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 Date	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- party	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Republic of Nigeria	JPM	USD	9,100,000	5.00%	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- party	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
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 Date	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 Amount

Annual Premium

Implied Credit Spread (1)

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

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Sell Protection^:

CDX.NA.HYS.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 Date	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 Date	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 Date	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 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.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- party	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.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- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
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 Amount		Expiration Date		Periodic Payment Frequency	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 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
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 Date	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 Date	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 Date	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 Date	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 Amount	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 Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.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 of Contracts +	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 Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.40%	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 Date	Counter- party	Currency Sold		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 Date	Counter- party	Currency Sold		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 Date	Counter- party	Currency Sold		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 Date	Counter- party	Currency Sold		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 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	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 Amount		Expiration Date		Periodic Payment Frequency	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 Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	GS	USD	1,344,499		06/24/2024	Monthly		—		(21,341	)		(21,341	)
Total Return on Equity Basket (g)	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

§ 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)
Consolidated Alternative Allocation Fund
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
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
Totals	$	5,754,599	$	3,875,000	$	6,183,898	$	83,688	$	—	$	123,020	$	(48,769	)	$	3,519,952

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Benchmark-Free 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			—
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
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
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
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
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
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
Totals	$	66,984,879	$	17,599,634	$	24,335,932	$	630,729	$	699,566	$	559,063		$	4,157,535		$	64,965,179
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
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
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
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	1,119,668	$	202,536,196	$	201,707,821	$	—	**	$	—	$	38,947		$	503		$	1,987,493
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
Totals	$	227,130,909	$	93,632,102	$	86,895,672	$	3,742,753		$	—	$	(3,057,898	)	$	21,919,692		$	252,729,133
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
Totals	$	491,808,393	$	106,149,764	$	326,786,280	$	9,884,319		$	—	$	(23,300,580	)	$	45,165,066		$	293,036,363

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

* 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.