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 | ||||||||
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|||||||||
| 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 | ||||||||
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| Total Banks | 1,274,937 | |||||||||
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| 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 | ||||||||
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| Total Capital Goods | 2,983,565 | |||||||||
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| 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 | ||||||||
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| Total Commercial & Professional Services | 1,468,404 | |||||||||
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| 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 | ||||||||
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| Total Consumer Discretionary Distribution & Retail | 2,659,021 | |||||||||
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| 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 | ||||||||
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| Total Consumer Durables & Apparel | 2,817,450 | |||||||||
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| Consumer Services — 0.8% | ||||||||||
| 19,500 | Perdoceo Education Corp. * | 229,905 | ||||||||
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| Consumer Staples Distribution & Retail — 0.4% | ||||||||||
| 3,309 | SpartanNash Co. | 75,776 | ||||||||
| 1,365 | Village Super Market, Inc. – Class A | 28,331 | ||||||||
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| Total Consumer Staples Distribution & Retail | 104,107 | |||||||||
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| 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 | ||||||||
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| Total Energy | 750,229 | |||||||||
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| 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 | ||||||||
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| Total Equity Real Estate Investment Trusts (REITs) | 1,959,792 | |||||||||
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| 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 | ||||||||
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| Total Financial Services | 2,103,585 | |||||||||
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| Food, Beverage & Tobacco — 1.6% | ||||||||||
| 2,444 | Seneca Foods Corp. – Class A * | 113,011 | ||||||||
| 6,459 | Universal Corp. | 332,961 | ||||||||
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| Total Food, Beverage & Tobacco | 445,972 | |||||||||
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| 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 | ||||||||
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| Total Health Care Equipment & Services | 853,665 | |||||||||
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| Household & Personal Products — 1.4% | ||||||||||
| 34,900 | Coty, Inc. – Class A * | 378,316 | ||||||||
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| 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 | ||||||||
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| Total Insurance | 840,595 | |||||||||
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| 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 | ||||||||
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| Total Materials | 2,396,592 | |||||||||
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| 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 | ||||||||
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| Total Media & Entertainment | 1,042,837 | |||||||||
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| Pharmaceuticals, Biotechnology & Life Sciences — 1.8% | ||||||||||
| 8,523 | Prestige Consumer Healthcare, Inc. * | 487,771 | ||||||||
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| 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 | ||||||||
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| Total Real Estate Management & Development | 264,509 | |||||||||
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| 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 | ||||||||
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| Total Semiconductors & Semiconductor Equipment | 969,948 | |||||||||
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| 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 | ||||||||
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| Total Technology Hardware & Equipment | 2,383,128 | |||||||||
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| Shares |
Description | Value ($) | ||||||||
| Telecommunication Services — 0.2% | ||||||||||
| 5,621 | Spok Holdings, Inc. | 66,328 | ||||||||
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| Transportation — 1.2% | ||||||||||
| 2,809 | Hub Group, Inc. – Class A * | 206,630 | ||||||||
| 4,334 | Schneider National, Inc. – Class B | 112,337 | ||||||||
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| Total Transportation | 318,967 | |||||||||
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| TOTAL COMMON STOCKS (COST $29,700,949) |
26,946,989 | |||||||||
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| MUTUAL FUNDS — 1.2% | ||||||||||
| Affiliated Issuers — 1.2% | ||||||||||
| 66,166 | GMO U.S. Treasury Fund | 330,828 | ||||||||
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| TOTAL MUTUAL FUNDS (COST $330,766) |
330,828 | |||||||||
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| RIGHTS/WARRANTS — 0.2% | ||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 0.2% | ||||||||||
| 72,700 | Achillion Pharmaceuticals, Inc. CVR * (a) | 36,350 | ||||||||
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| TOTAL RIGHTS/WARRANTS (COST $33,442) |
36,350 | |||||||||
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| 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 | ||||||||
|
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|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $62,392) |
62,392 | |||||||||
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| TOTAL INVESTMENTS — 100.1% (Cost $30,127,549) |
27,376,559 | |||||||||
| Other Assets and Liabilities (net) — (0.1)% | (19,491 | ) | ||||||||
|
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| TOTAL NET ASSETS — 100.0% | $27,357,068 | |||||||||
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A summary of outstanding financial instruments at May 31, 2023 is as follows:
Futures Contracts
| Number of |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
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| Buys |
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| 2 | E-mini Russell 2000 Index | June 2023 | $ | 175,180 | $ | (2,489 | ) | |||||||
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| + | Buys - Fund is long 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% | $20,590,460 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2023 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 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
/ |
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% | $181,466,445 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2023 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 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 |
Annual |
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 $34,369,739) |
33,464,885 | |||||||||
|
|
|
|||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2023 (Unaudited)
PURCHASED OPTIONS — 0.0%
| Description | Counterparty | Exercise Rate |
Expiration Date |
Principal/ |
Notional |
Value ($) | ||||||||||||||||||||||||||
| 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% |
$117,810,822 | |||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
A summary of outstanding financial instruments at May 31, 2023 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 | |||||||||||||||||||||||||||
|
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OTC Credit Default Swaps
| Reference Entity |
Counter- |
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- |
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 | ) | ||||||||||||||||||||||||||
|
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|
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| ^ | 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 |
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 | ) | |||||||||||||
|
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|
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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 (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 | ||||||||||||||||||||||||||||||
|
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|
|
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|
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|
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|||||||||||||||||||||
| Total |
277,245,997 | 3,425,848 | (14,603,701 | ) | (36,706,462 | ) | (865,970 | ) | 20,696,585 | — | — | 249,192,297 | 18,861,957 | |||||||||||||||||||||||||||
|
|
|
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|
|
|||||||||||||||||||||
| Derivatives |
||||||||||||||||||||||||||||||||||||||||
| Options |
301,675 | — | — | — | (125,129 | ) | 174,375 | — | — | 350,921 | 174,375 | |||||||||||||||||||||||||||||
|
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|
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|||||||||||||||||||||
| Total |
$ | 277,547,672 | $ | 3,425,848 | $ | (14,603,701 | )# | $ | (36,706,462 | ) | $ | (991,099 | ) | $ | 20,870,960 | $ | — | $ | — | $ | 249,543,218 | $ | 19,036,332 | |||||||||||||||||
|
|
|
|
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|
|
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|
|
|
|||||||||||||||||||||
| 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 | ) | |||||||||||||||||||||||||||
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|
|
|||||||||||||||||||||
| Total |
$ | 16,109,928 | $ | — | $ | (1,607,750 | )## | $ | 50,678 | $ | (289,333 | ) | $ | 899 | $ | — | $ | — | $ | 14,264,422 | $ | (331,440 | ) | |||||||||||||||||
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|||||||||||||||||||||
| # | 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 | |||||||||||||||||||||||
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|||||||||||||||||
| Totals |
$ | 67,529,288 | $ | — | $ | 43,524,545 | $ | 546,073 | $ | — | $ | 287,588 | $ | (89,127 | ) | $ | 31,238,607 | |||||||||||||||
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|||||||||||||||||
| 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 | ||||||||||||||||||||||||
|
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|||||||||||||||||
| Totals |
$ | 27,869,232 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 448,118 | $ | 28,317,350 | ||||||||||||||||
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| Opportunistic Income Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 10,894,378 | $ | — | $ | — | $ | 133,678 | $ | — | $ | — | $ | 21,833 | $ | 10,916,211 | ||||||||||||||||
|
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| * | 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% | $183,497,132 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2023 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 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 |
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 |
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 |
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 |
Number of Contracts |
Notional Amount |
Value ($) | |||||||||||||||||
| Equity Options – Calls |
| |||||||||||||||||||||
| Albertsons Cos., Inc. (d) (e) |
21.00 | 07/21/23 | (1,272 | ) | USD | (2,589,792 | ) | (25,440 | ) | |||||||||||||
| Globus Medical, Inc. (e) |
62.50 | 09/15/23 | (142 | ) | USD | (768,646 | ) | (45,440 | ) | |||||||||||||
| Globus Medical, Inc. (e) |
60.00 | 09/15/23 | (84 | ) | USD | (454,692 | ) | (25,200 | ) | |||||||||||||
| Globus Medical, Inc. (e) |
55.00 | 09/15/23 | (80 | ) | USD | (433,040 | ) | (45,600 | ) | |||||||||||||
| Spirit Airlines, Inc. (e) |
17.50 | 09/15/23 | (679 | ) | USD | (1,032,759 | ) | (17,654 | ) | |||||||||||||
| Activision Blizzard, Inc. (e) |
77.50 | 01/19/24 | (222 | ) | USD | (1,780,440 | ) | (217,560 | ) | |||||||||||||
| Activision Blizzard, Inc. (e) |
80.00 | 01/19/24 | (104 | ) | USD | (834,080 | ) | (89,440 | ) | |||||||||||||
| VMware, Inc. (e) |
120.00 | 01/19/24 | (68 | ) | USD | (926,772 | ) | (180,200 | ) | |||||||||||||
|
|
|
|||||||||||||||||||||
| Total Equity Options – Calls | (646,534 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2023 (Unaudited)
Written Options — continued
| Description |
Exercise Price |
Expiration |
Number of Contracts |
Notional Amount |
Value ($) | |||||||||||||||||
| 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 |
Expiration Date |
Principal/ Notional Amount |
Floating Rate Index |
Pay/Receive |
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 |
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) ($) |
||||||||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||||||||
| CDX.NA.HYS.31 |
CITI | USD | 1,631,000 | 5.00% | 0.40% | N/A | 12/20/2023 | Quarterly | (6,361 | ) | (41,317 | ) | (34,956 | ) | ||||||||||||||||||||||||
| CDX.NA.HYS.31 |
CITI | USD | 1,780,000 | 5.00% | 0.40% | N/A | 12/20/2023 | Quarterly | 18,334 | (45,092 | ) | (63,426 | ) | |||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
GS | USD | 1,886,000 | 3.00% | 16.13% | N/A | 09/17/2058 | Monthly | 433,780 | 457,921 | 24,141 | |||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
MLCS | USD | 2,640,000 | 3.00% | 16.13% | N/A | 09/17/2058 | Monthly | 212,244 | 640,992 | 428,748 | |||||||||||||||||||||||||||
| CMBX.NA.BBB-.13 |
GS | USD | 576,500 | 3.00% | 10.89% | N/A | 12/16/2072 | Monthly | 35,496 | 186,642 | 151,146 | |||||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||
| CDX.NA.HYS.31.V14-5Y |
CITI | USD | 1,187,000 | 5.00% | 0.15% | 1,187,000 USD | 12/20/2023 | Quarterly | 121,668 | 31,719 | (89,949 | ) | ||||||||||||||||||||||||||
| CDX.NA.HYS.31.V14-5Y |
CITI | USD | 3,560,000 | 5.00% | 0.15% | 3,560,000 USD | 12/20/2023 | Quarterly | 238,520 | 95,130 | (143,390 | ) | ||||||||||||||||||||||||||
| CDX.NA.HYS.31.V15-5Y |
CITI | USD | 1,928,000 | 5.00% | 0.15% | 1,928,000 USD | 12/20/2023 | Quarterly | 203,886 | 51,520 | (152,366 | ) | ||||||||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2023 (Unaudited)
OTC Credit Default Swaps (continued)
| Reference Entity |
Counterparty |
Notional |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
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 | ) | ||||||||||||||||||||||||||
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| $ | 5,380,022 | $ | 3,891,214 | $ | (1,488,808 | ) | ||||||||||||||||||||||||||||||||||
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| ^ | 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 |
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 |
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 |
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 | ) | |||||||||||||||
|
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| $ | 2,718 | $ | (119,071 | ) | $ | (121,789 | ) | |||||||||||||||||||
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OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic |
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 |
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 |
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 |
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 |
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 |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 08/08/2023 | SSB | AUD | 56,498,497 | USD | 37,758,727 | 918,537 | ||||||||||||||||
| 08/08/2023 | JPM | AUD | 9,660,000 | USD | 6,478,836 | 179,974 | ||||||||||||||||
| 07/24/2023 | JPM | AUD | 76,101,136 | USD | 50,703,307 | 1,107,914 | ||||||||||||||||
| 08/08/2023 | BOA | AUD | 3,640,000 | USD | 2,385,769 | 12,285 | ||||||||||||||||
| 08/02/2023 | CITI | BRL | 4,450,000 | USD | 877,340 | 9,623 | ||||||||||||||||
| 06/02/2023 | MSCI | BRL | 40,123,409 | USD | 8,097,535 | 188,795 | ||||||||||||||||
| 06/02/2023 | JPM | BRL | 38,001,591 | USD | 7,609,450 | 118,942 | ||||||||||||||||
| 06/30/2023 | BCLY | CAD | 24,470,000 | USD | 18,214,841 | 176,381 | ||||||||||||||||
| 08/14/2023 | MSCI | CAD | 1,051,551 | USD | 780,928 | 5,001 | ||||||||||||||||
| 06/30/2023 | BOA | CAD | 4,040,000 | USD | 3,005,980 | 27,828 | ||||||||||||||||
| 08/08/2023 | SSB | CAD | 585,379 | USD | 435,721 | 3,835 | ||||||||||||||||
| 08/08/2023 | CITI | CAD | 79,967 | USD | 59,345 | 347 | ||||||||||||||||
| 08/08/2023 | MSCI | CAD | 1,051,551 | USD | 781,071 | 5,246 | ||||||||||||||||
| 07/12/2023 | MSCI | CHF | 41,882,875 | USD | 47,431,508 | 1,233,753 | ||||||||||||||||
| 08/15/2023 | BCLY | CHF | 10,531,053 | USD | 11,896,000 | 237,095 | ||||||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 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 |
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 |
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% | $123,650,154 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2023 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 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 |
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% | $195,385,428 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2023 is as follows:
Swap Contracts
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
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 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| # | 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 | |||||||||||||||||||||||
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| Totals |
$ | 66,984,879 | $ | 5,500,000 | $ | 5,500,000 | $ | — | $ | — | $ | 566,215 | $ | (167,829 | ) | $ | 67,383,265 | |||||||||||||||
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| 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 | |||||||||||||||||||||||
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| Totals |
$ | 589,383,939 | $ | 58,200,000 | $ | 60,144,000 | $ | — | $ | — | $ | (7,609,274 | ) | $ | 10,524,916 | $ | 590,355,581 | |||||||||||||||
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| Consolidated Implementation Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 1,119,668 | $ | 100,692,351 | $ | 88,700,544 | $ | — | ** | $ | — | $ | 37,294 | $ | 2,156 | $ | 13,150,925 | |||||||||||||||
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| 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 | |||||||||||||||||||||||
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| Totals |
$ | 227,130,909 | $ | 29,132,115 | $ | 28,749,481 | $ | — | $ | — | $ | (3,089,882 | ) | $ | 1,951,896 | $ | 226,375,557 | |||||||||||||||
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| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
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| 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 | |||||||||||||||||||||||
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| Totals |
$ | 491,808,393 | $ | 36,978,392 | $ | 173,675,725 | $ | — | $ | — | $ | 2,738,706 | $ | (815,898 | ) | $ | 357,033,868 | |||||||||||||||
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| 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, |
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| 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 | |||||||||||||||||||||||
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| Totals |
$ | 130,766,788 | $ | 41,398,411 | $ | 15,030,000 | $ | 48,411 | $ | — | $ | 303,574 | $ | 15,957 | $ | 157,454,730 | ||||||||||||||||
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| * | 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.