Cia Energetica de Minas Gerais		689,107
	35,100	Cia Energetica de Minas Gerais Sponsored ADR (a)		76,869
	850,600	Cia Paranaense de Energia – Class B		1,324,414
	70,500	Gerdau SA		428,895
	110,067	Gerdau SA Sponsored ADR		671,409
	46,300	Itau Unibanco Holding SA		231,975
	302,200	Itau Unibanco Holding SA Sponsored ADR		1,504,956
	848,000	Petroleo Brasileiro SA		4,356,553
	255,500	Petroleo Brasileiro SA Sponsored ADR		2,618,875
	397	Unipar Carbocloro SA – Class B		7,435
		Total Brazil		14,152,263
		Colombia — 0.0%
	297,879	Grupo Aval Acciones y Valores SA		34,428
		Germany — 0.2%
	14,456	Bayerische Motoren Werke AG (a)		1,254,404
	2,245	Draegerwerk AG & Co KGaA (a)		101,754
	1,552	Villeroy & Boch AG		27,130
	7,307	Volkswagen AG (a)		1,079,322
		Total Germany		2,462,610

Shares / Par Value†		Description	Value ($)
		Russia — 0.0%
	12,924	Bashneft PJSC (e)		10,303
	56,000	Nizhnekamskneftekhim PJSC (e)		4,517
	20,810	Sberbank of Russia PJSC * (e) (f)		3,119
	9,254,300	Surgutneftegas PJSC (e)		263,473
	161	Transneft PJSC (e)		16,344
		Total Russia		297,756
		South Korea — 0.2%
	2,160	Hyundai Motor Co GDR (Registered)		66,977
	4,881	LG Electronics Inc		172,001
	25	LG H&H Co Ltd		5,298
	55,756	Samsung Electronics Co Ltd		2,397,600
	89	Samsung Electronics Co Ltd GDR (Registered) (a)		96,218
		Total South Korea		2,738,094
		Taiwan — 0.0%
	10,589	Chailease Holding Co Ltd		33,119
		TOTAL PREFERRED STOCKS (COST $24,556,145)		19,718,270
		RIGHTS/WARRANTS — 0.0%
		France — 0.0%
	20,633	ALD SA *		44,874
		TOTAL RIGHTS/WARRANTS (COST $0)		44,874
		DEBT OBLIGATIONS — 15.8%
		United States — 15.8%
		Asset-Backed Securities — 0.0%
	2,571,735	Crest G-Star LP, Series 2001-1A, Class D, 144A, 9.00%, due 11/28/35 (h)		2
		U.S. Government — 15.8%
	82,400,000	U.S. Treasury Note, 0.13%, due 04/30/23		80,864,657
	7,000,000	U.S. Treasury Note, 0.13%, due 05/31/23		6,846,328
	13,700,000	U.S. Treasury Note, 0.13%, due 06/30/23		13,336,629
	1,000,000	U.S. Treasury Note, 0.13%, due 07/31/23		969,883
	43,725,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 10/31/23		43,757,858
	32,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24		31,943,844
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 (a)		29,961,756
		Total U.S. Government		207,680,955
		Total United States		207,680,957
		TOTAL DEBT OBLIGATIONS (COST $210,510,240)		207,680,957

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			MUTUAL FUNDS — 22.4%
			United States — 22.4%
			Affiliated Issuers — 22.4%
	2,800,923		GMO Emerging Country Debt Fund, Class VI		53,357,590
	3,533,772		GMO High Yield Fund, Class VI		63,183,843
	2,847,952		GMO Opportunistic Income Fund, Class VI		69,433,055
	1,831,428		GMO Resources Fund		51,188,418
	1,794,827		GMO SGM Major Markets Fund, Class VI		49,088,520
	1,657,998		GMO U.S. Treasury Fund (i)		8,256,829
			Total Affiliated Issuers		294,508,255
			TOTAL MUTUAL FUNDS (COST $323,050,932)		294,508,255
			SHORT-TERM INVESTMENTS — 10.4%
			Money Market Funds — 0.2%
	3,144,650		State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (j)		3,144,650
			Repurchase Agreements — 10.2%
	133,999,703		Nomura Securities International, Inc. Repurchase Agreement, dated 11/30/22, maturing on 12/01/22 with a maturity value of $134,013,847 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 11/30/24 and a market value of $136,734,306.		133,999,703
			TOTAL SHORT-TERM INVESTMENTS (COST $137,144,353)		137,144,353
			TOTAL INVESTMENTS — 119.7% (Cost $1,742,718,941)		1,576,564,821
			SECURITIES SOLD SHORT — (19.6)%
			Common Stocks — (19.5)%
			Australia — (0.5)%
	(33,231	)	ASX Ltd		(1,601,861	)
	(6,551	)	Cochlear Ltd		(963,511	)
	(3,164	)	Domino’s Pizza Enterprises Ltd		(144,910	)
	(42,664	)	IDP Education Ltd		(878,384	)
	(14,050	)	Northern Star Resources Ltd		(102,870	)
	(406,727	)	Qantas Airways Ltd *		(1,746,742	)
	(15,246	)	Ramsay Health Care Ltd		(686,145	)
			Total Australia		(6,124,423	)
			Austria — (0.1)%
	(18,618	)	Verbund AG		(1,685,368	)
			Belgium — (0.1)%
	(31,099	)	Anheuser-Busch InBev SA/NV		(1,834,075	)

Shares			Description	Value ($)
			Canada — (1.2)%
	(26,900	)	Agnico Eagle Mines Ltd		(1,354,953	)
	(100,000	)	Algonquin Power & Utilities Corp		(755,000	)
	(78,600	)	AltaGas Ltd		(1,318,814	)
	(15,100	)	BCE Inc		(719,364	)
	(43,400	)	Brookfield Renewable Corp – Class A		(1,415,274	)
	(4,800	)	Cameco Corp		(117,024	)
	(41,800	)	Enbridge Inc		(1,725,922	)
	(11,800	)	Franco-Nevada Corp		(1,724,216	)
	(93,300	)	Pan American Silver Corp		(1,529,187	)
	(54,300	)	Pembina Pipeline Corp		(1,980,864	)
	(30,700	)	Restaurant Brands International Inc		(2,036,945	)
	(13,400	)	Ritchie Bros Auctioneers Inc		(734,990	)
			Total Canada		(15,412,553	)
			Denmark — (0.1)%
	(2,474	)	Coloplast A/S – Class B		(292,468	)
	(28,496	)	Tryg A/S		(662,991	)
			Total Denmark		(955,459	)
			Finland — (0.0)%
	(5,949	)	Elisa Oyj		(309,450	)
			France — (0.7)%
	(56,459	)	Accor SA *		(1,487,139	)
	(10,985	)	Aeroports de Paris *		(1,693,201	)
	(2,709	)	Euronext NV		(207,235	)
	(106,747	)	Getlink SE		(1,764,036	)
	(1,320	)	Hermes International		(2,145,367	)
	(1,721	)	Sartorius Stedim Biotech		(587,383	)
	(7,165	)	Ubisoft Entertainment SA *		(199,317	)
	(7,186	)	Wendel SE		(669,116	)
			Total France		(8,752,794	)
			Germany — (0.7)%
	(180	)	Carl Zeiss Meditec AG		(24,540	)
	(43,232	)	Delivery Hero SE *		(1,892,380	)
	(9,066	)	Deutsche Boerse AG		(1,666,099	)
	(3,557	)	MTU Aero Engines AG		(750,040	)
	(1,241	)	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		(391,978	)
	(12,721	)	Puma SE		(658,358	)
	(2,828	)	QIAGEN NV *		(141,188	)
	(1,450	)	Rational AG		(911,041	)
	(3,144	)	Scout24 SE		(172,568	)
	(14,560	)	Symrise AG – Class A		(1,669,868	)
	(510,353	)	Telefonica Deutschland Holding AG		(1,220,637	)
	(4,025	)	United Internet AG		(85,570	)
	(8,276	)	Zalando SE *		(260,304	)
			Total Germany		(9,844,571	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			Ireland — (0.0)%
	(1,749	)	Flutter Entertainment Plc *		(260,422	)
			Israel — (0.2)%
	(12,400	)	CyberArk Software Ltd *		(1,848,468	)
	(5,900	)	Wix.com Ltd *		(533,891	)
			Total Israel		(2,382,359	)
			Italy — (0.6)%
	(50,192	)	Amplifon SPA		(1,421,794	)
	(7,808	)	Ferrari NV (d)		(1,742,760	)
	(3,000	)	Ferrari NV (d)		(669,150	)
	(131,536	)	FinecoBank Banca Fineco SPA		(2,136,369	)
	(149,718	)	Infrastrutture Wireless Italiane SPA		(1,493,253	)
			Total Italy		(7,463,326	)
			Japan — (2.2)%
	(56,100	)	Aeon Co Ltd		(1,157,775	)
	(83,300	)	ANA Holdings Inc *		(1,793,601	)
	(58,100	)	Asahi Intecc Co Ltd		(1,040,039	)
	(400	)	Fast Retailing Co Ltd		(237,856	)
	(18,800	)	GMO Payment Gateway Inc		(1,702,137	)
	(1,200	)	Hoya Corp		(124,176	)
	(82,100	)	Japan Airlines Co Ltd *		(1,641,110	)
	(44,900	)	Japan Exchange Group Inc		(650,114	)
	(31,200	)	Keio Corp		(1,168,836	)
	(17,700	)	Keisei Electric Railway Co Ltd		(507,078	)
	(6,600	)	Kintetsu Group Holdings Co Ltd		(235,892	)
	(10,500	)	Lasertec Corp		(1,979,270	)
	(58,500	)	M3 Inc		(1,834,722	)
	(106,800	)	MonotaRO Co Ltd		(1,847,669	)
	(20,700	)	Nidec Corp		(1,303,532	)
	(81,200	)	Nihon M&A Center Holdings Inc		(1,111,683	)
	(138,700	)	Nippon Paint Holdings Co Ltd		(1,148,678	)
	(7,800	)	Nissin Foods Holdings Co Ltd		(594,399	)
	(79,000	)	Odakyu Electric Railway Co Ltd		(1,042,832	)
	(12,100	)	Oriental Land Co Ltd		(1,749,061	)
	(323,600	)	Rakuten Group Inc		(1,554,759	)
	(19,100	)	Shiseido Co Ltd		(815,760	)
	(32,000	)	Tobu Railway Co Ltd		(772,526	)
	(72,700	)	Tokyu Corp		(928,459	)
	(36,500	)	West Japan Railway Co		(1,554,888	)
			Total Japan		(28,496,852	)
			Netherlands — (0.5)%
	(1,157	)	Adyen NV *		(1,822,644	)
	(10,866	)	IMCD NV		(1,607,127	)
	(48,697	)	Just Eat Takeaway.com NV *		(1,128,221	)
	(4,509	)	OCI NV		(190,884	)
	(85,149	)	Universal Music Group NV		(2,024,909	)
			Total Netherlands		(6,773,785	)

Shares			Description	Value ($)
			New Zealand — (0.1)%
	(32,072	)	Xero Ltd *		(1,593,827	)
			Norway — (0.1)%
	(51,081	)	Aker BP ASA		(1,777,121	)
			Peru — (0.1)%
	(31,220	)	Southern Copper Corp		(1,905,044	)
			Russia — (0.0)%
	(1,138	)	Magnit PJSC (e)		(6,259	)
			Singapore — (0.2)%
	(168,000	)	Grab Holdings Ltd – Class A *		(507,360	)
	(153,000	)	Singapore Airlines Ltd		(620,731	)
	(161,700	)	Singapore Exchange Ltd		(1,082,322	)
			Total Singapore		(2,210,413	)
			Spain — (0.3)%
	(49,210	)	Cellnex Telecom SA *		(1,692,259	)
	(81,470	)	Ferrovial SA		(2,190,912	)
			Total Spain		(3,883,171	)
			Sweden — (0.2)%
	(8,140	)	EQT AB		(186,838	)
	(17,805	)	Evolution AB		(1,833,985	)
			Total Sweden		(2,020,823	)
			Switzerland — (0.3)%
	(2	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(205,978	)
	(16	)	Givaudan SA		(54,091	)
	(1,517	)	Partners Group Holding AG		(1,511,492	)
	(2,061	)	Sika AG (Registered)		(526,710	)
	(11,856	)	Straumann Holding AG (Registered)		(1,383,730	)
			Total Switzerland		(3,682,001	)
			United Kingdom — (1.0)%
	(17,037	)	Admiral Group Plc		(416,520	)
	(210,889	)	Auto Trader Group Plc		(1,455,832	)
	(495	)	Croda International Plc		(40,934	)
	(19,026	)	Halma Plc		(504,690	)
	(104,148	)	Hargreaves Lansdown Plc		(1,073,087	)
	(296,710	)	Informa Plc		(2,225,116	)
	(20,585	)	InterContinental Hotels Group Plc		(1,198,112	)
	(21,377	)	London Stock Exchange Group Plc		(2,140,596	)
	(176,230	)	Ocado Group Plc *		(1,334,192	)
	(5,349	)	Prudential Plc		(63,626	)
	(1,910,590	)	Rolls-Royce Holdings Plc *		(2,117,026	)
	(4,608	)	Spirax-Sarco Engineering Plc		(629,321	)
			Total United Kingdom		(13,199,052	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			United States — (10.3)%
	(300	)	AbbVie, Inc.		(48,354	)
	(75,500	)	AES Corp. (The)		(2,183,460	)
	(700	)	Albemarle Corp.		(194,593	)
	(9,400	)	Alnylam Pharmaceuticals, Inc. *		(2,073,546	)
	(31,900	)	Altria Group, Inc.		(1,485,902	)
	(4,200	)	American Tower Corp. (REIT)		(929,250	)
	(1,700	)	Amgen, Inc.		(486,880	)
	(5,500	)	Aon Plc – Class A		(1,695,540	)
	(44,200	)	Aramark		(1,838,720	)
	(10,000	)	Arthur J Gallagher & Co.		(1,991,100	)
	(7,300	)	Autodesk, Inc. *		(1,474,235	)
	(3,600	)	Automatic Data Processing, Inc.		(950,904	)
	(13,800	)	Bill.Com Holdings, Inc. *		(1,661,796	)
	(8,300	)	BioMarin Pharmaceutical, Inc. *		(838,134	)
	(17,600	)	Bio-Techne Corp.		(1,495,824	)
	(11,900	)	Boeing Co. (The) *		(2,128,672	)
	(3,600	)	Broadcom, Inc.		(1,983,708	)
	(3,100	)	Brown & Brown, Inc.		(184,729	)
	(11,800	)	Burlington Stores, Inc. *		(2,309,024	)
	(39,400	)	Caesars Entertainment, Inc. *		(2,001,914	)
	(1,700	)	Catalent, Inc. *		(85,221	)
	(30,400	)	Ceridian HCM Holding, Inc. *		(2,080,576	)
	(1,000	)	Charles Schwab Corp. (The)		(82,540	)
	(1,300	)	Chipotle Mexican Grill, Inc. – Class A *		(2,115,048	)
	(34,400	)	Cloudflare, Inc. – Class A *		(1,690,416	)
	(7,400	)	CME Group, Inc.		(1,306,100	)
	(32,900	)	Coupa Software, Inc. *		(2,080,596	)
	(6,300	)	Crown Castle, Inc. (REIT)		(891,009	)
	(50,300	)	Delta Air Lines, Inc. *		(1,779,111	)
	(17,500	)	Dexcom, Inc. *		(2,034,900	)
	(12,400	)	Diamondback Energy, Inc.		(1,835,448	)
	(19,500	)	Dominion Energy, Inc.		(1,191,645	)
	(3,700	)	Dynatrace, Inc. *		(143,375	)
	(12,900	)	Equity LifeStyle Properties, Inc. (REIT)		(856,818	)
	(500	)	Erie Indemnity Co. – Class A		(141,195	)
	(15,000	)	Essential Utilities, Inc.		(723,600	)
	(45,200	)	Exact Sciences Corp. *		(2,031,740	)
	(500	)	Extra Space Storage, Inc. (REIT)		(80,345	)
	(200	)	Fair Isaac Corp. *		(123,944	)
	(32,200	)	Fastenal Co.		(1,658,622	)
	(29,400	)	Fortinet, Inc. *		(1,562,904	)
	(5,000	)	Gartner, Inc. *		(1,751,850	)
	(26,200	)	Guidewire Software, Inc. *		(1,553,922	)
	(9,000	)	Hess Corp.		(1,295,190	)
	(5,300	)	HubSpot, Inc. *		(1,606,059	)
	(4,600	)	IDEXX Laboratories, Inc. *		(1,959,002	)
	(29,600	)	Ingersoll Rand, Inc.		(1,597,512	)
	(6,800	)	Insulet Corp. *		(2,035,716	)
	(8,900	)	IQVIA Holdings, Inc. *		(1,940,378	)
	(20,500	)	Iron Mountain, Inc. (REIT)		(1,113,765	)
	(32,300	)	Liberty Media Corp.-Liberty Formula One – Class C *		(1,968,362	)

Shares			Description	Value ($)
			United States — continued
	(5,900	)	Linde Plc *		(1,985,232	)
	(20,700	)	Live Nation Entertainment, Inc. *		(1,506,132	)
	(700	)	LPL Financial Holdings, Inc.		(165,697	)
	(6,300	)	MarketAxess Holdings, Inc.		(1,687,896	)
	(4,400	)	Marriott International, Inc. – Class A		(727,540	)
	(9,000	)	Marsh & McLennan Cos., Inc.		(1,558,620	)
	(300	)	Mastercard, Inc. – Class A		(106,920	)
	(3,500	)	McDonald’s Corp.		(954,765	)
	(2,500	)	McKesson Corp.		(954,200	)
	(9,700	)	MongoDB, Inc. – Class A *		(1,481,093	)
	(3,200	)	Monolithic Power Systems, Inc.		(1,222,272	)
	(3,000	)	Moody’s Corp.		(894,810	)
	(300	)	Motorola Solutions, Inc.		(81,660	)
	(3,900	)	MSCI, Inc. – Class A		(1,980,537	)
	(26,700	)	Newmont Corp.		(1,267,449	)
	(55,600	)	NiSource, Inc.		(1,553,464	)
	(24,700	)	Novocure Ltd. *		(1,897,948	)
	(31,200	)	Okta, Inc. *		(1,663,584	)
	(27,800	)	ONEOK, Inc.		(1,860,376	)
	(176,100	)	Palantir Technologies, Inc. – Class A *		(1,320,750	)
	(200	)	Palo Alto Networks, Inc. *		(33,980	)
	(12,700	)	Paychex, Inc.		(1,575,181	)
	(15,200	)	Philip Morris International, Inc.		(1,514,984	)
	(6,800	)	PTC, Inc. *		(865,028	)
	(1,000	)	Public Storage (REIT)		(297,960	)
	(42,500	)	ROBLOX Corp. – Class A *		(1,350,225	)
	(28,100	)	Roku, Inc. *		(1,668,297	)
	(46,700	)	Rollins, Inc.		(1,888,548	)
	(35,500	)	Royal Caribbean Cruises Ltd. *		(2,127,515	)
	(3,400	)	S&P Global, Inc.		(1,199,520	)
	(11,800	)	Seagen, Inc. *		(1,432,402	)
	(4,100	)	ServiceNow, Inc. *		(1,706,830	)
	(7,200	)	Sherwin-Williams Co. (The)		(1,794,096	)
	(7,800	)	Simon Property Group, Inc. (REIT)		(931,632	)
	(37,100	)	Snap, Inc. – Class A *		(382,501	)
	(9,800	)	Snowflake, Inc. – Class A *		(1,400,420	)
	(17,500	)	Starbucks Corp.		(1,788,500	)
	(19,500	)	Sysco Corp.		(1,686,945	)
	(58,600	)	Teladoc Health, Inc. *		(1,670,686	)
	(7,700	)	Tesla, Inc. *		(1,499,190	)
	(3,400	)	T-Mobile U.S., Inc. *		(514,964	)
	(31,000	)	Trade Desk, Inc. (The) – Class A *		(1,616,340	)
	(2,700	)	TransDigm Group, Inc.		(1,696,950	)
	(32,900	)	Twilio, Inc. – Class A *		(1,612,758	)
	(61,100	)	Uber Technologies, Inc. *		(1,780,454	)
	(20,700	)	UDR, Inc. (REIT)		(858,429	)
	(6,700	)	Vail Resorts, Inc.		(1,725,518	)
	(3,400	)	Vulcan Materials Co.		(623,322	)
	(62,400	)	Williams Cos., Inc. (The)		(2,165,280	)
	(500	)	Yum! Brands, Inc.		(64,330	)
	(14,956	)	Zillow Group, Inc. – Class C *		(568,029	)
	(600	)	Zoetis, Inc.		(92,484	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(11,100	)	Zscaler, Inc. *		(1,481,295	)
			Total United States		(135,758,732	)
			TOTAL COMMON STOCKS (PROCEEDS $281,534,479)		(256,331,880	)
			PREFERRED STOCKS (g) — (0.1)%
			Germany — (0.1)%
	(4,129	)	Sartorius AG		(1,552,325	)
			TOTAL PREFERRED STOCKS (PROCEEDS $1,689,655)		(1,552,325	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $283,224,134)		(257,884,205	)
			Other Assets and Liabilities (net) — (0.1%)		(1,326,372	)
			TOTAL NET ASSETS — 100.0%		$1,317,354,244

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, 2022
Alrosa PJSC	12/06/17	$	4,239,436	0.0%	$	226,235
Magnitogorsk Iron & Steel Works PJSC	09/08/17		1,550,653	0.0%		66,782
PhosAgro PJSC GDR	12/03/20		1,365	0.0%		165
Sberbank of Russia PJSC	09/09/20		12,774,954	0.0%		571,653
Sberbank of Russia PJSC	01/10/22		77,024	0.0%		3,119
Severstal PAO	02/02/21		7,249	0.0%		384
Severstal PJSC GDR (Registered)	03/16/20		1,679,360	0.0%		82,549
					$	950,887

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
02/16/2023	JPM	CHF	3,422,004	USD	3,652,721		2,398
01/18/2023	JPM	CZK	25,105,948	USD	1,072,629		1,892
01/31/2023	SSB	EUR	4,230,000	USD	4,432,744		9,989
02/08/2023	MSCI	SEK	17,700,000	USD	1,702,635		9,281
02/09/2023	JPM	USD	1,520,009	AUD	2,260,000		18,437
12/02/2022	MSCI	USD	2,022,561	BRL	10,846,468		67,579
12/02/2022	GS	USD	151,451	BRL	800,000		2,711
02/02/2023	MSCI	USD	976,525	BRL	5,323,234		37,144
12/02/2022	CITI	USD	188,890	BRL	1,000,000		3,813
02/02/2023	MSCI	USD	4,209,083	CAD	5,729,172		54,067
02/02/2023	BCLY	USD	1,490,883	CAD	2,010,000		4,783

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
01/12/2023	MSCI	USD	308,080	CLP	290,000,000		15,452
02/21/2023	MSCI	USD	567,360	GBP	480,000		12,585
02/16/2023	MSCI	USD	195,193	HUF	79,127,316		1,863
02/16/2023	CITI	USD	147,658	HUF	60,000,000		1,764
02/03/2023	JPM	USD	1,061,104	IDR	16,659,337,000		2,165
01/17/2023	MSCI	USD	3,990,555	JPY	579,997,183		235,299
01/24/2023	MSCI	USD	1,114,902	MXN	22,770,191		54,424
01/18/2023	MSCI	USD	4,315,102	NOK	45,290,448		291,729
01/12/2023	MSCI	USD	378,563	PEN	1,520,000		16,343
12/02/2022	CITI	USD	183,849	PHP	10,500,000		1,794
12/02/2022	JPM	USD	121,975	PHP	7,000,000		1,788

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
12/02/2022	BCLY	USD	276,383	PHP	15,632,240		0
12/05/2022	SSB	USD	50,595	PHP	2,860,107		45
02/21/2023	BCLY	USD	86,043	PLN	400,000		1,928
02/08/2023	MSCI	USD	1,641,369	SEK	17,906,846		71,774
02/08/2023	BCLY	USD	537,011	SEK	5,700,000		8,306
02/21/2023	GS	USD	94,725	SGD	130,000		890
02/21/2023	MSCI	USD	93,464	THB	3,300,000		906
02/06/2023	CITI	USD	108,587	TWD	3,300,000		500
12/02/2022	CITI	BRL	1,000,000	USD	184,159		(8,544	)
12/02/2022	MSCI	BRL	10,846,468	USD	2,031,994		(58,145	)
12/02/2022	GS	BRL	800,000	USD	151,111		(3,051	)
02/16/2023	JPM	CHF	900,000	USD	954,740		(5,309	)
01/12/2023	MSCI	CLP	235,887,500	USD	243,900		(19,263	)
02/21/2023	BCLY	GBP	480,000	USD	574,352		(5,593	)
02/03/2023	MSCI	IDR	2,000,000,000	USD	126,822		(826	)
02/28/2023	JPM	ILS	1,383,563	USD	404,137		(3,626	)
02/23/2023	MSCI	INR	79,049,384	USD	960,456		(6,450	)
02/03/2023	JPM	KRW	1,127,005,899	USD	790,809		(74,279	)
02/28/2023	MSCI	NZD	3,640,000	USD	2,263,789		(32,943	)
01/12/2023	MSCI	PEN	560,000	USD	139,096		(6,396	)
12/02/2022	JPM	PHP	33,132,240	USD	570,803		(14,987	)
02/01/2023	BCLY	PHP	15,632,240	USD	275,993		(773	)
02/21/2023	MSCI	PLN	1,274,008	USD	274,778		(5,411	)
02/27/2023	BCLY	RON	4,234,153	USD	880,499		(8,558	)
02/08/2023	BCLY	SEK	7,400,000	USD	704,208		(3,747	)
02/21/2023	MSCI	SGD	771,598	USD	560,180		(7,328	)
02/21/2023	BCLY	THB	30,239,025	USD	853,246		(11,499	)
02/06/2023	BCLY	TWD	34,626,001	USD	1,081,860		(62,758	)
02/02/2023	JPM	USD	939,265	CAD	1,260,000		(1,683	)
01/12/2023	MSCI	USD	1,148,621	COP	5,381,955,400		(41,492	)
02/16/2023	BOA	USD	75,379	HUF	30,000,000		(668	)
						$	548,320

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
162	S&P 500 E-Mini	December 2022	$	33,058,125	$	169,850

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.86%	3 Month AUD BBSW	AUD	12,310,000		12/21/2024	Quarterly		(9,409	)		(32,311	)		(22,902	)
3.91%	3 Month AUD BBSW	AUD	6,500,000		12/21/2024	Quarterly		—			(21,234	)		(21,234	)
4.08%	3 Month CAD CDOR	CAD	21,713,000		12/21/2024	Semi-Annually		(443	)		87,022			87,465
4.25%	3 Month CAD CDOR	CAD	3,500,000		12/21/2024	Semi-Annually		—			5,832			5,832
3 Month CAD CDOR	4.15%	CAD	9,500,000		12/21/2024	Semi-Annually		—			(29,077	)		(29,077	)
CHF - SARON - OIS - COMPOUND	1.39%	CHF	4,500,000		12/21/2024	Semi-Annually		—			15,427			15,427
CHF - SARON - OIS - COMPOUND	1.74%	CHF	10,500,000		12/21/2024	Semi-Annually		—			113,288			113,288
1.81%	CHF - SARON - OIS - COMPOUND	CHF	24,142,000		12/21/2024	Semi-Annually		(1,940	)		(296,935	)		(294,995	)
1.40%	CHF - SARON - OIS - COMPOUND	CHF	3,500,000		12/21/2024	Semi-Annually		—			(12,369	)		(12,369	)
EUR - EuroSTR - COMPOUND	2.59%	EUR	9,000,000		12/21/2024	Annually		—			(9,906	)		(9,906	)
EUR - EuroSTR - COMPOUND	2.64%	EUR	3,000,000		12/21/2024	Annually		—			(617	)		(617	)
2.14%	EUR - EuroSTR - COMPOUND	EUR	4,748,000		12/21/2024	Annually		1,154			49,509			48,355
2.94%	EUR - EuroSTR - COMPOUND	EUR	5,500,000		12/21/2024	Annually		—			(32,265	)		(32,265	)
GBP - SONIA - COMPOUND	3.96%	GBP	18,390,000		12/21/2024	Annually		(46,356	)		(175,352	)		(128,996	)
GBP - SONIA - COMPOUND	4.58%	GBP	3,000,000		12/21/2024	Annually		—			13,701			13,701
4.26%	GBP - SONIA - COMPOUND	GBP	5,500,000		12/21/2024	Annually		—			15,120			15,120
5.22%	GBP - SONIA - COMPOUND	GBP	4,500,000		12/21/2024	Annually		—			(86,091	)		(86,091	)
5.36%	GBP - SONIA - COMPOUND	GBP	4,000,000		12/21/2024	Annually		—			(89,210	)		(89,210	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (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 SEK STIBOR		3.29%	SEK	165,657,000		12/21/2024	Quarterly		34,087			27,535			(6,552	)
3 Month SEK STIBOR		3.45%	SEK	35,000,000		12/21/2024	Quarterly		—			15,730			15,730
USD - SOFR - COMPOUND		4.59%	USD	4,500,000		12/21/2024	Semi-Annually		—			17,151			17,151
3.58%		USD -SOFR - COMPOUND	USD	3,466,000		12/21/2024	Semi-Annually		1,165			53,111			51,946
4.47%		USD -SOFR - COMPOUND	USD	7,000,000		12/21/2024	Semi-Annually		—			(11,661	)		(11,661	)
6 Month AUD BBSW		4.14%	AUD	1,500,000		12/21/2032	Semi-Annually		—			(1,426	)		(1,426	)
6 Month AUD BBSW		4.19%	AUD	1,500,000		12/21/2032	Semi-Annually		—			2,695			2,695
6 Month AUD BBSW		4.21%	AUD	1,900,000		12/21/2032	Semi-Annually		—			5,787			5,787
6 Month AUD BBSW		4.25%	AUD	5,846,000		12/21/2032	Semi-Annually		13,688			30,037			16,349
6 Month AUD BBSW		4.25%	AUD	2,777,000		12/21/2032	Semi-Annually		6,502			14,269			7,767
6 Month AUD BBSW		4.29%	AUD	1,900,000		12/21/2032	Semi-Annually		—			14,540			14,540
6 Month AUD BBSW		4.57%	AUD	4,100,000		12/21/2032	Semi-Annually		—			94,980			94,980
6 Month AUD BBSW		4.73%	AUD	4,800,000		12/21/2032	Semi-Annually		—			153,690			153,690
4.48%		6 Month AUD BBSW	AUD	3,300,000		12/21/2032	Semi-Annually		—			(59,047	)		(59,047	)
3.71%		3 Month CAD CDOR	CAD	8,634,000		12/21/2032	Semi-Annually		(3,921	)		(128,150	)		(124,229	)
3.66%		3 Month CAD CDOR	CAD	1,100,000		12/21/2032	Semi-Annually		—			(12,927	)		(12,927	)
3.55%		3 Month CAD CDOR	CAD	3,400,000		12/21/2032	Semi-Annually		—			(16,738	)		(16,738	)
3.57%		3 Month CAD CDOR	CAD	1,700,000		12/21/2032	Semi-Annually		—			(10,112	)		(10,112	)
3.65%		3 Month CAD CDOR	CAD	3,200,000		12/21/2032	Semi-Annually		—			(35,990	)		(35,990	)
3.68%		3 Month CAD CDOR	CAD	2,200,000		12/21/2032	Semi-Annually		—			(29,323	)		(29,323	)
3 Month CAD CDOR		3.41%	CAD	2,000,000		12/21/2032	Semi-Annually		—			(7,470	)		(7,470	)
3 Month CAD CDOR		3.57%	CAD	2,200,000		12/21/2032	Semi-Annually		—			13,155			13,155
3 Month CAD CDOR		3.59%	CAD	1,000,000		12/21/2032	Semi-Annually		—			7,430			7,430
3 Month CAD CDOR		3.63%	CAD	1,600,000		12/21/2032	Semi-Annually		—			15,875			15,875
3 Month CAD CDOR		3.71%	CAD	4,750,000		12/21/2032	Semi-Annually		3,875			70,505			66,630
3 Month CAD CDOR		3.79%	CAD	3,200,000		12/21/2032	Semi-Annually		—			63,443			63,443
3 Month CAD CDOR		3.84%	CAD	3,500,000		12/21/2032	Semi-Annually		—			81,975			81,975
3 Month CAD CDOR		3.97%	CAD	1,600,000		12/21/2032	Semi-Annually		—			50,595			50,595
3 Month CAD CDOR		4.04%	CAD	2,500,000		12/21/2032	Semi-Annually		—			89,542			89,542
CHF - SARON -OIS - COMPOUND		1.85%	CHF	700,000		12/21/2032	Semi-Annually		(3,269	)		13,865			17,134
CHF -  SARON - OIS - COMPOUND		1.86%	CHF	9,192,000		12/21/2032	Semi-Annually		—			193,410			193,410
CHF - SARON - OIS -  COMPOUND		1.93%	CHF	1,900,000		12/21/2032	Semi-Annually		—			52,726			52,726
CHF - SARON - OIS -  COMPOUND		2.05%	CHF	5,258,000		12/21/2032	Semi-Annually		3,447			207,648			204,201
CHF - SARON - OIS -  COMPOUND		2.18%	CHF	1,100,000		12/21/2032	Semi-Annually		4,693			57,007			52,314
CHF - SARON - OIS -  COMPOUND		2.20%	CHF	2,200,000		12/21/2032	Semi-Annually		(1,901	)		119,442			121,343
CHF - SARON - OIS -  COMPOUND		2.27%	CHF	1,400,000		12/21/2032	Semi-Annually		—			86,023			86,023
2.01%		CHF - SARON - OIS - COMPOUND	CHF	1,700,000		12/21/2032	Semi-Annually		—			(59,588	)		(59,588	)
2.19%		CHF - SARON - OIS - COMPOUND	CHF	2,200,000		12/21/2032	Semi-Annually		3,765			(117,423	)		(121,188	)
2.24%		CHF - SARON - OIS - COMPOUND	CHF	1,300,000		12/21/2032	Semi-Annually		—			(75,389	)		(75,389	)
2.18%		CHF - SARON - OIS - COMPOUND	CHF	1,000,000		12/21/2032	Semi-Annually		(4,891	)		(52,506	)		(47,615	)
2.11%		CHF - SARON - OIS - COMPOUND	CHF	800,000		12/21/2032	Semi-Annually		—			(35,935	)		(35,935	)
1.98%		CHF - SARON - OIS - COMPOUND	CHF	1,700,000		12/21/2032	Semi-Annually		—			(54,975	)		(54,975	)
1.85%		CHF - SARON - OIS - COMPOUND	CHF	1,700,000		12/21/2032	Semi-Annually		10,366			(33,422	)		(43,788	)
EUR - EuroSTR -  COMPOUND		2.21%	EUR	1,109,000		12/21/2032	Annually		673			(20,799	)		(21,472	)
EUR - EuroSTR -  COMPOUND		2.48%	EUR	1,600,000		12/21/2032	Annually		—			10,355			10,355
EUR - EuroSTR - COMPOUND		2.89%	EUR	1,200,000		12/21/2032	Annually		—			52,702			52,702
EUR - EuroSTR - COMPOUND		2.94%	EUR	8,108,000		12/21/2032	Annually		2,864			392,116			389,252
EUR - EuroSTR - COMPOUND		3.12%	EUR	1,300,000		12/21/2032	Annually		—			84,713			84,713
2.82%		EUR - EuroSTR - COMPOUND	EUR	1,200,000		12/21/2032	Annually		—			(44,981	)		(44,981	)
2.80%		EUR - EuroSTR - COMPOUND	EUR	580,000		12/21/2032	Annually		—			(20,533	)		(20,533	)
2.80%		EUR - EuroSTR - COMPOUND	EUR	1,500,000		12/21/2032	Annually		—			(53,449	)		(53,449	)
2.41%		EUR - EuroSTR - COMPOUND	EUR	1,900,000		12/21/2032	Annually		—			(336	)		(336	)
2.75%		EUR - EuroSTR - COMPOUND	EUR	620,000		12/21/2032	Annually		—			(19,366	)		(19,366	)
2.69%		EUR - EuroSTR - COMPOUND	EUR	2,400,000		12/21/2032	Annually		—			(62,079	)		(62,079	)
2.70%		EUR -EuroSTR - COMPOUND	EUR	700,000		12/21/2032	Annually		—			(18,430	)		(18,430	)
2.55%		EUR -EuroSTR - COMPOUND	EUR	3,200,000		12/21/2032	Annually		—			(40,854	)		(40,854	)
2.63%		EUR -EuroSTR - COMPOUND	EUR	1,500,000		12/21/2032	Annually		—			(29,704	)		(29,704	)
GBP - SONIA - COMPOUND		3.30%	GBP	1,000,000		12/21/2032	Annually		—			(7,036	)		(7,036	)
GBP - SONIA - COMPOUND		3.52%	GBP	1,200,000		12/21/2032	Annually		—			16,799			16,799

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (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) ($)
GBP - SONIA - COMPOUND	4.12%	GBP	900,000		12/21/2032	Annually		—			66,575			66,575
GBP - SONIA - COMPOUND	4.33%	GBP	1,700,000		12/21/2032	Annually		—			161,935			161,935
GBP - SONIA -  COMPOUND	4.65%	GBP	1,000,000		12/21/2032	Annually		—			126,784			126,784
3.96%	GBP - SONIA - COMPOUND	GBP	3,940,000		12/21/2032	Annually		26,344			72,198			45,854
3.96%	GBP - SONIA - COMPOUND	GBP	1,400,000		12/21/2032	Annually		—			(81,491	)		(81,491	)
3.93%	GBP - SONIA - COMPOUND	GBP	680,000		12/21/2032	Annually		—			(37,857	)		(37,857	)
3.90%	GBP - SONIA - COMPOUND	GBP	720,000		12/21/2032	Annually		—			(37,363	)		(37,363	)
3.79%	GBP - SONIA - COMPOUND	GBP	1,600,000		12/21/2032	Annually		—			(66,240	)		(66,240	)
3.76%	GBP - SONIA - COMPOUND	GBP	700,000		12/21/2032	Annually		—			(26,682	)		(26,682	)
4.28%	3 Month NZD Bank Bill Rate	NZD	5,980,000		12/21/2032	Quarterly		(39,708	)		33,854			73,562
4.82%	3 Month NZD Bank Bill Rate	NZD	3,100,000		12/21/2032	Quarterly		—			(66,444	)		(66,444	)
4.75%	3 Month NZD Bank Bill Rate	NZD	2,200,000		12/21/2032	Quarterly		—			(39,064	)		(39,064	)
3 Month NZD Bank Bill Rate	4.21%	NZD	2,900,000		12/21/2032	Quarterly		—			(27,934	)		(27,934	)
3 Month NZD Bank Bill Rate	4.45%	NZD	3,500,000		12/21/2032	Quarterly		—			9,779			9,779
3 Month NZD Bank Bill Rate	4.52%	NZD	3,100,000		12/21/2032	Quarterly		—			19,825			19,825
3 Month NZD Bank Bill Rate	4.76%	NZD	2,730,000		12/21/2032	Quarterly		—			50,552			50,552
3 Month NZD Bank Bill Rate	4.86%	NZD	2,570,000		12/21/2032	Quarterly		—			60,624			60,624
3 Month SEK STIBOR	2.69%	SEK	23,000,000		12/21/2032	Quarterly		—			(5,726	)		(5,726	)
3.28%	3 Month SEK STIBOR	SEK	17,000,000		12/21/2032	Quarterly		—			(78,621	)		(78,621	)
3.17%	3 Month SEK STIBOR	SEK	25,000,000		12/21/2032	Quarterly		—			(93,071	)		(93,071	)
3.16%	3 Month SEK STIBOR	SEK	25,000,000		12/21/2032	Quarterly		—			(91,003	)		(91,003	)
2.91%	3 Month SEK STIBOR	SEK	37,000,000		12/21/2032	Quarterly		—			(57,379	)		(57,379	)
2.87%	3 Month SEK STIBOR	SEK	33,993,000		12/21/2032	Quarterly		(4,578	)		(42,168	)		(37,590	)
2.98%	3 Month SEK STIBOR	SEK	18,000,000		12/21/2032	Quarterly		—			(39,085	)		(39,085	)
3.08%	3 Month SEK STIBOR	SEK	16,000,000		12/21/2032	Quarterly		—			(47,981	)		(47,981	)
3.10%	3 Month SEK STIBOR	SEK	28,000,000		12/21/2032	Quarterly		—			(88,601	)		(88,601	)
3 Month SEK STIBOR	3.19%	SEK	26,000,000		12/21/2032	Quarterly		—			101,097			101,097
USD - SOFR - COMPOUND	3.08%	USD	3,400,000		12/21/2032	Semi-Annually		—			(81,396	)		(81,396	)
USD - SOFR - COMPOUND	3.13%	USD	765,000		12/21/2032	Semi-Annually		(1,027	)		(15,555	)		(14,528	)
USD - SOFR - COMPOUND	3.22%	USD	1,500,000		12/21/2032	Semi-Annually		—			(18,422	)		(18,422	)
USD - SOFR - COMPOUND	3.48%	USD	1,000,000		12/21/2032	Semi-Annually		—			8,981			8,981
USD - SOFR - COMPOUND	3.68%	USD	3,700,000		12/21/2032	Semi-Annually		—			95,455			95,455
USD - SOFR - COMPOUND	3.69%	USD	1,500,000		12/21/2032	Semi-Annually		—			41,026			41,026
USD - SOFR - COMPOUND	3.81%	USD	3,400,000		12/21/2032	Semi-Annually		—			124,504			124,504
3.13%	USD - SOFR - COMPOUND	USD	8,359,000		12/21/2032	Semi-Annually		4,452			165,830			161,378
3.79%	USD - SOFR - COMPOUND	USD	1,000,000		12/21/2032	Semi-Annually		—			(35,067	)		(35,067	)
3.70%	USD - SOFR - COMPOUND	USD	1,500,000		12/21/2032	Semi-Annually		—			(41,592	)		(41,592	)
3.72%	USD - SOFR - COMPOUND	USD	1,500,000		12/21/2032	Semi-Annually		—			(44,800	)		(44,800	)
3.91%	USD - SOFR - COMPOUND	USD	1,100,000		12/21/2032	Semi-Annually		—			(50,384	)		(50,384	)
3.44%	USD - SOFR - COMPOUND	USD	1,500,000		12/21/2032	Semi-Annually		—			(9,195	)		(9,195	)
							$	(368	)	$	479,632		$	480,000

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (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 Equity Basket (k)	1 Month Federal Funds Rate minus 0.75%	GS		USD	1	05/24/2024		Monthly		—		(3,770	)		(3,770	)
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	1	05/24/2024		Monthly		—		(1,101	)		(1,101	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate	MORD		USD	14,365,174	06/18/2024		Monthly		—		(451,060	)		(451,060	)
Total Return on Equity Basket (k)	1 Month Federal Funds Rate	GS		USD	5,656,494	06/24/2024		Monthly		—		(61,190	)		(61,190	)
									$	—	$	(517,121	)	$	(517,121	)

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

(c) Investment valued using significant unobservable inputs.

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

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

(f) The security is restricted as to resale.

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

(h) Security is in default.

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

(j) The rate disclosed is the 7 day net yield as of November 30, 2022.

(k) 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.

(l) The following table represents the individual long and/or short positions within the custom equity basket swap as of November 30, 2022:

Shares	Description	% of Equity Basket			Value ($)
(466,000)	Air China Ltd – Class H		2.5	%		(375,076	)
(929,800)	Airports of Thailand Pcl NVDR		13.4	%		(1,985,752	)
(418,000)	Alibaba Health Information Technology Ltd		2.4	%		(352,855	)
(1,014,000)	China Molybdenum Co Ltd – Class H		3.2	%		(475,039	)
(1,692)	Elisa Oyj		0.6	%		(88,013	)
(68,560)	Ganfeng Lithium Co Ltd – Class H		4.1	%		(606,686	)
(148,000)	Genscript Biotech Corp		2.6	%		(383,334	)
(964,600)	Gulf Energy Development Pcl NVDR		9.8	%		(1,458,949	)
(2,340)	Hanmi Pharm Co Ltd		3.2	%		(467,854	)
(1,800)	Hapvida Participacoes e Investimentos SA		0.0	%		(1,804	)
(19,103)	Hotel Shilla Co Ltd		7.2	%		(1,073,512	)
(11,818)	Kakao Corp		3.5	%		(518,531	)
(620,000)	Kingdee International Software Group Co Ltd		7.1	%		(1,046,262	)
(72,600)	Klabin SA		1.9	%		(275,607	)
(33,540)	Korea Aerospace Industries Ltd		8.4	%		(1,245,587	)
(400)	Lojas Renner SA		0.0	%		(1,784	)
(83,100)	Microport Scientific Corp		1.3	%		(199,698	)
4,262	Nokia Oyj		(0.1	%)		20,998
(880)	POSCO Chemical Co Ltd		1.0	%		(148,639	)
(2,510)	Samsung Biologics Co Ltd		11.5	%		(1,707,146	)
(237,080)	Samsung Heavy Industries Co Ltd		6.4	%		(948,497	)
(10,922)	Yuhan Corp		3.3	%		(488,208	)
(754,000)	Zijin Mining Group Co Ltd – Class H		6.7	%		(1,000,757	)
	TOTAL COMMON STOCKS				$	(14,828,592	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

The rates shown on variable rate notes are the current interest rates at November 30, 2022, 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.

CDOR - Canadian Dollar Offering Rate

CVA - Certificaaten van aandelen (Share Certificates)

EuroSTR - Euro Short-Term Rate

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

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)

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

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 - Brazil Real

CAD - Canada Dollar

CHF - Switzerland Franc

CLP - Chile Peso

COP - Colombia Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - United Kingdom Pound

HUF - Hungary Forint

IDR - Indonesia Rupiah

ILS - Israel Shekel

INR - Indian Rupee

JPY - Japan Yen

KRW - Korean Won

MXN - Mexico Peso

NOK - Norway Krone

NZD - New Zealand Dollar

PEN - Peru Nuevo Sol

PHP - Philippines Peso

PLN - Poland Zloty

RON - Romania New Leu

SEK - Sweden Krona

SGD - Singapore Dollar

THB - Thailand Baht

TWD - Taiwan New Dollar

USD - United States Dollar

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	2,766,256	GMO Alternative Allocation Fund, Class VI		49,875,588
	958,520	GMO Asset Allocation Bond Fund, Class VI		19,803,034
	534,599	GMO Emerging Country Debt Fund, Class VI		10,184,103
	1,814,731	GMO Emerging Markets ex-China Fund, Class VI		25,478,822
	1,237,619	GMO Emerging Markets Fund, Class VI		29,294,450
	412,268	GMO High Yield Fund, Class VI		7,371,357
	3,036,569	GMO International Equity Fund, Class IV		65,104,032
	893,107	GMO-Usonian Japan Value Creation Fund, Class VI		14,512,988
	2,351,702	GMO Multi-Sector Fixed Income Fund, Class IV		39,837,829
	427,330	GMO Opportunistic Income Fund, Class VI		10,418,308
	515,310	GMO Quality Cyclicals Fund, Class VI		11,846,985
	407,900	GMO Quality Fund, Class VI		10,695,143
	472,145	GMO Small Cap Quality Fund, Class VI		10,882,935
	2,816,147	GMO U.S. Equity Fund, Class VI		35,905,880
	618,299	GMO U.S. Small Cap Value Fund, Class VI		10,647,107
	30,315	GMO U.S. Treasury Fund		150,969
		TOTAL MUTUAL FUNDS (COST $408,417,789)		352,009,530
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	210,546	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (a)		210,546
		TOTAL SHORT-TERM INVESTMENTS (COST $210,546)		210,546
		TOTAL INVESTMENTS — 99.9% (Cost $408,628,335)		352,220,076
		Other Assets and Liabilities (net) — 0.1%		191,397
		TOTAL NET ASSETS — 100.0%		$352,411,473

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	472,778	GMO Emerging Markets ex-China Fund, Class VI		6,637,805
	1,548,126	GMO International Equity Fund, Class IV		33,191,826
	190,127	GMO-Usonian Japan Value Creation Fund, Class VI		3,089,557
	174,676	GMO Quality Cyclicals Fund, Class VI		4,015,805
	402,818	GMO Quality Fund, Class VI		10,561,893
	178,080	GMO Small Cap Quality Fund, Class VI		4,104,737
	1,257,353	GMO U.S. Equity Fund, Class VI		16,031,255
	234,727	GMO U.S. Small Cap Value Fund, Class VI		4,041,988
		TOTAL MUTUAL FUNDS (COST $82,437,275)		81,674,866
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	45,313	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (a)		45,313
		TOTAL SHORT-TERM INVESTMENTS (COST $45,313)		45,313
		TOTAL INVESTMENTS — 100.0% (Cost $82,482,588)		81,720,179
		Other Assets and Liabilities (net) — (0.0%)		(23,964	)
		TOTAL NET ASSETS — 100.0%		$81,696,215

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	9,667,336	GMO Emerging Markets ex-China Fund, Class VI		135,729,394
	7,069,153	GMO Emerging Markets Fund, Class VI		167,326,852
	21,957,820	GMO International Equity Fund, Class IV		470,775,660
	3,294,402	GMO-Usonian Japan Value Creation Fund, Class VI		53,534,036
	2,953,418	GMO Quality Cyclicals Fund, Class VI		67,899,075
	7,116,824	GMO Quality Fund, Class VI		186,603,111
	3,153,607	GMO Small Cap Quality Fund, Class VI		72,690,649
	11,422,235	GMO U.S. Equity Fund, Class VI		145,633,495
	3,783,860	GMO U.S. Small Cap Value Fund, Class VI		65,158,074
		TOTAL MUTUAL FUNDS (COST $1,501,665,042)		1,365,350,346
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	488,276	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (a)		488,276
		TOTAL SHORT-TERM INVESTMENTS (COST $488,276)		488,276
		TOTAL INVESTMENTS — 100.0% (Cost $1,502,153,318)		1,365,838,622
		Other Assets and Liabilities (net) — (0.0%)		(90,988	)
		TOTAL NET ASSETS — 100.0%		$1,365,747,634

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 80.2%
		Argentina — 0.0%
	154,985	Adecoagro SA		1,280,176
		Australia — 1.5%
	49,016	Accent Group Ltd		60,504
	655,803	Aurizon Holdings Ltd (a)		1,704,482
	96,471	Austal Ltd		160,674
	2,246,950	Beach Energy Ltd		2,708,813
	7,701	BHP Group Ltd (a)		239,157
	619,649	BlueScope Steel Ltd		7,468,583
	645,307	Brambles Ltd (a)		5,337,880
	4,366	Brickworks Ltd		67,028
	43,105	Challenger Ltd (b)		215,638
	729,437	Fortescue Metals Group Ltd (a)		9,708,562
	982,395	GPT Group (The) (REIT)		3,028,666
	355,838	GrainCorp Ltd – Class A		1,967,424
	548,337	Grange Resources Ltd		286,450
	310,059	Helia Group Ltd		573,125
	66,858	HomeCo Daily Needs (REIT)		60,873
	82,636	Incitec Pivot Ltd		226,291
	80,571	JB Hi-Fi Ltd (a) (b)		2,477,909
	449,614	Jupiter Mines Ltd		56,709
	17,168	McMillan Shakespeare Ltd		172,788
	469,488	Metcash Ltd (b)		1,342,564
	2,011,384	Mirvac Group (REIT)		3,086,507
	13,006	Monadelphous Group Ltd		122,263
	96,512	Mount Gibson Iron Ltd * (b)		30,315
	4,841	National Australia Bank Ltd (a)		104,197
	51,945	NRW Holdings Ltd		97,356
	183,278	Nufarm Ltd (b)		758,410
	479,081	Perenti Ltd *		361,432
	904	Premier Investments Ltd		15,800
	117,498	Rio Tinto Ltd (a)		8,771,769
	163,417	Sandfire Resources Ltd		565,634
	1,365,382	Scentre Group (REIT) (a)		2,784,953
	43,773	Sims Ltd		391,092
	79,010	Southern Cross Media Group Ltd		56,634
	1,147,261	Stockland (REIT)		2,995,353
	106,070	Sunrise Energy Metals Ltd *		147,561
	11,725	Super Retail Group Ltd		88,814
	351,076	Viva Energy Group Ltd		659,694
		Total Australia		58,901,904
		Austria — 0.1%
	38,015	OMV AG		2,017,520
	4,397	Strabag SE		183,392
		Total Austria		2,200,912
		Belgium — 0.5%
	2,657	Ackermans & van Haaren NV		422,319
	160,421	Ageas SA/NV		6,495,743

Shares		Description	Value ($)
		Belgium — continued
	20,043	AGFA-Gevaert NV *		57,955
	33,831	Bekaert SA		1,208,066
	3,217	Cie d’Entreprises CFE *		31,675
	476	Deme Group NV *		59,185
	32,497	Econocom Group SA (a)		96,208
	4,864	Orange Belgium SA *		86,713
	11,981	Proximus SADP		125,331
	12,508	Sofina SA (b)		2,722,657
	6,069	Solvay SA (a)		602,014
	2,973	Telenet Group Holding NV		47,463
	75,247	UCB SA		6,073,677
		Total Belgium		18,029,006
		Brazil — 1.0%
	347,700	Banco do Brasil SA		2,363,852
	24,200	BB Seguridade Participacoes SA		146,058
	65,100	CPFL Energia SA		437,818
	67,400	Dexco SA		108,451
	17,700	EDP – Energias do Brasil SA		72,378
	286,135	Enauta Participacoes SA		738,861
	111,800	Itau Unibanco Holding SA		485,174
	132,500	JBS SA		563,004
	199,313	Localiza Rent a Car SA		2,308,326
	611	Localiza Rent a Car SA GDR * (c)		7,076
	771,800	Marfrig Global Foods SA		1,301,367
	758,000	Petroleo Brasileiro SA Sponsored ADR		8,861,020
	226,926	Sao Martinho SA		1,253,278
	134,800	Ser Educacional SA *		143,389
	53,700	SLC Agricola SA		464,424
	70,500	Suzano SA		722,070
	193,600	Telefonica Brasil SA		1,419,538
	208,800	Telefonica Brasil SA ADR (a)		1,526,328
	2,420,000	TIM SA		6,062,416
	29,600	TIM SA ADR		368,816
	138,100	Transmissora Alianca de Energia Eletrica SA		919,185
	189,644	Vale SA		3,132,259
	194,600	Vale SA Sponsored ADR – Class B (a)		3,210,900
	702,500	Vibra Energia SA		2,237,722
		Total Brazil		38,853,710
		Canada — 3.2%
	9,200	Algoma Steel Group Inc (b)		61,007
	77,800	Alimentation Couche-Tard Inc (a)		3,544,277
	58,000	Anaergia Inc *		186,269
	8,600	Atco Ltd – Class I (a)		275,361
	14,900	Bank of Montreal (a)		1,455,274
	5,200	Bank of Nova Scotia (The) (a)		271,440
	76,300	Birchcliff Energy Ltd (b)		609,197
	203,700	BlackBerry Ltd * (a)		992,019
	165,310	Brookfield Asset Management Inc – Class A (a)		7,794,366

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	50,600	Canadian Apartment Properties (REIT)		1,643,846
	4,000	Canadian National Railway Co (a)		513,720
	41,600	Canadian Solar Inc *		1,491,360
	47,300	Canadian Tire Corp Ltd – Class A (b)		5,356,787
	74,300	Canfor Corp *		1,316,261
	124,500	Celestica Inc * (b) (d)		1,389,247
	51,100	Celestica Inc * (d)		570,276
	38,500	Cenovus Energy Inc (d)		765,765
	10,800	Cenovus Energy Inc (b) (d)		214,772
	10,700	Cogeco Inc (b)		477,270
	60,100	Crescent Point Energy Corp		466,977
	12,000	DREAM UnLtd Corp – Class A (b)		257,815
	9,200	Element Fleet Management Corp		130,359
	43,366	Enerflex Ltd (b)		287,570
	5,000	Enerplus Corp		92,900
	1,300	Fairfax Financial Holdings Ltd (a)		745,875
	41,300	Finning International Inc		1,046,048
	89,000	First Quantum Minerals Ltd		2,115,913
	5,500	Hardwoods Distribution Inc		106,390
	31,500	Hydro One Ltd (a)		880,965
	12,200	iA Financial Corp Inc		688,294
	53,200	Imperial Oil Ltd (d)		3,035,060
	15,400	Imperial Oil Ltd (b) (d)		876,157
	122,900	Interfor Corp *		2,302,405
	28,968	International Petroleum Corp *		336,609
	429,900	Ivanhoe Mines Ltd – Class A * (b)		3,847,895
	110,972	Largo Inc *		618,734
	114,700	Li-Cycle Holdings Corp *		730,639
	11,900	Loblaw Cos Ltd (a)		1,073,977
	102,300	Magna International Inc		6,299,304
	312,800	Manulife Financial Corp (a) (d)		5,634,423
	106,600	Manulife Financial Corp (a) (d)		1,921,998
	9,400	Minto Apartment Real Estate Investment Trust		101,397
	49,800	Mullen Group Ltd (a)		566,805
	10,600	National Bank of Canada		755,944
	114,442	Nutrien Ltd (a)		9,201,137
	62,100	Onex Corp		3,272,697
	32,300	Parex Resources Inc		462,475
	28,800	Power Corp of Canada (a)		724,523
	36,900	PrairieSky Royalty Ltd (b)		605,147
	170,500	Quebecor Inc – Class B (b)		3,674,531
	13,200	Rogers Sugar Inc		59,761
	41,600	Russel Metals Inc (b)		895,305
	401,690	Shaw Communications Inc – Class B (a)		10,962,376
	24,700	Sleep Country Canada Holdings Inc		424,168
	12,400	Spin Master Corp		316,280
	9,200	Suncor Energy Inc (d)		302,506
	3,800	Suncor Energy Inc (d)		124,906
	72,000	Tamarack Valley Energy Ltd (b)		277,263
	344,800	Teck Resources Ltd – Class B (d)		12,780,529
	204,100	Teck Resources Ltd – Class B (d)		7,570,069

Shares		Description	Value ($)
		Canada — continued
	46,200	Uni-Select Inc *		1,563,756
	36,400	Vermilion Energy Inc		719,992
	4,500	Wajax Corp		69,249
	71,100	West Fraser Timber Co Ltd (b) (d)		5,561,567
	18,500	West Fraser Timber Co Ltd (d)		1,449,845
		Total Canada		124,867,049
		Chile — 0.1%
	705,737	Banco de Chile		66,750
	1,900	Banco Santander Chile ADR		29,659
	19,742	CAP SA		144,922
	723,223	Cencosud SA		1,078,297
	107,776	Cencosud Shopping SA		137,721
	24,800	Cia Cervecerias Unidas SA Sponsored ADR		302,064
	6,067,355	Colbun SA		539,823
	3,849,027	Enel Chile SA		175,062
	954,067	Falabella SA		1,706,711
	62,938	Inversiones La Construccion SA		198,745
		Total Chile		4,379,754
		China — 3.8%
	476,000	361 Degrees International Ltd *		208,244
	1,103,000	3SBio Inc		1,170,076
	21,386,000	Agricultural Bank of China Ltd – Class H		7,148,821
	623,581	Alibaba Group Holding Ltd *		6,786,528
	280,500	Anhui Conch Cement Co Ltd – Class H		1,021,676
	2,446,000	BAIC Motor Corp Ltd – Class H		675,651
	14,787,000	Bank of China Ltd – Class H		5,240,495
	6,347,871	Bank of Communications Co Ltd – Class H		3,596,712
	349,000	Beijing Enterprises Holdings Ltd		1,109,969
	684,000	China BlueChemical Ltd – Class H		159,034
	9,392,000	China Cinda Asset Management Co Ltd – Class H		1,235,582
	1,316,000	China Communications Services Corp Ltd – Class H		453,667
	404,500	China Conch Venture Holdings Ltd		925,677
	12,068,000	China Construction Bank Corp – Class H		7,303,552
	1,741,000	China Dongxiang Group Co Ltd		72,219
	4,516,000	China Energy Engineering Corp Ltd – Class H (b)		555,161
	3,218,000	China Everbright Environment Group Ltd		1,488,958
	3,659,000	China Greenfresh Group Co Ltd (e)		—
	835,000	China High Speed Transmission Equipment Group Co Ltd *		389,706
	3,691,500	China Hongqiao Group Ltd		3,488,705
	835,000	China Lesso Group Holdings Ltd		1,023,673
	207,000	China Lilang Ltd		97,943
	825,925	China Medical System Holdings Ltd		1,209,683
	96,158	China Merchants Port Holdings Co Ltd		140,355

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		China — continued
	176,000	China National Building Material Co Ltd – Class H		156,929
	310,000	China Oilfield Services Ltd – Class H		391,894
	1,303,000	China Overseas Grand Oceans Group Ltd		603,880
	3,327,000	China Overseas Land & Investment Ltd		9,091,112
	20,112,000	China Petroleum & Chemical Corp – Class H		9,494,753
	7,450,000	China Railway Group Ltd – Class H		4,205,143
	629,000	China Railway Signal & Communication Corp Ltd – Class H		202,069
	2,139,000	China Reinsurance Group Corp – Class H		136,563
	3,229,500	China Resources Pharmaceutical Group Ltd		2,660,333
	138,000	China Shineway Pharmaceutical Group Ltd		125,252
	2,324,000	China South City Holdings Ltd * (b)		170,885
	1,488,000	China State Construction International Holdings Ltd		1,796,807
	3,642,000	China Traditional Chinese Medicine Holdings Co Ltd		1,826,035
	336,000	China Water Affairs Group Ltd		273,825
	4,237,600	China Zhongwang Holdings Ltd * (b) (c)		911,434
	5,292,158	CITIC Ltd		5,425,352
	6,754,000	CSPC Pharmaceutical Group Ltd		8,701,290
	2,978,313	Dongfeng Motor Group Co Ltd – Class H		1,677,855
	131,000	Far East Horizon Ltd		99,688
	157,500	Fosun International Ltd		120,404
	176,000	Fufeng Group Ltd		112,127
	168,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		451,053
	709,400	Haier Smart Home Co Ltd – Class H		2,360,994
	169,000	Hengan International Group Co Ltd		778,996
	192,000	Hisense Home Appliances Group Co Ltd – Class H		199,905
	137,600	Inner Mongolia Eerduosi Resources Co Ltd – Class A		313,454
	594,788	Kingboard Holdings Ltd		1,969,015
	370,400	Legend Holdings Corp – Class H		380,409
	7,042,000	Lenovo Group Ltd		6,014,191
	110,900	Livzon Pharmaceutical Group Inc – Class H		388,619
	760,000	Lonking Holdings Ltd		135,872
	1,784,000	Metallurgical Corp of China Ltd – Class H		401,969
	296,000	MMG Ltd *		77,901
	55,000	NetDragon Websoft Holdings Ltd		109,568
	1,395,000	Nexteer Automotive Group Ltd (b)		927,957
	15,280,000	PetroChina Co Ltd – Class H		6,952,885
	6,394,000	PICC Property & Casualty Co Ltd – Class H		6,477,808
	712,000	Poly Property Group Co Ltd		177,679
	98,000	Road King Infrastructure Ltd		40,800

Shares		Description	Value ($)
		China — continued
	1,039,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		1,732,857
	3,118,000	Shimao Group Holdings Ltd * (b) (c)		1,764,390
	314,000	Shougang Fushan Resources Group Ltd		106,470
	1,787,500	Sino-Ocean Group Holding Ltd		227,860
	806,500	Sinopec Engineering Group Co Ltd – Class H		331,639
	1,314,400	Sinopharm Group Co Ltd – Class H		3,118,296
	959,000	Sinotruk Hong Kong Ltd		1,258,746
	1,768,000	Skyworth Group Ltd		675,362
	166,000	SSY Group Ltd		83,280
	5,905,000	Sunac China Holdings Ltd * (b) (c)		3,462,434
	1,119,000	TCL Electronics Holdings Ltd *		460,458
	137,060	Tencent Holdings Ltd		5,183,101
	844,000	Tianjin Port Development Holdings Ltd		59,425
	674,000	Tianneng Power International Ltd (b)		727,976
	89,100	Vipshop Holdings Ltd ADR *		993,466
	223,700	Western Mining Co Ltd – Class A		343,932
	497,200	Xinjiang Goldwind Science & Technology Co Ltd – Class H		538,880
	790,000	Yadea Group Holdings Ltd		1,498,782
	160,000	Zhongsheng Group Holdings Ltd		825,410
		Total China		145,237,556
		Colombia — 0.0%
	140,155	Ecopetrol SA		66,478
		Czech Republic — 0.0%
	180,239	Moneta Money Bank AS		554,404
	627	Philip Morris CR AS		454,715
		Total Czech Republic		1,009,119
		Denmark — 0.6%
	1,231	AP Moller – Maersk A/S – Class A (a)		2,613,491
	1,062	AP Moller – Maersk A/S – Class B (a)		2,302,369
	403,680	Danske Bank A/S		7,269,507
	28,129	GN Store Nord A/S (a)		679,580
	9,656	Matas A/S		96,325
	82,458	Pandora A/S		6,277,592
	2,051	Rockwool A/S – B Shares		450,370
	4,657	Scandinavian Tobacco Group A/S		82,724
	100,818	Vestas Wind Systems A/S		2,619,474
		Total Denmark		22,391,432
		Egypt — 0.0%
	574,898	Commercial International Bank Egypt SAE		942,232
	713,067	Eastern Co SAE		374,702
	34,352	Misr Fertilizers Production Co SAE		186,696
		Total Egypt		1,503,630

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Finland — 0.6%
	22,296	Kemira Oyj		323,294
	72,894	Metsa Board Oyj – Class B		648,571
	133,640	Neste Oyj		6,898,037
	1,825,114	Nokia Oyj (a)		8,992,165
	277,791	Outokumpu Oyj		1,401,249
	2,910	Sanoma Oyj		34,359
	142,886	Stora Enso Oyj – R Shares (a)		2,102,017
	43,852	UPM-Kymmene Oyj (a)		1,609,867
		Total Finland		22,009,559
		France — 2.8%
	52,004	ALD SA (a)		523,379
	4,629	APERAM SA		146,946
	231,512	ArcelorMittal SA		6,347,853
	33,601	Arkema SA		2,987,521
	1,542	Axway Software SA		25,857
	95,160	BNP Paribas SA		5,347,231
	1,836	Boiron SA		86,580
	909	Caisse Regionale de Credit Agricole Mutuel Nord de France		14,902
	170,112	Cie de Saint-Gobain		7,844,128
	145,434	Coface SA		1,780,333
	133,711	Derichebourg SA		723,351
	1,170	Eiffage SA		115,203
	8,542	Eramet SA		730,967
	694	Groupe Crit (b)		44,819
	989	HEXAOM		18,611
	46,120	Ipsen SA		5,155,536
	35,065	IPSOS		2,005,961
	10,084	Kering SA (a)		6,058,840
	12,957	LVMH Moet Hennessy Louis Vuitton SE (a)		10,055,001
	4,919	Mersen SA		189,481
	35,264	Metropole Television SA		507,037
	134,599	Publicis Groupe SA		8,858,823
	30,028	Quadient SA		458,144
	5,563	Rexel SA *		102,227
	2,899	Rothschild & Co		113,675
	86,083	Safran SA (a)		10,638,627
	75,703	Sanofi (a)		6,838,197
	22,576	SES SA, ADR – Class A		154,784
	8,907	SMCP SA *		63,671
	13,980	Societe BIC SA		923,562
	437,359	Societe Generale SA		11,007,899
	134,700	STMicroelectronics NV		5,237,136
	1,570	Synergie SE		50,260
	54,059	Technip Energies NV		856,164
	157,792	Television Francaise 1		1,192,641
	158,623	TotalEnergies SE (a) (d)		9,913,951
	2,651	TotalEnergies SE (d)		164,493
	70,565	Veolia Environnement SA (a)		1,826,354
		Total France		109,110,145

Shares		Description	Value ($)
		Germany — 1.1%
	12,037	1&1 AG		173,008
	369	Amadeus Fire AG		43,875
	9,196	Aurubis AG		738,272
	51,910	Bayer AG (Registered) (a)		3,012,696
	57,240	Bayerische Motoren Werke AG (a)		5,197,314
	57,385	Beiersdorf AG (a)		6,240,808
	77,131	Commerzbank AG *		646,058
	1,623	Deutsche Boerse AG		298,266
	31,878	Deutsche Pfandbriefbank AG		253,184
	29,349	Deutsche Telekom AG (a)		597,039
	1,918	Draegerwerk AG & Co KGaA (a)		77,029
	4,253	Elmos Semiconductor SE		265,496
	69,919	Fresenius SE & Co KGaA (a)		1,948,138
	5,683	Hamburger Hafen und Logistik AG (a)		68,934
	77,414	HeidelbergCement AG (a)		4,244,510
	2,040	Henkel AG & Co KGaA (a)		135,720
	9,418	Hornbach Holding AG & Co KGaA		747,044
	203,715	Kloeckner & Co SE		1,933,305
	97,112	Mercedes-Benz Group AG (a)		6,598,100
	32,133	Merck KGaA (a)		5,887,248
	35,127	ProSiebenSat.1 Media SE		319,181
	6,871	RTL Group SA		285,396
	63,702	Salzgitter AG		1,868,084
	7,876	Siltronic AG		653,627
	4,711	Traton SE		75,364
	9,094	Volkswagen AG		1,755,577
	1,076	Wuestenrot & Wuerttembergische AG		17,020
		Total Germany		44,080,293
		Greece — 0.0%
	2,256	Hellenic Telecommunications Organization SA		34,899
	50,224	JUMBO SA		802,129
	1,195	Motor Oil Hellas Corinth Refineries SA		24,122
	37,689	Mytilineos SA		711,149
	2,145	OPAP SA		29,701
		Total Greece		1,602,000
		Hong Kong — 0.7%
	348,900	ASMPT Ltd		2,597,386
	197,000	Bank of East Asia Ltd (The)		227,201
	238,000	BOC Hong Kong Holdings Ltd		759,695
	122,000	Chow Sang Sang Holdings International Ltd		141,717
	904,000	CITIC Telecom International Holdings Ltd		298,358
	232,500	CK Asset Holdings Ltd (a)		1,391,628
	121,000	CK Hutchison Holdings Ltd (a)		703,400
	1,170,000	CSI Properties Ltd		21,087
	220,400	Dah Sing Banking Group Ltd		153,676
	76,400	Dah Sing Financial Holdings Ltd		170,664
	1,256,000	First Pacific Co Ltd		394,160

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	733,827	Galaxy Entertainment Group Ltd		4,461,270
	254,000	Giordano International Ltd		46,662
	30,000	Hang Lung Group Ltd		52,839
	63,500	Health & Happiness H&H International Holdings Ltd		77,275
	853,000	HKT Trust & HKT Ltd – Class SS		1,040,081
	977,000	IGG Inc *		345,497
	256,000	Johnson Electric Holdings Ltd		321,015
	290,000	K Wah International Holdings Ltd		91,288
	98,000	Kerry Logistics Network Ltd		172,650
	240,000	Kerry Properties Ltd		458,807
	65,000	Luk Fook Holdings International Ltd		157,583
	221,000	NWS Holdings Ltd		182,220
	143,000	Pacific Basin Shipping Ltd (a)		48,287
	601,000	Pacific Textiles Holdings Ltd		198,016
	277,000	PAX Global Technology Ltd		237,874
	1,029,000	PCCW Ltd		449,953
	335,500	Power Assets Holdings Ltd (a)		1,730,721
	636,000	Shun Tak Holdings Ltd *		102,531
	460,000	Singamas Container Holdings Ltd		43,945
	74,000	Sino Land Co Ltd (a)		92,552
	600,000	SITC International Holdings Co Ltd		1,331,013
	126,000	SmarTone Telecommunications Holdings Ltd		63,967
	217,000	Sun Hung Kai & Co Ltd		79,195
	182,500	Swire Pacific Ltd – Class A (a)		1,434,339
	40,000	TAI Cheung Holdings Ltd		21,297
	137,500	Texhong Textile Group Ltd		113,731
	414,000	VPower Group International Holdings Ltd – Class H *		27,326
	660,000	VSTECS Holdings Ltd		358,246
	124,300	VTech Holdings Ltd		792,738
	5,522,000	WH Group Ltd		3,235,429
	237,500	Yue Yuen Industrial Holdings Ltd		299,541
		Total Hong Kong		24,926,860
		Hungary — 0.2%
	304,677	MOL Hungarian Oil & Gas Plc		2,205,679
	180,229	OTP Bank Nyrt		4,969,230
	24,687	Richter Gedeon Nyrt		531,076
		Total Hungary		7,705,985
		India — 2.7%
	64,791	Arvind Ltd *		76,579
	50,899	Asian Paints Ltd		1,991,891
	83,662	Aurobindo Pharma Ltd		485,309
	175,502	Axis Bank Ltd		1,947,129
	15,336	Bajaj Consumer Care Ltd		31,215
	31,862	Bandhan Bank Ltd *		93,612
	146,546	Bharat Electronics Ltd		190,685
	507,285	Brightcom Group Ltd		228,120
	43,322	Castrol India Ltd		69,948

Shares		Description	Value ($)
		India — continued
	40,169	Cipla Ltd		566,736
	22,915	City Union Bank Ltd		53,833
	5,608	Clean Science & Technology Ltd		104,010
	1,976,412	Coal India Ltd		5,582,808
	60,192	Cochin Shipyard Ltd		495,675
	5,642	Colgate-Palmolive India Ltd		113,082
	34,665	Coromandel International Ltd		397,194
	7,819	Deepak Fertilisers & Petrochemicals Corp Ltd		78,202
	65,110	Dhampur Bio Organics Ltd *		160,704
	17,305	Dhampur Sugar Mills Ltd		48,741
	6,542	EID Parry India Ltd		48,839
	32,586	Engineers India Ltd		32,389
	225,817	Exide Industries Ltd		526,532
	5,172,785	GAIL India Ltd		6,060,718
	13,170	GHCL Ltd		94,113
	89,912	Glenmark Pharmaceuticals Ltd		476,869
	10,666	Great Eastern Shipping Co Ltd (The)		87,710
	19,091	Gujarat Mineral Development Corp Ltd		37,223
	24,946	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		184,996
	491,026	Gujarat State Fertilizers & Chemicals Ltd		801,476
	32,058	HCL Technologies Ltd		445,460
	79,112	HDFC Bank Ltd		1,572,395
	13,999	Hero MotoCorp Ltd		492,109
	751,452	Hindalco Industries Ltd		4,207,750
	25,382	Hindustan Aeronautics Ltd		865,858
	499,357	Hindustan Petroleum Corp Ltd		1,475,555
	13,970	Hindustan Unilever Ltd		461,639
	58,692	Hindustan Zinc Ltd		222,661
	49,255	Housing Development Finance Corp Ltd		1,638,117
	231,833	ICICI Bank Ltd		2,715,157
	936,174	Indian Oil Corp Ltd		888,158
	58,693	Indus Towers Ltd		144,803
	31,057	Infosys Ltd		632,826
	115,200	Infosys Ltd Sponsored ADR (a)		2,344,320
	2,768,950	ITC Ltd		11,609,719
	366,696	Karnataka Bank Ltd (The)		651,562
	56,979	Kiri Industries Ltd *		348,422
	27,845	L&T Finance Holdings Ltd		30,014
	35,532	Larsen + Toubro Infotech Ltd (c)		2,137,254
	8,751	Mahanagar Gas Ltd		97,436
	112,706	Mahindra & Mahindra Ltd		1,816,352
	68,793	Manappuram Finance Ltd		97,906
	8,479	Maruti Suzuki India Ltd		939,181
	10,993	Muthoot Finance Ltd		146,845
	700,230	National Aluminium Co Ltd		669,690
	43,893	NCC Ltd		44,869
	1,429,048	NMDC Ltd		2,087,360
	1,429,048	NMDC Steel Ltd (c)		675,600
	1,207,164	NTPC Ltd		2,559,268

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		India — continued
	7,979,941	Oil & Natural Gas Corp Ltd		13,967,270
	183,841	Oil India Ltd		466,782
	2,574	Oracle Financial Services Software Ltd		98,946
	214	Page Industries Ltd		125,271
	220,452	Petronet LNG Ltd		578,333
	2,508	PI Industries Ltd		108,250
	16,971	Piramal Enterprises Ltd		172,659
	1,047,220	Power Finance Corp Ltd		1,757,537
	341,127	Power Grid Corp of India Ltd		939,107
	97,251	PTC India Ltd		104,539
	45,714	Rajesh Exports Ltd		433,680
	1,396,831	REC Ltd		1,903,326
	248,299	Redington Ltd		554,091
	29,047	Reliance Industries Ltd		977,677
	14,844	Shriram Transport Finance Co Ltd		248,359
	532,318	Sun Pharmaceutical Industries Ltd		6,911,206
	43,486	Sun TV Network Ltd		264,512
	7,595	Tata Chemicals Ltd		97,150
	1	Tata Consultancy Services Ltd		42
	4,312,033	Tata Steel Ltd		5,766,510
	67,488	Titan Co Ltd		2,218,463
	128,580	Vardhman Textiles Ltd *		550,022
	348,508	Vedanta Ltd		1,318,167
	26,774	Welspun Corp Ltd		83,176
	11,241	Zensar Technologies Ltd		31,057
		Total India		102,760,756
		Indonesia — 0.5%
	9,287,200	Adaro Energy Indonesia Tbk PT		2,298,316
	714,200	Adaro Minerals Indonesia Tbk PT *		74,001
	1,454,000	Astra International Tbk PT		562,551
	9,338,600	Bank Central Asia Tbk PT		5,547,862
	2,993,892	Bank Mandiri Persero Tbk PT		2,019,564
	633,300	Bank Negara Indonesia Persero Tbk PT		401,190
	3,007,300	Bank Pembangunan Daerah Jawa Timur Tbk PT		139,699
	9,310,700	Bank Rakyat Indonesia Persero Tbk PT		2,961,853
	780,800	Bank Tabungan Negara Persero Tbk PT		76,489
	3,495,600	Bukit Asam Tbk PT		848,139
	3,326,300	Global Mediacom Tbk PT *		62,023
	18,000	Gudang Garam Tbk PT		22,827
	763,700	Indika Energy Tbk PT		141,573
	339,700	Indo Tambangraya Megah Tbk PT		904,759
	1,641,700	Indofood Sukses Makmur Tbk PT		674,130
	7,260,800	Kalbe Farma Tbk PT		958,420
	5,089,000	Media Nusantara Citra Tbk PT *		258,213
	16,119,700	Panin Financial Tbk PT		485,087
	3,096,700	Perusahaan Gas Negara Tbk PT		372,698
	263,500	Tower Bersama Infrastructure Tbk PT		38,860
	445,700	United Tractors Tbk PT		876,666
		Total Indonesia		19,724,920

Shares		Description	Value ($)
		Ireland — 0.5%
	49,187	AIB Group Plc		159,724
	810,629	Bank of Ireland Group Plc		6,721,767
	43,587	Glanbia Plc		525,667
	10,301	Kingspan Group Plc		584,745
	38,104	Origin Enterprises Plc		155,629
	24,839	Permanent TSB Group Holdings Plc *		45,902
	194,970	Ryanair Holdings Plc *		2,631,855
	58,051	Ryanair Holdings Plc Sponsored ADR * (a)		4,393,880
	92,050	Smurfit Kappa Group Plc (d)		3,344,032
	12,943	Smurfit Kappa Group Plc (d)		467,763
		Total Ireland		19,030,964
		Israel — 0.5%
	15,657	Bank Hapoalim BM		152,228
	42,981	Bank Leumi Le-Israel BM		394,007
	4,764	Delek Group Ltd *		607,981
	5,366	Equital Ltd *		173,814
	5,509	Naphtha Israel Petroleum Corp Ltd *		31,127
	541,530	Oil Refineries Ltd		201,295
	709,200	Teva Pharmaceutical Industries Ltd Sponsored ADR *		6,219,684
	180,911	Tower Semiconductor Ltd *		8,063,203
	214,300	ZIM Integrated Shipping Services Ltd		4,504,586
		Total Israel		20,347,925
		Italy — 0.6%
	8,512	ACEA SPA (a)		117,007
	58,641	Anima Holding SPA		224,424
	24,111	Arnoldo Mondadori Editore SPA		46,381
	54,207	Banca IFIS SPA		747,054
	80,774	Banco BPM SPA		279,935
	60,809	Credito Emiliano SPA		430,950
	92,602	Eni SPA		1,380,695
	22,309	Esprinet SPA		164,923
	133,568	IMMSI SPA		58,447
	351,552	Italgas SPA (a)		2,068,905
	11,092	Iveco Group NV *		74,909
	549,689	Leonardo SPA		4,410,300
	274,757	MFE-MediaForEurope NV – Class A		115,603
	1,452	Prima Industrie SPA (b)		37,340
	2,198	Sabaf SPA		42,237
	44,543	Snam SPA (a)		227,379
	412,248	Stellantis NV (a)		6,503,402
	17,217,138	Telecom Italia SPA * (b)		3,756,283
	78,652	Terna – Rete Elettrica Nazionale (a)		602,470
	6,329	Unieuro SPA (b)		85,890
	628,622	Unipol Gruppo SPA		3,215,605
		Total Italy		24,590,139

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — 13.3%
	13,000	ADEKA Corp		215,488
	3,400	Advantest Corp (a)		231,413
	513,000	Aeon Mall Co Ltd		6,195,442
	43,834	AGC Inc		1,480,321
	15,500	Aichi Corp		90,609
	51,400	Aisin Corp		1,416,568
	266,800	Amano Corp		4,843,271
	23,200	AOKI Holdings Inc		116,372
	122,900	Arcs Co Ltd		1,879,420
	779,500	Asahi Kasei Corp (a)		5,793,503
	11,400	Bandai Namco Holdings Inc		755,368
	9,100	Bando Chemical Industries Ltd		66,614
	195,200	Brother Industries Ltd		3,170,278
	5,600	Canon Electronics Inc		64,667
	310,600	Canon Inc (a)		7,260,183
	5,400	Canon Inc Sponsored ADR (a)		126,144
	23,700	Canon Marketing Japan Inc		539,216
	12,500	Central Glass Co Ltd		318,367
	4,000	Chiyoda Integre Co Ltd		70,179
	276,100	Chugoku Marine Paints Ltd (b)		2,083,949
	205,900	Citizen Watch Co Ltd		904,157
	9,600	CONEXIO Corp		83,819
	290,700	Credit Saison Co Ltd		3,727,027
	111,500	Dai Nippon Printing Co Ltd (a)		2,309,347
	13,700	Dai Nippon Toryo Co Ltd		76,659
	14,600	Daicel Corp		106,495
	4,000	Dai-Dan Co Ltd		64,172
	4,800	Daiichi Jitsugyo Co Ltd		148,066
	7,000	Daiken Corp		109,300
	3,700	Daito Pharmaceutical Co Ltd (b)		70,107
	78,700	Daiwa House Industry Co Ltd (a)		1,812,384
	590,100	Daiwabo Holdings Co Ltd		9,414,665
	271,500	Denka Co Ltd		6,573,628
	42,000	Dentsu Group Inc		1,360,071
	16,600	Ebara Corp		645,404
	3,000	Eizo Corp		78,885
	21,300	Exedy Corp		259,110
	476,300	EXEO Group Inc		7,393,203
	202,800	Ezaki Glico Co Ltd		5,291,751
	10,800	FJ Next Co Ltd		75,969
	376,200	Fuji Corp		5,739,815
	49,400	Fuji Electric Co Ltd		2,046,892
	5,000	Fuji Pharma Co Ltd		37,125
	78,500	FUJIFILM Holdings Corp (a)		4,222,687
	30,800	Fukuoka Financial Group Inc		603,459
	9,000	Furuno Electric Co Ltd		67,118
	10,300	Furyu Corp		87,226
	3,400	G-7 Holdings Inc		37,985
	270,900	H.U. Group Holdings Inc (a)		5,494,431
	26,400	Hachijuni Bank Ltd (The)		100,030
	19,100	Hanwa Co Ltd		501,340

Shares		Description	Value ($)
		Japan — continued
	657,894	Haseko Corp		7,274,634
	7,800	Heiwado Co Ltd		115,388
	3,200	Hochiki Corp		33,755
	123,500	Hogy Medical Co Ltd (a)		3,142,730
	474,300	Honda Motor Co Ltd (a)		11,559,449
	29,500	Honda Motor Co Ltd Sponsored ADR (a)		722,750
	42,000	Hosiden Corp		500,395
	4,500	Hosokawa Micron Corp		96,879
	5,900	Hyakujushi Bank Ltd (The)		77,276
	88,300	Idemitsu Kosan Co Ltd		2,073,604
	40,000	Inabata & Co Ltd		692,648
	1,195,000	Inpex Corp		13,168,454
	479,700	ITOCHU Corp (a)		15,065,976
	1,300	Itochu-Shokuhin Co Ltd		49,067
	58,500	Itoham Yonekyu Holdings Inc		291,618
	25,000	Itoki Corp		98,066
	15,600	Jaccs Co Ltd		445,404
	29,100	Japan Aviation Electronics Industry Ltd		502,502
	391,700	Japan Tobacco Inc (a)		8,013,940
	20,100	JVCKenwood Corp		54,494
	11,500	Kaga Electronics Co Ltd		371,025
	173,100	Kajima Corp		1,958,689
	14,900	Kamei Corp		130,965
	6,200	Kandenko Co Ltd		39,261
	13,200	Kaneka Corp		339,198
	290,500	Kanematsu Corp		3,243,944
	385,900	KDDI Corp (a)		11,478,429
	469,700	Kirin Holdings Co Ltd		7,414,493
	20,500	Kitz Corp		127,152
	14,579	Kohnan Shoji Co Ltd		351,958
	4,900	Kokuyo Co Ltd		64,779
	42,400	Komeri Co Ltd		800,442
	193,800	Konoike Transport Co Ltd (a)		2,244,496
	400	Krosaki Harima Corp		14,682
	494,800	K’s Holdings Corp		4,108,388
	1,000	Kureha Corp		71,524
	9,000	Kyosan Electric Manufacturing Co Ltd		27,245
	277,300	Kyudenko Corp		6,671,648
	28,600	Macnica Holdings Inc		724,877
	251,300	Macromill Inc		2,049,523
	2,300	Makino Milling Machine Co Ltd		77,767
	271,500	Mandom Corp		2,862,914
	457,900	Marubeni Corp (a)		5,179,935
	288,700	Maruichi Steel Tube Ltd		6,004,810
	5,400	Maruzen Showa Unyu Co Ltd		127,143
	6,100	Matsuda Sangyo Co Ltd		103,209
	256,100	Maxell Ltd		2,646,777
	44,800	Mazda Motor Corp		356,180
	22,400	MCJ Co Ltd		157,180
	330,600	Mebuki Financial Group Inc		751,570
	1,600	Melco Holdings Inc		36,368
	75,800	Mirarth Holdings Inc		215,526

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	224,200	Mitsubishi Corp (a)		7,550,868
	23,400	Mitsubishi Electric Corp (a)		234,510
	51,400	Mitsubishi HC Capital Inc		245,230
	44,500	Mitsubishi Materials Corp		711,400
	341,100	Mitsubishi Motors Corp *		1,591,382
	5,300	Mitsubishi Research Institute Inc (a)		199,088
	8,000	Mitsubishi Shokuhin Co Ltd		189,397
	893,700	Mitsubishi UFJ Financial Group Inc (a)		4,873,829
	3,900	Mitsuboshi Belting Ltd		97,774
	87,900	Mitsui & Co Ltd (a)		2,551,185
	12,600	Mitsui DM Sugar Holdings Co Ltd		179,241
	281,000	Mitsui OSK Lines Ltd (a)		6,959,903
	11,200	Mitsui-Soko Holdings Co Ltd (a)		289,891
	16,500	Modec Inc *		184,633
	182,900	Morinaga & Co Ltd		4,927,463
	174,400	MS&AD Insurance Group Holdings Inc (a)		5,176,415
	18,200	MTI Ltd		67,366
	3,700	Nagase & Co Ltd		54,747
	201,300	NEC Corp (a)		7,166,392
	216,900	NGK Spark Plug Co Ltd		4,249,826
	252,500	NH Foods Ltd		6,798,328
	35,900	Nichias Corp		637,142
	13,300	Nichiha Corp		275,986
	8,400	Nichireki Co Ltd		79,401
	349,200	Nikon Corp		3,414,380
	7,000	Nippn Corp		80,840
	4,200	Nippon Densetsu Kogyo Co Ltd		52,181
	8,800	Nippon Soda Co Ltd		275,023
	6,000	Nippon Steel Trading Corp		223,614
	79,300	Nippon Suisan Kaisha Ltd		302,237
	430,800	Nippon Telegraph & Telephone Corp (a)		11,945,646
	102,600	Nippon Television Holdings Inc		793,259
	272,300	Nippon Yusen KK (a)		6,061,244
	8,300	Nisshin Oillio Group Ltd (The)		201,649
	17,500	Nisshinbo Holdings Inc		130,136
	3,800	Nissin Corp		56,567
	19,500	Nissin Electric Co Ltd		191,995
	6,600	Nittetsu Mining Co Ltd		151,939
	8,900	Nitto Kogyo Corp		151,482
	41,200	Nojima Corp		420,423
	2,400	Nomura Real Estate Holdings Inc		58,134
	814,500	Obayashi Corp		6,089,257
	68,700	ORIX Corp (a)		1,113,088
	10,400	Osaka Soda Co Ltd		314,487
	10,200	Osaki Electric Co Ltd		39,725
	274,100	Pacific Industrial Co Ltd		2,172,302
	11,500	PAL GROUP Holdings Co Ltd		203,349
	1,111,900	Penta-Ocean Construction Co Ltd		5,262,019
	10,800	Prima Meat Packers Ltd		160,571
	8,000	Proto Corp		73,774
	66,800	Renesas Electronics Corp * (a)		655,154

Shares		Description	Value ($)
		Japan — continued
	77,300	Rohm Co Ltd		6,204,971
	43,000	San-A Co Ltd		1,364,596
	21,600	Sanki Engineering Co Ltd		251,555
	225,000	Sankyu Inc (a)		8,142,700
	5,700	Sanwa Holdings Corp		54,018
	118,700	Sawai Group Holdings Co Ltd		3,675,453
	106,500	Secom Co Ltd		6,584,367
	21,000	Sega Sammy Holdings Inc		280,046
	9,500	Seikitokyu Kogyo Co Ltd		55,279
	198,800	Seiko Epson Corp		3,128,385
	27,800	Sekisui Chemical Co Ltd		393,184
	471,200	Sekisui House Ltd		8,822,594
	7,500	Sekisui Jushi Corp		99,182
	32,800	Shimamura Co Ltd		2,977,855
	680,600	Shimizu Corp		3,669,472
	9,100	Shin-Etsu Polymer Co Ltd		83,411
	17,600	Shinmaywa Industries Ltd		130,310
	6,200	Shinnihon Corp		33,832
	9,700	Shizuoka Gas Co Ltd (a)		78,126
	2,000	Sinanen Holdings Co Ltd		55,343
	10,600	Sinko Industries Ltd		119,866
	84,900	SKY Perfect JSAT Holdings Inc		315,090
	349,620	Sojitz Corp		6,230,537
	504,900	Stanley Electric Co Ltd		10,381,557
	21,500	Star Micronics Co Ltd		276,491
	168,900	Subaru Corp		2,892,895
	445,000	SUMCO Corp		6,657,873
	3,200	Sumitomo Bakelite Co Ltd		101,823
	1,938,500	Sumitomo Chemical Co Ltd		7,067,448
	373,100	Sumitomo Corp (a)		6,116,700
	8,300	Sumitomo Electric Industries Ltd		97,469
	126,900	Sumitomo Forestry Co Ltd		2,215,691
	10,400	Sumitomo Metal Mining Co Ltd		350,778
	260,700	Sumitomo Mitsui Financial Group Inc		8,848,346
	231,600	Sumitomo Mitsui Trust Holdings Inc		7,427,566
	1,500	Sumitomo Seika Chemicals Co Ltd		46,382
	18,600	Sumitomo Warehouse Co Ltd (The) (a)		272,389
	10,600	Suntory Beverage & Food Ltd (a)		361,224
	747,200	T&D Holdings Inc		9,083,955
	179,900	Tachi-S Co Ltd		1,443,389
	170,500	Taisei Corp		5,183,057
	93,500	Takara Holdings Inc		731,204
	5,500	Takeuchi Manufacturing Co Ltd		128,017
	435,800	Takuma Co Ltd		4,072,945
	7,500	Tamron Co Ltd		190,495
	615,300	Teijin Ltd		5,970,260
	321,300	THK Co Ltd		6,337,776
	194,000	Toho Holdings Co Ltd (a)		3,019,304
	794,200	Tokai Carbon Co Ltd (b)		6,128,108
	3,300	Token Corp		192,151
	260,200	Tokyo Gas Co Ltd (a)		4,786,379
	197,500	Tokyo Seimitsu Co Ltd		6,328,956

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	420,600	Toppan Inc		6,551,323
	255,800	Tosei Corp (b)		2,623,130
	227,300	Tosoh Corp		2,698,742
	7,000	Towa Pharmaceutical Co Ltd		107,845
	69,300	Toyo Construction Co Ltd		421,832
	3,300	Toyo Ink SC Holdings Co Ltd (b)		45,280
	8,700	Toyota Boshoku Corp		122,214
	140,500	Toyota Industries Corp		8,060,094
	45,900	Toyota Tsusho Corp (a)		1,771,871
	177,500	Tsumura & Co		3,889,778
	18,800	TV Asahi Holdings Corp		188,452
	14,000	Unipres Corp		90,581
	11,700	Wacoal Holdings Corp		198,946
	4,600	Warabeya Nichiyo Holdings Co Ltd		61,918
	23,800	YAMABIKO Corp		197,479
	311,100	Yamada Holdings Co Ltd (a)		1,078,234
	107,300	Yamaha Motor Co Ltd (b)		2,687,840
	1,700	Yamato Kogyo Co Ltd		58,611
	23,300	Yamazen Corp		170,498
	21,200	Yellow Hat Ltd		267,031
	106,000	Yokogawa Bridge Holdings Corp		1,496,068
	8,800	Yokogawa Electric Corp		165,965
	4,100	Yokohama Rubber Co Ltd (The) (b)		67,895
	7,200	Yuasa Trading Co Ltd		188,911
	144,900	Zenkoku Hosho Co Ltd		5,395,205
		Total Japan		514,843,240
		Kuwait — 0.0%
	13,649	Humansoft Holding Co KSC		149,222
		Malaysia — 0.1%
	144,700	AMMB Holdings Bhd		136,211
	330,500	Hartalega Holdings Bhd		129,285
	293,600	Hibiscus Petroleum Bhd		73,593
	24,400	Hong Leong Bank Bhd		114,675
	208,300	IOI Corp Bhd		179,545
	369,700	Kossan Rubber Industries Bhd		92,726
	83,100	Kuala Lumpur Kepong Bhd		391,165
	24,800	MISC Bhd		40,280
	1,156,900	Petronas Chemicals Group Bhd		2,229,415
	33,800	Petronas Gas Bhd		127,846
	43,900	PPB Group Bhd		170,160
	193,500	RHB Bank Bhd		245,115
	87,700	Sime Darby Plantation Bhd		84,122
	189,300	Telekom Malaysia Bhd		239,277
	38,200	TIME dotCom Bhd		41,985
		Total Malaysia		4,295,400
		Mexico — 1.3%
	56,500	Alpek SAB de CV		79,710
	2,808,510	America Movil SAB de CV – Series L		2,729,323

Shares		Description	Value ($)
		Mexico — continued
	87,509	America Movil SAB de CV – Class L Sponsored ADR		1,702,925
	211,615	Arca Continental SAB de CV		1,761,448
	286,102	Banco del Bajio SA		929,602
	8,400	Cemex SAB de CV Sponsored ADR *		38,388
	2,396	Coca-Cola Femsa SAB de CV Sponsored ADR		163,671
	1,136,700	Credito Real SAB de CV SOFOM ER * (e)		—
	100,800	El Puerto de Liverpool SAB de CV – Class C1		585,553
	1,272,710	Fomento Economico Mexicano SAB de CV		10,157,141
	9,754	Fomento Economico Mexicano SAB de CV Sponsored ADR		779,052
	178,200	Gentera SAB de CV		189,154
	19,660	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		170,667
	54,340	Grupo Aeroportuario del Pacifico SAB de CV – Class B		882,638
	29,772	Grupo Aeroportuario del Sureste SAB de CV – Class B		738,359
	588	Grupo Aeroportuario del Sureste SAB de CV ADR		145,406
	1,495,569	Grupo Financiero Banorte SAB de CV – Class O		12,003,154
	29,255	Grupo Herdez SAB de CV – Series *		59,878
	2,667,240	Grupo Mexico SAB de CV – Series B		10,851,992
	106,189	Grupo Televisa SAB Sponsored ADR		579,792
	20,524	Grupo Televisa SAB		22,605
	92,451	Qualitas Controladora SAB de CV		389,230
	119,900	Regional SAB de CV		875,418
	155,399	Sitios Latinoamerica SAB de CV *		69,267
	196,849	Unifin Financiera SAB de CV SOFOM ENR *		12,243
	1,008,072	Wal-Mart de Mexico SAB de CV		3,983,906
		Total Mexico		49,900,522
		Netherlands — 1.9%
	36,537	ABN AMRO Bank NV CVA GDR		471,178
	1,233,584	Aegon NV (a) (b)		6,047,602
	5,200	AerCap Holdings NV *		319,280
	119,292	ASR Nederland NV		5,459,842
	9,661	Brunel International NV		98,102
	16,510	Evander Gold Mines Ltd (c)		172
	164,175	EXOR NV *		12,887,735
	64,477	ForFarmers NV (b)		196,242
	174,151	JDE Peet’s NV		5,394,697
	461,534	Koninklijke Ahold Delhaize NV (a)		13,450,068
	378,174	Koninklijke Philips NV (a)		5,666,789
	145,219	NN Group NV (a)		6,206,146
	85,452	Prosus NV *		5,591,869
	152,641	Randstad NV (b)		8,841,486
	14,156	SBM Offshore NV		226,820

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	30,532	Signify NV		1,042,809
	3,523	Wolters Kluwer NV (a)		388,271
		Total Netherlands		72,289,108
		New Zealand — 0.1%
	210,854	Auckland International Airport Ltd * (a)		1,074,600
	526,190	Meridian Energy Ltd (a)		1,633,179
	131,368	Spark New Zealand Ltd		428,274
		Total New Zealand		3,136,053
		Norway — 0.5%
	80,560	Austevoll Seafood ASA		658,917
	22,764	BW LPG Ltd		202,987
	706,585	DNO ASA		903,025
	372,580	Elkem ASA *		1,379,714
	275,700	Equinor ASA (a)		10,617,427
	159,733	Europris ASA		1,015,158
	210,703	Norsk Hydro ASA		1,586,618
	10,799	SpareBank 1 Nord Norge		100,655
	2,118	SpareBank 1 SMN		25,236
	9,566	Stolt-Nielsen Ltd (a)		247,749
	20,920	TGS ASA		286,215
	109,931	Wallenius Wilhelmsen ASA (a)		1,029,824
		Total Norway		18,053,525
		Pakistan — 0.0%
	86,608	Fauji Fertilizer Co Ltd		39,688
	43,862	Pakistan Oilfields Ltd		82,041
		Total Pakistan		121,729
		Panama — 0.0%
	494,873	BAC Holding International Corp *		28,290
		Philippines — 0.0%
	321,500	Converge Information and Communications Technology Solutions Inc *		88,548
	41,730	GT Capital Holdings Inc		325,216
	63,200	Manila Electric Co		313,409
	5,535,024	Megaworld Corp		220,239
	223,000	Puregold Price Club Inc		140,569
		Total Philippines		1,087,981
		Poland — 0.4%
	17,571	Asseco Poland SA		288,259
	278,736	Bank Polska Kasa Opieki SA		5,331,708
	14,181	Budimex SA		867,535
	75,238	Cyfrowy Polsat SA		315,453
	6,780	KGHM Polska Miedz SA		179,478
	41,356	Orange Polska SA		58,246
	406,367	Polski Koncern Naftowy ORLEN SA		5,981,395

Shares		Description	Value ($)
		Poland — continued
	184,021	Powszechny Zaklad Ubezpieczen SA		1,317,351
		Total Poland		14,339,425
		Portugal — 0.6%
	77,338	Altri SGPS SA		453,050
	700,229	EDP – Energias de Portugal SA		3,322,617
	1,176,231	Galp Energia SGPS SA (b)		14,493,134
	65,009	Jeronimo Martins SGPS SA		1,450,450
	297,612	Navigator Co SA (The)		1,208,919
	192,336	NOS SGPS SA		772,634
	23,211	REN – Redes Energeticas Nacionais SGPS SA		61,468
	1,605,581	Sonae SGPS SA		1,631,054
		Total Portugal		23,393,326
		Qatar — 0.1%
	84,512	Ooredoo QPSC		206,155
	447,008	Qatar National Bank QPSC		2,416,717
	160,925	Qatar National Cement Co QSC		203,498
		Total Qatar		2,826,370
		Russia — 0.2%
	10,221,010	Alrosa PJSC (e) (f)		761,137
	376,870,000	Federal Grid Co Unified Energy System PJSC * (e)		37,307
	214,678	Fix Price Group Ltd GDR * (e)		53,085
	415,363	Gazprom Neft PJSC (e)		222,836
	4,924,596	Gazprom PJSC (e)		947,314
	75,924	Globaltrans Investment Plc Sponsored GDR (Registered) * (e)		28,197
	18,204,300	Inter RAO UES PJSC (e)		68,492
	88,304	LSR Group PJSC – Class A * (e)		47,465
	4	LSR Group PJSC GDR (Registered) (e)		—
	192,855	LUKOIL PJSC (e)		1,017,162
	5,760,219	Magnitogorsk Iron & Steel Works PJSC (e) (f)		206,448
	71,800	Mechel PJSC * (e)		8,359
	12,797	MMC Norilsk Nickel PJSC (e)		209,676
	8	MMC Norilsk Nickel PJSC ADR * (c)		13
	23,942	Mobile TeleSystems PJSC (e)		6,466
	37,065	Mobile TeleSystems PJSC ADR * (e)		20,062
	1,472,470	Moscow Exchange MICEX-RTS PJSC * (e)		146,591
	7,545,000	Mosenergo PJSC * (e)		15,059
	191,960	Novatek PJSC (e)		227,106
	3,493,400	Novolipetsk Steel PJSC (e)		424,601
	6,115	PhosAgro PJSC (e)		45,102
	118	PhosAgro PJSC GDR (e) (f)		291
	254,956	Polymetal International Plc *		739,312
	25,552	Polyus PJSC * (e)		211,032
	1,493	Ros Agro Plc GDR (Registered) * (d) (e)		1,288
	1,208	Ros Agro Plc GDR (Registered) * (d) (e)		1,091

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	49,974,140	RusHydro PJSC (e)		43,228
	8,073,970	Sberbank of Russia PJSC * (e) (f)		1,255,014
	7,395	Severstal PAO * (e) (f)		6,681
	261,549	Severstal PJSC GDR (Registered) (e) (f)		236,777
	29,090	SFI PJSC * (e)		15,209
	27,770,670	Surgutneftegas PJSC (e)		688,066
	986,916	Tatneft PJSC (e)		412,184
	725,480	Unipro PJSC (e)		1,153
	55,470	United Co Rusal International PJSC (e)		2,437
	752,312,000	VTB Bank PJSC * (e) (f)		14,522
		Total Russia		8,120,763
		Saudi Arabia — 0.2%
	40,577	Almarai Co JSC		578,025
	268,681	Saudi Arabian Oil Co		2,403,522
	130,843	Saudi Basic Industries Corp		2,913,866
	135,350	Saudi Telecom Co		1,391,396
		Total Saudi Arabia		7,286,809
		Singapore — 0.8%
	171,000	AIMS APAC (REIT)		151,486
	621,000	Asian Pay Television Trust		49,306
	102,600	Bumitama Agri Ltd		46,336
	241,400	City Developments Ltd		1,483,066
	611,200	ComfortDelGro Corp Ltd		556,011
	324,224	DBS Group Holdings Ltd		8,455,355
	512,600	First Real Estate Investment Trust (b)		90,682
	64,400	First Resources Ltd		76,958
	3,966,000	Golden Agri-Resources Ltd		846,647
	627,199	Japfa Ltd (b)		236,585
	128,400	Jardine Cycle & Carriage Ltd (b)		2,863,806
	792,400	Keppel Corp Ltd		4,422,803
	242,500	Sasseur Real Estate Investment Trust		139,192
	76,000	Sheng Siong Group Ltd		92,170
	502,900	Silverlake Axis Ltd		139,351
	6,700	Singapore Exchange Ltd		44,846
	279,000	StarHub Ltd		220,509
	26,800	United Overseas Bank Ltd		617,940
	121,400	UOL Group Ltd		598,678
	18,100	Venture Corp Ltd		232,391
	355,200	Wilmar International Ltd		1,077,509
	5,441,477	Yangzijiang Financial Holding Ltd * (b)		1,392,062
	6,766,277	Yangzijiang Shipbuilding Holdings Ltd		7,165,968
	506,900	Yanlord Land Group Ltd		368,244
		Total Singapore		31,367,901
		South Africa — 1.2%
	756,571	Absa Group Ltd		9,072,209
	39,872	AECI Ltd		213,246
	70,657	African Rainbow Minerals Ltd		1,223,655
	43,489	Anglo American Platinum Ltd		4,395,633

Shares		Description	Value ($)
		South Africa — continued
	5,467	Aspen Pharmacare Holdings Ltd		45,368
	25,568	Astral Foods Ltd		249,758
	28,952	AVI Ltd		124,218
	102,603	Barloworld Ltd		621,990
	256,174	Bidvest Group Ltd (The)		3,445,101
	302,582	Blue Label Telecoms Ltd *		91,555
	9,950	Capitec Bank Holdings Ltd		1,181,314
	3,087	Clicks Group Ltd		53,107
	4,274	Exxaro Resources Ltd		55,904
	903,458	FirstRand Ltd		3,511,266
	48,390	Foschini Group Ltd (The)		295,007
	35,900	Gold Fields Ltd Sponsored ADR		400,285
	205,717	Impala Platinum Holdings Ltd		2,500,198
	24,044	Investec Ltd		145,122
	161,064	Kumba Iron Ore Ltd		4,550,249
	120,662	Lewis Group Ltd		347,430
	88,955	Motus Holdings Ltd		607,228
	114,310	Mr Price Group Ltd		1,117,242
	211,867	MTN Group Ltd		1,736,176
	23,041	MultiChoice Group		159,680
	16,215	Nedbank Group Ltd		214,335
	78,892	Ninety One Ltd		184,256
	926,150	Old Mutual Ltd		594,934
	10,559	Omnia Holdings Ltd		42,996
	800,762	Pepkor Holdings Ltd		1,030,684
	1,446	Reinet Investments SCA		25,527
	67,877	Reunert Ltd		188,176
	157,003	Sanlam Ltd		515,526
	3,420	Santam Ltd		52,027
	176,331	Sappi Ltd		501,460
	21,903	Sasol Ltd		380,805
	2,402	Shoprite Holdings Ltd		35,052
	757,944	Sibanye Stillwater Ltd		2,108,917
	83,500	Sibanye Stillwater Ltd ADR		936,035
	207,029	Telkom SA SOC Ltd *		417,877
	16,996	Thungela Resources Ltd		310,232
	51,308	Tiger Brands Ltd		578,765
	539,179	Truworths International Ltd		1,786,270
	80,115	Tsogo Sun Gaming Ltd		59,032
	126,998	Vodacom Group Ltd		924,914
	277,042	Woolworths Holdings Ltd		1,054,959
		Total South Africa		48,085,720
		South Korea — 3.2%
	5,169	Alteogen Inc *		143,643
	3,656	AMOREPACIFIC Group		87,737
	1,902	BGF retail Co Ltd		298,495
	23,701	BH Co Ltd		478,979
	269,005	BNK Financial Group Inc		1,524,365
	483	Caregen Co Ltd		41,023
	41,705	Cheil Worldwide Inc		773,534
	1,197	CJ CheilJedang Corp		361,039

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	890	CJ ENM Co Ltd		56,551
	902	CJ Logistics Corp *		60,459
	18,807	Coway Co Ltd		828,012
	4,096	Daeduck Electronics Co Ltd		73,771
	2,948	Daihan Pharmaceutical Co Ltd		67,794
	5,507	Daou Data Corp		118,552
	7,964	DB HiTek Co Ltd		276,271
	7,076	DB Insurance Co Ltd		336,334
	483	Dentium Co Ltd		32,754
	62,560	DGB Financial Group Inc		379,051
	274,760	Dongwon Development Co Ltd		754,620
	6,754	Doosan Bobcat Inc		184,870
	14,200	E-MART Inc		1,004,453
	470	Green Cross Corp		45,972
	11,495	GS Engineering & Construction Corp		207,899
	41,751	GS Holdings Corp		1,551,843
	1,316	HAESUNG DS Co Ltd		43,159
	143,867	Hana Financial Group Inc		4,920,545
	11,389	Handsome Co Ltd		226,214
	95,128	Hankook Tire & Technology Co Ltd		2,484,456
	73,755	HDC Hyundai Development Co-Engineering & Construction		627,237
	5,968	HMM Co Ltd		102,853
	7,232	Huchems Fine Chemical Corp		119,478
	5,313	Hyundai Department Store Co Ltd		245,431
	31,983	Hyundai Engineering & Construction Co Ltd		1,010,964
	16,909	Hyundai Glovis Co Ltd		2,293,857
	2,982	Hyundai Home Shopping Network Corp		113,102
	19,328	Hyundai Marine & Fire Insurance Co Ltd		445,834
	31,160	Hyundai Mobis Co Ltd		5,100,223
	5,444	Industrial Bank of Korea		46,599
	1,070	Innox Advanced Materials Co Ltd		24,056
	14,726	INTOPS Co Ltd		340,492
	64,794	JB Financial Group Co Ltd		416,819
	31,775	KB Financial Group Inc		1,261,713
	7,900	KB Financial Group Inc ADR		311,339
	8,906	KC Co Ltd		124,382
	3,229	KC Tech Co Ltd		41,164
	223	KCC Corp		41,040
	2,072	KCC Glass Corp		65,115
	309,540	Kia Corp		16,301,584
	1,585	KIWOOM Securities Co Ltd		112,447
	263	Korea Investment Holdings Co Ltd		11,691
	5,712	Korea Petrochemical Ind Co Ltd		712,513
	3,162	Korea Zinc Co Ltd		1,528,665
	54,413	KT Skylife Co Ltd		356,892
	202,217	KT&G Corp		15,344,040
	17,607	Kumho Petrochemical Co Ltd		2,025,306
	23,897	LG Corp		1,541,129
	128,842	LG Electronics Inc		9,722,365

Shares		Description	Value ($)
		South Korea — continued
	451	LG H&H Co Ltd		227,592
	33,058	LOTTE Fine Chemical Co Ltd		1,583,444
	5,172	LOTTE Himart Co Ltd		53,096
	18,715	LX International Corp		589,721
	14,430	LX Semicon Co Ltd		984,604
	2,694	MegaStudyEdu Co Ltd		161,283
	2,336	Meritz Financial Group Inc		68,060
	48,514	Meritz Securities Co Ltd		218,225
	117	NCSoft Corp		42,384
	6,196	NH Investment & Securities Co Ltd		45,730
	2,052	NHN KCP Corp *		22,134
	373	NongShim Co Ltd		93,532
	5,359	Orion Corp		481,225
	11,638	POSCO Holdings Inc		2,663,940
	104,200	POSCO Holdings Inc Sponsored ADR		5,945,652
	5,021	PSK Inc		69,729
	971	S-1 Corp		47,494
	615	Samsung Electro-Mechanics Co Ltd		67,323
	216,214	Samsung Electronics Co Ltd		10,388,856
	4,235	Samsung Electronics Co Ltd GDR (Registered)		5,030,564
	1,328	Samsung Fire & Marine Insurance Co Ltd		208,444
	6,155	Samsung SDS Co Ltd		601,418
	6,658	Samsung Securities Co Ltd		180,180
	562	Samyang Foods Co Ltd		48,004
	4,824	Sangsangin Co Ltd		22,915
	38,626	SD Biosensor Inc		977,230
	23,672	Seegene Inc		554,105
	2,649	SFA Engineering Corp		81,471
	111,065	Shinhan Financial Group Co Ltd (d)		3,219,787
	400	Shinhan Financial Group Co Ltd (d)		11,608
	878	SK Chemicals Co Ltd		59,944
	81,274	SK Square Co Ltd *		2,354,720
	31,667	SK Telecom Co Ltd Sponsored ADR		679,257
	12,640	SL Corp		273,038
	1,507	SNT Motiv Co Ltd		51,700
	548	Soulbrain Co Ltd		90,082
	162	Taekwang Industrial Co Ltd		91,349
	1,120	Unid Co Ltd		84,412
	1,757	UNIDBTPLUS Co Ltd		8,473
	400,036	Woori Financial Group Inc		3,996,334
	152,064	Woori Technology Investment Co Ltd *		525,858
	333	Young Poong Corp		194,774
	24,451	Youngone Corp		890,921
		Total South Korea		121,741,337
		Spain — 1.8%
	626,459	Acerinox SA		6,197,586
	122,116	Amadeus IT Group SA * (a)		6,602,507
	86,040	Atresmedia Corp de Medios de Comunicacion SA (b)		302,485

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Spain — continued
	2,725,937	Banco Bilbao Vizcaya Argentaria SA		16,064,061
	9,359,119	Banco de Sabadell SA		8,738,787
	2,841,655	Banco Santander SA		8,479,028
	238,606	Bankinter SA		1,569,330
	130,062	CaixaBank SA (a)		483,547
	57,498	Cia de Distribucion Integral Logista Holdings SA (a)		1,356,157
	90,444	Ence Energia y Celulosa SA		299,643
	88,295	Faes Farma SA		339,384
	2,936	Grupo Catalana Occidente SA		92,869
	8,364	Iberdrola SA (a)		94,492
	232,265	Industria de Diseno Textil SA (a)		6,062,998
	48,202	Mediaset Espana Comunicacion SA *		160,539
	620,888	Repsol SA		9,586,710
	384,426	Telefonica SA (a)		1,434,938
	282,493	Unicaja Banco SA		292,059
		Total Spain		68,157,120
		Sweden — 0.6%
	306,413	Fastighets AB Balder – B Shares *		1,377,482
	57,745	Industrivarden AB – A Shares (a) (b)		1,490,288
	113,735	Industrivarden AB – C Shares (b)		2,913,511
	141,954	Investor AB – A Shares		2,733,277
	168,534	Investor AB – B Shares (a)		3,136,562
	55,175	Inwido AB		555,595
	213,672	Kinnevik AB – Class B *		3,293,729
	47,636	New Wave Group AB – B Shares		965,248
	118,802	Skanska AB – B Shares		1,934,017
	729,664	SSAB AB – A Shares		4,225,302
	89,923	SSAB AB – B Shares		508,383
	53,537	Svenska Cellulosa AB SCA – Class B		727,928
	89,135	Telefonaktiebolaget LM Ericsson – B Shares		562,590
		Total Sweden		24,423,912
		Switzerland — 0.9%
	174,616	Adecco Group AG (Registered)		5,936,353
	4,014	DKSH Holding AG (a)		302,659
	1,277	Gurit Holding AG (b)		131,269
	109,335	Logitech International SA (Registered) (b)		6,628,696
	14,408	Mobilezone Holding AG (Registered)		251,005
	28,374	Roche Holding AG – Genusschein (a)		9,267,625
	6,403	u-blox Holding AG *		833,623
	431,226	UBS Group AG (Registered) (a)		7,957,273
	2,982	Zehnder Group AG – Class RG		177,287
	4,665	Zurich Insurance Group AG (a)		2,241,238
		Total Switzerland		33,727,028
		Taiwan — 3.7%
	30,000	Acer Inc		24,077
	11,774	Acter Group Corp Ltd		38,601
	7,000	Advantech Co Ltd		76,197

Shares		Description	Value ($)
		Taiwan — continued
	748,235	AmTRAN Technology Co Ltd		236,340
	127,700	ASE Technology Holding Co Ltd ADR (a)		868,360
	71,000	Asia Cement Corp		95,404
	7,000	ASMedia Technology Inc		167,834
	5,000	ASROCK Inc		21,451
	1,106,672	Asustek Computer Inc		9,619,303
	58,000	Aten International Co Ltd		145,564
	932,000	Catcher Technology Co Ltd		5,559,412
	1,544,000	Cathay Financial Holding Co Ltd		2,197,201
	225,673	Chailease Holding Co Ltd		1,489,528
	442,490	Chicony Electronics Co Ltd		1,198,672
	191,000	China Steel Corp		181,313
	633,000	Chipbond Technology Corp		1,203,150
	63,000	ChipMOS Technologies Inc		69,481
	113,540	Chong Hong Construction Co Ltd		265,341
	5,000	Chroma ATE Inc		32,620
	188,560	Chunghwa Telecom Co Ltd		694,072
	4,500	Chunghwa Telecom Co Ltd Sponsored ADR (a)		164,340
	1,432,000	Compal Electronics Inc		1,008,411
	52,000	Compeq Manufacturing Co Ltd		83,370
	145,080	Coretronic Corp		274,698
	13,000	Elan Microelectronics Corp		38,235
	17,000	Elite Semiconductor Microelectronics
		Technology Inc		41,059
	1,036,000	Evergreen Marine Corp Taiwan Ltd		5,562,025
	650,000	Far EasTone Telecommunications Co Ltd		1,435,250
	271,000	Farglory Land Development Co Ltd		481,031
	194,340	First Financial Holding Co Ltd		165,885
	100,709	FLEXium Interconnect Inc		351,795
	35,000	Formosa Advanced Technologies Co Ltd		45,157
	11,000	Formosa Chemicals & Fibre Corp		27,235
	9,000	Formosa International Hotels Corp		69,450
	679,000	Formosa Plastics Corp		1,991,577
	356,000	Foxconn Technology Co Ltd		605,127
	2,129,148	Fubon Financial Holding Co Ltd		4,228,953
	26,000	Getac Technology Corp		36,159
	18,000	Gigabyte Technology Co Ltd		64,153
	834,000	Grand Pacific Petrochemical		566,262
	700,160	HannStar Display Corp		261,913
	16,000	Holtek Semiconductor Inc		37,309
	4,841,406	Hon Hai Precision Industry Co Ltd		15,852,149
	207,000	Huaku Development Co Ltd		598,852
	41,941	International Games System Co Ltd		532,675
	3,000	King Slide Works Co Ltd		40,436
	235,000	King’s Town Bank Co Ltd		266,514
	148,000	Kung Long Batteries Industrial Co Ltd		662,907
	61,000	Largan Precision Co Ltd		4,596,088
	1,109,000	Lite-On Technology Corp		2,366,771
	11,000	Makalot Industrial Co Ltd		83,745

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	304,000	MediaTek Inc		7,345,795
	131,039	Mercuries Life Insurance Co Ltd *		25,709
	523,000	Micro-Star International Co Ltd		2,107,736
	489,000	Mitac Holdings Corp		473,600
	421,000	Nan Ya Plastics Corp		1,052,991
	276,502	Nantex Industry Co Ltd		349,637
	363,000	Nanya Technology Corp		677,402
	6,000	Nien Made Enterprise Co Ltd		56,960
	326,000	Novatek Microelectronics Corp		3,194,237
	106,000	Phison Electronics Corp		1,138,436
	1,709,566	Pou Chen Corp		1,800,597
	62,000	Powertech Technology Inc		169,094
	305,000	Primax Electronics Ltd		575,531
	94,880	Quanta Computer Inc		221,140
	440,263	Radiant Opto-Electronics Corp		1,505,648
	18,000	Raydium Semiconductor Corp		184,198
	34,000	Realtek Semiconductor Corp		353,462
	845,700	Ruentex Development Co Ltd		1,276,610
	668,000	Ruentex Industries Ltd		1,447,051
	24,000	Shanghai Commercial & Savings Bank Ltd (The)		39,658
	132,280	Shin Zu Shing Co Ltd		365,116
	128,000	Shinkong Insurance Co Ltd		207,109
	301,728	Silicon Motion Technology Corp ADR		19,039,037
	90,000	Simplo Technology Co Ltd		891,859
	10,000	Soft-World International Corp		25,311
	292,000	Syncmold Enterprise Corp		556,734
	43,000	Synnex Technology International Corp		81,770
	23,000	T3EX Global Holdings Corp		59,426
	24,311	Tah Hsin Industrial Corp		55,580
	47,000	TaiDoc Technology Corp		281,339
	10,000	Taiwan Hon Chuan Enterprise Co Ltd		26,236
	139,000	Taiwan Semiconductor Manufacturing Co Ltd		2,232,319
	151,425	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		12,565,246
	96,000	Taiwan Union Technology Corp		179,887
	5,000	Thinking Electronic Industrial Co Ltd		19,692
	122,699	TOPBI International Holdings Ltd *		48,803
	289,000	Transcend Information Inc		636,393
	223,000	Tripod Technology Corp		703,997
	16,000	Tung Ho Steel Enterprise Corp		27,908
	121,681	United Integrated Services Co Ltd		711,336
	59,000	United Microelectronics Corp *		87,434
	304,000	Universal Inc		243,358
	582,400	Wan Hai Lines Ltd		1,458,232
	806,000	Winbond Electronics Corp		562,657
	712,000	Wistron Corp		639,563
	2,000	Wiwynn Corp		56,948
	363,000	WPG Holdings Ltd		573,023
	20,000	WT Microelectronics Co Ltd		41,070
	4,000	Yageo Corp		60,814

Shares		Description	Value ($)
		Taiwan — continued
	2,759,000	Yang Ming Marine Transport Corp		6,002,519
	239,000	Youngtek Electronics Corp		477,456
	4,729,290	Yuanta Financial Holding Co Ltd		3,479,751
	121,000	Zhen Ding Technology Holding Ltd		473,892
		Total Taiwan		143,590,759
		Thailand — 0.8%
	5,829,700	AP Thailand Pcl NVDR		1,678,150
	1,424,900	Bangkok Bank Pcl NVDR		5,854,524
	470,200	Bangkok Dusit Medical Services Pcl NVDR		405,062
	147,600	CP ALL Pcl (Foreign Registered)		273,272
	47,300	CP ALL Pcl NVDR		87,573
	226,000	GFPT Pcl NVDR		87,542
	52,300	Kasikornbank Pcl (Foreign Registered)		215,508
	1,739,800	Kasikornbank Pcl NVDR		7,169,027
	157,500	Kiatnakin Phatra Bank Pcl NVDR		321,266
	19,717,600	Krung Thai Bank Pcl NVDR		9,894,998
	159,808	Pruksa Holding Pcl (Foreign Registered)		55,012
	565,380	Pruksa Holding Pcl NVDR		194,625
	236,200	PTG Energy Pcl NVDR		99,816
	669,600	PTT Exploration & Production Pcl NVDR		3,570,316
	136,000	Regional Container Lines Pcl NVDR		116,619
	10,844,900	Sansiri Pcl NVDR		485,410
	849,700	SC Asset Corp Pcl (Foreign Registered)		99,744
	207,800	Somboon Advance Technology Pcl NVDR		130,480
	897,300	Sri Trang Gloves Thailand Pcl NVDR		255,289
	272,400	Thai Oil Pcl NVDR		430,532
	208,230	Thai Vegetable Oil Pcl NVDR		167,041
		Total Thailand		31,591,806
		Turkey — 0.7%
	11,780,661	Akbank TAS		11,019,525
	271,525	Arcelik AS		1,347,885
	871,192	Aselsan Elektronik Sanayi Ve Ticaret AS		2,279,758
	46,503	Dogus Otomotiv Servis ve Ticaret AS		393,003
	447,192	Enerjisa Enerji AS		698,198
	1,284,375	Haci Omer Sabanci Holding AS		2,921,243
	421,726	KOC Holding AS		1,605,959
	253,254	Koza Anadolu Metal Madencilik Isletmeleri AS *		619,952
	17,601	Mavi Giyim Sanayi Ve Ticaret AS – Class B		107,926
	20,776	Oyak Cimento Fabrikalari AS *		23,520
	1,688,951	Turkiye Garanti Bankasi AS		2,442,169
	2,486,873	Turkiye Is Bankasi AS – Class C		1,399,568
	20,420	Vestel Beyaz Esya Sanayi ve Ticaret AS		13,955
	194,461	Vestel Elektronik Sanayi ve Ticaret AS		626,700
	1,125,564	Yapi ve Kredi Bankasi AS		730,519
		Total Turkey		26,229,880

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Ukraine — 0.0%
	36,516	Kernel Holding SA		151,016
		United Arab Emirates — 0.0%
	736,772	Abu Dhabi National Oil Co for Distribution PJSC		914,335
	148,356	Emaar Development PJSC *		170,107
	103,538	Emaar Properties PJSC		172,143
		Total United Arab Emirates		1,256,585
		United Kingdom — 4.3%
	411,512	3i Group Plc		6,761,332
	15,686	AG Barr Plc		95,029
	567,156	Airtel Africa Plc		848,279
	78,106	Anglo American Plc		3,247,267
	81,548	BAE Systems Plc (a)		807,630
	207,297	Balfour Beatty Plc		811,641
	16,420	Bank of Georgia Group Plc		500,872
	1,363,799	Barratt Developments Plc		6,595,023
	120,558	Bellway Plc		2,929,457
	227,385	Berkeley Group Holdings Plc		10,544,671
	728,160	BP Plc (a)		4,348,378
	249,400	BP Plc Sponsored ADR (a)		8,953,460
	86,767	British American Tobacco Plc (a)		3,557,622
	167,900	British American Tobacco Plc Sponsored ADR (a)		6,929,233
	6,404,759	BT Group Plc		9,424,673
	59,690	Bunzl Plc (a)		2,207,516
	1,502,132	Centrica Plc (a)		1,734,097
	5,464	Clarkson Plc (a)		203,951
	89,563	Coats Group Plc		72,499
	344,027	Coca-Cola HBC AG *		8,415,210
	554,102	Compass Group Plc (a)		12,632,379
	110,718	Crest Nicholson Holdings Plc		306,460
	14,271	EMIS Group Plc (a)		323,473
	30,601	Evraz Plc (e)		755
	883,231	Ferrexpo Plc		1,538,418
	684,468	Glencore Plc (a)		4,670,890
	40,280	GSK Plc Sponsored ADR (a)		1,393,285
	32,500	Haleon Plc ADR * (a)		223,925
	187,410	Halfords Group Plc		441,192
	229,549	IG Group Holdings Plc		2,283,448
	223,669	Imperial Brands Plc (a)		5,753,004
	11,716	Inchcape Plc (a)		118,657
	71,019	Indivior Plc *		1,472,946
	27,836	International Personal Finance Plc		26,335
	367,489	Investec Plc		2,320,965
	11,440	Keller Group Plc		101,387
	1,561,637	Kingfisher Plc		4,566,848
	782,526	Legal & General Group Plc (a)		2,400,473
	2,773,082	M&G Plc		6,479,797
	43,933	Morgan Sindall Group Plc		868,449
	266,365	OSB Group Plc		1,533,431

Shares		Description	Value ($)
		United Kingdom — continued
	21,878	Paragon Banking Group Plc		125,121
	250,057	Persimmon Plc		3,873,095
	187,331	Plus500 Ltd		4,300,287
	102,635	Redde Northgate Plc (a)		469,843
	302,803	Redrow Plc		1,668,476
	572,045	S4 Capital Plc *		1,320,801
	220,505	Serica Energy Plc		842,535
	450,621	Shell Plc (a)		13,187,784
	135,527	Spirent Communications Plc		472,312
	61,535	Standard Chartered Plc		458,376
	1,506,480	Taylor Wimpey Plc		1,898,812
	8,168	TBC Bank Group Plc		216,577
	54,111	Unilever Plc		2,705,611
	5,300	Unilever Plc Sponsored ADR (a)		267,014
	56,109	Vesuvius Plc		259,173
	372,000	Vodafone Group Plc Sponsored ADR (a)		4,177,560
	26,057	Wincanton Plc (a)		114,916
	243,127	WPP Plc (a)		2,555,187
		Total United Kingdom		167,357,837
		United States — 22.2%
	311,541	1Life Healthcare, Inc. * (a)		5,293,082
	9,200	3M Co. (a)		1,158,924
	347,288	Activision Blizzard, Inc. (a)		25,681,948
	17,805	ADTRAN Holdings, Inc.		360,907
	61,232	Aemetis, Inc. *		337,388
	44,300	Aflac, Inc. (a)		3,186,499
	25,200	AGCO Corp.		3,344,544
	35,600	Alcoa Corp.		1,784,628
	160,400	Ally Financial, Inc.		4,332,404
	60,519	Alphabet, Inc. – Class A * (a)		6,111,814
	56,300	Ameresco, Inc. – Class A *		3,688,776
	54,027	American Express Co. (a)		8,514,115
	1,888,723	Anchor Hocking Holdings, Inc. (e)		1,624,302
	112,600	AppLovin Corp. – Class A * (a)		1,622,566
	59,100	Arrow Electronics, Inc. *		6,426,534
	180,300	AT&T, Inc. (a)		3,476,184
	72,600	Best Buy Co., Inc. (a)		6,192,780
	19,300	Biogen, Inc. * (a)		5,889,781
	12,200	Bio-Rad Laboratories, Inc. – Class A *		5,059,462
	163,452	Black Knight, Inc. * (a)		10,132,389
	3,878	Booking Holdings, Inc. * (a)		8,064,107
	331,045	BorgWarner, Inc.		14,072,723
	99,576	Bruin Blocker LLC (c)		57,226
	5,000	California Resources Corp.		226,900
	50,500	Capital One Financial Corp. (a)		5,213,620
	25,533	CarMax, Inc. * (a)		1,770,969
	144,100	Carrier Global Corp. (a)		6,386,512
	71,300	CBRE Group, Inc. – Class A * (a)		5,675,480
	79,100	Centene Corp. * (a)		6,885,655
	44,597	Chevron Corp. (a)		8,175,076
	9,900	Cigna Corp. (a)		3,256,011

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	130,121	Citigroup, Inc. (a)		6,299,158
	216,800	Clean Energy Fuels Corp. *		1,465,568
	360,200	Cleveland-Cliffs, Inc. *		5,575,896
	85,500	Cognizant Technology Solutions Corp. – Class A (a)		5,318,955
	180,500	Comcast Corp. – Class A (a)		6,613,520
	198,325	Cowen, Inc. – Class A		7,667,244
	40,500	CVS Health Corp. (a)		4,126,140
	159,670	Darling Ingredients, Inc. *		11,469,096
	3,800	Deere & Co. (a)		1,675,800
	140,200	Dell Technologies, Inc. – Class C		6,279,558
	43,000	Discover Financial Services (a)		4,659,480
	349,000	DISH Network Corp. – Class A *		5,601,450
	78,000	DR Horton, Inc. (a)		6,708,000
	131,200	eBay, Inc. (a)		5,961,728
	79,549	EOG Resources, Inc. (a)		11,290,389
	121,600	Exelon Corp. (a)		5,030,592
	5,800	Exxon Mobil Corp. (a)		645,772
	32,400	FedEx Corp. (a)		5,903,928
	136,800	Fidelity National Financial, Inc. (a)		5,521,248
	177,577	First Horizon Corp.		4,412,788
	115,557	Flagstar Bancorp, Inc.		4,338,010
	425,700	Ford Motor Co. (a)		5,917,230
	97,586	ForgeRock, Inc. – Class A *		2,122,495
	74,400	Fortune Brands Home & Security, Inc.		4,861,296
	54,300	Fox Corp. – Class A (a)		1,762,035
	182,100	Fox Corp. – Class B (a)		5,557,692
	217,900	Franklin Resources, Inc. (a)		5,841,899
	63,200	Freeport-McMoRan, Inc. (a)		2,515,360
	6,600	Garmin Ltd. (a)		613,734
	147,300	General Motors Co.		5,974,488
	20,800	Gilead Sciences, Inc. (a)		1,826,864
	4,700	Goldman Sachs Group, Inc. (The) (a)		1,814,905
	157,444	GrafTech International Ltd.		850,198
	154,765	Green Plains, Inc. *		5,348,678
	5,716	Gulfport Energy Corp. *		463,510
	36,178	HEICO Corp. – Class A		4,586,647
	10,800	Henry Schein, Inc. * (a)		873,936
	20,300	Hess Corp.		2,921,373
	53,572	Hilton Worldwide Holdings, Inc. (a)		7,640,439
	192,900	HP, Inc. (a)		5,794,716
	102,900	IAC, Inc. *		5,339,481
	82,400	Incyte Corp. * (a)		6,564,808
	204,400	Intel Corp. (a)		6,146,308
	86,032	Intercontinental Exchange, Inc. (a)		9,318,126
	50,100	International Business Machines Corp. (a)		7,459,890
	215,100	Invesco Ltd.		4,110,561
	45,800	Jazz Pharmaceuticals Plc *		7,186,478
	376,100	Kinder Morgan, Inc.		7,191,032
	67,000	Knight-Swift Transportation Holdings, Inc. (a)		3,713,810
	1,018,600	Kosmos Energy Ltd. *		6,773,690

Shares		Description	Value ($)
		United States — continued
	139,500	Kraft Heinz Co. (The) (a)		5,489,325
	26,900	Kroger Co. (The) (a)		1,323,211
	27,400	Laboratory Corp. of America Holdings (a)		6,595,180
	9,767	Lam Research Corp. (a)		4,613,735
	137,871	Las Vegas Sands Corp. * (a)		6,457,878
	73,700	Lennar Corp. – Class A		6,473,071
	210,964	Liberty Broadband Corp. – Class C *		19,168,189
	562,525	Liberty Global Plc – Class A *		11,295,502
	150,900	Liberty Global Plc – Class C *		3,120,612
	41,543	Liberty Media Corp.-Liberty Formula One – Class A *		2,283,619
	120,000	Lincoln National Corp.		4,672,800
	74,600	Livent Corp. *		2,088,054
	594,600	Lumen Technologies, Inc.		3,252,462
	74,800	LyondellBasell Industries NV – Class A (a)		6,358,748
	14,300	Marathon Oil Corp.		438,009
	5,988	Markel Corp. *		7,933,142
	16,800	Match Group, Inc. * (a)		849,408
	83,757	Meta Platforms, Inc. – Class A * (a)		9,891,702
	28,900	MetLife, Inc. (a)		2,216,630
	155,864	Micron Technology, Inc. (a)		8,985,560
	48,100	Mohawk Industries, Inc. *		4,873,973
	130,700	Molson Coors Brewing Co. – Class B (a)		7,202,877
	104,400	Mosaic Co. (The) (a)		5,355,720
	1,288,200	NII Holdings, Inc. (c)		450,870
	126,300	NRG Energy, Inc. (a)		5,361,435
	41,200	Nucor Corp. (a)		6,177,940
	160	NVR, Inc. *		742,242
	36,400	Occidental Petroleum Corp.		2,529,436
	61,700	Oracle Corp. (a)		5,122,951
	61,715	Otis Worldwide Corp. (a)		4,819,324
	6,800	PACCAR, Inc. (a)		720,188
	302,700	Paramount Global – Class B		6,078,216
	48,276	Park Hotels & Resorts, Inc. (REIT)		619,381
	71,100	PayPal Holdings, Inc. * (a)		5,574,951
	755,227	Pershing Square Tontine Holdings Ltd. (c)		75,523
	58,300	Pfizer, Inc. (a)		2,922,579
	346,268	PNM Resources, Inc.		16,967,132
	15,300	PotlatchDeltic Corp. (REIT)		731,187
	63,400	Prudential Financial, Inc. (a)		6,849,102
	131,100	PulteGroup, Inc.		5,870,658
	1,700	Quest Diagnostics, Inc. (a)		258,111
	101,380	Raytheon Technologies Corp. (a)		10,008,234
	9,500	Regeneron Pharmaceuticals, Inc. * (a)		7,141,150
	661,978	Resolute Forest Products, Inc. * (d)		13,967,736
	20,600	Resolute Forest Products, Inc. * (d)		433,853
	57,307	Rogers Corp. *		6,248,755
	102,176	Sensata Technologies Holding Plc		4,608,138
	217,698	Signify Health, Inc. – Class A * (a)		6,230,517
	114,350	Skillsoft Corp. *		219,552
	30,600	Skyworks Solutions, Inc. (a)		2,925,972

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	10,900	SolarEdge Technologies, Inc. * (a)		3,257,574
	266,761	South Jersey Industries, Inc. (a)		9,256,607
	298,457	Southeastern Grocers, Inc. * (e)		6,267,597
	202,235	Sportsman’s Warehouse Holdings, Inc. *		1,985,948
	29,900	SS&C Technologies Holdings, Inc. (a)		1,607,424
	7,800	Stanley Black & Decker, Inc.		637,416
	66,700	Steel Dynamics, Inc. (a)		6,932,131
	343,374	STORE Capital Corp. (REIT) (a)		10,953,631
	143,252	Sunrun, Inc. *		4,667,150
	402,186	Switch, Inc. – Class A (a)		13,774,870
	166,000	Synchrony Financial (a)		6,238,280
	1,507,100	Syncora Holdings Ltd. * (e)		15,071
	36,000	TechnipFMC Plc *		446,400
	1,015,832	TEGNA, Inc.		20,052,524
	23,689	Tempur Sealy International, Inc.		752,599
	67,000	Textron, Inc. (a)		4,782,460
	5,869	TRU TAJ Liquidation Unit Trust/TRU TAJ Finance, Inc. (e)		59
	160,204	TRU TAJ LLC/TRU TAJ Finance, Inc. * (e)		780,994
	83,500	Tyson Foods, Inc. – Class A (a)		5,534,380
	398,785	Umpqua Holdings Corp.		8,083,372
	1,200	United Parcel Service, Inc. – Class B (a)		227,676
	50,700	Universal Health Services, Inc. – Class B (a)		6,634,095
	171,053	US Bancorp (a)		7,764,096
	137,500	Verizon Communications, Inc. (a)		5,359,750
	19,300	Vertex Pharmaceuticals, Inc. * (a)		6,106,520
	518,800	Viatris, Inc. (a)		5,722,364
	117,780	VMware, Inc. – Class A * (a)		14,309,092
	148,600	Walgreens Boots Alliance, Inc. (a)		6,166,900
	64,277	Warner Bros Discovery, Inc. * (a)		732,758
	187,207	Wells Fargo & Co. (a)		8,976,576
	364,700	Western Union Co. (The) (a)		5,346,502
	126,300	Western Digital Corp. *		4,641,525
	44,300	Westlake Corp.		4,768,895
	107,060	Westmoreland Mining Holdings (c)		107,060
	34,000	Whirlpool Corp.		4,982,020
	99,222	Zogenix, Inc. * (c)		74,416
	65,100	Zoom Video Communications, Inc. – Class A * (a)		4,910,493
		Total United States		859,111,070
		Vietnam — 0.3%
	536,900	Duc Giang Chemicals JSC		1,340,482
	2,425,400	Hoa Phat Group JSC		1,825,153
	735,300	Hoa Sen Group *		339,207
	298,700	IDICO Corp JSC		437,628
	733,600	Nam Kim Steel JSC		330,392
	39,600	PetroVietNam Ca Mau Fertilizer JSC		47,317
	32,200	Petrovietnam Fertilizer & Chemicals JSC		53,904
	70,500	PetroVietnam Technical Services Corp		60,832

Shares		Description	Value ($)
		Vietnam — continued
	35,000	Pha Lai Thermal Power JSC		18,934
	1,135,075	Saigon – Hanoi Commercial Joint Stock Bank *		471,016
	219,800	Saigon Thuong Tin Commercial JSB *		180,603
	2,011,600	SSI Securities Corp		1,591,453
	331,600	Vietnam Dairy Products JSC		1,118,669
	1,329,600	Vietnam Joint Stock Commercial Bank for Industry and Trade		1,484,894
	202,500	Vinhomes JSC		450,253
	3,875,600	VNDirect Securities Corp		2,170,113
		Total Vietnam		11,920,850
		TOTAL COMMON STOCKS (COST $3,564,392,395)		3,103,194,856
		PREFERRED STOCKS (g) — 1.9%
		Brazil — 1.3%
	70,900	Banco do Estado do Rio Grande do Sul SA – Class B		136,216
	2,145,178	Bradespar SA		11,698,679
	833,820	Cia Energetica de Minas Gerais		1,844,596
	50	Cia Energetica de Minas Gerais Sponsored ADR (a)		110
	2,488,400	Cia Paranaense de Energia – Class B		3,874,526
	189,400	Gerdau SA		1,152,236
	331,504	Gerdau SA Sponsored ADR		2,022,174
	171,700	Itau Unibanco Holding SA		860,262
	799,800	Itau Unibanco Holding SA Sponsored ADR		3,983,004
	2,957,300	Petroleo Brasileiro SA		15,192,966
	857,980	Petroleo Brasileiro SA Sponsored ADR		8,794,295
	5,940	Unipar Carbocloro SA – Class B		111,237
		Total Brazil		49,670,301
		Chile — 0.1%
	34,984	Embotelladora Andina SA – Class B		67,441
	23,000	Sociedad Quimica y Minera de Chile SA Sponsored ADR		2,280,680
		Total Chile		2,348,121
		Germany — 0.2%
	52,738	Bayerische Motoren Werke AG		4,576,286
	4,088	Draegerwerk AG & Co KGaA (a)		185,289
	3,461	Villeroy & Boch AG		60,500
	22,038	Volkswagen AG (a)		3,255,247
		Total Germany		8,077,322
		Russia — 0.0%
	15,222	Bashneft PJSC (e)		12,135
	79,750	Nizhnekamskneftekhim PJSC (e)		6,433
	49,530	Sberbank of Russia PJSC * (e) (f)		7,424
	20,862,000	Surgutneftegas PJSC (e)		593,947

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Russia — continued
	12,313	Tatneft PJSC (e)		4,975
	337	Transneft PJSC (e)		34,211
		Total Russia		659,125
		South Korea — 0.3%
	5,895	Hyundai Motor Co GDR (Registered)		182,790
	6,750	LG Electronics Inc		237,863
	71	LG H&H Co Ltd		15,047
	216,689	Samsung Electronics Co Ltd		9,317,985
	1,358	Samsung Electronics Co Ltd GDR (Registered)		1,468,129
		Total South Korea		11,221,814
		Taiwan — 0.0%
	68,864	Chailease Holding Co Ltd		215,385
		United States — 0.0%
	39	Gulfport Energy Corp. (c)		217,425
	2,313	Murray Energy Corp. (e)		1,399,365
		Total United States		1,616,790
		TOTAL PREFERRED STOCKS (COST $85,902,427)		73,808,858
		RIGHTS/WARRANTS — 0.0%
		Australia — 0.0%
	18,570	Sandfire Resources Ltd. * (c)		—
		Canada — 0.0%
	222,285	Clementia Pharmaceuticals Inc * (c)		277,856
		France — 0.0%
	52,004	ALD SA *		113,101
		United States — 0.0%
	408,963	Bristol-Myers Squibb Co. CVR * (c)		756,582
		TOTAL RIGHTS/WARRANTS (COST $1,183,901)		1,147,539
		INVESTMENT FUNDS — 0.4%
		United States — 0.4%
	4,418,828	Altaba, Inc. (c)		16,570,605
		TOTAL INVESTMENT FUNDS (COST $12,512,701)		16,570,605
		DEBT OBLIGATIONS — 33.2%
		Austria — 0.0%
		Corporate Debt — 0.0%
EUR	1,600,000	ams-OSRAM AG, Reg S, 2.13%, due 11/03/27		1,138,167

Par Value†		Description	Value ($)
		Canada — 0.1%
		Corporate Debt — 0.1%
	4,539,000	Bombardier Inc, 144A, 7.88%, due 04/15/27		4,465,196
		China — 0.0%
		Corporate Debt — 0.0%
	6,630,000	Scenery Journey Ltd, Reg S, 11.50%, due 10/24/22 (h)		364,650
	709,000	Scenery Journey Ltd, Reg S, 13.00%, due 11/06/22 (h)		38,995
	2,130,000	Scenery Journey Ltd, Reg S, 12.00%, due 10/24/23 (h)		117,150
		Total China		520,795
		Israel — 0.1%
		Corporate Debt — 0.1%
	5,496,000	Teva Pharmaceutical Finance Co LLC, 6.15%, due 02/01/36		4,694,958
		Netherlands — 0.0%
		Corporate Debt — 0.0%
EUR	490,150	Evander Gold Mines Ltd, Variable Rate, 10.00%, due 04/19/26 (e) (h)		51
		Ukraine — 0.1%
		Corporate Debt — 0.1%
	319,000	MHP Lux SA, 144A, 6.95%, due 04/03/26 (c) (h)		159,500
	1,740,000	MHP Lux SA, Reg S, 6.25%, due 09/19/29 (c) (h)		852,600
	814,000	MHP SE, Reg S, 7.75%, due 05/10/24 (c) (h)		423,280
		Total Ukraine		1,435,380
		United Kingdom — 0.1%
		Corporate Debt — 0.1%
GBP	2,447,000	Deuce Finco Plc, Reg. S, 144A, 5.50%, due 06/15/27		2,347,365
		United States — 32.8%
		Asset-Backed Securities — 0.0%
	7,063,382	Crest G-Star LP, Series 2001-1A, Class D, 144A, 9.00%, due 11/28/35 (h)		7
		Bank Loans — 0.6%
	253,261	American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, Variable Rate, 1 mo. LIBOR plus 13.00%, 16.91%, due 09/16/25 (c)		253,261
	4,016,250	American Tire Distributors Holdings, Inc., 10.27%, due 10/20/28 (c)		3,654,788
	640,205	Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 2 mo. LIBOR plus 3.75%, 3.75%, due 10/10/25 (c)		182,459

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Bank Loans — continued
	843,617	Envision Healthcare Corp., 2022 Third Out Term Loan, Variable Rate, 3mo. SOFR plus 4.25%, 7.88%, due 03/31/27 (c)		189,814
	344,808	Envision Healthcare Corp., 2022 Second Out Term Loan, Variable Rate, 1mo. SOFR plus 4.25%, 8.38%, due 03/31/27 (c)		115,511
	2,429,173	Frontier Communications Corp., 2021 1st Lien Term Loan, Variable Rate, 3 mo. LIBOR plus 3.75%, 7.44%, due 05/01/28 (c)		2,307,714
	9,725,219	Gibson Brands, Inc., 2021 Term Loan, Variable Rate, 1 mo. LIBOR plus 5.00%, 9.13%, due 08/11/28 (c)		7,585,671
	2,165,542	Peloton Interactive, Inc, Term Loan, Variable Rate, 8.35%, due 05/25/27 (c)		2,097,868
	4,892,368	SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, Variable Rate, 1 mo. LIBOR plus 3.00%, 7.13%, due 08/25/28 (c)		4,786,350
	1,260,370	TGP Holdings III LLC, 2021 Term Loan, Variable Rate, 1 mo. LIBOR plus 3.25%, 7.00%, due 06/29/28 (c)		1,009,090
	166,188	TGP Holdings III LLC, 2021 Delayed Draw Term Loan, Variable Rate, 7.62%, due 06/29/28 (c)		133,055
		Total Bank Loans		22,315,581
		Corporate Debt — 3.0%
	4,136,037	Alaska Airlines Pass-Through Trust – Class B, 144A, 8.00%, due 02/15/27		4,129,308
	1,589,123	American Airlines Pass-Through Trust – Class B, 3.70%, due 11/01/24		1,558,492
	4,652,703	American Airlines Pass-Through Trust – Class B, 4.40%, due 03/22/25		4,535,890
	2,122,731	American Airlines Pass-Through Trust – Class B, 5.25%, due 07/15/25		2,061,681
	5,212,736	American Airlines Pass-Through Trust – Class B, 4.95%, due 08/15/26		4,881,125
	3,226,531	American Airlines Pass-Through Trust – Class B, 3.70%, due 04/15/27		2,915,210
	2,499,205	American Airlines Pass-Through Trust – Class B, 3.75%, due 04/15/27		2,179,781
	2,447,721	American Airlines Pass-Through Trust – Class B, 3.85%, due 08/15/29		2,048,967
	1,759,925	American Airlines Pass-Through Trust – Class B, 144A, 4.38%, due 12/15/25		1,636,142
	1,140,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28		1,077,300
	1,188,000	Bath & Body Works, Inc., 6.88%, due 11/01/35		1,075,140
	1,413,000	Boeing Co. (The), 5.93%, due 05/01/60		1,311,465
	4,765,000	CEC Entertainment LLC, 144A, 6.75%, due 05/01/26		4,457,229

Par Value†		Description	Value ($)
		Corporate Debt — continued
	7,850,000	Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 6.50%, due 10/01/28		7,536,000
	768,000	Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26		643,546
	4,856,000	Dave & Buster’s, Inc., 144A, 7.63%, due 11/01/25		4,879,871
	2,010,000	EnLink Midstream Partners LP, 5.60%, due 04/01/44		1,668,300
	1,818,000	EnLink Midstream Partners LP, 5.05%, due 04/01/45		1,380,862
	1,565,000	EnLink Midstream Partners LP, 5.45%, due 06/01/47		1,267,650
	1,400,000	Esc Cb Gulfport Energy, 6.38%, due 01/15/26 (e) (h)		140
	1,340,000	Ford Motor Credit Co. LLC, 5.58%, due 03/18/24		1,324,925
	290,000	Ford Motor Credit Co. LLC, 4.27%, due 01/09/27		268,334
	890,000	Ford Motor Credit Co. LLC, 5.11%, due 05/03/29		829,738
	330,563	Frontier Communications Holdings LLC, 5.88%, due 11/01/29		263,857
	11,423,000	Frontier Communications Holdings LLC, 144A, 6.00%, due 01/15/30		9,347,212
	860,000	Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 02/10/25		777,992
	1,877,000	GPS Hospitality Holding Co. LLC / GPS Finco, Inc., 144A, 7.00%, due 08/15/28		1,284,750
	18,156	Gulfport Energy Corp., 8.00%, due 05/17/26		18,097
	432,458	JetBlue Pass-Through Trust, Series 1B – Class B, 7.75%, due 05/15/30		418,972
	2,534,100	JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 04/01/25		2,105,406
	2,615,000	Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28		2,293,959
	5,071,000	NCL Finance Ltd., 144A, 6.13%, due 03/15/28		3,908,106
	1,540,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 144A, 4.63%, due 03/15/30		1,289,050
	1,454,000	Owens & Minor, Inc., 4.38%, due 12/15/24		1,388,359
	4,931,000	Park Intermediate Holdings LLC / PK Domestic Property LLC/PK Finance Co-Issuer, 144A, 5.88%, due 10/01/28		4,566,451
	1,733,000	Redfin Corp., 0.00, due 10/15/25		1,031,135
	6,282,000	Rithm Capital Corp., 144A, 6.25%, due 10/15/25		5,671,697
	1,076,000	ROCC Holdings LLC, 144A, 9.25%, due 08/15/26		1,076,522

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Corporate Debt — continued
	3,851,000	Royal Caribbean Cruises Ltd., 7.50%, due 10/15/27		3,385,596
	1,953,000	Royal Caribbean Cruises Ltd., 144A,
		5.50%, due 08/31/26		1,694,228
	3,254,000	Royal Caribbean Cruises Ltd., 144A,
		5.50%, due 04/01/28		2,656,078
	2,967,000	SeaWorld Parks & Entertainment, Inc.,
		144A, 8.75%, due 05/01/25		3,033,672
	3,495,000	Tempur Sealy International, Inc., 144A,
		3.88%, due 10/15/31		2,713,203
	1,878,000	Townsquare Media, Inc., 144A, 6.88%, due 02/01/26		1,742,236
	2,230,000	Triumph Group, Inc., 144A, 8.88%, due 06/01/24		2,280,175
	1,846,000	United Wholesale Mortgage LLC, 144A, 5.75%, due 06/15/27		1,633,710
	1,680,000	Wayfair, Inc., 0.63%, due 10/01/25		1,071,000
	3,921,000	Wynn Resorts Finance LLC / Wynn Resorts Capital Corp., 144A, 5.13%, due 10/01/29		3,407,772
	2,278,000	XHR LP, 144A, 4.88%, due 06/01/29		1,947,075
		Total Corporate Debt		114,673,406
		U.S. Government — 29.2%
	298,000,000	U.S. Treasury Note, 0.13%, due 02/28/23		294,877,460
	247,300,000	U.S. Treasury Note, 0.13%, due 04/30/23 (a) (i)		242,692,106
	205,000,000	U.S. Treasury Note, 0.13%, due 06/30/23 (a)		199,562,695
	100,000,000	U.S. Treasury Note, 0.13%, due 07/31/23		96,988,281
	70,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 10/31/23		70,052,603
	175,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24		174,692,898
	52,105,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 (a)		52,038,577
		Total U.S. Government		1,130,904,620
		Total United States		1,267,893,614
		TOTAL DEBT OBLIGATIONS (COST $1,311,486,159)		1,282,495,526

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers — 0.4%
	2,585,945	GMO U.S. Treasury Fund		12,878,006
		TOTAL MUTUAL FUNDS (COST $12,981,989)		12,878,006
		SHORT-TERM INVESTMENTS — 4.8%
		Money Market Funds — 0.2%
	7,591,756	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (j)		7,591,756
	872,228	State Street U.S. Treasury Liquidity Fund – Class D, 3.69% (i)		872,228
		Total Money Market Funds		8,463,984
		Repurchase Agreements — 4.1%
	159,910,888	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/30/22, maturing on 12/01/22 with a maturity value of $159,927,767 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 04/30/29 and a market value of $163,174,375.		159,910,888
		U.S. Government — 0.5%
	18,500,000	U.S. Treasury Bill, 4.61%, due 05/18/23 (a) (i) (k)		18,113,399
		TOTAL SHORT-TERM INVESTMENTS (COST $186,681,382)		186,488,271

PURCHASED OPTIONS – 0.0%

Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount			Value ($)
Equity Options – Puts – 0.0%
Continental Resources, Inc.	70.00		12/16/22		1,237		USD	9,187,817	6,185
	TOTAL PURCHASED OPTIONS (COST $42,837)								6,185
	TOTAL INVESTMENTS — 120.9% (Cost $5,175,183,791)								4,676,589,846

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (23.6)%
			Common Stocks — (23.4)%
			Australia — (0.5)%
	(105,394	)	ASX Ltd		(5,080,393	)
	(22,249	)	Cochlear Ltd		(3,272,348	)
	(16,433	)	Domino’s Pizza Enterprises Ltd		(752,623	)
	(130,199	)	IDP Education Ltd		(2,680,590	)
	(1,328,108	)	Qantas Airways Ltd *		(5,703,733	)
	(48,635	)	Ramsay Health Care Ltd		(2,188,814	)
‘			Total Australia		(19,678,501	)
			Austria — (0.2)%
	(66,714	)	Verbund AG		(6,039,191	)
			Belgium — (0.2)%
	(105,684	)	Anheuser-Busch InBev SA/NV		(6,232,754	)
			Canada — (1.3)%
	(83,500	)	Agnico Eagle Mines Ltd		(4,205,895	)
	(333,500	)	Algonquin Power & Utilities Corp		(2,517,925	)
	(254,400	)	AltaGas Ltd		(4,268,526	)
	(49,800	)	BCE Inc		(2,372,472	)
	(140,500	)	Brookfield Renewable Corp – Class A		(4,581,705	)
	(145,100	)	Enbridge Inc		(5,991,179	)
	(41,700	)	Franco-Nevada Corp		(6,093,204	)
	(325,800	)	Pan American Silver Corp		(5,339,862	)
	(179,400	)	Pembina Pipeline Corp		(6,544,512	)
	(105,800	)	Restaurant Brands International Inc		(7,019,830	)
	(43,400	)	Ritchie Bros Auctioneers Inc		(2,380,490	)
			Total Canada		(51,315,600	)
			Denmark — (0.1)%
	(5,540	)	Coloplast A/S – Class B		(654,921	)
	(93,412	)	Tryg A/S		(2,173,333	)
			Total Denmark		(2,828,254	)
			Finland — (0.0)%
	(23,688	)	Elisa Oyj		(1,232,184	)
			France — (0.8)%
	(190,790	)	Accor SA *		(5,025,441	)
	(35,215	)	Aeroports de Paris *		(5,427,954	)
	(9,184	)	Euronext NV		(702,563	)
	(359,213	)	Getlink SE		(5,936,135	)
	(4,488	)	Hermes International		(7,294,247	)
	(5,580	)	Sartorius Stedim Biotech		(1,904,472	)
	(21,144	)	Ubisoft Entertainment SA *		(588,188	)
	(24,439	)	Wendel SE		(2,275,609	)
			Total France		(29,154,609	)
			Germany — (0.9)%
	(143,565	)	Delivery Hero SE *		(6,284,224	)
	(29,524	)	Deutsche Boerse AG		(5,425,757	)

Shares			Description	Value ($)
			Germany — continued
	(12,678	)	MTU Aero Engines AG		(2,673,322	)
	(4,016	)	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		(1,268,479	)
	(41,837	)	Puma SE		(2,165,218	)
	(9,179	)	QIAGEN NV *		(458,263	)
	(4,733	)	Rational AG		(2,973,763	)
	(10,342	)	Scout24 SE		(567,653	)
	(51,983	)	Symrise AG – Class A		(5,961,864	)
	(1,783,821	)	Telefonica Deutschland Holding AG		(4,266,453	)
	(27,297	)	Zalando SE *		(858,567	)
			Total Germany		(32,903,563	)
			Ireland — (0.0)%
	(5,899	)	Flutter Entertainment Plc *		(878,346	)
			Israel — (0.2)%
	(40,600	)	CyberArk Software Ltd *		(6,052,242	)
	(18,400	)	Wix.com Ltd *		(1,665,016	)
			Total Israel		(7,717,258	)
			Italy — (0.6)%
	(163,918	)	Amplifon SPA		(4,643,323	)
	(26,849	)	Ferrari NV (d)		(5,992,748	)
	(9,400	)	Ferrari NV (d)		(2,096,670	)
	(441,398	)	FinecoBank Banca Fineco SPA		(7,169,056	)
	(503,761	)	Infrastrutture Wireless Italiane SPA		(5,024,395	)
			Total Italy		(24,926,192	)
			Japan — (2.4)%
	(184,300	)	Aeon Co Ltd		(3,803,529	)
	(269,600	)	ANA Holdings Inc *		(5,804,980	)
	(212,900	)	Asahi Intecc Co Ltd		(3,811,088	)
	(1,500	)	Fast Retailing Co Ltd		(891,959	)
	(58,700	)	GMO Payment Gateway Inc		(5,314,652	)
	(285,900	)	Japan Airlines Co Ltd *		(5,714,900	)
	(141,800	)	Japan Exchange Group Inc		(2,053,145	)
	(95,600	)	Keio Corp		(3,581,433	)
	(53,300	)	Keisei Electric Railway Co Ltd		(1,526,962	)
	(25,400	)	Kintetsu Group Holdings Co Ltd		(907,826	)
	(33,600	)	Lasertec Corp		(6,333,665	)
	(192,600	)	M3 Inc		(6,040,470	)
	(372,700	)	MonotaRO Co Ltd		(6,447,811	)
	(64,100	)	Nidec Corp		(4,036,541	)
	(277,000	)	Nihon M&A Center Holdings Inc		(3,792,316	)
	(420,800	)	Nippon Paint Holdings Co Ltd		(3,484,959	)
	(26,300	)	Nissin Foods Holdings Co Ltd		(2,004,191	)
	(254,500	)	Odakyu Electric Railway Co Ltd		(3,359,503	)
	(39,900	)	Oriental Land Co Ltd		(5,767,565	)
	(1,042,200	)	Rakuten Group Inc		(5,007,322	)
	(62,200	)	Shiseido Co Ltd		(2,656,558	)
	(107,800	)	Tobu Railway Co Ltd		(2,602,448	)
	(255,200	)	Tokyu Corp		(3,259,187	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			Japan — continued
	(123,400	)	West Japan Railway Co		(5,256,800	)
			Total Japan		(93,459,810	)
			Netherlands — (0.6)%
	(3,939	)	Adyen NV *		(6,205,180	)
	(34,563	)	IMCD NV		(5,112,014	)
	(173,206	)	Just Eat Takeaway.com NV *		(4,012,869	)
	(14,645	)	OCI NV		(619,981	)
	(281,603	)	Universal Music Group NV		(6,696,735	)
			Total Netherlands		(22,646,779	)
			New Zealand — (0.1)%
	(101,715	)	Xero Ltd *		(5,054,754	)
			Norway — (0.1)%
	(161,515	)	Aker BP ASA		(5,619,148	)
			Peru — (0.2)%
	(111,055	)	Southern Copper Corp		(6,776,576	)
			Singapore — (0.2)%
	(463,500	)	Grab Holdings Ltd – Class A *		(1,399,770	)
	(567,700	)	Singapore Airlines Ltd		(2,303,194	)
	(554,800	)	Singapore Exchange Ltd		(3,713,496	)
			Total Singapore		(7,416,460	)
			Spain — (0.3)%
	(156,192	)	Cellnex Telecom SA *		(5,371,211	)
	(259,866	)	Ferrovial SA		(6,988,395	)
			Total Spain		(12,359,606	)
			Sweden — (0.2)%
	(65,221	)	Evolution AB		(6,718,021	)
			Switzerland — (0.3)%
	(9	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(926,899	)
	(5,192	)	Partners Group Holding AG		(5,173,150	)
	(7,423	)	Sika AG (Registered)		(1,897,026	)
	(38,962	)	Straumann Holding AG (Registered)		(4,547,309	)
			Total Switzerland		(12,544,384	)
			United Kingdom — (1.1)%
	(62,276	)	Admiral Group Plc		(1,522,522	)
	(713,591	)	Auto Trader Group Plc		(4,926,138	)
	(1,633	)	Croda International Plc		(135,041	)
	(62,577	)	Halma Plc		(1,659,937	)
	(381,249	)	Hargreaves Lansdown Plc		(3,928,193	)
	(953,698	)	Informa Plc		(7,152,064	)
	(68,522	)	InterContinental Hotels Group Plc		(3,988,198	)
	(70,748	)	London Stock Exchange Group Plc		(7,084,383	)
	(562,807	)	Ocado Group Plc *		(4,260,866	)
	(6,077,018	)	Rolls-Royce Holdings Plc *		(6,733,630	)

Shares			Description	Value ($)
			United Kingdom — continued
	(16,397	)	Spirax-Sarco Engineering Plc		(2,239,361	)
			Total United Kingdom		(43,630,333	)
			United States — (13.1)%
	(246,100	)	AES Corp. (The)		(7,117,212	)
	(31,900	)	Alnylam Pharmaceuticals, Inc. *		(7,036,821	)
	(108,700	)	Altria Group, Inc.		(5,063,246	)
	(13,700	)	American Tower Corp. (REIT)		(3,031,125	)
	(4,700	)	Amgen, Inc.		(1,346,080	)
	(18,100	)	Aon Plc – Class A		(5,579,868	)
	(145,300	)	Aramark		(6,044,480	)
	(34,300	)	Arthur J Gallagher & Co.		(6,829,473	)
	(22,600	)	Autodesk, Inc. *		(4,564,070	)
	(10,700	)	Automatic Data Processing, Inc.		(2,826,298	)
	(12,369	)	Beacon Roofing Supply, Inc. *		(722,226	)
	(45,600	)	Bill.Com Holdings, Inc. *		(5,491,152	)
	(24,100	)	BioMarin Pharmaceutical, Inc. *		(2,433,618	)
	(59,600	)	Bio-Techne Corp.		(5,065,404	)
	(39,200	)	Boeing Co. (The) *		(7,012,096	)
	(26,502	)	Broadcom, Inc.		(14,603,397	)
	(39,900	)	Burlington Stores, Inc. *		(7,807,632	)
	(131,400	)	Caesars Entertainment, Inc. *		(6,676,434	)
	(97,100	)	Ceridian HCM Holding, Inc. *		(6,645,524	)
	(50,469	)	Charter Communications, Inc. – Class A *		(19,748,015	)
	(4,200	)	Chipotle Mexican Grill, Inc. – Class A *		(6,833,232	)
	(112,100	)	Cloudflare, Inc. – Class A *		(5,508,594	)
	(22,800	)	CME Group, Inc.		(4,024,200	)
	(237,598	)	Columbia Banking System, Inc.		(8,092,588	)
	(107,000	)	Coupa Software, Inc. *		(6,766,680	)
	(19,400	)	Crown Castle, Inc. (REIT)		(2,743,742	)
	(161,200	)	Delta Air Lines, Inc. *		(5,701,644	)
	(56,600	)	Dexcom, Inc. *		(6,581,448	)
	(40,500	)	Diamondback Energy, Inc.		(5,994,810	)
	(68,700	)	Dominion Energy, Inc.		(4,198,257	)
	(43,800	)	Equity LifeStyle Properties, Inc. (REIT)		(2,909,196	)
	(1,200	)	Erie Indemnity Co. – Class A		(338,868	)
	(54,400	)	Essential Utilities, Inc.		(2,624,256	)
	(142,500	)	Exact Sciences Corp. *		(6,405,375	)
	(103,000	)	Fastenal Co.		(5,305,530	)
	(104,800	)	Fortinet, Inc. *		(5,571,168	)
	(50,866	)	Frontier Communications Parent, Inc. *		(1,310,817	)
	(17,700	)	Gartner, Inc. *		(6,201,549	)
	(85,300	)	Guidewire Software, Inc. *		(5,059,143	)
	(29,158	)	HEICO Corp.		(4,732,635	)
	(29,700	)	Hess Corp.		(4,274,127	)
	(17,800	)	HubSpot, Inc. *		(5,393,934	)
	(15,100	)	IDEXX Laboratories, Inc. *		(6,430,637	)
	(92,100	)	Ingersoll Rand, Inc.		(4,970,637	)
	(22,000	)	Insulet Corp. *		(6,586,140	)
	(23,541	)	Intercontinental Exchange, Inc.		(2,549,726	)
	(29,500	)	IQVIA Holdings, Inc. *		(6,431,590	)
	(63,300	)	Iron Mountain, Inc. (REIT)		(3,439,089	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(484,975	)	Liberty Global Plc – Class C *		(10,029,283	)
	(146,233	)	Liberty Media Corp.-Liberty Formula One – Class C *		(8,911,439	)
	(19,300	)	Linde Plc *		(6,494,064	)
	(63,500	)	Live Nation Entertainment, Inc. *		(4,620,260	)
	(1,000	)	LPL Financial Holdings, Inc.		(236,710	)
	(20,800	)	MarketAxess Holdings, Inc.		(5,572,736	)
	(12,800	)	Marriott International, Inc. – Class A		(2,116,480	)
	(30,400	)	Marsh & McLennan Cos., Inc.		(5,264,672	)
	(43,398	)	MaxLinear, Inc. *		(1,588,367	)
	(10,700	)	McDonald’s Corp.		(2,918,853	)
	(7,600	)	McKesson Corp.		(2,900,768	)
	(31,700	)	MongoDB, Inc. – Class A *		(4,840,273	)
	(9,800	)	Monolithic Power Systems, Inc.		(3,743,208	)
	(10,600	)	Moody’s Corp.		(3,161,662	)
	(2,800	)	Motorola Solutions, Inc.		(762,160	)
	(12,800	)	MSCI, Inc. – Class A		(6,500,224	)
	(463,975	)	New York Community Bancorp, Inc.		(4,338,166	)
	(83,000	)	Newmont Corp.		(3,940,010	)
	(186,800	)	NiSource, Inc.		(5,219,192	)
	(83,000	)	Novocure Ltd. *		(6,377,720	)
	(101,600	)	Okta, Inc. *		(5,417,312	)
	(86,000	)	ONEOK, Inc.		(5,755,120	)
	(536,400	)	Palantir Technologies, Inc. – Class A *		(4,023,000	)
	(45,800	)	Paychex, Inc.		(5,680,574	)
	(60,700	)	Philip Morris International, Inc.		(6,049,969	)
	(19,900	)	PTC, Inc. *		(2,531,479	)
	(3,500	)	Public Storage (REIT)		(1,042,860	)
	(134,400	)	ROBLOX Corp. – Class A *		(4,269,888	)
	(89,200	)	Roku, Inc. *		(5,295,804	)
	(152,750	)	Rollins, Inc.		(6,177,210	)
	(115,100	)	Royal Caribbean Cruises Ltd. *		(6,897,943	)
	(3,600	)	RPM International, Inc.		(373,032	)
	(10,300	)	S&P Global, Inc.		(3,633,840	)
	(39,500	)	Seagen, Inc. *		(4,794,905	)
	(13,200	)	ServiceNow, Inc. *		(5,495,160	)
	(23,100	)	Sherwin-Williams Co. (The)		(5,756,058	)
	(25,700	)	Simon Property Group, Inc. (REIT)		(3,069,608	)
	(106,700	)	Snap, Inc. – Class A *		(1,100,077	)
	(31,100	)	Snowflake, Inc. – Class A *		(4,444,190	)
	(63,900	)	Starbucks Corp.		(6,530,580	)
	(60,800	)	Sysco Corp.		(5,259,808	)
	(185,800	)	Teladoc Health, Inc. *		(5,297,158	)
	(27,000	)	Tesla, Inc. *		(5,256,900	)
	(9,300	)	T-Mobile U.S., Inc. *		(1,408,578	)
	(100,900	)	Trade Desk, Inc. (The) – Class A *		(5,260,926	)
	(8,600	)	TransDigm Group, Inc.		(5,405,100	)
	(107,200	)	Twilio, Inc. – Class A *		(5,254,944	)
	(193,900	)	Uber Technologies, Inc. *		(5,650,246	)
	(63,700	)	UDR, Inc. (REIT)		(2,641,639	)
	(22,800	)	Vail Resorts, Inc.		(5,871,912	)
	(11,800	)	Vulcan Materials Co.		(2,163,294	)

Shares / Par Value†			Description	Value ($)
			United States — continued
	(208,100	)	Williams Cos., Inc. (The)		(7,221,070	)
	(67,749	)	Zillow Group, Inc. – Class C *		(2,573,107	)
	(200	)	Zoetis, Inc.		(30,828	)
	(38,100	)	Zscaler, Inc. *		(5,084,445	)
			Total United States		(504,878,594	)
			TOTAL COMMON STOCKS (PROCEEDS $1,009,657,639)		(904,010,917	)
			PREFERRED STOCKS (g) — (0.1)%
			Germany — (0.1)%
	(13,594	)	Sartorius AG		(5,110,756	)
			TOTAL PREFERRED STOCKS (PROCEEDS $5,519,138)		(5,110,756	)
			DEBT OBLIGATIONS — (0.1)%
			China — (0.1)%
			Corporate Debt — (0.1)%
	(3,610,000	)	Huarong Finance Co Ltd, 3.75%, due 05/29/24		(3,401,098	)
	(1,390,000	)	Huarong Finance II Co Ltd, 5.50%, due 01/16/25		(1,312,973	)
			Total China		(4,714,071	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $4,710,100)		(4,714,071	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $1,019,886,877)		(913,835,744	)
			Other Assets and Liabilities (net) —2.7%		105,577,767
			TOTAL NET ASSETS — 100.0%		$3,868,331,869

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

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, 2022
Alrosa PJSC	12/06/17	$	15,372,968	0.0%	$	761,137
Magnitogorsk Iron & Steel Works PJSC	06/16/21		4,815,566	0.0%		206,448
PhosAgro PJSC GDR	10/15/21		2,792	0.0%		291
Sberbank of Russia PJSC	09/09/20		29,636,901	0.0%		1,255,014
Sberbank of Russia PJSC	01/10/22		183,324	0.0%		7,424
Severstal PAO	02/02/21		126,125	0.0%		6,681
Severstal PJSC GDR (Registered)	10/23/17		5,003,828	0.0%		236,777
VTB Bank PJSC	01/09/20		587,690	0.0%		14,522
					$	2,488,294

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/17/2023	DB	CAD	4,445,328		USD	3,310,413		3,205
02/16/2023	JPM	CHF	24,792,875		USD	26,464,453		17,381
01/31/2023	BCLY	CHF	32,058,675		USD	34,142,384		7,797
01/18/2023	JPM	CZK	181,911,617		USD	7,772,008		13,706
01/18/2023	MSCI	EUR	1,004,700		USD	1,051,480		1,940
01/31/2023	SSB	EUR	30,650,000		USD	32,119,055		72,378
02/08/2023	MSCI	SEK	128,000,000		USD	12,312,842		67,117
02/09/2023	JPM	USD	11,016,665		AUD	16,380,000		133,664
01/23/2023	UBSA	USD	2,366,758		AUD	3,502,209		15,626
01/23/2023	DB	USD	36,062		AUD	53,569		378
12/02/2022	MSCI	USD	14,666,785		BRL	78,653,512		489,933
12/02/2022	GS	USD	1,116,546		BRL	5,900,000		20,398
02/02/2023	MSCI	USD	7,085,918		BRL	38,626,756		269,528
12/02/2022	CITI	USD	1,378,893		BRL	7,300,000		27,834
02/02/2023	MSCI	USD	30,491,272		CAD	41,503,042		391,667
02/02/2023	BCLY	USD	10,762,538		CAD	14,510,000		34,536
02/07/2023	BOA	USD	3,565,068		CAD	4,820,068		21,904
01/17/2023	MSCI	USD	1,538,602		CAD	2,083,474		11,449
01/12/2023	MSCI	USD	2,219,726		CLP	2,090,000,000		111,934
01/31/2023	MSCI	USD	18,075,788		EUR	17,304,442		17,193
01/31/2023	DB	USD	2,237,404		EUR	2,147,078		7,513
02/21/2023	MSCI	USD	4,101,540		GBP	3,470,000		90,979
02/16/2023	MSCI	USD	1,392,153		HUF	564,351,113		13,287
02/16/2023	CITI	USD	996,693		HUF	405,000,000		11,905
02/03/2023	JPM	USD	7,511,275		IDR	117,927,015,400		15,322
12/12/2022	MSCI	USD	32,443,614		JPY	4,677,956,547		1,472,678
01/17/2023	MSCI	USD	28,893,620		JPY	4,199,470,971		1,703,682
12/12/2022	BCLY	USD	1,473,392		JPY	218,296,089		109,307
12/12/2022	JPM	USD	1,896,902		JPY	279,557,500		129,956
01/17/2023	BCLY	USD	16,296,851		JPY	2,353,713,488		852,281
01/17/2023	DB	USD	120,174		JPY	16,694,721		1,463
01/24/2023	MSCI	USD	7,304,391		MXN	149,181,232		356,563
01/18/2023	MSCI	USD	31,300,334		NOK	328,522,042		2,116,107
01/24/2023	MSCI	USD	320,954		NZD	522,768		8,713
01/12/2023	MSCI	USD	2,769,490		PEN	11,120,000		119,565
12/02/2022	CITI	USD	1,330,398		PHP	76,000,000		13,308
12/02/2022	JPM	USD	897,385		PHP	51,500,000		13,153
12/05/2022	SSB	USD	147,340		PHP	8,329,112		131

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
02/21/2023	BCLY	USD	677,589		PLN	3,150,000		15,181
02/08/2023	MSCI	USD	11,863,506		SEK	129,427,296		518,767
02/08/2023	BCLY	USD	3,909,820		SEK	41,500,000		60,474
02/21/2023	GS	USD	663,076		SGD	910,000		6,226
02/21/2023	MSCI	USD	679,740		THB	24,000,000		6,587
02/06/2023	CITI	USD	789,720		TWD	24,000,000		3,639
01/23/2023	BCLY	AUD	2,105,236		USD	1,421,217		(10,873	)
01/23/2023	DB	AUD	1,386,682		USD	919,608		(23,685	)
12/02/2022	CITI	BRL	7,300,000		USD	1,344,150		(62,577	)
12/02/2022	MSCI	BRL	78,653,512		USD	14,734,995		(421,723	)
12/02/2022	GS	BRL	5,900,000		USD	1,114,448		(22,496	)
02/07/2023	MSCI	CAD	23,890,992		USD	17,680,359		(98,716	)
02/16/2023	JPM	CHF	6,550,000		USD	6,948,386		(38,635	)
01/31/2023	SSB	CHF	931,543		USD	990,351		(1,513	)
01/31/2023	MSCI	CHF	1,204,898		USD	1,274,512		(8,408	)
01/12/2023	MSCI	CLP	1,700,274,000		USD	1,758,025		(138,845	)
01/18/2023	MSCI	EUR	100,200		USD	103,783		(889	)
02/21/2023	BBH	GBP	1,083,800		USD	1,287,597		(21,871	)
01/23/2023	BCLY	GBP	1,258,745		USD	1,501,614		(18,179	)
02/21/2023	MSCI	GBP	927,800		USD	1,101,453		(19,532	)
02/21/2023	BCLY	GBP	3,470,000		USD	4,152,052		(40,466	)
02/03/2023	MSCI	IDR	12,200,000,000		USD	773,616		(5,039	)
02/28/2023	JPM	ILS	10,187,392		USD	2,975,724		(26,699	)
02/23/2023	MSCI	INR	572,193,440		USD	6,952,195		(46,685	)
12/12/2022	MSCI	JPY	86,404,203		USD	596,633		(29,818	)
12/12/2022	DB	JPY	89,994,982		USD	619,491		(32,994	)
12/12/2022	BCLY	JPY	650,415,524		USD	4,384,096		(331,570	)
01/17/2023	DB	JPY	239,447,229		USD	1,706,422		(38,188	)
02/03/2023	JPM	KRW	8,180,418,559		USD	5,740,121		(539,155	)
01/24/2023	BCLY	NZD	1,575,763		USD	969,882		(23,823	)
02/28/2023	MSCI	NZD	26,330,000		USD	16,375,154		(238,295	)
01/24/2023	MSCI	NZD	1,023,490		USD	638,007		(7,425	)
01/24/2023	DB	NZD	1,069,948		USD	667,068		(7,661	)
01/12/2023	MSCI	PEN	4,280,000		USD	1,063,090		(48,884	)
12/02/2022	JPM	PHP	240,626,450		USD	4,145,516		(108,842	)
02/01/2023	BCLY	PHP	113,126,450		USD	1,997,289		(5,597	)
02/21/2023	MSCI	PLN	9,383,099		USD	2,023,746		(39,852	)
02/27/2023	BCLY	RON	30,673,094		USD	6,378,519		(61,993	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/27/2023	BOA	SEK	15,077,216		USD	1,383,359		(58,023	)
02/08/2023	BCLY	SEK	54,000,000		USD	5,138,819		(27,346	)
02/21/2023	MSCI	SGD	5,556,457		USD	4,033,989		(52,770	)
02/21/2023	BCLY	THB	219,598,956		USD	6,196,359		(83,504	)
02/06/2023	BCLY	TWD	250,515,523		USD	7,827,143		(454,050	)
02/02/2023	JPM	USD	6,828,305		CAD	9,160,000		(12,233	)
01/17/2023	DB	USD	829,309		CAD	1,112,273		(1,807	)
02/07/2023	BOA	USD	2,086,004		CAD	2,802,479		(470	)
01/12/2023	MSCI	USD	8,305,821		COP	38,921,529,900		(299,220	)
02/16/2023	BOA	USD	603,031		HUF	240,000,000		(5,343	)
01/27/2023	BOA	USD	1,450,761		SEK	15,077,216		(9,379	)
							$	5,851,282

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
436	CAC40 10 Euro		December 2022		30,869,655		723,873
203	Corn (i)		March 2023		6,770,050		(32,158	)
8	DAX Index		December 2022		3,036,581		436,956
429	FTSE 100 Index		December 2022		39,450,009		1,088,069
47	Hang Seng Index		December 2022		5,646,587		345,514
1,701	Mini MSCI Emerging Markets		December 2022		83,561,625		2,687,991
543	MSCI Singapore		December 2022		11,935,375		182,602
33	Silver (i)		March 2023		3,593,865		18,854
235	Soybean (i)		January 2023		17,266,625		912,002
9	TOPIX Index		December 2022		1,312,254		31,216
				$	203,442,626	$	6,394,919

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
36	Australian Government Bond 10 Yr.		December 2022		2,948,316		(15,649	)
203	Canadian Government Bond 10 Yr.		March 2023		18,975,742		(65,475	)
172	E-mini Russell 2000 Index		December 2022		16,232,500		(411,882	)
33	Euro Bund		December 2022		4,837,791		(12,809	)
16	Euro Bund		March 2023		2,334,773		(739	)
187	FTSE Taiwan Index		December 2022		9,836,152		(196,144	)
53	Gold 100 OZ (i)		February 2023		9,327,470		(25,505	)
844	S&P 500 E-Mini		December 2022		172,228,750		73,254
69	S&P/TSX 60		December 2022		12,724,336		(748,925	)
38	SPI 200 Futures		December 2022		4,749,466		(135,287	)
352	U.S. Treasury Note 10 Yr. (CBT)		March 2023		39,952,000		(215,806	)
10	UK Gilt Long Bond		March 2023		1,265,393		6,296
21	WTI Crude (i)		December 2022		1,691,550		159,081
				$	297,104,239	$	(1,589,590	)

+ 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, 2022 (Unaudited)

Written Options

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount	Value ($)
Equity Options – Calls
Continental Resources, Inc.	70.00		12/16/22		(940	)	USD (6,981,850)		(404,200	)
	TOTAL WRITTEN OPTIONS
	(Premiums $374,055)								$(404,200)

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^:
United Rentals North America, Inc.	USD	2,280,000		5.00%		0.84%		N/A		12/20/2024		Quarterly	$	5,700	$	(185,307	)	$	(191,007	)

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%		0.48%	N/A			12/20/2024		Quarterly		96,637			(11,702	)		(108,339	)
HCA, Inc.	BCLY	USD	1,140,000		5.00%		0.69%	N/A			12/20/2024		Quarterly		(139,584	)		(96,278	)		43,306
Tenet Healthcare Corp.	JPM	USD	570,000		5.00%		2.85%	N/A			12/20/2024		Quarterly		14,842			(23,401	)		(38,243	)
Tenet Healthcare Corp.	JPM	USD	1,140,000		5.00%		2.85%	N/A			12/20/2024		Quarterly		142,500			(46,802	)		(189,302	)
American Airlines Group, Inc.	GS	USD	1,120,000		5.00%		10.64%	N/A			12/20/2025		Quarterly		232,400			148,478			(83,922	)
American Airlines Group, Inc.	BCLY	USD	2,970,000		5.00%		10.72%	N/A			06/20/2026		Quarterly		564,300			440,068			(124,232	)
Sell Protection^:
American Airlines Group, Inc.	GS	USD	1,120,000		5.00%		6.18%	1,120,000	USD		12/20/2023		Quarterly		(128,800	)		(13,067	)		115,733
American Airlines Group, Inc.	BCLY	USD	2,970,000		5.00%		7.97%	2,970,000	USD		06/20/2024		Quarterly		(222,750	)		(123,111	)		99,639
														$	559,545		$	274,185		$	(285,360	)

^ 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, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.86%	3 Month AUD BBSW	AUD	88,835,000		12/21/2024	Quarterly		(67,901	)		(233,169	)		(165,268	)
3.91%	3 Month AUD BBSW	AUD	45,500,000		12/21/2024	Quarterly		—			(148,638	)		(148,638	)
4.08%	3 Month CAD CDOR	CAD	157,900,000		12/21/2024	Semi-Annually		(3,224	)		632,833			636,057
4.25%	3 Month CAD CDOR	CAD	26,000,000		12/21/2024	Semi-Annually		—			43,322			43,322
3 Month CAD CDOR	4.15%	CAD	70,000,000		12/21/2024	Semi-Annually		—			(214,248	)		(214,248	)
CHF - SARON - OIS - COMPOUND	1.39%	CHF	35,500,000		12/21/2024	Semi-Annually		—			121,704			121,704
CHF - SARON - OIS - COMPOUND	1.74%	CHF	72,500,000		12/21/2024	Semi-Annually		—			782,225			782,225
1.81%	CHF - SARON - OIS - COMPOUND	CHF	173,146,000		12/21/2024	Semi-Annually		(13,914	)		(2,129,615	)		(2,115,701	)
1.40%	CHF - SARON - OIS - COMPOUND	CHF	24,000,000		12/21/2024	Semi-Annually		—			(84,814	)		(84,814	)
EUR - EuroSTR - COMPOUND	2.59%	EUR	62,500,000		12/21/2024	Annually		—			(68,793	)		(68,793	)
EUR - EuroSTR - COMPOUND	2.64%	EUR	21,500,000		12/21/2024	Annually		—			(4,422	)		(4,422	)
2.14%	EUR - EuroSTR - COMPOUND EUR		35,694,000		12/21/2024	Annually		8,672			372,193			363,521
2.94%	EUR - EuroSTR - COMPOUND EUR		42,000,000		12/21/2024	Annually		—			(246,385	)		(246,385	)
GBP - SONIA - COMPOUND	3.96%	GBP	134,260,000		12/21/2024	Annually		(338,433	)		(1,280,195	)		(941,762	)
GBP - SONIA - COMPOUND	4.58%	GBP	20,000,000		12/21/2024	Annually		—			91,341			91,341
4.26%	GBP - SONIA - COMPOUND	GBP	41,000,000		12/21/2024	Annually		—			112,712			112,712
5.22%	GBP - SONIA - COMPOUND	GBP	33,500,000		12/21/2024	Annually		—			(640,902	)		(640,902	)
5.36%	GBP - SONIA - COMPOUND	GBP	28,500,000		12/21/2024	Annually		—			(635,620	)		(635,620	)
3 Month SEK STIBOR	3.29%	SEK	1,184,268,000		12/21/2024	Quarterly		243,686			196,844			(46,842	)
3 Month SEK STIBOR	3.45%	SEK	265,000,000		12/21/2024	Quarterly		—			119,100			119,100
USD - SOFR - COMPOUND	4.59%	USD	32,000,000		12/21/2024	Semi-Annually		—			121,961			121,961
3.58%	USD - SOFR - COMPOUND	USD	24,865,000		12/21/2024	Semi-Annually		8,361			381,015			372,654
4.47%	USD - SOFR - COMPOUND	USD	49,500,000		12/21/2024	Semi-Annually		—			(82,458	)		(82,458	)
6 Month AUD BBSW	4.14%	AUD	10,400,000		12/21/2032	Semi-Annually		—			(9,888	)		(9,888	)
6 Month AUD BBSW	4.19%	AUD	10,600,000		12/21/2032	Semi-Annually		—			19,045			19,045
6 Month AUD BBSW	4.21%	AUD	13,700,000		12/21/2032	Semi-Annually		—			41,724			41,724
6 Month AUD BBSW	4.25%	AUD	42,624,000		12/21/2032	Semi-Annually		99,802			219,004			119,202
6 Month AUD BBSW	4.25%	AUD	20,396,000		12/21/2032	Semi-Annually		47,758			104,797			57,039
6 Month AUD BBSW	4.29%	AUD	13,500,000		12/21/2032	Semi-Annually		—			103,307			103,307
6 Month AUD BBSW	4.57%	AUD	30,000,000		12/21/2032	Semi-Annually		—			694,974			694,974
6 Month AUD BBSW	4.73%	AUD	34,600,000		12/21/2032	Semi-Annually		—			1,107,847			1,107,847
4.48%	6 Month AUD BBSW	AUD	23,700,000		12/21/2032	Semi-Annually		—			(424,062	)		(424,062	)
3.71%	3 Month CAD CDOR	CAD	62,622,000		12/21/2032	Semi-Annually		(28,435	)		(929,465	)		(901,030	)
3.66%	3 Month CAD CDOR	CAD	8,000,000		12/21/2032	Semi-Annually		—			(94,012	)		(94,012	)
3.55%	3 Month CAD CDOR	CAD	24,700,000		12/21/2032	Semi-Annually		—			(121,598	)		(121,598	)
3.57%	3 Month CAD CDOR	CAD	12,100,000		12/21/2032	Semi-Annually		—			(71,972	)		(71,972	)
3.65%	3 Month CAD CDOR	CAD	23,500,000		12/21/2032	Semi-Annually		—			(264,301	)		(264,301	)
3.68%	3 Month CAD CDOR	CAD	15,800,000		12/21/2032	Semi-Annually		—			(210,591	)		(210,591	)
3 Month CAD CDOR	3.41%	CAD	14,500,000		12/21/2032	Semi-Annually		—			(54,155	)		(54,155	)
3 Month CAD CDOR	3.57%	CAD	15,400,000		12/21/2032	Semi-Annually		—			92,086			92,086
3 Month CAD CDOR	3.59%	CAD	6,800,000		12/21/2032	Semi-Annually		—			50,527			50,527
3 Month CAD CDOR	3.63%	CAD	11,900,000		12/21/2032	Semi-Annually		—			118,074			118,074
3 Month CAD CDOR	3.71%	CAD	34,544,000		12/21/2032	Semi-Annually		28,182			512,740			484,558
3 Month CAD CDOR	3.79%	CAD	23,000,000		12/21/2032	Semi-Annually		—			455,995			455,995
3 Month CAD CDOR	3.84%	CAD	25,200,000		12/21/2032	Semi-Annually		—			590,221			590,221
3 Month CAD CDOR	3.97%	CAD	12,100,000		12/21/2032	Semi-Annually		—			382,626			382,626
3 Month CAD CDOR	4.04%	CAD	18,200,000		12/21/2032	Semi-Annually		—			651,866			651,866
CHF - SARON - OIS - COMPOUND	1.85%	CHF	5,300,000		12/21/2032	Semi-Annually		(24,750	)		104,982			129,732
CHF - SARON - OIS - COMPOUND	1.86%	CHF	66,629,000		12/21/2032	Semi-Annually		—			1,401,951			1,401,951
CHF - SARON - OIS - COMPOUND	1.93%	CHF	13,700,000		12/21/2032	Semi-Annually		—			380,181			380,181

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (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	2.05%	CHF	37,719,000		12/21/2032	Semi-Annually		24,073			1,489,587			1,465,514
CHF - SARON - OIS - COMPOUND	2.18%	CHF	8,300,000		12/21/2032	Semi-Annually		35,414			430,147			394,733
CHF - SARON - OIS - COMPOUND	2.20%	CHF	15,800,000		12/21/2032	Semi-Annually		(13,653	)		857,807			871,460
CHF - SARON - OIS - COMPOUND	2.27%	CHF	10,400,000		12/21/2032	Semi-Annually		—			639,027			639,027
2.01%	CHF - SARON -OIS - COMPOUND	CHF	12,100,000		12/21/2032	Semi-Annually		—			(424,126	)		(424,126	)
2.19%	CHF - SARON - OIS - COMPOUND	CHF	15,400,000		12/21/2032	Semi-Annually		26,352			(821,959	)		(848,311	)
2.24%	CHF - SARON - OIS - COMPOUND	CHF	9,600,000		12/21/2032	Semi-Annually		—			(556,719	)		(556,719	)
2.18%	CHF - SARON - OIS - COMPOUND	CHF	7,800,000		12/21/2032	Semi-Annually		(38,147	)		(409,545	)		(371,398	)
2.11%	CHF - SARON - OIS - COMPOUND	CHF	6,100,000		12/21/2032	Semi-Annually		—			(274,002	)		(274,002	)
1.98%	CHF - SARON - OIS - COMPOUND	CHF	12,400,000		12/21/2032	Semi-Annually		—			(400,996	)		(400,996	)
1.85%	CHF - SARON - OIS - COMPOUND	CHF	12,600,000		12/21/2032	Semi-Annually		76,835			(247,714	)		(324,549	)
EUR - EuroSTR - COMPOUND	2.21%	EUR	7,702,000		12/21/2032	Annually		4,674			(144,448	)		(149,122	)
EUR - EuroSTR - COMPOUND	2.48%	EUR	11,100,000		12/21/2032	Annually		—			71,837			71,837
EUR - EuroSTR - COMPOUND	2.89%	EUR	8,600,000		12/21/2032	Annually		—			377,695			377,695
EUR - EuroSTR - COMPOUND	2.94%	EUR	59,097,000		12/21/2032	Annually		20,873			2,858,023			2,837,150
EUR - EuroSTR - COMPOUND	3.12%	EUR	9,500,000		12/21/2032	Annually		—			619,056			619,056
2.82%	EUR - EuroSTR - COMPOUND	EUR	8,800,000		12/21/2032	Annually		—			(329,860	)		(329,860	)
2.80%	EUR - EuroSTR - COMPOUND	EUR	4,250,000		12/21/2032	Annually		—			(150,455	)		(150,455	)
2.80%	EUR - EuroSTR - COMPOUND	EUR	11,000,000		12/21/2032	Annually		—			(391,959	)		(391,959	)
2.41%	EUR - EuroSTR - COMPOUND	EUR	13,600,000		12/21/2032	Annually		—			(2,404	)		(2,404	)
2.75%	EUR - EuroSTR - COMPOUND	EUR	4,550,000		12/21/2032	Annually		—			(142,121	)		(142,121	)
2.69%	EUR - EuroSTR - COMPOUND	EUR	17,300,000		12/21/2032	Annually		—			(447,483	)		(447,483	)
2.70%	EUR - EuroSTR - COMPOUND	EUR	4,800,000		12/21/2032	Annually		—			(126,379	)		(126,379	)
2.55%	EUR - EuroSTR - COMPOUND	EUR	22,500,000		12/21/2032	Annually		—			(287,254	)		(287,254	)
2.63%	EUR - EuroSTR - COMPOUND	EUR	11,200,000		12/21/2032	Annually		—			(221,788	)		(221,788	)
GBP - SONIA - COMPOUND	3.30%	GBP	7,600,000		12/21/2032	Annually		—			(53,473	)		(53,473	)
GBP - SONIA - COMPOUND	3.52%	GBP	8,600,000		12/21/2032	Annually		—			120,394			120,394
GBP - SONIA - COMPOUND	4.12%	GBP	6,400,000		12/21/2032	Annually		—			473,420			473,420
GBP - SONIA - COMPOUND	4.33%	GBP	12,600,000		12/21/2032	Annually		—			1,200,223			1,200,223
GBP - SONIA - COMPOUND	4.65%	GBP	6,700,000		12/21/2032	Annually		—			849,451			849,451
3.19%	GBP - SONIA - COMPOUND	GBP	28,590,000		12/21/2032	Annually		191,161			523,891			332,730
3.96%	GBP - SONIA - COMPOUND	GBP	10,250,000		12/21/2032	Annually		—			(596,632	)		(596,632	)
3.93%	GBP - SONIA - COMPOUND	GBP	4,940,000		12/21/2032	Annually		—			(275,019	)		(275,019	)
3.90%	GBP - SONIA - COMPOUND	GBP	5,310,000		12/21/2032	Annually		—			(275,549	)		(275,549	)
3.79%	GBP - SONIA - COMPOUND	GBP	11,500,000		12/21/2032	Annually		—			(476,097	)		(476,097	)
3.76%	GBP - SONIA - COMPOUND	GBP	4,500,000		12/21/2032	Annually		—			(171,529	)		(171,529	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (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) ($)
4.28%	3 Month NZD Bank Bill Rate	NZD	43,180,000		12/21/2032	Quarterly		(286,719	)		244,447			531,166
4.82%	3 Month NZD Bank Bill Rate	NZD	22,500,000		12/21/2032	Quarterly		—			(482,253	)		(482,253	)
4.75%	3 Month NZD Bank Bill Rate	NZD	16,400,000		12/21/2032	Quarterly		—			(291,203	)		(291,203	)
3 Month NZD Bank Bill Rate	4.21%	NZD	21,200,000		12/21/2032	Quarterly		—			(204,209	)		(204,209	)
3 Month NZD Bank Bill Rate	4.45%	NZD	26,000,000		12/21/2032	Quarterly		—			72,641			72,641
3 Month NZD Bank Bill Rate	4.52%	NZD	21,900,000		12/21/2032	Quarterly		—			140,051			140,051
3 Month NZD Bank Bill Rate	4.76%	NZD	20,020,000		12/21/2032	Quarterly		—			370,712			370,712
3 Month NZD Bank Bill Rate	4.86%	NZD	18,780,000		12/21/2032	Quarterly		—			443,002			443,002
3 Month SEK STIBOR	2.69%	SEK	163,000,000		12/21/2032	Quarterly		—			(40,579	)		(40,579	)
3.28%	3 Month SEK STIBOR	SEK	119,000,000		12/21/2032	Quarterly		—			(550,350	)		(550,350	)
3.17%	3 Month SEK STIBOR	SEK	186,000,000		12/21/2032	Quarterly		—			(692,452	)		(692,452	)
3.16%	3 Month SEK STIBOR	SEK	180,000,000		12/21/2032	Quarterly		—			(655,220	)		(655,220	)
2.91%	3 Month SEK STIBOR	SEK	268,000,000		12/21/2032	Quarterly		—			(415,608	)		(415,608	)
2.87%	3 Month SEK STIBOR	SEK	248,990,000		12/21/2032	Quarterly		(33,536	)		(308,867	)		(275,331	)
2.98%	3 Month SEK STIBOR	SEK	132,000,000		12/21/2032	Quarterly		—			(286,621	)		(286,621	)
3.08%	3 Month SEK STIBOR	SEK	117,000,000		12/21/2032	Quarterly		—			(350,863	)		(350,863	)
3.10%	3 Month SEK STIBOR	SEK	199,000,000		12/21/2032	Quarterly		—			(629,700	)		(629,700	)
3 Month SEK STIBOR	3.19%	SEK	188,000,000		12/21/2032	Quarterly		—			731,010			731,010
USD - SOFR - COMPOUND	3.08%	USD	24,300,000		12/21/2032	Semi-Annually		—			(581,742	)		(581,742	)
USD - SOFR - COMPOUND	3.13%	USD	5,460,000		12/21/2032	Semi-Annually		(7,332	)		(111,020	)		(103,688	)
USD - SOFR - COMPOUND	3.22%	USD	10,800,000		12/21/2032	Semi-Annually		—			(132,637	)		(132,637	)
USD - SOFR - COMPOUND	3.48%	USD	7,600,000		12/21/2032	Semi-Annually		—			68,259			68,259
USD - SOFR - COMPOUND	3.68%	USD	26,900,000		12/21/2032	Semi-Annually		—			693,985			693,985
USD - SOFR - COMPOUND	3.69%	USD	11,300,000		12/21/2032	Semi-Annually		—			309,060			309,060
USD - SOFR - COMPOUND	3.81%	USD	24,700,000		12/21/2032	Semi-Annually		—			904,484			904,484
3.13%	USD - SOFR - COMPOUND	USD	60,274,000		12/21/2032	Semi-Annually		32,100			1,195,743			1,163,643
3.79%	USD - SOFR - COMPOUND	USD	7,300,000		12/21/2032	Semi-Annually		—			(255,989	)		(255,989	)
3.70%	USD - SOFR - COMPOUND	USD	11,100,000		12/21/2032	Semi-Annually		—			(307,779	)		(307,779	)
3.72%	USD - SOFR - COMPOUND	USD	10,500,000		12/21/2032	Semi-Annually		—			(313,600	)		(313,600	)
3.91%	USD - SOFR - COMPOUND	USD	8,200,000		12/21/2032	Semi-Annually		—			(375,587	)		(375,587	)
3.44%	USD - SOFR - COMPOUND	USD	11,000,000		12/21/2032	Semi-Annually		—			(67,427	)		(67,427	)
							$	(8,101	)	$	3,460,629		$	3,468,730

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Value Index	GS	USD	9,022,765		05/09/2023	Monthly		—		667,993			667,993
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS	USD	8,118,756		05/09/2023	Monthly		—		(643,226	)		(643,226	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS	USD	830,200		05/09/2023	Monthly		—		(65,774	)		(65,774	)
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	11,018,184		05/12/2023	Monthly		—		280,376			280,376
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA	USD	11,399,784		05/12/2023	Monthly		—		(96,251	)		(96,251	)
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	10,415,198		05/22/2023	Monthly		—		138,805			138,805
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.06%	UBSA	USD	10,675,600		05/22/2023	Monthly		—		(131,666	)		(131,666	)
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	9,951,842		08/09/2023	Monthly		—		736,776			736,776
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.01%	UBSA	USD	7,995,348		08/09/2023	Monthly		—		(633,449	)		(633,449	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.75%	GS	USD	1		05/24/2024	Monthly		—		(9,683	)		(9,683	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	1		05/24/2024	Monthly		—		(3,188	)		(3,188	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	48,651,548		06/18/2024	Monthly		—		(1,563,519	)		(1,563,519	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.40%	GS	USD	16,660,463		06/24/2024	Monthly		—		(167,875	)		(167,875	)
								$	—	$	(1,490,681	)	$	(1,490,681	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

(c) Investment valued using significant unobservable inputs.

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

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

(f) The security is restricted as to resale.

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

(h) Security is in default.

(i) All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

(j) The rate disclosed is the 7 day net yield as of November 30, 2022.

(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 long and/or short positions within the custom equity basket swap as of November 30, 2022:

Shares	Description	% of Equity Basket			Value ($)
(1,508,000)	Air China Ltd – Class H		2.4	%		(1,213,765	)
(3,184,800)	Airports of Thailand Pcl NVDR		13.5	%		(6,801,702	)
(1,602,000)	Alibaba Health Information Technology Ltd		2.7	%		(1,352,330	)
(2,721,000)	China Molybdenum Co Ltd – Class H		2.5	%		(1,274,735	)
(175,720)	Ganfeng Lithium Co Ltd – Class H		3.1	%		(1,554,944	)
(434,000)	Genscript Biotech Corp		2.2	%		(1,124,102	)
(3,421,600)	Gulf Energy Development Pcl NVDR		10.3	%		(5,175,138	)
(6,699)	Hanmi Pharm Co Ltd		2.7	%		(1,339,381	)
(6,000)	Hapvida Participacoes e Investimentos SA		0.0	%		(6,012	)
(64,874)	Hotel Shilla Co Ltd		7.3	%		(3,645,657	)
(38,852)	Kakao Corp		3.4	%		(1,704,686	)
(2,048,000)	Kingdee International Software Group Co Ltd		6.9	%		(3,456,041	)
(234,600)	Klabin SA		1.8	%		(890,597	)
(134,422)	Korea Aerospace Industries Ltd		9.9	%		(4,992,077	)
(900)	Lojas Renner SA		0.0	%		(4,015	)
(327,700)	Microport Scientific Corp		1.6	%		(787,498	)
7,652	Nokia Oyj		(0.1	%)		37,701
(6,539)	POSCO Chemical Co Ltd		2.2	%		(1,104,490	)
(8,628)	Samsung Biologics Co Ltd		11.7	%		(5,868,231	)
(767,926)	Samsung Heavy Industries Co Ltd		6.1	%		(3,072,278	)
(37,829)	Yuhan Corp		3.4	%		(1,690,936	)
(2,438,000)	Zijin Mining Group Co Ltd – Class H		6.4	%		(3,235,871	)
	TOTAL COMMON STOCKS				$	(50,256,785	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

The rates shown on variable rate notes are the current interest rates at November 30, 2022, 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.

CDOR - Canadian Dollar Offering Rate

CMT - Constant Maturity Treasury

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

EuroSTR - Euro Short-Term 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 USBM - U.S. Treasury 3 Month Bill Money Market Yield

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

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazil Real

CAD - Canada Dollar

CHF - Switzerland Franc

CLP - Chile Peso

COP - Colombia Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - United Kingdom Pound

HUF - Hungary Forint

IDR - Indonesia Rupiah

ILS - Israel Shekel

INR - Indian Rupee

JPY - Japan Yen

KRW - Korean Won

MXN - Mexico Peso

NOK - Norway Krone

NZD - New Zealand Dollar

PEN - Peru Nuevo Sol

PHP - Philippines Peso

PLN - Poland Zloty

RON - Romania New Leu

SEK - Sweden Krona

SGD - Singapore Dollar

THB - Thailand Baht

TWD - Taiwan New Dollar

USD - United States Dollar

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,212,687	GMO Emerging Markets ex-China Fund, Class VI		17,026,129
	8,643,336	GMO International Equity Fund, Class IV		185,313,109
	516,010	GMO-Usonian Japan Value Creation Fund, Class VI		8,385,166
		TOTAL MUTUAL FUNDS (COST $230,965,475)		210,724,404
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	88,960	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (a)		88,960
		TOTAL SHORT-TERM INVESTMENTS (COST $88,960)		88,960
		TOTAL INVESTMENTS — 100.0% (Cost $231,054,435)		210,813,364
		Other Assets and Liabilities (net) — (0.0%)		(24,558	)
		TOTAL NET ASSETS — 100.0%		$210,788,806

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	2,862,878	GMO Emerging Markets ex-China Fund, Class VI		40,194,810
	6,119,922	GMO Emerging Markets Fund, Class VI		144,858,540
	13,573,818	GMO International Equity Fund, Class IV		291,022,665
	1,202,191	GMO-Usonian Japan Value Creation Fund, Class VI		19,535,604
		TOTAL MUTUAL FUNDS (COST $573,957,560)		495,611,619
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	357,295	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (a)		357,295
		TOTAL SHORT-TERM INVESTMENTS (COST $357,295)		357,295
		TOTAL INVESTMENTS — 100.0% (Cost $574,314,855)		495,968,914
		Other Assets and Liabilities (net) — (0.0%)		(39,804	)
		TOTAL NET ASSETS — 100.0%		$495,929,110

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 95.9%
		United States — 95.9%
		U.S. Government — 85.0%
	15,500,000	U.S. Treasury Floating Rate Notes,
		Variable Rate, 4.47%, due 10/31/24		15,492,364
	7,500,000	U.S. Treasury Note, 0.13%, due 12/31/22 (a)		7,476,269
	35,530,000	U.S. Treasury Note, 0.13%, due 06/30/23		34,587,622
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 10/31/23 (b)		20,015,029
	73,300,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24 (a) (b)		73,171,368
	6,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 (a) (b)		5,992,352
		Total U.S. Government		156,735,004
		U.S. Government Agency — 10.9%
	10,000,000	Federal Home Loan Banks, 1.67%, due 12/19/22		9,987,981
	7,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 03/02/23		7,000,323
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 3.88%, due 12/14/23		3,000,337
		Total U.S. Government Agency		19,988,641
		Total United States		176,723,645
		TOTAL DEBT OBLIGATIONS (COST $177,620,186)		176,723,645
		SHORT-TERM INVESTMENTS — 2.6%
		Money Market Funds — 1.6%
	2,500,716	State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (c)		2,500,716
	431,263	State Street U.S. Treasury Liquidity Fund – Class D Shares, 3.69% (a)		431,263
		Total Money Market Funds		2,931,979
		U.S. Government — 1.0%
	2,000,000	U.S. Treasury Bill, 4.17%, due 02/16/23 (d)		1,982,348
		TOTAL SHORT-TERM INVESTMENTS (COST $4,914,311)		4,914,327
		TOTAL INVESTMENTS — 98.5% (Cost $182,534,497)		181,637,972
		Other Assets and Liabilities (net) — 1.5%		2,685,269
		TOTAL NET ASSETS — 100.0%		$184,323,241

A summary of outstanding financial instruments at November 30, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/23/2023	BCLY	AUD	1,324,444		USD	894,115		(6,841	)
01/23/2023	DB	AUD	859,775		USD	570,179		(14,685	)
01/17/2023	DB	CAD	2,778,262		USD	2,068,957		2,003
01/31/2023	BCLY	CHF	18,155,948		USD	19,336,026		4,416
01/31/2023	SSB	CHF	647,347		USD	688,214		(1,051	)
01/31/2023	MSCI	CHF	684,281		USD	723,816		(4,775	)
01/23/2023	BCLY	GBP	790,450		USD	942,964		(11,416	)
12/12/2022	MSCI	JPY	80,774,798		USD	557,761		(27,875	)
12/12/2022	DB	JPY	61,296,852		USD	421,944		(22,472	)
01/17/2023	DB	JPY	191,818,224		USD	1,368,209		(29,377	)
01/17/2023	GS	JPY	344,550,556		USD	2,483,088		(27,304	)
01/24/2023	BCLY	NZD	980,650		USD	603,590		(14,826	)
01/24/2023	MSCI	NZD	529,630		USD	330,152		(3,842	)
01/24/2023	DB	NZD	609,610		USD	380,066		(4,365	)
01/23/2023	UBSA	USD	1,480,137		AUD	2,190,233		9,773
01/23/2023	DB	USD	22,211		AUD	32,994		233
01/17/2023	DB	USD	659,692		CAD	884,782		(1,437	)
01/17/2023	MSCI	USD	876,743		CAD	1,187,228		6,524
01/31/2023	MSCI	USD	10,155,236		EUR	9,721,883		9,659
01/31/2023	DB	USD	1,417,874		EUR	1,360,443		4,562
12/12/2022	MSCI	USD	27,714,465		JPY	3,995,232,629		1,251,916
12/12/2022	BCLY	USD	1,238,349		JPY	183,601,536		92,805
12/12/2022	JPM	USD	1,001,041		JPY	147,529,188		68,581
01/17/2023	BCLY	USD	22,031		JPY	3,181,818		1,152
01/17/2023	DB	USD	100,988		JPY	14,029,296		1,230
01/24/2023	MSCI	USD	200,613		NZD	326,757		5,446
							$	1,288,034

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
248	CAC40 10 Euro	December 2022		17,558,887		413,057
116	Corn(a)	March 2023		3,868,600		(15,939	)
4	DAX Index	December 2022		1,518,291		246,905
244	FTSE 100 Index	December 2022		22,437,768		619,461
27	Hang Seng Index	December 2022		3,243,784		198,572
969	Mini MSCI Emerging Markets	December 2022		47,602,125		1,450,104
303	MSCI Singapore	December 2022		6,660,071		101,128
19	Silver(a)	March 2023		2,069,195		12,601
134	Soybean(a)	January 2023		9,845,650		535,522
5	TOPIX Index	December 2022		729,030		17,342
			$	115,533,401	$	3,578,753

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

Futures Contracts — continued

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
21	Australian Government Bond 10 Yr.	December 2022		1,719,851		(9,394	)
115	Canadian Government Bond 10 Yr.	March 2023		10,749,805		(38,479	)
98	E-mini Russell 2000 Index	December 2022		9,248,750		(264,883	)
20	Euro Bund	December 2022		2,931,995		(11,535	)
8	Euro Bund	March 2023		1,167,387		(369	)
106	FTSE Taiwan Index	December 2022		5,575,573		(107,278	)
30	Gold 100 OZ(a)	February 2023		5,279,700		5,473
225	S&P 500 E-Mini	December 2022		45,914,062		(440,873	)
39	S&P/TSX 60	December 2022		7,192,016		(410,382	)
23	SPI 200 Futures	December 2022		2,874,677		(81,796	)
201	U.S. Treasury Note 10 Yr. (CBT)	March 2023		22,813,500		(126,438	)
7	UK Gilt Long Bond	March 2023		885,775		4,876
12	WTI Crude(a)	December 2022		966,600		88,684
			$	117,319,691	$	(1,392,394	)

+ 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 0.09%	Total Return on MSCI World Daily Total Return Net Value Index	GS	USD	7,638,084		05/09/2023	Monthly		—		565,479			565,479
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS	USD	6,865,977		05/09/2023	Monthly		—		(543,972	)		(543,972	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS	USD	703,052		05/09/2023	Monthly		—		(55,701	)		(55,701	)
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	9,323,122		05/12/2023	Monthly		—		237,242			237,242
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA	USD	9,645,891		05/12/2023	Monthly		—		(81,443	)		(81,443	)
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	7,138,109		05/22/2023	Monthly		—		95,131			95,131
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.06%	UBSA	USD	7,097,452		05/22/2023	Monthly		—		(87,535	)		(87,535	)
								$	—	$	129,201		$	129,201

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

As of November 30, 2022, 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) GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with 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, 2022.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

SOFR - Secured Overnight Financing Rate

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canada Dollar

CHF - Switzerland Franc

EUR - Euro

GBP - United Kingdom Pound

JPY - Japan 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, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 38.4%
		Australia — 1.1%
	28,066	Aurizon Holdings Ltd (a)		72,946
	3,376	Austal Ltd		5,623
	81,259	Beach Energy Ltd		97,962
	22,410	BlueScope Steel Ltd		270,106
	26,364	Brambles Ltd (a)		218,079
	736	Brickworks Ltd		11,299
	1,532	Challenger Ltd		7,664
	27,531	Fortescue Metals Group Ltd (a)		366,428
	44,850	GPT Group (The) (REIT) (a)		138,270
	16,654	GrainCorp Ltd – Class A (a)		92,080
	13,508	Grange Resources Ltd		7,057
	22,136	Helia Group Ltd		40,917
	9,515	Incitec Pivot Ltd		26,056
	5,717	JB Hi-Fi Ltd (a)		175,823
	3,518	McMillan Shakespeare Ltd		35,407
	38,140	Metcash Ltd (a)		109,066
	98,347	Mirvac Group (REIT) (a)		150,915
	1,003	Monadelphous Group Ltd		9,429
	4,042	NRW Holdings Ltd		7,576
	13,540	Nufarm Ltd		56,029
	396	Premier Investments Ltd (a)		6,921
	453	Rio Tinto Ltd (a)		33,818
	44,089	Scentre Group (REIT) (a)		89,928
	3,874	Sims Ltd		34,612
	42,562	Stockland (REIT) (a)		111,124
	1,727	Super Retail Group Ltd (a)		13,081
	21,622	Viva Energy Group Ltd		40,629
		Total Australia		2,228,845
		Belgium — 0.4%
	305	Ackermans & van Haaren NV		48,478
	6,664	Ageas SA/NV		269,838
	1,493	Bekaert SA		53,313
	1,517	Proximus SADP (a)		15,869
	569	Sofina SA		123,856
	430	Solvay SA (a)		42,654
	560	Telenet Group Holding NV		8,940
	2,802	UCB SA (a)		226,168
		Total Belgium		789,116
		Brazil — 0.1%
	7,200	Banco do Brasil SA		48,949
	7,000	Petroleo Brasileiro SA Sponsored ADR (a)		81,830
	8,200	Telefonica Brasil SA ADR (a)		59,942
	1,107	Vale SA		18,284
		Total Brazil		209,005
		Canada — 1.7%
	2,200	Alimentation Couche-Tard Inc (a)		100,224
	3,000	Birchcliff Energy Ltd		23,953

Shares		Description	Value ($)
		Canada — continued
	7,200	BlackBerry Ltd * (a)		35,064
	4,670	Brookfield Asset Management Inc – Class A (a)		220,190
	2,333	Canadian Apartment Properties (REIT) (a)		75,792
	1,700	Canadian Tire Corp Ltd – Class A (a)		192,527
	3,900	Canfor Corp *		69,090
	8,358	Celestica Inc *		93,264
	700	Cogeco Inc		31,223
	300	DREAM UnLtd Corp – Class A		6,445
	3,200	Finning International Inc (a)		81,050
	400	iA Financial Corp Inc		22,567
	5,200	Interfor Corp *		97,417
	3,800	Magna International Inc		233,992
	9,200	Manulife Financial Corp (a) (b)		165,718
	7,400	Manulife Financial Corp (a) (b)		133,422
	3,300	Mullen Group Ltd (a)		37,559
	2,918	Nutrien Ltd (a)		234,607
	2,300	Onex Corp		121,211
	2,000	Power Corp of Canada (a)		50,314
	700	PrairieSky Royalty Ltd		11,480
	7,300	Quebecor Inc – Class B (a)		157,326
	2,600	Russel Metals Inc		55,957
	1,900	Sleep Country Canada Holdings Inc		32,628
	12,600	Teck Resources Ltd – Class B * (a) (b)		467,038
	3,000	Teck Resources Ltd – Class B (b)		111,270
	1,800	Uni-Select Inc * (a)		60,926
	3,200	West Fraser Timber Co Ltd (b)		250,310
	400	West Fraser Timber Co Ltd (b)		31,348
		Total Canada		3,203,912
		China — 0.6%
	17,693	Alibaba Group Holding Ltd *		192,556
	110,000	Bank of Communications Co Ltd – Class H		62,326
	15,000	Beijing Enterprises Holdings Ltd		47,706
	12,500	China Conch Venture Holdings Ltd		28,606
	33,000	China Overseas Land & Investment Ltd		90,173
	152,000	China Railway Group Ltd – Class H		85,796
	286,000	China Zhongwang Holdings Ltd * (c)		61,514
	110,000	CITIC Ltd		112,769
	60,000	Dongfeng Motor Group Co Ltd – Class H		33,801
	17,500	Kingboard Holdings Ltd		57,933
	9,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		16,508
	154,000	Shimao Group Holdings Ltd * (c)		87,144
	15,600	Sinopharm Group Co Ltd – Class H		37,010
	271,000	Sunac China Holdings Ltd * (c)		158,903
	2,099	Tencent Holdings Ltd		79,376
	3,600	Vipshop Holdings Ltd ADR * (a)		40,140
		Total China		1,192,261
		Denmark — 0.4%
	45	AP Moller – Maersk A/S – Class A (a)		95,538
	49	AP Moller – Maersk A/S – Class B (a)		106,230
	17,132	Danske Bank A/S		308,515

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Denmark — continued
	1,185	GN Store Nord A/S (a)		28,629
	3,304	Pandora A/S		251,536
	54	Rockwool A/S – B Shares (a)		11,857
	2,623	Scandinavian Tobacco Group A/S		46,593
		Total Denmark		848,898
		Finland — 0.4%
	5,138	Metsa Board Oyj – Class B		45,715
	3,575	Neste Oyj (a)		184,529
	50,896	Nokia Oyj (a)		250,760
	22,116	Outokumpu Oyj		111,559
	11,386	Stora Enso Oyj – R Shares (a)		167,501
	2,689	UPM-Kymmene Oyj (a)		98,717
		Total Finland		858,781
		France — 1.6%
	3,743	ALD SA (a)		37,670
	569	APERAM SA		18,063
	8,555	ArcelorMittal SA		234,570
	2,669	Arkema SA		237,305
	3,837	BNP Paribas SA (a)		215,609
	7,301	Coface SA		89,375
	7,253	Derichebourg SA		39,237
	96	Eiffage SA (a)		9,452
	2,637	Ipsen SA (a)		294,778
	1,905	IPSOS		108,979
	272	Kering SA (a)		163,428
	368	LVMH Moet Hennessy Louis Vuitton SE (a)		285,578
	2,986	Metropole Television SA		42,934
	8,614	Publicis Groupe SA (a)		566,943
	1,985	Quadient SA		30,286
	2,438	Safran SA (a)		301,302
	1,684	SES SA, ADR – Class A		11,546
	989	Societe BIC SA		65,336
	9,024	Societe Generale SA		227,125
	1,203	Technip Energies NV		19,053
	8,502	Television Francaise 1		64,261
		Total France		3,062,830
		Germany — 0.6%
	502	1&1 AG		7,215
	637	Aurubis AG		51,140
	1,847	Bayerische Motoren Werke AG (a)		167,705
	1,625	Beiersdorf AG (a)		176,724
	2,913	Commerzbank AG *		24,400
	1,015	Deutsche Pfandbriefbank AG		8,062
	182	Draegerwerk AG & Co KGaA (a)		7,309
	2,702	Fresenius SE & Co KGaA (a)		75,285
	2,970	HeidelbergCement AG (a)		162,841
	368	Hornbach Holding AG & Co KGaA		29,190
	9,298	Kloeckner & Co SE		88,240
	3,422	Mercedes-Benz Group AG (a)		232,502

Shares		Description	Value ($)
		Germany — continued
	1,988	ProSiebenSat.1 Media SE		18,064
	613	Salzgitter AG		17,977
	468	Siltronic AG (a)		38,839
		Total Germany		1,105,493
		Hong Kong — 0.6%
	15,300	ASMPT Ltd (a)		113,901
	13,200	Bank of East Asia Ltd (The)		15,224
	7,000	Chow Sang Sang Holdings International Ltd		8,131
	80,000	CITIC Telecom International Holdings Ltd		26,403
	4,800	Dah Sing Financial Holdings Ltd		10,722
	114,000	First Pacific Co Ltd		35,776
	21,248	Galaxy Entertainment Group Ltd		129,176
	2,500	HK Electric Investments & HK Electric Investments Ltd – Class SS (a)		1,848
	70,000	HKT Trust & HKT Ltd – Class SS (a)		85,353
	26,000	Johnson Electric Holdings Ltd		32,603
	23,000	K Wah International Holdings Ltd (a)		7,240
	20,000	Kerry Properties Ltd (a)		38,234
	9,000	NWS Holdings Ltd (a)		7,421
	57,000	Pacific Textiles Holdings Ltd		18,780
	84,000	PCCW Ltd (a)		36,731
	26,000	Power Assets Holdings Ltd (a)		134,124
	60,000	Shun Tak Holdings Ltd *		9,673
	10,000	Sino Land Co Ltd (a)		12,507
	37,000	SITC International Holdings Co Ltd		82,079
	17,000	Sun Hung Kai & Co Ltd		6,204
	10,000	Swire Pacific Ltd – Class A (a)		78,594
	44,000	VSTECS Holdings Ltd		23,883
	8,000	VTech Holdings Ltd		51,021
	289,500	WH Group Ltd (a)		169,623
	19,500	Yue Yuen Industrial Holdings Ltd		24,594
		Total Hong Kong		1,159,845
		India — 0.4%
	47,590	GAIL India Ltd		55,759
	5,777	Hindalco Industries Ltd		32,348
	17,130	Hindustan Petroleum Corp Ltd		50,618
	25,377	Indian Oil Corp Ltd		24,076
	55,721	NTPC Ltd		118,132
	148,376	Oil & Natural Gas Corp Ltd		259,702
	163,782	Tata Steel Ltd		219,027
		Total India		759,662
		Ireland — 0.5%
	47,597	Bank of Ireland Group Plc		394,676
	3,918	Glanbia Plc		47,252
	5,635	Origin Enterprises Plc		23,015
	12,511	Ryanair Holdings Plc *		168,883
	412	Ryanair Holdings Plc Sponsored ADR * (a)		31,184
	7,081	Smurfit Kappa Group Plc		257,242
		Total Ireland		922,252

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Israel — 0.2%
	2,845	Bank Leumi Le-Israel BM		26,080
	6,888	Isracard Ltd		23,066
	26,900	Teva Pharmaceutical Industries Ltd Sponsored ADR *		235,913
	8,800	ZIM Integrated Shipping Services Ltd		184,976
		Total Israel		470,035
		Italy — 0.6%
	1,136	ACEA SPA (a)		15,616
	2,745	Ascopiave SPA (a)		7,133
	2,511	Banca IFIS SPA		34,605
	3,249	Credito Emiliano SPA		23,025
	19,791	Italgas SPA (a)		116,471
	36,976	Leonardo SPA		296,668
	47,201	MFE-MediaForEurope NV – Class A		19,860
	15,277	Stellantis NV (a)		241,002
	649,026	Telecom Italia SPA * (a)		141,599
	37,435	Unipol Gruppo SPA		191,492
		Total Italy		1,087,471
		Japan — 10.0%
	800	ADEKA Corp		13,261
	18,600	Aeon Mall Co Ltd (a)		224,630
	3,021	AGC Inc (a)		102,022
	2,700	Aisin Corp		74,411
	9,400	Amano Corp		170,640
	400	Arata Corp		11,759
	1,400	Arclands Corp		15,293
	7,600	Arcs Co Ltd		116,221
	32,300	Asahi Kasei Corp (a)		240,064
	9,800	Brother Industries Ltd		159,164
	1,900	Canon Marketing Japan Inc		43,228
	300	Central Glass Co Ltd		7,641
	17,400	Chugoku Marine Paints Ltd		131,332
	14,200	Citizen Watch Co Ltd		62,356
	11,500	Credit Saison Co Ltd		147,440
	8,000	Dai Nippon Printing Co Ltd (a)		165,693
	200	Dai Nippon Toryo Co Ltd		1,119
	300	Daiichi Jitsugyo Co Ltd		9,254
	300	Daishi Hokuetsu Financial Group Inc		5,740
	3,500	Daiwa House Industry Co Ltd (a)		80,602
	24,600	Daiwabo Holdings Co Ltd		392,477
	9,700	Denka Co Ltd		234,859
	3,400	Dentsu Group Inc (a)		110,101
	400	Eizo Corp		10,518
	700	ESPEC Corp		10,581
	500	Exedy Corp		6,082
	16,800	EXEO Group Inc		260,772
	7,700	Ezaki Glico Co Ltd		200,920
	12,700	Fuji Corp		193,768
	3,700	Fuji Electric Co Ltd (a)		153,310
	3,200	FUJIFILM Holdings Corp (a)		172,135
	2,100	Fukuoka Financial Group Inc		41,145

Shares		Description	Value ($)
		Japan — continued
	9,800	H.U. Group Holdings Inc (a)		198,765
	1,700	Hanwa Co Ltd		44,622
	28,800	Haseko Corp		318,455
	500	Hazama Ando Corp		3,190
	8,600	Hogy Medical Co Ltd (a)		218,846
	17,500	Honda Motor Co Ltd (a)		426,503
	900	Hosiden Corp		10,723
	4,400	Idemitsu Kosan Co Ltd		103,328
	1,800	Inabata & Co Ltd		31,169
	52,800	Inpex Corp (a)		581,836
	7,300	ITOCHU Corp (a)		229,272
	2,100	Itochu Enex Co Ltd		15,589
	5,300	Itoham Yonekyu Holdings Inc		26,420
	1,500	Jaccs Co Ltd		42,827
	1,100	Japan Aviation Electronics Industry Ltd		18,995
	1,500	Juroku Financial Group Inc		28,890
	24,300	JVCKenwood Corp		65,880
	400	Kaga Electronics Co Ltd		12,905
	14,100	Kajima Corp (a)		159,547
	3,600	Kandenko Co Ltd		22,797
	800	Kaneka Corp		20,557
	17,000	Kanematsu Corp		189,835
	500	Kanematsu Electronics Ltd (a)		16,657
	2,600	KDDI Corp (a)		77,336
	3,300	Kinden Corp		35,452
	17,000	Kirin Holdings Co Ltd (a)		268,355
	300	Kissei Pharmaceutical Co Ltd		5,558
	800	Kohnan Shoji Co Ltd		19,313
	2,300	Kokuyo Co Ltd		30,407
	2,700	Komeri Co Ltd		50,972
	10,000	Konoike Transport Co Ltd (a)		115,815
	17,300	K’s Holdings Corp (a)		143,644
	9,700	Kyudenko Corp		233,375
	1,700	Macnica Holdings Inc		43,087
	14,700	Macromill Inc		119,889
	16,300	Mandom Corp		171,880
	11,500	Maruichi Steel Tube Ltd		239,194
	400	Maruzen Showa Unyu Co Ltd		9,418
	15,700	Maxell Ltd		162,258
	2,700	Mazda Motor Corp		21,466
	22,900	Mebuki Financial Group Inc		52,060
	5,700	Mirarth Holdings Inc		16,207
	7,400	Mitsubishi Corp (a)		249,226
	1,500	Mitsubishi Electric Corp (a)		15,033
	17,300	Mitsubishi Motors Corp *		80,712
	400	Mitsubishi Shokuhin Co Ltd (a)		9,470
	400	Mitsuboshi Belting Ltd		10,028
	900	Mitsui DM Sugar Holdings Co Ltd		12,803
	8,700	Mitsui OSK Lines Ltd (a)		215,485
	500	Mitsui-Soko Holdings Co Ltd (a)		12,942
	6,800	Morinaga & Co Ltd		183,197
	6,100	MS&AD Insurance Group Holdings Inc (a)		181,056

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	7,300	NEC Corp (a)		259,884
	11,600	NGK Spark Plug Co Ltd		227,284
	9,500	NH Foods Ltd		255,779
	800	Nichias Corp		14,198
	800	Nichiha Corp		16,601
	23,800	Nikon Corp		232,710
	1,100	Nippon Soda Co Ltd		34,378
	200	Nippon Steel Trading Corp		7,454
	7,800	Nippon Suisan Kaisha Ltd		29,728
	7,300	Nippon Telegraph & Telephone Corp (a)		202,422
	8,500	Nippon Television Holdings Inc		65,718
	10,400	Nippon Yusen KK (a)		231,498
	800	Nissin Electric Co Ltd		7,877
	400	Nitto Kogyo Corp		6,808
	3,800	Nojima Corp		38,777
	27,700	Obayashi Corp		207,087
	2,700	Okamura Corp		28,002
	1,700	ORIX Corp (a)		27,544
	400	Osaka Soda Co Ltd		12,096
	17,200	Pacific Industrial Co Ltd		136,314
	500	PAL GROUP Holdings Co Ltd		8,841
	38,600	Penta-Ocean Construction Co Ltd		182,673
	1,400	Proto Corp		12,910
	500	Raito Kogyo Co Ltd		7,536
	1,200	Raiznext Corp		11,007
	2,600	Renesas Electronics Corp * (a)		25,500
	2,700	Rohm Co Ltd (a)		216,732
	2,600	San-A Co Ltd (a)		82,510
	1,000	San-Ai Oil Co Ltd		9,454
	3,100	Sanki Engineering Co Ltd		36,103
	8,400	Sankyu Inc (a)		303,994
	800	Sanwa Holdings Corp		7,581
	4,900	Sawai Group Holdings Co Ltd		151,725
	4,100	Secom Co Ltd (a)		253,483
	900	Sega Sammy Holdings Inc		12,002
	14,000	Seiko Epson Corp		220,309
	13,100	Sekisui House Ltd (a)		245,280
	400	Sekisui Jushi Corp		5,290
	2,300	Shimamura Co Ltd (a)		208,813
	28,800	Shimizu Corp		155,276
	1,100	Shizuoka Gas Co Ltd (a)		8,860
	1,100	Sinko Industries Ltd		12,439
	2,100	SKY Perfect JSAT Holdings Inc		7,794
	15,740	Sojitz Corp		280,501
	19,300	Stanley Electric Co Ltd		396,839
	500	Star Micronics Co Ltd		6,430
	7,600	Subaru Corp		130,172
	16,100	SUMCO Corp (a)		240,880
	69,800	Sumitomo Chemical Co Ltd		254,479
	15,400	Sumitomo Corp (a)		252,472
	5,700	Sumitomo Forestry Co Ltd		99,523
	9,700	Sumitomo Mitsui Financial Group Inc (a)		329,225

Shares		Description	Value ($)
		Japan — continued
	8,900	Sumitomo Mitsui Trust Holdings Inc		285,429
	400	Sumitomo Seika Chemicals Co Ltd		12,368
	1,100	Sumitomo Warehouse Co Ltd (The) (a)		16,109
	1,000	Suntory Beverage & Food Ltd (a)		34,078
	28,300	T&D Holdings Inc		344,052
	11,700	Tachi-S Co Ltd		93,872
	6,100	Taisei Corp		185,435
	2,500	Takara Holdings Inc		19,551
	400	Takeuchi Manufacturing Co Ltd		9,310
	16,100	Takuma Co Ltd		150,469
	1,300	Tamron Co Ltd		33,019
	22,800	Teijin Ltd		221,229
	11,700	THK Co Ltd		230,787
	10,200	Toho Holdings Co Ltd (a)		158,747
	28,900	Tokai Carbon Co Ltd		222,995
	14,900	Tokyo Gas Co Ltd (a)		274,085
	7,200	Tokyo Seimitsu Co Ltd (a)		230,726
	5,000	Tokyu Construction Co Ltd		23,937
	15,400	Toppan Inc (a)		239,872
	15,100	Tosei Corp (a)		154,845
	10,700	Tosoh Corp		127,041
	900	Totetsu Kogyo Co Ltd		16,735
	500	Towa Pharmaceutical Co Ltd		7,703
	3,300	Toyo Construction Co Ltd		20,087
	700	Toyota Boshoku Corp		9,833
	5,300	Toyota Industries Corp (a)		304,046
	5,000	Tsumura & Co		109,571
	1,700	TV Asahi Holdings Corp		17,041
	2,000	YAMABIKO Corp		16,595
	22,500	Yamada Holdings Co Ltd (a)		77,982
	2,700	Yamaha Motor Co Ltd		67,634
	2,000	Yamazen Corp		14,635
	2,200	Yellow Hat Ltd		27,711
	7,200	Yokogawa Bridge Holdings Corp		101,620
	600	Yuasa Trading Co Ltd		15,743
	5,500	Zenkoku Hosho Co Ltd		204,787
		Total Japan		19,440,255
		Mexico — 0.3%
	36,102	Fomento Economico Mexicano SAB de CV		288,120
	49,405	Grupo Mexico SAB de CV – Series B		201,010
		Total Mexico		489,130
		Netherlands — 1.4%
	2,352	ABN AMRO Bank NV CVA GDR		30,331
	52,055	Aegon NV (a)		255,198
	200	AerCap Holdings NV *		12,280
	6,818	ASR Nederland NV		312,051
	7,939	EXOR NV * (a)		623,211
	7,104	JDE Peet’s NV (a)		220,062
	7,095	Koninklijke Ahold Delhaize NV (a)		206,763
	14,692	Koninklijke Philips NV (a)		220,154

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	6,366	NN Group NV (a)		272,060
	3,427	Prosus NV *		224,259
	4,713	Randstad NV (a)		272,993
	220	Signify NV (a)		7,514
		Total Netherlands		2,656,876
		New Zealand — 0.1%
	7,740	Auckland International Airport Ltd * (a)		39,446
	25,648	Meridian Energy Ltd (a)		79,606
	8,374	Spark New Zealand Ltd (a)		27,300
		Total New Zealand		146,352
		Norway — 0.2%
	35,651	DNO ASA		45,563
	15,845	Elkem ASA *		58,676
	12,647	Europris ASA		80,376
	2,875	SpareBank 1 Nord Norge		26,797
	2,228	SpareBank 1 SMN		26,547
	901	SpareBank 1 SR-Bank ASA		10,915
	434	Stolt-Nielsen Ltd (a)		11,240
	7,121	Wallenius Wilhelmsen ASA (a)		66,709
		Total Norway		326,823
		Poland — 0.0%
	666	Polski Koncern Naftowy ORLEN SA		9,803
		Portugal — 0.4%
	6,375	Altri SGPS SA		37,345
	10,741	CTT-Correios de Portugal SA		35,991
	24,809	EDP – Energias de Portugal SA		117,720
	28,724	Galp Energia SGPS SA		353,928
	14,937	Navigator Co SA (The) *		60,675
	16,961	NOS SGPS SA		68,134
	7,365	REN – Redes Energeticas Nacionais SGPS SA		19,504
	98,476	Sonae SGPS SA		100,038
		Total Portugal		793,335
		Russia — 0.0%
	2,505	LUKOIL PJSC (d)		13,212
	5,410	Novatek PJSC (d)		6,401
		Total Russia		19,613
		Singapore — 0.6%
	17,200	City Developments Ltd		105,670
	46,900	ComfortDelGro Corp Ltd		42,665
	222,800	Golden Agri-Resources Ltd		47,563
	27,900	Japfa Ltd		10,524
	8,400	Jardine Cycle & Carriage Ltd		187,352
	33,900	Keppel Corp Ltd		189,214
	26,800	StarHub Ltd		21,181
	8,100	UOL Group Ltd		39,945

Shares		Description	Value ($)
		Singapore — continued
	238,600	Yangzijiang Financial Holding Ltd *		61,040
	378,400	Yangzijiang Shipbuilding Holdings Ltd		400,752
	35,100	Yanlord Land Group Ltd		25,499
		Total Singapore		1,131,405
		South Africa — 0.1%
	11,775	Bidvest Group Ltd (The)		158,354
		South Korea — 0.3%
	3,662	Kia Corp		192,855
	1,223	LG Corp		78,872
	358	LG Electronics Inc		27,015
	137	POSCO Holdings Inc		31,359
	2,700	POSCO Holdings Inc Sponsored ADR (a)		154,062
	47	Samsung Electronics Co Ltd GDR (Registered) (a)		55,829
	2,735	SK Square Co Ltd *		79,240
		Total South Korea		619,232
		Spain — 1.1%
	30,150	Acerinox SA		298,275
	3,465	Amadeus IT Group SA * (a)		187,344
	5,374	Atresmedia Corp de Medios de Comunicacion SA		18,893
	46,898	Banco Bilbao Vizcaya Argentaria SA		276,372
	260,361	Banco de Sabadell SA		243,104
	85,453	Banco Santander SA		254,978
	4,325	Cia de Distribucion Integral Logista Holdings SA (a)		102,010
	3,977	Ence Energia y Celulosa SA		13,176
	3,874	Faes Farma SA		14,891
	721	Grupo Catalana Occidente SA		22,806
	6,826	Industria de Diseno Textil SA (a)		178,184
	27,916	Repsol SA * (a)		431,032
	13,518	Telefonica SA (a)		50,458
		Total Spain		2,091,523
		Sweden — 0.5%
	13,005	Fastighets AB Balder – B Shares * (a)		58,464
	2,695	Industrivarden AB – A Shares (a)		69,553
	4,611	Industrivarden AB – C Shares (a)		118,118
	4,424	Investor AB – A Shares (a)		85,183
	4,363	Investor AB – B Shares (a)		81,199
	5,114	Inwido AB		51,496
	7,068	Kinnevik AB – Class B *		108,952
	1,919	New Wave Group AB – B Shares		38,885
	5,381	Skanska AB – B Shares (a)		87,599
	37,851	SSAB AB – A Shares		219,186
	3,710	SSAB AB – B Shares		20,975
	2,725	Svenska Cellulosa AB SCA – Class B		37,051
	3,818	Telefonaktiebolaget LM Ericsson – B Shares		24,098
		Total Sweden		1,000,759

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		Switzerland — 0.4%
	6,670	Adecco Group AG (Registered) (a)		226,757
	500	Logitech International SA		30,270
	3,677	Logitech International SA (Registered)		222,927
	689	Roche Holding AG – Genusschein (a)		225,044
	27	Schindler Holding AG (Registered) (a)		4,862
	158	u-blox Holding AG *		20,570
	182	Zehnder Group AG – Class RG		10,820
		Total Switzerland		741,250
		Taiwan — 0.0%
	38,900	Ruentex Development Co Ltd		58,721
		Thailand — 0.1%
	14,200	Kasikornbank Pcl NVDR		58,513
	200,000	Krung Thai Bank Pcl NVDR		100,367
		Total Thailand		158,880
		Turkey — 0.0%
	32,988	Akbank TAS		30,857
	21,455	Haci Omer Sabanci Holding AS		48,798
		Total Turkey		79,655
		United Kingdom — 2.5%
	14,950	3i Group Plc (a)		245,635
	40,420	Airtel Africa Plc		60,455
	17,644	Balfour Beatty Plc		69,083
	923	Bank of Georgia Group Plc		28,155
	53,965	Barratt Developments Plc		260,963
	6,210	Bellway Plc		150,898
	7,761	Berkeley Group Holdings Plc		359,906
	129,122	BT Group Plc (a)		190,004
	4,600	Bunzl Plc (a)		170,122
	66,297	Centrica Plc (a)		76,535
	200	Clarkson Plc (a)		7,465
	20,278	Coca-Cola HBC AG *		496,018
	15,721	Compass Group Plc (a)		358,406
	9,585	Crest Nicholson Holdings Plc		26,531
	34,999	Ferrexpo Plc		60,962
	13,618	Halfords Group Plc		32,059
	11,553	IG Group Holdings Plc		114,924
	5,820	Indivior Plc *		120,708
	17,036	Investec Plc		107,595
	62,403	Kingfisher Plc (a)		182,491
	149,488	M&G Plc		349,305
	2,718	Morgan Sindall Group Plc		53,728
	18,562	OSB Group Plc		106,859
	2,818	Paragon Banking Group Plc		16,116
	6,089	Persimmon Plc		94,312
	11,397	Plus500 Ltd		261,624
	41,577	Premier Foods Plc		51,810
	9,276	Redde Northgate Plc (a)		42,464

Shares		Description	Value ($)
		United Kingdom — continued
	14,847	Redrow Plc		81,809
	16,236	S4 Capital Plc *		37,487
	12,021	Serica Energy Plc		45,931
	7,807	Shell Plc (a)		228,478
	72,474	Taylor Wimpey Plc		91,348
	282	TBC Bank Group Plc		7,477
	12,500	Vodafone Group Plc Sponsored ADR (a)		140,375
	19,552	WPP Plc (a)		205,485
		Total United Kingdom		4,933,523
		United States — 11.2%
	500	3M Co. (a)		62,985
	1,183	ADTRAN Holdings, Inc.		23,979
	1,700	Aflac, Inc. (a)		122,281
	7,000	Ally Financial, Inc. (a)		189,070
	1,717	Alphabet, Inc. – Class A * (a)		173,400
	1,533	American Express Co. (a)		241,586
	4,300	AppLovin Corp. – Class A * (a)		61,963
	2,100	Arrow Electronics, Inc. *		228,354
	8,200	AT&T, Inc. (a)		158,096
	2,900	Best Buy Co., Inc. (a)		247,370
	700	Biogen, Inc. * (a)		213,619
	500	Bio-Rad Laboratories, Inc. – Class A * (a)		207,355
	105	Booking Holdings, Inc. * (a)		218,342
	10,313	BorgWarner, Inc.		438,406
	1,900	Capital One Financial Corp. (a)		196,156
	724	CarMax, Inc. * (a)		50,217
	6,300	Carrier Global Corp. (a)		279,216
	2,900	CBRE Group, Inc. – Class A* (a)		230,840
	2,800	Centene Corp. * (a)		243,740
	1,265	Chevron Corp. (a)		231,887
	400	Cigna Corp. (a)		131,556
	4,300	Citigroup, Inc. (a)		208,163
	14,000	Cleveland-Cliffs, Inc. *		216,720
	3,400	Cognizant Technology Solutions Corp. – Class A (a)		211,514
	7,000	Comcast Corp. – Class A (a)		256,480
	1,500	CVS Health Corp. (a)		152,820
	3,452	Darling Ingredients, Inc. * (a)		247,957
	5,200	Dell Technologies, Inc. – Class C (a)		232,908
	1,600	Discover Financial Services (a)		173,376
	13,500	DISH Network Corp. – Class A* (a)		216,675
	3,500	DR Horton, Inc. (a)		301,000
	5,100	eBay, Inc. (a)		231,744
	2,257	EOG Resources, Inc. (a)		320,336
	4,900	Exelon Corp. (a)		202,713
	1,200	FedEx Corp. (a)		218,664
	5,600	Fidelity National Financial, Inc. (a)		226,016
	17,800	Ford Motor Co. (a)		247,420
	3,200	Fortune Brands Home & Security, Inc. (a)		209,088
	200	Fox Corp. – Class A (a)		6,490
	9,500	Fox Corp. – Class B (a)		289,940
	9,800	Franklin Resources, Inc. (a)		262,738

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	500	Garmin Ltd. (a)		46,495
	6,000	General Motors Co.		243,360
	800	Gilead Sciences, Inc. (a)		70,264
	200	Goldman Sachs Group, Inc. (The) (a)		77,230
	2,572	Green Plains, Inc. *		88,888
	900	Henry Schein, Inc. * (a)		72,828
	1,496	Hilton Worldwide Holdings, Inc. (a)		213,360
	7,700	HP, Inc. (a)		231,308
	4,000	IAC, Inc. * (a)		207,560
	3,600	Incyte Corp. * (a)		286,812
	7,900	Intel Corp. (a)		237,553
	2,492	Intercontinental Exchange, Inc. (a)		269,909
	2,100	International Business Machines Corp. (a)		312,690
	9,600	Invesco Ltd. (a)		183,456
	1,800	Jazz Pharmaceuticals Plc * (a)		282,438
	15,300	Kinder Morgan, Inc. (a)		292,536
	2,800	Knight-Swift Transportation Holdings, Inc. (a)		155,204
	5,300	Kraft Heinz Co. (The) (a)		208,555
	2,000	Kroger Co. (The) (a)		98,380
	1,000	Laboratory Corp. of America Holdings (a)		240,700
	288	Lam Research Corp. (a)		136,045
	3,912	Las Vegas Sands Corp. * (a)		183,238
	2,900	Lennar Corp. – Class A (a)		254,707
	3,088	Liberty Global Plc – Class A * (a)		62,007
	6,399	Liberty Global Plc – Class C * (a)		132,331
	4,000	Lincoln National Corp.		155,760
	24,000	Lumen Technologies, Inc. (a)		131,280
	3,000	LyondellBasell Industries NV – Class A (a)		255,030
	166	Markel Corp. * (a)		219,924
	900	Match Group, Inc. * (a)		45,504
	3,033	Meta Platforms, Inc. – Class A * (a)		358,197
	1,100	MetLife, Inc. (a)		84,370
	5,631	Micron Technology, Inc. (a)		324,627
	1,800	Mohawk Industries, Inc. *		182,394
	4,400	Molson Coors Brewing Co. – Class B (a)		242,484
	2,500	Mosaic Co. (The) (a)		128,250
	4,700	NRG Energy, Inc. (a)		199,515
	1,600	Nucor Corp. (a)		239,920
	1,600	Occidental Petroleum Corp. (a)		111,184
	2,800	Oracle Corp. (a)		232,484
	1,751	Otis Worldwide Corp. (a)		136,736
	500	PACCAR, Inc. (a)		52,955
	11,800	Paramount Global – Class B (a)		236,944
	2,900	PayPal Holdings, Inc. * (a)		227,389
	2,300	Pfizer, Inc. (a)		115,299
	2,700	Prudential Financial, Inc. (a)		291,681
	5,000	PulteGroup, Inc.		223,900
	100	Quest Diagnostics, Inc. (a)		15,183
	2,906	Raytheon Technologies Corp. (a)		286,880
	400	Regeneron Pharmaceuticals, Inc. * (a)		300,680
	2,901	Sensata Technologies Holding Plc		130,835
	1,400	Skyworks Solutions, Inc. (a)		133,868

Shares		Description	Value ($)
		United States — continued
	1,200	SS&C Technologies Holdings, Inc. (a)		64,512
	400	Stanley Black & Decker, Inc. (a)		32,688
	2,700	Steel Dynamics, Inc. (a)		280,611
	6,700	Synchrony Financial (a)		251,786
	2,700	Textron, Inc. (a)		192,726
	3,000	Tyson Foods, Inc. – Class A (a)		198,840
	100	United Parcel Service, Inc. – Class B (a)		18,973
	1,900	Universal Health Services, Inc. – Class B (a)		248,615
	4,853	US Bancorp (a)		220,278
	5,600	Verizon Communications, Inc. (a)		218,288
	800	Vertex Pharmaceuticals, Inc. * (a)		253,120
	21,600	Viatris, Inc. (a)		238,248
	5,500	Walgreens Boots Alliance, Inc. (a)		228,250
	3,023	Warner Bros Discovery, Inc. * (a)		34,462
	5,252	Wells Fargo & Co. (a)		251,833
	14,200	Western Union Co. (The) (a)		208,172
	5,300	Western Digital Corp. *		194,775
	1,800	Westlake Corp. (a)		193,770
	1,300	Whirlpool Corp.		190,489
	2,600	Zoom Video Communications, Inc. – Class A * (a)		196,118
		Total United States		21,750,861
		TOTAL COMMON STOCKS (COST $78,443,375)		74,504,756
		PREFERRED STOCKS (e) —0.3%
		Brazil — 0.2%
	31,790	Bradespar SA		173,366
	4,000	Petroleo Brasileiro SA		20,550
	14,400	Petroleo Brasileiro SA Sponsored ADR (a)		147,600
		Total Brazil		341,516
		Germany — 0.1%
	1,572	Bayerische Motoren Werke AG		136,409
	742	Draegerwerk AG & Co KGaA (a)		33,631
	1,095	Volkswagen AG (a)		161,743
		Total Germany		331,783
		TOTAL PREFERRED STOCKS (COST $651,384)		673,299
		RIGHTS/WARRANTS — 0.0%
		France — 0.0%
	3,743	ALD SA *		8,140
		TOTAL RIGHTS/WARRANTS (COST $0)		8,140

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Par Value† / Shares			Description	Value ($)
			DEBT OBLIGATIONS — 6.5%
			United States — 6.5%
			U.S. Government — 6.5%
	12,725,000		U.S. Treasury Note, 0.13%, due 02/28/23 (a)		12,591,663
	51,000		U.S. Treasury Note, 0.13%, due 04/30/23 (a)		50,050
			Total U.S. Government		12,641,713
			Total United States		12,641,713
			TOTAL DEBT OBLIGATIONS (COST $12,759,280)		12,641,713
			MUTUAL FUNDS — 65.1%
			United States — 65.1%
			Affiliated Issuers — 65.1%
	391,219		GMO Emerging Country Debt Fund, Class VI		7,452,723
	1,313,356		GMO Emerging Markets ex-China Fund, Class VI		18,439,519
	778,363		GMO Emerging Markets Fund, Class VI		18,423,857
	1,184,054		GMO International Equity Fund, Class IV		25,386,124
	635,829		GMO Multi-Sector Fixed Income Fund, Class IV		10,770,948
	395,428		GMO Quality Fund, Class VI		10,368,121
	305,280		GMO Small Cap Quality Fund, Class VI		7,036,693
	1,416,387		GMO U.S. Equity Fund, Class VI		18,058,939
	368,099		GMO U.S. Small Cap Value Fund, Class VI		6,338,655
	812,804		GMO U.S. Treasury Fund		4,047,762
			Total Affiliated Issuers		126,323,341
			TOTAL MUTUAL FUNDS (COST $137,427,677)		126,323,341
			SHORT-TERM INVESTMENTS — 7.4%
			Money Market Funds — 0.2%
	355,201		State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% (f)		355,201
			Repurchase Agreements — 7.2%
	13,999,866		Nomura Securities International, Inc Repurchase Agreement, dated 11/30/22, maturing on 12/01/22 with a maturity value of $14,001,344 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 11/30/24 and a market value of $14,285,569.		13,999,866
			TOTAL SHORT-TERM INVESTMENTS (COST $14,355,067)		14,355,067
			TOTAL INVESTMENTS — 117.7% (Cost $243,636,783)		228,506,316
			SECURITIES SOLD SHORT — (17.4)%
			Common Stocks — (17.3)%
			Australia — (0.4)%
	(4,131	)	ASX Ltd		(199,130	)
	(876	)	Cochlear Ltd		(128,841	)

Shares			Description	Value ($)
			Australia — continued
	(564	)	Domino’s Pizza Enterprises Ltd		(25,831	)
	(4,940	)	IDP Education Ltd		(101,707	)
	(47,677	)	Qantas Airways Ltd *		(204,755	)
	(1,564	)	Ramsay Health Care Ltd		(70,387	)
			Total Australia		(730,651	)
			Austria — (0.1)%
	(2,362	)	Verbund AG		(213,817	)
			Belgium — (0.1)%
	(4,223	)	Anheuser-Busch InBev SA/NV		(249,053	)
			Canada — (1.0)%
	(3,700	)	Agnico Eagle Mines Ltd		(186,369	)
	(13,900	)	Algonquin Power & Utilities Corp		(104,945	)
	(10,100	)	AltaGas Ltd		(169,466	)
	(1,800	)	BCE Inc		(85,752	)
	(5,700	)	Brookfield Renewable Corp – Class A		(185,877	)
	(5,400	)	Enbridge Inc		(222,966	)
	(1,500	)	Franco-Nevada Corp		(219,180	)
	(13,064	)	Pan American Silver Corp		(214,119	)
	(8,100	)	Pembina Pipeline Corp		(295,488	)
	(4,000	)	Restaurant Brands International Inc		(265,400	)
	(1,400	)	Ritchie Bros Auctioneers Inc		(76,790	)
			Total Canada		(2,026,352	)
			Denmark — (0.1)%
	(232	)	Coloplast A/S – Class B		(27,426	)
	(3,514	)	Tryg A/S		(81,757	)
			Total Denmark		(109,183	)
			Finland — (0.0)%
	(733	)	Elisa Oyj		(38,129	)
			France — (0.6)%
	(7,842	)	Accor SA *		(206,560	)
	(1,525	)	Aeroports de Paris *		(235,060	)
	(13,476	)	Getlink SE		(222,696	)
	(179	)	Hermes International		(290,925	)
	(248	)	Sartorius Stedim Biotech		(84,643	)
	(1,899	)	Ubisoft Entertainment SA *		(52,827	)
	(1,163	)	Wendel SE		(108,291	)
			Total France		(1,201,002	)
			Germany — (0.7)%
	(5,797	)	Delivery Hero SE *		(253,750	)
	(1,206	)	Deutsche Boerse AG		(221,632	)
	(451	)	MTU Aero Engines AG		(95,099	)
	(162	)	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		(51,169	)
	(1,773	)	Puma SE		(91,759	)
	(514	)	QIAGEN NV * (b)		(25,662	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			Germany — continued
	(400	)	QIAGEN NV * (b)		(19,816	)
	(189	)	Rational AG		(118,749	)
	(362	)	Scout24 SE		(19,870	)
	(1,870	)	Symrise AG – Class A		(214,468	)
	(70,965	)	Telefonica Deutschland Holding AG		(169,731	)
	(1,308	)	Zalando SE *		(41,140	)
			Total Germany		(1,322,845	)
			Ireland — (0.0)%
	(244	)	Flutter Entertainment Plc *		(36,331	)
			Israel — (0.2)%
	(1,800	)	CyberArk Software Ltd *		(268,326	)
	(500	)	Wix.com Ltd *		(45,245	)
			Total Israel		(313,571	)
			Italy — (0.5)%
	(6,384	)	Amplifon SPA		(180,840	)
	(986	)	Ferrari NV (b)		(220,077	)
	(300	)	Ferrari NV (b)		(66,915	)
	(15,620	)	FinecoBank Banca Fineco SPA		(253,696	)
	(22,515	)	Infrastrutture Wireless Italiane SPA		(224,559	)
			Total Italy		(946,087	)
			Japan — (1.9)%
	(7,700	)	Aeon Co Ltd		(158,910	)
	(11,300	)	ANA Holdings Inc *		(243,310	)
	(9,500	)	Asahi Intecc Co Ltd		(170,058	)
	(2,400	)	GMO Payment Gateway Inc		(217,294	)
	(11,200	)	Japan Airlines Co Ltd *		(223,879	)
	(5,900	)	Japan Exchange Group Inc		(85,427	)
	(3,700	)	Keio Corp		(138,612	)
	(1,800	)	Keisei Electric Railway Co Ltd		(51,567	)
	(700	)	Kintetsu Group Holdings Co Ltd		(25,019	)
	(1,200	)	Lasertec Corp		(226,202	)
	(8,000	)	M3 Inc		(250,902	)
	(15,200	)	MonotaRO Co Ltd		(262,964	)
	(2,600	)	Nidec Corp		(163,729	)
	(10,600	)	Nihon M&A Center Holdings Inc		(145,121	)
	(20,000	)	Nippon Paint Holdings Co Ltd		(165,635	)
	(1,200	)	Nissin Foods Holdings Co Ltd		(91,446	)
	(10,700	)	Odakyu Electric Railway Co Ltd		(141,244	)
	(1,800	)	Oriental Land Co Ltd		(260,191	)
	(44,100	)	Rakuten Group Inc		(211,881	)
	(2,700	)	Shiseido Co Ltd		(115,317	)
	(3,400	)	Tobu Railway Co Ltd		(82,081	)
	(10,200	)	Tokyu Corp		(130,265	)
	(4,100	)	West Japan Railway Co		(174,659	)
			Total Japan		(3,735,713	)

Shares			Description	Value ($)
			Netherlands — (0.5)%
	(169	)	Adyen NV *		(266,229	)
	(1,470	)	IMCD NV		(217,419	)
	(6,105	)	Just Eat Takeaway.com NV *		(141,442	)
	(770	)	OCI NV *		(32,597	)
	(10,847	)	Universal Music Group NV		(257,950	)
			Total Netherlands		(915,637	)
			New Zealand — (0.1)%
	(4,074	)	Xero Ltd *		(202,458	)
			Norway — (0.1)%
	(6,074	)	Aker BP ASA		(211,316	)
			Peru — (0.1)%
	(4,400	)	Southern Copper Corp		(268,488	)
			Singapore — (0.2)%
	(10,600	)	Grab Holdings Ltd – Class A *		(32,012	)
	(29,100	)	Singapore Airlines Ltd		(118,060	)
	(22,100	)	Singapore Exchange Ltd		(147,924	)
			Total Singapore		(297,996	)
			Spain — (0.3)%
	(6,269	)	Cellnex Telecom SA *		(215,581	)
	(10,986	)	Ferrovial SA		(295,432	)
			Total Spain		(511,013	)
			Sweden — (0.1)%
	(2,276	)	Evolution AB		(234,437	)
			Switzerland — (0.3)%
	(5	)	Chocoladefabriken Lindt & Spruengli AG		(52,597	)
	(8	)	Givaudan SA		(27,045	)
	(196	)	Partners Group Holding AG		(195,288	)
	(26	)	Schindler Holding AG		(4,929	)
	(252	)	Sika AG (Registered)		(64,401	)
	(1,550	)	Straumann Holding AG (Registered)		(180,903	)
			Total Switzerland		(525,163	)
			United Kingdom — (0.9)%
	(2,205	)	Admiral Group Plc		(53,908	)
	(30,631	)	Auto Trader Group Plc		(211,455	)
	(58	)	Croda International Plc		(4,796	)
	(2,894	)	Halma Plc		(76,767	)
	(14,090	)	Hargreaves Lansdown Plc		(145,176	)
	(37,618	)	Informa Plc		(282,109	)
	(2,873	)	InterContinental Hotels Group Plc		(167,218	)
	(2,983	)	London Stock Exchange Group Plc		(298,704	)
	(25,187	)	Ocado Group Plc *		(190,684	)
	(797	)	Prudential Plc		(9,480	)
	(245,783	)	Rolls-Royce Holdings Plc *		(272,340	)
	(605	)	Spirax-Sarco Engineering Plc		(82,626	)
			Total United Kingdom		(1,795,263	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			United States — (9.1)%
	(9,800	)	AES Corp. (The)		(283,416	)
	(1,200	)	Alnylam Pharmaceuticals, Inc. *		(264,708	)
	(4,100	)	Altria Group, Inc.		(190,978	)
	(500	)	American Tower Corp. (REIT)		(110,625	)
	(200	)	Amgen, Inc.		(57,280	)
	(700	)	Aon Plc – Class A		(215,796	)
	(5,700	)	Aramark		(237,120	)
	(1,500	)	Arthur J Gallagher & Co.		(298,665	)
	(900	)	Autodesk, Inc. *		(181,755	)
	(500	)	Automatic Data Processing, Inc.		(132,070	)
	(1,900	)	Bill.Com Holdings, Inc. *		(228,798	)
	(1,000	)	BioMarin Pharmaceutical, Inc. *		(100,980	)
	(2,400	)	Bio-Techne Corp.		(203,976	)
	(1,500	)	Boeing Co. (The) *		(268,320	)
	(500	)	Broadcom, Inc.		(275,515	)
	(500	)	Brown & Brown, Inc.		(29,795	)
	(1,500	)	Burlington Stores, Inc. *		(293,520	)
	(5,400	)	Caesars Entertainment, Inc. *		(274,374	)
	(500	)	Catalent, Inc.*		(25,065	)
	(3,500	)	Ceridian HCM Holding, Inc. *		(239,540	)
	(100	)	Charles Schwab Corp. (The)		(8,254	)
	(200	)	Chipotle Mexican Grill, Inc. – Class A *		(325,392	)
	(4,500	)	Cloudflare, Inc. – Class A *		(221,130	)
	(1,000	)	CME Group, Inc.		(176,500	)
	(4,000	)	Coupa Software, Inc. *		(252,960	)
	(800	)	Crown Castle, Inc. (REIT)		(113,144	)
	(6,200	)	Delta Air Lines, Inc. *		(219,294	)
	(2,400	)	Dexcom, Inc. *		(279,072	)
	(1,700	)	Diamondback Energy, Inc.		(251,634	)
	(400	)	DocuSign, Inc. – Class A *		(18,828	)
	(2,300	)	Dominion Energy, Inc.		(140,553	)
	(700	)	Dynatrace, Inc. *		(27,125	)
	(1,800	)	Equity LifeStyle Properties, Inc. (REIT)		(119,556	)
	(100	)	Erie Indemnity Co. – Class A		(28,239	)
	(2,000	)	Essential Utilities, Inc.		(96,480	)
	(5,500	)	Exact Sciences Corp. *		(247,225	)
	(4,000	)	Fastenal Co.		(206,040	)
	(4,000	)	Fortinet, Inc. *		(212,640	)
	(700	)	Gartner, Inc. *		(245,259	)
	(3,100	)	Guidewire Software, Inc. *		(183,861	)
	(1,000	)	Hess Corp.		(143,910	)
	(700	)	HubSpot, Inc. *		(212,121	)
	(600	)	IDEXX Laboratories, Inc. *		(255,522	)
	(4,000	)	Ingersoll Rand, Inc.		(215,880	)
	(900	)	Insulet Corp. *		(269,433	)
	(1,300	)	IQVIA Holdings, Inc. *		(283,426	)
	(2,700	)	Iron Mountain, Inc. (REIT)		(146,691	)
	(4,100	)	Liberty Media Corp.-Liberty Formula One – Class C *		(249,854	)
	(700	)	Linde Plc *		(235,536	)
	(2,900	)	Live Nation Entertainment, Inc. *		(211,004	)
	(900	)	MarketAxess Holdings, Inc.		(241,128	)
	(500	)	Marriott International, Inc. – Class A		(82,675	)

Shares			Description	Value ($)
			United States — continued
	(1,200	)	Marsh & McLennan Cos., Inc.		(207,816	)
	(500	)	McDonald’s Corp.		(136,395	)
	(300	)	McKesson Corp.		(114,504	)
	(1,300	)	MongoDB, Inc. – Class A *		(198,497	)
	(400	)	Monolithic Power Systems, Inc.		(152,784	)
	(400	)	Moody’s Corp.		(119,308	)
	(500	)	MSCI, Inc. – Class A		(253,915	)
	(200	)	Nasdaq, Inc.		(13,692	)
	(3,600	)	Newmont Corp.		(170,892	)
	(6,800	)	NiSource, Inc.		(189,992	)
	(2,800	)	Novocure Ltd. *		(215,152	)
	(4,100	)	Okta, Inc. *		(218,612	)
	(3,800	)	ONEOK, Inc.		(254,296	)
	(21,200	)	Palantir Technologies, Inc. – Class A *		(159,000	)
	(1,900	)	Paychex, Inc.		(235,657	)
	(1,600	)	Philip Morris International, Inc.		(159,472	)
	(700	)	PTC, Inc. *		(89,047	)
	(200	)	Public Storage (REIT)		(59,592	)
	(500	)	RingCentral, Inc. – Class A *		(18,530	)
	(5,100	)	ROBLOX Corp. – Class A *		(162,027	)
	(3,500	)	Roku, Inc. *		(207,795	)
	(6,200	)	Rollins, Inc.		(250,728	)
	(4,100	)	Royal Caribbean Cruises Ltd. *		(245,713	)
	(200	)	RPM International, Inc.		(20,724	)
	(500	)	S&P Global, Inc.		(176,400	)
	(1,500	)	Seagen, Inc. *		(182,085	)
	(500	)	ServiceNow, Inc. *		(208,150	)
	(900	)	Sherwin-Williams Co. (The)		(224,262	)
	(1,200	)	Simon Property Group, Inc. (REIT)		(143,328	)
	(4,500	)	Snap, Inc. – Class A *		(46,395	)
	(1,200	)	Snowflake, Inc. – Class A *		(171,480	)
	(200	)	Southern Co.		(13,528	)
	(2,400	)	Starbucks Corp.		(245,280	)
	(2,600	)	Sysco Corp.		(224,926	)
	(6,500	)	Teladoc Health, Inc. *		(185,315	)
	(1,000	)	Tesla, Inc.*		(194,700	)
	(400	)	T-Mobile U.S., Inc. *		(60,584	)
	(4,000	)	Trade Desk, Inc. (The) – Class A *		(208,560	)
	(400	)	TransDigm Group, Inc.		(251,400	)
	(4,300	)	Twilio, Inc. – Class A *		(210,786	)
	(7,000	)	Uber Technologies, Inc. *		(203,980	)
	(2,500	)	UDR, Inc. (REIT)		(103,675	)
	(100	)	Union Pacific Corp.		(21,743	)
	(900	)	Vail Resorts, Inc.		(231,786	)
	(500	)	Vulcan Materials Co.		(91,665	)
	(300	)	Wayfair, Inc. – Class A *		(10,992	)
	(8,600	)	Williams Cos., Inc. (The)		(298,420	)
	(2,242	)	Zillow Group, Inc. – Class C *		(85,151	)
	(100	)	Zoetis, Inc.		(15,414	)
	(1,400	)	Zscaler, Inc. *		(186,830	)
			Total United States		(17,683,637	)
			TOTAL COMMON STOCKS (PROCEEDS $39,542,227)		(33,568,142	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2022 (Unaudited)

Shares			Description	Value ($)
			PREFERRED STOCKS (e) — (0.1)%
			Germany — (0.1)%
	(561	)	Sartorius AG		(210,912	)
			TOTAL PREFERRED STOCKS (PROCEEDS $236,085)		(210,912	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $39,778,312)		(33,779,054	)
			Other Assets and Liabilities (net) — (0.3%)		(612,076	)
			TOTAL NET ASSETS — 100.0%		$194,115,186

A summary of outstanding financial instruments at November 30, 2022 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 (g)	1 Month Federal Funds Rate minus 0.75%	GS	USD	1		05/24/2024	Monthly		—		(773	)		(773	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	1		05/24/2024	Monthly		—		(272	)		(272	)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	1,974,199		06/18/2024	Monthly		—		(63,416	)		(63,416	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	GS	USD	665,083		06/24/2024	Monthly		—		(6,749	)		(6,749	)
								$	—	$	(71,210	)	$	(71,210	)

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

(c) Investment valued using significant unobservable inputs.

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

(f) The rate disclosed is the 7 day net yield as of November 30, 2022.

(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.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2022 (Unaudited)

(h) The following table represents the individual long and/or short positions within the custom equity basket swap as of November 30, 2022:

Shares		Description	%of Equity Basket			Value ($)
	(72,000)	Air China Ltd – Class H		2.8	%		(57,952	)
	(134,300)	Airports of Thailand Pcl NVDR		14.1	%		(286,821	)
	(70,000)	Alibaba Health Information Technology Ltd		2.9	%		(59,091	)
	(153,000)	China Molybdenum Co Ltd – Class H		3.5	%		(71,677	)
	(11,040)	Ganfeng Lithium Co Ltd – Class H		4.8	%		(97,693	)
	(18,000)	Genscript Biotech Corp		2.3	%		(46,622	)
	(139,800)	Gulf Energy Development Pcl NVDR		10.4	%		(211,446	)
	(347)	Hanmi Pharm Co Ltd		3.4	%		(69,378	)
	(2,364)	Hotel Shilla Co Ltd		6.5	%		(132,847	)
	(1,795)	Kakao Corp		3.9	%		(78,758	)
	(88,000)	Kingdee International Software Group Co Ltd		7.3	%		(148,502	)
	(9,400)	Klabin SA		1.7	%		(35,685	)
	(4,107)	Korea Aerospace Industries Ltd		7.5	%		(152,523	)
	(17,600)	Microport Scientific Corp		2.1	%		(42,295	)
	(281)	POSCO Chemical Co Ltd		2.3	%		(47,463	)
	(327)	Samsung Biologics Co Ltd		10.9	%		(222,405	)
	(27,568)	Samsung Heavy Industries Co Ltd		5.4	%		(110,293	)
	(489)	Yuhan Corp		1.1	%		(21,858	)
	(110,000)	Zijin Mining Group Co Ltd – Class H		7.1	%		(145,999	)
		TOTAL COMMON STOCKS				$	(2,039,308	)

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

Counterparty Abbreviations:

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

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, 2022, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

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, 2022:

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,667,334	$	—	$	1,667,334
Belgium		—		778,533		—		778,533
Brazil		205,786		64,586		—		270,372
Canada		4,871,853		—		—		4,871,853
China		46,830		785,258		421,069		1,253,157
Denmark		—		1,034,534		—		1,034,534
Finland		—		352,899		—		352,899
France		—		1,089,750		—		1,089,750
Germany		—		951,496		—		951,496
India		—		1,050,392		—		1,050,392
Israel		2,226,897		—		—		2,226,897
Italy		—		544,078		—		544,078
Japan		51,450		15,490,108		—		15,541,558
Netherlands		—		2,109,650		—		2,109,650
New Zealand		—		150,157		—		150,157
Poland		—		12,953		—		12,953
Portugal		—		183,690		—		183,690
South Africa		—		174,814		—		174,814
South Korea		239,652		661,001		—		900,653
Spain		—		825,163		—		825,163
Sweden		—		935,420		—		935,420
Switzerland		—		1,004,249		—		1,004,249
Taiwan		3,951,511		52,834		—		4,004,345
Thailand		—		225,874		—		225,874
Turkey		—		162,636		—		162,636
United Kingdom		232,993		1,254,782		—		1,487,775
United States		68,345,281		—		34,111		68,379,392
TOTAL COMMON STOCKS		80,172,253		31,562,191		455,180		112,189,624
Preferred Stocks
Brazil		201,925		—		—		201,925
Germany		—		370,223		—		370,223
TOTAL PREFERRED STOCKS		201,925		370,223		—		572,148
Rights/Warrants
United States		—		—		361,026		361,026
TOTAL RIGHTS/WARRANTS		—		—		361,026		361,026
Investment Funds
United States		—		—		3,753,090		3,753,090
TOTAL INVESTMENT FUNDS		—		—		3,753,090		3,753,090
Debt Obligations
United States		43,200,095		23,291,366		—		66,491,461
TOTAL DEBT OBLIGATIONS		43,200,095		23,291,366		—		66,491,461
Mutual Funds
United States		6,056,565		—		—		6,056,565
TOTAL MUTUAL FUNDS		6,056,565		—		—		6,056,565
Short-Term Investments		19,906,998		19,802,395		—		39,709,393
Purchased Options		1,220		10,366		—		11,586
Total Investments		149,539,056		75,036,541		4,569,296		229,144,893
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,186,952		—		1,186,952

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^ (continued)
Futures Contracts
Equity Risk	$	508,387		$	594,965		$	—	$	1,103,352
Interest Rate Risk		1,107			—			—		1,107
Physical Commodity Contract Risk		227,743			—			—		227,743
Swap Contracts
Credit Risk		—			6,349,703			—		6,349,703
Equity Risk		—			635,381			—		635,381
Interest Rate Risk		—			2,677,610			—		2,677,610
Total	$	150,276,293		$	86,481,152		$	4,569,296	$	241,326,741
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,064,522	)	$	—	$	(1,064,522	)
Austria		—			(342,903	)		—		(342,903	)
Belgium		—			(333,565	)		—		(333,565	)
Canada		(2,803,035	)		—			—		(2,803,035	)
Denmark		—			(151,862	)		—		(151,862	)
Finland		—			(53,058	)		—		(53,058	)
France		—			(1,609,341	)		—		(1,609,341	)
Germany		—			(1,824,322	)		—		(1,824,322	)
Ireland		—			(50,476	)		—		(50,476	)
Israel		(400,346	)		—			—		(400,346	)
Italy		(133,830	)		(1,274,067	)		—		(1,407,897	)
Japan		—			(5,173,854	)		—		(5,173,854	)
Netherlands		—			(1,172,984	)		—		(1,172,984	)
New Zealand		—			(272,280	)		—		(272,280	)
Norway		—			(291,855	)		—		(291,855	)
Peru		(372,222	)		—			—		(372,222	)
Singapore		(66,742	)		(311,946	)		—		(378,688	)
Spain		—			(707,719	)		—		(707,719	)
Sweden		—			(326,317	)		—		(326,317	)
Switzerland		—			(709,678	)		—		(709,678	)
United Kingdom		—			(2,405,777	)		—		(2,405,777	)
United States		(36,579,827	)		—			—		(36,579,827	)
TOTAL COMMON STOCKS		(40,356,002	)		(18,076,526	)		—		(58,432,528	)
Preferred Stocks
Germany		—			(251,891	)		—		(251,891	)
TOTAL PREFERRED STOCKS		—			(251,891	)		—		(251,891	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(1,133,965	)		—		(1,133,965	)
Futures Contracts
Equity Risk		(654,017	)		(68,291	)		—		(722,308	)
Interest Rate Risk		(63,303	)		—			—		(63,303	)
Physical Commodity Contract Risk		(20,120	)		—			—		(20,120	)
Written Options
Credit Risk		—			(13,775	)		—		(13,775	)
Equity Risk		(123,105	)		—			—		(123,105	)
Swap Contacts
Credit Risk		—			(1,292,096	)		—		(1,292,096	)
Equity Risk		—			(377,305	)		—		(377,305	)
Interest Rate Risk		—			(2,310,687	)		—		(2,310,687	)
Total	$	(41,216,547	)	$	(23,524,536	)	$	—	$	(64,741,083	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	4,447,249,308		$	—		$	—	$	4,447,249,308
Short-Term Investments		3,074,108			—			—		3,074,108
Total Investments		4,450,323,416			—			—		4,450,323,416
Total	$	4,450,323,416		$	—		$	—	$	4,450,323,416

Description	Level 1		Level 2		Level 3			Total
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	4,522	$	—	$	—		$	4,522
Australia		—		18,052,131		—			18,052,131
Austria		—		96,311		—			96,311
Belgium		—		5,556,431		—			5,556,431
Brazil		5,062,076		6,720,374		2,363			11,784,813
Canada		33,008,628		152,548		—			33,161,176
Chile		86,478		1,309,819		—			1,396,297
China		243,070		48,589,457		2,151,273			50,983,800
Colombia		38,551		—		—			38,551
Czech Republic		—		347,424		—			347,424
Denmark		—		6,185,422		—			6,185,422
Egypt		—		419,885		—			419,885
Finland		—		7,254,747		—			7,254,747
France		1,901,232		34,323,851		—			36,225,083
Germany		—		14,965,348		—			14,965,348
Greece		—		479,752		0	§		479,752
Hong Kong		—		8,633,288		—			8,633,288
Hungary		—		2,208,564		—			2,208,564
India		698,005		33,328,155		977,308			35,003,468
Indonesia		—		6,885,203		—			6,885,203
Ireland		1,129,219		5,415,182		—			6,544,401
Israel		3,172,099		324,942		—			3,497,041
Italy		154,733		7,603,561		—			7,758,294
Japan		181,300		178,609,172		—			178,790,472
Kuwait		—		151,419		—			151,419
Malaysia		—		1,606,337		—			1,606,337
Mexico		16,612,163		—		—			16,612,163
Netherlands		98,240		22,972,045		—			23,070,285
New Zealand		—		911,202		—			911,202
Norway		—		5,122,964		—			5,122,964
Panama		17,029		—		—			17,029
Philippines		—		186,526		—			186,526
Poland		—		4,635,377		—			4,635,377
Portugal		—		6,229,004		—			6,229,004
Qatar		—		982,202		—			982,202
Russia		—		377,735		2,728,206			3,105,941
Saudi Arabia		—		2,644,157		—			2,644,157
Singapore		—		10,722,828		—			10,722,828
South Africa		400,538		15,160,606		—			15,561,144
South Korea		2,275,274		41,032,810		—			43,308,084
Spain		—		22,128,869		—			22,128,869
Sweden		—		8,044,877		—			8,044,877
Switzerland		—		10,746,718		—			10,746,718
Taiwan		2,854,825		41,279,258		—			44,134,083
Thailand		—		11,353,675		—			11,353,675
Turkey		—		9,182,522		—			9,182,522
United Arab Emirates		—		534,908		—			534,908
United Kingdom		6,710,935		44,465,322		574			51,176,831
United States		184,791,120		—		—			184,791,120
Vietnam		—		4,235,423		—			4,235,423
TOTAL COMMON STOCKS		259,440,037		652,168,351		5,859,724			917,468,112
Preferred Stocks
Brazil		4,872,109		9,280,154		—			14,152,263
Colombia		34,428		—		—			34,428
Germany		—		2,462,610		—			2,462,610
Russia		—		—		297,756			297,756
South Korea		—		2,738,094		—			2,738,094
Taiwan		—		33,119		—			33,119
TOTAL PREFERRED STOCKS		4,906,537		14,513,977		297,756			19,718,270

Description	Level 1			Level 2			Level 3			Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Rights/Warrants
France	$	44,874		$	—		$	—		$	44,874
TOTAL RIGHTS/WARRANTS		44,874			—			—			44,874
Debt Obligations
United States		207,680,955			2			—			207,680,957
TOTAL DEBT OBLIGATIONS		207,680,955			2			—			207,680,957
Mutual Funds
United States		294,508,255			—			—			294,508,255
TOTAL MUTUAL FUNDS		294,508,255			—			—			294,508,255
Short-Term Investments		3,144,650			133,999,703			—			137,144,353
Total Investments		769,725,308			800,682,033			6,157,480			1,576,564,821
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			931,649			—			931,649
Futures Contracts
Equity Risk		169,850			—			—			169,850
Swap Contracts
Interest Rate Risk		—			3,547,769			—			3,547,769
Total	$	769,895,158		$	805,161,451		$	6,157,480		$	1,581,214,089
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(6,124,423	)	$	—		$	(6,124,423	)
Austria		—			(1,685,368	)		—			(1,685,368	)
Belgium		—			(1,834,075	)		—			(1,834,075	)
Canada		(15,412,553	)		—			—			(15,412,553	)
Denmark		—			(955,459	)		—			(955,459	)
Finland		—			(309,450	)		—			(309,450	)
France		—			(8,752,794	)		—			(8,752,794	)
Germany		—			(9,844,571	)		—			(9,844,571	)
Ireland		—			(260,422	)		—			(260,422	)
Israel		(2,382,359	)		—			—			(2,382,359	)
Italy		(669,150	)		(6,794,176	)		—			(7,463,326	)
Japan		—			(28,496,852	)		—			(28,496,852	)
Netherlands		—			(6,773,785	)		—			(6,773,785	)
New Zealand		—			(1,593,827	)		—			(1,593,827	)
Norway		—			(1,777,121	)		—			(1,777,121	)
Peru		(1,905,044	)		—			—			(1,905,044	)
Russia		—			—			(6,259	)		(6,259	)
Singapore		(507,360	)		(1,703,053	)		—			(2,210,413	)
Spain		—			(3,883,171	)		—			(3,883,171	)
Sweden		—			(2,020,823	)		—			(2,020,823	)
Switzerland		—			(3,682,001	)		—			(3,682,001	)
United Kingdom		—			(13,199,052	)		—			(13,199,052	)
United States		(135,758,732	)		—			—			(135,758,732	)
TOTAL COMMON STOCKS		(156,635,198	)		(99,690,423	)		(6,259	)		(256,331,880	)
Preferred Stocks
Germany		—			(1,552,325	)		—			(1,552,325	)
TOTAL PREFERRED STOCKS		—			(1,552,325	)		—			(1,552,325	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(383,329	)		—			(383,329	)
Swap Contacts
Equity Risk		—			(517,121	)		—			(517,121	)
Interest Rate Risk		—			(3,068,137	)		—			(3,068,137	)
Total	$	(156,635,198	)	$	(105,211,335	)	$	(6,259	)	$	(261,852,792	)

Description	Level 1		Level 2		Level 3		Total
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	352,009,530	$	—	$	—	$	352,009,530
Short-Term Investments		210,546		—		—		210,546
Total Investments		352,220,076		—		—		352,220,076
Total	$	352,220,076	$	—	$	—	$	352,220,076
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	81,674,866	$	—	$	—	$	81,674,866
Short-Term Investments		45,313		—		—		45,313
Total Investments		81,720,179		—		—		81,720,179
Total	$	81,720,179	$	—	$	—	$	81,720,179
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,365,350,346	$	—	$	—	$	1,365,350,346
Short-Term Investments		488,276		—		—		488,276
Total Investments		1,365,838,622		—		—		1,365,838,622
Total	$	1,365,838,622	$	—	$	—	$	1,365,838,622
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,280,176	$	—	$	—	$	1,280,176
Australia		—		58,901,904		—		58,901,904
Austria		—		2,200,912		—		2,200,912
Belgium		—		18,029,006		—		18,029,006
Brazil		13,967,064		24,879,570		7,076		38,853,710
Canada		124,530,440		336,609		—		124,867,049
Chile		331,723		4,048,031		—		4,379,754
China		993,466		138,105,832		6,138,258		145,237,556
Colombia		66,478		—		—		66,478
Czech Republic		—		1,009,119		—		1,009,119
Denmark		—		22,391,432		—		22,391,432
Egypt		—		1,503,630		—		1,503,630
Finland		—		22,009,559		—		22,009,559
France		5,237,136		103,873,009		—		109,110,145
Germany		—		44,080,293		—		44,080,293
Greece		—		1,602,000		—		1,602,000
Hong Kong		—		24,926,860		—		24,926,860
Hungary		—		7,705,985		—		7,705,985
India		2,344,320		97,603,582		2,812,854		102,760,756
Indonesia		—		19,724,920		—		19,724,920
Ireland		4,393,880		14,637,084		—		19,030,964
Israel		18,787,473		1,560,452		—		20,347,925
Italy		—		24,590,139		—		24,590,139
Japan		848,894		513,994,346		—		514,843,240
Kuwait		—		149,222		—		149,222
Malaysia		—		4,295,400		—		4,295,400
Mexico		49,900,522		—		—		49,900,522
Netherlands		319,280		71,969,656		172		72,289,108
New Zealand		—		3,136,053		—		3,136,053
Norway		—		18,053,525		—		18,053,525
Pakistan		—		121,729		—		121,729
Panama		28,290		—		—		28,290
Philippines		—		1,087,981		—		1,087,981
Poland		—		14,339,425		—		14,339,425
Portugal		—		23,393,326		—		23,393,326
Qatar		—		2,826,370		—		2,826,370
Russia		—		739,312		7,381,451		8,120,763
Saudi Arabia		—		7,286,809		—		7,286,809

Description	Level 1		Level 2		Level 3			Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Singapore	$	—	$	31,367,901	$	—		$	31,367,901
South Africa		1,336,320		46,749,400		—			48,085,720
South Korea		6,947,856		114,793,481		—			121,741,337
Spain		—		68,157,120		—			68,157,120
Sweden		—		24,423,912		—			24,423,912
Switzerland		—		33,727,028		—			33,727,028
Taiwan		32,636,983		110,953,776		—			143,590,759
Thailand		—		31,591,806		—			31,591,806
Turkey		—		26,229,880		—			26,229,880
Ukraine		—		151,016		—			151,016
United Arab Emirates		—		1,256,585		—			1,256,585
United Kingdom		21,944,477		145,412,605		755			167,357,837
United States		849,657,952		—		9,453,118			859,111,070
Vietnam		—		11,920,850		—			11,920,850
TOTAL COMMON STOCKS		1,135,552,730		1,941,848,442		25,793,684			3,103,194,856
Preferred Stocks
Brazil		14,799,583		34,870,718		—			49,670,301
Chile		2,280,680		67,441		—			2,348,121
Germany		—		8,077,322		—			8,077,322
Russia		—		—		659,125			659,125
South Korea		—		11,221,814		—			11,221,814
Taiwan		—		215,385		—			215,385
United States		—		—		1,616,790			1,616,790
TOTAL PREFERRED STOCKS		17,080,263		54,452,680		2,275,915			73,808,858
Rights/Warrants
Australia		—		—		0	§		0	§
Canada		—		—		277,856			277,856
France		113,101		—		—			113,101
United States		—		—		756,582			756,582
TOTAL RIGHTS/WARRANTS		113,101		—		1,034,438			1,147,539
Investment Funds
United States		—		—		16,570,605			16,570,605
TOTAL INVESTMENT FUNDS		—		—		16,570,605			16,570,605
Debt Obligations
Austria		—		1,138,167		—			1,138,167
Canada		—		4,465,196		—			4,465,196
China		—		520,795		—			520,795
Israel		—		4,694,958		—			4,694,958
Netherlands		—		—		51			51
Ukraine		—		—		1,435,380			1,435,380
United Kingdom		—		2,347,365		—			2,347,365
United States		1,130,904,620		114,673,273		22,315,721			1,267,893,614
TOTAL DEBT OBLIGATIONS		1,130,904,620		127,839,754		23,751,152			1,282,495,526
Mutual Funds
United States		12,878,006		—		—			12,878,006
TOTAL MUTUAL FUNDS		12,878,006		—		—			12,878,006
Short-Term Investments		25,705,155		160,783,116		—			186,488,271
Purchased Options		6,185		—		—			6,185
Total Investments		2,322,240,060		2,284,923,992		69,425,794			4,676,589,846
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		9,376,355		—			9,376,355
Futures Contracts
Equity Risk		2,761,245		2,808,230		—			5,569,475
Interest Rate Risk		6,296		—		—			6,296
Physical Commodity Contract Risk		1,089,937		—		—			1,089,937

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^ (continued)
Swap Contracts
Credit Risk	$	—		$	588,546		$	—	$	588,546
Equity Risk		—			1,823,950			—		1,823,950
Interest Rate Risk		—			25,691,149			—		25,691,149
Total	$	2,326,097,538		$	2,325,212,222		$	69,425,794	$	4,720,735,554
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(19,678,501	)	$	—	$	(19,678,501	)
Austria		—			(6,039,191	)		—		(6,039,191	)
Belgium		—			(6,232,754	)		—		(6,232,754	)
Canada		(51,315,600	)		—			—		(51,315,600	)
Denmark		—			(2,828,254	)		—		(2,828,254	)
Finland		—			(1,232,184	)		—		(1,232,184	)
France		—			(29,154,609	)		—		(29,154,609	)
Germany		—			(32,903,563	)		—		(32,903,563	)
Ireland		—			(878,346	)		—		(878,346	)
Israel		(7,717,258	)		—			—		(7,717,258	)
Italy		(2,096,670	)		(22,829,522	)		—		(24,926,192	)
Japan		—			(93,459,810	)		—		(93,459,810	)
Netherlands		—			(22,646,779	)		—		(22,646,779	)
New Zealand		—			(5,054,754	)		—		(5,054,754	)
Norway		—			(5,619,148	)		—		(5,619,148	)
Peru		(6,776,576	)		—			—		(6,776,576	)
Singapore		(1,399,770	)		(6,016,690	)		—		(7,416,460	)
Spain		—			(12,359,606	)		—		(12,359,606	)
Sweden		—			(6,718,021	)		—		(6,718,021	)
Switzerland		—			(12,544,384	)		—		(12,544,384	)
United Kingdom		—			(43,630,333	)		—		(43,630,333	)
United States		(504,878,594	)		—			—		(504,878,594	)
TOTAL COMMON STOCKS		(574,184,468	)		(329,826,449	)		—		(904,010,917	)
Preferred Stocks
Germany		—			(5,110,756	)		—		(5,110,756	)
TOTAL PREFERRED STOCKS		—			(5,110,756	)		—		(5,110,756	)
Debt Obligations
China		—			(4,714,071	)		—		(4,714,071	)
TOTAL DEBT OBLIGATIONS		—			(4,714,071	)		—		(4,714,071	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(3,525,073	)		—		(3,525,073	)
Futures Contracts
Equity Risk		(1,160,807	)		(331,431	)		—		(1,492,238	)
Interest Rate Risk		(310,478	)		—			—		(310,478	)
Physical Commodity Contract Risk		(57,663	)		—			—		(57,663	)
Written Options
Equity Risk		(404,200	)		—			—		(404,200	)
Swap Contacts
Credit Risk		—			(499,668	)		—		(499,668	)
Equity Risk		—			(3,314,631	)		—		(3,314,631	)
Interest Rate Risk		—			(22,230,520	)		—		(22,230,520	)
Total	$	(576,117,616	)	$	(369,552,599	)	$	—	$	(945,670,215	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	210,724,404		$	—		$	—	$	210,724,404
Short-Term Investments		88,960			—			—		88,960
Total Investments		210,813,364			—			—		210,813,364
Total	$	210,813,364		$	—		$	—	$	210,813,364

Description	Level 1			Level 2			Level 3		Total
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	495,611,619		$	—		$	—	$	495,611,619
Short-Term Investments		357,295			—			—		357,295
Total Investments		495,968,914			—			—		495,968,914
Total	$	495,968,914		$	—		$	—	$	495,968,914
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
United States	$	151,230,621		$	25,493,024		$	—	$	176,723,645
TOTAL DEBT OBLIGATIONS		151,230,621			25,493,024			—		176,723,645
Short-Term Investments		2,500,716			2,413,611			—		4,914,327
Total Investments		153,731,337			27,906,635			—		181,637,972
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,458,300			—		1,458,300
Futures Contracts
Equity Risk		1,450,104			1,596,465			—		3,046,569
Interest Rate Risk		4,876			—			—		4,876
Physical Commodity Contract Risk		642,280			—			—		642,280
Swap Contracts
Equity Risk		—			897,852			—		897,852
Total	$	155,828,597		$	31,859,252		$	—	$	187,687,849
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(170,266	)	$	—	$	(170,266	)
Futures Contracts
Equity Risk		(1,116,138	)		(189,074	)		—		(1,305,212	)
Interest Rate Risk		(186,215	)		—			—		(186,215	)
Physical Commodity Contract Risk		(15,939	)		—			—		(15,939	)
Swap Contacts
Equity Risk		—			(768,651	)		—		(768,651	)
Total	$	(1,318,292	)	$	(1,127,991	)	$	—	$	(2,446,283	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	2,228,845		$	—	$	2,228,845
Belgium		—			789,116			—		789,116
Brazil		141,772			67,233			—		209,005
Canada		3,203,912			—			—		3,203,912
China		40,140			844,560			307,561		1,192,261
Denmark		—			848,898			—		848,898
Finland		—			858,781			—		858,781
France		—			3,062,830			—		3,062,830
Germany		—			1,105,493			—		1,105,493
Hong Kong		—			1,159,845			—		1,159,845
India		—			759,662			—		759,662
Ireland		31,184			891,068			—		922,252
Israel		420,889			49,146			—		470,035
Italy		—			1,087,471			—		1,087,471
Japan		—			19,440,255			—		19,440,255
Mexico		489,130			—			—		489,130
Netherlands		12,280			2,644,596			—		2,656,876
New Zealand		—			146,352			—		146,352
Norway		—			326,823			—		326,823
Poland		—			9,803			—		9,803
Portugal		—			793,335			—		793,335
Russia		—			—			19,613		19,613

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Singapore	$	—		$	1,131,405		$	—	$	1,131,405
South Africa		—			158,354			—		158,354
South Korea		154,062			465,170			—		619,232
Spain		—			2,091,523			—		2,091,523
Sweden		—			1,000,759			—		1,000,759
Switzerland		30,270			710,980			—		741,250
Taiwan		—			58,721			—		58,721
Thailand		—			158,880			—		158,880
Turkey		—			79,655			—		79,655
United Kingdom		140,375			4,793,148			—		4,933,523
United States		21,750,861			—			—		21,750,861
TOTAL COMMON STOCKS		26,414,875			47,762,707			327,174		74,504,756
Preferred Stocks
Brazil		147,600			193,916			—		341,516
Germany		—			331,783			—		331,783
TOTAL PREFERRED STOCKS		147,600			525,699			—		673,299
Rights/Warrants
France		8,140			—			—		8,140
TOTAL RIGHTS/WARRANTS		8,140			—			—		8,140
Debt Obligations
United States		12,641,713			—			—		12,641,713
TOTAL DEBT OBLIGATIONS		12,641,713			—			—		12,641,713
Mutual Funds
United States		126,323,341			—			—		126,323,341
TOTAL MUTUAL FUNDS		126,323,341			—			—		126,323,341
Short-Term Investments		355,201			13,999,866			—		14,355,067
Total Investments		165,890,870			62,288,272			327,174		228,506,316
Total	$	165,890,870		$	62,288,272		$	327,174	$	228,506,316
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(730,651	)	$	—	$	(730,651	)
Austria		—			(213,817	)		—		(213,817	)
Belgium		—			(249,053	)		—		(249,053	)
Canada		(2,026,352	)		—			—		(2,026,352	)
Denmark		—			(109,183	)		—		(109,183	)
Finland		—			(38,129	)		—		(38,129	)
France		—			(1,201,002	)		—		(1,201,002	)
Germany		(19,816	)		(1,303,029	)		—		(1,322,845	)
Ireland		—			(36,331	)		—		(36,331	)
Israel		(313,571	)		—			—		(313,571	)
Italy		(66,915	)		(879,172	)		—		(946,087	)
Japan		—			(3,735,713	)		—		(3,735,713	)
Netherlands		—			(915,637	)		—		(915,637	)
New Zealand		—			(202,458	)		—		(202,458	)
Norway		—			(211,316	)		—		(211,316	)
Peru		(268,488	)		—			—		(268,488	)
Singapore		(32,012	)		(265,984	)		—		(297,996	)
Spain		—			(511,013	)		—		(511,013	)
Sweden		—			(234,437	)		—		(234,437	)
Switzerland		—			(525,163	)		—		(525,163	)
United Kingdom		—			(1,795,263	)		—		(1,795,263	)
United States		(17,683,637	)		—			—		(17,683,637	)
TOTAL COMMON STOCKS		(20,410,791	)		(13,157,351	)		—		(33,568,142	)
Preferred Stocks
Germany		—			(210,912	)		—		(210,912	)
TOTAL PREFERRED STOCKS		—			(210,912	)		—		(210,912	)
Derivatives^
Swap Contacts
Equity Risk		—			(71,210	)		—		(71,210	)
Total	$	(20,410,791	)	$	(13,439,473	)	$	—	$	(33,850,264	)

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, 2022.

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 Allocation Fund’s Level 3 holdings each include three common stocks valued at their last price prior to trading being suspended. Benchmark-Free Fund and Implementation Fund’s holdings include one security valued off the parent security until a merger is finalized. Benchmark-Free Fund’s Level 3 holdings also include thirteen common and/or preferred stocks valued off the last traded price with a 93% discount. Implementation Fund’s Level 3 holdings also include thirteen common and/or preferred stocks valued off the last traded price with a 93% discount, three common and/or preferred stocks that are priced at the average of broker bids and a common stock priced with a 20% discount to a comparable stock and an additional 10% discount for liquidity considerations. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 2022.

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, 2022		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, 2022			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2022
Consolidated Alternative Allocation Fund
Common Stocks
China	$	66,215	$	—	$	—		$	—	$	—		$	30		$	354,824	‡	$	—	$	421,069		$	30
United States		—		16,970		—			—		—			17,141			—			—		34,111			17,141
Rights/Warrants
United States		263,451		—		—			—		—			97,575			—			—		361,026			97,575
Investment Funds
United States		5,607,602		301,290		(2,421,994	)		—		—			266,192			—			—		3,753,090			266,192
Total Investments	$	5,937,268	$	318,260	$	(2,421,994	)	$	—	$	—		$	380,938		$	354,824		$	—	$	4,569,296		$	380,938
Benchmark-Free Fund
Common Stocks
Brazil	$	—	$	4,273	$	(2,306	)	$	—	$	382		$	14		$	—		$	—	$	2,363		$	14
China		381,895		251,324		(251,324	)		—		—			178			1,769,200	‡		—		2,151,273			178
India		—		1,056,162		—			—		—			(78,854	)		—			—		977,308			(78,854	)
Russia		965,229		—		(115,000	)		—		(474,979	)		(154,192	)		2,507,148	‡		—		2,728,206			(542,893	)
United Kingdom		—		—		—			—		—			—			574	‡		—		574			—
Preferred Stocks
Russia		—		—		—			—		—			—			297,756	‡		—		297,756			—
Securities Sold Short
Russia		—		—		(78,267	)		—		—			72,008			—			—		(6,259	)		72,008
Total Investments	$	1,347,124	$	1,311,759	$	(446,897	)	$	—	$	(474,597	)	$	(160,846	)	$	4,574,678		$	—	$	6,151,221		$	(549,547	)
Consolidated Implementation Fund
Common Stocks
Brazil	$	—	$	12,798	$	(6,908	)	$	—	$	1,145		$	41		$	—		$	—	$	7,076		$	41
China		965,024		879,827		(898,220	)		—		(33,595	)		(1,602	)		5,226,824	‡		—		6,138,258			426
India		—		3,019,067		—			—		—			(206,213	)		—			—		2,812,854			(206,213	)
Netherlands		185		—		—			—		—			(13	)		—			—		172			(13	)
Russia		1,248,215		—		(347,230	)		—		(1,653,109	)		818,483			7,315,092	‡		—		7,381,451			(204,667	)
United Kingdom		—		—		—			—		—			—			755	‡		—		755			—

	Balances as of February 28, 2022		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, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2022
Consolidated Implementation Fund (continued)
Common Stocks (continued)
United States	$	8,961,199	$	1,527,556	$	—		$	—	$	—		$	(1,035,637	)	$	—		$	—	$	9,453,118	$	(1,035,637	)
Preferred Stocks
Russia		—		—		—			—		—			—			659,125	‡		—		659,125		—
United States		875,250		—		(27	)		—		27			741,540			—			—		1,616,790		741,540
Rights/Warrants
Canada		300,085		—		—			—		—			(22,229	)		—			—		277,856		(22,229	)
United States		682,940		—		(277,922	)		—		277,922			73,642			—			—		756,582		204,482
Investment Funds
United States		22,156,919		2,904,671		(9,504,928	)		—		—			1,013,943			—			—		16,570,605		1,013,943
Debt Obligations
Bank Loans
Luxembourg		2,436,433		—		(2,429,250	)		695		(21,290	)		13,412			—			—		—		—
United States		18,428,534		15,811,514		(8,989,663	)		482,318		(1,774,685	)		(1,642,437	)		—			—		22,315,581		(1,663,312	)
Corporate Debt
Netherlands		55		—		—			—		—			(4	)		—			—		51		(4	)
Ukraine		—		1,249,515		—			164,078		—			21,787			—			—		1,435,380		21,787
United States		140		—		—			—		—			—			—			—		140		—
Total Investments	$	56,054,979	$	25,404,948	$	(22,454,148	)#	$	647,091	$	(3,203,585	)	$	(225,287	)	$	13,201,796		$	—	$	69,425,794	$	(1,149,856	)
Strategic Opportunities Allocation Fund
Common Stocks
China	$	61,485	$	—	$	—		$	—	$	—		$	29		$	246,047	‡	$	—	$	307,561	$	29
Russia		—		—		—			—		—			—			19,613	‡		—		19,613		—
Total Investments	$	61,485	$	—	$	—		$	—	$	—		$	29		$	265,660		$	—	$	327,174	$	29

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs as well as the impact of the Russian invasion of Ukraine on local and global markets, as applicable.

# Includes $1,937,540 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, 2022 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*
Benchmark-Free Fund
Common Stock		—		Fair Value	Discount for lack of liquidity/marketability		$0 (N/A)
Common Stock		2,600,429		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Common Stock		574		Fair Value	Price of comparable equity/Discount for liquidity		99%/(N/A)
Common Stock (American Depositary Receipt)		11,042		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Common Stock (Global Depositary Receipt)		116,733		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)
Preferred Stock		297,756		Fair Value	Price of comparable equity/Discount for liquidity		93%/(N/A)

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Consolidated Implementation Fund
Common Stock		1,624,302	Fair Value	Discount rate	30% (N/A)
Common Stock		7,048,591	Fair Value	Most relevant broker quote	N/A
Common Stock		15,131	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Corporate Debt		191	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		7,040,647	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock		755	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (American Depositary Receipt)		20,075	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		320,729	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Preferred Stock		659,125	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Strategic Opportunities Allocation Fund
Common Stock		19,613	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of November 30, 2022, 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 $4,569,296, $3,130,944, $52,696,248 and $307,561, 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, 2022 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 ex-China Fund, Class VI	$	—	$	6,060,879	$	—	$	—	$	—	$	—		$	(4,314	)	$	6,056,565
GMO Emerging Markets Fund, Class VI		9,811,873		—		8,145,879		104,779		—		(3,146,257	)		1,480,263			—
Totals	$	9,811,873	$	6,060,879	$	8,145,879	$	104,779	$	—	$	(3,146,257	)	$	1,475,949		$	6,056,565
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	115,273,843	$	43,375,196	$	—	$	3,775,197	$	—	$	—		$	(13,007,382	)	$	145,641,657
GMO High Yield Fund, Class VI		—		144,265,957		37,480,000		—		265,956		673,681			2,437,802			109,897,440
GMO Implementation Fund		4,681,432,538		286,416,078		994,382,441		27,052,053		—		(43,781,398	)		(61,787,267	)		3,867,897,510
GMO Opportunistic Income Fund, Class VI		183,719,672		64,664,014		36,783,277		1,415,480		2,748,534		(2,546,836	)		(6,222,664	)		202,830,909
GMO SGM Major Markets Fund, Class VI		141,735,622		7,765,972		19,520,836		2,067,940		5,698,032		(3,164,752	)		(5,834,214	)		120,981,792
Totals	$	5,122,161,675	$	546,487,217	$	1,088,166,554	$	34,310,670	$	8,712,522	$	(48,819,305	)	$	(84,413,725	)	$	4,447,249,308

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
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class VI	$	48,097,631	$	10,383,090	$	—	$	1,383,089		$	—	$	—		$	(5,123,131	)	$	53,357,590
GMO Emerging Markets Fund, Class VI		34,016,640		—		30,376,060		—			—		(8,199,771	)		4,559,191			—
GMO High Yield Fund, Class VI		—		72,633,901		11,000,000		—			133,902		190,438			1,359,504			63,183,843
GMO Opportunistic Income Fund, Class VI		91,945,071		1,998,978		20,500,000		679,516			1,319,462		(198,526	)		(3,812,468	)		69,433,055
GMO Resources Fund		—		60,151,011		8,220,000		415,301			1,495,710		(2,166,936	)		1,424,343			51,188,418
GMO SGM Major Markets Fund, Class VI		60,781,806		3,564,675		11,000,000		949,209			2,615,466		(1,550,114	)		(2,707,847	)		49,088,520
GMO U.S. Treasury Fund		10,090,292		98,376,029		100,111,116		—	**		—		(140,177	)		41,801			8,256,829
Totals	$	244,931,440	$	247,107,684	$	181,207,176	$	3,427,115		$	5,564,540	$	(12,065,086	)	$	(4,258,607	)	$	294,508,255
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	130,004,197	$	1,928,341	$	80,866,210	$	—		$	558,341	$	(8,781,034	)	$	7,590,294		$	49,875,588
GMO Asset Allocation Bond Fund, Class VI		37,983,141		1,874,703		16,291,124		157,843			—		(595,395	)		(3,168,291	)		19,803,034
GMO Emerging Country Debt Fund, Class VI		18,116,964		344,687		6,400,000		344,687			—		(2,571,105	)		693,557			10,184,103
GMO Emerging Markets ex-China Fund, Class VI		27,671,845		10,449,691		9,066,422		46,772			90,494		(2,076,153	)		(1,500,139	)		25,478,822
GMO Emerging Markets Fund, Class VI		68,376,141		8,814,627		34,370,470		794,735			—		(11,902,068	)		(1,623,780	)		29,294,450
GMO High Yield Fund, Class VI		—		8,515,699		1,306,785		—			15,699		(250	)		162,693			7,371,357
GMO International Equity Fund, Class IV		107,093,353		5,434,675		41,469,900		244,637			—		(2,646,909	)		(3,307,187	)		65,104,032
GMO-Usonian Japan Value Creation Fund, Class VI		24,981,389		871,680		7,707,124		67,282			804,397		(910,918	)		(2,722,039	)		14,512,988
GMO Multi-Sector Fixed Income Fund, Class IV		56,164,303		15,465,009		26,472,096		—			—		(4,726,032	)		(593,355	)		39,837,829
GMO Opportunistic Income Fund, Class VI		19,591,715		758,742		9,315,726		87,955			170,787		(438,876	)		(177,547	)		10,418,308
GMO Quality Cyclicals Fund, Class VI		20,219,676		828,795		7,719,178		166,014			257,296		1,498,407			(2,980,715	)		11,846,985
GMO Quality Fund, Class VI		12,268,439		3,395,579		4,503,562		16,593			229,536		863,815			(1,329,128	)		10,695,143
GMO Small Cap Quality
Fund, Class VI		—		11,005,175		1,797,394		—			—		23,751			1,651,403			10,882,935
GMO U.S. Equity Fund, Class VI		61,434,084		3,838,231		27,103,629		104,128			2,173,582		(2,674,567	)		411,761			35,905,880
GMO U.S. Small Cap Value Fund, Class VI		39,124,376		2,471,807		25,936,859		59,490			1,885,586		(4,546,975	)		(465,242	)		10,647,107
GMO U.S. Treasury Fund		1,879		3,691,724		3,542,422		1,724			—		(220	)		8			150,969
Totals	$	623,031,502	$	79,689,165	$	303,868,901	$	2,091,860		$	6,185,718	$	(39,484,529	)	$	(7,357,707	)	$	352,009,530
Global Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	5,198,953	$	2,260,387	$	—	$	12,393		$	23,976	$	—		$	(821,535	)	$	6,637,805
GMO Emerging Markets Fund, Class VI		2,322,106		562,145		2,324,018		32,145			—		(991,127	)		430,894			—
GMO International Equity Fund, Class IV		35,410,730		113,666		—		113,666			—		—			(2,332,570	)		33,191,826
GMO-Usonian Japan Value Creation Fund, Class VI		3,551,214		157,562		—		12,161			145,399		—			(619,219	)		3,089,557
GMO Quality Cyclicals Fund, Class VI		4,855,891		129,579		500,000		50,818			78,760		97,909			(567,574	)		4,015,805
GMO Quality Fund, Class VI		10,955,561		302,313		—		20,381			281,932		—			(695,981	)		10,561,893
GMO Small Cap Quality Fund, Class VI		—		3,500,000		—		—			—		—			604,737			4,104,737
GMO U.S. Equity Fund, Class VI		15,406,078		1,992,638		566,000		36,236			756,402		(127,576	)		(673,885	)		16,031,255
GMO U.S. Small Cap Value Fund, Class VI		9,077,255		584,561		4,100,000		17,879			566,682		(679,341	)		(840,487	)		4,041,988
Totals	$	86,777,788	$	9,602,851	$	7,490,018	$	295,679		$	1,853,151	$	(1,700,135	)	$	(5,515,620	)	$	81,674,866

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 Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	109,848,838	$	50,846,678	$	7,545,000	$	256,127		$	495,551	$	(4,008,226	)	$	(13,412,896	)	$	135,729,394
GMO Emerging Markets Fund, Class VI		234,294,075		43,450,511		57,825,000		3,550,512			—		(27,029,903	)		(25,562,831	)		167,326,852
GMO International Equity Fund, Class IV		558,402,561		11,093,617		60,973,228		1,633,617			—		(12,969,540	)		(24,777,750	)		470,775,660
GMO-Usonian Japan Value Creation Fund, Class VI		64,071,354		5,321,193		4,461,524		220,847			2,640,345		(1,383,004	)		(10,013,983	)		53,534,036
GMO Quality Cyclicals Fund, Class VI		88,997,330		2,318,040		14,575,000		909,089			1,408,952		2,301,388			(11,142,683	)		67,899,075
GMO Quality Fund, Class VI		217,951,740		6,495,638		22,890,317		389,031			5,381,606		916,838			(15,870,788	)		186,603,111
GMO Small Cap Quality Fund, Class VI		—		63,000,000		1,065,000		—			—		28,451			10,727,198			72,690,649
GMO U.S. Equity Fund, Class VI		142,993,024		31,083,356		20,837,384		310,107			6,473,249		(4,950,373	)		(2,655,128	)		145,633,495
GMO U.S. Small Cap Value Fund, Class VI		163,718,031		17,028,278		87,245,000		323,693			10,259,584		(24,918,489	)		(3,424,746	)		65,158,074
Totals	$	1,580,276,953	$	230,637,311	$	277,417,453	$	7,593,023		$	26,659,287	$	(72,012,858	)	$	(96,133,607	)	$	1,365,350,346
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	12,509,088	$	246,643,984	$	246,100,604	$	—	** $		—	$	(133,861	)	$	(40,601	)	$	12,878,006
International Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	16,722,440	$	3,403,895	$	360,803	$	38,407		$	74,309	$	(186,420	)	$	(2,552,983	)	$	17,026,129
GMO International Equity Fund, Class IV		204,248,674		8,332,933		14,920,829		630,485			—		(671,073	)		(11,676,596	)		185,313,109
GMO-Usonian Japan Value Creation Fund, Class VI		9,520,380		1,463,995		980,019		32,903			393,375		(199,273	)		(1,419,917	)		8,385,166
Totals	$	230,491,494	$	13,200,823	$	16,261,651	$	701,795		$	467,684	$	(1,056,766	)	$	(15,649,496	)	$	210,724,404
International Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	51,415,947	$	5,187,665	$	8,650,000	$	93,732		$	181,351	$	(2,798,744	)	$	(4,960,058	)	$	40,194,810
GMO Emerging Markets Fund, Class VI		195,154,856		19,196,222		32,830,000		2,417,177			—		(7,742,775	)		(28,919,763	)		144,858,540
GMO International Equity Fund, Class IV		404,162,685		7,689,640		97,872,181		1,039,641			—		270,742			(23,228,221	)		291,022,665
GMO-Usonian Japan Value Creation Fund, Class VI		28,241,638		2,036,925		6,380,000		81,368			972,803		(930,205	)		(3,432,754	)		19,535,604
Totals	$	678,975,126	$	34,110,452	$	145,732,181	$	3,631,918		$	1,154,154	$	(11,200,982	)	$	(60,540,796	)	$	495,611,619
Strategic Opportunities Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	8,106,380	$	193,183	$	—	$	193,183		$	—	$	—		$	(846,840	)	$	7,452,723
GMO Emerging Markets ex-China Fund, Class VI		14,945,997		5,591,032		—		31,018			60,013		—			(2,097,510	)		18,439,519
GMO Emerging Markets Fund, Class VI		30,720,697		3,356,092		8,950,000		456,093			—		(3,604,696	)		(3,098,236	)		18,423,857
GMO International Equity Fund, Class IV		31,835,141		796,977		5,265,000		96,977			—		291,482			(2,272,476	)		25,386,124
GMO Multi-Sector Fixed Income Fund, Class IV		6,442,772		7,650,000		2,420,000		—			—		(278,877	)		(622,947	)		10,770,948
GMO Quality Fund, Class VI		12,951,749		335,656		2,055,000		22,628			313,027		254,709			(1,118,993	)		10,368,121
GMO Small Cap Quality Fund, Class VI		—		6,000,000		—		—			—		—			1,036,693			7,036,693
GMO U.S. Equity Fund, Class VI		19,532,079		2,920,605		3,380,000		42,087			878,518		144,897			(1,158,642	)		18,058,939
GMO U.S. Small Cap Value Fund, Class VI		16,286,703		1,047,062		8,280,000		32,025			1,015,037		(1,540,549	)		(1,174,561	)		6,338,655
GMO U.S. Treasury Fund		4,509,502		63,345		498,000		63,420			—		(4,000	)		(23,085	)		4,047,762
Totals	$	145,331,020	$	27,953,952	$	30,848,000	$	937,431		$	2,266,595	$	(4,737,034	)	$	(11,376,597	)	$	126,323,341

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2022 through November 30, 2022. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2023.

** 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 $88,857 and $188,519 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

Subsequent events

Subsequent to November 30, 2022, GMO SGM Major Markets Fund received redemption requests in the amount of $53,259,625.

***

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.