GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 97.8% | ||||||||||
| Argentina — 0.9% | ||||||||||
| 585,489 | Adecoagro SA | 6,709,704 | ||||||||
|
|
|
|||||||||
| Australia — 0.1% | ||||||||||
| 320,055 | Clean TeQ Water Ltd. * (a) | 67,652 | ||||||||
| 1,399,037 | Sunrise Energy Metals Ltd. * (a) | 575,253 | ||||||||
|
|
|
|||||||||
| Total Australia | 642,905 | |||||||||
|
|
|
|||||||||
| Brazil — 1.8% | ||||||||||
| 1,044,867 | Sao Martinho SA | 7,030,809 | ||||||||
| 520,352 | SLC Agricola SA | 3,983,475 | ||||||||
| 284,700 | Suzano SA | 3,110,730 | ||||||||
|
|
|
|||||||||
| Total Brazil | 14,125,014 | |||||||||
|
|
|
|||||||||
| Canada — 9.1% | ||||||||||
| 476,293 | Anaergia, Inc. * (a) | 93,016 | ||||||||
| 1,127,731 | Canadian Solar, Inc. * (a) | 23,716,183 | ||||||||
| 431,300 | Capstone Copper Corp. * (a) | 1,767,219 | ||||||||
| 111,900 | ERO Copper Corp. * | 1,378,804 | ||||||||
| 609,438 | First Quantum Minerals Ltd. | 4,989,761 | ||||||||
| 1,925,700 | Greenlane Renewables, Inc. * (a) | 205,775 | ||||||||
| 3,551,372 | Ivanhoe Mines Ltd. – Class A * | 31,693,957 | ||||||||
| 1,008,392 | Largo, Inc. * (a) | 2,065,905 | ||||||||
| 1,333,508 | Li-Cycle Holdings Corp. * (a) | 1,175,621 | ||||||||
| 201,100 | Northland Power, Inc. | 3,269,292 | ||||||||
|
|
|
|||||||||
| Total Canada | 70,355,533 | |||||||||
|
|
|
|||||||||
| China — 1.5% | ||||||||||
| 1,824,114 | China High Speed Transmission Equipment | |||||||||
| Group Co. Ltd. * | 407,783 | |||||||||
| 200,992 | Hollysys Automation Technologies Ltd. * | 4,582,617 | ||||||||
| 1,950,745 | Ming Yang Smart Energy Group Ltd. – Class A | 3,683,800 | ||||||||
| 1,128,006 | Tianneng Power International Ltd. (a) | 926,799 | ||||||||
| 1,226,576 | Yutong Bus Co. Ltd. – Class A | 2,315,509 | ||||||||
|
|
|
|||||||||
| Total China | 11,916,508 | |||||||||
|
|
|
|||||||||
| Denmark — 4.5% | ||||||||||
| 11,113 | ROCKWOOL AS – B Shares | 3,004,677 | ||||||||
| 1,133,889 | Vestas Wind Systems AS * | 31,352,746 | ||||||||
|
|
|
|||||||||
| Total Denmark | 34,357,423 | |||||||||
|
|
|
|||||||||
| Finland — 1.0% | ||||||||||
| 272,502 | Kemira OYJ | 4,583,713 | ||||||||
| 89,318 | Neste OYJ | 3,403,257 | ||||||||
|
|
|
|||||||||
| Total Finland | 7,986,970 | |||||||||
|
|
|
|||||||||
| France — 11.3% | ||||||||||
| 29,268 | Legrand SA | 2,822,868 | ||||||||
| 393,774 | Nexans SA | 31,004,789 | ||||||||
| 18,890 | Schneider Electric SE | 3,476,755 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| France — continued | ||||||||||
| 260,667 | STMicroelectronics NV (a) | 12,369,106 | ||||||||
| 1,008,814 | Valeo SE | 14,648,347 | ||||||||
| 645,149 | Veolia Environnement SA | 20,338,630 | ||||||||
| 114,522 | Waga Energy SA * | 2,785,855 | ||||||||
|
|
|
|||||||||
| Total France | 87,446,350 | |||||||||
|
|
|
|||||||||
| Germany — 4.0% | ||||||||||
| 219,999 | E.ON SE | 2,859,563 | ||||||||
| 435,689 | Infineon Technologies AG | 16,810,866 | ||||||||
| 99,910 | Knorr-Bremse AG | 6,268,616 | ||||||||
| 28,682 | Siemens AG (Registered) | 4,818,077 | ||||||||
|
|
|
|||||||||
| Total Germany | 30,757,122 | |||||||||
|
|
|
|||||||||
| Ireland — 0.3% | ||||||||||
| 31,685 | Kingspan Group PLC | 2,517,845 | ||||||||
|
|
|
|||||||||
| Isle of Man — 0.6% | ||||||||||
| 460,000 | Lifezone Holdings Ltd. * | 4,489,600 | ||||||||
|
|
|
|||||||||
| Israel — 0.4% | ||||||||||
| 532,866 | ICL Group Ltd. | 2,684,149 | ||||||||
|
|
|
|||||||||
| Italy — 0.7% | ||||||||||
| 146,901 | Prysmian SpA | 5,666,505 | ||||||||
|
|
|
|||||||||
| Japan — 5.2% | ||||||||||
| 244,400 | Ebara Corp. | 13,884,224 | ||||||||
| 209,900 | GS Yuasa Corp. (a) | 3,089,719 | ||||||||
| 116,100 | Organo Corp. | 4,764,199 | ||||||||
| 875,600 | Renesas Electronics Corp. * | 15,260,784 | ||||||||
| 180,200 | Yokogawa Electric Corp. | 3,419,491 | ||||||||
|
|
|
|||||||||
| Total Japan | 40,418,417 | |||||||||
|
|
|
|||||||||
| Mexico — 2.2% | ||||||||||
| 2,271,397 | Grupo Mexico SAB de CV – Series B | 10,434,681 | ||||||||
| 3,167,320 | Orbia Advance Corp. SAB de CV | 6,750,968 | ||||||||
|
|
|
|||||||||
| Total Mexico | 17,185,649 | |||||||||
|
|
|
|||||||||
| Netherlands — 0.7% | ||||||||||
| 105,593 | Arcadis NV | 5,303,416 | ||||||||
|
|
|
|||||||||
| Norway — 0.6% | ||||||||||
| 646,966 | Austevoll Seafood ASA | 4,459,138 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 72,215 | MMC Norilsk Nickel PJSC * (b) | 134,630 | ||||||||
| 3 | MMC Norilsk Nickel PJSC ADR * (b) | — | ||||||||
| 120,856 | PhosAgro PJSC (b) | 91,097 | ||||||||
| 2,335 | PhosAgro PJSC GDR * (b) (c) | 589 | ||||||||
| 169,638 | Ros Agro PLC GDR (Registered) * (b) | 14,874 | ||||||||
|
|
|
|||||||||
| Total Russia | 241,190 | |||||||||
|
|
|
|||||||||
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| South Korea — 6.8% | ||||||||||
| 110,081 | LG Chem Ltd. | 42,586,474 | ||||||||
| 26,594 | Samsung SDI Co. Ltd. | 9,683,571 | ||||||||
|
|
|
|||||||||
| Total South Korea | 52,270,045 | |||||||||
|
|
|
|||||||||
| Spain — 2.3% | ||||||||||
| 19,873 | Acciona SA | 2,805,018 | ||||||||
| 174,796 | Endesa SA | 3,656,231 | ||||||||
| 313,187 | Iberdrola SA | 3,870,675 | ||||||||
| 166,701 | Redeia Corp. SA | 2,794,267 | ||||||||
| 223,596 | Solaria Energia y Medio Ambiente SA * | 4,190,689 | ||||||||
|
|
|
|||||||||
| Total Spain | 17,316,880 | |||||||||
|
|
|
|||||||||
| Sweden — 0.4% | ||||||||||
| 244,125 | Munters Group AB | 3,421,150 | ||||||||
|
|
|
|||||||||
| Switzerland — 0.3% | ||||||||||
| 25,328 | Landis+Gyr Group AG | 2,128,831 | ||||||||
|
|
|
|||||||||
| Ukraine — 0.1% | ||||||||||
| 219,994 | Kernel Holding SA * | 398,507 | ||||||||
|
|
|
|||||||||
| United Kingdom — 0.4% | ||||||||||
| 235,969 | National Grid PLC | 3,060,345 | ||||||||
|
|
|
|||||||||
| United States — 42.6% | ||||||||||
| 342,762 | Aemetis, Inc. * (a) | 1,521,863 | ||||||||
| 54,408 | AGCO Corp. | 6,176,940 | ||||||||
| 273,973 | Alcoa Corp. | 7,358,915 | ||||||||
| 1,004,370 | Ameresco, Inc. – Class A* | 30,090,925 | ||||||||
| 186,200 | Array Technologies, Inc. * | 2,880,514 | ||||||||
| 337,473 | BorgWarner, Inc. | 11,369,465 | ||||||||
| 3,893,277 | Clean Energy Fuels Corp. * | 14,054,730 | ||||||||
| 112,024 | Corteva, Inc. | 5,063,485 | ||||||||
| 830,828 | Darling Ingredients, Inc. * | 36,448,424 | ||||||||
| 4,322 | Deere & Co. | 1,574,980 | ||||||||
| 38,767 | Edison International | 2,597,001 | ||||||||
| 43,403 | EnerSys | 3,840,298 | ||||||||
| 92,622 | Enphase Energy, Inc. * | 9,356,675 | ||||||||
| 69,739 | Exelon Corp. | 2,685,649 | ||||||||
| 49,295 | First Solar, Inc. * | 7,777,765 | ||||||||
| 271,999 | Freeport-McMoRan, Inc. | 10,151,003 | ||||||||
| 1,171,395 | Gevo, Inc. * | 1,323,676 | ||||||||
| 6,041,384 | GrafTech International Ltd. | 14,922,219 | ||||||||
| 938,831 | Green Plains, Inc. * | 23,358,115 | ||||||||
| 47,200 | Johnson Controls International PLC | 2,492,160 | ||||||||
| 7,800 | Lennox International, Inc. | 3,171,948 | ||||||||
| 877,249 | Livent Corp. * (a) | 12,070,946 | ||||||||
| 204,298 | Mosaic Co. | 7,332,255 | ||||||||
| 95,248 | Mueller Water Products, Inc. – Class A | 1,265,846 | ||||||||
| 19,787 | MYR Group, Inc. * | 2,461,899 | ||||||||
| 78,348 | ON Semiconductor Corp. * | 5,588,563 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 22,909 | Owens Corning | 3,106,002 | ||||||||
| 59,772 | Pentair PLC | 3,857,685 | ||||||||
| 127,450 | PotlatchDeltic Corp. – (REIT) | 5,842,308 | ||||||||
| 196,696 | Sensata Technologies Holding PLC | 6,394,587 | ||||||||
| 382,501 | SolarEdge Technologies, Inc. * | 30,362,929 | ||||||||
| 3,419,004 | Sunrun, Inc. * (a) | 44,105,152 | ||||||||
| 59,165 | TE Connectivity Ltd. | 7,750,615 | ||||||||
|
|
|
|||||||||
| Total United States | 328,355,537 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $935,187,845) |
754,214,733 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) —1.7% | ||||||||||
| Chile — 1.7% | ||||||||||
| 264,016 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 13,264,164 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $14,292,182) |
13,264,164 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 4.6% | ||||||||||
| United States — 4.6% | ||||||||||
| Affiliated Issuers — 4.6% | ||||||||||
| 7,032,335 | GMO U.S. Treasury Fund (e) | 35,161,673 | ||||||||
|
|
|
|||||||||
| Total United States | 35,161,673 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $35,126,909) |
35,161,673 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
| Money Market Funds — 0.0% | ||||||||||
| 45,724 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (f) | 45,724 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $45,724) |
45,724 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 104.1% (Cost $984,652,660) |
802,686,294 | |||||||||
| Other Assets and Liabilities (net) — (4.1)% | (31,453,857 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $771,232,437 | |||||||||
|
|
|
|||||||||
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 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 November 30, 2023 |
||||||||
| PhosAgro PJSC GDR | 08/09/19 | $ | 36,037 | 0.0% | $ | 589 | ||||||
|
|
|
|||||||||||
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 November 30, 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)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 91.1% | ||||||||||
| Brazil — 4.0% | ||||||||||
| 37,500 | Ambev SA ADR | 102,750 | ||||||||
| 158,300 | Ambev SA | 440,290 | ||||||||
| 211,700 | Banco do Brasil SA | 2,334,182 | ||||||||
| 108,200 | BB Seguridade Participacoes SA | 688,059 | ||||||||
| 87,300 | CPFL Energia SA | 657,138 | ||||||||
| 166,327 | Enauta Participacoes SA | 523,441 | ||||||||
| 65,600 | Engie Brasil Energia SA | 579,758 | ||||||||
| 64,800 | Petroleo Brasileiro SA Sponsored ADR | 989,496 | ||||||||
| 4,400 | Transmissora Alianca de Energia Eletrica SA | 32,593 | ||||||||
| 404,800 | Ultrapar Participacoes SA | 2,076,614 | ||||||||
|
|
|
|||||||||
| Total Brazil | 8,424,321 | |||||||||
|
|
|
|||||||||
| Chile — 0.5% | ||||||||||
| 3,695 | CAP SA | 25,413 | ||||||||
| 21,020 | Cia Cervecerias Unidas SA | 128,701 | ||||||||
| 2,306,662 | Colbun SA | 365,237 | ||||||||
| 90,328 | Inversiones La Construccion SA | 581,824 | ||||||||
|
|
|
|||||||||
| Total Chile | 1,101,175 | |||||||||
|
|
|
|||||||||
| Czech Republic — 0.2% | ||||||||||
| 705 | Philip Morris CR AS | 496,465 | ||||||||
|
|
|
|||||||||
| Egypt — 0.7% | ||||||||||
| 80,922 | Abou Kir Fertilizers & Chemical Industries | 207,868 | ||||||||
| 255,228 | Commercial International Bank – Egypt (CIB) | 637,674 | ||||||||
| 749,920 | Eastern Co. SAE | 627,641 | ||||||||
|
|
|
|||||||||
| Total Egypt | 1,473,183 | |||||||||
|
|
|
|||||||||
| Hungary — 3.3% | ||||||||||
| 81,095 | MOL Hungarian Oil & Gas PLC | 645,843 | ||||||||
| 134,249 | OTP Bank Nyrt | 5,586,087 | ||||||||
| 25,879 | Richter Gedeon Nyrt | 652,434 | ||||||||
|
|
|
|||||||||
| Total Hungary | 6,884,364 | |||||||||
|
|
|
|||||||||
| India — 12.6% | ||||||||||
| 34,200 | Azure Power Global Ltd. * | 42,750 | ||||||||
| 31,167 | Bharat Petroleum Corp. Ltd. | 163,577 | ||||||||
| 68,952 | Castrol India Ltd. | 114,398 | ||||||||
| 24,795 | Chambal Fertilisers & Chemicals Ltd. | 94,623 | ||||||||
| 35,931 | Chennai Petroleum Corp. Ltd. | 289,714 | ||||||||
| 8,311 | Cochin Shipyard Ltd. | 120,195 | ||||||||
| 3,932 | Colgate-Palmolive India Ltd. | 103,176 | ||||||||
| 15,065 | Coromandel International Ltd. | 210,895 | ||||||||
| 600 | Dr Reddy’s Laboratories Ltd. ADR | 41,940 | ||||||||
| 21,191 | Dr Reddy’s Laboratories Ltd. | 1,471,361 | ||||||||
| 1,768 | EID Parry India Ltd. | 11,375 | ||||||||
| 84,505 | Engineers India Ltd. | 149,469 | ||||||||
| 12 | Federal Bank Ltd. | 21 | ||||||||
| 5,643 | Firstsource Solutions Ltd. | 12,014 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| India — continued | ||||||||||
| 23,377 | GHCL Ltd. | 154,496 | ||||||||
| 18,413 | GHCL Textiles Ltd. * | 15,510 | ||||||||
| 17,845 | Godawari Power & Ispat Ltd. | 146,860 | ||||||||
| 30,028 | Great Eastern Shipping Co. Ltd. | 316,241 | ||||||||
| 20,897 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd. | 172,222 | ||||||||
| 11,861 | Gujarat Pipavav Port Ltd. | 20,054 | ||||||||
| 242,884 | Gujarat State Fertilizers & Chemicals Ltd. | 563,396 | ||||||||
| 4,645 | Gujarat State Petronet Ltd. | 16,069 | ||||||||
| 40,884 | HCL Technologies Ltd. | 658,346 | ||||||||
| 7,666 | HDFC Bank Ltd. ADR | 460,267 | ||||||||
| 32 | Hindalco Industries Ltd. | 199 | ||||||||
| 1,373 | ICICI Securities Ltd. | 11,196 | ||||||||
| 616,251 | Indiabulls Housing Finance Ltd. | 1,502,443 | ||||||||
| 128,563 | Indian Oil Corp. Ltd. | 172,986 | ||||||||
| 22,546 | Infosys Ltd. | 394,042 | ||||||||
| 52,600 | Infosys Ltd. Sponsored ADR | 923,130 | ||||||||
| 90,127 | IRCON International Ltd. | 181,709 | ||||||||
| 989,100 | ITC Ltd. | 5,181,894 | ||||||||
| 22,826 | JM Financial Ltd. | 22,937 | ||||||||
| 1,638 | Kaveri Seed Co. Ltd. | 11,901 | ||||||||
| 2,959 | KNR Constructions Ltd. | 10,348 | ||||||||
| 3,105 | KRBL Ltd. | 12,894 | ||||||||
| 5,522 | LT Foods Ltd. | 14,399 | ||||||||
| 7,738 | Mahanagar Gas Ltd. | 97,498 | ||||||||
| 12,400 | MakeMyTrip Ltd. * | 523,652 | ||||||||
| 525,631 | Manappuram Finance Ltd. | 1,051,122 | ||||||||
| 1,646 | Marico Ltd. | 10,632 | ||||||||
| 1,645 | Motilal Oswal Financial Services Ltd. | 23,693 | ||||||||
| 15,486 | Muthoot Finance Ltd. | 273,668 | ||||||||
| 491,039 | National Aluminium Co. Ltd. | 544,971 | ||||||||
| 59,524 | NCC Ltd. | 119,486 | ||||||||
| 3,092 | Nippon Life India Asset Management Ltd. | 15,504 | ||||||||
| 2,175,196 | Oil & Natural Gas Corp. Ltd. | 5,073,919 | ||||||||
| 124,175 | Oil India Ltd. | 455,063 | ||||||||
| 5,094 | Oracle Financial Services Software Ltd. | 247,583 | ||||||||
| 280,076 | Petronet LNG Ltd. | 683,321 | ||||||||
| 2,343 | Piramal Enterprises Ltd. | 26,106 | ||||||||
| 293,157 | Power Grid Corp. of India Ltd. | 737,187 | ||||||||
| 13,370 | Rashtriya Chemicals & Fertilizers Ltd. | 20,650 | ||||||||
| 402 | Redington Ltd. | 777 | ||||||||
| 48,175 | Reliance Industries Ltd. | 1,375,909 | ||||||||
| 35,822 | RITES Ltd. | 201,754 | ||||||||
| 176 | Sanofi India Ltd. | 16,976 | ||||||||
| 15,410 | Shipping Corp. of India Ltd. | 26,554 | ||||||||
| 4,027 | Shriram Finance Ltd. | 96,738 | ||||||||
| 68,800 | Sun TV Network Ltd. | 557,729 | ||||||||
| 6,260 | Tata Consultancy Services Ltd. | 262,323 | ||||||||
| 2,822 | Triveni Engineering & Industries Ltd. | 13,087 | ||||||||
| 33,098 | Ujjivan Small Finance Bank Ltd. | 22,563 | ||||||||
| 2,863 | West Coast Paper Mills Ltd. | 22,431 | ||||||||
| 27,553 | Wipro Ltd. | 136,038 | ||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| India — continued | ||||||||||
| 6,400 | WNS Holdings Ltd. ADR * | 380,672 | ||||||||
| 2,427 | Zensar Technologies Ltd. | 15,659 | ||||||||
|
|
|
|||||||||
| Total India | 26,822,312 | |||||||||
|
|
|
|||||||||
| Indonesia — 4.8% | ||||||||||
| 2,568,000 | AKR Corporindo Tbk. PT | 237,538 | ||||||||
| 6,678,500 | Bank Central Asia Tbk. PT | 3,865,405 | ||||||||
| 3,687,200 | Bank Mandiri Persero Tbk. PT | 1,390,335 | ||||||||
| 4,718,000 | Bank Negara Indonesia Persero Tbk. PT | 1,605,242 | ||||||||
| 8,106,400 | Bank Rakyat Indonesia Persero Tbk. PT | 2,758,804 | ||||||||
| 1,674,500 | Medco Energi Internasional Tbk. PT | 124,286 | ||||||||
| 663,200 | Vale Indonesia Tbk. PT | 192,418 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 10,174,028 | |||||||||
|
|
|
|||||||||
| Malaysia — 0.1% | ||||||||||
| 40,900 | Hong Leong Financial Group Bhd | 141,322 | ||||||||
| 284,300 | Kossan Rubber Industries Bhd | 98,289 | ||||||||
|
|
|
|||||||||
| Total Malaysia | 239,611 | |||||||||
|
|
|
|||||||||
| Mexico — 6.9% | ||||||||||
| 187,900 | Arca Continental SAB de CV | 1,915,945 | ||||||||
| 178,700 | Banco del Bajio SA | 572,466 | ||||||||
| 8,400 | Coca-Cola Femsa SAB de CV Sponsored ADR | 711,060 | ||||||||
| 539,400 | Credito Real SAB de CV SOFOM ER * (a) | — | ||||||||
| 100 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 12,689 | ||||||||
| 600 | Grupo Aeroportuario del Centro Norte SAB de CV ADR | 42,972 | ||||||||
| 4,095 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 96,676 | ||||||||
| 954,367 | Grupo Financiero Banorte SAB de CV – Class O | 8,880,720 | ||||||||
| 138,700 | Grupo Mexico SAB de CV – Series B | 637,181 | ||||||||
| 516,500 | Grupo Televisa SAB – Series CPO | 328,899 | ||||||||
| 55,800 | Qualitas Controladora SAB de CV | 510,500 | ||||||||
| 32,900 | Regional SAB de CV | 285,101 | ||||||||
| 175,137 | Wal-Mart de Mexico SAB de CV | 689,517 | ||||||||
|
|
|
|||||||||
| Total Mexico | 14,683,726 | |||||||||
|
|
|
|||||||||
| Pakistan — 0.2% | ||||||||||
| 81,640 | Attock Refinery Ltd. | 89,115 | ||||||||
| 41,957 | Engro Fertilizers Ltd. | 14,826 | ||||||||
| 31,252 | Fauji Fertilizer Co. Ltd. | 12,283 | ||||||||
| 27,206 | Hub Power Co. Ltd. | 11,642 | ||||||||
| 2,157 | Mari Petroleum Co. Ltd. | 12,880 | ||||||||
| 356,947 | Oil & Gas Development Co. Ltd. | 136,216 | ||||||||
| 13,919 | Pakistan Oilfields Ltd. | 21,184 | ||||||||
| 275,346 | Pakistan Petroleum Ltd. | 88,424 | ||||||||
| 59,621 | SUI Northern Gas Pipeline | 13,128 | ||||||||
| 21,249 | United Bank Ltd. | 13,537 | ||||||||
|
|
|
|||||||||
| Total Pakistan | 413,235 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Poland — 3.4% | ||||||||||
| 25,757 | Bank Polska Kasa Opieki SA | 904,904 | ||||||||
| 777 | Budimex SA | 107,686 | ||||||||
| 352 | Grupa Kety SA | 63,700 | ||||||||
| 315,996 | ORLEN SA | 4,665,071 | ||||||||
| 129,619 | Powszechny Zaklad Ubezpieczen SA | 1,476,423 | ||||||||
| 7,826 | XTB SA | 65,260 | ||||||||
|
|
|
|||||||||
| Total Poland | 7,283,044 | |||||||||
|
|
|
|||||||||
| Russia — 0.2% | ||||||||||
| 4,036,000 | Alrosa PJSC (a) (b) | 29,274 | ||||||||
| 434,347 | Etalon Group PLC GDR (Registered) * (a) | 3,713 | ||||||||
| 131,280 | Evraz PLC * (a) | 3,393 | ||||||||
| 236,860,000 | Federal Grid Co.-Rosseti PJSC * (a) | 3,177 | ||||||||
| 102,255 | Gazprom Neft PJSC (a) | 9,990 | ||||||||
| 897,812 | Gazprom PJSC * (a) | 16,298 | ||||||||
| 6,151,400 | Inter RAO UES PJSC (a) | 2,857 | ||||||||
| 122,088 | LUKOIL PJSC (a) | 98,715 | ||||||||
| 4,327,340 | Magnitogorsk Iron & Steel Works PJSC * (a) (b) | 24,526 | ||||||||
| 7,832 | MMC Norilsk Nickel PJSC * (a) | 14,601 | ||||||||
| 5 | MMC Norilsk Nickel PJSC ADR * (a) | 1 | ||||||||
| 172,200 | Mobile TeleSystems PJSC ADR * (a) | 9,792 | ||||||||
| 88,090 | Moscow Exchange MICEX-Rates PJSC (a) | 1,954 | ||||||||
| 93,370 | Novatek PJSC (a) | 15,682 | ||||||||
| 1,403,510 | Novolipetsk Steel PJSC * (a) | 26,924 | ||||||||
| 4,917 | PhosAgro PJSC (a) | 3,706 | ||||||||
| 95 | PhosAgro PJSC GDR * (a) (b) | 24 | ||||||||
| 11,902 | Polyus PJSC * (a) (b) | 14,388 | ||||||||
| 1 | Polyus PJSC GDR (Registered) (a) (b) | 1 | ||||||||
| 50,074,400 | RusHydro PJSC (a) | 4,439 | ||||||||
| 3,446,432 | Sberbank of Russia PJSC (a) (b) | 106,026 | ||||||||
| 140,607 | Severstal PAO GDR (Registered) * (a) (b) | 19,950 | ||||||||
| 2,387,800 | Surgutneftegas PJSC (a) | 8,386 | ||||||||
| 657,084 | Tatneft PJSC (a) | 46,637 | ||||||||
| 9,408 | TCS Group Holding PLC GDR (Registered) * (a) | 3,529 | ||||||||
|
|
|
|||||||||
| Total Russia | 467,983 | |||||||||
|
|
|
|||||||||
| South Africa — 10.5% | ||||||||||
| 5 | Absa Group Ltd. | 46 | ||||||||
| 60,899 | African Rainbow Minerals Ltd. | 587,440 | ||||||||
| 112,107 | Anglo American Platinum Ltd. | 4,747,128 | ||||||||
| 23,954 | Aspen Pharmacare Holdings Ltd. | 235,599 | ||||||||
| 698 | Astral Foods Ltd. | 5,903 | ||||||||
| 130,494 | AVI Ltd. | 542,365 | ||||||||
| 4,792 | Barloworld Ltd. | 19,385 | ||||||||
| 15,509 | Clicks Group Ltd. | 243,032 | ||||||||
| 27,220 | Coronation Fund Managers Ltd. | 45,590 | ||||||||
| 5,900 | DRDGOLD Ltd. Sponsored ADR | 54,988 | ||||||||
| 1,128,019 | FirstRand Ltd. | 4,035,018 | ||||||||
| 139,346 | Foschini Group Ltd. | 809,518 | ||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| South Africa — continued | ||||||||||
| 1,276,553 | Growthpoint Properties Ltd. – (REIT) | 717,802 | ||||||||
| 577,495 | Impala Platinum Holdings Ltd. | 2,348,218 | ||||||||
| 36,010 | Investec Ltd. | 230,280 | ||||||||
| 80,751 | Kumba Iron Ore Ltd. | 2,540,679 | ||||||||
| 1,783 | Motus Holdings Ltd. | 8,813 | ||||||||
| 140,732 | Mr Price Group Ltd. | 1,146,049 | ||||||||
| 65,747 | MultiChoice Group * | 235,984 | ||||||||
| 33,984 | Nedbank Group Ltd. | 385,521 | ||||||||
| 159,573 | Ninety One Ltd. | 347,730 | ||||||||
| 32,694 | Omnia Holdings Ltd. | 103,433 | ||||||||
| 14,412 | Pepkor Holdings Ltd. | 14,240 | ||||||||
| 23,239 | Pick n Pay Stores Ltd. | 29,354 | ||||||||
| 54,618 | Sanlam Ltd. | 196,542 | ||||||||
| 7,419 | Sappi Ltd. | 15,551 | ||||||||
| 23,606 | Shoprite Holdings Ltd. | 322,025 | ||||||||
| 338,735 | Sibanye Stillwater Ltd. | 372,763 | ||||||||
| 121,400 | Sibanye Stillwater Ltd. ADR | 541,444 | ||||||||
| 7,482 | SPAR Group Ltd. | 46,262 | ||||||||
| 57,298 | Tiger Brands Ltd. | 552,562 | ||||||||
| 113,531 | Truworths International Ltd. | 461,613 | ||||||||
| 70,418 | Vodacom Group Ltd. | 362,639 | ||||||||
| 10,793 | Woolworths Holdings Ltd. | 38,622 | ||||||||
|
|
|
|||||||||
| Total South Africa | 22,344,138 | |||||||||
|
|
|
|||||||||
| South Korea — 12.7% | ||||||||||
| 5,425 | BGF retail Co. Ltd. | 566,635 | ||||||||
| 19,860 | Cheil Worldwide, Inc. | 300,496 | ||||||||
| 42 | Coway Co. Ltd. | 1,617 | ||||||||
| 35,641 | Daou Data Corp. | 339,996 | ||||||||
| 3,718 | DB Insurance Co. Ltd. | 239,891 | ||||||||
| 135,863 | Dongwon Development Co. Ltd. | 345,831 | ||||||||
| 5,693 | Hyundai Marine & Fire Insurance Co. Ltd. | 137,041 | ||||||||
| 3,205 | INTOPS Co. Ltd. | 72,711 | ||||||||
| 5,441 | JB Financial Group Co. Ltd. | 43,654 | ||||||||
| 19,462 | Kakao Games Corp. * | 397,492 | ||||||||
| 4,016 | KCC Glass Corp. | 129,100 | ||||||||
| 71,609 | Korea Real Estate Investment & Trust Co. Ltd. | 68,105 | ||||||||
| 63,425 | KT Skylife Co. Ltd. | 296,883 | ||||||||
| 76,472 | KT&G Corp. | 5,212,939 | ||||||||
| 4,117 | Kumho Petrochemical Co. Ltd. | 406,537 | ||||||||
| 13,408 | Lotte Energy Materials Corp. | 467,667 | ||||||||
| 6,458 | LOTTE Fine Chemical Co. Ltd. | 288,137 | ||||||||
| 169 | MegaStudyEdu Co. Ltd. | 7,467 | ||||||||
| 4,107 | Mirae Asset Securities Co. Ltd. | 22,762 | ||||||||
| 16,949 | NH Investment & Securities Co. Ltd. | 134,386 | ||||||||
| 113 | NongShim Co. Ltd. | 35,432 | ||||||||
| 6,645 | Orion Corp. | 600,861 | ||||||||
| 194,355 | Pan Ocean Co. Ltd. | 681,670 | ||||||||
| 4,028 | S-1 Corp. | 186,831 | ||||||||
| 215,575 | Samsung Electronics Co. Ltd. | 12,155,780 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 8,517 | Samsung Securities Co. Ltd. | 258,200 | ||||||||
| 9,775 | SD Biosensor, Inc. | 85,678 | ||||||||
| 683 | Soulbrain Co. Ltd. | 146,507 | ||||||||
| 13,389 | Spigen Korea Co. Ltd. | 316,728 | ||||||||
| 8,842 | TKG Huchems Co. Ltd. | 145,534 | ||||||||
| 1 | Unid Co. Ltd. | 58 | ||||||||
| 275,637 | Woori Financial Group, Inc. | 2,778,638 | ||||||||
| 104 | Young Poong Corp. | 41,004 | ||||||||
|
|
|
|||||||||
| Total South Korea | 26,912,268 | |||||||||
|
|
|
|||||||||
| Taiwan — 26.9% | ||||||||||
| 279,000 | Acer, Inc. | 314,727 | ||||||||
| 5,000 | Acter Group Corp. Ltd. | 29,002 | ||||||||
| 13,897 | Advantech Co. Ltd. | 156,999 | ||||||||
| 495,155 | AmTRAN Technology Co. Ltd. | 189,422 | ||||||||
| 100,000 | Asia Cement Corp. | 133,401 | ||||||||
| 68,000 | Aten International Co. Ltd. | 176,778 | ||||||||
| 20,000 | Aurora Corp. | 48,089 | ||||||||
| 1,026,000 | Catcher Technology Co. Ltd | 6,383,294 | ||||||||
| 131,000 | Chicony Electronics Co. Ltd | 668,379 | ||||||||
| 103,000 | China General Plastics Corp. | 76,951 | ||||||||
| 296,000 | Chipbond Technology Corp. | 681,767 | ||||||||
| 46,000 | ChipMOS Technologies, Inc. | 60,067 | ||||||||
| 1,336,600 | Evergreen Marine Corp. Taiwan Ltd. | 4,794,390 | ||||||||
| 80,000 | Everlight Electronics Co. Ltd. | 119,692 | ||||||||
| 40,000 | Feng Hsin Steel Co. Ltd. | 84,439 | ||||||||
| 36,000 | FLEXium Interconnect, Inc. | 100,877 | ||||||||
| 110,000 | Formosa Advanced Technologies Co. Ltd. | 137,768 | ||||||||
| 376,897 | Foxconn Technology Co. Ltd. | 643,158 | ||||||||
| 4,000 | Fusheng Precision Co. Ltd. | 26,041 | ||||||||
| 46,000 | Getac Holdings Corp. | 149,832 | ||||||||
| 112,000 | Giant Manufacturing Co. Ltd | 681,178 | ||||||||
| 20,000 | Global Mixed Mode Technology, Inc. | 171,280 | ||||||||
| 258,000 | Grand Pacific Petrochemical | 132,524 | ||||||||
| 6,000 | Grape King Bio Ltd. | 29,491 | ||||||||
| 79,000 | Greatek Electronics, Inc. | 152,583 | ||||||||
| 790,000 | Hon Hai Precision Industry Co. Ltd | 2,565,982 | ||||||||
| 17,239 | Innodisk Corp. | 171,935 | ||||||||
| 344,000 | King’s Town Bank Co. Ltd. | 433,927 | ||||||||
| 104,000 | Kung Long Batteries Industrial Co. Ltd. | 444,128 | ||||||||
| 67,000 | Largan Precision Co. Ltd | 5,118,998 | ||||||||
| 42,000 | MediaTek, Inc. | 1,268,379 | ||||||||
| 476,000 | Micro-Star International Co. Ltd | 2,794,490 | ||||||||
| 364,000 | Mitac Holdings Corp. | 467,397 | ||||||||
| 233,528 | Nantex Industry Co. Ltd. | 285,531 | ||||||||
| 7,000 | Nien Made Enterprise Co. Ltd. | 76,138 | ||||||||
| 176,000 | Novatek Microelectronics Corp. | 2,874,866 | ||||||||
| 11,000 | Powertech Technology, Inc. | 39,419 | ||||||||
| 226,000 | Primax Electronics Ltd. | 466,369 | ||||||||
| 158,000 | Radiant Opto-Electronics Corp. | 667,688 | ||||||||
| 7,000 | Raydium Semiconductor Corp. | 90,137 | ||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 53,744 | Shanghai Commercial & Savings Bank Ltd. | 77,470 | ||||||||
| 10,000 | Shin Zu Shing Co. Ltd. | 39,354 | ||||||||
| 56,000 | Simplo Technology Co. Ltd | 681,411 | ||||||||
| 19,750 | Sporton International, Inc. | 150,673 | ||||||||
| 33,000 | Synnex Technology International Corp. | 72,611 | ||||||||
| 80,000 | T3EX Global Holdings Corp. | 197,139 | ||||||||
| 58,000 | TaiDoc Technology Corp. | 291,643 | ||||||||
| 60,200 | Taita Chemical Co. Ltd. | 33,128 | ||||||||
| 45,000 | Taiwan Hon Chuan Enterprise Co. Ltd. | 172,852 | ||||||||
| 223,000 | Taiwan PCB Techvest Co. Ltd. | 314,200 | ||||||||
| 68,780 | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 6,692,982 | ||||||||
| 383,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 7,005,882 | ||||||||
| 8,000 | Taiwan Surface Mounting Technology Corp. | 24,891 | ||||||||
| 2,000 | TCI Co. Ltd. | 11,035 | ||||||||
| 11,000 | Topkey Corp. | 63,002 | ||||||||
| 108,000 | Tripod Technology Corp. | 666,308 | ||||||||
| 58,000 | Tung Ho Steel Enterprise Corp. | 128,733 | ||||||||
| 19,000 | TXC Corp. | 62,608 | ||||||||
| 14,000 | United Integrated Services Co. Ltd. | 109,530 | ||||||||
| 24,200 | United Microelectronics Corp. Sponsored ADR | 188,518 | ||||||||
| 457,000 | United Microelectronics Corp. | 714,639 | ||||||||
| 97,000 | Universal, Inc. | 110,295 | ||||||||
| 396,000 | USI Corp. | 249,009 | ||||||||
| 725,250 | Wan Hai Lines Ltd. | 1,084,785 | ||||||||
| 2,952,000 | Yang Ming Marine Transport Corp. | 3,971,909 | ||||||||
| 2,363 | Yuanta Financial Holding Co. Ltd | 1,966 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 57,024,086 | |||||||||
|
|
|
|||||||||
| Thailand — 1.6% | ||||||||||
| 1,175,300 | B Grimm Power PCL NVDR | 843,617 | ||||||||
| 77,000 | Electricity Generating PCL NVDR | 282,368 | ||||||||
| 433,800 | PTT Exploration & Production PCL NVDR | 1,862,171 | ||||||||
| 274,400 | Ratch Group PCL NVDR | 253,514 | ||||||||
| 152,000 | Regional Container Lines PCL NVDR | 83,827 | ||||||||
| 50,900 | Srisawad Corp. PCL NVDR | 64,051 | ||||||||
|
|
|
|||||||||
| Total Thailand | 3,389,548 | |||||||||
|
|
|
|||||||||
| Vietnam — 2.5% | ||||||||||
| 169,800 | Duc Giang Chemicals JSC | 661,743 | ||||||||
| 14,300 | IDICO Corp. JSC | 28,841 | ||||||||
| 127,400 | PetroVietNam Ca Mau Fertilizer JSC | 168,060 | ||||||||
| 51,500 | Petrovietnam Fertilizer & Chemicals JSC | 69,954 | ||||||||
| 105,700 | PetroVietnam Technical Services Corp. | 167,815 | ||||||||
| 180,500 | Sai Gon-Ha Noi Securities JSC * | 134,954 | ||||||||
| 215,698 | Saigon – Hanoi Commercial JSB * | 96,072 | ||||||||
| 326,700 | Saigon Thuong Tin Commercial JSB * | 370,429 | ||||||||
| 726,000 | SSI Securities Corp. | 936,674 | ||||||||
| 224,000 | Vietnam Dairy Products JSC | 621,684 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Vietnam — continued | ||||||||||
| 105,819 | Vietnam Joint Stock Commercial Bank for Industry & Trade * | 114,725 | ||||||||
| 2,332,800 | VNDirect Securities Corp. * | 2,015,048 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 5,385,999 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $261,976,394) |
193,519,486 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (c) —6.4% | ||||||||||
| Brazil — 6.1% | ||||||||||
| 367,200 | Bradespar SA | 1,820,315 | ||||||||
| 8,600 | Cia de Ferro Ligas da Bahia FERBASA | 80,810 | ||||||||
| 132,300 | Cia Energetica de Minas Gerais | 297,551 | ||||||||
| 91,665 | Gerdau SA Sponsored ADR | 408,826 | ||||||||
| 923,370 | Itausa SA | 1,829,087 | ||||||||
| 937,869 | Petroleo Brasileiro SA | 6,842,449 | ||||||||
| 97,717 | Petroleo Brasileiro SA ADR | 1,421,782 | ||||||||
| 19,500 | Unipar Carbocloro SA – Class B | 294,002 | ||||||||
|
|
|
|||||||||
| Total Brazil | 12,994,822 | |||||||||
|
|
|
|||||||||
| Colombia — 0.3% | ||||||||||
| 21,800 | Bancolombia SA Sponsored ADR | 601,462 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 3,948,700 | Surgutneftegas PJSC (a) | 25,878 | ||||||||
| 315 | Transneft PJSC (a) | 5,083 | ||||||||
|
|
|
|||||||||
| Total Russia | 30,961 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $13,956,116) |
13,627,245 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 1.6% | ||||||||||
| United States — 1.6% | ||||||||||
| Affiliated Issuers — 1.6% | ||||||||||
| 662,446 | GMO U.S. Treasury Fund | 3,312,228 | ||||||||
|
|
|
|||||||||
| Total United States | 3,312,228 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $3,312,228) |
3,312,228 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.1% (Cost $279,244,738) |
210,458,959 | |||||||||
| Other Assets and Liabilities (net) — 0.9% | 1,901,398 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $212,360,357 | |||||||||
|
|
|
|||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 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 November 30, 2023 |
||||||||
| Alrosa PJSC | 10/18/21 | $ | 7,054,956 | 0.0% | $ | 29,274 | ||||||
| Magnitogorsk Iron & Steel Works PJSC | 10/18/21 | 4,011,995 | 0.0% | 24,526 | ||||||||
| PhosAgro PJSC GDR | 10/18/21 | 2,465 | 0.0% | 24 | ||||||||
| Polyus PJSC | 10/18/21 | 2,285,367 | 0.0% | 14,388 | ||||||||
| Polyus PJSC GDR (Registered) | 10/22/21 | 4 | 0.0% | 1 | ||||||||
| Sberbank of Russia PJSC | 10/18/21 | 16,614,391 | 0.0% | 106,026 | ||||||||
| Severstal PAO GDR (Registered) | 10/18/21 | 3,190,235 | 0.0% | 19,950 | ||||||||
|
|
|
|||||||||||
| $ | 194,189 | |||||||||||
|
|
|
|||||||||||
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. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.
GDR - Global Depositary Receipt
JSB - Joint Stock Bank
JSC - Joint-Stock Company
NVDR - Non-Voting Depositary Receipt
PJSC - Private Joint-Stock Company
REIT - Real Estate Investment Trust
SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 86.3% | ||||||||||
| Brazil — 3.0% | ||||||||||
| 235,800 | Banco do Brasil SA | 2,599,906 | ||||||||
| 308,400 | BB Seguridade Participacoes SA | 1,961,158 | ||||||||
| 66,800 | CPFL Energia SA | 502,827 | ||||||||
| 268,786 | Enauta Participacoes SA | 845,886 | ||||||||
| 179,300 | Engie Brasil Energia SA | 1,584,614 | ||||||||
| 339,900 | Petroleo Brasileiro SA Sponsored ADR | 5,190,273 | ||||||||
| 610,700 | Ultrapar Participacoes SA | 3,132,877 | ||||||||
|
|
|
|||||||||
| Total Brazil | 15,817,541 | |||||||||
|
|
|
|||||||||
| Chile — 0.1% | ||||||||||
| 25,428 | Cia Cervecerias Unidas SA | 155,691 | ||||||||
| 2,054,952 | Colbun SA | 325,381 | ||||||||
|
|
|
|||||||||
| Total Chile | 481,072 | |||||||||
|
|
|
|||||||||
| China — 25.5% | ||||||||||
| 1,567,000 | 361 Degrees International Ltd. | 705,095 | ||||||||
| 9,708,100 | Agricultural Bank of China Ltd. – Class A | 4,982,512 | ||||||||
| 11,710,000 | Agricultural Bank of China Ltd. – Class H | 4,322,549 | ||||||||
| 36,872 | Anhui Conch Cement Co. Ltd. – Class A | 118,912 | ||||||||
| 1,428,500 | Anhui Conch Cement Co. Ltd. – Class H | 3,331,047 | ||||||||
| 12,600 | Autohome, Inc. ADR | 344,106 | ||||||||
| 18,910,000 | Bank of China Ltd. – Class H | 6,928,417 | ||||||||
| 2,188,000 | Beijing Capital International Airport Co. Ltd.* | 792,703 | ||||||||
| 128,000 | Bosideng International Holdings Ltd. | 53,674 | ||||||||
| 309,100 | CGN Power Co. Ltd. | 131,357 | ||||||||
| 598,000 | China BlueChemical Ltd. – Class H | 138,499 | ||||||||
| 2,703,878 | China Communications Services Corp. Ltd. – Class H | 1,152,048 | ||||||||
| 1,260,000 | China Conch Venture Holdings Ltd. | 944,073 | ||||||||
| 19,411,148 | China Construction Bank Corp. – Class H | 11,223,397 | ||||||||
| 24,330,000 | China Feihe Ltd. | 14,256,521 | ||||||||
| 5,544,000 | China Jinmao Holdings Group Ltd. | 631,669 | ||||||||
| 2,109,000 | China Lesso Group Holdings Ltd. | 1,162,973 | ||||||||
| 125,000 | China Medical System Holdings Ltd. | 240,110 | ||||||||
| 1,118,000 | China Meidong Auto Holdings Ltd. | 684,142 | ||||||||
| 639,800 | China Merchants Bank Co. Ltd. – Class A | 2,583,422 | ||||||||
| 10,900 | China Oilfield Services Ltd. | 22,752 | ||||||||
| 728,000 | China Oriental Group Co. Ltd. | 112,766 | ||||||||
| 8,061,232 | China Petroleum & Chemical Corp. – Class A | 6,173,452 | ||||||||
| 1,322,000 | China Petroleum & Chemical Corp. – Class H | 678,494 | ||||||||
| 2,484,912 | China Railway Signal & Communication Corp. Ltd. – Class A |
1,514,412 | ||||||||
| 3,186,000 | China Resources Cement Holdings Ltd. | 734,167 | ||||||||
| 5,370,030 | COSCO Shipping Holdings Co. Ltd. – Class A | 7,534,304 | ||||||||
| 1,065,000 | COSCO Shipping Holdings Co. Ltd. – Class H | 981,192 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 28,000 | COSCO Shipping International Hong Kong Co. Ltd. | 10,001 | ||||||||
| 1,830,000 | CSPC Pharmaceutical Group Ltd. | 1,648,098 | ||||||||
| 1,323,000 | Dongyue Group Ltd. | 1,011,139 | ||||||||
| 4,100 | ENN Energy Holdings Ltd. | 28,299 | ||||||||
| 1,236,000 | Greentown Service Group Co. Ltd. | 512,960 | ||||||||
| 345,000 | Hello Group, Inc. Sponsored ADR | 2,228,700 | ||||||||
| 10,248,000 | Hua Han Health Industry Holdings Ltd. * (a) | 1 | ||||||||
| 2,132,900 | Industrial & Commercial Bank of China Ltd. – Class A |
1,438,647 | ||||||||
| 14,807,000 | Industrial & Commercial Bank of China Ltd. – Class H |
7,045,575 | ||||||||
| 955,000 | Jiumaojiu International Holdings Ltd. | 964,622 | ||||||||
| 300 | JOYY, Inc. ADR | 11,523 | ||||||||
| 24,000 | Kunlun Energy Co. Ltd. | 22,177 | ||||||||
| 3,288,000 | Lenovo Group Ltd. | 4,057,777 | ||||||||
| 24,400 | Livzon Pharmaceutical Group, Inc. | 119,805 | ||||||||
| 557,000 | Lonking Holdings Ltd. | 84,718 | ||||||||
| 40,900 | NetEase, Inc. | 922,637 | ||||||||
| 21,200 | Nongfu Spring Co. Ltd. | 120,920 | ||||||||
| 331,500 | Orient Overseas International Ltd. | 3,985,843 | ||||||||
| 8,163,800 | PetroChina Co. Ltd. – Class A | 8,205,158 | ||||||||
| 1,636,000 | PetroChina Co. Ltd. – Class H | 1,070,556 | ||||||||
| 1,695,000 | PICC Property & Casualty Co. Ltd. – Class H | 1,968,987 | ||||||||
| 686,309 | Ping An Insurance Group Co. of China Ltd. – Class A | 3,929,068 | ||||||||
| 509,200 | Postal Savings Bank of China Co. Ltd. – Class A | 313,347 | ||||||||
| 3,540,400 | Qingling Motors Co. Ltd. – Class H * | 249,335 | ||||||||
| 1,057,500 | Shenzhen International Holdings Ltd. | 779,793 | ||||||||
| 1,517,000 | Sinopec Engineering Group Co. Ltd. – Class H | 783,846 | ||||||||
| 38,000 | Sinotruk Hong Kong Ltd. | 78,829 | ||||||||
| 14,300 | Tencent Holdings Ltd. ADR (b) | 595,166 | ||||||||
| 142,200 | Tencent Holdings Ltd. | 5,923,931 | ||||||||
| 696,385 | Vipshop Holdings Ltd. ADR * | 11,163,052 | ||||||||
| 22,000 | Want Want China Holdings Ltd. | 12,871 | ||||||||
| 8,600 | Xinhua Winshare Publishing & Media Co. Ltd. – Class A |
16,269 | ||||||||
| 844,000 | Yihai International Holding Ltd. | 1,406,430 | ||||||||
| 548,000 | Zhejiang Expressway Co. Ltd. – Class H (b) | 347,011 | ||||||||
|
|
|
|||||||||
| Total China | 133,535,856 | |||||||||
|
|
|
|||||||||
| Czech Republic — 0.3% | ||||||||||
| 300,047 | Moneta Money Bank AS | 1,173,152 | ||||||||
| 677 | Philip Morris CR AS | 476,747 | ||||||||
|
|
|
|||||||||
| Total Czech Republic | 1,649,899 | |||||||||
|
|
|
|||||||||
| Egypt — 0.2% | ||||||||||
| 481,367 | Commercial International Bank – Egypt (CIB) | 1,202,671 | ||||||||
|
|
|
|||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Hungary — 3.2% | ||||||||||
| 17,094 | Magyar Telekom Telecommunications PLC | 28,892 | ||||||||
| 144,866 | MOL Hungarian Oil & Gas PLC | 1,153,717 | ||||||||
| 344,204 | OTP Bank Nyrt | 14,322,294 | ||||||||
| 48,412 | Richter Gedeon Nyrt | 1,220,511 | ||||||||
|
|
|
|||||||||
| Total Hungary | 16,725,414 | |||||||||
|
|
|
|||||||||
| India — 6.7% | ||||||||||
| 2,500 | Avanti Feeds Ltd. | 11,747 | ||||||||
| 2,671 | Balrampur Chini Mills Ltd. | 15,151 | ||||||||
| 121,853 | Brightcom Group Ltd. * | 24,840 | ||||||||
| 20,428 | Castrol India Ltd. | 33,892 | ||||||||
| 14,792 | CESC Ltd. | 17,241 | ||||||||
| 64,054 | Chambal Fertilisers & Chemicals Ltd. | 244,445 | ||||||||
| 35,364 | Chennai Petroleum Corp. Ltd. | 285,142 | ||||||||
| 1,682 | Cholamandalam Financial Holdings Ltd. | 19,803 | ||||||||
| 4,901 | Colgate-Palmolive India Ltd. | 128,603 | ||||||||
| 10,673 | Coromandel International Ltd. | 149,411 | ||||||||
| 2,029 | Dr Reddy’s Laboratories Ltd. | 140,880 | ||||||||
| 355 | eClerx Services Ltd. | 11,395 | ||||||||
| 2,494 | EID Parry India Ltd. | 16,046 | ||||||||
| 10,536 | Firstsource Solutions Ltd. | 22,432 | ||||||||
| 73,871 | GHCL Ltd. | 488,205 | ||||||||
| 52,156 | GHCL Textiles Ltd. * | 43,934 | ||||||||
| 3,164 | Glenmark Life Sciences Ltd. | 23,894 | ||||||||
| 7,318 | Godawari Power & Ispat Ltd. | 60,225 | ||||||||
| 89,458 | Great Eastern Shipping Co. Ltd. | 942,129 | ||||||||
| 26,502 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd. | 218,416 | ||||||||
| 24,074 | Gujarat Pipavav Port Ltd. | 40,704 | ||||||||
| 557,361 | Gujarat State Fertilizers & Chemicals Ltd. | 1,292,860 | ||||||||
| 12,168 | Gujarat State Petronet Ltd. | 42,095 | ||||||||
| 138,578 | HCL Technologies Ltd. | 2,231,489 | ||||||||
| 151,566 | Hindustan Zinc Ltd. | 545,076 | ||||||||
| 5,108 | ICICI Securities Ltd. | 41,654 | ||||||||
| 4,063 | IIFL Finance Ltd. | 29,647 | ||||||||
| 1,542,664 | Indiabulls Housing Finance Ltd. | 3,761,074 | ||||||||
| 37,552 | Indian Oil Corp. Ltd. | 50,527 | ||||||||
| 1,091,408 | ITC Ltd. | 5,717,886 | ||||||||
| 72,325 | JM Financial Ltd. | 72,677 | ||||||||
| 9,395 | Karnataka Bank Ltd. | 24,699 | ||||||||
| 4,217 | Kaveri Seed Co. Ltd. | 30,639 | ||||||||
| 4,822 | KNR Constructions Ltd. | 16,864 | ||||||||
| 8,010 | KRBL Ltd. | 33,262 | ||||||||
| 14,695 | LT Foods Ltd. | 38,317 | ||||||||
| 10,715 | Mahanagar Gas Ltd. | 135,009 | ||||||||
| 212 | Maharashtra Scooters Ltd. | 20,055 | ||||||||
| 1,792,737 | Manappuram Finance Ltd. | 3,584,995 | ||||||||
| 4,873 | Marico Ltd. | 31,475 | ||||||||
| 5,673 | Motilal Oswal Financial Services Ltd. | 81,707 | ||||||||
| 31,381 | Muthoot Finance Ltd. | 554,563 | ||||||||
| 71,662 | NCC Ltd. | 143,851 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| India — continued | ||||||||||
| 11,075 | Nippon Life India Asset Management Ltd. | 55,532 | ||||||||
| 3,071,856 | Oil & Natural Gas Corp. Ltd. | 7,165,492 | ||||||||
| 282,521 | Oil India Ltd. | 1,035,352 | ||||||||
| 8,291 | Oracle Financial Services Software Ltd. | 402,967 | ||||||||
| 528,234 | Petronet LNG Ltd. | 1,288,770 | ||||||||
| 149,253 | Power Grid Corp. of India Ltd. | 375,319 | ||||||||
| 35,554 | Rashtriya Chemicals & Fertilizers Ltd. | 54,912 | ||||||||
| 92,968 | Redington Ltd. | 179,659 | ||||||||
| 12,829 | RITES Ltd. | 72,255 | ||||||||
| 456 | Sanofi India Ltd. | 43,983 | ||||||||
| 1,286 | Share India Securities Ltd. | 26,064 | ||||||||
| 31,877 | Shipping Corp. of India Ltd. | 54,929 | ||||||||
| 13,378 | Shriram Finance Ltd. | 321,370 | ||||||||
| 135,527 | Sun TV Network Ltd. | 1,098,652 | ||||||||
| 31,426 | Tata Consultancy Services Ltd. | 1,316,894 | ||||||||
| 7,430 | Triveni Engineering & Industries Ltd. | 34,457 | ||||||||
| 89,928 | Ujjivan Small Finance Bank Ltd. | 61,304 | ||||||||
| 2,456 | UTI Asset Management Co. Ltd. | 24,260 | ||||||||
| 8,006 | West Coast Paper Mills Ltd. | 62,725 | ||||||||
| 6,559 | Zensar Technologies Ltd. | 42,320 | ||||||||
|
|
|
|||||||||
| Total India | 35,136,172 | |||||||||
|
|
|
|||||||||
| Indonesia — 1.8% | ||||||||||
| 1,279,700 | AKR Corporindo Tbk. PT | 118,371 | ||||||||
| 3,702,200 | Bank Central Asia Tbk. PT | 2,142,772 | ||||||||
| 724,700 | Bank Mandiri Persero Tbk. PT | 273,263 | ||||||||
| 8,184,400 | Bank Negara Indonesia Persero Tbk. PT | 2,784,642 | ||||||||
| 10,295,100 | Bank Pembangunan Daerah Jawa Timur Tbk. PT | 411,634 | ||||||||
| 9,989,000 | Bank Rakyat Indonesia Persero Tbk. PT | 3,399,499 | ||||||||
| 10,982,500 | Panin Financial Tbk. PT * | 186,774 | ||||||||
| 802,200 | Vale Indonesia Tbk. PT | 232,747 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 9,549,702 | |||||||||
|
|
|
|||||||||
| Kuwait — 0.1% | ||||||||||
| 39,175 | Humansoft Holding Co. KSC | 380,941 | ||||||||
|
|
|
|||||||||
| Malaysia — 0.1% | ||||||||||
| 338,660 | Hibiscus Petroleum Bhd | 182,612 | ||||||||
| 49,500 | Hong Leong Financial Group Bhd | 171,037 | ||||||||
| 933,700 | Kossan Rubber Industries Bhd | 322,801 | ||||||||
|
|
|
|||||||||
| Total Malaysia | 676,450 | |||||||||
|
|
|
|||||||||
| Mexico — 5.6% | ||||||||||
| 463,100 | Arca Continental SAB de CV | 4,722,055 | ||||||||
| 116,500 | Banco del Bajio SA | 373,208 | ||||||||
| 36,000 | Coca-Cola Femsa SAB de CV Sponsored ADR | 3,047,400 | ||||||||
| 315,700 | Credito Real SAB de CV SOFOM ER * (a) (b) | — | ||||||||
| 12,300 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 1,560,747 | ||||||||
| 5,500 | Grupo Aeroportuario del Centro Norte SAB de CV ADR | 393,910 | ||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Mexico — continued | ||||||||||
| 62,300 | Grupo Aeroportuario del Centro Norte SAB de CV | 557,269 | ||||||||
| 5,800 | Grupo Aeroportuario del Sureste SAB de CV ADR | 1,365,668 | ||||||||
| 9,100 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 214,835 | ||||||||
| 1,529,635 | Grupo Financiero Banorte SAB de CV – Class O | 14,233,791 | ||||||||
| 506,400 | Grupo Mexico SAB de CV – Series B | 2,326,376 | ||||||||
| 624,800 | Grupo Televisa SAB – Series CPO | 397,863 | ||||||||
| 100 | Kimberly-Clark de Mexico SAB de CV – Class A | 202 | ||||||||
|
|
|
|||||||||
| Total Mexico | 29,193,324 | |||||||||
|
|
|
|||||||||
| Pakistan — 0.3% | ||||||||||
| 53,099 | Attock Refinery Ltd. | 57,961 | ||||||||
| 92,892 | Engro Fertilizers Ltd. | 32,823 | ||||||||
| 69,440 | Fauji Fertilizer Co. Ltd. | 27,292 | ||||||||
| 44,630 | Hub Power Co. Ltd. | 19,098 | ||||||||
| 42,375 | International Steels Ltd. | 9,912 | ||||||||
| 112,858 | Kot Addu Power Co. Ltd. | 11,276 | ||||||||
| 4,219 | Lucky Cement Ltd. | 11,619 | ||||||||
| 4,996 | Mari Petroleum Co. Ltd. | 29,833 | ||||||||
| 17,009 | MCB Bank Ltd. | 9,985 | ||||||||
| 40,706 | Nishat Mills Ltd. | 11,146 | ||||||||
| 713,053 | Oil & Gas Development Co. Ltd. | 272,112 | ||||||||
| 19,861 | Pakistan Oilfields Ltd. | 30,227 | ||||||||
| 2,424,860 | Pakistan Petroleum Ltd. | 778,717 | ||||||||
| 118,931 | SUI Northern Gas Pipeline | 26,188 | ||||||||
| 44,717 | United Bank Ltd. | 28,487 | ||||||||
|
|
|
|||||||||
| Total Pakistan | 1,356,676 | |||||||||
|
|
|
|||||||||
| Panama — 0.0% | ||||||||||
| 1,591,142 | BAC Holding International Corp. | 80,432 | ||||||||
|
|
|
|||||||||
| Philippines — 0.1% | ||||||||||
| 8,665,800 | Megaworld Corp. | 321,638 | ||||||||
|
|
|
|||||||||
| Poland — 1.5% | ||||||||||
| 2 | Bank Polska Kasa Opieki SA | 70 | ||||||||
| 8,852 | Budimex SA | 1,226,812 | ||||||||
| 417 | Grupa Kety SA | 75,463 | ||||||||
| 395,456 | ORLEN SA | 5,838,145 | ||||||||
| 76,311 | Powszechny Zaklad Ubezpieczen SA | 869,219 | ||||||||
|
|
|
|||||||||
| Total Poland | 8,009,709 | |||||||||
|
|
|
|||||||||
| Qatar — 0.1% | ||||||||||
| 441,774 | Qatar National Cement Co. QSC | 449,195 | ||||||||
|
|
|
|||||||||
| Russia — 0.4% | ||||||||||
| 31,701,260 | Alrosa PJSC (a) (c) | 229,933 | ||||||||
| 39,977 | Evraz PLC * (a) | 1,033 | ||||||||
| 1,432,600,000 | Federal Grid Co.-Rosseti PJSC * (a) | 19,218 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Russia — continued | ||||||||||
| 653,911 | Fix Price Group PLC GDR * (a) | 15,692 | ||||||||
| 219,070 | Gazprom Neft PJSC (a) | 21,402 | ||||||||
| 1,250,860 | Gazprom PJSC * (a) | 22,707 | ||||||||
| 78,536,400 | Inter RAO UES PJSC (a) | 36,477 | ||||||||
| 3 | LSR Group PJSC GDR * (a) | — | ||||||||
| 239,440 | LSR Group PJSC (a) | 17,495 | ||||||||
| 285,469 | LUKOIL PJSC (a) | 230,818 | ||||||||
| 17,490,987 | Magnitogorsk Iron & Steel Works PJSC * (a) (c) | 99,133 | ||||||||
| 474,800 | Mechel PJSC * (a) | 15,477 | ||||||||
| 37,212 | MMC Norilsk Nickel PJSC * (a) | 69,374 | ||||||||
| 5 | MMC Norilsk Nickel PJSC ADR * (a) | 1 | ||||||||
| 249,660 | Mobile TeleSystems PJSC (a) | 7,073 | ||||||||
| 35,508 | Mobile TeleSystems PJSC ADR * (a) | 2,019 | ||||||||
| 4,133,417 | Moscow Exchange MICEX-Rates PJSC (a) | 91,695 | ||||||||
| 10,015,560 | Novolipetsk Steel PJSC * (a) | 192,130 | ||||||||
| 11,924 | PhosAgro PJSC (a) | 8,988 | ||||||||
| 230 | PhosAgro PJSC GDR * (a) (c) | 58 | ||||||||
| 80,094 | Polyus PJSC * (a) (c) | 96,820 | ||||||||
| 24,938,000 | RusHydro PJSC (a) | 2,211 | ||||||||
| 13,125,612 | Sberbank of Russia PJSC (a) (c) | 403,798 | ||||||||
| 706,464 | Severstal PAO GDR (Registered) * (a) (c) | 100,237 | ||||||||
| 68,353 | SFI PJSC (a) | 4,306 | ||||||||
| 63,500,900 | Surgutneftegas PJSC (a) | 223,021 | ||||||||
| 2,860,038 | Tatneft PJSC (a) | 202,992 | ||||||||
| 8,118,000 | Unipro PJSC * (a) | 1,829 | ||||||||
| 556,430 | United Co. Rusal International PJSC * (a) | 2,273 | ||||||||
|
|
|
|||||||||
| Total Russia | 2,118,210 | |||||||||
|
|
|
|||||||||
| Saudi Arabia — 0.1% | ||||||||||
| 62,369 | Saudi Arabian Oil Co. | 551,406 | ||||||||
|
|
|
|||||||||
| South Africa — 8.8% | ||||||||||
| 73,669 | African Rainbow Minerals Ltd. | 710,620 | ||||||||
| 261,818 | Anglo American Platinum Ltd. | 11,086,583 | ||||||||
| 20,714 | Aspen Pharmacare Holdings Ltd. | 203,732 | ||||||||
| 241,560 | AVI Ltd. | 1,003,982 | ||||||||
| 15,938 | Coronation Fund Managers Ltd. | 26,694 | ||||||||
| 1,663,345 | FirstRand Ltd. | 5,949,924 | ||||||||
| 484,964 | Foschini Group Ltd. | 2,817,356 | ||||||||
| 1,544,240 | Growthpoint Properties Ltd. – (REIT) | 868,321 | ||||||||
| 1,044,286 | Impala Platinum Holdings Ltd. | 4,246,290 | ||||||||
| 184,463 | Investec Ltd. (b) | 1,179,623 | ||||||||
| 349,177 | Kumba Iron Ore Ltd. | 10,986,201 | ||||||||
| 314,391 | Lewis Group Ltd. | 691,996 | ||||||||
| 480,369 | Mr Price Group Ltd. | 3,911,879 | ||||||||
| 54,659 | MultiChoice Group * | 196,186 | ||||||||
| 485,197 | Ninety One Ltd. | 1,057,307 | ||||||||
| 92,179 | Tiger Brands Ltd. | 888,943 | ||||||||
| 145,225 | Woolworths Holdings Ltd. | 519,679 | ||||||||
|
|
|
|||||||||
| Total South Africa | 46,345,316 | |||||||||
|
|
|
|||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| South Korea — 4.1% | ||||||||||
| 4,446 | BGF retail Co. Ltd. | 464,380 | ||||||||
| 5,993 | Cheil Worldwide, Inc. | 90,678 | ||||||||
| 51,421 | Daou Data Corp. | 490,529 | ||||||||
| 6,905 | DB Insurance Co. Ltd. | 445,521 | ||||||||
| 434,181 | Dongwon Development Co. Ltd. | 1,105,182 | ||||||||
| 31,158 | HDC Hyundai Development Co-Engineering & Construction | 372,116 | ||||||||
| 80,469 | JB Financial Group Co. Ltd. | 645,608 | ||||||||
| 23,543 | Kakao Games Corp. * | 480,842 | ||||||||
| 171,212 | KT&G Corp. | 11,671,169 | ||||||||
| 24,098 | Kumho Petrochemical Co. Ltd. | 2,379,578 | ||||||||
| 16,220 | Lotte Energy Materials Corp. | 565,748 | ||||||||
| 2,155 | LOTTE Fine Chemical Co. Ltd. | 96,150 | ||||||||
| 4,319 | NH Investment & Securities Co. Ltd. | 34,245 | ||||||||
| 4,433 | Orion Corp. | 400,845 | ||||||||
| 235,111 | Pan Ocean Co. Ltd. | 824,615 | ||||||||
| 19,209 | Samsung Securities Co. Ltd. | 582,337 | ||||||||
| 1 | Unid Co. Ltd. | 58 | ||||||||
| 32,070 | Woori Financial Group, Inc. | 323,291 | ||||||||
| 81,568 | Woori Technology Investment Co. Ltd. * | 350,880 | ||||||||
|
|
|
|||||||||
| Total South Korea | 21,323,772 | |||||||||
|
|
|
|||||||||
| Sri Lanka — 0.1% | ||||||||||
| 103,983,101 | Anilana Hotels & Properties Ltd. * (d) (e) | 284,885 | ||||||||
|
|
|
|||||||||
| Taiwan — 21.5% | ||||||||||
| 78,000 | Acer, Inc. | 87,988 | ||||||||
| 27,000 | Allied Supreme Corp. | 296,185 | ||||||||
| 181,000 | Aten International Co. Ltd. | 470,542 | ||||||||
| 77,200 | Aurora Corp. | 185,622 | ||||||||
| 2,030,000 | Catcher Technology Co. Ltd | 12,629,715 | ||||||||
| 40,000 | Chailease Holding Co. Ltd. | 237,670 | ||||||||
| 247,000 | Chicony Electronics Co. Ltd | 1,260,226 | ||||||||
| 96,000 | Chipbond Technology Corp. | 221,114 | ||||||||
| 11,000 | Chlitina Holding Ltd. | 68,631 | ||||||||
| 327,000 | Chong Hong Construction Co. Ltd. | 782,777 | ||||||||
| 498,400 | Coretronic Corp. | 1,142,139 | ||||||||
| 2,233,200 | Evergreen Marine Corp. Taiwan Ltd. | 8,010,498 | ||||||||
| 613,000 | Farglory Land Development Co. Ltd. | 1,145,242 | ||||||||
| 56,000 | FLEXium Interconnect, Inc. | 156,920 | ||||||||
| 550,778 | Foxconn Technology Co. Ltd. | 939,879 | ||||||||
| 135,000 | Giant Manufacturing Co. Ltd | 821,063 | ||||||||
| 13,000 | Globalwafers Co. Ltd. | 242,502 | ||||||||
| 880,000 | Grand Pacific Petrochemical | 452,021 | ||||||||
| 25,000 | Grape King Bio Ltd. | 122,880 | ||||||||
| 1,134,000 | Hon Hai Precision Industry Co. Ltd | 3,683,320 | ||||||||
| 362,000 | Huaku Development Co. Ltd. | 1,093,931 | ||||||||
| 17,000 | Innodisk Corp. | 169,551 | ||||||||
| 196,000 | Kung Long Batteries Industrial Co. Ltd. | 837,010 | ||||||||
| 134,000 | Largan Precision Co. Ltd | 10,237,997 | ||||||||
| 125,000 | MediaTek, Inc. | 3,774,937 | ||||||||
| 1,691,000 | Micro-Star International Co. Ltd | 9,927,486 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 696,000 | Mitac Holdings Corp. | 893,704 | ||||||||
| 412,000 | Nantex Industry Co. Ltd. | 503,746 | ||||||||
| 553,810 | Novatek Microelectronics Corp. | 9,046,190 | ||||||||
| 431,000 | Primax Electronics Ltd. | 889,403 | ||||||||
| 295,936 | Radiant Opto-Electronics Corp. | 1,250,588 | ||||||||
| 377,000 | Shinkong Insurance Co. Ltd. | 822,705 | ||||||||
| 105,468 | Simplo Technology Co. Ltd | 1,283,341 | ||||||||
| 418,250 | Syncmold Enterprise Corp. | 1,197,728 | ||||||||
| 159,000 | T3EX Global Holdings Corp. | 391,814 | ||||||||
| 83,024 | Tah Hsin Industrial Corp. | 189,556 | ||||||||
| 111,000 | TaiDoc Technology Corp. | 558,144 | ||||||||
| 1,274,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 23,304,160 | ||||||||
| 71,000 | TCI Co. Ltd. | 391,742 | ||||||||
| 4,000 | Topkey Corp. | 22,910 | ||||||||
| 475,000 | Transcend Information, Inc. | 1,266,292 | ||||||||
| 133,160 | Tripod Technology Corp. | 821,533 | ||||||||
| 12,000 | TTY Biopharm Co. Ltd. | 31,849 | ||||||||
| 46,000 | Uni-President Enterprises Corp. | 107,380 | ||||||||
| 251,200 | United Microelectronics Corp. Sponsored ADR (b) | 1,956,848 | ||||||||
| 492,000 | Universal, Inc. | 559,433 | ||||||||
| 907,750 | Wan Hai Lines Ltd. | 1,357,757 | ||||||||
| 4,298,000 | Yang Ming Marine Transport Corp. | 5,782,949 | ||||||||
| 275,000 | Yuanta Financial Holding Co. Ltd | 228,807 | ||||||||
| 55,000 | Yulon Nissan Motor Co. Ltd. | 333,980 | ||||||||
| 145,725 | Zeng Hsing Industrial Co. Ltd. | 494,212 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 112,684,617 | |||||||||
|
|
|
|||||||||
| Thailand — 0.5% | ||||||||||
| 1,421,800 | B Grimm Power PCL NVDR | 1,020,552 | ||||||||
| 93,100 | Electricity Generating PCL NVDR | 341,409 | ||||||||
| 2,444,000 | Pruksa Holding PCL | 848,197 | ||||||||
| 331,900 | Ratch Group PCL NVDR | 306,638 | ||||||||
| 57,800 | Regional Container Lines PCL | 31,876 | ||||||||
|
|
|
|||||||||
| Total Thailand | 2,548,672 | |||||||||
|
|
|
|||||||||
| Vietnam — 2.2% | ||||||||||
| 298,200 | Duc Giang Chemicals JSC | 1,162,142 | ||||||||
| 322,300 | PetroVietnam Technical Services Corp. | 511,700 | ||||||||
| 149,700 | Pha Lai Thermal Power JSC | 86,363 | ||||||||
| 1,463,400 | SSI Securities Corp. | 1,888,056 | ||||||||
| 416,200 | Vietnam Dairy Products JSC | 1,155,111 | ||||||||
| 64,200 | VIX Securities JSC * | 43,382 | ||||||||
| 7,823,500 | VNDirect Securities Corp. * | 6,757,856 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 11,604,610 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $857,518,381) |
452,028,180 | |||||||||
|
|
|
|||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares / Par Value† |
Description | Value ($) | ||||||||
| PREFERRED STOCKS (f) — 9.9% | ||||||||||
| Brazil — 5.1% | ||||||||||
| 1,140,400 | Bradespar SA | 5,653,287 | ||||||||
| 285,500 | Cia Energetica de Minas Gerais | 642,107 | ||||||||
| 1,456,770 | Itausa SA | 2,885,689 | ||||||||
| 2,306,147 | Petroleo Brasileiro SA | 16,825,050 | ||||||||
| 29,000 | Unipar Carbocloro SA – Class B | 437,235 | ||||||||
|
|
|
|||||||||
| Total Brazil | 26,443,368 | |||||||||
|
|
|
|||||||||
| Colombia — 0.4% | ||||||||||
| 72,000 | Bancolombia SA Sponsored ADR | 1,986,480 | ||||||||
|
|
|
|||||||||
| Russia — 0.1% | ||||||||||
| 194,570 | Nizhnekamskneftekhim PJSC (a) | 1,641 | ||||||||
| 79,676,700 | Surgutneftegas PJSC (a) | 522,160 | ||||||||
| 869 | Transneft PJSC (a) | 14,024 | ||||||||
|
|
|
|||||||||
| Total Russia | 537,825 | |||||||||
|
|
|
|||||||||
| South Korea — 4.3% | ||||||||||
| 504,139 | Samsung Electronics Co. Ltd. | 22,616,383 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $89,967,690) |
51,584,056 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 0.2% | ||||||||||
| United States — 0.2% | ||||||||||
| 1,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.55%, due 01/31/25 (g) | 1,001,254 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $1,000,558) |
1,001,254 | |||||||||
|
|
|
|||||||||
| Shares |
Description |
Value ($) |
||||||||
| MUTUAL FUNDS — 0.1% | ||||||||||
| United States — 0.1% | ||||||||||
| Affiliated Issuers — 0.1% | ||||||||||
| 148,037 | GMO U.S. Treasury Fund | 740,186 | ||||||||
|
|
|
|||||||||
| Total United States | 740,186 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $740,186) |
740,186 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.0% | ||||||||||
| China — 0.0% | ||||||||||
| 208,240 | Zhejiang Expressway Co. Ltd., expires 12/05/23 * | 23,460 | ||||||||
|
|
|
|||||||||
| Total China | 23,460 | |||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $0) |
23,460 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 96.5% (Cost $949,226,815) |
505,377,136 | |||||||||
| Other Assets and Liabilities (net) — 3.5% | 18,353,381 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $523,730,517 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of November 30, 2023 |
||||||||
| Alrosa PJSC | 09/14/17 | $ | 46,779,239 | 0.0% | $ | 229,933 | ||||||
| Magnitogorsk Iron & Steel Works PJSC | 02/13/18 | 14,388,116 | 0.0% | 99,133 | ||||||||
| PhosAgro PJSC GDR | 02/09/22 | 5,151 | 0.0% | 58 | ||||||||
| Polyus PJSC | 07/23/20 | 17,665,998 | 0.0% | 96,820 | ||||||||
| Sberbank of Russia PJSC | 11/10/17 | 51,393,929 | 0.1% | 403,798 | ||||||||
| Severstal PAO GDR (Registered) | 10/12/17 | 13,249,420 | 0.0% | 100,237 | ||||||||
|
|
|
|||||||||||
| $ | 929,979 | |||||||||||
|
|
|
|||||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
A summary of outstanding financial instruments at November 30, 2023 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 365 | Mini MSCI Emerging Markets | December 2023 | $ | 18,014,575 | $ | (16,581 | ) | |||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of November 30, 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) | 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) | All or a portion of this security is out on loan. |
| (c) | The security is restricted as to resale. |
| (d) | Affiliated company. |
| (e) | Investment valued using significant unobservable inputs. |
| (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. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.
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
REIT - Real Estate Investment Trust
SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 97.3% | ||||||||||
| Australia — 3.5% | ||||||||||
| 138,560 | BlueScope Steel Ltd. | 1,900,676 | ||||||||
| 1,173,411 | Brambles Ltd. | 10,340,787 | ||||||||
| 69,277 | Fortescue Ltd. | 1,137,590 | ||||||||
| 173,489 | GrainCorp Ltd. – Class A | 874,154 | ||||||||
| 89,611 | Pact Group Holdings Ltd. * | 40,558 | ||||||||
| 239,439 | Rio Tinto Ltd. | 19,659,225 | ||||||||
| 220,487 | Super Retail Group Ltd. | 2,021,128 | ||||||||
|
|
|
|||||||||
| Total Australia | 35,974,118 | |||||||||
|
|
|
|||||||||
| Austria — 0.1% | ||||||||||
| 30,966 | OMV AG | 1,322,209 | ||||||||
|
|
|
|||||||||
| Belgium — 1.7% | ||||||||||
| 54,705 | Ageas SA | 2,356,015 | ||||||||
| 32,956 | Bekaert SA | 1,529,763 | ||||||||
| 96,204 | KBC Group NV | 5,515,140 | ||||||||
| 18,036 | Melexis NV | 1,660,249 | ||||||||
| 74,170 | Proximus SADP | 711,836 | ||||||||
| 37,183 | Solvay SA | 4,307,279 | ||||||||
| 24,074 | UCB SA | 1,780,507 | ||||||||
|
|
|
|||||||||
| Total Belgium | 17,860,789 | |||||||||
|
|
|
|||||||||
| Denmark — 0.0% | ||||||||||
| 8,570 | Per Aarsleff Holding AS | 405,434 | ||||||||
| 1,474 | Schouw & Co. AS | 115,314 | ||||||||
|
|
|
|||||||||
| Total Denmark | 520,748 | |||||||||
|
|
|
|||||||||
| Finland — 0.5% | ||||||||||
| 872,954 | Nokia OYJ | 3,061,763 | ||||||||
| 132,316 | Stora Enso OYJ – R Shares | 1,719,259 | ||||||||
|
|
|
|||||||||
| Total Finland | 4,781,022 | |||||||||
|
|
|
|||||||||
| France — 14.2% | ||||||||||
| 195,302 | AXA SA | 6,089,593 | ||||||||
| 376,830 | Cie de Saint-Gobain SA | 24,567,780 | ||||||||
| 105,579 | Coface SA | 1,284,366 | ||||||||
| 114,907 | Derichebourg SA | 598,507 | ||||||||
| 80,242 | Elis SA | 1,547,245 | ||||||||
| 47,534 | Ipsen SA | 5,359,257 | ||||||||
| 33,250 | IPSOS SA | 1,792,459 | ||||||||
| 34,139 | Metropole Television SA | 466,059 | ||||||||
| 143,245 | Publicis Groupe SA | 12,105,183 | ||||||||
| 159,155 | Renault SA | 6,254,602 | ||||||||
| 30,994 | Rexel SA | 747,943 | ||||||||
| 266,526 | Sanofi SA | 24,857,529 | ||||||||
| 14,681 | Societe BIC SA | 987,928 | ||||||||
| 4,099 | Sopra Steria Group SACA | 845,529 | ||||||||
| 515,852 | STMicroelectronics NV – NY Shares | 24,472,019 | ||||||||
| 7,790 | Technip Energies NV | 181,708 | ||||||||
| 111,203 | Television Francaise 1 SA | 856,493 | ||||||||
| 14,666 | TotalEnergies SE (a) | 1,001,717 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| France — continued | ||||||||||
| 458,710 | TotalEnergies SE (a) | 31,265,328 | ||||||||
|
|
|
|||||||||
| Total France | 145,281,245 | |||||||||
|
|
|
|||||||||
| Germany — 3.9% | ||||||||||
| 20,055 | Allianz SE (Registered) | 5,042,664 | ||||||||
| 91,501 | Bayerische Motoren Werke AG | 9,547,430 | ||||||||
| 28,592 | Henkel AG & Co. KGaA | 1,997,796 | ||||||||
| 2,953 | Hornbach Holding AG & Co. KGaA | 190,873 | ||||||||
| 5,326 | Indus Holding AG | 116,969 | ||||||||
| 40,876 | Kloeckner & Co. SE | 278,491 | ||||||||
| 56,060 | Mercedes-Benz Group AG | 3,644,984 | ||||||||
| 120,151 | ProSiebenSat.1 Media SE | 757,237 | ||||||||
| 15,233 | RTL Group SA | 548,791 | ||||||||
| 38,944 | Salzgitter AG | 1,155,153 | ||||||||
| 62,356 | SAP SE | 9,919,010 | ||||||||
| 10,347 | Siemens AG (Registered) | 1,738,116 | ||||||||
| 67,130 | Talanx AG | 4,871,962 | ||||||||
|
|
|
|||||||||
| Total Germany | 39,809,476 | |||||||||
|
|
|
|||||||||
| Hong Kong — 1.3% | ||||||||||
| 341,300 | ASMPT Ltd. | 3,494,428 | ||||||||
| 165,000 | CK Hutchison Holdings Ltd. | 827,809 | ||||||||
| 202,800 | Dah Sing Banking Group Ltd. | 131,556 | ||||||||
| 26,869 | Dah Sing Financial Holdings Ltd. | 55,416 | ||||||||
| 1,107,707 | Esprit Holdings Ltd. * | 50,940 | ||||||||
| 286,000 | HKT Trust & HKT Ltd. – Class SS | 305,086 | ||||||||
| 1,045,585 | IGG, Inc. * | 442,894 | ||||||||
| 122,901 | Johnson Electric Holdings Ltd. | 190,169 | ||||||||
| 246,140 | Kerry Logistics Network Ltd. | 215,695 | ||||||||
| 164,326 | Luk Fook Holdings International Ltd. | 458,449 | ||||||||
| 1,009,331 | Pacific Textiles Holdings Ltd. | 187,967 | ||||||||
| 1,161,023 | Shun Tak Holdings Ltd. * | 155,960 | ||||||||
| 258,026 | SmarTone Telecommunications Holdings Ltd. | 125,593 | ||||||||
| 287,500 | Swire Pacific Ltd. – Class A | 1,863,210 | ||||||||
| 313,588 | Television Broadcasts Ltd. * | 132,738 | ||||||||
| 730,000 | VSTECS Holdings Ltd. | 359,593 | ||||||||
| 81,800 | VTech Holdings Ltd. | 482,386 | ||||||||
| 5,137,015 | WH Group Ltd. | 3,299,380 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 12,779,269 | |||||||||
|
|
|
|||||||||
| Ireland — 0.9% | ||||||||||
| 478,676 | Bank of Ireland Group PLC | 4,481,740 | ||||||||
| 19,829 | CRH PLC | 1,244,270 | ||||||||
| 47,492 | Kingspan Group PLC | 3,773,946 | ||||||||
|
|
|
|||||||||
| Total Ireland | 9,499,956 | |||||||||
|
|
|
|||||||||
| Italy — 6.4% | ||||||||||
| 67,555 | Anima Holding SpA | 285,350 | ||||||||
| 19,079 | Assicurazioni Generali SpA | 395,120 | ||||||||
| 56,294 | Banca IFIS SpA | 963,650 | ||||||||
| 1,763,718 | Banco BPM SpA | 9,770,659 | ||||||||
| 1,243,287 | BPER Banca | 4,652,047 | ||||||||
| 1,209,100 | Eni SpA | 20,049,892 | ||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Italy — continued | ||||||||||
| 74,493 | Esprinet SpA | 392,429 | ||||||||
| 253,051 | MFE-MediaForEurope NV – Class A | 613,906 | ||||||||
| 2,362 | Sesa SpA | 272,626 | ||||||||
| 662,230 | Stellantis NV | 14,393,167 | ||||||||
| 349,584 | UniCredit SpA | 9,534,837 | ||||||||
| 25,415 | Unieuro SpA | 252,133 | ||||||||
| 605,466 | Unipol Gruppo SpA | 3,473,138 | ||||||||
|
|
|
|||||||||
| Total Italy | 65,048,954 | |||||||||
|
|
|
|||||||||
| Japan — 25.6% | ||||||||||
| 249,200 | Advantest Corp. | 7,743,192 | ||||||||
| 63,520 | AOKI Holdings, Inc. | 508,263 | ||||||||
| 333,600 | Bandai Namco Holdings, Inc. | 6,633,716 | ||||||||
| 28,300 | Bridgestone Corp. | 1,168,105 | ||||||||
| 242,996 | Brother Industries Ltd. | 4,102,665 | ||||||||
| 13,800 | Canon Marketing Japan, Inc. | 348,476 | ||||||||
| 87,400 | Canon, Inc. | 2,251,822 | ||||||||
| 33,200 | Credit Saison Co. Ltd. | 559,998 | ||||||||
| 20,400 | Daido Steel Co. Ltd. | 944,636 | ||||||||
| 66,290 | Daiwabo Holdings Co. Ltd. | 1,303,977 | ||||||||
| 111,200 | FUJIFILM Holdings Corp. | 6,511,920 | ||||||||
| 9,706 | Fuyo General Lease Co. Ltd. | 789,821 | ||||||||
| 17,453 | Gunze Ltd. | 567,111 | ||||||||
| 47,400 | Hitachi Construction Machinery Co. Ltd. | 1,235,811 | ||||||||
| 8,800 | Hitachi Ltd. | 611,875 | ||||||||
| 85,055 | Honda Motor Co. Ltd. Sponsored ADR | 2,607,786 | ||||||||
| 33,600 | Horiba Ltd. | 2,264,266 | ||||||||
| 224,400 | Inpex Corp. | 3,095,918 | ||||||||
| 481,154 | ITOCHU Corp. | 18,706,020 | ||||||||
| 16,200 | Japan Petroleum Exploration Co. Ltd. | 619,153 | ||||||||
| 1,044,504 | Japan Tobacco, Inc. | 26,859,151 | ||||||||
| 26,000 | Kaga Electronics Co. Ltd. | 1,166,464 | ||||||||
| 79,900 | Kajima Corp. | 1,263,127 | ||||||||
| 62,044 | Kanematsu Corp. | 862,203 | ||||||||
| 77,100 | Kawasaki Kisen Kaisha Ltd. | 2,711,589 | ||||||||
| 573,896 | KDDI Corp. | 17,927,398 | ||||||||
| 46,500 | Komatsu Ltd. | 1,189,427 | ||||||||
| 33,393 | Komeri Co. Ltd. | 710,696 | ||||||||
| 492,900 | Marubeni Corp. | 7,702,989 | ||||||||
| 53,557 | MCJ Co. Ltd. | 388,753 | ||||||||
| 45,700 | Mitsubishi Corp. | 2,130,911 | ||||||||
| 2,036,600 | Mitsubishi UFJ Financial Group, Inc. | 17,353,192 | ||||||||
| 313,438 | Mitsui & Co. Ltd. | 11,430,141 | ||||||||
| 57,500 | Mitsui OSK Lines Ltd. | 1,581,004 | ||||||||
| 39,684 | Modec, Inc. * | 510,827 | ||||||||
| 127,800 | NEC Corp. | 7,123,045 | ||||||||
| 50,126 | Nichias Corp. | 1,070,271 | ||||||||
| 108,400 | Nippon Yusen KK | 2,919,680 | ||||||||
| 98,900 | Otsuka Holdings Co. Ltd. | 3,815,109 | ||||||||
| 16,800 | PAL GROUP Holdings Co. Ltd. | 265,038 | ||||||||
| 734,900 | Panasonic Holdings Corp. | 7,572,487 | ||||||||
| 82,324 | Press Kogyo Co. Ltd. | 345,742 | ||||||||
| 37,219 | Prima Meat Packers Ltd. | 566,828 | ||||||||
| 5,983 | San-A Co. Ltd. | 185,686 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 64,400 | Sanwa Holdings Corp. | 925,526 | ||||||||
| 30,800 | SCREEN Holdings Co. Ltd. | 2,240,571 | ||||||||
| 468,500 | Seiko Epson Corp. | 6,958,499 | ||||||||
| 50,795 | Seiko Group Corp. | 864,640 | ||||||||
| 309,012 | Sekisui Chemical Co. Ltd. | 4,391,791 | ||||||||
| 875,900 | Sekisui House Ltd. | 17,934,380 | ||||||||
| 233,081 | Sojitz Corp. | 5,198,649 | ||||||||
| 426,000 | Sumitomo Forestry Co. Ltd. | 10,935,538 | ||||||||
| 14,800 | Takeuchi Manufacturing Co. Ltd. | 434,752 | ||||||||
| 20,638 | T-Gaia Corp. | 255,699 | ||||||||
| 125,400 | Tokyo Gas Co. Ltd. | 2,907,416 | ||||||||
| 101,975 | Tokyu Construction Co. Ltd. | 543,455 | ||||||||
| 12,428 | Towa Pharmaceutical Co. Ltd. | 207,549 | ||||||||
| 231,055 | Toyota Tsusho Corp. | 12,803,969 | ||||||||
| 24,269 | TPR Co. Ltd. | 283,970 | ||||||||
| 31,469 | Valor Holdings Co. Ltd. | 503,719 | ||||||||
| 20,256 | Warabeya Nichiyo Holdings Co. Ltd. | 477,456 | ||||||||
| 526,900 | Yamaha Motor Co. Ltd. | 13,507,306 | ||||||||
|
|
|
|||||||||
| Total Japan | 261,601,174 | |||||||||
|
|
|
|||||||||
| Netherlands — 5.7% | ||||||||||
| 646,689 | ABN AMRO Bank NV GDR | 8,691,078 | ||||||||
| 99,907 | EXOR NV | 9,734,441 | ||||||||
| 675,482 | Koninklijke Ahold Delhaize NV | 19,561,634 | ||||||||
| 260,698 | Randstad NV | 15,510,279 | ||||||||
| 30,915 | Wolters Kluwer NV | 4,258,319 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 57,755,751 | |||||||||
|
|
|
|||||||||
| Norway — 3.1% | ||||||||||
| 318,023 | DNB Bank ASA | 6,062,740 | ||||||||
| 529,093 | Elkem ASA | 855,019 | ||||||||
| 695,097 | Equinor ASA | 22,207,836 | ||||||||
| 132,482 | Europris ASA | 877,410 | ||||||||
| 102,693 | Hoegh Autoliners ASA | 828,580 | ||||||||
| 38,577 | Wallenius Wilhelmsen ASA | 337,158 | ||||||||
|
|
|
|||||||||
| Total Norway | 31,168,743 | |||||||||
|
|
|
|||||||||
| Portugal — 0.3% | ||||||||||
| 133,068 | CTT-Correios de Portugal SA | 517,467 | ||||||||
| 290,710 | Navigator Co. SA | 1,194,876 | ||||||||
| 156,820 | REN - Redes Energeticas Nacionais SGPS SA | 416,230 | ||||||||
| 757,857 | Sonae SGPS SA | 766,470 | ||||||||
|
|
|
|||||||||
| Total Portugal | 2,895,043 | |||||||||
|
|
|
|||||||||
| Singapore — 3.1% | ||||||||||
| 730,000 | ComfortDelGro Corp. Ltd. | 704,781 | ||||||||
| 144,625 | DBS Group Holdings Ltd. | 3,435,520 | ||||||||
| 483,500 | First Resources Ltd. | 502,736 | ||||||||
| 1,435,700 | Keppel Corp. Ltd. | 7,162,059 | ||||||||
| 442,800 | Oversea-Chinese Banking Corp. Ltd. | 4,155,186 | ||||||||
| 428,300 | Sheng Siong Group Ltd. | 499,630 | ||||||||
| 71,400 | Singapore Exchange Ltd. | 503,967 | ||||||||
| 163,000 | United Overseas Bank Ltd. | 3,326,709 | ||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Singapore — continued | ||||||||||
| 135,800 | Venture Corp. Ltd. | 1,272,097 | ||||||||
| 765,339 | Wilmar International Ltd. | 2,076,298 | ||||||||
| 882,722 | Yangzijiang Financial Holding Ltd. | 211,331 | ||||||||
| 7,042,422 | Yangzijiang Shipbuilding Holdings Ltd. | 7,635,929 | ||||||||
|
|
|
|||||||||
| Total Singapore | 31,486,243 | |||||||||
|
|
|
|||||||||
| Spain — 7.0% | ||||||||||
| 2,899,441 | Banco Bilbao Vizcaya Argentaria SA | 26,991,661 | ||||||||
| 13,582,168 | Banco de Sabadell SA | 19,862,480 | ||||||||
| 8,236 | Ebro Foods SA | 136,557 | ||||||||
| 588,555 | Industria de Diseno Textil SA | 24,286,737 | ||||||||
|
|
|
|||||||||
| Total Spain | 71,277,435 | |||||||||
|
|
|
|||||||||
| Sweden — 0.7% | ||||||||||
| 134,654 | Betsson AB – Class B * | 1,400,747 | ||||||||
| 556,728 | SSAB AB – A Shares | 4,215,247 | ||||||||
| 200,866 | Telefonaktiebolaget LM Ericsson – B Shares | 993,266 | ||||||||
| 12,582 | Volvo AB – A Shares | 297,297 | ||||||||
|
|
|
|||||||||
| Total Sweden | 6,906,557 | |||||||||
|
|
|
|||||||||
| Switzerland — 6.0% | ||||||||||
| 21,344 | Adecco Group AG (Registered) | 1,029,434 | ||||||||
| 36,168 | Ascom Holding AG (Registered) | 430,144 | ||||||||
| 209 | Forbo Holding AG (Registered) | 236,937 | ||||||||
| 4,438 | Kuehne & Nagel International AG (Registered) | 1,284,674 | ||||||||
| 3,406 | Logitech International SA (Registered) (a) | 297,753 | ||||||||
| 31,657 | Logitech International SA (Registered) (a) | 2,776,319 | ||||||||
| 50,911 | Novartis AG (Registered) | 4,969,334 | ||||||||
| 276,695 | Novartis AG Sponsored ADR | 27,088,440 | ||||||||
| 55,947 | Roche Holding AG – Genusschein | 15,050,917 | ||||||||
| 57,953 | Sandoz Group AG * | 1,654,268 | ||||||||
| 7,306 | Swisscom AG (Registered) | 4,266,591 | ||||||||
| 10,851 | u-blox Holding AG | 1,140,423 | ||||||||
| 23,603 | UBS Group AG (Registered) | 666,785 | ||||||||
| 3,995 | Zehnder Group AG – Class RG | 221,536 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 61,113,555 | |||||||||
|
|
|
|||||||||
| United Kingdom — 13.3% | ||||||||||
| 843,319 | 3i Group PLC | 23,851,282 | ||||||||
| 1,652,082 | Barratt Developments PLC | 10,742,447 | ||||||||
| 139,705 | Bellway PLC | 4,095,770 | ||||||||
| 759,263 | British American Tobacco PLC | 24,159,732 | ||||||||
| 542,745 | BT Group PLC | 843,638 | ||||||||
| 328,704 | Coca-Cola HBC AG | 9,133,192 | ||||||||
| 83,864 | Crest Nicholson Holdings PLC | 196,828 | ||||||||
| 549,133 | Ferrexpo PLC * | 506,307 | ||||||||
| 50,364 | Galliford Try Holdings PLC | 139,372 | ||||||||
| 345,636 | GSK PLC | 6,210,195 | ||||||||
| 249,808 | GSK PLC Sponsored ADR | 8,990,590 | ||||||||
| 103,137 | Halfords Group PLC | 245,237 | ||||||||
| 17,939 | HSBC Holdings PLC Sponsored ADR | 689,396 | ||||||||
| 446,082 | Imperial Brands PLC | 10,428,903 | ||||||||
| Shares / Par Value† |
Description | Value ($) | ||||||||
| United Kingdom — continued | ||||||||||
| 76,115 | Investec PLC | 494,646 | ||||||||
| 2,131,867 | J Sainsbury PLC | 7,703,539 | ||||||||
| 176,699 | Marks & Spencer Group PLC | 562,752 | ||||||||
| 71,714 | Moneysupermarket.com Group PLC | 247,180 | ||||||||
| 101,385 | Next PLC | 10,174,157 | ||||||||
| 127,669 | Persimmon PLC | 2,022,795 | ||||||||
| 239,302 | Redrow PLC | 1,631,842 | ||||||||
| 2,192,476 | Tesco PLC | 7,923,616 | ||||||||
| 124,609 | Vesuvius PLC | 675,366 | ||||||||
| 422,241 | Vodafone Group PLC Sponsored ADR | 3,825,503 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 135,494,285 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $978,826,255) |
992,576,572 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (b) — 0.7% | ||||||||||
| Germany — 0.7% | ||||||||||
| 34,042 | Bayerische Motoren Werke AG | 3,234,978 | ||||||||
| 4,226 | Draegerwerk AG & Co. KGaA | 238,007 | ||||||||
| 46,053 | Henkel AG & Co. KGaA | 3,623,010 | ||||||||
|
|
|
|||||||||
| Total Germany | 7,095,995 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $6,945,547) |
7,095,995 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 0.1% | ||||||||||
| United States — 0.1% | ||||||||||
| 1,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.39%, due 07/31/24 (c) | 1,000,033 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $999,697) |
1,000,033 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 7.0% | ||||||||||
| United States — 7.0% | ||||||||||
| Affiliated Issuers — 7.0% | ||||||||||
| 14,269,347 | GMO U.S. Treasury Fund | 71,346,735 | ||||||||
|
|
|
|||||||||
| Total United States | 71,346,735 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $71,346,735) |
71,346,735 | |||||||||
|
|
|
|||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 1,058,364 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (d) | 1,058,364 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $1,058,364) |
1,058,364 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 105.2% (Cost $1,059,176,598) |
1,073,077,699 | |||||||||
| Other Assets and Liabilities (net) — (5.2)% | (53,027,870 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $1,020,049,829 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2023 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 64 | MSCI EAFE | December 2023 | $ | 6,805,120 | $ | 61,839 | ||||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of November 30, 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 November 30, 2023. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
GMO International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 98.1% | ||||||||||
| Australia — 5.0% | ||||||||||
| 6,199 | ANZ Group Holdings Ltd. | 99,719 | ||||||||
| 372,601 | BHP Group Ltd. | 11,342,875 | ||||||||
| 157,112 | BlueScope Steel Ltd. | 2,155,161 | ||||||||
| 49,765 | Dexus – (REIT) | 231,295 | ||||||||
| 69,466 | Fortescue Ltd. | 1,140,694 | ||||||||
| 7,445 | Rio Tinto Ltd. | 611,274 | ||||||||
|
|
|
|||||||||
| Total Australia | 15,581,018 | |||||||||
|
|
|
|||||||||
| Austria — 0.7% | ||||||||||
| 43,253 | OMV AG | 1,846,849 | ||||||||
| 16,317 | Raiffeisen Bank International AG | 272,072 | ||||||||
|
|
|
|||||||||
| Total Austria | 2,118,921 | |||||||||
|
|
|
|||||||||
| Belgium — 1.0% | ||||||||||
| 52,746 | Ageas SA | 2,271,646 | ||||||||
| 3,118 | KBC Group NV | 178,747 | ||||||||
| 8,249 | Proximus SADP | 79,169 | ||||||||
| 8,137 | UCB SA | 601,810 | ||||||||
|
|
|
|||||||||
| Total Belgium | 3,131,372 | |||||||||
|
|
|
|||||||||
| Canada — 11.0% | ||||||||||
| 82,356 | B2Gold Corp. (a) | 278,363 | ||||||||
| 140,300 | B2Gold Corp. (a) | 473,543 | ||||||||
| 11,190 | Bank of Montreal | 920,825 | ||||||||
| 19,700 | Bank of Nova Scotia (a) | 881,234 | ||||||||
| 97,901 | Bank of Nova Scotia (a) | 4,383,028 | ||||||||
| 98,486 | Canadian Imperial Bank of Commerce | 4,067,472 | ||||||||
| 1,200 | Canadian Tire Corp. Ltd. – Class A | 124,824 | ||||||||
| 20,600 | Canadian Western Bank | 444,806 | ||||||||
| 11,000 | Celestica, Inc. * | 296,370 | ||||||||
| 9,600 | CI Financial Corp. | 99,470 | ||||||||
| 69,200 | Great-West Lifeco, Inc. | 2,211,728 | ||||||||
| 27,700 | iA Financial Corp., Inc. | 1,849,661 | ||||||||
| 12,100 | Magna International, Inc. | 652,372 | ||||||||
| 81,174 | Manulife Financial Corp. (a) | 1,590,199 | ||||||||
| 125,400 | Manulife Financial Corp. (a) | 2,456,341 | ||||||||
| 46,500 | Nutrien Ltd. | 2,487,173 | ||||||||
| 85,600 | Parex Resources, Inc. | 1,755,590 | ||||||||
| 99,400 | Power Corp. of Canada | 2,750,632 | ||||||||
| 9,700 | Russel Metals, Inc. | 273,640 | ||||||||
| 1,700 | Sun Life Financial, Inc. (a) | 85,842 | ||||||||
| 67,772 | Sun Life Financial, Inc. (a) | 3,422,486 | ||||||||
| 25,500 | Toronto-Dominion Bank | 1,554,862 | ||||||||
| 18,700 | West Fraser Timber Co. Ltd. | 1,356,317 | ||||||||
|
|
|
|||||||||
| Total Canada | 34,416,778 | |||||||||
|
|
|
|||||||||
| Denmark — 1.7% | ||||||||||
| 625 | AP Moller – Maersk AS – Class A | 969,580 | ||||||||
| 898 | AP Moller – Maersk AS – Class B | 1,417,948 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Denmark — continued | ||||||||||
| 51,720 | H Lundbeck AS | 246,883 | ||||||||
| 20,160 | Pandora AS | 2,721,554 | ||||||||
| 293 | ROCKWOOL AS – B Shares | 79,220 | ||||||||
|
|
|
|||||||||
| Total Denmark | 5,435,185 | |||||||||
|
|
|
|||||||||
| Finland — 2.3% | ||||||||||
| 768,423 | Nokia OYJ | 2,695,135 | ||||||||
| 216,668 | Outokumpu OYJ | 1,020,935 | ||||||||
| 183,749 | Stora Enso OYJ – R Shares | 2,387,558 | ||||||||
| 12,348 | TietoEVRY OYJ | 271,096 | ||||||||
| 36,531 | Valmet OYJ | 975,034 | ||||||||
|
|
|
|||||||||
| Total Finland | 7,349,758 | |||||||||
|
|
|
|||||||||
| France — 13.1% | ||||||||||
| 30,047 | APERAM SA | 1,000,962 | ||||||||
| 4,235 | ArcelorMittal SA | 106,472 | ||||||||
| 4,936 | Arkema SA | 502,274 | ||||||||
| 33,937 | AXA SA | 1,058,169 | ||||||||
| 68,291 | BNP Paribas SA | 4,293,252 | ||||||||
| 63,917 | Cie de Saint-Gobain SA | 4,167,128 | ||||||||
| 33,296 | Cie Generale des Etablissements Michelin SCA | 1,119,623 | ||||||||
| 59,119 | Credit Agricole SA | 774,790 | ||||||||
| 5,193 | Ipsen SA | 585,489 | ||||||||
| 257,544 | Orange SA | 3,173,176 | ||||||||
| 52,936 | Sanofi SA | 4,937,072 | ||||||||
| 119,187 | Societe Generale SA | 2,999,529 | ||||||||
| 40,485 | STMicroelectronics NV - NY Shares | 1,920,608 | ||||||||
| 175,976 | TotalEnergies SE | 11,994,392 | ||||||||
| 27,190 | Valeo SE | 394,809 | ||||||||
| 204,343 | Vivendi SE | 1,934,093 | ||||||||
|
|
|
|||||||||
| Total France | 40,961,838 | |||||||||
|
|
|
|||||||||
| Germany — 3.8% | ||||||||||
| 97,777 | Bayer AG | 3,346,817 | ||||||||
| 13,809 | Bayerische Motoren Werke AG | 1,440,863 | ||||||||
| 52,716 | Fresenius SE & Co. KGaA | 1,673,989 | ||||||||
| 5,141 | Henkel AG & Co. KGaA | 359,215 | ||||||||
| 70,096 | Mercedes-Benz Group AG | 4,557,595 | ||||||||
| 74,475 | ProSiebenSat.1 Media SE | 469,370 | ||||||||
|
|
|
|||||||||
| Total Germany | 11,847,849 | |||||||||
|
|
|
|||||||||
| Hong Kong — 2.8% | ||||||||||
| 358,000 | CK Asset Holdings Ltd. | 1,695,265 | ||||||||
| 460,500 | CK Hutchison Holdings Ltd. | 2,310,338 | ||||||||
| 66,000 | Kerry Properties Ltd. | 111,112 | ||||||||
| 250,500 | Sun Hung Kai Properties Ltd. | 2,456,070 | ||||||||
| 136,500 | Swire Pacific Ltd. – Class A | 884,620 | ||||||||
| 125,200 | Swire Properties Ltd. | 243,134 | ||||||||
| 1,800 | VTech Holdings Ltd. | 10,615 | ||||||||
GMO International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Hong Kong — continued | ||||||||||
| 1,556,500 | WH Group Ltd. | 999,702 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 8,710,856 | |||||||||
|
|
|
|||||||||
| Italy — 4.6% | ||||||||||
| 213,645 | Banco BPM SpA | 1,183,552 | ||||||||
| 234,631 | Eni SpA | 3,890,767 | ||||||||
| 47,664 | Intesa Sanpaolo SpA | 137,396 | ||||||||
| 109,436 | Leonardo SpA | 1,679,507 | ||||||||
| 40,968 | Poste Italiane SpA | 441,547 | ||||||||
| 245,025 | Stellantis NV | 5,325,470 | ||||||||
| 12,691 | Tenaris SA ADR | 439,997 | ||||||||
| 208,321 | Unipol Gruppo SpA | 1,194,993 | ||||||||
|
|
|
|||||||||
| Total Italy | 14,293,229 | |||||||||
|
|
|
|||||||||
| Japan — 20.4% | ||||||||||
| 65,900 | Bridgestone Corp. | 2,720,075 | ||||||||
| 37,200 | Brother Industries Ltd. | 628,073 | ||||||||
| 18,800 | Credit Saison Co. Ltd. | 317,107 | ||||||||
| 99,000 | Daiwa House Industry Co. Ltd. | 2,813,028 | ||||||||
| 156,113 | Honda Motor Co. Ltd. Sponsored ADR | 4,786,425 | ||||||||
| 40,900 | Idemitsu Kosan Co. Ltd. | 1,115,680 | ||||||||
| 202,500 | Inpex Corp. | 2,793,776 | ||||||||
| 77,300 | Isuzu Motors Ltd. | 1,026,173 | ||||||||
| 98,300 | ITOCHU Corp. | 3,821,649 | ||||||||
| 151,200 | Japan Tobacco, Inc. | 3,888,069 | ||||||||
| 3,700 | Kajima Corp. | 58,493 | ||||||||
| 50,700 | KDDI Corp. | 1,583,770 | ||||||||
| 107,700 | Kirin Holdings Co. Ltd. | 1,522,505 | ||||||||
| 64,400 | Komatsu Ltd. | 1,647,292 | ||||||||
| 5,600 | Mazda Motor Corp. | 60,299 | ||||||||
| 2,700 | Mitsubishi Corp. | 125,896 | ||||||||
| 88,400 | Mitsubishi Electric Corp. | 1,197,462 | ||||||||
| 6,000 | Mitsubishi Gas Chemical Co., Inc. | 94,969 | ||||||||
| 450,700 | Mitsubishi UFJ Financial Group, Inc. | 3,840,265 | ||||||||
| 110,200 | Mitsui & Co. Ltd. | 4,018,662 | ||||||||
| 56,100 | Mitsui OSK Lines Ltd. | 1,542,510 | ||||||||
| 99,500 | Mizuho Financial Group, Inc. | 1,688,482 | ||||||||
| 97,000 | Nippon Yusen KK | 2,612,629 | ||||||||
| 3,500 | Nitto Denko Corp. | 248,729 | ||||||||
| 113,900 | Ono Pharmaceutical Co. Ltd. | 2,098,495 | ||||||||
| 84,500 | ORIX Corp. | 1,543,732 | ||||||||
| 70,200 | Otsuka Holdings Co. Ltd. | 2,707,994 | ||||||||
| 332,500 | Panasonic Holdings Corp. | 3,426,115 | ||||||||
| 22,400 | Seiko Epson Corp. | 332,701 | ||||||||
| 53,300 | Shionogi & Co. Ltd. | 2,513,177 | ||||||||
| 29,800 | Sojitz Corp. | 664,661 | ||||||||
| 4,600 | Sompo Holdings, Inc. | 211,018 | ||||||||
| 42,800 | Sumitomo Forestry Co. Ltd. | 1,098,688 | ||||||||
| 7,100 | Sumitomo Heavy Industries Ltd. | 169,937 | ||||||||
| 41,700 | Tosoh Corp. | 554,768 | ||||||||
| 42,000 | Toyota Tsusho Corp. | 2,327,440 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 82,700 | Yamaha Motor Co. Ltd. | 2,120,050 | ||||||||
|
|
|
|||||||||
| Total Japan | 63,920,794 | |||||||||
|
|
|
|||||||||
| Netherlands — 4.1% | ||||||||||
| 108,024 | Aegon Ltd. | 593,157 | ||||||||
| 20,436 | ASR Nederland NV | 942,172 | ||||||||
| 2,955 | EXOR NV | 287,921 | ||||||||
| 159,127 | ING Groep NV – Class N | 2,235,572 | ||||||||
| 113,945 | Koninklijke Ahold Delhaize NV | 3,299,792 | ||||||||
| 117,171 | Koninklijke Philips NV | 2,404,494 | ||||||||
| 18,093 | Randstad NV | 1,076,447 | ||||||||
| 63,982 | Signify NV | 1,861,817 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 12,701,372 | |||||||||
|
|
|
|||||||||
| Norway — 1.3% | ||||||||||
| 127,267 | Equinor ASA | 4,066,087 | ||||||||
|
|
|
|||||||||
| Portugal — 0.0% | ||||||||||
| 4,483 | Sonae SGPS SA | 4,534 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 9,800 | Surgutneftegas PJSC (b) | 34 | ||||||||
|
|
|
|||||||||
| Singapore — 0.4% | ||||||||||
| 121,300 | Oversea-Chinese Banking Corp. Ltd. | 1,138,266 | ||||||||
|
|
|
|||||||||
| Spain — 5.1% | ||||||||||
| 108,791 | Acerinox SA | 1,194,656 | ||||||||
| 612,981 | Banco Bilbao Vizcaya Argentaria SA | 5,706,402 | ||||||||
| 1,500,602 | Banco de Sabadell SA | 2,194,471 | ||||||||
| 1,195,682 | Banco Santander SA | 4,956,377 | ||||||||
| 121,576 | Repsol SA | 1,866,841 | ||||||||
|
|
|
|||||||||
| Total Spain | 15,918,747 | |||||||||
|
|
|
|||||||||
| Sweden — 2.9% | ||||||||||
| 120,792 | Investor AB – B Shares | 2,509,577 | ||||||||
| 22,349 | Nordea Bank Abp | 249,849 | ||||||||
| 239,040 | Svenska Handelsbanken AB – A Shares | 2,258,749 | ||||||||
| 539,438 | Telefonaktiebolaget LM Ericsson – B Shares | 2,667,477 | ||||||||
| 5,033 | Volvo AB – A Shares | 118,923 | ||||||||
| 61,709 | Volvo AB – B Shares | 1,431,129 | ||||||||
|
|
|
|||||||||
| Total Sweden | 9,235,704 | |||||||||
|
|
|
|||||||||
| Switzerland — 5.7% | ||||||||||
| 49,018 | Adecco Group AG (Registered) | 2,364,168 | ||||||||
| 10,930 | Holcim AG | 804,008 | ||||||||
| 51,110 | Novartis AG Sponsored ADR | 5,003,669 | ||||||||
| 3,267 | Roche Holding AG | 930,770 | ||||||||
| 31,489 | Roche Holding AG – Genusschein | 8,471,202 | ||||||||
| 13,024 | Sandoz Group AG * | 371,770 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 17,945,587 | |||||||||
|
|
|
|||||||||
GMO International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United Kingdom — 12.2% | ||||||||||
| 139,592 | 3i Group PLC | 3,948,029 | ||||||||
| 114,595 | abrdn PLC | 236,524 | ||||||||
| 494,483 | Barclays PLC Sponsored ADR | 3,570,167 | ||||||||
| 42,045 | Barratt Developments PLC | 273,392 | ||||||||
| 3,830 | British American Tobacco PLC | 121,871 | ||||||||
| 190,827 | British American Tobacco PLC Sponsored ADR | 6,085,473 | ||||||||
| 1,566,237 | BT Group PLC | 2,434,544 | ||||||||
| 35,409 | Coca-Cola HBC AG | 983,855 | ||||||||
| 123,118 | GSK PLC Sponsored ADR | 4,431,017 | ||||||||
| 181,841 | HSBC Holdings PLC Sponsored ADR | 6,988,150 | ||||||||
| 1,093,396 | ITV PLC | 831,620 | ||||||||
| 108,193 | J Sainsbury PLC | 390,957 | ||||||||
| 381,882 | Kingfisher PLC | 1,060,021 | ||||||||
| 2,996,105 | Lloyds Banking Group PLC | 1,651,712 | ||||||||
| 28,572 | Shell PLC ADR | 1,880,038 | ||||||||
| 51,640 | Standard Chartered PLC | 427,484 | ||||||||
| 319,843 | Vodafone Group PLC Sponsored ADR | 2,897,778 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 38,212,632 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $302,579,518) |
306,990,561 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (c) — 0.3% | ||||||||||
| Germany — 0.3% | ||||||||||
| 4,681 | Bayerische Motoren Werke AG | 444,831 | ||||||||
| 5,463 | Henkel AG & Co. KGaA | 429,777 | ||||||||
|
|
|
|||||||||
| Total Germany | 874,608 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $881,228) |
874,608 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 1.6% | ||||||||||
| United States — 1.6% | ||||||||||
| Affiliated Issuers — 1.6% | ||||||||||
| 1,026,000 | GMO U.S. Treasury Fund | 5,130,000 | ||||||||
|
|
|
|||||||||
| Total United States | 5,130,000 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $5,130,000) |
5,130,000 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 323,686 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (d) | 323,686 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $323,686) |
323,686 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $308,914,432) |
313,318,855 | |||||||||
| Other Assets and Liabilities (net) — (0.1)% | (332,510 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $312,986,345 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | Securities are traded on separate exchanges for the same entity. |
| (b) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (c) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (d) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
PJSC - Private Joint-Stock Company
REIT - Real Estate Investment Trust
GMO-Usonian Japan Value Creation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 98.2% | ||||||||||
| Automobiles & Components — 6.4% | ||||||||||
| 248,100 | Isuzu Motors Ltd. | 3,293,577 | ||||||||
| 190,400 | Stanley Electric Co. Ltd. | 3,521,989 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 6,815,566 | |||||||||
|
|
|
|||||||||
| Banks — 7.0% | ||||||||||
| 84,300 | Sumitomo Mitsui Financial Group, Inc. | 4,147,345 | ||||||||
| 87,300 | Sumitomo Mitsui Trust Holdings, Inc. | 3,285,587 | ||||||||
|
|
|
|||||||||
| Total Banks | 7,432,932 | |||||||||
|
|
|
|||||||||
| Capital Goods — 24.8% | ||||||||||
| 86,800 | EXEO Group, Inc. | 1,826,938 | ||||||||
| 201,800 | Fuji Corp. | 3,421,588 | ||||||||
| 141,200 | Fujikura Ltd. | 1,088,269 | ||||||||
| 212,900 | Kanematsu Corp. | 2,958,595 | ||||||||
| 111,100 | Kyudenko Corp. | 3,505,479 | ||||||||
| 353,600 | Mitsubishi Electric Corp. | 4,789,849 | ||||||||
| 393,300 | Penta-Ocean Construction Co. Ltd. | 2,159,328 | ||||||||
| 197,500 | THK Co. Ltd. | 3,954,256 | ||||||||
| 30,700 | Toyota Industries Corp. | 2,640,363 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 26,344,665 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 1.4% | ||||||||||
| 22,000 | Secom Co. Ltd. | 1,529,225 | ||||||||
|
|
|
|||||||||
| Financial Services — 5.2% | ||||||||||
| 183,900 | Credit Saison Co. Ltd. | 3,101,915 | ||||||||
| 71,400 | Zenkoku Hosho Co. Ltd. | 2,409,705 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 5,511,620 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 8.9% | ||||||||||
| 216,000 | Kirin Holdings Co. Ltd. | 3,053,491 | ||||||||
| 63,800 | Morinaga & Co. Ltd. | 2,274,166 | ||||||||
| 136,800 | NH Foods Ltd. | 4,067,559 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 9,395,216 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 4.3% | ||||||||||
| 262,800 | H.U. Group Holdings, Inc. | 4,573,770 | ||||||||
|
|
|
|||||||||
| Insurance — 6.0% | ||||||||||
| 55,800 | MS&AD Insurance Group Holdings, Inc. | 2,100,947 | ||||||||
| 285,100 | T&D Holdings, Inc. | 4,242,039 | ||||||||
|
|
|
|||||||||
| Total Insurance | 6,342,986 | |||||||||
|
|
|
|||||||||
| Materials — 8.6% | ||||||||||
| 211,900 | Denka Co. Ltd. | 3,792,328 | ||||||||
| 92,300 | Maruichi Steel Tube Ltd. | 2,387,415 | ||||||||
| 394,900 | Tokai Carbon Co. Ltd. | 2,925,548 | ||||||||
|
|
|
|||||||||
| Total Materials | 9,105,291 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Semiconductors & Semiconductor Equipment — 9.2% |
||||||||||
| 133,500 | Rohm Co. Ltd. | 2,550,736 | ||||||||
| 325,800 | SUMCO Corp. | 4,874,572 | ||||||||
| 39,800 | Tokyo Seimitsu Co. Ltd. | 2,303,827 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 9,729,135 | |||||||||
|
|
|
|||||||||
| Software & Services — 4.1% | ||||||||||
| 77,600 | NEC Corp. | 4,325,104 | ||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 9.7% | ||||||||||
| 121,900 | Amano Corp. | 2,586,287 | ||||||||
| 160,000 | Daiwabo Holdings Co. Ltd. | 3,147,328 | ||||||||
| 77,100 | FUJIFILM Holdings Corp. | 4,515,009 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 10,248,624 | |||||||||
|
|
|
|||||||||
| Transportation — 2.6% | ||||||||||
| 80,500 | Sankyu, Inc. | 2,745,949 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $106,334,856) |
104,100,083 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 2.1% | ||||||||||
| Money Market Funds — 2.1% | ||||||||||
| 2,219,096 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (a) | 2,219,096 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $2,219,096) |
2,219,096 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.3% (Cost $108,553,952) |
106,319,179 | |||||||||
| Other Assets and Liabilities (net) — (0.3)% | (350,434 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $105,968,745 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
GMO Quality Cyclicals Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 97.7% | ||||||||||
| Brazil — 0.2% | ||||||||||
| 9,602 | Vale SA | 144,068 | ||||||||
|
|
|
|||||||||
| Canada — 4.8% | ||||||||||
| 9,933 | Brookfield Asset Management Ltd. – Class A | 347,953 | ||||||||
| 46,785 | Brookfield Corp. – Class A | 1,650,107 | ||||||||
| 27,015 | Nutrien Ltd. | 1,444,492 | ||||||||
|
|
|
|||||||||
| Total Canada | 3,442,552 | |||||||||
|
|
|
|||||||||
| China — 2.6% | ||||||||||
| 138,407 | Alibaba Group Holding Ltd. * | 1,286,550 | ||||||||
| 13,504 | Tencent Holdings Ltd. | 562,565 | ||||||||
|
|
|
|||||||||
| Total China | 1,849,115 | |||||||||
|
|
|
|||||||||
| Finland — 1.9% | ||||||||||
| 36,495 | Neste OYJ | 1,390,558 | ||||||||
|
|
|
|||||||||
| France — 6.2% | ||||||||||
| 2,188 | LVMH Moet Hennessy Louis Vuitton SE | 1,674,431 | ||||||||
| 15,885 | Safran SA | 2,793,015 | ||||||||
|
|
|
|||||||||
| Total France | 4,467,446 | |||||||||
|
|
|
|||||||||
| Germany — 2.5% | ||||||||||
| 13,059 | Beiersdorf AG | 1,830,543 | ||||||||
|
|
|
|||||||||
| Hong Kong — 1.3% | ||||||||||
| 185,077 | Galaxy Entertainment Group Ltd. | 957,420 | ||||||||
|
|
|
|||||||||
| Ireland — 3.6% | ||||||||||
| 21,851 | Ryanair Holdings PLC Sponsored ADR * | 2,583,225 | ||||||||
|
|
|
|||||||||
| Mexico — 7.2% | ||||||||||
| 250,352 | Fomento Economico Mexicano SAB de CV | 3,184,372 | ||||||||
| 433,845 | Grupo Mexico SAB de CV – Series B | 1,993,062 | ||||||||
|
|
|
|||||||||
| Total Mexico | 5,177,434 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 33,541 | LUKOIL PJSC (a) | 27,120 | ||||||||
| 72,920 | Novatek PJSC (a) | 12,247 | ||||||||
|
|
|
|||||||||
| Total Russia | 39,367 | |||||||||
|
|
|
|||||||||
| Spain — 6.3% | ||||||||||
| 30,477 | Amadeus IT Group SA | 2,092,452 | ||||||||
| 59,510 | Industria de Diseno Textil SA | 2,455,681 | ||||||||
|
|
|
|||||||||
| Total Spain | 4,548,133 | |||||||||
|
|
|
|||||||||
| United Kingdom — 9.6% | ||||||||||
| 24,526 | Berkeley Group Holdings PLC | 1,439,310 | ||||||||
| 100,210 | Compass Group PLC | 2,536,958 | ||||||||
| 54,466 | Persimmon PLC | 862,963 | ||||||||
| 63,851 | Shell PLC | 2,063,971 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 6,903,202 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — 51.5% | ||||||||||
| 13,909 | Alphabet, Inc. – Class A * | 1,843,360 | ||||||||
| 13,272 | American Express Co. | 2,266,460 | ||||||||
| 838 | Booking Holdings, Inc. * | 2,619,337 | ||||||||
| 46,706 | BorgWarner, Inc. | 1,573,525 | ||||||||
| 19,022 | CarMax, Inc. * | 1,216,267 | ||||||||
| 10,239 | Chevron Corp. | 1,470,320 | ||||||||
| 37,236 | Darling Ingredients, Inc. * | 1,633,543 | ||||||||
| 18,582 | EOG Resources, Inc. | 2,286,887 | ||||||||
| 6,894 | General Electric Co. | 839,689 | ||||||||
| 21,337 | Green Plains, Inc. * | 530,865 | ||||||||
| 11,258 | Hilton Worldwide Holdings, Inc. | 1,885,940 | ||||||||
| 21,410 | Intercontinental Exchange, Inc. | 2,437,314 | ||||||||
| 2,966 | Lam Research Corp. | 2,123,419 | ||||||||
| 39,513 | Las Vegas Sands Corp. | 1,822,340 | ||||||||
| 1,404 | Markel Group, Inc. * | 2,020,482 | ||||||||
| 5,549 | Meta Platforms, Inc. – Class A * | 1,815,355 | ||||||||
| 26,569 | Micron Technology, Inc. | 2,022,432 | ||||||||
| 13,296 | Otis Worldwide Corp. | 1,140,664 | ||||||||
| 9,568 | SolarEdge Technologies, Inc. * | 759,508 | ||||||||
| 7,834 | Texas Instruments, Inc. | 1,196,330 | ||||||||
| 39,475 | U.S. Bancorp | 1,504,787 | ||||||||
| 48,219 | Wells Fargo & Co. | 2,150,085 | ||||||||
|
|
|
|||||||||
| Total United States | 37,158,909 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $57,401,875) |
70,491,972 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (b) —1.7% | ||||||||||
| Brazil — 1.7% | ||||||||||
| 245,120 | Bradespar SA | 1,215,129 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $1,090,501) |
1,215,129 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 0.3% | ||||||||||
| United States — 0.3% | ||||||||||
| Affiliated Issuers — 0.3% | ||||||||||
| 45,405 | GMO U.S. Treasury Fund | 227,027 | ||||||||
|
|
|
|||||||||
| Total United States | 227,027 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $227,027) |
227,027 | |||||||||
|
|
|
|||||||||
GMO Quality Cyclicals Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.4% |
| |||||||||
| Money Market Funds — 0.4% | ||||||||||
| 322,154 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (c) | 322,154 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $322,154) |
322,154 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $59,041,557) |
72,256,282 | |||||||||
| Other Assets and Liabilities (net) — (0.1)% | (73,284 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $72,182,998 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (c) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
PJSC - Private Joint-Stock Company
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 96.9% | ||||||||||
| Banks — 4.1% | ||||||||||
| 4,624,820 | U.S. Bancorp | 176,298,139 | ||||||||
| 3,634,802 | Wells Fargo & Co. | 162,075,821 | ||||||||
|
|
|
|||||||||
| Total Banks | 338,373,960 | |||||||||
|
|
|
|||||||||
| Capital Goods — 6.2% | ||||||||||
| 531,262 | General Electric Co. | 64,707,711 | ||||||||
| 480,068 | Knorr-Bremse AG | 30,120,726 | ||||||||
| 1,698,730 | Otis Worldwide Corp. | 145,734,047 | ||||||||
| 1,520,703 | Safran SA | 267,380,935 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 507,943,419 | |||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 6.8% |
||||||||||
| 7,678,765 | Alibaba Group Holding Ltd.* | 71,377,261 | ||||||||
| 2,050,778 | Amazon.com, Inc.* | 299,598,158 | ||||||||
| 2,125,657 | TJX Cos., Inc. | 187,291,638 | ||||||||
|
|
|
|||||||||
| Total Consumer Discretionary Distribution & Retail | 558,267,057 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 1.1% | ||||||||||
| 120,331 | LVMH Moet Hennessy Louis Vuitton SE | 92,086,838 | ||||||||
|
|
|
|||||||||
| Consumer Services — 3.1% | ||||||||||
| 817,054 | Amadeus IT Group SA | 56,096,269 | ||||||||
| 7,878,697 | Compass Group PLC | 199,460,404 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 255,556,673 | |||||||||
|
|
|
|||||||||
| Financial Services — 3.0% | ||||||||||
| 425,118 | American Express Co. | 72,597,401 | ||||||||
| 674,019 | Visa, Inc. – Class A | 173,007,197 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 245,604,598 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 6.3% | ||||||||||
| 3,797,511 | Coca-Cola Co. | 221,926,543 | ||||||||
| 413,060 | Constellation Brands, Inc. – Class A | 99,336,799 | ||||||||
| 2,662,466 | Diageo PLC | 93,189,802 | ||||||||
| 885,744 | Nestle SA | 100,787,565 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 515,240,709 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 14.3% | ||||||||||
| 1,875,779 | Abbott Laboratories | 195,624,992 | ||||||||
| 303,814 | Cigna Group | 79,866,624 | ||||||||
| 425,387 | Elevance Health, Inc. | 203,968,813 | ||||||||
| 470,104 | Intuitive Surgical, Inc.* | 146,127,127 | ||||||||
| 835,119 | Quest Diagnostics, Inc. | 114,603,381 | ||||||||
| 778,967 | UnitedHealth Group, Inc. | 430,745,382 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 1,170,936,319 | |||||||||
|
|
|
|||||||||
| Household & Personal Products — 2.0% | ||||||||||
| 3,434,306 | Unilever PLC | 163,839,446 | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Media & Entertainment — 6.3% | ||||||||||
| 1,993,449 | Alphabet, Inc. – Class A* | 264,191,796 | ||||||||
| 771,519 | Meta Platforms, Inc. – Class A* | 252,402,441 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 516,594,237 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 9.9% |
||||||||||
| 339,010 | Eli Lilly & Co. | 200,368,470 | ||||||||
| 1,849,447 | Johnson & Johnson | 286,035,473 | ||||||||
| 1,831,394 | Merck & Co., Inc. | 187,681,257 | ||||||||
| 489,924 | Roche Holding AG – Genusschein | 131,799,837 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 805,885,037 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 9.8% |
||||||||||
| 263,178 | KLA Corp. | 143,332,002 | ||||||||
| 356,741 | Lam Research Corp. | 255,398,017 | ||||||||
| 11,667,790 | Taiwan Semiconductor Manufacturing Co. Ltd. | 213,428,603 | ||||||||
| 1,253,956 | Texas Instruments, Inc. | 191,491,621 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 803,650,243 | |||||||||
|
|
|
|||||||||
| Software & Services — 20.4% | ||||||||||
| 775,480 | Accenture PLC – Class A | 258,343,407 | ||||||||
| 261,173 | Adobe, Inc.* | 159,579,315 | ||||||||
| 1,458,926 | Microsoft Corp. | 552,801,651 | ||||||||
| 2,202,899 | Oracle Corp. | 255,998,893 | ||||||||
| 745,650 | Salesforce, Inc.* | 187,829,235 | ||||||||
| 1,575,352 | SAP SE | 250,592,289 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 1,665,144,790 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 3.6% | ||||||||||
| 1,537,932 | Apple, Inc. | 292,130,183 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $4,387,978,841) |
7,931,253,509 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 3.1% | ||||||||||
| Affiliated Issuers — 3.1% | ||||||||||
| 50,313,811 | GMO U.S. Treasury Fund | 251,569,053 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $251,519,235) |
251,569,053 | |||||||||
|
|
|
|||||||||
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
| Money Market Funds — 0.1% | ||||||||||
| 3,130,272 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (a) | 3,130,272 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $3,130,272) |
3,130,272 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $4,642,628,348) |
8,185,952,834 | |||||||||
| Other Assets and Liabilities (net) — (0.1)% | (5,156,829 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $8,180,796,005 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
GMO Resource Transition Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 88.0% | ||||||||||
| Argentina — 1.3% | ||||||||||
| 199,718 | Adecoagro SA | 2,288,768 | ||||||||
|
|
|
|||||||||
| Australia — 1.3% | ||||||||||
| 69,102 | BHP Group Ltd. | 2,103,632 | ||||||||
| 35,315 | Perenti Ltd. * | 24,447 | ||||||||
| 578,245 | Sunrise Energy Metals Ltd. * | 237,761 | ||||||||
|
|
|
|||||||||
| Total Australia | 2,365,840 | |||||||||
|
|
|
|||||||||
| Brazil — 4.1% | ||||||||||
| 296,700 | Sao Martinho SA | 1,996,466 | ||||||||
| 27,560 | SLC Agricola SA | 210,981 | ||||||||
| 96,100 | Suzano SA | 1,050,021 | ||||||||
| 279,200 | Vale SA | 4,189,092 | ||||||||
|
|
|
|||||||||
| Total Brazil | 7,446,560 | |||||||||
|
|
|
|||||||||
| Canada — 12.5% | ||||||||||
| 273,200 | Anaergia, Inc. * | 53,353 | ||||||||
| 202,000 | Canadian Solar, Inc. * | 4,248,060 | ||||||||
| 61,100 | Enerflex Ltd. | 262,060 | ||||||||
| 214,500 | First Quantum Minerals Ltd. | 1,756,214 | ||||||||
| 520,000 | Greenlane Renewables, Inc. * | 55,566 | ||||||||
| 1,271,800 | Ivanhoe Mines Ltd. – Class A* | 11,350,085 | ||||||||
| 531,300 | Largo, Inc. * | 1,088,481 | ||||||||
| 233,100 | Li-Cycle Holdings Corp. * | 205,501 | ||||||||
| 140,700 | NexGen Energy Ltd. * | 917,643 | ||||||||
| 35,300 | Teck Resources Ltd. – Class B (a) | 1,329,045 | ||||||||
| 35,700 | Teck Resources Ltd. – Class B (a) | 1,344,916 | ||||||||
|
|
|
|||||||||
| Total Canada | 22,610,924 | |||||||||
|
|
|
|||||||||
| China — 2.2% | ||||||||||
| 751,000 | China High Speed Transmission Equipment Group Co. Ltd. * | 167,887 | ||||||||
| 650,000 | China Water Affairs Group Ltd. | 368,994 | ||||||||
| 335,600 | Henan Shenhuo Coal & Power Co. Ltd. – Class A | 741,301 | ||||||||
| 410,800 | Ming Yang Smart Energy Group Ltd. – Class A | 775,758 | ||||||||
| 1,082,369 | Western Mining Co. Ltd. – Class A | 1,948,417 | ||||||||
|
|
|
|||||||||
| Total China | 4,002,357 | |||||||||
|
|
|
|||||||||
| Denmark — 2.7% | ||||||||||
| 174,056 | Vestas Wind Systems AS * | 4,812,758 | ||||||||
|
|
|
|||||||||
| Finland — 1.1% | ||||||||||
| 31,591 | Kemira OYJ | 531,387 | ||||||||
| 36,021 | Neste OYJ | 1,372,498 | ||||||||
|
|
|
|||||||||
| Total Finland | 1,903,885 | |||||||||
|
|
|
|||||||||
| France — 3.5% | ||||||||||
| 17,783 | Eramet SA | 1,371,241 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| France — continued | ||||||||||
| 57,120 | Technip Energies NV | 1,332,372 | ||||||||
| 117,776 | Veolia Environnement SA | 3,712,945 | ||||||||
|
|
|
|||||||||
| Total France | 6,416,558 | |||||||||
|
|
|
|||||||||
| Israel — 0.3% | ||||||||||
| 110,977 | ICL Group Ltd. | 559,013 | ||||||||
|
|
|
|||||||||
| Italy — 0.4% | ||||||||||
| 45,964 | Tenaris SA | 793,007 | ||||||||
|
|
|
|||||||||
| Japan — 2.5% | ||||||||||
| 43,300 | Ebara Corp. | 2,459,848 | ||||||||
| 47,500 | Mitsubishi Materials Corp. | 781,441 | ||||||||
| 41,400 | Sumitomo Metal Mining Co. Ltd. | 1,196,683 | ||||||||
|
|
|
|||||||||
| Total Japan | 4,437,972 | |||||||||
|
|
|
|||||||||
| Mexico — 2.8% | ||||||||||
| 1,103,500 | Grupo Mexico SAB de CV – Series B | 5,069,423 | ||||||||
|
|
|
|||||||||
| Norway — 0.7% | ||||||||||
| 143,201 | Austevoll Seafood ASA | 986,996 | ||||||||
| 20,970 | TGS ASA | 266,336 | ||||||||
|
|
|
|||||||||
| Total Norway | 1,253,332 | |||||||||
|
|
|
|||||||||
| South Africa — 3.0% | ||||||||||
| 147,353 | African Rainbow Minerals Ltd. | 1,421,386 | ||||||||
| 696,009 | Impala Platinum Holdings Ltd. | 2,830,121 | ||||||||
| 1,059,311 | Sibanye Stillwater Ltd. | 1,165,725 | ||||||||
|
|
|
|||||||||
| Total South Africa | 5,417,232 | |||||||||
|
|
|
|||||||||
| Sweden — 2.2% | ||||||||||
| 152,906 | Boliden AB | 4,069,781 | ||||||||
|
|
|
|||||||||
| United Kingdom — 9.3% | ||||||||||
| 98,682 | Anglo American PLC | 2,670,623 | ||||||||
| 966,521 | Ferrexpo PLC * | 891,143 | ||||||||
| 1,977,733 | Glencore PLC | 11,063,811 | ||||||||
| 30,885 | Rio Tinto PLC | 2,110,916 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 16,736,493 | |||||||||
|
|
|
|||||||||
| United States — 38.1% | ||||||||||
| 91,419 | Aemetis, Inc. * | 405,900 | ||||||||
| 15,100 | AGCO Corp. | 1,714,303 | ||||||||
| 20,100 | Alcoa Corp. | 539,886 | ||||||||
| 389,290 | Ameresco, Inc. – Class A* | 11,663,129 | ||||||||
| 54,500 | Array Technologies, Inc. * | 843,115 | ||||||||
| 523,520 | Clean Energy Fuels Corp. * | 1,889,907 | ||||||||
| 27,400 | Corteva, Inc. | 1,238,480 | ||||||||
| 262,500 | Darling Ingredients, Inc. * | 11,515,875 | ||||||||
| 2,300 | Deere & Co. | 838,143 | ||||||||
| 19,200 | Enphase Energy, Inc. * | 1,939,584 | ||||||||
| 12,000 | First Solar, Inc. * | 1,893,360 | ||||||||
GMO Resource Transition Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 101,600 | Freeport-McMoRan, Inc. | 3,791,712 | ||||||||
| 530,366 | GrafTech International Ltd. | 1,310,004 | ||||||||
| 220,300 | Green Plains, Inc. * | 5,481,064 | ||||||||
| 382,100 | Livent Corp. * | 5,257,696 | ||||||||
| 100,700 | Mosaic Co. | 3,614,123 | ||||||||
| 42,200 | PotlatchDeltic Corp. – (REIT) | 1,934,448 | ||||||||
| 66,400 | SolarEdge Technologies, Inc. * | 5,270,832 | ||||||||
| 592,246 | Sunrun, Inc. * | 7,639,973 | ||||||||
|
|
|
|||||||||
| Total United States | 68,781,534 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $231,633,910) |
158,965,437 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (b) — 9.2% | ||||||||||
| Brazil — 6.0% | ||||||||||
| 2,190,465 | Bradespar SA | 10,858,757 | ||||||||
|
|
|
|||||||||
| Chile — 3.2% | ||||||||||
| 113,500 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 5,702,240 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $21,946,185) |
16,560,997 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 2.4% | ||||||||||
| United States — 2.4% | ||||||||||
| Affiliated Issuers — 2.4% | ||||||||||
| 854,930 | GMO U.S. Treasury Fund | 4,274,649 | ||||||||
|
|
|
|||||||||
| Total United States | 4,274,649 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $4,274,649) |
4,274,649 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 10.8% | ||||||||||
| Money Market Funds — 10.8% | ||||||||||
| 19,528,026 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (c) | 19,528,026 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $19,528,026) |
19,528,026 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 110.4% (Cost $277,382,770) |
199,329,109 | |||||||||
| Other Assets and Liabilities (net) — (10.4)% | (18,794,864 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $180,534,245 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | Securities are traded on separate exchanges for the same entity. |
| (b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (c) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 88.8% | ||||||||||
| Argentina — 0.8% | ||||||||||
| 1,501,136 | Adecoagro SA (a) | 17,203,018 | ||||||||
|
|
|
|||||||||
| Australia — 1.1% | ||||||||||
| 5,757,477 | Beach Energy Ltd. | 5,609,716 | ||||||||
| 517,084 | BHP Group Ltd. | 15,741,287 | ||||||||
| 735,000 | Clean TeQ Water Ltd. * | 155,362 | ||||||||
| 125,507 | Perenti Ltd. * | 86,882 | ||||||||
| 1,938,657 | Sunrise Energy Metals Ltd. * | 797,133 | ||||||||
|
|
|
|||||||||
| Total Australia | 22,390,380 | |||||||||
|
|
|
|||||||||
| Austria — 1.1% | ||||||||||
| 543,908 | OMV AG (a) | 23,224,190 | ||||||||
|
|
|
|||||||||
| Brazil — 3.1% | ||||||||||
| 1,229,400 | Enauta Participacoes SA | 3,868,999 | ||||||||
| 356,500 | PRIO SA * | 3,326,672 | ||||||||
| 2,238,428 | Sao Martinho SA | 15,062,166 | ||||||||
| 222,982 | SLC Agricola SA | 1,707,005 | ||||||||
| 715,000 | Suzano SA | 7,812,334 | ||||||||
| 2,138,568 | Vale SA | 32,086,884 | ||||||||
|
|
|
|||||||||
| Total Brazil | 63,864,060 | |||||||||
|
|
|
|||||||||
| Canada — 8.7% | ||||||||||
| 654,900 | Anaergia, Inc. * | 127,896 | ||||||||
| 1,511,740 | Canadian Solar, Inc. * (a) | 31,791,892 | ||||||||
| 384,500 | Crescent Point Energy Corp. | 2,706,880 | ||||||||
| 203,552 | Enerflex Ltd. (a) | 873,041 | ||||||||
| 160,700 | Enerplus Corp. | 2,548,702 | ||||||||
| 1,603,300 | First Quantum Minerals Ltd. | 13,126,985 | ||||||||
| 1,246,100 | Greenlane Renewables, Inc. * (a) | 133,155 | ||||||||
| 9,505,600 | Ivanhoe Mines Ltd. – Class A * (a) | 84,832,025 | ||||||||
| 1,273,509 | Largo, Inc. * (a) | 2,609,053 | ||||||||
| 1,740,100 | Li-Cycle Holdings Corp. * (a) | 1,534,072 | ||||||||
| 409,165 | Logan Energy Corp. * | 271,380 | ||||||||
| 1,052,700 | NexGen Energy Ltd. * (a) | 6,865,688 | ||||||||
| 263,200 | Teck Resources Ltd. – Class B (b) | 9,909,480 | ||||||||
| 263,400 | Teck Resources Ltd. – Class B (b) | 9,922,995 | ||||||||
| 620,900 | Vermilion Energy, Inc. (a) | 7,841,967 | ||||||||
| 426,600 | Whitecap Resources, Inc. (a) | 2,948,899 | ||||||||
|
|
|
|||||||||
| Total Canada | 178,044,110 | |||||||||
|
|
|
|||||||||
| China — 1.4% | ||||||||||
| 3,581,000 | China High Speed Transmission Equipment Group Co. Ltd. * (a) | 800,537 | ||||||||
| 2,316,000 | China Water Affairs Group Ltd. | 1,314,753 | ||||||||
| 2,516,300 | Henan Shenhuo Coal & Power Co. Ltd. – Class A | 5,558,214 | ||||||||
| 3,073,900 | Ming Yang Smart Energy Group Ltd. – Class A | 5,804,773 | ||||||||
| 8,078,745 | Western Mining Co. Ltd. – Class A | 14,542,882 | ||||||||
|
|
|
|||||||||
| Total China | 28,021,159 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Denmark — 1.8% | ||||||||||
| 1,311,418 | Vestas Wind Systems AS * | 36,261,535 | ||||||||
|
|
|
|||||||||
| Finland — 0.7% | ||||||||||
| 194,342 | Kemira OYJ | 3,268,996 | ||||||||
| 268,936 | Neste OYJ | 10,247,189 | ||||||||
|
|
|
|||||||||
| Total Finland | 13,516,185 | |||||||||
|
|
|
|||||||||
| France — 2.4% | ||||||||||
| 133,066 | Eramet SA | 10,260,673 | ||||||||
| 426,467 | Technip Energies NV | 9,947,701 | ||||||||
| 880,257 | Veolia Environnement SA | 27,750,522 | ||||||||
|
|
|
|||||||||
| Total France | 47,958,896 | |||||||||
|
|
|
|||||||||
| Hong Kong — 0.2% | ||||||||||
| 46,754,000 | United Energy Group Ltd. (a) | 4,414,902 | ||||||||
|
|
|
|||||||||
| Hungary — 0.7% | ||||||||||
| 1,784,012 | MOL Hungarian Oil & Gas PLC | 14,207,920 | ||||||||
|
|
|
|||||||||
| India — 1.4% | ||||||||||
| 2,477,686 | Oil India Ltd. | 9,079,952 | ||||||||
| 7,044,222 | Vedanta Ltd. | 19,728,749 | ||||||||
|
|
|
|||||||||
| Total India | 28,808,701 | |||||||||
|
|
|
|||||||||
| Isle of Man — 0.6% | ||||||||||
| 1,221,000 | Lifezone Holdings Ltd. * | 11,916,960 | ||||||||
|
|
|
|||||||||
| Israel — 0.2% | ||||||||||
| 868,850 | ICL Group Ltd. | 4,376,565 | ||||||||
|
|
|
|||||||||
| Italy — 2.4% | ||||||||||
| 2,571,262 | Eni SpA | 42,637,933 | ||||||||
| 343,942 | Tenaris SA | 5,933,956 | ||||||||
|
|
|
|||||||||
| Total Italy | 48,571,889 | |||||||||
|
|
|
|||||||||
| Japan — 1.6% | ||||||||||
| 322,900 | Ebara Corp. | 18,343,764 | ||||||||
| 360,700 | Mitsubishi Materials Corp. | 5,934,014 | ||||||||
| 313,500 | Sumitomo Metal Mining Co. Ltd. | 9,061,843 | ||||||||
|
|
|
|||||||||
| Total Japan | 33,339,621 | |||||||||
|
|
|
|||||||||
| Mexico — 1.9% | ||||||||||
| 8,278,040 | Grupo Mexico SAB de CV – Series B | 38,028,892 | ||||||||
|
|
|
|||||||||
| Norway — 2.3% | ||||||||||
| 1,069,161 | Austevoll Seafood ASA | 7,369,068 | ||||||||
| 2,823,904 | DNO ASA | 2,735,104 | ||||||||
| 1,065,894 | Equinor ASA | 34,054,525 | ||||||||
| 157,732 | TGS ASA | 2,003,325 | ||||||||
|
|
|
|||||||||
| Total Norway | 46,162,022 | |||||||||
|
|
|
|||||||||
| Portugal — 3.5% | ||||||||||
| 4,741,980 | Galp Energia SGPS SA | 70,460,657 | ||||||||
|
|
|
|||||||||
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Russia — 0.1% | ||||||||||
| 3,574,704 | Gazprom Neft PJSC (c) | 349,227 | ||||||||
| 14,145,410 | Gazprom PJSC * (c) | 256,779 | ||||||||
| 248,399 | LUKOIL PJSC (c) | 200,845 | ||||||||
| 232,917 | MMC Norilsk Nickel PJSC * (c) | 434,226 | ||||||||
| 9 | MMC Norilsk Nickel PJSC ADR * (c) | 2 | ||||||||
| 338,098 | PhosAgro PJSC (c) | 254,846 | ||||||||
| 6,533 | PhosAgro PJSC GDR * (c) (d) | 1,647 | ||||||||
| 2 | PhosAgro PJSC GDR (Registered) * (c) | 1 | ||||||||
| 601,778 | Ros Agro PLC GDR (Registered) * (c) | 52,764 | ||||||||
| 3,476,399 | Tatneft PJSC (c) | 246,738 | ||||||||
|
|
|
|||||||||
| Total Russia | 1,797,075 | |||||||||
|
|
|
|||||||||
| Singapore — 0.0% | ||||||||||
| 2,725,600 | Ezra Holdings Ltd. * (a) (c) | — | ||||||||
|
|
|
|||||||||
| South Africa — 1.9% | ||||||||||
| 1,005,831 | African Rainbow Minerals Ltd. | 9,702,375 | ||||||||
| 5,202,074 | Impala Platinum Holdings Ltd. | 21,152,746 | ||||||||
| 7,908,978 | Sibanye Stillwater Ltd. | 8,703,479 | ||||||||
|
|
|
|||||||||
| Total South Africa | 39,558,600 | |||||||||
|
|
|
|||||||||
| Spain — 2.0% | ||||||||||
| 2,691,858 | Repsol SA | 41,334,389 | ||||||||
|
|
|
|||||||||
| Sweden — 1.5% | ||||||||||
| 1,144,184 | Boliden AB | 30,453,862 | ||||||||
|
|
|
|||||||||
| Ukraine — 0.0% | ||||||||||
| 501,341 | Kernel Holding SA * | 908,151 | ||||||||
|
|
|
|||||||||
| United Kingdom — 14.4% | ||||||||||
| 777,878 | Anglo American PLC | 21,051,649 | ||||||||
| 15,051,621 | BP PLC | 91,508,803 | ||||||||
| 3,441,487 | Ferrexpo PLC * | 3,173,089 | ||||||||
| 14,781,711 | Glencore PLC | 82,691,673 | ||||||||
| 3,480,682 | Harbour Energy PLC | 10,123,033 | ||||||||
| 231,111 | Rio Tinto PLC | 15,795,888 | ||||||||
| 2,174,311 | Shell PLC | 70,284,191 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 294,628,326 | |||||||||
|
|
|
|||||||||
| United States — 33.0% | ||||||||||
| 687,620 | Aemetis, Inc. * (a) | 3,053,033 | ||||||||
| 112,600 | AGCO Corp. | 12,783,478 | ||||||||
| 151,100 | Alcoa Corp. | 4,058,546 | ||||||||
| 1,080,185 | Ameresco, Inc. – Class A * | 32,362,343 | ||||||||
| 408,100 | Array Technologies, Inc. * | 6,313,307 | ||||||||
| 602,300 | California Resources Corp. | 30,843,783 | ||||||||
| 3,917,513 | Clean Energy Fuels Corp. * | 14,142,222 | ||||||||
| 601,800 | ConocoPhillips | 69,550,026 | ||||||||
| 204,300 | Corteva, Inc. | 9,234,360 | ||||||||
| 1,964,100 | Darling Ingredients, Inc. * | 86,165,067 | ||||||||
| 16,800 | Deere & Co. | 6,122,088 | ||||||||
| 143,300 | Enphase Energy, Inc. * | 14,476,166 | ||||||||
| 90,100 | First Solar, Inc. * | 14,215,978 | ||||||||
| 758,982 | Freeport-McMoRan, Inc. | 28,325,208 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 3,959,957 | GrafTech International Ltd. | 9,781,094 | ||||||||
| 1,646,893 | Green Plains, Inc. * | 40,974,698 | ||||||||
| 30,400 | Gulfport Energy Corp. * | 4,166,016 | ||||||||
| 16,244,255 | Kosmos Energy Ltd. * | 110,298,491 | ||||||||
| 2,859,146 | Livent Corp. * (a) | 39,341,849 | ||||||||
| 752,721 | Mosaic Co. | 27,015,157 | ||||||||
| 314,900 | PotlatchDeltic Corp. – (REIT) | 14,435,016 | ||||||||
| 496,724 | SolarEdge Technologies, Inc. * | 39,429,951 | ||||||||
| 4,426,117 | Sunrun, Inc. * (a) | 57,096,909 | ||||||||
|
|
|
|||||||||
| Total United States | 674,184,786 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $2,055,213,855) |
1,813,636,851 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (e) — 9.7% | ||||||||||
| Brazil — 7.5% | ||||||||||
| 16,427,426 | Bradespar SA | 81,435,417 | ||||||||
| 9,891,881 | Petroleo Brasileiro SA | 72,168,598 | ||||||||
|
|
|
|||||||||
| Total Brazil | 153,604,015 | |||||||||
|
|
|
|||||||||
| Chile — 2.1% | ||||||||||
| 849,495 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 42,678,629 | ||||||||
|
|
|
|||||||||
| Russia — 0.1% | ||||||||||
| 20,237,584 | Surgutneftegas PJSC (c) | 132,627 | ||||||||
| 7,494,797 | Tatneft PJSC (c) | 529,779 | ||||||||
|
|
|
|||||||||
| Total Russia | 662,406 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $229,967,068) |
196,945,050 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 0.8% | ||||||||||
| United States — 0.8% | ||||||||||
| Affiliated Issuers — 0.8% | ||||||||||
| 3,346,358 | GMO U.S. Treasury Fund | 16,731,789 | ||||||||
|
|
|
|||||||||
| Total United States | 16,731,789 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $16,725,907) |
16,731,789 | |||||||||
|
|
|
|||||||||
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.0% |
| |||||||||
| Money Market Funds — 0.0% | ||||||||||
| 238,822 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (f) | 238,822 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $238,822) |
238,822 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.3% (Cost $2,302,145,652) |
2,027,552,512 | |||||||||
| Other Assets and Liabilities (net) — 0.7% | 14,927,017 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $2,042,479,529 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of November 30, 2023 |
||||||||
| PhosAgro PJSC GDR | 08/26/16 | $ | 93,496 | 0.0% | $ | 1,647 | ||||||
|
|
|
|||||||||||
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 November 30, 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)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 99.0% | ||||||||||
| Automobiles & Components — 5.0% | ||||||||||
| 13,914 | Fox Factory Holding Corp. * | 869,764 | ||||||||
| 75,344 | Gentex Corp. | 2,291,211 | ||||||||
| 7,753 | XPEL, Inc. * | 354,312 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 3,515,287 | |||||||||
|
|
|
|||||||||
| Capital Goods — 19.1% | ||||||||||
| 28,846 | AAON, Inc. | 1,805,760 | ||||||||
| 7,720 | Allegion PLC | 819,015 | ||||||||
| 12,394 | Curtiss-Wright Corp. | 2,651,076 | ||||||||
| 7,279 | Kadant, Inc. | 1,897,053 | ||||||||
| 11,005 | RBC Bearings, Inc. * | 2,836,429 | ||||||||
| 10,767 | Trex Co., Inc. * | 756,597 | ||||||||
| 19,746 | Woodward, Inc. | 2,669,264 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 13,435,194 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 6.3% | ||||||||||
| 20,102 | ASGN, Inc.* | 1,793,902 | ||||||||
| 11,836 | FTI Consulting, Inc. * | 2,609,365 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 4,403,267 | |||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 3.7% |
||||||||||
| 35,484 | Ollie’s Bargain Outlet Holdings, Inc. * | 2,599,913 | ||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 7.1% | ||||||||||
| 43,773 | Acushnet Holdings Corp. | 2,473,174 | ||||||||
| 24,753 | Malibu Boats, Inc. – Class A * | 1,095,073 | ||||||||
| 4,772 | TopBuild Corp. * | 1,411,462 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 4,979,709 | |||||||||
|
|
|
|||||||||
| Consumer Staples Distribution & Retail — 1.3% | ||||||||||
| 13,650 | PriceSmart, Inc. | 919,874 | ||||||||
|
|
|
|||||||||
| Financial Services — 11.1% | ||||||||||
| 17,616 | Cohen & Steers, Inc. | 1,030,360 | ||||||||
| 56,447 | Essent Group Ltd. | 2,728,648 | ||||||||
| 23,023 | Houlihan Lokey, Inc. | 2,480,038 | ||||||||
| 60,268 | StepStone Group, Inc. – Class A | 1,544,066 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 7,783,112 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 7.2% | ||||||||||
| 14,054 | J & J Snack Foods Corp. | 2,312,586 | ||||||||
| 1,832 | John B Sanfilippo & Son, Inc. | 168,617 | ||||||||
| 15,489 | Lancaster Colony Corp. | 2,569,625 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 5,050,828 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 2.5% | ||||||||||
| 39,707 | Globus Medical, Inc. – Class A * | 1,783,638 | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Materials — 5.6% | ||||||||||
| 18,455 | AptarGroup, Inc. | 2,341,755 | ||||||||
| 12,663 | Balchem Corp. | 1,579,329 | ||||||||
|
|
|
|||||||||
| Total Materials | 3,921,084 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 3.8% | ||||||||||
| 56,128 | New York Times Co. – Class A | 2,637,455 | ||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 5.2% |
||||||||||
| 27,664 | Bruker Corp. | 1,800,650 | ||||||||
| 6,887 | Medpace Holdings, Inc. * | 1,864,448 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 3,665,098 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 9.5% |
||||||||||
| 16,607 | Axcelis Technologies, Inc. * | 2,063,918 | ||||||||
| 23,066 | Cirrus Logic, Inc. * | 1,750,940 | ||||||||
| 26,828 | Power Integrations, Inc. | 2,049,927 | ||||||||
| 4,715 | Universal Display Corp. | 797,778 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 6,662,563 | |||||||||
|
|
|
|||||||||
| Software & Services — 2.4% | ||||||||||
| 19,767 | Dolby Laboratories, Inc. – Class A | 1,702,532 | ||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 6.0% | ||||||||||
| 50,385 | Ciena Corp. * | 2,310,152 | ||||||||
| 11,963 | Fabrinet * | 1,936,810 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 4,246,962 | |||||||||
|
|
|
|||||||||
| Transportation — 3.2% | ||||||||||
| 13,043 | Landstar System, Inc. | 2,251,874 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $59,053,413) |
69,558,390 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 2.5% | ||||||||||
| Affiliated Issuers — 2.5% | ||||||||||
| 357,274 | GMO U.S. Treasury Fund | 1,786,370 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $1,786,370) |
1,786,370 | |||||||||
|
|
|
|||||||||
GMO Small Cap Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.0% |
| |||||||||
| Money Market Funds — 0.0% | ||||||||||
| 26,318 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (a) | 26,318 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $26,318) |
26,318 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 101.5% (Cost $60,866,101) |
71,371,078 | |||||||||
| Other Assets and Liabilities (net) — (1.5)% | (1,072,730 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $70,298,348 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 99.4% | ||||||||||
| Automobiles & Components — 0.9% | ||||||||||
| 1,282 | Aptiv PLC * | 106,201 | ||||||||
| 29,185 | BorgWarner, Inc. | 983,243 | ||||||||
| 64,562 | Ford Motor Co. | 662,406 | ||||||||
| 7,704 | General Motors Co. | 243,446 | ||||||||
| 2,026 | Lear Corp. | 270,978 | ||||||||
| 2,618 | Winnebago Industries, Inc. | 169,201 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 2,435,475 | |||||||||
|
|
|
|||||||||
| Banks — 3.2% | ||||||||||
| 1,800 | 1st Source Corp. | 86,994 | ||||||||
| 1,900 | Capital City Bank Group, Inc. | 50,806 | ||||||||
| 47,792 | Citigroup, Inc. | 2,203,211 | ||||||||
| 2,000 | Community Trust Bancorp, Inc. | 79,580 | ||||||||
| 5,400 | Farmers National Banc Corp. | 66,474 | ||||||||
| 1,500 | First Financial Corp. | 57,375 | ||||||||
| 8,900 | Hanmi Financial Corp. | 148,096 | ||||||||
| 4,100 | Independent Bank Corp. | 88,642 | ||||||||
| 35,924 | JPMorgan Chase & Co. | 5,607,018 | ||||||||
|
|
|
|||||||||
| Total Banks | 8,388,196 | |||||||||
|
|
|
|||||||||
| Capital Goods — 6.5% | ||||||||||
| 8,117 | 3M Co. | 804,151 | ||||||||
| 2,207 | AGCO Corp. | 250,561 | ||||||||
| 7,154 | Allison Transmission Holdings, Inc. | 382,596 | ||||||||
| 2,000 | Apogee Enterprises, Inc. | 90,200 | ||||||||
| 14,675 | Builders FirstSource, Inc. * | 1,968,064 | ||||||||
| 12,884 | Cummins, Inc. | 2,888,077 | ||||||||
| 2,086 | Ferguson PLC | 357,415 | ||||||||
| 6,626 | MRC Global, Inc. * | 68,513 | ||||||||
| 9,898 | PACCAR, Inc. | 908,834 | ||||||||
| 1,525 | Parker-Hannifin Corp. | 660,600 | ||||||||
| 22,061 | Trane Technologies PLC | 4,972,770 | ||||||||
| 1,301 | UFP Industries, Inc. | 142,629 | ||||||||
| 4,890 | WW Grainger, Inc. | 3,844,469 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 17,338,879 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 1.2% | ||||||||||
| 95,700 | ACCO Brands Corp. | 514,866 | ||||||||
| 600 | Barrett Business Services, Inc. | 65,970 | ||||||||
| 5,200 | Brady Corp. – Class A | 292,604 | ||||||||
| 2,433 | CBIZ, Inc. * | 140,846 | ||||||||
| 1,470 | Cimpress PLC * | 103,620 | ||||||||
| 4,386 | Copart, Inc. * | 220,265 | ||||||||
| 7,900 | CSG Systems International, Inc. | 388,601 | ||||||||
| 9,600 | Deluxe Corp. | 175,584 | ||||||||
| 2,700 | Heidrick & Struggles International, Inc. | 73,386 | ||||||||
| 747 | Huron Consulting Group, Inc. * | 77,815 | ||||||||
| 5,000 | ICF International, Inc. | 699,750 | ||||||||
| 12,800 | Resources Connection, Inc. | 174,080 | ||||||||
| 980 | TriNet Group, Inc.* | 113,612 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Commercial & Professional Services — continued | ||||||||||
| 3,000 | TrueBlue, Inc. * | 41,820 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 3,082,819 | |||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 8.3% |
||||||||||
| 4,900 | 1-800-Flowers.com, Inc. – Class A * | 43,267 | ||||||||
| 67,768 | Amazon.com, Inc. * | 9,900,227 | ||||||||
| 1,761 | American Eagle Outfitters, Inc. | 33,512 | ||||||||
| 1,675 | AutoNation, Inc. * | 226,577 | ||||||||
| 453 | AutoZone, Inc. * | 1,182,298 | ||||||||
| 34,751 | Best Buy Co., Inc. | 2,465,236 | ||||||||
| 77,807 | eBay, Inc. | 3,190,865 | ||||||||
| 21,892 | Gap, Inc. | 439,372 | ||||||||
| 6,425 | Group 1 Automotive, Inc. | 1,812,493 | ||||||||
| 8,700 | Haverty Furniture Cos., Inc. | 272,658 | ||||||||
| 5,329 | ODP Corp. * | 242,736 | ||||||||
| 937 | O’Reilly Automotive, Inc. * | 920,490 | ||||||||
| 8,100 | Shoe Carnival, Inc. | 196,749 | ||||||||
| 5,789 | Signet Jewelers Ltd. | 475,740 | ||||||||
| 22,501 | Urban Outfitters, Inc. * | 803,286 | ||||||||
|
|
|
|||||||||
| Total Consumer Discretionary Distribution & Retail | 22,205,506 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 5.0% | ||||||||||
| 4,839 | Acushnet Holdings Corp. | 273,404 | ||||||||
| 12 | Carter’s, Inc. | 818 | ||||||||
| 7,448 | DR Horton, Inc. | 950,886 | ||||||||
| 13,681 | Ethan Allen Interiors, Inc. | 367,198 | ||||||||
| 34,952 | Garmin Ltd. | 4,272,533 | ||||||||
| 965 | Johnson Outdoors, Inc. – Class A | 50,701 | ||||||||
| 24,576 | La-Z-Boy, Inc. | 864,829 | ||||||||
| 8,597 | Lennar Corp. – Class A | 1,099,728 | ||||||||
| 1,400 | M/I Homes, Inc. * | 147,714 | ||||||||
| 1,202 | Malibu Boats, Inc. – Class A * | 53,176 | ||||||||
| 9,997 | MasterCraft Boat Holdings, Inc. * | 199,940 | ||||||||
| 5,300 | Movado Group, Inc. | 138,595 | ||||||||
| 2,378 | Oxford Industries, Inc. | 215,043 | ||||||||
| 3,993 | PulteGroup, Inc. | 353,061 | ||||||||
| 10,542 | PVH Corp. | 1,030,797 | ||||||||
| 30,646 | Taylor Morrison Home Corp .* | 1,382,135 | ||||||||
| 1,700 | Toll Brothers, Inc. | 146,013 | ||||||||
| 58,052 | Tri Pointe Homes, Inc. * | 1,693,957 | ||||||||
| 8,356 | Vera Bradley, Inc. * | 62,754 | ||||||||
| 1,049 | Whirlpool Corp. | 114,236 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 13,417,518 | |||||||||
|
|
|
|||||||||
| Consumer Services — 0.7% | ||||||||||
| 9,370 | Adtalem Global Education, Inc.* | 533,809 | ||||||||
| 1,200 | Graham Holdings Co. – Class B | 752,580 | ||||||||
| 26,375 | Perdoceo Education Corp. | 459,453 | ||||||||
| 3,685 | Stride, Inc. * | 223,237 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 1,969,079 | |||||||||
|
|
|
|||||||||
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Consumer Staples Distribution & Retail — 1.8% | ||||||||||
| 101,205 | Kroger Co. | 4,480,345 | ||||||||
| 2,004 | Walmart, Inc. | 312,003 | ||||||||
|
|
|
|||||||||
| Total Consumer Staples Distribution & Retail | 4,792,348 | |||||||||
|
|
|
|||||||||
| Energy — 7.4% | ||||||||||
| 6,341 | California Resources Corp. | 324,723 | ||||||||
| 13,020 | Chesapeake Energy Corp. | 1,045,636 | ||||||||
| 32,007 | Chevron Corp. | 4,596,205 | ||||||||
| 4,540 | ConocoPhillips | 524,688 | ||||||||
| 1,256 | Diamondback Energy, Inc. | 193,939 | ||||||||
| 10,901 | EOG Resources, Inc. | 1,341,586 | ||||||||
| 50,557 | Exxon Mobil Corp. | 5,194,226 | ||||||||
| 1,178 | Gulfport Energy Corp. * | 161,433 | ||||||||
| 15,986 | Marathon Petroleum Corp. | 2,384,951 | ||||||||
| 4,122 | Murphy Oil Corp. | 176,298 | ||||||||
| 7,801 | Ovintiv, Inc. | 345,896 | ||||||||
| 14,232 | Permian Resources Corp. | 187,009 | ||||||||
| 21,314 | Phillips 66 | 2,747,162 | ||||||||
| 2,141 | Valero Energy Corp. | 268,396 | ||||||||
| 10,936 | World Kinect Corp. | 230,093 | ||||||||
|
|
|
|||||||||
| Total Energy | 19,722,241 | |||||||||
|
|
|
|||||||||
| Financial Services — 8.3% | ||||||||||
| 31,047 | American Express Co. | 5,301,896 | ||||||||
| 8,581 | Bank of New York Mellon Corp. | 414,634 | ||||||||
| 4,948 | Berkshire Hathaway, Inc. – Class B * | 1,781,280 | ||||||||
| 7,299 | Capital One Financial Corp. | 815,006 | ||||||||
| 3,463 | Discover Financial Services | 322,059 | ||||||||
| 6,533 | Donnelley Financial Solutions, Inc. * | 385,578 | ||||||||
| 4,962 | Enact Holdings, Inc. | 137,497 | ||||||||
| 21,735 | Enova International, Inc. * | 895,482 | ||||||||
| 11,962 | Essent Group Ltd. | 578,243 | ||||||||
| 4,458 | Goldman Sachs Group, Inc. | 1,522,585 | ||||||||
| 18,812 | Intercontinental Exchange, Inc. | 2,141,558 | ||||||||
| 8,915 | Jackson Financial, Inc. – Class A | 425,513 | ||||||||
| 36,347 | Janus Henderson Group PLC | 951,928 | ||||||||
| 2,605 | LendingTree, Inc. * | 46,109 | ||||||||
| 100,080 | MGIC Investment Corp. | 1,760,407 | ||||||||
| 3,542 | Mr Cooper Group, Inc. * | 214,362 | ||||||||
| 20,587 | Nasdaq, Inc. | 1,149,578 | ||||||||
| 30 | Nelnet, Inc. – Class A | 2,517 | ||||||||
| 12,373 | NMI Holdings, Inc. * | 340,258 | ||||||||
| 2,949 | PennyMac Financial Services, Inc. | 229,403 | ||||||||
| 9,840 | PROG Holdings, Inc. * | 268,239 | ||||||||
| 69,313 | Radian Group, Inc. | 1,782,037 | ||||||||
| 5,695 | T Rowe Price Group, Inc. | 570,240 | ||||||||
| 9,618 | Western Union Co. | 111,857 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 22,148,266 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 2.2% | ||||||||||
| 12,238 | Coca-Cola Co. | 715,189 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Food, Beverage & Tobacco — continued | ||||||||||
| 11,597 | General Mills, Inc. | 738,265 | ||||||||
| 11,618 | PepsiCo, Inc. | 1,955,193 | ||||||||
| 19,228 | Philip Morris International, Inc. | 1,795,126 | ||||||||
| 9,497 | Universal Corp. | 534,301 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 5,738,074 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 2.6% | ||||||||||
| 6,465 | Cigna Group | 1,699,519 | ||||||||
| 4,672 | Elevance Health, Inc. | 2,240,177 | ||||||||
| 3,823 | Humana, Inc. | 1,853,620 | ||||||||
| 6,662 | Medtronic PLC | 528,097 | ||||||||
| 929 | UnitedHealth Group, Inc. | 513,709 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 6,835,122 | |||||||||
|
|
|
|||||||||
| Household & Personal Products — 0.1% | ||||||||||
| 4,202 | Colgate-Palmolive Co. | 330,991 | ||||||||
|
|
|
|||||||||
| Insurance — 2.6% | ||||||||||
| 24,656 | Arch Capital Group Ltd. * | 2,063,461 | ||||||||
| 13,164 | Brown & Brown, Inc. | 983,877 | ||||||||
| 11,215 | CNO Financial Group, Inc. | 297,198 | ||||||||
| 20,098 | Fidelity National Financial, Inc. | 901,194 | ||||||||
| 14,063 | Hartford Financial Services Group, Inc. | 1,099,164 | ||||||||
| 14,065 | Old Republic International Corp. | 412,245 | ||||||||
| 5,748 | Stewart Information Services Corp. | 271,593 | ||||||||
| 18,535 | Unum Group | 797,005 | ||||||||
|
|
|
|||||||||
| Total Insurance | 6,825,737 | |||||||||
|
|
|
|||||||||
| Materials — 2.6% | ||||||||||
| 3,115 | Commercial Metals Co. | 141,203 | ||||||||
| 6,697 | Ecolab, Inc. | 1,284,016 | ||||||||
| 2,973 | NewMarket Corp. | 1,577,206 | ||||||||
| 888 | Nucor Corp. | 150,933 | ||||||||
| 18,240 | PPG Industries, Inc. | 2,589,898 | ||||||||
| 1,335 | Reliance Steel & Aluminum Co. | 367,472 | ||||||||
| 10,957 | Ryerson Holding Corp. | 339,338 | ||||||||
| 2,200 | Schnitzer Steel Industries, Inc. – Class A | 56,386 | ||||||||
| 6,854 | Warrior Met Coal, Inc. | 383,619 | ||||||||
|
|
|
|||||||||
| Total Materials | 6,890,071 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 8.6% | ||||||||||
| 49,091 | Alphabet, Inc. – Class A * | 6,506,030 | ||||||||
| 45,492 | Alphabet, Inc. – Class C * | 6,092,289 | ||||||||
| 49,789 | Comcast Corp. – Class A | 2,085,661 | ||||||||
| 24,234 | Meta Platforms, Inc. – Class A * | 7,928,153 | ||||||||
| 4,318 | Yelp, Inc. * | 188,740 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 22,800,873 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 5.5% |
||||||||||
| 1,949 | Amphastar Pharmaceuticals, Inc. * | 109,768 | ||||||||
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — continued |
||||||||||
| 77,991 | Bristol-Myers Squibb Co. | 3,851,196 | ||||||||
| 15,485 | Johnson & Johnson | 2,394,910 | ||||||||
| 48,734 | Merck & Co., Inc. | 4,994,260 | ||||||||
| 108,398 | Pfizer, Inc. | 3,302,887 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 14,653,021 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 7.5% |
||||||||||
| 3,093 | Applied Materials, Inc. | 463,270 | ||||||||
| 183,425 | Intel Corp. | 8,199,098 | ||||||||
| 815 | KLA Corp. | 443,865 | ||||||||
| 2,921 | Microchip Technology, Inc. | 243,728 | ||||||||
| 10,926 | NVIDIA Corp. | 5,110,090 | ||||||||
| 188 | NXP Semiconductors NV | 38,367 | ||||||||
| 38,943 | QUALCOMM, Inc. | 5,025,594 | ||||||||
| 4,862 | Skyworks Solutions, Inc. | 471,274 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 19,995,286 | |||||||||
|
|
|
|||||||||
| Software & Services — 11.6% | ||||||||||
| 2,122 | Accenture PLC – Class A | 706,923 | ||||||||
| 3,806 | Akamai Technologies, Inc. * | 439,707 | ||||||||
| 8,302 | Amdocs Ltd. | 695,459 | ||||||||
| 54,659 | Cognizant Technology Solutions Corp. – Class A | 3,846,901 | ||||||||
| 31,543 | International Business Machines Corp. | 5,001,458 | ||||||||
| 36,052 | Microsoft Corp. | 13,660,463 | ||||||||
| 14,673 | Oracle Corp. | 1,705,149 | ||||||||
| 8,732 | Synopsys, Inc. * | 4,743,484 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 30,799,544 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 12.5% | ||||||||||
| 74,880 | Apple, Inc. | 14,223,456 | ||||||||
| 6,336 | Arista Networks, Inc. * | 1,392,083 | ||||||||
| 15,574 | Avnet, Inc. | 728,240 | ||||||||
| 7,943 | Belden, Inc. | 527,733 | ||||||||
| 76,376 | Cisco Systems, Inc. | 3,695,071 | ||||||||
| 27,474 | Dell Technologies, Inc. – Class C | 2,084,452 | ||||||||
| 166,030 | Hewlett Packard Enterprise Co. | 2,807,567 | ||||||||
| 136,405 | HP, Inc. | 4,002,123 | ||||||||
| 22,958 | Juniper Networks, Inc. | 653,155 | ||||||||
| 16,948 | TE Connectivity Ltd. | 2,220,188 | ||||||||
| 7,798 | Vishay Intertechnology, Inc. | 173,350 | ||||||||
| 20,403 | Vontier Corp. | 688,193 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 33,195,611 | |||||||||
|
|
|
|||||||||
| Telecommunication Services — 0.2% | ||||||||||
| 13,085 | Verizon Communications, Inc. | 501,548 | ||||||||
|
|
|
|||||||||
| Shares / Par Value† |
Description | Value ($) | ||||||||
| Transportation — 0.1% | ||||||||||
| 558 | FedEx Corp. | 144,427 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $242,846,063) |
264,210,632 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 0.1% | ||||||||||
| U.S. Government — 0.1% | ||||||||||
| 350,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.55, due 01/31/25 (a) | 350,439 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $350,032) |
350,439 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 1.0% | ||||||||||
| Affiliated Issuers — 1.0% | ||||||||||
| 530,872 | GMO U.S. Treasury Fund | 2,654,361 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $2,652,402) |
2,654,361 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 103,474 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (b) | 103,474 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $103,474) |
103,474 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.6% (Cost $245,951,971) |
267,318,906 | |||||||||
| Other Assets and Liabilities (net) — (0.6)% | (1,471,000 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $265,847,906 | |||||||||
|
|
|
|||||||||
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
A summary of outstanding financial instruments at November 30, 2023 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 2 | S&P 500 E-Mini | December 2023 | $ | 457,675 | $ | 3,735 | ||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of November 30, 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 November 30, 2023. |
GMO U.S. Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 98.7% | ||||||||||
| Automobiles & Components — 2.1% | ||||||||||
| 60,416 | BorgWarner, Inc. | 2,035,415 | ||||||||
| 387,887 | Ford Motor Co. | 3,979,721 | ||||||||
| 30,089 | General Motors Co. | 950,812 | ||||||||
| 13,018 | Harley-Davidson, Inc. | 390,410 | ||||||||
| 12,505 | Lear Corp. | 1,672,544 | ||||||||
| 1,400 | Winnebago Industries, Inc. | 90,482 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 9,119,384 | |||||||||
|
|
|
|||||||||
| Banks — 10.4% | ||||||||||
| 424,481 | Bank of America Corp. | 12,942,426 | ||||||||
| 140,614 | Citigroup, Inc. | 6,482,305 | ||||||||
| 124,550 | JPMorgan Chase & Co. | 19,439,764 | ||||||||
| 6,700 | M&T Bank Corp. | 858,739 | ||||||||
| 49,568 | Regions Financial Corp. | 826,794 | ||||||||
| 107,725 | U.S. Bancorp | 4,106,477 | ||||||||
|
|
|
|||||||||
| Total Banks | 44,656,505 | |||||||||
|
|
|
|||||||||
| Capital Goods — 4.4% | ||||||||||
| 52,010 | 3M Co. | 5,152,631 | ||||||||
| 16,212 | AGCO Corp. | 1,840,548 | ||||||||
| 5,421 | Allison Transmission Holdings, Inc. | 289,915 | ||||||||
| 5,667 | Atkore, Inc. * | 736,143 | ||||||||
| 1,502 | Builders FirstSource, Inc. * | 201,433 | ||||||||
| 15,353 | Cummins, Inc. | 3,441,529 | ||||||||
| 5,509 | Encore Wire Corp. | 1,015,309 | ||||||||
| 14,269 | Owens Corning | 1,934,591 | ||||||||
| 30,381 | PACCAR, Inc. | 2,789,583 | ||||||||
| 1,374 | Textron, Inc. | 105,331 | ||||||||
| 8,518 | Timken Co. | 616,703 | ||||||||
| 7,013 | UFP Industries, Inc. | 768,835 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 18,892,551 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 0.5% | ||||||||||
| 2,156 | HNI Corp. | 84,235 | ||||||||
| 25,101 | ManpowerGroup, Inc. | 1,862,745 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 1,946,980 | |||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 3.5% |
||||||||||
| 21,219 | Academy Sports & Outdoors, Inc. | 1,079,411 | ||||||||
| 5,910 | AutoNation, Inc.* | 799,446 | ||||||||
| 37,735 | Best Buy Co., Inc. | 2,676,921 | ||||||||
| 6,067 | Dick’s Sporting Goods, Inc. | 789,317 | ||||||||
| 81,278 | eBay, Inc. | 3,333,211 | ||||||||
| 10,802 | Foot Locker, Inc. | 290,898 | ||||||||
| 60,756 | Gap, Inc. | 1,219,373 | ||||||||
| 4,049 | Group 1 Automotive, Inc. | 1,142,223 | ||||||||
| 24,070 | Kohl’s Corp. | 564,441 | ||||||||
| 124,954 | Macy’s, Inc. | 1,981,770 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Consumer Discretionary Distribution & Retail — continued |
||||||||||
| 4,994 | Nordstrom, Inc. | 78,006 | ||||||||
| 5,632 | Williams-Sonoma, Inc. | 1,056,225 | ||||||||
|
|
|
|||||||||
| Total Consumer Discretionary Distribution & Retail | 15,011,242 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 3.4% | ||||||||||
| 18,376 | Brunswick Corp. | 1,449,315 | ||||||||
| 8,423 | Carter’s, Inc. | 574,364 | ||||||||
| 3,433 | DR Horton, Inc. | 438,291 | ||||||||
| 19,523 | Garmin Ltd. | 2,386,491 | ||||||||
| 8,526 | La-Z-Boy, Inc. | 300,030 | ||||||||
| 10,202 | Lennar Corp. – Class A | 1,305,040 | ||||||||
| 14,650 | PulteGroup, Inc. | 1,295,353 | ||||||||
| 20,261 | PVH Corp. | 1,981,121 | ||||||||
| 76,597 | Tapestry, Inc. | 2,425,827 | ||||||||
| 4,410 | Tri Pointe Homes, Inc. * | 128,684 | ||||||||
| 113,199 | VF Corp. | 1,893,819 | ||||||||
| 3,524 | Whirlpool Corp. | 383,764 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 14,562,099 | |||||||||
|
|
|
|||||||||
| Consumer Services — 0.8% | ||||||||||
| 4,417 | Adtalem Global Education, Inc. * | 251,636 | ||||||||
| 490 | Graham Holdings Co. – Class B | 307,304 | ||||||||
| 59,098 | H&R Block, Inc. | 2,684,231 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 3,243,171 | |||||||||
|
|
|
|||||||||
| Consumer Staples Distribution & Retail — 2.1% | ||||||||||
| 75,744 | Kroger Co. | 3,353,187 | ||||||||
| 24,790 | Target Corp. | 3,317,150 | ||||||||
| 128,653 | Walgreens Boots Alliance, Inc. | 2,565,341 | ||||||||
|
|
|
|||||||||
| Total Consumer Staples Distribution & Retail | 9,235,678 | |||||||||
|
|
|
|||||||||
| Energy — 8.0% | ||||||||||
| 9,360 | Chesapeake Energy Corp. | 751,702 | ||||||||
| 51,659 | Chevron Corp. | 7,418,232 | ||||||||
| 23,962 | EOG Resources, Inc. | 2,949,003 | ||||||||
| 122,452 | Exxon Mobil Corp. | 12,580,719 | ||||||||
| 26,353 | Marathon Petroleum Corp. | 3,931,604 | ||||||||
| 19,136 | Ovintiv, Inc. | 848,490 | ||||||||
| 39,762 | Phillips 66 | 5,124,924 | ||||||||
| 5,831 | Valero Energy Corp. | 730,974 | ||||||||
|
|
|
|||||||||
| Total Energy | 34,335,648 | |||||||||
|
|
|
|||||||||
| Financial Services — 11.9% | ||||||||||
| 11,117 | Affiliated Managers Group, Inc. | 1,506,909 | ||||||||
| 36,955 | Ally Financial, Inc. | 1,079,825 | ||||||||
| 43,949 | American Express Co. | 7,505,171 | ||||||||
| 85,664 | Bank of New York Mellon Corp. | 4,139,284 | ||||||||
| 38,432 | Capital One Financial Corp. | 4,291,317 | ||||||||
GMO U.S. Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Financial Services — continued | ||||||||||
| 35,216 | Discover Financial Services | 3,275,088 | ||||||||
| 27,266 | Franklin Resources, Inc. | 676,197 | ||||||||
| 22,774 | Goldman Sachs Group, Inc. | 7,778,232 | ||||||||
| 92,217 | Invesco Ltd. | 1,315,936 | ||||||||
| 64,653 | Janus Henderson Group PLC | 1,693,262 | ||||||||
| 126,974 | MGIC Investment Corp. | 2,233,473 | ||||||||
| 3,277 | OneMain Holdings, Inc. | 138,617 | ||||||||
| 53,246 | PayPal Holdings, Inc. * | 3,067,502 | ||||||||
| 88,522 | Radian Group, Inc. | 2,275,901 | ||||||||
| 44,174 | State Street Corp. | 3,216,751 | ||||||||
| 86,785 | Synchrony Financial | 2,808,363 | ||||||||
| 32,678 | T Rowe Price Group, Inc. | 3,272,048 | ||||||||
| 90,911 | Western Union Co. | 1,057,295 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 51,331,171 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 3.4% | ||||||||||
| 52,253 | Archer-Daniels-Midland Co. | 3,852,614 | ||||||||
| 4,249 | Bunge Global SA | 466,838 | ||||||||
| 43,899 | General Mills, Inc. | 2,794,610 | ||||||||
| 33,989 | Kellanova | 1,785,782 | ||||||||
| 82,041 | Kraft Heinz Co. | 2,880,459 | ||||||||
| 57,587 | Tyson Foods, Inc. – Class A | 2,697,375 | ||||||||
| 4,474 | Universal Corp. | 251,707 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 14,729,385 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 5.4% | ||||||||||
| 21,949 | Cigna Group | 5,769,953 | ||||||||
| 90,343 | CVS Health Corp. | 6,138,807 | ||||||||
| 15,521 | Elevance Health, Inc. | 7,442,164 | ||||||||
| 4,827 | Humana, Inc. | 2,340,419 | ||||||||
| 11,685 | Medtronic PLC | 926,270 | ||||||||
| 948 | UnitedHealth Group, Inc. | 524,216 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 23,141,829 | |||||||||
|
|
|
|||||||||
| Insurance — 1.1% | ||||||||||
| 10,417 | Fidelity National Financial, Inc. | 467,098 | ||||||||
| 30,974 | Hartford Financial Services Group, Inc. | 2,420,928 | ||||||||
| 8,592 | Stewart Information Services Corp. | 405,972 | ||||||||
| 33,745 | Unum Group | 1,451,035 | ||||||||
|
|
|
|||||||||
| Total Insurance | 4,745,033 | |||||||||
|
|
|
|||||||||
| Materials — 2.7% | ||||||||||
| 6,080 | Commercial Metals Co. | 275,606 | ||||||||
| 13,574 | FMC Corp. | 728,381 | ||||||||
| 22,303 | Huntsman Corp. | 548,654 | ||||||||
| 22,783 | LyondellBasell Industries NV – Class A | 2,166,663 | ||||||||
| 21,139 | Nucor Corp. | 3,592,996 | ||||||||
| 3,500 | Reliance Steel & Aluminum Co. | 963,410 | ||||||||
| 27,785 | Steel Dynamics, Inc. | 3,310,027 | ||||||||
|
|
|
|||||||||
| Total Materials | 11,585,737 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Media & Entertainment — 11.6% | ||||||||||
| 16,674 | Alphabet, Inc. – Class A * | 2,209,805 | ||||||||
| 161,099 | Alphabet, Inc. – Class C * | 21,574,378 | ||||||||
| 256,821 | Comcast Corp. – Class A | 10,758,232 | ||||||||
| 46,959 | Meta Platforms, Inc. – Class A * | 15,362,637 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 49,905,052 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 10.5% |
||||||||||
| 14,485 | Biogen, Inc. * | 3,390,649 | ||||||||
| 142,220 | Bristol-Myers Squibb Co. | 7,022,824 | ||||||||
| 81,219 | Gilead Sciences, Inc. | 6,221,375 | ||||||||
| 51,356 | Johnson & Johnson | 7,942,719 | ||||||||
| 71,202 | Merck & Co., Inc. | 7,296,781 | ||||||||
| 324,227 | Pfizer, Inc. | 9,879,197 | ||||||||
| 3,142 | Regeneron Pharmaceuticals, Inc. * | 2,588,411 | ||||||||
| 68,864 | Viatris, Inc. | 632,171 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 44,974,127 | |||||||||
|
|
|
|||||||||
| Real Estate Management & Development — 0.2% | ||||||||||
| 13,084 | CBRE Group, Inc. – Class A * | 1,033,113 | ||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 5.9% |
||||||||||
| 6,375 | Applied Materials, Inc. | 954,848 | ||||||||
| 300,952 | Intel Corp. | 13,452,554 | ||||||||
| 70,740 | QUALCOMM, Inc. | 9,128,997 | ||||||||
| 19,447 | Skyworks Solutions, Inc. | 1,884,998 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 25,421,397 | |||||||||
|
|
|
|||||||||
| Software & Services — 3.4% | ||||||||||
| 46,933 | Cognizant Technology Solutions Corp. – Class A | 3,303,145 | ||||||||
| 58,193 | International Business Machines Corp. | 9,227,082 | ||||||||
| 16,338 | Oracle Corp. | 1,898,639 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 14,428,866 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 4.9% | ||||||||||
| 15,111 | Arrow Electronics, Inc. * | 1,791,560 | ||||||||
| 14,306 | Avnet, Inc. | 668,949 | ||||||||
| 178,285 | Cisco Systems, Inc. | 8,625,428 | ||||||||
| 12,364 | Crane NXT Co. | 636,251 | ||||||||
| 186,122 | Hewlett Packard Enterprise Co. | 3,147,323 | ||||||||
| 145,602 | HP, Inc. | 4,271,963 | ||||||||
| 16,195 | NetApp, Inc. | 1,480,061 | ||||||||
| 12,000 | Sensata Technologies Holding PLC | 390,120 | ||||||||
| 10,290 | Xerox Holdings Corp. | 143,957 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 21,155,612 | |||||||||
|
|
|
|||||||||
| Telecommunication Services — 2.4% | ||||||||||
| 267,899 | Verizon Communications, Inc. | 10,268,569 | ||||||||
|
|
|
|||||||||
GMO U.S. Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Transportation — 0.1% | ||||||||||
| 1,868 | Matson, Inc. | 178,898 | ||||||||
| 5,762 | Schneider National, Inc. – Class B | 132,699 | ||||||||
|
|
|
|||||||||
| Total Transportation | 311,597 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $420,795,018) |
424,034,746 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 1.2% | ||||||||||
| Affiliated Issuers — 1.2% | ||||||||||
| 977,294 | GMO U.S. Treasury Fund | 4,886,472 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $4,886,472) |
4,886,472 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.0% |
| |||||||||
| Money Market Funds — 0.0% | ||||||||||
| 130,846 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (a) | 130,846 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $130,846) |
130,846 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.9% (Cost $425,812,336) |
429,052,064 | |||||||||
| Other Assets and Liabilities (net) — 0.1% | 403,159 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $429,455,223 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 97.9% | ||||||||||
| Automobiles & Components — 1.3% | ||||||||||
| 4,556 | Dana, Inc. | 60,185 | ||||||||
| 5,133 | Garrett Motion, Inc. * | 37,984 | ||||||||
| 1,102 | Patrick Industries, Inc. | 90,408 | ||||||||
| 3,557 | Winnebago Industries, Inc. | 229,889 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 418,466 | |||||||||
|
|
|
|||||||||
| Banks — 4.0% | ||||||||||
| 2,706 | 1st Source Corp. | 130,781 | ||||||||
| 4,458 | Amalgamated Financial Corp. | 93,618 | ||||||||
| 1,366 | Arrow Financial Corp. | 33,672 | ||||||||
| 12,749 | Associated Banc-Corp. | 226,167 | ||||||||
| 500 | BOK Financial Corp. | 35,885 | ||||||||
| 600 | Capital City Bank Group, Inc. | 16,044 | ||||||||
| 900 | Central Valley Community Bancorp | 15,489 | ||||||||
| 470 | Civista Bancshares, Inc. | 7,356 | ||||||||
| 188 | Comerica, Inc. | 8,501 | ||||||||
| 2,571 | Community Trust Bancorp, Inc. | 102,300 | ||||||||
| 300 | Enterprise Financial Services Corp. | 11,763 | ||||||||
| 1,004 | Financial Institutions, Inc. | 17,430 | ||||||||
| 1,441 | First Community Bankshares, Inc. | 47,063 | ||||||||
| 1,115 | First Financial Bancorp | 22,534 | ||||||||
| 2,252 | First Financial Corp. | 86,139 | ||||||||
| 400 | Great Southern Bancorp, Inc. | 20,324 | ||||||||
| 8,589 | Hanmi Financial Corp. | 142,921 | ||||||||
| 3,074 | Independent Bank Corp. | 66,460 | ||||||||
| 2,896 | Midland States Bancorp, Inc. | 65,392 | ||||||||
| 1,200 | MidWestOne Financial Group, Inc. | 25,272 | ||||||||
| 613 | Republic Bancorp, Inc. – Class A | 28,780 | ||||||||
| 2,089 | Towne Bank | 54,857 | ||||||||
|
|
|
|||||||||
| Total Banks | 1,258,748 | |||||||||
|
|
|
|||||||||
| Capital Goods — 8.8% | ||||||||||
| 430 | AGCO Corp. | 48,818 | ||||||||
| 8,528 | Allison Transmission Holdings, Inc. | 456,077 | ||||||||
| 1,009 | American Woodmark Corp. * | 73,052 | ||||||||
| 5,100 | Apogee Enterprises, Inc. | 230,010 | ||||||||
| 272 | BlueLinx Holdings, Inc. * | 23,895 | ||||||||
| 1,133 | Boise Cascade Co. | 123,837 | ||||||||
| 350 | Columbus McKinnon Corp. | 12,222 | ||||||||
| 1,043 | Gibraltar Industries, Inc. * | 70,079 | ||||||||
| 360 | Global Industrial Co. | 12,820 | ||||||||
| 409 | GMS, Inc. * | 27,665 | ||||||||
| 1,941 | Griffon Corp. | 90,315 | ||||||||
| 2,070 | Hyster-Yale Materials Handling, Inc. | 98,677 | ||||||||
| 6,527 | JELD-WEN Holding, Inc. * | 104,301 | ||||||||
| 1,300 | Manitowoc Co., Inc. * | 18,629 | ||||||||
| 1,340 | Miller Industries, Inc. | 53,252 | ||||||||
| 1,987 | Moog, Inc. – Class A | 278,200 | ||||||||
| 33,300 | MRC Global, Inc. * | 344,322 | ||||||||
| 79 | MYR Group, Inc. * | 9,829 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Capital Goods — continued | ||||||||||
| 566 | nVent Electric PLC | 30,139 | ||||||||
| 1,152 | Park-Ohio Holdings Corp. | 26,231 | ||||||||
| 539 | Preformed Line Products Co. | 67,165 | ||||||||
| 1,472 | Primoris Services Corp. | 44,690 | ||||||||
| 300 | Rush Enterprises, Inc. – Class B | 13,083 | ||||||||
| 806 | Tennant Co. | 69,010 | ||||||||
| 3,231 | Terex Corp. | 159,934 | ||||||||
| 3,096 | Timken Co. | 224,150 | ||||||||
| 224 | UFP Industries, Inc. | 24,557 | ||||||||
| 22 | Wabash National Corp. | 482 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 2,735,441 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 6.2% | ||||||||||
| 33,149 | ACCO Brands Corp. | 178,342 | ||||||||
| 800 | Barrett Business Services, Inc. | 87,960 | ||||||||
| 5,107 | Brady Corp. – Class A | 287,371 | ||||||||
| 1,729 | Cimpress PLC* | 121,877 | ||||||||
| 2,986 | CSG Systems International, Inc. | 146,881 | ||||||||
| 10,995 | Deluxe Corp. | 201,098 | ||||||||
| 1,750 | GEO Group, Inc. * | 17,762 | ||||||||
| 4,971 | Heidrick & Struggles International, Inc. | 135,112 | ||||||||
| 2,985 | HNI Corp. | 116,624 | ||||||||
| 706 | ICF International, Inc. | 98,805 | ||||||||
| 7,365 | Kelly Services, Inc. – Class A | 153,118 | ||||||||
| 953 | ManpowerGroup, Inc. | 70,722 | ||||||||
| 1,175 | MillerKnoll, Inc. | 30,315 | ||||||||
| 10,690 | Resources Connection, Inc. | 145,384 | ||||||||
| 10,947 | Steelcase, Inc. – Class A | 134,758 | ||||||||
| 1,052 | TrueBlue, Inc. * | 14,665 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 1,940,794 | |||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 10.2% |
||||||||||
| 1,801 | 1-800-Flowers.com, Inc. – Class A * | 15,903 | ||||||||
| 12,500 | Aaron’s Co., Inc. | 110,125 | ||||||||
| 2,910 | American Eagle Outfitters, Inc. | 55,377 | ||||||||
| 321 | Asbury Automotive Group, Inc. * | 67,352 | ||||||||
| 745 | AutoNation, Inc. * | 100,776 | ||||||||
| 2,034 | Caleres, Inc. | 61,752 | ||||||||
| 3,820 | Cato Corp. – Class A | 26,434 | ||||||||
| 3,978 | Chico’s FAS, Inc. * | 29,994 | ||||||||
| 15,437 | Container Store Group, Inc. * | 29,022 | ||||||||
| 6,487 | Genesco, Inc. * | 242,419 | ||||||||
| 3,068 | Group 1 Automotive, Inc. | 865,483 | ||||||||
| 4,807 | Haverty Furniture Cos., Inc. | 150,651 | ||||||||
| 1,692 | Lands’ End, Inc. * | 11,946 | ||||||||
| 3,465 | ODP Corp. * | 157,831 | ||||||||
| 9,410 | Sally Beauty Holdings, Inc. * | 90,995 | ||||||||
| 9,848 | Shoe Carnival, Inc. | 239,208 | ||||||||
| 2,607 | Signet Jewelers Ltd. | 214,243 | ||||||||
| 1,748 | Sleep Number Corp. * | 17,725 | ||||||||
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Consumer Discretionary Distribution & Retail — continued |
||||||||||
| 498 | Sonic Automotive, Inc. – Class A | 25,532 | ||||||||
| 17,945 | Urban Outfitters, Inc. * | 640,637 | ||||||||
| 494 | Weyco Group, Inc. | 14,548 | ||||||||
|
|
|
|||||||||
| Total Consumer Discretionary Distribution & Retail | 3,167,953 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 11.1% | ||||||||||
| 1,022 | Acushnet Holdings Corp. | 57,743 | ||||||||
| 1,136 | Bassett Furniture Industries, Inc. | 18,767 | ||||||||
| 1,107 | Beazer Homes USA, Inc. * | 29,125 | ||||||||
| 430 | Brunswick Corp. | 33,914 | ||||||||
| 10,689 | Ethan Allen Interiors, Inc. | 286,893 | ||||||||
| 8,497 | G-III Apparel Group Ltd. * | 244,459 | ||||||||
| 2,286 | Hooker Furnishings Corp. | 40,874 | ||||||||
| 1,523 | Johnson Outdoors, Inc. – Class A | 80,018 | ||||||||
| 1,157 | KB Home | 60,280 | ||||||||
| 14,891 | La-Z-Boy, Inc. | 524,014 | ||||||||
| 441 | M/I Homes, Inc. * | 46,530 | ||||||||
| 591 | Malibu Boats, Inc. – Class A * | 26,146 | ||||||||
| 3,200 | MasterCraft Boat Holdings, Inc. * | 64,000 | ||||||||
| 5,469 | Movado Group, Inc. | 143,014 | ||||||||
| 2,605 | Oxford Industries, Inc. | 235,570 | ||||||||
| 4,823 | PVH Corp. | 471,593 | ||||||||
| 9,800 | Taylor Morrison Home Corp. * | 441,980 | ||||||||
| 1,631 | Toll Brothers, Inc. | 140,087 | ||||||||
| 11,892 | Tri Pointe Homes, Inc. * | 347,009 | ||||||||
| 3,569 | Universal Electronics, Inc. * | 27,802 | ||||||||
| 11,651 | Vera Bradley, Inc. * | 87,499 | ||||||||
| 639 | Vista Outdoor, Inc. * | 18,026 | ||||||||
| 1,300 | VOXX International Corp. * | 13,962 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 3,439,305 | |||||||||
|
|
|
|||||||||
| Consumer Services — 1.6% | ||||||||||
| 2,021 | Adtalem Global Education, Inc. * | 115,136 | ||||||||
| 16,861 | Perdoceo Education Corp. | 293,719 | ||||||||
| 1,495 | Stride, Inc. * | 90,567 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 499,422 | |||||||||
|
|
|
|||||||||
| Consumer Staples Distribution & Retail — 0.4% | ||||||||||
| 3,859 | SpartanNash Co. | 85,554 | ||||||||
| 1,140 | Village Super Market, Inc. – Class A | 28,682 | ||||||||
|
|
|
|||||||||
| Total Consumer Staples Distribution & Retail | 114,236 | |||||||||
|
|
|
|||||||||
| Energy — 6.9% | ||||||||||
| 1,604 | Atlas Energy Solutions, Inc. | 27,364 | ||||||||
| 1,555 | California Resources Corp. | 79,632 | ||||||||
| 1,747 | Callon Petroleum Co. * | 54,629 | ||||||||
| 1,445 | Dril-Quip, Inc. * | 32,108 | ||||||||
| 1,017 | Evolution Petroleum Corp. | 6,031 | ||||||||
| 2,085 | Gulfport Energy Corp. * | 285,728 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Energy — continued | ||||||||||
| 2,332 | Murphy Oil Corp. | 99,740 | ||||||||
| 26,100 | Oil States International, Inc. * | 179,829 | ||||||||
| 2,865 | Overseas Shipholding Group, Inc. – Class A * | 13,895 | ||||||||
| 6,300 | PBF Energy, Inc. | 279,720 | ||||||||
| 25,014 | Permian Resources Corp. | 328,684 | ||||||||
| 4,563 | SM Energy Co. | 170,884 | ||||||||
| 7,425 | Southwestern Energy Co. * | 48,931 | ||||||||
| 2,926 | Vitesse Energy, Inc. | 69,141 | ||||||||
| 22,197 | World Kinect Corp. | 467,025 | ||||||||
|
|
|
|||||||||
| Total Energy | 2,143,341 | |||||||||
|
|
|
|||||||||
| Equity Real Estate Investment Trusts (REITs) — 6.8% |
||||||||||
| 2,428 | Acadia Realty Trust – (REIT) | 36,711 | ||||||||
| 3,364 | Alexander & Baldwin, Inc. | 56,347 | ||||||||
| 948 | American Assets Trust, Inc. – (REIT) | 19,093 | ||||||||
| 24,473 | Anywhere Real Estate, Inc.* | 131,665 | ||||||||
| 24,154 | Apple Hospitality REIT, Inc. | 402,647 | ||||||||
| 4,632 | Armada Hoffler Properties, Inc. – (REIT) | 50,859 | ||||||||
| 3,034 | Brixmor Property Group, Inc. – (REIT) | 65,292 | ||||||||
| 2,307 | Chatham Lodging Trust – (REIT) | 22,863 | ||||||||
| 56,524 | Diversified Healthcare Trust – (REIT) | 132,266 | ||||||||
| 3,578 | Empire State Realty Trust, Inc. – (REIT) | 32,059 | ||||||||
| 19,352 | Industrial Logistics Properties Trust – (REIT) | 65,603 | ||||||||
| 1,443 | Kilroy Realty Corp. – (REIT) | 47,590 | ||||||||
| 22,017 | Park Hotels & Resorts, Inc. – (REIT) | 326,512 | ||||||||
| 27,400 | Piedmont Office Realty Trust, Inc. – Class A , (REIT) | 170,428 | ||||||||
| 3,588 | PotlatchDeltic Corp. – (REIT) | 164,474 | ||||||||
| 6,516 | RPT Realty – (REIT) | 75,716 | ||||||||
| 23,300 | Service Properties Trust – (REIT) | 166,595 | ||||||||
| 1,043 | Summit Hotel Properties, Inc. – (REIT) | 6,529 | ||||||||
| 9,158 | Sunstone Hotel Investors, Inc. – (REIT) | 90,481 | ||||||||
| 4,000 | Whitestone – (REIT) | 43,840 | ||||||||
|
|
|
|||||||||
| Total Equity Real Estate Investment Trusts (REITs) | 2,107,570 | |||||||||
|
|
|
|||||||||
| Financial Services — 11.7% | ||||||||||
| 4,785 | A-Mark Precious Metals, Inc. | 137,138 | ||||||||
| 626 | Bread Financial Holdings, Inc. | 17,591 | ||||||||
| 1,220 | Brightsphere Investment Group, Inc. | 21,289 | ||||||||
| 2,305 | Curo Group Holdings Corp.* | 1,728 | ||||||||
| 308 | Diamond Hill Investment Group, Inc. | 49,462 | ||||||||
| 8,588 | Donnelley Financial Solutions, Inc. * | 506,864 | ||||||||
| 1,249 | Enact Holdings, Inc. | 34,610 | ||||||||
| 896 | Encore Capital Group, Inc. * | 40,141 | ||||||||
| 9,509 | Enova International, Inc. * | 391,771 | ||||||||
| 2,815 | Essent Group Ltd. | 136,077 | ||||||||
| 47 | Federal Agricultural Mortgage Corp. – Class C | 7,794 | ||||||||
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Financial Services — continued | ||||||||||
| 1,008 | Green Dot Corp. – Class A * | 8,084 | ||||||||
| 5,903 | Jackson Financial, Inc. – Class A | 281,750 | ||||||||
| 6,997 | Janus Henderson Group PLC | 183,251 | ||||||||
| 5,411 | LendingTree, Inc. * | 95,775 | ||||||||
| 25,867 | MGIC Investment Corp. | 455,000 | ||||||||
| 2,836 | NMI Holdings, Inc. * | 77,990 | ||||||||
| 2,539 | Oppenheimer Holdings, Inc. – Class A | 101,077 | ||||||||
| 1,168 | PennyMac Financial Services, Inc. | 90,859 | ||||||||
| 6,296 | PROG Holdings, Inc. * | 171,629 | ||||||||
| 22,460 | Radian Group, Inc. | 577,447 | ||||||||
| 1,499 | Regional Management Corp. | 33,158 | ||||||||
| 1,415 | SLM Corp. | 21,267 | ||||||||
| 4,227 | Victory Capital Holdings, Inc. – Class A | 135,898 | ||||||||
| 2,367 | Waterstone Financial, Inc. | 28,901 | ||||||||
| 1,274 | Western Union Co. | 14,817 | ||||||||
| 914 | Westwood Holdings Group, Inc. | 10,054 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 3,631,422 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 1.4% | ||||||||||
| 2,444 | Seneca Foods Corp. – Class A * | 119,438 | ||||||||
| 450 | Turning Point Brands, Inc. | 10,274 | ||||||||
| 5,353 | Universal Corp. | 301,160 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 430,872 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 2.0% | ||||||||||
| 703 | Eargo, Inc. * | 1,835 | ||||||||
| 3,409 | HealthStream, Inc. | 85,225 | ||||||||
| 15,676 | Patterson Cos., Inc. | 398,327 | ||||||||
| 2,067 | Varex Imaging Corp. * | 38,963 | ||||||||
| 8,700 | Zimvie, Inc. * | 82,215 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 606,565 | |||||||||
|
|
|
|||||||||
| Household & Personal Products — 0.3% | ||||||||||
| 2,753 | Edgewell Personal Care Co. | 95,832 | ||||||||
|
|
|
|||||||||
| Insurance — 6.0% | ||||||||||
| 408 | AMERISAFE, Inc. | 19,649 | ||||||||
| 15,333 | CNO Financial Group, Inc. | 406,324 | ||||||||
| 1,142 | Employers Holdings, Inc. | 43,750 | ||||||||
| 10,024 | Genworth Financial, Inc. – Class A * | 59,041 | ||||||||
| 251 | GoHealth, Inc. – Class A * | 3,233 | ||||||||
| 684 | Horace Mann Educators Corp. | 22,887 | ||||||||
| 10,002 | Old Republic International Corp. | 293,159 | ||||||||
| 355 | Primerica, Inc. | 74,376 | ||||||||
| 403 | Reinsurance Group of America, Inc. | 65,713 | ||||||||
| 4,600 | Selectquote, Inc. * | 5,796 | ||||||||
| 8,054 | Stewart Information Services Corp. | 380,552 | ||||||||
| 1,400 | Universal Insurance Holdings, Inc. | 23,744 | ||||||||
| 10,520 | Unum Group | 452,360 | ||||||||
|
|
|
|||||||||
| Total Insurance | 1,850,584 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Materials — 6.7% | ||||||||||
| 1,514 | AdvanSix, Inc. | 39,561 | ||||||||
| 2,264 | Carpenter Technology Corp. | 160,314 | ||||||||
| 3,823 | Commercial Metals Co. | 173,297 | ||||||||
| 3,519 | Koppers Holdings, Inc. | 158,953 | ||||||||
| 1,120 | NewMarket Corp. | 594,171 | ||||||||
| 4,120 | O-I Glass, Inc. * | 60,811 | ||||||||
| 1,081 | Olympic Steel, Inc. | 61,109 | ||||||||
| 9,300 | Ryerson Holding Corp. | 288,021 | ||||||||
| 2,981 | Schnitzer Steel Industries, Inc. – Class A | 76,403 | ||||||||
| 2,620 | Sylvamo Corp. | 131,734 | ||||||||
| 6,127 | Warrior Met Coal, Inc. | 342,928 | ||||||||
|
|
|
|||||||||
| Total Materials | 2,087,302 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 3.1% | ||||||||||
| 12,311 | AMC Networks, Inc. – Class A * | 187,620 | ||||||||
| 240 | Lee Enterprises, Inc. * | 2,729 | ||||||||
| 6,255 | Scholastic Corp. | 237,627 | ||||||||
| 2,967 | Shutterstock, Inc. | 130,281 | ||||||||
| 11,019 | Vimeo, Inc. * | 38,787 | ||||||||
| 8,126 | Yelp, Inc. * | 355,187 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 952,231 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 1.1% |
||||||||||
| 6,929 | Organon & Co. | 78,436 | ||||||||
| 700 | Phibro Animal Health Corp. – Class A | 6,713 | ||||||||
| 4,260 | Prestige Consumer Healthcare, Inc. * | 244,311 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 329,460 | |||||||||
|
|
|
|||||||||
| Real Estate Management & Development — 0.2% | ||||||||||
| 12,743 | Douglas Elliman, Inc. | 24,849 | ||||||||
| 496 | Forestar Group, Inc. * | 15,143 | ||||||||
| 824 | Marcus & Millichap, Inc. | 28,354 | ||||||||
|
|
|
|||||||||
| Total Real Estate Management & Development | 68,346 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 0.7% |
||||||||||
| 5,242 | Amkor Technology, Inc. | 147,667 | ||||||||
| 1,250 | Kulicke & Soffa Industries, Inc. | 64,400 | ||||||||
| 1,077 | SMART Global Holdings, Inc. * | 17,943 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 230,010 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 6.9% | ||||||||||
| 12,313 | Avnet, Inc. | 575,756 | ||||||||
| 169 | Bel Fuse, Inc. – Class B | 9,143 | ||||||||
| 3,516 | Belden, Inc. | 233,603 | ||||||||
| 8,619 | Benchmark Electronics, Inc. | 215,044 | ||||||||
| 3,524 | Daktronics, Inc. * | 36,755 | ||||||||
| 575 | ePlus, Inc. * | 36,501 | ||||||||
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Technology Hardware & Equipment — continued | ||||||||||
| 2,978 | Kimball Electronics, Inc. * | 73,378 | ||||||||
| 3,783 | Sanmina Corp. * | 189,566 | ||||||||
| 2,413 | ScanSource, Inc. * | 80,667 | ||||||||
| 11,875 | Vishay Intertechnology, Inc. | 263,981 | ||||||||
| 3,834 | Vontier Corp. | 129,321 | ||||||||
| 20,410 | Xerox Holdings Corp. | 285,536 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 2,129,251 | |||||||||
|
|
|
|||||||||
| Telecommunication Services — 0.4% | ||||||||||
| 5,621 | Spok Holdings, Inc. | 94,208 | ||||||||
| 2,293 | Telephone & Data Systems, Inc. | 45,172 | ||||||||
|
|
|
|||||||||
| Total Telecommunication Services | 139,380 | |||||||||
|
|
|
|||||||||
| Transportation — 0.1% | ||||||||||
| 303 | Matson, Inc. | 29,018 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $30,135,762) |
30,405,549 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 1.6% | ||||||||||
| Affiliated Issuers — 1.6% | ||||||||||
| 99,766 | GMO U.S. Treasury Fund | 498,828 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $498,828) |
498,828 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.1% | ||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 0.1% |
||||||||||
| 72,700 | Achillion Pharmaceuticals, Inc. CVR * (a) | 36,350 | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $33,442) |
36,350 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.5% | ||||||||||
| Money Market Funds — 0.5% | ||||||||||
| 158,811 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (b) | 158,811 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $158,811) |
158,811 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $30,826,843) |
31,099,538 | |||||||||
| Other Assets and Liabilities (net) — (0.1)% | (19,226 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $31,080,312 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | Investment valued using significant unobservable inputs. |
| (b) | The rate disclosed is the 7 day net yield as of November 30, 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, 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 closing 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 non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 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 equity securities valued off the last traded price with a discount for liquidity; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2023:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Climate Change Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 6,709,704 | $ | — | $ | — | $ | 6,709,704 | ||||||||
| Australia |
— | 642,905 | — | 642,905 | ||||||||||||
| Brazil |
— | 14,125,014 | — | 14,125,014 | ||||||||||||
| Canada |
70,355,533 | — | — | 70,355,533 | ||||||||||||
| China |
4,582,617 | 7,333,891 | — | 11,916,508 | ||||||||||||
| Denmark |
— | 34,357,423 | — | 34,357,423 | ||||||||||||
| Finland |
— | 7,986,970 | — | 7,986,970 | ||||||||||||
| France |
— | 87,446,350 | — | 87,446,350 | ||||||||||||
| Germany |
— | 30,757,122 | — | 30,757,122 | ||||||||||||
| Ireland |
— | 2,517,845 | — | 2,517,845 | ||||||||||||
| Isle of Man |
4,489,600 | — | — | 4,489,600 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Climate Change Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Israel |
$ | — | $ | 2,684,149 | $ | — | $ | 2,684,149 | ||||||||
| Italy |
— | 5,666,505 | — | 5,666,505 | ||||||||||||
| Japan |
— | 40,418,417 | — | 40,418,417 | ||||||||||||
| Mexico |
17,185,649 | — | — | 17,185,649 | ||||||||||||
| Netherlands |
— | 5,303,416 | — | 5,303,416 | ||||||||||||
| Norway |
— | 4,459,138 | — | 4,459,138 | ||||||||||||
| Russia |
— | — | 241,190 | 241,190 | ||||||||||||
| South Korea |
— | 52,270,045 | — | 52,270,045 | ||||||||||||
| Spain |
— | 17,316,880 | — | 17,316,880 | ||||||||||||
| Sweden |
— | 3,421,150 | — | 3,421,150 | ||||||||||||
| Switzerland |
— | 2,128,831 | — | 2,128,831 | ||||||||||||
| Ukraine |
— | 398,507 | — | 398,507 | ||||||||||||
| United Kingdom |
— | 3,060,345 | — | 3,060,345 | ||||||||||||
| United States |
328,355,537 | — | — | 328,355,537 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
431,678,640 | 322,294,903 | 241,190 | 754,214,733 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Chile |
13,264,164 | — | — | 13,264,164 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
13,264,164 | — | — | 13,264,164 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
35,161,673 | — | — | 35,161,673 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
35,161,673 | — | — | 35,161,673 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
45,724 | — | — | 45,724 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
480,150,201 | 322,294,903 | 241,190 | 802,686,294 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 480,150,201 | $ | 322,294,903 | $ | 241,190 | $ | 802,686,294 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Markets ex-China Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Brazil |
$ | 1,092,246 | $ | 7,332,075 | $ | — | $ | 8,424,321 | ||||||||
| Chile |
— | 1,101,175 | — | 1,101,175 | ||||||||||||
| Czech Republic |
— | 496,465 | — | 496,465 | ||||||||||||
| Egypt |
— | 1,473,183 | — | 1,473,183 | ||||||||||||
| Hungary |
— | 6,884,364 | — | 6,884,364 | ||||||||||||
| India |
2,372,411 | 24,449,901 | — | 26,822,312 | ||||||||||||
| Indonesia |
— | 10,174,028 | — | 10,174,028 | ||||||||||||
| Malaysia |
— | 239,611 | — | 239,611 | ||||||||||||
| Mexico |
14,683,726 | — | 0 | § | 14,683,726 | |||||||||||
| Pakistan |
— | 413,235 | — | 413,235 | ||||||||||||
| Poland |
— | 7,283,044 | — | 7,283,044 | ||||||||||||
| Russia |
— | — | 467,983 | 467,983 | ||||||||||||
| South Africa |
596,432 | 21,747,706 | — | 22,344,138 | ||||||||||||
| South Korea |
— | 26,912,268 | — | 26,912,268 | ||||||||||||
| Taiwan |
6,881,500 | 50,142,586 | — | 57,024,086 | ||||||||||||
| Thailand |
— | 3,389,548 | — | 3,389,548 | ||||||||||||
| Vietnam |
— | 5,385,999 | — | 5,385,999 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
25,626,315 | 167,425,188 | 467,983 | 193,519,486 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
1,830,608 | 11,164,214 | — | 12,994,822 | ||||||||||||
| Colombia |
601,462 | — | — | 601,462 | ||||||||||||
| Russia |
— | — | 30,961 | 30,961 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
2,432,070 | 11,164,214 | 30,961 | 13,627,245 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
3,312,228 | — | — | 3,312,228 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
3,312,228 | — | — | 3,312,228 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
31,370,613 | 178,589,402 | 498,944 | 210,458,959 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 31,370,613 | $ | 178,589,402 | $ | 498,944 | $ | 210,458,959 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Emerging Markets Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Brazil |
$ | 5,190,273 | $ | 10,627,268 | $ | — | $ | 15,817,541 | ||||||||
| Chile |
— | 481,072 | — | 481,072 | ||||||||||||
| China |
14,342,547 | 119,193,308 | 1 | 133,535,856 | ||||||||||||
| Czech Republic |
— | 1,649,899 | — | 1,649,899 | ||||||||||||
| Egypt |
— | 1,202,671 | — | 1,202,671 | ||||||||||||
| Hungary |
— | 16,725,414 | — | 16,725,414 | ||||||||||||
| India |
— | 35,136,172 | — | 35,136,172 | ||||||||||||
| Indonesia |
— | 9,549,702 | — | 9,549,702 | ||||||||||||
| Kuwait |
— | 380,941 | — | 380,941 | ||||||||||||
| Malaysia |
— | 676,450 | — | 676,450 | ||||||||||||
| Mexico |
29,193,324 | — | 0 | § | 29,193,324 | |||||||||||
| Pakistan |
— | 1,356,676 | — | 1,356,676 | ||||||||||||
| Panama |
80,432 | — | — | 80,432 | ||||||||||||
| Philippines |
— | 321,638 | — | 321,638 | ||||||||||||
| Poland |
— | 8,009,709 | — | 8,009,709 | ||||||||||||
| Qatar |
— | 449,195 | — | 449,195 | ||||||||||||
| Russia |
— | — | 2,118,210 | 2,118,210 | ||||||||||||
| Saudi Arabia |
— | 551,406 | — | 551,406 | ||||||||||||
| South Africa |
— | 46,345,316 | — | 46,345,316 | ||||||||||||
| South Korea |
— | 21,323,772 | — | 21,323,772 | ||||||||||||
| Sri Lanka |
— | — | 284,885 | 284,885 | ||||||||||||
| Taiwan |
1,956,848 | 110,727,769 | — | 112,684,617 | ||||||||||||
| Thailand |
— | 2,548,672 | — | 2,548,672 | ||||||||||||
| Vietnam |
— | 11,604,610 | — | 11,604,610 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
50,763,424 | 398,861,660 | 2,403,096 | 452,028,180 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 26,443,368 | — | 26,443,368 | ||||||||||||
| Colombia |
1,986,480 | — | — | 1,986,480 | ||||||||||||
| Russia |
— | — | 537,825 | 537,825 | ||||||||||||
| South Korea |
— | 22,616,383 | — | 22,616,383 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
1,986,480 | 49,059,751 | 537,825 | 51,584,056 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| China |
23,460 | — | — | 23,460 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
23,460 | — | — | 23,460 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
1,001,254 | — | — | 1,001,254 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
1,001,254 | — | — | 1,001,254 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
740,186 | — | — | 740,186 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
740,186 | — | — | 740,186 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
54,514,804 | 447,921,411 | 2,940,921 | 505,377,136 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 54,514,804 | $ | 447,921,411 | $ | 2,940,921 | $ | 505,377,136 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | (16,581 | ) | $ | — | $ | — | $ | (16,581 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (16,581 | ) | $ | — | $ | — | $ | (16,581 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Equity Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 35,974,118 | $ | — | $ | 35,974,118 | ||||||||
| Austria |
— | 1,322,209 | — | 1,322,209 | ||||||||||||
| Belgium |
— | 17,860,789 | — | 17,860,789 | ||||||||||||
| Denmark |
— | 520,748 | — | 520,748 | ||||||||||||
| Finland |
— | 4,781,022 | — | 4,781,022 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| International Equity Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| France |
$ | 24,472,019 | $ | 120,809,226 | $ | — | $ | 145,281,245 | ||||||||
| Germany |
— | 39,809,476 | — | 39,809,476 | ||||||||||||
| Hong Kong |
— | 12,779,269 | — | 12,779,269 | ||||||||||||
| Ireland |
1,244,270 | 8,255,686 | — | 9,499,956 | ||||||||||||
| Italy |
— | 65,048,954 | — | 65,048,954 | ||||||||||||
| Japan |
2,607,786 | 258,993,388 | — | 261,601,174 | ||||||||||||
| Netherlands |
— | 57,755,751 | — | 57,755,751 | ||||||||||||
| Norway |
— | 31,168,743 | — | 31,168,743 | ||||||||||||
| Portugal |
— | 2,895,043 | — | 2,895,043 | ||||||||||||
| Singapore |
— | 31,486,243 | — | 31,486,243 | ||||||||||||
| Spain |
— | 71,277,435 | — | 71,277,435 | ||||||||||||
| Sweden |
— | 6,906,557 | — | 6,906,557 | ||||||||||||
| Switzerland |
32,185,812 | 28,927,743 | — | 61,113,555 | ||||||||||||
| United Kingdom |
13,505,489 | 121,988,796 | — | 135,494,285 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
74,015,376 | 918,561,196 | — | 992,576,572 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | 7,095,995 | — | 7,095,995 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 7,095,995 | — | 7,095,995 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
1,000,033 | — | — | 1,000,033 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
1,000,033 | — | — | 1,000,033 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
71,346,735 | — | — | 71,346,735 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
71,346,735 | — | — | 71,346,735 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
1,058,364 | — | — | 1,058,364 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
147,420,508 | 925,657,191 | — | 1,073,077,699 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
61,839 | — | — | 61,839 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 147,482,347 | $ | 925,657,191 | $ | — | $ | 1,073,139,538 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund) | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 15,581,018 | $ | — | $ | 15,581,018 | ||||||||
| Austria |
— | 2,118,921 | — | 2,118,921 | ||||||||||||
| Belgium |
— | 3,131,372 | — | 3,131,372 | ||||||||||||
| Canada |
34,416,778 | — | — | 34,416,778 | ||||||||||||
| Denmark |
— | 5,435,185 | — | 5,435,185 | ||||||||||||
| Finland |
— | 7,349,758 | — | 7,349,758 | ||||||||||||
| France |
1,920,608 | 39,041,230 | — | 40,961,838 | ||||||||||||
| Germany |
— | 11,847,849 | — | 11,847,849 | ||||||||||||
| Hong Kong |
— | 8,710,856 | — | 8,710,856 | ||||||||||||
| Italy |
439,997 | 13,853,232 | — | 14,293,229 | ||||||||||||
| Japan |
4,786,425 | 59,134,369 | — | 63,920,794 | ||||||||||||
| Netherlands |
— | 12,701,372 | — | 12,701,372 | ||||||||||||
| Norway |
— | 4,066,087 | — | 4,066,087 | ||||||||||||
| Portugal |
— | 4,534 | — | 4,534 | ||||||||||||
| Russia |
— | — | 34 | 34 | ||||||||||||
| Singapore |
— | 1,138,266 | — | 1,138,266 | ||||||||||||
| Spain |
— | 15,918,747 | — | 15,918,747 | ||||||||||||
| Sweden |
— | 9,235,704 | — | 9,235,704 | ||||||||||||
| Switzerland |
5,375,439 | 12,570,148 | — | 17,945,587 | ||||||||||||
| United Kingdom |
25,852,623 | 12,360,009 | — | 38,212,632 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
72,791,870 | 234,198,657 | 34 | 306,990,561 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund) (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
$ | — | $ | 874,608 | $ | — | $ | 874,608 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 874,608 | — | 874,608 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
5,130,000 | — | — | 5,130,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
5,130,000 | — | — | 5,130,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
323,686 | — | — | 323,686 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
78,245,556 | 235,073,265 | 34 | 313,318,855 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 78,245,556 | $ | 235,073,265 | $ | 34 | $ | 313,318,855 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Japan Value Creation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | — | $ | 104,100,083 | $ | — | $ | 104,100,083 | ||||||||
| Short-Term Investments |
2,219,096 | — | — | 2,219,096 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
2,219,096 | 104,100,083 | — | 106,319,179 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 2,219,096 | $ | 104,100,083 | $ | — | $ | 106,319,179 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Quality Cyclicals Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Brazil |
$ | — | $ | 144,068 | $ | — | $ | 144,068 | ||||||||
| Canada |
3,442,552 | — | — | 3,442,552 | ||||||||||||
| China |
— | 1,849,115 | — | 1,849,115 | ||||||||||||
| Finland |
— | 1,390,558 | — | 1,390,558 | ||||||||||||
| France |
— | 4,467,446 | — | 4,467,446 | ||||||||||||
| Germany |
— | 1,830,543 | — | 1,830,543 | ||||||||||||
| Hong Kong |
— | 957,420 | — | 957,420 | ||||||||||||
| Ireland |
2,583,225 | — | — | 2,583,225 | ||||||||||||
| Mexico |
5,177,434 | — | — | 5,177,434 | ||||||||||||
| Russia |
— | — | 39,367 | 39,367 | ||||||||||||
| Spain |
— | 4,548,133 | — | 4,548,133 | ||||||||||||
| United Kingdom |
— | 6,903,202 | — | 6,903,202 | ||||||||||||
| United States |
37,158,909 | — | — | 37,158,909 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
48,362,120 | 22,090,485 | 39,367 | 70,491,972 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 1,215,129 | — | 1,215,129 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 1,215,129 | — | 1,215,129 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
227,027 | — | — | 227,027 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
227,027 | — | — | 227,027 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
322,154 | — | — | 322,154 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
48,911,301 | 23,305,614 | 39,367 | 72,256,282 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 48,911,301 | $ | 23,305,614 | $ | 39,367 | $ | 72,256,282 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Quality Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| China |
$ | — | $ | 71,377,261 | $ | — | $ | 71,377,261 | ||||||||
| France |
— | 359,467,773 | — | 359,467,773 | ||||||||||||
| Germany |
— | 280,713,015 | — | 280,713,015 | ||||||||||||
| Spain |
— | 56,096,269 | — | 56,096,269 | ||||||||||||
| Switzerland |
— | 232,587,402 | — | 232,587,402 | ||||||||||||
| Taiwan |
— | 213,428,603 | — | 213,428,603 | ||||||||||||
| United Kingdom |
— | 456,489,652 | — | 456,489,652 | ||||||||||||
| United States |
6,261,093,534 | — | — | 6,261,093,534 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
6,261,093,534 | 1,670,159,975 | — | 7,931,253,509 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Quality Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Mutual Funds |
||||||||||||||||
| United States |
$ | 251,569,053 | $ | — | $ | — | $ | 251,569,053 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
251,569,053 | — | — | 251,569,053 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
3,130,272 | — | — | 3,130,272 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
6,515,792,859 | 1,670,159,975 | — | 8,185,952,834 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 6,515,792,859 | $ | 1,670,159,975 | $ | — | $ | 8,185,952,834 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Resource Transition Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 2,288,768 | $ | — | $ | — | $ | 2,288,768 | ||||||||
| Australia |
— | 2,365,840 | — | 2,365,840 | ||||||||||||
| Brazil |
— | 7,446,560 | — | 7,446,560 | ||||||||||||
| Canada |
22,610,924 | — | — | 22,610,924 | ||||||||||||
| China |
— | 4,002,357 | — | 4,002,357 | ||||||||||||
| Denmark |
— | 4,812,758 | — | 4,812,758 | ||||||||||||
| Finland |
— | 1,903,885 | — | 1,903,885 | ||||||||||||
| France |
— | 6,416,558 | — | 6,416,558 | ||||||||||||
| Israel |
— | 559,013 | — | 559,013 | ||||||||||||
| Italy |
— | 793,007 | — | 793,007 | ||||||||||||
| Japan |
— | 4,437,972 | — | 4,437,972 | ||||||||||||
| Mexico |
5,069,423 | — | — | 5,069,423 | ||||||||||||
| Norway |
— | 1,253,332 | — | 1,253,332 | ||||||||||||
| South Africa |
— | 5,417,232 | — | 5,417,232 | ||||||||||||
| Sweden |
— | 4,069,781 | — | 4,069,781 | ||||||||||||
| United Kingdom |
— | 16,736,493 | — | 16,736,493 | ||||||||||||
| United States |
68,781,534 | — | — | 68,781,534 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
98,750,649 | 60,214,788 | — | 158,965,437 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 10,858,757 | — | 10,858,757 | ||||||||||||
| Chile |
5,702,240 | — | — | 5,702,240 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
5,702,240 | 10,858,757 | — | 16,560,997 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
4,274,649 | — | — | 4,274,649 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
4,274,649 | — | — | 4,274,649 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
19,528,026 | — | — | 19,528,026 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
128,255,564 | 71,073,545 | — | 199,329,109 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 128,255,564 | $ | 71,073,545 | $ | — | $ | 199,329,109 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Resources Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 17,203,018 | $ | — | $ | — | $ | 17,203,018 | ||||||||
| Australia |
— | 22,390,380 | — | 22,390,380 | ||||||||||||
| Austria |
— | 23,224,190 | — | 23,224,190 | ||||||||||||
| Brazil |
— | 63,864,060 | — | 63,864,060 | ||||||||||||
| Canada |
178,044,110 | — | — | 178,044,110 | ||||||||||||
| China |
— | 28,021,159 | — | 28,021,159 | ||||||||||||
| Denmark |
— | 36,261,535 | — | 36,261,535 | ||||||||||||
| Finland |
— | 13,516,185 | — | 13,516,185 | ||||||||||||
| France |
— | 47,958,896 | — | 47,958,896 | ||||||||||||
| Hong Kong |
— | 4,414,902 | — | 4,414,902 | ||||||||||||
| Hungary |
— | 14,207,920 | — | 14,207,920 | ||||||||||||
| India |
— | 28,808,701 | — | 28,808,701 | ||||||||||||
| Isle of Man |
11,916,960 | — | — | 11,916,960 | ||||||||||||
| Israel |
— | 4,376,565 | — | 4,376,565 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Resources Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Italy |
$ | — | $ | 48,571,889 | $ | — | $ | 48,571,889 | ||||||||
| Japan |
— | 33,339,621 | — | 33,339,621 | ||||||||||||
| Mexico |
38,028,892 | — | — | 38,028,892 | ||||||||||||
| Norway |
— | 46,162,022 | — | 46,162,022 | ||||||||||||
| Portugal |
— | 70,460,657 | — | 70,460,657 | ||||||||||||
| Russia |
— | — | 1,797,075 | 1,797,075 | ||||||||||||
| Singapore |
— | — | 0 | § | 0 | § | ||||||||||
| South Africa |
— | 39,558,600 | — | 39,558,600 | ||||||||||||
| Spain |
— | 41,334,389 | — | 41,334,389 | ||||||||||||
| Sweden |
— | 30,453,862 | — | 30,453,862 | ||||||||||||
| Ukraine |
— | 908,151 | — | 908,151 | ||||||||||||
| United Kingdom |
— | 294,628,326 | — | 294,628,326 | ||||||||||||
| United States |
674,184,786 | — | — | 674,184,786 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
919,377,766 | 892,462,010 | 1,797,075 | 1,813,636,851 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 153,604,015 | — | 153,604,015 | ||||||||||||
| Chile |
42,678,629 | — | — | 42,678,629 | ||||||||||||
| Russia |
— | — | 662,406 | 662,406 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
42,678,629 | 153,604,015 | 662,406 | 196,945,050 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
16,731,789 | — | — | 16,731,789 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
16,731,789 | — | — | 16,731,789 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
238,822 | — | — | 238,822 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
979,027,006 | 1,046,066,025 | 2,459,481 | 2,027,552,512 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 979,027,006 | $ | 1,046,066,025 | $ | 2,459,481 | $ | 2,027,552,512 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Small Cap Quality Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | 69,558,390 | $ | — | $ | — | $ | 69,558,390 | ||||||||
| Mutual Funds |
1,786,370 | — | — | 1,786,370 | ||||||||||||
| Short-Term Investments |
26,318 | — | — | 26,318 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
71,371,078 | — | — | 71,371,078 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 71,371,078 | $ | — | $ | — | $ | 71,371,078 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Equity Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | 264,210,632 | $ | — | $ | — | $ | 264,210,632 | ||||||||
| Mutual Funds |
2,654,361 | — | — | 2,654,361 | ||||||||||||
| Debt Obligations |
350,439 | — | — | 350,439 | ||||||||||||
| Short-Term Investments |
103,474 | — | — | 103,474 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
267,318,906 | — | — | 267,318,906 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
3,735 | — | — | 3,735 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 267,322,641 | $ | — | $ | — | $ | 267,322,641 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Opportunistic Value Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | 424,034,746 | $ | — | $ | — | $ | 424,034,746 | ||||||||
| Mutual Funds |
4,886,472 | — | — | 4,886,472 | ||||||||||||
| Short-Term Investments |
130,846 | — | — | 130,846 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
429,052,064 | — | — | 429,052,064 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 429,052,064 | $ | — | $ | — | $ | 429,052,064 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Small Cap Value Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | 30,405,549 | $ | — | $ | — | $ | 30,405,549 | ||||||||
| Mutual Funds |
498,828 | — | — | 498,828 | ||||||||||||
| Rights/Warrants |
— | — | 36,350 | 36,350 | ||||||||||||
| Short-Term Investments |
158,811 | — | — | 158,811 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
31,063,188 | — | 36,350 | 31,099,538 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 31,063,188 | $ | — | $ | 36,350 | $ | 31,099,538 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.
| § | Represents the interest in securities that were determined to have a value of zero at November 30, 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.
Investments in affiliated companies and other Funds of the Trust
An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 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 | $ | 452,576,407 | $ | 444,646,107 | $ | 642,849 | ** | $ | — | $ | 54,274 | $ | 22,699 | $ | 35,161,673 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Emerging Markets ex-China Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 319,023 | $ | 70,221,672 | $ | 67,241,000 | $ | 167,023 | $ | — | $ | 12,533 | $ | — | $ | 3,312,228 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Emerging Markets Fund | ||||||||||||||||||||||||||||||||
| Anilana Hotels & Properties Ltd. |
$ | 258,636 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 26,249 | $ | 284,885 | ||||||||||||||||
| GMO Emerging Markets Select Equity Fund, Class V |
— | 18,914,024 | 18,051,487 | 181,179 | 732,840 | (862,537 | ) | — | — | |||||||||||||||||||||||
| GMO U.S. Treasury Fund |
15,345,992 | 161,274,666 | 175,880,604 | 283,530 | — | 132 | — | 740,186 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 15,604,628 | $ | 180,188,690 | $ | 193,932,091 | $ | 464,709 | $ | 732,840 | $ | (862,405 | ) | $ | 26,249 | $ | 1,025,071 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| International Equity Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 72,610,442 | $ | 226,299,999 | $ | 227,700,000 | $ | 2,604,657 | $ | — | $ | 156,555 | $ | (20,261 | ) | $ | 71,346,735 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund) | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 1,160,296 | $ | 57,895,000 | $ | 53,927,420 | $ | 105,633 | $ | — | $ | 3,698 | $ | (1,574 | ) | $ | 5,130,000 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Quality Cyclicals Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 680,863 | $ | 7,350,000 | $ | 7,805,000 | $ | 24,248 | $ | — | $ | 1,164 | $ | — | $ | 227,027 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Quality Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 116,238,335 | $ | 702,660,000 | $ | 567,450,000 | $ | 4,892,632 | $ | — | $ | 157,550 | $ | (36,832 | ) | $ | 251,569,053 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| 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 |
||||||||||||||||||||||||
| Resource Transition Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 3,512,040 | $ | 40,435,605 | $ | 39,680,856 | $ | 205,519 | $ | — | $ | 7,860 | $ | — | $ | 4,274,649 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Resources Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 39,264,526 | $ | 706,050,000 | $ | 728,605,000 | $ | 1,703,220 | $ | — | $ | 31,440 | $ | (9,177 | ) | $ | 16,731,789 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Small Cap Quality Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 611,750 | $ | 6,301,278 | $ | 5,130,000 | $ | 50,919 | $ | — | $ | 3,759 | $ | (417 | ) | $ | 1,786,370 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| U.S. Equity Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 3,058,032 | $ | 3,875,000 | $ | 4,285,000 | $ | 131,995 | $ | — | $ | 4,370 | $ | 1,959 | $ | 2,654,361 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| U.S. Opportunistic Value Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 5,821,730 | $ | 98,760,648 | $ | 99,705,000 | $ | 246,659 | $ | — | $ | 9,094 | $ | — | $ | 4,886,472 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| U.S. Small Cap Value Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 344,916 | $ | 2,370,000 | $ | 2,217,000 | $ | 15,050 | $ | — | $ | 912 | $ | — | $ | 498,828 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2023 through November 30, 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 $418,550 in Climate Change Fund during the period. |
Subsequent events
Subsequent to November 30, 2023, GMO Resource Transition Fund received redemption requests in the amount of $60,000,000.
Subsequent to November 30, 2023, GMO U.S. Equity Fund received redemption requests in the amount of $148,960,796.
***
For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Par Value† / Shares |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 12.3% |
| |||||||||
| U.S. Government — 12.3% | ||||||||||
| 5,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.55%, due 01/31/25 (a) | 5,006,272 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $5,001,341) |
5,006,272 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 91.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 4.5% | ||||||||||
| JPY |
270,000,000 | Japan Treasury Discount Bills, Zero Coupon, due 12/04/23 | 1,821,136 | |||||||
|
|
|
|||||||||
| Repurchase Agreements — 83.6% | ||||||||||
| 33,999,416 | Nomura Securities International, Inc. Repurchase Agreement, dated, 11/30/23 maturing on 12/01/23 with a maturity value of $34,004,421 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 09/30/28 and a market value of $34,332,780. | 33,999,416 | ||||||||
|
|
|
|||||||||
| Money Market Funds — 3.3% | ||||||||||
|
|
1,342,515 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (b) | 1,342,515 | |||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $37,188,945) |
37,163,067 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 103.7% (Cost $42,190,286) |
42,169,339 | |||||||||
| Other Assets and Liabilities (net) — (3.7)% | (1,521,914 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $40,647,425 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2023 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 12/04/2023 | CITI | JPY | 270,000,000 | USD | 1,885,799 | 64,674 | ||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 112 | U.S. Long Bond (CBT) | March 2024 | 13,041,000 | 63,389 | ||||||||||
| 120 | U.S. Treasury Note 10 Yr. (CBT) | March 2024 | 13,175,625 | 71,612 | ||||||||||
| 86 | U.S. Treasury Note 2 Yr. (CBT) | March 2024 | 17,583,641 | 55,431 | ||||||||||
| 277 | U.S. Treasury Note 5 Yr. (CBT) | March 2024 | 29,597,883 | 156,027 | ||||||||||
| 271 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2024 | 30,762,734 | 198,449 | ||||||||||
| 74 | U.S. Ultra Bond (CBT) | March 2024 | 9,102,000 | 49,777 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 113,262,883 | $ | 594,685 | |||||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of November 30, 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 Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any. |
| (b) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
The rates shown on variable rate notes are the current interest rates at November 30, 2023, which are subject to change based on the terms of the security.
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)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 93.8% |
| |||||||||
| Albania — 1.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.7% | ||||||||||
| 40,349,849 | Albania Government International Bonds, Zero Coupon, due 08/31/25 (a) (b) | 36,278,628 | ||||||||
| EUR |
9,200,000 | Albania Government International Bonds, Reg S, 3.50%, due 11/23/31 | 8,487,039 | |||||||
|
|
|
|||||||||
| Total Albania | 44,765,667 | |||||||||
|
|
|
|||||||||
| Angola — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 18,900,000 | Angola Government International Bonds, Reg S, 9.38%, due 05/08/48 | 14,505,750 | ||||||||
| 500,000 | Angola Government International Bonds, Reg S, 9.13%, due 11/26/49 | 377,500 | ||||||||
|
|
|
|||||||||
| Total Angola | 14,883,250 | |||||||||
|
|
|
|||||||||
| Argentina — 3.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 3.3% | ||||||||||
| 21,690,713 | Argentina Republic Government International Bonds, 1.00%, due 07/09/29 | 7,826,044 | ||||||||
| 26,333,493 | Argentina Republic Government International Bonds, 0.75%, due 07/09/30 | 9,743,392 | ||||||||
| JPY |
330,767,207 | Argentina Republic Government International Bonds, Variable Rate, 4.33%, due 12/31/33 (c) | 501,974 | |||||||
| 42,247,942 | Argentina Republic Government International Bonds, 3.63%, due 07/09/35 | 13,674,391 | ||||||||
| EUR |
25,230,000 | Argentina Republic Government International Bonds, 3.75%, due 01/09/38 | 7,843,945 | |||||||
| 42,198,994 | Argentina Republic Government International Bonds, 4.25%, due 01/09/38 | 15,121,395 | ||||||||
| JPY |
271,173,000 | Argentina Republic Government International Bonds, 0.67%, due 12/31/38 (c) | 301,791 | |||||||
| EUR |
6,660,000 | Argentina Republic Government International Bonds, 3.00%, due 07/09/41 | 1,899,346 | |||||||
| 46,201,240 | Argentina Republic Government International Bonds, 3.50%, due 07/09/41 | 15,061,604 | ||||||||
| 42,447,000 | Argentina Republic Government International Bonds, 3.63%, due 07/09/46 | 13,779,570 | ||||||||
|
|
|
|||||||||
| Total Argentina | 85,753,452 | |||||||||
|
|
|
|||||||||
| Azerbaijan — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 6,600,000 | Republic of Azerbaijan International Bonds, Reg S, 5.13%, due 09/01/29 | 6,276,996 | ||||||||
|
|
|
|||||||||
| Bahamas — 1.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.0% | ||||||||||
| 8,840,000 | Bahamas Government International Bonds, Reg S, 6.00%, due 11/21/28 | 7,446,727 | ||||||||
| 4,400,000 | Bahamas Government International Bonds, Reg S, 9.00%, due 06/16/29 | 4,039,420 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Bahamas — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 15,240,000 | Bahamas Government International Bonds, Reg S, 8.95%, due 10/15/32 | 13,524,281 | ||||||||
|
|
|
|||||||||
| Total Bahamas | 25,010,428 | |||||||||
|
|
|
|||||||||
| Bahrain — 2.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.6% | ||||||||||
| 3,700,000 | Bahrain Government International Bonds, Reg S, 6.00%, due 09/19/44 | 2,909,125 | ||||||||
| 68,190,000 | Bahrain Government International Bonds, Reg S, 7.50%, due 09/20/47 | 62,052,900 | ||||||||
| 500,000 | Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51 | 394,375 | ||||||||
|
|
|
|||||||||
| Total Bahrain | 65,356,400 | |||||||||
|
|
|
|||||||||
| Barbados — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 16,520,000 | Barbados Government International Bonds, Reg S, 6.50%, due 10/01/29 | 15,482,544 | ||||||||
|
|
|
|||||||||
| 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) | 2,906,400 | ||||||||
| 20,300,000 | Republic of Belarus International Bonds, Reg S, 6.20%, due 02/28/30 (c) (d) | 6,496,000 | ||||||||
|
|
|
|||||||||
| Total Belarus | 9,402,400 | |||||||||
|
|
|
|||||||||
| Benin — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| EUR |
3,650,000 | Benin Government International Bonds, Reg S, 6.88%, due 01/19/52 | 2,886,484 | |||||||
|
|
|
|||||||||
| Bolivia — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 6,900,000 | Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28 | 3,149,781 | ||||||||
|
|
|
|||||||||
| Brazil — 1.6% | ||||||||||
| Corporate Debt — 0.8% | ||||||||||
| 22,897,672 | MV24 Capital BV, Reg S, 6.75%, due 06/01/34 | 20,576,306 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 0.8% | ||||||||||
| 11,600,000 | Brazil Government International Bonds, 4.75%, due 01/14/50 | 8,386,220 | ||||||||
| BRL |
59,021,282 | Rio Smart Lighting SARL, Reg S, 12.25%, due 09/20/32 (e) | 11,931,243 | |||||||
|
|
|
|||||||||
| 20,317,463 | ||||||||||
|
|
|
|||||||||
| Total Brazil | 40,893,769 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 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 | 2,548,724 | |||||||
|
|
|
|||||||||
| Cameroon — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| EUR |
10,100,000 | Republic of Cameroon International Bonds, Reg S, 5.95%, due 07/07/32 | 7,585,760 | |||||||
|
|
|
|||||||||
| Chile — 2.2% | ||||||||||
| Corporate Debt — 1.1% | ||||||||||
| 16,611,000 | Enel Generacion Chile SA, 8.13%, due 02/01/97 (a) | 15,187,437 | ||||||||
| 23,601,659 | Inversiones Latin America Power Ltda, Reg S, 5.13%, due 06/15/33 | 12,313,930 | ||||||||
|
|
|
|||||||||
| 27,501,367 | ||||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 1.1% | ||||||||||
| 4,400,000 | Chile Electricity Lux MPC SARL, 144A, 6.01%, due 01/20/33 | 4,404,884 | ||||||||
| 4,600,000 | Chile Government International Bonds, 3.10%, due 05/07/41 | 3,290,472 | ||||||||
| 3,400,000 | Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29 | 3,202,766 | ||||||||
| 3,900,000 | Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31 | 3,163,914 | ||||||||
| 20,650,000 | Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47 | 14,488,660 | ||||||||
|
|
|
|||||||||
| 28,550,696 | ||||||||||
|
|
|
|||||||||
| Total Chile | 56,052,063 | |||||||||
|
|
|
|||||||||
| China — 0.3% | ||||||||||
| Corporate Debt — 0.3% | ||||||||||
| 11,200,000 | China Evergrande Group, Reg S, 11.50%, due 01/22/23 (d) | 140,000 | ||||||||
| 14,300,000 | China Evergrande Group, Reg S, 12.00%, due 01/22/24 (d) | 178,750 | ||||||||
| 7,500,000 | China Evergrande Group, Reg S, 10.50%, due 04/11/24 (d) | 93,750 | ||||||||
| 7,300,000 | Huarong Finance 2017 Co. Ltd., Reg S, 4.75%, due 04/27/27 | 6,725,125 | ||||||||
| 6,100,000 | Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 (d) | 91,500 | ||||||||
| 2,100,000 | Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 (d) | 31,500 | ||||||||
| 3,600,000 | Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 (d) | 54,000 | ||||||||
| 4,100,000 | Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 (d) | 61,500 | ||||||||
|
|
|
|||||||||
| Total China | 7,376,125 | |||||||||
|
|
|
|||||||||
| Colombia — 4.1% | ||||||||||
| Corporate Debt — 0.2% | ||||||||||
| COP |
27,380,244,819 | PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36 | 5,454,436 | |||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Colombia — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — 3.9% | ||||||||||
| 3,140,000 | AI Candelaria Spain SA, Reg S, 5.75%, due 06/15/33 | 2,294,147 | ||||||||
| 1,092,000 | Colombia Government International Bonds, 8.38%, due 02/15/27 (a) | 1,113,696 | ||||||||
| 3,100,000 | Colombia Government International Bonds, 11.85%, due 03/09/28 (a) | 3,552,535 | ||||||||
| 82,200,000 | Colombia Government International Bonds, 5.63%, due 02/26/44 | 62,994,792 | ||||||||
| 12,900,000 | Colombia Government International Bonds, 5.20%, due 05/15/49 | 9,125,460 | ||||||||
| 19,100,000 | Ecopetrol SA, 5.88%, due 11/02/51 | 12,892,500 | ||||||||
| COP |
41,560,000,000 | Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27 | 8,385,374 | |||||||
|
|
|
|||||||||
| 100,358,504 | ||||||||||
|
|
|
|||||||||
| Total Colombia | 105,812,940 | |||||||||
|
|
|
|||||||||
| Congo Republic (Brazzaville) — 1.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.2% | ||||||||||
| 38,164,654 | Congolese International Bonds, Reg S, Step Up, 6.00%, due 06/30/29 (c) | 31,016,033 | ||||||||
|
|
|
|||||||||
| Costa Rica — 1.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.4% | ||||||||||
| 9,500,000 | Costa Rica Government International Bonds, 144A, 6.55%, due 04/03/34 | 9,549,162 | ||||||||
| 10,231,000 | Costa Rica Government International Bonds, Reg S, 7.16%, due 03/12/45 (f) | 10,360,166 | ||||||||
| 9,600,000 | Costa Rica Government International Bonds, 144A, 7.30%, due 11/13/54 | 9,795,264 | ||||||||
| 8,298,000 | Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43 | 6,826,848 | ||||||||
|
|
|
|||||||||
| Total Costa Rica | 36,531,440 | |||||||||
|
|
|
|||||||||
| Czech Republic — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 4,458,000 | CEZ AS, Reg S, 5.63%, due 04/03/42 | 3,877,453 | ||||||||
|
|
|
|||||||||
| Dominican Republic — 2.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.7% | ||||||||||
| 7,600,000 | Dominican Republic International Bonds, Reg S, 6.50%, due 02/15/48 (f) | 6,737,552 | ||||||||
| 9,510,000 | Dominican Republic International Bonds, Reg S, 6.40%, due 06/05/49 | 8,331,711 | ||||||||
| 66,029,000 | Dominican Republic International Bonds, Reg S, 5.88%, due 01/30/60 | 52,897,152 | ||||||||
|
|
|
|||||||||
| Total Dominican Republic | 67,966,415 | |||||||||
|
|
|
|||||||||
| Ecuador — 2.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.4% | ||||||||||
| 1,300,000 | Ecuador Government International Bonds, 5.00%, due 02/28/25 (c) | 1,196,000 | ||||||||
| 6,146,892 | Ecuador Government International Bonds, Reg S, Zero Coupon, due 07/31/30 | 1,693,469 | ||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Ecuador — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 36,676,250 | Ecuador Government International Bonds, Reg S, Step Up, 6.00%, due 07/31/30 | 16,862,639 | ||||||||
| 80,987,125 | Ecuador Government International Bonds, Reg S, Step Up, 3.50%, due 07/31/35 | 28,353,593 | ||||||||
| 27,303,750 | Ecuador Government International Bonds, Reg S, Step Up, 2.50%, due 07/31/40 (f) | 8,426,756 | ||||||||
| 5,766,763 | Ecuador Social Bonds SARL, Reg S, Zero Coupon, due 01/30/35 | 4,313,539 | ||||||||
|
|
|
|||||||||
| Total Ecuador | 60,845,996 | |||||||||
|
|
|
|||||||||
| Egypt — 2.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.2% | ||||||||||
| 24,000,000 | Egypt Government International Bonds, Reg S, 8.70%, due 03/01/49 | 13,680,000 | ||||||||
| 46,800,000 | Egypt Government International Bonds, Reg S, 8.88%, due 05/29/50 | 26,968,500 | ||||||||
| 27,264,000 | Egypt Government International Bonds, Reg S, 8.15%, due 11/20/59 | 15,199,680 | ||||||||
|
|
|
|||||||||
| Total Egypt | 55,848,180 | |||||||||
|
|
|
|||||||||
| El Salvador — 0.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.7% | ||||||||||
| 2,375,000 | El Salvador Government International Bonds, Reg S, 7.65%, due 06/15/35 (f) | 1,753,985 | ||||||||
| 24,500,000 | El Salvador Government International Bonds, Reg S, 7.12%, due 01/20/50 (f) | 16,342,725 | ||||||||
|
|
|
|||||||||
| Total El Salvador | 18,096,710 | |||||||||
|
|
|
|||||||||
| Ethiopia — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 2,990,000 | Ethiopia International Bonds, Reg S, 6.63%, due 12/11/24 | 1,823,900 | ||||||||
|
|
|
|||||||||
| Gabon — 0.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.8% | ||||||||||
| 8,100,000 | Gabon Blue Bond Master Trust, 144A, 6.10%, due 08/01/38 | 7,813,757 | ||||||||
| 4,100,000 | Gabon Government International Bonds, Reg S, 6.63%, due 02/06/31 | 3,208,250 | ||||||||
| 10,600,000 | Gabon Government International Bonds, Reg S, 7.00%, due 11/24/31 | 8,294,500 | ||||||||
|
|
|
|||||||||
| Total Gabon | 19,316,507 | |||||||||
|
|
|
|||||||||
| Ghana — 1.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.6% | ||||||||||
| 9,000,000 | Ghana Government International Bonds, Reg S, 8.88%, due 05/07/42 (d) | 3,802,500 | ||||||||
| 12,900,000 | Ghana Government International Bonds, Reg S, 8.63%, due 06/16/49 (d) | 5,434,125 | ||||||||
| 28,500,000 | Ghana Government International Bonds, Reg S, 8.95%, due 03/26/51 (d) | 12,112,500 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Ghana — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 36,600,000 | Ghana Government International Bonds, Reg S, 8.75%, due 03/11/61 (d) | 15,555,000 | ||||||||
| 7,121,144 | Saderea DAC, Reg S, 12.50%, due 11/30/26 (d) | 2,993,800 | ||||||||
|
|
|
|||||||||
| Total Ghana | 39,897,925 | |||||||||
|
|
|
|||||||||
| Grenada — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 6,071,813 | Grenada Government International Bonds, Reg S, 7.00%, due 05/12/30 | 5,209,615 | ||||||||
|
|
|
|||||||||
| Guatemala — 0.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.8% | ||||||||||
| 3,915,000 | Guatemala Government Bonds, Reg S, 8.13%, due 10/06/34 | 4,107,579 | ||||||||
| 5,100,000 | Guatemala Government Bonds, Reg S, 4.65%, due 10/07/41 | 3,789,351 | ||||||||
| 14,600,000 | Guatemala Government Bonds, Reg S, 6.13%, due 06/01/50 | 12,484,460 | ||||||||
|
|
|
|||||||||
| Total Guatemala | 20,381,390 | |||||||||
|
|
|
|||||||||
| Honduras — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 2,750,000 | Honduras Government International Bonds, Reg S, 5.63%, due 06/24/30 | 2,334,035 | ||||||||
|
|
|
|||||||||
| Hungary — 2.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.0% | ||||||||||
| 9,400,000 | Hungary Government International Bonds, Reg S, 6.25%, due 09/22/32 | 9,588,000 | ||||||||
| 21,900,000 | Hungary Government International Bonds, 144A, 5.50%, due 06/16/34 | 20,969,250 | ||||||||
| 15,100,000 | Hungary Government International Bonds, Reg S, 3.13%, due 09/21/51 | 9,192,125 | ||||||||
| 8,500,000 | Hungary Government International Bonds, Reg S, 6.75%, due 09/25/52 | 8,636,000 | ||||||||
| 3,900,000 | MVM Energetika Zrt, Reg S, 7.50%, due 06/09/28 | 3,973,125 | ||||||||
|
|
|
|||||||||
| Total Hungary | 52,358,500 | |||||||||
|
|
|
|||||||||
| India — 1.3% | ||||||||||
| Corporate Debt — 1.3% | ||||||||||
| 9,726,375 | Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt Ltd./Wardha Solar Maharash, Reg S, 4.63%, due 10/15/39 | 7,092,570 | ||||||||
| 22,100,000 | Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29 | 20,910,136 | ||||||||
| 1,840,000 | GMR Hyderabad International Airport Ltd., Reg S, 4.25%, due 10/27/27 | 1,651,271 | ||||||||
| 3,331,000 | India Airport Infra, Reg S, 6.25%, due 10/25/25 | 3,250,823 | ||||||||
|
|
|
|||||||||
| Total India | 32,904,800 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Indonesia — 3.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 3.0% | ||||||||||
| 3,950,000 | Freeport Indonesia PT, Reg S, 6.20%, due 04/14/52 | 3,599,240 | ||||||||
| 5,500,000 | Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30 | 4,988,720 | ||||||||
| 15,600,000 | Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT, Reg S, 5.80%, due 05/15/50 | 13,535,652 | ||||||||
| 3,100,000 | Indonesia Government International Bonds, 4.85%, due 01/11/33 | 3,036,977 | ||||||||
| 3,691,000 | Indonesia Government International Bonds, 5.45%, due 09/20/52 | 3,603,560 | ||||||||
| 2,333,340 | LLPL Capital Pte. Ltd., Reg S, 6.88%, due 02/04/39 | 2,181,066 | ||||||||
| 28,900,000 | Minejesa Capital BV, Reg S, 5.63%, due 08/10/37 | 23,549,743 | ||||||||
| 500,000 | Pertamina Persero PT, Reg S, 4.15%, due 02/25/60 | 355,035 | ||||||||
| 5,400,000 | Perusahaan Penerbit SBSN Indonesia III, Reg S, 4.70%, due 06/06/32 | 5,228,172 | ||||||||
| 11,800,000 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Reg S, 6.25%, due 01/25/49 | 11,226,638 | ||||||||
| 4,595,000 | Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24 | 4,534,530 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 75,839,333 | |||||||||
|
|
|
|||||||||
| Israel — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 15,783,000 | Israel Electric Corp. Ltd., Reg S, 8.10%, due 12/15/96 | 16,631,336 | ||||||||
|
|
|
|||||||||
| Ivory Coast — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.9% | ||||||||||
| EUR |
1,500,000 | Ivory Coast Government International Bonds, Reg S, 6.88%, due 10/17/40 | 1,285,791 | |||||||
| EUR |
27,000,000 | Ivory Coast Government International Bonds, Reg S, 6.63%, due 03/22/48 | 21,821,715 | |||||||
|
|
|
|||||||||
| Total Ivory Coast | 23,107,506 | |||||||||
|
|
|
|||||||||
| Jamaica — 0.6% | ||||||||||
| Corporate Debt — 0.3% | ||||||||||
| 7,213,586 | TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36 | 5,962,480 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% |
||||||||||
| 2,975,000 | Jamaica Government International Bonds, 7.88%, due 07/28/45 | 3,499,730 | ||||||||
| 4,650,000 | National Road Operating & Constructing Co. Ltd., Reg S, 9.38%, due 11/10/24 (c) | 4,719,750 | ||||||||
|
|
|
|||||||||
| 8,219,480 | ||||||||||
|
|
|
|||||||||
| Total Jamaica | 14,181,960 | |||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Jordan — 1.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.4% | ||||||||||
| 41,095,000 | Jordan Government International Bonds, Reg S, 7.38%, due 10/10/47 | 35,547,175 | ||||||||
|
|
|
|||||||||
| 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 | 1,271,536 | ||||||||
| 22,300,000 | KazMunayGas National Co. JSC, Reg S, 6.38%, due 10/24/48 | 18,964,589 | ||||||||
|
|
|
|||||||||
| Total Kazakhstan | 20,236,125 | |||||||||
|
|
|
|||||||||
| Kenya — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.9% | ||||||||||
| 31,594,000 | Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48 | 23,853,470 | ||||||||
|
|
|
|||||||||
| Lebanon — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| 6,800,000 | Lebanon Government International Bonds, Reg S, 6.85%, due 03/23/27 (d) | 376,924 | ||||||||
| 5,547,000 | Lebanon Government International Bonds, Reg S, 7.00%, due 03/20/28 (d) | 305,085 | ||||||||
| 60,605,000 | Lebanon Government International Bonds, Reg S, 7.15%, due 11/20/31 (d) | 3,333,275 | ||||||||
| 21,000,000 | Lebanon Government International Bonds, 8.20%, due 05/17/33 (d) | 1,155,000 | ||||||||
| 56,914,000 | Lebanon Government International Bonds, 8.25%, due 05/17/34 (d) | 3,130,270 | ||||||||
|
|
|
|||||||||
| Total Lebanon | 8,300,554 | |||||||||
|
|
|
|||||||||
| Malaysia — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 4,900,000 | Dua Capital Ltd., Reg S, 2.78%, due 05/11/31 | 4,117,666 | ||||||||
|
|
|
|||||||||
| Mexico — 6.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 6.3% | ||||||||||
| 5,720,000 | Comision Federal de Electricidad, Reg S, 5.00%, due 07/30/49 | 4,433,000 | ||||||||
| GBP |
64,506,000 | Mexico Government International Bonds, 5.63%, due 03/19/2114 | 59,040,778 | |||||||
| 142,700,000 | Petroleos Mexicanos, 7.69%, due 01/23/50 | 94,538,750 | ||||||||
| 5,200,000 | Petroleos Mexicanos, Reg S, 6.63%, due 12/28/2170 | 2,817,360 | ||||||||
|
|
|
|||||||||
| Total Mexico | 160,829,888 | |||||||||
|
|
|
|||||||||
| Mongolia — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 3,000,000 | Mongolia Government International Bonds, Reg S, 4.45%, due 07/07/31 | 2,413,020 | ||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Montenegro — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| EUR |
5,200,000 | Montenegro Government International Bonds, Reg S, 2.88%, due 12/16/27 | 4,896,075 | |||||||
|
|
|
|||||||||
| Morocco — 0.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.8% | ||||||||||
| 11,100,000 | Morocco Government International Bonds, 144A, 6.50%, due 09/08/33 | 11,224,875 | ||||||||
| 9,200,000 | OCP SA, Reg S, 6.88%, due 04/25/44 | 8,326,000 | ||||||||
| 1,600,000 | OCP SA, Reg S, 5.13%, due 06/23/51 | 1,144,000 | ||||||||
|
|
|
|||||||||
| Total Morocco | 20,694,875 | |||||||||
|
|
|
|||||||||
| Mozambique — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 7,576,000 | Mozambique International Bonds, Reg S, Step Up, 9.00%, due 09/15/31 | 6,041,860 | ||||||||
|
|
|
|||||||||
| Nigeria — 1.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.2% | ||||||||||
| 39,550,000 | Nigeria Government International Bonds, Reg S, 8.25%, due 09/28/51 | 29,810,813 | ||||||||
|
|
|
|||||||||
| Oman — 2.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.5% | ||||||||||
| 9,400,000 | Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25 | 9,054,550 | ||||||||
| 56,300,000 | Oman Government International Bonds, Reg S, 6.75%, due 01/17/48 | 54,734,860 | ||||||||
| 1,200,000 | Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31 | 1,163,388 | ||||||||
|
|
|
|||||||||
| Total Oman | 64,952,798 | |||||||||
|
|
|
|||||||||
| Pakistan — 0.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.5% | ||||||||||
| 14,700,000 | Pakistan Government International Bonds, Reg S, 7.88%, due 03/31/36 | 9,187,500 | ||||||||
| 4,826,000 | Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31 | 2,430,084 | ||||||||
|
|
|
|||||||||
| Total Pakistan | 11,617,584 | |||||||||
|
|
|
|||||||||
| Panama — 2.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.5% | ||||||||||
| 5,205,103 | AES Panama Generation Holdings SRL, Reg S, 4.38%, due 05/31/30 | 4,288,224 | ||||||||
| 22,800,000 | Panama Bonos del Tesoro, Reg S, 6.38%, due 07/25/33 | 20,502,672 | ||||||||
| 9,837,000 | Panama Government International Bonds, 8.13%, due 04/28/34 | 9,773,059 | ||||||||
| 8,400,000 | Panama Government International Bonds, 6.40%, due 02/14/35 | 7,855,680 | ||||||||
| 2,600,000 | Panama Government International Bonds, 6.85%, due 03/28/54 | 2,299,752 | ||||||||
| 24,400,000 | Panama Government International Bonds, 4.50%, due 04/01/56 | 15,413,724 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Panama — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 6,500,000 | Panama Government International Bonds, 4.50%, due 01/19/63 | 4,007,250 | ||||||||
|
|
|
|||||||||
| Total Panama | 64,140,361 | |||||||||
|
|
|
|||||||||
| Papua New Guinea — 0.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.0% | ||||||||||
| 1,100,000 | Papua New Guinea Government International Bonds, Reg S, 8.38%, due 10/04/28 | 1,020,569 | ||||||||
|
|
|
|||||||||
| Peru — 1.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.7% | ||||||||||
| 20,400,000 | Peru Government International Bonds, 3.60%, due 01/15/72 (f) | 13,152,900 | ||||||||
| 52,095,000 | Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47 | 30,694,895 | ||||||||
|
|
|
|||||||||
| Total Peru | 43,847,795 | |||||||||
|
|
|
|||||||||
| Philippines — 2.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.0% | ||||||||||
| 3,800,000 | Bangko Sentral ng Pilipinas International Bonds, 8.60%, due 06/15/97 (c) | 5,063,500 | ||||||||
| 8,700,000 | Philippines Government International Bonds, 5.95%, due 10/13/47 | 9,045,390 | ||||||||
| 32,512,000 | Power Sector Assets & Liabilities Management Corp., 9.63%, due 05/15/28 | 36,871,209 | ||||||||
|
|
|
|||||||||
| Total Philippines | 50,980,099 | |||||||||
|
|
|
|||||||||
| Poland — 1.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.2% | ||||||||||
| 4,600,000 | Bank Gospodarstwa Krajowego, 144A, 5.38%, due 05/22/33 | 4,480,975 | ||||||||
| 10,500,000 | Republic of Poland Government International Bonds, 5.75%, due 11/16/32 | 10,882,200 | ||||||||
| 11,200,000 | Republic of Poland Government International Bonds, 4.88%, due 10/04/33 | 10,838,800 | ||||||||
| 5,700,000 | Republic of Poland Government International Bonds, 5.50%, due 04/04/53 | 5,472,627 | ||||||||
|
|
|
|||||||||
| Total Poland | 31,674,602 | |||||||||
|
|
|
|||||||||
| Republic of North Macedonia — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.4% | ||||||||||
| EUR |
11,800,000 | North Macedonia Government International Bonds, Reg S, 1.63%, due 03/10/28 | 10,782,795 | |||||||
|
|
|
|||||||||
| Romania — 2.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.8% | ||||||||||
| EUR |
33,900,000 | Romania Government International Bonds, 144A, 6.38%, due 09/18/33 | 37,038,543 | |||||||
| 10,000,000 | Romania Government International Bonds, Reg S, 6.00%, due 05/25/34 | 9,600,000 | ||||||||
| EUR |
5,000,000 | Romania Government International Bonds, Reg S, 2.88%, due 04/13/42 | 3,333,397 | |||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Romania — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| EUR |
4,600,000 | Romania Government International Bonds, Reg S, 4.63%, due 04/03/49 | 3,805,398 | |||||||
| EUR |
14,900,000 | Romania Government International Bonds, Reg S, 3.38%, due 01/28/50 | 9,994,748 | |||||||
| 7,300,000 | Romania Government International Bonds, Reg S, 7.63%, due 01/17/53 | 7,648,575 | ||||||||
|
|
|
|||||||||
| Total Romania | 71,420,661 | |||||||||
|
|
|
|||||||||
| Russia — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 6,870,000 | GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (a) (d) (g) | 3,435 | ||||||||
| 5,200,000 | GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (a) (d) (g) | 2,600 | ||||||||
| 6,800,000 | GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (a) (d) (g) | 3,400 | ||||||||
| 6,400,000 | Russia Foreign Bonds - Eurobond, Reg S, 5.10%, due 03/28/35 (c) (d) | 2,432,000 | ||||||||
| 34,000,000 | Russia Foreign Bonds - Eurobond, 144A, 5.10%, due 03/28/35 (c) (d) | 12,920,000 | ||||||||
|
|
|
|||||||||
| Total Russia | 15,361,435 | |||||||||
|
|
|
|||||||||
| Rwanda — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 4,500,000 | Rwanda International Government Bonds, Reg S, 5.50%, due 08/09/31 | 3,487,500 | ||||||||
|
|
|
|||||||||
| Saudi Arabia — 3.1% | ||||||||||
| Corporate Debt — 1.3% | ||||||||||
| 27,287,368 | ACWA Power Management & Investments One Ltd., Reg S, 5.95%, due 12/15/39 | 26,033,855 | ||||||||
| 7,800,000 | EIG Pearl Holdings SARL, 144A, 4.39%, due 11/30/46 | 5,723,250 | ||||||||
|
|
|
|||||||||
| 31,757,105 | ||||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 1.8% | ||||||||||
| 12,000,000 | Saudi Government International Bonds, Reg S, 4.63%, due 10/04/47 | 9,870,000 | ||||||||
| 12,300,000 | Saudi Government International Bonds, Reg S, 5.00%, due 01/18/53 | 10,501,125 | ||||||||
| 42,200,000 | Saudi Government International Bonds, Reg S, 3.45%, due 02/02/61 | 26,586,000 | ||||||||
|
|
|
|||||||||
| 46,957,125 | ||||||||||
|
|
|
|||||||||
| Total Saudi Arabia | 78,714,230 | |||||||||
|
|
|
|||||||||
| Senegal — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 7,900,000 | Senegal Government International Bonds, Reg S, 6.75%, due 03/13/48 | 5,549,750 | ||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Serbia — 0.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.7% | ||||||||||
| 8,900,000 | Serbia International Bonds, Reg S, 6.50%, due 09/26/33 | 8,777,625 | ||||||||
| EUR |
12,500,000 | Serbia International Bonds, Reg S, 2.05%, due 09/23/36 | 8,622,965 | |||||||
|
|
|
|||||||||
| Total Serbia | 17,400,590 | |||||||||
|
|
|
|||||||||
| South Africa — 4.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 4.9% | ||||||||||
| 19,700,000 | Eskom Holdings SOC Ltd., Reg S, 8.45%, due 08/10/28 | 19,416,813 | ||||||||
| ZAR |
165,550,000 | Eskom Holdings SOC Ltd., Zero Coupon, due 12/31/32 | 1,653,370 | |||||||
| ZAR |
1,425,200,000 | Republic of South Africa Government International Bonds, 6.50%, due 02/28/41 | 45,411,837 | |||||||
| 53,600,000 | Republic of South Africa Government International Bonds, 5.75%, due 09/30/49 | 38,860,000 | ||||||||
| 10,200,000 | Republic of South Africa Government International Bonds, 7.30%, due 04/20/52 | 8,797,500 | ||||||||
| 9,100,000 | Transnet SOC Ltd., Reg S, 8.25%, due 02/06/28 | 8,844,063 | ||||||||
| ZAR |
22,200,000 | Transnet SOC Ltd., Reg S, 13.50%, due 04/18/28 | 1,236,723 | |||||||
|
|
|
|||||||||
| Total South Africa | 124,220,306 | |||||||||
|
|
|
|||||||||
| Sri Lanka — 1.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.5% | ||||||||||
| 5,380,000 | Sri Lanka Government International Bonds, Reg S, 6.83%, due 07/18/26 (d) | 2,750,202 | ||||||||
| 9,444,000 | Sri Lanka Government International Bonds, Reg S, 6.20%, due 05/11/27 (d) | 4,733,616 | ||||||||
| 24,900,000 | Sri Lanka Government International Bonds, Reg S, 6.75%, due 04/18/28 (d) | 12,480,627 | ||||||||
| 8,500,000 | Sri Lanka Government International Bonds, Reg S, 7.85%, due 03/14/29 (d) | 4,246,260 | ||||||||
| 26,200,000 | Sri Lanka Government International Bonds, Reg S, 7.55%, due 03/28/30 (d) | 13,097,118 | ||||||||
|
|
|
|||||||||
| Total Sri Lanka | 37,307,823 | |||||||||
|
|
|
|||||||||
| Suriname — 1.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.0% | ||||||||||
| 13,600,000 | Suriname Government International Bonds, Reg S, 12.88%, due 12/30/23 (d) | 12,440,600 | ||||||||
| 14,259,000 | Suriname Government International Bonds, Reg S, 9.25%, due 10/26/26 (d) | 12,970,557 | ||||||||
|
|
|
|||||||||
| Total Suriname | 25,411,157 | |||||||||
|
|
|
|||||||||
| Tajikistan — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| 9,274,000 | Republic of Tajikistan International Bonds, Reg S, 7.13%, due 09/14/27 | 7,676,461 | ||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Trinidad And Tobago — 1.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.2% | ||||||||||
| 20,300,000 | Heritage Petroleum Co. Ltd., Reg S, 9.00%, due 08/12/29 | 21,056,175 | ||||||||
| 10,200,000 | Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29 | 8,711,310 | ||||||||
|
|
|
|||||||||
| Total Trinidad And Tobago | 29,767,485 | |||||||||
|
|
|
|||||||||
| Tunisia — 1.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.1% | ||||||||||
| JPY |
5,960,000,000 | Tunisian Republic, 4.30%, due 08/02/30 (c) | 18,893,835 | |||||||
| JPY |
2,030,000,000 | Tunisian Republic, 4.20%, due 03/17/31 (c) | 6,298,395 | |||||||
| JPY |
730,000,000 | Tunisian Republic, 3.50%, due 02/03/33 | 2,067,989 | |||||||
|
|
|
|||||||||
| Total Tunisia | 27,260,219 | |||||||||
|
|
|
|||||||||
| Turkey — 2.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.9% | ||||||||||
| 11,644,000 | Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25 | 11,008,471 | ||||||||
| 17,202,000 | Turkiye Government International Bonds, 6.00%, due 01/14/41 | 13,202,535 | ||||||||
| 70,313,000 | Turkiye Government International Bonds, 5.75%, due 05/11/47 | 49,658,556 | ||||||||
|
|
|
|||||||||
| Total Turkey | 73,869,562 | |||||||||
|
|
|
|||||||||
| Ukraine — 1.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.0% | ||||||||||
| 5,500,000 | NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 (c) (d) |
1,459,700 | ||||||||
| 13,900,000 | State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/30 (c) (d) | 3,614,000 | ||||||||
| 7,319,000 | Ukraine Government International Bonds, Reg S, 7.75%, due 09/01/28 (c) (d) | 2,027,729 | ||||||||
| 4,369,000 | Ukraine Government International Bonds, Reg S, 7.75%, due 09/01/29 (c) (d) | 1,207,810 | ||||||||
| 17,800,000 | Ukraine Government International Bonds, Reg S, 9.75%, due 11/01/30 (c) (d) | 5,090,800 | ||||||||
| 28,000,000 | Ukraine Government International Bonds, Reg S, 7.38%, due 09/25/34 (c) (d) | 6,657,000 | ||||||||
| 22,300,000 | Ukraine Government International Bonds, Reg S, 7.25%, due 03/15/35 (c) (d) | 5,312,975 | ||||||||
| 200,000 | Ukraine Railways Via Rail Capital Markets PLC, Reg S, 7.88%, due 07/15/28 (c) (d) | 96,500 | ||||||||
|
|
|
|||||||||
| Total Ukraine | 25,466,514 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 1.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.1% | ||||||||||
| 1,800,000 | Abu Dhabi Crude Oil Pipeline LLC, Reg S, 4.60%, due 11/02/47 | 1,568,250 | ||||||||
| 6,200,000 | Abu Dhabi Government International Bonds, Reg S, 3.13%, due 09/30/49 | 4,172,600 | ||||||||
| 200,000 | DAE Funding LLC, Reg S, 3.38%, due 03/20/28 | 180,250 | ||||||||
| 14,600,000 | Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50 | 9,052,000 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| United Arab Emirates — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 21,100,000 | Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51 | 13,899,625 | ||||||||
|
|
|
|||||||||
| Total United Arab Emirates | 28,872,725 | |||||||||
|
|
|
|||||||||
| United States — 0.6% | ||||||||||
| Asset-Backed Securities — 0.3% | ||||||||||
| 682,368 | CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 5.68%, due 12/15/35 | 654,642 | ||||||||
| 164,716 | CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 5.68%, due 12/15/35 | 163,177 | ||||||||
| 504,097 | CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 5.64%, due 05/15/36 | 469,835 | ||||||||
| 6,516,015 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.26%, 5.61%, due 11/25/36 | 2,096,619 | ||||||||
| 6,569,425 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.33%, 5.68%, due 11/25/36 | 2,113,766 | ||||||||
| 3,374,576 | WaMu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.82%, due 04/25/37 | 1,170,347 | ||||||||
|
|
|
|||||||||
| 6,668,386 | ||||||||||
|
|
|
|||||||||
| U.S. Government — 0.3% | ||||||||||
| 9,100,000 | U.S. Treasury Notes, 3.88 %, due 11/30/27 (h) | 8,934,352 | ||||||||
|
|
|
|||||||||
| Total United States | 15,602,738 | |||||||||
|
|
|
|||||||||
| Uruguay — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% |
||||||||||
| UYU |
466,200,000 | Uruguay Government International Bonds, 9.75%, due 07/20/33 | 12,073,494 | |||||||
| 2,418,000 | Uruguay Government International Bonds, 5.10%, due 06/18/50 | 2,274,806 | ||||||||
|
|
|
|||||||||
| Total Uruguay | 14,348,300 | |||||||||
|
|
|
|||||||||
| Uzbekistan — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.4% |
||||||||||
| 5,700,000 | Republic of Uzbekistan International Bonds, Reg S, 3.70%, due 11/25/30 | 4,548,600 | ||||||||
| 1,037,000 | Uzbek Industrial & Construction Bank ATB, Reg S, 5.75%, due 12/02/24 | 993,576 | ||||||||
| 7,400,000 | Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28 | 5,994,000 | ||||||||
|
|
|
|||||||||
| Total Uzbekistan | 11,536,176 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Venezuela — 3.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 3.5% | ||||||||||
| 111,465,000 | CA La Electricidad de Caracas, Reg S, 8.50%, due 04/10/18 (c) (d) | 8,917,200 | ||||||||
| 176,000,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (d) | 21,120,000 | ||||||||
| 54,667,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (d) | 6,560,040 | ||||||||
| 7,300,000 | Petroleos de Venezuela SA, Reg S, 9.75%, due 05/17/35 (d) | 945,350 | ||||||||
| 19,028,000 | Venezuela Government International Bonds, Reg S, 7.75%, due 10/13/19 (d) | 2,454,612 | ||||||||
| 36,600,000 | Venezuela Government International Bonds, Reg S, 6.00%, due 12/09/20 (d) | 4,776,300 | ||||||||
| 23,750,000 | Venezuela Government International Bonds, Reg S, 12.75%, due 08/23/22 (d) | 3,859,375 | ||||||||
| 172,793,000 | Venezuela Government International Bonds, Reg S, 9.00%, due 05/07/23 (d) | 26,523,726 | ||||||||
| 68,700,000 | Venezuela Government International Bonds, Reg S, 11.95%, due 08/05/31 (d) | 13,224,750 | ||||||||
| 7,000,000 | Venezuela Government International Bonds, 9.38%, due 01/13/34 (d) | 1,230,600 | ||||||||
|
|
|
|||||||||
| Total Venezuela | 89,611,953 | |||||||||
|
|
|
|||||||||
| Vietnam — 0.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.5% | ||||||||||
| 6,458,000 | Viet Nam Debt & Asset Trading Corp., Reg S, 1.00%, due 10/10/25 | 5,563,309 | ||||||||
| 8,018,000 | Vietnam Government International Bonds, Variable Rate, 6 mo. LIBOR + 0.81%, 6.71%, due 03/13/28 (c) | 7,316,425 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 12,879,734 | |||||||||
|
|
|
|||||||||
| Zambia — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 2,900,000 | Zambia Government International Bonds, Reg S, 5.38%, due 09/20/22 (d) | 1,566,841 | ||||||||
| 24,572,000 | Zambia Government International Bonds, Reg S, 8.97%, due 07/30/27 (d) | 14,866,060 | ||||||||
|
|
|
|||||||||
| Total Zambia | 16,432,901 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $3,327,134,245) |
2,399,362,161 | |||||||||
|
|
|
|||||||||
| LOAN ASSIGNMENTS — 0.9% | ||||||||||
| Chad — 0.3% | ||||||||||
| 853,798 | Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 7.63%, due 09/30/25 (c) | 690,723 | ||||||||
| 11,360,224 | Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 7.88%, due 12/31/27 (c) | 7,554,549 | ||||||||
|
|
|
|||||||||
| Total Chad | 8,245,272 | |||||||||
|
|
|
|||||||||
| Kenya — 0.0% | ||||||||||
| 1,475,000 | Kenya Government International Bonds, Variable Rate, 6 mo. LIBOR + 6.70%, 12.46%, due 04/10/25 (a) |
1,374,979 | ||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Turkey — 0.6% | ||||||||||
| 14,046,429 | Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, 8.85%, due 06/23/28 (a) | 14,448,620 | ||||||||
|
|
|
|||||||||
| TOTAL LOAN ASSIGNMENTS (COST $26,882,345) |
24,068,871 | |||||||||
|
|
|
|||||||||
| LOAN PARTICIPATIONS — 0.4% | ||||||||||
| Angola — 0.4% | ||||||||||
| 97,000 | Angola Government International Bonds Loan Agreement (Participation via Avenir II BV, Variable Rate, Reg S, 6 mo. LIBOR + 4.50%, 10.16%, due 12/07/23 (c) | 96,757 | ||||||||
| 6,800,000 | Angola Government International Bonds Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c) | 6,303,056 | ||||||||
| 2,566,667 | Angola Government International Bonds Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c) | 2,464,000 | ||||||||
|
|
|
|||||||||
| Total Angola | 8,863,813 | |||||||||
|
|
|
|||||||||
| Egypt — 0.0% | ||||||||||
| CHF |
120 | Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a) | 116 | |||||||
|
|
|
|||||||||
| Iraq — 0.0% | ||||||||||
| EUR |
503,981 | Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c) | 445,999 | |||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| EUR |
76,893,500 | Russian Foreign Trade Obligations, (Participation with GML International Ltd.) (c) (d) | 3 | |||||||
|
|
|
|||||||||
| Sudan — 0.0% | ||||||||||
| CHF |
11,833,578 | Republic of Sudan, Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (c) (d) | 709,447 | |||||||
| CHF |
5,155,077 | Republic of Sudan, Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (d) | 309,058 | |||||||
|
|
|
|||||||||
| Total Sudan | 1,018,505 | |||||||||
|
|
|
|||||||||
| TOTAL LOAN PARTICIPATIONS (COST $30,214,534) |
10,328,436 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 0.6% | ||||||||||
| Colombia — 0.6% | ||||||||||
| 9,300,000 | Bona Fide Investment Holdings II LLC (a) (i) (j) | 10,941,776 | ||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Shares |
Description | Value ($) | ||||||||
| Colombia — continued | ||||||||||
| 2,783,415 | Bona Fide Investments Feeder LLC (a) (i) (j) | 3,745,605 | ||||||||
|
|
|
|||||||||
| Total Colombia | 14,687,381 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $12,083,415) |
14,687,381 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.8% | ||||||||||
| Argentina — 0.6% | ||||||||||
| EUR |
271,989,676 | Argentina Republic Government International Bonds GDP Linked, Variable Rate, Expires 12/15/35 (k) | 13,769,793 | |||||||
| JPY |
1,898,045,000 | Argentina Republic Government International Bonds GDP Linked, Variable Rate, Expires 12/15/35 (a) (k) | 297,713 | |||||||
|
|
|
|||||||||
| Total Argentina | 14,067,506 | |||||||||
|
|
|
|||||||||
| Ukraine — 0.2% | ||||||||||
| 11,746,000 | Ukraine Government International Bonds GDP Linked, Variable Rate, Reg S, Expires 08/01/41 (c) (d) (k) | 5,067,929 | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $44,868,133) |
19,135,435 | |||||||||
|
|
|
|||||||||
|
Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 2.3% |
| |||||||||
| Money Market Funds — 0.3% | ||||||||||
| 6,425,285 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (l) | 6,425,285 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements — 2.0% | ||||||||||
| 51,999,743 | Nomura Securities International, Inc. Repurchase Agreement, dated, 11/30/23 maturing on 12/01/23 with a maturity value of $52,007,399 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 09/30/28 and a market value of $52,510,269. | 51,999,743 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $58,425,028) |
58,425,028 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 98.8% (Cost $3,499,607,700) |
2,526,007,312 | |||||||||
| Other Assets and Liabilities (net) — 1.2% | 31,924,340 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $2,557,931,652 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of November 30, 2023 |
||||||||
| Bona Fide Investment Holdings II LLC | 06/07/23 | $ | 9,300,000 | 0.4% | $ | 10,941,776 | ||||||
| Bona Fide Investments Feeder LLC | 12/31/21 | 2,783,415 | 0.1% | 3,745,605 | ||||||||
| GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 | 04/30/20 | 6,714,751 | 0.0% | 3,435 | ||||||||
| GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 | 03/12/21 | 5,312,942 | 0.0% | 2,600 | ||||||||
| GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 | 01/26/22 | 5,985,745 | 0.0% | 3,400 | ||||||||
|
|
|
|||||||||||
| $ | 14,696,816 | |||||||||||
|
|
|
|||||||||||
A summary of outstanding financial instruments at November 30, 2023 is as follows:
Forward Currency Contracts
| Settlement Date |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 02/02/2024 | GS | BRL | 63,000,000 | USD | 12,773,697 | 59,343 | ||||||||||||||
| 12/04/2023 | MSCI | BRL | 63,000,000 | USD | 12,395,920 | (403,624 | ) | |||||||||||||
| 01/29/2024 | JPM | COP | 112,820,000,000 | USD | 26,093,392 | (1,672,709 | ) | |||||||||||||
| 01/23/2024 | MSCI | EUR | 152,200,000 | USD | 161,656,338 | (4,385,549 | ) | |||||||||||||
| 01/18/2024 | BLCY | GBP | 48,600,000 | USD | 59,178,033 | (2,200,842 | ) | |||||||||||||
| 01/10/2024 | MSCI | HKD | 810,100,000 | USD | 103,612,629 | (108,992 | ) | |||||||||||||
| 01/23/2024 | MSCI | JPY | 3,695,100,000 | USD | 25,041,857 | (83,582 | ) | |||||||||||||
| 12/04/2023 | GS | USD | 12,866,859 | BRL | 63,000,000 | (67,314 | ) | |||||||||||||
| 02/29/2024 | MSCI | ZAR | 938,300,000 | USD | 49,363,686 | (43,462 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| $ | (8,906,731 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Reverse Repurchase Agreements(m)
| Face Value |
Description |
Value ($) | ||||||||
| USD | (4,810,747 | ) | Nomura International PLC, 4.50%, dated 06/01/23, (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. | (4,810,747 | ) | |||||
| USD | (10,224,020 | ) | Barclays Bank PLC, 4.50%, dated 07/26/23, (collateral: Peru Government International Bond, 3.60%, due 01/15/72), to be repurchased on demand at face value plus accrued interest. | (10,224,020 | ) | |||||
| USD | (898,174 | ) | Nomura International PLC, 3.25%, dated 10/19/23, (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. | (898,174 | ) | |||||
| USD | (572,765 | ) | Nomura International PLC, 4.75%, dated 10/19/23, (collateral: Ecuador Government International Bond, Reg S, Step Up, 2.50%, due 07/31/40), to be repurchased on demand at face value plus accrued interest. | (572,765 | ) | |||||
| USD | (1,015,840 | ) | Nomura International PLC, 4.75%, dated 10/25/23, (collateral: Argentina Republic Government International Bond, Step Up, 3.63%, due 07/09/35), to be repurchased on demand at face value plus accrued interest. | (1,015,840 | ) | |||||
| USD | (2,916,287 | ) | Nomura International PLC, 4.75%, dated 10/25/23, (collateral: Argentina Republic Government International Bond, Step Up, 4.25%, due 01/09/38), to be repurchased on demand at face value plus accrued interest. | (2,916,287 | ) | |||||
| USD | (583,181 | ) | Nomura International PLC, 4.75%, dated 10/26/23, (collateral: Argentina Republic Government International Bond, Step Up, 4.25%, due 01/09/38, to be repurchased on demand at face value plus accrued interest. | (583,181 | ) | |||||
| USD | (3,082,551 | ) | Nomura International PLC, 4.75%, dated 10/26/23, (collateral: Dominican Republic International Bond, Reg S, 6.50%, due 02/15/48), to be repurchased on demand at face value plus accrued interest. | (3,082,551 | ) | |||||
| USD | (592,807 | ) | Nomura International PLC, 4.75%, dated 11/02/23, (collateral: Argentina Republic Government International Bond, Step Up, 3.63%, due 07/09/35), to be repurchased on demand at face value plus accrued interest. | (592,807 | ) | |||||
| USD | (4,856,554 | ) | Nomura International PLC, 4.75%, dated 11/06/23, (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. | (4,856,554 | ) | |||||
| USD | (1,667,129 | ) | Nomura International PLC, 4.00%, dated 11/07/23, (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. | (1,667,129 | ) | |||||
| USD | (334,503 | ) | Nomura International PLC, 4.00%, dated 11/08/23, (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. | (334,503 | ) | |||||
| USD | (1,884,655 | ) | Nomura International PLC, 4.75%, dated 11/08/23, (collateral: Argentina Republic Government International Bond, Step Up, 4.25%, due 01/09/38), to be repurchased on demand at face value plus accrued interest. | (1,884,655 | ) | |||||
| USD | (6,793,231 | ) | Nomura International PLC, 4.75%, dated 11/15/23, (collateral: Argentina Republic Government International Bond, Step Up, 3.63%, due 07/09/35), to be repurchased on demand at face value plus accrued interest. | (6,793,231 | ) | |||||
| USD | (4,865,771 | ) | Nomura International PLC, 4.75%, dated 11/21/23, (collateral: Argentina Republic Government International Bond, Step Up, 4.25%, due 01/09/38), to be repurchased on demand at face value plus accrued interest. | (4,865,771 | ) | |||||
| USD | (2,451,874 | ) | Nomura International PLC, 4.75%, dated 11/27/23, (collateral: Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28), to be repurchased on demand at face value plus accrued interest. | (2,451,874 | ) | |||||
|
|
|
|||||||||
| $ | (47,550,089 | ) | ||||||||
|
|
|
|||||||||
| Average balance outstanding | $ | (29,600,101 | ) | |||||||
| Average interest rate (net) | (3.98 | )% | ||||||||
| Maximum balance outstanding | $ | (47,263,141 | ) | |||||||
Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements.
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Credit Linked Options
| Principal / Notional Amount |
Expiration Date |
Description |
Premiums Paid/ (Received) ($) |
Value ($) | ||||||||||||||
| Put Sold | USD | 7,946,000 | 01/24/2024 | Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (a) | (13,872 | ) | 5,035 | |||||||||||
| 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) | — | 80,656 | ||||||||||||
| 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) | — | 119,199 | ||||||||||||
|
|
|
|
|
|||||||||||||||
| $ | (13,872 | ) | $ | 204,890 | ||||||||||||||
|
|
|
|
|
|||||||||||||||
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% | 1.68% | N/A | 12/20/2027 | Quarterly | $ | 11,377,800 | $ | 2,855,944 | $ | (8,521,856 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
OTC Credit Default Swaps
| Reference Entity |
Counter- |
Notional |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||
| Republic of Nigeria |
JPM | USD | 9,100,000 | 5.00% | 2.22% | N/A | 12/20/2023 | Quarterly | 182,831 | (13,823 | ) | (196,654 | ) | |||||||||||||||||||
| Petrobras Global Finance BV |
CITI | USD | 40,600,000 | 1.00% | 0.17% | N/A | 12/20/2024 | Quarterly | 644,565 | (348,925 | ) | (993,490 | ) | |||||||||||||||||||
| Republic of Turkey |
BCLY | USD | 14,000,000 | 1.00% | 0.88% | N/A | 12/20/2024 | Quarterly | 1,744,254 | (17,412 | ) | (1,761,666 | ) | |||||||||||||||||||
| Republic of Turkey |
CITI | USD | 19,700,000 | 1.00% | 0.88% | N/A | 12/20/2024 | Quarterly | 1,335,735 | (24,501 | ) | (1,360,236 | ) | |||||||||||||||||||
| Commonwealth of Bahamas |
DB | EUR | 14,536,906 | 1.00% | 5.64% | N/A | 06/20/2025 | Quarterly | 1,805,109 | 909,800 | (895,309 | ) | ||||||||||||||||||||
| Republic of Brazil |
GS | USD | 14,000,000 | 1.00% | 0.52% | N/A | 12/20/2025 | Quarterly | (80,304 | ) | (130,920 | ) | (50,616 | ) | ||||||||||||||||||
| Republic of Colombia |
MORD | USD | 49,900,000 | 1.00% | 0.67% | N/A | 12/20/2025 | Quarterly | 167,096 | (321,548 | ) | (488,644 | ) | |||||||||||||||||||
| Republic of South Africa Government International Bonds |
MORD | USD | 37,800,000 | 1.00% | 1.06% | N/A | 12/20/2025 | Quarterly | 397,526 | 45,865 | (351,661 | ) | ||||||||||||||||||||
| Republic of Egypt |
CITI | USD | 2,500,000 | 1.00% | 13.58% | N/A | 12/20/2027 | Quarterly | 712,500 | 846,768 | 134,268 | |||||||||||||||||||||
| Republic of Egypt |
JPM | USD | 2,800,000 | 1.00% | 13.58% | N/A | 12/20/2027 | Quarterly | 772,800 | 948,381 | 175,581 | |||||||||||||||||||||
| Republic of Egypt |
JPM | USD | 2,800,000 | 1.00% | 13.58% | N/A | 12/20/2027 | Quarterly | 812,000 | 948,380 | 136,380 | |||||||||||||||||||||
| Kingdom of Bahrain |
MORD | USD | 6,000,000 | 1.00% | 2.07% | N/A | 06/20/2028 | Quarterly | 446,557 | 256,300 | (190,257 | ) | ||||||||||||||||||||
| Republic of Turkey |
MORD | USD | 1,800,000 | 1.00% | 3.17% | N/A | 06/20/2028 | Quarterly | 394,493 | 151,763 | (242,730 | ) | ||||||||||||||||||||
| Republic of South Africa Government International Bonds |
MORD | USD | 33,600,000 | 1.00% | 2.34% | N/A | 12/20/2028 | Quarterly | 2,423,687 | 1,965,623 | (458,064 | ) | ||||||||||||||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Swap Contracts — continued
OTC Credit Default Swaps — continued
| Reference Entity |
Counter- |
Notional |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||
| United Mexican States |
MORD | USD | 16,200,000 | 1.00% | 1.00% | N/A | 12/20/2028 | Quarterly | 154,980 | (3,128 | ) | (158,108 | ) | |||||||||||||||||||
| United States of Mexico |
GS | USD | 16,200,000 | 1.00% | 1.12% | N/A | 06/20/2029 | Quarterly | 1,287,609 | 98,640 | (1,188,969 | ) | ||||||||||||||||||||
| United States of Mexico |
GS | USD | 16,200,000 | 1.00% | 1.51% | N/A | 09/20/2031 | Quarterly | 2,138,930 | 530,014 | (1,608,916 | ) | ||||||||||||||||||||
| Sell Protection: |
| |||||||||||||||||||||||||||||||
| Commonwealth of Bahamas |
DB | USD | 19,426,321 | 1.00% | 5.64% | 19,426,321 USD | 06/20/2025 | Quarterly | (2,080,154 | ) | (1,101,686 | ) | 978,468 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 13,260,214 | $ | 4,739,591 | $ | (8,520,623 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of November 30, 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) ($) |
|||||||||||||||||||
| 0.30% |
JPY - TONA - OIS - COMPOUND | JPY | 8,570,000,000 | 12/21/2027 | Annually | (62,493 | ) | 351,794 | 414,287 | |||||||||||||||||
| USD - SOFR - COMPOUND |
4.01% | USD | 162,500,000 | 12/21/2027 | Annually | 155,081 | (475,518 | ) | (630,599 | ) | ||||||||||||||||
| BRL - CDI |
11.21% | BRL | 216,084,747 | 01/02/2029 | At Maturity | (193,660 | ) | 1,762,835 | 1,956,495 | |||||||||||||||||
| 0.58% |
JPY - TONA - OIS - COMPOUND | JPY | 4,360,000,000 | 12/21/2032 | Annually | (100,289 | ) | 752,711 | 853,000 | |||||||||||||||||
| USD - SOFR - COMPOUND |
3.45% | USD | 54,000,000 | 09/20/2033 | Annually | (1,200 | ) | (2,323,799 | ) | (2,322,599 | ) | |||||||||||||||
| 5.56% |
CL - CLICP - Bloomberg | CLP | 33,200,000,000 | 12/20/2033 | Semi-Annually | 217,080 | (1,414,474 | ) | (1,631,554 | ) | ||||||||||||||||
| 3.20% |
EURIBOR | EUR | 38,000,000 | 12/20/2033 | Semi-Annually | 194,395 | (921,107 | ) | (1,115,502 | ) | ||||||||||||||||
| 3.45% |
THB - THOR | THB | 901,000,000 | 12/20/2033 | Quarterly | 68,376 | (1,309,702 | ) | (1,378,078 | ) | ||||||||||||||||
| 4.00% |
GBP - SONIA - COMPOUND | GBP | 26,500,000 | 09/20/2053 | Annually | (311,447 | ) | (264,972 | ) | 46,475 | ||||||||||||||||
| 2.90% |
EURIBOR | EUR | 32,000,000 | 12/20/2053 | Semi-Annually | 320,213 | (1,130,986 | ) | (1,451,199 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 286,056 | $ | (4,973,218 | ) | $ | (5,259,274 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
As of November 30, 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 Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 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) | 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. |
| (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 November 30, 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 November 30, 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
EURIBOR - Euro Interbank Offered Rate
FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.
GDP - Gross Domestic Product
JSC - Joint-Stock Company
LIBOR - London Interbank Offered Rate
OIS - Overnight Indexed Swaps
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
STEP - Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at November 30, 2023.
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
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:
BRL - Brazilian Real
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
THB - Thai Baht
USD - United States Dollar
UYU - Uruguay Peso
ZAR - South African Rand
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 37.3% |
| |||||||||
| Corporate Debt — 9.8% | ||||||||||
| Australia — 0.1% | ||||||||||
| 200,000 | FMG Resources August 2006 Pty Ltd., 144A, 5.88%, due 04/15/30 | 192,280 | ||||||||
|
|
|
|||||||||
| Canada — 0.3% | ||||||||||
| 250,000 | Parkland Corp., 144A, 4.63%, due 05/01/30 | 223,125 | ||||||||
| 250,000 | Videotron Ltd., 144A, 3.63%, due 06/15/29 | 219,408 | ||||||||
|
|
|
|||||||||
| Total Canada | 442,533 | |||||||||
|
|
|
|||||||||
| United Kingdom — 0.3% | ||||||||||
| 200,000 | Harbour Energy PLC, 144A, 5.50%, due 10/15/26 | 188,203 | ||||||||
| 200,000 | Rolls-Royce PLC, 144A, 5.75%, due 10/15/27 | 197,637 | ||||||||
| 250,000 | Virgin Media Secured Finance PLC, 144A, 4.50%, due 08/15/30 | 214,535 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 600,375 | |||||||||
|
|
|
|||||||||
| United States — 9.1% | ||||||||||
| 200,000 | Adtalem Global Education, Inc., 144A, 5.50%, due 03/01/28 | 187,629 | ||||||||
| 150,000 | AECOM, 5.13%, due 03/15/27 | 145,832 | ||||||||
| 200,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 144A, 5.75%, due 03/01/27 | 195,687 | ||||||||
| 200,000 | Arcosa, Inc., 144A, 4.38%, due 04/15/29 | 178,378 | ||||||||
| 200,000 | ASGN, Inc., 144A, 4.63%, due 05/15/28 | 186,116 | ||||||||
| 200,000 | Beacon Roofing Supply, Inc., 144A, 6.50%, due 08/01/30 | 199,777 | ||||||||
| 200,000 | Black Knight InfoServ LLC, 144A, 3.63%, due 09/01/28 | 185,500 | ||||||||
| 200,000 | Boise Cascade Co., 144A, 4.88%, due 07/01/30 | 182,000 | ||||||||
| 200,000 | Builders FirstSource, Inc., 144A, 6.38%, due 06/15/32 | 196,790 | ||||||||
| 200,000 | BWX Technologies, Inc., 144A, 4.13%, due 06/30/28 | 180,754 | ||||||||
| 200,000 | Cargo Aircraft Management, Inc., 144A, 4.75%, due 02/01/28 | 175,678 | ||||||||
| 250,000 | Carnival Corp., 144A, 4.00%, due 08/01/28 | 226,466 | ||||||||
| 250,000 | CCO Holdings LLC / CCP Holdings Capital Corp., 144A, 4.75%, due 02/01/32 | 209,998 | ||||||||
| 250,000 | Central Garden & Pet Co., 4.13%, due 10/15/30 | 214,179 | ||||||||
| 200,000 | CNX Resources Corp., 144A, 6.00%, due 01/15/29 | 190,718 | ||||||||
| 250,000 | Crowdstrike Holdings, Inc., 3.00%, due 02/15/29 | 219,502 | ||||||||
| 200,000 | Crown Americas LLC, 5.25%, due 04/01/30 | 189,182 | ||||||||
| 250,000 | CTR Partnership LP / CareTrust Capital Corp., 144A, REIT, 3.88%, due 06/30/28 | 226,125 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Corporate Debt — continued | ||||||||||
| United States — continued | ||||||||||
| 200,000 | Directv Financing LLC / Directv Financing Co.-Obligor, Inc., 144A, 5.88%, due 08/15/27 | 179,968 | ||||||||
| 250,000 | DT Midstream, Inc., 144A, 4.13%, due 06/15/29 | 224,443 | ||||||||
| 200,000 | EnLink Midstream LLC, 144A, 5.63%, due 01/15/28 | 194,050 | ||||||||
| 200,000 | EnLink Midstream Partners LP, 4.85%, due 07/15/26 | 194,617 | ||||||||
| 200,000 | EQM Midstream Partners LP, 144A, 7.50%, due 06/01/30 | 206,383 | ||||||||
| 200,000 | Fair Isaac Corp., 144A, 4.00%, due 06/15/28 | 183,993 | ||||||||
| 200,000 | FirstCash, Inc., 144A, 5.63%, due 01/01/30 | 187,216 | ||||||||
| 200,000 | Fluor Corp., 4.25%, due 09/15/28 | 186,751 | ||||||||
| 200,000 | Forestar Group, Inc., 144A, 3.85%, due 05/15/26 | 186,151 | ||||||||
| 200,000 | Fortrea Holdings, Inc., 144A, 7.50%, due 07/01/30 | 198,000 | ||||||||
| 200,000 | Fortress Transportation & Infrastructure Investors LLC, 144A, 5.50%, due 05/01/28 | 187,817 | ||||||||
| 250,000 | Gartner, Inc., 144A, 3.63%, due 06/15/29 | 223,383 | ||||||||
| 200,000 | Hess Midstream Operations LP, 144A, 5.63%, due 02/15/26 | 197,500 | ||||||||
| 250,000 | Hilton Domestic Operating Co., Inc., 144A, 3.75%, due 05/01/29 | 224,512 | ||||||||
| 200,000 | Holly Energy Partners LP / Holly Energy Finance Corp., 144A, 5.00%, due 02/01/28 | 185,553 | ||||||||
| 250,000 | Howard Hughes Corp., 144A, 4.13%, due 02/01/29 | 214,375 | ||||||||
| 250,000 | Howmet Aerospace, Inc., 3.00%, due 01/15/29 | 220,312 | ||||||||
| 200,000 | Hughes Satellite Systems Corp., 5.25%, due 08/01/26 | 170,767 | ||||||||
| 225,000 | Iron Mountain Information Management Services, Inc., 144A, 5.00%, due 07/15/32 | 195,410 | ||||||||
| 250,000 | Kaiser Aluminum Corp., 144A, 4.50%, due 06/01/31 | 201,813 | ||||||||
| 250,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 144A, 4.75%, due 06/15/29 | 217,660 | ||||||||
| 250,000 | Lamar Media Corp., 4.00%, due 02/15/30 | 222,891 | ||||||||
| 100,000 | Lamb Weston Holdings, Inc., 144A, 4.13%, due 01/31/30 | 89,522 | ||||||||
| 250,000 | Live Nation Entertainment, Inc., 144A, 3.75%, due 01/15/28 | 226,125 | ||||||||
| 200,000 | M/I Homes, Inc., 4.95%, due 02/01/28 | 190,112 | ||||||||
| 200,000 | Moog, Inc., 144A, 4.25%, due 12/15/27 | 185,588 | ||||||||
| 225,000 | Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31 | 190,944 | ||||||||
| 200,000 | New Fortress Energy, Inc., 144A, 6.75%, due 09/15/25 | 193,841 | ||||||||
| 250,000 | News Corp., 144A, 3.88%, due 05/15/29 | 221,159 | ||||||||
| 200,000 | NMI Holdings, Inc., 144A, 7.38%, due 06/01/25 | 201,130 | ||||||||
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Corporate Debt — continued | ||||||||||
| United States — continued | ||||||||||
| 250,000 | Novelis Corp., 144A, 4.75%, due 01/30/30 | 226,962 | ||||||||
| 250,000 | NRG Energy, Inc., 144A, 3.63%, due 02/15/31 | 204,414 | ||||||||
| 200,000 | NuStar Logistics LP, 6.38%, due 10/01/30 | 195,000 | ||||||||
| 250,000 | OneMain Finance Corp., 3.50%, due 01/15/27 | 223,394 | ||||||||
| 200,000 | PBF Holding Co. LLC / PBF Finance Corp., 144A, 7.88%, due 09/15/30 | 200,000 | ||||||||
| 100,000 | PTC, Inc., 144A, 4.00%, due 02/15/28 | 91,994 | ||||||||
| 200,000 | Range Resources Corp., 144A, 4.75%, due 02/15/30 | 182,413 | ||||||||
| 200,000 | RingCentral, Inc., 144A, 8.50%, due 08/15/30 | 199,240 | ||||||||
| 200,000 | SBA Communications Corp., REIT, 3.13%, due 02/01/29 | 174,167 | ||||||||
| 250,000 | Seagate HDD Cayman, 5.75%, due 12/01/34 | 229,266 | ||||||||
| 250,000 | Sirius XM Radio, Inc., 144A, 4.00%, due 07/15/28 | 223,373 | ||||||||
| 250,000 | Sonic Automotive, Inc., 144A, 4.88%, due 11/15/31 | 210,330 | ||||||||
| 150,000 | Southwestern Energy Co., 4.75%, due 02/01/32 | 133,779 | ||||||||
| 250,000 | Starwood Property Trust, Inc., 144A, REIT, 4.38%, due 01/15/27 | 228,750 | ||||||||
| 200,000 | Steelcase, Inc., 5.13%, due 01/18/29 | 183,342 | ||||||||
| 250,000 | Stericycle, Inc., 144A, 3.88%, due 01/15/29 | 220,436 | ||||||||
| 250,000 | Sunoco LP / Sunoco Finance Corp., 4.50%, due 05/15/29 | 227,861 | ||||||||
| 200,000 | Taylor Morrison Communities, Inc., 144A, 5.75%, due 01/15/28 | 194,624 | ||||||||
| 250,000 | TEGNA, Inc., 4.63%, due 03/15/28 | 227,357 | ||||||||
| 250,000 | Tempur Sealy International, Inc., 144A, 4.00%, due 04/15/29 | 216,390 | ||||||||
| 250,000 | TopBuild Corp., 144A, 4.13%, due 02/15/32 | 213,642 | ||||||||
| 250,000 | TriNet Group, Inc., 144A, 3.50%, due 03/01/29 | 217,500 | ||||||||
| 150,000 | Twilio, Inc., 3.88%, due 03/15/31 | 129,410 | ||||||||
| 225,000 | U.S. Cellular Corp., 6.70%, due 12/15/33 | 220,572 | ||||||||
| 200,000 | Vistra Operations Co. LLC, 144A, 5.00%, due 07/31/27 | 190,338 | ||||||||
| 200,000 | Western Digital Corp., 4.75%, due 02/15/26 | 192,953 | ||||||||
| 200,000 | Wyndham Hotels & Resorts, Inc., 144A, 4.38%, due 08/15/28 | 184,083 | ||||||||
| 200,000 | XPO, Inc., 144A, 7.13%, due 06/01/31 | 202,155 | ||||||||
| 200,000 | Yum! Brands, Inc., 144A, 4.75%, due 01/15/30 | 185,891 | ||||||||
|
|
|
|||||||||
| Total United States | 15,121,933 | |||||||||
|
|
|
|||||||||
| Total Corporate Debt | 16,357,121 | |||||||||
|
|
|
|||||||||
| U.S. Government — 27.5% | ||||||||||
| 15,369,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield - 0.08%, 5.28%, due 04/30/24 (a) | 15,364,246 | ||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| U.S. Government — continued | ||||||||||
| 5,200,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.39%, due 07/31/24 | 5,200,175 | ||||||||
| 9,525,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.55%, due 01/31/25 (a) | 9,536,949 | ||||||||
| 15,580,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.13%, 5.48%, due 07/31/25 (a) | 15,569,864 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 45,671,234 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $61,683,839) | 62,028,355 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 61.9% | ||||||||||
| Repurchase Agreements — 39.1% | ||||||||||
| 64,999,177 | Nomura Securities International, Inc. Repurchase Ageement, dated 11/30/23, maturing on 12/01/23 with a maturity value of $65,008,747 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 09/30/28 and a market value of $65,637,329. | 64,999,177 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 21.4% | ||||||||||
| JPY |
1,530,000,000 | Japan Treasury Discount Bills, Zero Coupon, due 12/11/23 | 10,320,017 | |||||||
| JPY |
3,750,000,000 | Japan Treasury Discount Bills, Zero Coupon, due 01/09/24 | 25,298,675 | |||||||
|
|
|
|||||||||
| Total Sovereign and Sovereign Agency Issuers | 35,618,692 | |||||||||
|
|
|
|||||||||
| Money Market Funds — 1.4% | ||||||||||
| 2,270,325 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (b) | 2,270,325 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $102,719,910) |
102,888,194 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.2% (Cost $164,403,749) | 164,916,549 | |||||||||
| Other Assets and Liabilities (net) — 0.8% | 1,380,969 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $166,297,518 | |||||||||
|
|
|
|||||||||
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
A summary of outstanding financial instruments at November 30, 2023 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 12/11/2023 | SSB | JPY | 1,530,000,000 | USD | 10,525,465 | 194,706 | ||||||||||||||
| 01/09/2024 | MSCI | JPY | 3,750,000,000 | USD | 25,543,710 | 101,009 | ||||||||||||||
|
|
|
|||||||||||||||||||
| $ | 295,715 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 56 | U.S. Treasury Note 10 Yr. (CBT) | March 2024 | 6,148,625 | 33,362 | ||||||||||
| 25 | U.S. Treasury Note 2 Yr. (CBT) | March 2024 | 5,111,524 | 16,163 | ||||||||||
| 107 | U.S. Treasury Note 5 Yr. (CBT) | March 2024 | 11,433,117 | 60,291 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 22,693,266 | $ | 109,816 | |||||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||
| CDX.NA.HYS.41.V1 |
USD | 31,509,720 | 5.00% | 4.03% | 31,509,720 USD | 12/20/2028 | Quarterly | $ | 416,484 | $ | 1,228,375 | $ | 811,891 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of November 30, 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 iShares iBoxx High Yield Corporate Bond ETF | CITI | USD | 5,855,480 | 12/06/2023 | Monthly | — | 125,610 | 125,610 | |||||||||||||||||||||||
| SOFR |
Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 68,843,000 | 12/20/2023 | Quarterly | (543 | ) | 2,042,183 | 2,042,726 | ||||||||||||||||||||||
| SOFR |
Total Return on iBoxx USD Liquid High Yield Index | BCLY | USD | 18,459,000 | 12/20/2023 | Quarterly | 11 | 494,392 | 494,381 | |||||||||||||||||||||||
| SOFR |
Total Return on iBoxx USD Liquid High Yield Index | JPM | USD | 677,000 | 12/20/2023 | Quarterly | (6 | ) | 16,434 | 16,440 | ||||||||||||||||||||||
| SOFR |
Total Return on iBoxx USD Liquid High Yield Index | BOA | USD | 4,400,000 | 12/20/2023 | Quarterly | (13,647 | ) | 183,428 | 197,075 | ||||||||||||||||||||||
| SOFR |
Total Return on iBoxx USD Liquid High Yield Index | BCLY | USD | 14,079,000 | 03/20/2024 | Quarterly | 12 | 220,934 | 220,922 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (14,173 | ) | $ | 3,082,981 | $ | 3,097,154 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
As of November 30, 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 November 30, 2023. |
The rates shown on variable rate notes are the current interest rates at November 30, 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.
ETF - Exchange-Traded Fund
REIT - Real Estate Investment Trust
SOFR - Secured Overnight Financing Rate
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
CITI - Citibank N.A.
JPM - JPMorgan Chase Bank, N.A.
MSCI - Morgan Stanley & Co. International PLC
SSB - State Street Bank and Trust Company
Currency Abbreviations:
JPY - Japanese Yen
USD - United States Dollar
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 75.5% |
| |||||||||
| Germany — 0.1% | ||||||||||
| Corporate Debt — 0.1% | ||||||||||
| 150,000 | Deutsche Bank AG, Variable Rate, 6.72%, due 01/18/29 | 152,630 | ||||||||
|
|
|
|||||||||
| Japan — 1.7% | ||||||||||
| Corporate Debt — 1.7% | ||||||||||
| 250,000 | Mitsubishi UFJ Financial Group, Inc., 3.85%, due 03/01/26 | 241,398 | ||||||||
| 200,000 | Mitsubishi UFJ Financial Group, Inc., Variable Rate, 5.48%, due 02/22/31 | 198,950 | ||||||||
| 200,000 | Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.32%, due 04/19/33 | 183,492 | ||||||||
| 200,000 | Mizuho Financial Group, Inc., 4.02%, due 03/05/28 | 189,703 | ||||||||
| 250,000 | Mizuho Financial Group, Inc., Variable Rate, 4.25%, due 09/11/29 | 236,194 | ||||||||
| 200,000 | Mizuho Financial Group, Inc., Variable Rate, 5.75%, due 05/27/34 | 199,704 | ||||||||
| 200,000 | Sumitomo Mitsui Financial Group, Inc., 5.46%, due 01/13/26 | 199,841 | ||||||||
| 200,000 | Sumitomo Mitsui Financial Group, Inc., 5.77%, due 01/13/33 | 203,873 | ||||||||
|
|
|
|||||||||
| Total Japan | 1,653,155 | |||||||||
|
|
|
|||||||||
| United Kingdom — 0.7% | ||||||||||
| Corporate Debt — 0.7% | ||||||||||
| 200,000 | HSBC Holdings PLC, Variable Rate, 4.58%, due 06/19/29 | 190,387 | ||||||||
| 500,000 | HSBC Holdings PLC, Variable Rate, 3.97%, due 05/22/30 | 454,398 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 644,785 | |||||||||
|
|
|
|||||||||
| United States — 73.0% | ||||||||||
| Corporate Debt — 14.3% | ||||||||||
| 200,000 | Aircastle Ltd., 4.25%, due 06/15/26 | 189,914 | ||||||||
| 200,000 | Amazon.com, Inc., 1.00%, due 05/12/26 | 182,498 | ||||||||
| 200,000 | Amazon.com, Inc., 3.30%, due 04/13/27 | 191,395 | ||||||||
| 150,000 | Arch Capital Group U.S., Inc., 5.14%, due 11/01/43 | 133,142 | ||||||||
| 250,000 | Athene Holding Ltd., 4.13%, due 01/12/28 | 233,123 | ||||||||
| 200,000 | Athene Holding Ltd., 6.15%, due 04/03/30 | 203,121 | ||||||||
| 200,000 | Baker Hughes Holdings LLC / Baker Hughes Co.-Obligor, Inc., 3.34%, due 12/15/27 | 187,474 | ||||||||
| 150,000 | Bank of New York Mellon Corp., Variable Rate, 3.44%, due 02/07/28 | 141,370 | ||||||||
| 150,000 | Bank of New York Mellon Corp., Variable Rate, 6.47%, due 10/25/34 | 158,611 | ||||||||
| 150,000 | Berry Global, Inc., 144A, 5.50%, due 04/15/28 | 147,577 | ||||||||
| 200,000 | Block Financial LLC, 3.88%, due 08/15/30 | 178,544 | ||||||||
| 150,000 | Booking Holdings, Inc., 3.60%, due 06/01/26 | 145,023 | ||||||||
| 200,000 | Booking Holdings, Inc., 4.63%, due 04/13/30 | 195,272 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| Corporate Debt — continued |
| |||||||||
| 200,000 | Brighthouse Financial, Inc., 4.70%, due 06/22/47 | 145,146 | ||||||||
| 150,000 | Broadcom, Inc., 144A, 3.42%, due 04/15/33 | 126,057 | ||||||||
| 300,000 | Broadcom, Inc., 144A, 3.19%, due 11/15/36 | 229,222 | ||||||||
| 150,000 | Broadcom, Inc., 144A, 4.93%, due 05/15/37 | 137,390 | ||||||||
| 150,000 | Bunge Ltd. Finance Corp., 3.25%, due 08/15/26 | 142,381 | ||||||||
| 200,000 | Cardinal Health, Inc., 3.08%, due 06/15/24 | 197,015 | ||||||||
| 300,000 | Cardinal Health, Inc., 4.37%, due 06/15/47 | 240,853 | ||||||||
| 250,000 | Carrier Global Corp., 2.72%, due 02/15/30 | 215,062 | ||||||||
| 150,000 | CDW LLC / CDW Finance Corp., 4.25%, due 04/01/28 | 141,180 | ||||||||
| 150,000 | CDW LLC / CDW Finance Corp., 3.25%, due 02/15/29 | 131,865 | ||||||||
| 250,000 | Cencora, Inc., 3.25%, due 03/01/25 | 243,290 | ||||||||
| 150,000 | CF Industries, Inc., 5.38%, due 03/15/44 | 134,567 | ||||||||
| 200,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.38%, due 04/01/38 | 173,168 | ||||||||
| 100,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.83%, due 10/23/55 | 95,261 | ||||||||
| 200,000 | Cheniere Energy Partners LP, 4.50%, due 10/01/29 | 186,580 | ||||||||
| 200,000 | Cheniere Energy Partners LP, 4.00%, due 03/01/31 | 176,422 | ||||||||
| 200,000 | Cheniere Energy Partners LP, 144A, 5.95%, due 06/30/33 | 198,438 | ||||||||
| 200,000 | Cheniere Energy, Inc., 4.63%, due 10/15/28 | 190,344 | ||||||||
| 150,000 | Cigna Group, 1.25%, due 03/15/26 | 137,180 | ||||||||
| 150,000 | Cigna Group, 4.80%, due 07/15/46 | 132,357 | ||||||||
| 200,000 | Cigna Group, 3.88%, due 10/15/47 | 152,915 | ||||||||
| 150,000 | Comerica, Inc., 4.00%, due 02/01/29 | 131,510 | ||||||||
| 150,000 | Corebridge Financial, Inc., 144A, 6.05%, due 09/15/33 | 151,976 | ||||||||
| 150,000 | Dell International LLC / EMC Corp., 8.35%, due 07/15/46 | 184,984 | ||||||||
| 150,000 | Eli Lilly & Co., 4.15%, due 03/15/59 | 124,334 | ||||||||
| 200,000 | Enstar Group Ltd., 4.95%, due 06/01/29 | 189,522 | ||||||||
| 150,000 | FedEx Corp., 4.75%, due 11/15/45 | 129,583 | ||||||||
| 200,000 | FedEx Corp., 4.55%, due 04/01/46 | 168,310 | ||||||||
| 150,000 | Fortune Brands Innovations, Inc., 4.00%, due 06/15/25 | 146,209 | ||||||||
| 100,000 | Fortune Brands Innovations, Inc., 3.25%, due 09/15/29 | 89,033 | ||||||||
| 200,000 | Fortune Brands Innovations, Inc., 5.88%, due 06/01/33 | 199,336 | ||||||||
| 150,000 | FS KKR Capital Corp., 3.40%, due 01/15/26 | 139,517 | ||||||||
| 300,000 | FS KKR Capital Corp., 3.13%, due 10/12/28 | 252,628 | ||||||||
| 250,000 | GE Capital International Funding Co. Unlimited Co., 4.42%, due 11/15/35 | 232,737 | ||||||||
| 150,000 | Intel Corp., 4.10%, due 05/19/46 | 122,943 | ||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| United States — continued |
| |||||||||
| Corporate Debt — continued |
| |||||||||
| 150,000 | Intel Corp., 5.90%, due 02/10/63 | 156,892 | ||||||||
| 150,000 | Jacobs Engineering Group, Inc., 6.35%, due 08/18/28 | 153,013 | ||||||||
| 150,000 | JPMorgan Chase & Co., Variable Rate, 4.91%, due 07/25/33 | 142,663 | ||||||||
| 250,000 | Kyndryl Holdings, Inc., 2.05%, due 10/15/26 | 223,309 | ||||||||
| 300,000 | Kyndryl Holdings, Inc., 3.15%, due 10/15/31 | 238,208 | ||||||||
| 150,000 | Lennox International, Inc., 5.50%, due 09/15/28 | 150,565 | ||||||||
| 250,000 | Magellan Midstream Partners LP, 3.95%, due 03/01/50 | 177,170 | ||||||||
| 200,000 | Marriott International, Inc., 2.75%, due 10/15/33 | 157,212 | ||||||||
| 150,000 | Meta Platforms, Inc., 3.85%, due 08/15/32 | 137,725 | ||||||||
| 250,000 | Meta Platforms, Inc., 4.65%, due 08/15/62 | 215,274 | ||||||||
| 250,000 | MPLX LP, 5.50%, due 02/15/49 | 226,917 | ||||||||
| 200,000 | NVIDIA Corp., 3.50%, due 04/01/50 | 154,806 | ||||||||
| 250,000 | Omega Healthcare Investors, Inc., 5.25%, due 01/15/26 | 243,317 | ||||||||
| 200,000 | Omega Healthcare Investors, Inc., 3.38%, due 02/01/31 | 162,247 | ||||||||
| 150,000 | Omega Healthcare Investors, Inc., 3.25%, due 04/15/33 | 114,685 | ||||||||
| 150,000 | ONEOK, Inc., 5.20%, due 07/15/48 | 131,776 | ||||||||
| 150,000 | ONEOK, Inc., 6.63%, due 09/01/53 | 157,510 | ||||||||
| 150,000 | Owens Corning, 4.30%, due 07/15/47 | 119,041 | ||||||||
| 250,000 | Pacific Gas & Electric Co., 3.75%, due 07/01/28 | 226,642 | ||||||||
| 150,000 | Pacific Gas & Electric Co., 4.75%, due 02/15/44 | 117,042 | ||||||||
| 150,000 | PacifiCorp, 5.35%, due 12/01/53 | 127,122 | ||||||||
| 150,000 | Pilgrim’s Pride Corp., 6.25%, due 07/01/33 | 147,696 | ||||||||
| 200,000 | Pilgrim’s Pride Corp., 6.88%, due 05/15/34 | 204,012 | ||||||||
| 150,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.70%, due 06/15/44 | 118,480 | ||||||||
| 150,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.90%, due 02/15/45 | 121,567 | ||||||||
| 150,000 | Sabra Health Care LP, 5.13%, due 08/15/26 | 145,199 | ||||||||
| 250,000 | Sabra Health Care LP, REIT, 3.20%, due 12/01/31 | 195,528 | ||||||||
| 350,000 | Union Pacific Corp., 3.80%, due 04/06/71 | 250,429 | ||||||||
| 200,000 | Verisk Analytics, Inc., 4.00%, due 06/15/25 | 195,003 | ||||||||
| 150,000 | Verisk Analytics, Inc., 4.13%, due 03/15/29 | 141,589 | ||||||||
| 150,000 | Verisk Analytics, Inc., 5.75%, due 04/01/33 | 152,716 | ||||||||
| 300,000 | Vontier Corp., 2.95%, due 04/01/31 | 238,577 | ||||||||
| 150,000 | Vulcan Materials Co., 3.50%, due 06/01/30 | 133,504 | ||||||||
| 150,000 | Williams Cos., Inc., 5.75%, due 06/24/44 | 142,802 | ||||||||
| 150,000 | WRKCo, Inc., 4.00%, due 03/15/28 | 141,007 | ||||||||
|
|
|
|||||||||
| 13,937,624 | ||||||||||
|
|
|
|||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| United States — continued |
| |||||||||
| Defeased Securities — Asset-Backed (a) — 34.3% |
| |||||||||
| 15,310,000 | Citigroup Commercial Mortgage Trust, 144A, 3.34%, due 05/10/36 | 15,286,344 | ||||||||
| 14,655,000 | Citigroup Commercial Mortgage Trust, 144A, 4.15%, due 01/10/36 | 14,628,520 | ||||||||
| 3,380,000 | Citigroup Commercial Mortgage Trust, 144A, 3.90%, due 05/10/36 | 3,374,827 | ||||||||
|
|
|
|||||||||
| 33,289,691 | ||||||||||
|
|
|
|||||||||
| U.S. Government — 4.5% | ||||||||||
| 3,900,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield - 0.08%, 5.28%, due 04/30/24 (b) | 3,898,794 | ||||||||
| 450,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.39%, due 07/31/24 (b) | 450,015 | ||||||||
|
|
|
|||||||||
| 4,348,809 | ||||||||||
|
|
|
|||||||||
| U.S. Government Agency — 19.9% | ||||||||||
| 5,700,000 | Uniform Mortgage-Backed Security, TBA, 2.50%, due 12/01/38 | 5,123,635 | ||||||||
| 800,000 | Uniform Mortgage-Backed Security, TBA, 2.00%, due 12/01/53 | 621,188 | ||||||||
| 1,900,000 | Uniform Mortgage-Backed Security, TBA, 2.50%, due 12/01/53 | 1,538,109 | ||||||||
| 3,700,000 | Uniform Mortgage-Backed Security, TBA, 3.00%, due 12/01/53 | 3,118,167 | ||||||||
| 1,900,000 | Government National Mortgage Association, TBA, 3.00%, due 12/20/53 | 1,643,377 | ||||||||
| 3,700,000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 12/01/53 | 3,645,620 | ||||||||
| 3,600,000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 12/01/53 | 3,609,995 | ||||||||
| 19,300,091 | ||||||||||
|
|
|
|||||||||
| Total United States | 70,876,215 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $73,267,761) |
73,326,785 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 25.2% | ||||||||||
| United States — 25.2% | ||||||||||
| Affiliated Issuers — 25.2% | ||||||||||
| 247,731 | GMO Emerging Country Debt Fund, Class VI | 4,771,298 | ||||||||
| 790,893 | GMO Opportunistic Income Fund, Class VI | 19,645,795 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $27,535,534) |
24,417,093 | |||||||||
|
|
|
|||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Par Value† / Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 12.7% |
| |||||||||
| Repurchase Agreements — 12.4% | ||||||||||
| 11,999,169 | Nomura Securities International, Inc. Repurchase Agreement, dated, 11/30/23 maturing on 12/01/23 with a maturity value of $12,000,936 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 09/30/28 and a market value of $12,156,658. | 11,999,169 | ||||||||
|
|
|
|||||||||
| Money Market Funds — 0.3% | ||||||||||
| 319,152 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (c) | 319,152 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $12,318,321) |
|
12,318,321 |
| |||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 113.4% (Cost $113,121,616) |
|
110,062,199 |
| |||||||
| Other Assets and Liabilities (net) — (13.4%) | (13,005,383 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $97,056,816 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2023 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 12/04/2023 | GS | BRL | 3,563,667 | USD | 727,829 | 3,808 | ||||||||||||||
| 01/31/2024 | CITI | CAD | 190,000 | USD | 140,162 | 9 | ||||||||||||||
| 01/26/2024 | MSCI | CLP | 60,000,000 | USD | 68,747 | 207 | ||||||||||||||
| 01/30/2024 | CITI | IDR | 1,000,000,000 | USD | 64,282 | 32 | ||||||||||||||
| 02/29/2024 | DB | ILS | 586,203 | USD | 158,607 | 847 | ||||||||||||||
| 02/12/2024 | MSCI | INR | 8,000,000 | USD | 95,807 | 43 | ||||||||||||||
| 01/23/2024 | GS | JPY | 167,000,000 | USD | 1,135,674 | 130 | ||||||||||||||
| 01/18/2024 | MSCI | MXN | 3,200,000 | USD | 183,140 | 226 | ||||||||||||||
| 02/29/2024 | MSCI | PEN | 240,000 | USD | 64,128 | 105 | ||||||||||||||
| 02/22/2024 | DB | PLN | 800,000 | USD | 200,212 | 621 | ||||||||||||||
| 01/25/2024 | BOA | RON | 4,031,041 | USD | 887,252 | 4,841 | ||||||||||||||
| 01/10/2024 | GS | SEK | 9,500,000 | USD | 906,300 | 145 | ||||||||||||||
| 02/22/2024 | CITI | THB | 11,722,300 | USD | 335,877 | 199 | ||||||||||||||
| 01/26/2024 | JPM | TWD | 24,345,600 | USD | 787,399 | 4,534 | ||||||||||||||
| 02/08/2024 | GS | USD | 501,350 | AUD | 780,000 | 15,081 | ||||||||||||||
| 02/08/2024 | SSB | USD | 402,023 | AUD | 630,000 | 15,094 | ||||||||||||||
| 12/04/2023 | CITI | USD | 344,443 | BRL | 1,700,000 | 941 | ||||||||||||||
| 12/04/2023 | GS | USD | 843,616 | BRL | 4,163,667 | 2,305 | ||||||||||||||
| 12/04/2023 | MSCI | USD | 850,134 | BRL | 4,313,667 | 26,262 | ||||||||||||||
| 01/31/2024 | JPM | USD | 2,417,871 | CAD | 3,337,182 | 43,801 | ||||||||||||||
| 01/12/2024 | GS | USD | 1,477,384 | CHF | 1,320,000 | 36,694 | ||||||||||||||
| 01/12/2024 | SSB | USD | 205,544 | CHF | 180,000 | 921 | ||||||||||||||
| 01/26/2024 | JPM | USD | 86,072 | CLP | 80,000,000 | 5,314 | ||||||||||||||
| 01/26/2024 | MSCI | USD | 288,581 | CLP | 260,271,500 | 8,736 | ||||||||||||||
| 01/29/2024 | JPM | USD | 262,196 | COP | 1,133,658,000 | 16,808 | ||||||||||||||
| 01/18/2024 | BCLY | USD | 2,617,958 | GBP | 2,150,000 | 97,362 | ||||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 01/23/2024 | BCLY | USD | 982,035 | JPY | 146,000,000 | 10,716 | ||||||||||||||
| 01/23/2024 | MSCI | USD | 4,817,815 | JPY | 710,902,084 | 16,080 | ||||||||||||||
| 01/30/2024 | BCLY | USD | 121,265 | KRW | 160,000,000 | 2,209 | ||||||||||||||
| 01/30/2024 | CITI | USD | 4,275 | KRW | 5,778,325 | 184 | ||||||||||||||
| 01/30/2024 | MSCI | USD | 59,275 | KRW | 80,000,000 | 2,462 | ||||||||||||||
| 01/18/2024 | MSCI | USD | 855,518 | MXN | 15,619,101 | 37,278 | ||||||||||||||
| 01/17/2024 | JPM | USD | 5,238,397 | NOK | 57,085,429 | 44,451 | ||||||||||||||
| 02/29/2024 | MSCI | USD | 127,747 | PEN | 480,000 | 299 | ||||||||||||||
| 01/10/2024 | BOA | USD | 741,741 | SEK | 8,200,000 | 40,413 | ||||||||||||||
| 01/10/2024 | SSB | USD | 638,783 | SEK | 7,100,000 | 38,448 | ||||||||||||||
| 02/22/2024 | CITI | USD | 42,931 | THB | 1,500,000 | 23 | ||||||||||||||
| 02/29/2024 | BOA | USD | 146,887 | ZAR | 2,800,000 | 550 | ||||||||||||||
| 02/08/2024 | CITI | AUD | 600,000 | USD | 391,336 | (5,919 | ) | |||||||||||||
| 12/04/2023 | CITI | BRL | 1,700,000 | USD | 327,158 | (18,226 | ) | |||||||||||||
| 12/04/2023 | GS | BRL | 2,150,000 | USD | 431,945 | (4,863 | ) | |||||||||||||
| 02/02/2024 | GS | BRL | 650,000 | USD | 130,900 | (280 | ) | |||||||||||||
| 12/04/2023 | MSCI | BRL | 4,313,667 | USD | 874,008 | (2,388 | ) | |||||||||||||
| 01/31/2024 | BCLY | CAD | 880,000 | USD | 639,246 | (9,886 | ) | |||||||||||||
| 01/31/2024 | CITI | CAD | 690,000 | USD | 500,427 | (8,551 | ) | |||||||||||||
| 01/31/2024 | JPM | CAD | 2,190,000 | USD | 1,585,991 | (29,462 | ) | |||||||||||||
| 01/12/2024 | SSB | CHF | 7,163,976 | USD | 7,984,326 | (232,958 | ) | |||||||||||||
| 01/29/2024 | MSCI | COP | 1,600,000,000 | USD | 385,099 | (8,676 | ) | |||||||||||||
| 01/17/2024 | CITI | CZK | 2,200,000 | USD | 96,379 | (2,013 | ) | |||||||||||||
| 01/17/2024 | GS | CZK | 6,642,868 | USD | 284,609 | (12,484 | ) | |||||||||||||
| 01/17/2024 | MSCI | CZK | 2,000,000 | USD | 85,437 | (4,011 | ) | |||||||||||||
| 01/31/2024 | MSCI | EUR | 5,530,000 | USD | 5,859,258 | (175,681 | ) | |||||||||||||
| 01/18/2024 | BOA | GBP | 400,000 | USD | 488,730 | (16,446 | ) | |||||||||||||
| 01/18/2024 | SSB | GBP | 680,000 | USD | 832,564 | (26,235 | ) | |||||||||||||
| 02/14/2024 | MSCI | HUF | 75,230,100 | USD | 210,363 | (3,331 | ) | |||||||||||||
| 01/30/2024 | MSCI | IDR | 1,105,959,000 | USD | 69,427 | (1,631 | ) | |||||||||||||
| 01/23/2024 | BCLY | JPY | 65,000,000 | USD | 439,939 | (2,040 | ) | |||||||||||||
| 01/23/2024 | DB | JPY | 64,000,000 | USD | 433,926 | (1,252 | ) | |||||||||||||
| 01/18/2024 | JPM | MXN | 2,000,000 | USD | 112,792 | (1,529 | ) | |||||||||||||
| 01/17/2024 | CITI | NOK | 19,500,000 | USD | 1,803,886 | (700 | ) | |||||||||||||
| 02/29/2024 | DB | NZD | 3,030,000 | USD | 1,838,776 | (27,589 | ) | |||||||||||||
| 01/29/2024 | MSCI | PHP | 5,500,000 | USD | 96,841 | (2,286 | ) | |||||||||||||
| 01/10/2024 | BCLY | SEK | 5,500,000 | USD | 503,677 | (20,939 | ) | |||||||||||||
| 01/10/2024 | MSCI | SEK | 1,697,350 | USD | 154,277 | (7,624 | ) | |||||||||||||
| 01/22/2024 | SSB | SGD | 600,686 | USD | 449,712 | (363 | ) | |||||||||||||
| 02/08/2024 | SSB | USD | 231,736 | AUD | 350,000 | (4 | ) | |||||||||||||
| 12/04/2023 | GS | USD | 316,204 | BRL | 1,550,000 | (1,295 | ) | |||||||||||||
| 02/02/2024 | GS | USD | 722,559 | BRL | 3,563,667 | (3,357 | ) | |||||||||||||
| 01/12/2024 | SSB | USD | 1,491,242 | CHF | 1,300,000 | (105 | ) | |||||||||||||
| 01/17/2024 | MSCI | USD | 134,422 | CZK | 3,000,000 | (251 | ) | |||||||||||||
| 01/31/2024 | DB | USD | 1,637,102 | EUR | 1,500,000 | (138 | ) | |||||||||||||
| 01/18/2024 | BCLY | USD | 265,222 | GBP | 210,000 | (5 | ) | |||||||||||||
| 02/14/2024 | MSCI | USD | 299,353 | HUF | 105,000,000 | (1,095 | ) | |||||||||||||
| 01/30/2024 | JPM | USD | 64,473 | IDR | 1,000,000,000 | (223 | ) | |||||||||||||
| 02/12/2024 | JPM | USD | 136,852 | INR | 11,420,556 | (142 | ) | |||||||||||||
| 01/23/2024 | GS | USD | 483,198 | JPY | 71,000,000 | (421 | ) | |||||||||||||
| 01/30/2024 | MSCI | USD | 124,266 | KRW | 160,000,000 | (793 | ) | |||||||||||||
| 01/30/2024 | SSB | USD | 262,532 | KRW | 340,000,000 | (150 | ) | |||||||||||||
| 01/29/2024 | CITI | USD | 72,118 | PHP | 4,000,000 | (25 | ) | |||||||||||||
| 02/22/2024 | DB | USD | 162,837 | PLN | 650,000 | (669 | ) | |||||||||||||
| 01/25/2024 | BBH | USD | 231,015 | RON | 1,050,000 | (1,166 | ) | |||||||||||||
| 01/25/2024 | CITI | USD | 186,571 | RON | 850,000 | (503 | ) | |||||||||||||
| 01/22/2024 | CITI | USD | 187,674 | SGD | 250,000 | (358 | ) | |||||||||||||
| 01/26/2024 | MSCI | USD | 183,589 | TWD | 5,700,000 | (298 | ) | |||||||||||||
| 02/29/2024 | MSCI | ZAR | 6,000,000 | USD | 315,658 | (278 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| $ | (160,460 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 59 | U.S. Long Bond (CBT) | March 2024 | 6,869,812 | 25,673 | ||||||||||
| 53 | U.S. Treasury Note 10 Yr. (CBT) | March 2024 | 5,819,234 | 27,240 | ||||||||||
| 36 | U.S. Treasury Note 2 Yr. (CBT) | March 2024 | 7,360,594 | 21,959 | ||||||||||
| 117 | U.S. Treasury Note 5 Yr. (CBT) | March 2024 | 12,501,633 | 55,559 | ||||||||||
| 27 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2024 | 3,064,922 | 15,139 | ||||||||||
| 43 | U.S. Ultra Bond (CBT) | March 2024 | 5,289,000 | 19,782 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 40,905,195 | $ | 165,352 | |||||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
Swap Contracts
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 4.15% |
3 Month AUD BBSW | AUD | 36,975,000 | 12/20/2025 | Quarterly | 1,168 | 93,482 | 92,314 | ||||||||||||||||||
| 3 Month AUD BBSW |
4.30% | AUD | 2,500,000 | 12/20/2025 | Quarterly | — | (1,690 | ) | (1,690 | ) | ||||||||||||||||
| 3 Month AUD BBSW |
4.31% | AUD | 5,500,000 | 12/20/2025 | Quarterly | — | (3,128 | ) | (3,128 | ) | ||||||||||||||||
| 3 Month AUD BBSW |
4.33% | AUD | 3,500,000 | 12/20/2025 | Quarterly | — | (1,064 | ) | (1,064 | ) | ||||||||||||||||
| 3 Month AUD BBSW |
4.36% | AUD | 13,500,000 | 12/20/2025 | Quarterly | — | 1,168 | 1,168 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.70% | CAD | 7,994,000 | 12/20/2025 | Annually | (3,016 | ) | 58,073 | 61,089 | |||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.98% | CAD | 3,500,000 | 12/20/2025 | Annually | — | 39,018 | 39,018 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
5.06% | CAD | 4,000,000 | 12/20/2025 | Annually | — | 49,429 | 49,429 | ||||||||||||||||||
| 4.61% |
CAD - CORRA - OIS - COMPOUND | CAD | 8,000,000 | 12/20/2025 | Annually | — | (48,197 | ) | (48,197 | ) | ||||||||||||||||
| 4.18% |
CAD - CORRA - OIS -COMPOUND | CAD | 2,000,000 | 12/20/2025 | Annually | — | (41 | ) | (41 | ) | ||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
1.78% |
CHF | 16,859,000 | 12/20/2025 | Annually | 2,439 | 190,797 | 188,358 | ||||||||||||||||||
| 1.39% |
CHF - SARON - OIS - COMPOUND | CHF | 2,500,000 | 12/20/2025 | Annually | — | (5,734 | ) | (5,734 | ) | ||||||||||||||||
| 1.30% |
CHF -SARON -OIS -COMPOUND | CHF | 3,500,000 | 12/20/2025 | Annually | — | (979 | ) | (979 | ) | ||||||||||||||||
| EUR - EuroSTR - COMPOUND |
3.06% | EUR | 3,500,000 | 12/20/2025 | Annually | 3,431 | 3,788 | 357 | ||||||||||||||||||
| 3.39% |
EUR - EuroSTR - COMPOUND | EUR | 12,476,000 | 12/20/2025 | Annually | (84 | ) | (101,083 | ) | (100,999 | ) | |||||||||||||||
| 3.45% |
EUR - EuroSTR - COMPOUND | EUR | 3,000,000 | 12/20/2025 | Annually | — | (28,064 | ) | (28,064 | ) | ||||||||||||||||
|
GBP - SONIA - COMPOUND |
5.10% | GBP | 1,000,000 | 12/20/2025 | Annually | — | 9,350 | 9,350 | ||||||||||||||||||
|
GBP - SONIA - COMPOUND |
5.10% | GBP | 4,000,000 | 12/20/2025 | Annually | — | 37,022 | 37,022 | ||||||||||||||||||
|
GBP - SONIA - COMPOUND |
5.19% | GBP | 3,000,000 | 12/20/2025 | Annually | — | 34,655 | 34,655 | ||||||||||||||||||
|
GBP - SONIA - COMPOUND |
5.23% | GBP | 13,662,000 | 12/20/2025 | Annually | (3,826 | ) | 168,311 | 172,137 | |||||||||||||||||
| 5.12% |
GBP - SONIA - COMPOUND | GBP | 7,610,000 | 12/20/2025 | Annually | (1,497 | ) | (73,840 | ) | (72,343 | ) | |||||||||||||||
| 4.97% |
GBP - SONIA - COMPOUND | GBP | 2,500,000 | 12/20/2025 | Annually | — | (15,955 | ) | (15,955 | ) | ||||||||||||||||
| 4.69% |
GBP - SONIA - COMPOUND | GBP | 3,000,000 | 12/20/2025 | Annually | — | 1,238 | 1,238 | ||||||||||||||||||
| 4.66% |
GBP - SONIA - COMPOUND | GBP | 2,000,000 | 12/20/2025 | Annually | 2,145 | 1,989 | (156 | ) | |||||||||||||||||
| 5.19% |
3 Month NZD Bank Bill Rate | NZD | 13,000,000 | 12/20/2025 | Quarterly | — | (9,659 | ) | (9,659 | ) | ||||||||||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps — continued
| Fund Pays |
Fund Receives |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.15% | NZD | 1,500,000 | 12/20/2025 | Quarterly | — | 455 | 455 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.67% | NZD | 7,000,000 | 12/20/2025 | Quarterly | — | 43,677 | 43,677 | ||||||||||||||||||
| 3.43% |
3 Month SEK STIBOR | SEK | 25,000,000 | 12/20/2025 | Quarterly | — | 793 | 793 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.82% | SEK | 25,000,000 | 12/20/2025 | Quarterly | — | 17,214 | 17,214 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.93% | SEK | 85,582,000 | 12/20/2025 | Quarterly | (1,911 | ) | 75,598 | 77,509 | |||||||||||||||||
| USD - SOFR - COMPOUND |
4.49% | USD | 1,000,000 | 12/20/2025 | Annually | — | (144 | ) | (144 | ) | ||||||||||||||||
| USD - SOFR - COMPOUND |
4.59% | USD | 3,000,000 | 12/20/2025 | Annually | — | 5,390 | 5,390 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.85% | USD | 3,000,000 | 12/20/2025 | Annually | — | 19,961 | 19,961 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.90% | USD | 2,500,000 | 12/20/2025 | Annually | — | 19,119 | 19,119 | ||||||||||||||||||
| 4.66% |
USD - SOFR - COMPOUND | USD | 9,606,000 | 12/20/2025 | Annually | 3,210 | (29,191 | ) | (32,401 | ) | ||||||||||||||||
| 4.67% |
USD - SOFR - COMPOUND | USD | 2,500,000 | 12/20/2025 | Annually | — | (8,397 | ) | (8,397 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
4.47% | AUD | 8,685,000 | 12/20/2033 | Semi-Annually | (3,879 | ) | (137,720 | ) | (133,841 | ) | |||||||||||||||
| 6 Month AUD BBSW |
5.04% | AUD | 17,230,000 | 12/20/2033 | Semi-Annually | 5,196 | 246,344 | 241,148 | ||||||||||||||||||
| 6 Month AUD BBSW |
5.22% | AUD | 900,000 | 12/20/2033 | Semi-Annually | — | 20,969 | 20,969 | ||||||||||||||||||
| 4.64% |
6 Month AUD BBSW | AUD | 1,300,000 | 12/20/2033 | Semi-Annually | — | 8,912 | 8,912 | ||||||||||||||||||
| 4.88% |
6 Month AUD BBSW | AUD | 3,200,000 | 12/20/2033 | Semi-Annually | — | (18,878 | ) | (18,878 | ) | ||||||||||||||||
| 4.93% |
6 Month AUD BBSW | AUD | 600,000 | 12/20/2033 | Semi-Annually | — | (4,925 | ) | (4,925 | ) | ||||||||||||||||
| 4.74% |
6 Month AUD BBSW | AUD | 4,200,000 | 12/20/2033 | Semi-Annually | — | 7,630 | 7,630 | ||||||||||||||||||
| 4.74% |
6 Month AUD BBSW | AUD | 800,000 | 12/20/2033 | Semi-Annually | — | 1,432 | 1,432 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
3.60% | CAD | 600,000 | 12/20/2033 | Annually | — | 494 | 494 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
3.74% | CAD | 800,000 | 12/20/2033 | Annually | — | 7,535 | 7,535 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.07% | CAD | 2,400,000 | 12/20/2033 | Annually | — | 70,985 | 70,985 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.07% | CAD | 1,900,000 | 12/20/2033 | Annually | — | 56,255 | 56,255 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.30% | CAD | 1,300,000 | 12/20/2033 | Annually | — | 56,942 | 56,942 | ||||||||||||||||||
| 4.18% |
CAD - CORRA - OIS - COMPOUND | CAD | 1,000,000 | 12/20/2033 | Annually | — | (36,154 | ) | (36,154 | ) | ||||||||||||||||
| 4.33% |
CAD - CORRA - OIS - COMPOUND | CAD | 800,000 | 12/20/2033 | Annually | — | (36,216 | ) | (36,216 | ) | ||||||||||||||||
| 4.21% |
CAD - CORRA - OIS - COMPOUND | CAD | 1,100,000 | 12/20/2033 | Annually | — | (41,889 | ) | (41,889 | ) | ||||||||||||||||
| 3.82% |
CAD - CORRA - OIS - COMPOUND | CAD | 2,931,000 | 12/20/2033 | Annually | (1,348 | ) | (41,879 | ) | (40,531 | ) | |||||||||||||||
| 4.15% |
CAD - CORRA - OIS - COMPOUND | CAD | 3,300,000 | 12/20/2033 | Annually | — | (114,563 | ) | (114,563 | ) | ||||||||||||||||
|
CHF - SARON - OIS - COMPOUND |
1.33% | CHF | 1,200,000 | 12/20/2033 | Annually | — | 1,795 | 1,795 | ||||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
1.39% | CHF | 500,000 | 12/20/2033 | Annually | — | 4,313 | 4,313 | ||||||||||||||||||
|
CAD - CORRA - OIS - COMPOUND |
1.74% | CHF | 247,000 | 12/20/2033 | Annually | (366 | ) | 11,398 | 11,764 | |||||||||||||||||
| 1.74% |
CHF - SARON -OIS -COMPOUND | CHF | 3,635,000 | 12/20/2033 | Annually | 4,666 | (168,401 | ) | (173,067 | ) | ||||||||||||||||
| 1.82% |
CHF - SARON - OIS - COMPOUND | CHF | 1,400,000 | 12/20/2033 | Annually | — | (76,958 | ) | (76,958 | ) | ||||||||||||||||
| 1.85% |
CHF - SARON - OIS - COMPOUND | CHF | 900,000 | 12/20/2033 | Annually | — | (51,806 | ) | (51,806 | ) | ||||||||||||||||
| EUR - EuroSTR - COMPOUND |
2.85% | EUR | 900,000 | 12/20/2033 | Annually | — | 9,095 | 9,095 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
2.96% | EUR | 1,200,000 | 12/20/2033 | Annually | — | 25,318 | 25,318 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
2.99% | EUR | 2,800,000 | 12/20/2033 | Annually | 2,761 | 66,805 | 64,044 | ||||||||||||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps — continued
| Fund Pays |
Fund Receives |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
3.06% | EUR | 700,000 | 12/20/2033 | Annually | — | 21,465 | 21,465 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
3.09% | EUR | 600,000 | 12/20/2033 | Annually | — | 19,969 | 19,969 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
3.29% | EUR | 1,700,000 | 12/20/2033 | Annually | — | 89,344 | 89,344 | ||||||||||||||||||
| 2.98% |
EUR -EuroSTR - COMPOUND | EUR | 5,418,000 | 12/20/2033 | Annually | 881 | (122,718 | ) | (123,599 | ) | ||||||||||||||||
| 3.03% |
EUR - EuroSTR - COMPOUND | EUR | 700,000 | 12/20/2033 | Annually | — | (19,633 | ) | (19,633 | ) | ||||||||||||||||
| 3.07% |
EUR - EuroSTR - COMPOUND | EUR | 500,000 | 12/20/2033 | Annually | — | (15,665 | ) | (15,665 | ) | ||||||||||||||||
| 2.74% |
EUR - EuroSTR - COMPOUND | EUR | 300,000 | 12/20/2033 | Annually | 33 | (19 | ) | (52 | ) | ||||||||||||||||
| GBP - SONIA - COMPOUND |
3.92% | GBP | 400,000 | 12/20/2033 | Annually | (2,272 | ) | (2,144 | ) | 128 | ||||||||||||||||
| GBP - SONIA - COMPOUND |
4.00% | GBP | 600,000 | 12/20/2033 | Annually | — | 1,485 | 1,485 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.08% | GBP | 400,000 | 12/20/2033 | Annually | — | 4,388 | 4,388 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.13% | GBP | 600,000 | 12/20/2033 | Annually | — | 9,451 | 9,451 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.17% | GBP | 1,600,000 | 12/20/2033 | Annually | — | 30,737 | 30,737 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.31% | GBP | 500,000 | 12/20/2033 | Annually | — | 16,803 | 16,803 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.32% | GBP | 1,100,000 | 12/20/2033 | Annually | — | 38,254 | 38,254 | ||||||||||||||||||
| 4.40% |
GBP - SONIA - COMPOUND | GBP | 600,000 | 12/20/2033 | Annually | — | (25,963 | ) | (25,963 | ) | ||||||||||||||||
| 4.43% |
GBP - SONIA - COMPOUND | GBP | 200,000 | 12/20/2033 | Annually | — | (9,194 | ) | (9,194 | ) | ||||||||||||||||
| 4.54% |
GBP - SONIA - COMPOUND | GBP | 900,000 | 12/20/2033 | Annually | — | (51,764 | ) | (51,764 | ) | ||||||||||||||||
| 4.29% |
GBP - SONIA - COMPOUND | GBP | 4,001,000 | 12/20/2033 | Annually | (1,934 | ) | (128,883 | ) | (126,949 | ) | |||||||||||||||
| 4.19% |
GBP - SONIA - COMPOUND | GBP | 500,000 | 12/20/2033 | Annually | — | (10,724 | ) | (10,724 | ) | ||||||||||||||||
| 4.78% |
3 Month NZD Bank Bill Rate | NZD | 2,385,000 | 12/20/2033 | Quarterly | 526 | (6,261 | ) | (6,787 | ) | ||||||||||||||||
| 5.37% |
3 Month NZD Bank Bill Rate | NZD | 1,700,000 | 12/20/2033 | Quarterly | — | (53,113 | ) | (53,113 | ) | ||||||||||||||||
| 4.85% |
3 Month NZD Bank Bill Rate | NZD | 1,800,000 | 12/20/2033 | Quarterly | — | (10,464 | ) | (10,464 | ) | ||||||||||||||||
| 4.78% |
3 Month NZD Bank Bill Rate | NZD | 1,000,000 | 12/20/2033 | Quarterly | — | (2,146 | ) | (2,146 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.88% | NZD | 3,100,000 | 12/20/2033 | Quarterly | — | 22,570 | 22,570 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.95% | NZD | 1,200,000 | 12/20/2033 | Quarterly | — | 12,551 | 12,551 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.16% | NZD | 1,700,000 | 12/20/2033 | Quarterly | — | 35,239 | 35,239 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.28% | NZD | 1,700,000 | 12/20/2033 | Quarterly | — | 45,631 | 45,631 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.29% | NZD | 2,300,000 | 12/20/2033 | Quarterly | — | 62,299 | 62,299 | ||||||||||||||||||
| 3 Month SEK STIBOR |
2.90% | SEK | 28,000,000 | 12/20/2033 | Quarterly | — | (3,731 | ) | (3,731 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
2.98% | SEK | 7,000,000 | 12/20/2033 | Quarterly | — | 3,730 | 3,730 | ||||||||||||||||||
| 3.36% |
3 Month SEK STIBOR | SEK | 12,000,000 | 12/20/2033 | Quarterly | — | (43,368 | ) | (43,368 | ) | ||||||||||||||||
| 3.37% |
3 Month SEK STIBOR | SEK | 4,000,000 | 12/20/2033 | Quarterly | — | (14,718 | ) | (14,718 | ) | ||||||||||||||||
| 3.43% |
3 Month SEK STIBOR | SEK | 5,000,000 | 12/20/2033 | Quarterly | — | (21,012 | ) | (21,012 | ) | ||||||||||||||||
| 3.30% |
3 Month SEK STIBOR | SEK | 156,262,000 | 12/20/2033 | Quarterly | 3,823 | (488,744 | ) | (492,567 | ) | ||||||||||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps — continued
| Fund Pays |
Fund Receives |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 3 Month SEK STIBOR |
3.10% | SEK | 10,000,000 | 12/20/2033 | Quarterly | — | 14,523 | 14,523 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.18% | SEK | 2,000,000 | 12/20/2033 | Quarterly | — | 4,310 | 4,310 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.28% | SEK | 33,000,000 | 12/20/2033 | Quarterly | — | 97,281 | 97,281 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.31% | SEK | 10,000,000 | 12/20/2033 | Quarterly | — | 31,808 | 31,808 | ||||||||||||||||||
|
USD - SOFR - COMPOUND |
3.93% | USD | 2,225,000 | 12/20/2033 | Annually | (1,340 | ) | (7,327 | ) | (5,987 | ) | |||||||||||||||
| USD - SOFR - COMPOUND |
4.08% | USD | 600,000 | 12/20/2033 | Annually | — | 5,026 | 5,026 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.17% | USD | 700,000 | 12/20/2033 | Annually | — | 11,442 | 11,442 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.25% | USD | 900,000 | 12/20/2033 | Annually | — | 19,933 | 19,933 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.31% | USD | 1,400,000 | 12/20/2033 | Annually | — | 38,844 | 38,844 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.40% | USD | 500,000 | 12/20/2033 | Annually | — | 17,510 | 17,510 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.42% | USD | 800,000 | 12/20/2033 | Annually | — | 29,258 | 29,258 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.49% | USD | 1,800,000 | 12/20/2033 | Annually | — | 76,201 | 76,201 | ||||||||||||||||||
| 4.53% |
USD - SOFR - COMPOUND | USD | 1,000,000 | 12/20/2033 | Annually | — | (45,480 | ) | (45,480 | ) | ||||||||||||||||
| 4.14% |
USD - SOFR - COMPOUND | USD | 700,000 | 12/20/2033 | Annually | — | (9,182 | ) | (9,182 | ) | ||||||||||||||||
| 4.40% |
USD - SOFR -COMPOUND | USD | 600,000 | 12/20/2033 | Annually | — | (20,889 | ) | (20,889 | ) | ||||||||||||||||
| 4.18% |
USD - SOFR -COMPOUND | USD | 1,100,000 | 12/20/2033 | Annually | — | (18,744 | ) | (18,744 | ) | ||||||||||||||||
| 4.11% |
USD - SOFR -COMPOUND | USD | 700,000 | 12/20/2033 | Annually | — | (7,609 | ) | (7,609 | ) | ||||||||||||||||
| 3.97% |
USD - SOFR -COMPOUND | USD | 1,100,000 | 12/20/2033 | Annually | — | 44 | 44 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 8,806 | $ | 30,795 | $ | 21,989 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
As of November 30, 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) | As of November 30, 2023, the asset-backed securities held are defeased and as such the issuer intends to meet payments of principal and interest to maturity through alternative sources other than asset-backed securities (e.g., U.S. Treasuries). |
| (b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any. |
| (c) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
The rates shown on variable rate notes are the current interest rates at November 30, 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
NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.
OIS - Overnight Indexed Swaps
REIT - Real Estate Investment Trust
SARON - Swiss Average Rate Overnight SEK
STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.
SOFR - Secured Overnight Financing Rate
SONIA - Sterling Overnight Interbank Average Rate
TBA - To Be Announced - Delayed Delivery Security
Counterparty Abbreviations:
BBH - Brown Brothers Harriman & Co
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
CITI - Citibank N.A.
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
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)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 85.1% |
| |||||||||
| Asset-Backed Securities — 72.8% | ||||||||||
| Auto Retail Subprime — 2.6% | ||||||||||
| 5,000,000 | Bank of America Auto Trust, Series 23-1A, Class A3, 144A, 5.53%, due 02/15/28 | 5,003,564 | ||||||||
| 5,000,000 | Bank of America Auto Trust, Series 2023-2A, Class A3, 144A, 5.74%, due 06/15/28 | 5,026,788 | ||||||||
| 4,250,000 | GM Financial Consumer Automobile Receivables Trust, Series 23-3, Class A3, 5.45%, due 06/16/28 | 4,271,519 | ||||||||
| 6,750,000 | GM Financial Consumer Automobile Receivables Trust, Series 2023-4, Class A3, 5.78%, due 08/16/28 | 6,828,620 | ||||||||
| 10,800,000 | Nissan Auto Receivables Owner Trust, Series 2023-B, Class A3, 5.93%, due 03/15/28 | 10,951,144 | ||||||||
| 2,500,000 | World Omni Auto Receivables Trust, Series 2023-D, Class A3, 5.79%, due 02/15/29 | 2,539,989 | ||||||||
|
|
|
|||||||||
| Total Auto Retail Subprime | 34,621,624 | |||||||||
|
|
|
|||||||||
| CMBS — 1.5% | ||||||||||
| 13,880,000 | Benchmark Mortgage Trust, Series 22-B32, Class A5, Variable Rate, 3.00%, due 01/15/55 | 10,846,309 | ||||||||
| 3,000,000 | Benchmark Mortgage Trust, Series 22-B34, Class A5, Variable Rate, 3.79%, due 04/15/55 | 2,483,104 | ||||||||
| 2,000,000 | Citigroup Commercial Mortgage Trust, Series 20-GC46, Class A5, 2.72%, due 02/15/53 | 1,664,462 | ||||||||
| 4,667,000 | WFRBS Commercial Mortgage Trust, Series 14-C21, Class B, Variable Rate, 4.21%, due 08/15/47 | 4,196,822 | ||||||||
|
|
|
|||||||||
| Total CMBS | 19,190,697 | |||||||||
|
|
|
|||||||||
| CMBS Collateralized Debt Obligations — 0.1% | ||||||||||
| 8,586,000 | ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42 | 904,106 | ||||||||
| 250,286 | GS Mortgage Securities Corp. Trust, Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46 | 182,709 | ||||||||
|
|
|
|||||||||
| Total CMBS Collateralized Debt Obligations | 1,086,815 | |||||||||
|
|
|
|||||||||
| Collateralized Loan Obligations — 13.3% | ||||||||||
| 4,910,049 | Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.80%, due 01/20/30 | 4,897,155 | ||||||||
| 4,075,000 | Crown City CLO III, Series 21-1A, Class A1A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.43%, 6.85%, due 07/20/34 | 4,038,199 | ||||||||
| 4,550,000 | Fort Washington CLO Ltd., Series 21-2A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.48%, 6.90%, due 10/20/34 | 4,538,038 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Collateralized Loan Obligations — continued | ||||||||||
| 159,830 | Halcyon Loan Advisors Funding Ltd., Series 14-2A, Class C, 144A, Variable Rate, 3 mo. USD Term SOFR + 3.76%, 9.15%, due 04/28/25 | 158,753 | ||||||||
| 9,507,597 | Hayfin U.S. XII Ltd., Series 18-8A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.80%, due 04/20/31 | 9,475,357 | ||||||||
| 12,252,592 | Man GLG U.S. CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.40%, 6.82%, due 04/22/30 | 12,137,381 | ||||||||
| 4,000,000 | Mountain View CLO Ltd., Series 13-1A, Class BRR , 144A, Variable Rate, 3 mo. USD Term SOFR + 1.93%, 7.36%, due 10/12/30 | 3,956,332 | ||||||||
| 5,873,884 | Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 6.73%, due 04/22/31 | 5,865,620 | ||||||||
| 10,000,000 | Ocean Trails CLO 8, Series 20-8A, Class A1R, 144A, 3 mo. USD Term SOFR + 1.48%, 6.88%, due 07/15/34 | 9,933,260 | ||||||||
| 9,800,000 | OFSI BSL VIII Ltd., Series 17-1A, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.16%, due 08/16/29 | 9,731,204 | ||||||||
| 1,083,456 | OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26 | 21,471 | ||||||||
| 3,669,193 | OZLM VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.27%, 6.67%, due 07/17/29 | 3,663,128 | ||||||||
| 12,763,484 | OZLM XVIII Ltd., Series 18-18A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 6.68%, due 04/15/31 | 12,736,630 | ||||||||
| 2,190,000 | OZLM XXII Ltd., Series 18-22A, Class A2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.16%, due 01/17/31 | 2,150,966 | ||||||||
| 1,297,208 | Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, U.S. (Fed) Prime Rate + 1.60%, 7.26%, due 06/22/30 | 1,296,112 | ||||||||
| 3,804,480 | Shackleton CLO Ltd., Series 14-5RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 6.74%, due 05/07/31 | 3,774,717 | ||||||||
| 1,262,000 | Signal Peak CLO 2 LLC, Series 15-1A, Class BR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.18%, due 04/20/29 | 1,262,684 | ||||||||
| 3,125,691 | Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.26%, 6.66%, due 04/15/31 | 3,112,113 | ||||||||
| 3,595,000 | Sound Point CLO XXVIII Ltd., Series 20-3A, Class A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.54%, 6.92%, due 01/25/32 | 3,565,323 | ||||||||
| 1,439,500 | Sounds Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.41%, 6.81%, due 04/18/31 | 1,428,083 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Collateralized Loan Obligations — continued | ||||||||||
| 8,345,573 | Steele Creek CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.79%, due 06/15/31 | 8,286,979 | ||||||||
| 608,422 | Telos CLO Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. USD Term SOFR + 2.86%, 8.26%, due 07/17/26 | 608,664 | ||||||||
| 4,972,759 | Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.74%, 7.14%, due 04/17/28 | 4,960,720 | ||||||||
| 4,335,500 | Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. USD Term SOFR + 2.41%, 7.81%, due 04/17/28 | 4,295,054 | ||||||||
| 4,962,255 | Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 6.76%, due 07/18/31 | 4,915,550 | ||||||||
| 5,831,200 | Venture 34 CLO Ltd., Series 18-34A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.49%, 6.89%, due 10/15/31 | 5,786,061 | ||||||||
| 1,218,910 | Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.48%, 6.88%, due 10/15/29 | 1,217,449 | ||||||||
| 9,000,000 | Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.18%, due 10/20/28 | 8,851,536 | ||||||||
| 5,180,959 | Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 6.74%, due 10/20/29 | 5,173,260 | ||||||||
| 1,360,000 | Whitebox CLO II Ltd., Series 20-2A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.48%, 6.88%, due 10/24/34 | 1,355,973 | ||||||||
| 7,253,900 | Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 6.91%, due 10/15/31 | 7,228,540 | ||||||||
| 7,200,000 | Zais CLO 15 Ltd., Series 20-15A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.61%, 7.00%, due 07/28/32 | 7,126,034 | ||||||||
| 10,000,000 | Zais CLO 18 Ltd., Series 22-18A, Class A1A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.52%, 6.90%, due 01/25/35 | 9,857,490 | ||||||||
| 2,670,097 | Zais CLO 7 Ltd., Series 17-2A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.55%, 6.95%, due 04/15/30 | 2,660,009 | ||||||||
| 176,057 | Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.21%, 6.61%, due 04/15/29 | 175,958 | ||||||||
| 4,470,500 | Zais CLO 8 Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.71%, 7.11%, due 04/15/29 | 4,455,546 | ||||||||
|
|
|
|||||||||
| Total Collateralized Loan Obligations | 174,697,349 | |||||||||
|
|
|
|||||||||
| Commercial Mortgage-Backed Securities — 19.9% |
||||||||||
| 5,600,000 | BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32 | 5,032,563 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Commercial Mortgage-Backed Securities — continued |
||||||||||
| 11,857,600 | BBCMS Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.92%, 6.24%, due 03/15/37 | 10,968,275 | ||||||||
| 11,037,000 | BBCMS Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38 | 7,533,823 | ||||||||
| 5,645,801 | Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.88%, due 07/25/36 | 4,882,525 | ||||||||
| 7,760,120 | Benchmark Mortgage Trust, Series 18-B8, Class A5, 4.23%, due 01/15/52 | 7,143,671 | ||||||||
| 6,240,722 | Benchmark Mortgage Trust, Series 19-B11, Class A5, 3.54%, due 05/15/52 | 5,487,237 | ||||||||
| 17,000,000 | Benchmark Mortgage Trust, Series 19-B12, Class A5, 3.12%, due 08/15/52 | 14,859,715 | ||||||||
| 3,244,000 | Benchmark Mortgage Trust, Series 18-B7, Class A4, Variable Rate, 4.51%, due 05/15/53 | 3,037,488 | ||||||||
| 7,400,000 | Benchmark Mortgage Trust, Series 19-B10, Class A4, 3.72%, due 03/15/62 | 6,709,947 | ||||||||
| 4,693,256 | Benchmark Mortgage Trust, Series 19-B14, Class A5, 3.05%, due 12/15/62 | 4,046,106 | ||||||||
| 19,000,000 | Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72 | 15,907,930 | ||||||||
| 5,500,000 | BMW Vehicle Owner Trust, Series 23-A, Class A3, 5.47%, due 02/25/28 | 5,524,939 | ||||||||
| 6,114,652 | BX Commercial Mortgage Trust, Series 21-VINO, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.77%, 6.09%, due 05/15/38 | 5,999,415 | ||||||||
| 6,400,000 | BX Commercial Mortgage Trust, Series 21-ACNT, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.96%, 6.29%, due 11/15/38 | 6,275,501 | ||||||||
| 8,000,000 | BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44 | 6,599,194 | ||||||||
| 8,000,000 | BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.67%, due 03/11/44 | 6,367,527 | ||||||||
| 8,000,000 | BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41 | 6,845,674 | ||||||||
| 4,895,000 | BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41 | 4,179,712 | ||||||||
| 9,000,000 | BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41 | 7,297,029 | ||||||||
| 4,446,000 | Citigroup Commercial Mortgage Trust, Series 14-GC23, Class B, Variable Rate, 4.18%, due 07/10/47 | 4,197,551 | ||||||||
| 9,352,535 | Citigroup Commercial Mortgage Trust, Series 14-GC23, Class C, Variable Rate, 4.57%, due 07/10/47 | 8,606,901 | ||||||||
| 3,031,837 | COMM Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.42%, due 07/10/50 | 2,778,249 | ||||||||
| 15,270,667 | COMM Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51 | 13,973,700 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Commercial Mortgage-Backed Securities — continued |
||||||||||
| 50,103 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37 | 49,993 | ||||||||
| 62,636 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. USD Term SOFR + 0.36%, 5.69%, due 04/15/37 | 62,613 | ||||||||
| 5,563,524 | ELP Commercial Mortgage Trust, Series 21-ELP, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.82%, 6.14%, due 11/15/38 | 5,444,809 | ||||||||
| 2,000,000 | Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40 | 1,547,850 | ||||||||
| 5,000,000 | GS Mortgage Securities Corp. II, Series 23-SHIP, Class A, 144A, Variable Rate, 4.47%, due 09/10/38 | 4,791,669 | ||||||||
| 5,500,000 | ILPT Commercial Mortgage Trust, Series 22-LPFX, Class A, 144A, 3.38%, due 03/15/32 | 4,489,775 | ||||||||
| 3,789,820 | MHC Commercial Mortgage Trust, Series 21-MHC, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.92%, 6.24%, due 04/15/38 | 3,744,483 | ||||||||
| 6,576,196 | MHC Trust, Series 21-MHC2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.96%, 6.29%, due 05/15/38 | 6,460,524 | ||||||||
| 12,000,000 | MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40 | 8,753,114 | ||||||||
| 5,000,000 | MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 3.04%, due 02/12/40 (a) | 1,949,998 | ||||||||
| 3,006,000 | Morgan Stanley Capital I Trust, Series 19-H6, Class A4, 3.42%, due 06/15/52 | 2,656,257 | ||||||||
| 3,000,000 | Morgan Stanley Capital I Trust, Series 20-L4, Class A3, 2.70%, due 02/15/53 | 2,519,770 | ||||||||
| 13,545,000 | SMRT Commercial Mortgage Trust, Series 22-MINI, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.00%, 6.32%, due 01/15/39 | 13,196,564 | ||||||||
| 7,130,000 | Taubman Centers Commercial Mortgage Trust, Series 22-DPM, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 2.19%, 7.51%, due 05/15/37 | 7,058,451 | ||||||||
| 5,268,100 | UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51 | 4,827,170 | ||||||||
| 7,933,000 | UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51 | 7,325,577 | ||||||||
| 1,688,076 | Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52 | 1,452,149 | ||||||||
| 4,550,000 | WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 4.96%, due 11/23/43 | 4,506,586 | ||||||||
| 11,594,960 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 5.49%, due 03/23/45 | 9,972,596 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Commercial Mortgage-Backed Securities — continued |
||||||||||
| 1,180,000 | Wells Fargo Commercial Mortgage Trust, Series 18-C46, Class A4, 4.15%, due 08/15/51 | 1,094,442 | ||||||||
| 2,704,000 | Wells Fargo Commercial Mortgage Trust, Series 19-C50, Class C, 4.35%, due 05/15/52 | 2,117,830 | ||||||||
| 2,030,000 | Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52 | 1,760,862 | ||||||||
| 1,395,022 | Wells Fargo Commercial Mortgage Trust, Series 18-C47, Class A4, 4.44%, due 09/15/61 | 1,317,102 | ||||||||
|
|
|
|||||||||
| Total Commercial Mortgage-Backed Securities | 261,354,856 | |||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Agency — 0.3% |
||||||||||
| 5,140,020 | Federal National Mortgage Association REMICS, Series 20-5, Class PC, 2.50%, due 01/25/50 | 4,219,670 | ||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Other — 8.4% |
||||||||||
| 786,537 | ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.39%, 5.74%, due 02/25/36 | 92,367 | ||||||||
| 17,663,707 | American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.82%, due 02/25/36 | 398,765 | ||||||||
| 6,000,000 | AMSR Trust, Series 20-SFR5, Class A, 144A, 1.38%, due 11/17/37 | 5,497,960 | ||||||||
| 13,743,281 | BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25 | 2,816,934 | ||||||||
| 4,000,087 | BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29 | 3,731,927 | ||||||||
| 8,834,023 | BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29 | 985,600 | ||||||||
| 2,928,137 | BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30 | 362,082 | ||||||||
| 117,703 | Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.78%, due 02/25/37 | 125,347 | ||||||||
| 2,220,392 | Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29 | 2,150,190 | ||||||||
| 1,718,320 | Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30 | 1,650,003 | ||||||||
| 5,602,232 | Conseco Finance Securitizations Corp., Series 02-2, Class M2, Variable Rate, 9.16%, due 03/01/33 | 5,343,252 | ||||||||
| 5,623,182 | Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33 | 5,279,949 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Other — continued |
||||||||||
| 5,280,161 | Conseco Finance Securitizations Corp., Series 02-1, Class M2, Variable Rate, 9.55%, due 12/01/33 | 5,096,253 | ||||||||
| 881,539 | CoreVest American Finance Ltd., Series 21-1, Class A, 144A, 1.57%, due 04/15/53 | 793,335 | ||||||||
| 11,436,914 | FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38 | 10,237,346 | ||||||||
| 523,713 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.96%, due 10/25/34 | 500,068 | ||||||||
| 1,932,756 | GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37 | 1,699,132 | ||||||||
| 4,328,989 | Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.56%, due 09/25/35 | 98,911 | ||||||||
| 28,462,029 | Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.37%, 5.72%, due 06/25/36 | 533,307 | ||||||||
| 8,545,367 | Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36 | 2,679,760 | ||||||||
| 8,996,953 | Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37 | 1,447,207 | ||||||||
| 3,600,292 | Lehman ABS Manufactured Housing Contract Trust, Series 01-B, Class M2, Variable Rate, 7.17%, due 04/15/40 | 3,054,446 | ||||||||
| 3,586,915 | MASTR Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.78%, due 03/25/36 | 243,485 | ||||||||
| 164,778 | Mellon Re-REMICS Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.36%, 5.71%, due 02/26/34 | 145,442 | ||||||||
| 1,053,150 | New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.09%, 6.43%, due 10/25/33 | 1,012,924 | ||||||||
| 13,572,158 | New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 5.66%, due 03/25/36 | 376,585 | ||||||||
| 7,741,837 | New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.45%, 5.80%, due 03/25/36 | 214,721 | ||||||||
| 20,640,590 | New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 5.86%, due 03/25/36 | 572,368 | ||||||||
| 2,419 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 6.36%, due 08/25/35 | 260,163 | ||||||||
| 1,258,207 | Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28 | 1,205,807 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Other — continued |
||||||||||
| 3,960,118 | Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29 | 3,795,256 | ||||||||
| 7,060,305 | Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30 | 3,974,601 | ||||||||
| 11,752,084 | Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30 | 2,425,450 | ||||||||
| 5,482,527 | Oakwood Mortgage Investors, Inc., Series 2001-B, Class M1, 144A, 7.92%, due 03/15/31 | 5,240,300 | ||||||||
| 842,236 | Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31 | 433,139 | ||||||||
| 419,142 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31 | 402,428 | ||||||||
| 2,868,246 | Oakwood Mortgage Investors, Inc., Series 02-C, Class M1, Variable Rate, 6.89%, due 11/15/32 | 2,666,141 | ||||||||
| 1,532,629 | Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40 | 1,296,302 | ||||||||
| 1,675,873 | Towd Point Mortgage Trust, Series 17-5, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 5.51%, due 02/25/57 | 1,685,810 | ||||||||
| 6,972,000 | Towd Point Mortgage Trust, Series 17-5, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 5.51%, due 02/25/57 | 6,932,285 | ||||||||
| 11,061,641 | Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38 | 10,311,772 | ||||||||
| 5,886,370 | Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39 | 5,025,121 | ||||||||
| 3,041,254 | UCFC Manufactured Housing Contract, Series 1998-2, Class M1, 6.73%, due 10/15/29 | 2,771,658 | ||||||||
| 5,365,309 | Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67 | 4,872,766 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Other | 110,438,665 | |||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Performing Loans — 0.9% |
||||||||||
| 2,514,182 | Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65 | 2,153,601 | ||||||||
| 6,658,347 | CSMC Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66 | 5,582,324 | ||||||||
| 5,268,031 | Verus Securitization Trust, Series 21-8, Class A1, 144A, Variable Rate, 1.82%, due 11/25/66 | 4,414,498 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Performing Loans | 12,150,423 | |||||||||
|
|
|
|||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Prime — 2.3% |
||||||||||
| 7,069,092 | American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. USD Term SOFR + 0.32%, 5.67%, due 10/25/46 | 3,624,936 | ||||||||
| 455,344 | Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, 1 yr. CMT + 2.30%, 7.67%, due 10/25/35 | 419,100 | ||||||||
| 3,686,003 | CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37 | 2,005,760 | ||||||||
| 1,197,414 | IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 4.16%, due 12/25/36 | 997,932 | ||||||||
| 855,721 | IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.54%, due 03/25/37 | 703,003 | ||||||||
| 7,111,920 | IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 5.90%, due 04/25/46 | 5,694,144 | ||||||||
| 1,610,758 | Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36 | 715,408 | ||||||||
| 4,453,880 | Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 1 yr. MTA + 1.40%, 6.33%, due 05/25/35 | 3,561,992 | ||||||||
| 679,758 | WaMu Mortgage Pass-Through Certificates Trust, Series 05-AR10, Class 1A3, Variable Rate, 4.75%, due 09/25/35 | 602,609 | ||||||||
| 885,810 | WaMu Mortgage Pass-Through Certificates Trust, Series 06-AR19, Class 2A, Variable Rate, 1 yr. MTA + 1.25%, 6.18%, due 01/25/47 | 760,719 | ||||||||
| 1,985,524 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-4, Class CB3, Variable Rate, 1 mo. USD Term SOFR + 0.56%, 5.50%, due 06/25/35 | 1,647,369 | ||||||||
| 2,025,095 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-10, Class 4CB3, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 5.75%, due 12/25/35 | 1,630,984 | ||||||||
| 4,102,319 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 06-8, Class A5, Step Up, 4.16%, due 10/25/36 | 1,381,318 | ||||||||
| 8,427,353 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 07-5, Class A6, 6.00%, due 06/25/37 | 7,229,966 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Prime | 30,975,240 | |||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Subprime — 1.6% |
||||||||||
| 1,037,972 | ABFC Trust, Series 05-AQ1, Class A5, Step Up, 4.28%, due 06/25/35 | 976,964 | ||||||||
| 948,321 | BCAP LLC Trust, Series 14-RR2, Class 11A3, 144A, Variable Rate, 7.64%, due 05/26/37 | 907,284 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Subprime — continued |
||||||||||
| 11,562,988 | Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 6.06%, due 07/25/36 | 9,871,803 | ||||||||
| 490,094 | Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.25%, 5.60%, due 12/25/36 | 466,773 | ||||||||
| 936,765 | CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 5.30%, due 11/20/34 | 865,575 | ||||||||
| 2,401,933 | First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.22%, 5.56%, due 09/25/36 | 2,167,550 | ||||||||
| 2,259,345 | Home Equity Asset Trust, Series 06-2, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 6.03%, due 05/25/36 | 2,177,337 | ||||||||
| 714,121 | Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.96%, due 08/25/37 | 647,817 | ||||||||
| 2,899,686 | Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. USD Term SOFR + 0.91%, 6.66%, due 01/25/35 | 2,618,776 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Subprime | 20,699,879 | |||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Alt-A — 2.9% |
||||||||||
| 922,874 | Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 6.36%, due 11/25/34 | 895,326 | ||||||||
| 1,965,092 | Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.78%, due 01/25/47 | 1,559,696 | ||||||||
| 1,698,568 | Bear Stearns Asset-Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34 | 1,546,127 | ||||||||
| 3,649,349 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 4.46%, due 07/25/36 | 2,037,605 | ||||||||
| 246,238 | Countrywide Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34 | 235,528 | ||||||||
| 2,332,747 | Countrywide Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35 | 2,155,692 | ||||||||
| 1,531,808 | Countrywide Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 6.00%, due 05/25/36 | 669,099 | ||||||||
| 1,572,545 | Countrywide Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 6.16%, due 10/25/36 | 657,476 | ||||||||
| 4,468,580 | Fieldstone Mortgage Investment Trust, Series 04-4, Class M4, Variable Rate, 1 mo. USD Term SOFR + 2.66%, 8.01%, due 10/25/35 | 2,849,848 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Alt-A — continued |
||||||||||
| 10,760,477 | GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.78%, due 06/25/36 | 2,126,679 | ||||||||
| 11,693,199 | GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 3.46%, due 06/25/47 | 6,866,466 | ||||||||
| 6,421,809 | HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 5.67%, due 07/19/47 | 5,815,247 | ||||||||
| 124,817 | JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 5.19%, due 02/26/37 | 92,173 | ||||||||
| 1,290,386 | Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-H1, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 3.11%, 8.46%, due 10/25/37 | 1,200,556 | ||||||||
| 2,713,520 | Residential Asset Securitization Trust, Series 25-A8CB, Class A6, 5.00%, due 07/25/35 | 1,564,661 | ||||||||
| 15,289,342 | Residential Asset Securitization Trust, Series 06-A7CB, Class 3A1, 6.50%, due 07/25/36 | 4,199,547 | ||||||||
| 8,035,013 | Terwin Mortgage Trust, Series 06-7, Class 2A3, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 6.00%, due 08/25/37 | 3,345,883 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Alt-A | 37,817,609 | |||||||||
|
|
|
|||||||||
| Small Balance Commercial Mortgages — 4.4% | ||||||||||
| 2,606,872 | Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.58%, 5.92%, due 08/25/35 | 2,362,744 | ||||||||
| 1,350,187 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.70%, 6.04%, due 01/25/36 | 1,220,928 | ||||||||
| 1,820,668 | Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 6.00%, due 04/25/36 | 1,634,382 | ||||||||
| 731,868 | Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 6.03%, due 04/25/36 | 653,890 | ||||||||
| 1,004,784 | Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 5.80%, due 07/25/36 | 920,693 | ||||||||
| 2,055,299 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.88%, due 07/25/36 | 1,888,658 | ||||||||
| 3,312,648 | Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.49%, 5.83%, due 10/25/36 | 3,069,724 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Small Balance Commercial Mortgages — continued |
||||||||||
| 7,906,251 | Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.88%, due 01/25/37 | 7,248,477 | ||||||||
| 1,462,910 | Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.44%, 5.79%, due 03/25/37 | 1,308,353 | ||||||||
| 4,874,575 | Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.38%, 5.73%, due 07/25/37 | 4,349,412 | ||||||||
| 2,314,685 | Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.82%, due 07/25/37 | 2,038,781 | ||||||||
| 1,533,362 | Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 6.96%, due 01/25/38 | 1,454,033 | ||||||||
| 85,799,277 | FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.28%, due 05/25/30 | 2,897,905 | ||||||||
| 19,057,768 | FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 1.22%, due 03/25/40 | 571,318 | ||||||||
| 69,167,837 | FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.99%, due 06/25/40 | 1,791,793 | ||||||||
| 3,500,000 | Harvest Commercial Capital Loan Trust, Series 19-1, Class M5, 144A, 5.73%, due 09/25/46 | 2,991,940 | ||||||||
| 179,601 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.11%, 6.46%, due 04/25/31 | 179,227 | ||||||||
| 3,106,681 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-1A, Class M1, 144A, 1 mo. USD Term SOFR + 0.61%, 5.96%, due 03/25/37 | 2,849,068 | ||||||||
| 2,075,779 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 5.86%, due 06/25/37 | 2,037,668 | ||||||||
| 8,835,521 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 5.63%, due 10/25/37 | 8,559,829 | ||||||||
| 5,893,903 | Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51 | 4,679,937 | ||||||||
| 1,653,056 | Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51 | 1,200,752 | ||||||||
| 1,479,636 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 5.46%, due 12/27/49 | 1,458,189 | ||||||||
|
|
|
|||||||||
| Total Small Balance Commercial Mortgages | 57,367,701 | |||||||||
|
|
|
|||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Student Loans — Federal Family Education Loan Program — 2.8% |
||||||||||
| 4,431,951 | AccessLex Institute, Series 04-2, Class B, Variable Rate, 90 day USD SOFR Average + 0.96%, 6.30%, due 01/25/43 |
3,989,340 | ||||||||
| 2,701,926 | Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 90 day USD SOFR Average + 0.58%, 5.84%, due 03/28/35 | 2,349,013 | ||||||||
| 5,982,657 | SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 90 day USD SOFR Average + 1.16%, 6.38%, due 06/15/21 | 5,885,881 | ||||||||
| 7,984,521 | SLM Student Loan Trust, Series 07-7, Class A4, Variable Rate, 90 day USD SOFR Average + 0.59%, 5.93%, due 01/25/22 | 7,746,822 | ||||||||
| 11,274,264 | SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 90 day USD SOFR Average + 1.91%, 7.25%, due 07/25/22 | 11,255,035 | ||||||||
| 5,530,314 | SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 90 day USD SOFR Average + 1.96%, 7.30%, due 07/25/23 | 5,521,471 | ||||||||
|
|
|
|||||||||
| Total Student Loans — Federal Family Education Loan Program | 36,747,562 | |||||||||
|
|
|
|||||||||
| Student Loans — Private — 11.8% | ||||||||||
| 1,217,410 | Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. USD Term SOFR + 1.06%, 6.44%, due 07/25/34 | 1,186,422 | ||||||||
| 8,392,145 | KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. USD Term SOFR + 1.56%, 6.95%, due 12/27/38 | 7,763,170 | ||||||||
| 796,457 | KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. USD Term SOFR + 0.74%, 6.13%, due 12/27/41 | 794,993 | ||||||||
| 5,063,035 | KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, U.S. (Fed) Prime Rate + 1.25%, 6.90%, due 07/28/42 | 4,676,962 | ||||||||
| 8,775,000 | National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuct + 0.00%, 8.64%, due 03/31/38 (b) | 2,018,250 | ||||||||
| 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 (b) | 1,753,750 | ||||||||
| 3,378,343 | National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 5.77%, due 05/25/32 | 3,241,060 | ||||||||
| 5,569,966 | National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.40%, 5.75%, due 01/25/33 | 5,182,116 | ||||||||
| 7,904,727 | National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 5.81%, due 03/25/33 | 7,453,569 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Student Loans — Private — continued | ||||||||||
| 2,926,305 | National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. USD Term SOFR + 0.48%, 5.83%, due 06/25/33 | 2,784,458 | ||||||||
| 16,577,782 | National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 5.76%, due 10/25/33 | 15,550,900 | ||||||||
| 2,933,221 | National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 6.00%, due 12/26/33 | 2,850,264 | ||||||||
| 25,000 | National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 8.96%, due 03/25/38 (a) | 19,000 | ||||||||
| 75,000 | National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 8.96%, due 03/25/38 (a) | 57,000 | ||||||||
| 3,676,900 | Navient Private Education Refi Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70 | 3,183,845 | ||||||||
| 2,500,000 | Navient Student Loan Trust, Series 2023-BA, Class A1B, 144A, 30 day USD SOFR Average + 1.70%, 7.01%, due 03/15/72 | 2,500,014 | ||||||||
| 2,668,875 | Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62 | 2,368,872 | ||||||||
| 2,964,000 | SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 8.94%, due 06/15/32 (b) | 2,949,180 | ||||||||
| 5,400,350 | SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 7.27%, due 09/15/32 | 1,573,010 | ||||||||
| 1,450,000 | SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 8.94%, due 09/15/32 (b) | 1,442,750 | ||||||||
| 3,892,381 | SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. USD Term SOFR + 0.66%, 6.07%, due 06/15/33 | 3,835,153 | ||||||||
| 9,088,975 | SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.69%, 6.10%, due 09/15/33 | 8,875,064 | ||||||||
| 6,709,556 | SLM Private Credit Student Loan Trust, Series 05-A, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.57%, 5.98%, due 12/15/38 | 6,512,072 | ||||||||
| 18,291,035 | SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.55%, 5.96%, due 06/15/39 | 17,602,849 | ||||||||
| 11,195,700 | SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.59%, 6.00%, due 06/15/39 | 10,847,854 | ||||||||
| 1,962,795 | SLM Private Credit Student Loan Trust, Series 06-BW, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.46%, 5.87%, due 12/15/39 | 1,880,167 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Student Loans — Private — continued | ||||||||||
| 8,697,491 | SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.53%, 5.94%, due 12/15/39 | 8,357,196 | ||||||||
| 2,672,291 | SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 0.65%, 6.06%, due 12/15/39 | 2,457,213 | ||||||||
| 15,501,240 | SLM Private Credit Student Loan Trust, Series 07-A, Class A4A, Variable Rate, 3 mo. USD Term SOFR + 0.50%, 5.91%, due 12/16/41 | 15,061,650 | ||||||||
| 1,000 | SMB Private Education Loan Trust, Series 23-B, Class R, 144A, 0.00, due 10/16/56 (a) | 994,316 | ||||||||
| 1,404,375 | South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 6.96%, due 01/25/36 | 1,402,475 | ||||||||
| 8,300,400 | Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.16%, 6.51%, due 01/25/46 | 8,148,451 | ||||||||
|
|
|
|||||||||
| Total Student Loans — Private | 155,324,045 | |||||||||
|
|
|
|||||||||
| Total Asset-Backed Securities | 956,692,135 | |||||||||
|
|
|
|||||||||
| Corporate Debt — 0.2% | ||||||||||
| Residential REITs — 0.2% | ||||||||||
| 4,000,000 | Hudson Pacific Properties LP, 3.25%, due 01/15/30 | 2,683,126 | ||||||||
|
|
|
|||||||||
| Total Corporate Debt | 2,683,126 | |||||||||
|
|
|
|||||||||
| U.S. Government — 4.5% | ||||||||||
| 1,900,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield - 0.08%, 5.28%, due 04/30/24 | 1,899,412 | ||||||||
| 47,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.39%, due 07/31/24 (c) | 47,001,578 | ||||||||
| 10,300,000 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.17%, 5.52%, due 10/31/25 (c) |
10,293,809 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 59,194,799 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 7.6% | ||||||||||
| 380,000 | Government National Mortgage Association, TBA, 3.00%, due 12/20/53 | 328,675 | ||||||||
| 7,500,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.41%, due 09/04/24 | 7,500,766 | ||||||||
| 4,199,698 | Federal National Mortgage Association, 4.00%, due 05/01/52 | 3,816,199 | ||||||||
| 600,000 | Government National Mortgage Association, TBA, 3.50%, due 12/20/53 | 536,283 | ||||||||
| 400,000 | Government National Mortgage Association, TBA, 4.00%, due 12/20/53 | 368,430 | ||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| U.S. Government Agency — continued | ||||||||||
| 760,000 | Government National Mortgage Association, TBA, 4.50%, due 12/20/53 | 718,700 | ||||||||
| 720,000 | Government National Mortgage Association, TBA, 5.00%, due 12/20/53 | 699,347 | ||||||||
| 610,000 | Government National Mortgage Association, TBA, 5.50%, due 12/20/53 | 605,511 | ||||||||
| 1,481,250 | Morocco Government AID Bonds, Variable Rate, 6 mo. LIBOR -0.02%, 5.65%, due 02/01/25 (b) | 1,470,327 | ||||||||
| 2,171,755 | Morocco Government AID Bonds, Variable Rate, U.S. (Fed) Prime Rate + 0.15%, 0.00%, due 10/29/26 (b) | 2,138,757 | ||||||||
| 330,000 | Uniform Mortgage-Backed Security, TBA, 4.00%, due 12/01/38 | 317,198 | ||||||||
| 330,000 | Uniform Mortgage-Backed Security, TBA, 4.50%, due 12/01/38 | 321,772 | ||||||||
| 2,570,000 | Uniform Mortgage-Backed Security, TBA, 5.00%, due 12/01/53 | 2,473,014 | ||||||||
| 41,640,000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 12/01/53 | 41,028,010 | ||||||||
| 37,680,000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 12/01/53 | 37,784,617 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 100,107,606 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $1,222,989,865) |
|
1,118,677,666 |
| |||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 0.8% | ||||||||||
| United States — 0.8% | ||||||||||
| Affiliated Issuers — 0.8% | ||||||||||
| 2,183,242 | GMO U.S. Treasury Fund | 10,916,211 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $11,003,541) |
|
10,916,211 |
| |||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 18.9% | ||||||||||
| Repurchase Agreements — 17.5% | ||||||||||
| 230,035,523 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 11/30/23 maturing on 12/01/23 with a maturity value of $230,069,581 and an effective yield of 5.33%, collateralized by a U.S. Treasury Note with maturity date 09/30/26 and a market value of $234,033,926. | 230,035,523 | ||||||||
|
|
|
|||||||||
| Money Market Funds — 1.4% | ||||||||||
| 18,488,355 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (d) | 18,488,355 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $248,523,878) |
|
248,523,878 |
| |||||||
|
|
|
|||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
PURCHASED OPTIONS — 0.0%
| Description | Counterparty | Exercise Rate |
Expiration Date |
Principal/ Notional Amount |
Floating Rate Index |
Pay/Receive Floating Rate |
Value ($) | |||||||||||||||||
| Options on Credit Default Swaps - Puts — 0.0% |
||||||||||||||||||||||||
| CDX.NA.HY.S41 |
GS | 101.00 | % | 12/20/23 | USD 16,327,000 | Fixed Spread | Pay | 16,150 | ||||||||||||||||
| iTraxx Europe S39 |
JPM | 75.00 | % | 12/20/23 | EUR 79,000,000 | Fixed Spread | Pay | 9,594 | ||||||||||||||||
| CDX.NA.HY.S41 |
CITI | 103.50 | % | 02/21/24 | USD 12,123,000 | Fixed Spread | Pay | 156,166 | ||||||||||||||||
| CDX.NA.HY.S41 |
JPM | 104.00 | % | 02/21/24 | USD 12,135,000 | Fixed Spread | Pay | 190,438 | ||||||||||||||||
| CDX.NA.IG.S41 |
CITI | 67.50 | % | 02/21/24 | USD 81,400,000 | Fixed Spread | Pay | 141,471 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total Options on Credit Default Swaps - Puts | 513,819 | |||||
|
|
|
|||||
| TOTAL PURCHASED OPTIONS (COST $1,077,790) |
513,819 | |||||
|
|
|
|||||
| TOTAL INVESTMENTS — 104.8% (Cost $1,483,595,074) |
1,378,631,574 | |||||
| Other Assets and Liabilities (net) — (4.8)% | (63,588,337 | ) | ||||
|
|
|
|||||
| TOTAL NET ASSETS — 100.0% | $ | 1,315,043,237 | ||||
|
|
|
|||||
A summary of outstanding financial instruments at November 30, 2023 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 01/17/2024 | DB | USD | 208,420 | EUR | 192,000 | 989 | ||||||||||||||
| 01/17/2024 | BCLY | EUR | 3,546,200 | USD | 3,755,178 | (112,565 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| $ | (111,576 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 39 | U.S. Long Bond (CBT) | March 2024 | 4,541,063 | 21,775 | ||||||||||
| 57 | U.S. Treasury Note 10 Yr. (CBT) | March 2024 | 6,258,422 | 28,722 | ||||||||||
| 807 | U.S. Treasury Note 2 Yr. (CBT) | March 2024 | 164,999,977 | 510,949 | ||||||||||
| 894 | U.S. Treasury Note 5 Yr. (CBT) | March 2024 | 95,525,297 | 446,312 | ||||||||||
| 128 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2024 | 14,530,000 | 53,580 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 285,854,759 | $ | 1,061,338 | |||||||||||
|
|
|
|
|
|||||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Sales | ||||||||||||||
| 1 | U.S. Ultra Bond (CBT) | March 2024 | $ | 123,000 | $ | (521 | ) | |||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Written Options
| Description |
Counterparty |
Exercise Rate |
Expiration Date |
Principal/ Notional Amount |
Floating Rate Index |
Pay/Receive Floating Rate |
Value ($) |
|||||||||||||||||||
| Written Options on Credit Default Swaps - Puts |
| |||||||||||||||||||||||||
| iTraxx Europe S39 |
JPM | 95.00% | 12/20/23 | EUR | (79,000,000 | ) | Fixed Spread | Pay | (6,025 | ) | ||||||||||||||||
| CDX.NA.IG.S41 |
JPM | 95.00% | 12/20/23 | USD | (35,780,000 | ) | Fixed Spread | Pay | (1,468 | ) | ||||||||||||||||
| CDX.NA.IG.S41 |
GS | 100.00% | 12/20/23 | USD | (47,706,000 | ) | Fixed Spread | Pay | (1,852 | ) | ||||||||||||||||
| CDX.NA.HY.S41 |
GS | 97.00% | 12/20/23 | USD | (24,490,000 | ) | Fixed Spread | Pay | (7,914 | ) | ||||||||||||||||
| CDX.NA.IG.S41 |
CITI | 85.00% | 02/21/24 | USD | (122,100,000 | ) | Fixed Spread | Pay | (71,285 | ) | ||||||||||||||||
| CDX.NA.HY.S41 |
CITI | 99.00% | 02/21/24 | USD | (12,123,000 | ) | Fixed Spread | Pay | (32,749 | ) | ||||||||||||||||
| CDX.NA.HY.S41 |
JPM | 99.50% | 02/21/24 | USD | (20,225,000 | ) | Fixed Spread | Pay | (63,258 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Total Written Options On Credit Default Swaps — Puts | (184,551 | ) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| |
TOTAL WRITTEN OPTIONS (Premiums $545,086) |
$ | (184,551 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
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.S39 |
USD | 3,920,000 | 5.00% | 3.67% | N/A | 12/20/2027 | Quarterly | (78,499 | ) | (176,519 | ) | (98,020 | ) | |||||||||||||||||||||
| iTraxx Europe Crossover S38 |
EUR | 14,207,904 | 5.00% | 2.77% | N/A | 12/20/2027 | Quarterly | (290,426 | ) | (1,218,618 | ) | (928,192 | ) | |||||||||||||||||||||
| CDX.NA.IG.S41 |
USD | 113,486,000 | 1.00% | 0.63% | N/A | 12/20/2028 | Quarterly | (1,270,753 | ) | (1,917,573 | ) | (646,820 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| $ | (1,639,678 | ) | $ | (3,312,710 | ) | $ | (1,673,032 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
OTC Credit Default Swaps
| Reference Entity |
Counter- |
Notional |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||
| CDX.NA.HY.S31 |
CITI | USD | 3,941,000 | 5.00% | 0.07% | N/A | 12/20/2023 | Quarterly | (15,370 | ) | (10,571 | ) | 4,799 | |||||||||||||||||||
| CDX.NA.HY.S31 |
CITI | USD | 4,025,000 | 5.00% | 0.07% | N/A | 12/20/2023 | Quarterly | 41,458 | (10,796 | ) | (52,254 | ) | |||||||||||||||||||
| CDX.NA.HY.S31 |
CITI | USD | 7,055,000 | 5.00% | 0.07% | N/A | 12/20/2023 | Quarterly | 44,878 | (18,923 | ) | (63,801 | ) | |||||||||||||||||||
| CDX.NA.HY.S33 |
CITI | USD | 8,140,000 | 5.00% | 2.09% | N/A | 12/20/2024 | Quarterly | (196,490 | ) | (243,466 | ) | (46,976 | ) | ||||||||||||||||||
| CDX.NA.HY.S33 |
GS | USD | 5,355,000 | 5.00% | 2.09% | N/A | 12/20/2024 | Quarterly | 121,559 | (160,167 | ) | (281,726 | ) | |||||||||||||||||||
| CMBX.NA.A.7 |
CGMI | USD | 1,420,000 | 2.00% | 139.40% | N/A | 01/17/2047 | Monthly | 89,176 | 82,531 | (6,645 | ) | ||||||||||||||||||||
| CMBX.NA.A.7 |
CGMI | USD | 10,000,000 | 2.00% | 139.40% | N/A | 01/17/2047 | Monthly | 593,750 | 581,205 | (12,545 | ) | ||||||||||||||||||||
| CMBX.NA.A.7 |
GS | USD | 2,840,000 | 2.00% | 139.40% | N/A | 01/17/2047 | Monthly | 156,358 | 165,062 | 8,704 | |||||||||||||||||||||
| CMBX.NA.AS.7 |
BOA | USD | 4,505,000 | 1.00% | 5.64% | N/A | 01/17/2047 | Monthly | 47,351 | 3,299 | (44,052 | ) | ||||||||||||||||||||
| CMBX.NA.AS.7 |
DB | USD | 7,608,000 | 1.00% | 5.64% | N/A | 01/17/2047 | Monthly | (119,899 | ) | 5,572 | 125,471 | ||||||||||||||||||||
| CMBX.NA.AS.7 |
DB | USD | 16,677,794 | 1.00% | 5.64% | N/A | 01/17/2047 | Monthly | 197,705 | 12,214 | (185,491 | ) | ||||||||||||||||||||
| CMBX.NA.AS.7 |
GS | USD | 4,400,000 | 1.00% | 5.64% | N/A | 01/17/2047 | Monthly | 112,812 | 3,222 | (109,590 | ) | ||||||||||||||||||||
| CMBX.NA.AS.7 |
MORD | USD | 13,270,000 | 1.00% | 5.64% | N/A | 01/17/2047 | Monthly | 205,783 | 9,719 | (196,064 | ) | ||||||||||||||||||||
| CMBX.NA.AA.11 |
CGMI | USD | 4,000,000 | 1.50% | 2.21% | N/A | 11/18/2054 | Monthly | (6,041 | ) | 96,466 | 102,507 | ||||||||||||||||||||
| CMBX.NA.AA.11 |
CGMI | USD | 4,626,000 | 1.50% | 2.21% | N/A | 11/18/2054 | Monthly | (63,741 | ) | 111,563 | 175,304 | ||||||||||||||||||||
| CMBX.NA.AA.11 |
MORD | USD | 4,624,500 | 1.50% | 2.21% | N/A | 11/18/2054 | Monthly | (67,280 | ) | 111,527 | 178,807 | ||||||||||||||||||||
| CMBX.NA.AA.11 |
MORD | USD | 4,624,500 | 1.50% | 2.21% | N/A | 11/18/2054 | Monthly | (61,372 | ) | 111,527 | 172,899 | ||||||||||||||||||||
| CMBX.NA.BBB-.11 |
CGMI | USD | 5,752,000 | 3.00% | 9.66% | N/A | 11/18/2054 | Monthly | 1,213,313 | 1,139,615 | (73,698 | ) | ||||||||||||||||||||
| CMBX.NA.A.8 |
CGMI | USD | 5,000,000 | 2.00% | 8.19% | N/A | 10/17/2057 | Monthly | 262,500 | 240,485 | (22,015 | ) | ||||||||||||||||||||
| CMBX.NA.A.8 |
GS | USD | 8,892,000 | 2.00% | 8.19% | N/A | 10/17/2057 | Monthly | 150,185 | 427,679 | 277,494 | |||||||||||||||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Swap Contracts — continued
OTC Credit Default Swaps — continued
| Reference Entity |
Counter- |
Notional |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||||||||
| CMBX.NA.A.8 |
MORD | USD | 2,000,000 | 2.00% | 8.19% | N/A | 10/17/2057 | Monthly | 107,500 | 96,194 | (11,306 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.8 |
GS | USD | 1,444,000 | 3.00% | 25.45% | N/A | 10/17/2057 | Monthly | 216,864 | 235,778 | 18,914 | |||||||||||||||||||||||||||||
| CMBX.NA.BBB-.8 |
GS | USD | 4,224,000 | 3.00% | 25.45% | N/A | 10/17/2057 | Monthly | 400,908 | 689,700 | 288,792 | |||||||||||||||||||||||||||||
| CMBX.NA.BBB-.8 |
MSCI | USD | 2,366,000 | 3.00% | 25.45% | N/A | 10/17/2057 | Monthly | 458,412 | 386,323 | (72,089 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.8 |
MSCI | USD | 3,153,000 | 3.00% | 25.45% | N/A | 10/17/2057 | Monthly | 665,756 | 514,826 | (150,930 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
DB | USD | 1,184,200 | 3.00% | 16.51% | N/A | 09/17/2058 | Monthly | 143,660 | 242,368 | 98,708 | |||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
GS | USD | 1,752,000 | 3.00% | 16.51% | N/A | 09/17/2058 | Monthly | 402,960 | 358,578 | (44,382 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
MORD | USD | 5,116,800 | 3.00% | 16.51% | N/A | 09/17/2058 | Monthly | 584,727 | 1,047,244 | 462,517 | |||||||||||||||||||||||||||||
| CMBX.NA.AA.12 |
GS | USD | 6,974,000 | 1.50% | 2.26% | N/A | 08/17/2061 | Monthly | (61,732 | ) | 215,903 | 277,635 | ||||||||||||||||||||||||||||
| CMBX.NA.A.6 |
CGMI | USD | 15,000,000 | 2.00% | 91.78% | N/A | 05/11/2063 | Monthly | 750,470 | 800,633 | 50,163 | |||||||||||||||||||||||||||||
| CMBX.NA.AA.6 |
GS | USD | 4,703,648 | 1.50% | 48.93% | N/A | 05/11/2063 | Monthly | 34,885 | 80,409 | 45,524 | |||||||||||||||||||||||||||||
| CMBX.NA.BBB-.6 |
CGMI | USD | 4,274,000 | 3.00% | 32.92% | N/A | 05/11/2063 | Monthly | 1,357,351 | 262,707 | (1,094,644 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.A.15 |
CGMI | USD | 5,000,000 | 2.00% | 3.73% | N/A | 11/18/2064 | Monthly | 600,000 | 493,546 | (106,454 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.A.14 |
GS | USD | 2,682,000 | 2.00% | 4.02% | N/A | 12/16/2072 | Monthly | 349,769 | 277,227 | (72,542 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.AA.13 |
CGMI | USD | 2,000,000 | 1.50% | 2.35% | N/A | 12/16/2072 | Monthly | 147,237 | 82,817 | (64,420 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.AA.13 |
CGMI | USD | 3,000,000 | 1.50% | 2.35% | N/A | 12/16/2072 | Monthly | 138,948 | 124,226 | (14,722 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.14 |
CGMI | USD | 5,933,500 | 3.00% | 8.35% | N/A | 12/16/2072 | Monthly | 1,676,214 | 1,425,894 | (250,320 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.14 |
GS | USD | 1,360,000 | 3.00% | 8.35% | N/A | 12/16/2072 | Monthly | 340,000 | 326,825 | (13,175 | ) | ||||||||||||||||||||||||||||
| Sell Protection: |
||||||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.S31 |
CITI | USD | 2,866,000 | 5.00% | 0.07% | 2,866,000 USD | 12/20/2023 | Quarterly | 293,765 | 7,687 | (286,078 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HY.S31 |
CITI | USD | 4,657,000 | 5.00% | 0.07% | 4,657,000 USD | 12/20/2023 | Quarterly | 492,478 | 12,491 | (479,987 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HY.S31 |
CITI | USD | 8,050,000 | 5.00% | 0.07% | 8,050,000 USD | 12/20/2023 | Quarterly | 539,350 | 21,592 | (517,758 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HY.S33 |
CITI | USD | 4,201,343 | 5.00% | 0.10% | 4,201,343 USD | 12/20/2024 | Quarterly | 444,572 | 211,919 | (232,653 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HY.S33 |
CITI | USD | 10,598,036 | 5.00% | 0.10% | 10,598,035 USD | 12/20/2024 | Quarterly | 1,827,631 | 534,572 | (1,293,059 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HY.S33 |
GS | USD | 25,937,869 | 5.00% | 0.10% | 25,937,869 USD | 12/20/2024 | Quarterly | 5,736,853 | 1,308,324 | (4,428,529 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HY.S33 |
JPM | USD | 10,394,872 | 5.00% | 0.10% | 10,394,872 USD | 12/20/2024 | Quarterly | 1,704,759 | 524,325 | (1,180,434 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HY.S33 |
MORD | USD | 2,800,896 | 5.00% | 0.10% | 2,800,895 USD | 12/20/2024 | Quarterly | 482,034 | 141,279 | (340,755 | ) | ||||||||||||||||||||||||||||
| iTraxx Europe Crossover S38 |
JPM | EUR | 25,920,000 | 5.00% | 0.51% | 25,920,000 EUR | 12/20/2027 | Quarterly | 4,389,263 | 4,648,214 | 258,951 | |||||||||||||||||||||||||||||
| CDX.NA.HY.S41 |
GS | USD | 3,600,000 | 5.00% | 2.96% | 3,600,000 USD | 12/20/2028 | Quarterly | 103,460 | 323,527 | 220,067 | |||||||||||||||||||||||||||||
| CMBX.NA.AA.7 |
CGMI | USD | 5,000,000 | 1.50% | 98.31% | 5,000,000 USD | 01/17/2047 | Monthly | (125,000 | ) | (144,314 | ) | (19,314 | ) | ||||||||||||||||||||||||||
| CMBX.NA.A.9 |
CGMI | USD | 2,500,000 | 2.00% | 8.25% | 2,500,000 USD | 09/17/2058 | Monthly | (74,374 | ) | (254,635 | ) | (180,261 | ) | ||||||||||||||||||||||||||
| CMBX.NA.A.9 |
GS | USD | 4,158,800 | 2.00% | 8.25% | 4,158,800 USD | 09/17/2058 | Monthly | 54,550 | (423,590 | ) | (478,140 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AAA.10 |
GS | USD | 7,540,000 | 0.50% | 0.63% | 7,540,000 USD | 11/17/2059 | Monthly | 68,960 | (26,121 | ) | (95,081 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AAA.15 |
CGMI | USD | 10,000,000 | 0.50% | 0.90% | 10,000,000 USD | 11/18/2064 | Monthly | (373,108 | ) | (247,718 | ) | 125,390 | |||||||||||||||||||||||||||
| CMBX.NA.AAA.15 |
GS | USD | 2,825,000 | 0.50% | 0.90% | 2,825,000 USD | 11/18/2064 | Monthly | (43,464 | ) | (69,980 | ) | (26,516 | ) | ||||||||||||||||||||||||||
| CMBX.NA.AAA.14 |
MORD | USD | 10,000,000 | 0.50% | 0.84% | 10,000,000 USD | 12/16/2072 | Monthly | (301,880 | ) | (190,581 | ) | 111,299 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| $ | 26,240,413 | $ | 16,695,952 | $ | (9,544,461 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of November 30, 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. |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||
| Total Return on Markit iBoxx USD Liquid Investment Grade Index |
SOFR | MSCI | USD | 26,790,000 | 12/20/2023 | Quarterly | $ | (16 | ) | $ | (694,772 | ) | $ | (694,756 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
As of November 30, 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 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) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any. |
| (d) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
The rates shown on variable rate notes are the current interest rates at November 30, 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
STEP - Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at November 30, 2023.
TBA - To Be Announced - Delayed Delivery Security
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
CGMI - Citigroup Global Markets Inc.
CITI - Citibank N.A.
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MORD - Morgan Stanley Capital Services LLC
MSCI - Morgan Stanley & Co. International PLC
Currency Abbreviations:
EUR - Euro
USD - United States Dollar
GMO U.S. Treasury Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 9.7% | ||||||||||
| U.S. Government — 9.7% | ||||||||||
| 33,753,210 | U.S. Treasury Inflation-Indexed Notes, 0.63%, due 01/15/24 | 33,476,988 | ||||||||
| 16,779,566 | U.S. Treasury Inflation-Indexed Notes, 0.50%, due 04/15/24 | 16,512,797 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 49,989,785 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $50,206,813) |
|
49,989,785 |
| |||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 92.1% | ||||||||||
| U.S. Government — 61.0% | ||||||||||
| 12,202,000 | U.S. Treasury Bills, 5.31%, due 02/01/24 (a) | 12,091,490 | ||||||||
| 12,000,000 | U.S. Treasury Bills, 5.31%, due 02/01/24 (a) | 11,891,319 | ||||||||
| 30,828,000 | U.S. Treasury Bills, 5.34%, due 03/14/24 (a) | 30,363,114 | ||||||||
| 68,162,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.55%, due 01/31/25 |
68,247,508 | ||||||||
| 50,500,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.52%, due 04/30/25 | 50,533,094 | ||||||||
| 91,897,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.13%, 5.48%, due 07/31/25 | 91,837,213 | ||||||||
| 23,870,000 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.17%, 5.52%, due 10/31/25 | 23,855,651 | ||||||||
| 26,877,000 | U.S. Treasury Notes, 1.50%, due 09/30/24 | 26,063,341 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 314,882,730 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 6.6% | ||||||||||
| 10,000,000 | Federal Home Loan Banks, 5.23%, due 03/22/24 | 9,995,248 | ||||||||
| 20,000,000 | Federal Home Loan Banks, 5.55%, due 08/12/24 | 19,983,465 | ||||||||
| 4,000,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.41%, due 09/04/24 | 4,000,408 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 33,979,121 | |||||||||
|
|
|
|||||||||
| Repurchase Agreements — 24.5% | ||||||||||
| 100,011,572 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 11/30/23 maturing on 12/01/23 with a maturity value of $101,492,299 and an effective yield of 5.33%, collateralized by a U.S. Treasury Note with maturity date 09/30/26 and a market value of $101,749,942. | 100,011,572 | ||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| Repurchase Agreements — continued | ||||||||||
| 26,393,850 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 11/30/23 maturing on 12/01/23 with a maturity value of $26,786,092 and an effective yield of 5.35%, collateralized by a U.S. Treasury Note with maturity date 04/30/27 and a market value of $26,862,732. | 26,393,850 | ||||||||
|
|
|
|||||||||
| Total Repurchase Agreements | 126,405,422 | |||||||||
|
|
|
|||||||||
| Money Market Funds — 0.0% | ||||||||||
| 201,441 | State Street Institutional Treasury Plus Money Market Fund – Premier Class, 5.31% (b) | 201,441 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $475,379,142) |
|
475,468,714 |
| |||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 101.8% (Cost $525,585,955) |
525,458,499 | |||||||||
| Other Assets and Liabilities (net) — (1.8)% | (9,129,334 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $516,329,165 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | The rate shown represents yield-to-maturity. |
| (b) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
Portfolio Abbreviations:
SOFR - Secured Overnight Financing Rate
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 closing 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 non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 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 loan assignments valued using a vendor price of a comparable loan; 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 November 30, 2023:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Asset Allocation Bond Fund |
| |||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| U.S. Government |
$ | 5,006,272 | $ | — | $ | — | $ | 5,006,272 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
5,006,272 | — | — | 5,006,272 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
1,342,515 | 35,820,552 | — | 37,163,067 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
6,348,787 | 35,820,552 | — | 42,169,339 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 64,674 | — | 64,674 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
594,685 | — | — | 594,685 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 6,943,472 | $ | 35,885,226 | $ | — | $ | 42,828,698 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Country Debt Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 6,668,386 | $ | — | $ | 6,668,386 | ||||||||
| Corporate Debt |
— | 116,345,182 | 15,187,437 | 131,532,619 | ||||||||||||
| Sovereign and Sovereign Agency Issuers |
— | 2,076,826,693 | 175,400,111 | 2,252,226,804 | ||||||||||||
| U.S. Government |
8,934,352 | — | — | 8,934,352 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
8,934,352 | 2,199,840,261 | 190,587,548 | 2,399,362,161 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Loan Assignments |
— | — | 24,068,871 | 24,068,871 | ||||||||||||
| Loan Participations |
— | — | 10,328,436 | 10,328,436 | ||||||||||||
| Investment Funds |
— | — | 14,687,381 | 14,687,381 | ||||||||||||
| Rights/Warrants |
— | 13,769,793 | 5,365,642 | 19,135,435 | ||||||||||||
| Short-Term Investments |
6,425,285 | 51,999,743 | — | 58,425,028 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
15,359,637 | 2,265,609,797 | 245,037,878 | 2,526,007,312 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 59,343 | — | 59,343 | ||||||||||||
| Options |
||||||||||||||||
| Credit Risk |
— | — | 204,890 | 204,890 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 9,557,478 | — | 9,557,478 | ||||||||||||
| Interest Rate Risk |
— | 2,867,340 | — | 2,867,340 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 15,359,637 | $ | 2,278,093,958 | $ | 245,242,768 | $ | 2,538,696,363 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | (8,966,074 | ) | $ | — | $ | (8,966,074 | ) | ||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | (1,961,943 | ) | — | (1,961,943 | ) | ||||||||||
| Interest Rate Risk |
— | (7,840,558 | ) | — | (7,840,558 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | (18,768,575 | ) | $ | — | $ | (18,768,575 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| High Yield Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| Corporate Debt |
$ | — | $ | 16,357,121 | $ | — | $ | 16,357,121 | ||||||||
| U.S. Government |
45,671,234 | — | — | 45,671,234 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
45,671,234 | 16,357,121 | — | 62,028,355 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
2,270,325 | 100,617,869 | — | 102,888,194 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
47,941,559 | 116,974,990 | — | 164,916,549 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 295,715 | — | 295,715 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
109,816 | — | — | 109,816 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 1,228,375 | — | 1,228,375 | ||||||||||||
| Interest Rate Risk |
— | 3,082,981 | — | 3,082,981 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 48,051,375 | $ | 121,582,061 | $ | — | $ | 169,633,436 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Sector Fixed Income Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| Corporate Debt |
$ | — | $ | 16,388,194 | $ | — | $ | 16,388,194 | ||||||||
| Defeased Securities – Asset-Backed |
— | 33,289,691 | — | 33,289,691 | ||||||||||||
| U.S. Government |
4,348,809 | — | — | 4,348,809 | ||||||||||||
| U.S. Government Agency |
— | 19,300,091 | — | 19,300,091 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
4,348,809 | 68,977,976 | — | 73,326,785 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
24,417,093 | — | — | 24,417,093 | ||||||||||||
| Short-Term Investments |
319,152 | 11,999,169 | — | 12,318,321 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
29,085,054 | 80,977,145 | — | 110,062,199 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 478,179 | — | 478,179 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
165,352 | — | — | 165,352 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Interest Rate Risk |
— | 2,226,845 | — | 2,226,845 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 29,250,406 | $ | 83,682,169 | $ | — | $ | 112,932,575 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | (638,639 | ) | $ | — | $ | (638,639 | ) | ||||||
| Swap Contracts |
||||||||||||||||
| Interest Rate Risk |
— | (2,196,050 | ) | — | (2,196,050 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | (2,834,689 | ) | $ | — | $ | (2,834,689 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Opportunistic Income Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 945,507,891 | $ | 11,184,244 | $ | 956,692,135 | ||||||||
| Corporate Debt |
— | 2,683,126 | — | 2,683,126 | ||||||||||||
| U.S. Government |
59,194,799 | — | — | 59,194,799 | ||||||||||||
| U.S. Government Agency |
7,500,766 | 88,997,756 | 3,609,084 | 100,107,606 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
66,695,565 | 1,037,188,773 | 14,793,328 | 1,118,677,666 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
10,916,211 | — | — | 10,916,211 | ||||||||||||
| Short-Term Investments |
18,488,355 | 230,035,523 | — | 248,523,878 | ||||||||||||
| Purchased Options |
— | 513,819 | — | 513,819 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
96,100,131 | 1,267,738,115 | 14,793,328 | 1,378,631,574 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 989 | — | 989 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
1,061,338 | — | — | 1,061,338 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 18,496,814 | — | 18,496,814 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 97,161,469 | $ | 1,286,235,918 | $ | 14,793,328 | $ | 1,398,190,715 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | (112,565 | ) | $ | — | $ | (112,565 | ) | ||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
(521 | ) | — | — | (521 | ) | ||||||||||
| Written Options |
||||||||||||||||
| Credit Risk |
— | (184,551 | ) | — | (184,551 | ) | ||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | (5,113,572 | ) | — | (5,113,572 | ) | ||||||||||
| Interest Rate Risk |
— | (694,772 | ) | — | (694,772 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (521 | ) | $ | (6,105,460 | ) | $ | — | $ | (6,105,981 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Treasury Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| U.S. Government |
$ | — | $ | 49,989,785 | $ | — | $ | 49,989,785 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
— | 49,989,785 | — | 49,989,785 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
318,700,178 | 156,768,536 | — | 475,468,714 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
318,700,178 | 206,758,321 | — | 525,458,499 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 318,700,178 | $ | 206,758,321 | $ | — | $ | 525,458,499 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
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. |
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.
As of November 30, 2023, under U.S. GAAP the following Funds require additional disclosures about fair value measurements for Level 3 securities and derivatives, if any (determined by each category or asset or liability as compared to a Fund’s 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, 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 and 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. Opportunistic Income Fund’s Level 3 holdings also consists of one asset-backed security that was priced based on market trades.
The following is a reconciliation of securities and derivatives, if any, for Funds in which significant unobservable inputs (Level 3) were used in determining value:
| Balances as of February 28, 2023 |
Purchases | Sales | Accrued Discounts/ Premiums |
Total (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Transfer Level 3 |
Transfer out of Level 3 |
Balances as of November 30, 2023 |
Net Change
in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2023 |
|||||||||||||||||||||||||||||||
| Emerging Country Debt Fund | ||||||||||||||||||||||||||||||||||||||||
| Debt Obligations |
|
|||||||||||||||||||||||||||||||||||||||
| Corporate Debt |
$ | 15,471,486 | $ | — | $ | — | $ | (1,295 | ) | $ | — | $ | (282,754 | ) | $ | — | $ | — | $ | 15,187,437 | $ | (282,753 | ) | |||||||||||||||||
| Sovereign and Sovereign Agency Issuers |
197,198,523 | 844,728 | (9,575,305 | ) | 3,092,357 | (4,034,965 | ) | 30,550,710 | — | (42,675,937 | )‡ | 175,400,111 | 30,427,344 | |||||||||||||||||||||||||||
| Investment Funds |
7,035,403 | 9,300,000 | (4,166,249 | ) | — | 577,819 | 1,940,408 | — | — | 14,687,381 | 1,940,408 | |||||||||||||||||||||||||||||
| Loan Assignments |
32,811,159 | — | (10,516,000 | ) | 609,075 | (262,788 | ) | 1,427,425 | — | — | 24,068,871 | 1,427,425 | ||||||||||||||||||||||||||||
| Loan Participations |
21,513,110 | 3,374,919 | (10,694,555 | ) | (3,056,666 | ) | (1,468,534 | ) | 660,162 | — | — | 10,328,436 | (1,174,467 | ) | ||||||||||||||||||||||||||
| Rights/Warrants |
3,216,316 | 50,928 | — | 16,661 | — | 2,081,737 | — | — | 5,365,642 | 2,081,737 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Investments |
277,245,997 | 13,570,575 | (34,952,109 | ) | 660,132 | (5,188,468 | ) | 36,377,688 | — | (42,675,937 | ) | 245,037,878 | 34,419,694 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Derivatives |
||||||||||||||||||||||||||||||||||||||||
| Options |
301,675 | — | — | — | (378,334 | ) | 281,549 | — | — | 204,890 | 281,549 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 277,547,672 | $ | 13,570,575 | $ | (34,952,109 | )# | $ | 660,132 | $ | (5,566,802 | ) | $ | 36,659,237 | $ | — | $ | (42,675,937 | ) | $ | 245,242,768 | $ | 34,701,243 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Opportunistic Income Fund | ||||||||||||||||||||||||||||||||||||||||
| Debt Obligations |
|
|||||||||||||||||||||||||||||||||||||||
| Asset-Backed Securities |
$ | 10,846,895 | $ | 2,648,281 | $ | (1,881,750 | ) | $ | 158,996 | $ | (290,212 | ) | $ | (297,966 | ) | $ | — | $ | — | $ | 11,184,244 | $ | (630,305 | ) | ||||||||||||||||
| U.S. Government Agency |
5,263,033 | — | (1,674,494 | ) | — | 17,467 | 3,078 | — | — | 3,609,084 | 7,680 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 16,109,928 | $ | 2,648,281 | $ | (3,556,244 | )## | $ | 158,996 | $ | (272,745 | ) | $ | (294,888 | ) | $ | — | $ | — | $ | 14,793,328 | $ | (622,625 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| ‡ | Financial assets transferred between levels were due to a change in observable and/or unobservable inputs. |
| # | Includes $18,397,498 of proceeds received from partial calls and/or principal paydowns as applicable. |
| ## | Includes $1,674,494 of proceeds received from partial calls and/or principal paydowns as applicable. |
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended November 30, 2023.
Quantitative information about Level 3 Fair Value Measurements*
| Investment Type | Total Fair Value ($) |
Valuation Methodology |
Unobservable Inputs | Range (Weighted Average) | ||||||
| Emerging Country Debt Fund | ||||||||||
| Sovereign and Sovereign Agency Issuers |
40,944,859 | Fair Value | Discount for lack of liquidity/marketability | 1.40% - 1.60% (1.42%) | ||||||
| Sovereign and Sovereign Agency Issuers |
9,435 | Fair Value | Discount for lack of liquidity/marketability | 99% (N/A) | ||||||
| Corporate Debt |
15,187,437 | Fair Value | Discount for lack of liquidity/marketability | 2.00% (N/A) | ||||||
| Loan Assignments and Participations |
15,823,599 | Fair Value | Discount for lack of liquidity/marketability | 5.00%-6.00% (5.00%) | ||||||
| Loan Assignments and Participations |
116 | Fair Value | Vendor price of comparable loan | N/A | ||||||
|
Warrants |
297,713 | Fair Value | Discount for lack of liquidity/marketability | 50% (N/A) | ||||||
|
Options |
204,890 | Fair Value | Probability of CDS threshold event | <5% (N/A) | ||||||
| Investment Funds |
14,687,381 | Fair Value | Net asset value statement | N/A | ||||||
| Opportunistic Income Fund | ||||||||||
|
Asset-Backed Securities |
8,163,930 | Fair Value | Broker mark of comparable bond | N/A | ||||||
| Government Agency |
3,609,084 | Fair Value | Discount for lack of liquidity/marketabilty | 1.25% (N/A) | ||||||
| * | The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of November 30, 2023, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $158,087,338 and $3,020,314, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated. |
Investments in affiliated companies and other Funds of the Trust
An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 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 Investment Holdings II LLC |
$ | — | $ | 9,300,000 | $ | — | $ | — | $ | — | $ | — | $ | 1,641,776 | $ | 10,941,776 | ||||||||||||||||
| Bona Fide Investments Feeder LLC |
— | # | — | 4,166,249 | — | — | 577,819 | 962,190 | 3,745,605 | |||||||||||||||||||||||
| GMO U.S. Treasury Fund |
67,529,288 | — | 67,584,457 | 1,101,569 | — | (176,570 | ) | 231,739 | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 67,529,288 | $ | 9,300,000 | $ | 71,750,706 | $ | 1,101,569 | $ | — | $ | 401,249 | $ | 2,835,705 | $ | 14,687,381 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| 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 |
||||||||||||||||||||||||
| Multi-Sector Fixed Income Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
$ | 4,374,928 | $ | — | $ | — | $ | 41,346 | $ | — | $ | — | $ | 396,370 | $ | 4,771,298 | ||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
23,494,304 | — | 4,500,000 | 262,435 | — | (332,186 | ) | 983,677 | 19,645,795 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 27,869,232 | $ | — | $ | 4,500,000 | $ | 303,781 | $ | — | $ | (332,186 | ) | $ | 1,380,047 | $ | 24,417,093 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Opportunistic Income Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 10,894,378 | $ | — | $ | — | $ | 427,347 | $ | — | $ | — | $ | 21,833 | $ | 10,916,211 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2023 through November 30, 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. |
Subsequent events
Subsequent to November 30, 2023, GMO Multi-Sector Fixed Income Fund received redemption requests in the amount of $24,333,017.
* * *
For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 69.1% |
| |||||||||
| Australia — 1.9% | ||||||||||
| 22,701 | BlueScope Steel Ltd. | 311,397 | ||||||||
| 32,748 | Brambles Ltd. (a) | 288,595 | ||||||||
| 8,248 | Fortescue Ltd. (a) | 135,439 | ||||||||
| 47,960 | GPT Group – (REIT) (a) | 130,377 | ||||||||
| 114,291 | Mirvac Group – (REIT) (a) | 155,239 | ||||||||
| 394,371 | Origin Energy Ltd. (a) | 2,151,498 | ||||||||
| 8,782 | Qantas Airways Ltd. * (a) | 30,742 | ||||||||
| 71,129 | Scentre Group – (REIT) (a) | 124,385 | ||||||||
| 64,932 | Stockland – (REIT) (a) | 176,950 | ||||||||
|
|
|
|||||||||
| Total Australia | 3,504,622 | |||||||||
|
|
|
|||||||||
| Belgium — 0.8% | ||||||||||
| 8,168 | Ageas SA (a) | 351,776 | ||||||||
| 43,068 | Euronav NV (a) | 774,793 | ||||||||
| 592 | Sofina SA (a) | 131,940 | ||||||||
| 4,348 | UCB SA (a) | 321,577 | ||||||||
|
|
|
|||||||||
| Total Belgium | 1,580,086 | |||||||||
|
|
|
|||||||||
| Bermuda — 1.3% | ||||||||||
| 143,582 | Liberty Global Ltd. – Class A * | 2,297,312 | ||||||||
| 1,727 | Liberty Global Ltd. – Class C * | 29,083 | ||||||||
|
|
|
|||||||||
| Total Bermuda | 2,326,395 | |||||||||
|
|
|
|||||||||
| Canada — 2.1% | ||||||||||
| 4,300 | Alimentation Couche-Tard, Inc. (a) | 245,271 | ||||||||
| 285,891 | Canaccord Genuity Group, Inc. (a) | 1,392,638 | ||||||||
| 3,100 | Canadian Tire Corp. Ltd. – Class A (a) | 322,462 | ||||||||
| 900 | iA Financial Corp., Inc. (a) | 60,097 | ||||||||
| 2,600 | Magna International, Inc. (a) | 140,179 | ||||||||
| 12,100 | Manulife Financial Corp. (a) (b) | 237,039 | ||||||||
| 10,600 | Manulife Financial Corp. (a) (b) | 207,633 | ||||||||
| 3,200 | Onex Corp. (a) | 216,462 | ||||||||
| 9,800 | Quebecor, Inc. – Class B (a) | 217,457 | ||||||||
| 176,256 | Resolute Forest Products, Inc. * (c) | 352,512 | ||||||||
| 3,800 | Teck Resources Ltd. – Class B (a) | 143,156 | ||||||||
| 3,900 | West Fraser Timber Co. Ltd. (a) (b) | 282,868 | ||||||||
| 1,214 | West Fraser Timber Co. Ltd. (a) (b) | 88,088 | ||||||||
|
|
|
|||||||||
| Total Canada | 3,905,862 | |||||||||
|
|
|
|||||||||
| China — 0.5% | ||||||||||
| 111,000 | Bank of Communications Co. Ltd. – Class H | 65,426 | ||||||||
| 17,500 | Beijing Enterprises Holdings Ltd. | 58,019 | ||||||||
| 22,500 | China Conch Venture Holdings Ltd. | 16,858 | ||||||||
| 355,000 | China Construction Bank Corp. – Class H | 205,259 | ||||||||
| 60,500 | China Overseas Land & Investment Ltd. | 111,712 | ||||||||
| 212,000 | China Railway Group Ltd. – Class H | 93,049 | ||||||||
| 308,000 | China Zhongwang Holdings Ltd. * (d) | — | ||||||||
| 146,000 | CITIC Ltd. | 137,356 | ||||||||
| 74,000 | COSCO Shipping Holdings Co. Ltd. – Class H | 68,177 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 80,000 | Dongfeng Motor Group Co. Ltd. – Class H | 40,138 | ||||||||
| 13,000 | Kingboard Holdings Ltd. | 31,297 | ||||||||
| 8,500 | Shanghai Pharmaceuticals Holding Co. Ltd. – Class H | 12,322 | ||||||||
| 6,000 | Sinopharm Group Co. Ltd. – Class H | 14,869 | ||||||||
|
|
|
|||||||||
| Total China | 854,482 | |||||||||
|
|
|
|||||||||
| Denmark — 0.7% | ||||||||||
| 79 | AP Moller – Maersk AS – Class A (a) | 122,555 | ||||||||
| 182 | AP Moller – Maersk AS – Class B (a) | 287,379 | ||||||||
| 16,439 | Danske Bank AS | 425,925 | ||||||||
| 197 | Genmab AS * (a) | 61,959 | ||||||||
| 2,205 | Pandora AS (a) | 297,670 | ||||||||
| 655 | ROCKWOOL AS – B Shares | 177,096 | ||||||||
|
|
|
|||||||||
| Total Denmark | 1,372,584 | |||||||||
|
|
|
|||||||||
| Finland — 0.2% | ||||||||||
| 100,538 | Nokia OYJ (a) | 352,623 | ||||||||
| 8,951 | Stora Enso OYJ – R Shares (a) | 116,305 | ||||||||
|
|
|
|||||||||
| Total Finland | 468,928 | |||||||||
|
|
|
|||||||||
| France — 0.9% | ||||||||||
| 14,786 | ArcelorMittal SA | 371,736 | ||||||||
| 4,045 | BNP Paribas SA (a) | 254,297 | ||||||||
| 496 | Cie de Saint-Gobain SA (a) | 32,337 | ||||||||
| 2,100 | Publicis Groupe SA (a) | 177,464 | ||||||||
| 8,878 | Renault SA | 348,895 | ||||||||
| 13,520 | Societe Generale SA | 340,252 | ||||||||
| 2,132 | STMicroelectronics NV – NY Shares | 101,142 | ||||||||
| 11,885 | Vivendi SE (a) | 112,491 | ||||||||
|
|
|
|||||||||
| Total France | 1,738,614 | |||||||||
|
|
|
|||||||||
| Germany — 0.3% | ||||||||||
| 468 | Bayerische Motoren Werke AG (a) | 48,832 | ||||||||
| 1,772 | Continental AG | 137,519 | ||||||||
| 3,106 | Fresenius SE & Co. KGaA | 98,631 | ||||||||
| 429 | Heidelberg Materials AG (a) | 35,019 | ||||||||
| 4,242 | Mercedes-Benz Group AG (a) | 275,812 | ||||||||
|
|
|
|||||||||
| Total Germany | 595,813 | |||||||||
|
|
|
|||||||||
| Hong Kong — 0.1% | ||||||||||
| 9,500 | Orient Overseas International Ltd. (a) | 114,225 | ||||||||
|
|
|
|||||||||
| India — 0.6% | ||||||||||
| 5,219 | Bharat Petroleum Corp. Ltd. | 27,391 | ||||||||
| 98,843 | GAIL India Ltd. | 156,457 | ||||||||
| 5,934 | Hindalco Industries Ltd. | 36,826 | ||||||||
| 21,314 | Hindustan Petroleum Corp. Ltd. * | 88,906 | ||||||||
| 94,899 | Indian Oil Corp. Ltd. | 127,690 | ||||||||
| 49,454 | NTPC Ltd. | 154,921 | ||||||||
| 123,222 | Oil & Natural Gas Corp. Ltd. | 287,431 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| India — continued | ||||||||||
| 109,063 | Tata Steel Ltd. | 167,603 | ||||||||
|
|
|
|||||||||
| Total India | 1,047,225 | |||||||||
|
|
|
|||||||||
| Israel — 1.1% | ||||||||||
| 340 | Check Point Software Technologies Ltd. * | 49,640 | ||||||||
| 38,419 | Teva Pharmaceutical Industries Ltd. | |||||||||
| Sponsored ADR * (a) | 377,275 | |||||||||
| 4,074 | Teva Pharmaceutical Industries Ltd. * | 39,920 | ||||||||
| 56,957 | Tower Semiconductor Ltd. * | 1,559,483 | ||||||||
|
|
|
|||||||||
| Total Israel | 2,026,318 | |||||||||
|
|
|
|||||||||
| Italy — 0.4% | ||||||||||
| 21,757 | Stellantis NV (a) | 472,875 | ||||||||
| 646,847 | Telecom Italia SpA * (a) | 188,003 | ||||||||
|
|
|
|||||||||
| Total Italy | 660,878 | |||||||||
|
|
|
|||||||||
| Japan — 9.4% | ||||||||||
| 10,500 | Amano Corp. | 222,773 | ||||||||
| 17,500 | Credit Saison Co. Ltd. (a) | 295,180 | ||||||||
| 15,200 | Daiwabo Holdings Co. Ltd. | 298,996 | ||||||||
| 20,300 | Denka Co. Ltd. | 363,305 | ||||||||
| 8,300 | EXEO Group, Inc. | 174,696 | ||||||||
| 19,300 | Fuji Corp. | 327,238 | ||||||||
| 7,600 | FUJIFILM Holdings Corp. (a) | 445,059 | ||||||||
| 13,400 | Fujikura Ltd. | 103,278 | ||||||||
| 200 | Fujitsu Ltd. (a) | 28,477 | ||||||||
| 25,200 | H.U. Group Holdings, Inc. | 438,581 | ||||||||
| 39,900 | Honda Motor Co. Ltd. (a) | 408,135 | ||||||||
| 29,600 | Inpex Corp. (a) | 408,374 | ||||||||
| 23,600 | Isuzu Motors Ltd. | 313,295 | ||||||||
| 10,800 | ITOCHU Corp. (a) | 419,876 | ||||||||
| 102,724 | JSR Corp. | 2,828,928 | ||||||||
| 20,100 | Kanematsu Corp. | 279,323 | ||||||||
| 9,400 | Kawasaki Kisen Kaisha Ltd. (a) | 330,596 | ||||||||
| 21,500 | Kirin Holdings Co. Ltd. (a) | 303,935 | ||||||||
| 10,100 | Kyudenko Corp. | 318,680 | ||||||||
| 8,500 | Maruichi Steel Tube Ltd. | 219,859 | ||||||||
| 30,600 | Mitsubishi Electric Corp. | 414,506 | ||||||||
| 14,000 | Mitsui OSK Lines Ltd. (a) | 384,940 | ||||||||
| 6,100 | Morinaga & Co. Ltd. (a) | 217,436 | ||||||||
| 5,300 | MS&AD Insurance Group Holdings, Inc. (a) | 199,552 | ||||||||
| 9,400 | NEC Corp. (a) | 523,917 | ||||||||
| 12,900 | NH Foods Ltd. (a) | 383,564 | ||||||||
| 15,200 | Nippon Yusen KK (a) | 409,402 | ||||||||
| 4,000 | Panasonic Holdings Corp. (a) | 41,216 | ||||||||
| 36,500 | Penta-Ocean Construction Co. Ltd. | 200,395 | ||||||||
| 6,400 | Renesas Electronics Corp. * (a) | 111,545 | ||||||||
| 14,500 | Rohm Co. Ltd. (a) | 277,046 | ||||||||
| 7,300 | Sankyu, Inc. (a) | 249,012 | ||||||||
| 2,100 | Secom Co. Ltd. | 145,971 | ||||||||
| 18,800 | Sekisui House Ltd. (a) | 384,937 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 3,600 | Shionogi & Co. Ltd. (a) | 169,746 | ||||||||
| 18,100 | Stanley Electric Co. Ltd. | 334,811 | ||||||||
| 9,500 | Subaru Corp. (a) | 169,473 | ||||||||
| 31,200 | SUMCO Corp. (a) | 466,810 | ||||||||
| 20,600 | Sumitomo Corp. | 431,907 | ||||||||
| 8,200 | Sumitomo Mitsui Financial Group, Inc. (a) | 403,419 | ||||||||
| 8,300 | Sumitomo Mitsui Trust Holdings, Inc. | 312,375 | ||||||||
| 27,300 | T&D Holdings, Inc. (a) | 406,200 | ||||||||
| 3,900 | TDK Corp. (a) | 181,479 | ||||||||
| 18,900 | THK Co. Ltd. | 378,407 | ||||||||
| 36,000 | Tokai Carbon Co. Ltd. | 266,700 | ||||||||
| 58,600 | Tokyo Electric Power Co. Holdings, Inc. * (a) | 250,302 | ||||||||
| 3,800 | Tokyo Seimitsu Co. Ltd. (a) | 219,963 | ||||||||
| 10,400 | Tosoh Corp. | 138,359 | ||||||||
| 3,100 | Toyota Industries Corp. (a) | 266,616 | ||||||||
| 800 | Toyota Tsusho Corp. | 44,332 | ||||||||
| 7,100 | Yamaha Motor Co. Ltd. | 182,012 | ||||||||
| 6,500 | Zenkoku Hosho Co. Ltd. (a) | 219,371 | ||||||||
|
|
|
|||||||||
| Total Japan | 17,314,305 | |||||||||
|
|
|
|||||||||
| Netherlands — 0.9% | ||||||||||
| 37,341 | Aegon Ltd. (a) | 205,038 | ||||||||
| 3,025 | AerCap Holdings NV * | 206,366 | ||||||||
| 3,938 | EXOR NV (a) | 383,699 | ||||||||
| 4,045 | ING Groep NV – Class N (a) | 56,828 | ||||||||
| 2,496 | JDE Peet’s NV (a) | 66,955 | ||||||||
| 8,155 | Koninklijke Ahold Delhaize NV (a) | 236,165 | ||||||||
| 19,392 | Koninklijke Philips NV | 397,948 | ||||||||
| 3,615 | NN Group NV (a) | 137,963 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 1,690,962 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.0% | ||||||||||
| 18,129 | Meridian Energy Ltd. (a) | 58,254 | ||||||||
|
|
|
|||||||||
| Norway — 0.2% | ||||||||||
| 11,282 | Equinor ASA (a) | 360,452 | ||||||||
|
|
|
|||||||||
| Poland — 0.2% | ||||||||||
| 20,840 | ORLEN SA | 307,662 | ||||||||
|
|
|
|||||||||
| Portugal — 0.1% | ||||||||||
| 23,476 | EDP – Energias de Portugal SA | 112,275 | ||||||||
|
|
|
|||||||||
| South Africa — 0.1% | ||||||||||
| 10,709 | Bidvest Group Ltd. | 134,154 | ||||||||
|
|
|
|||||||||
| South Korea — 0.7% | ||||||||||
| 1,471 | GS Holdings Corp. | 46,902 | ||||||||
| 120 | Hyundai Mobis Co. Ltd. | 21,223 | ||||||||
| 305 | Hyundai Motor Co. | 43,427 | ||||||||
| 5,957 | Kia Corp. | 395,772 | ||||||||
| 1,661 | LG Corp. | 107,578 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 3,082 | LG Electronics, Inc. | 244,374 | ||||||||
| 3,305 | POSCO Holdings, Inc. Sponsored ADR (a) | 308,026 | ||||||||
| 4,022 | SK Square Co. Ltd. * | 158,260 | ||||||||
|
|
|
|||||||||
| Total South Korea | 1,325,562 | |||||||||
|
|
|
|||||||||
| Spain — 0.5% | ||||||||||
| 48,802 | Banco Bilbao Vizcaya Argentaria SA (a) | 454,311 | ||||||||
| 108,576 | Banco Santander SA (a) | 450,072 | ||||||||
|
|
|
|||||||||
| Total Spain | 904,383 | |||||||||
|
|
|
|||||||||
| Sweden — 0.4% | ||||||||||
| 44,077 | Fastighets AB Balder – B Shares * (a) | 260,294 | ||||||||
| 19,223 | Investor AB – B Shares (a) | 399,378 | ||||||||
| 5,073 | Skanska AB – B Shares | 81,525 | ||||||||
| 3,867 | Telefonaktiebolaget LM Ericsson – B Shares (a) | 19,122 | ||||||||
| 5,685 | Volvo Car AB – Class B * | 18,556 | ||||||||
|
|
|
|||||||||
| Total Sweden | 778,875 | |||||||||
|
|
|
|||||||||
| Switzerland — 0.4% | ||||||||||
| 8,467 | Adecco Group AG (Registered) (a) | 408,368 | ||||||||
| 1,316 | Roche Holding AG – Genusschein (a) | 354,032 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 762,400 | |||||||||
|
|
|
|||||||||
| Taiwan — 0.5% | ||||||||||
| 15,800 | Silicon Motion Technology Corp. ADR (a) (e) | 929,040 | ||||||||
|
|
|
|||||||||
| Thailand — 0.2% | ||||||||||
| 50,900 | Kasikornbank PCL NVDR | 185,195 | ||||||||
| 461,100 | Krung Thai Bank PCL NVDR | 238,680 | ||||||||
| 7,600 | Thai Oil PCL NVDR | 11,108 | ||||||||
|
|
|
|||||||||
| Total Thailand | 434,983 | |||||||||
|
|
|
|||||||||
| Turkey — 0.1% | ||||||||||
| 9,917 | Haci Omer Sabanci Holding AS | 20,952 | ||||||||
| 9,170 | KOC Holding AS | 44,876 | ||||||||
| 254,095 | Yapi ve Kredi Bankasi AS | 169,255 | ||||||||
|
|
|
|||||||||
| Total Turkey | 235,083 | |||||||||
|
|
|
|||||||||
| United Kingdom — 2.3% | ||||||||||
| 14,248 | 3i Group PLC (a) | 402,971 | ||||||||
| 66,446 | Abcam PLC Sponsored ADR * | 1,592,711 | ||||||||
| 4,033 | Berkeley Group Holdings PLC (a) | 236,677 | ||||||||
| 239,284 | BT Group PLC (a) | 371,941 | ||||||||
| 3,664 | Coca-Cola HBC AG (a) | 101,806 | ||||||||
| 16,437 | Dechra Pharmaceuticals PLC | 794,524 | ||||||||
| 77,864 | Kingfisher PLC (a) | 216,133 | ||||||||
| 95,202 | Taylor Wimpey PLC (a) | 156,039 | ||||||||
| 38,063 | Vodafone Group PLC Sponsored ADR (a) | 344,851 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 4,217,653 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — 42.2% | ||||||||||
| 4,333 | 3M Co. (a) | 429,270 | ||||||||
| 6,077 | AAON, Inc. (f) | 380,420 | ||||||||
| 9,221 | Acushnet Holdings Corp. (a) (f) | 520,986 | ||||||||
| 344 | Akamai Technologies, Inc. * (a) | 39,742 | ||||||||
| 192,002 | Albertsons Cos., Inc. – Class A (a) (e) | 4,179,884 | ||||||||
| 1,625 | Allegion PLC | 172,396 | ||||||||
| 12,900 | Ally Financial, Inc. (a) | 376,938 | ||||||||
| 247 | Alphabet, Inc. – Class C * (a) | 33,078 | ||||||||
| 33,321 | Amedisys, Inc. * | 3,118,179 | ||||||||
| 3,897 | AptarGroup, Inc. (a) (f) | 494,490 | ||||||||
| 3,000 | Arrow Electronics, Inc. * | 355,680 | ||||||||
| 4,316 | ASGN, Inc. * (a) | 385,160 | ||||||||
| 200 | Aspen Technology, Inc. * (f) | 37,652 | ||||||||
| 3,566 | Axcelis Technologies, Inc. * (a) (f) | 443,182 | ||||||||
| 2,694 | Balchem Corp. (a) (f) | 335,996 | ||||||||
| 2,527 | Best Buy Co., Inc. (f) | 179,265 | ||||||||
| 1,133 | Bio-Rad Laboratories, Inc. – Class A * | 345,474 | ||||||||
| 9,356 | BorgWarner, Inc. | 315,204 | ||||||||
| 5,831 | Bruker Corp. (f) | 379,540 | ||||||||
| 2,960 | Builders FirstSource, Inc. * | 396,966 | ||||||||
| 4,000 | Capital One Financial Corp. (a) | 446,640 | ||||||||
| 1,377 | Carrier Global Corp. (f) | 71,549 | ||||||||
| 2,271 | CBRE Group, Inc. – Class A * (a) | 179,318 | ||||||||
| 4,468 | Centene Corp. * (a) | 329,202 | ||||||||
| 4,218 | Chesapeake Energy Corp. (a) | 338,748 | ||||||||
| 10,616 | Ciena Corp. * (f) | 486,744 | ||||||||
| 4,871 | Cirrus Logic, Inc. * (a) | 369,758 | ||||||||
| 9,120 | Citigroup, Inc. (a) | 420,432 | ||||||||
| 22,066 | Cleveland-Cliffs, Inc. * (f) | 378,653 | ||||||||
| 5,882 | Cognizant Technology Solutions Corp. – Class A (a) | 413,975 | ||||||||
| 3,720 | Cohen & Steers, Inc. (a) (f) | 217,583 | ||||||||
| 10,200 | Comcast Corp. – Class A (a) | 427,278 | ||||||||
| 2,610 | Curtiss-Wright Corp. (f) | 558,279 | ||||||||
| 5,634 | CVS Health Corp. (a) | 382,830 | ||||||||
| 1,300 | Dick’s Sporting Goods, Inc. (f) | 169,130 | ||||||||
| 4,126 | Discover Financial Services (f) | 383,718 | ||||||||
| 195,634 | DISH Network Corp. – Class A * (a) (f) | 716,020 | ||||||||
| 4,189 | Dolby Laboratories, Inc. – Class A (a) | 360,799 | ||||||||
| 1,972 | DR Horton, Inc. (a) | 251,765 | ||||||||
| 1,222 | Dropbox, Inc. – Class A * (a) | 34,436 | ||||||||
| 8,861 | eBay, Inc. (f) | 363,390 | ||||||||
| 11,892 | Essent Group Ltd. (a) | 574,859 | ||||||||
| 1,414 | Etsy, Inc. * (f) | 107,195 | ||||||||
| 3,064 | Expedia Group, Inc. * (f) | 417,256 | ||||||||
| 24,400 | Exxon Mobil Corp. | 2,506,856 | ||||||||
| 298 | F5, Inc. * (a) | 51,015 | ||||||||
| 2,569 | Fabrinet * | 415,921 | ||||||||
| 7,609 | Fidelity National Financial, Inc. (a) | 341,188 | ||||||||
| 36,202 | Ford Motor Co. (a) | 371,433 | ||||||||
| 577 | Fortune Brands Innovations, Inc. | 39,484 | ||||||||
| 12,900 | Fox Corp. – Class B (a) | 356,814 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 2,949 | Fox Factory Holding Corp. * (f) | 184,342 | ||||||||
| 13,683 | Franklin Resources, Inc. (f) | 339,338 | ||||||||
| 2,621 | FTI Consulting, Inc. * (f) | 577,826 | ||||||||
| 95,635 | GCI Liberty, Inc. * (c) (f) | — | ||||||||
| 1,915 | Generac Holdings, Inc. * (f) | 224,189 | ||||||||
| 12,335 | General Motors Co. (a) | 389,786 | ||||||||
| 15,880 | Gentex Corp. (f) | 482,911 | ||||||||
| 43,087 | Globus Medical, Inc. – Class A * (f) | 1,935,468 | ||||||||
| 1,167 | Goldman Sachs Group, Inc. (a) | 398,577 | ||||||||
| 10,856 | Hess Corp. (a) | 1,525,919 | ||||||||
| 8,119 | Hewlett Packard Enterprise Co. | 137,292 | ||||||||
| 4,848 | Houlihan Lokey, Inc. (a) (f) | 522,227 | ||||||||
| 14,081 | HP, Inc. (a) | 413,137 | ||||||||
| 6,002 | Incyte Corp. * (a) | 326,149 | ||||||||
| 10,068 | Intel Corp. (a) | 450,040 | ||||||||
| 3,000 | International Business Machines Corp. (f) | 475,680 | ||||||||
| 13,319 | Invesco Ltd. (a) | 190,062 | ||||||||
| 2,958 | J & J Snack Foods Corp. (a) (f) | 486,739 | ||||||||
| 2,511 | Jazz Pharmaceuticals PLC * | 296,876 | ||||||||
| 379 | John B Sanfilippo & Son, Inc. (a) | 34,883 | ||||||||
| 1,537 | Kadant, Inc. (f) | 400,573 | ||||||||
| 1,089 | Keysight Technologies, Inc. * (a) | 147,984 | ||||||||
| 22,000 | Kinder Morgan, Inc. (a) | 386,540 | ||||||||
| 11,365 | Kraft Heinz Co. (a) | 399,025 | ||||||||
| 4,576 | Kroger Co. (f) | 202,580 | ||||||||
| 1,131 | Laboratory Corp. of America Holdings (f) | 245,325 | ||||||||
| 3,350 | Lancaster Colony Corp. (a) (f) | 555,765 | ||||||||
| 2,764 | Landstar System, Inc. (a) | 477,205 | ||||||||
| 1,937 | Lennar Corp. – Class A (a) | 247,781 | ||||||||
| 48,508 | Liberty Broadband Corp. – Class C * (a) (f) | 4,031,985 | ||||||||
| 7,919 | Liberty Media Corp.-Liberty Formula One – Class A * (a) | 453,996 | ||||||||
| 1,491 | LyondellBasell Industries NV – Class A (a) | 141,794 | ||||||||
| 5,302 | Malibu Boats, Inc. – Class A * (a) (f) | 234,560 | ||||||||
| 11,670 | Match Group, Inc. * (a) (f) | 377,875 | ||||||||
| 1,454 | Medpace Holdings, Inc. * (f) | 393,627 | ||||||||
| 1,273 | Meta Platforms, Inc. – Class A * (a) | 416,462 | ||||||||
| 4,252 | Micron Technology, Inc. (a) | 323,662 | ||||||||
| 4,993 | Moderna, Inc. * (f) | 387,956 | ||||||||
| 3,607 | Mohawk Industries, Inc. * (f) | 318,534 | ||||||||
| 2,231 | Molson Coors Beverage Co. – Class B (a) | 137,296 | ||||||||
| 5,342 | Mosaic Co. (a) | 191,724 | ||||||||
| 11,853 | New York Times Co. – Class A (a) (f) | 556,972 | ||||||||
| 2,600 | Nucor Corp. (f) | 441,922 | ||||||||
| 7,469 | Ollie’s Bargain Outlet Holdings, Inc. * (a) (f) | 547,254 | ||||||||
| 4,195 | ON Semiconductor Corp. * (a) | 299,229 | ||||||||
| 8,903 | Ovintiv, Inc. (a) | 394,759 | ||||||||
| 4,133 | PACCAR, Inc. (f) | 379,492 | ||||||||
| 27,895 | Paramount Global – Class B (a) | 400,851 | ||||||||
| 6,918 | PayPal Holdings, Inc. * (a) | 398,546 | ||||||||
| 153,945 | Pershing Square Tontine Holdings Ltd. * (c) | 23,092 | ||||||||
| 12,119 | Pfizer, Inc. (a) | 369,266 | ||||||||
| 19,177 | Pioneer Natural Resources Co. (a) (f) | 4,442,160 | ||||||||
| 92,885 | PNM Resources, Inc. (a) | 3,861,229 | ||||||||
| 5,686 | Power Integrations, Inc. (a) (f) | 434,467 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 2,882 | PriceSmart, Inc. | 194,218 | ||||||||
| 2,734 | PulteGroup, Inc. (a) | 241,740 | ||||||||
| 3,407 | QUALCOMM, Inc. (a) | 439,673 | ||||||||
| 2,315 | RBC Bearings, Inc. * (f) | 596,668 | ||||||||
| 527 | Regeneron Pharmaceuticals, Inc. * (a) | 434,148 | ||||||||
| 77,495 | RPT Realty – (REIT) (a) | 900,492 | ||||||||
| 17,224 | Seagen, Inc. * (a) | 3,672,329 | ||||||||
| 3,854 | Skyworks Solutions, Inc. (a) (f) | 373,568 | ||||||||
| 2,116 | SolarEdge Technologies, Inc. * (f) | 167,968 | ||||||||
| 12,102 | Sovos Brands, Inc. * (a) | 265,155 | ||||||||
| 15,123 | SP Plus Corp. * (a) | 773,541 | ||||||||
| 2,857 | Spirit Realty Capital, Inc. – (REIT) | 117,994 | ||||||||
| 20,428 | Splunk, Inc. * (a) | 3,095,659 | ||||||||
| 24,198 | Sportsman’s Warehouse Holdings, Inc. * | 116,876 | ||||||||
| 3,500 | Steel Dynamics, Inc. (a) | 416,955 | ||||||||
| 12,940 | StepStone Group, Inc. – Class A (a) | 331,523 | ||||||||
| 12,200 | Synchrony Financial (a) | 394,792 | ||||||||
| 771 | TE Connectivity Ltd. (a) | 101,001 | ||||||||
| 19,319 | Textainer Group Holdings Ltd. | 951,074 | ||||||||
| 1,457 | Textron, Inc. (f) | 111,694 | ||||||||
| 1,025 | TopBuild Corp. * (a) (f) | 303,174 | ||||||||
| 2,267 | Trex Co., Inc. * (f) | 159,302 | ||||||||
| 7,383 | Tyson Foods, Inc. – Class A (f) | 345,820 | ||||||||
| 132 | United Rentals, Inc. (f) | 62,835 | ||||||||
| 954 | Universal Display Corp. (a) (f) | 161,417 | ||||||||
| 758 | Universal Health Services, Inc. – Class B | 104,210 | ||||||||
| 12,170 | Verizon Communications, Inc. (a) | 466,476 | ||||||||
| 11,235 | VF Corp. (f) | 187,962 | ||||||||
| 36,500 | Viatris, Inc. (a) | 335,070 | ||||||||
| 15,394 | Walgreens Boots Alliance, Inc. (f) | 306,956 | ||||||||
| 2,552 | Western Digital Corp. * (f) | 123,287 | ||||||||
| 1,989 | Westlake Corp. (f) | 255,368 | ||||||||
| 60,669 | Westrock Co. (a) | 2,497,743 | ||||||||
| 1,215 | Whirlpool Corp. (f) | 132,314 | ||||||||
| 4,157 | Woodward, Inc. (f) | 561,943 | ||||||||
| 1,564 | XPEL, Inc. * (f) | 71,475 | ||||||||
| 5,400 | Zoom Video Communications, Inc. – Class A * (f) | 366,282 | ||||||||
| 2,610 | ZoomInfo Technologies, Inc. * (f) | 37,506 | ||||||||
|
|
|
|||||||||
| Total United States | 77,990,907 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $131,546,420) |
127,752,982 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (g) — 0.5% | ||||||||||
| Brazil — 0.1% | ||||||||||
| 11,142 | Petroleo Brasileiro SA ADR (a) | 162,116 | ||||||||
|
|
|
|||||||||
| Germany — 0.4% | ||||||||||
| 1,763 | Bayerische Motoren Werke AG (a) | 167,536 | ||||||||
| 5,006 | Porsche Automobil Holding SE | 244,788 | ||||||||
| 3,079 | Volkswagen AG (a) | 357,393 | ||||||||
|
|
|
|||||||||
| Total Germany | 769,717 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $918,334) |
931,833 | |||||||||
|
|
|
|||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares/ Par Value† |
Description | Value ($) | ||||||||
| RIGHTS/WARRANTS — 0.2% |
| |||||||||
| United States — 0.2% | ||||||||||
| 195,149 | Bristol-Myers Squibb Co. * (c) | 429,328 | ||||||||
| 13,635 | Contra Abiomed, Inc. * (c) | 23,861 | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $298,336) |
453,189 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 1.3% | ||||||||||
| United States — 1.3% | ||||||||||
| 1,000,824 | Altaba, Inc. * (c) | 2,351,936 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $1,660,089) |
2,351,936 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 54.7% | ||||||||||
| United States — 54.7% | ||||||||||
| Asset-Backed Securities — 2.7% | ||||||||||
| 5,026,415 | OZLM VI Ltd., Series 14-6A, Class A1S, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.34%, 6.74%, due 04/17/31 | 4,991,055 | ||||||||
|
|
|
|||||||||
| U.S. Government — 26.0% | ||||||||||
| 10,050,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.39%, due 07/31/24 (a) | 10,050,338 | ||||||||
| 25,675,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.55%, due 01/31/25 (a) (h) | 25,707,209 | ||||||||
| 7,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.52%, due 04/30/25 (a) (h) | 7,004,587 | ||||||||
| 5,300,000 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.17%, 5.52%, due 10/31/25 (a) (h) |
5,296,814 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 48,058,948 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 26.0% | ||||||||||
| 5,000,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 5.38%, due 12/14/23 | 4,999,994 | ||||||||
| 3,000,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.43%, due 03/06/24 | 3,000,933 | ||||||||
| Shares/ Par Value† |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| U.S. Government Agency — continued | ||||||||||
| 2,500,000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 12/01/53 | 2,463,257 | ||||||||
| 37,500,000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 12/01/53 | 37,604,117 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 48,068,301 | |||||||||
|
|
|
|||||||||
| Total United States | 101,118,304 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $100,762,984) |
101,118,304 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 1.9% | ||||||||||
| United States — 1.9% | ||||||||||
| Affiliated Issuers — 1.9% | ||||||||||
| 160,655 | GMO Resources Fund, Class VI | 3,519,952 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $3,875,000) |
3,519,952 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 27.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 7.3% |
||||||||||
| JPY |
2,000,000,000 | Japan Treasury Discount Bills, Zero Coupon, due 01/09/24 | 13,492,626 | |||||||
|
|
|
|||||||||
| Money Market Funds — 1.2% | ||||||||||
| 2,174,269 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (i) | 2,174,269 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements — 16.2% | ||||||||||
| 30,012,378 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/30/23, maturing on 12/01/23 with a maturity value of $30,016,821 and an effective yield of 5.33%, collateralized by a U.S. Treasury Note with maturity date 09/30/26 and a market value of $30,534,043. | 30,012,378 | ||||||||
|
|
|
|||||||||
| U.S. Government Agency — 2.7% | ||||||||||
| 5,000,000 | Federal Home Loan Banks, 5.23%, due 03/22/24 | 4,997,624 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $50,574,175) |
50,676,897 | |||||||||
|
|
|
|||||||||
PURCHASED OPTIONS — 0.0%
| Description | Counterparty | Exercise Rate |
Expiration Date |
Principal/ Notional Amount |
Floating Rate Index |
Pay/Receive Floating Rate |
Value ($) | |||||||||||||||||||
| Options on Credit Default Swaps – Puts – 0.0% |
|
|||||||||||||||||||||||||
| CDX.NA.HY.S41 |
GS | 1.01 | % | 12/20/23 | USD | 4,445,000 | Fixed Spread | Pay | 4,397 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| TOTAL PURCHASED OPTIONS (COST $60,896) | 4,397 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| TOTAL INVESTMENTS — 155.1% (Cost $289,696,234) |
286,809,490 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SECURITIES SOLD SHORT — (36.6)% | ||||||||||
| Common Stocks — (36.4)% | ||||||||||
| Australia — (0.5)% | ||||||||||
| (5,304 | ) | ASX Ltd. | (203,390 | ) | ||||||
| (1,220 | ) | Cochlear Ltd. | (220,035 | ) | ||||||
| (12,178 | ) | IDP Education Ltd. | (182,187 | ) | ||||||
| (28,259 | ) | Lottery Corp. Ltd. | (85,781 | ) | ||||||
| (10,446 | ) | Pilbara Minerals Ltd. | (24,978 | ) | ||||||
| (5,514 | ) | Ramsay Health Care Ltd. | (179,051 | ) | ||||||
| (2,644 | ) | WiseTech Global Ltd. | (116,438 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (1,011,860 | ) | ||||||||
|
|
|
|||||||||
| Austria — (0.2)% | ||||||||||
| (3,070 | ) | Verbund AG | (292,454 | ) | ||||||
|
|
|
|||||||||
| Belgium — (0.2)% | ||||||||||
| (6,860 | ) | Anheuser-Busch InBev SA | (431,720 | ) | ||||||
|
|
|
|||||||||
| Bermuda — (1.2)% | ||||||||||
| (136,383 | ) | Liberty Global Ltd. – Class C * | (2,296,690 | ) | ||||||
|
|
|
|||||||||
| Canada — (1.6)% | ||||||||||
| (5,082 | ) | Agnico Eagle Mines Ltd. | (272,903 | ) | ||||||
| (3,333 | ) | Algonquin Power & Utilities Corp. | (20,498 | ) | ||||||
| (18,300 | ) | AltaGas Ltd. | (372,217 | ) | ||||||
| (713 | ) | Brookfield Renewable Corp. – Class A | (18,923 | ) | ||||||
| (9,055 | ) | Cameco Corp. | (415,806 | ) | ||||||
| (11,641 | ) | Enbridge, Inc. | (405,922 | ) | ||||||
| (2,900 | ) | Franco-Nevada Corp. | (325,090 | ) | ||||||
| (11,445 | ) | GFL Environmental, Inc. | (328,471 | ) | ||||||
| (11,896 | ) | Pembina Pipeline Corp. | (397,683 | ) | ||||||
| (5,600 | ) | Restaurant Brands International, Inc. | (398,048 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (2,955,561 | ) | ||||||||
|
|
|
|||||||||
| Denmark — (0.2)% | ||||||||||
| (1,883 | ) | Coloplast AS – Class B | (222,189 | ) | ||||||
| (5,018 | ) | Tryg AS | (108,285 | ) | ||||||
|
|
|
|||||||||
| Total Denmark | (330,474 | ) | ||||||||
|
|
|
|||||||||
| Finland — (0.1)% | ||||||||||
| (2,457 | ) | Elisa OYJ | (109,979 | ) | ||||||
| (361 | ) | Kone OYJ – Class B | (16,070 | ) | ||||||
|
|
|
|||||||||
| Total Finland | (126,049 | ) | ||||||||
|
|
|
|||||||||
| France — (0.8)% | ||||||||||
| (8,977 | ) | Accor SA | (312,126 | ) | ||||||
| (1,851 | ) | Aeroports de Paris SA | (228,233 | ) | ||||||
| (20,306 | ) | Getlink SE | (371,054 | ) | ||||||
| (207 | ) | Hermes International SCA | (429,010 | ) | ||||||
| (248 | ) | Sartorius Stedim Biotech | (55,923 | ) | ||||||
|
|
|
|||||||||
| Total France | (1,396,346 | ) | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Germany — (1.0)% | ||||||||||
| (1,736 | ) | adidas AG | (363,403 | ) | ||||||
| (615 | ) | Covestro AG * | (32,341 | ) | ||||||
| (10,296 | ) | Delivery Hero SE * | (326,369 | ) | ||||||
| (912 | ) | Deutsche Boerse AG | (173,379 | ) | ||||||
| (1,385 | ) | MTU Aero Engines AG | (283,829 | ) | ||||||
| (345 | ) | Puma SE | (22,282 | ) | ||||||
| (1,022 | ) | QIAGEN NV * | (42,066 | ) | ||||||
| (265 | ) | Rational AG | (169,950 | ) | ||||||
| (3,907 | ) | Siemens Energy AG * | (46,161 | ) | ||||||
| (3,669 | ) | Symrise AG | (412,988 | ) | ||||||
| (2,716 | ) | Zalando SE * | (64,755 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (1,937,523 | ) | ||||||||
|
|
|
|||||||||
| Ireland — (1.3)% | ||||||||||
| (811 | ) | Flutter Entertainment PLC * | (127,060 | ) | ||||||
| (60,669 | ) | Smurfit Kappa Group PLC | (2,304,945 | ) | ||||||
|
|
|
|||||||||
| Total Ireland | (2,432,005 | ) | ||||||||
|
|
|
|||||||||
| Israel — (0.2)% | ||||||||||
| (2,057 | ) | CyberArk Software Ltd. * | (409,898 | ) | ||||||
|
|
|
|||||||||
| Italy — (0.8)% | ||||||||||
| (9,432 | ) | Amplifon SpA | (293,167 | ) | ||||||
| (1,278 | ) | Ferrari NV (b) | (460,562 | ) | ||||||
| (5 | ) | Ferrari NV (b) | (1,795 | ) | ||||||
| (25,221 | ) | FinecoBank Banca Fineco SpA | (340,341 | ) | ||||||
| (26,970 | ) | Infrastrutture Wireless Italiane SpA | (333,505 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (1,429,370 | ) | ||||||||
|
|
|
|||||||||
| Japan — (2.2)% | ||||||||||
| (16,900 | ) | Aeon Co. Ltd. | (349,550 | ) | ||||||
| (800 | ) | ANA Holdings, Inc. * | (16,508 | ) | ||||||
| (7,700 | ) | Asahi Intecc Co. Ltd. | (149,386 | ) | ||||||
| (3,500 | ) | GMO Payment Gateway, Inc. | (205,221 | ) | ||||||
| (2,900 | ) | Japan Airlines Co. Ltd. | (54,890 | ) | ||||||
| (9,600 | ) | Japan Exchange Group, Inc. | (195,958 | ) | ||||||
| (4,900 | ) | Keio Corp. | (141,213 | ) | ||||||
| (3,700 | ) | Keisei Electric Railway Co. Ltd. | (149,040 | ) | ||||||
| (4,100 | ) | Kintetsu Group Holdings Co. Ltd. | (114,806 | ) | ||||||
| (4,200 | ) | Kobe Bussan Co. Ltd. | (110,439 | ) | ||||||
| (1,900 | ) | Lasertec Corp. | (424,339 | ) | ||||||
| (6,000 | ) | M3, Inc. | (99,015 | ) | ||||||
| (17,500 | ) | MonotaRO Co. Ltd. | (175,894 | ) | ||||||
| (10,700 | ) | Nippon Paint Holdings Co. Ltd. | (79,763 | ) | ||||||
| (7,200 | ) | Odakyu Electric Railway Co. Ltd. | (101,169 | ) | ||||||
| (11,500 | ) | Oriental Land Co. Ltd. | (390,646 | ) | ||||||
| (81,900 | ) | Rakuten Group, Inc. | (323,660 | ) | ||||||
| (4,500 | ) | Shiseido Co. Ltd. | (120,548 | ) | ||||||
| (32,400 | ) | SoftBank Corp. | (393,755 | ) | ||||||
| (5,000 | ) | Tobu Railway Co. Ltd. | (123,559 | ) | ||||||
| (17,500 | ) | Tokyu Corp. | (205,257 | ) | ||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| (1,300 | ) | West Japan Railway Co. | (51,379 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (3,975,995 | ) | ||||||||
|
|
|
|||||||||
| Netherlands — (0.6)% | ||||||||||
| (336 | ) | Adyen NV * | (392,870 | ) | ||||||
| (54 | ) | ASML Holding NV | (36,803 | ) | ||||||
| (2,070 | ) | BE Semiconductor Industries NV | (290,601 | ) | ||||||
| (16,608 | ) | Universal Music Group NV | (438,800 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (1,159,074 | ) | ||||||||
|
|
|
|||||||||
| New Zealand — (0.2)% | ||||||||||
| (4,977 | ) | Xero Ltd. * | (339,328 | ) | ||||||
|
|
|
|||||||||
| Norway — (0.1)% | ||||||||||
| (5,846 | ) | Aker BP ASA | (166,494 | ) | ||||||
|
|
|
|||||||||
| Peru — (0.2)% | ||||||||||
| (4,569 | ) | Southern Copper Corp. | (328,648 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.3)% | ||||||||||
| (98,397 | ) | Grab Holdings Ltd. – Class A * | (299,127 | ) | ||||||
| (3,229,100 | ) | Seatrium Ltd. * | (253,638 | ) | ||||||
| (8,200 | ) | Singapore Exchange Ltd. | (57,878 | ) | ||||||
| (7,200 | ) | Singapore Technologies Engineering Ltd. | (19,971 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (630,614 | ) | ||||||||
|
|
|
|||||||||
| Spain — (0.5)% | ||||||||||
| (10,930 | ) | Cellnex Telecom SA * | (417,292 | ) | ||||||
| (13,256 | ) | Ferrovial SE | (458,449 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (875,741 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (0.3)% | ||||||||||
| (5,992 | ) | Beijer Ref AB | (66,357 | ) | ||||||
| (6,985 | ) | EQT AB | (165,006 | ) | ||||||
| (1,565 | ) | Evolution AB | (162,134 | ) | ||||||
| (8,494 | ) | H & M Hennes & Mauritz AB – Class B | (136,043 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (529,540 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.2)% | ||||||||||
| (2 | ) | Chocoladefabriken Lindt & Spruengli AG | (24,729 | ) | ||||||
| (135 | ) | Partners Group Holding AG | (177,996 | ) | ||||||
| (608 | ) | Straumann Holding AG (Registered) | (83,617 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (286,342 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (1.5)% | ||||||||||
| (2,364 | ) | Admiral Group PLC | (80,773 | ) | ||||||
| (32,505 | ) | Auto Trader Group PLC | (298,134 | ) | ||||||
| (18,955 | ) | Hargreaves Lansdown PLC | (172,261 | ) | ||||||
| (44,111 | ) | Informa PLC | (414,791 | ) | ||||||
| (5,268 | ) | InterContinental Hotels Group PLC | (408,506 | ) | ||||||
| (4,140 | ) | London Stock Exchange Group PLC | (466,716 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United Kingdom — continued | ||||||||||
| (62,833 | ) | M&G PLC | (166,426 | ) | ||||||
| (1,284 | ) | Prudential PLC | (14,044 | ) | ||||||
| (113,825 | ) | Rolls-Royce Holdings PLC * | (388,424 | ) | ||||||
| (2,418 | ) | Severn Trent PLC | (79,433 | ) | ||||||
| (793 | ) | Spirax-Sarco Engineering PLC | (92,667 | ) | ||||||
| (21,848 | ) | Wise PLC – Class A * | (216,130 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (2,798,305 | ) | ||||||||
|
|
|
|||||||||
| United States — (22.2)% | ||||||||||
| (560 | ) | AECOM | (49,762 | ) | ||||||
| (23,359 | ) | AES Corp. | (402,008 | ) | ||||||
| (2,199 | ) | Alnylam Pharmaceuticals, Inc. * | (369,982 | ) | ||||||
| (9,392 | ) | Altria Group, Inc. | (394,840 | ) | ||||||
| (1,229 | ) | American Tower Corp. – (REIT) | (256,591 | ) | ||||||
| (732 | ) | Amgen, Inc. | (197,376 | ) | ||||||
| (4,008 | ) | ARES Management Corp. – Class A | (449,898 | ) | ||||||
| (1,876 | ) | Arthur J Gallagher & Co. | (467,124 | ) | ||||||
| (1,772 | ) | Axon Enterprise, Inc. * | (407,330 | ) | ||||||
| (3,799 | ) | Bill Holdings, Inc. * | (248,721 | ) | ||||||
| (664 | ) | BioMarin Pharmaceutical, Inc. * | (60,477 | ) | ||||||
| (1,446 | ) | Bio-Techne Corp. | (90,953 | ) | ||||||
| (2,100 | ) | Boeing Co. * | (486,423 | ) | ||||||
| (446 | ) | Broadcom, Inc. | (412,876 | ) | ||||||
| (2,673 | ) | Burlington Stores, Inc. * | (453,314 | ) | ||||||
| (7,700 | ) | Caesars Entertainment, Inc. * | (344,344 | ) | ||||||
| (5,085 | ) | Catalent, Inc. * | (197,552 | ) | ||||||
| (5,500 | ) | Ceridian HCM Holding, Inc. * | (378,950 | ) | ||||||
| (11,473 | ) | Charter Communications, Inc. – Class A * | (4,590,692 | ) | ||||||
| (11,129 | ) | Chevron Corp. | (1,598,124 | ) | ||||||
| (216 | ) | Chipotle Mexican Grill, Inc. * | (475,686 | ) | ||||||
| (6,113 | ) | Cloudflare, Inc. – Class A * | (471,618 | ) | ||||||
| (213 | ) | CME Group, Inc. | (46,511 | ) | ||||||
| (152 | ) | CoStar Group, Inc. * | (12,622 | ) | ||||||
| (4,088 | ) | Dexcom, Inc. * | (472,246 | ) | ||||||
| (9,951 | ) | DraftKings, Inc. – Class A * | (380,526 | ) | ||||||
| (68,643 | ) | EchoStar Corp. – Class A * | (718,692 | ) | ||||||
| (458 | ) | Ecolab, Inc. | (87,812 | ) | ||||||
| (2,500 | ) | Equity LifeStyle Properties, Inc. – (REIT) | (177,750 | ) | ||||||
| (351 | ) | Erie Indemnity Co. – Class A | (103,770 | ) | ||||||
| (2,752 | ) | Essential Utilities, Inc. | (97,999 | ) | ||||||
| (5,514 | ) | Exact Sciences Corp. * | (352,896 | ) | ||||||
| (68,960 | ) | Exxon Mobil Corp. | (7,084,950 | ) | ||||||
| (416 | ) | Fair Isaac Corp. * | (452,442 | ) | ||||||
| (1,307 | ) | Fastenal Co. | (78,381 | ) | ||||||
| (6,963 | ) | Fidelity National Information Services, Inc. | (408,310 | ) | ||||||
| (1,013 | ) | Gartner, Inc. * | (440,493 | ) | ||||||
| (816 | ) | HubSpot, Inc. * | (403,047 | ) | ||||||
| (260 | ) | Hyatt Hotels Corp. – Class A | (29,838 | ) | ||||||
| (169 | ) | IDEXX Laboratories, Inc. * | (78,724 | ) | ||||||
| (26,401 | ) | ImmunoGen, Inc. * | (774,869 | ) | ||||||
| (2,272 | ) | Insulet Corp. * | (429,612 | ) | ||||||
| (1,900 | ) | IQVIA Holdings, Inc. * | (406,790 | ) | ||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (3,700 | ) | Iron Mountain, Inc. – (REIT) | (237,355 | ) | ||||||
| (46,877 | ) | Kimco Realty Corp. – (REIT) | (905,664 | ) | ||||||
| (2,232 | ) | Lamb Weston Holdings, Inc. | (223,267 | ) | ||||||
| (3,048 | ) | Lattice Semiconductor Corp. * | (178,460 | ) | ||||||
| (12,840 | ) | Liberty Media Corp.-Liberty Formula One – Class C * | (817,394 | ) | ||||||
| (1,064 | ) | Linde PLC | (440,251 | ) | ||||||
| (4,544 | ) | Live Nation Entertainment, Inc. * | (382,696 | ) | ||||||
| (421 | ) | Manhattan Associates, Inc. * | (93,904 | ) | ||||||
| (1,200 | ) | MarketAxess Holdings, Inc. | (288,144 | ) | ||||||
| (152 | ) | Marsh & McLennan Cos., Inc. | (30,312 | ) | ||||||
| (1,035 | ) | Mastercard, Inc. – Class A | (428,314 | ) | ||||||
| (118 | ) | McDonald’s Corp. | (33,257 | ) | ||||||
| (593 | ) | McKesson Corp. | (279,042 | ) | ||||||
| (310 | ) | MercadoLibre, Inc. * | (502,343 | ) | ||||||
| (1,100 | ) | MongoDB, Inc. * | (457,314 | ) | ||||||
| (31 | ) | Monolithic Power Systems, Inc. | (17,010 | ) | ||||||
| (856 | ) | Moody’s Corp. | (312,406 | ) | ||||||
| (74 | ) | Motorola Solutions, Inc. | (23,892 | ) | ||||||
| (800 | ) | MSCI, Inc. | (416,680 | ) | ||||||
| (9,400 | ) | Newmont Corp. | (377,786 | ) | ||||||
| (13,100 | ) | NiSource, Inc. | (335,884 | ) | ||||||
| (3,266 | ) | Novocure Ltd. * | (40,074 | ) | ||||||
| (5,200 | ) | Okta, Inc. * | (348,660 | ) | ||||||
| (5,900 | ) | ONEOK, Inc. | (406,215 | ) | ||||||
| (20,812 | ) | Palantir Technologies, Inc. – Class A * | (417,281 | ) | ||||||
| (3,490 | ) | Paychex, Inc. | (425,675 | ) | ||||||
| (119 | ) | Paylocity Holding Corp. * | (18,644 | ) | ||||||
| (4,168 | ) | Philip Morris International, Inc. | (389,124 | ) | ||||||
| (153 | ) | Pool Corp. | (53,140 | ) | ||||||
| (170 | ) | PTC, Inc. * | (26,751 | ) | ||||||
| (2,177 | ) | Realty Income Corp. – (REIT) | (117,471 | ) | ||||||
| (2,312 | ) | Repligen Corp. * | (363,562 | ) | ||||||
| (11,719 | ) | Rivian Automotive, Inc. – Class A * | (196,410 | ) | ||||||
| (10,713 | ) | ROBLOX Corp. – Class A * | (421,128 | ) | ||||||
| (4,275 | ) | Roku, Inc. * | (445,455 | ) | ||||||
| (9,211 | ) | Rollins, Inc. | (375,256 | ) | ||||||
| (292 | ) | Royal Caribbean Cruises Ltd. * | (31,378 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (199 | ) | RPM International, Inc. | (20,483 | ) | ||||||
| (83 | ) | ServiceNow, Inc. * | (56,916 | ) | ||||||
| (466 | ) | Sherwin-Williams Co. | (129,921 | ) | ||||||
| (1,341 | ) | Simon Property Group, Inc. – (REIT) | (167,478 | ) | ||||||
| (2,569 | ) | Snowflake, Inc. – Class A * | (482,150 | ) | ||||||
| (3,003 | ) | Starbucks Corp. | (298,198 | ) | ||||||
| (194 | ) | STERIS PLC | (38,982 | ) | ||||||
| (1,802 | ) | Tesla, Inc. * | (432,624 | ) | ||||||
| (24 | ) | Texas Pacific Land Corp. | (40,127 | ) | ||||||
| (18,030 | ) | Toast, Inc. – Class A * | (268,106 | ) | ||||||
| (205 | ) | Trade Desk, Inc. – Class A * | (14,444 | ) | ||||||
| (453 | ) | TransDigm Group, Inc. * | (436,180 | ) | ||||||
| (1,287 | ) | UDR, Inc. – (REIT) | (42,986 | ) | ||||||
| (1,500 | ) | Vail Resorts, Inc. | (325,965 | ) | ||||||
| (950 | ) | Watsco, Inc. | (363,119 | ) | ||||||
| (12,847 | ) | Williams Cos., Inc. | (472,641 | ) | ||||||
| (9,543 | ) | Wolfspeed, Inc. * | (351,755 | ) | ||||||
| (918 | ) | Zillow Group, Inc. – Class C * | (37,583 | ) | ||||||
| (2,170 | ) | Zscaler, Inc. * | (428,640 | ) | ||||||
|
|
|
|||||||||
| Total United States | (41,108,818 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $66,925,228) |
(67,248,849 | ) | ||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (g) — (0.2)% | ||||||||||
| Germany — (0.2)% | ||||||||||
| (1,210 | ) | Sartorius AG | (390,473 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $492,158) |
(390,473 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $67,417,386) |
(67,639,322 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — (18.5%) | (34,208,217 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 184,961,951 | ||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 2023 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 12/04/2023 | BCLY | BRL | 6,688,399 | USD | 1,365,732 | 6,867 | ||||||||||||||||
| 12/04/2023 | GS | BRL | 4,189,119 | USD | 855,568 | 4,476 | ||||||||||||||||
| 12/04/2023 | MSCI | BRL | 6,688,399 | USD | 1,367,351 | 8,487 | ||||||||||||||||
| 01/31/2024 | CITI | CAD | 410,000 | USD | 302,455 | 18 | ||||||||||||||||
| 01/31/2024 | DB | EUR | 976,305 | USD | 1,070,930 | 5,479 | ||||||||||||||||
| 01/30/2024 | CITI | IDR | 1,600,000,000 | USD | 102,852 | 51 | ||||||||||||||||
| 02/29/2024 | DB | ILS | 717,605 | USD | 194,160 | 1,036 | ||||||||||||||||
| 02/12/2024 | MSCI | INR | 7,000,000 | USD | 83,831 | 38 | ||||||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 01/09/2024 | MSCI | JPY | 2,000,000,000 | USD | 13,623,312 | 53,871 | ||||||||||||||||
| 01/22/2024 | UBSA | KRW | 186,004,466 | USD | 143,698 | 241 | ||||||||||||||||
| 01/18/2024 | MSCI | MXN | 400,000 | USD | 22,892 | 28 | ||||||||||||||||
| 02/26/2024 | BCLY | NOK | 32,997,018 | USD | 3,092,574 | 35,640 | ||||||||||||||||
| 02/29/2024 | MSCI | PEN | 160,000 | USD | 42,752 | 70 | ||||||||||||||||
| 02/22/2024 | DB | PLN | 900,000 | USD | 225,238 | 698 | ||||||||||||||||
| 01/25/2024 | BOA | RON | 4,341,896 | USD | 955,672 | 5,214 | ||||||||||||||||
| 12/18/2023 | BCLY | SEK | 5,427,903 | USD | 522,198 | 5,097 | ||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Forward Currency Contracts — continued
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 01/10/2024 | GS | SEK | 11,700,000 | USD | 1,116,179 | 178 | ||||||||||||||||
| 12/18/2023 | MSCI | SEK | 7,246,154 | USD | 693,729 | 3,409 | ||||||||||||||||
| 02/22/2024 | CITI | THB | 14,452,251 | USD | 414,098 | 246 | ||||||||||||||||
| 01/26/2024 | JPM | TWD | 28,243,349 | USD | 913,463 | 5,260 | ||||||||||||||||
| 02/08/2024 | GS | USD | 604,192 | AUD | 940,000 | 18,174 | ||||||||||||||||
| 01/24/2024 | JPM | USD | 8,176 | AUD | 12,394 | 27 | ||||||||||||||||
| 02/08/2024 | SSB | USD | 478,599 | AUD | 750,000 | 17,970 | ||||||||||||||||
| 12/04/2023 | BCLY | USD | 1,355,161 | BRL | 6,688,399 | 3,703 | ||||||||||||||||
| 12/04/2023 | CITI | USD | 243,137 | BRL | 1,200,000 | 664 | ||||||||||||||||
| 12/04/2023 | GS | USD | 1,194,501 | BRL | 5,895,459 | 3,264 | ||||||||||||||||
| 12/04/2023 | JPM | USD | 1,301,840 | BRL | 6,639,775 | 47,146 | ||||||||||||||||
| 12/04/2023 | MSCI | USD | 3,742,950 | BRL | 18,820,882 | 80,839 | ||||||||||||||||
| 01/31/2024 | JPM | USD | 2,964,962 | CAD | 4,092,285 | 53,712 | ||||||||||||||||
| 01/16/2024 | UBSA | USD | 3,235,311 | CAD | 4,461,122 | 54,733 | ||||||||||||||||
| 01/31/2024 | BCLY | USD | 637,156 | CHF | 557,832 | 3,924 | ||||||||||||||||
| 01/31/2024 | CITI | USD | 1,251,129 | CHF | 1,117,785 | 33,473 | ||||||||||||||||
| 01/12/2024 | GS | USD | 402,923 | CHF | 360,000 | 10,007 | ||||||||||||||||
| 01/31/2024 | JPM | USD | 517,068 | CHF | 452,240 | 2,664 | ||||||||||||||||
| 01/31/2024 | SSB | USD | 173,882 | CHF | 155,429 | 4,744 | ||||||||||||||||
| 01/12/2024 | SSB | USD | 525,279 | CHF | 460,000 | 2,354 | ||||||||||||||||
| 01/26/2024 | JPM | USD | 107,590 | CLP | 100,000,000 | 6,643 | ||||||||||||||||
| 01/26/2024 | MSCI | USD | 325,785 | CLP | 294,096,500 | 10,171 | ||||||||||||||||
| 01/29/2024 | JPM | USD | 327,289 | COP | 1,415,101,500 | 20,981 | ||||||||||||||||
| 01/18/2024 | BCLY | USD | 3,202,433 | GBP | 2,630,000 | 119,099 | ||||||||||||||||
| 01/24/2024 | JPM | USD | 2,280,447 | GBP | 1,819,212 | 17,193 | ||||||||||||||||
| 01/23/2024 | BCLY | USD | 1,098,997 | JPY | 163,321,089 | 11,532 | ||||||||||||||||
| 01/23/2024 | MSCI | USD | 5,888,677 | JPY | 868,915,155 | 19,655 | ||||||||||||||||
| 01/23/2024 | UBSA | USD | 812,009 | JPY | 120,874,160 | 9,895 | ||||||||||||||||
| 01/30/2024 | BCLY | USD | 144,002 | KRW | 190,000,000 | 2,623 | ||||||||||||||||
| 01/30/2024 | CITI | USD | 6,533 | KRW | 8,830,175 | 281 | ||||||||||||||||
| 01/30/2024 | MSCI | USD | 74,094 | KRW | 100,000,000 | 3,077 | ||||||||||||||||
| 12/04/2023 | BCLY | USD | 1,765,860 | MXN | 31,522,553 | 49,066 | ||||||||||||||||
| 02/02/2024 | BCLY | USD | 1,895,297 | MXN | 33,358,753 | 6,836 | ||||||||||||||||
| 12/04/2023 | JPM | USD | 469,515 | MXN | 8,444,561 | 16,684 | ||||||||||||||||
| 12/04/2023 | MSCI | USD | 1,769,399 | MXN | 31,522,552 | 45,527 | ||||||||||||||||
| 01/18/2024 | MSCI | USD | 930,605 | MXN | 17,018,725 | 42,193 | ||||||||||||||||
| 02/02/2024 | MSCI | USD | 1,897,238 | MXN | 33,358,752 | 4,896 | ||||||||||||||||
| 01/24/2024 | BCLY | USD | 1,053,540 | NOK | 11,741,032 | 33,218 | ||||||||||||||||
| 01/24/2024 | DB | USD | 5,533,522 | NOK | 60,978,862 | 110,724 | ||||||||||||||||
| 01/17/2024 | JPM | USD | 5,416,634 | NOK | 59,027,768 | 45,964 | ||||||||||||||||
| 01/24/2024 | JPM | USD | 5,539,655 | NOK | 60,978,862 | 104,591 | ||||||||||||||||
| 02/29/2024 | MSCI | USD | 149,038 | PEN | 560,000 | 349 | ||||||||||||||||
| 01/10/2024 | BOA | USD | 886,471 | SEK | 9,800,000 | 48,299 | ||||||||||||||||
| 12/18/2023 | GS | USD | 98,382 | SEK | 1,076,046 | 4,129 | ||||||||||||||||
| 01/10/2024 | SSB | USD | 773,737 | SEK | 8,600,000 | 46,571 | ||||||||||||||||
| 02/29/2024 | BOA | USD | 125,903 | ZAR | 2,400,000 | 472 | ||||||||||||||||
| 02/08/2024 | CITI | AUD | 2,249,642 | USD | 1,467,275 | (22,193 | ) | |||||||||||||||
| 01/24/2024 | SSB | AUD | 2,346,023 | USD | 1,541,662 | (10,967 | ) | |||||||||||||||
| 12/04/2023 | CITI | BRL | 1,200,000 | USD | 232,598 | (11,203 | ) | |||||||||||||||
| 12/04/2023 | GS | BRL | 3,406,340 | USD | 686,436 | (5,620 | ) | |||||||||||||||
| 12/04/2023 | JPM | BRL | 6,639,775 | USD | 1,345,310 | (3,676 | ) | |||||||||||||||
| 12/04/2023 | MSCI | BRL | 12,132,483 | USD | 2,458,207 | (6,717 | ) | |||||||||||||||
| 01/31/2024 | BCLY | CAD | 1,050,000 | USD | 762,737 | (11,796 | ) | |||||||||||||||
| 01/16/2024 | BCLY | CAD | 535,777 | USD | 388,624 | (6,507 | ) | |||||||||||||||
| 01/31/2024 | CITI | CAD | 830,000 | USD | 601,963 | (10,287 | ) | |||||||||||||||
| 01/31/2024 | JPM | CAD | 2,710,000 | USD | 1,962,581 | (36,451 | ) | |||||||||||||||
| 02/05/2024 | JPM | CAD | 3,100,376 | USD | 2,250,473 | (36,678 | ) | |||||||||||||||
| 01/16/2024 | JPM | CAD | 247,982 | USD | 182,036 | (849 | ) | |||||||||||||||
| 01/12/2024 | SSB | CHF | 7,397,275 | USD | 8,244,340 | (240,545 | ) | |||||||||||||||
| 01/31/2024 | SSB | CHF | 8,768,975 | USD | 9,856,435 | (221,210 | ) | |||||||||||||||
| 01/31/2024 | UBSA | CHF | 9,299,094 | USD | 10,632,761 | (54,118 | ) | |||||||||||||||
| 01/29/2024 | MSCI | COP | 2,120,000,000 | USD | 510,471 | (11,282 | ) | |||||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 01/17/2024 | CITI | CZK | 2,400,000 | USD | 105,141 | (2,196 | ) | |||||||||||||||
| 01/17/2024 | GS | CZK | 7,970,976 | USD | 341,342 | (15,149 | ) | |||||||||||||||
| 01/17/2024 | MSCI | CZK | 2,400,000 | USD | 102,524 | (4,813 | ) | |||||||||||||||
| 01/17/2024 | BCLY | EUR | 1,023,800 | USD | 1,084,133 | (32,498 | ) | |||||||||||||||
| 01/31/2024 | MSCI | EUR | 6,380,000 | USD | 6,759,868 | (202,684 | ) | |||||||||||||||
| 01/18/2024 | BOA | GBP | 550,000 | USD | 672,004 | (22,613 | ) | |||||||||||||||
| 02/13/2024 | MSCI | GBP | 636,934 | USD | 793,514 | (11,019 | ) | |||||||||||||||
| 01/18/2024 | SSB | GBP | 810,000 | USD | 991,731 | (31,251 | ) | |||||||||||||||
| 02/14/2024 | MSCI | HUF | 95,479,461 | USD | 266,986 | (4,228 | ) | |||||||||||||||
| 01/30/2024 | MSCI | IDR | 1,385,857,000 | USD | 86,998 | (2,044 | ) | |||||||||||||||
| 01/23/2024 | BCLY | JPY | 1,164,138,908 | USD | 7,887,909 | (27,844 | ) | |||||||||||||||
| 01/23/2024 | DB | JPY | 81,000,000 | USD | 549,188 | (1,585 | ) | |||||||||||||||
| 01/23/2024 | JPM | JPY | 1,012,161,989 | USD | 6,860,301 | (22,060 | ) | |||||||||||||||
| 01/23/2024 | MSCI | JPY | 157,817,736 | USD | 1,065,725 | (7,382 | ) | |||||||||||||||
| 02/13/2024 | MSCI | JPY | 446,849,400 | USD | 3,006,489 | (41,967 | ) | |||||||||||||||
| 01/23/2024 | UBSA | JPY | 65,207,823 | USD | 441,421 | (1,970 | ) | |||||||||||||||
| 12/04/2023 | BCLY | MXN | 33,358,753 | USD | 1,913,595 | (7,051 | ) | |||||||||||||||
| 12/04/2023 | GS | MXN | 7,899 | USD | 436 | (18 | ) | |||||||||||||||
| 01/18/2024 | JPM | MXN | 1,000,000 | USD | 56,396 | (764 | ) | |||||||||||||||
| 12/04/2023 | MSCI | MXN | 33,358,752 | USD | 1,915,518 | (5,128 | ) | |||||||||||||||
| 12/04/2023 | SSB | MXN | 4,764,262 | USD | 270,413 | (3,891 | ) | |||||||||||||||
| 01/24/2024 | BBH | NOK | 12,095,476 | USD | 1,079,549 | (40,016 | ) | |||||||||||||||
| 01/17/2024 | CITI | NOK | 2,900,000 | USD | 268,270 | (104 | ) | |||||||||||||||
| 01/24/2024 | GS | NOK | 5,463,247 | USD | 505,206 | (476 | ) | |||||||||||||||
| 02/29/2024 | DB | NZD | 3,540,000 | USD | 2,148,273 | (32,233 | ) | |||||||||||||||
| 01/29/2024 | MSCI | PHP | 6,500,000 | USD | 114,449 | (2,701 | ) | |||||||||||||||
| 01/10/2024 | BCLY | SEK | 6,600,000 | USD | 604,412 | (25,127 | ) | |||||||||||||||
| 12/18/2023 | BCLY | SEK | 6,160,264 | USD | 560,620 | (26,250 | ) | |||||||||||||||
| 12/18/2023 | JPM | SEK | 1,410,596 | USD | 133,806 | (577 | ) | |||||||||||||||
| 01/10/2024 | MSCI | SEK | 2,144,479 | USD | 194,918 | (9,632 | ) | |||||||||||||||
| 12/18/2023 | SSB | SEK | 13,931,556 | USD | 1,283,010 | (44,209 | ) | |||||||||||||||
| 01/22/2024 | SSB | SGD | 705,848 | USD | 528,443 | (426 | ) | |||||||||||||||
| 02/08/2024 | SSB | USD | 516,440 | AUD | 780,000 | (9 | ) | |||||||||||||||
| 02/02/2024 | BCLY | USD | 1,355,793 | BRL | 6,688,399 | (5,973 | ) | |||||||||||||||
| 12/04/2023 | GS | USD | 346,778 | BRL | 1,700,000 | (1,394 | ) | |||||||||||||||
| 02/02/2024 | GS | USD | 849,374 | BRL | 4,189,119 | (3,946 | ) | |||||||||||||||
| 02/02/2024 | MSCI | USD | 2,014,818 | BRL | 9,928,435 | (11,110 | ) | |||||||||||||||
| 01/17/2024 | MSCI | USD | 44,807 | CZK | 1,000,000 | (84 | ) | |||||||||||||||
| 01/31/2024 | DB | USD | 392,904 | EUR | 360,000 | (33 | ) | |||||||||||||||
| 01/18/2024 | BCLY | USD | 808,296 | GBP | 640,000 | (15 | ) | |||||||||||||||
| 02/14/2024 | MSCI | USD | 370,583 | HUF | 130,000,000 | (1,313 | ) | |||||||||||||||
| 01/30/2024 | JPM | USD | 90,262 | IDR | 1,400,000,000 | (312 | ) | |||||||||||||||
| 02/12/2024 | JPM | USD | 132,688 | INR | 11,073,064 | (138 | ) | |||||||||||||||
| 01/23/2024 | GS | USD | 483,198 | JPY | 71,000,000 | (422 | ) | |||||||||||||||
| 01/30/2024 | MSCI | USD | 132,033 | KRW | 170,000,000 | (842 | ) | |||||||||||||||
| 01/30/2024 | SSB | USD | 308,861 | KRW | 400,000,000 | (177 | ) | |||||||||||||||
| 02/02/2024 | JPM | USD | 851,857 | MXN | 14,673,283 | (15,178 | ) | |||||||||||||||
| 02/26/2024 | DB | USD | 10,149,576 | NOK | 108,333,018 | (113,309 | ) | |||||||||||||||
| 01/29/2024 | CITI | USD | 81,132 | PHP | 4,500,000 | (28 | ) | |||||||||||||||
| 02/22/2024 | DB | USD | 175,363 | PLN | 700,000 | (721 | ) | |||||||||||||||
| 01/25/2024 | BBH | USD | 187,012 | RON | 850,000 | (944 | ) | |||||||||||||||
| 01/25/2024 | CITI | USD | 65,849 | RON | 300,000 | (177 | ) | |||||||||||||||
| 01/22/2024 | CITI | USD | 135,126 | SGD | 180,000 | (257 | ) | |||||||||||||||
| 01/31/2024 | DB | USD | 848,792 | ZAR | 15,954,543 | (6,641 | ) | |||||||||||||||
| 02/29/2024 | MSCI | ZAR | 7,200,000 | USD | 378,790 | (334 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | (228,891 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 15 | Australian Government | |||||||||||||
| Bond 10 Yr. | December 2023 | 1,116,598 | 30,286 | |||||||||||
| 40 | CAC40 10 Euro | December 2023 | 3,191,346 | 35,080 | ||||||||||
| 11 | CBOE Volatility Index (h) | December 2023 | 151,336 | (18,707 | ) | |||||||||
| 92 | Corn (h) | March 2024 | 2,220,650 | 1,668 | ||||||||||
| 30 | Cotton (h) | March 2024 | 1,200,900 | 951 | ||||||||||
| 48 | FTSE 100 Index | December 2023 | 4,534,614 | (34,869 | ) | |||||||||
| 19 | FTSE MIB Index | December 2023 | 3,086,903 | 141,382 | ||||||||||
| 32 | Hang Seng Index | December 2023 | 3,487,584 | (108,846 | ) | |||||||||
| 52 | Iron Ore (h) | January 2024 | 673,816 | 3,642 | ||||||||||
| 38 | Lean Hogs (h) | February 2024 | 1,086,420 | (66,077 | ) | |||||||||
| 140 | MSCI Singapore | December 2023 | 2,836,286 | (12,704 | ) | |||||||||
| 11 | NYMEX Platinum Futures (h) | January 2024 | 514,745 | 12,398 | ||||||||||
| 80 | OMX Stockholm 30 Index | December 2023 | 1,704,747 | 32,978 | ||||||||||
| 44 | RBOB Gasoline (h) | December 2023 | 4,020,878 | 2,243 | ||||||||||
| 114 | Soybean (h) | January 2024 | 7,653,675 | 291,777 | ||||||||||
| 21 | Soybean (h) | January 2024 | 890,400 | (24,358 | ) | |||||||||
| 16 | SPI 200 Futures | December 2023 | 1,870,702 | 32,740 | ||||||||||
| 12 | U.S. Long Bond (CBT) | March 2024 | 1,397,250 | 6,687 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 41,638,850 | $ | 326,271 | |||||||||||
|
|
|
|
|
|||||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Sales | ||||||||||||||
| 18 | Canadian Government Bond 10 Yr. | March 2024 | 1,588,622 | (17,832 | ) | |||||||||
| 34 | Cocoa (h) | March 2024 | 1,454,180 | (97,396 | ) | |||||||||
| 6 | Coffee (h) | March 2024 | 415,575 | (33,180 | ) | |||||||||
| 19 | Copper (h) | March 2024 | 1,828,988 | (75,384 | ) | |||||||||
| 2 | DAX Index | December 2023 | 886,709 | (12,319 | ) | |||||||||
| 45 | E-mini Russell 2000 Index | December 2023 | 4,077,450 | 13,457 | ||||||||||
| 6 | Eurex Swiss Market New Index | December 2023 | 746,543 | (4,687 | ) | |||||||||
| 19 | Euro Bund | December 2023 | 2,735,957 | (52,961 | ) | |||||||||
| 9 | Euro Bund | March 2024 | 1,299,506 | (5,242 | ) | |||||||||
| 68 | FTSE Taiwan Index | December 2023 | 4,068,500 | (28,366 | ) | |||||||||
| 18 | Gold 100 OZ (h) | February 2024 | 3,702,960 | (148,210 | ) | |||||||||
| 21 | IFSC NIFTY 50 Index | December 2023 | 850,878 | (7,741 | ) | |||||||||
| 16 | KOSPI 200 Index | December 2023 | 1,048,921 | (15,635 | ) | |||||||||
| 5 | Live Cattle Futures (h) | February 2024 | 343,650 | 6,192 | ||||||||||
| 36 | Natural Gas (h) | December 2023 | 1,008,720 | 191,961 | ||||||||||
| 29 | NY Harbor ULSD Futures (h) | December 2023 | 3,354,616 | (17,191 | ) | |||||||||
| 67 | S&P 500 E-Mini | December 2023 | 15,332,112 | (352,458 | ) | |||||||||
| 5 | S&P/TSX 60 | December 2023 | 899,001 | (9,545 | ) | |||||||||
| 33 | Silver (h) | March 2024 | 4,233,900 | (441,057 | ) | |||||||||
| 144 | Soybean Oil (h) | January 2024 | 4,515,264 | (175,802 | ) | |||||||||
| 68 | Sugar (h) | February 2024 | 1,983,206 | 49,927 | ||||||||||
| 9 | TOPIX Index | December 2023 | 1,446,029 | (64,047 | ) | |||||||||
| 19 | U.S. Treasury Note 10 Yr. (CBT) | March 2024 | 2,086,141 | (16,481 | ) | |||||||||
| 51 | U.S. Treasury Note 2 Yr. (CBT) | March 2024 | 10,427,508 | (33,286 | ) | |||||||||
| 59 | U.S. Treasury Note 5 Yr. (CBT) | March 2024 | 6,304,242 | (39,234 | ) | |||||||||
| 64 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2024 | 7,265,000 | (33,504 | ) | |||||||||
| 1 | U.S. Ultra Bond (CBT) | March 2024 | 123,000 | (521 | ) | |||||||||
| 7 | UK Gilt Long Bond | March 2024 | 854,375 | (4,576 | ) | |||||||||
| 205 | Wheat (h) | March 2024 | 6,129,500 | 34,783 | ||||||||||
| 65 | WTI Crude (h) | December 2023 | 4,937,400 | 116,451 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 95,948,453 | $ | (1,273,884 | ) | ||||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Written Options
| Description |
Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount |
Value ($) | |||||||||||||||
| Equity Options – Calls |
||||||||||||||||||||
| Albertsons Cos., Inc. (e) |
22.00 | 01/19/24 | (72 | ) | (156,744 | ) | (5,760 | ) | ||||||||||||
| Silicon Motion Technology Corp. (e) |
60.00 | 03/15/24 | (158 | ) | (929,040 | ) | (55,300 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
| Total Equity Options – Calls | (61,060 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Index Options – Puts |
||||||||||||||||||||
| S&P 500 Index |
4,360.00 | 12/01/23 | (9 | ) | (4,111,020 | ) | (90 | ) | ||||||||||||
| S&P 500 Index |
4,415.00 | 12/08/23 | (9 | ) | (4,111,020 | ) | (1,890 | ) | ||||||||||||
| S&P 500 Index |
4,415.00 | 12/15/23 | (8 | ) | (3,654,240 | ) | (17,128 | ) | ||||||||||||
| S&P 500 Index |
4,560.00 | 12/22/23 | (8 | ) | (3,654,240 | ) | (32,944 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
| Total Index Options – Puts | (52,052 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Description |
Counterparty |
Exercise Rate |
Expiration Date |
Principal/ Notional |
Floating Rate Index |
Pay/Receive Floating Rate |
Value ($) | |||||||||||||||
| Written Options on Credit Default Swaps – Puts |
| |||||||||||||||||||||
| CDX.NA.IG.S41 |
JPM | 0.95 | % | 12/20/23 | (11,713,000) | Fixed Spread | Pay | (481 | ) | |||||||||||||
| CDX.NA.IG.S41 |
GS | 1.00 | % | 12/20/23 | (15,618,000) | Fixed Spread | Pay | (606 | ) | |||||||||||||
| CDX.NA.HY.S41 |
GS | 0.97 | % | 12/20/23 | (6,667,000) | Fixed Spread | Pay | (2,154 | ) | |||||||||||||
|
|
|
|||||||||||||||||||||
| Total Written Options On Credit Default Swaps – Puts | (3,241 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| TOTAL WRITTEN OPTIONS (Premiums $335,241) |
$ | (116,353 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||||||||
| Buy Protection^: |
||||||||||||||||||||||||||||||||||||
| iTraxx Europe Crossover S38 |
EUR | 4,395,570 | 5.00% | 2.77% | N/A | 12/20/2027 | Quarterly | (89,850 | ) | (377,010 | ) | (287,160 | ) | |||||||||||||||||||||||
| CDX.NA.IG.S41 |
USD | 75,681,000 | 1.00% | 0.63% | N/A | 12/20/2028 | Quarterly | (976,258 | ) | (1,278,782 | ) | (302,524 | ) | |||||||||||||||||||||||
| Sell Protection: |
||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.S41 |
USD | 8,801,100 | 5.00% | 4.03% | 8,801,100 USD | 12/20/2028 | Quarterly | (153,657 | ) | (343,102 | ) | (189,445 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | (1,219,765 | ) | $ | (1,998,894 | ) | $ | (779,129 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Swap Contracts — continued
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.HY.S31 |
CITI | USD | 1,631,000 | 5.00% | 0.07% | N/A | 12/20/2023 | Quarterly | (6,361 | ) | (4,375 | ) | 1,986 | |||||||||||||||||||||||||||
| CDX.NA.HY.S31 |
CITI | USD | 1,780,000 | 5.00% | 0.07% | N/A | 12/20/2023 | Quarterly | 18,334 | (4,774 | ) | (23,108 | ) | |||||||||||||||||||||||||||
| CDX.NA.HY.S33 |
CITI | USD | 2,222,000 | 5.00% | 2.09% | N/A | 12/20/2024 | Quarterly | (53,637 | ) | (66,460 | ) | (12,823 | ) | ||||||||||||||||||||||||||
| CMBX.NA.BBB-.11 |
CGMI | USD | 1,886,000 | 3.00% | 9.66% | N/A | 11/18/2054 | Monthly | 397,828 | 373,664 | (24,164 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
MLCS | USD | 2,640,000 | 3.00% | 16.51% | N/A | 09/17/2058 | Monthly | 212,244 | 540,323 | 328,079 | |||||||||||||||||||||||||||||
| CMBX.NA.A.15 |
CGMI | USD | 2,222,000 | 2.00% | 3.73% | N/A | 11/18/2064 | Monthly | 266,640 | 219,332 | (47,308 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.14 |
CGMI | USD | 576,500 | 3.00% | 8.35% | N/A | 12/16/2072 | Monthly | 162,861 | 138,540 | (24,321 | ) | ||||||||||||||||||||||||||||
| Sell Protection: |
||||||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.S31 |
CITI | USD | 1,187,000 | 5.00% | 0.07% | 1,187,000 USD | 12/20/2023 | Quarterly | 121,667 | 3,184 | (118,483 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HY.S31 |
CITI | USD | 1,928,000 | 5.00% | 0.07% | 1,928,000 USD | 12/20/2023 | Quarterly | 203,886 | 5,171 | (198,715 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HY.S31 |
CITI | USD | 3,560,000 | 5.00% | 0.07% | 3,560,000 USD | 12/20/2023 | Quarterly | 238,520 | 9,549 | (228,971 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HY.S33 |
CITI | USD | 4,388,727 | 5.00% | 0.10% | 4,388,727 USD | 12/20/2024 | Quarterly | 756,836 | 221,370 | (535,466 | ) | ||||||||||||||||||||||||||||
| iTraxx Europe Crossover S38 |
JPM | EUR | 8,019,000 | 5.00% | 0.51% | 8,019,000 EUR | 12/20/2027 | Quarterly | 1,357,928 | 1,438,041 | 80,113 | |||||||||||||||||||||||||||||
| CDX.NA.HY.S41 |
GS | USD | 3,556,000 | 5.00% | 2.96% | 3,556,000 USD | 12/20/2028 | Quarterly | 245,858 | 319,573 | 73,715 | |||||||||||||||||||||||||||||
| CDX.NA.HY.S41 |
JPM | USD | 5,334,000 | 5.00% | 2.96% | 5,334,000 USD | 12/20/2028 | Quarterly | 357,319 | 479,359 | 122,040 | |||||||||||||||||||||||||||||
| CMBX.NA.A.9 |
CGMI | USD | 1,112,500 | 2.00% | 8.25% | 1,112,500 USD | 09/17/2058 | Monthly | (33,096 | ) | (113,313 | ) | (80,217 | ) | ||||||||||||||||||||||||||
| CMBX.NA.A.9 |
CGMI | USD | 1,780,000 | 2.00% | 8.25% | 1,780,000 USD | 09/17/2058 | Monthly | (44,602 | ) | (181,300 | ) | (136,698 | ) | ||||||||||||||||||||||||||
| CMBX.NA.A.9 |
MLCS | USD | 4,750,000 | 2.00% | 8.25% | 4,750,000 USD | 09/17/2058 | Monthly | 9,294 | (483,806 | ) | (493,100 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AAA.10 |
GS | USD | 4,610,000 | 0.50% | 0.63% | 4,610,000 USD | 11/17/2059 | Monthly | 42,163 | (15,970 | ) | (58,133 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AAA.15 |
CGMI | USD | 4,445,000 | 0.50% | 0.90% | 4,445,000 USD | 11/18/2064 | Monthly | (165,846 | ) | (110,111 | ) | 55,735 | |||||||||||||||||||||||||||
| CMBX.NA.AAA.15 |
GS | USD | 1,730,000 | 0.50% | 0.90% | 1,730,000 USD | 11/18/2064 | Monthly | (26,617 | ) | (42,855 | ) | (16,238 | ) | ||||||||||||||||||||||||||
| CMBX.NA.AAA.14 |
CGMI | USD | 11,125,000 | 0.50% | 0.84% | 11,125,000 USD | 12/16/2072 | Monthly | (218,513 | ) | (212,022 | ) | 6,491 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| $ | 3,842,706 | $ | 2,513,120 | $ | (1,329,586 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of November 30, 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. |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives | Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 4.16% |
3 Month AUD BBSW | AUD | 7,500,000 | 12/20/2025 | Quarterly | — | 17,639 | 17,639 | ||||||||||||||||||
| 4.15% |
3 Month AUD BBSW | AUD | 27,752,000 | 12/20/2025 | Quarterly | 877 | 70,164 | 69,287 | ||||||||||||||||||
| 3 Month AUD BBSW |
4.30% | AUD | 3,500,000 | 12/20/2025 | Quarterly | — | (2,366 | ) | (2,366 | ) | ||||||||||||||||
| 3 Month AUD BBSW |
4.31% | AUD | 3,500,000 | 12/20/2025 | Quarterly | — | (1,991 | ) | (1,991 | ) | ||||||||||||||||
| 3 Month AUD BBSW |
4.36% | AUD | 10,000,000 | 12/20/2025 | Quarterly | — | 865 | 865 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.70% | CAD | 6,463,000 | 12/20/2025 | Annually | (4,626 | ) | 46,951 | 51,577 | |||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.70% | CAD | 1,500,000 | 12/20/2025 | Annually | — | 10,977 | 10,977 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.98% | CAD | 7,000,000 | 12/20/2025 | Annually | — | 78,037 | 78,037 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
5.06% | CAD | 4,500,000 | 12/20/2025 | Annually | — | 55,608 | 55,608 | ||||||||||||||||||
| 4.61% |
CAD - CORRA - OIS - COMPOUND |
CAD | 10,000,000 | 12/20/2025 | Annually | — | (60,246 | ) | (60,246 | ) | ||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
1.67% | CHF | 2,500,000 | 12/20/2025 | Annually | — | 22,059 | 22,059 | ||||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
1.78% | CHF | 16,829,000 | 12/20/2025 | Annually | 2,575 | 190,457 | 187,882 | ||||||||||||||||||
| 1.39% |
CHF - SARON - OIS - COMPOUND |
CHF | 3,000,000 | 12/20/2025 | Annually | — | (6,880 | ) | (6,880 | ) | ||||||||||||||||
| 3.39% |
EUR - EuroSTR - COMPOUND |
EUR | 12,479,000 | 12/20/2025 | Annually | (84 | ) | (101,107 | ) | (101,023 | ) | |||||||||||||||
| 3.45% |
EUR - EuroSTR - COMPOUND |
EUR | 3,500,000 | 12/20/2025 | Annually | — | (32,742 | ) | (32,742 | ) | ||||||||||||||||
|
GBP - SONIA - COMPOUND |
5.10% | GBP | 2,000,000 | 12/20/2025 | Annually | — | 18,699 | 18,699 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
5.10% | GBP | 4,500,000 | 12/20/2025 | Annually | — | 41,650 | 41,650 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
5.15% | GBP | 3,000,000 | 12/20/2025 | Annually | — | 31,688 | 31,688 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
5.19% | GBP | 3,000,000 | 12/20/2025 | Annually | — | 34,655 | 34,655 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
5.23% | GBP | 10,121,000 | 12/20/2025 | Annually | (2,834 | ) | 124,687 | 127,521 | |||||||||||||||||
| 5.12% |
GBP - SONIA - COMPOUND | GBP | 7,070,000 | 12/20/2025 | Annually | (1,399 | ) | (68,600 | ) | (67,201 | ) | |||||||||||||||
| 4.97% |
GBP - SONIA - COMPOUND | GBP | 2,500,000 | 12/20/2025 | Annually | — | (15,955 | ) | (15,955 | ) | ||||||||||||||||
| 4.69% |
GBP - SONIA - COMPOUND | GBP | 4,000,000 | 12/20/2025 | Annually | — | 1,651 | 1,651 | ||||||||||||||||||
| 5.19% |
3 Month NZD Bank Bill Rate | NZD | 16,000,000 | 12/20/2025 | Quarterly | — | (11,888 | ) | (11,888 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.67% | NZD | 9,000,000 | 12/20/2025 | Quarterly | — | 56,156 | 56,156 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.82% | SEK | 45,000,000 | 12/20/2025 | Quarterly | — | 30,985 | 30,985 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.93% | SEK | 66,312,000 | 12/20/2025 | Quarterly | (1,410 | ) | 58,576 | 59,986 | |||||||||||||||||
| 3 Month SEK STIBOR |
3.94% | SEK | 20,000,000 | 12/20/2025 | Quarterly | — | 18,156 | 18,156 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.59% | USD | 3,500,000 | 12/20/2025 | Annually | — | 6,288 | 6,288 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.85% | USD | 3,000,000 | 12/20/2025 | Annually | — | 19,961 | 19,961 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.90% | USD | 2,000,000 | 12/20/2025 | Annually | — | 15,295 | 15,295 | ||||||||||||||||||
| 4.66% |
USD - SOFR - COMPOUND | USD | 7,183,000 | 12/20/2025 | Annually | 2,401 | (21,828 | ) | (24,229 | ) | ||||||||||||||||
| 4.67% |
USD - SOFR - COMPOUND | USD | 3,000,000 | 12/20/2025 | Annually | — | (10,077 | ) | (10,077 | ) | ||||||||||||||||
| 4.65% |
USD - SOFR - COMPOUND | USD | 2,500,000 | 12/20/2025 | Annually | — | (7,474 | ) | (7,474 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
4.47% | AUD | 6,506,000 | 12/20/2033 | Semi-Annually | (2,906 | ) | (103,167 | ) | (100,261 | ) | |||||||||||||||
| 6 Month AUD BBSW |
4.52% | AUD | 1,800,000 | 12/20/2033 | Semi-Annually | — | (24,008 | ) | (24,008 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
5.04% | AUD | 20,880,000 | 12/20/2033 | Semi-Annually | 6,296 | 298,529 | 292,233 | ||||||||||||||||||
| 6 Month AUD BBSW |
5.22% | AUD | 900,000 | 12/20/2033 | Semi-Annually | — | 20,969 | 20,969 | ||||||||||||||||||
| 4.64% |
6 Month AUD BBSW | AUD | 800,000 | 12/20/2033 | Semi-Annually | — | 5,484 | 5,484 | ||||||||||||||||||
| 4.88% |
6 Month AUD BBSW | AUD | 2,400,000 | 12/20/2033 | Semi-Annually | — | (14,158 | ) | (14,158 | ) | ||||||||||||||||
| 4.93% |
6 Month AUD BBSW | AUD | 800,000 | 12/20/2033 | Semi-Annually | — | (6,567 | ) | (6,567 | ) | ||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
3.74% | CAD | 1,100,000 | 12/20/2033 | Annually | — | 10,360 | 10,360 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.07% | CAD | 2,200,000 | 12/20/2033 | Annually | — | 65,070 | 65,070 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.07% | CAD | 2,400,000 | 12/20/2033 | Annually | — | 71,059 | 71,059 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.30% | CAD | 2,000,000 | 12/20/2033 | Annually | — | 87,603 | 87,603 | ||||||||||||||||||
| 4.18% |
CAD - CORRA - OIS - COMPOUND |
CAD | 1,000,000 | 12/20/2033 | Annually | — | (36,154 | ) | (36,154 | ) | ||||||||||||||||
| 4.33% |
CAD - CORRA - OIS - COMPOUND |
CAD | 1,600,000 | 12/20/2033 | Annually | — | (72,431 | ) | (72,431 | ) | ||||||||||||||||
| 4.21% |
CAD - CORRA - OIS - COMPOUND |
CAD | 1,500,000 | 12/20/2033 | Annually | — | (57,122 | ) | (57,122 | ) | ||||||||||||||||
| 3.82% |
CAD - CORRA - OIS - COMPOUND |
CAD | 2,328,000 | 12/20/2033 | Annually | (1,071 | ) | (33,263 | ) | (32,192 | ) | |||||||||||||||
| 4.15% |
CAD - CORRA - OIS - COMPOUND |
CAD | 4,000,000 | 12/20/2033 | Annually | — | (138,865 | ) | (138,865 | ) | ||||||||||||||||
| 3.80% |
CAD - CORRA - OIS - COMPOUND |
CAD | 400,000 | 12/20/2033 | Annually | — | (5,211 | ) | (5,211 | ) | ||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 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 ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
1.39% | CHF | 600,000 | 12/20/2033 | Annually | — | 5,176 | 5,176 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
1.74% | CHF | 151,000 | 12/20/2033 | Annually | (224 | ) | 6,968 | 7,192 | |||||||||||||||||
| 1.74% |
CHF - SARON - OIS - COMPOUND |
CHF | 3,628,000 | 12/20/2033 | Annually | 4,657 | (168,077 | ) | (172,734 | ) | ||||||||||||||||
| CHF - SARON - OIS - | ||||||||||||||||||||||||||
| 1.82% |
COMPOUND | CHF | 1,300,000 | 12/20/2033 | Annually | — | (71,461 | ) | (71,461 | ) | ||||||||||||||||
| CHF - SARON - OIS - | ||||||||||||||||||||||||||
| 1.83% |
COMPOUND | CHF | 600,000 | 12/20/2033 | Annually | — | (33,565 | ) | (33,565 | ) | ||||||||||||||||
| CHF - SARON - OIS - | ||||||||||||||||||||||||||
| 1.85% |
COMPOUND | CHF | 1,400,000 | 12/20/2033 | Annually | — | (80,588 | ) | (80,588 | ) | ||||||||||||||||
| EUR - EuroSTR - COMPOUND |
2.85% | EUR | 1,100,000 | 12/20/2033 | Annually | — | 11,116 | 11,116 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
2.96% | EUR | 1,500,000 | 12/20/2033 | Annually | — | 31,648 | 31,648 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
2.99% | EUR | 2,801,000 | 12/20/2033 | Annually | 2,762 | 66,829 | 64,067 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
3.06% | EUR | 800,000 | 12/20/2033 | Annually | — | 24,531 | 24,531 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
3.09% | EUR | 1,000,000 | 12/20/2033 | Annually | — | 33,281 | 33,281 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
3.29% | EUR | 500,000 | 12/20/2033 | Annually | — | 26,278 | 26,278 | ||||||||||||||||||
| 2.98% |
EUR - EuroSTR - COMPOUND |
EUR | 5,299,000 | 12/20/2033 | Annually | 861 | (120,023 | ) | (120,884 | ) | ||||||||||||||||
| 3.03% |
EUR - EuroSTR - COMPOUND |
EUR | 900,000 | 12/20/2033 | Annually | — | (25,242 | ) | (25,242 | ) | ||||||||||||||||
| 3.07% |
EUR - EuroSTR - COMPOUND |
EUR | 500,000 | 12/20/2033 | Annually | — | (15,665 | ) | (15,665 | ) | ||||||||||||||||
| GBP - SONIA - COMPOUND |
4.00% | GBP | 900,000 | 12/20/2033 | Annually | — | 2,227 | 2,227 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.08% | GBP | 500,000 | 12/20/2033 | Annually | — | 5,485 | 5,485 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.13% | GBP | 600,000 | 12/20/2033 | Annually | — | 9,451 | 9,451 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.17% | GBP | 1,500,000 | 12/20/2033 | Annually | — | 28,816 | 28,816 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.31% | GBP | 500,000 | 12/20/2033 | Annually | — | 16,803 | 16,803 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.32% | GBP | 1,100,000 | 12/20/2033 | Annually | — | 38,254 | 38,254 | ||||||||||||||||||
| 4.40% |
GBP - SONIA - COMPOUND | GBP | 700,000 | 12/20/2033 | Annually | — | (30,290 | ) | (30,290 | ) | ||||||||||||||||
| 4.43% |
GBP - SONIA - COMPOUND | GBP | 500,000 | 12/20/2033 | Annually | — | (22,984 | ) | (22,984 | ) | ||||||||||||||||
| 4.54% |
GBP - SONIA - COMPOUND | GBP | 1,100,000 | 12/20/2033 | Annually | — | (63,267 | ) | (63,267 | ) | ||||||||||||||||
| 4.29% |
GBP - SONIA - COMPOUND | GBP | 3,100,000 | 12/20/2033 | Annually | (1,498 | ) | (99,859 | ) | (98,361 | ) | |||||||||||||||
| 4.19% |
GBP - SONIA - COMPOUND | GBP | 700,000 | 12/20/2033 | Annually | — | (15,014 | ) | (15,014 | ) | ||||||||||||||||
| 4.21% |
GBP - SONIA - COMPOUND | GBP | 600,000 | 12/20/2033 | Annually | — | (14,517 | ) | (14,517 | ) | ||||||||||||||||
| 4.78% |
3 Month NZD Bank Bill Rate | NZD | 1,858,000 | 12/20/2033 | Quarterly | 410 | (4,877 | ) | (5,287 | ) | ||||||||||||||||
| 5.37% |
3 Month NZD Bank Bill Rate | NZD | 2,100,000 | 12/20/2033 | Quarterly | — | (65,610 | ) | (65,610 | ) | ||||||||||||||||
| 4.85% |
3 Month NZD Bank Bill Rate | NZD | 2,100,000 | 12/20/2033 | Quarterly | — | (12,209 | ) | (12,209 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.88% | NZD | 3,800,000 | 12/20/2033 | Quarterly | — | 27,666 | 27,666 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.95% | NZD | 1,200,000 | 12/20/2033 | Quarterly | — | 12,551 | 12,551 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.16% | NZD | 2,000,000 | 12/20/2033 | Quarterly | — | 41,458 | 41,458 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.28% | NZD | 2,100,000 | 12/20/2033 | Quarterly | — | 56,368 | 56,368 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.29% | NZD | 1,800,000 | 12/20/2033 | Quarterly | — | 48,755 | 48,755 | ||||||||||||||||||
| 3 Month SEK STIBOR |
2.98% | SEK | 10,000,000 | 12/20/2033 | Quarterly | — | 5,328 | 5,328 | ||||||||||||||||||
| 3.36% |
3 Month SEK STIBOR | SEK | 13,000,000 | 12/20/2033 | Quarterly | — | (46,982 | ) | (46,982 | ) | ||||||||||||||||
| 3.37% |
3 Month SEK STIBOR | SEK | 6,000,000 | 12/20/2033 | Quarterly | — | (22,076 | ) | (22,076 | ) | ||||||||||||||||
| 3.43% |
3 Month SEK STIBOR | SEK | 10,000,000 | 12/20/2033 | Quarterly | — | (42,025 | ) | (42,025 | ) | ||||||||||||||||
| 3.30% |
3 Month SEK STIBOR | SEK | 123,187,000 | 12/20/2033 | Quarterly | 3,014 | (385,294 | ) | (388,308 | ) | ||||||||||||||||
| 3.30% |
3 Month SEK STIBOR | SEK | 4,000,000 | 12/20/2033 | Quarterly | — | (12,625 | ) | (12,625 | ) | ||||||||||||||||
| 3.30% |
3 Month SEK STIBOR | SEK | 29,000,000 | 12/20/2033 | Quarterly | — | (91,296 | ) | (91,296 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
3.10% | SEK | 11,000,000 | 12/20/2033 | Quarterly | — | 15,975 | 15,975 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.18% | SEK | 7,000,000 | 12/20/2033 | Quarterly | — | 15,086 | 15,086 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.28% | SEK | 12,000,000 | 12/20/2033 | Quarterly | — | 35,375 | 35,375 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.31% | SEK | 10,000,000 | 12/20/2033 | Quarterly | — | 31,808 | 31,808 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
3.90% | USD | 500,000 | 12/20/2033 | Annually | — | (2,901 | ) | (2,901 | ) | ||||||||||||||||
| USD - SOFR - COMPOUND |
3.93% | USD | 1,742,000 | 12/20/2033 | Annually | (1,049 | ) | (5,736 | ) | (4,687 | ) | |||||||||||||||
| USD - SOFR - COMPOUND |
4.08% | USD | 700,000 | 12/20/2033 | Annually | — | 5,864 | 5,864 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.17% | USD | 700,000 | 12/20/2033 | Annually | — | 11,442 | 11,442 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.25% | USD | 1,100,000 | 12/20/2033 | Annually | — | 24,363 | 24,363 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.31% | USD | 1,500,000 | 12/20/2033 | Annually | — | 41,619 | 41,619 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.40% | USD | 600,000 | 12/20/2033 | Annually | — | 21,012 | 21,012 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.42% | USD | 1,400,000 | 12/20/2033 | Annually | — | 51,201 | 51,201 | ||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 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) ($) |
|||||||||||||||||||
| USD - SOFR - COMPOUND |
4.49% | USD | 2,100,000 | 12/20/2033 | Annually | — | 88,901 | 88,901 | ||||||||||||||||||
| 4.53% |
USD - SOFR - COMPOUND | USD | 1,300,000 | 12/20/2033 | Annually | — | (59,124 | ) | (59,124 | ) | ||||||||||||||||
| 4.14% |
USD - SOFR - COMPOUND | USD | 600,000 | 12/20/2033 | Annually | — | (7,870 | ) | (7,870 | ) | ||||||||||||||||
| 4.40% |
USD - SOFR - COMPOUND | USD | 500,000 | 12/20/2033 | Annually | — | (17,408 | ) | (17,408 | ) | ||||||||||||||||
| 4.18% |
USD - SOFR - COMPOUND | USD | 1,400,000 | 12/20/2033 | Annually | — | (23,856 | ) | (23,856 | ) | ||||||||||||||||
| 4.11% |
USD - SOFR - COMPOUND | USD | 900,000 | 12/20/2033 | Annually | — | (9,783 | ) | (9,783 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 6,752 | $ | (50,411 | ) | $ | (57,163 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
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 0.02% |
Total Return on MSCI World Daily Total Return Net Value Index |
JPM | USD | 1,340,687 | 12/15/2023 | Monthly | — | 25,667 | 25,667 | |||||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate minus 0.07% |
JPM | USD | 1,529,970 | 12/15/2023 | Monthly | — | (27,747 | ) | (27,747 | ) | |||||||||||||||||||||
| Total Return on Markit iBoxx USD Liquid Investment Grade Index |
SOFR | MSCI | USD | 8,245,000 | 12/20/2023 | Quarterly | (5 | ) | (213,826 | ) | (213,821 | ) | ||||||||||||||||||||
| 1 Month Federal Funds Rate minus 0.03% |
Total Return on MSCI World Daily Total Return Net Value Index |
GS | USD | 3,266,534 | 04/30/2024 | Monthly | — | 248,520 | 248,520 | |||||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate minus 0.02% |
GS | USD | 3,033,374 | 04/30/2024 | Monthly | — | (321,708 | ) | (321,708 | ) | |||||||||||||||||||||
| 1 Month Federal Funds Rate minus 0.06% |
Total Return on MSCI World Daily Total Return Net Value Index |
UBSA | USD | 2,009,679 | 05/13/2024 | Monthly | — | 94,946 | 94,946 | |||||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate minus 0.02% |
UBSA | USD | 2,002,899 | 05/13/2024 | Monthly | — | (109,561 | ) | (109,561 | ) | |||||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 0.40% |
GS | USD | 1,975,812 | 06/24/2024 | Monthly | — | (25,077 | ) | (25,077 | ) | |||||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 0.40% |
MORD | USD | 2,476,940 | 06/18/2024 | Monthly | — | 82,309 | 82,309 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (5 | ) | $ | (246,477 | ) | $ | (246,472 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
As of November 30, 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 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) | All or a portion of this security is out on loan. |
| (g) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (h) | 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. |
| (i) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
| (j) | The following table represents the individual short positions within the custom equity basket swap as of November 30, 2023: |
| Shares | Description | % of Equity Basket |
Value ($) | |||||||||
| Custom equity basket swap with MORD as the counterparty: | ||||||||||||
| (36,000 | ) | China Southern Airlines Co. Ltd. – Class H | 0.7 | % | (17,271 | ) | ||||||
| (33 | ) | POSCO Chemical Co. Ltd. | 0.4 | % | (8,259 | ) | ||||||
| (2,826 | ) | Hotel Shilla Co. Ltd. | 6.0 | % | (143,486 | ) | ||||||
| (40,355 | ) | Samsung Heavy Industries Co. Ltd. | 10.4 | % | (249,061 | ) | ||||||
| (7,405 | ) | Korea Aerospace Industries Ltd. | 11.1 | % | (266,090 | ) | ||||||
| (571 | ) | Samsung Biologics Co. Ltd. | 13.3 | % | (319,418 | ) | ||||||
| (376 | ) | Hanmi Pharm Co. Ltd. | 3.7 | % | (89,280 | ) | ||||||
| (350 | ) | SK IE Technology Co. Ltd. | 0.8 | % | (19,163 | ) | ||||||
| (95,600 | ) | Airports Of Thailand PC NVDR | 6.7 | % | (161,690 | ) | ||||||
| (206,700 | ) | Gulf Energy Development PCL NVDR | 11.3 | % | (270,400 | ) | ||||||
| (139,000 | ) | Kingdee International Software Group Co. Ltd. | 8.0 | % | (192,961 | ) | ||||||
| (6,000 | ) | Zijin Mining Group Co. Ltd. – Class H | 0.4 | % | (9,502 | ) | ||||||
| (130,000 | ) | Air China Ltd. – Class H | 3.7 | % | (87,511 | ) | ||||||
| (78,000 | ) | China Molybdenum Co. Ltd. – Class H | 1.9 | % | (44,571 | ) | ||||||
| (100,000 | ) | Genscript Biotech Corp. | 11.6 | % | (277,939 | ) | ||||||
| (21,600 | ) | Nongfu Spring Co. Ltd. – Class H | 5.1 | % | (123,202 | ) | ||||||
| (46,000 | ) | Alibaba Health Information Technology Ltd. | 1.1 | % | (26,097 | ) | ||||||
| (2,341 | ) | Kakao Corp. | 3.8 | % | (91,334 | ) | ||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCKS | $ | (2,397,235 | ) | |||||||||
|
|
|
|||||||||||
| Custom equity basket swap with GS as the counterparty: | ||||||||||||
| (64,116 | ) | Cosan SA | 11.6 | % | (231,216 | ) | ||||||
| (26,600 | ) | Hapvida Participacoes e Investimentos SA | 1.2 | % | (23,617 | ) | ||||||
| (9,900 | ) | B3 SA – Brasil Bolsa Balcao | 1.3 | % | (26,751 | ) | ||||||
| Shares | Description | % of Equity Basket |
Value ($) | |||||||||
| (19,300 | ) | Rede D’Or Sao Luiz SA | 5.2 | % | $ | (104,302 | ) | |||||
| (58,000 | ) | China Southern Airlines Co. Ltd. – Class H | 1.4 | % | (27,825 | ) | ||||||
| (78,708 | ) | Microport Scientific Corp. | 6.3 | % | (126,091 | ) | ||||||
| (7 | ) | LPP SA | 1.3 | % | (26,037 | ) | ||||||
| (1,012 | ) | CD Projekt SA | 1.4 | % | (27,560 | ) | ||||||
| (2,360 | ) | Dino Polska SA | 13.1 | % | (262,846 | ) | ||||||
| (21,670 | ) | Allegro EU SA | 7.8 | % | (156,712 | ) | ||||||
| (8,618 | ) | Clicks Group Ltd. | 6.7 | % | (135,047 | ) | ||||||
| (397 | ) | Capitec Bank Holdings Ltd. | 2.1 | % | (41,360 | ) | ||||||
| (1,361 | ) | Bid Corp. Ltd. | 1.5 | % | (29,867 | ) | ||||||
| (683 | ) | Kakao Corp. | 1.3 | % | (26,647 | ) | ||||||
| (10,569 | ) | Doosan Enerbility Co. Ltd. | 6.5 | % | (129,085 | ) | ||||||
| (903 | ) | POSCO Chemical Co. Ltd. | 11.3 | % | (225,997 | ) | ||||||
| (12,352 | ) | Samsung Heavy Industries Co. Ltd. | 3.8 | % | (76,234 | ) | ||||||
| (1,101 | ) | Yuhan Corp. | 2.6 | % | (52,258 | ) | ||||||
| (888 | ) | Korea Aerospace Industries Ltd. | 1.6 | % | (31,909 | ) | ||||||
| (60 | ) | Samsung Biologics Co. Ltd. | 1.7 | % | (33,564 | ) | ||||||
| (652 | ) | HYBE Co. Ltd. | 5.4 | % | (108,460 | ) | ||||||
| (145 | ) | Hanmi Pharm Co. Ltd. | 1.7 | % | (34,430 | ) | ||||||
| (333 | ) | SK IE Technology Co. Ltd. | 0.9 | % | (18,232 | ) | ||||||
| (28 | ) | LG Energy Solution Ltd. | 0.5 | % | (9,814 | ) | ||||||
| (27,000 | ) | Gulf Energy Development PCL NVDR | 1.8 | % | (35,321 | ) | ||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCKS | $ | (2,001,182 | ) | |||||||||
|
|
|
|||||||||||
The rates shown on variable rate notes are the current interest rates at November 30, 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
EuroSTR - Euro Short-Term Rate
NVDR - Non-Voting Depositary Receipt
NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.
OIS - Overnight Indexed Swaps
REIT - Real Estate Investment Trust
SARON - Swiss Average Rate Overnight
SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.
SOFR - Secured Overnight Financing Rate
SONIA - Sterling Overnight Interbank Average Rate
TBA - To Be Announced - Delayed Delivery Security
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Counterparty Abbreviations:
BBH - Brown Brothers Harriman & Co
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
CGMI - Citigroup Global Markets Inc.
CITI - Citibank N.A.
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MLCS - Merrill Lynch Capital Services, Inc.
MORD - Morgan Stanley Capital Services LLC
MSCI - Morgan Stanley & Co. International PLC
SSB - State Street Bank and Trust Company
UBSA - UBS AG
Currency Abbreviations:
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
CZK - Czech 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)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) | ||||||||||
| MUTUAL FUNDS — 100.0% | ||||||||||||
| Affiliated Issuers — 100.0% | ||||||||||||
| 6,569,914 | GMO Emerging Country Debt Fund, | |||||||||||
| Class VI | 126,536,540 | |||||||||||
| 2,603,967 | GMO High Yield Fund, Class VI | 46,637,040 | ||||||||||
| 275,481,643 | GMO Implementation Fund | 3,556,468,015 | ||||||||||
| 6,373,752 | GMO Opportunistic Income Fund, Class VI | 158,324,007 | ||||||||||
|
|
|
|||||||||||
| TOTAL MUTUAL FUNDS (COST $3,863,478,946) |
3,887,965,602 | |||||||||||
|
|
|
|||||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||||
| Money Market Funds — 0.1% | ||||||||||||
| 3,477,724 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (a) | 3,477,724 | ||||||||||
|
|
|
|||||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $3,477,724) |
3,477,724 | |||||||||||
|
|
|
|||||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $3,866,956,670) |
3,891,443,326 | |||||||||||
| Other Assets and Liabilities (net) — (0.1%) | (2,827,308 | ) | ||||||||||
|
|
|
|||||||||||
| TOTAL NET ASSETS — 100.0% | $ | 3,888,616,018 | ||||||||||
|
|
|
|||||||||||
Notes to Schedule of Investments:
(a) The rate disclosed is the 7 day net yield as of November 30, 2023.
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| COMMON STOCKS — 78.5% | ||||||||||
| Australia — 1.5% | ||||||||||
| 61,183 | Accent Group Ltd. | 72,965 | ||||||||
| 1,385 | Ampol Ltd. | 31,211 | ||||||||
| 103,906 | Beach Energy Ltd. | 101,239 | ||||||||
| 130,883 | BHP Group Ltd. (a) | 3,984,395 | ||||||||
| 189,445 | BlueScope Steel Ltd. | 2,598,684 | ||||||||
| 175,593 | Brambles Ltd. (a) | 1,547,429 | ||||||||
| 2,511 | Brickworks Ltd. (b) | 41,631 | ||||||||
| 61,824 | CSR Ltd. | 239,432 | ||||||||
| 23,740 | Dexus – (REIT) (a) | 110,338 | ||||||||
| 113,699 | Fortescue Ltd. | 1,867,039 | ||||||||
| 233,592 | GPT Group – (REIT) (a) | 635,010 | ||||||||
| 60,458 | GrainCorp Ltd. – Class A | 304,628 | ||||||||
| 95,164 | Grange Resources Ltd. | 26,985 | ||||||||
| 92,272 | Helia Group Ltd. | 251,439 | ||||||||
| 43,009 | HomeCo Daily Needs – (REIT) (a) | 32,151 | ||||||||
| 11,163 | JB Hi-Fi Ltd. | 352,431 | ||||||||
| 8,334 | McMillan Shakespeare Ltd. | 98,060 | ||||||||
| 484,019 | Mirvac Group – (REIT) (a) | 657,431 | ||||||||
| 59,370 | Perenti Ltd. * | 41,099 | ||||||||
| 36,819 | Qantas Airways Ltd. * | 128,886 | ||||||||
| 16,594 | Rio Tinto Ltd. (a) | 1,362,456 | ||||||||
| 304,181 | Scentre Group – (REIT) (a) | 531,928 | ||||||||
| 24,820 | Southern Cross Media Group Ltd. | 17,192 | ||||||||
| 229,965 | Stockland – (REIT) (a) | 626,692 | ||||||||
| 32,339 | Super Retail Group Ltd. | 296,440 | ||||||||
| 52,413 | Viva Energy Group Ltd. | 106,269 | ||||||||
|
|
|
|||||||||
| Total Australia | 16,063,460 | |||||||||
|
|
|
|||||||||
| Austria — 0.2% | ||||||||||
| 17,536 | Erste Group Bank AG | 709,181 | ||||||||
| 34,965 | OMV AG (b) | 1,492,962 | ||||||||
| 2,175 | Raiffeisen Bank International AG | 36,266 | ||||||||
| 737 | Strabag SE | 30,426 | ||||||||
|
|
|
|||||||||
| Total Austria | 2,268,835 | |||||||||
|
|
|
|||||||||
| Belgium — 0.8% | ||||||||||
| 73,015 | Ageas SA | 3,144,584 | ||||||||
| 7,968 | Bekaert SA | 369,861 | ||||||||
| 722 | Cie d’Entreprises CFE | 5,764 | ||||||||
| 2,983 | Colruyt Group NV | 128,772 | ||||||||
| 10,386 | KBC Group NV | 595,404 | ||||||||
| 452 | Melexis NV (b) | 41,608 | ||||||||
| 635 | Orange Belgium SA * | 9,348 | ||||||||
| 91,355 | Proximus SADP | 876,766 | ||||||||
| 2,307 | Sofina SA | 514,164 | ||||||||
| 9,340 | Solvay SA | 1,081,946 | ||||||||
| 24,779 | UCB SA | 1,832,648 | ||||||||
|
|
|
|||||||||
| Total Belgium | 8,600,865 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| Bermuda — 0.0% | ||||||||||
| 6,154 | Liberty Global Ltd. – Class C * | 103,633 | ||||||||
|
|
|
|||||||||
| Brazil — 0.9% | ||||||||||
| 1,872 | Alupar Investimento SA | 10,965 | ||||||||
| 135,800 | Ambev SA | 377,709 | ||||||||
| 273,183 | Banco do Brasil SA | 3,012,087 | ||||||||
| 49,487 | BB Seguridade Participacoes SA | 314,695 | ||||||||
| 7,700 | Cia Energetica de Minas Gerais | 24,310 | ||||||||
| 28,517 | CPFL Energia SA | 214,657 | ||||||||
| 70,027 | Enauta Participacoes SA | 220,379 | ||||||||
| 30,200 | Engie Brasil Energia SA | 266,901 | ||||||||
| 25,202 | Itau Unibanco Holding SA | 137,017 | ||||||||
| 85,788 | Petroleo Brasileiro SA Sponsored ADR (a) | 1,309,983 | ||||||||
| 43,100 | Ser Educacional SA * | 54,553 | ||||||||
| 574,033 | TIM SA | 2,010,611 | ||||||||
| 10,100 | TIM SA ADR | 178,063 | ||||||||
| 3,538 | Transmissora Alianca de Energia Eletrica SA | 26,208 | ||||||||
| 208,890 | Ultrapar Participacoes SA | 1,071,601 | ||||||||
| 7,852 | Vale SA | 117,811 | ||||||||
|
|
|
|||||||||
| Total Brazil | 9,347,550 | |||||||||
|
|
|
|||||||||
| Canada — 3.1% | ||||||||||
| 28,900 | Alimentation Couche-Tard, Inc. (a) | 1,648,447 | ||||||||
| 51,800 | B2Gold Corp. (c) | 174,836 | ||||||||
| 47,324 | B2Gold Corp. (c) | 159,955 | ||||||||
| 4,951 | Bank of Montreal | 407,418 | ||||||||
| 25,176 | Bank of Nova Scotia (c) | 1,127,129 | ||||||||
| 19,900 | Bank of Nova Scotia (c) | 890,180 | ||||||||
| 7,426 | Brookfield Asset Management Ltd. – Class A | 260,133 | ||||||||
| 34,837 | Brookfield Corp. – Class A (a) (b) | 1,228,701 | ||||||||
| 1,100 | BRP, Inc. (b) | 67,932 | ||||||||
| 18,970 | Canadian Imperial Bank of Commerce (c) | 783,461 | ||||||||
| 17,600 | Canadian Imperial Bank of Commerce (b) (c) | 727,632 | ||||||||
| 1,200 | Canadian Natural Resources Ltd. | 80,130 | ||||||||
| 14,300 | Canadian Tire Corp. Ltd. – Class A (b) | 1,487,487 | ||||||||
| 6,700 | Canfor Corp. * | 79,248 | ||||||||
| 7,000 | Cascades, Inc. | 63,348 | ||||||||
| 41,500 | Celestica, Inc. * (c) | 1,118,125 | ||||||||
| 26,789 | Celestica, Inc. * (c) | 722,231 | ||||||||
| 743 | CGI, Inc. * (a) | 75,511 | ||||||||
| 15,700 | China Gold International Resources Corp. Ltd. | 64,787 | ||||||||
| 9,700 | CI Financial Corp. | 100,506 | ||||||||
| 2,903 | Cogeco, Inc. (b) | 100,143 | ||||||||
| 2,900 | DREAM Unlimited Corp. – Class A | 43,149 | ||||||||
| 21,900 | Dundee Precious Metals, Inc. | 161,714 | ||||||||
| 300 | Empire Co. Ltd. – Class A | 8,154 | ||||||||
| 600 | EQB, Inc. | 33,782 | ||||||||
| 200 | Fairfax Financial Holdings Ltd. | 183,834 | ||||||||
| 23,100 | Finning International, Inc. | 587,480 | ||||||||
| 25,900 | Great-West Lifeco, Inc. (a) (b) | 827,800 | ||||||||
| 16,600 | iA Financial Corp., Inc. | 1,108,461 | ||||||||
| 4,513 | Imperial Oil Ltd. | 254,262 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Canada — continued | ||||||||||
| 6,200 | Interfor Corp. * | 94,854 | ||||||||
| 6,585 | International Petroleum Corp. * | 70,579 | ||||||||
| 1,100 | Linamar Corp. | 46,701 | ||||||||
| 16,900 | Magna International, Inc. (b) | 911,164 | ||||||||
| 116,800 | Manulife Financial Corp. (a) (c) | 2,287,884 | ||||||||
| 92,987 | Manulife Financial Corp. (a) (c) | 1,821,615 | ||||||||
| 10,300 | Martinrea International, Inc. (b) | 90,935 | ||||||||
| 20,146 | Nutrien Ltd. (c) | 1,077,207 | ||||||||
| 17,500 | Nutrien Ltd. (c) | 936,033 | ||||||||
| 12,100 | Onex Corp. | 818,497 | ||||||||
| 1,578 | Open Text Corp. (a) | 63,341 | ||||||||
| 48,600 | Parex Resources, Inc. (b) | 996,749 | ||||||||
| 38,800 | Power Corp. of Canada | 1,073,687 | ||||||||
| 40,900 | Quebecor, Inc. – Class B (b) | 907,549 | ||||||||
| 7,900 | Resolute Forest Products, Inc. * (d) | 15,800 | ||||||||
| 4,600 | Rogers Sugar, Inc. (b) | 18,306 | ||||||||
| 15,000 | Russel Metals, Inc. | 423,155 | ||||||||
| 5,900 | Sleep Country Canada Holdings, Inc. (b) | 103,047 | ||||||||
| 2,300 | Spin Master Corp. | 55,934 | ||||||||
| 10,800 | Stella-Jones, Inc. (b) | 621,759 | ||||||||
| 24,400 | Sun Life Financial, Inc. (a) (c) | 1,232,092 | ||||||||
| 13,832 | Sun Life Financial, Inc. (a) (c) | 698,516 | ||||||||
| 14,000 | Teck Resources Ltd. – Class B (c) | 527,418 | ||||||||
| 99 | Teck Resources Ltd. – Class B (b) (c) | 3,727 | ||||||||
| 3,422 | Teekay Tankers Ltd. – Class A | 170,039 | ||||||||
| 5,800 | Toronto-Dominion Bank (a) (c) | 353,655 | ||||||||
| 5,044 | Toronto-Dominion Bank (a) (c) | 307,634 | ||||||||
| 1,200 | Wajax Corp. | 23,638 | ||||||||
| 25,300 | West Fraser Timber Co. Ltd. (c) | 1,835,017 | ||||||||
| 4,227 | West Fraser Timber Co. Ltd. (c) | 306,711 | ||||||||
|
|
|
|||||||||
| Total Canada | 32,469,219 | |||||||||
|
|
|
|||||||||
| Chile — 0.1% | ||||||||||
| 178,131 | Cencosud SA | 330,859 | ||||||||
| 37,376 | Cencosud Shopping SA | 59,667 | ||||||||
| 9,747 | Cia Cervecerias Unidas SA | 59,679 | ||||||||
| 1,696,576 | Colbun SA | 268,636 | ||||||||
| 28,340 | Empresas CMPC SA | 54,805 | ||||||||
| 20,391 | Enel Chile SA ADR | 66,271 | ||||||||
| 35,686 | Falabella SA * | 83,333 | ||||||||
| 28,643 | Inversiones La Construccion SA | 184,496 | ||||||||
|
|
|
|||||||||
| Total Chile | 1,107,746 | |||||||||
|
|
|
|||||||||
| China — 3.0% | ||||||||||
| 116,000 | 361 Degrees International Ltd. | 52,196 | ||||||||
| 382,000 | 3SBio, Inc. | 354,793 | ||||||||
| 5,738,000 | Agricultural Bank of China Ltd. – Class H | 2,118,086 | ||||||||
| 103,169 | Alibaba Group Holding Ltd. * | 958,998 | ||||||||
| 30,500 | Anhui Conch Cement Co. Ltd. – Class H | 71,121 | ||||||||
| 449,000 | BAIC Motor Corp. Ltd. – Class H | 136,266 | ||||||||
| 923,000 | Bank of China Ltd. – Class H | 338,177 | ||||||||
| 426,091 | Bank of Communications Co. Ltd. – Class H | 251,150 | ||||||||
| Shares | Description | Value ($) |
||||||||
| China — continued | ||||||||||
| 71,000 | Beijing Enterprises Holdings Ltd. | 235,391 | ||||||||
| 1,716,000 | China Cinda Asset Management Co. Ltd. – Class H | 166,838 | ||||||||
| 254,000 | China Communications Services Corp. Ltd. – Class H | 108,222 | ||||||||
| 168,500 | China Conch Venture Holdings Ltd. (b) | 126,251 | ||||||||
| 6,471,000 | China Construction Bank Corp. – Class H | 3,741,489 | ||||||||
| 116,000 | China Dongxiang Group Co. Ltd. (d) | 3,935 | ||||||||
| 780,000 | China Energy Engineering Corp. Ltd. – Class H | 74,847 | ||||||||
| 519,000 | China Everbright Environment Group Ltd. | 170,660 | ||||||||
| 1,058,000 | China Greenfresh Group Co. Ltd. * (e) | — | ||||||||
| 378,000 | China Lesso Group Holdings Ltd. | 208,442 | ||||||||
| 168,645 | China Medical System Holdings Ltd. | 323,947 | ||||||||
| 204,000 | China Overseas Grand Oceans Group Ltd. | 68,181 | ||||||||
| 227,000 | China Overseas Land & Investment Ltd. | 419,151 | ||||||||
| 3,828,000 | China Petroleum & Chemical Corp. – Class H | 1,964,656 | ||||||||
| 1,912,042 | China Railway Group Ltd. – Class H | 839,215 | ||||||||
| 356,000 | China Reinsurance Group Corp. – Class H | 20,024 | ||||||||
| 387,500 | China Resources Pharmaceutical Group Ltd. | 241,545 | ||||||||
| 19,000 | China Shineway Pharmaceutical Group Ltd. | 16,310 | ||||||||
| 284,000 | China State Construction International Holdings Ltd. | 329,477 | ||||||||
| 1,776,400 | China Zhongwang Holdings Ltd. * (e) | — | ||||||||
| 971,000 | CITIC Ltd. | 913,512 | ||||||||
| 947,000 | COSCO Shipping Holdings Co. Ltd. – Class H | 872,478 | ||||||||
| 671,000 | CRRC Corp. Ltd. – Class H | 270,380 | ||||||||
| 1,158,000 | CSPC Pharmaceutical Group Ltd. | 1,042,895 | ||||||||
| 604,000 | Dongfeng Motor Group Co. Ltd. – Class H | 303,040 | ||||||||
| 35,000 | Fosun International Ltd. | 19,922 | ||||||||
| 219,000 | Fufeng Group Ltd. | 116,293 | ||||||||
| 38,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. – Class H | 104,820 | ||||||||
| 388,400 | Haier Smart Home Co. Ltd. – Class H | 1,123,111 | ||||||||
| 99,750 | Kingboard Holdings Ltd. | 240,142 | ||||||||
| 74,800 | Legend Holdings Corp. – Class H | 64,375 | ||||||||
| 1,944,000 | Lenovo Group Ltd. | 2,399,124 | ||||||||
| 30,281 | Livzon Pharmaceutical Group, Inc. – Class H | 90,574 | ||||||||
| 249,000 | Lonking Holdings Ltd. | 37,872 | ||||||||
| 593,000 | Metallurgical Corp. of China Ltd. – Class H | 112,429 | ||||||||
| 23,500 | NetDragon Websoft Holdings Ltd. | 40,442 | ||||||||
| 52,500 | Orient Overseas International Ltd. | 631,242 | ||||||||
| 226,000 | People’s Insurance Co. Group of China Ltd. – Class H | 73,208 | ||||||||
| 2,812,000 | PetroChina Co. Ltd. – Class H | 1,840,099 | ||||||||
| 1,806,000 | PICC Property & Casualty Co. Ltd. – Class H | 2,097,930 | ||||||||
| 271,000 | Ping An Insurance Group Co. of China Ltd. – Class H | 1,242,982 | ||||||||
| 245,000 | Poly Property Group Co. Ltd. | 50,418 | ||||||||
| 177,700 | Shanghai Pharmaceuticals Holding Co. Ltd. – Class H | 257,596 | ||||||||
| 147,500 | Sinopec Engineering Group Co. Ltd. – Class H | 76,214 | ||||||||
| 446,000 | Sinopharm Group Co. Ltd. – Class H | 1,105,302 | ||||||||
| 277,500 | Sinotruk Hong Kong Ltd. | 575,656 | ||||||||
| 350,000 | Skyworth Group Ltd. | 137,549 | ||||||||
| 58,000 | SSY Group Ltd. | 35,842 | ||||||||
| 151,000 | TCL Electronics Holdings Ltd. * | 50,931 | ||||||||
| 43,923 | Tencent Holdings Ltd. | 1,829,795 | ||||||||
| 28,000 | Tianjin Port Development Holdings Ltd. | 1,684 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| China — continued | ||||||||||
| 14,000 | Tianneng Power International Ltd. (b) | 11,503 | ||||||||
| 118,000 | Yadea Group Holdings Ltd. | 221,892 | ||||||||
|
|
|
|||||||||
| Total China | 31,330,620 | |||||||||
|
|
|
|||||||||
| Colombia — 0.0% | ||||||||||
| 17,777 | Ecopetrol SA Sponsored ADR | 224,168 | ||||||||
|
|
|
|||||||||
| Czech Republic — 0.0% | ||||||||||
| 55,773 | Moneta Money Bank AS | 218,066 | ||||||||
| 212 | Philip Morris CR AS | 149,292 | ||||||||
|
|
|
|||||||||
| Total Czech Republic | 367,358 | |||||||||
|
|
|
|||||||||
| Denmark — 0.8% | ||||||||||
| 572 | AP Moller – Maersk AS – Class A (a) | 887,360 | ||||||||
| 1,115 | AP Moller – Maersk AS – Class B (a) | 1,760,592 | ||||||||
| 66,076 | Danske Bank AS | 1,711,992 | ||||||||
| 822 | Genmab AS * | 258,532 | ||||||||
| 44,805 | H Lundbeck AS | 213,875 | ||||||||
| 857 | Matas AS | 13,181 | ||||||||
| 16,506 | Pandora AS | 2,228,272 | ||||||||
| 2,749 | ROCKWOOL AS – B Shares | 743,261 | ||||||||
| 2,359 | Scandinavian Tobacco Group AS | 41,743 | ||||||||
|
|
|
|||||||||
| Total Denmark | 7,858,808 | |||||||||
|
|
|
|||||||||
| Egypt — 0.1% | ||||||||||
| 19,325 | Abou Kir Fertilizers & Chemical Industries | 49,641 | ||||||||
| 99,104 | Commercial International Bank - Egypt (CIB) | 247,606 | ||||||||
| 249,818 | Eastern Co. SAE | 209,084 | ||||||||
| 12,275 | Misr Fertilizers Production Co. SAE | 219,911 | ||||||||
|
|
|
|||||||||
| Total Egypt | 726,242 | |||||||||
|
|
|
|||||||||
| Finland — 0.5% | ||||||||||
| 7,978 | Kemira OYJ | 134,197 | ||||||||
| 27,156 | Neste OYJ | 1,034,717 | ||||||||
| 632,349 | Nokia OYJ | 2,217,875 | ||||||||
| 83,157 | Outokumpu OYJ | 391,834 | ||||||||
| 92,266 | Stora Enso OYJ – R Shares | 1,198,866 | ||||||||
| 3,075 | TietoEVRY OYJ (a) | 67,510 | ||||||||
| 12,522 | Valmet OYJ | 334,220 | ||||||||
|
|
|
|||||||||
| Total Finland | 5,379,219 | |||||||||
|
|
|
|||||||||
| France — 3.6% | ||||||||||
| 13,785 | ALD SA | 94,963 | ||||||||
| 2,365 | Amundi SA | 145,783 | ||||||||
| 8,819 | APERAM SA | 293,789 | ||||||||
| 64,417 | ArcelorMittal SA | 1,619,512 | ||||||||
| 4,887 | Arkema SA | 497,288 | ||||||||
| 19,345 | AXA SA (a) | 603,185 | ||||||||
| 261 | Axway Software SA (a) | 6,812 | ||||||||
| 3,117 | Beneteau SACA | 38,161 | ||||||||
| 40,295 | BNP Paribas SA | 2,533,226 | ||||||||
| Shares | Description | Value ($) |
||||||||
| France — continued | ||||||||||
| 599 | Boiron SA | 26,827 | ||||||||
| 50,036 | Cie de Saint-Gobain SA (a) | 3,262,143 | ||||||||
| 11,059 | Cie Generale des Etablissements Michelin SCA | 371,874 | ||||||||
| 31,605 | Coface SA | 384,474 | ||||||||
| 16,937 | Credit Agricole SA | 221,969 | ||||||||
| 8,028 | Derichebourg SA | 41,815 | ||||||||
| 9,622 | Etablissements Maurel et Prom SA | 67,680 | ||||||||
| 52 | HEXAOM SA * | 1,109 | ||||||||
| 12,649 | Ipsen SA | 1,426,121 | ||||||||
| 2,772 | IPSOS SA | 149,434 | ||||||||
| 1,637 | LVMH Moet Hennessy Louis Vuitton SE (a) | 1,252,762 | ||||||||
| 3,149 | Metropole Television SA | 42,990 | ||||||||
| 85,774 | Orange SA (a) | 1,056,814 | ||||||||
| 18,356 | Publicis Groupe SA | 1,551,208 | ||||||||
| 6,843 | Quadient SA | 138,760 | ||||||||
| 45,127 | Renault SA | 1,773,437 | ||||||||
| 20,355 | Rexel SA | 491,204 | ||||||||
| 10,564 | Rubis SCA (a) | 256,827 | ||||||||
| 11,874 | Safran SA (a) | 2,087,772 | ||||||||
| 32,530 | Sanofi SA (a) | 3,033,908 | ||||||||
| 741 | SEB SA | 84,480 | ||||||||
| 2,418 | Societe BIC SA | 162,714 | ||||||||
| 103,709 | Societe Generale SA | 2,610,001 | ||||||||
| 50,664 | STMicroelectronics NV - NY Shares | 2,403,500 | ||||||||
| 28,384 | Technip Energies NV | 662,081 | ||||||||
| 30,901 | Television Francaise 1 SA | 238,001 | ||||||||
| 100,606 | TotalEnergies SE (a) | 6,857,229 | ||||||||
| 12,681 | Valeo SE | 184,133 | ||||||||
| 121,670 | Vivendi SE | 1,151,599 | ||||||||
|
|
|
|||||||||
| Total France | 37,825,585 | |||||||||
|
|
|
|||||||||
| Germany — 1.1% | ||||||||||
| 4,034 | 1&1 AG | 73,757 | ||||||||
| 565 | Allianz SE (Registered) (a) | 142,065 | ||||||||
| 109 | Amadeus Fire AG | 14,373 | ||||||||
| 18,474 | Bayerische Motoren Werke AG | 1,927,621 | ||||||||
| 9,737 | Beiersdorf AG (a) | 1,364,882 | ||||||||
| 7,184 | Commerzbank AG | 87,933 | ||||||||
| 6,552 | Continental AG | 508,481 | ||||||||
| 10,651 | Deutsche Pfandbriefbank AG | 65,648 | ||||||||
| 20,198 | Deutz AG | 95,641 | ||||||||
| 141 | Draegerwerk AG & Co. KGaA | 6,871 | ||||||||
| 4,242 | Freenet AG | 119,030 | ||||||||
| 33,767 | Fresenius SE & Co. KGaA (a) | 1,072,266 | ||||||||
| 1,621 | Hamburger Hafen und Logistik AG | 28,739 | ||||||||
| 1,750 | Heidelberg Materials AG | 142,852 | ||||||||
| 3,876 | Henkel AG & Co. KGaA | 270,826 | ||||||||
| 427 | Hornbach Holding AG & Co. KGaA | 27,600 | ||||||||
| 23,116 | Kloeckner & Co. SE | 157,491 | ||||||||
| 274 | Krones AG | 30,959 | ||||||||
| 55,954 | Mercedes-Benz Group AG (a) | 3,638,092 | ||||||||
| 45,615 | ProSiebenSat.1 Media SE | 287,483 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Germany — continued | ||||||||||
| 969 | RTL Group SA | 34,910 | ||||||||
| 3,875 | SAF-Holland SE | 62,522 | ||||||||
| 3,939 | Salzgitter AG | 116,838 | ||||||||
| 13,358 | Talanx AG | 969,457 | ||||||||
| 1,356 | Volkswagen AG | 175,963 | ||||||||
|
|
|
|||||||||
| Total Germany | 11,422,300 | |||||||||
|
|
|
|||||||||
| Greece — 0.1% | ||||||||||
| 12,055 | FF Group * (e) | — | ||||||||
| 14,100 | JUMBO SA | 369,356 | ||||||||
| 15,172 | Mytilineos SA | 607,317 | ||||||||
| 14,160 | National Bank of Greece SA * | 97,052 | ||||||||
|
|
|
|||||||||
| Total Greece | 1,073,725 | |||||||||
|
|
|
|||||||||
| Hong Kong — 0.7% | ||||||||||
| 101,600 | ASMPT Ltd. | 1,040,240 | ||||||||
| 26,600 | Bank of East Asia Ltd. | 32,240 | ||||||||
| 45,000 | BOC Hong Kong Holdings Ltd. | 120,317 | ||||||||
| 29,000 | Chow Sang Sang Holdings International Ltd. | 32,641 | ||||||||
| 234,000 | CITIC Telecom International Holdings Ltd. | 89,686 | ||||||||
| 107,000 | CK Asset Holdings Ltd. | 506,686 | ||||||||
| 148,000 | CK Hutchison Holdings Ltd. | 742,519 | ||||||||
| 22,400 | Dah Sing Financial Holdings Ltd. | 46,199 | ||||||||
| 108,000 | E-Commodities Holdings Ltd. | 19,742 | ||||||||
| 164,000 | First Pacific Co. Ltd. | 65,041 | ||||||||
| 137,693 | Galaxy Entertainment Group Ltd. | 712,298 | ||||||||
| 104,000 | Giordano International Ltd. | 35,538 | ||||||||
| 34,500 | Health & Happiness H&H International Holdings Ltd. | 48,127 | ||||||||
| 14,000 | Henderson Land Development Co. Ltd. | 38,001 | ||||||||
| 233,000 | HKT Trust & HKT Ltd. – Class SS | 248,549 | ||||||||
| 206,000 | IGG, Inc. * | 87,258 | ||||||||
| 66,500 | Johnson Electric Holdings Ltd. | 102,898 | ||||||||
| 50,000 | K Wah International Holdings Ltd. | 11,838 | ||||||||
| 9,500 | Kerry Logistics Network Ltd. | 8,325 | ||||||||
| 68,500 | Kerry Properties Ltd. | 115,320 | ||||||||
| 31,800 | Luk Fook Holdings International Ltd. | 88,718 | ||||||||
| 140,000 | Pacific Basin Shipping Ltd. | 42,480 | ||||||||
| 133,000 | Pacific Textiles Holdings Ltd. | 24,769 | ||||||||
| 58,000 | Shun Tak Holdings Ltd. * | 7,791 | ||||||||
| 72,000 | SITC International Holdings Co. Ltd. | 108,724 | ||||||||
| 32,500 | SmarTone Telecommunications Holdings Ltd. | 15,819 | ||||||||
| 94,000 | Sun Hung Kai Properties Ltd. (a) | 921,639 | ||||||||
| 104,500 | Swire Pacific Ltd. – Class A | 677,237 | ||||||||
| 13,800 | Swire Properties Ltd. | 26,799 | ||||||||
| 49,500 | Texhong International Group Ltd. * | 33,422 | ||||||||
| 46,000 | Texwinca Holdings Ltd. | 5,951 | ||||||||
| 200,000 | VSTECS Holdings Ltd. | 98,519 | ||||||||
| 29,000 | VTech Holdings Ltd. | 171,017 | ||||||||
| 1,641,000 | WH Group Ltd. | 1,053,974 | ||||||||
| 36,000 | Xinyi Glass Holdings Ltd. | 41,402 | ||||||||
| 71,000 | Yue Yuen Industrial Holdings Ltd. | 81,403 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 7,503,127 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| Hungary — 0.3% | ||||||||||
| 31,489 | MOL Hungarian Oil & Gas PLC | 250,779 | ||||||||
| 67,836 | OTP Bank Nyrt | 2,822,649 | ||||||||
| 19,934 | Richter Gedeon Nyrt | 502,555 | ||||||||
|
|
|
|||||||||
| Total Hungary | 3,575,983 | |||||||||
|
|
|
|||||||||
| India — 3.2% | ||||||||||
| 42,762 | Arvind Ltd. | 115,847 | ||||||||
| 52,374 | Aurobindo Pharma Ltd. | 655,921 | ||||||||
| 385 | Bajaj Auto Ltd. | 28,122 | ||||||||
| 7,274 | Bandhan Bank Ltd. | 19,871 | ||||||||
| 56,380 | Bharat Petroleum Corp. Ltd. | 295,904 | ||||||||
| 7,737 | Chambal Fertilisers & Chemicals Ltd. | 29,526 | ||||||||
| 23,945 | Chennai Petroleum Corp. Ltd. | 193,070 | ||||||||
| 7,867 | Cochin Shipyard Ltd. | 113,774 | ||||||||
| 2,218 | Colgate-Palmolive India Ltd. | 58,201 | ||||||||
| 3,518 | Coromandel International Ltd. | 49,249 | ||||||||
| 191 | Cummins India Ltd. | 4,351 | ||||||||
| 2,077 | Deepak Fertilisers & Petrochemicals Corp. Ltd. | 15,673 | ||||||||
| 9,928 | Dhampur Bio Organics Ltd. | 19,846 | ||||||||
| 16,739 | Dr Reddy’s Laboratories Ltd. ADR | 1,170,056 | ||||||||
| 9,141 | Dr Reddy’s Laboratories Ltd. | 634,690 | ||||||||
| 25,437 | Engineers India Ltd. | 44,992 | ||||||||
| 80,627 | Exide Industries Ltd. | 275,699 | ||||||||
| 1,185,365 | GAIL India Ltd. | 1,876,299 | ||||||||
| 4,013 | GHCL Ltd. | 26,521 | ||||||||
| 41,167 | Glenmark Pharmaceuticals Ltd. | 386,177 | ||||||||
| 8,607 | Great Eastern Shipping Co. Ltd. | 90,645 | ||||||||
| 4,085 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd. | 33,666 | ||||||||
| 174,133 | Gujarat State Fertilizers & Chemicals Ltd. | 403,921 | ||||||||
| 59,641 | HCL Technologies Ltd. | 960,385 | ||||||||
| 5,524 | Hero MotoCorp Ltd. | 253,108 | ||||||||
| 233,669 | Hindalco Industries Ltd. | 1,450,111 | ||||||||
| 2 | Hindustan Aeronautics Ltd. | 57 | ||||||||
| 106,704 | Hindustan Petroleum Corp. Ltd. * | 445,091 | ||||||||
| 17,007 | Hindustan Zinc Ltd. | 61,162 | ||||||||
| 265,006 | Indiabulls Housing Finance Ltd. | 646,095 | ||||||||
| 543,077 | Indian Oil Corp. Ltd. | 730,728 | ||||||||
| 23,548 | IndusInd Bank Ltd. | 415,166 | ||||||||
| 37,696 | Infosys Ltd. (b) | 658,823 | ||||||||
| 84,119 | IRCON International Ltd. | 169,596 | ||||||||
| 905,370 | ITC Ltd. | 4,743,233 | ||||||||
| 83,713 | Karnataka Bank Ltd. | 220,078 | ||||||||
| 4,676 | L&T Finance Holdings Ltd. | 8,323 | ||||||||
| 28,901 | Mahindra & Mahindra Ltd. | 570,598 | ||||||||
| 259,113 | Manappuram Finance Ltd. | 518,157 | ||||||||
| 5,912 | Muthoot Finance Ltd. | 104,476 | ||||||||
| 150,333 | National Aluminium Co. Ltd. | 166,845 | ||||||||
| 26,883 | NCC Ltd. | 53,964 | ||||||||
| 473,550 | NMDC Ltd. | 1,035,137 | ||||||||
| 98,308 | NMDC Steel Ltd. * | 52,699 | ||||||||
| 159,519 | NTPC Ltd. | 499,713 | ||||||||
| 2,161,530 | Oil & Natural Gas Corp. Ltd. | 5,042,041 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| India — continued | ||||||||||
| 45,884 | Oil India Ltd. | 168,151 | ||||||||
| 869 | Oracle Financial Services Software Ltd. | 42,236 | ||||||||
| 104,646 | Petronet LNG Ltd. | 255,312 | ||||||||
| 627,361 | Power Finance Corp. Ltd. | 2,544,662 | ||||||||
| 255,389 | Power Grid Corp. of India Ltd. | 642,214 | ||||||||
| 24,064 | Rashtriya Chemicals & Fertilizers Ltd. | 37,166 | ||||||||
| 600,014 | REC Ltd. | 2,519,132 | ||||||||
| 15,914 | Redington Ltd. | 30,753 | ||||||||
| 7,558 | Reliance Industries Ltd. | 215,861 | ||||||||
| 6,490 | RITES Ltd. | 36,553 | ||||||||
| 5,004 | Shriram Finance Ltd. | 120,207 | ||||||||
| 27,766 | Sun TV Network Ltd. | 225,086 | ||||||||
| 4,576 | Tata Consultancy Services Ltd. | 191,756 | ||||||||
| 380,535 | Tata Steel Ltd. | 584,790 | ||||||||
| 16,956 | Vardhman Textiles Ltd. | 82,216 | ||||||||
| 54 | Vedanta Ltd. | 151 | ||||||||
| 8,866 | Welspun Corp. Ltd. | 56,552 | ||||||||
| 19,472 | Wipro Ltd. | 96,140 | ||||||||
| 63,575 | Zydus Lifesciences Ltd. | 485,182 | ||||||||
|
|
|
|||||||||
| Total India | 33,681,727 | |||||||||
|
|
|
|||||||||
| Indonesia — 0.5% | ||||||||||
| 1,214,400 | AKR Corporindo Tbk. PT | 112,331 | ||||||||
| 845,600 | Aneka Tambang Tbk. PT | 94,935 | ||||||||
| 3,246,300 | Bank Central Asia Tbk. PT | 1,878,904 | ||||||||
| 1,495,492 | Bank Mandiri Persero Tbk. PT | 563,906 | ||||||||
| 1,904,500 | Bank Negara Indonesia Persero Tbk. PT | 647,983 | ||||||||
| 2,588,500 | Bank Pembangunan Daerah Jawa Timur Tbk. PT | 103,497 | ||||||||
| 3,964,700 | Bank Rakyat Indonesia Persero Tbk. PT | 1,349,284 | ||||||||
| 530,200 | Indofood Sukses Makmur Tbk. PT | 219,731 | ||||||||
| 2,482,700 | Kalbe Farma Tbk. PT | 258,809 | ||||||||
| 296,100 | Medco Energi Internasional Tbk. PT | 21,977 | ||||||||
| 2,116,700 | Media Nusantara Citra Tbk. PT | 53,780 | ||||||||
| 307,500 | Vale Indonesia Tbk. PT | 89,217 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 5,394,354 | |||||||||
|
|
|
|||||||||
| Ireland — 0.4% | ||||||||||
| 9,210 | AIB Group PLC | 42,703 | ||||||||
| 131,237 | Bank of Ireland Group PLC | 1,228,744 | ||||||||
| 247 | CRH PLC | 15,499 | ||||||||
| 11,594 | Glanbia PLC | 196,089 | ||||||||
| 1,187 | Kingspan Group PLC | 94,325 | ||||||||
| 15,644 | Origin Enterprises PLC | 58,989 | ||||||||
| 9,611 | Permanent TSB Group Holdings PLC * (b) | 17,484 | ||||||||
| 16,307 | Ryanair Holdings PLC Sponsored ADR * (a) | 1,927,813 | ||||||||
| 6,144 | Smurfit Kappa Group PLC | 233,424 | ||||||||
|
|
|
|||||||||
| Total Ireland | 3,815,070 | |||||||||
|
|
|
|||||||||
| Israel — 0.2% | ||||||||||
| 1,265 | Check Point Software Technologies Ltd. * | 184,690 | ||||||||
| 14,349 | Israel Discount Bank Ltd. | 69,095 | ||||||||
| 189,590 | Oil Refineries Ltd. | 59,524 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Israel — continued | ||||||||||
| 165,139 | Teva Pharmaceutical Industries Ltd. Sponsored ADR * | 1,621,665 | ||||||||
| 14,260 | Teva Pharmaceutical Industries Ltd. * | 139,732 | ||||||||
|
|
|
|||||||||
| Total Israel | 2,074,706 | |||||||||
|
|
|
|||||||||
| Italy — 1.6% | ||||||||||
| 38,827 | Anima Holding SpA | 164,004 | ||||||||
| 4,374 | Azimut Holding SpA | 106,376 | ||||||||
| 16,819 | Banca IFIS SpA | 287,910 | ||||||||
| 330,151 | Banco BPM SpA | 1,828,973 | ||||||||
| 176,642 | BPER Banca | 660,947 | ||||||||
| 17,700 | Credito Emiliano SpA | 157,405 | ||||||||
| 184,419 | Eni SpA | 3,058,127 | ||||||||
| 900 | Eni SpA Sponsored ADR | 29,826 | ||||||||
| 6,234 | Esprinet SpA (b) | 32,841 | ||||||||
| 97,322 | Intesa Sanpaolo SpA (b) | 280,540 | ||||||||
| 121,891 | Leonardo SpA | 1,870,653 | ||||||||
| 14,483 | MFE-MediaForEurope NV – Class A | 35,136 | ||||||||
| 51,215 | Poste Italiane SpA (b) | 551,988 | ||||||||
| 213,623 | Stellantis NV | 4,642,966 | ||||||||
| 2,698,798 | Telecom Italia SpA * (b) | 784,392 | ||||||||
| 6,151 | Tenaris SA ADR | 213,255 | ||||||||
| 28,947 | UniCredit SpA | 789,524 | ||||||||
| 1,495 | Unieuro SpA (b) | 14,831 | ||||||||
| 239,512 | Unipol Gruppo SpA | 1,373,914 | ||||||||
|
|
|
|||||||||
| Total Italy | 16,883,608 | |||||||||
|
|
|
|||||||||
| Japan — 14.5% | ||||||||||
| 5,100 | Aichi Corp. | 32,181 | ||||||||
| 55,300 | Amano Corp. | 1,173,270 | ||||||||
| 3,400 | AOKI Holdings, Inc. | 27,206 | ||||||||
| 3,600 | Bando Chemical Industries Ltd. | 38,049 | ||||||||
| 24,700 | Bridgestone Corp. (a) | 1,019,512 | ||||||||
| 28,000 | Brother Industries Ltd. | 472,743 | ||||||||
| 4,400 | Canon Marketing Japan, Inc. | 111,108 | ||||||||
| 15,800 | Canon, Inc. | 407,080 | ||||||||
| 2,900 | Central Glass Co. Ltd. | 53,389 | ||||||||
| 1,300 | Chiyoda Integre Co. Ltd. | 26,710 | ||||||||
| 14,200 | Citizen Watch Co. Ltd. | 83,476 | ||||||||
| 2,100 | Cosmo Energy Holdings Co. Ltd. | 79,804 | ||||||||
| 141,500 | Credit Saison Co. Ltd. | 2,386,737 | ||||||||
| 1,100 | Dai Nippon Toryo Co. Ltd. | 7,300 | ||||||||
| 39,000 | Daicel Corp. | 374,866 | ||||||||
| 3,000 | Dai-Dan Co. Ltd. | 29,993 | ||||||||
| 5,400 | Daido Steel Co. Ltd. | 250,051 | ||||||||
| 3,900 | Daiichi Jitsugyo Co. Ltd. | 50,508 | ||||||||
| 34,900 | Daiwa House Industry Co. Ltd. | 991,663 | ||||||||
| 133,400 | Daiwabo Holdings Co. Ltd. | 2,624,085 | ||||||||
| 141,800 | Denka Co. Ltd. | 2,537,763 | ||||||||
| 1,600 | DTS Corp. (a) | 38,074 | ||||||||
| 13,100 | ENEOS Holdings, Inc. | 51,561 | ||||||||
| 58,200 | EXEO Group, Inc. | 1,224,975 | ||||||||
| 142,600 | Fuji Corp. | 2,417,831 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 2,700 | Fuji Media Holdings, Inc. | 27,838 | ||||||||
| 43,200 | FUJIFILM Holdings Corp. | 2,529,811 | ||||||||
| 108,100 | Fujikura Ltd. | 833,158 | ||||||||
| 900 | Fujitsu Ltd. (a) | 128,147 | ||||||||
| 900 | Fuyo General Lease Co. Ltd. | 73,237 | ||||||||
| 177,800 | H.U. Group Holdings, Inc. | 3,094,430 | ||||||||
| 4,200 | Hanwa Co. Ltd. | 129,722 | ||||||||
| 26,800 | Haseko Corp. | 330,038 | ||||||||
| 14,400 | Hazama Ando Corp. | 106,430 | ||||||||
| 11,000 | Hitachi Construction Machinery Co. Ltd. | 286,792 | ||||||||
| 52,100 | Hogy Medical Co. Ltd. | 1,206,551 | ||||||||
| 162,900 | Honda Motor Co. Ltd. (a) | 1,666,294 | ||||||||
| 37,552 | Honda Motor Co. Ltd. Sponsored ADR | 1,151,344 | ||||||||
| 4,100 | Horiba Ltd. | 276,294 | ||||||||
| 9,000 | Hosiden Corp. | 110,016 | ||||||||
| 18,200 | Idemitsu Kosan Co. Ltd. | 496,464 | ||||||||
| 12,300 | Inabata & Co. Ltd. | 263,362 | ||||||||
| 299,900 | Inpex Corp. | 4,137,548 | ||||||||
| 215,500 | Isuzu Motors Ltd. | 2,860,806 | ||||||||
| 106,600 | ITOCHU Corp. (a) | 4,144,332 | ||||||||
| 2,000 | Itochu Enex Co. Ltd. | 20,643 | ||||||||
| 500 | Itochu-Shokuhin Co. Ltd. | 24,179 | ||||||||
| 5,000 | Itoki Corp. | 44,794 | ||||||||
| 4,500 | Jaccs Co. Ltd. | 163,376 | ||||||||
| 13,200 | Japan Petroleum Exploration Co. Ltd. | 504,495 | ||||||||
| 124,200 | Japan Tobacco, Inc. (a) | 3,193,771 | ||||||||
| 6,300 | Kaga Electronics Co. Ltd. | 282,643 | ||||||||
| 48,600 | Kajima Corp. | 768,310 | ||||||||
| 3,500 | Kamei Corp. | 40,391 | ||||||||
| 10,500 | Kandenko Co. Ltd. | 94,469 | ||||||||
| 193,200 | Kanematsu Corp. (b) | 2,684,831 | ||||||||
| 50,200 | Kawasaki Kisen Kaisha Ltd. | 1,765,523 | ||||||||
| 49,900 | KDDI Corp. (a) | 1,558,779 | ||||||||
| 154,300 | Kirin Holdings Co. Ltd. | 2,181,267 | ||||||||
| 1,500 | Kohnan Shoji Co. Ltd. | 37,453 | ||||||||
| 3,800 | Kokuyo Co. Ltd. | 59,199 | ||||||||
| 24,700 | Komatsu Ltd. | 631,803 | ||||||||
| 61,000 | Konoike Transport Co. Ltd. | 813,024 | ||||||||
| 3,000 | Kyokuto Kaihatsu Kogyo Co. Ltd. | 38,565 | ||||||||
| 51,300 | Kyudenko Corp. | 1,618,641 | ||||||||
| 2,500 | Life Corp. | 57,486 | ||||||||
| 278,600 | Macromill, Inc. | 1,492,799 | ||||||||
| 136,700 | Mandom Corp. | 1,178,298 | ||||||||
| 50,700 | Marubeni Corp. (a) | 792,334 | ||||||||
| 80,500 | Maruichi Steel Tube Ltd. | 2,082,198 | ||||||||
| 1,000 | Maruzen Showa Unyu Co. Ltd. | 25,281 | ||||||||
| 1,300 | Matsuda Sangyo Co. Ltd. | 22,471 | ||||||||
| 95,200 | Maxell Ltd. (b) | 1,066,618 | ||||||||
| 100,000 | Mazda Motor Corp. | 1,076,762 | ||||||||
| 1,100 | Melco Holdings, Inc. | 25,664 | ||||||||
| 25,400 | Mirarth Holdings, Inc. | 80,066 | ||||||||
| 5,900 | Mitsubishi Corp. (a) | 275,107 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 255,600 | Mitsubishi Electric Corp. (a) | 3,462,346 | ||||||||
| 2,000 | Mitsubishi Gas Chemical Co., Inc. | 31,656 | ||||||||
| 28,000 | Mitsubishi HC Capital, Inc. | 182,645 | ||||||||
| 1,800 | Mitsubishi Research Institute, Inc. (a) | 58,453 | ||||||||
| 395,400 | Mitsubishi UFJ Financial Group, Inc. (a) (b) | 3,369,072 | ||||||||
| 53,300 | Mitsui & Co. Ltd. (a) | 1,943,691 | ||||||||
| 3,100 | Mitsui DM Sugar Holdings Co. Ltd. | 63,272 | ||||||||
| 83,700 | Mitsui OSK Lines Ltd. | 2,301,393 | ||||||||
| 2,500 | Mitsui-Soko Holdings Co. Ltd. | 81,732 | ||||||||
| 1,200 | MIXI, Inc. (b) | 19,597 | ||||||||
| 34,500 | Mizuho Financial Group, Inc. | 585,454 | ||||||||
| 3,000 | Mizuho Leasing Co. Ltd. | 100,884 | ||||||||
| 43,700 | Morinaga & Co. Ltd. | 1,557,697 | ||||||||
| 26,600 | MS&AD Insurance Group Holdings, Inc. | 1,001,527 | ||||||||
| 52,100 | NEC Corp. (a) | 2,903,839 | ||||||||
| 87,100 | NH Foods Ltd. | 2,589,799 | ||||||||
| 6,900 | Nichias Corp. | 147,326 | ||||||||
| 2,200 | Nichiha Corp. | 41,382 | ||||||||
| 5,200 | Nichireki Co. Ltd. | 80,401 | ||||||||
| 2,000 | Nippon Densetsu Kogyo Co. Ltd. | 27,438 | ||||||||
| 3,300 | Nippon Soda Co. Ltd. | 119,113 | ||||||||
| 6,600 | Nippon Steel Corp. | 154,545 | ||||||||
| 2,400 | Nippon Television Holdings, Inc. | 23,392 | ||||||||
| 124,900 | Nippon Yusen KK (a) | 3,364,096 | ||||||||
| 900 | Nisshin Oillio Group Ltd. | 25,516 | ||||||||
| 1,500 | Nissin Corp. | 25,463 | ||||||||
| 1,200 | Niterra Co. Ltd. | 27,908 | ||||||||
| 600 | Nittetsu Mining Co. Ltd. (b) | 22,957 | ||||||||
| 1,700 | Nitto Denko Corp. | 120,811 | ||||||||
| 9,100 | Nojima Corp. | 85,823 | ||||||||
| 1,600 | Noritake Co. Ltd. | 75,085 | ||||||||
| 3,800 | Okamura Corp. | 54,908 | ||||||||
| 41,900 | Ono Pharmaceutical Co. Ltd. | 771,966 | ||||||||
| 36,000 | ORIX Corp. | 657,685 | ||||||||
| 100 | Osaka Soda Co. Ltd. (b) | 6,587 | ||||||||
| 1,700 | Otsuka Corp. (a) | 69,261 | ||||||||
| 26,100 | Otsuka Holdings Co. Ltd. | 1,006,818 | ||||||||
| 171,500 | Pacific Industrial Co. Ltd. (b) | 1,623,361 | ||||||||
| 14,400 | PAL GROUP Holdings Co. Ltd. | 227,175 | ||||||||
| 182,300 | Panasonic Holdings Corp. (a) | 1,878,438 | ||||||||
| 204,700 | Penta-Ocean Construction Co. Ltd. | 1,123,861 | ||||||||
| 2,200 | Prima Meat Packers Ltd. | 33,505 | ||||||||
| 26,500 | Renesas Electronics Corp. * | 461,867 | ||||||||
| 500 | Restar Holdings Corp. | 9,068 | ||||||||
| 99,300 | Rohm Co. Ltd. | 1,897,289 | ||||||||
| 800 | Roland DG Corp. | 19,579 | ||||||||
| 29,600 | San-A Co. Ltd. | 918,656 | ||||||||
| 2,900 | Sangetsu Corp. | 56,224 | ||||||||
| 8,800 | Sanki Engineering Co. Ltd. | 104,010 | ||||||||
| 1,700 | Sankyo Co. Ltd. | 73,386 | ||||||||
| 63,300 | Sankyu, Inc. | 2,159,237 | ||||||||
| 21,000 | Sanwa Holdings Corp. | 301,802 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 14,000 | Secom Co. Ltd. (a) | 973,143 | ||||||||
| 32,500 | Seiko Epson Corp. | 482,713 | ||||||||
| 20,500 | Sekisui Chemical Co. Ltd. | 291,353 | ||||||||
| 127,700 | Sekisui House Ltd. | 2,614,705 | ||||||||
| 2,900 | Sekisui Jushi Corp. | 49,200 | ||||||||
| 5,800 | Shimamura Co. Ltd. | 648,273 | ||||||||
| 34,500 | Shionogi & Co. Ltd. | 1,626,728 | ||||||||
| 800 | Sinanen Holdings Co. Ltd. | 21,942 | ||||||||
| 1,500 | Sinko Industries Ltd. | 25,121 | ||||||||
| 5,700 | SKY Perfect JSAT Holdings, Inc. | 26,132 | ||||||||
| 92,760 | Sojitz Corp. | 2,068,923 | ||||||||
| 3,300 | Sompo Holdings, Inc. | 151,382 | ||||||||
| 136,800 | Stanley Electric Co. Ltd. | 2,530,505 | ||||||||
| 63,500 | Subaru Corp. | 1,132,794 | ||||||||
| 192,800 | SUMCO Corp. | 2,884,645 | ||||||||
| 81,400 | Sumitomo Corp. (a) | 1,706,660 | ||||||||
| 2,400 | Sumitomo Electric Industries Ltd. | 29,805 | ||||||||
| 84,400 | Sumitomo Forestry Co. Ltd. | 2,166,571 | ||||||||
| 4,100 | Sumitomo Heavy Industries Ltd. | 98,133 | ||||||||
| 52,400 | Sumitomo Mitsui Financial Group, Inc. (b) | 2,577,946 | ||||||||
| 57,000 | Sumitomo Mitsui Trust Holdings, Inc. | 2,145,228 | ||||||||
| 166,700 | T&D Holdings, Inc. | 2,480,351 | ||||||||
| 200 | Takasago Thermal Engineering Co. Ltd. | 4,059 | ||||||||
| 2,700 | Tamron Co. Ltd. | 80,549 | ||||||||
| 1,500 | TBS Holdings, Inc. | 27,866 | ||||||||
| 17,800 | TDK Corp. | 828,290 | ||||||||
| 142,100 | THK Co. Ltd. | 2,845,062 | ||||||||
| 3,400 | Toho Holdings Co. Ltd. (b) | 74,183 | ||||||||
| 202,700 | Tokai Carbon Co. Ltd. | 1,501,668 | ||||||||
| 244,300 | Tokyo Electric Power Co. Holdings, Inc. * (a) | 1,043,495 | ||||||||
| 78,100 | Tokyo Gas Co. Ltd. (a) | 1,810,759 | ||||||||
| 20,300 | Tokyo Seimitsu Co. Ltd. | 1,175,067 | ||||||||
| 6,000 | TOPPAN Holdings, Inc. (a) | 140,504 | ||||||||
| 145,200 | Tosei Corp. (b) | 1,770,499 | ||||||||
| 63,700 | Tosoh Corp. | 847,451 | ||||||||
| 2,300 | Toyo Construction Co. Ltd. | 20,677 | ||||||||
| 15,600 | Toyota Industries Corp. (a) | 1,341,683 | ||||||||
| 35,400 | Toyota Tsusho Corp. | 1,961,700 | ||||||||
| 1,400 | TV Asahi Holdings Corp. | 15,864 | ||||||||
| 4,100 | Wacoal Holdings Corp. | 90,382 | ||||||||
| 7,100 | YAMABIKO Corp. | 71,513 | ||||||||
| 134,600 | Yamaha Motor Co. Ltd. | 3,450,528 | ||||||||
| 1,700 | Yamato Kogyo Co. Ltd. | 85,866 | ||||||||
| 5,300 | Yamazen Corp. | 43,050 | ||||||||
| 2,800 | Yellow Hat Ltd. | 33,643 | ||||||||
| 54,700 | Yokogawa Bridge Holdings Corp. | 1,008,299 | ||||||||
| 2,900 | Yuasa Trading Co. Ltd. | 86,953 | ||||||||
| 48,100 | Zenkoku Hosho Co. Ltd. | 1,623,344 | ||||||||
|
|
|
|||||||||
| Total Japan | 151,827,992 | |||||||||
|
|
|
|||||||||
| Kuwait — 0.0% | ||||||||||
| 12,821 | Humansoft Holding Co. KSC | 124,672 | ||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| Malaysia — 0.1% | ||||||||||
| 74,400 | AMMB Holdings Bhd | 63,251 | ||||||||
| 214,300 | CIMB Group Holdings Bhd | 259,866 | ||||||||
| 19,000 | Hong Leong Financial Group Bhd | 65,651 | ||||||||
| 39,400 | IOI Corp. Bhd | 34,020 | ||||||||
| 116,300 | Kossan Rubber Industries Bhd | 40,207 | ||||||||
| 93,700 | KPJ Healthcare Bhd | 26,960 | ||||||||
| 73,900 | Malayan Banking Bhd | 142,454 | ||||||||
| 73,200 | MISC Bhd | 113,039 | ||||||||
| 94,700 | Petronas Chemicals Group Bhd | 146,934 | ||||||||
| 28,800 | PPB Group Bhd | 87,137 | ||||||||
| 81,700 | Telekom Malaysia Bhd | 92,426 | ||||||||
|
|
|
|||||||||
| Total Malaysia | 1,071,945 | |||||||||
|
|
|
|||||||||
| Mexico — 1.0% | ||||||||||
| 74,353 | Arca Continental SAB de CV | 758,149 | ||||||||
| 63,400 | Banco del Bajio SA | 203,102 | ||||||||
| 3,913 | Coca-Cola Femsa SAB de CV Sponsored ADR | 331,236 | ||||||||
| 495,200 | Credito Real SAB de CV SOFOM ER * (e) | — | ||||||||
| 28,310 | El Puerto de Liverpool SAB de CV – Class C1 | 165,344 | ||||||||
| 187,011 | Fomento Economico Mexicano SAB de CV | 2,378,701 | ||||||||
| 1,761 | Fomento Economico Mexicano SAB de CV Sponsored ADR (b) | 223,453 | ||||||||
| 4,539 | Grupo Aeroportuario del Centro Norte SAB de CV | 40,601 | ||||||||
| 400 | Grupo Aeroportuario del Centro Norte SAB de CV ADR | 28,648 | ||||||||
| 224 | Grupo Aeroportuario del Sureste SAB de CV ADR | 52,743 | ||||||||
| 7,178 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 169,460 | ||||||||
| 348,136 | Grupo Financiero Banorte SAB de CV – Class O | 3,239,528 | ||||||||
| 355,388 | Grupo Mexico SAB de CV – Series B | 1,632,634 | ||||||||
| 239,500 | Grupo Televisa SAB – Series CPO | 152,510 | ||||||||
| 53,300 | Kimberly-Clark de Mexico SAB de CV – Class A | 107,438 | ||||||||
| 27,700 | Qualitas Controladora SAB de CV | 253,420 | ||||||||
| 10,400 | Regional SAB de CV | 90,123 | ||||||||
| 8,151 | Unifin Financiera SAB de CV * (e) | — | ||||||||
| 93,135 | Wal-Mart de Mexico SAB de CV | 366,674 | ||||||||
|
|
|
|||||||||
| Total Mexico | 10,193,764 | |||||||||
|
|
|
|||||||||
| Netherlands — 2.0% | ||||||||||
| 63,070 | ABN AMRO Bank NV GDR | 847,620 | ||||||||
| 306,031 | Aegon Ltd. (b) | 1,680,408 | ||||||||
| 13,256 | AerCap Holdings NV * | 904,324 | ||||||||
| 9,147 | ASR Nederland NV | 421,709 | ||||||||
| 51,409 | EXOR NV | 5,009,037 | ||||||||
| 9,049 | ForFarmers NV (b) | 23,745 | ||||||||
| 143,601 | ING Groep NV – Class N | 2,017,448 | ||||||||
| 10,420 | JDE Peet’s NV (b) | 279,515 | ||||||||
| 126,619 | Koninklijke Ahold Delhaize NV (a) | 3,666,825 | ||||||||
| 124,410 | Koninklijke Philips NV (a) | 2,553,047 | ||||||||
| 9,995 | Koninklijke Vopak NV | 343,291 | ||||||||
| 23,671 | NN Group NV | 903,381 | ||||||||
| 22,734 | PostNL NV (b) | 35,702 | ||||||||
| 28,160 | Randstad NV (a) | 1,675,385 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Netherlands — continued | ||||||||||
| 23,035 | Signify NV | 670,297 | ||||||||
| 4,635 | TomTom NV * (a) | 30,684 | ||||||||
| 4,376 | Van Lanschot Kempen NV | 137,875 | ||||||||
| 667 | Wolters Kluwer NV (a) | 91,874 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 21,292,167 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.0% | ||||||||||
| 83,962 | Meridian Energy Ltd. (a) | 269,794 | ||||||||
|
|
|
|||||||||
| Norway — 0.7% | ||||||||||
| 18,759 | BW LPG Ltd. | 273,327 | ||||||||
| 26,999 | DNB Bank ASA | 514,705 | ||||||||
| 92,095 | DNO ASA | 89,199 | ||||||||
| 131,101 | Elkem ASA | 211,860 | ||||||||
| 146,993 | Equinor ASA (a) | 4,696,318 | ||||||||
| 34,425 | Europris ASA | 227,992 | ||||||||
| 1,075 | Frontline PLC | 21,189 | ||||||||
| 51,510 | Hafnia Ltd. | 316,301 | ||||||||
| 23,601 | Hoegh Autoliners ASA | 190,425 | ||||||||
| 18,539 | Odfjell Drilling Ltd. | 59,270 | ||||||||
| 3,159 | Selvaag Bolig ASA | 8,090 | ||||||||
| 4,613 | Stolt-Nielsen Ltd. | 133,648 | ||||||||
| 24,753 | Wallenius Wilhelmsen ASA | 216,338 | ||||||||
|
|
|
|||||||||
| Total Norway | 6,958,662 | |||||||||
|
|
|
|||||||||
| Pakistan — 0.0% | ||||||||||
| 26,387 | Attock Refinery Ltd. | 28,803 | ||||||||
| 192,026 | Oil & Gas Development Co. Ltd. | 73,280 | ||||||||
| 189,332 | Pakistan Petroleum Ltd. | 60,802 | ||||||||
|
|
|
|||||||||
| Total Pakistan | 162,885 | |||||||||
|
|
|
|||||||||
| Panama — 0.0% | ||||||||||
| 297,879 | BAC Holding International Corp. | 15,058 | ||||||||
|
|
|
|||||||||
| Philippines — 0.0% | ||||||||||
| 233,080 | Megaworld Corp. | 8,651 | ||||||||
| Poland — 0.5% | ||||||||||
| 5,274 | Asseco Poland SA | 100,643 | ||||||||
| 32,954 | Bank Polska Kasa Opieki SA | 1,157,751 | ||||||||
| 1,822 | Budimex SA | 252,514 | ||||||||
| 22,393 | Cyfrowy Polsat SA * | 71,766 | ||||||||
| 149 | Grupa Kety SA | 26,964 | ||||||||
| 30,573 | Orange Polska SA | 61,369 | ||||||||
| 205,358 | ORLEN SA | 3,031,714 | ||||||||
| 36,749 | Powszechny Zaklad Ubezpieczen SA | 418,589 | ||||||||
| 2,041 | Santander Bank Polska SA * | 253,572 | ||||||||
|
|
|
|||||||||
| Total Poland | 5,374,882 | |||||||||
|
|
|
|||||||||
| Portugal — 0.1% | ||||||||||
| 97,952 | EDP - Energias de Portugal SA | 468,458 | ||||||||
| 54,808 | Navigator Co. SA | 225,272 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Portugal — continued | ||||||||||
| 336,851 | Sonae SGPS SA | 340,679 | ||||||||
|
|
|
|||||||||
| Total Portugal | 1,034,409 | |||||||||
|
|
|
|||||||||
| Qatar — 0.0% | ||||||||||
| 70,560 | Ooredoo QPSC | 199,516 | ||||||||
| 3,634 | Qatar Gas Transport Co. Ltd. | 3,235 | ||||||||
| 14,520 | Qatar National Cement Co. QSC | 14,764 | ||||||||
|
|
|
|||||||||
| Total Qatar | 217,515 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 3,038,020 | Alrosa PJSC (e) (f) | 22,035 | ||||||||
| 160,792,062 | Federal Grid Co.-Rosseti PJSC * (e) | 2,157 | ||||||||
| 68,395 | Fix Price Group PLC GDR * (e) | 1,641 | ||||||||
| 180,610 | Gazprom Neft PJSC (e) | 17,644 | ||||||||
| 2,050,858 | Gazprom PJSC * (e) | 37,229 | ||||||||
| 6,310,100 | Inter RAO UES PJSC (e) | 2,931 | ||||||||
| 19,776 | LSR Group PJSC (e) | 1,445 | ||||||||
| 1 | LSR Group PJSC GDR* (e) | — | ||||||||
| 74,944 | LUKOIL PJSC (e) | 60,597 | ||||||||
| 423 | Magnit PJSC (e) | 300 | ||||||||
| 1,863,335 | Magnitogorsk Iron & Steel Works PJSC * (e) (f) | 10,561 | ||||||||
| 25,400 | Mechel PJSC * (e) | 828 | ||||||||
| 4,554 | MMC Norilsk Nickel PJSC * (e) | 8,490 | ||||||||
| 1 | MMC Norilsk Nickel PJSC ADR * (e) | — | ||||||||
| 16,770 | Mobile TeleSystems PJSC (e) | 475 | ||||||||
| 20,400 | Mobile TeleSystems PJSC ADR* (e) | 1,160 | ||||||||
| 361,420 | Moscow Exchange MICEX-Rates PJSC (e) | 8,018 | ||||||||
| 3,294,000 | Mosenergo PJSC (e) | 1,074 | ||||||||
| 75,720 | Novatek PJSC (e) | 12,718 | ||||||||
| 1,212,010 | Novolipetsk Steel PJSC * (e) | 23,250 | ||||||||
| 3,466 | PhosAgro PJSC (e) | 2,613 | ||||||||
| 67 | PhosAgro PJSC GDR * (e) (f) | 17 | ||||||||
| 10,215 | Polyus PJSC * (e) (f) | 12,348 | ||||||||
| 1 | Polyus PJSC GDR (Registered) (e) (f) | 1 | ||||||||
| 5,248 | Ros Agro PLC GDR * (e) | 846 | ||||||||
| 24,471,200 | RusHydro PJSC (e) | 2,169 | ||||||||
| 3,677,652 | Sberbank of Russia PJSC (e) (f) | 113,140 | ||||||||
| 425 | Severstal PAO * (e) (f) | 60 | ||||||||
| 91,185 | Severstal PAO GDR (Registered) * (e) (f) | 12,938 | ||||||||
| 11,580 | SFI PJSC (e) | 729 | ||||||||
| 5,940,620 | Surgutneftegas PJSC (e) | 20,864 | ||||||||
| 332,388 | Tatneft PJSC (e) | 23,591 | ||||||||
| 1,300,440 | Unipro PJSC * (e) | 293 | ||||||||
| 50,950 | United Co. Rusal International PJSC * (e) | 208 | ||||||||
|
|
|
|||||||||
| Total Russia | 402,370 | |||||||||
|
|
|
|||||||||
| Saudi Arabia — 0.2% | ||||||||||
| 31,172 | Almarai Co. JSC | 464,349 | ||||||||
| 88,942 | Saudi Arabian Oil Co. | 786,338 | ||||||||
| 5,089 | Saudi Basic Industries Corp. | 107,579 | ||||||||
| 49,956 | Saudi Telecom Co. | 512,712 | ||||||||
|
|
|
|||||||||
| Total Saudi Arabia | 1,870,978 | |||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Singapore — 0.6% | ||||||||||
| 39,000 | Bumitama Agri Ltd. | 17,635 | ||||||||
| 265,400 | ComfortDelGro Corp. Ltd. | 256,231 | ||||||||
| 27,035 | DBS Group Holdings Ltd. | 642,208 | ||||||||
| 35,500 | First Real Estate Investment Trust – (REIT) (b) | 6,372 | ||||||||
| 84,500 | First Resources Ltd. | 87,862 | ||||||||
| 1,013,400 | Golden Agri-Resources Ltd. | 200,736 | ||||||||
| 238,200 | Keppel Corp. Ltd. | 1,188,272 | ||||||||
| 106,100 | Oversea-Chinese Banking Corp. Ltd. | 995,631 | ||||||||
| 40,900 | Sasseur Real Estate Investment Trust – (REIT) | 20,935 | ||||||||
| 24,200 | Sembcorp Industries Ltd. | 93,015 | ||||||||
| 37,700 | Sheng Siong Group Ltd. | 43,979 | ||||||||
| 74,700 | StarHub Ltd. | 59,782 | ||||||||
| 21,900 | United Overseas Bank Ltd. | 446,963 | ||||||||
| 6,200 | UOL Group Ltd. (b) | 27,336 | ||||||||
| 29,400 | Venture Corp. Ltd. | 275,402 | ||||||||
| 110,999 | Yangzijiang Financial Holding Ltd. | 26,574 | ||||||||
| 1,325,299 | Yangzijiang Shipbuilding Holdings Ltd. | 1,436,990 | ||||||||
| 134,400 | Yanlord Land Group Ltd. * | 54,288 | ||||||||
|
|
|
|||||||||
| Total Singapore | 5,880,211 | |||||||||
|
|
|
|||||||||
| South Africa — 1.4% | ||||||||||
| 141,910 | Absa Group Ltd. | 1,308,815 | ||||||||
| 28,238 | African Rainbow Minerals Ltd. | 272,387 | ||||||||
| 45,397 | Anglo American Platinum Ltd. | 1,922,319 | ||||||||
| 34,061 | Aspen Pharmacare Holdings Ltd. | 335,005 | ||||||||
| 9,346 | Astral Foods Ltd. | 79,040 | ||||||||
| 46,951 | AVI Ltd. | 195,140 | ||||||||
| 12,901 | Barloworld Ltd. | 52,187 | ||||||||
| 43,165 | Bidvest Group Ltd. | 540,736 | ||||||||
| 6,663 | Clicks Group Ltd. | 104,412 | ||||||||
| 7,300 | DRDGOLD Ltd. Sponsored ADR | 68,036 | ||||||||
| 639,273 | FirstRand Ltd. | 2,286,733 | ||||||||
| 46,299 | Foschini Group Ltd. | 268,970 | ||||||||
| 26,799 | Gold Fields Ltd. Sponsored ADR (b) | 409,757 | ||||||||
| 591,924 | Growthpoint Properties Ltd. – (REIT) | 332,837 | ||||||||
| 221,398 | Impala Platinum Holdings Ltd. | 900,252 | ||||||||
| 37,005 | Investec Ltd. | 236,643 | ||||||||
| 46,717 | Kumba Iron Ore Ltd. | 1,469,863 | ||||||||
| 17,129 | Lewis Group Ltd. | 37,702 | ||||||||
| 3,943 | Metair Investments Ltd. * | 3,489 | ||||||||
| 30,375 | Motus Holdings Ltd. | 150,131 | ||||||||
| 53,683 | Mr Price Group Ltd. | 437,167 | ||||||||
| 14,419 | MultiChoice Group * | 51,754 | ||||||||
| 43,990 | Nedbank Group Ltd. | 499,030 | ||||||||
| 14,456 | Ninety One Ltd. | 31,501 | ||||||||
| 4,781 | Pick n Pay Stores Ltd. | 6,039 | ||||||||
| 8,062 | Raubex Group Ltd. | 11,308 | ||||||||
| 13,317 | Reunert Ltd. | 43,624 | ||||||||
| 257,788 | RMB Holdings Ltd. * | 7,388 | ||||||||
| 26,106 | Sanlam Ltd. | 93,942 | ||||||||
| 140,566 | Sappi Ltd. | 294,639 | ||||||||
| 13,102 | Shoprite Holdings Ltd. | 178,733 | ||||||||
| Shares | Description | Value ($) |
||||||||
| South Africa — continued | ||||||||||
| 231,392 | Sibanye Stillwater Ltd. | 254,637 | ||||||||
| 12,508 | SPAR Group Ltd. | 77,339 | ||||||||
| 19,344 | Standard Bank Group Ltd. | 205,585 | ||||||||
| 26,544 | Tiger Brands Ltd. | 255,981 | ||||||||
| 177,126 | Truworths International Ltd. | 720,189 | ||||||||
| 10,469 | Vodacom Group Ltd. | 53,913 | ||||||||
| 77,683 | Woolworths Holdings Ltd. | 277,984 | ||||||||
|
|
|
|||||||||
| Total South Africa | 14,475,207 | |||||||||
|
|
|
|||||||||
| South Korea — 2.6% | ||||||||||
| 1,722 | BGF retail Co. Ltd. | 179,861 | ||||||||
| 59,439 | BNK Financial Group, Inc. | 329,843 | ||||||||
| 9,196 | Cheil Worldwide, Inc. | 139,142 | ||||||||
| 11,217 | Coway Co. Ltd. | 431,888 | ||||||||
| 10,450 | Daou Data Corp. | 99,688 | ||||||||
| 2,507 | DB Insurance Co. Ltd. | 161,755 | ||||||||
| 49,509 | Dongwon Development Co. Ltd. | 126,022 | ||||||||
| 564 | E-MART, Inc. | 33,040 | ||||||||
| 2,329 | Fila Holdings Corp. | 68,591 | ||||||||
| 15,213 | GS Holdings Corp. | 485,052 | ||||||||
| 19,981 | Hana Financial Group, Inc. | 642,919 | ||||||||
| 1,994 | Handsome Co. Ltd. | 29,290 | ||||||||
| 12,242 | Hankook Tire & Technology Co. Ltd. | 428,481 | ||||||||
| 21,275 | HDC Hyundai Development Co-Engineering & Construction | 254,085 | ||||||||
| 4,100 | Hyundai Glovis Co. Ltd. | 550,224 | ||||||||
| 874 | Hyundai Home Shopping Network Corp. | 29,056 | ||||||||
| 10,492 | Hyundai Mobis Co. Ltd. | 1,855,616 | ||||||||
| 1,115 | Hyundai Motor Co. | 158,758 | ||||||||
| 353 | INTOPS Co. Ltd. | 8,009 | ||||||||
| 25,673 | JB Financial Group Co. Ltd. | 205,976 | ||||||||
| 9,024 | Kakao Games Corp. * | 184,306 | ||||||||
| 4,521 | KB Financial Group, Inc. ADR | 182,106 | ||||||||
| 647 | KC Co. Ltd. | 8,882 | ||||||||
| 1,095 | KCC Glass Corp. | 35,200 | ||||||||
| 69,089 | Kia Corp. | 4,590,144 | ||||||||
| 20,967 | KT Skylife Co. Ltd. | 98,143 | ||||||||
| 52,399 | KT&G Corp. | 3,571,932 | ||||||||
| 1,361 | Kumho Petrochemical Co. Ltd. | 134,393 | ||||||||
| 7,326 | LG Corp. | 474,482 | ||||||||
| 38,560 | LG Electronics, Inc. | 3,057,453 | ||||||||
| 6,217 | Lotte Energy Materials Corp. | 216,847 | ||||||||
| 4,681 | LOTTE Fine Chemical Co. Ltd. | 208,852 | ||||||||
| 1,432 | LX International Corp. | 32,952 | ||||||||
| 13,909 | Mirae Asset Securities Co. Ltd. | 77,088 | ||||||||
| 1,635 | Orion Corp. | 147,842 | ||||||||
| 90,121 | Pan Ocean Co. Ltd. | 316,085 | ||||||||
| 1,572 | POSCO Holdings, Inc. | 587,056 | ||||||||
| 25,772 | POSCO Holdings, Inc. Sponsored ADR | 2,401,950 | ||||||||
| 1,044 | PSK, Inc. | 16,020 | ||||||||
| 44,509 | Samsung Electronics Co. Ltd. | 2,509,761 | ||||||||
| 413 | Samsung Electronics Co. Ltd. GDR (a) | 575,462 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| South Korea — continued | ||||||||||
| 22,841 | SK Networks Co. Ltd. | 100,119 | ||||||||
| 16,781 | SK Square Co. Ltd. * | 660,310 | ||||||||
| 16,037 | VIOL Co. Ltd. | 112,396 | ||||||||
| 85,575 | Woori Financial Group, Inc. | 862,664 | ||||||||
| 5,850 | Youngone Corp. | 197,646 | ||||||||
|
|
|
|||||||||
| Total South Korea | 27,577,387 | |||||||||
|
|
|
|||||||||
| Spain — 2.1% | ||||||||||
| 105,045 | Acerinox SA | 1,153,520 | ||||||||
| 1,946 | ACS Actividades de Construccion y Servicios SA | 77,786 | ||||||||
| 22,724 | Amadeus IT Group SA (a) | 1,560,156 | ||||||||
| 17,671 | Atresmedia Corp. de Medios de Comunicacion SA | 73,285 | ||||||||
| 646,102 | Banco Bilbao Vizcaya Argentaria SA | 6,014,734 | ||||||||
| 2,182,422 | Banco de Sabadell SA | 3,191,561 | ||||||||
| 919,508 | Banco Santander SA | 3,811,572 | ||||||||
| 11,816 | Cia de Distribucion Integral Logista Holdings SA | 306,220 | ||||||||
| 596 | Grupo Catalana Occidente SA | 20,790 | ||||||||
| 75,252 | Industria de Diseno Textil SA (a) | 3,105,276 | ||||||||
| 58,705 | Mapfre SA (b) | 129,540 | ||||||||
| 13,089 | Prosegur Compania de Seguridad SA | 25,768 | ||||||||
| 131,171 | Repsol SA | 2,014,175 | ||||||||
|
|
|
|||||||||
| Total Spain | 21,484,383 | |||||||||
|
|
|
|||||||||
| Sweden — 0.7% | ||||||||||
| 4,628 | Betsson AB – Class B * (a) | 48,143 | ||||||||
| 32,006 | Fabege AB | 286,697 | ||||||||
| 166,156 | Fastighets AB Balder – B Shares * (b) | 981,224 | ||||||||
| 122,513 | Investor AB – B Shares (a) | 2,545,333 | ||||||||
| 10,940 | Nordea Bank Abp | 122,303 | ||||||||
| 9,284 | Securitas AB – B Shares (b) | 83,575 | ||||||||
| 25,714 | Skanska AB – B Shares | 413,235 | ||||||||
| 125,475 | SSAB AB – A Shares | 950,030 | ||||||||
| 2,199 | SSAB AB – B Shares | 16,276 | ||||||||
| 194,667 | Telefonaktiebolaget LM Ericsson – B Shares | 962,613 | ||||||||
| 4,640 | Volvo AB – A Shares (a) | 109,637 | ||||||||
| 20,405 | Volvo AB – B Shares (a) | 473,224 | ||||||||
| 24,175 | Volvo Car AB – Class B * (b) | 78,907 | ||||||||
|
|
|
|||||||||
| Total Sweden | 7,071,197 | |||||||||
|
|
|
|||||||||
| Switzerland — 1.3% | ||||||||||
| 54,857 | Adecco Group AG (Registered) (a) | 2,645,786 | ||||||||
| 393 | Bobst Group SA | 28,722 | ||||||||
| 4,879 | Holcim AG | 358,898 | ||||||||
| 558 | Logitech International SA (Registered) (c) | 48,937 | ||||||||
| 312 | Logitech International SA (Registered) (c) | 27,275 | ||||||||
| 2,157 | Mobilezone Holding AG | 32,379 | ||||||||
| 11,665 | Novartis AG (Registered) (a) | 1,138,600 | ||||||||
| 32,431 | Novartis AG Sponsored ADR | 3,174,995 | ||||||||
| 1,009 | Roche Holding AG | 287,465 | ||||||||
| 17,776 | Roche Holding AG – Genusschein (a) | 4,782,117 | ||||||||
| 6,499 | Sandoz Group AG * (c) | 185,514 | ||||||||
| 2,647 | Sandoz Group AG * (c) | 75,598 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Switzerland — continued | ||||||||||
| 689 | u-blox Holding AG | 72,413 | ||||||||
| 8,031 | UBS Group AG (Registered) (a) | 226,876 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 13,085,575 | |||||||||
|
|
|
|||||||||
| Taiwan — 3.4% | ||||||||||
| 3,414 | Acter Group Corp. Ltd. | 19,802 | ||||||||
| 311,838 | AmTRAN Technology Co. Ltd. | 119,294 | ||||||||
| 118,794 | ASE Technology Holding Co. Ltd. ADR | 1,021,628 | ||||||||
| 60,000 | Asustek Computer, Inc. | 756,516 | ||||||||
| 19,000 | Aten International Co. Ltd. | 49,394 | ||||||||
| 8,400 | Aurora Corp. | 20,197 | ||||||||
| 357,000 | Catcher Technology Co. Ltd | 2,221,088 | ||||||||
| 74,000 | Chicony Electronics Co. Ltd | 377,558 | ||||||||
| 180,000 | Chipbond Technology Corp. | 414,588 | ||||||||
| 25,000 | ChipMOS Technologies, Inc. | 32,645 | ||||||||
| 1,000 | Chlitina Holding Ltd. | 6,239 | ||||||||
| 9,280 | Chong Hong Construction Co. Ltd. | 22,215 | ||||||||
| 570,000 | Compal Electronics, Inc. | 563,849 | ||||||||
| 41,440 | Coretronic Corp. | 94,964 | ||||||||
| 591,200 | Evergreen Marine Corp. Taiwan Ltd. | 2,120,637 | ||||||||
| 91,000 | Farglory Land Development Co. Ltd. | 170,012 | ||||||||
| 42,701 | FLEXium Interconnect, Inc. | 119,655 | ||||||||
| 150,821 | Foxconn Technology Co. Ltd. | 257,370 | ||||||||
| 63,053 | Fubon Financial Holding Co. Ltd. | 129,945 | ||||||||
| 12,080 | Fusheng Precision Co. Ltd. | 78,643 | ||||||||
| 23,560 | Getac Holdings Corp. | 76,740 | ||||||||
| 52,000 | Giant Manufacturing Co. Ltd | 316,261 | ||||||||
| 12,000 | Global Brands Manufacture Ltd. | 26,500 | ||||||||
| 237,000 | Grand Pacific Petrochemical | 121,738 | ||||||||
| 2,000 | Grape King Bio Ltd. | 9,830 | ||||||||
| 1,246,318 | Hon Hai Precision Industry Co. Ltd | 4,048,138 | ||||||||
| 69,000 | Huaku Development Co. Ltd. | 208,512 | ||||||||
| 28,279 | Innodisk Corp. | 282,043 | ||||||||
| 169,000 | Inventec Corp. | 229,094 | ||||||||
| 47,000 | King’s Town Bank Co. Ltd. | 59,286 | ||||||||
| 31,000 | Kung Long Batteries Industrial Co. Ltd. | 132,384 | ||||||||
| 30,000 | Largan Precision Co. Ltd | 2,292,089 | ||||||||
| 79,000 | Lite-On Technology Corp. ADR | 277,705 | ||||||||
| 96,000 | MediaTek, Inc. | 2,899,152 | ||||||||
| 233,000 | Micro-Star International Co. Ltd | 1,367,891 | ||||||||
| 272,000 | Mitac Holdings Corp. | 349,263 | ||||||||
| 77,903 | Nantex Industry Co. Ltd. | 95,251 | ||||||||
| 17,000 | Nichidenbo Corp. | 32,532 | ||||||||
| 5,800 | Nien Made Enterprise Co. Ltd. | 63,086 | ||||||||
| 118,000 | Novatek Microelectronics Corp. | 1,927,467 | ||||||||
| 355,000 | Pou Chen Corp. | 350,511 | ||||||||
| 62,000 | Primax Electronics Ltd. | 127,942 | ||||||||
| 194,472 | Radiant Opto-Electronics Corp. | 821,814 | ||||||||
| 60,400 | Ruentex Industries Ltd. | 121,745 | ||||||||
| 22,760 | Shin Zu Shing Co. Ltd. | 89,569 | ||||||||
| 47,000 | Shinkong Insurance Co. Ltd. | 102,565 | ||||||||
| 38,900 | Simplo Technology Co. Ltd | 473,338 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Taiwan — continued | ||||||||||
| 6,945 | Sinmag Equipment Corp. | 33,940 | ||||||||
| 8,080 | Syncmold Enterprise Corp. | 23,138 | ||||||||
| 11,000 | T3EX Global Holdings Corp. | 27,107 | ||||||||
| 19,000 | TaiDoc Technology Corp. | 95,538 | ||||||||
| 249,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 4,554,738 | ||||||||
| 14,764 | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (a) | 1,436,685 | ||||||||
| 7,360 | Test Research, Inc. | 14,728 | ||||||||
| 40,000 | Transcend Information, Inc. | 106,635 | ||||||||
| 37,000 | Tripod Technology Corp. | 228,272 | ||||||||
| 12,000 | TTY Biopharm Co. Ltd. | 31,849 | ||||||||
| 20,000 | Tung Ho Steel Enterprise Corp. | 44,391 | ||||||||
| 11,000 | TXC Corp. | 36,247 | ||||||||
| 3,000 | United Integrated Services Co. Ltd. | 23,471 | ||||||||
| 196,000 | United Microelectronics Corp. | 306,497 | ||||||||
| 148,000 | Universal, Inc. | 168,285 | ||||||||
| 276,850 | Wan Hai Lines Ltd. | 414,095 | ||||||||
| 67,000 | Wistron Corp. | 195,206 | ||||||||
| 1,191,000 | Yang Ming Marine Transport Corp. | 1,602,488 | ||||||||
| 804,895 | Yuanta Financial Holding Co. Ltd | 669,694 | ||||||||
| 6,000 | Yulon Nissan Motor Co. Ltd. | 36,434 | ||||||||
| 9,669 | Zeng Hsing Industrial Co. Ltd. | 32,791 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 35,580,914 | |||||||||
|
|
|
|||||||||
| Thailand — 0.8% | ||||||||||
| 1,493,400 | AP Thailand PCL NVDR | 458,777 | ||||||||
| 545,000 | B Grimm Power PCL NVDR | 391,195 | ||||||||
| 424,800 | Bangkok Bank PCL NVDR | 1,824,648 | ||||||||
| 129,400 | Bangkok Dusit Medical Services PCL NVDR | 96,630 | ||||||||
| 35,700 | Electricity Generating PCL NVDR | 130,916 | ||||||||
| 69,100 | GFPT PCL NVDR | 21,231 | ||||||||
| 212,900 | Kasikornbank PCL NVDR | 774,617 | ||||||||
| 5,496,000 | Krung Thai Bank PCL NVDR | 2,844,901 | ||||||||
| 53,632 | Pruksa Holding PCL NVDR | 18,613 | ||||||||
| 218,100 | PTT Exploration & Production PCL NVDR | 936,237 | ||||||||
| 127,200 | Ratch Group PCL NVDR | 117,518 | ||||||||
| 36,600 | Regional Container Lines PCL NVDR | 20,185 | ||||||||
| 1,191,200 | Sansiri PCL NVDR | 56,624 | ||||||||
| 57,600 | SCB X PCL NVDR | 162,570 | ||||||||
| 91,100 | Somboon Advance Technology PCL NVDR | 45,081 | ||||||||
| 269,300 | Sri Trang Agro-Industry PCL NVDR | 117,185 | ||||||||
| 154,700 | Sri Trang Gloves Thailand PCL NVDR | 26,852 | ||||||||
| 162,800 | Supalai PCL NVDR | 81,522 | ||||||||
| 91,100 | Thai Oil PCL NVDR | 133,147 | ||||||||
| 88,000 | Thai Vegetable Oil PCL NVDR | 52,766 | ||||||||
|
|
|
|||||||||
| Total Thailand | 8,311,215 | |||||||||
|
|
|
|||||||||
| Turkey — 0.5% | ||||||||||
| 787,682 | Akbank TAS | 918,823 | ||||||||
| 415,213 | Aselsan Elektronik Sanayi Ve Ticaret AS | 703,263 | ||||||||
| 509,065 | Dogan Sirketler Grubu Holding AS | 232,820 | ||||||||
| 29,964 | Dogus Otomotiv Servis ve Ticaret AS | 254,602 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Turkey — continued | ||||||||||
| 89,200 | Haci Omer Sabanci Holding AS | 188,456 | ||||||||
| 213,192 | KOC Holding AS | 1,043,319 | ||||||||
| 15,737 | Mavi Giyim Sanayi Ve Ticaret AS – Class B | 55,251 | ||||||||
| 44,442 | Tekfen Holding AS | 69,491 | ||||||||
| 319,819 | Turkcell Iletisim Hizmetleri AS * | 640,782 | ||||||||
| 210,484 | Turkiye Sise ve Cam Fabrikalari AS | 359,170 | ||||||||
| 194,625 | Vestel Beyaz Esya Sanayi ve Ticaret AS | 111,586 | ||||||||
| 921,853 | Yapi ve Kredi Bankasi AS | 614,056 | ||||||||
|
|
|
|||||||||
| Total Turkey | 5,191,619 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.1% | ||||||||||
| 15,585 | Emaar Properties PJSC | 32,193 | ||||||||
| 121,774 | Emirates NBD Bank PJSC | 583,675 | ||||||||
|
|
|
|||||||||
| Total United Arab Emirates | 615,868 | |||||||||
|
|
|
|||||||||
| United Kingdom — 4.2% | ||||||||||
| 209,825 | 3i Group PLC (a) | 5,934,404 | ||||||||
| 54,388 | abrdn PLC | 112,257 | ||||||||
| 3,173 | AG Barr PLC | 19,155 | ||||||||
| 78,017 | Balfour Beatty PLC | 321,296 | ||||||||
| 4,859 | Bank of Georgia Group PLC | 211,854 | ||||||||
| 352,294 | Barclays PLC | 629,896 | ||||||||
| 95,427 | Barclays PLC Sponsored ADR | 688,983 | ||||||||
| 294,492 | Barratt Developments PLC | 1,914,896 | ||||||||
| 27,603 | Bellway PLC | 809,245 | ||||||||
| 34,830 | Berkeley Group Holdings PLC | 2,044,000 | ||||||||
| 18,722 | BP PLC Sponsored ADR (a) | 679,421 | ||||||||
| 73,501 | British American Tobacco PLC (a) | 2,338,800 | ||||||||
| 41,722 | British American Tobacco PLC Sponsored ADR (a) | 1,330,515 | ||||||||
| 1,950,057 | BT Group PLC | 3,031,150 | ||||||||
| 100,106 | Centamin PLC | 122,070 | ||||||||
| 113,172 | Centrica PLC (a) | 213,276 | ||||||||
| 83,087 | Coca-Cola HBC AG | 2,308,610 | ||||||||
| 74,943 | Compass Group PLC (a) | 1,897,288 | ||||||||
| 9,174 | Crest Nicholson Holdings PLC | 21,531 | ||||||||
| 7,760 | Dunelm Group PLC | 102,470 | ||||||||
| 23,265 | Evraz PLC * (e) | 601 | ||||||||
| 122,279 | Ferrexpo PLC * | 112,743 | ||||||||
| 1,720 | Galliford Try Holdings PLC | 4,760 | ||||||||
| 19,945 | GSK PLC | 358,361 | ||||||||
| 43,272 | GSK PLC Sponsored ADR | 1,557,359 | ||||||||
| 9,445 | Hikma Pharmaceuticals PLC | 205,817 | ||||||||
| 313,059 | HSBC Holdings PLC | 2,391,270 | ||||||||
| 22,613 | HSBC Holdings PLC Sponsored ADR | 869,018 | ||||||||
| 49,830 | IG Group Holdings PLC | 430,941 | ||||||||
| 35,339 | Imperial Brands PLC | 826,187 | ||||||||
| 17,373 | International Personal Finance PLC | 24,148 | ||||||||
| 29,933 | Investec PLC | 194,525 | ||||||||
| 414,107 | ITV PLC | 314,963 | ||||||||
| 370,814 | J Sainsbury PLC | 1,339,943 | ||||||||
| 4,789 | Keller Group PLC | 49,337 | ||||||||
| 504,635 | Kingfisher PLC | 1,400,757 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United Kingdom — continued | ||||||||||
| 1,248,608 | Lloyds Banking Group PLC | 688,341 | ||||||||
| 97,894 | Marks & Spencer Group PLC | 311,773 | ||||||||
| 62,388 | Moneysupermarket.com Group PLC | 215,035 | ||||||||
| 7,241 | Morgan Advanced Materials PLC | 23,423 | ||||||||
| 5,953 | Morgan Sindall Group PLC | 153,497 | ||||||||
| 67,523 | OSB Group PLC | 321,740 | ||||||||
| 9,042 | Paragon Banking Group PLC | 55,273 | ||||||||
| 40,562 | Persimmon PLC | 642,667 | ||||||||
| 20,638 | Plus500 Ltd. | 375,281 | ||||||||
| 32,369 | Premier Foods PLC | 52,428 | ||||||||
| 35,451 | Redde Northgate PLC | 160,514 | ||||||||
| 71,034 | Redrow PLC | 484,393 | ||||||||
| 4,034 | Rio Tinto PLC (a) | 275,714 | ||||||||
| 16,889 | Serica Energy PLC | 48,989 | ||||||||
| 47,629 | Shell PLC (a) | 1,539,598 | ||||||||
| 15,165 | Spirent Communications PLC | 21,912 | ||||||||
| 26,626 | Standard Chartered PLC | 220,414 | ||||||||
| 405,705 | Taylor Wimpey PLC | 664,965 | ||||||||
| 3,340 | TBC Bank Group PLC | 117,314 | ||||||||
| 70,148 | Tesco PLC (a) | 253,515 | ||||||||
| 21,288 | Vesuvius PLC | 115,378 | ||||||||
| 940,967 | Vodafone Group PLC | 846,086 | ||||||||
| 225,259 | Vodafone Group PLC Sponsored ADR | 2,040,847 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 44,440,944 | |||||||||
|
|
|
|||||||||
| United States — 18.8% | ||||||||||
| 26,377 | 3M Co. (a) | 2,613,169 | ||||||||
| 3,154 | Academy Sports & Outdoors, Inc. (b) | 160,444 | ||||||||
| 972 | Adtalem Global Education, Inc. * (a) (b) | 55,375 | ||||||||
| 1,791 | Affiliated Managers Group, Inc. | 242,770 | ||||||||
| 2,439 | AGCO Corp. (b) | 276,900 | ||||||||
| 1,231 | Akamai Technologies, Inc. * (a) | 142,217 | ||||||||
| 1,117 | Allison Transmission Holdings, Inc. | 59,737 | ||||||||
| 59,376 | Ally Financial, Inc. | 1,734,967 | ||||||||
| 13,304 | Alphabet, Inc. – Class A * (a) | 1,763,179 | ||||||||
| 25,549 | Alphabet, Inc. – Class C * (a) | 3,421,522 | ||||||||
| 16,518 | American Express Co. (a) | 2,820,779 | ||||||||
| 1,130 | Applied Materials, Inc. (a) (b) | 169,251 | ||||||||
| 8,395 | Archer-Daniels-Midland Co. (a) (b) | 618,963 | ||||||||
| 15,037 | Arrow Electronics, Inc. * | 1,782,787 | ||||||||
| 900 | Aspen Technology, Inc. * (b) | 169,434 | ||||||||
| 814 | Atkore, Inc. * | 105,739 | ||||||||
| 1,057 | AutoNation, Inc. * (b) | 142,980 | ||||||||
| 2,561 | Avnet, Inc. (b) | 119,752 | ||||||||
| 65,386 | Bank of America Corp. (b) | 1,993,619 | ||||||||
| 13,737 | Bank of New York Mellon Corp. (a) | 663,772 | ||||||||
| 15,326 | Best Buy Co., Inc. (b) | 1,087,226 | ||||||||
| 2,206 | Biogen, Inc. * (b) | 516,380 | ||||||||
| 4,726 | Bio-Rad Laboratories, Inc. – Class A * | 1,441,052 | ||||||||
| 653 | Booking Holdings, Inc. * (a) (b) | 2,041,082 | ||||||||
| 84,386 | BorgWarner, Inc. | 2,842,964 | ||||||||
| 21,949 | Bristol-Myers Squibb Co. (a) (b) | 1,083,842 | ||||||||
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 2,888 | Brunswick Corp. | 227,777 | ||||||||
| 12,411 | Builders FirstSource, Inc. * | 1,664,439 | ||||||||
| 565 | Bunge Global SA | 62,077 | ||||||||
| 23,329 | Capital One Financial Corp. (a) | 2,604,916 | ||||||||
| 14,009 | CarMax, Inc. * (b) | 895,735 | ||||||||
| 5,245 | Carrier Global Corp. (b) | 272,530 | ||||||||
| 1,200 | Carter’s, Inc. | 81,828 | ||||||||
| 10,222 | CBRE Group, Inc. – Class A * | 807,129 | ||||||||
| 18,640 | Centene Corp. * (a) | 1,373,395 | ||||||||
| 19,190 | Chesapeake Energy Corp. | 1,541,149 | ||||||||
| 15,498 | Chevron Corp. (a) (b) | 2,225,513 | ||||||||
| 3,550 | Cigna Group (a) (b) | 933,224 | ||||||||
| 26,834 | Cisco Systems, Inc. (a) | 1,298,229 | ||||||||
| 62,956 | Citigroup, Inc. | 2,902,272 | ||||||||
| 98,538 | Cleveland-Cliffs, Inc. * (b) | 1,690,912 | ||||||||
| 32,946 | Cognizant Technology Solutions Corp. – Class A (a) | 2,318,739 | ||||||||
| 82,817 | Comcast Corp. – Class A (a) | 3,469,204 | ||||||||
| 1,300 | Commercial Metals Co. | 58,929 | ||||||||
| 1,638 | Crane NXT Co. | 84,291 | ||||||||
| 2,427 | Cummins, Inc. (a) | 544,036 | ||||||||
| 37,169 | CVS Health Corp. (a) | 2,525,634 | ||||||||
| 27,758 | Darling Ingredients, Inc. * (b) | 1,217,743 | ||||||||
| 6,367 | Dick’s Sporting Goods, Inc. (b) | 828,347 | ||||||||
| 23,124 | Discover Financial Services (b) | 2,150,532 | ||||||||
| 8,418 | DR Horton, Inc. (a) | 1,074,726 | ||||||||
| 5,343 | Dropbox, Inc. – Class A * (a) | 150,566 | ||||||||
| 51,854 | eBay, Inc. (b) | 2,126,533 | ||||||||
| 2,428 | Elevance Health, Inc. (a) | 1,164,202 | ||||||||
| 918 | Encore Wire Corp. (b) | 169,187 | ||||||||
| 17,473 | EOG Resources, Inc. | 2,150,402 | ||||||||
| 6,521 | Etsy, Inc. * (b) | 494,357 | ||||||||
| 13,077 | Expedia Group, Inc. * (b) | 1,780,826 | ||||||||
| 19,148 | Exxon Mobil Corp. (a) | 1,967,265 | ||||||||
| 1,244 | F5, Inc. * | 212,960 | ||||||||
| 33,208 | Fidelity National Financial, Inc. | 1,489,047 | ||||||||
| 2,411 | FMC Corp. (b) | 129,374 | ||||||||
| 2,191 | Foot Locker, Inc. (b) | 59,004 | ||||||||
| 209,592 | Ford Motor Co. (a) | 2,150,414 | ||||||||
| 2,461 | Fortune Brands Innovations, Inc. | 168,406 | ||||||||
| 54,062 | Fox Corp. – Class B | 1,495,355 | ||||||||
| 61,869 | Franklin Resources, Inc. (b) | 1,534,351 | ||||||||
| 10,823 | Gap, Inc. | 217,218 | ||||||||
| 3,204 | Garmin Ltd. | 391,657 | ||||||||
| 7,981 | Generac Holdings, Inc. * (b) | 934,336 | ||||||||
| 5,098 | General Electric Co. (a) | 620,936 | ||||||||
| 6,881 | General Mills, Inc. (a) (b) | 438,044 | ||||||||
| 54,938 | General Motors Co. | 1,736,041 | ||||||||
| 12,366 | Gilead Sciences, Inc. (b) | 947,236 | ||||||||
| 8,293 | Goldman Sachs Group, Inc. (a) | 2,832,391 | ||||||||
| 100 | Graham Holdings Co. – Class B (a) (b) | 62,715 | ||||||||
| 15,879 | Green Plains, Inc. * | 395,070 | ||||||||
| 640 | Group 1 Automotive, Inc. | 180,544 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 10,000 | H&R Block, Inc. (a) (b) | 454,200 | ||||||||
| 1,741 | Harley-Davidson, Inc. (b) | 52,213 | ||||||||
| 4,561 | Hartford Financial Services Group, Inc. | 356,488 | ||||||||
| 68,285 | Hewlett Packard Enterprise Co. | 1,154,699 | ||||||||
| 8,439 | Hilton Worldwide Holdings, Inc. (a) | 1,413,701 | ||||||||
| 700 | HNI Corp. | 27,349 | ||||||||
| 82,189 | HP, Inc. | 2,411,425 | ||||||||
| 756 | Humana, Inc. (a) | 366,554 | ||||||||
| 5,578 | Huntsman Corp. | 137,219 | ||||||||
| 25,833 | Incyte Corp. * | 1,403,765 | ||||||||
| 88,720 | Intel Corp. (a) | 3,965,784 | ||||||||
| 15,953 | Intercontinental Exchange, Inc. (a) | 1,816,090 | ||||||||
| 21,572 | International Business Machines Corp. (b) | 3,420,456 | ||||||||
| 60,171 | Invesco Ltd. | 858,640 | ||||||||
| 11,004 | Janus Henderson Group PLC | 288,195 | ||||||||
| 10,475 | Jazz Pharmaceuticals PLC * | 1,238,459 | ||||||||
| 7,866 | Johnson & Johnson (a) | 1,216,556 | ||||||||
| 19,222 | JPMorgan Chase & Co. (a) | 3,000,170 | ||||||||
| 4,905 | Kellanova (b) | 257,709 | ||||||||
| 4,600 | Keysight Technologies, Inc. * | 625,094 | ||||||||
| 96,470 | Kinder Morgan, Inc. | 1,694,978 | ||||||||
| 4,561 | Kohl’s Corp. (b) | 106,955 | ||||||||
| 61,187 | Kraft Heinz Co. (a) | 2,148,276 | ||||||||
| 30,246 | Kroger Co. (b) | 1,338,990 | ||||||||
| 4,172 | Laboratory Corp. of America Holdings (b) | 904,949 | ||||||||
| 2,230 | Lam Research Corp. (a) | 1,596,502 | ||||||||
| 29,459 | Las Vegas Sands Corp. (a) | 1,358,649 | ||||||||
| 1,773 | La-Z-Boy, Inc. | 62,392 | ||||||||
| 1,924 | Lear Corp. | 257,335 | ||||||||
| 9,555 | Lennar Corp. – Class A (a) | 1,222,276 | ||||||||
| 8,398 | LyondellBasell Industries NV – Class A | 798,650 | ||||||||
| 1,100 | M&T Bank Corp. (b) | 140,987 | ||||||||
| 20,929 | Macy’s, Inc. (b) | 331,934 | ||||||||
| 4,240 | ManpowerGroup, Inc. | 314,650 | ||||||||
| 3,974 | Marathon Petroleum Corp. | 592,881 | ||||||||
| 1,044 | Markel Group, Inc. * | 1,502,410 | ||||||||
| 48,688 | Match Group, Inc. * (b) | 1,576,517 | ||||||||
| 500 | Matson, Inc. (b) | 47,885 | ||||||||
| 1,554 | Medtronic PLC (a) | 123,186 | ||||||||
| 10,895 | Merck & Co., Inc. (a) | 1,116,520 | ||||||||
| 16,826 | Meta Platforms, Inc. – Class A * (a) | 5,504,626 | ||||||||
| 20,205 | MGIC Investment Corp. | 355,406 | ||||||||
| 31,477 | Micron Technology, Inc. (a) | 2,396,029 | ||||||||
| 20,833 | Moderna, Inc. * (b) | 1,618,724 | ||||||||
| 16,176 | Mohawk Industries, Inc. * (b) | 1,428,503 | ||||||||
| 10,597 | Molson Coors Beverage Co. – Class B | 652,139 | ||||||||
| 22,552 | Mosaic Co. | 809,391 | ||||||||
| 2,773 | NetApp, Inc. | 253,424 | ||||||||
| 14,222 | Nucor Corp. (b) | 2,417,313 | ||||||||
| 20,591 | ON Semiconductor Corp. * | 1,468,756 | ||||||||
| 971 | OneMain Holdings, Inc. (b) | 41,073 | ||||||||
| 2,408 | Oracle Corp. (a) (b) | 279,834 | ||||||||
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 9,895 | Otis Worldwide Corp. (a) | 848,892 | ||||||||
| 37,719 | Ovintiv, Inc. | 1,672,460 | ||||||||
| 2,360 | Owens Corning | 319,969 | ||||||||
| 22,701 | PACCAR, Inc. (a) (b) | 2,084,406 | ||||||||
| 116,950 | Paramount Global – Class B | 1,680,571 | ||||||||
| 36,807 | PayPal Holdings, Inc. * (a) | 2,120,451 | ||||||||
| 100,600 | Pfizer, Inc. (a) | 3,065,282 | ||||||||
| 6,290 | Phillips 66 | 810,718 | ||||||||
| 14,178 | PulteGroup, Inc. | 1,253,619 | ||||||||
| 3,126 | PVH Corp. | 305,660 | ||||||||
| 25,711 | QUALCOMM, Inc. (a) | 3,318,005 | ||||||||
| 14,759 | Radian Group, Inc. (b) | 379,454 | ||||||||
| 2,528 | Regeneron Pharmaceuticals, Inc. * (a) | 2,082,592 | ||||||||
| 8,827 | Regions Financial Corp. (b) | 147,234 | ||||||||
| 472 | Reliance Steel & Aluminum Co. | 129,923 | ||||||||
| 1,309 | Schneider National, Inc. – Class B | 30,146 | ||||||||
| 1,623 | Sensata Technologies Holding PLC | 52,764 | ||||||||
| 19,317 | Skyworks Solutions, Inc. (b) | 1,872,397 | ||||||||
| 17,148 | SolarEdge Technologies, Inc. * (b) | 1,361,208 | ||||||||
| 7,039 | State Street Corp. | 512,580 | ||||||||
| 19,777 | Steel Dynamics, Inc. | 2,356,034 | ||||||||
| 1,782 | Stewart Information Services Corp. | 84,199 | ||||||||
| 66,724 | Synchrony Financial | 2,159,189 | ||||||||
| 4,958 | T Rowe Price Group, Inc. (b) | 496,445 | ||||||||
| 11,593 | Tapestry, Inc. | 367,150 | ||||||||
| 3,729 | Target Corp. (a) | 498,977 | ||||||||
| 3,215 | TE Connectivity Ltd. | 421,165 | ||||||||
| 5,779 | Texas Instruments, Inc. (a) | 882,511 | ||||||||
| 6,216 | Textron, Inc. (b) | 476,519 | ||||||||
| 1,590 | Timken Co. (b) | 115,116 | ||||||||
| 1,400 | Tri Pointe Homes, Inc. * | 40,852 | ||||||||
| 38,853 | Tyson Foods, Inc. – Class A (b) | 1,819,875 | ||||||||
| 45,586 | U.S. Bancorp | 1,737,738 | ||||||||
| 1,047 | UFP Industries, Inc. | 114,783 | ||||||||
| 500 | United Rentals, Inc. (a) (b) | 238,010 | ||||||||
| 111 | UnitedHealth Group, Inc. (a) (b) | 61,380 | ||||||||
| 1,067 | Universal Corp. (b) | 60,029 | ||||||||
| 3,222 | Universal Health Services, Inc. – Class B | 442,961 | ||||||||
| 4,812 | Unum Group | 206,916 | ||||||||
| 540 | Valero Energy Corp. | 67,694 | ||||||||
| 94,372 | Verizon Communications, Inc. (a) | 3,617,279 | ||||||||
| 64,004 | VF Corp. (b) | 1,070,787 | ||||||||
| 165,946 | Viatris, Inc. | 1,523,384 | ||||||||
| 88,400 | Walgreens Boots Alliance, Inc. (b) | 1,762,696 | ||||||||
| 35,920 | Wells Fargo & Co. (a) | 1,601,673 | ||||||||
| 10,460 | Western Digital Corp. * (b) | 505,323 | ||||||||
| 13,304 | Western Union Co. (b) | 154,726 | ||||||||
| 8,462 | Westlake Corp. (b) | 1,086,436 | ||||||||
| 4,984 | Whirlpool Corp. (b) | 542,758 | ||||||||
| 1,001 | Williams-Sonoma, Inc. (b) | 187,728 | ||||||||
| 722 | Xerox Holdings Corp. | 10,101 | ||||||||
| 26,100 | Zoom Video Communications, Inc. – Class A * (a) (b) | 1,770,363 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 9,133 | ZoomInfo Technologies, Inc. * (b) | 131,241 | ||||||||
|
|
|
|||||||||
| Total United States | 196,508,920 | |||||||||
|
|
|
|||||||||
| Vietnam — 0.2% | ||||||||||
| 66,000 | Duc Giang Chemicals JSC | 257,215 | ||||||||
| 11,300 | IDICO Corp. JSC | 22,791 | ||||||||
| 38,500 | PetroVietNam Ca Mau Fertilizer JSC | 50,787 | ||||||||
| 30,300 | PetroVietnam Technical Services Corp. | 48,106 | ||||||||
| 21,000 | Petrovietnam Transportation Corp. | 22,681 | ||||||||
| 80,200 | Sai Gon-Ha Noi Securities JSC * | 59,963 | ||||||||
| 67,464 | Saigon - Hanoi Commercial JSB * | 30,049 | ||||||||
| 88,500 | Saigon Thuong Tin Commercial JSB * | 100,346 | ||||||||
| 381,600 | SSI Securities Corp. | 492,334 | ||||||||
| 94,000 | Vietnam Dairy Products JSC | 260,885 | ||||||||
| 171,746 | Vietnam Joint Stock Commercial Bank for Industry & Trade * | 186,201 | ||||||||
| 76,500 | VIX Securities JSC * | 51,693 | ||||||||
| 794,000 | VNDirect Securities Corp. * | 685,849 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 2,268,900 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $877,379,866) | 822,415,992 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (g) — 1.7% | ||||||||||
| Brazil — 1.0% | ||||||||||
| 320,959 | Bradespar SA | 1,591,085 | ||||||||
| 2,200 | Cia de Ferro Ligas da Bahia FERBASA | 20,672 | ||||||||
| 226,595 | Cia Energetica de Minas Gerais | 509,627 | ||||||||
| 418,400 | Gerdau SA Sponsored ADR | 1,866,064 | ||||||||
| 375,602 | Itausa SA | 744,023 | ||||||||
| 16,400 | Metalurgica Gerdau SA | 34,253 | ||||||||
| 372,713 | Petroleo Brasileiro SA | 2,719,217 | ||||||||
| 242,204 | Petroleo Brasileiro SA ADR | 3,524,068 | ||||||||
| 4,000 | Unipar Carbocloro SA – Class B | 60,308 | ||||||||
|
|
|
|||||||||
| Total Brazil | 11,069,317 | |||||||||
|
|
|
|||||||||
| Colombia — 0.0% | ||||||||||
| 8,700 | Bancolombia SA Sponsored ADR | 240,033 | ||||||||
| 297,879 | Grupo Aval Acciones y Valores SA | 33,231 | ||||||||
|
|
|
|||||||||
| Total Colombia | 273,264 | |||||||||
|
|
|
|||||||||
| Germany — 0.4% | ||||||||||
| 11,810 | Bayerische Motoren Werke AG | 1,122,293 | ||||||||
| 1,147 | Draegerwerk AG & Co. KGaA | 64,599 | ||||||||
| 1,460 | Henkel AG & Co. KGaA (a) | 114,859 | ||||||||
| 20,887 | Porsche Automobil Holding SE | 1,021,349 | ||||||||
| 5,603 | Schaeffler AG | 31,019 | ||||||||
| 512 | Villeroy & Boch AG | 9,745 | ||||||||
| 13,538 | Volkswagen AG (a) | 1,571,415 | ||||||||
|
|
|
|||||||||
| Total Germany | 3,935,279 | |||||||||
|
|
|
|||||||||
| Shares / Par Value† |
Description | Value ($) |
||||||||
| Russia — 0.0% | ||||||||||
| 12,924 | Bashneft PJSC (e) | 2,469 | ||||||||
| 56,000 | Nizhnekamskneftekhim PJSC (e) | 472 | ||||||||
| 20,810 | Sberbank of Russia PJSC (e) (f) | 639 | ||||||||
| 9,254,300 | Surgutneftegas PJSC (e) | 60,648 | ||||||||
| 161 | Transneft PJSC (e) | 2,598 | ||||||||
|
|
|
|||||||||
| Total Russia | 66,826 | |||||||||
|
|
|
|||||||||
| South Korea — 0.3% | ||||||||||
| 538 | Hyundai Motor Co. (c) | 45,665 | ||||||||
| 778 | Hyundai Motor Co. (c) | 65,092 | ||||||||
| 2,160 | Hyundai Motor Co. GDR | 88,785 | ||||||||
| 2,082 | LG Electronics, Inc. | 75,413 | ||||||||
| 54,098 | Samsung Electronics Co. Ltd. | 2,426,912 | ||||||||
| 89 | Samsung Electronics Co. Ltd. GDR | 98,476 | ||||||||
|
|
|
|||||||||
| Total South Korea | 2,800,343 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $22,116,395) |
18,145,029 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 16.4% | ||||||||||
| United States — 16.4% | ||||||||||
| U.S. Government — 16.1% | ||||||||||
| 490,000 | U.S. Treasury Bills, 5.52%, due 03/07/24 (h) | 483,094 | ||||||||
| 20,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield - 0.08%, 5.28%, due 04/30/24 | 19,993,814 | ||||||||
| 30,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.39%, due 07/31/24 | 30,001,007 | ||||||||
| 40,477,673 | U.S. Treasury Inflation-Indexed Notes, 1.25%, due 04/15/28 (a) | 38,743,536 | ||||||||
| 84,158,717 | U.S. Treasury Inflation-Indexed Notes, 1.38%, due 07/15/33 (a) | 78,796,887 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 168,018,338 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 0.3% | ||||||||||
| 3,500,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.43%, due 03/06/24 | 3,501,088 | ||||||||
|
|
|
|||||||||
| Total United States | 171,519,426 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $170,117,607) |
171,519,426 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 15.9% | ||||||||||
| United States — 15.9% | ||||||||||
| Affiliated Issuers — 15.9% | ||||||||||
| 2,069,739 | GMO Emerging Country Debt Fund, Class VI | 39,863,167 | ||||||||
| 738,263 | GMO High Yield Fund, Class VI | 13,222,291 | ||||||||
| 2,112,957 | GMO Opportunistic Income Fund, Class VI | 52,485,865 | ||||||||
| 2,196,614 | GMO Resources Fund, Class VI | 48,127,809 | ||||||||
| 2,631,692 | GMO U.S. Treasury Fund (i) | 13,158,461 | ||||||||
|
|
|
|||||||||
| Total Affiliated Issuers | 166,857,593 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $182,782,090) |
166,857,593 | |||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares / Par Value† |
Description | Value ($) |
||||||||
| SHORT-TERM INVESTMENTS — 7.5% | ||||||||||
| Money Market Funds — 0.7% | ||||||||||
| 7,030,049 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (j) | 7,030,049 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements — 2.9% | ||||||||||
| 30,999,585 | Nomura Securities International, Inc. Repurchase Agreement, dated 11/30/23, maturing on 12/01/23 with a maturity value of $31,004,149 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 09/30/28 and a market value of $31,303,536. | 30,999,585 | ||||||||
|
|
|
|||||||||
| U.S. Government Agency — 3.9% | ||||||||||
| 16,000,000 | Federal Home Loan Banks, 5.23%, due 03/22/24 | 15,992,396 | ||||||||
| 9,500,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.41%, due 09/04/24 | 9,500,970 | ||||||||
| 15,000,000 | Federal Home Loan Banks, 5.55%, due 08/12/24 | 14,987,599 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 40,480,965 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $78,529,634) |
78,510,599 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 120.0% (Cost $1,330,925,592) |
1,257,448,639 | |||||||||
|
|
|
|||||||||
| SECURITIES SOLD SHORT — (18.8)% | ||||||||||
| Common Stocks — (18.6)% | ||||||||||
| Australia — (0.4)% | ||||||||||
| (23,744 | ) | ASX Ltd. | (910,497 | ) | ||||||
| (5,418 | ) | Cochlear Ltd. | (977,173 | ) | ||||||
| (52,035 | ) | IDP Education Ltd. | (778,461 | ) | ||||||
| (132,537 | ) | Lottery Corp. Ltd. | (402,322 | ) | ||||||
| (11,040 | ) | Pilbara Minerals Ltd. | (26,398 | ) | ||||||
| (22,745 | ) | Ramsay Health Care Ltd. | (738,579 | ) | ||||||
| (12,554 | ) | WiseTech Global Ltd. | (552,859 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (4,386,289 | ) | ||||||||
|
|
|
|||||||||
| Austria — (0.1)% | ||||||||||
| (12,588 | ) | Verbund AG | (1,199,155 | ) | ||||||
| Belgium — (0.2)% | ||||||||||
| (27,293 | ) | Anheuser-Busch InBev SA | (1,717,629 | ) | ||||||
| (6 | ) | Lotus Bakeries NV | (52,108 | ) | ||||||
|
|
|
|||||||||
| Total Belgium | (1,769,737 | ) | ||||||||
|
|
|
|||||||||
| Canada — (1.2)% | ||||||||||
| (21,895 | ) | Agnico Eagle Mines Ltd. | (1,175,761 | ) | ||||||
| (12,752 | ) | Algonquin Power & Utilities Corp. | (78,425 | ) | ||||||
| (73,900 | ) | AltaGas Ltd. | (1,503,106 | ) | ||||||
| (3,407 | ) | Brookfield Renewable Corp. – Class A | (90,422 | ) | ||||||
| (38,730 | ) | Cameco Corp. | (1,778,482 | ) | ||||||
| (50,150 | ) | Enbridge, Inc. | (1,748,730 | ) | ||||||
| (12,046 | ) | Franco-Nevada Corp. | (1,350,357 | ) | ||||||
| Shares | Description | Value ($) |
||||||||
| Canada — continued | ||||||||||
| (47,600 | ) | GFL Environmental, Inc. | (1,366,120 | ) | ||||||
| (49,101 | ) | Pembina Pipeline Corp. | (1,641,446 | ) | ||||||
| (24,210 | ) | Restaurant Brands International, Inc. | (1,720,847 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (12,453,696 | ) | ||||||||
|
|
|
|||||||||
| Denmark — (0.1)% | ||||||||||
| (7,592 | ) | Coloplast AS – Class B | (895,836 | ) | ||||||
| (626 | ) | Novo Nordisk AS – Class B | (63,955 | ) | ||||||
| (20,867 | ) | Tryg AS | (450,294 | ) | ||||||
|
|
|
|||||||||
| Total Denmark | (1,410,085 | ) | ||||||||
|
|
|
|||||||||
| Finland — (0.0)% | ||||||||||
| (6,700 | ) | Elisa OYJ | (299,901 | ) | ||||||
| (1,198 | ) | Kone OYJ – Class B | (53,330 | ) | ||||||
|
|
|
|||||||||
| Total Finland | (353,231 | ) | ||||||||
|
|
|
|||||||||
| France — (0.5)% | ||||||||||
| (37,664 | ) | Accor SA | (1,309,559 | ) | ||||||
| (7,048 | ) | Aeroports de Paris SA | (869,037 | ) | ||||||
| (85,857 | ) | Getlink SE | (1,568,877 | ) | ||||||
| (852 | ) | Hermes International SCA | (1,765,781 | ) | ||||||
| (898 | ) | Sartorius Stedim Biotech | (202,493 | ) | ||||||
|
|
|
|||||||||
| Total France | (5,715,747 | ) | ||||||||
|
|
|
|||||||||
| Germany — (0.8)% | ||||||||||
| (7,220 | ) | adidas AG | (1,511,388 | ) | ||||||
| (3,431 | ) | Covestro AG * | (180,423 | ) | ||||||
| (46,186 | ) | Delivery Hero SE * | (1,464,034 | ) | ||||||
| (3,578 | ) | Deutsche Boerse AG | (680,208 | ) | ||||||
| (6,020 | ) | MTU Aero Engines AG | (1,233,684 | ) | ||||||
| (1,430 | ) | Puma SE | (92,357 | ) | ||||||
| (4,503 | ) | QIAGEN NV * | (185,344 | ) | ||||||
| (1,091 | ) | Rational AG | (699,683 | ) | ||||||
| (19,304 | ) | Siemens Energy AG * | (228,075 | ) | ||||||
| (14,961 | ) | Symrise AG | (1,684,033 | ) | ||||||
| (2,478 | ) | Vonovia SE | (68,921 | ) | ||||||
| (8,677 | ) | Zalando SE * | (206,878 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (8,235,028 | ) | ||||||||
|
|
|
|||||||||
| Ireland — (0.1)% | ||||||||||
| (3,635 | ) | Flutter Entertainment PLC * | (569,500 | ) | ||||||
|
|
|
|||||||||
| Israel — (0.2)% | ||||||||||
| (8,861 | ) | CyberArk Software Ltd. * | (1,765,731 | ) | ||||||
|
|
|
|||||||||
| Italy — (0.5)% | ||||||||||
| (37,218 | ) | Amplifon SpA | (1,156,815 | ) | ||||||
| (5,176 | ) | Ferrari NV | (1,865,314 | ) | ||||||
| (99,984 | ) | FinecoBank Banca Fineco SpA | (1,349,218 | ) | ||||||
| (112,566 | ) | Infrastrutture Wireless Italiane SpA | (1,391,968 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (5,763,315 | ) | ||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Japan — (1.6)% | ||||||||||
| (75,200 | ) | Aeon Co. Ltd. | (1,555,394 | ) | ||||||
| (3,400 | ) | ANA Holdings, Inc. * | (70,160 | ) | ||||||
| (32,300 | ) | Asahi Intecc Co. Ltd. | (626,644 | ) | ||||||
| (1,400 | ) | BayCurrent Consulting, Inc. | (46,979 | ) | ||||||
| (14,100 | ) | GMO Payment Gateway, Inc. | (826,747 | ) | ||||||
| (1,800 | ) | Ibiden Co. Ltd. | (86,057 | ) | ||||||
| (12,700 | ) | Japan Airlines Co. Ltd. | (240,380 | ) | ||||||
| (42,900 | ) | Japan Exchange Group, Inc. | (875,689 | ) | ||||||
| (21,900 | ) | Keio Corp. | (631,134 | ) | ||||||
| (12,100 | ) | Keisei Electric Railway Co. Ltd. | (487,401 | ) | ||||||
| (19,800 | ) | Kintetsu Group Holdings Co. Ltd. | (554,427 | ) | ||||||
| (15,300 | ) | Kobe Bussan Co. Ltd. | (402,313 | ) | ||||||
| (8,400 | ) | Lasertec Corp. | (1,876,026 | ) | ||||||
| (26,000 | ) | M3, Inc. | (429,067 | ) | ||||||
| (72,100 | ) | MonotaRO Co. Ltd. | (724,684 | ) | ||||||
| (35,100 | ) | Nippon Paint Holdings Co. Ltd. | (261,652 | ) | ||||||
| (30,800 | ) | Odakyu Electric Railway Co. Ltd. | (432,780 | ) | ||||||
| (50,100 | ) | Oriental Land Co. Ltd. | (1,701,856 | ) | ||||||
| (351,000 | ) | Rakuten Group, Inc. | (1,387,115 | ) | ||||||
| (8,400 | ) | Sharp Corp. * | (52,491 | ) | ||||||
| (18,700 | ) | Shiseido Co. Ltd. | (500,946 | ) | ||||||
| (148,400 | ) | SoftBank Corp. | (1,803,493 | ) | ||||||
| (20,800 | ) | Tobu Railway Co. Ltd. | (514,007 | ) | ||||||
| (63,100 | ) | Tokyu Corp. | (740,096 | ) | ||||||
| (5,500 | ) | West Japan Railway Co. | (217,374 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (17,044,912 | ) | ||||||||
|
|
|
|||||||||
| Netherlands — (0.5)% | ||||||||||
| (1,415 | ) | Adyen NV * | (1,654,497 | ) | ||||||
| (100 | ) | ASML Holding NV | (68,153 | ) | ||||||
| (9,578 | ) | BE Semiconductor Industries NV | (1,344,627 | ) | ||||||
| (324 | ) | IMCD NV | (50,005 | ) | ||||||
| (66,835 | ) | Universal Music Group NV | (1,765,848 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (4,883,130 | ) | ||||||||
|
|
|
|||||||||
| New Zealand — (0.1)% | ||||||||||
| (20,719 | ) | Xero Ltd. * | (1,412,605 | ) | ||||||
|
|
|
|||||||||
| Norway — (0.1)% | ||||||||||
| (21,686 | ) | Aker BP ASA | (617,617 | ) | ||||||
|
|
|
|||||||||
| Peru — (0.1)% | ||||||||||
| (19,231 | ) | Southern Copper Corp. | (1,383,286 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.3)% | ||||||||||
| (417,461 | ) | Grab Holdings Ltd. – Class A * | (1,269,082 | ) | ||||||
| (13,911,000 | ) | Seatrium Ltd. * | (1,092,674 | ) | ||||||
| (35,500 | ) | Singapore Exchange Ltd. | (250,572 | ) | ||||||
| (33,200 | ) | Singapore Technologies Engineering Ltd. | (92,087 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (2,704,415 | ) | ||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| Spain — (0.4)% | ||||||||||
| (48,210 | ) | Cellnex Telecom SA * | (1,840,588 | ) | ||||||
| (53,079 | ) | Ferrovial SE | (1,835,700 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (3,676,288 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (0.2)% | ||||||||||
| (28,130 | ) | Beijer Ref AB | (311,518 | ) | ||||||
| (33,141 | ) | EQT AB | (782,890 | ) | ||||||
| (5,665 | ) | Evolution AB | (586,894 | ) | ||||||
| (35,726 | ) | H & M Hennes & Mauritz AB – Class B | (572,199 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (2,253,501 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.1)% | ||||||||||
| (657 | ) | Bachem Holding AG | (48,873 | ) | ||||||
| (1 | ) | Chocoladefabriken Lindt & Spruengli AG | (122,313 | ) | ||||||
| (560 | ) | Partners Group Holding AG | (738,355 | ) | ||||||
| (3,026 | ) | SIG Group AG | (70,617 | ) | ||||||
| (2,619 | ) | Straumann Holding AG (Registered) | (360,184 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (1,340,342 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (1.1)% | ||||||||||
| (10,994 | ) | Admiral Group PLC | (375,642 | ) | ||||||
| (136,830 | ) | Auto Trader Group PLC | (1,254,999 | ) | ||||||
| (72,609 | ) | Hargreaves Lansdown PLC | (659,862 | ) | ||||||
| (182,971 | ) | Informa PLC | (1,720,541 | ) | ||||||
| (20,424 | ) | InterContinental Hotels Group PLC | (1,583,777 | ) | ||||||
| (17,371 | ) | London Stock Exchange Group PLC | (1,958,289 | ) | ||||||
| (269,305 | ) | M&G PLC | (713,310 | ) | ||||||
| (4,042 | ) | Prudential PLC | (44,209 | ) | ||||||
| (490,490 | ) | Rolls-Royce Holdings PLC * | (1,673,781 | ) | ||||||
| (10,068 | ) | Severn Trent PLC | (330,740 | ) | ||||||
| (3,763 | ) | Spirax-Sarco Engineering PLC | (439,728 | ) | ||||||
| (87,899 | ) | Wise PLC – Class A * | (869,535 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (11,624,413 | ) | ||||||||
|
|
|
|||||||||
| United States — (10.0)% | ||||||||||
| (1,329 | ) | AECOM | (118,095 | ) | ||||||
| (100,648 | ) | AES Corp. | (1,732,152 | ) | ||||||
| (9,068 | ) | Alnylam Pharmaceuticals, Inc. * | (1,525,691 | ) | ||||||
| (39,414 | ) | Altria Group, Inc. | (1,656,965 | ) | ||||||
| (5,100 | ) | American Tower Corp. – (REIT) | (1,064,778 | ) | ||||||
| (2,831 | ) | Amgen, Inc. | (763,351 | ) | ||||||
| (16,867 | ) | ARES Management Corp. – Class A | (1,893,321 | ) | ||||||
| (7,802 | ) | Arthur J Gallagher & Co. | (1,942,698 | ) | ||||||
| (458 | ) | Automatic Data Processing, Inc. | (105,303 | ) | ||||||
| (7,197 | ) | Axon Enterprise, Inc. * | (1,654,374 | ) | ||||||
| (15,686 | ) | Bill Holdings, Inc. * | (1,026,962 | ) | ||||||
| (2,763 | ) | BioMarin Pharmaceutical, Inc. * | (251,654 | ) | ||||||
| (6,424 | ) | Bio-Techne Corp. | (404,070 | ) | ||||||
| (9,053 | ) | Boeing Co. * | (2,096,946 | ) | ||||||
| (1,912 | ) | Broadcom, Inc. | (1,769,996 | ) | ||||||
| (11,081 | ) | Burlington Stores, Inc. * | (1,879,227 | ) | ||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| (33,690 | ) | Caesars Entertainment, Inc. * | (1,506,617 | ) | ||||||
| (21,091 | ) | Catalent, Inc. * | (819,385 | ) | ||||||
| (757 | ) | CDW Corp. | (159,636 | ) | ||||||
| (22,438 | ) | Ceridian HCM Holding, Inc. * | (1,545,978 | ) | ||||||
| (780 | ) | Charles Schwab Corp. | (47,830 | ) | ||||||
| (2,153 | ) | Chewy, Inc. – Class A * | (37,505 | ) | ||||||
| (865 | ) | Chipotle Mexican Grill, Inc. * | (1,904,946 | ) | ||||||
| (24,403 | ) | Cloudflare, Inc. – Class A * | (1,882,691 | ) | ||||||
| (699 | ) | CME Group, Inc. | (152,634 | ) | ||||||
| (18,008 | ) | Dexcom, Inc. * | (2,080,284 | ) | ||||||
| (41,386 | ) | DraftKings, Inc. – Class A * | (1,582,601 | ) | ||||||
| (2,010 | ) | Ecolab, Inc. | (385,377 | ) | ||||||
| (12,300 | ) | Equity LifeStyle Properties, Inc. – (REIT) | (874,530 | ) | ||||||
| (1,567 | ) | Erie Indemnity Co. – Class A | (463,268 | ) | ||||||
| (11,445 | ) | Essential Utilities, Inc. | (407,556 | ) | ||||||
| (23,207 | ) | Exact Sciences Corp. * | (1,485,248 | ) | ||||||
| (1,744 | ) | Fair Isaac Corp. * | (1,896,774 | ) | ||||||
| (6,693 | ) | Fastenal Co. | (401,379 | ) | ||||||
| (29,553 | ) | Fidelity National Information Services, Inc. | (1,732,988 | ) | ||||||
| (4,365 | ) | Gartner, Inc. * | (1,898,077 | ) | ||||||
| (3,519 | ) | HubSpot, Inc. * | (1,738,140 | ) | ||||||
| (1,012 | ) | Hyatt Hotels Corp. – Class A | (116,137 | ) | ||||||
| (729 | ) | IDEXX Laboratories, Inc. * | (339,583 | ) | ||||||
| (9,908 | ) | Insulet Corp. * | (1,873,504 | ) | ||||||
| (7,800 | ) | IQVIA Holdings, Inc. * | (1,669,980 | ) | ||||||
| (14,169 | ) | Iron Mountain, Inc. – (REIT) | (908,941 | ) | ||||||
| (249 | ) | Jack Henry & Associates, Inc. | (39,514 | ) | ||||||
| (9,974 | ) | Lamb Weston Holdings, Inc. | (997,699 | ) | ||||||
| (12,990 | ) | Lattice Semiconductor Corp. * | (760,565 | ) | ||||||
| (24,254 | ) | Liberty Media Corp.-Liberty Formula One – Class C * | (1,544,010 | ) | ||||||
| (4,583 | ) | Linde PLC | (1,896,308 | ) | ||||||
| (18,843 | ) | Live Nation Entertainment, Inc. * | (1,586,957 | ) | ||||||
| (1,749 | ) | Manhattan Associates, Inc. * | (390,114 | ) | ||||||
| (4,489 | ) | MarketAxess Holdings, Inc. | (1,077,899 | ) | ||||||
| (307 | ) | Marsh & McLennan Cos., Inc. | (61,222 | ) | ||||||
| (4,440 | ) | Mastercard, Inc. – Class A | (1,837,405 | ) | ||||||
| (2,497 | ) | McKesson Corp. | (1,174,988 | ) | ||||||
| (1,263 | ) | MercadoLibre, Inc. * | (2,046,641 | ) | ||||||
| (4,600 | ) | MongoDB, Inc. * | (1,912,404 | ) | ||||||
| (119 | ) | Monolithic Power Systems, Inc. | (65,298 | ) | ||||||
| (3,539 | ) | Moody’s Corp. | (1,291,593 | ) | ||||||
| (174 | ) | Motorola Solutions, Inc. | (56,179 | ) | ||||||
| (3,330 | ) | MSCI, Inc. | (1,734,431 | ) | ||||||
| (40,526 | ) | Newmont Corp. | (1,628,740 | ) | ||||||
| (54,292 | ) | NiSource, Inc. | (1,392,047 | ) | ||||||
| (21,397 | ) | Okta, Inc. * | (1,434,669 | ) | ||||||
| (25,000 | ) | ONEOK, Inc. | (1,721,250 | ) | ||||||
| (89,673 | ) | Palantir Technologies, Inc. – Class A * | (1,797,944 | ) | ||||||
| (594 | ) | Palo Alto Networks, Inc. * | (175,283 | ) | ||||||
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| (14,195 | ) | Paychex, Inc. | (1,731,364 | ) | ||||||
| (425 | ) | Paylocity Holding Corp. * | (66,585 | ) | ||||||
| (16,858 | ) | Philip Morris International, Inc. | (1,573,863 | ) | ||||||
| (638 | ) | Pool Corp. | (221,590 | ) | ||||||
| (1,349 | ) | PTC, Inc. * | (212,279 | ) | ||||||
| (9,615 | ) | Repligen Corp. * | (1,511,959 | ) | ||||||
| (49,837 | ) | Rivian Automotive, Inc. – Class A * | (835,268 | ) | ||||||
| (46,162 | ) | ROBLOX Corp. – Class A * | (1,814,628 | ) | ||||||
| (18,788 | ) | Roku, Inc. * | (1,957,710 | ) | ||||||
| (39,165 | ) | Rollins, Inc. | (1,595,582 | ) | ||||||
| (2,329 | ) | Royal Caribbean Cruises Ltd. * | (250,274 | ) | ||||||
| (827 | ) | RPM International, Inc. | (85,123 | ) | ||||||
| (1,908 | ) | Sherwin-Williams Co. | (531,950 | ) | ||||||
| (5,778 | ) | Simon Property Group, Inc. – (REIT) | (721,614 | ) | ||||||
| (10,760 | ) | Snowflake, Inc. – Class A * | (2,019,437 | ) | ||||||
| (12,526 | ) | Starbucks Corp. | (1,243,832 | ) | ||||||
| (155 | ) | STERIS PLC | (31,146 | ) | ||||||
| (7,498 | ) | Tesla, Inc. * | (1,800,120 | ) | ||||||
| (127 | ) | Texas Pacific Land Corp. | (212,338 | ) | ||||||
| (77,793 | ) | Toast, Inc. – Class A * | (1,156,782 | ) | ||||||
| (1,077 | ) | Trade Desk, Inc. – Class A * | (75,885 | ) | ||||||
| (1,952 | ) | TransDigm Group, Inc. * | (1,879,522 | ) | ||||||
| (6,645 | ) | Vail Resorts, Inc. | (1,444,025 | ) | ||||||
| (4,094 | ) | Watsco, Inc. | (1,564,850 | ) | ||||||
| (52,123 | ) | Williams Cos., Inc. | (1,917,605 | ) | ||||||
| (40,055 | ) | Wolfspeed, Inc. * | (1,476,427 | ) | ||||||
| (2,987 | ) | Zillow Group, Inc. – Class C * | (122,288 | ) | ||||||
| (9,349 | ) | Zscaler, Inc. * | (1,846,708 | ) | ||||||
|
|
|
|||||||||
| Total United States | (104,321,086 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $176,497,690) |
(194,883,109 | ) | ||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (g) — (0.2)% | ||||||||||
| Germany — (0.2)% | ||||||||||
| (5,032 | ) | Sartorius AG | (1,623,850 | ) | ||||||
| (682 | ) | Dr Ing hc F Porsche AG | (62,479 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $1,951,654) |
(1,686,329 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $178,449,344) |
(196,569,438 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — (1.2%) | (13,306,988 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 1,047,572,213 | ||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 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 November 30, 2023 |
||||||||
| Alrosa PJSC | 12/06/2017 | $ | 4,239,436 | 0.0% | $ | 22,035 | ||||||
| Magnitogorsk Iron & Steel Works PJSC | 09/08/2017 | 1,550,653 | 0.0% | 10,561 | ||||||||
| PhosAgro PJSC GDR | 12/03/2020 | 1,365 | 0.0% | 17 | ||||||||
| Polyus PJSC | 07/22/2020 | 2,148,976 | 0.0% | 12,348 | ||||||||
| Polyus PJSC GDR (Registered) | 02/24/2023 | 0 | 0.0% | 1 | ||||||||
| Sberbank of Russia PJSC | 09/09/2020 | 12,774,954 | 0.0% | 113,140 | ||||||||
| Sberbank of Russia PJSC | 01/10/2022 | 77,024 | 0.0% | 639 | ||||||||
| Severstal PAO | 02/02/2021 | 7,249 | 0.0% | 60 | ||||||||
| Severstal PAO GDR (Registered) | 03/16/2020 | 1,679,360 | 0.0% | 12,938 | ||||||||
|
|
|
|||||||||||
| $ | 171,739 | |||||||||||
|
|
|
|||||||||||
A summary of outstanding financial instruments at November 30, 2023 is as follows:
Futures Contracts
|
Number |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 189 | U.S. Treasury Note 10 Yr. (CBT) | March 2024 | 20,751,610 | 112,749 | ||||||||
| 267 | U.S. Treasury Note 5 Yr. (CBT) | March 2024 | 28,529,367 | 150,404 | ||||||||
|
|
|
|
|
|||||||||
| $ | 49,280,977 | $ | 263,153 | |||||||||
|
|
|
|
|
|||||||||
| + | 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 |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||
| Total Return on Equity Basket (k) |
1 Month Federal Funds Rate minus 0.40% |
GS | USD | 7,622,952 | 06/24/2024 | Monthly | — | (84,125 | ) | (84,125 | ) | |||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.40% |
MORD | USD | 10,815,416 | 06/18/2024 | Monthly | — | 345,456 | 345,456 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | — | $ | 261,331 | $ | 261,331 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
As of November 30, 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) | The rate shown represents yield-to-maturity. |
| (i) | All or a portion of this security is purchased with collateral from securities loaned. |
| (j) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
| (k) | Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets. |
| (l) | The following table represents the individual short positions within the custom equity basket swap as of November 30, 2023: |
| Shares | Description | % of Equity Basket |
Value ($) | |||||||
| (540,000) |
Air China Ltd. – Class H | 3.5 | % | (363,508 | ) | |||||
| (414,300) |
Airports Of Thailand PC NVDR | 6.7 | % | (700,714 | ) | |||||
| (146,000) |
Alibaba Health Information Technology Ltd. | 0.8 | % | (82,831 | ) | |||||
| (210,000) |
China Molybdenum Co. Ltd. – Class H | 1.2 | % | (119,999 | ) | |||||
| (1,692) |
Elisa OYJ | 0.7 | % | (75,736 | ) | |||||
| (410,000) |
Genscript Biotech Corp. | 10.9 | % | (1,139,550 | ) | |||||
| (930,700) |
Gulf Energy Development PCL NVDR | 11.6 | % | (1,217,519 | ) | |||||
| (1,983) |
Hanmi Pharm Co. Ltd. | 4.5 | % | (470,857 | ) | |||||
| (80,900) |
Hapvida Participacoes e Investimentos SA | 0.7 | % | (71,826 | ) | |||||
| (12,598) |
Hotel Shilla Co. Ltd. | 6.1 | % | (639,647 | ) | |||||
| (8,341) |
Kakao Corp. | 3.1 | % | (325,422 | ) | |||||
| (584,000) |
Kingdee International Software Group Co. Ltd. | 7.7 | % | (810,712 | ) | |||||
| (35,730) |
Korea Aerospace Industries Ltd. | 12.3 | % | (1,283,918 | ) | |||||
| (83,100) |
Microport Scientific Corp. | 1.3 | % | (133,127 | ) | |||||
| 67,844 |
Nokia OYJ | (2.3 | %) | 237,953 | ||||||
| (99,600) |
Nongfu Spring Co. Ltd. – Class H | 5.4 | % | (568,096 | ) | |||||
| (99) |
POSCO Chemical Co. Ltd. | 0.2 | % | (24,777 | ) | |||||
| (21,900) |
Rede D’Or Sao Luiz SA | 1.1 | % | (118,353 | ) | |||||
| (2,625) |
Samsung Biologics Co. Ltd. | 14.0 | % | (1,468,428 | ) | |||||
| (212,948) |
Samsung Heavy Industries Co. Ltd. | 12.5 | % | (1,314,265 | ) | |||||
| 38,077 |
Stora Enso OYJ – R Shares | (4.7 | %) | 494,757 | ||||||
| (5,132) |
Yuhan Corp. | 2.3 | % | (243,587 | ) | |||||
| (26,000) |
Zijin Mining Group Co. Ltd. – Class H | 0.4 | % | (41,174 | ) | |||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS | $ | (10,481,336 | ) | |||||||
|
|
|
|||||||||
The rates shown on variable rate notes are the current interest rates at November 30, 2023, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
ADR - American Depositary Receipt
CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.
GDR - Global Depositary Receipt
JSB - Joint Stock Bank
JSC - Joint-Stock Company
NVDR - Non-Voting Depositary Receipt
PJSC - Private Joint-Stock Company
QPSC - Qatar Private Stock Company
QSC - Qatari Shareholding Company
REIT - Real Estate Investment Trust
SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)
SOFR - Secured Overnight Financing Rate
Counterparty Abbreviations:
GS - Goldman Sachs International
MORD - Morgan Stanley Capital Services LLC
Currency Abbreviations:
USD - United States Dollar
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 99.7% | ||||||||||
| Affiliated Issuers — 99.7% | ||||||||||
| 2,257,112 | GMO Alternative Allocation Fund, Class VI | 42,862,558 | ||||||||
| 1,067,871 | GMO Asset Allocation Bond Fund, Class VI | 20,919,596 | ||||||||
| 598,275 | GMO Emerging Country Debt Fund, Class VI | 11,522,780 | ||||||||
| 1,664,493 | GMO Emerging Markets ex-China Fund, Class VI | 24,950,755 | ||||||||
| 1,115,504 | GMO Emerging Markets Fund, Class VI | 24,920,353 | ||||||||
| 1,985,068 | GMO International Equity Fund, Class IV | 46,212,385 | ||||||||
| 1,749,751 | GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV | 24,706,492 | ||||||||
| 751,000 | GMO-Usonian Japan Value Creation Fund, Class VI | 14,171,363 | ||||||||
| 2,423,920 | GMO Multi-Sector Fixed Income Fund, Class IV | 40,721,857 | ||||||||
| 410,566 | GMO Opportunistic Income Fund, Class VI | 10,198,471 | ||||||||
| 479,897 | GMO Quality Cyclicals Fund, Class VI | 10,471,346 | ||||||||
| 370,413 | GMO Quality Fund, Class VI | 10,745,692 | ||||||||
| 447,036 | GMO Small Cap Quality Fund, Class VI | 10,558,980 | ||||||||
| 1,375,661 | GMO U.S. Equity Fund, Class VI | 17,828,562 | ||||||||
| 1,161,936 | GMO U.S. Opportunistic Value Fund, Class VI | 23,889,402 | ||||||||
| 408,691 | GMO U.S. Small Cap Value Fund, Class VI | 7,094,869 | ||||||||
| 301,205 | GMO Resources Fund, Class VI | 6,599,398 | ||||||||
| 32,354 | GMO U.S. Treasury Fund | 161,770 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $380,444,685) |
348,536,629 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 480,205 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (a) | 480,205 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $480,205) |
480,205 | |||||||||
| TOTAL INVESTMENTS — 99.8% (Cost $380,924,890) |
349,016,834 | |||||||||
| Other Assets and Liabilities (net) — 0.2% | 613,392 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 349,630,226 | ||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 100.0% | ||||||||||
| Affiliated Issuers — 100.0% | ||||||||||
| 308,015 | GMO Emerging Markets ex-China Fund, Class VI | 4,617,148 | ||||||||
| 756,264 | GMO International Equity Fund, Class IV | 17,605,818 | ||||||||
| 455,502 | GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV | 6,431,689 | ||||||||
| 136,091 | GMO-Usonian Japan Value Creation Fund, Class VI | 2,568,037 | ||||||||
| 150,081 | GMO Quality Cyclicals Fund, Class VI | 3,274,774 | ||||||||
| 339,760 | GMO Quality Fund, Class VI | 9,856,439 | ||||||||
| 133,994 | GMO Small Cap Quality Fund, Class VI | 3,164,938 | ||||||||
| 305,179 | GMO U.S. Equity Fund, Class VI | 3,955,113 | ||||||||
| 472,907 | GMO U.S. Opportunistic Value Fund, Class VI | 9,722,962 | ||||||||
| 111,354 | GMO U.S. Small Cap Value Fund, Class VI | 1,933,107 | ||||||||
| 83,759 | GMO Resources Fund, Class VI | 1,835,154 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $62,389,727) |
64,965,179 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 62,623 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (a) | 62,623 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $62,623) |
62,623 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $62,452,350) |
65,027,802 | |||||||||
| Other Assets and Liabilities (net) — (0.1%) | (44,589 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 64,983,213 | ||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 100.0% | ||||||||||
| Affiliated Issuers — 100.0% | ||||||||||
| 4,180,818 | GMO Emerging Markets ex-China Fund, Class VI | 62,670,465 | ||||||||
| 3,070,782 | GMO Emerging Markets Fund, Class VI | 68,601,278 | ||||||||
| 5,366,086 | GMO International Equity Fund, Class IV | 124,922,470 | ||||||||
| 4,369,826 | GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV | 61,701,949 | ||||||||
| 1,304,958 | GMO-Usonian Japan Value Creation Fund, Class VI | 24,624,558 | ||||||||
| 1,439,608 | GMO Quality Cyclicals Fund, Class VI | 31,412,252 | ||||||||
| 2,581,935 | GMO Quality Fund, Class VI | 74,901,919 | ||||||||
| 1,287,414 | GMO Small Cap Quality Fund, Class VI | 30,408,729 | ||||||||
| 2,404,336 | GMO U.S. Equity Fund, Class VI | 31,160,190 | ||||||||
| 3,617,701 | GMO U.S. Opportunistic Value Fund, Class VI | 74,379,932 | ||||||||
| 1,071,755 | GMO U.S. Small Cap Value Fund, Class VI | 18,605,662 | ||||||||
| 829,983 | GMO Resources Fund, Class VI | 18,184,921 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $671,926,378) |
621,574,325 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
| Money Market Funds — 0.0% | ||||||||||
| 254,989 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (a) | 254,989 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $254,989) |
254,989 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $672,181,367) |
621,829,314 | |||||||||
| Other Assets and Liabilities (net) — (0.0%) | (123,468 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 621,705,846 | ||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| COMMON STOCKS — 84.7% |
| |||||||||
| Argentina — 0.0% | ||||||||||
| 115,912 | Adecoagro SA | 1,328,352 | ||||||||
|
|
|
|||||||||
| Australia — 1.8% | ||||||||||
| 202,507 | Accent Group Ltd. | 241,504 | ||||||||
| 7,737 | Ampol Ltd. | 174,351 | ||||||||
| 14,216 | ANZ Group Holdings Ltd. | 228,682 | ||||||||
| 737,159 | Beach Energy Ltd. | 718,240 | ||||||||
| 437,843 | BHP Group Ltd. (a) | 13,328,999 | ||||||||
| 682,762 | BlueScope Steel Ltd. | 9,365,686 | ||||||||
| 615,617 | Brambles Ltd. (a) | 5,425,178 | ||||||||
| 6,053 | Brickworks Ltd. | 100,356 | ||||||||
| 208,709 | CSR Ltd. | 808,288 | ||||||||
| 74,995 | Dexus – (REIT) (a) | 348,558 | ||||||||
| 352,120 | Fortescue Ltd. | 5,782,125 | ||||||||
| 891,208 | GPT Group – (REIT) (a) | 2,422,713 | ||||||||
| 175,564 | GrainCorp Ltd. – Class A | 884,609 | ||||||||
| 391,714 | Grange Resources Ltd. | 111,077 | ||||||||
| 290,598 | Helia Group Ltd. | 791,872 | ||||||||
| 66,858 | HomeCo Daily Needs – (REIT) (a) | 49,979 | ||||||||
| 36,760 | JB Hi-Fi Ltd. (b) | 1,160,563 | ||||||||
| 22,644 | McMillan Shakespeare Ltd. (a) | 266,436 | ||||||||
| 1,824,744 | Mirvac Group – (REIT) (a) | 2,478,504 | ||||||||
| 1,198,425 | Origin Energy Ltd. (a) | 6,538,028 | ||||||||
| 251,111 | Perenti Ltd. * | 173,831 | ||||||||
| 136,648 | Qantas Airways Ltd. * (a) | 478,340 | ||||||||
| 52,261 | Rio Tinto Ltd. (a) | 4,290,908 | ||||||||
| 1,133,073 | Scentre Group – (REIT) (a) | 1,981,431 | ||||||||
| 79,010 | Southern Cross Media Group Ltd. | 54,729 | ||||||||
| 902,202 | Stockland – (REIT) (a) | 2,458,646 | ||||||||
| 154,510 | Sunrise Energy Metals Ltd. * | 63,531 | ||||||||
| 134,832 | Super Retail Group Ltd. | 1,235,958 | ||||||||
| 180,592 | Viva Energy Group Ltd. | 366,157 | ||||||||
|
|
|
|||||||||
| Total Australia | 62,329,279 | |||||||||
|
|
|
|||||||||
| Austria — 0.3% | ||||||||||
| 52,038 | Erste Group Bank AG | 2,104,491 | ||||||||
| 158,711 | OMV AG (b) | 6,776,761 | ||||||||
| 6,643 | Raiffeisen Bank International AG | 110,766 | ||||||||
| 1,869 | Strabag SE | 77,160 | ||||||||
|
|
|
|||||||||
| Total Austria | 9,069,178 | |||||||||
|
|
|
|||||||||
| Belgium — 0.9% | ||||||||||
| 257,928 | Ageas SA | 11,108,350 | ||||||||
| 27,105 | Bekaert SA | 1,258,169 | ||||||||
| 2,513 | Cie d’Entreprises CFE | 20,061 | ||||||||
| 8,897 | Colruyt Group NV (a) | 384,072 | ||||||||
| 11,958 | Econocom Group SA (a) | 32,080 | ||||||||
| 129,820 | Euronav NV | 2,335,462 | ||||||||
| 30,036 | KBC Group NV | 1,721,891 | ||||||||
| 2,021 | Melexis NV | 186,037 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Belgium — continued | ||||||||||
| 1,544 | Orange Belgium SA * (a) | 22,729 | ||||||||
| 294,016 | Proximus SADP | 2,821,776 | ||||||||
| 7,810 | Sofina SA | 1,740,625 | ||||||||
| 31,669 | Solvay SA | 3,668,537 | ||||||||
| 79,563 | UCB SA | 5,884,459 | ||||||||
|
|
|
|||||||||
| Total Belgium | 31,184,248 | |||||||||
|
|
|
|||||||||
| Bermuda — 0.2% | ||||||||||
| 428,347 | Liberty Global Ltd. – Class A * | 6,853,552 | ||||||||
| 21,893 | Liberty Global Ltd. – Class C * (b) | 368,678 | ||||||||
|
|
|
|||||||||
| Total Bermuda | 7,222,230 | |||||||||
|
|
|
|||||||||
| Brazil — 1.1% | ||||||||||
| 330,200 | Ambev SA | 918,405 | ||||||||
| 776,900 | Banco do Brasil SA | 8,566,017 | ||||||||
| 129,100 | BB Seguridade Participacoes SA | 820,965 | ||||||||
| 94,500 | CPFL Energia SA | 711,335 | ||||||||
| 321,835 | Enauta Participacoes SA | 1,012,835 | ||||||||
| 89,100 | Engie Brasil Energia SA | 787,446 | ||||||||
| 36,400 | Itau Unibanco Holding SA | 197,898 | ||||||||
| 3,400 | Mahle Metal Leve SA | 21,842 | ||||||||
| 650,612 | Petroleo Brasileiro SA Sponsored ADR | 9,934,845 | ||||||||
| 30,400 | PRIO SA * | 283,677 | ||||||||
| 172,526 | Sao Martinho SA | 1,160,911 | ||||||||
| 134,800 | Ser Educacional SA * | 170,621 | ||||||||
| 18,460 | SLC Agricola SA | 141,318 | ||||||||
| 51,500 | Suzano SA | 562,707 | ||||||||
| 2,010,400 | TIM SA | 7,041,638 | ||||||||
| 17,950 | TIM SA ADR (a) | 316,458 | ||||||||
| 11,900 | Transmissora Alianca de Energia Eletrica SA | 88,149 | ||||||||
| 606,557 | Ultrapar Participacoes SA | 3,111,623 | ||||||||
| 191,744 | Vale SA | 2,876,910 | ||||||||
|
|
|
|||||||||
| Total Brazil | 38,725,600 | |||||||||
|
|
|
|||||||||
| Canada — 3.6% | ||||||||||
| 8,800 | Algoma Steel Group, Inc. (b) | 74,060 | ||||||||
| 98,700 | Alimentation Couche-Tard, Inc. (a) | 5,629,817 | ||||||||
| 58,000 | Anaergia, Inc. * (b) | 11,327 | ||||||||
| 152,100 | B2Gold Corp. (c) | 513,370 | ||||||||
| 149,496 | B2Gold Corp. (c) | 505,297 | ||||||||
| 15,122 | Bank of Montreal | 1,244,389 | ||||||||
| 77,746 | Bank of Nova Scotia (c) | 3,480,688 | ||||||||
| 65,700 | Bank of Nova Scotia (c) | 2,938,937 | ||||||||
| 24,407 | Brookfield Asset Management Ltd. – Class A (a) | 854,977 | ||||||||
| 108,742 | Brookfield Corp. – Class A (b) | 3,835,330 | ||||||||
| 3,900 | BRP, Inc. (c) | 240,849 | ||||||||
| 967 | BRP, Inc. (c) | 59,693 | ||||||||
| 850,857 | Canaccord Genuity Group, Inc. (b) | 4,144,710 | ||||||||
| 64,688 | Canadian Imperial Bank of Commerce (c) | 2,671,614 | ||||||||
| 58,700 | Canadian Imperial Bank of Commerce (c) | 2,426,818 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Canada — continued | ||||||||||
| 3,000 | Canadian Natural Resources Ltd. | 200,324 | ||||||||
| 116,020 | Canadian Solar, Inc. * | 2,439,901 | ||||||||
| 52,000 | Canadian Tire Corp. Ltd. – Class A (b) | 5,409,042 | ||||||||
| 20,900 | Canfor Corp. * | 247,205 | ||||||||
| 18,900 | Cascades, Inc. | 171,040 | ||||||||
| 138,300 | Celestica, Inc. * (c) | 3,726,186 | ||||||||
| 75,494 | Celestica, Inc. * (c) | 2,035,318 | ||||||||
| 1,835 | CGI, Inc. * (a) | 186,491 | ||||||||
| 75,100 | China Gold International Resources Corp. Ltd. | 309,903 | ||||||||
| 34,900 | CI Financial Corp. | 361,615 | ||||||||
| 9,800 | Cogeco, Inc. (a) (b) | 338,066 | ||||||||
| 29,500 | Crescent Point Energy Corp. | 207,680 | ||||||||
| 88,900 | Dundee Precious Metals, Inc. | 656,456 | ||||||||
| 10,300 | Empire Co. Ltd. – Class A (a) | 279,940 | ||||||||
| 16,866 | Enerflex Ltd. (b) | 72,339 | ||||||||
| 12,300 | Enerplus Corp. | 195,078 | ||||||||
| 1,900 | EQB, Inc. | 106,975 | ||||||||
| 700 | Fairfax Financial Holdings Ltd. (a) | 643,420 | ||||||||
| 81,600 | Finning International, Inc. | 2,075,254 | ||||||||
| 123,600 | First Quantum Minerals Ltd. | 1,011,972 | ||||||||
| 86,400 | Great-West Lifeco, Inc. (a) | 2,761,464 | ||||||||
| 48,600 | iA Financial Corp., Inc. | 3,245,253 | ||||||||
| 11,958 | Imperial Oil Ltd. | 673,714 | ||||||||
| 14,900 | Interfor Corp. * | 227,955 | ||||||||
| 17,212 | International Petroleum Corp. * | 184,480 | ||||||||
| 731,200 | Ivanhoe Mines Ltd. – Class A * | 6,525,540 | ||||||||
| 110,972 | Largo, Inc. * | 227,350 | ||||||||
| 143,500 | Li-Cycle Holdings Corp. * | 126,510 | ||||||||
| 3,500 | Linamar Corp. | 148,594 | ||||||||
| 28,061 | Logan Energy Corp. * | 18,612 | ||||||||
| 58,200 | Magna International, Inc. | 3,137,855 | ||||||||
| 522,200 | Manulife Financial Corp. (a) (c) | 10,228,878 | ||||||||
| 213,599 | Manulife Financial Corp. (a) (c) | 4,184,404 | ||||||||
| 33,900 | Martinrea International, Inc. | 299,290 | ||||||||
| 80,800 | NexGen Energy Ltd. * | 526,976 | ||||||||
| 62,927 | Nutrien Ltd. (c) | 3,364,707 | ||||||||
| 53,100 | Nutrien Ltd. (c) | 2,840,192 | ||||||||
| 48,200 | Onex Corp. | 3,260,458 | ||||||||
| 5,839 | Open Text Corp. (a) | 234,378 | ||||||||
| 144,700 | Parex Resources, Inc. (b) | 2,967,686 | ||||||||
| 6,600 | Peyto Exploration & Development Corp. (b) | 60,847 | ||||||||
| 117,300 | Power Corp. of Canada (a) | 3,245,967 | ||||||||
| 144,400 | Quebecor, Inc. – Class B | 3,204,159 | ||||||||
| 724,783 | Resolute Forest Products, Inc. * (d) | 1,449,566 | ||||||||
| 49,800 | Russel Metals, Inc. | 1,404,874 | ||||||||
| 19,200 | Sleep Country Canada Holdings, Inc. | 335,340 | ||||||||
| 33,500 | Stella-Jones, Inc. | 1,928,605 | ||||||||
| 78,500 | Sun Life Financial, Inc. (a) (c) | 3,963,904 | ||||||||
| 45,639 | Sun Life Financial, Inc. (a) (c) | 2,304,770 | ||||||||
| 73,900 | Teck Resources Ltd. – Class B (c) | 2,784,014 | ||||||||
| 21,673 | Teck Resources Ltd. – Class B (b) (c) | 815,988 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Canada — continued | ||||||||||
| 9,609 | Teekay Tankers Ltd. – Class A | 477,471 | ||||||||
| 17,700 | Toronto-Dominion Bank (a) (c) | 1,079,257 | ||||||||
| 15,278 | Toronto-Dominion Bank (a) (c) | 931,805 | ||||||||
| 46,200 | Vermilion Energy, Inc. (b) | 583,506 | ||||||||
| 4,000 | Wajax Corp. | 78,794 | ||||||||
| 85,300 | West Fraser Timber Co. Ltd. (c) | 6,186,835 | ||||||||
| 16,500 | West Fraser Timber Co. Ltd. (c) | 1,197,240 | ||||||||
| 36,000 | Whitecap Resources, Inc. (b) | 248,852 | ||||||||
|
|
|
|||||||||
| Total Canada | 126,772,171 | |||||||||
|
|
|
|||||||||
| Chile — 0.1% | ||||||||||
| 647,954 | Cencosud SA | 1,203,503 | ||||||||
| 28,073 | Cia Cervecerias Unidas SA | 171,886 | ||||||||
| 4,667,402 | Colbun SA | 739,036 | ||||||||
| 33,544 | Empresas CMPC SA | 64,869 | ||||||||
| 2,067,697 | Enel Chile SA | 130,438 | ||||||||
| 38,297 | Enel Chile SA ADR | 124,465 | ||||||||
| 73,070 | Falabella SA * | 170,631 | ||||||||
| 61,053 | Inversiones La Construccion SA | 393,257 | ||||||||
|
|
|
|||||||||
| Total Chile | 2,998,085 | |||||||||
|
|
|
|||||||||
| China — 3.0% | ||||||||||
| 282,000 | 361 Degrees International Ltd. | 126,890 | ||||||||
| 1,229,500 | 3SBio, Inc. | 1,141,933 | ||||||||
| 19,663,000 | Agricultural Bank of China Ltd. – Class H | 7,258,266 | ||||||||
| 322,181 | Alibaba Group Holding Ltd. * | 2,994,804 | ||||||||
| 68,500 | Anhui Conch Cement Co. Ltd. – Class H | 159,732 | ||||||||
| 1,471,000 | BAIC Motor Corp. Ltd. – Class H | 446,429 | ||||||||
| 2,805,000 | Bank of China Ltd. – Class H | 1,027,721 | ||||||||
| 1,979,871 | Bank of Communications Co. Ltd. – Class H | 1,166,991 | ||||||||
| 257,000 | Beijing Enterprises Holdings Ltd. | 852,050 | ||||||||
| 5,752,000 | China Cinda Asset Management Co. Ltd. – Class H | 559,239 | ||||||||
| 1,206,000 | China Communications Services Corp. Ltd. – Class H | 513,844 | ||||||||
| 404,500 | China Conch Venture Holdings Ltd. | 303,077 | ||||||||
| 21,981,000 | China Construction Bank Corp. – Class H | 12,709,269 | ||||||||
| 2,158,000 | China Energy Engineering Corp. Ltd. – Class H | 207,075 | ||||||||
| 1,160,000 | China Everbright Environment Group Ltd. | 381,436 | ||||||||
| 3,659,000 | China Greenfresh Group Co. Ltd. * (e) | — | ||||||||
| 511,000 | China High Speed Transmission Equipment Group Co. Ltd. * | 114,235 | ||||||||
| 1,150,000 | China Lesso Group Holdings Ltd. | 634,148 | ||||||||
| 549,925 | China Medical System Holdings Ltd. | 1,056,340 | ||||||||
| 581,000 | China Overseas Grand Oceans Group Ltd. | 194,181 | ||||||||
| 840,000 | China Overseas Land & Investment Ltd. | 1,551,042 | ||||||||
| 12,556,000 | China Petroleum & Chemical Corp. – Class H | 6,444,154 | ||||||||
| 7,627,000 | China Railway Group Ltd. – Class H | 3,347,568 | ||||||||
| 468,000 | China Railway Signal & Communication Corp. Ltd. – Class H | 141,778 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| China — continued | ||||||||||
| 1,039,000 | China Reinsurance Group Corp. – Class H | 58,441 | ||||||||
| 1,263,500 | China Resources Pharmaceutical Group Ltd. | 787,592 | ||||||||
| 390,000 | China South City Holdings Ltd. (b) | 17,970 | ||||||||
| 858,000 | China State Construction International Holdings Ltd. | 995,391 | ||||||||
| 192,000 | China Water Affairs Group Ltd. | 108,995 | ||||||||
| 4,237,600 | China Zhongwang Holdings Ltd. * (b) (e) | 1 | ||||||||
| 3,524,158 | CITIC Ltd. | 3,315,511 | ||||||||
| 3,278,500 | COSCO Shipping Holdings Co. Ltd. – Class H | 3,020,506 | ||||||||
| 2,105,000 | CRRC Corp. Ltd. – Class H | 848,212 | ||||||||
| 3,762,000 | CSPC Pharmaceutical Group Ltd. | 3,388,057 | ||||||||
| 2,332,313 | Dongfeng Motor Group Co. Ltd. – Class H | 1,170,171 | ||||||||
| 587,000 | Fufeng Group Ltd. | 311,707 | ||||||||
| 76,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. – Class H | 209,640 | ||||||||
| 1,193,000 | Haier Smart Home Co. Ltd. – Class H | 3,449,719 | ||||||||
| 207,500 | Henan Shenhuo Coal & Power Co. Ltd. – Class A | 458,343 | ||||||||
| 292,788 | Kingboard Holdings Ltd. | 704,870 | ||||||||
| 266,900 | Legend Holdings Corp. – Class H | 229,703 | ||||||||
| 6,640,000 | Lenovo Group Ltd. | 8,194,538 | ||||||||
| 90,400 | Livzon Pharmaceutical Group, Inc. – Class H | 270,398 | ||||||||
| 678,000 | Lonking Holdings Ltd. | 103,121 | ||||||||
| 1,784,000 | Metallurgical Corp. of China Ltd. – Class H | 338,235 | ||||||||
| 235,900 | Ming Yang Smart Energy Group Ltd. – Class A | 445,475 | ||||||||
| 55,000 | NetDragon Websoft Holdings Ltd. | 94,650 | ||||||||
| 190,500 | Orient Overseas International Ltd. | 2,290,507 | ||||||||
| 580,000 | People’s Insurance Co. Group of China Ltd. – Class H | 187,879 | ||||||||
| 9,222,000 | PetroChina Co. Ltd. – Class H | 6,034,636 | ||||||||
| 5,740,000 | PICC Property & Casualty Co. Ltd. – Class H | 6,667,840 | ||||||||
| 881,500 | Ping An Insurance Group Co. of China Ltd. – Class H | 4,043,132 | ||||||||
| 400,000 | Poly Property Group Co. Ltd. | 82,315 | ||||||||
| 589,500 | Shanghai Pharmaceuticals Holding Co. Ltd. – Class H | 854,548 | ||||||||
| 462,500 | Sinopec Engineering Group Co. Ltd. – Class H | 238,977 | ||||||||
| 1,368,400 | Sinopharm Group Co. Ltd. – Class H | 3,391,244 | ||||||||
| 819,000 | Sinotruk Hong Kong Ltd. | 1,698,964 | ||||||||
| 1,052,000 | Skyworth Group Ltd. | 413,434 | ||||||||
| 50,000 | SSY Group Ltd. | 30,899 | ||||||||
| 490,000 | TCL Electronics Holdings Ltd. * | 165,273 | ||||||||
| 135,242 | Tencent Holdings Ltd. | 5,634,066 | ||||||||
| 138,000 | Tianneng Power International Ltd. (b) | 113,384 | ||||||||
| 602,400 | Western Mining Co. Ltd. – Class A | 1,084,405 | ||||||||
| 358,000 | Yadea Group Holdings Ltd. | 673,197 | ||||||||
|
|
|
|||||||||
| Total China | 105,458,148 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| Colombia — 0.0% | ||||||||||
| 66,855 | Ecopetrol SA Sponsored ADR | 843,042 | ||||||||
|
|
|
|||||||||
| Czech Republic — 0.0% | ||||||||||
| 159,950 | Moneta Money Bank AS | 625,388 | ||||||||
| 627 | Philip Morris CR AS | 441,537 | ||||||||
|
|
|
|||||||||
| Total Czech Republic | 1,066,925 | |||||||||
|
|
|
|||||||||
| Denmark — 0.9% | ||||||||||
| 2,105 | AP Moller – Maersk AS – Class A (a) | 3,265,546 | ||||||||
| 3,748 | AP Moller – Maersk AS – Class B (a) | 5,918,116 | ||||||||
| 245,210 | Danske Bank AS | 6,353,255 | ||||||||
| 3,039 | Genmab AS * | 955,812 | ||||||||
| 125,876 | H Lundbeck AS | 600,865 | ||||||||
| 5,433 | Matas AS | 83,561 | ||||||||
| 55,673 | Pandora AS | 7,515,728 | ||||||||
| 11,386 | ROCKWOOL AS – B Shares | 3,078,489 | ||||||||
| 101,255 | Vestas Wind Systems AS * | 2,799,764 | ||||||||
|
|
|
|||||||||
| Total Denmark | 30,571,136 | |||||||||
|
|
|
|||||||||
| Egypt — 0.1% | ||||||||||
| 50,854 | Abou Kir Fertilizers & Chemical Industries | 130,631 | ||||||||
| 367,289 | Commercial International Bank – Egypt (CIB) | 917,653 | ||||||||
| 737,030 | Eastern Co. SAE | 616,853 | ||||||||
| 37,150 | Misr Fertilizers Production Co. SAE | 665,554 | ||||||||
|
|
|
|||||||||
| Total Egypt | 2,330,691 | |||||||||
|
|
|
|||||||||
| Finland — 0.5% | ||||||||||
| 34,771 | Kemira OYJ | 584,877 | ||||||||
| 104,797 | Neste OYJ | 3,993,049 | ||||||||
| 2,202,189 | Nokia OYJ | 7,723,867 | ||||||||
| 262,149 | Outokumpu OYJ | 1,235,241 | ||||||||
| 2,910 | Sanoma OYJ | 21,934 | ||||||||
| 285,339 | Stora Enso OYJ – R Shares | 3,707,577 | ||||||||
| 9,492 | TietoEVRY OYJ (a) | 208,393 | ||||||||
| 38,020 | Valmet OYJ | 1,014,776 | ||||||||
|
|
|
|||||||||
| Total Finland | 18,489,714 | |||||||||
|
|
|
|||||||||
| France — 3.5% | ||||||||||
| 34,905 | ALD SA (a) | 240,456 | ||||||||
| 6,153 | Amundi SA | 379,281 | ||||||||
| 28,040 | APERAM SA | 934,102 | ||||||||
| 236,161 | ArcelorMittal SA | 5,937,340 | ||||||||
| 15,521 | Arkema SA | 1,579,376 | ||||||||
| 57,684 | AXA SA (a) | 1,798,610 | ||||||||
| 12,268 | Beneteau SACA | 150,194 | ||||||||
| 138,366 | BNP Paribas SA | 8,698,658 | ||||||||
| 1,626 | Boiron SA | 72,822 | ||||||||
| 764 | Caisse Regionale de Credit Agricole Mutuel Nord de France | 10,928 | ||||||||
| 154,427 | Cie de Saint-Gobain SA | 10,068,011 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| France — continued | ||||||||||
| 35,832 | Cie Generale des Etablissements Michelin SCA | 1,204,899 | ||||||||
| 105,312 | Coface SA | 1,281,118 | ||||||||
| 98,587 | Credit Agricole SA | 1,292,041 | ||||||||
| 31,920 | Derichebourg SA (a) | 166,259 | ||||||||
| 10,213 | Eramet SA (b) | 787,521 | ||||||||
| 34,869 | Etablissements Maurel et Prom SA | 245,263 | ||||||||
| 40,365 | Ipsen SA | 4,550,983 | ||||||||
| 6,911 | IPSOS SA | 372,562 | ||||||||
| 5,102 | LVMH Moet Hennessy Louis Vuitton SE (a) | 3,904,456 | ||||||||
| 2,242 | Mersen SA | 81,662 | ||||||||
| 7,339 | Metropole Television SA | 100,191 | ||||||||
| 260,932 | Orange SA (a) | 3,214,920 | ||||||||
| 64,518 | Publicis Groupe SA (a) | 5,452,212 | ||||||||
| 21,749 | Quadient SA | 441,019 | ||||||||
| 161,135 | Renault SA | 6,332,414 | ||||||||
| 69,487 | Rexel SA | 1,676,852 | ||||||||
| 33,124 | Rubis SCA (a) | 805,295 | ||||||||
| 37,033 | Safran SA (a) | 6,511,408 | ||||||||
| 95,213 | Sanofi SA (a) | 8,880,034 | ||||||||
| 1,712 | SEB SA (a) | 195,181 | ||||||||
| 7,344 | Societe BIC SA | 494,199 | ||||||||
| 356,959 | Societe Generale SA | 8,983,437 | ||||||||
| 164,289 | STMicroelectronics NV – NY Shares (b) | 7,793,870 | ||||||||
| 371 | Synergie SE (a) | 12,298 | ||||||||
| 126,536 | Technip Energies NV | 2,951,559 | ||||||||
| 119,481 | Television Francaise 1 SA | 920,250 | ||||||||
| 306,908 | TotalEnergies SE (c) | 20,918,618 | ||||||||
| 2,651 | TotalEnergies SE (c) | 181,069 | ||||||||
| 37,834 | Valeo SE | 549,363 | ||||||||
| 67,872 | Veolia Environnement SA (a) | 2,139,697 | ||||||||
| 423,555 | Vivendi SE | 4,008,921 | ||||||||
|
|
|
|||||||||
| Total France | 126,319,349 | |||||||||
|
|
|
|||||||||
| Germany — 1.1% | ||||||||||
| 19,265 | 1&1 AG | 352,239 | ||||||||
| 1,519 | Allianz SE (Registered) (a) | 381,940 | ||||||||
| 369 | Amadeus Fire AG (a) | 48,656 | ||||||||
| 110,158 | Bayer AG | 3,770,607 | ||||||||
| 57,831 | Bayerische Motoren Werke AG (a) | 6,034,223 | ||||||||
| 30,395 | Beiersdorf AG (a) | 4,260,612 | ||||||||
| 26,362 | Continental AG | 2,045,875 | ||||||||
| 47,634 | Deutsche Pfandbriefbank AG | 293,595 | ||||||||
| 62,166 | Deutz AG | 294,368 | ||||||||
| 561 | Draegerwerk AG & Co. KGaA | 27,336 | ||||||||
| 17,330 | Freenet AG (a) | 486,276 | ||||||||
| 117,686 | Fresenius SE & Co. KGaA (a) | 3,737,101 | ||||||||
| 6,674 | Heidelberg Materials AG | 544,796 | ||||||||
| 11,712 | Henkel AG & Co. KGaA (a) | 818,347 | ||||||||
| 682 | Hornbach Holding AG & Co. KGaA | 44,082 | ||||||||
| 63,352 | Kloeckner & Co. SE | 431,622 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Germany — continued | ||||||||||
| 182,599 | Mercedes-Benz Group AG (a) | 11,872,466 | ||||||||
| 119,838 | ProSiebenSat.1 Media SE | 755,265 | ||||||||
| 3,215 | RTL Group SA | 115,825 | ||||||||
| 7,602 | SAF-Holland SE | 122,657 | ||||||||
| 9,819 | Salzgitter AG | 291,250 | ||||||||
| 45,987 | Talanx AG | 3,337,508 | ||||||||
| 2,102 | Traton SE | 45,327 | ||||||||
| 4,370 | Volkswagen AG | 567,079 | ||||||||
| 4,154 | Wacker Neuson SE | 76,990 | ||||||||
| 1,076 | Wuestenrot & Wuerttembergische AG | 15,351 | ||||||||
|
|
|
|||||||||
| Total Germany | 40,771,393 | |||||||||
|
|
|
|||||||||
| Greece — 0.1% | ||||||||||
| 42,418 | JUMBO SA | 1,111,159 | ||||||||
| 48,517 | Mytilineos SA | 1,942,078 | ||||||||
| 33,068 | National Bank of Greece SA * | 226,646 | ||||||||
|
|
|
|||||||||
| Total Greece | 3,279,883 | |||||||||
|
|
|
|||||||||
| Hong Kong — 0.7% | ||||||||||
| 322,500 | ASMPT Ltd. | 3,301,943 | ||||||||
| 83,000 | Bank of East Asia Ltd. | 100,598 | ||||||||
| 126,500 | BOC Hong Kong Holdings Ltd. | 338,225 | ||||||||
| 71,000 | Chow Sang Sang Holdings International Ltd. | 79,914 | ||||||||
| 904,000 | CITIC Telecom International Holdings Ltd. | 346,479 | ||||||||
| 325,000 | CK Asset Holdings Ltd. (a) | 1,538,998 | ||||||||
| 452,500 | CK Hutchison Holdings Ltd. | 2,270,202 | ||||||||
| 174,800 | Dah Sing Banking Group Ltd. | 113,393 | ||||||||
| 57,200 | Dah Sing Financial Holdings Ltd. | 117,972 | ||||||||
| 500,000 | E-Commodities Holdings Ltd. | 91,397 | ||||||||
| 284,000 | First Pacific Co. Ltd. | 112,631 | ||||||||
| 429,595 | Galaxy Entertainment Group Ltd. | 2,222,334 | ||||||||
| 254,000 | Giordano International Ltd. | 86,793 | ||||||||
| 145,000 | Health & Happiness H&H International Holdings Ltd. | 202,273 | ||||||||
| 43,000 | Henderson Land Development Co. Ltd. (a) | 116,717 | ||||||||
| 623,000 | HKT Trust & HKT Ltd. – Class SS (a) | 664,575 | ||||||||
| 701,000 | IGG, Inc. * | 296,933 | ||||||||
| 175,500 | Johnson Electric Holdings Ltd. | 271,558 | ||||||||
| 154,000 | K Wah International Holdings Ltd. (a) | 36,460 | ||||||||
| 40,500 | Kerry Logistics Network Ltd. | 35,491 | ||||||||
| 191,500 | Kerry Properties Ltd. | 322,392 | ||||||||
| 65,000 | Luk Fook Holdings International Ltd. | 181,342 | ||||||||
| 2,000 | New World Development Co. Ltd. (a) | 2,976 | ||||||||
| 443,000 | Pacific Basin Shipping Ltd. (a) | 134,419 | ||||||||
| 518,000 | Pacific Textiles Holdings Ltd. | 96,467 | ||||||||
| 49,000 | PAX Global Technology Ltd. | 36,247 | ||||||||
| 354,000 | Shun Tak Holdings Ltd. * | 47,553 | ||||||||
| 283,000 | SITC International Holdings Co. Ltd. | 427,347 | ||||||||
| 108,500 | SmarTone Telecommunications Holdings Ltd. | 52,812 | ||||||||
| 286,500 | Sun Hung Kai Properties Ltd. (a) | 2,809,038 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Hong Kong — continued | ||||||||||
| 340,000 | Swire Pacific Ltd. – Class A | 2,203,449 | ||||||||
| 43,800 | Swire Properties Ltd. (a) | 85,058 | ||||||||
| 137,500 | Texhong International Group Ltd. * | 92,840 | ||||||||
| 3,486,000 | United Energy Group Ltd. (b) | 329,177 | ||||||||
| 568,000 | VSTECS Holdings Ltd. | 279,793 | ||||||||
| 79,900 | VTech Holdings Ltd. | 471,181 | ||||||||
| 5,458,500 | WH Group Ltd. | 3,505,862 | ||||||||
| 114,000 | Xinyi Glass Holdings Ltd. | 131,108 | ||||||||
| 222,000 | Yue Yuen Industrial Holdings Ltd. | 254,529 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 23,808,476 | |||||||||
|
|
|
|||||||||
| Hungary — 0.4% | ||||||||||
| 23,883 | Magyar Telekom Telecommunications PLC | 40,367 | ||||||||
| 251,145 | MOL Hungarian Oil & Gas PLC | 2,000,126 | ||||||||
| 230,427 | OTP Bank Nyrt | 9,588,044 | ||||||||
| 67,094 | Richter Gedeon Nyrt | 1,691,502 | ||||||||
|
|
|
|||||||||
| Total Hungary | 13,320,039 | |||||||||
|
|
|
|||||||||
| India — 3.2% | ||||||||||
| 444 | Angel One Ltd. | 16,330 | ||||||||
| 64,791 | Arvind Ltd. | 175,526 | ||||||||
| 154,178 | Aurobindo Pharma Ltd. | 1,930,892 | ||||||||
| 608 | Bajaj Auto Ltd. | 44,411 | ||||||||
| 2,813 | Balrampur Chini Mills Ltd. | 15,957 | ||||||||
| 1,037 | Bandhan Bank Ltd. | 2,833 | ||||||||
| 232 | Bharat Electronics Ltd. | 407 | ||||||||
| 83,368 | Bharat Petroleum Corp. Ltd. | 437,548 | ||||||||
| 76,403 | Brightcom Group Ltd. * | 15,575 | ||||||||
| 66,081 | Castrol India Ltd. | 109,634 | ||||||||
| 10,318 | CESC Ltd. | 12,026 | ||||||||
| 37,361 | Chambal Fertilisers & Chemicals Ltd. | 142,578 | ||||||||
| 66,135 | Chennai Petroleum Corp. Ltd. | 533,250 | ||||||||
| 1,005 | Cholamandalam Financial Holdings Ltd. | 11,833 | ||||||||
| 31,551 | City Union Bank Ltd. | 55,780 | ||||||||
| 11,492 | Cochin Shipyard Ltd. | 166,200 | ||||||||
| 9,439 | Colgate-Palmolive India Ltd. | 247,680 | ||||||||
| 19,430 | Coromandel International Ltd. | 272,001 | ||||||||
| 504 | CreditAccess Grameen Ltd. * | 10,259 | ||||||||
| 3,210 | Deepak Fertilisers & Petrochemicals Corp. Ltd. | 24,222 | ||||||||
| 22,656 | Dhampur Bio Organics Ltd. | 45,289 | ||||||||
| 58,759 | Dr Reddy’s Laboratories Ltd. ADR | 4,107,254 | ||||||||
| 28,512 | Dr Reddy’s Laboratories Ltd. | 1,979,683 | ||||||||
| 6,076 | EID Parry India Ltd. | 39,091 | ||||||||
| 98,891 | Engineers India Ltd. | 174,914 | ||||||||
| 240,870 | Exide Industries Ltd. | 823,640 | ||||||||
| 7,029 | Firstsource Solutions Ltd. | 14,965 | ||||||||
| 4,245,049 | GAIL India Ltd. | 6,719,433 | ||||||||
| 32,987 | GHCL Ltd. | 218,007 | ||||||||
| 18,189 | GHCL Textiles Ltd. * | 15,322 | ||||||||
| 113,320 | Glenmark Pharmaceuticals Ltd. | 1,063,026 | ||||||||
| 15,534 | Godawari Power & Ispat Ltd. | 127,841 | ||||||||
| Shares | Description | Value ($) |
||||||||
| India — continued | ||||||||||
| 41,762 | Great Eastern Shipping Co. Ltd. | 439,818 | ||||||||
| 35,990 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd. | 296,611 | ||||||||
| 15,033 | Gujarat Pipavav Port Ltd. | 25,417 | ||||||||
| 654,921 | Gujarat State Fertilizers & Chemicals Ltd. | 1,519,161 | ||||||||
| 7,528 | Gujarat State Petronet Ltd. | 26,043 | ||||||||
| 196,681 | HCL Technologies Ltd. | 3,167,109 | ||||||||
| 44,300 | HDFC Bank Ltd. ADR (b) | 2,659,772 | ||||||||
| 16,896 | Hero MotoCorp Ltd. | 774,170 | ||||||||
| 756,441 | Hindalco Industries Ltd. | 4,694,348 | ||||||||
| 6 | Hindustan Aeronautics Ltd. | 171 | ||||||||
| 383,379 | Hindustan Petroleum Corp. Ltd. * | 1,599,177 | ||||||||
| 58,692 | Hindustan Zinc Ltd. | 211,074 | ||||||||
| 4,547 | ICICI Securities Ltd. | 37,079 | ||||||||
| 2,718 | IIFL Finance Ltd. | 19,832 | ||||||||
| 741,408 | Indiabulls Housing Finance Ltd. | 1,807,581 | ||||||||
| 1,791,374 | Indian Oil Corp. Ltd. | 2,410,352 | ||||||||
| 21,755 | Indus Towers Ltd. * | 48,152 | ||||||||
| 66,580 | IndusInd Bank Ltd. | 1,173,848 | ||||||||
| 81,272 | Infosys Ltd. | 1,420,411 | ||||||||
| 86,133 | IRCON International Ltd. | 173,657 | ||||||||
| 2,998,556 | ITC Ltd. | 15,709,433 | ||||||||
| 52,768 | JM Financial Ltd. | 53,025 | ||||||||
| 191,174 | Karnataka Bank Ltd. | 502,589 | ||||||||
| 2,419 | Kaveri Seed Co. Ltd. | 17,575 | ||||||||
| 3,590 | KNR Constructions Ltd. | 12,555 | ||||||||
| 4,642 | KRBL Ltd. | 19,276 | ||||||||
| 9,680 | LT Foods Ltd. | 25,241 | ||||||||
| 15,024 | Mahanagar Gas Ltd. | 189,302 | ||||||||
| 119 | Maharashtra Scooters Ltd. | 11,257 | ||||||||
| 101,470 | Mahindra & Mahindra Ltd. | 2,003,341 | ||||||||
| 656,556 | Manappuram Finance Ltd. | 1,312,937 | ||||||||
| 4,436 | Marico Ltd. | 28,653 | ||||||||
| 3,408 | Motilal Oswal Financial Services Ltd. | 49,085 | ||||||||
| 23,362 | Muthoot Finance Ltd. | 412,852 | ||||||||
| 1,181 | Natco Pharma Ltd. | 11,223 | ||||||||
| 549,547 | National Aluminium Co. Ltd. | 609,906 | ||||||||
| 100,082 | NCC Ltd. | 200,900 | ||||||||
| 6,734 | Nippon Life India Asset Management Ltd. | 33,765 | ||||||||
| 1,486,241 | NMDC Ltd. | 3,248,788 | ||||||||
| 84,600 | NMDC Steel Ltd. * | 45,351 | ||||||||
| 576,583 | NTPC Ltd. | 1,806,217 | ||||||||
| 6,828,626 | Oil & Natural Gas Corp. Ltd. | 15,928,631 | ||||||||
| 404,610 | Oil India Ltd. | 1,482,770 | ||||||||
| 5,370 | Oracle Financial Services Software Ltd. | 260,998 | ||||||||
| 403,053 | Petronet LNG Ltd. | 983,357 | ||||||||
| 2,062,372 | Power Finance Corp. Ltd. | 8,365,264 | ||||||||
| 693,268 | Power Grid Corp. of India Ltd. | 1,743,327 | ||||||||
| 23,352 | Rashtriya Chemicals & Fertilizers Ltd. | 36,067 | ||||||||
| 1,931,118 | REC Ltd. | 8,107,713 | ||||||||
| 99,326 | Redington Ltd. | 191,946 | ||||||||
| 37,239 | Reliance Industries Ltd. | 1,063,570 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| India — continued | ||||||||||
| 36,689 | RITES Ltd. | 206,637 | ||||||||
| 269 | Sanofi India Ltd. | 25,946 | ||||||||
| 990 | Share India Securities Ltd. | 20,065 | ||||||||
| 19,676 | Shipping Corp. of India Ltd. | 33,905 | ||||||||
| 10,201 | Shriram Finance Ltd. | 245,051 | ||||||||
| 88,233 | Sun TV Network Ltd. | 715,263 | ||||||||
| 11,258 | Tata Consultancy Services Ltd. | 471,762 | ||||||||
| 1,458,486 | Tata Steel Ltd. | 2,241,338 | ||||||||
| 8,280 | Triveni Engineering & Industries Ltd. | 38,398 | ||||||||
| 63,842 | Ujjivan Small Finance Bank Ltd. | 43,521 | ||||||||
| 1,509 | UTI Asset Management Co. Ltd. | 14,906 | ||||||||
| 55,698 | Vardhman Textiles Ltd. | 270,068 | ||||||||
| 541,424 | Vedanta Ltd. | 1,516,366 | ||||||||
| 63,538 | Welspun Corp. Ltd. | 405,279 | ||||||||
| 9,350 | West Coast Paper Mills Ltd. | 73,255 | ||||||||
| 72,237 | Wipro Ltd. | 356,658 | ||||||||
| 15,855 | Zensar Technologies Ltd. | 102,299 | ||||||||
| 191,304 | Zydus Lifesciences Ltd. | 1,459,964 | ||||||||
|
|
|
|||||||||
| Total India | 114,764,785 | |||||||||
|
|
|
|||||||||
| Indonesia — 0.5% | ||||||||||
| 3,944,300 | AKR Corporindo Tbk. PT | 364,845 | ||||||||
| 2,686,700 | Aneka Tambang Tbk. PT | 301,634 | ||||||||
| 103,600 | Astra International Tbk. PT | 36,098 | ||||||||
| 9,865,300 | Bank Central Asia Tbk. PT | 5,709,871 | ||||||||
| 5,833,184 | Bank Mandiri Persero Tbk. PT | 2,199,523 | ||||||||
| 5,807,100 | Bank Negara Indonesia Persero Tbk. PT | 1,975,795 | ||||||||
| 3,007,300 | Bank Pembangunan Daerah Jawa Timur Tbk. PT | 120,242 | ||||||||
| 12,079,800 | Bank Rakyat Indonesia Persero Tbk. PT | 4,111,049 | ||||||||
| 27,800 | Indah Kiat Pulp & Paper Tbk. PT | 15,731 | ||||||||
| 1,422,700 | Indofood Sukses Makmur Tbk. PT | 589,609 | ||||||||
| 7,260,800 | Kalbe Farma Tbk. PT | 756,902 | ||||||||
| 2,121,800 | Medco Energi Internasional Tbk. PT | 157,485 | ||||||||
| 5,089,000 | Media Nusantara Citra Tbk. PT | 129,298 | ||||||||
| 15,106,900 | Panin Financial Tbk. PT * | 256,916 | ||||||||
| 885,700 | Vale Indonesia Tbk. PT | 256,973 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 16,981,971 | |||||||||
|
|
|
|||||||||
| Ireland — 0.3% | ||||||||||
| 49,187 | AIB Group PLC | 228,058 | ||||||||
| 447,405 | Bank of Ireland Group PLC | 4,188,957 | ||||||||
| 1,844 | CRH PLC | 115,711 | ||||||||
| 33,452 | Glanbia PLC | 565,773 | ||||||||
| 4,137 | Kingspan Group PLC | 328,746 | ||||||||
| 38,104 | Origin Enterprises PLC | 143,680 | ||||||||
| 24,839 | Permanent TSB Group Holdings PLC * | 45,186 | ||||||||
| 50,861 | Ryanair Holdings PLC Sponsored ADR * (a) | 6,012,787 | ||||||||
| 23,604 | Smurfit Kappa Group PLC | 896,766 | ||||||||
|
|
|
|||||||||
| Total Ireland | 12,525,664 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| Isle of Man — 0.0% | ||||||||||
| 68,000 | Lifezone Holdings Ltd. * | 663,680 | ||||||||
|
|
|
|||||||||
| Israel — 0.4% | ||||||||||
| 5,340 | Check Point Software Technologies Ltd. * | 779,640 | ||||||||
| 68,348 | ICL Group Ltd. | 344,282 | ||||||||
| 53,255 | Israel Discount Bank Ltd. | 256,440 | ||||||||
| 796,938 | Oil Refineries Ltd. | 250,210 | ||||||||
| 605,760 | Teva Pharmaceutical Industries Ltd. Sponsored ADR * | 5,948,563 | ||||||||
| 55,169 | Teva Pharmaceutical Industries Ltd. * | 540,594 | ||||||||
| 174,776 | Tower Semiconductor Ltd. * | 4,785,367 | ||||||||
|
|
|
|||||||||
| Total Israel | 12,905,096 | |||||||||
|
|
|
|||||||||
| Italy — 1.7% | ||||||||||
| 91,194 | Anima Holding SpA | 385,200 | ||||||||
| 21,202 | Arnoldo Mondadori Editore SpA | 47,828 | ||||||||
| 16,319 | Azimut Holding SpA | 396,877 | ||||||||
| 50,895 | Banca IFIS SpA | 871,229 | ||||||||
| 1,327,171 | Banco BPM SpA | 7,352,273 | ||||||||
| 599,941 | BPER Banca | 2,244,819 | ||||||||
| 60,809 | Credito Emiliano SpA | 540,769 | ||||||||
| 763,127 | Eni SpA | 12,654,548 | ||||||||
| 20,711 | Esprinet SpA (b) | 109,106 | ||||||||
| 78,725 | Intesa Sanpaolo SpA | 226,932 | ||||||||
| 403,434 | Leonardo SpA | 6,191,476 | ||||||||
| 23,898 | MFE-MediaForEurope NV (b) | 82,192 | ||||||||
| 49,370 | MFE-MediaForEurope NV – Class A | 119,772 | ||||||||
| 33,536 | OVS SpA | 72,592 | ||||||||
| 6,348 | Piaggio & C SpA | 18,341 | ||||||||
| 177,391 | Poste Italiane SpA | 1,911,894 | ||||||||
| 733,336 | Stellantis NV | 15,938,613 | ||||||||
| 9,982,914 | Telecom Italia SpA * (a) | 2,901,483 | ||||||||
| 26,398 | Tenaris SA | 455,439 | ||||||||
| 18,631 | Tenaris SA ADR | 645,937 | ||||||||
| 92,820 | UniCredit SpA | 2,531,648 | ||||||||
| 5,579 | Unieuro SpA (b) | 55,347 | ||||||||
| 717,679 | Unipol Gruppo SpA | 4,116,826 | ||||||||
|
|
|
|||||||||
| Total Italy | 59,871,141 | |||||||||
|
|
|
|||||||||
| Japan — 13.8% | ||||||||||
| 13,100 | Aichi Corp. | 82,660 | ||||||||
| 169,800 | Amano Corp. | 3,602,555 | ||||||||
| 5,900 | AOKI Holdings, Inc. | 47,210 | ||||||||
| 9,100 | Bando Chemical Industries Ltd. | 96,180 | ||||||||
| 75,200 | Bridgestone Corp. (a) | 3,103,940 | ||||||||
| 78,900 | Brother Industries Ltd. | 1,332,122 | ||||||||
| 5,600 | Canon Electronics, Inc. | 74,598 | ||||||||
| 16,400 | Canon Marketing Japan, Inc. | 414,131 | ||||||||
| 47,100 | Canon, Inc. (a) | 1,213,510 | ||||||||
| 6,300 | Central Glass Co. Ltd. | 115,982 | ||||||||
| 4,000 | Chiyoda Integre Co. Ltd. | 82,185 | ||||||||
| 61,500 | Citizen Watch Co. Ltd. | 361,532 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 4,600 | Cosmo Energy Holdings Co. Ltd. | 174,810 | ||||||||
| 462,400 | Credit Saison Co. Ltd. | 7,799,486 | ||||||||
| 12,900 | Dai Nippon Toryo Co. Ltd. | 85,607 | ||||||||
| 96,500 | Daicel Corp. | 927,554 | ||||||||
| 8,000 | Dai-Dan Co. Ltd. | 79,981 | ||||||||
| 20,400 | Daido Steel Co. Ltd. | 944,636 | ||||||||
| 12,300 | Daiichi Jitsugyo Co. Ltd. | 159,294 | ||||||||
| 106,400 | Daiwa House Industry Co. Ltd. (a) | 3,023,295 | ||||||||
| 419,200 | Daiwabo Holdings Co. Ltd. | 8,245,999 | ||||||||
| 445,800 | Denka Co. Ltd. | 7,978,385 | ||||||||
| 24,100 | Ebara Corp. | 1,369,107 | ||||||||
| 34,000 | ENEOS Holdings, Inc. | 133,823 | ||||||||
| 181,400 | EXEO Group, Inc. | 3,818,049 | ||||||||
| 2,400 | FJ Next Holdings Co. Ltd. | 18,588 | ||||||||
| 417,500 | Fuji Corp. | 7,078,854 | ||||||||
| 14,300 | Fuji Media Holdings, Inc. | 147,438 | ||||||||
| 139,500 | FUJIFILM Holdings Corp. | 8,169,180 | ||||||||
| 308,100 | Fujikura Ltd. | 2,374,616 | ||||||||
| 3,600 | Fujitsu Ltd. (a) | 512,588 | ||||||||
| 3,600 | Fuyo General Lease Co. Ltd. | 292,948 | ||||||||
| 3,400 | G-7 Holdings, Inc. | 27,650 | ||||||||
| 570,400 | H.U. Group Holdings, Inc. | 9,927,239 | ||||||||
| 15,600 | Hanwa Co. Ltd. | 481,825 | ||||||||
| 89,800 | Haseko Corp. (a) | 1,105,872 | ||||||||
| 37,700 | Hazama Ando Corp. | 278,639 | ||||||||
| 31,800 | Hitachi Construction Machinery Co. Ltd. | 829,089 | ||||||||
| 123,500 | Hogy Medical Co. Ltd. | 2,860,059 | ||||||||
| 611,700 | Honda Motor Co. Ltd. (a) | 6,257,040 | ||||||||
| 112,847 | Honda Motor Co. Ltd. Sponsored ADR | 3,459,889 | ||||||||
| 12,200 | Horiba Ltd. | 822,144 | ||||||||
| 36,200 | Hosiden Corp. | 442,510 | ||||||||
| 45,500 | Idemitsu Kosan Co. Ltd. | 1,241,159 | ||||||||
| 37,600 | Inabata & Co. Ltd. | 805,073 | ||||||||
| 1,063,300 | Inpex Corp. | 14,669,738 | ||||||||
| 658,000 | Isuzu Motors Ltd. | 8,735,083 | ||||||||
| 357,100 | ITOCHU Corp. | 13,883,122 | ||||||||
| 11,700 | Itochu Enex Co. Ltd. | 120,760 | ||||||||
| 1,300 | Itochu-Shokuhin Co. Ltd. (a) | 62,865 | ||||||||
| 17,600 | Itoki Corp. | 157,674 | ||||||||
| 15,500 | Jaccs Co. Ltd. | 562,738 | ||||||||
| 45,800 | Japan Petroleum Exploration Co. Ltd. | 1,750,445 | ||||||||
| 386,500 | Japan Tobacco, Inc. | 9,938,748 | ||||||||
| 317,632 | JSR Corp. | 8,747,303 | ||||||||
| 19,800 | Kaga Electronics Co. Ltd. | 888,307 | ||||||||
| 160,700 | Kajima Corp. | 2,540,482 | ||||||||
| 8,800 | Kamei Corp. | 101,554 | ||||||||
| 37,100 | Kandenko Co. Ltd. | 333,791 | ||||||||
| 574,400 | Kanematsu Corp. | 7,982,231 | ||||||||
| 177,500 | Kawasaki Kisen Kaisha Ltd. (a) | 6,242,635 | ||||||||
| 142,200 | KDDI Corp. (a) | 4,442,052 | ||||||||
| 435,900 | Kirin Holdings Co. Ltd. | 6,162,114 | ||||||||
| 21,500 | Kitz Corp. | 166,292 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 10,300 | Kokuyo Co. Ltd. (a) | 160,460 | ||||||||
| 83,500 | Komatsu Ltd. | 2,135,853 | ||||||||
| 8,245 | Komeri Co. Ltd. | 175,477 | ||||||||
| 177,400 | Konoike Transport Co. Ltd. | 2,364,435 | ||||||||
| 400 | Krosaki Harima Corp. | 30,398 | ||||||||
| 147,400 | Kyudenko Corp. | 4,650,833 | ||||||||
| 9,600 | Life Corp. (a) | 220,748 | ||||||||
| 853,700 | Macromill, Inc. | 4,574,310 | ||||||||
| 458,900 | Mandom Corp. | 3,955,530 | ||||||||
| 159,400 | Marubeni Corp. (a) | 2,491,086 | ||||||||
| 247,100 | Maruichi Steel Tube Ltd. | 6,391,444 | ||||||||
| 5,400 | Maruzen Showa Unyu Co. Ltd. | 136,518 | ||||||||
| 234,800 | Maxell Ltd. | 2,630,692 | ||||||||
| 351,300 | Mazda Motor Corp. | 3,782,667 | ||||||||
| 2,200 | MCJ Co. Ltd. | 15,969 | ||||||||
| 1,600 | Melco Holdings, Inc. | 37,329 | ||||||||
| 58,400 | Mirarth Holdings, Inc. | 184,089 | ||||||||
| 18,100 | Mitsubishi Corp. (a) | 843,971 | ||||||||
| 727,900 | Mitsubishi Electric Corp. | 9,860,099 | ||||||||
| 15,400 | Mitsubishi Gas Chemical Co., Inc. | 243,755 | ||||||||
| 79,600 | Mitsubishi HC Capital, Inc. | 519,233 | ||||||||
| 27,900 | Mitsubishi Materials Corp. | 458,994 | ||||||||
| 3,500 | Mitsubishi Research Institute, Inc. (a) | 113,659 | ||||||||
| 1,216,600 | Mitsubishi UFJ Financial Group, Inc. | 10,366,244 | ||||||||
| 172,700 | Mitsui & Co. Ltd. (a) | 6,297,849 | ||||||||
| 308,200 | Mitsui OSK Lines Ltd. (a) | 8,474,184 | ||||||||
| 9,900 | Mitsui-Soko Holdings Co. Ltd. (a) | 323,660 | ||||||||
| 4,100 | MIXI, Inc. | 66,957 | ||||||||
| 103,600 | Mizuho Financial Group, Inc. | 1,758,058 | ||||||||
| 9,600 | Mizuho Leasing Co. Ltd. | 322,828 | ||||||||
| 7,200 | Modec, Inc. * | 92,681 | ||||||||
| 132,400 | Morinaga & Co. Ltd. | 4,719,429 | ||||||||
| 81,800 | MS&AD Insurance Group Holdings, Inc. | 3,079,883 | ||||||||
| 161,400 | NEC Corp. (a) | 8,995,771 | ||||||||
| 264,300 | NH Foods Ltd. | 7,858,596 | ||||||||
| 25,000 | Nichias Corp. | 533,791 | ||||||||
| 6,600 | Nichiha Corp. | 124,145 | ||||||||
| 8,400 | Nichireki Co. Ltd. | 129,878 | ||||||||
| 7,000 | Nippn Corp. | 107,470 | ||||||||
| 2,400 | Nippon Soda Co. Ltd. | 86,628 | ||||||||
| 18,300 | Nippon Steel Corp. | 428,511 | ||||||||
| 15,300 | Nippon Television Holdings, Inc. | 149,122 | ||||||||
| 448,700 | Nippon Yusen KK (a) | 12,085,428 | ||||||||
| 8,900 | Nisshin Oillio Group Ltd. | 252,327 | ||||||||
| 3,800 | Nissin Corp. | 64,507 | ||||||||
| 4,200 | Nittetsu Mining Co. Ltd. | 160,702 | ||||||||
| 5,300 | Nitto Denko Corp. | 376,647 | ||||||||
| 41,000 | Nojima Corp. | 386,674 | ||||||||
| 3,100 | Noritake Co. Ltd. | 145,478 | ||||||||
| 15,900 | Okamura Corp. (a) | 229,745 | ||||||||
| 141,200 | Ono Pharmaceutical Co. Ltd. | 2,601,470 | ||||||||
| 109,800 | ORIX Corp. (a) | 2,005,939 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 1,300 | Osaka Soda Co. Ltd. | 85,634 | ||||||||
| 3,700 | Otsuka Corp. (a) | 150,745 | ||||||||
| 85,600 | Otsuka Holdings Co. Ltd. | 3,302,056 | ||||||||
| 381,100 | Pacific Industrial Co. Ltd. | 3,607,363 | ||||||||
| 49,400 | PAL GROUP Holdings Co. Ltd. | 779,337 | ||||||||
| 551,100 | Panasonic Holdings Corp. (a) | 5,678,592 | ||||||||
| 569,000 | Penta-Ocean Construction Co. Ltd. | 3,123,971 | ||||||||
| 8,000 | Proto Corp. | 72,519 | ||||||||
| 98,200 | Renesas Electronics Corp. * | 1,711,522 | ||||||||
| 335,600 | Rohm Co. Ltd. | 6,412,188 | ||||||||
| 39,200 | San-A Co. Ltd. | 1,216,598 | ||||||||
| 9,900 | San-Ai Obbli Co. Ltd. | 108,131 | ||||||||
| 13,100 | Sangetsu Corp. | 253,976 | ||||||||
| 7,600 | Sankyo Co. Ltd. | 328,080 | ||||||||
| 199,000 | Sankyu, Inc. | 6,788,122 | ||||||||
| 69,200 | Sanwa Holdings Corp. | 994,510 | ||||||||
| 43,000 | Secom Co. Ltd. (a) | 2,988,939 | ||||||||
| 92,200 | Seiko Epson Corp. | 1,369,421 | ||||||||
| 39,200 | Sekisui Chemical Co. Ltd. (a) | 557,125 | ||||||||
| 447,200 | Sekisui House Ltd. | 9,156,587 | ||||||||
| 5,000 | Sekisui Jushi Corp. | 84,827 | ||||||||
| 28,200 | Shimamura Co. Ltd. | 3,151,950 | ||||||||
| 9,100 | Shin-Etsu Polymer Co. Ltd. | 87,961 | ||||||||
| 5,600 | Shinnihon Corp. | 42,149 | ||||||||
| 123,600 | Shionogi & Co. Ltd. | 5,827,929 | ||||||||
| 2,000 | Sinanen Holdings Co. Ltd. | 54,855 | ||||||||
| 9,300 | Sinko Industries Ltd. | 155,751 | ||||||||
| 34,400 | SKY Perfect JSAT Holdings, Inc. | 157,710 | ||||||||
| 309,920 | Sojitz Corp. | 6,912,470 | ||||||||
| 8,100 | Sompo Holdings, Inc. (a) | 371,575 | ||||||||
| 371,400 | Stanley Electric Co. Ltd. | 6,870,098 | ||||||||
| 2,800 | Starts Corp., Inc. (a) | 52,811 | ||||||||
| 242,700 | Subaru Corp. | 4,329,592 | ||||||||
| 646,600 | SUMCO Corp. | 9,674,334 | ||||||||
| 314,000 | Sumitomo Corp. (a) | 6,583,430 | ||||||||
| 265,000 | Sumitomo Forestry Co. Ltd. | 6,802,623 | ||||||||
| 8,700 | Sumitomo Heavy Industries Ltd. | 208,233 | ||||||||
| 24,300 | Sumitomo Metal Mining Co. Ltd. | 702,401 | ||||||||
| 165,400 | Sumitomo Mitsui Financial Group, Inc. | 8,137,259 | ||||||||
| 180,300 | Sumitomo Mitsui Trust Holdings, Inc. | 6,785,696 | ||||||||
| 1,500 | Sumitomo Seika Chemicals Co. Ltd. | 51,256 | ||||||||
| 510,900 | T&D Holdings, Inc. | 7,601,747 | ||||||||
| 4,600 | Takasago Thermal Engineering Co. Ltd. | 93,350 | ||||||||
| 1,000 | Takeuchi Manufacturing Co. Ltd. | 29,375 | ||||||||
| 10,000 | Tamron Co. Ltd. | 298,329 | ||||||||
| 8,800 | TBS Holdings, Inc. | 163,483 | ||||||||
| 64,900 | TDK Corp. | 3,020,002 | ||||||||
| 476,700 | THK Co. Ltd. | 9,544,271 | ||||||||
| 15,200 | Toho Holdings Co. Ltd. (a) | 331,640 | ||||||||
| 615,200 | Tokai Carbon Co. Ltd. | 4,557,602 | ||||||||
| 1,500 | Token Corp. | 82,247 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 903,800 | Tokyo Electric Power Co. Holdings, Inc. * (a) | 3,860,461 | ||||||||
| 262,600 | Tokyo Gas Co. Ltd. (a) | 6,088,417 | ||||||||
| 62,300 | Tokyo Seimitsu Co. Ltd. | 3,606,241 | ||||||||
| 15,800 | TOPPAN Holdings, Inc. (a) | 369,994 | ||||||||
| 417,800 | Tosei Corp. (b) | 5,094,453 | ||||||||
| 223,300 | Tosoh Corp. | 2,970,735 | ||||||||
| 6,200 | Towa Pharmaceutical Co. Ltd. | 103,541 | ||||||||
| 8,600 | Toyo Construction Co. Ltd. | 77,313 | ||||||||
| 3,300 | Toyo Ink SC Holdings Co. Ltd. | 59,504 | ||||||||
| 46,600 | Toyota Industries Corp. (a) | 4,007,848 | ||||||||
| 106,800 | Toyota Tsusho Corp. | 5,918,348 | ||||||||
| 8,900 | TV Asahi Holdings Corp. | 100,852 | ||||||||
| 11,000 | Unipres Corp. | 73,765 | ||||||||
| 10,400 | Wacoal Holdings Corp. | 229,261 | ||||||||
| 4,100 | Warabeya Nichiyo Holdings Co. Ltd. | 96,641 | ||||||||
| 23,800 | YAMABIKO Corp. | 239,719 | ||||||||
| 442,400 | Yamaha Motor Co. Ltd. | 11,341,112 | ||||||||
| 6,600 | Yamato Kogyo Co. Ltd. | 333,360 | ||||||||
| 23,300 | Yamazen Corp. | 189,256 | ||||||||
| 12,300 | Yellow Hat Ltd. | 147,787 | ||||||||
| 165,600 | Yokogawa Bridge Holdings Corp. | 3,052,545 | ||||||||
| 7,200 | Yuasa Trading Co. Ltd. | 215,884 | ||||||||
| 142,600 | Zenkoku Hosho Co. Ltd. | 4,812,660 | ||||||||
|
|
|
|||||||||
| Total Japan | 492,531,185 | |||||||||
|
|
|
|||||||||
| Kuwait — 0.0% | ||||||||||
| 11,326 | Humansoft Holding Co. KSC | 110,135 | ||||||||
|
|
|
|||||||||
| Malaysia — 0.1% | ||||||||||
| 144,700 | AMMB Holdings Bhd | 123,016 | ||||||||
| 676,300 | CIMB Group Holdings Bhd | 820,100 | ||||||||
| 117,440 | Hibiscus Petroleum Bhd | 63,326 | ||||||||
| 54,700 | Hong Leong Financial Group Bhd | 189,005 | ||||||||
| 208,300 | IOI Corp. Bhd | 179,860 | ||||||||
| 369,700 | Kossan Rubber Industries Bhd | 127,813 | ||||||||
| 294,000 | KPJ Healthcare Bhd | 84,593 | ||||||||
| 240,900 | Malayan Banking Bhd | 464,373 | ||||||||
| 225,000 | MISC Bhd | 347,455 | ||||||||
| 215,800 | Petronas Chemicals Group Bhd | 334,829 | ||||||||
| 7,500 | Petronas Gas Bhd | 27,149 | ||||||||
| 102,000 | PPB Group Bhd | 308,610 | ||||||||
| 19,900 | RHB Bank Bhd | 23,280 | ||||||||
| 89,900 | Telekom Malaysia Bhd | 101,703 | ||||||||
|
|
|
|||||||||
| Total Malaysia | 3,195,112 | |||||||||
|
|
|
|||||||||
| Mexico — 1.0% | ||||||||||
| 236,315 | Arca Continental SAB de CV | 2,409,614 | ||||||||
| 204,302 | Banco del Bajio SA | 654,482 | ||||||||
| 20,700 | Bolsa Mexicana de Valores SAB de CV | 39,330 | ||||||||
| 9,996 | Coca-Cola Femsa SAB de CV Sponsored ADR | 846,161 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Mexico — continued | ||||||||||
| 1,136,700 | Credito Real SAB de CV SOFOM ER * (e) | — | ||||||||
| 88,900 | El Puerto de Liverpool SAB de CV – Class C1 | 519,217 | ||||||||
| 582,995 | Fomento Economico Mexicano SAB de CV | 7,415,451 | ||||||||
| 6,954 | Fomento Economico Mexicano SAB de CV Sponsored ADR (b) | 882,393 | ||||||||
| 1,700 | GCC SAB de CV | 16,686 | ||||||||
| 42,360 | Grupo Aeroportuario del Centro Norte SAB de CV | 378,907 | ||||||||
| 100 | Grupo Aeroportuario del Sureste SAB de CV ADR | 23,546 | ||||||||
| 27,292 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 644,316 | ||||||||
| 1,128,712 | Grupo Financiero Banorte SAB de CV – Class O | 10,503,062 | ||||||||
| 26,055 | Grupo Herdez SAB de CV – Series * | 66,006 | ||||||||
| 1,769,240 | Grupo Mexico SAB de CV – Series B | 8,127,798 | ||||||||
| 689,800 | Grupo Televisa SAB – Series CPO | 439,254 | ||||||||
| 100 | Orbia Advance Corp. SAB de CV | 213 | ||||||||
| 38,151 | Qualitas Controladora SAB de CV | 349,034 | ||||||||
| 58,700 | Regional SAB de CV | 508,676 | ||||||||
| 196,849 | Unifin Financiera SAB de CV * (e) | — | ||||||||
| 240,372 | Wal-Mart de Mexico SAB de CV | 946,348 | ||||||||
|
|
|
|||||||||
| Total Mexico | 34,770,494 | |||||||||
|
|
|
|||||||||
| Netherlands — 1.9% | ||||||||||
| 199,529 | ABN AMRO Bank NV GDR | 2,681,539 | ||||||||
| 1,077,491 | Aegon Ltd. | 5,916,475 | ||||||||
| 46,679 | AerCap Holdings NV * | 3,184,441 | ||||||||
| 26,481 | ASR Nederland NV | 1,220,868 | ||||||||
| 9,661 | Brunel International NV (a) | 111,750 | ||||||||
| 170,420 | EXOR NV | 16,604,877 | ||||||||
| 16,510 | HEMA Bondco I B.V. * (d) | 180 | ||||||||
| 292,871 | ING Groep NV – Class N | 4,114,540 | ||||||||
| 38,720 | JDE Peet’s NV | 1,038,659 | ||||||||
| 424,098 | Koninklijke Ahold Delhaize NV | 12,281,674 | ||||||||
| 443,180 | Koninklijke Philips NV (a) | 9,094,601 | ||||||||
| 29,176 | Koninklijke Vopak NV | 1,002,085 | ||||||||
| 91,192 | NN Group NV | 3,480,254 | ||||||||
| 89,049 | Randstad NV (a) | 5,297,988 | ||||||||
| 72,317 | Signify NV | 2,104,358 | ||||||||
| 15,729 | TomTom NV * (a) | 104,126 | ||||||||
| 14,072 | Van Lanschot Kempen NV | 443,367 | ||||||||
| 1,646 | Wolters Kluwer NV (a) | 226,725 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 68,908,507 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.0% | ||||||||||
| 350,196 | Meridian Energy Ltd. (a) | 1,125,281 | ||||||||
|
|
|
|||||||||
| Norway — 0.8% | ||||||||||
| 79,540 | Austevoll Seafood ASA | 548,220 | ||||||||
| 50,195 | BW LPG Ltd. | 731,363 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Norway — continued | ||||||||||
| 88,238 | DNB Bank ASA | 1,682,155 | ||||||||
| 543,198 | DNO ASA | 526,117 | ||||||||
| 434,690 | Elkem ASA | 702,463 | ||||||||
| 568,694 | Equinor ASA | 18,169,353 | ||||||||
| 99,214 | Europris ASA | 657,080 | ||||||||
| 6,037 | Frontline PLC | 118,994 | ||||||||
| 170,104 | Hafnia Ltd. | 1,044,536 | ||||||||
| 96,457 | Hoegh Autoliners ASA (a) | 778,265 | ||||||||
| 125,772 | MPC Container Ships ASA (a) | 161,430 | ||||||||
| 56,862 | Odfjell Drilling Ltd. | 181,792 | ||||||||
| 15,675 | Stolt-Nielsen Ltd. | 454,137 | ||||||||
| 13,006 | TGS ASA | 165,187 | ||||||||
| 109,148 | Wallenius Wilhelmsen ASA | 953,939 | ||||||||
|
|
|
|||||||||
| Total Norway | 26,875,031 | |||||||||
|
|
|
|||||||||
| Pakistan — 0.0% | ||||||||||
| 125,427 | Attock Refinery Ltd. | 136,912 | ||||||||
| 113,433 | Engro Fertilizers Ltd. | 40,082 | ||||||||
| 45,490 | Fauji Fertilizer Co. Ltd. | 17,879 | ||||||||
| 76,430 | Habib Bank Ltd. | 29,944 | ||||||||
| 89,686 | Hub Power Co. Ltd. | 38,377 | ||||||||
| 6,122 | Lucky Cement Ltd. | 16,861 | ||||||||
| 2,634 | Mari Petroleum Co. Ltd. | 15,729 | ||||||||
| 35,828 | Nishat Mills Ltd. | 9,810 | ||||||||
| 957,384 | Oil & Gas Development Co. Ltd. | 365,352 | ||||||||
| 21,634 | Pakistan Oilfields Ltd. | 32,925 | ||||||||
| 867,336 | Pakistan Petroleum Ltd. | 278,535 | ||||||||
| 160,215 | Pakistan Refinery Ltd. | 14,007 | ||||||||
| 200,548 | SUI Northern Gas Pipeline | 44,160 | ||||||||
| 58,389 | United Bank Ltd. | 37,196 | ||||||||
|
|
|
|||||||||
| Total Pakistan | 1,077,769 | |||||||||
|
|
|
|||||||||
| Panama — 0.0% | ||||||||||
| 494,873 | BAC Holding International Corp. | 25,016 | ||||||||
|
|
|
|||||||||
| Philippines — 0.0% | ||||||||||
| 19,470 | Manila Electric Co. | 126,199 | ||||||||
| 3,393,024 | Megaworld Corp. | 125,935 | ||||||||
|
|
|
|||||||||
| Total Philippines | 252,134 | |||||||||
|
|
|
|||||||||
| Poland — 0.5% | ||||||||||
| 15,769 | Asseco Poland SA | 300,918 | ||||||||
| 112,212 | Bank Polska Kasa Opieki SA | 3,942,270 | ||||||||
| 6,754 | Budimex SA | 936,047 | ||||||||
| 52,247 | Cyfrowy Polsat SA * | 167,443 | ||||||||
| 362 | Grupa Kety SA | 65,510 | ||||||||
| 136,038 | Orange Polska SA | 273,068 | ||||||||
| 668,422 | ORLEN SA | 9,867,960 | ||||||||
| 199,530 | Powszechny Zaklad Ubezpieczen SA | 2,272,743 | ||||||||
| 7,161 | Santander Bank Polska SA * | 889,676 | ||||||||
| 11,373 | XTB SA | 94,838 | ||||||||
|
|
|
|||||||||
| Total Poland | 18,810,473 | |||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Portugal — 0.3% | ||||||||||
| 362,324 | EDP – Energias de Portugal SA | 1,732,825 | ||||||||
| 366,775 | Galp Energia SGPS SA | 5,449,877 | ||||||||
| 203,698 | Navigator Co. SA | 837,240 | ||||||||
| 23,211 | REN – Redes Energeticas Nacionais SGPS SA | 61,606 | ||||||||
| 1,080,436 | Sonae SGPS SA | 1,092,715 | ||||||||
|
|
|
|||||||||
| Total Portugal | 9,174,263 | |||||||||
|
|
|
|||||||||
| Qatar — 0.0% | ||||||||||
| 212,279 | Ooredoo QPSC | 600,241 | ||||||||
| 3,742 | Qatar Fuel QSC | 16,357 | ||||||||
| 42,039 | Qatar Gas Transport Co. Ltd. | 37,424 | ||||||||
| 150,876 | Qatar National Cement Co. QSC | 153,410 | ||||||||
|
|
|
|||||||||
| Total Qatar | 807,432 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 10,221,010 | Alrosa PJSC (e) (f) | 74,134 | ||||||||
| 376,870,000 | Federal Grid Co.-Rosseti PJSC * (e) | 5,056 | ||||||||
| 214,678 | Fix Price Group PLC GDR * (e) | 5,152 | ||||||||
| 415,363 | Gazprom Neft PJSC (e) | 40,578 | ||||||||
| 4,924,596 | Gazprom PJSC * (e) | 89,395 | ||||||||
| 18,204,300 | Inter RAO UES PJSC (e) | 8,455 | ||||||||
| 88,304 | LSR Group PJSC (e) | 6,452 | ||||||||
| 4 | LSR Group PJSC GDR * (e) | — | ||||||||
| 192,855 | LUKOIL PJSC (e) | 155,934 | ||||||||
| 5,760,219 | Magnitogorsk Iron & Steel Works PJSC * (e) (f) | 32,647 | ||||||||
| 71,800 | Mechel PJSC * (e) | 2,341 | ||||||||
| 12,797 | MMC Norilsk Nickel PJSC * (e) | 23,857 | ||||||||
| 8 | MMC Norilsk Nickel PJSC ADR * (e) | 2 | ||||||||
| 23,942 | Mobile TeleSystems PJSC (e) | 678 | ||||||||
| 37,065 | Mobile TeleSystems PJSC ADR * (e) | 2,108 | ||||||||
| 1,472,470 | Moscow Exchange MICEX-Rates PJSC (e) | 32,665 | ||||||||
| 7,545,000 | Mosenergo PJSC (e) | 2,460 | ||||||||
| 191,960 | Novatek PJSC (e) | 32,241 | ||||||||
| 3,493,400 | Novolipetsk Steel PJSC * (e) | 67,014 | ||||||||
| 6,115 | PhosAgro PJSC (e) | 4,609 | ||||||||
| 118 | PhosAgro PJSC GDR * (e) (f) | 30 | ||||||||
| 25,552 | Polyus PJSC * (e) (f) | 30,888 | ||||||||
| 1 | Polyus PJSC GDR (Registered) (e) (f) | 1 | ||||||||
| 1,493 | Ros Agro PLC GDR * (e) | 241 | ||||||||
| 49,974,140 | RusHydro PJSC (e) | 4,430 | ||||||||
| 8,073,970 | Sberbank of Russia PJSC (e) (f) | 248,388 | ||||||||
| 7,395 | Severstal PAO * (e) (f) | 1,045 | ||||||||
| 261,549 | Severstal PAO GDR (Registered) * (e) (f) | 37,110 | ||||||||
| 29,090 | SFI PJSC (e) | 1,833 | ||||||||
| 27,770,670 | Surgutneftegas PJSC (e) | 97,533 | ||||||||
| 986,916 | Tatneft PJSC (e) | 70,047 | ||||||||
| 725,480 | Unipro PJSC * (e) | 163 | ||||||||
| 55,470 | United Co. Rusal International PJSC * (e) | 227 | ||||||||
| 752,312,000 | VTB Bank PJSC * (e) (f) | 1,982 | ||||||||
|
|
|
|||||||||
| Total Russia | 1,079,696 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| Saudi Arabia — 0.1% | ||||||||||
| 92,865 | Almarai Co. JSC | 1,383,351 | ||||||||
| 211,099 | Saudi Arabian Oil Co. | 1,866,331 | ||||||||
| 11,028 | Saudi Basic Industries Corp. | 233,127 | ||||||||
| 143,503 | Saudi Telecom Co. | 1,472,809 | ||||||||
|
|
|
|||||||||
| Total Saudi Arabia | 4,955,618 | |||||||||
|
|
|
|||||||||
| Singapore — 0.5% | ||||||||||
| 72,800 | Asian Pay Television Trust | 4,900 | ||||||||
| 102,600 | Bumitama Agri Ltd. | 46,394 | ||||||||
| 937,600 | ComfortDelGro Corp. Ltd. | 905,209 | ||||||||
| 83,724 | DBS Group Holdings Ltd. | 1,988,836 | ||||||||
| 122,400 | First Real Estate Investment Trust – (REIT) | 21,971 | ||||||||
| 331,900 | First Resources Ltd. | 345,105 | ||||||||
| 2,726,200 | Golden Agri-Resources Ltd. | 540,011 | ||||||||
| 116,300 | Japfa Ltd. | 20,383 | ||||||||
| 804,400 | Keppel Corp. Ltd. | 4,012,788 | ||||||||
| 319,400 | Oversea-Chinese Banking Corp. Ltd. | 2,997,214 | ||||||||
| 215,200 | Sasseur Real Estate Investment Trust – (REIT) | 110,151 | ||||||||
| 88,400 | Sembcorp Industries Ltd. | 339,772 | ||||||||
| 76,000 | Sheng Siong Group Ltd. | 88,657 | ||||||||
| 37,800 | Silverlake Axis Ltd. | 7,638 | ||||||||
| 230,000 | StarHub Ltd. | 184,068 | ||||||||
| 69,400 | United Overseas Bank Ltd. | 1,416,403 | ||||||||
| 19,600 | UOL Group Ltd. | 86,419 | ||||||||
| 103,500 | Venture Corp. Ltd. | 969,529 | ||||||||
| 315,300 | Yangzijiang Financial Holding Ltd. | 75,485 | ||||||||
| 4,693,077 | Yangzijiang Shipbuilding Holdings Ltd. | 5,088,591 | ||||||||
| 452,600 | Yanlord Land Group Ltd. * | 182,818 | ||||||||
|
|
|
|||||||||
| Total Singapore | 19,432,342 | |||||||||
|
|
|
|||||||||
| South Africa — 1.4% | ||||||||||
| 483,099 | Absa Group Ltd. | 4,455,552 | ||||||||
| 46,920 | AECI Ltd. | 257,409 | ||||||||
| 157,806 | African Rainbow Minerals Ltd. | 1,522,217 | ||||||||
| 142,059 | Anglo American Platinum Ltd. | 6,015,434 | ||||||||
| 99,729 | Aspen Pharmacare Holdings Ltd. | 980,880 | ||||||||
| 31,407 | Astral Foods Ltd. | 265,613 | ||||||||
| 130,799 | AVI Ltd. | 543,632 | ||||||||
| 38,824 | Barloworld Ltd. | 157,050 | ||||||||
| 166,149 | Bidvest Group Ltd. | 2,081,380 | ||||||||
| 27,397 | Clicks Group Ltd. | 429,321 | ||||||||
| 41,333 | Coronation Fund Managers Ltd. | 69,227 | ||||||||
| 13,800 | DRDGOLD Ltd. Sponsored ADR | 128,616 | ||||||||
| 1,826,321 | FirstRand Ltd. | 6,532,903 | ||||||||
| 163,473 | Foschini Group Ltd. | 949,682 | ||||||||
| 96,282 | Gold Fields Ltd. Sponsored ADR (b) | 1,472,152 | ||||||||
| 1,704,844 | Growthpoint Properties Ltd. – (REIT) | 958,629 | ||||||||
| 1,133,040 | Impala Platinum Holdings Ltd. | 4,607,183 | ||||||||
| 58,702 | Investec Ltd. | 375,394 | ||||||||
| 158,494 | Kumba Iron Ore Ltd. | 4,986,717 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| South Africa — continued | ||||||||||
| 99,174 | Lewis Group Ltd. | 218,289 | ||||||||
| 45,669 | Momentum Metropolitan Holdings | 48,775 | ||||||||
| 91,799 | Motus Holdings Ltd. | 453,724 | ||||||||
| 201,205 | Mr Price Group Ltd. | 1,638,510 | ||||||||
| 85,230 | MultiChoice Group * | 305,914 | ||||||||
| 137,189 | Nedbank Group Ltd. | 1,556,297 | ||||||||
| 156,131 | Ninety One Ltd. | 340,230 | ||||||||
| 136,300 | Old Mutual Ltd. | 83,104 | ||||||||
| 26,901 | Omnia Holdings Ltd. | 85,106 | ||||||||
| 29,075 | OUTsurance Group Ltd. | 64,077 | ||||||||
| 97,733 | Pepkor Holdings Ltd. | 96,568 | ||||||||
| 73,150 | Pick n Pay Stores Ltd. | 92,398 | ||||||||
| 43,682 | Reunert Ltd. | 143,096 | ||||||||
| 117,404 | Sanlam Ltd. | 422,476 | ||||||||
| 3,420 | Santam Ltd. | 52,777 | ||||||||
| 438,520 | Sappi Ltd. | 919,178 | ||||||||
| 48,151 | Shoprite Holdings Ltd. | 656,859 | ||||||||
| 759,614 | Sibanye Stillwater Ltd. | 835,921 | ||||||||
| 20,473 | SPAR Group Ltd. | 126,588 | ||||||||
| 53,183 | Standard Bank Group Ltd. | 565,220 | ||||||||
| 72,608 | Tiger Brands Ltd. | 700,207 | ||||||||
| 584,266 | Truworths International Ltd. | 2,375,607 | ||||||||
| 66,156 | Vodacom Group Ltd. | 340,690 | ||||||||
| 277,300 | Woolworths Holdings Ltd. | 992,302 | ||||||||
|
|
|
|||||||||
| Total South Africa | 49,902,904 | |||||||||
|
|
|
|||||||||
| South Korea — 2.6% | ||||||||||
| 6,178 | BGF retail Co. Ltd. | 645,285 | ||||||||
| 128,884 | BNK Financial Group, Inc. | 715,213 | ||||||||
| 26,634 | Cheil Worldwide, Inc. | 402,991 | ||||||||
| 35,333 | Coway Co. Ltd. | 1,360,425 | ||||||||
| 22,656 | Daou Data Corp. | 216,126 | ||||||||
| 6,454 | DB Insurance Co. Ltd. | 416,421 | ||||||||
| 270,400 | Dongwon Development Co. Ltd. | 688,287 | ||||||||
| 3,508 | E-MART, Inc. | 205,503 | ||||||||
| 60,743 | GS Holdings Corp. | 1,936,731 | ||||||||
| 69,622 | Hana Financial Group, Inc. | 2,240,195 | ||||||||
| 11,389 | Handsome Co. Ltd. | 167,293 | ||||||||
| 38,238 | Hankook Tire & Technology Co. Ltd. | 1,338,365 | ||||||||
| 45,681 | HDC Hyundai Development Co-Engineering & Construction | 545,562 | ||||||||
| 13,430 | Hyundai Glovis Co. Ltd. | 1,802,320 | ||||||||
| 2,982 | Hyundai Home Shopping Network Corp. | 99,136 | ||||||||
| 8,813 | Hyundai Marine & Fire Insurance Co. Ltd. | 212,146 | ||||||||
| 34,691 | Hyundai Mobis Co. Ltd. | 6,135,454 | ||||||||
| 4,969 | Hyundai Motor Co. | 707,507 | ||||||||
| 9,322 | INTOPS Co. Ltd. | 211,486 | ||||||||
| 82,116 | JB Financial Group Co. Ltd. | 658,822 | ||||||||
| 25,992 | Kakao Games Corp. * | 530,860 | ||||||||
| 15,994 | KB Financial Group, Inc. ADR | 644,238 | ||||||||
| 1,538 | KCC Glass Corp. | 49,441 | ||||||||
| 235,157 | Kia Corp. | 15,623,390 | ||||||||
| Shares | Description | Value ($) |
||||||||
| South Korea — continued | ||||||||||
| 49,512 | KT Skylife Co. Ltd. | 231,758 | ||||||||
| 159,416 | KT&G Corp. | 10,867,060 | ||||||||
| 8,236 | Kumho Petrochemical Co. Ltd. | 813,271 | ||||||||
| 23,897 | LG Corp. | 1,547,732 | ||||||||
| 131,541 | LG Electronics, Inc. | 10,429,989 | ||||||||
| 17,907 | Lotte Energy Materials Corp. | 624,590 | ||||||||
| 22,907 | LOTTE Fine Chemical Co. Ltd. | 1,022,042 | ||||||||
| 5,172 | LOTTE Himart Co. Ltd. | 41,477 | ||||||||
| 2,918 | LX International Corp. | 67,147 | ||||||||
| 58,796 | Mirae Asset Securities Co. Ltd. | 325,866 | ||||||||
| 6,650 | NH Investment & Securities Co. Ltd. | 52,727 | ||||||||
| 6,874 | Orion Corp. | 621,567 | ||||||||
| 259,563 | Pan Ocean Co. Ltd. | 910,377 | ||||||||
| 4,121 | POSCO Holdings, Inc. | 1,538,969 | ||||||||
| 94,828 | POSCO Holdings, Inc. Sponsored ADR | 8,837,970 | ||||||||
| 1,250 | S-1 Corp. | 57,979 | ||||||||
| 127,944 | Samsung Electronics Co. Ltd. | 7,214,469 | ||||||||
| 1,199 | Samsung Electronics Co. Ltd. GDR (a) | 1,670,651 | ||||||||
| 7,663 | Samsung Securities Co. Ltd. | 232,310 | ||||||||
| 51,344 | SK Networks Co. Ltd. | 225,057 | ||||||||
| 62,072 | SK Square Co. Ltd. * | 2,442,449 | ||||||||
| 1,152 | SNT Motiv Co. Ltd. | 39,072 | ||||||||
| 545 | Soulbrain Co. Ltd. | 116,906 | ||||||||
| 162 | Taekwang Industrial Co. Ltd. | 74,491 | ||||||||
| 8,186 | TKG Huchems Co. Ltd. | 134,737 | ||||||||
| 1 | Unid Co. Ltd. | 58 | ||||||||
| 31,730 | VIOL Co. Ltd. | 222,382 | ||||||||
| 297,080 | Woori Financial Group, Inc. | 2,994,801 | ||||||||
| 31,933 | Woori Technology Investment Co. Ltd. * | 137,366 | ||||||||
| 16,763 | Youngone Corp. | 566,348 | ||||||||
|
|
|
|||||||||
| Total South Korea | 91,614,815 | |||||||||
|
|
|
|||||||||
| Spain — 2.1% | ||||||||||
| 365,964 | Acerinox SA | 4,018,725 | ||||||||
| 7,703 | ACS Actividades de Construccion y Servicios SA | 307,907 | ||||||||
| 70,936 | Amadeus IT Group SA (a) | 4,870,235 | ||||||||
| 5,951 | Applus Services SA (a) | 64,286 | ||||||||
| 53,381 | Atresmedia Corp. de Medios de Comunicacion SA | 221,380 | ||||||||
| 2,134,336 | Banco Bilbao Vizcaya Argentaria SA | 19,869,097 | ||||||||
| 7,304,067 | Banco de Sabadell SA | 10,681,423 | ||||||||
| 3,101,000 | Banco Santander SA | 12,854,358 | ||||||||
| 39,438 | Cia de Distribucion Integral Logista Holdings SA | 1,022,064 | ||||||||
| 1,514 | Faes Farma SA | 5,143 | ||||||||
| 8,732 | Iberdrola SA (a) | 107,919 | ||||||||
| 235,634 | Industria de Diseno Textil SA (a) | 9,723,443 | ||||||||
| 181,907 | Mapfre SA (b) | 401,400 | ||||||||
| 84,757 | Prosegur Compania de Seguridad SA (a) | 166,863 | ||||||||
| 640,096 | Repsol SA | 9,828,890 | ||||||||
|
|
|
|||||||||
| Total Spain | 74,143,133 | |||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Sweden — 0.8% | ||||||||||
| 22,727 | AcadeMedia AB (a) | 114,317 | ||||||||
| 29,509 | Betsson AB – Class B * (a) | 306,969 | ||||||||
| 87,818 | Boliden AB | 2,337,384 | ||||||||
| 110,793 | Fabege AB (a) (b) | 992,439 | ||||||||
| 616,587 | Fastighets AB Balder – B Shares * | 3,641,216 | ||||||||
| 407,706 | Investor AB – B Shares (a) | 8,470,510 | ||||||||
| 17,315 | Nordea Bank Abp | 193,572 | ||||||||
| 21,700 | Peab AB – Class B | 102,190 | ||||||||
| 34,455 | Securitas AB – B Shares (a) | 310,166 | ||||||||
| 91,699 | Skanska AB – B Shares | 1,473,643 | ||||||||
| 421,289 | SSAB AB – A Shares | 3,189,776 | ||||||||
| 252,804 | Svenska Handelsbanken AB – A Shares | 2,388,808 | ||||||||
| 597,170 | Telefonaktiebolaget LM Ericsson – B Shares | 2,952,957 | ||||||||
| 21,630 | Volvo AB – A Shares | 511,089 | ||||||||
| 57,316 | Volvo AB – B Shares (a) | 1,329,248 | ||||||||
| 90,707 | Volvo Car AB – Class B * | 296,068 | ||||||||
|
|
|
|||||||||
| Total Sweden | 28,610,352 | |||||||||
|
|
|
|||||||||
| Switzerland — 1.1% | ||||||||||
| 197,288 | Adecco Group AG (Registered) (a) | 9,515,321 | ||||||||
| 14,779 | Holcim AG | 1,087,139 | ||||||||
| 2,299 | Logitech International SA (Registered) (a) | 201,622 | ||||||||
| 6,653 | Mobilezone Holding AG | 99,870 | ||||||||
| 33,047 | Novartis AG (Registered) (a) | 3,225,660 | ||||||||
| 90,140 | Novartis AG Sponsored ADR (a) | 8,824,706 | ||||||||
| 1,655 | Roche Holding AG (a) | 471,511 | ||||||||
| 58,038 | Roche Holding AG – Genusschein (a) | 15,613,440 | ||||||||
| 19,469 | Sandoz Group AG * (c) | 555,743 | ||||||||
| 8,338 | Sandoz Group AG * (c) | 238,133 | ||||||||
| 3,193 | u-blox Holding AG | 335,579 | ||||||||
| 24,418 | UBS Group AG (Registered) (a) | 689,808 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 40,858,532 | |||||||||
|
|
|
|||||||||
| Taiwan — 3.3% | ||||||||||
| 5,898 | Advantech Co. Ltd. | 66,632 | ||||||||
| 229,843 | AmTRAN Technology Co. Ltd. | 87,927 | ||||||||
| 6,000 | Arcadyan Technology Corp. | 31,392 | ||||||||
| 390,444 | ASE Technology Holding Co. Ltd. ADR | 3,357,818 | ||||||||
| 76,000 | Asia Cement Corp. | 101,385 | ||||||||
| 173,799 | Asustek Computer, Inc. | 2,191,362 | ||||||||
| 36,000 | Aten International Co. Ltd. | 93,588 | ||||||||
| 1,373,000 | Catcher Technology Co. Ltd | 8,542,167 | ||||||||
| 260,490 | Chicony Electronics Co. Ltd | 1,329,054 | ||||||||
| 592,000 | Chipbond Technology Corp. | 1,363,534 | ||||||||
| 163,000 | ChipMOS Technologies, Inc. | 212,847 | ||||||||
| 95,540 | Chong Hong Construction Co. Ltd. | 228,705 | ||||||||
| 1,850,000 | Compal Electronics, Inc. | 1,830,037 | ||||||||
| 146,080 | Coretronic Corp. | 334,759 | ||||||||
| 41,000 | Delta Electronics, Inc. | 414,686 | ||||||||
| 57,000 | Elitegroup Computer Systems Co. Ltd. | 52,829 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Taiwan — continued | ||||||||||
| 1,841,000 | Evergreen Marine Corp. Taiwan Ltd. | 6,603,675 | ||||||||
| 6,000 | EVERGREEN Steel Corp. | 15,601 | ||||||||
| 17,000 | Everlight Electronics Co. Ltd. | 25,435 | ||||||||
| 262,000 | Farglory Land Development Co. Ltd. | 489,484 | ||||||||
| 64,230 | First Financial Holding Co. Ltd. | 56,914 | ||||||||
| 130,709 | FLEXium Interconnect, Inc. | 366,266 | ||||||||
| 35,000 | Formosa Advanced Technologies Co. Ltd. | 43,835 | ||||||||
| 530,000 | Foxconn Technology Co. Ltd. | 904,422 | ||||||||
| 436,105 | Fubon Financial Holding Co. Ltd. | 898,764 | ||||||||
| 6,000 | Fusheng Precision Co. Ltd. | 39,061 | ||||||||
| 94,000 | Getac Holdings Corp. | 306,179 | ||||||||
| 149,000 | Giant Manufacturing Co. Ltd | 906,210 | ||||||||
| 28,000 | Global Brands Manufacture Ltd. | 61,832 | ||||||||
| 4,000 | Global Mixed Mode Technology, Inc. | 34,256 | ||||||||
| 631,000 | Grand Pacific Petrochemical | 324,120 | ||||||||
| 6,000 | Greatek Electronics, Inc. | 11,589 | ||||||||
| 23,000 | Hannstar Board Corp. | 41,844 | ||||||||
| 4,310,406 | Hon Hai Precision Industry Co. Ltd | 14,000,535 | ||||||||
| 197,000 | Huaku Development Co. Ltd. | 595,316 | ||||||||
| 25,279 | Innodisk Corp. | 252,122 | ||||||||
| 442,000 | Inventec Corp. | 599,170 | ||||||||
| 183,000 | King’s Town Bank Co. Ltd. | 230,839 | ||||||||
| 148,000 | Kung Long Batteries Industrial Co. Ltd. | 632,028 | ||||||||
| 56,000 | Largan Precision Co. Ltd | 4,278,566 | ||||||||
| 288,000 | Lite-On Technology Corp. ADR | 1,012,392 | ||||||||
| 368,000 | MediaTek, Inc. | 11,113,414 | ||||||||
| 678,000 | Micro-Star International Co. Ltd | 3,980,388 | ||||||||
| 784,000 | Mitac Holdings Corp. | 1,006,700 | ||||||||
| 295,502 | Nantex Industry Co. Ltd. | 361,306 | ||||||||
| 6,000 | Nien Made Enterprise Co. Ltd. | 65,261 | ||||||||
| 380,000 | Novatek Microelectronics Corp. | 6,207,097 | ||||||||
| 10,000 | Pixart Imaging, Inc. | 51,644 | ||||||||
| 1,086,566 | Pou Chen Corp. | 1,072,827 | ||||||||
| 14,000 | Powertech Technology, Inc. | 50,170 | ||||||||
| 323,000 | Primax Electronics Ltd. | 666,537 | ||||||||
| 685,263 | Radiant Opto-Electronics Corp. | 2,895,834 | ||||||||
| 9,000 | Raydium Semiconductor Corp. | 115,891 | ||||||||
| 165,000 | Ruentex Industries Ltd. | 332,582 | ||||||||
| 145,280 | Shin Zu Shing Co. Ltd. | 571,729 | ||||||||
| 128,000 | Shinkong Insurance Co. Ltd. | 279,327 | ||||||||
| 24,000 | Sigurd Microelectronics Corp. | 49,072 | ||||||||
| 45,500 | Silicon Motion Technology Corp. ADR (g) | 2,675,400 | ||||||||
| 125,000 | Simplo Technology Co. Ltd | 1,521,007 | ||||||||
| 8,000 | Soft-World International Corp. | 40,862 | ||||||||
| 5,300 | Sporton International, Inc. | 40,434 | ||||||||
| 238,000 | Syncmold Enterprise Corp. | 681,552 | ||||||||
| 55,000 | Synnex Technology International Corp. | 121,019 | ||||||||
| 34,000 | T3EX Global Holdings Corp. | 83,784 | ||||||||
| 24,311 | Tah Hsin Industrial Corp. | 55,506 | ||||||||
| 63,000 | TaiDoc Technology Corp. | 316,785 | ||||||||
| 16,000 | Taiwan Fertilizer Co. Ltd. | 32,617 | ||||||||
| 27,000 | Taiwan Hon Chuan Enterprise Co. Ltd. | 103,711 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Taiwan — continued | ||||||||||
| 278,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 5,085,209 | ||||||||
| 122,725 | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 11,942,370 | ||||||||
| 21,000 | Taiwan Surface Mounting Technology Corp. | 65,338 | ||||||||
| 10,000 | Topkey Corp. | 57,274 | ||||||||
| 311,000 | Transcend Information, Inc. | 829,088 | ||||||||
| 141,000 | Tripod Technology Corp. | 869,902 | ||||||||
| 30,000 | Tung Ho Steel Enterprise Corp. | 66,586 | ||||||||
| 28,000 | TXC Corp. | 92,264 | ||||||||
| 8,000 | United Integrated Services Co. Ltd. | 62,589 | ||||||||
| 504,000 | United Microelectronics Corp. | 788,135 | ||||||||
| 304,000 | Universal, Inc. | 345,666 | ||||||||
| 885,400 | Wan Hai Lines Ltd. | 1,324,328 | ||||||||
| 171,000 | Wistron Corp. | 498,211 | ||||||||
| 3,780,000 | Yang Ming Marine Transport Corp. | 5,085,981 | ||||||||
| 222,000 | Youngtek Electronics Corp. | 429,621 | ||||||||
| 2,325,365 | Yuanta Financial Holding Co. Ltd | 1,934,766 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 116,938,961 | |||||||||
|
|
|
|||||||||
| Thailand — 0.8% | ||||||||||
| 4,493,900 | AP Thailand PCL NVDR | 1,380,541 | ||||||||
| 1,569,700 | B Grimm Power PCL NVDR | 1,126,712 | ||||||||
| 1,391,700 | Bangkok Bank PCL NVDR | 5,977,784 | ||||||||
| 270,500 | Bangkok Dusit Medical Services PCL NVDR | 201,997 | ||||||||
| 102,800 | Electricity Generating PCL NVDR | 376,980 | ||||||||
| 226,000 | GFPT PCL NVDR | 69,437 | ||||||||
| 810,600 | Kasikornbank PCL NVDR | 2,949,295 | ||||||||
| 19,097,100 | Krung Thai Bank PCL NVDR | 9,885,255 | ||||||||
| 565,380 | Pruksa Holding PCL NVDR | 196,217 | ||||||||
| 159,808 | Pruksa Holding PCL | 55,462 | ||||||||
| 680,800 | PTT Exploration & Production PCL NVDR | 2,922,466 | ||||||||
| 366,500 | Ratch Group PCL NVDR | 338,604 | ||||||||
| 88,500 | Regional Container Lines PCL NVDR | 48,807 | ||||||||
| 5,559,900 | Sansiri PCL NVDR | 264,293 | ||||||||
| 152,200 | SCB X PCL NVDR | 429,568 | ||||||||
| 207,800 | Somboon Advance Technology PCL NVDR | 102,830 | ||||||||
| 785,800 | Sri Trang Agro-Industry PCL NVDR | 341,938 | ||||||||
| 156,700 | Sri Trang Gloves Thailand PCL NVDR | 27,199 | ||||||||
| 620,600 | Supalai PCL NVDR | 310,766 | ||||||||
| 272,400 | Thai Oil PCL NVDR | 398,126 | ||||||||
| 208,230 | Thai Vegetable Oil PCL NVDR | 124,857 | ||||||||
|
|
|
|||||||||
| Total Thailand | 27,529,134 | |||||||||
|
|
|
|||||||||
| Turkey — 0.5% | ||||||||||
| 2,704,539 | Akbank TAS | 3,154,818 | ||||||||
| 1,385,398 | Aselsan Elektronik Sanayi Ve Ticaret AS | 2,346,506 | ||||||||
| 1,434,856 | Dogan Sirketler Grubu Holding AS | 656,229 | ||||||||
| 101,695 | Dogus Otomotiv Servis ve Ticaret AS | 864,095 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Turkey — continued | ||||||||||
| 209,367 | Haci Omer Sabanci Holding AS | 442,337 | ||||||||
| 748,828 | KOC Holding AS | 3,664,614 | ||||||||
| 43,364 | Mavi Giyim Sanayi Ve Ticaret AS – Class B | 152,246 | ||||||||
| 196,956 | Tekfen Holding AS | 307,967 | ||||||||
| 1,112,889 | Turkcell Iletisim Hizmetleri AS * | 2,229,758 | ||||||||
| 757,312 | Turkiye Sise ve Cam Fabrikalari AS | 1,292,277 | ||||||||
| 541,435 | Vestel Beyaz Esya Sanayi ve Ticaret AS | 310,426 | ||||||||
| 3,838,959 | Yapi ve Kredi Bankasi AS | 2,557,170 | ||||||||
|
|
|
|||||||||
| Total Turkey | 17,978,443 | |||||||||
|
|
|
|||||||||
| Ukraine — 0.0% | ||||||||||
| 36,516 | Kernel Holding SA * | 66,147 | ||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.1% | ||||||||||
| 102,293 | Emaar Properties PJSC | 211,301 | ||||||||
| 401,839 | Emirates NBD Bank PJSC | 1,926,053 | ||||||||
|
|
|
|||||||||
| Total United Arab Emirates | 2,137,354 | |||||||||
|
|
|
|||||||||
| United Kingdom — 5.0% | ||||||||||
| 720,789 | 3i Group PLC | 20,385,811 | ||||||||
| 205,008 | Abcam PLC Sponsored ADR * | 4,914,042 | ||||||||
| 171,813 | abrdn PLC | 354,622 | ||||||||
| 62,341 | Anglo American PLC | 1,687,129 | ||||||||
| 1,484 | Anglogold Ashanti PLC | 28,567 | ||||||||
| 226,185 | Balfour Beatty PLC | 931,494 | ||||||||
| 16,420 | Bank of Georgia Group PLC | 715,917 | ||||||||
| 1,127,574 | Barclays PLC | 2,016,083 | ||||||||
| 313,656 | Barclays PLC Sponsored ADR | 2,264,596 | ||||||||
| 992,931 | Barratt Developments PLC | 6,456,404 | ||||||||
| 96,072 | Bellway PLC | 2,816,569 | ||||||||
| 117,147 | Berkeley Group Holdings PLC | 6,874,778 | ||||||||
| 1,155,242 | BP PLC | 7,023,484 | ||||||||
| 57,169 | BP PLC Sponsored ADR (a) | 2,074,663 | ||||||||
| 206,955 | British American Tobacco PLC Sponsored ADR | 6,599,795 | ||||||||
| 160,362 | British American Tobacco PLC | 5,102,715 | ||||||||
| 6,653,543 | BT Group PLC | 10,342,206 | ||||||||
| 268,499 | Centamin PLC | 327,411 | ||||||||
| 382,632 | Centrica PLC (a) | 721,081 | ||||||||
| 278,458 | Coca-Cola HBC AG | 7,737,083 | ||||||||
| 233,243 | Compass Group PLC (a) | 5,904,878 | ||||||||
| 49,556 | Crest Nicholson Holdings PLC | 116,307 | ||||||||
| 50,825 | Dechra Pharmaceuticals PLC | 2,456,754 | ||||||||
| 21,091 | Dunelm Group PLC | 278,504 | ||||||||
| 30,601 | Evraz PLC * (e) | 791 | ||||||||
| 638,409 | Ferrexpo PLC * | 588,620 | ||||||||
| 1,139,885 | Glencore PLC | 6,376,731 | ||||||||
| 52,094 | GSK PLC | 935,996 | ||||||||
| 136,279 | GSK PLC Sponsored ADR | 4,904,681 | ||||||||
| 16,686 | Halfords Group PLC | 39,676 | ||||||||
| 259,531 | Harbour Energy PLC | 754,806 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United Kingdom — continued | ||||||||||
| 28,733 | Hikma Pharmaceuticals PLC | 626,124 | ||||||||
| 948,217 | HSBC Holdings PLC | 7,242,860 | ||||||||
| 76,525 | HSBC Holdings PLC Sponsored ADR (b) | 2,940,856 | ||||||||
| 173,028 | IG Group Holdings PLC | 1,496,384 | ||||||||
| 108,352 | Imperial Brands PLC | 2,533,150 | ||||||||
| 27,836 | International Personal Finance PLC | 38,691 | ||||||||
| 64,947 | Investec PLC | 422,069 | ||||||||
| 1,264,906 | ITV PLC | 962,067 | ||||||||
| 1,216,473 | J Sainsbury PLC | 4,395,746 | ||||||||
| 11,440 | Keller Group PLC | 117,856 | ||||||||
| 1,770,068 | Kingfisher PLC | 4,913,324 | ||||||||
| 3,781,796 | Lloyds Banking Group PLC | 2,084,853 | ||||||||
| 278,921 | Marks & Spencer Group PLC (a) | 888,309 | ||||||||
| 192,029 | Moneysupermarket.com Group PLC | 661,874 | ||||||||
| 24,849 | Morgan Sindall Group PLC | 640,728 | ||||||||
| 228,099 | OSB Group PLC | 1,086,867 | ||||||||
| 45,981 | Paragon Banking Group PLC | 281,079 | ||||||||
| 126,769 | Persimmon PLC (a) | 2,008,536 | ||||||||
| 76,599 | Plus500 Ltd. | 1,392,873 | ||||||||
| 91,595 | Premier Foods PLC | 148,356 | ||||||||
| 48,441 | Reach PLC | 43,745 | ||||||||
| 129,085 | Redde Northgate PLC | 584,469 | ||||||||
| 220,810 | Redrow PLC | 1,505,742 | ||||||||
| 29,957 | Rio Tinto PLC (a) | 2,047,490 | ||||||||
| 31,093 | Serica Energy PLC | 90,190 | ||||||||
| 349,083 | Shell PLC | 11,284,042 | ||||||||
| 17,263 | Shell PLC ADR (a) | 1,135,905 | ||||||||
| 54,292 | Standard Chartered PLC | 449,437 | ||||||||
| 1,496,695 | Taylor Wimpey PLC (a) | 2,453,136 | ||||||||
| 10,766 | TBC Bank Group PLC | 378,144 | ||||||||
| 207,293 | Tesco PLC (a) | 749,158 | ||||||||
| 66,853 | Vesuvius PLC | 362,336 | ||||||||
| 2,642,391 | Vodafone Group PLC (a) | 2,375,951 | ||||||||
| 800,891 | Vodafone Group PLC Sponsored ADR (a) | 7,256,072 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 177,330,613 | |||||||||
|
|
|
|||||||||
| United States — 23.4% | ||||||||||
| 91,857 | 3M Co. (a) | 9,100,273 | ||||||||
| 10,170 | Academy Sports & Outdoors, Inc. (b) | 517,348 | ||||||||
| 3,210 | Adtalem Global Education, Inc. * (b) | 182,874 | ||||||||
| 45,998 | Aemetis, Inc. * (b) | 204,231 | ||||||||
| 5,348 | Affiliated Managers Group, Inc. | 724,921 | ||||||||
| 15,985 | AGCO Corp. (b) | 1,814,777 | ||||||||
| 5,124 | Akamai Technologies, Inc. * (a) | 591,976 | ||||||||
| 593,688 | Albertsons Cos., Inc. – Class A (b) (g) | 12,924,588 | ||||||||
| 12,500 | Alcoa Corp. (b) | 335,750 | ||||||||
| 3,480 | Allison Transmission Holdings, Inc. | 186,110 | ||||||||
| 220,832 | Ally Financial, Inc. (b) | 6,452,711 | ||||||||
| 42,387 | Alphabet, Inc. – Class A * (a) (b) | 5,617,549 | ||||||||
| 78,310 | Alphabet, Inc. – Class C * (a) (b) | 10,487,275 | ||||||||
| 100,685 | Amedisys, Inc. * | 9,422,102 | ||||||||
| 81,993 | Ameresco, Inc. – Class A * (b) | 2,456,510 | ||||||||
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 51,442 | American Express Co. (a) | 8,784,750 | ||||||||
| 3,477 | Applied Materials, Inc. (a) (b) | 520,785 | ||||||||
| 25,841 | Archer-Daniels-Midland Co. (b) | 1,905,257 | ||||||||
| 31,300 | Array Technologies, Inc. * (b) | 484,211 | ||||||||
| 54,858 | Arrow Electronics, Inc. * (b) | 6,503,964 | ||||||||
| 2,000 | Aspen Technology, Inc. * (b) | 376,520 | ||||||||
| 2,579 | Atkore, Inc. * (b) | 335,012 | ||||||||
| 2,897 | AutoNation, Inc. * (b) | 391,877 | ||||||||
| 7,660 | Avnet, Inc. (b) | 358,182 | ||||||||
| 201,254 | Bank of America Corp. (b) | 6,136,234 | ||||||||
| 42,334 | Bank of New York Mellon Corp. (a) | 2,045,579 | ||||||||
| 53,470 | Best Buy Co., Inc. (b) | 3,793,162 | ||||||||
| 6,979 | Biogen, Inc. * (b) | 1,633,644 | ||||||||
| 17,481 | Bio-Rad Laboratories, Inc. – Class A * (b) | 5,330,307 | ||||||||
| 1,914 | Booking Holdings, Inc. * (b) | 5,982,590 | ||||||||
| 282,796 | BorgWarner, Inc. | 9,527,397 | ||||||||
| 67,558 | Bristol-Myers Squibb Co. (a) | 3,336,014 | ||||||||
| 99,576 | Bruin Blocker LLC * (e) | 1,197 | ||||||||
| 8,569 | Brunswick Corp. (a) | 675,837 | ||||||||
| 46,353 | Builders FirstSource, Inc. * | 6,216,401 | ||||||||
| 1,757 | Bunge Global SA | 193,042 | ||||||||
| 46,200 | California Resources Corp. | 2,365,902 | ||||||||
| 84,258 | Capital One Financial Corp. (a) | 9,408,248 | ||||||||
| 44,099 | CarMax, Inc. * (b) | 2,819,690 | ||||||||
| 20,700 | Carrier Global Corp. (b) | 1,075,572 | ||||||||
| 3,800 | Carter’s, Inc. | 259,122 | ||||||||
| 36,015 | CBRE Group, Inc. – Class A * (a) (b) | 2,843,744 | ||||||||
| 68,949 | Centene Corp. * (a) | 5,080,162 | ||||||||
| 71,383 | Chesapeake Energy Corp. (b) | 5,732,769 | ||||||||
| 48,142 | Chevron Corp. (b) | 6,913,191 | ||||||||
| 10,944 | Cigna Group (b) | 2,876,959 | ||||||||
| 82,555 | Cisco Systems, Inc. (a) | 3,994,011 | ||||||||
| 216,930 | Citigroup, Inc. (a) (b) | 10,000,473 | ||||||||
| 300,641 | Clean Energy Fuels Corp. * (b) | 1,085,314 | ||||||||
| 367,681 | Cleveland-Cliffs, Inc. * (b) | 6,309,406 | ||||||||
| 117,770 | Cognizant Technology Solutions Corp. – Class A (a) | 8,288,653 | ||||||||
| 274,171 | Comcast Corp. – Class A (a) | 11,485,023 | ||||||||
| 3,541 | Commercial Metals Co. | 160,514 | ||||||||
| 46,200 | ConocoPhillips (a) | 5,339,334 | ||||||||
| 15,200 | Corteva, Inc. (b) | 687,040 | ||||||||
| 5,049 | Crane NXT Co. | 259,822 | ||||||||
| 7,701 | Cummins, Inc. (a) | 1,726,256 | ||||||||
| 129,950 | CVS Health Corp. (a) | 8,830,103 | ||||||||
| 237,176 | Darling Ingredients, Inc. * (b) | 10,404,911 | ||||||||
| 1,200 | Deere & Co. (b) | 437,292 | ||||||||
| 23,234 | Dick’s Sporting Goods, Inc. (b) | 3,022,743 | ||||||||
| 79,057 | Discover Financial Services (b) | 7,352,301 | ||||||||
| 594,880 | DISH Network Corp. – Class A * (b) | 2,177,261 | ||||||||
| 30,978 | DR Horton, Inc. (a) (b) | 3,954,961 | ||||||||
| 19,450 | Dropbox, Inc. – Class A * (a) | 548,101 | ||||||||
| 176,608 | eBay, Inc. (b) | 7,242,694 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 7,531 | Elevance Health, Inc. (a) | 3,611,039 | ||||||||
| 2,739 | Encore Wire Corp. (b) | 504,798 | ||||||||
| 11,000 | Enphase Energy, Inc. * (b) | 1,111,220 | ||||||||
| 54,294 | EOG Resources, Inc. | 6,681,963 | ||||||||
| 26,194 | Etsy, Inc. * (b) | 1,985,767 | ||||||||
| 48,488 | Expedia Group, Inc. * (a) (b) | 6,603,096 | ||||||||
| 59,032 | Exxon Mobil Corp. (a) (b) | 6,064,948 | ||||||||
| 4,697 | F5, Inc. * (a) | 804,079 | ||||||||
| 123,445 | Fidelity National Financial, Inc. (a) (b) | 5,535,274 | ||||||||
| 6,900 | First Solar, Inc. * (b) | 1,088,682 | ||||||||
| 7,053 | FMC Corp. (b) | 378,464 | ||||||||
| 4,653 | Foot Locker, Inc. (b) | 125,305 | ||||||||
| 738,898 | Ford Motor Co. (a) (b) | 7,581,094 | ||||||||
| 9,125 | Fortune Brands Innovations, Inc. | 624,424 | ||||||||
| 25,549 | Fox Corp. – Class A (b) | 754,717 | ||||||||
| 182,100 | Fox Corp. – Class B (a) | 5,036,886 | ||||||||
| 226,171 | Franklin Resources, Inc. (b) | 5,609,041 | ||||||||
| 58,500 | Freeport-McMoRan, Inc. (b) | 2,183,220 | ||||||||
| 31,521 | Gap, Inc. (b) | 632,626 | ||||||||
| 9,282 | Garmin Ltd. (a) | 1,134,632 | ||||||||
| 201,500 | GCI Liberty, Inc. * (b) (d) | — | ||||||||
| 29,778 | Generac Holdings, Inc. * (b) | 3,486,110 | ||||||||
| 16,023 | General Electric Co. (a) | 1,951,601 | ||||||||
| 21,151 | General Mills, Inc. (b) | 1,346,473 | ||||||||
| 204,351 | General Motors Co. | 6,457,492 | ||||||||
| 38,237 | Gilead Sciences, Inc. (b) | 2,928,954 | ||||||||
| 97,344 | Globus Medical, Inc. – Class A * (b) | 4,372,692 | ||||||||
| 29,004 | Goldman Sachs Group, Inc. (a) | 9,906,026 | ||||||||
| 294,636 | GrafTech International Ltd. (b) | 727,751 | ||||||||
| 285 | Graham Holdings Co. – Class B (b) | 178,738 | ||||||||
| 176,965 | Green Plains, Inc. * (b) | 4,402,889 | ||||||||
| 2,120 | Group 1 Automotive, Inc. | 598,052 | ||||||||
| 2,300 | Gulfport Energy Corp. * | 315,192 | ||||||||
| 30,669 | H&R Block, Inc. (b) | 1,392,986 | ||||||||
| 4,309 | Harley-Davidson, Inc. (b) | 129,227 | ||||||||
| 14,040 | Hartford Financial Services Group, Inc. (a) | 1,097,366 | ||||||||
| 32,723 | Hess Corp. | 4,599,545 | ||||||||
| 233,708 | Hewlett Packard Enterprise Co. (b) | 3,952,002 | ||||||||
| 26,261 | Hilton Worldwide Holdings, Inc. (a) | 4,399,243 | ||||||||
| 1,800 | HNI Corp. (a) (b) | 70,326 | ||||||||
| 286,015 | HP, Inc. (a) | 8,391,680 | ||||||||
| 2,376 | Humana, Inc. (a) | 1,152,027 | ||||||||
| 16,626 | Huntsman Corp. | 409,000 | ||||||||
| 92,993 | Incyte Corp. * | 5,053,240 | ||||||||
| 300,142 | Intel Corp. | 13,416,347 | ||||||||
| 49,825 | Intercontinental Exchange, Inc. (a) (b) | 5,672,078 | ||||||||
| 74,201 | International Business Machines Corp. (b) | 11,765,311 | ||||||||
| 221,180 | Invesco Ltd. | 3,156,239 | ||||||||
| 32,080 | Janus Henderson Group PLC | 840,175 | ||||||||
| 38,746 | Jazz Pharmaceuticals PLC * | 4,580,940 | ||||||||
| 24,210 | Johnson & Johnson (a) | 3,744,319 | ||||||||
| 59,164 | JPMorgan Chase & Co. (a) | 9,234,317 | ||||||||
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 15,168 | Kellanova (b) | 796,927 | ||||||||
| 17,013 | Keysight Technologies, Inc. * (a) | 2,311,897 | ||||||||
| 365,060 | Kinder Morgan, Inc. (b) | 6,414,104 | ||||||||
| 11,461 | Kohl’s Corp. (b) | 268,760 | ||||||||
| 1,253,851 | Kosmos Energy Ltd. * (b) | 8,513,648 | ||||||||
| 214,103 | Kraft Heinz Co. (a) | 7,517,156 | ||||||||
| 104,386 | Kroger Co. (a) (b) | 4,621,168 | ||||||||
| 15,471 | Laboratory Corp. of America Holdings (b) | 3,355,815 | ||||||||
| 6,927 | Lam Research Corp. | 4,959,178 | ||||||||
| 91,790 | Las Vegas Sands Corp. (b) | 4,233,355 | ||||||||
| 5,149 | La-Z-Boy, Inc. | 181,193 | ||||||||
| 5,916 | Lear Corp. | 791,265 | ||||||||
| 34,359 | Lennar Corp. – Class A (a) | 4,395,203 | ||||||||
| 147,758 | Liberty Broadband Corp. – Class C * (a) (b) | 12,281,645 | ||||||||
| 41,543 | Liberty Media Corp.-Liberty Formula One – Class A * (b) | 2,381,660 | ||||||||
| 219,409 | Livent Corp. * (b) | 3,019,068 | ||||||||
| 29,919 | LyondellBasell Industries NV – Class A | 2,845,297 | ||||||||
| 3,400 | M&T Bank Corp. (b) | 435,778 | ||||||||
| 64,418 | Macy’s, Inc. (b) | 1,021,669 | ||||||||
| 12,363 | ManpowerGroup, Inc. (a) | 917,458 | ||||||||
| 12,369 | Marathon Petroleum Corp. | 1,845,331 | ||||||||
| 3,265 | Markel Group, Inc. * | 4,698,629 | ||||||||
| 180,091 | Match Group, Inc. * (a) (b) | 5,831,347 | ||||||||
| 1,400 | Matson, Inc. (b) | 134,078 | ||||||||
| 5,387 | Medtronic PLC (a) | 427,028 | ||||||||
| 33,535 | Merck & Co., Inc. (a) | 3,436,667 | ||||||||
| 55,214 | Meta Platforms, Inc. – Class A * (a) | 18,063,260 | ||||||||
| 62,190 | MGIC Investment Corp. (b) | 1,093,922 | ||||||||
| 113,069 | Micron Technology, Inc. (a) (b) | 8,606,812 | ||||||||
| 77,059 | Moderna, Inc. * (b) | 5,987,484 | ||||||||
| 59,833 | Mohawk Industries, Inc. * (b) | 5,283,852 | ||||||||
| 36,623 | Molson Coors Beverage Co. – Class B (b) | 2,253,779 | ||||||||
| 142,526 | Mosaic Co. | 5,115,258 | ||||||||
| 8,536 | NetApp, Inc. | 780,105 | ||||||||
| 1,858 | Nordstrom, Inc. | 29,022 | ||||||||
| 49,591 | Nucor Corp. (b) | 8,428,982 | ||||||||
| 76,351 | ON Semiconductor Corp. * (b) | 5,446,117 | ||||||||
| 2,043 | OneMain Holdings, Inc. (b) | 86,419 | ||||||||
| 7,401 | Oracle Corp. (b) | 860,070 | ||||||||
| 30,915 | Otis Worldwide Corp. (b) | 2,652,198 | ||||||||
| 132,585 | Ovintiv, Inc. (b) | 5,878,819 | ||||||||
| 7,298 | Owens Corning | 989,463 | ||||||||
| 81,236 | PACCAR, Inc. (b) | 7,459,090 | ||||||||
| 434,039 | Paramount Global – Class B | 6,237,140 | ||||||||
| 131,213 | PayPal Holdings, Inc. * (a) | 7,559,181 | ||||||||
| 755,227 | Pershing Square Tontine Holdings Ltd. * (d) | 113,284 | ||||||||
| 341,033 | Pfizer, Inc. (a) | 10,391,276 | ||||||||
| 19,391 | Phillips 66 | 2,499,306 | ||||||||
| 57,676 | Pioneer Natural Resources Co. (b) | 13,360,069 | ||||||||
| 282,155 | PNM Resources, Inc. (a) (b) | 11,729,183 | ||||||||
| 23,500 | PotlatchDeltic Corp. – (REIT) (b) | 1,077,240 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 50,990 | PulteGroup, Inc. (a) | 4,508,536 | ||||||||
| 9,604 | PVH Corp. (a) | 939,079 | ||||||||
| 88,409 | QUALCOMM, Inc. | 11,409,181 | ||||||||
| 45,501 | Radian Group, Inc. (b) | 1,169,831 | ||||||||
| 9,667 | Regeneron Pharmaceuticals, Inc. * (a) | 7,963,771 | ||||||||
| 27,214 | Regions Financial Corp. (b) | 453,930 | ||||||||
| 1,454 | Reliance Steel & Aluminum Co. | 400,228 | ||||||||
| 221,026 | RPT Realty – (REIT) (a) | 2,568,322 | ||||||||
| 3,522 | Schneider National, Inc. – Class B (a) | 81,112 | ||||||||
| 53,258 | Seagen, Inc. * | 11,355,138 | ||||||||
| 4,761 | Sensata Technologies Holding PLC | 154,780 | ||||||||
| 69,441 | Skyworks Solutions, Inc. (b) | 6,730,916 | ||||||||
| 94,992 | SolarEdge Technologies, Inc. * (b) | 7,540,465 | ||||||||
| 37,424 | Sovos Brands, Inc. * | 819,960 | ||||||||
| 46,764 | SP Plus Corp. * (a) | 2,391,979 | ||||||||
| 8,538 | Spirit Realty Capital, Inc. – (REIT) | 352,619 | ||||||||
| 63,165 | Splunk, Inc. * (a) (b) | 9,572,024 | ||||||||
| 116,593 | Sportsman’s Warehouse Holdings, Inc. * | 563,144 | ||||||||
| 20,365 | State Street Corp. (a) | 1,482,979 | ||||||||
| 69,663 | Steel Dynamics, Inc. (b) | 8,298,953 | ||||||||
| 5,346 | Stewart Information Services Corp. | 252,599 | ||||||||
| 341,283 | Sunrun, Inc. * (b) | 4,402,551 | ||||||||
| 232,989 | Synchrony Financial (b) | 7,539,524 | ||||||||
| 15,036 | T Rowe Price Group, Inc. (b) | 1,505,555 | ||||||||
| 36,130 | Tapestry, Inc. (a) | 1,144,237 | ||||||||
| 11,351 | Target Corp. (a) | 1,518,877 | ||||||||
| 11,893 | TE Connectivity Ltd. (a) | 1,557,983 | ||||||||
| 18,147 | Texas Instruments, Inc. (a) | 2,771,228 | ||||||||
| 58,990 | Textainer Group Holdings Ltd. | 2,904,078 | ||||||||
| 23,050 | Textron, Inc. (b) | 1,767,013 | ||||||||
| 4,893 | Timken Co. (b) | 354,253 | ||||||||
| 3,700 | Tri Pointe Homes, Inc. * | 107,966 | ||||||||
| 5,869 | TRU TAJ Liquidation Unit Trust / TRU TAJ Finance, Inc. * (e) | 59 | ||||||||
| 160,204 | TRU TAJ LLC / TRU Taj Finance, Inc. * (e) | 280,357 | ||||||||
| 141,521 | Tyson Foods, Inc. – Class A (b) | 6,628,844 | ||||||||
| 141,772 | U.S. Bancorp (b) | 5,404,349 | ||||||||
| 3,628 | UFP Industries, Inc. (b) | 397,738 | ||||||||
| 1,544 | United Rentals, Inc. (b) | 734,975 | ||||||||
| 343 | UnitedHealth Group, Inc. (b) | 189,669 | ||||||||
| 2,872 | Universal Corp. (b) | 161,579 | ||||||||
| 9,865 | Universal Health Services, Inc. – Class B (a) | 1,356,240 | ||||||||
| 14,810 | Unum Group | 636,830 | ||||||||
| 1,663 | Valero Energy Corp. | 208,474 | ||||||||
| 319,985 | Verizon Communications, Inc. (a) | 12,265,025 | ||||||||
| 237,626 | VF Corp. (b) | 3,975,483 | ||||||||
| 582,019 | Viatris, Inc. (b) | 5,342,934 | ||||||||
| 315,228 | Walgreens Boots Alliance, Inc. (b) | 6,285,646 | ||||||||
| 112,199 | Wells Fargo & Co. (a) (b) | 5,002,953 | ||||||||
| 39,198 | Western Digital Corp. * (b) | 1,893,655 | ||||||||
| 43,567 | Western Union Co. (b) | 506,684 | ||||||||
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 31,466 | Westlake Corp. (b) | 4,039,920 | ||||||||
| 2,141 | Westmoreland Mining Holdings * (d) | 3,212 | ||||||||
| 187,595 | Westrock Co. (b) | 7,723,286 | ||||||||
| 18,039 | Whirlpool Corp. (b) | 1,964,447 | ||||||||
| 3,081 | Williams-Sonoma, Inc. (b) | 577,811 | ||||||||
| 8,700 | Xerox Holdings Corp. | 121,713 | ||||||||
| 92,151 | Zoom Video Communications, Inc. – Class A * (a) (b) | 6,250,602 | ||||||||
| 40,286 | ZoomInfo Technologies, Inc. * (b) | 578,910 | ||||||||
|
|
|
|||||||||
| Total United States | 832,743,003 | |||||||||
|
|
|
|||||||||
| Vietnam — 0.2% | ||||||||||
| 235,200 | Duc Giang Chemicals JSC | 916,619 | ||||||||
| 141,100 | PetroVietNam Ca Mau Fertilizer JSC | 186,132 | ||||||||
| 176,700 | PetroVietnam Technical Services Corp. | 280,538 | ||||||||
| 233,800 | Sai Gon-Ha Noi Securities JSC * | 174,805 | ||||||||
| 114,422 | Saigon – Hanoi Commercial JSB * | 50,964 | ||||||||
| 318,000 | Saigon Thuong Tin Commercial JSB * | 360,564 | ||||||||
| 1,290,900 | SSI Securities Corp. | 1,665,499 | ||||||||
| 266,200 | Vietnam Dairy Products JSC | 738,805 | ||||||||
| 380,703 | Vietnam Joint Stock Commercial Bank for Industry & Trade * | 412,745 | ||||||||
| 2,530,100 | VNDirect Securities Corp. * | 2,185,473 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 6,972,144 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $3,303,586,655) |
3,013,556,299 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (h) —2.1% | ||||||||||
| Brazil — 1.3% | ||||||||||
| 2,251,857 | Bradespar SA | 11,163,095 | ||||||||
| 5,700 | Cia de Ferro Ligas da Bahia FERBASA | 53,560 | ||||||||
| 537,000 | Cia Energetica de Minas Gerais | 1,207,747 | ||||||||
| 1,412,991 | Gerdau SA Sponsored ADR | 6,301,940 | ||||||||
| 1,005,795 | Itausa SA | 1,992,361 | ||||||||
| 94,100 | Metalurgica Gerdau SA | 196,533 | ||||||||
| 2,047,900 | Petroleo Brasileiro SA | 14,940,947 | ||||||||
| 518,003 | Petroleo Brasileiro SA ADR | 7,536,944 | ||||||||
| 16,400 | Unipar Carbocloro SA – Class B | 247,264 | ||||||||
|
|
|
|||||||||
| Total Brazil | 43,640,391 | |||||||||
|
|
|
|||||||||
| Chile — 0.1% | ||||||||||
| 12,023 | Embotelladora Andina SA – Class B | 28,969 | ||||||||
| 65,200 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 3,275,648 | ||||||||
|
|
|
|||||||||
| Total Chile | 3,304,617 | |||||||||
|
|
|
|||||||||
| Colombia — 0.0% | ||||||||||
| 26,300 | Bancolombia SA Sponsored ADR (b) | 725,617 | ||||||||
|
|
|
|||||||||
| Germany — 0.4% | ||||||||||
| 42,253 | Bayerische Motoren Werke AG | 4,015,261 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Germany — continued | ||||||||||
| 3,473 | Henkel AG & Co. KGaA (a) | 273,222 | ||||||||
| 77,257 | Porsche Automobil Holding SE | 3,777,774 | ||||||||
| 6,084 | Schaeffler AG | 33,682 | ||||||||
| 1,257 | Villeroy & Boch AG | 23,926 | ||||||||
| 45,171 | Volkswagen AG (a) | 5,243,198 | ||||||||
|
|
|
|||||||||
| Total Germany | 13,367,063 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 15,222 | Bashneft PJSC (e) | 2,908 | ||||||||
| 79,750 | Nizhnekamskneftekhim PJSC (e) | 672 | ||||||||
| 49,530 | Sberbank of Russia PJSC (e) (f) | 1,519 | ||||||||
| 20,862,000 | Surgutneftegas PJSC (e) | 136,719 | ||||||||
| 12,313 | Tatneft PJSC (e) | 870 | ||||||||
| 337 | Transneft PJSC (e) | 5,439 | ||||||||
|
|
|
|||||||||
| Total Russia | 148,127 | |||||||||
|
|
|
|||||||||
| South Korea — 0.3% | ||||||||||
| 1,619 | Hyundai Motor Co. (c) | 137,418 | ||||||||
| 2,772 | Hyundai Motor Co. (c) | 231,921 | ||||||||
| 5,895 | Hyundai Motor Co. GDR | 242,309 | ||||||||
| 6,750 | LG Electronics, Inc. | 244,496 | ||||||||
| 226,185 | Samsung Electronics Co. Ltd. | 10,146,977 | ||||||||
| 195 | Samsung Electronics Co. Ltd. GDR | 215,762 | ||||||||
|
|
|
|||||||||
| Total South Korea | 11,218,883 | |||||||||
|
|
|
|||||||||
| United States — 0.0% | ||||||||||
| 1,288,200 | NII Holdings, Inc. * (d) | 450,870 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $84,837,562) |
72,855,568 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.0% | ||||||||||
| Canada — 0.0% | ||||||||||
| 222,285 | Clementia Pharmaceuticals, Inc. * (d) | 222 | ||||||||
|
|
|
|||||||||
| United States — 0.0% | ||||||||||
| 408,963 | Bristol-Myers Squibb Co. * (d) | 899,719 | ||||||||
| 50,914 | Contra Abiomed, Inc. * (d) | 89,099 | ||||||||
|
|
|
|||||||||
| Total United States | 988,818 | |||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $1,235,833) |
989,040 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 0.3% | ||||||||||
| United States — 0.3% | ||||||||||
| 4,418,828 | Altaba, Inc. (d) | 10,384,246 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $5,265,823) |
10,384,246 | |||||||||
|
|
|
|||||||||
| Par Value† | Description | Value ($) |
||||||||
| DEBT OBLIGATIONS — 26.1% | ||||||||||
| Netherlands — 0.0% | ||||||||||
| Corporate Debt — 0.0% | ||||||||||
| EUR |
580,153 | HEMA Bondco I B.V., Variable Rate, 10.00%, due 04/19/26 (e) (i) | 63 | |||||||
|
|
|
|||||||||
| United States — 26.1% | ||||||||||
| Bank Loans — 0.0% | ||||||||||
| 633,158 | Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 3 mo. USD LIBOR + 3.75%, 9.38%, due 10/10/25 (d) | 63 | ||||||||
| 834,038 | Envision Healthcare Corp., 2022 Third Out Term Loan, Variable Rate, 3 mo. USD SOFR + 3.75%, 9.15%, due 03/31/27 (d) | 2,294 | ||||||||
|
|
|
|||||||||
| Total Bank Loans | 2,357 | |||||||||
|
|
|
|||||||||
| U.S. Government — 25.3% | ||||||||||
| 1,950,000 | U.S. Treasury Bills, 5.52%, due 03/07/24 (j) | 1,922,517 | ||||||||
| 50,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield – 0.08%, 5.28%, due 04/30/24 | 49,984,535 | ||||||||
| 52,105,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.39%, due 07/31/24 | 52,106,749 | ||||||||
| 100,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.14%, 5.49%, due 10/31/24 | 100,082,337 | ||||||||
| 192,460,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.55%, due 01/31/25 (a) (k) | 192,701,439 | ||||||||
| 90,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.52%, due 04/30/25 (a) | 90,058,979 | ||||||||
| 3,500,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.13%, 5.48%, due 07/31/25 (k) | 3,497,723 | ||||||||
| 9,000,000 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.17%, 5.52%, due 10/31/25 (a) (k) | 8,994,590 | ||||||||
| 121,381,715 | U.S. Treasury Inflation-Indexed Notes, 1.25%, due 04/15/28 (a) | 116,181,504 | ||||||||
| 252,526,820 | U.S. Treasury Inflation-Indexed Notes, 1.38%, due 07/15/33 (a) | 236,435,664 | ||||||||
| 50,000,000 | U.S. Treasury Notes, 2.00%, due 06/30/24 | 49,048,828 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 901,014,865 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 0.8% | ||||||||||
| 28,500,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.43%, due 03/06/24 | 28,508,862 | ||||||||
|
|
|
|||||||||
| Total United States | 929,526,084 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $926,218,061) |
929,526,147 | |||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares / Par Value† |
Description | Value ($) |
||||||||
| MUTUAL FUNDS — 0.1% | ||||||||||
| United States — 0.1% | ||||||||||
| Affiliated Issuers — 0.1% | ||||||||||
| 397,499 | GMO U.S. Treasury Fund | 1,987,493 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $1,989,505) |
1,987,493 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 5.8% |
| |||||||||
| Money Market Funds — 0.4% | ||||||||||
| 102,782 | State Street Global Advisors Liquidity PLC – U.S. Treasury Liquidity Fund – Class D Shares, 5.26% (k) | 102,782 | ||||||||
| 13,616,098 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (l) | 13,616,098 | ||||||||
|
|
|
|||||||||
| Total Money Market Funds | 13,718,880 | |||||||||
|
|
|
|||||||||
| Repurchase Agreements — 2.1% | ||||||||||
| 77,034,738 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/30/23, maturing on 12/01/23 with a maturity value of $78,175,280 and an effective yield of 5.33%, collateralized by a U.S. Treasury Note with maturity date 09/30/26 and a market value of $78,373,731. | 77,034,738 | ||||||||
|
|
|
|||||||||
| U.S. Government Agency — 3.3% | ||||||||||
| 62,500,000 | Federal Home Loan Banks, 5.23%, due 03/22/24 | 62,470,299 | ||||||||
| 40,500,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.41%, due 09/04/24 | 40,504,136 | ||||||||
| 15,000,000 | Federal Home Loan Banks, 5.55%, due 08/12/24 | 14,987,599 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 117,962,034 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $208,753,618) |
208,715,652 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 119.1% (Cost $4,531,887,057) |
4,238,014,445 | |||||||||
|
|
|
|||||||||
| SECURITIES SOLD SHORT — (22.1)% | ||||||||||
| Common Stocks — (21.9)% | ||||||||||
| Australia — (0.5)% | ||||||||||
| (87,969 | ) | ASX Ltd. | (3,373,296 | ) | ||||||
| (19,279 | ) | Cochlear Ltd. | (3,477,096 | ) | ||||||
| (194,260 | ) | IDP Education Ltd. | (2,906,193 | ) | ||||||
| (483,910 | ) | Lottery Corp. Ltd. | (1,468,931 | ) | ||||||
| (41,100 | ) | Pilbara Minerals Ltd. | (98,276 | ) | ||||||
| (88,277 | ) | Ramsay Health Care Ltd. | (2,866,543 | ) | ||||||
| (46,473 | ) | WiseTech Global Ltd. | (2,046,600 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (16,236,935 | ) | ||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| Austria — (0.1)% | ||||||||||
| (47,886 | ) | Verbund AG | (4,561,706 | ) | ||||||
|
|
|
|||||||||
| Belgium — (0.2)% | ||||||||||
| (101,160 | ) | Anheuser-Busch InBev SA | (6,366,297 | ) | ||||||
| (22 | ) | Lotus Bakeries NV | (191,063 | ) | ||||||
|
|
|
|||||||||
| Total Belgium | (6,557,360 | ) | ||||||||
|
|
|
|||||||||
| Bermuda — (0.2)% | ||||||||||
| (403,519 | ) | Liberty Global Ltd. – Class C * | (6,795,260 | ) | ||||||
|
|
|
|||||||||
| Canada — (1.3)% | ||||||||||
| (82,511 | ) | Agnico Eagle Mines Ltd. | (4,430,841 | ) | ||||||
| (40,332 | ) | Algonquin Power & Utilities Corp. | (248,042 | ) | ||||||
| (273,900 | ) | AltaGas Ltd. | (5,571,053 | ) | ||||||
| (11,397 | ) | Brookfield Renewable Corp. – Class A | (302,476 | ) | ||||||
| (143,514 | ) | Cameco Corp. | (6,590,163 | ) | ||||||
| (187,971 | ) | Enbridge, Inc. | (6,554,549 | ) | ||||||
| (43,615 | ) | Franco-Nevada Corp. | (4,889,241 | ) | ||||||
| (176,375 | ) | GFL Environmental, Inc. | (5,061,962 | ) | ||||||
| (181,942 | ) | Pembina Pipeline Corp. | (6,082,321 | ) | ||||||
| (87,646 | ) | Restaurant Brands International, Inc. | (6,229,878 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (45,960,526 | ) | ||||||||
|
|
|
|||||||||
| Denmark — (0.1)% | ||||||||||
| (28,134 | ) | Coloplast AS – Class B | (3,319,738 | ) | ||||||
| (2,318 | ) | Novo Nordisk AS – Class B | (236,818 | ) | ||||||
| (77,307 | ) | Tryg AS | (1,668,226 | ) | ||||||
|
|
|
|||||||||
| Total Denmark | (5,224,782 | ) | ||||||||
|
|
|
|||||||||
| Finland — (0.0)% | ||||||||||
| (31,097 | ) | Elisa OYJ | (1,391,945 | ) | ||||||
| (4,438 | ) | Kone OYJ – Class B | (197,560 | ) | ||||||
|
|
|
|||||||||
| Total Finland | (1,589,505 | ) | ||||||||
|
|
|
|||||||||
| France — (0.6)% | ||||||||||
| (138,352 | ) | Accor SA | (4,810,433 | ) | ||||||
| (27,359 | ) | Aeroports de Paris SA | (3,373,435 | ) | ||||||
| (329,064 | ) | Getlink SE | (6,013,032 | ) | ||||||
| (3,187 | ) | Hermes International SCA | (6,605,100 | ) | ||||||
| (3,869 | ) | Sartorius Stedim Biotech | (872,434 | ) | ||||||
|
|
|
|||||||||
| Total France | (21,674,434 | ) | ||||||||
|
|
|
|||||||||
| Germany — (0.9)% | ||||||||||
| (26,752 | ) | adidas AG | (5,600,091 | ) | ||||||
| (13,016 | ) | Covestro AG * | (684,462 | ) | ||||||
| (171,158 | ) | Delivery Hero SE * | (5,425,477 | ) | ||||||
| (13,258 | ) | Deutsche Boerse AG | (2,520,459 | ) | ||||||
| (22,754 | ) | MTU Aero Engines AG | (4,662,996 | ) | ||||||
| (5,301 | ) | Puma SE | (342,368 | ) | ||||||
| (16,703 | ) | QIAGEN NV * | (687,495 | ) | ||||||
| (3,926 | ) | Rational AG | (2,517,832 | ) | ||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Germany — continued | ||||||||||
| (73,053 | ) | Siemens Energy AG * | (863,113 | ) | ||||||
| (55,423 | ) | Symrise AG | (6,238,497 | ) | ||||||
| (9,181 | ) | Vonovia SE | (255,354 | ) | ||||||
| (32,158 | ) | Zalando SE * | (766,716 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (30,564,860 | ) | ||||||||
|
|
|
|||||||||
| Ireland — (0.3)% | ||||||||||
| (13,476 | ) | Flutter Entertainment PLC * | (2,111,302 | ) | ||||||
| (187,595 | ) | Smurfit Kappa Group PLC | (7,127,134 | ) | ||||||
|
|
|
|||||||||
| Total Ireland | (9,238,436 | ) | ||||||||
|
|
|
|||||||||
| Israel — (0.2)% | ||||||||||
| (32,988 | ) | CyberArk Software Ltd. * | (6,573,519 | ) | ||||||
| (1,178 | ) | Monday.com Ltd. * | (211,851 | ) | ||||||
|
|
|
|||||||||
| Total Israel | (6,785,370 | ) | ||||||||
|
|
|
|||||||||
| Italy — (0.6)% | ||||||||||
| (143,254 | ) | Amplifon SpA | (4,452,638 | ) | ||||||
| (19,268 | ) | Ferrari NV | (6,943,755 | ) | ||||||
| (382,345 | ) | FinecoBank Banca Fineco SpA | (5,159,495 | ) | ||||||
| (417,141 | ) | Infrastrutture Wireless Italiane SpA | (5,158,278 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (21,714,166 | ) | ||||||||
|
|
|
|||||||||
| Japan — (1.8)% | ||||||||||
| (272,100 | ) | Aeon Co. Ltd. | (5,627,961 | ) | ||||||
| (12,800 | ) | ANA Holdings, Inc. * | (264,132 | ) | ||||||
| (120,800 | ) | Asahi Intecc Co. Ltd. | (2,343,608 | ) | ||||||
| (7,100 | ) | BayCurrent Consulting, Inc. | (238,252 | ) | ||||||
| (54,100 | ) | GMO Payment Gateway, Inc. | (3,172,128 | ) | ||||||
| (47,300 | ) | Japan Airlines Co. Ltd. | (895,275 | ) | ||||||
| (159,100 | ) | Japan Exchange Group, Inc. | (3,247,600 | ) | ||||||
| (80,900 | ) | Keio Corp. | (2,331,449 | ) | ||||||
| (46,800 | ) | Keisei Electric Railway Co. Ltd. | (1,885,155 | ) | ||||||
| (73,300 | ) | Kintetsu Group Holdings Co. Ltd. | (2,052,501 | ) | ||||||
| (62,200 | ) | Kobe Bussan Co. Ltd. | (1,635,547 | ) | ||||||
| (31,200 | ) | Lasertec Corp. | (6,968,097 | ) | ||||||
| (96,700 | ) | M3, Inc. | (1,595,799 | ) | ||||||
| (265,500 | ) | MonotaRO Co. Ltd. | (2,668,566 | ) | ||||||
| (130,700 | ) | Nippon Paint Holdings Co. Ltd. | (974,301 | ) | ||||||
| (115,500 | ) | Odakyu Electric Railway Co. Ltd. | (1,622,926 | ) | ||||||
| (184,500 | ) | Oriental Land Co. Ltd. | (6,267,314 | ) | ||||||
| (1,300,800 | ) | Rakuten Group, Inc. | (5,140,625 | ) | ||||||
| (69,400 | ) | Shiseido Co. Ltd. | (1,859,124 | ) | ||||||
| (537,300 | ) | SoftBank Corp. | (6,529,761 | ) | ||||||
| (84,800 | ) | Tobu Railway Co. Ltd. | (2,095,567 | ) | ||||||
| (248,500 | ) | Tokyu Corp. | (2,914,642 | ) | ||||||
| (20,300 | ) | West Japan Railway Co. | (802,307 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (63,132,637 | ) | ||||||||
|
|
|
|||||||||
| Netherlands — (0.5)% | ||||||||||
| (5,242 | ) | Adyen NV * | (6,129,239 | ) | ||||||
| Shares | Description | Value ($) |
||||||||
| Netherlands — continued | ||||||||||
| (794 | ) | ASML Holding NV | (541,132 | ) | ||||||
| (33,447 | ) | BE Semiconductor Industries NV | (4,695,527 | ) | ||||||
| (250,041 | ) | Universal Music Group NV | (6,606,334 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (17,972,232 | ) | ||||||||
|
|
|
|||||||||
| New Zealand — (0.2)% | ||||||||||
| (76,768 | ) | Xero Ltd. * | (5,233,981 | ) | ||||||
|
|
|
|||||||||
| Norway — (0.1)% | ||||||||||
| (81,183 | ) | Aker BP ASA | (2,312,093 | ) | ||||||
|
|
|
|||||||||
| Peru — (0.1)% | ||||||||||
| (71,260 | ) | Southern Copper Corp. | (5,125,732 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.3)% | ||||||||||
| (1,546,839 | ) | Grab Holdings Ltd. – Class A * | (4,702,391 | ) | ||||||
| (53,090,100 | ) | Seatrium Ltd. * | (4,170,095 | ) | ||||||
| (132,000 | ) | Singapore Exchange Ltd. | (931,703 | ) | ||||||
| (96,200 | ) | Singapore Technologies Engineering Ltd. | (266,831 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (10,071,020 | ) | ||||||||
|
|
|
|||||||||
| Spain — (0.4)% | ||||||||||
| (173,858 | ) | Cellnex Telecom SA * | (6,637,646 | ) | ||||||
| (204,304 | ) | Ferrovial SE | (7,065,710 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (13,703,356 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (0.2)% | ||||||||||
| (94,597 | ) | Beijer Ref AB | (1,047,590 | ) | ||||||
| (122,799 | ) | EQT AB | (2,900,880 | ) | ||||||
| (20,693 | ) | Evolution AB | (2,143,794 | ) | ||||||
| (132,392 | ) | H & M Hennes & Mauritz AB – Class B | (2,120,434 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (8,212,698 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.1)% | ||||||||||
| (2,355 | ) | Bachem Holding AG | (175,184 | ) | ||||||
| (3 | ) | Chocoladefabriken Lindt & Spruengli AG | (366,940 | ) | ||||||
| (2,075 | ) | Partners Group Holding AG | (2,735,868 | ) | ||||||
| (11,213 | ) | SIG Group AG | (261,676 | ) | ||||||
| (9,751 | ) | Straumann Holding AG (Registered) | (1,341,027 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (4,880,695 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (1.2)% | ||||||||||
| (48,413 | ) | Admiral Group PLC | (1,654,173 | ) | ||||||
| (526,205 | ) | Auto Trader Group PLC | (4,826,328 | ) | ||||||
| (306,536 | ) | Hargreaves Lansdown PLC | (2,785,763 | ) | ||||||
| (677,950 | ) | Informa PLC | (6,375,004 | ) | ||||||
| (77,157 | ) | InterContinental Hotels Group PLC | (5,983,130 | ) | ||||||
| (64,366 | ) | London Stock Exchange Group PLC | (7,256,189 | ) | ||||||
| (944,137 | ) | M&G PLC | (2,500,742 | ) | ||||||
| (1,825,940 | ) | Rolls-Royce Holdings PLC * | (6,230,959 | ) | ||||||
| (37,304 | ) | Severn Trent PLC | (1,225,460 | ) | ||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United Kingdom — continued | ||||||||||
| (12,293 | ) | Spirax-Sarco Engineering PLC | (1,436,507 | ) | ||||||
| (301,854 | ) | Wise PLC – Class A * | (2,986,070 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (43,260,325 | ) | ||||||||
|
|
|
|||||||||
| United States — (12.0)% | ||||||||||
| (2,784 | ) | AbbVie, Inc. | (396,414 | ) | ||||||
| (3,825 | ) | AECOM | (339,890 | ) | ||||||
| (374,675 | ) | AES Corp. | (6,448,157 | ) | ||||||
| (33,300 | ) | Alnylam Pharmaceuticals, Inc. * | (5,602,725 | ) | ||||||
| (140,600 | ) | Altria Group, Inc. | (5,910,824 | ) | ||||||
| (18,016 | ) | American Tower Corp. – (REIT) | (3,761,380 | ) | ||||||
| (10,095 | ) | Amgen, Inc. | (2,722,016 | ) | ||||||
| (62,501 | ) | ARES Management Corp. – Class A | (7,015,737 | ) | ||||||
| (28,898 | ) | Arthur J Gallagher & Co. | (7,195,602 | ) | ||||||
| (1,206 | ) | Automatic Data Processing, Inc. | (277,284 | ) | ||||||
| (27,451 | ) | Axon Enterprise, Inc. * | (6,310,161 | ) | ||||||
| (58,918 | ) | Bill Holdings, Inc. * | (3,857,361 | ) | ||||||
| (7,922 | ) | BioMarin Pharmaceutical, Inc. * | (721,536 | ) | ||||||
| (22,703 | ) | Bio-Techne Corp. | (1,428,019 | ) | ||||||
| (32,181 | ) | Boeing Co. * | (7,454,085 | ) | ||||||
| (7,119 | ) | Broadcom, Inc. | (6,590,272 | ) | ||||||
| (41,060 | ) | Burlington Stores, Inc. * | (6,963,365 | ) | ||||||
| (123,108 | ) | Caesars Entertainment, Inc. * | (5,505,390 | ) | ||||||
| (72,861 | ) | Catalent, Inc. * | (2,830,650 | ) | ||||||
| (2,727 | ) | CDW Corp. | (575,070 | ) | ||||||
| (83,145 | ) | Ceridian HCM Holding, Inc. * | (5,728,690 | ) | ||||||
| (35,940 | ) | Charter Communications, Inc. – Class A * | (14,378,237 | ) | ||||||
| (33,543 | ) | Chevron Corp. | (4,816,775 | ) | ||||||
| (3,219 | ) | Chipotle Mexican Grill, Inc. * | (7,089,043 | ) | ||||||
| (90,845 | ) | Cloudflare, Inc. – Class A * | (7,008,692 | ) | ||||||
| (3,663 | ) | CME Group, Inc. | (799,853 | ) | ||||||
| (65,570 | ) | Dexcom, Inc. * | (7,574,646 | ) | ||||||
| (153,349 | ) | DraftKings, Inc. – Class A * | (5,864,066 | ) | ||||||
| (208,730 | ) | EchoStar Corp. – Class A * | (2,185,403 | ) | ||||||
| (6,055 | ) | Ecolab, Inc. | (1,160,925 | ) | ||||||
| (2,261 | ) | Entegris, Inc. | (236,048 | ) | ||||||
| (43,800 | ) | Equity LifeStyle Properties, Inc. – (REIT) | (3,114,180 | ) | ||||||
| (5,406 | ) | Erie Indemnity Co. – Class A | (1,598,230 | ) | ||||||
| (42,409 | ) | Essential Utilities, Inc. | (1,510,184 | ) | ||||||
| (85,994 | ) | Exact Sciences Corp. * | (5,503,616 | ) | ||||||
| (134,007 | ) | Exxon Mobil Corp. | (13,767,879 | ) | ||||||
| (6,275 | ) | Fair Isaac Corp. * | (6,824,690 | ) | ||||||
| (25,641 | ) | Fastenal Co. | (1,537,691 | ) | ||||||
| (106,765 | ) | Fidelity National Information Services, Inc. | (6,260,700 | ) | ||||||
| (1,899 | ) | Fiserv, Inc. * | (248,028 | ) | ||||||
| (16,248 | ) | Gartner, Inc. * | (7,065,280 | ) | ||||||
| (13,094 | ) | HubSpot, Inc. * | (6,467,519 | ) | ||||||
| (2,220 | ) | Hyatt Hotels Corp. – Class A | (254,767 | ) | ||||||
| (2,383 | ) | IDEXX Laboratories, Inc. * | (1,110,049 | ) | ||||||
| (79,580 | ) | ImmunoGen, Inc. * | (2,335,673 | ) | ||||||
| (3,538 | ) | Ingersoll Rand, Inc. | (252,719 | ) | ||||||
| (36,715 | ) | Insulet Corp. * | (6,942,439 | ) | ||||||
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| (30,568 | ) | IQVIA Holdings, Inc. * | (6,544,609 | ) | ||||||
| (52,746 | ) | Iron Mountain, Inc. – (REIT) | (3,383,656 | ) | ||||||
| (810 | ) | Jack Henry & Associates, Inc. | (128,539 | ) | ||||||
| (133,699 | ) | Kimco Realty Corp. – (REIT) | (2,583,065 | ) | ||||||
| (36,304 | ) | Lamb Weston Holdings, Inc. | (3,631,489 | ) | ||||||
| (50,259 | ) | Lattice Semiconductor Corp. * | (2,942,664 | ) | ||||||
| (126,605 | ) | Liberty Media Corp.-Liberty Formula One – Class C * | (8,059,674 | ) | ||||||
| (17,062 | ) | Linde PLC | (7,059,744 | ) | ||||||
| (69,823 | ) | Live Nation Entertainment, Inc. * | (5,880,493 | ) | ||||||
| (6,482 | ) | Manhattan Associates, Inc. * | (1,445,810 | ) | ||||||
| (16,943 | ) | MarketAxess Holdings, Inc. | (4,068,353 | ) | ||||||
| (1,932 | ) | Marsh & McLennan Cos., Inc. | (385,279 | ) | ||||||
| (16,137 | ) | Mastercard, Inc. – Class A | (6,677,975 | ) | ||||||
| (1,413 | ) | McDonald’s Corp. | (398,240 | ) | ||||||
| (9,221 | ) | McKesson Corp. | (4,339,034 | ) | ||||||
| (4,681 | ) | MercadoLibre, Inc. * | (7,585,373 | ) | ||||||
| (17,124 | ) | MongoDB, Inc. * | (7,119,132 | ) | ||||||
| (12,382 | ) | Moody’s Corp. | (4,518,935 | ) | ||||||
| (644 | ) | Motorola Solutions, Inc. | (207,928 | ) | ||||||
| (12,339 | ) | MSCI, Inc. | (6,426,768 | ) | ||||||
| (154,700 | ) | Newmont Corp. | (6,217,393 | ) | ||||||
| (198,533 | ) | NiSource, Inc. | (5,090,386 | ) | ||||||
| (6,351 | ) | Novocure Ltd. * | (77,927 | ) | ||||||
| (74,797 | ) | Okta, Inc. * | (5,015,139 | ) | ||||||
| (94,606 | ) | ONEOK, Inc. | (6,513,623 | ) | ||||||
| (333,822 | ) | Palantir Technologies, Inc. – Class A * | (6,693,131 | ) | ||||||
| (54,254 | ) | Paychex, Inc. | (6,617,360 | ) | ||||||
| (1,582 | ) | Paylocity Holding Corp. * | (247,852 | ) | ||||||
| (63,871 | ) | Philip Morris International, Inc. | (5,962,997 | ) | ||||||
| (2,365 | ) | Pool Corp. | (821,412 | ) | ||||||
| (3,663 | ) | PTC, Inc. * | (576,410 | ) | ||||||
| (6,506 | ) | Realty Income Corp. – (REIT) | (351,064 | ) | ||||||
| (35,627 | ) | Repligen Corp. * | (5,602,346 | ) | ||||||
| (187,219 | ) | Rivian Automotive, Inc. – Class A * | (3,137,790 | ) | ||||||
| (171,844 | ) | ROBLOX Corp. – Class A * | (6,755,188 | ) | ||||||
| (68,576 | ) | Roku, Inc. * | (7,145,619 | ) | ||||||
| (145,717 | ) | Rollins, Inc. | (5,936,511 | ) | ||||||
| (6,353 | ) | Royal Caribbean Cruises Ltd. * | (682,693 | ) | ||||||
| (3,064 | ) | RPM International, Inc. | (315,378 | ) | ||||||
| (1,281 | ) | ServiceNow, Inc. * | (878,433 | ) | ||||||
| (7,102 | ) | Sherwin-Williams Co. | (1,980,038 | ) | ||||||
| (21,508 | ) | Simon Property Group, Inc. – (REIT) | (2,686,134 | ) | ||||||
| (39,869 | ) | Snowflake, Inc. – Class A * | (7,482,614 | ) | ||||||
| (45,878 | ) | Starbucks Corp. | (4,555,685 | ) | ||||||
| (26,983 | ) | Tesla, Inc. * | (6,478,079 | ) | ||||||
| (359 | ) | Texas Pacific Land Corp. | (600,230 | ) | ||||||
| (288,259 | ) | Toast, Inc. – Class A * | (4,286,411 | ) | ||||||
| (3,464 | ) | Trade Desk, Inc. – Class A * | (244,073 | ) | ||||||
| (7,267 | ) | TransDigm Group, Inc. * | (6,997,176 | ) | ||||||
| (2,979 | ) | UDR, Inc. – (REIT) | (99,499 | ) | ||||||
| (24,814 | ) | Vail Resorts, Inc. | (5,392,330 | ) | ||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| (14,820 | ) | Watsco, Inc. | (5,664,649 | ) | ||||||
| (193,139 | ) | Williams Cos., Inc. | (7,105,584 | ) | ||||||
| (152,512 | ) | Wolfspeed, Inc. * | (5,621,592 | ) | ||||||
| (14,686 | ) | Zillow Group, Inc. – Class C * | (601,245 | ) | ||||||
| (34,801 | ) | Zscaler, Inc. * | (6,874,242 | ) | ||||||
|
|
|
|||||||||
| Total United States | (428,236,953 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $725,189,420) |
(779,045,062 | ) | ||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| PREFERRED STOCKS (h) — (0.2)% |
| |||||||||
| Germany — (0.2)% | ||||||||||
| (18,647 | ) | Sartorius AG | (6,017,474 | ) | ||||||
| (2,529 | ) | Dr Ing hc F Porsche AG | (231,687 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $7,296,578) |
(6,249,161 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $732,485,998) |
(785,294,223 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — 3.0% | 104,465,284 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 3,557,185,506 | ||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of November 30, 2023 |
||||||||
| Alrosa PJSC | 12/06/17 | $ | 15,372,968 | 0.0% | $ | 74,134 | ||||||
| Magnitogorsk Iron & Steel Works PJSC | 06/16/21 | 4,815,566 | 0.0% | 32,647 | ||||||||
| PhosAgro PJSC GDR | 10/15/21 | 2,792 | 0.0% | 30 | ||||||||
| Polyus PJSC | 06/27/20 | 5,699,094 | 0.0% | 30,888 | ||||||||
| Polyus PJSC GDR (Registered) | 07/27/20 | 0 | 0.0% | 1 | ||||||||
| Sberbank of Russia PJSC | 09/09/20 | 29,636,901 | 0.0% | 248,388 | ||||||||
| Sberbank of Russia PJSC | 01/10/22 | 183,324 | 0.0% | 1,519 | ||||||||
| Severstal PAO | 02/02/21 | 126,125 | 0.0% | 1,045 | ||||||||
| Severstal PAO GDR (Registered) | 10/23/17 | 5,003,828 | 0.0% | 37,110 | ||||||||
| VTB Bank PJSC | 01/09/20 | 587,690 | 0.0% | 1,982 | ||||||||
|
|
|
|||||||||||
| $ | 427,744 | |||||||||||
|
|
|
|||||||||||
A summary of outstanding financial instruments at November 30, 2023 is as follows:
Forward Currency Contracts
| Settlement |
Counter- |
Currency |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 12/04/2023 | BCLY | BRL | 35,466,481 | USD | 7,242,048 | 36,416 | ||||||||||||||
| 12/04/2023 | GS | BRL | 15,176,756 | USD | 3,099,638 | 16,216 | ||||||||||||||
| 12/04/2023 | MSCI | BRL | 35,466,481 | USD | 7,250,635 | 45,003 | ||||||||||||||
| 01/31/2024 | CITI | CAD | 1,490,000 | USD | 1,099,166 | 67 | ||||||||||||||
| 01/31/2024 | DB | EUR | 5,216,150 | USD | 5,721,703 | 29,270 | ||||||||||||||
| 01/30/2024 | CITI | IDR | 5,600,000,000 | USD | 359,980 | 178 | ||||||||||||||
| 02/29/2024 | DB | ILS | 2,587,392 | USD | 700,062 | 3,736 | ||||||||||||||
| 02/12/2024 | MSCI | INR | 29,000,000 | USD | 347,301 | 156 | ||||||||||||||
| 01/22/2024 | UBSA | KRW | 802,466,256 | USD | 619,947 | 1,039 | ||||||||||||||
| 01/18/2024 | MSCI | MXN | 1,800,000 | USD | 103,016 | 127 | ||||||||||||||
| 02/26/2024 | BCLY | NOK | 175,331,126 | USD | 16,432,399 | 189,244 | ||||||||||||||
| 02/29/2024 | MSCI | PEN | 680,000 | USD | 181,697 | 299 | ||||||||||||||
| 02/22/2024 | DB | PLN | 3,300,000 | USD | 825,873 | 2,560 | ||||||||||||||
| 01/25/2024 | BOA | RON | 15,823,094 | USD | 3,482,739 | 19,001 | ||||||||||||||
| 12/18/2023 | BCLY | SEK | 28,769,400 | USD | 2,767,823 | 27,045 | ||||||||||||||
| Settlement |
Counter- |
Currency |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 01/10/2024 | GS | SEK | 42,300,000 | USD | 4,035,418 | 645 | ||||||||||||||
| 12/18/2023 | MSCI | SEK | 38,431,907 | USD | 3,679,377 | 18,080 | ||||||||||||||
| 02/22/2024 | CITI | THB | 52,498,956 | USD | 1,504,242 | 893 | ||||||||||||||
| 01/26/2024 | JPM | TWD | 102,015,523 | USD | 3,299,444 | 18,998 | ||||||||||||||
| 02/08/2024 | GS | USD | 2,172,519 | AUD | 3,380,000 | 65,349 | ||||||||||||||
| 01/24/2024 | JPM | USD | 43,955 | AUD | 66,633 | 144 | ||||||||||||||
| 02/08/2024 | SSB | USD | 1,748,481 | AUD | 2,740,000 | 65,649 | ||||||||||||||
| 12/04/2023 | BCLY | USD | 7,185,996 | BRL | 35,466,481 | 19,636 | ||||||||||||||
| 12/04/2023 | JPM | USD | 7,078,681 | BRL | 36,103,399 | 256,352 | ||||||||||||||
| 12/04/2023 | MSCI | USD | 11,970,309 | BRL | 60,871,551 | 396,806 | ||||||||||||||
| 01/31/2024 | JPM | USD | 10,730,243 | CAD | 14,810,042 | 194,386 | ||||||||||||||
| 01/16/2024 | UBSA | USD | 17,209,790 | CAD | 23,730,322 | 291,146 | ||||||||||||||
| 01/31/2024 | BCLY | USD | 3,375,309 | CHF | 2,954,970 | 20,655 | ||||||||||||||
| 01/31/2024 | CITI | USD | 13,325,431 | CHF | 11,905,220 | 356,508 | ||||||||||||||
| 01/12/2024 | GS | USD | 1,432,615 | CHF | 1,280,000 | 35,582 | ||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Forward Currency Contracts — continued
| Settlement |
Counter- |
Currency |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 01/31/2024 | JPM | USD | 2,741,792 | CHF | 2,398,040 | 14,129 | ||||||||||||||
| 01/31/2024 | SSB | USD | 891,832 | CHF | 797,190 | 24,330 | ||||||||||||||
| 01/12/2024 | SSB | USD | 1,929,831 | CHF | 1,690,000 | 8,647 | ||||||||||||||
| 01/26/2024 | JPM | USD | 398,085 | CLP | 370,000,000 | 24,579 | ||||||||||||||
| 01/26/2024 | MSCI | USD | 1,186,372 | CLP | 1,069,726,000 | 35,613 | ||||||||||||||
| 01/29/2024 | JPM | USD | 1,175,273 | COP | 5,081,529,900 | 75,341 | ||||||||||||||
| 01/18/2024 | BCLY | USD | 11,604,252 | GBP | 9,530,000 | 431,564 | ||||||||||||||
| 01/24/2024 | JPM | USD | 12,093,772 | GBP | 9,647,728 | 91,177 | ||||||||||||||
| 01/23/2024 | BCLY | USD | 4,109,486 | JPY | 610,589,280 | 42,317 | ||||||||||||||
| 01/23/2024 | MSCI | USD | 21,322,005 | JPY | 3,146,209,971 | 71,166 | ||||||||||||||
| 01/23/2024 | UBSA | USD | 9,315,124 | JPY | 1,386,632,626 | 113,512 | ||||||||||||||
| 01/30/2024 | BCLY | USD | 515,374 | KRW | 680,000,000 | 9,389 | ||||||||||||||
| 01/30/2024 | CITI | USD | 36,683 | KRW | 49,581,441 | 1,580 | ||||||||||||||
| 01/30/2024 | MSCI | USD | 251,918 | KRW | 340,000,000 | 10,463 | ||||||||||||||
| 12/04/2023 | BCLY | USD | 9,954,429 | MXN | 177,697,504 | 276,593 | ||||||||||||||
| 02/02/2024 | BCLY | USD | 10,050,185 | MXN | 176,891,296 | 36,249 | ||||||||||||||
| 12/04/2023 | JPM | USD | 2,626,351 | MXN | 47,241,198 | 93,584 | ||||||||||||||
| 12/04/2023 | MSCI | USD | 9,974,376 | MXN | 177,697,505 | 256,646 | ||||||||||||||
| 01/18/2024 | MSCI | USD | 3,389,998 | MXN | 61,981,232 | 152,882 | ||||||||||||||
| 02/02/2024 | MSCI | USD | 10,060,474 | MXN | 176,891,297 | 25,960 | ||||||||||||||
| 01/24/2024 | BCLY | USD | 5,990,094 | NOK | 66,761,713 | 189,417 | ||||||||||||||
| 01/24/2024 | DB | USD | 31,847,606 | NOK | 350,957,465 | 637,261 | ||||||||||||||
| 01/17/2024 | JPM | USD | 19,593,672 | NOK | 213,522,042 | 166,265 | ||||||||||||||
| 01/24/2024 | JPM | USD | 31,882,906 | NOK | 350,957,465 | 601,961 | ||||||||||||||
| 02/29/2024 | MSCI | USD | 553,568 | PEN | 2,080,000 | 1,296 | ||||||||||||||
| 01/10/2024 | BOA | USD | 3,193,105 | SEK | 35,300,000 | 173,975 | ||||||||||||||
| 12/18/2023 | GS | USD | 1,057,710 | SEK | 11,568,573 | 44,395 | ||||||||||||||
| 01/10/2024 | SSB | USD | 2,816,044 | SEK | 31,300,000 | 169,497 | ||||||||||||||
| 02/29/2024 | BOA | USD | 440,660 | ZAR | 8,400,000 | 1,651 | ||||||||||||||
| 02/08/2024 | CITI | AUD | 7,247,931 | USD | 4,727,289 | (71,502 | ) | |||||||||||||
| 01/24/2024 | SSB | AUD | 12,441,630 | USD | 8,175,874 | (58,163 | ) | |||||||||||||
| 12/04/2023 | CITI | BRL | 4,300,000 | USD | 833,325 | (40,295 | ) | |||||||||||||
| 12/04/2023 | GS | BRL | 12,765,232 | USD | 2,575,725 | (17,754 | ) | |||||||||||||
| 01/31/2024 | BCLY | CAD | 3,790,000 | USD | 2,753,117 | (42,577 | ) | |||||||||||||
| 01/16/2024 | BCLY | CAD | 2,911,401 | USD | 2,111,778 | (35,359 | ) | |||||||||||||
| 01/31/2024 | CITI | CAD | 3,010,000 | USD | 2,183,023 | (37,304 | ) | |||||||||||||
| 01/31/2024 | JPM | CAD | 9,820,000 | USD | 7,111,640 | (132,083 | ) | |||||||||||||
| 02/05/2024 | JPM | CAD | 9,798,114 | USD | 7,112,167 | (115,914 | ) | |||||||||||||
| 01/16/2024 | JPM | CAD | 1,312,953 | USD | 963,798 | (4,495 | ) | |||||||||||||
| 01/12/2024 | SSB | CHF | 26,762,875 | USD | 29,827,502 | (870,276 | ) | |||||||||||||
| 01/31/2024 | SSB | CHF | 51,253,877 | USD | 57,609,987 | (1,292,952 | ) | |||||||||||||
| 01/31/2024 | UBSA | CHF | 50,514,977 | USD | 57,759,787 | (293,979 | ) | |||||||||||||
| 01/29/2024 | MSCI | COP | 7,680,000,000 | USD | 1,849,574 | (40,547 | ) | |||||||||||||
| 01/17/2024 | CITI | CZK | 8,400,000 | USD | 367,994 | (7,685 | ) | |||||||||||||
| 01/17/2024 | GS | CZK | 29,511,617 | USD | 1,264,049 | (55,819 | ) | |||||||||||||
| 01/17/2024 | MSCI | CZK | 8,600,000 | USD | 367,378 | (17,246 | ) | |||||||||||||
| 01/31/2024 | MSCI | EUR | 23,110,000 | USD | 24,485,979 | (734,175 | ) | |||||||||||||
| 01/18/2024 | BOA | GBP | 2,010,000 | USD | 2,455,868 | (82,641 | ) | |||||||||||||
| 02/13/2024 | MSCI | GBP | 1,969,469 | USD | 2,453,631 | (34,071 | ) | |||||||||||||
| 01/18/2024 | SSB | GBP | 2,920,000 | USD | 3,575,127 | (112,657 | ) | |||||||||||||
| Settlement |
Counter- |
Currency |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 02/14/2024 | MSCI | HUF | 340,648,887 | USD | 952,544 | (15,085 | ) | |||||||||||||
| 01/30/2024 | MSCI | IDR | 4,672,984,600 | USD | 293,349 | (6,892 | ) | |||||||||||||
| 01/23/2024 | BCLY | JPY | 6,391,496,802 | USD | 43,308,246 | (151,786 | ) | |||||||||||||
| 01/23/2024 | DB | JPY | 293,000,000 | USD | 1,986,568 | (5,733 | ) | |||||||||||||
| 01/23/2024 | JPM | JPY | 5,700,519,723 | USD | 38,637,375 | (124,244 | ) | |||||||||||||
| 01/23/2024 | MSCI | JPY | 888,320,615 | USD | 5,998,694 | (41,588 | ) | |||||||||||||
| 02/13/2024 | MSCI | JPY | 1,381,699,200 | USD | 9,297,603 | (128,502 | ) | |||||||||||||
| 01/23/2024 | UBSA | JPY | 349,773,994 | USD | 2,367,779 | (10,567 | ) | |||||||||||||
| 12/04/2023 | BCLY | MXN | 176,891,296 | USD | 10,147,213 | (37,391 | ) | |||||||||||||
| 12/04/2023 | GS | MXN | 26,670 | USD | 1,473 | (62 | ) | |||||||||||||
| 01/18/2024 | JPM | MXN | 4,000,000 | USD | 225,585 | (3,057 | ) | |||||||||||||
| 12/04/2023 | MSCI | MXN | 176,891,297 | USD | 10,157,410 | (27,194 | ) | |||||||||||||
| 12/04/2023 | SSB | MXN | 48,826,945 | USD | 2,771,355 | (39,880 | ) | |||||||||||||
| 01/24/2024 | BBH | NOK | 144,573,667 | USD | 12,903,535 | (478,304 | ) | |||||||||||||
| 01/17/2024 | CITI | NOK | 10,500,000 | USD | 971,323 | (377 | ) | |||||||||||||
| 01/24/2024 | GS | NOK | 28,277,185 | USD | 2,614,890 | (2,466 | ) | |||||||||||||
| 02/29/2024 | DB | NZD | 12,800,000 | USD | 7,767,768 | (116,548 | ) | |||||||||||||
| 01/29/2024 | MSCI | PHP | 24,000,000 | USD | 422,580 | (9,974 | ) | |||||||||||||
| 01/10/2024 | BCLY | SEK | 24,100,000 | USD | 2,207,020 | (91,751 | ) | |||||||||||||
| 12/18/2023 | BCLY | SEK | 34,701,067 | USD | 3,158,006 | (147,864 | ) | |||||||||||||
| 12/18/2023 | JPM | SEK | 7,492,568 | USD | 710,729 | (3,066 | ) | |||||||||||||
| 01/10/2024 | MSCI | SEK | 7,572,704 | USD | 688,306 | (34,014 | ) | |||||||||||||
| 12/18/2023 | SSB | SEK | 77,727,926 | USD | 7,158,404 | (246,512 | ) | |||||||||||||
| 01/22/2024 | SSB | SGD | 2,546,457 | USD | 1,906,441 | (1,537 | ) | |||||||||||||
| 02/08/2024 | SSB | USD | 1,847,267 | AUD | 2,790,000 | (32 | ) | |||||||||||||
| 02/02/2024 | BCLY | USD | 7,189,346 | BRL | 35,466,481 | (31,673 | ) | |||||||||||||
| 12/04/2023 | GS | USD | 1,264,817 | BRL | 6,200,000 | (5,180 | ) | |||||||||||||
| 02/02/2024 | GS | USD | 3,077,195 | BRL | 15,176,756 | (14,296 | ) | |||||||||||||
| 02/02/2024 | MSCI | USD | 10,685,464 | BRL | 52,654,838 | (58,921 | ) | |||||||||||||
| 01/17/2024 | MSCI | USD | 179,229 | CZK | 4,000,000 | (335 | ) | |||||||||||||
| 01/31/2024 | DB | USD | 1,440,650 | EUR | 1,320,000 | (122 | ) | |||||||||||||
| 01/18/2024 | BCLY | USD | 2,930,074 | GBP | 2,320,000 | (54 | ) | |||||||||||||
| 02/14/2024 | MSCI | USD | 1,311,358 | HUF | 460,000,000 | (4,707 | ) | |||||||||||||
| 01/30/2024 | JPM | USD | 296,575 | IDR | 4,600,000,000 | (1,023 | ) | |||||||||||||
| 02/12/2024 | JPM | USD | 512,948 | INR | 42,806,560 | (532 | ) | |||||||||||||
| 01/23/2024 | GS | USD | 1,749,039 | JPY | 257,000,000 | (1,526 | ) | |||||||||||||
| 01/30/2024 | MSCI | USD | 497,065 | KRW | 640,000,000 | (3,170 | ) | |||||||||||||
| 01/30/2024 | SSB | USD | 1,096,457 | KRW | 1,420,000,000 | (628 | ) | |||||||||||||
| 02/02/2024 | JPM | USD | 4,519,216 | MXN | 77,843,779 | (80,523 | ) | |||||||||||||
| 02/26/2024 | DB | USD | 55,750,940 | NOK | 595,066,019 | (622,400 | ) | |||||||||||||
| 01/29/2024 | CITI | USD | 288,470 | PHP | 16,000,000 | (101 | ) | |||||||||||||
| 02/22/2024 | DB | USD | 663,873 | PLN | 2,650,000 | (2,728 | ) | |||||||||||||
| 01/25/2024 | BBH | USD | 715,047 | RON | 3,250,000 | (3,610 | ) | |||||||||||||
| 01/25/2024 | CITI | USD | 230,470 | RON | 1,050,000 | (621 | ) | |||||||||||||
| 01/22/2024 | CITI | USD | 480,447 | SGD | 640,000 | (915 | ) | |||||||||||||
| 01/31/2024 | DB | USD | 4,501,235 | ZAR | 84,608,598 | (35,218 | ) | |||||||||||||
| 02/29/2024 | MSCI | ZAR | 25,800,000 | USD | 1,357,330 | (1,195 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| $ | (798,773 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 82 | Australian Government Bond 10 Yr. | December 2023 | 6,104,067 | 167,695 | ||||||||||
| 211 | CAC40 10 Euro | December 2023 | 16,834,349 | 188,051 | ||||||||||
| 60 | CBOE Volatility Index (k) | December 2023 | 825,468 | (98,584 | ) | |||||||||
| 490 | Corn (k) | March 2024 | 11,827,375 | 12,212 | ||||||||||
| 159 | Cotton (k) | March 2024 | 6,364,770 | 7,095 | ||||||||||
| 640 | E-mini Russell 2000 Index | December 2023 | 57,990,400 | 2,556,407 | ||||||||||
| 255 | FTSE 100 Index | December 2023 | 24,090,135 | (191,313 | ) | |||||||||
| 101 | FTSE MIB Index | December 2023 | 16,409,327 | 771,895 | ||||||||||
| 168 | Hang Seng Index | December 2023 | 18,309,818 | (569,140 | ) | |||||||||
| 292 | Iron Ore (k) | January 2024 | 3,783,736 | 21,367 | ||||||||||
| 212 | Lean Hogs (k) | February 2024 | 6,061,080 | (366,571 | ) | |||||||||
| 741 | MSCI Singapore | December 2023 | 15,012,059 | (66,559 | ) | |||||||||
| 60 | NYMEX Platinum Futures (k) | January 2024 | 2,807,700 | 69,883 | ||||||||||
| 425 | OMX Stockholm 30 Index | December 2023 | 9,056,467 | 174,976 | ||||||||||
| 235 | RBOB Gasoline (k) | December 2023 | 21,475,146 | 12,121 | ||||||||||
| 604 | Soybean (k) | January 2024 | 40,551,050 | 1,576,936 | ||||||||||
| 109 | Soybean (k) | January 2024 | 4,621,600 | (122,697 | ) | |||||||||
| 82 | SPI 200 Futures | December 2023 | 9,587,349 | 172,505 | ||||||||||
| 415 | U.S. Treasury Note 10 Yr. (CBT) | March 2024 | 45,565,703 | 260,488 | ||||||||||
| 831 | U.S. Treasury Note 5 Yr. (CBT) | March 2024 | 88,793,649 | 468,127 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 406,071,248 | $ | 5,044,894 | |||||||||||
|
|
|
|
|
|||||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Sales | ||||||||||||||
| 94 | Canadian Government | |||||||||||||
| Bond 10 Yr. | March 2024 | 8,296,135 | (93,590 | ) | ||||||||||
| 178 | Cocoa (k) | March 2024 | 7,613,060 | (503,010 | ) | |||||||||
| 30 | Coffee (k) | March 2024 | 2,077,875 | (164,103 | ) | |||||||||
| 99 | Copper (k) | March 2024 | 9,529,988 | (406,264 | ) | |||||||||
| 12 | DAX Index | December 2023 | 5,320,251 | (75,386 | ) | |||||||||
| 34 | Eurex Swiss Market New Index | December 2023 | 4,230,408 | (39,122 | ) | |||||||||
| 104 | Euro Bund | December 2023 | 14,975,765 | (293,029 | ) | |||||||||
| 44 | Euro Bund | March 2024 | 6,353,142 | (28,810 | ) | |||||||||
| 363 | FTSE Taiwan Index | December 2023 | 21,718,612 | (151,641 | ) | |||||||||
| 93 | Gold 100 OZ (k) | February 2024 | 19,131,960 | (757,061 | ) | |||||||||
| 109 | IFSC NIFTY 50 Index | December 2023 | 4,416,462 | (43,668 | ) | |||||||||
| 85 | KOSPI 200 Index | December 2023 | 5,572,395 | (90,760 | ) | |||||||||
| 28 | Live Cattle Futures (k) | February 2024 | 1,924,440 | 34,235 | ||||||||||
| 191 | Natural Gas (k) | December 2023 | 5,351,820 | 1,042,842 | ||||||||||
| 156 | NY Harbor ULSD Futures (k) | December 2023 | 18,045,518 | (111,943 | ) | |||||||||
| 355 | S&P 500 E-Mini | December 2023 | 81,237,313 | (1,869,185 | ) | |||||||||
| 28 | S&P/TSX 60 | December 2023 | 5,034,408 | (52,122 | ) | |||||||||
| 174 | Silver (k) | March 2024 | 22,324,200 | (2,347,497 | ) | |||||||||
| 766 | Soybean Oil (k) | January 2024 | 24,018,696 | (914,010 | ) | |||||||||
| 360 | Sugar (k) | February 2024 | 10,499,328 | 271,894 | ||||||||||
| 48 | TOPIX Index | December 2023 | 7,712,155 | (329,365 | ) | |||||||||
| 35 | UK Gilt Long Bond | March 2024 | 4,271,876 | (22,438 | ) | |||||||||
| 1,088 | Wheat (k) | March 2024 | 32,531,200 | 188,776 | ||||||||||
| 346 | WTI Crude (k) | December 2023 | 26,282,160 | 643,651 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 348,469,167 | $ | (6,111,606 | ) | ||||||||||
|
|
|
|
|
|||||||||||
| + | 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. (g) |
22.00 | 01/19/24 | (216 | ) | USD | (470,232) | (17,280 | ) | ||||||||||||
| Silicon Motion Technology Corp. (g) |
60.00 | 03/15/24 | (455 | ) | USD | (2,675,400) | (159,250 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
| Total Equity Options – Calls | (176,530 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL WRITTEN OPTIONS | ||||||||||||||||||||
| (Premiums $293,469) | $ | (176,530 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 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) ($) |
|||||||||||||||||||
| 4.15% |
3 Month AUD BBSW | AUD | 129,041,000 | 12/20/2025 | Quarterly | 4,076 | 326,248 | 322,172 | ||||||||||||||||||
| 3 Month AUD BBSW |
4.30% | AUD | 12,500,000 | 12/20/2025 | Quarterly | — | (8,448 | ) | (8,448 | ) | ||||||||||||||||
| 3 Month AUD BBSW |
4.31% | AUD | 14,000,000 | 12/20/2025 | Quarterly | — | (7,962 | ) | (7,962 | ) | ||||||||||||||||
| 3 Month AUD BBSW |
4.36% | AUD | 35,000,000 | 12/20/2025 | Quarterly | — | 3,028 | 3,028 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.70% | CAD | 28,689,000 | 12/20/2025 | Annually | (10,823 | ) | 208,414 | 219,237 | |||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.98% | CAD | 24,000,000 | 12/20/2025 | Annually | — | 267,554 | 267,554 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
5.06% | CAD | 16,500,000 | 12/20/2025 | Annually | — | 203,895 | 203,895 | ||||||||||||||||||
| 4.61% |
CAD - CORRA - OIS - COMPOUND | CAD | 36,500,000 | 12/20/2025 | Annually | — | (219,898 | ) | (219,898 | ) | ||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
1.67% | CHF | 11,500,000 | 12/20/2025 | Annually | — | 101,470 | 101,470 | ||||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
1.78% | CHF | 59,187,000 | 12/20/2025 | Annually | 7,901 | 669,832 | 661,931 | ||||||||||||||||||
| 1.39% |
CHF - SARON - OIS - COMPOUND | CHF | 10,000,000 | 12/20/2025 | Annually | — | (22,934 | ) | (22,934 | ) | ||||||||||||||||
| 3.39% |
EUR - EuroSTR -COMPOUND | EUR | 45,739,000 | 12/20/2025 | Annually | (309 | ) | (370,586 | ) | (370,277 | ) | |||||||||||||||
| 3.45% |
EUR - EuroSTR -COMPOUND | EUR | 12,000,000 | 12/20/2025 | Annually | — | (112,257 | ) | (112,257 | ) | ||||||||||||||||
| GBP - SONIA - COMPOUND |
5.10% | GBP | 7,500,000 | 12/20/2025 | Annually | — | 70,123 | 70,123 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
5.10% | GBP | 18,000,000 | 12/20/2025 | Annually | — | 166,598 | 166,598 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
5.19% | GBP | 10,000,000 | 12/20/2025 | Annually | — | 115,518 | 115,518 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
5.23% | GBP | 47,661,000 | 12/20/2025 | Annually | (13,348 | ) | 587,165 | 600,513 | |||||||||||||||||
| 5.12% |
GBP - SONIA - COMPOUND | GBP | 26,620,000 | 12/20/2025 | Annually | (5,201 | ) | (258,292 | ) | (253,091 | ) | |||||||||||||||
| 4.97% |
GBP - SONIA -COMPOUND | GBP | 8,000,000 | 12/20/2025 | Annually | — | (51,057 | ) | (51,057 | ) | ||||||||||||||||
| 4.69% |
GBP - SONIA -COMPOUND | GBP | 14,500,000 | 12/20/2025 | Annually | — | 5,985 | 5,985 | ||||||||||||||||||
| 5.19% |
3 Month NZD Bank Bill Rate | NZD | 58,000,000 | 12/20/2025 | Quarterly | — | (43,094 | ) | (43,094 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.67% | NZD | 32,000,000 | 12/20/2025 | Quarterly | — | 199,667 | 199,667 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.82% | SEK | 170,000,000 | 12/20/2025 | Quarterly | — | 117,054 | 117,054 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.93% | SEK | 306,888,000 | 12/20/2025 | Quarterly | (6,525 | ) | 271,087 | 277,612 | |||||||||||||||||
| USD - SOFR - COMPOUND |
4.59% | USD | 14,000,000 | 12/20/2025 | Annually | — | 25,154 | 25,154 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.85% | USD | 10,500,000 | 12/20/2025 | Annually | — | 69,863 | 69,863 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.90% | USD | 6,500,000 | 12/20/2025 | Annually | — | 49,710 | 49,710 | ||||||||||||||||||
| 4.66% |
USD - SOFR -COMPOUND | USD | 35,485,000 | 12/20/2025 | Annually | 11,859 | (107,833 | ) | (119,692 | ) | ||||||||||||||||
| 4.67% |
USD - SOFR -COMPOUND | USD | 10,500,000 | 12/20/2025 | Annually | — | (35,268 | ) | (35,268 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
4.47% | AUD | 30,308,000 | 12/20/2033 | Semi-Annually | (13,536 | ) | (480,600 | ) | (467,064 | ) | |||||||||||||||
| 6 Month AUD BBSW |
5.04% | AUD | 75,690,000 | 12/20/2033 | Semi-Annually | 22,823 | 1,082,169 | 1,059,346 | ||||||||||||||||||
| 6 Month AUD BBSW |
5.22% | AUD | 3,200,000 | 12/20/2033 | Semi-Annually | — | 74,557 | 74,557 | ||||||||||||||||||
| 4.64% |
6 Month AUD BBSW | AUD | 3,300,000 | 12/20/2033 | Semi-Annually | — | 22,623 | 22,623 | ||||||||||||||||||
| 4.88% |
6 Month AUD BBSW | AUD | 8,400,000 | 12/20/2033 | Semi-Annually | — | (49,554 | ) | (49,554 | ) | ||||||||||||||||
| 4.93% |
6 Month AUD BBSW | AUD | 2,900,000 | 12/20/2033 | Semi-Annually | — | (23,805 | ) | (23,805 | ) | ||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
3.74% | CAD | 3,900,000 | 12/20/2033 | Annually | — | 36,732 | 36,732 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.07% | CAD | 8,900,000 | 12/20/2033 | Annually | — | 263,236 | 263,236 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.07% | CAD | 8,500,000 | 12/20/2033 | Annually | — | 251,666 | 251,666 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
4.30% | CAD | 7,100,000 | 12/20/2033 | Annually | — | 310,990 | 310,990 | ||||||||||||||||||
| 4.18% |
CAD - CORRA - OIS - COMPOUND | CAD | 3,800,000 | 12/20/2033 | Annually | — | (137,385 | ) | (137,385 | ) | ||||||||||||||||
| 4.33% |
CAD - CORRA - OIS - COMPOUND | CAD | 5,600,000 | 12/20/2033 | Annually | — | (253,510 | ) | (253,510 | ) | ||||||||||||||||
| 4.21% |
CAD - CORRA - OIS - COMPOUND | CAD | 5,300,000 | 12/20/2033 | Annually | — | (201,830 | ) | (201,830 | ) | ||||||||||||||||
| 3.82% |
CAD - CORRA - OIS - COMPOUND | CAD | 10,675,000 | 12/20/2033 | Annually | (4,909 | ) | (152,528 | ) | (147,619 | ) | |||||||||||||||
| 4.15% |
CAD - CORRA - OIS - COMPOUND | CAD | 14,600,000 | 12/20/2033 | Annually | — | (506,857 | ) | (506,857 | ) | ||||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 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 ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| CHF - SARON - OIS - COMPOUND |
1.39% | CHF | 2,200,000 | 12/20/2033 | Annually | — | 18,977 | 18,977 | ||||||||||||||||||
| CAD - CORRA - OIS - COMPOUND |
1.74% | CHF | 803,000 | 12/20/2033 | Annually | (1,190 | ) | 37,054 | 38,244 | |||||||||||||||||
| 1.74% |
CHF - SARON - OIS - COMPOUND | CHF | 12,761,000 | 12/20/2033 | Annually | 16,380 | (591,188 | ) | (607,568 | ) | ||||||||||||||||
| 1.82% |
CHF - SARON - OIS - COMPOUND | CHF | 5,000,000 | 12/20/2033 | Annually | — | (274,850 | ) | (274,850 | ) | ||||||||||||||||
| 1.83% |
CHF - SARON - OIS - COMPOUND | CHF | 2,500,000 | 12/20/2033 | Annually | — | (139,856 | ) | (139,856 | ) | ||||||||||||||||
| 1.85% |
CHF - SARON -OIS - COMPOUND | CHF | 5,100,000 | 12/20/2033 | Annually | — | (293,570 | ) | (293,570 | ) | ||||||||||||||||
| EUR - EuroSTR - COMPOUND |
2.85% | EUR | 4,100,000 | 12/20/2033 | Annually | — | 41,433 | 41,433 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
2.96% | EUR | 5,400,000 | 12/20/2033 | Annually | — | 113,933 | 113,933 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
2.99% | EUR | 10,268,000 | 12/20/2033 | Annually | 10,126 | 244,983 | 234,857 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
3.06% | EUR | 2,600,000 | 12/20/2033 | Annually | — | 79,727 | 79,727 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
3.09% | EUR | 3,500,000 | 12/20/2033 | Annually | — | 116,485 | 116,485 | ||||||||||||||||||
| EUR - EuroSTR - COMPOUND |
3.29% | EUR | 2,000,000 | 12/20/2033 | Annually | — | 105,110 | 105,110 | ||||||||||||||||||
| 2.98% |
EUR - EuroSTR -COMPOUND | EUR | 19,452,000 | 12/20/2033 | Annually | 3,160 | (440,590 | ) | (443,750 | ) | ||||||||||||||||
| 3.03% |
EUR - EuroSTR -COMPOUND | EUR | 2,800,000 | 12/20/2033 | Annually | — | (78,531 | ) | (78,531 | ) | ||||||||||||||||
| 3.07% |
EUR - EuroSTR -COMPOUND | EUR | 2,100,000 | 12/20/2033 | Annually | — | (65,794 | ) | (65,794 | ) | ||||||||||||||||
| GBP - SONIA - COMPOUND |
4.00% | GBP | 3,300,000 | 12/20/2033 | Annually | — | 8,166 | 8,166 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.08% | GBP | 1,800,000 | 12/20/2033 | Annually | — | 19,746 | 19,746 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.13% | GBP | 1,800,000 | 12/20/2033 | Annually | — | 28,353 | 28,353 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.17% | GBP | 5,700,000 | 12/20/2033 | Annually | — | 109,500 | 109,500 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.31% | GBP | 2,100,000 | 12/20/2033 | Annually | — | 70,574 | 70,574 | ||||||||||||||||||
| GBP - SONIA - COMPOUND |
4.32% | GBP | 3,900,000 | 12/20/2033 | Annually | — | 135,629 | 135,629 | ||||||||||||||||||
| 4.40% |
GBP - SONIA -COMPOUND | GBP | 2,300,000 | 12/20/2033 | Annually | — | (99,525 | ) | (99,525 | ) | ||||||||||||||||
| 4.43% |
GBP - SONIA -COMPOUND | GBP | 1,700,000 | 12/20/2033 | Annually | — | (78,145 | ) | (78,145 | ) | ||||||||||||||||
| 4.54% |
GBP - SONIA -COMPOUND | GBP | 4,200,000 | 12/20/2033 | Annually | — | (241,563 | ) | (241,563 | ) | ||||||||||||||||
| 4.29% |
GBP - SONIA -COMPOUND | GBP | 14,212,000 | 12/20/2033 | Annually | (6,870 | ) | (457,808 | ) | (450,938 | ) | |||||||||||||||
| 4.19% |
GBP - SONIA -COMPOUND | GBP | 1,900,000 | 12/20/2033 | Annually | — | (40,753 | ) | (40,753 | ) | ||||||||||||||||
| 4.78% |
3 Month NZD Bank Bill Rate | NZD | 8,468,000 | 12/20/2033 | Quarterly | 1,870 | (22,228 | ) | (24,098 | ) | ||||||||||||||||
| 5.37% |
3 Month NZD Bank Bill Rate | NZD | 7,700,000 | 12/20/2033 | Quarterly | — | (240,572 | ) | (240,572 | ) | ||||||||||||||||
| 4.85% |
3 Month NZD Bank Bill Rate | NZD | 7,800,000 | 12/20/2033 | Quarterly | — | (45,346 | ) | (45,346 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.88% | NZD | 13,800,000 | 12/20/2033 | Quarterly | — | 100,473 | 100,473 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.95% | NZD | 4,700,000 | 12/20/2033 | Quarterly | — | 49,159 | 49,159 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.16% | NZD | 7,300,000 | 12/20/2033 | Quarterly | — | 151,321 | 151,321 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.28% | NZD | 7,400,000 | 12/20/2033 | Quarterly | — | 198,629 | 198,629 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.29% | NZD | 8,200,000 | 12/20/2033 | Quarterly | — | 222,108 | 222,108 | ||||||||||||||||||
| 3 Month SEK STIBOR |
2.98% | SEK | 38,000,000 | 12/20/2033 | Quarterly | — | 20,248 | 20,248 | ||||||||||||||||||
| 3.36% |
3 Month SEK STIBOR | SEK | 46,000,000 | 12/20/2033 | Quarterly | — | (166,244 | ) | (166,244 | ) | ||||||||||||||||
| 3.37% |
3 Month SEK STIBOR | SEK | 21,000,000 | 12/20/2033 | Quarterly | — | (77,267 | ) | (77,267 | ) | ||||||||||||||||
| 3.43% |
3 Month SEK STIBOR | SEK | 39,000,000 | 12/20/2033 | Quarterly | — | (163,896 | ) | (163,896 | ) | ||||||||||||||||
| 3.30% |
3 Month SEK STIBOR | SEK | 563,692,000 | 12/20/2033 | Quarterly | 13,792 | (1,763,071 | ) | (1,776,863 | ) | ||||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps — continued
| Fund Pays |
Fund Receives |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 3 Month SEK STIBOR |
3.10% | SEK | 40,000,000 | 12/20/2033 | Quarterly | — | 58,091 | 58,091 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.18% | SEK | 24,000,000 | 12/20/2033 | Quarterly | — | 51,724 | 51,724 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.28% | SEK | 43,000,000 | 12/20/2033 | Quarterly | — | 126,760 | 126,760 | ||||||||||||||||||
| 3 Month SEK STIBOR |
3.31% | SEK | 35,000,000 | 12/20/2033 | Quarterly | — | 111,330 | 111,330 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
3.93% | USD | 8,215,000 | 12/20/2033 | Annually | (4,948 | ) | (27,052 | ) | (22,104 | ) | |||||||||||||||
| USD - SOFR - COMPOUND |
4.08% | USD | 2,500,000 | 12/20/2033 | Annually | — | 20,943 | 20,943 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.17% | USD | 2,400,000 | 12/20/2033 | Annually | — | 39,229 | 39,229 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.25% | USD | 3,900,000 | 12/20/2033 | Annually | — | 86,377 | 86,377 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.31% | USD | 5,500,000 | 12/20/2033 | Annually | — | 152,603 | 152,603 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.40% | USD | 2,200,000 | 12/20/2033 | Annually | — | 77,043 | 77,043 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.42% | USD | 5,000,000 | 12/20/2033 | Annually | — | 182,861 | 182,861 | ||||||||||||||||||
| USD - SOFR - COMPOUND |
4.49% | USD | 7,800,000 | 12/20/2033 | Annually | — | 330,203 | 330,203 | ||||||||||||||||||
| 4.53% |
USD - SOFR - COMPOUND | USD | 4,700,000 | 12/20/2033 | Annually | — | (213,757 | ) | (213,757 | ) | ||||||||||||||||
| 4.14% |
USD - SOFR - COMPOUND | USD | 2,400,000 | 12/20/2033 | Annually | — | (31,481 | ) | (31,481 | ) | ||||||||||||||||
| 4.40% |
USD - SOFR - COMPOUND | USD | 1,500,000 | 12/20/2033 | Annually | — | (52,223 | ) | (52,223 | ) | ||||||||||||||||
| 4.18% |
USD - SOFR - COMPOUND | USD | 4,900,000 | 12/20/2033 | Annually | — | (83,496 | ) | (83,496 | ) | ||||||||||||||||
| 4.11% |
USD - SOFR - COMPOUND | USD | 3,300,000 | 12/20/2033 | Annually | — | (35,871 | ) | (35,871 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 24,328 | $ | (159,265 | ) | $ | (183,593 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||
| 1 Month Federal Funds Rate minus 0.02% |
Total Return on MSCI World Daily Total Return Net Value Index | JPM | USD | 2,400,262 | 12/15/2023 | Monthly | — | 45,952 | 45,952 | |||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate minus 0.07% | JPM | USD | 3,639,673 | 12/15/2023 | Monthly | — | (66,007 | ) | (66,007 | ) | |||||||||||||||||
| 1 Month Federal Funds Rate minus 0.03% |
Total Return on MSCI World Daily Total Return Net Value Index | GS | USD | 15,667,078 | 04/30/2024 | Monthly | — | 1,191,962 | 1,191,962 | |||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate minus 0.02% | GS | USD | 13,955,127 | 04/30/2024 | Monthly | — | (1,480,028 | ) | (1,480,028 | ) | |||||||||||||||||
| 1 Month Federal Funds Rate minus 0.06% |
Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 5,313,549 | 05/13/2024 | Monthly | — | 251,036 | 251,036 | |||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate minus 0.02% | UBSA | USD | 4,388,704 | 05/13/2024 | Monthly | — | (240,067 | ) | (240,067 | ) | |||||||||||||||||
| 1 Month Federal Funds Rate minus 0.06% |
Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 5,664,491 | 05/22/2024 | Monthly | — | 87,085 | 87,085 | |||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate plus 0.02% | UBSA | USD | 8,099,970 | 05/22/2024 | Monthly | — | (60,382 | ) | (60,382 | ) | |||||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
Swap Contracts — continued
OTC Total Return Swaps — continued
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||
| 1 Month Federal Funds Rate minus 0.07% |
Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 6,140,442 | 08/09/2024 | Monthly | — | 283,624 | 283,624 | |||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Value Index |
1 Month Federal Funds Rate minus 0.11% | UBSA | USD | 5,106,796 | 08/09/2024 | Monthly | — | (223,170 | ) | (223,170 | ) | |||||||||||||||||
| Total Return on Equity Basket (m) |
1 Month Federal Funds Rate minus 0.40% | GS | USD | 28,512,115 | 06/24/2024 | Monthly | — | (318,955 | ) | (318,955 | ) | |||||||||||||||||
| Total Return on Equity Basket (n) |
1 Month Federal Funds Rate minus 0.40% | MORD | USD | 39,234,929 | 06/18/2024 | Monthly | — | 1,259,678 | 1,259,678 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | — | $ | 730,728 | $ | 730,728 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
As of November 30, 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) | The rate shown represents yield-to-maturity. |
| (k) | 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. |
| (l) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
| (m) | 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. |
| (n) | The following table represents the individual short positions within the custom equity basket swap as of November 30, 2023: |
| Shares | Description | % of Equity Basket |
Value ($) | |||||||
| (2,004,000) |
Air China Ltd. – Class H | 3.5 | % | (1,349,018 | ) | |||||
| (1,563,300) |
Airports Of Thailand PC NVDR | 7.0 | % | (2,644,041 | ) | |||||
| (754,000) |
Alibaba Health Information Technology Ltd. | 1.1 | % | (427,770 | ) | |||||
| (774,000) |
China Molybdenum Co. Ltd. – Class H | 1.1 | % | (442,280 | ) | |||||
| (44,000) |
China Southern Airlines Co. Ltd. – Class H | 0.1 | % | (21,109 | ) | |||||
| (1,422,000) |
Genscript Biotech Corp. | 10.4 | % | (3,952,293 | ) | |||||
| (3,412,900) |
Gulf Energy Development PCL NVDR | 11.7 | % | (4,464,673 | ) | |||||
| (6,832) |
Hanmi Pharm Co. Ltd. | 4.3 | % | (1,622,236 | ) | |||||
| (291,000) |
Hapvida Participacoes e Investimentos SA | 0.8 | % | (258,362 | ) | |||||
| (44,377) |
Hotel Shilla Co. Ltd. | 5.9 | % | (2,253,184 | ) | |||||
| (34,121) |
Kakao Corp. | 3.5 | % | (1,331,223 | ) | |||||
| (2,117,000) |
Kingdee International Software Group Co. Ltd. | 7.7 | % | (2,938,831 | ) | |||||
| (129,350) |
Korea Aerospace Industries Ltd. | 12.2 | % | (4,648,048 | ) | |||||
| (327,700) |
Microport Scientific Corp. | 1.4 | % | (524,980 | ) | |||||
| 246,056 |
Nokia OYJ | (2.3 | %) | 863,007 | ||||||
| (373,400) |
Nongfu Spring Co. Ltd. – Class H | 5.6 | % | (2,129,791 | ) | |||||
| (15) |
POSCO Chemical Co. Ltd. | 0.0 | % | (3,754 | ) | |||||
| (90,300) |
Rede D’Or Sao Luiz SA | 1.3 | % | (488,004 | ) | |||||
| (9,769) |
Samsung Biologics Co. Ltd. | 14.4 | % | (5,464,790 | ) | |||||
| (767,926) |
Samsung Heavy Industries Co. Ltd. | 12.5 | % | (4,739,457 | ) | |||||
| 142,868 |
Stora Enso OYJ – R Shares | (4.9 | %) | 1,856,368 | ||||||
| (18,270) |
Yuhan Corp. | 2.3 | % | (867,173 | ) | |||||
| (104,000) |
Zijin Mining Group Co. Ltd. – Class H | 0.4 | % | (164,697 | ) | |||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS | $ | (38,016,339 | ) | |||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
The rates shown on variable rate notes are the current interest rates at November 30, 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.
CORRA - Canadian Overnight Repo Rate Average
CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.
EuroSTR - Euro Short-Term Rate
GDR - Global Depositary Receipt
JSB - Joint Stock Bank
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 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
USD LIBOR - London Interbank Offered Rate denominated in United States Dollar.
Counterparty Abbreviations:
BBH - Brown Brothers Harriman & Co
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
CITI - Citibank N.A.
DB - Deutsche Bank
AG GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MORD - Morgan Stanley Capital Services LLC
MSCI - Morgan Stanley & Co. International PLC
SSB - State Street Bank and Trust Company
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)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 100.0% | ||||||||||
| Affiliated Issuers — 100.0% | ||||||||||
| 1,370,293 | GMO Emerging Markets ex-China Fund, Class VI | 20,540,686 | ||||||||
| 7,609,473 | GMO International Equity Fund, Class IV | 177,148,523 | ||||||||
| 3,189,333 | GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV | 45,033,384 | ||||||||
| 530,288 | GMO-Usonian Japan Value Creation Fund, Class VI | 10,006,540 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $249,118,652) |
252,729,133 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
| Money Market Funds — 0.0% | ||||||||||
| 68,623 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (a) | 68,623 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $68,623) |
68,623 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS - 100.0% (Cost $249,187,275) |
252,797,756 | |||||||||
| Other Assets and Liabilities (net) — (0.0%) | (69,336 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 252,728,420 | ||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
GMO International Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 100.0% | ||||||||||
| Affiliated Issuers — 100.0% | ||||||||||
| 1,579,778 | GMO Emerging Markets ex-China Fund, Class VI | 23,680,874 | ||||||||
| 3,871,235 | GMO Emerging Markets Fund, Class VI | 86,483,396 | ||||||||
| 5,863,398 | GMO International Equity Fund, Class IV | 136,499,902 | ||||||||
| 2,467,983 | GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV | 34,847,915 | ||||||||
| 610,720 | GMO-Usonian Japan Value Creation Fund, Class VI | 11,524,276 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $335,268,411) |
293,036,363 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
| Money Market Funds — 0.0% | ||||||||||
| 171,635 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (a) | 171,635 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $171,635) |
171,635 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $335,440,046) |
293,207,998 | |||||||||
| Other Assets and Liabilities (net) — (0.0%) | (70,029 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 293,137,969 | ||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of November 30, 2023. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| COMMON STOCKS — 20.5% |
| |||||||||
| Australia — 0.5% | ||||||||||
| 16,457 | BlueScope Steel Ltd. (a) | 225,747 | ||||||||
| 22,207 | Brambles Ltd. (a) | 195,701 | ||||||||
| 6,538 | Fortescue Ltd. (a) | 107,360 | ||||||||
| 44,850 | GPT Group – (REIT) (a) | 121,923 | ||||||||
| 83,063 | Mirvac Group – (REIT) (a) | 112,822 | ||||||||
| 6,356 | Qantas Airways Ltd. * (a) | 22,249 | ||||||||
| 44,089 | Scentre Group – (REIT) (a) | 77,100 | ||||||||
| 42,562 | Stockland – (REIT) (a) | 115,988 | ||||||||
|
|
|
|||||||||
| Total Australia | 978,890 | |||||||||
|
|
|
|||||||||
| Belgium — 0.3% | ||||||||||
| 5,649 | Ageas SA (a) | 243,289 | ||||||||
| 358 | Sofina SA (a) | 79,788 | ||||||||
| 3,202 | UCB SA (a) | 236,819 | ||||||||
|
|
|
|||||||||
| Total Belgium | 559,896 | |||||||||
|
|
|
|||||||||
| Bermuda — 0.0% | ||||||||||
| 1,671 | Liberty Global Ltd. – Class C * (b) | 28,140 | ||||||||
|
|
|
|||||||||
| Brazil — 0.0% | ||||||||||
| 1,107 | Vale SA | 16,609 | ||||||||
|
|
|
|||||||||
| Canada — 0.9% | ||||||||||
| 3,100 | Alimentation Couche-Tard, Inc. (a) | 176,823 | ||||||||
| 967 | Brookfield Asset Management Ltd. – Class A (a) | 33,874 | ||||||||
| 4,811 | Brookfield Corp. – Class A (b) | 169,684 | ||||||||
| 2,000 | Canadian Tire Corp. Ltd. – Class A (a) | 208,040 | ||||||||
| 700 | iA Financial Corp., Inc. (a) | 46,742 | ||||||||
| 1,900 | Magna International, Inc. (a) | 102,439 | ||||||||
| 9,200 | Manulife Financial Corp. (a) (c) | 180,210 | ||||||||
| 7,400 | Manulife Financial Corp. (a) (c) | 144,966 | ||||||||
| 2,752 | Nutrien Ltd. (a) | 147,150 | ||||||||
| 2,300 | Onex Corp. (a) | 155,582 | ||||||||
| 7,300 | Quebecor, Inc. – Class B (a) | 161,983 | ||||||||
| 3,700 | Teck Resources Ltd. – Class B (a) | 139,389 | ||||||||
| 3,200 | West Fraser Timber Co. Ltd. (a) (c) | 232,097 | ||||||||
| 400 | West Fraser Timber Co. Ltd. (a) (c) | 29,024 | ||||||||
|
|
|
|||||||||
| Total Canada | 1,928,003 | |||||||||
|
|
|
|||||||||
| China — 0.4% | ||||||||||
| 14,093 | Alibaba Group Holding Ltd. * | 131,000 | ||||||||
| 78,000 | Bank of Communications Co. Ltd. – Class H | 45,975 | ||||||||
| 13,000 | Beijing Enterprises Holdings Ltd. | 43,100 | ||||||||
| 12,500 | China Conch Venture Holdings Ltd. | 9,366 | ||||||||
| 257,000 | China Construction Bank Corp. – Class H | 148,596 | ||||||||
| 46,500 | China Overseas Land & Investment Ltd. | 85,861 | ||||||||
| 152,000 | China Railway Group Ltd. – Class H | 66,714 | ||||||||
| 286,000 | China Zhongwang Holdings Ltd. * (d) | — | ||||||||
| 110,000 | CITIC Ltd. | 103,488 | ||||||||
| 65,000 | COSCO Shipping Holdings Co. Ltd. – Class H | 59,885 | ||||||||
| Shares | Description | Value ($) |
||||||||
| China — continued | ||||||||||
| 60,000 | Dongfeng Motor Group Co. Ltd. – Class H | 30,103 | ||||||||
| 9,000 | Kingboard Holdings Ltd. | 21,667 | ||||||||
| 4,500 | Orient Overseas International Ltd. (a) | 54,106 | ||||||||
| 9,900 | Shanghai Pharmaceuticals Holding Co. Ltd. – Class H | 14,351 | ||||||||
| 8,000 | Sinopharm Group Co. Ltd. – Class H | 19,826 | ||||||||
| 1,345 | Tencent Holdings Ltd. | 56,032 | ||||||||
|
|
|
|||||||||
| Total China | 890,070 | |||||||||
|
|
|
|||||||||
| Denmark — 0.5% | ||||||||||
| 49 | AP Moller – Maersk AS – Class A (a) | 76,015 | ||||||||
| 131 | AP Moller – Maersk AS – Class B (a) | 206,850 | ||||||||
| 12,003 | Danske Bank AS (a) | 310,991 | ||||||||
| 142 | Genmab AS * (a) | 44,661 | ||||||||
| 1,551 | Pandora AS (a) | 209,382 | ||||||||
| 475 | ROCKWOOL AS – B Shares (a) | 128,428 | ||||||||
|
|
|
|||||||||
| Total Denmark | 976,327 | |||||||||
|
|
|
|||||||||
| Finland — 0.2% | ||||||||||
| 3,711 | Neste OYJ (a) | 141,399 | ||||||||
| 72,779 | Nokia OYJ (a) | 255,262 | ||||||||
| 6,647 | Stora Enso OYJ – R Shares (a) | 86,369 | ||||||||
|
|
|
|||||||||
| Total Finland | 483,030 | |||||||||
|
|
|
|||||||||
| France — 0.8% | ||||||||||
| 9,781 | ArcelorMittal SA | 245,905 | ||||||||
| 2,865 | BNP Paribas SA (a) | 180,114 | ||||||||
| 580 | Cie de Saint-Gobain SA (a) | 37,814 | ||||||||
| 223 | LVMH Moet Hennessy Louis Vuitton SE (a) | 170,657 | ||||||||
| 1,490 | Publicis Groupe SA (a) | 125,915 | ||||||||
| 6,394 | Renault SA (a) | 251,277 | ||||||||
| 1,624 | Safran SA (a) | 285,543 | ||||||||
| 9,024 | Societe Generale SA (a) | 227,103 | ||||||||
| 1,536 | STMicroelectronics NV – NY Shares | 72,868 | ||||||||
| 8,658 | Vivendi SE (a) | 81,947 | ||||||||
|
|
|
|||||||||
| Total France | 1,679,143 | |||||||||
|
|
|
|||||||||
| Germany — 0.3% | ||||||||||
| 530 | Bayerische Motoren Werke AG (a) | 55,301 | ||||||||
| 1,331 | Beiersdorf AG (a) | 186,573 | ||||||||
| 859 | Continental AG (a) | 66,664 | ||||||||
| 2,702 | Fresenius SE & Co. KGaA (a) | 85,802 | ||||||||
| 564 | Heidelberg Materials AG (a) | 46,039 | ||||||||
| 2,724 | Mercedes-Benz Group AG (a) | 177,113 | ||||||||
|
|
|
|||||||||
| Total Germany | 617,492 | |||||||||
|
|
|
|||||||||
| Hong Kong — 0.0% | ||||||||||
| 19,111 | Galaxy Entertainment Group Ltd. | 98,863 | ||||||||
|
|
|
|||||||||
| India — 0.3% | ||||||||||
| 75,186 | GAIL India Ltd. | 119,011 | ||||||||
| 5,777 | Hindalco Industries Ltd. | 35,851 | ||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| India — continued | ||||||||||
| 16,842 | Hindustan Petroleum Corp. Ltd. * | 70,252 | ||||||||
| 54,287 | Indian Oil Corp. Ltd. | 73,045 | ||||||||
| 33,196 | NTPC Ltd. | 103,991 | ||||||||
| 85,133 | Oil & Natural Gas Corp. Ltd. | 198,583 | ||||||||
| 78,545 | Tata Steel Ltd. | 120,705 | ||||||||
|
|
|
|||||||||
| Total India | 721,438 | |||||||||
|
|
|
|||||||||
| Ireland — 0.1% | ||||||||||
| 2,190 | Ryanair Holdings PLC Sponsored ADR * (a) | 258,902 | ||||||||
|
|
|
|||||||||
| Israel — 0.2% | ||||||||||
| 269 | Check Point Software Technologies Ltd. * | 39,274 | ||||||||
| 27,646 | Teva Pharmaceutical Industries Ltd. Sponsored ADR * (a) | 271,484 | ||||||||
| 5,573 | Teva Pharmaceutical Industries Ltd. * | 54,609 | ||||||||
|
|
|
|||||||||
| Total Israel | 365,367 | |||||||||
|
|
|
|||||||||
| Italy — 0.2% | ||||||||||
| 15,258 | Stellantis NV (a) | 331,623 | ||||||||
| 465,893 | Telecom Italia SpA * (a) | 135,410 | ||||||||
|
|
|
|||||||||
| Total Italy | 467,033 | |||||||||
|
|
|
|||||||||
| Japan — 1.6% | ||||||||||
| 400 | FUJIFILM Holdings Corp. (a) | 23,424 | ||||||||
| 29,100 | Honda Motor Co. Ltd. (a) | 297,662 | ||||||||
| 18,800 | Inpex Corp. (a) | 259,373 | ||||||||
| 7,800 | ITOCHU Corp. (a) | 303,244 | ||||||||
| 7,300 | Kawasaki Kisen Kaisha Ltd. (a) | 256,739 | ||||||||
| 8,900 | Mitsui OSK Lines Ltd. (a) | 244,712 | ||||||||
| 1,400 | NEC Corp. (a) | 78,030 | ||||||||
| 9,700 | Nippon Yusen KK (a) | 261,263 | ||||||||
| 2,900 | Panasonic Holdings Corp. (a) | 29,882 | ||||||||
| 4,600 | Renesas Electronics Corp. * (a) | 80,173 | ||||||||
| 1,200 | Rohm Co. Ltd. (a) | 22,928 | ||||||||
| 12,600 | Sekisui House Ltd. (a) | 257,990 | ||||||||
| 2,800 | Shionogi & Co. Ltd. (a) | 132,024 | ||||||||
| 7,600 | Subaru Corp. (a) | 135,578 | ||||||||
| 13,400 | Sumitomo Corp. (a) | 280,949 | ||||||||
| 2,700 | TDK Corp. (a) | 125,640 | ||||||||
| 42,200 | Tokyo Electric Power Co. Holdings, Inc. * (a) | 180,252 | ||||||||
| 8,800 | Tosoh Corp. (a) | 117,073 | ||||||||
| 600 | Toyota Tsusho Corp. (a) | 33,249 | ||||||||
| 4,200 | Yamaha Motor Co. Ltd. (a) | 107,669 | ||||||||
|
|
|
|||||||||
| Total Japan | 3,227,854 | |||||||||
|
|
|
|||||||||
| Mexico — 0.3% | ||||||||||
| 25,537 | Fomento Economico Mexicano SAB de CV | 324,820 | ||||||||
| 44,275 | Grupo Mexico SAB de CV – Series B | 203,397 | ||||||||
|
|
|
|||||||||
| Total Mexico | 528,217 | |||||||||
|
|
|
|||||||||
| Netherlands — 0.6% | ||||||||||
| 26,254 | Aegon Ltd. (a) | 144,160 | ||||||||
| 2,346 | AerCap Holdings NV * | 160,044 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Netherlands — continued | ||||||||||
| 3,051 | EXOR NV (a) | 297,274 | ||||||||
| 2,737 | ING Groep NV – Class N (a) | 38,452 | ||||||||
| 1,820 | JDE Peet’s NV (a) | 48,821 | ||||||||
| 5,891 | Koninklijke Ahold Delhaize NV (a) | 170,601 | ||||||||
| 13,553 | Koninklijke Philips NV (a) | 278,125 | ||||||||
| 2,525 | NN Group NV (a) | 96,364 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 1,233,841 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.0% | ||||||||||
| 12,318 | Meridian Energy Ltd. (a) | 39,581 | ||||||||
|
|
|
|||||||||
| Norway — 0.1% | ||||||||||
| 8,562 | Equinor ASA (a) | 273,550 | ||||||||
|
|
|
|||||||||
| Poland — 0.1% | ||||||||||
| 15,981 | ORLEN SA | 235,929 | ||||||||
|
|
|
|||||||||
| Portugal — 0.1% | ||||||||||
| 20,973 | EDP – Energias de Portugal SA | 100,304 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 2,505 | LUKOIL PJSC (d) | 2,025 | ||||||||
| 5,410 | Novatek PJSC (d) | 909 | ||||||||
|
|
|
|||||||||
| Total Russia | 2,934 | |||||||||
|
|
|
|||||||||
| South Africa — 0.0% | ||||||||||
| 7,025 | Bidvest Group Ltd. | 88,003 | ||||||||
|
|
|
|||||||||
| South Korea — 0.5% | ||||||||||
| 20 | E-MART, Inc. | 1,172 | ||||||||
| 119 | Hyundai Mobis Co. Ltd. | 21,046 | ||||||||
| 360 | Hyundai Motor Co. | 51,258 | ||||||||
| 4,122 | Kia Corp. | 273,858 | ||||||||
| 1,631 | LG Corp. | 105,635 | ||||||||
| 1,986 | LG Electronics, Inc. | 157,471 | ||||||||
| 2,400 | POSCO Holdings, Inc. Sponsored ADR (a) | 223,680 | ||||||||
| 2,735 | SK Square Co. Ltd. * | 107,619 | ||||||||
|
|
|
|||||||||
| Total South Korea | 941,739 | |||||||||
|
|
|
|||||||||
| Spain — 0.5% | ||||||||||
| 3,107 | Amadeus IT Group SA (a) | 213,316 | ||||||||
| 34,224 | Banco Bilbao Vizcaya Argentaria SA (a) | 318,600 | ||||||||
| 75,774 | Banco Santander SA (a) | 314,101 | ||||||||
| 6,064 | Industria de Diseno Textil SA (a) | 250,231 | ||||||||
|
|
|
|||||||||
| Total Spain | 1,096,248 | |||||||||
|
|
|
|||||||||
| Sweden — 0.3% | ||||||||||
| 29,827 | Fastighets AB Balder – B Shares * (a) | 176,141 | ||||||||
| 14,034 | Investor AB – B Shares (a) | 291,571 | ||||||||
| 3,780 | Skanska AB – B Shares (a) | 60,746 | ||||||||
|
|
|
|||||||||
| Total Sweden | 528,458 | |||||||||
|
|
|
|||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Switzerland — 0.3% | ||||||||||
| 5,938 | Adecco Group AG (Registered) (a) | 286,393 | ||||||||
| 53 | Roche Holding AG (a) | 15,100 | ||||||||
| 922 | Roche Holding AG – Genusschein (a) | 248,037 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 549,530 | |||||||||
|
|
|
|||||||||
| Thailand — 0.1% | ||||||||||
| 33,600 | Kasikornbank PCL NVDR | 122,251 | ||||||||
| 310,900 | Krung Thai Bank PCL NVDR | 160,931 | ||||||||
|
|
|
|||||||||
| Total Thailand | 283,182 | |||||||||
|
|
|
|||||||||
| Turkey — 0.1% | ||||||||||
| 15,386 | Haci Omer Sabanci Holding AS | 32,506 | ||||||||
| 6,604 | KOC Holding AS | 32,319 | ||||||||
| 180,791 | Yapi ve Kredi Bankasi AS | 120,427 | ||||||||
|
|
|
|||||||||
| Total Turkey | 185,252 | |||||||||
|
|
|
|||||||||
| United Kingdom — 1.0% | ||||||||||
| 10,080 | 3i Group PLC (a) | 285,089 | ||||||||
| 5,425 | Berkeley Group Holdings PLC (a) | 318,366 | ||||||||
| 161,351 | BT Group PLC (a) | 250,803 | ||||||||
| 2,961 | Coca-Cola HBC AG (a) | 82,273 | ||||||||
| 10,255 | Compass Group PLC (a) | 259,620 | ||||||||
| 52,595 | Kingfisher PLC (a) | 145,992 | ||||||||
| 5,545 | Persimmon PLC (a) | 87,855 | ||||||||
| 6,513 | Shell PLC (a) | 210,532 | ||||||||
| 72,474 | Taylor Wimpey PLC (a) | 118,787 | ||||||||
| 28,118 | Vodafone Group PLC Sponsored ADR (a) | 254,749 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 2,014,066 | |||||||||
|
|
|
|||||||||
| United States — 10.2% | ||||||||||
| 3,136 | 3M Co. (a) | 310,683 | ||||||||
| 331 | Akamai Technologies, Inc. * (a) | 38,240 | ||||||||
| 8,713 | Ally Financial, Inc. (a) | 254,594 | ||||||||
| 1,555 | Alphabet, Inc. – Class A* (a) | 206,084 | ||||||||
| 41 | Alphabet, Inc. – Class C* (a) | 5,491 | ||||||||
| 1,344 | American Express Co. (a) | 229,515 | ||||||||
| 2,234 | Arrow Electronics, Inc. * (a) | 264,863 | ||||||||
| 200 | Aspen Technology, Inc. * (b) | 37,652 | ||||||||
| 1,820 | Best Buy Co., Inc. (b) | 129,111 | ||||||||
| 816 | Bio-Rad Laboratories, Inc. – Class A * (a) | 248,815 | ||||||||
| 93 | Booking Holdings, Inc. * (b) | 290,690 | ||||||||
| 11,917 | BorgWarner, Inc. (a) | 401,484 | ||||||||
| 2,143 | Builders FirstSource, Inc. * (a) | 287,398 | ||||||||
| 2,955 | Capital One Financial Corp. (a) | 329,955 | ||||||||
| 1,902 | CarMax, Inc. * (b) | 121,614 | ||||||||
| 1,364 | Carrier Global Corp. (b) | 70,873 | ||||||||
| 1,487 | CBRE Group, Inc. – Class A * (a) | 117,414 | ||||||||
| 3,410 | Centene Corp. * (a) | 251,249 | ||||||||
| 3,132 | Chesapeake Energy Corp. (a) | 251,531 | ||||||||
| 1,065 | Chevron Corp. (b) | 152,934 | ||||||||
| 6,638 | Citigroup, Inc. (a) | 306,012 | ||||||||
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 16,638 | Cleveland-Cliffs, Inc. * (b) | 285,508 | ||||||||
| 4,300 | Cognizant Technology Solutions Corp. – Class A (a) | 302,634 | ||||||||
| 7,000 | Comcast Corp. – Class A (a) | 293,230 | ||||||||
| 3,888 | CVS Health Corp. (a) | 264,190 | ||||||||
| 3,820 | Darling Ingredients, Inc. * (b) | 167,583 | ||||||||
| 941 | Dick’s Sporting Goods, Inc. (b) | 122,424 | ||||||||
| 2,971 | Discover Financial Services (b) | 276,303 | ||||||||
| 1,440 | DR Horton, Inc. (a) | 183,845 | ||||||||
| 865 | Dropbox, Inc. – Class A * (a) | 24,376 | ||||||||
| 5,900 | eBay, Inc. (b) | 241,959 | ||||||||
| 1,901 | EOG Resources, Inc. (a) | 233,956 | ||||||||
| 994 | Etsy, Inc. * (b) | 75,355 | ||||||||
| 2,149 | Expedia Group, Inc. * (b) | 292,651 | ||||||||
| 215 | F5, Inc. * (a) | 36,806 | ||||||||
| 5,262 | Fidelity National Financial, Inc. (a) | 235,948 | ||||||||
| 24,100 | Ford Motor Co. (a) | 247,266 | ||||||||
| 404 | Fortune Brands Innovations, Inc. (a) | 27,646 | ||||||||
| 1,875 | Fox Corp. – Class A (b) | 55,387 | ||||||||
| 7,200 | Fox Corp. – Class B (a) | 199,152 | ||||||||
| 9,812 | Franklin Resources, Inc. (b) | 243,338 | ||||||||
| 1,304 | Generac Holdings, Inc. * (b) | 152,659 | ||||||||
| 695 | General Electric Co. (a) | 84,651 | ||||||||
| 8,300 | General Motors Co. (a) | 262,280 | ||||||||
| 827 | Goldman Sachs Group, Inc. (a) | 282,454 | ||||||||
| 2,172 | Green Plains, Inc. * (a) | 54,039 | ||||||||
| 6,351 | Hewlett Packard Enterprise Co. (a) | 107,395 | ||||||||
| 1,099 | Hilton Worldwide Holdings, Inc. (a) | 184,104 | ||||||||
| 10,191 | HP, Inc. (a) | 299,004 | ||||||||
| 4,127 | Incyte Corp. * (a) | 224,261 | ||||||||
| 7,061 | Intel Corp. (a) | 315,627 | ||||||||
| 2,223 | Intercontinental Exchange, Inc. (a) | 253,066 | ||||||||
| 2,100 | International Business Machines Corp. (b) | 332,976 | ||||||||
| 6,965 | Invesco Ltd. (a) | 99,391 | ||||||||
| 1,808 | Jazz Pharmaceuticals PLC * (a) | 213,760 | ||||||||
| 686 | Keysight Technologies, Inc. * (a) | 93,221 | ||||||||
| 16,718 | Kinder Morgan, Inc. (a) | 293,735 | ||||||||
| 7,657 | Kraft Heinz Co. (a) | 268,837 | ||||||||
| 3,094 | Kroger Co. (b) | 136,971 | ||||||||
| 814 | Laboratory Corp. of America Holdings (b) | 176,565 | ||||||||
| 276 | Lam Research Corp. (a) | 197,594 | ||||||||
| 4,001 | Las Vegas Sands Corp. (a) (b) | 184,526 | ||||||||
| 1,414 | Lennar Corp. – Class A (a) | 180,879 | ||||||||
| 959 | LyondellBasell Industries NV – Class A (a) | 91,201 | ||||||||
| 141 | Markel Group, Inc. * (a) | 202,912 | ||||||||
| 8,404 | Match Group, Inc. * (a) (b) | 272,121 | ||||||||
| 1,499 | Meta Platforms, Inc. – Class A * (a) | 490,398 | ||||||||
| 5,759 | Micron Technology, Inc. (a) | 438,375 | ||||||||
| 3,596 | Moderna, Inc. * (b) | 279,409 | ||||||||
| 2,610 | Mohawk Industries, Inc. * (b) | 230,489 | ||||||||
| 2,088 | Molson Coors Beverage Co. – Class B (a) | 128,496 | ||||||||
| 3,747 | Mosaic Co. (a) | 134,480 | ||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 1,800 | Nucor Corp. (b) | 305,946 | ||||||||
| 3,067 | ON Semiconductor Corp. * (a) | 218,769 | ||||||||
| 1,320 | Otis Worldwide Corp. (a) (b) | 113,243 | ||||||||
| 5,691 | Ovintiv, Inc. (a) | 252,339 | ||||||||
| 2,992 | PACCAR, Inc. (b) | 274,725 | ||||||||
| 20,190 | Paramount Global – Class B (a) | 290,130 | ||||||||
| 4,799 | PayPal Holdings, Inc. * (a) | 276,470 | ||||||||
| 8,036 | Pfizer, Inc. (a) | 244,857 | ||||||||
| 1,918 | PulteGroup, Inc. (a) | 169,590 | ||||||||
| 2,539 | QUALCOMM, Inc. (a) | 327,658 | ||||||||
| 400 | Regeneron Pharmaceuticals, Inc. * (a) | 329,524 | ||||||||
| 2,776 | Skyworks Solutions, Inc. (a) (b) | 269,078 | ||||||||
| 2,592 | SolarEdge Technologies, Inc. * (b) | 205,753 | ||||||||
| 2,725 | Steel Dynamics, Inc. (a) | 324,629 | ||||||||
| 9,486 | Synchrony Financial (a) | 306,967 | ||||||||
| 555 | TE Connectivity Ltd. (a) | 72,705 | ||||||||
| 788 | Texas Instruments, Inc. (a) | 120,335 | ||||||||
| 1,022 | Textron, Inc. (b) | 78,347 | ||||||||
| 5,197 | Tyson Foods, Inc. – Class A (b) | 243,427 | ||||||||
| 4,013 | U.S. Bancorp (a) | 152,976 | ||||||||
| 97 | United Rentals, Inc. (b) | 46,174 | ||||||||
| 540 | Universal Health Services, Inc. – Class B (a) | 74,239 | ||||||||
| 8,967 | Verizon Communications, Inc. (a) | 343,705 | ||||||||
| 7,635 | VF Corp. (b) | 127,734 | ||||||||
| 24,200 | Viatris, Inc. (a) | 222,156 | ||||||||
| 11,780 | Walgreens Boots Alliance, Inc. (b) | 234,893 | ||||||||
| 4,884 | Wells Fargo & Co. (a) | 217,778 | ||||||||
| 1,737 | Western Digital Corp. * (b) | 83,914 | ||||||||
| 1,395 | Westlake Corp. (b) | 179,104 | ||||||||
| 887 | Whirlpool Corp. (b) | 96,594 | ||||||||
| 4,000 | Zoom Video Communications, Inc. – Class A * (b) | 271,320 | ||||||||
| 1,880 | ZoomInfo Technologies, Inc. * (b) | 27,016 | ||||||||
|
|
|
|||||||||
| Total United States | 21,283,730 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $41,175,576) |
42,681,621 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (e) — 0.4% | ||||||||||
| Brazil — 0.1% | ||||||||||
| 24,987 | Bradespar SA | 123,868 | ||||||||
| 8,389 | Petroleo Brasileiro SA ADR (a) | 122,060 | ||||||||
|
|
|
|||||||||
| Total Brazil | 245,928 | |||||||||
|
|
|
|||||||||
| Germany — 0.3% | ||||||||||
| 1,287 | Bayerische Motoren Werke AG (a) | 122,302 | ||||||||
| 3,605 | Porsche Automobil Holding SE (a) | 176,280 | ||||||||
| 2,178 | Volkswagen AG (a) | 252,810 | ||||||||
|
|
|
|||||||||
| Total Germany | 551,392 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $760,662) |
797,320 | |||||||||
|
|
|
|||||||||
| Shares/ Par Value† |
Description | Value ($) |
||||||||
| DEBT OBLIGATIONS — 2.9% | ||||||||||
| United States — 2.9% | ||||||||||
| U.S. Government — 2.4% | ||||||||||
| 5,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.55%, due 01/31/25 (a) | 5,006,272 | ||||||||
|
|
|
|||||||||
| U.S. Government Agency — 0.5% | ||||||||||
| 1,000,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.43%, due 03/06/24 | 1,000,311 | ||||||||
|
|
|
|||||||||
| Total United States | 6,006,583 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $6,002,195) |
6,006,583 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 80.2% | ||||||||||
| United States — 80.2% | ||||||||||
| Affiliated Issuers — 80.2% | ||||||||||
| 647,410 | GMO Asset Allocation Bond Fund, Class VI | 12,682,761 | ||||||||
| 419,243 | GMO Emerging Country Debt Fund, Class VI | 8,074,624 | ||||||||
| 1,162,400 | GMO Emerging Markets ex-China Fund, Class VI | 17,424,370 | ||||||||
| 665,839 | GMO Emerging Markets Fund, Class VI | 14,874,854 | ||||||||
| 1,275,829 | GMO International Equity Fund, Class IV | 29,701,302 | ||||||||
| 1,226,672 | GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV | 17,320,602 | ||||||||
| 529,802 | GMO-Usonian Japan Value Creation Fund, Class VI | 9,997,368 | ||||||||
| 384,384 | GMO Multi-Sector Fixed Income Fund, Class IV | 6,457,649 | ||||||||
| 267,201 | GMO Quality Fund, Class VI | 7,751,496 | ||||||||
| 311,030 | GMO Small Cap Quality Fund, Class VI | 7,346,527 | ||||||||
| 762,204 | GMO U.S. Equity Fund, Class VI | 9,878,170 | ||||||||
| 848,460 | GMO U.S. Opportunistic Value Fund, Class VI | 17,444,327 | ||||||||
| 215,146 | GMO Resources Fund, Class VI | 4,713,855 | ||||||||
| 647,126 | GMO U.S. Treasury Fund | 3,235,630 | ||||||||
|
|
|
|||||||||
| Total Affiliated Issuers | 166,903,535 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $167,076,529) |
166,903,535 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 12.2% | ||||||||||
| Money Market Funds — 0.9% | ||||||||||
| 1,896,096 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.31% (f) | 1,896,096 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements — 10.6% | ||||||||||
| 21,999,814 | Nomura Securities International, Inc. Repurchase Agreement, dated 11/30/23, maturing on 12/01/23 with a maturity value of $22,003,053 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 09/30/28 and a market value of $22,215,805. | 21,999,814 | ||||||||
|
|
|
|||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares/ Par Value† |
Description | Value ($) |
||||||||
| U.S. Government Agency — 0.7% | ||||||||||
| 1,500,000 | Federal Home Loan Banks, 5.23%, due 03/22/24 | 1,499,287 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $25,395,910) |
25,395,197 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 116.2% (Cost $240,410,872) |
241,784,256 | |||||||||
|
|
|
|||||||||
| SECURITIES SOLD SHORT — (16.1)% | ||||||||||
| Common Stocks — (16.0)% | ||||||||||
| Australia — (0.4)% | ||||||||||
| (4,131 | ) | ASX Ltd. | (158,409 | ) | ||||||
| (882 | ) | Cochlear Ltd. | (159,075 | ) | ||||||
| (9,138 | ) | IDP Education Ltd. | (136,707 | ) | ||||||
| (18,835 | ) | Lottery Corp. Ltd. | (57,174 | ) | ||||||
| (14,643 | ) | Pilbara Minerals Ltd. | (35,013 | ) | ||||||
| (3,990 | ) | Ramsay Health Care Ltd. | (129,564 | ) | ||||||
| (1,912 | ) | WiseTech Global Ltd. | (84,202 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (760,144 | ) | ||||||||
|
|
|
|||||||||
| Austria — (0.1)% | ||||||||||
| (2,362 | ) | Verbund AG | (225,008 | ) | ||||||
|
|
|
|||||||||
| Belgium — (0.1)% | ||||||||||
| (4,837 | ) | Anheuser-Busch InBev SA | (304,407 | ) | ||||||
|
|
|
|||||||||
| Canada — (1.0)% | ||||||||||
| (4,096 | ) | Agnico Eagle Mines Ltd. | (219,955 | ) | ||||||
| (4,139 | ) | Algonquin Power & Utilities Corp. | (25,455 | ) | ||||||
| (12,100 | ) | AltaGas Ltd. | (246,111 | ) | ||||||
| (942 | ) | Brookfield Renewable Corp. – Class A | (25,001 | ) | ||||||
| (6,821 | ) | Cameco Corp. | (313,220 | ) | ||||||
| (8,205 | ) | Enbridge, Inc. | (286,108 | ) | ||||||
| (1,984 | ) | Franco-Nevada Corp. | (222,407 | ) | ||||||
| (7,433 | ) | GFL Environmental, Inc. | (213,327 | ) | ||||||
| (8,100 | ) | Pembina Pipeline Corp. | (270,783 | ) | ||||||
| (4,000 | ) | Restaurant Brands International, Inc. | (284,320 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (2,106,687 | ) | ||||||||
|
|
|
|||||||||
| China — (0.0)% | ||||||||||
| (47 | ) | Yum China Holdings, Inc. | (2,029 | ) | ||||||
|
|
|
|||||||||
| Denmark — (0.1)% | ||||||||||
| (1,304 | ) | Coloplast AS – Class B | (153,868 | ) | ||||||
| (3,556 | ) | Tryg AS | (76,736 | ) | ||||||
|
|
|
|||||||||
| Total Denmark | (230,604 | ) | ||||||||
|
|
|
|||||||||
| Finland — (0.0)% | ||||||||||
| (1,468 | ) | Elisa OYJ | (65,710 | ) | ||||||
| (419 | ) | Kone OYJ – Class B | (18,652 | ) | ||||||
|
|
|
|||||||||
| Total Finland | (84,362 | ) | ||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| France — (0.5)% | ||||||||||
| (5,908 | ) | Accor SA | (205,418 | ) | ||||||
| (1,525 | ) | Aeroports de Paris SA | (188,037 | ) | ||||||
| (13,476 | ) | Getlink SE | (246,249 | ) | ||||||
| (146 | ) | Hermes International SCA | (302,587 | ) | ||||||
| (185 | ) | Sartorius Stedim Biotech | (41,716 | ) | ||||||
|
|
|
|||||||||
| Total France | (984,007 | ) | ||||||||
|
|
|
|||||||||
| Germany — (0.7)% | ||||||||||
| (1,144 | ) | adidas AG | (239,478 | ) | ||||||
| (544 | ) | Covestro AG * | (28,607 | ) | ||||||
| (7,257 | ) | Delivery Hero SE * | (230,037 | ) | ||||||
| (610 | ) | Deutsche Boerse AG | (115,966 | ) | ||||||
| (1,001 | ) | MTU Aero Engines AG | (205,136 | ) | ||||||
| (244 | ) | Puma SE | (15,759 | ) | ||||||
| (1,103 | ) | QIAGEN NV * | (45,400 | ) | ||||||
| (184 | ) | Rational AG | (118,003 | ) | ||||||
| (2,731 | ) | Siemens Energy AG * | (32,266 | ) | ||||||
| (2,568 | ) | Symrise AG | (289,058 | ) | ||||||
| (1,286 | ) | Zalando SE * | (30,661 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (1,350,371 | ) | ||||||||
|
|
|
|||||||||
| Ireland — (0.0)% | ||||||||||
| (619 | ) | Flutter Entertainment PLC* | (96,979 | ) | ||||||
|
|
|
|||||||||
| Israel — (0.2)% | ||||||||||
| (1,622 | ) | CyberArk Software Ltd.* | (323,216 | ) | ||||||
|
|
|
|||||||||
| Italy — (0.5)% | ||||||||||
| (6,384 | ) | Amplifon SpA | (198,428 | ) | ||||||
| (876 | ) | Ferrari NV (c) | (315,691 | ) | ||||||
| (42 | ) | Ferrari NV (c) | (15,077 | ) | ||||||
| (17,820 | ) | FinecoBank Banca Fineco SpA | (240,469 | ) | ||||||
| (19,965 | ) | Infrastrutture Wireless Italiane SpA | (246,883 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (1,016,548 | ) | ||||||||
|
|
|
|||||||||
| Japan — (1.4)% | ||||||||||
| (12,300 | ) | Aeon Co. Ltd. | (254,406 | ) | ||||||
| (600 | ) | ANA Holdings, Inc. * | (12,381 | ) | ||||||
| (6,600 | ) | Asahi Intecc Co. Ltd. | (128,045 | ) | ||||||
| (2,400 | ) | GMO Payment Gateway, Inc. | (140,723 | ) | ||||||
| (2,300 | ) | Japan Airlines Co. Ltd. | (43,533 | ) | ||||||
| (7,600 | ) | Japan Exchange Group, Inc. | (155,134 | ) | ||||||
| (3,700 | ) | Keio Corp. | (106,630 | ) | ||||||
| (1,800 | ) | Keisei Electric Railway Co. Ltd. | (72,506 | ) | ||||||
| (2,900 | ) | Kintetsu Group Holdings Co. Ltd. | (81,204 | ) | ||||||
| (2,800 | ) | Kobe Bussan Co. Ltd. | (73,626 | ) | ||||||
| (1,300 | ) | Lasertec Corp. | (290,337 | ) | ||||||
| (4,200 | ) | M3, Inc. | (69,311 | ) | ||||||
| (13,300 | ) | MonotaRO Co. Ltd. | (133,680 | ) | ||||||
| (10,500 | ) | Nippon Paint Holdings Co. Ltd. | (78,272 | ) | ||||||
| (6,200 | ) | Odakyu Electric Railway Co. Ltd. | (87,118 | ) | ||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| (8,500 | ) | Oriental Land Co. Ltd. | (288,738 | ) | ||||||
| (58,300 | ) | Rakuten Group, Inc. | (230,396 | ) | ||||||
| (3,200 | ) | Shiseido Co. Ltd. | (85,723 | ) | ||||||
| (23,900 | ) | SoftBank Corp. | (290,455 | ) | ||||||
| (3,400 | ) | Tobu Railway Co. Ltd. | (84,020 | ) | ||||||
| (10,800 | ) | Tokyu Corp. | (126,673 | ) | ||||||
| (900 | ) | West Japan Railway Co. | (35,570 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (2,868,481 | ) | ||||||||
|
|
|
|||||||||
| Netherlands — (0.4)% | ||||||||||
| (240 | ) | Adyen NV * | (280,621 | ) | ||||||
| (43 | ) | ASML Holding NV | (29,306 | ) | ||||||
| (1,447 | ) | BE Semiconductor Industries NV | (203,140 | ) | ||||||
| (208 | ) | IMCD NV | (32,102 | ) | ||||||
| (12,066 | ) | Universal Music Group NV | (318,796 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (863,965 | ) | ||||||||
|
|
|
|||||||||
| New Zealand — (0.1)% | ||||||||||
| (3,637 | ) | Xero Ltd. * | (247,968 | ) | ||||||
|
|
|
|||||||||
| Norway — (0.1)% | ||||||||||
| (3,673 | ) | Aker BP ASA | (104,607 | ) | ||||||
|
|
|
|||||||||
| Peru — (0.1)% | ||||||||||
| (3,500 | ) | Southern Copper Corp. | (251,755 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.2)% | ||||||||||
| (71,141 | ) | Grab Holdings Ltd. – Class A * | (216,268 | ) | ||||||
| (2,276,100 | ) | Seatrium Ltd. * | (178,782 | ) | ||||||
| (5,700 | ) | Singapore Exchange Ltd. | (40,233 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (435,283 | ) | ||||||||
|
|
|
|||||||||
| Spain — (0.3)% | ||||||||||
| (7,689 | ) | Cellnex Telecom SA * | (293,555 | ) | ||||||
| (9,235 | ) | Ferrovial SE | (319,386 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (612,941 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (0.2)% | ||||||||||
| (2,457 | ) | Beijer Ref AB | (27,209 | ) | ||||||
| (5,159 | ) | EQT AB | (121,871 | ) | ||||||
| (1,016 | ) | Evolution AB | (105,258 | ) | ||||||
| (6,132 | ) | H & M Hennes & Mauritz AB – Class B | (98,212 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (352,550 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.1)% | ||||||||||
| (1 | ) | Chocoladefabriken Lindt & Spruengli AG | (12,365 | ) | ||||||
| (114 | ) | Partners Group Holding AG | (150,308 | ) | ||||||
| (418 | ) | Straumann Holding AG (Registered) | (57,486 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (220,159 | ) | ||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| United Kingdom — (1.0)% | ||||||||||
| (2,205 | ) | Admiral Group PLC | (75,340 | ) | ||||||
| (25,277 | ) | Auto Trader Group PLC | (231,840 | ) | ||||||
| (14,090 | ) | Hargreaves Lansdown PLC | (128,048 | ) | ||||||
| (32,236 | ) | Informa PLC | (303,127 | ) | ||||||
| (3,478 | ) | InterContinental Hotels Group PLC | (269,701 | ) | ||||||
| (2,983 | ) | London Stock Exchange Group PLC | (336,283 | ) | ||||||
| (44,266 | ) | M&G PLC | (117,248 | ) | ||||||
| (78,332 | ) | Rolls-Royce Holdings PLC * | (267,305 | ) | ||||||
| (1,714 | ) | Severn Trent PLC | (56,306 | ) | ||||||
| (605 | ) | Spirax-Sarco Engineering PLC | (70,698 | ) | ||||||
| (12,918 | ) | Wise PLC – Class A * | (127,790 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (1,983,686 | ) | ||||||||
|
|
|
|||||||||
| United States — (8.5)% | ||||||||||
| (457 | ) | AECOM | (40,609 | ) | ||||||
| (16,076 | ) | AES Corp. | (276,668 | ) | ||||||
| (1,500 | ) | Alnylam Pharmaceuticals, Inc. * | (252,375 | ) | ||||||
| (6,375 | ) | Altria Group, Inc. | (268,005 | ) | ||||||
| (888 | ) | American Tower Corp. – (REIT) | (185,397 | ) | ||||||
| (519 | ) | Amgen, Inc. | (139,943 | ) | ||||||
| (2,931 | ) | ARES Management Corp. – Class A | (329,005 | ) | ||||||
| (1,217 | ) | Arthur J Gallagher & Co. | (303,033 | ) | ||||||
| (1,271 | ) | Axon Enterprise, Inc. * | (292,165 | ) | ||||||
| (2,870 | ) | Bill Holdings, Inc. * | (187,899 | ) | ||||||
| (415 | ) | BioMarin Pharmaceutical, Inc. * | (37,798 | ) | ||||||
| (1,356 | ) | Bio-Techne Corp. | (85,292 | ) | ||||||
| (1,500 | ) | Boeing Co. * | (347,445 | ) | ||||||
| (305 | ) | Broadcom, Inc. | (282,348 | ) | ||||||
| (1,975 | ) | Burlington Stores, Inc. * | (334,940 | ) | ||||||
| (5,400 | ) | Caesars Entertainment, Inc. * | (241,488 | ) | ||||||
| (881 | ) | Carnival Corp. * | (13,268 | ) | ||||||
| (3,493 | ) | Catalent, Inc. * | (135,703 | ) | ||||||
| (144 | ) | CDW Corp. | (30,367 | ) | ||||||
| (4,078 | ) | Ceridian HCM Holding, Inc. * | (280,974 | ) | ||||||
| (157 | ) | Chipotle Mexican Grill, Inc. * | (345,753 | ) | ||||||
| (3,898 | ) | Cloudflare, Inc. – Class A * | (300,731 | ) | ||||||
| (118 | ) | CME Group, Inc. | (25,767 | ) | ||||||
| (104 | ) | CoStar Group, Inc. * | (8,636 | ) | ||||||
| (2,813 | ) | Dexcom, Inc. * | (324,958 | ) | ||||||
| (7,053 | ) | DraftKings, Inc. – Class A * | (269,707 | ) | ||||||
| (324 | ) | Ecolab, Inc. | (62,121 | ) | ||||||
| (1,800 | ) | Equity LifeStyle Properties, Inc. – (REIT) | (127,980 | ) | ||||||
| (202 | ) | Erie Indemnity Co. – Class A | (59,719 | ) | ||||||
| (1,681 | ) | Essential Utilities, Inc. | (59,860 | ) | ||||||
| (3,983 | ) | Exact Sciences Corp. * | (254,912 | ) | ||||||
| (301 | ) | Fair Isaac Corp. * | (327,368 | ) | ||||||
| (1,462 | ) | Fastenal Co. | (87,676 | ) | ||||||
| (4,952 | ) | Fidelity National Information Services, Inc. | (290,385 | ) | ||||||
| (697 | ) | Gartner, Inc. * | (303,084 | ) | ||||||
| (600 | ) | HubSpot, Inc. * | (296,358 | ) | ||||||
| (134 | ) | IDEXX Laboratories, Inc. * | (62,420 | ) | ||||||
| (1,700 | ) | Insulet Corp. * | (321,453 | ) | ||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
November 30, 2023 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| (1,382 | ) | IQVIA Holdings, Inc. * | (295,886 | ) | ||||||
| (2,700 | ) | Iron Mountain, Inc. – (REIT) | (173,205 | ) | ||||||
| (161 | ) | Jack Henry & Associates, Inc. | (25,549 | ) | ||||||
| (1,688 | ) | Lamb Weston Holdings, Inc. | (168,851 | ) | ||||||
| (2,036 | ) | Lattice Semiconductor Corp. * | (119,208 | ) | ||||||
| (4,100 | ) | Liberty Media Corp.-Liberty Formula One – Class C * | (261,006 | ) | ||||||
| (833 | ) | Linde PLC | (344,670 | ) | ||||||
| (3,321 | ) | Live Nation Entertainment, Inc. * | (279,695 | ) | ||||||
| (298 | ) | Manhattan Associates, Inc. * | (66,469 | ) | ||||||
| (812 | ) | MarketAxess Holdings, Inc. | (194,977 | ) | ||||||
| (110 | ) | Marsh & McLennan Cos., Inc. | (21,936 | ) | ||||||
| (700 | ) | Mastercard, Inc. – Class A | (289,681 | ) | ||||||
| (397 | ) | McKesson Corp. | (186,812 | ) | ||||||
| (224 | ) | MercadoLibre, Inc. * | (362,983 | ) | ||||||
| (800 | ) | MongoDB, Inc. * | (332,592 | ) | ||||||
| (33 | ) | Monolithic Power Systems, Inc. | (18,108 | ) | ||||||
| (589 | ) | Moody’s Corp. | (214,961 | ) | ||||||
| (30 | ) | Motorola Solutions, Inc. | (9,686 | ) | ||||||
| (578 | ) | MSCI, Inc. | (301,051 | ) | ||||||
| (6,615 | ) | Newmont Corp. | (265,857 | ) | ||||||
| (9,463 | ) | NiSource, Inc. | (242,631 | ) | ||||||
| (2,089 | ) | Novocure Ltd. * | (25,632 | ) | ||||||
| (3,500 | ) | Okta, Inc. * | (234,675 | ) | ||||||
| (4,353 | ) | ONEOK, Inc. | (299,704 | ) | ||||||
| (14,836 | ) | Palantir Technologies, Inc. – Class A * | (297,462 | ) | ||||||
| (2,550 | ) | Paychex, Inc. | (311,023 | ) | ||||||
| (200 | ) | Paylocity Holding Corp. * | (31,334 | ) | ||||||
| (2,900 | ) | Philip Morris International, Inc. | (270,744 | ) | ||||||
| (69 | ) | Pool Corp. | (23,965 | ) | ||||||
| (216 | ) | PTC, Inc. * | (33,990 | ) | ||||||
| (1,588 | ) | Repligen Corp. * | (249,713 | ) | ||||||
| (8,610 | ) | Rivian Automotive, Inc. – Class A * | (144,304 | ) | ||||||
| (7,373 | ) | ROBLOX Corp. – Class A * | (289,833 | ) | ||||||
| (3,291 | ) | Roku, Inc. * | (342,922 | ) | ||||||
| (6,604 | ) | Rollins, Inc. | (269,047 | ) | ||||||
| (166 | ) | Royal Caribbean Cruises Ltd. * | (17,838 | ) | ||||||
| (141 | ) | RPM International, Inc. | (14,513 | ) | ||||||
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| (59 | ) | ServiceNow, Inc. * | (40,459 | ) | ||||||
| (396 | ) | Sherwin-Williams Co. | (110,405 | ) | ||||||
| (1,200 | ) | Simon Property Group, Inc. – (REIT) | (149,868 | ) | ||||||
| (1,834 | ) | Snowflake, Inc. – Class A * | (344,205 | ) | ||||||
| (2,321 | ) | Starbucks Corp. | (230,475 | ) | ||||||
| (100 | ) | STERIS PLC | (20,094 | ) | ||||||
| (1,159 | ) | Tesla, Inc. * | (278,253 | ) | ||||||
| (17 | ) | Texas Pacific Land Corp. | (28,423 | ) | ||||||
| (13,350 | ) | Toast, Inc. – Class A * | (198,515 | ) | ||||||
| (126 | ) | Trade Desk, Inc. – Class A * | (8,878 | ) | ||||||
| (312 | ) | TransDigm Group, Inc. * | (300,415 | ) | ||||||
| (871 | ) | UDR, Inc. – (REIT) | (29,091 | ) | ||||||
| (1,132 | ) | Vail Resorts, Inc. | (245,995 | ) | ||||||
| (670 | ) | Watsco, Inc. | (256,094 | ) | ||||||
| (9,056 | ) | Williams Cos., Inc. | (333,170 | ) | ||||||
| (7,004 | ) | Wolfspeed, Inc. * | (258,167 | ) | ||||||
| (216 | ) | Zillow Group, Inc. – Class C * | (8,843 | ) | ||||||
| (1,493 | ) | Zscaler, Inc. * | (294,912 | ) | ||||||
|
|
|
|||||||||
| Total United States | (17,762,385 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $32,066,373) |
(33,188,142 | ) | ||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (e) — (0.1)% | ||||||||||
| Germany — (0.1)% | ||||||||||
| (857 | ) | Sartorius AG | (276,558 | ) | ||||||
| (113 | ) | Dr Ing hc F Porsche AG | (10,352 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $339,555) |
(286,910 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $32,405,928) |
(33,475,052 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — (0.1%) | (192,196 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 208,117,008 | ||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at November 30, 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 |
1 Month Federal Funds Rate minus 0.40% | GS | USD | 1,344,499 | 06/24/2024 | Monthly | — | (21,341 | ) | (21,341 | ) | |||||||||||||||||
| Total Return on Equity |
1 Month Federal Funds Rate minus 0.40% | MORD | USD | 1,799,951 | 06/18/2024 | Monthly | — | 58,310 | 58,310 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | — | $ | 36,969 | $ | 36,969 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
November 30, 2023 (Unaudited)
As of November 30, 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 at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (e) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (f) | The rate disclosed is the 7 day net yield as of November 30, 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
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 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 and Implementation Fund may also invest in GMO Alternative Allocation SPC Ltd. and GMO Implementation 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 and Implementation Fund
Alternative Allocation Fund and Implementation 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 closing 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 non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) and are described in the disclosures of the underlying funds.
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 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 valued off the last traded price with a discount for liquidity; 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 November 30, 2023:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Alternative Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 3,504,622 | $ | — | $ | 3,504,622 | ||||||||
| Belgium |
774,793 | 805,293 | — | 1,580,086 | ||||||||||||
| Bermuda |
2,326,395 | — | — | 2,326,395 | ||||||||||||
| Canada |
3,553,350 | — | 352,512 | 3,905,862 | ||||||||||||
| China |
— | 854,482 | 0 | § | 854,482 | |||||||||||
| Denmark |
— | 1,372,584 | — | 1,372,584 | ||||||||||||
| Finland |
— | 468,928 | — | 468,928 | ||||||||||||
| France |
101,142 | 1,637,472 | — | 1,738,614 | ||||||||||||
| Germany |
— | 595,813 | — | 595,813 | ||||||||||||
| Hong Kong |
— | 114,225 | — | 114,225 | ||||||||||||
| India |
— | 1,047,225 | — | 1,047,225 | ||||||||||||
| Israel |
1,986,398 | 39,920 | — | 2,026,318 | ||||||||||||
| Italy |
— | 660,878 | — | 660,878 | ||||||||||||
| Japan |
— | 17,314,305 | — | 17,314,305 | ||||||||||||
| Netherlands |
206,366 | 1,484,596 | — | 1,690,962 | ||||||||||||
| New Zealand |
— | 58,254 | — | 58,254 | ||||||||||||
| Norway |
— | 360,452 | — | 360,452 | ||||||||||||
| Poland |
— | 307,662 | — | 307,662 | ||||||||||||
| Portugal |
— | 112,275 | — | 112,275 | ||||||||||||
| South Africa |
— | 134,154 | — | 134,154 | ||||||||||||
| South Korea |
308,026 | 1,017,536 | — | 1,325,562 | ||||||||||||
| Spain |
— | 904,383 | — | 904,383 | ||||||||||||
| Sweden |
— | 778,875 | — | 778,875 | ||||||||||||
| Switzerland |
— | 762,400 | — | 762,400 | ||||||||||||
| Taiwan |
929,040 | — | — | 929,040 | ||||||||||||
| Thailand |
— | 434,983 | — | 434,983 | ||||||||||||
| Turkey |
— | 235,083 | — | 235,083 | ||||||||||||
| United Kingdom |
1,937,562 | 2,280,091 | — | 4,217,653 | ||||||||||||
| United States |
77,967,815 | — | 23,092 | 77,990,907 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
90,090,887 | 37,286,491 | 375,604 | 127,752,982 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
162,116 | — | — | 162,116 | ||||||||||||
| Germany |
— | 769,717 | — | 769,717 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
162,116 | 769,717 | — | 931,833 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| United States |
— | — | 453,189 | 453,189 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 453,189 | 453,189 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
— | — | 2,351,936 | 2,351,936 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
— | — | 2,351,936 | 2,351,936 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
56,059,875 | 45,058,429 | — | 101,118,304 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
56,059,875 | 45,058,429 | — | 101,118,304 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
3,519,952 | — | — | 3,519,952 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
3,519,952 | — | — | 3,519,952 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
7,171,893 | 43,505,004 | — | 50,676,897 | ||||||||||||
| Purchased Options |
— | 4,397 | — | 4,397 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
157,004,723 | 126,624,038 | 3,180,729 | 286,809,490 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 1,254,471 | — | 1,254,471 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Alternative Allocation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Derivatives^ (continued) |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | 13,457 | $ | 242,180 | $ | — | $ | 255,637 | ||||||||
| Interest Rate Risk |
36,973 | — | — | 36,973 | ||||||||||||
| Physical Commodity Contract Risk |
711,993 | — | — | 711,993 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 3,748,106 | — | 3,748,106 | ||||||||||||
| Equity Risk |
— | 451,442 | — | 451,442 | ||||||||||||
| Interest Rate Risk |
— | 2,351,913 | — | 2,351,913 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 157,767,146 | $ | 134,672,150 | $ | 3,180,729 | $ | 295,620,025 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (1,011,860 | ) | $ | — | $ | (1,011,860 | ) | ||||||
| Austria |
— | (292,454 | ) | — | (292,454 | ) | ||||||||||
| Belgium |
— | (431,720 | ) | — | (431,720 | ) | ||||||||||
| Bermuda |
(2,296,690 | ) | — | — | (2,296,690 | ) | ||||||||||
| Canada |
(2,955,561 | ) | — | — | (2,955,561 | ) | ||||||||||
| Denmark |
— | (330,474 | ) | — | (330,474 | ) | ||||||||||
| Finland |
— | (126,049 | ) | — | (126,049 | ) | ||||||||||
| France |
— | (1,396,346 | ) | — | (1,396,346 | ) | ||||||||||
| Germany |
(42,066 | ) | (1,895,457 | ) | — | (1,937,523 | ) | |||||||||
| Ireland |
— | (2,432,005 | ) | — | (2,432,005 | ) | ||||||||||
| Israel |
(409,898 | ) | — | — | (409,898 | ) | ||||||||||
| Italy |
(1,795 | ) | (1,427,575 | ) | — | (1,429,370 | ) | |||||||||
| Japan |
— | (3,975,995 | ) | — | (3,975,995 | ) | ||||||||||
| Netherlands |
— | (1,159,074 | ) | — | (1,159,074 | ) | ||||||||||
| New Zealand |
— | (339,328 | ) | — | (339,328 | ) | ||||||||||
| Norway |
— | (166,494 | ) | — | (166,494 | ) | ||||||||||
| Peru |
(328,648 | ) | — | — | (328,648 | ) | ||||||||||
| Singapore |
(299,127 | ) | (331,487 | ) | — | (630,614 | ) | |||||||||
| Spain |
— | (875,741 | ) | — | (875,741 | ) | ||||||||||
| Sweden |
— | (529,540 | ) | — | (529,540 | ) | ||||||||||
| Switzerland |
— | (286,342 | ) | — | (286,342 | ) | ||||||||||
| United Kingdom |
— | (2,798,305 | ) | — | (2,798,305 | ) | ||||||||||
| United States |
(41,108,818 | ) | — | — | (41,108,818 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(47,442,603 | ) | (19,806,246 | ) | — | (67,248,849 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | (390,473 | ) | — | (390,473 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (390,473 | ) | — | (390,473 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (1,483,362 | ) | — | (1,483,362 | ) | ||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
(380,710 | ) | (289,214 | ) | — | (669,924 | ) | |||||||||
| Interest Rate Risk |
(203,637 | ) | — | — | (203,637 | ) | ||||||||||
| Physical Commodity Contract Risk |
(1,078,655 | ) | — | — | (1,078,655 | ) | ||||||||||
| Written Options |
||||||||||||||||
| Credit Risk |
— | (3,241 | ) | — | (3,241 | ) | ||||||||||
| Equity Risk |
(113,112 | ) | — | — | (113,112 | ) | ||||||||||
| Swap Contacts |
||||||||||||||||
| Credit Risk |
— | (3,233,880 | ) | — | (3,233,880 | ) | ||||||||||
| Equity Risk |
— | (484,093 | ) | — | (484,093 | ) | ||||||||||
| Interest Rate Risk |
— | (2,616,150 | ) | — | (2,616,150 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (49,218,717 | ) | $ | (28,306,659 | ) | $ | — | $ | (77,525,376 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Benchmark-Free Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 3,887,965,602 | $ | — | $ | — | $ | 3,887,965,602 | ||||||||
| Short-Term Investments |
3,477,724 | — | — | 3,477,724 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
3,891,443,326 | — | — | 3,891,443,326 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 3,891,443,326 | $ | — | $ | — | $ | 3,891,443,326 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Benchmark-Free Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 16,063,460 | $ | — | $ | 16,063,460 | ||||||||
| Austria |
— | 2,268,835 | — | 2,268,835 | ||||||||||||
| Belgium |
— | 8,600,865 | — | 8,600,865 | ||||||||||||
| Bermuda |
103,633 | — | — | 103,633 | ||||||||||||
| Brazil |
1,488,046 | 7,859,504 | — | 9,347,550 | ||||||||||||
| Canada |
32,318,053 | 135,366 | 15,800 | 32,469,219 | ||||||||||||
| Chile |
66,271 | 1,041,475 | — | 1,107,746 | ||||||||||||
| China |
— | 31,326,685 | 3,935 | 31,330,620 | ||||||||||||
| Colombia |
224,168 | — | — | 224,168 | ||||||||||||
| Czech Republic |
— | 367,358 | — | 367,358 | ||||||||||||
| Denmark |
— | 7,858,808 | — | 7,858,808 | ||||||||||||
| Egypt |
— | 726,242 | — | 726,242 | ||||||||||||
| Finland |
— | 5,379,219 | — | 5,379,219 | ||||||||||||
| France |
2,403,500 | 35,422,085 | — | 37,825,585 | ||||||||||||
| Germany |
— | 11,422,300 | — | 11,422,300 | ||||||||||||
| Greece |
— | 1,073,725 | 0 | § | 1,073,725 | |||||||||||
| Hong Kong |
— | 7,503,127 | — | 7,503,127 | ||||||||||||
| Hungary |
— | 3,575,983 | — | 3,575,983 | ||||||||||||
| India |
1,170,056 | 32,511,671 | — | 33,681,727 | ||||||||||||
| Indonesia |
— | 5,394,354 | — | 5,394,354 | ||||||||||||
| Ireland |
1,943,312 | 1,871,758 | — | 3,815,070 | ||||||||||||
| Israel |
1,806,355 | 268,351 | — | 2,074,706 | ||||||||||||
| Italy |
243,081 | 16,640,527 | — | 16,883,608 | ||||||||||||
| Japan |
1,151,344 | 150,676,648 | — | 151,827,992 | ||||||||||||
| Kuwait |
— | 124,672 | — | 124,672 | ||||||||||||
| Malaysia |
— | 1,071,945 | — | 1,071,945 | ||||||||||||
| Mexico |
10,193,764 | — | 0 | § | 10,193,764 | |||||||||||
| Netherlands |
904,324 | 20,387,843 | — | 21,292,167 | ||||||||||||
| New Zealand |
— | 269,794 | — | 269,794 | ||||||||||||
| Norway |
— | 6,958,662 | — | 6,958,662 | ||||||||||||
| Pakistan |
— | 162,885 | — | 162,885 | ||||||||||||
| Panama |
15,058 | — | — | 15,058 | ||||||||||||
| Philippines |
— | 8,651 | — | 8,651 | ||||||||||||
| Poland |
— | 5,374,882 | — | 5,374,882 | ||||||||||||
| Portugal |
— | 1,034,409 | — | 1,034,409 | ||||||||||||
| Qatar |
— | 217,515 | — | 217,515 | ||||||||||||
| Russia |
— | — | 402,370 | 402,370 | ||||||||||||
| Saudi Arabia |
— | 1,870,978 | — | 1,870,978 | ||||||||||||
| Singapore |
— | 5,880,211 | — | 5,880,211 | ||||||||||||
| South Africa |
477,793 | 13,997,414 | — | 14,475,207 | ||||||||||||
| South Korea |
2,584,056 | 24,993,331 | — | 27,577,387 | ||||||||||||
| Spain |
— | 21,484,383 | — | 21,484,383 | ||||||||||||
| Sweden |
— | 7,071,197 | — | 7,071,197 | ||||||||||||
| Switzerland |
3,636,322 | 9,449,253 | — | 13,085,575 | ||||||||||||
| Taiwan |
2,458,313 | 33,122,601 | — | 35,580,914 | ||||||||||||
| Thailand |
— | 8,311,215 | — | 8,311,215 | ||||||||||||
| Turkey |
— | 5,191,619 | — | 5,191,619 | ||||||||||||
| United Arab Emirates |
— | 615,868 | — | 615,868 | ||||||||||||
| United Kingdom |
7,166,143 | 37,274,200 | 601 | 44,440,944 | ||||||||||||
| United States |
196,508,920 | — | — | 196,508,920 | ||||||||||||
| Vietnam |
— | 2,268,900 | — | 2,268,900 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
266,862,512 | 555,130,774 | 422,706 | 822,415,992 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
5,390,132 | 5,679,185 | — | 11,069,317 | ||||||||||||
| Colombia |
273,264 | — | — | 273,264 | ||||||||||||
| Germany |
— | 3,935,279 | — | 3,935,279 | ||||||||||||
| Russia |
— | — | 66,826 | 66,826 | ||||||||||||
| South Korea |
— | 2,800,343 | — | 2,800,343 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
5,663,396 | 12,414,807 | 66,826 | 18,145,029 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Benchmark-Free Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| United States |
$ | 53,979,003 | $ | 117,540,423 | $ | — | $ | 171,519,426 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
53,979,003 | 117,540,423 | — | 171,519,426 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
166,857,593 | — | — | 166,857,593 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
166,857,593 | — | — | 166,857,593 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
47,511,014 | 30,999,585 | — | 78,510,599 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
540,873,518 | 716,085,589 | 489,532 | 1,257,448,639 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
263,153 | — | — | 263,153 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | 345,456 | — | 345,456 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 541,136,671 | $ | 716,431,045 | $ | 489,532 | $ | 1,258,057,248 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (4,386,289 | ) | $ | — | $ | (4,386,289 | ) | ||||||
| Austria |
— | (1,199,155 | ) | — | (1,199,155 | ) | ||||||||||
| Belgium |
— | (1,769,737 | ) | — | (1,769,737 | ) | ||||||||||
| Canada |
(12,453,696 | ) | — | — | (12,453,696 | ) | ||||||||||
| Denmark |
— | (1,410,085 | ) | — | (1,410,085 | ) | ||||||||||
| Finland |
— | (353,231 | ) | — | (353,231 | ) | ||||||||||
| France |
— | (5,715,747 | ) | — | (5,715,747 | ) | ||||||||||
| Germany |
(185,344 | ) | (8,049,684 | ) | — | (8,235,028 | ) | |||||||||
| Ireland |
— | (569,500 | ) | — | (569,500 | ) | ||||||||||
| Israel |
(1,765,731 | ) | — | — | (1,765,731 | ) | ||||||||||
| Italy |
— | (5,763,315 | ) | — | (5,763,315 | ) | ||||||||||
| Japan |
— | (17,044,912 | ) | — | (17,044,912 | ) | ||||||||||
| Netherlands |
— | (4,883,130 | ) | — | (4,883,130 | ) | ||||||||||
| New Zealand |
— | (1,412,605 | ) | — | (1,412,605 | ) | ||||||||||
| Norway |
— | (617,617 | ) | — | (617,617 | ) | ||||||||||
| Peru |
(1,383,286 | ) | — | — | (1,383,286 | ) | ||||||||||
| Singapore |
(1,269,082 | ) | (1,435,333 | ) | — | (2,704,415 | ) | |||||||||
| Spain |
— | (3,676,288 | ) | — | (3,676,288 | ) | ||||||||||
| Sweden |
— | (2,253,501 | ) | — | (2,253,501 | ) | ||||||||||
| Switzerland |
— | (1,340,342 | ) | — | (1,340,342 | ) | ||||||||||
| United Kingdom |
— | (11,624,413 | ) | — | (11,624,413 | ) | ||||||||||
| United States |
(104,321,086 | ) | — | — | (104,321,086 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(121,378,225 | ) | (73,504,884 | ) | — | (194,883,109 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | (1,686,329 | ) | — | (1,686,329 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (1,686,329 | ) | — | (1,686,329 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Swap Contacts |
||||||||||||||||
| Equity Risk |
— | (84,125 | ) | — | (84,125 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (121,378,225 | ) | $ | (75,275,338 | ) | $ | — | $ | (196,653,563 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Asset Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 348,536,629 | $ | — | $ | — | $ | 348,536,629 | ||||||||
| Short-Term Investments |
480,205 | — | — | 480,205 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
349,016,834 | — | — | 349,016,834 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 349,016,834 | $ | — | $ | — | $ | 349,016,834 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Global Developed Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 64,965,179 | $ | — | $ | — | $ | 64,965,179 | ||||||||
| Short-Term Investments |
62,623 | — | — | 62,623 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
65,027,802 | — | — | 65,027,802 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 65,027,802 | $ | — | $ | — | $ | 65,027,802 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 621,574,325 | $ | — | $ | — | $ | 621,574,325 | ||||||||
| Short-Term Investments |
254,989 | — | — | 254,989 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
621,829,314 | — | — | 621,829,314 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 621,829,314 | $ | — | $ | — | $ | 621,829,314 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Consolidated Implementation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 1,328,352 | $ | — | $ | — | $ | 1,328,352 | ||||||||
| Australia |
— | 62,329,279 | — | 62,329,279 | ||||||||||||
| Austria |
— | 9,069,178 | — | 9,069,178 | ||||||||||||
| Belgium |
2,335,462 | 28,848,786 | — | 31,184,248 | ||||||||||||
| Bermuda |
7,222,230 | — | — | 7,222,230 | ||||||||||||
| Brazil |
10,251,303 | 28,474,297 | — | 38,725,600 | ||||||||||||
| Canada |
124,828,222 | 494,383 | 1,449,566 | 126,772,171 | ||||||||||||
| Chile |
124,465 | 2,873,620 | — | 2,998,085 | ||||||||||||
| China |
— | 105,458,147 | 1 | 105,458,148 | ||||||||||||
| Colombia |
843,042 | — | — | 843,042 | ||||||||||||
| Czech Republic |
— | 1,066,925 | — | 1,066,925 | ||||||||||||
| Denmark |
— | 30,571,136 | — | 30,571,136 | ||||||||||||
| Egypt |
— | 2,330,691 | — | 2,330,691 | ||||||||||||
| Finland |
— | 18,489,714 | — | 18,489,714 | ||||||||||||
| France |
7,793,870 | 118,525,479 | — | 126,319,349 | ||||||||||||
| Germany |
— | 40,771,393 | — | 40,771,393 | ||||||||||||
| Greece |
— | 3,279,883 | — | 3,279,883 | ||||||||||||
| Hong Kong |
— | 23,808,476 | — | 23,808,476 | ||||||||||||
| Hungary |
— | 13,320,039 | — | 13,320,039 | ||||||||||||
| India |
6,767,026 | 107,997,759 | — | 114,764,785 | ||||||||||||
| Indonesia |
— | 16,981,971 | — | 16,981,971 | ||||||||||||
| Ireland |
6,128,498 | 6,397,166 | — | 12,525,664 | ||||||||||||
| Isle of Man |
663,680 | — | — | 663,680 | ||||||||||||
| Israel |
11,513,570 | 1,391,526 | — | 12,905,096 | ||||||||||||
| Italy |
645,937 | 59,225,204 | — | 59,871,141 | ||||||||||||
| Japan |
3,459,889 | 489,071,296 | — | 492,531,185 | ||||||||||||
| Kuwait |
— | 110,135 | — | 110,135 | ||||||||||||
| Malaysia |
— | 3,195,112 | — | 3,195,112 | ||||||||||||
| Mexico |
34,770,494 | — | 0 | § | 34,770,494 | |||||||||||
| Netherlands |
3,184,441 | 65,723,886 | 180 | 68,908,507 | ||||||||||||
| New Zealand |
— | 1,125,281 | — | 1,125,281 | ||||||||||||
| Norway |
— | 26,875,031 | — | 26,875,031 | ||||||||||||
| Pakistan |
— | 1,077,769 | — | 1,077,769 | ||||||||||||
| Panama |
25,016 | — | — | 25,016 | ||||||||||||
| Philippines |
— | 252,134 | — | 252,134 | ||||||||||||
| Poland |
— | 18,810,473 | — | 18,810,473 | ||||||||||||
| Portugal |
— | 9,174,263 | — | 9,174,263 | ||||||||||||
| Qatar |
— | 807,432 | — | 807,432 | ||||||||||||
| Russia |
— | — | 1,079,696 | 1,079,696 | ||||||||||||
| Saudi Arabia |
— | 4,955,618 | — | 4,955,618 | ||||||||||||
| Singapore |
— | 19,432,342 | — | 19,432,342 | ||||||||||||
| South Africa |
1,600,768 | 48,302,136 | — | 49,902,904 | ||||||||||||
| South Korea |
9,482,208 | 82,132,607 | — | 91,614,815 | ||||||||||||
| Spain |
— | 74,143,133 | — | 74,143,133 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Implementation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Sweden |
$ | — | $ | 28,610,352 | $ | — | $ | 28,610,352 | ||||||||
| Switzerland |
10,271,879 | 30,586,653 | — | 40,858,532 | ||||||||||||
| Taiwan |
17,975,588 | 98,963,373 | — | 116,938,961 | ||||||||||||
| Thailand |
— | 27,529,134 | — | 27,529,134 | ||||||||||||
| Turkey |
— | 17,978,443 | — | 17,978,443 | ||||||||||||
| Ukraine |
— | 66,147 | — | 66,147 | ||||||||||||
| United Arab Emirates |
— | 2,137,354 | — | 2,137,354 | ||||||||||||
| United Kingdom |
32,119,177 | 145,210,645 | 791 | 177,330,613 | ||||||||||||
| United States |
832,344,894 | — | 398,109 | 832,743,003 | ||||||||||||
| Vietnam |
— | 6,972,144 | — | 6,972,144 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
1,125,680,011 | 1,884,947,945 | 2,928,343 | 3,013,556,299 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
13,838,884 | 29,801,507 | — | 43,640,391 | ||||||||||||
| Chile |
3,275,648 | 28,969 | — | 3,304,617 | ||||||||||||
| Colombia |
725,617 | — | — | 725,617 | ||||||||||||
| Germany |
— | 13,367,063 | — | 13,367,063 | ||||||||||||
| Russia |
— | — | 148,127 | 148,127 | ||||||||||||
| South Korea |
— | 11,218,883 | — | 11,218,883 | ||||||||||||
| United States |
— | — | 450,870 | 450,870 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
17,840,149 | 54,416,422 | 598,997 | 72,855,568 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Canada |
— | — | 222 | 222 | ||||||||||||
| United States |
— | — | 988,818 | 988,818 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 989,040 | 989,040 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
— | — | 10,384,246 | 10,384,246 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
— | — | 10,384,246 | 10,384,246 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| Netherlands |
— | — | 63 | 63 | ||||||||||||
| United States |
576,906,559 | 352,617,168 | 2,357 | 929,526,084 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
576,906,559 | 352,617,168 | 2,420 | 929,526,147 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
1,987,493 | — | — | 1,987,493 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
1,987,493 | — | — | 1,987,493 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
131,578,132 | 77,137,520 | — | 208,715,652 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
1,853,992,344 | 2,369,119,055 | 14,903,046 | 4,238,014,445 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 5,892,625 | — | 5,892,625 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
2,556,407 | 1,307,427 | — | 3,863,834 | ||||||||||||
| Interest Rate Risk |
896,310 | — | — | 896,310 | ||||||||||||
| Physical Commodity Contract Risk |
3,881,012 | — | — | 3,881,012 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | 3,119,337 | — | 3,119,337 | ||||||||||||
| Interest Rate Risk |
— | 8,609,110 | — | 8,609,110 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 1,861,326,073 | $ | 2,388,047,554 | $ | 14,903,046 | $ | 4,264,276,673 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (16,236,935 | ) | $ | — | $ | (16,236,935 | ) | ||||||
| Austria |
— | (4,561,706 | ) | — | (4,561,706 | ) | ||||||||||
| Belgium |
— | (6,557,360 | ) | — | (6,557,360 | ) | ||||||||||
| Bermuda |
(6,795,260 | ) | — | — | (6,795,260 | ) | ||||||||||
| Canada |
(45,960,526 | ) | — | — | (45,960,526 | ) | ||||||||||
| Denmark |
— | (5,224,782 | ) | — | (5,224,782 | ) | ||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Implementation Fund (continued) | ||||||||||||||||
| Liability Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Finland |
$ | — | $ | (1,589,505 | ) | $ | — | $ | (1,589,505 | ) | ||||||
| France |
— | (21,674,434 | ) | — | (21,674,434 | ) | ||||||||||
| Germany |
(687,495 | ) | (29,877,365 | ) | — | (30,564,860 | ) | |||||||||
| Ireland |
— | (9,238,436 | ) | — | (9,238,436 | ) | ||||||||||
| Israel |
(6,785,370 | ) | — | — | (6,785,370 | ) | ||||||||||
| Italy |
— | (21,714,166 | ) | — | (21,714,166 | ) | ||||||||||
| Japan |
— | (63,132,637 | ) | — | (63,132,637 | ) | ||||||||||
| Netherlands |
— | (17,972,232 | ) | — | (17,972,232 | ) | ||||||||||
| New Zealand |
— | (5,233,981 | ) | — | (5,233,981 | ) | ||||||||||
| Norway |
— | (2,312,093 | ) | — | (2,312,093 | ) | ||||||||||
| Peru |
(5,125,732 | ) | — | — | (5,125,732 | ) | ||||||||||
| Singapore |
(4,702,391 | ) | (5,368,629 | ) | — | (10,071,020 | ) | |||||||||
| Spain |
— | (13,703,356 | ) | — | (13,703,356 | ) | ||||||||||
| Sweden |
— | (8,212,698 | ) | — | (8,212,698 | ) | ||||||||||
| Switzerland |
— | (4,880,695 | ) | — | (4,880,695 | ) | ||||||||||
| United Kingdom |
— | (43,260,325 | ) | — | (43,260,325 | ) | ||||||||||
| United States |
(428,236,953 | ) | — | — | (428,236,953 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(498,293,727 | ) | (280,751,335 | ) | — | (779,045,062 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | (6,249,161 | ) | — | (6,249,161 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (6,249,161 | ) | — | (6,249,161 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (6,691,398 | ) | — | (6,691,398 | ) | ||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
(2,019,891 | ) | (1,556,954 | ) | — | (3,576,845 | ) | |||||||||
| Interest Rate Risk |
(437,867 | ) | — | — | (437,867 | ) | ||||||||||
| Physical Commodity Contract Risk |
(5,693,156 | ) | — | — | (5,693,156 | ) | ||||||||||
| Written Options |
||||||||||||||||
| Equity Risk |
(176,530 | ) | — | — | (176,530 | ) | ||||||||||
| Swap Contacts |
||||||||||||||||
| Equity Risk |
— | (2,388,609 | ) | — | (2,388,609 | ) | ||||||||||
| Interest Rate Risk |
— | (8,768,375 | ) | — | (8,768,375 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (506,621,171 | ) | $ | (306,405,832 | ) | $ | — | $ | (813,027,003 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Developed Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 252,729,133 | $ | — | $ | — | $ | 252,729,133 | ||||||||
| Short-Term Investments |
68,623 | — | — | 68,623 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
252,797,756 | — | — | 252,797,756 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 252,797,756 | $ | — | $ | — | $ | 252,797,756 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 293,036,363 | $ | — | $ | — | $ | 293,036,363 | ||||||||
| Short-Term Investments |
171,635 | — | — | 171,635 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
293,207,998 | — | — | 293,207,998 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 293,207,998 | $ | — | $ | — | $ | 293,207,998 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Strategic Opportunities Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 978,890 | $ | — | $ | 978,890 | ||||||||
| Belgium |
— | 559,896 | — | 559,896 | ||||||||||||
| Bermuda |
28,140 | — | — | 28,140 | ||||||||||||
| Brazil |
— | 16,609 | — | 16,609 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Strategic Opportunities Allocation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Canada |
$ | 1,928,003 | $ | — | $ | — | $ | 1,928,003 | ||||||||
| China |
— | 890,070 | 0 | § | 890,070 | |||||||||||
| Denmark |
— | 976,327 | — | 976,327 | ||||||||||||
| Finland |
— | 483,030 | — | 483,030 | ||||||||||||
| France |
72,868 | 1,606,275 | — | 1,679,143 | ||||||||||||
| Germany |
— | 617,492 | — | 617,492 | ||||||||||||
| Hong Kong |
— | 98,863 | — | 98,863 | ||||||||||||
| India |
— | 721,438 | — | 721,438 | ||||||||||||
| Ireland |
258,902 | — | — | 258,902 | ||||||||||||
| Israel |
310,758 | 54,609 | — | 365,367 | ||||||||||||
| Italy |
— | 467,033 | — | 467,033 | ||||||||||||
| Japan |
— | 3,227,854 | — | 3,227,854 | ||||||||||||
| Mexico |
528,217 | — | — | 528,217 | ||||||||||||
| Netherlands |
160,044 | 1,073,797 | — | 1,233,841 | ||||||||||||
| New Zealand |
— | 39,581 | — | 39,581 | ||||||||||||
| Norway |
— | 273,550 | — | 273,550 | ||||||||||||
| Poland |
— | 235,929 | — | 235,929 | ||||||||||||
| Portugal |
— | 100,304 | — | 100,304 | ||||||||||||
| Russia |
— | — | 2,934 | 2,934 | ||||||||||||
| South Africa |
— | 88,003 | — | 88,003 | ||||||||||||
| South Korea |
223,680 | 718,059 | — | 941,739 | ||||||||||||
| Spain |
— | 1,096,248 | — | 1,096,248 | ||||||||||||
| Sweden |
— | 528,458 | — | 528,458 | ||||||||||||
| Switzerland |
— | 549,530 | — | 549,530 | ||||||||||||
| Thailand |
— | 283,182 | — | 283,182 | ||||||||||||
| Turkey |
— | 185,252 | — | 185,252 | ||||||||||||
| United Kingdom |
254,749 | 1,759,317 | — | 2,014,066 | ||||||||||||
| United States |
21,283,730 | — | — | 21,283,730 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
25,049,091 | 17,629,596 | 2,934 | 42,681,621 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
122,060 | 123,868 | — | 245,928 | ||||||||||||
| Germany |
— | 551,392 | — | 551,392 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
122,060 | 675,260 | — | 797,320 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
6,006,583 | — | — | 6,006,583 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
6,006,583 | — | — | 6,006,583 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
166,903,535 | — | — | 166,903,535 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
166,903,535 | — | — | 166,903,535 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
3,395,383 | 21,999,814 | — | 25,395,197 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
201,476,652 | 40,304,670 | 2,934 | 241,784,256 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | 58,310 | — | 58,310 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 201,476,652 | $ | 40,362,980 | $ | 2,934 | $ | 241,842,566 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (760,144 | ) | $ | — | $ | (760,144 | ) | ||||||
| Austria |
— | (225,008 | ) | — | (225,008 | ) | ||||||||||
| Belgium |
— | (304,407 | ) | — | (304,407 | ) | ||||||||||
| Canada |
(2,106,687 | ) | — | — | (2,106,687 | ) | ||||||||||
| China |
(2,029 | ) | — | — | (2,029 | ) | ||||||||||
| Denmark |
— | (230,604 | ) | — | (230,604 | ) | ||||||||||
| Finland |
— | (84,362 | ) | — | (84,362 | ) | ||||||||||
| France |
— | (984,007 | ) | — | (984,007 | ) | ||||||||||
| Germany |
(45,400 | ) | (1,304,971 | ) | — | (1,350,371 | ) | |||||||||
| Ireland |
— | (96,979 | ) | — | (96,979 | ) | ||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Strategic Opportunities Allocation Fund (continued) | ||||||||||||||||
| Liability Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Israel |
$ | (323,216 | ) | $ | — | $ | — | $ | (323,216 | ) | ||||||
| Italy |
(15,077 | ) | (1,001,471 | ) | — | (1,016,548 | ) | |||||||||
| Japan |
— | (2,868,481 | ) | — | (2,868,481 | ) | ||||||||||
| Netherlands |
— | (863,965 | ) | — | (863,965 | ) | ||||||||||
| New Zealand |
— | (247,968 | ) | — | (247,968 | ) | ||||||||||
| Norway |
— | (104,607 | ) | — | (104,607 | ) | ||||||||||
| Peru |
(251,755 | ) | — | — | (251,755 | ) | ||||||||||
| Singapore |
(216,268 | ) | (219,015 | ) | — | (435,283 | ) | |||||||||
| Spain |
— | (612,941 | ) | — | (612,941 | ) | ||||||||||
| Sweden |
— | (352,550 | ) | — | (352,550 | ) | ||||||||||
| Switzerland |
— | (220,159 | ) | — | (220,159 | ) | ||||||||||
| United Kingdom |
— | (1,983,686 | ) | — | (1,983,686 | ) | ||||||||||
| United States |
(17,762,385 | ) | — | — | (17,762,385 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(20,722,817 | ) | (12,465,325 | ) | — | (33,188,142 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | (286,910 | ) | — | (286,910 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (286,910 | ) | — | (286,910 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Swap Contacts |
||||||||||||||||
| Equity Risk |
— | (21,341 | ) | — | (21,341 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (20,722,817 | ) | $ | (12,773,576 | ) | $ | — | $ | (33,496,393 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.
| § | Represents the interest in securities that were determined to have a value of zero at November 30, 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’ financial statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.
As of November 30, 2023, Alternative Allocation Fund’s Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendors).
The following is a reconciliation of securities and derivatives, if any, for Funds 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 November 30, 2023 |
Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2023 |
|||||||||||||||||||||||||||||||
| Consolidated Alternative Allocation Fund | ||||||||||||||||||||||||||||||||||||||||
| Common Stocks |
|
|||||||||||||||||||||||||||||||||||||||
| Canada |
$ | — | $ | 250,284 | $ | — | $ | — | $ | — | $ | 102,228 | $ | — | $ | — | $ | 352,512 | $ | 102,228 | ||||||||||||||||||||
| China |
419,007 | 79,447 | (199,477 | ) | — | (860,362 | ) | 561,385 | — | — | 0 | § | — | |||||||||||||||||||||||||||
| United States |
15,395 | — | — | — | — | 7,697 | — | — | 23,092 | 7,697 | ||||||||||||||||||||||||||||||
| Rights/Warrants |
|
|||||||||||||||||||||||||||||||||||||||
| United States |
384,887 | — | — | — | — | 68,302 | — | — | 453,189 | 68,302 | ||||||||||||||||||||||||||||||
| Investment Funds |
|
|||||||||||||||||||||||||||||||||||||||
| United States |
2,331,920 | — | — | — | — | 20,016 | — | — | 2,351,936 | (30,025 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Investments |
$ | 3,151,209 | $ | 329,731 | $ | (199,477 | ) | $ | — | $ | (860,362 | ) | $ | 759,628 | $ | — | $ | — | $ | 3,180,729 | $ | 148,202 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 3,151,209 | $ | 329,731 | $ | (199,477 | ) | $ | — | $ | (860,362 | ) | $ | 759,628 | $ | — | $ | — | $ | 3,180,729 | $ | 148,202 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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| § | Represents an interest in securities that were determined to have a fair value of zero at November 30, 2023. |
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended November 30, 2023.
Quantitative information about Level 3 Fair Value Measurements*
| Investment Type | Total Fair Value ($) |
Valuation Methodology |
Unobservable Inputs | Range (Weighted Average) |
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|
Consolidated Alternative Allocation Fund |
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|
Common Stock |
— | Fair Value | Discount for lack of liquidity/marketability | $0 (N/A) | ||||||||||
| * | The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of November 30, 2023, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund was $3,180,729. The inputs for these investments are not readily available or cannot be reasonably estimated. |
Investments in affiliated companies and other Funds of the Trust
An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 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 |
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| Consolidated Alternative Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
$ | 5,754,599 | $ | — | $ | 6,183,898 | $ | 83,688 | $ | — | $ | 123,020 | $ | 306,279 | $ | — | ||||||||||||||||
| GMO Resources Fund, Class VI |
— | 3,875,000 | — | — | — | — | (355,048 | ) | 3,519,952 | |||||||||||||||||||||||
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| Totals |
$ | 5,754,599 | $ | 3,875,000 | $ | 6,183,898 | $ | 83,688 | $ | — | $ | 123,020 | $ | (48,769 | ) | $ | 3,519,952 | |||||||||||||||
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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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| Benchmark-Free Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
$ | 225,439,211 | $ | 1,639,310 | $ | 112,000,000 | $ | 1,639,310 | $ | — | $ | (48,783,868 | ) | $ | 60,241,887 | $ | 126,536,540 | |||||||||||||||
| GMO High Yield Fund, Class VI |
90,670,017 | — | 48,000,000 | — | — | (1,273,701 | ) | 5,240,724 | 46,637,040 | |||||||||||||||||||||||
| GMO Implementation Fund |
3,734,452,836 | 383,883,088 | 743,913,616 | 31,134,806 | — | (62,048,572 | ) | 244,094,279 | 3,556,468,015 | |||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
263,438,935 | 2,272,126 | 113,540,000 | 2,272,126 | — | (8,858,804 | ) | 15,011,750 | 158,324,007 | |||||||||||||||||||||||
| GMO SGM Major Markets Fund, Class VI |
88,586,880 | 14,803,679 | 89,000,143 | 4,505,766 | 10,297,913 | (23,242,048 | ) | 8,851,632 | — | |||||||||||||||||||||||
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| Totals |
$ | 4,402,587,879 | $ | 402,598,203 | $ | 1,106,453,759 | $ | 39,552,008 | $ | 10,297,913 | $ | (144,206,993 | ) | $ | 333,440,272 | $ | 3,887,965,602 | |||||||||||||||
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| Benchmark-Free Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
$ | 83,120,284 | $ | 521,025 | $ | 47,400,000 | $ | 521,025 | $ | — | $ | (15,846,483 | ) | $ | 19,468,341 | $ | 39,863,167 | |||||||||||||||
| GMO High Yield Fund, Class VI |
63,734,779 | — | 52,100,000 | — | — | (1,391,926 | ) | 2,979,438 | 13,222,291 | |||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
68,635,629 | — | 18,000,000 | 766,669 | — | (761,130 | ) | 2,611,366 | 52,485,865 | |||||||||||||||||||||||
| GMO Resources Fund, Class VI |
41,081,249 | 12,829,240 | — | 337,900 | 791,341 | — | (5,782,680 | ) | 48,127,809 | |||||||||||||||||||||||
| GMO SGM Major Markets Fund, Class VI |
29,075,472 | 4,858,777 | 28,185,243 | 1,478,857 | 3,379,921 | (9,315,204 | ) | 3,566,198 | — | |||||||||||||||||||||||
| GMO U.S. Treasury Fund |
1,230,461 | 102,463,953 | 90,555,862 | — | ** | — | 19,909 | — | 13,158,461 | |||||||||||||||||||||||
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| Totals |
$ | 286,877,874 | $ | 120,672,995 | $ | 236,241,105 | $ | 3,104,451 | $ | 4,171,262 | $ | (27,294,834 | ) | $ | 22,842,663 | $ | 166,857,593 | |||||||||||||||
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| Global Asset Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Alternative Allocation Fund, Class VI |
$ | 48,411,511 | $ | 260,000 | $ | 7,175,000 | $ | — | $ | — | $ | (337,203 | ) | $ | 1,703,250 | $ | 42,862,558 | |||||||||||||||
| GMO Asset Allocation Bond Fund, Class VI |
20,113,672 | 1,937,420 | 480,000 | 437,420 | — | (34,764 | ) | (616,732 | ) | 20,919,596 | ||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
10,468,900 | 98,938 | — | 98,939 | — | — | 954,942 | 11,522,780 | ||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
23,354,081 | 334,164 | 1,584,573 | 334,164 | — | (612,160 | ) | 3,459,243 | 24,950,755 | |||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
25,997,689 | 1,412,122 | 3,337,722 | 1,412,120 | — | (1,801,875 | ) | 2,650,139 | 24,920,353 | |||||||||||||||||||||||
| GMO High Yield Fund, Class VI |
6,868,538 | — | 7,135,397 | — | — | (9,519 | ) | 276,378 | — | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
61,754,726 | 826,159 | 19,982,916 | 826,158 | — | (1,692,538 | ) | 5,306,954 | 46,212,385 | |||||||||||||||||||||||
| GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III |
— | 24,177,833 | 24,209,643 | 42,436 | — | 31,810 | — | — | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV |
— | 23,629,824 | — | — | — | — | 1,076,668 | 24,706,492 | ||||||||||||||||||||||||
| GMO-Usonian Japan Value Creation Fund, Class VI |
13,795,046 | 172,526 | 1,400,050 | 172,527 | — | (130,285 | ) | 1,734,126 | 14,171,363 | |||||||||||||||||||||||
| GMO Multi-Sector Fixed Income Fund, Class IV |
40,659,884 | — | 410,000 | — | — | (107,832 | ) | 579,805 | 40,721,857 | |||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
10,403,498 | 109,310 | 630,000 | 109,310 | — | (54,420 | ) | 370,083 | 10,198,471 | |||||||||||||||||||||||
| GMO Quality Cyclicals Fund, Class VI |
10,368,785 | 559,963 | 385,581 | 76,534 | 483,429 | 45,618 | (117,439 | ) | 10,471,346 | |||||||||||||||||||||||
| GMO Quality Fund, Class VI |
9,574,699 | 21,496 | 929,643 | 21,497 | — | 111,114 | 1,968,026 | 10,745,692 | ||||||||||||||||||||||||
| GMO Small Cap Quality Fund, Class VI |
10,654,800 | 349,981 | 1,170,761 | 6,643 | 343,339 | 185,471 | 539,489 | 10,558,980 | ||||||||||||||||||||||||
| 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 U.S. Equity Fund, Class VI |
$ | 16,671,178 | $ | 1,000,408 | $ | 638,041 | $ | 48,122 | $ | 952,285 | $ | (127,189 | ) | $ | 922,206 | $ | 17,828,562 | |||||||||||||||
| GMO U.S. Opportunistic Value Fund, Class VI |
23,008,064 | 453,210 | — | 97,548 | 355,662 | — | 428,128 | 23,889,402 | ||||||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
7,061,808 | 22,963 | 61,692 | 22,964 | — | (33,126 | ) | 104,916 | 7,094,869 | |||||||||||||||||||||||
| GMO Resources Fund, Class VI |
— | 7,000,000 | — | — | — | — | (400,602 | ) | 6,599,398 | |||||||||||||||||||||||
| GMO U.S. Treasury Fund |
8,036 | 353,718 | 200,000 | 4,212 | — | 19 | (3 | ) | 161,770 | |||||||||||||||||||||||
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| Totals |
$ | 339,174,915 | $ | 62,720,035 | $ | 69,731,019 | $ | 3,710,594 | $ | 2,134,715 | $ | (4,566,879 | ) | $ | 20,939,577 | $ | 348,536,629 | |||||||||||||||
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| Global Developed Equity Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
$ | 5,208,340 | $ | 75,744 | $ | 1,209,607 | $ | 75,743 | $ | — | $ | (545,904 | ) | $ | 1,088,575 | $ | 4,617,148 | |||||||||||||||
| GMO International Equity Fund, Class IV |
26,045,425 | 422,480 | 10,236,742 | 393,658 | — | 1,039,656 | 334,999 | 17,605,818 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III |
— | 6,913,729 | 6,913,729 | 13,729 | — | — | — | — | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV |
— | 6,920,944 | 776,908 | — | — | (15,490 | ) | 303,143 | 6,431,689 | |||||||||||||||||||||||
| GMO-Usonian Japan Value Creation Fund, Class VI |
2,653,243 | 34,114 | 412,377 | 34,113 | — | (50,124 | ) | 343,181 | 2,568,037 | |||||||||||||||||||||||
| GMO Quality Cyclicals Fund, Class VI |
3,852,762 | 217,196 | 717,031 | 28,839 | 182,161 | 17,157 | (95,310 | ) | 3,274,774 | |||||||||||||||||||||||
| GMO Quality Fund, Class VI |
9,468,743 | 21,878 | 1,567,755 | 21,879 | — | 170,275 | 1,763,298 | 9,856,439 | ||||||||||||||||||||||||
| GMO Small Cap Quality Fund, Class VI |
3,836,577 | 149,519 | 1,030,818 | 2,479 | 128,134 | 115,605 | 94,055 | 3,164,938 | ||||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
4,067,439 | 245,887 | 500,251 | 11,828 | 234,058 | (103,559 | ) | 245,597 | 3,955,113 | |||||||||||||||||||||||
| GMO U.S. Opportunistic Value Fund, Class VI |
10,040,826 | 333,280 | 771,160 | 42,570 | 155,213 | (49,660 | ) | 169,676 | 9,722,962 | |||||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
1,811,524 | 99,863 | — | 5,891 | — | — | 21,720 | 1,933,107 | ||||||||||||||||||||||||
| GMO Resources Fund, Class VI |
— | 2,165,000 | 199,554 | — | — | (18,893 | ) | (111,399 | ) | 1,835,154 | ||||||||||||||||||||||
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| Totals |
$ | 66,984,879 | $ | 17,599,634 | $ | 24,335,932 | $ | 630,729 | $ | 699,566 | $ | 559,063 | $ | 4,157,535 | $ | 64,965,179 | ||||||||||||||||
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| Global Equity Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
$ | 57,572,405 | $ | 3,773,088 | $ | 5,726,912 | $ | 857,735 | $ | — | $ | (2,513,024 | ) | $ | 9,564,908 | $ | 62,670,465 | |||||||||||||||
| GMO Emerging Markets Fund, Class VI |
66,864,262 | 10,251,939 | 10,671,811 | 3,929,108 | — | (6,140,999 | ) | 8,297,887 | 68,601,278 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
193,720,044 | 7,493,192 | 86,964,750 | 2,700,826 | — | (9,524,497 | ) | 20,198,481 | 124,922,470 | |||||||||||||||||||||||
| GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III |
— | 61,305,324 | 61,390,545 | 120,785 | — | 85,221 | — | — | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV |
— | 61,607,517 | 2,906,028 | — | — | 81,683 | 2,918,777 | 61,701,949 | ||||||||||||||||||||||||
| GMO-Usonian Japan Value Creation Fund, Class VI |
23,544,917 | 1,446,415 | 3,108,908 | 297,893 | — | (346,519 | ) | 3,088,653 | 24,624,558 | |||||||||||||||||||||||
| 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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| Global Equity Allocation Fund (continued) | ||||||||||||||||||||||||||||||||
| GMO Quality Cyclicals Fund, Class VI |
$ | 28,770,184 | $ | 3,124,418 | $ | 286,560 | $ | 218,001 | $ | 1,377,009 | $ | 10,357 | $ | (206,147 | ) | $ | 31,412,252 | |||||||||||||||
| GMO Quality Fund, Class VI |
71,537,500 | 1,488,300 | 13,096,139 | 158,300 | — | 858,973 | 14,113,285 | 74,901,919 | ||||||||||||||||||||||||
| GMO Small Cap Quality Fund, Class VI |
29,750,989 | 1,632,589 | 3,068,349 | 19,430 | 1,004,271 | 515,687 | 1,577,813 | 30,408,729 | ||||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
29,699,442 | 2,050,632 | 1,964,843 | 86,615 | 1,714,017 | (481,051 | ) | 1,856,010 | 31,160,190 | |||||||||||||||||||||||
| GMO U.S. Opportunistic Value Fund, Class VI |
70,821,461 | 3,929,765 | 1,724,105 | 307,595 | 1,121,501 | (11,430 | ) | 1,364,241 | 74,379,932 | |||||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
17,102,735 | 1,585,259 | 316,871 | 59,784 | — | (46,654 | ) | 281,193 | 18,605,662 | |||||||||||||||||||||||
| GMO Resources Fund, Class VI |
— | 19,384,551 | 150,189 | — | — | (6,401 | ) | (1,043,040 | ) | 18,184,921 | ||||||||||||||||||||||
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| Totals |
$ | 589,383,939 | $ | 179,072,989 | $ | 191,376,010 | $ | 8,756,072 | $ | 5,216,798 | $ | (17,518,654 | ) | $ | 62,012,061 | $ | 621,574,325 | |||||||||||||||
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| Consolidated Implementation Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 1,119,668 | $ | 202,536,196 | $ | 201,707,821 | $ | — | ** | $ | — | $ | 38,947 | $ | 503 | $ | 1,987,493 | |||||||||||||||
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| International Developed Equity Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
$ | 18,016,158 | $ | 907,280 | $ | 658,242 | $ | 263,771 | $ | — | $ | (261,661 | ) | $ | 2,537,151 | $ | 20,540,686 | |||||||||||||||
| GMO International Equity Fund, Class IV |
199,942,022 | 6,407,826 | 42,841,001 | 3,291,589 | — | (2,760,066 | ) | 16,399,742 | 177,148,523 | |||||||||||||||||||||||
| GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III |
— | 42,961,458 | 42,961,538 | 70,726 | — | 80 | — | — | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV |
— | 43,238,871 | 76,419 | — | — | 3,035 | 1,867,897 | 45,033,384 | ||||||||||||||||||||||||
| GMO-Usonian Japan Value Creation Fund, Class VI |
9,172,729 | 116,667 | 358,472 | 116,667 | — | (39,286 | ) | 1,114,902 | 10,006,540 | |||||||||||||||||||||||
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| Totals |
$ | 227,130,909 | $ | 93,632,102 | $ | 86,895,672 | $ | 3,742,753 | $ | — | $ | (3,057,898 | ) | $ | 21,919,692 | $ | 252,729,133 | |||||||||||||||
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| International Equity Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
$ | 39,608,956 | $ | 808,565 | $ | 19,852,775 | $ | 413,217 | $ | — | $ | (6,463,950 | ) | $ | 9,580,078 | $ | 23,680,874 | |||||||||||||||
| GMO Emerging Markets Fund, Class VI |
140,917,055 | 9,451,055 | 66,728,431 | 5,904,217 | — | (22,670,791 | ) | 25,514,508 | 86,483,396 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
291,592,810 | 7,211,601 | 175,094,736 | 3,304,637 | — | 6,519,792 | 6,270,435 | 136,499,902 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III |
— | 44,242,765 | 44,288,140 | 82,765 | — | 45,375 | — | — | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV |
— | 43,631,189 | 10,263,896 | — | — | 19,670 | 1,460,952 | 34,847,915 | ||||||||||||||||||||||||
| GMO-Usonian Japan Value Creation Fund, Class VI |
19,689,572 | 804,589 | 10,558,302 | 179,483 | — | (750,676 | ) | 2,339,093 | 11,524,276 | |||||||||||||||||||||||
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| Totals |
$ | 491,808,393 | $ | 106,149,764 | $ | 326,786,280 | $ | 9,884,319 | $ | — | $ | (23,300,580 | ) | $ | 45,165,066 | $ | 293,036,363 | |||||||||||||||
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| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds | Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
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| Strategic Opportunities Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Asset Allocation Bond Fund, Class VI |
$ | — | $ | 12,270,000 | $ | 445,000 | $ | — | $ | — | $ | 29,076 | $ | 828,685 | $ | 12,682,761 | ||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
6,386,651 | 1,019,332 | — | 69,332 | — | — | 668,641 | 8,074,624 | ||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
16,871,485 | 245,358 | 1,780,000 | 245,357 | — | (613,875 | ) | 2,701,402 | 17,424,370 | |||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
16,668,100 | 874,570 | 3,205,000 | 874,570 | — | (1,225,160 | ) | 1,762,344 | 14,874,854 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
24,591,450 | 5,546,228 | 2,315,000 | 440,470 | — | 206,104 | 1,672,520 | 29,701,302 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III |
— | 17,242,935 | 17,316,106 | 42,935 | — | 73,171 | — | — | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class IV |
— | 16,316,106 | — | — | — | — | 1,004,496 | 17,320,602 | ||||||||||||||||||||||||
| GMO-Usonian Japan Value Creation Fund, Class VI |
10,075,534 | 113,576 | 1,300,000 | 113,576 | — | 75,821 | 1,032,437 | 9,997,368 | ||||||||||||||||||||||||
| GMO Multi-Sector Fixed Income Fund, Class IV |
10,765,156 | 8,200,000 | 12,270,000 | — | — | (1,222,056 | ) | 984,549 | 6,457,649 | |||||||||||||||||||||||
| GMO Quality Fund, Class VI |
7,408,770 | 14,640 | 1,200,000 | 14,640 | — | 154,494 | 1,373,592 | 7,751,496 | ||||||||||||||||||||||||
| GMO Small Cap Quality Fund, Class VI |
7,332,851 | 249,642 | 730,000 | 4,739 | 244,903 | 111,880 | 382,154 | 7,346,527 | ||||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
9,770,751 | 590,665 | 955,000 | 28,413 | 562,252 | (104,520 | ) | 576,274 | 9,878,170 | |||||||||||||||||||||||
| GMO U.S. Opportunistic Value Fund, Class VI |
16,800,764 | 330,939 | — | 71,230 | 259,709 | — | 312,624 | 17,444,327 | ||||||||||||||||||||||||
| GMO Resources Fund, Class VI |
— | 5,000,000 | — | — | — | — | (286,145 | ) | 4,713,855 | |||||||||||||||||||||||
| GMO U.S. Treasury Fund |
4,095,276 | 10,134,106 | 11,000,000 | 124,014 | — | (23,929 | ) | 30,177 | 3,235,630 | |||||||||||||||||||||||
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| Totals |
$ | 130,766,788 | $ | 78,148,097 | $ | 52,516,106 | $ | 2,029,276 | $ | 1,066,864 | $ | (2,538,994 | ) | $ | 13,043,750 | $ | 166,903,535 | |||||||||||||||
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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 November 30, 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 $77,695 and $163,090 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.