GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.4%
		Argentina — 0.9%
	991,915	Adecoagro SA (a)		8,669,337
		Australia — 0.1%
	320,055	Clean TeQ Water Ltd * (a)		52,956
	1,399,037	Sunrise Energy Metals Ltd * (a)		1,000,526
		Total Australia		1,053,482
		Belgium — 0.6%
	201,052	Umicore SA		5,589,222
		Brazil — 4.0%
	1,177,070	Dexco SA		2,053,312
	1,707,067	Sao Martinho SA		12,170,503
	795,652	SLC Agricola SA		5,415,383
	1,952,400	Suzano SA		17,233,058
		Total Brazil		36,872,256
		Canada — 9.5%
	476,293	Anaergia Inc * (a)		277,180
	684,046	Canadian Solar Inc * (a)		28,593,123
	712,664	First Quantum Minerals Ltd		14,930,508
	1,925,700	Greenlane Renewables Inc * (a)		383,012
	3,808,557	Ivanhoe Mines Ltd – Class A *		27,887,334
	1,008,392	Largo Inc * (a)		3,781,006
	1,333,508	Li-Cycle Holdings Corp * (a)		6,294,158
	214,800	Northland Power Inc		4,712,150
		Total Canada		86,858,471
		China — 2.3%
	778,000	Canvest Environmental Protection Group Co Ltd		378,369
	6,718,114	China High Speed Transmission Equipment Group Co Ltd *		2,247,271
	2,578,494	China Water Affairs Group Ltd		1,902,411
	225,792	Hollysys Automation Technologies Ltd *		3,558,482
	1,067,845	Ming Yang Smart Energy Group Ltd – Class A		2,639,462
	1,737,600	Tianjin Capital Environmental Protection Group Co Ltd – Class A		1,493,727
	2,606,006	Tianneng Power International Ltd (a)		2,996,010
	5,342,352	Xinjiang Goldwind Science & Technology Co Ltd – Class H		3,875,734
	1,226,576	Yutong Bus Co Ltd – Class A		2,240,945
		Total China		21,332,411
		Denmark — 3.1%
	9,232	Rockwool A/S – B Shares		2,205,550
	915,363	Vestas Wind Systems A/S *		26,071,913
		Total Denmark		28,277,463

Shares		Description	Value ($)
		Finland — 0.9%
	358,565	Kemira Oyj		5,699,150
	62,677	Neste Oyj		2,368,020
		Total Finland		8,067,170
		France — 8.0%
	315,583	Nexans SA		24,359,271
	211,904	STMicroelectronics NV		9,223,608
	884,324	Valeo		17,017,865
	652,332	Veolia Environnement SA		19,258,874
	114,522	Waga Energy SA *		3,162,100
		Total France		73,021,718
		Germany — 3.8%
	285,454	E.ON SE		3,460,645
	266,444	Infineon Technologies AG		9,919,444
	120,494	Knorr-Bremse AG		8,266,931
	82,536	Siemens AG (Registered)		13,582,365
		Total Germany		35,229,385
		Israel — 0.5%
	758,665	ICL Group Ltd		4,130,936
		Italy — 0.9%
	224,841	Prysmian SPA		8,362,644
		Japan — 5.4%
	231,600	Ebara Corp		10,334,397
	240,700	GS Yuasa Corp		4,159,374
	23,000	Kurita Water Industries Ltd		939,969
	151,600	Organo Corp		4,079,220
	396,100	Panasonic Holdings Corp		4,137,140
	1,059,300	Renesas Electronics Corp *		17,144,974
	454,700	Yokogawa Electric Corp		8,562,030
		Total Japan		49,357,104
		Mexico — 2.6%
	3,745,205	Grupo Mexico SAB de CV – Series B		16,705,109
	3,308,000	Orbia Advance Corp SAB de CV		6,992,262
		Total Mexico		23,697,371
		Netherlands — 0.4%
	86,187	Arcadis NV		3,504,542
		Norway — 0.7%
	778,202	Austevoll Seafood ASA (a)		6,184,032
		Russia — 0.0%
	72,215	MMC Norilsk Nickel PJSC (b)		129,039
	3	MMC Norilsk Nickel PJSC ADR * (b)		1
	120,856	PhosAgro PJSC (b)		114,068
	2,335	PhosAgro PJSC GDR * (b) (c)		738

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	169,638	Ros Agro Plc GDR (Registered) * (b)		16,417
		Total Russia		260,263
		South Korea — 5.6%
	90,194	LG Chem Ltd		47,006,307
	7,401	Samsung SDI Co Ltd		3,998,016
		Total South Korea		51,004,323
		Spain — 2.2%
	23,995	Acciona SA		3,889,022
	239,948	Endesa SA		5,203,351
	414,526	Iberdrola SA		5,062,117
	167,065	Red Electrica Corp SA		2,833,130
	241,280	Solaria Energia y Medio Ambiente SA *		3,287,495
		Total Spain		20,275,115
		Sweden — 0.3%
	244,125	Munters Group AB		2,966,007
		Thailand — 0.1%
	2,109,600	SPCG Pcl		757,412
		Ukraine — 0.1%
	219,994	Kernel Holding SA *		847,461
		United Kingdom — 0.5%
	235,969	National Grid Plc		3,250,987
	228,680	Renewi Plc *		1,522,777
		Total United Kingdom		4,773,764
		United States — 43.9%
	20,900	Advanced Drainage Systems, Inc.		2,022,493
	342,762	Aemetis, Inc. * (a)		1,634,975
	137,992	AGCO Corp.		15,217,758
	311,200	Alcoa Corp.		9,871,264
	909,754	Ameresco, Inc. – Class A *		39,192,202
	212,761	BorgWarner, Inc.		9,431,695
	3,433,349	Clean Energy Fuels Corp. *		13,802,063
	33,218	Consolidated Edison, Inc.		3,099,239
	55,938	Constellation Energy Corp.		4,699,911
	205,424	Corteva, Inc.		10,988,130
	721,282	Darling Ingredients, Inc. *		45,714,853
	22,622	Deere & Co.		7,826,760
	43,867	Edison International		2,961,900
	52,691	EnerSys		5,125,254
	29,100	Enphase Energy, Inc. *		5,059,908
	69,739	Exelon Corp.		2,765,151
	1,433	First Solar, Inc. *		290,842
	336,622	Freeport-McMoRan, Inc.		11,559,599
	1,171,395	Gevo, Inc. * (a)		1,511,100
	5,793,384	GrafTech International Ltd.		24,853,617

Shares		Description	Value ($)
		United States — continued
	947,631	Green Plains, Inc. *		27,481,299
	562,090	Livent Corp. * (a)		12,956,174
	508,618	Mosaic Co. (The)		16,255,431
	152,148	Mueller Water Products, Inc. – Class A		2,084,428
	20,787	MYR Group, Inc. *		2,650,342
	79,565	ON Semiconductor Corp. *		6,651,634
	22,909	Owens Corning		2,435,914
	51,672	Pentair Plc		2,866,246
	111,981	PotlatchDeltic Corp. (REIT)		5,210,476
	162,323	Sensata Technologies Holding Plc		6,739,651
	127,863	SolarEdge Technologies, Inc. *		36,419,218
	2,728,734	Sunrun, Inc. *		48,134,868
	72,253	TE Connectivity Ltd.		8,849,547
	5,357	Valmont Industries, Inc.		1,404,980
	44,658	Westinghouse Air Brake Technologies Corp.		4,136,671
		Total United States		401,905,593
		TOTAL COMMON STOCKS (COST $950,240,522)		882,997,482
		PREFERRED STOCKS (d) — 1.4%
		Chile — 1.4%
	197,358	Sociedad Quimica y Minera de Chile SA Sponsored ADR		12,664,463
		TOTAL PREFERRED STOCKS (COST $10,764,630)		12,664,463
		MUTUAL FUNDS — 4.1%
		United States — 4.1%
		Affiliated Issuers — 4.1%
	7,610,946	GMO U.S. Treasury Fund (e)		38,054,730
		Total United States		38,054,730
		TOTAL MUTUAL FUNDS (COST $38,002,801)		38,054,730
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	726,281	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (f)		726,281
		TOTAL SHORT-TERM INVESTMENTS (COST $726,281)		726,281
		TOTAL INVESTMENTS — 102.0% (Cost $999,734,234)		934,442,956
		Other Assets and Liabilities (net) — (2.0)%		(18,076,148	)
		TOTAL NET ASSETS — 100.0%		$916,366,808

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (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 May 31, 2023
PhosAgro PJSC GDR	08/09/19	$	36,037	0.0%	$	738

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) The rate disclosed is the 7 day net yield as of May 31, 2023.

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)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.1%
		Brazil — 2.6%
	5,616	Alupar Investimento SA		32,003
	300	Banco Santander Brasil SA ADR		1,719
	186,300	BB Seguridade Participacoes SA		1,135,801
	75,900	Cia Brasileira de Aluminio		77,796
	20,300	Cia de Saneamento de Minas Gerais Copasa MG		79,787
	8,000	Cia de Saneamento do Parana		31,932
	99,100	CPFL Energia SA		591,478
	14,800	Cury Construtora e Incorporadora SA		40,287
	29,700	Dexco SA		51,809
	54,300	EDP – Energias do Brasil SA		246,171
	202,627	Enauta Participacoes SA		510,032
	14,100	Fleury SA		43,329
	5,500	Mahle-Metal Leve SA		44,687
	22,600	Odontoprev SA		47,353
	83,600	Transmissora Alianca de Energia Eletrica SA		608,383
	94,600	Ultrapar Participacoes SA		315,688
	206,002	Vale SA Sponsored ADR – Class B		2,612,105
		Total Brazil		6,470,360
		Chile — 0.6%
	32,224	CAP SA		226,760
	23,579	Cencosud Shopping SA		36,824
	13,800	Cia Cervecerias Unidas SA Sponsored ADR		205,620
	3,271,147	Colbun SA		476,575
	92,049	Inversiones La Construccion SA		609,565
		Total Chile		1,555,344
		Czech Republic — 0.2%
	705	Philip Morris CR AS		536,082
		Egypt — 0.6%
	73,623	Abou Kir Fertilizers & Chemical Industries		112,867
	529,740	Commercial International Bank Egypt SAE		895,636
	963,133	Eastern Co SAE		594,162
		Total Egypt		1,602,665
		Greece — 0.0%
	2,715	Jumbo SA		63,008
		Hungary — 1.9%
	113,062	MOL Hungarian Oil & Gas Plc		920,500
	100,139	OTP Bank Nyrt		3,121,987
	28,761	Richter Gedeon Nyrt		725,701
		Total Hungary		4,768,188
		India — 9.6%
	8,339	AU Small Finance Bank Ltd		78,289
	27,073	Aurobindo Pharma Ltd		214,970
	34,200	Azure Power Global Ltd *		85,158

Shares		Description	Value ($)
		India — continued
	22,625	Bandhan Bank Ltd *		72,738
	36,576	Bharat Electronics Ltd		49,555
	67,371	Castrol India Ltd		91,225
	28,954	Cochin Shipyard Ltd		173,423
	7,909	Colgate-Palmolive India Ltd		155,123
	15,065	Coromandel International Ltd		175,059
	5,143	Deepak Fertilisers & Petrochemicals Corp Ltd		33,317
	4,265	Dr Reddy’s Laboratories Ltd		232,725
	9,436	EID Parry India Ltd		53,580
	77,011	Engineers India Ltd		102,771
	37,146	Exide Industries Ltd *		94,859
	44,019	Federal Bank Ltd		66,483
	18,413	GHCL Ltd		107,823
	18,413	GHCL Textiles Ltd * (a)		3,194
	15,033	Godawari Power and Ispat Ltd		65,344
	20,390	Great Eastern Shipping Co Ltd (The)		169,155
	10,615	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		75,456
	156,667	Gujarat State Fertilizers & Chemicals Ltd		297,073
	234,009	HDFC Bank Ltd		4,545,010
	40,939	HDFC Bank Ltd ADR		2,636,472
	40,065	Hindalco Industries Ltd		196,941
	50,702	Housing Development Finance Corp Ltd		1,618,289
	306,426	Indiabulls Housing Finance Ltd *		425,197
	363,910	Indus Towers Ltd *		675,472
	38,310	Infosys Ltd Sponsored ADR		611,428
	707,077	ITC Ltd		3,807,514
	38,128	L&T Finance Holdings Ltd		47,906
	7,108	Mahanagar Gas Ltd		90,971
	12,400	MakeMyTrip Ltd *		323,268
	191,641	Manappuram Finance Ltd		254,689
	10,906	Muthoot Finance Ltd		146,692
	393,031	National Aluminium Co Ltd		397,460
	170,102	NBCC India Ltd		86,730
	53,653	NCC Ltd		77,165
	1,115,125	Oil & Natural Gas Corp Ltd		2,069,132
	86,222	Oil India Ltd		268,561
	4,349	Oracle Financial Services Software Ltd		189,830
	248,296	Petronet LNG Ltd		676,438
	14,736	Piramal Enterprises Ltd		137,009
	15,863	Power Grid Corp of India Ltd		44,300
	8,414	RBL Bank Ltd *		16,392
	22,332	Redington Ltd		47,212
	31,873	Reliance Industries Ltd		949,154
	26,878	RITES Ltd		121,564
	3,161	Shriram Finance Ltd		53,428
	55,417	Sun TV Network Ltd		297,223
	23,566	Tata Steel Ltd		30,128
	103,832	Vedanta Ltd		348,764
	28,656	Welspun Corp Ltd		87,166

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		India — continued
	6,400	WNS Holdings Ltd ADR *		497,280
	12,551	Zensar Technologies Ltd		56,205
		Total India		24,228,310
		Indonesia — 2.6%
	2,050,800	AKR Corporindo Tbk PT		186,637
	5,745,200	Bank Central Asia Tbk PT		3,466,811
	2,992,200	Bank Mandiri Persero Tbk PT		1,009,694
	859,100	Bank Negara Indonesia Persero Tbk PT		518,223
	3,008,900	Bank Rakyat Indonesia Persero Tbk PT		1,118,071
	1,674,500	Medco Energi Internasional Tbk PT		100,903
		Total Indonesia		6,400,339
		Malaysia — 0.1%
	93,600	HAP Seng Consolidated Bhd		73,415
	184,300	Hartalega Holdings Bhd		91,648
	284,300	Kossan Rubber Industries Bhd		91,173
		Total Malaysia		256,236
		Mexico — 7.8%
	1,077	America Movil SAB de CV ADR *		22,897
	165,400	Arca Continental SAB de CV		1,671,859
	232,100	Banco del Bajio SA		730,061
	8,500	Coca-Cola Femsa SAB de CV Sponsored ADR		703,970
	539,400	Credito Real SAB de CV SOFOM ER * (b)		—
	5,600	Fomento Economico Mexicano SAB de CV Sponsored ADR		563,416
	600	Grupo Aeroportuario del Centro Norte SAB de CV ADR		49,590
	21,100	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		218,181
	30,425	Grupo Aeroportuario del Sureste SAB de CV – Class B		853,668
	240	Grupo Aeroportuario del Sureste SAB de CV ADR		67,284
	1,227,767	Grupo Financiero Banorte SAB de CV – Class O		9,865,725
	297,000	Grupo Mexico SAB de CV – Series B		1,324,739
	104,800	Qualitas Controladora SAB de CV		708,284
	79,000	Regional SAB de CV		615,422
	575,937	Wal-Mart de Mexico SAB de CV		2,190,898
		Total Mexico		19,585,994
		Philippines — 0.1%
	656,800	Monde Nissin Corp		94,782
		Poland — 2.2%
	35,192	Bank Polska Kasa Opieki SA		801,103
	579	Budimex SA		46,127
	198,515	Polski Koncern Naftowy ORLEN SA		2,826,517
	179,700	Powszechny Zaklad Ubezpieczen SA		1,638,545

Shares		Description	Value ($)
		Poland — continued
	1,033	Santander Bank Polska SA *		82,323
	4,578	XTB SA *		44,518
		Total Poland		5,439,133
		Qatar — 0.0%
	738	Qatar National Bank QPSC		3,244
		Russia — 0.4%
	4,036,000	Alrosa PJSC * (b) (c)		32,526
	434,347	Etalon Group Plc GDR (Registered) * (b)		4,508
	131,280	Evraz Plc * (b)		3,343
	236,860,000	Federal Grid Co Unified Energy System PJSC * (b)		3,021
	102,255	Gazprom Neft PJSC (b)		6,465
	897,812	Gazprom PJSC (b)		17,925
	6,151,400	Inter RAO UES PJSC (b)		3,085
	122,088	LUKOIL PJSC (b)		83,388
	4,327,340	Magnitogorsk Iron & Steel Works PJSC * (b) (c)		21,570
	7,832	MMC Norilsk Nickel PJSC (b)		13,995
	5	MMC Norilsk Nickel PJSC ADR * (b)		1
	172,200	Mobile TeleSystems PJSC ADR * (b)		13,420
	88,090	Moscow Exchange MICEX-RTS PJSC * (b)		1,261
	93,370	Novatek PJSC (b)		14,838
	1,403,510	Novolipetsk Steel PJSC * (b)		25,361
	4,917	PhosAgro PJSC (b)		4,641
	95	PhosAgro PJSC GDR * (b) (c)		30
	276,810	Polymetal International Plc *		638,056
	11,902	Polyus PJSC * (b) (c)		15,524
	1	Polyus PJSC GDR (Registered) * (b) (c)		1
	4,917	Ros Agro Plc GDR (Registered) * (b)		476
	50,074,400	RusHydro PJSC (b)		5,212
	3,446,432	Sberbank of Russia PJSC (b) (c)		103,833
	140,607	Severstal PJSC GDR (Registered) * (b) (c)		17,761
	2,387,800	Surgutneftegas PJSC (b)		7,140
	657,084	Tatneft PJSC (b)		35,694
	9,408	TCS Group Holding Plc GDR (Registered) * (b)		3,826
		Total Russia		1,076,901
		South Africa — 7.8%
	6,530	Absa Group Ltd		51,094
	10,048	AECI Ltd		42,858
	8,714	African Rainbow Minerals Ltd		91,056
	73,286	Anglo American Platinum Ltd		4,215,883
	6,339	Astral Foods Ltd		45,606
	119,444	AVI Ltd		376,169
	8,655	Barloworld Ltd		36,514
	368	Capitec Bank Holdings Ltd		25,176
	2,833	Clicks Group Ltd		33,742
	39,371	Coronation Fund Managers Ltd		62,776
	12,200	DRDGOLD Ltd Sponsored ADR		141,154

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	1,041,917	FirstRand Ltd		3,195,167
	87,623	Foschini Group Ltd (The)		372,577
	279,443	Impala Platinum Holdings Ltd		2,243,653
	36,987	Investec Ltd		186,580
	71,947	Kumba Iron Ore Ltd		1,581,468
	49,632	Momentum Metropolitan Holdings		42,578
	30,085	Motus Holdings Ltd		138,376
	76,314	Mr Price Group Ltd		481,539
	53,310	MTN Group Ltd		329,828
	9,783	MultiChoice Group		48,652
	139,820	Ninety One Ltd		284,734
	808,940	Old Mutual Ltd		438,260
	32,694	Omnia Holdings Ltd		94,944
	71,307	OUTsurance Group Ltd		114,540
	346,702	Pepkor Holdings Ltd		248,122
	96,426	Pick n Pay Stores Ltd		154,534
	152	Reinet Investments SCA		3,020
	8,984	Remgro Ltd		59,977
	81,658	Sanlam Ltd		214,504
	57,246	Sappi Ltd		126,638
	315,997	Sibanye Stillwater Ltd		558,327
	176,000	Sibanye Stillwater Ltd ADR		1,256,640
	31,467	SPAR Group Ltd (The)		168,958
	64,802	Tiger Brands Ltd		492,741
	211,652	Truworths International Ltd		511,746
	156,823	Vodacom Group Ltd		876,900
	119,557	Woolworths Holdings Ltd		361,144
		Total South Africa		19,708,175
		South Korea — 20.7%
	2,753	BGF retail Co Ltd		395,353
	10,209	BNK Financial Group Inc		51,596
	459	Caregen Co Ltd		63,661
	62,325	Cheil Worldwide Inc		860,657
	6	CJ CheilJedang Corp		1,400
	5,556	Coway Co Ltd		201,536
	38,152	Daou Data Corp		438,186
	6,983	DB Insurance Co Ltd		389,781
	135,863	Dongwon Development Co Ltd		346,464
	2,087	Doosan Bobcat Inc		83,954
	1,594	Fila Holdings Corp		43,631
	1,487	GS Holdings Corp		43,142
	3,235	HAESUNG DS Co Ltd		123,250
	17,861	Hana Financial Group Inc		557,172
	2,047	Handsome Co Ltd		35,623
	12,178	Hankook Tire & Technology Co Ltd		316,231
	26,261	HMM Co Ltd		350,770
	178,938	Humasis Co Ltd *		391,884
	2,570	Hyundai Glovis Co Ltd		326,963
	17,452	Hyundai Marine & Fire Insurance Co Ltd		431,531
	10,145	Hyundai Mobis Co Ltd		1,703,054
	10,270	Industrial Bank of Korea		78,957

Shares		Description	Value ($)
		South Korea — continued
	10,770	INTOPS Co Ltd		286,658
	16,590	JB Financial Group Co Ltd		106,135
	28,677	KB Financial Group Inc		1,034,124
	4,016	KCC Glass Corp		130,218
	35,856	Kia Corp		2,316,501
	91,299	Korea Real Estate Investment & Trust Co Ltd		94,802
	3,020	Korea Zinc Co Ltd		1,093,116
	65,921	KT Skylife Co Ltd		336,124
	102,054	KT&G Corp		6,428,031
	10,983	Kumho Petrochemical Co Ltd		1,049,263
	7,617	LOTTE Fine Chemical Co Ltd		336,987
	3,698	Lotte Shopping Co Ltd		222,601
	2,969	MegaStudyEdu Co Ltd		142,030
	1,718	Meritz Financial Group Inc *		58,250
	14,359	Mirae Asset Securities Co Ltd		78,907
	20,326	NH Investment & Securities Co Ltd		152,942
	759	NongShim Co Ltd		250,983
	9,030	Orion Corp		878,676
	14,500	POSCO Holdings Inc Sponsored ADR		984,260
	6,760	PSK Inc		108,949
	4,348	S-1 Corp		177,972
	394,068	Samsung Electronics Co Ltd		21,141,931
	1,323	Samsung Fire & Marine Insurance Co Ltd		224,711
	549	Samsung SDS Co Ltd		51,396
	10,194	Samsung Securities Co Ltd		282,131
	1,432	Samyang Foods Co Ltd		116,749
	86,029	SD Biosensor Inc		1,095,428
	28,240	Seegene Inc		516,269
	1,992	SFA Engineering Corp		59,216
	38,629	Shinhan Financial Group Co Ltd		1,017,773
	1,179	Soulbrain Co Ltd		204,658
	13,389	Spigen Korea Co Ltd		347,053
	9,677	TKG Huchems Co Ltd		164,110
	1	Unid Co Ltd		46
	370,597	Woori Financial Group Inc		3,341,580
	173	Young Poong Corp		68,528
	2,067	Youngone Corp		70,012
		Total South Korea		52,203,916
		Taiwan — 30.2%
	559,000	Acer Inc		560,288
	19,000	Advantech Co Ltd		251,125
	906,850	AmTRAN Technology Co Ltd		390,339
	143,000	Asia Cement Corp		204,349
	99,000	Asustek Computer Inc		981,408
	80,000	Aten International Co Ltd		222,740
	20,000	Aurora Corp		52,240
	994,000	Catcher Technology Co Ltd		5,992,027
	393,319	Cathay Financial Holding Co Ltd		565,845
	235,000	Chicony Electronics Co Ltd		810,217
	398,000	China General Plastics Corp		305,118
	326,000	Chipbond Technology Corp		709,988

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	115,000	ChipMOS Technologies Inc		147,434
	18,000	Chroma ATE Inc		136,093
	14,000	Delta Electronics Inc		143,765
	17,000	Elan Microelectronics Corp		56,344
	992,600	Evergreen Marine Corp Taiwan Ltd		4,926,067
	80,000	Everlight Electronics Co Ltd		122,867
	40,000	Feng Hsin Steel Co Ltd		88,419
	6,000	Feng TAY Enterprise Co Ltd		37,188
	314,000	First Financial Holding Co Ltd		286,914
	36,000	FLEXium Interconnect Inc *		115,397
	110,000	Formosa Advanced Technologies Co Ltd		154,076
	10,000	Formosa International Hotels Corp		93,057
	719,000	Formosa Plastics Corp		2,200,602
	472,897	Foxconn Technology Co Ltd		833,726
	999,500	Fubon Financial Holding Co Ltd		1,973,830
	7,000	Fusheng Precision Co Ltd		47,769
	46,000	Getac Technology Corp		103,327
	107,000	Gigabyte Technology Co Ltd		647,377
	20,000	Global Mixed Mode Technology Inc		124,876
	397,000	Grand Pacific Petrochemical		245,221
	6,000	Grape King Bio Ltd		34,253
	79,000	Greatek Electronics Inc		147,591
	1,026,000	HannStar Display Corp *		411,681
	27,000	Holtek Semiconductor Inc		61,662
	754,000	Hon Hai Precision Industry Co Ltd		2,608,673
	12,000	Innodisk Corp		130,659
	99,000	Inventec Corp		118,656
	8,000	King Slide Works Co Ltd		110,170
	372,000	King’s Town Bank Co Ltd *		435,174
	104,000	Kung Long Batteries Industrial Co Ltd		473,440
	91,000	Largan Precision Co Ltd		6,687,745
	920,000	Lite-On Technology Corp ADR		2,661,799
	26,000	Makalot Industrial Co Ltd		184,065
	563,000	Micro-Star International Co Ltd		3,036,574
	320,000	Mitac Holdings Corp		332,423
	321,000	Nan Ya Plastics Corp		811,243
	233,528	Nantex Industry Co Ltd		285,261
	17,000	Nanya Technology Corp		40,517
	10,000	Nien Made Enterprise Co Ltd		114,487
	152,000	Novatek Microelectronics Corp		2,098,559
	31,000	Phison Electronics Corp		430,316
	40,000	Pou Chen Corp		41,146
	31,000	Powertech Technology Inc		100,562
	220,000	Primax Electronics Ltd		461,830
	236,000	Radiant Opto-Electronics Corp		905,377
	13,000	Raydium Semiconductor Corp		147,823
	106,744	Shanghai Commercial & Savings Bank Ltd (The)		156,809
	83,000	Simplo Technology Co Ltd		836,373
	15,000	Sporton International Inc		117,774
	33,000	Synnex Technology International Corp		68,562
	69,000	T3EX Global Holdings Corp		157,082

Shares		Description	Value ($)
		Taiwan — continued
	58,000	TaiDoc Technology Corp		346,605
	77,200	Taita Chemical Co Ltd		50,408
	239,000	Taiwan Glass Industry Corp		142,457
	49,000	Taiwan Hon Chuan Enterprise Co Ltd		165,567
	283,000	Taiwan PCB Techvest Co Ltd		373,903
	297,000	Taiwan Semiconductor Manufacturing Co Ltd		5,375,056
	98,280	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		9,689,425
	143,000	Taiwan Union Technology Corp		348,588
	6,000	TCI Co Ltd		34,463
	18,000	Topkey Corp		114,274
	104,000	Tripod Technology Corp		434,545
	58,000	Tung Ho Steel Enterprise Corp		105,451
	19,000	TXC Corp		55,704
	122,000	United Integrated Services Co Ltd		906,797
	24,200	United Microelectronics Corp Sponsored ADR *		199,892
	97,000	Universal Inc		78,830
	474,000	USI Corp		354,245
	1,053,250	Wan Hai Lines Ltd		1,981,265
	31,000	Wistron Corp		67,173
	2,000	Wiwynn Corp		75,192
	13,000	Yageo Corp		214,211
	3,326,000	Yang Ming Marine Transport Corp		6,563,089
	645,580	Yuanta Financial Holding Co Ltd		500,426
		Total Taiwan		75,915,885
		Thailand — 1.3%
	702,500	JMT Network Services Pcl NVDR		867,148
	366,700	PTT Exploration & Production Pcl NVDR		1,468,343
	173,900	Regional Container Lines Pcl NVDR		119,806
	325,300	Sri Trang Gloves Thailand Pcl NVDR		85,993
	1,871,000	Thai Union Group Pcl NVDR		789,935
		Total Thailand		3,331,225
		Turkey — 0.8%
	374,015	Akbank TAS		285,316
	15,351	Cimsa Cimento Sanayi VE Ticaret AS		80,079
	29,086	Is Yatirim Menkul Degerler AS – Class A		67,945
	18,758	Mavi Giyim Sanayi Ve Ticaret AS – Class B		48,868
	3,544	Turk Traktor ve Ziraat Makineleri AS		113,130
	2,900,741	Yapi ve Kredi Bankasi AS		1,428,799
		Total Turkey		2,024,137
		United Arab Emirates — 0.1%
	426,191	Q Holding PJSC *		264,674
		Vietnam — 2.5%
	599,800	Duc Giang Chemicals JSC		1,367,919
	123,800	IDICO Corp JSC		220,498
	130,200	PetroVietnam Ca Mau Fertilizer JSC		134,682

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Vietnam — continued
	87,200	PetroVietnam Fertilizer & Chemicals JSC		118,473
	115,600	PetroVietnam Technical Services Corp		152,503
	217,900	Saigon – Hanoi Commercial Joint Stock Bank *		108,844
	143,500	Saigon Thuong Tin Commercial JSB *		169,176
	448,700	SSI Securities Corp		441,718
	286,100	Vietnam Dairy Products JSC		804,600
	313,400	Vietnam Joint Stock Commercial Bank for Industry and Trade *		373,565
	3,293,900	VNDirect Securities Corp *		2,450,386
		Total Vietnam		6,342,364
		TOTAL COMMON STOCKS (COST $320,104,178)		231,870,962
		PREFERRED STOCKS (d) — 7.2%
		Brazil — 7.1%
	53,400	Banco do Estado do Rio Grande do Sul SA – Class B		130,940
	12,600	Cia de Ferro Ligas da Bahia		117,896
	559,860	Gerdau SA		2,645,190
	91,665	Gerdau SA Sponsored ADR		432,659
	473,000	Itausa SA		818,587
	244,700	Metalurgica Gerdau SA		540,691
	2,305,569	Petroleo Brasileiro SA		11,870,274
	97,717	Petroleo Brasileiro SA Sponsored ADR		1,004,531
	23,100	Unipar Carbocloro SA – Class B		311,397
		Total Brazil		17,872,165
		Chile — 0.0%
	14,812	Embotelladora Andina SA – Class B		37,852

Shares		Description	Value ($)
		Russia — 0.0%
	3,948,700	Surgutneftegas PJSC (b)		15,282
	315	Transneft PJSC (b)		5,137
		Total Russia		20,419
		Taiwan — 0.1%
	224,635	China Development Financial Holding Corp		51,967
		TOTAL PREFERRED STOCKS (COST $21,716,770)		17,982,403
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers — 1.1%
	573,417	GMO U.S. Treasury Fund		2,867,088
		Total United States		2,867,088
		TOTAL MUTUAL FUNDS (COST $2,867,088)		2,867,088
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	459,378	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (e)		459,378
		TOTAL SHORT-TERM INVESTMENTS (COST $459,378)		459,378
		TOTAL INVESTMENTS — 100.6% (Cost $345,147,414)		253,179,831
		Other Assets and Liabilities (net) — (0.6)%		(1,444,574	)
		TOTAL NET ASSETS — 100.0%		$251,735,257

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 May 31, 2023
Alrosa PJSC	10/18/21	$	7,054,956	0.0%	$	32,526
Magnitogorsk Iron & Steel Works PJSC	10/18/21		4,011,995	0.0%		21,570
PhosAgro PJSC GDR	10/18/21		2,465	0.0%		30
Polyus PJSC	10/18/21		2,285,367	0.0%		15,524
Polyus PJSC GDR (Registered)	10/22/21		4	0.0%		1
Sberbank of Russia PJSC	10/18/21		16,614,391	0.0%		103,833
Severstal PJSC GDR (Registered)	10/18/21		3,190,235	0.0%		17,761
					$	191,245

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

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 May 31, 2023.

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)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 88.2%
		Brazil — 1.4%
	73,320	Alupar Investimento SA		417,811
	343,500	BB Seguridade Participacoes SA		2,094,190
	848,500	Cia Brasileira de Aluminio		869,690
	359,900	EDP – Energias do Brasil SA		1,631,621
	603,086	Enauta Participacoes SA		1,518,027
	235,800	Fleury SA		724,602
	421,100	Qualicorp Consultoria e Corretora de Seguros SA		361,064
	343,700	Santos Brasil Participacoes SA		674,081
	93,600	Sao Martinho SA		667,320
	49,600	Ultrapar Participacoes SA		165,519
	172,243	Vale SA Sponsored ADR – Class B		2,184,041
		Total Brazil		11,307,966
		Chile — 0.1%
	25,038	CAP SA		176,192
	6,586,852	Colbun SA		959,642
		Total Chile		1,135,834
		China — 23.4%
	2,437,000	361 Degrees International Ltd *		1,102,598
	585,500	3SBio Inc		593,082
	14,832,500	Agricultural Bank of China Ltd – Class A		7,349,434
	4,534,000	Agricultural Bank of China Ltd – Class H		1,708,605
	1,189,972	Anhui Conch Cement Co Ltd – Class A		4,197,463
	82,500	Anhui Conch Cement Co Ltd – Class H		218,999
	178,400	Anhui Expressway Co Ltd – Class A		264,114
	354,000	Anhui Expressway Co Ltd – Class H *		361,187
	120,400	ANTA Sports Products Ltd		1,230,572
	284,800	Autohome Inc – Class A (a)		2,032,310
	2,662,600	Bank of China Ltd – Class A		1,461,351
	8,129,000	Bank of China Ltd – Class H		3,182,157
	230,000	Bosideng International Holdings Ltd		95,492
	1,008,000	China BlueChemical Ltd – Class H		221,466
	4,877,878	China Communications Services Corp Ltd – Class H		2,319,826
	22,563,148	China Construction Bank Corp – Class H		14,433,208
	683,000	China Education Group Holdings Ltd		554,207
	20,051,000	China Feihe Ltd		11,661,616
	1,145,000	China Hongqiao Group Ltd		812,588
	1,137,000	China Lesso Group Holdings Ltd		751,792
	917,000	China Medical System Holdings Ltd		1,291,026
	639,800	China Merchants Bank Co Ltd – Class A		2,909,497
	233,000	China Merchants Bank Co Ltd – Class H		1,083,485
	1,802,000	China Oriental Group Co Ltd		244,174
	14,414,932	China Petroleum & Chemical Corp – Class A		12,900,313
	1,322,000	China Petroleum & Chemical Corp – Class H		832,480
	397,166	China Railway Signal & Communication Corp Ltd – Class A		333,222

Shares		Description	Value ($)
		China — continued
	177,481	China Tourism Group Duty Free Corp Ltd – Class A		3,076,806
	3,908,780	COSCO Shipping Holdings Co Ltd – Class A		5,743,677
	1,065,000	COSCO Shipping Holdings Co Ltd – Class H		938,452
	158,000	CSPC Pharmaceutical Group Ltd		137,655
	177,122	Hangzhou Robam Appliances Co Ltd – Class A		582,501
	154,000	Hansoh Pharmaceutical Group Co Ltd		256,317
	219,100	Hello Group Inc Sponsored ADR		1,768,137
	10,248,000	Hua Han Health Industry Holdings Ltd * (b)		1
	250,800	Huayu Automotive Systems Co Ltd – Class A		616,440
	5,717,700	Industrial & Commercial Bank of China Ltd – Class A		3,886,537
	7,817,000	Industrial & Commercial Bank of China Ltd – Class H		4,174,592
	4,698,924	Inner Mongolia ERDOS Resources Co Ltd – Class A		9,159,581
	242,600	JOYY Inc ADR		6,016,480
	315,500	Kingboard Laminates Holdings Ltd		288,732
	25,749	Kweichow Moutai Co Ltd – Class A		5,911,783
	1,678,000	Lonking Holdings Ltd		246,621
	128,800	Midea Group Co Ltd – Class A		931,515
	917,000	Orient Overseas International Ltd		11,171,754
	10,621,300	PetroChina Co Ltd – Class A		11,208,349
	6,472,000	PetroChina Co Ltd – Class H		4,183,431
	5,273,000	PICC Property & Casualty Co Ltd – Class H		6,290,218
	1,509,009	Ping An Insurance Group Co of China Ltd – Class A		9,984,296
	300,000	Ping An Insurance Group Co of China Ltd – Class H		1,903,856
	812,100	Postal Savings Bank of China Co Ltd – Class A		587,457
	177,000	Postal Savings Bank of China Co Ltd – Class H		111,211
	4,164,400	Qingling Motors Co Ltd – Class H		414,888
	198,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		292,359
	1,201,681	Shenzhen YUTO Packaging Technology Co Ltd – Class A		4,000,502
	2,058,500	Sinopec Engineering Group Co Ltd – Class H		872,296
	6,700	Sunny Optical Technology Group Co Ltd		63,067
	46,265	Tencent Holdings Ltd		1,830,906
	14,300	Tencent Holdings Ltd ADR		565,279
	198,000	Tianneng Power International Ltd (a)		227,632
	417,000	Topsports International Holdings Ltd		324,020
	632,762	Vipshop Holdings Ltd ADR *		9,061,152
	129,800	Xinhua Winshare Publishing and Media Co Ltd – Class A		290,436
	1,232,000	Zhejiang Expressway Co Ltd – Class H		912,438
	37,507	Zhejiang Supor Co Ltd – Class A		236,170
		Total China		182,413,808

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Czech Republic — 0.3%
	383,078	Moneta Money Bank AS		1,367,707
	770	Philip Morris CR AS		585,508
		Total Czech Republic		1,953,215
		Egypt — 0.3%
	1,154,027	Commercial International Bank Egypt SAE		1,951,123
		Greece — 0.1%
	17,137	Motor Oil Hellas Corinth Refineries SA		442,671
		Hungary — 1.5%
	355,818	MOL Hungarian Oil & Gas Plc		2,896,911
	229,462	OTP Bank Nyrt		7,153,830
	77,542	Richter Gedeon Nyrt		1,956,547
		Total Hungary		12,007,288
		India — 5.4%
	17,688	AU Small Finance Bank Ltd		166,061
	15,087	Bandhan Bank Ltd *		48,504
	171,222	Bharat Electronics Ltd		231,979
	94,679	Cochin Shipyard Ltd		567,088
	19,184	Colgate-Palmolive India Ltd		376,266
	41,912	Coromandel International Ltd		487,027
	34,425	Deepak Fertilisers & Petrochemicals Corp Ltd		223,007
	10,869	Dr Reddy’s Laboratories Ltd		593,079
	97,233	Federal Bank Ltd		146,854
	55,212	GHCL Ltd		323,310
	52,156	GHCL Textiles Ltd * (c)		9,047
	64,763	Great Eastern Shipping Co Ltd (The)		537,272
	468,757	Gujarat State Fertilizers & Chemicals Ltd		888,860
	8,441	HCL Technologies Ltd		116,502
	519,596	HDFC Bank Ltd		10,091,787
	47,600	HDFC Bank Ltd ADR		3,065,440
	119,502	Hindalco Industries Ltd		587,416
	158,429	Hindustan Zinc Ltd		586,778
	91,654	Housing Development Finance Corp Ltd		2,925,381
	653,234	Indiabulls Housing Finance Ltd *		906,429
	1,079,057	Indus Towers Ltd *		2,002,893
	99,000	Infosys Ltd Sponsored ADR		1,580,040
	603,989	ITC Ltd		3,252,399
	453,361	L&T Finance Holdings Ltd		569,622
	1,061,756	Manappuram Finance Ltd		1,411,064
	25,440	Muthoot Finance Ltd		342,184
	505,397	National Aluminium Co Ltd		511,092
	481,662	NCC Ltd		692,734
	960,181	Oil & Natural Gas Corp Ltd		1,781,631
	224,775	Oil India Ltd		700,121
	10,474	Oracle Financial Services Software Ltd		457,181
	964,134	Petronet LNG Ltd		2,626,611
	11,431	PI Industries Ltd		501,278

Shares		Description	Value ($)
		India — continued
	27,669	Piramal Enterprises Ltd		257,255
	13,402	Power Grid Corp of India Ltd		37,427
	75,902	RBL Bank Ltd *		147,870
	276,846	Redington Ltd		585,276
	170,484	Sun TV Network Ltd		914,372
	331,388	Vedanta Ltd		1,113,107
		Total India		42,362,244
		Indonesia — 0.5%
	1,975,200	AKR Corporindo Tbk PT		179,757
	332,700	Bank Central Asia Tbk PT		200,760
	1,650,800	Bank Mandiri Persero Tbk PT		557,049
	3,859,800	Bank Negara Indonesia Persero Tbk PT		2,328,293
	11,005,000	Bank Pembangunan Daerah Jawa Timur Tbk PT		477,202
	17,998,200	Panin Financial Tbk PT		307,252
		Total Indonesia		4,050,313
		Kuwait — 0.1%
	60,104	Humansoft Holding Co KSC		674,796
		Malaysia — 0.2%
	277,400	HAP Seng Consolidated Bhd		217,578
	982,200	Hartalega Holdings Bhd		488,428
	1,909,600	Hibiscus Petroleum Bhd		375,720
	1,275,900	Kossan Rubber Industries Bhd		409,170
	268,400	RHB Bank Bhd		311,072
		Total Malaysia		1,801,968
		Mexico — 5.5%
	359,600	Arca Continental SAB de CV		3,634,828
	473,900	Banco del Bajio SA		1,490,632
	34,600	Coca-Cola Femsa SAB de CV Sponsored ADR		2,865,572
	315,700	Credito Real SAB de CV SOFOM ER * (a) (b)		—
	19,600	Fomento Economico Mexicano SAB de CV Sponsored ADR		1,971,956
	5,500	Grupo Aeroportuario del Centro Norte SAB de CV ADR		454,575
	49,800	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		514,948
	3,700	Grupo Aeroportuario del Pacifico SAB de CV ADR		654,271
	21,735	Grupo Aeroportuario del Sureste SAB de CV – Class B		609,843
	9,400	Grupo Aeroportuario del Sureste SAB de CV ADR		2,635,290
	47,000	Grupo Bimbo SAB de CV – Series A		251,992
	2,476,457	Grupo Financiero Banorte SAB de CV – Class O		19,899,576
	1,027,500	Grupo Mexico SAB de CV – Series B		4,583,060
	189,900	Regional SAB de CV		1,479,350
	550,100	Wal-Mart de Mexico SAB de CV		2,092,613
		Total Mexico		43,138,506

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Pakistan — 0.1%
	2,098,282	Pakistan Petroleum Ltd		423,933
		Panama — 0.0%
	1,591,142	BAC Holding International Corp		75,445
		Philippines — 0.1%
	13,088,800	Megaworld Corp		475,285
	1,947,600	Monde Nissin Corp		281,055
		Total Philippines		756,340
		Poland — 1.0%
	21,196	Bank Polska Kasa Opieki SA		482,501
	27,491	Budimex SA		2,190,136
	55,214	Pepco Group NV *		522,586
	298,564	Polski Koncern Naftowy ORLEN SA		4,251,046
	13,903	Powszechny Zaklad Ubezpieczen SA		126,771
	7,473	Santander Bank Polska SA *		595,542
		Total Poland		8,168,582
		Qatar — 0.1%
	527,916	Qatar National Cement Co QSC		567,771
		Russia — 0.5%
	31,701,260	Alrosa PJSC * (b) (d)		255,476
	380,350	Detsky Mir PJSC * (b)		3,303
	39,977	Evraz Plc * (b)		1,018
	1,432,600,000	Federal Grid Co Unified Energy System PJSC * (b)		18,270
	653,911	Fix Price Group Plc GDR * (b)		17,319
	219,070	Gazprom Neft PJSC (b)		13,851
	1,250,860	Gazprom PJSC (b)		24,974
	575,658	Globaltrans Investment Plc Sponsored GDR (Registered) * (b)		22,900
	78,536,400	Inter RAO UES PJSC (b)		39,389
	239,440	LSR Group PJSC – Class A * (b)		21,669
	3	LSR Group PJSC GDR (Registered) * (b)		—
	285,469	LUKOIL PJSC (b)		194,980
	17,490,987	Magnitogorsk Iron & Steel Works PJSC * (b) (d)		87,187
	474,800	Mechel PJSC * (b)		10,331
	37,212	MMC Norilsk Nickel PJSC (b)		66,493
	5	MMC Norilsk Nickel PJSC ADR * (b)		1
	249,660	Mobile TeleSystems PJSC (b)		9,689
	35,508	Mobile TeleSystems PJSC ADR * (b)		2,767
	4,133,417	Moscow Exchange MICEX-RTS PJSC * (b)		59,145
	10,015,560	Novolipetsk Steel PJSC * (b)		180,980
	11,924	PhosAgro PJSC (b)		11,254
	230	PhosAgro PJSC GDR * (b) (d)		73
	916,204	Polymetal International Plc *		2,111,880
	80,094	Polyus PJSC * (b) (d)		104,471
	24,938,000	RusHydro PJSC (b)		2,596
	13,125,612	Sberbank of Russia PJSC (b) (d)		395,442

Shares		Description	Value ($)
		Russia — continued
	706,464	Severstal PJSC GDR (Registered) * (b) (d)		89,238
	68,353	SFI PJSC * (b)		4,198
	63,500,900	Surgutneftegas PJSC (b)		189,880
	2,860,038	Tatneft PJSC (b)		155,364
	8,118,000	Unipro PJSC * (b)		1,925
	556,430	United Co Rusal International PJSC (b)		2,667
	46,698	X5 Retail Group NV GDR (Registered) * (b)		5,742
		Total Russia		4,104,472
		South Africa — 6.6%
	25,813	Absa Group Ltd		201,973
	67,459	African Rainbow Minerals Ltd		704,907
	225,907	Anglo American Platinum Ltd		12,995,627
	15,174	Astral Foods Ltd		109,169
	308,901	AVI Ltd		972,832
	136,063	Coronation Fund Managers Ltd		216,950
	30,970	Discovery Ltd *		207,977
	36,000	DRDGOLD Ltd Sponsored ADR		416,520
	1,557,263	FirstRand Ltd		4,775,539
	235,846	Foschini Group Ltd (The)		1,002,828
	789,010	Impala Platinum Holdings Ltd		6,334,975
	284,439	Investec Ltd		1,434,848
	382,087	Kumba Iron Ore Ltd		8,398,660
	413,419	Lewis Group Ltd		830,786
	140,016	Momentum Metropolitan Holdings		120,115
	76,048	Motus Holdings Ltd		349,782
	133,181	Mr Price Group Ltd		840,368
	474,849	Ninety One Ltd		966,998
	147,534	OUTsurance Group Ltd		236,983
	1,136,432	Pepkor Holdings Ltd		813,303
	189,116	Pick n Pay Stores Ltd		303,081
	4,705	Reinet Investments SCA		93,480
	30,257	Remgro Ltd		201,994
	85,233	Sappi Ltd		188,550
	532,375	Sibanye Stillwater Ltd		940,640
	317,500	Sibanye Stillwater Ltd ADR (a)		2,266,950
	187,145	SPAR Group Ltd (The)		1,004,849
	167,994	Tiger Brands Ltd		1,277,392
	591,533	Truworths International Ltd		1,430,248
	543,607	Woolworths Holdings Ltd		1,642,066
		Total South Africa		51,280,390
		South Korea — 13.0%
	28,035	AMOREPACIFIC Group		613,384
	5,089	BGF retail Co Ltd		730,821
	108,842	BNK Financial Group Inc		550,081
	5,054	Caregen Co Ltd		700,958
	149,469	Cheil Worldwide Inc		2,064,045
	11,916	Coway Co Ltd		432,237
	84,935	Daou Data Corp (a)		975,502
	38,037	DB Insurance Co Ltd		2,123,168
	8,276	Dentium Co Ltd		988,127

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	16,973	Dongkuk Steel Mill Co Ltd (b)		145,324
	478,869	Dongwon Development Co Ltd		1,221,161
	15,690	Fila Holdings Corp		429,465
	15,455	HAESUNG DS Co Ltd		588,817
	28,258	Hankook Tire & Technology Co Ltd		733,786
	13,006	HD Hyundai Co Ltd		559,742
	86,344	HD Hyundai Infracore Co Ltd		618,191
	96,925	HDC Hyundai Development Co-Engineering & Construction (a)		914,721
	29,020	HPSP Co Ltd (a)		595,631
	875,392	Humasis Co Ltd * (a)		1,917,156
	33,109	Hyundai Marine & Fire Insurance Co Ltd		818,678
	49,325	Hyundai Mobis Co Ltd		8,280,249
	79,319	Industrial Bank of Korea		609,815
	41,302	INTOPS Co Ltd (a)		1,099,307
	166,895	JB Financial Group Co Ltd		1,067,713
	83,756	Kia Corp		5,411,112
	7,528	KIWOOM Securities Co Ltd		531,994
	370,361	KT&G Corp (a)		23,327,766
	61,976	Kumho Petrochemical Co Ltd		5,920,890
	14,214	LOTTE Fine Chemical Co Ltd (a)		628,847
	10,965	Lotte Shopping Co Ltd		660,038
	33,231	Meritz Financial Group Inc *		1,126,729
	15,958	Neowiz *		600,734
	62,038	NH Investment & Securities Co Ltd		466,802
	2,267	NongShim Co Ltd		749,643
	19,833	Orion Corp		1,929,875
	9,307	PSK Inc		149,998
	355,088	Samsung Electronics Co Ltd		19,050,636
	43,386	Samsung Securities Co Ltd		1,200,760
	4,174	Samyang Foods Co Ltd		340,300
	249,958	SD Biosensor Inc		3,182,774
	76,010	Seegene Inc		1,389,575
	1,406	Soulbrain Co Ltd		244,062
	4,240	Unid Co Ltd		193,603
	460,592	Woori Financial Group Inc		4,153,043
	342,953	Woori Technology Investment Co Ltd * (a)		1,054,542
	7,060	Yuhan Corp		315,620
		Total South Korea		101,407,422
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (c) (e)		322,339
		Taiwan — 24.3%
	64,000	Advantech Co Ltd		845,893
	86,000	Allied Supreme Corp		820,475
	231,000	Asia Cement Corp		330,101
	176,000	ASROCK Inc		904,283
	166,689	Asustek Computer Inc		1,652,423
	279,000	Aten International Co Ltd		776,807
	100,200	Aurora Corp		261,724
	2,176,000	Catcher Technology Co Ltd		13,117,355

Shares		Description	Value ($)
		Taiwan — continued
	78,948	Chailease Holding Co Ltd		519,505
	287,000	Chicony Electronics Co Ltd		989,499
	288,000	Chipbond Technology Corp		627,229
	328,000	ChipMOS Technologies Inc		420,508
	39,000	Chlitina Holding Ltd		275,068
	451,000	Chong Hong Construction Co Ltd		1,163,739
	102,000	Chroma ATE Inc		771,192
	941,400	Coretronic Corp		2,299,711
	868,000	Co-Tech Development Corp		1,621,474
	45,000	Delta Electronics Inc		462,103
	136,000	Elan Microelectronics Corp		450,752
	2,068,200	Evergreen Marine Corp Taiwan Ltd		10,264,046
	756,000	Farglory Land Development Co Ltd		1,541,649
	84,000	Feng TAY Enterprise Co Ltd		520,635
	565,000	First Financial Holding Co Ltd		516,262
	209,000	FLEXium Interconnect Inc *		669,946
	72,000	Formosa International Hotels Corp		670,013
	758,778	Foxconn Technology Co Ltd		1,337,740
	2,839,489	Fubon Financial Holding Co Ltd		5,607,472
	308,000	Gigabyte Technology Co Ltd		1,863,478
	58,000	Gourmet Master Co Ltd		280,748
	1,497,000	Grand Pacific Petrochemical		924,676
	55,000	Grape King Bio Ltd		313,986
	146,000	Holtek Semiconductor Inc		333,434
	204,532	Hon Hai Precision Industry Co Ltd		707,635
	458,000	Huaku Development Co Ltd		1,342,400
	453,000	Inventec Corp		542,939
	37,000	King Slide Works Co Ltd		509,537
	208,000	Kung Long Batteries Industrial Co Ltd		946,881
	236,000	Largan Precision Co Ltd		17,344,042
	2,236,000	Lite-On Technology Corp ADR		6,469,328
	85,000	Makalot Industrial Co Ltd		601,752
	60,000	MediaTek Inc		1,474,416
	2,712,000	Micro-Star International Co Ltd		14,627,332
	576,000	Mitac Holdings Corp		598,360
	442,000	Nantex Industry Co Ltd		539,915
	241,000	Nanya Technology Corp		574,394
	39,000	Nien Made Enterprise Co Ltd		446,499
	631,810	Novatek Microelectronics Corp		8,722,963
	520,000	Phison Electronics Corp		7,218,212
	427,000	Pou Chen Corp		439,232
	82,000	Powertech Technology Inc		266,001
	715,000	Primax Electronics Ltd		1,500,946
	713,936	Radiant Opto-Electronics Corp		2,738,905
	84,000	Raydium Semiconductor Corp		955,162
	294,488	Shanghai Commercial & Savings Bank Ltd (The)		432,607
	406,000	Shinkong Insurance Co Ltd		693,534
	244,468	Simplo Technology Co Ltd		2,463,450
	33,000	Sinbon Electronics Co Ltd		386,272
	40,000	Sporton International Inc		314,064
	651,250	Syncmold Enterprise Corp		1,257,876

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	120,000	Synnex Technology International Corp		249,318
	229,000	T3EX Global Holdings Corp		521,331
	88,024	Tah Hsin Industrial Corp		201,016
	116,000	TaiDoc Technology Corp		693,210
	110,000	Taiwan Hon Chuan Enterprise Co Ltd		371,681
	1,365,000	Taiwan Semiconductor Manufacturing Co Ltd		24,703,540
	35,530	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		3,502,903
	585,000	Taiwan Union Technology Corp		1,426,042
	134,000	TCI Co Ltd		769,672
	69,000	Topkey Corp		438,051
	636,000	Transcend Information Inc		1,592,062
	430,160	Tripod Technology Corp		1,797,345
	115,000	TTY Biopharm Co Ltd		283,074
	115,000	TXC Corp		337,153
	368,224	United Integrated Services Co Ltd		2,736,921
	180,100	United Microelectronics Corp Sponsored ADR * (a)		1,487,626
	552,000	Universal Inc		448,602
	73,000	Walsin Technology Corp		246,545
	2,626,750	Wan Hai Lines Ltd		4,941,171
	261,000	Wistron Corp		565,551
	75,000	Yageo Corp		1,235,834
	6,493,000	Yang Ming Marine Transport Corp		12,812,429
	71,000	Yulon Nissan Motor Co Ltd		450,732
	205,725	Zeng Hsing Industrial Co Ltd		732,363
		Total Taiwan		189,812,752
		Thailand — 0.8%
	2,083,000	JMT Network Services Pcl NVDR		2,571,202
	2,539,500	Pruksa Holding Pcl (Foreign Registered)		904,566
	546,200	Regional Container Lines Pcl (Foreign Registered)		376,299
	1,098,800	Sri Trang Gloves Thailand Pcl (Foreign Registered)		290,469
	5,548,000	Thai Union Group Pcl NVDR		2,342,361
		Total Thailand		6,484,897
		Turkey — 0.5%
	831,663	Akbank TAS		634,432
	89,549	Is Yatirim Menkul Degerler AS – Class A		209,188
	5,766,586	Yapi ve Kredi Bankasi AS		2,840,410
		Total Turkey		3,684,030
		United Arab Emirates — 0.1%
	1,263,731	Q Holding PJSC *		784,806
		Vietnam — 2.3%
	2,402,000	Duc Giang Chemicals JSC		5,478,062
	205,500	PetroVietnam Fertilizer & Chemicals JSC		279,200
	753,900	PetroVietnam Technical Services Corp		994,566

Shares / Par Value†		Description	Value ($)
		Vietnam — continued
	173,000	Pha Lai Thermal Power JSC		114,147
	98,600	SSI Securities Corp		97,066
	1,014,100	Vietnam Dairy Products JSC		2,851,956
	242,700	Vietnam Joint Stock Commercial Bank for Industry and Trade *		289,292
	10,554,500	VNDirect Securities Corp *		7,851,665
		Total Vietnam		17,955,954
		TOTAL COMMON STOCKS (COST $1,170,463,982)		689,068,865
		PREFERRED STOCKS (f) — 7.8%
		Brazil — 4.8%
	274,500	Banco do Estado do Rio Grande do Sul SA – Class B		673,088
	26,600	Cia de Ferro Ligas da Bahia		248,892
	881,095	Gerdau SA		4,162,941
	820,260	Gerdau SA Sponsored ADR		3,871,627
	861,400	Itausa SA		1,490,764
	773,800	Metalurgica Gerdau SA		1,709,794
	4,735,943	Petroleo Brasileiro SA		24,383,110
	60,900	Unipar Carbocloro SA – Class B		820,955
		Total Brazil		37,361,171
		Russia — 0.0%
	194,570	Nizhnekamskneftekhim PJSC (b)		1,912
	79,676,700	Surgutneftegas PJSC (b)		308,350
	869	Transneft PJSC (b)		14,173
		Total Russia		324,435
		South Korea — 2.9%
	508,242	Samsung Electronics Co Ltd		22,385,627
		Taiwan — 0.1%
	256,798	Chailease Holding Co Ltd		831,559
		TOTAL PREFERRED STOCKS (COST $106,262,314)		60,902,792
		DEBT OBLIGATIONS — 0.3%
		United States — 0.3%
	2,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.57%, due 01/31/25 (g)		2,003,699
		TOTAL DEBT OBLIGATIONS (COST $2,001,578)		2,003,699

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 2.7%
		United States — 2.7%
		Affiliated Issuers — 2.7%
	994,461	GMO Emerging Markets Select Equity Fund, Class V		17,860,521
	607,426	GMO U.S. Treasury Fund		3,037,131
		Total United States		20,897,652
		TOTAL MUTUAL FUNDS (COST $21,037,136)		20,897,652
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	286,554	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (h)		286,554
		TOTAL SHORT-TERM INVESTMENTS (COST $286,554)		286,554
		TOTAL INVESTMENTS — 99.0% (Cost $1,300,051,564)		773,159,562
		Other Assets and Liabilities (net) — 1.0%		7,699,046
		TOTAL NET ASSETS — 100.0%		$780,858,608

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 May 31, 2023
Alrosa PJSC	09/14/17	$	46,779,239	0.0%	$	255,476
Magnitogorsk Iron & Steel Works PJSC	03/26/18		14,388,116	0.0%		87,187
PhosAgro PJSC GDR	02/09/22		5,151	0.0%		73
Polyus PJSC	07/23/20		17,665,998	0.0%		104,471
Sberbank of Russia PJSC	11/10/17		51,393,929	0.1%		395,442
Severstal PJSC GDR (Registered)	10/12/17		13,249,420	0.0%		89,238
					$	931,887

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
631	Mini MSCI Emerging Markets		June 2023	$	30,187,040	$	(28,551	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

As of May 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

(c) Investment valued using significant unobservable inputs.

(d) The security is restricted as to resale.

(e) Affiliated company.

(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 May 31, 2023.

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

QSC - Qatari Shareholding Company

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

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

GMO Emerging Markets Select Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 91.4%
		Brazil — 4.2%
	94,400	Ambev SA		268,130
	150,300	B3 SA – Brasil Bolsa Balcao		394,614
	26,938	Localiza Rent a Car SA		329,418
	924	MercadoLibre Inc *		1,144,836
	64,660	Raia Drogasil SA		361,070
	42,500	WEG SA		315,066
		Total Brazil		2,813,134
		China — 21.8%
	232,688	Alibaba Group Holding Ltd *		2,315,798
	1,521,000	China Construction Bank Corp – Class H		972,954
	173,002	China Merchants Bank Co Ltd – Class H		804,485
	68,000	China Resources Land Ltd		254,521
	9,860	Contemporary Amperex Technology Co Ltd – Class A		307,197
	9,468	H World Group Ltd ADR *		346,718
	165,855	Haier Smart Home Co Ltd – Class A		501,466
	35,300	Inner Mongolia Yili Industrial Group Co Ltd – Class A		143,340
	46,276	Jiangsu Hengli Hydraulic Co Ltd – Class A		355,551
	32,800	Kuaishou Technology *		222,574
	6,086	Kweichow Moutai Co Ltd – Class A		1,397,301
	14,457	Meituan – Class B *		202,995
	37,700	Montage Technology Co Ltd – Class A		338,314
	70,885	NARI Technology Co Ltd – Class A		273,566
	32,000	Ping An Insurance Group Co of China Ltd – Class H		203,078
	38,740	Proya Cosmetics Co Ltd – Class A		654,742
	47,972	Shenzhen Inovance Technology Co Ltd – Class A		399,189
	14,000	Sungrow Power Supply Co Ltd – Class A		217,019
	11,400	Sunny Optical Technology Group Co Ltd		107,308
	43,284	Tencent Holdings Ltd		1,712,935
	11,407	Trip.com Group Ltd ADR *		360,233
	72,000	Tsingtao Brewery Co Ltd – Class H		619,886
	37,985	Wuliangye Yibin Co Ltd – Class A		863,500
	25,500	Wuxi Biologics Cayman Inc *		130,554
	35,900	Wuxi Lead Intelligent Equipment Co Ltd – Class A		170,283
	15,308	Yum China Holdings Inc		864,290
		Total China		14,739,797
		France — 0.9%
	1,458	L’Oreal SA		624,237
		Greece — 0.6%
	245,949	Eurobank Ergasias Services and Holdings SA – Class A *		384,452
		Hong Kong — 0.5%
	38,600	AIA Group Ltd		371,069

Shares		Description	Value ($)
		India — 18.3%
	10,475	Asian Paints Ltd		403,835
	14,316	Bajaj Auto Ltd		789,898
	93,123	Campus Activewear Ltd *		340,538
	36,519	Cyient Ltd		572,927
	53,844	Dabur India Ltd		360,256
	8,918	Eicher Motors Ltd		396,072
	50,681	Godrej Consumer Products Ltd *		649,965
	36,725	HDFC Bank Ltd		713,287
	106,065	ICICI Bank Ltd		1,215,669
	130,289	Indian Hotels Co Ltd		611,896
	23,513	JB Chemicals & Pharmaceuticals Ltd		597,185
	32,046	Kajaria Ceramics Ltd		491,645
	82,703	LA Opala RG Ltd		393,862
	115,468	Mahindra & Mahindra Financial Services Ltd		397,844
	5,993	Maruti Suzuki India Ltd		674,779
	82,540	Metro Brands Ltd		948,474
	34,197	Narayana Hrudayalaya Ltd		371,426
	29,665	SBI Life Insurance Co Ltd		443,280
	14,878	SRF Ltd		451,090
	39,928	Sun Pharmaceutical Industries Ltd		471,096
	40,572	Sundram Fasteners Ltd		545,483
	14,622	Titan Co Ltd		497,725
		Total India		12,338,232
		Indonesia — 6.5%
	1,957,900	Bank Central Asia Tbk PT		1,181,450
	3,260,500	Bank Mandiri Persero Tbk PT		1,100,230
	2,260,600	Cisarua Mountain Dairy Tbk PT		652,987
	6,060,500	Mitra Adiperkasa Tbk PT *		717,234
	2,684,400	Telkom Indonesia Persero Tbk PT		724,749
		Total Indonesia		4,376,650
		Japan — 0.7%
	2,500	Daikin Industries Ltd		474,397
		Mexico — 3.4%
	23,575	Grupo Aeroportuario del Pacifico SAB de CV – Class B		415,324
	45,150	Grupo Financiero Banorte SAB de CV – Class O		362,803
	37,604	Regional SAB de CV		292,941
	332,432	Wal-Mart de Mexico SAB de CV		1,264,591
		Total Mexico		2,335,659
		Philippines — 0.3%
	98,440	Bank of the Philippine Islands		175,191
		Russia — 0.1%
	34,988	Magnit PJSC * (a)		18,346
	546,960	Mobile TeleSystems PJSC (a)		21,228
	530,016	Sberbank of Russia PJSC (a) (b)		15,968
	46,548	TCS Group Holding Plc GDR (Registered) * (a)		17,070
	69,200	Yandex NV – Class A * (a)		13,106
		Total Russia		85,718

GMO Emerging Markets Select Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		South Africa — 0.3%
	29,454	Absa Group Ltd		230,462
		South Korea — 6.7%
	687	LG Energy Solution Ltd *		309,581
	839	NAVER Corp		125,942
	74,015	Samsung Electronics Co Ltd		3,970,939
	1,599	SK Hynix Inc		130,404
		Total South Korea		4,536,866
		Switzerland — 1.1%
	6,220	Nestle SA (Registered)		737,295
		Taiwan — 17.8%
	131,000	Delta Electronics Inc		1,345,234
	161,000	E Ink Holdings Inc		1,082,326
	7,000	eMemory Technology Inc		417,340
	32,000	MediaTek Inc		786,355
	90,000	Sinbon Electronics Co Ltd		1,053,470
	404,800	Taiwan Semiconductor Manufacturing Co Ltd		7,326,002
		Total Taiwan		12,010,727
		Thailand — 1.6%
	51,500	Advanced Info Service Pcl (Foreign Registered)		312,213
	106,400	Airports of Thailand Pcl (Foreign Registered) *		216,224
	71,900	Bangkok Bank Pcl (Foreign Registered)		336,464
	202,500	Central Retail Corp Pcl (Foreign Registered)		244,242
		Total Thailand		1,109,143
		United Kingdom — 1.6%
	11,146	Diageo Plc		463,367
	11,826	Unilever Plc		591,714
		Total United Kingdom		1,055,081
		United States — 2.1%
	3,387	Apple, Inc.		600,346
	185,400	Samsonite International SA *		470,696
	1,520	Visa, Inc. – Class A		335,965
		Total United States		1,407,007

Shares		Description	Value ($)
		Vietnam — 2.9%
	356,000	Bank for Foreign Trade of Vietnam JSC *		1,424,127
	186,433	Phu Nhuan Jewelry JSC		562,576
		Total Vietnam		1,986,703
		TOTAL COMMON STOCKS (COST $80,958,975)		61,791,820
		PREFERRED STOCKS (c) — 0.6%
		Brazil — 0.6%
	73,500	Itau Unibanco Holding SA		381,459
		TOTAL PREFERRED STOCKS (COST $388,354)		381,459
		INVESTMENT FUNDS — 0.0%
		Russia — 0.0%
	61,600	VanEck Russia ETF (a)		9,610
		TOTAL INVESTMENT FUNDS (COST $1,563,306)		9,610
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers — 0.0%
	1,270	GMO U.S. Treasury Fund		6,349
		Total United States		6,349
		TOTAL MUTUAL FUNDS (COST $6,349)		6,349
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	203,379	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (d)		203,379
		TOTAL SHORT-TERM INVESTMENTS (COST $203,379)		203,379
		TOTAL INVESTMENTS — 92.3% (Cost $83,120,363)		62,392,617
		Other Assets and Liabilities (net) — 7.7%		5,176,873
		TOTAL NET ASSETS — 100.0%		$67,569,490

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 May 31, 2023
Sberbank of Russia PJSC	03/03/21	$	2,059,161	0.0%	$	15,968

GMO Emerging Markets Select Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
43	Mini MSCI Emerging Markets		June 2023	$	2,057,120	$	(104,914	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2023, 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) The security is restricted as to resale.

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

(d) The rate disclosed is the 7 day net yield as of May 31, 2023.

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

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.6%
		Australia — 3.7%
	74,692	BHP Group Ltd		2,043,805
	23,279	BlueScope Steel Ltd		280,748
	638,603	Brambles Ltd		5,701,714
	94,442	Fortescue Metals Group Ltd		1,182,552
	306,896	GrainCorp Ltd – Class A		1,522,305
	23,755	JB Hi-Fi Ltd		657,702
	89,611	Pact Group Holdings Ltd *		38,440
	380,151	Rio Tinto Ltd		26,490,459
	135,146	Super Retail Group Ltd		1,002,094
		Total Australia		38,919,819
		Belgium — 0.8%
	81,546	AGFA-Gevaert NV *		214,257
	8,848	Barco NV		229,718
	43,610	Bekaert SA		1,868,680
	21,473	KBC Group NV		1,410,758
	15,692	Melexis NV		1,433,612
	40,962	Proximus SADP		317,938
	29,335	Solvay SA		3,069,172
		Total Belgium		8,544,135
		Denmark — 0.1%
	9,627	Per Aarsleff Holding A/S		444,828
	6,605	Schouw & Co A/S		517,361
		Total Denmark		962,189
		Finland — 2.0%
	2,702,274	Nokia Oyj		10,931,850
	318,150	UPM-Kymmene Oyj		9,564,176
		Total Finland		20,496,026
		France — 15.1%
	153,520	AXA SA		4,352,396
	455,372	Cie de Saint-Gobain		25,288,845
	158,037	Coface SA		2,192,318
	114,907	Derichebourg SA		603,942
	38,002	Elis SA		659,398
	65,167	Ipsen SA		7,555,684
	50,543	IPSOS		2,476,873
	59,766	Metropole Television SA		826,529
	190,148	Publicis Groupe SA		14,121,882
	186,485	Renault SA		6,263,580
	8,061	Rexel SA *		165,482
	287,593	Sanofi		29,342,244
	34,341	Societe BIC SA		2,050,530
	315,653	Societe Generale SA		7,348,549
	558,504	STMicroelectronics NV		24,261,414
	154,796	Television Francaise 1		1,076,292
	14,666	TotalEnergies SE (a)		829,934
	502,869	TotalEnergies SE (a)		28,377,293
		Total France		157,793,185

Shares		Description	Value ($)
		Germany — 3.2%
	42,052	Bayerische Motoren Werke AG		4,585,993
	59,665	Henkel AG & Co KGaA		4,286,659
	8,548	Hornbach Holding AG & Co KGaA		606,251
	31,872	HUGO BOSS AG		2,170,925
	5,326	Indus Holding AG		140,639
	105,680	Kloeckner & Co SE		1,005,647
	4,581	Krones AG		513,385
	26,019	Mercedes-Benz Group AG		1,945,012
	79,385	Merck KGaA		13,865,541
	193,082	ProSiebenSat.1 Media SE		1,569,670
	23,043	RTL Group SA *		899,237
	38,944	Salzgitter AG		1,268,630
	1,399	Suedzucker AG		24,078
	11,591	Talanx AG *		646,697
		Total Germany		33,528,364
		Hong Kong — 1.3%
	404,500	ASMPT Ltd		3,442,580
	66,000	BOC Hong Kong Holdings Ltd		195,865
	553,487	Champion (REIT)		200,665
	82,500	CK Hutchison Holdings Ltd		497,366
	202,800	Dah Sing Banking Group Ltd		149,075
	26,869	Dah Sing Financial Holdings Ltd		67,216
	1,107,707	Esprit Holdings Ltd *		76,392
	1,617,585	IGG Inc *		845,113
	286,401	Johnson Electric Holdings Ltd		350,914
	263,140	Kerry Logistics Network Ltd		305,878
	164,326	Luk Fook Holdings International Ltd		448,806
	1,009,331	Pacific Textiles Holdings Ltd		293,931
	1,161,023	Shun Tak Holdings Ltd *		175,136
	258,026	SmarTone Telecommunications Holdings Ltd		146,914
	287,500	Swire Pacific Ltd – Class A		1,919,594
	313,588	Television Broadcasts Ltd *		178,664
	832,000	VSTECS Holdings Ltd		422,439
	81,800	VTech Holdings Ltd		491,195
	6,062,515	WH Group Ltd		3,169,438
		Total Hong Kong		13,377,181
		Ireland — 0.8%
	548,234	Bank of Ireland Group Plc		5,180,672
	56,407	Kingspan Group Plc		3,755,108
		Total Ireland		8,935,780
		Italy — 2.2%
	119,656	Anima Holding SPA		417,358
	74,458	Banca IFIS SPA		1,118,658
	628,450	Banco BPM SPA		2,471,112
	807,855	BPER Banca		2,077,848
	992,022	Eni SPA		13,200,582
	74,493	Esprinet SPA		470,721
	1,265,259	MFE-MediaForEurope NV – Class A		600,513

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	38,100	Prada SpA		254,630
	2,362	Sesa SPA		273,339
	33,183	Unieuro SPA		363,307
	385,690	Unipol Gruppo SPA		1,931,954
		Total Italy		23,180,022
		Japan — 26.0%
	67,800	Advantest Corp		8,682,573
	63,520	AOKI Holdings Inc		375,901
	459,100	Bandai Namco Holdings Inc		10,751,231
	264,896	Brother Industries Ltd		3,838,203
	289,900	Canon Inc		7,185,721
	13,800	Canon Marketing Japan Inc		339,848
	41,400	Citizen Watch Co Ltd		253,765
	78,690	Daiwabo Holdings Co Ltd		1,456,231
	53,448	Doutor Nichires Holdings Co Ltd		774,445
	39,900	FUJIFILM Holdings Corp		2,438,458
	20,506	Fuyo General Lease Co Ltd		1,446,612
	16,036	Geo Holdings Corp		182,582
	17,453	Gunze Ltd		544,650
	46,800	Haseko Corp		541,835
	4,500	Horiba Ltd		246,297
	787,754	ITOCHU Corp		26,592,977
	16,200	Japan Petroleum Exploration Co Ltd		477,513
	1,222,804	Japan Tobacco Inc		26,662,653
	7,600	Kaga Electronics Co Ltd		278,324
	112,244	Kanematsu Corp		1,459,041
	683,596	KDDI Corp		21,076,296
	41,693	Komeri Co Ltd		879,402
	1,789,900	Marubeni Corp		25,508,318
	58,357	MCJ Co Ltd		394,918
	1,275,100	Mitsubishi Motors Corp		4,177,601
	379,100	Mitsubishi UFJ Financial Group Inc		2,520,934
	812,438	Mitsui & Co Ltd		25,599,928
	39,684	Modec Inc *		372,392
	53,926	Nichias Corp		1,018,655
	263,395	Nippon Telegraph & Telephone Corp		7,483,239
	51,400	Niterra Co Ltd		949,476
	82,324	Press Kogyo Co Ltd		328,782
	37,219	Prima Meat Packers Ltd		576,586
	2,000	Rohm Co Ltd		168,781
	5,983	San-A Co Ltd		193,448
	443,200	Seiko Epson Corp		6,721,249
	50,795	Seiko Group Corp		957,096
	335,112	Sekisui Chemical Co Ltd		4,618,937
	944,600	Sekisui House Ltd		18,435,530
	7,300	Shimamura Co Ltd		659,932
	528,281	Sojitz Corp		10,562,601
	367,400	Sumitomo Corp		6,934,054
	426,000	Sumitomo Forestry Co Ltd		9,592,570
	20,638	T-Gaia Corp		244,418
	30,200	Tokyo Gas Co Ltd		643,410

Shares		Description	Value ($)
		Japan — continued
	101,975	Tokyu Construction Co Ltd		508,532
	12,428	Towa Pharmaceutical Co Ltd		156,513
	311,755	Toyota Tsusho Corp		13,693,834
	24,269	TPR Co Ltd		245,350
	40,169	Valor Holdings Co Ltd		548,472
	20,256	Warabeya Nichiyo Holdings Co Ltd		325,608
	440,700	Yamaha Motor Co Ltd		10,842,311
	14,900	Yokogawa Electric Corp		280,568
		Total Japan		271,748,601
		Netherlands — 6.2%
	629,119	ABN AMRO Bank NV CVA		9,191,233
	129,161	EXOR NV		10,726,228
	767,491	Koninklijke Ahold Delhaize NV		24,331,264
	404,223	Randstad NV		19,829,441
	4,297	Wolters Kluwer NV		490,821
		Total Netherlands		64,568,987
		Norway — 2.1%
	529,093	Elkem ASA *		1,273,728
	747,070	Equinor ASA		18,962,916
	183,405	Europris ASA		1,213,834
	38,577	Wallenius Wilhelmsen ASA		226,812
		Total Norway		21,677,290
		Portugal — 0.4%
	167,770	CTT – Correios de Portugal SA		583,558
	520,053	Navigator Co SA (The)		1,712,828
	336,099	REN – Redes Energeticas Nacionais SGPS SA		901,443
	1,443,999	Sonae SGPS SA		1,393,212
		Total Portugal		4,591,041
		Singapore — 3.8%
	796,825	DBS Group Holdings Ltd		17,840,968
	841,100	First Resources Ltd		938,081
	1,524,000	Keppel Corp Ltd		7,106,658
	204,100	Oversea-Chinese Banking Corp Ltd		1,850,180
	428,300	Sheng Siong Group Ltd		512,892
	176,900	Venture Corp Ltd		1,984,633
	653,739	Wilmar International Ltd		1,890,672
	882,722	Yangzijiang Financial Holding Ltd		218,227
	7,738,522	Yangzijiang Shipbuilding Holdings Ltd		7,037,838
		Total Singapore		39,380,149
		Spain — 5.8%
	110,848	Acerinox SA		1,134,201
	3,155,255	Banco Bilbao Vizcaya Argentaria SA		20,744,807
	20,165,586	Banco de Sabadell SA		20,028,389
	23,624	Ebro Foods SA		419,727
	548,860	Industria de Diseno Textil SA		18,362,525
		Total Spain		60,689,649

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Sweden — 0.7%
	58,693	Betsson AB *		13,251
	58,693	Betsson AB – Class B *		594,126
	26,559	Investor AB – A Shares		547,714
	963,791	SSAB AB – A Shares		6,180,747
	22,757	SSAB AB – B Shares		141,132
		Total Sweden		7,476,970
		Switzerland — 6.6%
	36,168	Ascom Holding AG (Registered)		380,246
	16,268	Cie Financiere Richemont SA – Class A (Registered)		2,590,117
	11,300	DKSH Holding AG		814,758
	209	Forbo Holding AG (Registered)		307,434
	6,365	Galenica AG		497,940
	8,220	Julius Baer Group Ltd		504,821
	50,911	Novartis AG (Registered)		4,879,652
	82,785	Novartis AG Sponsored ADR		7,968,056
	114,325	Roche Holding AG – Genusschein		36,413,526
	1,135	Swatch Group AG (The)		338,258
	10,851	u-blox Holding AG *		1,406,415
	289,197	UBS Group AG (Registered) *		5,513,636
	3,995	Zehnder Group AG – Class RG		311,474
	14,540	Zurich Insurance Group AG		6,807,364
		Total Switzerland		68,733,697
		United Kingdom — 14.8%
	939,059	3i Group Plc		22,908,306
	222,762	BAE Systems Plc		2,574,581
	2,366,602	Barratt Developments Plc		13,674,867
	173,355	Bellway Plc		4,883,468
	319,676	BP Plc Sponsored ADR		10,776,278
	778,128	British American Tobacco Plc		24,631,313
	1,927,611	BT Group Plc		3,521,240
	365,757	Burberry Group Plc		9,809,043
	1,605,790	Centrica Plc		2,354,136
	429,440	Coca-Cola HBC AG *		12,757,963
	83,864	Crest Nicholson Holdings Plc		253,277
	600,747	Ferrexpo Plc		689,642
	50,364	Galliford Try Holdings Plc		112,852
	345,636	GSK Plc		5,801,228
	103,137	Halfords Group Plc		260,361
	399,465	IG Group Holdings Plc		3,342,103
	829,605	Imperial Brands Plc		17,488,837
	464,035	Investec Plc		2,371,673
	139,004	J Sainsbury Plc		468,451
	107,082	Next Plc		8,472,016
	191,483	Persimmon Plc		2,866,332
	96,760	Plus500 Ltd		1,738,785
	284,708	Redrow Plc		1,707,239
	18,454	Spirent Communications Plc		41,044
	169,520	Vesuvius Plc		875,639
	75,324	WPP Plc		800,636
		Total United Kingdom		155,181,310

Shares / Par Value†		Description	Value ($)
		United States — 0.0%
	164,100	Samsonite International SA *		416,619
		TOTAL COMMON STOCKS (COST $1,064,777,625)		1,000,201,014
		PREFERRED STOCKS (b) — 1.9%
		Germany — 1.9%
	57,861	Bayerische Motoren Werke AG		5,956,849
	4,226	Draegerwerk AG & Co KGaA		196,783
	176,343	Henkel AG & Co KGaA		14,074,538
		Total Germany		20,228,170
		TOTAL PREFERRED STOCKS (COST $17,870,474)		20,228,170
		DEBT OBLIGATIONS — 0.1%
		United States — 0.1%
	1,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 07/31/24 (c)		1,000,074
		TOTAL DEBT OBLIGATIONS (COST $999,472)		1,000,074
		MUTUAL FUNDS — 6.6%
		United States — 6.6%
		Affiliated Issuers — 6.6%
	13,729,347	GMO U.S. Treasury Fund		68,646,735
		Total United States		68,646,735
		TOTAL MUTUAL FUNDS (COST $68,520,442)		68,646,735
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	1,564,843	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (d)		1,564,843
		TOTAL SHORT-TERM INVESTMENTS (COST $1,564,843)		1,564,843
		TOTAL INVESTMENTS — 104.3% (Cost $1,153,732,856)		1,091,640,836
		Other Assets and Liabilities (net) — (4.3)%		(45,337,921	)
		TOTAL NET ASSETS — 100.0%		$1,046,302,915

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
89	MSCI EAFE	June 2023	$	9,137,630	$	71,216

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2023, 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 May 31, 2023.

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

REIT - Real Estate Investment Trust

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

GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.3%
		Australia — 5.1%
	30,529	ANZ Group Holdings Ltd		454,106
	292,273	Aurizon Holdings Ltd		676,516
	211,322	BHP Group Ltd		5,782,424
	86,901	BlueScope Steel Ltd		1,048,038
	57,523	CSR Ltd		183,074
	21,122	Fortescue Metals Group Ltd		264,478
	7,445	Rio Tinto Ltd		518,798
		Total Australia		8,927,434
		Austria — 0.7%
	21,976	OMV AG		981,636
	11,138	Raiffeisen Bank International AG *		163,775
		Total Austria		1,145,411
		Belgium — 1.0%
	26,993	Ageas SA/NV		1,079,887
	8,249	Proximus SADP		64,027
	6,326	UCB SA		552,460
		Total Belgium		1,696,374
		Canada — 10.3%
	7,524	Bank of Montreal		627,577
	49,493	Bank of Nova Scotia (The)		2,391,007
	53,888	Canadian Imperial Bank of Commerce		2,220,725
	1,000	Canadian Tire Corp Ltd – Class A		120,118
	20,600	Canadian Western Bank		375,428
	23,100	CI Financial Corp		223,087
	300	Fairfax Financial Holdings Ltd		215,333
	34,500	Great-West Lifeco Inc		976,674
	5,600	iA Financial Corp Inc		356,915
	21,000	Magna International Inc		1,016,044
	117,000	Manulife Financial Corp		2,167,624
	5,700	Nutrien Ltd		300,305
	42,300	Parex Resources Inc		851,609
	54,500	Power Corp of Canada		1,410,777
	40,003	Sun Life Financial Inc		1,935,745
	20,800	Teck Resources Ltd – Class B *		811,928
	23,800	Tourmaline Oil Corp		994,954
	14,000	West Fraser Timber Co Ltd		944,781
		Total Canada		17,940,631
		Denmark — 1.4%
	461	AP Moller – Maersk A/S – Class A		775,521
	371	AP Moller – Maersk A/S – Class B		624,388
	10,987	Demant A/S *		418,279
	6,928	Pandora A/S		552,969
		Total Denmark		2,371,157

Shares		Description	Value ($)
		Finland — 2.7%
	399,728	Nokia Oyj		1,617,070
	130,930	Outokumpu Oyj		716,714
	95,102	Stora Enso Oyj – R Shares		1,206,492
	40,245	UPM-Kymmene Oyj		1,209,839
		Total Finland		4,750,115
		France — 12.6%
	6,495	APERAM SA		213,465
	11,267	ArcelorMittal SA		281,041
	72,701	AXA SA		2,061,123
	27,116	BNP Paribas SA		1,576,477
	36,871	Cie de Saint-Gobain		2,047,611
	31,079	Cie Generale des Etablissements Michelin SCA		886,849
	18,309	Credit Agricole SA		210,470
	3,663	Eiffage SA		391,182
	2,686	Ipsen SA		311,424
	41	Kering SA		21,921
	143,952	Orange SA		1,719,261
	39,431	Sanofi		4,023,026
	64,749	Societe Generale SA		1,507,387
	104,462	TotalEnergies SE		5,894,873
	97,775	Vivendi SE		868,637
		Total France		22,014,747
		Germany — 4.8%
	4,884	BASF SE		232,274
	21,059	Bayer AG (Registered)		1,175,309
	17,863	Bayerische Motoren Werke AG		1,948,055
	30,843	Fresenius SE & Co KGaA		845,780
	2,416	Henkel AG & Co KGaA		173,579
	235	Kloeckner & Co SE		2,236
	38,942	Mercedes-Benz Group AG		2,911,053
	74,475	ProSiebenSat.1 Media SE *		605,448
	3,334	SAP SE		437,173
		Total Germany		8,330,907
		Hong Kong — 3.3%
	223,500	CK Asset Holdings Ltd		1,204,701
	230,500	CK Hutchison Holdings Ltd		1,389,611
	66,000	Kerry Properties Ltd		144,122
	123,000	Sun Hung Kai Properties Ltd		1,567,095
	65,000	Swire Pacific Ltd – Class A		433,995
	73,800	Swire Properties Ltd		175,928
	44,000	Techtronic Industries Co Ltd		407,476
	1,800	VTech Holdings Ltd		10,808
	962,500	WH Group Ltd		503,188
		Total Hong Kong		5,836,924

GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		India — 0.0%
	11,360	ITC Ltd		61,172
		Ireland — 0.0%
	908	Kingspan Group Plc		60,447
		Israel — 0.5%
	125,363	Bank Leumi Le-Israel BM		879,148
		Italy — 3.2%
	72,648	Assicurazioni Generali SPA		1,380,093
	16,325	Banco BPM SPA		64,191
	144,910	Eni SPA		1,928,280
	43,476	Leonardo SPA		467,852
	635	Poste Italiane SPA		6,601
	95,713	Stellantis NV		1,458,517
	69,341	Unipol Gruppo SPA		347,335
		Total Italy		5,652,869
		Japan — 21.4%
	1,700	Advantest Corp		217,705
	146,600	Asahi Kasei Corp		994,231
	12,400	Bandai Namco Holdings Inc		290,384
	3,100	Bridgestone Corp		126,027
	16,500	Brother Industries Ltd		239,076
	49,100	Daiwa House Industry Co Ltd		1,280,480
	44,900	ENEOS Holdings Inc		149,125
	5,000	Hitachi Ltd		287,762
	97,870	Honda Motor Co Ltd Sponsored ADR		2,780,487
	35,800	Idemitsu Kosan Co Ltd		694,180
	113,900	Inpex Corp		1,196,800
	20,700	Isuzu Motors Ltd		240,095
	83,500	ITOCHU Corp		2,818,791
	101,100	Japan Tobacco Inc		2,204,437
	11,700	Kao Corp		407,730
	71,300	KDDI Corp		2,198,287
	68,300	Kirin Holdings Co Ltd		1,019,380
	23,400	Marubeni Corp		333,479
	73,000	Mitsubishi Corp		2,918,540
	100,600	Mitsubishi Electric Corp		1,309,463
	165,300	Mitsubishi UFJ Financial Group Inc		1,099,210
	72,400	Mitsui & Co Ltd		2,281,324
	133,400	Mizuho Financial Group Inc		1,960,964
	55,800	Nippon Telegraph & Telephone Corp		1,585,318
	2,000	Nippon Yusen KK		42,564
	27,500	Otsuka Holdings Co Ltd		1,020,297
	166,500	Panasonic Holdings Corp		1,739,040
	35,200	Seiko Epson Corp		533,818
	8,000	Sekisui Chemical Co Ltd		110,266
	237,700	Sumitomo Chemical Co Ltd		707,808
	35,900	Sumitomo Corp		677,552
	44,600	Sumitomo Forestry Co Ltd		1,004,293

Shares		Description	Value ($)
		Japan — continued
	13,000	Sumitomo Mitsui Financial Group Inc		527,561
	18,000	Tosoh Corp		206,782
	19,900	Toyota Tsusho Corp		874,107
	48,300	Yamaha Motor Co Ltd		1,188,300
	1,300	Yokogawa Electric Corp		24,479
		Total Japan		37,290,142
		Netherlands — 4.3%
	115,093	Aegon NV		505,739
	7,136	ASR Nederland NV		304,113
	2,955	EXOR NV *		245,399
	12,502	ING Groep NV		154,038
	69,263	Koninklijke Ahold Delhaize NV		2,195,799
	64,892	Koninklijke Philips NV *		1,225,978
	33,532	NN Group NV		1,209,741
	17,575	Randstad NV		862,154
	31,853	Signify NV		812,843
		Total Netherlands		7,515,804
		Norway — 1.5%
	18,321	Aker BP ASA		397,214
	67,068	Equinor ASA		1,702,391
	30,008	Orkla ASA		216,007
	5,647	Yara International ASA		211,022
		Total Norway		2,526,634
		Portugal — 0.0%
	4,483	Sonae SGPS SA		4,325
		Russia — 0.0%
	9,800	Surgutneftegas PJSC (a)		29
		Singapore — 0.3%
	49,900	Oversea-Chinese Banking Corp Ltd		452,347
		South Korea — 0.1%
	3,207	KT&G Corp		201,998
		Spain — 4.1%
	41,081	Acerinox SA		420,342
	398,260	Banco Bilbao Vizcaya Argentaria SA		2,618,434
	834,888	Banco Santander SA		2,727,604
	102,503	Repsol SA		1,389,165
		Total Spain		7,155,545
		Sweden — 1.5%
	98,536	Fabege AB		705,280
	19,470	SSAB AB – A Shares		124,860
	33,258	SSAB AB – B Shares		206,256
	4,301	Svenska Handelsbanken AB – A Shares		34,052
	285,958	Telefonaktiebolaget LM Ericsson – B Shares		1,478,645
		Total Sweden		2,549,093

GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Switzerland — 7.0%
	28,615	Adecco Group AG (Registered) *		855,055
	446	DKSH Holding AG		32,158
	9,750	Logitech International SA (Registered)		622,440
	1,484	Novartis AG (Registered)		142,237
	29,422	Novartis AG Sponsored ADR		2,831,868
	1,268	Roche Holding AG		429,242
	18,381	Roche Holding AG – Genusschein		5,854,511
	747	Swiss Life Holding AG (Registered)		432,192
	2,157	Zurich Insurance Group AG		1,009,868
		Total Switzerland		12,209,571
		Thailand — 0.0%
	47,000	Sansiri Pcl NVDR		2,349
		United Kingdom — 11.5%
	92,029	3i Group Plc		2,245,044
	28,216	Aviva Plc		138,520
	256,054	Barclays Plc Sponsored ADR		1,925,526
	173,790	Barratt Developments Plc		1,004,206
	3,830	British American Tobacco Plc		121,237
	83,979	British American Tobacco Plc Sponsored ADR		2,662,974
	750,157	BT Group Plc		1,370,340
	42,677	GSK Plc Sponsored ADR		1,433,947
	94,002	HSBC Holdings Plc Sponsored ADR		3,461,153
	710,843	ITV Plc		617,823
	128,788	J Sainsbury Plc		434,022
	77,681	Kingfisher Plc		223,441
	745,063	Lloyds Banking Group Plc		410,506
	42,079	Rio Tinto Plc Sponsored ADR		2,484,765
	161,312	Vodafone Group Plc Sponsored ADR		1,529,238
		Total United Kingdom		20,062,742
		TOTAL COMMON STOCKS (COST $173,683,602)		169,637,915
		PREFERRED STOCKS (b) — 0.4%
		Germany — 0.4%
	3,193	Bayerische Motoren Werke AG		328,723
	4,089	Henkel AG & Co KGaA		326,357
		Total Germany		655,080
		TOTAL PREFERRED STOCKS (COST $628,410)		655,080

Shares		Description	Value ($)
		MUTUAL FUNDS — 2.1%
		United States — 2.1%
		Affiliated Issuers — 2.1%
	756,484	GMO U.S. Treasury Fund		3,782,420
		Total United States		3,782,420
		TOTAL MUTUAL FUNDS (COST $3,779,571)		3,782,420
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	520,550	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (c)		520,550
		TOTAL SHORT-TERM INVESTMENTS (COST $520,550)		520,550
		TOTAL INVESTMENTS — 100.1% (Cost $178,612,133)		174,595,965
		Other Assets and Liabilities (net) — (0.1)%		(206,334	)
		TOTAL NET ASSETS — 100.0%		$174,389,631

Notes to Schedule of Investments:

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of May 31, 2023.

Portfolio Abbreviations:

ADR - American Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.0%
		Automobiles & Components — 3.2%
	167,100	Stanley Electric Co Ltd		3,361,779
		Banks — 6.3%
	95,300	Sumitomo Mitsui Financial Group Inc		3,867,432
	81,700	Sumitomo Mitsui Trust Holdings Inc		2,878,641
		Total Banks		6,746,073
		Capital Goods — 22.6%
	85,700	EXEO Group Inc		1,630,799
	171,500	Fuji Corp		2,792,164
	153,100	Kanematsu Corp		1,990,121
	128,100	Kyudenko Corp		3,387,215
	357,000	Mitsubishi Electric Corp		4,646,902
	441,700	Penta-Ocean Construction Co Ltd		2,226,571
	79,200	Takuma Co Ltd		806,242
	120,500	THK Co Ltd		2,536,583
	65,500	Toyota Industries Corp		4,039,094
		Total Capital Goods		24,055,691
		Commercial & Professional Services — 4.4%
	37,700	Secom Co Ltd		2,469,031
	102,500	Toppan Inc		2,189,651
		Total Commercial & Professional Services		4,658,682
		Consumer Discretionary Distribution & Retail — 1.9%
	239,900	K’s Holdings Corp		2,067,085
		Consumer Durables & Apparel — 1.9%
	177,200	Haseko Corp		2,051,563
		Financial Services — 3.9%
	157,800	Credit Saison Co Ltd		2,165,520
	55,900	Zenkoku Hosho Co Ltd		1,997,074
		Total Financial Services		4,162,594
		Food, Beverage & Tobacco — 9.2%
	229,100	Kirin Holdings Co Ltd		3,419,327
	72,500	Morinaga & Co Ltd		2,306,697
	149,600	NH Foods Ltd		4,076,690
		Total Food, Beverage & Tobacco		9,802,714
		Health Care Equipment & Services — 3.1%
	171,400	H.U. Group Holdings Inc		3,238,492
		Insurance — 6.6%
	66,000	MS&AD Insurance Group Holdings Inc		2,261,565
	348,300	T&D Holdings Inc		4,729,529
		Total Insurance		6,991,094

Shares		Description	Value ($)
		Materials — 9.4%
	126,500	Denka Co Ltd		2,320,413
	96,000	Maruichi Steel Tube Ltd		2,108,469
	227,400	Teijin Ltd		2,100,922
	414,400	Tokai Carbon Co Ltd		3,424,725
		Total Materials		9,954,529
		Semiconductors & Semiconductor Equipment — 6.7%
	280,900	SUMCO Corp		3,998,422
	72,800	Tokyo Seimitsu Co Ltd		3,157,265
		Total Semiconductors & Semiconductor Equipment		7,155,687
		Software & Services — 3.8%
	87,100	NEC Corp		4,087,666
		Technology Hardware & Equipment — 9.9%
	123,000	Amano Corp		2,552,738
	179,000	Daiwabo Holdings Co Ltd		3,312,561
	77,100	FUJIFILM Holdings Corp		4,711,907
		Total Technology Hardware & Equipment		10,577,206
		Telecommunication Services — 2.5%
	85,200	KDDI Corp		2,626,844
		Transportation — 2.6%
	80,500	Sankyu Inc		2,720,650
		TOTAL COMMON STOCKS (COST $114,252,926)		104,258,349
		SHORT-TERM INVESTMENTS — 1.9%
		Money Market Funds — 1.9%
	2,007,414	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (a)		2,007,414
		TOTAL SHORT-TERM INVESTMENTS (COST $2,007,414)		2,007,414
		TOTAL INVESTMENTS — 99.9% (Cost $116,260,340)		106,265,763
		Other Assets and Liabilities (net) — 0.1%		132,866
		TOTAL NET ASSETS — 100.0%		$106,398,629

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2023.

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.3%
		Brazil — 0.2%
	9,602	Vale SA		120,770
		Canada — 4.1%
	9,933	Brookfield Asset Management Ltd – Class A		303,155
	41,367	Brookfield Corp – Class A		1,242,665
	25,173	Nutrien Ltd		1,326,617
		Total Canada		2,872,437
		China — 3.0%
	138,407	Alibaba Group Holding Ltd *		1,377,478
	17,023	Tencent Holdings Ltd		673,673
		Total China		2,051,151
		Finland — 1.6%
	28,731	Neste Oyj		1,085,495
		France — 9.1%
	2,200	Kering SA		1,176,256
	2,564	LVMH Moet Hennessy Louis Vuitton SE		2,241,776
	19,589	Safran SA		2,845,198
		Total France		6,263,230
		Germany — 2.4%
	13,059	Beiersdorf AG		1,666,454
		Hong Kong — 1.4%
	156,502	Galaxy Entertainment Group Ltd *		971,024
		Ireland — 3.3%
	80,922	Ryanair Holdings Plc *		1,429,709
	7,867	Ryanair Holdings Plc Sponsored ADR *		826,664
		Total Ireland		2,256,373
		Mexico — 7.0%
	289,770	Fomento Economico Mexicano SAB de CV		2,926,203
	433,845	Grupo Mexico SAB de CV – Series B		1,935,122
		Total Mexico		4,861,325
		Russia — 0.0%
	33,541	LUKOIL PJSC (a)		22,909
	72,920	Novatek PJSC (a)		11,589
		Total Russia		34,498
		Spain — 5.9%
	30,477	Amadeus IT Group SA *		2,187,182
	55,696	Industria de Diseno Textil SA		1,863,352
		Total Spain		4,050,534

Shares		Description	Value ($)
		United Kingdom — 10.4%
	24,526	Berkeley Group Holdings Plc (The)		1,200,441
	126,321	Compass Group Plc		3,461,723
	48,923	Persimmon Plc		732,334
	66,335	Shell Plc		1,823,746
		Total United Kingdom		7,218,244
		United States — 48.9%
	13,909	Alphabet, Inc. – Class A *		1,708,999
	13,272	American Express Co.		2,104,408
	953	Booking Holdings, Inc. *		2,390,858
	42,893	BorgWarner, Inc.		1,901,447
	12,176	CarMax, Inc. *		879,229
	10,239	Chevron Corp.		1,542,198
	31,294	Darling Ingredients, Inc. *		1,983,414
	19,237	EOG Resources, Inc.		2,063,938
	21,337	Green Plains, Inc. *		618,773
	12,219	Hilton Worldwide Holdings, Inc.		1,663,250
	20,110	Intercontinental Exchange, Inc.		2,130,654
	2,853	Lam Research Corp.		1,759,445
	31,684	Las Vegas Sands Corp. *		1,746,739
	1,357	Markel Group, Inc. *		1,784,089
	6,059	Meta Platforms, Inc. – Class A *		1,603,938
	24,499	Micron Technology, Inc.		1,670,832
	13,296	Otis Worldwide Corp.		1,057,165
	23,003	Raytheon Technologies Corp.		2,119,496
	37,223	US Bancorp		1,112,968
	48,219	Wells Fargo & Co.		1,919,598
		Total United States		33,761,438
		TOTAL COMMON STOCKS (COST $55,444,580)		67,212,973
		PREFERRED STOCKS (b) — 1.6%
		Brazil — 1.6%
	261,075	Bradespar SA		1,095,596
		TOTAL PREFERRED STOCKS (COST $1,172,269)		1,095,596
		MUTUAL FUNDS — 0.8%
		United States — 0.8%
		Affiliated Issuers — 0.8%
	116,406	GMO U.S. Treasury Fund		582,028
		Total United States		582,028
		TOTAL MUTUAL FUNDS (COST $580,863)		582,028

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	136,008	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (c)		136,008
		TOTAL SHORT-TERM INVESTMENTS (COST $136,008)		136,008
		TOTAL INVESTMENTS — 99.9% (Cost $57,333,720)		69,026,605
		Other Assets and Liabilities (net) — 0.1%		61,633
		TOTAL NET ASSETS — 100.0%		$69,088,238

Notes to Schedule of Investments:

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of May 31, 2023.

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)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.5%
		Banks — 3.5%
	3,868,351	US Bancorp		115,663,695
	3,634,802	Wells Fargo & Co.		144,701,468
		Total Banks		260,365,163
		Capital Goods — 5.5%
	480,068	Knorr-Bremse AG		32,936,818
	1,698,730	Otis Worldwide Corp.		135,066,022
	1,642,151	Safran SA		238,513,686
		Total Capital Goods		406,516,526
		Consumer Discretionary Distribution & Retail — 7.7%
	7,678,765	Alibaba Group Holding Ltd *		76,421,923
	2,583,889	Amazon.com, Inc. *		311,565,336
	2,378,341	TJX Cos., Inc. (The)		182,632,805
		Total Consumer Discretionary Distribution & Retail		570,620,064
		Consumer Durables & Apparel — 1.4%
	120,331	LVMH Moet Hennessy Louis Vuitton SE		105,208,738
		Consumer Services — 3.7%
	817,054	Amadeus IT Group SA*		58,635,880
	7,878,697	Compass Group Plc		215,909,244
		Total Consumer Services		274,545,124
		Financial Services — 2.8%
	428,212	American Express Co.		67,897,295
	641,249	Visa, Inc. – Class A		141,735,266
		Total Financial Services		209,632,561
		Food, Beverage & Tobacco — 4.8%
	2,926,465	Coca-Cola Co. (The)		174,592,902
	383,637	Constellation Brands, Inc. – Class A		93,212,282
	754,097	Nestle SA (Registered)		89,387,808
		Total Food, Beverage & Tobacco		357,192,992
		Health Care Equipment & Services — 13.2%
	906,275	Abbott Laboratories		92,440,050
	271,353	Cigna Group (The)		67,135,446
	369,173	Elevance Health, Inc.		165,323,053
	470,104	Intuitive Surgical, Inc.*		144,716,815
	1,285,145	Medtronic Plc		106,358,600
	806,880	Quest Diagnostics, Inc.		107,032,632
	614,038	UnitedHealth Group, Inc.		299,183,875
		Total Health Care Equipment & Services		982,190,471
		Household & Personal Products — 2.0%
	2,977,761	Unilever Plc		148,992,230

Shares		Description	Value ($)
		Media & Entertainment — 7.5%
	2,151,547	Alphabet, Inc. – Class A*		264,360,580
	1,125,475	Meta Platforms, Inc. – Class A*		297,935,742
		Total Media & Entertainment		562,296,322
		Pharmaceuticals, Biotechnology & Life Sciences — 9.7%
	431,871	Eli Lilly & Co.		185,471,320
	1,572,089	Johnson & Johnson		243,768,120
	1,511,540	Merck & Co., Inc.		166,889,132
	403,768	Roche Holding AG – Genusschein		128,603,686
		Total Pharmaceuticals, Biotechnology & Life Sciences		724,732,258
		Semiconductors & Semiconductor Equipment — 11.3%
	317,908	KLA Corp.		140,830,065
	426,262	Lam Research Corp.		262,875,776
	12,930,790	Taiwan Semiconductor Manufacturing Co Ltd		234,019,262
	1,175,016	Texas Instruments, Inc.		204,311,782
		Total Semiconductors & Semiconductor Equipment		842,036,885
		Software & Services — 21.4%
	748,372	Accenture Plc – Class A		228,941,962
	385,174	Adobe, Inc.*		160,921,846
	1,727,925	Microsoft Corp.		567,433,291
	2,393,632	Oracle Corp.		253,581,374
	754,916	salesforce.com, Inc.*		168,633,136
	1,667,994	SAP SE		218,716,910
		Total Software & Services		1,598,228,519
		Technology Hardware & Equipment — 4.0%
	1,671,147	Apple, Inc.		296,210,806
		TOTAL COMMON STOCKS (COST $4,181,292,650)		7,338,768,659
		MUTUAL FUNDS — 1.7%
		Affiliated Issuers — 1.7%
	25,483,811	GMO U.S. Treasury Fund		127,419,053
		TOTAL MUTUAL FUNDS (COST $127,369,235)		127,419,053

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	361,268	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (a)		361,268
		TOTAL SHORT-TERM INVESTMENTS (COST $361,268)		361,268
		TOTAL INVESTMENTS — 100.2% (Cost $4,309,023,153)		7,466,548,980
		Other Assets and Liabilities (net) — (0.2)%		(17,675,123	)
		TOTAL NET ASSETS — 100.0%		$7,448,873,857

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2023.

GMO Resource Transition Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.6%
		Argentina — 1.8%
	839,000	Adecoagro SA		7,332,860
		Australia — 0.5%
	1,992,788	Jupiter Mines Ltd		272,204
	1,985,560	Perenti Ltd *		1,518,636
	578,245	Sunrise Energy Metals Ltd *		413,534
		Total Australia		2,204,374
		Brazil — 5.9%
	485,800	Sao Martinho SA		3,463,502
	223,960	SLC Agricola SA		1,524,321
	821,500	Suzano SA		7,251,054
	937,300	Vale SA		11,788,996
		Total Brazil		24,027,873
		Canada — 13.1%
	273,200	Anaergia Inc *		158,989
	155,200	Canadian Solar Inc *		6,487,360
	240,200	Enerflex Ltd		1,342,997
	574,900	First Quantum Minerals Ltd		12,044,314
	520,000	Greenlane Renewables Inc *		103,425
	2,826,600	Ivanhoe Mines Ltd – Class A *		20,697,167
	531,300	Largo Inc *		1,992,130
	691,300	Li-Cycle Holdings Corp *		3,262,936
	88,200	Teck Resources Ltd – Class B (a)		3,445,974
	89,300	Teck Resources Ltd – Class B * (a)		3,485,825
		Total Canada		53,021,117
		China — 1.1%
	3,340,000	China High Speed Transmission Equipment Group Co Ltd *		1,117,261
	1,858,000	China Water Affairs Group Ltd		1,370,831
	2,557,200	Xinjiang Goldwind Science & Technology Co Ltd – Class H		1,855,180
		Total China		4,343,272
		Denmark — 1.7%
	235,310	Vestas Wind Systems A/S *		6,702,239
		Finland — 0.8%
	96,778	Kemira Oyj		1,538,221
	40,894	Neste Oyj		1,545,030
		Total Finland		3,083,251
		France — 3.4%
	25,995	Eramet SA		2,261,934
	165,040	Technip Energies NV		3,275,836
	274,877	Veolia Environnement SA		8,115,226
		Total France		13,652,996

Shares		Description	Value ($)
		Israel — 0.8%
	616,635	ICL Group Ltd		3,357,581
		Italy — 0.2%
	80,090	Tenaris SA		994,207
		Japan — 1.5%
	62,300	Ebara Corp		2,779,935
	210,600	Mitsubishi Materials Corp		3,503,788
		Total Japan		6,283,723
		Mexico — 3.1%
	2,810,000	Grupo Mexico SAB de CV – Series B		12,533,721
		Norway — 1.4%
	424,782	Austevoll Seafood ASA		3,375,557
	85,805	Subsea 7 SA		869,778
	106,675	TGS ASA		1,466,192
		Total Norway		5,711,527
		South Africa — 4.3%
	324,007	African Rainbow Minerals Ltd		3,385,682
	27,180	Anglo American Platinum Ltd		1,563,569
	1,054,397	Impala Platinum Holdings Ltd		8,465,772
	2,374,057	Sibanye Stillwater Ltd		4,194,660
		Total South Africa		17,609,683
		Sweden — 0.7%
	93,993	Boliden AB		2,871,651
		United Kingdom — 13.4%
	938,814	Anglo American Plc		25,862,712
	1,420,802	Ferrexpo Plc		1,631,044
	5,216,843	Glencore Plc		26,679,723
		Total United Kingdom		54,173,479
		United States — 35.9%
	319,200	Aemetis, Inc. *		1,522,584
	69,900	AGCO Corp.		7,708,572
	115,400	Alcoa Corp.		3,660,488
	378,046	Ameresco, Inc. – Class A *		16,286,222
	1,421,420	Clean Energy Fuels Corp. *		5,714,108
	55,100	Corteva, Inc.		2,947,299
	449,400	Darling Ingredients, Inc. *		28,482,972
	10,000	Deere & Co.		3,459,800
	193,900	Freeport-McMoRan, Inc.		6,658,526
	1,359,766	GrafTech International Ltd.		5,833,396
	519,700	Green Plains, Inc. *		15,071,300
	389,200	Livent Corp. *		8,971,060
	229,200	Mosaic Co. (The)		7,325,232
	59,600	PotlatchDeltic Corp. (REIT)		2,773,188
	38,900	SolarEdge Technologies, Inc. *		11,079,887

GMO Resource Transition Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	1,029,146	Sunrun, Inc. *		18,154,136
		Total United States		145,648,770
		TOTAL COMMON STOCKS (COST $431,217,270)		363,552,324
		PREFERRED STOCKS (b) — 8.2%
		Brazil — 6.0%
	5,816,165	Bradespar SA		24,407,418
		Chile — 2.2%
	135,600	Sociedad Quimica y Minera de Chile SA Sponsored ADR		8,701,452
		TOTAL PREFERRED STOCKS (COST $42,250,734)		33,108,870
		MUTUAL FUNDS — 1.6%
		United States — 1.6%
		Affiliated Issuers — 1.6%
	1,333,597	GMO U.S. Treasury Fund		6,667,984
		Total United States		6,667,984
		TOTAL MUTUAL FUNDS (COST $6,663,123)		6,667,984
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	291,877	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (c)		291,877
		TOTAL SHORT-TERM INVESTMENTS (COST $291,877)		291,877
		TOTAL INVESTMENTS — 99.5% (Cost $480,423,004)		403,621,055
		Other Assets and Liabilities (net) — 0.5%		2,031,387
		TOTAL NET ASSETS — 100.0%		$405,652,442

Notes to Schedule of Investments:

* 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) The rate disclosed is the 7 day net yield as of May 31, 2023.

Portfolio Abbreviations:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 87.6%
		Argentina — 1.0%
	1,943,775	Adecoagro SA (a)		16,988,594
		Australia — 1.2%
	12,276,068	Beach Energy Ltd		11,087,298
	735,000	Clean TeQ Water Ltd *		121,612
	4,776,947	Jupiter Mines Ltd		652,505
	5,153,570	Perenti Ltd *		3,941,657
	1,938,657	Sunrise Energy Metals Ltd *		1,386,438
	120,540	Woodside Energy Group Ltd		2,667,191
		Total Australia		19,856,701
		Austria — 1.3%
	476,584	OMV AG (a)		21,288,308
		Brazil — 3.1%
	1,411,600	Enauta Participacoes SA		3,553,137
	1,262,678	Sao Martinho SA		9,002,240
	591,382	SLC Agricola SA		4,025,077
	2,132,100	Suzano SA		18,819,198
	1,215,568	Vale SA		15,288,943
		Total Brazil		50,688,595
		Canada — 9.7%
	654,900	Anaergia Inc * (a)		381,121
	545,800	Birchcliff Energy Ltd (a)		3,079,800
	402,760	Canadian Solar Inc * (a)		16,835,368
	624,900	Crescent Point Energy Corp		3,943,119
	575,852	Enerflex Ltd (a)		3,219,681
	237,400	Enerplus Corp (a)		3,280,868
	1,492,100	First Quantum Minerals Ltd		31,259,907
	1,246,100	Greenlane Renewables Inc * (a)		247,843
	7,233,000	Ivanhoe Mines Ltd – Class A * (a)		52,962,077
	1,273,509	Largo Inc * (a)		4,775,072
	1,740,100	Li-Cycle Holdings Corp * (a)		8,213,272
	409,165	Spartan Delta Corp (a)		4,488,005
	227,800	Teck Resources Ltd – Class B (b)		8,900,146
	230,700	Teck Resources Ltd – Class B * (b)		9,005,372
	734,400	Vermilion Energy Inc		7,982,928
	354,000	Whitecap Resources Inc (a)		2,422,586
		Total Canada		160,997,165
		China — 1.7%
	8,006,000	China High Speed Transmission Equipment Group Co Ltd * (a)		2,678,081
	4,454,000	China Water Affairs Group Ltd (a)		3,286,158
	2,516,300	Henan Shenhuo Coal & Power Co Ltd – Class A		4,535,493
	3,060,544	Inner Mongolia ERDOS Resources Co Ltd – Class A		5,965,898
	4,999,845	Western Mining Co Ltd – Class A		7,224,660
	6,569,600	Xinjiang Goldwind Science & Technology Co Ltd – Class H		4,766,070
		Total China		28,456,360

Shares		Description	Value ($)
		Denmark — 1.0%
	610,752	Vestas Wind Systems A/S *		17,395,801
		Finland — 0.5%
	235,342	Kemira Oyj		3,740,603
	98,029	Neste Oyj		3,703,666
		Total Finland		7,444,269
		France — 2.1%
	67,171	Eramet SA (a)		5,844,830
	426,467	Technip Energies NV		8,464,834
	706,160	Veolia Environnement SA		20,848,044
		Total France		35,157,708
		Hungary — 1.0%
	1,970,591	MOL Hungarian Oil & Gas Plc		16,043,670
		India — 1.5%
	2,021,714	Oil India Ltd		6,297,162
	5,415,876	Vedanta Ltd		18,191,509
		Total India		24,488,671
		Israel — 1.0%
	63,210	Delek Group Ltd		7,199,076
	1,578,186	ICL Group Ltd		8,593,233
		Total Israel		15,792,309
		Italy — 1.9%
	2,135,332	Eni SPA		28,414,315
	201,723	Tenaris SA		2,504,112
		Total Italy		30,918,427
		Japan — 1.0%
	164,000	Ebara Corp		7,317,966
	546,600	Mitsubishi Materials Corp		9,093,878
		Total Japan		16,411,844
		Mexico — 1.9%
	7,200,140	Grupo Mexico SAB de CV – Series B		32,115,498
		Norway — 2.7%
	1,069,161	Austevoll Seafood ASA (a)		8,496,156
	4,898,521	DNO ASA (a)		4,369,845
	1,031,341	Equinor ASA		26,178,581
	211,818	Subsea 7 SA		2,147,131
	275,650	TGS ASA		3,788,664
		Total Norway		44,980,377
		Pakistan — 0.0%
	459,459	Pakistan Oilfields Ltd		690,049
		Portugal — 3.7%
	5,880,547	Galp Energia SGPS SA		62,274,376

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Russia — 0.1%
	3,574,704	Gazprom Neft PJSC (c)		226,011
	14,145,410	Gazprom PJSC (c)		282,422
	248,399	LUKOIL PJSC (c)		169,661
	232,917	MMC Norilsk Nickel PJSC (c)		416,194
	9	MMC Norilsk Nickel PJSC ADR * (c)		2
	338,098	PhosAgro PJSC (c)		319,110
	6,533	PhosAgro PJSC GDR * (c) (d)		2,063
	2	PhosAgro PJSC GDR (Registered) * (c)		1
	601,778	Ros Agro Plc GDR (Registered) * (c)		58,237
	3,476,399	Tatneft PJSC (c)		188,847
		Total Russia		1,662,548
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd * (a) (c)		—
		South Africa — 2.7%
	850,472	African Rainbow Minerals Ltd		8,886,931
	66,382	Anglo American Platinum Ltd (a)		3,818,721
	2,699,303	Impala Platinum Holdings Ltd		21,672,751
	6,098,959	Sibanye Stillwater Ltd		10,776,094
		Total South Africa		45,154,497
		Spain — 1.9%
	2,372,190	Repsol SA		32,148,949
		Sweden — 0.4%
	240,204	Boliden AB		7,338,652
		Turkey — 0.3%
	1,916,313	Koza Anadolu Metal Madencilik Isletmeleri AS *		4,177,858
		Ukraine — 0.1%
	501,341	Kernel Holding SA *		1,931,265
		United Kingdom — 13.8%
	1,797,474	Anglo American Plc		49,517,318
	9,488,162	BP Plc		53,304,699
	3,520,763	Ferrexpo Plc		4,041,744
	12,787,126	Glencore Plc		65,395,294
	1,307,747	Harbour Energy Plc		3,654,697
	760,605	Serica Energy Plc		2,047,302
	1,867,895	Shell Plc		51,353,972
		Total United Kingdom		229,315,026
		United States — 32.0%
	765,224	Aemetis, Inc. * (a)		3,650,118
	179,100	AGCO Corp.		19,751,148
	151,100	Alcoa Corp.		4,792,892
	925,575	Ameresco, Inc. – Class A *		39,873,771
	159,100	California Resources Corp.		5,972,614

Shares		Description	Value ($)
		United States — continued
	3,689,313	Clean Energy Fuels Corp. *		14,831,038
	140,800	Corteva, Inc.		7,531,392
	1,152,100	Darling Ingredients, Inc. *		73,020,098
	25,400	Deere & Co.		8,787,892
	503,282	Freeport-McMoRan, Inc.		17,282,704
	3,485,457	GrafTech International Ltd. (a)		14,952,611
	1,332,793	Green Plains, Inc. *		38,650,997
	516,000	Hess Corp.		65,361,720
	14,493,575	Kosmos Energy Ltd. *		86,381,707
	999,846	Livent Corp. * (a)		23,046,450
	219,900	Marathon Oil Corp.		4,872,984
	586,921	Mosaic Co. (The)		18,757,995
	154,100	PotlatchDeltic Corp. (REIT)		7,170,273
	101,024	SolarEdge Technologies, Inc. *		28,774,666
	2,671,117	Sunrun, Inc. * (a)		47,118,504
	531,100	W&T Offshore, Inc. *		2,055,357
		Total United States		532,636,931
		TOTAL COMMON STOCKS (COST $1,652,101,617)		1,456,354,448
		PREFERRED STOCKS (e) — 8.7%
		Brazil — 7.3%
	15,314,626	Bradespar SA		64,267,516
	11,165,981	Petroleo Brasileiro SA		57,488,306
		Total Brazil		121,755,822
		Chile — 1.4%
	347,095	Sociedad Quimica y Minera de Chile SA Sponsored ADR		22,273,086
		Russia — 0.0%
	20,237,584	Surgutneftegas PJSC (c)		78,320
	7,494,797	Tatneft PJSC (c)		408,147
		Total Russia		486,467
		TOTAL PREFERRED STOCKS (COST $204,620,697)		144,515,375
		MUTUAL FUNDS — 2.8%
		United States — 2.8%
		Affiliated Issuers — 2.8%
	9,236,358	GMO U.S. Treasury Fund		46,181,789
		Total United States		46,181,789
		TOTAL MUTUAL FUNDS (COST $46,159,507)		46,181,789

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	2,141,619	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (f)		2,141,619
		TOTAL SHORT-TERM INVESTMENTS (COST $2,141,619)		2,141,619
		TOTAL INVESTMENTS — 99.2% (Cost $1,905,023,440)		1,649,193,231
		Other Assets and Liabilities (net) — 0.8%		13,334,928
		TOTAL NET ASSETS — 100.0%		$1,662,528,159

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 May 31, 2023
PhosAgro PJSC GDR	08/26/16	$	93,496	0.0%	$	2,063

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) The rate disclosed is the 7 day net yield as of May 31, 2023.

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)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.7%
		Automobiles & Components — 5.7%
	18,427	Fox Factory Holding Corp.*		1,638,529
	74,805	Gentex Corp.		1,964,379
		Total Automobiles & Components		3,602,908
		Capital Goods — 23.2%
	20,381	A O Smith Corp.		1,303,161
	14,839	AAON, Inc.		1,285,206
	12,614	Allegion Plc		1,321,190
	12,091	Curtiss-Wright Corp.		1,911,104
	20,334	Graco, Inc.		1,555,348
	5,610	Kadant, Inc.		1,064,329
	9,139	RBC Bearings, Inc.*		1,812,172
	39,676	Trex Co., Inc.*		2,037,363
	24,001	Woodward, Inc.		2,529,945
		Total Capital Goods		14,819,818
		Commercial & Professional Services — 5.8%
	14,939	Booz Allen Hamilton Holding Corp.		1,502,564
	11,577	FTI Consulting, Inc.*		2,176,592
		Total Commercial & Professional Services		3,679,156
		Consumer Discretionary Distribution & Retail — 2.8%
	26,367	Ollie’s Bargain Outlet Holdings, Inc.*		1,453,349
	1,116	Winmark Corp.		363,805
		Total Consumer Discretionary Distribution & Retail		1,817,154
		Consumer Durables & Apparel — 7.5%
	35,905	Acushnet Holdings Corp.		1,607,108
	17,016	Malibu Boats, Inc. – Class A*		892,489
	11,196	TopBuild Corp.*		2,257,785
		Total Consumer Durables & Apparel		4,757,382
		Financial Services — 8.0%
	12,532	Cohen & Steers, Inc.		681,866
	55,226	Essent Group Ltd.		2,439,333
	22,514	Houlihan Lokey, Inc.		1,965,697
		Total Financial Services		5,086,896
		Food, Beverage & Tobacco — 6.1%
	2,010	Boston Beer Co., Inc. (The) – Class A*		678,375
	7,294	J & J Snack Foods Corp.		1,122,911
	10,519	Lancaster Colony Corp.		2,067,825
		Total Food, Beverage & Tobacco		3,869,111
		Health Care Equipment & Services — 2.6%
	31,168	Globus Medical, Inc. – Class A*		1,687,124

Shares		Description	Value ($)
		Materials — 5.3%
	18,270	AptarGroup, Inc.		2,055,192
	10,684	Balchem Corp.		1,320,863
		Total Materials		3,376,055
		Media & Entertainment — 3.1%
	55,044	New York Times Co. (The) – Class A		1,949,659
		Pharmaceuticals, Biotechnology & Life Sciences — 4.2%
	18,227	Bruker Corp.		1,259,486
	6,754	Medpace Holdings, Inc.*		1,397,875
		Total Pharmaceuticals, Biotechnology & Life Sciences		2,657,361
		Semiconductors & Semiconductor Equipment — 8.5%
	17,031	Axcelis Technologies, Inc.*		2,683,234
	23,944	Power Integrations, Inc.		2,068,762
	4,366	Universal Display Corp.		643,243
		Total Semiconductors & Semiconductor Equipment		5,395,239
		Software & Services — 2.2%
	17,312	Dolby Laboratories, Inc. – Class A		1,428,759
		Technology Hardware & Equipment — 6.0%
	35,101	Ciena Corp.*		1,640,621
	19,545	Fabrinet*		2,212,885
		Total Technology Hardware & Equipment		3,853,506
		Transportation — 6.7%
	11,735	Landstar System, Inc.		2,058,085
	7,883	Saia, Inc.*		2,240,033
		Total Transportation		4,298,118
		TOTAL COMMON STOCKS (COST $53,232,431)		62,278,246
		MUTUAL FUNDS — 2.3%
		Affiliated Issuers — 2.3%
	296,859	GMO U.S. Treasury Fund		1,484,296
		TOTAL MUTUAL FUNDS (COST $1,481,354)		1,484,296

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	89,348	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (a)		89,348
		TOTAL SHORT-TERM INVESTMENTS (COST $89,348)		89,348
		TOTAL INVESTMENTS — 100.2% (Cost $54,803,133)		63,851,890
		Other Assets and Liabilities (net) — (0.2)%		(112,711	)
		TOTAL NET ASSETS — 100.0%		$63,739,179

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2023.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.2%
		Automobiles & Components — 0.3%
	11,538	BorgWarner, Inc.		511,480
	11,300	Modine Manufacturing Co. *		308,377
	900	Standard Motor Products, Inc.		31,788
		Total Automobiles & Components		851,645
		Banks — 2.7%
	1,800	1st Source Corp.		74,034
	3,400	Amalgamated Financial Corp.		48,348
	20,313	Associated Banc-Corp.		300,835
	1,846	Atlantic Union Bankshares Corp.		47,184
	900	Banner Corp.		38,943
	1,900	Capital City Bank Group, Inc.		57,133
	2,000	Community Trust Bancorp, Inc.		67,400
	1,800	Enterprise Financial Services Corp.		73,116
	5,400	Farmers National Banc Corp.		63,612
	9,400	First Financial Bancorp		178,224
	1,500	First Financial Corp.		48,660
	8,900	Hanmi Financial Corp.		128,160
	4,100	Independent Bank Corp.		67,035
	35,487	JPMorgan Chase & Co.		4,815,941
	1,746	Regions Financial Corp.		30,153
	4,600	Trustmark Corp.		96,048
	22,254	US Bancorp		665,395
		Total Banks		6,800,221
		Capital Goods — 9.3%
	2,043	Allison Transmission Holdings, Inc.		96,634
	2,000	Apogee Enterprises, Inc.		73,820
	99,502	Carrier Global Corp.		4,069,632
	1,800	Caterpillar, Inc.		370,350
	10,811	Cummins, Inc.		2,209,877
	5,000	Dover Corp.		666,650
	15	Eaton Corp. Plc		2,639
	2,340	Ferguson Plc		339,089
	18,799	Johnson Controls International Plc		1,122,300
	3,400	Moog, Inc. – Class A		330,514
	45,400	MRC Global, Inc. *		394,526
	3,355	Mueller Industries, Inc.		249,142
	65,250	PACCAR, Inc.		4,487,895
	6,000	Timken Co. (The)		429,300
	30,248	Trane Technologies Plc		4,937,381
	1,279	Westinghouse Air Brake Technologies Corp.		118,474
	4,313	WW Grainger, Inc.		2,799,223
	2,184	Xylem, Inc.		218,837
		Total Capital Goods		22,916,283

Shares		Description	Value ($)
		Commercial & Professional Services — 1.2%
	95,700	ACCO Brands Corp.		463,188
	600	Barrett Business Services, Inc.		50,400
	6,700	Brady Corp. – Class A		319,456
	7,400	CBIZ, Inc. *		373,108
	7,900	CSG Systems International, Inc.		379,042
	9,600	Deluxe Corp.		146,112
	2,700	Heidrick & Struggles International, Inc.		65,475
	5,560	ICF International, Inc.		622,664
	1,835	Kforce, Inc.		105,678
	9,200	Kimball International, Inc. – Class B		113,160
	12,800	Resources Connection, Inc.		195,584
	3,000	TrueBlue, Inc. *		49,620
		Total Commercial & Professional Services		2,883,487
		Consumer Discretionary Distribution & Retail — 8.1%
	4,900	1-800-Flowers.com, Inc. – Class A *		39,788
	8,400	Aaron’s Co., Inc. (The)		102,816
	43,002	Amazon.com, Inc. *		5,185,181
	44,659	American Eagle Outfitters, Inc.		454,182
	388	AutoZone, Inc. *		926,094
	29,110	Best Buy Co., Inc.		2,115,424
	5,166	Caleres, Inc.		89,165
	16,000	Container Store Group , Inc. (The) *		39,360
	86,500	eBay, Inc.		3,679,710
	9,955	Foot Locker, Inc.		252,061
	32,500	Gap, Inc. (The)		260,650
	7,612	Group 1 Automotive, Inc.		1,701,358
	8,700	Haverty Furniture Cos., Inc.		229,593
	10,800	ODP Corp. (The) *		432,648
	8,100	Shoe Carnival, Inc.		158,517
	14,100	Signet Jewelers Ltd.		895,209
	13,773	TJX Cos., Inc. (The)		1,057,629
	3,931	Tractor Supply Co.		823,898
	2,892	Ulta Beauty, Inc. *		1,185,228
	12,485	Urban Outfitters, Inc. *		384,788
		Total Consumer Discretionary Distribution & Retail		20,013,299
		Consumer Durables & Apparel — 5.0%
	9,213	Acushnet Holdings Corp.		412,374
	12	Carter’s, Inc.		746
	22,200	Ethan Allen Interiors, Inc.		555,666
	37,835	Garmin Ltd.		3,902,680
	36,920	La-Z-Boy, Inc.		986,502
	1,500	Lululemon Athletica, Inc. *		497,895
	1,400	M/I Homes, Inc. *		98,938
	8,100	MasterCraft Boat Holdings, Inc. *		214,650
	4,974	Meritage Homes Corp.		573,652
	5,300	Movado Group, Inc.		134,885
	5,700	Oxford Industries, Inc.		569,658
	12,513	PVH Corp.		1,076,368
	30,646	Taylor Morrison Home Corp. – Class A *		1,300,310

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	58,052	TRI Pointe Homes, Inc. *		1,695,699
	16,948	VF Corp.		291,845
		Total Consumer Durables & Apparel		12,311,868
		Consumer Services — 0.5%
	6,300	Adtalem Global Education, Inc. *		261,450
	1,200	Graham Holdings Co. – Class B		677,700
	26,375	Perdoceo Education Corp. *		310,961
		Total Consumer Services		1,250,111
		Consumer Staples Distribution & Retail — 2.1%
	111,945	Kroger Co. (The)		5,074,467
		Energy — 6.5%
	42,113	Chevron Corp.		6,343,060
	234	Dril-Quip, Inc. *		5,230
	71,100	Exxon Mobil Corp.		7,264,998
	16,186	Marathon Petroleum Corp.		1,698,073
	2,498	Phillips 66		228,842
	17,829	World Fuel Services Corp.		407,749
		Total Energy		15,947,952
		Financial Services — 6.2%
	29,100	American Express Co.		4,614,096
	6,085	Ameriprise Financial, Inc.		1,816,190
	50,200	Bank of New York Mellon Corp. (The)		2,018,040
	4,696	Berkshire Hathaway, Inc. – Class B *		1,507,792
	5,629	Discover Financial Services		578,323
	6,533	Donnelley Financial Solutions, Inc. *		289,738
	25,043	Enova International, Inc. *		1,165,000
	5,346	Intercontinental Exchange, Inc.		566,409
	53,000	Janus Henderson Group Plc		1,392,840
	31,200	MGIC Investment Corp.		471,744
	30	Nelnet, Inc. – Class A		2,775
	2,200	Oppenheimer Holdings, Inc. – Class A		86,262
	3,247	PROG Holdings, Inc. *		105,950
	30,600	Radian Group, Inc.		781,524
		Total Financial Services		15,396,683
		Food, Beverage & Tobacco — 3.8%
	39,800	General Mills, Inc.		3,349,568
	2,994	Hershey Co. (The)		777,542
	10,331	Kellogg Co.		689,801
	7,637	Mondelez International, Inc. – Class A		560,632
	11,618	PepsiCo, Inc.		2,118,542
	10,716	Philip Morris International, Inc.		964,547
	18,423	Universal Corp.		949,706
		Total Food, Beverage & Tobacco		9,410,338

Shares		Description	Value ($)
		Health Care Equipment & Services — 3.7%
	1,841	AmerisourceBergen Corp.		313,246
	4,823	Cigna Group (The)		1,193,258
	5,100	Elevance Health, Inc.		2,283,882
	3,823	Humana, Inc.		1,918,649
	6,863	Medtronic Plc		567,982
	3,900	UnitedHealth Group, Inc.		1,900,236
	7,600	Zimmer Biomet Holdings, Inc.		967,784
		Total Health Care Equipment & Services		9,145,037
		Household & Personal Products — 1.0%
	2,349	Colgate-Palmolive Co.		174,719
	68,173	Coty, Inc. – Class A *		738,995
	8,502	Estee Lauder Cos., Inc. (The) – Class A		1,564,623
	414	Inter Parfums, Inc.		51,998
		Total Household & Personal Products		2,530,335
		Insurance — 0.9%
	11,215	CNO Financial Group, Inc.		243,477
	12,126	Progressive Corp. (The)		1,551,037
	7,963	Stewart Information Services Corp.		357,061
		Total Insurance		2,151,575
		Materials — 4.8%
	2,399	AdvanSix, Inc.		78,927
	92	Air Products & Chemicals, Inc.		24,761
	7,200	Commercial Metals Co.		307,800
	31,893	Corteva, Inc.		1,705,956
	26,574	Ecolab, Inc.		4,386,039
	1,400	FMC Corp.		145,712
	1,786	Ingevity Corp. *		84,281
	2,973	NewMarket Corp.		1,158,935
	33,813	Newmont Corp.		1,371,117
	25,307	O-I Glass, Inc. *		524,361
	2,716	Reliance Steel & Aluminum Co.		637,391
	8,100	Ryerson Holding Corp.		275,319
	2,200	Schnitzer Steel Industries, Inc. – Class A		60,522
	8,623	Stepan Co.		792,885
	1,700	Sylvamo Corp.		67,014
	6,400	Warrior Met Coal, Inc.		209,792
		Total Materials		11,830,812
		Media & Entertainment — 7.1%
	31,012	Alphabet, Inc. – Class C *		3,825,950
	32,693	Alphabet, Inc. – Class A *		4,016,989
	9,500	AMC Networks, Inc. – Class A *		107,445
	76,711	Comcast Corp. – Class A		3,018,578
	22,842	Electronic Arts, Inc.		2,923,776
	8,400	Fox Corp. – Class B		245,364
	12,359	Meta Platforms, Inc. – Class A *		3,271,675
	2,400	Scholastic Corp.		101,952
		Total Media & Entertainment		17,511,729

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 6.7%
	2,858	Agilent Technologies, Inc.		330,585
	6,858	Biogen, Inc. *		2,032,780
	57,404	Bristol-Myers Squibb Co.		3,699,114
	1,591	Gilead Sciences, Inc.		122,412
	14,900	Johnson & Johnson		2,310,394
	63,996	Merck & Co., Inc.		7,065,798
	24,318	Pfizer, Inc.		924,570
		Total Pharmaceuticals, Biotechnology & Life Sciences		16,485,653
`		Semiconductors & Semiconductor Equipment — 8.1%
	8,000	Analog Devices, Inc.		1,421,520
	3,049	Cirrus Logic, Inc. *		236,846
	174,943	Intel Corp.		5,500,208
	11,727	Kulicke & Soffa Industries, Inc.		620,124
	23,300	Microchip Technology, Inc.		1,753,558
	3,622	NVIDIA Corp.		1,370,348
	13,113	NXP Semiconductors NV		2,348,538
	45,400	QUALCOMM, Inc.		5,148,814
	14,300	Skyworks Solutions, Inc.		1,480,193
		Total Semiconductors & Semiconductor
		Equipment		19,880,149
		Software & Services — 7.4%
	15,322	Cadence Design Systems, Inc. *		3,538,003
	29,819	Microsoft Corp.		9,792,261
	300	Roper Technologies, Inc.		136,266
	10,474	Synopsys, Inc. *		4,765,251
		Total Software & Services		18,231,781
		Technology Hardware & Equipment — 12.6%
	68,453	Apple, Inc.		12,133,294
	19,081	Arista Networks, Inc. *		3,173,934
	6,090	Avnet, Inc.		266,986
	4,700	Bel Fuse, Inc. – Class B		231,193
	10,704	Belden, Inc.		936,493
	29,700	Dell Technologies, Inc. – Class C		1,330,857
	221,535	Hewlett Packard Enterprise Co.		3,194,535
	120,525	HP, Inc.		3,502,456
	20,982	Juniper Networks, Inc.		637,223
	13,420	Keysight Technologies, Inc. *		2,171,356
	5,800	Motorola Solutions, Inc.		1,635,136
	8,200	Sanmina Corp. *		434,928
	4,000	TE Connectivity Ltd.		489,920
	15,300	Vontier Corp.		453,492
	26,895	Xerox Holdings Corp.		378,413
		Total Technology Hardware & Equipment		30,970,216

Shares / Par Value†		Description	Value ($)
		Transportation — 0.2%
	5,033	Hub Group, Inc. – Class A *		370,228
	5,434	Schneider National, Inc. – Class B		140,849
		Total Transportation		511,077
		TOTAL COMMON STOCKS (COST $237,007,251)		242,104,718
		DEBT OBLIGATIONS — 0.1%
		U.S. Government — 0.1%
	350,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.57, due 01/31/25 (a)		350,647
		TOTAL DEBT OBLIGATIONS (COST $350,046)		350,647
		MUTUAL FUNDS — 1.3%
		Affiliated Issuers — 1.3%
	632,873	GMO U.S. Treasury Fund		3,164,361
		TOTAL MUTUAL FUNDS (COST $3,158,032)		3,164,361
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	705,751	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (b)		705,751
		TOTAL SHORT-TERM INVESTMENTS (COST $705,751)		705,751
		TOTAL INVESTMENTS — 99.9% (Cost $241,221,080)		246,325,477
		Other Assets and Liabilities (net) — 0.1%		273,903
		TOTAL NET ASSETS — 100.0%		$246,599,380

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
16	S&P 500 E-Mini		June 2023	$	3,352,400	$	154,371

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2023, 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 OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of May 31, 2023.

Portfolio Abbreviations:

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

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.9%
		Automobiles & Components — 3.0%
	43,432	BorgWarner, Inc.		1,925,341
	287,716	Ford Motor Co.		3,452,592
	85,452	General Motors Co.		2,769,499
	5,500	Harley-Davidson, Inc.		171,105
	9,674	Lear Corp.		1,186,613
	1,400	Winnebago Industries, Inc.		77,896
		Total Automobiles & Components		9,583,046
		Banks — 10.5%
	328,285	Bank of America Corp.		9,123,040
	109,458	Citigroup, Inc.		4,851,179
	89,272	Huntington Bancshares, Inc.		920,394
	105,690	JPMorgan Chase & Co.		14,343,190
	6,700	M&T Bank Corp.		798,372
	11,228	PNC Financial Services Group, Inc.		1,300,539
	92,126	Regions Financial Corp.		1,591,016
	32,886	US Bancorp		983,291
		Total Banks		33,911,021
		Capital Goods — 4.5%
	44,134	3M Co.		4,118,143
	8,100	AGCO Corp.		893,268
	266	Allison Transmission Holdings, Inc.		12,582
	5,257	Atkore, Inc. *		613,860
	4,105	Caterpillar, Inc.		844,604
	12,452	Cummins, Inc.		2,545,313
	4,928	Encore Wire Corp.		806,566
	18,200	Ferguson Plc		2,637,362
	14,503	Owens Corning		1,542,104
	6,800	PACCAR, Inc.		467,704
		Total Capital Goods		14,481,506
		Commercial & Professional Services — 0.6%
	2,156	HNI Corp.		54,978
	23,703	ManpowerGroup, Inc.		1,663,240
	5,866	Robert Half International, Inc.		381,407
		Total Commercial & Professional Services		2,099,625
		Consumer Discretionary Distribution & Retail — 2.7%
	1,954	AutoNation, Inc. *		255,818
	31,888	Best Buy Co., Inc.		2,317,301
	68,970	eBay, Inc.		2,933,984
	28,196	Foot Locker, Inc.		713,923
	21,180	Gap, Inc. (The)		169,863
	2,884	Group 1 Automotive, Inc.		644,603
	32,551	Kohl’s Corp.		596,334
	65,642	Macy’s, Inc.		892,075
	4,994	Nordstrom, Inc.		76,408

Shares		Description	Value ($)
		Consumer Discretionary Distribution & Retail — continued
	19	Williams-Sonoma, Inc.		2,157
		Total Consumer Discretionary Distribution & Retail		8,602,466
		Consumer Durables & Apparel — 3.3%
	9,701	Brunswick Corp.		732,426
	5,966	Carter’s, Inc.		370,906
	9,538	DR Horton, Inc.		1,019,040
	912	Garmin Ltd.		94,073
	23,027	Hasbro, Inc.		1,366,652
	8,526	La-Z-Boy, Inc.		227,815
	10,202	Lennar Corp. – Class A		1,092,838
	4,482	PulteGroup, Inc.		296,171
	28,928	PVH Corp.		2,488,387
	1,284	Ralph Lauren Corp.		136,502
	5,816	Tapestry, Inc.		232,756
	21,946	Taylor Morrison Home Corp. – Class A *		931,169
	4,410	TRI Pointe Homes, Inc. *		128,816
	61,565	VF Corp.		1,060,149
	4,998	Whirlpool Corp.		646,191
		Total Consumer Durables & Apparel		10,823,891
		Consumer Services — 0.6%
	6,974	Adtalem Global Education, Inc. *		289,421
	490	Graham Holdings Co. – Class B		276,728
	49,957	H&R Block, Inc.		1,491,216
		Total Consumer Services		2,057,365
		Consumer Staples Distribution & Retail — 1.4%
	47,739	Kroger Co. (The)		2,164,009
	78,203	Walgreens Boots Alliance, Inc.		2,375,025
		Total Consumer Staples Distribution & Retail		4,539,034
		Energy — 8.3%
	36,997	Chevron Corp.		5,572,488
	56,242	ConocoPhillips		5,584,831
	27,992	Devon Energy Corp.		1,290,431
	30,304	EOG Resources, Inc.		3,251,316
	94,647	Exxon Mobil Corp.		9,671,030
	6,300	Marathon Petroleum Corp.		660,933
	4,100	Pioneer Natural Resources Co.		817,704
		Total Energy		26,848,733
		Financial Services — 8.5%
	1,900	Affiliated Managers Group, Inc.		264,271
	34,979	Ally Financial, Inc.		932,890
	8,873	American Express Co.		1,406,903
	72,692	Bank of New York Mellon Corp. (The)		2,922,218
	19,600	Capital One Financial Corp.		2,042,516
	26,936	Discover Financial Services		2,767,405
	2,900	Franklin Resources, Inc.		69,629
	18,994	Goldman Sachs Group, Inc. (The)		6,152,157
	54,444	Invesco Ltd.		782,905
	75,724	Janus Henderson Group Plc		1,990,027
	1,421	Jefferies Financial Group, Inc.		42,729

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Financial Services — continued
	14,229	Northern Trust Corp.		1,023,350
	76,938	Radian Group, Inc.		1,964,996
	7,181	Starwood Property Trust, Inc. (REIT)		126,026
	36,542	State Street Corp.		2,485,587
	75,428	Synchrony Financial		2,335,251
	11,338	Western Union Co. (The)		129,140
		Total Financial Services		27,438,000
		Food, Beverage & Tobacco — 1.7%
	12,664	Archer-Daniels-Midland Co.		894,712
	56,700	Kraft Heinz Co. (The)		2,167,074
	41,268	Tyson Foods, Inc. – Class A		2,089,811
	4,474	Universal Corp.		230,635
		Total Food, Beverage & Tobacco		5,382,232
		Health Care Equipment & Services — 5.9%
	29,390	Centene Corp. *		1,834,230
	18,274	Cigna Group (The)		4,521,170
	72,688	CVS Health Corp.		4,944,965
	11,335	Elevance Health, Inc.		5,076,040
	22,770	Henry Schein, Inc. *		1,682,703
	11,274	Medtronic Plc		933,036
		Total Health Care Equipment & Services		18,992,144
		Household & Personal Products — 0.0%
	784	USANA Health Sciences, Inc. *		47,565
		Insurance — 3.6%
	24,936	Aflac, Inc.		1,601,141
	35,783	Fidelity National Financial, Inc.		1,221,632
	27,776	Hartford Financial Services Group, Inc. (The)		1,903,211
	54,916	MetLife, Inc.		2,721,088
	22,372	Principal Financial Group, Inc.		1,464,471
	19,916	Prudential Financial, Inc.		1,567,190
	1,735	Reinsurance Group of America, Inc.		242,900
	8,592	Stewart Information Services Corp.		385,265
	11,129	Unum Group		483,555
		Total Insurance		11,590,453
		Materials — 1.3%
	15,196	Huntsman Corp.		360,905
	4,840	Nucor Corp.		639,170
	8,170	Reliance Steel & Aluminum Co.		1,917,336
	13,390	Steel Dynamics, Inc.		1,230,541
		Total Materials		4,147,952
		Media & Entertainment — 10.8%
	57,909	Alphabet, Inc. – Class C *		7,144,233
	42,389	Alphabet, Inc. – Class A *		5,208,337
	158,139	Comcast Corp. – Class A		6,222,770
	22,157	Fox Corp. – Class A		691,298
	11,102	Fox Corp. – Class B		324,289
	53,805	Meta Platforms, Inc. – Class A *		14,243,260

Shares		Description	Value ($)
		Media & Entertainment — continued
	69,363	Paramount Global – Class B		1,055,011
		Total Media & Entertainment		34,889,198
		Pharmaceuticals, Biotechnology & Life Sciences — 12.0%
	11,902	Biogen, Inc. *		3,527,872
	101,957	Bristol-Myers Squibb Co.		6,570,109
	63,961	Gilead Sciences, Inc.		4,921,159
	33,573	Johnson & Johnson		5,205,829
	67,144	Merck & Co., Inc.		7,413,369
	213,931	Pfizer, Inc.		8,133,657
	1,183	Regeneron Pharmaceuticals, Inc. *		870,168
	220,394	Viatris, Inc.		2,016,605
		Total Pharmaceuticals, Biotechnology & Life Sciences		38,658,768
		Real Estate Management & Development — 0.8%
	29,438	CBRE Group, Inc. – Class A *		2,205,495
	2,628	Jones Lang LaSalle, Inc. *		368,813
	2,548	Marcus & Millichap, Inc.		74,784
		Total Real Estate Management & Development		2,649,092
		Semiconductors & Semiconductor Equipment — 6.3%
	13,803	Applied Materials, Inc.		1,839,940
	258,815	Intel Corp.		8,137,144
	13,790	Kulicke & Soffa Industries, Inc.		729,215
	44,176	Micron Technology, Inc.		3,012,803
	58,215	QUALCOMM, Inc.		6,602,163
	2,100	Skyworks Solutions, Inc.		217,371
		Total Semiconductors & Semiconductor Equipment		20,538,636
		Software & Services — 2.9%
	37,918	Cognizant Technology Solutions Corp. – Class A		2,369,496
	36,133	DXC Technology Co. *		904,409
	47,894	International Business Machines Corp.		6,158,689
		Total Software & Services		9,432,594
		Technology Hardware & Equipment — 5.4%
	13,279	Arrow Electronics, Inc. *		1,681,653
	21,444	Avnet, Inc.		940,105
	143,043	Cisco Systems, Inc.		7,104,946
	61,608	Flex Ltd. *		1,564,227
	161,766	Hewlett Packard Enterprise Co.		2,332,666
	123,554	HP, Inc.		3,590,479
	10,290	Xerox Holdings Corp.		144,780
		Total Technology Hardware & Equipment		17,358,856
		Telecommunication Services — 3.7%
	260,850	AT&T, Inc.		4,103,170
	220,860	Verizon Communications, Inc.		7,869,242
		Total Telecommunication Services		11,972,412

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Transportation — 0.1%
	1,868	Matson, Inc.		127,641
	10,406	Schneider National, Inc. – Class B		269,724
		Total Transportation		397,365
		TOTAL COMMON STOCKS (COST $331,416,188)		316,441,954
		MUTUAL FUNDS — 1.7%
		Affiliated Issuers — 1.7%
	1,120,518	GMO U.S. Treasury Fund		5,602,591
		TOTAL MUTUAL FUNDS (COST $5,602,591)		5,602,591
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	545,247	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (a)		545,247
		TOTAL SHORT-TERM INVESTMENTS (COST $545,247)		545,247
		TOTAL INVESTMENTS — 99.7% (Cost $337,564,026)		322,589,792
		Other Assets and Liabilities (net) — 0.3%		831,341
		TOTAL NET ASSETS — 100.0%		$323,421,133

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2023.

Portfolio Abbreviations:

REIT - Real Estate Investment Trust

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.5%
		Automobiles & Components — 0.5%
	5,400	Modine Manufacturing Co. *		147,366
		Banks — 4.7%
	2,706	1st Source Corp.		111,298
	7,025	Amalgamated Financial Corp.		99,896
	1,327	Arrow Financial Corp.		24,204
	17,199	Associated Banc-Corp.		254,717
	300	Atlantic Union Bankshares Corp.		7,668
	500	BOK Financial Corp.		40,660
	600	Capital City Bank Group, Inc.		18,042
	900	Central Valley Community Bancorp		12,987
	470	Civista Bancshares, Inc.		7,041
	453	Comerica, Inc.		16,353
	2,696	Community Trust Bancorp, Inc.		90,855
	300	Enterprise Financial Services Corp.		12,186
	1,004	Financial Institutions, Inc.		15,773
	1,605	First Community Bankshares, Inc.		42,789
	1,698	First Financial Bancorp		32,194
	2,400	First Financial Corp.		77,856
	400	Great Southern Bancorp, Inc.		19,452
	8,589	Hanmi Financial Corp.		123,682
	4,391	Independent Bank Corp.		71,793
	3,400	Midland States Bancorp, Inc.		65,756
	1,200	MidWestOne Financial Group, Inc.		22,656
	613	Republic Bancorp, Inc. – Class A		25,832
	3,496	Towne Bank		81,247
		Total Banks		1,274,937
		Capital Goods — 10.9%
	7,809	Allison Transmission Holdings, Inc.		369,366
	472	American Woodmark Corp. *		28,084
	5,100	Apogee Enterprises, Inc.		188,241
	8,884	Griffon Corp.		280,024
	2,070	Hyster-Yale Materials Handling, Inc.		96,793
	1,558	JELD-WEN Holding, Inc. *		20,394
	1,468	Miller Industries, Inc.		48,238
	5,365	Moog, Inc. – Class A		521,532
	33,300	MRC Global, Inc. *		289,377
	3,889	Mueller Industries, Inc.		288,797
	12,000	NOW, Inc. *		106,680
	726	nVent Electric Plc		31,494
	1,152	Park-Ohio Holdings Corp.		18,167
	539	Preformed Line Products Co.		82,850
	500	Quanex Building Products Corp.		10,505
	711	Resideo Technologies, Inc. *		11,397
	200	Rush Enterprises, Inc. – Class B		11,638
	600	Tennant Co.		43,860
	4,108	Terex Corp.		190,488
	3,481	Timken Co. (The)		249,066
	1,771	V2X, Inc. *		73,054

Shares		Description	Value ($)
		Capital Goods — continued
	1,003	Wabash National Corp.		23,520
		Total Capital Goods		2,983,565
		Commercial & Professional Services — 5.4%
	33,149	ACCO Brands Corp.		160,441
	800	Barrett Business Services, Inc.		67,200
	2,794	Brady Corp. – Class A		133,218
	2,700	CBIZ, Inc. *		136,134
	985	CSG Systems International, Inc.		47,260
	12,679	Deluxe Corp.		192,974
	4,971	Heidrick & Struggles International, Inc.		120,547
	1,594	ICF International, Inc.		178,512
	7,365	Kelly Services, Inc. – Class A		128,740
	7,273	Kimball International, Inc. – Class B		89,458
	10,690	Resources Connection, Inc.		163,343
	7,793	Steelcase, Inc. – Class A		50,577
		Total Commercial & Professional Services		1,468,404
		Consumer Discretionary Distribution & Retail — 9.7%
	12,500	Aaron’s Co., Inc. (The)		153,000
	15,004	American Eagle Outfitters, Inc.		152,591
	2,034	Caleres, Inc.		35,107
	3,820	Cato Corp. (The) – Class A		30,789
	30,804	Chico’s FAS, Inc. *		139,850
	1,500	Children’s Place, Inc. (The) *		22,545
	500	Citi Trends, Inc. *		7,310
	18,055	Container Store Group , Inc. (The) *		44,415
	11,743	Designer Brands, Inc. – Class A		73,629
	6,487	Genesco, Inc. *		116,960
	3,394	Group 1 Automotive, Inc.		758,593
	6,194	Haverty Furniture Cos., Inc.		163,460
	7,243	Lands’ End, Inc. *		45,414
	2,385	ODP Corp. (The) *		95,543
	3,214	Sally Beauty Holdings, Inc. *		36,190
	9,848	Shoe Carnival, Inc.		192,725
	5,684	Signet Jewelers Ltd.		360,877
	400	Sleep Number Corp. *		7,256
	6,793	Urban Outfitters, Inc. *		209,360
	494	Weyco Group, Inc.		13,407
		Total Consumer Discretionary Distribution & Retail		2,659,021
		Consumer Durables & Apparel — 10.3%
	2,695	Acushnet Holdings Corp.		120,628
	2,100	Bassett Furniture Industries, Inc.		28,371
	12,677	Ethan Allen Interiors, Inc.		317,305
	10,500	G-III Apparel Group Ltd. *		168,840
	9,980	Hanesbrands, Inc.		41,018
	2,546	Hooker Furniture Corp.		37,808
	1,622	Johnson Outdoors, Inc. – Class A		92,065
	14,891	La-Z-Boy, Inc.		397,888
	488	Malibu Boats, Inc. – Class A *		25,596

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	3,200	MasterCraft Boat Holdings, Inc. *		84,800
	7,335	Movado Group, Inc.		186,676
	3,000	Oxford Industries, Inc.		299,820
	1,822	PVH Corp.		156,728
	9,800	Taylor Morrison Home Corp. – Class A *		415,814
	11,892	TRI Pointe Homes, Inc. *		347,365
	3,569	Universal Electronics, Inc. *		28,802
	11,651	Vera Bradley, Inc. *		55,342
	1,300	VOXX International Corp. – Class A *		12,584
		Total Consumer Durables & Apparel		2,817,450
		Consumer Services — 0.8%
	19,500	Perdoceo Education Corp. *		229,905
		Consumer Staples Distribution & Retail — 0.4%
	3,309	SpartanNash Co.		75,776
	1,365	Village Super Market, Inc. – Class A		28,331
		Total Consumer Staples Distribution & Retail		104,107
		Energy — 2.7%
	1,100	Dril-Quip, Inc. *		24,585
	3,960	Evolution Petroleum Corp.		31,047
	216	Gulfport Energy Corp. *		20,956
	26,100	Oil States International, Inc. *		165,996
	22,197	World Fuel Services Corp.		507,645
		Total Energy		750,229
		Equity Real Estate Investment Trusts (REITs) — 7.2%
	51,842	Anywhere Real Estate, Inc. *		314,681
	22,700	Apple Hospitality REIT, Inc.		329,831
	3,203	Armada Hoffler Properties, Inc. (REIT)		35,361
	3,414	Chatham Lodging Trust (REIT)		32,057
	103,000	Diversified Healthcare Trust (REIT)		140,080
	7,600	Hersha Hospitality Trust (REIT) – Class A		44,004
	26,995	Industrial Logistics Properties Trust (REIT)		48,861
	900	JBG SMITH Properties (REIT)		12,744
	600	Lamar Advertising Co. (REIT) – Class A		53,928
	5,400	Park Hotels & Resorts, Inc. (REIT)		69,876
	27,400	Piedmont Office Realty Trust, Inc. – Class A (REIT)		170,702
	7,237	PotlatchDeltic Corp. (REIT)		336,738
	6,516	RPT Realty (REIT)		60,729
	23,300	Service Properties Trust (REIT)		191,293
	5,300	Sunstone Hotel Investors, Inc. (REIT)		52,311
	1,200	Urban Edge Properties (REIT)		15,996
	800	Urstadt Biddle Properties, Inc. – Class A (REIT)		15,480
	4,000	Whitestone REIT		35,120
		Total Equity Real Estate Investment Trusts (REITs)		1,959,792
		Financial Services — 7.7%
	6,600	A-Mark Precious Metals, Inc.		223,542
	8,971	Curo Group Holdings Corp.		9,689

Shares		Description	Value ($)
		Financial Services — continued
	308	Diamond Hill Investment Group, Inc.		48,901
	10,604	Donnelley Financial Solutions, Inc. *		470,287
	9,509	Enova International, Inc. *		442,359
	991	Federated Hermes, Inc.		34,120
	3,373	Janus Henderson Group Plc		88,642
	4,836	LendingTree, Inc. *		88,450
	3,400	Oppenheimer Holdings, Inc. – Class A		133,314
	506	PROG Holdings, Inc. *		16,511
	17,800	Radian Group, Inc.		454,612
	1,900	Regional Management Corp.		49,685
	2,367	Waterstone Financial, Inc.		32,002
	914	Westwood Holdings Group, Inc.		11,471
		Total Financial Services		2,103,585
		Food, Beverage & Tobacco — 1.6%
	2,444	Seneca Foods Corp. – Class A *		113,011
	6,459	Universal Corp.		332,961
		Total Food, Beverage & Tobacco		445,972
		Health Care Equipment & Services — 3.1%
	1,593	Avanos Medical, Inc. *		39,029
	703	Eargo, Inc. *		3,346
	4,900	HealthStream, Inc.		112,798
	20,700	Patterson Cos., Inc.		542,133
	1,700	Pediatrix Medical Group, Inc. *		22,610
	1,100	Select Medical Holdings Corp.		30,107
	800	Tactile Systems Technology, Inc. *		16,816
	8,700	Zimvie, Inc. *		86,826
		Total Health Care Equipment & Services		853,665
		Household & Personal Products — 1.4%
	34,900	Coty, Inc. – Class A *		378,316
		Insurance — 3.1%
	18,300	CNO Financial Group, Inc.		397,293
	2,080	GoHealth, Inc. – Class A *		39,645
	4,600	Selectquote, Inc. *		7,360
	8,390	Stewart Information Services Corp.		376,207
	1,400	Universal Insurance Holdings, Inc.		20,090
		Total Insurance		840,595
		Materials — 8.8%
	4,105	AdvanSix, Inc.		135,055
	908	American Vanguard Corp.		15,490
	588	Carpenter Technology Corp.		26,819
	3,519	Koppers Holdings, Inc.		101,910
	8,913	Mativ Holdings, Inc.		134,230
	1,200	NewMarket Corp.		467,784
	15,024	O-I Glass, Inc. *		311,297
	6,040	Pactiv Evergreen, Inc.		42,401
	9,300	Ryerson Holding Corp.		316,107

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Materials — continued
	300	Schnitzer Steel Industries, Inc. – Class A		8,253
	3,096	Stepan Co.		284,677
	3,080	Sylvamo Corp.		121,414
	13,153	Warrior Met Coal, Inc.		431,155
		Total Materials		2,396,592
		Media & Entertainment — 3.8%
	15,552	AMC Networks, Inc. – Class A *		175,893
	948	Cars.com, Inc. *		16,732
	2,000	EverQuote, Inc. – Class A *		18,220
	700	Lee Enterprises, Inc. *		9,520
	7,900	Scholastic Corp.		335,592
	2,159	Shutterstock, Inc.		107,454
	8,454	Vimeo, Inc. *		31,026
	10,400	Yelp, Inc. – Class A *		348,400
		Total Media & Entertainment		1,042,837
		Pharmaceuticals, Biotechnology & Life Sciences — 1.8%
	8,523	Prestige Consumer Healthcare, Inc. *		487,771
		Real Estate Management & Development — 1.0%
	6,600	Douglas Elliman, Inc.		19,206
	2,607	Forestar Group, Inc. *		53,000
	5,137	Marcus & Millichap, Inc.		150,771
	1,929	RMR Group, Inc. (The) – Class A		41,532
		Total Real Estate Management & Development		264,509
		Semiconductors & Semiconductor Equipment — 3.5%
	16,900	Amkor Technology, Inc.		418,782
	356	Cirrus Logic, Inc. *		27,654
	9,900	Kulicke & Soffa Industries, Inc.		523,512
		Total Semiconductors & Semiconductor Equipment		969,948
		Technology Hardware & Equipment — 8.7%
	12,313	Avnet, Inc.		539,802
	2,900	Bel Fuse, Inc. – Class B		142,651
	3,461	Belden, Inc.		302,803
	8,619	Benchmark Electronics, Inc.		203,495
	428	CTS Corp.		19,547
	8,800	Daktronics, Inc. *		55,352
	100	IPG Photonics Corp. *		11,047
	2,978	Kimball Electronics, Inc. *		73,854
	9,745	Sanmina Corp. *		516,875
	2,953	ScanSource, Inc. *		84,928
	2,791	Vishay Intertechnology, Inc.		71,952
	100	Vishay Precision Group Inc. *		3,492
	700	Vontier Corp.		20,748
	23,922	Xerox Holdings Corp.		336,582
		Total Technology Hardware & Equipment		2,383,128

Shares		Description	Value ($)
		Telecommunication Services — 0.2%
	5,621	Spok Holdings, Inc.		66,328
		Transportation — 1.2%
	2,809	Hub Group, Inc. – Class A *		206,630
	4,334	Schneider National, Inc. – Class B		112,337
		Total Transportation		318,967
		TOTAL COMMON STOCKS (COST $29,700,949)		26,946,989
		MUTUAL FUNDS — 1.2%
		Affiliated Issuers — 1.2%
	66,166	GMO U.S. Treasury Fund		330,828
		TOTAL MUTUAL FUNDS (COST $330,766)		330,828
		RIGHTS/WARRANTS — 0.2%
		Pharmaceuticals, Biotechnology & Life Sciences — 0.2%
	72,700	Achillion Pharmaceuticals, Inc. CVR * (a)		36,350
		TOTAL RIGHTS/WARRANTS (COST $33,442)		36,350
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	62,392	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (b)		62,392
		TOTAL SHORT-TERM INVESTMENTS (COST $62,392)		62,392
		TOTAL INVESTMENTS — 100.1% (Cost $30,127,549)		27,376,559
		Other Assets and Liabilities (net) — (0.1)%		(19,491	)
		TOTAL NET ASSETS — 100.0%		$27,357,068

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
2	E-mini Russell 2000 Index		June 2023	$	175,180	$	(2,489	)

+ Buys - Fund is long the futures contract.
Sales - Fund is short the futures contract.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

As of May 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) The rate disclosed is the 7 day net yield as of May 31, 2023.

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

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

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

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

Basis of presentation

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

Portfolio valuation

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

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

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2023, 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 that are valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2023:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	8,669,337	$	—	$	—	$	8,669,337
Australia		—		1,053,482		—		1,053,482
Belgium		—		5,589,222		—		5,589,222
Brazil		—		36,872,256		—		36,872,256
Canada		86,858,471		—		—		86,858,471
China		3,558,482		17,773,929		—		21,332,411
Denmark		—		28,277,463		—		28,277,463
Finland		—		8,067,170		—		8,067,170
France		—		73,021,718		—		73,021,718

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Germany	$	—	$	35,229,385	$	—	$	35,229,385
Israel		—		4,130,936		—		4,130,936
Italy		—		8,362,644		—		8,362,644
Japan		—		49,357,104		—		49,357,104
Mexico		23,697,371		—		—		23,697,371
Netherlands		—		3,504,542		—		3,504,542
Norway		—		6,184,032		—		6,184,032
Russia		—		—		260,263		260,263
South Korea		—		51,004,323		—		51,004,323
Spain		—		20,275,115		—		20,275,115
Sweden		—		2,966,007		—		2,966,007
Thailand		—		757,412		—		757,412
Ukraine		—		847,461		—		847,461
United Kingdom		—		4,773,764		—		4,773,764
United States		401,905,593		—		—		401,905,593
TOTAL COMMON STOCKS		524,689,254		358,047,965		260,263		882,997,482
Preferred Stocks
Chile		12,664,463		—		—		12,664,463
TOTAL PREFERRED STOCKS		12,664,463		—		—		12,664,463
Mutual Funds
United States		38,054,730		—		—		38,054,730
TOTAL MUTUAL FUNDS		38,054,730		—		—		38,054,730
Short-Term Investments		726,281		—		—		726,281
Total Investments		576,134,728		358,047,965		260,263		934,442,956
Total	$	576,134,728	$	358,047,965	$	260,263	$	934,442,956
Emerging Markets ex-China Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	2,613,824	$	3,856,536	$	—	$	6,470,360
Chile		205,620		1,349,724		—		1,555,344
Czech Republic		—		536,082		—		536,082
Egypt		—		1,602,665		—		1,602,665
Greece		—		63,008		—		63,008
Hungary		—		4,768,188		—		4,768,188
India		4,153,606		20,071,510		3,194		24,228,310
Indonesia		—		6,400,339		—		6,400,339
Malaysia		—		256,236		—		256,236
Mexico		19,585,994		—		0§		19,585,994
Philippines		—		94,782		—		94,782
Poland		—		5,439,133		—		5,439,133
Qatar		—		3,244		—		3,244
Russia		—		638,056		438,845		1,076,901
South Africa		1,397,794		18,310,381		—		19,708,175
South Korea		984,260		51,219,656		—		52,203,916
Taiwan		9,889,317		66,026,568		—		75,915,885
Thailand		—		3,331,225		—		3,331,225
Turkey		—		2,024,137		—		2,024,137
United Arab Emirates		—		264,674		—		264,674
Vietnam		—		6,342,364		—		6,342,364
TOTAL COMMON STOCKS		38,830,415		192,598,508		442,039		231,870,962
Preferred Stocks
Brazil		1,437,190		16,434,975		—		17,872,165

Description	Level 1		Level 2		Level 3		Total
Emerging Markets ex-China Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks (continued)
Chile	$	—	$	37,852	$	—	$	37,852
Russia		—		—		20,419		20,419
Taiwan		—		51,967		—		51,967
TOTAL PREFERRED STOCKS		1,437,190		16,524,794		20,419		17,982,403
Mutual Funds
United States		2,867,088		—		—		2,867,088
TOTAL MUTUAL FUNDS		2,867,088		—		—		2,867,088
Short-Term Investments		459,378		—		—		459,378
Total Investments		43,594,071		209,123,302		462,458		253,179,831
Total	$	43,594,071	$	209,123,302	$	462,458	$	253,179,831
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	2,184,041	$	9,123,925	$	—	$	11,307,966
Chile		—		1,135,834		—		1,135,834
China		17,411,048		165,002,759		1		182,413,808
Czech Republic		—		1,953,215		—		1,953,215
Egypt		—		1,951,123		—		1,951,123
Greece		—		442,671		—		442,671
Hungary		—		12,007,288		—		12,007,288
India		4,645,480		37,707,717		9,047		42,362,244
Indonesia		—		4,050,313		—		4,050,313
Kuwait		—		674,796		—		674,796
Malaysia		—		1,801,968		—		1,801,968
Mexico		43,138,506		—		0§		43,138,506
Pakistan		—		423,933		—		423,933
Panama		75,445		—		—		75,445
Philippines		—		756,340		—		756,340
Poland		—		8,168,582		—		8,168,582
Qatar		—		567,771		—		567,771
Russia		—		2,111,880		1,992,592		4,104,472
South Africa		2,683,470		48,596,920		—		51,280,390
South Korea		—		101,262,098		145,324		101,407,422
Sri Lanka		—		—		322,339		322,339
Taiwan		4,990,529		184,822,223		—		189,812,752
Thailand		—		6,484,897		—		6,484,897
Turkey		—		3,684,030		—		3,684,030
United Arab Emirates		—		784,806		—		784,806
Vietnam		—		17,955,954		—		17,955,954
TOTAL COMMON STOCKS		75,128,519		611,471,043		2,469,303		689,068,865
Preferred Stocks
Brazil		3,871,627		33,489,544		—		37,361,171
Russia		—		—		324,435		324,435
South Korea		—		22,385,627		—		22,385,627
Taiwan		—		831,559		—		831,559
TOTAL PREFERRED STOCKS		3,871,627		56,706,730		324,435		60,902,792
Debt Obligations
United States		2,003,699		—		—		2,003,699
TOTAL DEBT OBLIGATIONS		2,003,699		—		—		2,003,699
Mutual Funds
United States		20,897,652		—		—		20,897,652
TOTAL MUTUAL FUNDS		20,897,652		—		—		20,897,652
Short-Term Investments		286,554		—		—		286,554
Total Investments		102,188,051		668,177,773		2,793,738		773,159,562
Total	$	102,188,051	$	668,177,773	$	2,793,738	$	773,159,562

Description	Level 1			Level 2		Level 3		Total
Emerging Markets Fund (continued)
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(28,551	)	$	—	$	—	$	(28,551	)
Total	$	(28,551	)	$	—	$	—	$	(28,551	)
Emerging Markets Select Equity Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	1,144,836		$	1,668,298	$	—	$	2,813,134
China		1,571,241			13,168,556		—		14,739,797
France		—			624,237		—		624,237
Greece		—			384,452		—		384,452
Hong Kong		—			371,069		—		371,069
India		—			12,338,232		—		12,338,232
Indonesia		—			4,376,650		—		4,376,650
Japan		—			474,397		—		474,397
Mexico		2,335,659			—		—		2,335,659
Philippines		—			175,191		—		175,191
Russia		—			—		85,718		85,718
South Africa		—			230,462		—		230,462
South Korea		—			4,536,866		—		4,536,866
Switzerland		—			737,295		—		737,295
Taiwan		—			12,010,727		—		12,010,727
Thailand		—			1,109,143		—		1,109,143
United Kingdom		—			1,055,081		—		1,055,081
United States		936,311			470,696		—		1,407,007
Vietnam		—			1,986,703		—		1,986,703
TOTAL COMMON STOCKS		5,988,047			55,718,055		85,718		61,791,820
Preferred Stocks
Brazil		—			381,459		—		381,459
TOTAL PREFERRED STOCKS		—			381,459		—		381,459
Investment Funds
Russia		—			—		9,610		9,610
TOTAL INVESTMENT FUNDS		—			—		9,610		9,610
Mutual Funds
United States		6,349			—		—		6,349
TOTAL MUTUAL FUNDS		6,349			—		—		6,349
Short-Term Investments		203,379			—		—		203,379
Total Investments		6,197,775			56,099,514		95,328		62,392,617
Total	$	6,197,775		$	56,099,514	$	95,328	$	62,392,617
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(104,914	)	$	—	$	—	$	(104,914	)
Total	$	(104,914	)	$	—	$	—	$	(104,914	)
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	38,919,819	$	—	$	38,919,819
Belgium		—			8,544,135		—		8,544,135
Denmark		—			962,189		—		962,189
Finland		—			20,496,026		—		20,496,026
France		24,261,414			133,531,771		—		157,793,185
Germany		—			33,528,364		—		33,528,364
Hong Kong		—			13,377,181		—		13,377,181

Description	Level 1		Level 2		Level 3		Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Ireland	$	—	$	8,935,780	$	—	$	8,935,780
Italy		—		23,180,022		—		23,180,022
Japan		—		271,748,601		—		271,748,601
Netherlands		—		64,568,987		—		64,568,987
Norway		—		21,677,290		—		21,677,290
Portugal		—		4,591,041		—		4,591,041
Singapore		—		39,380,149		—		39,380,149
Spain		—		60,689,649		—		60,689,649
Sweden		—		7,476,970		—		7,476,970
Switzerland		7,968,056		60,765,641		—		68,733,697
United Kingdom		10,776,278		144,405,032		—		155,181,310
United States		—		416,619		—		416,619
TOTAL COMMON STOCKS		43,005,748		957,195,266		—		1,000,201,014
Preferred Stocks
Germany		—		20,228,170		—		20,228,170
TOTAL PREFERRED STOCKS		—		20,228,170		—		20,228,170
Debt Obligations
United States		1,000,074		—		—		1,000,074
TOTAL DEBT OBLIGATIONS		1,000,074		—		—		1,000,074
Mutual Funds
United States		68,646,735		—		—		68,646,735
TOTAL MUTUAL FUNDS		68,646,735		—		—		68,646,735
Short-Term Investments		1,564,843		—		—		1,564,843
Total Investments		114,217,400		977,423,436		—		1,091,640,836
Derivatives^
Futures Contracts
Equity Risk		71,216		—		—		71,216
Total	$	114,288,616	$	977,423,436	$	—	$	1,091,712,052
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	8,927,434	$	—	$	8,927,434
Austria		—		1,145,411		—		1,145,411
Belgium		—		1,696,374		—		1,696,374
Canada		17,940,631		—		—		17,940,631
Denmark		—		2,371,157		—		2,371,157
Finland		—		4,750,115		—		4,750,115
France		—		22,014,747		—		22,014,747
Germany		—		8,330,907		—		8,330,907
Hong Kong		—		5,836,924		—		5,836,924
India		—		61,172		—		61,172
Ireland		—		60,447		—		60,447
Israel		—		879,148		—		879,148
Italy		—		5,652,869		—		5,652,869
Japan		2,780,487		34,509,655		—		37,290,142
Netherlands		—		7,515,804		—		7,515,804
Norway		—		2,526,634		—		2,526,634
Portugal		—		4,325		—		4,325
Russia		—		—		29		29
Singapore		—		452,347		—		452,347
South Korea		—		201,998		—		201,998
Spain		—		7,155,545		—		7,155,545
Sweden		—		2,549,093		—		2,549,093
Switzerland		3,454,308		8,755,263		—		12,209,571
Thailand		—		2,349		—		2,349

Description	Level 1		Level 2		Level 3		Total
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund) (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
United Kingdom	$	13,497,603	$	6,565,139	$	—	$	20,062,742
TOTAL COMMON STOCKS		37,673,029		131,964,857		29		169,637,915
Preferred Stocks
Germany		—		655,080		—		655,080
TOTAL PREFERRED STOCKS		—		655,080		—		655,080
Mutual Funds
United States		3,782,420		—		—		3,782,420
TOTAL MUTUAL FUNDS		3,782,420		—		—		3,782,420
Short-Term Investments		520,550		—		—		520,550
Total Investments		41,975,999		132,619,937		29		174,595,965
Total	$	41,975,999	$	132,619,937	$	29	$	174,595,965
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—	$	104,258,349	$	—	$	104,258,349
Short-Term Investments		2,007,414		—		—		2,007,414
Total Investments		2,007,414		104,258,349		—		106,265,763
Total	$	2,007,414	$	104,258,349	$	—	$	106,265,763
Quality Cyclicals Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	120,770	$	—	$	120,770
Canada		2,872,437		—		—		2,872,437
China		—		2,051,151		—		2,051,151
Finland		—		1,085,495		—		1,085,495
France		—		6,263,230		—		6,263,230
Germany		—		1,666,454		—		1,666,454
Hong Kong		—		971,024		—		971,024
Ireland		826,664		1,429,709		—		2,256,373
Mexico		4,861,325		—		—		4,861,325
Russia		—		—		34,498		34,498
Spain		—		4,050,534		—		4,050,534
United Kingdom		—		7,218,244		—		7,218,244
United States		33,761,438		—		—		33,761,438
TOTAL COMMON STOCKS		42,321,864		24,856,611		34,498		67,212,973
Preferred Stocks
Brazil		—		1,095,596		—		1,095,596
TOTAL PREFERRED STOCKS		—		1,095,596		—		1,095,596
Mutual Funds
United States		582,028		—		—		582,028
TOTAL MUTUAL FUNDS		582,028		—		—		582,028
Short-Term Investments		136,008		—		—		136,008
Total Investments		43,039,900		25,952,207		34,498		69,026,605
Total	$	43,039,900	$	25,952,207	$	34,498	$	69,026,605
Quality Fund
Asset Valuation Inputs
Common Stocks
China	$	—	$	76,421,923	$	—	$	76,421,923
France		—		343,722,424		—		343,722,424
Germany		—		251,653,728		—		251,653,728

Description	Level 1		Level 2		Level 3		Total
Quality Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Spain	$	—	$	58,635,880	$	—	$	58,635,880
Switzerland		—		217,991,494		—		217,991,494
Taiwan		—		234,019,262		—		234,019,262
United Kingdom		—		364,901,474		—		364,901,474
United States		5,791,422,474		—		—		5,791,422,474
TOTAL COMMON STOCKS		5,791,422,474		1,547,346,185		—		7,338,768,659
Mutual Funds
United States		127,419,053		—		—		127,419,053
TOTAL MUTUAL FUNDS		127,419,053		—		—		127,419,053
Short-Term Investments		361,268		—		—		361,268
Total Investments		5,919,202,795		1,547,346,185		—		7,466,548,980
Total	$	5,919,202,795	$	1,547,346,185	$	—	$	7,466,548,980
Resource Transition Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	7,332,860	$	—	$	—	$	7,332,860
Australia		—		2,204,374		—		2,204,374
Brazil		—		24,027,873		—		24,027,873
Canada		53,021,117		—		—		53,021,117
China		—		4,343,272		—		4,343,272
Denmark		—		6,702,239		—		6,702,239
Finland		—		3,083,251		—		3,083,251
France		—		13,652,996		—		13,652,996
Israel		—		3,357,581		—		3,357,581
Italy		—		994,207		—		994,207
Japan		—		6,283,723		—		6,283,723
Mexico		12,533,721		—		—		12,533,721
Norway		—		5,711,527		—		5,711,527
South Africa		—		17,609,683		—		17,609,683
Sweden		—		2,871,651		—		2,871,651
United Kingdom		—		54,173,479		—		54,173,479
United States		145,648,770		—		—		145,648,770
TOTAL COMMON STOCKS		218,536,468		145,015,856		—		363,552,324
Preferred Stocks
Brazil		—		24,407,418		—		24,407,418
Chile		8,701,452		—		—		8,701,452
TOTAL PREFERRED STOCKS		8,701,452		24,407,418		—		33,108,870
Mutual Funds
United States		6,667,984		—		—		6,667,984
TOTAL MUTUAL FUNDS		6,667,984		—		—		6,667,984
Short-Term Investments		291,877		—		—		291,877
Total Investments		234,197,781		169,423,274		—		403,621,055
Total	$	234,197,781	$	169,423,274	$	—	$	403,621,055
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	16,988,594	$	—	$	—	$	16,988,594
Australia		—		19,856,701		—		19,856,701
Austria		—		21,288,308		—		21,288,308
Brazil		—		50,688,595		—		50,688,595
Canada		160,997,165		—		—		160,997,165
China		—		28,456,360		—		28,456,360

Description	Level 1		Level 2		Level 3		Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Denmark	$	—	$	17,395,801	$	—	$	17,395,801
Finland		—		7,444,269		—		7,444,269
France		—		35,157,708		—		35,157,708
Hungary		—		16,043,670		—		16,043,670
India		—		24,488,671		—		24,488,671
Israel		—		15,792,309		—		15,792,309
Italy		—		30,918,427		—		30,918,427
Japan		—		16,411,844		—		16,411,844
Mexico		32,115,498		—		—		32,115,498
Norway		—		44,980,377		—		44,980,377
Pakistan		—		690,049		—		690,049
Portugal		—		62,274,376		—		62,274,376
Russia		—		—		1,662,548		1,662,548
Singapore		—		—		0§		0§
South Africa		—		45,154,497		—		45,154,497
Spain		—		32,148,949		—		32,148,949
Sweden		—		7,338,652		—		7,338,652
Turkey		—		4,177,858		—		4,177,858
Ukraine		—		1,931,265		—		1,931,265
United Kingdom		—		229,315,026		—		229,315,026
United States		532,636,931		—		—		532,636,931
TOTAL COMMON STOCKS		742,738,188		711,953,712		1,662,548		1,456,354,448
Preferred Stocks
Brazil		—		121,755,822		—		121,755,822
Chile		22,273,086		—		—		22,273,086
Russia		—		—		486,467		486,467
TOTAL PREFERRED STOCKS		22,273,086		121,755,822		486,467		144,515,375
Mutual Funds
United States		46,181,789		—		—		46,181,789
TOTAL MUTUAL FUNDS		46,181,789		—		—		46,181,789
Short-Term Investments		2,141,619		—		—		2,141,619
Total Investments		813,334,682		833,709,534		2,149,015		1,649,193,231
Total	$	813,334,682	$	833,709,534	$	2,149,015	$	1,649,193,231
Small Cap Quality Fund
Asset Valuation Inputs
Common Stocks	$	62,278,246	$	—	$	—	$	62,278,246
Mutual Funds		1,484,296		—		—		1,484,296
Short-Term Investments		89,348		—		—		89,348
Total Investments		63,851,890		—		—		63,851,890
Total	$	63,851,890	$	—	$	—	$	63,851,890
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	242,104,718	$	—	$	—	$	242,104,718
Mutual Funds		3,164,361		—		—		3,164,361
Debt Obligations		350,647		—		—		350,647
Short-Term Investments		705,751		—		—		705,751
Total Investments		246,325,477		—		—		246,325,477
Derivatives^
Futures Contracts
Equity Risk		154,371		—		—		154,371
Total	$	246,479,848	$	—	$	—	$	246,479,848

Description	Level 1			Level 2		Level 3		Total
U.S. Opportunistic Value Fund
Asset Valuation Inputs
Common Stocks	$	316,441,954		$	—	$	—	$	316,441,954
Mutual Funds		5,602,591			—		—		5,602,591
Short-Term Investments		545,247			—		—		545,247
Total Investments		322,589,792			—		—		322,589,792
Total	$	322,589,792		$	—	$	—	$	322,589,792
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	26,946,989		$	—	$	—	$	26,946,989
Mutual Funds		330,828			—		—		330,828
Rights/Warrants		—			—		36,350		36,350
Short-Term Investments		62,392			—		—		62,392
Total Investments		27,340,209			—		36,350		27,376,559
Total	$	27,340,209		$	—	$	36,350	$	27,376,559
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(2,489	)	$	—	$	—	$	(2,489	)
Total	$	(2,489	)	$	—	$	—	$	(2,489	)

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 May 31, 2023.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). The below Funds held classes of investments or derivatives with direct material Level 3 holdings at May 31, 2023:

Investment Type	Number of Investments		Valuation Methodology
Emerging Markets ex-China Fund
Common and/or Preferred Stock		9	Valued off the last traded price with a 99% discount
Emerging Markets Fund
Common and/or Preferred Stock		12	Valued off the last traded price with a 99% discount
Common and/or Preferred Stock		1	Valued at the last price prior to trading being suspended
Common and/or Preferred Stock		1	Valued off relevant index pending settlement of corporate action
Emerging Markets Select Equity Fund
Common and/or Preferred Stock		4	Valued off the last traded price with a 99% discount
Quality Cyclicals Fund
Common and/or Preferred Stock		2	Valued off the last traded price with a 99% discount
Resources Fund
Common and/or Preferred Stock		4	Valued off the last traded price with a 99% discount

Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at May 31, 2023.

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, 2023		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3		Balances as of May 31, 2023		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2023
Emerging Markets ex-China Fund
Common Stocks
India	$	—	$	3,446	$	—		$	—	$	—		$	(252	)	$	—	$	—	$	3,194	$	(252	)
Russia		382,570		—		—			—		—			56,275			—		—		438,845		56,275
Preferred Stocks
Russia		18,483		—		—			—		—			1,936			—		—		20,419		1,936
Total Investments	$	401,053	$	3,446	$	—		$	—	$	—		$	57,959		$	—	$	—	$	462,458	$	57,959
Emerging Markets Fund
Common Stocks
China	$	868,809	$	—	$	(336,707	)	$	—	$	(1,624,070	)	$	1,091,969		$	—	$	—	$	1	$	—
India		—		9,671		—			—		—			(624	)		—		—		9,047		(624	)
Russia		1,811,716		—		—			—		—			180,876			—		—		1,992,592		180,876
South Korea		—		161,070		—			—		—			(15,746	)		—		—		145,324		(15,746	)
Sri Lanka		258,636		—		—			—		—			63,703			—		—		322,339		63,703
Preferred Stocks
Russia		308,267		—		—			—		—			16,168			—		—		324,435		16,168
Total Investments	$	3,247,428	$	170,741	$	(336,707	)	$	—	$	(1,624,070	)	$	1,336,346		$	—	$	—	$	2,793,738	$	244,377
Emerging Markets Select Equity Fund
Common Stocks
France	$	1,244,319	$	—	$	(1,135,998	)	$	—	$	—		$	(108,321	)	$	—	$	—	$	—	$	—
Russia		83,870		—		—			—		—			1,848			—		—		85,718		1,848
Investment Funds
Russia	$	9,610	$	—	$	—		$	—	$	—		$	—		$	—	$	—	$	9,610	$	—
Total Investments	$	1,337,799	$	—	$	(1,135,998	)	$	—	$	—		$	(106,473	)	$	—	$	—	$	95,328	$	1,848
Quality Cyclicals Fund
Common Stocks
Russia	$	28,097	$	—	$	—		$	—	$	—		$	6,401		$	—	$	—	$	34,498	$	6,401
Total Investments	$	28,097	$	—	$	—		$	—	$	—		$	6,401		$	—	$	—	$	34,498	$	6,401
Resources Fund
Common Stocks
Russia	$	1,601,369	$	—	$	—		$	—	$	—		$	61,179		$	—	$	—	$	1,662,548	$	61,179
Preferred Stocks
Russia		407,992		—		—			—		—			78,475			—		—		486,467		78,475
Rights/Warrants
Singapore		2		—		—			—		—			(2	)		—		—		—		—
Total Investments	$	2,009,363	$	—	$	—		$	—	$	—		$	139,652		$	—	$	—	$	2,149,015	$	139,654
U.S. Small Cap Value Fund
Rights/Warrants
United States	$	36,350	$	—	$	—		$	—	$	—		$	—		$	—	$	—	$	36,350	$	—
Total Investments	$	36,350	$	—	$	—		$	—	$	—		$	—		$	—	$	—	$	36,350	$	—

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2023 for Funds with material Level 3 investments.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Emerging Markets ex-China Fund
Common Stock		398,822	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock (American Depositary Receipt)		13,421	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (Global Depositary Receipt)		26,602	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Preferred Stock		20,419	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Emerging Markets Fund
Common Stock		1,854,552	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock		145,324	Fair Value	Valued off relevant index	N/A (N/A)
Common Stock		1	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock (American Depositary Receipt)		2,768	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (Global Depositary Receipt)		135,272	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Preferred Stock		324,435	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Emerging Markets Select Equity Fund
Common Stock		68,648	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (Global Depositary Receipt)		17,070	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Investment Fund		9,610	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Quality Cyclicals Fund
Common Stock		34,498	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Resources Fund
Common Stock (American Depositary Receipt)		2	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		1,602,245	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (Global Depositary Receipt)		60,301	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Preferred Stock		486,467	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
U.S. Small Cap Value Fund		—	N/A	N/A	N/A

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2023, the value of these securities and/or derivatives for Emerging Markets ex-China Fund and Emerging Markets Fund was $3,194 and $331,386, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2023 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	$	27,154,401	$	142,065,325	$	131,241,968	$	247,482	**	$	—	$	37,109	$	39,863		$	38,054,730
Emerging Markets ex-China Fund
GMO U.S. Treasury Fund	$	319,023	$	44,835,532	$	42,300,000	$	82,377		$	—	$	12,533	$	—		$	2,867,088
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	258,636	$	—	$	—	$	—		$	—	$	—	$	63,703		$	322,339
GMO Emerging Markets Select Equity Fund, Class V		—		18,000,005		—		—			—		—		(139,484	)		17,860,521
GMO U.S. Treasury Fund		15,345,992		76,151,007		88,460,000		158,082			—		132		—			3,037,131
Totals	$	15,604,628	$	94,151,012	$	88,460,000	$	158,082		$	—	$	132	$	(75,781	)	$	21,219,991
Emerging Markets Select Equity Fund
GMO U.S. Treasury Fund	$	712,446	$	3,308,663	$	4,015,000	$	8,750		$	—	$	240	$	—		$	6,349
International Equity Fund
GMO U.S. Treasury Fund	$	72,610,442	$	105,500,000	$	109,600,000	$	784,556		$	—	$	30,261	$	106,032		$	68,646,735
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
GMO U.S. Treasury Fund	$	1,160,296	$	3,170,000	$	550,000	$	12,119		$	—	$	849	$	1,275		$	3,782,420
Quality Cyclicals Fund
GMO U.S. Treasury Fund	$	680,863	$	6,200,000	$	6,300,000	$	6,527		$	—	$	—	$	1,165		$	582,028
Quality Fund
GMO U.S. Treasury Fund	$	116,238,335	$	269,460,000	$	258,400,000	$	929,050		$	—	$	157,550	$	(36,832	)	$	127,419,053
Resource Transition Fund
GMO U.S. Treasury Fund	$	3,512,040	$	16,248,083	$	13,100,000	$	54,968		$	—	$	3,000	$	4,861		$	6,667,984
Resources Fund
GMO U.S. Treasury Fund	$	39,264,526	$	155,800,000	$	148,905,000	$	379,268		$	—	$	15,040	$	7,223		$	46,181,789
Small Cap Quality Fund
GMO U.S. Treasury Fund	$	611,750	$	1,369,204	$	500,000	$	19,117		$	—	$	817	$	2,525		$	1,484,296

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
U.S. Equity Fund
GMO U.S. Treasury Fund	$	3,058,032	$	2,200,000	$	2,100,000	$	39,316	$	—	$	—	$	6,329	$	3,164,361
U.S. Opportunistic Value Fund
GMO U.S. Treasury Fund	$	5,821,730	$	30,721,767	$	30,950,000	$	54,221	$	—	$	9,094	$	—	$	5,602,591
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	344,916	$	1,100,000	$	1,115,000	$	5,353	$	—	$	850	$	62	$	330,828

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2023 through May 31, 2023. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2024.

** 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 $133,410 in Climate Change Fund during the period.

* * *

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

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 24.3%
		U.S. Government — 24.3%
	5,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.57%, due 01/31/25 (a)		5,009,248
		TOTAL DEBT OBLIGATIONS (COST $5,001,895)		5,009,248
		SHORT-TERM INVESTMENTS — 74.7%
		Sovereign and Sovereign Agency Issuers — 9.4%
JPY	270,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/05/23		1,937,932
		U.S. Government Agency — 14.6%
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 5.09%, due 06/07/23		2,999,986
		Repurchase Agreements — 48.6%
	10,000,000	Nomura Securities International, Inc. Repurchase Agreement, dated, 05/31/23 maturing on 06/01/23 with a maturity value of $10,001,400 and an effective yield of 5.04%, collateralized by a U.S. Treasury Note with maturity date 10/31/27 and a market value of $10,204,050.		10,000,000
		Money Market Funds — 2.1%
	435,453	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (b)		435,453
		TOTAL SHORT-TERM INVESTMENTS (COST $15,414,879)		15,373,371
		TOTAL INVESTMENTS — 99.0% (Cost $20,416,774)		20,382,619
		Other Assets and Liabilities (net) — 1.0%		207,841
		TOTAL NET ASSETS — 100.0%		$20,590,460

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/05/2023	CITI	JPY	270,000,000		USD	2,018,072	$	79,291

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
40	U.S. Long Bond (CBT)		September 2023		5,133,750		59,044
46	U.S. Treasury Note 10 Yr. (CBT)		September 2023		5,265,562		1,435
33	U.S. Treasury Note 2 Yr. (CBT)		September 2023		6,792,328		(10,099	)
93	U.S. Treasury Note 5 Yr. (CBT)		September 2023		10,144,266		(17,926	)
36	U.S. Treasury Ultra 10 Yr. (CBT)		September 2023		4,336,313		17,606
28	U.S. Ultra Bond (CBT)		September 2023		3,832,500		42,178
				$	35,504,719	$	92,238

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 2023, 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 May 31, 2023.

The rates shown on variable rate notes are the current interest rates at May 31, 2023, 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:

CITI - Citibank N.A.

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 92.3%
		Albania — 1.6%
		Sovereign and Sovereign Agency Issuers — 1.6%
	40,349,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		35,658,075
EUR	7,400,000	Republic of Albania Par Bond, Reg S, 3.50%, due 11/23/31		6,588,915
		Total Albania		42,246,990
		Angola — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	20,600,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		15,743,550
		Argentina — 2.8%
		Sovereign and Sovereign Agency Issuers — 2.8%
	23,590,713	Republic of Argentina, 1.00%, due 07/09/29		5,997,676
	28,633,493	Republic of Argentina, Step Up, 0.50%, due 07/09/30		7,539,556
JPY	330,767,207	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c)		492,619
	45,947,942	Republic of Argentina, Step Up, 1.50%, due 07/09/35		10,720,229
EUR	25,230,000	Republic of Argentina, Step Up, 3.00%, due 01/09/38		6,445,437
	45,198,994	Republic of Argentina, Step Up, 3.88%, due 01/09/38		12,657,305
JPY	271,173,000	Republic of Argentina, 0.67%, due 12/31/38 (c)		290,004
EUR	6,660,000	Republic of Argentina, Step Up, 2.75%, due 07/09/41		1,502,083
	69,801,240	Republic of Argentina, Step Up, 3.50%, due 07/09/41		17,943,281
	46,247,000	Republic of Argentina, Step Up, 1.50%, due 07/09/46		10,862,264
		Total Argentina		74,450,454
		Armenia — 0.0%
		Corporate Debt
	1,150,000	Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25		1,116,219
		Azerbaijan — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	14,400,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		13,705,200
		Bahamas — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	8,840,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		6,778,070
	4,400,000	Bahamas Government International Bond, Reg S, 9.00%, due 06/16/29		3,764,200
	14,800,000	Bahamas Government International Bond, Reg S, 8.95%, due 10/15/32		12,069,400

Par Value†		Description	Value ($)
		Bahamas — continued
		Sovereign and Sovereign Agency Issuers — continued
	4,300,000	Bahamas Government International Bond, Reg S, 7.13%, due 04/02/38		3,215,056
		Total Bahamas		25,826,726
		Bahrain — 2.6%
		Sovereign and Sovereign Agency Issuers — 2.6%
	11,300,000	Bahrain Government International Bond, 144A, 7.75%, due 04/18/35		11,130,500
	68,390,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		59,533,495
	500,000	Bahrain Government International Bond, Reg S, 6.25%, due 01/25/51		379,469
		Total Bahrain		71,043,464
		Barbados — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	18,020,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		16,700,035
		Belarus — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 (c) (d)		3,321,600
	20,300,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30 (c) (d)		8,221,500
		Total Belarus		11,543,100
		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		5,587,936
		Bolivia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,500,000	Bolivian Government International Bond, Reg S, 4.50%, due 03/20/28		4,435,781
		Brazil — 1.8%
		Corporate Debt — 0.8%
	23,331,060	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		20,582,078
		Sovereign and Sovereign Agency Issuers — 1.0%
	7,400,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		6,312,200
	14,400,000	Republic of Brazil, 4.75%, due 01/14/50		10,429,200
BRL	60,119,770	Rio Smart Lighting Sarl, Reg S, 12.25%, due 09/20/32 (e)		11,460,712
				28,202,112
		Total Brazil		48,784,190

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Bulgaria — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
EUR	2,800,000	Bulgarian Energy Holding EAD, Reg S, 2.45%, due 07/22/28		2,428,568
		Cameroon — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
EUR	11,100,000	Republic of Cameroon International Bond, Reg S, 5.95%, due 07/07/32		8,096,238
		Chile — 2.2%
		Corporate Debt — 1.0%
	16,611,000	Enel Generacion Chile SA, 8.13%, due 02/01/97 (a)		15,901,710
	23,601,659	Inversiones Latin America Power Ltda, Reg S, 5.13%, due 06/15/33		10,086,759
				25,988,469
		Sovereign and Sovereign Agency Issuers — 1.2%
	6,100,000	Chile Government International Bond, 3.10%, due 05/07/41		4,557,081
	6,600,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		6,419,738
	4,300,000	Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31		3,604,744
	24,950,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		18,576,834
				33,158,397
		Total Chile		59,146,866
		China — 0.3%
		Corporate Debt
	11,200,000	China Evergrande Group, Reg S, 11.50%, due 01/22/23 (d)		588,000
	14,300,000	China Evergrande Group, Reg S, 12.00%, due 01/22/24 (d)		750,750
	7,500,000	China Evergrande Group, Reg S, 10.50%, due 04/11/24 (d)		456,094
	7,300,000	Huarong Finance Co Ltd, Reg S, 4.75%, due 04/27/27		6,051,243
	6,100,000	Scenery Journey Ltd, Reg S, 11.50%, due 10/24/22 (d)		442,250
	2,100,000	Scenery Journey Ltd, Reg S, 13.00%, due 11/06/22 (d)		152,250
	3,600,000	Scenery Journey Ltd, Reg S, 12.00%, due 10/24/23 (d)		261,000
	4,100,000	Scenery Journey Ltd, Reg S, 13.75%, due 11/06/23 (d)		297,250
		Total China		8,998,837
		Colombia — 4.2%
		Corporate Debt — 0.1%
COP	21,060,796,766	PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36		3,525,909

Par Value†		Description	Value ($)
		Colombia — continued
		Sovereign and Sovereign Agency Issuers — 4.1%
	1,092,000	Colombia Government International Bond, 8.38%, due 02/15/27 (a)		1,099,603
	3,100,000	Colombia Government International Bond, 11.85%, due 03/09/28 (a)		3,532,269
	8,700,000	Colombia Government International Bond, 7.50%, due 02/02/34		8,342,756
	83,900,000	Colombia Government International Bond, 5.63%, due 02/26/44		60,581,044
	14,000,000	Colombia Government International Bond, 5.20%, due 05/15/49		9,330,125
	7,300,000	Ecopetrol SA, 8.88%, due 01/13/33		7,101,622
	20,900,000	Ecopetrol SA, 5.88%, due 11/02/51		13,218,205
COP	41,560,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		7,305,104
				110,510,728
		Total Colombia		114,036,637
		Congo Republic (Brazzaville) — 1.3%
		Sovereign and Sovereign Agency Issuers — 1.3%
	40,766,790	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		34,366,404
		Costa Rica — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	4,500,000	Costa Rica Government International Bond, 144A, 6.55%, due 04/03/34		4,538,813
	17,031,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45 (f)		16,863,883
	8,298,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43 (f)		7,009,217
		Total Costa Rica		28,411,913
		Czech Republic — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	4,458,000	CEZ AS, Reg S, 5.63%, due 04/03/42		4,173,017
		Dominican Republic — 3.0%
		Sovereign and Sovereign Agency Issuers — 3.0%
	7,600,000	Dominican Republic International Bond, Reg S, 6.50%, due 02/15/48		6,352,175
	7,600,000	Dominican Republic International Bond, Reg S, 6.40%, due 06/05/49		6,278,550
	92,529,000	Dominican Republic International Bond, Reg S, 5.88%, due 01/30/60		68,546,640
		Total Dominican Republic		81,177,365
		Ecuador — 2.3%
		Sovereign and Sovereign Agency Issuers — 2.3%
	1,300,000	Ecuador Government International Bond, 5.00%, due 02/28/25 (c)		1,196,000
	6,646,892	Ecuador Government International Bond, Reg S, Zero Coupon, due 07/31/30 (f)		1,932,999

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Ecuador — continued
		Sovereign and Sovereign Agency Issuers — continued
	21,376,250	Ecuador Government International Bond, Reg S, Step Up, 5.50%, due 07/31/30 (f)		10,314,041
	100,787,125	Ecuador Government International Bond, Reg S, Step Up, 2.50%, due 07/31/35 (f)		34,381,008
	29,703,750	Ecuador Government International Bond, Reg S, Step Up, 1.50%, due 07/31/40		9,176,602
	7,942,451	Ecuador Social Bond Sarl, Reg S, Zero Coupon, due 01/30/35		6,001,515
		Total Ecuador		63,002,165
		Egypt — 1.9%
		Sovereign and Sovereign Agency Issuers — 1.9%
	24,500,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		12,507,250
	51,000,000	Egypt Government International Bond, Reg S, 8.88%, due 05/29/50		26,258,625
	25,564,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		12,650,984
		Total Egypt		51,416,859
		El Salvador — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	6,200,000	El Salvador Government International Bond, Reg S, 8.25%, due 04/10/32		3,587,475
	6,275,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35 (f)		3,295,552
	26,700,000	El Salvador Government International Bond, Reg S, 7.12%, due 01/20/50 (f)		13,129,725
		Total El Salvador		20,012,752
		Ethiopia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	3,290,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		2,223,423
		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		4,374,300
	10,600,000	Gabon Government International Bond, Reg S, 7.00%, due 11/24/31		8,273,300
		Total Gabon		12,647,600
		Ghana — 1.4%
		Sovereign and Sovereign Agency Issuers — 1.4%
	9,000,000	Republic of Ghana, Reg S, 8.88%, due 05/07/42 (d)		3,410,438
	14,800,000	Republic of Ghana, Reg S, 8.63%, due 06/16/49 (d)		5,594,400
	34,100,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51 (d)		12,911,112
	36,600,000	Republic of Ghana, Reg S, 8.75%, due 03/11/61 (d)		13,720,425

Par Value†		Description	Value ($)
		Ghana — continued
		Sovereign and Sovereign Agency Issuers — continued
	7,121,144	Saderea DAC, Reg S, 12.50%, due 11/30/26 (d)		2,867,596
		Total Ghana		38,503,971
		Grenada — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	6,538,875	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		5,427,266
		Guatemala — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	3,915,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		4,254,626
	5,100,000	Republic of Guatemala, Reg S, 4.65%, due 10/07/41		3,996,487
	16,700,000	Republic of Guatemala, Reg S, 6.13%, due 06/01/50		15,043,569
		Total Guatemala		23,294,682
		Honduras — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,150,000	Honduras Government International Bond, Reg S, 5.63%, due 06/24/30		5,703,466
		Hungary — 1.9%
		Sovereign and Sovereign Agency Issuers — 1.9%
	10,200,000	Hungary Government International Bond, Reg S, 6.25%, due 09/22/32		10,370,850
	23,900,000	Hungary Government International Bond, 144A, 5.50%, due 06/16/34		22,843,919
	16,400,000	Hungary Government International Bond, Reg S, 3.13%, due 09/21/51		9,755,950
	4,600,000	Hungary Government International Bond, Reg S, 6.75%, due 09/25/52		4,638,237
	4,300,000	Magyar Export-Import Bank Zrt, 144A, 6.13%, due 12/04/27		4,261,838
		Total Hungary		51,870,794
		India — 1.8%
		Corporate Debt
	24,100,000	Delhi International Airport Ltd, Reg S, 6.45%, due 06/04/29		22,402,456
	800,000	GMR Hyderabad International Airport Ltd, Reg S, 4.75%, due 02/02/26		748,900
	17,140,000	GMR Hyderabad International Airport Ltd, Reg S, 4.25%, due 10/27/27		15,038,208
	11,150,000	India Airport Infra, Reg S, 6.25%, due 10/25/25		10,620,375
		Total India		48,809,939

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Indonesia — 4.1%
		Sovereign and Sovereign Agency Issuers — 4.1%
	4,350,000	Freeport Indonesia PT, Reg S, 6.20%, due 04/14/52		3,877,754
	7,500,000	Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30		6,917,812
	17,000,000	Indonesia Asahan Aluminium Persero PT, Reg S, 5.80%, due 05/15/50		15,026,937
	3,100,000	Indonesia Government International Bond, 4.85%, due 01/11/33		3,137,394
	10,191,000	Indonesia Government International Bond, 5.45%, due 09/20/52		10,294,821
	1,500,000	Indonesia Government International Bond, 5.65%, due 01/11/53		1,565,906
	16,600,000	Minejesa Capital BV, Reg S, 5.63%, due 08/10/37		13,096,362
	9,200,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		9,474,850
	6,700,000	Pertamina Persero PT, Reg S, 4.15%, due 02/25/60		4,915,288
	14,800,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		14,354,150
	7,200,000	Perusahaan Penerbit SBSN Indonesia III, Reg S, 4.70%, due 06/06/32		7,208,100
	20,849,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		20,262,622
		Total Indonesia		110,131,996
		Israel — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	15,783,000	Israel Electric Corp Ltd, Reg S, 8.10%, due 12/15/96		18,103,574
		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		1,164,734
EUR	27,800,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		20,119,201
		Total Ivory Coast		21,283,935
		Jamaica — 0.8%
		Corporate Debt — 0.2%
	7,340,755	TransJamaican Highway Ltd, Reg S, 5.75%, due 10/10/36		6,078,145
		Sovereign and Sovereign Agency Issuers — 0.6%
	4,375,000	Jamaica Government International Bond, 7.88%, due 07/28/45		5,047,109
	9,300,000	National Road Operating & Constructing Co Ltd, Reg S, 9.38%, due 11/10/24 (c)		9,504,600
				14,551,709
		Total Jamaica		20,629,854

Par Value†		Description	Value ($)
		Jordan — 1.4%
		Sovereign and Sovereign Agency Issuers — 1.4%
	44,195,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		36,828,246
		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		1,227,300
	26,000,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		21,194,875
		Total Kazakhstan		22,422,175
		Kenya — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	40,694,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		29,726,967
		Kuwait — 0.1%
		Corporate Debt
	3,300,000	Equate Petrochemical BV, Reg S, 2.63%, due 04/28/28		2,887,088
		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)		1,170,450
	5,547,000	Lebanon Government International Bond, Reg S, 7.00%, due 03/20/28 (d)		300,925
	60,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d)		3,420,395
	21,000,000	Lebanon Government International Bond, 8.20%, due 05/17/33 (d)		1,185,187
	56,914,000	Lebanon Government International Bond, 8.25%, due 05/17/34 (d)		3,301,012
		Total Lebanon		9,377,969
		Malaysia — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	4,900,000	Dua Capital Ltd, Reg S, 2.78%, due 05/11/31		4,227,622
	6,800,000	Petronas Capital Ltd, Reg S, 4.80%, due 04/21/60		6,427,275
		Total Malaysia		10,654,897
		Mexico — 5.8%
		Sovereign and Sovereign Agency Issuers — 5.8%
	5,940,000	Comision Federal de Electricidad, Reg S, 5.00%, due 07/30/49		4,677,750
	152,000,000	Petroleos Mexicanos, 7.69%, due 01/23/50		97,948,800
	5,200,000	Petroleos Mexicanos, Reg S, 6.63%, due 12/28/2170		3,008,850
GBP	54,506,000	United Mexican States, 5.63%, due 03/19/2114		49,750,249
		Total Mexico		155,385,649

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		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		2,239,313
		Montenegro — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
EUR	7,300,000	Montenegro Government International Bond, Reg S, 2.88%, due 12/16/27		6,380,392
		Morocco — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	6,800,000	Morocco Government International Bond, 144A, 6.50%, due 09/08/33		6,933,025
	5,400,000	OCP SA, Reg S, 5.13%, due 06/23/51		3,877,200
	9,200,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		8,376,600
		Total Morocco		19,186,825
		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		5,299,885
		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		29,066,822
		Oman — 2.9%
		Sovereign and Sovereign Agency Issuers — 2.9%
	11,500,000	Lamar Funding Ltd, Reg S, 3.96%, due 05/07/25		10,966,688
	64,600,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		60,695,737
	5,900,000	Oryx Funding Ltd, Reg S, 5.80%, due 02/03/31		5,668,794
		Total Oman		77,331,219
		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		5,202,881
	4,826,000	Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31		1,545,225
		Total Pakistan		6,748,106
		Panama — 2.2%
		Sovereign and Sovereign Agency Issuers — 2.2%
	14,561,000	Aeropuerto Internacional de Tocumen SA, Reg S, 5.13%, due 08/11/61		10,928,031
	2,874,038	AES Panama Generation Holdings SRL, Reg S, 4.38%, due 05/31/30		2,489,635
	9,837,000	Panama Government International Bond, 8.13%, due 04/28/34		10,742,004

Par Value†		Description	Value ($)
		Panama — continued
		Sovereign and Sovereign Agency Issuers — continued
	2,800,000	Panama Government International Bond, 6.40%, due 02/14/35		2,924,775
	2,800,000	Panama Government International Bond, 6.85%, due 03/28/54		2,869,650
	26,600,000	Panama Government International Bond, 4.50%, due 04/01/56		19,655,737
	12,000,000	Panama Government International Bond, 4.50%, due 01/19/63		8,608,500
		Total Panama		58,218,332
		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		994,331
		Peru — 2.1%
		Sovereign and Sovereign Agency Issuers — 2.1%
PEN	42,800,000	Peru Government Bond, 6.15%, due 08/12/32		10,934,441
	26,800,000	Peruvian Government International Bond, 3.60%, due 01/15/72		17,483,650
	45,195,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		27,433,365
		Total Peru		55,851,456
		Philippines — 2.2%
		Sovereign and Sovereign Agency Issuers — 2.2%
	3,800,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		5,130,000
	3,200,000	Philippine Government International Bond, 3.20%, due 07/06/46		2,365,600
	8,700,000	Philippine Government International Bond, 5.95%, due 10/13/47		9,541,725
	3,500,000	Philippine Government International Bond, 5.50%, due 01/17/48		3,629,719
	32,512,000	Power Sector Assets & Liabilities Management Corp, 9.63%, due 05/15/28		37,405,056
		Total Philippines		58,072,100
		Poland — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	5,000,000	Bank Gospodarstwa Krajowego, 144A, 5.38%, due 05/22/33		4,993,750
	11,400,000	Republic of Poland Government International Bond, 5.75%, due 11/16/32		12,086,137
	9,000,000	Republic of Poland Government International Bond, 4.88%, due 10/04/33		8,967,938
	7,300,000	Republic of Poland Government International Bond, 5.50%, due 04/04/53		7,328,744
		Total Poland		33,376,569

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Qatar — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	10,878,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		10,645,483
		Republic of North Macedonia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
EUR	7,800,000	North Macedonia Government International Bond, Reg S, 1.63%, due 03/10/28		6,666,290
		Romania — 2.1%
		Sovereign and Sovereign Agency Issuers — 2.1%
EUR	16,200,000	Romanian Government International Bond, Reg S, 6.63%, due 09/27/29		17,703,633
	10,900,000	Romanian Government International Bond, Reg S, 6.00%, due 05/25/34		10,687,450
EUR	7,300,000	Romanian Government International Bond, Reg S, 2.88%, due 04/13/42		4,612,532
EUR	5,600,000	Romanian Government International Bond, Reg S, 4.63%, due 04/03/49		4,441,868
EUR	14,900,000	Romanian Government International Bond, Reg S, 3.38%, due 01/28/50		9,469,367
	8,000,000	Romanian Government International Bond, Reg S, 7.63%, due 01/17/53		8,453,654
		Total Romania		55,368,504
		Russia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	6,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (c) (d) (g)		343,500
	5,200,000	GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (c) (d) (g)		260,000
	6,800,000	GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (c) (d) (g)		340,000
	6,400,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35 (c) (d)		320,000
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35 (c) (d)		1,700,000
		Total Russia		2,963,500
		Rwanda — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	4,500,000	Rwanda International Government Bond, Reg S, 5.50%, due 08/09/31		3,268,969
		Saudi Arabia — 3.8%
		Corporate Debt — 1.4%
	29,989,900	ACWA Power Management & Investments One Ltd, Reg S, 5.95%, due 12/15/39		28,927,133
	11,900,000	EIG Pearl Holdings Sarl, 144A, 4.39%, due 11/30/46		9,268,553
				38,195,686

Par Value†		Description	Value ($)
		Saudi Arabia — continued
		Sovereign and Sovereign Agency Issuers — 2.4%
	11,000,000	Saudi Government International Bond, Reg S, 4.63%, due 10/04/47		9,658,000
	9,000,000	Saudi Government International Bond, Reg S, 5.00%, due 01/18/53		8,250,750
	64,500,000	Saudi Government International Bond, Reg S, 3.45%, due 02/02/61		45,121,781
				63,030,531
		Total Saudi Arabia		101,226,217
		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		4,693,987
		Serbia — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	9,700,000	Serbia International Bond, Reg S, 6.50%, due 09/26/33		9,401,725
EUR	13,600,000	Serbia International Bond, Reg S, 2.05%, due 09/23/36		8,525,067
		Total Serbia		17,926,792
		South Africa — 4.5%
		Sovereign and Sovereign Agency Issuers — 4.5%
	5,420,000	Eskom Holdings SOC Ltd, Reg S, 7.13%, due 02/11/25		5,178,810
	19,700,000	Eskom Holdings SOC Ltd, Reg S, 8.45%, due 08/10/28		17,986,100
ZAR	165,550,000	Eskom Holdings SOC Ltd, Zero Coupon, due 12/31/32		1,586,845
ZAR	1,057,200,000	Republic of South Africa Government International Bond, 6.50%, due 02/28/41		30,501,387
	58,400,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		39,558,700
	23,100,000	Republic of South Africa Government International Bond, 7.30%, due 04/20/52		18,527,644
	5,700,000	Transnet SOC Ltd, Reg S, 8.25%, due 02/06/28		5,444,569
ZAR	22,200,000	Transnet SOC Ltd, 13.50%, due 04/18/28		1,174,884
		Total South Africa		119,958,939
		Sri Lanka — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	5,880,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26 (d)		2,187,727
	9,444,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27 (d)		3,413,416
	28,000,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28 (d)		10,111,500
	7,100,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29 (d)		2,592,281
	24,400,000	Sri Lanka Government International Bond, Reg S, 7.55%, due 03/28/30 (d)		8,811,450
		Total Sri Lanka		27,116,374

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		SupraNational — 0.0%
		Sovereign and Sovereign Agency Issuers — 0.0%
TRY	44,500,000	International Finance Corp, Reg S, Zero Coupon, due 02/15/29		537,983
		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)		11,211,500
	14,259,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d)		10,692,468
		Total Suriname		21,903,968
		Tajikistan — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	9,274,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		7,511,940
		Trinidad And Tobago — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	21,100,000	Heritage Petroleum Co Ltd, Reg S, 9.00%, due 08/12/29		21,862,237
	9,900,000	Telecommunications Services of Trinidad & Tobago Ltd, Reg S, 8.88%, due 10/18/29		8,272,688
		Total Trinidad And Tobago		30,134,925
		Tunisia — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
JPY	5,960,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		17,111,071
JPY	2,030,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		5,245,290
JPY	730,000,000	Banque Centrale de Tunisie SA, 3.50%, due 02/03/33		1,833,842
		Total Tunisia		24,190,203
		Turkey — 3.2%
		Sovereign and Sovereign Agency Issuers — 3.2%
	12,644,000	Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25		10,963,138
	18,702,000	Republic of Turkey, 6.00%, due 01/14/41		13,089,062
	92,913,000	Republic of Turkey, 5.75%, due 05/11/47		60,788,331
		Total Turkey		84,840,531
		Ukraine — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	5,500,000	NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 (c) (d)		935,000
	13,900,000	State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/30 (c) (d)		2,278,731
	7,919,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/28 (c) (d)		1,513,519
	4,769,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/29 (c) (d)		909,985

Par Value†		Description	Value ($)
		Ukraine — continued
		Sovereign and Sovereign Agency Issuers — continued
	19,400,000	Ukraine Government International Bond, Reg S, 9.75%, due 11/01/30 (c) (d)		3,871,512
	30,500,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/34 (c) (d)		5,499,531
	24,300,000	Ukraine Government International Bond, Reg S, 7.25%, due 03/15/35 (c) (d)		4,469,681
	200,000	Ukraine Railways Via Rail Capital Markets PLC, Reg S, 7.88%, due 07/15/28 (c) (d)		45,538
		Total Ukraine		19,523,497
		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		3,416,256
	6,700,000	Abu Dhabi Government International Bond, Reg S, 3.13%, due 09/30/49		4,883,881
	7,400,000	Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70		4,448,325
	6,200,000	DAE Funding LLC, Reg S, 3.38%, due 03/20/28		5,625,725
	15,900,000	Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50		9,751,669
	23,000,000	Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51		15,155,563
	2,700,000	MDGH GMTN (RSC) Ltd, 144A, 5.50%, due 04/28/33		2,865,881
		Total United Arab Emirates		46,147,300
		United States — 0.6%
		Asset-Backed Securities — 0.3%
	736,373	CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 5.35%, due 12/15/35		706,977
	231,564	CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 5.35%, due 12/15/35		227,888
	541,958	CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 5.31%, due 05/15/36		510,626
	6,562,982	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 5.29%, due 11/25/36		2,326,343
	6,616,776	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 5.36%, due 11/25/36		2,346,635
	3,419,007	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 5.50%, due 04/25/37		1,309,325
				7,427,794

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — 0.3%
	9,100,000	U.S. Treasury Note, 3.88%, due 11/30/27 (h)		9,114,574
		Total United States		16,542,368
		Uruguay — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	14,018,000	Uruguay Government International Bond, 5.10%, due 06/18/50		13,757,791
		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		4,957,288
	1,037,000	Uzbek Industrial & Construction Bank ATB, Reg S, 5.75%, due 12/02/24		959,095
	8,100,000	Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28		6,459,750
		Total Uzbekistan		12,376,133
		Venezuela — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (d)		557,325
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d)		5,016,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d)		1,239,340
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d)		1,208,278
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d)		2,324,100
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d)		1,508,125
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d)		10,972,355
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d)		5,736,450
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d)		584,500
		Total Venezuela		29,146,473
		Vietnam — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	15,858,000	Debt & Asset Trading Corp, Reg S, 1.00%, due 10/10/25		13,259,270
	8,018,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 6.31%, due 03/13/28 (c)		7,376,560
		Total Vietnam		20,635,830
		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)		1,296,481

Par Value†		Description	Value ($)
		Zambia — continued
		Sovereign and Sovereign Agency Issuers — continued
	26,772,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (d)		12,922,510
		Total Zambia		14,218,991
		TOTAL DEBT OBLIGATIONS (COST $3,678,936,959)		2,476,433,095
		LOAN ASSIGNMENTS — 1.1%
		Chad — 0.4%
	1,886,806	Glencore UK (Chad) Loan Agreement,
		Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 7.52%, due 09/30/25 (c)		1,545,294
	12,438,498	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 7.77%, due 12/31/27 (c)		8,383,548
		Total Chad		9,928,842
		Kenya — 0.1%
	1,966,667	Republic of Kenya Loan Agreement, 6 mo. LIBOR + 6.70%, 12.35%, due 04/10/25 (a)		1,769,072
		Turkey — 0.6%
	19,275,000	Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, 8.85%, due 06/23/28 (a)		17,512,594
		TOTAL LOAN ASSIGNMENTS (COST $34,737,768)		29,210,508
		LOAN PARTICIPATIONS — 0.5%
		Angola — 0.4%
	194,000	Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 10.15%, due 12/07/23 (c)		193,030
	7,771,429	Republic of Angola Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c)		7,227,429
	3,850,000	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		3,734,500
		Total Angola		11,154,959
		Egypt — 0.0%
CHF	237	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a)		214
		Iraq — 0.0%
EUR	559,895	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c)		500,472

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

	Par Value† / Shares		Description	Value ($)
			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)		714,627
CHF		5,155,077	Republic of Sudan Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (d)		311,314
			Total Sudan		1,025,941
			TOTAL LOAN PARTICIPATIONS (COST $32,372,550)		12,681,588
			INVESTMENT FUNDS — 0.1%
			Colombia — 0.1%
		3,272,155	Bona Fide Investments Feeder LLC (a) (i) (j)		3,654,150
			TOTAL INVESTMENT FUNDS (COST $3,272,155)		3,654,150
			MUTUAL FUNDS — 1.0%
			United States — 1.0%
			Affiliated Issuers — 1.0%
		5,516,891	GMO U.S. Treasury Fund		27,584,457
			TOTAL MUTUAL FUNDS (COST $27,623,760)		27,584,457
			RIGHTS/WARRANTS — 0.4%
			Argentina — 0.3%
EUR		271,989,676	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (k)		8,412,994
JPY		1,898,045,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (a) (k)		197,110
			Total Argentina		8,610,104

Shares		Description	Value ($)
		Ukraine — 0.1%
	11,746,000	Government of Ukraine GDP Linked, Variable Rate, Reg S, Expires 08/01/41 (c) (d) (k)		3,368,166
		TOTAL RIGHTS/WARRANTS (COST $44,856,294)		11,978,270
		SHORT-TERM INVESTMENTS — 1.4%
		Money Market Funds — 0.1%
	2,023,137	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (l)		2,023,137
		Repurchase Agreements — 1.3%
	35,000,000	Nomura Securities International, Inc. Repurchase Agreement, dated, 05/31/23 maturing on 06/01/23 with a maturity value of $35,004,900 and an effective yield of 5.04%, collateralized by a U.S. Treasury Note with maturity date 10/31/27 and a market value of $35,714,373.		35,000,000
		TOTAL SHORT-TERM INVESTMENTS (COST $37,023,137)		37,023,137
		TOTAL INVESTMENTS — 96.8% (Cost $3,858,822,623)		2,598,565,205
		Other Assets and Liabilities (net) — 3.2%		85,467,466
		TOTAL NET ASSETS — 100.0%		$2,684,032,671

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 May 31, 2023
Bona Fide Investments Feeder LLC	12/31/21	$	3,272,155	0.1%	$	3,654,150
GTLK Europe Capital DAC, Reg S, 4.65%,due 03/10/27	04/30/20		6,693,581	0.0%		343,500
GTLK Europe Capital DAC, Reg S, 4.80%,due 02/26/28	03/12/21		5,325,029	0.0%		260,000
GTLK Europe Capital DAC, Reg S, 4.35%,due 02/27/29	01/26/22		5,922,366	0.0%		340,000
					$	4,597,650

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Bond Forward Contracts

Reference Entity	Counterparty	Notional Amount			Expiration Date		Net Unrealized Appreciation/ (Depreciation) ($)
Colombian TES	CITI		COP	59,980,000,000		06/27/23	$	192,013

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/20/2023	SSB	EUR	128,500,000		USD	140,062,198		2,566,502
07/18/2023	SSB	GBP	41,000,000		USD	51,229,500		180,640
10/11/2023	MSCI	HKD	851,300,000		USD	109,239,061		169,509
06/20/2023	BOA	JPY	4,450,100,000		USD	32,889,510		861,020
07/31/2023	BCLY	TRY	490,600,000		USD	21,082,165		732,802
07/10/2023	MSCI	USD	3,260,640		COP	15,400,000,000		167,759
08/02/2023	MSCI	BRL	28,700,000		USD	5,564,496		(31,791	)
07/10/2023	MSCI	COP	90,220,000,000		USD	19,297,735		(787,339	)
06/05/2023	MSCI	PEN	36,200,000		USD	9,739,561		(117,005	)
08/31/2023	JPM	PEN	36,200,000		USD	9,797,023		(2,457	)
06/05/2023	JPM	USD	9,859,730		PEN	36,200,000		(3,164	)
08/30/2023	MSCI	ZAR	664,300,000		USD	33,341,255		(50,945	)
							$	3,685,531

Reverse Repurchase Agreements^(m)

Face Value			Description	Value ($)
USD	(739,630	)	Nomura International Plc, 1.00%, dated 05/11/23, (collateral: El Salvador Government International Bond, Reg S, 7.12%, due 01/20/50), to be repurchased on demand at face value plus accrued interest.		(739,630	)
USD	(897,758	)	Nomura International Plc, 3.00%, dated 05/15/23, (collateral: Ecuador Government International Bond, Reg S, Step Up, 2.50%, due 07/31/35), to be repurchased on demand at face value plus accrued interest.		(897,758	)
USD	(524,560	)	Nomura International Plc, 3.75%, dated 05/15/23, (collateral: Ecuador Government International Bond, Reg S, Zero Coupon, due 07/31/30), to be repurchased on demand at face value plus accrued interest.		(524,560	)
USD	(3,299,080	)	Nomura International Plc, 3.75%, dated 05/15/23, (collateral: El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35), to be repurchased on demand at face value plus accrued interest.		(3,299,080	)
USD	(399,709	)	Nomura International Plc, 4.00%, dated 05/15/23, (collateral: Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43), to be repurchased on demand at face value plus accrued interest.		(399,709	)
USD	(5,914,909	)	Nomura International Plc, 4.50%, dated 05/23/23, (collateral: Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45), to be repurchased on demand at face value plus accrued interest.		(5,914,909	)
USD	(713,292	)	Nomura International Plc, 4.50%, dated 05/23/23, (collateral: Ecuador Government International Bond, Reg S, Step Up, 5.50%, due 07/31/30), to be repurchased on demand at face value plus accrued interest.		(713,292	)
				$	(12,488,938	)
			Average balance outstanding	$	(8,678,864	)
			Average interest rate (net)		(3.79	)%
			Maximum balance outstanding	$	(12,488,938	)

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)

May 31, 2023 (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)		(162,386	)		14,857
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)		(1,480,907	)		140,165
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)		(4,597,770	)		195,899
					$	(6,241,063	)	$	350,921

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%

2.43%

N/A

12/20/2027

Quarterly

$

11,377,800

$

6,488,597

$

(4,889,203

)

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^:
Republic of Nigeria	JPM	USD	9,100,000	5.00%	3.93%	N/A		12/20/2023	Quarterly		182,831		(52,665	)		(235,496	)
Petrobras Global Finance BV	CITI	USD	40,600,000	1.00%	0.84%	N/A		12/20/2024	Quarterly		644,565		(97,024	)		(741,589	)
Republic of Turkey	BCLY	USD	14,000,000	1.00%	5.99%	N/A		12/20/2024	Quarterly		1,744,254		1,000,974			(743,280	)
Republic of Turkey	CITI	USD	19,700,000	1.00%	5.99%	N/A		12/20/2024	Quarterly		1,335,735		1,408,514			72,779
Commonwealth of Bahamas	DB	EUR	23,501,331	1.00%	7.67%	N/A		06/20/2025	Quarterly		2,918,259		1,489,550			(1,428,709	)
Republic of Brazil	MORD	USD	14,000,000	1.00%	0.72%	N/A		06/20/2025	Quarterly		110,957		(77,520	)		(188,477	)
Republic of Colombia	CITI	USD	4,900,000	1.00%	1.28%	N/A		06/20/2025	Quarterly		66,492		26,845			(39,647	)
Republic of Colombia	CITI	USD	45,000,000	1.00%	1.28%	N/A		06/20/2025	Quarterly		913,315		246,538			(666,777	)
Republic of South Africa	BCLY	USD	37,800,000	1.00%	2.06%	N/A		06/20/2025	Quarterly		561,569		771,357			209,788
Republic of Egypt	CITI	USD	2,500,000	1.00%	18.81%	N/A		12/20/2027	Quarterly		712,500		1,117,167			404,667
Republic of Egypt	JPM	USD	2,800,000	1.00%	18.81%	N/A		12/20/2027	Quarterly		772,800		1,251,228			478,428
Republic of Egypt	JPM	USD	2,800,000	1.00%	18.81%	N/A		12/20/2027	Quarterly		812,000		1,251,228			439,228
Kingdom of Bahrain	MORD	USD	6,000,000	1.00%	2.64%	N/A		06/20/2028	Quarterly		446,557		424,049			(22,508	)
Republic of South Africa	MORD	USD	41,600,000	1.00%	3.15%	N/A		06/20/2028	Quarterly		3,441,730		3,816,646			374,916
Republic of Turkey	MORD	USD	1,800,000	1.00%	5.99%	N/A		06/20/2028	Quarterly		394,493		345,550			(48,943	)
United States of Mexico	BCLY	USD	16,200,000	1.00%	1.15%	N/A		06/20/2028	Quarterly		269,613		109,880			(159,733	)
United States of Mexico	GS	USD	16,200,000	1.00%	1.41%	N/A		06/20/2029	Quarterly		1,287,609		350,851			(936,758	)
United States of Mexico	GS	USD	16,200,000	1.00%	1.77%	N/A		09/20/2031	Quarterly		2,138,931		848,965			(1,289,966	)

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (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) ($)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	2,787,000		1.00%		6.24%		2,787,000 USD		06/20/2023		Quarterly		(508,123	)		(7,989	)		500,134
Commonwealth of Bahamas	DB	USD	5,675,000		1.00%		6.24%		5,675,000 USD		06/20/2023		Quarterly		(1,017,200	)		(16,267	)		1,000,933
Commonwealth of Bahamas	DB	USD	31,567,771		1.00%		7.66%		31,567,771 USD		06/20/2025		Quarterly		(3,380,251	)		(1,838,539	)		1,541,712
														$	13,848,636		$	12,369,338		$	(1,479,298	)

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

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

⁽¹⁾  As of May 31, 2023, 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	12.70%	BRL	1,780,364,487		01/02/2025	At Maturity		—			5,724,964			5,724,964
0.30%	JPY-TONA-OIS-COMPOUND	JPY	9,270,000,000		12/21/2027	Annually		(67,598	)		(137,757	)		(70,159	)
USD - SOFR - COMPOUND	4.01%	USD	50,200,000		12/21/2027	Annually		1,257,670			894,715			(362,955	)
0.58%	JPY-TONA-OIS-COMPOUND	JPY	4,710,000,000		12/21/2032	Annually		(108,339	)		95,039			203,378
2.80%	6 Month EURIBOR	EUR	22,600,000		03/16/2033	Semi-Annually		86,566			295,732			209,166
2.30%	6 Month EURIBOR	EUR	30,200,000		03/19/2053	Semi-Annually		(91,667	)		1,939,159			2,030,826
3.40%	GBP - SONIA - COMPOUND	GBP	25,000,000		09/20/2053	Annually		(77,731	)		2,397,451			2,475,182
							$	998,901		$	11,209,303		$	10,210,402

As of May 31, 2023, 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) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements.

(g) The security is restricted as to resale.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

(h) 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.

(i) Affiliated company.

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

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

(l) The rate disclosed is the 7 day net yield as of May 31, 2023.

(m) Reverse repurchase agreements have an open maturity date and can be closed by either party on demand.

The rates shown on variable rate notes are the current interest rates at May 31, 2023, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

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

AMBAC - Insured as to the payment of principal and interest by AMBAC Assurance Corporation.

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

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 - Brazilian Real

CHF - Swiss Franc

COP - Colombian Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

PEN - Peruvian Sol

TRY - Turkish Lira

USD - United States Dollar

ZAR - South African Rand

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 46.7%
		Corporate Debt — 17.5%
		Australia — 1.4%
	2,325,000	FMG Resources August 2006 Pty Ltd, 144A, 4.38%, due 04/01/31		1,964,959
	550,000	Mineral Resources Ltd, 144A, 8.00%, due 11/01/27		551,601
		Total Australia		2,516,560
		Canada — 2.3%
	1,090,000	Air Canada, 144A, 3.88%, due 08/15/26		1,011,832
	450,000	Parkland Corp, 144A, 4.50%, due 10/01/29		389,652
	200,000	Parkland Corp, 144A, 4.63%, due 05/01/30		172,900
	450,000	Superior Plus LP / Superior General Partner Inc, 144A, 4.50%, due 03/15/29		394,686
	1,150,000	TransAlta Corp, 7.75%, due 11/15/29		1,196,518
	1,200,000	Videotron Ltd, 144A, 3.63%, due 06/15/29		1,032,348
		Total Canada		4,197,936
		Cayman Islands — 0.5%
	981,000	Sands China Ltd, 5.90%, due 08/08/28		927,152
		Hong Kong — 0.8%
	750,000	Melco Resorts Finance Ltd, 144A, 5.75%, due 07/21/28		630,054
	1,000,000	Melco Resorts Finance Ltd, 144A, 5.38%, due 12/04/29		798,648
		Total Hong Kong		1,428,702
		United Kingdom — 1.3%
	1,500,000	Rolls-Royce Plc, 144A, 5.75%, due 10/15/27		1,460,009
	1,000,000	Virgin Media Secured Finance Plc, 144A, 4.50%, due 08/15/30		831,058
		Total United Kingdom		2,291,067
		United States — 11.2%
	300,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.38%, due 06/15/29		276,187
	325,000	Apache Corp., 5.35%, due 07/01/49		247,683
	250,000	Arconic Corp., 144A, 6.00%, due 05/15/25		250,674
	450,000	Builders FirstSource, Inc., 144A, 4.25%, due 02/01/32		387,036
	1,300,000	CCO Holdings LLC / CCO Holdings Capital Corp., 144A, 4.75%, due 03/01/30		1,096,379
	400,000	CNX Resources Corp., 144A, 7.38%, due 01/15/31		385,479
	250,000	Cogent Communications Group, Inc., 144A, 3.50%, due 05/01/26		229,592
	550,000	Coty, Inc. / HFC Prestige Products, Inc. / HFC Prestige International U.S. LLC, 144A, 4.75%, due 01/15/29		504,969
	700,000	Crown Americas LLC, 5.25%, due 04/01/30		668,115

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	750,000	Directv Financing LLC / Directv Financing Co., Inc., 144A, 5.88%, due 08/15/27		660,613
	750,000	Fortress Transportation and Infrastructure Investors LLC, 144A, 5.50%, due 05/01/28		673,288
	1,100,000	Howard Hughes Corp. (The), 144A, 5.38%, due 08/01/28		977,999
	300,000	Howard Hughes Corp. (The), 144A, 4.38%, due 02/01/31		236,284
	450,000	Howmet Aerospace, Inc., 3.00%, due 01/15/29		393,945
	550,000	International Game Technology Plc, 144A, 6.25%, due 01/15/27		548,922
	1,975,000	Iron Mountain Information Management Services, Inc., 144A, 5.00%, due 07/15/32		1,683,578
	500,000	Jefferies Finance LLC / JFIN Co.-Issuer Corp., 144A, 5.00%, due 08/15/28		407,382
	500,000	KB Home, 4.80%, due 11/15/29		457,070
	625,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, 4.25%, due 02/01/27		529,541
	1,050,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, 4.75%, due 06/15/29		820,679
	400,000	Las Vegas Sands Corp., 3.50%, due 08/18/26		370,443
	1,800,000	Las Vegas Sands Corp., 3.90%, due 08/08/29		1,592,184
	625,000	Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31		527,927
	1,500,000	New Fortress Energy, Inc., 144A, 6.50%, due 09/30/26		1,329,368
	812,000	Occidental Petroleum Corp., 8.50%, due 07/15/27		889,440
	636,000	PG&E Corp., 5.00%, due 07/01/28		586,665
	750,000	PG&E Corp., 5.25%, due 07/01/30		677,756
	400,000	Talen Energy Supply LLC, 144A, 8.63%, due 06/01/30		407,480
	393,097	Topaz Solar Farms LLC, 144A, 5.75%, due 09/30/39		388,179
	748,000	United Airlines, Inc., 144A, 4.63%, due 04/15/29		677,570
	500,000	Vector Group Ltd., 144A, 5.75%, due 02/01/29		434,472
	400,000	Vistra Operations Co. LLC, 144A, 4.38%, due 05/01/29		348,643
	800,000	Yum! Brands, Inc., 4.63%, due 01/31/32		727,585
		Total United States		20,393,127
		Total Corporate Debt		31,754,544
		U.S. Government — 29.2%
	2,200,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 5.40%, due 07/31/23 (a)		2,199,975
	38,600,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 5.30%, due 04/30/24 (a)		38,572,536

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

	Par Value† / Shares		Description	Value ($)
			Corporate Debt — continued
			U.S. Government — continued
		5,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 07/31/24 (a)		5,500,404
		6,700,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.57%, due 01/31/25 (a)		6,712,392
			Total U.S. Government		52,985,307
			TOTAL DEBT OBLIGATIONS (COST $86,064,652)		84,739,851
			SHORT-TERM INVESTMENTS — 42.9%
			Repurchase Agreements — 16.5%
		30,000,000	Nomura Securities International, Inc. Repurchase Ageement, dated 05/31/23, maturing on 06/01/23 with a maturity value of $30,004,200 and an effective yield of 5.04%, collateralized by a U.S. Treasury Note with maturity date 10/31/27 and a market value of $30,612,166.		30,000,000
			Sovereign and Sovereign Agency Issuers — 24.5%
JPY		1,700,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/12/23		12,202,081
JPY		4,500,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/19/23		32,300,681
			Total Sovereign and Sovereign Agency Issuers		44,502,762
			Money Market Funds — 1.9%
		3,337,330	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (b)		3,337,330
			TOTAL SHORT-TERM INVESTMENTS (COST $79,229,044)		77,840,092
			TOTAL INVESTMENTS — 89.6% (Cost $165,293,696)		162,579,943
			Other Assets and Liabilities (net) — 10.4%		18,886,502
			TOTAL NET ASSETS — 100.0%		$181,466,445

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/12/2023	BCLY	JPY	4,000,000,000		USD	29,836,607		1,083,402
06/20/2023	MSCI	JPY	4,500,000,000		USD	33,406,008		1,018,375
06/12/2023	CGMI	USD	16,476,968		JPY	2,300,000,000		56,125
							$	2,157,902

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
35	U.S. Treasury Note 10 Yr. (CBT)		September 2023		4,006,406		1,092
32	U.S. Treasury Note 2 Yr. (CBT)		September 2023		6,586,500		(9,755	)
124	U.S. Treasury Note 5 Yr. (CBT)		September 2023		13,525,688		(23,901	)
				$	24,118,594	$	(32,564	)
Sales
4	U.S. Long Bond (CBT)		September 2023		513,375		(3,849	)
1	U.S. Ultra Bond (CBT)		September 2023		136,875		(1,740	)
				$	650,250	$	(5,589	)

+ 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.HY.S40

BCLY

99.50%

06/21/23

USD

(27,430,000

)

Fixed Spread

Pay

(78,827

)

CDX.NA.HY.S40

GS

97.50%

07/19/23

USD

(9,060,000

)

Fixed Spread

Pay

(34,007

)

Total Written Options On Credit Default Swaps — Puts

(112,834

)

TOTAL WRITTEN OPTIONS (Premiums $345,765)

$

(112,834

)

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity

Notional Amount

Annual Premium

Implied Credit Spread (1)

Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Sell Protection^:

CDX.NA.HYS.40.V1

USD

26,849,000

5.00%

4.75%

26,849,000

USD

06/20/2028

Quarterly

$

172,329

$

268,946

$

96,617

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

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

⁽¹⁾  As of May 31, 2023, 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 iBoxx USD Liquid High Yield Index	JPM		USD	16,910,000		06/20/2023		Quarterly		(167	)		207,951			208,118
SOFR	Total Return on iBoxx USD Liquid High Yield Index	MSCI		USD	10,930,000		06/20/2023		Quarterly		(103	)		174,793			174,896
SOFR	Total Return on iBoxx USD Liquid High Yield Index	GS		USD	12,810,000		06/20/2023		Quarterly		(56,055	)		(141,056	)		(85,001	)
SOFR	Total Return on iBoxx USD Liquid High Yield Index	BCLY		USD	42,900,000		06/20/2023		Quarterly		(428	)		313,283			313,711
SOFR	Total Return on iBoxx USD Liquid High Yield Index	MSCI		USD	22,700,000		06/20/2023		Quarterly		(226	)		199,667			199,893
SOFR	Total Return on iBoxx USD Liquid High Yield Index	JPM		USD	990,000		06/20/2023		Quarterly		(6,058	)		(3,287	)		2,771
SOFR	Total Return on iBoxx USD Liquid High Yield Index	BCLY		USD	1,460,000		09/20/2023		Quarterly		(18	)		6,047			6,065
SOFR	Total Return on iBoxx USD Liquid High Yield Index	MSCI		USD	2,010,000		09/20/2023		Quarterly		(25	)		4,881			4,906
										$	(63,080	)	$	762,279		$	825,359

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

As of May 31, 2023, 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 May 31, 2023.

The rates shown on variable rate notes are the current interest rates at May 31, 2023, 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.

SOFR - Secured Overnight Financing Rate

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

CGMI - Citigroup Global Markets Inc.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 65.4%
		Australia — 0.2%
		Corporate Debt
	250,000	AngloGold Ashanti Holdings Plc, 3.38%, due 11/01/28		220,902
		Bermuda — 0.1%
		Corporate Debt
	200,000	Triton Container International Ltd / TAL International Container Corp, 3.25%, due 03/15/32		152,759
		Canada — 0.4%
		Corporate Debt
	150,000	Fairfax Financial Holdings Ltd, 5.63%, due 08/16/32		146,826
	150,000	Rogers Communications Inc, 5.00%, due 03/15/44		132,047
	150,000	Rogers Communications Inc, 144A, 4.50%, due 03/15/42		124,280
	150,000	Rogers Communications Inc, 144A, 4.55%, due 03/15/52		119,118
		Total Canada		522,271
		Chile — 0.2%
		Corporate Debt
	200,000	Enel Chile SA, 4.88%, due 06/12/28		193,975
		Hong Kong — 0.2%
		Corporate Debt
	250,000	Prudential Funding Asia Plc, 3.13%, due 04/14/30		222,555
		Japan — 1.3%
		Corporate Debt
	300,000	Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.08%, due 04/19/28		286,421
	200,000	Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.32%, due 04/19/33		186,009
	200,000	Mizuho Financial Group, Inc., 4.02%, due 03/05/28		190,379
	250,000	Mizuho Financial Group, Inc., Variable Rate, 4.25%, due 09/11/29		236,568
	200,000	Mizuho Financial Group, Inc., Variable Rate, 5.75%, due 05/27/34		204,025
	200,000	Sumitomo Mitsui Financial Group, Inc., 5.46%, due 01/13/26		200,774
	200,000	Sumitomo Mitsui Financial Group, Inc., 5.77%, due 01/13/33		208,911
		Total Japan		1,513,087
		Mexico — 0.2%
		Corporate Debt
	200,000	Southern Copper Corp, 5.88%, due 04/23/45		201,755

Par Value†		Description	Value ($)
		Netherlands — 0.2%
		Corporate Debt — continued
	200,000	ING Groep NV, Variable Rate, 4.02%, due 03/28/28		189,449
		Spain — 0.5%
		Corporate Debt
	200,000	Banco Bilbao Vizcaya Argentaria SA, 1.13%, due 09/18/25		180,742
	200,000	Banco Bilbao Vizcaya Argentaria SA, Variable Rate, 5.86%, due 09/14/26		199,112
	200,000	Banco Bilbao Vizcaya Argentaria SA, Variable Rate, 6.14%, due 09/14/28		202,603
		Total Spain		582,457
		United Kingdom — 1.6%
		Corporate Debt
	200,000	Barclays Plc, Variable Rate, 4.97%, due 05/16/29		190,872
	200,000	HSBC Holdings Plc, Variable Rate, 2.25%, due 11/22/27		177,876
	200,000	HSBC Holdings Plc, Variable Rate, 4.58%, due 06/19/29		189,682
	500,000	HSBC Holdings Plc, Variable Rate, 3.97%, due 05/22/30		456,221
	250,000	Lloyds Banking Group Plc, Variable Rate, 3.75%, due 03/18/28		233,315
	250,000	Mead Johnson Nutrition Co., 4.13%, due 11/15/25		246,352
	250,000	Natwest Group Plc, Variable Rate, 3.07%, due 05/22/28		227,194
	200,000	Natwest Group Plc, Variable Rate, 4.89%, due 05/18/29		192,777
		Total United Kingdom		1,914,289
		United States — 60.5%
		Asset-Backed Securities — 15.6%
	3,380,000	Citigroup Commercial Mortgage Trust, 144A, 3.90%, due 05/10/36		3,332,570
	15,310,000	Citigroup Commercial Mortgage Trust, 144A, 3.34%, due 05/10/36		15,072,683
				18,405,253
		Corporate Debt — 17.4%
	300,000	AbbVie, Inc., 4.50%, due 05/14/35		284,639
	250,000	AES Corp. (The), 1.38%, due 01/15/26		222,959
	150,000	AES Corp. (The), 2.45%, due 01/15/31		120,062
	250,000	Aircastle Ltd., 4.13%, due 05/01/24		244,572
	200,000	Aircastle Ltd., 4.25%, due 06/15/26		188,538
	250,000	Altria Group, Inc., 5.80%, due 02/14/39		241,981
	150,000	Altria Group, Inc., 5.95%, due 02/14/49		138,971
	350,000	Altria Group, Inc., 4.00%, due 02/04/61		238,430
	150,000	Amcor Finance USA, Inc., 3.63%, due 04/28/26		143,160

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	150,000	Arch Capital Group US, Inc., 5.14%, due 11/01/43		136,821
	250,000	Athene Holding Ltd., 4.13 %, due 01/12/28		231,198
	200,000	Athene Holding Ltd., 6.15 %, due 04/03/30		201,414
	150,000	AutoZone, Inc., 4.00%, due 04/15/30		139,874
	100,000	Baxalta, Inc., 5.25%, due 06/23/45		95,195
	150,000	Berry Global, Inc., 144A, 5.50 %, due 04/15/28		148,353
	200,000	Biogen, Inc., 4.05%, due 09/15/25		195,165
	150,000	Biogen, Inc., 2.25%, due 05/01/30		125,600
	200,000	Boeing Co. (The), 5.71%, due 05/01/40		197,034
	200,000	Boeing Co. (The), 5.81%, due 05/01/50		195,800
	250,000	Boeing Co. (The), 5.93%, due 05/01/60		243,680
	250,000	Booking Holdings, Inc., 3.65 %, due 03/15/25		244,747
	150,000	Booking Holdings, Inc., 3.60 %, due 06/01/26		145,280
	200,000	Booking Holdings, Inc., 4.63 %, due 04/13/30		198,767
	300,000	Broadcom, Inc., 144A, 3.42 %, due 04/15/33		249,160
	300,000	Broadcom, Inc., 144A, 3.19 %, due 11/15/36		224,497
	150,000	Broadcom, Inc., 144A, 4.93 %, due 05/15/37		134,905
	200,000	Cardinal Health, Inc., 3.08 %, due 06/15/24		194,994
	300,000	Cardinal Health, Inc., 4.37 %, due 06/15/47		241,169
	400,000	Carrier Global Corp., 2.72 %, due 02/15/30		344,595
	150,000	CDW LLC / CDW Finance Corp., 4.25%, due 04/01/28		138,629
	200,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 5.38%, due 04/01/38		168,665
	100,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 6.83%, due 10/23/55		92,510
	150,000	Continental Resources, Inc., 4.90 %, due 06/01/44		112,705
	350,000	Corning, Inc., 5.45%, due 11/15/79		309,621
	200,000	DCP Midstream Operating LP, 5.63%, due 07/15/27		201,385
	200,000	DCP Midstream Operating LP,, 5.38%, due 07/15/25		197,794
	250,000	DENTSPLY SIRONA, Inc., 3.25 %, due 06/01/30		218,600
	200,000	Dick’s Sporting Goods, Inc., 3.15%, due 01/15/32		161,783
	200,000	Dick’s Sporting Goods, Inc., 4.10%, due 01/15/52		133,301
	250,000	Eagle Materials, Inc., 2.50 %, due 07/01/31		203,502
	200,000	Ecolab, Inc., 5.25%, due 01/15/28		205,611
	200,000	Ecolab, Inc., 4.80%, due 03/24/30		238,152
	150,000	Eli Lilly & Co., 4.15%, due 03/15/59		131,620
	200,000	Enstar Group Ltd., 4.95%, due 06/01/29		188,345
	200,000	Equinix Inc., 1.00%, due 09/15/25		180,563
	150,000	FedEx Corp., 4.75%, due 11/15/45		130,701

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	200,000	FedEx Corp., 4.55%, due 04/01/46		168,666
	250,000	Fortune Brands Innovations Inc., 3.25%, due 09/15/29		218,115
	150,000	FS KKR Capital Corp., 3.40 %, due 01/15/26		136,005
	150,000	Gilead Sciences, Inc., 4.00 %, due 09/01/36		136,380
	250,000	GLP Capital LP / GLP Financing II, Inc., 5.38%, due 04/15/26		242,830
	150,000	GLP Capital LP / GLP Financing II, Inc., 5.75%, due 06/01/28		144,830
	250,000	GLP Capital LP / GLP Financing II, Inc., 4.00%, due 01/15/31		215,007
	150,000	Hasbro, Inc., 3.90%, due 11/19/29		136,880
	150,000	HCA, Inc., 5.38%, due 02/01/25		148,957
	150,000	HCA, Inc., 5.50%, due 06/15/47		137,286
	200,000	HCA, Inc., 5.25%, due 06/15/49		176,416
	150,000	International Business Machines Corp., 4.15%, due 05/15/39		131,224
	150,000	International Business Machines Corp., 3.43%, due 02/09/52		107,027
	150,000	Interpublic Group of Cos., Inc. (The), 4.75%, due 03/30/30		145,862
	150,000	JPMorgan Chase & Co., Variable Rate, 4.91%, due 07/25/33		147,509
	150,000	Kirby Corp., 4.20%, due 03/01/28		140,476
	250,000	Kyndryl Holdings, Inc., 2.05 %, due 10/15/26		213,900
	300,000	Kyndryl Holdings, Inc., 3.15 %, due 10/15/31		221,219
	150,000	Linde, Inc., 4.70%, due 12/05/25		150,029
	250,000	Lowe’s Cos., Inc., 5.80%, due 09/15/62		241,929
	150,000	McDonald’s Corp., (MTN), 4.70 %, due 12/09/35		146,135
	150,000	McDonald’s Corp., (MTN), 4.45 %, due 03/01/47		132,429
	200,000	Meta Platforms, Inc., 3.50 %, due 08/15/27		192,144
	150,000	Meta Platforms, Inc., 3.85 %, due 08/15/32		139,181
	250,000	Meta Platforms, Inc., 4.65 %, due 08/15/62		212,702
	150,000	Morgan Stanley, Variable Rate, 3.62%, due 04/01/31		135,579
	150,000	Motorola Solutions, Inc., 2.30 %, due 11/15/30		121,282
	150,000	Motorola Solutions, Inc., 2.75 %, due 05/24/31		123,545
	150,000	Motorola Solutions, Inc., 5.60 %, due 06/01/32		150,072
	250,000	MPLX LP, 5.50%, due 02/15/49		222,872
	300,000	Mylan, Inc., 5.20%, due 04/15/48		226,531
	250,000	NVIDIA Corp., 2.85%, due 04/01/30		228,502
	250,000	NVIDIA Corp., 3.50%, due 04/01/40		211,605
	200,000	NVIDIA Corp., 3.50%, due 04/01/50		160,432
	200,000	Omega Healthcare Investors, Inc., 3.38%, due 02/01/31		157,819
	150,000	Omega Healthcare Investors, Inc., 3.25%, due 04/15/33		110,912

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	300,000	Oracle Corp., 4.13%, due 05/15/45		231,319
	200,000	Oracle Corp., 6.90%, due 11/09/52		217,674
	300,000	Oracle Corp., 3.85%, due 04/01/60		202,281
	250,000	O’Reilly Automotive, Inc., 4.20%, due 04/01/30		237,745
	200,000	O’Reilly Automotive, Inc., 4.70%, due 06/15/32		194,842
	200,000	Otis Worldwide Corp., 2.06%, due 04/05/25		188,897
	250,000	Pacific Gas & Electric Co., 3.75%, due 07/01/28		227,109
	250,000	Pacific Gas & Electric Co., 5.90%, due 06/15/32		244,510
	150,000	Pacific Gas & Electric Co., 4.75%, due 02/15/44		114,534
	200,000	Philip Morris International, Inc., 4.13%, due 03/04/43		158,617
	250,000	Philip Morris International, Inc., 4.88%, due 11/15/43		219,632
	150,000	Philip Morris International, Inc., 4.25%, due 11/10/44		120,887
	200,000	Ross Stores, Inc., 4.60%, due 04/15/25		197,790
	150,000	Santander Holdings USA, Inc., Variable Rate, 4.26%, due 06/09/25		143,857
	250,000	Santander Holdings USA, Inc., 3.24%, due 10/05/26		226,814
	150,000	Santander Holdings USA, Inc., Variable Rate, 6.50%, due 03/09/29		152,069
	150,000	T-Mobile USA, Inc., 2.05%, due 02/15/28		130,757
	250,000	T-Mobile USA, Inc., 5.80%, due 09/15/62		250,263
	150,000	Trane Technologies Luxembourg Finance SA, 3.80%, due 03/21/29		141,068
	350,000	Union Pacific Corp., 4.10%, due 09/15/67		282,636
	350,000	Union Pacific Corp., 3.80%, due 04/06/71		265,460
	300,000	Utah Acquisition Sub, Inc., 5.25%, due 06/15/46		229,983
	150,000	VeriSign, Inc., 2.70%, due 06/15/31		124,978
	150,000	Verisk Analytics, Inc., 5.75%, due 04/01/33		155,703
	350,000	Viatris, Inc., 4.00%, due 06/22/50		224,849
	300,000	Vontier Corp., 2.95%, due 04/01/31		236,361
	300,000	Walmart, Inc., 2.50%, due 09/22/41		220,094
	150,000	Willis North America, Inc., 4.50%, due 09/15/28		142,961
	150,000	Workday, Inc., 3.80%, due 04/01/32		135,252
	150,000	Zimmer Biomet Holdings, Inc., 3.55%, due 04/01/25		145,216
				20,521,494
		U.S. Government — 3.7%
	3,900,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 5.30%, due 04/30/24 (a)		3,897,225
	450,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 07/31/24 (a)		450,033
				4,347,258

	Par Value† / Shares		Description	Value ($)
			United States — continued
			U.S. Government Agency — 23.8%
		5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 5.10%, due 06/05/23		4,999,985
		4,000,000	Federal National Mortgage Association, TBA, 3.00%, due 06/13/53		3,550,234
		4,800,000	Federal National Mortgage Association, TBA, 2.50%, due 06/15/38		4,417,312
		1,600,000	Federal National Mortgage Association, TBA, 2.50%, due 06/13/53		1,367,781
		300,000	Federal National Mortgage Association, TBA, 2.00%, due 06/13/53		246,625
		2,900,000	Federal National Mortgage Association, TBA, 5.50%, due 06/13/53		2,898,188
		8,800,000	Federal National Mortgage Association, TBA, 5.00%, due 06/13/53		8,668,516
		2,100,000	Government National Mortgage Association, TBA, 3.00%, due 06/20/53		1,889,959
					28,038,600
			Total United States		71,312,605
			TOTAL DEBT OBLIGATIONS (COST $78,476,444)		77,026,104
			MUTUAL FUNDS — 24.0%
			United States — 24.0%
			Affiliated Issuers
		247,731	GMO Emerging Country Debt Fund, Class VI		4,355,110
		974,867	GMO Opportunistic Income Fund, Class VI		23,962,240
			TOTAL MUTUAL FUNDS (COST $32,367,720)		28,317,350
			SHORT-TERM INVESTMENTS — 28.4%
			Repurchase Agreements — 16.1%
		19,000,000	Nomura Securities International, Inc. Repurchase Agreement, dated, 05/31/23 maturing on 06/01/23 with a maturity value of $19,002,660 and an effective yield of 5.04%, collateralized by a U.S. Treasury Note with maturity date 10/31/27 and a market value of $19,387,727.		19,000,000
			Money Market Funds — 0.6%
		682,683	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (b)		682,683
			Sovereign and Sovereign Agency Issuers — 11.7%
JPY		1,920,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/26/23		13,782,202
			TOTAL SHORT-TERM INVESTMENTS (COST $34,369,739)		33,464,885

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Notional Amount

Value ($)

Currency Options – Puts — 0.0%

USD Put/CHF Call

BCLY

0.88%

08/11/23

USD

4,360,000

USD

4,360,000

15,395

TOTAL PURCHASED OPTIONS (COST $51,143)

15,395

TOTAL INVESTMENTS — 117.8% (Cost $145,265,046)

138,823,734

Other Assets and Liabilities (net) — (17.8%)

(21,012,912

)

TOTAL NET ASSETS — 100.0%

$117,810,822

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/08/2023	SSB	AUD	6,310,000		USD	4,214,315		99,842
08/08/2023	JPM	AUD	1,330,000		USD	892,014		24,779
08/08/2023	BOA	AUD	450,000		USD	294,944		1,519
06/30/2023	GS	CAD	330,000		USD	243,992		727
06/30/2023	BCLY	CAD	2,550,000		USD	1,898,155		18,381
06/30/2023	BOA	CAD	570,000		USD	424,111		3,926
07/12/2023	MSCI	CHF	5,803,976		USD	6,572,885		170,969
08/15/2023	BCLY	CHF	1,458,909		USD	1,648,000		32,846
08/15/2023	JPM	CHF	230,000		USD	257,987		3,354
07/10/2023	MSCI	CLP	330,000,000		USD	410,609		5,336
07/17/2023	SSB	CZK	6,642,868		USD	313,646		14,898
07/17/2023	GS	CZK	2,800,000		USD	130,106		4,183
07/17/2023	MSCI	CZK	2,200,000		USD	103,059		4,119
07/17/2023	CGMI	CZK	2,200,000		USD	101,216		2,276
07/31/2023	JPM	EUR	2,800,000		USD	3,098,077		95,145
07/18/2023	JPM	GBP	300,000		USD	379,573		6,045
07/18/2023	SSB	GBP	200,000		USD	252,498		3,479
08/14/2023	JPM	HUF	15,230,100		USD	44,030		943
08/30/2023	CGMI	ILS	386,203		USD	104,454		489
06/26/2023	BOA	JPY	1,920,000,000		USD	14,928,495		1,096,855
06/20/2023	BCLY	JPY	78,000,000		USD	563,880		2,494
08/30/2023	JPM	NZD	1,360,000		USD	824,160		5,373
08/30/2023	MSCI	NZD	1,490,000		USD	901,331		4,278
06/05/2023	JPM	PEN	360,000		USD	98,053		31
06/27/2023	JPM	PHP	32,000,000		USD	574,919		7,094
08/22/2023	MSCI	PLN	3,300,000		USD	779,968		4,103
06/27/2023	MSCI	RON	2,431,041		USD	540,796		17,797
06/27/2023	GS	RON	450,000		USD	97,329		519
07/10/2023	BCLY	SEK	13,300,000		USD	1,301,370		73,234
07/10/2023	BOA	SEK	1,697,350		USD	166,061		9,326
07/10/2023	JPM	SEK	11,000,000		USD	1,087,987		72,235
08/22/2023	JPM	SGD	590,686		USD	440,075		1,983
06/06/2023	MSCI	TWD	23,445,600		USD	770,725		7,680
08/30/2023	JPM	TWD	23,445,600		USD	769,844		337
08/02/2023	MSCI	USD	846,049		BRL	4,363,667		4,834
06/30/2023	BOA	USD	411,442		CAD	560,000		1,371
06/30/2023	JPM	USD	2,504,483		CAD	3,410,000		9,254
08/15/2023	BOA	USD	187,781		CHF	170,000		426
07/10/2023	MSCI	USD	808,958		CLP	660,271,500		1,924

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/10/2023	MSCI	USD	121,317		COP	560,000,000		3,352
07/10/2023	JPM	USD	158,620		COP	720,000,000		1,670
08/14/2023	MSCI	USD	70,506		HUF	25,000,000		222
08/04/2023	MSCI	USD	264,493		KRW	350,000,000		1,056
07/18/2023	MSCI	USD	848,712		MXN	15,619,101		25,908
06/05/2023	MSCI	USD	182,953		PEN	680,000		2,198
08/31/2023	JPM	USD	97,429		PEN	360,000		24
06/27/2023	JPM	USD	133,082		PHP	7,500,000		2
08/22/2023	GS	USD	140,753		PLN	600,000		313
08/22/2023	JPM	USD	96,247		SGD	130,000		169
08/30/2023	GS	USD	100,313		ZAR	2,000,000		221
08/30/2023	BOA	ZAR	600,000		USD	30,249		89
08/08/2023	JPM	AUD	750,000		USD	486,467		(2,575	)
06/30/2023	BCLY	CAD	1,170,000		USD	861,904		(581	)
06/30/2023	BOA	CAD	1,020,000		USD	751,042		(868	)
07/10/2023	MSCI	COP	506,342,000		USD	107,798		(4,925	)
08/04/2023	MSCI	IDR	1,600,000,000		USD	106,469		(122	)
08/18/2023	MSCI	INR	7,000,000		USD	84,281		(85	)
08/04/2023	MSCI	KRW	1,144,221,675		USD	858,780		(9,359	)
08/30/2023	MSCI	NZD	1,280,000		USD	767,085		(3,538	)
06/05/2023	JPM	PEN	320,000		USD	86,405		(725	)
08/31/2023	MSCI	PEN	360,000		USD	97,140		(314	)
08/08/2023	JPM	USD	1,764,132		AUD	2,590,000		(75,307	)
08/02/2023	CGMI	USD	87,963		BRL	450,000		(217	)
06/30/2023	BCLY	USD	1,674,470		CAD	2,247,182		(17,923	)
06/30/2023	GS	USD	1,354,268		CAD	1,810,000		(19,997	)
06/30/2023	JPM	USD	1,798,006		CAD	2,400,000		(28,807	)
08/15/2023	JPM	USD	1,031,009		CHF	925,000		(6,943	)
07/10/2023	JPM	USD	305,412		COP	1,360,000,000		(2,644	)
07/31/2023	BCLY	USD	6,098,018		EUR	5,490,000		(210,125	)
07/18/2023	SSB	USD	4,943,030		GBP	3,960,000		(12,458	)
07/18/2023	BOA	USD	399,001		GBP	320,000		(571	)
07/18/2023	JPM	USD	902,010		GBP	720,000		(5,542	)
08/04/2023	MSCI	USD	33,472		IDR	494,041,000		(559	)
08/18/2023	BCLY	USD	162,514		INR	13,420,556		(765	)
06/20/2023	BOA	USD	4,854,989		JPY	656,902,084		(127,100	)
07/17/2023	BCLY	USD	4,481,070		NOK	46,485,429		(284,334	)
07/17/2023	SSB	USD	393,605		NOK	4,100,000		(23,455	)
06/27/2023	CGMI	USD	99,228		PHP	5,500,000		(1,633	)

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/27/2023	BCLY	USD	115,609		PHP	6,500,000		(270	)
08/22/2023	GS	USD	119,445		PLN	500,000		(1,889	)
08/22/2023	SSB	USD	59,146		PLN	250,000		(368	)
07/10/2023	BOA	USD	449,369		SEK	4,800,000		(6,131	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/22/2023	BCLY	USD	562,152		THB	19,177,700		(6,573	)
06/06/2023	JPM	USD	763,327		TWD	23,445,600		(282	)
							$	992,643

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
55	U.S. Long Bond (CBT)		September 2023		7,058,906		81,185
60	U.S. Treasury Note 10 Yr. (CBT)		September 2023		6,868,125		1,872
34	U.S. Treasury Note 2 Yr. (CBT)		September 2023		6,998,157		(10,405	)
137	U.S. Treasury Note 5 Yr. (CBT)		September 2023		14,943,703		(26,406	)
32	U.S. Treasury Ultra 10 Yr. (CBT)		September 2023		3,854,500		15,650

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
44	U.S. Ultra Bond (CBT)		September 2023		6,022,500		66,279
				$	45,745,891	$	128,175

+ 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) ($)
3.98%	3 Month AUD BBSW	AUD	19,430,000		06/21/2025	Quarterly		(18,218	)		(26,442	)		(8,224	)
3.91%	3 Month AUD BBSW	AUD	5,000,000		06/21/2025	Quarterly		—			(2,495	)		(2,495	)
3.65%	3 Month AUD BBSW	AUD	5,000,000		06/21/2025	Quarterly		—			13,843			13,843
3 Month AUD BBSW	3.65%	AUD	3,500,000		06/21/2025	Quarterly		—			(9,494	)		(9,494	)
CHF -  SARON - OIS - COMPOUND	1.75%	CHF	3,500,000		06/21/2025	Annually		—			(1,001	)		(1,001	)
CHF - SARON - OIS - COMPOUND	1.88%	CHF	4,500,000		06/21/2025	Annually		—			11,531			11,531
1.85%	CHF - SARON - OIS - COMPOUND	CHF	2,000,000		06/21/2025	Annually		—			(3,712	)		(3,712	)
EUR -EuroSTR -COMPOUND	3.36%	EUR	4,000,000		06/21/2025	Annually		—			13,267			13,267
EUR - EuroSTR -COMPOUND	3.61%	EUR	1,500,000		06/21/2025	Annually		—			12,929			12,929
EUR - EuroSTR -COMPOUND	3.67%	EUR	4,481,000		06/21/2025	Annually		(2,883	)		43,366			46,249
3.01%	EUR - EuroSTR - COMPOUND	EUR	4,000,000		06/21/2025	Annually		—			15,301			15,301
3.22%	EUR - EuroSTR - COMPOUND	EUR	4,000,000		06/21/2025	Annually		—			(1,650	)		(1,650	)
3.36%	EUR - EuroSTR - COMPOUND	EUR	4,000,000		06/21/2025	Annually		—			(13,557	)		(13,557	)
3.10%	EUR - EuroSTR - COMPOUND	EUR	4,500,000		06/21/2025	Annually		2,363			9,483			7,120
3.13%	EUR - EuroSTR - COMPOUND	EUR	3,500,000		06/21/2025	Annually		—			4,996			4,996
GBP - SONIA -COMPOUND	4.08%	GBP	2,000,000		06/21/2025	Annually		—			(44,821	)		(44,821	)
GBP - SONIA -COMPOUND	4.28%	GBP	4,000,000		06/21/2025	Annually		—			(71,333	)		(71,333	)
GBP - SONIA -COMPOUND	4.39%	GBP	4,000,000		06/21/2025	Annually		—			(61,114	)		(61,114	)

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (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) ($)
4.18%	GBP - SONIA - COMPOUND	GBP	3,000,000		06/21/2025	Annually		—			60,400			60,400
5.22%	GBP - SONIA - COMPOUND	GBP	2,500,000		06/21/2025	Annually		—			(9,600	)		(9,600	)
4.80%	3 Month NZD Bank Bill Rate	NZD	6,000,000		06/21/2025	Quarterly		—			24,586			24,586
5.00%	3 Month NZD Bank Bill Rate	NZD	7,500,000		06/21/2025	Quarterly		—			13,426			13,426
3.46%	3 Month SEK STIBOR	SEK	50,000,000		06/21/2025	Quarterly		—			12,595			12,595
3.44%	3 Month SEK STIBOR	SEK	20,000,000		06/21/2025	Quarterly		1,406			5,726			4,320
3 Month SEK STIBOR	3.37%	SEK	15,000,000		06/21/2025	Quarterly		—			(6,094	)		(6,094	)
3 Month SEK STIBOR	3.47%	SEK	35,000,000		06/21/2025	Quarterly		—			(8,172	)		(8,172	)
3 Month SEK STIBOR	3.48%	SEK	60,000,000		06/21/2025	Quarterly		—			(13,062	)		(13,062	)
3 Month SEK STIBOR	3.86%	SEK	138,048,000		06/21/2025	Quarterly		(6,637	)		62,081			68,718
3.73%	USD - SOFR - COMPOUND	USD	4,500,000		06/21/2025	Annually		—			42,883			42,883
3.86%	USD - SOFR - COMPOUND	USD	2,000,000		06/21/2025	Annually		—			14,140			14,140
4.30%	USD - SOFR - COMPOUND	USD	3,500,000		06/21/2025	Annually		—			(4,633	)		(4,633	)
CAD - CORRA -OIS - COMPOUND	4.18%	CAD	11,690,000		09/20/2025	Annually		(9,911	)		6,853			16,764
6 Month AUD BBSW	3.77%	AUD	17,438,000		06/21/2033	Semi-Annually		20,324			(302,521	)		(322,845	)
6 Month AUD BBSW	3.94%	AUD	1,200,000		06/21/2033	Semi-Annually		—			(9,784	)		(9,784	)
6 Month AUD BBSW	4.07%	AUD	1,250,000		06/21/2033	Semi-Annually		—			(1,234	)		(1,234	)
6 Month AUD BBSW	4.09%	AUD	1,250,000		06/21/2033	Semi-Annually		—			(469	)		(469	)
6 Month AUD BBSW	4.16%	AUD	1,100,000		06/21/2033	Semi-Annually		—			3,983			3,983
6 Month AUD BBSW	4.29%	AUD	4,306,000		06/21/2033	Semi-Annually		15,773			44,863			29,090
3.91%	6 Month AUD BBSW	AUD	1,300,000		06/21/2033	Semi-Annually		—			12,746			12,746
4.02%	6 Month AUD BBSW	AUD	800,000		06/21/2033	Semi-Annually		—			2,942			2,942
CHF -  SARON - OIS - COMPOUND	1.94%	CHF	850,000		06/21/2033	Annually		—			12,820			12,820
CHF - SARON - OIS - COMPOUND	1.95%	CHF	850,000		06/21/2033	Annually		—			13,465			13,465
CHF - SARON - OIS - COMPOUND	1.95%	CHF	1,100,000		06/21/2033	Annually		—			17,593			17,593
CHF - SARON - OIS - COMPOUND	1.95%	CHF	500,000		06/21/2033	Annually		—			7,668			7,668
CHF - SARON - OIS - COMPOUND	1.98%	CHF	5,541,000		06/21/2033	Annually		101			103,755			103,654
CHF - SARON - OIS - COMPOUND	2.01%	CHF	1,000,000		06/21/2033	Annually		—			21,254			21,254
CHF - SARON - OIS - COMPOUND	2.03%	CHF	800,000		06/21/2033	Annually		—			19,027			19,027
1.94%	CHF - SARON - OIS - COMPOUND	CHF	1,100,000		06/21/2033	Annually		—			(15,590	)		(15,590	)
1.95%	CHF - SARON - OIS - COMPOUND	CHF	1,000,000		06/21/2033	Annually		—			(15,184	)		(15,184	)
1.84%	CHF - SARON - OIS - COMPOUND	CHF	800,000		06/21/2033	Annually		—			(3,568	)		(3,568	)
1.95%	CHF - SARON - OIS - COMPOUND	CHF	800,000		06/21/2033	Annually		—			(12,714	)		(12,714	)
1.82%	CHF - SARON - OIS - COMPOUND	CHF	900,000		06/21/2033	Annually		—			(2,011	)		(2,011	)
EUR - EuroSTR - COMPOUND	2.71%	EUR	900,000		06/21/2033	Annually		—			(1,273	)		(1,273	)
EUR - EuroSTR - COMPOUND	2.74%	EUR	1,000,000		06/21/2033	Annually		(1,571	)		1,795			3,366

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (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	2.75%	EUR	700,000		06/21/2033	Annually		—			1,687			1,687
EUR - EuroSTR -  COMPOUND	2.80%	EUR	800,000		06/21/2033	Annually		—			5,734			5,734
EUR - EuroSTR -  COMPOUND	2.91%	EUR	800,000		06/21/2033	Annually		—			14,055			14,055
3.04%	EUR - EuroSTR - COMPOUND	EUR	300,000		06/21/2033	Annually		—			(8,769	)		(8,769	)
2.97%	EUR - EuroSTR - COMPOUND	EUR	982,000		06/21/2033	Annually		(996	)		(22,427	)		(21,431	)
2.74%	EUR - EuroSTR - COMPOUND	EUR	1,003,000		06/21/2033	Annually		261			(967	)		(1,228	)
2.75%	EUR - EuroSTR - COMPOUND	EUR	1,300,000		06/21/2033	Annually		1,666			(3,012	)		(4,678	)
2.91%	EUR - EuroSTR - COMPOUND	EUR	1,300,000		06/21/2033	Annually		—			(22,415	)		(22,415	)
2.89%	EUR - EuroSTR - COMPOUND	EUR	800,000		06/21/2033	Annually		—			(12,451	)		(12,451	)
2.74%	EUR - EuroSTR - COMPOUND	EUR	1,400,000		06/21/2033	Annually		—			(1,285	)		(1,285	)
GBP - SONIA - COMPOUND	3.44%	GBP	700,000		06/21/2033	Annually		—			(45,644	)		(45,644	)
GBP - SONIA - COMPOUND	3.77%	GBP	2,500,000		06/21/2033	Annually		—			(81,316	)		(81,316	)
GBP - SONIA - COMPOUND	4.11%	GBP	1,400,000		06/21/2033	Annually		—			1,810			1,810
GBP - SONIA - COMPOUND	4.27%	GBP	500,000		06/21/2033	Annually		—			8,333			8,333
3.34%	GBP - SONIA - COMPOUND	GBP	400,000		06/21/2033	Annually		—			30,049			30,049
3.58%	GBP - SONIA - COMPOUND	GBP	900,000		06/21/2033	Annually		—			46,724			46,724
3.67%	GBP - SONIA - COMPOUND	GBP	1,000,000		06/21/2033	Annually		—			42,742			42,742
3.66%	GBP - SONIA - COMPOUND	GBP	900,000		06/21/2033	Annually		—			39,360			39,360
4.64%	3 Month NZD Bank Bill Rate	NZD	2,649,000		06/21/2033	Quarterly		(5,823	)		(41,094	)		(35,271	)
4.07%	3 Month NZD Bank Bill Rate	NZD	1,270,000		06/21/2033	Quarterly		1,110			15,549			14,439
4.07%	3 Month NZD Bank Bill Rate	NZD	930,000		06/21/2033	Quarterly		—			11,612			11,612
4.35%	3 Month NZD Bank Bill Rate	NZD	2,000,000		06/21/2033	Quarterly		—			(2,501	)		(2,501	)
4.38%	3 Month NZD Bank Bill Rate	NZD	2,300,000		06/21/2033	Quarterly		—			(6,512	)		(6,512	)
4.24%	3 Month NZD Bank Bill Rate	NZD	400,000		06/21/2033	Quarterly		—			1,591			1,591
3 Month NZD Bank Bill Rate	4.08%	NZD	1,400,000		06/21/2033	Quarterly		(481	)		(16,419	)		(15,938	)
3 Month NZD Bank Bill Rate	4.24%	NZD	1,800,000		06/21/2033	Quarterly		—			(7,596	)		(7,596	)
3 Month NZD Bank Bill Rate	4.28%	NZD	1,600,000		06/21/2033	Quarterly		—			(3,639	)		(3,639	)
3 Month SEK STIBOR	2.82%	SEK	7,000,000		06/21/2033	Quarterly		—			(5,276	)		(5,276	)
3 Month SEK STIBOR	2.84%	SEK	9,000,000		06/21/2033	Quarterly		—			(5,148	)		(5,148	)
3 Month SEK STIBOR	2.84%	SEK	4,000,000		06/21/2033	Quarterly		(412	)		(2,440	)		(2,028	)
3.14%	3 Month SEK STIBOR	SEK	71,042,000		06/21/2033	Quarterly		(1,335	)		(127,734	)		(126,399	)

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (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) ($)
2.83%	3 Month SEK STIBOR	SEK	8,000,000		06/21/2033	Quarterly		—			5,429			5,429
2.81%	3 Month SEK STIBOR	SEK	11,000,000		06/21/2033	Quarterly		—			8,725			8,725
2.80%	3 Month SEK STIBOR	SEK	11,000,000		06/21/2033	Quarterly		—			9,550			9,550
2.84%	3 Month SEK STIBOR	SEK	5,000,000		06/21/2033	Quarterly		—			2,840			2,840
2.83%	3 Month SEK STIBOR	SEK	4,000,000		06/21/2033	Quarterly		—			2,620			2,620
2.88%	3 Month SEK STIBOR	SEK	6,000,000		06/21/2033	Quarterly		—			1,702			1,702
2.88%	3 Month SEK STIBOR	SEK	8,000,000		06/21/2033	Quarterly		—			2,111			2,111
2.83%	3 Month SEK STIBOR	SEK	14,000,000		06/21/2033	Quarterly		2,426			9,114			6,688
2.80%	3 Month SEK STIBOR	SEK	13,000,000		06/21/2033	Quarterly		—			11,544			11,544
2.86%	3 Month SEK STIBOR	SEK	14,000,000		06/21/2033	Quarterly		—			6,349			6,349
2.98%	3 Month SEK STIBOR	SEK	9,000,000		06/21/2033	Quarterly		—			(4,806	)		(4,806	)
USD - SOFR -  COMPOUND	3.13%	USD	1,000,000		06/21/2033	Annually		—			(19,398	)		(19,398	)
USD - SOFR - COMPOUND	3.20%	USD	500,000		06/21/2033	Annually		—			(6,634	)		(6,634	)
USD - SOFR - COMPOUND	3.21%	USD	2,000,000		06/21/2033	Annually		—			(24,940	)		(24,940	)
USD - SOFR - COMPOUND	3.47%	USD	800,000		06/21/2033	Annually		—			7,087			7,087
3.12%	USD - SOFR - COMPOUND	USD	4,763,000		06/21/2033	Annually		8,851			95,111			86,260
3.48%	USD - SOFR - COMPOUND	USD	1,400,000		06/21/2033	Annually		—			(13,637	)		(13,637	)
3.40%	USD - SOFR - COMPOUND	USD	1,400,000		06/21/2033	Annually		—			(4,173	)		(4,173	)
3.38%	CAD - CORRA - OIS - COMPOUND	CAD	2,568,000		09/20/2033	Annually		(2,453	)		(17,672	)		(15,219	)
							$	3,561		$	(138,688	)	$	(142,249	)

As of May 31, 2023, 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 May 31, 2023.

The rates shown on variable rate notes are the current interest rates at May 31, 2023, 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.

CORRA - Canadian Overnight Repo Rate Average

EuroSTR - Euro Short-Term Rate

MTN - Medium Term Note

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)

May 31, 2023 (Unaudited)

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippines Peso

PLN - Polish Zloty

RON - Romanian New Leu

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TWD - Taiwan New Dollar

USD - United States Dollar

ZAR - South African Rand

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 83.4%
		Asset-Backed Securities — 71.2%
		CMBS Collateralized Debt Obligations — 0.1%
	8,586,000	ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		1,193,454
	347,868	GS Mortgage Securities Corp. Trust, Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		257,422
		Total CMBS Collateralized Debt Obligations		1,450,876
		Collateralized Loan Obligations — 16.8%
	4,000,000	AMMC CLO 24 Ltd., Series 21-24A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 6.44%, due 01/20/35		3,901,756
	10,000,000	Ballyrock CLO 15 Ltd., Series 21-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 6.32%, due 04/15/34		9,759,230
	5,997,147	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 6.37%, due 01/20/30		5,935,215
	4,075,000	Crown City CLO III, Series 21-1A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 6.42%, due 07/20/34		3,953,708
	4,550,000	Fort Washington CLO Ltd., Series 21-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 6.47%, due 10/20/34		4,407,480
	3,550,902	Gallatin CLO IX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 6.31%, due 01/21/28		3,538,825
	274,434	Halcyon Loan Advisors Funding CLO Ltd., Series 14-2A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 3.50%, 8.77%, due 04/28/25		267,223
	10,000,000	Hayfin US CLO XII Ltd, Series 18-8A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 6.37%, due 04/20/31		9,837,180
	5,718,682	JFIN CLO Ltd., Series 15-2A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.20%, 8.46%, due 10/17/26		5,560,051
	4,320,000	JFIN CLO Ltd., Series 12-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 7.60%, due 07/20/28		4,234,196
	3,000,000	JFIN CLO Ltd., Series 16-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.40%, 8.69%, due 10/27/28		2,899,539
	396,841	JMP Credit Advisors CLO IV Ltd., Series 17-1A, Class AR, 144A, Variable Rate, 3 mo. SOFR + 1.54%, 6.53%, due 07/17/29		395,299
	14,000,000	Man GLG US CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 6.39%, due 04/22/30		13,772,108
	4,000,000	Mountain View CLO Ltd., Series 13-1A, Class BRR , 144A, Variable Rate, 3 mo. LIBOR + 1.67%, 6.87%, due 10/12/30		3,839,752
	4,250,000	Neuberger Berman CLO XVI-S Ltd, Series 17-16SA, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.04%, 6.30%, due 04/15/34		4,148,421

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	6,086,000	Northwoods Capital CLO XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 6.33%, due 04/22/31		5,978,406
	9,800,000	OFSI BSL CLO VIII Ltd., Series 17-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 6.76%, due 08/16/29		9,672,090
	1,083,456	OZLM CLO VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26		15,391
	5,726,672	OZLM CLO VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.01%, 6.27%, due 07/17/29		5,681,408
	13,830,000	OZLM CLO XVIII Ltd, Series 18-18A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.02%, 6.28%, due 04/15/31		13,588,445
	2,190,000	OZLM CLO XXII Ltd, Series 18-22A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 6.76%, due 01/17/31		2,096,802
	1,605,535	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 6.55%, due 06/22/30		1,596,404
	4,000,000	Shackleton CLO Ltd, Series 14-5RA, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 6.42%, due 05/07/31		3,933,976
	1,262,000	Signal Peak CLO 2 LLC, Series 15-1A, Class BR2, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 6.75%, due 04/20/29		1,245,965
	3,417,000	SOUND POINT CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 6.26%, due 04/15/31		3,359,936
	3,595,000	Sound Point CLO XXVIII Ltd, Series 20-3A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.28%, 6.54%, due 01/25/32		3,529,485
	1,439,500	Sounds Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 6.41%, due 04/18/31		1,412,934
	8,688,000	Steele Creek CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 5.99%, due 06/15/31		8,541,616
	1,481,154	Telos CLO Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 7.86%, due 07/17/26		1,479,828
	7,737,500	Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.48%, 6.74%, due 04/17/28		7,697,234
	4,335,500	Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 7.41%, due 04/17/28		4,207,429
	7,000,000	THL Credit Wind River CLO Ltd., Series 17-1A, Class ARR, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 6.32%, due 04/18/36		6,786,836
	4,993,200	Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 6.36%, due 07/18/31		4,925,682
	5,431,200	Venture 34 CLO Ltd., Series 18-34A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.23%, 6.49%, due 10/15/31		5,325,167

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	2,637,593	Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 6.48%, due 10/15/29		2,613,915
	9,000,000	Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 6.75%, due 10/20/28		8,795,250
	8,488,106	Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 6.31%, due 10/20/29		8,410,771
	1,360,000	Whitebox CLO II Ltd., Series 20-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 6.49%, due 10/24/34		1,330,854
	621,503	WhiteHorse CLO X Ltd., Series 15-10A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 8.26%, due 04/17/27		617,583
	7,253,900	Whitehorse CLO XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 6.51%, due 10/15/31		7,115,322
	3,628,357	Zais CLO 7 Ltd., Series 17-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.29%, 6.55%, due 04/15/30		3,594,029
	451,731	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 6.21%, due 04/15/29		448,822
	4,470,500	Zais CLO 8 Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.45%, 6.71%, due 04/15/29		4,420,028
		Total Collateralized Loan Obligations		204,871,591
		Commercial Mortgage-Backed Securities — 21.3%
	10,000,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32		9,125,665
	11,857,600	Barclays Commercial Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.87%, 5.98%, due 03/15/37		10,642,945
	11,037,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38		7,419,110
	9,380,000	Barclays Commercial Mortgage Trust, Series 18-C2, Class A5, 4.31%, due 12/15/51		8,953,342
	5,982,590	Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.42%, 5.56%, due 07/25/36		5,349,892
	7,760,120	Benchmark Mortgage Trust, Series 18-B8, Class A5, 4.23%, due 01/15/52		7,281,893
	6,240,722	Benchmark Mortgage Trust, Series 19-B11, Class A5, 3.54%, due 05/15/52		5,614,834
	17,000,000	Benchmark Mortgage Trust, Series 19-B12, Class A5, 3.12%, due 08/15/52		15,013,882
	3,244,000	Benchmark Mortgage Trust, Series 18-B7, Class A4, Variable Rate, 4.51%, due 05/15/53		3,093,344
	7,400,000	Benchmark Mortgage Trust, Series 19-B10, Class A4, 3.72%, due 03/15/62		6,788,378

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	4,233,256	Benchmark Mortgage Trust, Series 19-B14, Class A5, 3.05%, due 12/15/62		3,696,363
	19,000,000	Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72		16,359,049
	6,550,000	BX Commercial Mortgage Trust, Series 21-VINO, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.65%, 5.76%, due 05/15/38		6,346,775
	6,400,000	BX Commercial Mortgage Trust, Series 21-ACNT, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 5.96%, due 11/15/38		6,201,415
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		6,751,206
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.55%, due 03/11/44		6,435,526
	8,000,000	BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41		6,964,141
	4,895,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		4,221,532
	9,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 3.94%, due 12/09/41		7,446,395
	4,446,000	Citigroup Commercial Mortgage Trust, Series 14-GC23, Class B, Variable Rate, 4.18%, due 07/10/47		4,178,369
	3,031,837	Commercial Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.29%, due 07/10/50		2,764,318
	13,183,852	Commercial Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51		12,479,200
	66,667	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		66,515
	83,343	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 5.36%, due 04/15/37		83,413
	5,570,000	ELP Commercial Mortgage Trust, Series 21-ELP, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 5.81%, due 11/15/38		5,370,983
	2,000,000	Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40		1,566,125
	7,000,000	GS Mortgage Securities Corp. Trust, Series 22-SHIP, Class A, 144A, Variable Rate, 1 mo. SOFR + 0.73%, 5.79%, due 08/15/36		6,944,918
	5,500,000	ILPT Commercial Mortgage Trust, Series 22-LPFX, Class A, 144A, 3.38%, due 03/15/32		4,653,358
	4,108,246	MHC Commercial Mortgage Trust, Series 21-MHC, Class A, 144A, Variable Rate, 1 mo. SOFR + 0.92%, 5.97%, due 04/15/38		4,010,145
	4,400,000	MHC Trust, Series 21-MHC2, Class A, 144A, Variable Rate, 1 mo. SOFR + 0.96%, 5.96%, due 05/15/38		4,293,819
	10,000,000	MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40		7,732,104
	2,971,000	Morgan Stanley Capital I Trust, Series 19-H6, Class A4, 3.42%, due 06/15/52		2,673,653

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	11,545,000	SMRT Commercial Mortgage Trust, Series 22-MINI, Class A, 144A, Variable Rate, 1 mo. SOFR + 1.00%, 6.06%, due 01/15/39		11,197,613
	7,130,000	Taubman Centers Commercial Mortgage Trust, Series 22-DPM, Class A, 144A, Variable Rate, 1 mo. SOFR + 2.19%, 7.25%, due 05/15/37		6,917,508
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		4,943,509
	7,933,000	UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51		7,475,566
	1,776,171	Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52		1,561,977
	4,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 3.86%, due 11/23/43		4,502,182
	643,251	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 4.34%, due 03/23/45		640,263
	11,594,960	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 4.34%, due 03/23/45		9,872,101
	1,180,000	Wells Fargo Commercial Mortgage Trust, Series 18-C46, Class A4, 4.15%, due 08/15/51		1,116,279
	2,704,000	Wells Fargo Commercial Mortgage Trust, Series 19-C50, Class C, 4.35%, due 05/15/52		2,130,760
	2,030,000	Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52		1,811,341
	7,000,000	Wells Fargo Commercial Mortgage Trust, Series 21-C59, Class A5, 2.63%, due 04/15/54		5,773,905
	1,395,022	Wells Fargo Commercial Mortgage Trust, Series 18-C47, Class A4, 4.44%, due 09/15/61		1,337,801
		Total Commercial Mortgage-Backed Securities		259,803,412
		Residential Mortgage-Backed Securities — Other — 6.2%
	797,323	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 5.42%, due 02/25/36		98,285
	17,663,707	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 5.50%, due 02/25/36		405,161
	6,000,000	AMSR Trust, Series 20-SFR5, Class A, 144A, 1.38%, due 11/17/37		5,432,617
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		3,276,078
	4,546,398	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,278,372
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		1,119,099
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		404,446
	139,988	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 5.46%, due 02/25/37		140,324

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	2,565,691	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		2,389,913
	1,937,559	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		1,808,326
	5,547,992	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		4,951,436
	984,160	Corevest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53		881,541
	11,436,914	FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38		10,217,034
	576,181	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 5.52%, due 10/25/34		550,542
	2,097,445	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		1,865,388
	4,328,989	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.54%, due 09/25/35		121,988
	28,497,010	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 5.40%, due 06/25/36		561,388
	8,742,586	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36		2,990,823
	9,111,380	Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37		1,585,987
	3,612,368	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 5.46%, due 03/25/36		256,411
	194,682	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate,1 mo. LIBOR +0.25%, 5.39%, due 02/26/34		171,032
	1,144,135	New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. LIBOR + 0.98%, 6.11%, due 10/25/33		1,098,654
	13,614,115	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 5.34%, due 03/25/36		388,784
	7,765,770	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 5.48%, due 03/25/36		221,589
	20,704,398	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 5.54%, due 03/25/36		590,574
	40,818	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 6.04%, due 08/25/35		337,856
	803,657	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		753,220
	1,004,953	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		955,289
	3,363,217	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		2,065,478

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	11,752,084	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		2,721,732
	885,844	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		482,405
	459,706	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		443,997
	1,344,791	Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40		1,154,110
	2,096,327	Towd Point Mortgage Trust, Series 17-5, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.60%, 4.45%, due 02/25/57		2,090,254
	6,972,000	Towd Point Mortgage Trust, Series 17-5, Class A2, 144A, 4.45%, due 02/25/57		6,873,714
	4,597,258	Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38		4,290,228
	3,471,263	Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39		2,960,190
	5,647,958	Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67		5,283,391
		Total Residential Mortgage-Backed Securities — Other		76,217,656
		Residential Mortgage-Backed Securities — Performing Loans — 1.1%
	2,725,432	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		2,405,227
	6,908,428	CSMC Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66		6,007,464
	5,504,295	Verus Securitization Trust, Series 21-8, Class A1, 144A, Variable Rate, 1.82%, due 11/25/66		4,683,903
		Total Residential Mortgage-Backed Securities — Performing Loans		13,096,594
		Residential Mortgage-Backed Securities — Prime — 2.8%
	7,178,674	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 5.35%, due 10/25/46		3,932,030
	483,409	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		456,027
	3,858,679	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		2,264,335
	1,226,993	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.68%, due 12/25/36		1,035,184
	870,452	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.55%, due 03/25/37		719,336
	7,336,926	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 5.58%, due 04/25/46		6,561,601

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	1,612,655	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		770,123
	4,574,927	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 5.14%, due 05/25/35		3,567,824
	739,230	WaMu Mortgage Pass-Through Certificates Trust, Series 05-AR10, Class 1A3, Variable Rate, 3.87%, due 09/25/35		683,346
	893,858	WaMu Mortgage Pass-Through Certificates Trust, Series 06-AR19, Class 2A, Variable Rate, 12 MTA + 1.25%, 4.99%, due 01/25/47		802,390
	2,083,168	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 5.50%, due 06/25/35		1,734,920
	2,190,685	Washington Mutual Mortgage Pass-Through Certificates, Series 05-10, Class 4CB3, Variable Rate, 1 mo. LIBOR + 0.60%, 5.74%, due 12/25/35		1,899,138
	4,157,518	Washington Mutual Mortgage Pass-Through Certificates, Series 06-8, Class A5, Step Up, Variable Rate, 4.17%, due 10/25/36		1,533,923
	8,889,717	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		8,079,949
		Total Residential Mortgage-Backed Securities — Prime		34,040,126
		Residential Mortgage-Backed Securities — Subprime — 1.8%
	1,129,762	Asset Backed Funding Certificates Trust, Series 05-AQ1, Class A5, Step Up, 4.33%, due 06/25/35		1,071,902
	1,078,319	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 2.79%, due 05/26/37		1,039,075
	12,403,301	Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.60%, 5.74%, due 07/25/36		10,481,935
	553,351	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + 0.14%, 5.28%, due 12/25/36		526,748
	1,011,692	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 3.99%, due 11/20/34		938,197
	2,631,630	First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 5.24%, due 09/25/36		2,373,484
	2,445,493	Home Equity Asset Trust, Series 06-2, Class M1, 144A, 5.71%, due 05/25/36		2,358,281
	767,322	Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.50%, 5.64%, due 08/25/37		697,622

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Subprime — continued
	3,136,938	Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. LIBOR + 0.80%, 6.34%, due 01/25/35		2,828,284
		Total Residential Mortgage-Backed Securities — Subprime		22,315,528
		Residential Mortgage-Backed Securities — Alt-A — 3.4%
	278,783	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		270,055
	2,422,546	Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35		2,305,125
	1,545,997	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 5.84%, due 05/25/36		691,651
	1,601,873	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 5.84%, due 10/25/36		628,365
	1,118,517	Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. LIBOR + 0.90%, 6.04%, due 11/25/34		1,097,271
	2,103,074	Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.32%, 5.46%, due 01/25/47		1,675,235
	1,751,631	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		1,630,776
	3,846,172	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.77%, due 07/25/36		2,237,871
	4,565,762	Fieldstone Mortgage Investment Trust, Series 04-4, Class M4, Variable Rate, 1 mo. LIBOR + 2.55%, 7.69%, due 10/25/35		2,843,921
	10,968,880	GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. LIBOR + 0.32%, 5.46%, due 06/25/36		2,383,307
	12,164,506	GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 3.22%, due 06/25/47		7,661,525
	6,741,198	HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.44%, 5.35%, due 07/19/47		6,351,298
	129,863	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		126,907
	1,444,622	Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-H1, Class 2A1, Variable Rate, 1 mo. LIBOR + 3.00%, 8.14%, due 10/25/37		1,350,663
	2,783,698	Residential Asset Securitization Trust, Series 25-A8CB, Class A6, 5.00%, due 07/25/35		1,722,472
	15,255,704	Residential Asset Securitization Trust, Series 06-A7CB, Class 3A1, 6.50%, due 07/25/36		4,651,965

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Alt-A — continued
	8,195,547	Terwin Mortgage Trust, Series 06-7, Class 2A3, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 5.68%, due 08/25/37		3,485,230
		Total Residential Mortgage-Backed Securities — Alt-A		41,113,637
		Small Balance Commercial Mortgages — 4.7%
	2,839,904	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 5.60%, due 08/25/35		2,615,786
	1,467,423	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 5.72%, due 01/25/36		1,345,867
	1,928,866	Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 5.68%, due 04/25/36		1,733,070
	775,361	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 5.71%, due 04/25/36		693,033
	1,101,153	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 5.48%, due 07/25/36		997,695
	2,252,422	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 5.56%, due 07/25/36		2,046,407
	2,545,479	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 5.51%, due 10/25/36		2,346,309
	8,426,643	Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 5.56%, due 01/25/37		7,717,405
	1,660,943	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.33%, 5.47%, due 03/25/37		1,488,614
	5,334,993	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 5.41%, due 07/25/37		4,711,335
	2,488,413	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.36%, 5.50%, due 07/25/37		2,197,675
	1,705,429	Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. LIBOR + 1.50%, 6.64%, due 01/25/38		1,632,178
	87,846,027	FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.18%, due 05/25/30		3,183,259
	20,135,163	FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 1.11%, due 03/25/40		696,576
	70,046,899	FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.89%, due 06/25/40		2,101,127
	719,794	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 6.14%, due 04/25/31		715,223

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	3,255,683	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 5.54%, due 06/25/37		3,131,060
	10,328,375	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 5.32%, due 10/25/37		9,930,758
	6,241,971	Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51		5,212,198
	1,736,334	Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51		1,288,726
	1,846,909	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 4.32%, due 12/27/49		1,809,634
		Total Small Balance Commercial Mortgages		57,593,935
		Student Loans — Federal Family Education Loan Program — 2.2%
	4,718,605	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 5.96%, due 01/25/43		4,332,572
	2,701,926	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 5.42%, due 03/28/35		2,343,598
	6,649,439	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 5.77%, due 06/15/21		6,521,671
	7,848,185	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 6.91%, due 07/25/22		7,755,353
	6,198,469	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 6.96%, due 07/25/23		6,189,447
		Total Student Loans — Federal Family Education Loan Program		27,142,641
		Student Loans — Private — 10.8%
	1,474,723	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 6.06%, due 07/25/34		1,431,467
	6,478,518	KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. LIBOR + 1.30%, 6.43%, due 12/27/38		6,034,393
	2,149,759	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 5.61%, due 12/27/41		2,139,307
	103,834	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 6.09%, due 04/28/42		103,774

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 6.54%, due 07/28/42		5,217,428
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuct + 0.00%, 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%, 8.07%, due 03/25/38 (a)		1,963,438
	4,192,050	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 5.45%, due 05/25/32		3,957,625
	2,824,560	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 5.43%, due 01/25/33		2,591,136
	9,467,580	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 5.49%, due 03/25/33		8,817,459
	3,626,942	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 5.51%, due 06/25/33		3,405,776
	13,266,810	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 5.44%, due 10/25/33		12,331,280
	4,035,123	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 5.68%, due 12/26/33		3,863,161
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 8.61%, due 03/25/38 (b)		19,750
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 8.66%, due 03/25/38 (b)		59,250
	3,932,783	Navient Student Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70		3,454,597
	3,008,881	Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62		2,709,122
	3,363,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 8.63%, due 06/15/32 (a)		3,346,185
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 6.47%, due 09/15/32		1,539,360
	1,650,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 8.63%, due 09/15/32 (a)		1,641,750
	4,802,830	SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.40%, 5.27%, due 06/15/33		4,681,231
	9,440,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 5.30%, due 09/15/33		9,056,913
	4,723,689	SLM Private Credit Student Loan Trust, Series 05-A, Class A4, Variable Rate, 3 mo. LIBOR + 0.31%, 5.18%, due 12/15/38		4,527,402

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	6,898,424	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 5.16%, due 06/15/39		6,484,712
	12,258,001	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 5.20%, due 06/15/39		11,706,365
	1,728,799	SLM Private Credit Student Loan Trust, Series 06-BW, Class A5, Variable Rate, 3 mo. LIBOR + 0.20%, 5.07%, due 12/15/39		1,621,424
	9,720,070	SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. LIBOR + 0.27%, 5.14%, due 12/15/39		9,087,901
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 5.26%, due 12/15/39		2,398,789
	4,508,496	SLM Private Credit Student Loan Trust, Series 07-A, Class A4A, Variable Rate, 3 mo. LIBOR + 0.24%, 5.11%, due 12/16/41		4,320,042
	1,000	SMB Private Education Loan Trust, Series 23-B, Class R, 144A, 0.00, due 10/16/56		1,000,000
	1,728,654	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 6.64%, due 01/25/36		1,723,863
	8,300,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 6.19%, due 01/25/46		7,970,762
		Total Student Loans — Private		131,552,975
		Total Asset-Backed Securities		869,198,971
		Corporate Debt — 0.2%
		Residential REITs — 0.2%
	4,000,000	Hudson Pacific Properties LP, 3.25%, due 01/15/30		2,563,800
		Total Corporate Debt		2,563,800
		U.S. Government — 4.1%
	1,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 10/31/23		1,000,170
	1,900,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 5.30%, due 04/30/24		1,898,648
	47,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 07/31/24 (c)		47,003,451
		Total U.S. Government		49,902,269
		U.S. Government Agency — 7.9%
	352,500	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 5.56%, due 07/01/23 (a)		352,091
	1,975,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - 0.02%, 5.57%, due 02/01/25 (a)		1,955,250

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — continued
	2,625,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 5.65% , due 10/29/26 (a)		2,579,395
	30,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 5.10%, due 06/05/23		29,999,909
	7,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.16%, due 09/04/24		7,501,326
	45,000,000	Federal National Mortgage Association, TBA, 5.00%, due 06/13/53		44,327,637
	10,000,000	Federal National Mortgage Association, TBA, 5.50%, due 06/13/53		9,993,750
		Total U.S. Government Agency		96,709,358
		TOTAL DEBT OBLIGATIONS (COST $1,119,749,826)		1,018,374,398
		MUTUAL FUNDS — 0.9%
		United States — 0.9%
		Affiliated Issuers — 0.9%
	2,183,242	GMO U.S. Treasury Fund		10,916,211
		TOTAL MUTUAL FUNDS (COST $11,003,541)		10,916,211
		SHORT-TERM INVESTMENTS — 17.3%
		Repurchase Agreements — 17.0%
	208,005,490	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 05/31/23 maturing on 06/01/23 with a maturity value of $208,034,900 and an effective yield of 5.09%, collateralized by a U.S. Treasury Note with maturity date 12/31/27 and a market value of $212,250,500.		208,005,490
		Money Market Funds — 0.3%
	3,225,378	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (d)		3,225,378
		TOTAL SHORT-TERM INVESTMENTS (COST $211,230,868)		211,230,868

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

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.S40

GS

72.50

%

06/21/23

USD 144,346,000

Fixed Spread

Pay

78,802

TOTAL PURCHASED OPTIONS (COST $41,139)

78,802

TOTAL INVESTMENTS — 101.6% (Cost $1,342,025,374)

1,240,600,279

Other Assets and Liabilities (net) — (1.6)%

(18,990,235

)

TOTAL NET ASSETS — 100.0%

$

1,221,610,044

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/17/2023	BOA	EUR	6,824,200		USD	7,569,154		256,011
07/17/2023	MSCI	EUR	1,319,000		USD	1,450,599		37,095
07/17/2023	MSCI	USD	4,809,603		EUR	4,360,000		(137,216	)
							$	155,890

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
19	U.S. Long Bond (CBT)		September 2023		2,438,531		28,046
717	U.S. Treasury Note 2 Yr. (CBT)		September 2023		147,578,766		(85,796	)
399	U.S. Treasury Note 5 Yr. (CBT)		September 2023		43,522,172		(76,906	)
157	U.S. Treasury Ultra 10 Yr. (CBT)		September 2023		18,911,141		76,780
9	U.S. Ultra Bond (CBT)		September 2023		1,231,875		13,557
				$	213,682,485	$	(44,319	)

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
367	U.S. Treasury Note 10 Yr. (CBT)		September 2023	$	42,010,031	$	(49,057	)

+ 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.HY.39.V1-5Y	BCLY	98.00%		06/21/23		USD	(11,490,000	)		Fixed Spread	Pay		(16,085	)
CDX.NA.IG.S40	GS	100.00%		07/19/23		USD	(49,879,000	)		Fixed Spread	Pay		(21,801	)
CDX.NA.IG.S40	GS	105.00%		08/16/23		USD	(57,460,000	)		Fixed Spread	Pay		(42,569	)
				Total Written Options On Credit Default Swaps — Puts									(80,455	)
				TOTAL WRITTEN OPTIONS (Premiums $426,814)								$	(80,455	)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (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.V3	USD	13,220,200	5.00%		3.79%		N/A		12/20/2026		Quarterly		(733,721	)		(485,273	)		248,448
ITRAXX.XO.38.V1	EUR	14,400,000	5.00%		4.00%		N/A		12/20/2027		Quarterly		(294,353	)		(572,819	)		(278,466	)
CDX.NA.IGS.40.V1	USD	127,339,000	1.00%		0.76%		N/A		06/20/2028		Quarterly		(1,377,298	)		(1,401,366	)		(24,068	)
CDX.NA.HYS.39.V2	USD	15,335,100	5.00%		4.59%		N/A		12/20/2027		Quarterly		(291,477	)		(228,294	)		63,183
												$	(2,696,849	)	$	(2,687,752	)	$	9,097

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.31	CITI	USD	3,941,000	5.00%	0.40%	N/A		12/20/2023	Quarterly		(15,370	)		(99,836	)		(84,466	)
CDX.NA.HYS.31	CITI	USD	4,025,000	5.00%	0.40%	N/A		12/20/2023	Quarterly		41,458			(101,964	)		(143,422	)
CDX.NA.HYS.31	CITI	USD	7,055,000	5.00%	0.40%	N/A		12/20/2023	Quarterly		44,878			(178,722	)		(223,600	)
CDX.NA.HYS.33	GS	USD	5,355,000	5.00%	5.83%	N/A		12/20/2024	Quarterly		121,559			65,978			(55,581	)
CMBX.NA.A.7	CGMI	USD	1,420,000	2.00%	27.36%	N/A		01/17/2047	Monthly		89,177			117,239			28,062
CMBX.NA.A.7	CGMI	USD	10,000,000	2.00%	27.36%	N/A		01/17/2047	Monthly		593,750			825,625			231,875
CMBX.NA.A.7	GS	USD	2,840,000	2.00%	27.36%	N/A		01/17/2047	Monthly		156,358			234,478			78,120
CMBX.NA.AS.7	BOA	USD	4,505,000	1.00%	2.11%	N/A		01/17/2047	Monthly		47,352			15,032			(32,320	)
CMBX.NA.AS.7	DB	USD	7,608,000	1.00%	2.11%	N/A		01/17/2047	Monthly		(119,899	)		25,386			145,285
CMBX.NA.AS.7	DB	USD	16,677,794	1.00%	2.11%	N/A		01/17/2047	Monthly		197,705			55,650			(142,055	)
CMBX.NA.AS.7	GS	USD	4,400,000	1.00%	2.11%	N/A		01/17/2047	Monthly		112,812			14,682			(98,130	)
CMBX.NA.AS.7	MORD	USD	13,270,000	1.00%	2.11%	N/A		01/17/2047	Monthly		205,782			44,279			(161,503	)
CMBX.NA.AA.11	CGMI	USD	4,000,000	1.50%	2.68%	N/A		11/18/2054	Monthly		(6,041	)		177,894			183,935
CMBX.NA.AA.11	CGMI	USD	4,626,000	1.50%	2.68%	N/A		11/18/2054	Monthly		(63,740	)		205,735			269,475
CMBX.NA.AA.11	MORD	USD	4,624,500	1.50%	2.68%	N/A		11/18/2054	Monthly		(67,279	)		205,668			272,947
CMBX.NA.AA.11	MORD	USD	4,624,500	1.50%	2.68%	N/A		11/18/2054	Monthly		(61,371	)		205,668			267,039
CMBX.NA.A.8	GS	USD	8,892,000	2.00%	5.74%	N/A		10/17/2057	Monthly		150,185			411,789			261,604
CMBX.NA.AS.8	CGMI	USD	8,892,000	1.00%	1.21%	N/A		10/17/2057	Monthly		73,095			23,840			(49,255	)
CMBX.NA.AS.8	MORD	USD	3,384,000	1.00%	1.21%	N/A		10/17/2057	Monthly		140,432			9,073			(131,359	)
CMBX.NA.BBB-.8	GS	USD	1,444,000	3.00%	21.93%	N/A		10/17/2057	Monthly		216,864			306,871			90,007
CMBX.NA.BBB-.8	GS	USD	4,224,000	3.00%	21.93%	N/A		10/17/2057	Monthly		400,908			897,661			496,753
CMBX.NA.BBB-.9	DB	USD	2,936,200	3.00%	16.13%	N/A		09/17/2058	Monthly		356,201			712,909			356,708
CMBX.NA.BBB-.9	GS	USD	1,752,000	3.00%	16.13%	N/A		09/17/2058	Monthly		402,960			425,386			22,426
CMBX.NA.BBB-.9	GS	USD	4,000,000	3.00%	16.13%	N/A		09/17/2058	Monthly		920,000			971,200			51,200
CMBX.NA.BBB-.9	MORD	USD	5,116,800	3.00%	16.13%	N/A		09/17/2058	Monthly		584,727			1,242,359			657,632
CMBX.NA.AA.12	GS	USD	6,974,000	1.50%	2.77%	N/A		08/17/2061	Monthly		(61,732	)		390,009			451,741
CMBX.NA.AA.6	GS	USD	4,703,648	1.50%	46.33%	N/A		05/11/2063	Monthly		34,885			99,094			64,209
CMBX.NA.BBB-.6	CGMI	USD	4,274,000	3.00%	69.95%	N/A		05/11/2063	Monthly		1,357,351			508,090			(849,261	)
CMBX.NA.13.AA	CGMI	USD	2,000,000	1.50%	2.82%	N/A		12/16/2072	Monthly		147,237			135,915			(11,322	)
CMBX.NA.A.14	GS	USD	2,682,000	2.00%	4.66%	N/A		12/16/2072	Monthly		349,769			380,093			30,324
CMBX.NA.AA.13	CGMI	USD	3,000,000	1.50%	2.82%	N/A		12/16/2072	Monthly		138,948			203,873			64,925
CMBX.NA.BB.14	GS	USD	1,360,000	5.00%	17.4%	N/A		12/16/2072	Monthly		75,915			615,629			539,714
CMBX.NA.BBB-.13	CGMI	USD	2,000,000	3.00%	10.89%	N/A		12/16/2072	Monthly		286,083			647,501			361,418
CMBX.NA.BBB-.13	GS	USD	273,500	3.00%	10.89%	N/A		12/16/2072	Monthly		16,840			88,546			71,706
CMBX.NA.BBB-.13	GS	USD	1,800,000	3.00%	10.89%	N/A		12/16/2072	Monthly		66,662			582,751			516,089
CMBX.NA.BBB-.13	GS	USD	1,860,000	3.00%	10.89%	N/A		12/16/2072	Monthly		360,375			602,176			241,801

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (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) ($)
Sell Protection^:
CDX.NA.HYS.31.V14-5Y	CITI	USD	2,866,000	5.00%	0.15%	2,866,000 USD		12/20/2023	Quarterly		293,765			76,585			(217,180	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	8,050,000	5.00%	0.15%	8,050,000 USD		12/20/2023	Quarterly		539,350			215,112			(324,238	)
CDX.NA.HYS.31.V15-5Y	CITI	USD	4,657,000	5.00%	0.15%	4,657,000 USD		12/20/2023	Quarterly		492,478			124,444			(368,034	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	4,201,343	5.00%	0.25%	4,201,343 USD		12/20/2024	Quarterly		444,572			297,432			(147,140	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	10,598,036	5.00%	0.25%	10,598,036 USD		12/20/2024	Quarterly		1,827,631			750,282			(1,077,349	)
CDX.NA.HYS.33.V12-5Y	GS	USD	25,937,869	5.00%	0.25%	25,937,869 USD		12/20/2024	Quarterly		5,736,853			1,836,256			(3,900,597	)
CDX.NA.HYS.33.V12-5Y	JPM	USD	10,394,872	5.00%	0.25%	10,394,872 USD		12/20/2024	Quarterly		1,704,759			735,899			(968,860	)
CDX.NA.HYS.33.V12-5Y	MORD	USD	2,800,895	5.00%	0.25%	2,800,895 USD		12/20/2024	Quarterly		482,034			198,288			(283,746	)
CDX.NA.HYS.37	GS	USD	33,382,800	5.00%	0.49%	33,382,800 USD		12/20/2026	Quarterly		6,245,551			4,820,671			(1,424,880	)
ITRAXX.XO.38 35	JPM	EUR	25,920,000	5.00%	0.83%	25,920,000 EUR		12/20/2027	Quarterly		4,389,263			4,542,974			153,711
CMBX.NA.AA.7	CGMI	USD	5,000,000	1.50%	20.13%	5,000,000 USD		01/17/2047	Monthly		(125,000	)		(294,418	)		(169,418	)
CMBX.NA.A.9	CGMI	USD	2,500,000	2.00%	6.41%	2,500,000 USD		09/17/2058	Monthly		(74,374	)		(227,129	)		(152,755	)
CMBX.NA.A.9	GS	USD	4,158,800	2.00%	6.41%	4,158,800 USD		09/17/2058	Monthly		54,550			(377,833	)		(432,383	)
CMBX.NA.AAA.10	GS	USD	7,540,000	0.50%	0.77%	7,540,000 USD		11/17/2059	Monthly		68,960			(61,739	)		(130,699	)
CMBX.NA.AAA.15	GS	USD	2,825,000	0.50%	1.03%	2,825,000 USD		11/18/2064	Monthly		(43,465	)		(99,540	)		(56,075	)
CMBX.NA.AAA.14	MORD	USD	10,000,000	0.50%	0.97%	10,000,000 USD		12/16/2072	Monthly		(301,882	)		(277,565	)		24,317
										$	29,029,881		$	23,327,276		$	(5,702,605	)

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

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

⁽¹⁾  As of May 31, 2023, 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) ($)

Total Return on iBoxx USD Liquid Investment Grade Index

SOFR

MSCI

USD 12,478,000

06/20/2023

Quarterly

$

118

$

(139,898

)

$

(140,016

)

As of May 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Notes to Schedule of Investments:

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

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

(b) Investment valued using significant unobservable inputs.

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

(d) The rate disclosed is the 7 day net yield as of May 31, 2023.

The rates shown on variable rate notes are the current interest rates at May 31, 2023, 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

TBA - To Be Announced - Delayed Delivery Security

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.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 100.1%
		U.S. Government — 49.9%
	40,000,000	U.S. Treasury Bill, Zero Coupon, 5.18%, due 08/08/23 (a)		39,624,772
	50,500,000	U.S. Treasury Floating Rate Notes, Variable Rate, 5.54%, due 04/30/25		50,524,596
	19,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 5.30%, due 04/30/24		18,986,481
	26,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 07/31/24		26,001,909
	77,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.57%, due 01/31/25		77,643,339
		Total U.S. Government		212,781,097
		U.S. Government Agency — 6.8%
	15,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.06%, 5.12%, due 09/19/23		15,000,041
	10,000,000	Federal Home Loan Banks, 5.23%, due 03/22/24		9,962,913
	4,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.16%, due 09/04/24		4,000,707
		Total U.S. Government Agency		28,963,661
		Repurchase Agreements — 43.3%
	165,038,370	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 05/31/23 maturing on 06/01/23 with a maturity value of $165,061,705 and an effective yield of 5.09%, collateralized by a U.S. Treasury Note with maturity date 01/31/29 and a market value of $168,406,500.		165,038,370
	19,499,262	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 05/31/23 maturing on 06/01/23 with a maturity value of $19,502,035 and an effective yield of 5.12%, collateralized by a U.S. Treasury Note with maturity date 12/31/27 and a market value of $19,897,206.		19,499,262
		Total Repurchase Agreements		184,537,632
		Money Market Funds — 0.1%
	393,298	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 5.03% (b)		393,298
		TOTAL SHORT-TERM INVESTMENTS (COST $426,584,950)		426,675,688
		TOTAL INVESTMENTS — 100.1% (Cost $426,584,950)		426,675,688
		Other Assets and Liabilities (net) — (0.1)%		(372,812	)
		TOTAL NET ASSETS — 100.0%		$426,302,876

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of May 31, 2023.

Portfolio Abbreviations:

SOFR - Secured Overnight Financing Rate

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

Organization

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

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

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

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

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

Basis of presentation

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

Portfolio valuation

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

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

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by

the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2023, 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 whose valuations are 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 May 31, 2023:

Description	Level 1			Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	5,009,248		$	—	$	—	$	5,009,248
TOTAL DEBT OBLIGATIONS		5,009,248			—		—		5,009,248
Short-Term Investments		3,435,439			11,937,932		—		15,373,371
Total Investments		8,444,687			11,937,932		—		20,382,619
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			79,291		—		79,291
Futures Contracts
Interest Rate Risk		120,263			—		—		120,263
Total	$	8,564,950		$	12,017,223	$	—	$	20,582,173
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(28,025	)	$	—	$	—	$	(28,025)
Total	$	(28,025	)	$	—	$	—	$	(28,025)
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	7,427,794	$	—	$	7,427,794
Corporate Debt		—			140,280,660		15,901,710		156,182,370
Sovereign and Sovereign Agency Issuers		—			2,119,529,292		184,179,065		2,303,708,357
U.S. Government		9,114,574			—		—		9,114,574
TOTAL DEBT OBLIGATIONS		9,114,574			2,267,237,746		200,080,775		2,476,433,095
Loan Assignments		—			—		29,210,508		29,210,508
Loan Participations		—			—		12,681,588		12,681,588
Investment Funds		—			—		3,654,150		3,654,150
Mutual Funds		27,584,457			—		—		27,584,457
Rights/Warrants		—			8,412,994		3,565,276		11,978,270
Short-Term Investments		2,023,137			35,000,000		—		37,023,137
Total Investments		38,722,168			2,310,650,740		249,192,297		2,598,565,205
Derivatives^
Bond Forward Contracts
Interest Rate Risk		—			192,013		—		192,013
Forward Currency Contracts
Foreign Currency Risk		—			4,678,232		—		4,678,232
Options
Credit Risk		—			—		350,921		350,921
Swap Contracts
Credit Risk		—			20,947,939		—		20,947,939
Interest Rate Risk		—			11,347,060		—		11,347,060
Total	$	38,722,168		$	2,347,815,984	$	249,543,218	$	2,636,081,370

Description	Level 1		Level 2			Level 3		Total
Emerging Country Debt Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(992,701	)	$	—	$	(992,701)
Swap Contracts
Credit Risk		—		(2,090,004	)		—		(2,090,004	)
Interest Rate Risk		—		(137,757	)		—		(137,757	)
Total	$	—	$	(3,220,462	)	$	—	$	(3,220,462)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	31,754,544		$	—	$	31,754,544
U.S. Government		52,985,307		—			—		52,985,307
TOTAL DEBT OBLIGATIONS		52,985,307		31,754,544			—		84,739,851
Short-Term Investments		3,337,330		74,502,762			—		77,840,092
Total Investments		56,322,637		106,257,306			—		162,579,943
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		2,157,902			—		2,157,902
Futures Contracts
Interest Rate Risk		1,092		—			—		1,092
Swap Contracts
Credit Risk		—		268,946			—		268,946
Interest Rate Risk		—		906,622			—		906,622
Total	$	56,323,729	$	109,590,776		$	—	$	165,914,505
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(39,245)	$	—		$	—	$	(39,245)
Written Options
Credit Risk		—		(112,834	)		—		(112,834	)
Swap Contracts
Interest Rate Risk		—		(144,343	)		—		(144,343	)
Total	$	(39,245)	$	(257,177	)	$	—	$	(296,422)
Multi-Sector Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	18,405,253		$	—	$	18,405,253
Corporate Debt		—		26,234,993			—		26,234,993
U.S. Government		4,347,258		—			—		4,347,258
U.S. Government Agency		4,999,985		23,038,615			—		28,038,600
TOTAL DEBT OBLIGATIONS		9,347,243		67,678,861			—		77,026,104
Mutual Funds		28,317,350		—			—		28,317,350
Short-Term Investments		682,683		32,782,202			—		33,464,885
Purchased Options		—		15,395			—		15,395
Total Investments		38,347,276		100,476,458			—		138,823,734

Description	Level 1			Level 2			Level 3		Total
Multi-Sector Fixed Income Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	1,849,628		$	—	$	1,849,628
Futures Contracts
Interest Rate Risk		164,986			—			—		164,986
Swap Contracts
Interest Rate Risk		—			1,010,745			—		1,010,745
Total	$	38,512,262		$	103,336,831		$	—	$	141,849,093
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(856,985	)	$	—	$	(856,985)
Futures Contracts
Interest Rate Risk		(36,811	)		—			—		(36,811	)
Swap Contracts
Interest Rate Risk		—			(1,149,433	)		—		(1,149,433	)
Total	$	(36,811)		$	(2,006,418)		$	—	$	(2,043,229)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	859,821,285		$	9,377,686	$	869,198,971
Corporate Debt		—			2,563,800			—		2,563,800
U.S. Government		49,902,269			—			—		49,902,269
U.S. Government Agency		37,501,235			54,321,387			4,886,736		96,709,358
TOTAL DEBT OBLIGATIONS		87,403,504			916,706,472			14,264,422		1,018,374,398
Mutual Funds		10,916,211			—			—		10,916,211
Short-Term Investments		3,225,378			208,005,490			—		211,230,868
Purchased Options		—			78,802			—		78,802
Total Investments		101,545,093			1,124,790,764			14,264,422		1,240,600,279
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			293,106			—		293,106
Futures Contracts
Interest Rate Risk		118,383			—			—		118,383
Swap Contracts
Credit Risk		—			25,046,022			—		25,046,022
Total	$	101,663,476		$	1,150,129,892		$	14,264,422	$	1,266,057,790
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(137,216)		$	—	$	(137,216)
Futures Contracts
Interest Rate Risk		(211,759	)		—			—		(211,759	)
Written Options
Credit Risk		—			(80,455	)		—		(80,455	)

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Liability Valuation Inputs (continued)
Swap Contracts
Credit Risk	$	—		$	(4,406,498	)	$	—	$	(4,406,498	)
Equity Risk		—			(139,898	)		—		(139,898	)
Total	$	(211,759	)	$	(4,764,067	)	$	—	$	(4,975,826	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	242,138,056		$	184,537,632		$	—	$	426,675,688
Total Investments		242,138,056			184,537,632			—		426,675,688
Total	$	242,138,056		$	184,537,632		$	—	$	426,675,688

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 bond forward contracts and 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 $9,300,000 to an investment in Bona Fide Investment Holdings II 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, two 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 May 31, 2023.

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, 2023		Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3		Balances as of May 31, 2023		Net Change in Unrealized Appreciation (Depreci- ation) from Investments Still Held as of May 31, 2023
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	15,471,486	$	—	$	—		$	(430	)	$	—		$	430,654		$	—	$	—	$	15,901,710	$	430,654
Sovereign and Sovereign Agency Issuers		197,198,523		—		—			(33,704,805	)		—			20,685,347			—		—		184,179,065		20,685,347
Investment Funds		7,035,403		—		(3,524,545	)		—			424,855			(281,563	)		—		—		3,654,150		(281,563	)
Loan Assignments		32,811,159		—		(2,757,697	)		218,032			225,374			(1,286,360	)		—		—		29,210,508		(1,286,360	)
Loan Participations		21,513,110		3,374,919		(8,321,459	)		(3,224,081	)		(1,516,199	)		855,298			—		—		12,681,588		(979,330	)
Rights/Warrants		3,216,316		50,929		—			4,822			—			293,209			—		—		3,565,276		293,209
Total Investments		277,245,997		3,425,848		(14,603,701	)		(36,706,462	)		(865,970	)		20,696,585			—		—		249,192,297		18,861,957
Derivatives
Options		301,675		—		—			—			(125,129	)		174,375			—		—		350,921		174,375
Total	$	277,547,672	$	3,425,848	$	(14,603,701	)#	$	(36,706,462	)	$	(991,099	)	$	20,870,960		$	—	$	—	$	249,543,218	$	19,036,332
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	10,846,895	$	—	$	(1,232,750	)	$	50,678		$	(290,212	)	$	3,074		$	—	$	—	$	9,377,685	$	(329,265	)
U.S. Government Agency		5,263,033		—		(375,000	)		—			879			(2,175	)		—		—		4,886,737		(2,175	)
Total	$	16,109,928	$	—	$	(1,607,750	)##	$	50,678		$	(289,333	)	$	899		$	—	$	—	$	14,264,422	$	(331,440	)

# Includes $7,565,575 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $375,000 of proceeds received from partial calls and/or principal paydowns as applicable.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2023 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		40,289,947	Fair Value	Discount for lack of liquidity/marketability	1.40%-1.60% (1.42%)
Corporate Debt		15,901,710	Fair Value	Discount for lack of liquidity/marketability	2.00% (N/A)
Loan Assignments and Participations		1,769,286	Fair Value	Discount for lack of liquidity/marketability	5.00%-6.00% (5.00%)
Loan Assignments and Participations		17,512,594	Fair Value	Discount for lack of liquidity/marketability	$2.00 (N/A)
Warrants		197,110	Fair Value	Discount for lack of liquidity/marketability	50% (N/A)
Options		350,921	Fair Value	Probability of CDS threshold event	<5% (N/A)
Investment Funds		3,654,150	Fair Value	Net asset value statement	(N/A)
Opportunistic Income Fund
Asset-Backed Securities		9,298,686	Fair Value	Broker mark of comparable bond	N/A
Government Agency		4,886,736	Fair Value	Discount for lack of liquidity/marketability	1.25% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2023, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $169,867,500 and $79,000, 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 May 31, 2023 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
Emerging Country Debt Fund
Bona Fide Investments Feeder LLC	$	—	#	$	—	$	3,524,545	$	—	$	—	$	424,855		$	(281,563	)	$	3,654,150
GMO U.S. Treasury Fund		67,529,288			—		40,000,000		546,073		—		(137,267	)		192,436			27,584,457
Totals	$	67,529,288		$	—	$	43,524,545	$	546,073	$	—	$	287,588		$	(89,127	)	$	31,238,607
Multi-Sector Fixed Income Fund
GMO Emerging Country Debt Fund, Class VI	$	4,374,928		$	—	$	—	$	—	$	—	$	—		$	(19,818	)	$	4,355,110
GMO Opportunistic Income Fund, Class VI		23,494,304			—		—		—		—		—			467,936			23,962,240
Totals	$	27,869,232		$	—	$	—	$	—	$	—	$	—		$	448,118		$	28,317,350
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	10,894,378		$	—	$	—	$	133,678	$	—	$	—		$	21,833		$	10,916,211

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2023 through May 31, 2023. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2024.

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

***

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

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 66.3%
		Australia — 2.1%
	38,052	Aurizon Holdings Ltd (a)		88,078
	26,238	BlueScope Steel Ltd (a)		316,434
	32,748	Brambles Ltd (a)		292,388
	13,595	Fortescue Metals Group Ltd (a)		170,229
	47,960	GPT Group (The) (REIT) (a)		130,642
	128,580	Mirvac Group (REIT) (a)		192,302
	424,002	Origin Energy Ltd (a)		2,297,643
	71,129	Scentre Group (REIT) (a)		125,343
	64,932	Stockland (REIT) (a)		179,834
		Total Australia		3,792,893
		Belgium — 0.4%
	7,337	Ageas SA/NV (a)		293,526
	730	Sofina SA (a)		151,074
	4,348	UCB SA		379,718
		Total Belgium		824,318
		Brazil — 0.1%
	7,100	Banco do Brasil SA		62,445
	11,100	Petroleo Brasileiro SA Sponsored ADR (a)		128,094
	3,000	Telefonica Brasil SA ADR (a)		23,760
		Total Brazil		214,299
		Canada — 2.4%
	3,200	Alimentation Couche-Tard Inc (a)		154,944
	272,229	Canaccord Genuity Group Inc (a)		1,915,128
	2,700	Canadian Tire Corp Ltd – Class A (a)		324,318
	1,200	iA Financial Corp Inc		76,482
	3,700	Magna International Inc		179,017
	12,100	Manulife Financial Corp (a) (b)		224,092
	10,600	Manulife Financial Corp (a) (b)		196,383
	3,200	Onex Corp (a)		144,902
	9,800	Quebecor Inc – Class B (a)		233,684
	176,256	Resolute Forest Products Inc * (c)		352,512
	7,300	Teck Resources Ltd – Class B * (a) (b)		284,955
	2,356	Teck Resources Ltd – Class B (a) (b)		92,049
	3,900	West Fraser Timber Co Ltd (a) (b)		263,189
	900	West Fraser Timber Co Ltd (a) (b)		60,678
		Total Canada		4,502,333
		China — 0.5%
	111,000	Bank of Communications Co Ltd – Class H		71,567
	21,500	Beijing Enterprises Holdings Ltd		83,081
	22,500	China Conch Venture Holdings Ltd		28,264
	60,500	China Overseas Land & Investment Ltd		122,776
	212,000	China Railway Group Ltd – Class H		139,694
	308,000	China Zhongwang Holdings Ltd * (d)		—
	146,000	CITIC Ltd		168,562
	80,000	Dongfeng Motor Group Co Ltd – Class H		34,644
	13,000	Kingboard Holdings Ltd		35,028

Shares		Description	Value ($)
		China — continued
	8,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		16,940
	239,500	Shimao Group Holdings Ltd * (c)		135,189
	6,000	Sinopharm Group Co Ltd – Class H		19,668
		Total China		855,413
		Denmark — 0.6%
	84	AP Moller – Maersk A/S – Class A (a)		141,309
	143	AP Moller – Maersk A/S – Class B (a)		240,667
	17,918	Danske Bank A/S *		365,424
	59	Genmab A/S * (a)		23,226
	4,547	Pandora A/S (a)		362,926
	72	Rockwool A/S – B Shares		17,201
		Total Denmark		1,150,753
		Finland — 0.2%
	86,917	Nokia Oyj (a)		351,616
	5,372	Stora Enso Oyj – R Shares (a)		68,151
		Total Finland		419,767
		France — 0.7%
	13,281	ArcelorMittal SA		331,277
	4,396	BNP Paribas SA (a)		255,576
	496	Cie de Saint-Gobain (a)		27,545
	2,480	Publicis Groupe SA (a)		184,184
	2,030	Renault SA		68,183
	13,520	Societe Generale SA		314,752
	5,498	Vivendi SE (a)		48,845
		Total France		1,230,362
		Germany — 0.4%
	1,594	Bayerische Motoren Werke AG (a)		173,834
	724	Continental AG		48,325
	3,106	Fresenius SE & Co KGaA (a)		85,173
	982	Heidelberg Materials AG (a)		70,445
	5,466	Mercedes-Benz Group AG (a)		408,603
		Total Germany		786,380
		India — 0.5%
	98,843	GAIL India Ltd		125,063
	5,934	Hindalco Industries Ltd		29,169
	21,365	Hindustan Petroleum Corp Ltd		67,792
	56,680	Indian Oil Corp Ltd		61,554
	60,215	NTPC Ltd		125,408
	189,372	Oil & Natural Gas Corp Ltd		351,383
	212,038	Tata Steel Ltd		271,084
		Total India		1,031,453
		Israel — 1.9%
	4,074	Teva Pharmaceutical Industries Ltd *		29,166
	36,500	Teva Pharmaceutical Industries Ltd Sponsored ADR *		262,800

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Israel — continued
	80,688	Tower Semiconductor Ltd *		3,158,128
		Total Israel		3,450,094
		Italy — 0.3%
	23,538	Stellantis NV (a)		358,683
	650,357	Telecom Italia SPA * (a)		172,871
		Total Italy		531,554
		Japan — 9.8%
	1,700	AGC Inc (a)		61,921
	12,200	Amano Corp		253,198
	25,400	Asahi Kasei Corp (a)		172,261
	15,000	Credit Saison Co Ltd (a)		205,848
	16,600	Daiwabo Holdings Co Ltd		307,198
	11,900	Denka Co Ltd (a)		218,284
	8,300	EXEO Group Inc		157,942
	16,000	Fuji Corp		260,493
	8,500	FUJIFILM Holdings Corp (a)		519,471
	200	Fujitsu Ltd (a)		25,372
	16,500	H.U. Group Holdings Inc (a)		311,757
	17,500	Haseko Corp		202,609
	15,100	Honda Motor Co Ltd (a)		429,666
	2,100	Honda Motor Co Ltd Sponsored ADR (a)		59,661
	5,200	Idemitsu Kosan Co Ltd (a)		100,831
	34,800	Inpex Corp (a)		365,660
	12,300	ITOCHU Corp (a)		415,223
	14,800	Kanematsu Corp		192,383
	8,400	KDDI Corp (a)		258,985
	22,000	Kirin Holdings Co Ltd (a)		328,351
	22,600	K’s Holdings Corp (a)		194,732
	11,200	Kyudenko Corp		296,150
	9,300	Maruichi Steel Tube Ltd		204,258
	9,300	Mitsubishi Corp (a)		371,814
	35,500	Mitsubishi Electric Corp (a)		462,087
	14,000	Mitsui OSK Lines Ltd (a)		318,390
	7,100	Morinaga & Co Ltd (a)		225,897
	6,300	MS&AD Insurance Group Holdings Inc (a)		215,877
	8,600	NEC Corp (a)		403,604
	14,000	NH Foods Ltd (a)		381,508
	2,200	Nippon Telegraph & Telephone Corp (a)		62,504
	15,200	Nippon Yusen KK (a)		323,484
	39,400	Obayashi Corp		317,069
	41,400	Penta-Ocean Construction Co Ltd		208,694
	3,900	Renesas Electronics Corp * (a)		63,122
	7,300	Sankyu Inc (a)		246,717
	3,800	Secom Co Ltd		248,868
	21,100	Sekisui House Ltd (a)		411,804
	30,300	Shimizu Corp		183,502
	1,000	Shionogi & Co Ltd (a)		44,926
	16,700	Stanley Electric Co Ltd		335,977
	9,500	Subaru Corp		162,946
	26,700	SUMCO Corp (a)		380,056

Shares		Description	Value ($)
		Japan — continued
	50,300	Sumitomo Chemical Co Ltd (a)		149,780
	20,600	Sumitomo Corp (a)		388,790
	9,100	Sumitomo Mitsui Financial Group Inc (a)		369,293
	7,300	Sumitomo Mitsui Trust Holdings Inc		257,210
	35,400	T&D Holdings Inc (a)		480,693
	9,500	Taisei Corp		301,867
	7,600	Takuma Co Ltd		77,367
	1,900	TDK Corp (a)		72,484
	22,800	Teijin Ltd (a)		210,647
	12,500	THK Co Ltd		263,131
	40,000	Tokai Carbon Co Ltd (a)		330,572
	7,400	Tokyo Seimitsu Co Ltd (a)		320,931
	9,800	Toppan Inc (a)		209,352
	83,193	Toshiba Corp (a)		2,683,681
	14,600	Tosoh Corp (a)		167,723
	6,300	Toyota Industries Corp (a)		388,493
	800	Toyota Tsusho Corp (a)		35,140
	6,200	Yamaha Motor Co Ltd		152,535
	5,300	Zenkoku Hosho Co Ltd (a)		189,347
		Total Japan		17,960,136
		Netherlands — 1.1%
	72,184	Aegon NV (a)		317,189
	3,938	EXOR NV * (a)		327,033
	4,045	ING Groep NV (a)		49,839
	9,170	JDE Peet’s NV (a)		266,482
	11,057	Koninklijke Ahold Delhaize NV (a)		350,533
	20,632	Koninklijke Philips NV * (a)		389,792
	8,649	NN Group NV (a)		312,032
		Total Netherlands		2,012,900
		New Zealand — 0.1%
	15,249	Auckland International Airport Ltd * (a)		81,503
	19,591	Meridian Energy Ltd (a)		62,553
		Total New Zealand		144,056
		Poland — 0.1%
	8,820	Polski Koncern Naftowy ORLEN SA		125,582
		Portugal — 0.1%
	38,712	EDP – Energias de Portugal SA		189,104
		South Africa — 0.1%
	10,709	Bidvest Group Ltd (The)		129,358
		South Korea — 0.6%
	660	E-MART Inc		41,910
	4,906	Kia Corp		316,955
	1,343	LG Corp		87,100
	1,202	LG Electronics Inc		111,075
	162	POSCO Holdings Inc		43,897
	3,900	POSCO Holdings Inc Sponsored ADR (a)		264,732

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	4,827	SK Square Co Ltd *		167,882
		Total South Korea		1,033,551
		Spain — 0.4%
	60,712	Banco Bilbao Vizcaya Argentaria SA (a)		399,162
	116,598	Banco Santander SA (a)		380,929
		Total Spain		780,091
		Sweden — 0.3%
	44,077	Fastighets AB Balder – B Shares * (a)		148,774
	3,811	Investor AB – A Shares (a)		78,592
	12,711	Kinnevik AB – Class B * (a)		183,479
	5,073	Skanska AB – B Shares		67,027
	3,739	Svenska Cellulosa AB SCA – Class B (a)		49,712
	3,867	Telefonaktiebolaget LM Ericsson – B Shares (a)		19,996
		Total Sweden		547,580
		Switzerland — 0.6%
	9,748	Adecco Group AG (Registered) * (a)		291,284
	6,071	Logitech International SA (Registered)		388,324
	1,316	Roche Holding AG – Genusschein (a)		419,158
		Total Switzerland		1,098,766
		Taiwan — 2.1%
	62,593	Silicon Motion Technology Corp ADR (a)		3,833,195
		Thailand — 0.2%
	28,500	Kasikornbank Pcl NVDR		106,009
	359,400	Krung Thai Bank Pcl NVDR		196,105
	7,600	Thai Oil Pcl NVDR		9,432
		Total Thailand		311,546
		Turkey — 0.2%
	88,808	Haci Omer Sabanci Holding AS		165,201
	402,666	Yapi ve Kredi Bankasi AS		198,338
		Total Turkey		363,539
		United Kingdom — 0.7%
	1,686	3i Group Plc (a)		41,130
	4,506	Berkeley Group Holdings Plc (The) (a)		220,549
	174,016	BT Group Plc (a)		317,882
	3,664	Coca-Cola HBC AG * (a)		108,851
	77,864	Kingfisher Plc (a)		223,967
	95,202	Taylor Wimpey Plc (a)		135,599
	32,400	Vodafone Group Plc Sponsored ADR (a)		307,152
		Total United Kingdom		1,355,130
		United States — 39.8%
	2,185	3M Co. (a)		203,882
	60,950	Activision Blizzard, Inc. * (a) (e)		4,888,190
	15,058	Aerojet Rocketdyne Holdings, Inc. *		820,360
	700	Akamai Technologies, Inc. * (a)		64,484

Shares		Description	Value ($)
		United States — continued
	217,023	Albertsons Cos., Inc. – Class A (a) (e)		4,418,588
	12,900	Ally Financial, Inc. (a)		344,043
	1,787	Alphabet, Inc. – Class A * (a)		219,569
	1,657	Alphabet, Inc. – Class C * (a)		204,424
	3,000	Arrow Electronics, Inc. *		379,920
	200	Aspen Technology, Inc. * (a)		32,784
	3,284	Best Buy Co., Inc. (a)		238,648
	630	Biogen, Inc. * (a)		186,738
	760	Bio-Rad Laboratories, Inc. – Class A * (a)		283,746
	28,842	Black Knight, Inc. * (a)		1,666,491
	7,600	BorgWarner, Inc.		336,908
	4,000	Capital One Financial Corp. (a)		416,840
	9,200	Carrier Global Corp. (a)		376,280
	2,900	CBRE Group, Inc. – Class A * (a)		217,268
	4,968	Centene Corp. * (a)		310,053
	2,210	Chesapeake Energy Corp. (a)		166,302
	8,300	Citigroup, Inc. (a)		367,856
	22,066	Cleveland-Cliffs, Inc. * (a)		306,276
	6,300	Cognizant Technology Solutions Corp. – Class A (a)		393,687
	10,200	Comcast Corp. – Class A (a)		401,370
	365	Crowdstrike Holdings, Inc. – Class A * (a)		58,447
	4,600	CVS Health Corp. (a)		312,938
	5,809	Dell Technologies, Inc. – Class C (a)		260,301
	2,500	Discover Financial Services (a)		256,850
	36,800	DISH Network Corp. – Class A * (a)		236,624
	2,339	DR Horton, Inc. (a)		249,899
	1,500	Dropbox, Inc. – Class A * (a)		34,530
	8,100	eBay, Inc. (a)		344,574
	1,729	Expedia Group, Inc. * (a)		165,483
	1,352	FedEx Corp. (a)		294,709
	10,000	Fidelity National Financial, Inc. (a)		341,400
	32,700	Ford Motor Co. (a)		392,400
	41,224	ForgeRock, Inc. – Class A* (a)		829,839
	5,200	Fortune Brands Innovations, Inc. (a)		314,340
	52,148	Fox Corp. – Class B (a)		1,523,243
	12,300	Franklin Resources, Inc. (a)		295,323
	800	Generac Holdings, Inc. * (a)		87,136
	11,300	General Motors Co. (a)		366,233
	44,462	Globus Medical, Inc. – Class A * (a) (e)		2,406,728
	500	Goldman Sachs Group, Inc. (The) (a)		161,950
	7,008	HEICO Corp. – Class A (a)		853,925
	3,611	Heska Corp. * (a)		432,345
	26,970	Horizon Therapeutics Plc * (a)		2,697,809
	13,100	HP, Inc. (a)		380,686
	5,071	Incyte Corp. * (a)		312,120
	14,800	Intel Corp. (a)		465,312
	3,000	International Business Machines Corp. (a)		385,770
	8,500	Invesco Ltd. (a)		122,230
	22,740	IVERIC bio, Inc. *		858,435
	2,500	Jazz Pharmaceuticals Plc *		320,400
	22,000	Kinder Morgan, Inc. (a)		354,420

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	2,719	Knight-Swift Transportation Holdings, Inc. (a)		149,518
	9,900	Kraft Heinz Co. (The) (a)		378,378
	1,600	Laboratory Corp. of America Holdings (a)		340,048
	2,213	Lennar Corp. – Class A (a)		237,057
	45,762	Liberty Broadband Corp. – Class C * (a)		3,390,964
	147,869	Liberty Global Plc – Class A * (a)		2,410,265
	3,342	Liberty Global Plc – Class C *		56,881
	7,919	Liberty Media Corp.-Liberty Formula One – Class A * (a)		500,085
	11,432	Life Storage, Inc. (a)		1,456,322
	3,800	LyondellBasell Industries NV – Class A (a)		325,052
	7,871	Match Group, Inc. * (a)		271,549
	1,958	Meta Platforms, Inc. – Class A * (a)		518,322
	7,000	Micron Technology, Inc. (a)		477,400
	2,872	Moderna, Inc. * (a)		366,783
	2,800	Mohawk Industries, Inc. *		257,712
	6,800	Molson Coors Brewing Co. – Class B (a)		420,580
	7,100	Mosaic Co. (The) (a)		226,916
	29,378	National Instruments Corp.		1,698,048
	10,200	NRG Energy, Inc. (a)		344,658
	2,600	Nucor Corp. (a)		343,356
	1,357	Occidental Petroleum Corp. (a)		78,245
	9,593	Ovintiv, Inc. (a)		317,240
	19,995	Paramount Global – Class B (a)		304,124
	5,100	PayPal Holdings, Inc. * (a)		316,149
	153,945	Pershing Square Tontine Holdings Ltd. * (c)		15,395
	9,845	Pfizer, Inc. (a)		374,307
	94,999	PNM Resources, Inc. (a)		4,362,354
	3,745	PulteGroup, Inc. (a)		247,470
	800	QUALCOMM, Inc. (a)		90,728
	96,296	Radius Global Infrastructure, Inc. – Class A * (a)		1,425,181
	500	Regeneron Pharmaceuticals, Inc. * (a)		367,780
	100	Roper Technologies, Inc. (a)		45,422
	1,900	Skyworks Solutions, Inc. (a)		196,669
	67,900	Spirit Airlines, Inc. (a) (e)		1,032,759
	24,198	Sportsman’s Warehouse Holdings, Inc. *		109,617
	700	SS&C Technologies Holdings, Inc. (a)		38,472
	3,500	Steel Dynamics, Inc. (a)		321,650
	12,200	Synchrony Financial (a)		377,712
	136,658	TEGNA, Inc. (a)		2,116,832
	3,400	Textron, Inc. (a)		210,358
	30,000	Triton International Ltd		2,479,200
	6,893	Tyson Foods, Inc. – Class A (a)		349,062
	60,767	Univar Solutions, Inc. *		2,164,521
	2,484	Universal Health Services, Inc. – Class B (a)		328,211
	10,400	Verizon Communications, Inc. (a)		370,552
	759	Vertex Pharmaceuticals, Inc. * (a)		245,590
	36,500	Viatris, Inc. (a)		333,975
	40,026	VMware, Inc. – Class A * (a) (e)		5,455,144
	5,676	Walgreens Boots Alliance, Inc. (a)		172,380
	8,700	Western Digital Corp. *		336,951
	2,900	Westlake Corp. (a)		301,455
	2,200	Whirlpool Corp. (a)		284,438

Shares / Par Value†		Description	Value ($)
		United States — continued
	5,400	Zoom Video Communications, Inc. – Class A * (a)		362,502
		Total United States		73,063,445
		TOTAL COMMON STOCKS (COST $130,673,692)		121,737,598
		PREFERRED STOCKS (f) — 0.4%
		Brazil — 0.1%
	19,700	Petroleo Brasileiro SA Sponsored ADR (a)		202,516
		Germany — 0.3%
	2,200	Bayerische Motoren Werke AG (a)		226,492
	1,186	Porsche Automobil Holding SE *		66,061
	2,080	Volkswagen AG (a)		260,586
		Total Germany		553,139
		TOTAL PREFERRED STOCKS (COST $729,636)		755,655
		RIGHTS/WARRANTS — 0.2%
		United States — 0.2%
	195,149	Bristol-Myers Squibb Co. CVR * (c)		361,026
	13,635	Contra Abiomed, Inc. * (c)		23,861
		TOTAL RIGHTS/WARRANTS (COST $298,336)		384,887
		INVESTMENT FUNDS — 1.3%
		United States — 1.3%
	1,000,824	Altaba, Inc. (c)		2,331,920
		TOTAL INVESTMENT FUNDS (COST $1,660,089)		2,331,920
		DEBT OBLIGATIONS — 55.5%
		United States — 55.5%
		Asset-Backed Securities — 2.9%
	5,418,616	OZLM VI Ltd, Series 14-6A, Class A1S,
		144A, Variable Rate, 3 mo. LIBOR + 1.08%, 6.34%, due 04/17/31		5,329,306
		U.S. Government — 22.4%
	400,000	U.S. Treasury Note, 0.13%, due 07/31/23		396,526
	3,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 10/31/23		3,500,595
	10,650,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 07/31/24 (a)		10,650,782
	26,475,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.57%, due 01/31/25 (a) (g)		26,523,967
		Total U.S. Government		41,071,870

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government Agency — 30.2%
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.16%, due 10/06/23		3,000,026
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 5.13%, due 12/14/23		5,000,803
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.18%, due 03/06/24		3,002,617
	5,000,000	Federal Home Loan Banks, 5.23%, due 03/22/24		4,981,456
	37,500,000	Federal National Mortgage Association, TBA, 5.00%, due 06/13/53		36,939,697
	2,500,000	Federal National Mortgage Association, TBA, 5.50%, due 06/13/53		2,498,437
		Total U.S. Government Agency		55,423,036
		Total United States		101,824,212
		TOTAL DEBT OBLIGATIONS (COST $102,176,356)		101,824,212
		MUTUAL FUNDS — 3.2%
		United States — 3.2%
		Affiliated Issuers — 3.2%
	431,379	GMO Emerging Markets ex-China Fund, Class VI		5,888,327
		TOTAL MUTUAL FUNDS (COST $6,060,878)		5,888,327

	Par Value† / Shares		Description	Value ($)
			SHORT-TERM INVESTMENTS — 23.9%
			Sovereign and Sovereign Agency Issuers — 7.8%
JPY		2,000,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/03/23		14,357,059
			Money Market Funds — 0.8%
		1,412,186	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (h)		1,412,186
			Repurchase Agreements — 15.3%
		28,019,915	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/31/23, maturing on 06/01/23 with a maturity value of $28,023,877 and an effective yield of 5.09%, collateralized by a U.S. Treasury Note with maturity date 12/31/27 and a market value of $28,591,750.		28,019,915
			TOTAL SHORT-TERM INVESTMENTS (COST $44,393,787)		43,789,160

PURCHASED OPTIONS — 0.0%

Description	Counterparty	Exercise Rate			Expiration Date	Principal/ Notional Amount		Notional Amount	Value ($)
Currency Options – Puts – 0.0%
USD Put/CHF Call	BCLY		0.88	%	08/11/23		USD 3,330,000	USD 3,330,000	11,758

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.S40	GS		72.50	%		06/21/23	USD 50,063,000		Fixed Spread	Pay	27,330

TOTAL PURCHASED OPTIONS (COST $53,329)	39,088
TOTAL INVESTMENTS — 150.8% (Cost $286,046,103)	276,750,847

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (33.1)%
			Common Stocks — (33.0)%
			Australia — (0.6)%
	(5,304	)	ASX Ltd		(232,493	)
	(1,115	)	Cochlear Ltd		(176,462	)
	(7,891	)	IDP Education Ltd		(111,875	)
	(216	)	Macquarie Group Ltd		(23,958	)
	(133,098	)	Pilbara Minerals Ltd		(381,559	)
	(4,728	)	Ramsay Health Care Ltd		(176,433	)
	(1,220	)	WiseTech Global Ltd		(59,294	)
			Total Australia		(1,162,074	)
			Austria — (0.2)%
	(3,788	)	Verbund AG		(286,236	)
			Belgium — (0.2)%
	(6,382	)	Anheuser-Busch InBev SA/NV		(340,448	)
			Canada — (1.4)%
	(6,500	)	Agnico Eagle Mines Ltd		(330,070	)
	(8,700	)	Algonquin Power & Utilities Corp		(73,341	)
	(18,300	)	AltaGas Ltd		(310,325	)
	(6,376	)	Brookfield Infrastructure Corp – Class A		(293,934	)
	(872	)	Cameco Corp		(24,276	)
	(10,800	)	Enbridge Inc		(380,160	)
	(2,900	)	Franco-Nevada Corp		(421,631	)
	(2,300	)	GFL Environmental Inc		(83,122	)
	(10,800	)	Pembina Pipeline Corp		(326,916	)
	(5,600	)	Restaurant Brands International Inc		(408,296	)
			Total Canada		(2,652,071	)
			Denmark — (0.1)%
	(323	)	Coloplast A/S – Class B		(40,758	)
	(8,336	)	Tryg A/S		(189,744	)
			Total Denmark		(230,502	)
			Finland — (0.1)%
	(2,457	)	Elisa Oyj		(137,631	)
	(361	)	Kone Oyj – Class B		(18,363	)
			Total Finland		(155,994	)
			France — (0.8)%
	(10,681	)	Accor SA *		(355,693	)
	(1,851	)	Aeroports de Paris *		(282,125	)
	(52	)	Euronext NV		(3,470	)
	(20,306	)	Getlink SE		(345,502	)
	(207	)	Hermes International		(422,243	)
	(248	)	Sartorius Stedim Biotech		(65,377	)
	(226	)	Sodexo SA		(24,468	)
			Total France		(1,498,878	)

Shares			Description	Value ($)
			Germany — (1.0)%
	(9,686	)	Delivery Hero SE *		(363,760	)
	(1,323	)	Deutsche Boerse AG		(228,831	)
	(1,385	)	MTU Aero Engines AG		(320,397	)
	(1,248	)	Puma SE		(59,647	)
	(257	)	QIAGEN NV *		(11,640	)
	(274	)	Rational AG		(184,152	)
	(3,502	)	Symrise AG – Class A		(375,039	)
	(98,860	)	Telefonica Deutschland Holding AG		(278,733	)
	(1,871	)	Zalando SE *		(54,408	)
			Total Germany		(1,876,607	)
			Israel — (0.3)%
	(2,500	)	CyberArk Software Ltd *		(386,825	)
	(1,500	)	Wix.com Ltd *		(114,330	)
			Total Israel		(501,155	)
			Italy — (0.8)%
	(9,432	)	Amplifon SPA		(327,167	)
	(1,278	)	Ferrari NV (b)		(365,818	)
	(271	)	Ferrari NV (b)		(77,688	)
	(22,728	)	FinecoBank Banca Fineco SPA		(303,604	)
	(26,970	)	Infrastrutture Wireless Italiane SPA		(343,867	)
			Total Italy		(1,418,144	)
			Japan — (2.7)%
	(8,000	)	Aeon Co Ltd		(158,221	)
	(14,700	)	ANA Holdings Inc *		(326,069	)
	(11,000	)	Asahi Intecc Co Ltd		(209,611	)
	(3,500	)	GMO Payment Gateway Inc		(276,017	)
	(17,200	)	Japan Airlines Co Ltd		(328,696	)
	(9,600	)	Japan Exchange Group Inc		(156,762	)
	(4,900	)	Keio Corp		(172,432	)
	(3,700	)	Keisei Electric Railway Co Ltd		(141,855	)
	(2,600	)	Lasertec Corp		(408,234	)
	(13,000	)	M3 Inc		(288,550	)
	(20,300	)	MonotaRO Co Ltd		(281,488	)
	(1,000	)	Nidec Corp		(49,555	)
	(15,600	)	Nihon M&A Center Holdings Inc		(109,063	)
	(20,100	)	Nippon Paint Holdings Co Ltd		(153,919	)
	(14,100	)	Odakyu Electric Railway Co Ltd		(205,281	)
	(12,400	)	Oriental Land Co Ltd		(464,413	)
	(66,000	)	Rakuten Group Inc		(272,170	)
	(4,600	)	Shiseido Co Ltd		(208,892	)
	(32,400	)	SoftBank Corp		(345,263	)
	(800	)	SoftBank Group Corp		(31,478	)
	(5,000	)	Tobu Railway Co Ltd		(130,797	)
	(13,700	)	Tokyu Corp		(176,924	)
	(800	)	West Japan Railway Co		(33,505	)
			Total Japan		(4,929,195	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares			Description	Value ($)
			Netherlands — (0.6)%
	(269	)	Adyen NV *		(440,579	)
	(1,416	)	IMCD NV		(213,444	)
	(8,366	)	Just Eat Takeaway.com NV *		(126,529	)
	(16,608	)	Universal Music Group NV		(329,454	)
			Total Netherlands		(1,110,006	)
			New Zealand — (0.2)%
	(5,433	)	Xero Ltd *		(387,879	)
			Peru — (0.2)%
	(4,900	)	Southern Copper Corp		(327,173	)
			Singapore — (0.3)%
	(69,338	)	Grab Holdings Ltd – Class A *		(206,627	)
	(572,800	)	Sembcorp Marine Ltd *		(52,045	)
	(28,300	)	Singapore Exchange Ltd		(194,068	)
			Total Singapore		(452,740	)
			Spain — (0.5)%
	(10,930	)	Cellnex Telecom SA		(442,943	)
	(13,863	)	Ferrovial SA		(430,135	)
			Total Spain		(873,078	)
			Sweden — (0.2)%
	(2,381	)	Evolution AB		(314,312	)
			Switzerland — (0.3)%
	(6	)	Chocoladefabriken Lindt & Spruengli AG		(71,900	)
	(260	)	Partners Group Holding AG		(235,050	)
	(2,002	)	Straumann Holding AG (Registered)		(294,131	)
			Total Switzerland		(601,081	)
			United Kingdom — (1.3)%
	(2,364	)	Admiral Group Plc		(68,477	)
	(36,828	)	Auto Trader Group Plc		(289,027	)
	(3,047	)	Halma Plc		(91,448	)
	(18,955	)	Hargreaves Lansdown Plc		(189,247	)
	(49,816	)	Informa Plc		(432,504	)
	(5,268	)	InterContinental Hotels Group Plc		(346,638	)
	(4,395	)	London Stock Exchange Group Plc		(468,527	)
	(3,061	)	M&G Plc		(7,562	)
	(1,284	)	Prudential Plc		(16,871	)
	(224,509	)	Rolls-Royce Holdings Plc *		(401,087	)
	(793	)	Spirax-Sarco Engineering Plc		(108,091	)
			Total United Kingdom		(2,419,479	)
			United States — (21.2)%
	(15,700	)	AES Corp. (The)		(309,918	)
	(2,000	)	Alnylam Pharmaceuticals, Inc. *		(370,020	)
	(8,500	)	Altria Group, Inc.		(377,570	)
	(1,000	)	American Tower Corp. (REIT)		(184,440	)
	(2	)	Aon Plc – Class A		(617	)

Shares			Description	Value ($)
			United States — continued
	(451	)	Aramark		(17,805	)
	(4,500	)	Ares Management Corp. – Class A		(391,905	)
	(2,100	)	Arthur J Gallagher & Co.		(420,693	)
	(538	)	Axon Enterprise, Inc. *		(103,786	)
	(4,400	)	Bills Holdings, Inc. *		(455,752	)
	(4,200	)	Bio-Techne Corp.		(343,518	)
	(2,100	)	Boeing Co. (The) *		(431,970	)
	(4,640	)	Broadcom, Inc.		(3,748,934	)
	(1,900	)	Burlington Stores, Inc. *		(285,874	)
	(7,700	)	Caesars Entertainment, Inc. *		(315,777	)
	(5,500	)	Ceridian HCM Holding, Inc. *		(340,175	)
	(10,914	)	Charter Communications, Inc. – Class A *		(3,559,601	)
	(227	)	Chipotle Mexican Grill, Inc. – Class A *		(471,363	)
	(13,241	)	Clarivate Plc *		(103,280	)
	(6,700	)	Cloudflare, Inc. – Class A *		(463,372	)
	(800	)	Crown Castle, Inc. (REIT)		(90,568	)
	(3,700	)	Dexcom, Inc. *		(433,862	)
	(2,500	)	Equity LifeStyle Properties, Inc. (REIT)		(157,925	)
	(100	)	Erie Indemnity Co. – Class A		(21,410	)
	(2,500	)	Essential Utilities, Inc.		(101,850	)
	(5,600	)	Exact Sciences Corp. *		(456,848	)
	(10,189	)	Extra Space Storage, Inc. (REIT)		(1,469,967	)
	(3,677	)	Fastenal Co.		(198,006	)
	(5,401	)	Fortinet, Inc. *		(369,050	)
	(36,189	)	Fox Corp. – Class A		(1,129,097	)
	(1,200	)	Gartner, Inc. *		(411,432	)
	(5,649	)	HEICO Corp.		(873,222	)
	(88	)	Hershey Co. (The)		(22,854	)
	(2,600	)	Hess Corp.		(329,342	)
	(976	)	HubSpot, Inc. *		(505,558	)
	(800	)	IDEXX Laboratories, Inc. *		(371,816	)
	(2,418	)	Ingersoll Rand, Inc.		(137,004	)
	(1,300	)	Insulet Corp. *		(356,525	)
	(1,900	)	IQVIA Holdings, Inc. *		(374,129	)
	(3,700	)	Iron Mountain, Inc. (REIT)		(197,654	)
	(3,700	)	Lamb Weston Holdings, Inc.		(411,440	)
	(136,383	)	Liberty Global Plc – Class C *		(2,321,239	)
	(12,840	)	Liberty Media Corp.-Liberty Formula One – Class C *		(903,936	)
	(1,200	)	Linde Plc		(424,392	)
	(5,000	)	Live Nation Entertainment, Inc. *		(399,700	)
	(1,200	)	MarketAxess Holdings, Inc.		(326,892	)
	(1,100	)	Mastercard, Inc. – Class A		(401,522	)
	(10,099	)	MaxLinear, Inc. *		(294,992	)
	(1,800	)	MongoDB, Inc. – Class A *		(528,822	)
	(330	)	Monolithic Power Systems, Inc.		(161,670	)
	(700	)	Moody’s Corp.		(221,816	)
	(800	)	MSCI, Inc. – Class A		(376,424	)
	(9,400	)	Newmont Corp.		(381,170	)
	(13,100	)	NiSource, Inc.		(352,259	)
	(4,834	)	Novocure Ltd. *		(347,130	)
	(18,484	)	NuVasive, Inc. *		(705,349	)
	(5,200	)	Okta, Inc. *		(472,680	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(5,900	)	ONEOK, Inc.		(334,294	)
	(34,600	)	Palantir Technologies, Inc. – Class A *		(508,966	)
	(3,700	)	Paychex, Inc.		(388,241	)
	(3,900	)	Philip Morris International, Inc.		(351,039	)
	(344	)	PTC, Inc. *		(46,234	)
	(300	)	Repligen Corp. *		(50,376	)
	(9,700	)	ROBLOX Corp. – Class A *		(406,042	)
	(5,800	)	Roku, Inc. *		(337,560	)
	(9,800	)	Rollins, Inc.		(385,336	)
	(5,506	)	Royal Caribbean Cruises Ltd. *		(445,821	)
	(900	)	ServiceNow, Inc. *		(490,302	)
	(1,078	)	Sherwin-Williams Co. (The)		(245,547	)
	(1,600	)	Simon Property Group, Inc. (REIT)		(168,240	)
	(2,000	)	Snowflake, Inc. – Class A *		(330,720	)
	(603	)	Stanley Black & Decker, Inc.		(45,207	)
	(3,700	)	Starbucks Corp.		(361,268	)
	(242	)	Sysco Corp.		(16,928	)
	(2,314	)	Tesla, Inc. *		(471,894	)
	(19,500	)	Toast, Inc. – Class A *		(408,915	)
	(5,750	)	Trade Desk, Inc. (The) – Class A *		(402,960	)
	(500	)	TransDigm Group, Inc.		(386,825	)
	(3,781	)	Twilio, Inc. – Class A *		(263,233	)
	(11,764	)	Uber Technologies, Inc. *		(446,208	)
	(4,200	)	UDR, Inc. (REIT)		(166,614	)
	(1,500	)	Vail Resorts, Inc.		(364,800	)

Shares			Description	Value ($)
			United States — continued
	(194	)	Vulcan Materials Co.		(37,927	)
	(13,500	)	Williams Cos., Inc. (The)		(386,910	)
	(7,855	)	Wolfspeed, Inc. *		(377,354	)
	(200	)	Yum! Brands, Inc.		(25,738	)
	(2,888	)	Zillow Group, Inc. – Class C *		(131,722	)
	(3,100	)	Zscaler, Inc. *		(419,988	)
			Total United States		(38,939,131	)
			TOTAL COMMON STOCKS (PROCEEDS $63,066,581)		(60,476,183	)
			PREFERRED STOCKS (f) — (0.1)%
			Germany — (0.1)%
	(761	)	Sartorius AG		(255,407	)
			TOTAL PREFERRED STOCKS (PROCEEDS $351,737)		(255,407	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $63,418,318)		(60,731,590	)
			Other Assets and Liabilities (net) — (17.7%)		(32,522,125	)
			TOTAL NET ASSETS — 100.0%		$183,497,132

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/08/2023	SSB		AUD	6,413,820		USD	4,286,816		104,646
08/08/2023	JPM		AUD	1,030,000		USD	690,808		19,190
07/24/2023	JPM		AUD	13,999,299		USD	9,327,209		203,814
08/08/2023	BOA		AUD	380,000		USD	249,064		1,282
06/02/2023	MSCI		BRL	7,607,447		USD	1,534,890		35,383
06/02/2023	JPM		BRL	6,992,554		USD	1,400,191		21,886
06/30/2023	BCLY		CAD	2,300,000		USD	1,712,061		16,579
08/14/2023	MSCI		CAD	306,425		USD	227,565		1,457
06/30/2023	BOA		CAD	430,000		USD	319,943		2,962
08/08/2023	SSB		CAD	148,912		USD	110,841		975
08/08/2023	CITI		CAD	20,348		USD	15,101		88
08/08/2023	MSCI		CAD	306,425		USD	227,606		1,529
07/12/2023	MSCI		CHF	4,437,275		USD	5,025,124		130,710
08/15/2023	BCLY		CHF	1,114,542		USD	1,259,000		25,093
08/15/2023	JPM		CHF	180,000		USD	201,903		2,625
07/31/2023	SSB		CHF	13,948,723		USD	15,516,890		100,073
07/10/2023	MSCI		CLP	320,000,000		USD	397,430		4,438
07/17/2023	SSB		CZK	5,770,976		USD	272,479		12,943
07/17/2023	GS		CZK	1,600,000		USD	74,346		2,390
07/17/2023	MSCI		CZK	1,400,000		USD	65,583		2,621
07/17/2023	CITI		CZK	1,800,000		USD	82,813		1,862
07/17/2023	BOA		EUR	2,422,800		USD	2,687,282		90,892

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/31/2023	JPM		EUR	2,200,000		USD	2,433,999		74,551
07/17/2023	MSCI		EUR	479,000		USD	526,791		13,471
07/18/2023	JPM		GBP	240,000		USD	303,658		4,836
07/18/2023	SSB		GBP	140,000		USD	176,749		2,436
08/14/2023	JPM		HUF	10,479,461		USD	30,296		649
08/30/2023	CITI		ILS	267,605		USD	72,377		339
06/07/2023	MSCI		JPY	228,694,620		USD	1,746,014		103,343
06/07/2023	SSB		JPY	29,628,060		USD	225,843		13,030
06/13/2023	SSB		JPY	993,226,844		USD	7,510,297		369,573
07/03/2023	CITI		JPY	2,000,000,000		USD	15,186,180		762,493
06/07/2023	CITI		JPY	36,498,000		USD	275,035		12,877
06/13/2023	JPM		JPY	68,047,674		USD	496,349		7,125
06/20/2023	BCLY		JPY	55,000,000		USD	397,608		1,759
06/13/2023	BCLY		JPY	77,813,053		USD	562,602		3,171
08/30/2023	JPM		NZD	1,050,000		USD	636,300		4,149
08/30/2023	MSCI		NZD	1,120,000		USD	677,510		3,215
06/05/2023	JPM		PEN	280,000		USD	76,263		24
06/27/2023	JPM		PHP	24,500,000		USD	440,172		5,431
08/22/2023	MSCI		PLN	2,500,000		USD	590,885		3,108
06/27/2023	MSCI		RON	1,891,896		USD	420,861		13,850
06/27/2023	GS		RON	350,000		USD	75,700		403
06/13/2023	JPM		SEK	4,540,768		USD	434,180		15,501

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Forward Currency Contracts (continued)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/13/2023	MSCI		SEK	4,781,847		USD	461,860		20,952
07/10/2023	BCLY		SEK	10,100,000		USD	988,258		55,614
07/10/2023	BOA		SEK	1,344,479		USD	131,537		7,387
07/10/2023	JPM		SEK	8,400,000		USD	830,826		55,161
08/22/2023	JPM		SGD	455,848		USD	339,617		1,530
06/06/2023	MSCI		TWD	21,043,349		USD	691,756		6,893
08/30/2023	JPM		TWD	21,043,349		USD	690,965		303
06/02/2023	JPM		USD	2,769,241		BRL	14,292,554		47,970
06/02/2023	MSCI		USD	2,909,094		BRL	14,907,446		29,318
08/02/2023	MSCI		USD	647,405		BRL	3,339,119		3,699
06/30/2023	BOA		USD	308,582		CAD	420,000		1,028
06/30/2023	JPM		USD	1,858,191		CAD	2,530,000		6,839
08/15/2023	BOA		USD	154,643		CHF	140,000		351
07/10/2023	MSCI		USD	703,377		CLP	574,096,500		1,673
07/10/2023	MSCI		USD	86,655		COP	400,000,000		2,394
07/10/2023	JPM		USD	132,183		COP	600,000,000		1,391
07/24/2023	MSCI		USD	2,621,843		GBP	2,107,536		2,505
08/14/2023	MSCI		USD	56,405		HUF	20,000,000		178
08/04/2023	MSCI		USD	204,036		KRW	270,000,000		817
06/02/2023	BCLY		USD	1,397,858		MXN	25,650,000		52,195
06/02/2023	MSCI		USD	1,398,887		MXN	25,650,000		51,166
07/18/2023	MSCI		USD	707,413		MXN	13,018,725		21,595
08/02/2023	MSCI		USD	1,418,459		MXN	25,650,000		13,741
08/02/2023	BCLY		USD	1,428,532		MXN	25,650,000		3,669
06/05/2023	MSCI		USD	150,667		PEN	560,000		1,810
08/31/2023	JPM		USD	75,778		PEN	280,000		19
06/27/2023	JPM		USD	106,465		PHP	6,000,000		2
08/22/2023	GS		USD	117,295		PLN	500,000		261
08/22/2023	JPM		USD	74,036		SGD	100,000		130
07/31/2023	BCLY		USD	1,022,135		ZAR	20,290,856		902
08/30/2023	GS		USD	70,219		ZAR	1,400,000		155
08/30/2023	BOA		ZAR	400,000		USD	20,166		60
08/08/2023	JPM		AUD	530,000		USD	343,770		(1,820	)
06/02/2023	JPM		BRL	7,300,000		USD	1,432,524		(6,381	)
06/02/2023	MSCI		BRL	7,300,000		USD	1,432,524		(6,381	)
06/30/2023	BCLY		CAD	900,000		USD	663,003		(447	)
08/08/2023	SSB		CAD	2,428,934		USD	1,789,587		(2,457	)
06/30/2023	BOA		CAD	750,000		USD	552,237		(638	)
08/08/2023	MSCI		CAD	66,115		USD	48,718		(61	)
07/10/2023	MSCI		COP	384,898,500		USD	81,924		(3,764	)
08/04/2023	MSCI		IDR	1,400,000,000		USD	93,161		(107	)
08/18/2023	MSCI		INR	5,000,000		USD	60,201		(61	)
06/07/2023	BOA		JPY	57,477,420		USD	412,305		(544	)
06/07/2023	MSCI		JPY	32,053,560		USD	229,557		(678	)
08/04/2023	MSCI		KRW	871,169,825		USD	653,793		(7,178	)
06/02/2023	MSCI		MXN	25,650,000		USD	1,436,170		(13,884	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/02/2023	BCLY		MXN	25,650,000		USD	1,446,399		(3,655	)
08/30/2023	MSCI		NZD	960,000		USD	575,314		(2,653	)
06/05/2023	JPM		PEN	280,000		USD	75,604		(634	)
08/31/2023	MSCI		PEN	280,000		USD	75,553		(244	)
08/08/2023	JPM		USD	1,355,453		AUD	1,990,000		(57,861	)
08/02/2023	CITI		USD	58,642		BRL	300,000		(144	)
08/02/2023	MSCI		USD	1,396,611		BRL	6,992,554		(33,115	)
08/02/2023	JPM		USD	1,385,103		BRL	6,992,554		(21,607	)
06/30/2023	BCLY		USD	1,349,942		CAD	1,812,285		(13,986	)
06/30/2023	GS		USD	1,047,500		CAD	1,400,000		(15,468	)
06/30/2023	JPM		USD	1,378,471		CAD	1,840,000		(22,085	)
07/17/2023	BCLY		USD	2,210,784		CAD	2,978,443		(14,350	)
08/14/2023	MSCI		USD	227,630		CAD	306,425		(1,522	)
07/17/2023	BOA		USD	85,612		CAD	115,660		(319	)
08/15/2023	JPM		USD	788,026		CHF	707,000		(5,308	)
07/10/2023	JPM		USD	224,568		COP	1,000,000,000		(1,944	)
07/31/2023	BCLY		USD	4,731,795		EUR	4,260,000		(163,048	)
07/17/2023	MSCI		USD	1,913,913		EUR	1,735,000		(54,603	)
07/31/2023	SSB		USD	15,377,459		EUR	14,280,440		(62,031	)
07/18/2023	SSB		USD	3,819,187		GBP	3,060,000		(9,200	)
07/18/2023	BOA		USD	274,313		GBP	220,000		(392	)
07/18/2023	JPM		USD	689,035		GBP	550,000		(4,233	)
07/24/2023	SSB		USD	284,273		GBP	228,027		(329	)
08/04/2023	MSCI		USD	28,059		IDR	414,143,000		(469	)
08/18/2023	BCLY		USD	121,978		INR	10,073,064		(574	)
06/13/2023	MSCI		USD	365,982		JPY	48,648,100		(16,230	)
06/13/2023	GS		USD	95,185		JPY	13,021,969		(1,565	)
06/13/2023	JPM		USD	186,646		JPY	24,950,689		(7,265	)
06/13/2023	BCLY		USD	229,851		JPY	30,968,107		(7,208	)
06/20/2023	BOA		USD	3,724,303		JPY	503,915,155		(97,499	)
07/17/2023	JPM		USD	580,135		KRW	764,808,741		(492	)
07/17/2023	BCLY		USD	3,425,469		NOK	35,527,768		(217,998	)
07/17/2023	SSB		USD	316,804		NOK	3,300,000		(18,878	)
07/24/2023	SSB		USD	1,934,169		NOK	20,944,958		(42,654	)
07/24/2023	UBSA		USD	326,965		NOK	3,574,439		(4,161	)
07/31/2023	UBSA		USD	271,292		NZD	445,617		(2,983	)
06/27/2023	CITI		USD	81,186		PHP	4,500,000		(1,336	)
06/27/2023	BCLY		USD	80,037		PHP	4,500,000		(187	)
08/22/2023	GS		USD	83,611		PLN	350,000		(1,322	)
08/22/2023	SSB		USD	47,317		PLN	200,000		(294	)
07/10/2023	BOA		USD	318,303		SEK	3,400,000		(4,343	)
08/22/2023	BCLY		USD	438,169		THB	14,947,749		(5,131	)
06/06/2023	JPM		USD	685,116		TWD	21,043,349		(253	)
								$	1,626,506

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
72	CAC40 10 Euro	June 2023		5,480,011		(187,566	)
2	Corn (g)	July 2023		59,400		(3,608	)
35	Cotton (g)	July 2023		1,460,900		11,767
14	DAX Index	June 2023		5,877,100		420
17	E-mini Russell 2000 Index	June 2023		1,489,030		(27,484	)
78	FTSE 100 Index	June 2023		7,229,979		(84,573	)
21	FTSE MIB Index	June 2023		2,941,017		28,712
24	Hang Seng Index	June 2023		2,790,743		(149,689	)
70	Iron Ore (g)	July 2023		688,800		(15,288	)
14	Lean Hogs (g)	July 2023		466,620		(13,168	)
153	Mini MSCI Emerging Markets	June 2023		7,319,520		(21,222	)
145	MSCI Singapore	June 2023		3,047,401		(85,422	)
5	NY Harbor ULSD Futures	June 2023		472,689		(22,856	)
240	OMX Stockholm 30 Index	June 2023		4,967,550		(11,753	)
6	RBOB Gasoline	June 2023		615,838		9,598
54	Soybean (g)	July 2023		3,509,325		(356,291	)
23	Soybean Oil (g)	July 2023		637,560		(112,491	)
5	SPI 200 Futures	June 2023		576,862		(11,235	)
6	U.S. Long Bond (CBT)	September 2023		770,063		8,857
7	UK Gilt Long Bond	September 2023		842,813		5,791
			$	51,243,221	$	(1,037,501	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
6	Australian Government Bond 10 Yr.	June 2023		467,983		(82	)
47	Canadian Government Bond 10 Yr.	September 2023		4,281,761		(8,205	)
12	Cocoa (g)	July 2023		360,840		(14,350	)
19	Coffee (g)	July 2023		1,272,881		72,054
23	Copper (g)	July 2023		2,091,275		237,598
14	Euro Bund	June 2023		2,035,934		(71,316	)
43	FTSE Taiwan Index	June 2023		2,436,851		(31,811	)
26	Gold 100 OZ (g)	August 2023		5,153,460		175,889
6	KOSPI 200 Index	June 2023		382,503		(9,783	)
11	Live Cattle Futures (g)	August 2023		737,770		(30,507	)
40	Natural Gas (g)	June 2023		906,400		37,739
72	S&P 500 E-Mini	June 2023		15,085,800		(614,259	)
16	S&P/TSX 60	June 2023		2,773,569		34,459
61	SGX Nifty 50 Index	June 2023		2,273,160		(19,688	)
9	Silver (g)	July 2023		1,061,415		100,507
44	Sugar (g)	June 2023		1,234,957		(63,735	)
70	TOPIX Index	June 2023		10,643,591		(245,566	)
95	U.S. Treasury Note 10 Yr. (CBT)	September 2023		10,874,531		(43,116	)
96	U.S. Treasury Note 2 Yr. (CBT)	September 2023		19,759,500		35,138
118	U.S. Treasury Note 5 Yr. (CBT)	September 2023		12,871,219		16,895
38	U.S. Treasury Ultra 10 Yr. (CBT)	September 2023		4,577,219		(16,105	)
3	U.S. Ultra Bond (CBT)	September 2023		410,625		(5,214	)
75	Wheat (g)	July 2023		2,228,438		340,926
31	WTI Crude (g)	June 2023		2,110,790		141,586
			$	106,032,472	$	19,054

+ 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
Albertsons Cos., Inc. (d) (e)		21.00	07/21/23		(1,272	)		USD	(2,589,792	)		(25,440	)
Globus Medical, Inc. (e)		62.50	09/15/23		(142	)		USD	(768,646	)		(45,440	)
Globus Medical, Inc. (e)		60.00	09/15/23		(84	)		USD	(454,692	)		(25,200	)
Globus Medical, Inc. (e)		55.00	09/15/23		(80	)		USD	(433,040	)		(45,600	)
Spirit Airlines, Inc. (e)		17.50	09/15/23		(679	)		USD	(1,032,759	)		(17,654	)
Activision Blizzard, Inc. (e)		77.50	01/19/24		(222	)		USD	(1,780,440	)		(217,560	)
Activision Blizzard, Inc. (e)		80.00	01/19/24		(104	)		USD	(834,080	)		(89,440	)
VMware, Inc. (e)		120.00	01/19/24		(68	)		USD	(926,772	)		(180,200	)
		Total Equity Options – Calls										(646,534	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Written Options — continued

Description	Exercise Price		Expiration Date	Number of Contracts			Notional Amount				Value ($)
Index Options – Puts
S&P 500 Index		4,135.00	06/02/23		(8	)		USD	(3,343,864	)		(5,200	)
S&P 500 Index		4,125.00	06/09/23		(8	)		USD	(3,343,864	)		(13,840	)
S&P 500 Index		4,195.00	06/16/23		(8	)		USD	(3,343,864	)		(43,120	)
S&P 500 Index		4,205.00	06/23/23		(8	)		USD	(3,343,864	)		(51,200	)
		Total Index Options – Puts										(113,360)

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.HY.39.V1-5Y		BCLY	98.00%		06/21/23		USD	(4,455,000	)		Fixed Spread	Pay		(6,237	)
CDX.NA.IG.S40		GS	100.00%		07/19/23		USD	(12,890,000	)		Fixed Spread	Pay		(5,634	)
CDX.NA.HY.S40		BCLY	99.50%		06/21/23		USD	(28,610,000	)		Fixed Spread	Pay		(82,218	)
CDX.NA.HY.S40		GS	97.50%		07/19/23		USD	(8,910,000	)		Fixed Spread	Pay		(33,443	)
CDX.NA.IG.S40		GS	105.00%		08/16/23		USD	(22,250,000	)		Fixed Spread	Pay		(16,484	)
					Total Written Options On Credit Default Swaps — Puts									(144,016	)
					TOTAL WRITTEN OPTIONS (Premiums $1,458,898)								$	(903,910	)

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.V3		USD	4,361,000		5.00	%		3.79	%		N/A		12/20/2026		Quarterly		(242,036	)		(160,079	)		81,957
ITRAXX.XO.38.V1		EUR	4,455,000		5.00	%		4.00	%		N/A		12/20/2027		Quarterly		(91,065	)		(177,216	)		(86,151	)
CDX.NA.IGS.40.V1		USD	70,140,000		1.00	%		0.76	%		N/A		06/20/2028		Quarterly		(670,685	)		(771,891	)		(101,206	)
CDX.NA.HYS.39.V2		USD	4,410,450		5.00	%		4.59	%		N/A		12/20/2027		Quarterly		(88,179	)		(65,658	)		22,521
Sell Protection^:
CDX.NA.HYS.40.V1		USD	1,954,000		5.00	%		4.75	%		1,954,000 USD		06/20/2028		Quarterly		(2,378	)		(19,573	)		(17,195	)
																$	(1,094,343	)	$	(1,194,417	)	$	(100,074	)

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%		0.40%		N/A		12/20/2023	Quarterly		(6,361	)		(41,317	)		(34,956	)
CDX.NA.HYS.31	CITI	USD	1,780,000		5.00%		0.40%		N/A		12/20/2023	Quarterly		18,334			(45,092	)		(63,426	)
CMBX.NA.BBB-.9	GS	USD	1,886,000		3.00%		16.13%		N/A		09/17/2058	Monthly		433,780			457,921			24,141
CMBX.NA.BBB-.9	MLCS	USD	2,640,000		3.00%		16.13%		N/A		09/17/2058	Monthly		212,244			640,992			428,748
CMBX.NA.BBB-.13	GS	USD	576,500		3.00%		10.89%		N/A		12/16/2072	Monthly		35,496			186,642			151,146
Sell Protection^:
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,187,000		5.00%		0.15%		1,187,000 USD		12/20/2023	Quarterly		121,668			31,719			(89,949	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	3,560,000		5.00%		0.15%		3,560,000 USD		12/20/2023	Quarterly		238,520			95,130			(143,390	)
CDX.NA.HYS.31.V15-5Y	CITI	USD	1,928,000		5.00%		0.15%		1,928,000 USD		12/20/2023	Quarterly		203,886			51,520			(152,366	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

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) ($)
CDX.NA.HYS.33.V12-5Y	CITI	USD	4,388,727		5.00%		0.25%		4,388,727 USD		12/20/2024		Quarterly		756,836			310,697			(446,139	)
CDX.NA.HYS.37	GS	USD	11,013,750		5.00%		0.49%		11,013,750 USD		12/20/2026		Quarterly		2,060,550			1,590,450			(470,100	)
ITRAXX.XO.38 35	JPM	EUR	8,019,000		5.00%		0.83%		8,019,000 EUR		12/20/2027		Quarterly		1,357,927			1,405,590			47,663
CMBX.NA.A.9	CGMI	USD	1,112,500		2.00%		6.41%		1,112,500 USD		09/17/2058		Monthly		(33,096	)		(101,072	)		(67,976	)
CMBX.NA.A.9	CGMI	USD	1,780,000		2.00%		6.41%		1,780,000 USD		09/17/2058		Monthly		(44,602	)		(161,716	)		(117,114	)
CMBX.NA.A.9	MLCS	USD	4,750,000		2.00%		6.41%		4,750,000 USD		09/17/2058		Monthly		9,294			(431,544	)		(440,838	)
CMBX.NA.AAA.10	GS	USD	4,610,000		0.50%		0.77%		4,610,000 USD		11/17/2059		Monthly		42,163			(37,748	)		(79,911	)
CMBX.NA.AAA.15	GS	USD	1,730,000		0.50%		1.03%		1,730,000 USD		11/18/2064		Monthly		(26,617	)		(60,958	)		(34,341	)
														$	5,380,022		$	3,891,214		$	(1,488,808	)

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

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

⁽¹⁾  As of May 31, 2023, 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) ($)
3.98%	3 Month AUD BBSW	AUD	15,874,000		06/21/2025	Quarterly		(14,884	)		(21,603	)		(6,719	)
3.91%	3 Month AUD BBSW	AUD	4,000,000		06/21/2025	Quarterly		—			(1,996	)		(1,996	)
3.65%	3 Month AUD BBSW	AUD	4,000,000		06/21/2025	Quarterly		—			11,075			11,075
3 Month AUD BBSW	3.65%	AUD	5,000,000		06/21/2025	Quarterly		—			(13,563	)		(13,563	)
CHF -  SARON - OIS - COMPOUND	1.75%	CHF	3,000,000		06/21/2025	Annually		—			(858	)		(858	)
CHF - SARON - OIS - COMPOUND	1.88%	CHF	3,000,000		06/21/2025	Annually		—			7,687			7,687
1.85%	CHF - SARON - OIS - COMPOUND	CHF	2,000,000		06/21/2025	Annually		—			(3,712	)		(3,712	)
EUR - EuroSTR - COMPOUND	3.36%	EUR	3,000,000		06/21/2025	Annually		—			9,951			9,951
EUR - EuroSTR - COMPOUND	3.61%	EUR	1,000,000		06/21/2025	Annually		—			8,619			8,619
EUR - EuroSTR - COMPOUND	3.67%	EUR	3,984,000		06/21/2025	Annually		(2,564	)		38,498			41,062
3.01%	EUR - EuroSTR - COMPOUND	EUR	3,500,000		06/21/2025	Annually		—			13,388			13,388
3.22%	EUR - EuroSTR - COMPOUND	EUR	3,000,000		06/21/2025	Annually		—			(1,237	)		(1,237	)
3.36%	EUR - EuroSTR - COMPOUND	EUR	3,000,000		06/21/2025	Annually		—			(10,168	)		(10,168	)
3.10%	EUR - EuroSTR - COMPOUND	EUR	3,000,000		06/21/2025	Annually		1,576			6,322			4,746
3.13%	EUR - EuroSTR - COMPOUND	EUR	2,500,000		06/21/2025	Annually		—			3,568			3,568
GBP - SONIA - COMPOUND	4.08%	GBP	1,500,000		06/21/2025	Annually		—			(33,616	)		(33,616	)
GBP - SONIA - COMPOUND	4.28%	GBP	3,000,000		06/21/2025	Annually		—			(53,499	)		(53,499	)
GBP - SONIA - COMPOUND	4.39%	GBP	3,000,000		06/21/2025	Annually		—			(45,836	)		(45,836	)
4.18%	GBP - SONIA - COMPOUND	GBP	2,500,000		06/21/2025	Annually		—			50,333			50,333
5.22%	GBP - SONIA - COMPOUND	GBP	1,500,000		06/21/2025	Annually		—			(5,760	)		(5,760	)
4.80%	3 Month NZD Bank Bill Rate	NZD	4,500,000		06/21/2025	Quarterly		—			18,439			18,439
5.00%	3 Month NZD Bank Bill Rate	NZD	6,000,000		06/21/2025	Quarterly		—			10,740			10,740
3.46%	3 Month SEK STIBOR	SEK	35,000,000		06/21/2025	Quarterly		—			8,817			8,817
3.44%	3 Month SEK STIBOR	SEK	15,000,000		06/21/2025	Quarterly		1,055			4,294			3,239
3 Month SEK STIBOR	3.37%	SEK	20,000,000		06/21/2025	Quarterly		—			(8,125	)		(8,125	)
3 Month SEK STIBOR	3.47%	SEK	20,000,000		06/21/2025	Quarterly		—			(4,670	)		(4,670	)
3 Month SEK STIBOR	3.48%	SEK	50,000,000		06/21/2025	Quarterly		—			(10,885	)		(10,885	)
3 Month SEK STIBOR	3.86%	SEK	105,704,000		06/21/2025	Quarterly		(5,082	)		47,535			52,617

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (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) ($)
3.73%	USD - SOFR - COMPOUND	USD	3,500,000		06/21/2025	Annually		—			33,353			33,353
3.86%	USD -SOFR - COMPOUND	USD	1,500,000		06/21/2025	Annually		—			10,554			10,554
4.30%	USD - SOFR - COMPOUND	USD	2,500,000		06/21/2025	Annually		—			(3,309	)		(3,309	)
CAD - CORRA - OIS - COMPOUND	4.18%	CAD	8,445,000		09/20/2025	Annually		(7,160	)		4,951			12,111
6 Month AUD BBSW	3.77%	AUD	13,685,000		06/21/2033	Semi-Annually		15,950			(237,412	)		(253,362	)
6 Month AUD BBSW	3.94%	AUD	900,000		06/21/2033	Semi-Annually		—			(7,338	)		(7,338	)
6 Month AUD BBSW	4.07%	AUD	1,000,000		06/21/2033	Semi-Annually		—			(988	)		(988	)
6 Month AUD BBSW	4.09%	AUD	1,000,000		06/21/2033	Semi-Annually		—			(375	)		(375	)
6 Month AUD BBSW	4.16%	AUD	1,000,000		06/21/2033	Semi-Annually		—			3,621			3,621
6 Month AUD BBSW	4.29%	AUD	3,739,000		06/21/2033	Semi-Annually		13,696			38,955			25,259
3.91%	6 Month AUD BBSW	AUD	1,200,000		06/21/2033	Semi-Annually		—			11,766			11,766
4.02%	6 Month AUD BBSW	AUD	1,200,000		06/21/2033	Semi-Annually		—			4,414			4,414
CHF - SARON - OIS - COMPOUND	1.94%	CHF	700,000		06/21/2033	Annually		—			10,558			10,558
CHF - SARON - OIS - COMPOUND	1.95%	CHF	700,000		06/21/2033	Annually		—			11,089			11,089
CHF - SARON - OIS - COMPOUND	1.95%	CHF	400,000		06/21/2033	Annually		—			6,134			6,134
CHF - SARON - OIS - COMPOUND	1.98%	CHF	4,866,000		06/21/2033	Annually		89			91,115			91,026
CHF - SARON - OIS - COMPOUND	2.01%	CHF	700,000		06/21/2033	Annually		—			14,878			14,878
CHF - SARON - OIS - COMPOUND	2.03%	CHF	1,000,000		06/21/2033	Annually		—			23,783			23,783
1.94%	CHF - SARON - OIS - COMPOUND	CHF	1,000,000		06/21/2033	Annually		—			(14,172	)		(14,172	)
1.95%	CHF - SARON - OIS - COMPOUND	CHF	700,000		06/21/2033	Annually		—			(10,629	)		(10,629	)
1.84%	CHF - SARON - OIS - COMPOUND	CHF	700,000		06/21/2033	Annually		—			(3,122	)		(3,122	)
1.95%	CHF - SARON - OIS - COMPOUND	CHF	500,000		06/21/2033	Annually		—			(7,946	)		(7,946	)
1.82%	CHF - SARON - OIS - COMPOUND	CHF	900,000		06/21/2033	Annually		—			(2,011	)		(2,011	)
EUR - EuroSTR - COMPOUND	2.71%	EUR	700,000		06/21/2033	Annually		—			(990	)		(990	)
EUR - EuroSTR - COMPOUND	2.74%	EUR	700,000		06/21/2033	Annually		(1,100	)		1,256			2,356
EUR - EuroSTR - COMPOUND	2.75%	EUR	500,000		06/21/2033	Annually		—			1,205			1,205
EUR - EuroSTR - COMPOUND	2.80%	EUR	700,000		06/21/2033	Annually		—			5,018			5,018
EUR - EuroSTR - COMPOUND	2.91%	EUR	700,000		06/21/2033	Annually		—			12,298			12,298
3.04%	EUR - EuroSTR - COMPOUND	EUR	200,000		06/21/2033	Annually		—			(5,846	)		(5,846	)
2.97%	EUR - EuroSTR - COMPOUND	EUR	884,000		06/21/2033	Annually		(898	)		(20,190	)		(19,292	)
2.74%	EUR - EuroSTR - COMPOUND	EUR	787,000		06/21/2033	Annually		205			(759	)		(964	)
2.75%	EUR - EuroSTR - COMPOUND	EUR	1,000,000		06/21/2033	Annually		1,282			(2,317	)		(3,599	)
2.91%	EUR - EuroSTR - COMPOUND	EUR	1,000,000		06/21/2033	Annually		—			(17,242	)		(17,242	)
2.89%	EUR - EuroSTR - COMPOUND	EUR	600,000		06/21/2033	Annually		—			(9,338	)		(9,338	)
2.74%	EUR - EuroSTR - COMPOUND	EUR	1,000,000		06/21/2033	Annually		—			(918	)		(918	)
GBP - SONIA - COMPOUND	3.44%	GBP	600,000		06/21/2033	Annually		—			(39,123	)		(39,123	)
GBP - SONIA - COMPOUND	3.77%	GBP	2,000,000		06/21/2033	Annually		—			(65,053	)		(65,053	)
GBP - SONIA - COMPOUND	4.11%	GBP	1,000,000		06/21/2033	Annually		—			1,293			1,293
GBP - SONIA - COMPOUND	4.27%	GBP	400,000		06/21/2033	Annually		—			6,666			6,666
3.34%	GBP - SONIA - COMPOUND	GBP	400,000		06/21/2033	Annually		—			30,049			30,049
3.58%	GBP - SONIA - COMPOUND	GBP	600,000		06/21/2033	Annually		—			31,149			31,149
3.67%	GBP - SONIA - COMPOUND	GBP	800,000		06/21/2033	Annually		—			34,193			34,193
3.66%	GBP - SONIA - COMPOUND	GBP	700,000		06/21/2033	Annually		—			30,614			30,614
4.64%	3 Month NZD Bank Bill Rate	NZD	2,327,000		06/21/2033	Quarterly		(5,115	)		(36,099	)		(30,984	)
4.07%	3 Month NZD Bank Bill Rate	NZD	1,150,000		06/21/2033	Quarterly		1,005			14,080			13,075
4.07%	3 Month NZD Bank Bill Rate	NZD	850,000		06/21/2033	Quarterly		—			10,613			10,613
4.35%	3 Month NZD Bank Bill Rate	NZD	1,580,000		06/21/2033	Quarterly		—			(1,976	)		(1,976	)
4.38%	3 Month NZD Bank Bill Rate	NZD	1,820,000		06/21/2033	Quarterly		—			(5,153	)		(5,153	)
3 Month NZD Bank Bill Rate	4.08%	NZD	1,100,000		06/21/2033	Quarterly		(378	)		(12,901	)		(12,523	)
3 Month NZD Bank Bill Rate	4.24%	NZD	1,400,000		06/21/2033	Quarterly		—			(5,908	)		(5,908	)
3 Month NZD Bank Bill Rate	4.28%	NZD	1,500,000		06/21/2033	Quarterly		—			(3,412	)		(3,412	)
3 Month SEK STIBOR	2.82%	SEK	6,000,000		06/21/2033	Quarterly		—			(4,522	)		(4,522	)
3 Month SEK STIBOR	2.84%	SEK	8,000,000		06/21/2033	Quarterly		—			(4,576	)		(4,576	)
3 Month SEK STIBOR	2.84%	SEK	4,000,000		06/21/2033	Quarterly		(412	)		(2,440	)		(2,028	)
3.14%	3 Month SEK STIBOR	SEK	62,199,000		06/21/2033	Quarterly		(1,169	)		(111,835	)		(110,666	)
2.83%	3 Month SEK STIBOR	SEK	6,000,000		06/21/2033	Quarterly		—			4,072			4,072
2.81%	3 Month SEK STIBOR	SEK	8,000,000		06/21/2033	Quarterly		—			6,345			6,345
2.80%	3 Month SEK STIBOR	SEK	9,000,000		06/21/2033	Quarterly		—			7,814			7,814
2.84%	3 Month SEK STIBOR	SEK	5,000,000		06/21/2033	Quarterly		—			2,840			2,840
2.83%	3 Month SEK STIBOR	SEK	3,000,000		06/21/2033	Quarterly		—			1,965			1,965
2.88%	3 Month SEK STIBOR	SEK	5,000,000		06/21/2033	Quarterly		—			1,319			1,319
2.83%	3 Month SEK STIBOR	SEK	10,000,000		06/21/2033	Quarterly		1,733			6,510			4,777
2.80%	3 Month SEK STIBOR	SEK	10,000,000		06/21/2033	Quarterly		—			8,880			8,880
2.86%	3 Month SEK STIBOR	SEK	11,000,000		06/21/2033	Quarterly		—			4,988			4,988

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (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) ($)
2.98%	3 Month SEK STIBOR	SEK	8,000,000		06/21/2033	Quarterly		—			(4,272	)		(4,272	)
USD - SOFR - COMPOUND	3.13%	USD	800,000		06/21/2033	Annually		—			(15,518	)		(15,518	)
USD - SOFR - COMPOUND	3.20%	USD	400,000		06/21/2033	Annually		—			(5,307	)		(5,307	)
USD - SOFR - COMPOUND	3.21%	USD	1,500,000		06/21/2033	Annually		—			(18,705	)		(18,705	)
USD - SOFR - COMPOUND	3.47%	USD	500,000		06/21/2033	Annually		—			4,429			4,429
3.12%	USD - SOFR - COMPOUND	USD	3,636,000		06/21/2033	Annually		6,757			72,606			65,849
3.48%	USD - SOFR - COMPOUND	USD	1,000,000		06/21/2033	Annually		—			(9,741	)		(9,741	)
3.40%	USD - SOFR - COMPOUND	USD	1,100,000		06/21/2033	Annually		—			(3,279	)		(3,279	)
3.38%	CAD -CORRA - OIS - COMPOUND	CAD	1,956,000		09/20/2033	Annually		(1,868	)		(13,460	)		(11,592	)
							$	2,718		$	(119,071	)	$	(121,789	)

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 iBoxx USD Liquid High Yield Index	BCLY	USD	7,600,000		06/20/2023	Quarterly		(76	)		55,500			55,576
Total Return on iBoxx USD Liquid Investment Grade Index	SOFR	MSCI	USD	3,560,000		06/20/2023	Quarterly		34			(39,913	)		(39,947	)
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	510,418		08/09/2023	Monthly		—			(27,913	)		(27,913	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.01%	UBSA	USD	286,815		08/09/2023	Monthly		—			9,570			9,570
1 Month Federal Funds Rate minus 0.02%	Total Return on MSCI World Daily Total Return Net Value Index	JPM	USD	1,308,826		12/15/2023	Monthly		—			(62,357	)		(62,357	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.07%	JPM	USD	1,599,760		12/15/2023	Monthly		—			55,111			55,111
1 Month Federal Funds Rate plus 0.03%	Total Return on MSCI World Daily Total Return Net Value Index	GS	USD	3,392,150		04/30/2024	Monthly		—			(185,508	)		(185,508	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	GS	USD	3,441,780		04/30/2024	Monthly		—			114,843			114,843
1 Month Federal Funds Rate minus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	2,889,268		05/13/2024	Monthly		—			(124,922	)		(124,922	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA	USD	2,967,468		05/13/2024	Monthly		—			93,804			93,804
1 Month Federal Funds Rate minus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	1,054,233		05/22/2024	Monthly		147			(47,508	)		(47,655	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA	USD	908,723		05/22/2024	Monthly		(129	)		37,470			37,599
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	GS	USD	1,438,220		06/24/2024	Monthly		—			27,588			27,588
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	2,351,019		06/18/2024	Monthly		—			61,037			61,037
								$	(24	)	$	(33,198	)	$	(33,174	)

As of May 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any. (b) 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) All or a portion of this investment is held in connection with one or more holdings within the Fund.

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

(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) The rate disclosed is the 7 day net yield as of May 31, 2023.

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

(j) The following table represents the individual long and/or short positions within the custom equity basket swap as of May 31, 2023:

Shares	Description	% of Equity Basket			Value ($)
(164,000)	Air China Ltd – Class H		5.4	%		(124,655	)
(46,000)	Alibaba Health Information Technology Ltd		1.2	%		(27,304	)
(132,000)	China Molybdenum Co Ltd – Class H		3.0	%		(69,027	)
(44,000)	China Southern Airlines Co Ltd – Class H		1.1	%		(25,340	)
(74,000)	Genscript Biotech Corp		7.2	%		(164,077	)
(190,300)	Gulf Energy Development Pcl NVDR		11.6	%		(266,239	)
(376)	Hanmi Pharm Co Ltd		3.6	%		(82,736	)
(3,653)	Hotel Shilla Co Ltd		9.3	%		(212,469	)
(2,341)	Kakao Corp		4.3	%		(99,053	)
(139,000)	Kingdee International Software Group Co Ltd		8.1	%		(184,785	)
(7,405)	Korea Aerospace Industries Ltd		12.5	%		(287,178	)
(336)	POSCO Chemical Co Ltd		3.9	%		(88,495	)
(571)	Samsung Biologics Co Ltd		14.7	%		(336,951	)
(40,355)	Samsung Heavy Industries Co Ltd		8.1	%		(186,060	)
(350)	SK IE Technology Co Ltd		1.0	%		(23,339	)
(426)	Yuhan Corp		0.8	%		(19,044	)
(70,000)	Zijin Mining Group Co Ltd – Class H		4.2	%		(95,211	)
	TOTAL COMMON STOCKS				$	(2,291,963	)

The rates shown on variable rate notes are the current interest rates at May 31, 2023, 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.

CORRA - Canadian Overnight Repo Rate Average

CVR - Contingent Value Right

EuroSTR - Euro Short-Term Rate

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

RBOB - Reformulated Blendstock for Oxygenate Blending.

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

TBA - To Be Announced - Delayed Delivery Security

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.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MLCS - Merrill Lynch Capital Services, Inc.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippines Peso

PLN - Polish Zloty

RON - Romanian New Leu

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TWD - Taiwan New Dollar

USD - United States Dollar

ZAR - South African Rand

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares	Description	Value ($)
	MUTUAL FUNDS — 100.0%
	Affiliated Issuers — 100.0%
9,822,110	GMO Emerging Country Debt Fund, Class VI		172,672,697
2,603,967	GMO High Yield Fund, Class VI		44,189,312
298,710,042	GMO Implementation Fund		3,593,481,805
8,440,290	GMO Opportunistic Income Fund, Class VI		207,462,322
3,119,256	GMO SGM Major Markets Fund, Class VI		85,717,164
	TOTAL MUTUAL FUNDS (COST $4,430,798,263)		4,103,523,300
	SHORT-TERM INVESTMENTS — 0.1%
	Money Market Funds — 0.1%
3,393,990	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (a)		3,393,990
	TOTAL SHORT-TERM INVESTMENTS (COST $3,393,990)		3,393,990
	TOTAL INVESTMENTS — 100.1% (Cost $4,434,192,253)		4,106,917,290
	Other Assets and Liabilities (net) — (0.1%)		(2,475,836	)
	TOTAL NET ASSETS — 100.0%		$4,104,441,454

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2023.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 73.9%
		Australia — 1.0%
	42,242	Accent Group Ltd		48,751
	160,173	Aurizon Holdings Ltd (a)		370,748
	33,572	Austal Ltd		43,039
	146,781	BlueScope Steel Ltd		1,770,199
	145,152	Brambles Ltd (a)		1,295,977
	3,481	Brickworks Ltd		58,007
	94,014	Fortescue Metals Group Ltd (a)		1,177,193
	253,214	GPT Group (The) (REIT) (a)		689,752
	86,495	GrainCorp Ltd – Class A		429,044
	95,164	Grange Resources Ltd		32,503
	92,272	Helia Group Ltd		197,956
	43,009	HomeCo Daily Needs (REIT) (a)		33,391
	10,374	JB Hi-Fi Ltd		287,224
	8,334	McMillan Shakespeare Ltd		83,567
	20,924	Metcash Ltd		48,256
	558,020	Mirvac Group (REIT) (a)		834,565
	49,803	Nufarm Ltd		176,384
	59,370	Perenti Ltd *		45,409
	24,559	Rio Tinto Ltd (a)		1,711,370
	304,181	Scentre Group (REIT) (a)		536,024
	24,820	Southern Cross Media Group Ltd		11,783
	236,368	Stockland (REIT) (a)		654,639
	26,360	Super Retail Group Ltd		195,457
		Total Australia		10,731,238
		Austria — 0.1%
	1,857	Erste Group Bank AG		60,325
	13,555	OMV AG (b)		605,482
	445	Raiffeisen Bank International AG *		6,543
	737	Strabag SE		30,116
	1,179	voestalpine AG		36,609
		Total Austria		739,075
		Belgium — 0.7%
	47,984	Ageas SA/NV		1,919,657
	8,748	Bekaert SA		374,850
	1,235	Cie d’Entreprises CFE		13,310
	859	Groupe Bruxelles Lambert NV (a)		66,285
	5,587	KBC Group NV		367,061
	452	Melexis NV		41,294
	963	Orange Belgium SA *		14,003
	69,968	Proximus SADP		543,076
	2,815	Sofina SA		582,566
	12,707	Solvay SA (a)		1,329,469
	8,208	Telenet Group Holding NV		175,205
	24,014	UCB SA		2,097,183
		Total Belgium		7,523,959
		Brazil — 0.7%
	1,872	Alupar Investimento SA		10,668

Shares		Description	Value ($)
		Brazil — continued
	68,083	Banco do Brasil SA		598,794
	57,087	BB Seguridade Participacoes SA		348,038
	6,700	Cia Brasileira de Aluminio		6,867
	7,700	Cia Energetica de Minas Gerais		25,999
	22,217	CPFL Energia SA		132,602
	9,800	EDP – Energias do Brasil SA		44,429
	70,027	Enauta Participacoes SA		176,265
	7,100	Fleury SA		21,818
	38,702	Itau Unibanco Holding SA		170,651
	127,140	JBS SA		421,018
	1,500	Odontoprev SA		3,143
	165,166	Petroleo Brasileiro SA Sponsored ADR		1,906,016
	47,300	Ser Educacional SA *		35,802
	13,100	Telefonica Brasil SA ADR (a)		103,752
	697,733	TIM SA		1,919,924
	10,100	TIM SA ADR		138,269
	19,738	Transmissora Alianca de Energia Eletrica SA		143,640
	33,800	Ultrapar Participacoes SA		112,793
	7,852	Vale SA		98,759
	52,915	Vale SA Sponsored ADR – Class B (a)		670,962
		Total Brazil		7,090,209
		Canada — 1.8%
	5,600	Algoma Steel Group Inc		38,323
	26,500	Alimentation Couche-Tard Inc (a)		1,283,127
	7,426	Brookfield Asset Management Ltd – Class A (a)		226,642
	30,833	Brookfield Corp – Class A (a)		926,223
	17,600	Calibre Mining Corp *		20,096
	6,700	Canaccord Genuity Group Inc		47,134
	1,700	Canadian Solar Inc *		71,060
	12,500	Canadian Tire Corp Ltd – Class A		1,501,473
	17,800	Canfor Corp *		251,626
	42,900	Celestica Inc * (b) (c)		547,034
	14,281	Celestica Inc * (c)		181,797
	4,100	China Gold International Resources Corp Ltd		16,326
	3,003	Cogeco Inc (b)		118,704
	2,900	DREAM Unlimited Corp – Class A (b)		44,349
	19,800	Dundee Precious Metals Inc		136,376
	600	EQB Inc (b)		29,167
	16,300	Finning International Inc		440,790
	17,800	Hydro One Ltd (a)		507,316
	3,700	iA Financial Corp Inc		235,819
	11,522	Imperial Oil Ltd		523,445
	20,100	Interfor Corp *		293,912
	6,585	International Petroleum Corp * (b)		54,551
	16,100	Magna International Inc		778,967
	54,557	Manulife Financial Corp (a) (c)		1,010,396
	43,300	Manulife Financial Corp (a) (c)		802,206
	10,300	Martinrea International Inc		86,118

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	5,200	Mullen Group Ltd (a)		59,795
	2,400	National Bank of Canada (b)		172,058
	18,789	Nutrien Ltd (a)		990,180
	55,100	OceanaGold Corp		119,739
	16,800	Onex Corp		760,734
	1,400	Parex Resources Inc (b)		28,186
	44,200	Quebecor Inc – Class B		1,053,962
	7,900	Resolute Forest Products Inc * (d)		15,800
	4,600	Rogers Sugar Inc		19,789
	11,900	Russel Metals Inc		312,249
	5,900	Sleep Country Canada Holdings Inc (b)		114,610
	2,600	Spin Master Corp		64,928
	4,500	Stella-Jones Inc		199,094
	3,449	Sun Life Financial Inc (a)		166,897
	52,000	Teck Resources Ltd – Class B* (c)		2,029,820
	27,698	Teck Resources Ltd – Class B (a) (c)		1,082,161
	5,400	Uni-Select Inc *		185,887
	1,200	Wajax Corp		20,155
	18,600	West Fraser Timber Co Ltd (c)		1,255,209
	4,227	West Fraser Timber Co Ltd (c)		284,984
		Total Canada		19,109,214
		Chile — 0.1%
	260,591	Cencosud SA		492,225
	37,376	Cencosud Shopping SA		58,371
	1,300	Cia Cervecerias Unidas SA Sponsored ADR		19,370
	1,696,576	Colbun SA		247,175
	46,040	Empresas CMPC SA		78,722
	199,535	Falabella SA		439,713
	28,643	Inversiones La Construccion SA		189,679
		Total Chile		1,525,255
		China — 3.4%
	116,000	361 Degrees International Ltd *		52,483
	449,500	3SBio Inc		455,321
	6,081,000	Agricultural Bank of China Ltd – Class H		2,291,581
	103,169	Alibaba Group Holding Ltd *		1,026,776
	449,000	BAIC Motor Corp Ltd – Class H		115,852
	2,698,000	Bank of China Ltd – Class H		1,056,152
	735,091	Bank of Communications Co Ltd – Class H		473,950
	87,000	Beijing Enterprises Holdings Ltd		336,189
	214,000	China BlueChemical Ltd – Class H		47,017
	2,561,000	China Cinda Asset Management Co Ltd – Class H		284,445
	582,000	China Communications Services Corp Ltd – Class H		276,788
	116,500	China Conch Venture Holdings Ltd		146,343
	4,018,000	China Construction Bank Corp – Class H		2,570,237
	683,000	China Dongxiang Group Co Ltd		25,298
	1,066,000	China Energy Engineering Corp Ltd – Class H		140,111
	601,000	China Everbright Environment Group Ltd		234,921

Shares		Description	Value ($)
		China — continued
	1,058,000	China Greenfresh Group Co Ltd * (e)		—
	700,000	China Hongqiao Group Ltd		496,779
	218,000	China Lesso Group Holdings Ltd		144,143
	52,000	China Lilang Ltd		27,230
	233,645	China Medical System Holdings Ltd		328,944
	236,000	China Overseas Grand Oceans Group Ltd		105,782
	625,000	China Overseas Land & Investment Ltd		1,268,341
	4,432,000	China Petroleum & Chemical Corp – Class H		2,790,885
	2,114,042	China Railway Group Ltd – Class H		1,393,016
	693,000	China Reinsurance Group Corp – Class H		47,757
	745,500	China Resources Pharmaceutical Group Ltd		715,719
	56,000	China Shineway Pharmaceutical Group Ltd		61,551
	336,000	China South City Holdings Ltd * (b)		19,330
	462,000	China State Construction International Holdings Ltd		522,624
	432,000	China Traditional Chinese Medicine Holdings Co Ltd		207,762
	1,776,400	China Zhongwang Holdings Ltd * (e)		—
	1,287,000	CITIC Ltd		1,485,887
	278,000	CRRC Corp Ltd – Class H		172,148
	1,490,000	CSPC Pharmaceutical Group Ltd		1,298,139
	846,000	Dongfeng Motor Group Co Ltd – Class H		366,363
	35,000	Fosun International Ltd		23,084
	219,000	Fufeng Group Ltd		119,519
	58,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		194,476
	372,000	Haier Smart Home Co Ltd – Class H		1,064,002
	2,000	Hengan International Group Co Ltd		8,503
	49,000	Hisense Home Appliances Group Co Ltd – Class H		96,930
	119,750	Kingboard Holdings Ltd		322,657
	93,800	Legend Holdings Corp – Class H		90,527
	2,260,000	Lenovo Group Ltd		2,124,534
	30,281	Livzon Pharmaceutical Group Inc – Class H		107,691
	249,000	Lonking Holdings Ltd		36,596
	647,000	Metallurgical Corp of China Ltd – Class H		158,629
	23,500	NetDragon Websoft Holdings Ltd		42,426
	182,000	Nexteer Automotive Group Ltd		81,359
	2,846,000	PetroChina Co Ltd – Class H		1,839,624
	2,122,000	PICC Property & Casualty Co Ltd – Class H		2,531,357
	4,500	Ping An Insurance Group Co of China Ltd – Class H		28,558
	245,000	Poly Property Group Co Ltd		54,489
	12,000	Road King Infrastructure Ltd *		4,266
	248,300	Shanghai Pharmaceuticals Holding Co Ltd – Class H		494,853
	1,294,500	Shimao Group Holdings Ltd * (d)		730,697
	242,000	Shougang Fushan Resources Group Ltd		74,197
	616,000	Sino-Ocean Group Holding Ltd *		37,399
	246,000	Sinopec Engineering Group Co Ltd – Class H		104,243
	377,600	Sinopharm Group Co Ltd – Class H		1,237,797

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		China — continued
	300,000	Sinotruk Hong Kong Ltd		424,998
	418,000	Skyworth Group Ltd		208,928
	58,000	SSY Group Ltd		35,711
	151,000	TCL Electronics Holdings Ltd *		61,925
	43,520	Tencent Holdings Ltd		1,722,274
	100,000	Tianjin Port Development Holdings Ltd		7,279
	232,000	Tianneng Power International Ltd (b)		266,720
	148,000	Yadea Group Holdings Ltd		294,960
		Total China		35,617,072
		Czech Republic — 0.0%
	55,773	Moneta Money Bank AS		199,127
	212	Philip Morris CR AS		161,205
		Total Czech Republic		360,332
		Denmark — 0.7%
	397	AP Moller – Maersk A/S – Class A (a)		667,857
	903	AP Moller – Maersk A/S – Class B (a)		1,519,737
	84,686	Danske Bank A/S *		1,727,106
	1,416	Demant A/S * (a)		53,908
	261	Genmab A/S *		102,744
	4,449	GN Store Nord A/S *		111,011
	44,805	H Lundbeck A/S		235,838
	5,360	ISS A/S		101,938
	857	Matas A/S		10,054
	25,501	Pandora A/S		2,035,402
	1,286	Rockwool A/S – B Shares		307,229
	2,359	Scandinavian Tobacco Group A/S – Class A		38,749
		Total Denmark		6,911,573
		Egypt — 0.1%
	19,325	Abou Kir Fertilizers & Chemical Industries		29,626
	135,307	Commercial International Bank Egypt SAE		228,765
	249,818	Eastern Co SAE		154,114
	24,934	Misr Fertilizers Production Co SAE		130,778
		Total Egypt		543,283
		Finland — 0.6%
	8,854	Kemira Oyj		140,728
	2,668	Metsa Board Oyj – Class B		21,467
	21,422	Neste Oyj		809,352
	644,682	Nokia Oyj		2,608,013
	135,283	Outokumpu Oyj		740,542
	48,276	Stora Enso Oyj – R Shares (a)		612,444
	62,555	UPM-Kymmene Oyj (a)		1,880,519
		Total Finland		6,813,065
		France — 3.7%
	13,932	ALD SA (a)		150,356
	9,987	APERAM SA		328,234
	61,359	ArcelorMittal SA		1,530,521

Shares		Description	Value ($)
		France — continued
	10,424	Arkema SA		910,531
	60,398	AXA SA (a)		1,712,324
	470	Axway Software SA		10,614
	39,759	BNP Paribas SA		2,311,519
	599	Boiron SA		24,279
	6,468	Bouygues SA		207,522
	48,830	Cie de Saint-Gobain (a)		2,711,748
	31,008	Cie Generale des Etablissements Michelin SCA		884,823
	37,714	Coface SA		523,175
	7,620	Credit Agricole SA		87,595
	986	Eiffage SA		105,298
	6,556	Elis SA		113,758
	337	HEXAOM		6,150
	12,662	Ipsen SA		1,468,075
	11,117	IPSOS		544,791
	1,640	Kering SA (a)		876,845
	1,915	LVMH Moet Hennessy Louis Vuitton SE (a)		1,674,338
	1,757	Mersen SA		66,965
	3,856	Metropole Television SA		53,326
	86,811	Orange SA (a)		1,036,809
	26,865	Publicis Groupe SA (a)		1,995,206
	8,085	Quadient SA		148,499
	9,918	Renault SA		333,122
	21,683	Rexel SA *		445,125
	1,304	Rothschild & Co		64,454
	14,606	Safran SA (a)		2,121,444
	46,677	Sanofi (a) (b)		4,762,313
	3,971	SMCP SA *		31,150
	6,501	Societe BIC SA		388,180
	122,747	Societe Generale SA (b)		2,857,607
	31,868	STMicroelectronics NV		1,384,346
	26,852	Technip Energies NV		532,978
	45,287	Television Francaise 1 (b)		314,879
	102,419	TotalEnergies SE (a)		5,779,585
	6,707	Valeo		129,069
	69,446	Vivendi SE		616,961
		Total France		39,244,514
		Germany — 1.6%
	4,034	1&1 AG		43,165
	4,370	Allianz SE (Registered) (a)		935,829
	150	Amadeus Fire AG		19,287
	1,599	Aurubis AG		122,674
	18,274	BASF SE (a)		869,078
	36,357	Bayer AG (Registered)		2,029,096
	16,541	Bayerische Motoren Werke AG (a)		1,803,883
	9,737	Beiersdorf AG (a)		1,242,535
	2,066	Continental AG		137,901
	1,418	Deutsche Boerse AG		245,262
	17,329	Deutsche Post AG (Registered) (a)		781,431
	5,234	Deutz AG		31,172

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	260	Draegerwerk AG & Co KGaA		10,776
	1,126	Elmos Semiconductor SE		79,079
	41,361	Fresenius SE & Co KGaA (a)		1,134,206
	2,022	Hamburger Hafen und Logistik AG (a)		26,282
	4,001	Heidelberg Materials AG (a)		287,016
	5,848	Henkel AG & Co KGaA (a)		420,152
	1,049	Hornbach Holding AG & Co KGaA		74,398
	2,270	HUGO BOSS AG		154,618
	33,381	Kloeckner & Co SE		317,652
	2,164	Krones AG		242,516
	51,882	Mercedes-Benz Group AG (a)		3,878,363
	7,312	Merck KGaA		1,277,128
	67,705	ProSiebenSat.1 Media SE *		550,411
	1,225	RTL Group SA		47,805
	5,500	Salzgitter AG		179,167
	720	Siltronic AG		62,034
	5,002	Suedzucker AG		86,089
	1,585	Talanx AG		88,432
	1,357	Volkswagen AG		205,359
		Total Germany		17,382,796
		Greece — 0.1%
	12,055	FF Group * (e)		—
	11,491	Jumbo SA		266,676
	15,172	Mytilineos SA		477,889
		Total Greece		744,565
		Hong Kong — 0.5%
	98,200	ASMPT Ltd		835,751
	26,600	Bank of East Asia Ltd (The)		33,309
	52,500	BOC Hong Kong Holdings Ltd		155,802
	6,400	Champion (REIT) (a)		2,320
	29,000	Chow Sang Sang Holdings International Ltd		33,935
	272,000	CITIC Telecom International Holdings Ltd		101,810
	6,500	CK Asset Holdings Ltd (a)		35,036
	17,000	CK Hutchison Holdings Ltd		102,488
	22,400	Dah Sing Financial Holdings Ltd		56,036
	108,000	E-Commodities Holdings Ltd		15,311
	272,000	First Pacific Co Ltd		101,793
	116,573	Galaxy Entertainment Group Ltd *		723,282
	104,000	Giordano International Ltd		26,714
	34,500	Health & Happiness H&H International Holdings Ltd		46,778
	212,000	HKT Trust & HKT Ltd – Class SS		270,906
	267,000	IGG Inc *		139,495
	70,500	Johnson Electric Holdings Ltd		86,380
	66,000	K Wah International Holdings Ltd		21,743
	14,000	Kerry Logistics Network Ltd		16,274
	68,500	Kerry Properties Ltd		149,581
	31,800	Luk Fook Holdings International Ltd		86,852
	64,000	NWS Holdings Ltd		52,764
	160,000	Pacific Textiles Holdings Ltd		46,594

Shares		Description	Value ($)
		Hong Kong — continued
	234,000	Shun Tak Holdings Ltd *		35,298
	64,000	SITC International Holdings Co Ltd		111,181
	50,000	SmarTone Telecommunications Holdings Ltd		28,469
	100,000	Swire Pacific Ltd – Class A		667,685
	12,600	Swire Properties Ltd (a)		30,036
	56,500	Texhong International Group Ltd		39,275
	46,000	Texwinca Holdings Ltd		6,409
	200,000	VSTECS Holdings Ltd		101,548
	29,800	VTech Holdings Ltd		178,944
	1,486,000	WH Group Ltd		776,870
	71,000	Yue Yuen Industrial Holdings Ltd		87,109
		Total Hong Kong		5,203,778
		Hungary — 0.2%
	33,888	MOL Hungarian Oil & Gas Plc		275,901
	51,897	OTP Bank Nyrt		1,617,969
	14,495	Richter Gedeon Nyrt		365,739
		Total Hungary		2,259,609
		India — 2.5%
	15,944	Apollo Tyres Ltd		74,990
	42,762	Arvind Ltd *		66,112
	2,773	AU Small Finance Bank Ltd		26,034
	12,030	Aurobindo Pharma Ltd		95,523
	8	Axis Bank Ltd		89
	7,274	Bandhan Bank Ltd *		23,386
	13,562	Cipla Ltd		155,471
	22,546	Cochin Shipyard Ltd		135,041
	2,218	Colgate-Palmolive India Ltd		43,503
	10,094	Coromandel International Ltd		117,294
	191	Cummins India Ltd		4,050
	2,077	Deepak Fertilisers & Petrochemicals Corp Ltd		13,455
	9,928	Dhampur Bio Organics Ltd *		18,700
	1,544	Dr Reddy’s Laboratories Ltd		84,250
	4,408	Dr Reddy’s Laboratories Ltd ADR		243,277
	25,437	Engineers India Ltd		33,946
	86,261	Exide Industries Ltd *		220,284
	14,974	Federal Bank Ltd		22,616
	1,459,446	GAIL India Ltd		1,846,602
	4,013	GHCL Ltd		23,499
	4,013	GHCL Textiles Ltd * (d)		696
	33,269	Glenmark Pharmaceuticals Ltd		239,835
	4,212	Great Eastern Shipping Co Ltd (The)		34,943
	718	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		5,104
	166,029	Gujarat State Fertilizers & Chemicals Ltd		314,825
	25,028	HCL Technologies Ltd		345,436
	96,113	HDFC Bank Ltd		1,866,742
	19,138	HDFC Bank Ltd ADR (a)		1,232,487
	113,782	Hindalco Industries Ltd		559,299

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		India — continued
	10,930	Hindustan Aeronautics Ltd		412,403
	50,846	Hindustan Petroleum Corp Ltd		161,336
	17,007	Hindustan Zinc Ltd		62,989
	21,858	Housing Development Finance Corp Ltd		697,656
	141,707	Indiabulls Housing Finance Ltd *		196,633
	125,174	Indian Oil Corp Ltd		135,938
	134,488	Indus Towers Ltd *		249,630
	10	Infosys Ltd		159
	13,784	Infosys Ltd Sponsored ADR (a)		219,993
	49,895	IRCON International Ltd		49,195
	787,067	ITC Ltd		4,238,249
	83,713	Karnataka Bank Ltd (The)		152,588
	4,676	L&T Finance Holdings Ltd		5,875
	38,679	Mahindra & Mahindra Ltd		614,582
	41,809	Manappuram Finance Ltd		55,564
	4,122	Muthoot Finance Ltd		55,443
	110,144	National Aluminium Co Ltd		111,385
	61,090	NBCC India Ltd		31,148
	26,883	NCC Ltd		38,664
	440,476	NMDC Ltd		568,693
	304,401	NMDC Steel Ltd *		163,282
	217,329	NTPC Ltd		452,625
	2,133,520	Oil & Natural Gas Corp Ltd		3,958,780
	15,851	Oil India Ltd		49,372
	869	Oracle Financial Services Software Ltd		37,931
	87,442	Petronet LNG Ltd		238,220
	7,361	Piramal Enterprises Ltd		68,439
	478,956	Power Finance Corp Ltd		1,053,125
	15,658	Rajesh Exports Ltd		105,005
	24,064	Rashtriya Chemicals & Fertilizers Ltd		29,850
	600,014	REC Ltd		1,024,454
	82,499	Redington Ltd		174,410
	9,098	Reliance Industries Ltd		270,932
	6,490	RITES Ltd		29,353
	1,671	Shriram Finance Ltd		28,244
	110,311	Sun Pharmaceutical Industries Ltd		1,301,521
	21,574	Sun TV Network Ltd		115,710
	943,316	Tata Steel Ltd		1,206,000
	19,615	Vardhman Textiles Ltd *		76,710
	55,310	Vedanta Ltd		185,782
	30,318	Zydus Lifesciences Ltd		183,867
		Total India		26,659,224
		Indonesia — 0.4%
	252,100	AKR Corporindo Tbk PT		22,943
	1,433,200	Astra International Tbk PT		615,734
	2,468,000	Bank Central Asia Tbk PT		1,489,259
	1,166,392	Bank Mandiri Persero Tbk PT		393,590
	219,200	Bank Negara Indonesia Persero Tbk PT		132,225
	2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		112,243
	1,499,100	Bank Rakyat Indonesia Persero Tbk PT		557,048

Shares		Description	Value ($)
		Indonesia — continued
	1,134,100	Global Mediacom Tbk PT *		21,928
	530,200	Indofood Sukses Makmur Tbk PT		251,072
	2,482,700	Kalbe Farma Tbk PT		336,236
	2,116,700	Media Nusantara Citra Tbk PT *		90,317
	1,447,000	Perusahaan Gas Negara Tbk PT		137,881
		Total Indonesia		4,160,476
		Ireland — 0.5%
	9,210	AIB Group Plc		38,073
	145,190	Bank of Ireland Group Plc		1,372,009
	18,929	CRH Plc		895,770
	2,153	CRH Plc Sponsored ADR (a)		102,354
	12,774	Glanbia Plc		185,106
	1,705	Kingspan Group Plc		113,505
	15,644	Origin Enterprises Plc		58,593
	9,611	Permanent TSB Group Holdings Plc *		24,283
	16,307	Ryanair Holdings Plc Sponsored ADR * (a)		1,713,539
	27,658	Smurfit Kappa Group Plc		985,459
		Total Ireland		5,488,691
		Israel — 0.1%
	220,793	Oil Refineries Ltd		59,309
	14,260	Teva Pharmaceutical Industries Ltd *		102,088
	161,400	Teva Pharmaceutical Industries Ltd Sponsored ADR *		1,162,080
		Total Israel		1,323,477
		Italy — 1.1%
	13,898	Anima Holding SPA		48,476
	51,610	Assicurazioni Generali SPA (a)		980,435
	18,497	Banca IFIS SPA		277,899
	145,880	Banco BPM SPA		573,611
	145,328	BPER Banca		373,792
	15,729	CIR SpA-Compagnie Industriali *		6,158
	22,116	Credito Emiliano SPA		152,878
	171,281	Eni SPA (b)		2,279,192
	900	Eni SPA Sponsored ADR		23,904
	6,234	Esprinet SPA (b)		39,393
	39,849	Hera SPA (a)		124,933
	20,544	Italgas SPA (a)		117,272
	138,290	Leonardo SPA		1,488,160
	72,418	MFE-MediaForEurope NV – Class A		34,371
	20,144	Piaggio & C SPA		77,848
	34,314	Poste Italiane SPA		356,687
	174,943	Stellantis NV (a)		2,665,858
	2,857,804	Telecom Italia SPA * (b)		759,632
	2,663	Tenaris SA ADR		65,936
	2,017	Unieuro SPA (b)		22,083
	180,730	Unipol Gruppo SPA		905,292
		Total Italy		11,373,810

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Japan — 12.8%
	4,200	AGC Inc		152,982
	5,100	Aichi Corp		30,113
	55,800	Amano Corp		1,158,071
	3,400	AOKI Holdings Inc		20,121
	27,900	Arcs Co Ltd		470,107
	100,000	Asahi Kasei Corp		678,193
	12,100	Bandai Namco Holdings Inc		283,359
	3,600	Bando Chemical Industries Ltd		32,299
	27,800	Brother Industries Ltd		402,807
	36,700	Canon Inc (a)		909,679
	4,400	Canon Marketing Japan Inc		108,357
	5,100	Central Glass Co Ltd		110,074
	1,600	Chiyoda Integre Co Ltd		25,882
	130,600	Chugoku Marine Paints Ltd		979,438
	63,900	Citizen Watch Co Ltd		391,680
	136,100	Credit Saison Co Ltd		1,867,727
	13,400	Dai Nippon Printing Co Ltd (a)		381,546
	1,100	Dai Nippon Toryo Co Ltd		6,852
	34,000	Daicel Corp		288,170
	1,500	Dai-Dan Co Ltd		26,420
	4,100	Daido Steel Co Ltd		152,428
	1,300	Daiichi Jitsugyo Co Ltd		55,144
	166,400	Daiwabo Holdings Co Ltd		3,079,386
	93,800	Denka Co Ltd		1,720,591
	21,100	Dentsu Group Inc (b)		676,472
	1,600	DTS Corp (a)		40,202
	2,400	Ehime Bank Ltd (The)		13,566
	68,400	EXEO Group Inc		1,301,595
	121,700	Fuji Corp		1,981,378
	51,300	FUJIFILM Holdings Corp (a)		3,135,160
	900	Fujitsu Ltd (a)		114,174
	115,200	H.U. Group Holdings Inc		2,176,629
	5,000	Hanwa Co Ltd		147,753
	210,900	Haseko Corp		2,441,731
	18,300	Hitachi Construction Machinery Co Ltd		451,182
	52,100	Hogy Medical Co Ltd		1,192,244
	75,100	Honda Motor Co Ltd		2,136,949
	700	Honda Motor Co Ltd Sponsored ADR (a)		19,887
	9,000	Hosiden Corp		110,145
	28,000	Idemitsu Kosan Co Ltd		542,934
	12,300	Inabata & Co Ltd		253,947
	179,500	Inpex Corp		1,886,090
	99,400	ITOCHU Corp (a)		3,355,542
	500	Itochu-Shokuhin Co Ltd		18,211
	5,200	Itoham Yonekyu Holdings Inc		26,072
	8,000	Itoki Corp		47,800
	9,000	J Front Retailing Co Ltd		88,026
	4,500	Jaccs Co Ltd		145,508
	5,000	Japan Aviation Electronics Industry Ltd		90,200
	13,800	Japan Petroleum Exploration Co Ltd		406,771
	70,000	Japan Tobacco Inc (a)		1,526,316
	6,300	Kaga Electronics Co Ltd		230,716

Shares		Description	Value ($)
		Japan — continued
	50,300	Kajima Corp		704,138
	3,500	Kamei Corp		34,359
	7,200	Kandenko Co Ltd		52,004
	201,500	Kanematsu Corp		2,619,264
	87,900	KDDI Corp (a)		2,710,090
	128,900	Kirin Holdings Co Ltd (a)		1,923,838
	3,100	Kitz Corp		22,517
	2,621	Komeri Co Ltd		55,283
	61,000	Konoike Transport Co Ltd		660,899
	122,500	K’s Holdings Corp		1,055,514
	3,000	Kyokuto Kaihatsu Kogyo Co Ltd		34,206
	59,300	Kyudenko Corp		1,568,008
	1,400	Lawson Inc		61,071
	7,900	Macnica Holdings Inc		287,398
	192,300	Macromill Inc		1,190,628
	182,600	Mandom Corp		1,916,108
	97,200	Marubeni Corp (a)		1,385,222
	87,600	Maruichi Steel Tube Ltd		1,923,978
	1,000	Maruzen Showa Unyu Co Ltd (a)		25,780
	1,300	Matsuda Sangyo Co Ltd		19,258
	95,200	Maxell Ltd		982,375
	40,300	Mazda Motor Corp		341,880
	29,000	Mebuki Financial Group Inc		68,126
	1,100	Melco Holdings Inc		24,181
	25,400	Mirarth Holdings Inc		75,896
	39,900	Mitsubishi Corp (a)		1,595,202
	223,600	Mitsubishi Electric Corp (a)		2,910,497
	177,500	Mitsubishi Motors Corp		581,542
	2,200	Mitsubishi Research Institute Inc (a)		80,717
	129,200	Mitsubishi UFJ Financial Group Inc (a)		859,153
	33,200	Mitsui & Co Ltd (a)		1,046,132
	3,100	Mitsui DM Sugar Holdings Co Ltd		56,494
	63,000	Mitsui OSK Lines Ltd (a)		1,432,756
	3,500	Mitsui-Soko Holdings Co Ltd (a)		84,175
	8,100	MIXI Inc		158,355
	57,000	Morinaga & Co Ltd		1,813,541
	36,100	MS&AD Insurance Group Holdings Inc		1,237,008
	4,700	Nagase & Co Ltd		76,448
	44,700	NEC Corp (a)		2,097,803
	101,300	NH Foods Ltd		2,760,486
	6,900	Nichias Corp		130,340
	2,200	Nichiha Corp		44,891
	5,200	Nichireki Co Ltd		62,593
	2,000	Nippon Densetsu Kogyo Co Ltd		26,344
	6,100	Nippon Soda Co Ltd		200,915
	14,300	Nippon Telegraph & Telephone Corp (a)		406,273
	72,000	Nippon Yusen KK (a)		1,532,291
	1,500	Nissin Corp		25,422
	19,000	Niterra Co Ltd		350,974
	9,100	Nojima Corp		88,246
	1,600	Noritake Co Ltd		56,083
	157,500	Obayashi Corp		1,267,473

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	3,600	Osaka Soda Co Ltd		103,988
	136,200	Pacific Industrial Co Ltd		1,133,139
	7,200	PAL GROUP Holdings Co Ltd		172,048
	296,600	Penta-Ocean Construction Co Ltd		1,495,135
	2,200	Prima Meat Packers Ltd		34,082
	13,600	Renesas Electronics Corp *		220,119
	500	Restar Holdings Corp		8,184
	800	Roland DG Corp		18,683
	1,800	Ryobi Ltd		19,856
	15,600	San-A Co Ltd		504,394
	8,800	Sanki Engineering Co Ltd		91,408
	62,800	Sankyu Inc (a)		2,122,445
	19,900	Sanwa Holdings Corp		231,424
	26,800	Secom Co Ltd (a)		1,755,173
	69,600	Seiko Epson Corp		1,055,503
	14,100	Sekisui Chemical Co Ltd		194,344
	131,200	Sekisui House Ltd		2,560,599
	2,900	Sekisui Jushi Corp		41,680
	6,200	Shimamura Co Ltd		560,490
	135,500	Shimizu Corp		820,609
	2,700	Shionogi & Co Ltd		121,301
	4,800	Shizuoka Gas Co Ltd (a)		39,645
	800	Sinanen Holdings Co Ltd		20,836
	1,500	Sinko Industries Ltd		21,595
	13,600	SKY Perfect JSAT Holdings Inc		50,745
	103,960	Sojitz Corp		2,078,606
	136,800	Stanley Electric Co Ltd		2,752,192
	5,700	Star Micronics Co Ltd		73,788
	41,100	Subaru Corp		704,955
	175,200	SUMCO Corp		2,493,854
	200,500	Sumitomo Chemical Co Ltd		597,036
	95,700	Sumitomo Corp		1,806,176
	68,300	Sumitomo Forestry Co Ltd		1,537,964
	62,500	Sumitomo Mitsui Financial Group Inc		2,536,353
	67,700	Sumitomo Mitsui Trust Holdings Inc		2,385,361
	800	Sumitomo Seika Chemicals Co Ltd		23,313
	206,600	T&D Holdings Inc		2,805,400
	40,800	Taisei Corp		1,296,438
	200	Takasago Thermal Engineering Co Ltd		3,338
	68,000	Takuma Co Ltd		692,228
	2,000	Tamron Co Ltd		49,017
	6,100	TDK Corp		232,711
	174,500	Teijin Ltd		1,612,185
	77,700	THK Co Ltd		1,635,622
	5,500	Toho Holdings Co Ltd		100,434
	215,300	Tokai Carbon Co Ltd		1,779,303
	68,900	Tokyo Gas Co Ltd (a)		1,467,912
	53,600	Tokyo Seimitsu Co Ltd		2,324,580
	73,200	Toppan Inc (a)		1,563,732
	172,000	Tosei Corp		2,054,107
	61,900	Tosoh Corp		711,101
	13,800	Toyo Construction Co Ltd		97,381

Shares		Description	Value ($)
		Japan — continued
	39,600	Toyota Industries Corp		2,441,956
	20,200	Toyota Tsusho Corp		887,285
	4,100	Wacoal Holdings Corp		84,335
	9,100	YAMABIKO Corp		92,423
	95,000	Yamaha Motor Co Ltd (b)		2,337,235
	5,300	Yamazen Corp		38,648
	4,400	Yellow Hat Ltd		57,709
	73,200	Yokogawa Bridge Holdings Corp		1,173,496
	2,300	Yokogawa Electric Corp		43,309
	2,900	Yuasa Trading Co Ltd		87,126
	43,100	Zenkoku Hosho Co Ltd		1,539,784
		Total Japan		136,208,619
		Kuwait — 0.0%
	12,821	Humansoft Holding Co KSC		143,943
		Malaysia — 0.1%
	74,400	AMMB Holdings Bhd		58,648
	34,600	HAP Seng Consolidated Bhd		27,138
	40,100	Hartalega Holdings Bhd		19,941
	39,400	IOI Corp Bhd		31,462
	116,300	Kossan Rubber Industries Bhd		37,296
	258,200	Petronas Chemicals Group Bhd		366,516
	28,800	PPB Group Bhd		101,498
	168,300	Telekom Malaysia Bhd		185,744
		Total Malaysia		828,243
		Mexico — 1.2%
	3,283	America Movil SAB de CV ADR *		69,797
	112,153	Arca Continental SAB de CV		1,133,640
	63,400	Banco del Bajio SA		199,422
	3,313	Coca-Cola Femsa SAB de CV Sponsored ADR		274,383
	495,200	Credito Real SAB de CV SOFOM ER * (e)		—
	31,110	El Puerto de Liverpool SAB de CV – Class C1		181,887
	216,088	Fomento Economico Mexicano SAB de CV		2,182,136
	2,061	Fomento Economico Mexicano SAB de CV Sponsored ADR		207,357
	71,600	Gentera SAB de CV		77,068
	400	Grupo Aeroportuario del Centro Norte SAB de CV ADR		33,060
	5,339	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		55,207
	355	Grupo Aeroportuario del Pacifico SAB de CV – Class B		6,254
	12,378	Grupo Aeroportuario del Sureste SAB de CV – Class B		347,303
	424	Grupo Aeroportuario del Sureste SAB de CV ADR		118,868
	484,436	Grupo Financiero Banorte SAB de CV – Class O		3,892,687
	436,688	Grupo Mexico SAB de CV – Series B		1,947,803

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	7,156	Kimberly-Clark de Mexico SAB de CV – Class A		14,624
	36,600	Qualitas Controladora SAB de CV		247,359
	19,300	Regional SAB de CV		150,350
	8,151	Unifin Financiera SAB de CV * (e)		—
	362,423	Wal-Mart de Mexico SAB de CV		1,378,678
		Total Mexico		12,517,883
		Netherlands — 2.1%
	102,671	ABN AMRO Bank NV CVA		1,499,991
	344,763	Aegon NV (b)		1,514,949
	22,318	ASR Nederland NV (b)		951,121
	54,330	EXOR NV *		4,511,857
	9,049	ForFarmers NV (b)		27,359
	90,794	ING Groep NV		1,118,681
	43,800	JDE Peet’s NV (a) (b)		1,272,838
	133,733	Koninklijke Ahold Delhaize NV (a)		4,239,650
	133,792	Koninklijke Philips NV * (a)		2,527,678
	54,813	NN Group NV		1,977,499
	40,366	Randstad NV (a)		1,980,182
	17,643	Signify NV		450,224
	4,376	Van Lanschot Kempen NV		119,990
		Total Netherlands		22,192,019
		New Zealand — 0.1%
	59,921	Auckland International Airport Ltd *		320,266
	83,962	Meridian Energy Ltd (a)		268,087
		Total New Zealand		588,353
		Norway — 0.3%
	12,012	BW LPG Ltd		102,783
	170,367	Elkem ASA *		410,138
	89,665	Equinor ASA		2,275,971
	47,115	Europris ASA		311,823
	13,098	Hoegh Autoliners ASA (a)		73,403
	9,770	Odfjell Drilling Ltd *		22,810
	5,084	Orkla ASA		36,596
	3,159	Selvaag Bolig ASA		8,861
	4,756	SpareBank 1 Nord Norge		38,981
	3,527	Stolt-Nielsen Ltd (a)		87,168
	6,097	Storebrand ASA		44,090
	24,753	Wallenius Wilhelmsen ASA (a)		145,534
	2,283	Yara International ASA (b)		85,313
		Total Norway		3,643,471
		Pakistan — 0.0%
	48,525	Oil & Gas Development Co Ltd		12,701
	108,203	Pakistan Petroleum Ltd		21,861
		Total Pakistan		34,562
		Panama — 0.0%
	297,879	BAC Holding International Corp		14,124

Shares		Description	Value ($)
		Philippines — 0.0%
	233,080	Megaworld Corp		8,464
	242,700	Monde Nissin Corp		35,023
		Total Philippines		43,487
		Poland — 0.3%
	5,274	Asseco Poland SA		102,618
	47,803	Bank Polska Kasa Opieki SA		1,088,178
	2,969	Budimex SA		236,532
	30,033	Cyfrowy Polsat SA		109,648
	15	LPP SA *		42,586
	1,763	Orange Polska SA		3,008
	107,095	Polski Koncern Naftowy ORLEN SA		1,524,851
	49,395	Powszechny Zaklad Ubezpieczen SA		450,395
		Total Poland		3,557,816
		Portugal — 0.2%
	166,422	EDP – Energias de Portugal SA		812,954
	125,418	Navigator Co SA (The)		413,072
	4,904	NOS SGPS SA		18,110
	595,406	Sonae SGPS SA		574,465
		Total Portugal		1,818,601
		Qatar — 0.0%
	82,374	Ooredoo QPSC		240,087
	3,634	Qatar Gas Transport Co Ltd		3,943
	87	Qatar National Bank QPSC		383
	14,520	Qatar National Cement Co QSC		15,616
		Total Qatar		260,029
		Russia — 0.1%
	3,038,020	Alrosa PJSC * (e) (f)		24,483
	10,190	Detsky Mir PJSC * (e)		88
	160,792,062	Federal Grid Co Unified Energy System PJSC * (e)		2,051
	68,395	Fix Price Group Plc GDR* (e)		1,812
	180,610	Gazprom Neft PJSC (e)		11,419
	2,050,858	Gazprom PJSC (e)		40,947
	7,736	Globaltrans Investment Plc Sponsored GDR (Registered) * (e)		308
	6,310,100	Inter RAO UES PJSC (e)		3,165
	19,776	LSR Group PJSC – Class A* (e)		1,790
	1	LSR Group PJSC GDR (Registered) * (e)		—
	74,944	LUKOIL PJSC (e)		51,188
	1,561	Magnit PJSC * (e)		818
	1,863,335	Magnitogorsk Iron & Steel Works PJSC * (e) (f)		9,288
	25,400	Mechel PJSC * (e)		553
	4,554	MMC Norilsk Nickel PJSC (e)		8,137
	1	MMC Norilsk Nickel PJSC ADR * (e)		—
	16,770	Mobile TeleSystems PJSC (e)		651
	20,400	Mobile TeleSystems PJSC ADR* (e)		1,590
	361,420	Moscow Exchange MICEX-RTS PJSC * (e)		5,172

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	3,294,000	Mosenergo PJSC (e)		1,095
	75,720	Novatek PJSC (e)		12,033
	1,212,010	Novolipetsk Steel PJSC * (e)		21,901
	3,466	PhosAgro PJSC (e)		3,271
	67	PhosAgro PJSC GDR * (e) (f)		21
	130,264	Polymetal International Plc *		300,263
	10,215	Polyus PJSC * (e) (f)		13,324
	1	Polyus PJSC GDR (Registered) * (e) (f)		1
	5,248	Ros Agro Plc GDR (Registered) * (e)		554
	24,471,200	RusHydro PJSC (e)		2,547
	3,677,652	Sberbank of Russia PJSC (e) (f)		110,799
	425	Severstal PAO * (e) (f)		53
	91,185	Severstal PJSC GDR (Registered) * (e) (f)		11,518
	11,580	SFI PJSC * (e)		711
	5,940,620	Surgutneftegas PJSC (e)		17,764
	332,388	Tatneft PJSC (e)		18,056
	1,300,440	Unipro PJSC * (e)		308
	50,950	United Co Rusal International PJSC (e)		244
	8,456	X5 Retail Group NV GDR (Registered) * (e)		1,040
		Total Russia		678,963
		Saudi Arabia — 0.2%
	13,969	Almarai Co JSC		203,850
	62,693	Saudi Arabian Oil Co		526,229
	26,360	Saudi Basic Industries Corp		619,379
	63,384	Saudi Telecom Co		731,055
		Total Saudi Arabia		2,080,513
		Singapore — 0.5%
	51,300	AIMS APAC (REIT)		49,548
	39,000	Bumitama Agri Ltd		15,545
	16,900	City Developments Ltd		84,328
	265,400	ComfortDelGro Corp Ltd		215,789
	54,435	DBS Group Holdings Ltd		1,218,804
	35,500	First Real Estate Investment Trust (b)		6,703
	84,500	First Resources Ltd		94,243
	1,013,400	Golden Agri-Resources Ltd		198,349
	159,400	Japfa Ltd		27,724
	238,000	Keppel Corp Ltd		1,109,833
	21,000	Oversea-Chinese Banking Corp Ltd		190,367
	40,900	Sasseur Real Estate Investment Trust		22,543
	25,000	Sembcorp Industries Ltd		92,958
	37,700	Sheng Siong Group Ltd		45,146
	114,700	StarHub Ltd		85,578
	19,800	Venture Corp Ltd		222,135
	383,999	Yangzijiang Financial Holding Ltd		94,932
	1,459,599	Yangzijiang Shipbuilding Holdings Ltd		1,327,440
	134,400	Yanlord Land Group Ltd *		75,937
		Total Singapore		5,177,902
		South Africa — 1.1%
	216,850	Absa Group Ltd		1,696,738

Shares		Description	Value ($)
		South Africa — continued
	11,877	African Rainbow Minerals Ltd		124,108
	28,437	Anglo American Platinum Ltd		1,635,880
	8,600	AngloGold Ashanti Ltd Sponsored ADR		208,120
	430	Aspen Pharmacare Holdings Ltd		3,740
	10,455	Astral Foods Ltd		75,218
	29,539	AVI Ltd		93,028
	26,342	Barloworld Ltd		111,132
	47,683	Bidvest Group Ltd (The)		575,980
	77,272	Blue Label Telecoms Ltd *		14,199
	653	Clicks Group Ltd		7,777
	2,700	DRDGOLD Ltd Sponsored ADR		31,239
	409,031	FirstRand Ltd		1,254,344
	34,762	Foschini Group Ltd (The)		147,810
	109,939	Impala Platinum Holdings Ltd		882,702
	32,019	Investec Ltd		161,519
	54,335	Kumba Iron Ore Ltd		1,194,338
	17,129	Lewis Group Ltd		34,422
	15,058	Metair Investments Ltd *		14,333
	27,911	Motus Holdings Ltd		128,376
	26,205	Mr Price Group Ltd		165,353
	7,498	MTN Group Ltd		46,390
	1,136	Naspers Ltd – N Shares		171,369
	14,456	Ninety One Ltd		29,439
	222,976	Old Mutual Ltd		120,802
	268,387	Pepkor Holdings Ltd		192,075
	25,065	Pick n Pay Stores Ltd		40,170
	8,062	Raubex Group Ltd		9,996
	75	Reinet Investments SCA		1,490
	20,426	Reunert Ltd		58,125
	257,788	RMB Holdings Ltd		6,436
	29,037	Sanlam Ltd		76,276
	120,272	Sappi Ltd		266,063
	118,334	Sibanye Stillwater Ltd		209,081
	67,973	Sibanye Stillwater Ltd ADR		485,327
	4,599	SPAR Group Ltd (The)		24,694
	29,523	Tiger Brands Ltd		224,487
	199,224	Truworths International Ltd		481,697
	42,405	Vodacom Group Ltd		237,114
	189,224	Woolworths Holdings Ltd		571,586
	37,545	Zeda Ltd *		17,311
		Total South Africa		11,830,284
		South Korea — 3.3%
	407	BGF retail Co Ltd		58,448
	86,861	BNK Financial Group Inc		438,991
	13,434	Cheil Worldwide Inc		185,513
	3,951	Coway Co Ltd		143,317
	889	Daihan Pharmaceutical Co Ltd		18,881
	10,450	Daou Data Corp		120,021
	3,404	DB Insurance Co Ltd		190,006
	49,509	Dongwon Development Co Ltd		126,253
	5,060	E-MART Inc		321,309
	1,050	Fila Holdings Corp		28,740

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	13,268	GS Holdings Corp		384,943
	1,832	GS Retail Co Ltd		34,305
	35,861	Hana Financial Group Inc		1,118,681
	1,994	Handsome Co Ltd		34,701
	23,834	Hankook Tire & Technology Co Ltd		618,906
	25,723	HDC Hyundai Development Co-Engineering & Construction		242,759
	5,348	HMM Co Ltd		71,434
	53,144	Humasis Co Ltd *		116,388
	2,526	Hyundai Department Store Co Ltd		97,147
	4,165	Hyundai Engineering & Construction Co Ltd		120,003
	4,887	Hyundai Glovis Co Ltd		621,739
	1,022	Hyundai Home Shopping Network Corp		35,802
	10,327	Hyundai Mobis Co Ltd		1,733,606
	1,388	INTOPS Co Ltd		36,943
	21,475	JB Financial Group Co Ltd		137,387
	6,614	KB Financial Group Inc		238,508
	3,100	KC Co Ltd		45,257
	75	KCC Corp		11,768
	1,095	KCC Glass Corp		35,505
	78,853	Kia Corp		5,094,351
	564	KIWOOM Securities Co Ltd		39,857
	187	Korea Investment Holdings Co Ltd		7,804
	756	Korea Zinc Co Ltd		273,641
	20,967	KT Skylife Co Ltd		106,909
	71,136	KT&G Corp		4,480,612
	4,713	Kumho Petrochemical Co Ltd		450,257
	2,360	LF Corp		29,158
	6,219	LG Corp		403,331
	25,703	LG Electronics Inc		2,375,171
	6,660	LOTTE Fine Chemical Co Ltd		294,648
	1,367	Lotte Shopping Co Ltd		82,287
	13,012	LX International Corp		295,747
	687	NH Investment & Securities Co Ltd		5,169
	80	NongShim Co Ltd		26,454
	1,972	Orion Corp		191,888
	2,369	POSCO Holdings Inc		641,923
	28,708	POSCO Holdings Inc Sponsored ADR		1,948,699
	2,741	PSK Inc		44,176
	115,811	Samsung Electronics Co Ltd		6,213,314
	899	Samsung Electronics Co Ltd GDR (Registered) (a)		1,216,099
	21	Samsung Fire & Marine Insurance Co Ltd		3,567
	49	Samyang Foods Co Ltd		3,995
	28,662	SD Biosensor Inc		364,960
	123	Sebang Global Battery Co Ltd		4,504
	5,394	Seegene Inc		98,610
	15,777	Shinhan Financial Group Co Ltd		415,683
	23,447	SK Square Co Ltd *		815,484
	4,311	SL Corp		116,970
	118,529	Woori Financial Group Inc		1,068,746
	12,429	Woori Technology Investment Co Ltd *		38,218
	5,810	Youngone Corp		196,794
		Total South Korea		34,716,287

Shares		Description	Value ($)
		Spain — 1.7%
	151,170	Acerinox SA		1,546,778
	7,626	ACS Actividades de Construccion y Servicios SA		254,487
	22,724	Amadeus IT Group SA * (a)		1,630,788
	703,870	Banco Bilbao Vizcaya Argentaria SA		4,627,723
	2,034,348	Banco de Sabadell SA		2,020,507
	950,973	Banco Santander SA		3,106,857
	18,156	Cia de Distribucion Integral Logista Holdings SA (a)		451,915
	41,521	Ence Energia y Celulosa SA (b)		128,632
	596	Grupo Catalana Occidente SA (b)		18,480
	60,759	Industria de Diseno Textil SA (a)		2,032,738
	13,089	Prosegur Cia de Seguridad SA		23,469
	135,586	Repsol SA		1,837,520
	147,269	Telefonica SA (a)		627,184
		Total Spain		18,307,078
		Sweden — 0.6%
	19,484	Betsson AB * (a)		4,399
	19,484	Betsson AB – Class B * (a)		197,229
	50,341	Fabege AB (b)		360,320
	193,706	Fastighets AB Balder – B Shares *		653,820
	16,567	Investor AB – A Shares (a)		341,654
	2,151	Inwido AB		19,115
	3,854	JM AB		46,557
	61,439	Kinnevik AB – Class B *		886,849
	930	New Wave Group AB – B Shares		15,696
	18,255	Nordea Bank Abp		180,200
	7,320	Peab AB – Class B		30,131
	25,714	Skanska AB – B Shares		339,746
	200,561	SSAB AB – A Shares		1,286,188
	30,489	SSAB AB – B Shares		189,084
	19,790	Svenska Cellulosa AB SCA – Class B (b)		263,120
	39,900	Svenska Handelsbanken AB – A Shares		315,895
	174,942	Telefonaktiebolaget LM Ericsson – B Shares		904,598
	3,806	Volvo AB – A Shares (a)		73,502
	34,916	Volvo AB – B Shares (a)		645,302
		Total Sweden		6,753,405
		Switzerland — 1.5%
	57,169	Adecco Group AG (Registered) *		1,708,288
	393	Bobst Group SA (Registered)		30,638
	314	Cembra Money Bank AG		23,517
	250	DKSH Holding AG		18,026
	352	Galenica AG		27,537
	304	Julius Baer Group Ltd (a)		18,670
	27,812	Logitech International SA (Registered) (c)		1,778,962
	2,424	Logitech International SA (Registered) (c)		154,748
	2,157	Mobilezone Holding AG (Registered)		29,693
	13,796	Novartis AG (Registered) (a)		1,322,301
	7,823	Novartis AG Sponsored ADR (a)		752,964
	759	Roche Holding AG		256,936

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	16,545	Roche Holding AG – Genusschein (a)		5,269,729
	718	Swiss Life Holding AG (Registered)		415,413
	2,137	u-blox Holding AG *		276,980
	106,717	UBS Group AG (Registered) * (a)		2,034,595
	2,778	Zurich Insurance Group AG (a)		1,300,609
		Total Switzerland		15,419,606
		Taiwan — 3.8%
	58,560	Acer Inc		58,695
	3,414	Acter Group Corp Ltd		16,955
	328,650	AmTRAN Technology Co Ltd		141,462
	88,758	ASE Technology Holding Co Ltd ADR		676,336
	183,035	Asustek Computer Inc		1,814,464
	19,000	Aten International Co Ltd		52,901
	8,400	Aurora Corp		21,941
	406,000	Catcher Technology Co Ltd		2,447,448
	217,972	Cathay Financial Holding Co Ltd		313,583
	15,367	Chailease Holding Co Ltd		101,120
	182,000	Chicony Electronics Co Ltd		627,487
	166,000	Chipbond Technology Corp		361,528
	25,000	ChipMOS Technologies Inc		32,051
	1,000	Chlitina Holding Ltd		7,053
	9,280	Chong Hong Construction Co Ltd		23,946
	128,000	Compal Electronics Inc		115,849
	41,440	Coretronic Corp		101,232
	9,000	Delta Electronics Inc		92,421
	13,640	Elan Microelectronics Corp		45,208
	399,200	Evergreen Marine Corp Taiwan Ltd		1,981,146
	28,000	Far EasTone Telecommunications Co Ltd		69,916
	91,000	Farglory Land Development Co Ltd		185,569
	42,701	FLEXium Interconnect Inc *		136,877
	133,000	Formosa Plastics Corp		407,065
	128,821	Foxconn Technology Co Ltd		227,114
	588,765	Fubon Financial Holding Co Ltd		1,162,703
	18,080	Fusheng Precision Co Ltd		123,380
	560	Getac Technology Corp		1,258
	22,000	Gigabyte Technology Co Ltd		133,106
	237,000	Grand Pacific Petrochemical		146,392
	2,000	Grape King Bio Ltd		11,418
	7,000	Holtek Semiconductor Inc		15,986
	1,198,318	Hon Hai Precision Industry Co Ltd		4,145,914
	69,000	Huaku Development Co Ltd		202,239
	24,687	Innodisk Corp		268,798
	47,000	King’s Town Bank Co Ltd *		54,982
	31,000	Kung Long Batteries Industrial Co Ltd		141,122
	25,000	Largan Precision Co Ltd		1,837,293
	377,000	Lite-On Technology Corp ADR		1,090,759
	1,807	Makalot Industrial Co Ltd		12,793
	67,000	MediaTek Inc		1,646,431
	5,408	Merry Electronics Co Ltd		15,734
	226,000	Micro-Star International Co Ltd		1,218,944
	151,000	Mitac Holdings Corp		156,862

Shares		Description	Value ($)
		Taiwan — continued
	86,280	Nan Ya Plastics Corp		218,050
	77,903	Nantex Industry Co Ltd		95,161
	40,000	Nanya Technology Corp		95,335
	17,000	Nichidenbo Corp		31,891
	5,800	Nien Made Enterprise Co Ltd		66,402
	81,000	Novatek Microelectronics Corp		1,118,311
	32,000	Phison Electronics Corp		444,198
	579,000	Pou Chen Corp		595,586
	29,000	Primax Electronics Ltd		60,877
	183,472	Radiant Opto-Electronics Corp		703,862
	1,000	Raydium Semiconductor Corp		11,371
	135,400	Ruentex Industries Ltd		250,831
	31,760	Shin Zu Shing Co Ltd		96,357
	50,000	Shinkong Insurance Co Ltd		85,411
	33,900	Simplo Technology Co Ltd		341,603
	6,945	Sinmag Equipment Corp		29,924
	28,080	Syncmold Enterprise Corp		54,236
	11,000	T3EX Global Holdings Corp		25,042
	19,000	TaiDoc Technology Corp		113,543
	204,000	Taiwan Semiconductor Manufacturing Co Ltd		3,691,958
	21,064	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		2,076,700
	12,000	Taiwan Union Technology Corp		29,252
	22,400	Teco Electric and Machinery Co Ltd		37,291
	7,360	Test Research Inc		15,374
	36,681	TOPBI International Holdings Ltd *		15,096
	40,000	Transcend Information Inc		100,130
	53,000	Tripod Technology Corp		221,451
	12,000	TTY Biopharm Co Ltd		29,538
	20,000	Tung Ho Steel Enterprise Corp		36,362
	34,624	United Integrated Services Co Ltd		257,352
	15,400	United Microelectronics Corp Sponsored ADR *		127,204
	148,000	Universal Inc		120,277
	324,850	Wan Hai Lines Ltd		611,074
	929,000	Wistron Corp		2,013,013
	2,000	Wiwynn Corp		75,192
	69,000	WPG Holdings Ltd		119,274
	6,000	Yageo Corp		98,867
	1,086,000	Yang Ming Marine Transport Corp		2,142,969
	932,000	Yuanta Financial Holding Co Ltd		722,446
	6,000	Yulon Nissan Motor Co Ltd		38,090
	9,669	Zeng Hsing Industrial Co Ltd		34,421
	83,000	Zhen Ding Technology Holding Ltd		312,440
		Total Taiwan		39,809,243
		Thailand — 0.8%
	2,024,300	AP Thailand Pcl NVDR		674,568
	448,300	Bangkok Bank Pcl NVDR		2,097,870
	58,000	Bangkok Dusit Medical Services Pcl NVDR		47,022
	16,800	Central Retail Corp Pcl NVDR		20,263
	69,100	GFPT Pcl NVDR		24,383

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	259,600	JMT Network Services Pcl NVDR		320,444
	200,500	Kasikornbank Pcl NVDR		745,781
	6,042,400	Krung Thai Bank Pcl NVDR		3,297,009
	53,632	Pruksa Holding Pcl NVDR		19,104
	145,600	PTT Exploration & Production Pcl NVDR		583,013
	36,600	Regional Container Lines Pcl NVDR		25,215
	3,592,300	Sansiri Pcl NVDR		179,534
	141,300	Somboon Advance Technology Pcl NVDR		81,529
	41,800	Sri Trang Agro-Industry Pcl NVDR		22,806
	154,700	Sri Trang Gloves Thailand Pcl NVDR		40,895
	23,760	Supalai Pcl (Foreign Registered)		13,789
	56,500	Supalai Pcl NVDR		32,790
	91,100	Thai Oil Pcl NVDR		113,057
	691,500	Thai Union Group Pcl NVDR		291,951
	88,000	Thai Vegetable Oil Pcl NVDR		65,086
		Total Thailand		8,696,109
		Turkey — 0.5%
	2,480,407	Akbank TAS		1,892,172
	18,095	Anadolu Efes Biracilik Ve Malt Sanayii AS		50,853
	390,266	Haci Omer Sabanci Holding AS		725,974
	314,217	KOC Holding AS		1,192,737
	888	Turk Traktor ve Ziraat Makineleri AS		28,346
	140,538	Turkcell Iletisim Hizmetleri AS		227,102
	124,585	Turkiye Garanti Bankasi AS		161,060
	173,982	Turkiye Is Bankasi AS – Class C		93,814
	73,254	Vestel Beyaz Esya Sanayi ve Ticaret AS		38,793
	2,720,450	Yapi ve Kredi Bankasi AS		1,339,994
		Total Turkey		5,750,845
		United Arab Emirates — 0.1%
	361,598	Abu Dhabi National Oil Co for Distribution PJSC		407,201
	14,033	Emirates NBD Bank PJSC		52,098
	157,504	Q Holding PJSC *		97,814
		Total United Arab Emirates		557,113
		United Kingdom — 4.2%
	178,678	3i Group Plc (a)		4,358,843
	3,173	AG Barr Plc		19,937
	24,770	Anglo American Plc		682,371
	56,444	Aviva Plc		277,098
	91,851	Balfour Beatty Plc		419,146
	4,859	Bank of Georgia Group Plc		182,319
	352,294	Barclays Plc		665,333
	24,852	Barclays Plc Sponsored ADR		186,887
	356,497	Barratt Developments Plc		2,059,936
	31,005	Bellway Plc		873,421
	38,337	Berkeley Group Holdings Plc (The)		1,876,429
	48,926	BP Plc Sponsored ADR (a)		1,649,295
	73,501	British American Tobacco Plc (a)		2,326,643
	25,458	British American Tobacco Plc Sponsored ADR (a)		807,273

Shares		Description	Value ($)
		United Kingdom — continued
	1,608,964	BT Group Plc (a)		2,939,155
	14,239	Burberry Group Plc		381,868
	33,447	Centamin Plc		41,710
	8,656	Central Asia Metals Plc		19,990
	738,771	Centrica Plc (a)		1,083,060
	67,941	Coca-Cola HBC AG *		2,018,416
	94,185	Compass Group Plc (a)		2,581,063
	26,649	Crest Nicholson Holdings Plc		80,482
	23,265	Evraz Plc * (e)		592
	159,803	Ferrexpo Plc		183,450
	1,720	Galliford Try Holdings Plc		3,854
	19,945	GSK Plc		334,761
	28,712	GSK Plc Sponsored ADR		964,723
	440,826	HSBC Holdings Plc		3,230,947
	2,260	HSBC Holdings Plc Sponsored ADR (a)		83,213
	52,844	IG Group Holdings Plc		442,117
	54,237	Imperial Brands Plc (a)		1,143,366
	20,749	International Personal Finance Plc		28,590
	73,880	Investec Plc		377,599
	487,292	ITV Plc		423,526
	153,750	J Sainsbury Plc		518,146
	4,789	Keller Group Plc		40,509
	409,367	Kingfisher Plc		1,177,499
	502,730	Lloyds Banking Group Plc		276,988
	23,227	Moneysupermarket.com Group plc		72,495
	13,089	Morgan Advanced Materials Plc		47,247
	6,762	Morgan Sindall Group Plc		153,347
	77,520	OSB Group Plc		476,074
	9,042	Paragon Banking Group Plc		54,512
	44,443	Persimmon Plc		665,272
	36,668	Plus500 Ltd		658,927
	35,451	Redde Northgate Plc (a)		164,671
	75,849	Redrow Plc		454,825
	22,317	Rio Tinto Plc (a)		1,318,746
	68,719	Shell Plc (a)		1,889,289
	3,646	Smiths Group Plc		72,952
	25,163	Spirent Communications Plc		55,966
	405,705	Taylor Wimpey Plc		577,859
	3,340	TBC Bank Group Plc		95,842
	23,178	Vesuvius Plc		119,724
	940,967	Vodafone Group Plc (a)		894,794
	154,147	Vodafone Group Plc Sponsored ADR (a)		1,461,314
	73,361	WPP Plc (a)		779,771
		Total United Kingdom		44,774,182
		United States — 18.3%
	17,800	3M Co.		1,660,918
	1,600	Adtalem Global Education, Inc. * (a)		66,400
	500	Affiliated Managers Group, Inc.		69,545
	5,613	Aflac, Inc. (a)		360,411
	1,500	AGCO Corp.		165,420
	3,300	Akamai Technologies, Inc. * (a)		303,996

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	65,200	Ally Financial, Inc.		1,738,884
	25,468	Alphabet, Inc. – Class A * (a)		3,129,253
	18,567	Alphabet, Inc. – Class C * (a)		2,290,611
	11,898	American Express Co. (a)		1,886,547
	3,954	Applied Materials, Inc. (a)		527,068
	2,969	Archer-Daniels-Midland Co. (a)		209,760
	17,255	Arrow Electronics, Inc. *		2,185,173
	900	Aspen Technology, Inc. * (a)		147,528
	56,753	AT&T, Inc. (a)		892,725
	1,100	Atkore, Inc. *		128,447
	265	AutoNation, Inc. *		34,694
	4,000	Avnet, Inc.		175,360
	69,701	Bank of America Corp. (a)		1,936,991
	15,000	Bank of New York Mellon Corp. (The) (a)		603,000
	19,200	Best Buy Co., Inc.		1,395,264
	4,683	Biogen, Inc. *		1,388,088
	3,500	Bio-Rad Laboratories, Inc. – Class A *		1,306,725
	738	Booking Holdings, Inc. * (a)		1,851,472
	76,823	BorgWarner, Inc.		3,405,564
	21,647	Bristol-Myers Squibb Co. (a)		1,394,933
	2,100	Brunswick Corp.		158,550
	22,000	Capital One Financial Corp. (a)		2,292,620
	8,949	CarMax, Inc. *		646,207
	40,700	Carrier Global Corp. (a)		1,664,630
	1,200	Carter’s, Inc.		74,604
	989	Caterpillar, Inc. (a)		203,487
	17,575	CBRE Group, Inc. – Class A * (a)		1,316,719
	27,603	Centene Corp. * (a)		1,722,703
	9,068	Chesapeake Energy Corp.		682,367
	15,340	Chevron Corp. (a)		2,310,511
	3,800	Cigna Group (The) (a)		940,158
	29,300	Cisco Systems, Inc. (a)		1,455,331
	58,600	Citigroup, Inc.		2,597,152
	94,438	Cleveland-Cliffs, Inc. *		1,310,799
	35,600	Cognizant Technology Solutions Corp. – Class A (a)		2,224,644
	82,786	Comcast Corp. – Class A (a)		3,257,629
	11,777	ConocoPhillips (a)		1,169,456
	1,561	Crowdstrike Holdings, Inc. – Class A * (a)		249,963
	2,644	Cummins, Inc. (a)		540,460
	35,500	CVS Health Corp. (a)		2,415,065
	23,366	Darling Ingredients, Inc. *		1,480,937
	21,832	Dell Technologies, Inc. – Class C		978,292
	5,962	Devon Energy Corp.		274,848
	16,100	Discover Financial Services (a)		1,654,114
	161,900	DISH Network Corp. – Class A *		1,041,017
	12,600	DR Horton, Inc. (a)		1,346,184
	6,800	Dropbox, Inc. – Class A * (a)		156,536
	8,604	DXC Technology Co. * (a)		215,358
	53,700	eBay, Inc. (a)		2,284,398
	2,407	Elevance Health, Inc. (a)		1,077,903
	900	Encore Wire Corp.		147,303
	20,876	EOG Resources, Inc.		2,239,786

Shares		Description	Value ($)
		United States — continued
	6,331	Expedia Group, Inc. * (a)		605,940
	19,972	Exxon Mobil Corp. (a)		2,040,739
	5,222	FedEx Corp. (a)		1,138,292
	3,900	Ferguson Plc		565,149
	48,523	Fidelity National Financial, Inc.		1,656,575
	14,103	Flex Ltd. *		358,075
	5,300	Foot Locker, Inc.		134,196
	209,759	Ford Motor Co.		2,517,108
	21,156	Fortune Brands Innovations, Inc.		1,278,880
	8,240	Fox Corp. – Class A (a)		257,088
	61,400	Fox Corp. – Class B (a)		1,793,494
	50,800	Franklin Resources, Inc. (a)		1,219,708
	4,100	Gap, Inc. (The)		32,882
	300	Garmin Ltd.		30,945
	4,094	Generac Holdings, Inc. *		445,918
	69,200	General Motors Co.		2,242,772
	13,363	Gilead Sciences, Inc. (a)		1,028,149
	6,100	Goldman Sachs Group, Inc. (The) (a)		1,975,790
	100	Graham Holdings Co. – Class B (a)		56,475
	15,879	Green Plains, Inc. *		460,491
	500	Group 1 Automotive, Inc.		111,755
	10,000	H&R Block, Inc. (a)		298,500
	700	Harley-Davidson, Inc.		21,777
	6,206	Hartford Financial Services Group, Inc. (The) (a)		425,235
	5,248	Hasbro, Inc.		311,469
	4,600	Henry Schein, Inc. * (a)		339,940
	34,000	Hewlett Packard Enterprise Co.		490,280
	9,149	Hilton Worldwide Holdings, Inc. (a)		1,245,362
	700	HNI Corp.		17,850
	88,000	HP, Inc.		2,557,280
	16,500	Huntington Bancshares, Inc.		170,115
	2,300	Huntsman Corp.		54,625
	22,300	Incyte Corp. *		1,372,565
	119,800	Intel Corp. (a)		3,766,512
	14,992	Intercontinental Exchange, Inc. (a)		1,588,402
	24,600	International Business Machines Corp. (a)		3,163,314
	47,000	Invesco Ltd.		675,860
	16,100	Janus Henderson Group Plc		423,108
	10,200	Jazz Pharmaceuticals Plc *		1,307,232
	979	Jefferies Financial Group, Inc.		29,439
	7,025	Johnson & Johnson (a)		1,089,297
	715	Jones Lang LaSalle, Inc. *		100,343
	22,500	JPMorgan Chase & Co. (a)		3,053,475
	97,600	Kinder Morgan, Inc.		1,572,336
	13,699	Knight-Swift Transportation Holdings, Inc. (a)		753,308
	5,934	Kohl’s Corp.		108,711
	57,600	Kraft Heinz Co. (The) (a)		2,201,472
	10,584	Kroger Co. (The) (a)		479,773
	2,761	Kulicke & Soffa Industries, Inc.		146,002
	7,100	Laboratory Corp. of America Holdings (a)		1,508,963
	2,146	Lam Research Corp. (a)		1,323,438

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	23,673	Las Vegas Sands Corp. * (a)		1,305,093
	2,700	La-Z-Boy, Inc.		72,144
	2,180	Lear Corp.		267,399
	10,671	Lennar Corp. – Class A (a)		1,143,078
	6,357	Liberty Global Plc – Class A *		103,619
	19,270	Liberty Global Plc – Class C *		327,975
	15,600	LyondellBasell Industries NV – Class A (a)		1,334,424
	1,100	M&T Bank Corp.		131,076
	12,626	Macy’s, Inc.		171,587
	5,225	ManpowerGroup, Inc.		366,638
	1,154	Marathon Petroleum Corp.		121,066
	800	Marcus & Millichap, Inc.		23,480
	1,010	Markel Group, Inc. *		1,327,877
	32,148	Match Group, Inc. *		1,109,106
	500	Matson, Inc. (a)		34,165
	2,326	Medtronic Plc (a)		192,500
	14,129	Merck & Co., Inc. (a)		1,559,983
	24,452	Meta Platforms, Inc. – Class A * (a)		6,472,933
	11,300	MetLife, Inc. (a)		559,915
	59,403	Micron Technology, Inc. (a)		4,051,285
	12,146	Moderna, Inc. *		1,551,166
	13,500	Mohawk Industries, Inc. *		1,242,540
	26,948	Molson Coors Brewing Co. – Class B (a)		1,666,734
	29,117	Mosaic Co. (The) (a)		930,579
	3,311	Northern Trust Corp. (a)		238,127
	42,100	NRG Energy, Inc. (a)		1,422,559
	12,775	Nucor Corp. (a)		1,687,067
	3,602	Occidental Petroleum Corp.		207,691
	9,895	Otis Worldwide Corp. (a)		786,751
	41,056	Ovintiv, Inc.		1,357,722
	2,700	Owens Corning		287,091
	1,700	PACCAR, Inc. (a)		116,926
	99,145	Paramount Global – Class B		1,507,995
	23,000	PayPal Holdings, Inc. * (a)		1,425,770
	85,293	Pfizer, Inc.		3,242,840
	900	Pioneer Natural Resources Co.		179,496
	3,148	PNC Financial Services Group, Inc.		364,633
	4,800	Principal Financial Group, Inc.		314,208
	4,600	Prudential Financial, Inc. (a)		361,974
	17,226	PulteGroup, Inc.		1,138,294
	6,100	PVH Corp.		524,722
	15,692	QUALCOMM, Inc. (a)		1,779,630
	16,400	Radian Group, Inc.		418,856
	500	Ralph Lauren Corp.		53,155
	17,187	Raytheon Technologies Corp. (a)		1,583,610
	2,725	Regeneron Pharmaceuticals, Inc. * (a)		2,004,401
	18,600	Regions Financial Corp.		321,222
	507	Reinsurance Group of America, Inc.		70,980
	1,655	Reliance Steel & Aluminum Co. (a)		388,395
	1,554	Robert Half International, Inc. (a)		101,041
	300	Roper Technologies, Inc. (a)		136,266
	3,300	Schneider National, Inc. – Class B (a)		85,536

Shares		Description	Value ($)
		United States — continued
	8,500	Skyworks Solutions, Inc.		879,835
	442	SS&C Technologies Holdings, Inc. (a)		24,292
	2,749	Starwood Property Trust, Inc. (REIT)		48,245
	7,600	State Street Corp. (a)		516,952
	18,361	Steel Dynamics, Inc. (a)		1,687,376
	2,600	Stewart Information Services Corp.		116,584
	69,700	Synchrony Financial (a)		2,157,912
	700	Tapestry, Inc.		28,014
	4,500	Taylor Morrison Home Corp. – Class A *		190,935
	12,400	Textron, Inc.		767,188
	1,400	TRI Pointe Homes, Inc. *		40,894
	37,700	Tyson Foods, Inc. – Class A (a)		1,909,128
	1,067	Universal Corp.		55,004
	10,363	Universal Health Services, Inc. – Class B (a)		1,369,263
	2,827	Unum Group		122,833
	35,395	US Bancorp		1,058,311
	92,152	Verizon Communications, Inc. (a)		3,283,376
	2,870	Vertex Pharmaceuticals, Inc. * (a)		928,646
	14,033	VF Corp.		241,648
	202,200	Viatris, Inc.		1,850,130
	38,583	Walgreens Boots Alliance, Inc. (a)		1,171,766
	35,920	Wells Fargo & Co.		1,429,975
	500	Western Union Co. (The)		5,695
	35,300	Western Digital Corp. *		1,367,169
	12,100	Westlake Corp. (a)		1,257,795
	9,570	Whirlpool Corp.		1,237,305
	3,200	Xerox Holdings Corp.		45,024
	26,100	Zoom Video Communications, Inc. – Class A * (a)		1,752,093
		Total United States		193,647,620
		Vietnam — 0.2%
	241,400	Duc Giang Chemicals JSC		550,543
	21,900	IDICO Corp JSC		39,006
	61,000	Saigon – Hanoi Commercial Joint Stock Bank *		30,470
	44,600	Saigon Thuong Tin Commercial JSB *		52,580
	159,200	SSI Securities Corp		156,723
	128,300	Vietnam Dairy Products JSC		360,818
	153,700	Vietnam Joint Stock Commercial Bank for Industry and Trade *		183,207
	1,101,600	VNDirect Securities Corp *		819,498
		Total Vietnam		2,192,845
		TOTAL COMMON STOCKS (COST $886,426,499)		783,048,360
		PREFERRED STOCKS (g) —1.8%
		Brazil — 1.2%
	194,617	Bradespar SA		816,706
	2,200	Cia de Ferro Ligas da Bahia		20,585
	121,195	Cia Energetica de Minas Gerais		279,499

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Brazil — continued
	145,975	Cia Paranaense de Energia – Class B		213,497
	223,922	Gerdau SA		1,057,972
	463,034	Gerdau SA Sponsored ADR		2,185,520
	85,911	Itau Unibanco Holding SA Sponsored ADR		441,583
	154,517	Itausa SA		267,412
	86,795	Metalurgica Gerdau SA		191,783
	874,013	Petroleo Brasileiro SA		4,499,876
	296,555	Petroleo Brasileiro SA Sponsored ADR		3,048,585
	4,000	Unipar Carbocloro SA – Class B		53,921
		Total Brazil		13,076,939
		Colombia — 0.0%
	297,879	Grupo Aval Acciones y Valores SA		32,131
		Germany — 0.3%
	13,543	Bayerische Motoren Werke AG		1,394,266
	1,760	Draegerwerk AG & Co KGaA		81,954
	7,324	Henkel AG & Co KGaA (a)		584,554
	3,687	Porsche Automobil Holding SE *		205,368
	512	Villeroy & Boch AG		10,612
	9,477	Volkswagen AG (a)		1,187,294
		Total Germany		3,464,048
		Russia — 0.0%
	12,924	Bashneft PJSC (e)		2,523
	56,000	Nizhnekamskneftekhim PJSC (e)		550
	20,810	Sberbank of Russia PJSC * (e) (f)		615
	9,254,300	Surgutneftegas PJSC (e)		35,814
	161	Transneft PJSC (e)		2,626
		Total Russia		42,128
		South Korea — 0.3%
	2,160	Hyundai Motor Co GDR (Registered)		84,159
	2,725	LG Electronics Inc		110,051
	51,889	Samsung Electronics Co Ltd		2,285,462
	89	Samsung Electronics Co Ltd GDR (Registered)		99,016
		Total South Korea		2,578,688
		Taiwan — 0.0%
	10,589	Chailease Holding Co Ltd		34,289
		TOTAL PREFERRED STOCKS (COST $24,912,856)		19,228,223
		DEBT OBLIGATIONS — 13.2%
		United States — 13.2%
		U.S. Government — 10.1%
	1,000,000	U.S. Treasury Note, 0.13%, due 07/31/23		991,315
	43,725,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 10/31/23		43,732,433
	32,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 5.30%, due 04/30/24		31,977,231

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	30,000,000	U.S. Treasury Note, Vari able Rate, USBM + 0.04%, 5.41%, due 07/31/24 (a)		30,002,203
		Total U.S. Government		106,703,182
		U.S. Government Agency — 3.1%
	3,500,000	Federal Home Loan Banks, Variable Rate,
		SOFR + 0.10%, 5.16%, due 10/06/23		3,500,030
	3,500,000	Federal Home Loan Banks, Variable Rate,
		SOFR + 0.12%, 5.18%, due 03/06/24		3,503,053
	16,000,000	Federal Home Loan Banks, 5.23%, due 03/22/24		15,940,661
	9,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.16%, due 09/04/24		9,501,679
		Total U.S. Government Agency		32,445,423
		Total United States		139,148,605
		TOTAL DEBT OBLIGATIONS (COST $139,211,547)		139,148,605
		MUTUAL FUNDS — 22.0%
		United States — 22.0%
		Affiliated Issuers — 22.0%
	3,121,781	GMO Emerging Country Debt Fund, Class VI		54,880,909
	1,643,661	GMO High Yield Fund, Class VI		27,892,921
	2,847,952	GMO Opportunistic Income Fund, Class VI		70,002,646
	1,645,883	GMO Resources Fund, Class VI		36,818,411
	1,023,784	GMO SGM Major Markets Fund, Class VI		28,133,591
	3,115,925	GMO U.S. Treasury Fund (h)		15,579,626
		Total Affiliated Issuers		233,308,104
		TOTAL MUTUAL FUNDS (COST $258,711,419)		233,308,104
		SHORT-TERM INVESTMENTS — 9.2%
		Money Market Funds — 0.3%
	2,842,374	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (i)		2,842,374
		Repurchase Agreements — 8.2%
	87,000,000	Nomura Securities International, Inc. Repurchase Agreement, dated 05/31/23, maturing on 06/01/23 with a maturity value of $87,012,180 and an effective yield of 5.04%, collateralized by a U.S. Treasury Note with maturity date 10/31/27 and a market value of $88,775,290.		87,000,000
		U.S. Government Agency — 0.7%
	8,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 5.09%, due 06/07/23		7,999,964
		TOTAL SHORT-TERM INVESTMENTS (COST $97,842,374)		97,842,338

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Notional Amount

Value ($)

Currency Options – Puts — 0.0%

USD Put/CHF Call

BCLY

0.88

%

08/11/23

USD

2,680,000

USD

2,680,000

9,463

TOTAL PURCHASED OPTIONS (COST $31,436)	9,463
TOTAL INVESTMENTS — 120.1% (Cost $1,407,136,131)	1,272,585,093

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (18.9)%
			Common Stocks — (18.8)%
			Australia — (0.5)%
	(26,691	)	ASX Ltd		(1,169,961	)
	(4,720	)	Cochlear Ltd		(746,998	)
	(36,205	)	IDP Education Ltd		(513,296	)
	(567,754	)	Pilbara Minerals Ltd		(1,627,610	)
	(20,881	)	Ramsay Health Care Ltd		(779,207	)
			Total Australia		(4,837,072	)
			Austria — (0.1)%
	(17,212	)	Verbund AG		(1,300,604	)
			Belgium — (0.2)%
	(29,792	)	Anheuser-Busch InBev SA/NV		(1,589,253	)
			Canada — (1.0)%
	(27,442	)	Agnico Eagle Mines Ltd		(1,393,504	)
	(27,674	)	Algonquin Power & Utilities Corp		(233,292	)
	(83,200	)	AltaGas Ltd		(1,410,876	)
	(45,034	)	Enbridge Inc		(1,585,197	)
	(12,046	)	Franco-Nevada Corp		(1,751,368	)
	(9,000	)	GFL Environmental Inc		(325,260	)
	(51,500	)	Pembina Pipeline Corp		(1,558,905	)
	(25,700	)	Restaurant Brands International Inc		(1,873,787	)
			Total Canada		(10,132,189	)
			Denmark — (0.1)%
	(1,946	)	Coloplast A/S – Class B		(245,558	)
	(37,136	)	Tryg A/S		(845,289	)
			Total Denmark		(1,090,847	)
			Finland — (0.1)%
	(9,156	)	Elisa Oyj		(512,880	)
	(1,163	)	Kone Oyj – Class B		(59,160	)
			Total Finland		(572,040	)
			France — (0.6)%
	(48,722	)	Accor SA *		(1,622,513	)
	(8,750	)	Aeroports de Paris *		(1,333,653	)
	(291	)	Euronext NV		(19,417	)

Shares			Description	Value ($)
			France — continued
	(95,313	)	Getlink SE		(1,621,730	)
	(893	)	Hermes International		(1,821,562	)
	(1,109	)	Sartorius Stedim Biotech		(292,349	)
	(1,880	)	Worldline SA *		(73,280	)
			Total France		(6,784,504	)
			Germany — (0.8)%
	(42,487	)	Delivery Hero SE *		(1,595,610	)
	(5,702	)	Deutsche Boerse AG		(986,239	)
	(5,760	)	MTU Aero Engines AG		(1,332,481	)
	(5,390	)	Puma SE		(257,611	)
	(1,301	)	Rational AG		(874,383	)
	(14,086	)	Symrise AG – Class A		(1,508,507	)
	(396,823	)	Telefonica Deutschland Holding AG		(1,118,833	)
	(4,534	)	United Internet AG (Registered)		(65,315	)
	(10,066	)	Zalando SE *		(292,717	)
			Total Germany		(8,031,696	)
			Israel — (0.2)%
	(11,600	)	CyberArk Software Ltd *		(1,794,868	)
	(5,600	)	Wix.com Ltd *		(426,832	)
			Total Israel		(2,221,700	)
			Italy — (0.6)%
	(41,860	)	Amplifon SPA		(1,451,995	)
	(6,574	)	Ferrari NV (c)		(1,881,759	)
	(100	)	Ferrari NV (c)		(28,667	)
	(102,165	)	FinecoBank Banca Fineco SPA		(1,364,736	)
	(126,540	)	Infrastrutture Wireless Italiane SPA		(1,613,385	)
			Total Italy		(6,340,542	)
			Japan — (2.0)%
	(37,800	)	Aeon Co Ltd		(747,594	)
	(58,700	)	ANA Holdings Inc *		(1,302,058	)
	(46,700	)	Asahi Intecc Co Ltd		(889,895	)
	(1,400	)	BayCurrent Consulting Inc		(51,172	)
	(15,200	)	GMO Payment Gateway Inc		(1,198,701	)
	(77,300	)	Japan Airlines Co Ltd		(1,477,220	)
	(35,800	)	Japan Exchange Group Inc		(584,592	)
	(23,800	)	Keio Corp		(837,526	)
	(14,100	)	Keisei Electric Railway Co Ltd		(540,581	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares			Description	Value ($)
			Japan — continued
	(11,000	)	Lasertec Corp		(1,727,144	)
	(56,300	)	M3 Inc		(1,249,642	)
	(99,200	)	MonotaRO Co Ltd		(1,375,548	)
	(400	)	Nidec Corp		(19,822	)
	(63,900	)	Nihon M&A Center Holdings Inc		(446,739	)
	(79,200	)	Nippon Paint Holdings Co Ltd		(606,486	)
	(69,300	)	Odakyu Electric Railway Co Ltd		(1,008,933	)
	(54,700	)	Oriental Land Co Ltd		(2,048,663	)
	(290,000	)	Rakuten Group Inc		(1,195,897	)
	(18,500	)	Shiseido Co Ltd		(840,109	)
	(155,900	)	SoftBank Corp		(1,661,311	)
	(24,800	)	Tobu Railway Co Ltd		(648,752	)
	(71,800	)	Tokyu Corp		(927,239	)
	(1,100	)	West Japan Railway Co		(46,070	)
			Total Japan		(21,431,694	)
			Netherlands — (0.5)%
	(1,236	)	Adyen NV *		(2,024,371	)
	(6,120	)	IMCD NV		(922,514	)
	(44,405	)	Just Eat Takeaway.com NV *		(671,590	)
	(76,335	)	Universal Music Group NV		(1,514,261	)
			Total Netherlands		(5,132,736	)
			New Zealand — (0.2)%
	(26,986	)	Xero Ltd *		(1,926,613	)
			Peru — (0.1)%
	(22,520	)	Southern Copper Corp		(1,503,660	)
			Russia — (0.0)%
	(1,138	)	Magnit PJSC * (e)		(597	)
			Singapore — (0.2)%
	(306,496	)	Grab Holdings Ltd – Class A *		(913,358	)
	(2,475,800	)	Sembcorp Marine Ltd *		(224,953	)
	(115,500	)	Singapore Exchange Ltd		(792,044	)
			Total Singapore		(1,930,355	)
			Spain — (0.3)%
	(391	)	Aena SME SA *		(61,351	)
	(45,420	)	Cellnex Telecom SA		(1,840,666	)
	(57,715	)	Ferrovial SA		(1,790,754	)
			Total Spain		(3,692,771	)
			Sweden — (0.1)%
	(10,291	)	Evolution AB		(1,358,499	)
			Switzerland — (0.2)%
	(3	)	Chocoladefabriken Lindt & Spruengli AG		(35,950	)
	(2	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(242,033	)
	(1,021	)	Partners Group Holding AG		(923,022	)

Shares			Description	Value ($)
			Switzerland — continued
	(8,378	)	Straumann Holding AG (Registered)		(1,230,885	)
			Total Switzerland		(2,431,890	)
			United Kingdom — (1.0)%
	(10,994	)	Admiral Group Plc		(318,461	)
	(168,597	)	Auto Trader Group Plc		(1,323,152	)
	(10,923	)	Halma Plc		(327,828	)
	(85,730	)	Hargreaves Lansdown Plc		(855,928	)
	(204,143	)	Informa Plc		(1,772,375	)
	(23,006	)	InterContinental Hotels Group Plc		(1,513,810	)
	(18,544	)	London Stock Exchange Group Plc		(1,976,875	)
	(4,042	)	Prudential Plc		(53,111	)
	(981,694	)	Rolls-Royce Holdings Plc *		(1,753,802	)
	(2,043	)	Severn Trent Plc		(70,579	)
	(3,857	)	Spirax-Sarco Engineering Plc		(525,735	)
			Total United Kingdom		(10,491,656	)
			United States — (10.0)%
	(67,600	)	AES Corp. (The)		(1,334,424	)
	(9,068	)	Alnylam Pharmaceuticals, Inc. *		(1,677,671	)
	(35,928	)	Altria Group, Inc.		(1,595,922	)
	(5,100	)	American Tower Corp. (REIT)		(940,644	)
	(21,676	)	Ares Management Corp. – Class A		(1,887,763	)
	(9,000	)	Arthur J Gallagher & Co.		(1,802,970	)
	(1,778	)	Axon Enterprise, Inc. *		(342,994	)
	(18,196	)	Bills Holdings, Inc. *		(1,884,742	)
	(17,302	)	Bio-Techne Corp.		(1,415,131	)
	(9,500	)	Boeing Co. (The) *		(1,954,150	)
	(2,150	)	Broadcom, Inc.		(1,737,114	)
	(8,100	)	Burlington Stores, Inc. *		(1,218,726	)
	(38,700	)	Caesars Entertainment, Inc. *		(1,587,087	)
	(25,100	)	Ceridian HCM Holding, Inc. *		(1,552,435	)
	(935	)	Chipotle Mexican Grill, Inc. – Class A *		(1,941,518	)
	(39,838	)	Clarivate Plc *		(310,736	)
	(29,900	)	Cloudflare, Inc. – Class A *		(2,067,884	)
	(2,900	)	Crown Castle, Inc. (REIT)		(328,309	)
	(15,000	)	Dexcom, Inc. *		(1,758,900	)
	(12,300	)	Equity LifeStyle Properties, Inc. (REIT)		(776,991	)
	(500	)	Erie Indemnity Co. – Class A		(107,050	)
	(10,783	)	Essential Utilities, Inc.		(439,299	)
	(26,300	)	Exact Sciences Corp. *		(2,145,554	)
	(14,837	)	Fastenal Co.		(798,972	)
	(23,342	)	Fortinet, Inc. *		(1,594,959	)
	(5,200	)	Gartner, Inc. *		(1,782,872	)
	(10,905	)	Hess Corp.		(1,381,336	)
	(4,219	)	HubSpot, Inc. *		(2,185,400	)
	(3,070	)	IDEXX Laboratories, Inc. *		(1,426,844	)
	(8,216	)	Ingersoll Rand, Inc.		(465,519	)
	(6,000	)	Insulet Corp. *		(1,645,500	)
	(7,800	)	IQVIA Holdings, Inc. *		(1,535,898	)
	(17,300	)	Iron Mountain, Inc. (REIT)		(924,166	)
	(16,505	)	Lamb Weston Holdings, Inc.		(1,835,356	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(24,900	)	Liberty Media Corp.-Liberty Formula One – Class C *		(1,752,960	)
	(5,400	)	Linde Plc		(1,909,764	)
	(23,500	)	Live Nation Entertainment, Inc. *		(1,878,590	)
	(5,100	)	MarketAxess Holdings, Inc.		(1,389,291	)
	(4,300	)	Mastercard, Inc. – Class A		(1,569,586	)
	(7,519	)	MongoDB, Inc. – Class A *		(2,209,007	)
	(1,427	)	Monolithic Power Systems, Inc.		(699,102	)
	(2,500	)	Moody’s Corp.		(792,200	)
	(328	)	Motorola Solutions, Inc.		(92,470	)
	(3,600	)	MSCI, Inc. – Class A		(1,693,908	)
	(40,526	)	Newmont Corp.		(1,643,329	)
	(56,200	)	NiSource, Inc.		(1,511,218	)
	(23,235	)	Novocure Ltd. *		(1,668,505	)
	(22,906	)	Okta, Inc. *		(2,082,155	)
	(25,000	)	ONEOK, Inc.		(1,416,500	)
	(137,300	)	Palantir Technologies, Inc. – Class A *		(2,019,683	)
	(15,900	)	Paychex, Inc.		(1,668,387	)
	(600	)	Paylocity Holding Corp. *		(103,650	)
	(17,000	)	Philip Morris International, Inc.		(1,530,170	)
	(990	)	PTC, Inc. *		(133,056	)
	(100	)	Repligen Corp. *		(16,792	)
	(43,200	)	ROBLOX Corp. – Class A *		(1,808,352	)
	(21,800	)	Roku, Inc. *		(1,268,760	)
	(42,232	)	Rollins, Inc.		(1,660,562	)
	(23,798	)	Royal Caribbean Cruises Ltd. *		(1,926,924	)
	(4,100	)	ServiceNow, Inc. *		(2,233,598	)
	(4,189	)	Sherwin-Williams Co. (The)		(954,170	)
	(6,500	)	Simon Property Group, Inc. (REIT)		(683,475	)
	(8,400	)	Snowflake, Inc. – Class A *		(1,389,024	)
	(16,500	)	Starbucks Corp.		(1,611,060	)

Shares			Description	Value ($)
			United States — continued
	(159	)	Sysco Corp.		(11,122	)
	(10,371	)	Tesla, Inc. *		(2,114,958	)
	(79,203	)	Toast, Inc. – Class A *		(1,660,887	)
	(24,200	)	Trade Desk, Inc. (The) – Class A *		(1,695,936	)
	(2,400	)	TransDigm Group, Inc.		(1,856,760	)
	(15,566	)	Twilio, Inc. – Class A *		(1,083,705	)
	(50,530	)	Uber Technologies, Inc. *		(1,916,603	)
	(15,558	)	UDR, Inc. (REIT)		(617,186	)
	(5,800	)	Vail Resorts, Inc.		(1,410,560	)
	(58,300	)	Williams Cos., Inc. (The)		(1,670,878	)
	(33,949	)	Wolfspeed, Inc. *		(1,630,910	)
	(14,956	)	Zillow Group, Inc. – Class C *		(682,143	)
	(15,800	)	Zscaler, Inc. *		(2,140,584	)
			Total United States		(106,193,316	)
			TOTAL COMMON STOCKS (PROCEEDS $193,947,957)		(198,994,234	)
			PREFERRED STOCKS (g) — (0.1)%
			Germany — (0.1)%
	(3,472	)	Sartorius AG		(1,165,274	)
			TOTAL PREFERRED STOCKS (PROCEEDS $1,403,395)		(1,165,274	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $195,351,352)		(200,159,508	)
			Other Assets and Liabilities (net) — (1.2%)		(12,514,657	)
			TOTAL NET ASSETS — 100.0%		$1,059,910,928

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 May 31, 2023
Alrosa PJSC	12/06/17	$	4,239,436	0.0%	$	24,483
Magnitogorsk Iron & Steel Works PJSC	09/08/17		1,550,653	0.0%		9,288
PhosAgro PJSC GDR	12/03/20		1,365	0.0%		21
Polyus PJSC	07/22/20		2,148,976	0.0%		13,324
Polyus PJSC GDR (Registered)	07/22/20		0	0.0%		1
Sberbank of Russia PJSC	09/09/20		12,774,954	0.0%		110,799
Sberbank of Russia PJSC	01/10/22		77,024	0.0%		615
Severstal PAO	02/02/21		7,249	0.0%		53
Severstal PJSC GDR (Registered)	03/16/20		1,679,360	0.0%		11,518
					$	170,102

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/08/2023	SSB	AUD	3,840,000		USD	2,565,245		61,350
08/08/2023	JPM	AUD	830,000		USD	556,670		15,464
08/08/2023	BOA	AUD	310,000		USD	203,184		1,046
06/30/2023	BCLY	CAD	1,850,000		USD	1,377,093		13,335
06/30/2023	BOA	CAD	340,000		USD	252,979		2,342
07/12/2023	MSCI	CHF	3,572,004		USD	4,045,222		105,221
08/15/2023	BCLY	CHF	896,768		USD	1,013,000		20,190
08/15/2023	JPM	CHF	140,000		USD	157,036		2,042
07/10/2023	MSCI	CLP	280,000,000		USD	347,705		3,837
07/17/2023	SSB	CZK	4,505,948		USD	212,750		10,106
07/17/2023	GS	CZK	1,400,000		USD	65,053		2,091
07/17/2023	MSCI	CZK	1,200,000		USD	56,214		2,247
07/17/2023	CITI	CZK	1,400,000		USD	64,410		1,448
07/31/2023	JPM	EUR	1,760,000		USD	1,947,213		59,655
07/18/2023	JPM	GBP	190,000		USD	240,396		3,828
07/18/2023	SSB	GBP	120,000		USD	151,499		2,088
08/14/2023	JPM	HUF	10,872,684		USD	31,433		673
08/30/2023	CITI	ILS	233,563		USD	63,170		296
06/20/2023	BCLY	JPY	44,000,000		USD	318,086		1,407
08/30/2023	JPM	NZD	850,000		USD	515,100		3,358
08/30/2023	MSCI	NZD	900,000		USD	544,428		2,584
06/05/2023	JPM	PEN	200,000		USD	54,474		17
06/27/2023	JPM	PHP	20,000,000		USD	359,325		4,434
08/22/2023	MSCI	PLN	2,000,000		USD	472,708		2,487
06/27/2023	MSCI	RON	1,484,153		USD	330,157		10,865
06/27/2023	GS	RON	350,000		USD	75,700		403
07/10/2023	BCLY	SEK	8,100,000		USD	792,564		44,601
07/10/2023	BOA	SEK	1,093,154		USD	106,949		6,006
07/10/2023	JPM	SEK	6,800,000		USD	672,574		44,655
08/22/2023	JPM	SGD	361,598		USD	269,399		1,214
06/06/2023	MSCI	TWD	31,326,001		USD	1,029,776		10,261
08/30/2023	JPM	TWD	17,826,001		USD	585,323		257
08/02/2023	MSCI	USD	518,300		BRL	2,673,234		2,961
06/30/2023	BOA	USD	249,804		CAD	340,000		832
06/30/2023	JPM	USD	1,498,306		CAD	2,040,000		5,514
08/15/2023	BOA	USD	121,505		CHF	110,000		276
07/10/2023	MSCI	USD	593,130		CLP	484,112,500		1,411
07/10/2023	MSCI	USD	77,990		COP	360,000,000		2,155
07/10/2023	JPM	USD	105,746		COP	480,000,000		1,113
08/14/2023	MSCI	USD	42,304		HUF	15,000,000		133
08/04/2023	MSCI	USD	158,692		KRW	210,000,000		638
07/18/2023	MSCI	USD	563,496		MXN	10,370,191		17,202
06/05/2023	MSCI	USD	129,143		PEN	480,000		1,551
08/31/2023	JPM	USD	54,127		PEN	200,000		14
06/27/2023	JPM	USD	88,721		PHP	5,000,000		2
08/22/2023	GS	USD	82,106		PLN	350,000		183
08/22/2023	JPM	USD	59,229		SGD	80,000		104
08/30/2023	GS	USD	60,188		ZAR	1,200,000		132
08/30/2023	BOA	ZAR	400,000		USD	20,166		60
08/08/2023	JPM	AUD	430,000		USD	278,908		(1,477	)
06/30/2023	BCLY	CAD	730,000		USD	537,769		(362	)
06/30/2023	BOA	CAD	600,000		USD	441,789		(510	)
07/10/2023	MSCI	COP	338,044,600		USD	72,002		(3,254	)
08/04/2023	MSCI	IDR	1,200,000,000		USD	79,852		(92	)
08/18/2023	MSCI	INR	4,000,000		USD	48,161		(48	)
08/04/2023	MSCI	KRW	697,005,899		USD	523,087		(5,743	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/30/2023	MSCI	NZD	770,000		USD	461,449		(2,128	)
06/05/2023	JPM	PEN	280,000		USD	75,604		(634	)
08/31/2023	MSCI	PEN	200,000		USD	53,967		(174	)
08/08/2023	JPM	USD	1,089,811		AUD	1,600,000		(46,521	)
08/02/2023	CITI	USD	48,868		BRL	250,000		(120	)
06/30/2023	BCLY	USD	1,086,869		CAD	1,459,172		(11,217	)
06/30/2023	GS	USD	845,482		CAD	1,130,000		(12,485	)
06/30/2023	JPM	USD	1,101,279		CAD	1,470,000		(17,644	)
08/15/2023	JPM	USD	629,755		CHF	565,000		(4,244	)
07/10/2023	JPM	USD	179,654		COP	800,000,000		(1,556	)
07/31/2023	BCLY	USD	3,798,765		EUR	3,420,000		(130,897	)
07/18/2023	SSB	USD	3,070,312		GBP	2,460,000		(7,381	)
07/18/2023	BOA	USD	224,438		GBP	180,000		(321	)
07/18/2023	JPM	USD	563,756		GBP	450,000		(3,464	)
08/04/2023	MSCI	USD	31,121		IDR	459,337,000		(520	)
08/18/2023	BCLY	USD	96,277		INR	7,950,616		(453	)
06/20/2023	BOA	USD	2,994,365		JPY	405,151,183		(78,390	)
07/17/2023	BCLY	USD	2,765,985		NOK	28,690,448		(175,792	)
07/17/2023	SSB	USD	249,603		NOK	2,600,000		(14,874	)
06/27/2023	CITI	USD	72,166		PHP	4,000,000		(1,188	)
06/27/2023	BCLY	USD	62,251		PHP	3,500,000		(145	)
08/22/2023	GS	USD	59,722		PLN	250,000		(945	)
08/22/2023	SSB	USD	47,317		PLN	200,000		(295	)
07/10/2023	BOA	USD	262,132		SEK	2,800,000		(3,577	)
08/22/2023	BCLY	USD	353,546		THB	12,060,975		(4,139	)
06/06/2023	CITI	USD	447,291		TWD	13,500,000		(7,929	)
06/06/2023	JPM	USD	580,368		TWD	17,826,001		(215	)
							$	(64,645	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
196	U.S. Treasury Note 10 Yr.
	(CBT)		September 2023		22,435,875		6,116
298	U.S. Treasury Note 5 Yr.
	(CBT)		September 2023		32,505,281		(57,439	)
				$	54,941,156	$	(51,323	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.98%	3 Month AUD BBSW	AUD	10,695,000		06/21/2025	Quarterly		(10,028	)		(14,555	)		(4,527	)
3.91%	3 Month AUD BBSW	AUD	6,000,000		06/21/2025	Quarterly		—			(2,994	)		(2,994	)
3.65%	3 Month AUD BBSW	AUD	3,000,000		06/21/2025	Quarterly		—			8,306			8,306
3 Month AUD BBSW	3.65%	AUD	4,000,000		06/21/2025	Quarterly		—			(10,850	)		(10,850	)
CHF - SARON - OIS - COMPOUND	1.75%	CHF	2,500,000		06/21/2025	Annually		—			(715	)		(715	)
CHF -  SARON - OIS - COMPOUND	1.88%	CHF	3,000,000		06/21/2025	Annually		—			7,687			7,687
1.85%	CHF - SARON - OIS - COMPOUND	CHF	1,500,000		06/21/2025	Annually		—			(2,784	)		(2,784	)
EUR - EuroSTR - COMPOUND	3.36%	EUR	2,500,000		06/21/2025	Annually		—			8,292			8,292
EUR - EuroSTR - COMPOUND	3.61%	EUR	1,500,000		06/21/2025	Annually		—			12,929			12,929
EUR - EuroSTR - COMPOUND	3.67%	EUR	2,534,000		06/21/2025	Annually		(1,631	)		24,486			26,117
3.01%	EUR - EuroSTR - COMPOUND	EUR	3,000,000		06/21/2025	Annually		—			11,476			11,476
3.22%	EUR - EuroSTR - COMPOUND	EUR	2,000,000		06/21/2025	Annually		—			(825	)		(825	)
3.36%	EUR - EuroSTR - COMPOUND	EUR	2,000,000		06/21/2025	Annually		—			(6,778	)		(6,778	)
3.10%	EUR - EuroSTR - COMPOUND	EUR	3,000,000		06/21/2025	Annually		1,576			6,322			4,746
3.13%	EUR - EuroSTR - COMPOUND	EUR	2,000,000		06/21/2025	Annually		—			2,855			2,855
GBP - SONIA - COMPOUND	4.08%	GBP	1,500,000		06/21/2025	Annually		—			(33,616	)		(33,616	)
GBP - SONIA - COMPOUND	4.28%	GBP	2,500,000		06/21/2025	Annually		—			(44,583	)		(44,583	)
GBP - SONIA - COMPOUND	4.39%	GBP	2,500,000		06/21/2025	Annually		—			(38,197	)		(38,197	)
4.18%	GBP - SONIA - COMPOUND	GBP	2,000,000		06/21/2025	Annually		—			40,267			40,267
5.22%	GBP - SONIA - COMPOUND	GBP	1,500,000		06/21/2025	Annually		—			(5,760	)		(5,760	)
4.80%	3 Month NZD Bank Bill Rate	NZD	3,500,000		06/21/2025	Quarterly		—			14,342			14,342
5.00%	3 Month NZD Bank Bill Rate	NZD	4,500,000		06/21/2025	Quarterly		—			8,055			8,055
3.46%	3 Month SEK STIBOR	SEK	30,000,000		06/21/2025	Quarterly		—			7,557			7,557
3.44%	3 Month SEK STIBOR	SEK	15,000,000		06/21/2025	Quarterly		1,055			4,294			3,239
3 Month SEK STIBOR	3.37%	SEK	10,000,000		06/21/2025	Quarterly		—			(4,063	)		(4,063	)
3 Month SEK STIBOR	3.47%	SEK	15,000,000		06/21/2025	Quarterly		—			(3,502	)		(3,502	)
3 Month SEK STIBOR	3.48%	SEK	40,000,000		06/21/2025	Quarterly		—			(8,708	)		(8,708	)
3 Month SEK STIBOR	3.86%	SEK	90,378,000		06/21/2025	Quarterly		(4,345	)		40,643			44,988
3.73%	USD - SOFR - COMPOUND	USD	3,000,000		06/21/2025	Annually		—			28,589			28,589
3.86%	USD - SOFR - COMPOUND	USD	1,000,000		06/21/2025	Annually		—			7,070			7,070
4.30%	USD - SOFR - COMPOUND	USD	2,000,000		06/21/2025	Annually		—			(2,648	)		(2,648	)
CAD - CORRA - OIS - COMPOUND	4.18%	CAD	6,859,000		09/20/2025	Annually		(5,815	)		4,021			9,836
6 Month AUD BBSW	3.77%	AUD	11,040,000		06/21/2033	Semi-Annually		12,867			(191,460	)		(204,327	)
6 Month AUD BBSW	3.94%	AUD	700,000		06/21/2033	Semi-Annually		—			(5,707	)		(5,707	)
6 Month AUD BBSW	4.07%	AUD	800,000		06/21/2033	Semi-Annually		—			(790	)		(790	)
6 Month AUD BBSW	4.09%	AUD	800,000		06/21/2033	Semi-Annually		—			(300	)		(300	)
6 Month AUD BBSW	4.16%	AUD	1,400,000		06/21/2033	Semi-Annually		—			5,069			5,069
6 Month AUD BBSW	4.29%	AUD	2,382,000		06/21/2033	Semi-Annually		8,725			24,817			16,092
3.91%	6 Month AUD BBSW	AUD	1,000,000		06/21/2033	Semi-Annually		—			9,805			9,805
4.02%	6 Month AUD BBSW	AUD	900,000		06/21/2033	Semi-Annually		—			3,310			3,310
CHF - SARON - OIS - COMPOUND	1.94%	CHF	550,000		06/21/2033	Annually		—			8,296			8,296
CHF - SARON - OIS - COMPOUND	1.95%	CHF	550,000		06/21/2033	Annually		—			8,713			8,713
CHF - SARON - OIS - COMPOUND	1.95%	CHF	300,000		06/21/2033	Annually		—			4,601			4,601
CHF - SARON - OIS - COMPOUND	1.98%	CHF	7,136,000		06/21/2033	Annually		130			133,621			133,491
CHF - SARON - OIS - COMPOUND	2.01%	CHF	700,000		06/21/2033	Annually		—			14,878			14,878
CHF - SARON - OIS - COMPOUND	2.03%	CHF	800,000		06/21/2033	Annually		—			19,027			19,027
1.94%	CHF - SARON - OIS - COMPOUND	CHF	1,400,000		06/21/2033	Annually		—			(19,841	)		(19,841	)
1.77%	CHF - SARON - OIS - COMPOUND	CHF	2,700,000		06/21/2033	Annually		—			6,804			6,804
1.95%	CHF - SARON - OIS - COMPOUND	CHF	600,000		06/21/2033	Annually		—			(9,110	)		(9,110	)
1.84%	CHF - SARON - OIS - COMPOUND	CHF	500,000		06/21/2033	Annually		—			(2,230	)		(2,230	)
1.95%	CHF - SARON - OIS - COMPOUND	CHF	500,000		06/21/2033	Annually		—			(7,946	)		(7,946	)
1.82%	CHF - SARON - OIS - COMPOUND	CHF	700,000		06/21/2033	Annually		—			(1,564	)		(1,564	)
EUR - EuroSTR - COMPOUND	2.71%	EUR	600,000		06/21/2033	Annually		—			(848	)		(848	)
EUR - EuroSTR - COMPOUND	2.74%	EUR	600,000		06/21/2033	Annually		(942	)		1,077			2,019
EUR - EuroSTR - COMPOUND	2.75%	EUR	400,000		06/21/2033	Annually		—			964			964
EUR - EuroSTR - COMPOUND	2.80%	EUR	600,000		06/21/2033	Annually		—			4,301			4,301
EUR - EuroSTR - COMPOUND	2.91%	EUR	500,000		06/21/2033	Annually		—			8,784			8,784

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (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) ($)
3.04%	EUR - EuroSTR - COMPOUND	EUR	400,000		06/21/2033	Annually		—			(11,692	)		(11,692	)
2.97%	EUR - EuroSTR - COMPOUND	EUR	517,000		06/21/2033	Annually		(525	)		(11,808	)		(11,283	)
2.74%	EUR - EuroSTR - COMPOUND	EUR	619,000		06/21/2033	Annually		161			(597	)		(758	)
2.75%	EUR - EuroSTR - COMPOUND	EUR	800,000		06/21/2033	Annually		1,025			(1,854	)		(2,879	)
2.91%	EUR - EuroSTR - COMPOUND	EUR	800,000		06/21/2033	Annually		—			(13,794	)		(13,794	)
2.89%	EUR - EuroSTR - COMPOUND	EUR	500,000		06/21/2033	Annually		—			(7,782	)		(7,782	)
2.74%	EUR - EuroSTR - COMPOUND	EUR	800,000		06/21/2033	Annually		—			(734	)		(734	)
GBP - SONIA - COMPOUND	3.44%	GBP	500,000		06/21/2033	Annually		—			(32,603	)		(32,603	)
GBP - SONIA - COMPOUND	3.77%	GBP	1,600,000		06/21/2033	Annually		—			(52,042	)		(52,042	)
GBP - SONIA - COMPOUND	4.11%	GBP	800,000		06/21/2033	Annually		—			1,034			1,034
GBP - SONIA - COMPOUND	4.27%	GBP	300,000		06/21/2033	Annually		—			5,000			5,000
3.34%	GBP - SONIA - COMPOUND	GBP	300,000		06/21/2033	Annually		—			22,537			22,537
3.58%	GBP - SONIA - COMPOUND	GBP	500,000		06/21/2033	Annually		—			25,958			25,958
3.67%	GBP - SONIA - COMPOUND	GBP	600,000		06/21/2033	Annually		—			25,645			25,645
3.66%	GBP - SONIA - COMPOUND	GBP	600,000		06/21/2033	Annually		—			26,240			26,240
4.64%	3 Month NZD Bank Bill Rate	NZD	3,417,000		06/21/2033	Quarterly		(7,511	)		(53,008	)		(45,497	)
4.07%	3 Month NZD Bank Bill Rate	NZD	520,000		06/21/2033	Quarterly		455			6,367			5,912
4.07%	3 Month NZD Bank Bill Rate	NZD	380,000		06/21/2033	Quarterly		—			4,745			4,745
4.35%	3 Month NZD Bank Bill Rate	NZD	1,250,000		06/21/2033	Quarterly		—			(1,563	)		(1,563	)
4.38%	3 Month NZD Bank Bill Rate	NZD	1,450,000		06/21/2033	Quarterly		—			(4,105	)		(4,105	)
3 Month NZD Bank Bill Rate	4.08%	NZD	900,000		06/21/2033	Quarterly		(309	)		(10,555	)		(10,246	)
3 Month NZD Bank Bill Rate	4.24%	NZD	1,100,000		06/21/2033	Quarterly		—			(4,642	)		(4,642	)
3 Month NZD Bank Bill Rate	4.28%	NZD	2,100,000		06/21/2033	Quarterly		—			(4,777	)		(4,777	)
3 Month SEK STIBOR	2.82%	SEK	4,000,000		06/21/2033	Quarterly		—			(3,015	)		(3,015	)
3 Month SEK STIBOR	2.83%	SEK	37,000,000		06/21/2033	Quarterly		—			(24,232	)		(24,232	)
3 Month SEK STIBOR	2.84%	SEK	7,000,000		06/21/2033	Quarterly		—			(4,004	)		(4,004	)
3 Month SEK STIBOR	2.84%	SEK	3,000,000		06/21/2033	Quarterly		(309	)		(1,830	)		(1,521	)
3.14%	3 Month SEK STIBOR	SEK	75,122,000		06/21/2033	Quarterly		(1,412	)		(135,070	)		(133,658	)
2.83%	3 Month SEK STIBOR	SEK	9,000,000		06/21/2033	Quarterly		—			6,108			6,108
2.81%	3 Month SEK STIBOR	SEK	13,000,000		06/21/2033	Quarterly		—			10,311			10,311
2.80%	3 Month SEK STIBOR	SEK	12,000,000		06/21/2033	Quarterly		—			10,419			10,419
2.83%	3 Month SEK STIBOR	SEK	3,000,000		06/21/2033	Quarterly		—			1,965			1,965
2.88%	3 Month SEK STIBOR	SEK	4,000,000		06/21/2033	Quarterly		—			1,055			1,055
2.83%	3 Month SEK STIBOR	SEK	7,000,000		06/21/2033	Quarterly		1,213			4,557			3,344
2.80%	3 Month SEK STIBOR	SEK	8,000,000		06/21/2033	Quarterly		—			7,104			7,104
2.86%	3 Month SEK STIBOR	SEK	9,000,000		06/21/2033	Quarterly		—			4,081			4,081
2.98%	3 Month SEK STIBOR	SEK	7,000,000		06/21/2033	Quarterly		—			(3,738	)		(3,738	)
USD - SOFR - COMPOUND	3.13%	USD	700,000		06/21/2033	Annually		—			(13,578	)		(13,578	)
USD - SOFR - COMPOUND	3.20%	USD	200,000		06/21/2033	Annually		—			(2,654	)		(2,654	)
USD - SOFR - COMPOUND	3.21%	USD	1,200,000		06/21/2033	Annually		—			(14,964	)		(14,964	)
USD - SOFR - COMPOUND	3.47%	USD	500,000		06/21/2033	Annually		—			4,429			4,429
3.12%	USD - SOFR - COMPOUND	USD	2,962,000		06/21/2033	Annually		5,504			59,148			53,644
3.48%	USD - SOFR - COMPOUND	USD	800,000		06/21/2033	Annually		—			(7,792	)		(7,792	)
3.40%	USD - SOFR - COMPOUND	USD	800,000		06/21/2033	Annually		—			(2,385	)		(2,385	)
3.38%	CAD - CORRA - OIS - COMPOUND	CAD	1,644,000		09/20/2033	Annually		(1,570	)		(11,313	)		(9,743	)
							$	(1,686	)	$	(138,544	)	$	(136,858	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (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 (j)	1 Month Federal Funds Rate minus 0.40%	GS		USD	5,153,553		06/24/2024		Monthly		—		98,577		98,577
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	11,061,600		06/18/2024		Monthly		—		263,175		263,175
										$	—	$	361,752	$	361,752

As of May 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

(d) Investment valued using significant unobservable inputs.

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

(f) The security is restricted as to resale.

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

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

(i) The rate disclosed is the 7 day net yield as of May 31, 2023.

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

(k) The following table represents the individual long and/or short positions within the custom equity basket swap as of May 31, 2023:

Shares		Description	% of Equity Basket			Value ($)
	(786,000)	Air China Ltd – Class H		5.5	%		(597,431	)
	(146,000)	Alibaba Health Information Technology Ltd		0.8	%		(86,660	)
	(504,000)	China Molybdenum Co Ltd – Class H		2.4	%		(263,557	)
	(106,000)	China Southern Airlines Co Ltd – Class H		0.6	%		(61,047	)
	(1,692)	Elisa Oyj		0.9	%		(94,778	)
	(318,000)	Genscript Biotech Corp		6.5	%		(705,088	)
	(842,700)	Gulf Energy Development Pcl NVDR		10.9	%		(1,178,977	)
	(2,386)	Hanmi Pharm Co Ltd		4.9	%		(525,024	)
	(17,761)	Hotel Shilla Co Ltd		9.6	%		(1,033,033	)
	(8,341)	Kakao Corp		3.3	%		(352,926	)
	(584,000)	Kingdee International Software Group Co Ltd		7.2	%		(776,362	)
	(38,839)	Korea Aerospace Industries Ltd		13.9	%		(1,506,239	)
	(83,100)	Microport Scientific Corp		1.3	%		(142,947	)
	18,434	Nokia Oyj		(0.7	%)		74,573
	(1,695)	POSCO Chemical Co Ltd		4.1	%		(446,426	)
	(21,900)	Rede D’Or Sao Luiz SA		1.2	%		(125,185	)
	(2,625)	Samsung Biologics Co Ltd		14.3	%		(1,549,030	)
	(212,948)	Samsung Heavy Industries Co Ltd		9.1	%		(981,813	)
	22,989	Stora Enso Oyj – R Shares		(2.7	%)		291,645
	(7,549)	Yuhan Corp		3.1	%		(337,481	)
	(302,000)	Zijin Mining Group Co Ltd – Class H		3.8	%		(410,766	)
		TOTAL COMMON STOCKS				$	(10,808,552	)

The rates shown on variable rate notes are the current interest rates at May 31, 2023, which are subject to change based on the terms of the security.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

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

CORRA - Canadian Overnight Repo Rate Average

CVA - Certificaaten van aandelen (Share Certificates)

Euro STR - 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 - Brazilian Real

CAD - Canadian Dollar`

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippines Peso

PLN - Polish Zloty

RON - Romanian New Leu

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TWD - Taiwan New Dollar

USD - United States Dollar

ZAR - South African Rand

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.8%
		Affiliated Issuers — 99.8%
	2,575,818	GMO Alternative Allocation Fund, Class VI		46,107,147
	965,180	GMO Asset Allocation Bond Fund, Class VI		20,548,690
	592,803	GMO Emerging Country Debt Fund, Class VI		10,421,475
	1,750,681	GMO Emerging Markets ex-China Fund, Class VI		23,896,792
	1,199,709	GMO Emerging Markets Fund, Class VI		25,865,721
	410,552	GMO High Yield Fund, Class VI		6,967,070
	2,021,689	GMO International Equity Fund, Class IV		43,284,362
	1,278,196	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		16,539,850
	817,726	GMO-Usonian Japan Value Creation Fund, Class VI		14,441,050
	2,426,279	GMO Multi-Sector Fixed Income Fund, Class IV		41,101,159
	423,126	GMO Opportunistic Income Fund, Class VI		10,400,448
	471,523	GMO Quality Cyclicals Fund, Class VI		10,279,196
	402,976	GMO Quality Fund, Class VI		10,711,090
	481,464	GMO Small Cap Quality Fund, Class VI		10,423,697
	1,346,622	GMO U.S. Equity Fund, Class VI		16,778,908
	1,139,577	GMO U.S. Opportunistic Value Fund, Class VI		22,016,632
	410,809	GMO U.S. Small Cap Value Fund, Class VI		6,396,297
	1,630	GMO U.S. Treasury Fund		8,151
		TOTAL MUTUAL FUNDS (COST $387,008,789)		336,187,735
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	754,409	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (a)		754,409
		TOTAL SHORT-TERM INVESTMENTS (COST $754,409)		754,409
		TOTAL INVESTMENTS — 100.0% (Cost $387,763,198)		336,942,144
		Other Assets and Liabilities (net) — 0.0%		150,888
		TOTAL NET ASSETS — 100.0%		$337,093,032

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2023.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	390,430	GMO Emerging Markets ex-China Fund, Class VI		5,329,373
	953,629	GMO International Equity Fund, Class IV		20,417,193
	413,534	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		5,351,128
	157,276	GMO-Usonian Japan Value Creation Fund, Class VI		2,777,491
	175,205	GMO Quality Cyclicals Fund, Class VI		3,819,473
	398,516	GMO Quality Fund, Class VI		10,592,559
	173,366	GMO Small Cap Quality Fund, Class VI		3,753,361
	328,549	GMO U.S. Equity Fund, Class VI		4,093,723
	497,317	GMO U.S. Opportunistic Value Fund, Class VI		9,608,160
	105,382	GMO U.S. Small Cap Value Fund, Class VI		1,640,804
		TOTAL MUTUAL FUNDS (COST $69,133,177)		67,383,265
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	40,062	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (a)		40,062
		TOTAL SHORT-TERM INVESTMENTS (COST $40,062)		40,062
		TOTAL INVESTMENTS — 100.1% (Cost $69,173,239)		67,423,327
		Other Assets and Liabilities (net) — (0.1%)		(41,862	)
		TOTAL NET ASSETS — 100.0%		$67,381,465

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2023.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	4,429,433	GMO Emerging Markets ex-China Fund, Class VI		60,461,762
	3,249,784	GMO Emerging Markets Fund, Class VI		70,065,353
	6,494,171	GMO International Equity Fund, Class IV		139,040,201
	3,624,060	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		46,895,338
	1,373,412	GMO-Usonian Japan Value Creation Fund, Class VI		24,254,447
	1,308,330	GMO Quality Cyclicals Fund, Class VI		28,521,601
	2,899,196	GMO Quality Fund, Class VI		77,060,630
	1,353,383	GMO Small Cap Quality Fund, Class VI		29,300,735
	2,405,976	GMO U.S. Equity Fund, Class VI		29,978,461
	3,552,348	GMO U.S. Opportunistic Value Fund, Class VI		68,631,364
	1,036,974	GMO U.S. Small Cap Value Fund, Class VI		16,145,689
		TOTAL MUTUAL FUNDS (COST $692,194,779)		590,355,581
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	313,717	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (a)		313,717
		TOTAL SHORT-TERM INVESTMENTS (COST $313,717)		313,717
		TOTAL INVESTMENTS — 100.0% (Cost $692,508,496)		590,669,298
		Other Assets and Liabilities (net) — (0.0%)		(93,686	)
		TOTAL NET ASSETS — 100.0%		$590,575,612

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2023.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 83.3%
		Argentina — 0.0%
	144,585	Adecoagro SA		1,263,673
		Australia — 1.4%
	134,279	Accent Group Ltd		154,970
	591,817	Aurizon Holdings Ltd (a)		1,369,862
	96,471	Austal Ltd		123,674
	913,042	Beach Energy Ltd		824,626
	505,916	BlueScope Steel Ltd		6,101,418
	562,659	Brambles Ltd (a)		5,023,654
	12,359	Brickworks Ltd		205,949
	125,596	Coronado Global Resources Inc CDI		107,717
	349,737	Fortescue Metals Group Ltd (a)		4,379,220
	969,024	GPT Group (The) (REIT) (a)		2,639,609
	247,726	GrainCorp Ltd – Class A		1,228,802
	391,714	Grange Resources Ltd		133,788
	307,463	Helia Group Ltd		659,617
	66,858	HomeCo Daily Needs (REIT) (a)		51,907
	35,698	JB Hi-Fi Ltd (b)		988,367
	449,614	Jupiter Mines Ltd		61,415
	22,644	McMillan Shakespeare Ltd (a)		227,057
	91,479	Metcash Ltd (b)		210,974
	1,984,009	Mirvac Group (REIT) (a)		2,967,250
	142,179	Nufarm Ltd		503,546
	1,600,821	Origin Energy Ltd (a)		8,674,757
	556,495	Perenti Ltd *		425,630
	38,247	Regis Resources Ltd *		50,592
	81,013	Rio Tinto Ltd (a)		5,645,313
	1,133,073	Scentre Group (REIT) (a)		1,996,689
	79,010	Southern Cross Media Group Ltd		37,509
	1,000,924	Stockland (REIT) (a)		2,772,135
	154,510	Sunrise Energy Metals Ltd *		110,498
	90,735	Super Retail Group Ltd		672,791
	216	Viva Energy Group Ltd		445
	9,404	Woodside Energy Group Ltd		208,083
		Total Australia		48,557,864
		Austria — 0.1%
	5,909	Erste Group Bank AG		191,955
	79,182	OMV AG (b)		3,536,944
	2,197	Raiffeisen Bank International AG * (b)		32,305
	3,216	Strabag SE		131,413
	2,984	voestalpine AG		92,656
		Total Austria		3,985,273
		Belgium — 0.7%
	175,839	Ageas SA/NV		7,034,649
	17,725	AGFA-Gevaert NV *		46,571
	28,291	Bekaert SA		1,212,264
	3,217	Cie d’Entreprises CFE		34,671
	11,958	Econocom Group SA (a)		34,971
	2,850	Groupe Bruxelles Lambert NV (a)		219,920

Shares		Description	Value ($)
		Belgium — continued
	18,536	KBC Group NV		1,217,799
	2,021	Melexis NV		184,638
	1,544	Orange Belgium SA *		22,451
	216,631	Proximus SADP		1,681,440
	10,949	Sofina SA (b)		2,265,903
	41,966	Solvay SA		4,390,690
	31,029	Telenet Group Holding NV		662,334
	89,846	UCB SA		7,846,401
		Total Belgium		26,854,702
		Brazil — 0.8%
	262,200	Banco do Brasil SA		2,306,066
	171,100	BB Seguridade Participacoes SA		1,043,132
	53,900	Cia Brasileira de Aluminio		55,246
	12,200	Cia de Saneamento de Minas Gerais Copasa MG		47,951
	85,400	CPFL Energia SA		509,710
	31,000	EDP – Energias do Brasil SA		140,540
	337,535	Enauta Participacoes SA		849,609
	94,400	Itau Unibanco Holding SA		416,244
	374,900	JBS SA		1,241,464
	694,500	Petroleo Brasileiro SA Sponsored ADR		8,014,530
	93,826	Sao Martinho SA		668,931
	134,800	Ser Educacional SA *		102,031
	42,460	SLC Agricola SA		288,992
	158,600	Suzano SA		1,399,899
	48,900	Telefonica Brasil SA ADR (a)		387,288
	2,307,000	TIM SA		6,348,081
	21,100	TIM SA ADR		288,859
	71,700	Transmissora Alianca de Energia Eletrica SA		521,783
	122,100	Ultrapar Participacoes SA		407,457
	116,544	Vale SA		1,465,845
	85,300	Vale SA Sponsored ADR – Class B (a)		1,081,604
		Total Brazil		27,585,262
		Canada — 2.5%
	26,400	Algoma Steel Group Inc		180,667
	95,900	Alimentation Couche-Tard Inc (a)		4,643,467
	58,000	Anaergia Inc * (b)		33,753
	41,900	Birchcliff Energy Ltd (b)		236,430
	24,407	Brookfield Asset Management Ltd – Class A (a)		744,902
	104,873	Brookfield Corp – Class A (a)		3,150,385
	39,000	Calibre Mining Corp *		44,530
	1,020,396	Canaccord Genuity Group Inc		7,178,477
	34,220	Canadian Solar Inc *		1,430,396
	48,100	Canadian Tire Corp Ltd – Class A		5,777,669
	56,000	Canfor Corp *		791,632
	124,200	Celestica Inc * (b) (c)		1,583,722
	43,900	Celestica Inc * (c)		558,847
	13,100	China Gold International Resources Corp Ltd		52,162

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	10,500	Cogeco Inc		415,050
	46,000	Crescent Point Energy Corp		290,260
	12,000	DREAM Unlimited Corp – Class A		183,514
	56,100	Dundee Precious Metals Inc		386,398
	43,366	Enerflex Ltd		242,466
	18,500	Enerplus Corp		255,670
	1,900	EQB Inc		92,362
	55,200	Finning International Inc		1,492,738
	111,000	First Quantum Minerals Ltd		2,325,481
	57,200	Hydro One Ltd (a)		1,630,253
	12,100	iA Financial Corp Inc		771,191
	30,525	Imperial Oil Ltd		1,386,751
	67,600	Interfor Corp *		988,479
	17,212	International Petroleum Corp * (b)		142,588
	545,300	Ivanhoe Mines Ltd – Class A *		3,992,841
	110,972	Largo Inc *		416,094
	133,500	Li-Cycle Holdings Corp * (a)		630,120
	61,900	Magna International Inc		2,994,911
	292,900	Manulife Financial Corp (a) (c)		5,426,471
	88,052	Manulife Financial Corp (a) (c)		1,630,723
	38,100	Martinrea International Inc		318,553
	22,500	Mullen Group Ltd (a)		258,729
	8,200	National Bank of Canada (b)		587,863
	63,742	Nutrien Ltd (a)		3,359,203
	154,000	OceanaGold Corp		334,659
	61,800	Onex Corp		2,798,413
	4,200	Parex Resources Inc		84,557
	600	Pet Valu Holdings Ltd		13,657
	169,900	Quebecor Inc – Class B		4,051,317
	724,783	Resolute Forest Products Inc * (d)		1,449,566
	41,900	Russel Metals Inc (b)		1,099,431
	21,600	Sleep Country Canada Holdings Inc		419,589
	28,061	Spartan Delta Corp		307,793
	600	Spin Master Corp		14,983
	12,800	Stella-Jones Inc		566,312
	12,697	Sun Life Financial Inc (a)		614,408
	205,800	Teck Resources Ltd – Class B * (c)		8,033,401
	118,430	Teck Resources Ltd – Class B (a) (c)		4,627,060
	17,400	Uni-Select Inc *		598,970
	53,100	Vermilion Energy Inc		577,197
	4,000	Wajax Corp		67,182
	69,200	West Fraser Timber Co Ltd (c)		4,669,917
	16,500	West Fraser Timber Co Ltd (c)		1,112,430
	27,600	Whitecap Resources Inc		188,880
		Total Canada		88,255,470
		Chile — 0.1%
	12,854	CAP SA		90,453
	806,395	Cencosud SA		1,523,181
	72,402	Cencosud Shopping SA		113,072
	11,800	Cia Cervecerias Unidas SA Sponsored ADR		175,820

Shares		Description	Value ($)
		Chile — continued
	5,675,807	Colbun SA		826,911
	86,442	Empresas CMPC SA		147,804
	2,067,697	Enel Chile SA		113,595
	639,834	Falabella SA		1,409,996
	62,938	Inversiones La Construccion SA		416,787
		Total Chile		4,817,619
		China — 3.2%
	282,000	361 Degrees International Ltd *		127,588
	1,436,000	3SBio Inc		1,454,596
	18,935,000	Agricultural Bank of China Ltd – Class H		7,135,519
	350,681	Alibaba Group Holding Ltd *		3,490,108
	1,471,000	BAIC Motor Corp Ltd – Class H		379,549
	8,232,000	Bank of China Ltd – Class H		3,222,477
	2,904,871	Bank of Communications Co Ltd – Class H		1,872,915
	338,000	Beijing Enterprises Holdings Ltd		1,306,113
	684,000	China BlueChemical Ltd – Class H		150,280
	7,401,000	China Cinda Asset Management Co Ltd – Class H		822,014
	1,972,000	China Communications Services Corp Ltd – Class H		937,846
	404,500	China Conch Venture Holdings Ltd		508,119
	12,753,000	China Construction Bank Corp – Class H		8,157,847
	1,741,000	China Dongxiang Group Co Ltd		64,487
	2,616,000	China Energy Engineering Corp Ltd – Class H		343,836
	2,111,000	China Everbright Environment Group Ltd		825,154
	3,659,000	China Greenfresh Group Co Ltd * (e)		—
	835,000	China High Speed Transmission Equipment Group Co Ltd *		279,315
	2,564,500	China Hongqiao Group Ltd		1,819,985
	544,000	China Lesso Group Holdings Ltd		359,697
	207,000	China Lilang Ltd		108,397
	825,925	China Medical System Holdings Ltd		1,162,803
	581,000	China Overseas Grand Oceans Group Ltd		260,421
	2,158,500	China Overseas Land & Investment Ltd		4,380,342
	13,838,000	China Petroleum & Chemical Corp – Class H		8,713,959
	7,450,000	China Railway Group Ltd – Class H		4,909,065
	468,000	China Railway Signal & Communication Corp Ltd – Class H		191,220
	2,139,000	China Reinsurance Group Corp – Class H		147,404
	2,863,000	China Resources Pharmaceutical Group Ltd		2,748,631
	138,000	China Shineway Pharmaceutical Group Ltd		151,679
	390,000	China South City Holdings Ltd * (b)		22,437
	1,324,000	China State Construction International Holdings Ltd		1,497,736
	1,246,000	China Traditional Chinese Medicine Holdings Co Ltd		599,240
	336,000	China Water Affairs Group Ltd		247,901
	4,237,600	China Zhongwang Holdings Ltd * (b) (e)		1
	4,575,158	CITIC Ltd		5,282,183
	717,000	CRRC Corp Ltd – Class H		443,992

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		China — continued
	4,576,000	CSPC Pharmaceutical Group Ltd		3,986,767
	2,910,313	Dongfeng Motor Group Co Ltd – Class H		1,260,321
	102,500	Fosun International Ltd		67,603
	798,000	Fufeng Group Ltd		435,508
	168,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		563,309
	1,200,200	Haier Smart Home Co Ltd – Class H		3,432,837
	193,000	Henan Shenhuo Coal & Power Co Ltd – Class A		347,872
	1,000	Hengan International Group Co Ltd		4,251
	79,000	Hisense Home Appliances Group Co Ltd – Class H		156,275
	235,300	Inner Mongolia ERDOS Resources Co Ltd – Class A		458,669
	350,788	Kingboard Holdings Ltd		945,172
	292,800	Legend Holdings Corp – Class H		282,582
	7,046,000	Lenovo Group Ltd		6,623,659
	90,400	Livzon Pharmaceutical Group Inc – Class H		321,498
	760,000	Lonking Holdings Ltd		111,700
	1,784,000	Metallurgical Corp of China Ltd – Class H		437,395
	55,000	NetDragon Websoft Holdings Ltd		99,294
	463,000	Nexteer Automotive Group Ltd		206,972
	10,014,000	PetroChina Co Ltd – Class H		6,472,941
	6,626,000	PICC Property & Casualty Co Ltd – Class H		7,904,227
	1,500	Ping An Insurance Group Co of China Ltd – Class H		9,519
	712,000	Poly Property Group Co Ltd		158,353
	98,000	Road King Infrastructure Ltd *		34,837
	851,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		1,697,807
	3,118,000	Shimao Group Holdings Ltd * (d)		1,759,996
	314,000	Shougang Fushan Resources Group Ltd		96,272
	1,787,500	Sino-Ocean Group Holding Ltd *		108,524
	720,000	Sinopec Engineering Group Co Ltd – Class H		305,102
	1,139,200	Sinopharm Group Co Ltd – Class H		3,734,372
	1,070,000	Sinotruk Hong Kong Ltd		1,515,826
	1,306,000	Skyworth Group Ltd		652,774
	50,000	SSY Group Ltd		30,785
	490,000	TCL Electronics Holdings Ltd *		200,948
	137,560	Tencent Holdings Ltd		5,443,843
	844,000	Tianjin Port Development Holdings Ltd		61,432
	650,000	Tianneng Power International Ltd (b)		747,276
	382,800	Western Mining Co Ltd – Class A		553,137
	493,600	Xinjiang Goldwind Science & Technology Co Ltd – Class H		358,094
	418,000	Yadea Group Holdings Ltd		833,062
		Total China		116,545,667
		Czech Republic — 0.0%
	173,851	Moneta Money Bank AS		620,702

Shares		Description	Value ($)
		Czech Republic — continued
	627	Philip Morris CR AS		476,771
		Total Czech Republic		1,097,473
		Denmark — 0.8%
	2,017	AP Moller – Maersk A/S – Class A (a)		3,393,115
	3,198	AP Moller – Maersk A/S – Class B (a)		5,382,193
	325,748	Danske Bank A/S *		6,643,380
	3,066	Demant A/S * (a)		116,723
	987	Genmab A/S *		388,539
	12,985	GN Store Nord A/S *		324,001
	142,145	H Lundbeck A/S		748,201
	17,159	ISS A/S (a)		326,334
	8,611	Matas A/S		101,024
	92,871	Pandora A/S		7,412,643
	4,644	Rockwool A/S – B Shares		1,109,464
	45,425	Vestas Wind Systems A/S *		1,293,822
		Total Denmark		27,239,439
		Egypt — 0.1%
	40,363	Abou Kir Fertilizers & Chemical Industries		61,878
	604,501	Commercial International Bank Egypt SAE		1,022,035
	737,030	Eastern Co SAE		454,678
	37,150	Misr Fertilizers Production Co SAE		194,850
		Total Egypt		1,733,441
		Finland — 0.6%
	44,085	Kemira Oyj		700,701
	6,961	Metsa Board Oyj – Class B		56,007
	80,200	Neste Oyj		3,030,063
	2,201,735	Nokia Oyj		8,906,956
	427,564	Outokumpu Oyj		2,340,496
	2,910	Sanoma Oyj		21,603
	155,750	Stora Enso Oyj – R Shares (a)		1,975,890
	196,922	UPM-Kymmene Oyj (a)		5,919,839
		Total Finland		22,951,555
		France — 3.7%
	56,808	ALD SA (a)		613,080
	30,328	APERAM SA		996,763
	240,906	ArcelorMittal SA		6,009,088
	33,245	Arkema SA		2,903,932
	191,967	AXA SA (a)		5,442,395
	1,542	Axway Software SA		34,822
	9,257	Beneteau SA		155,900
	145,290	BNP Paribas SA		8,446,906
	1,626	Boiron SA		65,905
	22,480	Bouygues SA		721,258
	764	Caisse Regionale de Credit Agricole Mutuel Nord de France		10,917
	160,895	Cie de Saint-Gobain (a)		8,935,219
	100,788	Cie Generale des Etablissements Michelin SCA		2,876,018

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		France — continued
	115,747	Coface SA		1,605,664
	24,214	Credit Agricole SA		278,351
	2,359	Eiffage SA		251,924
	14,368	Elis SA (a)		249,309
	5,153	Eramet SA		448,384
	989	HEXAOM		18,049
	41,309	Ipsen SA		4,789,506
	31,907	IPSOS		1,563,611
	5,574	Kering SA (a)		2,980,204
	6,513	LVMH Moet Hennessy Louis Vuitton SE (a)		5,694,497
	8,043	Mersen SA		306,544
	12,291	Metropole Television SA		169,977
	288,975	Orange SA (a)		3,451,313
	94,634	Publicis Groupe SA		7,028,263
	25,538	Quadient SA		469,064
	36,924	Renault SA		1,240,188
	67,514	Rexel SA *		1,385,978
	2,607	Rothschild & Co		128,858
	49,644	Safran SA (a)		7,210,527
	152,068	Sanofi		15,515,038
	7,503	SMCP SA *		58,856
	20,021	Societe BIC SA		1,195,471
	425,242	Societe Generale SA		9,899,832
	102,646	STMicroelectronics NV		4,458,942
	1,570	Synergie SE		53,012
	119,486	Technip Energies NV		2,371,647
	148,757	Television Francaise 1		1,034,303
	333,591	TotalEnergies SE (a) (c)		18,824,802
	2,651	TotalEnergies SE (c)		150,017
	20,800	Valeo		400,274
	53,063	Veolia Environnement SA (a)		1,566,585
	229,617	Vivendi SE		2,039,928
		Total France		134,051,121
		Germany — 1.6%
	19,265	1&1 AG		206,142
	14,457	Allianz SE (Registered) (a)		3,095,946
	369	Amadeus Fire AG (a)		47,446
	4,517	Aurubis AG		346,541
	58,879	BASF SE (a)		2,800,176
	116,190	Bayer AG (Registered)		6,484,601
	58,429	Bayerische Motoren Werke AG (a)		6,371,991
	33,094	Beiersdorf AG (a)		4,223,112
	8,430	Continental AG		562,682
	4,146	Deutsche Boerse AG		717,107
	57,983	Deutsche Post AG (Registered) (a)		2,614,675
	7,125	Deutz AG		42,434
	561	Draegerwerk AG & Co KGaA		23,250
	4,253	Elmos Semiconductor SE		298,687
	1,684	Evonik Industries AG *		33,824
	142,680	Fresenius SE & Co KGaA (a)		3,912,587

Shares		Description	Value ($)
		Germany — continued
	5,683	Hamburger Hafen und Logistik AG (a)		73,867
	14,779	Heidelberg Materials AG (a)		1,060,186
	19,737	Henkel AG & Co KGaA		1,418,014
	999	Hornbach Holding AG & Co KGaA		70,852
	8,329	HUGO BOSS AG		567,320
	101,423	Kloeckner & Co SE		965,137
	5,932	Krones AG		664,790
	181,016	Mercedes-Benz Group AG (a)		13,531,588
	23,890	Merck KGaA		4,172,675
	196,545	ProSiebenSat.1 Media SE *		1,597,823
	5,222	RTL Group SA		203,785
	17,972	Salzgitter AG		585,451
	1,928	Siltronic AG		166,114
	19,318	Suedzucker AG		332,480
	3,567	Talanx AG (a)		199,014
	2,102	Traton SE		42,407
	4,096	Volkswagen AG		619,861
	1,076	Wuestenrot & Wuerttembergische AG		18,204
		Total Germany		58,070,769
		Greece — 0.1%
	38,961	Jumbo SA		904,183
	48,517	Mytilineos SA		1,528,192
		Total Greece		2,432,375
		Hong Kong — 0.5%
	315,000	ASMPT Ltd		2,680,872
	83,000	Bank of East Asia Ltd (The)		103,933
	152,000	BOC Hong Kong Holdings Ltd		451,083
	71,000	Chow Sang Sang Holdings International Ltd		83,083
	904,000	CITIC Telecom International Holdings Ltd		338,367
	25,500	CK Asset Holdings Ltd (a)		137,449
	75,000	CK Hutchison Holdings Ltd		452,151
	1,170,000	CSI Properties Ltd		21,263
	190,400	Dah Sing Banking Group Ltd		139,960
	59,200	Dah Sing Financial Holdings Ltd		148,096
	500,000	E-Commodities Holdings Ltd		70,883
	402,000	First Pacific Co Ltd		150,444
	398,827	Galaxy Entertainment Group Ltd *		2,474,540
	254,000	Giordano International Ltd		65,243
	4,000	Hang Lung Group Ltd		5,958
	127,500	Health & Happiness H&H International Holdings Ltd		172,874
	666,000	HKT Trust & HKT Ltd – Class SS		851,053
	907,000	IGG Inc *		473,865
	211,500	Johnson Electric Holdings Ltd		259,141
	290,000	K Wah International Holdings Ltd		95,537
	45,000	Kerry Logistics Network Ltd		52,309
	191,500	Kerry Properties Ltd		418,171
	65,000	Luk Fook Holdings International Ltd		177,528
	221,000	NWS Holdings Ltd		182,202

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	518,000	Pacific Textiles Holdings Ltd		150,848
	264,000	PAX Global Technology Ltd		204,432
	636,000	Shun Tak Holdings Ltd *		95,938
	245,000	SITC International Holdings Co Ltd		425,616
	108,500	SmarTone Telecommunications Holdings Ltd		61,777
	105,000	Sun Hung Kai & Co Ltd		38,375
	308,000	Swire Pacific Ltd – Class A		2,056,470
	137,500	Texhong International Group Ltd		95,582
	414,000	VPower Group International Holdings Ltd – Class H *		19,807
	568,000	VSTECS Holdings Ltd		288,396
	103,600	VTech Holdings Ltd		622,101
	4,727,500	WH Group Ltd		2,471,502
	237,500	Yue Yuen Industrial Holdings Ltd		291,386
		Total Hong Kong		16,828,235
		Hungary — 0.2%
	275,623	MOL Hungarian Oil & Gas Plc		2,243,999
	158,683	OTP Bank Nyrt		4,947,186
	53,621	Richter Gedeon Nyrt		1,352,970
		Total Hungary		8,544,155
		India — 2.5%
	23,467	Apollo Tyres Ltd		110,374
	64,791	Arvind Ltd *		100,169
	8,944	AU Small Finance Bank Ltd		83,969
	27,188	Aurobindo Pharma Ltd		215,883
	2	Axis Bank Ltd		22
	23,171	Bandhan Bank Ltd *		74,494
	34,866	Bharat Electronics Ltd		47,238
	53,522	Castrol India Ltd		72,473
	36,021	Cipla Ltd		412,936
	39,687	City Union Bank Ltd		59,877
	67,849	Cochin Shipyard Ltd		406,388
	8,616	Colgate-Palmolive India Ltd		168,990
	26,216	Coromandel International Ltd		304,636
	7,819	Deepak Fertilisers & Petrochemicals Corp Ltd		50,652
	22,656	Dhampur Bio Organics Ltd *		42,673
	17,305	Dhampur Sugar Mills Ltd		52,100
	4,977	Dr Reddy’s Laboratories Ltd		271,576
	13,200	Dr Reddy’s Laboratories Ltd ADR		728,508
	6,542	EID Parry India Ltd		37,147
	98,781	Engineers India Ltd		131,823
	226,504	Exide Industries Ltd *		578,421
	47,932	Federal Bank Ltd		72,393
	4,876,040	GAIL India Ltd		6,169,535
	18,189	GHCL Ltd		106,511
	18,189	GHCL Textiles Ltd * (d)		3,155
	89,912	Glenmark Pharmaceuticals Ltd		648,173
	11,124	Godawari Power and Ispat Ltd		48,352

Shares		Description	Value ($)
		India — continued
	22,742	Great Eastern Shipping Co Ltd (The)		188,667
	16,377	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		116,415
	580,717	Gujarat State Fertilizers & Chemicals Ltd		1,101,159
	85,647	HCL Technologies Ltd		1,182,097
	279,123	HDFC Bank Ltd		5,421,231
	56,900	HDFC Bank Ltd ADR (a)		3,664,360
	377,326	Hindalco Industries Ltd		1,854,757
	27,950	Hindustan Aeronautics Ltd		1,054,591
	183,440	Hindustan Petroleum Corp Ltd		582,062
	58,692	Hindustan Zinc Ltd		217,379
	55,611	Housing Development Finance Corp Ltd		1,774,973
	380,816	Indiabulls Housing Finance Ltd *		528,421
	539,046	Indian Oil Corp Ltd		585,401
	449,150	Indus Towers Ltd *		844,799
	12,186	Infosys Ltd		193,648
	28,000	Infosys Ltd Sponsored ADR (a)		446,880
	65,175	IRCON International Ltd		64,261
	2,621,077	ITC Ltd		14,114,143
	184,607	Karnataka Bank Ltd (The)		336,494
	9,992	Mahanagar Gas Ltd		127,882
	117,299	Mahindra & Mahindra Ltd		1,863,797
	168,061	Manappuram Finance Ltd		223,352
	12,925	Muthoot Finance Ltd		173,849
	425,721	National Aluminium Co Ltd		430,519
	159,954	NBCC India Ltd		81,556
	100,936	NCC Ltd		145,168
	1,349,056	NMDC Ltd		1,741,748
	863,100	NMDC Steel Ltd *		462,970
	875,741	NTPC Ltd		1,823,880
	7,216,444	Oil & Natural Gas Corp Ltd		13,390,225
	232,713	Oil India Ltd		724,846
	3,674	Oracle Financial Services Software Ltd		160,367
	377,342	Petronet LNG Ltd		1,028,001
	3,861	PI Industries Ltd		169,315
	18,648	Piramal Enterprises Ltd		173,381
	1,494,207	Power Finance Corp Ltd		3,285,451
	15,520	Power Grid Corp of India Ltd		43,342
	97,251	PTC India Ltd		116,333
	45,714	Rajesh Exports Ltd		306,565
	7,571	RBL Bank Ltd *		14,750
	1,825,764	REC Ltd		3,117,279
	281,692	Redington Ltd		595,521
	26,751	Reliance Industries Ltd		796,625
	26,590	RITES Ltd		120,262
	3,116	Shriram Finance Ltd		52,667
	353,802	Sun Pharmaceutical Industries Ltd		4,174,387
	65,314	Sun TV Network Ltd		350,304
	3,556,759	Tata Steel Ltd		4,547,207
	55,698	Vardhman Textiles Ltd *		217,822
	550,429	Vedanta Ltd		1,848,848
	61,767	Welspun Corp Ltd		187,884

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		India — continued
	18,250	Zensar Technologies Ltd		81,726
	97,494	Zydus Lifesciences Ltd		591,264
		Total India		88,439,299
		Indonesia — 0.4%
	1,180,200	AKR Corporindo Tbk PT		107,406
	4,610,400	Astra International Tbk PT		1,980,728
	7,792,100	Bank Central Asia Tbk PT		4,701,966
	5,044,384	Bank Mandiri Persero Tbk PT		1,702,187
	981,500	Bank Negara Indonesia Persero Tbk PT		592,057
	3,007,300	Bank Pembangunan Daerah Jawa Timur Tbk PT		130,403
	5,468,200	Bank Rakyat Indonesia Persero Tbk PT		2,031,918
	3,326,300	Global Mediacom Tbk PT *		64,315
	1,641,700	Indofood Sukses Makmur Tbk PT		777,416
	7,260,800	Kalbe Farma Tbk PT		983,341
	1,519,700	Medco Energi Internasional Tbk PT		91,575
	5,089,000	Media Nusantara Citra Tbk PT *		217,142
	15,752,600	Panin Financial Tbk PT		268,916
	3,986,400	Perusahaan Gas Negara Tbk PT		379,856
		Total Indonesia		14,029,226
		Ireland — 0.5%
	49,187	AIB Group Plc		203,336
	532,799	Bank of Ireland Group Plc		5,034,815
	60,058	CRH Plc		2,842,102
	9,867	CRH Plc Sponsored ADR (a)		469,077
	43,417	Glanbia Plc		629,150
	6,502	Kingspan Group Plc		432,849
	38,104	Origin Enterprises Plc		142,715
	24,839	Permanent TSB Group Holdings Plc *		62,757
	55,561	Ryanair Holdings Plc Sponsored ADR * (a)		5,838,350
	82,222	Smurfit Kappa Group Plc		2,929,583
		Total Ireland		18,584,734
		Israel — 0.5%
	4,764	Delek Group Ltd		542,579
	121,033	ICL Group Ltd		659,025
	541,530	Oil Refineries Ltd		145,465
	55,169	Teva Pharmaceutical Industries Ltd *		394,958
	620,500	Teva Pharmaceutical Industries Ltd Sponsored ADR *		4,467,600
	304,324	Tower Semiconductor Ltd *		11,911,241
		Total Israel		18,120,868
		Italy — 1.1%
	32,026	Anima Holding SPA		111,706
	24,111	Arnoldo Mondadori Editore SPA		47,404
	166,504	Assicurazioni Generali SPA (a)		3,163,075
	54,052	Banca IFIS SPA		812,078
	438,231	Banco BPM SPA		1,723,156
	421,990	BPER Banca		1,085,381

Shares		Description	Value ($)
		Italy — continued
	60,809	Credito Emiliano SPA		420,345
	725,074	Eni SPA		9,648,374
	20,711	Esprinet SPA		130,873
	143,361	Hera SPA (a)		449,459
	47,342	IMMSI SPA (b)		24,171
	56,810	Italgas SPA (a)		324,290
	472,981	Leonardo SPA		5,089,822
	246,850	MFE-MediaForEurope NV – Class A		117,159
	17,125	OVS SpA		44,999
	80,779	Piaggio & C SPA		312,178
	109,641	Poste Italiane SPA		1,139,697
	628,730	Stellantis NV (a)		9,580,865
	10,570,534	Telecom Italia SPA *		2,809,752
	12,801	Tenaris SA		158,907
	6,585	Tenaris SA ADR		163,045
	6,329	Unieuro SPA (b)		69,294
	563,704	Unipol Gruppo SPA		2,823,641
		Total Italy		40,249,671
		Japan — 12.7%
	21,834	AGC Inc		795,290
	13,100	Aichi Corp		77,349
	173,600	Amano Corp		3,602,889
	5,900	AOKI Holdings Inc		34,915
	79,200	Arcs Co Ltd		1,334,499
	414,800	Asahi Kasei Corp		2,813,146
	38,500	Bandai Namco Holdings Inc (a)		901,595
	9,100	Bando Chemical Industries Ltd		81,645
	91,000	Brother Industries Ltd		1,318,542
	5,600	Canon Electronics Inc		74,632
	121,600	Canon Inc (a)		3,014,086
	23,600	Canon Marketing Japan Inc		581,189
	16,500	Central Glass Co Ltd		356,123
	4,000	Chiyoda Integre Co Ltd		64,705
	364,300	Chugoku Marine Paints Ltd		2,732,077
	204,100	Citizen Watch Co Ltd		1,251,047
	423,800	Credit Saison Co Ltd		5,815,890
	41,100	Dai Nippon Printing Co Ltd (a)		1,170,264
	13,700	Dai Nippon Toryo Co Ltd		85,344
	109,100	Daicel Corp		924,687
	4,000	Dai-Dan Co Ltd		70,455
	16,500	Daido Steel Co Ltd		613,428
	4,100	Daiichi Jitsugyo Co Ltd		173,916
	4,100	Daiken Corp		63,868
	544,600	Daiwabo Holdings Co Ltd		10,078,329
	295,000	Denka Co Ltd		5,411,240
	64,700	Dentsu Group Inc		2,074,300
	12,700	Ebara Corp		566,696
	212,100	EXEO Group Inc		4,036,085
	2,400	FJ Next Holdings Co Ltd		17,190
	377,300	Fuji Corp		6,142,760
	162,700	FUJIFILM Holdings Corp (a)		9,943,284

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	3,600	Fujitsu Ltd (a)		456,696
	3,400	G-7 Holdings Inc		30,550
	356,500	H.U. Group Holdings Inc		6,735,836
	7,600	Hachijuni Bank Ltd (The)		31,930
	17,400	Hanwa Co Ltd		514,181
	651,794	Haseko Corp		7,546,256
	46,500	Hitachi Construction Machinery Co Ltd		1,146,446
	123,500	Hogy Medical Co Ltd		2,826,145
	261,000	Honda Motor Co Ltd		7,426,681
	29,500	Honda Motor Co Ltd Sponsored ADR (a)		838,095
	36,200	Hosiden Corp		443,029
	300	Hosokawa Micron Corp		5,856
	102,000	Idemitsu Kosan Co Ltd		1,977,831
	39,600	Inabata & Co Ltd		817,586
	668,000	Inpex Corp		7,018,986
	357,500	ITOCHU Corp (a)		12,068,475
	1,300	Itochu-Shokuhin Co Ltd		47,350
	28,300	Itoham Yonekyu Holdings Inc		141,893
	25,000	Itoki Corp		149,376
	15,500	Jaccs Co Ltd		501,193
	16,200	Japan Aviation Electronics Industry Ltd		292,249
	43,400	Japan Petroleum Exploration Co Ltd		1,279,264
	229,500	Japan Tobacco Inc (a)		5,004,137
	17,700	Kaga Electronics Co Ltd		648,201
	158,500	Kajima Corp		2,218,805
	14,900	Kamei Corp		146,270
	30,100	Kandenko Co Ltd		217,407
	636,800	Kanematsu Corp		8,277,655
	279,800	KDDI Corp (a)		8,626,656
	398,000	Kirin Holdings Co Ltd (a)		5,940,166
	22,200	Kitz Corp		161,254
	18,000	Komeri Co Ltd		379,662
	193,800	Konoike Transport Co Ltd		2,099,708
	400	Krosaki Harima Corp		18,867
	391,600	K’s Holdings Corp		3,374,199
	184,200	Kyudenko Corp		4,870,609
	7,000	Lawson Inc		305,354
	28,400	Macnica Holdings Inc		1,033,177
	598,400	Macromill Inc		3,705,001
	567,300	Mandom Corp		5,952,945
	317,000	Marubeni Corp (a)		4,517,647
	275,600	Maruichi Steel Tube Ltd		6,053,063
	5,400	Maruzen Showa Unyu Co Ltd (a)		139,212
	3,200	Matsuda Sangyo Co Ltd		47,404
	256,100	Maxell Ltd		2,642,714
	124,000	Mazda Motor Corp		1,051,938
	2,200	MCJ Co Ltd		14,888
	68,900	Mebuki Financial Group Inc		161,857
	1,600	Melco Holdings Inc		35,172
	75,800	Mirarth Holdings Inc		226,492
	157,600	Mitsubishi Corp (a)		6,300,848
	698,400	Mitsubishi Electric Corp (a)		9,090,747

Shares		Description	Value ($)
		Japan — continued
	40,700	Mitsubishi Materials Corp		677,133
	505,700	Mitsubishi Motors Corp		1,656,821
	3,500	Mitsubishi Research Institute Inc (a)		128,414
	415,500	Mitsubishi UFJ Financial Group Inc (a)		2,762,987
	108,900	Mitsui & Co Ltd (a)		3,431,440
	10,600	Mitsui DM Sugar Holdings Co Ltd		193,174
	247,100	Mitsui OSK Lines Ltd (a)		5,619,588
	11,200	Mitsui-Soko Holdings Co Ltd (a)		269,361
	25,500	MIXI Inc		498,524
	7,200	Modec Inc *		67,564
	177,100	Morinaga & Co Ltd		5,634,704
	111,300	MS&AD Insurance Group Holdings Inc		3,813,821
	6,000	Nagase & Co Ltd		97,593
	139,900	NEC Corp (a)		6,565,608
	313,300	NH Foods Ltd		8,537,614
	25,000	Nichias Corp		472,247
	6,600	Nichiha Corp		134,674
	8,400	Nichireki Co Ltd		101,111
	7,000	Nippn Corp		88,753
	4,200	Nippon Densetsu Kogyo Co Ltd		55,323
	10,400	Nippon Soda Co Ltd		342,543
	49,400	Nippon Telegraph & Telephone Corp (a)		1,403,489
	269,100	Nippon Yusen KK (a)		5,726,938
	7,200	Nishi-Nippon Financial Holdings Inc		54,864
	5,700	Nisshin Oillio Group Ltd (The)		134,770
	3,800	Nissin Corp		64,402
	61,800	Niterra Co Ltd		1,141,588
	41,000	Nojima Corp		397,590
	3,100	Noritake Co Ltd		108,661
	641,700	Obayashi Corp		5,164,045
	12,500	Osaka Soda Co Ltd		361,070
	417,400	Pacific Industrial Co Ltd		3,472,629
	24,700	PAL GROUP Holdings Co Ltd		590,221
	938,500	Penta-Ocean Construction Co Ltd		4,730,897
	8,000	Proto Corp		63,366
	50,400	Renesas Electronics Corp *		815,734
	43,000	San-A Co Ltd		1,390,318
	5,600	San-Ai Oil Co Ltd		55,813
	10,800	Sanki Engineering Co Ltd		112,183
	195,400	Sankyu Inc (a)		6,603,913
	53,500	Sanwa Holdings Corp		622,169
	83,400	Secom Co Ltd (a)		5,461,994
	218,000	Seiko Epson Corp		3,306,029
	39,200	Sekisui Chemical Co Ltd		540,304
	475,600	Sekisui House Ltd		9,282,170
	7,500	Sekisui Jushi Corp		107,794
	30,200	Shimamura Co Ltd		2,730,130
	490,300	Shimizu Corp		2,969,334
	9,100	Shin-Etsu Polymer Co Ltd		89,549
	2,300	Shinmaywa Industries Ltd		20,232
	6,200	Shinnihon Corp		49,085
	10,500	Shionogi & Co Ltd		471,724

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,000	Sinanen Holdings Co Ltd		52,091
	9,300	Sinko Industries Ltd		133,888
	61,000	SKY Perfect JSAT Holdings Inc		227,607
	326,820	Sojitz Corp		6,534,532
	425,300	Stanley Electric Co Ltd		8,556,341
	21,500	Star Micronics Co Ltd		278,324
	166,900	Subaru Corp		2,862,699
	543,100	SUMCO Corp		7,730,662
	761,100	Sumitomo Chemical Co Ltd		2,266,355
	368,900	Sumitomo Corp		6,962,364
	216,700	Sumitomo Forestry Co Ltd		4,879,601
	194,300	Sumitomo Mitsui Financial Group Inc		7,885,015
	208,600	Sumitomo Mitsui Trust Holdings Inc		7,349,872
	1,500	Sumitomo Seika Chemicals Co Ltd		43,712
	656,800	T&D Holdings Inc		8,918,618
	158,000	Taisei Corp		5,020,521
	4,600	Takasago Thermal Engineering Co Ltd		76,776
	5,500	Takeuchi Manufacturing Co Ltd		147,504
	211,500	Takuma Co Ltd		2,153,033
	10,000	Tamron Co Ltd		245,082
	23,900	TDK Corp		911,770
	563,200	Teijin Ltd		5,203,338
	241,700	THK Co Ltd		5,087,901
	21,900	Toho Holdings Co Ltd		399,911
	674,700	Tokai Carbon Co Ltd (b)		5,575,922
	1,500	Token Corp		77,990
	220,500	Tokyo Gas Co Ltd (a)		4,697,745
	173,700	Tokyo Seimitsu Co Ltd		7,533,200
	227,600	Toppan Inc (a)		4,862,095
	534,700	Tosei Corp		6,385,644
	313,850	Toshiba Corp		10,124,330
	224,700	Tosoh Corp		2,581,333
	6,200	Towa Pharmaceutical Co Ltd		78,080
	39,200	Toyo Construction Co Ltd		276,617
	3,300	Toyo Ink SC Holdings Co Ltd		50,609
	120,500	Toyota Industries Corp		7,430,700
	66,300	Toyota Tsusho Corp		2,912,226
	11,000	Unipres Corp		77,194
	11,700	Wacoal Holdings Corp		240,664
	4,600	Warabeya Nichiyo Holdings Co Ltd		73,943
	23,800	YAMABIKO Corp		241,722
	311,200	Yamaha Motor Co Ltd		7,656,290
	23,300	Yamazen Corp		169,907
	12,300	Yellow Hat Ltd		161,323
	225,400	Yokogawa Bridge Holdings Corp		3,613,470
	200	Yokogawa Electric Corp		3,766
	7,200	Yuasa Trading Co Ltd		216,312
	134,700	Zenkoku Hosho Co Ltd		4,812,271
		Total Japan		454,752,296
		Kuwait — 0.0%
	14,331	Humansoft Holding Co KSC		160,896

Shares		Description	Value ($)
		Malaysia — 0.1%
	144,700	AMMB Holdings Bhd		114,064
	109,900	HAP Seng Consolidated Bhd		86,200
	330,500	Hartalega Holdings Bhd		164,351
	293,600	Hibiscus Petroleum Bhd		57,767
	208,300	IOI Corp Bhd		166,333
	369,700	Kossan Rubber Industries Bhd		118,560
	767,100	Petronas Chemicals Group Bhd		1,088,901
	11,100	Petronas Gas Bhd		40,256
	102,000	PPB Group Bhd		359,471
	53,900	RHB Bank Bhd		62,469
	423,300	Telekom Malaysia Bhd		467,174
	38,200	TIME dotCom Bhd		44,410
		Total Malaysia		2,769,956
		Mexico — 1.2%
	7,409	America Movil SAB de CV ADR *		157,515
	348,315	Arca Continental SAB de CV		3,520,760
	258,202	Banco del Bajio SA		812,164
	6,796	Coca-Cola Femsa SAB de CV Sponsored ADR		562,845
	1,136,700	Credito Real SAB de CV SOFOM ER * (e)		—
	91,100	El Puerto de Liverpool SAB de CV – Class C1		532,623
	734,310	Fomento Economico Mexicano SAB de CV		7,415,331
	7,854	Fomento Economico Mexicano SAB de CV Sponsored ADR		790,191
	178,200	Gentera SAB de CV		191,810
	24,660	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		254,992
	6,840	Grupo Aeroportuario del Pacifico SAB de CV – Class B		120,501
	40,007	Grupo Aeroportuario del Sureste SAB de CV – Class B		1,122,521
	988	Grupo Aeroportuario del Sureste SAB de CV ADR		276,986
	1,517,469	Grupo Financiero Banorte SAB de CV – Class O		12,193,626
	29,255	Grupo Herdez SAB de CV – Series *		72,687
	1,982,540	Grupo Mexico SAB de CV – Series B		8,842,920
	81,551	Qualitas Controladora SAB de CV		551,157
	105,700	Regional SAB de CV		823,419
	196,849	Unifin Financiera SAB de CV * (e)		—
	1,076,972	Wal-Mart de Mexico SAB de CV		4,096,865
		Total Mexico		42,338,913
		Netherlands — 2.1%
	341,384	ABN AMRO Bank NV CVA		4,987,514
	1,273,875	Aegon NV		5,597,628
	581	Akzo Nobel NV (a)		43,795
	68,887	ASR Nederland NV (b)		2,935,741
	9,661	Brunel International NV (b)		119,358
	16,510	Evander Gold Mines Ltd * (d)		176

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	178,838	EXOR NV *		14,851,675
	42,288	ForFarmers NV (b)		127,855
	316,835	ING Groep NV		3,903,752
	173,045	JDE Peet’s NV (b)		5,028,728
	466,224	Koninklijke Ahold Delhaize NV		14,780,394
	475,186	Koninklijke Philips NV * (a)		8,977,497
	207,227	NN Group NV		7,476,169
	125,520	Randstad NV (a)		6,157,471
	57,434	Signify NV		1,465,633
	14,072	Van Lanschot Kempen NV		385,853
		Total Netherlands		76,839,239
		New Zealand — 0.1%
	208,690	Auckland International Airport Ltd * (a)		1,115,409
	350,196	Meridian Energy Ltd		1,118,159
		Total New Zealand		2,233,568
		Norway — 0.4%
	80,560	Austevoll Seafood ASA (b)		640,175
	32,928	BW LPG Ltd		281,755
	343,867	DNO ASA (b)		306,755
	609,129	Elkem ASA *		1,466,405
	372,559	Equinor ASA		9,456,684
	139,926	Europris ASA		926,076
	57,559	Hoegh Autoliners ASA (a)		322,567
	56,862	Odfjell Drilling Ltd *		132,757
	16,194	Orkla ASA		116,569
	10,799	SpareBank 1 Nord Norge		88,511
	13,585	Stolt-Nielsen Ltd (a)		335,747
	16,187	Storebrand ASA		117,055
	16,323	Subsea 7 SA		165,461
	20,920	TGS ASA		287,534
	109,148	Wallenius Wilhelmsen ASA (a)		641,732
	4,901	Yara International ASA		183,145
		Total Norway		15,468,928
		Pakistan — 0.0%
	349,662	Oil & Gas Development Co Ltd		91,521
	43,862	Pakistan Oilfields Ltd		65,875
	380,811	Pakistan Petroleum Ltd		76,938
		Total Pakistan		234,334
		Panama — 0.0%
	494,873	BAC Holding International Corp		23,465
		Philippines — 0.0%
	63,200	Manila Electric Co		367,660
	4,371,024	Megaworld Corp		158,722
	771,400	Monde Nissin Corp		111,319
		Total Philippines		637,701

Shares		Description	Value ($)
		Poland — 0.3%
	17,571	Asseco Poland SA		341,885
	141,410	Bank Polska Kasa Opieki SA		3,219,028
	11,941	Budimex SA		951,308
	75,238	Cyfrowy Polsat SA		274,688
	374,776	Polski Koncern Naftowy ORLEN SA		5,336,175
	164,506	Powszechny Zaklad Ubezpieczen SA		1,500,002
	810	Santander Bank Polska SA *		64,551
	5,533	XTB SA *		53,805
		Total Poland		11,741,442
		Portugal — 0.3%
	627,869	EDP – Energias de Portugal SA		3,067,074
	445,499	Galp Energia SGPS SA (b)		4,717,788
	429,998	Navigator Co SA (The)		1,416,226
	11,669	NOS SGPS SA		43,091
	23,211	REN – Redes Energeticas Nacionais SGPS SA		62,254
	1,952,673	Sonae SGPS SA		1,883,995
		Total Portugal		11,190,428
		Qatar — 0.0%
	247,472	Ooredoo QPSC		721,282
	160,925	Qatar National Cement Co QSC		173,074
		Total Qatar		894,356
		Russia — 0.0%
	10,221,010	Alrosa PJSC * (e) (f)		82,370
	376,870,000	Federal Grid Co Unified Energy System PJSC * (e)		4,806
	214,678	Fix Price Group Plc GDR * (e)		5,686
	415,363	Gazprom Neft PJSC (e)		26,261
	4,924,596	Gazprom PJSC (e)		98,323
	75,924	Globaltrans Investment Plc Sponsored GDR (Registered) * (e)		3,020
	18,204,300	Inter RAO UES PJSC (e)		9,130
	88,304	LSR Group PJSC – Class A * (e)		7,991
	4	LSR Group PJSC GDR (Registered) * (e)		—
	192,855	LUKOIL PJSC (e)		131,723
	5,760,219	Magnitogorsk Iron & Steel Works PJSC * (e) (f)		28,713
	71,800	Mechel PJSC * (e)		1,562
	12,797	MMC Norilsk Nickel PJSC (e)		22,867
	8	MMC Norilsk Nickel PJSC ADR * (e)		1
	23,942	Mobile TeleSystems PJSC (e)		929
	37,065	Mobile TeleSystems PJSC ADR * (e)		2,889
	1,472,470	Moscow Exchange MICEX-RTS PJSC * (e)		21,070
	7,545,000	Mosenergo PJSC (e)		2,508
	191,960	Novatek PJSC (e)		30,506
	3,493,400	Novolipetsk Steel PJSC * (e)		63,125
	6,115	PhosAgro PJSC (e)		5,772
	118	PhosAgro PJSC GDR * (e) (f)		37
	254,956	Polymetal International Plc *		587,682

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	25,552	Polyus PJSC * (e) (f)		33,329
	1	Polyus PJSC GDR (Registered) * (e) (f)		1
	1,493	Ros Agro Plc GDR (Registered) * (c) (e)		158
	1,208	Ros Agro Plc GDR (Registered) * (c) (e)		117
	49,974,140	RusHydro PJSC (e)		5,202
	8,073,970	Sberbank of Russia PJSC (e) (f)		243,249
	7,395	Severstal PAO * (e) (f)		930
	261,549	Severstal PJSC GDR (Registered) * (e) (f)		33,038
	29,090	SFI PJSC * (e)		1,786
	27,770,670	Surgutneftegas PJSC (e)		83,040
	986,916	Tatneft PJSC (e)		53,612
	725,480	Unipro PJSC * (e)		172
	55,470	United Co Rusal International PJSC (e)		266
	752,312,000	VTB Bank PJSC * (e) (f)		2,066
		Total Russia		1,593,937
		Saudi Arabia — 0.2%
	40,577	Almarai Co JSC		592,141
	195,921	Saudi Arabian Oil Co		1,644,510
	80,394	Saudi Basic Industries Corp		1,889,012
	190,138	Saudi Telecom Co		2,193,005
		Total Saudi Arabia		6,318,668
		Singapore — 0.5%
	621,000	Asian Pay Television Trust		48,686
	102,600	Bumitama Agri Ltd		40,896
	592,900	ComfortDelGro Corp Ltd		482,070
	180,524	DBS Group Holdings Ltd		4,041,945
	122,400	First Real Estate Investment Trust (b)		23,110
	331,900	First Resources Ltd		370,169
	3,955,300	Golden Agri-Resources Ltd		774,157
	465,199	Japfa Ltd (b)		80,911
	750,300	Keppel Corp Ltd		3,498,770
	63,100	Oversea-Chinese Banking Corp Ltd		572,006
	242,500	Sasseur Real Estate Investment Trust		133,661
	84,300	Sembcorp Industries Ltd		313,455
	76,000	Sheng Siong Group Ltd		91,010
	241,100	Silverlake Axis Ltd		51,700
	1,500	Singapore Exchange Ltd		10,286
	279,000	StarHub Ltd		208,163
	56,700	Venture Corp Ltd		636,115
	974,300	Yangzijiang Financial Holding Ltd		240,867
	5,775,177	Yangzijiang Shipbuilding Holdings Ltd		5,252,264
	463,600	Yanlord Land Group Ltd *		261,938
		Total Singapore		17,132,179
		South Africa — 1.2%
	710,994	Absa Group Ltd		5,563,155
	50,021	AECI Ltd		213,358
	111,536	African Rainbow Minerals Ltd		1,165,486
	91,388	Anglo American Platinum Ltd		5,257,227
	23,100	AngloGold Ashanti Ltd Sponsored ADR		559,020

Shares		Description	Value ($)
		South Africa — continued
	2	Aspen Pharmacare Holdings Ltd		17
	32,261	Astral Foods Ltd		232,101
	99,823	AVI Ltd		314,376
	79,908	Barloworld Ltd		337,117
	183,216	Bidvest Group Ltd (The)		2,213,131
	270,454	Blue Label Telecoms Ltd *		49,697
	96	Capitec Bank Holdings Ltd		6,568
	6,162	Clicks Group Ltd		73,392
	44,944	Coronation Fund Managers Ltd		71,662
	14,600	DRDGOLD Ltd Sponsored ADR		168,922
	1,165,650	FirstRand Ltd		3,574,609
	70,722	Foschini Group Ltd (The)		300,713
	538,434	Impala Platinum Holdings Ltd		4,323,096
	47,967	Investec Ltd		241,969
	173,126	Kumba Iron Ore Ltd		3,805,485
	120,662	Lewis Group Ltd		242,476
	55,374	Momentum Metropolitan Holdings		47,504
	117,126	Motus Holdings Ltd		538,720
	99,259	Mr Price Group Ltd		626,321
	12,165	MTN Group Ltd		75,265
	4,126	Naspers Ltd – N Shares		622,421
	119,726	Ninety One Ltd		243,814
	714,975	Old Mutual Ltd		387,352
	26,901	Omnia Holdings Ltd		78,121
	78,350	OUTsurance Group Ltd		125,853
	813,597	Pepkor Holdings Ltd		582,262
	95,792	Pick n Pay Stores Ltd		153,518
	1,265	Reinet Investments SCA		25,133
	10,508	Remgro Ltd		70,151
	65,074	Reunert Ltd		185,176
	91,876	Sanlam Ltd		241,345
	3,420	Santam Ltd		45,412
	448,569	Sappi Ltd		992,314
	2,402	Shoprite Holdings Ltd		23,816
	827,152	Sibanye Stillwater Ltd		1,461,474
	225,200	Sibanye Stillwater Ltd ADR		1,607,928
	28,238	SPAR Group Ltd (The)		151,620
	87,492	Tiger Brands Ltd		665,271
	632,176	Truworths International Ltd		1,528,517
	80,115	Tsogo Sun Gaming Ltd		49,330
	131,583	Vodacom Group Ltd		735,766
	633,174	Woolworths Holdings Ltd		1,912,620
	101,898	Zeda Ltd *		46,981
		Total South Africa		41,937,582
		South Korea — 3.0%
	2,203	BGF retail Co Ltd		316,368
	248	BH Co Ltd		4,679
	239,278	BNK Financial Group Inc		1,209,297
	483	Caregen Co Ltd		66,989
	66,698	Cheil Worldwide Inc		921,045
	19,308	Coway Co Ltd		700,371

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	2,765	Daihan Pharmaceutical Co Ltd		58,726
	25,732	Daou Data Corp		295,539
	8,622	DB Insurance Co Ltd		481,267
	483	Dentium Co Ltd		57,669
	274,760	Dongwon Development Co Ltd		700,664
	18,662	E-MART Inc		1,185,034
	4,584	Fila Holdings Corp		125,473
	50,597	GS Holdings Corp		1,467,964
	1,646	HAESUNG DS Co Ltd		62,711
	105,796	Hana Financial Group Inc		3,300,297
	11,389	Handsome Co Ltd		198,199
	81,472	Hankook Tire & Technology Co Ltd		2,115,613
	65,806	HDC Hyundai Development Co-Engineering & Construction		621,038
	16,713	HMM Co Ltd		223,237
	104,316	Humasis Co Ltd *		228,458
	3,877	Hyundai Department Store Co Ltd		149,106
	11,002	Hyundai Engineering & Construction Co Ltd		316,992
	16,918	Hyundai Glovis Co Ltd		2,152,360
	2,982	Hyundai Home Shopping Network Corp		104,462
	19,019	Hyundai Marine & Fire Insurance Co Ltd		470,278
	33,682	Hyundai Mobis Co Ltd		5,654,239
	9,636	Industrial Bank of Korea		74,083
	17,061	INTOPS Co Ltd		454,101
	77,118	JB Financial Group Co Ltd		493,363
	8,460	KB Financial Group Inc		305,077
	8,906	KC Co Ltd		130,018
	3,229	KC Tech Co Ltd		47,882
	2,072	KCC Glass Corp		67,184
	265,115	Kia Corp		17,127,931
	1,401	KIWOOM Securities Co Ltd		99,007
	780	Korea Petrochemical Ind Co Ltd		79,692
	2,571	Korea Zinc Co Ltd		930,597
	54,413	KT Skylife Co Ltd		277,446
	212,250	KT&G Corp		13,368,898
	17,465	Kumho Petrochemical Co Ltd		1,668,523
	23,897	LG Corp		1,549,832
	84,724	LG Electronics Inc		7,829,203
	23,924	LOTTE Fine Chemical Co Ltd		1,058,431
	5,172	LOTTE Himart Co Ltd		44,684
	4,343	Lotte Shopping Co Ltd		261,427
	36,246	LX International Corp		823,828
	2,694	MegaStudyEdu Co Ltd		128,875
	9,577	NH Investment & Securities Co Ltd		72,062
	591	NongShim Co Ltd		195,430
	8,072	Orion Corp		785,456
	4,322	POSCO Holdings Inc		1,171,123
	112,500	POSCO Holdings Inc Sponsored ADR		7,636,500
	5,982	PSK Inc		96,410
	2,577	S-1 Corp		105,482
	257,541	Samsung Electronics Co Ltd		13,817,194

Shares		Description	Value ($)
		South Korea — continued
	2,854	Samsung Electronics Co Ltd GDR (Registered) (c)		3,860,676
	310	Samsung Fire & Marine Insurance Co Ltd		52,653
	1,226	Samsung SDS Co Ltd		114,775
	8,712	Samsung Securities Co Ltd		241,115
	562	Samyang Foods Co Ltd		45,819
	89,328	SD Biosensor Inc		1,137,434
	21,431	Seegene Inc		391,790
	2,649	SFA Engineering Corp		78,747
	38,670	Shinhan Financial Group Co Ltd		1,018,853
	81,274	SK Square Co Ltd *		2,826,699
	11,728	SL Corp		318,216
	1,812	SNT Motiv Co Ltd		70,051
	998	Soulbrain Co Ltd		173,239
	162	Taekwang Industrial Co Ltd		79,439
	9,212	TKG Huchems Co Ltd		156,224
	1,120	Unid Co Ltd		51,140
	370,368	Woori Financial Group Inc		3,339,516
	101,967	Woori Technology Investment Co Ltd *		313,537
	21,966	Youngone Corp		744,022
		Total South Korea		108,901,759
		Spain — 1.8%
	486,674	Acerinox SA		4,979,668
	21,974	ACS Actividades de Construccion y Servicios SA		733,293
	77,248	Amadeus IT Group SA * (a)		5,543,703
	2,456,287	Banco Bilbao Vizcaya Argentaria SA		16,149,312
	6,748,465	Banco de Sabadell SA		6,702,551
	3,379,706	Banco Santander SA		11,041,599
	57,274	Cia de Distribucion Integral Logista Holdings SA (a)		1,425,588
	121,840	Ence Energia y Celulosa SA (b)		377,459
	1,514	Faes Farma SA		5,364
	8,503	Iberdrola SA (a)		103,837
	205,837	Industria de Diseno Textil SA (a)		6,886,432
	84,757	Prosegur Cia de Seguridad SA		151,974
	629,759	Repsol SA		8,534,768
	484,802	Telefonica SA (a)		2,064,657
		Total Spain		64,700,205
		Sweden — 0.7%
	22,727	AcadeMedia AB		98,069
	71,626	Betsson AB * (a)		16,171
	71,626	Betsson AB – Class B* (a)		725,042
	18,739	Boliden AB		572,509
	167,771	Fabege AB		1,200,836
	717,189	Fastighets AB Balder – B Shares *		2,420,744
	66,965	Investor AB – A Shares		1,380,988
	223,620	Kinnevik AB – Class B *		3,227,871
	7,847	New Wave Group AB – B Shares		132,433
	56,764	Nordea Bank Abp		560,334

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	40,176	Peab AB – Class B		165,375
	91,699	Skanska AB – B Shares (b)		1,211,573
	678,075	SSAB AB – A Shares		4,348,464
	109,725	SSAB AB – B Shares (b)		680,481
	72,473	Svenska Cellulosa AB SCA – Class B		963,573
	129,551	Svenska Handelsbanken AB – A Shares		1,025,678
	582,070	Telefonaktiebolaget LM Ericsson – B Shares		3,009,794
	19,026	Volvo AB – A Shares (a)		367,430
	110,287	Volvo AB – B Shares (a)		2,038,276
		Total Sweden		24,145,641
		Switzerland — 1.5%
	211,201	Adecco Group AG (Registered) *		6,310,975
	924	Cembra Money Bank AG		69,202
	1,798	Galenica AG (a)		140,659
	1,939	Holcim Ltd * (a)		119,799
	2,595	Julius Baer Group Ltd (a)		159,368
	108,204	Logitech International SA (Registered) (c)		6,921,143
	6,737	Logitech International SA (Registered) (c)		430,090
	6,653	Mobilezone Holding AG (Registered)		91,585
	44,058	Novartis AG (Registered) (a)		4,222,815
	24,771	Novartis AG Sponsored ADR (a)		2,384,209
	872	Roche Holding AG (a)		295,189
	59,410	Roche Holding AG – Genusschein (a)		18,922,612
	2,339	Swiss Life Holding AG (Registered) (a)		1,353,275
	7,202	u-blox Holding AG *		933,462
	352,497	UBS Group AG (Registered) * (a)		6,720,471
	8,940	Zurich Insurance Group AG (a)		4,185,546
		Total Switzerland		53,260,400
		Taiwan — 4.0%
	214,000	Acer Inc		214,493
	9,000	Advantech Co Ltd		118,954
	671,235	AmTRAN Technology Co Ltd		288,922
	264,300	ASE Technology Holding Co Ltd ADR		2,013,966
	105,000	Asia Cement Corp		150,046
	551,672	Asustek Computer Inc		5,468,839
	50,000	Aten International Co Ltd		139,213
	1,223,000	Catcher Technology Co Ltd		7,372,484
	658,019	Cathay Financial Holding Co Ltd		946,653
	105,673	Chailease Holding Co Ltd		695,364
	576,490	Chicony Electronics Co Ltd		1,987,584
	624,000	Chipbond Technology Corp		1,358,996
	227,000	ChipMOS Technologies Inc		291,023
	113,540	Chong Hong Construction Co Ltd		292,973
	17,000	Chroma ATE Inc		128,532
	276,000	Compal Electronics Inc		249,801
	152,080	Coretronic Corp		371,511
	12,000	Delta Electronics Inc		123,227
	13,000	Elan Microelectronics Corp		43,087
	1,225,000	Evergreen Marine Corp Taiwan Ltd		6,079,420

Shares		Description	Value ($)
		Taiwan — continued
	113,000	Far EasTone Telecommunications Co Ltd		282,161
	271,000	Farglory Land Development Co Ltd		552,628
	6,000	Feng TAY Enterprise Co Ltd		37,188
	383,340	First Financial Holding Co Ltd		350,272
	130,709	FLEXium Interconnect Inc *		418,985
	35,000	Formosa Advanced Technologies Co Ltd		49,024
	8,000	Formosa International Hotels Corp		74,446
	562,000	Formosa Plastics Corp		1,720,081
	433,000	Foxconn Technology Co Ltd		763,387
	1,628,148	Fubon Financial Holding Co Ltd		3,215,295
	29,000	Fusheng Precision Co Ltd		197,900
	63,000	Getac Technology Corp		141,514
	79,000	Gigabyte Technology Co Ltd		477,970
	792,000	Grand Pacific Petrochemical		489,207
	390,160	HannStar Display Corp *		156,551
	3,994,406	Hon Hai Precision Industry Co Ltd		13,819,757
	207,000	Huaku Development Co Ltd		606,718
	14,000	Innodisk Corp		152,435
	7,000	King Slide Works Co Ltd		96,399
	217,000	King’s Town Bank Co Ltd *		253,852
	148,000	Kung Long Batteries Industrial Co Ltd		673,742
	80,000	Largan Precision Co Ltd		5,879,336
	1,179,000	Lite-On Technology Corp ADR		3,411,153
	23,000	Makalot Industrial Co Ltd		162,827
	207,000	MediaTek Inc		5,086,734
	665,000	Micro-Star International Co Ltd		3,586,717
	654,000	Mitac Holdings Corp		679,388
	258,000	Nan Ya Plastics Corp		652,027
	295,502	Nantex Industry Co Ltd		360,964
	215,000	Nanya Technology Corp		512,426
	9,000	Nien Made Enterprise Co Ltd		103,038
	270,000	Novatek Microelectronics Corp		3,727,703
	70,000	Phison Electronics Corp		971,682
	1,747,566	Pou Chen Corp		1,797,628
	264,000	Primax Electronics Ltd		554,195
	632,263	Radiant Opto-Electronics Corp		2,425,579
	15,000	Raydium Semiconductor Corp		170,565
	396,000	Ruentex Industries Ltd		733,597
	137,280	Shin Zu Shing Co Ltd		416,497
	128,000	Shinkong Insurance Co Ltd		218,651
	236,041	Silicon Motion Technology Corp ADR		14,455,151
	128,000	Simplo Technology Co Ltd		1,289,828
	14,000	Soft-World International Corp		43,563
	6,000	Sporton International Inc		47,110
	292,000	Syncmold Enterprise Corp		563,992
	43,000	Synnex Technology International Corp		89,339
	28,000	T3EX Global Holdings Corp		63,744
	24,311	Tah Hsin Industrial Corp		55,518
	59,000	TaiDoc Technology Corp		352,581
	32,000	Taiwan Hon Chuan Enterprise Co Ltd		108,125
	207,000	Taiwan Semiconductor Manufacturing Co Ltd		3,746,251

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	143,125	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		14,110,694
	119,000	Taiwan Union Technology Corp		290,084
	122,699	TOPBI International Holdings Ltd *		50,498
	18,000	Topkey Corp		114,274
	305,000	Transcend Information Inc		763,489
	252,000	Tripod Technology Corp		1,052,936
	30,000	Tung Ho Steel Enterprise Corp		54,544
	141,681	United Integrated Services Co Ltd		1,053,081
	25,000	United Microelectronics Corp *		41,845
	304,000	Universal Inc		247,056
	925,400	Wan Hai Lines Ltd		1,740,767
	3,096,000	Wistron Corp		6,708,600
	227,000	WPG Holdings Ltd		392,393
	13,000	Yageo Corp		214,211
	3,434,000	Yang Ming Marine Transport Corp		6,776,202
	239,000	Youngtek Electronics Corp		515,015
	3,002,290	Yuanta Financial Holding Co Ltd		2,327,246
	222,000	Zhen Ding Technology Holding Ltd		835,684
		Total Taiwan		142,419,128
		Thailand — 0.8%
	6,384,400	AP Thailand Pcl NVDR		2,127,506
	1,406,400	Bangkok Bank Pcl NVDR		6,581,408
	270,500	Bangkok Dusit Medical Services Pcl NVDR		219,300
	66,400	Central Retail Corp Pcl NVDR		80,087
	226,000	GFPT Pcl NVDR		79,749
	825,100	JMT Network Services Pcl NVDR		1,018,482
	721,000	Kasikornbank Pcl NVDR		2,681,838
	19,757,900	Krung Thai Bank Pcl NVDR		10,780,811
	159,808	Pruksa Holding Pcl (Foreign Registered)		56,923
	565,380	Pruksa Holding Pcl NVDR		201,388
	378,600	PTT Exploration & Production Pcl NVDR		1,515,993
	143,400	Regional Container Lines Pcl NVDR		98,794
	10,014,400	Sansiri Pcl NVDR		500,493
	849,700	SC Asset Corp Pcl (Foreign Registered)		106,419
	207,800	Somboon Advance Technology Pcl NVDR		119,899
	243,700	Sri Trang Agro-Industry Pcl NVDR		132,961
	724,400	Sri Trang Gloves Thailand Pcl NVDR		191,496
	425,900	Supalai Pcl NVDR		247,170
	272,400	Thai Oil Pcl NVDR		338,055
	2,197,400	Thai Union Group Pcl NVDR		927,740
	208,230	Thai Vegetable Oil Pcl NVDR		154,011
		Total Thailand		28,160,523
		Turkey — 0.6%
	8,152,411	Akbank TAS		6,219,045
	74,744	Anadolu Efes Biracilik Ve Malt Sanayii AS		210,055
	15,756	Cimsa Cimento Sanayi VE Ticaret AS		82,192
	3,051	Dogus Otomotiv Servis ve Ticaret AS		21,034
	1,438,770	Haci Omer Sabanci Holding AS		2,676,404

Shares		Description	Value ($)
		Turkey — continued
	33,728	Is Yatirim Menkul Degerler AS – Class A		78,789
	1,009,865	KOC Holding AS		3,833,348
	151,994	Koza Anadolu Metal Madencilik Isletmeleri AS *		331,370
	40,846	Mavi Giyim Sanayi Ve Ticaret AS – Class B		106,410
	3,705	Turk Traktor ve Ziraat Makineleri AS		118,270
	415,557	Turkcell Iletisim Hizmetleri AS		671,519
	461,721	Turkiye Garanti Bankasi AS		596,899
	410,283	Turkiye Is Bankasi AS – Class C		221,231
	425,747	Vestel Beyaz Esya Sanayi ve Ticaret AS		225,460
	9,299,449	Yapi ve Kredi Bankasi AS		4,580,570
		Total Turkey		19,972,596
		Ukraine — 0.0%
	36,516	Kernel Holding SA *		140,667
		United Arab Emirates — 0.0%
	1,120,475	Abu Dhabi National Oil Co for Distribution PJSC		1,261,784
	27,173	Emirates NBD Bank PJSC		100,882
	500,540	Q Holding PJSC *		310,847
		Total United Arab Emirates		1,673,513
		United Kingdom — 4.6%
	598,059	3i Group Plc		14,589,625
	874	AG Barr Plc		5,492
	218,429	Anglo American Plc		6,017,343
	170,958	Aviva Plc (a)		839,277
	278,407	Balfour Beatty Plc		1,270,460
	16,420	Bank of Georgia Group Plc		616,109
	1,127,574	Barclays Plc		2,129,505
	90,601	Barclays Plc Sponsored ADR		681,320
	1,180,064	Barratt Developments Plc		6,818,729
	102,879	Bellway Plc		2,898,136
	137,225	Berkeley Group Holdings Plc (The)		6,716,566
	712,975	BP Plc (a)		4,005,509
	162,651	BP Plc Sponsored ADR (a)		5,482,965
	160,362	British American Tobacco Plc (a)		5,076,191
	164,912	British American Tobacco Plc Sponsored ADR (a)		5,229,360
	5,562,688	BT Group Plc		10,161,572
	47,076	Burberry Group Plc (a)		1,262,506
	63,405	Centamin Plc		79,070
	16,671	Central Asia Metals Plc		38,500
	2,486,732	Centrica Plc (a)		3,645,623
	224,987	Coca-Cola HBC AG *		6,683,997
	320,119	Compass Group Plc (a)		8,772,599
	77,759	Crest Nicholson Holdings Plc		234,839
	30,601	Evraz Plc * (e)		779
	784,048	Ferrexpo Plc		900,067
	960,871	Glencore Plc (a)		4,914,039

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	63,277	GSK Plc		1,062,055
	94,315	GSK Plc Sponsored ADR		3,168,984
	16,686	Halfords Group Plc		42,122
	92,019	Harbour Energy Plc		257,161
	1,398,539	HSBC Holdings Plc (a)		10,250,317
	14,046	HSBC Holdings Plc Sponsored ADR (a)		517,174
	186,272	IG Group Holdings Plc		1,558,435
	178,373	Imperial Brands Plc (a)		3,760,267
	27,836	International Personal Finance Plc		38,356
	230,497	Investec Plc		1,178,065
	1,561,264	ITV Plc		1,356,959
	439,459	J Sainsbury Plc		1,481,000
	11,440	Keller Group Plc		96,769
	1,512,163	Kingfisher Plc		4,349,569
	1,763,465	Lloyds Banking Group Plc		971,612
	56,791	Moneysupermarket.com Group plc		177,254
	24,849	Morgan Sindall Group Plc		563,519
	252,899	OSB Group Plc		1,553,129
	12,499	Paragon Banking Group Plc		75,354
	151,574	Persimmon Plc		2,268,929
	123,947	Plus500 Ltd		2,227,337
	129,085	Redde Northgate Plc (a)		599,603
	236,909	Redrow Plc		1,420,614
	71,718	Rio Tinto Plc (a)		4,237,926
	57,365	Serica Energy Plc		154,408
	367,869	Shell Plc (a)		10,113,809
	8,285	Smiths Group Plc		165,772
	43,046	Spirent Communications Plc		95,740
	1,496,695	Taylor Wimpey Plc		2,131,791
	10,766	TBC Bank Group Plc		308,933
	73,770	Vesuvius Plc		381,052
	2,985,263	Vodafone Group Plc (a)		2,838,776
	610,500	Vodafone Group Plc Sponsored ADR (a)		5,787,540
	9,705	Wincanton Plc		29,841
	235,320	WPP Plc		2,501,271
		Total United Kingdom		166,791,621
		United States — 25.6%
	64,000	3M Co.		5,971,840
	229,229	Activision Blizzard, Inc. * (a) (g)		18,384,166
	5,800	Adtalem Global Education, Inc. * (a)		240,700
	61,232	Aemetis, Inc. *		292,077
	56,810	Aerojet Rocketdyne Holdings, Inc. *		3,095,009
	1,600	Affiliated Managers Group, Inc.		222,544
	17,939	Aflac, Inc. (a)		1,151,863
	18,300	AGCO Corp.		2,018,124
	8,600	Akamai Technologies, Inc. * (a)		792,232
	818,734	Albertsons Cos., Inc. – Class A (g)		16,669,424
	11,700	Alcoa Corp.		371,124
	232,943	Ally Financial, Inc. (a)		6,212,590
	89,334	Alphabet, Inc. – Class A * (a)		10,976,469
	63,159	Alphabet, Inc. – Class C * (a)		7,789,491

Shares		Description	Value ($)
		United States — continued
	70,913	Ameresco, Inc. – Class A *		3,054,932
	40,165	American Express Co. (a)		6,368,562
	1,888,723	Anchor Hocking Holdings, Inc. * (e)		1,548,753
	11,324	Applied Materials, Inc. (a)		1,509,489
	9,487	Archer-Daniels-Midland Co. (a)		670,257
	63,055	Arrow Electronics, Inc. *		7,985,285
	2,000	Aspen Technology, Inc. * (a)		327,840
	181,367	AT&T, Inc. (a)		2,852,903
	3,100	Atkore, Inc. *		361,987
	845	AutoNation, Inc. *		110,627
	13,500	Avnet, Inc.		591,840
	222,744	Bank of America Corp. (a)		6,190,056
	48,100	Bank of New York Mellon Corp. (The) (a)		1,933,620
	69,800	Best Buy Co., Inc. (a)		5,072,366
	17,585	Biogen, Inc. *		5,212,370
	13,328	Bio-Rad Laboratories, Inc. – Class A *		4,976,009
	108,345	Black Knight, Inc. * (a)		6,260,174
	2,178	Booking Holdings, Inc. * (a)		5,464,101
	280,945	BorgWarner, Inc.		12,454,292
	69,179	Bristol-Myers Squibb Co. (a)		4,457,895
	99,576	Bruin Blocker LLC * (d)		57,226
	7,039	Brunswick Corp.		531,444
	12,200	California Resources Corp.		457,988
	82,978	Capital One Financial Corp. (a)		8,647,137
	29,642	CarMax, Inc. * (a)		2,140,449
	152,664	Carrier Global Corp. (a)		6,243,958
	3,800	Carter’s, Inc.		236,246
	3,098	Caterpillar, Inc. (a)		637,413
	71,900	CBRE Group, Inc. – Class A * (a)		5,386,748
	105,611	Centene Corp. * (a)		6,591,183
	33,546	Chesapeake Energy Corp.		2,524,336
	50,870	Chevron Corp. (a)		7,662,039
	12,200	Cigna Group (The) (a)		3,018,402
	93,800	Cisco Systems, Inc. (a)		4,659,046
	210,800	Citigroup, Inc.		9,342,656
	274,441	Clean Energy Fuels Corp. *		1,103,253
	367,681	Cleveland-Cliffs, Inc. *		5,103,412
	127,600	Cognizant Technology Solutions Corp. – Class A (a)		7,973,724
	289,749	Comcast Corp. – Class A (a)		11,401,623
	37,634	ConocoPhillips (a)		3,737,056
	11,000	Corteva, Inc. (a)		588,390
	4,158	Crowdstrike Holdings, Inc. – Class A* (a)		665,821
	8,448	Cummins, Inc. (a)		1,726,856
	124,900	CVS Health Corp. (a)		8,496,947
	166,099	Darling Ingredients, Inc. *		10,527,355
	1,900	Deere & Co. (a)		657,362
	90,420	Dell Technologies, Inc. – Class C (a)		4,051,720
	19,671	Devon Energy Corp.		906,833
	59,774	Discover Financial Services (a)		6,141,181
	628,177	DISH Network Corp. – Class A *		4,039,178
	46,778	DR Horton, Inc. (a)		4,997,762

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	11,900	Dropbox, Inc. – Class A* (a)		273,938
	25,032	DXC Technology Co. * (a)		626,551
	194,900	eBay, Inc. (a)		8,291,046
	7,691	Elevance Health, Inc. (a)		3,444,184
	2,900	Encore Wire Corp.		474,643
	69,206	EOG Resources, Inc.		7,425,112
	26,043	Expedia Group, Inc. * (a)		2,492,576
	63,849	Exxon Mobil Corp. (a)		6,524,091
	21,408	FedEx Corp. (a)		4,666,516
	12,400	Ferguson Plc (a)		1,796,884
	185,114	Fidelity National Financial, Inc.		6,319,792
	45,070	Flex Ltd. *		1,144,327
	18,300	Foot Locker, Inc.		463,356
	765,200	Ford Motor Co.		9,182,400
	155,522	ForgeRock, Inc. – Class A * (a)		3,130,658
	82,351	Fortune Brands Innovations, Inc.		4,978,118
	70,429	Fox Corp. – Class A (a)		2,197,385
	344,921	Fox Corp. – Class B		10,075,142
	203,700	Franklin Resources, Inc. (a)		4,890,837
	37,400	Freeport-McMoRan, Inc. (a)		1,284,316
	13,700	Gap, Inc. (The)		109,874
	900	Garmin Ltd. (a)		92,835
	13,627	Generac Holdings, Inc. *		1,484,253
	243,200	General Motors Co.		7,882,112
	42,705	Gilead Sciences, Inc. (a)		3,285,723
	167,152	Globus Medical, Inc. – Class A * (a) (g)		9,047,938
	20,000	Goldman Sachs Group, Inc. (The) (a)		6,478,000
	263,036	GrafTech International Ltd.		1,128,424
	400	Graham Holdings Co. – Class B (a)		225,900
	154,765	Green Plains, Inc. *		4,488,185
	1,800	Group 1 Automotive, Inc.		402,318
	33,774	H&R Block, Inc. (a)		1,008,154
	2,400	Harley-Davidson, Inc.		74,664
	19,834	Hartford Financial Services Group, Inc. (The) (a)		1,359,026
	16,772	Hasbro, Inc.		995,418
	36,178	HEICO Corp. – Class A		4,408,289
	15,045	Henry Schein, Inc. * (a)		1,111,825
	13,471	Heska Corp. *		1,612,883
	38,800	Hess Corp.		4,914,796
	108,600	Hewlett Packard Enterprise Co.		1,566,012
	30,972	Hilton Worldwide Holdings, Inc. (a)		4,215,909
	1,800	HNI Corp. (a)		45,900
	101,825	Horizon Therapeutics Plc *		10,185,555
	308,900	HP, Inc.		8,976,634
	53,000	Huntington Bancshares, Inc.		546,430
	8,900	Huntsman Corp.		211,375
	82,600	Incyte Corp. *		5,084,030
	416,200	Intel Corp. (a)		13,085,328
	50,932	Intercontinental Exchange, Inc. (a)		5,396,245
	85,200	International Business Machines Corp. (a)		10,955,868
	179,100	Invesco Ltd.		2,575,458

Shares		Description	Value ($)
		United States — continued
	85,653	IVERIC bio, Inc. *		3,233,401
	51,800	Janus Henderson Group Plc		1,361,304
	41,100	Jazz Pharmaceuticals Plc *		5,267,376
	1,763	Jefferies Financial Group, Inc. (a)		53,013
	22,449	Johnson & Johnson (a)		3,480,942
	1,989	Jones Lang LaSalle, Inc. *		279,136
	72,200	JPMorgan Chase & Co. (a)		9,798,262
	376,100	Kinder Morgan, Inc.		6,058,971
	48,857	Knight-Swift Transportation Holdings, Inc. (a)		2,686,646
	18,964	Kohl’s Corp.		347,420
	1,094,651	Kosmos Energy Ltd. *		6,524,120
	207,900	Kraft Heinz Co. (The) (a)		7,945,938
	33,823	Kroger Co. (The) (a)		1,533,197
	9,066	Kulicke & Soffa Industries, Inc.		479,410
	27,400	Laboratory Corp. of America Holdings (a)		5,823,322
	7,245	Lam Research Corp. (a)		4,467,991
	80,171	Las Vegas Sands Corp. * (a)		4,419,827
	7,200	La-Z-Boy, Inc.		192,384
	6,622	Lear Corp.		812,255
	39,474	Lennar Corp. – Class A (a)		4,228,455
	173,815	Liberty Broadband Corp. – Class C *		12,879,691
	564,079	Liberty Global Plc – Class A *		9,194,488
	90,382	Liberty Global Plc – Class C *		1,538,302
	41,543	Liberty Media Corp.-Liberty Formula One – Class A *		2,623,440
	43,193	Life Storage, Inc. (a)		5,502,356
	75,109	Livent Corp. *		1,731,262
	62,800	LyondellBasell Industries NV – Class A (a)		5,371,912
	3,400	M&T Bank Corp.		405,144
	40,348	Macy’s, Inc.		548,329
	16,696	ManpowerGroup, Inc. (a)		1,171,558
	16,200	Marathon Oil Corp.		358,992
	3,687	Marathon Petroleum Corp.		386,803
	2,100	Marcus & Millichap, Inc.		61,635
	3,438	Markel Group, Inc. *		4,520,042
	123,205	Match Group, Inc. *		4,250,572
	1,400	Matson, Inc. (a)		95,662
	8,398	Medtronic Plc (a)		695,018
	45,151	Merck & Co., Inc. (a)		4,985,122
	84,993	Meta Platforms, Inc. – Class A* (a)		22,499,347
	36,300	MetLife, Inc. (a)		1,798,665
	210,888	Micron Technology, Inc. (a)		14,382,562
	47,857	Moderna, Inc. *		6,111,817
	48,100	Mohawk Industries, Inc. *		4,427,124
	108,741	Molson Coors Brewing Co. – Class B (a)		6,725,631
	161,100	Mosaic Co. (The) (a)		5,148,756
	111,619	National Instruments Corp.		6,451,578
	1,288,200	NII Holdings, Inc. * (d)		450,870
	1,858	Nordstrom, Inc.		28,427
	10,580	Northern Trust Corp. (a)		760,914
	173,900	NRG Energy, Inc. (a)		5,876,081

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	46,556	Nucor Corp. (a)		6,148,185
	30	NVR, Inc. * (a)		166,627
	18,293	Occidental Petroleum Corp.		1,054,774
	33,615	Otis Worldwide Corp. (a)		2,672,729
	159,847	Ovintiv, Inc.		5,286,140
	9,255	Owens Corning		984,084
	8,393	PACCAR, Inc. (a)		577,271
	376,537	Paramount Global – Class B		5,727,128
	91,900	PayPal Holdings, Inc. * (a)		5,696,881
	755,227	Pershing Square Tontine Holdings Ltd. * (d)		75,523
	308,045	Pfizer, Inc.		11,711,871
	3,000	Pioneer Natural Resources Co.		598,320
	10,371	PNC Financial Services Group, Inc.		1,201,273
	358,388	PNM Resources, Inc.		16,457,177
	11,300	PotlatchDeltic Corp. (REIT) (a)		525,789
	16,143	Principal Financial Group, Inc.		1,056,721
	14,800	Prudential Financial, Inc. (a)		1,164,612
	66,494	PulteGroup, Inc. (a)		4,393,924
	19,700	PVH Corp.		1,694,594
	55,117	QUALCOMM, Inc. (a)		6,250,819
	52,600	Radian Group, Inc.		1,343,404
	362,248	Radius Global Infrastructure, Inc. – Class A *		5,361,270
	1,400	Ralph Lauren Corp.		148,834
	58,280	Raytheon Technologies Corp. (a)		5,369,919
	9,918	Regeneron Pharmaceuticals, Inc. * (a)		7,295,284
	59,200	Regions Financial Corp.		1,022,384
	1,543	Reinsurance Group of America, Inc.		216,020
	5,400	Reliance Steel & Aluminum Co. (a)		1,267,272
	4,965	Robert Half International, Inc. (a)		322,824
	1,200	Roper Technologies, Inc. (a)		545,064
	10,000	Schneider National, Inc. – Class B (a)		259,200
	32,600	Skyworks Solutions, Inc.		3,374,426
	7,500	SolarEdge Technologies, Inc. *		2,136,225
	253,400	Spirit Airlines, Inc. (a) (g)		3,854,214
	116,593	Sportsman’s Warehouse Holdings, Inc. *		528,166
	1,720	SS&C Technologies Holdings, Inc. (a)		94,531
	6,258	Starwood Property Trust, Inc. (REIT)		109,828
	25,084	State Street Corp. (a)		1,706,214
	69,282	Steel Dynamics, Inc. (a)		6,367,016
	7,900	Stewart Information Services Corp.		354,236
	198,683	Sunrun, Inc. *		3,504,768
	260,806	Synchrony Financial (a)		8,074,554
	3,619	Tapestry, Inc.		144,832
	12,300	Taylor Morrison Home Corp. – Class A *		521,889
	512,489	TEGNA, Inc.		7,938,455
	51,400	Textron, Inc.		3,180,118
	3,700	TRI Pointe Homes, Inc. *		108,077
	113,179	Triton International Ltd		9,353,113
	160,204	TRU Taj LLC / TRU Taj Finance, Inc. * (c) (e)		750,956
	5,869	TRU Taj LLC / TRU Taj Finance, Inc. * (c) (e)		59

Shares		Description	Value ($)
		United States — continued
	142,244	Tyson Foods, Inc. – Class A (a)		7,203,236
	229,440	Univar Solutions, Inc. *		8,172,653
	2,872	Universal Corp.		148,052
	39,795	Universal Health Services, Inc. – Class B (a)		5,258,113
	9,034	Unum Group		392,527
	120,473	US Bancorp		3,602,143
	700	USANA Health Sciences, Inc. *		42,469
	320,000	Verizon Communications, Inc. (a)		11,401,600
	11,897	Vertex Pharmaceuticals, Inc. * (a)		3,849,512
	42,958	VF Corp.		739,737
	733,700	Viatris, Inc.		6,713,355
	151,002	VMware, Inc. – Class A * (a) (g)		20,580,063
	40,900	W&T Offshore, Inc. *		158,283
	139,263	Walgreens Boots Alliance, Inc. (a)		4,229,417
	121,199	Wells Fargo & Co.		4,824,932
	2,800	Western Union Co. (The)		31,892
	131,700	Western Digital Corp. *		5,100,741
	44,300	Westlake Corp. (a)		4,604,985
	107,060	Westmoreland Mining Holdings * (d)		1,071
	37,587	Whirlpool Corp.		4,859,623
	8,700	Xerox Holdings Corp.		122,409
	92,151	Zoom Video Communications, Inc. – Class A * (a)		6,186,097
		Total United States		921,378,962
		Vietnam — 0.2%
	659,900	Duc Giang Chemicals JSC		1,504,985
	143,300	IDICO Corp JSC		255,229
	57,200	PetroVietnam Ca Mau Fertilizer JSC		59,169
	42,900	PetroVietnam Fertilizer & Chemicals JSC		58,285
	111,100	PetroVietnam Technical Services Corp		146,566
	349,200	Saigon - Hanoi Commercial Joint Stock Bank *		174,431
	216,200	Saigon Thuong Tin Commercial JSB *		254,884
	709,500	SSI Securities Corp		698,460
	316,700	Vietnam Dairy Products JSC		890,656
	591,900	Vietnam Joint Stock Commercial Bank for Industry and Trade *		705,530
	3,520,100	VNDirect Securities Corp *		2,618,660
		Total Vietnam		7,366,855
		TOTAL COMMON STOCKS (COST $3,481,100,832)		2,995,417,649
		PREFERRED STOCKS (h) — 2.1%
		Brazil — 1.3%
	16,900	Banco do Estado do Rio Grande do Sul SA – Class B		41,440
	1,816,078	Bradespar SA		7,621,134
	10,400	Cia de Ferro Ligas da Bahia		97,311
	385,300	Cia Energetica de Minas Gerais		888,575

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Brazil — continued
	393,100	Cia Paranaense de Energia – Class B		574,932
	578,550	Gerdau SA		2,733,496
	1,493,714	Gerdau SA Sponsored ADR		7,050,330
	253,300	Itau Unibanco Holding SA Sponsored ADR		1,301,962
	315,900	Itausa SA		546,706
	217,100	Metalurgica Gerdau SA		479,706
	3,106,900	Petroleo Brasileiro SA		15,995,945
	997,580	Petroleo Brasileiro SA Sponsored ADR		10,255,122
	18,800	Unipar Carbocloro SA – Class B		253,431
		Total Brazil		47,840,090
		Chile — 0.1%
	34,984	Embotelladora Andina SA – Class B		89,403
	26,500	Sociedad Quimica y Minera de Chile SA Sponsored ADR		1,700,505
		Total Chile		1,789,908
		Germany — 0.4%
	50,202	Bayerische Motoren Werke AG		5,168,347
	3,167	Draegerwerk AG & Co KGaA		147,471
	23,887	Henkel AG & Co KGaA (a)		1,906,503
	15,275	Porsche Automobil Holding SE *		850,827
	3,461	Villeroy & Boch AG		71,737
	34,893	Volkswagen AG (a)		4,371,454
		Total Germany		12,516,339
		Russia — 0.0%
	15,222	Bashneft PJSC (e)		2,972
	79,750	Nizhnekamskneftekhim PJSC (e)		784
	49,530	Sberbank of Russia PJSC * (e) (f)		1,462
	20,862,000	Surgutneftegas PJSC (e)		80,736
	12,313	Tatneft PJSC (e)		671
	337	Transneft PJSC (e)		5,496
		Total Russia		92,121
		South Korea — 0.3%
	5,895	Hyundai Motor Co GDR (Registered)		229,683
	6,750	LG Electronics Inc		272,603
	219,488	Samsung Electronics Co Ltd		9,667,396
	1,358	Samsung Electronics Co Ltd GDR (Registered) (c)		1,510,836
		Total South Korea		11,680,518
		Taiwan — 0.0%
	68,864	Chailease Holding Co Ltd		222,994
		TOTAL PREFERRED STOCKS (COST $92,986,858)		74,141,970

	Shares / Par Value†		Description	Value ($)
			RIGHTS/WARRANTS — 0.0%
			Canada — 0.0%
		222,285	Clementia Pharmaceuticals Inc * (d)		222
			United States — 0.0%
		408,963	Bristol-Myers Squibb Co. CVR * (d)		756,582
		50,914	Contra Abiomed, Inc. * (d)		89,099
			Total United States		845,681
			TOTAL RIGHTS/WARRANTS (COST $1,235,833)		845,903
			INVESTMENT FUNDS — 0.3%
			United States — 0.3%
		4,418,828	Altaba, Inc. (d)		10,295,869
			TOTAL INVESTMENT FUNDS (COST $5,265,823)		10,295,869
			DEBT OBLIGATIONS — 23.3%
			Netherlands — 0.0%
			Corporate Debt — 0.0%
EUR		539,716	Evander Gold Mines Ltd, Variable Rate, 10.00%, due 04/19/26 (e) (i)		58
			United States — 23.3%
			Bank Loans — 0.0%
		257,117	American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, Variable Rate, 3 mo. LIBOR plus 13.00%, 15.27%, due 09/16/25 (d)		257,116
		633,158	Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 3 mo. LIBOR plus 3.75%, 8.91%, due 10/10/25 (d) (i)		2,108
		834,038	Envision Healthcare Corp., 2018 Third Out Term Loan, Variable Rate, 3 mo. SOFR plus 3.75%, 8.65%, due 03/31/27 (d) (i)		3,128
			Total Bank Loans		262,352
			U.S. Government — 18.8%
		100,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, USBM + 0.14%, 5.51%, due 10/31/24 (a)		100,100,663
		61,040,000	U.S. Treasury Floating Rate Notes, Variable Rate, 5.54%, due 04/30/25 (a)		61,069,729
		100,000,000	U.S. Treasury Note, 0.13%, due 07/31/23 (a)		99,131,520
		50,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 10/31/23		50,008,500
		150,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 5.30%, due 04/30/24		149,893,273
		52,105,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 07/31/24 (a)		52,108,826

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	163,800,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.57%, due 01/31/25 (a) (j)		164,102,953
		Total U.S. Government		676,415,464
		U.S. Government Agency — 4.5%
	30,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.16%, due 10/06/23		30,000,256
	30,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.18%, due 03/06/24		30,026,169
	62,500,000	Federal Home Loan Banks, 5.23%, due 03/22/24		62,268,205
	40,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.16%, due 09/04/24		40,507,159
		Total U.S. Government Agency		162,801,789
		Total United States		839,479,605
		TOTAL DEBT OBLIGATIONS (COST $841,060,486)		839,479,663
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers — 0.4%
	2,630,185	GMO U.S. Treasury Fund		13,150,925
		TOTAL MUTUAL FUNDS (COST $13,151,284)		13,150,925

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 11.3%
		Money Market Funds — 0.4%
	13,038,641	State Street Institutional Treasury Money
		Market Fund – Premier Class, 4.94% (k)		13,038,641
	404,886	State Street U.S. Treasury Liquidity Fund – Class D Shares, 5.04% (j)		404,886
		Total Money Market Funds		13,443,527
		Repurchase Agreements — 10.0%
	360,045,140	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/31/23, maturing on 06/01/23 with a maturity value of $360,096,046 and an effective yield of 5.09%, collateralized by a U.S. Treasury Note with maturity date 05/15/28 and a market value of $367,393,000.		360,045,140
		U.S. Government Agency — 0.9%
	32,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 5.09%, due 06/07/23		31,999,855
		TOTAL SHORT-TERM INVESTMENTS (COST $405,488,667)		405,488,522

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Notional Amount

Value ($)

Currency Options – Puts — 0.0%

USD Put/CHF Call

BCLY

0.88

%

08/11/23

USD

31,470,000

USD

31,470,000

111,121

TOTAL PURCHASED OPTIONS (COST $369,143)	111,121
TOTAL INVESTMENTS — 120.7% (Cost $4,840,658,926)	4,338,931,622

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (23.0)%
			Common Stocks — (22.9)%
			Australia — (0.5)%
	(103,960	)	ASX Ltd		(4,556,934	)
	(18,571	)	Cochlear Ltd		(2,939,088	)
	(139,455	)	IDP Education Ltd		(1,977,120	)
	(2,173,185	)	Pilbara Minerals Ltd		(6,229,983	)
	(78,690	)	Ramsay Health Care Ltd		(2,936,442	)
	(6,497	)	WiseTech Global Ltd		(315,765	)
			Total Australia		(18,955,332	)

Shares			Description	Value ($)
			Austria — (0.1)%
	(66,290	)	Verbund AG		(5,009,122	)
			Belgium — (0.2)%
	(115,920	)	Anheuser-Busch InBev SA/NV		(6,183,749	)
			Canada — (1.1)%
	(106,300	)	Agnico Eagle Mines Ltd		(5,397,914	)
	(135,300	)	Algonquin Power & Utilities Corp		(1,140,579	)
	(303,300	)	AltaGas Ltd		(5,143,253	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares			Description	Value ($)
			Canada — continued
	(24,035	)	Brookfield Infrastructure Corp – Class A		(1,108,014	)
	(181,800	)	Enbridge Inc		(6,399,360	)
	(46,111	)	Franco-Nevada Corp		(6,704,078	)
	(33,800	)	GFL Environmental Inc		(1,221,532	)
	(192,300	)	Pembina Pipeline Corp		(5,820,921	)
	(99,900	)	Restaurant Brands International Inc		(7,283,709	)
			Total Canada		(40,219,360	)
			Denmark — (0.1)%
	(7,496	)	Coloplast A/S – Class B		(945,888	)
	(137,147	)	Tryg A/S		(3,121,739	)
			Total Denmark		(4,067,627	)
			Finland — (0.1)%
	(39,772	)	Elisa Oyj		(2,227,856	)
	(6,013	)	Kone Oyj – Class B		(305,873	)
			Total Finland		(2,533,729	)
			France — (0.7)%
	(189,578	)	Accor SA *		(6,313,220	)
	(34,991	)	Aeroports de Paris *		(5,333,240	)
	(356,931	)	Getlink SE		(6,073,105	)
	(3,419	)	Hermes International		(6,974,156	)
	(3,869	)	Sartorius Stedim Biotech		(1,019,927	)
	(7,823	)	Worldline SA *		(304,929	)
			Total France		(26,018,577	)
			Germany — (0.9)%
	(158,147	)	Delivery Hero SE *		(5,939,249	)
	(21,781	)	Deutsche Boerse AG		(3,767,322	)
	(23,034	)	MTU Aero Engines AG		(5,328,535	)
	(20,765	)	Puma SE		(992,450	)
	(4,703	)	Rational AG		(3,160,819	)
	(54,808	)	Symrise AG – Class A		(5,869,533	)
	(1,685,441	)	Telefonica Deutschland Holding AG		(4,752,060	)
	(37,021	)	Zalando SE *		(1,076,563	)
			Total Germany		(30,886,531	)
			Israel — (0.2)%
	(42,900	)	CyberArk Software Ltd *		(6,637,917	)
	(23,400	)	Wix.com Ltd *		(1,783,548	)
			Total Israel		(8,421,465	)
			Italy — (0.7)%
	(162,877	)	Amplifon SPA		(5,649,704	)
	(22,944	)	Ferrari NV (c)		(6,567,551	)
	(2,951	)	Ferrari NV (c)		(845,963	)
	(397,526	)	FinecoBank Banca Fineco SPA		(5,310,215	)
	(483,199	)	Infrastrutture Wireless Italiane SPA		(6,160,785	)
			Total Italy		(24,534,218	)

Shares			Description	Value ($)
			Japan — (2.3)%
	(136,000	)	Aeon Co Ltd		(2,689,757	)
	(237,500	)	ANA Holdings Inc *		(5,268,123	)
	(185,100	)	Asahi Intecc Co Ltd		(3,527,183	)
	(7,100	)	BayCurrent Consulting Inc		(259,514	)
	(58,000	)	GMO Payment Gateway Inc		(4,573,991	)
	(303,600	)	Japan Airlines Co Ltd		(5,801,863	)
	(145,500	)	Japan Exchange Group Inc		(2,375,925	)
	(80,900	)	Keio Corp		(2,846,885	)
	(52,700	)	Keisei Electric Railway Co Ltd		(2,020,471	)
	(8,300	)	Kobe Bussan Co Ltd		(228,750	)
	(42,200	)	Lasertec Corp		(6,625,954	)
	(212,300	)	M3 Inc		(4,712,238	)
	(368,500	)	MonotaRO Co Ltd		(5,109,771	)
	(5,700	)	Nidec Corp		(282,464	)
	(223,400	)	Nihon M&A Center Holdings Inc		(1,561,840	)
	(307,300	)	Nippon Paint Holdings Co Ltd		(2,353,196	)
	(251,600	)	Odakyu Electric Railway Co Ltd		(3,663,024	)
	(205,200	)	Oriental Land Co Ltd		(7,685,295	)
	(1,130,100	)	Rakuten Group Inc		(4,660,288	)
	(71,900	)	Shiseido Co Ltd		(3,265,072	)
	(584,900	)	SoftBank Corp		(6,232,845	)
	(106,600	)	Tobu Railway Co Ltd		(2,788,585	)
	(252,300	)	Tokyu Corp		(3,258,251	)
	(8,300	)	West Japan Railway Co		(347,618	)
			Total Japan		(82,138,903	)
			Netherlands — (0.5)%
	(4,543	)	Adyen NV *		(7,440,712	)
	(23,572	)	IMCD NV		(3,553,188	)
	(163,292	)	Just Eat Takeaway.com NV *		(2,469,659	)
	(279,814	)	Universal Music Group NV		(5,550,682	)
			Total Netherlands		(19,014,241	)
			New Zealand — (0.2)%
	(100,332	)	Xero Ltd *		(7,163,007	)
			Peru — (0.2)%
	(87,655	)	Southern Copper Corp		(5,852,724	)
			Singapore — (0.2)%
	(1,123,254	)	Grab Holdings Ltd – Class A *		(3,347,297	)
	(9,536,000	)	Sembcorp Marine Ltd *		(866,448	)
	(443,800	)	Singapore Exchange Ltd		(3,043,369	)
			Total Singapore		(7,257,114	)
			Spain — (0.4)%
	(1,507	)	Aena SME SA *		(236,460	)
	(173,858	)	Cellnex Telecom SA		(7,045,674	)
	(220,948	)	Ferrovial SA		(6,855,471	)
			Total Spain		(14,137,605	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares			Description	Value ($)
			Sweden — (0.2)%
	(39,639	)	Evolution AB		(5,232,685	)
			Switzerland — (0.3)%
	(9	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(1,089,146	)
	(3,974	)	Partners Group Holding AG		(3,592,644	)
	(32,271	)	Straumann Holding AG (Registered)		(4,741,214	)
			Total Switzerland		(9,423,004	)
			United Kingdom — (1.1)%
	(48,413	)	Admiral Group Plc		(1,402,370	)
	(657,099	)	Auto Trader Group Plc		(5,156,925	)
	(42,073	)	Halma Plc		(1,262,722	)
	(359,518	)	Hargreaves Lansdown Plc		(3,589,426	)
	(795,174	)	Informa Plc		(6,903,721	)
	(89,486	)	InterContinental Hotels Group Plc		(5,888,239	)
	(70,984	)	London Stock Exchange Group Plc		(7,567,218	)
	(3,714,136	)	Rolls-Royce Holdings Plc *		(6,635,326	)
	(8,276	)	Severn Trent Plc		(285,908	)
	(14,404	)	Spirax-Sarco Engineering Plc		(1,963,361	)
			Total United Kingdom		(40,655,216	)
			United States — (12.9)%
	(266,029	)	AES Corp. (The)		(5,251,412	)
	(33,300	)	Alnylam Pharmaceuticals, Inc. *		(6,158,398	)
	(140,600	)	Altria Group, Inc.		(6,245,452	)
	(17,600	)	American Tower Corp. (REIT)		(3,246,144	)
	(76,200	)	Ares Management Corp. – Class A		(6,636,258	)
	(34,700	)	Arthur J Gallagher & Co.		(6,951,451	)
	(7,820	)	Axon Enterprise, Inc. *		(1,508,556	)
	(69,400	)	Bills Holdings, Inc. *		(7,188,452	)
	(68,454	)	Bio-Techne Corp.		(5,598,853	)
	(35,600	)	Boeing Co. (The) *		(7,322,920	)
	(23,923	)	Broadcom, Inc.		(19,328,827	)
	(31,500	)	Burlington Stores, Inc. *		(4,739,490	)
	(131,400	)	Caesars Entertainment, Inc. *		(5,388,714	)
	(93,700	)	Ceridian HCM Holding, Inc. *		(5,795,345	)
	(41,814	)	Charter Communications, Inc. – Class A *		(13,637,636	)
	(3,777	)	Chipotle Mexican Grill, Inc. – Class A *		(7,842,903	)
	(186,932	)	Clarivate Plc *		(1,458,070	)
	(112,100	)	Cloudflare, Inc. – Class A *		(7,752,836	)
	(12,000	)	Crown Castle, Inc. (REIT)		(1,358,520	)
	(60,300	)	Dexcom, Inc. *		(7,070,778	)
	(43,800	)	Equity LifeStyle Properties, Inc. (REIT)		(2,766,846	)
	(1,200	)	Erie Indemnity Co. – Class A		(256,920	)
	(44,300	)	Essential Utilities, Inc.		(1,804,782	)
	(101,600	)	Exact Sciences Corp. *		(8,288,528	)
	(38,499	)	Extra Space Storage, Inc. (REIT)		(5,554,251	)
	(56,547	)	Fastenal Co.		(3,045,057	)
	(86,071	)	Fortinet, Inc. *		(5,881,231	)
	(142,439	)	Fox Corp. – Class A		(4,444,097	)

Shares			Description	Value ($)
			United States — continued
	(19,100	)	Gartner, Inc. *		(6,548,626	)
	(29,158	)	HEICO Corp.		(4,507,244	)
	(43,855	)	Hess Corp.		(5,555,113	)
	(16,149	)	HubSpot, Inc. *		(8,365,020	)
	(12,345	)	IDEXX Laboratories, Inc. *		(5,737,586	)
	(35,946	)	Ingersoll Rand, Inc.		(2,036,700	)
	(22,000	)	Insulet Corp. *		(6,033,500	)
	(31,800	)	IQVIA Holdings, Inc. *		(6,261,738	)
	(63,300	)	Iron Mountain, Inc. (REIT)		(3,381,486	)
	(63,000	)	Lamb Weston Holdings, Inc.		(7,005,600	)
	(511,622	)	Liberty Global Plc – Class C *		(8,707,806	)
	(132,449	)	Liberty Media Corp.-Liberty Formula One – Class C *		(9,324,410	)
	(20,400	)	Linde Plc		(7,214,664	)
	(87,400	)	Live Nation Entertainment, Inc. *		(6,986,756	)
	(19,600	)	MarketAxess Holdings, Inc.		(5,339,236	)
	(17,500	)	Mastercard, Inc. – Class A		(6,387,850	)
	(43,398	)	MaxLinear, Inc. *		(1,267,656	)
	(28,780	)	MongoDB, Inc. – Class A *		(8,455,276	)
	(4,891	)	Monolithic Power Systems, Inc.		(2,396,150	)
	(10,600	)	Moody’s Corp.		(3,358,928	)
	(13,500	)	MSCI, Inc. – Class A		(6,352,155	)
	(154,700	)	Newmont Corp.		(6,273,085	)
	(227,700	)	NiSource, Inc.		(6,122,853	)
	(85,210	)	Novocure Ltd. *		(6,118,930	)
	(69,538	)	NuVasive, Inc. *		(2,653,570	)
	(87,682	)	Okta, Inc. *		(7,970,294	)
	(97,200	)	ONEOK, Inc.		(5,507,352	)
	(505,454	)	Palantir Technologies, Inc. – Class A *		(7,435,228	)
	(60,700	)	Paychex, Inc.		(6,369,251	)
	(68,900	)	Philip Morris International, Inc.		(6,201,689	)
	(3,778	)	PTC, Inc. *		(507,763	)
	(2,400	)	Repligen Corp. *		(403,008	)
	(158,300	)	ROBLOX Corp. – Class A *		(6,626,438	)
	(89,200	)	Roku, Inc. *		(5,191,440	)
	(168,750	)	Rollins, Inc.		(6,635,250	)
	(91,095	)	Royal Caribbean Cruises Ltd. *		(7,375,962	)
	(15,600	)	ServiceNow, Inc. *		(8,498,568	)
	(16,846	)	Sherwin-Williams Co. (The)		(3,837,182	)
	(27,800	)	Simon Property Group, Inc. (REIT)		(2,923,170	)
	(31,100	)	Snowflake, Inc. – Class A *		(5,142,696	)
	(66,500	)	Starbucks Corp.		(6,493,060	)
	(690	)	Sysco Corp.		(48,265	)
	(39,806	)	Tesla, Inc. *		(8,117,638	)
	(322,500	)	Toast, Inc. – Class A *		(6,762,825	)
	(94,462	)	Trade Desk, Inc. (The) – Class A *		(6,619,897	)
	(9,100	)	TransDigm Group, Inc.		(7,040,215	)
	(58,321	)	Twilio, Inc. – Class A *		(4,060,308	)
	(194,627	)	Uber Technologies, Inc. *		(7,382,202	)
	(62,263	)	UDR, Inc. (REIT)		(2,469,973	)
	(23,800	)	Vail Resorts, Inc.		(5,788,160	)
	(217,800	)	Williams Cos., Inc. (The)		(6,242,148	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(129,956	)	Wolfspeed, Inc. *		(6,243,086	)
	(3	)	Xylem, Inc.		(301	)
	(67,749	)	Zillow Group, Inc. – Class C *		(3,090,032	)
	(54,000	)	Zscaler, Inc. *		(7,315,920	)
			Total United States		(463,213,986	)
			TOTAL COMMON STOCKS (PROCEEDS $834,417,807)		(820,918,195	)

Shares			Description	Value ($)
			PREFERRED STOCKS (h) — (0.1)%
			Germany — (0.1)%
	(13,508	)	Sartorius AG		(4,533,559	)
			TOTAL PREFERRED STOCKS (PROCEEDS $5,481,633)		(4,533,559	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $839,899,440)		(825,451,754	)
			Other Assets and Liabilities (net) — 2.3%		80,882,006
			TOTAL NET ASSETS — 100.0%		$3,594,361,874

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 May 31, 2023
Alrosa PJSC	12/06/17	$	15,372,968	0.0%	$	82,370
Magnitogorsk Iron & Steel Works PJSC	06/16/21		4,815,566	0.0%		28,713
PhosAgro PJSC GDR	10/15/21		2,792	0.0%		37
Polyus PJSC	06/27/20		5,699,094	0.0%		33,329
Polyus PJSC GDR (Registered)	07/27/20		0	0.0%		1
Sberbank of Russia PJSC	09/09/20		29,636,901	0.0%		243,249
Sberbank of Russia PJSC	01/10/22		183,324	0.0%		1,462
Severstal PAO	02/02/21		126,125	0.0%		930
Severstal PJSC GDR (Registered)	10/23/17		5,003,828	0.0%		33,038
VTB Bank PJSC	01/09/20		587,690	0.0%		2,066
					$	425,195

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/08/2023	SSB		AUD	56,498,497		USD	37,758,727		918,537
08/08/2023	JPM		AUD	9,660,000		USD	6,478,836		179,974
07/24/2023	JPM		AUD	76,101,136		USD	50,703,307		1,107,914
08/08/2023	BOA		AUD	3,640,000		USD	2,385,769		12,285
08/02/2023	CITI		BRL	4,450,000		USD	877,340		9,623
06/02/2023	MSCI		BRL	40,123,409		USD	8,097,535		188,795
06/02/2023	JPM		BRL	38,001,591		USD	7,609,450		118,942
06/30/2023	BCLY		CAD	24,470,000		USD	18,214,841		176,381
08/14/2023	MSCI		CAD	1,051,551		USD	780,928		5,001
06/30/2023	BOA		CAD	4,040,000		USD	3,005,980		27,828
08/08/2023	SSB		CAD	585,379		USD	435,721		3,835
08/08/2023	CITI		CAD	79,967		USD	59,345		347
08/08/2023	MSCI		CAD	1,051,551		USD	781,071		5,246
07/12/2023	MSCI		CHF	41,882,875		USD	47,431,508		1,233,753
08/15/2023	BCLY		CHF	10,531,053		USD	11,896,000		237,095

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/15/2023	JPM		CHF	1,680,000		USD	1,884,426		24,502
07/31/2023	SSB		CHF	75,830,386		USD	84,355,514		544,035
07/10/2023	MSCI		CLP	3,670,000,000		USD	4,555,826		48,684
07/17/2023	SSB		CZK	60,711,617		USD	2,866,527		136,161
07/17/2023	GS		CZK	17,000,000		USD	789,931		25,395
07/17/2023	MSCI		CZK	16,600,000		USD	777,625		31,078
07/17/2023	CITI		CZK	9,600,000		USD	441,669		9,931
07/31/2023	JPM		EUR	25,920,000		USD	28,679,264		880,689
07/18/2023	JPM		GBP	6,270,000		USD	7,933,074		126,333
07/18/2023	SSB		GBP	1,370,000		USD	1,729,612		23,833
08/14/2023	JPM		HUF	135,648,887		USD	392,162		8,395
08/30/2023	CITI		ILS	2,737,392		USD	740,364		3,466
06/07/2023	MSCI		JPY	864,877,860		USD	6,603,075		390,821
06/07/2023	SSB		JPY	112,381,500		USD	856,639		49,424
06/13/2023	SSB		JPY	5,399,769,223		USD	40,830,355		2,009,153

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/07/2023	CITI		JPY	138,600,000		USD	1,044,436		48,899
06/13/2023	JPM		JPY	372,436,430		USD	2,716,601		38,999
06/20/2023	BCLY		JPY	510,000,000		USD	3,686,908		16,309
06/13/2023	BCLY		JPY	422,150,358		USD	3,052,222		17,206
07/17/2023	JPM		NOK	43,000,000		USD	4,117,168		235,099
08/30/2023	JPM		NZD	9,930,000		USD	6,017,580		39,233
08/30/2023	MSCI		NZD	10,570,000		USD	6,394,004		30,346
06/05/2023	JPM		PEN	2,520,000		USD	686,368		220
06/27/2023	JPM		PHP	262,500,000		USD	4,716,134		58,193
08/22/2023	MSCI		PLN	23,600,000		USD	5,577,954		29,344
06/27/2023	MSCI		RON	19,973,094		USD	4,443,106		146,217
06/27/2023	GS		RON	1,350,000		USD	291,987		1,556
06/13/2023	JPM		SEK	24,672,646		USD	2,359,153		84,228
06/13/2023	MSCI		SEK	25,977,586		USD	2,509,072		113,826
07/10/2023	BCLY		SEK	107,500,000		USD	10,518,591		591,928
07/10/2023	BOA		SEK	14,272,704		USD	1,396,374		78,417
07/10/2023	JPM		SEK	66,200,000		USD	6,547,703		434,725
08/22/2023	JPM		SGD	4,286,457		USD	3,193,510		14,388
06/06/2023	MSCI		TWD	226,515,523		USD	7,446,221		74,194
08/30/2023	JPM		TWD	207,615,523		USD	6,817,124		2,988
06/02/2023	JPM		USD	14,932,934		BRL	77,064,091		257,196
06/02/2023	MSCI		USD	15,451,995		BRL	79,185,909		156,369
08/02/2023	MSCI		USD	6,907,489		BRL	35,626,756		39,464
06/30/2023	BOA		USD	3,320,927		CAD	4,520,000		11,065
06/30/2023	JPM		USD	19,045,063		CAD	25,930,000		69,660
08/15/2023	BOA		USD	1,435,970		CHF	1,300,000		3,257
07/10/2023	MSCI		USD	7,448,819		CLP	6,079,726,000		17,716
07/10/2023	MSCI		USD	961,872		COP	4,440,000,000		26,576
07/10/2023	JPM		USD	1,443,576		COP	6,560,000,000		16,833
07/24/2023	MSCI		USD	14,252,836		GBP	11,456,966		13,616
08/14/2023	MSCI		USD	578,149		HUF	205,000,000		1,822
08/04/2023	MSCI		USD	1,783,688		KRW	2,360,000,000		6,882
06/02/2023	BCLY		USD	7,466,143		MXN	137,000,000		278,783
06/02/2023	MSCI		USD	7,471,640		MXN	137,000,000		273,286
07/18/2023	MSCI		USD	7,541,107		MXN	138,781,232		230,204
08/02/2023	MSCI		USD	7,576,177		MXN	137,000,000		73,395
08/02/2023	BCLY		USD	7,629,974		MXN	137,000,000		19,597
06/05/2023	MSCI		USD	1,657,340		PEN	6,160,000		19,910
08/31/2023	JPM		USD	682,003		PEN	2,520,000		171
06/27/2023	JPM		USD	967,060		PHP	54,500,000		18
08/22/2023	GS		USD	1,067,380		PLN	4,550,000		2,373
08/22/2023	JPM		USD	710,750		SGD	960,000		1,250
07/31/2023	BCLY		USD	5,555,896		ZAR	110,292,542		4,901
08/30/2023	GS		USD	672,095		ZAR	13,400,000		1,479
08/30/2023	BOA		ZAR	3,800,000		USD	191,580		566
08/08/2023	JPM		AUD	5,010,000		USD	3,249,597		(17,204	)
06/02/2023	JPM		BRL	39,062,500		USD	7,665,476		(34,147	)
06/02/2023	MSCI		BRL	39,062,500		USD	7,665,476		(34,147	)
06/30/2023	BCLY		CAD	9,670,000		USD	7,123,599		(4,800	)
08/08/2023	SSB		CAD	9,169,006		USD	6,755,527		(9,275	)
06/30/2023	BOA		CAD	7,060,000		USD	5,198,388		(6,006	)
08/08/2023	MSCI		CAD	259,870		USD	191,489		(241	)
07/10/2023	MSCI		COP	4,118,470,100		USD	876,722		(40,145	)
07/10/2023	JPM		COP	1,240,000,000		USD	271,692		(4,361	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/04/2023	MSCI		IDR	12,400,000,000		USD	825,137		(948	)
08/18/2023	MSCI		INR	33,000,000		USD	397,327		(400	)
06/07/2023	BOA		JPY	230,787,480		USD	1,655,519		(2,184	)
06/07/2023	MSCI		JPY	103,340,160		USD	740,089		(2,184	)
08/04/2023	MSCI		KRW	9,280,418,559		USD	6,964,460		(76,738	)
07/18/2023	MSCI		MXN	15,600,000		USD	862,824		(10,727	)
06/02/2023	MSCI		MXN	137,000,000		USD	7,670,773		(74,154	)
06/02/2023	BCLY		MXN	137,000,000		USD	7,725,404		(19,522	)
08/30/2023	MSCI		NZD	9,050,000		USD	5,423,529		(25,014	)
06/05/2023	JPM		PEN	3,640,000		USD	982,190		(8,912	)
08/31/2023	MSCI		PEN	2,480,000		USD	669,185		(2,160	)
08/08/2023	JPM		USD	16,299,489		AUD	23,930,000		(695,786	)
08/02/2023	CITI		USD	654,838		BRL	3,350,000		(1,613	)
08/02/2023	MSCI		USD	7,589,996		BRL	38,001,591		(179,967	)
08/02/2023	JPM		USD	7,527,452		BRL	38,001,591		(117,424	)
06/30/2023	BCLY		USD	14,338,853		CAD	19,250,042		(148,370	)
06/30/2023	GS		USD	11,208,254		CAD	14,980,000		(165,503	)
06/30/2023	JPM		USD	11,102,687		CAD	14,820,000		(177,882	)
07/17/2023	BCLY		USD	12,010,217		CAD	16,180,567		(77,957	)
08/14/2023	MSCI		USD	781,151		CAD	1,051,551		(5,224	)
07/17/2023	BOA		USD	476,249		CAD	643,404		(1,774	)
08/15/2023	JPM		USD	7,408,810		CHF	6,647,000		(49,931	)
07/10/2023	JPM		USD	2,173,815		COP	9,680,000,000		(18,822	)
07/17/2023	SSB		USD	159,763		CZK	3,400,000		(6,856	)
07/31/2023	BCLY		USD	50,461,372		EUR	45,430,000		(1,738,791	)
07/31/2023	SSB		USD	83,592,971		EUR	77,629,497		(337,205	)
07/18/2023	SSB		USD	40,825,097		GBP	32,710,000		(98,068	)
07/18/2023	BOA		USD	2,880,286		GBP	2,310,000		(4,119	)
07/18/2023	JPM		USD	6,527,041		GBP	5,210,000		(40,101	)
07/24/2023	SSB		USD	1,539,413		GBP	1,234,828		(1,780	)
08/04/2023	MSCI		USD	266,063		IDR	3,927,015,400		(4,447	)
08/18/2023	BCLY		USD	942,185		INR	77,806,560		(4,434	)
06/13/2023	MSCI		USD	2,000,843		JPY	265,961,821		(88,732	)
06/13/2023	GS		USD	528,466		JPY	72,297,786		(8,686	)
06/13/2023	JPM		USD	1,003,120		JPY	134,096,015		(39,048	)
06/13/2023	BCLY		USD	1,254,716		JPY	169,049,514		(39,348	)
06/20/2023	BOA		USD	35,151,888		JPY	4,756,209,971		(920,247	)
08/04/2023	MSCI		USD	951,045		KRW	1,250,000,000		(2,651	)
07/17/2023	JPM		USD	3,153,530		KRW	4,157,393,082		(2,677	)
07/17/2023	BCLY		USD	36,619,908		NOK	379,822,042		(2,329,320	)
07/17/2023	SSB		USD	3,379,247		NOK	35,200,000		(201,367	)
07/24/2023	SSB		USD	10,511,055		NOK	113,823,386		(231,800	)
07/24/2023	UBSA		USD	1,781,256		NOK	19,473,037		(22,670	)
07/31/2023	UBSA		USD	1,474,844		NZD	2,422,540		(16,214	)
06/27/2023	CITI		USD	847,947		PHP	47,000,000		(13,954	)
06/27/2023	JPM		USD	505,430		PHP	28,000,000		(8,583	)
06/27/2023	BCLY		USD	764,798		PHP	43,000,000		(1,783	)
08/22/2023	GS		USD	740,556		PLN	3,100,000		(11,713	)
08/22/2023	SSB		USD	496,824		PLN	2,100,000		(3,092	)
07/10/2023	BOA		USD	3,061,323		SEK	32,700,000		(41,770	)
08/22/2023	BCLY		USD	4,124,391		THB	140,701,044		(48,272	)
06/06/2023	JPM		USD	7,376,589		TWD	226,515,523		(4,562	)
								$	3,834,348

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
390	CAC40 10 Euro	June 2023		29,683,393		(1,018,834	)
10	Corn (j)	July 2023		297,000		(18,038	)
192	Cotton (j)	July 2023		8,014,080		62,253
75	DAX Index	June 2023		31,484,466		26,918
94	E-mini Russell 2000 Index	June 2023		8,233,460		(158,421	)
426	FTSE 100 Index	June 2023		39,486,810		(464,901	)
112	FTSE MIB Index	June 2023		15,685,425		144,858
132	Hang Seng Index	June 2023		15,349,089		(816,695	)
379	Iron Ore (j)	July 2023		3,729,360		(84,944	)
77	Lean Hogs (j)	July 2023		2,566,410		(73,921	)
830	Mini MSCI Emerging Markets	June 2023		39,707,200		(106,679	)
788	MSCI Singapore	June 2023		16,561,046		(464,596	)
29	NY Harbor ULSD Futures (j)	June 2023		2,741,596		(132,378	)
1,303	OMX Stockholm 30 Index	June 2023		26,969,660		(63,973	)
31	RBOB Gasoline (j)	June 2023		3,181,828		53,927
292	Soybean (j)	July 2023		18,976,350		(1,917,461	)
124	Soybean Oil (j)	July 2023		3,437,280		(607,235	)
25	SPI 200 Futures	June 2023		2,884,308		(57,132	)
27	U.S. Treasury Note 10 Yr. (CBT)	September 2023		3,090,656		878
927	U.S. Treasury Note 5 Yr. (CBT)	September 2023		101,115,422		(178,676	)
36	UK Gilt Long Bond	September 2023		4,334,468		27,996
			$	377,529,307	$	(5,847,054	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
34	Australian Government Bond 10 Yr.	June 2023	$	2,651,906	$	(466	)
254	Canadian Government Bond 10 Yr.	September 2023		23,139,727		(45,400	)
63	Cocoa (j)	July 2023		1,894,410		(75,442	)
101	Coffee (j)	July 2023		6,766,369		399,102
127	Copper (j)	July 2023		11,547,475		1,307,365
78	Euro Bund	June 2023		11,343,062		(385,736	)
236	FTSE Taiwan Index	June 2023		13,374,343		(173,413	)
141	Gold 100 OZ (j)	August 2023		27,947,610		959,048
34	KOSPI 200 Index	June 2023		2,167,519		(55,436	)
60	Live Cattle Futures (j)	August 2023		4,024,200		(168,403	)
219	Natural Gas (j)	June 2023		4,962,540		210,465
231	S&P 500 E-Mini	June 2023		48,400,275		(1,619,790	)
86	S&P/TSX 60	June 2023		14,907,934		170,353
330	SGX Nifty 50 Index	June 2023		12,297,423		(113,136	)
51	Silver (j)	July 2023		6,014,685		545,830
239	Sugar (j)	June 2023		6,708,061		(341,387	)
379	TOPIX Index	June 2023		57,627,445		(1,332,107	)
410	Wheat (j)	July 2023		12,182,125		1,863,501
169	WTI Crude (j)	June 2023		11,507,210		772,764
			$	279,464,319	$	1,917,712

+ 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
Albertsons Cos., Inc. (e) (g)		21.00	07/21/23		(4,835	)		USD	(9,844,060	)		(96,700	)
Globus Medical, Inc. (g)		62.50	09/15/23		(541	)		USD	(2,928,433	)		(173,120	)
Globus Medical, Inc. (g)		60.00	09/15/23		(308	)		USD	(1,667,204	)		(92,400	)
Globus Medical, Inc. (g)		55.00	09/15/23		(301	)		USD	(1,629,313	)		(171,570	)
Spirit Airlines, Inc. (g)		17.50	09/15/23		(2,534	)		USD	(3,854,214	)		(65,884	)
Activision Blizzard, Inc. (g)		77.50	01/19/24		(840	)		USD	(6,736,800	)		(823,200	)
Activision Blizzard, Inc. (g)		80.00	01/19/24		(420	)		USD	(3,368,400	)		(361,200	)
VMware, Inc. (g)		120.00	01/19/24		(262	)		USD	(3,570,798	)		(694,300	)
		Total Equity Options – Calls										(2,478,374	)
		TOTAL WRITTEN OPTIONS (Premiums $2,900,031)										$(2,478,374)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.98%	3 Month AUD BBSW	AUD	173,758,000		06/21/2025	Quarterly		(162,921	)		(236,465	)		(73,544	)
3.91%	3 Month AUD BBSW	AUD	45,500,000		06/21/2025	Quarterly		—			(22,707	)		(22,707	)
3.65%	3 Month AUD BBSW	AUD	17,500,000		06/21/2025	Quarterly		—			48,452			48,452
3 Month AUD BBSW	3.65%	AUD	54,000,000		06/21/2025	Quarterly		—			(146,477	)		(146,477	)
CHF -  SARON - OIS - COMPOUND	1.75%	CHF	32,500,000		06/21/2025	Annually		—			(9,293	)		(9,293	)
CHF -  SARON - OIS - COMPOUND	1.88%	CHF	35,500,000		06/21/2025	Annually		—			90,967			90,967
1.85%	CHF - SARON - OIS - COMPOUND	CHF	24,000,000		06/21/2025	Annually		—			(44,539	)		(44,539	)
EUR - EuroSTR -  COMPOUND	3.36%	EUR	29,000,000		06/21/2025	Annually		—			96,189			96,189
EUR - EuroSTR -  COMPOUND	3.61%	EUR	12,500,000		06/21/2025	Annually		—			107,740			107,740
EUR - EuroSTR -  COMPOUND	3.67%	EUR	41,821,000		06/21/2025	Annually		(26,911	)		404,120			431,031
3.01%	EUR - EuroSTR - COMPOUND	EUR	37,500,000		06/21/2025	Annually		—			143,447			143,447
3.22%	EUR - EuroSTR - COMPOUND	EUR	32,500,000		06/21/2025	Annually		—			(13,405	)		(13,405	)
3.36%	EUR - EuroSTR - COMPOUND	EUR	30,500,000		06/21/2025	Annually		—			(103,371	)		(103,371	)
3.10%	EUR - EuroSTR - COMPOUND	EUR	27,000,000		06/21/2025	Annually		14,180			56,900			42,720
3.13%	EUR - EuroSTR - COMPOUND	EUR	23,000,000		06/21/2025	Annually		—			32,828			32,828
GBP - SONIA -  COMPOUND	4.08%	GBP	16,500,000		06/21/2025	Annually		—			(369,773	)		(369,773	)
GBP - SONIA -  COMPOUND	4.28%	GBP	29,500,000		06/21/2025	Annually		—			(526,078	)		(526,078	)
GBP - SONIA -  COMPOUND	4.39%	GBP	27,000,000		06/21/2025	Annually		—			(412,523	)		(412,523	)
4.18%	GBP - SONIA - COMPOUND	GBP	26,000,000		06/21/2025	Annually		—			523,467			523,467
5.22%	GBP - SONIA - COMPOUND	GBP	16,500,000		06/21/2025	Annually		—			(63,357	)		(63,357	)
4.80%	3 Month NZD Bank Bill Rate NZD		49,500,000		06/21/2025	Quarterly		—			202,834			202,834
5.00%	3 Month NZD Bank Bill Rate NZD		63,500,000		06/21/2025	Quarterly		—			113,670			113,670
3.46%	3 Month SEK STIBOR	SEK	415,000,000		06/21/2025	Quarterly		—			104,540			104,540
3.44%	3 Month SEK STIBOR	SEK	275,000,000		06/21/2025	Quarterly		19,334			78,728			59,394
3 Month SEK STIBOR	3.37%	SEK	170,000,000		06/21/2025	Quarterly		—			(69,064	)		(69,064	)
3 Month SEK STIBOR	3.47%	SEK	210,000,000		06/21/2025	Quarterly		—			(49,032	)		(49,032	)
3 Month SEK STIBOR	3.48%	SEK	460,000,000		06/21/2025	Quarterly		—			(100,142	)		(100,142	)
3 Month SEK STIBOR	3.86%	SEK	1,189,974,000		06/21/2025	Quarterly		(57,211	)		535,136			592,347
3.73%	USD - SOFR - COMPOUND	USD	38,500,000		06/21/2025	Annually		—			366,886			366,886
3.86%	USD - SOFR - COMPOUND	USD	10,000,000		06/21/2025	Annually		—			70,702			70,702
4.30%	USD - SOFR - COMPOUND	USD	24,000,000		06/21/2025	Annually		—			(31,770	)		(31,770	)
CAD - CORRA - OIS  -COMPOUND	4.18%	CAD	84,153,000		09/20/2025	Annually		(71,345	)		49,334			120,679
6 Month AUD BBSW	3.77%	AUD	146,164,000		06/21/2033	Semi-Annually		170,356			(2,535,704	)		(2,706,060	)
6 Month AUD BBSW	3.94%	AUD	4,100,000		06/21/2033	Semi-Annually		—			(33,428	)		(33,428	)
6 Month AUD BBSW	4.07%	AUD	10,700,000		06/21/2033	Semi-Annually		—			(10,567	)		(10,567	)
6 Month AUD BBSW	4.09%	AUD	10,700,000		06/21/2033	Semi-Annually		—			(4,012	)		(4,012	)
6 Month AUD BBSW	4.16%	AUD	10,400,000		06/21/2033	Semi-Annually		—			37,655			37,655
6 Month AUD BBSW	4.29%	AUD	39,849,000		06/21/2033	Semi-Annually		145,969			415,171			269,202
3.91%	6 Month AUD BBSW	AUD	13,100,000		06/21/2033	Semi-Annually		—			128,440			128,440
4.02%	6 Month AUD BBSW	AUD	12,400,000		06/21/2033	Semi-Annually		—			45,607			45,607
3.99%	6 Month AUD BBSW	AUD	18,300,000		06/21/2033	Semi-Annually		—			101,917			101,917
CHF - SARON - OIS - COMPOUND	1.94%	CHF	7,250,000		06/21/2033	Annually		—			109,351			109,351
CHF - SARON - OIS - COMPOUND	1.95%	CHF	7,250,000		06/21/2033	Annually		—			114,852			114,852
CHF - SARON - OIS - COMPOUND	1.95%	CHF	5,200,000		06/21/2033	Annually		—			79,746			79,746
CHF - SARON - OIS - COMPOUND	1.98%	CHF	51,646,000		06/21/2033	Annually		943			967,067			966,124
CHF - SARON - OIS - COMPOUND	2.01%	CHF	8,300,000		06/21/2033	Annually		—			176,409			176,409
CHF - SARON - OIS - COMPOUND	2.03%	CHF	10,500,000		06/21/2033	Annually		—			249,724			249,724
1.94%	CHF - SARON - OIS - COMPOUND	CHF	10,200,000		06/21/2033	Annually		—			(144,559	)		(144,559	)
1.95%	CHF - SARON - OIS - COMPOUND	CHF	7,700,000		06/21/2033	Annually		—			(116,917	)		(116,917	)
1.84%	CHF - SARON - OIS - COMPOUND	CHF	7,000,000		06/21/2033	Annually		—			(31,223	)		(31,223	)
1.95%	CHF - SARON - OIS - COMPOUND	CHF	5,100,000		06/21/2033	Annually		—			(81,050	)		(81,050	)
1.82%	CHF - SARON - OIS - COMPOUND	CHF	8,600,000		06/21/2033	Annually		—			(19,219	)		(19,219	)
1.93%	CHF - SARON - OIS - COMPOUND	CHF	8,800,000		06/21/2033	Annually		—			(123,382	)		(123,382	)
EUR - EuroSTR -  COMPOUND	2.71%	EUR	8,300,000		06/21/2033	Annually		—			(11,737	)		(11,737	)
EUR - EuroSTR -  COMPOUND	2.74%	EUR	6,000,000		06/21/2033	Annually		(9,425	)		10,769			20,194
EUR - EuroSTR -  COMPOUND	2.75%	EUR	5,100,000		06/21/2033	Annually		—			12,294			12,294
EUR - EuroSTR -  COMPOUND	2.80%	EUR	7,200,000		06/21/2033	Annually		—			51,609			51,609
EUR - EuroSTR -  COMPOUND	2.91%	EUR	6,800,000		06/21/2033	Annually		—			119,469			119,469
3.04%	EUR - EuroSTR - COMPOUND	EUR	2,800,000		06/21/2033	Annually		—			(81,842	)		(81,842	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (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) ($)
2.97%	EUR - EuroSTR - COMPOUND %	EUR	9,137,000		06/21/2033	Annually		(9,281	)		(208,683	)		(199,402	)
2.74%	EUR - EuroSTR - COMPOUND	EUR	8,128,000		06/21/2033	Annually		2,118			(7,840	)		(9,958	)
2.75%	EUR - EuroSTR - COMPOUND	EUR	8,600,000		06/21/2033	Annually		11,024			(19,928	)		(30,952	)
2.91%	EUR - EuroSTR - COMPOUND	EUR	9,200,000		06/21/2033	Annually		—			(158,630	)		(158,630	)
2.89%	EUR - EuroSTR - COMPOUND	EUR	6,500,000		06/21/2033	Annually		—			(101,162	)		(101,162	)
2.74%	EUR - EuroSTR - COMPOUND	EUR	9,800,000		06/21/2033	Annually		—			(8,996	)		(8,996	)
GBP - SONIA -  COMPOUND	3.44%	GBP	5,900,000		06/21/2033	Annually		—			(384,713	)		(384,713	)
GBP - SONIA -  COMPOUND	3.77%	GBP	19,800,000		06/21/2033	Annually		—			(644,025	)		(644,025	)
GBP - SONIA -  COMPOUND	4.11%	GBP	9,700,000		06/21/2033	Annually		—			12,543			12,543
GBP - SONIA -  COMPOUND	4.27%	GBP	3,800,000		06/21/2033	Annually		—			63,329			63,329
3.34%	GBP - SONIA - COMPOUND	GBP	3,800,000		06/21/2033	Annually		—			285,469			285,469
3.58%	GBP - SONIA - COMPOUND	GBP	6,700,000		06/21/2033	Annually		—			347,836			347,836
3.67%	GBP - SONIA - COMPOUND	GBP	8,600,000		06/21/2033	Annually		—			367,580			367,580
3.66%	GBP - SONIA - COMPOUND	GBP	6,200,000		06/21/2033	Annually		—			271,148			271,148
4.64%	3 Month NZD Bank Bill Rate	NZD	24,592,000		06/21/2033	Quarterly		(54,060	)		(381,499	)		(327,439	)
4.07%	3 Month NZD Bank Bill Rate	NZD	11,870,000		06/21/2033	Quarterly		10,375			145,328			134,953
4.07%	3 Month NZD Bank Bill Rate	NZD	8,730,000		06/21/2033	Quarterly		—			109,006			109,006
4.35%	3 Month NZD Bank Bill Rate	NZD	16,890,000		06/21/2033	Quarterly		—			(21,126	)		(21,126	)
4.38%	3 Month NZD Bank Bill Rate	NZD	19,410,000		06/21/2033	Quarterly		—			(54,953	)		(54,953	)
3 Month NZD Bank Bill Rate	4.08%	NZD	11,600,000		06/21/2033	Quarterly		(3,987	)		(136,043	)		(132,056	)
3 Month NZD Bank Bill Rate	4.22%	NZD	7,200,000		06/21/2033	Quarterly		—			(34,584	)		(34,584	)
3 Month NZD Bank Bill Rate	4.24%	NZD	14,700,000		06/21/2033	Quarterly		—			(62,031	)		(62,031	)
3 Month NZD Bank Bill Rate	4.28%	NZD	15,300,000		06/21/2033	Quarterly		—			(34,803	)		(34,803	)
3 Month SEK STIBOR	2.82%	SEK	65,000,000		06/21/2033	Quarterly		—			(48,989	)		(48,989	)
3 Month SEK STIBOR	2.84%	SEK	86,000,000		06/21/2033	Quarterly		—			(49,190	)		(49,190	)
3 Month SEK STIBOR	2.84%	SEK	61,000,000		06/21/2033	Quarterly		(6,285	)		(37,203	)		(30,918	)
3.14%	3 Month SEK STIBOR	SEK	657,547,000		06/21/2033	Quarterly		(12,357	)		(1,182,278	)		(1,169,921	)
2.83%	3 Month SEK STIBOR	SEK	65,000,000		06/21/2033	Quarterly		—			44,110			44,110
2.81%	3 Month SEK STIBOR	SEK	90,000,000		06/21/2033	Quarterly		—			71,385			71,385
2.80%	3 Month SEK STIBOR	SEK	94,000,000		06/21/2033	Quarterly		—			81,613			81,613
2.84%	3 Month SEK STIBOR	SEK	58,000,000		06/21/2033	Quarterly		—			32,945			32,945
2.83%	3 Month SEK STIBOR	SEK	36,000,000		06/21/2033	Quarterly		—			23,577			23,577
2.88%	3 Month SEK STIBOR	SEK	49,000,000		06/21/2033	Quarterly		—			12,930			12,930
2.83%	3 Month SEK STIBOR	SEK	14,000,000		06/21/2033	Quarterly		2,426			9,114			6,688
2.80%	3 Month SEK STIBOR	SEK	96,000,000		06/21/2033	Quarterly		—			85,245			85,245
2.86%	3 Month SEK STIBOR	SEK	102,000,000		06/21/2033	Quarterly		—			46,254			46,254
2.98%	3 Month SEK STIBOR	SEK	78,000,000		06/21/2033	Quarterly		—			(41,654	)		(41,654	)
USD - SOFR -  COMPOUND	3.13%	USD	8,700,000		06/21/2033	Annually		—			(168,761	)		(168,761	)
USD - SOFR -  COMPOUND	3.20%	USD	2,200,000		06/21/2033	Annually		—			(29,189	)		(29,189	)
USD - SOFR -  COMPOUND	3.21%	USD	18,600,000		06/21/2033	Annually		—			(231,943	)		(231,943	)
USD - SOFR -  COMPOUND	3.47%	USD	5,500,000		06/21/2033	Annually		—			48,724			48,724
3.12%	USD - SOFR - COMPOUND	USD	38,859,000		06/21/2033	Annually		72,213			775,967			703,754
3.48%	USD - SOFR - COMPOUND	USD	9,600,000		06/21/2033	Annually		—			(93,509	)		(93,509	)
3.40%	USD - SOFR - COMPOUND	USD	10,200,000		06/21/2033	Annually		—			(30,404	)		(30,404	)
3.38%	CAD - CORRA - OIS - COMPOUND	CAD	18,769,000		09/20/2033	Annually		(17,925	)		(128,777	)		(110,852	)
							$	17,230		$	(1,212,426	)	$	(1,229,656	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Swap Contracts — continued

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 0.01%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	11,845,942		08/09/2023		Monthly		—			(647,824	)		(647,824	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.01%	UBSA		USD	9,733,502		08/09/2023		Monthly		—			324,784			324,784
1 Month Federal Funds Rate minus 0.02%	Total Return on MSCI World Daily Total Return Net Value Index	JPM		USD	2,343,221		12/15/2023		Monthly		—			(111,639	)		(111,639	)
Total Returnon MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.07%	JPM		USD	3,805,696		12/15/2023		Monthly		—			131,103			131,103
1 Month Federal Funds Rate plus 0.03%	Total Return on MSCI World Daily Total Return Net Value Index	GS		USD	16,269,561		04/30/2024		Monthly		—			(889,741	)		(889,741	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	GS		USD	15,834,009		04/30/2024		Monthly		—			528,340			528,340
1 Month Federal Funds Rate minus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	7,785,265		05/13/2024		Monthly		—			(336,607	)		(336,607	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA		USD	8,420,701		05/13/2024		Monthly		—			266,185			266,185
1 Month Federal Funds Rate minus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	11,578,878		05/22/2024		Monthly		1,615			(521,793	)		(523,408	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA		USD	12,290,895		05/22/2024		Monthly		(1,741	)		506,805			508,546
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.40%	GS		USD	20,366,820		06/24/2024		Monthly		—			388,819			388,819
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	41,576,726		06/18/2024		Monthly		—			975,542			975,542
										$	(126	)	$	613,974		$	614,100

As of May 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

(d) Investment valued using significant unobservable inputs

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

(f) The security is restricted as to resale.

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

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

(i) Security is in default.

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

(k) The rate disclosed is the 7 day net yield as of May 31, 2023.

(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.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

(m) The following table represents the individual long and/or short positions within the custom equity basket swap as of May 31, 2023:

Shares			Description	%of Equity Basket			Value ($)
	(2,744,000	)	Air China Ltd – Class H		5.1	%		(2,085,688	)
	(754,000	)	Alibaba Health Information Technology Ltd		1.1	%		(447,546	)
	(1,761,000	)	China Molybdenum Co Ltd – Class H		2.3	%		(920,880	)
	(626,000	)	China Southern Airlines Co Ltd – Class H		0.9	%		(360,521	)
	(1,224,000	)	Genscript Biotech Corp		6.6	%		(2,713,923	)
	(3,421,600	)	Gulf Energy Development Pcl NVDR		11.8	%		(4,786,978	)
	(6,832	)	Hanmi Pharm Co Ltd		3.7	%		(1,503,337	)
	(64,874	)	Hotel Shilla Co Ltd		9.3	%		(3,773,266	)
	(38,852	)	Kakao Corp		4.0	%		(1,643,913	)
	(2,271,000	)	Kingdee International Software Group Co Ltd		7.4	%		(3,019,039	)
	(147,262	)	Korea Aerospace Industries Ltd		14.1	%		(5,711,060	)
	(327,700	)	Microport Scientific Corp		1.4	%		(563,705	)
	182,346		Nokia Oyj		(1.8	%)		737,667
	(6,539	)	POSCO Chemical Co Ltd		4.2	%		(1,722,230	)
	(90,300	)	Rede D’Or Sao Luiz SA		1.3	%		(516,173	)
	(9,769	)	Samsung Biologics Co Ltd		14.2	%		(5,764,752	)
	(767,926	)	Samsung Heavy Industries Co Ltd		8.7	%		(3,540,582	)
	89,412		Stora Enso Oyj – R Shares		(2.8	%)		1,134,307
	(39,720	)	Yuhan Corp		4.4	%		(1,775,696	)
	(1,220,000	)	Zijin Mining Group Co Ltd – Class H		4.1	%		(1,659,388	)
			TOTAL COMMON STOCKS				$	(40,636,703	)

The rates shown on variable rate notes are the current interest rates at May 31, 2023 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.

CDI - Certificado de Deposito Interbancario

CORRA - Canadian Overnight Repo Rate Average

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

EuroSTR - Euro Short-Term Rate

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

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

OIS - Overnight Indexed Swaps

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

RBOB - Reformulated Blendstock for Oxygenate Blending.

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

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippines Peso

PLN - Polish Zloty

RON - Romanian New Leu

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TWD - Taiwan New Dollar

USD - United States Dollar

ZAR - South African Rand

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,379,711	GMO Emerging Markets ex-China Fund, Class VI		18,833,051
	7,970,283	GMO International Equity Fund, Class IV		170,643,763
	2,112,782	GMO International Opportunistic Value
		Fund (formerly GMO Tax-Managed
		International Equities Fund), Class III		27,339,399
	541,299	GMO-Usonian Japan Value Creation Fund, Class VI		9,559,344
		TOTAL MUTUAL FUNDS (COST $242,732,872)		226,375,557
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	127,676	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (a)		127,676
		TOTAL SHORT-TERM INVESTMENTS (COST $127,676)		127,676
		TOTAL INVESTMENTS — 100.0% (Cost $242,860,548)		226,503,233
		Other Assets and Liabilities (net) — (0.0%)		(45,705	)
		TOTAL NET ASSETS — 100.0%		$226,457,528

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2023.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	2,148,492	GMO Emerging Markets ex-China Fund, Class VI		29,326,923
	4,929,648	GMO Emerging Markets Fund, Class VI		106,283,206
	8,152,362	GMO International Equity Fund, Class IV		174,542,061
	2,481,203	GMO International Opportunistic Value
		Fund (formerly GMO Tax-Managed International Equities Fund), Class III		32,106,767
	836,631	GMO-Usonian Japan Value Creation Fund, Class VI		14,774,911
		TOTAL MUTUAL FUNDS (COST $445,246,880)		357,033,868
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	215,070	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (a)		215,070
		TOTAL SHORT-TERM INVESTMENTS (COST $215,070)		215,070
		TOTAL INVESTMENTS — 100.0% (Cost $445,461,950)		357,248,938
		Other Assets and Liabilities (net) — (0.0%)		(73,864	)
		TOTAL NET ASSETS — 100.0%		$357,175,074

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2023.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

	Par Value†		Description	Value ($)
			DEBT OBLIGATIONS — 88.1%
			United States — 88.1%
			U.S. Government — 88.1%
		25,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, USBM + 0.14%, 5.51%, due 10/31/24 (a) (b)		25,025,166
		10,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 5.54%, due 04/30/25 (b)		10,004,870
		29,030,000	U.S. Treasury Note, 0.13%, due 06/30/23 (b)		28,911,715
		3,900,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 10/31/23 (b)		3,900,663
		35,100,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 5.30%, due 04/30/24 (a) (b)		35,075,026
		6,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.41%, due 07/31/24 (a) (b)		6,000,441
			Total U.S. Government		108,917,881
			Total United States		108,917,881
			TOTAL DEBT OBLIGATIONS (COST $108,928,754)		108,917,881
			SHORT-TERM INVESTMENTS — 10.3%
			Sovereign and Sovereign Agency Issuers — 9.4%
JPY		179,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/12/23		1,284,807
JPY		443,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/19/23		3,179,823

	Par Value† / Shares		Description	Value ($)
			Sovereign and Sovereign Agency Issuers — continued
JPY		150,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/31/23		1,076,911
JPY		450,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/07/23		3,230,829
JPY		400,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/14/23		2,871,931
			Total Sovereign and Sovereign Agency Issuers		11,644,301
			Money Market Funds — 0.9%
		213,918	State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (c)		213,918
		865,715	State Street U.S. Treasury Liquidity Fund – Class D Shares, 5.04% (a)		865,715
			Total Money Market Funds		1,079,633
			TOTAL SHORT-TERM INVESTMENTS (COST $13,135,444)		12,723,934
			TOTAL INVESTMENTS — 98.4% (Cost $122,064,198)		121,641,815
			Other Assets and Liabilities (net) — 1.6%		2,008,339
			TOTAL NET ASSETS — 100.0%		$123,650,154

A summary of outstanding financial instruments at May 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/24/2023	JPM	AUD	22,100,164		USD	14,724,542		321,784
07/31/2023	SSB	CHF	22,759,103		USD	25,317,765		163,282
06/20/2023	BBH	JPY	443,000,000		USD	3,363,052		174,669
06/12/2023	BCLY	JPY	179,000,000		USD	1,357,078		70,372
06/13/2023	SSB	JPY	1,428,067,972		USD	10,797,640		530,661
07/31/2023	SSB	JPY	150,000,000		USD	1,135,940		49,443
08/07/2023	SSB	JPY	450,000,000		USD	3,317,585		54,507
08/14/2023	SSB	JPY	400,000,000		USD	3,007,123		103,406
06/13/2023	JPM	JPY	106,900,000		USD	779,743		11,194
06/13/2023	BCLY	JPY	124,000,000		USD	896,542		5,054

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/17/2023	BCLY	USD	4,547,609		CAD	6,126,691		(29,518	)
07/17/2023	BOA	USD	512,011		CAD	691,719		(1,907	)
07/31/2023	SSB	USD	29,384,875		EUR	27,288,575		(118,535	)
07/24/2023	MSCI	USD	5,398,388		GBP	4,339,427		5,157
07/24/2023	SSB	USD	751,885		GBP	603,119		(869	)
06/13/2023	GS	USD	377,905		JPY	51,700,000		(6,212	)
06/13/2023	JPM	USD	364,680		JPY	48,750,000		(14,196	)
06/13/2023	BCLY	USD	544,788		JPY	73,400,000		(17,085	)
07/31/2023	UBSA	USD	731,030		NZD	1,200,771		(8,037	)
							$	1,293,170

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
118	CAC40 10 Euro	June 2023		8,981,129		(310,166	)
4	Corn (a)	July 2023		118,800		(7,215	)
24	DAX Index	June 2023		10,075,029		(2,378	)
28	E-mini Russell 2000 Index	June 2023		2,452,520		(53,022	)
130	FTSE 100 Index	June 2023		12,049,966		(130,711	)
39	Hang Seng Index	June 2023		4,534,958		(240,174	)
567	Mini MSCI Emerging Markets	June 2023		27,125,280		(75,965	)
258	MSCI Singapore	June 2023		5,422,271		(152,072	)
83	Soybean (a)	July 2023		5,393,963		(533,167	)
6	SPI 200 Futures	June 2023		692,234		(13,358	)
10	UK Gilt Long Bond	September 2023		1,204,019		7,816
			$	78,050,169	$	(1,510,412	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
11	Australian Government Bond 10 Yr.	June 2023		857,970		(151	)
80	Canadian Government Bond 10 Yr.	September 2023		7,288,103		(14,208	)
13	Corn (a)	July 2023		386,100		(10,614	)
23	Euro Bund	June 2023		3,344,749		(118,353	)
62	FTSE Taiwan Index	June 2023		3,513,599		(45,449	)
45	Gold 100 OZ (a)	August 2023		8,919,450		297,742
75	S&P 500 E-Mini	June 2023		15,714,375		(461,079	)
29	S&P/TSX 60	June 2023		5,027,094		51,696
17	Silver (a)	July 2023		2,004,895		179,190
120	TOPIX Index	June 2023		18,246,157		(472,496	)
185	U.S. Treasury Note 10 Yr. (CBT)	September 2023		21,176,719		(80,821	)
51	WTI Crude (a)	June 2023		3,472,590		232,621
			$	89,951,801	$	(441,922	)

+ 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 minus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	7,554,123		05/13/2024		Monthly		—			(326,613	)		(326,613	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA		USD	7,407,308		05/13/2024		Monthly		—			234,151			234,151
1 Month Federal Funds Rate minus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	7,935,643		05/22/2024		Monthly		1,107			(357,613	)		(358,720	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA		USD	8,171,347		05/22/2024		Monthly		(1,158	)		336,939			338,097
										$	(51	)	$	(113,136	)	$	(113,085	)

As of May 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

Notes to Schedule of Investments:

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

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

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

(c) The rate disclosed is the 7 day net yield as of May 31, 2023.

The rates shown on variable rate notes are the current interest rates at May31, 2023, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

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

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NZD - New Zealand Dollar

USD - United States Dollar

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 21.5%
		Australia — 0.6%
	28,066	Aurizon Holdings Ltd (a)		64,963
	18,375	BlueScope Steel Ltd (a)		221,605
	21,839	Brambles Ltd (a)		194,988
	12,007	Fortescue Metals Group Ltd (a)		150,345
	44,850	GPT Group (The) (REIT) (a)		122,171
	98,347	Mirvac Group (REIT) (a)		147,086
	44,089	Scentre Group (REIT) (a)		77,693
	42,562	Stockland (REIT) (a)		117,879
		Total Australia		1,096,730
		Belgium — 0.3%
	5,649	Ageas SA/NV (a)		225,995
	459	Sofina SA (a)		94,990
	3,202	UCB SA (a)		279,636
		Total Belgium		600,621
		Brazil — 0.1%
	7,200	Banco do Brasil SA		63,325
	4,600	Petroleo Brasileiro SA Sponsored ADR (a)		53,084
	3,700	Telefonica Brasil SA ADR (a)		29,304
	1,107	Vale SA		13,923
		Total Brazil		159,636
		Canada — 1.0%
	2,200	Alimentation Couche-Tard Inc (a)		106,524
	967	Brookfield Asset Management Ltd – Class A (a)		29,513
	4,265	Brookfield Corp – Class A (a)		128,120
	2,000	Canadian Tire Corp Ltd – Class A (a)		240,236
	700	iA Financial Corp Inc (a)		44,614
	2,700	Magna International Inc (a)		130,634
	9,200	Manulife Financial Corp (a) (b)		170,446
	7,400	Manulife Financial Corp (a) (b)		137,048
	2,567	Nutrien Ltd (a)		135,281
	2,300	Onex Corp (a)		104,148
	7,300	Quebecor Inc – Class B (a)		174,071
	4,000	Teck Resources Ltd – Class B * (a) (b)		156,140
	2,000	Teck Resources Ltd – Class B (a) (b)		78,140
	3,200	West Fraser Timber Co Ltd (a) (b)		215,950
	400	West Fraser Timber Co Ltd (a) (b)		26,968
		Total Canada		1,877,833
		China — 0.4%
	14,093	Alibaba Group Holding Ltd *		140,259
	78,000	Bank of Communications Co Ltd – Class H		50,290
	15,000	Beijing Enterprises Holdings Ltd		57,964
	12,500	China Conch Venture Holdings Ltd		15,702
	46,500	China Overseas Land & Investment Ltd		94,365
	152,000	China Railway Group Ltd – Class H		100,158
	286,000	China Zhongwang Holdings Ltd * (c)		—

Shares		Description	Value ($)
		China — continued
	110,000	CITIC Ltd		126,999
	60,000	Dongfeng Motor Group Co Ltd – Class H		25,983
	9,000	Kingboard Holdings Ltd		24,250
	9,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		19,730
	154,000	Shimao Group Holdings Ltd * (d)		86,927
	8,000	Sinopharm Group Co Ltd – Class H		26,225
	1,699	Tencent Holdings Ltd		67,237
		Total China		836,089
		Denmark — 0.4%
	49	AP Moller – Maersk A/S – Class A (a)		82,431
	112	AP Moller – Maersk A/S – Class B (a)		188,494
	13,427	Danske Bank A/S * (a)		273,833
	73	Genmab A/S * (a)		28,737
	2,923	Pandora A/S (a)		233,304
	54	Rockwool A/S – B Shares (a)		12,901
		Total Denmark		819,700
		Finland — 0.2%
	2,929	Neste Oyj (a)		110,662
	65,530	Nokia Oyj (a)		265,097
	4,050	Stora Enso Oyj – R Shares (a)		51,379
		Total Finland		427,138
		France — 0.8%
	9,781	ArcelorMittal SA		243,974
	3,244	BNP Paribas SA (a)		188,600
	580	Cie de Saint-Gobain (a)		32,210
	224	Kering SA (a)		119,764
	261	LVMH Moet Hennessy Louis Vuitton SE (a)		228,199
	1,914	Publicis Groupe SA (a)		142,149
	1,531	Renault SA (a)		51,423
	1,997	Safran SA (a)		290,054
	9,024	Societe Generale SA (a)		210,083
	2,632	Vivendi SE (a)		23,383
		Total France		1,529,839
		Germany — 0.4%
	1,327	Bayerische Motoren Werke AG (a)		144,716
	1,331	Beiersdorf AG (a)		169,848
	480	Continental AG (a)		32,039
	2,702	Fresenius SE & Co KGaA (a)		74,095
	564	Heidelberg Materials AG (a)		40,459
	4,143	Mercedes-Benz Group AG (a)		309,704
		Total Germany		770,861
		Hong Kong — 0.1%
	16,230	Galaxy Entertainment Group Ltd *		100,700

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		India — 0.4%
	75,186	GAIL India Ltd		95,131
	5,777	Hindalco Industries Ltd		28,397
	17,130	Hindustan Petroleum Corp Ltd		54,354
	25,377	Indian Oil Corp Ltd		27,560
	43,451	NTPC Ltd		90,494
	148,376	Oil & Natural Gas Corp Ltd		275,314
	161,092	Tata Steel Ltd		205,951
		Total India		777,201
		Ireland — 0.1%
	8,846	Ryanair Holdings Plc *		156,289
	702	Ryanair Holdings Plc Sponsored ADR * (a )		73,766
		Total Ireland		230,055
		Israel — 0.1%
	5,573	Teva Pharmaceutical Industries Ltd *		39,897
	23,700	Teva Pharmaceutical Industries Ltd Sponsored ADR * (a)		170,640
		Total Israel		210,537
		Italy — 0.2%
	17,269	Stellantis NV (a)		263,153
	440,189	Telecom Italia SPA * (a)		117,006
		Total Italy		380,159
		Japan — 2.0%
	1,621	AGC Inc (a)		59,044
	22,000	Asahi Kasei Corp (a)		149,203
	500	FUJIFILM Holdings Corp (a)		30,557
	8,600	Hogy Medical Co Ltd (a)		196,800
	12,200	Honda Motor Co Ltd (a)		347,148
	2,900	Idemitsu Kosan Co Ltd (a)		56,232
	24,900	Inpex Corp (a)		261,636
	7,800	ITOCHU Corp (a)		263,312
	7,400	Mitsubishi Corp (a)		295,852
	1,500	Mitsubishi Electric Corp (a)		19,525
	10,600	Mitsui OSK Lines Ltd (a)		241,067
	500	NEC Corp (a)		23,465
	2,000	Nippon Telegraph & Telephone Corp (a)		56,821
	11,800	Nippon Yusen KK (a)		251,126
	27,700	Obayashi Corp (a)		222,914
	2,600	Renesas Electronics Corp * (a)		42,082
	14,700	Sekisui House Ltd (a)		286,896
	24,400	Shimizu Corp (a)		147,770
	700	Shionogi & Co Ltd (a)		31,448
	7,600	Subaru Corp (a)		130,357
	39,500	Sumitomo Chemical Co Ltd (a)		117,621
	15,400	Sumitomo Corp (a)		290,649
	6,100	Taisei Corp (a)		193,830
	1,200	TDK Corp (a)		45,779
	8,800	Tosoh Corp (a)		101,094

Shares		Description	Value ($)
		Japan — continued
	600	Toyota Tsusho Corp (a)		26,355
	4,200	Yamaha Motor Co Ltd (a)		103,330
		Total Japan		3,991,913
		Mexico — 0.3%
	29,502	Fomento Economico Mexicano SAB de CV		297,922
	44,275	Grupo Mexico SAB de CV – Series B		197,484
		Total Mexico		495,406
		Netherlands — 0.8%
	52,055	Aegon NV (a)		228,739
	3,051	EXOR NV * (a)		253,371
	2,737	ING Groep NV (a)		33,723
	7,104	JDE Peet’s NV (a)		206,444
	8,892	Koninklijke Ahold Delhaize NV (a)		281,897
	14,975	Koninklijke Philips NV * (a)		282,917
	5,953	NN Group NV (a)		214,767
		Total Netherlands		1,501,858
		New Zealand — 0.0%
	7,740	Auckland International Airport Ltd * (a)		41,369
	12,318	Meridian Energy Ltd (a)		39,331
		Total New Zealand		80,700
		Poland — 0.0%
	6,650	Polski Koncern Naftowy ORLEN SA		94,685
		Portugal — 0.1%
	28,679	EDP – Energias de Portugal SA		140,094
		Russia — 0.0%
	2,505	LUKOIL PJSC (c)		1,711
	5,410	Novatek PJSC (c)		860
		Total Russia		2,571
		South Africa — 0.0%
	7,025	Bidvest Group Ltd (The)		84,858
		South Korea — 0.4%
	331	E-MART Inc		21,018
	3,320	Kia Corp		214,491
	1,223	LG Corp		79,317
	906	LG Electronics Inc		83,722
	137	POSCO Holdings Inc		37,123
	2,400	POSCO Holdings Inc Sponsored ADR (a)		162,912
	2,735	SK Square Co Ltd *		95,123
		Total South Korea		693,706
		Spain — 0.5%
	3,107	Amadeus IT Group SA * (a)		222,974
	39,438	Banco Bilbao Vizcaya Argentaria SA (a)		259,292

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Spain — continued
	75,774	Banco Santander SA (a)		247,556
	5,679	Industria de Diseno Textil SA (a)		189,995
		Total Spain		919,817
		Sweden — 0.2%
	29,827	Fastighets AB Balder – B Shares * (a)		100,676
	3,292	Investor AB – A Shares (a)		67,889
	8,673	Kinnevik AB – Class B * (a)		125,191
	3,780	Skanska AB – B Shares (a)		49,943
	2,725	Svenska Cellulosa AB SCA – Class B (a)		36,231
		Total Sweden		379,930
		Switzerland — 0.4%
	6,670	Adecco Group AG (Registered) * (a)		199,309
	3,677	Logitech International SA (Registered) (a) (b)		235,195
	500	Logitech International SA (Registered) (a) (b)		31,920
	53	Roche Holding AG (a)		17,941
	809	Roche Holding AG – Genusschein (a)		257,674
		Total Switzerland		742,039
		Thailand — 0.1%
	21,200	Kasikornbank Pcl NVDR		78,856
	263,800	Krung Thai Bank Pcl NVDR		143,941
		Total Thailand		222,797
		Turkey — 0.1%
	60,102	Haci Omer Sabanci Holding AS		111,802
	272,495	Yapi ve Kredi Bankasi AS		134,221
		Total Turkey		246,023
		United Kingdom — 0.9%
	2,106	3i Group Plc (a)		51,376
	5,969	Berkeley Group Holdings Plc (The) (a)		292,157
	129,122	BT Group Plc (a)		235,872
	2,961	Coca-Cola HBC AG * (a)		87,966
	12,879	Compass Group Plc (a)		352,938
	52,595	Kingfisher Plc (a)		151,284
	4,988	Persimmon Plc (a)		74,666
	6,763	Shell Plc (a)		185,935
	72,474	Taylor Wimpey Plc (a)		103,227
	22,329	Vodafone Group Plc Sponsored ADR (a)		211,679
		Total United Kingdom		1,747,100
		United States — 10.6%
	1,500	3M Co. (a)		139,965
	500	Akamai Technologies, Inc. * (a)		46,060
	9,962	Ally Financial, Inc. (a)		265,687
	2,717	Alphabet, Inc. – Class A * (a)		333,838
	1,200	Alphabet, Inc. – Class C * (a)		148,044
	1,344	American Express Co. (a)		213,105
	2,400	Arrow Electronics, Inc. * (a)		303,936

Shares		Description	Value ($)
		United States — continued
	200	Aspen Technology, Inc. * (a)		32,784
	2,200	Best Buy Co., Inc. (a)		159,874
	475	Biogen, Inc. * (a)		140,795
	634	Bio-Rad Laboratories, Inc. – Class A * (a)		236,704
	105	Booking Holdings, Inc. * (a)		263,421
	9,513	BorgWarner, Inc. (a)		421,711
	3,139	Capital One Financial Corp. (a)		327,115
	1,212	CarMax, Inc. * (a)		87,519
	6,300	Carrier Global Corp. (a)		257,670
	2,200	CBRE Group, Inc. – Class A * (a)		164,824
	4,000	Centene Corp. * (a)		249,640
	1,666	Chesapeake Energy Corp. (a)		125,367
	1,065	Chevron Corp. (a)		160,410
	5,700	Citigroup, Inc. (a)		252,624
	16,638	Cleveland-Cliffs, Inc. * (a)		230,935
	4,300	Cognizant Technology Solutions Corp. – Class A (a)		268,707
	7,000	Comcast Corp. – Class A (a)		275,450
	275	Crowdstrike Holdings, Inc. – Class A * (a)		44,036
	3,300	CVS Health Corp. (a)		224,499
	3,221	Darling Ingredients, Inc. * (a)		204,147
	4,361	Dell Technologies, Inc. – Class C (a)		195,416
	2,002	Discover Financial Services (a)		205,685
	24,900	DISH Network Corp. – Class A * (a)		160,107
	1,800	DR Horton, Inc. (a)		192,312
	1,000	Dropbox, Inc. – Class A * (a)		23,020
	5,900	eBay, Inc. (a)		250,986
	1,967	EOG Resources, Inc. (a)		211,039
	1,304	Expedia Group, Inc. * (a)		124,806
	900	FedEx Corp. (a)		196,182
	6,700	Fidelity National Financial, Inc. (a)		228,738
	24,100	Ford Motor Co. (a)		289,200
	3,600	Fortune Brands Innovations, Inc. (a)		217,620
	1,875	Fox Corp. – Class A (a)		58,500
	7,200	Fox Corp. – Class B (a)		210,312
	8,400	Franklin Resources, Inc. (a)		201,684
	721	Generac Holdings, Inc. * (a)		78,531
	8,300	General Motors Co. (a)		269,003
	375	Goldman Sachs Group, Inc. (The) (a)		121,463
	2,172	Green Plains, Inc. * (a)		62,988
	1,196	Hilton Worldwide Holdings, Inc. (a)		162,800
	9,000	HP, Inc. (a)		261,540
	3,600	Incyte Corp. * (a)		221,580
	10,000	Intel Corp. (a)		314,400
	2,092	Intercontinental Exchange, Inc. (a)		221,647
	2,100	International Business Machines Corp. (a)		270,039
	6,965	Invesco Ltd. (a)		100,157
	1,800	Jazz Pharmaceuticals Plc * (a)		230,688
	14,800	Kinder Morgan, Inc. (a)		238,428
	2,700	Knight-Swift Transportation Holdings, Inc. (a)		148,473
	7,000	Kraft Heinz Co. (The) (a)		267,540
	1,100	Laboratory Corp. of America Holdings (a)		233,783

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	265	Lam Research Corp. (a)		163,425
	3,212	Las Vegas Sands Corp. * (a)		177,078
	1,700	Lennar Corp. – Class A (a)		182,104
	1,288	Liberty Global Plc – Class A * (a)		20,994
	3,385	Liberty Global Plc – Class C * (a)		57,613
	2,970	LyondellBasell Industries NV – Class A (a)		254,054
	136	Markel Group, Inc. * (a)		178,803
	6,298	Match Group, Inc. * (a)		217,281
	2,116	Meta Platforms, Inc. – Class A * (a)		560,148
	7,488	Micron Technology, Inc. (a)		510,682
	2,166	Moderna, Inc. * (a)		276,620
	2,100	Mohawk Industries, Inc. * (a)		193,284
	5,000	Molson Coors Brewing Co. – Class B (a)		309,250
	5,085	Mosaic Co. (The) (a)		162,517
	7,971	NRG Energy, Inc. (a)		269,340
	1,800	Nucor Corp. (a)		237,708
	1,023	Occidental Petroleum Corp. (a)		58,986
	1,320	Otis Worldwide Corp. (a)		104,953
	7,233	Ovintiv, Inc. (a)		239,195
	331	PACCAR, Inc. (a)		22,766
	15,076	Paramount Global – Class B (a)		229,306
	3,700	PayPal Holdings, Inc. * (a)		229,363
	7,423	Pfizer, Inc. (a)		282,222
	3,000	PulteGroup, Inc. (a)		198,240
	863	QUALCOMM, Inc. (a)		97,873
	2,306	Raytheon Technologies Corp. (a)		212,475
	400	Regeneron Pharmaceuticals, Inc. * (a)		294,224
	100	Roper Technologies, Inc. (a)		45,422
	1,300	Skyworks Solutions, Inc. (a)		134,563
	600	SS&C Technologies Holdings, Inc. (a)		32,976
	2,725	Steel Dynamics, Inc. (a)		250,427
	9,486	Synchrony Financial (a)		293,687
	2,200	Textron, Inc. (a)		136,114
	5,197	Tyson Foods, Inc. – Class A (a)		263,176
	1,900	Universal Health Services, Inc. – Class B (a)		251,047
	3,787	US Bancorp (a)		113,231
	7,900	Verizon Communications, Inc. (a)		281,477
	600	Vertex Pharmaceuticals, Inc. * (a)		194,142
	24,200	Viatris, Inc. (a)		221,430
	4,279	Walgreens Boots Alliance, Inc. (a)		129,953
	4,884	Wells Fargo & Co. (a)		194,432
	6,302	Western Digital Corp. * (a)		244,076
	2,048	Westlake Corp. (a)		212,890
	1,618	Whirlpool Corp. (a)		209,191
	4,000	Zoom Video Communications, Inc. – Class A * (a)		268,520
		Total United States		20,764,792
		TOTAL COMMON STOCKS (COST $43,666,048)		41,925,388

Shares / Par Value†		Description	Value ($)
		PREFERRED STOCKS (e) —0.3%
		Brazil — 0.1%
	26,590	Bradespar SA		111,585
	4,000	Petroleo Brasileiro SA		20,594
	14,400	Petroleo Brasileiro SA Sponsored ADR (a)		148,032
		Total Brazil		280,211
		Germany — 0.2%
	1,572	Bayerische Motoren Werke AG (a)		161,839
	785	Porsche Automobil Holding SE * (a)		43,725
	1,520	Volkswagen AG (a)		190,428
		Total Germany		395,992
		TOTAL PREFERRED STOCKS (COST $654,006)		676,203
		DEBT OBLIGATIONS — 4.4%
		United States — 4.4%
		U.S. Government — 2.6%
	5,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.57%, due 01/31/25 (a)		5,009,247
		U.S. Government Agency — 1.8%
	1,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.16%, due 10/06/23		1,000,009
	1,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.18%, due 03/06/24		1,000,872
	1,500,000	Federal Home Loan Banks, 5.23%, due 03/22/24		1,494,437
		Total U.S. Government Agency		3,495,318
		Total United States		8,504,565
		TOTAL DEBT OBLIGATIONS (COST $8,503,102)		8,504,565
		MUTUAL FUNDS — 80.6%
		United States — 80.6%
		Affiliated Issuers — 80.6%
	415,409	GMO Emerging Country Debt Fund, Class VI		7,302,881
	1,264,729	GMO Emerging Markets ex-China Fund, Class VI		17,263,551
	769,179	GMO Emerging Markets Fund, Class VI		16,583,490
	293,772	GMO High Yield Fund, Class VI		4,985,311
	1,067,031	GMO International Equity Fund, Class IV		22,845,136
	1,293,233	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		16,734,436
	523,633	GMO-Usonian Japan Value Creation Fund, Class VI		9,247,358
	1,131,643	GMO Multi-Sector Fixed Income Fund, Class IV		19,170,038

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares / Par Value†			Description	Value ($)
			Affiliated Issuers — continued
	266,670		GMO Quality Fund, Class VI		7,088,094
	331,353		GMO Small Cap Quality Fund, Class VI		7,173,801
	789,237		GMO U.S. Equity Fund, Class VI		9,833,890
	832,133		GMO U.S. Opportunistic Value Fund, Class VI		16,076,809
	629,987		GMO U.S. Treasury Fund		3,149,935
			Total Affiliated Issuers		157,454,730
			TOTAL MUTUAL FUNDS (COST $170,655,517)		157,454,730
			SHORT-TERM INVESTMENTS — 10.3%
			Money Market Funds — 0.3%
	677,879		State Street Institutional Treasury Money Market Fund – Premier Class, 4.94% (f)		677,879
			Repurchase Agreements — 9.2%
	17,999,726		Nomura Securities International, Inc. Repurchase Agreement, dated 05/31/23, maturing on 06/01/23 with a maturity value of $18,002,246 and an effective yield of 5.04%, collateralized by a U.S. Treasury Note with maturity date 10/31/27 and a market value of $18,367,022.		17,999,726
			U.S. Government Agency — 0.8%
	1,500,000		Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 5.09%, due 06/07/23		1,499,993
			TOTAL SHORT-TERM INVESTMENTS (COST $20,177,605)		20,177,598
			TOTAL INVESTMENTS — 117.1% (Cost $243,656,278)		228,738,484
			SECURITIES SOLD SHORT — (17.3)%
			Common Stocks — (17.2)%
			Australia — (0.4)%
	(4,131	)	ASX Ltd		(181,076	)
	(876	)	Cochlear Ltd		(138,638	)
	(6,552	)	IDP Education Ltd		(92,891	)
	(13	)	Macquarie Group Ltd		(1,442	)
	(96,953	)	Pilbara Minerals Ltd		(277,940	)
	(5,372	)	Qantas Airways Ltd *		(23,198	)
	(3,410	)	Ramsay Health Care Ltd		(127,250	)
	(562	)	WiseTech Global Ltd		(27,314	)
			Total Australia		(869,749	)
			Austria — (0.1)%
	(2,362	)	Verbund AG		(178,482	)
			Belgium — (0.1)%
	(4,837	)	Anheuser-Busch InBev SA/NV		(258,029	)

Shares			Description	Value ($)
			Canada — (0.8)%
	(4,300	)	Agnico Eagle Mines Ltd		(218,354	)
	(5,200	)	Algonquin Power & Utilities Corp		(43,836	)
	(12,100	)	AltaGas Ltd		(205,187	)
	(1,270	)	Cameco Corp		(35,357	)
	(7,373	)	Enbridge Inc		(259,530	)
	(1,984	)	Franco-Nevada Corp		(288,454	)
	(1,500	)	GFL Environmental Inc		(54,210	)
	(8,100	)	Pembina Pipeline Corp		(245,187	)
	(4,000	)	Restaurant Brands International Inc		(291,640	)
			Total Canada		(1,641,755	)
			Denmark — (0.1)%
	(232	)	Coloplast A/S – Class B		(29,275	)
	(5,884	)	Tryg A/S		(133,931	)
			Total Denmark		(163,206	)
			Finland — (0.0)%
	(1,468	)	Elisa Oyj		(82,231	)
			France — (0.6)%
	(7,842	)	Accor SA *		(261,150	)
	(1,525	)	Aeroports de Paris *		(232,437	)
	(38	)	Euronext NV		(2,536	)
	(13,476	)	Getlink SE		(229,291	)
	(161	)	Hermes International		(328,411	)
	(185	)	Sartorius Stedim Biotech		(48,769	)
			Total France		(1,102,594	)
			Germany — (0.7)%
	(6,166	)	Delivery Hero SE *		(231,566	)
	(866	)	Deutsche Boerse AG		(149,786	)
	(1,001	)	MTU Aero Engines AG		(231,565	)
	(1,305	)	Puma SE		(62,372	)
	(189	)	Rational AG		(127,024	)
	(2,325	)	Symrise AG – Class A		(248,990	)
	(70,965	)	Telefonica Deutschland Holding AG		(200,084	)
	(1,286	)	Zalando SE *		(37,397	)
			Total Germany		(1,288,784	)
			Israel — (0.2)%
	(1,800	)	CyberArk Software Ltd *		(278,514	)
	(1,242	)	Wix.com Ltd *		(94,665	)
			Total Israel		(373,179	)
			Italy — (0.5)%
	(6,384	)	Amplifon SPA		(221,441	)
	(208	)	DiaSorin SPA		(21,484	)
	(876	)	Ferrari NV (b)		(250,748	)
	(200	)	Ferrari NV (b)		(57,334	)
	(15,620	)	FinecoBank Banca Fineco SPA		(208,654	)
	(19,965	)	Infrastrutture Wireless Italiane SPA		(254,554	)
			Total Italy		(1,014,215	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares			Description	Value ($)
			Japan — (1.9)%
	(5,900	)	Aeon Co Ltd		(116,688	)
	(11,300	)	ANA Holdings Inc *		(250,652	)
	(7,800	)	Asahi Intecc Co Ltd		(148,633	)
	(400	)	East Japan Railway Co		(22,051	)
	(2,400	)	GMO Payment Gateway Inc		(189,269	)
	(12,900	)	Japan Airlines Co Ltd		(246,522	)
	(5,900	)	Japan Exchange Group Inc		(96,343	)
	(3,700	)	Keio Corp		(130,204	)
	(1,800	)	Keisei Electric Railway Co Ltd		(69,010	)
	(2,000	)	Lasertec Corp		(314,026	)
	(10,200	)	M3 Inc		(226,400	)
	(15,200	)	MonotaRO Co Ltd		(210,769	)
	(700	)	Nidec Corp		(34,689	)
	(10,600	)	Nihon M&A Center Holdings Inc		(74,107	)
	(16,700	)	Nippon Paint Holdings Co Ltd		(127,883	)
	(10,700	)	Odakyu Electric Railway Co Ltd		(155,780	)
	(8,500	)	Oriental Land Co Ltd		(318,348	)
	(43,900	)	Rakuten Group Inc		(181,034	)
	(3,500	)	Shiseido Co Ltd		(158,940	)
	(23,900	)	SoftBank Corp		(254,685	)
	(800	)	SoftBank Group Corp		(31,478	)
	(3,400	)	Tobu Railway Co Ltd		(88,942	)
	(10,200	)	Tokyu Corp		(131,725	)
	(700	)	West Japan Railway Co		(29,317	)
			Total Japan		(3,607,495	)
			Netherlands — (0.4)%
	(187	)	Adyen NV *		(306,277	)
	(1,223	)	IMCD NV		(184,352	)
	(6,105	)	Just Eat Takeaway.com NV *		(92,333	)
	(12,991	)	Universal Music Group NV		(257,703	)
			Total Netherlands		(840,665	)
			New Zealand — (0.2)%
	(4,074	)	Xero Ltd *		(290,855	)
			Peru — (0.1)%
	(3,500	)	Southern Copper Corp		(233,695	)
			Singapore — (0.2)%
	(47,728	)	Grab Holdings Ltd – Class A *		(142,229	)
	(448,200	)	Sembcorp Marine Ltd *		(40,724	)
	(22,100	)	Singapore Exchange Ltd		(151,551	)
			Total Singapore		(334,504	)
			Spain — (0.3)%
	(8,306	)	Cellnex Telecom SA		(336,604	)
	(9,800	)	Ferrovial SA		(304,070	)
			Total Spain		(640,674	)

Shares			Description	Value ($)
			Sweden — (0.1)%
	(1,849	)	Evolution AB		(244,084	)
			Switzerland — (0.3)%
	(246	)	Banque Cantonale Vaudoise		(24,816	)
	(5	)	Chocoladefabriken Lindt & Spruengli AG		(59,917	)
	(186	)	Partners Group Holding AG		(168,151	)
	(1,550	)	Straumann Holding AG (Registered)		(227,724	)
			Total Switzerland		(480,608	)
			United Kingdom — (0.9)%
	(2,205	)	Admiral Group Plc		(63,872	)
	(25,277	)	Auto Trader Group Plc		(198,374	)
	(1,978	)	Halma Plc		(59,365	)
	(14,090	)	Hargreaves Lansdown Plc		(140,675	)
	(37,618	)	Informa Plc		(326,600	)
	(3,478	)	InterContinental Hotels Group Plc		(228,855	)
	(2,983	)	London Stock Exchange Group Plc		(318,001	)
	(9,993	)	M&G Plc		(24,686	)
	(162,689	)	Rolls-Royce Holdings Plc *		(290,645	)
	(605	)	Spirax-Sarco Engineering Plc		(82,466	)
			Total United Kingdom		(1,733,539	)
			United States — (9.3)%
	(11,200	)	AES Corp. (The)		(221,088	)
	(1,500	)	Alnylam Pharmaceuticals, Inc. *		(277,515	)
	(5,900	)	Altria Group, Inc.		(262,078	)
	(700	)	American Tower Corp. (REIT)		(129,108	)
	(163	)	Amgen, Inc.		(35,966	)
	(3,144	)	Ares Management Corp. – Class A		(273,811	)
	(1,500	)	Arthur J Gallagher & Co.		(300,495	)
	(100	)	Autodesk, Inc. *		(19,939	)
	(421	)	Axon Enterprise, Inc. *		(81,215	)
	(126	)	Becton Dickinson & Co.		(30,462	)
	(3,004	)	Bills Holdings, Inc. *		(311,154	)
	(2,900	)	Bio-Techne Corp.		(237,191	)
	(1,500	)	Boeing Co. (The) *		(308,550	)
	(361	)	Broadcom, Inc.		(291,674	)
	(1,472	)	Burlington Stores, Inc. *		(221,477	)
	(5,400	)	Caesars Entertainment, Inc. *		(221,454	)
	(4,457	)	Ceridian HCM Holding, Inc. *		(275,666	)
	(157	)	Chipotle Mexican Grill, Inc. – Class A *		(326,009	)
	(10,359	)	Clarivate Plc *		(80,800	)
	(5,317	)	Cloudflare, Inc. – Class A *		(367,724	)
	(214	)	CME Group, Inc.		(38,253	)
	(600	)	Crown Castle, Inc. (REIT)		(67,926	)
	(2,400	)	Dexcom, Inc. *		(281,424	)
	(191	)	Ecolab, Inc.		(31,525	)
	(1,800	)	Equity LifeStyle Properties, Inc. (REIT)		(113,706	)
	(100	)	Erie Indemnity Co. – Class A		(21,410	)
	(2,000	)	Essential Utilities, Inc.		(81,480	)
	(4,000	)	Exact Sciences Corp. *		(326,320	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2023 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(54	)	Fair Isaac Corp. *		(42,534	)
	(2,877	)	Fastenal Co.		(154,926	)
	(332	)	Fiserv, Inc. *		(37,247	)
	(4,300	)	Fortinet, Inc. *		(293,819	)
	(932	)	Gartner, Inc. *		(319,546	)
	(119	)	Hershey Co. (The)		(30,904	)
	(2,140	)	Hess Corp.		(271,074	)
	(800	)	HubSpot, Inc. *		(414,392	)
	(600	)	IDEXX Laboratories, Inc. *		(278,862	)
	(1,891	)	Ingersoll Rand, Inc.		(107,144	)
	(900	)	Insulet Corp. *		(246,825	)
	(1,533	)	IQVIA Holdings, Inc. *		(301,863	)
	(2,700	)	Iron Mountain, Inc. (REIT)		(144,234	)
	(2,351	)	Lamb Weston Holdings, Inc.		(261,431	)
	(4,100	)	Liberty Media Corp.-Liberty Formula One – Class C *		(288,640	)
	(900	)	Linde Plc		(318,294	)
	(3,800	)	Live Nation Entertainment, Inc. *		(303,772	)
	(800	)	MarketAxess Holdings, Inc.		(217,928	)
	(700	)	Mastercard, Inc. – Class A		(255,514	)
	(288	)	McCormick & Co., Inc.		(24,690	)
	(95	)	McDonald’s Corp.		(27,085	)
	(1,300	)	MongoDB, Inc. – Class A *		(381,927	)
	(244	)	Monolithic Power Systems, Inc.		(119,538	)
	(600	)	Moody’s Corp.		(190,128	)
	(619	)	MSCI, Inc. – Class A		(291,258	)
	(5,811	)	Newmont Corp.		(235,636	)
	(8,600	)	NiSource, Inc.		(231,254	)
	(3,678	)	Novocure Ltd. *		(264,117	)
	(3,500	)	Okta, Inc. *		(318,150	)
	(3,900	)	ONEOK, Inc.		(220,974	)
	(22,500	)	Palantir Technologies, Inc. – Class A *		(330,975	)
	(2,732	)	Paychex, Inc.		(286,669	)
	(200	)	Paylocity Holding Corp. *		(34,550	)
	(2,900	)	Philip Morris International, Inc.		(261,029	)
	(200	)	PTC, Inc. *		(26,880	)
	(200	)	Repligen Corp. *		(33,584	)
	(6,800	)	ROBLOX Corp. – Class A *		(284,648	)
	(4,085	)	Roku, Inc.*		(237,747	)
	(6,604	)	Rollins, Inc.		(259,669	)
	(4,100	)	Royal Caribbean Cruises Ltd. *		(331,977	)

Shares			Description	Value ($)
			United States — continued
	(600	)	ServiceNow, Inc. *		(326,868	)
	(900	)	Sherwin-Williams Co. (The)		(205,002	)
	(1,200	)	Simon Property Group, Inc. (REIT)		(126,180	)
	(1,200	)	Snowflake, Inc. – Class A *		(198,432	)
	(391	)	Stanley Black & Decker, Inc.		(29,313	)
	(2,800	)	Starbucks Corp.		(273,392	)
	(100	)	STERIS Plc		(19,997	)
	(189	)	Sysco Corp.		(13,221	)
	(1,513	)	Tesla, Inc. *		(308,546	)
	(11,993	)	Toast, Inc. – Class A *		(251,493	)
	(4,400	)	Trade Desk, Inc. (The) – Class A *		(308,352	)
	(400	)	TransDigm Group, Inc.		(309,460	)
	(2,958	)	Twilio, Inc. – Class A *		(205,936	)
	(8,694	)	Uber Technologies, Inc. *		(329,763	)
	(3,200	)	UDR, Inc. (REIT)		(126,944	)
	(1,000	)	Vail Resorts, Inc.		(243,200	)
	(100	)	Vulcan Materials Co.		(19,550	)
	(9,700	)	Williams Cos., Inc. (The)		(278,002	)
	(6,145	)	Wolfspeed, Inc. *		(295,206	)
	(200	)	Yum! Brands, Inc.		(25,738	)
	(2,242	)	Zillow Group, Inc. – Class C *		(102,258	)
	(2,200	)	Zscaler, Inc. *		(298,056	)
			Total United States		(18,211,763	)
			TOTAL COMMON STOCKS (PROCEEDS $35,065,422)		(33,590,106	)
			PREFERRED STOCKS (e) — (0.1)%
			Germany — (0.1)%
	(561	)	Sartorius AG		(188,283	)
	(317	)	Dr Ing hc F Porsche AG *		(39,468	)
			TOTAL PREFERRED STOCKS (PROCEEDS $275,671)		(227,751	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $35,341,093)		(33,817,857	)
			Other Assets and Liabilities (net) — 0.2%		464,801
			TOTAL NET ASSETS — 100.0%		$195,385,428

A summary of outstanding financial instruments at May 31, 2023 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 0.40%	GS	USD	836,336		06/24/2024	Monthly		—		14,770		14,770
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	1,754,303		06/18/2024	Monthly		—		45,647		45,647
								$	—	$	60,417	$	60,417

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2023 (Unaudited)

As of May 31, 2023, 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 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) 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 May 31, 2023.

(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.

Portfolio Abbreviations:

ADR - American Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

SOFR - Secured Overnight Financing Rate

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

Counterparty Abbreviations:

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

USD - United States Dollar

Organization

Each of Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

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

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

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

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

Basis of presentation

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

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

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

Portfolio valuation

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

Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price.

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

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

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

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

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2023, 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 that are valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2023:

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	3,792,893	$	—	$	3,792,893
Belgium		—		824,318		—		824,318
Brazil		151,854		62,445		—		214,299
Canada		4,149,821		—		352,512		4,502,333
China		—		720,224		135,189		855,413
Denmark		—		1,150,753		—		1,150,753
Finland		—		419,767		—		419,767
France		—		1,230,362		—		1,230,362
Germany		—		786,380		—		786,380
India		—		1,031,453		—		1,031,453
Israel		3,420,928		29,166		—		3,450,094
Italy		—		531,554		—		531,554
Japan		59,661		17,900,475		—		17,960,136
Netherlands		—		2,012,900		—		2,012,900
New Zealand		—		144,056		—		144,056
Poland		—		125,582		—		125,582
Portugal		—		189,104		—		189,104
South Africa		—		129,358		—		129,358
South Korea		264,732		768,819		—		1,033,551
Spain		—		780,091		—		780,091
Sweden		—		547,580		—		547,580
Switzerland		—		1,098,766		—		1,098,766
Taiwan		3,833,195		—		—		3,833,195
Thailand		—		311,546		—		311,546
Turkey		—		363,539		—		363,539
United Kingdom		307,152		1,047,978		—		1,355,130
United States		73,048,050		—		15,395		73,063,445
TOTAL COMMON STOCKS		85,235,393		35,999,109		503,096		121,737,598
Preferred Stocks
Brazil		202,516		—		—		202,516
Germany		—		553,139		—		553,139
TOTAL PREFERRED STOCKS		202,516		553,139		—		755,655
Rights/Warrants
United States		—		—		384,887		384,887
TOTAL RIGHTS/WARRANTS		—		—		384,887		384,887
Investment Funds
United States		—		—		2,331,920		2,331,920
TOTAL INVESTMENT FUNDS		—		—		2,331,920		2,331,920
Debt Obligations
United States		57,056,772		44,767,440		—		101,824,212
TOTAL DEBT OBLIGATIONS		57,056,772		44,767,440		—		101,824,212
Mutual Funds
United States		5,888,327		—		—		5,888,327
TOTAL MUTUAL FUNDS		5,888,327		—		—		5,888,327
Short-Term Investments		1,412,186		42,376,974		—		43,789,160
Purchased Options		—		39,088		—		39,088
Total Investments		149,795,194		123,735,750		3,219,903		276,750,847
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		2,590,480		—		2,590,480
Futures Contracts
Equity Risk		34,459		29,132		—		63,591
Interest Rate Risk		66,681		—		—		66,681
Physical Commodity Contract Risk		1,127,664		—		—		1,127,664

Description	Level 1			Level 2			Level 3			Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Swap Contracts
Credit Risk	$	—		$	4,770,661		$	—		$	4,770,661
Equity Risk		—			399,423			—			399,423
Interest Rate Risk		—			860,139			—			860,139
Total	$	151,023,998		$	132,385,585		$	3,219,903		$	286,629,486
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,162,074	)	$	—		$	(1,162,074	)
Austria		—			(286,236	)		—			(286,236	)
Belgium		—			(340,448	)		—			(340,448	)
Canada		(2,652,071	)		—			—			(2,652,071	)
Denmark		—			(230,502	)		—			(230,502	)
Finland		—			(155,994	)		—			(155,994	)
France		—			(1,498,878	)		—			(1,498,878	)
Germany		—			(1,876,607	)		—			(1,876,607	)
Israel		(501,155	)		—			—			(501,155	)
Italy		(77,688	)		(1,340,456	)		—			(1,418,144	)
Japan		—			(4,929,195	)		—			(4,929,195	)
Netherlands		—			(1,110,006	)		—			(1,110,006	)
New Zealand		—			(387,879	)		—			(387,879	)
Peru		(327,173	)		—			—			(327,173	)
Singapore		(206,627	)		(246,113	)		—			(452,740	)
Spain		—			(873,078	)		—			(873,078	)
Sweden		—			(314,312	)		—			(314,312	)
Switzerland		—			(601,081	)		—			(601,081	)
United Kingdom		—			(2,419,479	)		—			(2,419,479	)
United States		(38,939,131	)		—			—			(38,939,131	)
TOTAL COMMON STOCKS		(42,703,845	)		(17,772,338	)		—			(60,476,183	)
Preferred Stocks
Germany		—			(255,407	)		—			(255,407	)
TOTAL PREFERRED STOCKS		—			(255,407	)		—			(255,407	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(963,974	)		—			(963,974	)
Futures Contracts
Equity Risk		(685,821	)		(837,086	)		—			(1,522,907	)
Interest Rate Risk		(144,038	)		—			—			(144,038	)
Physical Commodity Contract Risk		(609,438	)		—			—			(609,438	)
Written Options
Credit Risk		—			(144,016	)		—			(144,016	)
Equity Risk		(734,454	)		—			(25,440	)		(759,894	)
Swap Contacts
Credit Risk		—			(2,073,864	)		—			(2,073,864	)
Equity Risk		—			(488,121	)		—			(488,121	)
Interest Rate Risk		—			(923,710	)		—			(923,710	)
Total	$	(44,877,596	)	$	(23,458,516	)	$	(25,440	)	$	(68,361,552	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	4,103,523,300		$	—		$	—		$	4,103,523,300
Short-Term Investments		3,393,990			—			—			3,393,990
Total Investments		4,106,917,290			—			—			4,106,917,290
Total	$	4,106,917,290		$	—		$	—		$	4,106,917,290

Description	Level 1		Level 2		Level 3			Total
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	10,731,238	$	—		$	10,731,238
Austria		—		739,075		—			739,075
Belgium		—		7,523,959		—			7,523,959
Brazil		2,818,999		4,271,210		—			7,090,209
Canada		19,022,537		70,877		15,800			19,109,214
Chile		19,370		1,505,885		—			1,525,255
China		—		34,886,375		730,697			35,617,072
Czech Republic		—		360,332		—			360,332
Denmark		—		6,911,573		—			6,911,573
Egypt		—		543,283		—			543,283
Finland		—		6,813,065		—			6,813,065
France		1,384,346		37,860,168		—			39,244,514
Germany		—		17,382,796		—			17,382,796
Greece		—		744,565		0	§		744,565
Hong Kong		—		5,203,778		—			5,203,778
Hungary		—		2,259,609		—			2,259,609
India		1,695,757		24,962,771		696			26,659,224
Indonesia		—		4,160,476		—			4,160,476
Ireland		1,815,893		3,672,798		—			5,488,691
Israel		1,162,080		161,397		—			1,323,477
Italy		89,840		11,283,970		—			11,373,810
Japan		19,887		136,188,732		—			136,208,619
Kuwait		—		143,943		—			143,943
Malaysia		—		828,243		—			828,243
Mexico		12,517,883		—		0	§		12,517,883
Netherlands		—		22,192,019		—			22,192,019
New Zealand		—		588,353		—			588,353
Norway		—		3,643,471		—			3,643,471
Pakistan		—		34,562		—			34,562
Panama		14,124		—		—			14,124
Philippines		—		43,487		—			43,487
Poland		—		3,557,816		—			3,557,816
Portugal		—		1,818,601		—			1,818,601
Qatar		—		260,029		—			260,029
Russia		—		300,263		378,700			678,963
Saudi Arabia		526,229		1,554,284		—			2,080,513
Singapore		—		5,177,902		—			5,177,902
South Africa		724,686		11,105,598		—			11,830,284
South Korea		1,948,699		32,767,588		—			34,716,287
Spain		—		18,307,078		—			18,307,078
Sweden		—		6,753,405		—			6,753,405
Switzerland		907,712		14,511,894		—			15,419,606
Taiwan		2,880,240		36,929,003		—			39,809,243
Thailand		—		8,696,109		—			8,696,109
Turkey		—		5,750,845		—			5,750,845
United Arab Emirates		407,201		149,912		—			557,113
United Kingdom		5,152,705		39,620,885		592			44,774,182
United States		193,647,620		—		—			193,647,620
Vietnam		—		2,192,845		—			2,192,845
TOTAL COMMON STOCKS		246,755,808		535,166,067		1,126,485			783,048,360
Preferred Stocks
Brazil		5,675,688		7,401,251		—			13,076,939
Colombia		32,131		—		—			32,131
Germany		—		3,464,048		—			3,464,048
Russia		—		—		42,128			42,128
South Korea		—		2,578,688		—			2,578,688
Taiwan		—		34,289		—			34,289
TOTAL PREFERRED STOCKS		5,707,819		13,478,276		42,128			19,228,223

Description	Level 1			Level 2			Level 3			Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
United States	$	139,148,605		$	—		$	—		$	139,148,605
TOTAL DEBT OBLIGATIONS		139,148,605			—			—			139,148,605
Mutual Funds
United States		233,308,104			—			—			233,308,104
TOTAL MUTUAL FUNDS		233,308,104			—			—			233,308,104
Short-Term Investments		10,842,338			87,000,000			—			97,842,338
Purchased Options		—			9,463			—			9,463
Total Investments		635,762,674			635,653,806			1,168,613			1,272,585,093
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			474,089			—			474,089
Futures Contracts
Interest Rate Risk		6,116			—			—			6,116
Swap Contracts
Equity Risk		—			361,752			—			361,752
Interest Rate Risk		—			717,961			—			717,961
Total	$	635,768,790		$	637,207,608		$	1,168,613		$	1,274,145,011
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(4,837,072	)	$	—		$	(4,837,072	)
Austria		—			(1,300,604	)		—			(1,300,604	)
Belgium		—			(1,589,253	)		—			(1,589,253	)
Canada		(10,132,189	)		—			—			(10,132,189	)
Denmark		—			(1,090,847	)		—			(1,090,847	)
Finland		—			(572,040	)		—			(572,040	)
France		—			(6,784,504	)		—			(6,784,504	)
Germany		—			(8,031,696	)		—			(8,031,696	)
Israel		(2,221,700	)		—			—			(2,221,700	)
Italy		(28,667	)		(6,311,875	)		—			(6,340,542	)
Japan		—			(21,431,694	)		—			(21,431,694	)
Netherlands		—			(5,132,736	)		—			(5,132,736	)
New Zealand		—			(1,926,613	)		—			(1,926,613	)
Peru		(1,503,660	)		—			—			(1,503,660	)
Russia		—			—			(597	)		(597	)
Singapore		(913,358	)		(1,016,997	)		—			(1,930,355	)
Spain		—			(3,692,771	)		—			(3,692,771	)
Sweden		—			(1,358,499	)		—			(1,358,499	)
Switzerland		—			(2,431,890	)		—			(2,431,890	)
United Kingdom		—			(10,491,656	)		—			(10,491,656	)
United States		(106,193,316	)		—			—			(106,193,316	)
TOTAL COMMON STOCKS		(120,992,890	)		(78,000,747	)		(597	)		(198,994,234	)
Preferred Stocks
Germany		—			(1,165,274	)		—			(1,165,274	)
TOTAL PREFERRED STOCKS		—			(1,165,274	)		—			(1,165,274	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(538,734	)		—			(538,734	)
Futures Contracts
Interest Rate Risk		(57,439	)		—			—			(57,439	)
Swap Contacts
Interest Rate Risk		—			(856,505	)		—			(856,505	)
Total	$	(121,050,329	)	$	(80,561,260	)	$	(597	)	$	(201,612,186	)

Description	Level 1		Level 2		Level 3			Total
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	336,187,735	$	—	$	—		$	336,187,735
Short-Term Investments		754,409		—		—			754,409
Total Investments		336,942,144		—		—			336,942,144
Total	$	336,942,144	$	—	$	—		$	336,942,144
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	67,383,265	$	—	$	—		$	67,383,265
Short-Term Investments		40,062		—		—			40,062
Total Investments		67,423,327		—		—			67,423,327
Total	$	67,423,327	$	—	$	—		$	67,423,327
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	590,355,581	$	—	$	—		$	590,355,581
Short-Term Investments		313,717		—		—			313,717
Total Investments		590,669,298		—		—			590,669,298
Total	$	590,669,298	$	—	$	—		$	590,669,298
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,263,673	$	—	$	—		$	1,263,673
Australia		—		48,557,864		—			48,557,864
Austria		—		3,985,273		—			3,985,273
Belgium		—		26,854,702		—			26,854,702
Brazil		9,772,281		17,812,981		—			27,585,262
Canada		86,611,154		194,750		1,449,566			88,255,470
Chile		175,820		4,641,799		—			4,817,619
China		—		114,785,670		1,759,997			116,545,667
Czech Republic		—		1,097,473		—			1,097,473
Denmark		—		27,239,439		—			27,239,439
Egypt		—		1,733,441		—			1,733,441
Finland		—		22,951,555		—			22,951,555
France		4,458,942		129,592,179		—			134,051,121
Germany		—		58,070,769		—			58,070,769
Greece		—		2,432,375		—			2,432,375
Hong Kong		—		16,828,235		—			16,828,235
Hungary		—		8,544,155		—			8,544,155
India		4,839,748		83,596,396		3,155			88,439,299
Indonesia		—		14,029,226		—			14,029,226
Ireland		6,307,427		12,277,307		—			18,584,734
Israel		16,378,841		1,742,027		—			18,120,868
Italy		163,045		40,086,626		—			40,249,671
Japan		838,095		453,914,201		—			454,752,296
Kuwait		—		160,896		—			160,896
Malaysia		—		2,769,956		—			2,769,956
Mexico		42,338,913		—		0	§		42,338,913
Netherlands		—		76,839,063		176			76,839,239
New Zealand		—		2,233,568		—			2,233,568
Norway		—		15,468,928		—			15,468,928
Pakistan		—		234,334		—			234,334
Panama		23,465		—		—			23,465
Philippines		—		637,701		—			637,701
Poland		—		11,741,442		—			11,741,442
Portugal		—		11,190,428		—			11,190,428
Qatar		—		894,356		—			894,356
Russia		—		587,682		1,006,255			1,593,937
Saudi Arabia		1,644,510		4,674,158		—			6,318,668

Description	Level 1		Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Singapore	$	—	$	17,132,179		$	—	$	17,132,179
South Africa		2,335,870		39,601,712			—		41,937,582
South Korea		7,636,500		101,265,259			—		108,901,759
Spain		—		64,700,205			—		64,700,205
Sweden		—		24,145,641			—		24,145,641
Switzerland		2,814,299		50,446,101			—		53,260,400
Taiwan		30,579,811		111,839,317			—		142,419,128
Thailand		—		28,160,523			—		28,160,523
Turkey		—		19,972,596			—		19,972,596
Ukraine		—		140,667			—		140,667
United Arab Emirates		1,261,784		411,729			—		1,673,513
United Kingdom		20,867,343		145,923,499			779		166,791,621
United States		918,494,504		—			2,884,458		921,378,962
Vietnam		—		7,366,855			—		7,366,855
TOTAL COMMON STOCKS		1,158,806,025		1,829,507,238			7,104,386		2,995,417,649
Preferred Stocks
Brazil		18,607,414		29,232,676			—		47,840,090
Chile		1,700,505		89,403			—		1,789,908
Germany		—		12,516,339			—		12,516,339
Russia		—		—			92,121		92,121
South Korea		—		11,680,518			—		11,680,518
Taiwan		—		222,994			—		222,994
TOTAL PREFERRED STOCKS		20,307,919		53,741,930			92,121		74,141,970
Rights/Warrants
Canada		—		—			222		222
United States		—		—			845,681		845,681
TOTAL RIGHTS/WARRANTS		—		—			845,903		845,903
Investment Funds
United States		—		—			10,295,869		10,295,869
TOTAL INVESTMENT FUNDS		—		—			10,295,869		10,295,869
Debt Obligations
Netherlands		—		—			58		58
United States		839,217,253		—			262,352		839,479,605
TOTAL DEBT OBLIGATIONS		839,217,253		—			262,410		839,479,663
Mutual Funds
United States		13,150,925		—			—		13,150,925
TOTAL MUTUAL FUNDS		13,150,925		—			—		13,150,925
Short-Term Investments		45,038,496		360,450,026			—		405,488,522
Purchased Options		—		111,121			—		111,121
Total Investments		2,076,520,618		2,243,810,315			18,600,689		4,338,931,622
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		12,120,160			—		12,120,160
Futures Contracts
Equity Risk		170,353		171,776			—		342,129
Interest Rate Risk		28,874		—			—		28,874
Physical Commodity Contract Risk		6,174,255		—			—		6,174,255
Swap Contracts
Equity Risk		—		3,121,578			—		3,121,578
Interest Rate Risk		—		8,480,123			—		8,480,123
Total	$	2,082,894,100	$	2,267,703,952		$	18,600,689	$	4,369,198,741
Liability Valuation Inputs
Common Stocks
Australia	$	—	$	(18,955,332	)	$	—	$	(18,955,332	)
Austria		—		(5,009,122	)		—		(5,009,122	)
Belgium		—		(6,183,749	)		—		(6,183,749	)

Description	Level 1			Level 2			Level 3			Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Canada	$	(40,219,360	)	$	—		$	—		$	(40,219,360	)
Denmark		—			(4,067,627	)		—			(4,067,627	)
Finland		—			(2,533,729	)		—			(2,533,729	)
France		—			(26,018,577	)		—			(26,018,577	)
Germany		—			(30,886,531	)		—			(30,886,531	)
Israel		(8,421,465	)		—			—			(8,421,465	)
Italy		(845,963	)		(23,688,255	)		—			(24,534,218	)
Japan		—			(82,138,903	)		—			(82,138,903	)
Netherlands		—			(19,014,241	)		—			(19,014,241	)
New Zealand		—			(7,163,007	)		—			(7,163,007	)
Peru		(5,852,724	)		—			—			(5,852,724	)
Singapore		(3,347,297	)		(3,909,817	)		—			(7,257,114	)
Spain		—			(14,137,605	)		—			(14,137,605	)
Sweden		—			(5,232,685	)		—			(5,232,685	)
Switzerland		—			(9,423,004	)		—			(9,423,004	)
United Kingdom		—			(40,655,216	)		—			(40,655,216	)
United States		(463,213,986	)		—			—			(463,213,986	)
TOTAL COMMON STOCKS		(521,900,795	)		(299,017,400	)		—			(820,918,195	)
Preferred Stocks
Germany		—			(4,533,559	)		—			(4,533,559	)
TOTAL PREFERRED STOCKS		—			(4,533,559	)		—			(4,533,559	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(8,285,812	)		—			(8,285,812	)
Futures Contracts
Equity Risk		(2,017,268	)		(4,560,223	)		—			(6,577,491	)
Interest Rate Risk		(610,278	)		—			—			(610,278	)
Physical Commodity Contract Risk		(3,286,831	)		—			—			(3,286,831	)
Written Options
Equity Risk		(2,381,674	)		—			(96,700	)		(2,478,374	)
Swap Contacts
Equity Risk		—			(2,507,604	)		—			(2,507,604	)
Interest Rate Risk		—			(9,692,549	)		—			(9,692,549	)
Total	$	(530,196,846	)	$	(328,597,147	)	$	(96,700	)	$	(858,890,693	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	226,375,557		$	—		$	—		$	226,375,557
Short-Term Investments		127,676			—			—			127,676
Total Investments		226,503,233			—			—			226,503,233
Total	$	226,503,233		$	—		$	—		$	226,503,233
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	357,033,868		$	—		$	—		$	357,033,868
Short-Term Investments		215,070			—			—			215,070
Total Investments		357,248,938			—			—			357,248,938
Total	$	357,248,938		$	—		$	—		$	357,248,938
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
United States	$	108,917,881		$	—		$	—		$	108,917,881
TOTAL DEBT OBLIGATIONS		108,917,881			—			—			108,917,881
Short-Term Investments		213,918			12,510,016			—			12,723,934
Total Investments		109,131,799			12,510,016			—			121,641,815

Description	Level 1			Level 2			Level 3		Total
Consolidated SGM Major Markets Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	1,489,529		$	—	$	1,489,529
Futures Contracts
Equity Risk		51,696			—			—		51,696
Interest Rate Risk		7,816			—			—		7,816
Physical Commodity Contract Risk		709,553			—			—		709,553
Swap Contracts
Equity Risk		—			571,090			—		571,090
Total	$	109,900,864		$	14,570,635		$	—	$	124,471,499
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(196,359	)	$	—	$	(196,359	)
Futures Contracts
Equity Risk		(590,066	)		(1,366,804	)		—		(1,956,870	)
Interest Rate Risk		(213,533	)		—			—		(213,533	)
Physical Commodity Contract Risk		(550,996	)		—			—		(550,996	)
Swap Contacts
Equity Risk		—			(684,226	)		—		(684,226	)
Total	$	(1,354,595	)	$	(2,247,389	)	$	—	$	(3,601,984	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,096,730		$	—	$	1,096,730
Belgium		—			600,621			—		600,621
Brazil		82,388			77,248			—		159,636
Canada		1,877,833			—			—		1,877,833
China		—			749,162			86,927		836,089
Denmark		—			819,700			—		819,700
Finland		—			427,138			—		427,138
France		—			1,529,839			—		1,529,839
Germany		—			770,861			—		770,861
Hong Kong		—			100,700			—		100,700
India		—			777,201			—		777,201
Ireland		73,766			156,289			—		230,055
Israel		170,640			39,897			—		210,537
Italy		—			380,159			—		380,159
Japan		—			3,991,913			—		3,991,913
Mexico		495,406			—			—		495,406
Netherlands		—			1,501,858			—		1,501,858
New Zealand		—			80,700			—		80,700
Poland		—			94,685			—		94,685
Portugal		—			140,094			—		140,094
Russia		—			—			2,571		2,571
South Africa		—			84,858			—		84,858
South Korea		162,912			530,794			—		693,706
Spain		—			919,817			—		919,817
Sweden		—			379,930			—		379,930
Switzerland		31,920			710,119			—		742,039
Thailand		—			222,797			—		222,797
Turkey		—			246,023			—		246,023
United Kingdom		211,679			1,535,421			—		1,747,100
United States		20,764,792			—			—		20,764,792
TOTAL COMMON STOCKS		23,871,336			17,964,554			89,498		41,925,388
Preferred Stocks
Brazil		148,032			132,179			—		280,211
Germany		—			395,992			—		395,992
TOTAL PREFERRED STOCKS		148,032			528,171			—		676,203

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
United States	$	8,504,565		$	—		$	—	$	8,504,565
TOTAL DEBT OBLIGATIONS		8,504,565			—			—		8,504,565
Mutual Funds
United States		157,454,730			—			—		157,454,730
TOTAL MUTUAL FUNDS		157,454,730			—			—		157,454,730
Short-Term Investments		2,177,872			17,999,726			—		20,177,598
Total Investments		192,156,535			36,492,451			89,498		228,738,484
Derivatives^
Swap Contracts
Equity Risk		—			60,417			—		60,417
Total	$	192,156,535		$	36,552,868		$	89,498	$	228,798,901
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(869,749	)	$	—	$	(869,749	)
Austria		—			(178,482	)		—		(178,482	)
Belgium		—			(258,029	)		—		(258,029	)
Canada		(1,641,755	)		—			—		(1,641,755	)
Denmark		—			(163,206	)		—		(163,206	)
Finland		—			(82,231	)		—		(82,231	)
France		—			(1,102,594	)		—		(1,102,594	)
Germany		—			(1,288,784	)		—		(1,288,784	)
Israel		(373,179	)		—			—		(373,179	)
Italy		(57,334	)		(956,881	)		—		(1,014,215	)
Japan		—			(3,607,495	)		—		(3,607,495	)
Netherlands		—			(840,665	)		—		(840,665	)
New Zealand		—			(290,855	)		—		(290,855	)
Peru		(233,695	)		—			—		(233,695	)
Singapore		(142,229	)		(192,275	)		—		(334,504	)
Spain		—			(640,674	)		—		(640,674	)
Sweden		—			(244,084	)		—		(244,084	)
Switzerland		—			(480,608	)		—		(480,608	)
United Kingdom		—			(1,733,539	)		—		(1,733,539	)
United States		(18,211,763	)		—			—		(18,211,763	)
TOTAL COMMON STOCKS		(20,659,955	)		(12,930,151	)		—		(33,590,106	)
Preferred Stocks
Germany		—			(227,751	)		—		(227,751	)
TOTAL PREFERRED STOCKS		—			(227,751	)		—		(227,751	)
Total	$	(20,659,955	)	$	(13,157,902	)	$	—	$	(33,817,857	)

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

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at May 31, 2023.

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 one

common stock valued at its last price prior to trading being suspended. Implementation Fund’s Level 3 holdings also include a common stock that is 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 May 31, 2023.

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, 2023			Purchases/ Closing of Options		Sales/ Writing of Options			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3		Balances as of May 31, 2023			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2023
Consolidated Alternative Allocation Fund
Common Stocks
Canada	$	—		$	250,284	$	—		$	—	$	—		$	102,228		$	—	$	—	$	352,512		$	102,228
China		419,007			79,447		(164,019	)		—		(436,337	)		237,091			—		—		135,189			(79,121	)
United States		15,395			—		—			—		—			—			—		—		15,395			—
Rights/Warrants
United States		384,887			—		—			—		—			—			—		—		384,887			—
Investment Funds
United States		2,331,920			—		—			—		—			—			—		—		2,331,920			—
Total Investments		3,151,209			329,731		(164,019	)		—		(436,337	)		339,319			—		—		3,219,903			23,107
Derivatives
Written Options		(69,960	)		—		—			—		—			44,520			—		—		(25,440	)		44,520
Total	$	3,081,249		$	329,731	$	(164,019	)	$	—	$	(436,337	)	$	383,839		$	—	$	—	$	3,194,463		$	67,627
Benchmark-Free Fund
Common Stocks
Canada	$	—		$	8,690	$	—		$	—	$	—		$	7,110		$	—	$	—	$	15,800		$	7,110
China		2,140,735			376,297		(774,250	)		—		(2,199,222	)		1,187,137			—		—		730,697			(374,533	)
India		—			705		—			—		—			(9	)		—		—		696			(9	)
Russia		334,557			48,640		(48,640	)		—		—			44,010			—		—		378,567			—
United Kingdom		573			—		—			—		—			19			—		—		592			19
Preferred Stocks
Russia		38,771			—		—			—		—			3,357			—		—		42,128			3,357
Securities Sold Short
Russia		(694	)		—		—			—		—			97			—		—		(597	)		97
Total Investments	$	2,513,942		$	434,332	$	(822,890	)	$	—	$	(2,199,222	)	$	1,241,721		$	—	$	—	$	1,167,883		$	(363,959	)
Consolidated Implementation Fund
Common Stocks
Canada	$	—		$	1,022,632	$	—		$	—	$	—		$	426,934		$	—	$	—	$	1,449,566		$	426,934
China		6,108,191			934,314		(2,269,607	)		—		(6,630,060	)		3,617,159			—		—		1,759,997			(930,064	)
India		—			3,401		—			—		—			(247	)		—		—		3,154			(247	)
Netherlands		175			—		—			—		—			1			—		—		176			1
Russia		902,182			—		—			—		—			104,073			—		—		1,006,255			104,073
United Kingdom		753			—		—			—		—			26			—		—		779			26
United States		9,875,273			—		(6,715,238	)		—		1,521,992			(1,797,569	)		—		—		2,884,458			(350,148	)
Preferred Stocks
Russia		85,666			—		—			—		—			6,455			—		—		92,121			6,455
United States		183,300			—		(214,518	)		—		177,809			(146,591	)		—		—		—			—
Rights/Warrants
Canada		222			—		—			—		—			—			—		—		222			—
United States		845,681			—		—			—		—			—			—		—		845,681			—
Investment Funds
United States		10,295,869			—		—			—		—			—			—		—		10,295,869			—
Debt Obligations
Bank Loans
United States		20,561,965			1,721		(19,998,612	)		78,689		(803,920	)		422,509			—		—		262,352			(318,367	)
Corporate Debt
Netherlands		57			—		—			—		—			1			—		—		58			1
United States		140			—		(875	)		—		875			(140	)		—		—		—			—
Total Investments		48,859,474			1,962,068		(29,198,850	)#		78,689		(5,733,304	)		2,632,611			—		—		18,600,688			(1,061,336	)
Derivatives
Written Options		(265,925	)		—		—			—		—			169,225			—		—		(96,700	)		169,225
Total	$	48,593,549		$	1,962,068	$	(29,198,850	)	$	78,689	$	(5,733,304	)	$	2,801,836		$	—	$	—	$	18,503,988		$	(892,111	)

	Balances as of February 28, 2023		Purchases/ Closing of Options		Sales/ Writing of Options			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)		Transfer into Level 3		Transfer out of Level 3		Balances as of May 31, 2023		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2023
Strategic Opportunities Allocation Fund
Common Stocks
China	$	306,054	$	63,373	$	(124,654	)	$	—	$	(311,825	)	$	153,979	$	—	$	—	$	86,927	$	(61,002	)
Russia		2,093		—		—			—		—			478		—		—		2,571		478
Total Investments	$	308,147	$	63,373	$	(124,654	)	$	—	$	(311,825	)	$	154,457	$	—	$	—	$	89,498	$	(60,524	)

# Includes $634,163 of proceeds received from partial calls and/or principal paydowns as applicable.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2023 for Funds with material Level 3 investments.

Quantitative information about Level 3 Fair Value Measurements**

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Consolidated Alternative Allocation Fund
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Options		(25,440)	Fair Value	N/A**	N/A
Benchmark-Free Fund
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		362,448	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (American Depositary Receipt)		1,590	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (Global Depositary Receipt)		15,254	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Preferred Stock		42,128	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Consolidated Implementation Fund
Common Stock		750,956	Fair Value	Most relevant broker quote	N/A
Common Stock		59	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		1,548,753	Fair Value	Discount for lack of liquidity/marketability	30% (N/A)
Corporate Debt		58	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		962,087	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (American Depositary Receipt)		2,890	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (Global Depositary Receipt)		42,057	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Preferred Stock		92,121	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Options		(96,700)	Fair Value	N/A**	N/A
Strategic Opportunities Allocation Fund
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		2,571	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2023, 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 $3,219,903, $746,463, $15,201,707 and $86,927, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

** Fair valued using the last traded price provided it is within the closing bid/ask; otherwise, the mid-price is used.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2023 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	$	5,754,599	$	—	$	—	$	—		$	—	$	—		$	133,728		$	5,888,327
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	225,439,211	$	—	$	52,000,000	$	—		$	—	$	(27,062,491	)	$	26,295,977		$	172,672,697
GMO High Yield Fund, Class VI		90,670,017		—		48,000,000		—			—		(1,273,700	)		2,792,995			44,189,312
GMO Implementation Fund		3,734,452,836		143,550,000		209,677,586		—			—		(20,076,460	)		(54,766,985	)		3,593,481,805
GMO Opportunistic Income Fund, Class VI		263,438,935		—		60,540,000		—			—		(5,662,995	)		10,226,382			207,462,322
GMO SGM Major Markets Fund, Class VI		88,586,880		—		—		—			—		—			(2,869,716	)		85,717,164
Totals	$	4,402,587,879	$	143,550,000	$	370,217,586	$	—		$	—	$	(54,075,646	)	$	(18,321,347	)	$	4,103,523,300
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class VI	$	83,120,284	$	—	$	28,000,000	$	—		$	—		(15,378,662	)	$	15,139,287		$	54,880,909
GMO High Yield Fund, Class VI		63,734,779		—		36,500,000		—			—		(1,404,118	)		2,062,260			27,892,921
GMO Opportunistic Income Fund, Class VI		68,635,629		—		—		—			—		—			1,367,017			70,002,646
GMO Resources Fund		41,081,249		—		—		—			—		—			(4,262,838	)		36,818,411
GMO SGM Major Markets Fund, Class VI		29,075,472		—		—		—			—		—			(941,881	)		28,133,591
GMO U.S. Treasury Fund		1,230,461		40,530,097		26,200,840		—	**		—		19,908			—			15,579,626
Totals	$	286,877,874	$	40,530,097	$	90,700,840	$	—		$	—	$	(16,762,872	)	$	13,363,845		$	233,308,104
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	48,411,511	$	260,001	$	1,055,000	$	—		$	—	$	(83,082	)	$	(1,426,283	)	$	46,107,147
GMO Asset Allocation Bond Fund, Class VI		20,113,672		—		480,000		—			—		(34,764	)		949,782			20,548,690
GMO Emerging Country Debt Fund, Class VI		10,468,900		—		—		—			—		—			(47,425	)		10,421,475
GMO Emerging Markets ex-China Fund, Class VI		23,354,081		—		—		—			—		—			542,711			23,896,792
GMO Emerging Markets Fund, Class VI		25,997,689		—		—		—			—		—			(131,968	)		25,865,721
GMO High Yield Fund, Class VI		6,868,538		—		—		—			—		—			98,532			6,967,070
GMO International Equity Fund, Class IV		61,754,726		—		18,289,999		—			—		(1,635,629	)		1,455,264			43,284,362
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		17,000,000		—		—			—		—			(460,150	)		16,539,850
GMO-Usonian Japan Value Creation Fund, Class VI		13,795,046		—		—		—			—		—			646,004			14,441,050
GMO Multi-Sector Fixed Income Fund, Class IV		40,659,884		—		370,000		—			—		(96,936	)		908,211			41,101,159
GMO Opportunistic Income Fund, Class VI		10,403,498		—		210,000		—			—		(18,449	)		225,399			10,400,448
GMO Quality Cyclicals Fund, Class VI		10,368,785		—		—		—			—		—			(89,589	)		10,279,196
GMO Quality Fund, Class VI		9,574,699		—		—		—			—		—			1,136,391			10,711,090

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 Asset Allocation Fund (continued)
GMO Small Cap Quality Fund, Class VI	$	10,654,800	$	—	$	—	$	—		$	—	$	—		$	(231,103	)	$	10,423,697
GMO U.S. Equity Fund, Class VI		16,671,178		—		—		—			—		—			107,730			16,778,908
GMO U.S. Opportunistic Value Fund, Class VI		23,008,064		—		—		—			—		—			(991,432	)		22,016,632
GMO U.S. Small Cap Value Fund, Class VI		7,061,808		—		—		—			—		—			(665,511	)		6,396,297
GMO U.S. Treasury Fund		8,036		99		—		(48	)		—		—			16			8,151
Totals	$	339,174,915	$	17,260,100	$	20,404,999	$	(48	)	$	—	$	(1,868,860	)	$	2,026,579		$	336,187,735
Global Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	5,208,340	$	—	$	—	$	—		$	—	$	—		$	121,033		$	5,329,373
GMO International Equity Fund, Class IV		26,045,425		—		5,500,000		—			—		566,215			(694,447	)		20,417,193
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		5,500,000		—		—			—		—			(148,872	)		5,351,128
GMO-Usonian Japan Value Creation Fund, Class VI		2,653,243		—		—		—			—		—			124,248			2,777,491
GMO Quality Cyclicals Fund, Class VI		3,852,762		—		—		—			—		—			(33,289	)		3,819,473
GMO Quality Fund, Class VI		9,468,743		—		—		—			—		—			1,123,816			10,592,559
GMO Small Cap Quality Fund, Class VI		3,836,577		—		—		—			—		—			(83,216	)		3,753,361
GMO U.S. Equity Fund, Class VI		4,067,439		—		—		—			—		—			26,284			4,093,723
GMO U.S. Opportunistic Value Fund, Class VI		10,040,826		—		—		—			—		—			(432,666	)		9,608,160
GMO U.S. Small Cap Value Fund, Class VI		1,811,524		—		—		—			—		—			(170,720	)		1,640,804
Totals	$	66,984,879	$	5,500,000	$	5,500,000	$	—		$	—	$	566,215		$	(167,829	)	$	67,383,265
Global Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	57,572,405	$	1,990,000	$	455,000	$	—		$	—	$	(228,696	)	$	1,583,053		$	60,461,762
GMO Emerging Markets Fund, Class VI		66,864,262		4,250,000		630,000		—			—		(352,221	)		(66,688	)		70,065,353
GMO International Equity Fund, Class IV		193,720,044		—		53,996,000		—			—		(6,840,640	)		6,156,797			139,040,201
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		48,200,000		—		—			—		—			(1,304,662	)		46,895,338
GMO-Usonian Japan Value Creation Fund, Class VI		23,544,917		350,000		743,000		—			—		(120,317	)		1,222,847			24,254,447
GMO Quality Cyclicals Fund, Class VI		28,770,184		—		—		—			—		—			(248,583	)		28,521,601
GMO Quality Fund, Class VI		71,537,500		1,330,000		4,157,000		—			—		(24,568	)		8,374,698			77,060,630
GMO Small Cap Quality Fund, Class VI		29,750,989		200,000		—		—			—		—			(650,254	)		29,300,735
GMO U.S. Equity Fund, Class VI		29,699,442		250,000		163,000		—			—		(42,832	)		234,851			29,978,461
GMO U.S. Opportunistic Value Fund, Class VI		70,821,461		900,000		—		—			—		—			(3,090,097	)		68,631,364
GMO U.S. Small Cap Value Fund, Class VI		17,102,735		730,000		—		—			—		—			(1,687,046	)		16,145,689
Totals	$	589,383,939	$	58,200,000	$	60,144,000	$	—		$	—	$	(7,609,274	)	$	10,524,916		$	590,355,581
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	1,119,668	$	100,692,351	$	88,700,544	$	—	**	$	—	$	37,294		$	2,156		$	13,150,925
International Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	18,016,158	$	432,820	$	37,227	$	—		$	—	$	(18,922	)	$	440,222		$	18,833,051
GMO International Equity Fund, Class IV		199,942,022		599,295		28,671,000		—			—		(3,063,327	)		1,836,773			170,643,763
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		28,100,000		—		—			—		—			(760,601	)		27,339,399
GMO-Usonian Japan Value Creation Fund, Class VI		9,172,729		—		41,254		—			—		(7,633	)		435,502			9,559,344
Totals	$	227,130,909	$	29,132,115	$	28,749,481	$	—		$	—	$	(3,089,882	)	$	1,951,896		$	226,375,557

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
International Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	39,608,956	$	225,348	$	11,455,000	$	—	$	—	$	(2,655,824	)	$	3,603,443		$	29,326,923
GMO Emerging Markets Fund, Class VI		140,917,055		2,294,072		37,355,000		—		—		(5,194,146	)		5,621,225			106,283,206
GMO International Equity Fund, Class IV		291,592,810		935,000		118,670,725		—		—		10,897,049			(10,212,073	)		174,542,061
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		33,000,000		—		—		—		—			(893,233	)		32,106,767
GMO-Usonian Japan Value Creation Fund, Class VI		19,689,572		523,972		6,195,000		—		—		(308,373	)		1,064,740			14,774,911
Totals	$	491,808,393	$	36,978,392	$	173,675,725	$	—	$	—	$	2,738,706		$	(815,898	)	$	357,033,868
Strategic Opportunities Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	6,386,651	$	950,000	$	—	$	—	$	—	$	—		$	(33,770	)	$	7,302,881
GMO Emerging Markets ex-China Fund, Class VI		16,871,485		—		—		—		—		—			392,066			17,263,551
GMO Emerging Markets Fund, Class VI		16,668,100		—		—		—		—		—			(84,610	)		16,583,490
GMO High Yield Fund, Class VI		—		5,000,000		—		—		—		—			(14,689	)		4,985,311
GMO International Equity Fund, Class IV		24,591,450		—		1,530,000		—		—		97,188			(313,502	)		22,845,136
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		17,200,000		—		—		—		—			(465,564	)		16,734,436
GMO-Usonian Japan Value Creation Fund, Class VI		10,075,534		—		1,300,000		—		—		75,821			396,003			9,247,358
GMO Multi-Sector Fixed Income Fund, Class IV		10,765,156		8,200,000		—		—		—		—			204,882			19,170,038
GMO Quality Fund, Class VI		7,408,770		—		1,200,000		—		—		154,494			724,830			7,088,094
GMO Small Cap Quality Fund,
Class VI		7,332,851		—		—		—		—		—			(159,050	)		7,173,801
GMO U.S. Equity Fund, Class VI		9,770,751		—		—		—		—		—			63,139			9,833,890
GMO U.S. Opportunistic Value Fund, Class VI		16,800,764		—		—		—		—		—			(723,955	)		16,076,809
GMO U.S. Treasury Fund		4,095,276		10,048,411		11,000,000		48,411		—		(23,929	)		30,177			3,149,935
Totals	$	130,766,788	$	41,398,411	$	15,030,000	$	48,411	$	—	$	303,574		$	15,957		$	157,454,730

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2023 through May 31, 2023. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2024.

** 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 $30,234 and $71,804 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

* * *

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